UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
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FORM N-CSRS
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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, 2007
DATE OF REPORTING PERIOD: NOVEMBER 30, 2006
ITEM 1. REPORTS TO STOCKHOLDERS.
SEI New ways.
New answers.(R)
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SEI Institutional Investments Trust
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Semi-Annual Report as of November 30, 2006
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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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Schedules of Investments 1
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Statements of Assets and Liabilities 192
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Statements of Operations 194
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Statements of Changes in Net Assets 196
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Financial Highlights 200
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Notes to Financial Statements 202
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Disclosure of Fund Expenses 215
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Board of Trustees Considerations in Approving the Advisory
and Sub-Advisory Agreements 218
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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.
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund
November 30, 2006
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[Bar Chart Omitted]
Plot points as follows:
SECTOR WEIGHTINGS++:
24.7% Financials
14.3% Information Technology
11.3% Health Care
10.4% Consumer Discretionary
9.0% Energy
8.0% Consumer Staples
7.6% Industrials
4.5% Short-Term Investments
3.0% Telecommunication Services
2.7% Materials
2.4% Utilities
0.6%Commercial Paper
0.4% Asset-Backed Securities
0.4% U.S. Treasury Obligation
0.3% Master Notes
0.2% Collateralized Debt Obligations
0.2% Certificate of Deposit
0.0% Warrants
++Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 9).
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Market Value
Description Shares ($ Thousands)
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COMMON STOCK -- 94.1%
CONSUMER DISCRETIONARY -- 11.0%
Abercrombie & Fitch, Cl A 300 $ 20
Advance Auto Parts 75 3
Aeropostale* 1,900 57
American Eagle Outfitters 4,100 185
AnnTaylor Stores* 4,751 164
Autoliv 22,800 1,336
Autonation* 3,852 79
Autozone* 1,187 135
Barnes & Noble 8,300 332
Best Buy 11,200 616
Borders Group 11,300 259
BorgWarner 7,400 428
Brinker International 24,311 1,105
Cablevision Systems, Cl A (B) 6,826 189
Carmax* 1,900 88
CBS, Cl B 45,269 1,347
Circuit City Stores 6,200 155
Claire's Stores 2,400 77
Clear Channel Communications 2,625 92
Coach* 17,873 772
Comcast, Cl A (B)* 75,462 3,053
DaimlerChrysler 1,400 82
Darden Restaurants 12,555 504
Dick's Sporting Goods* 500 27
Dillard's, Cl A (B) 6,800 242
DIRECTV Group (B)* 76,400 1,738
Discovery Holding, Cl A* 5,600 86
Dollar Tree Stores* 5,200 156
Dow Jones (B) 3,000 108
E.W. Scripps, Cl A 303 15
Eastman Kodak (B) 12,600 328
EchoStar Communications, Cl A (B)* 2,343 84
Expedia* 2,900 53
Family Dollar Stores 18,400 513
Federated Department Stores 9,276 390
Foot Locker 10,300 236
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Market Value
Description Shares ($ Thousands)
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Ford Motor 23,100 $ 188
Fortune Brands 19,124 1,547
FTD Group* 3,100 54
GameStop, Cl A* 600 34
Gannett (B) 8,297 494
Gap (B) 12,200 228
General Motors (B) 16,261 475
Genuine Parts 5,058 237
Goodyear Tire & Rubber (B)* 17,700 298
Gymboree* 1,600 64
Harley-Davidson 2,700 199
Harman International Industries 300 31
Harrah's Entertainment 9,050 712
Hasbro 44,100 1,180
Hilton Hotels 3,430 113
Home Depot 18,342 696
IAC/InterActive (B)* 22,259 812
Idearc 5,746 158
International Game Technology 90,622 3,967
Interpublic Group (B)* 15,200 182
ITT Educational Services (B)* 4,900 336
JC Penney 16,043 1,241
Johnson Controls 7,472 608
Jones Apparel Group 21,274 715
KB Home 3,500 181
Kohl's* 28,953 2,015
Lamar Advertising, Cl A (B)* 16,834 1,016
Las Vegas Sands* 700 64
Leggett & Platt 3,800 90
Lennar, Cl A (B) 4,700 247
Liberty Global, Cl A* 4,474 121
Liberty Media Holding-Capital,
Ser A* 5,510 484
Liberty Media Holding-Interactive,
Cl A* 6,800 155
Limited Brands 17,500 555
Live Nation 1,127 24
Liz Claiborne 1,700 73
Lowe's (B) 77,720 2,344
Marriott International, Cl A 1,388 63
Mattel 32,800 720
McDonald's 61,245 2,570
McGraw-Hill 69,757 4,649
Meredith 900 49
MGM Mirage 65,000 3,495
Newell Rubbermaid 11,939 340
News, Cl A* 25,239 520
Nike, Cl B 665 66
NTL 3,230 78
Nutri/System (B)* 2,100 145
Office Depot* 10,484 397
OfficeMax 4,300 202
Omnicom Group 2,630 269
Polo Ralph Lauren 822 64
Pool (B) 13,400 549
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SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 1
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund (Continued)
November 30, 2006
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Market Value
Description Shares ($ Thousands)
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Priceline.com* 1,900 $ 75
Pulte Homes 1,800 61
Ross Stores 7,100 220
Saks 8,700 178
Sally Beauty Holdings* 1,600 15
Sears Holdings* 480 82
Shaw Communications, Cl B 18,600 578
Sherwin-Williams 3,425 214
Snap-On 2,817 134
Stanley Works (B) 4,800 245
Staples 155,000 3,948
Starbucks* 51,852 1,830
Starwood Hotels & Resorts
Worldwide 2,300 148
Steven Madden* 2,030 75
Target 37,384 2,172
Thor Industries 1,600 72
Tim Hortons 6,693 207
Time Warner 174,163 3,508
TJX 8,200 225
Tribune 17,150 545
Univision Communications, Cl A* 6,500 231
VF 10,359 812
Viacom, Cl B* 37,499 1,407
Walt Disney 17,399 575
Warner Music Group 1,100 28
Washington Post, Cl B 100 73
Weight Watchers International (B) 53,000 2,594
Wendy's International (B) 6,438 210
Whirlpool 6,029 514
Williams-Sonoma 23,040 731
Wyndham Worldwide* 5,840 185
Wynn Resorts (B) 1,600 141
XM Satellite Radio Holdings,
Cl A (B)* 30,400 439
Yum! Brands 13,550 829
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74,469
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CONSUMER STAPLES -- 8.4%
Alberto-Culver 1,500 30
Altria Group 50,764 4,275
Anheuser-Busch 15,679 745
Archer-Daniels-Midland 39,689 1,393
Avon Products 4,700 153
Brown-Forman, Cl B 3,988 277
Bunge (B) 2,100 148
Campbell Soup 6,545 249
Chattem (B)* 5,000 244
Chiquita Brands International 7,100 102
Church & Dwight 700 29
Clorox 3,819 244
Coca-Cola 55,001 2,576
Coca-Cola Enterprises 44,733 915
Colgate-Palmolive 40,626 2,643
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Market Value
Description Shares ($ Thousands)
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ConAgra Foods 42,200 $ 1,085
Constellation Brands, Cl A* 900 25
Corn Products International 4,300 156
Costco Wholesale 28,180 1,473
CVS 1,100 32
Dean Foods* 5,433 233
Del Monte Foods 12,161 137
Energizer Holdings (B)* 2,200 145
Estee Lauder, Cl A 15,700 648
General Mills 21,146 1,183
Hansen Natural* 3,100 87
Hershey 17,352 919
HJ Heinz 9,907 440
Hormel Foods 3,839 145
JM Smucker 1,000 48
Kellogg 4,082 203
Kimberly-Clark 22,354 1,486
Kraft Foods, Cl A (B) 19,907 698
Kroger 50,422 1,082
Loews - Carolina 4,259 266
McCormick 5,681 220
Molson Coors Brewing, Cl B 7,100 505
Peet's Coffee & Tea* 500 13
Pepsi Bottling Group 5,939 186
PepsiAmericas 17,948 374
PepsiCo 79,757 4,943
Prestige Brands Holdings* 2,700 32
Procter & Gamble 162,668 10,214
Reynolds American (B) 28,960 1,860
Safeway 20,276 625
Sara Lee 12,700 211
Supervalu 13,021 446
Sysco 4,124 148
Tyson Foods, Cl A (B) 15,400 245
UST (B) 4,900 274
Wal-Mart Stores (B) 127,008 5,855
Walgreen 132,806 5,377
Whole Foods Market 278 14
WM Wrigley Jr. (B) 25,466 1,335
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57,391
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ENERGY -- 9.4%
Anadarko Petroleum 19,566 966
Apache 104 7
Arch Coal 702 25
Baker Hughes 69,531 5,106
BJ Services 20,503 692
BP ADR 1,200 82
Cameron International (B)* 4,129 224
Chesapeake Energy (B) 18,800 640
Chevron (B) 102,998 7,449
ConocoPhillips 77,371 5,207
Devon Energy 22,690 1,665
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2 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
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Market Value
Description Shares ($ Thousands)
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Diamond Offshore Drilling 281 $ 22
Exxon Mobil 258,235 19,835
FMC Technologies* 3,500 210
Frontier Oil 2,700 85
Halliburton 67,434 2,275
Hess (B) 16,353 822
Holly 10,000 540
Kinder Morgan 1,374 144
Marathon Oil 32,444 3,062
Nabors Industries (B)* 9,700 327
Noble Energy 6,274 336
Occidental Petroleum 26,110 1,314
Oceaneering International* 1,400 61
Overseas Shipholding Group 900 52
Patterson-UTI Energy 7,100 197
Petro-Canada 11,800 533
Schlumberger 85,436 5,851
Smith International 507 22
Suncor Energy 36,832 2,910
Sunoco 6,511 444
Superior Energy Services* 900 29
Tetra Technologies* 2,000 52
Tidewater (B) 15,000 830
Transocean* 1,800 140
Valero Energy 22,120 1,218
Weatherford International* 17,270 776
XTO Energy 210 11
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64,161
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FINANCIALS -- 22.0%
A.G. Edwards 4,396 254
Affiliated Managers Group (B)* 1,936 198
Affordable Residential
Communities+ (B)* 13,000 146
Aflac 7,440 328
Allied Capital (B) 5,267 162
Allstate 38,860 2,467
AMB Property+ 200 12
AMBAC Financial Group 4,300 368
American Capital Strategies 1,746 79
American Express 56,392 3,311
American Financial Group 4,499 235
American International Group 105,720 7,434
AmeriCredit* 8,800 206
Ameriprise Financial 7,658 414
Annaly Capital Management+ 8,700 122
Anthracite Capital+ 1,294 16
AON 20,261 723
Apartment Investment &
Management, Cl A+ 743 43
Archstone-Smith Trust+ 1,701 102
Arthur J Gallagher 2,222 65
Assurant (B) 17,407 957
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Market Value
Description Shares ($ Thousands)
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Astoria Financial 19,033 $ 569
AvalonBay Communities+ 2,014 268
Bank of America 201,309 10,841
Bank of Hawaii 443 23
Bank of New York 21,300 757
BB&T 24,534 1,055
Bear Stearns 8,545 1,303
BlackRock, Cl A 1,214 174
Boston Properties+ 894 105
BRE Properties, Cl A+ 3,000 194
Brookfield Asset Management 10,900 520
Brown & Brown 6,101 177
Camden Property Trust+ 1,807 144
Capital One Financial (B) 3,748 292
CapitalSource+ 6,200 169
CB Richard Ellis Group, Cl A* 12,600 415
Charles Schwab 106,552 1,954
Chicago Mercantile Exchange
Holdings 7,807 4,181
Chubb 18,560 961
Cincinnati Financial 1,600 71
CIT Group 20,948 1,090
Citigroup 260,563 12,921
CNA Financial* 9,002 347
Colonial BancGroup 6,500 159
Comerica 29,497 1,718
Commerce Bancorp (B) 5,884 205
Commerce Bancshares 2,829 137
Compass Bancshares 2,107 120
Conseco* 7,646 152
Countrywide Financial 22,651 900
Credicorp 300 12
Cullen/Frost Bankers 3,300 180
Duke Realty+ 2,800 122
E*Trade Financial* 900 22
East West Bancorp 2,900 103
Eaton Vance 1,500 48
Equity Office Properties
Trust+ (B) 5,623 271
Equity Residential+ 4,843 258
Erie Indemnity, Cl A 529 30
Essex Property Trust+ 1,300 172
Fannie Mae 22,714 1,295
Federal Realty Investment Trust+ 380 32
Federated Investors, Cl B 1,572 52
Fidelity National Title Group,
Cl A 2,900 66
Fifth Third Bancorp 100 4
First American 3,400 131
First Cash Financial Services* 11,500 235
First Horizon National (B) 422 17
First Marblehead (B) 1,700 127
Forest City Enterprises, Cl A 4,052 236
Franklin Resources 8,671 926
Freddie Mac 74,030 4,972
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SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 3
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund (Continued)
November 30, 2006
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Market Value
Description Shares ($ Thousands)
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Fulton Financial 503 $ 8
Genworth Financial, Cl A 16,800 551
Goldman Sachs Group 12,464 2,428
Hanover Insurance Group 236 11
Hartford Financial Services Group 13,750 1,179
HCC Insurance Holdings 4,169 126
Horace Mann Educators 5,700 115
Hospitality Properties Trust+ (B) 3,684 185
Host Hotels & Resorts+ (B) 5,674 143
HRPT Properties Trust+ 2,000 25
Hudson City Bancorp 19,600 260
Huntington Bancshares 12,273 298
IndyMac Bancorp 15,100 694
IntercontinentalExchange* 40,400 3,969
Investors Financial Services 2,000 80
iStar Financial+ 1,200 56
Janus Capital Group (B) 11,200 227
Jefferies Group 5,600 162
JER Investors Trust+* 7,200 143
Jones Lang LaSalle* 11,800 1,074
JPMorgan Chase (B) 175,505 8,122
Keycorp 53,033 1,915
Kilroy Realty+ 300 25
KKR Financial+* 7,500 201
LandAmerica Financial Group 500 31
Legg Mason 18,565 1,770
Lehman Brothers Holdings 31,600 2,328
Leucadia National 10,200 281
Lincoln National 13,707 872
Loews 42,347 1,691
Luminent Mortgage Capital+ 13,100 135
M&T Bank 2,530 300
Mack-Cali Realty+ 400 22
Markel* 29 13
Marsh & McLennan 9,425 296
Marshall & Ilsley 1,472 67
MBIA (B) 9,500 662
Mellon Financial 9,800 394
Mercantile Bankshares 2,174 99
Merrill Lynch 68,728 6,009
Metlife 9,590 563
MGIC Investment 13,862 803
Moody's 56,059 3,895
Morgan Stanley 51,732 3,940
National City (B) 72,264 2,609
Nationwide Financial Services,
Cl A 11,200 582
New Century Financial+ 2,200 79
New York Community Bancorp 14,449 234
North Fork Bancorporation 4,700 132
Northern Trust 4,865 277
Nuveen Investments, Cl A 3,800 189
Old Republic International 20,600 465
Peoples Bank 1,014 45
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Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Philadelphia Consolidated Holding* 700 $ 31
PMI Group 19,400 840
PNC Financial Services Group 23,743 1,678
Principal Financial Group 15,700 907
Progressive 15,264 344
Prologis+ 1,136 74
Protective Life 314 15
Prudential Financial 2,300 187
Public Storage+ 1,877 181
Radian Group 22,064 1,174
Ramco-Gershenson Properties+ 4,686 173
Raymond James Financial 4,400 139
Rayonier+ 700 29
Realogy* 7,300 190
Reckson Associates Realty+ 3,800 184
Regions Financial 43,687 1,601
Reinsurance Group of America 8,000 441
Resource Capital+ 2,800 46
Safeco 15,962 967
SeaBright Insurance Holdings* 4,400 70
Simon Property Group+ 851 87
SL Green Realty+ 2,122 287
SLM 4,077 187
St. Paul Travelers 61,034 3,162
Stancorp Financial Group 2,800 127
State Street 5,701 354
SunTrust Banks 22,802 1,862
Synovus Financial 1,703 51
T Rowe Price Group 5,632 244
TCF Financial 900 24
TD Ameritrade Holding 267 5
TD Banknorth 1,052 34
Torchmark 4,445 281
Transatlantic Holdings 301 19
UnionBanCal 6,300 363
United Dominion Realty Trust+ 2,930 98
UnumProvident (B) 6,950 142
US Bancorp 85,752 2,885
Valley National Bancorp (B) 7,100 184
Vornado Realty Trust+ 765 96
Wachovia 96,814 5,246
Washington Federal 1,700 40
Washington Mutual (B) 56,860 2,484
Wells Fargo 44,546 1,570
Whitney Holding 4,700 151
Wilmington Trust 2,787 116
WR Berkley 9,141 321
XL Capital, Cl A 2,458 175
Zions Bancorporation 2,851 223
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149,744
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4 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
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Market Value
Description Shares ($ Thousands)
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HEALTH CARE -- 11.9%
Abbott Laboratories 25,108 $ 1,172
Advanced Medical Optics* 1,700 60
Aetna 10,662 440
Alcon 1,408 154
Allergan 37,487 4,370
AmerisourceBergen 19,342 890
Amgen* 54,652 3,880
Amylin Pharmaceuticals* 300 12
Applera - Applied Biosystems Group 8,130 296
Barr Pharmaceuticals* 5,348 273
Baxter International 18,581 831
Becton Dickinson 14,297 1,025
Biogen Idec* 7,629 399
Biomet 600 23
Bristol-Myers Squibb 11,713 291
C.R. Bard 1,700 140
Cardinal Health 14,084 910
Caremark Rx 40,917 1,935
Celgene (B)* 29,296 1,633
Cephalon* 3,138 235
Cerner (B)* 4,700 226
Charles River Laboratories
International* 4,100 171
Cigna 9,048 1,141
Community Health Systems* 196 7
Covance* 1,788 107
Coventry Health Care* 165 8
Cytyc* 10,900 286
Dade Behring Holdings 3,700 140
DaVita* 1,226 65
Dentsply International 2,400 77
Edwards Lifesciences* 1,000 46
Eli Lilly 36,237 1,942
Emdeon (B)* 9,300 110
Endo Pharmaceuticals Holdings* 638 17
Express Scripts* 9,645 658
Forest Laboratories* 15,772 768
Genentech* 91,492 7,479
Gilead Sciences* 4,929 325
Health Management Associates,
Cl A 1,587 33
Health Net* 2,817 130
Henry Schein* 2,623 135
Hillenbrand Industries (B) 3,900 226
Hospira* 1,788 59
Humana* 3,203 173
Idexx Laboratories (B)* 5,716 484
ImClone Systems (B)* 7,000 209
IMS Health 4,123 113
Invitrogen* 310 17
Johnson & Johnson 42,804 2,821
King Pharmaceuticals (B)* 43,384 717
Laboratory of America Holdings (B) 8,679 614
LifePoint Hospitals* 2,400 83
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Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Lincare Holdings (B)* 15,790 $ 595
Manor Care 4,187 199
McKesson 9,317 460
Medco Health Solutions 20,073 1,008
Medimmune (B)* 46,084 1,506
Medtronic 46,720 2,436
Mentor 3,800 190
Merck 93,724 4,172
Millipore* 309 21
Mylan Laboratories (B) 10,413 211
Omnicare 2,255 90
Pediatrix Medical Group* 500 24
PerkinElmer 2,100 46
Pfizer 362,079 9,954
Pharmaceutical Product
Development 3,818 121
Quest Diagnostics 2,659 141
Resmed* 932 47
Schering-Plough 5,868 129
Sierra Health Services* 2,800 98
St. Jude Medical* 56,390 2,102
Stryker (B) 55,826 2,895
Techne* 1,810 97
Tenet Healthcare* 19,500 138
Thermo Electron (B)* 41,333 1,812
Triad Hospitals* 500 21
UnitedHealth Group 102,807 5,046
Universal Health Services, Cl B 2,181 120
Varian Medical Systems (B)* 2,987 147
VCA Antech* 5,958 192
Vertex Pharmaceuticals* 100 4
WellCare Health Plans* 2,200 142
WellPoint* 8,260 625
Wyeth 54,144 2,614
Zimmer Holdings* 68,626 5,007
--------
80,766
--------
INDUSTRIALS -- 8.0%
3M 14,986 1,221
Acuity Brands 5,200 274
Adesa 1,000 26
AGCO* 1,900 59
Allied Waste Industries* 6,800 86
American Power Conversion 900 27
American Standard 3,700 166
AMR* 3,416 109
Applied Industrial Technologies 2,400 68
Aramark, Cl B 7,154 239
Arkansas Best 200 8
Armor Holdings* 4,259 241
Avery Dennison 2,701 182
Avis Budget Group 2,920 60
Baldor Electric 1,000 35
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SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 5
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund (Continued)
November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Boeing 4,530 $ 401
Brink's 3,000 168
Burlington Northern Santa Fe 7,585 570
Carlisle 2,200 180
Caterpillar 20,067 1,245
Ceradyne (B)* 1,700 90
CH Robinson Worldwide 8,687 382
Chart Industries* 2,000 30
ChoicePoint* 1,907 70
Con-way 9,388 433
Continental Airlines, Cl B* 2,200 89
Copart* 1,800 54
Corporate Executive Board 2,222 210
Corrections of America* 3,900 177
Covanta Holding* 3,400 75
Crane 3,400 130
CSX 27,388 982
Cummins 5,100 612
Danaher 2,630 192
Deere 10,000 960
Donaldson 1,000 35
Dover 10,464 526
Dun & Bradstreet* 907 75
Eaton 16,291 1,256
Emerson Electric 22,211 1,926
Equifax 1,540 59
Expeditors International
Washington (B) 80,514 3,642
Fastenal 3,200 115
FedEx 4,800 554
Gardner Denver* 11,800 451
General Dynamics 3,686 276
General Electric 318,743 11,245
Graco 1,100 46
Harsco 1,100 86
Herman Miller 10,804 379
HNI 1,900 89
Honeywell International 43,518 1,870
Hubbell, Cl B 500 26
Illinois Tool Works 1,000 47
Ingersoll-Rand, Cl A 17,561 685
ITT Industries 1,460 79
Jacobs Engineering Group* 910 76
JB Hunt Transport Services 1,100 24
John H. Harland 2,600 111
Kennametal 200 12
L-3 Communications Holdings 1,500 123
Laidlaw International* 12,100 352
Landstar System 100 5
Lincoln Electric Holdings 400 24
Lockheed Martin 17,885 1,618
Manitowoc 2,600 157
Manpower 3,600 256
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Masco (B) 28,300 $ 812
MSC Industrial Direct, Cl A 700 27
Navistar International (B)* 9,800 314
Norfolk Southern 3,087 152
Northrop Grumman 40,975 2,742
Oshkosh Truck 4,700 226
Paccar (B) 16,948 1,107
Parker Hannifin 6,900 576
Pitney Bowes 807 37
Precision Castparts 2,525 191
Raytheon 18,788 959
Republic Services 1,009 42
Robert Half International 4,200 162
Rockwell Automation 2,400 156
Rockwell Collins 4,732 285
Roper Industries 752 39
RR Donnelley & Sons 2,780 98
Ryder System 7,300 381
Southwest Airlines 32,000 503
SPX 3,829 234
Stericycle* 1,501 109
Teleflex 2,800 181
Terex* 1,300 73
Textron 1,600 156
Thomas & Betts* 12,268 636
Timken 8,600 256
Toro 1,700 76
Trinity Industries 1,200 45
UAL* 900 37
Union Pacific 6,681 605
United Parcel Service, Cl B 59,508 4,637
United Rentals (B)* 10,000 251
United Technologies 25,579 1,651
US Airways Group* 500 28
Waste Management 11,500 421
WESCO International* 300 20
WW Grainger 2,036 147
YRC Worldwide* 214 8
--------
54,456
--------
INFORMATION TECHNOLOGY -- 15.0%
Acxiom 2,300 57
Adobe Systems* 2,832 114
Agere Systems* 17,829 319
Agilent Technologies* 22,287 710
Akamai Technologies* 5,694 278
Alliance Data Systems* 3,600 233
Amphenol, Cl A 2,430 166
Analog Devices 6,100 198
Apple Computer* 21,617 1,982
Applied Materials (B) 39,540 711
Arrow Electronics* 7,365 234
- --------------------------------------------------------------------------------
6 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
ATMI* 3,800 $ 124
Automatic Data Processing 14,446 697
Avaya* 4,907 63
Avnet* 16,600 411
BEA Systems* 15,900 219
BMC Software* 9,321 303
Broadcom, Cl A* 1,037 34
Brocade Communications Systems* 7,800 72
Cadence Design Systems (B)* 17,497 322
CDW 16 1
Ceridian* 7,158 175
Cisco Systems* 135,940 3,654
Citrix Systems* 3,597 103
Cognizant Technology Solutions,
Cl A* 1,900 155
Computer Sciences* 13,900 726
Convergys* 20,300 490
Dell* 33,898 923
Diebold 4,100 189
DSP Group* 2,000 43
DST Systems* 2,922 182
eBay* 135,000 4,367
Electronic Arts* 29,156 1,628
Electronic Data Systems 9,900 269
EMC* 83,484 1,094
Factset Research Systems 500 26
Fair Isaac 3,600 150
Fidelity National Information
Services 5,151 206
First Data 75,192 1,899
Fiserv* 21,227 1,085
Global Payments 2,274 104
Google, Cl A* 19,530 9,470
Harris 4,902 206
Hewlett-Packard 147,205 5,809
Ingram Micro, Cl A* 8,200 167
Integrated Device Technology* 8,900 147
Intel 41,346 883
International Business Machines 27,576 2,535
Intersil, Cl A 367 9
Intuit* 113,592 3,576
Iron Mountain* 680 29
Itron* 2,200 106
Lam Research* 5,867 309
Lexmark International, Cl A (B)* 11,700 807
Linear Technology (B) 45,071 1,449
LSI Logic* 23,600 252
Mastercard, Cl A 600 61
MEMC Electronic Materials* 3,854 153
Mettler Toledo International* 1,565 121
Micron Technology 8,887 130
Microsoft 220,084 6,455
MicroStrategy, Cl A* 2,270 269
Molex 8,400 269
MoneyGram International 2,100 64
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Motorola 78,584 $ 1,742
MTS Systems 400 15
National Instruments 1,600 47
NCR* 3,000 129
Network Appliance (B)* 11,674 458
Novellus Systems (B)* 32,009 999
Nvidia* 9,230 341
Oracle* 29,211 556
Paychex 132,943 5,239
QLogic* 17,318 385
Qualcomm 262,546 9,607
Rambus* 2,900 65
Red Hat* 6,690 116
Research In Motion* 47,200 6,553
Sabre Holdings, Cl A 16,900 464
SanDisk* 68,465 3,040
Sanmina-SCI* 34,739 129
Seagate Technology 150,000 3,864
Solectron* 51,000 170
Sybase* 2,692 64
Symantec* 2,840 60
Symbol Technologies 6,000 89
Synopsys* 26,509 677
Tech Data (B)* 7,916 331
Tektronix 5,300 162
Texas Instruments 27,343 808
Trimble Navigation* 1,300 62
Vishay Intertechnology (B)* 34,200 448
Western Digital* 33,714 692
Western Union 189,692 4,325
Xerox* 27,079 447
Xilinx 8,600 230
Yahoo! (B)* 72,981 1,970
--------
102,276
--------
MATERIALS -- 2.8%
Air Products & Chemicals 1,100 76
Airgas 700 30
Albemarle 2,300 160
Alcan 2,400 115
Alcoa 41,700 1,300
Allegheny Technologies 1,700 152
Ashland 2,900 196
Ball 600 26
Bemis 14,400 491
Cabot 400 16
Carpenter Technology 500 53
Commercial Metals 500 15
Cytec Industries 1,900 101
Dow Chemical 61,140 2,446
E.I. du Pont de Nemours 11,865 557
Eagle Materials 2,000 86
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 7
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund (Continued)
November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Eastman Chemical (B) 6,500 $ 386
Ecolab 7,033 312
FMC 300 21
Freeport-McMoRan Copper & Gold,
Cl B 200 13
Hercules 5,400 101
International Flavors & Fragrances 3,300 155
International Paper 7,700 255
Lubrizol 12,203 578
Lyondell Chemical 4,300 106
MeadWestvaco 12,600 372
Monsanto 1,892 91
Newmont Mining 9,800 460
Nucor 22,600 1,353
OM Group* 6,000 282
Pactiv* 23,700 816
Phelps Dodge 6,600 812
PPG Industries 13,899 894
Praxair 56,551 3,529
Rohm & Haas 10,600 554
Sealed Air 780 46
Sigma-Aldrich 614 47
Smurfit-Stone Container (B)* 25,400 273
Sonoco Products 4,116 152
Steel Dynamics 12,000 390
Temple-Inland 1,045 41
Titanium Metals* 900 29
United States Steel 3,400 254
Valspar 15,000 420
Vulcan Materials 4,100 364
Wheeling-Pittsburgh* 2,400 42
--------
18,968
--------
TELECOMMUNICATION SERVICES -- 3.1%
Alltel 3,335 189
American Tower, Cl A* 34,337 1,300
AT&T (B) 232,402 7,881
BellSouth 73,890 3,295
CenturyTel 26,929 1,146
Citizens Communications 10,018 142
Crown Castle International (B)* 50,254 1,732
Embarq 99 5
Leap Wireless International* 900 51
Sprint Nextel 84,898 1,656
Verizon Communications 112,095 3,917
Windstream 2,000 28
--------
21,342
--------
UTILITIES -- 2.5%
AES* 4,400 103
Allegheny Energy* 2,922 130
Alliant Energy 13,500 525
Ameren 900 49
American Electric Power 49,831 2,069
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CenterPoint Energy 22,500 $ 368
CMS Energy (B)* 11,000 178
Constellation Energy Group 3,199 219
Dominion Resources 3,552 287
DPL 219 6
DTE Energy (B) 20,987 988
Duke Energy 925 29
Edison International 15,832 728
Energen 9,700 440
Energy East 17,800 435
Entergy 4,599 420
Exelon 2,454 149
FirstEnergy 26,303 1,574
Great Plains Energy 1,600 51
Hawaiian Electric Industries 900 24
KeySpan 7,000 287
MDU Resources Group 3,421 90
Mirant* 2,700 82
National Fuel Gas (B) 8,900 337
NiSource 1,000 25
Northeast Utilities 2,400 67
NRG Energy* 12,443 708
NSTAR 1,300 46
OGE Energy 4,200 165
Oneok 3,300 143
Pepco Holdings 38,800 994
PG&E 25,819 1,186
Pinnacle West Capital 15,900 785
PPL 12,765 464
Progress Energy (B) 2,600 124
Public Service Enterprise Group 4,720 317
Puget Energy 330 8
Questar 274 24
Reliant Energy* 7,400 99
SCANA 281 12
Sempra Energy 3,889 212
Southern 339 12
Southern Union 500 14
TXU 19,775 1,135
UGI 7,900 223
Wisconsin Energy 4,700 220
Xcel Energy (B) 21,245 488
--------
17,039
--------
Total Common Stock
(Cost $524,866) ($ Thousands) 640,612
--------
CORPORATE OBLIGATIONS (C) -- 4.0%
FINANCIALS -- 4.0%
Allstate Life Global Funding II
MTN (E) (F)
5.360%, 12/17/07 $ 424 424
- --------------------------------------------------------------------------------
8 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
American General Finance (E) (F)
5.350%, 12/17/07 $1,336 $ 1,336
Bear Stearns EXL (E)
5.360%, 12/17/07 1,640 1,640
Countrywide Financial MTN (E)
5.448%, 10/31/07 1,935 1,935
Dekabank (E) (F)
5.394%, 11/20/07 1,705 1,705
Irish Life & Permanent MTN,
Ser X (E) (F)
5.360%, 12/21/07 1,226 1,226
Islandsbanki (E) (F)
5.370%, 04/06/07 2,166 2,166
Jackson National Life
Funding (E) (F)
5.320%, 12/03/07 2,027 2,027
Kaupthing Bank MTN (E) (F)
5.380%, 03/20/07 2,304 2,304
Landsbanki Islands (E) (F)
5.400%, 03/16/07 1,751 1,751
Morgan Stanley EXL (E)
5.380%, 01/04/08 323 323
Morgan Stanley EXL, Ser S (E)
5.340%, 12/05/07 461 461
Natexis Banques (E) (F)
5.300%, 12/17/07 899 898
Nationwide Building Society
(E) (F)
5.424%, 10/26/07 507 507
5.350%, 12/07/07 922 922
Nordbank (E) (F)
5.350%, 12/24/07 1,567 1,567
Northern Rock (E) (F)
5.360%, 12/03/07 949 949
Pacific Life Global Funding
(E) (F)
5.370%, 12/13/07 691 691
Premium Asset Trust, Ser 2004-10
(E) (F)
5.360%, 12/17/07 1,290 1,290
SLM EXL, Ser S (E) (F)
5.320%, 12/17/07 1,014 1,014
Skandinav Enskilda Bank (E) (F)
5.320%, 12/18/07 1,014 1,014
Stanfield Victoria MTN (F)
5.445%, 06/11/07 922 921
--------
Total Corporate Obligations
(Cost $27,071) ($ Thousands) 27,071
--------
COMMERCIAL PAPER (C) (D) -- 0.9%
FINANCIALS -- 0.9%
Broadhollow Funding
5.305%, 12/07/06 516 516
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
KKR Pacific Funding Trust
5.345%, 12/27/06 $ 922 $ 918
5.305%, 01/02/07 461 458
Ocala Funding LLC
5.320%, 12/18/06 461 460
5.320%, 01/26/07 461 457
Rhineland Funding Capital
5.385%, 01/25/07 581 576
5.364%, 12/27/06 461 459
5.364%, 02/13/07 456 451
5.313%, 12/12/06 303 303
Witherspoon Funding Limited
5.329%, 12/15/06 461 460
Witherspoon Funding, Ser 2004-1A
5.330%, 03/15/07 795 795
--------
Total Commercial Paper
(Cost $5,853) ($ Thousands) 5,853
--------
CASH EQUIVALENTS -- 3.2%
Evergreen Select Money Market
Fund Institutional Class,
5.230%** 1,033,668 1,034
SEI Daily Income Trust,
Prime Obligation
Fund, Cl A,
5.300%** 20,702,975 20,703
--------
Total Cash Equivalents
(Cost $21,737) ($ Thousands) 21,737
--------
ASSET-BACKED SECURITIES (C) (E) (F) -- 0.4%
MORTGAGE RELATED SECURITIES -- 0.4%
Commodore, Ser 2003-2A,
Cl A1MM
5.470%, 12/12/38 424 424
Duke Funding, Ser 2004-6B,
Cl A1S1
5.440%, 10/09/07 691 691
Newcastle CDO, Ser 2005-6A,
Cl IM1
5.340%, 04/24/07 184 184
Park Place Securities NIM Trust,
Ser 2004-MM1, Cl MM1
5.350%, 02/26/07 274 274
Saturn Ventures II
5.380%, 02/07/07 742 742
TIAA Real Estate CDO, Ser 2003 1A,
Cl A1MM
5.350%, 09/28/07 686 686
--------
Total Asset-Backed Securities
(Cost $3,001) ($ Thousands) 3,001
--------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 9
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund (Concluded)
November 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATION (A) (D) -- 0.4%
U.S. Treasury Bill
4.900%, 02/22/07 $3,060 $ 3,025
--------
Total U.S. Treasury Obligation
(Cost $3,025) ($ Thousands) 3,025
--------
MASTER NOTE (C) (D) -- 0.3%
Bank of America
5.383%, 12/01/45 2,304 2,304
--------
Total Master Note
(Cost $2,304) ($ Thousands) 2,304
--------
CERTIFICATES OF DEPOSIT (C) -- 0.3%
Barclays Bank (E)
5.330%, 06/11/07 461 461
CC USA MTN (F)
5.379%, 06/18/07 921 921
U.S. Trust of New York (E)
5.316%, 03/13/07 369 369
--------
Total Certificates of Deposit
(Cost $1,751) ($ Thousands) 1,751
--------
Number of
Warrants
---------
WARRANTS -- 0.0%
Lucent Technologies,
Expires 12/10/07* 758 --
--------
Total Warrants
(Cost $--) ($ Thousands) --
--------
REPURCHASE AGREEMENTS (C) (G) -- 1.5%
ABN Amro
5.300%, dated 11/30/06, to be
repurchased on 12/01/06,
repurchase price $3,686,922
(collateralized by U.S. Government
obligations, ranging in par value
$46,080-$1,382,392, 0.000%-
6.000%, 03/01/07-07/01/36,
total market value $3,760,107) 3,686 3,686
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Barclays
5.300%, dated 11/30/06, to be
repurchased on 12/01/06,
repurchase price $784,595
(collateralized by various
U.S. Government obligations,
ranging in par value $17,188-
$244,407, 2.750%-5.700%,
12/15/06-05/27/15; with total
market value $800,182) $ 784 $ 784
Deutsche Bank
5.300%, dated 11/30/06, to be
repurchased on 12/01/06,
repurchase price $313,776
(collateralized by various
U.S. Government obligations,
ranging in par value $87,459-
$237,219, 0.000%-5.800%,
05/01/07-01/27/20; with total
market value $320,026) 314 314
Lehman Brothers
5.300%, dated 11/30/06, to be
repurchased on 12/01/06,
repurchase price $5,709,393
(collateralized by various
U.S. Government obligations,
ranging in par value $42,255-
$7,123,753, 3.085%-8.625%,
12/21/07-01/15/30; with total
market value $5,822,758) 5,709 5,709
--------
Total Repurchase Agreements
(Cost $10,493) ($ Thousands) 10,493
--------
Total Investments -- 105.1%
(Cost $600,101) ($ Thousands) $715,847
========
A summary of the open future contracts held by the Fund at November 30, 2006, is
as follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
TYPE OF NUMBER OF EXPIRATION APPRECIATION
CONTRACT CONTRACTS DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
S&P Mid 400 Index E-Mini 48 Dec-2006 $ 92
S&P 500 Composite Index 75 Dec-2006 400
====
$492
====
- --------------------------------------------------------------------------------
10 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
Percentages are based on Net Assets of $681,033 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of November 30, 2006.
+ Real Estate Investments Trust
(A) Security, or portion thereof, has been pledged as collateral on open futures
contracts.
(B) This security or a partial position of this security is on loan at November
30, 2006 (See Note 9). The total value of securities on loan at November 30,
2006 was $49,038 ($ Thousands).
(C) This security was purchased with cash collateral held from securities
lending (See Note 9). The total value of such securities as of November 30,
2006 was $50,473 ($ Thousands).
(D) The rate reported is the effective yield at time of purchase.
(E) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of November 30, 2006.
(F) Securities sold within terms of a p 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) 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
Ser -- Series
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 11
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Disciplined Equity Fund
November 30, 2006
- --------------------------------------------------------------------------------
[Bar Chart Omitted]
Plot points as follows:
SECTOR WEIGHTINGS++:
20.4% Financials
10.0% Information Technology
8.7% Asset-Backed Securities
8.7% Health Care
8.5% Industrials
7.1% Energy
6.7% Consumer Staples
6.5% Consumer Discretionary
6.1% Short-Term Investments
4.6% U.S. Government Mortgage-Backed Obligations
3.5% Commercial Paper
2.3% Materials
2.3% Utilities
2.1% Telecommunication Services
0.6% U.S. Treasury Obligations
1.2% U.S. Government Agency Obligations
0.3% Master Note
0.2% Certificate of Deposit
0.2% Collaterized Debt Obligations
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 -- 76.8%
CONSUMER DISCRETIONARY -- 7.0%
Amazon.com* 7,500 $ 303
Autonation (B)* 215,745 4,447
Autozone* 5,900 670
Bed Bath & Beyond* 9,900 384
Best Buy (B) 191,804 10,544
Big Lots (B)* 95,200 2,124
Brinker International 50,900 2,314
Cablevision Systems, Cl A (B) 190,694 5,296
CBS, Cl B 219,240 6,522
Centex 5,900 327
Circuit City Stores (B) 190,361 4,751
Coach* 281,500 12,164
Comcast, Cl A (B)* 599,581 24,259
Darden Restaurants 98,200 3,943
Dillard's, Cl A (B) 59,500 2,116
DIRECTV Group (B)* 989,797 22,518
DR Horton 18,300 488
Eastman Kodak 101,824 2,650
EchoStar Communications,
Cl A (B)* 483,643 17,416
Family Dollar Stores 85,900 2,396
Federated Department Stores 200,126 8,423
Fortune Brands 3,200 259
Fossil (B)* 10,200 214
Gannett 5,500 327
Gap 22,800 427
General Motors (B) 586,191 17,134
Genuine Parts (B) 12,200 572
Gymboree* 39,000 1,552
Harley-Davidson (B) 86,200 6,359
Harman International Industries 2,400 249
Harrah's Entertainment 10,157 799
Hasbro 12,600 337
Hilton Hotels 43,418 1,425
Home Depot 357,391 13,570
IAC/InterActive (B)* 78,600 2,868
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Idearc (B) 42,073 $ 1,159
International Game Technology (B) 124,400 5,446
JC Penney 250,500 19,374
Johnson Controls 73,041 5,940
Jones Apparel Group 144,600 4,859
KB Home 5,000 259
Kohl's (B)* 206,700 14,386
Lennar, Cl A 7,200 378
Limited Brands 103,000 3,264
Liz Claiborne 42,500 1,817
Lowe's 377,064 11,372
Marriott International, Cl A (B) 544,694 24,593
Mattel 83,100 1,824
McDonald's 524,832 22,027
McGraw-Hill 42,400 2,826
Newell Rubbermaid 36,600 1,043
News, Cl A* 351,400 7,239
Nordstrom 129,026 6,325
Office Depot* 582,385 22,049
OfficeMax 106,820 5,028
Omnicom Group 8,700 889
Pool (B) 39,500 1,618
Pulte Homes 13,300 449
Sally Beauty Holdings* 5,500 51
Sears Holdings (B)* 55,100 9,451
Sherwin-Williams 34,500 2,158
Snap-On 23,100 1,097
Staples 20,600 525
Starbucks* 320,008 11,293
Starwood Hotels & Resorts
Worldwide 48,900 3,138
Target 120,262 6,986
Time Warner 563,428 11,347
TJX 307,958 8,444
United Auto Group 46,005 1,080
Univision Communications,
Cl A (B)* 110,800 3,943
VF 165,795 12,997
Viacom, Cl B* 248,200 9,310
Walt Disney (B) 767,231 25,357
Wendy's International (B) 101,600 3,309
Whirlpool 12,501 1,066
Yum! Brands 155,400 9,509
----------
465,372
----------
CONSUMER STAPLES -- 7.3%
Altria Group 824,519 69,433
Anheuser-Busch 129,625 6,158
Archer-Daniels-Midland 1,244,465 43,681
Avon Products 10,800 353
Brown-Forman, Cl B 65,900 4,577
Campbell Soup 86,700 3,301
Chiquita Brands
International (B) 80,400 1,150
Clorox 100 6
- --------------------------------------------------------------------------------
12 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Coca-Cola 681,587 $ 31,919
Coca-Cola Enterprises 222,343 4,547
Colgate-Palmolive 183,522 11,938
ConAgra Foods 99,200 2,549
Costco Wholesale (B) 32,200 1,683
CVS (B) 356,155 10,247
Dean Foods (B)* 179,883 7,703
General Mills 38,400 2,148
HJ Heinz 136,800 6,081
Kellogg (B) 22,500 1,120
Kimberly-Clark 274,298 18,233
Kroger 1,295,964 27,811
Loews - Carolina 189,573 11,824
McCormick 20,200 782
Pepsi Bottling Group 157,129 4,921
PepsiCo 530,358 32,866
Procter & Gamble 1,125,457 70,667
Reynolds American (B) 317,100 20,370
Safeway 300,200 9,249
Sysco (B) 34,952 1,253
USANA Health Sciences* 5,500 266
UST (B) 70,600 3,952
Wal-Mart Stores 1,483,192 68,375
Walgreen 129,603 5,248
----------
484,411
----------
ENERGY -- 7.7%
Anadarko Petroleum 179,364 8,853
Apache 16,500 1,154
Baker Hughes 252,928 18,572
BJ Services 239,100 8,074
Chesapeake Energy (B) 256,300 8,722
Chevron 1,124,885 81,352
ConocoPhillips 925,001 62,253
Devon Energy 34,124 2,504
El Paso 37,300 545
EOG Resources 13,300 938
Exxon Mobil 2,441,430 187,526
Halliburton 345,428 11,655
Hess (B) 18,000 905
Kinder Morgan 16,034 1,683
Marathon Oil 273,912 25,852
Murphy Oil 4,200 228
Nabors Industries (B)* 249,030 8,407
National Oilwell Varco* 7,900 525
Noble 5,500 425
Occidental Petroleum 338,477 17,039
Peabody Energy 30,300 1,394
Rowan 6,500 234
Schlumberger 398,068 27,260
Smith International (B) 13,400 568
Sunoco (B) 82,758 5,641
Tidewater (B) 44,300 2,451
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Transocean (B)* 80,300 $ 6,259
Valero Energy 304,700 16,780
Weatherford International (B)* 79,900 3,588
XTO Energy 16,900 855
----------
512,242
----------
FINANCIALS -- 18.0%
A.G. Edwards (B) 97,798 5,658
ACE 145,043 8,244
Allstate 317,247 20,139
AMBAC Financial Group 15,200 1,302
American Express 263,617 15,480
American Home Mortgage
Investment+ (B) 33,100 1,171
American International Group 547,316 38,487
AmeriCredit* 11,200 263
Ameriprise Financial 63,736 3,448
AON (B) 271,134 9,674
Apartment Investment &
Management, Cl A+ 83,100 4,790
Archstone-Smith Trust+ 142,700 8,559
Ashford Hospitality Trust+ (B) 58,500 768
Bank of America 2,439,951 131,391
Bank of New York 81,500 2,896
BB&T 97,900 4,211
Bear Stearns (B) 80,411 12,261
Boston Properties+ (B) 67,100 7,854
Capital One Financial (B) 27,900 2,173
CB Richard Ellis Group, Cl A* 29,200 962
Charles Schwab 248,900 4,565
Chicago Mercantile Exchange
Holdings 18,400 9,855
Chubb 266,700 13,804
Cincinnati Financial 9,600 425
CIT Group 28,900 1,503
Citigroup 2,578,789 127,882
CNA Financial* 20,373 784
Comerica 61,500 3,582
Commerce Bancorp (B) 3,900 136
Compass Bancshares 47,000 2,686
Countrywide Financial 207,184 8,229
E*Trade Financial* 201,000 4,838
Equity Office Properties
Trust+ (B) 53,100 2,559
Equity Residential+ 102,400 5,454
Fannie Mae 347,723 19,831
Federated Investors, Cl B 6,800 226
FelCor Lodging Trust+ 8,500 187
Fieldstone Investment+ 8,600 48
First Cash Financial Services* 30,400 621
Franklin Resources 64,409 6,875
Freddie Mac 53,617 3,601
Genworth Financial, Cl A 76,400 2,506
Goldman Sachs Group 194,303 37,850
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 13
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Disciplined Equity Fund (Continued)
November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Hartford Financial Services
Group 226,861 $ 19,456
Hospitality Properties Trust+ (B) 9,500 477
Host Hotels & Resorts+ (B) 843,446 21,272
JPMorgan Chase (B) 2,105,443 97,440
Keycorp 161,500 5,830
Kimco Realty+ 117,600 5,454
KKR Financial+ (B)* 74,400 1,991
Legg Mason 6,500 620
Lehman Brothers Holdings 331,384 24,413
Lincoln National (B) 34,092 2,168
Loews 834,573 33,316
Luminent Mortgage Capital+ 25,200 260
M&T Bank 8,200 973
Marshall & Ilsley 5,900 270
MBIA 5,600 390
Mellon Financial 36,000 1,448
Merrill Lynch 708,657 61,958
Metlife (B) 694,881 40,810
MGIC Investment 114,400 6,631
Moody's 209,170 14,533
Morgan Stanley 446,069 33,973
National City (B) 159,616 5,762
Newcastle Investment+ 12,700 380
North Fork Bancorporation 19,679 552
Northern Trust 18,600 1,059
PMI Group 16,800 728
PNC Financial Services Group 172,077 12,164
Principal Financial Group 47,800 2,760
Progressive 44,696 1,008
Prologis+ 70,800 4,614
Prudential Financial 154,500 12,589
Public Storage+ (B) 150,874 14,526
Radian Group 4,000 213
Regions Financial 229,667 8,417
Safeco 122,251 7,405
Simon Property Group+ 54,781 5,587
SLM 76,800 3,520
Sovereign Bancorp 12,285 307
Spirit Finance+ 23,900 292
St. Paul Travelers 314,200 16,279
State Street 36,800 2,286
SunTrust Banks 66,400 5,422
Synovus Financial 7,700 231
T Rowe Price Group 157,328 6,817
Torchmark 9,200 582
Transatlantic Holdings 2,630 163
UnumProvident 10,800 221
US Bancorp 827,721 27,845
Vornado Realty Trust+ (B) 45,900 5,788
Wachovia 1,080,787 58,568
Washington Mutual (B) 778,208 33,992
Wells Fargo 1,138,801 40,131
WR Berkley (B) 228,354 8,017
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Zions Bancorporation 16,900 $ 1,322
----------
1,201,008
----------
HEALTH CARE -- 9.4%
Abbott Laboratories 394,416 18,403
Aetna 196,088 8,100
Allergan 28,400 3,311
AmerisourceBergen 482,864 22,207
Amgen* 238,903 16,962
Applera - Applied Biosystems
Group 163,700 5,965
Barr Pharmaceuticals* 5,100 261
Baxter International 224,428 10,041
Becton Dickinson 149,100 10,693
Biogen Idec* 59,700 3,120
Biomet 7,200 272
Bristol-Myers Squibb 142,447 3,537
C.R. Bard 30,404 2,502
Cardinal Health 495,561 32,023
Caremark Rx 275,796 13,045
Celgene* 58,900 3,283
Cigna 36,109 4,552
Coventry Health Care* 12,750 614
Cytyc* 9,600 252
Eli Lilly 321,319 17,220
Express Scripts* 284,855 19,427
Forest Laboratories* 35,100 1,709
Genentech* 95,917 7,841
Genzyme* 6,200 399
Gilead Sciences* 150,900 9,953
Health Net* 148,245 6,840
Henry Schein (B)* 54,684 2,818
Hospira* 1,800 59
Humana (B)* 433,842 23,471
Idexx Laboratories* 3,300 279
IMS Health 28,300 777
Johnson & Johnson 1,644,895 108,415
King Pharmaceuticals (B)* 201,100 3,324
Laboratory of America
Holdings (B) 78,500 5,558
Lincare Holdings (B)* 48,100 1,812
Manor Care (B) 74,300 3,531
McKesson 543,695 26,859
Medco Health Solutions 507,376 25,475
Medtronic 112,149 5,846
Merck 666,994 29,688
Millipore (B)* 8,500 582
Mylan Laboratories (B) 9,700 197
PerkinElmer 28,300 613
Pfizer (B) 2,291,628 62,997
Quest Diagnostics (B) 27,300 1,452
Schering-Plough 135,800 2,989
St. Jude Medical* 10,100 376
Stryker 11,800 612
- --------------------------------------------------------------------------------
14 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Thermo Electron* 233,700 $ 10,243
UnitedHealth Group 420,522 20,639
Waters* 80,300 4,018
WellPoint* 217,896 16,488
Wyeth 939,037 45,337
Zimmer Holdings* 9,500 693
----------
627,680
----------
INDUSTRIALS -- 9.2%
3M 176,744 14,398
Acuity Brands 26,100 1,375
Allied Waste Industries (B)* 196,600 2,493
American Power Conversion 16,500 501
American Standard 8,200 367
AMR* 243,377 7,778
Avery Dennison 3,400 229
Boeing 611,266 54,115
Burlington Northern Santa Fe 158,700 11,928
Caterpillar 755,528 46,865
Ceradyne* 35,200 1,859
Cintas 5,100 215
Con-way 7,100 327
Cooper Industries, Cl A 40,443 3,698
CSX 243,300 8,725
Cummins 55,960 6,711
Danaher (B) 25,600 1,872
Deere 20,900 2,006
Dover 119,100 5,991
Eaton 34,400 2,652
Emerson Electric 217,715 18,876
FedEx (B) 121,065 13,975
Flowserve (B)* 41,284 2,223
Fluor (B) 41,828 3,642
Gardner Denver* 43,400 1,660
General Dynamics 92,600 6,930
General Electric 3,071,823 108,374
Goodrich 6,200 279
Herman Miller 50,800 1,784
Honeywell International 996,326 42,822
Illinois Tool Works 25,800 1,218
Ingersoll-Rand, Cl A 209,566 8,175
ITT Industries 4,100 221
Jacobs Engineering Group* 97,527 8,180
John H. Harland 5,300 227
L-3 Communications Holdings 89,900 7,394
Lockheed Martin 297,733 26,930
Masco 20,000 574
Monster Worldwide* 30,100 1,314
NCI Building Systems* 7,800 430
Norfolk Southern 203,000 9,998
Northrop Grumman 246,748 16,515
Paccar (B) 112,213 7,327
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Parker Hannifin 5,800 $ 484
Raytheon 153,800 7,850
Regal-Beloit 8,900 455
Robert Half International 12,984 501
Rockwell Automation 88,362 5,751
Rockwell Collins 32,600 1,967
RR Donnelley & Sons 73,800 2,603
Ryder System (B) 83,800 4,372
Southwest Airlines 177,000 2,781
Terex (B)* 155,074 8,687
Textron 79,800 7,776
Thomas & Betts* 22,900 1,188
Tyco International 1,374,453 41,632
Union Pacific 269,822 24,424
United Parcel Service, Cl B 217,250 16,928
United Technologies 324,344 20,930
Waste Management 118,700 4,346
WW Grainger 3,000 217
----------
616,065
----------
INFORMATION TECHNOLOGY -- 11.0%
Adobe Systems* 11,700 470
Advanced Micro Devices* 76,262 1,645
Agere Systems* 43,942 787
Agilent Technologies* 335,800 10,692
Altera* 14,500 288
Analog Devices 126,100 4,101
Apple Computer* 177,730 16,294
Applied Materials (B) 566,600 10,187
Ariba (B)* 99,400 751
Arrow Electronics* 525,785 16,699
ATMI (B)* 63,700 2,071
Autodesk* 7,600 313
Automatic Data Processing 230,453 11,115
Avaya* 16,300 208
Avnet* 350,122 8,680
Avocent* 29,600 1,029
BMC Software (B)* 229,500 7,473
Broadcom, Cl A* 16,250 533
CA 15,600 339
Cadence Design Systems* 41,000 754
Ciena* 27,300 686
Cisco Systems* 1,175,280 31,592
Citrix Systems* 141,700 4,072
Cognizant Technology
Solutions, Cl A* 20,500 1,672
Computer Sciences* 60,100 3,137
Convergys* 121,800 2,938
Corning* 530,200 11,431
DealerTrack Holdings* 13,900 380
Dell* 200,876 5,472
Digital Insight* 15,300 584
Electronic Arts* 6,600 369
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 15
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Disciplined Equity Fund (Continued)
November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Electronic Data Systems 749,049 $ 20,329
EMC* 339,700 4,453
Fidelity National Information
Services 18,900 754
First Data 34,403 869
Fiserv* 190,400 9,731
Freescale Semiconductor,
Cl B (B)* 331,969 13,256
Google, Cl A (B)* 88,286 42,812
Hewlett-Packard 1,910,438 75,386
Ingram Micro, Cl A* 284,047 5,789
Intel 695,085 14,840
Internap Network Services* 24,500 477
International Business Machines 966,142 88,808
Interwoven* 15,700 222
Intuit* 122,400 3,853
Itron (B)* 21,700 1,041
Jabil Circuit* 12,000 340
Juniper Networks* 18,800 400
Kla-Tencor 4,000 207
Lam Research* 5,600 295
Lexmark International,
Cl A (B)* 94,400 6,512
LSI Logic* 19,500 208
Lucent Technologies* 147,400 376
Maxim Integrated Products 8,700 274
MEMC Electronic Materials* 4,500 179
Micron Technology (B) 272,200 3,974
Microsoft 2,951,418 86,565
MicroStrategy, Cl A (B)* 47,100 5,580
Molex 117,900 3,773
Motorola 1,721,048 38,156
National Semiconductor 23,978 580
NCR* 406,530 17,444
Network Appliance (B)* 114,800 4,501
Novellus Systems (B)* 274,600 8,573
Nvidia (B)* 312,200 11,548
Oracle* 1,320,116 25,148
Parametric Technology* 19,000 368
Paychex 10,600 418
QLogic* 213,600 4,753
Qualcomm 624,252 22,841
RealNetworks (B)* 28,800 331
Sabre Holdings, Cl A 36,900 1,012
SanDisk (B)* 27,300 1,212
SonicWALL* 129,700 1,303
Symantec (B)* 75,000 1,590
Symbol Technologies 109,000 1,615
Synopsys* 13,600 347
Tech Data (B)* 35,452 1,483
Technitrol 1,600 44
Tektronix 21,000 642
Tellabs* 129,900 1,304
Texas Instruments 351,961 10,400
Travelzoo (B)* 61,600 1,907
Valueclick (B)* 72,900 1,813
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
VeriSign* 200 $ 5
Vishay Intertechnology* 15,900 208
Websense (B)* 84,700 2,164
Western Digital* 15,400 316
Western Union 46,603 1,063
Xerox (B)* 687,309 11,341
Xilinx 300,600 8,056
Yahoo! (B)* 13,710 370
----------
730,921
----------
MATERIALS -- 2.5%
Air Products & Chemicals 9,800 678
Alcoa 27,300 851
Allegheny Technologies 89,200 7,997
Ashland 153,147 10,354
Bemis 31,600 1,079
Celanese, Ser A 676,667 14,887
Chaparral Steel* 16,300 758
Crown Holdings* 252,828 5,208
Dow Chemical 274,600 10,987
E.I. du Pont de Nemours 253,487 11,896
Eagle Materials 4,500 193
Eastman Chemical 11,400 677
Ecolab (B) 82,800 3,672
Freeport-McMoRan Copper & Gold,
Cl B (B) 242,946 15,274
Hercules 81,000 1,509
Huntsman* 176,799 3,078
International Flavors &
Fragrances 19,300 909
International Paper (B) 36,702 1,215
Monsanto 249,220 11,980
Newmont Mining 126,000 5,911
Nucor 227,000 13,586
Pactiv* 103,300 3,559
Phelps Dodge 125,500 15,436
PPG Industries 3,700 238
Praxair 11,580 723
Rohm & Haas 6,200 324
Sigma-Aldrich 4,000 304
Temple-Inland 167,000 6,530
United States Steel 56,000 4,188
Valhi 2,299 61
Vulcan Materials (B) 133,480 11,842
Weyerhaeuser 3,900 252
Wheeling-Pittsburgh* 12,600 222
----------
166,378
----------
TELECOMMUNICATION SERVICES -- 2.3%
Alltel 104,000 5,901
AT&T (B) 1,678,238 56,909
BellSouth 683,682 30,485
CenturyTel 123,900 5,272
- --------------------------------------------------------------------------------
16 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Citizens Communications (B) 46,400 $ 657
Qwest Communications
International (B)* 1,721,547 13,239
Sprint Nextel 144,784 2,825
Telephone & Data Systems 50,417 2,605
US Cellular* 66,682 4,489
Verizon Communications 881,180 30,788
Windstream 53,813 750
----------
153,920
----------
UTILITIES -- 2.4%
AES (B)* 517,008 12,082
Allegheny Energy* 275,500 12,221
Ameren (B) 46,700 2,555
American Electric Power 254,100 10,548
CMS Energy (B)* 34,500 559
Consolidated Edison 4,400 212
Constellation Energy Group 4,300 295
Dominion Resources 40,700 3,286
Duke Energy 115,500 3,664
Edison International 365,379 16,800
Entergy 4,300 393
Exelon (B) 231,382 14,052
FirstEnergy 142,200 8,509
FPL Group 8,900 474
KeySpan 27,900 1,145
Peoples Energy 7,200 312
PG&E (B) 85,704 3,936
Pinnacle West Capital (B) 22,000 1,086
PPL 8,600 313
Public Service Enterprise
Group (B) 168,683 11,339
Sempra Energy 81,630 4,449
Southern 4,800 174
TXU 923,435 52,996
Xcel Energy 14,200 326
----------
161,726
----------
Total Common Stock
(Cost $4,405,536) ($ Thousands) 5,119,723
----------
ASSET-BACKED SECURITIES -- 9.5%
MORTGAGE RELATED SECURITIES -- 9.5%
Aames Mortgage Investment Trust,
Ser 2005-4, Cl B2 (E)
8.070%, 12/12/06 $ 1,040 933
Ace Securities, Ser 2003-NC1,
Cl M1 (E)
6.100%, 12/25/06 3,600 3,618
Ace Securities, Ser 2003-OP1,
Cl M1 (E)
6.020%, 12/26/06 1,500 1,507
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Ace Securities, Ser 2005-HE7,
Cl A1B2 (E)
5.620%, 12/27/06 $ 3,419 $ 3,421
Adjustable Rate Mortgage NIM
Trust, Ser 2005-4, Cl A (A)
5.500%, 12/27/35 737 734
Adjustable Rate Mortgage Trust,
Ser 2005-3, Cl 1A2 (E)
4.610%, 12/25/06 594 598
Aegis Asset-Backed Securities
Trust, Ser 2003-3, Cl M1 (E)
6.020%, 12/25/06 317 318
American Home Mortgage Assets,
Ser 2006-3, Cl M5 (E)
5.940%, 10/25/46 1,200 1,200
American Home Mortgage Investment
Trust, Ser 2005-1, Cl 6A (E)
5.294%, 12/25/06 17,201 17,160
American Home Mortgage Investment
Trust, Ser 2006-1, Cl 2A3 (E)
5.100%, 12/25/06 7,194 7,115
Ameriquest Mortgage Securities,
Ser 2003-2, Cl M1 (E)
6.220%, 12/25/06 2,373 2,380
Argent Securities, Ser 2003-W5,
Cl M1 (E)
6.020%, 12/25/06 1,000 1,011
Argent Securities, Ser 2003-W9,
Cl M1 (E)
6.010%, 12/26/06 2,059 2,070
Asset-Backed Funding Certificates,
Ser 2004-OPT5, Cl M1 (E)
6.070%, 12/14/06 1,000 1,003
Asset-Backed Funding NIM Trust,
Ser 2005-HE2A, Cl N1 (A)
6.000%, 07/26/35 836 833
Asset-Backed Funding NIM Trust,
Ser 2005-WMC1, Cl N1 (A)
5.900%, 07/26/35 190 189
Asset-Backed Securities Home
Equity Loan Trust,
Ser 2003-HE5, Cl M1 (E)
6.070%, 12/15/06 2,828 2,841
Asset-Backed Securities Home
Equity Loan Trust,
Ser 2003-HE5, Cl M2 (E)
7.220%, 12/15/06 1,600 1,616
Asset-Backed Securities Home
Equity, Ser 2003-HE7,
Cl M2 (E)
7.080%, 12/15/06 1,250 1,268
Banc of America Commercial
Mortgage, Ser 2006-2, Cl A1
5.611%, 12/01/06 4,604 4,674
Bear Stearns Asset-Backed
Securities, Ser 2006-PC1N,
Cl A1 (A)
5.500%, 12/25/35 282 282
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 17
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Disciplined Equity Fund (Continued)
November 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Citifinancial Mortgage Securities,
Ser 2004-1, Cl AF2 (H)
2.645%, 12/01/06 $ 2,949 $ 2,867
Citigroup Mortgage Loan Trust,
Ser 2005-HE4, Cl A2C (E)
5.590%, 12/27/06 8,916 8,929
Commodore, Ser 2003-2A,
Cl A1MM (A) (C) (E)
5.470%, 12/12/38 3,867 3,867
Countrywide Alternative Loan
Trust, Ser 2004-33, Cl 1A1 (E)
4.999%, 12/01/06 4,831 4,881
Countrywide Alternative Loan
Trust, Ser 2005-69, Cl M3 (E)
6.470%, 12/27/06 1,325 1,344
Countrywide Alternative Loan
Trust, Ser 2005-IM1, Cl M3 (E)
7.320%, 12/27/06 1,551 1,551
Countrywide Alternative Loan
Trust, Ser 2006-OA11, Cl M3 (E)
5.750%, 12/30/06 2,800 2,799
Countrywide Alternative Loan
Trust, Ser 2006-OA16, Cl M5 (E)
5.870%, 08/25/36 1,205 1,204
Countrywide Asset-Backed
Certificates, Ser 2003-2,
Cl M2 (E)
6.970%, 12/26/06 954 967
Countrywide Asset-Backed
Certificates, Ser 2004-9,
Cl AF3 (E)
3.854%, 10/25/30 857 853
Countrywide Asset-Backed
Certificates, Ser 2005-13N,
Cl NOTE (A)
6.000%, 11/25/36 352 350
Countrywide Asset-Backed
Certificates, Ser 2005-7,
Cl MV8 (E)
6.770%, 12/27/06 1,350 1,366
Countrywide Asset-Backed
Certificates, Ser 2006-S1,
Cl A2
5.549%, 08/25/21 8,750 8,742
Countrywide Home Equity Loan
Trust, Ser 2006-D, Cl 2A (E)
5.520%, 12/30/06 11,453 11,453
Countrywide Home Loans,
Ser 2004-22, Cl A1 (E)
5.090%, 12/01/06 2,183 2,180
Countrywide Home Loans,
Ser 2005-HY10, Cl 1A1 (E)
5.283%, 12/01/06 5,136 5,177
Countrywide Home Loans,
Ser 2005-HYB9, Cl 1A1 (E)
5.150%, 12/01/06 3,076 3,071
Countrywide Home Loans,
Ser 2005-HYB9, Cl 1A2 (E)
5.150%, 12/01/06 615 614
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Home Loans,
Ser 2006-OA4, Cl M4 (E)
6.140%, 12/27/06 $ 1,615 $ 1,643
Countrywide Home Loans,
Ser 2006-OA4, Cl M5 (E)
6.190%, 12/27/06 1,100 1,109
Countrywide Home Loans,
Ser 2006-OA5, Cl 1M4 (E)
6.370%, 12/27/06 3,168 3,184
Credit-Based Asset Servicing
and Securities, Ser 2005-CB8,
Cl AF1B (H)
5.451%, 12/25/06 8,018 7,984
DSLA Mortgage Loan Trust,
Ser 2004-AR2, Cl B2 (E)
6.520%, 11/19/44 1,785 1,785
Duke Funding, Ser 2004-6B,
Cl A1S1 (A) (C) (E)
5.440%, 10/09/07 6,305 6,305
FBR Securitization Trust,
Ser 2005-2, Cl M10 (E)
7.570%, 12/28/06 600 505
FBR Securitization Trust,
Ser 2005-4, Cl M11 (E)
7.320%, 12/27/06 1,265 1,203
FBR Securitization Trust,
Ser 2005-4, Cl M12 (E)
7.320%, 12/27/06 600 594
FBR Securitization Trust,
Ser 2005-5, Cl M12 (E)
7.570%, 12/27/06 755 732
First Franklin Mortgage Loan Asset,
Ser 2003-FF4, Cl M3 (E)
7.220%, 12/27/06 1,031 1,033
First Franklin Mortgage Loan Asset,
Ser 2005-FF8A, Cl N1 (A)
6.500%, 09/25/35 1,268 1,260
First Franklin Mortgage Loan Asset,
Ser 2005-FFH4, Cl N1 (A)
5.682%, 12/25/35 314 312
First Franklin Mortgage Loan
Asset-Backed Securities,
Ser 2005-FF10, Cl A4 (E)
5.640%, 12/25/06 25,000 25,064
First Franklin Mortgage Loan
Asset-Backed Securities,
Ser 2005-FF9, Cl A3 (E)
5.600%, 12/25/06 13,000 13,027
First Franklin Mortgage Loan,
Ser 2003-FF5, Cl M6 (E)
8.820%, 12/25/06 1,930 1,950
First Horizon Alternative Mortgage
Trust, Ser 2005-AA3, Cl 3A1 (E)
5.372%, 12/01/06 1,203 1,207
- --------------------------------------------------------------------------------
18 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
First Horizon Alternative
Mortgage Trust,
Ser 2006-AA6, Cl 2A1 (E)
5.750%, 12/01/06 $ 27,809 $ 27,962
First Horizon Asset Securities,
Ser 2006-AR3, Cl 1A1 (E)
5.915%, 12/01/06 7,605 7,631
GE-WMC Mortgage Securities NIM
Trust, Ser 2005-2A, Cl N1 (A)
5.500%, 01/25/36 129 129
GMAC Mortgage Loan Trust,
Ser 2006-HE1, Cl A (E)
5.530%, 12/25/06 21,800 21,805
GS Mortgage Securities,
Ser 2006-GG6, Cl AM (E)
5.622%, 04/10/38 21,000 21,692
GSAA Home Equity Trust,
Ser 2006-3N, Cl N1 (A)
5.750%, 03/25/36 304 303
GSAA Home Equity Trust,
Ser NI, Cl M9 (A)
6.500%, 10/25/35 1,986 1,994
GSAMP Trust, Ser 2005-WM2N,
Cl N (A)
5.500%, 11/25/35 866 857
HSI Asset Securitization Trust,
Ser 2005-I1, Cl 2A3 (E)
5.610%, 12/27/06 17,700 17,743
HSI Asset Securitization Trust,
Ser 2005-NC1, Cl 2A4 (E)
5.640%, 12/25/06 3,347 3,348
Holmes Financing, Ser 2006-10A,
Cl 1C (E)
5.738%, 01/16/07 3,250 3,250
Home Equity Asset Trust,
Ser 2003-4, Cl M2 (E)
7.220%, 12/25/06 2,085 2,093
Home Equity Asset Trust,
Ser 2004-6N, Cl A (A)
5.250%, 01/27/35 1,213 1,195
Home Equity Asset Trust,
Ser 2004-7N, Cl A (A)
4.500%, 02/27/35 1,618 1,591
Home Equity Asset Trust,
Ser 2005-5N, Cl A (A)
5.500%, 12/27/35 1,689 1,649
Home Equity Asset Trust,
Ser 2005-6N, Cl A (A)
6.000%, 01/27/36 650 640
Home Equity Asset Trust,
Ser 2005-7N, Cl A (A)
6.500%, 02/27/36 930 922
Home Equity Asset Trust,
Ser 2006-1N, Cl 1A (A)
6.500%, 05/27/36 581 577
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Home Equity Mortgage Trust,
Ser 2006-5, Cl A1 (H)
5.500%, 01/25/37 $ 21,549 $ 21,569
IMPAC CMB Trust, Ser 2004-10,
Cl 4M1 (E)
5.920%, 03/25/35 2,543 2,553
IMPAC NIM Trust, Ser 2006-1,
Cl N (A)
6.000%, 03/25/36 513 513
Impac Secured Assets CMO Owners
Trust, Ser 2006-3, Cl A4 (E)
5.414%, 12/27/06 18,872 18,875
Indymac Index Mortgage Loan Trust,
Ser 2005-AR2, Cl 1A1 (E)
4.909%, 12/01/06 1,364 1,381
Indymac Index Mortgage Loan Trust,
Ser 2006-AR12, Cl M2 (E)
5.870%, 09/25/46 1,270 1,266
Indymac Index Mortgage Loan Trust,
Ser 2006-AR2, Cl M6 (E)
7.070%, 04/25/46 1,325 1,346
Indymac Index Mortgage Loan Trust,
Ser 2006-AR2, Cl M9 (E)
7.070%, 12/25/06 1,150 977
Indymac Index Mortgage Loan Trust,
Ser 2006-AR4, Cl M4 (E)
6.020%, 12/25/06 940 944
JPMorgan Mortgage Acquisition,
Ser 2006-RM1, Cl A2 (E)
5.400%, 12/27/06 4,587 4,587
JPMorgan Mortgage Acquistion,
Ser 2006-WF1, Cl A1B (E)
5.092%, 12/31/06 7,838 7,838
Lehman XS NIM Trust, Ser 2005-5N,
Cl A (A)
7.000%, 11/28/35 995 991
Lehman XS Trust, Ser 2005-5N,
Cl M3 (E)
6.320%, 12/25/06 2,424 2,455
Lehman XS Trust, Ser 2005-5N,
Cl M4 (E)
7.070%, 12/31/06 3,000 2,916
Lehman XS Trust, Ser 2005-7N,
Cl M51 (E)
6.570%, 12/25/35 620 629
Lehman XS Trust, Ser 2005-7N,
Cl M7I (E)
7.070%, 12/27/06 1,350 1,301
Lehman XS Trust, Ser 2005-9N,
Cl M4 (E)
6.720%, 12/30/06 936 960
Lehman XS Trust, Ser 2005-9N,
Cl M6 (E)
7.070%, 12/30/06 2,300 2,315
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 19
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Disciplined Equity Fund (Continued)
November 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Lehman XS Trust, Ser 2006-11,
Cl M10 (E)
7.320%, 12/25/06 $ 1,145 $ 940
Lehman XS Trust, Ser 2006-12N,
Cl M4 (E)
5.870%, 08/25/46 1,475 1,475
Lehman XS Trust, Ser 2006-12N,
Cl M5 (E)
5.920%, 08/25/46 815 815
Lehman XS Trust, Ser 2006-2N,
Cl M5 (E)
6.470%, 12/27/06 1,221 1,238
Long Beach Asset Holdings,
Ser 2005-WL1, Cl N1 (A)
5.193%, 06/25/45 728 724
Long Beach Asset Holdings,
Ser 2006-2, Cl N1 (A)
5.780%, 04/25/46 411 408
Long Beach Mortgage Loan Trust,
Ser 2006-WL1, Cl 1A3 (E)
5.650%, 12/27/06 3,846 3,857
Master Asset-Backed Securities NIM
Trust, Ser 2006-CI13, Cl N1 (A)
7.000%, 12/25/35 1,359 1,322
Master Asset-Backed Securities
Trust, Ser 2002-OPT1, Cl M1 (E)
6.470%, 12/27/06 607 608
Master Asset-Backed Securities
Trust, Ser 2003-WMC2, Cl M1 (E)
6.020%, 12/27/06 1,512 1,512
Merrill Lynch Mortgage Investors,
Ser 2005-AR1N, Cl N1 (A)
5.000%, 06/25/36 1,583 1,570
Merrill Lynch Mortgage Investors,
Ser 2005-NCB, Cl A1A (E)
5.451%, 12/01/06 2,717 2,705
Merrill Lynch Mortgage Investors,
Ser 2006-1, Cl 1A (E)
5.350%, 02/25/36 12,725 12,618
Merrill Lynch Mortgage Investors,
Ser 2006-MLN1, Cl A2A (E)
5.394%, 12/29/06 5,431 5,431
Merrill Lynch Mortgage Investors,
Ser 2006-RM4, Cl A2A (E)
5.400%, 12/27/06 8,309 8,308
Morgan Stanley Capital I,
Ser 2003-NC10, Cl M1 (E)
6.000%, 12/27/06 2,483 2,491
Morgan Stanley Capital I,
Ser 2003-NC10, Cl M2 (E)
7.120%, 12/26/06 2,050 2,062
Morgan Stanley Capital I,
Ser 2003-NC8, Cl M3 (E)
7.420%, 12/25/06 475 480
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Morgan Stanley Dean Witter
Capital I, Ser 2003-NC1,
Cl M2 (E)
7.370%, 12/27/06 $ 2,520 $ 2,524
Morgan Stanley Dean Witter
Capital I, Ser 2003-NC4,
Cl M2 (E)
7.320%, 12/25/06 931 932
National Collegiate Student Loan
Trust, Ser 2003-3, Cl C (E)
5.819%, 12/28/06 5,650 5,650
New Century Home Equity Loan
Trust, Ser 2004-A, Cl AII3 (E)
4.450%, 12/01/06 2,877 2,859
Newcastle CDO, Ser 2005-6A,
Cl IM1 (A) (C) (E)
5.340%, 04/24/07 1,681 1,681
Option One Mortgage Loan Trust,
Ser 2003-5, Cl M1 (E)
5.970%, 12/23/06 1,800 1,806
Option One Mortgage Loan Trust,
Ser 2006-1, Cl M10 (A) (E)
7.820%, 12/27/06 200 174
Option One Mortgage Loan Trust,
Ser 2006-1, Cl M11 (A) (E)
7.820%, 12/27/06 410 390
Option One Mortgage Securities,
Ser 2005-3A, Cl N1 (A)
5.438%, 08/26/35 858 854
Ownit Mortgage Loan Asset-Backed
Securities Trust, Ser 2006-1,
Cl AF1 (H)
5.424%, 12/25/36 10,817 10,763
Ownit Mortgage Loan NIM Trust,
Ser 2005-4N, Cl N1 (A)
5.000%, 08/25/36 3,494 3,455
Ownit Mortgage Loan NIM Trust,
Ser 2005-5A, Cl N1 (A)
5.500%, 10/25/36 295 293
Park Place Securities NIM Trust,
Ser 2004-MM1, Cl MM1 (C) (E)
5.350%, 02/26/07 2,497 2,497
People's Financial Realty Mortgage
Security, Ser 2006-1, Cl B1 (E)
7.820%, 12/03/06 1,315 1,290
Residential Accredit Loans,
Ser 2006-Q01, Cl 2A3 (E)
5.720%, 12/27/06 2,137 2,142
Residential Accredit Loans,
Ser 2006-Q04, Cl N1 (A)
6.048%, 04/25/46 1,168 1,163
Residential Accredit Loans,
Ser 2006-Q06, Cl M5 (E)
5.820%, 12/29/06 2,000 1,992
Residential Asset Mortgage
Products, Ser 2006-RZ4,
Cl A1 (A) (E)
5.410%, 12/25/06 13,838 13,837
- --------------------------------------------------------------------------------
20 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Residential Asset Mortgage
Products, Ser 2006-RZ4,
Cl M9 (A) (E)
7.475%, 12/25/06 $ 670 $ 666
Residential Asset Securities,
Ser 2003-KS4, Cl AI4
3.490%, 02/25/31 2,944 2,929
Residential Asset Securities,
Ser 2005-KS8, Cl A3 (E)
5.580%, 08/25/35 1,375 1,378
Residential Asset Securitization
Trust, Ser 2004-IP2, Cl 3A1 (E)
5.274%, 12/25/06 10,484 10,534
Resmae Mortgage Loan Trust,
Ser 2006-1, Cl A2A (A) (E)
5.420%, 12/25/06 6,799 6,798
Resmae Mortgage Loan Trust,
Ser 2006-1, Cl A2B (A) (E)
5.470%, 12/25/06 5,900 5,901
SB Finance NIM Trust,
Ser 2005-HE3, Cl 2N1 (A)
5.000%, 06/25/35 1,897 1,882
SB Finance NIM Trust,
Ser 2005-HE3, Cl N1 (A)
4.750%, 09/25/35 2,504 2,483
SB Finance NIM Trust,
Ser 2006-KS4N, Cl N1 (A)
7.500%, 06/25/36 650 649
SLM Student Loan Trust,
Ser 2006-C, Cl C (E)
5.754%, 12/28/06 5,400 5,341
Saco I Trust, Ser 2005-10,
Cl 2A1 (E)
5.580%, 12/30/06 8,276 8,291
Saco I Trust, Ser 2005-9,
Cl A1 (E)
5.570%, 12/27/06 9,341 9,343
Saco I Trust, Ser 2005-WM3,
Cl A1 (E)
5.580%, 12/27/06 7,708 7,710
Sail NIM Notes, Ser 2004-2A,
Cl A (A)
5.500%, 03/27/34 1,166 406
Sail NIM Notes, Ser 2005-11A,
Cl A (A)
7.500%, 01/27/36 1,089 708
Sasco NIM Trust, Ser 2005-WF3A,
Cl A (A)
4.750%, 07/27/35 189 188
Saturn Ventures II (A) (C) (E)
5.380%, 02/07/07 6,769 6,769
Sharps SP I LLC NIM Trust,
Ser 2005-HE3N, Cl N (A)
5.000%, 05/25/35 928 927
Sharps SP I LLC NIM Trust,
Ser 2005-HE5N, Cl A1 (A)
5.800%, 08/25/35 2,067 1,943
Sharps SP I LLC NIM Trust,
Ser 2005-WF1N, Cl NA (A)
6.150%, 05/25/35 1,469 1,447
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Soundview Home Equity Loan Trust,
Ser 2005-OPT4, Cl M8 (E)
7.820%, 12/25/06 $ 850 $ 772
Soundview NIM Trust,
Ser 2005-OPT4, Cl N1 (A)
5.682%, 12/25/35 120 119
Structured Adjustable Rate
Mortgage Loan, Ser 2005-16XS,
Cl M2 (E)
6.220%, 12/25/06 2,841 2,860
Structured Asset Investment Loan,
Ser 2003-BC4, Cl M2 (E)
8.320%, 12/25/06 400 401
Structured Asset Investment Loan,
Ser 2005-4, Cl M11 (E)
7.820%, 12/25/06 1,040 972
Structured Asset Mortgage
Investments, Ser 2006-AR1,
Cl B4 (E)
6.270%, 12/27/06 785 793
Structured Asset Mortgage
Investments, Ser 2006-AR1,
Cl B5 (E)
6.370%, 12/27/06 515 521
Structured Asset Securities,
Ser 2004-19XS, Cl A2 (H)
4.370%, 12/01/06 3,076 3,045
Structured Asset Securities,
Ser 2005-NC1, Cl A2 (H)
3.920%, 02/25/35 1,310 1,303
TIAA Real Estate CDO, Ser 2003 1A,
Cl A1MM (A) (C) (E)
5.350%, 09/28/07 6,251 6,251
Terwin Mortgage Trust,
Ser 2006-2HGS, Cl A1 (A) (E)
4.500%, 03/25/37 22,901 22,688
Terwin Mortgage Trust,
Ser 2006-2HGS, Cl AX (A) (E)
20.000%, 03/25/37 1,297 110
Terwin Mortgage Trust,
Ser 2006-2HGS, Cl B1 (A) (E)
6.100%, 12/25/06 1,670 1,680
Terwin Mortgage Trust,
Ser 2006-4SL, Cl A1 (A) (E)
4.500%, 05/25/37 22,205 22,011
Terwin Mortgage Trust,
Ser 2006-4SL, Cl AX (A) (E)
20.000%, 05/25/37 4,853 327
Terwin Mortgage Trust,
Ser 2006-HF1, Cl A1A (A) (E)
4.500%, 02/25/37 4,977 4,945
Wachovia Mortgage Loan Trust LLC,
Ser 2005-B, Cl 1A2 (E)
4.957%, 12/01/06 778 779
Wells Fargo Home Equity Trust,
Ser 2004-2, Cl A12 (E)
3.450%, 06/25/19 5,680 5,649
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 21
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Disciplined Equity Fund (Continued)
November 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Wells Fargo Home Equity Trust,
Ser 2004-2, Cl M8A (A) (E)
8.330%, 12/28/06 $ 1,200 $ 1,184
----------
Total Asset-Backed Securities
(Cost $630,320) ($ Thousands) 630,249
----------
U.S. GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS -- 5.0%
FHLMC (J)
4.000%, 05/01/21 5,098 4,848
FHLMC ARM
5.815%, 02/01/36 8,462 8,545
5.572%, 10/01/35 1,794 1,795
FNMA
5.500%, 06/01/20-05/01/21 33,628 33,820
FNMA ARM
5.581%, 05/01/36 12,475 12,565
5.524%, 01/01/36 2,537 2,546
5.504%, 05/01/36 4,827 4,858
FNMA TBA
6.500%, 01/01/32 7,000 7,140
6.000%, 12/01/18 21,000 21,374
5.500%, 12/01/20 137,000 137,728
5.000%, 12/01/18 48,000 47,550
GNMA ARM
5.000%, 02/20/35-03/20/35 (J) 1,892 1,898
4.875%, 11/20/30 698 698
4.750%, 02/20/32 879 877
4.500%, 08/20/32-03/20/36 (J) 3,443 3,453
4.375%, 06/20/23-06/20/33 1,429 1,436
4.250%, 04/20/34 495 490
4.000%, 06/20/35-05/20/36 (J) 17,045 16,982
3.750%, 12/20/33-03/20/34 19,670 19,358
3.500%, 10/20/35-11/20/35 3,005 2,958
3.000%, 04/20/35 1,155 1,136
----------
Total U.S. Government Mortgage-Backed Obligations
(Cost $329,740) ($ Thousands) 332,055
----------
CORPORATE OBLIGATIONS -- 4.6%
CONSUMER DISCRETIONARY -- 0.1%
COX Communications
4.625%, 06/01/13 2,035 1,938
Comcast
5.300%, 01/15/14 2,545 2,519
Omnicon Group
5.900%, 04/15/16 1,130 1,162
Time Warner
6.875%, 05/01/12 2,035 2,173
----------
7,792
----------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ENERGY -- 0.0%
Kinder Morgan Energy Partners
5.000%, 12/15/13 $ 2,035 $ 1,960
----------
FINANCIALS -- 4.3%
Allstate Life Global Funding II
MTN (A) (C) (E)
5.360%, 12/17/07 3,867 3,867
American General Finance
(A) (C) (E)
5.350%, 12/17/07 12,189 12,188
Bear Stearns EXL (C) (E)
5.360%, 12/17/07 14,963 14,963
CIT Group
5.000%, 02/13/14 2,715 2,656
Countrywide Financial MTN (C) (E)
5.448%, 10/31/07 17,653 17,653
Credit Suisse First Boston USA
6.500%, 01/15/12 1,355 1,438
Dekabank (A) (C) (E)
5.394%, 11/20/07 15,551 15,550
Genworth Financial
5.750%, 06/15/14 2,035 2,107
Goldman Sachs Group
5.500%, 11/15/14 4,070 4,124
Household Finance
6.375%, 10/15/11 2,035 2,147
Irish Life & Permanent MTN,
Ser X (A) (C) (E)
5.360%, 12/21/07 11,180 11,179
Islandsbanki (A) (C) (E)
5.370%, 04/06/07 19,755 19,755
JPMorgan Chase
5.125%, 09/15/14 2,035 2,022
Jackson National Life Funding
(A) (C) (E)
5.320%, 12/03/07 18,494 18,494
Kaupthing Bank MTN (A) (C) (E)
5.380%, 03/20/07 21,016 21,016
Landsbanki Islands (A) (C) (E)
5.400%, 03/16/07 15,972 15,972
Lehman Brothers Holdings MTN
5.500%, 04/04/16 2,035 2,061
Merrill Lynch
6.050%, 05/16/16 2,050 2,153
Morgan Stanley
4.750%, 04/01/14 2,035 1,969
Morgan Stanley EXL (C) (E)
5.380%, 01/04/08 2,942 2,942
Morgan Stanley EXL, Ser S (C) (E)
5.340%, 12/05/07 4,203 4,203
Natexis Banques (A) (C) (E)
5.300%, 12/17/07 8,196 8,195
- --------------------------------------------------------------------------------
22 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Nationwide Building Society
(A) (C) (E)
5.424%, 10/26/07 $ 4,623 $ 4,624
5.350%, 12/07/07 8,406 8,406
Nordbank (A) (C) (E)
5.350%, 12/24/07 14,291 14,289
Northern Rock (A) (C) (E)
5.360%, 12/03/07 8,658 8,658
Pacific Life Global Funding
(A) (C) (E)
5.370%, 12/13/07 6,305 6,305
Premium Asset Trust,
Ser 2004-10 (A) (C) (E)
5.360%, 12/17/07 11,769 11,769
Residential Capital
6.875%, 06/30/15 335 358
6.500%, 04/17/13 3,180 3,299
6.000%, 02/22/11 900 912
SLM EXL, Ser S (A) (C) (E)
5.320%, 12/17/07 9,247 9,247
Shinsei Finance Cayman (A) (E)
6.418%, 01/29/49 2,235 2,271
Simon Property Group+
5.750%, 12/01/15 1,355 1,402
5.600%, 09/01/11 1,150 1,171
Skandinav Enskilda Bank
(A) (C) (E)
5.320%, 12/18/07 9,247 9,246
Stanfield Victoria MTN (A) (C)
5.445%, 06/11/07 8,406 8,406
Wachovia
5.300%, 10/15/11 4,220 4,263
4.875%, 02/15/14 1,355 1,326
Washington Mutual Preferred
Funding (A) (E)
6.534%, 03/15/49 2,500 2,479
istar Financial, Ser 1+
5.875%, 03/15/16 1,355 1,365
----------
286,450
----------
HEALTH CARE -- 0.1%
Aetna
5.750%, 06/15/11 2,035 2,082
Teva Pharmaceutical Finance
5.550%, 02/01/16 2,035 2,029
Wellpoint
6.800%, 08/01/12 1,355 1,455
----------
5,566
----------
INDUSTRIALS -- 0.0%
Lafarge
6.150%, 07/15/11 1,245 1,286
----------
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES -- 0.0%
Embarq
6.738%, 06/01/13 $ 1,015 $ 1,055
----------
UTILITIES -- 0.1%
Dominion Resources
4.750%, 12/15/10 1,355 1,336
Exelon Generation
6.950%, 06/15/11 2,035 2,164
----------
3,500
----------
Total Corporate Obligations
(Cost $305,387) ($ Thousands) 307,609
----------
CASH EQUIVALENTS -- 5.2%
First Union Cash Management
Program, 5.221%** 2,355,769 2,356
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.300%** 345,625,844 345,626
UBS Margin Deposit 138,126 138
----------
Total Cash Equivalents
(Cost $348,120) ($ Thousands) 348,120
----------
COMMERCIAL PAPER (D) -- 4.1%
FINANCIALS -- 4.1%
AIG Fund
5.240%, 12/08/06 20,000 19,980
Bank of America
5.240%, 12/01/06 30,000 30,000
Bank of America Commercial
5.240%, 12/04/06 10,000 9,996
Broadhollow Funding (C)
5.305%, 12/07/06 4,707 4,703
Dreyfus Financial
5.245%, 12/01/06 25,000 25,000
GE Capital
4.850%, 12/01/06 15,000 15,000
HSBC Funding
5.230%, 12/05/06 30,000 29,983
KKR Pacific Funding Trust (C)
5.345%, 12/27/06 8,406 8,374
5.305%, 01/02/07 4,203 4,183
Morgan Stanley Dean Witter
5.250%, 12/07/06 20,000 19,982
5.250%, 12/11/06 30,000 29,956
Ocala Funding LLC (C)
5.320%, 12/18/06 4,203 4,193
5.320%, 01/26/07 4,203 4,168
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 23
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Disciplined Equity Fund (Continued)
November 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Prudential
5.220%, 12/01/06 $ 10,000 $ 10,000
Rhineland Funding Capital (C)
5.385%, 01/25/07 5,296 5,253
5.364%, 12/27/06 4,203 4,187
5.364%, 02/13/07 4,161 4,116
5.313%, 12/12/06 2,767 2,762
Toyota
5.230%, 12/13/06 15,000 14,974
UBS Finance
5.290%, 12/01/06 10,000 10,000
Witherspoon Funding Limited (C)
5.329%, 12/15/06 4,203 4,194
Witherspoon Funding,
Ser 2004-1A (C)
5.330%, 03/15/07 7,255 7,255
----------
Total Commercial Paper
(Cost $268,259) ($ Thousands) 268,259
----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 1.3%
FHLMC CMO STRIPS, Ser 232,
Cl IO, IO
5.000%, 08/01/35 8,706 1,960
FHLMC CMO STRIPS, Ser 233,
Cl 12, IO
5.000%, 09/15/35 5,495 1,328
FHLMC CMO STRIPS, Ser 233,
Cl 6, IO
4.500%, 08/15/35 827 206
FHLMC (I)
5.125%, 02/06/07 27,000 26,742
5.180%, 03/30/07 2,750 2,704
1.150%, 07/02/07 600 582
0.000%, 02/28/07 4,200 4,147
FNMA CMO STRIPS, Ser 359,
Cl 6, IO
5.000%, 11/01/35 1,298 287
FNMA CMO STRIPS, Ser 360,
Cl 2, IO
5.000%, 08/01/35 109,268 24,613
FNMA CMO STRIPS, Ser 365,
Cl 2, IO
5.000%, 03/01/36 3,705 841
FNMA CMO STRIPS, Ser 365,
Cl 4, IO
5.000%, 04/01/36 4,441 988
FNMA CMO STRIPS, Ser 369,
Cl 1, IO
5.000%, 10/01/36 1,988 459
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares/Contracts ($ Thousands)
- --------------------------------------------------------------------------------
FNMA (I)
5.145%, 03/30/07 $ 2,000 $ 1,966
5.235%, 07/02/07 22,000 21,350
----------
Total U.S. Government Agency Obligations
(Cost $91,232) ($ Thousands) 88,173
----------
U.S. TREASURY OBLIGATIONS -- 0.7%
U.S. Treasury Bills (D) (G)
4.872%, 12/14/06 350 349
4.880%, 02/22/07 15,938 15,758
U.S. Treasury Bond
2.375%, 04/15/11 29,562 29,725
----------
Total U.S. Treasury Obligations
(Cost $45,686) ($ Thousands) 45,832
----------
MASTER NOTE (C) (D) -- 0.3%
Bank of America
5.383%, 12/01/45 21,015 21,015
----------
Total Master Note
(Cost $21,015) ($ Thousands) 21,015
----------
CERTIFICATES OF DEPOSIT (C) -- 0.2%
Barclays Bank (E)
5.330%, 06/11/07 4,203 4,203
CC USA MTN (A)
5.379%, 06/18/07 8,406 8,406
U.S. Trust of New York (E)
5.316%, 03/13/07 3,363 3,363
----------
Total Certificates of Deposit
(Cost $15,972) ($ Thousands) 15,972
----------
PREFERRED/CONVERTIBLE STOCKS -- 0.0%
Home Ownership Funding
(A) (F) (H)* 3,900 728
----------
Total Preferred/Convertible Stocks
(Cost $1,061) ($ Thousands) 728
----------
PURCHASED OPTIONS -- 0.0%
120 Day Euro Futures Call,
Expires 12/16/06,
Strike Price $95 550 481
----------
Total Purchased Options
(Cost $429) ($ Thousands) 481
----------
- --------------------------------------------------------------------------------
24 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS (C) (K) -- 1.4%
ABN Amro
5.300%, dated 11/30/06, to be
repurchased on 12/01/06,
repurchase price $33,629,814
(collateralized by various
U.S. Government obligations,
ranging in par value $420,311-
$12,609,324, 0.000%-6.000%,
03/01/07-07/01/36; with total
market value $34,297,361) $ 33,625 $33,625
Barclays
5.300%, dated 11/30/06, to be
repurchased on 12/01/06,
repurchase price $7,156,593
(collateralized by various
U.S. Government obligations,
ranging in par value $156,776-
$2,229,328, 2.750%-5.700%,
12/15/06-05/27/15; with total
market value $7,298,763) 7,156 7,156
Deutsche Bank
5.300%, dated 11/30/06, to be
repurchased on 12/01/06,
repurchase price $2,862,065
(collateralized by various
U.S. Government obligations,
ranging in par value $797,750-
$2,163,760, 0.000%-5.800%,
05/01/07-01/27/20; with total
market value $2,919,079) 2,862 2,862
Lehman Brothers
5.300%, dated 11/30/06, to be
repurchased on 12/01/06,
repurchase price $52,077,533
(collateralized by various
U.S. Government obligations,
ranging in par value $4,585,000-
$772,981,000, 3.085%-8.625%,
12/21/07-01/15/30; with total
market value $53,111,576) 52,070 52,070
----------
Total Repurchase Agreements
(Cost $95,713) ($ Thousands) 95,713
----------
Total Investments -- 109.1%
(Cost $6,558,470) ($ Thousands) $7,273,929
----------
- --------------------------------------------------------------------------------
Market Value
Description Contracts ($ Thousands)
- --------------------------------------------------------------------------------
WRITTEN OPTION -- 0.0%
December 2006 120 Day Euro
Futures Call, Expires 12/15/06,
Strike Price $95 (550) $ (588)
----------
Total Written Option
(Premium Received $(386))
($ Thousands) $ (588)
----------
A summary of the open future contracts held by the Fund at November 30, 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 Bond (120) Mar-2007 $ 28
3 Month Euro Euribor (82) Mar-2007 12
10-Year UK Gilt (78) Mar-2007 (24)
90-Day Euro$ (474) Mar-2007 356
90-Day Euro$ (321) Mar-2008 (304)
90-Day Euro$ (276) Mar-2009 (301)
90-Day Euro$ (222) Mar-2010 (271)
90-Day Euro$ (66) Mar-2011 (85)
90-Day Euro$ (27) Jun-2007 (1)
90-Day Euro$ (276) Jun-2008 (239)
90-Day Euro$ (276) Jun-2009 (299)
90-Day Euro$ (185) Jun-2010 (203)
90-Day Euro$ 5 Jun-2011 5
90-Day Euro$ (223) Sep-2007 (47)
90-Day Euro$ (271) Sep-2008 (248)
90-Day Euro$ (276) Sep-2009 (304)
90-Day Euro$ (145) Sep-2010 (130)
90-Day Euro$ 10 Sep-2011 9
90-Day Euro$ 936 Dec-2006 102
90-Day Euro$ (321) Dec-2007 (240)
90-Day Euro$ (276) Dec-2008 (305)
90-Day Euro$ (284) Dec-2009 (309)
90-Day Euro$ (66) Dec-2010 (87)
Amsterdam Exchange Index 18 Dec-2006 (83)
Australia 10-Year Bond (112) Dec-2006 (124)
Canada 10-Year Bond 147 Feb-2007 93
CAC40 10 Euro 33 Dec-2006 (68)
DAX Index 11 Dec-2006 117
Euro-Bobl 56 Dec-2006 5
Euro-Bund (14) Dec-2006 (88)
FTSE 100 Index 9 Dec-2006 24
Japan 10-Year Bond 15 Dec-2006 113
S&P 500 Composite Index 815 Mar-2007 586
S&P 500 Composite Index 3,610 Dec-2006 72,922
S&P 500 Index E-Mini 49 Dec-2006 165
S&P/MIB Index 11 Dec-2006 146
S&P/TSE 60 Index 19 Dec-2006 201
SPI 200 Index 21 Dec-2006 139
Topix Index (5) Dec-2006 (19)
U.S. 10-Year Note 47 Mar-2007 (2)
U.S. 2-Year Note 131 Mar-2007 41
U.S. 5-Year Note 27 Dec-2006 14
U.S. 5-Year Note 493 Mar-2007 187
U.S. Long Treasury Bond 27 Dec-2006 34
U.S. Long Treasury Bond (27) Dec-2006 (38)
U.S. Long Treasury Bond 18 Mar-2007 31
-------
$71,511
=======
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 25
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Disciplined Equity Fund (Continued)
November 30, 2006
- --------------------------------------------------------------------------------
A summary of the outstanding forward foreign currency contracts held by the Fund
at November 30, 2006 is as follows, (see Note 2 in Notes to Financial
Statements):
- --------------------------------------------------------------------------------
UNREALIZED
CURRENCY TO CURRENCY TO APPRECIATION
MATURITY DELIVER RECEIVE (DEPRECIATION)
DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
12/20/06 AUD 825 USD 615 $(36)
12/20/06 CAD 350 USD 316 10
12/20/06 CHF 9,950 USD 7,955 (365)
12/20/06 EUR 4,500 USD 5,670 (299)
12/20/06 JPY 1,130,000 USD 9,648 (145)
12/20/06 NOK 23,500 USD 3,586 (234)
12/20/06 NZD 3,000 USD 1,978 (73)
12/20/06 SEK 4,000 USD 552 (33)
12/20/06 USD 5,987 AUD 7,950 286
12/20/06 USD 2,324 CAD 2,600 (46)
12/20/06 USD 6,188 CHF 7,450 41
12/20/06 USD 6,640 EUR 5,200 258
12/20/06 USD 4,700 GBP 2,500 218
12/20/06 USD 995 NOK 6,500 62
12/20/06 USD 6,181 NZD 9,225 127
12/20/06 USD 761 SEK 5,500 43
------
$(186)
======
A summary of the outstanding Total Return Swap agreements held by the Fund at
November 30, 2006, is as follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
Fund receives payment on the monthly
reset spread from Banc of America
-- CMBS IG 10YR Index plus 22.5
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.
(Counter Party: Bank of America) 05/01/07 $70,000 $ (70)
Fund receives payment on the monthly
reset spread from Banc of America
-- CMBS AAA 10YR Index plus 10
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.
(Counter Party: Bank of America) 05/31/07 60,000 --
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.
(Counter Party: Bank of America) 12/01/06 60,000 (76)
Fund receives payment on the monthly
reset spread from Banc of America
-- CMBS AAA 10YR Index plus 10
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.
(Counter Party: Wachovia Bank) 03/31/07 40,000 (49)
Fund receives payment on the monthly
reset spread from Lehman Brothers
-- CMBS AAA 8.5+ Index plus 12.5
basis points times the notional
amount. Fund receivespayment if
the return on the spread
appreciates over the payment
period, and pays if the return on
the spread depreciates over the
payment period.
(Counter Party: JPMorgan Chase) 05/01/07 40,000 (61)
Fund receives payment on the monthly
reset spread from Lehman Brothers
-- CMBS AAA 8.5+ Index plus 12.5
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.
(Counter Party: Wachovia Bank) 06/01/07 90,000 --
- --------------------------------------------------------------------------------
UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
Fund receives payment on the monthly
reset spread from Lehman Brothers
-- CMBS AAA 8.5+ 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.
(Counter Party: Wachovia Bank) 12/01/06 $40,000 $ (63)
Fund receives payment on the
monthly reset spread from Lehman
Brothers -- CMBS AAA 8.5+ Index
less 7.5 basis points times the
notional amount. Fund receives
payment if the return on the
spreadappreciates over the payment
period, and pays if the return on
the spread depreciates over the
payment period.
(Counter Party: Wachovia Bank) 12/01/06 50,000 (78)
Fund receives payment on the monthly
reset spread from Lehman Brothers
-- CMBS AAA 8.5+ Index plus 10
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.
(Counter Party: Wachovia Bank) 05/01/07 60,000 (103)
-----
$(500)
=====
A summary of the outstanding Credit Default Swap agreements held by the Fund at
November 30, 2006, is as follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
Fund pays quarterly payment of
0.0875%(0.350% per annum) times
notional amount of, Alcan Inc
4.875%, 09/15/12. Upon a defined
credit event, the fund will
receive the notional amount and
deliverthe defined
obligation.
(Counter Party: Bank of America) 12/20/13 $ 4,375 $ 2
Fund pays quarterly payment of
0.1375%(0.550% per annum) times
notional amount of, Black & Decker
Corp 7.125%, 06/01/11. Upon a
defined credit event, the fund
will receive the notional amount
and deliver the defined
obligation.
(Counter Party: Bank of America) 12/20/11 4,375 (2)
Fund pays quarterly payment of
0.1113%(0.445% per annum) times
notional amount of, Darden
Restaurants Inc. 7.125%, 02/01/16.
Upon a defined credit event, the
fund will receive the notional
amount and deliver thedefined
obligation.
(Counter Party: Bank of America) 12/20/11 4,250 (4)
Fund pays quarterly payment of
0.1063% (0.425% per annum) times
notional amount of, Eastman
Chemical Co. 7.600%, 02/01/27.
Upon a defined credit event, the
fund will receive the notional
amount and deliver the defined
obligation.
(Counter Party: Bank of America) 12/20/11 4,250 (5)
Fund pays quarterly payment of
0.2950%(1.180% per annum) times
notional amount of, Gap Inc.
9.000%, 12/15/08.Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined
obligation.
(Counter Party: Bank of America) 12/20/11 4,375 7
Fund pays quarterly payment of
0.0975% (0.390% per annum) times
notional amount of, Johnson
Controls Inc. 7.125%, 07/15/17.
Upon a defined credit event, the
fund will receive the notional
amount and deliver the defined
obligation.
(Counter Party: Bank of America) 12/20/13 4,375 (9)
Fund pays quarterly payment of
0.1188% (0.475% per annum) times
notional amount of, Ltd. Brands
Inc. 6.125%, 12/01/12. Upon a
defined credit event, the fund
will receive the notional amount
and deliver the defined
obligation.
(Counter Party: Bank of America) 12/20/11 4,250 (1)
- --------------------------------------------------------------------------------
26 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
Fund pays quarterly payment of
0.1825% (0.730% per annum) times
notional amount of, Masco Corp.
5.875%, 07/15/12. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: Bank of America) 12/20/13 $ 4,250 $ (7)
Fund pays quarterly payment of
0.0875% (0.350% per annum) times
notional amount of, MGIC
Investment Corp. 6.000%, 03/15/07.
Upon a defined credit event, the
fund will receive the notional
amount and deliver the defined
obligation.
(Counter Party: Bank of America) 12/20/13 4,375 (8)
Fund pays quarterly payment of
0.1188% (0.475% per annum) times
notional amount of, MeadWestvaco
6.850%, 04/01/12. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: Bank of America) 12/20/11 4,250 5
Fund pays quarterly payment of
0.0550% (0.220% per annum) times
notional amount of, Nucor Corp.
4.875%, 10/01/12. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: Bank of America) 12/20/11 4,375 (6)
Fund pays quarterly payment of
0.0875% (0.350% per annum) times
notional amount of, PMI Group Inc.
6.000%, 09/15/16. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: Bank of America) 12/20/13 4,375 (6)
Fund pays quarterly payment of
0.0875% (0.350% per annum) times
notional amount of, Radian Group
Inc. 7.750%, 06/01/11. Upon a
defined credit event, the fund
will receive the notional amount
and deliver the defined obligation.
(Counter Party: Bank of America) 12/20/13 4,375 (6)
Fund pays quarterly payment of
0.0475% (0.190% per annum) times
notional amount of, TJX Cos Inc
7.450%, 12/15/09. Upon a defined
credit event, the fund will eceive
the notional amount and deliver
the defined obligation.
(Counter Party: Bank of America) 12/20/11 4,250 (2)
Fund pays quarterly payment of
0.1125% (0.450% per annum) times
notional amount of, Wayerhaeuser
Co. 6.750%, 03/15/12. Upon a
defined credit event, the fund
will receive the notional amount
and deliver the defined obligation.
(Counter Party: Bank of America) 12/20/11 4,375 8
Fund pays quarterly payment of
0.0850% (0.340% per annum) times
notional amount of, Agrium Inc.
8.250%, 02/15/11. Upon a defined
credit event, the fund willreceive
the notional amount and deliver
the defined obligation.
(Counter Party: JPMorgan Chase) 12/20/11 4,250 (1)
Fund pays quarterly payment of
0.1150% (0.460% per annum) times
notional amount of, Autotzone Inc
5.875%, 10/15/12. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: JPMorgan Chase) 12/20/11 4,375 (1)
Fund pays quarterly payment of
0.1375% (0.550% per annum) times
notional amount of, Black & Decker
Corp. 7.125%, 06/01/11. Upon a
defined credit event, the fund
will receive the notional
amountand deliver the defined
obligation.
(Counter Party: JPMorgan Chase) 12/20/11 4,375 (2)
Fund pays quarterly payment of
0.0650% (0.260% per annum) times
notional amount of, Dow Chemical
Co. 6.000%, 10/01/12. Upon a
defined credit event, the fund
will receive the notional amount
and deliver the defined
obligation.
(Counter Party: JPMorgan Chase) 12/20/13 4,375 (11)
Fund pays quarterly payment of
0.2950% (1.180% per annum) times
notional amount of, Gap Inc.
9.800%, 12/15/08. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: JPMorgan Chase) 12/20/11 4,250 7
- --------------------------------------------------------------------------------
UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
Fund pays quarterly payment of
0.0975% (0.390% per annum) times
notionalamount of, Hasbro Inc
2.750%, 12/01/21. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: JPMorgan Chase) 12/20/11 $ 4,250 $ (5)
Fund pays quarterly payment of
0.1925% (0.770% per annum) times
notional amount of, Jones Apparel
Group Inc. 5.125%, 11/15/14. Upon
a defined credit event, the fund
will receive the notional amount
and deliver the defined obligation.
(Counter Party: JPMorgan Chase) 12/20/11 4,250 (5)
Fund pays quarterly payment of
0.0700% (0.280% per annum) times
notional amount of, Nordstrom Inc
6.950%, 03/15/28. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: JPMorgan Chase) 12/20/13 4,375 (2)
Fund pays quarterly payment of
0.0675% (0.270% per annum) times
notional amount of, Southwest
Airlines Co. 6.500%, 03/01/12.
Upon a defined credit event, the
fund will receive the notional
amountand deliver the defined
obligation.
(Counter Party: JPMorgan Chase) 12/20/11 4,250 5
Fund pays quarterly payment of
0.1125% (0.450% per annum) times
notional amount of, Lubrizol Corp.
7.250%, 06/15/25. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: JPMorgan Chase) 12/20/11 4,375 (6)
Fund pays quarterly payment of
0.0875% (0.350% per annum) times
notional amount of, MGIC
Investment Corp. 6.000%, 03/15/07.
Upon a defined credit event, the
fund will receive the notional
amount and deliver the defined
obligation.
(Counter Party: JPMorgan Chase) 12/20/13 4,375 (8)
Fund pays quarterly payment of
0.0550% (0.220% per annum) times
notional amount of, Nucor Corp.
4.875%, 10/01/12. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: JPMorgan Chase) 12/20/11 4,375 (7)
Fund pays quarterly payment of
0.0875% (0.350% per annum) times
notional amount of, PMI Group Inc.
6.000%, 09/15/16. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: JPMorgan Chase) 12/20/13 4,375 (6)
Fund pays quarterly payment of
0.0500% (0.200% per annum) times
notional amount of, PPG Industries
Inc 7.050%, 08/15/09. Upon a
defined credit event,the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: JPMorgan Chase) 12/20/11 4,250 (5)
Fund pays quarterly payment of
0.0975% (0.390% per annum) times
notional amount of, Radian Group
Inc 7.750%, 06/01/11. Upon a
defined credit event,the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: JPMorgan Chase) 12/20/13 4,250 (5)
Fund pays quarterly payment of
0.0845% (0.340% per annum) times
notional amount of, Whirlpool
Corp. 7.750%, 07/15/16. Upon a
defined credit event, the fund
will receive the notional amount
and deliver the defined obligation.
(Counter Party: JPMorgan Chase) 12/20/11 4,250 --
Fund pays quarterly payment of
0.0700% (0.280% per annum) times
notional amount of, Nordstrom Inc.
6.950%, 03/15/28. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: Merrill Lynch) 12/20/13 4,375 (2)
Fund pays quarterly payment of
0.0325% (0.130% per annum) times
notional amount of, Lowe's Cos
Inc. 8.250%, 06/01/10. Upon a
defined credit event, the fund
will receive the notional amount
and deliver the defined obligation.
(Counter Party: Merrill Lynch) 12/20/11 4,250 5
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 27
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Disciplined Equity Fund (Concluded)
November 30, 2006
- --------------------------------------------------------------------------------
UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
Fund pays quarterly payment of
0.0675% (0.270% per annum) times
notional amount of, Southwest
Airlines Co. 6.500%, 03/01/12.
Upon a defined credit event, the
fund will receive the notional
amount and deliver the defined
obligation.
(Counter Party: Merrill Lynch) 12/20/11 $ 4,375 $ 5
Fund pays quarterly payment of
0.1125% (0.450% per annum) times
notional amount of, Lubrizol Corp.
7.250%,06/15/25. Upon a defined
credit event,the fund will receive
the notional amount and deliver
the defined obligation.
(Counter Party: Merrill Lynch) 12/20/11 4,375 (6)
Fund pays quarterly payment of
0.2250% (0.900% per annum) times
notional amount of, MDZ Holdings
Inc 5.500%, 05/15/13. Upon a
defined credit event, the fund
will receive the notional
amountand deliver the defined
obligation.
(Counter Party: Merrill Lynch) 12/20/11 4,250 (2)
Fund pays quarterly payment of
0.1725% (0.690% per annum) times
notional amount of, RR Donnelley &
Sons Co. 4.950%, 04/01/14. Upon a
defined credit event, the fund
will receive the notional amount
and deliver the defined obligation.
(Counter Party: Merrill Lynch) 12/20/11 4,250 1
Fund receives quarterly payment of
0.1000% (0.400% per annum) times
notionalamount of, CDX.NA.IG
Series 7 index . Upon a defined
credit event, the fund will
receive the notional amount and
deliverthe defined obligation.
(Counter Party: Bank of America) 12/20/11 79,300 177
Fund receives quarterly payment of
0.1000% (0.400% per annum) times
notional amount of, CDX.NA.IG
Series 7 index . Upon a defined
credit event, the fund will
receive the notional amount and
deliverthe defined obligation.
(Counter Party: Merrill Lynch) 12/20/11 79,300 177
----
$269
====
Percentages are based on Net Assets of $6,667,961 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of November 30, 2006.
+ Real Estate Investments Trust
(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) This security or a partial position of this security is on loan at November
30, 2006 (See Note 9). The total value of securities on loan at November 30,
2006 was $449,388 ($Thousands).
(C) This security was purchased with cash collateral held from securities
lending (See Note 9). The total value of such securities as of November 30,
2006 was $460,385 ($Thousands).
(D) The rate reported is the effective yield at time of purchase.
(E) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of November 30, 2006.
(F) Securities considered illiquid. The total value of such securities as of
November 30, 2006 was $728 ($ Thousands), representing 0.00% of the Fund's
net assets.
(G) Security, or a portion thereof, has been pledged as collateral on open
future contracts and written options.
(H) Step Bonds -- The rate reflected on the Schedule of Investments is the
effective yield on November 30, 2006. The coupon on a step bond changes on a
specified date.
(I) Zero Coupon Bond -- The rate reported on the Schedule of Investments is the
effective yield at time of purchase. (J) -Security, or portion of this
security, has been pledged as collateral on open swap contracts.
(K) Tri-Party Repurchase Agreement
ARM -- Adjustable Rate Mortgage
AUD -- Australian Dollar
CAD -- Canadian Dollar
CDO -- Collateralized Debt Obligation
Cl -- Class
CMO -- Collateralized Mortgage Obligation
CHF -- Swiss Franc
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
TIPS -- Treasury Inflated Protection Securities
USD -- U.S. Dollar
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
28 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
Large Cap Diversified Alpha Fund
November 30, 2006
- --------------------------------------------------------------------------------
[Bar Chart Omitted]
Plot points as follows:
SECTOR WEIGHTINGS++:
17.0% Financials
15.0% Information Technology
11.4% Consumer Discretionary
11.1% Health Care
9.7% Industrials
6.7% Consumer Staples
6.5% Energy
6.4% Asset-Backed Securities
4.7% Short-Term Investments
3.1% Materials
3.0% U.S. Government Mortgage-Backed Obligations
2.1% Telecommunication Services
2.0% Utilities
1.0% U.S. Government Obligations
0.3% U.S. Treasury Obligations
++Percentages based on total investments.
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 88.0%
CONSUMER DISCRETIONARY -- 11.8%
Abercrombie & Fitch, Cl A (B) 4,900 $ 330
Advance Auto Parts 5,900 210
Aeropostale* 11,300 342
Amazon.com* 2,148 87
American Eagle Outfitters (B) 13,000 587
AnnTaylor Stores* (B) 16,100 555
Autoliv (B) 8,700 510
Autonation* 2,628 54
Autozone* 700 80
Best Buy 5,000 275
Big Lots* 17,900 399
BorgWarner 200 12
Bright Horizons Family Solutions* 2,300 85
Brinker International (B) 13,400 609
Cablevision Systems, Cl A 17,041 473
Carmax* 1,400 65
Casual Male Retail Group* 3,900 55
CBS, Cl B (B) 15,200 452
Chico's FAS* 8,500 202
Circuit City Stores 13,815 345
Claire's Stores 1,400 45
Clear Channel Communications 2,009 71
Coach* (B) 24,900 1,076
Coldwater Creek* 400 10
Comcast, Cl A* (B) 49,250 1,993
Darden Restaurants (B) 10,100 406
Dick's Sporting Goods* 300 16
Dillard's, Cl A 8,200 292
DIRECTV Group* (B) 75,894 1,727
Discovery Holding, Cl A* 3,700 57
Dollar Tree Stores* 10,400 312
Dover Downs Gaming & Entertainment 4,950 66
Dow Jones 1,800 65
DSW, Cl A* 400 15
E.W. Scripps, Cl A 200 10
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Eastman Kodak 18,514 $ 482
EchoStar Communications, Cl A* 13,411 483
Expedia* 4,400 80
Family Dollar Stores 10,800 301
Federated Department Stores 8,500 358
Foot Locker 11,329 259
Ford Motor 32,340 263
GameStop, Cl A* 400 22
Gannett 1,400 83
Gap 1,500 28
General Motors (B) 30,773 899
Genuine Parts 3,000 141
Goodyear Tire & Rubber* 15,316 258
Gymboree* 7,800 310
Harley-Davidson 5,200 384
Harman International Industries 1,300 135
Harrah's Entertainment 712 56
Hasbro 17,000 455
Hilton Hotels 2,000 66
Home Depot (B) 4,600 175
IAC/InterActive* (B) 13,600 496
Idearc (B) 665 18
International Game Technology 50,400 2,207
Interpublic Group* 9,422 113
ITT Educational Services* (B) 12,100 830
Jackson Hewitt Tax Service 2,100 76
JC Penney (B) 11,300 874
Johnson Controls 4,600 374
Jones Apparel Group (B) 17,600 591
Kohl's* (B) 15,800 1,100
Lamar Advertising, Cl A* 1,400 84
Las Vegas Sands* 500 46
Leggett & Platt 4,900 117
Liberty Global, Cl A* 2,800 76
Liberty Media Holding-Capital,
Ser A* 5,930 521
Liberty Media Holding-Interactive,
Cl A* 6,250 142
Limited Brands 2,200 70
Liz Claiborne 1,800 77
Lowe's (B) 4,200 127
Marriott International, Cl A 12,589 568
Marvel Entertainment* 2,400 67
Mattel 20,000 439
McDonald's (B) 12,500 525
McGraw-Hill (B) 9,700 646
Men's Wearhouse* 1,200 46
Meredith 500 27
Meritage Homes* 1,800 87
MGM Mirage 36,000 1,936
Mohawk Industries* 600 46
Newell Rubbermaid 7,200 205
News, Cl A* 19,500 402
Nike, Cl B 400 40
Nordstrom (B) 4,200 206
NTL 1,857 45
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 29
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund (Continued)
November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Nutri/System* 3,900 $ 269
Office Depot* 9,500 360
OfficeMax 3,232 152
Omnicom Group 1,600 163
Polo Ralph Lauren 2,700 211
Pool (B) 8,500 348
Rent-A-Center* 1,100 30
Rogers Communications, Cl B (B) 4,000 245
Ross Stores 8,500 263
Saks 1,800 37
Sally Beauty Holdings* 800 7
Sears Holdings* 300 51
Shaw Communications, Cl B (B) 10,900 339
Sherwin-Williams 1,800 113
Snap-On 1,600 76
Staples 82,000 2,089
Starbucks* 6,500 229
Steven Madden* 1,850 68
Target 1,878 109
Thor Industries 1,400 63
Tim Hortons 1,564 48
Time Warner (B) 50,200 1,011
TJX (B) 29,553 810
Tribune 700 22
TRW Automotive Holdings* 1,180 29
Tupperware Brands 1,200 25
Univision Communications, Cl A* 3,900 139
VF 6,707 526
Viacom, Cl B* (B) 11,700 439
Walt Disney (B) 50,164 1,658
Warner Music Group 800 20
Weight Watchers International 32,000 1,566
Wendy's International 1,700 55
Whirlpool 5,414 462
Wyndham Worldwide* 118 4
Wynn Resorts 900 79
Yum! Brands (B) 9,300 569
--------
43,034
--------
CONSUMER STAPLES -- 7.0%
Alberto-Culver 900 18
Altria Group (B) 10,500 884
Anheuser-Busch 12,876 612
Archer-Daniels-Midland (B) 39,533 1,388
Avon Products 5,119 167
BJ's Wholesale Club* 1,200 39
Brown-Forman, Cl B 2,500 174
Campbell Soup 4,200 160
Chattem* 4,100 200
Church & Dwight 2,300 96
Clorox 3,292 211
Coca-Cola (B) 24,900 1,166
Coca-Cola Enterprises 14,800 303
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Colgate-Palmolive 5,461 $ 355
ConAgra Foods 11,500 296
Constellation Brands, Cl A* 1,467 41
Corn Products International 5,500 200
Costco Wholesale (B) 4,946 259
CVS 4,032 116
Dean Foods* 14,009 600
Del Monte Foods 6,700 76
Energizer Holdings* (B) 5,300 350
Estee Lauder, Cl A (B) 9,066 374
General Mills 7,700 431
Hansen Natural* 2,100 59
Herbalife* 1,500 58
Hershey 100 5
HJ Heinz 5,500 244
Hormel Foods 3,878 147
JM Smucker 1,100 53
Kellogg 2,500 124
Kimberly-Clark 5,100 339
Kraft Foods, Cl A 5,200 182
Kroger (B) 77,645 1,666
Loews - Carolina (B) 20,738 1,293
McCormick 3,500 136
Molson Coors Brewing, Cl B 1,200 85
Pepsi Bottling Group 6,900 216
PepsiAmericas 1,800 38
PepsiCo (B) 16,000 992
Playtex Products* 1,700 25
Procter & Gamble (B) 54,588 3,428
Reynolds American (B) 16,100 1,034
Rite Aid* 20,036 95
Safeway 22,373 689
Smithfield Foods* 3,466 91
Supervalu 973 33
Sysco 2,700 97
Tyson Foods, Cl A 1,559 25
USANA Health Sciences* 1,000 48
UST 3,000 168
Wal-Mart Stores (B) 69,627 3,210
Walgreen 55,731 2,257
--------
25,353
--------
ENERGY -- 6.7%
Anadarko Petroleum 3,900 192
Apache 200 14
Arch Coal 200 7
Baker Hughes (B) 8,600 631
BJ Services (B) 12,700 429
Cameron International* 2,500 136
Chesapeake Energy (B) 12,900 439
Chevron (B) 45,042 3,257
Complete Production Services* 3,300 73
ConocoPhillips (B) 19,417 1,307
- --------------------------------------------------------------------------------
30 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Devon Energy (B) 7,100 $ 521
Diamond Offshore Drilling 300 23
Edge Petroleum* 1,700 34
El Paso 1,546 23
EnCana (B) 8,200 428
Exxon Mobil (B) 121,271 9,315
FMC Technologies* 2,100 126
Frontier Oil 3,846 122
Halliburton 5,476 185
Hess (B) 19,555 983
Holly 8,100 437
Kinder Morgan 800 84
Marathon Oil (B) 15,566 1,469
Nabors Industries* 4,400 149
Occidental Petroleum 5,200 262
Oceaneering International* 700 30
Overseas Shipholding Group 1,300 75
Patterson-UTI Energy (B) 15,600 432
Petro-Canada 3,400 154
Schlumberger 1,300 89
SEACOR Holdings* 1,300 122
Smith International 200 8
Sunoco 2,875 196
Superior Energy Services* 5,400 176
Tesoro 8,077 569
Tetra Technologies* 1,000 26
Tidewater (B) 14,000 775
Valero Energy 18,417 1,014
XTO Energy (B) 4,600 233
--------
24,545
--------
FINANCIALS -- 17.6%
A.G. Edwards 10,956 634
Affiliated Managers Group* 1,100 112
Affordable Residential
Communities+* 3,200 36
Aflac 4,500 199
Allied Capital 3,200 98
Allstate (B) 14,100 895
AMB Property+ 100 6
AMBAC Financial Group 2,600 223
American Capital Strategies 1,100 50
American Express 3,900 229
American Financial Group 10,332 539
American International Group 15,644 1,100
AmeriCredit* (B) 14,500 340
Ameriprise Financial 4,200 227
Annaly Capital Management+ 19,300 270
Anthracite Capital+ 400 5
AON (B) 31,558 1,126
Apartment Investment & Management,
Cl A+ 400 23
Archstone-Smith Trust+ 1,100 66
Arthur J Gallagher 900 26
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Ashford Hospitality Trust+ 900 $ 12
Assurant 3,300 181
Astoria Financial 400 12
AvalonBay Communities+ 3,942 525
Bank of America (B) 52,436 2,824
Bank of Hawaii 300 15
Bank of New York 5,200 185
BB&T 4,200 181
Bear Stearns (B) 4,100 625
BlackRock, Cl A 700 100
BOK Financial 37 2
Boston Properties+ 600 70
Brandywine Realty Trust+ 100 4
BRE Properties, Cl A+ 1,800 116
Brookfield Asset Management 2,100 100
Brown & Brown 3,300 96
Camden Property Trust+ 1,100 88
Capital One Financial 2,700 210
CapitalSource+ 3,500 95
CB Richard Ellis Group, Cl A* (B) 6,700 221
Charles Schwab 3,400 62
Chicago Mercantile Exchange
Holdings 4,400 2,357
Chubb 3,600 186
Cincinnati Financial 1,000 44
CIT Group 3,700 192
Citigroup (B) 87,054 4,317
CNA Financial* 1,300 50
Colonial BancGroup 3,600 88
Comerica (B) 12,600 734
Commerce Bancorp 3,700 129
Commerce Bancshares 1,555 76
Compass Bancshares 1,200 69
Conseco* 4,500 90
Countrywide Financial 17,400 691
Credicorp 2,800 112
Cullen/Frost Bankers 1,900 104
Duke Realty+ 1,800 78
E*Trade Financial* 4,460 107
East West Bancorp 1,800 64
Eaton Vance 900 29
Equity Office Properties Trust+ 1,485 72
Equity Residential+ 2,900 154
Erie Indemnity, Cl A 300 17
Essex Property Trust+ 800 106
Everest Re Group 200 20
Fannie Mae (B) 18,812 1,073
Federal Realty Investment Trust+ 300 26
Federated Investors, Cl B 600 20
Fidelity National Title Group,
Cl A 1,757 40
Fifth Third Bancorp 100 4
First Cash Financial Services* 9,400 192
First Horizon National 400 16
First Marblehead (B) 6,900 516
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 31
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund (Continued)
November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Forest City Enterprises, Cl A 2,300 $ 134
Franklin Resources 3,700 395
Freddie Mac 600 40
Fulton Financial 1,820 30
Genworth Financial, Cl A 3,300 108
Goldman Sachs Group (B) 10,700 2,084
Hanover Insurance Group 6,200 294
Hartford Financial Services Group 2,000 172
HCC Insurance Holdings 2,500 75
Hospitality Properties Trust+ 2,500 125
Host Hotels & Resorts+ (B) 26,977 680
HRPT Properties Trust+ 2,400 30
Hudson City Bancorp 11,800 157
IndyMac Bancorp (B) 7,300 335
IntercontinentalExchange* 21,300 2,093
Investors Financial Services 1,100 44
iStar Financial+ 5,700 267
Janus Capital Group 6,200 126
Jefferies Group 3,000 87
JER Investors Trust+* 4,100 81
Jones Lang LaSalle* (B) 7,400 673
JPMorgan Chase (B) 93,438 4,324
Keycorp 7,900 285
Kilroy Realty+ 200 16
Kimco Realty+ 200 9
KKR Financial+* 1,500 40
LandAmerica Financial Group 400 24
Legg Mason 800 76
Lehman Brothers Holdings (B) 17,700 1,304
Leucadia National 5,900 163
Lincoln National 800 51
Loews (B) 37,063 1,480
Luminent Mortgage Capital+ 2,100 22
M&T Bank 1,500 178
Mack-Cali Realty+ 300 16
Markel* 114 51
Marsh & McLennan 7,033 221
Marshall & Ilsley 700 32
Mellon Financial 5,900 237
Mercantile Bankshares 1,200 55
Mercury General 272 15
Merrill Lynch (B) 27,381 2,394
Metlife (B) 15,289 898
MGIC Investment 5,700 330
Moody's (B) 35,800 2,487
Morgan Stanley (B) 29,490 2,246
National City (B) 23,900 863
Nationwide Financial Services,
Cl A 800 42
New Century Financial+ 2,100 76
New York Community Bancorp 8,700 141
Newcastle Investment+ 4,000 120
North Fork Bancorporation 2,400 67
Northern Trust 2,900 165
Nuveen Investments, Cl A 2,100 104
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Old Republic International 6,900 $ 156
Peoples Bank 700 31
Philadelphia Consolidated Holding* 400 18
PMI Group (B) 16,900 732
PNC Financial Services Group 6,097 431
Principal Financial Group 5,300 306
Progressive 8,800 198
Prologis+ 800 52
Protective Life 100 5
Prudential Financial 1,500 122
Public Storage+ 1,092 105
Radian Group (B) 17,000 905
Ramco-Gershenson Properties+ 1,800 67
Raymond James Financial 7,169 226
Rayonier+ 9,158 382
Reckson Associates Realty+ 2,400 116
Regions Financial 10,744 394
Reinsurance Group of America 1,100 61
Safeco (B) 13,944 845
SL Green Realty+ 1,400 189
SLM 2,200 101
St. Paul Travelers (B) 15,675 812
Stancorp Financial Group 1,400 64
State Street 3,400 211
SunTrust Banks (B) 9,600 784
Synovus Financial 1,100 33
T Rowe Price Group 3,400 147
Taubman Centers+ 1,626 80
TCF Financial 200 5
TD Banknorth 600 19
Thornburg Mortgage+ 1,200 30
Torchmark 2,800 177
Transatlantic Holdings 1,518 94
UnionBanCal 400 23
United Dominion Realty Trust+ 1,900 64
US Bancorp (B) 25,200 848
Valley National Bancorp 4,010 104
Vornado Realty Trust+ 400 50
Wachovia (B) 25,297 1,371
Washington Federal 1,000 23
Washington Mutual (B) 30,735 1,342
Wells Fargo (B) 30,710 1,082
Whitney Holding 3,900 126
Wilmington Trust 1,700 71
WR Berkley 17,722 622
Zions Bancorporation 1,600 125
--------
64,012
--------
HEALTH CARE -- 11.6%
Abbott Laboratories 7,200 336
Advanced Medical Optics* 2,600 91
Aetna (B) 19,000 785
Allergan 20,600 2,402
- --------------------------------------------------------------------------------
32 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
AmerisourceBergen (B) 25,477 $ 1,172
Amgen* (B) 19,059 1,353
Amylin Pharmaceuticals* 400 16
Applera - Applied Biosystems Group 4,900 179
Barr Pharmaceuticals* 3,100 158
Baxter International (B) 14,692 657
Becton Dickinson (B) 8,400 602
Biogen Idec* 10,600 554
Biomet 200 8
Bristol-Myers Squibb 6,800 169
C.R. Bard 1,100 90
Cardinal Health (B) 35,267 2,279
Caremark Rx (B) 15,093 714
Celgene* 2,600 145
Cephalon* 1,800 135
Cerner* 3,900 187
Charles River Laboratories
International* 8,200 342
Cigna 3,379 426
Community Health Systems* 100 3
Covance* 1,100 66
Coventry Health Care* 3,300 159
Cytyc* (B) 13,900 364
DaVita* 700 37
Dentsply International 1,400 45
Edwards Lifesciences* (B) 600 27
Eli Lilly (B) 10,200 547
Emdeon* 6,000 71
Endo Pharmaceuticals Holdings* 400 11
Express Scripts* (B) 10,571 721
Forest Laboratories* (B) 15,600 760
Genentech* (B) 35,059 2,866
Gilead Sciences* 1,900 125
Health Management Associates,
Cl A 900 18
Health Net* 11,376 525
Henry Schein* 6,357 328
Hillenbrand Industries 2,300 133
Hospira* 800 26
Humana* 9,886 535
Idexx Laboratories* (B) 6,700 567
ImClone Systems* 7,000 209
Immucor* 400 11
IMS Health 2,700 74
Johnson & Johnson (B) 50,122 3,304
King Pharmaceuticals* 18,500 306
Laboratory of America
Holdings (B) 8,300 588
LifePoint Hospitals* 400 14
Lincare Holdings* (B) 10,300 388
Manor Care 2,600 124
McKesson (B) 33,180 1,639
Medco Health Solutions (B) 32,576 1,636
Medimmune* 500 16
Medtronic 4,600 240
Mentor 3,700 185
Merck (B) 20,500 912
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Millipore* 200 $ 14
Mylan Laboratories (B) 14,200 288
Omnicare 1,200 48
PDL BioPharma* 9,700 220
Pediatrix Medical Group* 200 10
PerkinElmer 4,600 100
Pfizer (B) 132,253 3,636
Pharmaceutical Product
Development 1,800 57
Quest Diagnostics 1,700 90
Resmed* 600 30
Schering-Plough 3,500 77
Sierra Health Services* 1,600 56
Stryker 700 36
Techne* 1,300 70
Tenet Healthcare* 15,904 113
Thermo Electron* 9,300 408
Triad Hospitals* 500 21
United Therapeutics* 3,100 180
UnitedHealth Group 55,500 2,724
Universal Health Services, Cl B 1,200 66
Varian Medical Systems* 1,900 93
VCA Antech* 3,500 113
Vertex Pharmaceuticals* 200 9
Waters* 400 20
WebMD Health, Cl A* 425 15
WellCare Health Plans* 1,300 84
WellPoint* 4,000 303
Wyeth (B) 20,867 1,007
Zimmer Holdings* 25,900 1,890
--------
42,158
--------
INDUSTRIALS -- 10.1%
3M 2,300 187
Acuity Brands 2,600 137
Adesa 500 13
AGCO* 1,600 50
Allied Waste Industries* 4,900 62
American Power Conversion 700 21
American Standard 700 31
AMR* 13,692 438
Applied Industrial Technologies 1,750 50
Aramark, Cl B 6,928 231
Armor Holdings* 3,100 175
Avery Dennison 900 61
Boeing (B) 17,412 1,542
Brink's 1,800 101
Burlington Northern Santa Fe 7,600 571
Canadian National Railway (B) 4,800 226
Carlisle 3,971 325
Caterpillar (B) 28,022 1,738
CH Robinson Worldwide 4,728 208
ChoicePoint* 800 29
Con-way 5,700 263
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 33
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund (Continued)
November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Continental Airlines, Cl B* 1,476 $ 60
Copart* 1,100 33
Corporate Executive Board 1,300 123
Corrections of America* 2,200 100
Covanta Holding* 2,000 44
Crane 2,000 76
CSX 17,186 616
Cummins 2,000 240
Danaher 1,500 110
Deere 1,700 163
Donaldson 700 25
Dover 6,700 337
Dun & Bradstreet* (B) 3,700 304
Eaton 4,400 339
Emerson Electric 6,300 546
Equifax 900 34
Expeditors International
Washington 43,800 1,982
Fastenal 1,900 68
FedEx 2,800 323
Flowserve* 10,990 592
Fluor (B) 9,805 854
Gardner Denver* (B) 11,400 436
General Dynamics 2,200 165
General Electric (B) 79,200 2,794
Graco 800 33
H&E Equipment Services* 2,500 61
Harsco 700 55
Herman Miller (B) 17,900 628
Honeywell International (B) 55,011 2,364
Hubbell, Cl B 200 11
Illinois Tool Works 500 24
Ingersoll-Rand, Cl A 13,600 531
ITT Industries 800 43
Jacobs Engineering Group* (B) 9,423 790
JB Hunt Transport Services 4,100 90
John H. Harland 400 17
Kennametal 100 6
L-3 Communications Holdings 2,600 214
Laidlaw International* 6,400 186
Landstar System 100 5
Lennox International 3,932 115
Lincoln Electric Holdings 200 12
Lockheed Martin (B) 12,443 1,126
Manitowoc 1,600 96
Manpower 2,200 156
Masco 3,200 92
MSC Industrial Direct, Cl A 200 8
Norfolk Southern 16,300 803
Northrop Grumman (B) 20,958 1,403
Oshkosh Truck 2,600 125
Paccar 7,200 470
Parker Hannifin (B) 10,520 878
Pitney Bowes 500 23
Precision Castparts 1,500 113
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Raytheon (B) 13,254 $ 677
Republic Services 900 37
Robert Half International 10,600 409
Rockwell Automation 2,400 156
Rockwell Collins 1,100 66
Roper Industries 200 10
RR Donnelley & Sons 900 32
Ryder System (B) 9,483 495
Southwest Airlines 22,400 352
Spherion* 1,500 11
SPX 600 37
Stericycle* 800 58
Teleflex 3,500 226
Terex* 5,776 324
Textron 2,400 234
Thomas & Betts* (B) 8,800 456
Timken (B) 9,294 276
Toro 1,200 54
Trinity Industries 6,500 246
Tyco International (B) 20,930 634
UAL* 4,175 169
Union Pacific 7,307 661
United Parcel Service, Cl B 33,700 2,626
United Rentals* 368 9
United Technologies 4,000 258
URS* 1,900 84
US Airways Group* 300 17
USG* 1,247 70
Waste Management 5,800 212
WESCO International* 4,293 287
WW Grainger 1,100 80
YRC Worldwide* 3,659 142
--------
36,706
--------
INFORMATION TECHNOLOGY -- 15.7%
Acxiom 1,600 40
ADC Telecommunications* 3,400 47
Adobe Systems* 1,700 68
Advanced Energy Industries* 4,400 76
Agere Systems* 37,958 680
Agilent Technologies* (B) 13,400 427
Akamai Technologies* 3,600 176
Alliance Data Systems* 4,800 311
Amphenol, Cl A 1,600 109
Analog Devices 6,400 208
Anixter International* 1,500 88
Apple Computer* 1,500 138
Applied Materials (B) 30,500 548
Ariba* 600 5
Arrow Electronics* (B) 28,779 914
ATMI* 7,900 257
Automatic Data Processing (B) 12,200 588
Avaya* 15,500 198
- --------------------------------------------------------------------------------
34 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Avnet* 33,284 $ 825
Avocent* 5,600 195
BEA Systems* 9,400 129
BMC Software* (B) 14,600 475
Broadcom, Cl A* 800 26
Cadence Design Systems* (B) 20,200 371
CDW 3,600 254
Ceridian* 4,300 105
Cisco Systems* (B) 75,900 2,040
Citrix Systems* 2,200 63
Cognizant Technology Solutions,
Cl A* 1,100 90
Computer Sciences* 12,217 638
Convergys* 15,500 374
Dell* 4,074 111
Diebold 6,100 281
Digital Insight* 1,600 61
DST Systems* 4,910 306
eBay* 75,000 2,426
Electronic Data Systems (B) 28,825 782
Factset Research Systems 300 16
Fair Isaac 6,000 250
Fidelity National Information
Services 3,044 122
First Data 4,100 104
Fiserv* (B) 11,700 598
Global Payments 5,600 257
Google, Cl A* 6,655 3,227
Harris 6,300 265
Hewlett-Packard (B) 86,622 3,418
Ingram Micro, Cl A* 19,991 407
Integrated Device Technology* 5,900 97
Intel 49,347 1,054
International Business
Machines (B) 39,687 3,648
Intersil, Cl A 200 5
Intuit* (B) 75,300 2,370
Iron Mountain* 400 17
Itron* 3,300 158
Lam Research* 6,200 326
Lexmark International,
Cl A* (B) 10,400 717
Linear Technology 1,800 58
LoJack* 700 11
Mastercard, Cl A 1,900 193
MEMC Electronic Materials* (B) 9,900 394
Mettler Toledo International* 1,000 77
Micron Technology 18,787 274
Microsoft (B) 134,000 3,930
MicroStrategy, Cl A* (B) 3,500 415
Molex 5,100 163
MoneyGram International 5,400 165
Motorola (B) 25,571 567
MTS Systems 900 35
National Instruments 1,100 32
NCR* 5,781 248
Network Appliance* 13,500 529
Novellus Systems* (B) 19,900 621
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Nvidia* 1,900 $ 70
Oracle* 33,300 634
Paychex 49,400 1,947
Polycom* 10,000 288
QLogic* 30,900 688
Qualcomm (B) 92,900 3,399
Rambus* 1,600 36
Red Hat* 3,500 61
Research In Motion* 10,700 1,486
Sabre Holdings, Cl A 3,800 104
SanDisk* 40,400 1,794
Seagate Technology 82,000 2,112
SonicWALL* 8,500 85
Sybase* 600 14
Symantec* 1,800 38
Symbol Technologies 4,100 61
Synopsys* (B) 22,900 585
Tech Data* 9,553 400
Tektronix 3,000 92
Texas Instruments (B) 30,258 894
Travelzoo* 3,700 115
Trimble Navigation* 700 34
Valueclick* 800 20
VeriSign* 7,561 197
Websense* 6,100 156
Western Digital* 17,194 353
Western Union 68,993 1,573
Xerox* 16,122 266
Xilinx 13,700 367
--------
57,067
--------
MATERIALS -- 3.3%
Air Products & Chemicals 700 48
Airgas 300 13
Albemarle 1,400 98
Alcoa (B) 20,600 642
Allegheny Technologies 1,000 90
Ashland 10,821 732
Ball 300 13
Bemis 4,100 140
Cabot 200 8
Carpenter Technology 400 43
Celanese, Ser A 25,104 552
Commercial Metals 461 13
Crown Holdings* 18,412 379
Cytec Industries 1,100 59
Dow Chemical (B) 18,900 756
E.I. du Pont de Nemours 2,200 103
Eagle Materials 4,900 211
Eastman Chemical 603 36
Ecolab 4,000 177
FMC 200 14
Freeport-McMoRan Copper & Gold,
Cl B 2,198 138
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 35
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund (Continued)
November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Hercules 3,914 $ 73
Huntsman* 30,898 538
International Flavors &
Fragrances 2,100 99
International Paper 4,500 149
Lyondell Chemical 9,000 222
Methanex 9,700 240
Monsanto 1,300 63
Nalco Holding* 2,075 41
Newmont Mining (B) 8,100 380
Nucor (B) 11,400 682
Owens-Illinois* (B) 28,127 532
Packaging of America 100 2
Pactiv* (B) 15,900 548
Phelps Dodge 3,133 385
PPG Industries 1,500 96
Praxair 30,300 1,891
Rohm & Haas 1,800 94
RPM International 300 6
Sealed Air 400 24
Sigma-Aldrich 400 30
Smurfit-Stone Container* 4,700 50
Sonoco Products 2,500 93
Steel Dynamics 7,800 254
Temple-Inland 7,900 309
Titanium Metals* 300 10
United States Steel (B) 3,800 284
Valhi 677 18
Valspar 2,000 56
Vulcan Materials (B) 4,200 373
Wheeling-Pittsburgh* 700 12
--------
11,819
--------
TELECOMMUNICATION SERVICES -- 2.2%
Alltel (B) 9,700 550
American Tower, Cl A* 2,100 80
AT&T (B) 51,187 1,736
Bell Aliant Regional Regional
Communications Income Fund
(Canada) 254 6
BellSouth 27,295 1,217
CenturyTel (B) 21,300 906
Citizens Communications 23,600 334
Crown Castle International* 3,700 128
Embarq 125 7
Leap Wireless International* 600 34
Qwest Communications
International* 49,671 382
Sprint Nextel (B) 9,550 186
Telephone & Data Systems 13,893 718
US Cellular* 11,495 774
Verizon Communications (B) 29,300 1,024
Windstream 1,250 17
--------
8,099
--------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
UTILITIES -- 2.0%
AES* 5,968 $ 139
Allegheny Energy* 1,700 75
Alliant Energy 2,700 105
Ameren 5,000 274
American Electric Power (B) 8,300 345
Atmos Energy 400 13
CMS Energy* 13,002 211
Dominion Resources 700 56
DPL 6,955 194
Duke Energy 724 23
Edison International (B) 18,213 837
Energen (B) 7,600 345
Energy East 1,500 37
Entergy 1,300 119
Exelon (B) 8,600 522
FirstEnergy (B) 7,400 443
Great Plains Energy 1,100 35
Hawaiian Electric Industries 300 8
KeySpan 4,000 164
MDU Resources Group 2,050 54
Mirant* 1,400 43
National Fuel Gas 1,700 64
NiSource 800 20
Northeast Utilities 1,600 45
NRG Energy* 12,993 740
NSTAR 800 28
OGE Energy 2,600 102
Oneok 2,100 91
Pepco Holdings 400 10
PG&E (B) 10,400 478
PPL 100 4
Public Service Enterprise Group 9,069 610
Puget Energy 100 2
Reliant Energy* 4,500 60
SCANA 200 8
Sempra Energy 4,300 234
Southern 300 11
Southern Union 4,600 129
TXU (B) 9,274 532
UGI 6,416 181
Xcel Energy 1,700 39
--------
7,430
--------
Total Common Stock
(Cost $302,774) ($ Thousands) 320,223
--------
CASH EQUIVALENT -- 5.0%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.300%**++ 18,054,424 18,054
--------
Total Cash Equivalent
(Cost $18,054) ($ Thousands) 18,054
--------
- --------------------------------------------------------------------------------
36 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 3.2% FNMA
5.500%, 01/01/21-02/01/21 $1,908 $ 1,919
FNMA ARM
5.581%, 05/01/36 288 290
FNMA TBA
6.000%, 12/01/18 2,000 2,036
5.500%, 12/01/20 3,000 3,016
5.000%, 12/01/18 3,100 3,071
GNMA ARM
5.000%, 08/20/36 249 248
4.500%, 01/20/34-01/20/36 894 894
--------
Total U.S. Government Mortgage-Backed Obligations
(Cost $11,380) ($ Thousands) 11,474
--------
ASSET-BACKED SECURITIES -- 6.7%
MORTGAGE RELATED SECURITIES -- 6.7%
Aames Mortgage Investment Trust,
Ser 2005-4, Cl B2
8.070%, 10/25/35 40 36
Ace Securities, Ser 2003-OP1,
Cl M1 (D)
6.020%, 12/26/06 250 251
American Home Mortgage Investment
Trust, Ser 2006-1, Cl 2A3 (D)
5.100%, 12/25/06 270 267
Argent Securities, Ser 2003-W9,
Cl M1 (D)
6.010%, 12/26/06 215 216
Asset-Backed Securities Home
Equity Loan Trust, Ser 2003-HE5,
Cl M2 (D)
7.220%, 12/15/06 35 35
Asset-Backed Securities Home
Equity, Ser 2003-HE7, Cl M2 (D)
7.080%, 12/15/06 25 25
Bear Stearns Asset-Backed
Securities, Ser 2006-PC1N,
Cl A1 (E)
5.500%, 12/25/35 10 10
Bear Stearns Mortgage Funding
Trust, Ser 2006-SL5, Cl 1A (D)
5.500%, 12/26/06 570 570
Carrington Mortgage Loan Trust,
Ser 2005-NC3, Cl A1B (D)
5.480%, 12/27/06 885 885
Citigroup Mortgage Loan Trust,
Ser 2006-FX1, Cl A1 (D)
5.480%, 12/31/06 247 247
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Alternative Loan
Trust, Ser 2004-33,
Cl 1A1 (D)
4.999%, 12/01/06 $ 187 $ 189
Countrywide Alternative Loan
Trust, Ser 2005-69,
Cl M3 (D)
6.470%, 12/27/06 30 30
Countrywide Asset-Backed
Certificates, Ser 2005-7,
Cl MV8 (D)
6.770%, 12/27/06 50 51
Countrywide Asset-Backed
Certificates, Ser 2006-S1,
Cl A2
5.549%, 08/25/21 267 267
Countrywide Asset-backed
Certificates, Ser 2004-5,
Cl 3A (D)
5.550%, 12/27/06 402 402
Countrywide Home Equity Loan
Trust, Ser 2006-D,
Cl 2A (D)
5.520%, 12/30/06 229 229
Countrywide Home Loans,
Ser 2006-OA5, Cl 1M4 (D)
6.370%, 12/27/06 50 50
DSLA Mortgage Loan Trust,
Ser 2006-AR1, Cl M4 (D)
6.060%, 12/19/06 49 49
DSLA Mortgage Loan Trust,
Ser 2006-AR1, Cl M5 (D)
6.130%, 12/19/06 30 30
DSLA Mortgage Loan Trust,
Ser 2006-AR1, Cl M7 (D)
7.070%, 12/19/06 30 30
DSLA Mortgage Loan Trust,
Ser 2006-AR2, Cl M4 (D)
5.920%, 12/19/06 60 60
FBR Securitization Trust,
Ser 2005-4, Cl M11 (D)
7.320%, 12/27/06 25 24
First Franklin Mortgage Loan,
Ser 2003-FF5, Cl M6 (D)
8.820%, 12/25/06 40 40
First Franklin Mortgage Loan,
Ser 2005-FF4, Cl 2A3 (D)
5.540%, 12/25/06 200 200
First Franklin Mortgage Loan,
Ser 2006-FFA, Cl A3
5.440%, 12/25/06 1,235 1,235
First Franklin Mortgage Loan,
Ser 2006-FFB, Cl A2 (D)
5.450%, 12/26/06 460 460
First Horizon Alternative Mortgage
Trust, Ser 2006-AA6, Cl 2A1 (D)
5.750%, 12/01/06 959 964
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 37
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund (Continued)
November 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
First Horizon Asset Securities,
Ser 2006-AR1, Cl 2A1 (D)
5.892%, 12/01/06 $ 1,705 $ 1,730
GMAC Mortgage Loan Trust,
Ser 2006-HE1, Cl A (D)
5.530%, 12/25/06 500 500
GS Mortgage Securities,
Ser 2006-GG6, Cl AM (D)
5.622%, 04/10/38 500 517
GSAA Home Equity Trust,
Ser 2006-3N, Cl N1 (E)
5.750%, 03/25/36 10 10
Harborview Mortgage Loan Trust,
Ser 2004-7, Cl 2A1 (D)
3.379%, 12/01/06 1,315 1,316
Hasco NIM Trust, Ser 2006-OP2A,
Cl A (E)
5.856%, 01/26/36 18 18
Holmes Financing, Ser 2006-10A,
Cl 1C (D) (E)
5.738%, 01/16/2007 100 100
Home Equity Asset Trust,
Ser 2003-4, Cl M2 (D)
7.220%, 12/25/06 50 50
Home Equity Asset Trust,
Ser 2005-9N, Cl A (E)
6.500%, 05/27/36 33 33
Home Equity Asset Trust,
Ser 2006-1N, Cl 1A (E)
6.500%, 05/27/36 20 20
Home Equity Asset Trust,
Ser 2006-4, Cl 2A1 (D)
5.380%, 12/01/06 1,026 1,027
Home Equity Mortgage Trust,
Ser 2006-5, Cl A1 (F)
5.500%, 01/25/37 1,739 1,741
Impac CMB Trust, Ser 2004-10,
Cl 4M1 (D)
5.920%, 03/25/35 54 54
Impac NIM Trust, Ser 2006-1,
Cl N (E)
6.000%, 03/25/36 12 12
Impac Secured Assets CMO Owners
Trust, Ser 2006-3, Cl A4 (D)
5.414%, 12/27/06 484 484
Impac Secured Assets CMO Owners
Trust, Ser 2006-4, Cl A2A (D)
5.400%, 12/16/06 1,110 1,110
Indymac Index Mortgage Loan Trust,
Ser 2006-AR11, Cl 4A1 (D)
5.857%, 12/01/06 689 689
Indymac Index Mortgage Loan Trust,
Ser 2006-AR2, Cl M1 (D)
5.770%, 12/27/06 250 251
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Indymac Index Mortgage Loan Trust,
Ser 2006-AR2, Cl M6 (D)
7.070%, 04/25/46 $ 42 $ 43
Indymac Index Mortgage Loan Trust,
Ser 2006-AR2, Cl M9 (D)
7.070%, 12/25/06 50 42
Indymac Index Mortgage Loan Trust,
Ser 2006-AR4, Cl M4 (D)
6.020%, 12/25/06 30 30
Indymac Index Mortgage Loan Trust,
Ser 2006-AR6, Cl M7 (D)
6.870%, 12/25/06 40 40
Indymac Index Mortgage Loan Trust,
Ser 2006-AR8, Cl M5 (D)
5.870%, 12/26/06 50 50
JPMorgan Mortgage Acquisition,
Ser 2006-RM1, Cl A2 (D)
5.400%, 12/27/06 229 229
JPMorgan Mortgage Acquistion,
Ser 2006-WF1, Cl A1B (D)
5.092%, 12/31/06 636 636
Lehman XS Trust, Ser 2005-5N,
Cl M3 (D)
6.320%, 12/25/06 70 71
Lehman XS Trust, Ser 2005-7N,
Cl M3II
6.470%, 12/27/06 50 50
Lehman XS Trust, Ser 2006-10N,
Cl 1M5 (D)
5.850%, 07/25/46 48 48
Lehman XS Trust, Ser 2006-11,
Cl M10 (D)
7.320%, 12/25/06 35 29
Lehman XS Trust, Ser 2006-12N,
Cl M4 (D)
5.870%, 08/25/46 45 45
Lehman XS Trust, Ser 2006-12N,
Cl M5 (D)
5.920%, 08/25/46 25 25
Lehman XS Trust, Ser 2006-19,
Cl A1 (D)
5.420%, 12/25/06 620 620
Long Beach Asset Holdings,
Ser 2006-2, Cl N1 (E)
5.780%, 04/25/46 14 14
Master Asset-Backed Securities
Trust, Ser 2002-OPT1, Cl M1 (D)
6.470%, 12/27/06 67 68
Master Asset-Backed Securities
Trust, Ser 2006-AB1, Cl A1 (D)
5.460%, 12/27/06 181 181
Merrill Lynch Mortgage Investors,
Ser 2003-HE1, M2 (D)
6.970%, 12/25/06 25 25
- --------------------------------------------------------------------------------
38 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Merrill Lynch Mortgage Investors,
Ser 2005-A8, Cl A1B1 (D)
5.250%, 12/25/06 $ 281 $ 279
Merrill Lynch Mortgage Investors,
Ser 2006-MLN1, Cl A2A (D)
5.394%, 12/29/06 520 519
Merrill Lynch Mortgage Investors,
Ser 2006-RM4, Cl A2A (D)
5.400%, 12/27/06 538 538
Morgan Stanley Capital I,
Ser 2003-NC10, Cl M2 (D)
7.120%, 12/26/06 25 25
Morgan Stanley Dean Witter
Capital I, Ser 2002-AM3,
Cl M1 (D)
6.270%, 12/25/06 500 501
National Collegiate Student Loan
Trust, Ser 2003-3, Cl C (D)
5.819%, 12/28/06 200 200
National Collegiate Student Loan
Trust, Ser 2004-2, Cl C (D)
6.120%, 12/25/06 250 257
New Century Home Equity Loan Trust,
Ser 2003-B, Cl M1 (D)
5.970%, 12/27/06 87 88
New Century Home Equity Loan Trust,
Ser 2005-A, Cl A2 (D)
4.461%, 12/25/06 188 187
Option One Mortgage Loan Trust,
Ser 2003-5, Cl M1 (D)
5.970%, 12/23/06 100 100
Park Place Securities,
Ser 2005-WHQ2, Cl A2C (D)
5.550%, 12/28/06 400 400
Residential Asset Mortgage
Products, Ser 2006-RZ4,
Cl A1 (D)
5.410%, 12/25/06 486 486
Residential Asset Securitization
Trust, Ser 2004-IP2, Cl 3A1 (D)
5.274%, 12/25/06 431 434
Resmae Mortgage Loan Trust,
Ser 2006-1, Cl A2A (D) (E)
5.420%, 12/25/06 174 174
Resmae Mortgage Loan Trust,
Ser 2006-1, Cl A2B (D) (E)
5.470%, 12/25/06 100 100
SB Finance NIM Trust, Ser 2005-HE3,
Cl N1 (E)
4.750%, 09/25/35 20 20
SB Finance NIM Trust,
Ser 2006-KS4N, Cl N1 (E)
7.500%, 06/25/36 17 17
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Sail NIM Notes, Ser 2006-BC1A,
Cl A (E)
7.000%, 03/27/36 $ 39 $ 36
Structured Asset Securities,
Ser 2006-GEL4, Cl A1 (D) (E)
5.440%, 12/27/06 1,000 1,000
Terwin Mortgage Trust,
Ser 2006-2HGS, Cl B1 (D) (E)
6.100%, 12/25/06 35 35
Terwin Mortgage Trust,
Ser 2006-6, Cl A1 (D)
4.500%, 07/25/37 191 189
--------
Total Asset-Backed Securities
(Cost $24,275) ($ Thousands) 24,345
--------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 1.0%
FHLMC CMO STRIPS, Ser 232,
Cl IO, IO
5.000%, 08/01/35 537 121
FHLMC (C)
5.250%, 01/16/07 (A) 500 497
5.180%, 02/06/07 (A) 1,150 1,139
5.180%, 03/30/07 700 688
FNMA CMO STRIPS, Ser 360,
Cl 2, IO
5.000%, 08/01/35 2,985 673
FNMA (C)
5.180%, 03/30/07 700 688
--------
Total U.S. Government Agency Obligations
(Cost $3,904) ($ Thousands) 3,806
--------
CORPORATE OBLIGATIONS -- 0.3%
CONSUMER DISCRETIONARY -- 0.1%
COX Communications
4.625%, 06/01/13 40 38
Comcast
5.300%, 01/15/14 50 49
Omnicon Group
5.900%, 04/15/16 20 21
Time Warner
6.875%, 05/01/12 40 43
--------
151
--------
ENERGY -- 0.0%
Kinder Morgan Energy Partners
5.000%, 12/15/13 40 38
--------
FINANCIALS -- 0.2%
CIT Group
5.000%, 02/13/14 55 54
Credit Suisse First Boston USA
6.500%, 01/15/12 25 27
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 39
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund (Continued)
November 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Genworth Financial
5.750%, 06/15/14 $ 40 $ 41
Goldman Sachs Group
5.500%, 11/15/14 80 81
Household Finance
6.375%, 10/15/11 40 42
JPMorgan Chase
5.125%, 09/15/14 40 40
Lehman Brothers Holdings MTN
5.500%, 04/04/16 40 40
Morgan Stanley
4.750%, 04/01/14 40 39
Residential Capital
6.500%, 04/17/13 75 78
Simon Property Group
5.750%, 12/01/15 25 26
5.600%, 09/01/11 35 36
Wachovia
5.300%, 10/15/11 170 172
4.875%, 02/15/14 25 24
istar Financial, Ser 1+
5.875%, 03/15/16 25 25
--------
725
--------
HEALTH CARE -- 0.0%
Aetna
5.750%, 06/15/11 40 41
Teva Pharmaceutical Finance
5.550%, 02/01/16 40 40
Wellpoint
6.800%, 08/01/12 25 27
--------
108
--------
INDUSTRIALS -- 0.0%
Lafarge
6.150%, 07/15/11 25 26
--------
TELECOMMUNICATION SERVICES -- 0.0%
Embarq
6.738%, 06/01/13 20 21
--------
UTILITIES -- 0.0%
Dominion Resources
4.750%, 12/15/10 25 25
Exelon Generation
6.950%, 06/15/11 40 42
--------
67
--------
Total Corporate Obligations
(Cost $1,094) ($ Thousands) 1,136
--------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 0.3%
U.S. Treasury Bill (A)
4.880%, 02/22/07 $ 352 $ 348
U.S. Treasury Bond
2.375%, 04/15/11 921 926
Total U.S. Treasury Obligations
(Cost $1,270) ($ Thousands) 1,274
--------
Total Investments -- 104.5%
(Cost $362,751) ($ Thousands) $380,312
========
COMMON STOCK SOLD SHORT -- (9.1)%
CONSUMER DISCRETIONARY -- (2.5)%
Amazon.com* (8,400) (339)
Boyd Gaming (8,300) (352)
Career Education* (4,245) (107)
Coldwater Creek* (1,700) (43)
Corinthian Colleges* (16,500) (213)
CTC Media* (1,100) (25)
Dick's Sporting Goods* (4,300) (231)
Discovery Holding, Cl A* (53,588) (822)
DR Horton (1,400) (37)
Eastman Kodak (13,100) (341)
Gentex (58,310) (966)
Hearst-Argyle Television (7,435) (188)
Hilton Hotels (6,500) (213)
International Speedway, Cl A (138) (7)
Interpublic Group (15,600) (187)
Laureate Education* (6,400) (333)
Lennar, Cl A (2,300) (121)
Liberty Global, Cl A* (6,583) (178)
Liberty Media Holding-Capital,
Ser A* (1,108) (97)
Liberty Media Interactive, Cl A* (6,143) (140)
MDC Holdings (5,624) (321)
News (5,300) (109)
NTL (1,456) (35)
O'Reilly Automotive* (19,300) (611)
Quiksilver* (20,700) (301)
RH Donnelley (225) (14)
Scientific Games, Cl A* (21,600) (627)
Standard Pacific (9,377) (241)
Starwood Hotels & Resorts
Worldwide (700) (45)
Tiffany (10,722) (412)
Tractor Supply* (6,700) (319)
Urban Outfitters* (26,000) (579)
XM Satellite Radio, Cl A* (35,233) (509)
--------
(9,063)
--------
- --------------------------------------------------------------------------------
40 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CONSUMER STAPLES -- (0.0)%
Hansen Natural* (661) $ (19)
Whole Foods Market (2,076) (101)
WM Wrigley Jr. (249) (13)
--------
(133)
--------
ENERGY -- (1.3)%
Arch Coal (17,200) (617)
Cameco (13,200) (502)
Cheniere Energy* (4,000) (123)
Consol Energy (800) (29)
Denbury Resources* (737) (22)
Dresser-Rand Group* (11,900) (288)
Enbridge (6,000) (212)
Foundation Coal Holdings (2,500) (93)
Massey Energy (6,300) (173)
Quicksilver Resources* (11,717) (496)
Rowan (10,100) (364)
Southwestern Energy (21,700) (914)
Tetra Technologies* (4,700) (121)
Todco* (8,300) (332)
Ultra Petroleum* (5,200) (280)
W&T Offshore (5,100) (177)
--------
(4,743)
--------
FINANCIALS -- (0.8)%
Arthur J. Gallegher (3,200) (94)
Astoria Financial (1,800) (54)
Chicago Mercantile Exchange
Holdings (124) (66)
Commerce Bancorp (5,000) (174)
Hudson City Bancorp (80,051) (1,062)
Leucadia National (2,742) (76)
Marsh & McLennan (1,300) (41)
New Century Financial+ (8,064) (291)
New York Community Bancorp (2,058) (33)
Peoples Bank (9,300) (415)
Popular (9,700) (172)
T Rowe Price Group (2,200) (95)
Valley National Bancorp (7,900) (205)
Vornado Realty Trust+ (100) (12)
--------
(2,790)
--------
HEALTH CARE -- (1.1)%
Abraxis Bioscience* (2,777) (74)
Affymetrix* (13,300) (337)
Amylin Pharmaceuticals* (12,909) (516)
Bausch & Lomb (3,500) (169)
Biomet (6,800) (257)
Boston Scientific* (20,995) (332)
Brookdale Senior Living (3,227) (147)
Cooper (3,800) (205)
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Davita* (2,100) $ (112)
Endo Pharmaceutical Holdings* (9,500) (258)
Millennium Pharmaceuticals* (8,227) (93)
Omnicare (5,500) (218)
Patterson* (1,900) (71)
Qiagen* (6,800) (99)
Respironics* (7,100) (256)
Tenet Healthcare* (39,600) (281)
Vertex Pharmaceuticals* (9,000) (399)
--------
(3,824)
--------
INDUSTRIALS -- (0.7)%
Belden CDT (500) (20)
CH Robinson Worldwide (1,900) (83)
Copart* (216) (6)
Corporate Executive Board (1,130) (107)
Covanta Holdings* (5,200) (115)
DRS Technologies (4,601) (229)
Expeditors International
Washington (3,400) (154)
GATX (7,400) (342)
Pall (8,100) (254)
Southwest Airlines (19,404) (305)
Stericycle* (5,203) (377)
UTI Worldwide (12,900) (384)
--------
(2,376)
--------
INFORMATION TECHNOLOGY -- (2.1)%
Activision* (13,500) (230)
Alliance Data Systems* (5,000) (324)
Autodesk (3,700) (152)
Avid Technology* (8,600) (335)
Broadcom, Cl A* (9,800) (322)
CACI International, Cl A* (5,800) (347)
Ciena* (13,665) (344)
Citrix Systems* (7,500) (216)
Cognizant Technology Solutions* (326) (27)
eBay* (9,900) (320)
Fair Isaac (6,222) (259)
JDS Uniphase* (7,362) (136)
Juniper Networks* (18,343) (390)
Mastercard, Cl A (3,442) (350)
Maxim Integrated Products (6,200) (195)
NAVTEQ* (12,982) (464)
Novell* (13,500) (85)
Paychex (10,984) (433)
PMC - Sierra* (67,721) (515)
Rambus* (28,460) (635)
Red Hat* (12,818) (223)
Salesforce.com* (12,487) (487)
SanDisk* (4,769) (212)
Silicon Laboratories* (9,338) (301)
Symantec* (4,211) (89)
Unisys* (22,500) (162)
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 41
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund (Continued)
November 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Verifone Holdings* (4,500) $ (152)
--------
(7,705)
--------
MATERIALS -- (0.4)%
Eagle Materials (439) (19)
Ivanhoe Mines* (32,100) (296)
Louisiana-Pacific (34,685) (732)
Mosaic (19,100) (407)
Potash of Saskatchewan (1,100) (155)
--------
(1,609)
--------
TELECOMMUNICATION SERVICES -- (0.1)%
NeuStar, Cl A* (11,100) (369)
SBA Communications, Cl A* (4,035) (114)
--------
(483)
--------
UTILITIES -- (0.1)%
Aqua America (12,740) (305)
--------
Total Common Stock Sold Short
(Proceeds $(31,335)) ($ Thousands) (33,031)
--------
A summary of the open future contracts held by the Fund at November 30, 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$ (9) Mar-2007 $2
90-Day Euro$ (9) Mar-2008 (10)
90-Day Euro$ (7) Mar-2009 (9)
90-Day Euro$ (7) Mar-2010 (8)
90-Day Euro$ (5) Mar-2011 (5)
90-Day Euro$ (20) Jun-2007 (7)
90-Day Euro$ (9) Jun-2008 (10)
90-Day Euro$ (7) Jun-2009 (9)
90-Day Euro$ (7) Jun-2010 (8)
90-Day Euro$ (6) Sep-2007 (2)
90-Day Euro$ (9) Sep-2008 (10)
90-Day Euro$ (7) Sep-2009 (8)
90-Day Euro$ (7) Sep-2010 (8)
90-Day Euro$ 43 Dec-2006 (6)
90-Day Euro$ (9) Dec-2007 (8)
90-Day Euro$ (7) Dec-2008 (9)
90-Day Euro$ (7) Dec-2009 (8)
90-Day Euro$ (7) Dec-2010 (8)
Euro-Bund (2) Dec-2006 (3)
S&P 500 Composite Index 233 Dec-2006 2,380
S&P 500 Composite Index 33 Mar-2007 24
U.S. 10-Year Note 10 Mar-2007 6
U.S. 2-Year Note 6 Mar-2007 2
U.S. Long Treasury Bond 4 Dec-2006 3
------
$2,281
======
A summary of the outstanding Total Return Swap agreements held by the Fund at
November 30, 2006, is as follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
Fund receives payment on the monthly
reset spread from -- CMBS IG 10YR
Index plus 22.5 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.
(Counter Party: Bank of America) 05/01/07 $30,000 $ (3)
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.
(Counter Party: Bank of America) 03/01/07 50,000 (6)
Fund receives payment on the monthly
reset spread from Banc of America --
CMBS AAA 10YR Index plus 10 basis
points times the notional amount.
Fund receives payment if the return
on the spreadappreciates over the
payment period, and pays if the
return on the spread depreciates
over the payment period.
(Counter Party: Wachovia Bank) 05/01/07 50,000 (7)
Fund receives payment on the monthly
reset spread from Lehman Brothers --
CMBS AAA 10YR Index plus 10 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.
(Counter Party: Bank of America) 02/28/07 25,000 (3)
----
$(19)
====
A summary of the outstanding Credit Default Swap agreements held by the Fund at
November 30, 2006, is as follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
The Fund pays quarterly payment of
0.0875% (0.350% per annum) times
notional amount of, Alcan Inc
4.875%, 09/15/12. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: Bank of America) 12/20/13 $ 250 $ --
The Fund pays quarterly payment of
0.1375%(0.550% per annum) times
notional amount of, Black & Decker
Corp 7.125%, 06/01/11. Upon a
defined credit event, the fund
will receive the notional amount
and deliver the defined
obligation.
(Counter Party: Bank of America) 12/20/11 250 --
The Fund pays quarterly payment of
0.1113% (0.445% per annum) times
notional amount of, Darden
Restaurants Inc. 7.125%, 02/01/16.
Upon a defined credit event, the
fund will receive the notional
amount and deliver the defined
obligation.
(Counter Party: Bank of America) 12/20/11 250 --
The Fund pays quarterly payment of
0.1063% (0.425% per annum) times
notional amount of, Eastman
Chemical Co. 7.600%, 02/01/27.
Upon a defined credit event, the
fund will receive the notional
amount and deliver the defined
obligation.
(Counter Party: Bank of America) 12/20/11 250 --
The Fund pays quarterly payment of
0.2950% (1.180% per annum) times
notional amount of, Gap Inc. The
9.000%, 12/15/08. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: Bank of America) 12/20/11 250 --
The Fund pays quarterly payment of
0.0975% (0.390% per annum) times
notional amount of, Johnson
Controls Inc. 7.125%,07/15/17.
Upon a defined credit event, the
fund will receive the notional
amount and deliver the defined
obligation.
(Counter Party: Bank of America) 12/20/13 250 (1)
- --------------------------------------------------------------------------------
42 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
The Fund pays quarterly payment of
0.1188% (0.475% per annum) times
notional amount of, Ltd. Brands Inc.
6.125%, 12/01/12. Upon a defined
credit event, the fund will receive
the notional amount and deliver the
defined obligation.
(Counter Party: Bank of America) 12/20/11 $ 250 $ --
The Fund pays quarterly payment of
0.1825% (0.730% per annum) times
notional amount of, Masco Corp.
5.875%, 07/15/12. Upon a defined
credit event, the fund will receive
the notional amount and deliver the
defined obligation.
(Counter Party: Bank of America) 12/20/13 250 (1)
The Fund pays quarterly payment of
0.0875% (0.350% per annum) times
notional amount of, MGIC Investment
Corp. 6.000%,03/15/07. Upon a
defined credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: Bank of America) 12/20/13 250 (1)
The Fund pays quarterly payment of
0.1188% (0.475% per annum) times
notional amount of, MeadWestvaco
6.850%, 04/01/12. Upon a defined
credit event, the fund will receive
the notional amount and deliver the
defined obligation.
(Counter Party: Bank of America) 12/20/11 250 --
The Fund pays quarterly payment of
0.0550% (0.220% per annum) times
notionalamount of, Nucor Corp.
4.875%, 10/01/12. Upon a defined
credit event, the fund will receive
the notional amount and deliverthe
defined obligation.
(Counter Party: Bank of America) 12/20/11 250 --
The Fund pays quarterly payment of
0.0875%(0.350% per annum) times
notional amount of, PMI Group Inc.
The 6.000%, 09/15/16. Upon a defined
credit event, the fund will receive
the notional amount and deliver the
defined obligation.
(Counter Party: Bank of America) 12/20/13 250 --
The Fund pays quarterly payment of
0.0875% (0.350% per annum) times
notionalamount of, Radian Group Inc.
7.750%,06/01/11. Upon a defined
credit event, the fund will receive
the notional amount and deliver the
defined obligation.
(Counter Party: Bank of America) 12/20/13 250 --
The Fund pays quarterly payment of
0.0475% (0.190% per annum) times
notional amount of, TJX Cos Inc
7.450%, 12/15/09. Upon a defined
credit event, the fund will receive
the notional amount and deliver the
defined obligation.
(Counter Party: Bank of America) 12/20/11 250 --
The Fund pays quarterly payment of
0.1125% (0.450% per annum) times
notional amount of, Wayerhaeuser Co.
6.750%, 03/15/12. Upon a defined
credit event, the fund will receive
the notional amount and deliver the
defined obligation.
(Counter Party: Bank of America) 12/20/11 250 --
The Fund pays quarterly payment of
0.0850% (0.340% per annum) times
notional amount of, Agrium Inc.
8.250%, 02/15/11. Upon a defined
credit event, the fund will receive
the notional amount and deliver the
defined obligation.
(Counter Party: JPMorgan Chase) 12/20/11 250 --
The Fund pays quarterly payment of
0.1150% (0.460% per annum) times
notional amount of, Autotzone Inc
5.875%, 10/15/12. Upon a defined
credit event, the fund will receive
the notional amount and deliver the
defined obligation.
(Counter Party: JPMorgan Chase) 12/20/11 250 --
The Fund pays quarterly payment of
0.1375% (0.550% per annum) times
notionalamount of, Black & Decker
Corp. 7.125%,06/01/11. Upon a
defined credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: JPMorgan Chase) 12/20/11 250 --
The Fund pays quarterly payment of
0.0650% (0.260% per annum) times
notionalamount of, Dow Chemical Co.
The 6.000%, 10/01/12. Upon a defined
credit event, the fund will receive
the notional amount and deliver the
defined obligation.
(Counter Party: JPMorgan Chase) 12/20/13 250 (1)
- --------------------------------------------------------------------------------
UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
The Fund pays quarterly payment of
0.2950% (1.180% per annum) times
notional amount of, Gap Inc. The
9.800%, 12/15/08.Upon a defined
credit event, the fund will receive
the notional amount and deliver the
defined obligation.
(Counter Party: JPMorgan Chase) 12/20/11 $ 250 $ --
The Fund pays quarterly payment of
0.0975% (0.390% per annum) times
notional amount of, Hasbro Inc
2.750%, 12/01/21. Upon a defined
credit event, the fund will receive
the notional amount and deliver the
defined obligation.
(Counter Party: JPMorgan Chase) 12/20/11 250 --
The Fund pays quarterly payment of
0.1925% (0.770% per annum) times
notional amount of, Jones Apparel
Group Inc. 5.125%, 11/15/14. Upon a
defined credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: JPMorgan Chase) 12/20/11 250 --
The Fund pays quarterly payment of
0.0700% (0.280% per annum) times
notional amount of, Nordstrom Inc
6.950%, 03/15/28. Upon a defined
credit event, the fund will receive
the notional amount and deliver the
defined obligation.
(Counter Party: JPMorgan Chase) 12/20/13 250 --
The Fund pays quarterly payment of
0.0675% (0.270% per annum) times
notional amount of, Southwest
Airlines Co. 6.500%, 03/01/12. Upon
a defined credit event, the fund
will receive the notional amount and
deliver the defined obligation.
(Counter Party: JPMorgan Chase) 12/20/11 250 --
The Fund pays quarterly payment of
0.1125% (0.450% per annum) times
notional amount of, Lubrizol Corp.
7.250%, 06/15/25. Upon a defined
credit event, the fund will receive
the notional amount and deliver the
defined obligation.
(Counter Party: JPMorgan Chase) 12/20/11 250 --
The Fund pays quarterly payment of
0.0875% (0.350% per annum) times
notional amount of, MGIC Investment
Corp. 6.000%, 03/15/07. Upon a
defined credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: JPMorgan Chase) 12/20/13 250 (1)
The Fund pays quarterly payment of
0.0550% (0.220% per annum) times
notional amount of, Nucor Corp.
4.875%, 10/01/12. Upon a defined
credit event, the fund will receive
the notional amount and deliver the
defined obligation.
(Counter Party: JPMorgan Chase) 12/20/11 250 --
The Fund pays quarterly payment of
0.0875% (0.350% per annum) times
notional amount of, PMI Group Inc.
6.000%, 09/15/16. Upon a defined
credit event, the fund will receive
the notional amount and deliver the
defined obligation.
(Counter Party: JPMorgan Chase) 12/20/13 250 --
The Fund pays quarterly payment of
0.0500% (0.200% per annum) times
notional amount of, PPG Industries
Inc 7.050%, 08/15/09. Upon a defined
credit event, the fund will receive
the notional amount and deliver the
defined obligation.
(Counter Party: JPMorgan Chase) 12/20/11 250 --
The Fund pays quarterly payment of
0.0975% (0.390% per annum) times
notional amount of, Radian Group Inc
7.750%06/01/11. Upon a defined
credit event, the fund will receive
the notional amount and deliver the
defined obligation.
(Counter Party: JPMorgan Chase) 12/20/13 250 --
The Fund pays quarterly payment of
0.0845% (0.340% per annum) times
notional amount of, Whirlpool Corp.
7.750%, 07/15/16. Upon a defined
credit event, the fund will receive
the notional amount and deliver the
defined obligation.
(Counter Party: JPMorgan Chase) 12/20/11 250 --
The Fund pays quarterly payment of
0.0700% (0.280% per annum) times
notional amount of, Nordstrom Inc.
6.950%, 03/15/28. Upon a defined
credit event, the fund will receive
the notional amount and deliver the
defined obligation.
(Counter Party: Merrill Lynch) 12/20/13 250 --
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 43
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund (Concluded)
November 30, 2006
- --------------------------------------------------------------------------------
UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
The Fund pays quarterly payment of
0.0325% (0.130% per annum) times
notional amount of, Lowe's Cos Inc.
8.250%, 06/01/10. Upon a defined
credit event, the fund will receive
the notional amount and deliver the
defined obligation.
(Counter Party: Merrill Lynch) 12/20/11 $ 250 $ --
The Fund pays quarterly payment of
0.0675% (0.270% per annum) times
notional amount of, Southwest
Airlines Co. 6.500%, 03/01/12. Upon
a defined credit event, the fund
will receive the notional amount and
deliver the defined obligation.
(Counter Party: Merrill Lynch) 12/20/11 250 --
The Fund pays quarterly payment of
0.1125% (0.450% per annum) times
notional amount of, Lubrizol Corp.
7.250%, 06/15/25. Upon a defined
credit event, the fund will receive
the notional amount and deliver the
defined obligation.
(Counter Party: Merrill Lynch) 12/20/11 250 --
The Fund pays quarterly payment of
0.2250%(0.900% per annum) times
notionalamount of, MDZ Holdings Inc
5.500%, 05/15/13. Upon a defined
credit event, the fund will receive
the notional amount and deliver the
defined obligation.
(Counter Party: Merrill Lynch) 12/20/11 250 --
The Fund pays quarterly payment of
0.1725% (0.690% per annum) times
notional amount of, RR Donnelley &
Sons Co. 4.950%, 04/01/14. Upon a
defined credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: Merrill Lynch) 12/20/11 250 --
The Fund receives quarterly payment of
0.1000% (0.400% per annum) times
notional amount of, CDX.NA.IG Series
7 index. Upon a defined credit
event, the fund will receive the
notional amount and deliver the
defined obligation.
(Counter Party: Bank of America) 12/20/11 4,600 10
The Fund receives quarterly payment of
0.1000% (0.400% per annum) times
notional amount of, CDX.NA.IG Series
7 index. Upon a defined credit
event, the fund will receive the
notional amount and deliver the
defined obligation.
(Counter Party: Merrill Lynch) 12/20/11 4,600 10
----
$ 15
====
Percentages are based on Net Assets of $363,764 ($ Thousands)
* Non-income producing security.
** Rate shown is the 7-day effective yield as of November 30, 2006.
+ Real Estate Investments Trust
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts and written options.
(B) All or a portion of this security is held as collateral for securities sold
short.
(C) Zero coupon security. The rate reported on the Schedule of Investments is
the effective yield at time of purchase.
(D) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of November 30, 2006.
(E) 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.
(F) Step Bonds -- The rate reflected on the Schedule of Investments is the
effective yield on November 30, 2006. The coupon on a step bond changes on a
specified date.
ARM -- Adjustable Rate Mortgage
CDO -- Collateralized Debt Obligation
Cl -- Class
- --------------------------------------------------------------------------------
DESCRIPTION
- --------------------------------------------------------------------------------
CMO -- Collateralized Mortgage Obligation
EXL -- Extendable Maturity
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GMNA -- Government National Mortgage Association
IO -- Interest Only
MTN -- Medium Term Note
NIM -- Net Interest Margin
Ser -- Series
STRIPS -- Separately Traded Registered Interest and Principal Securities
TBA -- To Be Announced
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
44 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund
November 30, 2006
- --------------------------------------------------------------------------------
[Bar Chart Omitted]
Plot points as follows:
SECTOR WEIGHTINGS++:
24.0% Financials
14.0% Information Technology
11.0% Health Care
10.2% Consumer Discretionary
9.7% Industrials
8.4% Energy
7.7% Consumer Staples
3.5% Utilities
3.2% Short-Term Investments
3.1% Telecommunication Services
2.9% Materials
0.7% Commercial Paper
0.5% Asset-Backed Securities
0.4% Master Note
0.3% Certificate of Deposit
0.2% Collaterized Debt Obligations
0.2% U.S. Treasury Obligation
++Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 9).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 97.7%
CONSUMER DISCRETIONARY -- 11.1%
Abercrombie & Fitch, Cl A 2,402 $ 162
Advance Auto Parts 2,808 100
Amazon.com (B)* 7,989 322
American Eagle Outfitters 3,114 141
AnnTaylor Stores* 1,847 64
Apollo Group, Cl A (B)* 3,664 142
Autoliv 2,218 130
Autonation* 4,132 85
Autozone* 1,407 160
Barnes & Noble 1,138 46
Beazer Homes USA 1,037 47
Bed Bath & Beyond* 7,415 287
Best Buy 10,347 569
Black & Decker 2,068 178
BorgWarner 1,441 83
Boyd Gaming 1,051 44
Brinker International 2,322 106
Brunswick 2,533 82
Cablevision Systems, Cl A (B) 5,442 151
Career Education* 2,459 62
Carmax* 2,680 124
CBS, Cl B 17,369 517
Centex 3,056 169
Cheesecake Factory* 2,046 57
Chico's FAS* 4,616 110
Choice Hotels International 884 40
Circuit City Stores 4,985 124
Claire's Stores 2,327 74
Clear Channel Communications 13,235 465
Clear Channel Outdoor Holdings,
Cl A* 700 18
Coach* 9,967 431
Coldwater Creek* 1,700 43
Comcast, Cl A (B)* 50,817 2,056
CTC Media 1,100 25
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Darden Restaurants 3,922 $ 157
Dick's Sporting Goods (B)* 829 44
Dillard's, Cl A (B) 1,675 60
DIRECTV Group (B)* 21,158 481
Discovery Holding, Cl A* 7,242 111
Dollar General 7,831 122
Dollar Tree Stores* 2,553 77
Dow Jones (B) 1,377 50
DR Horton 7,968 212
DreamWorks Animation SKG, Cl A* 934 27
E.W. Scripps, Cl A 2,072 101
Eastman Kodak (B) 7,767 202
EchoStar Communications,
Cl A (B)* 5,262 189
Expedia* 5,551 101
Family Dollar Stores 4,262 119
Federated Department Stores 14,530 612
Foot Locker 3,769 86
Ford Motor 48,024 390
Fortune Brands 3,820 309
GameStop, Cl A (B)* 1,800 101
Gannett 6,259 372
Gap 14,559 273
General Motors (B) 12,581 368
Gentex 3,932 65
Genuine Parts 4,471 210
Getty Images* 1,519 66
Goodyear Tire & Rubber (B)* 4,352 73
H&R Block 8,525 205
Hanesbrands 2,643 64
Harley-Davidson (B) 6,903 509
Harman International Industries 1,768 184
Harrah's Entertainment 4,875 384
Harte-Hanks 1,489 39
Hasbro 4,467 119
Hearst-Argyle Television 863 22
Hilton Hotels 10,024 329
Home Depot 55,215 2,096
IAC/InterActive (B)* 4,364 159
Idearc 3,955 109
International Game Technology 8,743 383
International Speedway, Cl A 912 47
Interpublic Group (B)* 11,275 135
ITT Educational Services (B)* 1,221 84
Jarden (B)* 1,300 48
JC Penney 6,151 476
John Wiley & Sons, Cl A 1,242 49
Johnson Controls 5,015 408
Jones Apparel Group 3,053 103
KB Home 2,080 107
Kohl's* 8,519 593
Lamar Advertising, Cl A (B)* 2,140 129
Las Vegas Sands* 3,693 338
Laureate Education (B)* 1,231 64
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 45
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund (Continued)
November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Leggett & Platt 4,519 $ 107
Lennar, Cl A (B) 3,530 185
Liberty Global, Cl A* 11,796 318
Liberty Media Holding-Capital,
Ser A* 3,689 324
Liberty Media Holding-
Interactive, Cl A* 18,447 420
Limited Brands 8,757 277
Liz Claiborne 2,661 114
Lowe's 40,410 1,219
Marriott International, Cl A 8,950 404
Mattel 10,442 229
McClatchy, Cl A 1,417 59
McDonald's 31,980 1,342
McGraw-Hill 9,439 629
MDC Holdings 816 47
Meredith 758 41
MGM Mirage 2,992 161
Mohawk Industries (B)* 1,366 106
New York Times, Cl A (B) 3,524 85
Newell Rubbermaid 7,365 210
News, Cl A (B)* 59,885 1,234
Nike, Cl B 5,124 507
Nordstrom 6,012 295
NTL 7,620 184
Nutri/System (B)* 900 62
NVR* 124 74
O'Reilly Automotive (B)* 2,740 87
Office Depot* 7,389 280
OfficeMax 1,974 93
Omnicom Group 4,522 462
OSI Restaurant Partners 1,602 63
Panera Bread, Cl A* 662 38
Penn National Gaming* 1,689 62
PetSmart 3,773 112
Polo Ralph Lauren 1,480 116
Pool (B) 1,292 53
Pulte Homes 5,418 183
R.H. Donnelley 1,261 78
RadioShack* 3,171 56
Regal Entertainment Group,
Cl A (B) 1,188 25
Ross Stores 3,471 108
Ryland Group 1,075 57
Saks 3,306 68
Sally Beauty Holdings* 1,887 17
Scientific Games, Cl A* 1,466 43
Sears Holdings (B)* 2,228 382
Service International 6,994 69
ServiceMaster 6,982 90
Sherwin-Williams 3,037 190
Sirius Satellite Radio (B)* 38,952 166
Snap-On 1,491 71
Standard-Pacific 1,539 39
Stanley Works 2,109 108
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Staples 18,864 $ 480
Starbucks (B)* 19,906 702
Starwood Hotels & Resorts
Worldwide 5,584 358
Station Casinos (B) 1,219 83
Target 22,585 1,312
Thor Industries 1,000 45
Tiffany (B) 3,825 147
Tim Hortons 4,986 154
Time Warner 103,937 2,093
TJX 12,054 330
Toll Brothers (B)* 3,351 108
Tractor Supply* 1,000 48
Tribune 4,900 156
TRW Automotive Holdings* 993 25
United Auto Group 1,200 28
Univision Communications, Cl A* 5,611 200
Urban Outfitters* 2,720 61
VF 2,417 189
Viacom, Cl B* 16,469 618
Walt Disney 57,184 1,890
Warner Music Group 2,562 65
Washington Post, Cl B 128 94
Weight Watchers International 1,062 52
Wendy's International 3,313 108
Whirlpool 1,887 161
Williams-Sonoma 2,662 84
Wyndham Worldwide* 5,068 161
Wynn Resorts (B) 1,196 105
XM Satellite Radio Holdings,
Cl A (B)* 7,837 113
Yum! Brands 7,124 436
--------
41,530
--------
CONSUMER STAPLES -- 8.4%
Alberto-Culver 1,887 38
Altria Group 54,468 4,587
Anheuser-Busch 20,079 954
Archer-Daniels-Midland 16,979 596
Avon Products 11,806 385
BJ's Wholesale Club* 1,872 60
Brown-Forman, Cl B 1,675 116
Campbell Soup 6,178 235
Church & Dwight 1,632 68
Clorox 3,903 250
Coca-Cola 53,120 2,488
Coca-Cola Enterprises 7,715 158
Colgate-Palmolive 13,375 870
ConAgra Foods 13,386 344
Constellation Brands, Cl A* 5,131 144
Corn Products International 2,100 76
Costco Wholesale 12,181 637
CVS (B) 21,546 620
Dean Foods* 3,787 162
- --------------------------------------------------------------------------------
46 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Del Monte Foods 5,258 $ 59
Energizer Holdings (B)* 1,441 95
Estee Lauder, Cl A 3,154 130
General Mills 9,396 526
Hansen Natural* 1,600 45
Hershey 4,598 244
HJ Heinz 8,837 393
Hormel Foods 1,939 73
JM Smucker 1,355 65
Kellogg 6,303 314
Kimberly-Clark 11,918 792
Kraft Foods, Cl A (B) 5,340 187
Kroger 18,673 401
Loews - Carolina 2,393 149
McCormick 3,593 139
Molson Coors Brewing, Cl B 1,231 88
Pepsi Bottling Group 3,682 115
PepsiAmericas 1,494 31
PepsiCo 43,137 2,673
Procter & Gamble 85,677 5,380
Reynolds American (B) 4,610 296
Rite Aid* 13,001 62
Safeway 11,820 364
Sara Lee 19,951 331
Smithfield Foods (B)* 2,775 73
Supervalu 5,189 178
Sysco (B) 16,348 586
Tyson Foods, Cl A 5,465 87
UST (B) 4,169 233
Wal-Mart Stores 64,179 2,959
Walgreen 26,225 1,062
Whole Foods Market (B) 3,852 188
WM Wrigley Jr. 6,200 325
--------
31,431
--------
ENERGY -- 9.0%
Anadarko Petroleum 11,840 584
Apache 8,759 613
Arch Coal 3,912 140
Baker Hughes 9,001 661
BJ Services 7,788 263
Cabot Oil & Gas 1,400 87
Cameron International* 3,022 164
Cheniere Energy* 1,500 46
Chesapeake Energy (B) 9,966 339
Chevron 57,802 4,180
Cimarex Energy 2,300 86
CNX Gas* 500 14
ConocoPhillips 43,076 2,899
Consol Energy 4,744 174
Denbury Resources (B)* 2,824 83
Devon Energy 11,613 852
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Diamond Offshore Drilling (B) 1,509 $ 117
Dresser-Rand Group* 734 18
El Paso 17,803 260
ENSCO International 4,123 214
EOG Resources 6,345 448
Exxon Mobil 157,612 12,106
FMC Technologies* 1,780 107
Forest Oil* 1,314 47
Foundation Coal Holdings 1,300 48
Frontier Oil 3,000 95
Global Industries* 2,500 36
Grant Prideco* 3,427 150
Halliburton 26,812 905
Helix Energy Solutions Group* 2,200 81
Helmerich & Payne 2,550 68
Hess (B) 6,312 317
Holly 1,300 70
Kinder Morgan 2,797 294
Marathon Oil 9,588 905
Massey Energy 1,961 54
Murphy Oil 4,854 263
National Oilwell Varco* 4,692 312
Newfield Exploration* 3,299 164
Noble Energy 4,662 249
Occidental Petroleum 22,254 1,120
Oceaneering International* 1,500 65
Overseas Shipholding Group 727 42
Patterson-UTI Energy 4,432 123
Peabody Energy 6,974 321
Pioneer Natural Resources 3,544 154
Plains Exploration & Production* 1,947 92
Pogo Producing 1,470 78
Pride International* 4,129 133
Quicksilver Resources (B)* 1,401 59
Range Resources 3,439 107
Rowan 2,686 97
SEACOR Holdings* 600 56
Smith International (B) 5,731 243
Southwestern Energy* 4,488 189
St. Mary Land & Exploration 1,600 64
Sunoco 3,456 236
Superior Energy Services* 2,200 72
Tesoro 1,773 125
Tetra Technologies* 2,000 52
Tidewater 1,570 87
Todco* 1,700 68
Unit* 1,127 58
Valero Energy 16,236 894
W&T Offshore 400 14
Williams 15,646 434
XTO Energy 9,411 476
--------
33,972
--------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 47
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund (Continued)
November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
FINANCIALS -- 21.4%
A.G. Edwards 2,057 $ 119
Affiliated Managers Group (B)* 833 85
Aflac 12,956 572
Alleghany (B)* 130 45
Allied Capital (B) 3,464 106
Allstate 16,525 1,049
AMB Property+ 2,244 137
AMBAC Financial Group 2,768 237
American Capital Strategies (B) 3,621 164
American Express 28,234 1,658
American Financial Group 1,343 70
American International Group 57,476 4,042
American National Insurance 422 48
AmeriCredit (B)* 3,572 84
Ameriprise Financial 5,600 303
Annaly Capital Management+ 5,211 73
AON 8,150 291
Apartment Investment &
Management, Cl A+ 2,484 143
Archstone-Smith Trust+ 5,540 332
Arthur J Gallagher 2,304 67
Associated Banc 3,384 112
Assurant 3,293 181
Astoria Financial 2,314 69
AvalonBay Communities+ (B) 1,989 265
BancorpSouth 2,200 57
Bank of America 119,123 6,415
Bank of Hawaii 1,382 71
Bank of New York 19,752 702
BB&T 14,106 607
Bear Stearns 3,074 469
BlackRock, Cl A 485 70
BOK Financial 475 26
Boston Properties+ 2,984 349
Brandywine Realty Trust+ (B) 2,500 88
BRE Properties, Cl A+ 1,320 85
Brown & Brown 2,824 82
Camden Property Trust+ 1,447 115
Capital One Financial (B) 7,951 619
CapitalSource+ (B) 2,582 70
Capitol Federal Financial 527 20
CB Richard Ellis Group, Cl A* 5,117 169
CBL & Associates Properties+ 1,906 82
CBOT Holdings, Cl A* 1,400 223
Charles Schwab 27,585 506
Chicago Mercantile Exchange
Holdings 905 485
Chubb 10,718 555
Cincinnati Financial 3,986 177
CIT Group 5,124 267
Citigroup 129,445 6,419
City National 1,038 70
CNA Financial* 700 27
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Colonial BancGroup 3,954 $ 96
Colonial Properties Trust+ 1,300 64
Comerica 4,253 248
Commerce Bancorp 4,854 169
Commerce Bancshares 1,715 83
Compass Bancshares 3,337 191
Conseco* 3,877 77
Countrywide Financial (B) 16,075 639
Cullen/Frost Bankers 1,368 75
Developers Diversified
Realty+ (B) 2,953 191
Duke Realty+ 3,409 148
E*Trade Financial* 11,138 268
East West Bancorp 1,488 53
Eaton Vance 2,810 90
Equity Office Properties
Trust+ (B) 9,594 462
Equity Residential+ (B) 7,787 415
Erie Indemnity, Cl A 1,119 63
Essex Property Trust+ 569 75
Fannie Mae 25,233 1,439
Federal Realty Investment
Trust+ 1,296 110
Federated Investors, Cl B 2,158 72
Fidelity National Title Group,
Cl A 5,904 134
Fifth Third Bancorp 12,682 500
First American 2,484 96
First Citizens Bancshares, Cl A 200 40
First Horizon National (B) 3,229 129
First Marblehead (B) 799 60
Forest City Enterprises, Cl A 1,742 101
Franklin Resources 4,403 470
Freddie Mac 18,007 1,209
Fulton Financial 4,195 68
General Growth Properties+ 4,440 244
Genworth Financial, Cl A 11,992 393
Global Signal+ 308 17
Goldman Sachs Group 9,975 1,943
Hanover Insurance Group 1,293 61
Hartford Financial Services
Group 8,010 687
HCC Insurance Holdings 2,841 86
Health Care Property
Investors+ (B) 3,474 126
Health Care+ 1,383 58
Hospitality Properties Trust+ 1,766 89
Host Hotels & Resorts+ (B) 13,600 343
HRPT Properties Trust+ 5,102 64
Hudson City Bancorp 15,428 205
Huntington Bancshares 6,189 150
IndyMac Bancorp 1,599 73
IntercontinentalExchange* 500 49
Investment Technology Group* 1,200 45
Investors Financial Services 1,755 70
iStar Financial+ 2,895 135
Janus Capital Group (B) 5,665 115
Jefferies Group 2,914 84
Jones Lang LaSalle* 1,000 91
- --------------------------------------------------------------------------------
48 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
JPMorgan Chase 90,722 $ 4,199
Keycorp 10,595 382
Kilroy Realty+ 900 74
Kimco Realty+ 5,644 262
Legg Mason 3,281 313
Lehman Brothers Holdings 13,894 1,024
Leucadia National (B) 4,220 116
Liberty Property Trust+ (B) 2,306 118
Lincoln National 7,388 470
Loews 11,418 456
M&T Bank 1,983 235
Macerich+ 1,868 160
Mack-Cali Realty+ 1,598 87
Markel* 250 112
Marsh & McLennan 14,165 445
Marshall & Ilsley 6,660 305
MBIA 3,559 248
Mellon Financial 10,863 437
Mercantile Bankshares 3,148 144
Mercury General 696 37
Merrill Lynch 24,049 2,103
Metlife 12,038 707
MGIC Investment 2,315 134
Moody's 6,427 447
Morgan Stanley 27,878 2,123
Nasdaq Stock Market* 2,600 104
National City (B) 15,176 548
Nationwide Financial Services,
Cl A 1,461 76
Nelnet, Cl A* 363 10
New Century Financial+ (B) 1,221 44
New Plan Excel Realty Trust+ 2,695 77
New York Community Bancorp (B) 8,172 132
North Fork Bancorporation 12,932 363
Northern Trust 5,705 325
Nuveen Investments, Cl A 1,948 97
NYSE Group (B)* 4,100 410
Old Republic International 5,890 133
Peoples Bank 1,588 71
Philadelphia Consolidated
Holding* 1,248 56
Plum Creek Timber+ 5,021 187
PMI Group 2,343 101
PNC Financial Services Group 7,686 543
Popular 7,230 128
Principal Financial Group 7,318 423
Progressive 20,580 464
Prologis+ 6,288 410
Protective Life 1,809 85
Prudential Financial 12,763 1,040
Public Storage+ 3,168 305
Radian Group 2,198 117
Raymond James Financial 2,421 76
Rayonier+ 1,903 79
Realogy* 5,874 153
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Reckson Associates Realty+ 2,092 $ 101
Regency Centers+ 1,708 135
Regions Financial 19,287 707
Reinsurance Group of America 799 44
Safeco 3,035 184
SEI (H) 1,521 89
Simon Property Group+ 5,852 597
Sky Financial Group 2,865 71
SL Green Realty+ 1,151 156
SLM 10,914 500
South Financial Group 1,800 47
Sovereign Bancorp (B) 10,558 264
St. Joe (B) 1,861 104
St. Paul Travelers 18,044 935
Stancorp Financial Group 1,442 65
State Street 8,804 547
Student Loan 102 21
SunTrust Banks 9,446 771
Synovus Financial 6,872 206
T Rowe Price Group 7,080 307
Taubman Centers+ 1,500 74
TCF Financial 3,201 84
TD Ameritrade Holding 8,645 152
TD Banknorth 2,528 81
Thornburg Mortgage+ (B) 3,341 84
Torchmark 2,650 168
Transatlantic Holdings 655 41
UnionBanCal 1,397 80
United Dominion Realty Trust+ 3,319 111
Unitrin 1,260 62
UnumProvident (B) 8,905 182
US Bancorp 46,343 1,559
Valley National Bancorp 2,865 74
Ventas+ 2,544 99
Vornado Realty Trust+ 3,110 392
Wachovia 49,164 2,664
Washington Federal 2,263 53
Washington Mutual (B) 25,027 1,093
Webster Financial 1,346 64
Weingarten Realty Investors+ (B) 2,067 99
Wells Fargo 87,686 3,090
Wesco Financial 41 20
Whitney Holding 1,557 50
Wilmington Trust 1,692 70
WR Berkley 4,214 148
Zions Bancorporation 2,802 219
--------
80,399
--------
HEALTH CARE -- 11.9%
Abbott Laboratories 39,776 1,856
Abraxis BioScience* 563 15
Advanced Medical Optics* 1,627 57
Aetna 14,734 609
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 49
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund (Continued)
November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Allergan 3,948 $ 460
AmerisourceBergen 5,462 251
Amgen* 30,767 2,184
Amylin Pharmaceuticals (B)* 3,000 120
Applera - Applied Biosystems
Group 4,694 171
Barr Pharmaceuticals* 2,682 137
Bausch & Lomb 1,330 64
Baxter International 16,975 759
Beckman Coulter 1,512 90
Becton Dickinson 6,544 469
Biogen Idec* 9,114 476
Biomet 6,690 253
Boston Scientific* 31,839 504
Bristol-Myers Squibb (B) 51,213 1,272
Brookdale Senior Living 700 32
C.R. Bard 2,685 221
Cardinal Health 11,029 713
Caremark Rx 11,620 550
Celgene* 9,192 512
Cephalon (B)* 1,648 123
Cerner* 1,574 76
Charles River Laboratories
International* 1,843 77
Cigna 2,885 364
Community Health Systems* 2,362 83
Cooper 1,104 60
Covance* 1,336 80
Coventry Health Care* 4,162 200
Cytyc* 2,903 76
Dade Behring Holdings 2,242 85
DaVita* 2,708 144
Dentsply International 3,998 128
Edwards Lifesciences* 1,507 69
Eli Lilly 25,561 1,370
Emdeon (B)* 6,956 82
Endo Pharmaceuticals Holdings* 3,697 100
Express Scripts* 2,961 202
Forest Laboratories* 8,673 422
Gen-Probe* 1,327 65
Genentech (B)* 12,085 988
Genzyme* 6,853 441
Gilead Sciences* 11,775 776
Health Management Associates,
Cl A 6,222 128
Health Net* 3,002 139
Henry Schein* 2,284 118
Hillenbrand Industries 1,524 88
Hospira* 4,081 134
Humana* 4,375 237
Idexx Laboratories* 826 70
ImClone Systems (B)* 1,728 52
IMS Health 5,061 139
Intuitive Surgical (B)* 1,000 102
Invitrogen (B)* 1,290 71
Johnson & Johnson 77,309 5,095
Kinetic Concepts* 1,213 44
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
King Pharmaceuticals* 6,226 $ 103
Kos Pharmaceuticals* 304 24
Laboratory of America Holdings (B) 3,211 227
LifePoint Hospitals* 1,376 48
Lincare Holdings* 2,327 88
Manor Care 1,994 95
McKesson 8,066 398
Medco Health Solutions 8,010 402
Medimmune (B)* 6,294 206
Medtronic 31,485 1,641
Merck 56,940 2,534
Millennium Pharmaceuticals* 7,816 88
Millipore* 1,486 102
Mylan Laboratories 5,419 110
Omnicare 3,131 124
Patterson (B)* 3,583 133
PDL BioPharma* 2,731 62
Pediatrix Medical Group* 1,400 67
PerkinElmer 3,334 72
Pfizer 191,255 5,258
Pharmaceutical Product
Development 2,484 78
Quest Diagnostics 4,144 220
Resmed* 2,155 108
Respironics* 1,840 66
Schering-Plough 38,409 845
Sepracor (B)* 2,861 160
Sierra Health Services* 1,734 61
St. Jude Medical* 9,446 352
Stryker 7,904 410
Techne* 941 51
Tenet Healthcare (B)* 11,494 81
Thermo Electron (B)* 10,825 474
Triad Hospitals* 2,163 92
UnitedHealth Group 35,129 1,724
Universal Health Services, Cl B 1,088 60
Varian Medical Systems (B)* 3,530 174
VCA Antech* 2,039 66
Vertex Pharmaceuticals* 3,100 137
Waters* 2,772 139
Watson Pharmaceuticals* 2,518 65
WellCare Health Plans* 900 58
WellPoint* 16,631 1,258
Wyeth 35,040 1,692
Zimmer Holdings* 6,525 476
--------
44,832
--------
INDUSTRIALS -- 10.4%
3M 19,646 1,600
Adesa 2,372 63
AGCO (B)* 2,500 78
Alexander & Baldwin 1,082 48
Alliant Techsystems* 936 72
- --------------------------------------------------------------------------------
50 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Allied Waste Industries (B)* 6,933 $ 88
American Power Conversion 4,451 135
American Standard 4,572 205
Ametek 2,648 86
AMR* 5,486 175
Aramark, Cl B 3,288 110
Armor Holdings* 800 45
Avery Dennison 2,610 176
Avis Budget Group 2,784 57
Boeing 20,791 1,841
Brink's 1,300 73
Burlington Northern Santa Fe 9,498 714
Carlisle 833 68
Caterpillar 17,388 1,079
CH Robinson Worldwide 4,486 197
ChoicePoint* 2,297 84
Cintas 3,657 154
Con-way 1,323 61
Continental Airlines, Cl B (B)* 2,400 98
Copart* 1,813 55
Corporate Executive Board 1,096 104
Corrections of America* 1,650 75
Covanta Holding* 3,200 71
Crane 1,500 57
CSX 11,432 410
Cummins 1,378 165
Danaher (B) 6,151 450
Deere 6,209 596
Donaldson 1,972 69
Dover 5,457 274
DRS Technologies 1,100 55
Dun & Bradstreet* 1,656 136
Eaton 3,826 295
Emerson Electric 10,660 924
Equifax 3,456 131
Expeditors International
Washington 5,748 260
Fastenal 3,262 117
FedEx 7,944 917
Flowserve* 1,600 86
Fluor 2,304 201
Gardner Denver* 1,500 57
GATX 1,300 60
General Dynamics 10,472 784
General Electric 270,923 9,558
Goodrich 3,192 144
Graco 1,824 76
Harsco 1,035 81
HNI 1,322 62
Honeywell International 21,490 924
Hubbell, Cl B 1,592 83
IDEX 1,262 61
Illinois Tool Works 13,180 622
ITT Industries 4,702 254
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Jacobs Engineering Group* 1,451 $ 122
JB Hunt Transport Services 2,972 65
JLG Industries 3,000 84
Joy Global 3,133 138
Kansas City Southern (B)* 2,100 57
Kennametal 1,100 67
Kirby* 1,500 54
L-3 Communications Holdings 3,177 261
Laidlaw International* 2,505 73
Landstar System 1,465 66
Lennox International 1,700 50
Lincoln Electric Holdings 1,200 73
Lockheed Martin 9,529 862
Manitowoc 1,700 102
Manpower 2,284 162
Masco (B) 10,709 307
Monster Worldwide* 3,118 136
MSC Industrial Direct, Cl A 1,120 44
Norfolk Southern 10,733 529
Northrop Grumman 8,878 594
Oshkosh Truck 1,759 84
Paccar 6,580 430
Pall 3,145 99
Parker Hannifin 3,103 259
Pentair 2,461 78
Pitney Bowes 5,785 267
Precision Castparts 3,546 268
Quanta Services* 3,400 62
Raytheon 11,568 590
Republic Services 3,349 139
Robert Half International 4,176 161
Rockwell Automation 4,504 293
Rockwell Collins 4,362 263
Roper Industries 2,200 113
RR Donnelley & Sons 5,677 200
Ryder System 1,506 79
Shaw Group* 2,200 66
Southwest Airlines 21,320 335
SPX 1,511 92
Steelcase, Cl A 1,475 26
Stericycle* 1,113 81
Swift Transportation* 996 28
Teleflex 940 61
Terex (B)* 2,748 154
Textron 3,461 337
Thomas & Betts* 1,467 76
Timken 1,960 58
Toro 1,060 48
Trinity Industries 2,200 83
UAL* 2,700 110
Union Pacific 7,108 643
United Parcel Service, Cl B 16,741 1,304
United Rentals* 1,800 45
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 51
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund (Continued)
November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
United Technologies 26,366 $ 1,701
URS* 1,400 62
US Airways Group (B)* 1,700 96
USG (B)* 2,098 117
Walter Industries (B) 1,200 58
Waste Management 14,094 516
WESCO International* 1,300 87
WW Grainger 2,081 151
YRC Worldwide* 1,308 51
--------
39,138
--------
INFORMATION TECHNOLOGY -- 15.1%
Activision (B)* 6,878 117
Acxiom 2,400 60
ADC Telecommunications* 2,967 41
Adobe Systems* 15,502 622
Advanced Micro Devices* 12,634 273
Affiliated Computer Services,
Cl A* 2,947 149
Agere Systems* 4,614 83
Agilent Technologies* 10,964 349
Akamai Technologies (B)* 4,118 201
Alliance Data Systems (B)* 2,112 137
Altera* 9,073 180
Amphenol, Cl A 2,246 153
Analog Devices 9,712 316
Apple Computer* 22,123 2,028
Applied Materials 36,455 655
Arrow Electronics* 2,989 95
Atmel* 12,000 61
Autodesk* 5,937 244
Automatic Data Processing 14,992 723
Avaya* 12,515 160
Avnet* 3,010 75
AVX 1,424 22
BEA Systems* 9,807 135
BMC Software (B)* 5,789 189
Broadcom, Cl A* 11,968 393
CA (B) 11,238 244
Cadence Design Systems* 7,263 134
CDW (B) 1,422 100
Ceridian* 3,775 93
CheckFree* 2,072 87
Ciena* 2,314 58
Cisco Systems* 159,327 4,283
Citrix Systems* 4,587 132
Cognizant Technology Solutions,
Cl A* 3,644 297
Computer Sciences* 4,464 233
Compuware* 10,351 87
Comverse Technology* 5,014 98
Convergys* 3,669 89
Corning* 40,358 870
Cree (B)* 1,922 38
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Cypress Semiconductor* 3,900 $ 68
Dell* 60,143 1,638
Diebold 1,629 75
Dolby Laboratories, Cl A* 843 24
DST Systems* 1,395 87
eBay* 30,611 990
Electronic Arts* 7,965 445
Electronic Data Systems 13,342 362
EMC* 61,364 804
F5 Networks* 919 69
Factset Research Systems 1,200 63
Fair Isaac 1,626 68
Fairchild Semiconductor
International* 3,400 56
Fidelity National Information
Services 4,828 193
First Data 20,328 513
Fiserv* 4,469 228
Freescale Semiconductor, Cl B* 10,702 427
Global Payments 1,634 75
Google, Cl A* 5,408 2,622
Harris 3,589 151
Hewitt Associates, Cl A* 1,063 27
Hewlett-Packard 73,101 2,885
Ingram Micro, Cl A* 3,223 66
Integrated Device Technology* 5,600 92
Intel 151,758 3,240
International Business Machines 40,498 3,723
International Rectifier* 1,755 70
Intersil, Cl A 3,861 96
Intuit* 9,086 286
Iron Mountain* 2,909 125
Jabil Circuit* 4,874 138
JDS Uniphase (B)* 5,140 95
Juniper Networks (B)* 14,825 316
Kla-Tencor 5,109 264
Lam Research* 3,591 189
Lexmark International, Cl A (B)* 2,686 185
Linear Technology 7,857 253
LSI Logic* 10,182 109
Mastercard, Cl A (B) 1,700 173
Maxim Integrated Products 8,324 262
McAfee* 4,373 128
MEMC Electronic Materials* 3,638 145
Mettler Toledo International* 1,136 88
Microchip Technology 5,622 192
Micron Technology 19,416 283
Microsoft 231,100 6,778
Molex 3,570 114
MoneyGram International 2,400 73
Motorola 64,334 1,426
National Instruments 1,436 42
National Semiconductor 8,656 209
NAVTEQ (B)* 2,269 81
- --------------------------------------------------------------------------------
52 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
NCR* 4,789 $ 206
Network Appliance (B)* 9,955 390
Novell* 8,426 53
Novellus Systems (B)* 3,077 96
Nvidia* 9,304 344
Oracle* 103,567 1,971
Paychex 8,807 347
PMC - Sierra (B)* 5,800 44
QLogic* 4,180 93
Qualcomm 43,650 1,597
Rambus* 2,500 56
Red Hat (B)* 5,327 93
Sabre Holdings, Cl A 3,351 92
Salesforce.com* 2,038 79
SanDisk* 5,143 228
Sanmina-SCI* 11,865 44
Silicon Laboratories (B)* 1,400 45
Solectron* 22,315 74
Spansion, Cl A* 1,700 25
Sun Microsystems* 90,377 490
Symantec (B)* 26,048 552
Symbol Technologies 6,324 94
Synopsys* 3,882 99
Tech Data (B)* 1,550 65
Tektronix 1,979 60
Tellabs* 11,889 119
Teradyne (B)* 4,963 74
Texas Instruments 40,508 1,197
Total System Services 969 25
Trimble Navigation* 1,307 63
Unisys (B)* 8,532 62
VeriFone Holdings* 900 30
VeriSign* 6,585 172
Vishay Intertechnology* 4,350 57
Western Digital* 5,530 113
Western Union 20,328 463
Xerox* 25,551 422
Xilinx 8,757 235
Yahoo! (B)* 36,581 987
Zebra Technologies, Cl A* 1,825 64
--------
56,735
--------
MATERIALS -- 3.2%
Air Products & Chemicals 5,994 414
Airgas 1,515 64
Albemarle 1,072 75
Alcoa 22,602 705
Allegheny Technologies 2,597 233
Ashland 1,676 113
Ball 2,675 114
Bemis 2,774 95
Cabot 1,673 69
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Carpenter Technology 700 $ 75
Celanese, Ser A 1,483 33
Chemtura 5,354 52
Commercial Metals 3,400 99
Crown Holdings* 4,151 86
Cytec Industries 981 52
Dow Chemical 24,970 999
E.I. du Pont de Nemours 23,992 1,126
Eagle Materials 1,400 60
Eastman Chemical 2,142 127
Ecolab 4,691 208
Florida Rock Industries 1,170 53
FMC 930 66
Freeport-McMoRan Copper & Gold,
Cl B 4,889 307
Huntsman* 2,929 51
International Flavors &
Fragrances 2,391 113
International Paper 11,755 389
Louisiana-Pacific 2,846 60
Lubrizol 1,734 82
Lyondell Chemical 6,009 148
Martin Marietta Materials 1,163 115
MeadWestvaco 4,458 132
Monsanto 14,050 675
Mosaic* 3,578 76
Nalco Holding* 2,517 50
Newmont Mining 11,033 518
Nucor 8,290 496
Owens-Illinois* 3,491 66
Packaging of America 1,899 43
Pactiv* 3,483 120
Phelps Dodge 5,358 659
PPG Industries 4,323 278
Praxair 8,525 532
Reliance Steel & Aluminum 1,800 69
Rohm & Haas 4,153 217
RPM International 2,969 60
Scotts Miracle-Gro, Cl A 1,100 54
Sealed Air 2,034 121
Sigma-Aldrich 1,774 135
Smurfit-Stone Container (B)* 6,145 66
Sonoco Products 2,646 98
Southern Copper (B) 416 23
Steel Dynamics 2,800 91
Temple-Inland 2,775 108
Titanium Metals* 2,100 67
United States Steel (B) 3,183 238
Valhi 122 3
Valspar 2,664 75
Vulcan Materials 2,611 232
Weyerhaeuser 6,526 422
--------
11,907
--------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 53
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund (Continued)
November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES -- 3.4%
Alltel 10,095 $ 573
American Tower, Cl A* 11,022 417
AT&T (B) 101,480 3,441
BellSouth 47,195 2,104
CenturyTel 3,201 136
Citizens Communications (B) 8,255 117
Crown Castle International* 5,473 189
Embarq 3,932 202
Leap Wireless International* 1,200 68
Level 3 Communications (B)* 29,600 158
NeuStar, Cl A* 1,700 57
NII Holdings* 3,720 242
Qwest Communications
International (B)* 41,496 319
SBA Communications, Cl A* 2,900 82
Sprint Nextel 75,444 1,472
Telephone & Data Systems 2,902 150
US Cellular* 431 29
Verizon Communications 76,115 2,660
Windstream 11,147 155
--------
12,571
--------
UTILITIES -- 3.8%
AES* 17,324 405
AGL Resources 1,947 75
Allegheny Energy* 4,166 185
Alliant Energy 2,976 116
Ameren (B) 5,290 289
American Electric Power 10,450 434
Aqua America 3,177 76
Atmos Energy 1,991 65
CenterPoint Energy 8,015 131
CMS Energy (B)* 5,542 90
Consolidated Edison 6,516 314
Constellation Energy Group 4,658 320
Dominion Resources 9,156 739
DPL 3,246 91
DTE Energy (B) 4,764 224
Duke Energy 32,119 1,019
Dynegy, Cl A* 8,911 61
Edison International 8,579 394
Energen 1,837 83
Energy East 3,567 87
Entergy 5,498 502
Equitable Resources 2,966 129
Exelon 17,329 1,052
FirstEnergy 8,481 507
FPL Group 10,473 558
Great Plains Energy 1,871 59
Hawaiian Electric Industries 2,146 58
KeySpan 4,653 191
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MDU Resources Group 4,621 $ 122
Mirant (B)* 7,661 233
National Fuel Gas (B) 2,089 79
NiSource (B) 7,421 183
Northeast Utilities 3,907 110
NRG Energy* 3,600 205
NSTAR 2,928 103
OGE Energy 2,268 89
Oneok (B) 3,029 131
Pepco Holdings 4,944 127
PG&E 9,218 423
Pinnacle West Capital 2,592 128
PPL 9,726 354
Progress Energy (B) 6,661 318
Public Service Enterprise Group 6,426 432
Puget Energy 2,661 66
Questar 2,273 196
Reliant Energy* 7,859 105
SCANA 3,020 125
Sempra Energy 6,923 377
Sierra Pacific Resources* 5,600 92
Southern (B) 19,203 696
Southern Union 2,268 64
TECO Energy 5,000 85
TXU 11,838 679
UGI 2,550 72
Vectren 1,991 57
Wisconsin Energy 2,949 138
WPS Resources 1,002 52
Xcel Energy (B) 10,581 243
--------
14,338
--------
Total Common Stock
(Cost $254,433) ($ Thousands) 366,853
--------
CORPORATE OBLIGATIONS (C) -- 4.6%
FINANCIALS -- 4.6%
Allstate Life Global Funding II
MTN (E) (F)
5.360%, 12/17/07 $ 270 270
American General Finance (E) (F)
5.350%, 12/17/07 852 852
Bear Stearns EXL (E)
5.360%, 12/17/07 1,046 1,046
Countrywide Financial MTN (E)
5.448%, 10/31/07 1,234 1,234
Dekabank (E) (F)
5.394%, 11/20/07 1,087 1,087
Irish Life & Permanent MTN,
Ser X (E) (F)
5.360%, 12/21/07 781 781
- --------------------------------------------------------------------------------
54 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
Islandsbanki (E) (F)
5.370%, 04/06/07 $1,380 $ 1,380
Jackson National Life Funding
(E) (F)
5.320%, 12/03/07 1,292 1,292
Kaupthing Bank MTN (E) (F)
5.380%, 03/20/07 1,469 1,469
Landsbanki Islands (E) (F)
5.400%, 03/16/07 1,116 1,116
Morgan Stanley EXL (E)
5.380%, 01/04/08 206 206
Morgan Stanley EXL, Ser S (E)
5.340%, 12/05/07 294 294
Natexis Banques (E) (F)
5.300%, 12/17/07 573 573
Nationwide Building Society (E) (F)
5.424%, 10/26/07 323 323
5.350%, 12/07/07 587 587
Nordbank (E) (F)
5.350%, 12/24/07 999 998
Northern Rock (E) (F)
5.360%, 12/03/07 605 605
Pacific Life Global Funding (E) (F)
5.370%, 12/13/07 441 441
Premium Asset Trust,
Ser 2004-10 (E) (F)
5.360%, 12/17/07 822 822
SLM EXL, Ser S (E) (F)
5.320%, 12/17/07 646 646
Skandinav Enskilda Bank (E) (F)
5.320%, 12/18/07 646 646
Stanfield Victoria MTN (F)
5.445%, 06/11/07 587 587
--------
Total Corporate Obligations
(Cost $17,255) ($ Thousands) 17,255
--------
CASH EQUIVALENT -- 1.7%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.300%** 6,301,197 6,301
--------
Total Cash Equivalent
(Cost $6,301) ($ Thousands) 6,301
--------
COMMERCIAL PAPER (C) (D) -- 0.9%
FINANCIALS -- 0.9%
Broadhollow Funding
5.305%, 12/07/06 329 329
KKR Pacific Funding Trust
5.345%, 12/27/06 587 585
5.305%, 01/02/07 294 292
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Ocala Funding LLC
5.320%, 12/18/06 $ 294 $ 293
5.320%, 01/26/07 294 291
Rhineland Funding Capital
5.385%, 01/25/07 370 367
5.364%, 12/27/06 294 293
5.364%, 02/13/07 291 288
5.313%, 12/12/06 193 193
Witherspoon Funding Limited
5.329%, 12/15/06 294 293
Witherspoon Funding, Ser 2004-1A
5.330%, 03/15/07 507 507
--------
Total Commercial Paper
(Cost $3,731) ($ Thousands) 3,731
--------
ASSET-BACKED SECURITIES (C) (E) -- 0.5%
MORTGAGE RELATED SECURITIES -- 0.5%
Commodore, Ser 2003-2A, Cl A1MM
5.470%, 12/12/38 270 270
Duke Funding, Ser 2004-6B, Cl A1S1
5.440%, 10/09/07 441 441
Newcastle CDO, Ser 2005-6A, Cl IM1
5.340%, 04/24/07 117 117
Park Place Securities NIM Trust,
Ser 2004-MM1, Cl MM1
5.350%, 02/26/07 175 175
Saturn Ventures II
5.380%, 02/07/07 473 473
TIAA Real Estate CDO, Ser 2003 1A,
Cl A1MM
5.350%, 09/28/07 437 437
--------
Total Asset-Backed Securities
(Cost $1,913) ($ Thousands) 1,913
--------
CERTIFICATES OF DEPOSIT (C) -- 0.3%
Barclays Bank (E)
5.330%, 06/11/07 294 294
CC USA MTN
5.379%, 06/18/07 587 587
U.S. Trust of New York (E)
5.316%, 03/13/07 235 235
--------
Total Certificates of Deposit
(Cost $1,116) ($ Thousands) 1,116
--------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 55
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund (Concluded)
November 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MASTER NOTE (C) (D) -- 0.4%
Bank of America
5.383%, 12/01/45 $1,469 $ 1,469
--------
Total Master Note
(Cost $1,469) ($ Thousands) 1,469
--------
U.S. TREASURY OBLIGATION (A) (D) -- 0.2%
U.S. Treasury Bill
4.853%, 12/07/06 755 754
--------
Total U.S. Treasury Obligation
(Cost $754) ($ Thousands) 754
--------
REPURCHASE AGREEMENTS (C) (G) -- 1.8%
ABN Amro
5.300%, dated 11/30/06, to be
repurchased on 12/01/06,
repurchase price $2,350,086
(collateralized by various
U.S. Government obligations,
ranging in par value $29,372-
$881,152, 0.000%-6.000%,
03/01/07-07/01/36; with
total market value $2,396,735) 2,350 2,350
Barclays
5.300%, dated 11/30/06, to be
repurchased on 12/01/06,
repurchase price $500,110
(collateralized by various
U.S. Government obligations,
ranging in par value $10,956-
$155,788, 2.750%-5.700%,
12/15/06-05/27/15; with total
market value $510,045) 500 500
Deutsche Bank
5.300%, dated 11/30/06, to be
repurchased on 12/01/06,
repurchase price $200,004
(collateralized by various
U.S. Government obligations,
ranging in par value $55,748-
$151,206, 0.000%-5.800%,
05/01/07-01/27/20; with
total market value $203,988) 200 200
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Lehman Brothers
5.300%, dated 11/30/06, to be
repurchased on 12/01/06,
repurchase price $3,639,231
(collateralized by various U.S.
Government obligations, ranging
in par value $26,934-$4,540,760,
3.085%-8.625%, 12/21/07-01/15/30;
with total market value
$3,711,491) $3,639 $ 3,639
--------
Total Repurchase Agreements
(Cost $6,689) ($ Thousands) 6,689
--------
Total Investments -- 108.1%
(Cost $293,661) ($ Thousands) $406,081
========
A summary of the open future contracts held by the Fund at November 30, 2006, is
as follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
APPRECIATION
TYPE OF NUMBER OF EXPIRATION (DEPRECIATION)
CONTRACT CONTRACTS DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
S&P 500 Index E-Mini 124 Dec-2006 $481
====
Percentages are based on Net Assets of $375,556 ($ Thousands)
* Non-income producing security.
** Rate shown is the 7-day effective yield as of November 30, 2006.
+ Real Estate Investments Trust
(A) Security, or portion thereof, has been pledged as collateral on open futures
contracts.
(B) This security or a partial position of this security is on loan at November
30, 2006 (See Note 9). The total value of securities on loan at November 30,
2006 was $31,399 ($ Thousands).
(C) This security was purchased with cash
collateral held from securities lending (See Note 9). The total value of
such securities as of November 30, 2006 was $32,173 ($ Thousands).
(D) The rate reported is the effective yield at time of purchase.
(E) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of November 30, 2006.
(F) 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.
(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.
- --------------------------------------------------------------------------------
56 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
Small Cap Fund
November 30, 2006
- --------------------------------------------------------------------------------
[Bar Chart Omitted]
Plot points as follows:
SECTOR WEIGHTINGS++:
26.4% Financials
16.7% Information Technology
11.4% Industrials
10.8% Consumer Discretionary
8.6% Health Care
6.9% Short-Term Investments
5.3% Energy
3.9% Materials
2.3% Utilities
2.1% Consumer Staples
1.6% Commercial Paper
1.1% Asset-Backed Securities
0.8% Master Note
0.7% Telecommunication Services
0.6% Certificate of Deposit
0.4% Collateralized Debt Obligations
0.3% Exchange Traded Funds
0.1% U.S. Treasury Obligations
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 -- 96.2%
CONSUMER DISCRETIONARY -- 13.2%
1-800 Contacts (B)* 33,600 $ 543
1-800-FLOWERS.COM, Cl A* 60,100 338
AC Moore Arts & Crafts* 5,820 124
Advance Auto Parts 24,300 865
Aftermarket Technology* 95,639 1,857
Amazon.com* 73,645 2,971
America's Car-Mart (B)* 9,400 106
American Axle & Manufacturing
Holdings (B) 76,650 1,403
American Greetings, Cl A 131,147 3,123
Applebee's International (B) 77,996 1,774
Arctic Cat 68,600 1,136
ArvinMeritor 296,977 5,141
Asbury Automotive Group 22,658 533
Audiovox, Cl A* 9,956 138
Bally Technologies (B)* 40,924 804
Bandag (B) 21,900 968
Belo, Cl A 41,824 761
Big 5 Sporting Goods 28,632 701
Big Lots* 75,215 1,678
BJ's Restaurants (B)* 77,500 1,609
Blockbuster, Cl A* 164,761 867
Blue Nile (B)* 38,800 1,300
Bluegreen* 11,499 156
Blyth 25,900 658
Bob Evans Farms 29,426 1,000
Bon-Ton Stores 32,053 1,198
Books-A-Million 29,652 622
Borders Group 95,381 2,184
Bright Horizons Family Solutions* 32,386 1,190
Brinker International 28,190 1,282
Brown Shoe 89,133 4,228
Building Material Holding (B) 4,300 106
Cablevision Systems, Cl A 21,934 609
Cache* 2,687 66
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Capella Education* 7,600 $ 192
Carter's (B)* 50,900 1,403
Casual Male Retail Group* 8,403 118
Cato, Cl A 89,664 2,129
CBRL Group 38,400 1,647
CEC Entertainment* 12,800 510
Champion Enterprises* 58,880 551
Charlotte Russe Holding* 26,083 787
Charming Shoppes (B)* 139,600 1,889
Charter Communications* 33,803 100
Cheesecake Factory* 16,400 454
Chipotle Mexican Grill,
Cl A (B)* 40,100 2,324
Citadel Broadcasting 44,000 418
Claire's Stores 17,592 561
Coach* 93,000 4,019
Cooper Tire & Rubber (B) 38,442 509
Corinthian Colleges* 92,700 1,196
Courier 15,285 587
CPI 2,566 107
CROCS (B)* 102,800 4,415
CSK Auto (B)* 176,649 2,941
Ctrip.com International ADR (B) 28,695 1,593
Dana (B) 280,200 460
Deckers Outdoor* 6,613 369
Dick's Sporting Goods (B)* 16,083 863
Directed Electronics* 64,145 928
Dover Downs Gaming &
Entertainment (B) 35,227 471
Dress Barn (B)* 67,037 1,624
DSW, Cl A* 9,676 371
DXP Enterprises* 7,320 211
Eddie Bauer Holdings* 310,700 2,843
Entercom Communications 47,748 1,287
Ethan Allen Interiors 50,100 1,778
Finish Line, Cl A 41,498 578
Focus Media Holding ADR* 25,871 1,844
FTD Group* 22,896 401
Furniture Brands
International (B) 160,600 2,766
Gaiam, Cl A* 101,200 1,384
GameStop, Cl A (B)* 29,700 1,665
Gaylord Entertainment (B)* 2,335 114
Genesco (B)* 39,900 1,529
Getty Images* 5,883 257
Gildan Activewear* 31,400 1,732
Gray Television 210,200 1,320
Group 1 Automotive (B) 91,169 4,649
GSI Commerce (B)* 117,093 1,917
Guess?* 26,255 1,632
Guitar Center* 51,800 2,275
Gymboree (B)* 117,050 4,659
Handleman (B) 59,100 466
Harris Interactive* 14,321 69
Hartmarx* 4,379 29
Haverty Furniture 26,863 374
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 57
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund (Continued)
November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Hibbett Sporting Goods* 110,458 $ 3,482
HOT Topic (B)* 211,800 2,828
Interface, Cl A* 68,098 1,012
Interstate Hotels & Resorts* 56,526 441
ITT Educational Services* 1,871 128
Jack in the Box* 34,800 2,140
Jackson Hewitt Tax Service 55,887 2,022
Jakks Pacific (B)* 67,800 1,481
Jarden (B)* 81,809 3,025
Jo-Ann Stores (B)* 98,247 1,938
Journal Communications, Cl A 129,600 1,534
Journal Register* 8,503 66
K2* 178,733 2,416
Kellwood 69,255 2,164
Kimball International, Cl B 32,463 779
La-Z-Boy (B) 43,142 508
Lakeland Industries* 55,600 776
Landry's Restaurants (B) 32,825 927
Laureate Education (B)* 16,011 832
Leapfrog Enterprises (B)* 88,000 790
Lear 2,949 91
Libbey 75,300 879
Life Time Fitness* 41,400 2,041
Lifetime Brands 69,200 1,391
Lin TV, Cl A* 114,700 1,038
Lithia Motors, Cl A 4,400 114
LKQ (B)* 70,826 1,621
Lodgenet Entertainment* 39,311 930
Luby's* 13,563 149
M/I Homes (B) 3,700 138
Magna Entertainment, Cl A* 25,595 113
Maidenform Brands* 54,165 1,036
MarineMax (B)* 71,399 1,918
Marvel Entertainment (B)* 82,000 2,304
McCormick & Schmick's Seafood
Restaurants* 64,952 1,629
MDC Partners, Cl A* 355,900 2,527
Media General, Cl A 24,000 887
Men's Wearhouse* 14,574 558
Meritage Homes (B)* 31,149 1,513
Modine Manufacturing 58,082 1,429
Monarch Casino & Resort* 14,600 344
Morgans Hotel Group* 21,392 313
Morningstar* 14,197 636
Mothers Work* 17,694 726
Movie Gallery (B) 49,300 140
NetFlix* 53,652 1,576
New Frontier Media* 73,920 663
New Oriental Education &
Technology Group ADR* 9,874 315
New York* 59,213 767
Noble International 11,348 215
Nutri/System (B)* 63,210 4,365
O'Charleys* 12,253 246
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
OfficeMax 14,551 $ 685
Orient-Express Hotels, Cl A 34,200 1,464
Outdoor Channel Holdings (B)* 146,000 1,878
Pacific Sunwear of California* 43,430 855
Papa John's International* 17,826 553
Payless Shoesource* 108,924 3,397
Perry Ellis International* 33,803 1,283
PF Chang's China Bistro (B)* 10,345 373
Phillips-Van Heusen 66,220 3,267
Pier 1 Imports (B) 161,400 1,073
Pinnacle Entertainment* 39,600 1,287
Pool (B) 22,047 903
Pre-Paid Legal Services 10,610 440
Priceline.com (B)* 52,860 2,087
Princeton Review* 123,900 657
ProQuest* 57,200 792
Quiksilver (B)* 531,600 7,735
RadioShack* 71,700 1,257
RCN* 27,800 836
Regal Entertainment Group,
Cl A (B) 60,800 1,265
Regis 76,470 2,930
Rent-A-Center* 92,870 2,539
Restoration Hardware* 58,624 501
Retail Ventures* 59,507 1,132
RRSat Global Communications* 62,000 727
Ruby Tuesday (B) 45,800 1,236
Ryland Group (B) 27,900 1,472
Saks 61,900 1,270
Sauer-Danfoss 5,814 180
Scholastic (B)* 69,261 2,308
Shiloh Industries* 3,199 53
Shoe Carnival* 14,592 393
Shuffle Master (B)* 55,095 1,716
Shutterfly (B)* 55,200 846
Sirius Satellite Radio* 52,200 222
Sonic (B)* 115,120 2,703
Sonic Automotive 116,200 3,316
Sotheby's Holdings, Cl A (B)* 43,490 1,352
Source Interlink* 24,900 222
Stamps.com* 7,279 114
Standard Motor Products 15,635 215
Standard-Pacific 88,709 2,276
Stanley Furniture 4,428 98
Starwood Hotels & Resorts
Worldwide 75,700 4,858
Steinway Musical Instruments* 3,300 96
Steven Madden* 25,320 931
Stewart Enterprises, Cl A 49,904 319
Sunterra* 21,901 228
Superior Industries
International (B) 36,900 728
Talbots 26,121 651
Tempur-Pedic International (B)* 108,100 2,279
Tenneco* 65,237 1,538
Tim Hortons 8,335 257
Timberland, Cl A* 53,600 1,675
- --------------------------------------------------------------------------------
58 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Town Sports International
Holdings* 14,300 $ 233
Tractor Supply (B)* 20,500 976
Tuesday Morning (B) 33,600 591
Tween Brands (B)* 20,000 838
Under Armour, Cl A (B)* 117,762 5,525
Unifirst 61,700 2,561
Vail Resorts* 32,866 1,447
Valassis Communications (B)* 50,400 779
Valuevision Media, Cl A* 12,370 164
Vertrue (B)* 6,800 260
VistaPrint* 19,369 645
Visteon (B)* 108,300 871
Volcom* 51,500 1,669
Warnaco Group* 45,513 1,180
WCI Communities* 4,300 80
West Marine* 5,424 94
Westwood One 123,700 815
WMS Industries (B)* 52,500 1,826
Wolverine World Wide 38,930 1,131
World Wrestling Entertainment 29,200 465
Xerium Technologies 17,100 174
Yankee Candle 16,900 576
Yum! Brands 1,500 92
Zale (B)* 80,696 2,483
Zumiez (B)* 26,200 805
----------
273,003
----------
CONSUMER STAPLES -- 2.6%
Alliance One International* 68,626 445
Andersons 15,412 635
BJ's Wholesale Club* 98,900 3,194
Casey's General Stores 38,952 970
Central Garden & Pet* 14,219 742
Chiquita Brands
International (B) 121,688 1,740
Coca-Cola Bottling 2,040 129
ConAgra Foods 3,827 98
Corn Products International 33,175 1,205
Del Monte Foods 85,100 961
Delta & Pine Land 7,000 284
Energizer Holdings* 2,200 145
Gold Kist* 49,400 979
Hain Celestial Group* 108,680 3,265
Inter Parfums 2,964 60
J&J Snack Foods 19,863 760
JM Smucker 17,717 852
Lancaster Colony 46,800 2,000
Lance 93,800 1,793
Longs Drug Stores 75,180 3,089
Mannatech (B) 49,100 733
MGP Ingredients (B) 36,200 790
Molson Coors Brewing, Cl B 31,700 2,253
Nash Finch (B) 29,875 790
NBTY* 74,527 2,709
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Nu Skin Enterprises, Cl A 55,159 $ 1,058
Pantry* 46,155 2,263
Pathmark Stores* 141,033 1,592
Performance Food Group (B)* 24,350 659
Physicians Formula Holdings* 62,400 1,142
Pilgrim's Pride (B) 49,325 1,259
Playtex Products* 12,457 185
Premium Standard Farms 19,803 376
Ralcorp Holdings* 52,389 2,653
Sanderson Farms (B) 57,300 1,584
Smart & Final* 47,098 851
Spartan Stores 98,600 2,074
Spectrum Brands* 75,172 665
Susser Holdings* 24,700 490
Tyson Foods, Cl A 54,495 866
United Natural Foods (B)* 36,975 1,310
Universal (B) 64,320 2,995
Weis Markets 41,200 1,665
Wild Oats Markets* 7,640 116
----------
54,424
----------
ENERGY -- 6.5%
Allis-Chalmers Energy (B)* 26,647 562
Arch Coal 9,296 334
Arena Resources* 5,000 219
Arlington Tankers* 74,500 1,706
Atlas America (B)* 20,372 990
Atwood Oceanics* 61,000 3,024
Aurora Oil & Gas* 190,800 653
Aventine Renewable Energy
Holdings (B)* 38,300 977
BA Energy (Canada)* 119,000 990
Basic Energy Services* 157,300 3,975
Berry Petroleum, Cl A (B) 43,170 1,414
Bois d'Arc Energy (B)* 3,700 56
Bronco Drilling* 159,500 3,082
Cabot Oil & Gas 30,650 1,904
Callon Petroleum* 33,107 534
CARBO Ceramics (B) 65,600 2,552
Carrizo Oil & Gas* 25,864 861
Cimarex Energy (B) 52,700 1,982
Clayton Williams Energy* 34,584 1,366
Complete Production Services* 171,600 3,777
Compton Petroleum (Canada)* 85,300 902
Comstock Resources (B)* 60,500 1,846
Core Laboratories* 17,740 1,569
Delek US Holdings 62,300 1,062
Denbury Resources (B)* 27,694 813
Dresser-Rand Group* 43,200 1,046
Dril-Quip (B)* 50,555 2,140
Encore Acquisition* 86,250 2,343
Endeavour International* 128,400 295
Energy Partners (B)* 24,100 586
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 59
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund (Continued)
November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Evergreen Energy (B)* 104,900 $ 923
EXCO Resources* 59,877 879
Forest Oil* 46,000 1,635
Foundation Coal Holdings 58,210 2,160
Gasco Energy* 85,700 228
GeoMet* 74,100 775
Giant Industries* 11,312 872
Global Industries* 95,100 1,358
GlobalSantaFe 5,000 300
Goodrich Petroleum (B)* 26,600 1,169
Harvest Natural Resources* 25,191 258
Helix Energy Solutions Group* 33,733 1,241
Hercules Offshore* 128,239 4,369
Holly (B) 28,513 1,540
Hornbeck Offshore Services (B)* 22,411 846
Houston Exploration* 22,537 1,265
Hydril* 24,832 1,879
Infinity Bio-Energy* 396,781 2,115
Input/Output (B)* 324,000 3,515
Lone Star Technologies* 35,100 1,841
Lufkin Industries 7,200 421
Mariner Energy* 76,200 1,596
Massey Energy 16,400 451
Matrix Service (B)* 49,100 785
Meridian Resource* 58,353 207
Na Oil Sands (Canada) (F) (H)* 245,500 2,580
NATCO Group, Cl A* 32,612 1,124
Natural Gas Services Group (B)* 85,200 1,335
Newpark Resources* 288,106 1,772
Noble 1,836 142
NS Group* 11,305 748
Oceaneering International* 20,200 881
Oilsands Quest (B)* 360,100 1,955
OMI 45,800 1,070
OPTI (Canada)* 169,000 2,920
Pacific Ethanol* 20,100 381
Parallel Petroleum* 36,833 727
Parker Drilling* 97,000 934
Petroquest Energy* 72,247 906
Pioneer Natural Resources 16,000 697
Plains Exploration & Production* 11,046 520
Rentech (B)* 414,300 1,665
Rosetta Resources (B)* 106,000 1,992
Rowan 1,871 67
RPC 78,400 1,764
St. Mary Land & Exploration 62,800 2,517
Stone Energy* 63,700 2,486
Superior Energy Services* 61,048 1,988
Swift Energy (B)* 112,301 5,740
SXR Uranium One (Canada)* 164,375 2,116
Synenco Energy (Canada) (F) (H)* 27,419 402
Synenco Energy (Canada)* 24,000 352
Synenco Energy, Cl A (Canada)* 103,200 1,514
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Tesoro 22,341 $ 1,574
Tetra Technologies (B)* 45,427 1,174
Union Drilling* 70,600 984
Universal Compression Holdings* 32,052 2,018
Uranium Resources* 174,700 1,198
USEC 54,597 680
Vaalco Energy* 134,400 1,128
VeraSun Energy (B)* 97,600 2,468
Veritas DGC* 13,765 1,076
W-H Energy Services* 41,131 1,964
Western Refining (B)* 32,600 923
World Fuel Services 55,035 2,669
----------
135,339
----------
FINANCIALS -- 20.6%
Acadia Realty Trust+ 66,500 1,728
Accredited Home Lenders
Holding (B)* 39,623 1,174
Advance America Cash Advance
Centers 56,800 804
Advanta, Cl B 33,750 1,540
Affiliated Managers Group (B)* 41,847 4,273
Affirmative Insurance Holdings 6,600 106
AMB Property+ 42,100 2,579
AmCOMP* 42,600 460
Amcore Financial 26,337 839
American Equity Investment Life
Holding 188,838 2,455
American Home Mortgage
Investment+ (B) 133,218 4,712
American Physicians Capital* 6,262 250
Ameris Bancorp 4,100 114
Amerisafe* 216,542 2,958
Amtrust Financial Services* 48,500 378
Anchor Bancorp Wisconsin 7,995 229
Annaly Capital Management+ (B) 220,401 3,081
Anthracite Capital+ 164,567 2,085
Anworth Mortgage Asset+ 226,804 2,141
Arbor Realty Trust+ 62,310 1,760
Archstone-Smith Trust+ 69,557 4,172
Argonaut Group* 29,993 1,016
Aspen Insurance Holdings 75,900 2,046
Asset Acceptance Capital* 20,100 335
Assured Guaranty 118,614 3,066
Asta Funding (B) 38,312 1,261
AvalonBay Communities+ (B) 41,400 5,510
BancFirst 8,794 468
BancorpSouth 120,900 3,149
Bank Mutual 188,786 2,288
Bank of the Ozarks (B) 11,900 390
BankAtlantic Bancorp, Cl A 94,131 1,230
Bankunited Financial, Cl A 99,999 2,550
Berkshire Hills Bancorp 16,200 546
BFC Financial, Cl A* 2,000 13
- --------------------------------------------------------------------------------
60 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
BioMed Realty Trust+ 51,969 $ 1,569
Boston Private Financial
Holdings (B) 51,600 1,401
Brandywine Realty Trust+ (B) 77,900 2,738
BRE Properties, Cl A+ 29,000 1,875
Calamos Asset Management, Cl A 24,501 673
Camden Property Trust+ 45,300 3,612
Canaccord Capital (Canada) 144,200 2,109
Capital Crossing Bank* 2,422 71
Capital Lease Funding+ 110,100 1,325
Capital Southwest 3,300 427
Capital Trust, Cl A+ 21,300 950
Cardinal Financial 56,752 565
Cascade Bancorp (B) 42,870 1,297
Cash America International 53,307 2,353
Cathay General Bancorp (B) 24,900 856
CB Richard Ellis Group, Cl A* 53,888 1,775
CBRE Realty Finance+* 48,600 785
Cedar Shopping Centers+ 33,304 607
Center Financial 18,000 404
Central Pacific Financial 67,329 2,523
Chemical Financial 54,900 1,793
Chicago Mercantile Exchange
Holdings 1,334 715
Citizens Banking (B) 99,347 2,666
City Bank 3,900 209
City Holding 16,200 640
Clark 42,569 698
CNA Surety* 38,100 760
CoBiz 5,300 123
Colonial Properties Trust+ 6,600 323
Columbia Bancorp 3,400 86
Columbia Banking System 19,316 650
Commerce Group 67,400 2,056
Community Bancorp* 18,785 571
Community Bank System 40,000 962
Community Trust Bancorp 19,594 792
Compass Diversified Trust 5,700 97
CompuCredit (B)* 38,543 1,452
Corporate Office Properties
Trust+ (B) 103,500 5,145
Corus Bankshares (B) 134,236 3,008
Cousins Properties+ 13,800 501
Cowen Group* 44,190 748
Crawford, Cl B 23,924 173
Darwin Professional Underwriter* 35,400 831
Dearborn Bancorp* 36,520 774
Delphi Financial Group, Cl A 83,600 3,386
DiamondRock Hospitality+ 100,400 1,777
Dime Community Bancshares 73,250 1,031
Direct General 61,940 1,016
Dollar Financial* 63,000 1,843
Doral Financial 62,350 253
Douglas Emmett+* 132,400 3,482
Downey Financial 27,487 2,001
Dundee+ 10,500 335
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Dundee (Canada)+ 54,300 $ 1,733
Dundee Wealth Management (Canada) 120,110 1,298
Eagle Hospitality Properties
Trust+ 45,500 429
Eaton Vance 39,968 1,275
Education Realty Trust+ 119,095 1,873
eHealth (B)* 12,500 280
EMC Insurance Group 7,826 270
Encore Capital Group* 9,287 129
Endurance Specialty Holdings 50,076 1,879
Entertainment Properties Trust+ 25,514 1,549
Equity Inns+ 51,863 844
Equity Office Properties
Trust+ (B) 101,700 4,902
Equity One+ 54,574 1,489
Equity Residential+ (B) 79,200 4,218
Essex Property Trust+ 18,500 2,443
Evercore Partners, Cl A* 22,300 823
Extra Space Storage+ 137,200 2,527
Ezcorp, Cl A* 17,091 799
FBL Financial Group, Cl A 26,800 1,056
Federal Agricultural Mortgage,
Cl C 70,064 1,828
Federal Realty Investment Trust+ 43,400 3,697
FelCor Lodging Trust+ 117,106 2,578
Financial Federal 38,980 1,080
First American 50,700 1,958
First Bancorp Puerto Rico 37,455 375
First Cash Financial Services* 185,756 3,795
First Financial Bancorp 71,586 1,188
First Financial Holdings 3,800 143
First Industrial Realty
Trust+ (B) 33,000 1,658
First Merchants 34,800 928
First Mercury Financial* 46,700 985
First Midwest Bancorp 71,368 2,658
First Niagara Financial Group 90,300 1,298
First Place Financial 3,096 75
First Regional Bancorp* 11,303 380
First Republic Bank 37,250 1,494
FirstFed Financial (B)* 73,524 4,781
FirstMerit 77,105 1,827
Flagstar Bancorp 82,300 1,239
Flushing Financial 53,800 915
FNB 25,342 454
Fpic Insurance Group (B)* 29,200 1,132
Fremont General 15,540 264
Frontier Financial 7,125 214
GAMCO Investors, Cl A 19,600 765
GFI Group* 16,300 922
Glacier Bancorp 35,388 1,258
Gluskin Sheff + Associates
(Canada) 70,500 957
Gluskin Sheff + Associates
(Canada)* 29,700 403
GMP Capital Trust (Canada)* 24,900 470
Gramercy Capital+ 20,700 580
Greater Bay Bancorp 126,458 3,255
Greenhill (B) 45,800 3,193
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 61
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund (Continued)
November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Grubb & Ellis Realty Advisors* 314,500 $ 1,918
Hallmark Financial Services* 3,240 32
Hancock Holding 2,270 122
Hanmi Financial 32,442 708
Hanover Insurance Group 44,036 2,086
Harbor Florida Bancshares 4,728 206
HCC Insurance Holdings (B) 29,750 898
Health Care Property
Investors+ (B) 81,300 2,949
Health Care+ 23,783 997
Heritage Commerce* 3,500 91
Hersha Hospitality Trust+ 170,200 1,964
Highbury Financial (B)* 29,100 172
Highbury Financial Units* 118,000 1,115
Highland Hospitality+ 49,814 706
Hilb Rogal & Hobbs 60,100 2,500
Horace Mann Educators 50,179 1,015
Horizon Financial 4,625 114
Housevalues (B)* 56,000 301
HRPT Properties Trust+ 184,100 2,314
Hub International 37,300 1,138
IMPAC Mortgage Holdings+ (B) 109,241 1,072
IndyMac Bancorp 18,400 845
Innkeepers USA Trust+ 226,776 3,628
International Bancshares 17,683 547
Intervest Bancshares (B)* 25,042 873
Investment Technology Group* 32,500 1,219
IPC Holdings 12,800 399
Irwin Financial 110,088 2,425
ITLA Capital 2,473 131
Jones Lang LaSalle* 8,796 800
Kansas City Life Insurance 14,200 732
KBW* 45,800 1,220
KKR Financial+* 20,400 546
Knight Capital Group, Cl A* 16,174 285
Lakeland Financial 2,800 70
LandAmerica Financial Group 33,612 2,054
LaSalle Hotel Properties+ 1,957 86
Longview Fibre+ 8,871 185
LTC Properties+ 44,356 1,225
Luminent Mortgage Capital+ 321,800 3,321
Macatawa Bank 5,344 118
Macerich+ 36,700 3,137
Mack-Cali Realty+ 56,700 3,098
MAF Bancorp 75,050 3,301
Marlin Business Services* 34,600 750
Marsh & McLennan 45,499 1,430
Max Re Capital 31,300 751
Medical Properties Trust+ 66,000 980
MFA Mortgage Investments+ 318,100 2,475
Midwest Banc Holdings (B) 62,700 1,461
Mid-State Bancshares 18,982 690
MortgageIT Holdings+ 10,272 149
Move* 340,100 1,884
Nara Bancorp 87,178 1,768
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Nasdaq Stock Market* 51,900 $ 2,084
National Financial Partners 10,056 456
National Health Investors+ 7,072 237
National Retail Properties+ 36,000 859
Nationwide Financial Services,
Cl A 19,699 1,024
Nationwide Health Properties+ 9,604 284
Navigators Group* 23,854 1,104
NBT Bancorp 76,300 1,888
NewAlliance Bancshares 106,812 1,746
Newcastle Investment+ 15,373 460
NNN Realty Ad* 169,500 1,695
NorthStar Realty Finance+* 115,137 1,827
Novastar Financial+ (B) 22,300 680
Ocwen Financial* 8,439 127
Odyssey Re Holdings (B) 44,100 1,555
Ohio Casualty 71,900 2,100
Old National Bancorp 113,700 2,135
Omega Healthcare Investors+ 9,800 174
optionsXpress Holdings (B)* 59,000 1,701
Pacific Capital Bancorp 3,698 121
Penson Worldwide* 5,500 123
PFF Bancorp 65,790 2,171
Pico Holdings* 30,058 955
Piper Jaffray (B)* 48,269 3,141
Platinum Underwriters Holdings 151,424 4,608
PMA Capital, Cl A* 44,091 391
PMI Group 19,500 845
Portfolio Recovery Associates (B)* 66,600 3,040
Post Properties+ 64,000 3,062
Preferred Bank 12,400 706
Premierwest Bancorp 4,835 75
Presidential Life 56,300 1,261
Privatebancorp 18,100 726
ProAssurance* 33,863 1,735
Prologis+ 59,600 3,884
Prosperity Bancshares 2,400 81
Provident Bankshares 26,566 980
PS Business Parks+ 29,700 2,116
Public Storage+ (B) 44,524 4,287
R & G Financial, Cl B 54,375 404
Rainier Pacific Financial Group 17,510 337
RAIT Investment Trust+ (B) 126,000 4,200
RenaissanceRe Holdings 14,800 871
RLI 11,788 652
Safety Insurance Group 40,412 2,117
Santander BanCorp 43,665 788
Security Capital Assurance 27,300 691
Selective Insurance Group 22,515 1,250
Shore Bancshares (B) 2,800 81
Sierra Bancorp 1,800 55
Signature Bank (B)* 90,624 2,914
Simon Property Group+ 51,900 5,293
SL Green Realty+ (B) 25,800 3,489
Smithtown Bancorp (B) 4,000 110
- --------------------------------------------------------------------------------
62 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
South Financial Group 92,240 $ 2,397
Southwest Bancorp 16,229 433
Sterling Bancorp 13,822 257
Sterling Financial,
Pennsylvania Shares 3,850 89
Sterling Financial,
Washington Shares (B) 117,790 3,952
Stewart Information Services (B) 92,213 3,602
Strategic Hotels & Resorts+ 122,900 2,673
Suffolk Bancorp 3,100 113
Sunstone Hotel Investors+ 48,500 1,352
Susquehanna Bancshares 58,400 1,615
SVB Financial Group (B)* 71,300 3,385
SWS Group 22,434 726
Synergy Financial Group 64,700 1,042
Taubman Centers+ 33,700 1,667
Taylor Capital Group 29,055 1,066
TD Ameritrade Holding 67,662 1,188
TD Banknorth 53,317 1,716
Technology Investment Capital 45,700 732
Thomas Weisel Partners Group (B)* 113,800 2,426
TierOne 23,101 721
Tower Group 42,455 1,398
TradeStation Group (B)* 173,700 2,534
Trammell Crow* 65,110 3,210
Triad Guaranty* 12,886 693
Trico Bancshares 3,700 100
Trustmark 38,332 1,250
UCBH Holdings 132,890 2,241
UMB Financial 46,480 1,710
Umpqua Holdings 44,854 1,347
UnionBanCal 14,701 846
United America Indemnity, Cl A* 32,723 821
United Bankshares 33,700 1,300
United Fire & Casualty 84,445 2,981
United Security Bancshares/Fresno 800 20
UnumProvident 22,664 464
Vineyard National Bancorp 4,600 99
Virginia Commerce Bancorp (B)* 18,400 358
Virginia Financial Group 3,050 84
W Holding 14,400 88
Waddell & Reed Financial, Cl A 6,600 165
Washington Federal 72,280 1,680
Washington Real Estate Investment
Trust+ 18,850 808
Weingarten Realty Investors+ (B) 42,400 2,023
WesBanco 44,700 1,459
West Coast Bancorp 3,000 103
Whitney Holding 27,163 875
Wilshire Bancorp 39,975 764
Winston Hotels+ 48,743 662
Winthrop Realty Trust+ 142,200 912
Wintrust Financial 20,800 991
World Acceptance (B)* 62,508 2,837
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
WR Berkley 32,000 $ 1,124
WSFS Financial 25,394 1,640
Zenith National Insurance 55,695 2,571
----------
425,088
----------
HEALTH CARE -- 10.4%
Abaxis* 33,110 639
Abraxis BioScience* 16,575 445
Accelrys* 138,400 839
Adams Respiratory
Therapeutics (B)* 10,931 430
Advanced Magnetics* 22,717 1,266
Affymetrix (B)* 149,206 3,775
Albany Molecular Research* 50,923 565
Align Technology (B)* 61,400 806
Alkermes* 211,895 3,217
Alliance Imaging* 302,978 1,806
Alpharma, Cl A 94,157 2,062
America Service Group* 29,700 473
American Dental Partners* 4,250 75
AMERIGROUP* 27,944 955
AMN Healthcare Services* 81,075 2,250
Amsurg (B)* 114,997 2,361
Analogic 22,156 1,172
Anesiva* 63,700 422
Applera - Celera Genomics Group* 157,800 2,264
Apria Healthcare Group* 109,232 2,728
Arena Pharmaceuticals (B)* 78,800 1,017
Ariad Pharmaceuticals (B)* 246,300 1,323
Array Biopharma* 80,600 1,062
Arrow International 28,463 994
Arthrocare* 30,060 1,253
Axcan Pharma* 88,207 1,310
Bio-Rad Laboratories, Cl A* 13,620 1,075
Bio-Reference Labs* 24,186 588
Biogen Idec* 13,200 690
Biosite (B)* 52,184 2,548
Bradley Pharmaceuticals (B)* 41,770 880
Cambrex 102,503 2,262
Cardiome Pharma* 54,900 637
Cell Genesys (B)* 277,200 1,076
Chemed 38,183 1,429
CNS 17,981 671
Combinatorx (B)* 45,900 416
Community Health Systems* 40,900 1,431
Computer Programs & Systems 32,433 1,168
Conceptus (B)* 81,800 1,876
Conmed (B)* 100,500 2,224
Cooper (B) 40,100 2,164
Cross Country Healthcare* 95,400 1,894
Cubist Pharmaceuticals (B)* 249,050 5,071
Cutera* 32,807 923
CV Therapeutics (B)* 560,841 6,719
Cynosure* 90,636 1,524
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 63
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund (Continued)
November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Cypress Bioscience* 104,037 $ 901
Dade Behring Holdings 7,000 265
Datascope 33,808 1,145
DexCom* 63,700 717
Digene (B)* 86,065 4,398
Dionex* 5,443 313
Discovery Laboratories (B)* 87,400 185
Diversa* 19,900 226
DJO (B)* 68,875 2,929
Durect* 64,700 303
Eclipsys* 21,842 462
Emisphere Technologies (B)* 41,700 226
Encysive Pharmaceuticals (B)* 301,400 1,820
Enzon Pharmaceuticals (B)* 88,769 739
eResearch Technology* 48,203 309
Exelixis (B)* 223,718 1,928
Five Star Quality Care (B)* 203,811 2,073
Flamel Technologies ADR (B)* 23,000 643
Genesis HealthCare* 11,965 554
Genzyme* 18,822 1,212
Greatbatch (B)* 46,698 1,215
Haemonetics* 17,537 794
Health Net* 20,100 927
HealthSpring* 149,600 2,889
HealthTronics (B)* 86,874 584
Healthways* 10,095 464
Hologic (B)* 46,585 2,331
Home Diagnostics* 104,600 1,224
Hooper Holmes 143,500 482
Human Genome Sciences (B)* 189,408 2,371
ICU Medical* 12,024 486
Illumina (B)* 200 8
Immucor* 70,509 1,897
Incyte (B)* 346,300 1,815
InterMune (B)* 26,089 558
Inverness Medical Innovations* 38,396 1,498
Ista Pharmaceuticals (B)* 156,900 1,006
Kendle International* 41,193 1,443
Keryx Biopharmaceuticals* 97,700 1,348
Kindred Healthcare* 14,150 364
Kos Pharmaceuticals* 4,143 322
Landauer 4,142 225
Lemaitre Vascular* 65,200 379
Lexicon Genetics* 42,100 156
LHC Group* 2,475 68
Lifecell (B)* 30,994 676
LifePoint Hospitals* 46,539 1,615
Luminex* 28,100 360
Magellan Health Services* 23,600 1,038
Medarex (B)* 406,900 5,489
Medcath* 32,481 841
Medical Action Industries* 4,097 129
Medical Staffing Network
Holdings* 81,400 476
Medicines* 37,402 1,068
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Medicis Pharmaceutical, Cl A 43,725 $ 1,613
Mentor (B) 37,600 1,878
Merge Technologies* 54,904 334
Meridian Bioscience 12,723 310
Merit Medical Systems* 5,502 88
Metabolix* 88,600 1,488
MGI Pharma (B)* 78,600 1,491
Micrus Endovascular* 129,800 2,554
Millennium Pharmaceuticals* 7,720 87
Molecular Devices* 35,820 756
Molina Healthcare* 20,773 706
Myriad Genetics (B)* 130,807 3,977
Nastech Pharmaceutical (B)* 154,200 2,874
National Dentex* 26,800 478
Nektar Therapeutics (B)* 46,500 768
Neurocrine Biosciences (B)* 36,300 335
Northfield Laboratories* 8,300 127
Noven Pharmaceuticals (B)* 72,400 1,717
Odyssey HealthCare* 174,653 2,162
Omnicell* 10,944 206
Option Care 135,878 1,913
OraSure Technologies (B)* 69,303 597
Orthofix International* 13,839 602
Owens & Minor 62,608 1,943
Pain Therapeutics (B)* 123,800 1,060
Par Pharmaceutical* 52,270 1,031
Parexel International* 4,699 130
PDL BioPharma (B)* 94,900 2,155
Penwest Pharmaceuticals (B)* 61,396 1,055
Per-Se Technologies (B)* 63,000 1,737
Perrigo 42,224 707
Pharmacopeia Drug Discovery* 75,429 309
PharmaNet Development Group* 32,127 731
Phase Forward* 49,345 738
PolyMedica (B) 60,800 2,406
Pozen* 23,000 378
PRA International (B)* 8,691 252
Profarma Distribuidora de
Productos Farmaceuticos
(Brazil)* 81,300 1,035
Progenics Pharmaceuticals* 16,900 463
Providence Service* 54,990 1,469
PSS World Medical* 87,360 1,829
Psychiatric Solutions* 64,995 2,365
Quidel* 18,200 248
Radiation Therapy Services (B)* 11,748 386
Regeneron Pharmaceuticals* 45,950 988
Res-Care* 62,028 1,141
Respironics* 11,826 426
Rigel Pharmaceuticals* 96,300 1,058
Savient Pharmaceuticals* 45,552 532
Sciele Pharma (B)* 39,600 895
Senomyx (B)* 19,392 261
SonoSite* 6,800 217
Spectranetics* 52,822 576
- --------------------------------------------------------------------------------
64 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
STERIS 44,657 $ 1,149
SuperGen (B)* 166,878 793
SurModics (B)* 43,556 1,471
Symbion* 101,200 1,796
Symmetry Medical* 31,320 426
Taro Pharmaceuticals
Industries* 107,700 1,080
Telik (B)* 237,200 4,035
Tenet Healthcare* 24,938 177
Tercica (B)* 124,300 612
Theravance* 32,909 1,030
Triad Hospitals* 14,032 597
Trimeris (B)* 11,300 130
United Surgical Partners
International (B)* 19,746 503
United Therapeutics (B)* 70,907 4,128
Universal Health Services, Cl B 6,786 375
Valeant Pharmaceuticals
International 17,127 288
Varian* 35,275 1,555
Ventana Medical Systems* 34,767 1,463
Viropharma* 43,800 675
Vital Images* 1,822 59
WellCare Health Plans* 13,478 870
West Pharmaceutical Services 76,634 3,763
Zoll Medical (B)* 29,782 1,544
----------
214,770
----------
INDUSTRIALS -- 14.0%
ABX Air (B)* 91,965 582
ACCO Brands* 20,900 531
Accuride* 40,900 461
Active Power (B)* 155,600 417
Actuant, Cl A 23,877 1,291
Acuity Brands 68,430 3,604
Adesa 64,400 1,701
Advisory Board* 52,728 2,925
AGCO (B)* 104,406 3,261
Airtran Holdings* 16,104 200
Alaska Air Group* 54,574 2,245
Albany International, Cl A 86,379 2,695
Amerco* 19,612 1,703
American Commercial Lines (B)* 54,673 3,791
American Reprographics* 32,860 1,027
American Science &
Engineering (B)* 17,000 1,078
American Woodmark (B) 64,370 2,510
Ameron International 10,485 789
AMR* 3,500 112
AO Smith 55,280 1,978
Apogee Enterprises 101,030 1,733
Applied Industrial Technologies 34,350 978
Aries Maritime Transport 78,900 774
Arkansas Best 31,895 1,209
Armor Holdings* 29,000 1,640
Astec Industries* 26,900 916
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
ASV* 12,891 $ 193
Atlas Air Worldwide Holdings* 11,100 470
AZZ* 1,488 63
Banta 26,087 945
Basin Water (B)* 108,000 756
BE Aerospace (B)* 197,447 5,175
Belden CDT 26,304 1,047
Blount International (B)* 110,900 1,303
Briggs & Stratton 25,443 689
Brink's 44,400 2,493
Bucyrus International, Cl A 27,512 1,175
Builders FirstSource (B)* 32,000 532
C&D Technologies 10,656 41
Canadian Solar (B)* 103,700 1,253
Casella Waste Systems, Cl A* 15,514 169
CBIZ* 6,826 48
CDI 13,600 354
Cenveo* 25,302 503
Ceradyne (B)* 61,759 3,262
Chart Industries* 52,900 781
Chicago Bridge & Iron (B) 62,726 1,818
CIRCOR International 27,030 993
Clean Harbors* 16,053 686
Columbus McKinnon* 14,966 348
Comfort Systems USA 189,159 2,552
Commercial Vehicle Group* 38,300 896
COMSYS IT Partners* 16,400 302
Con-way 38,221 1,763
Consolidated Graphics* 32,657 1,910
Continental Airlines, Cl B (B)* 75,512 3,069
Copart* 36,300 1,097
Corrections of America* 29,337 1,333
CRA International* 29,726 1,535
Cubic 50,122 1,113
Curtiss-Wright 36,350 1,292
Danaos (B)* 22,800 511
Deluxe 71,800 1,768
Diamond Management & Technology
Consultants (B)* 101,500 1,132
Dynamic Materials (B) 94,600 2,724
DynCorp International, Cl A* 84,200 1,103
EGL* 5,883 188
Electro Rent* 10,071 152
EMCOR Group* 42,383 2,529
Encore Wire* 4,695 116
EnerSys* 7,180 120
EnPro Industries (B)* 36,700 1,280
ESCO Technologies (B)* 35,700 1,582
Esterline Technologies* 17,881 696
Evergreen Solar (B)* 62,900 581
Exponent* 300 5
ExpressJet Holdings* 128,692 1,017
Federal Signal 76,239 1,237
First Consulting Group* 82,800 1,030
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 65
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund (Continued)
November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
First Solar* 37,000 $ 1,047
Flanders (B)* 147,026 1,454
Flint Energy Services (Canada)* 26,500 1,415
Flowserve (B)* 24,500 1,319
Foster Wheeler* 21,111 1,140
Freightcar America (B) 56,773 3,128
Frontier Airlines Holdings* 7,439 61
FTI Consulting* 46,700 1,255
Gardner Denver* 122,042 4,667
GATX 24,676 1,140
General Cable* 102,390 4,352
Genesee & Wyoming, Cl A* 23,625 635
Genlyte Group* 29,365 2,492
Geo Group* 55,657 2,090
Goodman Global* 48,396 775
GrafTech International (B)* 307,360 2,075
Granite Construction 44,090 2,275
Greenbrier 4,216 156
Griffon (B)* 57,005 1,359
Grupo Aeroportuario
del Sureste ADR 40,500 1,785
Grupo TMM ADR, Cl A* 98,400 276
H&E Equipment Services* 47,000 1,138
Heico 28,693 864
Hexcel (B)* 130,500 2,336
HUB Group, Cl A* 127,197 3,630
Hudson Highland Group* 61,763 1,102
ICF International* 125,300 2,179
ICT Group* 4,100 137
IHS, Cl A* 41,835 1,550
IKON Office Solutions 268,047 4,334
Infrasource Services* 34,003 735
Innerworkings* 67,945 1,136
Innovative Solutions & Support* 1 --
Insituform Technologies,
Cl A (B)* 31,524 811
Ionatron* 100 --
Jacobs Engineering Group* 4,884 410
JB Hunt Transport Services 29,248 640
JetBlue Airways* 28,800 393
John H. Harland 78,997 3,387
K&F Industries Holdings* 28,500 594
Kadant* 43,204 1,021
Kansas City Southern (B)* 87,935 2,379
Kaydon 80,023 3,197
Kelly Services, Cl A 14,451 421
Kenexa (B)* 49,618 1,531
Kennametal 14,599 892
Kforce* 28,851 384
Kirby* 53,692 1,935
Knight Transportation (B) 93,975 1,656
Knoll* 116,900 2,433
Korn/Ferry International* 39,300 916
Laidlaw International* 23,872 693
Lamson & Sessions (B)* 73,200 1,574
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Lennox International 49,254 $ 1,440
Lincoln Electric Holdings 51,300 3,122
Lydall* 19,333 203
Macquarie Infrastructure* 14,900 483
Marten Transport* 46,200 846
McGrath Rentcorp 7,451 235
Mesa Air Group (B)* 124,800 1,020
Milacron (B)* 243,848 180
Mine Safety Appliances 7,058 255
Moog, Cl A* 26,152 957
MSC Industrial Direct, Cl A 14,900 580
Mueller Industries 23,484 801
NACCO Industries, Cl A 4,245 633
Navigant Consulting (B)* 111,300 2,120
Navistar International (B)* 170,842 5,465
NCI Building Systems (B)* 86,045 4,748
Nordson 12,700 613
Omega Navigation Enterprises 13,800 217
On Assignment* 4,201 46
Orbital Sciences* 78,751 1,427
Pacer International* 8,131 244
Pall 75,900 2,382
PAM Transportation Services* 7,800 187
Perini* 63,017 2,049
PGT (B)* 15,100 173
Pike Electric* 30,100 472
Power-One* 52,200 382
PW Eagle* 13,904 475
Quanta Services (B)* 138,099 2,531
RailAmerica* 52,100 831
Railpower Technologies (Canada)* 123,400 61
RBC Bearings* 47,045 1,367
Regal-Beloit 41,702 2,132
Republic Airways Holdings* 21,200 366
Robbins & Myers 50,253 2,150
Ryder System 63,700 3,323
Saia* 37,542 931
School Specialty (B)* 40,734 1,509
Seaspan* 48,500 1,071
Shaw Group* 22,433 671
Simpson Manufacturing (B) 66,900 2,072
SIRVA* 39,178 149
Skywest 84,038 2,121
Spherion* 189,477 1,364
Standard Parking* 3,000 113
Standard Register 30,402 378
Stanley (B)* 20,800 349
Superior Essex* 33,245 1,177
TAL International Group 85,900 2,139
Taleo, Cl A* 67,486 876
Tecumseh Products, Cl A (B)* 77,000 1,248
Teledyne Technologies* 51,552 2,072
Tennant 16,252 472
Terex (B)* 21,400 1,199
- --------------------------------------------------------------------------------
66 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Tetra Tech* 146,095 $ 2,549
Titan International 16,615 316
Tredegar 9,837 196
UAP Holding 33,000 792
United Industrial 11,900 582
United Rentals (B)* 101,900 2,554
United Stationers* 59,576 2,763
Universal Forest Products (B) 62,902 2,934
Universal Truckload Services* 41,000 977
URS* 60,939 2,691
US Xpress Enterprises, Cl A (B)* 47,212 823
Valmont Industries 8,917 528
Volt Information Sciences* 10,622 496
Wabash National 75,600 1,111
Wabtec 128,141 4,209
Walter Industries 26,100 1,255
Washington Group International* 58,887 3,461
Waste Connections (B)* 57,815 2,333
Waste Industries USA 2,900 87
Watson Wyatt Worldwide, Cl A 159,866 7,418
WESCO International* 11,464 767
Williams Scotsman International* 122,078 2,435
Woodward Governor 58,400 2,230
World Air Holdings* 47,100 401
YRC Worldwide (B)* 42,300 1,639
----------
289,159
----------
INFORMATION TECHNOLOGY -- 20.4%
24/7 Real Media (B)* 233,200 2,034
Actel* 53,949 1,007
Acxiom 13,842 345
Adaptec* 440,548 1,921
ADC Telecommunications* 86,524 1,193
Advanced Energy Industries* 111,351 1,919
Advent Software (B)* 35,500 1,298
Aeroflex* 264,970 3,196
Agilysys 85,910 1,316
Akamai Technologies (B)* 81,092 3,963
Alliance Semiconductor* 116,600 436
Allot Communications* 62,035 723
Altera* 129,100 2,568
Altiris* 58,601 1,453
AMIS Holdings* 45,651 493
Amkor Technology (B)* 317,900 3,249
Anadigics (B)* 106,112 1,024
Andrew* 152,684 1,522
Anixter International* 19,517 1,144
Ansoft* 72,705 2,010
Ansys* 5,648 265
aQuantive (B)* 191,257 4,571
Ariba* 9,800 74
Arris Group* 245,047 2,923
Art Technology Group* 597,417 1,410
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Aspen Technology (B)* 117,238 $ 1,143
Asyst Technologies* 447,658 2,950
Atmel* 141,379 715
ATMI* 20,020 651
Avanex (B)* 237,800 473
Avid Technology (B)* 20,735 808
Avnet (B)* 60,534 1,501
Avocent (B)* 39,254 1,365
Axcelis Technologies* 38,304 245
Axesstel* 250,041 528
BearingPoint (B)* 170,800 1,431
Bel Fuse, Cl B (B) 4,500 165
Bell Microproducts* 56,030 385
BISYS Group* 96,299 1,155
Black Box 65,645 2,811
Blackbaud 26,596 686
Blackboard* 29,844 851
Bookham* 29,577 119
Borland Software* 39,200 207
Brightpoint* 74,117 1,024
Brocade Communications
Systems (B)* 584,002 5,402
Brooks Automation (B)* 309,832 4,328
C-COR* 20,799 208
Cabot Microelectronics* 1,804 57
CACI International, Cl A* 30,130 1,803
Captaris* 27,970 204
Checkpoint Systems* 35,137 674
Chordiant Software* 145,690 446
Ciber* 312,379 2,168
Cirrus Logic* 54,359 379
Citrix Systems* 26,745 769
CMGI* 314,174 430
CNET Networks (B)* 270,400 2,450
Cogent (B)* 113,100 1,281
Coherent (B)* 63,692 2,058
Cohu 4,288 85
Color Kinetics* 32,300 637
CommScope* 101,558 3,064
Commvault Systems* 95,600 1,908
Comtech Group (B)* 77,185 1,253
Comtech Telecommunications* 21,070 748
Concur Technologies (B)* 31,378 481
Conexant Systems* 255,700 557
Covansys* 2,581 59
CPI International* 66,800 936
Cray* 33,623 382
Credence Systems* 186,067 715
Cree (B)* 96,200 1,904
CSG Systems International (B)* 168,108 4,662
CTS 69,600 1,063
Cymer (B)* 44,594 2,107
Cypress Semiconductor* 76,218 1,325
DealerTrack Holdings* 136,492 3,730
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 67
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund (Continued)
November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Digimarc* 136,600 $ 1,231
Digital Insight* 68,200 2,603
Digital River* 2,687 158
Digitas* 5,239 57
Diodes (B)* 73,163 3,024
Ditech Networks* 32,370 227
Dycom Industries (B)* 70,200 1,426
Earthlink (B)* 364,300 2,372
EFJ* 140,000 784
Electronics for Imaging* 131,273 3,216
Emergis (Canada)* 373,200 1,716
Emulex* 185,374 3,869
Entegris* 131,392 1,401
EPIQ Systems* 73,692 1,151
Euronet Worldwide (B)* 133,308 4,414
Extreme Networks* 109,737 438
F5 Networks* 9,499 711
Factset Research Systems 22,300 1,179
Fairchild Semiconductor
International* 94,445 1,541
Finisar (B)* 406,400 1,557
Flir Systems (B)* 59,675 1,922
Formfactor* 33,257 1,242
Forrester Research* 11,660 328
Foundry Networks* 149,300 2,136
Gateway* 52,038 99
Genesis Microchip* 7,617 76
Gevity HR (B) 23,100 505
Global Imaging Systems* 46,976 1,001
Harmonic* 47,705 379
Heartland Payment Systems (B)* 31,700 900
Hewitt Associates, Cl A* 18,956 481
Hittite Microwave* 30,945 1,209
Hutchinson Technology (B)* 89,000 2,121
Hyperion Solutions* 50,100 1,842
i2 Technologies (B)* 120,094 2,320
Ikanos Communications* 69,200 623
Imation 86,836 4,021
Immersion (B)* 460,648 3,234
InFocus* 111,700 281
Informatica (B)* 69,800 841
infoUSA 59,279 720
Insight Enterprises* 2,100 42
Interdigital Communications (B)* 63,200 2,019
Intermec* 9,151 232
Internap Network Services (B)* 26,527 516
International DisplayWorks* 317,600 1,998
International Rectifier* 4,388 176
Interwoven* 22,438 318
Intevac* 56,927 1,554
Itron (B)* 79,312 3,806
j2 Global Communications (B)* 45,840 1,280
JDA Software Group* 138,700 1,983
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Juniper Networks* 52,600 $ 1,120
Jupitermedia (B)* 279,700 1,787
Keane* 97,200 1,205
Keynote Systems* 89,600 929
Knot* 33,900 935
Komag (B)* 104,135 4,111
Kulicke & Soffa Industries* 90,787 744
Lattice Semiconductor* 729,500 4,953
Lawson Software (B)* 531,550 3,955
LeCroy (B)* 71,700 808
Lightbridge* 127,015 1,677
Lionbridge Technologies* 388,500 2,222
Liquidity Services* 45,200 819
Littelfuse* 31,313 979
LoJack* 86,733 1,317
LoopNet* 37,439 539
LTX* 466,227 2,429
Macrovision* 4,764 132
Magma Design Automation (B)* 160,400 1,437
Manhattan Associates* 129,034 3,742
Mantech International, Cl A* 11,667 423
Marchex, Cl B (B)* 309,500 4,237
Mastec* 175,883 1,984
MAXIMUS 56,048 1,640
McAfee* 14,800 432
McData, Cl A* 304,926 1,912
Measurement Specialties* 17,700 428
Mentor Graphics* 84,294 1,425
Mercury Computer Systems* 24,100 315
Methode Electronics 118,908 1,333
Mettler Toledo International* 17,878 1,384
Microsemi (B)* 181,459 3,747
MicroStrategy, Cl A (B)* 25,561 3,028
MKS Instruments (B)* 69,042 1,437
MoneyGram International 25,400 775
Monolithic Power Systems* 18,063 192
MPS Group* 29,504 442
MTS Systems 14,999 575
Neoware* 126,000 1,407
Net 1 UEPS Technologies (B)* 40,199 964
Netlogic Microsystems (B)* 32,418 691
Novatel* 17,461 720
Nuance Communications (B)* 209,397 2,146
Occam Networks* 25,300 404
Omnivision Technologies (B)* 88,100 1,435
ON Semiconductor (B)* 252,900 1,629
Online Resources (B)* 73,700 785
Open Text* 13,500 256
Openwave Systems* 25,581 215
Opsware* 19,000 166
Orbotech* 78,000 1,993
OSI Systems (B)* 92,000 1,747
Palm (B)* 140,000 1,961
Parametric Technology* 164,504 3,185
- --------------------------------------------------------------------------------
68 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Park Electrochemical 5,281 $ 171
Parkervision (B)* 121,000 1,231
Parkervision* 33,000 336
Paxar* 102,119 2,180
Perficient* 25,539 446
Perot Systems, Cl A (B)* 212,103 3,334
Photon Dynamics* 12,283 136
Photronics* 152,135 2,399
Pixelworks* 362,900 904
Planar Systems* 24,846 249
Plantronics 46,096 968
Plexus* 44,011 1,063
PLX Technology (B)* 217,095 2,937
PMC - Sierra (B)* 308,300 2,346
Polycom (B)* 415,658 11,988
Power Integrations* 41,988 1,170
PowerDsine* 80,200 896
Powerwave Technologies (B)* 381,516 2,446
Presstek (B)* 125,014 751
Quantum* 991,500 2,340
Quest Software* 15,923 228
Rackable Systems (B)* 111,946 3,986
RADWARE* 33,500 499
Radyne* 20,300 203
RealNetworks (B)* 98,800 1,136
Red Hat (B)* 274,200 4,771
RF Micro Devices (B)* 807,700 6,227
Richardson Electronics 48,824 488
Rofin-Sinar Technologies* 2,958 172
Rogers* 20,006 1,390
Rudolph Technologies* 126,000 2,020
SafeNet* 38,250 890
Seachange International* 230,400 1,986
Seagate Technology 48,952 1,261
Secure Computing* 150,997 980
Sigma Designs (B)* 38,048 995
Silicon Storage Technology* 77,295 356
Sina* 9,577 270
Sirf Technology Holdings (B)* 90,600 2,769
Skyworks Solutions* 1,229,349 8,925
Smith Micro Software (B)* 66,790 1,069
Solectron* 1,367,600 4,554
Sonus Networks (B)* 161,429 1,014
Spatialight (B)* 145,433 253
Spatialight (H)* 88,000 139
SRA International, Cl A* 9,527 278
Standard Microsystems* 40,471 1,290
Startek 1,000 14
STATS ChipPAC ADR (B)* 116,323 978
Stratasys (B)* 22,147 667
Sun Microsystems* 226,742 1,229
Sunpower, Cl A (B)* 15,190 567
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Supertex* 24,142 $ 1,133
Sybase (B)* 162,029 3,879
SYKES Enterprises* 80,328 1,384
Symmetricom (B)* 153,000 1,342
SYNNEX* 69,358 1,575
Synopsys* 48,887 1,249
TAC Acquisition* 342,500 1,908
Talx 2,334 58
Technitrol 31,261 859
Tekelec (B)* 147,214 2,370
Tessera Technologies* 42,800 1,621
THQ (B)* 167,764 5,461
TIBCO Software* 609,400 5,674
TNS* 1,500 26
Trident Microsystems (B)* 72,800 1,527
Triquint Semiconductor* 655,500 3,304
Tyler Technologies* 21,168 306
Ultra Clean Holdings* 42,838 571
Ultratech (B)* 64,700 843
Unisys (B)* 278,500 2,008
United Online (B) 321,336 4,316
Universal Display (B)* 58,800 725
Utstarcom (B)* 135,569 1,204
Valueclick (B)* 52,991 1,318
Varian Semiconductor Equipment
Associates (B)* 69,377 2,756
Vasco Data Security
International (B)* 67,872 799
Veeco Instruments* 43,012 808
VeriFone Holdings (B)* 141,575 4,780
Verint Systems* 6,259 214
VeriSign* 35,753 934
Wavecom ADR* 53,137 748
WebEx Communications (B)* 64,695 2,323
webMethods* 12,402 88
Websense* 17,115 437
WidePoint* 313,500 712
Wind River Systems* 351,400 3,763
Wright Express* 87,880 2,712
Zoran* 108,528 1,618
Zygo* 36,200 596
----------
421,920
----------
MATERIALS -- 4.8%
ADA-ES (B)* 27,700 460
AEP Industries* 5,750 296
Airgas 28,428 1,210
AK Steel Holding* 116,013 1,913
AM Castle 6,192 164
Aptargroup 54,027 3,310
Arch Chemicals 34,568 1,137
Bemis 25,495 870
Bowater 11,807 257
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 69
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund (Continued)
November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Brush Engineered Materials* 53,913 $ 1,910
Buckeye Technologies* 182,297 2,140
Carpenter Technology 20,521 2,192
Century Aluminum* 29,154 1,243
Chemtura 95,853 928
Cleveland-Cliffs (B) 58,000 2,786
Commercial Metals 34,317 997
Constar International* 84,198 602
Crown Holdings* 44,600 919
Cytec Industries 50,600 2,699
Ferro 38,250 798
First Quantum Minerals (Canada) 52,900 2,771
FMC 17,106 1,212
Grande Cache Coal (Canada)* 217,700 151
Greif, Cl A 48,381 4,797
H.B. Fuller 57,760 1,506
Headwaters* 59,443 1,422
Hecla Mining* 61,500 429
Hercules 253,730 4,727
Innospec 1,409 60
MacDermid 37,500 1,224
Metal Management 46,728 1,713
Methanex 40,800 1,011
Myers Industries 133,880 2,164
Neenah Paper 70,177 2,397
NewMarket* 26,672 1,674
Olin 119,837 2,005
Olympic Steel (B)* 8,000 208
OM Group (B)* 50,600 2,381
Omnova Solutions* 80,600 385
Pioneer* 21,221 573
PolyOne* 92,493 710
Quanex 99,764 3,702
Rock-Tenn, Cl A 158,791 4,002
RTI International Metals* 1,260 95
Ryerson (B) 60,500 1,347
Schnitzer Steel Industries, Cl A 117,499 4,796
Schweitzer-Mauduit International 76,965 1,908
Sensient Technologies 77,800 1,854
Sherritt International (Canada)* 153,200 1,662
Silgan Holdings 107,590 4,641
Spartech 59,311 1,775
Steel Dynamics (B) 120,800 3,928
Symyx Technologies (B)* 121,875 2,664
Texas Industries (B) 41,795 2,853
Wellman 141,300 497
Westlake Chemical 17,600 576
Wheeling-Pittsburgh* 102,100 1,795
----------
98,446
----------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES -- 0.9%
Boston Communications Group* 14,208 $ 29
Broadwing* 811 12
Cbeyond (B)* 31,199 1,025
Centennial Communications* 44,200 288
Cincinnati Bell* 342,689 1,549
Citizens Communications 52,909 750
Commonwealth Telephone
Enterprises 13,426 559
Consolidated Communications
Holdings 19,642 364
CT Communications 29,833 608
Dobson Communications, Cl A* 26,190 227
Fairpoint Communications 144,300 2,665
Golden Telecom 30,300 1,230
IDT* 27,700 374
IDT, Cl B (B)* 28,200 365
NeuStar, Cl A (B)* 31,415 1,045
NTELOS Holdings* 7,700 121
Orckit Communications* 74,300 848
Premiere Global Services* 71,000 579
Qwest Communications
International* 32,557 250
SBA Communications, Cl A (B)* 118,582 3,364
Syniverse Holdings* 52,100 722
Talk America Holdings* 21,466 171
Time Warner Telecom, Cl A (B)* 42,800 781
USA Mobility 27,800 677
----------
18,603
----------
UTILITIES -- 2.8%
AGL Resources 34,006 1,306
Allete 50,609 2,360
Atmos Energy 39,881 1,307
Avista 98,189 2,644
Black Hills 70,339 2,512
Cascade Natural Gas 12,916 333
CenterPoint Energy 118,500 1,937
Cleco 89,978 2,306
CMS Energy (B)* 111,800 1,812
El Paso Electric 57,000 1,416
Empire District Electric 51,226 1,231
Energen 15,956 724
Great Plains Energy 15,600 493
Hawaiian Electric Industries 15,400 417
Idacorp 43,473 1,738
ITC Holdings* 15,100 593
Laclede Group 25,500 933
New Jersey Resources 68,057 3,522
Northwest Natural Gas 26,383 1,088
Oneok (B) 48,546 2,099
Ormat Technologies (B) 80,200 2,955
Peoples Energy 44,699 1,939
PNM Resources 185,952 5,709
- --------------------------------------------------------------------------------
70 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Portland General Electric (B) 35,000 $ 973
Reliant Energy* 62,003 832
SCANA 3,890 161
SEMCO Energy* 78,100 485
SJW 3,800 133
South Jersey Industries 19,798 660
Southern Union 71,300 1,999
Southwest Gas 31,245 1,173
UGI 20,200 569
UIL Holdings 39,000 1,676
Unisource Energy 16,858 619
Vectren 51,110 1,459
Westar Energy 98,932 2,631
WGL Holdings 45,280 1,497
Wisconsin Energy 17,168 803
----------
57,044
----------
Total Common Stock
(Cost $1,698,080) ($ Thousands) 1,987,796
----------
CORPORATE OBLIGATIONS (C) -- 11.8%
FINANCIALS -- 11.8%
Allstate Life Global Funding II
MTN (A) (E)
5.360%, 12/17/07 $ 3,815 3,815
American General Finance
(A) (E)
5.350%, 12/17/07 12,027 12,027
Bear Stearns EXL (E)
5.360%, 12/17/07 14,764 14,764
Countrywide Financial MTN (E)
5.448%, 10/31/07 17,419 17,419
Dekabank (A) (E)
5.394%, 11/20/07 15,345 15,344
Irish Life & Permanent MTN,
Ser X (A) (E)
5.360%, 12/21/07 11,032 11,031
Islandsbanki (A) (E)
5.370%, 04/06/07 19,492 19,492
Jackson National Life Funding
(A) (E)
5.320%, 12/03/07 18,248 18,248
Kaupthing Bank MTN (A)
5.380%, 03/20/07 20,736 20,736
Landsbanki Islands (A) (E)
5.400%, 03/16/07 15,760 15,760
Morgan Stanley EXL (E)
5.380%, 01/04/08 2,903 2,903
Morgan Stanley EXL, Ser S (E)
5.340%, 12/05/07 4,147 4,147
Natexis Banques (A) (E)
5.300%, 12/17/07 8,087 8,086
Nationwide Building Society
(A) (E)
5.424%, 10/26/07 4,562 4,562
5.350%, 12/07/07 8,295 8,295
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Nordbank (A) (E)
5.350%, 12/24/07 $14,101 $ 14,100
Northern Rock (A) (E)
5.360%, 12/03/07 8,543 8,543
Pacific Life Global Funding
(A) (E)
5.370%, 12/13/07 6,221 6,221
Premium Asset Trust,
Ser 2004-10 (A) (E)
5.360%, 12/17/07 11,612 11,612
SLM EXL, Ser S (A) (E)
5.320%, 12/17/07 9,124 9,124
Skandinav Enskilda Bank (A) (E)
5.320%, 12/18/07 9,124 9,124
Stanfield Victoria MTN (A)
5.445%, 06/11/07 8,295 8,294
----------
Total Corporate Obligations
(Cost $243,647) ($ Thousands) 243,647
----------
CASH EQUIVALENT -- 3.9%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.300%** 80,876,956 80,877
----------
Total Cash Equivalent
(Cost $80,877) ($ Thousands) 80,877
----------
COMMERCIAL PAPER (C) (D) -- 2.5%
FINANCIALS -- 2.5%
Broadhollow Funding
5.305%, 12/07/06 4,645 4,641
KKR Pacific Funding Trust
5.345%, 12/27/06 8,295 8,263
5.305%, 01/02/07 4,147 4,127
Ocala Funding LLC
5.320%, 12/18/06 4,147 4,137
5.320%, 01/26/07 4,147 4,113
Rhineland Funding Capital
5.385%, 01/25/07 5,226 5,183
5.364%, 12/27/06 4,147 4,131
5.364%, 02/13/07 4,106 4,061
5.313%, 12/12/06 2,730 2,726
Witherspoon Funding Limited
5.329%, 12/15/06 4,147 4,139
Witherspoon Funding,
Ser 2004-1A (E)
5.330%, 03/15/07 7,158 7,158
----------
Total Commercial Paper
(Cost $52,679) ($ Thousands) 52,679
----------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 71
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund (Concluded)
November 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES (A) (C) (E) -- 1.3%
MORTGAGE RELATED SECURITIES -- 1.3%
Commodore, Ser 2003-2A,
Cl A1MM
5.470%, 12/12/38 $ 3,816 $ 3,816
Duke Funding, Ser 2004-6B,
Cl A1S1
5.440%, 10/09/07 6,221 6,221
Newcastle CDO, Ser 2005-6A,
Cl IM1
5.340%, 04/24/07 1,659 1,659
Park Place Securities NIM Trust,
Ser 2004-MM1, Cl MM1
5.350%, 02/26/07 2,464 2,464
Saturn Ventures II
5.380%, 02/07/07 6,679 6,679
TIAA Real Estate CDO,
Ser 2003 1A, Cl A1MM
5.350%, 09/28/07 6,168 6,168
----------
Total Asset-Backed Securities
(Cost $27,007) ($ Thousands) 27,007
----------
MASTER NOTE (C) (D) -- 1.0%
Bank of America
5.383%, 12/01/45 20,736 20,736
----------
Total Master Note
(Cost $20,736) ($ Thousands) 20,736
----------
CERTIFICATES OF DEPOSIT (C) -- 0.8%
Barclays Bank (E)
5.330%, 06/11/07 4,147 4,147
CC USA MTN (A)
5.379%, 06/18/07 8,295 8,295
U.S. Trust of New York (E)
5.316%, 03/13/07 3,318 3,318
----------
Total Certificates of Deposit
(Cost $15,760) ($ Thousands) 15,760
----------
EXCHANGE TRADED FUNDS -- 0.4%
iShares Russell 2000 Index
Fund (B) 34,424 2,684
iShares Russell 2000 Value Index
Fund 50,000 3,985
iShares S&P SmallCap 600 Value
Index Fund 6,334 477
NASDAQ 100 Index Tracking
Stock (B) 11,733 517
----------
Total Exchange Traded Funds
(Cost $6,749) ($ Thousands) 7,663
----------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands ($ Thousands)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATION (D) (J) -- 0.1%
U.S. Treasury Bill
4.880%, 02/22/07 $ 1,720 $ 1,701
----------
Total U.S. Treasury Obligation
(Cost $1,701) ($ Thousands) 1,701
----------
Number of
Warrants
----------
WARRANTS -- 0.0%
Infinity Bio-Energy,
Expires 05/23/10* 793,562 381
Parkervision (F) (G) (H) (I)* 15,750 51
TAC Acquisition,
Expires 06/28/10* 685,000 178
Washington Mutual,
Expires 12/26/50* 266,261 42
----------
Total Warrants
(Cost $631) ($ Thousands) 652
----------
REPURCHASE AGREEMENTS (C) (K) -- 4.6%
ABN Amro
5.300%, dated 11/30/06, to be
repurchased on 12/01/06,
repurchase price $33,183,186
(collateralized by various
U.S. Government obligations,
ranging in par value $414,729-
$12,441,863, 0.000%-6.000%,
03/01/07-07/01/36; with total
market value $33,841,868) $33,178 $ 33,178
Barclays
5.300%, dated 11/30/06, to be
repurchased on 12/01/06,
repurchase price $7,061,548
(collateralized by various
U.S. Government obligations,
ranging in par value $154,694-
$2,199,721, 2.750%-5.700%,
12/15/06-05/27/15; with total
market value $7,201,831) 7,061 7,061
Deutsche Bank
5.300%, dated 11/30/06, to be
repurchased on 12/01/06,
repurchase price $2,824,055
(collateralized by various
U.S. Government obligations,
ranging in par value $787,155-
$2,135,024, 0.000%-5.800%,
05/01/07-01/27/20; with total
market value $2,880,311) 2,824 2,824
- --------------------------------------------------------------------------------
72 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Lehman Brothers
5.300%, dated 11/30/06, to be
repurchased on 12/01/06,
repurchase price $51,385,906
(collateralized by various
U.S. Government obligations,
ranging in par value $380,306-
$64,115,492, 3.085%-8.625%,
12/21/07-01/15/30; with total
market value $52,406,217) $51,378 $ 51,378
----------
Total Repurchase Agreements
(Cost $94,441) ($ Thousands) 94,441
----------
Total Investments -- 122.6%
(Cost $2,242,308) ($ Thousands) $2,532,959
==========
A summary of the open future contracts held by the Fund at November 30, 2006, is
as follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
TYPE OF NUMBER OF EXPIRATION APPRECIATION
CONTRACT CONTRACTS DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
Russell 2000 Index E-Mini 524 Dec-2006 $3,055
======
Percentages are based on Net Assets of $2,066,967 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of November 30, 2006.
+ Real Estate Investments Trust
(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) This security or a partial position of this security is on loan at
November 30, 2006 (See Note 9). The total value of securities on loan at
November 30, 2006 was $439,023 ($ Thousands).
(C) This security was purchased with cash collateral held from securities
lending (See Note 9). The total value of such securities as of November 30,
2006 was $454,271 ($ Thousands).
(D) The rate reported is the effective yield at time of purchase.
(E) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of November 30, 2006.
(F) Securities considered illiquid. The total value of such securities as of
November 30, 2006 was $3,172 ($ Thousands) and represents 0.15% 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 November 30, 2006 was $51 ($ Thousands) and represented
0.00% of Net Assets.
(H) This security considered restricted. The total value of such securities as
of November 30, 2006 was $3,172 ($ Thousands) and represents 0.15% of Net
Assets.
(I) This warrant does not have a strike price or expiration date.
(J) Security, or portion thereof, has been pledged as collateral on open futures
contracts.
(K) Tri-Party Repurchase Agreement.
ADR -- American Depositary Receipt
CDO -- Collateralized Debt Obligation
Cl -- Class
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
EXL -- Extendable Maturity
LLC -- Limited Liability Company
MTN -- Medium Term Note
NIM -- Net Interest Margin
Ser -- Series
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 73
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Fund
November 30, 2006
- --------------------------------------------------------------------------------
[Bar Chart Omitted]
Plot points as follows:
SECTOR WEIGHTINGS++:
26.6% Financials
14.9% Information Technology
11.3% Industrials
10.8% Consumer Discretionary
8.4% Health Care
8.0% Short-Term Investments
4.8% Energy
4.2% Materials
3.2% Utilities
2.3% Consumer Staples
1.6% Commercial Paper
1.0% Asset-Backed Securities
1.0% Telecommunication Services
0.8% Master Note
0.6% Certificate of Deposit
0.4% Collateralized Debt Obligations
0.1% U.S. Treasury Obligations
0.0% Warrants
++Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 9).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 94.0%
CONSUMER DISCRETIONARY -- 13.0%
Abercrombie & Fitch, Cl A 9,994 $ 674
Advance Auto Parts 35,700 1,271
Amazon.com* 26,005 1,049
American Eagle Outfitters 25,861 1,168
American Greetings, Cl A (B) 25,200 600
Amerigon* 37,148 317
AnnTaylor Stores* 24,076 831
Arctic Cat 50,400 835
ArvinMeritor 10,117 175
Autoliv 52,483 3,076
Autonation (B)* 26,050 537
Barnes & Noble 33,665 1,347
Belo, Cl A 42,900 781
Benihana, Cl A* 26,393 739
Big Lots* 78,977 1,762
Black & Decker 10,400 893
Blockbuster, Cl A* 68,104 358
Blyth 1,800 46
Bon-Ton Stores 13,836 517
Books-A-Million (B) 27,480 577
Borders Group 109,900 2,517
BorgWarner 11,400 659
Boyd Gaming 8,519 361
Brinker International 71,168 3,236
Brown Shoe 57,199 2,714
Cablevision Systems, Cl A 70,257 1,951
Carter's (B)* 61,048 1,682
Cato, Cl A 58,500 1,389
CBRL Group 21,400 918
CEC Entertainment* 1,350 54
Centex 7,988 442
Champion Enterprises* 70,254 657
Charlotte Russe Holding* 19,591 591
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Charming Shoppes (B)* 123,911 $ 1,677
Chipotle Mexican Grill,
Cl A (B)* 38,800 2,248
Circuit City Stores (B) 67,500 1,685
Citadel Broadcasting 31,000 295
CKX* 46,700 571
Coach* 54,900 2,372
Coldwater Creek (B)* 25,992 654
Columbia Sportswear* 1,400 82
Corinthian Colleges* 5,400 70
CROCS (B)* 77,000 3,307
CSK Auto* 37,000 616
Deckers Outdoor (B)* 4,200 234
Dick's Sporting Goods (B)* 18,220 977
Dillard's, Cl A (B) 40,000 1,423
Directed Electronics* 6,800 98
Dollar Tree Stores (B)* 81,545 2,447
Dover Downs Gaming &
Entertainment (B) 9,600 128
Dress Barn (B)* 27,300 661
DXP Enterprises* 1,585 46
Eastman Kodak 16,857 439
Eddie Bauer Holdings* 247,700 2,266
Entercom Communications 52,171 1,406
Focus Media Holding ADR* 29,375 2,094
Foot Locker 42,348 970
Ford Motor 7,257 59
FTD Group* 7,100 124
Furniture Brands
International (B) 48,500 835
GameStop, Cl A (B)* 28,900 1,620
Gentex 42,395 702
Getty Images* 5,360 234
Gildan Activewear* 25,200 1,390
Goodyear Tire & Rubber (B)* 154,800 2,608
Gray Television 200,400 1,258
Group 1 Automotive (B) 37,255 1,900
GSI Commerce (B)* 94,268 1,543
Gymboree* 68,535 2,728
Handleman (B) 21,700 171
Harman International Industries 30,071 3,123
Harris Interactive* 63,187 303
Hasbro 115,316 3,085
Haverty Furniture 40,123 559
Hibbett Sporting Goods* 97,620 3,077
HOT Topic* 72,700 971
IAC/InterActive* 21,480 784
International Speedway, Cl A 3,465 180
ITT Educational Services (B)* 17,052 1,169
Jack in the Box* 29,920 1,840
Jackson Hewitt Tax Service 49,909 1,806
Jarden (B)* 82,941 3,067
Jo-Ann Stores* 1,700 34
John Wiley & Sons, Cl A 9,910 394
Jones Apparel Group 140,149 4,709
Jos. A. Bank Clothiers* 441 13
- --------------------------------------------------------------------------------
74 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
K2 (B)* 78,533 $ 1,062
KB Home (B) 18,900 977
Kellwood 34,124 1,066
Kimball International, Cl B 15,894 381
Knology* 30,410 304
Landry's Restaurants (B) 42,913 1,212
Laureate Education (B)* 45,744 2,377
Lear (B) 7,100 220
Life Time Fitness* 27,300 1,346
Lin TV, Cl A* 114,500 1,036
Liz Claiborne 700 30
LKQ (B)* 24,597 563
Lodgenet Entertainment* 44,506 1,053
Maidenform Brands* 10,000 191
Martha Stewart Living Omnimedia,
Cl A (B)* 53,300 1,106
Marvel Entertainment (B)* 44,200 1,242
Mattel 61,300 1,346
Morningstar* 29,183 1,307
Mothers Work* 20,119 825
New York* 72,474 939
Noble International 3,800 72
Nutri/System (B)* 31,800 2,196
O'Charleys* 15,555 313
OfficeMax 59,208 2,787
Orient-Express Hotels, Cl A 44,600 1,909
Panera Bread, Cl A (B)* 11,400 655
Payless Shoesource* 128,314 4,002
Penn National Gaming* 36,600 1,353
Perry Ellis International* 42,878 1,627
PetSmart 20,787 615
PF Chang's China Bistro (B)* 30,418 1,098
Pinnacle Entertainment (B)* 43,300 1,408
Polo Ralph Lauren 29,900 2,338
Pool (B) 27,529 1,128
Quiksilver (B)* 257,000 3,739
R.H. Donnelley 45,081 2,795
RCN* 27,400 824
Regal Entertainment Group,
Cl A (B) 149,600 3,113
Regis 25,500 977
Rent-A-Center* 81,895 2,239
Ryland Group (B) 18,700 986
Saks 105,789 2,171
Sauer-Danfoss 29,114 901
Scholastic* 29,263 975
Shuffle Master (B)* 47,200 1,470
Sirius Satellite Radio* 35,869 153
Snap-On 24,486 1,163
Sonic (B)* 63,200 1,484
Sonic Automotive 33,900 967
Sotheby's Holdings, Cl A* 2,200 68
Source Interlink* 5,566 50
Standard Motor Products 49,133 677
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Standard-Pacific 101,679 $ 2,609
Starwood Hotels & Resorts
Worldwide 62,800 4,030
Steinway Musical Instruments* 2,200 64
Strayer Education 2,500 275
Stride Rite 54,000 844
Sunterra* 88,866 924
Talbots 34,141 851
Technical Olympic USA (B) 38,400 358
Tempur-Pedic International (B)* 51,000 1,075
Tiffany 59,903 2,302
Tim Hortons 8,913 275
Timberland, Cl A* 48,000 1,500
Town Sports International
Holdings* 77,327 1,258
Trans World Entertainment* 48,100 326
TRW Automotive Holdings* 38,219 949
Tupperware Brands 29,200 620
Under Armour, Cl A (B)* 69,600 3,266
United Auto Group (B) 24,500 575
Urban Outfitters* 28,100 626
Valuevision Media, Cl A* 3,100 41
Vertrue (B)* 3,000 115
VF 13,700 1,074
VistaPrint (B)* 21,877 729
Volcom (B)* 49,700 1,611
Warnaco Group* 11,180 290
Weight Watchers International 78,300 3,832
West Marine* 12,357 214
Wet Seal, Cl A (B)* 76,000 552
Weyco Group 500 12
Whirlpool 21,994 1,876
Williams-Sonoma 7,006 222
Wynn Resorts (B) 15,500 1,362
Xerium Technologies 7,300 74
Yankee Candle 22,600 770
----------
202,113
----------
CONSUMER STAPLES -- 2.8%
Alliance One International* 121,063 785
Andersons 5,377 222
Avon Products 31,263 1,020
BJ's Wholesale Club* 57,800 1,867
Bunge 2,372 167
Central Garden & Pet* 5,154 269
Chattem (B)* 1,300 63
Clorox 15,305 980
Corn Products International 14,063 511
Del Monte Foods 96,500 1,089
Energizer Holdings (B)* 25,902 1,712
Hain Celestial Group* 103,800 3,118
Herbalife* 28,188 1,098
Imperial Sugar* 1,026 24
Lance 82,300 1,574
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 75
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Fund (Continued)
November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Loews - Carolina 62,871 $ 3,921
Longs Drug Stores 40,465 1,663
Mannatech (B) 9,200 137
MGP Ingredients (B) 11,400 249
Molson Coors Brewing, Cl B 30,457 2,165
Nash Finch (B) 29,994 793
NBTY* 76,677 2,787
Pantry* 6,700 328
PepsiAmericas 72,700 1,515
Pilgrim's Pride (B) 86,633 2,211
Ralcorp Holdings (B)* 38,800 1,965
Reddy Ice Holdings 25,463 631
Smart & Final* 3,700 67
Smithfield Foods (B)* 62,486 1,648
Spectrum Brands* 21,455 190
Supervalu 175,200 6,002
Tyson Foods, Cl A 63,284 1,006
UST 29,143 1,631
----------
43,408
----------
ENERGY -- 5.7%
Allis-Chalmers Energy* 3,920 83
Arch Coal 19,060 684
Arlington Tankers* 52,200 1,195
BA Energy (Canada)* 80,500 670
Basic Energy Services* 61,100 1,544
Bois d'Arc Energy (B)* 2,300 35
Bronco Drilling (B)* 89,400 1,727
Cabot Oil & Gas 27,250 1,693
Cameron International (B)* 60,456 3,284
Carrizo Oil & Gas* 21,812 726
Clayton Williams Energy* 16,400 648
Complete Production Services* 71,800 1,580
Compton Petroleum (Canada)* 62,300 659
Comstock Resources* 30,900 943
Consol Energy 33,902 1,245
Delek US Holdings 47,300 806
Denbury Resources (B)* 24,972 733
Dresser-Rand Group* 38,633 935
Encore Acquisition* 65,200 1,771
Evergreen Energy (B)* 76,600 674
EXCO Resources* 37,100 545
FMC Technologies* 39,100 2,346
Foundation Coal Holdings 27,500 1,021
Gasco Energy* 50,500 134
Grant Prideco* 91,100 3,992
Harvest Natural Resources* 5,400 55
Helix Energy Solutions
Group (B)* 158,311 5,823
Hercules Offshore (B)* 41,200 1,404
Hess 5,330 268
Holly 25,516 1,378
Hornbeck Offshore Services* 7,059 266
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Houston Exploration* 19,251 $ 1,080
Infinity Bio-Energy* 258,407 1,377
Input/Output (B)* 38,529 418
Lufkin Industries 8,400 491
Massey Energy 5,853 161
Matrix Service (B)* 15,000 240
Meridian Resource* 73,498 261
Na Oil Sands (Canada) (F) (H)* 160,000 1,681
NATCO Group, Cl A* 45,340 1,563
Newfield Exploration* 29,798 1,483
NS Group* 16,400 1,085
Oilsands Quest (B)* 251,500 1,366
OPTI (Canada)* 124,900 2,158
Parallel Petroleum* 39,882 788
Parker Drilling* 18,350 177
Patterson-UTI Energy 35,824 993
Petroquest Energy* 87,906 1,102
Pioneer Natural Resources 53,412 2,326
Plains Exploration & Production* 14,900 702
Range Resources 82,000 2,549
Rentech (B)* 307,800 1,237
Rowan 23,770 856
SEACOR Holdings (B)* 20,700 1,949
Southwestern Energy (B)* 62,779 2,645
St. Mary Land & Exploration 20,200 810
Stone Energy* 15,700 613
Sunoco (B) 36,200 2,467
Superior Energy Services* 54,338 1,770
Swift Energy (B)* 38,700 1,978
SXR Uranium One (Canada)* 139,586 1,797
Synenco Energy (Canada) (F) (H)* 12,051 177
Synenco Energy (Canada)* 16,100 236
Synenco Energy, Cl A (Canada)* 87,500 1,283
Tesoro 48,265 3,400
Tetra Technologies (B)* 102,264 2,643
Tidewater (B) 13,200 730
Trico Marine Services* 500 18
Universal Compression Holdings* 9,619 606
USEC 41,595 518
Vaalco Energy (B)* 29,200 245
VeraSun Energy (B)* 62,700 1,586
Veritas DGC* 1,919 150
W&T Offshore 4,200 146
Western Refining (B)* 26,200 742
----------
89,470
----------
FINANCIALS -- 20.8%
A.G. Edwards 44,954 2,601
Acadia Realty Trust+ 44,500 1,156
Advance America Cash Advance
Centers 7,000 99
Advanta, Cl B 35,600 1,624
- --------------------------------------------------------------------------------
76 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Affiliated Managers Group (B)* 75,764 $ 7,736
Affirmative Insurance Holdings 6,700 108
Alexandria Real Estate
Equities+ (B) 13,400 1,381
AllianceBernstein Holding 1,304 100
AMB Property+ 34,500 2,114
AmCOMP* 159,000 1,717
American Financial Group 101,919 5,321
American Home Mortgage
Investment+ (B) 156,976 5,552
American Physicians Capital* 6,133 245
AmeriCredit (B)* 59,400 1,393
Ameris Bancorp 1,900 53
Amvescap ADR 50,500 1,092
Anchor Bancorp Wisconsin 8,462 243
Annaly Capital Management+ 125,325 1,752
Anthracite Capital+ 113,771 1,441
Anworth Mortgage Asset+ 68,300 645
Arch Capital Group* 24,462 1,634
Archstone-Smith Trust+ 57,900 3,473
Argonaut Group* 4,800 163
Aspen Insurance Holdings (B) 56,400 1,520
Associated Banc 43,801 1,456
Assurant 35,133 1,931
Asta Funding (B) 14,500 477
Astoria Financial 30,300 906
AvalonBay Communities+ (B) 34,400 4,578
BancFirst 1,600 85
Bank of Hawaii 15,900 821
Bank of the Ozarks (B) 2,600 85
Bankunited Financial, Cl A (B) 89,486 2,282
BFC Financial, Cl A* 1,400 9
BioMed Realty Trust+ (B) 43,863 1,325
BlackRock, Cl A 4,542 651
Boston Private Financial
Holdings (B) 52,000 1,412
Brandywine Realty Trust+ (B) 64,800 2,278
BRE Properties, Cl A+ 23,800 1,538
Calamos Asset Management, Cl A 47,033 1,292
Camden Property Trust+ 52,750 4,206
Canaccord Capital (Canada) 108,900 1,592
Capital of the West 5,591 179
Capital Trust, Cl A+ 7,600 339
CapitalSource+ (B) 111,253 3,028
Cascade Bancorp (B) 1,625 49
Cash America International 48,635 2,147
CB Richard Ellis Group, Cl A* 13,789 454
Cedar Shopping Centers+ 13,701 250
Center Financial 5,500 124
Central Pacific Financial 51,518 1,930
Chemical Financial 29,400 960
Chicago Mercantile Exchange
Holdings 1,617 866
Citizens Banking 50,400 1,353
City Bank 11,384 609
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
City National 35,700 $ 2,421
Colonial BancGroup 91,300 2,228
Columbia Banking System 8,300 279
Commerce Bancshares 24,045 1,168
Commerce Group 23,185 707
Community Bancorp* 18,224 554
Community Bank System (B) 30,000 721
CompuCredit (B)* 49,899 1,879
Corporate Office Properties
Trust+ (B) 91,800 4,563
Corus Bankshares (B) 106,489 2,386
Crawford, Cl B 3,500 25
Cullen/Frost Bankers 12,400 676
DiamondRock Hospitality+ 35,300 625
Dime Community Bancshares 93,547 1,316
Dollar Financial* 48,500 1,419
Doral Financial 170,024 689
Douglas Emmett+* 108,500 2,854
Downey Financial 42,273 3,077
Dundee (Canada)+ 42,200 1,347
Dundee Wealth Management
(Canada) 93,300 1,009
E*Trade Financial* 197,600 4,756
East West Bancorp 56,700 2,019
Eaton Vance 78,122 2,492
EMC Insurance Group 14,200 490
Encore Capital Group* 3,400 47
Endurance Specialty Holdings (B) 48,927 1,836
Entertainment Properties Trust+ 23,403 1,421
Equity Inns+ 18,900 308
Equity Office Properties
Trust+ (B) 83,400 4,020
Equity Residential+ (B) 63,800 3,398
Essex Property Trust+ (B) 15,200 2,007
Extra Space Storage+ 112,900 2,080
Ezcorp, Cl A* 4,900 229
Federal Realty Investment Trust+ 30,500 2,598
Federated Investors, Cl B 39,051 1,296
FelCor Lodging Trust+ (B) 47,700 1,050
Financial Federal 18,800 521
First Cash Financial Services* 128,235 2,620
First Financial Holdings 1,600 60
First Horizon National 34,700 1,383
First Industrial Realty
Trust+ (B) 7,100 357
First Marblehead 4,688 351
First Mercury Financial* 46,400 979
First Midwest Bancorp 20,500 764
First Niagara Financial Group 181,000 2,601
First Regional Bancorp* 3,000 101
First Republic Bank 33,600 1,348
FirstFed Financial (B)* 64,470 4,192
FNB (Virginia) 600 23
Forest City Enterprises, Cl A 37,700 2,196
Fremont General (B) 31,200 531
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 77
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Fund (Continued)
November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Friedman Billings Ramsey Group,
Cl A+ (B) 61,700 $ 483
Frontier Financial (B) 10,000 300
Gluskin Sheff + Associates
(Canada)* 74,400 1,009
GMP Capital* 13,300 251
GMP Capital Trust (Canada)* 6,500 123
Gramercy Capital+ 6,600 185
Great Southern Bancorp 1,200 35
Greene County Bancshares 1,600 62
Greenhill (B) 34,400 2,398
Grubb & Ellis Realty Advisors* 200,000 1,220
Hanmi Financial 15,200 332
Hanover Insurance Group 53,976 2,557
Harbor Florida Bancshares 600 26
HCC Insurance Holdings (B) 32,750 989
Health Care Property
Investors+ (B) 66,600 2,416
Hersha Hospitality Trust+ 143,900 1,661
Highbury Financial (B)* 28,400 168
Highbury Financial Units* 63,600 601
Highland Hospitality+ 36,600 519
Highwoods Properties+ 19,200 783
Home Bancshares 39,500 877
Horace Mann Educators 70,000 1,415
Hospitality Properties Trust+ (B) 89,071 4,470
Host Hotels & Resorts+ (B) 81,900 2,066
HRPT Properties Trust+ 169,700 2,133
Huntington Bancshares 85,200 2,071
IMPAC Mortgage Holdings+ (B) 59,700 586
IndyMac Bancorp 76,147 3,499
Innkeepers USA Trust+ 44,000 704
Intervest Bancshares* 5,300 185
Investment Technology Group* 28,100 1,054
Irwin Financial 33,700 742
iStar Financial+ 31,614 1,479
ITLA Capital 4,199 223
Jefferies Group 67,200 1,948
Jones Lang LaSalle* 5,332 485
Kansas City Life Insurance 16,000 825
KBW (B)* 50,400 1,342
Knight Capital Group, Cl A* 37,089 653
LandAmerica Financial Group 24,700 1,509
LaSalle Hotel Properties+ 31,600 1,394
Legg Mason 1,522 145
Longview Fibre+ 10,675 222
LTC Properties+ 5,500 152
Macerich+ 45,500 3,889
Mack-Cali Realty+ 45,800 2,503
MAF Bancorp 3,504 154
Marsh & McLennan 49,586 1,558
MCG Capital 117,600 2,298
Medical Properties Trust+ 6,000 89
MetroCorp Bancshares 1,000 22
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
MFA Mortgage Investments+ 145,900 $ 1,135
MGIC Investment 39,720 2,302
Mid-State Bancshares 6,000 218
Move* 256,300 1,420
Nara Bancorp 10,600 215
Nasdaq Stock Market* 50,500 2,028
National Financial Partners 400 18
National Retail Properties+ (B) 8,600 205
Nationwide Financial Services,
Cl A (B) 68,294 3,551
Navigators Group* 7,809 361
New York Community Bancorp 192,715 3,114
Newcastle Investment+ 12,174 365
NNN Realty Ad* 135,000 1,350
Nuveen Investments, Cl A 56,200 2,789
Nymex Holdings (B)* 10,303 1,191
Ocwen Financial* 49,867 751
Odyssey Re Holdings 29,004 1,023
Old National Bancorp 50,500 948
Omega Healthcare Investors+ 30,600 542
OneBeacon Insurance Group* 24,100 663
Pacific Capital Bancorp 3,826 125
Penson Worldwide* 3,900 88
Peoples Bancorp 1,710 49
PFF Bancorp 35,000 1,155
Philadelphia Consolidated
Holding (B)* 19,300 860
Piper Jaffray* 49,321 3,209
Platinum Underwriters Holdings 82,310 2,505
PMI Group 25,604 1,109
Portfolio Recovery
Associates (B)* 55,900 2,552
Post Properties+ 48,400 2,315
Preferred Bank 3,600 205
Premierwest Bancorp 2,520 39
Presidential Life (B) 20,700 463
Prologis+ 48,900 3,187
Prosperity Bancshares 1,600 54
PS Business Parks+ 7,300 520
Public Storage+ (B) 36,654 3,529
Radian Group 34,500 1,836
RAIT Investment Trust+ (B) 35,900 1,197
Reinsurance Group of America (B) 15,500 855
Safeco (B) 33,800 2,047
Safety Insurance Group 17,377 910
Selective Insurance Group 2,100 117
Sierra Bancorp 1,000 31
Signature Bank* 9,200 296
Simon Property Group+ (B) 42,800 4,365
SL Green Realty+ (B) 21,300 2,881
Smithtown Bancorp (B) 1,300 36
South Financial Group 70,292 1,827
Southwest Bancorp 4,996 133
St. Joe 42,171 2,361
Stancorp Financial Group 22,500 1,022
- --------------------------------------------------------------------------------
78 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Sterling Bancorp 2,300 $ 43
Sterling Financial, Washington
Shares 43,052 1,444
Stewart Information Services 13,600 531
Strategic Hotels & Resorts+ (B) 101,000 2,197
Suffolk Bancorp 1,500 54
Sunstone Hotel Investors+ 30,400 848
SVB Financial Group (B)* 50,000 2,374
T Rowe Price Group 4,844 210
Taubman Centers+ (B) 27,800 1,375
Taylor Capital Group 12,646 464
TCF Financial 156,185 4,080
TD Ameritrade Holding 34,699 609
TD Banknorth 68,315 2,198
TierOne 12,722 397
Trammell Crow* 6,398 315
Transatlantic Holdings 2,598 161
Triad Guaranty* 18,170 978
Trico Bancshares 6,700 181
Trustmark 54,300 1,771
UCBH Holdings 44,873 757
Umpqua Holdings (B) 30,300 910
United Bankshares 38,400 1,481
United Fire & Casualty 32,817 1,158
United PanAm Financial* 1,100 13
United Security Bancshares/Fresno 600 15
Unitrin 37,200 1,820
Universal American Financial* 80,100 1,502
UnumProvident (B) 111,403 2,282
Vineyard National Bancorp 1,300 28
Waddell & Reed Financial, Cl A 21,500 536
Washington Federal 38,162 887
Washington Trust Bancorp 4,139 116
Webster Financial 21,446 1,024
Weingarten Realty Investors+ (B) 35,100 1,675
Westamerica Bancorporation 25,561 1,266
Whitney Holding 7,000 226
Wilshire Bancorp 7,800 149
Winston Hotels+ (B) 79,600 1,081
Winthrop Realty Trust+ 113,000 724
Wintrust Financial 27,200 1,295
World Acceptance (B)* 23,447 1,064
WSFS Financial 1,400 90
Zenith National Insurance 18,200 840
----------
324,438
----------
HEALTH CARE -- 10.1%
Abaxis* 16,923 327
Abraxis BioScience* 27,445 736
Adams Respiratory
Therapeutics (B)* 5,802 228
Advanced Magnetics* 25,781 1,436
Advanced Medical Optics* 3,100 109
Affymetrix (B)* 107,812 2,728
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Air Methods* 8,331 $ 219
Albany Molecular Research (B)* 66,638 740
Alkermes (B)* 174,465 2,648
Alpharma, Cl A 59,954 1,313
American Dental Partners* 5,869 104
American Medical Systems
Holdings* 16,391 282
AMERIGROUP* 51,624 1,765
Amsurg* 74,826 1,536
Amylin Pharmaceuticals* 3,262 130
Analogic 2,380 126
Applera - Celera Genomics Group* 75,200 1,079
Apria Healthcare Group (B)* 70,400 1,758
Arena Pharmaceuticals (B)* 59,500 768
Ariad Pharmaceuticals (B)* 196,600 1,056
Array Biopharma* 64,200 846
Arrow International 32,517 1,136
Axcan Pharma* 115,057 1,709
Bausch & Lomb 8,299 402
Beckman Coulter 6,665 396
Bio-Reference Labs* 8,023 195
Biogen Idec* 6,811 356
Biosite (B)* 35,500 1,733
Cardiome Pharma* 53,100 616
Cephalon (B)* 87,047 6,516
Cerner (B)* 31,600 1,519
Chemed 12,227 458
Community Health Systems* 92,888 3,251
Computer Programs & Systems 36,594 1,317
Cooper (B) 19,500 1,052
Corvel* 9,315 533
Covance (B)* 19,672 1,178
Cubist Pharmaceuticals* 98,000 1,995
CV Therapeutics (B)* 262,531 3,145
Cynosure* 82,179 1,381
Cytyc (B)* 70,490 1,848
Dade Behring Holdings 91,114 3,450
DaVita* 20,200 1,075
Dendreon (B)* 63,100 271
Dentsply International 20,736 662
Depomed (B)* 115,800 391
DJO* 44,700 1,901
Eclipsys* 8,700 184
Edwards Lifesciences* 17,695 811
Emdeon (B)* 132,300 1,568
Encysive Pharmaceuticals (B)* 194,300 1,174
Endo Pharmaceuticals Holdings* 98,851 2,680
Enzon Pharmaceuticals (B)* 85,445 712
eResearch Technology (B)* 161,400 1,036
Exelixis* 137,300 1,184
Express Scripts* 34,100 2,326
Gen-Probe* 5,305 259
Genzyme* 13,700 882
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 79
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Fund (Continued)
November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Greatbatch (B)* 10,654 $ 277
HealthSpring* 101,800 1,966
HealthTronics (B)* 11,400 77
Hillenbrand Industries (B) 3,700 214
Hologic (B)* 66,688 3,336
Human Genome Sciences (B)* 192,067 2,405
ICU Medical (B)* 18,170 734
Idexx Laboratories (B)* 6,423 544
ImClone Systems (B)* 13,000 389
Immucor* 63,813 1,717
IMS Health 19,430 534
Incyte (B)* 204,000 1,069
Inverness Medical Innovations* 12,000 468
Invitrogen (B)* 44,664 2,457
Kendle International* 1,700 60
Kindred Healthcare* 38,480 990
Kinetic Concepts* 46,900 1,702
King Pharmaceuticals (B)* 217,200 3,590
Lifecell (B)* 40,900 892
Lincare Holdings* 34,100 1,285
Luminex* 14,700 188
Magellan Health Services* 42,100 1,852
Manor Care 53,300 2,533
Matria Healthcare* 5,511 161
Medarex* 303,000 4,087
Medcath* 19,312 500
Medicis Pharmaceutical, Cl A 9,259 341
Mentor (B) 28,600 1,429
Merge Technologies* 67,519 411
Meridian Bioscience 8,464 206
Metabasis Therapeutics* 13,939 105
MGI Pharma (B)* 75,800 1,438
Micrus Endovascular* 143,100 2,816
Millennium Pharmaceuticals* 28,799 324
Molecular Devices* 6,600 139
Molina Healthcare* 9,551 325
Mylan Laboratories 4,500 91
Nastech Pharmaceutical (B)* 145,600 2,714
Nighthawk Radiology
Holdings (B)* 24,400 530
Noven Pharmaceuticals* 57,605 1,366
Odyssey HealthCare* 107,970 1,337
Omnicare 12,600 500
Omnicell* 11,190 210
Option Care 56,500 796
Pain Therapeutics (B)* 43,300 371
Par Pharmaceutical* 6,897 136
PDL BioPharma (B)* 106,800 2,425
Penwest Pharmaceuticals (B)* 69,707 1,198
PerkinElmer 60,600 1,313
Perrigo 36,758 616
PharmaNet Development Group* 17,633 401
Phase Forward (B)* 56,373 843
PolyMedica (B) 42,800 1,694
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Pozen* 19,900 $ 327
PRA International* 2,200 64
Profarma Distribuidora de
Productos Farmaceuticos
(Brazil)* 64,700 824
Progenics Pharmaceuticals* 9,500 260
Quidel* 31,106 423
Resmed* 8,557 428
Respironics* 23,771 857
Rigel Pharmaceuticals* 101,700 1,118
Savient Pharmaceuticals* 55,669 650
Sciele Pharma (B)* 115,500 2,611
SuperGen (B)* 189,289 899
SurModics (B)* 12,800 432
Symbion* 68,500 1,216
Techne (B)* 27,281 1,467
Telik (B)* 198,300 3,373
Tenet Healthcare* 83,795 594
Theravance* 37,203 1,164
United Therapeutics (B)* 54,700 3,185
Universal Health Services, Cl B 12,513 691
Valeant Pharmaceuticals
International 13,592 228
Vertex Pharmaceuticals* 8,400 372
Viropharma* 30,700 473
Waters* 10,028 502
Watson Pharmaceuticals* 41,895 1,075
WellCare Health Plans* 18,421 1,189
West Pharmaceutical Services 49,615 2,436
Zoll Medical* 22,152 1,149
----------
157,345
----------
INDUSTRIALS -- 13.5%
AAR* 38,800 1,032
ABX Air* 12,027 76
ACCO Brands* 16,400 416
Actuant, Cl A 8,785 475
Acuity Brands 57,072 3,006
Advisory Board* 22,753 1,262
AGCO (B)* 87,007 2,717
Alaska Air Group* 91,819 3,777
Albany International, Cl A 32,746 1,022
Alexander & Baldwin 8,412 371
Alliant Techsystems* 25,375 1,962
Allied Waste Industries (B)* 73,600 933
Amerco* 9,638 837
American Commercial Lines (B)* 32,903 2,281
American Power Conversion 17,930 544
American Science & Engineering (B)* 4,100 260
American Woodmark (B) 45,174 1,761
Ametek 52,541 1,713
AMR* 17,349 554
AO Smith 50,457 1,806
Aries Maritime Transport 95,800 940
Arkansas Best 20,367 772
- --------------------------------------------------------------------------------
80 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Armor Holdings* 23,000 $ 1,301
ASV* 2,500 37
Badger Meter 5,311 138
BE Aerospace* 66,413 1,741
Blount International* 70,700 831
Brink's 53,800 3,020
Bucyrus International, Cl A 30,750 1,313
Builders FirstSource (B)* 19,300 321
C&D Technologies 18,640 72
Central Parking 40,761 744
Cenveo* 13,833 275
Chicago Bridge & Iron (B) 71,150 2,062
Clean Harbors* 560 24
Columbus McKinnon* 13,390 311
Comfort Systems USA 36,378 491
COMSYS IT Partners* 5,000 92
Con-way 33,749 1,557
Consolidated Graphics (B)* 13,700 801
Continental Airlines, Cl B (B)* 63,397 2,576
Copart* 44,100 1,332
Corporate Executive Board (B) 26,300 2,489
Corrections of America (B)* 44,931 2,042
Covanta Holding* 6,778 150
Cummins 25,646 3,075
Curtiss-Wright 68,402 2,432
Deere 5,158 495
Deluxe 12,400 305
Dun & Bradstreet* 27,166 2,234
Dynamic Materials 82,800 2,385
DynCorp International, Cl A (B)* 65,000 852
EMCOR Group* 41,186 2,458
Energy Conversion Devices (B)* 18,800 718
EnerSys* 4,147 69
EnPro Industries* 28,500 994
Equifax 38,739 1,472
Essex* 59,100 1,407
ExpressJet Holdings* 191,092 1,510
Flint Energy Services (Canada)* 21,000 1,121
Fluor 1,936 169
Foster Wheeler* 46,459 2,508
Freightcar America (B) 26,500 1,460
Gardner Denver* 74,230 2,839
GATX 18,072 835
General Cable* 43,413 1,845
General Electric 12,148 429
Genlyte Group (B)* 24,571 2,085
Geo Group* 10,869 408
Global Cash Access* 143,000 2,292
Goodrich 42,903 1,931
GrafTech International (B)* 273,100 1,843
Granite Construction 72,808 3,757
Griffon (B)* 24,600 586
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Grupo Aeroportuario
del Sureste ADR 36,200 $ 1,596
H&E Equipment Services (B)* 36,400 882
Herman Miller 64,700 2,272
Hertz Global Holdings* 82,300 1,317
Honeywell International 7,140 307
Hudson Highland Group* 9,507 170
Huron Consulting Group* 7,100 292
ICF International* 80,766 1,405
IKON Office Solutions 249,753 4,039
Infrasource Services* 38,840 839
Innerworkings* 76,467 1,279
Jacobs Engineering Group* 33,012 2,769
JB Hunt Transport Services (B) 63,900 1,399
John H. Harland 33,800 1,449
Joy Global 156,550 6,873
Kaman 9,779 226
KBR (B)* 36,500 808
Kenexa (B)* 23,418 722
Kennametal 57,236 3,496
Kforce* 8,768 117
Kirby* 52,411 1,889
Knoll* 87,500 1,821
Ladish* 8,619 291
Lamson & Sessions (B)* 39,500 849
Landstar System 2,700 122
Lennox International 30,900 904
Lincoln Electric Holdings 8,184 498
Manpower 11,949 848
McGrath Rentcorp 4,300 135
Monster Worldwide* 36,900 1,611
Moog, Cl A* 36,740 1,344
MSC Industrial Direct, Cl A 39,200 1,525
Mueller Industries (B) 39,900 1,361
NACCO Industries, Cl A 1,951 291
Navistar International* 11,974 383
NCI Building Systems* 22,800 1,258
Oshkosh Truck 20,690 993
Pacer International* 4,412 132
PAM Transportation Services* 4,600 110
Pentair 7,328 233
Perini* 14,171 461
Quanta Services* 111,395 2,042
RailAmerica* 7,500 120
Railpower Technologies (Canada)* 38,900 19
Regal-Beloit 54,479 2,786
Republic Services 56,100 2,327
Robbins & Myers 28,674 1,227
Robert Half International 57,300 2,211
Roper Industries 43,600 2,237
Ryder System 44,393 2,316
Saia* 30,084 746
SAIC* 21,100 400
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 81
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Fund (Continued)
November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Sequa, Cl A* 546 $ 62
Shaw Group* 31,929 954
Simpson Manufacturing (B) 31,400 972
SIRVA* 8,235 31
Sitel* 23,880 99
Skywest 1,900 48
Spirit Aerosystems Holdings* 60,558 1,765
SPX 36,700 2,243
Standard Parking* 7,314 277
Standard Register 24,122 300
Stanley (B)* 24,634 413
Steelcase, Cl A 51,564 913
Stericycle* 3,105 225
Sun Hydraulics 200 4
Superior Essex* 14,578 516
Swift Transportation* 25,200 715
TAL International Group 69,500 1,731
Teleflex 18,296 1,182
Terex (B)* 22,400 1,255
Thomas & Betts* 25,400 1,317
Timken 10,900 324
UAL* 7,252 294
United Industrial (B) 3,300 161
United Rentals (B)* 105,100 2,634
United Stationers* 34,635 1,606
United Technologies 9,831 634
Universal Forest Products (B) 13,500 630
URS* 58,059 2,564
USG* 6,800 379
UTI Worldwide 65,800 1,961
Valley National Gases 700 18
Volt Information Sciences* 25,655 1,197
Wabtec 114,610 3,765
Walter Industries 50,450 2,426
Washington Group
International (B)* 62,732 3,687
Waste Connections* 27,404 1,106
Watson Wyatt Worldwide, Cl A 33,600 1,559
WESCO International* 38,700 2,589
Williams Scotsman International* 92,935 1,854
Woodward Governor 52,900 2,020
YRC Worldwide (B)* 40,500 1,569
----------
210,497
----------
INFORMATION TECHNOLOGY -- 17.9%
24/7 Real Media (B)* 176,800 1,542
Actel* 12,826 239
Activision (B)* 187,580 3,198
Acxiom 2,370 59
Adaptec* 342,400 1,493
ADC Telecommunications* 59,372 819
Advanced Energy Industries (B)* 40,000 689
Advanced Micro Devices* 6,170 133
Advent Software (B)* 33,900 1,239
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Agere Systems* 94,400 $ 1,692
Agilent Technologies* 3,247 103
Akamai Technologies (B)* 97,741 4,777
Altera (B)* 273,700 5,444
Altiris* 2,100 52
Amdocs* 98,200 3,786
AMIS Holdings* 25,301 273
Amkor Technology (B)* 141,228 1,443
Andrew* 292,202 2,913
Anixter International* 2,534 149
aQuantive (B)* 161,810 3,867
Ariba* 7,300 55
Arris Group* 94,426 1,127
Art Technology Group* 630,005 1,487
Aspen Technology (B)* 82,024 800
Asyst Technologies* 259,196 1,708
ATMI* 22,619 735
Avaya* 269,200 3,440
Avid Technology (B)* 23,498 916
Avnet* 158,090 3,919
Avocent* 1,032 36
AVX 62,833 976
Baidu.com ADR (B)* 6,306 730
Benchmark Electronics* 5,516 134
Black Box 24,000 1,028
Blackbaud 13,548 349
Blackboard (B)* 70,004 1,995
BMC Software (B)* 70,600 2,299
Brightpoint* 126,971 1,753
Broadcom, Cl A* 11,442 376
Brooks Automation (B)* 199,900 2,793
CA 1,900 41
CACI International, Cl A* 34,374 2,057
Carrier Access* 55,721 348
Ceridian* 7,400 181
CheckFree (B)* 81,843 3,422
Checkpoint Systems* 33,659 646
Cirrus Logic* 59,198 413
Citrix Systems* 66,860 1,922
CNET Networks (B)* 204,100 1,849
Cogent (B)* 102,900 1,166
Cohu 2,000 40
CommScope* 40,724 1,229
Concur Technologies (B)* 44,342 680
Convergys* 171,200 4,129
CPI International* 3,600 50
Credence Systems* 242,222 930
Cree (B)* 74,964 1,484
CSG Systems International (B)* 116,960 3,243
CTS 105,359 1,610
Cymer (B)* 81,120 3,833
Cypress Semiconductor* 120,649 2,098
DealerTrack Holdings* 49,499 1,353
- --------------------------------------------------------------------------------
82 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Digimarc* 41,300 $ 372
Digital Insight* 5,600 214
Diodes* 18,337 758
Earthlink (B)* 72,600 473
EFJ* 91,300 511
Electronics for Imaging* 92,078 2,256
Emergis (Canada)* 242,600 1,115
Emulex* 40,000 835
EPIQ Systems (B)* 70,352 1,099
eSpeed, Cl A* 6,900 65
Euronet Worldwide* 29,693 983
Extreme Networks* 41,403 165
F5 Networks* 31,771 2,377
Factset Research Systems 8,700 460
Fair Isaac 34,197 1,423
FEI* 6,900 168
Flextronics International* 363,600 4,090
Flir Systems* 14,325 461
Forrester Research* 14,128 397
Foundry Networks* 103,700 1,484
Global Imaging Systems* 19,700 420
Global Payments 40,600 1,859
Greenfield Online* 36,220 460
Hewitt Associates, Cl A* 74,072 1,881
Hutchinson Technology (B)* 78,300 1,866
Hyperion Solutions* 25,150 925
i2 Technologies (B)* 78,818 1,522
Ikanos Communications* 5,100 46
Imation 69,357 3,212
Informatica (B)* 66,500 801
infoUSA 11,600 141
Ingram Micro, Cl A* 24,229 494
Integrated Device Technology (B)* 99,098 1,635
Integrated Silicon Solutions* 16,456 102
Interdigital Communications (B)* 57,300 1,831
Intermec* 7,753 197
Internap Network Services (B)* 43,872 853
International Rectifier* 3,689 148
Intersil, Cl A 49,100 1,216
Interwoven* 65,427 927
Intevac* 45,849 1,251
Itron (B)* 32,594 1,564
Jack Henry & Associates 31,500 689
JDA Software Group* 110,600 1,582
Juniper Networks* 72,521 1,544
Jupitermedia (B)* 185,300 1,184
Komag (B)* 76,888 3,036
Kulicke & Soffa Industries* 5,500 45
L-1 Identity Solutions (B)* 20,641 346
Lattice Semiconductor* 333,100 2,262
Lawson Software* 231,459 1,722
Lexmark International, Cl A* 40,043 2,762
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Lightbridge* 114,970 $ 1,518
Littelfuse (B)* 12,900 404
LoJack* 3,900 59
LoopNet* 42,523 612
LSI Logic* 162,300 1,730
Magma Design Automation* 9,800 88
Manhattan Associates* 15,100 438
Mastec* 66,696 752
Mattson Technology* 11,800 112
MAXIMUS 38,600 1,129
McAfee* 29,273 855
McData, Cl A* 170,350 1,068
Mentor Graphics* 101,297 1,713
Methode Electronics 18,245 205
Mettler Toledo International* 39,599 3,066
Micros Systems* 19,235 979
Microsemi (B)* 134,200 2,771
MicroStrategy, Cl A (B)* 6,271 743
MKS Instruments (B)* 84,630 1,761
Monolithic Power Systems* 24,936 266
MTS Systems 6,113 234
Napco Security Systems* 1 --
National Semiconductor 1,500 36
NCR* 45,400 1,948
Net 1 UEPS Technologies (B)* 45,767 1,097
Novatel* 19,734 814
Novellus Systems (B)* 33,117 1,034
Nuance Communications (B)* 129,200 1,324
Omnivision Technologies (B)* 42,100 686
ON Semiconductor (B)* 161,700 1,041
OSI Systems (B)* 77,300 1,468
Palm* 75,500 1,058
Parametric Technology* 94,311 1,826
Parkervision (B)* 47,500 483
Parkervision* 58,000 590
Paxar* 28,928 618
Perot Systems, Cl A* 236,092 3,711
Photronics* 49,199 776
Pixelworks* 146,300 364
Plexus* 43,941 1,061
PMC - Sierra (B)* 253,300 1,928
Polycom (B)* 305,848 8,821
Power Integrations* 47,544 1,325
Presstek* 6,900 41
Rackable Systems (B)* 82,217 2,928
Radyne* 12,500 125
RealNetworks (B)* 70,700 813
Red Hat (B)* 204,900 3,565
RF Micro Devices (B)* 439,700 3,390
Sabre Holdings, Cl A 174,834 4,796
Salesforce.com (B)* 33,400 1,303
Sanmina-SCI* 79,621 295
Satyam Computer Services ADR (B) 73,100 1,707
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 83
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Fund (Continued)
November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Seachange International* 80,500 $ 694
Sigma Designs (B)* 42,989 1,124
Silicon Storage Technology* 212,319 979
SkillSoft ADR* 133,063 832
Skyworks Solutions* 374,671 2,720
Solectron* 669,600 2,230
Sonic Solutions* 39,500 622
Sonus Networks (B)* 183,235 1,151
Spatialight (B)* 126,367 220
Spatialight (H)* 59,000 93
Standard Microsystems* 3,064 98
Stratasys (B)* 25,194 758
Sun Microsystems* 259,709 1,408
Sunpower, Cl A (B)* 53,066 1,980
Sybase (B)* 132,058 3,161
Synchronoss Technologies (B)* 66,462 994
SYNNEX* 48,085 1,092
Synopsys (B)* 101,608 2,596
Syntel 58,745 1,734
TAC Acquisition* 181,100 1,009
Tech Data* 25,834 1,080
Technitrol 13,200 363
Tektronix 1,085 33
Tellabs* 166,300 1,670
Teradyne (B)* 62,597 933
THQ (B)* 92,300 3,004
TIBCO Software* 394,800 3,676
Total System Services 2,138 56
Trident Microsystems (B)* 85,519 1,794
Unisys* 23,498 169
United Online (B) 189,200 2,541
Valueclick* 59,871 1,489
Veeco Instruments* 24,400 458
VeriSign* 81,113 2,118
Vishay Intertechnology* 97,000 1,271
WebEx Communications (B)* 35,425 1,272
Websense* 7,200 184
Western Digital (B)* 165,700 3,400
Wind River Systems* 257,600 2,759
Wright Express (B)* 42,200 1,302
X-Rite 1,762 21
Zoran* 41,547 619
----------
278,701
----------
MATERIALS -- 5.1%
Airgas 87,527 3,724
AK Steel Holding* 68,242 1,125
Albemarle 26,379 1,840
Allegheny Technologies 31,600 2,833
Aptargroup 19,200 1,176
Ashland (B) 26,813 1,813
Balchem 63,500 1,648
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Bowater 20,388 $ 444
Buckeye Technologies* 103,542 1,216
Cabot 29,991 1,234
Carpenter Technology 13,592 1,452
Celanese, Ser A 101,100 2,224
Century Aluminum (B)* 14,093 601
Chaparral Steel* 19,678 915
Cleveland-Cliffs (B) 45,800 2,200
Commercial Metals 123,286 3,581
Crown Holdings* 125,400 2,583
Eagle Materials (B) 9,400 404
Eastman Chemical (B) 33,100 1,966
First Quantum Minerals (Canada) 42,000 2,200
FMC 35,120 2,489
Grande Cache Coal (Canada)* 214,600 148
Greif, Cl A 39,128 3,880
Headwaters* 57,809 1,383
Hercules 84,900 1,582
Innospec 10,365 441
Louisiana-Pacific 28,600 603
Lubrizol 48,100 2,277
Material Sciences* 4,561 55
MeadWestvaco (B) 58,400 1,723
Metal Management 8,575 314
Myers Industries 3,100 50
Neenah Paper 21,959 750
NewMarket* 2,591 163
Olympic Steel* 2,740 71
Omnova Solutions* 3,800 18
Owens-Illinois (B)* 22,000 416
Packaging of America 6,800 153
Pioneer* 7,000 189
PolyOne* 206,400 1,585
Pope & Talbot* 7,500 38
Quaker Chemical 2,234 47
Quanex 21,900 813
Reliance Steel & Aluminum 43,600 1,678
Rock-Tenn, Cl A 73,053 1,841
RPM International 38,400 775
RTI International Metals* 1,042 79
Schnitzer Steel Industries, Cl A 51,196 2,090
Schweitzer-Mauduit International 16,400 407
Sensient Technologies 24,800 591
Sherritt International (Canada)* 114,600 1,243
Silgan Holdings 7,366 318
Sonoco Products 57,700 2,134
Spartech 45,346 1,357
Steel Dynamics (B) 42,200 1,372
Symyx Technologies* 91,388 1,998
Temple-Inland 15,400 602
Texas Industries (B) 45,398 3,098
United States Steel 41,000 3,066
Wausau Paper 18,709 280
- --------------------------------------------------------------------------------
84 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Wellman 75,500 $ 266
Wheeling-Pittsburgh (B)* 80,800 1,421
----------
78,983
----------
TELECOMMUNICATION SERVICES -- 1.2%
Cbeyond (B)* 35,346 1,161
Centennial Communications* 20,400 133
CenturyTel 83,742 3,563
Citizens Communications 63,509 900
Commonwealth Telephone
Enterprises 23,900 996
Consolidated Communications
Holdings 5,869 109
CT Communications 45,502 927
Dobson Communications, Cl A (B)* 227,600 1,969
Fairpoint Communications 120,500 2,226
Golden Telecom 13,000 528
Level 3 Communications (B)* 324,709 1,734
Premiere Global Services* 34,800 284
Qwest Communications
International* 146,978 1,130
SBA Communications, Cl A* 66,271 1,880
Syniverse Holdings* 18,600 257
Talk America Holdings* 18,679 149
----------
17,946
----------
UTILITIES -- 3.9%
AES* 8,503 199
AGL Resources 95,497 3,668
Alliant Energy 86,418 3,362
Avista 28,900 778
Black Hills 89,117 3,182
CenterPoint Energy 66,000 1,079
El Paso Electric 7,200 179
Empire District Electric 21,398 514
Energen 44,384 2,013
Equitable Resources 21,976 953
Laclede Group 9,400 344
MDU Resources Group 76,200 2,007
New Jersey Resources 36,673 1,898
Nicor (B) 36,200 1,794
Northeast Utilities 11,671 327
NRG Energy (B)* 38,300 2,180
OGE Energy 59,944 2,351
Oneok 48,005 2,076
Ormat Technologies (B) 56,800 2,093
Peoples Energy 27,273 1,183
Pepco Holdings 73,300 1,879
Pinnacle West Capital (B) 76,015 3,751
PNM Resources 93,510 2,871
Progress Energy 19,344 924
Puget Energy 106,032 2,634
Reliant Energy* 114,709 1,539
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
SCANA 37,444 $ 1,545
Sempra Energy 13,400 730
South Jersey Industries 933 31
Southern Union 29,800 835
Southwest Gas 5,959 224
TECO Energy 9,148 155
UGI (B) 90,331 2,546
Unisource Energy (B) 10,517 386
Vectren 46,041 1,315
Westar Energy 86,928 2,311
WGL Holdings 60,500 2,000
Wisconsin Energy 48,850 2,285
----------
60,141
----------
Total Common Stock
(Cost $1,279,404) ($ Thousands) 1,463,042
----------
CORPORATE OBLIGATIONS (C) -- 11.1%
FINANCIALS -- 11.1%
Allstate Life Global Funding II
MTN (A) (E)
5.360%, 12/17/07 $ 2,712 2,712
American General Finance (A) (E)
5.350%, 12/17/07 8,548 8,547
Bear Stearns EXL (E)
5.360%, 12/17/07 10,493 10,493
Countrywide Financial MTN (E)
5.448%, 10/31/07 12,379 12,379
Dekabank (A) (E)
5.394%, 11/20/07 10,906 10,905
Irish Life & Permanent MTN,
Ser X (A) (E)
5.360%, 12/21/07 7,840 7,840
Islandsbanki (A) (E)
5.370%, 04/06/07 13,853 13,853
Jackson National Life Funding
(A) (E)
5.320%, 12/03/07 12,969 12,969
Kaupthing Bank MTN (A) (E)
5.380%, 03/20/07 14,737 14,737
Landsbanki Islands (A) (E)
5.400%, 03/16/07 11,200 11,200
Morgan Stanley EXL (E)
5.380%, 01/04/08 2,063 2,063
Morgan Stanley EXL, Ser S (E)
5.340%, 12/05/07 2,947 2,947
Natexis Banques (A) (E)
5.300%, 12/17/07 5,748 5,747
Nationwide Building Society
(A) (E)
5.424%, 10/26/07 3,242 3,242
5.350%, 12/07/07 5,895 5,895
Nordbank (A) (E)
5.350%, 12/24/07 10,021 10,020
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 85
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Fund (Continued)
November 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
Northern Rock (A) (E)
5.360%, 12/03/07 $ 6,072 $ 6,072
Pacific Life Global Funding (A)
5.370%, 12/13/07 4,421 4,421
Premium Asset Trust,
Ser 2004-10 (A) (E)
5.360%, 12/17/07 8,253 8,253
SLM EXL, Ser S (A) (E)
5.320%, 12/17/07 6,484 6,484
Skandinav Enskilda Bank (A) (E)
5.320%, 12/18/07 6,484 6,484
Stanfield Victoria MTN (A)
5.445%, 06/11/07 5,895 5,895
----------
Total Corporate Obligations
(Cost $173,158) ($ Thousands) 173,158
----------
CASH EQUIVALENT -- 5.4%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.300%** 83,345,821 83,346
----------
Total Cash Equivalent
(Cost $83,346) ($ Thousands) 83,346
----------
COMMERCIAL PAPER (C) (D) -- 2.4%
FINANCIALS -- 2.4%
Broadhollow Funding
5.305%, 12/07/06 3,301 3,298
KKR Pacific Funding Trust
5.345%, 12/27/06 5,895 5,872
5.305%, 01/02/07 2,947 2,934
Ocala Funding LLC
5.320%, 12/18/06 2,947 2,940
5.320%, 01/26/07 2,947 2,923
Rhineland Funding Capital
5.385%, 01/25/07 3,714 3,684
5.364%, 12/27/06 2,947 2,936
5.364%, 02/13/07 2,918 2,886
5.313%, 12/12/06 1,940 1,937
Witherspoon Funding Limited
5.329%, 12/15/06 2,947 2,941
Witherspoon Funding,
Ser 2004-1A (E)
5.330%, 03/15/07 5,088 5,088
----------
Total Commercial Paper
(Cost $37,439) ($ Thousands) 37,439
----------
ASSET-BACKED SECURITIES (A) (C) (E) -- 1.2%
MORTGAGE RELATED SECURITIES -- 1.2%
Commodore, Ser 2003-2A,
Cl A1MM
5.470%, 12/12/38 2,712 2,712
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Duke Funding, Ser 2004-6B,
Cl A1S1
5.440%, 10/09/07 $ 4,421 $ 4,421
Newcastle CDO, Ser 2005-6A,
Cl IM1
5.340%, 04/24/07 1,179 1,179
Park Place Securities NIM Trust,
Ser 2004-MM1, Cl MM1
5.350%, 02/26/07 1,751 1,751
Saturn Ventures II
5.380%, 02/07/07 4,747 4,747
TIAA Real Estate CDO,
Ser 2003 1A, Cl A1MM
5.350%, 09/28/07 4,384 4,384
----------
Total Asset-Backed Securities
(Cost $19,194) ($ Thousands) 19,194
----------
MASTER NOTE (C) (D) -- 1.0%
Bank of America
5.383%, 12/01/45 14,737 14,737
----------
Total Master Note
(Cost $14,737) ($ Thousands) 14,737
----------
CERTIFICATES OF DEPOSIT (C) -- 0.7%
Barclays Bank (E)
5.330%, 06/11/07 2,947 2,947
CC USA MTN (A)
5.379%, 06/18/07 5,895 5,895
U.S. Trust of New York (E)
5.316%, 03/13/07 2,358 2,358
----------
Total Certificates of Deposit
(Cost $11,200) ($ Thousands) 11,200
----------
U.S. TREASURY OBLIGATION (D) (J) -- 0.2%
U.S. Treasury Bill
4.880%, 02/22/07 2,645 2,615
----------
Total U.S. Treasury Obligation
(Cost $2,615) ($ Thousands) 2,615
----------
Number of
Warrants
----------
WARRANTS -- 0.0%
Infinity Bio-Energy,
Expires 05/23/10* 516,814 248
Parkervision (F) (G) (H) (I)* 20,750 67
TAC Acquisition,
Expires 06/28/10* 362,200 94
----------
Total Warrants
(Cost $366) ($ Thousands) 409
----------
- --------------------------------------------------------------------------------
86 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS (C) (K) -- 4.3%
ABN Amro
5.300%, dated 11/30/06, to be
repurchased on 12/01/06,
repurchase price $23,582,968
(collateralized by various
U.S. Government obligations,
ranging in par value $294,744-
$8,842,311, 0.000%-6.000%,
03/01/07-07/01/36; with total
market value $24,051,086) $23,579 $23,579
Barclays
5.300%, dated 11/30/06, to be
repurchased on 12/01/06,
repurchase price $5,018,573
(collateralized by various
U.S. Government obligations,
ranging in par value $109,939-
$1,563,321, 2.750%-5.700%,
12/15/06-05/27/15; with total
market value $5,118,271) 5,018 5,018
Deutsche Bank
5.300%, dated 11/30/06, to be
repurchased on 12/01/06,
repurchase price $2,007,028
(collateralized by various
U.S. Government obligations,
ranging in par value $559,424-
$1,517,341, 0.000%-5.800%,
05/01/07-01/27/20; with total
market value $2,047,009) 2,007 2,007
Lehman Brothers
5.300%, dated 11/30/06, to be
repurchased on 12/01/06,
repurchase price $36,519,463
(collateralized by various
U.S. Government obligations,
ranging in par value $270,280-
$45,566,256, 3.085%-8.625%,
12/21/07-01/15/30; with total
market value $37,244,588) 36,514 36,514
----------
Total Repurchase Agreements
(Cost $67,118) ($ Thousands) 67,118
----------
Total Investments -- 120.3%
(Cost $1,688,577) ($ Thousands) $1,872,258
==========
A summary of the open future contracts held by the Fund at November 30, 2006, is
as follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
TYPE OF NUMBER OF EXPIRATION APPRECIATION
CONTRACT CONTRACTS DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
Russell 2000 Index E-Mini 505 Dec-2006 $2,148
S&P Mid 400 Index E-Mini 448 Dec-2006 1,763
------
$3,911
======
Percentages are based on Net Assets of $1,555,865 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of November 30, 2006.
+ Real Estate Investments Trust
(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) This security or a partial position of this security is on loan at November
30, 2006 (See Note 9). The total value of securities on loan at November 30,
2006 was $313,892 ($ Thousands).
(C) This security was purchased with cash collateral held from securities
lending (See Note 9). The total value of such securities as of November 30,
2006 was $322,846 ($ Thousands).
(D) The rate reported is the effective yield at time of purchase.
(E) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of November 30, 2006.
(F) Securities considered illiquid. The total value of such securities as of
November 30, 2006 was $2,018 ($ Thousands) and represents 0.13% 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
November 30, 2006 was $67 ($ Thousands) and represents 0.00% of Net Assets.
(H) This security considered restricted. The total value of such securities as
of November 30, 2006 was $2,018 ($ Thousands) and represents 0.13% of Net
Assets.
(I) This warrant does not have a strike price or expiration date.
(J) Security, or portion thereof, has been pledged as collateral on open futures
contracts.
(K) 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
Ser -- Series
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 87
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund
November 30, 2006
- --------------------------------------------------------------------------------
[Bar Chart Omitted]
Plot Points as follows:
SECTOR WEIGHTINGS
23.1% U.S. Government Mortgage Backed
17.6% Asset-Backed Securities
16.6% Financials
14.1% U.S. Treasury Obligations
10.6% Short-Term Investments
7.0% U.S. Government Agency Obligations
2.7 Commercial Paper
1.6% Energy
1.1% Industrials
1.0% Telecommunication Services
1.0% Utilities
0.8% Sovereign Bonds
0.8% Consumer Discretionary
0.7% Master Note
0.5% Certificates of Deposit
0.3% Consumer Staples
0.2% Health Care
0.2% Materials
0.1% Municipal Bonds
++Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 9).
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS -- 31.9%
CONSUMER DISCRETIONARY -- 1.1%
COX Communications
7.875%, 08/15/09 $ 440 $ 468
Clear Channel Communications
4.250%, 05/15/09 1,040 1,012
Clear Channel Communications (J)
6.250%, 03/15/11 2,740 2,658
Comcast
9.000%, 09/01/08 710 755
6.500%, 01/15/15 3,635 3,843
6.500%, 01/15/17 1,825 1,934
5.650%, 06/15/35 600 564
5.900%, 03/15/16 (J) 2,700 2,750
Comcast Cable Communications
8.375%, 03/15/13 4,025 4,632
6.750%, 01/30/11 5,950 6,297
DaimlerChrysler
8.500%, 01/18/31 910 1,112
7.300%, 01/15/12 1,995 2,138
6.500%, 11/15/13 1,195 1,243
DaimlerChrysler MTN
5.750%, 09/08/11 2,110 2,122
Ford Motor
9.980%, 02/15/47 3,000 2,677
7.500%, 08/01/26r (J) 2,100 1,649
7.450%, 07/16/31r (J) 2,770 2,192
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
General Motors (J)
8.375%, 07/15/33 $ 2,940 $ 2,679
News America
6.400%, 12/15/35 1,805 1,844
6.200%, 12/15/34 1,815 1,810
Target (J)
4.000%, 06/15/13 355 334
Time Warner
7.700%, 05/01/32 4,185 4,845
6.875%, 05/01/12 350 374
Time Warner Entertainment
8.375%, 07/15/33 3,160 3,923
Tulane University of
Louisiana (C) (F)
6.205%, 02/15/07 1,822 1,822
Viacom
5.750%, 04/30/11 3,865 3,897
--------
59,574
--------
CONSUMER STAPLES -- 0.3%
Altria Group
7.750%, 01/15/27 1,765 2,204
7.000%, 11/04/13 3,450 3,805
Diageo Capital
5.500%, 09/30/16 2,870 2,882
Kraft Foods (J)
5.625%, 11/01/11 1,760 1,797
5.250%, 10/01/13 1,875 1,879
Mohawk
5.750%, 01/15/11 3,500 3,523
Philip Morris Capital
7.500%, 07/16/09 1,155 1,208
Reynolds American (C) (J)
7.875%, 05/15/09 1,630 1,705
--------
19,003
--------
ENERGY -- 2.2%
Anadarko Finance, Ser B
7.500%, 05/01/31 5,363 6,340
6.750%, 05/01/11 2,885 3,053
Anadarko Petroleum
6.450%, 09/15/36 5,490 5,815
5.790%, 12/15/06 4,650 4,668
Andarko Petroleum
5.950%, 09/15/16 2,470 2,534
BP Canada Finance
3.625%, 01/15/09 2,740 2,671
Cameron Highway Oil Pipe, Ser A
5.860%, 12/15/17 848 849
Canadian Natural Resources
6.500%, 02/15/37 1,145 1,185
- --------------------------------------------------------------------------------
88 SEI Institutional Investments Trust/Semi-Annual Report/November 30,2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Conoco Funding
7.250%, 10/15/31 $ 885 $ 1,078
6.950%, 04/15/29 7,425 8,704
6.350%, 10/15/11 430 454
ConocoPhillips
5.900%, 10/15/32 (J) 1,150 1,210
4.750%, 10/15/12 880 869
Devon Energy
7.950%, 04/15/32 3,835 4,826
Devon Financing
6.875%, 09/30/11 2,385 2,550
Duke Capital LLC
8.000%, 10/01/19 675 801
7.500%, 10/01/09 2,075 2,193
5.500%, 03/01/14 1,140 1,143
EMP Nacional del Petrole (C)
6.750%, 11/15/12 171 182
4.875%, 03/15/14 892 856
El Paso
6.950%, 06/01/28 2,250 2,174
El Paso MTN (J)
7.800%, 08/01/31 2,100 2,226
7.750%, 01/15/32 3,375 3,578
Encana
6.500%, 08/15/34 1,031 1,101
Energy Transfer Partners
5.650%, 08/01/12 1,740 1,754
GAZ Capital (C)
6.212%, 11/22/16 7,738 7,727
Hess
7.300%, 08/15/31 6,761 7,751
ITC Holdings (C)
6.375%, 09/30/36 1,071 1,107
5.875%, 09/30/16 1,060 1,071
Kansas Gas & Electric
5.647%, 03/29/21 2,750 2,747
Kinder Morgan Energy Partners
7.125%, 03/15/12 1,760 1,881
5.000%, 12/15/13 1,190 1,146
Mantis Reef II (C)
4.799%, 11/03/09 1,095 1,075
Nevada Power, Ser M
5.950%, 03/15/16 2,450 2,486
Pemex Project Funding Master Trust
7.375%, 12/15/14 980 1,083
6.690%, 12/15/06 (C) (F) 1,411 1,447
6.625%, 06/15/35 (C) 2,909 2,982
6.625%, 06/15/35 (J) 1,535 1,573
Petrobras International Finance
6.125%, 10/06/16 3,790 3,809
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Petroleum Export (C)
5.265%, 06/15/11 $ 687 $ 672
4.623%, 06/15/10 460 455
Plains (C)
6.650%, 01/15/37 1,120 1,175
6.125%, 01/15/17 2,235 2,288
Ras Laffan (C)
6.332%, 09/30/27 2,050 2,156
Ras Laffan LNG II (C)
5.298%, 09/30/20 879 860
Sonat
7.625%, 07/15/11 2,880 2,988
Southern Power, Ser E
6.375%, 11/15/36 1,144 1,164
Williams
8.750%, 03/15/32 2,840 3,188
7.750%, 06/15/31 740 770
Williams, Ser A (J)
7.500%, 01/15/31 310 319
XTO Energy
7.500%, 04/15/12 1,320 1,449
YPF Sociedad Anonima MTN, Ser A
7.750%, 08/27/07 3,000 3,034
--------
121,217
--------
FINANCIALS -- 22.6%
ABX Financing (C)
6.350%, 10/15/36 5,200 5,328
ACE (J)
6.700%, 05/15/36 1,365 1,527
ASIF Global Financing XIX (C)
4.900%, 01/17/13 450 444
Aegon (F)
5.413%, 01/15/07 1,711 1,463
Aiful (C)
5.000%, 08/10/10 2,620 2,565
4.450%, 02/16/10 2,216 2,136
Allied Capital
6.625%, 07/15/11 4,660 4,784
Allied World Assurance
7.500%, 08/01/16 2,000 2,192
Allstate Life Global
Funding II MTN (F) (K)
5.360%, 12/17/07 9,543 9,543
American Express Travel (C)
5.250%, 11/21/11 5,260 5,309
American General Finance
(C) (F) (K)
5.350%, 12/17/07 30,083 30,081
American International Group
5.600%, 10/18/16 1,130 1,161
4.700%, 10/01/10 (C) 2,750 2,723
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30,2006 89
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Apache Finance Canada
4.375%, 05/15/15 $ 2,410 $ 2,257
Australia & New Zealand
Banking Group (F)
5.400%, 10/29/49 1,590 1,376
BAC Capital Trust XI
6.625%, 05/23/36 2,235 2,477
BNP Paribas (F)
5.445%, 03/23/07 1,080 922
Banco Mercantile (C) (F)
6.135%, 10/13/16 1,607 1,629
Banco Santander Chile
7.375%, 07/18/12 659 725
Bank One
7.875%, 08/01/10 4,440 4,858
Bank of America
7.400%, 01/15/11 3,300 3,594
5.375%, 06/15/14 1,760 1,788
4.250%, 10/01/10 1,470 1,435
Bank of Ireland (F)
5.688%, 12/05/06 780 677
Bank of Nova Scotia (F)
5.625%, 02/23/07 640 550
Bank of Scotland (F)
5.563%, 11/29/49 330 282
Bankamerica Capital II
8.000%, 12/15/26 402 418
Banponce Trust I, Ser A
8.327%, 02/01/27 2,410 2,516
Barclays Bank (F)
5.750%, 01/02/07 370 322
Bear Stearns EXL (F) (K)
5.360%, 12/17/07 36,929 36,929
Boeing Capital (J)
6.500%, 02/15/12 340 363
5.800%, 01/15/13 315 328
Capital One Bank
4.875%, 05/15/08 2,750 2,738
Capital One Financial
8.750%, 02/01/07 3,806 3,825
6.150%, 09/01/16 1,715 1,799
5.500%, 06/01/15 840 849
Capital One III
7.686%, 08/15/36 965 1,120
Chase Capital I, Ser A
7.670%, 12/01/26 4,101 4,261
Chuo Mitsui Trust &
Banking (C) (F)
5.506%, 12/15/49 1,681 1,631
Cigna
6.150%, 11/15/36 1,620 1,658
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Citigroup
5.850%, 08/02/16 $ 2,310 $ 2,423
5.100%, 09/29/11 2,310 2,323
4.125%, 02/22/10 (J) 6,820 6,657
3.625%, 02/09/09 5,910 5,746
Citigroup Capital II
7.750%, 12/01/36 873 903
Corp Andina de Fomento
5.125%, 05/05/15 678 662
Countrywide Financial MTN (F) (K)
5.448%, 10/31/07 43,568 43,568
Countrywide Home Loans MTN, Ser L
2.875%, 02/15/07 2,440 2,428
Credit Suisse First Boston (F)
5.500%, 12/19/06 565 482
Credit Suisse First Boston
London (C) (F) (L)
0.000%, 12/24/06 11,540 10,419
Credit Suisse USA (J)
5.850%, 08/16/16 905 949
5.500%, 08/16/11 4,030 4,106
Dekabank (F) (K)
5.394%, 11/20/07 38,381 38,378
Den Norske Bank (F)
5.688%, 02/18/07 110 94
5.563%, 02/27/07 650 549
Deutsche Bank Capital
Funding Trust (C) (F) (J)
5.628%, 01/19/49 7,789 7,733
Developers Divers Realty MTN+
7.000%, 03/19/07 1,100 1,105
Developers Divers Realty+
5.375%, 10/15/12 2,555 2,562
Dresdner Funding Trust I (C)
8.151%, 06/30/31 1,379 1,712
Dryden Investor Trust (C) (H)
7.157%, 07/23/08 1,889 1,918
EOP Operating
4.750%, 03/15/14 1,585 1,571
Eksportfinans
5.500%, 05/25/16 4,250 4,458
Eksportfinans, Ser G MTN
5.125%, 10/26/11 1,078 1,091
Equity One+
3.875%, 04/15/09 7,100 6,856
Farmers Exchange Capital (C)
7.200%, 07/15/48 3,900 4,054
7.050%, 07/15/28 1,563 1,676
Farmers Insurance Exchange (C)
8.625%, 05/01/24 4,518 5,541
- --------------------------------------------------------------------------------
90 SEI Institutional Investments Trust/Semi-Annual Report/November 30,2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
First Chicago NBD Institutional
Capital A (C)
7.950%, 12/01/26 $ 187 $ 194
First Industrial
7.600%, 07/15/28 3,400 3,905
First Industrial MTN
7.500%, 12/01/17 2,765 3,138
Ford Motor Credit
7.875%, 06/15/10 7,200 7,233
7.375%, 10/28/09 15,740 15,714
7.250%, 10/25/11 329 321
7.000%, 10/01/13 8,075 7,745
6.625%, 06/16/08 10,480 10,422
Ford Motor Credit MTN
7.750%, 02/15/07 4,435 4,443
Fund American
5.875%, 05/15/13 1,354 1,364
GE Capital Franchise MTN+
6.860%, 06/15/07 1,100 1,108
GE Global Insurance
7.000%, 02/15/26 1,300 1,485
GMAC
6.125%, 01/22/08 415 415
General Electric Capital MTN
5.375%, 10/20/16 1,545 1,571
General Electric Capital MTN,
Ser A
6.750%, 03/15/32 1,140 1,347
6.000%, 06/15/12 4,750 4,971
3.750%, 12/15/09 3,732 3,610
General Motors Acceptance
8.000%, 11/01/31 2,567 2,877
7.750%, 01/19/10 2,370 2,481
7.600%, 12/25/06 (F) 15,205 15,845
7.250%, 03/02/11 2,755 2,868
6.875%, 09/15/11 1,283 1,321
6.750%, 12/01/14 2,655 2,722
6.324%, 01/18/07 (F) 3,340 3,346
6.125%, 08/28/07 9,860 9,856
5.625%, 05/15/09 7,680 7,632
Glitnir Bank
6.693%, 06/15/16 (F) 4,480 4,673
6.330%, 07/28/11 (C) 2,440 2,532
Goldman Sachs Group
6.600%, 01/15/12 (J) 2,630 2,805
6.450%, 05/01/36 1,160 1,244
5.950%, 01/15/27 2,235 2,268
5.350%, 01/15/16 1,245 1,247
5.125%, 01/15/15 4,190 4,144
Great Western Finance Trust II,
Ser A
8.206%, 02/01/27 494 516
HBOS (C) (F)
5.375%, 11/29/49 2,198 2,195
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
HBOS Treasury Services (C)
5.000%, 11/21/11 $ 6,300 $ 6,327
HSBC Bank (F)
5.875%, 12/19/06 1,210 1,041
5.663%, 12/11/06 2,320 1,949
HSBC Finance
8.000%, 07/15/10 2,330 2,554
7.000%, 05/15/12 1,975 2,149
6.375%, 11/27/12 365 388
4.750%, 04/15/10 (J) 7,485 7,411
HSBC Holdings
6.500%, 05/02/36 1,625 1,802
HVB Funding Trust III (C)
9.000%, 10/22/31 1,180 1,581
Hartford Financial Services
Group (J)
5.500%, 10/15/16 2,765 2,813
Highwoods Realty+
7.500%, 04/15/18 3,888 4,406
7.125%, 02/01/08 3,803 3,869
ILFC E-Capital Trust II
6.250%, 12/21/65 1,090 1,122
International Lease Finance MTN
5.590%, 02/24/07 (F) 1,725 1,731
5.450%, 03/24/11 3,650 3,693
5.400%, 02/15/12 2,795 2,828
Irish Life & Permanent MTN,
Ser X (F) (K)
5.360%, 12/21/07 27,593 27,591
Islandsbanki (C) (F) (K)
5.370%, 04/06/07 48,755 48,755
JPMC Capital XVIII, Ser R
6.950%, 08/17/36 2,085 2,311
JPMorgan
8.750%, 02/28/07 2,751 2,682
JPMorgan Capital Trust I
7.540%, 01/15/27 697 723
JPMorgan Capital Trust II
7.950%, 02/01/27 180 187
JPMorgan Chase
5.750%, 01/02/13 3,670 3,783
5.600%, 06/01/11 (J) 4,220 4,315
5.150%, 10/01/15 400 397
5.125%, 09/15/14 2,075 2,062
Jackson National Life
Funding (C) (F) (K)
5.320%, 12/03/07 45,643 45,643
Kaup Bank
6.600%, 12/28/15 3,000 2,860
Kaupthing Bank (C)
7.125%, 05/19/16 12,000 12,865
5.750%, 10/04/11 1,120 1,126
5.372%, 01/12/07 6,870 6,907
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30,2006 91
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Kaupthing Bank MTN (F) (K)
5.380%, 03/20/07 $ 51,867 $ 51,867
Korea Development Bank
4.250%, 11/13/07 560 555
Landsbanki Islands (C)
6.100%, 08/25/11 6,520 6,680
Landsbanki Islands (C) (F) (K)
5.400%, 03/16/07 39,419 39,419
Lazard Group
7.125%, 05/15/15 2,465 2,595
Lehman Brothers Holdings
7.000%, 02/01/08 2,765 2,821
5.750%, 01/03/17 1,645 1,685
Lehman Brothers Holdings MTN
5.750%, 07/18/11 (J) 4,000 4,108
5.750%, 05/17/13 3,435 3,530
Lehman Brothers Holdings MTN,
Ser H (F) (M)
0.000%, 11/30/10 3,736 3,424
0.000%, 06/20/16 4,940 4,991
Lehman Brothers Holdings MTN (F)
11.000%, 11/07/16 5,269 5,327
Liberty Mutual Group (C) (J)
7.500%, 08/15/36 1,939 2,190
Liberty Property+
7.750%, 04/15/09 1,026 1,079
6.375%, 08/15/12 350 369
Lloyds TSB Bank, Ser 1 (F)
5.750%, 05/14/07 430 377
Lloyds TSB Bank, Ser 2 (F)
5.563%, 02/21/07 110 95
Lloyds TSB Bank, Ser 3 (F)
5.560%, 02/28/07 1,430 1,227
M&I Capital Trust, Cl A
7.650%, 12/01/26 1,513 1,568
MUFG Capital Finance (F)
6.346%, 07/25/49 3,555 3,655
Mangrove Bay Passthru
Trust (C) (F)
6.102%, 07/15/33 2,095 2,072
Mellon Capital I, Ser A
7.720%, 12/01/26 827 860
Merrill Lynch
7.430%, 09/01/22 5 5
6.220%, 09/15/26 1,400 1,474
6.050%, 05/16/16 4,460 4,684
Merrill Lynch MTN, Ser B
3.375%, 09/14/07 1,650 1,627
Merrill Lynch MTN, Ser C
4.250%, 02/08/10 2,085 2,036
Mizuho Finance
8.375%, 04/27/09 315 335
8.375%, 12/29/49 530 563
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Morgan Stanley
5.375%, 10/15/15 (J) $ 2,915 $ 2,930
4.750%, 04/01/14 2,270 2,196
Morgan Stanley EXL (F) (K)
5.380%, 01/04/08 7,261 7,261
Morgan Stanley EXL, Ser S
(F) (K)
5.340%, 12/05/07 10,373 10,373
Morgan Stanley MTN
6.250%, 08/09/26 (J) 1,175 1,258
5.625%, 01/09/12 2,840 2,906
NB Capital Trust IV
8.250%, 04/15/27 4,865 5,087
Natexis Banques (C) (F) (K)
5.300%, 12/17/07 20,228 20,226
National Australia Bank (F)
5.556%, 04/09/07 740 638
5.400%, 04/09/07 140 121
National Capital Trust II (C) (F)
5.486%, 12/17/06 3,207 3,150
National Westminster Bank (F)
5.500%, 02/27/07 140 120
National Westminster Bank,
Ser B (F)
5.688%, 01/09/07 570 491
Nationwide Building Society
(C) (F) (K)
5.424%, 10/26/07 11,411 11,411
5.350%, 12/07/07 20,747 20,747
Nationwide Mutual Insurance (C)
8.250%, 12/01/31 2,000 2,514
6.600%, 04/15/34 5,263 5,343
Nordbank (C) (F) (K)
5.350%, 12/24/07 35,269 35,266
North Front Pass-Through
Trust (C) (F)
5.810%, 12/15/06 5,291 5,291
Northern Rock (C) (F) (K)
5.360%, 12/03/07 21,369 21,369
Odyssey Re Holdings
6.875%, 05/01/15 2,900 2,986
Odyssey Re Holdings (J)
7.650%, 11/01/13 1,460 1,564
PF Export Receivables Master
Trust (C)
6.436%, 06/01/15 1,632 1,665
PNC Funding
5.250%, 11/15/15 2,755 2,749
PPL Montana
8.903%, 07/02/20 123 137
Pacific Life Global Funding
(C) (F) (K)
5.370%, 12/13/07 15,560 15,560
Paribas, Ser 1986 (F)
5.563%, 12/11/06 693 595
- --------------------------------------------------------------------------------
92 SEI Institutional Investments Trust/Semi-Annual Report/November 30,2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Pemex Finance
9.690%, 08/15/09 $ 1,375 $ 1,491
Power Receivables Financial
6.290%, 01/01/12 3,856 3,896
6.290%, 01/01/12 (C) 1,218 1,231
Premium Asset Trust, Ser 2004-10
(C) (F) (K)
5.360%, 12/17/07 29,045 29,045
Prime Property Funding (C)
5.600%, 06/15/11 3,380 3,417
Prologis+
5.500%, 04/01/12 2,360 2,378
5.250%, 11/15/10 835 836
Prologis Trust+
5.625%, 11/15/16 1,695 1,709
RBS Capital Trust III (F)
5.512%, 03/30/07 267 266
Rabobank Capital Fund Trust II
(C) (F)
5.260%, 12/29/49 1,089 1,079
Rabobank Capital Fund Trust III
(C) (F)
5.254%, 12/31/06 1,221 1,197
Residential Capital
6.500%, 04/17/13 6,580 6,826
6.125%, 11/21/08 6,980 7,059
Residential Capital (F)
6.742%, 12/29/06 1,770 1,780
Resona Bank (C) (F) (J)
5.850%, 09/29/49 1,375 1,361
Resona Preferred Global
Securities (C) (F)
7.191%, 07/30/49 2,590 2,746
Royal Bank of Canada (F)
5.578%, 12/21/06 1,010 892
Royal Bank of Scotland Group
5.750%, 12/11/06 (F) 2,440 2,082
5.000%, 10/01/14 2,285 2,252
SLM EXL, Ser S (F) (K)
5.320%, 12/17/07 22,821 22,821
SLM, Ser CPI (F)
4.940%, 12/01/06 4,180 4,063
Shinsei Finance Cayman (C) (F)
6.418%, 01/29/49 4,560 4,634
Simon Property Group+
5.750%, 05/01/12 2,200 2,253
5.600%, 09/01/11 (J) 2,965 3,018
4.875%, 03/18/10 1,058 1,051
Skandinav Enskilda Bank (F) (K)
5.320%, 12/18/07 22,821 22,820
Societe Generale (F)
5.429%, 05/26/07 680 585
4.656%, 05/26/07 40 34
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Spieker Properties+
7.650%, 12/15/10 $ 1,910 $ 2,102
Standard Chartered I (F)
5.563%, 01/16/07 1,840 1,518
Standard Chartered II (F)
5.530%, 05/07/07 2,720 2,264
Standard Chartered IV (F)
5.730%, 01/06/07 290 239
Stanfield Victoria MTN (K)
5.445%, 06/11/07 20,747 20,745
Stingray Pass-Through Trust (C)
5.902%, 01/12/15 4,300 3,956
Sumitomo Mitsui Banking
8.150%, 08/01/08 113 118
8.150%, 08/29/49 951 990
Suntrust (F)
6.100%, 12/06/06 5,450 5,448
TNK-BP Finance (C) (J)
7.500%, 07/18/16 3,750 3,963
Toll Road Investment Partners II
(C) (E)
5.455%, 02/15/45 5,520 711
Toyota Motor Credit
2.875%, 08/01/08 1,970 1,901
Twin Reefs Pass-Through (C) (F)
6.320%, 12/10/06 900 901
UFJ Finance Aruba
8.750%, 08/13/49 160 169
8.750%, 11/29/49 1,060 1,120
US Bancorp MTN, Ser N
3.125%, 03/15/08 1,520 1,479
Ventas Realty
6.750%, 04/01/17 1,645 1,680
Wachovia
5.300%, 10/15/11 4,430 4,475
5.250%, 08/01/14 5,340 5,327
4.875%, 02/15/14 2,290 2,240
Wachovia Capital Trust III (F)
5.800%, 03/15/11 3,181 3,224
Washington Mutual
5.777%, 12/01/06 1,000 1,004
4.000%, 01/15/09 1,363 1,334
Washington Mutual Bank
5.650%, 08/15/14 2,290 2,325
Washington+
5.350%, 05/01/15 695 691
Wells Fargo
5.000%, 11/15/14 1,635 1,615
Wells Fargo Capital
5.950%, 12/15/36 480 483
Westfield Capital (C)
4.375%, 11/15/10 3,900 3,790
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30,2006 93
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Westfield Group
5.700%, 10/01/16 $ 3,705 $ 3,766
5.400%, 10/01/12 6,365 6,410
Westpac Banking (F)
5.525%, 03/30/07 690 588
Westpac Capital Trust IV (C) (F)
5.256%, 12/29/49 1,281 1,239
Woodbourne Pass-Through
Trust (C) (F)
6.445%, 12/08/06 2,500 2,528
Woori Bank (C) (F)
6.125%, 05/03/16 1,201 1,242
ZFS Finance USA Trust II
(C) (F) (J)
6.450%, 12/15/65 3,350 3,446
Zions Bancorp
5.500%, 11/16/15 1,740 1,741
Zurich Capital Trust I (C)
8.376%, 06/01/37 8,350 8,765
-----------
1,231,507
-----------
HEALTH CARE -- 0.3%
Aetna
6.625%, 06/15/36 800 885
Boston Scientific
7.000%, 11/15/35 786 815
Bristol-Myers Squibb
5.875%, 11/15/36 2,260 2,307
HCA
5.750%, 03/15/14 6,320 5,166
Tenet Healthcare
7.375%, 02/01/13 221 202
Teva Pharmaceutical Finance LLC
6.150%, 02/01/36 1,130 1,137
Wellpoint
5.850%, 01/15/36 1,830 1,840
Wyeth
5.500%, 02/15/16 3,335 3,390
-----------
15,742
-----------
INDUSTRIALS -- 1.5%
Air 2 US (C)
8.027%, 10/01/19 3,246 3,344
America West Airlines, Ser 1999-1
7.930%, 01/02/19 5,111 5,507
American Airlines, Ser 1999-1 (J)
7.024%, 10/15/09 2,320 2,413
Canadian National Railway
6.200%, 06/01/36 1,815 1,993
Cedar Brakes I LLC (C)
8.500%, 02/15/14 1,588 1,731
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Cedar Brakes II LLC (C)
9.875%, 09/01/13 $ 2,961 $ 3,307
Codelco
6.150%, 10/24/36 1,810 1,899
Continental Airlines, Ser 02-1
6.563%, 02/15/12 1,400 1,465
Continental Airlines, Ser 1999-2
7.256%, 03/15/20 1,482 1,584
Continental Airlines, Ser 971A
7.461%, 04/01/15 2,400 2,436
Continental Airlines, Ser 974A
6.900%, 01/02/18 5,660 5,914
Continental Airlines, Ser AMBC
6.236%, 03/15/20 2,402 2,476
Corning
5.250%, 08/15/36 1,180 1,306
D R Horton
5.625%, 09/15/14 996 971
Dominion Resources
5.600%, 11/15/16 989 998
Eastman Kodak (J)
7.250%, 11/15/13 2,445 2,450
Electronic Data Systems
7.125%, 10/15/09 2,990 3,135
Enterprise Products
Operations, Ser B
5.600%, 10/15/14 1,100 1,095
Norfolk Southern
7.050%, 05/01/37 1,850 2,221
Northwest Airlines, Cl 1A-1 (I)
7.041%, 04/01/22 1,483 1,485
Stauffer Chemical (E)
5.833%, 04/15/18 860 461
5.704%, 04/15/17 350 198
5.202%, 04/15/10 300 252
Tyco International Group
7.000%, 06/15/28 1,875 2,178
6.875%, 01/15/29 (J) 6,490 7,450
6.375%, 10/15/11 7,650 8,075
6.000%, 11/15/13 1,945 2,036
United Technologies
6.500%, 06/01/09 1,670 1,727
5.400%, 05/01/35 670 673
Waste Management
7.375%, 05/15/29 895 1,042
7.125%, 12/15/17 4,840 5,433
7.100%, 08/01/26 1,375 1,538
Xerox
6.400%, 03/15/16 1,266 1,317
-----------
80,110
-----------
- --------------------------------------------------------------------------------
94 SEI Institutional Investments Trust/Semi-Annual Report/November 30,2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MATERIALS -- 0.2%
Codelco (C)
4.750%, 10/15/14 $ 900 $ 868
International Paper
5.850%, 10/30/12 3,595 3,727
Vale Overseas
8.250%, 01/17/34 (J) 1,430 1,697
6.875%, 11/21/36 5,815 5,952
6.250%, 01/23/17 570 576
Weyerhaeuser (J)
6.750%, 03/15/12 410 433
-----------
13,253
-----------
SOVEREIGN -- 0.9%
Cia Brasileira De Bebida
8.750%, 09/15/13 1,241 1,450
Ontario Province
5.000%, 10/18/11 3,855 3,891
Province of Quebec
7.500%, 09/15/29 1,140 1,493
Quebec Province
5.125%, 11/14/16 3,390 3,426
Republic of Chile
7.125%, 01/11/12 1,115 1,214
Russian Federation Registered (G)
5.000%, 03/31/30 11,705 13,293
State of Israel
5.500%, 11/09/16 2,790 2,813
Taqa Abu Dhabi National
6.500%, 10/27/36 26 28
5.875%, 10/27/16 931 955
United Mexican States
5.625%, 01/15/17 1,770 1,780
United Mexican States MTN
8.300%, 08/15/31 1,940 2,493
United Mexican States MTN, Ser A
7.500%, 04/08/33 9,596 11,381
6.750%, 09/27/34 (J) 1,225 1,338
5.875%, 01/15/14 1,455 1,496
Xstrata Finance Canada (C) (J)
5.500%, 11/16/11 3,790 3,817
-----------
50,868
-----------
TELECOMMUNICATION SERVICES -- 1.4%
AT&T
7.300%, 12/15/06 1,350 1,478
6.800%, 05/15/36 (J) 1,155 1,263
6.150%, 09/15/34 1,510 1,532
5.100%, 09/15/14 6,135 6,019
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
America Movil
6.375%, 03/01/35 $ 1,125 $ 1,111
BellSouth
6.000%, 11/15/34 1,870 1,852
4.750%, 11/15/12 190 185
British Telecommunications PLC
8.875%, 12/15/30 960 1,354
8.375%, 12/15/10 1,310 1,476
Deutsche Telekom
International Finance
8.250%, 06/15/30 570 723
5.750%, 03/23/16 (J) 4,495 4,504
Koninklije
8.000%, 10/01/10 5,100 5,557
New Cingular Wireless Services
8.125%, 05/01/12 3,150 3,581
Sprint Capital
8.750%, 03/15/32 1,805 2,260
8.375%, 03/15/12 8,065 9,086
6.875%, 11/15/28 427 445
6.125%, 11/15/08 2,715 2,758
6.000%, 01/15/07 4,700 4,700
Sprint Nextel
6.000%, 12/01/16 5,120 5,120
Telecom Italia Capital
6.000%, 09/30/34 1,390 1,299
5.250%, 11/15/13 580 560
5.250%, 10/01/15 370 350
4.950%, 09/30/14 1,320 1,238
Telefonica Emisiones Sau
6.421%, 06/20/16 2,110 2,205
5.984%, 06/20/11 5,395 5,540
Telefonos de Mexico
5.500%, 01/27/15 100 98
4.750%, 01/27/10 1,140 1,124
Verizon Communications
5.550%, 02/15/16 2,195 2,215
5.350%, 02/15/11 1,790 1,808
Verizon Global Funding
7.375%, 09/01/12 1,730 1,916
6.875%, 06/15/12 465 503
Verizon Wireless Capital
5.375%, 12/15/06 3,035 3,035
-----------
76,895
-----------
UTILITIES -- 1.4%
Allegheny Energy Supply (C)
8.250%, 04/15/12 1,635 1,786
Arizona Public Services
8.000%, 12/30/15 829 921
Baltimore Gas & Electric
6.350%, 10/01/36 10 11
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30,2006 95
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Cleveland Electric Illumination
5.650%, 12/15/13 $ 330 $ 334
Cogentrix Energy (C)
8.750%, 10/15/08 6,200 6,644
Commonwealth Edison, Ser 104
5.950%, 08/15/16 1,066 1,097
DPL
6.875%, 09/01/11 4,165 4,422
Dominion Resources
5.700%, 09/17/12 3,560 3,642
4.750%, 12/15/10 740 729
4.125%, 02/15/08 250 247
Dominion Resources, Ser D
5.125%, 12/15/09 850 850
Duke Energy
6.250%, 01/15/12 460 483
5.625%, 11/30/12 525 540
Empresa Nacional Electric
8.625%, 08/01/15 1,342 1,595
Exelon (J)
5.625%, 06/15/35 4,860 4,735
Exelon Generation
6.950%, 06/15/11 1,115 1,186
FPL Energy American Wind (C)
6.639%, 06/20/23 4,783 4,980
FirstEnergy, Ser B (J)
6.450%, 11/15/11 2,290 2,413
FirstEnergy, Ser C
7.375%, 11/15/31 6,190 7,301
Hydro-Quebec, Ser JL
6.300%, 05/11/11 1,050 1,106
Indiana Michigan Power
6.050%, 03/15/37 1,525 1,548
Oncor Electric Delivery
6.375%, 01/15/15 1,245 1,302
PSE&G Power
7.750%, 04/15/11 1,995 2,175
5.000%, 04/01/14 1,140 1,103
Pacific Gas & Electric
6.050%, 03/01/34 4,135 4,309
Power Contract Financing (C)
6.256%, 02/01/10 589 593
Progress Energy
6.850%, 04/15/12 4,520 4,864
Public Service
7.875%, 10/01/12 2,400 2,722
Southern Capital Trust I
8.190%, 02/01/37 1,160 1,211
Swepco Capital Trust I (F)
5.250%, 10/01/43 4,465 4,437
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
TXU Energy
7.000%, 03/15/13 $ 460 $ 487
TXU, Ser P
5.550%, 11/15/14 370 356
TXU, Ser R (J)
6.550%, 11/15/34 4,705 4,541
-----------
74,670
-----------
Total Corporate Obligations
(Cost $1,709,630) ($ Thousands) 1,742,839
-----------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 31.2%
FHLMC
9.750%, 10/01/14 8 8
8.500%, 09/01/08 to 04/01/09 34 34
7.500%, 11/01/17 to 06/01/32 1,218 1,266
7.000%, 12/01/06 to 06/01/32 1,506 1,555
6.500%, 10/01/16 to 10/01/36 39,037 39,863
6.000%, 01/01/13 to 12/01/33 9,210 9,349
5.500%, 09/01/13 to 06/01/36 26,821 26,955
5.000%, 04/01/20 to 09/01/35 71,409 70,448
4.992%, 05/01/35 1,344 1,330
4.500%, 02/01/19 to 08/01/35 79,754 77,331
4.000%, 03/01/19 to 10/01/33 8,747 8,255
FHLMC ARM
5.702%, 03/01/36 1,932 1,933
5.601%, 05/01/36 15,248 15,302
5.150%, 01/01/36 8,167 8,107
5.095%, 02/01/36 7,163 7,090
FHLMC TBA
6.000%, 12/15/18 to 01/01/19 40,664 41,345
5.000%, 12/01/35 7,900 7,720
4.000%, 01/15/19 7,295 6,934
FNMA
8.000%, 04/01/08 to 07/01/31 752 789
7.000%, 03/01/09 to 04/01/32 3,891 4,007
6.500%, 05/01/17 to 12/01/34 3,851 3,946
6.000%, 04/01/17 to 07/01/36 24,939 25,229
5.500%, 04/01/14 to 11/01/36 191,798 191,633
5.000%, 06/01/18 to 11/01/34 113,998 112,260
4.653%, 10/01/12 1,145 1,131
4.508%, 04/01/09 1,677 1,658
4.500%, 06/01/18 to 02/01/35 14,725 14,206
4.330%, 11/01/11 1,478 1,435
4.000%, 09/01/18 to 12/01/20 41,519 39,600
- --------------------------------------------------------------------------------
96 SEI Institutional Investments Trust/Semi-Annual Report/November 30,2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FNMA ARM
6.780%, 12/01/06 $ 3,050 $ 3,144
6.778%, 12/01/06 3,111 3,207
6.774%, 12/01/06 3,184 3,283
6.764%, 12/01/06 3,117 3,213
6.444%, 07/01/36 4,344 4,450
6.288%, 11/01/35 3,241 3,341
5.928%, 09/01/36 8,579 8,692
5.835%, 07/01/46 38 39
5.662%, 06/01/36 2,071 2,087
5.645%, 02/01/36 13,858 13,924
5.504%, 06/01/36 1,488 1,498
5.298%, 04/01/36 2,448 2,446
5.070%, 07/01/35 3,079 3,059
4.868%, 09/01/35 1,505 1,488
FNMA TBA
6.500%, 01/01/32 to 12/13/34 113,018 115,299
6.000%, 01/01/20 to 12/01/34 75,032 75,811
5.500%, 12/01/20 to 12/01/35 128,685 128,540
5.000%, 12/01/18 to 01/01/35 367,857 359,770
4.500%, 11/15/35 3,600 3,424
GNMA
9.500%, 12/15/20 22 24
7.000%, 04/15/26 to 09/15/34 7,819 8,090
6.500%, 06/15/11 to 12/01/36 76,478 78,426
6.000%, 03/15/14 to 02/15/35 71,443 72,686
5.500%, 04/15/14 to 10/20/34 7,965 7,967
5.000%, 05/15/33 to 11/15/35 49,607 48,844
GNMA ARM
3.750%, 12/01/06 5,920 5,811
GNMA TBA
6.500%, 01/01/34 10,400 10,692
6.000%, 12/01/33 to 12/19/36 34,223 34,745
-----------
Total U.S. Government Mortgage-Backed
Obligations (Cost $1,714,717) ($ Thousands)
1,724,719
-----------
ASSET-BACKED SECURITIES -- 24.2%
AUTOMOTIVE -- 1.2%
AmeriCredit Automobile Receivables
Trust, Ser 2003-DM, Cl A4
2.840%, 08/06/10 2,782 2,750
AmeriCredit Automobile Receivables
Trust, Ser 2004-1, Cl C
4.220%, 07/06/09 50 50
AmeriCredit Automobile Receivables
Trust, Ser 2006-AF, Cl A2
5.610%, 12/07/06 135 136
Capital Auto Receivables Asset
Trust, Ser 2004-1, Cl A3
2.000%, 11/15/07 154 154
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Capital Auto Receivables Asset
Trust, Ser 2004-2, Cl A2
3.350%, 02/15/08 $ 489 $ 487
Capital Auto Receivables Asset
Trust, Ser 2006-1, Cl A3
5.030%, 10/15/09 5,478 5,471
Capital One Prime Auto
Receivables Trust, Ser 2006-1,
Cl A3
4.990%, 09/15/10 2,627 2,627
Capital One Prime Auto
Receivables, Ser 2006-1, Cl A4
5.010%, 11/15/11 96 96
Carmax Auto Owner Trust,
Ser 2006-2, Cl A3
5.150%, 02/15/11 4,312 4,327
Chase Manhattan Auto Owner Trust,
Ser 2004-A, Cl A3
2.080%, 05/15/08 135 135
DaimlerChrysler Auto Trust,
Ser 2006-A, Cl A4
5.010%, 01/08/11 29 29
DaimlerChrysler Auto Trust,
Ser 2006-D, Cl A4
4.940%, 02/08/12 2,283 2,282
Ford Credit Auto Owner Trust,
Ser 2005-A, Cl A3
3.480%, 11/15/08 7,133 7,086
Ford Credit Auto Owner Trust,
Ser 2005-B, Cl A3
4.170%, 01/15/09 1,304 1,297
Franklin Auto Trust,
Ser 2005-1, Cl A2
4.840%, 09/22/08 294 293
Honda Auto Receivables Owner
Trust, Ser 2004-2, Cl A3
3.300%, 06/16/08 2,429 2,415
Honda Auto Receivables Owner
Trust, Ser 2006-2, Cl A3
5.300%, 07/21/10 118 119
Household Automotive Trust,
Ser 2006-2, Cl A2
5.610%, 06/17/09 207 207
Hyundai Auto Receivables Trust,
Ser 2005-A, Cl A4
4.180%, 02/15/12 1,463 1,436
Nissan Auto Lease Trust,
Ser 2005-A, Cl A2
4.610%, 01/15/08 375 374
Nissan Auto Lease Trust,
Ser 2006-A, Cl A3
5.110%, 03/15/10 3,701 3,710
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30,2006 97
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Nissan Auto Receivables Owner
Trust, Ser 2006-A, Cl A3
4.740%, 09/15/09 $ 229 $ 228
Nissan Auto Receivables Owner
Trust, Ser 2006-B, Cl A3
5.160%, 02/15/10 1,176 1,177
Nissan Auto Receivables Owner
Trust, Ser 2006-C, Cl A2
5.520%, 01/15/09 95 95
Triad Auto Receivables Owner
Trust, Ser 2006-B, Cl A4
5.520%, 12/12/06 1,086 1,103
Triad Automobile Receivables
Owner Trust, Ser 2003-B,
Cl A4
3.200%, 12/13/10 833 820
USAA Auto Owner Trust,
Ser 2004-3, Cl A3
3.160%, 02/17/09 838 832
USAA Auto Owner Trust,
Ser 2005-1, Cl A3
3.900%, 07/15/09 508 504
USAA Auto Owner Trust,
Ser 2005-3, Cl A2
4.520%, 06/16/08 782 781
USAA Auto Owner Trust,
Ser 2006-1, Cl A3
5.010%, 09/15/10 1,249 1,249
USAA Auto Owner Trust,
Ser 2006-3, Cl A4
5.360%, 06/15/12 1,832 1,859
Volkswagen Auto Lease Trust,
Ser 2006-A, Cl A2
5.550%, 11/20/08 2,250 2,258
WFS Financial Owner Trust,
Ser 2003-1, Cl A4
2.740%, 09/20/10 274 274
WFS Financial Owner Trust,
Ser 2003-3, Cl A4
3.250%, 05/20/11 1,169 1,155
WFS Financial Owner Trust,
Ser 2003-4, Cl A4
3.150%, 05/20/11 2,359 2,330
WFS Financial Owner Trust,
Ser 2004-1, Cl A4
2.810%, 08/22/11 918 902
WFS Financial Owner Trust,
Ser 2005-3, Cl A3A
4.250%, 06/17/10 832 827
Wachovia Auto Loan Owner Trust,
Ser 2006-2A, Cl A3 (C)
5.230%, 08/22/11 5,309 5,334
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Wachovia Auto Owner Trust,
Ser 2004-A, Cl A4
3.660%, 12/29/06 $ 4,285 $ 4,238
Wachovia Auto Owner Trust,
Ser 2005-B, Cl A2
4.820%, 02/20/09 2,806 2,802
Wachovia Auto Owner Trust,
Ser 2006-1, Cl A3 (C)
5.100%, 07/20/11 2,303 2,309
-----------
66,558
-----------
CREDIT CARDS -- 0.5%
Capital One Master Trust,
Ser 1998-1, Cl A
6.310%, 06/15/11 166 169
Capital One Multi-Asset Execution
Trust, Ser 2005-A2, Cl A2
4.050%, 02/15/11 159 157
Chase Issuance Trust,
Ser 2004-A9, Cl A9
3.220%, 06/15/10 3,314 3,261
Citibank Credit Card Issuance
Trust, Ser 2000-A3, Cl A3
6.875%, 11/16/09 1,399 1,421
Citibank Credit Card Issuance
Trust, Ser 2004-A4, Cl A4
3.200%, 08/24/09 8,821 8,694
Citibank Credit Card Issuance
Trust, Ser 2006-A2, Cl A2
4.850%, 02/10/11 199 199
Citibank Credit Card Master
Trust, Ser 1998-2, Cl A
6.050%, 01/15/10 74 75
Household Credit Card Master
Trust, Ser 2006-1, Cl A
5.100%, 06/15/12 2,547 2,564
MBNA Credit Card Master Note
Trust, Ser 2004-A4, Cl A4
2.700%, 09/15/09 7,075 7,011
MBNA Master Credit Card Trust,
Ser 2000-L, Cl A
6.500%, 04/15/10 2,167 2,197
-----------
25,748
-----------
MORTGAGE RELATED SECURITIES -- 22.3%
ABS Home Equity Loan Trust,
Ser 2001-HE3, Cl A1 (F)
5.860%, 12/15/06 504 504
AFC Home Equity Loan Trust,
Ser 2000-1, Cl 2A (F)
5.560%, 12/25/06 4,508 4,518
- --------------------------------------------------------------------------------
98 SEI Institutional Investments Trust/Semi-Annual Report/November 30,2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Ace Securities, Ser 2006-SI3,
Cl A1 (F)
5.420%, 12/25/06 $ 14,510 $ 14,511
Adjustable Rate Mortgage Trust,
Ser 2005-8, Cl 4A11 (F)
5.442%, 12/01/06 13,445 13,353
American Home Mortgage Investment
Trust, Ser 2005-4, Cl 1A3 (F)
5.760%, 12/25/06 1,530 1,541
Amortizing Residential Collateral
Trust CMO, Ser 2002-BC1,
Cl A (F)
5.660%, 12/25/06 829 831
Asset Securitization, Ser 1996-D2,
Cl A1
6.920%, 02/14/29 268 269
Banc of America Alternative Loan
Trust, Ser 2004-5, Cl 4A1
5.000%, 06/25/19 1,991 1,978
Banc of America Alternative Loan
Trust, Ser 2004-6, Cl 4A1
5.000%, 07/25/19 2,312 2,293
Banc of America Alternative Loan
Trust, Ser 2006-4, Cl 4CB1
6.500%, 05/25/36 327 332
Banc of America Commercial
Mortgage Securities
6.291%, 10/25/36 2,854 2,888
Banc of America Commercial
Mortgage Securities,
Ser 2002-PB2, Cl A4
6.186%, 06/11/35 80 84
Banc of America Commercial
Mortgage Securities,
Ser 2002-PB2, Cl B
6.309%, 06/11/35 1,075 1,136
Banc of America Commercial
Mortgage Securities,
Ser 2003-1, Cl 2A4
5.000%, 02/25/18 4,639 4,567
Banc of America Commercial
Mortgage Securities,
Ser 2003-1, Cl A1
3.878%, 09/11/36 7,889 7,667
Banc of America Commercial
Mortgage Securities,
Ser 2003-1, Cl A2
4.648%, 12/01/06 1,262 1,237
Banc of America Commercial
Mortgage Securities,
Ser 2003-3, Cl A1
5.685%, 12/01/06 67 68
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Banc of America Commercial
Mortgage Securities,
Ser 2004-1, Cl A3
4.429%, 11/10/39 $ 30 $ 29
Banc of America Commercial
Mortgage Securities,
Ser 2004-1, Cl A4
4.760%, 11/10/39 1,360 1,333
Banc of America Commercial
Mortgage Securities,
Ser 2004-6, Cl A3
4.512%, 12/10/42 5,620 5,492
Banc of America Commercial
Mortgage Securities,
Ser 2005-2, Cl A3
4.611%, 07/10/43 172 170
Banc of America Commercial
Mortgage Securities,
Ser 2005-3, Cl A4
4.668%, 07/10/43 12,400 12,027
Banc of America Commercial
Mortgage Securities,
Ser 2005-5, Cl A4 (F)
5.115%, 10/10/45 1,190 1,189
Banc of America Commercial
Mortgage Securities,
Ser 2006-3, Cl A4 (F)
5.889%, 07/10/44 4,516 4,765
Banc of America Commercial
Mortgage Securities,
Ser 2006-4, Cl A1
5.363%, 05/10/11 78 79
Banc of America Commercial
Mortgage Securities,
Ser 2006-6, Cl A1
5.226%, 12/10/16 110 112
Banc of America Commercial
Mortgage Securities,
Ser 2006-4, Cl A4
5.634%, 07/10/46 15,000 15,555
Banc of America Commercial
Mortgage Securities,
Ser 2006-6, Cl A2
5.309%, 12/10/16 100 101
Banc of America Commercial
Mortgage Securities,
Ser 2006-6, Cl AM
5.390%, 12/10/16 5,711 5,805
Banc of America Funding,
Ser 2005-B, Cl 2A1 (F)
5.112%, 12/01/06 6,650 6,638
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30,2006 99
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Banc of America Funding,
Ser 2006-D, Cl 5A1 (F)
5.864%, 12/01/06 $ 1,650 $ 1,646
Bank of America Alternative
Loan Trust, Ser 2006-7,
Cl A3 (F)
5.913%, 10/25/36 2,029 2,048
Bank of America Alternative Loan
Trust, Ser 2006-8, Cl 3A1 (F)
6.291%, 12/01/06 2,822 2,862
Bear Stearns Commercial Mortgage
Securities, Ser 2003-T10,
Cl A2
4.740%, 12/01/06 4,560 4,484
Bear Stearns Commercial Mortgage
Securities, Ser 2004-ESA,
Cl C
4.937%, 05/14/16 5,548 5,546
Bear Stearns Commercial Mortgage
Securities, Ser 2004-PWR5,
Cl A3
4.565%, 07/11/42 115 113
Bear Stearns Commercial Mortgage
Securities, Ser 2004-T16,
Cl A3
4.030%, 02/13/46 100 97
Bear Stearns Commercial Mortgage
Securities, Ser 2004-WPR6,
Cl A6 (J)
4.825%, 11/11/41 5,995 5,882
Bear Stearns Commercial Mortgage
Securities, Ser 2005-T18,
Cl A4 (F)
4.933%, 12/01/06 2,463 2,434
Bear Stearns Commercial Mortgage
Securities, Ser 2006-PW11,
Cl A4 (F)
5.458%, 12/01/06 2,907 2,997
Bear Stearns Commercial Mortgage
Securities, Ser 2006-PW13,
Cl A1
5.294%, 09/11/41 49 50
Bear Stearns Commercial Mortgage
Securities, Ser 2006-T22,
Cl A1 (F)
5.415%, 12/01/06 335 338
Bear Stearns Commercial Mortgage
Securities, Ser 2006-T24,
Cl A2
5.478%, 10/12/41 5,532 5,636
Bear Stearns Commercial Mortgage
Securities, Ser 2006-T24,
Cl A4
5.537%, 10/12/41 1,647 1,697
Bear Stearns, Ser 2006-AC1,
Cl 1A1 (G)
5.750%, 12/01/06 3,738 3,732
Bear Sterns Trust, Ser 2006-6,
Cl 2A1 (F)
6.000%, 12/01/06 2,392 2,419
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CIGNA CBO, Ser 1996-1, Cl A2
(C) (G) (H)
6.460%, 11/15/08 $ 4,064 $ 4,067
CS First Boston Mortgage
Securities, Ser 8, Cl 1A2
5.250%, 12/01/06 5,415 5,354
Capital One Multi-Asset
Execution Trust, Ser 2003-C4,
Cl C4
6.000%, 08/15/13 2,751 2,836
Capital One Multi-Asset Execution
Trust, Ser 2003-A4, Cl A4
3.650%, 07/15/11 72 70
Chase Funding Mortgage Loan,
Ser 2002-1, Cl 2A2 (F)
5.820%, 12/25/06 2,216 2,217
Chase Manhattan Commercial
Mortgage Trust, Ser 99-C2,
Cl A2
7.546%, 11/17/32 340 358
Chase Mortgage Finance,
Ser 2005-A1, Cl 1A1 (F)
5.415%, 12/01/06 2,819 2,799
Chase Mortgage Finance,
Ser 2005-A1, Cl 2A3 (F)
5.250%, 12/01/06 13,166 13,102
Citicorp Residential Mortgage
Securities, Ser 2006-1,
Cl A2 (G)
5.682%, 07/25/36 2,150 2,161
Citigroup Commercial Mortgage
Trust, Ser 2005-C3, Cl A2
4.639%, 05/15/43 140 138
Citigroup Commercial Mortgage
Trust, Ser 2006-C4, Cl A1 (F)
5.703%, 12/31/49 154 157
Citigroup Commericial Mortgage
Trust, Ser 2006-C5, Cl A4
5.431%, 10/15/49 5,933 6,058
Citigroup Mortgage Loan Trust,
Ser 2006-AR3, Cl 1A1A
5.952%, 12/01/06 608 612
Citigroup/Deutsche Bank
Commercial Mortgage,
Ser 2006-CD3, Cl AAB
5.608%, 10/15/48 1,876 1,929
Commercial Mortgage Pass-Through
Certificate, Ser 1999-1,
Cl E (F)
7.224%, 12/01/06 3,424 3,542
Commercial Mortgage Pass-Through
Certificate, Ser 2000-C1, Cl C
7.706%, 08/15/33 637 690
Commercial Mortgage Pass-Through
Certificate, Ser 2005-C6,
Cl A3
5.144%, 12/10/06 12,600 12,627
- --------------------------------------------------------------------------------
100 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Commercial Mortgage Pass Through
Certificate, Ser 2004-LB3A,
Cl B (F)
5.281%, 12/01/06 $ 1,335 $ 1,350
Commodore, Ser 2003-2A,
Cl A1MM (F) (K)
5.470%, 12/12/38 9,543 9,543
Conseco Finance Home Loan Trust,
Ser 2000-E, Cl M1
8.130%, 08/15/31 4,203 4,337
Conseco Finance Securitization,
Ser 2000-4, Cl A6
8.310%, 05/01/32 950 802
Contimortgage Home Equity Loan
Trust, Ser 1997-2, Cl A9
7.090%, 04/15/28 81 80
Contimortgage Home Equity Loan
Trust, Ser 1997-5, Cl A6
6.870%, 03/15/24 232 230
Countrywide Alternative Loan
Trust, Ser 2004-27CB, Cl A1
6.000%, 12/25/34 3,818 3,838
Countrywide Alternative Loan
Trust, Ser 2004-J1, Cl 1A1
6.000%, 02/25/34 1,020 1,017
Countrywide Alternative Loan
Trust, Ser 2004-J6, Cl 2A1
6.500%, 11/25/31 3,831 3,936
Countrywide Alternative Loan
Trust, Ser 2005-27, Cl 2A1 (F)
6.014%, 12/01/06 6,549 6,584
Countrywide Alternative Loan
Trust, Ser 2005-27, Cl 3A2 (F)
5.760%, 12/01/06 3,317 3,317
Countrywide Alternative Loan
Trust, Ser 2005-56, Cl 4A1 (F)
5.630%, 12/25/06 13,978 14,022
Countrywide Alternative Loan
Trust, Ser 2005-59, Cl 1A1 (F)
5.660%, 12/20/06 16,328 16,387
Countrywide Alternative Loan
Trust, Ser 2005-59, Cl 2X,
IO (E) (H)
1.601%, 12/01/06 38,727 1,470
Countrywide Alternative
Loan Trust, Ser 2005-72,
Cl A1 (F)
5.590%, 12/27/06 6,664 6,669
Countrywide Alternative Loan
Trust, Ser 2006-0A11,
Cl A4 (F)
5.510%, 12/25/06 15,817 15,789
Countrywide Alternative
Loan Trust, Ser 2006-7CB,
Cl 1A9
6.000%, 05/25/36 623 630
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Alternative Loan
Trust, Ser 2006-OA14, Cl 1A2
4.826%, 12/01/06 $ 1,485 $ 1,485
Countrywide Alternative Loan
Trust, Ser 2006-OA2,
Cl X1P (H)
1.030%, 05/20/46 52,500 2,514
Countrywide Alternative
Loan Trust, Ser 2009-32CB,
Cl A19
6.000%, 12/01/06 1,836 1,831
Countrywide Asset-Backed
Certificates, Ser 2001-BC3,
Cl A (F)
5.800%, 12/25/06 117 117
Countrywide Asset-Backed
Certificates, Ser 2003-C2,
Cl 2A1 (F)
5.620%, 12/25/06 115 115
Countrywide Asset-Backed
Certificates, Ser 2005-11,
Cl AF1 (F)
5.500%, 12/25/06 5,666 5,667
Countrywide Asset-Backed
Certificates, Ser 2005-16,
Cl 2AF2 (F)
5.382%, 12/01/06 2,614 2,612
Countrywide Asset-Backed
Certificates, Ser 2005-BC4,
Cl 2A1 (F)
5.440%, 12/27/06 429 429
Countrywide Asset-Backed
Certificates, Ser 2006-15,
Cl A2
5.683%, 10/25/36 1,529 1,536
Countrywide Asset-Backed
Certificates, Ser 2006-15,
Cl A3
5.689%, 10/25/36 208 210
Countrywide Asset-Backed
Certificates, Ser 2006-S1,
Cl A2
5.549%, 08/25/21 4,132 4,128
Countrywide Home Equity
Loan Trust, Ser 2004-K,
Cl A2 (F)
5.620%, 12/15/06 2,388 2,392
Countrywide Home Equity
Loan Trust, Ser 2005-F,
Cl 2A (F)
5.560%, 12/15/06 10,026 10,031
Countrywide Home Equity Loan
Trust, Ser 2005-H,
Cl 2A (F)
5.560%, 12/15/06 8,753 8,766
Countrywide Home Loans,
Ser 2005-R3, Cl AF (F)
5.720%, 12/25/06 13,156 13,225
Credit Suisse First Boston
Mortgage Securities,
Ser 1998-C2, Cl A2
6.300%, 11/15/30 3,514 3,577
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 101
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Credit Suisse First Boston
Mortgage Securities,
Ser 2001-MH29, Cl A (G)
5.600%, 09/25/31 $ 1,098 $ 1,083
Credit Suisse First Boston
Mortgage Securities,
Ser 2002-CKN2, Cl A3
6.133%, 04/15/37 4,789 5,022
Credit Suisse First Boston
Mortgage Securities,
Ser 2002-CKP1, Cl A3
6.439%, 12/15/35 2,156 2,292
Credit Suisse First Boston
Mortgage Securities,
Ser 2002-CKS4, Cl A2
5.183%, 11/15/36 20,026 20,141
Credit Suisse First Boston
Mortgage Securities,
Ser 2002-CP3, Cl A3
5.603%, 07/15/35 2,899 2,978
Credit Suisse First Boston
Mortgage Securities,
Ser 2003-C4, Cl A4 (F)
5.137%, 08/15/36 1,905 1,912
Credit Suisse First Boston
Mortgage Securities,
Ser 2003-CK2, Cl A4
4.801%, 03/15/36 119 117
Credit Suisse First Boston
Mortgage Securities,
Ser 2004-C1, Cl A3
4.321%, 01/15/37 78 76
Credit Suisse First Boston
Mortgage Securities,
Ser 2004-C2, Cl A1
3.819%, 05/15/36 11,446 11,035
Credit Suisse First Boston
Mortgage Securities,
Ser 2004-C5, Cl A4
4.829%, 12/15/06 2,157 2,117
Credit Suisse Mortgage Capital,
Ser 2006-C3, Cl A1
4.991%, 06/15/38 145 145
Criimi Mae Commercial Mortgage,
Ser 1998-C1, Cl A2 (C)
7.000%, 06/02/33 2,110 2,127
DLJ Commercial Mortgage,
Ser 1999-CG2, Cl A1B
7.300%, 06/10/32 3,600 3,765
DSLA Mortgage Loan Trust,
Ser 2004-AR2, Cl A2B (F)
5.720%, 12/19/06 6,523 6,554
Delta Funding Home Equity
Loan, Ser 1999-3, Cl A1A (F)
5.730%, 12/15/06 432 433
Deutsche Mortgage and Asset
Receivables, Ser 1998-C1,
Cl A2
6.538%, 06/15/31 4,695 4,736
Duke Funding, Ser 2004-6B,
Cl A1S1 (C) (F) (K)
5.440%, 10/09/07 15,560 15,560
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
EMC Mortgage Loan Trust,
Ser 2002-AA, Cl A1
(C) (F)
5.790%, 12/25/06 $ 1,536 $ 1,544
EQCC Trust, Ser 2002-1,
Cl 2A (F)
5.620%, 12/25/06 228 228
Equivantage Home Equity Loan
Trust, Ser 1997-2, Cl A3 (G)
7.775%, 12/01/06 501 499
First Horizon Trust,
Ser 2006-HE2, Cl A
5.450%, 12/25/06 1,000 1,000
First Horizon, Ser 2004-HE2,
Cl A (F)
5.540%, 12/25/06 2,422 2,424
First Union National Bank,
Ser 2001-C4, Cl B
6.417%, 12/12/33 926 981
Fleet Home Equity Trust,
Ser 2001-1, Cl A (F)
5.530%, 12/01/06 230 230
GE Capital Commercial Mortgage,
Ser 2001-3, Cl A1
5.560%, 06/10/38 119 121
GE Capital Commercial Mortgage,
Ser 2002-2A, Cl A3
5.349%, 08/11/36 4,264 4,330
GE Capital Commercial Mortgage,
Ser 2002-3A, Cl A2
4.996%, 12/10/37 23,360 23,374
GE Capital Commercial Mortgage,
Ser 2003-C2, Cl A4
5.145%, 07/10/37 6,394 6,428
GE Capital Commercial Mortgage,
Ser 2004-C3, Cl A4 (F)
5.190%, 12/01/06 2,979 2,997
GE Capital Commercial Mortgage,
Ser 2005-C4, Cl A3A (F)
5.511%, 12/01/06 14,000 14,249
GE Capital Mortgage Services,
Ser 1997-HE3, Cl A6
6.720%, 10/25/27 192 191
GMAC Commercial Mortgage
Securities, Ser 2000-C2, Cl A2
7.455%, 08/16/33 3,335 3,560
GMAC Commercial Mortgage
Securities, Ser 2002-C3, Cl A2
4.930%, 07/10/39 963 959
GMAC Commercial Mortgage
Securities, Ser 2003-C2,
Cl B (F)
5.473%, 12/01/06 2,363 2,422
GMAC Commercial Mortgage
Securities, Ser 2004-C1, Cl A1
3.118%, 03/10/38 691 674
- --------------------------------------------------------------------------------
102 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
GMAC Commercial Mortgage
Securities, Ser 2004-C2,
Cl A1
3.896%, 08/10/38 $ 296 $ 290
GMAC Commercial Mortgage
Securities, Ser 2003-C3,
Cl A4
5.023%, 04/10/40 4,288 4,276
GMAC Mortgage Corporation Loan
Trust, Ser 2004-J4, Cl A1
5.500%, 12/01/06 1,132 1,129
GMAC Mortgage Loan Trust,
Ser 2004-HE4, Cl A1 (F)
5.604%, 12/25/06 9,349 9,363
GS Mortgage Securities,
Ser 1998-1, Cl A (C)
8.000%, 09/19/27 8 9
GS Mortgage Securities,
Ser 1998-GLII, Cl A2
6.562%, 04/13/31 6,639 6,730
GS Mortgage Securities,
Ser 2005-GG4, Cl AABA
4.680%, 07/10/39 5,800 5,693
GS Mortgage Securities,
Ser 2006-C1, Cl B
6.970%, 10/18/30 878 902
GSAMP Trust, Ser 2003-SEA,
Cl A1 (F)
5.720%, 12/25/06 3,252 3,270
GSMPS Mortgage, Ser 2006-RP2,
Cl 1AF1 (C) (F)
5.726%, 12/25/06 2,902 2,899
Great America Leasing
Receivables, Ser 2006-1,
Cl A3 (C)
5.340%, 01/15/10 2,517 2,527
Green Tree Financial,
Ser 1996-5, Cl A6
7.750%, 07/15/27 1,067 1,119
Greenwich Capital Commercial
Funding, Ser 2005-GG5 Cl A2
5.117%, 04/10/37 260 261
Greenwich Capital Commercial
Funding, Ser 2006-GG7,
Cl A2 (F)
6.010%, 11/10/11 150 156
Harborview Mortgage Loan Trust,
Ser 2005-01, Cl X, IO (E) (H)
1.263%, 12/01/06 31,889 703
Harborview Mortgage Loan Trust,
Ser 2005-10, Cl X, IO (F) (H)
1.117%, 12/01/06 38,700 1,028
Harborview Mortgage Loan Trust,
Ser 2005-12, Cl X2B,
IO (F) (H)
0.849%, 12/01/06 35,684 998
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Heller Financial Commercial
Mortgage, Ser 1999-PH1,
Cl C (F)
7.054%, 12/15/06 $ 239 $ 248
IMPAC CMB Trust, Ser 2003-12,
Cl A1 (G)
6.080%, 12/25/06 1,684 1,685
Indymac Index Mortgage Loan
Trust, Ser 2004-AR12,
Cl AX2, IO (E) (H)
0.930%, 12/01/06 31,533 719
JPMorgan Chase Commercial
Mortgage Securities,
Ser 2006-CB17, Cl A4
5.524%, 12/01/06 5,108 5,190
JPMorgan Chase Commercial
Mortgage, Ser 2002-C2, Cl A2
5.050%, 12/12/34 5,996 5,992
JPMorgan Chase Commercial
Mortgage, Ser 2002-CIB5,
Cl A2
5.161%, 10/12/37 1,137 1,144
JPMorgan Chase Commercial
Mortgage, Ser 2003-CB7,
Cl A4 (F)
4.879%, 12/12/06 4,037 3,991
JPMorgan Chase Commercial
Mortgage, Ser 2003-ML1A,
Cl A2
4.767%, 03/12/39 5,138 5,056
JPMorgan Chase Commercial
Mortgage, Ser 2004-C3, Cl A1
4.200%, 07/12/35 87 85
JPMorgan Chase Commercial
Mortgage, Ser 2004-C3, Cl A2
4.223%, 01/15/42 12,948 12,683
JPMorgan Chase Commercial
Mortgage, Ser 2004-C3, Cl A4
4.657%, 01/15/42 4,000 3,905
JPMorgan Chase Commercial
Mortgage, Ser 2005-CB11,
Cl A4
5.335%, 12/11/06 6,616 6,706
JPMorgan Chase Commercial
Mortgage, Ser 2005-CB12,
Cl A4
4.895%, 09/12/37 530 522
JPMorgan Chase Commercial
Mortgage, Ser 2005-LDP4,
Cl A4 (F)
4.918%, 12/01/06 6,200 6,108
JPMorgan Chase Commercial
Mortgage, Ser 2006-CB16,
Cl A1
5.338%, 05/12/45 39 40
JPMorgan Chase Commercial
Mortgage, Ser 2006-LDP7,
Cl A1 (F)
5.834%, 12/01/06 76 77
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 103
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
JPMorgan Chase Commercial
Mortgage, Ser 2006-LDP7,
Cl A2 (F)
5.862%, 12/01/06 $ 160 $ 166
JPMorgan Chase Commercial
Mortgage, Ser 2006-LDP8,
Cl A2
5.289%, 05/15/45 90 91
JPMorgan Mortgage Trust,
Ser 2004-A5, Cl 4A2 (F)
4.850%, 12/25/34 7,421 7,337
JPMorgan Mortgage Trust,
Ser 2004-A5, Cl 4A4 (F)
4.849%, 12/01/06 11,500 11,423
JPMorgan Mortgage Trust,
Ser 2005-A3, Cl 11A2 (F)
4.511%, 12/25/06 13,065 12,515
JPMorgan Mortgage Trust,
Ser 2005-A8, Cl 1A1 (F)
5.410%, 12/01/06 4,037 4,009
JPMorgan Mortgage Trust,
Ser 2006-A2, Cl 2A2 (F)
5.773%, 12/01/06 13,400 13,655
JPMorgan Mortgage Trust,
Ser 2006-A3, Cl 3A4 (F)
5.768%, 12/01/06 14,500 14,779
LB Commercial Conduit Mortgage
Trust, Ser 1999-C2, Cl A1
7.105%, 10/15/32 141 141
LB Commercial Conduit Mortgage
Trust, Ser 1999-C2, Cl B
7.425%, 10/15/32 371 394
LB-UBS Commercial Mortgage Trust,
Ser 2000-C5, Cl A2
5.594%, 06/15/31 16,225 16,665
LB-UBS Commercial Mortgage Trust,
Ser 2003-C7, Cl A4 (F)
4.931%, 09/15/35 3,337 3,315
LB-UBS Commercial Mortgage Trust,
Ser 2003-C8, Cl A4
5.124%, 11/15/32 16,549 16,625
LB-UBS Commercial Mortgage Trust,
Ser 2004-C4, Cl A2
4.567%, 12/11/06 510 505
LB-UBS Commercial Mortgage Trust,
Ser 2004-C8, Cl A4
4.510%, 12/11/06 360 352
LB-UBS Commercial Mortgage Trust,
Ser 2005-C2, Cl A4
4.998%, 04/15/30 123 123
LB-UBS Commercial Mortgage Trust,
Ser 2005-C5, Cl A2
4.885%, 09/15/40 180 180
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
LB-UBS Commercial Mortgage Trust,
Ser 2006-C4, Cl A1
5.741%, 06/15/32 $ 146 $ 149
LB-UBS Commercial Mortgage Trust,
Ser 2006-C7, Cl D (F)
5.496%, 11/15/38 593 602
LB-UBS Commercial Mortgage Trust,
Ser 2009-C7, Cl A3
5.347%, 11/15/38 6,844 6,953
Lehman XS Trust, Ser 2005-5N,
Cl 1A1 (F)
5.620%, 12/01/06 11,240 11,275
Lehman XS Trust, Ser 2005-7N,
Cl 1A1B (F)
5.620%, 12/25/06 7,453 7,485
Long Beach Mortgage Loan Trust,
Ser 2006-4, Cl 2A1 (F)
5.370%, 12/25/06 11,842 11,842
MLCC Mortgage Investors,
Ser 2004-B, Cl A3 (F)
6.537%, 12/01/06 1,702 1,736
Master Adjustable Rate
Mortgages Trust, Ser 2004-13,
Cl 3A7A (F)
3.787%, 12/01/06 11,650 11,356
Master Alternative Loans Trust,
Ser 2004-4, Cl 1A1
5.500%, 05/25/34 3,454 3,439
Master Asset-Backed
Securities Trust,
Ser 2004-OPT2, Cl A2 (F)
5.670%, 12/26/06 134 134
Master Asset-Backed Securities
Trust, Ser 2005-AB1, Cl A1B (G)
5.143%, 12/01/06 1,285 1,278
Master Reperforming Loan Trust,
Ser 2005-1, Cl 1A1 (C)
6.000%, 08/25/34 5,836 5,868
Master Reperforming Loan Trust,
Ser 2006-1, Cl 1A1F (F)
5.680%, 12/25/06 2,543 2,534
Master Seasoned Securities Trust,
Ser 2005-2, Cl 2A1 (F)
5.720%, 12/25/06 1,429 1,431
Merrill Lynch Mortgage Investors,
Ser 2004-A1, Cl 4A (F)
5.347%, 12/01/06 8,641 8,623
Merrill Lynch Mortgage Investors,
Ser 2005-SD1, Cl A1 (F)
5.500%, 12/25/06 443 443
Merrill Lynch Mortgage Investors,
Ser 2006-WMC2, Cl A2B (G)
5.464%, 12/01/06 699 699
- --------------------------------------------------------------------------------
104 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Merrill Lynch Mortgage Investors,
Ser 2006-WMC2, Cl A2D (G)
5.895%, 12/25/06 $ 5,789 $ 5,903
Merrill Lynch Mortgage Trust,
Ser 2002-MW1, Cl A4
5.619%, 07/12/34 5,203 5,344
Merrill Lynch Mortgage Trust,
Ser 2004-KEY2, Cl A4 (F)
4.864%, 08/12/39 3,479 3,420
Merrill Lynch Mortgage Trust,
Ser 2004-MKB1, Cl A3 (F)
4.892%, 02/12/42 151 150
Merrill Lynch Mortgage Trust,
Ser 2005-MCP1, Cl A4 (F)
4.747%, 06/12/43 4,080 3,977
Merrill Lynch, Ser 2006-3,
Cl A1 (F)
4.711%, 07/12/46 79 78
Merrill Lynch Countrywide
Commercial Mortgage Trust,
Ser 2006-1, Cl A2 (F)
5.440%, 12/01/06 150 152
Metropolitan Asset Funding,
Ser 1997-B, Cl A1D (C)
7.130%, 03/20/12 237 236
Mid-State Trust, Ser 11, Cl A1
4.864%, 07/15/38 3,540 3,437
Morgan Stanley Capital I,
Ser 2003-IQ6, Cl A
4.970%, 12/01/06 2,273 2,255
Morgan Stanley Capital I,
Ser 2003-T11, Cl A4
5.150%, 06/13/41 4,594 4,618
Morgan Stanley Capital I,
Ser 2004-HQ4, Cl A2
3.920%, 04/14/40 957 942
Morgan Stanley Capital I,
Ser 2005-HQ5, Cl A3
5.007%, 01/14/42 110 110
Morgan Stanley Capital I,
Ser 2005-HQ5, Cl AAB
5.037%, 01/14/42 1,346 1,345
Morgan Stanley Capital I,
Ser 2005-HQ6, Cl A4A
4.989%, 08/13/42 4,630 4,589
Morgan Stanley Capital I,
Ser 2006-HQ8, Cl A1
5.124%, 03/12/44 771 773
Morgan Stanley Capital I,
Ser 2006-HQ9, Cl A1
5.490%, 07/20/44 215 218
Morgan Stanley Capital I,
Ser 2006-HQ10, Cl A1
5.131%, 12/01/06 340 341
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Morgan Stanley Capital I,
Ser 2006-HQ10, Cl A2
5.283%, 11/12/41 $ 2,822 $ 2,850
Morgan Stanley Capital I,
Ser 2006-T23, Cl A2 (F)
5.914%, 12/01/06 200 206
Morgan Stanley Capital,
Ser 2003-IQ5 Cl A4
5.010%, 12/01/06 3,770 3,758
Morgan Stanley Dean Witter
Capital, Ser 2000-LIF2,
Cl A2
7.200%, 10/15/33 5,075 5,375
Morgan Stanley Dean Witter
Capital, Ser 2000-LIFE,
Cl A2
7.570%, 11/15/36 3,309 3,507
Morgan Stanley Dean Witter
Capital, Ser 2002-IQ3, Cl A4
5.080%, 12/01/06 6,633 6,644
Morgan Stanley Dean Witter
Capital, Ser 2003-HQ2, Cl A1
4.180%, 03/12/35 303 295
Nationslink Funding,
Ser 1999-1, Cl 2
6.316%, 01/20/31 6,095 6,196
New Century Home Equity
Loan Trust, Ser 2005-B,
Cl A2A (F)
5.440%, 12/25/06 4,120 4,120
Newcastle CDO, Ser 2005-6A,
Cl IM1 (F) (K)
5.340%, 04/24/07 4,149 4,149
Nomura Asset Securities,
Ser 1998-D6, Cl A1C
6.690%, 03/15/30 166 178
Northstar Education Finance,
Ser 2005-1, Cl A5
4.740%, 10/30/45 2,388 2,368
Novastar Home Equity Loan,
Ser 1998-2, Cl A2 (F)
5.555%, 12/25/06 277 277
Oakwood Mortgage Investors,
Ser 2002-C, Cl A, IO (H)
6.000%, 08/15/10 7,334 1,093
Oncor Electric Delivery
Transition Bond, Ser 2003-1,
Cl A2
4.030%, 02/15/12 3,130 3,083
Option One Mortgage Loan Trust,
Ser 2001-4, Cl A (F)
5.920%, 12/25/06 595 595
Origen Manufactured Housing,
Ser 2002-A, Cl A1 (F)
5.560%, 12/15/06 83 83
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 105
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Ownit Mortgage Loan Asset-Backed
Securities Trust, Ser 2006-1,
Cl AF1 (G)
5.424%, 12/25/36 $ 1,149 $ 1,143
Park Place Securities NIM
Trust, Ser 2004-MM1,
Cl MM1 (F) (K)
5.350%, 02/26/07 6,164 6,164
Public Service New Hampshire
Funding, Ser 2001-1, Cl A3
6.480%, 05/01/15 1,866 1,989
RAAC, Ser, 2005-SP1, Cl 2A2
5.250%, 12/01/06 808 800
Renaissance Home Equity Loan
Trust, Ser 2005-3, Cl AF2 (G)
4.723%, 12/01/06 1,000 993
Renaissance Home Equity Loan
Trust, Ser 2006-1, Cl AF3 (G)
5.608%, 12/01/06 998 999
Residential Asset Securitization
Trust, Ser 2006-A10, Cl A5
6.500%, 12/01/06 1,267 1,292
Residential Accredit Loans,
Ser QO8, Cl 1A1A (F)
5.410%, 12/25/06 21,171 21,171
Residential Asset Mortgage
Products, Ser 2003-RS3,
Cl AII (F)
5.680%, 12/25/06 235 235
Residential Asset Mortgage
Products, Ser 2004-SL1,
Cl A8
6.500%, 11/25/31 2,760 2,782
Residential Asset Mortgage
Products, Ser 2004-SL3, Cl A2
6.500%, 12/25/31 4,581 4,638
Residential Asset Securities,
Ser 2002-KS7, Cl A2 (F)
5.690%, 12/25/06 1,500 1,500
Residential Asset Securitization
Trust, Ser 2004-IP2,
Cl 2A1 (F)
5.242%, 12/01/06 4,595 4,609
Residential Funding Mortgage
Securities, Ser 2000-HI1,
Cl AI7 (G)
8.290%, 02/25/25 2,944 2,966
Residential Funding Mortgage
Securities, Ser 2005-HS1,
Cl AI1 (F)
5.440%, 12/25/06 8,421 8,396
Saturn Ventures II (F) (K)
5.380%, 02/07/07 16,706 16,706
Securitized Asset-Backed
Receivables LLC, Ser 2005-FR4,
Cl A3 (F)
5.520%, 12/25/06 3,536 3,538
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Start, Ser 2003-1, Cl X (F)
4.130%, 01/21/07 $ 4,554 $ 4,531
Start, Ser 2003-2, Cl X (F)
4.600%, 01/21/07 1,981 1,981
Structured Adjustable Rate
Mortgage Loan, Ser 2005-19XS,
Cl 1A1 (F)
5.640%, 12/26/06 14,150 14,208
TIAA Real Estate CDO,
Ser 2003 1A, Cl A1MM (F) (K)
5.350%, 09/28/07 15,428 15,428
TMS SBA Loan Trust,
Ser 1999-1, Cl A (F)
6.050%, 12/15/06 221 220
Terwin Mortgage Trust,
Ser 2005-9HGS, Cl A1 (C) (F)
4.000%, 12/01/06 4,619 4,566
Thornburg Mortgage Securities
Trust, Ser 2005-3, Cl 2A1 (F)
5.570%, 12/25/06 15,222 15,220
Thornburg Mortgage Securities
Trust, Ser 2005-4, Cl A4 (F)
5.520%, 12/25/06 19,410 19,393
Thornburg Mortgage Securities
Trust, Ser 2006-1, Cl A3 (F)
5.490%, 12/01/06 25,712 25,673
Triad Auto Receivables Owner
Trust, Ser 2006-C, Cl A3
5.260%, 11/14/11 1,931 1,941
Vendee Mortgage Trust,
Ser 1994-1, Cl 2ZB
6.500%, 12/01/06 6,485 6,747
WMALT Mortgage Pass Through,
Ser 2006-AR4, Cl DA (F)
5.402%, 12/01/06 5,591 5,602
WMALT Mortgage Pass-Through
Certificates, Ser 2006-7,
Cl A3 (G)
6.081%, 12/01/06 987 999
WMALT Mortgage Pass-Through
Certificates, Ser 2006-8,
Cl A3A (G)
5.764%, 10/25/36 915 915
WMALT Mortgage Pass-Through
Certificates, Ser 2006-AR7,
Cl A1A
5.352%, 12/01/06 2,978 2,982
WMALT Mortgage Pass-Through
Certificates, Ser 2006-AR7,
Cl A1B
5.352%, 12/01/06 1,687 1,687
Wachovia Bank Commercial
Mortgage Trust, Ser 2002-C1A,
Cl A4
6.287%, 04/15/34 2,587 2,735
- --------------------------------------------------------------------------------
106 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Wachovia Bank Commercial
Mortgage Trust,
Ser 2002-C2, Cl A4
4.980%, 11/15/34 $ 2,061 $ 2,055
Wachovia Bank Commercial
Mortgage Trust,
Ser 2003-C6, Cl A3
4.957%, 08/15/35 4,490 4,476
Wachovia Bank Commercial
Mortgage Trust,
Ser 2003-C6, Cl A4
5.125%, 08/15/35 3,233 3,242
Wachovia Bank Commercial
Mortgage Trust,
Ser 2003-C8, Cl A3
4.445%, 11/15/35 949 931
Wachovia Bank Commercial
Mortgage Trust,
Ser 2003-C9, Cl A4
5.012%, 12/15/35 993 988
Wachovia Bank Commercial
Mortgage Trust,
Ser 2003-C9, Cl B
5.109%, 12/01/06 593 593
Wachovia Bank Commercial
Mortgage Trust,
Ser 2004-C10, Cl A4
4.748%, 02/15/41 4,260 4,170
Wachovia Bank Commercial
Mortgage Trust,
Ser 2004-C11, Cl B
5.306%, 12/01/06 1,483 1,493
Wachovia Bank Commercial
Mortgage Trust,
Ser 2004-C15, Cl A4
4.803%, 10/15/41 2,844 2,784
Wachovia Bank Commercial
Mortgage Trust,
Ser 2005 C-22, Cl A4 (F)
5.441%, 12/01/06 2,775 2,814
Wachovia Bank Commercial
Mortgage Trust,
Ser 2005-C20, Cl A4 (F)
5.285%, 12/01/06 280 282
Wachovia Bank Commercial
Mortgage Trust,
Ser 2006-C26, Cl A1
5.726%, 06/15/45 143 145
Wachovia Bank Commercial
Mortgage Trust,
Ser 2006-C26, Cl A2
5.935%, 06/15/45 150 155
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Wachovia Bank Commericial
Mortgage Trust,
Ser 2006-C28, Cl A4 (F)
5.572%, 10/15/48 $ 2,693 $ 2,777
Washington Mutual Mortgage,
Ser 2003-MS1, Cl 1A
5.000%, 02/25/18 1,627 1,599
Washington Mutual Mortgage,
Ser 2003-MS2, Cl 3A1
5.000%, 03/25/18 5,680 5,588
Washington Mutual,
Ser 2002-AR18, Cl A (F)
4.124%, 12/01/06 2,753 2,729
Washington Mutual,
Ser 2005-AR13, Cl A1A1 (F)
5.620%, 12/25/06 9,533 9,582
Washington Mutual,
Ser 2005-AR15, Cl A1A2 (F)
5.610%, 12/25/06 13,852 13,906
Washington Mutual,
Ser 2005-AR16, Cl 1A4A (F)
5.121%, 12/25/06 13,585 13,572
Washington Mutual,
Ser 2005-AR19, Cl A1A2 (F)
5.620%, 12/25/06 15,090 15,138
Washington Mutual,
Ser 2006-1, Cl 3A2
5.750%, 02/25/36 6,745 6,811
Washington Mutual,
Ser 2006-AR1, Cl 1A1B (F)
5.633%, 12/01/06 5,825 5,828
Washington Mutual,
Ser 2006-AR14, Cl 1A4 (F)
5.668%, 12/01/06 884 886
Washington Mutual,
Ser 2006-AR15, Cl 1A
5.504%, 12/01/06 1,651 1,651
Washington Mutual,
Ser 2006-AR15, Cl 1A1B
5.504%, 12/01/06 2,913 2,912
Washington Mutual,
Ser 2006-AR15, Cl 2A1B
5.777%, 12/01/06 2,952 2,959
Washington Mutual,
Ser 2006-AR16, Cl 2A4 (F)
5.668%, 12/25/36 673 671
Washington Mutual,
Ser 2006-AR17, Cl 1A1B (F)
5.568%, 12/01/06 1,000 999
Wells Fargo Mortgage-Backed
Securities Trust,
Ser 2006-AR18, Cl 1A1 (F)
6.000%, 12/01/06 2,216 2,224
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 107
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed
Securities, Ser 2005-AR10,
Cl 2A14 (F)
4.109%, 12/01/06 $ 1,500 $ 1,471
Wells Fargo Mortgage-Backed
Securities, Ser 2006-7,
Cl 3A1
6.000%, 12/01/06 872 877
Wells Fargo Mortgage Backed
Securities, Ser 2006-AR19,
Cl A1 (F)
5.690%, 12/01/06 4,559 4,511
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2004-S,
Cl A7 (F)
3.540%, 12/01/06 280 274
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2005-14,
Cl 2A1
5.500%, 12/01/06 1,337 1,317
Wells Fargo Mortgage-Backed
Securities, Ser 2005-AR16,
Cl 7A1
5.256%, 12/01/06 4,144 4,075
Wells Fargo, Ser 2004-H,
Cl A-1 (F)
4.527%, 12/01/06 6,558 6,429
Wells Fargo, Ser 2005-AR14,
Cl A1 (F)
5.388%, 12/01/06 1,522 1,500
Zuni Mortgage Loan Trust,
Ser 2006-0A1, Cl A1 (F)
5.460%, 12/25/06 16,018 15,994
----------
1,218,158
----------
OTHER ASSET-BACKED SECURITIES -- 0.2%
Caterpillar Financial Asset
Trust, Ser 2006-A, Cl A2
5.590%, 02/25/09 88 88
Credit-Based Asset Servicing,
Ser 2006-CB2, Cl AF2 (G)
5.501%, 12/25/36 1,999 1,999
Embarcadero Aircraft,
Ser 2000-A, Cl A1 (C) (F)
5.800%, 12/15/06 4,465 3,751
Equity One Asset-Backed
Securities, Ser 2003-2,
Cl M1
5.050%, 09/25/33 1,050 1,037
MSDWCC Heloc Trust,
Ser 2005-1, Cl A (F)
5.510%, 12/25/06 960 961
----------
7,836
----------
Total Asset-Backed Securities
(Cost $1,315,788) ($ Thousands) 1,318,300
-----------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 19.3%
Canada T-Bill (A)
5.244%, 12/15/06 $ 2,270 $ 2,265
U.S. Treasury Bill (A) (B)
5.018%, 01/18/07 706 701
U.S. Treasury Bonds
8.875%, 02/15/19 (J) 7,358 10,287
8.125%, 08/15/19 (J) 6,344 8,483
7.500%, 11/15/16 (J) 7,437 9,213
7.125%, 02/15/23 (J) 4,442 5,676
6.250%, 08/15/23 to
05/15/30 (J) 51,718 61,823
6.000%, 02/15/26 (J) 4,500 5,252
5.375%, 02/15/31 (J) 8,635 9,573
4.500%, 02/15/36 (J) 81,068 80,264
3.875%, 04/15/29 (D) 1,903 2,506
3.625%, 04/15/28 (D) (J) 29,138 36,774
2.375%, 01/15/25 (D) (J) 17,156 17,740
2.000%, 01/15/16 (D) 2,439 2,406
2.000%, 01/15/26 (D) (J) 624 611
U.S. Treasury Notes
5.125%, 06/30/08 455 458
5.125%, 05/15/16 (J) 9,752 10,241
5.000%, 07/31/08 110 111
4.875%, 10/31/08 (D) (J) 12,506 12,561
4.875%, 05/31/08 to
08/15/16 (J) 324,531 330,400
4.625%, 11/15/16 (D) (J) 41,068 41,607
4.625%, 11/15/09 (D) 4,000 4,013
4.625%, 10/31/11 (J) 14,572 14,682
4.500%, 09/30/11 (D) (J) 5,000 5,010
4.500%, 02/15/09 to
11/15/15 (J) 14,540 14,551
4.375%, 11/15/08 to
12/15/10 (J) 32,670 32,559
4.250%, 08/15/13 to
08/15/15 (J) 64,106 63,252
4.000%, 06/15/09 to
04/15/10 (J) 27,180 26,845
3.875%, 09/15/10 370 363
3.375%, 01/15/12 (D) 263 278
3.750%, 05/15/08 (J) 9,730 9,602
3.500%, 12/15/09 to
02/15/10 (J) 37,140 36,091
3.375%, 02/15/08 to
10/15/09 (J) 79,139 77,224
2.375%, 04/15/11 (D) (J) 30,646 30,815
2.000%, 07/15/14 (D) (J) 9,376 9,261
1.875%, 07/15/15 (D) (J) 33,910 33,155
U.S. Treasury STRIPS (A)
5.740%, 11/15/21 23,570 11,697
4.840%, 02/15/36 9,462 2,572
4.691%, 05/15/16 3,425 2,240
4.316%, 08/15/09 9,974 8,836
United States Treasury TIPS
(A) (J)
2.500%, 07/15/16 21,254 21,894
----------
Total U.S. Treasury Obligations
(Cost $1,031,420) ($ Thousands) 1,053,892
----------
- --------------------------------------------------------------------------------
108 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 10.1%
FFCB (J)
5.375%, 07/18/11 $ 2,305 $ 2,366
FHLB
5.625%, 06/13/16 2,535 2,656
5.375%, 08/19/11 1,270 1,305
5.100%, 03/06/08 (J) 2,275 2,280
4.875%, 11/18/11 (J) 6,900 6,946
4.375%, 09/17/10 3,000 2,966
3.625%, 11/14/08 (J) 100 98
FHLB CMO, Ser 2015, Cl A
5.460%, 11/27/15 25,150 25,150
FHLMC
6.875%, 09/15/10 (J) 6,520 7,004
5.750%, 06/27/16 2,514 2,661
5.625%, 03/15/11 to
11/23/35 (J) 11,570 11,750
5.500%, 06/12/08 10,840 10,840
5.150%, 01/24/11 (J) 7,236 7,226
5.125%, 04/18/08 (J) 2,411 2,420
4.875%, 02/17/09 (J) 5,251 5,265
4.750%, 11/03/09 (J) 5,000 5,005
4.000%, 08/17/07 (J) 2,330 2,312
FHLMC CMO, Ser 1, Cl Z
9.300%, 04/15/19 43 45
FHLMC CMO, Ser 1081, Cl K
7.000%, 05/15/21 745 744
FHLMC CMO, Ser 1101, Cl M
6.950%, 07/15/21 405 405
FHLMC CMO, Ser 1611, Cl Z
6.500%, 11/15/23 9,647 10,067
FHLMC CMO, Ser 1983, Cl Z
6.500%, 12/15/23 1,399 1,451
FHLMC CMO, Ser 2043, Cl CJ
6.500%, 04/15/28 3,333 3,415
FHLMC CMO, Ser 2389, Cl CD
6.000%, 03/15/16 3,397 3,418
FHLMC CMO, Ser 2542, Cl ES
5.000%, 12/15/17 3,680 3,634
FHLMC CMO, Ser 2544, Cl IW, IO
5.500%, 03/15/26 2,231 94
FHLMC CMO, Ser 2579, Cl DA
4.000%, 12/01/06 6,606 6,266
FHLMC CMO, Ser 2579, Cl PI, IO
5.500%, 03/15/27 840 22
FHLMC CMO, Ser 2631, Cl MT
3.500%, 01/15/22 5,009 4,947
FHLMC CMO, Ser 2645, Cl MK
3.500%, 07/15/22 2,358 2,322
FHLMC CMO, Ser 2733, Cl ME
5.000%, 01/15/34 6,302 6,044
FHLMC CMO, Ser 2736, Cl DB
3.300%, 11/15/26 8,213 7,962
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FHLMC CMO, Ser 2809, Cl HX, IO
6.000%, 10/15/24 $ 2,795 $ 117
FHLMC CMO, Ser 2890, Cl AP
3.750%, 12/15/11 4,176 4,079
FHLMC CMO, Ser 2945, Cl SA (F)
2.718%, 12/15/06 7,247 6,941
FHLMC CMO, Ser 2975, Cl EA
5.000%, 12/01/06 2,089 2,081
FHLMC CMO, Ser 3000, Cl PA
3.900%, 01/15/23 4,177 4,073
FHLMC CMO, Ser 3014, Cl NA
4.500%, 11/15/25 8,454 8,374
FHLMC CMO, Ser 3017, Cl TA
4.500%, 08/15/35 3,837 3,752
FHLMC CMO, Ser 3019, Cl VM
5.000%, 08/15/16 2,191 2,177
FHLMC CMO, Ser 3020, Cl MA
5.500%, 04/15/27 5,764 5,806
FHLMC CMO, Ser 3026, Cl GJ
4.500%, 02/15/29 3,044 3,004
FHLMC CMO, Ser 3035, Cl DM
5.500%, 11/15/25 2,845 2,861
FHLMC CMO, Ser 3086, Cl PA
5.500%, 05/15/26 5,891 5,928
FHLMC CMO, Ser 3135, Cl JA
6.000%, 09/15/27 5,966 6,050
FHLMC CMO, Ser 3151, Cl LA
6.000%, 11/15/27 6,227 6,308
FHLMC CMO, Ser 3164, Cl NA
6.000%, 12/01/06 13,239 13,419
FHLMC CMO, Ser 3176, Cl HA
6.000%, 02/15/28 6,386 6,477
FHLMC CMO, Ser 3178, Cl MA
6.000%, 10/15/26 22,370 22,665
FHLMC CMO, Ser 3184, Cl LA
6.000%, 03/15/28 9,671 9,808
FHLMC CMO, Ser 3192, Cl GA
6.000%, 03/15/27 5,236 5,303
FHLMC CMO, Ser 3203, Cl VA
5.000%, 12/01/06 2,735 2,714
FHLMC MTN
5.750%, 05/11/11 450 451
FHLMC, Ser 1663, Cl ZB
6.750%, 12/01/06 1,706 1,758
FHLMC, Ser 2623, Cl AJ
4.500%, 12/01/06 2,531 2,471
FHLMC, Ser 2825, Cl QN
5.500%, 09/15/32 10,896 10,896
FHLMC, Ser 2841, Cl BD
4.000%, 12/01/06 186 180
FHLMC, Ser 3159, Cl PA
6.000%, 12/01/06 8,339 8,447
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 109
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FHLMC, Ser 3172, Cl PA
6.000%, 12/01/06 $ 7,678 $ 7,775
FHLMC, Ser 3174, Cl CA
5.500%, 12/01/06 3,736 3,758
FHLMC, Ser 3174, Cl PX
5.000%, 12/01/06 2,480 2,463
FHLMC, Ser 3192, Cl GB
6.000%, 12/01/06 8,756 8,902
FHLMC, Ser 3203, Cl VC
5.000%, 12/01/06 4,213 4,174
FHLMC, Ser 3215, Cl QA
6.000%, 06/15/27 4,889 4,962
FHLMC, Ser 3221, Cl VA
5.000%, 12/01/06 3,115 3,092
FNMA
7.250%, 01/15/10 (J) 11,270 12,080
7.125%, 06/15/10 (J) 7,100 7,650
6.000%, 05/15/11 (J) 6,900 7,252
5.600%, 03/29/11 3,792 3,793
5.250%, 08/01/12 to 09/15/16 9,626 9,841
5.197%, 06/25/07 (E) 4,220 4,099
5.125%, 04/15/11 3,000 3,048
5.000%, 10/15/11 3,168 3,207
FNMA CMO, Ser 1999-11, Cl Z
5.500%, 03/25/29 4,640 4,618
FNMA CMO, Ser 2001-60, Cl JZ
6.000%, 03/25/31 317 316
FNMA CMO, Ser 2002-94, Cl BJ, IO
5.500%, 04/25/16 575 36
FNMA CMO, Ser 2002-T11, Cl A
4.768%, 04/25/12 368 367
FNMA CMO, Ser 2003-113, Cl PN
3.500%, 02/25/13 1,528 1,500
FNMA CMO, Ser 2003-76, Cl DE
4.000%, 09/25/31 11,436 10,881
FNMA CMO, Ser 2003-84, Cl GD
4.500%, 12/01/06 3,146 3,068
FNMA CMO, Ser 2003-T1, Cl A
3.807%, 11/25/12 1,132 1,096
FNMA CMO, Ser 2004-88, Cl HA
6.500%, 07/25/34 2,537 2,607
FNMA CMO, Ser 2005-38, Cl CD
5.000%, 06/25/19 2,919 2,902
FNMA CMO, Ser 2005-57, Cl EG (F)
5.620%, 12/25/06 3,937 3,941
FNMA CMO, Ser 2005-63, Cl HA
5.000%, 04/25/23 4,354 4,316
FNMA CMO, Ser 2005-69, Cl JM
4.500%, 08/25/25 4,654 4,375
FNMA CMO, Ser 2005-77, Cl BX
4.500%, 07/25/28 485 480
FNMA CMO, Ser 2005-92, Cl NM
3.500%, 04/25/13 1,616 1,588
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FNMA CMO, Ser 2006-18, Cl PA
5.500%, 01/25/26 $ 3,551 $ 3,572
FNMA CMO, Ser 2006-29, Cl PA
5.500%, 08/25/26 9,494 9,545
FNMA CMO, Ser 2006-31, Cl PA
5.500%, 11/25/26 3,497 3,518
FNMA CMO, Ser 2006-41, Cl MA
5.500%, 04/25/24 3,579 3,595
FNMA CMO, Ser 2006-55, Cl PA
6.000%, 05/25/26 5,529 5,585
FNMA CMO, Ser 2006-80, Cl PD
6.000%, 12/01/06 2,450 2,498
FNMA CMO, Ser 34, Cl QJ
4.500%, 01/25/16 6,496 6,405
FNMA CMO, Ser 45, Cl BA
4.500%, 11/25/14 239 237
FNMA, Ser 2003-15, Cl CH
4.000%, 12/01/06 1,907 1,856
FNMA, Ser 2003-16, Cl PN
4.500%, 12/01/06 2,196 2,163
FNMA, Ser 2003-33, Cl CH
4.000%, 12/01/06 2,616 2,536
FNMA, Ser 2005-30, Cl GE
5.500%, 12/01/06 4,722 4,710
FNMA, Ser 2005-63, Cl PA
5.500%, 12/01/06 5,949 5,961
FNMA, Ser 2006-34, Cl PA
6.000%, 12/01/06 6,888 6,961
FNMA, Ser 2006-52, Cl PM
5.500%, 12/01/06 11,785 11,865
FNMA, Ser 2006-53, Cl BW
6.000%, 12/01/06 2,612 2,650
FNMA, Ser 2006-53, Cl PA
5.500%, 12/25/26 1,079 1,086
FNMA, Ser 2006-80, Cl PB
6.000%, 12/01/06 7,330 7,421
FNMA, Ser G93-39, Cl ZQ
6.500%, 12/01/06 1,835 1,900
FNMA, Ser G93-41, Cl Z
7.000%, 12/01/06 2,382 2,500
GNMA CMO, Ser 2001-18, Cl WH (F)
7.840%, 12/20/06 300 330
GNMA CMO, Ser 2002-51, Cl SG (F)
9.446%, 12/20/06 271 306
GNMA CMO, Ser 2003-58, Cl LG, IO
5.500%, 05/17/29 3,000 267
GNMA CMO, Ser 2003-82, Cl IO, IO
5.500%, 03/20/29 4,421 289
GNMA CMO, Ser 2004-80, Cl IP, IO
5.500%, 07/20/34 7,823 650
GNMA CMO, Ser 2004-87, Cl LI, IO
5.000%, 12/20/28 7,414 537
- --------------------------------------------------------------------------------
110 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
GNMA CMO, Ser 2006-3, Cl A
4.212%, 01/16/28 $ 961 $ 943
GNMA CMO, Ser 32, Cl A
5.079%, 01/16/30 2,405 2,408
GNMA CMO, Ser 8, Cl A
3.942%, 08/16/25 1,393 1,363
GNMA, Ser 2003-86, Cl ZK
5.000%, 10/20/33 10,105 9,457
-----------
Total U.S. Government Agency Obligations
Cost $523,314) ($ Thousands) 526,527
-----------
COMMERCIAL PAPER (A) -- 3.7%
FINANCIALS -- 3.7%
Alcoa
1.270%, 12/13/02 7,590 7,545
5.303%, 12/11/06 9,440 9,426
Broadhollow Funding (K)
5.305%, 12/07/06 11,618 11,608
DaimlerChrysler
5.576%, 12/19/06 10,530 10,501
GE Capital
5.230%, 12/11/06 6,325 6,316
KKR Pacific Funding Trust (K)
5.345%, 12/27/06 20,747 20,667
5.305%, 01/02/07 10,373 10,324
National Rural
5.273%, 12/08/06 5,985 5,979
Ocala Funding LLC (K)
5.320%, 12/18/06 10,373 10,347
5.320%, 01/26/07 10,373 10,287
Rabusa
5.301%, 12/01/06 24,396 24,396
Rhineland Funding Capital (K)
5.385%, 01/25/07 13,070 12,964
5.364%, 12/27/06 10,373 10,334
5.364%, 02/13/07 10,270 10,157
5.313%, 12/12/06 6,829 6,818
Socnam
5.301%, 12/01/06 5,041 5,041
Witherspoon Funding Limited (K)
5.329%, 12/15/06 10,373 10,352
Witherspoon Funding,
Ser 2004-1A (K)
5.330%, 03/15/07 17,905 17,905
-----------
Total Commercial Paper
(Cost $200,967)
($ Thousands) 200,967
-----------
- -------------------------------------------------------------------------------
Face Amount Market Value
Description Shares/($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
CASH EQUIVALENTS -- 1.8%
Evergreen Select Money Market
Fund, Institutional Class,
5.230%* 416,002 $ 416
SEI Daily Income Trust, Prime
Obligation Fund,
Cl A, 5.300%* 98,248,976 98,249
-----------
Total Cash Equivalents
(Cost $98,665) ($ Thousands) 98,665
----------
MASTER NOTE (A) (K) -- 0.9%
Bank of America
5.383%, 12/01/45 $ 51,867 51,867
-----------
Total Master Note
(Cost $51,867) ($ Thousands) 51,867
-----------
CERTIFICATES OF DEPOSIT (K) -- 0.7%
Barclays Bank (F)
5.330%, 06/11/07 10,373 10,373
CC USA MTN (C)
5.379%, 06/18/07 20,747 20,747
U.S. Trust of New York (F)
5.316%, 03/13/07 8,299 8,299
-----------
Total Certificates of Deposit
(Cost $39,419) ($ Thousands) 39,419
-----------
FOREIGN BONDS -- 0.2%
Canadian Government
4.000%, 12/01/31 1,161 1,517
Deutsche Bundesrepublik
3.750%, 01/04/15 6,750 9,007
-----------
Total Foreign Bonds
(Cost $9,914) ($ Thousands) 10,524
-----------
PREFERRED STOCK -- 0.2%
Aegon
6.375% 78 2,007
6.236% (F) 27 691
Bank of America, Ser E
5.718% (F) 112 2,824
Merrill Lynch
6.375% 79 2,054
Metlife
6.500% 87 2,264
-----------
Total Preferred Stock
(Cost $9,593) ($ Thousands) 9,840
-----------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 111
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MUNICIPAL BONDS -- 0.1%
Michigan, Tobacco Settlement
Finance, Ser A
7.309%, 06/01/36 $ 2,400 $ 2,504
San Diego,Tobacco Settlement
Asset Backed, RB
7.125%, 06/01/32 1,336 1,400
-----------
Total Municipal Bonds
(Cost $3,770) ($ Thousands) 3,904
-----------
REPURCHASE AGREEMENTS (N) -- 12.8%
ABN Amro
5.300%, dated 11/30/06, to be
repurchased on 12/01/06,
repurchase price $82,998,716
(collateralized by
U.S. Government Obligations,
ranging in par value $1,037,331-
$31,119,937, 0.000%-6.000%,
03/01/07-07/01/36, total
market value $84,646,229) (K) 82,986 82,986
Barclays
5.300%, dated 11/30/06, to be
repurchased on 12/01/06,
repurchase price $17,662,542
(collateralized by
U.S. Government Obligations,
ranging in par value $386,925-
$5,502,005, 2.750%-5.700%,
12/15/06-05/27/15, total
market value $18,013,421) (K) 17,660 17,660
Deutsche Bank
5.300%, dated 11/30/06, to be
repurchased on price $7,063,606
(collateralized by
U.S. Government Obligations,
ranging in par value $1,938,855-
$5,340,181, 0.000%-5.800%,
05/01/07-01/27/20, total
market value $7,204,316) (K) 7,063 7,063
Deutsche Bank
5.260%, dated 11/30/06, to be
repurchased on 12/01/06,
repurchase price $460,667,299
(collateralized by
U.S. Government Obligations,
ranging in par value $18,170,000-
$50,000,000, 5.100% total
market value $469,812,000) 460,600 460,600
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Contracts ($ Thousands)
- --------------------------------------------------------------------------------
Lehman Brothers
5.300%, dated 11/30/06, to be
repurchased on 12/01/06,
repurchase price $128,527,869
(collateralized by
U.S. Government Obligations,
ranging in par value $951,233-
$160,367,467, 3.08 total
market value $131,079,899)(K) $128,509 $ 128,509
----------
Total Repurchase Agreements
(Cost $696,818) ($ Thousands) 696,818
----------
Total Investments -- 137.1%
(Cost $7,405,882) ($ Thousands) $7,478,281
==========
WRITTEN OPTIONS -- 0.0%
U.S. Ten Year Treasury Note Call,
Expires 03/23/07,
Strike Price: $110 (700) (383)
U.S. Long Treasury Bond Put,
Expires 02/23/07,
Strike Price: $109 (188) (18)
U.S. Long Treasury Bond Put,
Expires 02/23/07,
Strike Price: $112 (108) (52)
-----------
Total Written Options
(Premiums Received $(557)) ($ Thousands) $ (453)
-----------
A summary of the open futures contracts held by the Fund at November
30, 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$ 472 Mar-2007 $ 2,663
90-Day Euro$ (155) Mar-2008 (270)
90-Day Euro$ 278 Jun-2007 16
90-Day Euro$ 1,219 Sep-2007 539
90-Day Euro$ 2,217 Dec-2006 (2,377)
90-Day Euro$ (1,697) Dec-2007 (523)
U.S. 10-Year Note 720 Dec-2006 816
U.S. 10-Year Note 665 Mar-2007 307
U.S. 2-Year Note 266 Dec-2006 80
U.S. 2-Year Note 648 Mar-2007 223
U.S. 5-Year Note 256 Dec-2006 89
U.S. 5-Year Note 1,248 Mar-2007 753
U.S. Long Treasury Bond 93 Mar-2007 (11)
-------
$ 2,305
=======
- --------------------------------------------------------------------------------
112 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
A summary of the outstanding forward foreign currency contracts held by the Fund
at November 30, 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)
- ------------------------------------------------------------------
2/7/07 CAD 6,242 USD 5,544 $ 65
2/7/07 EUR 6,809 USD 8,583 (472)
2/7/07 USD 21,956 EUR 17,070 745
2/7/07 USD 19,647 JPY 2,316,816 580
-----
$ 918
=====
A summary of the outstanding Credit Default Swap agreements held by the Fund at
November 30, 2006, is as follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
NOTIONAL NET UNREALIZED
EXPIRATION AMOUNT DEPRECIATION
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
Fund receives quarterly
payment of 0.675% (0.270%
per annum) times notional
amount of ConocoPhillips,
4.750%, 10/15/12. Upon a
defined credit event Fund
pays notional amount and
takes receipt of a defined
deliverable obligation.
(Counterparty: Morgan
Stanley & Co.) 09/20/12 $1,620 $ 8
Fund receives semi-annual
payment of 0.950%
(1.900% per annum) times
notional amount of
GSAMPTrust, 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 (2)
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 (2)
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
paysnotional amount and
takes receipt of a defined
deliverable obligation.
(Counterparty: Citibank) 12/25/34 600 (9)
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 (3)
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 (2)
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) 05/25/34 600 (2)
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 (3)
- --------------------------------------------------------------------------------
NOTIONAL NET UNREALIZED
EXPIRATION AMOUNT DEPRECIATION
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
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 $ (3)
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 (4)
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.
Upona defined credit event
Fund pays notional amount
and takes receipt of a
defined deliverable
obligation.
(Counterparty: Citibank) 03/25/35 600 (6)
Fund receives semi-annual
paymentof 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 (2)
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 (2)
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 (2)
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 (2)
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 (8)
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 (1)
-----
$(45)
=====
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 113
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2006
- -------------------------------------------------------------------------------
Description
- -------------------------------------------------------------------------------
Percentages are based on Net Assets of $5,456,262 ($ Thousands).
* Rate shown is the 7-day effective yield as of November 30, 2006.
+ Real Estate Investment Trust
(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 swap contracts.
(C) 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.
(D) Treasury Inflation Index Notes
(E) Zero coupon security. The rate reported on the Schedule of Investments is
the effective yield at time of purchase.
(F) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of November 30, 2006.
(G) Step Bonds -- The rate reflected on the Schedule of Investments is the
effective yield on November 30, 2006. The coupon on a step bond changes on a
specified date.
(H) Securities considered illiquid. The total value of such
securities as of November 30, 2006 was $13,807 ($ Thousands) and
represented 0.25% of Net Assets.
(I) Security in default on interest payments.
(J) This security or a partial position of this security is on loan at November
30, 2006 (see Note 9). The total value of securities on loan at November 30,
2006 was $1,100,042 ($Thousands).
(K) This security was purchased with cash collateral held from securities
lending (see Note 9). The total value of such securities as of November 30,
2006 was $1,136,235 ($ 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
ARM -- Adjustable Rate Mortgage
CAD -- Canadian Dollar
CDO -- Collateralized Debt Obligation
Cl -- Class
CMO -- Collateralized Mortgage Obligation
EXL -- Extendable Maturity
EUR -- Euro
FFCB -- Federal Farm Credit Bank
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
IO -- Interest Only
JPY -- Japanese Yen
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 -- U.S. Dollar
- --------------------------------------------------------------------------------
114 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
Long Duration Fund
November 30, 2006
- --------------------------------------------------------------------------------
[Bar Chart Omitted]
Plot points as follows:
SECTOR WEIGHTINGS++:
39.9% Asset-Backed Securities
16.1% Financials
10.9% Commercial Paper
10.5% U.S. Government Mortgage-Backed Obligations
8.5% U.S Government Agency Obligations
7.2% U.S. Treasury Obligations
1.9% Short-Term Investments
1.7% Utilities
1.6% Consumer Discretionary
1.2% Industrials
0.5% Telecommunication Services
++Percentages based on total investments.
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 42.4%
MORTGAGE RELATED SECURITIES -- 42.4%
Amortizing Residential
Collateral Trust,
Ser 2002-BC4, Cl M2 (B)
6.470%, 12/25/06 $ 185 $ 188
Asset-Backed Securities Home
Equity Loan Trust,
Ser 2003-HE4, Cl M2 (B)
7.320%, 12/15/06 1,805 1,813
Aviation Capital Group Trust,
Ser 2003-2A, Cl G2 (B)
6.120%, 12/20/06 633 641
Bayview Financial Acquisition
Trust, Ser 2005-A,
Cl A1 (A) (B)
5.820%, 12/28/06 2,100 2,100
Bayview Financial Acquisition
Trust, Ser 2005-B, Cl 1A1 (B)
4.440%, 12/01/06 78 78
Bayview Financial Revolving
Mortgage Loan Trust,
Ser 2005-E, Cl A1 (A) (B)
5.820%, 12/28/06 2,400 2,410
Chase Funding Mortgage
Loan Asset-Backed,
Ser 2000-3, Cl IA5 (B)
7.898%, 12/25/06 1,445 1,440
Citigroup Mortgage Loan
Trust, Ser 2003-1, Cl WA2
6.500%, 06/25/31 109 110
Citigroup Mortgage Loan Trust,
Ser 2004-2, Cl 2A1 (A)
6.500%, 08/25/18 369 371
Continental Airlines,
Ser 2002-1, Cl G1 (B)
5.824%, 02/15/07 106 106
Countrywide Alternative
Loan Trust, Ser 2005-16,
Cl A5 (B)
5.600%, 12/25/06 928 929
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
Countrywide Alternative
Loan Trust, Ser 2005-27,
Cl 1A2 (B)
6.064%, 12/25/06 $ 1,794 $ 1,793
Countrywide Alternative
Loan Trust, Ser 2005-27,
Cl 2A1 (B)
6.014%, 12/01/06 873 878
Countrywide Alternative
Loan Trust, Ser 2005-27,
Cl 3A2 (B)
5.760%, 12/01/06 193 193
Countrywide Alternative
Loan Trust, Ser 2005-51,
Cl 2A2A (B)
5.610%, 12/20/06 1,001 1,005
Countrywide Alternative
Loan Trust, Ser 2005-59,
Cl 1A1 (B)
5.660%, 12/20/06 1,523 1,528
Countrywide Alternative
Loan Trust, Ser 2005-59,
Cl 2X, IO (B) (E)
1.601%, 12/01/06 6,089 231
Countrywide Alternative
Loan Trust, Ser 2005-61,
Cl 2A1 (B)
5.600%, 12/25/06 846 848
Countrywide Alternative
Loan Trust, Ser 2005-72,
Cl A1 (B)
5.590%, 12/27/06 1,398 1,399
Countrywide Alternative
Loan Trust, Ser 2006-OA11,
Cl N1 (A)
6.000%, 09/25/46 1,035 1,031
Countrywide Alternative
Loan Trust, Ser 2006-OA2,
Cl X1P (E)
1.030%, 05/20/46 10,520 504
Countrywide Asset-Backed
Certificates, Ser 2003-BC1,
Cl M1 (B)
6.240%, 12/25/06 908 908
Countrywide Asset-Backed
Certificates, Ser 2004-12,
Cl 2AV2 (B)
5.600%, 12/25/06 498 498
Countrywide Asset-Backed
Certificates, Ser 2004-13,
Cl AV2 (B)
5.580%, 12/27/06 857 857
Countrywide Asset-Backed
Certificates, Ser 2005-13,
Cl AF1 (B)
5.450%, 12/27/06 1,002 1,002
Countrywide Home Equity Loan
Trust, Ser 2005-M,
Cl A2 (B)
5.440%, 12/15/06 1,520 1,520
Countrywide Home Loans,
Ser 5, Cl 1A1 (B)
5.640%, 03/25/35 431 432
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 115
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Fund (Continued)
November 30, 2006
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
Credit-Based Asset Servicing
and Securities, Ser 2005-CB5,
Cl AF1 (B)
5.460%, 12/25/06 $ 796 $ 796
DSLA Mortgage Loan Trust,
Ser 2004-AR1, Cl A2A (B)
5.730%, 12/19/06 216 216
DSLA Mortgage Loan Trust,
Ser 2005-AR2, Cl 2A1A (B)
5.530%, 12/19/06 755 756
DSLA Mortgage Loan Trust,
Ser AR4, Cl 2A1A (B)
5.580%, 12/21/06 862 865
First Franklin Mortgage
Loan Asset, Ser 2005-FF2,
Cl A2B (B)
5.500%, 12/27/06 3,250 3,252
First Franklin Mortgage Loan
Asset, Ser 2005-FFH4,
Cl N1 (A)
5.682%, 12/25/35 602 598
Fremont Home Loan Trust,
Ser 2004-4, Cl 2A2 (B)
5.600%, 12/25/06 163 163
GMAC Mortgage Loan Trust,
Ser 2000-HE2, Cl A1 (B)
5.540%, 12/25/06 955 956
GSAMP Trust, Ser 2005-HE4,
Cl A2A (B)
5.440%, 12/27/06 531 531
GSR Mortgage Loan Trust,
Ser 2005-HEL1, Cl M2 (B)
6.050%, 12/29/06 1,700 1,705
Greenpoint Mortgage Funding
Trust, Ser 2005-HE2,
Cl A1 (B)
5.520%, 12/15/06 193 193
Harborview Mortgage Loan
Trust, Ser 2004-8,
Cl 2A4A (B)
5.720%, 12/19/06 1,153 1,156
Harborview Mortgage Loan
Trust, Ser 2005-01,
Cl X, IO (B) (E)
1.263%, 12/01/06 2,761 61
Harborview Mortgage Loan Trust,
Ser 2005-10, Cl X, IO (B) (E)
1.117%, 12/01/06 4,757 126
Harborview Mortgage Loan Trust,
Ser 2005-11, Cl 2A1A (B)
5.630%, 12/19/06 1,329 1,332
Harborview Mortgage Loan Trust,
Ser 2005-12,
Cl X2B, IO (B) (E)
0.849%, 12/01/06 4,866 136
Harborview Mortgage Loan Trust,
Ser 2006-1, Cl X1, IO (B) (E)
1.446%, 03/19/37 11,000 528
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
Home Equity Asset Trust,
Ser 2005-5, Cl 2A1 (B)
5.430%, 12/25/06 $ 433 $ 433
Home Equity Mortgage Trust,
Ser 2005-1, Cl A1 (B)
5.520%, 12/25/06 11 11
Home Equity Mortgage Trust,
Ser 2006-1, Cl A1B (B)
5.450%, 12/27/06 1,846 1,846
Indymac Home Equity Loan
Asset-Backed Trust,
Ser 2002-A, Cl M1 (B)
6.070%, 12/27/06 1,575 1,576
Indymac Index Mortgage
Loan Trust, Ser 2004-AR12,
Cl A1 (B)
5.710%, 12/25/06 870 872
Indymac Index Mortgage
Loan Trust, Ser 2004-AR12,
Cl AX2, IO (B) (E)
0.930%, 12/01/06 2,673 61
Indymac Index Mortgage
Loan Trust, Ser 2004-AR5,
Cl 2A1B (B)
5.720%, 12/27/06 1,010 1,012
Indymac Index Mortgage
Loan Trust, Ser 2004-AR6,
Cl 6A1 (B)
5.458%, 12/01/06 305 306
Indymac Index Mortgage
Loan Trust, Ser 2004-AR7,
Cl A2 (B)
5.750%, 12/25/06 279 280
Indymac Index Mortgage
Loan Trust, Ser 2004-AR8,
Cl 2A2A (B)
5.720%, 12/27/06 211 212
Indymac Index Mortgage
Loan Trust, Ser 2005-AR18,
Cl 2A1A (B)
5.630%, 12/25/06 2,121 2,125
Irwin Home Equity,
Ser 2003-A, Cl M2 (B)
7.470%, 12/27/06 475 478
Lehman XS Trust, Ser 2006-12N,
Cl A1A1 (B)
5.400%, 12/25/06 1,361 1,361
Long Beach Asset Holdings,
Ser 2006-9, Cl N1 (A)
6.250%, 10/25/46 1,700 1,696
Master Alternative Loans
Trust, Ser 2003-3, Class 2A1
8.500%, 05/25/33 304 307
Master Seasoned Securities Trust,
Ser 2005-1, Cl 4A1 (B)
5.827%, 12/25/06 564 572
Merrill Lynch Mortgage
Investors, Ser 2006-WMC1,
Cl A2B (B)
5.460%, 12/27/06 2,750 2,750
Mid-State Trust,
Ser 2004-1, Cl B
8.900%, 08/15/37 499 524
- --------------------------------------------------------------------------------
116 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
Morgan Stanley Capital I,
Ser 2002-HE3, Cl M1 (B)
6.420%, 12/26/06 $ 2,000 $ 2,015
Morgan Stanley Capital I,
Ser 2004-NC2, Cl M2 (B)
6.520%, 12/26/06 1,500 1,516
Nomura Asset Acceptance,
Ser 2006-S1, Cl A1 (B)
5.460%, 12/25/06 1,759 1,759
Renaissance NIM Trust,
Ser 2005-2, Cl N (A)
5.193%, 07/25/35 101 101
Residential Asset Mortgage
Products, Ser 2004-RS11,
Cl A2 (B)
5.590%, 12/25/06 539 540
Residential Asset Securities,
Ser 2005-KS8, Cl A1 (B)
5.430%, 12/27/06 860 860
Residential Funding Mortgage
Securities II, Ser 2006-HSA2,
Cl AI1 (B)
5.430%, 12/27/06 2,034 2,034
Residential Funding Mortgage
Securities, Ser 1999-HI8,
Cl AI7
7.970%, 11/25/29 394 393
Saxon Asset Securities Trust,
Ser 2004-3, Cl A3 (B)
5.660%, 12/26/06 158 158
Saxon Asset Securities Trust,
Ser 2005-1, Cl M1 (B)
5.850%, 12/25/06 1,795 1,796
Soundview Home Equity Loan
Trust, Ser 2006-1,
Cl A2 (B)
5.460%, 12/27/06 2,470 2,470
Soundview NIM Trust,
Ser 2005-OPT4, Cl N1
5.682%, 12/25/35 240 239
Specialty Underwriting &
Residential Finance,
Ser AB1, Cl A1A (B)
5.410%, 12/25/06 383 383
Structured Asset Investment
Loan Trust, Ser 2005-HE3,
Cl A3 (B)
5.440%, 12/27/06 927 927
Structured Asset Mortgage
Investments, Ser 2006-AR1,
Cl 3A1 (B)
5.550%, 12/28/06 2,190 2,193
Terwin Mortgage Trust,
Ser 2005-11, Cl 1A1A (B)
4.500%, 12/25/06 330 329
Terwin Mortgage Trust,
Ser 2005-14HE, Cl AF1 (B)
5.460%, 12/27/06 921 921
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
Terwin Mortgage Trust,
Ser 2006-8, Cl 2A1 (A) (B)
4.500%, 08/25/37 $ 1,514 $ 1,503
Washington Mutual,
Ser 2000-1, Cl M2 (B)
6.120%, 12/25/06 694 695
Washington Mutual,
Ser 2004-AR10, Cl A2A (B)
5.625%, 12/25/06 65 65
Washington Mutual,
Ser 2004-AR12, Cl A4A (B)
5.625%, 12/25/06 141 141
Washington Mutual,
Ser 2005-AR1, Cl A2A2 (B)
5.570%, 12/25/06 520 521
Washington Mutual, Ser 2005-AR2,
Cl 2A21 (B)
5.650%, 12/25/06 792 795
Washington Mutual,
Ser 2005-AR2, Cl 2A22 (B)
5.540%, 12/25/06 267 268
Washington Mutual,
Ser 2005-AR6, Cl 2AB1 (B)
5.510%, 12/25/06 333 333
--------
Total Asset-Backed Securities
(Cost $77,622) ($ Thousands) 77,560
--------
CORPORATE OBLIGATIONS -- 22.4%
CONSUMER DISCRETIONARY -- 1.7%
Comcast (B)
5.674%, 01/16/07 825 827
DaimlerChrysler (B)
5.640%, 12/07/06 1,375 1,375
General Motors
8.375%, 07/15/33 153 140
Johnson Controls (B)
5.604%, 01/17/07 786 787
--------
3,129
--------
FINANCIALS -- 17.1%
Bank of America, Ser A (A)
8.070%, 12/31/26 1,667 1,736
BankBoston Capital Trust I,
Ser B
8.250%, 12/15/26 145 151
Barrick Gold Finance
5.800%, 11/15/34 897 858
Capital One Financial MTN (B)
5.670%, 12/11/06 1,000 1,003
Corestates Capital Trust I (A)
8.000%, 12/15/26 1,000 1,040
Countrywide Financial (B)
5.618%, 02/05/07 200 200
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 117
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Fund (Continued)
November 30, 2006
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
Countrywide Home Loans MTN,
Ser E
6.935%, 07/16/07 $ 690 $ 696
Credit Suisse First Boston
London (A) (B) (F)
0.000%, 03/24/10 1,271 1,148
Deutsche Bank Capital
Funding Trust (A) (B)
5.628%, 01/19/49 2,182 2,166
Deutsche Bank Luxembourg (A)
6.825%, 12/28/07 281 286
EOP Operating (B)
5.972%, 01/03/07 510 516
Farmers Insurance Exchange (A)
8.625%, 05/01/24 160 196
First Chicago NBD Institutional
Capital A (A)
7.950%, 12/01/26 500 520
Ford Motor Credit
8.371%, 02/02/07 (B) 475 481
7.000%, 10/01/13 865 830
6.625%, 06/16/08 240 239
General Motors Acceptance (B)
7.600%, 12/25/06 938 977
Goldman Sachs Group
5.350%, 01/15/16 2,270 2,273
HSBC Capital Trust II (A)
8.380%, 05/15/27 9 9
JPMorgan
8.750%, 02/28/07 455 444
Keycorp Institutional
Capital, Ser B
8.250%, 12/15/26 1,500 1,563
Lehman Brothers Holdings
MTN (B)
5.594%, 01/18/07 730 731
Lehman Brothers Holdings MTN,
Ser H (B) (G)
0.000%, 11/30/10 528 484
Meridian Funding (A) (B)
5.570%, 01/06/07 174 174
Nationwide Mutual Insurance (A)
6.600%, 04/15/34 305 310
Pemex Finance
8.020%, 05/15/07 150 151
Popular North America (B)
5.740%, 12/12/06 735 737
Power Receivables Financial (A)
6.290%, 01/01/12 376 380
Providian Capital I (A)
9.525%, 02/01/27 1,715 1,804
Residential Capital (B)
6.742%, 12/29/06 380 382
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
Rosyln Bancorp
5.750%, 11/15/07 $ 900 $ 895
Simon Property Group+
5.750%, 05/01/12 870 891
Spieker Properties+
7.650%, 12/15/10 360 396
7.250%, 05/01/09 400 420
State Street Institutional
Capital, Cl B (A)
8.035%, 03/15/27 1,368 1,430
Swiss Capital (A)
6.854%, 05/29/49 1,300 1,384
Toyota Motor Credit MTN (B)
8.000%, 04/24/07 1,395 1,384
Zurich Capital Trust I (A)
8.376%, 06/01/37 1,863 1,956
--------
31,241
--------
INDUSTRIALS -- 1.3%
America West Airlines,
Ser 01-1
7.100%, 04/02/21 174 184
American Airlines, Ser AMBC
3.857%, 07/09/10 221 209
Cedar Brakes II LLC (A)
9.875%, 09/01/13 782 874
Continental Airlines,
Ser AMBC
6.236%, 03/15/20 99 102
Oracle (A) (B)
5.603%, 01/17/07 909 910
--------
2,279
--------
TELECOMMUNICATION SERVICES -- 0.5%
New England Telephone & Telegraph
7.650%, 06/15/07 900 910
--------
UTILITIES -- 1.8%
Entergy Gulf States (B)
5.800%, 02/15/07 525 524
Power Contract Financing (A)
6.256%, 02/01/10 1,064 1,073
Progress Energy Florida, Cl A (B)
5.774%, 12/13/06 1,000 1,002
Sempra Energy
4.621%, 05/17/07 525 523
Sempra Energy (B)
5.845%, 02/21/07 190 190
--------
3,312
--------
Total Corporate Obligations
(Cost $40,826) ($ Thousands) 40,871
--------
- --------------------------------------------------------------------------------
118 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 11.1%
FHLMC
7.000%, 01/01/33 $ 455 $ 471
6.500%, 08/01/29 738 748
3.143%, 05/01/34 2,130 2,125
FHLMC ARM
6.339%, 12/01/06 761 778
6.218%, 01/01/33 701 720
4.107%, 08/01/34 1,390 1,397
3.878%, 01/01/34 1,736 1,766
3.422%, 08/01/34 1,827 1,829
3.267%, 04/01/34 1,487 1,484
3.129%, 04/01/34 (C) 1,371 1,365
FNMA
7.000%, 04/01/34 545 560
5.500%, 10/01/17 to 02/01/18 425 427
3.876%, 04/01/35 1,230 1,223
FNMA ARM
6.351%, 01/01/33 (C) 645 656
6.089%, 07/01/33 (C) 655 664
5.697%, 06/01/33 1,977 1,997
4.672%, 08/01/34 1,418 1,422
GNMA ARM
5.375%, 06/20/32 737 741
--------
Total U.S. Government Mortgage-Backed
Obligations
(Cost $20,179) ($ Thousands) 20,373
--------
COMMERCIAL PAPER -- 11.6%
FINANCIALS -- 11.6%
Alcoa
5.260%, 12/22/06 1,005 1,002
Chariot
5.270%, 12/22/06 3,625 3,614
GE Capital
5.230%, 12/11/06 2,935 2,931
Kittyhawk Funding
5.260%, 12/20/06 3,630 3,620
National Rural Utilities
5.250%, 12/15/06 4,315 4,306
Ranger Funding
5.270%, 12/21/06 3,135 3,126
Yorktown
5.260%, 12/20/06 2,685 2,677
--------
Total Commercial Paper
(Cost $21,276) ($ Thousands) 21,276
--------
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 9.0%
FHLMC
5.500%, 06/12/08 $ 1,815 $ 1,815
FHLMC CMO, Ser 2006-4, Cl WE
4.500%, 02/25/36 3,050 2,755
FHLMC CMO, Ser 2748, Cl ZT
5.500%, 02/15/24 84 82
FHLMC (D)
5.180%, 12/26/06 3,740 3,727
5.170%, 12/18/06 5,215 5,202
FNMA CMO, Ser 2001-13, Cl SA
6.072%, 12/25/06 64 64
FNMA CMO, Ser 2001-48, Cl PD
6.500%, 06/25/20 371 374
FNMA CMO, Ser 2003-122, Cl ZQ
6.000%, 12/25/33 111 117
FNMA CMO, Ser 2003-33, Cl PC
4.500%, 03/25/27 176 175
FNMA CMO, Ser 2004-12, Cl ZX
6.000%, 03/25/34 120 125
FNMA CMO, Ser 2004-31, Cl MZ
4.250%, 05/25/34 111 85
FNMA CMO, Ser 2004-80, Cl XZ
5.000%, 11/25/34 220 187
GNMA CMO, Ser 2003-112, Cl SG (B)
1.170%, 12/16/06 185 134
GNMA, Ser 2003-86, Cl ZK
5.000%, 10/20/33 1,742 1,630
--------
Total U.S. Government Agency Obligations
(Cost $16,174) ($ Thousands) 16,472
--------
U.S. TREASURY OBLIGATIONS -- 7.7%
U.S. Treasury Bill (C) (D)
5.013%, 01/18/07 1,605 1,595
U.S. Treasury Bond Forward
Commitments
6.250%, 08/15/23 10,500 12,413
--------
Total U.S. Treasury Obligations
(Cost $13,779) ($ Thousands) 14,008
--------
CASH EQUIVALENT -- 2.1%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.300%* 3,781,931 3,782
--------
Total Cash Equivalent
(Cost $3,782) ($ Thousands) 3,782
--------
Total Investments -- 106.3%
(Cost $193,638) ($ Thousands) $194,342
========
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 119
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Fund (Continued)
November 30, 2006
A summary of the outstanding Interest Rate Swap agreements held by the Fund at
November 30, 2006, is a follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ 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 (685)
Receive fixed rate of 4.85%
and pay floating rate,
rate based on 3 Month
LIBOR. (Counterparty:
Salomon Brothers) 08/02/20 14,965 (48)
Receive fixed rate of 5.00%
and pay floating rate,
rate based on 3 Month
LIBOR. Counterparty:
Salomon Brothers) 01/04/21 54,565 648
Receive fixed rate of 5.064%
and pay floating rate,
rate based on 3 Month
LIBOR. (Counterparty:
Salomon Brothers) 03/02/16 11,060 106
Receive fixed rate of 5.183%
and pay floating rate,
rate based on 3 Month
LIBOR. (Counterparty:
Credit Suisse First
Boston) 11/02/20 28,025 497
Receive fixed rate of 5.3912%
and pay floating rate,
rate based on 3 Month
LIBOR. (Counterparty:
Credit Suisse First
Boston) 04/04/16 5,980 208
Receive fixed rate of 4.916%
and pay floating rate,
rate based on 3 Month
LIBOR. (Counterparty:
Deutsche Bank) 04/04/20 27,035 (254)
Receive fixed rate of 5.280%
and pay floating rate,
rate based on 3 Month
LIBOR. (Counterparty:
Barclays Capital) 09/05/16 3,690 99
Receive fixed rate of 5.728%
and pay floating rate,
rate based on 3 Month
LIBOR. (Counterparty:
Credit Suisse First
Boston) 07/05/16 4,400 331
-----
$ 902
=====
- -------------------------------------------------------------------------------
Description
- -------------------------------------------------------------------------------
Percentages are based on Net Assets of $182,849 ($ Thousands).
* Rate shown is the 7-day effective yield as of November 30, 2006.
+ Real Estate Investment Trust
(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) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of November 30, 2006.
(C) Security, or portion of this security, has been pledged as collateral on
open swap contracts.
(D) The rate reported is the effective yield at time of purchase.
(E) Securities considered illiquid. The total value of such securities as of
November 30, 2006 was $2,114 ($ Thousands) and represented 1.16% 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.
ARM -- Adjustable Rate Mortgage
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 Rate Margin
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
120 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
Extended Duration Fund
November 30, 2006
- --------------------------------------------------------------------------------
[Bar Chart Omitted]
Plot points as follows:
SECTOR WEIGHTINGS++:
36.6% Asset-Backed Securities
15.7% Financials
12.5% Commercial Paper
10.9% U.S. Government Agency Obligations
8.3% U.S. Treasury Obligations
7.9% U.S. Government Mortgage Backed Obligations
2.4% Industrials
2.2% Short-Term Investments
1.7% Utilities
1.2% Consumer Discretionary
0.6% Telecommunication Services
++Percentages based on total investments.
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 32.9%
MORTGAGE RELATED SECURITIES -- 32.9%
Amortizing Residential
Collateral Trust,
Ser 2002-BC4, Cl M2 (B)
6.470%, 12/25/06 $ 157 $ 159
Asset-Backed Securities Home
Equity Loan Trust,
Ser 2003-HE4, Cl M2 (B)
7.320%, 12/15/06 2,927 2,939
Aviation Capital Group Trust,
Ser 2003-2A, Cl G2 (B)
6.120%, 12/20/06 1,323 1,340
Bayview Financial Acquisition
Trust, Ser 2005-A,
Cl A1 (A) (B)
5.820%, 12/28/06 2,700 2,700
Bayview Financial Acquisition
Trust, Ser 2005-B,
Cl 1A1 (B)
4.440%, 12/01/06 156 156
Bayview Financial Revolving
Mortgage Loan Trust,
Ser 2005-E,
Cl A1 (A) (B)
5.820%, 12/28/06 3,200 3,214
Chase Funding Mortgage Loan
Asset-Backed, Ser 2000-3,
Cl IA5 (B)
7.898%, 12/25/06 1,533 1,527
Citigroup Mortgage Loan Trust,
Ser 2003-1, Cl WA2
6.500%, 06/25/31 194 196
Citigroup Mortgage Loan Trust,
Ser 2004-2, Cl 2A1 (A)
6.500%, 08/25/18 335 337
Continental Airlines,
Ser 2002-1, Cl G1 (B)
5.824%, 02/15/07 371 372
Countrywide Alternative Loan
Trust, Ser 2005-27,
Cl 2A1 (B)
6.014%, 12/01/06 1,811 1,820
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
Countrywide Alternative
Loan Trust, Ser 2005-27,
Cl 3A2 (B)
5.760%, 12/01/06 $ 358 $ 358
Countrywide Alternative Loan
Trust, Ser 2005-59, Cl 1A1 (B)
5.660%, 12/20/06 2,453 2,462
Countrywide Alternative Loan
Trust, Ser 2005-59,
Cl 2X, IO (B) (E)
1.601%, 12/01/06 8,026 305
Countrywide Alternative
Loan Trust, Ser 2005-61,
Cl 2A1 (B)
5.600%, 12/25/06 1,101 1,103
Countrywide Alternative
Loan Trust, Ser 2005-72,
Cl A1 (B)
5.590%, 12/27/06 2,297 2,299
Countrywide Alternative
Loan Trust, Ser 2006-OA11,
Cl N1 (A)
6.000%, 09/25/46 1,450 1,443
Countrywide Alternative Loan
Trust, Ser 2006-OA2,
Cl X1P (E)
1.030%, 05/20/46 13,510 647
Countrywide Asset-Backed
Certificates, Ser 2003-BC1,
Cl M1 (B)
6.240%, 12/25/06 1,736 1,738
Countrywide Asset-Backed
Certificates, Ser 2004-12,
Cl 2AV2 (B)
5.600%, 12/25/06 653 653
Countrywide Asset-Backed
Certificates, Ser 2004-13,
Cl AV2 (B)
5.580%, 12/27/06 1,142 1,143
Countrywide Asset-Backed
Certificates, Ser 2005-13,
Cl AF1 (B)
5.450%, 12/27/06 1,502 1,503
Countrywide Home Equity Loan
Trust, Ser 2005-M, Cl A2 (B)
5.440%, 12/15/06 1,843 1,842
Credit-Based Asset Servicing
and Securities,
Ser 2005-CB5, Cl AF1 (B)
5.460%, 12/25/06 1,298 1,298
DSLA Mortgage Loan Trust,
Ser 2004-AR1, Cl A2A (B)
5.730%, 12/19/06 241 242
DSLA Mortgage Loan Trust,
Ser AR4, Cl 2A1A (B)
5.580%, 12/21/06 1,387 1,391
Equifirst Mortgage Loan Trust,
Ser 2004-3, Cl A1 (B)
5.650%, 12/27/06 739 740
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 121
SCHEDULE OF INVESTMENTS (Unaudited)
Extended Duration Fund (Continued)
November 30, 2006
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
First Franklin Mortgage
Loan Asset, Ser 2005-FF2,
Cl A2B (B)
5.500%, 12/27/06 $ 4,000 $ 4,002
First Franklin Mortgage
Loan Asset, Ser 2005-FFH4,
Cl N1 (A)
5.682%, 12/25/35 739 735
Fremont Home Loan Trust,
Ser 2004-4, Cl 2A2 (B)
5.600%, 12/25/06 475 475
GMAC Mortgage Loan Trust,
Ser 2000-HE2, Cl A1 (B)
5.540%, 12/25/06 1,301 1,302
GSR Mortgage Loan Trust,
Ser 2005-HEL1, Cl M2 (B)
6.050%, 12/29/06 2,400 2,408
Green Tree Home Equity Loan
Trust, Ser 1999-D, Cl M2
8.880%, 09/15/30 2,191 2,194
Greenpoint Mortgage Funding
Trust, Ser 2005-HE2,
Cl A1 (B)
5.520%, 12/15/06 471 471
Harborview Mortgage Loan Trust,
Ser 10, Cl 2A1A (B)
5.630%, 12/21/06 1,497 1,501
Harborview Mortgage Loan Trust,
Ser 2004-8, Cl 2A4A (B)
5.720%, 12/19/06 1,569 1,574
Harborview Mortgage Loan Trust,
Ser 2005-01, Cl X, IO (B) (E)
1.263%, 12/01/06 2,810 62
Harborview Mortgage Loan Trust,
Ser 2005-10, Cl X, IO (B) (E)
1.117%, 12/01/06 7,272 193
Harborview Mortgage Loan Trust,
Ser 2005-12, Cl X2B, IO (B) (E)
0.849%, 12/01/06 8,110 227
Harborview Mortgage Loan Trust,
Ser 2006-1, Cl X1, IO (B) (E)
1.446%, 03/19/37 13,000 624
Hasco NIM Trust,
Ser 2006-FF11, Cl A
6.168%, 08/26/36 1,741 1,739
Home Equity Asset Trust,
Ser 2005-5, Cl 2A1 (B)
5.430%, 12/25/06 703 703
Home Equity Mortgage Trust,
Ser 2005-1, Cl A1 (B)
5.520%, 12/25/06 19 19
Indymac Home Equity Loan
Asset-Backed Trust,
Ser 2002-A, Cl M1 (B)
6.070%, 12/27/06 2,050 2,051
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
Indymac Index Mortgage Loan
Trust, Ser 2004-AR12,
Cl A1 (B) (E)
5.710%, 12/25/06 $ 895 $ 897
Indymac Index Mortgage Loan
Trust, Ser 2004-AR12,
Cl AX2, IO (B)
0.930%, 12/01/06 5,024 115
Indymac Index Mortgage Loan
Trust, Ser 2004-AR5,
Cl 2A1B (B)
5.720%, 12/27/06 1,294 1,297
Indymac Index Mortgage Loan
Trust, Ser 2004-AR6, Cl 6A1 (B)
5.458%, 12/01/06 263 263
Indymac Index Mortgage Loan
Trust, Ser 2004-AR7,
Cl A2 (B)
5.750%, 12/25/06 380 382
Indymac Index Mortgage
Loan Trust, Ser 2004-AR8,
Cl 2A2A (B)
5.720%, 12/27/06 295 297
Indymac Index Mortgage
Loan Trust, Ser 2005,AR18,
Cl 2A1B (B)
6.100%, 12/25/06 742 749
Indymac Index Mortgage Loan
Trust, Ser 2005-AR18,
Cl 2A1A (B)
5.630%, 12/25/06 2,828 2,833
Indymac Residential Asset
Backed Trust, Ser 2006-A,
Cl A2 (B)
5.470%, 12/25/06 2,350 2,351
Irwin Home Equity, Ser 2003-A,
Cl M2 (B)
7.470%, 12/27/06 525 528
Lehman XS Trust, Ser 2006-12N,
Cl A1A1 (B)
5.400%, 12/25/06 1,814 1,815
Long Beach Asset Holdings,
Ser 2006-8, Cl N1
6.048%, 10/25/46 3,596 3,596
Long Beach Asset Holdings,
Ser 2006-9, Cl N1
6.250%, 10/25/46 2,499 2,495
Master Alternative Loans
Trust, Ser 2003-3, Class 2A1
8.500%, 05/25/33 253 256
Master Seasoned Securities
Trust, Ser 2005-1, Cl 4A1 (B)
5.827%, 12/25/06 1,225 1,243
Mid-State Trust, Ser 2004-1, Cl B
8.900%, 08/15/37 413 434
Morgan Stanley Capital I,
Ser 2002-HE3, Cl M1 (B)
6.420%, 12/26/06 3,000 3,022
Nomura Asset Acceptance,
Ser 2006-S4, Cl AIO, IO (B)
10.000%, 08/25/36 12,500 1,337
- --------------------------------------------------------------------------------
122 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
People's Choice Home Loan
Securities Trust,
Ser 2005-1, Cl 1A2 (B)
5.590%, 12/25/06 $ 1,179 $ 1,180
Renaissance NIM Trust,
Ser 2005-2, Cl N (A)
5.193%, 07/25/35 203 202
Residential Asset Mortgage
Products, Ser 2004-RS11,
Cl A2 (B)
5.590%, 12/25/06 1,602 1,606
Residential Asset Securities,
Ser 2004-KS11, Cl AI2 (B)
5.590%, 12/27/06 1,079 1,081
Residential Funding Mortgage
Securities, Ser 1999-HI8,
Cl AI7
7.970%, 11/25/29 322 321
Saco I Trust, Ser 2006-8,
Cl AIO, IO
5.500%, 06/25/36 32,975 1,493
Saxon Asset Securities
Trust, Ser 2004-3,
Cl A3 (B)
5.660%, 12/26/06 792 792
Saxon Asset Securities Trust,
Ser 2005-1, Cl M1 (B)
5.850%, 12/25/06 2,925 2,927
Specialty Underwriting &
Residential Finance,
Ser 2004-BC3, Cl A2B (B)
5.630%, 12/26/06 503 504
Specialty Underwriting &
Residential Finance, Ser AB1,
Cl A1A (B)
5.410%, 12/25/06 613 613
Structured Asset Investment
Loan Trust, Ser 2005-HE3,
Cl A3 (B)
5.440%, 12/27/06 927 927
Structured Asset Mortgage
Investments, Ser 2006-AR1,
Cl 3A1 (B)
5.550%, 12/28/06 3,355 3,358
Superior Wholesale Inventory
Financing Trust, Ser 2004-A9,
Cl A, (B)
5.370%, 12/17/06 3,500 3,499
Terwin Mortgage Trust,
Ser 2005-11, Cl 1A1A (A) (B)
4.500%, 12/25/06 550 548
Terwin Mortgage Trust,
Ser 2006-8, Cl 2A1 (A) (B)
4.500%, 08/25/37 2,103 2,088
UCFC Home Equity Loan,
Ser 1998-D, Cl MF1
6.905%, 04/15/30 345 344
Washington Mutual, Ser 2000-1,
Cl M2 (B)
6.120%, 12/25/06 610 611
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
Washington Mutual,
Ser 2003-AR6,
Cl A1 (B)
4.338%, 12/01/06 $ 1,647 $ 1,643
Washington Mutual,
Ser 2004-AR12, Cl A4A (B)
5.625%, 12/25/06 442 442
Washington Mutual,
Ser 2004-AR3, Cl A2
4.243%, 06/25/34 1,153 1,138
Washington Mutual,
Ser 2005-AR1,
Cl A2A2 (B)
5.570%, 12/25/06 764 766
Washington Mutual,
Ser 2005-AR2, Cl 2A21 (B)
5.650%, 12/25/06 1,241 1,245
Washington Mutual,
Ser 2005-AR2,
Cl 2A22 (B)
5.540%, 12/25/06 231 232
Washington Mutual,
Ser 2005-AR6, Cl 2AB1 (B)
5.510%, 12/25/06 283 283
Washington Mutual, Ser 2006-AR9,
Cl 1XPP, IO (E) (F)
0.338%, 12/01/06 153,000 1,499
----------
Total Asset-Backed Securities
(Cost $107,466) ($ Thousands) 107,459
----------
CORPORATE OBLIGATIONS -- 19.5%
CONSUMER DISCRETIONARY -- 1.1%
Comcast (B)
5.674%, 01/16/07 1,100 1,102
DaimlerChrysler (B)
5.640%, 12/07/06 855 855
General Motors
8.375%, 07/15/33 561 511
Johnson Controls (B)
5.604%, 01/17/07 1,049 1,051
----------
3,519
----------
FINANCIALS -- 14.2%
Bank of America, Ser A (A)
8.070%, 12/31/26 3,428 3,569
BankBoston Capital Trust I,
Ser B
8.250%, 12/15/26 655 683
Barrick Gold Finance
5.800%, 11/15/34 1,263 1,208
Capital One Financial MTN
5.670%, 12/11/06 1,000 1,003
Countrywide Financial (B)
5.618%, 02/05/07 1,200 1,203
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 123
SCHEDULE OF INVESTMENTS (Unaudited)
Extended Duration Fund (Continued)
November 30, 2006
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
Countrywide Home Loans MTN,
Ser E
6.935%, 07/16/07 $ 597 $ 602
Credit Suisse First Boston
London (A) (B) (G)
0.000%, 03/24/10 1,988 1,795
Deutsche Bank Capital
Funding Trust (A) (B)
5.628%, 01/19/49 2,913 2,892
Deutsche Bank Luxembourg (A)
6.825%, 12/28/07 304 309
EOP Operating (B)
5.972%, 01/03/07 430 435
Farmers Insurance Exchange (A)
8.625%, 05/01/24 175 215
First Chicago NBD Institutional
Capital A (A)
7.950%, 12/01/26 750 779
First Union Institutional
Capital I
8.040%, 12/01/26 1,250 1,301
Ford Motor Credit
7.000%, 10/01/13 1,682 1,613
6.625%, 06/16/08 500 497
Ford Motor Credit (B)
8.371%, 02/02/07 750 760
General Motors Acceptance (B)
7.600%, 12/25/06 982 1,023
Goldman Sachs Group
5.350%, 01/15/16 3,000 3,004
HSBC Capital Trust II (A)
8.380%, 05/15/27 41 43
JPMorgan
8.750%, 02/28/07 691 674
Keycorp Institutional Capital,
Ser B
8.250%, 12/15/26 2,000 2,085
Lehman Brothers Holdings
MTN (B)
5.594%, 01/18/07 990 992
Lehman Brothers Holdings
MTN, Ser H (B) (H)
0.000%, 11/30/10 861 789
Meridian Funding (A) (B)
5.570%, 01/06/07 194 194
Nationwide Mutual Insurance (A)
6.600%, 04/15/34 522 530
Pemex Finance
8.020%, 05/15/07 288 289
Popular North America (B)
5.740%, 12/12/06 1,200 1,203
Power Receivables Financial (A)
6.290%, 01/01/12 301 304
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
Providian Capital I (A)
9.525%, 02/01/27 $ 2,210 $ 2,325
Residential Capital (B)
6.742%, 12/29/06 1,100 1,106
Rosyln Bancorp
5.750%, 11/15/07 1,400 1,392
Simon Property Group
5.750%, 05/01/12 1,130 1,157
Spieker Properties
7.650%, 12/15/10 660 727
7.250%, 05/01/09 500 525
State Street Institutional
Capital, Cl B (B)
8.035%, 03/15/27 1,824 1,907
Swiss Capital (A)
6.854%, 05/29/49 1,700 1,810
Toyota Motor Credit MTN
8.000%, 04/24/07 2,041 2,026
Woodbourne Pass-Through
Trust (A) (B)
6.445%, 12/08/06 700 708
Zurich Capital Trust I (A)
8.376%, 06/01/37 2,430 2,551
---------
46,228
---------
INDUSTRIALS -- 2.1%
America West Airlines, Ser 01-1
7.100%, 04/02/21 179 189
American Airlines, Ser AMBC
3.857%, 07/09/10 2,407 2,281
Cedar Brakes II LLC (A)
9.875%, 09/01/13 1,017 1,135
Continental Airlines, Ser AMBC
6.236%, 03/15/20 125 129
Oracle (A) (B)
5.603%, 01/17/07 1,214 1,216
Viacom
5.740%, 12/16/06 2,000 2,001
---------
6,951
---------
TELECOMMUNICATION SERVICES -- 0.6%
New England Telephone & Telegraph
7.650%, 06/15/07 1,786 1,807
---------
UTILITIES -- 1.5%
Entergy Gulf States (B)
5.800%, 02/15/07 560 559
Power Contract Financing (A)
6.256%, 02/01/10 1,438 1,450
Progress Energy Florida, Cl A (B)
5.774%, 12/13/06 1,700 1,703
- --------------------------------------------------------------------------------
124 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
Sempra Energy
5.845%, 02/21/07 (B) $ 870 $ 871
4.621%, 05/17/07 450 449
--------
5,032
--------
Total Corporate Obligations
(Cost $63,418) ($ Thousands) 63,537
--------
COMMERCIAL PAPER -- 11.2%
FINANCIALS -- 11.2%
Alcoa
5.270%, 12/05/06 3,155 3,153
5.260%, 12/22/06 1,860 1,854
CAFCO LLC
0.000%, 12/06/06 5,280 5,276
CRC Funding
5.250%, 12/06/06 5,225 5,221
Chariot
5.270%, 12/22/06 5,380 5,364
GE Capital
5.230%, 12/11/06 5,380 5,372
National Rural Utilities
5.250%, 12/15/06 4,945 4,935
Ranger Funding
5.270%, 12/21/06 5,480 5,464
--------
Total Commercial Paper
(Cost $36,639) ($ Thousands) 36,639
--------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 9.8%
FHLMC
5.500%, 06/12/08 3,010 3,010
FHLMC CMO, Ser 2006-4, Cl WE
4.500%, 02/25/36 4,000 3,614
FHLMC CMO, Ser 2748, Cl ZT
5.500%, 02/15/24 355 349
FHLMC (D)
5.180%, 12/26/06 8,870 8,838
5.170%, 12/18/06 12,225 12,195
FNMA CMO, Ser 2001-13, Cl SA (B)
6.072%, 12/25/06 55 55
FNMA CMO, Ser 2001-48, Cl PD
6.500%, 06/25/20 321 323
FNMA CMO, Ser 2003-122, Cl ZQ
6.000%, 12/25/33 483 508
FNMA CMO, Ser 2003-33, Cl PC
4.500%, 03/25/27 150 149
FNMA CMO, Ser 2004-12, Cl ZX
6.000%, 03/25/34 440 457
FNMA CMO, Ser 2004-80, Cl XZ
5.000%, 11/25/34 120 102
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- -------------------------------------------------------------------------------
GNMA CMO, Ser 2003-112, Cl SG (B)
1.170%, 12/16/06 $ 157 $ 114
GNMA, Ser 2003-86, Cl ZK
5.000%, 10/20/33 2,381 2,228
---------
Total U.S. Government Agency Obligations
(Cost $31,444) ($ Thousands) 31,942
---------
U.S. TREASURY OBLIGATIONS -- 7.5%
U.S. Treasury Bill (C) (D)
5.013%, 01/18/07 4,205 4,178
U.S. Treasury Bond Forward
Commitments
6.250%, 08/15/23 17,080 20,191
---------
Total U.S. Treasury Obligations
(Cost $23,806) ($ Thousands) 24,369
---------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 7.2%
FHLMC
6.500%, 08/01/29 639 647
FHLMC ARM
6.218%, 01/01/33 1,152 1,183
4.107%, 08/01/34 1,868 1,877
3.422%, 08/01/34 2,761 2,763
3.267%, 04/01/34 1,911 1,909
3.143%, 05/01/34 2,766 2,760
3.129%, 04/01/34 (C) 1,537 1,531
FNMA
7.000%, 04/01/34 461 473
5.500%, 10/01/17 to 02/01/18 359 360
4.672%, 08/01/34 1,814 1,820
3.876%, 04/01/35 1,457 1,448
FNMA ARM
6.351%, 01/01/33 (C) 1,048 1,066
6.089%, 07/01/33 (C) 655 665
5.697%, 06/01/33 2,542 2,568
5.127%, 11/01/33 2,275 2,303
--------
Total U.S. Government Mortgage-Backed Obligations
(Cost $23,117) ($ Thousands) 23,373
--------
CASH EQUIVALENT -- 1.9%
SEI Daily Income Trust,
Prime Obligation
Fund,Cl A, 5.300%* 6,333,039 6,333
--------
Total Cash Equivalent
(Cost $6,333) ($ Thousands) 6,333
--------
Total Investments -- 90.0%
(Cost $292,223) ($ Thousands) $293,652
========
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 125
SCHEDULE OF INVESTMENTS (Unaudited)
Extended Duration Fund (Concluded)
November 30, 2006
A summary of the outstanding Interest Rate Swap agreements held by the Fund at
November 30, 2006, is a follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ 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 $(1,084)
Receive fixed rate of 4.8825%
and pay floating rate rate
based on 3 Month LIBOR.
(Counterparty: Barclays
Capital) 09/19/25 20,000 (435)
Receive fixed rate of 4.986%
and pay floating rate rate
based on 3 Month LIBOR.
(Counterparty: Deutsche
Bank) 10/04/25 17,630 (156)
Receive fixed rate of 5.0475%
and pay floating rate rate
based on 3 Month LIBOR.
(Counterparty: Salomon
Brothers) 01/04/26 59,690 651
Receive fixed rate of 5.064%
and pay floating rate rate
based on 3 Month LIBOR.
(Counterparty: Credit Suisse
First Boston) 03/02/16 35,640 343
Receive fixed rate of 5.1425%
and pay floating rate rate
based on 3 Month LIBOR.
(Counterparty: Deutsche
Bank) 01/07/25 21,660 507
Receive fixed rate of 5.144%
and pay floating rate rate
based on 3 Month LIBOR.
(Counterparty: Salomon
Brothers) 02/02/26 28,000 650
Receive fixed rate of 5.216%
and pay floating rate rate
based on 3 Month LIBOR.
(Counterparty: Barclays
Capital) 04/04/25 49,000 952
Receive fixed rate of 5.216%
and pay floating rate rate
based on 3 Month LIBOR.
(Counterparty: Credit Suisse
First Boston) 04/04/25 50,000 971
Receive fixed rate of 5.216%
and pay floating rate rate
based on 3 Month LIBOR.
(Counterparty: Deutsche
Bank) 04/04/25 43,000 836
Receive fixed rate of 5.212%
and pay floating rate rate
based on 3 Month LIBOR.
(Counterparty: Barclays
Capital) 12/02/25 11,830 375
Receive fixed rate of 5.244%
and pay floating rate rate
based on 3 Month LIBOR.
(Counterparty: Barclays
Capital) 11/03/25 51,820 1,187
Receive fixed rate of 5.243%
and pay floating rate rate
based on 3 Month LIBOR.
(Counterparty: Salomon
Brothers) 11/03/25 51,820 1,181
Receive fixed rate of 4.934%
and pay floating rate, rate
based on 3 month LIBOR,
(Counterparty:Credit Suisse
First Boston) 12/04/16 13,245 (2)
Receive fixed rate of 5.390%
and pay floating rate, rate
based on 3 month LIBOR,
(Counterparty:Barclay
Capital) 09/05/26 22,460 949
Receive fixed rate of 5.060%
and pay floating rate, rate
based on 3 month LIBOR,
(Counterparty: JPMorgan
Chase) 12/04/26 28,410 (7)
Receive fixed rate of 5.060%
and pay floating rate, rate
based on 3 month LIBOR,
(Counterparty:Lehman
Brothers) 12/04/26 65,000 (15)
Receive fixed rate of 5.807%
and pay floating rate, rate
b Credit Suisse First
Boston) 07/05/26 6,065 655
Receive fixed rate of 5.289%
and pay floating rate, rate
based on 3 month LIBOR,
(Counterparty: Salomon
Brothers) 10/03/26 25,615 728
Receive fixed rate of 5.652%
and pay floating rate, rate
based on 3 month LIBOR,
(Counterparty: Salomon
Brothers) 08/02/26 14,135 1,243
--------
$ 9,529
========
- --------------------------------------------------------------------------------
DESCRIPTION
- --------------------------------------------------------------------------------
Percentages are based on Net Assets of $326,182
* Rate shown is the 7-day effective yield as of November 30, 2006.
** Non-income producing security.
+ Real Estate Investment Trust
(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) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of November 30, 2006.
(C) Security, or portion of this security, has been pledged as collateral on
open swap contracts.
(D) The rate reported is the effective yield at time of purchase.
(E) Securities considered illiquid. The total value of such securities as of
November 30, 2006 was $4,454 ($ Thousands) and represented 1.37% of
Net Assets.
(F) Zero coupon security. The rate reported on the Schedule of Investments is
the effective yield at time of purchase.
(G) 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.
(H) 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.
ARM -- Adjustable Rate Mortgage
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.
- --------------------------------------------------------------------------------
126 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
High Yield Bond Fund
November 30, 2006
- --------------------------------------------------------------------------------
[Bar Chart Omitted]
Plot points as follows:
SECTOR WEIGHTINGS++:
20.2% Consumer Discretionary
17.9% Financials
10.2% Industrials
9.8% Materials
8.8% Telecommunication Services
7.4% Energy
7.0% Short-Term Investments
4.9% Health Care
3.2% Information Technology
2.7% Utilities
1.8% Commercial Paper
1.8% Consumer Staples
1.3% Asset Backed Securities
1.1% Collateralized Debt Obligations
0.6% Preferred Stock
0.5% Master Note
0.4% Certificates of Deposit
0.2% Common Stock
0.2% Convertible Bonds
0.0% U.S. Government Obligations
0.0% U.S. Treasury Obligations
0.0% Preferred Convertible Stock
++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 -- 88.0%
CONSUMER DISCRETIONARY -- 22.1%
155 E Tropicana LLC
8.750%, 04/01/12 $ 819 $ 682
AEP Industries
7.875%, 03/15/13 745 752
AMF Bowling Worldwide
10.000%, 03/01/10 800 831
Acco Brands
7.625%, 08/15/15 1,875 1,840
Adelphia Communications (C)
10.250%, 11/01/10 175 147
Adelphia Communications (C) (F)
7.875%, 05/01/09 275 232
Adelphia Communications,
Ser B (C)
7.750%, 01/15/09 450 385
Adesa
7.625%, 06/15/12 475 471
American Greetings
7.375%, 06/01/16 700 716
American Tower
7.500%, 05/01/12 100 103
Amscan Holdings
8.750%, 05/01/14 1,200 1,152
Arvinmeritor
8.750%, 03/01/12 610 616
Asbury Automotive
9.000%, 06/15/12 1,778 1,845
Ashtead Capital
9.000%, 08/15/16 865 926
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
Autonation (A) (D)
7.374%, 01/15/07 $ 680 $ 694
Avis
7.750%, 05/15/16 1,350 1,301
7.625%, 05/15/14 100 97
7.874%, 02/15/07 (A) (D) 1,065 1,025
Aztar (F)
7.875%, 06/15/14 2,117 2,286
Barrington Broadcasting
10.500%, 08/15/14 325 323
Boyd Gaming
7.750%, 12/15/12 650 670
7.125%, 02/01/16 2,050 2,029
6.750%, 04/15/14 975 966
Broder Brothers, Ser B
11.250%, 10/15/10 1,200 1,164
Brookstone
12.000%, 10/15/12 595 576
Brown Shoe
8.750%, 05/01/12 1,050 1,105
Burlington (A) (F)
11.125%, 04/15/14 550 546
CBD Media Holdings
9.250%, 07/15/12 (F) 525 533
8.625%, 06/01/11 275 279
CCH I Holdings LLC
13.500%, 01/15/14 (B) (F) 375 352
11.000%, 10/01/15 9,302 9,116
CCH II LLC
10.250%, 09/15/10 3,646 3,810
CCH II LLC, Ser B
10.250%, 09/15/10 525 547
CCM Merger (A) (F)
8.000%, 08/01/13 2,050 1,978
CCO Holdings LLC
8.750%, 11/15/13 2,115 2,168
CSC Holdings
7.875%, 12/15/07 175 178
7.250%, 07/15/08 225 228
CSC Holdings, Ser B
8.125%, 08/15/09 275 284
Cablevision Systems, Ser B
8.000%, 04/15/12 1,395 1,371
9.870%, 04/03/07 (D) 1,350 1,414
Caesars Entertainment
8.875%, 09/15/08 400 419
7.875%, 03/15/10 600 616
Canwest Media
8.000%, 09/15/12 575 594
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 127
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2006
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
Charter Communications Holdings (A)
8.375%, 04/30/14 $ 677 $ 703
Cinemark (B)
9.426%, 03/15/14 650 533
Collins & Aikman Floorcovering,
Ser B
9.750%, 02/15/10 375 382
Cornell
10.750%, 07/01/12 475 513
Corrections of America
6.750%, 01/31/14 785 791
6.250%, 03/15/13 2,838 2,795
Couche-Tard US
7.500%, 12/15/13 125 128
Del Laboratories
10.371%, 01/28/07 (D) 300 312
8.000%, 02/01/12 1,480 1,362
Denny's (F)
10.000%, 10/01/12 575 603
Dex Media
8.141%, 11/15/13 (B) 1,750 1,549
8.000%, 11/15/13 950 969
Dex Media East
12.125%, 11/15/12 480 532
9.875%, 11/15/09 871 915
Direct TV
8.375%, 03/15/13 470 488
Directv Holdings
6.375%, 06/15/15 2,390 2,306
Echostar DBS
7.125%, 02/01/16 1,685 1,672
7.000%, 10/01/13 225 224
6.625%, 10/01/14 1,115 1,082
6.375%, 10/01/11 300 298
El Dorado Casino Shreveport
PIK (F)
10.000%, 08/01/12 1,050 997
Elizabeth Arden
7.750%, 01/15/14 925 920
Eye Care Centers of America
10.750%, 02/15/15 300 327
Federal-Mogul (C)
8.370%, 11/15/01 300 202
7.750%, 07/01/06 (F) 125 83
7.500%, 07/01/04 200 133
7.500%, 01/15/09 300 200
7.375%, 01/15/06 150 100
Festival Fun Park LLC
10.875%, 04/15/14 3,049 3,026
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
Ford Motor
9.500%, 09/15/11 (F) $ 75 $ 74
9.215%, 09/15/21 25 22
8.900%, 01/15/32 450 409
8.875%, 01/15/22 50 44
7.450%, 07/16/31 (F) 1,844 1,459
6.500%, 08/01/18 390 300
French Lick Resorts (A) (F)
10.750%, 04/15/14 3,027 2,861
Gamestop (F)
8.000%, 10/01/12 1,976 2,060
General Motors
8.375%, 07/15/33 (F) 1,139 1,038
8.250%, 07/15/23 602 549
7.700%, 04/15/16 (F) 851 787
Goodyear Tire & Rubber
8.625%, 12/01/11 (A) 790 802
7.857%, 08/15/11 (F) 1,500 1,474
Gregg Appliances
9.000%, 02/01/13 2,363 2,239
Group 1 Automotive
8.250%, 08/15/13 475 486
Harrahs Operating
8.000%, 02/01/11 625 645
Harry & David Operations
9.000%, 03/01/13 3,150 3,040
Herbst Gaming
8.125%, 06/01/12 2,764 2,819
7.000%, 11/15/14 700 672
Hertz (A)
10.500%, 01/01/16 (F) 1,629 1,776
8.875%, 01/01/14 2,337 2,425
Houghton Mifflin
9.875%, 02/01/13 650 710
Hydrochem Industrial (A)
9.250%, 02/15/13 875 868
Idearc (A)
8.000%, 11/15/16 4,065 4,131
Inn of the Mountain Gods (F)
12.000%, 11/15/10 500 532
Isle of Capri Casinos
9.000%, 03/15/12 775 811
7.000%, 03/01/14 1,375 1,346
Jacuzzi Brands
9.625%, 07/01/10 1,050 1,121
Jo-Ann Stores (F)
7.500%, 03/01/12 300 269
Kabel Deutschland
10.625%, 07/01/14 2,420 2,668
- --------------------------------------------------------------------------------
128 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
LBI Media (B)
8.381%, 10/15/13 $ 625 $ 528
Lamar Media
7.250%, 01/01/13 325 327
6.625%, 08/15/15 125 122
Lazydays RV Center
11.750%, 05/15/12 1,749 1,657
Leslie's Poolmart
7.750%, 02/01/13 150 149
Levi Strauss
10.122%, 01/01/07 (D) 1,225 1,262
8.875%, 04/01/16 312 323
Lin Televison, Ser B
6.500%, 05/15/13 900 855
Lodgenet Entertainment
9.500%, 06/15/13 650 695
MGM Mirage
8.375%, 02/01/11 2,050 2,132
6.875%, 04/01/16 825 799
6.750%, 04/01/13 1,655 1,630
5.875%, 02/27/14 2,350 2,197
Majestic Star Casino LLC
9.500%, 10/15/10 1,100 1,136
Majestic Star II
9.750%, 01/15/11 1,425 1,325
Mandalay Resort Group
9.375%, 02/15/10 525 558
7.625%, 07/15/13 430 422
Mediacom Broadband LLC
8.500%, 10/15/15 300 300
Mediacom LLC (F)
9.500%, 01/15/13 2,970 3,052
Metaldyne (F)
10.000%, 11/01/13 1,348 1,449
Mohegan Tribal Gaming
7.125%, 08/15/14 100 101
6.875%, 02/15/15 1,300 1,290
6.125%, 02/15/13 25 25
Momentive Performance (A)
11.500%, 12/01/16 3,230 3,190
9.750%, 12/01/14 2,155 2,160
NPC International
9.500%, 05/01/14 225 226
Neiman Marcus Group
10.375%, 10/15/15 (F) 1,647 1,822
9.000%, 10/15/15 250 271
Nexstar Finance
7.000%, 01/15/14 275 256
Nexstar Holdings LLC (B)
11.025%, 04/01/13 1,255 1,092
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
O'Charley's
9.000%, 11/01/13 $ 817 $ 858
Pantry
7.750%, 02/15/14 625 630
Penhall International
12.000%, 08/01/14 970 1,048
Penn National Gaming
6.750%, 03/01/15 1,440 1,415
Perry Ellis International,
Ser B
8.875%, 09/15/13 2,064 2,069
Petro Stopping Centers
9.000%, 02/15/12 225 231
Phillips Van-Heusen
8.125%, 05/01/13 375 396
7.250%, 02/15/11 75 77
Pinnacle Entertainment
8.250%, 03/15/12 1,484 1,514
Pokagon Gaming Authority
10.375%, 06/15/14 525 570
Polypore International (B) (F)
8.807%, 10/01/12 925 731
Primedia
8.875%, 05/15/11 400 394
Quebecor Media
7.750%, 03/15/16 1,025 1,038
Quicksilver
6.875%, 04/15/15 275 268
RH Donnelley
10.875%, 12/15/12 415 452
RH Donnelley, Ser A-1
6.875%, 01/15/13 1,575 1,508
RH Donnelley, Ser A-2
6.875%, 01/15/13 2,225 2,130
RH Donnelley, Ser A-3
8.875%, 01/15/16 1,375 1,444
RJ Tower (C) (F)
12.000%, 06/01/13 900 171
Rental Service (A)
9.500%, 12/01/14 4,200 4,252
Riddell Bell Holdings
8.375%, 10/01/12 2,040 2,020
Rite Aid
7.125%, 01/15/07 600 600
SGS International
12.000%, 12/15/13 1,650 1,699
Sally Holdings (A)
10.500%, 11/15/16 1,960 2,011
9.250%, 11/15/14 2,130 2,178
Sealy Mattress
8.250%, 06/15/14 1,635 1,698
Seneca Gaming
7.250%, 05/01/12 225 225
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 129
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2006
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
Service
8.000%, 06/15/17 (A) $ 1,225 $ 1,219
6.750%, 04/01/16 750 737
6.500%, 03/15/08 2,033 2,036
Simmons (B)
10.000%, 12/15/14 2,005 1,524
Sinclair Broadcast Group (A) (B)
4.875%, 07/15/18 400 362
Sonic Automotive, Ser B
8.625%, 08/15/13 2,580 2,632
Spectrum Brands
7.375%, 02/01/15 650 548
Stanadyne Holdings (B)
17.770%, 02/15/15 1,500 1,020
Stanadyne, Ser 1
10.000%, 08/15/14 475 482
Starwood Hotels & Resorts
7.375%, 05/01/07 675 679
Station Casinos
7.750%, 08/15/16 400 411
6.875%, 03/01/16 2,975 2,774
6.625%, 03/15/18 2,025 1,842
Steinway Musical Instruments (A)
7.000%, 03/01/14 3,615 3,516
Stewart Enterprises
6.250%, 02/15/13 1,110 1,057
Sun Media
7.625%, 02/15/13 890 903
Superior Essex Com & Essex Group
9.000%, 04/15/12 600 624
Tenneco Automotive (F)
8.625%, 11/15/14 4,134 4,196
Town Sports International (B)
10.162%, 02/01/14 1,704 1,419
Travelport
11.875%, 09/01/16 (F) 3,685 3,621
9.994%, 12/01/06 (D) 1,444 1,401
9.875%, 09/01/14 (F) 1,706 1,685
Turning Stone Casino
Entertainment (A)
9.125%, 12/15/10 1,200 1,233
Turning Stone Resort Casinos
9.125%, 09/15/14 325 332
United Auto Group
7.750%, 12/15/16 900 900
United Components
9.375%, 06/15/13 630 646
United Rentals North America
7.750%, 11/15/13 687 687
6.500%, 02/15/12 2,740 2,685
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
Universal City Florida
10.121%, 02/01/07 (D) $ 4,573 $ 4,699
8.375%, 05/01/10 175 178
Vail Resorts
6.750%, 02/15/14 1,115 1,107
Vertis
9.750%, 04/01/09 455 466
Vicorp Restaurants
10.500%, 04/15/11 500 482
Videotron
6.875%, 01/15/14 2,480 2,474
Visant Holding (B)
9.293%, 12/01/13 4,784 4,138
Visteon (F)
7.000%, 03/10/14 265 232
Wynn Las Vegas LLC
6.625%, 12/01/14 2,614 2,575
----------
230,449
----------
CONSUMER STAPLES -- 1.9%
B&G Foods Holding
8.000%, 10/01/11 500 505
Carrols
9.000%, 01/15/13 1,100 1,111
Constellation Brands
7.250%, 09/01/16 1,880 1,925
Dean Foods
7.000%, 06/01/16 1,550 1,583
Del Monte
6.750%, 02/15/15 632 622
Dole Foods (F)
8.875%, 03/15/11 1,850 1,792
Fleming (C)
10.125%, 04/01/08 1,050 152
9.250%, 06/15/10 200 29
Jean Coutu Group
8.500%, 08/01/14 (F) 300 300
7.625%, 08/01/12 250 262
NBTY
7.125%, 10/01/15 2,462 2,400
Natural Beef Pack
10.500%, 08/01/11 1,213 1,268
Playtex Products
9.375%, 06/01/11 1,235 1,287
Reynolds American
6.500%, 06/01/07 1,650 1,651
Rite Aid
9.250%, 06/01/13 (F) 375 362
7.700%, 02/15/27 150 120
6.875%, 08/15/13 (F) 100 85
6.875%, 12/15/28 (F) 350 262
- --------------------------------------------------------------------------------
130 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
Stater Brothers Holdings
8.890%, 12/15/06 (D) $ 1,859 $ 1,873
8.125%, 06/15/12 (F) 1,340 1,353
UNIFI (A)
11.500%, 05/15/14 325 312
Visant Holding (F)
8.750%, 12/01/13 1,000 1,026
----------
20,280
----------
ENERGY -- 8.1%
Allis-Chalmers Energy (A)
9.000%, 01/15/14 4,063 4,063
Atlas Pipeline Partners (F)
8.125%, 12/15/15 350 359
Baytex Energy
9.625%, 07/15/10 525 546
Brigham Exploration
9.625%, 05/01/14 100 99
Capano Energy LLC
8.125%, 03/01/16 175 180
Chaparral Energy
8.500%, 12/01/15 1,738 1,738
Chesapeake Energy
7.750%, 01/15/15 (F) 2,591 2,685
7.500%, 06/15/14 719 742
7.000%, 08/15/14 851 855
6.875%, 01/15/16 2,298 2,301
6.500%, 08/15/17 2,800 2,674
6.375%, 06/15/15 50 49
Clayton William Energy
7.750%, 08/01/13 1,689 1,554
Colorado Interstate Gas
5.950%, 03/15/15 250 245
Complete Product Services (A)
8.000%, 12/15/16 1,135 1,152
Compton Pet Finance
7.625%, 12/01/13 475 451
Comstock Resources
6.875%, 03/01/12 50 48
Denbury Resources
7.500%, 04/01/13 1,250 1,269
7.500%, 12/15/15 (F) 1,075 1,091
El Paso
9.625%, 05/15/12 1,894 2,126
7.750%, 07/15/11 450 466
7.625%, 08/16/07 380 385
7.625%, 09/01/08 (F) 341 348
7.420%, 02/15/37 750 748
7.000%, 05/15/11 (F) 575 587
6.750%, 05/15/09 300 303
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
El Paso MTN
8.050%, 10/15/30 (F) $ 375 $ 402
7.800%, 08/01/31 150 159
7.375%, 12/15/12 (F) 450 462
El Paso Natural Gas
8.375%, 06/15/32 300 361
El Paso Production Holdings
7.750%, 06/01/13 2,265 2,347
Encore Acquisition
7.250%, 12/01/17 375 364
6.000%, 07/15/15 275 250
Energy Partners
8.750%, 08/01/10 601 615
Forest Oil
8.000%, 12/15/11 1,025 1,066
Giant Industries
8.000%, 05/15/14 575 623
Grant Prideco, Ser B
6.125%, 08/15/15 300 288
Hanover Compressor
9.000%, 06/01/14 1,010 1,083
7.500%, 04/15/13 600 602
Hanover Equipment Trust,
Ser 2001 B
8.750%, 09/01/11 3,675 3,831
Hilcorp Energy
10.500%, 09/01/10 (A) 4,405 4,730
9.000%, 06/01/16 675 710
Holly Energy Partners
6.250%, 03/01/15 600 569
Inergy Finance
6.875%, 12/15/14 575 558
Mariner Energy
7.500%, 04/15/13 371 359
Markwest Energy
8.500%, 07/15/16 1,150 1,161
Markwest Energy, Ser B
6.875%, 11/01/14 1,400 1,316
Massey Energy
6.875%, 12/15/13 413 384
Newfield Exploration
6.625%, 04/15/16 635 633
Northwest Pipeline
7.000%, 06/15/16 225 236
Pacific Energy
6.250%, 09/15/15 100 100
Parker Drilling
10.150%, 12/01/06 (D) 3,022 3,086
9.625%, 10/01/13 639 700
Peabody Energy
7.375%, 11/01/16 2,690 2,828
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 131
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2006
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
Peabody Energy, Ser B
6.875%, 03/15/13 $ 100 $ 101
Petrohawk Energy
9.125%, 07/15/13 1,065 1,109
Pogo Producing
7.875%, 05/01/13 (F) 700 717
6.875%, 10/01/17 200 192
Pogo Producing, Ser B
8.250%, 04/15/11 1,072 1,104
Pride International
7.375%, 07/15/14 1,391 1,443
Quicksilver Resources
7.125%, 04/01/16 1,400 1,344
Range Resources
7.500%, 05/15/16 625 641
6.375%, 03/15/15 350 340
SESI (A)
6.875%, 06/01/14 950 950
Sabine Pass LNG (A)
7.500%, 11/30/16 2,928 2,932
7.250%, 11/30/13 2,008 2,005
Semgroup
8.750%, 11/15/15 385 389
Sierra Pacific Resources
8.625%, 03/15/14 450 486
Sonat
7.625%, 07/15/11 2,700 2,801
Stone Energy
8.250%, 12/15/11 1,300 1,284
Teco Energy (D)
7.371%, 02/01/07 1,211 1,238
Tesoro
6.625%, 11/01/15 475 470
Transcont Gas Pipe
6.400%, 04/15/16 150 152
United Refining
10.500%, 08/15/12 3,587 3,730
Veneco
8.750%, 12/15/11 650 642
Whiting Petroleum
7.000%, 02/01/14 590 590
Williams
8.125%, 03/15/12 505 543
7.750%, 06/15/31 475 494
7.625%, 07/15/19 500 530
6.375%, 10/01/10 (A) 725 727
Williams, Ser A (F)
7.500%, 01/15/31 425 438
Williams Partners
7.500%, 06/15/11 240 245
----------
84,524
----------
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
FINANCIALS -- 12.9%
AAC Group Holding (B)
2.700%, 10/01/12 $ 430 $ 368
AAC Group Holding PIK
12.750%, 10/01/12 250 265
Ace Cash Express
10.250%, 10/01/14 675 682
Alamosa Delaware
11.000%, 07/31/10 60 65
8.500%, 01/31/12 2,790 2,964
Allstate Life Global Funding
II MTN (A) (D) (G)
5.360%, 12/17/07 968 968
American General Finance
(A) (D) (G)
5.350%, 12/17/07 3,053 3,053
Arch Western Finance
6.750%, 07/01/13 2,160 2,117
Bear Stearns EXL (D) (G)
5.360%, 12/17/07 3,747 3,747
Beazer Homes USA
6.875%, 07/15/15 430 415
Cardtronics
9.250%, 08/15/13 150 157
Choctaw Resort Development
Entity (A)
7.250%, 11/15/19 993 990
Countrywide Financial MTN (D) (G)
5.448%, 10/31/07 4,421 4,421
Crystal US Holdings, Ser B (B)
8.642%, 10/01/14 600 507
Dekabank (A) (D) (G)
5.394%, 11/20/07 3,895 3,895
Dow Jones CDX HY, Ser 6-T1
8.625%, 06/29/11 4,000 4,175
FTI Consulting
7.625%, 06/15/13 350 361
Felcor Lodging (A)
7.275%, 04/30/07 200 200
Ford Motor Credit
9.824%, 01/17/07 (D) 3,340 3,535
9.750%, 09/15/10 1,538 1,633
7.375%, 10/28/09 2,565 2,561
7.375%, 02/01/11 (F) 650 642
7.250%, 10/25/11 2,375 2,320
7.000%, 10/01/13 4,062 3,896
6.944%, 01/18/07 (D) 680 655
6.625%, 06/16/08 950 945
- --------------------------------------------------------------------------------
132 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
General Motors Acceptance
8.000%, 11/01/31 (F) $ 5,239 $ 5,872
7.600%, 12/25/06 (D) 622 648
7.000%, 02/01/12 100 103
6.875%, 08/28/12 4,010 4,132
6.750%, 12/01/14 (F) 3,210 3,292
H-Lines Finance Holding (B)
9.741%, 04/01/13 775 716
Host Marriott+
7.125%, 11/01/13 575 587
Host Marriott, Ser M+
7.000%, 08/15/12 375 381
Host Marriott, Ser O+
6.375%, 03/15/15 575 566
Host Marriott, Ser Q+
6.750%, 06/01/16 1,225 1,230
Hughes Network Systems (A)
9.500%, 04/15/14 1,496 1,552
Innophos Investments PIK
13.370%, 02/16/07 2,299 2,403
Ipayment (A)
9.750%, 05/15/14 500 511
Irish Life & Permanent MTN,
Ser X (A) (D) (G)
5.360%, 12/21/07 2,800 2,800
Islandsbanki (A) (D) (G)
5.370%, 04/06/07 4,948 4,948
Jackson National Life Funding
(A) (D) (G)
5.320%, 12/03/07 4,632 4,632
K&F Acquisition
7.750%, 11/15/14 500 511
Kaupthing Bank MTN (D) (G)
5.380%, 03/20/07 5,263 5,263
Landsbanki Islands (A) (D) (G)
5.400%, 03/16/07 4,000 4,000
Lehman Brothers Holdings, MTN
11.000%, 11/07/16 1,170 1,183
Medimedia USA (A)
11.375%, 11/15/14 600 622
Morgan Stanley EXL (D) (G)
5.380%, 01/04/08 737 737
Morgan Stanley EXL, Ser S (D) (G)
5.340%, 12/05/07 1,053 1,053
Natexis Banques (A) (D) (G)
5.300%, 12/17/07 2,053 2,052
Nationwide Building Society
(A) (D) (G)
5.424%, 10/26/07 1,158 1,158
5.350%, 12/07/07 2,105 2,105
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
Nielsen Finance LLC
10.000%, 08/01/14 $ 2,550 $ 2,697
4.464%, 08/01/16 (B) (F) 1,100 718
Noble Group (A)
6.625%, 03/17/15 975 886
Nordbank (A) (D) (G)
5.350%, 12/24/07 3,579 3,579
Northern Rock (A) (D) (G)
5.360%, 12/03/07 2,168 2,168
Omega Healthcare Investors+
7.000%, 01/15/16 825 822
PXRE Capital Trust 1
8.850%, 02/01/27 775 771
Pacific Life Global Funding
(A) (D) (G)
5.370%, 12/13/07 1,579 1,579
Premium Asset Trust,
Ser 2004-10 (A) (D) (G)
5.360%, 12/17/07 2,947 2,947
Residential Capital (D)
7.204%, 04/17/09 1,250 1,254
Rouse+ (A)
6.750%, 05/01/13 2,155 2,194
SLM EXL, Ser S (A) (D) (G)
5.320%, 12/17/07 2,316 2,316
Senior Housing+
7.875%, 04/15/15 645 666
Skandinav Enskilda Bank
(A) (D) (G)
5.320%, 12/18/07 2,316 2,316
Stanfield Victoria MTN (G)
5.445%, 06/11/07 2,105 2,105
TFS Acquisition (D)
12.871%, 02/01/07 375 375
Trains HY, Ser 2006-1
7.548%, 05/01/16 3,500 3,546
Trustreet Properties+
7.500%, 04/01/15 925 999
UGS
10.000%, 06/01/12 500 545
Universal City Development
11.750%, 04/01/10 950 1,020
Ventas Realty+
8.750%, 05/01/09 150 159
7.125%, 06/01/15 500 520
6.625%, 10/15/14 375 382
WMG Holdings (B)
8.726%, 12/15/14 2,235 1,777
----------
134,935
----------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 133
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2006
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
HEALTH CARE -- 5.4%
Accellent
10.500%, 12/01/13 $ 467 $ 474
Ameripath
10.500%, 04/01/13 1,145 1,237
Bio-Rad Laboratories
7.500%, 08/15/13 175 180
6.125%, 12/15/14 775 740
Biovail
7.875%, 04/01/10 3,053 3,076
CRC Health
10.750%, 02/01/16 1,600 1,708
Concentra Operating
9.500%, 08/15/10 300 315
Encore Medical Finance (A)
11.750%, 11/15/14 1,125 1,105
Fresenius Medical Capital
Trust II
7.875%, 02/01/08 381 390
Fresenius Medical Capital
Trust IV
7.875%, 06/15/11 1,215 1,270
Genesis Healthcare
8.000%, 10/15/13 1,225 1,277
HCA
9.625%, 11/15/16 (A) (F) 4,215 4,415
9.250%, 11/15/16 (A) 10,858 11,333
9.125%, 11/15/14 (A) (F) 1,202 1,253
8.750%, 09/01/10 455 471
6.750%, 07/15/13 555 488
6.500%, 02/15/16 (F) 1,950 1,614
Healthsouth (F)
10.750%, 06/15/16 2,200 2,343
Iasis Healthcare
8.750%, 06/15/14 1,175 1,169
Insight Health Services (D) (F)
10.621%, 12/22/06 775 639
Kinetic Concepts
7.375%, 05/15/13 275 279
Leiner Health Products
11.000%, 06/01/12 150 152
MQ Associates (B) (F)
40.084%, 08/15/12 179 45
Medcath Holdings
9.875%, 07/15/12 75 81
Medquest, Ser B (F)
11.875%, 08/15/12 1,506 1,220
Norcross Safety Products, Ser B
9.875%, 08/15/11 1,225 1,305
Res-Care
7.750%, 10/15/13 625 630
Select Medical
11.113%, 03/29/07 75 62
7.625%, 02/01/15 2,825 2,359
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
Tenet Healthcare
9.875%, 07/01/14 $ 1,200 $ 1,203
9.250%, 02/01/15 3,559 3,488
Triad Hospitals
7.000%, 11/15/13 2,125 2,130
US Oncology Holdings
10.750%, 08/15/14 5,039 5,568
10.675%, 03/15/07 (D) 1,928 1,981
9.000%, 08/15/12 375 393
----------
56,393
----------
INDUSTRIALS -- 11.1%
AGY Holdings (A)
11.000%, 11/15/14 875 875
ALH Finance
8.500%, 01/15/13 2,565 2,514
Acih (A) (B) (F)
18.743%, 12/15/12 1,225 784
Ahern Rentals
9.250%, 08/15/13 775 806
Ainsworth Lumber
9.122%, 12/30/06 (D) (F) 2,150 1,817
7.250%, 10/01/12 2,321 1,834
6.750%, 03/15/14 2,560 1,911
Air 2 US (A)
8.027%, 10/01/19 689 710
Alliant Techsystems
6.750%, 04/01/16 350 346
Allied Waste North America
7.250%, 03/15/15 385 385
6.125%, 02/15/14 695 659
Allied Waste North America,
Ser B
8.500%, 12/01/08 3,675 3,877
7.375%, 04/15/14 385 385
7.125%, 05/15/16 50 50
5.750%, 02/15/11 350 340
American Airlines
7.379%, 05/23/16 122 117
Ames True Temper (D)
9.374%, 01/15/07 1,220 1,226
Amsted Industries (A)
10.250%, 10/15/11 900 958
Armstrong Holdings (C)
7.450%, 05/15/29 525 367
Associated Materials (B) (F)
14.696%, 03/01/14 1,925 1,232
Baker & Taylor
11.500%, 07/01/13 1,075 1,076
Basell (A)
8.375%, 08/15/15 810 829
- --------------------------------------------------------------------------------
134 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
Beazer Homes USA
6.500%, 11/15/13 $ 1,300 $ 1,251
Bombardier (A) (F)
8.000%, 11/15/14 740 744
Buhrmann US
8.250%, 07/01/14 1,650 1,636
7.875%, 03/01/15 600 579
Builders Firstsource (D)
9.624%, 02/16/07 2,840 2,783
Chart Industries (A)
9.125%, 10/15/15 325 340
Continental Airlines, Ser 971A
7.461%, 04/01/15 1,251 1,270
Continental Airlines, Ser 982A
6.410%, 04/15/07 127 127
Continental Airlines,
Ser RJ04 (F)
9.558%, 09/01/19 823 893
Corrections Corp of America
7.500%, 05/01/11 544 559
Covalence Specialty Mate (A)
10.250%, 03/01/16 355 341
D R Horton
5.625%, 09/15/14 1,080 1,053
DRS Technologies
7.625%, 02/01/18 (F) 925 953
6.875%, 11/01/13 150 151
6.625%, 02/01/16 775 781
Dayton Superior
13.000%, 06/15/09 3,943 4,002
Delta Air Lines (F)
8.300%, 12/15/29 875 521
Delta Air Lines, Ser 2002-1,
Cl C (C)
7.779%, 01/02/12 901 899
Dex Media West, Ser B
9.875%, 08/15/13 1,950 2,125
Education Management (A) (F)
10.250%, 06/01/16 1,750 1,846
Fastentech
11.500%, 05/01/11 1,509 1,566
Goodman Global Holdings
7.875%, 12/15/12 800 772
Greenbrier
8.375%, 05/15/15 848 861
Griffin Coal Mining (A) (F)
9.500%, 12/01/16 1,950 1,965
Gulfmark Offshore
7.750%, 07/15/14 1,304 1,333
Harvest Operations
7.875%, 10/15/11 750 712
Horizon Lines LLC
9.000%, 11/01/12 800 838
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
Host Hotels and Resorts (A)
6.875%, 11/01/14 $ 650 $ 658
Indalex Holding (A)
11.500%, 02/01/14 1,239 1,292
Interface
9.500%, 02/01/14 275 286
Interline Brands
8.125%, 06/15/14 320 329
Iron Mountain
8.750%, 07/15/18 250 267
8.625%, 04/01/13 613 633
7.750%, 01/15/15 660 673
6.625%, 01/01/16 1,490 1,419
J.B. Poindexter
8.750%, 03/15/14 150 128
K Hovnanian Enterprises
6.250%, 01/15/16 900 835
K Hovonanian Enterprises (F)
7.500%, 05/15/16 450 449
L-3 Communications
6.125%, 07/15/13 1,186 1,174
5.875%, 01/15/15 4,222 4,095
L-3 Communications, Cl B
6.375%, 10/15/15 726 721
Language Line
11.125%, 06/15/12 250 254
Maax (F)
9.750%, 06/15/12 1,050 892
Magnachip Semiconductor (F)
8.000%, 12/15/14 450 299
Meritage Homes
7.000%, 05/01/14 1,450 1,399
6.250%, 03/15/15 750 694
Michaels Stores (A)
11.375%, 11/01/16 (F) 1,875 1,922
10.000%, 11/01/14 3,077 3,142
Millar Western Forest
7.750%, 11/15/13 1,832 1,594
Mobile Services Group
9.750%, 08/01/14 325 338
Monitronics International
11.750%, 09/01/10 1,371 1,354
NCL
10.625%, 01/15/07 475 474
NTK Holdings
5.183%, 03/01/14 175 121
Nebraska Book
8.625%, 03/15/12 250 239
Nortek
8.500%, 09/01/14 600 579
North American Energy Partner
8.750%, 12/01/11 350 349
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 135
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2006
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
Northwest Airlines
10.000%, 02/01/09 (C) (F) $ 350 $ 292
8.875%, 06/01/06 (F) 500 419
7.875%, 03/15/08 25 21
7.625%, 11/15/23 150 125
Nutro Products (A) (D)
9.400%, 04/15/07 950 978
PHI (A)
7.125%, 04/15/13 125 120
Park-Ohio Industries
8.375%, 11/15/14 1,425 1,290
Ply Gem
9.000%, 02/15/12 300 247
9.000%, 02/15/12 1,350 1,110
Primedia
8.000%, 05/15/13 250 234
Propex Frabics
10.000%, 12/01/12 325 288
Quality Distributors
9.000%, 11/15/10 800 778
Quebecor World Capital
8.750%, 03/15/16 1,025 994
RBS Global & Rexnord
11.750%, 08/01/16 450 474
Rainbow National Services
LLC (A)
10.375%, 09/01/14 (F) 475 527
8.750%, 09/01/12 1,210 1,270
Service
7.700%, 04/15/09 360 371
7.625%, 10/01/18 652 681
7.375%, 10/01/14 1,398 1,454
Ship Finance International MTN
8.500%, 12/15/13 2,304 2,275
Southern States Coop (A)
10.500%, 11/01/10 1,516 1,592
Spectrum Brands
8.500%, 10/01/13 1,750 1,566
Stanley-Martin
9.750%, 08/15/15 1,321 997
Sunstate Equipment
10.500%, 04/01/13 795 843
Super Value
7.500%, 11/15/14 800 821
TRW Automotive
9.375%, 02/15/13 1,495 1,603
Tech Olympic USA (F)
10.375%, 07/01/12 2,316 2,029
9.000%, 07/01/10 450 436
8.250%, 04/01/11 210 198
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
Tembec Industries
8.625%, 06/30/09 (F) $ 1,150 $ 739
7.750%, 03/15/12 250 140
Tempur Pedic
10.250%, 08/15/10 675 729
Terex
9.250%, 07/15/11 475 498
7.375%, 01/15/14 1,349 1,369
Terra Capital
12.875%, 10/15/08 1,437 1,606
Thermadyne Holdings (F)
9.250%, 02/01/14 250 232
UCAR Finance
10.250%, 02/15/12 1,700 1,793
US Concrete
8.375%, 04/01/14 575 558
United Air Lines
9.125%, 01/15/12 (C) 625 5
9.020%, 04/19/12 763 454
United Air Lines, Ser A (C)
10.670%, 05/01/04 325 2
Vanguard Health Holdings II
9.000%, 10/01/14 1,850 1,850
Visant
7.625%, 10/01/12 1,425 1,439
----------
116,055
----------
INFORMATION TECHNOLOGY -- 3.3%
Activant Solutions (A)
9.500%, 05/01/16 3,150 2,945
Advanced Micro Devices
7.750%, 11/01/12 925 948
Amkor Technologies
7.750%, 05/15/13 125 117
Celestica
7.875%, 07/01/11 655 657
Compagnie Generale de
Geophysique
7.500%, 05/15/15 900 902
Conexant Systems (A) (D)
9.123%, 02/13/07 125 126
FTI Consulting
7.750%, 10/01/16 800 828
Freescale Semiconductor (A)
10.125%, 12/15/16 1,185 1,198
9.244%, 03/15/07 (D) 250 249
8.875%, 12/15/14 2,465 2,471
Freescale Semiconductor, PIK (A)
9.125%, 12/15/14 3,480 3,480
Magnachip Semiconductor
8.640%, 12/15/06 (D) 150 134
6.875%, 12/15/11 (F) 525 449
- --------------------------------------------------------------------------------
136 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
NXP (A)
9.500%, 10/15/15 (F) $ 4,870 $ 4,998
7.875%, 10/15/14 2,315 2,379
SS&C Technologies
11.750%, 12/01/13 930 1,000
Seitel
11.750%, 07/15/11 425 529
Serena Sofware
10.375%, 03/15/16 400 424
Smart Modular (D)
10.872%, 01/01/07 760 806
Solutia (C)
11.250%, 07/15/09 875 871
Stoneridge
11.500%, 05/01/12 2,119 2,140
Sungard Data Systems
10.250%, 08/15/15 3,605 3,821
9.973%, 08/15/13 (D) 675 701
UGS Capital PIK
10.000%, 12/15/06 1,565 1,651
Viasystems
10.500%, 01/15/11 375 375
----------
34,199
----------
MATERIALS -- 10.7%
AK Steel
7.875%, 02/15/09 (F) 1,550 1,550
7.750%, 06/15/12 10,146 10,095
Abitibi Consolidated
8.850%, 08/01/30 50 41
8.550%, 08/01/10 1,329 1,278
8.375%, 04/01/15 (F) 1,200 1,044
Appleton Papers
8.125%, 06/15/11 425 427
Appleton Papers, Ser B
9.750%, 06/15/14 975 975
Ball
6.875%, 12/15/12 475 483
6.625%, 03/15/18 550 542
Berry Plastics
8.875%, 09/15/14 1,525 1,538
Boise Cascade LLC (D)
8.249%, 01/15/07 450 451
Bowater
9.500%, 10/15/12 475 481
Bway
10.000%, 10/15/10 650 681
Cascades
7.250%, 02/15/13 625 622
Catalyst Paper
7.375%, 03/01/14 338 317
Catalyst Paper, Ser D
8.625%, 06/15/11 1,515 1,530
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
Consolidated Containers (B) (F)
0.000%, 06/15/09 $ 525 $ 525
Crown Americas
7.750%, 11/15/15 1,736 1,784
Crown Cork & Seal
8.000%, 04/15/23 2,025 1,974
Domtar
7.125%, 08/15/15 725 694
Equistar Chemical
10.625%, 05/01/11 1,452 1,550
10.125%, 09/01/08 2,800 2,975
FMG Finance
10.625%, 09/01/16 (F) 1,910 1,924
10.000%, 09/01/13 350 344
Freeport-McMoRan
10.125%, 02/01/10 1,059 1,117
Georgia Gulf (F)
7.125%, 12/15/13 300 264
Georgia-Pacific
8.125%, 05/15/11 650 681
8.000%, 01/15/24 650 666
7.700%, 06/15/15 1,575 1,614
Gibraltar Industries, Ser B
8.000%, 12/01/15 1,676 1,642
Graham Packaging
9.875%, 10/15/14 1,570 1,554
Huntsman
5.000%, 02/16/08 1 23
Huntsman International
7.875%, 11/13/14 555 558
Huntsman International LLC
9.875%, 03/01/09 102 105
Huntsman LLC
11.625%, 10/15/10 799 883
11.500%, 07/15/12 2,991 3,380
Ineos Group Holdings PLC (A) (F)
8.500%, 02/15/16 4,955 4,782
Innophos
9.625%, 08/15/14 500 501
Intertape Polymer
8.500%, 08/01/14 250 230
Jarden
9.750%, 05/01/12 1,345 1,422
Jefferson Smurfit
7.500%, 06/01/13 690 637
Lyondell Chemical
10.875%, 05/01/09 1,401 1,429
10.500%, 06/01/13 1,445 1,590
8.250%, 09/15/16 (F) 2,650 2,756
8.000%, 09/15/14 1,117 1,152
Massey Energy (F)
6.625%, 11/15/10 7,591 7,629
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 137
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2006
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
Metals USA
11.125%, 12/01/15 $ 3,142 $ 3,480
Methanex
6.000%, 08/15/15 175 169
Mosaic
7.625%, 12/01/16 200 205
7.375%, 12/01/14 325 330
Mosaic Global Holdings
7.300%, 01/15/28 325 296
Nalco
8.875%, 11/15/13 (F) 1,125 1,190
7.750%, 11/15/11 2,524 2,574
Newark Group
9.750%, 03/15/14 700 700
Nova Chemicals (D)
8.502%, 04/30/07 966 968
Novelis (A)
8.250%, 02/15/07 955 917
Owens-Brockway Glass
8.875%, 02/15/09 175 179
8.250%, 05/15/13 3,000 3,090
6.750%, 12/01/14 (F) 1,200 1,158
Owens-Illinois
8.100%, 05/15/07 150 151
7.350%, 05/15/08 2,150 2,150
P H Glatfelter (A)
7.125%, 05/01/16 1,425 1,425
PNA Group
10.750%, 09/01/16 2,975 3,079
Packaging Dynamics (A)
10.000%, 05/01/16 2,995 3,010
Polyone
10.625%, 05/15/10 (F) 2,000 2,140
8.875%, 05/01/12 1,150 1,166
Reichold Industries
9.000%, 08/15/14 1,696 1,662
Rockwood Specialties Group
7.500%, 11/15/14 745 751
Ryerson Tull
8.250%, 12/15/11 2,226 2,204
Smurfit-Stone Container
9.750%, 02/01/11 2,215 2,284
Solo Cup (F)
8.500%, 02/15/14 950 798
Solutia
7.375%, 10/15/27 (C) 175 155
6.720%, 10/15/37 75 66
Steel Dynamics
9.500%, 03/15/09 755 779
9.500%, 03/15/09 1,762 1,817
Stelco (D)
10.870%, 03/31/16 400 420
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
Verso Paper Holdings
9.125%, 08/01/14 $ 2,519 $ 2,620
9.121%, 02/01/07 (D) 963 982
----------
111,355
----------
TELECOMMUNICATION SERVICES -- 9.6%
American Cellular, Ser B
10.000%, 08/01/11 2,475 2,611
American Tower
7.125%, 10/15/12 1,676 1,714
Centennial Communications
11.122%, 01/01/07 (D) 100 105
10.750%, 12/15/08 421 422
10.125%, 06/15/13 3,750 4,031
10.000%, 01/01/13 (F) 750 784
8.125%, 02/01/14 2,300 2,317
Cincinnati Bell
8.375%, 01/15/14 (F) 400 409
7.250%, 07/15/13 75 77
Citizens Communications
9.250%, 05/15/11 875 968
6.250%, 01/15/13 525 514
Consolidated Communication
Holdings
9.750%, 04/01/12 1,383 1,473
Cricket Communications I (A) (F)
9.375%, 11/01/14 4,830 4,939
Digicel
9.250%, 09/01/12 1,805 1,913
Dobson Cellular Systems
9.875%, 11/01/12 200 217
8.375%, 11/01/11 (A) 500 521
Dobson Communications
9.624%, 01/15/07 (D) 935 953
8.875%, 10/01/13 550 554
Embarq
7.082%, 06/01/16 200 207
GCI
7.250%, 02/15/14 400 392
Hawaiian Telecom
Communications (F)
12.500%, 05/01/15 775 808
Hawaiian Telecom
Communications, Ser B
10.889%, 05/01/13 (D) (I) 575 578
9.750%, 05/01/13 (F) 600 606
Horizon PCS
11.375%, 07/15/12 1,405 1,560
IPCS
11.500%, 05/01/12 125 139
IWO Holdings (D)
9.124%, 01/15/12 250 255
- --------------------------------------------------------------------------------
138 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
Insight Communications (B)
12.250%, 02/15/11 $ 400 $ 420
Intelsat
6.500%, 11/01/13 950 797
Intelsat Bermuda
11.250%, 06/15/16 2,475 2,713
9.250%, 06/15/16 1,137 1,217
Intelsat Sub Holding (F)
10.484%, 01/15/07 (D) 2,025 2,050
8.625%, 01/15/15 800 831
Level 3 Communications (F)
11.500%, 03/01/10 300 312
Level 3 Financing
10.750%, 10/15/11 2,375 2,526
9.250%, 11/01/14 (A) (F) 6,280 6,351
Lucent Technologies
6.450%, 03/15/29 1,375 1,237
MetroPCS Wireless (A)
9.250%, 11/01/14 3,435 3,491
NTL Cable PLC
9.125%, 08/15/16 350 370
8.750%, 04/15/14 550 575
Nordic Telephone (A) (F)
8.875%, 05/01/16 2,350 2,485
Nortel Networks (D)
9.624%, 01/15/07 150 156
Panamsat
9.000%, 06/15/16 600 631
Primus Telecommunications
12.750%, 10/15/09 25 18
8.000%, 01/15/14 (F) 1,525 900
Qwest
8.875%, 03/15/12 4,170 4,644
8.640%, 12/15/06 (D) 1,964 2,128
7.875%, 09/01/11 600 640
7.625%, 06/15/15 688 734
7.500%, 10/01/14 1,355 1,440
7.250%, 09/15/25 625 641
7.250%, 10/15/35 1,025 1,017
6.875%, 09/15/33 375 363
Qwest Communications
International
8.874%, 02/11/07 (D) 3,420 3,458
7.250%, 02/15/11 125 128
Qwest Communications
International, Ser B (F)
7.500%, 02/15/14 825 850
Rogers Wireless
8.515%, 12/15/06 (D) 2,289 2,335
8.000%, 12/15/12 725 768
7.250%, 12/15/12 225 237
6.375%, 03/01/14 2,705 2,715
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
Rural Cellular
8.250%, 03/15/12 $ 945 $ 980
Securus Technologies (F)
11.000%, 09/01/11 250 229
Syniverse Technologies, Ser B
7.750%, 08/15/13 125 122
Telenet Group Holdings (A) (B)
9.584%, 06/15/14 950 848
Triton (F)
8.500%, 06/01/13 1,225 1,182
US Lec (D)
13.870%, 04/01/07 2,300 2,441
US Unwired, Ser B
10.000%, 06/15/12 400 440
Ubiquitel
9.875%, 03/01/11 1,010 1,091
Valor Telecom Enterprises
7.750%, 02/15/15 75 80
West (A)
11.000%, 10/15/16 1,250 1,242
9.500%, 10/15/14 (F) 3,685 3,653
Wind Acquisitions Finance (A)
10.750%, 12/01/15 2,075 2,340
Windstream
8.625%, 08/01/16 3,765 4,099
8.125%, 08/01/13 185 200
Zeus Special Sub (B)
9.123%, 02/01/15 3,750 2,841
----------
100,033
----------
UTILITIES -- 2.9%
AES
9.375%, 09/15/10 750 816
9.000%, 05/15/15 600 644
8.875%, 02/15/11 1,220 1,316
Aquila
9.000%, 11/15/21 871 885
8.000%, 03/01/23 3,515 3,572
CMS Energy
7.500%, 01/15/09 240 248
Calpine Generating (C)
14.370%, 04/01/07 1,725 1,846
Midwest Generation LLC
8.750%, 05/01/34 790 857
Mirant (C)
5.750%, 07/15/07 750 11
Mirant Americas
9.125%, 05/01/31 (F) 1,022 1,070
8.500%, 10/01/21 3,933 3,933
8.300%, 05/01/11 325 330
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 139
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2006
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
Mirant North America
7.375%, 12/31/13 $ 2,020 $ 2,045
NRG Energy
7.375%, 02/01/16 3,375 3,375
7.375%, 01/15/17 3,330 3,322
7.250%, 02/01/14 1,500 1,500
Northwest Pipeline (A)
8.125%, 03/01/10 200 207
Pacific Energy Partners
7.125%, 06/15/14 200 207
Reliant Energy
9.250%, 07/15/10 2,300 2,418
Sierra Pacific Resources
7.803%, 06/15/12 425 448
Sonat
7.000%, 02/01/18 400 393
Southern Natural Gas
8.875%, 03/15/10 350 368
Tenaska Alabama (A)
7.000%, 06/30/21 796 791
----------
30,602
----------
Total Corporate Obligations
(Cost $906,894) ($ Thousands) 918,825
----------
CASH EQUIVALENT -- 5.3%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.300%** 55,248,568 55,249
----------
Total Cash Equivalent
(Cost $55,249) ($ Thousands) 55,249
----------
LOAN PARTICIPATIONS -- 4.8%
FINANCIALS -- 4.8%
American Cellular
7.630%, 08/08/13 63 62
7.580%, 08/08/13 (D) (I) 250 249
0.000%, 08/08/13 188 --
American Cellular, Tranche B
7.600%, 08/08/13 500 497
Amkor Technology (D)
9.898%, 10/27/10 1,000 1,033
CCFC (D)
11.320%, 08/26/09 2,231 2,359
Cebridge, 2nd Lien (D)
11.371%, 05/05/14 3,639 3,605
Cebridge, 2nd Lien PIK
0.000%, 05/05/14 103 103
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- -------------------------------------------------------------------------------
Century Cable Bank,
Ser B (D) (I)
10.250%, 06/30/09 $ 525 $ 513
Cooper Standard (D)
7.875%, 12/23/11 2,729 2,727
Delphi (D)
13.750%, 01/11/07 1,925 1,991
Frontier Vision (D)
9.775%, 06/30/09 1,175 1,162
Georgia Pacific, Ser B (D)
7.485%, 02/14/13 424 424
Georgia Pacific, Ser C (D)
8.390%, 02/14/14 325 326
8.300%, 12/23/12 1,500 1,503
HCA, Ser B
8.086%, 11/15/14 1,000 1,006
Hawkeye Renewables, 1st Lien
9.320%, 06/30/12 1,000 966
Idearc, Ser B
0.000%, 11/15/14 2,500 2,511
KGen Partners (D) (I)
7.992%, 08/15/11 2,487 2,481
LSP General Finance (D)
8.999%, 04/13/13 2,500 2,525
Level 3 (D)
8.398%, 12/01/11 500 505
Michaels's Stores
8.375%, 10/30/13 225 225
Murray (D)
14.085%, 01/31/11 1,990 2,089
Murray Bank, 2nd Lien (D)
14.835%, 01/31/11 451 473
Murray Bank, 3rd Lein (D
15.750%, 07/28/11 2,000 2,040
NRG Energy (STRIPS) (D)
7.350%, 02/01/13 1,997 2,005
Nielsen Finance
8.190%, 08/09/13 700 703
Northwest Air Dip Bank (D)
7.820%, 08/21/08 1,500 1,507
Plygem, 2nd Lien
0.000%, 11/02/11 225 228
Rental Services
8.870%, 11/30/13 1,500 1,510
Targa Resources, Lot 2
7.617%, 10/05/07 2,000 1,999
United Airlines (D)
9.120%, 02/01/12 1,088 1,099
United Airlines Delayed Draw
Bank (D)
9.040%, 02/01/12 530 536
- --------------------------------------------------------------------------------
140 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
United Airlines Tranche B (D)
9.120%, 02/01/12 $ 2,625 $ 2,651
Venoco, 2nd Lien (D)
10.000%, 04/26/11 4,750 4,774
Wide Open West, 1st Lien (D)
10.400%, 04/28/13 500 504
Wide Open West, 2nd Lien
10.400%, 04/28/13 1,250 1,261
----------
Total Loan Participations
(Cost $50,102) ($ Thousands) 50,152
----------
COMMERCIAL PAPER (H) -- 2.3%
FINANCIALS -- 2.3%
Broadhollow Funding (G)
5.305%, 12/07/06 1,179 1,178
Diamler Chrysler
4.982%, 12/11/06 5,625 5,617
KKR Pacific Funding Trust (G)
5.345%, 12/27/06 2,105 2,097
5.305%, 01/02/07 1,053 1,048
Kitty Hawk
5.054%, 12/20/06 1,475 1,471
National Rural Utilities
4.259%, 12/07/06 3,120 3,117
Ocala Funding LLC (G)
5.320%, 12/18/06 1,053 1,050
5.320%, 01/26/07 1,053 1,044
Rhineland Funding Capital (G)
5.385%, 01/25/07 1,326 1,315
5.364%, 12/27/06 1,053 1,049
5.364%, 02/13/07 1,042 1,031
5.313%, 12/12/06 693 692
Witherspoon Funding Limited (G)
5.329%, 12/15/06 1,053 1,050
Witherspoon Funding,
Ser 2004-1A (G)
5.330%, 03/15/07 1,817 1,817
----------
Total Commercial Paper
(Cost $23,575) ($ Thousands) 23,576
----------
COLLATERALIZED LOAN OBLIGATIONS -- 1.7%
FINANCIALS -- 1.6%
Ares VR, Ser 2006-1A, Cl SUB (A)
0.000%,02/24/18 3,500 3,150
Capitalsource Advisors,
Ser 2006-1A, Cl SUB (A)
0.000%,08/27/20 2,900 2,782
De Meer Middle Market,
Ser 2006-1A, Cl INC
0.000%, 10/20/18 2,000 1,940
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
ING Investment Management II (A)
0.000%, 08/01/20 $ 5 $ 4,800
Lightpoint, Ser 2006-4A,
Cl IN (A)
0.000%, 04/15/18 2,000 1,772
Stanfield Vayron, Ser 2006-1A,
Cl SUB
0.000%, 07/15/18 2,000 2,000
----------
16,444
----------
INFORMATION TECHNOLOGY -- 0.1%
Marathon, Ser 2005-2A,
Cl INC (A)
0.000%, 12/20/19 1,500 1,470
----------
Total Collateralized Loan Obligations
(Cost $17,096) ($ Thousands) 17,914
----------
ASSET-BACKED SECURITIES -- 1.2%
MORTGAGE RELATED SECURITIES -- 1.2%
Commodore, Ser 2003-2A, Cl A1MM
(D) (G)
5.470%, 12/12/38 968 968
Countrywide Alternative Loan
Trust, Ser 2006-OA9, Cl X1P
(E) (I)
0.598%, 07/20/46 34,300 1,796
Duke Funding, Ser 2004-6B,
Cl A1S1 (D) (G)
5.440%, 10/09/07 1,579 1,579
Harborview Mortgage Loan Trust,
Ser 2006-4 Class X1 IO (D)
1.740%, 12/01/06 34,609 1,687
Newcastle CDO, Ser 2005-6A,
Cl IM1 (D) (G)
5.340%, 04/24/07 421 421
Park Place Securities NIM Trust,
Ser 2004-MM1, Cl MM1 (D) (G)
5.350%, 02/26/07 626 626
Saturn Ventures II (D) (G)
5.380%, 02/07/07 1,695 1,695
TIAA Real Estate CDO,
Ser 2003 1A, Cl A1MM (D) (G)
5.350%, 09/28/07 1,566 1,566
Washington Mutual, Ser 2006-AR5,
Cl X, IO (E)
0.052%, 06/25/46 192,028 1,925
----------
Total Asset-Backed Securities
(Cost $12,484) ($ Thousands) 12,263
----------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 141
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2006
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- -------------------------------------------------------------------------------
COLLATERALIZED DEBT OBLIGATIONS -- 1.5%
FINANCIALS -- 1.5%
Carlyle High Yield Partners,
Ser 2006-8A, Cl N (E)
0.000%, 05/21/21 $ 3,000 $ 2,850
Connecticut Valley Structured
Credit, Ser 2006-3A,
Cl NOTE, (A)
0.000%, 03/23/23 1,200 1,176
Peritus I, (J)
0.000%, 03/23/23 3,000 750
Peritus I, Ser 2005-1A,
Cl C (A) (I)
9.000%, 05/24/15 11,385 10,771
----------
Total Collateralized Debt Obligations
(Cost $15,638) ($ Thousands) 15,547
----------
PREFERRED STOCK -- 0.7%
CIFC Funding, Ser 2006-I,
0.000%* 2,000,000 2,000
General Nutrition Center,
Ser A PIK, 12.000%* 850 1,266
Rockwall Investors, 0.000%* 3,000,000 3,000
Rural Cellular PIK,
12.250% (F)* 375 421
Rural Cellular,
Ser B PIK, 11.375%* 325 405
----------
Total Preferred Stock
(Cost $6,363) ($ Thousands) 7,092
----------
MASTER NOTE (G) (H) -- 0.5%
Bank of America
5.383%, 12/01/45 5,263 5,264
----------
Total Master Note
(Cost $5,264) ($ Thousands) 5,264
----------
CERTIFICATES OF DEPOSIT (G) -- 0.4%
Barclays Bank (D)
5.330%, 06/11/07 1,053 1,053
CC USA MTN (A)
5.379%, 06/18/07 2,105 2,105
U.S. Trust of New York (D)
5.316%, 03/13/07 842 842
----------
Total Certificates of Deposit
(Cost $4,000) ($ Thousands) 4,000
----------
PREFERRED/CONVERTIBLE STOCK -- 0.0%
Adelphia Communications,
Ser B PIK 25,000 21
----------
Total Preferred/Convertible Stock
(Cost $16) ($ Thousands) 21
----------
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- -------------------------------------------------------------------------------
CONVERTIBLE BONDS -- 0.2%
Amkor Technology CV to 17.4398 (F)
5.000%, 03/15/07 $ 700 $ 695
Flextronics CV to 64.4122
1.000%, 08/01/10 465 450
Mirant CV to 14.7167 (C) (F)
0.000%, 06/15/21 1,950 29
SCI Systems CV to 17.7841
3.000%, 03/15/07 725 718
----------
Total Convertible Bonds
(Cost $1,947) ($ Thousands) 1,892
----------
COMMON STOCK -- 0.2%
Core-Mark Holding (F)* 12,075 392
Huntsman* 7,595 132
Mirant (F)* 16,529 503
Owens Corning (F)* 28,431 882
UAL (F)* 8,481 344
----------
Total Common Stock
(Cost $2,314) ($ Thousands) 2,253
----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.0%
FINANCIAL SERVICES -- 0.0%
FHLMC CMO, Ser 2596, Cl IJ, IO
5.000%, 01/15/17 2,530 230
FHLMC CMO, Ser 2696, Cl NI, IO
5.500%, 03/15/23 217 2
FNMA CMO, Ser 2003-37, Cl IG, IO
5.500%, 05/25/32 756 107
----------
Total U.S. Government Agency Obligations
(Cost $415) ($ Thousands) 339
----------
U.S. TREASURY OBLIGATION (H) (J) -- 0.0%
U.S. Treasury Bill
5.018%, 01/18/07 60 60
----------
Total U.S. Treasury Obligation
(Cost $60) ($ Thousands) 60
----------
REPURCHASE AGREEMENTS (G) (K) -- 2.3%
ABN Amro
5.300%, dated 11/30/06, to be
repurchased on 12/01/06,
repurchase price $8,442,624
(collateralized by U.S. Government
Obligations, ranging in par value
$1,037,331-$31,119,937, 0.000%-
6.000%, 03/01/07-07/01/36,
total market value $8,589,812) 8,421 8,421
- --------------------------------------------------------------------------------
142 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
Barclays
5.300%, dated 11/30/06, to be
repurchased on 12/01/06,
repurchase price $1,792,377
(collateralized by U.S.
Government Obligations,
ranging in par value
$386,925-$5,502,005,
2.750%-5.700%, 12/15/06-
05/27/15, total market
value $1,827,983) $ 1,792 $ 1,792
Deutsche Bank
5.300%, dated 11/30/06, to be
repurchased on 12/01/06,
repurchase price $716,807
(collateralized by U.S.
Government Obligations,
ranging in par value
$1,938,855-$5,340,181,
0.000%-5.800%, 05/01/07-
01/27/20, total market
value $731,087) 717 717
Lehman Brothers
5.300%, dated 11/30/06, to be
repurchased on 12/01/06,
repurchase price $13,042,876
(collateralized by U.S.
Government Obligations,
ranging in par value
$951,233-$160,367,467,
3.085%-6.300%, 12/21/07-
01/15/30, total market
value $13,301,853) 13,041 13,041
----------
Total Repurchase Agreements
(Cost $23,971) ($ Thousands) 23,971
----------
Total Investments -- 109.1%
(Cost $1,125,388) ($ Thousands) $1,138,418
==========
A summary of the open future contracts held by the Fund at November 30, 2006, is
as follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
TYPE OF NUMBER OF EXPIRATION APPRECIATION
CONTRACT CONTRACTS DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
U.S. 2-Year Note 130 Mar-2007 $ 43
=====
- -------------------------------------------------------------------------------
Description
- -------------------------------------------------------------------------------
Percentages are based on Net Assets of $1,043,059 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of November 30, 2006.
+ Real Estate Investment Trust
(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."
(B) Step Bonds -- The rate reflected on the Schedule of Investments is the
effective yield on November 30, 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 Schedule of Investments
is the rate in effect as of November 30, 2006.
(E) Zero coupon security. The rate reported on the Schedule of Investments is
the effective yield at time of purchase.
(F) This security or a partial position of this security is on loan at
November 30, 2006 (see Note 9). The total value of securities on loan at
May 31, 2006 was $107,812 ($ Thousands).
(G) This security was purchased with cash collateral held from securities
lending (see Note 9). The total value of such securities as of November 30,
2006 was $115,304 ($ Thousands).
(H) The rate reported is the effective yield at time of purchase.
(I) Securities considered illiquid. The total value of such securities as of
November 30, 2006 was $13,895 ($Thousands) and represented 1.33% of
Net Assets.
(J) Security, or portion thereof, has been pledged as collateral on open futures
contracts.
(K) 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
PCS -- Personal Communications Service
PIK -- Payment in Kind
PLC -- Public Limited Company
Ser -- Series
STRIPS -- Separately Traded Registered Interest and Principal Securities.
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 143
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund
November 30, 2006
- --------------------------------------------------------------------------------
[Bar Chart Omitted]
Plot points as follows:
SECTOR WEIGHTINGS++:
29.1% Financials
10.6% Consumer Discretionary
9.1% Industrials
8.4% Basic Materials
5.8% Asset-Backed Securities
5.4% Energy
4.9% Information Technology
4.7% Health Care
4.6% Consumer Staples
4.6% U.S. Government Agency Mortgage-Backed Securities
4.1% Telecommunication Services
3.0% Utilities
1.6% Short-Term Investments
1.0% U.S. Treasury Obligations
0.8% Commercial Paper
0.7% Exchange Traded Funds
0.6% U.S. Government Agency Obligations
0.4% Equity-Linked Warrants
0.3% Certificates of Deposit
0.3% Master Note
++Percentages based on total investments. Includes investments
held as collateral for securities on loan (see Note 9).
- -------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------------------------
COMMON STOCK -- 89.1%
AUSTRALIA -- 2.9%
ABB Grain 22,800 $ 125
Amcor 167,281 983
AMP 372,550 2,791
APN News & Media 69,267 317
Australia & New Zealand
Banking Group 126,345 2,838
Babcock & Brown (B) 41,503 813
BHP Billiton 67,170 1,391
Billabong International 60,600 766
BlueScope Steel 124,000 783
Brambles Industries (B) 90,209 919
Caltex Australia 10,600 185
Challenger Financial Services
Group (B) 187,182 585
Cochlear 14,517 645
Commonwealth Bank of Australia 57,989 2,171
Foster's Group 203,931 1,077
GPT Group 25,489 104
Insurance Australia Group 166,158 758
IOOF Holdings 4,400 37
Leighton Holdings 18,800 303
Lend Lease 49,408 683
Lion Nathan 25,900 165
Macquarie Airports (B) 1,147,974 3,217
Macquarie Bank 16,077 924
Macquarie Infrastructure Group 528,922 1,466
Mayne Pharma 121,438 395
Mirvac Group 165,148 691
National Australia Bank 55,600 1,720
OneSteel 64,638 225
Pacific Brands 145,201 305
PaperlinX 78,600 246
- -------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------------------------
Promina Group 151,517 $ 784
Qantas Airways 386,453 1,510
QBE Insurance Group 358,903 7,336
Rinker Group 120,430 1,773
Rio Tinto 39,373 2,306
Santos 202,589 1,647
Specialty Fashion Group 12,000 15
St George Bank 17,800 459
Suncorp-Metway (B) 32,407 523
Sunland Group 55,100 141
TABCORP Holdings 40,100 516
Telstra 336,906 1,003
Telstra (B) 20,060 33
Toll Holdings 67,155 892
Westpac Banking 19,547 377
Woolworths 232,738 4,042
Zinifex 39,900 536
----------
51,521
----------
AUSTRIA -- 0.6%
Agrana Beteiligungs 3,500 343
Boehler-Uddeholm 10,788 685
Conwert Immobilien Invest* 16,500 358
Erste Bank der Oesterreichischen
Sparkassen 8,878 647
OMV 35,300 1,895
Raiffeisen International
Bank Holding (B) 3,784 445
Telekom Austria 73,200 1,941
Voestalpine 91,500 4,540
----------
10,854
----------
BELGIUM -- 1.0%
AGFA-Gevaert 17,000 404
Belgacom (B) 30,237 1,296
Cofinimmo+ 184 37
Compagnie Maritime Belge 2,461 97
D'ieteren 179 60
Delhaize Group (B) 15,088 1,201
Dexia 68,594 1,873
Fortis 85,300 3,481
Fortis (Netherlands Line) 112,930 4,608
InBev 13,711 901
KBC Groep 10,800 1,216
Mobistar 15,007 1,261
Omega Pharma 10,800 747
Solvay (B) 836 119
UCB (B) 14,717 935
----------
18,236
----------
BERMUDA -- 0.0%
Frontline (B) 19,800 706
----------
- --------------------------------------------------------------------------------
144 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- -------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------------------------
BRAZIL -- 0.1%
Gerdau ADR 38,925 $ 613
Uniao de Bancos Brasileiros ADR 7,200 610
----------
1,223
----------
CANADA -- 2.2%
Abitibi-Consolidated (B) 60,800 141
Alcan 59,800 2,868
Bombardier, Cl B* 158,300 527
Cameco 53,531 2,028
Canadian Natural Resources 44,100 2,390
EnCana 20,400 1,060
Gerdau Ameristeel 86,800 863
Kinross Gold* 264,350 3,319
LionOre Mining International* 136,600 1,409
Manulife Financial (B) 16,500 545
Methanex 27,600 683
Nexen 27,325 1,496
Potash Saskatchewan (B) 19,500 2,748
Research In Motion* 18,400 2,554
Rogers Communications, Cl B 90,500 5,545
Suncor Energy (B) 16,100 1,269
Teck Cominco, Cl B (B) 97,250 7,328
TELUS 16,773 807
Toronto-Dominion Bank (B) 12,100 710
----------
38,290
----------
CHINA -- 0.1%
China Petroleum & Chemical,
Cl H 1,106,000 874
Foxconn International
Holdings (B)* 420,000 1,269
Industrial & Commercial Bank
of China 538,000 273
----------
2,416
----------
DENMARK -- 0.4%
AP Moller - Maersk 54 506
Carlsberg, Cl B 8,731 833
Danske Bank (B) 68,398 2,992
DSV 4,000 708
East Asiatic 2,250 132
Novo-Nordisk, Cl B 16,650 1,286
Sydbank 19,906 848
Topdanmark* 1,949 311
----------
7,616
----------
FINLAND -- 1.0%
Fortum 153,350 4,486
Huhtamaki 17,100 321
Kemira 19,200 405
Metso 5,900 272
Neste Oil 55,000 1,773
Nokia 165,132 3,325
- -------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------------------------
Nokia ADR 4,200 $ 85
OKO Bank, Cl A 55,900 902
Outokumpu 39,788 1,334
Sampo, Cl A 33,800 854
Stora Enso, Cl R 31,200 487
Tietoenator 13,500 385
UPM-Kymmene 119,100 2,968
----------
17,597
----------
FRANCE -- 10.6%
Accor 11,386 829
Air France-KLM 111,568 4,456
Air Liquide 3,165 717
Alstom* 22,400 2,605
Arkema* 4,593 229
Assurances Generales de France 40,070 5,944
Atos Origin* 600 34
AXA (B) 171,064 6,485
BNP Paribas 151,179 16,302
Bouygues 66,757 3,967
Business Objects 20,000 772
Capgemini 98,085 5,983
Carrefour 10,400 651
Casino Guichard Perrachon 36,069 3,294
Christian Dior 11,200 1,178
Cie de Saint-Gobain 81,180 6,483
Cie Generale d'Optique Essilor
International 5,022 540
Ciments Francais 4,100 766
Club Mediterranee* 1,274 72
CNP Assurances (B) 20,400 2,138
Compagnie Generale des
Etablissements Michelin, Cl B 37,817 3,288
Credit Agricole 231,828 9,824
Dassault Systemes (B) 8,055 440
Faurecia 2,114 144
Financiere de L'Odet 552 217
France Telecom 123,170 3,200
Gaz de France (B) 15,749 680
Groupe Danone 49,273 7,589
L'Oreal 12,429 1,254
Lafarge 36,705 5,337
Neopost 6,100 785
Nexans 3,400 364
Nexity 1,328 90
PagesJaunes Groupe 14,600 297
Peugeot 18,600 1,161
PPR 14,400 2,199
Provimi 7,371 342
Renault 67,454 8,092
Safran 32,500 699
Sanofi-Aventis 170,105 14,950
Sanofi-Aventis (Germany Line)* 822 72
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 145
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund (Continued)
November 30, 2006
- -------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------------------------
Schneider Electric 31,329 $ 3,395
SCOR (B) 911,120 2,609
Societe Generale 78,919 13,233
Societe Television Francaise 1 63,400 2,348
Sodexho Alliance 13,500 791
Suez (B)* 73,543 3,534
Thales 24,400 1,167
Total (B) 245,375 17,418
Vallourec 15,474 4,160
Veolia Environnement 20,800 1,378
Vinci (B) 50,520 6,352
Vivendi 189,629 7,302
----------
188,156
----------
GERMANY -- 6.7%
Allianz 39,683 7,730
Altana (B) 17,489 1,021
BASF 72,656 6,711
Bayer 219,616 11,333
Bayerische Motoren Werke 39,200 2,165
Commerzbank 157,020 5,655
Continental 46,148 5,246
DaimlerChrysler (B) 125,123 7,271
Deutsche Bank 55,393 7,150
Deutsche Boerse 8,149 1,365
Deutsche Lufthansa 222,600 5,547
Deutsche Post (B) 118,244 3,527
E.ON 82,836 10,647
Fresenius Medical Care 30,830 4,141
GEA Group 27,900 554
Heidelberger Druckmaschinen 10,400 452
Hypo Real Estate Holding 70,200 4,089
Infineon Technologies* 89,000 1,142
MAN 23,900 2,281
Muenchener
Rueckversicherungs (B) 55,888 9,112
Puma Rudolf Dassler Sport 2,100 761
RWE 37,233 4,225
Salzgitter 6,900 830
SAP 10,387 2,173
Siemens (B) 41,070 3,913
Suedzucker 62,035 1,516
ThyssenKrupp 91,984 3,553
TUI (B) 86,200 1,821
Volkswagen (B) 22,340 2,436
Wincor Nixdorf* 1,607 231
----------
118,598
----------
GREECE -- 0.3%
Alpha Bank 6,690 209
Coca Cola Hellenic Bottling 25,810 944
Hellenic Telecommunications
Organization 44,140 1,284
- -------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------------------------
National Bank of Greece 17,350 $ 796
OPAP 43,800 1,649
Piraeus Bank 1 --
Titan Cement 6,730 365
----------
5,247
----------
HONG KONG -- 2.3%
ASM Pacific Technology 35,000 192
Bank of East Asia 763,900 4,120
BOC Hong Kong Holdings 1,079,700 2,601
Cathay Pacific Airways 141,000 335
Cheung Kong Holdings 75,000 886
China Mobile Hong Kong 602,500 5,066
China Netcom Group 328,000 654
CLP Holdings 185,000 1,228
Esprit Holdings 41,000 425
eSun Holdings* 8,000 8
Hang Lung Group 80,000 204
Hang Lung Properties 850,400 1,891
Henderson Land Development 380,600 2,119
Hong Kong & China Gas 176,000 389
Hong Kong Exchanges and
Clearing 288,500 2,544
Hongkong & Shanghai Hotels 129,500 200
HongKong Electric Holdings 27,000 127
Hopewell Holdings 119,000 396
Hopson Development Holdings 46,000 113
Hysan Development 856,800 2,264
Jardine Strategic Holdings 3,000 35
Kerry Properties 76,500 309
Kingboard Chemical Holdings (B) 79,000 318
Li & Fung 659,200 1,915
New World Development 1,329,000 2,430
NWS Holdings 88,000 201
Shangri-La Asia 1,007,500 2,591
Sino Land (B) 1,547,410 2,905
Sun Hung Kai Properties 56,800 643
Swire Pacific, Cl A 191,600 2,025
Techtronic Industries 500,800 671
Vtech Holdings 38,000 239
Wharf Holdings 54,000 189
Wheelock 121,000 221
----------
40,454
----------
HUNGARY -- 0.1%
MOL Hungarian Oil & Gas 7,600 856
----------
INDIA -- 0.1%
Canara Bank 100,000 666
Punjab National Bank 46,000 560
----------
1,226
----------
- --------------------------------------------------------------------------------
146 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- -------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------------------------
IRELAND -- 0.3%
Allied Irish Banks 69,300 $ 1,934
Bank of Ireland 11,056 237
CRH 50,121 1,890
Depfa Bank 41,500 754
Dragon Oil* 120,894 428
Experian Group 9,933 115
Fyffes 35,854 78
----------
5,436
----------
ISRAEL -- 0.1%
Bank Hapoalim 280,300 1,352
Teva Pharmaceutical
Industries ADR 12,600 404
----------
1,756
----------
ITALY -- 3.8%
Alitalia* 304,000 343
Arnoldo Mondadori Editore 40,000 402
Banca Intesa 229,852 1,625
Banca Popolare dell'Emilia
Romagna 3,253 75
Banca Popolare di Milano 149,020 2,416
Banche Popolari Unite (B) 162,605 4,302
Banco Popolare di Verona
e Novara 128,446 3,613
Beni Stabili 46,644 65
Buzzi Unicem 50,900 1,368
Capitalia 386,885 3,564
Enel 20,110 206
ENI (B) 372,167 12,195
Fiat (B) 450,730 8,371
Fiat RNC 83,710 1,489
Finmeccanica 98,800 2,453
Fondiaria-Sai 68,366 3,146
IFIL - Investments 395,443 3,124
Italcementi 60,498 1,642
Lottomatica 17,400 685
Pirelli & C 2,374,767 2,295
Sanpaolo IMI 118,600 2,625
Snam Rete Gas 143,700 795
Telecom Italia Media (B) 645,520 314
Telecom Italia RNC 545,807 1,451
UniCredito Italiano 952,991 8,236
----------
66,800
----------
JAPAN -- 19.3%
77 Bank 131,300 881
ADEKA 10,900 107
Advantest 23,000 1,205
Aeon* 97,200 2,294
Aeon Credit Service 40,500 793
Aisin Seiki 21,800 688
All Nippon Airways* 12,000 44
- -------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------------------------
Alps Electric 11,600 $ 113
Amada 64,000 650
Aoyama Trading 8,300 234
Asahi Breweries 23,700 342
Asahi Diamond Industrial 8,000 56
Asahi Kasei 182,200 1,177
Astellas Pharma 5,300 232
Autobacs Seven 4,700 171
Bank of Yokohama 16,100 123
BML 2,400 50
Bridgestone 46,000 1,008
Canon 163,201 8,636
Cawachi 1,700 47
Chiyoda 15,000 284
Chugoku Bank 6,000 79
Citizen Watch 47,400 356
Coca-Cola West Holdings 44,600 945
COMSYS Holdings 24,000 239
CSK Holdings 19,200 838
Dai Nippon Printing 45,000 675
Daicel Chemical Industries 44,000 307
Daiichi Sankyo 44,900 1,382
Daimaru 5,700 73
Dainippon Screen Manufacturing 103,600 913
Daiwa House Industry 23,000 404
Daiwa Securities Group 82,000 941
Denso 26,200 995
Dentsu 300 825
East Japan Railway 170 1,194
EDION 22,900 334
Eighteenth Bank 9,000 46
Elpida Memory* 19,000 927
FamilyMart 19,700 540
Fanuc 22,100 2,016
Fast Retailing 9,100 803
Fuji Fire & Marine Insurance* 52,000 208
Fuji Heavy Industries 83,000 431
Fuji Photo Film 108,300 4,317
Fuji Soft 4,600 111
Fujikura 122,000 1,076
Fujitsu 124,000 1,014
Fukuyama Transporting 30,000 107
Goodwill Group (B) 1,500 1,336
Gunze 40,000 207
Hankyu Holdings (B) 78,000 486
Heiwa 12,200 153
Hirose Electric 5,700 670
HIS 3,600 87
Hitachi 418,100 2,487
Hitachi Cable 466,000 2,401
Hitachi High-Technologies 14,400 421
Hitachi Metals 38,000 406
Hokkaido Electric Power 53,900 1,328
Hokkoku Bank 2,000 8
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 147
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund (Continued)
November 30, 2006
- -------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------------------------
Honda Motor 185,900 $ 6,590
Hoya 19,100 753
Ibiden 10,700 537
Idemitsu Kosan (B) 4,800 511
Inpex Holdings 66 569
Itochu 301,100 2,434
Itochu Techno-Science 15,000 905
Japan Airport Terminal 10,600 120
Japan Steel Works (B) 474,800 3,506
Japan Tobacco 1,460 6,476
JFE Holdings (B) 159,500 7,364
Joyo Bank 15,000 85
JS Group 67,000 1,341
Kamigumi 29,000 241
Kansai Electric Power 37,000 925
Kao 34,500 931
Kato Sangyo 1,500 18
Kawasaki Heavy Industries 24,000 86
Kawasaki Kisen Kaisha 10,000 72
KDDI 223 1,492
Keyence 1,900 437
Kirin Brewery 15,000 212
Kobe Steel 622,300 1,921
Komatsu 100,000 1,820
Komori 61,900 1,177
Konica Minolta Holdings 51,000 741
Kubota 77,000 678
Kuraray 74,200 844
Kyocera 4,000 361
Kyushu Electric Power 70,400 1,790
Leopalace21 83,500 2,809
Mabuchi Motor 14,900 877
Maeda* 21,000 74
Makita (B) 48,900 1,412
Marubeni 134,000 682
Maruichi Steel Tube 9,500 238
Matsushita Electric Industrial 46,000 897
Millea Holdings 24,000 863
Mitsubishi 253,800 4,740
Mitsubishi Chemical Holdings 347,500 2,115
Mitsubishi Electric 46,000 419
Mitsubishi Estate 317,900 7,861
Mitsubishi Gas Chemical 69,000 674
Mitsubishi Heavy Industries 453,900 1,974
Mitsubishi UFJ Financial Group 826 10,564
Mitsubishi UFJ Securities 51,000 605
Mitsui (B) 153,700 2,100
Mitsui Chemicals 476,000 3,544
Mitsui Mining & Smelting 72,000 342
Mitsui OSK Lines (B) 379,000 3,477
Mitsui Sumitomo Insurance 87,000 1,074
Mitsui Trust Holdings 9,000 96
Mitsumi Electric (B) 61,800 1,074
Mizuho Financial Group 806 5,938
- -------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------------------------
Murata Manufacturing 8,080 $ 552
Nagase* 16,000 188
Nankai Electric Railway* 56,000 202
Nanto Bank 14,000 70
NEC 135,000 646
Net One Systems 600 887
NGK Spark Plug 53,100 971
Nichirei 12,000 69
Nikko Cordial 58,000 717
Nikon (B) 146,300 3,023
Nintendo 18,660 4,453
Nippo* 7,000 51
Nippon Electric Glass 74,800 1,627
Nippon Express 56,000 303
Nippon Light Metal (B) 34,000 83
Nippon Mining Holdings 378,900 2,768
Nippon Oil 70,000 498
Nippon Paper Group 600 2,231
Nippon Sheet Glass (B) 559,500 2,487
Nippon Steel 697,000 3,134
Nippon Telegraph & Telephone 1,495 7,575
Nippon Yusen Kabushiki Kaisha 20,000 140
Nissan Diesl Motor* 33,000 111
Nissan Motor* 371,960 4,541
Nissan Shatai 17,000 87
Nisshin Seifun Group 47,500 469
Nitto Denko 29,200 1,411
Nomura Holdings 23,000 404
Nomura Research Institute 5,900 842
NSK 72,000 639
NTT Data 335 1,686
NTT DoCoMo 780 1,194
NTT Urban Development 35 306
Obayashi 262,000 1,654
Obic 4,000 834
Odakyu Electric Railway (B) 81,800 534
Okasan Holdings 22,000 153
Oki Electric Industry (B) 1,406,100 3,234
Ono Pharmaceutical* 11,700 598
Orient* 91,000 173
ORIX 37,110 10,172
Osaka Gas 109,000 393
PanaHome 15,000 108
Park24 (B) 59,800 814
Rakuten 1,900 864
Ricoh 101,000 1,921
Rohm 5,600 517
Round One 200 688
Ryohin Keikaku 11,600 899
Sankyo 19,700 1,010
Santen Pharmaceutical 3,500 101
Sanwa Shutter 22,000 127
Sanyo Electric* 163,000 234
Sega Sammy Holdings 17,600 444
Seikagaku 1,000 10
- --------------------------------------------------------------------------------
148 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- -------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------------------------
Seiko Epson (B) 55,300 $ 1,348
Seino Transportation 230,000 2,291
Sekisui Chemical 252,800 2,138
Sekisui House 42,000 636
Sharp 166,000 2,797
Shimamura 5,200 606
Shin-Etsu Chemical 22,700 1,502
Shinko Securities 99,000 380
Shinsei Bank 228,000 1,352
Shizuoka Bank 84,400 864
SMC 14,700 2,020
Softbank (B) 254,700 5,340
Sojitz* 86,800 269
Sompo Japan Insurance 110,200 1,405
Sony (B) 77,600 3,073
Stanley Electric (B) 28,100 584
Sumco 23,000 1,730
Sumitomo 191,000 2,682
Sumitomo Bakelite 24,000 170
Sumitomo Chemical 196,000 1,318
Sumitomo Heavy Industries 279,000 2,760
Sumitomo Metal Industries 370,600 1,423
Sumitomo Metal Mining 101,000 1,322
Sumitomo Mitsui Financial Group 1,150 12,131
Sumitomo Realty & Development 52,000 1,659
Suruga Bank 67,400 895
Suzuken 38,200 1,354
Suzuki Motor 102,400 2,940
T&D Holdings 18,100 1,319
Taiheiyo Cement 37,000 148
Taisho Pharmaceutical 34,000 617
Taiyo Nippon Sanso 96,100 858
Taiyo Yuden (B) 150,100 2,528
Takeda Pharmaceutical 69,300 4,530
Takefuji 15,820 633
Tanabe Seiyaku (B) 101,600 1,294
TDK 5,800 444
Teijin 171,000 1,107
THK 33,500 869
TIS 98,800 2,379
TKC* 3,300 58
Toda 193,700 844
Tokushima Bank 5,000 31
Tokyo Dome 21,000 85
Tokyo Electric Power 247,300 7,719
Tokyo Electron 50,400 3,896
Tokyo Gas (B) 386,100 1,916
Tokyo Style 75,000 816
Tokyu 125,400 827
Tokyu Community 600 19
Toppan Printing 141,700 1,523
Toshiba (B) 504,400 3,232
Toyo Seikan Kaisha 117,600 1,939
Toyoda Gosei 36,600 832
- -------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------------------------
Toyota Auto Body 12,000 $ 214
Toyota Motor 232,600 14,118
Trend Micro 30,000 908
TV Asahi 106 204
UNY 50,000 604
Ushio 24,600 492
USS 18,280 1,163
Valor 5,500 72
West Japan Railway 170 778
Yahoo! Japan (B) 2,246 886
Yamada Denki 17,370 1,648
Yamaguchi Financial Group* 6,000 65
Yamaha 31,700 663
Yamaha Motor 41,200 1,133
Yamato Transport 83,400 1,279
Yamazaki Baking (B) 13,000 127
Yaskawa Electric (B) 80,000 881
----------
343,141
----------
LUXEMBOURG -- 0.1%
Colt Telecom Group* 28,085 74
SES Global FDR 81,800 1,366
SES Global FDR (Paris Exchange) 36,186 607
----------
2,047
----------
MEXICO -- 0.6%
America Movil ADR, Ser L 156,905 6,977
Fomento Economico Mexicano ADR 42,440 4,467
----------
11,444
----------
NETHERLANDS -- 5.0%
ABN AMRO Holding 252,848 7,612
Aegon 308,773 5,603
Akzo Nobel 108,190 6,208
ASML Holding* 31,600 786
Buhrmann 107,000 1,506
CSM 6,801 253
European Aeronautic Defense
and Space (B) 48,610 1,431
Fugro 12,954 600
Heineken 39,089 1,907
Heineken Holding 27,136 1,118
ING Groep 477,007 20,354
Koninklijke Ahold* 274,133 2,747
Koninklijke DSM 39,706 1,894
Koninklijke Philips Electronics 157,900 5,879
Koninklijke Wessanen 25,000 332
Mittal Steel 96,625 3,983
Randstad Holdings 4,927 316
Reed Elsevier 36,657 618
Royal Dutch Shell, Cl A (B) 228,144 8,063
Royal Dutch Shell,
Cl A (GBP) (B) 78,872 2,793
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 149
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund (Continued)
November 30, 2006
- -------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------------------------
Royal Dutch Shell, Cl B 137,750 $ 4,923
Royal KPN 281,210 3,858
Unilever 87,844 2,321
Vedior 120,400 2,300
Wolters Kluwer* 58,400 1,637
----------
89,042
----------
NEW ZEALAND -- 0.2%
Auckland International Airport 174,700 258
Fisher & Paykel Appliances
Holdings (B) 288,000 807
Telecom of New Zealand 564,605 1,774
----------
2,839
----------
NORWAY -- 0.8%
DnB 149,065 2,026
Norsk Hydro 90,165 2,233
Norske Skogindustrier 46,928 781
Orkla 32,319 1,813
PAN Fish* 909,900 799
ProSafe 11,100 756
Statoil 51,800 1,438
Tandberg Television (B)* 72,800 816
Telenor 86,300 1,482
TGS Nopec Geophysical* 53,460 1,037
Yara International 30,937 644
----------
13,825
----------
PORTUGAL -- 0.5%
Banco Comercial Portugues 1,057,550 3,589
Banco Espirito Santo 63,384 1,084
Portugal Telecom 171,900 2,215
PT Multimedia Servicos de
Telecomunicacoes e Multi 13,807 177
Sonae 1,146,300 2,279
----------
9,344
----------
RUSSIA -- 0.3%
OAO Gazprom ADR 96,650 4,514
----------
SINGAPORE -- 1.0%
DBS Group Holdings 425,700 5,803
Flextronics International* 107,100 1,205
Jardine Cycle & Carriage 27,000 247
Kim Eng Holdings 98,000 93
SembCorp Industries 111,000 267
Singapore Airlines 223,918 2,282
Singapore Exchange 232,800 808
Singapore Petroleum 34,000 98
Singapore Post 1,111,900 751
Singapore Telecommunications 2,174,950 4,066
United Industrial 193,000 230
- -------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------------------------
United Overseas Bank 115,100 $ 1,390
UOL Group 184,000 537
----------
17,777
----------
SOUTH AFRICA -- 0.3%
ABSA Group 40,100 630
Harmony Gold Mining* 94,100 1,590
Sanlam 379,530 941
Sasol 84,276 2,954
----------
6,115
----------
SOUTH KOREA -- 0.9%
Honam Petrochemical 12,900 880
Industrial Bank of Korea 26,750 486
INI Steel 29,790 1,112
Kookmin Bank 17,670 1,377
POSCO 4,200 1,320
Samsung Electronics 8,120 5,574
Samsung Electronics GDR (F) 4,492 1,536
Shinhan Financial Group 90,300 4,397
----------
16,682
----------
SPAIN -- 3.4%
Acciona 399 73
Acerinox (B) 22,266 609
Actividades Construcciones y
Servicios (B) 120,027 6,711
Altadis 44,940 2,252
Antena 3 de Television (B) 34,500 823
Banco Bilbao Vizcaya
Argentaria (B) 351,765 8,510
Banco Popular Espanol 146,546 2,578
Banco Sabadell 26,800 1,067
Banco Santander Central Hispano 635,390 11,547
Ebro Puleva 112,179 2,647
Enagas 11,900 298
Endesa (B) 69,346 3,225
Gamesa Corp Tecnologica 31,900 841
Gas Natural SDG 66,800 2,727
Iberdrola (B) 12,573 558
Iberia Lineas Aereas de Espana 708,000 2,487
Inditex 26,879 1,363
Indra Sistemas 32,700 796
Repsol 191,891 6,893
Sol Melia 25,200 495
Telefonica (B) 239,268 4,849
----------
61,349
----------
SWEDEN -- 1.5%
Alfa Laval 19,800 769
Assa Abloy, Cl B 30,700 625
Atlas Copco, Cl A (B) 176,830 5,208
- --------------------------------------------------------------------------------
150 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- -------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------------------------
Axfood 21,900 $ 824
Billerud 47,500 819
Boliden* 7,754 187
Electrolux, Cl B 40,000 751
Elekta, Ser B 35,100 768
Eniro 60,600 766
Kungsleden 57,600 804
Lundin Petroleum (B)* 66,300 708
Scania, Cl B (B)* 14,400 983
Skandinaviska Enskilda Banken,
Cl A 46,630 1,370
SKF, Cl B 52,000 851
Ssab Svenskt Stal, Cl A 4,180 88
Svenska Cellulosa, Cl B 31,637 1,552
Svenska Handelsbanken, Cl A 17,837 481
Swedish Match 57,131 1,013
Telefonaktiebolaget LM Ericsson,
Cl B 286,215 1,109
TeliaSonera 302,471 2,288
Trelleborg, Cl B 19,000 411
Volvo, Cl B 62,745 4,081
----------
26,456
----------
SWITZERLAND -- 5.6%
ABB (B) 125,877 2,033
Adecco 12,613 836
Bobst Group 2,482 117
Bucher Industries 134 14
Clariant 37,000 520
Compagnie Financiere Richemont,
Cl A 64,631 3,482
Credit Suisse Group 240,282 15,894
Elektrizitaets-Gesellschaft
Laufenburg 420 412
Energiedienst Holding 500 219
Geberit 324 470
Helvetia Holding 1,320 420
Holcim 51,609 4,631
Motor Columbus 75 495
Nestle (B) 18,302 6,462
Novartis 278,676 16,248
OC Oerlikon 5,600 2,384
Petroplus Holdings* 5,176 302
Phonak Holding 4,202 314
PSP Swiss Property 13,800 763
Rieter Holding 1,429 716
Roche Holding 70,995 12,830
Romande Energie Holding 340 393
Straumann Holding 3,100 774
Swatch Group 5,233 223
Swiss Life Holding 3,440 847
Swiss Reinsurance 70,393 6,011
Swisscom 4,339 1,590
- -------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------------------------
UBS 141,006 $ 8,480
Xstrata 104,050 4,667
Zurich Financial Services 27,456 7,139
----------
99,686
----------
TAIWAN -- 0.2%
Chunghwa Telecom ADR 461 9
Compal Electronics 1,027,482 942
HON HAI Precision Industry GDR 40,595 581
Taiwan Semiconductor
Manufacturing 525,602 1,062
Taiwan Semiconductor
Manufacturing ADR (B) 157,875 1,697
----------
4,291
----------
THAILAND -- 0.0%
PTT 101,300 649
----------
UNITED KINGDOM -- 16.8%
3i Group 112,062 2,147
Acergy* 152,450 2,989
Alliance Boots 1 --
Amvescap 268,600 2,906
Anglo American 151,611 7,044
Antofagasta 33,703 318
ARM Holdings 84,487 199
AstraZeneca 157,599 9,145
AstraZeneca (SEK) 55,554 3,216
Aviva 671,387 10,400
BAE Systems 880,500 6,703
Balfour Beatty 21,462 176
Barclays 818,196 10,952
Barratt Developments 91,496 1,988
Bellway 86,465 2,481
Berkeley Group Holdings 21,800 696
BHP Billiton 348,958 6,624
Bovis Homes Group 11,695 233
BP 1,301,343 14,693
Brambles Industries 125,817 1,279
Brit Insurance Holdings 46,000 274
British Airways* 440,203 4,267
British American Tobacco 134,643 3,811
British Land 91,628 2,745
Brixton 196,416 2,106
BT Group 91,085 509
Burberry Group 53,400 632
Cadbury Schweppes 47,399 488
Carnival 27,245 1,326
Carphone Warehouse Group 72,000 383
Cattles 275,500 2,184
Close Brothers Group 106,200 2,056
Compass Group 607,600 3,430
Cookson Group 188,899 2,203
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 151
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund (Continued)
November 30, 2006
- -------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------------------------
Corus Group 61,600 $ 607
Diageo 229,775 4,414
Drax Group* 1 --
DSG International 484,100 1,857
Emap 15,330 256
Enterprise Inns 171,407 4,144
Firstgroup 13,388 145
Friends Provident 873,000 3,572
Gallaher Group 6,080 114
GKN 143,523 824
GlaxoSmithKline 495,214 13,160
Group 4 Securicor 172,200 575
Hammerson 6,718 191
Hanson 50,180 720
Hays 95,230 280
HBOS 668,809 13,695
HSBC Holdings 511,753 9,442
Imperial Chemical Industries 55,500 454
Imperial Tobacco Group 19,082 701
Inchcape 252,415 2,481
Intercontinental Hotels Group -- --
International Power 42,878 286
Investec 62,000 737
ITV 290,500 639
J Sainsbury 784,990 6,161
Kazakhmys 42,800 978
Kesa Electricals 85,200 597
Kingfisher 117,800 563
Ladbrokes 60,615 481
Legal & General Group 906,710 2,702
Lloyds TSB Group 174,881 1,859
London Stock Exchange Group 24,078 619
Man Group 217,300 2,026
Marks & Spencer Group 379,000 5,092
Michael Page International 120,289 965
Mitchells & Butlers 141,473 1,864
National Grid 139,243 1,883
Next 17,116 599
Old Mutual 471,000 1,538
Pearson 42,545 628
Persimmon 54,340 1,561
Prudential 178,400 2,318
Punch Taverns 70,018 1,589
Reckitt Benckiser 17,363 773
Reed Elsevier (B) 227,630 2,489
Reuters Group 236,800 2,108
Rio Tinto (B) 186,777 9,975
Royal & Sun Alliance
Insurance Group 621,028 1,796
Royal Bank of Scotland Group 728,458 26,394
SABMiller 146,815 3,070
Scottish & Newcastle 348,143 3,698
Scottish & Southern Energy 56,085 1,605
Scottish Power 358,215 5,320
Severn Trent 29,600 851
- -------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands)(1) ($ Thousands)
- -------------------------------------------------------------------------------
Smith & Nephew 63,900 $ 606
Stagecoach Group 67,541 189
Standard Chartered 76,932 2,208
Stolt-Nielsen 25,917 791
Tate & Lyle 5,517 86
Taylor Woodrow 537,610 4,129
Tesco 156,200 1,202
Travis Perkins 58,200 1,986
Trinity Mirror 18,178 182
Unilever (B) 125,517 3,365
United Business Media 19,083 263
United Utilities 30,001 445
Vodafone Group 5,940,513 15,717
Whitbread 1 --
William Hill 102,300 1,260
Wimpey George 150,788 1,640
Wolseley 64,800 1,517
WPP Group 23,106 307
Yell Group 107,300 1,214
----------
299,106
----------
Total Common Stock
(Cost $1,276,975) ($ Thousands) 1,585,295
----------
ASSET-BACKED SECURITIES -- 6.4%
MORTGAGE RELATED SECURITIES -- 6.4%
ACE Securities, Ser 2003-NC1,
Cl M (D)
6.100%, 12/25/06 $ 600 603
ACE Securities, Ser 2003-OP1,
Cl M1 (D)
6.020%, 12/26/06 250 251
Aames Mortgage Investment Trust,
Ser 2005-4, Cl B2 (D)
8.070%, 12/12/06 110 99
American Home Mortgage Investment
Trust, Ser 2004-3, Cl 2A (D)
3.590%, 10/25/34 818 816
American Home Mortgage Investment
Trust, Ser 2005-1, Cl 6A (D)
5.294%, 12/25/06 5,416 5,403
American Home Mortgage Investment
Trust, Ser 2005-4, Cl 5A (D)
5.350%, 12/25/06 1,960 1,962
American Home Mortgage Investment
Trust, Ser 2006-1, Cl 2A3 (D)
5.100%, 12/25/06 1,439 1,423
- --------------------------------------------------------------------------------
152 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)(1) ($ Thousands)
- -------------------------------------------------------------------------------
Ameriquest Mortgage Securities,
Ser 2003-2, Cl M1 (D)
6.220%, 12/25/06 $ 380 $ 381
Argent Securities, Ser 2003-W5,
Cl M1 (D)
6.020%, 12/25/06 250 253
Argent Securities, Ser 2003-W9,
Cl M1 (D)
6.010%, 12/26/06 343 345
Asset-Backed Securities Home
Equity Loan Trust, Ser 2003-HE5,
Cl M1 (D)
6.070%, 12/15/06 456 458
Asset-Backed Securities Home
Equity Loan Trust,
Ser 2003-HE7, Cl M2 (D)
7.080%, 12/15/06 205 208
Banc of America Commercial
Mortgage, Ser 2006-2, Cl A1
5.611%, 12/01/06 828 840
Banc of America Funding,
Ser 2006-A, Cl 2A2 (D)
5.485%, 12/01/06 214 214
Banc of America Mortgage
Securities, Ser 2004-10,
Cl 2A1
5.000%, 12/25/19 656 645
Basic Asset Backed Securities
Trust, Ser 2006-1, Cl A1 (D)
5.400%, 12/25/06 2,680 2,680
Bear Stearns NIM Trust,
Ser 2005-AQ2N, Cl A1 (F)
5.500%, 09/25/35 27 27
Centex Home Equity, Ser 2004-D,
Cl AV4 (D)
5.630%, 12/25/06 647 647
Chase Funding Mortgage Loan,
Ser 2003-1, Cl 1A4
4.119%, 02/25/29 452 449
Chase Funding Mortgage Loan,
Ser 2004-2, Cl 1A3
4.209%, 09/25/26 815 810
Commodore, Ser 2003-2A,
Cl A1MM (C) (D) (F)
5.470%, 12/12/38 1,277 1,277
Countrywide Alternative Loan
Trust, Ser 2004-33, Cl 1A1 (D)
4.999%, 12/01/06 861 870
Countrywide Alternative Loan
Trust, Ser 2005-69, Cl M3 (D)
6.470%, 12/27/06 225 228
Countrywide Alternative Loan
Trust, Ser 2005-IM1, Cl M3 (D)
7.320%, 12/27/06 338 338
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)(1) ($ Thousands)
- -------------------------------------------------------------------------------
Countrywide Alternative Loan
Trust, Ser 2006-0A11,
Cl M3 (D)
5.750%, 12/30/06 $ 456 $ 456
Countrywide Asset-Backed
Certificates, Ser 2003-5,
Cl MV2 (D)
6.920%, 01/25/34 267 269
Countrywide Asset-Backed
Certificates, Ser 2004-11,
Cl A2 (D)
5.700%, 12/25/06 394 394
Countrywide Asset-Backed
Certificates, Ser 2005-15,
Cl 1AF1 (D)
5.460%, 12/25/06 843 843
Countrywide Asset-Backed
Certificates, Ser 2006-IM1,
Cl A1 (D)
5.410%, 12/27/06 1,423 1,423
Countrywide Home Equity Loan
Trust, Ser 2006-D, Cl 2A (D)
5.520%, 12/30/06 3,036 3,036
Countrywide Home Loans,
Ser 2004-22, Cl A1 (D)
5.090%, 12/01/06 660 659
Countrywide Home Loans,
Ser 2006-HYB1, Cl 1A1 (D)
5.398%, 12/20/06 1,125 1,126
Countrywide Home Loans,
Ser 2006-HYB2, Cl 1A1 (D)
5.152%, 12/20/06 1,984 1,979
Credit Suisse Asset-Backed
Mortgage Trust, Ser 2006-1,
Cl A1B (D)
5.540%, 12/26/06 929 930
DLSA Mortgage Loan Trust,
Ser 2006-AR1, Cl M4 (D)
6.060%, 12/19/06 221 222
DSLA Mortgage Loan Trust,
Ser 2004-AR4, Cl B1 (D)
5.920%, 12/19/06 345 348
DSLA Mortgage Loan Trust,
Ser 2006-AR1, Cl M5 (D)
6.130%, 12/19/06 140 141
DSLA Mortgage Loan Trust,
Ser 2006-AR1, Cl M7 (D)
7.070%, 12/19/06 140 141
Deustche Alternatives Securities
Mortgage Loan Trust,
Ser 2006-AB3, Cl A1 (D)
6.250%, 06/30/36 1,637 1,637
Duke Funding, Ser 2004-6B,
Cl A1S1 (C) (D) (F)
5.440%, 10/09/07 2,081 2,081
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 153
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund (Continued)
November 30, 2006
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)(1) ($ Thousands)
- -------------------------------------------------------------------------------
First Franklin Mortgage Loan
Asset, Ser 2004-FF10,
Cl A2 (D)
5.720%, 12/26/06 $ 270 $ 271
First Franklin Mortgage Loan
Asset, Ser 2005-FF4,
Cl 2A3 (D)
5.540%, 12/25/06 1,800 1,801
First Franklin Mortgage Loan
Asset, Ser 2005-FFH3,
Cl 2A1 (D)
5.450%, 12/26/06 120 120
First Horizon Alternative
Mortgage Trust, Ser 2006-AA6,
Cl 2A1 (D)
5.750%, 12/01/06 4,795 4,821
First Horizon Mortgage Pass-
Through Trust, Ser 2006-AR3,
Cl 1A1 (D)
5.915%, 12/01/06 982 985
GMAC Mortgage Loan Trust,
Ser 2006-HE1, Cl A (D)
5.530%, 12/25/06 4,900 4,901
GSAA Home Equity NIM Trust,
Ser 2006-2, Cl 2A1 (D)
5.420%, 12/27/06 4,279 4,279
GSAA Home Equity NIM Trust,
Ser 2006-3N, Cl N1 (F)
5.750%, 03/25/36 51 51
GSAA Home Equity NIM Trust,
Ser 2006-HE3N, Cl N1 (F)
5.500%, 05/25/36 91 91
Greenpoint Mortgage Funding
Trust, Ser 2006-AR1, Cl M3 (D)
5.890%, 12/27/06 300 301
HSI Asset Securitization Trust,
Ser 2005-NC2, Cl M2A1 (D)
5.450%, 12/25/06 608 608
Home Equity Asset NIM Trust,
Ser 2003-4, Cl M2 (D)
7.220%, 12/25/06 355 356
Home Equity Asset NIM Trust,
Ser 2006-1N, Cl A (F)
6.500%, 05/27/36 99 98
Impac NIM Trust, Ser 2006-1,
Cl N (F)
6.000%, 03/25/36 87 87
Indymac Mortgage Loan Trust,
Ser 2004-AR11, Cl 4A1 (D)
5.857%, 12/01/06 1,896 1,896
Indymac Mortgage Loan Trust,
Ser 2004-AR6, Cl 1A (D)
5.469%, 12/01/06 272 279
Lehman Mortgage Trust, Ser 2006-4,
Cl 4A1
6.000%, 08/25/21 3,425 3,476
Lehman XS Trust, Ser 2005-5N,
Cl M4 (D)
7.070%, 12/31/06 525 510
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)(1) ($ Thousands)
- -------------------------------------------------------------------------------
Lehman XS Trust, Ser 2005-7N,
Cl M51 (D)
6.570%, 12/25/35 $ 120 $ 122
Lehman XS Trust, Ser 2005-7N,
Cl M71 (D)
7.070%, 12/27/06 300 289
Lehman XS Trust, Ser 2005-9N,
Cl M4 (D)
6.720%, 12/30/06 170 174
Master Adjustable Rate Mortgages,
Ser 2004-6, Cl 2A1 (D)
3.859%, 07/25/34 3,782 3,754
Master Asset Backed Securities
Trust, Ser 2002-OPT1, Cl M1 (D)
6.470%, 12/27/06 108 108
Master Asset Backed Securities
Trust, Ser 2006-AB1, Cl A1 (D)
5.460%, 12/27/06 3,392 3,392
Merrill Lynch Mortgage Investors
Trust, Ser 2003-HE1, Cl M2 (D)
6.970%, 12/25/06 150 150
Merrill Lynch Mortgage Investors
Trust, Ser 2005-HE2, Cl A2A (D)
5.430%, 12/27/06 407 407
Merrill Lynch Mortgage Trust,
Ser 2006-1, Cl 1A1 (D)
5.350%, 02/25/36 2,091 2,073
Morgan Stanley, Ser 2003-NC10,
Cl M1 (D)
6.000%, 12/27/06 573 575
New Century Home Equity Loan
Trust, Ser 2004-A, Cl AII3 (D)
4.450%, 12/01/06 959 953
New Century Home Equity Loan
Trust, Ser 2005-A, Cl A2 (G)
4.461%, 12/25/06 2,259 2,240
New Century Home Equity Loan
Trust, Ser 2005-B, Cl A2A (D)
5.440%, 12/25/06 903 903
Newcastle CDO Limited,
Ser 2005-6A, Cl IM1
(C) (D) (F)
5.340%, 04/24/07 555 555
Nomura Asset Acceptance,
Ser 2004-R1, Cl A1 (F)
6.500%, 03/25/34 404 414
Nomura Asset Acceptance,
Ser 2004-R2, Cl A1 (D) (F)
6.500%, 10/25/34 480 491
Option One Mortgage Loan Trust,
Ser 2003-5, Cl M1 (D)
5.970%, 12/23/06 400 401
Option One Mortgage Loan Trust,
Ser 2006-1, Cl M10 (D) (F)
7.820%, 12/27/06 60 52
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 154
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)(1) ($ Thousands)
- -------------------------------------------------------------------------------
Option One Mortgage Loan Trust,
Ser 2006-1, Cl M11 (D) (F)
7.820%, 12/27/06 $ 140 $ 133
Ownit Mortgage Loan, Ser 2006-1,
Cl AF1 (G)
5.424%, 12/25/36 1,248 1,242
Park Place Securities NIM Trust,
Ser 2004-MM1, Cl AM6 (C) (D)
5.350%, 02/26/07 825 824
Renaissance Home Equity Loan
Trust, Ser 2004-2, Cl AF3 (G)
4.464%, 07/25/34 997 993
Residential Accredit Loans,
Ser 2005-Q05, Cl M3 (D)
6.120%, 12/25/06 399 405
Residential Accredit Loans,
Ser 2005-QA3, Cl NB2 (D)
5.267%, 12/25/06 1,764 1,771
Residential Accredit Loans,
Ser 2006-Q01, Cl 2A3 (D)
5.720%, 12/27/06 486 487
Residential Asset Mortgage
Products, Ser 2003-RS11,
Cl MII1 (D)
6.050%, 12/25/06 124 124
Residential Asset Mortgage
Products, Ser 2006-RZ1,
Cl A1 (D)
5.400%, 12/27/06 5,022 5,023
Residential Asset Securities,
Ser 2005-KS11, Cl AI1 (D)
5.400%, 12/27/06 1,449 1,449
Residential Asset Securities,
Ser 2006-EMX2, Cl A1 (D)
5.400%, 12/27/06 1,882 1,882
Residential Asset Securities,
Ser 2006-KS2, Cl A1 (D)
5.390%, 12/27/06 3,122 3,122
Residential Asset Securitization
Trust, Ser 2004-IP2,
Cl 3A1 (D)
5.274%, 12/25/06 1,769 1,777
Resmae Mortgage Loan Trust,
Ser 2006-1, Cl A2A (D) (F)
5.420%, 12/25/06 1,569 1,569
Resmae Mortgage Loan Trust,
Ser 2006-1, Cl A2B (D) (F)
5.470%, 12/25/06 1,400 1,400
SB Finance NIM Trust,
Ser 2006-KS4N, Cl N1 (F)
7.500%, 06/25/36 106 106
Saturn Ventures II (C) (D)
5.380%, 02/07/07 2,235 2,235
Sharps SP I LLC NIM Trust,
Ser 2005-HE3N, Cl N (F)
5.000%, 05/25/35 210 210
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)(1) ($ Thousands)
- -------------------------------------------------------------------------------
Structured Adjustable Rate
Mortgage Loan, Ser 2005-16 XS,
Cl M2 (D)
6.220%, 12/25/06 $ 200 $ 201
Structured Asset Investment Loan
Trust, Ser 2005-1,
Cl A4 (D) (F)
5.550%, 12/25/06 826 827
Structured Asset Investment Loan
Trust, Ser 2005-8, Cl A2 (D)
5.450%, 12/25/06 427 427
Structured Asset Securities,
Ser 2005-NC1, Cl A2 (G)
3.920%, 02/25/35 154 153
Structured Asset Securities,
Ser 2005-WF1, Cl A2 (D)
5.520%, 12/25/06 736 737
TIAA Real Estate, Ser 2003-1A,
Cl A1 (C) (D) (F)
5.350%, 09/28/07 2,064 2,064
Terwin Mortgage Trust,
Ser 2006-5, Cl 1A2A (D) (F)
5.410%, 12/26/06 4,293 4,293
Terwin Mortgage Trust,
Ser 2006-6, Cl 2A1 (D)
4.500%, 06/25/36 733 727
Wells Fargo Home Equity Trust,
Ser 2004-2, Cl A12 (D)
3.450%, 06/25/19 650 646
Wells Fargo Mortgage Backed
Securities Trust, Ser 2004-I,
Cl B1 (D)
3.365%, 12/01/06 261 261
----------
Total Asset-Backed Securities
(Cost $113,708) ($ Thousands) 113,984
----------
CORPORATE OBLIGATIONS -- 5.3%
CONSUMER DISCRETIONARY -- 0.1%
Comcast
5.300%, 01/15/14 530 525
Cox Communications
4.625%, 06/01/13 425 405
Omnicon Group
5.900%, 04/15/16 235 241
Time Warner
6.875%, 05/01/12 425 454
----------
1,625
----------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 155
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund (Continued)
November 30, 2006
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)(1) ($ Thousands)
- -------------------------------------------------------------------------------
ENERGY -- 0.1%
Andarko Petroleum
5.950%, 09/15/16 $ -- $ --
Dominion Resources
4.750%, 12/15/10 285 281
Exelon Generation
6.950%, 06/15/11 425 452
Kinder Morgan Energy Partners
5.000%, 12/15/13 425 409
----------
1,142
----------
FINANCIALS -- 5.1%
Aetna
5.750%, 06/15/11 425 435
Allstate Life Global Funding II
MTN (C) (D) (F)
5.360%, 12/17/07 1,277 1,277
American General Finance
(C) (D) (F)
5.350%, 12/17/07 4,024 4,024
Bear Stearns EXL (C) (D)
5.360%, 12/17/07 4,940 4,940
Cit Group
5.000%, 02/13/14 565 553
Countrywide Financial MTN,
Ser A (C) (D)
5.448%, 10/31/07 5,828 5,828
Credit Suisse First Boston USA
6.500%, 01/15/12 285 303
Dekabank (C) (D) (F)
5.394%, 11/20/07 5,134 5,134
Genworth Financial
5.750%, 06/15/14 425 440
Glitnir Bank (C) (D) (F)
5.370%, 04/06/07 6,522 6,522
Goldman Sachs
5.500%, 11/15/14 845 856
HSBC Finance
6.375%, 10/15/11 425 448
Irish Life & Permanent MTN,
Ser X (C) (D) (F)
5.360%, 12/21/07 3,691 3,691
Istar Financial+
5.875%, 03/15/16 285 287
JPMorgan Chase
5.125%, 09/15/14 425 422
Jackson National Life Funding
(C) (D) (F)
5.320%, 12/03/07 6,106 6,106
Kaupthing Bank MTN (C) (D) (F)
5.380%, 03/20/07 6,938 6,938
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)(1) ($ Thousands)
- -------------------------------------------------------------------------------
Landsbanki Islands (C) (D) (F)
5.400%, 03/16/07 $ 5,273 $ 5,273
Lehman Brothers Holdings
5.500%, 04/04/16 425 430
Merrill Lynch
6.050%, 05/16/16 425 446
Morgan Stanley
4.750%, 04/01/14 425 411
Morgan Stanley EXL (C) (D)
5.380%, 01/04/08 971 971
Morgan Stanley EXL, Ser S
(C) (D)
5.340%, 12/05/07 1,388 1,388
Natexis Banques (C) (D) (F)
5.300%, 12/17/07 2,706 2,706
Nationwide Building Society
(C) (D) (F)
5.424%, 10/26/07 1,526 1,526
5.350%, 12/07/07 2,775 2,775
Nordbank (C) (D) (F)
5.350%, 12/24/07 4,718 4,718
Northern Rock (C) (D) (F)
5.360%, 12/03/07 2,858 2,858
Pacific Life Global Funding
(C) (D) (F)
5.370%, 12/13/07 2,081 2,081
Premium Asset Trust, Ser 2004-10
(C) (D) (F)
5.360%, 12/17/07 3,885 3,885
Residential Capital
6.875%, 06/30/15 75 80
6.500%, 04/17/13 1,115 1,157
6.000%, 02/22/11 200 203
SLM EXL, Ser S (C) (D) (F)
5.320%, 12/17/07 3,053 3,053
Shinsei Finance Cayman (D) (F)
6.418%, 01/29/49 490 498
Simon Property Group
5.750%, 12/01/15 285 295
5.600%, 09/01/11 240 244
Skandinav Enskilda Bank
(C) (D) (F)
5.320%, 12/18/07 3,053 3,053
Stanfield Victoria MTN (C)
5.445%, 06/11/07 2,775 2,775
Wachovia
5.300%, 10/15/11 745 753
4.875%, 02/15/14 285 279
Washington Mutual Preferred
Funding (D) (F)
6.534%, 03/15/49 500 496
----------
90,558
----------
- --------------------------------------------------------------------------------
156 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)(1) ($ Thousands)
- -------------------------------------------------------------------------------
HEALTH CARE -- 0.0%
Teva Pharmaceutical
5.550%, 02/01/16 $ 425 $ 424
Wellpoint
6.800%, 08/01/12 285 306
----------
730
----------
INDUSTRIALS -- 0.0%
Lafarge
6.150%, 07/15/11 255 263
----------
TELECOMMUNICATION SERVICES -- 0.0%
Embarq
6.738%, 06/01/13 210 218
----------
Total Corporate Obligations
(Cost $94,055) ($ Thousands) 94,536
----------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS -- 5.2%
FHLMC ARM (I)
5.572%, 10/01/35 693 693
FNMA ARM (I)
5.524%, 01/01/36 736 739
FNMA 15 Year TBA
6.000%, 12/01/18 23,000 23,410
5.500%, 12/01/20 - 07/01/21 24,142 24,260
5.000%, 12/01/18 - 07/01/21 31,000 30,670
FNMA 30 Year TBA
6.500%, 01/01/32 4,000 4,080
GNMA ARM
5.625%, 02/20/34 866 867
5.500%, 12/30/06 - 05/20/34 1,606 1,616
5.250%, 08/20/34 262 262
4.500%, 07/20/35 - 06/20/36 1,368 1,372
4.500%, 03/20/36 (I) 572 572
4.000%, 06/20/35 - 02/20/36
(I) 1,175 1,174
3.750%, 12/20/33 2,406 2,367
----------
Total U.S. Government Agency Mortgage-Backed
Obligations
(Cost $91,595) ($ Thousands) 92,082
----------
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)(1)/Shares ($ Thousands)
- -------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS (E) -- 1.1%
U.S. Treasury Bills (A)
5.033%, 12/28/06 $ 2,900 $ 2,889
4.948%, 12/21/06 550 548
4.942%, 02/22/07 2,698 2,668
4.919%, 01/18/07 3,850 3,825
4.770%, 12/14/06 100 100
U.S. Treasury Inflationary
Index Notes
3.875%, 04/15/29 135 177
2.375%, 04/15/11 10,095 10,151
----------
Total U.S. Treasury Obligations
(Cost $20,303) ($ Thousands) 20,358
----------
COMMERCIAL PAPER (C)(E)-- 1.0%
FINANCIALS -- 1.0%
Broadhollow Funding
5.305%, 12/07/06 1,554 1,553
KKR Pacific Funding Trust
5.345%, 12/27/06 2,775 2,765
5.305%, 01/02/07 1,388 1,381
Ocala Funding LLC
5.320%, 12/18/06 1,388 1,384
5.320%, 01/26/07 1,388 1,376
Rhineland Funding Capital
5.385%, 01/25/07 1,748 1,734
5.364%, 12/27/06 1,388 1,382
5.364%, 02/13/07 1,374 1,359
5.313%, 12/12/06 914 912
Witherspoon CDO Funding
5.330%, 03/15/07 2,395 2,395
Witherspoon CDO Funding Limited
5.329%, 12/15/06 1,388 1,385
----------
Total Commercial Paper
(Cost $17,626) ($ Thousands) 17,626
----------
CASH EQUIVALENT -- 0.8%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.300% ** 14,248,370 14,248
----------
Total Cash Equivalent
(Cost $14,248) ($ Thousands) 14,248
----------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 157
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund (Continued)
November 30, 2006
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)(1)/Shares ($ Thousands)
- -------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.7%
FHLMC CMO STRIPS, Ser 232,
Cl IO, IO
5.000%, 08/01/35 $ 2,811 $ 633
FHLMC CMO STRIPS, Ser 233,
Cl 12, IO
5.000%, 09/15/35 1,519 367
FHLMC DN (H)
5.213%, 02/06/07 5,300 5,249
5.204%, 04/17/07 75 74
5.180%, 03/30/07 150 147
FNMA CMO STRIPS, Ser 2006-10,
Cl FD (D)
5.670%, 12/25/06 1,900 1,902
FNMA CMO STRIPS, Ser 359,
Cl 6, IO
5.000%, 11/01/35 548 121
FNMA CMO STRIPS, Ser 360,
Cl 2, IO
5.000%, 08/01/35 8,772 1,976
FNMA (H)
6.030%, 02/02/95 400 396
5.394%, 12/06/06 100 100
5.235%, 07/02/07 175 170
5.205%, 03/30/07 350 344
5.160%, 02/07/07 650 644
4.680%, 06/01/99 25 24
Total U.S. Government Agency Obligations
(Cost $12,304) ($ Thousands) 12,147
----------
EQUITY LINKED WARRANTS -- 0.4%
TAIWAN -- 0.3%
HON HAI Precision Industry* 696,360 5,065
----------
THAILAND -- 0.1%
High Tech Computer* 113,444 2,621
----------
Total Equity Linked Warrants
(Cost $4,601) ($ Thousands) 7,686
----------
MASTER NOTE (C) (E) -- 0.4%
Bank of America
5.383%, 12/01/45 6,938 6,938
----------
Total Master Note
(Cost $6,938) ($ Thousands) 6,938
----------
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)(1)/Shares ($ Thousands)
- -------------------------------------------------------------------------------
PREFERRED STOCK -- 0.3%
BRAZIL -- 0.1%
Petroleo Brasileiro 78,200 $ 1,653
Usinas Siderurgicas de Minas
Gerais, Cl A 29,000 978
----------
2,631
----------
GERMANY -- 0.2%
Porsche 288 335
ProSiebenSat.1 Media 73,500 2,220
Volkswagen 3,380 235
----------
2,790
----------
UNITED KINGDOM -- 0.0%
Scottish Power, Cl B 1 --
----------
Total Preferred Stock
(Cost $3,421) ($ Thousands) 5,421
----------
CERTIFICATES OF DEPOSIT (C) -- 0.3%
Barclays Bank (D)
5.330%, 06/11/07 $ 1,388 1,388
CC USA MTN (F)
5.379%, 06/18/07 2,775 2,775
US Trust Company New York (D)
5.316%, 03/13/07 1,110 1,110
----------
Total Certificates of Deposit
(Cost $5,273) ($ Thousands) 5,273
----------
EXCHANGE TRADED FUND -- 0.0%
UNITED STATES -- 0.0%
iShares MSCI EAFE Index Fund* 3,300 239
----------
Total Exchange Traded Fund
(Cost $237) ($ Thousands) 239
----------
Number
of Rights
---------
RIGHTS -- 0.0%
FRANCE -- 0.0%
Arkema, Expires 06/29/06* -- --
Scor, Expires 11/29/06 (B) 911 109
----------
109
----------
HONG KONG -- 0.0%
Kingboard Laminate Entitlement,
Expires 12/07/06 4 --
Total Rights
(Cost $0) ($ Thousands) 109
----------
- --------------------------------------------------------------------------------
158 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- -------------------------------------------------------------------------------
Contracts/ Market Value
Description Face Amount ($ Thousands)(1) ($ Thousands)
- -------------------------------------------------------------------------------
PURCHASED OPTION -- 0.0%
120 Day Euro Futures Call,
Expires 12/16/06,
Strike Price $95 90 $ 79
----------
Total Purchased Option
(Cost $70) ($ Thousands) 79
----------
REPURCHASE AGREEMENTS (C) (J) -- 1.8%
ABN Amro
5.300%, dated 11/30/06, to be
repurchased on 12/01/06,
repurchase price $11,102,754
(collateralized by
U.S. Government Obligations,
ranging in par value $138,764-
$4,162,920, 0.000%-6.000%,
03/01/07-07/01/36, total market
value $11,323,142) $11,101 11,101
Barclays Capital
5.300%, dated 11/30/06, to be
repurchased on 12/01/06,
repurchase price $2,362,721
(collateralized by
U.S. Government Obligations,
ranging in par value $51,759-
$736,004, 2.750%-5.700%,
12/15/06-05/27/15, total market
value $2,409,659) 2,362 2,362
Deutsche Bank
5.300%, dated 11/30/06, to be
repurchased on 12/01/06,
repurchase price $944,900
(collateralized by
U.S. Government Obligations,
ranging in par value $263,374-
$714,357, 0.000%-5.800%,
05/01/07-01/27/20, total market
value $963,723) 945 945
Lehman Brothers
5.300%, dated 11/30/06, to be
repurchased on 12/01/06,
repurchase price $17,193,197
(collateralized by
U.S. Government Obligations,
ranging in par value $4,585,000-
$772,981,000, 3.085%-6.300%,
12/15/06-05/27/15, total market
value $17,534,582) 17,191 17,191
----------
Total Repurchase Agreements
(Cost $31,599) ($ Thousands) 31,599
----------
Total Investments -- 112.8%
(Cost $1,692,953) ($ Thousands) $2,007,620
==========
- -------------------------------------------------------------------------------
Market Value
Description Contracts ($ Thousands)
- -------------------------------------------------------------------------------
WRITTEN OPTION -- 0.0%
120 Day Euro Futures Call,
Expires 12/15/06,
Strike Price $95 (90) $ (96)
----------
Total Written Option
(Premium Received $(63)) ($ Thousands) $ (96)
----------
A summary of the open futures contracts held by the Fund at November 30, 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$ (58) Mar-2007 $ (2)
90-Day Euro$ (58) Mar-2008 (64)
90-Day Euro$ (44) Mar-2009 (62)
90-Day Euro$ (43) Mar-2010 (60)
90-Day Euro$ (34) Mar-2011 (57)
90-Day Euro$ (80) Jun-2007 (45)
90-Day Euro$ (53) Jun-2008 (60)
90-Day Euro$ (44) Jun-2009 (61)
90-Day Euro$ (47) Jun-2010 (67)
90-Day Euro$ 2 Jun-2011 2
90-Day Euro$ (58) Sep-2007 (40)
90-Day Euro$ (55) Sep-2008 (67)
90-Day Euro$ (44) Sep-2009 (62)
90-Day Euro$ (47) Sep-2010 (67)
90-Day Euro$ 4 Sep-2011 3
90-Day Euro$ (36) Dec-2006 12
90-Day Euro$ (58) Dec-2007 (54)
90-Day Euro$ (44) Dec-2008 (63)
90-Day Euro$ (44) Dec-2009 (61)
90-Day Euro$ (42) Dec-2010 (65)
Amsterdam Exchange Index 52 Dec-2006 (260)
CAC40 10 Euro 184 Dec-2006 (408)
DAX Index 54 Dec-2006 662
DJ Euro Stoxx 50 Index 227 Dec-2006 367
Euro-Bund (24) Dec-2006 (37)
FTSE 100 Index 338 Dec-2006 824
Hang Seng Index 25 Dec-2006 17
Ibex 35 Index 30 Dec-2006 (127)
MSCI Singapore Index 28 Dec-2006 13
Nikkei 225 Index 7 Dec-2006 --
OMX Index 414 Dec-2006 (261)
S&P/MIB Index 27 Dec-2006 325
SPI 200 Index 93 Dec-2006 760
Topix Index 263 Dec-2006 (739)
U.S. 10-Year Note (4) Mar-2007 (2)
U.S. 5-Year Note 27 Dec-2006 5
U.S. 5-Year Note (130) Mar-2007 (50)
U.S. Long Treasury Bond (10) Dec-2006 (8)
-----
$ 141
=====
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 159
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund (Continued)
November 30, 2006
A summary of the outstanding forward foreign currency contracts held by the Fund
at November 30, 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)
- --------------------------------------------------------------------------------
12/20/06 USD 40,197 EUR 31,039 $ 977
12/20/06 USD 2,009 HKD 15,631 1
12/20/06 USD 186 NZD 277 4
12/20/06 USD 3,069 SEK 21,486 76
12/20/06 USD 1,083 SGD 1,681 9
12/20/06-12/21/06 USD 48,457 AUD 63,167 1,379
12/20/06-12/21/06 USD 6,613 DKK 38,479 235
12/20/06-12/21/06 USD 51,756 GBP 27,214 1,777
12/20/06-12/21/06 USD 7,187 NOK 46,318 341
12/20/06-4/24/07 USD 67,220 CHF 82,991 2,407
12/20/06-4/24/07 USD 84,193 JPY 9,753,980 772
12/21/06 CAD 39,455 USD 34,516 (57)
12/21/06 EUR 5,299 USD 6,785 (244)
12/21/06 HKD 41,001 USD 5,272 (3)
12/21/06 MXP 109,846 USD 10,064 83
12/21/06 ZAR 39,632 USD 5,433 (82)
12/21/06-2/21/07 GBP 6,384 JPY 1,406,000 (337)
12/21/06-4/24/07 CHF 40,000 GBP 17,129 84
12/21/06-4/24/07 CHF 44,900 USD 36,350 (1,425)
12/21/06-4/24/07 GBP 10,804 CHF 25,100 (130)
12/21/06-4/24/07 JPY 5,674,000 USD 49,077 (545)
12/21/06-5/22/07 JPY 3,764,000 GBP 17,195 883
12/21/06-5/22/07 JPY 5,680,000 NZD 75,142 1,274
12/21/06-5/22/07 NZD 49,988 JPY 3,788,000 (757)
-------
$ 6,722
=======
A summary of outstanding swap agreements held by the Fund at November 30, 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 IG 10YR Index plus 22.5
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.
(Counter Party: Bank of America) 05/01/07 $ 50,000 $ (5)
Fund receives payment on the monthly
reset spread from Banc of America
-- CMBS AAA 10YR Index plus 10
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.
(Counter Party: Bank of America) 02/01/07 250,000 (31)
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.
(Counter Party: Bank of America) 03/01/07 160,000 (22)
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.
(Counter Party: JPMorgan Chase) 03/31/07 120,000 (15)
Fund receives payment on the monthly
reset spread from Lehman Brothers
-- 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.
(Counter Party: Wachovia Bank) 02/28/07 130,000 (15)
- --------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
Fund receives payment on the monthly
reset spread from Swiss Market
Index -- TRS 3M CHF Libor 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.
(Counter Party: JPMorgan Chase) 01/12/07 $ 8,400 $(156)
-----
$(244)
=====
- --------------------------------------------------------------------------------
CREDIT DEFAULT SWAPS
- --------------------------------------------------------------------------------
Fund receives 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.
(Counter Party: JPMorgan Chase) 07/25/45 $ 12,500 $ (1)
The Fund pays quarterly payment of
0.0875% (0.350% per annum) times
notional amount of, Alcan Inc
4.875%, 09/15/12. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: Bank of America) 12/20/13 750 --
The Fund pays quarterly payment of
0.1375% (0.550% per annum) times
notional amount of, Black & Decker
Corp 7.125%, 06/01/11. Upon a
defined credit event, the fund
will receive the notional amount
and deliver the defined
obligation.
(Counter Party: Bank of America) 12/20/11 750 --
The Fund pays quarterly payment of
0.1113% (0.445% per annum) times
notional amount of, Darden
Restaurants Inc. 7.125%, 02/01/16.
Upon a defined credit event, the
fund will receive the notional
amount and deliver the defined
obligation.
(Counter Party: Bank of America) 12/20/11 750 (1)
The Fund pays quarterly payment of
0.1063% (0.425% per annum) times
notional amount of, Eastman
Chemical Co. 7.600%, 02/01/27.
Upon a defined credit event, the
fund will receive the notional
amount and deliver the defined
obligation.
(Counter Party: Bank of America) 12/20/11 750 (1)
The Fund pays quarterly payment of
0.2950% (1.180% per annum) times
notional amount of, Gap Inc.
9.000%, 12/15/08. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: Bank of America) 12/20/11 750 1
The Fund pays quarterly payment of
0.0975% (0.390% per annum) times
notional amount of, Johnson
Controls Inc. 7.125%, 07/15/17.
Upon a defined credit event, the
fund will receive the notional
amount and deliver the defined
obligation.
(Counter Party: Bank of America) 12/20/13 750 (2)
The Fund pays quarterly payment of
0.1188% (0.475% per annum) times
notional amount of, Ltd. Brands
Inc. 6.125%, 12/01/12. Upon a
defined credit event, the fund
will receive the notional amount
and deliver the defined
obligation.
(Counter Party: Bank of America) 12/20/11 750 --
The Fund pays quarterly payment of
0.1825% (0.730% per annum) times
notional amount of, Masco Corp.
5.875%, 07/15/12. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: Bank of America) 12/20/13 750 (1)
The Fund pays quarterly payment of
0.0875% (0.350% per annum) times
notional amount of, MGIC
Investment Corp. 6.000%, 03/15/07.
Upon a defined credit event, the
fund will receive the notional
amount and deliver the defined
obligation.
(Counter Party: Bank of America) 12/20/13 750 (1)
The Fund pays quarterly payment of
0.1188% (0.475% per annum) times
notional amount of, MeadWestvaco
6.850%, 04/01/12. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: Bank of America) 12/20/11 750 1
- --------------------------------------------------------------------------------
160 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
The Fund pays quarterly payment of
0.0550% (0.220% per annum) times
notional amount of, Nucor Corp.
4.875%, 10/01/12. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: Bank of America) 12/20/11 $ 750 $ (1)
The Fund pays quarterly payment of
0.0875% (0.350% per annum) times
notional amount of, PMI Group Inc.
6.000%, 09/15/16. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: Bank of America) 12/20/13 750 (1)
The Fund pays quarterly payment of
0.0875% (0.350% per annum) times
notional amount of, Radian Group
Inc. 7.750%, 06/01/11. Upon a
defined credit event, the fund
will receive the notional amount
and deliver the defined
obligation.
(Counter Party: Bank of America) 12/20/13 750 (1)
The Fund pays quarterly payment of
0.0475% (0.190% per annum) times
notional amount of, TJX Cos Inc
7.450%, 12/15/09. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: Bank of America) 12/20/11 750 (1)
The Fund pays quarterly payment of
0.1125% (0.450% per annum) times
notional amount of, Wayerhaeuser
Co. 6.750%, 03/15/12. Upon a
defined credit event, the fund
will receive the notional amount
and deliver the defined
obligation.
(Counter Party: Bank of America) 12/20/11 750 1
The Fund pays quarterly payment of
0.0850% (0.340% per annum) times
notional amount of, Agrium Inc.
8.250%, 02/15/11. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: JPMorgan Chase) 12/20/11 750 --
The Fund pays quarterly payment of
0.1150% (0.460% per annum) times
notional amount of, Autotzone Inc
5.875%, 10/15/12. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: JPMorgan Chase) 12/20/11 750 --
The Fund pays quarterly payment of
0.1375% (0.550% per annum) times
notional amount of, Black & Decker
Corp. 7.125%, 06/01/11. Upon a
defined credit event, the fund
will receive the notional amount
and deliver the defined
obligation.
(Counter Party: JPMorgan Chase) 12/20/11 750 (1)
The Fund pays quarterly payment of
0.0650% (0.260% per annum) times
notional amount of, Dow Chemical
Co. 6.000%, 10/01/12. Upon a
defined credit event, the fund
will receive the notional amount
and deliver the defined
obligation.
(Counter Party: JPMorgan Chase) 12/20/13 750 (2)
The Fund pays quarterly payment of
0.2950% (1.180% per annum) times
notional amount of, Gap Inc. The
9.800%, 12/15/08. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: JPMorgan Chase) 12/20/11 750 1
The Fund pays quarterly payment of
0.0975% (0.390% per annum) times
notional amount of, Hasbro Inc
2.750%, 12/01/21. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: JPMorgan Chase) 12/20/11 750 (1)
The Fund pays quarterly payment of
0.1925% (0.770% per annum) times
notional amount of, Jones Apparel
Group Inc. 5.125%, 11/15/14. Upon
a defined credit event, the fund
will receive the notional amount
and deliver the defined
obligation.
(Counter Party: JPMorgan Chase) 12/20/11 750 (1)
The Fund pays quarterly payment of
0.0700% (0.280% per annum) times
notional amount of, Nordstrom Inc
6.950%, 03/15/28. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: JPMorgan Chase) 12/20/13 750 --
- --------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
The Fund pays quarterly payment of
0.0675% (0.270% per annum) times
notional amount of, Southwest
Airlines Co. 6.500%, 03/01/12.
Upon a defined credit event, the
fund will receive the notional
amount and deliver the defined
obligation.
(Counter Party: JPMorgan Chase) 12/20/11 $ 750 $ 1
The Fund pays quarterly payment of
0.1125% (0.450% per annum) times
notional amount of, Lubrizol Corp.
7.250%, 06/15/25. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: JPMorgan Chase) 12/20/11 750 (1)
The Fund pays quarterly payment of
0.0875% (0.350% per annum) times
notional amount of, MGIC
Investment Corp. 6.000%, 03/15/07.
Upon a defined credit event, the
fund will receive the notional
amount and deliver the defined
obligation.
(Counter Party: JPMorgan Chase) 12/20/13 750 (1)
The Fund pays quarterly payment of
0.0550% (0.220% per annum) times
notional amount of, Nucor Corp.
4.875%, 10/01/12. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: JPMorgan Chase) 12/20/11 750 (1)
The Fund pays quarterly payment of
0.0875% (0.350% per annum) times
notional amount of, PMI Group Inc.
6.000%, 09/15/16. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: JPMorgan Chase) 12/20/13 750 (1)
The Fund pays quarterly payment of
0.0500% (0.200% per annum) times
notional amount of, PPG Industries
Inc 7.050%, 08/15/09. Upon a
defined credit event, the fund
will receive the notional amount
and deliver the defined
obligation.
(Counter Party: JPMorgan Chase) 12/20/11 750 (1)
The Fund pays quarterly payment of
0.0975% (0.390% per annum) times
notional amount of, Radian Group
Inc 7.750%, 06/01/11. Upon a
defined credit event, the fund
will receive the notional amount
and deliver the defined
obligation.
(Counter Party: JPMorgan Chase) 12/20/13 750 (1)
The Fund pays quarterly payment of
0.0845% (0.340% per annum) times
notional amount of, Whirlpool
Corp. 7.750%, 07/15/16. Upon a
defined credit event, the fund
will receive the notional amount
and deliver the defined
obligation.
(Counter Party: JPMorgan Chase) 12/20/11 750 --
The Fund pays quarterly payment of
0.0700% (0.280% per annum) times
notional amount of, Nordstrom Inc.
6.950%, 03/15/28. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: Merrill Lynch) 12/20/13 750 --
The Fund pays quarterly payment of
0.0325% (0.130% per annum) times
notional amount of, Lowe's Cos
Inc. 8.250%, 06/01/10. Upon a
defined credit event, the fund
will receive the notional amount
and deliver the defined
obligation.
(Counter Party: Merrill Lynch) 12/20/11 750 1
The Fund pays quarterly payment of
0.0675% (0.270% per annum) times
notional amount of, Southwest
Airlines Co. 6.500%, 03/01/12.
Upon a defined credit event, the
fund will receive the notional
amount and deliver the defined
obligation.
(Counter Party: Merrill Lynch) 12/20/11 750 1
The Fund pays quarterly payment of
0.1125% (0.450% per annum) times
notional amount of, Lubrizol Corp.
7.250%, 06/15/25. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: Merrill Lynch) 12/20/11 750 (1)
The Fund pays quarterly payment of
0.2250% (0.900% per annum) times
notional amount of, MDZ Holdings
Inc 5.500%, 05/15/13. Upon a
defined credit event, the fund
will receive the notional amount
and deliver the defined
obligation.
(Counter Party: Merrill Lynch) 12/20/11 750 (1)
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 161
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund (Concluded)
November 30, 2006
- --------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
The Fund pays quarterly payment of
0.1725% (0.690% per annum) times
notional amount of, RR Donnelley &
Sons Co. 4.950%, 04/01/14. Upon a
defined credit event, the fund
will receive the notional amount
and deliver the defined
obligation.
(Counter Party: Merrill Lynch) 12/20/11 $ 750 $ --
The Fund receives quarterly payment
of 0.1000% (0.400% per annum)
times notional amount of,
CDX.NA.IG Series 7 index. Upon a
defined credit event, the fund
will receive the notional amount
and deliver the defined
obligation.
(Counter Party: Bank of America) 12/20/11 13,800 31
The Fund receives quarterly payment
of 0.1000% (0.400% per annum)
times notional amount of,
CDX.NA.IG Series 7 index. Upon a
defined credit event, the fund
will receive the notional amount
and deliver the defined
obligation.
(Counter Party: Merrill Lynch) 12/20/11 13,800 31
-----
$ 45
=====
Percentages are based on Net Assets of $1,780,087 ($ Thousands).
* Non-Income Producing Security
** Rate shown is the 7-day effective yield as of November 30, 2006.
+ Real Estate Investments Trust
(1) In U.S. dollars unless otherwise indicated.
(A) Security, or portion thereof, has been pledged as collateral on open futures
contracts.
(B) This security or a partial position of this security is on loan at November
30, 2006 (See Note 9). The total value of securities on loan at November 30,
2006 was $148,835 ($ Thousands).
(C) This security was purchased with cash collateral held from securities
lending (See Note 9). The total value of such securities as of November 30,
2006 was $151,994 ($ Thousands).
(D) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of November 30, 2006.
(E) The rate reported is the effective yield at time of purchase.
(F) 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.
(G) Step Bonds -- The rate reflected on the Schedule of Investments is the
effective yield on November 30, 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.
(J) Tri-Party Repurchase Agreement.
(K) Security, or a poriton of this security, has been pledged as collateral on
reverse repurchase agreements.
ADR -- American Depositary Receipt
ARM -- Adjustable Rate Mortgage
AUD -- Australian Dollar
CAD -- Canadian Dollar
CDO -- Collateralized Debt Obligation
CHF -- Swiss Franc
Cl -- Class
CMO -- Collateralized Mortgage Obligation
DKK -- Danish Krone
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
HKD -- Hong Kong Dollar
IO -- Interest Only
JPY -- Japanese Yen
LIBOR -- London InterBank Offering Rate
LLC -- Limited Liability Company
- --------------------------------------------------------------------------------
DESCRIPTION
- --------------------------------------------------------------------------------
MTN -- Medium Term Note
MXP -- Mexican Peso
NIM -- Net Interest Margin
NOK -- Norwegian Krone
NZD -- New Zealand Dollar
SDR -- Swedish Depositary Receipt
SEK -- Swedish Krona
Ser -- Series
SGD -- Singapore Dollar
STRIPS -- Separately Traded Registered Interest and Principal Securities
TBA -- To Be Announced
USD -- U.S. Dollar
ZAR -- South African Rand
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
162 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
World Equity Ex-US Fund
November 30, 2006
- --------------------------------------------------------------------------------
[Bar Chart Omitted]
Plot points as follows:
SECTOR WEIGHTINGS++:
25.3% Financials
8.7% Consumer Discretionary
8.2% Basic Materials
8.2% Industrials
6.8% Asset-Backed Securities
6.4% U.S. Government Agency Mortgage-Backed Securities
6.1% Energy
5.2% Telecommunication Services
5.0% Information Technology
4.4% Consumer Staples
3.9% Health Care
2.9% Utilities
2.7% Short-Term Investments
2.3% Exchange Traded Funds
1.3% Commercial Paper
0.9% U.S. Government Agency Obligations
0.8% U.S. Treasury Obligations
0.4% Equity-Linked Warrants
0.3% Master Note
0.2% Certificates of Deposit
++Percentages based on total investments. Includes investments
held as collateral for securities on loan (see Note 9).
- -------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------------------------
COMMON STOCK -- 82.2%
AUSTRALIA -- 2.3%
ABB Grain 15,600 $ 86
Amcor 100,043 588
AMP 317,700 2,380
Australia & New Zealand Banking
Group 88,500 1,988
Babcock & Brown (B) 20,379 399
BHP Billiton 63,291 1,310
BlueScope Steel 75,000 474
Brambles Industries (B) 10,314 105
Caltex Australia 11,500 201
Challenger Financial Services
Group (B) 153,730 481
Cochlear 5,079 226
Commonwealth Bank of Australia 43,330 1,622
ConnectEast Group 27,400 32
Foster's Group 117,367 620
Insurance Australia Group 145,209 663
IOOF Holdings 7,200 61
Lend Lease 25,341 350
Lion Nathan 14,000 89
Macquarie Airports (B) 772,250 2,164
Macquarie Bank 14,389 827
Macquarie Infrastructure Group 24,040 67
Mayne Pharma 86,400 281
Mirvac Group 71,656 300
National Australia Bank 76,637 2,370
OneSteel 38,820 135
Pacific Brands 105,586 222
PaperlinX 53,500 167
Port Bouvard 1,300 5
Promina Group 155,706 805
Qantas Airways 242,095 946
QBE Insurance Group 246,976 5,048
- -------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------------------------
Rinker Group 75,801 $ 1,116
Rio Tinto (B) 16,920 991
Santos 159,762 1,299
Specialty Fashion Group 21,900 28
St George Bank 800 21
Straits Resources 8,700 23
Suncorp-Metway (B) 21,627 349
Sunland Group 27,300 70
Sydney Roads Group* -- --
TABCORP Holdings 26,400 340
Telstra 244,040 726
Telstra (B) 51,000 84
Toll Holdings 35,600 473
Westpac Banking 24,098 464
Woolworths 127,929 2,222
Zinifex 142,500 1,916
----------
35,134
----------
AUSTRIA -- 0.3%
Boehler-Uddeholm 1,772 112
Erste Bank der Oesterreichischen
Sparkassen 6,590 480
OMV 22,400 1,203
Raiffeisen International Bank
Holding (B) 2,869 338
Voestalpine (B) 57,600 2,858
----------
4,991
----------
BELGIUM -- 0.8%
AGFA-Gevaert 7,000 166
Belgacom (B) 17,780 762
Compagnie Maritime Belge 2,461 97
D'ieteren 53 18
Delhaize Group 7,100 565
Dexia 43,966 1,201
Fortis 94,088 3,840
Fortis (Netherlands Line) 68,261 2,785
KBC Groep 4,200 473
Mobistar 2,764 233
Solvay (B) 6,963 992
UCB (B) 10,743 682
----------
11,814
----------
BERMUDA -- 0.0%
Frontline 11,500 410
----------
BRAZIL -- 1.1%
Cia Brasileira de Distribuicao
Grupo Pao de Acucar ADR 80,587 2,500
Cia de Saneamento Basico
do Estado de Sao Paulo 1,320,000 159
Cia Vale do Rio Doce ADR (B) 101,895 2,829
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 163
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund (Continued)
November 30, 2006
- -------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------------------------
Gerdau ADR 53,325 $ 840
Petroleo Brasileiro ADR 23,724 2,234
Santos-Brasil* 65,276 707
Tim Participacoes ADR 82,357 2,803
Uniao de Bancos Brasileiros ADR 33,930 2,873
Vivo Participacoes ADR (B) 525,996 2,051
----------
16,996
----------
CANADA -- 4.5%
Abitibi-Consolidated 23,200 54
Alcan 61,300 2,940
Algoma Steel* 9,000 275
Alimentation Couche Tard 37,438 829
Angiotech Pharmaceuticals* 9,110 80
ARC Energy Trust 14,387 291
Aspreva Pharmaceuticals* 3,000 60
Atco 5,600 229
AUR Resources 8,500 181
Bank of Montreal 14,800 886
Bank of Nova Scotia 35,300 1,606
Barrick Gold 30,547 959
Barrick Gold (USD) 18,900 594
Bombardier, Cl B* 121,500 404
CAE 11,500 105
Cameco 41,469 1,571
Canaccord Capital 4,200 61
Canadian Imperial Bank of Commerce 15,000 1,178
Canadian National Railway 28,500 1,338
Canadian Natural Resources 38,170 2,069
Canadian Pacific Railway 5,200 289
Canadian Tire, Cl A 6,200 394
Canadian Utilities 5,700 223
CanWest Global Communications* 14,190 129
Cascades 6,700 82
CCL Industries 2,800 71
Celestica* 50,700 460
CGI Group, Cl A* 29,900 207
Corus Entertainment 2,000 72
Dundee* 2,400 109
Eldorado Gold* 95,300 542
EnCana 44,000 2,287
Fairfax Financial Holdings 2,700 495
Finning International 18,000 704
Flint Energy Services* 1,700 91
George Weston 5,500 344
Husky Energy 33,400 2,292
Imperial Oil 5,200 195
Industrial Alliance Insurance
and Financial Servic 6,700 211
Inmet Mining 4,600 258
IPSCO 16,737 1,707
Kinross Gold* 257,650 3,235
- -------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------------------------
Linamar 7,100 $ 85
LionOre Mining International* 116,500 1,202
Manulife Financial 21,700 717
Methanex 23,400 579
Metro, Cl A 35,900 1,131
MI Developments, Cl A 4,700 171
National Bank of Canada 29,600 1,643
Nexen 29,421 1,611
Nortel Networks* 277,700 593
Onex 2,200 54
Open Text* 25,300 476
Petro-Canada 66,300 2,989
Potash Saskatchewan 14,000 1,973
QLT* 7,500 64
Research In Motion* 16,550 2,298
Rogers Communications, Cl B 94,175 5,770
Royal Bank of Canada 79,200 3,695
Shaw Communications, Cl B 23,600 732
Shoppers Drug Mart 25,200 1,094
Sobeys 5,500 189
Sun Life Financial 46,500 1,985
Suncor Energy 11,000 867
Talisman Energy 49,400 829
Teck Cominco, Cl B 90,200 6,797
TELUS 31,000 1,492
Thomson 3,900 166
Toronto-Dominion Bank 7,300 428
Transcontinental 7,500 147
Trican Well Service 7,617 152
----------
70,036
----------
CHILE -- 0.2%
Empresa Nacional de
Electricidad ADR (B) 73,000 2,532
----------
CHINA -- 1.0%
China Petroleum & Chemical,
Cl H 4,318,000 3,414
China Shipping Development 2,168,000 2,545
China Telecom 5,041,000 2,320
Foxconn International
Holdings (B)* 432,000 1,305
Industrial & Commercial
Bank of China 352,000 179
PetroChina 2,274,000 2,894
Tencent Holdings* 57,000 157
Yanzhou Coal Mining 2,750,000 1,955
----------
14,769
----------
COLOMBIA -- 0.1%
BanColombia ADR 52,051 1,565
----------
- --------------------------------------------------------------------------------
164 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- -------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------------------------
CZECH REPUBLIC -- 0.1%
Telefonica 02 GDR (B) 102,952 $ 2,296
----------
DENMARK -- 0.3%
AP Moller - Maersk 38 356
Carlsberg, Cl B 4,419 422
Danske Bank (B) 40,746 1,782
East Asiatic 4,925 289
Novo-Nordisk, Cl B 15,700 1,213
Sydbank 10,600 451
Topdanmark* 2,201 352
----------
4,865
----------
FINLAND -- 0.8%
Fortum 130,950 3,831
Kemira 13,600 287
Metso 2,400 111
Neste Oil 41,550 1,339
Nokia 113,168 2,279
OKO Bank, Cl A 14,400 232
Outokumpu 38,312 1,285
Sampo, Cl A 68,400 1,729
Stora Enso, Cl R 50,400 786
UPM-Kymmene (B) 45,700 1,139
----------
13,018
----------
FRANCE -- 8.3%
Accor 7,275 529
Air France-KLM 77,158 3,082
Air Liquide 2,933 664
Alstom* 13,700 1,594
Arkema* 629 31
Assurances Generales de France 34,210 5,074
AXA 103,577 3,927
BNP Paribas 101,214 10,914
Bouygues (B) 47,037 2,795
Capgemini 90,150 5,499
Carrefour 6,900 432
Casino Guichard Perrachon 21,836 1,994
Christian Dior 7,500 789
Cie de Saint-Gobain 50,092 4,001
Cie Generale d'Optique
EssilorInternational 3,640 391
Club Mediterranee* 4,100 233
CNP Assurances 17,776 1,863
Compagnie Generale de
Geophysique* 1,600 319
Compagnie Generale des
Etablissements Michelin,
Cl B 49,340 4,290
Credit Agricole 137,123 5,811
Dassault Systemes 7,848 428
Financiere de L'Odet 600 236
- -------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------------------------
France Telecom 105,900 $ 2,751
Gaz de France (B) 20,334 879
Groupe Danone 40,298 6,207
L'Oreal 12,405 1,251
Lafarge 22,739 3,307
M6-Metropole Television 13,900 476
Nexity 531 36
PagesJaunes Groupe (B) 12,870 262
Peugeot 12,200 761
PPR 8,500 1,298
Renault 51,724 6,205
Safran 18,900 407
Sanofi-Aventis 119,984 10,545
Schneider Electric 19,137 2,074
SCOR (B) 576,867 1,652
Societe Generale 48,632 8,155
Societe Television Francaise 1 37,400 1,385
Sodexho Alliance 9,100 533
Suez (B)* 40,333 1,938
Thales 17,900 856
Thomson 10,800 200
Total (B) 115,485 8,197
Vallourec 11,775 3,165
Veolia Environnement 16,027 1,062
Vinci (B) 43,115 5,421
Vivendi 107,435 4,137
----------
128,056
----------
GERMANY -- 5.3%
Allianz 26,730 5,207
Altana (B) 7,070 413
BASF 30,515 2,818
Bayer 159,049 8,208
Bayerische Motoren Werke 22,900 1,265
Commerzbank 139,382 5,020
Continental 36,610 4,162
DaimlerChrysler 84,081 4,886
Deutsche Bank 35,629 4,599
Deutsche Lufthansa 152,100 3,790
Deutsche Post 69,800 2,082
E.ON 56,264 7,231
Epcos* 7,500 136
Fresenius Medical Care 26,460 3,554
GEA Group 19,000 377
Heidelberger Druckmaschinen 2,600 113
Hypo Real Estate Holding 53,950 3,142
Infineon Technologies* 57,500 738
Lanxess* 8,100 428
MAN 14,197 1,355
Merck KGaA 4,700 516
Muenchener
Rueckversicherungs (B) 40,722 6,639
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 165
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund (Continued)
November 30, 2006
- -------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------------------------
RWE 26,010 $ 2,952
Salzgitter 8,100 974
SAP 7,995 1,673
SAP ADR 1,200 63
Siemens (B) 26,906 2,563
Suedzucker 42,907 1,049
ThyssenKrupp 67,841 2,620
TUI (B) 64,800 1,369
Volkswagen (B) 16,205 1,767
Wincor Nixdorf* 865 124
----------
81,833
----------
GREECE -- 0.2%
Alpha Bank 5,184 162
Coca Cola Hellenic Bottling 16,240 594
Folli - Follie 1,530 57
Hellenic Telecommunications
Organization 29,800 867
National Bank of Greece 3,810 175
OPAP 16,140 607
Piraeus Bank 1 --
Titan Cement 4,280 232
----------
2,694
----------
HONG KONG -- 2.5%
ASM Pacific Technology 118,000 646
Bank of East Asia 470,900 2,540
BOC Hong Kong Holdings 474,900 1,144
Cathay Pacific Airways 291,000 692
Cheung Kong Holdings 98,000 1,158
China Merchants Bank 83,233 160
China Mobile Hong Kong 882,500 7,420
China Netcom Group 266,000 530
China Overseas Land &
Investment 2,422,000 2,650
CLP Holdings 78,500 521
Cosco Pacific (B) 1,044,000 2,303
Esprit Holdings 19,000 197
eSun Holdings* 17,000 18
Hang Lung Group 50,000 127
Hang Lung Properties 542,500 1,207
Henderson Land Development 224,400 1,249
Hong Kong & China Gas 134,000 296
Hong Kong Exchanges and
Clearing 158,700 1,400
HongKong Electric Holdings 67,500 318
Hopewell Holdings 80,000 266
Hysan Development 505,200 1,335
Kerry Properties 50,500 204
Kingboard Chemical Holdings (B) 83,500 337
Li & Fung 479,400 1,393
New World Development 738,700 1,350
NWS Holdings 20,000 46
Orient Overseas International 108,000 684
- -------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------------------------
Shangri-La Asia 594,200 $ 1,528
Shun Tak Holdings 294,000 461
Sino Land (B) 1,188,498 2,231
Sun Hung Kai Properties 77,200 874
Swire Pacific, Cl A 143,900 1,521
Techtronic Industries 291,200 390
Vtech Holdings 27,000 170
Wharf Holdings 20,000 70
Wheelock 7,000 13
Wing Lung Bank 13,700 132
Yue Yuen Industrial Holdings* 139,500 441
----------
38,022
----------
HUNGARY -- 0.2%
Gedeon Richter 8,825 1,824
MOL Hungarian Oil & Gas 5,400 609
----------
2,433
----------
INDIA -- 1.1%
Bharti Televentures* 255,718 3,602
Indian Overseas Bank 65,400 173
Infosys Technologies 66,916 3,262
ITC 470,708 1,942
Maruti Udyog 104,348 2,158
Siemens India 102,397 2,582
State Bank of India GDR 9,020 636
Tata Motors 122,621 2,219
----------
16,574
----------
INDONESIA -- 0.2%
Bank Rakyat Indonesia 955,500 558
Telekomunikasi Indonesia 2,447,800 2,644
----------
3,202
----------
IRELAND -- 0.2%
Allied Irish Banks 42,500 1,186
Bank of Ireland 4,543 97
CRH 28,047 1,058
Depfa Bank 26,400 480
Kerry Group, Cl A 13,600 329
----------
3,150
----------
ISRAEL -- 0.2%
Bank Hapoalim 395,654 1,909
Bank Leumi Le-Israel 22,900 92
Bezeq Israeli
Telecommunication 933,956 1,477
Mizrahi Tefahot Bank 25,300 185
Teva Pharmaceutical
Industries ADR 5,800 186
----------
3,849
----------
- --------------------------------------------------------------------------------
166 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- -------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------------------------
ITALY -- 3.0%
Alitalia* 204,000 $ 230
Banca Intesa 172,935 1,223
Banca Popolare di Milano 81,600 1,323
Banche Popolari Unite (B) 83,520 2,210
Banco Popolare di Verona
e Novara 70,128 1,973
Beni Stabili 172,600 240
Buzzi Unicem 15,100 406
Capitalia 236,601 2,180
Enel 8,262 84
ENI (B) 236,491 7,749
Fiat (B) 317,898 5,904
Fiat RNC 71,220 1,267
Finmeccanica 77,900 1,934
Fondiaria-Sai 41,600 1,914
IFIL - Investments 398,900 3,151
Italcementi 77,365 2,100
Lottomatica 11,700 460
Pirelli & C 1,357,443 1,312
Sanpaolo IMI 70,100 1,552
Snam Rete Gas 83,600 463
Telecom Italia 139,400 423
Telecom Italia RNC 334,306 888
UniCredito Italiano 801,337 6,926
----------
45,912
----------
JAPAN -- 14.5%
77 Bank 114,500 768
Advantest 12,000 629
Aeon* 64,300 1,518
Aisin Seiki 13,600 429
All Nippon Airways* 71,000 261
Alps Electric 14,200 138
Amada 30,000 305
Aoyama Trading 5,000 141
Asahi Breweries 27,300 394
Asahi Diamond Industrial 6,000 42
Asahi Kasei 181,400 1,172
Astellas Pharma 21,300 932
Autobacs Seven 3,000 109
Bank of Yokohama 12,900 99
BML 1,000 21
Canon 94,000 4,974
Cawachi 1,800 50
Central Glass 1,000 6
Chiyoda 13,000 250
Chugoku Bank 4,000 53
Chukyo Bank 12,000 36
Citizen Watch 29,800 224
COMSYS Holdings 16,000 160
Cosmos Initia 10,000 57
CSK Holdings 12,300 537
Dai Nippon Printing 36,000 540
- -------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------------------------
Daicel Chemical Industries 30,000 $ 209
Daimaru 5,300 68
Dainippon Ink and Chemicals 61,000 236
Dainippon Screen Manufacturing 66,600 587
Daiwa House Industry 14,000 246
Daiwa Securities Group 53,000 608
Denso 17,500 664
Dentsu 200 550
East Japan Railway 134 941
Ebara 33,000 124
EDION 55,600 811
Eighteenth Bank 11,000 56
Elpida Memory* 9,300 454
FamilyMart 13,500 370
Fanuc 16,800 1,532
Fuji Heavy Industries 54,000 281
Fuji Machine Mfg 3,400 67
Fuji Photo Film 68,500 2,730
Fujikura 28,000 247
Fujitsu 81,000 663
Gunze 18,000 93
Hankyu Holdings (B) 49,000 305
Higashi-Nippon Bank 12,000 52
Hirose Electric 2,200 259
HIS 2,400 58
Hitachi 219,900 1,308
Hitachi Cable 267,600 1,379
Hitachi Construction Machinery 4,700 112
Hitachi High-Technologies 8,500 248
Hitachi Information Systems 1,400 30
Hitachi Metals 16,000 171
Hokkaido Electric Power 43,500 1,072
Hokkoku Bank 4,000 17
Honda Motor 124,700 4,421
Hoya 14,400 568
Ibiden 3,300 165
Idemitsu Kosan (B) 2,900 308
Inpex Holdings 111 957
Itochu 83,000 671
Japan Airport Terminal 6,700 76
Japan Steel Works (B) 409,700 3,025
Japan Tobacco 926 4,107
JFE Holdings (B) 107,900 4,982
Joyo Bank 20,000 114
JS Group 33,700 675
Kajima (B) 27,000 128
Kamigumi 11,000 91
Kansai Electric Power 20,000 500
Kao 16,300 440
Kato Sangyo 2,700 33
Katokichi 69,700 515
Kawasaki Heavy Industries 84,000 299
Kawasaki Kisen Kaisha 18,000 129
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 167
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund (Continued)
November 30, 2006
- -------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------------------------
KDDI 130 $ 870
Keyence 1,600 368
Kirin Brewery 37,000 522
Kobe Steel 572,700 1,768
Komatsu 63,000 1,147
Komori 38,200 727
Konica Minolta Holdings 33,500 487
Kubota 60,000 529
Kuraray 47,800 544
Kyocera 10,900 985
Kyowa Hakko Kogyo 33,000 260
Kyushu Electric Power 37,900 963
Leopalace21 51,600 1,736
Mabuchi Motor 9,600 565
Maeda* 12,000 42
Makita 25,500 736
Marubeni 80,000 407
Matsushita Electric Industrial 65,000 1,267
Matsushita Electric Works 20,000 225
Mediceo Paltac Holdings 3,100 59
Millea Holdings 23,300 838
Mitsubishi 137,000 2,559
Mitsubishi Chemical Holdings 219,000 1,333
Mitsubishi Electric 43,000 392
Mitsubishi Estate 255,150 6,310
Mitsubishi Gas Chemical 28,000 273
Mitsubishi Heavy Industries 297,100 1,292
Mitsubishi UFJ Financial Group 623 7,968
Mitsubishi UFJ Securities 33,000 391
Mitsui (B) 186,300 2,545
Mitsui Chemicals 330,200 2,458
Mitsui Mining & Smelting 47,000 223
Mitsui OSK Lines (B) 335,000 3,073
Mitsui Sumitomo Insurance 57,000 704
Mitsui Trust Holdings 26,000 276
Mitsumi Electric 38,000 660
Mizuho Financial Group 551 4,059
Murata Manufacturing 2,200 150
Nagase* 10,000 118
Namco Bandai Holdings 20,100 305
NEC 103,000 492
NGK Spark Plug 17,900 327
Nikko Cordial 37,000 457
Nikon (B) 88,700 1,833
Nintendo 13,600 3,246
Nippo* 10,000 73
Nippon Electric Glass 39,400 857
Nippon Express 5,000 27
Nippon Konpo Unyu Soko 6,000 69
Nippon Light Metal (B) 28,000 68
Nippon Mining Holdings 294,100 2,149
Nippon Oil 124,000 882
Nippon Paper Group 400 1,487
Nippon Sheet Glass 173,000 769
- -------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------------------------
Nippon Steel 388,000 $ 1,744
Nippon Telegraph & Telephone 965 4,889
Nippon Yusen Kabushiki Kaisha 32,000 224
Nissan Motor 319,400 3,899
Nissan Shatai 13,000 67
Nisshin Seifun Group 32,300 319
Nitto Denko 19,400 938
Nomura Holdings 18,000 316
Nomura Research Institute 3,800 542
NSK 32,000 284
NTT Data 201 1,011
NTT DoCoMo 315 482
NTT Urban Development 19 166
Obayashi 168,000 1,060
Odakyu Electric Railway (B) 38,200 249
Oita Bank 1,000 7
Okasan Holdings 16,000 112
Oki Electric Industry (B) 777,300 1,788
Ono Pharmaceutical* 7,500 383
Orient* 50,000 95
ORIX 24,370 6,680
Osaka Gas 128,000 462
Rengo 48,000 290
Ricoh 80,000 1,522
Rohm 3,400 314
Royal Holdings 3,000 41
Sankyo 13,800 708
Sanwa Shutter 8,000 46
Seikagaku 4,100 40
Seiko Epson 21,400 522
Seino Transportation 133,500 1,330
Sekisui Chemical 154,900 1,310
Sharp 152,000 2,561
Shimachu 18,700 504
Shimamura 4,800 559
Shin-Etsu Chemical 14,100 933
Shinko Securities 58,000 223
Shinsei Bank 180,000 1,068
Shizuoka Bank 50,800 520
Sintokogio 6,000 78
SMC 10,300 1,415
Softbank (B) 173,100 3,629
Sojitz* 55,400 172
Sompo Japan Insurance 67,800 865
Sony 45,000 1,782
Stanley Electric (B) 7,800 162
Sumco 14,300 1,076
Sumitomo 129,100 1,813
Sumitomo Bakelite 34,000 240
Sumitomo Chemical 129,000 868
Sumitomo Heavy Industries 181,000 1,790
Sumitomo Metal Industries 495,400 1,902
Sumitomo Metal Mining 59,000 772
Sumitomo Mitsui Financial Group 806 8,502
- --------------------------------------------------------------------------------
168 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- -------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------------------------
Sumitomo Realty & Development 41,000 $ 1,308
Sumitomo Wiring Systems 5,000 104
Suzuken 24,900 883
Suzuki Motor 69,800 2,004
T&D Holdings 11,500 838
Tachihi Enterprise* 1,000 37
Taiheiyo Cement 33,000 132
Taiyo Yuden 91,900 1,548
Takeda Pharmaceutical 59,400 3,883
Tanabe Seiyaku (B) 73,200 932
TDK 4,000 306
Teijin 117,000 758
TIS 60,500 1,457
Toda 124,600 543
Tokyo Electric Power 125,500 3,917
Tokyo Electron 29,600 2,288
Tokyo Gas (B) 304,900 1,513
Tokyo Style 48,200 524
Tokyu 96,600 637
Toppan Printing 89,300 960
Toshiba (B) 342,600 2,195
Towa Real Estate Development* 7,500 38
Toyo Seikan Kaisha 72,000 1,187
Toyota Auto Body 7,700 137
Toyota Motor 143,800 8,728
Trend Micro 13,700 415
Trusco Nakayama 2,400 48
Uniden 20,000 149
UNY 78,000 943
Ushio 15,900 318
USS 1,950 124
West Japan Railway 100 457
Yahoo! Japan (B) 1,511 596
Yamada Denki 13,570 1,287
Yamaha 15,900 333
Yamaha Motor 21,500 591
Yamato Kogyo 5,100 127
Yamato Transport 49,700 762
Yamazaki Baking (B) 57,000 556
Yaskawa Electric (B) 71,000 781
----------
223,085
----------
KAZAKHSTAN -- 0.0%
Kazkommertsbank* 37,970 664
----------
LUXEMBOURG -- 0.2%
SES Global FDR 38,100 636
SES Global FDR (Paris Exchange) 31,763 532
Tenaris ADR 56,000 2,633
----------
3,801
----------
MALAYSIA -- 0.5%
IOI 513,100 2,680
- -------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------------------------
Resorts World 641,000 $ 2,339
Tenaga Nasional 687,100 2,089
----------
7,108
----------
MEXICO -- 1.1%
America Movil ADR, Ser L 114,720 5,101
Consorcio ARA 405,593 2,388
Fomento Economico Mexicano
ADR (B) 36,700 3,863
Grupo Famsa* 156,589 571
Grupo Financiero Banorte 632,989 2,358
Grupo Televisa ADR* 101,100 2,657
----------
16,938
----------
NETHERLANDS -- 4.2%
ABN AMRO Holding 177,108 5,332
Aegon 185,273 3,362
Akzo Nobel 85,740 4,920
ASM International* 12,200 256
ASML Holding* 18,400 458
Buhrmann 16,800 236
Corio+ 1,297 97
CSM 3,153 117
European Aeronautic Defense
and Space 66,030 1,944
Fugro 6,312 292
Heineken 26,374 1,287
Heineken Holding 12,498 515
ING Groep 308,490 13,163
Koninklijke Ahold* 156,869 1,572
Koninklijke BAM Groep* 50,300 915
Koninklijke DSM 28,660 1,367
Koninklijke Philips Electronics 94,300 3,511
Mittal Steel 66,580 2,745
Randstad Holdings 1,090 70
Reed Elsevier 71,857 1,212
Royal Dutch Shell, Cl A (B) 187,693 6,633
Royal Dutch Shell, Cl A
(GBP) (B) 36,555 1,294
Royal Dutch Shell, Cl B 144,458 5,163
Royal KPN 160,311 2,199
TNT 10,900 459
Unilever 109,835 2,902
Vedior 71,000 1,356
Wolters Kluwer* 20,400 572
----------
63,949
----------
NEW ZEALAND -- 0.1%
Fisher & Paykel Appliances
Holdings 167,500 469
Telecom of New Zealand (B) 348,041 1,094
----------
1,563
----------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 169
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund (Continued)
November 30, 2006
- -------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------------------------
NORWAY -- 0.4%
DnB 77,083 $ 1,047
Norsk Hydro 72,453 1,794
Norske Skogindustrier 31,642 527
Orkla 29,131 1,634
ProSafe 6,400 436
Telenor 26,300 452
TGS Nopec Geophysical* 6,804 132
Yara International 12,263 255
----------
6,277
----------
PHILIPPINES -- 0.0%
SM Investments 89,500 550
----------
PORTUGAL -- 0.4%
Banco Comercial Portugues 600,481 2,038
Banco Espirito Santo 41,839 715
Cimpor Cimentos de Portugal 59,900 459
Portugal Telecom 101,400 1,307
Sonae 676,000 1,344
----------
5,863
----------
RUSSIA -- 1.5%
Cherkizovo Group GDR* 46,359 695
LUKOIL ADR 25,616 2,280
MMC Norilsk Nickel ADR 15,645 2,358
Mobile Telesystems ADR 58,600 2,819
Novolipetsk Steel GDR (B) 65,891 1,522
OAO Gazprom ADR 82,430 3,849
Polyus Gold* 8,573 431
Polyus Gold ADR (B)* 24,771 1,245
Rosneft Oil GDR* 238,788 2,154
Sberbank GDR 13,520 3,488
Surgutneftegaz ADR (B) 28,401 1,967
----------
22,808
----------
SINGAPORE -- 0.8%
DBS Group Holdings 270,900 3,693
Flextronics International* 38,300 431
Jardine Cycle & Carriage 11,000 101
Kim Eng Holdings 68,000 64
Neptune Orient Lines 340,000 468
SembCorp Industries 84,000 202
Singapore Airlines 191,537 1,952
Singapore Petroleum 83,000 240
Singapore Post 646,600 436
Singapore Telecommunications 1,485,850 2,777
United Industrial 133,000 159
United Overseas Bank 90,700 1,095
UOL Group 42,000 123
----------
11,741
----------
- -------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------------------------
SOUTH AFRICA -- 0.6%
ABSA Group 24,000 $ 377
Barloworld 104,510 2,148
Sanlam 1,068,410 2,650
Sappi (B) 163,598 2,633
Sasol 47,617 1,669
Standard Bank Group 16,100 197
Tiger Brands 6,816 148
----------
9,822
----------
SOUTH KOREA -- 1.8%
Daewoo Shipbuilding & Marine
Engineering 82,260 2,620
Honam Petrochemical 6,000 409
Hyundai Development 43,250 2,690
Hyundai Mobis 2,150 200
Hyundai Motor 23,030 1,744
Industrial Bank of Korea 10,680 194
Kookmin Bank 5,900 460
Kookmin Bank ADR* 32,883 2,573
POSCO 1,900 597
Samsung Electronics 9,305 6,388
Samsung Electronics GDR 5,214 1,783
Samsung Fire & Marine Insurance 12,729 2,041
Shinhan Financial Group 85,100 4,143
Shinsegae 3,723 2,392
----------
28,234
----------
SPAIN -- 2.8%
Acerinox (B) 8,176 224
Actividades Construcciones
y Servicios 117,293 6,558
Altadis 10,800 541
Antena 3 de Television 20,100 479
Banco Bilbao Vizcaya
Argentaria (B) 239,685 5,798
Banco Popular Espanol 99,528 1,751
Banco Santander Central Hispano 441,426 8,022
Corp Financiera Alba 6,100 438
Ebro Puleva 74,984 1,769
Endesa (B) 63,479 2,952
Gamesa Corp Tecnologica 18,500 488
Gas Natural SDG 67,900 2,772
Iberdrola (B) 14,339 637
Iberia Lineas Aereas de Espana 417,500 1,467
Inditex 5,265 267
Repsol 176,556 6,342
Sol Melia 18,200 357
Telefonica 150,422 3,049
----------
43,911
----------
- --------------------------------------------------------------------------------
170 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- -------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------------------------
SWEDEN -- 1.2%
Alfa Laval 11,500 $ 446
Assa Abloy, Cl B 19,200 391
Atlas Copco, Cl A 146,600 4,318
Axfood 12,800 482
Billerud 27,600 476
Boliden* 5,137 124
Elekta, Ser B 20,400 446
Kungsleden 33,500 468
Lundin Petroleum* 38,600 412
Nordea Bank 93,000 1,313
Sandvik 17,715 228
Scania, Cl B* 6,800 464
Skandinaviska Enskilda
Banken, Cl A 21,170 622
Ssab Svenskt Stal, Cl B 47,600 943
Svenska Cellulosa, Cl B 36,163 1,773
Svenska Handelsbanken, Cl A 9,963 269
Swedish Match 50,669 898
Telefonaktiebolaget
LM Ericsson, Cl B 200,600 777
TeliaSonera 199,829 1,511
Volvo, Cl B 32,755 2,131
----------
18,492
----------
SWITZERLAND -- 4.4%
ABB (B) 16,116 260
Adecco 8,703 577
Banque Cantonale Vaudoise 400 171
Barry Callebaut* 600 307
Bucher Industries 2,200 235
Ciba Specialty Chemicals 5,100 332
Clariant 23,700 333
Compagnie Financiere
Richemont, Cl A 47,858 2,579
Credit Suisse Group 141,335 9,349
Geberit 474 688
Helvetia Holding 800 254
Holcim 40,054 3,594
Nestle 11,735 4,143
Novartis 192,752 11,238
OC Oerlikon 3,300 1,405
Petroplus Holdings* 3,408 199
Phonak Holding 1,027 77
PSP Swiss Property 8,000 442
Rieter Holding 723 362
Roche Holding 54,475 9,844
STMicroelectronics* 2,000 36
Straumann Holding 1,800 450
Swatch Group 2,150 92
Swiss Life Holding 2,200 542
Swiss Reinsurance 65,535 5,596
- -------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------------------------
Swisscom 4,172 $ 1,529
UBS 95,003 5,713
Xstrata 62,663 2,810
Zurich Financial Services 15,792 4,106
----------
67,263
----------
TAIWAN -- 1.4%
Advanced Semiconductor
Engineering* 2,277,873 2,615
AU Optronics 348,140 467
China Steel 611,000 619
Chinatrust Financial Holding 3,057,600 2,605
Compal Electronics 1,592,267 1,460
HON HAI Precision Industry 424,215 3,083
HON HAI Precision Industry GDR 26,454 383
MediaTek 208,000 2,125
Quanta Computer 306,985 534
Siliconware Precision
Industries 427,507 693
Taiwan Semiconductor
Manufacturing 192,399 389
Taiwan Semiconductor
Manufacturing ADR (B) 362,511 3,897
United Microelectronics 3,284,276 2,144
----------
21,014
----------
THAILAND -- 0.2%
Advanced Info Service 607,600 1,396
PTT 34,400 221
PTT (Foreign) 336,300 2,156
----------
3,773
----------
TURKEY -- 0.4%
Ford Otomotiv Sanayi 10,320 80
Haci Omer Sabanci Holding 578,748 2,251
Turkcell Iletisim Hizmet 264,126 1,236
Turkiye Is Bankasi 543,341 2,262
----------
5,829
----------
UNITED KINGDOM -- 13.0%
3i Group 66,893 1,282
Acergy* 130,150 2,552
Alliance Boots 1 --
Amvescap 105,500 1,141
Anglo American 144,465 6,712
Antofagasta 64,200 606
ARM Holdings 63,141 149
AstraZeneca 107,587 6,243
AstraZeneca (SEK) 27,350 1,583
Aviva 418,033 6,475
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 171
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund (Continued)
November 30, 2006
- -------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------------------------
BAE Systems 619,900 $ 4,719
Balfour Beatty 8,818 72
Barclays 561,687 7,519
Barratt Developments 67,191 1,460
Bellway 49,690 1,426
Berkeley Group Holdings 14,974 478
BHP Billiton 317,509 6,027
Bovis Homes Group 15,614 311
BP 902,245 10,187
Brambles Industries 65,335 664
Brit Insurance Holdings 33,800 202
British Airways* 229,589 2,225
British American Tobacco 74,844 2,118
British Energy Group* 39,500 360
British Land 71,779 2,150
Brixton 115,400 1,237
BT Group 518,754 2,900
Burberry Group 29,400 348
Cadbury Schweppes 33,625 346
Carnival 21,916 1,067
Cattles 162,600 1,289
Charter* 18,700 319
Close Brothers Group 62,700 1,214
Compass Group 374,800 2,116
Cookson Group 109,501 1,277
Corus Group 39,000 384
De La Rue 26,800 338
Diageo 192,360 3,695
DSG International 285,800 1,096
Emap 6,700 112
Enterprise Inns 71,846 1,737
Firstgroup 5,500 59
Friends Provident 274,800 1,124
Gallaher Group 2,657 50
GKN 74,300 426
GlaxoSmithKline 291,661 7,751
Greene King 49,700 1,011
Hammerson 20,862 593
Hanson 25,657 368
Hays 41,626 123
HBOS 421,301 8,627
HSBC Holdings 452,019 8,340
ICAP 34,800 313
Imperial Chemical Industries 66,958 548
Imperial Tobacco Group 8,340 307
Inchcape 133,947 1,317
Intercontinental Hotels Group 20,725 415
Intermediate Capital Group* 6,700 208
International Power 13,258 88
Investec 36,550 434
ITV 160,000 352
J Sainsbury 392,926 3,084
Kazakhmys 28,500 651
- -------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------------------------
Kesa Electricals 46,900 $ 329
Kingfisher 78,600 376
Ladbrokes 15,248 121
Land Securities Group 9,845 412
Legal & General Group 577,720 1,722
Lloyds TSB Group 158,966 1,690
LogicaCMG 121,700 422
Man Group 128,300 1,196
Marks & Spencer Group 323,400 4,345
Michael Page International 77,801 624
Millennium & Copthorne Hotels 27,100 313
Mitchells & Butlers 122,551 1,615
National Grid 106,028 1,434
Next 19,116 669
Old Mutual 304,400 994
Pearson 19,537 288
Persimmon 58,731 1,687
Prudential 137,000 1,780
Punch Taverns 44,480 1,009
Reckitt Benckiser 13,042 580
Reed Elsevier (B) 76,505 837
Resolution 58,671 733
Reuters Group 139,800 1,244
Rio Tinto 152,940 8,168
Royal & Sun Alliance
Insurance Group 386,408 1,117
Royal Bank of Scotland Group 343,481 12,445
SABMiller 91,053 1,904
Scottish & Newcastle 197,666 2,100
Scottish & Southern Energy 37,740 1,080
Scottish Power 305,138 4,532
Shire* 32,400 649
Smith & Nephew 42,700 405
Stagecoach Group 20,015 56
Standard Chartered 54,707 1,570
Stolt-Nielsen 14,900 455
Tate & Lyle 40,300 631
Taylor Woodrow 86,401 664
Tesco 104,600 805
Travis Perkins 34,300 1,171
Unilever (B) 93,812 2,515
United Utilities 4,503 67
Vodafone Group 3,827,592 10,126
William Hill 50,300 619
Wimpey George 86,232 938
Wolseley 16,960 397
WPP Group 10,099 134
Yell Group 52,700 596
----------
199,889
----------
Total Common Stock
(Cost $1,078,818) ($ Thousands) 1,266,725
----------
- --------------------------------------------------------------------------------
172 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund (Continued)
November 30, 2006
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousand)(1) ($ Thousands)
- -------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 7.5%
MORTGAGE RELATED SECURITIES -- 7.5%
ACE Securities, Ser 2003-NC1,
Cl M (D)
6.100%, 12/25/06 $ 650 $ 653
ACE Securities, Ser 2003-OP1,
Cl M1 (D)
6.020%, 12/26/06 300 301
Aames Mortgage Investment
Trust, Ser 2005-4, Cl B2 (D)
8.070%, 12/12/06 150 135
Aegis Asset Backed Securities
Trust, Ser 2003-3, Cl M1 (D)
6.020%, 12/25/06 69 69
American Home Mortgage Investment
Trust, Ser 2004-3, Cl 2A (D)
3.590%, 10/25/34 862 859
American Home Mortgage Investment
Trust, Ser 2005-1, Cl 6A (D)
5.294%, 12/25/06 6,035 6,020
American Home Mortgage Investment
Trust, Ser 2005-4, Cl 5A (D)
5.350%, 12/25/06 1,960 1,962
American Home Mortgage Investment
Trust, Ser 2006-1, Cl 2A3 (D)
5.100%, 12/25/06 1,439 1,423
Ameriquest Mortgage Securities,
Ser 2003-2, Cl M1 (D)
6.220%, 12/25/06 475 476
Argent Securities, Ser 2003-W5,
Cl M1 (D)
6.020%, 12/25/06 250 253
Argent Securities, Ser 2003-W9,
Cl M1 (D)
6.010%, 12/26/06 369 371
Asset Backed Funding Certificates,
Ser 2005-AQ1, Cl A1B (G)
4.250%, 12/25/06 -- --
Asset-Backed Securities Home
Equity Loan Trust,
Ser 2003-HE5, Cl M1 (D)
6.070%, 12/15/06 456 458
Asset-Backed Securities Home
Equity Loan Trust,
Ser 2003-HE7, Cl M2 (D)
7.080%, 12/15/06 205 208
Banc of America Commercial
Mortgage, Ser 2006-2, Cl A1
5.611%, 12/01/06 1,065 1,082
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousand)(1) ($ Thousands)
- -------------------------------------------------------------------------------
Banc of America Funding,
Ser 2006-A, Cl 2A2 (D)
5.485%, 12/01/06 $ 214 $ 214
Basic Asset Backed Securities
Trust, Ser 2006-1, Cl A1 (D)
5.400%, 12/25/06 2,670 2,670
Bear Stearns NIM Trust,
Ser 2005-AQ2N, Cl A1 (F)
5.500%, 09/25/35 27 27
Centex Home Equity, Ser 2004-D,
Cl AV4 (D)
5.630%, 12/25/06 -- --
Chase Funding Mortgage Loan,
Ser 2003-1, Cl 1A4
4.119%, 02/25/29 508 506
Chase Funding Mortgage Loan,
Ser 2004-2, Cl 1A3
4.209%, 09/25/26 1,003 997
Commodore, Ser 2003-2A, Cl A1MM
(C) (D) (F)
5.470%, 12/12/38 828 828
Countrywide Alternative Loan
Trust, Ser 2004-33, Cl 1A1 (D)
4.999%, 12/01/06 1,123 1,135
Countrywide Alternative Loan
Trust, Ser 2005-69, Cl M3 (D)
6.470%, 12/27/06 220 223
Countrywide Alternative Loan
Trust, Ser 2005-IM1, Cl M3 (D)
7.320%, 12/27/06 380 380
Countrywide Alternative Loan
Trust, Ser 2006-0A11, Cl M3 (D)
5.750%, 12/30/06 450 450
Countrywide Asset-Backed
Certificates, Ser 2003-5,
Cl MV2 (D)
6.920%, 01/25/34 303 304
Countrywide Asset-Backed
Certificates, Ser 2004-11,
Cl A2 (D)
5.700%, 12/25/06 431 431
Countrywide Asset-Backed
Certificates, Ser 2005-15,
Cl 1AF1 (D)
5.460%, 12/25/06 903 904
Countrywide Asset-Backed
Certificates, Ser 2006-IM1,
Cl A1 (D)
5.410%, 12/27/06 1,281 1,281
Countrywide Home Equity Loan
Trust, Ser 2006-D, Cl 2A (D)
5.520%, 12/30/06 3,293 3,293
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 173
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund (Continued)
November 30, 2006
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousand)(1) ($ Thousands)
- -------------------------------------------------------------------------------
Countrywide Home Loans,
Ser 2004-22, Cl A1 (D)
5.090%, 12/01/06 $ 711 $ 710
Countrywide Home Loans,
Ser 2006-HYB2, Cl 1A1 (D)
5.152%, 12/20/06 2,208 2,202
Credit Suisse Asset-Backed
Mortgage Trust, Ser 2006-1,
Cl A1B (D)
5.540%, 12/26/06 867 868
DLSA Mortgage Loan Trust,
Ser 2006-AR1, Cl M4 (D)
6.060%, 12/19/06 250 251
DSLA Mortgage Loan Trust,
Ser 2004-AR4, Cl B1 (D)
5.920%, 12/19/06 335 338
DSLA Mortgage Loan Trust,
Ser 2006-AR1, Cl M5 (D)
6.130%, 12/19/06 150 151
DSLA Mortgage Loan Trust,
Ser 2006-AR1, Cl M7 (D)
7.070%, 12/19/06 150 151
Deustche Alternatives Securities
Mortgage Loan Trust,
Ser 2006-AB3, Cl A1 (D)
6.250%, 06/30/36 1,637 1,637
Duke Funding, Ser 2004-6B,
Cl A1S1 (C) (D) (F)
5.440%, 10/09/07 1,350 1,350
First Franklin Mortgage Loan
Asset, Ser 2004-FF10, Cl A2 (D)
5.720%, 12/26/06 300 301
First Franklin Mortgage Loan
Asset, Ser 2005-FF4, Cl 2A3 (D)
5.540%, 12/25/06 2,000 2,001
First Franklin Mortgage Loan
Asset, Ser 2005-FFA, Cl A2A (D)
5.430%, 12/25/06 -- --
First Franklin Mortgage Loan
Asset, Ser 2005-FFH3,
Cl 2A1 (D)
5.450%, 12/26/06 133 133
First Horizon Alternative
Mortgage Trust, Ser 2006-AA6,
Cl 2A1 (D)
5.750%, 12/01/06 6,713 6,749
First Horizon Mortgage Pass-
Through Trust, Ser 2006-AR3,
Cl 1A1 (D)
5.915%, 12/01/06 1,901 1,908
GMAC Mortgage Loan Trust,
Ser 2006-HE1, Cl A (D)
5.530%, 12/25/06 5,400 5,401
GSAA Home Equity NIM Trust,
Ser 2006-2, Cl 2A1 (D)
5.420%, 12/27/06 4,569 4,569
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousand)(1) ($ Thousands)
- -------------------------------------------------------------------------------
GSAA Home Equity NIM Trust,
Ser 2006-3N, Cl N1 (F)
5.750%, 03/25/36 $ 55 $ 55
GSAA Home Equity NIM Trust,
Ser 2006-HE3N, Cl N1 (F)
5.500%, 05/25/36 88 88
Greenpoint Mortgage Funding
Trust, Ser 2006-AR1, Cl M3 (D)
5.890%, 12/27/06 350 352
HSI Asset Securitization Trust,
Ser 2005-NC2, Cl M2A1 (D)
5.450%, 12/25/06 684 684
Home Equity Asset NIM Trust,
Ser 2003-4, Cl M2 (D)
7.220%, 12/25/06 350 351
Home Equity Asset NIM Trust,
Ser 2006-1N, Cl A (F)
6.500%, 05/27/36 90 90
Impac NIM Trust, Ser 2006-1,
Cl N (F)
6.000%, 03/25/36 85 85
Indymac Mortgage Loan Trust,
Ser 2004-AR11, Cl 4A1 (D)
5.857%, 12/01/06 2,413 2,413
Indymac Mortgage Loan Trust,
Ser 2004-AR6, Cl 1A (D)
5.469%, 12/01/06 301 309
Irwin Home Equity, Ser 2005-1,
Cl 2A1 (D)
5.460%, 12/25/06 454 454
Lehman Mortgage Trust,
Ser 2006-4, Cl 4A1
6.000%, 08/25/21 4,186 4,248
Lehman XS Trust, Ser 2005-5N,
Cl M4 (D)
7.070%, 12/31/06 575 559
Lehman XS Trust, Ser 2005-7N,
Cl M71 (D)
7.070%, 12/27/06 335 323
Master Adjustable Rate Mortgages,
Ser 2004-6, Cl 2A1 (D)
3.859%, 07/25/34 4,727 4,692
Master Asset Backed Securities
Trust, Ser 2002-OPT1, Cl M1 (D)
6.470%, 12/27/06 108 108
Master Asset Backed Securities
Trust, Ser 2006-AB1, Cl A1 (D)
5.460%, 12/27/06 3,474 3,475
Merrill Lynch Mortgage Investors
Trust, Ser 2003-HE1, Cl M2 (D)
6.970%, 12/25/06 190 190
Merrill Lynch Mortgage Investors
Trust, Ser 2005-HE2, Cl A2A (D)
5.430%, 12/27/06 455 455
- --------------------------------------------------------------------------------
174 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousand)(1) ($ Thousands)
- -------------------------------------------------------------------------------
Merrill Lynch Mortgage Trust,
Ser 2006-1, Cl 1A1 (D)
5.350%, 02/25/36 $ 2,363 $ 2,343
Morgan Stanley, Ser 2003-NC10,
Cl M1 (D)
6.000%, 12/27/06 621 623
New Century Home Equity Loan
Trust, Ser 2004-A, Cl AII3 (D)
4.450%, 12/01/06 1,023 1,016
New Century Home Equity Loan
Trust, Ser 2005-A, Cl A2 (G)
4.461%, 12/25/06 2,259 2,240
New Century Home Equity Loan
Trust, Ser 2005-B, Cl A2A (D)
5.440%, 12/25/06 1,018 1,019
Newcastle CDO Limited,
Ser 2005-6A, Cl IM1
(C) (D) (F)
5.340%, 04/24/07 360 359
Nomura Asset Acceptance,
Ser 2004-R1, Cl A1 (F)
6.500%, 03/25/34 404 414
Nomura Asset Acceptance,
Ser 2004-R2, Cl A1 (D) (F)
6.500%, 10/25/34 480 491
Option One Mortgage Loan Trust,
Ser 2003-5, Cl M1 (D)
5.970%, 12/23/06 400 401
Option One Mortgage Loan Trust,
Ser 2006-1, Cl M10 (D) (F)
7.820%, 12/27/06 70 61
Option One Mortgage Loan Trust,
Ser 2006-1, Cl M11 (D) (F)
7.820%, 12/27/06 150 144
Park Place Securities NIM Trust,
Ser 2004-MM1, Cl AM6 (C) (D)
5.350%, 02/26/07 535 534
Renaissance Home Equity Loan
Trust, Ser 2004-2, Cl AF3 (G)
4.464%, 07/25/34 1,102 1,096
Residential Accredit Loans,
Ser 2005-Q05, Cl M3 (D)
6.120%, 12/25/06 349 355
Residential Accredit Loans,
Ser 2005-QA3, Cl NB2 (D)
5.267%, 12/25/06 1,919 1,926
Residential Accredit Loans,
Ser 2006-Q01, Cl 2A3 (D)
5.720%, 12/27/06 486 487
Residential Asset Mortgage
Products, Ser 2003-RS11,
Cl MII1 (D)
6.050%, 12/25/06 124 124
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousand)(1) ($ Thousands)
- -------------------------------------------------------------------------------
Residential Asset Mortgage
Products, Ser 2006-RZ1,
Cl A1 (D)
5.400%, 12/27/06 $ 5,590 $ 5,592
Residential Asset Securities,
Ser 2006-EMX2, Cl A1 (D)
5.400%, 12/27/06 1,833 1,833
Residential Asset Securities,
Ser 2006-KS2, Cl A1 (D)
5.390%, 12/27/06 3,125 3,125
Residential Asset Securitization
Trust, Ser 2004-IP2,
Cl 3A1 (D)
5.274%, 12/25/06 1,769 1,777
Resmae Mortgage Loan Trust,
Ser 2006-1, Cl A2A (D) (F)
5.420%, 12/25/06 1,743 1,743
Resmae Mortgage Loan Trust,
Ser 2006-1, Cl A2B (D) (F)
5.470%, 12/25/06 1,500 1,500
SB Finance NIM Trust,
Ser 2006-KS4N, Cl N1 (F)
7.500%, 06/25/36 90 90
Saturn Ventures II (C) (D)
5.380%, 02/07/07 1,449 1,449
Securtized Asset-Backed
Receivables Trust,
Ser 2005-OP1, Cl A2B (D)
5.500%, 12/25/06 37 38
Sharps SP I LLC NIM Trust,
Ser 2005-HE3N, Cl N (F)
5.000%, 05/25/35 220 220
Structured Adjustable Rate
Mortgage Loan, Ser 2005-16 XS,
Cl M2 (D)
6.220%, 12/25/06 205 206
Structured Asset Investment Loan
Trust, Ser 2005-1, Cl A4
(D) (F)
5.550%, 12/25/06 930 930
Structured Asset Investment Loan
Trust, Ser 2005-8, Cl A2 (D)
5.450%, 12/25/06 480 480
Structured Asset Securities,
Ser 2005-NC1, Cl A2 (G)
3.920%, 02/25/35 179 178
TIAA Real Estate, Ser 2003-1A,
Cl A1 (C) (D) (F)
5.350%, 09/28/07 1,338 1,338
Terwin Mortgage Trust,
Ser 2006-5, Cl 1A2A (D) (F)
5.410%, 12/26/06 4,215 4,215
Terwin Mortgage Trust,
Ser 2006-6, Cl 2A1 (D)
4.500%, 06/25/36 644 640
Wells Fargo Home Equity Trust,
Ser 2004-2, Cl A12 (D)
3.450%, 06/25/19 698 694
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 175
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund (Continued)
November 30, 2006
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousand)(1) ($ Thousands)
- -------------------------------------------------------------------------------
Wells Fargo Mortgage Backed
Securities Trust, Ser 2004-I,
Cl B1 (D)
3.365%, 12/01/06 $ 261 $ 261
----------
Total Asset-Backed Securities
(Cost $115,205) ($ Thousands) 115,506
----------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS -- 7.1%
FHLMC ARM (J)
5.572%, 10/01/35 793 794
FNMA ARM
5.524%, 01/01/36 736 739
FNMA 15 Year TBA
6.000%, 12/01/18 22,000 22,392
5.500%, 12/01/20 28,844 28,998
5.500%, 02/01/21 976 982
5.500%, 06/01/21 47 47
5.500%, 07/01/21 25 25
5.000%, 12/01/18 27,000 26,747
FNMA 30 Year TBA
6.500%, 01/01/32 21,000 21,420
GNMA ARM
5.625%, 02/20/34 541 542
5.500%, 12/30/06 665 667
5.250%, 08/20/34 (J) 262 262
5.000%, 01/20/33 - 04/20/34 1,535 1,536
4.500%, 08/20/34 - 06/20/36 2,214 2,210
4.000%, 02/20/35 (J) 426 421
3.750%, 12/20/33 2,500 2,459
----------
Total U.S. Government Agency Mortgage-Backed Obligations
(Cost $109,789) ($ Thousands) 110,241
----------
CORPORATE OBLIGATIONS -- 4.3%
CONSUMER DISCRETIONARY -- 0.1%
Comcast
5.300%, 01/15/14 520 515
Cox Communications
4.625%, 06/01/13 415 395
Omnicon Group
5.900%, 04/15/16 230 237
Time Warner
6.875%, 05/01/12 415 443
----------
1,590
----------
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousand)(1) ($ Thousands)
- -------------------------------------------------------------------------------
ENERGY -- 0.1%
Dominion Resources
4.750%, 12/15/10 $ 280 $ 276
Exelon Generation
6.950%, 06/15/11 415 441
Kinder Morgan Energy Partners
5.000%, 12/15/13 415 400
----------
1,117
----------
FINANCIALS -- 4.0%
Aetna
5.750%, 06/15/11 415 425
Allstate Life Global Funding II
MTN (C) (D) (F)
5.360%, 12/17/07 828 828
American General Finance
(C) (D) (F)
5.350%, 12/17/07 2,609 2,609
Bear Stearns EXL (C) (D)
5.360%, 12/17/07 3,203 3,203
Cit Group
5.000%, 02/13/14 555 543
Countrywide Financial MTN,
Ser A (C) (D)
5.448%, 10/31/07 3,779 3,779
Credit Suisse First Boston USA
6.500%, 01/15/12 280 297
Dekabank (C) (D) (F)
5.394%, 11/20/07 3,329 3,329
Genworth Financial
5.750%, 06/15/14 415 430
Glitnir Bank (C) (D) (F)
5.370%, 04/06/07 4,229 4,229
Goldman Sachs
5.500%, 11/15/14 835 846
HSBC Finance
6.375%, 10/15/11 415 438
Irish Life & Permanent MTN,
Ser X (C) (D) (F)
5.360%, 12/21/07 2,393 2,393
Istar Financial
5.875%, 03/15/16 280 282
JPMorgan Chase
5.125%, 09/15/14 415 412
Jackson National Life Funding
(C) (D) (F)
5.320%, 12/03/07 3,959 3,959
Kaupthing Bank MTN (C) (D) (F)
5.380%, 03/20/07 4,499 4,499
Landsbanki Islands (C) (D) (F)
5.400%, 03/16/07 3,419 3,419
Lehman Brothers Holdings
5.500%, 04/04/16 415 420
- --------------------------------------------------------------------------------
176 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousand)(1) ($ Thousands)
- -------------------------------------------------------------------------------
Merrill Lynch
6.050%, 05/16/16 $ 415 $ 436
Morgan Stanley
4.750%, 04/01/14 415 401
Morgan Stanley EXL (C) (D)
5.380%, 01/04/08 630 630
Morgan Stanley EXL, Ser S
(C) (D)
5.340%, 12/05/07 900 900
Natexis Banques (C) (D) (F)
5.300%, 12/17/07 1,754 1,754
Nationwide Building Society
(C) (D) (F)
5.424%, 10/26/07 990 990
5.350%, 12/07/07 1,800 1,800
Nordbank (C) (D) (F)
5.350%, 12/24/07 3,059 3,059
Northern Rock (C) (D) (F)
5.360%, 12/03/07 1,853 1,853
Pacific Life Global Funding
(C) (D) (F)
5.370%, 12/13/07 1,350 1,350
Premium Asset Trust, Ser 2004-10
(C) (D) (F)
5.360%, 12/17/07 2,519 2,519
Residential Capital
6.875%, 06/30/15 80 85
6.500%, 04/17/13 1,095 1,136
6.000%, 02/22/11 220 223
SLM EXL, Ser S (C) (D) (F)
5.320%, 12/17/07 1,979 1,979
Shinsei Finance Cayman (D) (F)
6.418%, 01/29/49 545 554
Simon Property Group
5.750%, 12/01/15 280 290
5.600%, 09/01/11 300 305
Skandinav Enskilda Bank
(C) (D) (F)
5.320%, 12/18/07 1,979 1,979
Stanfield Victoria MTN (C)
5.445%, 06/11/07 1,799 1,799
Wachovia
5.300%, 10/15/11 965 975
4.875%, 02/15/14 280 274
Washington Mutual Preferred
Funding (D) (F)
6.534%, 03/15/49 600 595
----------
62,226
----------
HEALTH CARE -- 0.1%
Teva Pharmaceutical
5.550%, 02/01/16 415 414
Wellpoint
6.800%, 08/01/12 280 300
----------
714
----------
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousand)(1) ($ Thousands)
- -------------------------------------------------------------------------------
INDUSTRIALS -- 0.0%
Lafarge
6.150%, 07/15/11 $ 250 $ 258
----------
TELECOMMUNICATION SERVICES -- 0.0%
Embarq
6.738%, 06/01/13 205 213
----------
Total Corporate Obligations
(Cost $65,642) ($ Thousands) 66,118
----------
COMMERCIAL PAPER (E) -- 1.5%
FINANCIALS -- 1.5%
Broadhollow Funding (C)
5.305%, 12/07/06 1,008 1,007
KKR Pacific Funding Trust (C)
5.345%, 12/27/06 1,799 1,793
5.305%, 01/02/07 900 895
ML Finance De Disc
5.240%, 12/12/06 5,000 4,992
Ocala Funding LLC (C)
5.320%, 12/18/06 900 898
5.320%, 01/26/07 900 892
Rhineland Funding Capital (C)
5.385%, 01/25/07 1,134 1,124
5.364%, 12/27/06 900 896
5.364%, 02/13/07 891 881
5.313%, 12/12/06 592 591
UBS Finance (Delaware)
5.250%, 12/12/06 7,000 6,989
Witherspoon CDO Funding (C) (D)
5.330%, 03/15/07 1,553 1,553
Witherspoon CDO Funding
Limited (C)
5.329%, 12/15/06 900 898
----------
Total Commercial Paper
(Cost $23,409) ($ Thousands) 23,409
----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 1.0%
FHLMC CMO STRIPS, Ser 232,
Cl 10, IO
5.000%, 08/01/35 3,624 816
FHLMC CMO STRIPS, Ser 233,
Cl 12, IO
5.000%, 09/15/35 1,614 390
FHLMC (H)
5.340%, 01/23/07 350 347
5.250%, 01/16/07 1,575 1,565
5.213%, 02/06/07 5,300 5,249
5.204%, 04/17/07 75 74
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 177
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund (Continued)
November 30, 2006
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousand)(1)/Shares ($ Thousands)
- -------------------------------------------------------------------------------
FNMA CMO STRIPS, Ser 2006-10,
Cl FD (D)
5.670%, 12/25/06 $ 2,138 $ 2,139
FNMA CMO STRIPS, Ser 359,
Cl 6, IO
5.000%, 11/01/35 639 141
FNMA CMO STRIPS, Ser 360,
Cl 2, IO
5.000%, 08/01/35 10,609 2,390
FNMA (H)
6.030%, 02/02/95 70 69
5.394%, 12/06/06 700 699
5.205%, 03/30/07 95 93
5.160%, 02/07/07 150 149
4.680%, 06/01/99 650 634
----------
Total U.S. Government Agency Obligations
(Cost $14,951) ($ Thousands) 14,755
----------
PREFERRED STOCK -- 0.7%
AUSTRALIA -- 0.0%
News 2,988 62
----------
BRAZIL -- 0.4%
Cia Energetica de Minas
Gerais 50,585,515 2,286
Petroleo Brasileiro 52,000 1,099
Tam 85,942 2,417
Usinas Siderurgicas de Minas
Gerais, Cl A 21,400 722
----------
6,524
----------
GERMANY -- 0.2%
Henkel KGaA* 3,200 458
Porsche 525 610
ProSiebenSat.1 Media 43,400 1,311
Volkswagen 1,412 98
----------
2,477
----------
ITALY -- 0.0%
Unipol* 22,347 69
----------
SOUTH KOREA -- 0.1%
Hyundai Motor
(Second Preferred)* 9,150 397
Samsung Electronics 1,000 538
----------
935
----------
UNITED KINGDOM -- 0.0%
Scottish Power, Cl B 8,033 55
----------
Total Preferred Stock
(Cost $7,284) ($ Thousands) 10,122
----------
- -------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousand)(1) ($ Thousands)
- -------------------------------------------------------------------------------
EXCHANGE TRADED FUNDS -- 2.6%
iShares MSCI Emerging Markets
Index Fund* 364,562 $ 40,029
iUnits S&P/TSX 60 Index Fund 700 45
----------
Total Exchange Traded Funds
(Cost $36,045) ($ Thousands) 40,074
----------
CASH EQUIVALENT -- 1.7%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.300% ** 25,718,834 25,719
----------
Total Cash Equivalent
(Cost $25,719) ($ Thousands) 25,719
----------
U.S. TREASURY OBLIGATIONS (E) -- 0.9%
U.S. Treasury Bills (A)
5.033%, 12/28/06 $ 1,100 1,096
4.971%, 12/21/06 75 75
4.942%, 02/22/07 2,423 2,395
4.914%, 01/18/07 2,150 2,136
4.770%, 12/14/06 50 50
U.S. Treasury Inflationary
Index Notes 2.375%, 04/15/11 7,480 7,521
----------
Total U.S. Treasury Obligations
(Cost $13,236) ($ Thousands) 13,273
----------
EQUITY LINKED WARRANTS -- 0.4%
TAIWAN -- 0.3%
HON HAI Precision Industry* 594 4,321
----------
THAILAND -- 0.1%
High Tech Computer* 97 2,242
----------
Total Equity Linked Warrants
(Cost $4,231) ($ Thousands) 6,563
----------
- --------------------------------------------------------------------------------
178 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousand)(1)/Contracts ($ Thousands)
- -------------------------------------------------------------------------------
MASTER NOTE (C) (E) -- 0.3%
Bank of America
5.383%, 12/01/45 $ 4,499 $ 4,499
----------
Total Master Note
(Cost $4,499) ($ Thousands) 4,499
----------
CERTIFICATES OF DEPOSIT (C) -- 0.2%
Barclays Bank (D)
5.330%, 06/11/07 900 900
CC USA MTN (F)
5.379%, 06/18/07 1,799 1,799
US Trust Company New York (D)
5.316%, 03/13/07 720 720
----------
Total Certificates of Deposit
(Cost $3,419) ($ Thousands) 3,419
----------
PURCHASED OPTION -- 0.0%
120 Day Euro Futures Call,
Expires 12/16/06,
Strike Price $95 100 87
----------
Total Purchased Option
(Cost $78) ($ Thousands) 87
----------
Number
of Rights
---------
RIGHTS -- 0.0%
FRANCE -- 0.0%
Scor, Expires 11/29/06 (B) 577 69
----------
HONG KONG -- 0.0%
Kingboard Laminate Entitlement,
Expires 12/07/06 4 --
----------
Total Rights
(Cost $--) ($ Thousands) 69
----------
REPURCHASE AGREEMENTS (C) (I) -- 1.3%
ABN Amro
5.300%, dated 11/30/06, to be
repurchased on 12/01/06,
repurchase price $7,198,936
(collateralized by
U.S. GovernmentObligations,
ranging in par value $89,973-
$2,699,204, 0.000%-6.000%,
03/01/07-07/01/36, total market
value $7,341,834) 7,198 7,198
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousand)(1)/Contracts ($ Thousands)
- -------------------------------------------------------------------------------
Barclays Capital
5.300%, dated 11/30/06, to be
repurchased on 12/01/06,
repurchase price $1,531,970
(collateralized by
U.S. Government Obligations,
ranging in par value $33,560-
$477,219, 2.750%-5.700%,
12/15/06-05/27/15, total market
value $1,562,403) $ 1,532 $ 1,532
Deutsche Bank
5.300%, dated 11/30/06, to be
repurchased on 12/01/06,
repurchase price $612,665
(collateralized by
U.S. Government Obligations,
ranging in par value $170,770-
$463,183, 0.000%-5.800%,
05/01/07-01/27/20, total market
value $624,870) 613 613
Lehman Brothers
5.300%, dated 11/30/06, to be
repurchased on 12/01/06,
repurchase price $11,147,931
(collateralized by
U.S. Government Obligations,
ranging in par value $82,506-
$13,909,555, 3.085%-6.300%,
12/21/07-01/15/30,total market
value $11,369,283) 11,146 11,146
----------
Total Repurchase Agreements
(Cost $20,489) ($ Thousands) 20,489
----------
Total Investments -- 111.7%
(Cost $1,522,814) ($ Thousands) $1,721,068
==========
WRITTEN OPTION -- 0.0%
120 Day Euro Futures Call,
Expires 12/15/06,
Strike Price $95 (100) (107)
----------
Total Written Option
(Premium Received $(70)) ($ Thousands) $ (107)
----------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 179
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund (Continued)
November 30, 2006
- -------------------------------------------------------------------------------
A summary of the open futures contracts held by the Fund at November 30, 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$ (60) Mar-2007 $ --
90-Day Euro$ (60) Mar-2008 (64)
90-Day Euro$ (46) Mar-2009 (62)
90-Day Euro$ (46) Mar-2010 (61)
90-Day Euro$ (39) Mar-2011 (62)
90-Day Euro$ (82) Jun-2007 (45)
90-Day Euro$ (55) Jun-2008 (60)
90-Day Euro$ (46) Jun-2009 (61)
90-Day Euro$ (49) Jun-2010 (66)
90-Day Euro$ (7) Jun-2011 (10)
90-Day Euro$ (60) Sep-2007 (38)
90-Day Euro$ (57) Sep-2008 (67)
90-Day Euro$ (46) Sep-2009 (62)
90-Day Euro$ (51) Sep-2010 (69)
90-Day Euro$ 4 Sep-2011 4
90-Day Euro$ (38) Dec-2006 13
90-Day Euro$ (60) Dec-2007 (54)
90-Day Euro$ (46) Dec-2008 (63)
90-Day Euro$ (46) Dec-2009 (62)
90-Day Euro$ (50) Dec-2010 (73)
Amsterdam Exchange Index 68 Dec-2006 (321)
CAC40 10 Euro 220 Dec-2006 (252)
DAX Index 71 Dec-2006 822
DJ Euro Stoxx 50 Index 252 Dec-2006 511
Euro-Bund (24) Dec-2006 (37)
FTSE 100 Index 413 Dec-2006 985
Hang Seng Index 39 Dec-2006 9
Ibex 35 Index 39 Dec-2006 (158)
MSCI Singapore Index 37 Dec-2006 16
Nikkei 225 Index 4 Dec-2006 (3)
OMX Index 549 Dec-2006 (326)
S&P/MIB Index 35 Dec-2006 376
S&P/TSE 60 Index 161 Dec-2006 1,786
SPI 200 Index 137 Dec-2006 998
Topix Index 335 Dec-2006 (800)
U.S. 10-Year Note 23 Mar-2007 10
U.S. 2-Year Note (6) Mar-2007 (2)
U.S. 5-Year Note 27 Dec-2006 5
U.S. 5-Year Note (188) Mar-2007 (72)
U.S. Long Treasury Bond (8) Dec-2006 (6)
------
$2,579
======
A summary of the outstanding forward foreign currency contracts held by the Fund
at November 30, 2006, is as follows (see Note 2 in Notes to Financial
Statements):
- --------------------------------------------------------------------------------
UNREALIZED
CURRENCY TO CURRENCY TO APPRECIATION
MATURITY DELIVER RECEIVE (DEPRECIATION)
DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
12/20/06 USD 11,135 CAD 12,695 $ (12)
12/20/06 USD 1,282 DKK 7,367 29
12/20/06 USD 52,763 EUR 40,699 1,224
12/20/06 USD 2,702 HKD 21,023 2
12/20/06 USD 1,388 NOK 8,850 50
12/20/06 USD 232 NZD 345 4
12/20/06 USD 4,249 SEK 29,679 94
12/20/06 USD 1,427 SGD 2,213 11
12/21/06 EUR 22,792 USD 29,185 (1,050)
12/21/06 HKD 90,819 USD 11,677 (6)
12/21/06 MXP 57,519 USD 5,270 44
12/21/06 USD 4,609 ZAR 33,616 69
12/20/06-12/21/06 USD 29,346 AUD 38,173 771
12/20/06-12/21/06 USD 69,081 GBP 36,305 2,334
12/21/06-2/21/07 GBP 3,523 JPY 776,000 (186)
12/21/06-4/24/07 CHF 21,800 GBP 9,336 42
12/21/06-4/24/07 CHF 24,400 USD 19,754 (774)
- --------------------------------------------------------------------------------
UNREALIZED
CURRENCY TO CURRENCY TO APPRECIATION
MATURITY DELIVER RECEIVE (DEPRECIATION)
DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
12/21/06-4/24/07 GBP 5,897 CHF 13,700 $ (71)
12/21/06-4/24/07 JPY 3,126,000 USD 27,038 (309)
12/21/06-4/24/07 USD 43,755 CHF 53,968 1,498
12/21/06-4/24/07 USD 62,633 JPY 7,251,334 447
12/21/06-5/22/07 JPY 2,076,000 GBP 9,483 506
12/21/06-5/22/07 JPY 3,128,000 NZD 41,381 687
12/21/06-5/22/07 NZD 27,528 JPY 2,086,000 (417)
-------
$ 4,987
=======
A summary of the outstanding swap agreements held by the Fund at November 30,
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 IG 10YR Index
plus 22.5 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.
(Counter Party: Bank of America) 05/01/07 $ 60,000 $ (6)
Fund receives payment on the monthly
reset spread from Banc of
America -- CMBS AAA 10YR Index
plus 10 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.
(Counter Party: Bank of America) 02/01/07 250,000 (31)
Fund receives payment on the monthly
reset spread from Banc of
America -- CMBS AAA 10YR Index
plus 12.5 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.
(Counter Party: Bank of America) 02/28/07 100,000 (13)
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.
(Counter Party: Bank of America) 03/01/07 180,000 (24)
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.
(Counter Party: JPMorgan Chase) 03/31/07 150,000 (20)
Fund receives payment on the monthly
reset spread from Lehman
Brothers -- CMBS AAA 8.5+ Index
plus 12.5 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 depreciate
over the payment period.
(Counter Party: Wachovia Bank) 06/01/07 90,000 --
Fund receives payment on the monthly
reset spread from Lehman
Brothers -- 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.
(Counter Party: Wachovia Bank) 02/28/07 170,000 (20)
- --------------------------------------------------------------------------------
180 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
Fund receives payment on the monthly
reset spread from Swiss Market
Index -- TRS 3M CHF Libor 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.
Counter Party: JPMorgan Chase) 01/17/07 $ 9,619 $ (88)
-----
$(202)
=====
- --------------------------------------------------------------------------------
CREDIT DEFAULT SWAP
- --------------------------------------------------------------------------------
Fund receives 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.
(Counter Party: JPMorgan Chase) 07/25/45 $ 12,500 $ (1)
The Fund pays quarterly payment of
0.0875% (0.350% per annum) times
notional amount of, Alcan Inc
4.875%, 09/15/12. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: Bank of America) 12/20/13 1,000 --
The Fund pays quarterly payment of
0.1375% (0.550% per annum) times
notional amount of, Black &
Decker Corp 7.125%, 06/01/11.
Upon a defined credit event, the
fund will receive the notional
amount and deliver the defined
obligation.
(Counter Party: Bank of America) 12/20/11 1,000 --
The Fund pays quarterly payment of
0.1113% (0.445% per annum) times
notional amount of, Darden
Restaurants Inc. 7.125%, 02/01/16.
Upon a defined credit event, the
fund will receive the notional
amount and deliver the defined
obligation.
(Counter Party: Bank of America) 12/20/11 1,000 (1)
The Fund pays quarterly payment of
0.1063% (0.425% per annum) times
notional amount of, Eastman
Chemical Co. 7.600%, 02/01/27.
Upon a defined credit event, the
fund will receive the notional
amount and deliver the defined
obligation.
(Counter Party: Bank of America) 12/20/11 1,000 (1)
The Fund pays quarterly payment of
0.2950% (1.180% per annum) times
notional amount of, Gap Inc.
9.000%, 12/15/08. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: Bank of America) 12/20/11 1,000 1
The Fund pays quarterly payment of
0.0975% (0.390% per annum) times
notional amount of, Johnson
Controls Inc. 7.125%, 07/15/17.
Upon a defined credit event, the
fund will receive the notional
amount and deliver the defined
obligation.
(Counter Party: Bank of America) 12/20/13 1,000 (2)
The Fund pays quarterly payment of
0.1188% (0.475% per annum) times
notional amount of, Ltd. Brands
Inc. 6.125%, 12/01/12. Upon a
defined credit event, the fund
will receive the notional amount
and deliver the defined
obligation.
(Counter Party: Bank of America) 12/20/11 1,000 --
The Fund pays quarterly payment of
0.1825% (0.730% per annum) times
notional amount of, Masco Corp.
5.875%, 07/15/12. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: Bank of America) 12/20/13 1,000 (2)
The Fund pays quarterly payment of
0.0875% (0.350% per annum) times
notional amount of, MGIC
Investment Corp. 6.000%, 03/15/07.
Upon a defined credit event, the
fund will receive the notional
amount and deliver the defined
obligation.
(Counter Party: Bank of America) 12/20/13 1,000 (2)
The Fund pays quarterly payment of
0.1188% (0.475% per annum) times
notional amount of, MeadWestvaco
6.850%, 04/01/12. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: Bank of America) 12/20/11 1,000 1
- --------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
The Fund pays quarterly payment of
0.0550% (0.220% per annum) times
notional amount of, Nucor Corp.
4.875%, 10/01/12. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: Bank of America) 12/20/11 $ 1,000 $ (2)
The Fund pays quarterly payment of
0.0875% (0.350% per annum) times
notional amount of, PMI Group Inc.
6.000%, 09/15/16. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: Bank of America) 12/20/13 1,000 (1)
The Fund pays quarterly payment of
0.0875% (0.350% per annum) times
notional amount of, Radian Group
Inc. 7.750%, 06/01/11. Upon a
defined credit event, the fund
will receive the notional amount
and deliver the defined
obligation.
(Counter Party: Bank of America) 12/20/13 1,000 (1)
The Fund pays quarterly payment of
0.0475% (0.190% per annum) times
notional amount of, TJX Cos Inc
7.450%, 12/15/09. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: Bank of America) 12/20/11 1,000 (1)
The Fund pays quarterly payment of
0.1125% (0.450% per annum) times
notional amount of, Wayerhaeuser
Co. 6.750%, 03/15/12. Upon a
defined credit event, the fund
will receive the notional amount
and deliver the defined
obligation.
(Counter Party: Bank of America) 12/20/11 1,000 2
The Fund pays quarterly payment of
0.0850% (0.340% per annum) times
notional amount of, Agrium Inc.
8.250%, 02/15/11. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: JP Morgan) 12/20/11 1,000 --
The Fund pays quarterly payment of
0.1150% (0.460% per annum) times
notional amount of, Autotzone Inc
5.875%, 10/15/12. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined
obligation.
(Counter Party: JP Morgan) 12/20/11 1,000 --
The Fund pays quarterly payment of
0.1375% (0.550% per annum) times
notional amount of, Black & Decker
Corp. 7.125%, 06/01/11. Upon a
defined credit event, the fund
will receive the notional amount
and deliver the defined
obligation.
(Counter Party: JP Morgan) 12/20/11 1,000 (1)
The Fund pays quarterly payment of
0.0650% (0.260% per annum) times
notional amount of, Dow Chemical
Co. 6.000%, 10/01/12. Upon a
defined credit event, the fund
will receive the notional amount
and
deliver the defined obligation.
(Counter Party: JP Morgan) 12/20/13 1,000 (3)
The Fund pays quarterly payment of
0.2950% (1.180% per annum) times
notional amount of, Gap Inc.
9.800%, 12/15/08. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: JP Morgan) 12/20/11 1,000 1
The Fund pays quarterly payment of
0.0975% (0.390% per annum) times
notional amount of, Hasbro Inc
2.750%, 12/01/21. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: JP Morgan) 12/20/11 1,000 (1)
The Fund pays quarterly payment of
0.1925% (0.770% per annum) times
notional amount of, Jones Apparel
Group Inc. 5.125%, 11/15/14. Upon
a defined credit event, the fund
will receive the notional amount
and deliver the defined
obligation.
(Counter Party: JP Morgan) 12/20/11 1,000 (1)
The Fund pays quarterly payment of
0.0700% (0.280% per annum) times
notional amount of, Nordstrom Inc
6.950%, 03/15/28. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: JP Morgan) 12/20/13 1,000 --
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 181
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund (Concluded)
November 30, 2006
- -------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
The Fund pays quarterly payment of
0.0675% (0.270% per annum) times
notional amount of, Southwest
Airlines Co. 6.500%, 03/01/12.
Upon a defined credit event, the
fund will receive the notional
amount and deliver the defined
obligation.
(Counter Party: JP Morgan) 12/20/11 $ 1,000 $ 1
The Fund pays quarterly payment of
0.1125% (0.450% per annum) times
notional mount of, Lubrizol Corp.
7.250%, 06/15/25. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
Counter Party: JP Morgan) 12/20/11 1,000 (1)
The Fund pays quarterly payment of
0.0875% (0.350% per annum) times
notional amount of, MGIC
Investment Corp. 6.000%, 03/15/07.
Upon a defined credit event, the
fund will receive the notional
amount and deliver the defined
obligation.
(Counter Party: JP Morgan) 12/20/13 1,000 (2)
The Fund pays quarterly payment of
0.0550% (0.220% per annum) times
notional amount of, Nucor Corp.
4.875%, 10/01/12. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: JP Morgan) 12/20/11 1,000 (1)
The Fund pays quarterly payment of
0.0875% (0.350% per annum) times
notional amount of, PMI Group Inc.
6.000%, 09/15/16. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: JP Morgan) 12/20/13 1,000 (1)
The Fund pays quarterly payment of
0.0500% (0.200% per annum) times
notional amount of, PPG Industries
Inc 7.050%, 08/15/09. Upon a
defined credit event, the fund
will receive the notional amount
and deliver the defined
obligation.
(Counter Party: JP Morgan) 12/20/11 1,000 (1)
The Fund pays quarterly payment of
0.0975% (0.390% per annum) times
notional amount of, Radian Group
Inc 7.750%, 06/01/11. Upon a
defined credit event, the fund
will receive the notional amount
and deliver the defined
obligation.
(Counter Party: JP Morgan) 12/20/13 1,000 (1)
The Fund pays quarterly payment of
0.0845% (0.340% per annum) times
notional amount of, Whirlpool
Corp. 7.750%, 07/15/16. Upon a
defined credit event, the fund
will receive the notional amount
and deliver the defined
obligation.
(Counter Party: JP Morgan) 12/20/11 1,000 --
The Fund pays quarterly payment of
0.0700% (0.280% per annum) times
notional amount of, Nordstrom Inc.
6.950%, 03/15/28. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: Merrill Lynch) 12/20/13 1,000 --
The Fund pays quarterly payment of
0.0325% (0.130% per annum) times
notional amount of, Lowe's Cos
Inc. 8.250%, 06/01/10. Upon a
defined credit event, the fund
will receive the notional amount
and deliver the defined
obligation.
(Counter Party: Merrill Lynch) 12/20/11 1,000 1
The Fund pays quarterly payment of
0.0675% (0.270% per annum) times
notional amount of, Southwest
Airlines Co. 6.500%, 03/01/12.
Upon a defined credit event, the
fund will receive the notional
amount and deliver the defined
obligation.
(Counter Party: Merrill Lynch) 12/20/11 1,000 1
The Fund pays quarterly payment of
0.1125% (0.450% per annum) times
notional amount of, Lubrizol Corp.
7.250%, 06/15/25. Upon a defined
credit event, the fund will
receive the notional amount and
deliver the defined obligation.
(Counter Party: Merrill Lynch) 12/20/11 1,000 (1)
The Fund pays quarterly payment of
0.2250% (0.900% per annum) times
notional amount of, MDZ Holdings
Inc 5.500%, 05/15/13. Upon a
defined credit event, the fund
will receive the notional amount
and deliver the defined
obligation.
(Counter Party: Merrill Lynch) 12/20/11 1,000 (1)
- --------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
The Fund pays quarterly payment of
0.1725% (0.690% per annum) times
notional amount of, RR Donnelley &
Sons Co. 4.950%, 04/01/14. Upon a
defined credit event, the fund
will receive the notional amount
and deliver the defined
obligation.
(Counter Party: Merrill Lynch) 12/20/11 $ 1,000 $ --
The Fund receives quarterly payment
of 0.1000% (0.400% per annum)
times notional amount of,
CDX.NA.IG Series 7 index. Upon a
defined credit event, the fund
will receive the notional amount
and deliver the defined
obligation.
(Counter Party: Bank of America) 12/20/11 18,400 41
The Fund receives quarterly payment
of 0.1000% (0.400% per annum)
times notional amount of,
CDX.NA.IG Series 7 index. Upon a
defined credit event, the fund
will receive the notional amount
and deliver the defined
obligation.
(Counter Party: Merrill Lynch) 12/20/11 18,400 41
-----
$ 61
=====
Percentages are based on Net Assets of $1,540,778 ($ Thousands).
* Non-Income Producing Security
** Rate shown is the 7-day effective yield as of November 30, 2006.
+ Real Estate Investments Trust
(1) In U.S. dollars unless otherwise indicated.
(A) Security, or portion thereof, has been pledged as collateral on open futures
contracts.
(B) This security or a partial position of this security is on loan at November
30, 2006 (See Note 9). The total value of securities on loan at November 30,
2006 was $94,320 ($ Thousands).
(C) This security was purchased with cash collateral held from securities
lending (See Note 9). The total value of such securities as of November 30,
2006 was $98,552 ($ Thousands).
(D) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of November 30, 2006.
(F) 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.
(E) The rate reported is the effective yield at time of purchase.
(G) Step Bonds -- The rate reflected on the Schedule of Investments is the
effective yield on November 30, 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) Tri-Party Repurchase Agreement
(J) 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.
(K) Security, or a poriton of this security, has been pledged as collateral on
reverse repurchase agreements.
ADR -- American Depositary Receipt
ARM -- Adjustable Rate Mortgage
AUD -- Australian Dollar
CAD -- Canadian Dollar
CDO -- Collateralized Debt Obligation
CHF -- Swiss Franc
Cl -- Class
CMO -- Collateralized Mortgage Obligation
DKK -- Danish Krone
EUR -- Euro
EXL -- Extendable Maturity
- --------------------------------------------------------------------------------
182 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
DESCRIPTION
- --------------------------------------------------------------------------------
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
LLC -- Limited Liability Company
MTN -- Medium Term Note
MXP -- Mexican Peso
NIM -- Net Interest Margin
NOK -- Norwegian Krone
NVDR -- Non-Voting Depositary Receipt
NZD -- New Zealand Dollar
SDR -- Swedish Depositary Receipt
SEK -- Swedish Krona
Ser -- Series
SGD -- Singapore Dollar
STRIPS -- Separately Traded Registered Interest and Principal Securities
TBA -- To Be Announced
USD -- U.S. Dollar
ZAR -- South African Rand
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 183
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund
November 30, 2006
- --------------------------------------------------------------------------------
[Bar Chart Omitted]
Plot points as follows:
SECTOR WEIGHTINGS++:
85.9% Government
5.0% Financials
3.1% Deposits to Counterparty as Collateral for Swap Contracts
1.6% Energy
1.0% Short-Term Investments
1.0% Basic Materials
0.5% Commercial Paper
0.5% Industrials
0.4% Asset-Backed Securities
0.3% Telecommunication Services
0.3% Utilities
0.2% Certificates of Deposit
0.2% Master Note
++Percentages based on total investments. Includes investments
held as collateral for securities on loan (see Note 9).
- -------------------------------------------------------------------------------
Face Amount Market Value
Description (Thousands)(1) ($ Thousands)
- -------------------------------------------------------------------------------
GLOBAL BONDS -- 90.1%
ARGENTINA -- 7.3%
Cia Transporte Energia (H)
9.000%, 12/15/15 255 $ 254
Province Del Neuquen (A)
8.656%, 10/18/14 230 236
Province of Buenos Aires
9.375%, 09/14/18 440 447
2.000%, 05/15/35 (H) 800 394
Province of Mendoza
5.500%, 09/04/18 113 95
Republic of Argentina
10.250%, 01/26/07 (I) EUR 850 352
9.000%, 06/20/03 (I) EUR 3,000 1,173
9.000%, 11/19/08 (I) EUR 1,000 197
9.000%, 05/29/09 (I) EUR 1,375 548
8.500%, 07/01/04 (I) EUR 4,300 1,699
8.280%, 12/31/33 (C) 14,334 14,592
8.125%, 04/21/08 (I) EUR 3,000 1,194
7.820%, 12/31/33 EUR 210 277
5.589%, 08/03/12 (B) 13,875 9,900
1.330%, 12/31/38 (H) 17,380 8,647
0.000%, 12/31/33 (B) 3,550 1,613
0.000%, 12/15/35 (B) 3,315 427
Republic of Argentina MTN, Ser E
10.000%, 01/07/05 (I) EUR 1,650 698
9.250%, 07/20/04 (I) EUR 2,100 842
8.750%, 02/04/49 (I) EUR 5,000 2,078
8.000%, 10/30/09 (I) EUR 2,000 393
7.000%, 03/18/49 (I) EUR 2,300 930
Republic of Argentina, Ser F
0.000%, 10/15/04 (I) EUR 1,425 317
Transportadora Gas Norte (H)
6.500%, 12/31/12 85 80
--------
47,383
--------
- -------------------------------------------------------------------------------
Face Amount Market Value
Description (Thousands)(1) ($ Thousands)
- -------------------------------------------------------------------------------
BOSNIA-HERZEGOVINA -- 0.1%
Republic of Bosnia &
Herzegovina, Ser B (E)
0.000%, 12/11/17 EUR 2,000 $ 922
BRAZIL -- 11.7%
Federal Republic of Brazil
12.500%, 01/05/16 BRL 10,300 5,023
12.500%, 01/05/22 BRL 19,537 9,595
11.000%, 08/17/40 22,625 30,091
10.125%, 05/15/27 2,000 2,776
8.750%, 02/04/25 12,605 15,467
8.250%, 01/20/34 2,250 2,708
8.000%, 01/15/18 5,895 6,576
7.125%, 01/20/37 2,980 3,166
--------
75,402
--------
CAYMAN ISLANDS -- 0.9%
Blue City Investments
13.750%, 11/07/13 500 497
Vale Overseas
6.875%, 11/21/36 2,785 2,851
6.250%, 01/11/16 2,580 2,608
6.250%, 01/23/17 70 71
--------
6,027
--------
CHILE -- 0.3%
Codelco
5.500%, 10/15/13 575 582
Republic of Chile
5.500%, 01/15/13 1,550 1,581
--------
2,163
--------
CHINA -- 0.6%
People's Republic of China
4.750%, 10/29/13 4,105 4,074
--------
COLOMBIA -- 5.0%
Republic of Colombia
12.000%, 10/22/15 COP 7,104,000 3,575
11.750%, 03/01/10 COP 5,120,000 2,388
11.750%, 02/25/20 4,953 7,083
10.750%, 01/15/13 (C) 2,775 3,424
10.375%, 01/28/33 2,485 3,479
8.125%, 05/21/24 7,605 8,601
7.375%, 01/27/17 2,585 2,751
7.375%, 09/18/37 830 865
7.175%, 02/16/07 (B) 225 232
--------
32,398
--------
- --------------------------------------------------------------------------------
184 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- -------------------------------------------------------------------------------
Face Amount Market Value
Description (Thousands)(1) ($ Thousands)
- -------------------------------------------------------------------------------
CYPRUS -- 0.3%
Springvale Holdings (B)
11.389%, 09/07/07 1,000 $ 1,000
Teorema Holding
9.000%, 10/27/08 600 600
--------
1,600
--------
DOMINICAN REPUBLIC -- 0.2%
Republic of Dominican Republic
8.625%, 04/20/27 1,000 1,135
--------
ECUADOR -- 1.9%
Republic of Ecuador Registered
10.000%, 02/15/07 (H) 3,450 3,243
9.375%, 12/15/15 9,020 9,020
--------
12,263
--------
EL SALVADOR -- 2.5%
Republic of El Salvador
8.250%, 04/10/32 5,290 6,295
7.750%, 01/24/23 1,815 2,075
7.650%, 06/15/35 6,674 7,475
--------
15,845
--------
INDONESIA -- 2.9%
Indonesia Treasury Bond
12.000%, 09/15/11 IDR 27,130,000 3,153
Indosat Finance
7.125%, 06/22/12 1,000 1,007
Republic of Indonesia
8.500%, 10/12/35 1,260 1,511
8.500%, 10/12/35 (A) 1,800 2,182
7.500%, 01/15/16 1,140 1,234
7.500%, 01/15/16 (A) (C) 2,200 2,395
7.250%, 04/20/15 (A) 3,120 3,308
6.875%, 03/09/17 1,100 1,148
6.750%, 03/10/14 2,960 3,064
--------
19,002
--------
IRAQ -- 0.8%
Republic of Iraq
5.800%, 01/15/28 8,150 5,396
--------
IRELAND -- 0.1%
Dal Capital (Vneshtorgbk)
7.000%, 04/13/09 RUB 18,000 696
--------
- -------------------------------------------------------------------------------
Face Amount Market Value
Description (Thousands)(1) ($ Thousands)
- -------------------------------------------------------------------------------
LUXEMBOURG -- 1.2%
Gaz Capital for Gazprom
Registered
9.625%, 03/01/13 1,000 $ 1,191
8.625%, 04/28/34 4,150 5,318
Gazprom OAO
9.625%, 03/01/13 100 119
Kuznetski (Bank of Moscow)
(H)
7.500%, 11/25/15 700 721
RSHB Captl
7.175%, 05/16/13 250 264
--------
7,613
--------
MALAYSIA -- 0.7%
Government of Malaysia
7.500%, 07/15/11 3,805 4,182
Petronas Capital
7.875%, 05/22/22 175 218
--------
4,400
--------
MEXICO -- 5.6%
Mexican Bonos
9.000%, 12/20/12 MXP 14,040 1,357
8.000%, 12/17/15 MXP 28,000 2,583
8.000%, 12/07/23 MXP 76,138 6,947
Pemex Project Funding
Master Trust
9.500%, 09/15/27 (A) 1,800 2,417
7.375%, 12/15/14 530 586
United Mexican States
11.500%, 05/15/26 200 323
8.125%, 12/30/19 5,575 6,827
7.500%, 04/08/33 3,965 4,702
6.625%, 03/03/15 560 601
0.006%, 05/08/17 EUR 5,000 5
United Mexican States MTN
8.300%, 08/15/31 5,140 6,605
8.000%, 09/24/22 1,500 1,835
6.375%, 01/16/13 1,317 1,389
--------
36,177
--------
NETHERLANDS -- 0.5%
Kazkommerts International (A)
7.875%, 04/07/14 265 276
7.500%, 11/29/16 400 395
Majapahti Holding (A)
7.750%, 10/17/16 1,300 1,380
7.250%, 10/17/11 885 909
--------
2,960
--------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 185
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund (Continued)
November 30, 2006
- -------------------------------------------------------------------------------
Face Amount Market Value
Description (Thousands)(1) ($ Thousands)
- -------------------------------------------------------------------------------
NIGERIA -- 0.2%
TuranAlem Finance
8.500%, 02/10/15 280 $ 290
8.000%, 03/24/14 450 456
7.875%, 06/02/10 (A) 680 701
--------
1,447
--------
PAKISTAN -- 0.3%
Pakistan Mobile Communications (A)
8.625%, 11/13/13 650 673
Republic of Pakistan
7.875%, 03/31/36 320 333
7.125%, 03/31/16 (A) 1,150 1,202
--------
2,208
--------
PANAMA -- 1.9%
Republic of Panama
9.375%, 04/01/29 650 866
8.875%, 09/30/27 3,875 4,931
7.250%, 03/15/15 (C) 3,625 3,906
6.700%, 01/26/36 2,715 2,787
--------
12,490
--------
PERU -- 2.9%
Republic of Peru
9.875%, 02/06/15 405 508
8.750%, 11/21/33 (C) 1,080 1,390
8.375%, 05/03/16 1,000 1,167
7.350%, 07/21/25 (C) 8,955 9,873
Republic of Peru FLIRB,
Ser 20YR (B)
5.000%, 03/07/07 5,832 5,774
--------
18,712
--------
PHILIPPINES -- 6.9%
National Power
9.625%, 05/15/28 800 996
6.875%, 11/02/16 (A) 870 876
Republic of Philippines
10.625%, 03/16/25 5,650 7,966
9.500%, 10/21/24 (C) 200 257
9.500%, 02/02/30 15,200 19,912
9.375%, 01/18/17 1,100 1,345
8.250%, 01/15/14 575 642
8.000%, 01/15/16 660 739
7.750%, 01/14/31 8,021 8,913
7.500%, 09/25/24 2,984 3,223
--------
44,869
--------
- -------------------------------------------------------------------------------
Face Amount Market Value
Description (Thousands)(1) ($ Thousands)
- -------------------------------------------------------------------------------
POLAND -- 0.3%
Government of Poland
5.250%, 01/15/14 2,120 $ 2,150
--------
RUSSIA -- 11.4%
Kazan Orgsintez
9.250%, 10/30/11 450 454
Russian Federation Registered
12.750%, 06/24/28 5,800 10,579
8.625%, 05/05/11 930 923
8.250%, 03/31/10 817 857
5.000%, 03/31/07 (H) 1,800 2,044
5.000%, 03/31/30 (H) 51,595 58,596
--------
73,453
--------
SOUTH AFRICA -- 1.2%
Republic of South Africa
7.375%, 04/25/12 (C) 555 603
6.500%, 06/02/14 6,935 7,329
--------
7,932
--------
SUPRA-NATIONAL -- 0.3%
European Investment Bank
10.000%, 01/28/11 3,630 2,011
--------
THAILAND -- 0.4%
Bangkok Land
3.125%, 03/31/01 5,300 2,389
--------
TUNISIA -- 0.4%
Banque Centrale de Tunisie
8.250%, 09/19/27 420 525
7.375%, 04/25/12 1,910 2,070
--------
2,595
--------
TURKEY -- 6.8%
Republic of Turkey
11.875%, 01/15/30 5,025 7,650
9.500%, 01/15/14 4,295 4,982
8.000%, 02/14/34 1,500 1,607
7.375%, 02/05/25 7,510 7,587
7.250%, 03/15/15 6,070 6,256
7.000%, 09/26/16 1,200 1,212
7.000%, 06/05/20 1,900 1,895
6.875%, 03/17/36 7,550 7,116
0.000%, 07/16/08 4,700 2,308
0.000%, 01/19/11 5,650 3,590
--------
44,203
--------
- --------------------------------------------------------------------------------
186 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- -------------------------------------------------------------------------------
Face Amount Market Value
Description (Thousands)(1) ($ Thousands)
- -------------------------------------------------------------------------------
UKRAINE -- 2.1%
Government of Ukraine (A)
6.580%, 11/21/16 4,705 $ 4,698
Government of Ukraine
Registered
7.650%, 06/11/13 2,350 2,534
7.650%, 06/11/13 (C) 900 970
6.875%, 03/04/11 (A) 3,825 3,927
6.625%, 03/04/11 900 925
Naftogaz Ukrainy
8.125%, 09/30/09 600 578
--------
13,632
--------
UNITED KINGDOM -- 0.2%
Credit Suisse First Boston
International (Export/
Import - Ukraine)
6.800%, 10/04/12 400 390
Credit Suisse First Boston
for the City of Kiev
8.000%, 11/06/15 750 776
--------
1,166
--------
UNITED STATES -- 0.2%
UBS Jersey Branch (A) (B)
0.000%, 11/01/13 1,180 1,117
URUGUAY -- 3.9%
Republic of Uruguay
9.250%, 05/17/17 4,450 5,351
8.000%, 11/18/22 5,445 6,071
7.625%, 03/21/36 3,175 3,381
7.500%, 03/15/15 3,625 3,897
5.000%, 09/14/18 73,750 3,257
Republic of Uruguay PIK
7.875%, 01/15/33 2,660 2,913
--------
24,870
--------
VENEZUELA -- 8.1%
Government of Venezuela
13.625%, 08/15/18 1,200 1,794
10.750%, 09/19/13 6,775 8,340
9.375%, 01/13/34 2,300 2,930
9.250%, 09/15/27 18,670 23,319
8.500%, 10/08/14 5,450 6,077
7.650%, 04/21/25 675 712
6.000%, 12/09/20 1,040 950
5.750%, 02/26/16 5,900 5,509
5.750%, 02/26/16 2,800 2,613
--------
52,244
--------
Total Global Bonds
(Cost $557,635) ($ Thousands) 582,944
--------
- -------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------------------------
DEPOSIT WITH COUNTERPARTY AS COLLATERAL FOR
SWAP CONTRACTS (G) -- 3.0%
UNITED STATES -- 3.0%
Deposits with Citigroup as
Collateral for Swap
Contracts Outstanding 400,000 $ 400
Deposits with Citigroup as
Collateral for Swap
Contracts Outstanding 400,000 400
Deposits with Citigroup as
Collateral for Swap
Contracts Outstanding 1,310,000 1,310
Deposits with Credit
Suisse First Boston as
Collateral for Swap
Contracts Outstanding 600,000 600
Deposits with Credit
Suisse First Boston as
Collateral for Swap
Contracts Outstanding 940,000 940
Deposits with Credit
Suisse First Boston as
Collateral for Swap
Contracts Outstanding 940,000 940
Deposits with Credit
Suisse First Boston as
Collateral for Swap
Contracts Outstanding 2,400,000 2,400
Deposits with Deutsche Bank
as Collateral for Swap
Contracts Outstanding 3,970,000 3,970
Deposits with JPMorgan Chase
as Collateral for Swap
Contracts Outstanding 2,992,000 2,992
Deposits with JPMorgan Chase
as Collateral for Swap
Contracts Outstanding 1,047,000 1,047
Deposits with Merrill Lynch
as Collateral for Swap
Contracts Outstanding 243,000 243
Deposits with Standard Bank
as Collateral for Swap
Contracts Outstanding 103,000 103
Deposits with Standard Bank
as Collateral for Swap
Contracts Outstanding 72,000 72
Deposits with Standard
Chartered Bank as
Collateral for Swap
Contracts Outstanding 1,969,000 1,969
Deposits with Standard
Chartered Bank as
Collateral for Swap
Contracts Outstanding 1,166,000 1,166
Deposits with Standard
Chartered Bank as
Collateral for Swap
Contracts Outstanding 806,000 806
--------
Total Deposit with Counterparty as
Collateral for Swap Contracts
(Cost $19,358) ($ Thousands) 19,358
--------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 187
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund (Continued)
November 30, 2006
- -------------------------------------------------------------------------------
Face Amount Market Value
Description (Thousands)(1) ($ Thousands)
- -------------------------------------------------------------------------------
CORPORATE OBLIGATIONS (D) -- 2.5%
UNITED STATES -- 2.5%
Allstate Life Global
Funding II MTN (A) (B)
5.360%, 12/17/07 $ 253 $ 253
American General Finance
(A) (B)
5.350%, 12/17/07 797 797
Bear Stearns EXL (B)
5.360%, 12/17/07 978 978
Countrywide Financial MTN,
Ser A (B)
5.448%, 10/31/07 1,154 1,154
Dekabank (A) (B)
5.394%, 11/20/07 1,017 1,017
Glitnir Bank (A) (B)
5.370%, 04/06/07 1,292 1,292
Irish Life & Permanent MTN,
Ser X (A) (B)
5.360%, 12/21/07 731 731
Jackson National Life
Funding (A) (B)
5.320%, 12/03/07 1,209 1,209
Kaupthing Bank MTN (A) (B)
5.380%, 03/20/07 1,374 1,374
Landsbanki Islands (A) (B)
5.400%, 03/16/07 1,044 1,044
Morgan Stanley EXL (B)
5.380%, 01/04/08 192 192
Morgan Stanley EXL,
Ser S (B)
5.340%, 12/05/07 275 275
Natexis Banques (A) (B)
5.300%, 12/17/07 536 536
Nationwide Building Society
(A) (B)
5.424%, 10/26/07 302 302
5.350%, 12/07/07 550 550
Nordbank (A) (B)
5.350%, 12/24/07 934 934
Northern Rock (A) (B)
5.360%, 12/03/07 566 566
Pacific Life Global Funding
(A) (B)
5.370%, 12/13/07 412 412
Premium Asset Trust,
Ser 2004-10 (A) (B)
5.360%, 12/17/07 770 770
SLM EXL, Ser S (B)
5.320%, 12/17/07 605 605
Skandinav Enskilda Bank
(A) (B)
5.320%, 12/18/07 605 605
Stanfield Victoria MTN (D)
5.445%, 06/11/07 550 550
--------
Total Corporate Obligations
(Cost $16,145) ($ Thousands) 16,146
--------
- -------------------------------------------------------------------------------
Face Amount Market Value
Description (Thousands)(1) ($ Thousands)
- -------------------------------------------------------------------------------
COMMERCIAL PAPER (D) (E) -- 0.6%
UNITED STATES -- 0.6%
Broadhollow Funding
5.305%, 12/07/06 $ 308 $ 307
KKR Pacific Funding Trust
5.345%, 12/27/06 550 548
5.305%, 01/02/07 275 273
Ocala Funding LLC
5.320%, 12/18/06 275 274
5.320%, 01/26/07 275 273
Rhineland Funding Capital
5.385%, 01/25/07 346 343
5.364%, 12/27/06 275 274
5.364%, 02/13/07 272 269
5.313%, 12/12/06 181 181
Witherspoon CDO Funding
5.330%, 03/15/07 474 474
Witherspoon CDO Funding
Limited
5.329%, 12/15/06 275 274
--------
Total Commercial Paper
(Cost $3,490) ($ Thousands) 3,490
--------
ASSET-BACKED SECURITIES (A) (B) (D) -- 0.2%
UNITED STATES -- 0.2%
Commodore, Ser 2003-2A,
Cl A1MM
5.470%, 12/12/38 253 253
Duke Funding, Ser 2004-6B,
Cl A1S1
5.440%, 10/09/07 412 412
Newcastle CDO Limited,
Ser 2005-6A, Cl IM1
5.340%, 04/24/07 110 110
Park Place Securities NIM
Trust, Ser 2004-MM1,
Cl AM6
5.350%, 02/26/07 163 163
Saturn Ventures II
5.380%, 02/07/07 443 443
TIAA Real Estate,
Ser 2003-1A, Cl A1
5.350%, 09/28/07 409 409
--------
Total Asset-Backed Securities
(Cost $1,790) ($ Thousands) 1,790
--------
MASTER NOTE (D) (E) -- 0.2%
Bank of America
5.383%, 12/01/45 1,374 1,374
--------
Total Master Note
(Cost $1,374) ($ Thousands) 1,374
--------
- --------------------------------------------------------------------------------
188 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- -------------------------------------------------------------------------------
Face Amount Market Value
Description (Thousands)(1) ($ Thousands)
- -------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT (D) -- 0.2%
UNITED STATES -- 0.2%
Barclays Bank (B)
5.330%, 06/11/07 $ 275 $ 275
CC USA MTN (A)
5.379%, 06/18/07 549 549
US Trust Company New York
(B)
5.316%, 03/13/07 220 220
--------
Total Certificates of Deposit
(Cost $1,044) ($ Thousands) 1,044
--------
LOAN PARTICIPATIONS -- 0.0%
NIGERIA -- 0.0%
PPMC GTEE Note (J) (K)
0.000%, 04/15/07 180 180
--------
Total Loan Participations
(Cost $180) ($ Thousands) 180
--------
EURODOLLAR -- 0.0%
BERMUDA -- 0.0%
Renaissance Securities Trust,
Ser 1, Tranche 2, MTN
8.750%, 11/17/09 100 100
--------
Total Eurodollar(Cost $100) ($ Thousands) 100
--------
REPURCHASE AGREEMENTS (D) (F) -- 1.0%
ABN Amro
5.300%, dated 11/30/06, to be
repurchased on 12/01/06,
repurchase price $2,198,915
(collateralized by
U.S. Government Obligations,
ranging in par value $27,482-
$824,472, 0.000%-6.000%,
03/01/07-07/01/36, total
market value $2,242,563) 2,199 2,199
Barclays Capital
5.300%, dated 11/30/06, to be
repurchased on 12/01/06,
repurchase price $467,940
(collateralized by
U.S. Government Obligations,
ranging in par value $10,251-
$145,767, 2.750%-5.700%,
12/15/06-05/27/15, total
market value $477,236) 468 468
- -------------------------------------------------------------------------------
Face Amount Market Value
Description (Thousands)(1) ($ Thousands)
- -------------------------------------------------------------------------------
Deutsche Bank
5.300%, dated 11/30/06, to be
repurchased on 12/01/06,
repurchase price $187,139
(collateralized by
U.S. Government Obligations,
ranging in par value $52,162-
$141,479, 0.000%-5.800%,
05/01/07-01/27/20, total
market value $190,867) $ 187 $ 187
Lehman Brothers
5.300%, dated 11/30/06, to be
repurchased on 12/01/06,
repurchase price $3,405,135
(collateralized by
U.S. Government Obligations,
ranging in par value $25,201-
$4,248,673, 3.085%-6.300%,
12/21/07-01/15/30, total
market value $3,472,747) 3,405 3,405
--------
Total Repurchase Agreements
(Cost $6,259) ($ Thousands) 6,259
--------
Total Investments -- 97.8%
(Cost $607,375) ($ Thousands) $632,685
========
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 189
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund (Concluded)
November 30, 2006
- -------------------------------------------------------------------------------
A summary of the open futures contracts held by the Fund at November 30, 2006,
is as follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
APPRECIATION
TYPE OF NUMBER OF EXPIRATION (DEPRECIATION)
CONTRACT CONTRACTS DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
U.S. Long Treasury Bond (37) Mar-2007 $(30)
====
- --------------------------------------------------------------------------------
A summary of the outstanding forward foreign currency contracts held by the Fund
at November 30, 2006, is as follows (see Note 2 in Notes to Financial
Statements):
- --------------------------------------------------------------------------------
UNREALIZED
CURRENCY TO CURRENCY TO APPRECIATION
MATURITY DELIVER RECEIVE (DEPRECIATION)
DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
12/4/06 BRL 6,027 USD 2,800 $ 21
12/4/06-1/3/07 USD 8,025 BRL 17,392 (18)
12/7/06-12/22/06 USD 1,400 PHP 70,231 15
12/15/06 TRY 3,700 USD 2,518 (20)
12/15/06 USD 2,507 TRY 3,700 31
12/18/06 PLZ 12,041 USD 3,851 (335)
12/18/06 USD 11,977 PLZ 36,690 775
12/22/06 PHP 70,231 USD 1,408 (7)
1/10/07-3/12/07 USD 300 NGN 38,544 --
1/16/07-3/22/07 USD 6,623 RUB 179,431 217
1/18/07-2/22/07 USD 11,151 MXP 121,562 (129)
1/23/07-2/22/07 EUR 9,086 USD 11,516 (557)
1/25/07 USD 7,063 ZAR 52,697 245
1/25/07 ZAR 10,602 USD 1,471 1
----
$239
====
A summary of the outstanding swap agreements held by the Fund at November 30,
2006, is as follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
TOTAL RETURN SWAPS
- --------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ 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 $ 18
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 22
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 4,450 158
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 19
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 63
- --------------------------------------------------------------------------------
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) 05/15/07 $ 113,696 $ 53
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 10
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 Bank) 04/08/07 277,075 134
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 51
Fund receives payment at maturity
on the Zambian ZMK 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) 12/26/06 1,626,116 (5)
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 9,152 8
----
$531
====
- --------------------------------------------------------------------------------
CREDIT DEFAULT SWAP
- --------------------------------------------------------------------------------
Fund receives semi-annual payment
of 0.800% (1.600% per annum)
times the notional amount of JSC
Gazprom, 8.625%, 04/28/34. Upon
a defined credit event, Fund
pays the notional amount and
takes receipt of the defined
deliverable obligation.
(Counterparty: Credit Suisse
First Boston) 08/20/16 $ 600 $ 7
Fund receives semi-annual payment
on the notional amount of Naftogaz
Ukrainy, 8.125%, 09/30/09. Upon a
defined credit event, Fund pays
the notional amount and takes
receipt of the defined deliverable
obligation. (Counterparty: Credit
Suisse First Boston) 12/20/07 940 --
Fund receives semi-annual payment
on the notional amount of Naftogaz
Ukrainy, 8.125%, 09/30/09. Upon a
defined credit event, Fund pays
the notional amount and takes
receipt of the defined deliverable
obligation. (Counterparty: Credit
Suisse First Boston) 12/20/08 940 --
Fund receives semi-annual payment
on the notional amount of Naftogaz
Ukrainy, 8.125%, 09/30/09. Upon a
defined credit event, Fund pays
the notional amount and takes
receipt of the defined deliverable
obligation. (Counterparty: Credit
Suisse First Boston) 12/20/08 2,400 --
Fund receives semi-annual payment
of 0.355% (0.710% per annum) times
the notional amount of Russian
Federation Registered, 5.000%,
03/31/30. Upon a defined credit
event, Fund pays the notional
amount and takes receipt of the
defined deliverable obligation.
(Counterparty: Deutsche Bank) 01/20/16 3,970 80
----
$ 87
====
- --------------------------------------------------------------------------------
190 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- -------------------------------------------------------------------------------
Description
- -------------------------------------------------------------------------------
Percentages are based on Net Assets of $646,792 ($ Thousands).
* Non-Income Producing Security
(1) In U.S. dollars unless otherwise indicated.
(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) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of November 30, 2006.
(C) This security or a partial position of this security is on loan at November
30, 2006 (see Note 9). The total value of securities on loan at November 30,
2006 was $28,622 ($ Thousands).
(D) This security was purchased with cash collateral held from securities
lending (see Note 9). The total value of such securities as of November 30,
2006 was $30,103 ($ 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
effective yield on November 30, 2006. The coupon on a step bond changes on a
specified date.
(I) Security in default on interest payments.
(J) Securities considered illiquid. The total value of such securities as of
November 30, 2006 was $100 ($ Thousands) and represented 0.02% of Net
Assets.
(K) Security fair valued using methods determined in good faith by the Valuation
Committee of the Board of Trustees. The total value of such securities as of
November 30, 2006 was $100 ($ Thousands) and represented 0.02% of Net
Assets.
BRL -- Brazilian Real
CDO -- Collateralized Debt Obligation
CHF -- Swiss Franc
Cl -- Class
COP -- Chilean Peso
EUR -- Euro
EXL -- Extendable Maturity
FLIRB -- Front Loaded Interest Reduction Bond
IDR -- Indonesian Rupiah
LLC -- Limited Liability Company
MTN -- Medium Term Note
MXP -- Mexican Peso
NGN -- Nigerian Naira
NIM -- Net Interest Margin
PHP -- Philippines Peso
PIK -- Payment-in Kind
PLZ -- Polish Zloty
RUB -- Russian Ruble
Ser -- Series
TRY -- New Turkish Lira
USD -- U.S. Dollar
UYU -- Uruguay Peso
ZAR -- South African Rand
Amounts designated as "--" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 191
Statements of Assets and Liabilities ($ Thousands)
November 30, 2006 (Unaudited)
- ------------------------------------------------------------------------------------------------------------------------------------
LARGE CAP LARGE CAP
DISCIPLINED DIVERSIFIED
LARGE CAP EQUITY ALPHA
FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments at value+ $684,651* $6,832,590* $362,258
Repurchase agreements+ 10,493* 95,713* --
Affiliated investment, at value++ 20,703 345,626 18,054
Cash -- 20,641 69
Foreign currency, at value+++ -- 733 --
Restricted cash held for securities sold short -- -- 98
Receivable for investment securities sold 122,665 26,935 11,236
Receivable for fund shares sold 411 168,532 119,807
Dividends and interest receivable 1,406 16,550 580
Receivable for variation margin 33 1,219 39
Reclaim receivable -- -- --
Deposit from brokers for forward foreign currency contracts -- -- --
Unrealized gain on forward foreign currency contracts -- 1,045 --
Unrealized gain on swap contracts -- -- --
Unrealized gain of foreign spot currency contracts -- -- --
Prepaid expenses 9 60 1
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 840,371 7,509,644 512,142
- ------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable upon return on securities loaned 50,473 460,385 --
Payable for securities sold short+++++ -- -- 33,031
Payable for investment securities purchased 843 240,415 74,821
Payable for fund shares redeemed 107,776 136,607 40,398
Payable for variation margin -- 929 24
Investment advisory fees payable 158 1,097 78
Trustees' fees payable 2 14 --
Overdraft of Foreign currency, at value+++ -- -- 8
Options written, at value++++ -- 588 --
Payable to custodian 32 -- --
Income distribution payable -- -- --
Reverse repurchase agreements -- -- --
Unrealized loss on forward foreign currency contracts -- 1,231 --
Unrealized loss on foreign spot currency contracts -- -- --
Unrealized loss on swap contracts -- 231 4
Accrued foreign cap gains tax -- -- --
Accrued expense payable 54 186 14
- ------------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 159,338 841,683 148,378
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $681,033 $6,667,961 $363,764
- ------------------------------------------------------------------------------------------------------------------------------------
+ Cost of investments and repurchase agreements 579,398 6,212,844 344,697
++ Cost of affiliated investments 20,703 345,626 18,054
+++ Cost of foreign currency -- 919 (8)
++++ Premiums received -- (386) --
+++++ Proceeds from securities sold short -- -- (31,335)
* Includes market value of securities on loan 49,038 449,388 --
NET ASSETS:
Paid-in-Capital -- (unlimited authorization -- no par value) $763,738 $5,725,223 $345,604
Undistributed (distributions in excess of)
net investment income 1,961 30,846 920
Accumulated net realized gain (loss) loss on investments,
securities sold short, option contracts, futures contracts,
swaps and foreign currency (200,904) 125,734 (902)
Net unrealized appreciation on investments,
securities sold short, and option contracts 115,746 715,257 15,865
Net unrealized appreciation (depreciation) on futures contracts 492 71,511 2,281
Net unrealized appreciation (depreciation) on swaps -- (231) (4)
Net unrealized depreciation on foreign cap gain tax -- -- --
Net unrealized appreciation (depreciation) on forward foreign
currency contracts, foreign currencies and translation of
other assets and liabilities denominated in foreign currencies -- (379) --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $681,033 $6,667,961 $363,764
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price Per Share
-- Class A $ 18.50 $ 13.55 $ 10.83
- ------------------------------------------------------------------------------------------------------------------------------------
($681,032,682 / ($6,667,960,533 / ($363,763,927 /
36,802,700 shares) 492,220,333 shares) 33,586,810 shares)
- ---------------------------------------------------------------------------------------------------------------
LARGE CAP
INDEX SMALL CAP
FUND FUND
- ---------------------------------------------------------------------------------------------------------------
ASSETS:
Investments at value+ $393,002* $2,357,641*
Repurchase agreements+ 6,689* 94,441*
Affiliated investment, at value++ 6,390 80,877
Cash -- --
Foreign currency, at value+++ -- 53
Restricted cash held for securities sold short -- --
Receivable for investment securities sold 1,286 26,063
Receivable for fund shares sold 99 9,352
Dividends and interest receivable 806 1,415
Receivable for variation margin 4 73
Reclaim receivable -- 1
Deposit from brokers for forward foreign currency contracts -- --
Unrealized gain on forward foreign currency contracts -- --
Unrealized gain on swap contracts -- --
Unrealized gain of foreign spot currency contracts -- --
Prepaid expenses 5 22
- ---------------------------------------------------------------------------------------------------------------
Total Assets 408,281 2,569,938
- ---------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable upon return on securities loaned 32,173 454,271
Payable for securities sold short+++++ -- --
Payable for investment securities purchased -- 24,973
Payable for fund shares redeemed 509 22,685
Payable for variation margin -- --
Investment advisory fees payable 14 881
Trustees' fees payable 1 6
Overdraft of Foreign currency, at value+++ -- --
Options written, at value++++ -- --
Payable to custodian 13 107
Income distribution payable -- --
Reverse repurchase agreements -- --
Unrealized loss on forward foreign currency contracts -- --
Unrealized loss on foreign spot currency contracts -- 1
Unrealized loss on swap contracts -- --
Accrued foreign cap gains tax -- --
Accrued expense payable 15 47
- ---------------------------------------------------------------------------------------------------------------
Total Liabilities 32,725 502,971
- ---------------------------------------------------------------------------------------------------------------
Net Assets $375,556 $2,066,967
- ---------------------------------------------------------------------------------------------------------------
+ Cost of investments and repurchase agreements 287,309 2,161,431
++ Cost of affiliated investments 6,352 80,877
+++ Cost of foreign currency -- 53
++++ Premiums received -- --
+++++ Proceeds from securities sold short -- --
* Includes market value of securities on loan 31,399 439,023
NET ASSETS:
Paid-in-Capital -- (unlimited authorization -- no par value) $260,895 $1,558,151
Undistributed (distributions in excess of)
net investment income 1,300 1,040
Accumulated net realized gain (loss) loss on investments,
securities sold short, option contracts, futures contracts,
swaps and foreign currency 460 214,070
Net unrealized appreciation on investments,
securities sold short, and option contracts 112,420 290,651
Net unrealized appreciation (depreciation) on futures contracts 481 3,055
Net unrealized appreciation (depreciation) on swaps -- --
Net unrealized depreciation on foreign cap gain tax -- --
Net unrealized appreciation (depreciation) on forward foreign
currency contracts, foreign currencies and translation of
other assets and liabilities denominated in foreign currencies -- --
- ---------------------------------------------------------------------------------------------------------------
Net Assets $375,556 $2,066,967
- ---------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price Per Share
-- Class A $ 124.28 $ 16.74
- ---------------------------------------------------------------------------------------------------------------
($375,556,466 / ($2,066,967,281 /
3,021,906 shares) 123,448,264 shares)
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.~
- --------------------------------------------------------------------------------
192 Institutional Investments Trust/Semi-Annual Report/November 30, 2006
<Page>
- ------------------------------------------------------------------------------------------------------------------------------------
SMALL/MID CORE
CAP FIXED LONG
EQUITY INCOME DURATION
FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments at value+ $1,721,794* $6,683,214* $190,560
Repurchase agreements+ 67,118* 696,818* --
Affiliated investment, at value++ 83,346 98,249 3,782
Cash -- 1,720 63
Foreign currency, at value+++ 33 3,956 --
Restricted cash held for securities sold short -- -- --
Receivable for investment securities sold 25,703 828,268 565
Receivable for fund shares sold 44,228 79,498 --
Dividends and interest receivable 1,441 37,861 1,011
Receivable for variation margin 147 1,192 --
Reclaim receivable 1 153 --
Deposit from brokers for forward foreign currency contracts -- 180 --
Unrealized gain on forward foreign currency contracts -- 1,390 --
Unrealized gain on swap contracts -- -- 902
Unrealized gain of foreign spot currency contracts -- -- --
Prepaid expenses 14 19 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 1,943,825 8,432,518 196,885
- ------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable upon return on securities loaned 322,846 1,136,235 --
Payable for securities sold short+++++ -- -- --
Payable for investment securities purchased 26,712 1,726,310 13,999
Payable for fund shares redeemed 37,072 111,146 --
Payable for variation margin -- 374 --
Investment advisory fees payable 605 503 24
Trustees' fees payable 4 13 1
Overdraft of Foreign currency, at value+++ -- -- --
Options written, at value++++ -- 453 --
Payable to custodian 675 -- --
Income distribution payable -- 579 --
Reverse repurchase agreements -- -- --
Unrealized loss on forward foreign currency contracts -- 472 --
Unrealized loss on foreign spot currency contracts 1 -- --
Unrealized loss on swap contracts -- 45 --
Accrued foreign cap gains tax -- -- --
Accrued expense payable 45 126 12
- ------------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 387,960 2,976,256 14,036
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $1,555,865 $5,456,262 $182,849
- ------------------------------------------------------------------------------------------------------------------------------------
+ Cost of investments and repurchase agreements 1,605,231 7,307,633 189,856
++ Cost of affiliated investments 83,346 98,249 3,782
+++ Cost of foreign currency 33 3,967 --
++++ Premiums received -- (557) --
+++++ Proceeds from securities sold short -- -- --
* Includes market value of securities on loan 313,892 1,100,042 --
NET ASSETS:
Paid-in-Capital -- (unlimited authorization -- no par value) $1,254,413 $5,445,798 $184,301
Undistributed (distributions in excess of)
net investment income 1,726 (158) (548)
Accumulated net realized gain (loss) loss on investments,
securities sold short, option contracts, futures contracts,
swaps and foreign currency 112,134 (65,059) (2,510)
Net unrealized appreciation on investments,
securities sold short, and option contracts 183,681 72,503 704
Net unrealized appreciation (depreciation) on futures contracts 3,911 2,305 --
Net unrealized appreciation (depreciation) on swaps -- (45) 902
Net unrealized depreciation on foreign cap gain tax -- -- --
Net unrealized appreciation (depreciation) on forward foreign
currency contracts, foreign currencies and translation of
other assets and liabilities denominated in foreign currencies -- 918 --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $1,555,865 $5,456,262 $182,849
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price Per Share
-- Class A $ 14.48 $ 10.18 $ 10.06
- ------------------------------------------------------------------------------------------------------------------------------------
($1,555,864,729 / ($5,456,262,274 / ($182,848,864 /
107,480,099 shares) 535,925,490 shares) 18,175,669 shares)
- ------------------------------------------------------------------------------------------------------------------------------------
EXTENDED HIGH YIELD INTERNATIONAL
DURATION BOND EQUITY
FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments at value+ $287,319 $1,059,198* $1,961,773*
Repurchase agreements+ -- 23,971* 31,599*
Affiliated investment, at value++ 6,333 55,249 14,248
Cash -- -- 35,577
Foreign currency, at value+++ -- -- 12,271
Restricted cash held for securities sold short -- -- --
Receivable for investment securities sold 19,727 14,453 35,027
Receivable for fund shares sold 43,063 32,641 1,266
Dividends and interest receivable 1,784 18,051 3,668
Receivable for variation margin -- 28 801
Reclaim receivable -- -- 446
Deposit from brokers for forward foreign currency contracts -- -- --
Unrealized gain on forward foreign currency contracts -- -- 10,302
Unrealized gain on swap contracts 9,529 -- --
Unrealized gain of foreign spot currency contracts -- -- 4
Prepaid expenses 3 8 19
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 367,758 1,203,599 2,107,001
- ------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable upon return on securities loaned -- 115,304 151,994
Payable for securities sold short+++++ -- -- --
Payable for investment securities purchased 41,495 35,575 112,830
Payable for fund shares redeemed 22 8,640 11,926
Payable for variation margin -- -- 1,024
Investment advisory fees payable 38 273 524
Trustees' fees payable 1 2 5
Overdraft of Foreign currency, at value+++ -- -- --
Options written, at value++++ -- -- 96
Payable to custodian 6 567 --
Income distribution payable -- 157 --
Reverse repurchase agreements -- -- 43,984
Unrealized loss on forward foreign currency contracts -- -- 3,580
Unrealized loss on foreign spot currency contracts -- -- 3
Unrealized loss on swap contracts -- -- 199
Accrued foreign cap gains tax -- -- 31
Accrued expense payable 14 22 718
- ------------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 41,576 160,540 326,914
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $326,182 $1,043,059 $1,780,087
- ------------------------------------------------------------------------------------------------------------------------------------
+ Cost of investments and repurchase agreements 285,890 1,070,139 1,678,705
++ Cost of affiliated investments 6,333 55,249 14,248
+++ Cost of foreign currency -- -- 11,948
++++ Premiums received -- -- (63)
+++++ Proceeds from securities sold short -- -- --
* Includes market value of securities on loan -- 107,812 148,835
NET ASSETS:
Paid-in-Capital -- (unlimited authorization -- no par value) $321,469 $1,028,385 $1,109,573
Undistributed (distributions in excess of)
net investment income (884) 25 47,196
Accumulated net realized gain (loss) loss on investments,
securities sold short, option contracts, futures contracts,
swaps and foreign currency (5,361) 1,576 301,888
Net unrealized appreciation on investments,
securities sold short, and option contracts 1,429 13,030 314,634
Net unrealized appreciation (depreciation) on futures contracts -- 43 141
Net unrealized appreciation (depreciation) on swaps 9,529 -- (199)
Net unrealized depreciation on foreign cap gain tax -- -- (31)
Net unrealized appreciation (depreciation) on forward foreign
currency contracts, foreign currencies and translation of
other assets and liabilities denominated in foreign currencie -- -- 6,885
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $326,182 $1,043,059 $1,780,087
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price Per Share
-- Class A $ 10.57 $ 10.18 $ 15.61
- ------------------------------------------------------------------------------------------------------------------------------------
($326,182,092 / ($1,043,059,410 / ($1,780,087,428 /
30,859,506 shares) 107,102,510,901 shares) 114,046,172 shares)
- ---------------------------------------------------------------------------------------------------------------
EMERGING
WORLD EQUITY MARKETS
EX-US DEBT
FUND FUND
- ---------------------------------------------------------------------------------------------------------------
ASSETS:
Investments at value+ $1,674,860* $626,426*
Repurchase agreements+ 20,489* 6,259*
Affiliated investment, at value++ 25,719 --
Cash 60,351 9,789
Foreign currency, at value+++ 1,673 --
Restricted cash held for securities sold short -- --
Receivable for investment securities sold 44,281 6,807
Receivable for fund shares sold 71,646 26,264
Dividends and interest receivable 2,837 10,379
Receivable for variation margin 1,028 --
Reclaim receivable 175 --
Deposit from brokers for forward foreign currency contracts -- 350
Unrealized gain on forward foreign currency contracts 7,812 1,305
Unrealized gain on swap contracts -- 654
Unrealized gain of foreign spot currency contracts 12 --
Prepaid expenses 12 5
- ---------------------------------------------------------------------------------------------------------------
Total Assets 1,910,895 688,238
- ---------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable upon return on securities loaned 98,552 30,103
Payable for securities sold short+++++ -- --
Payable for investment securities purchased 178,137 6,694
Payable for fund shares redeemed 45,200 1,034
Payable for variation margin 1,199 25
Investment advisory fees payable 651 260
Trustees' fees payable 3 --
Overdraft of Foreign currency, at value+++ -- 2,228
Options written, at value++++ 107 --
Payable to custodian -- --
Income distribution payable -- --
Reverse repurchase agreements 42,724 --
Unrealized loss on forward foreign currency contracts 2,825 1,066
Unrealized loss on foreign spot currency contracts 2 19
Unrealized loss on swap contracts 141 --
Accrued foreign cap gains tax 226 --
Accrued expense payable 350 17
- ---------------------------------------------------------------------------------------------------------------
Total Liabilities 370,117 41,446
- ---------------------------------------------------------------------------------------------------------------
Net Assets $1,540,778 $646,792
- ---------------------------------------------------------------------------------------------------------------
+ Cost of investments and repurchase agreements 1,497,095 607,375
++ Cost of affiliated investments 25,719 --
+++ Cost of foreign currency 1,609 (2,217)
++++ Premiums received (70) --
+++++ Proceeds from securities sold short -- --
* Includes market value of securities on loan 94,320 28,622
NET ASSETS: $1,243,453 $611,534
Paid-in-Capital -- (unlimited authorization -- no par value)
Undistributed (distributions in excess of) 27,777 7,620
net investment income
Accumulated net realized gain (loss) loss on investments,
securities sold short, option contracts, futures contracts, 64,731 1,474
swaps and foreign currency
Net unrealized appreciation on investments, 198,217 25,310
securities sold short, and option contracts 2,579 (30)
Net unrealized appreciation (depreciation) on futures contracts (141) 654
Net unrealized appreciation (depreciation) on swaps (226) --
Net unrealized depreciation on foreign cap gain tax
Net unrealized appreciation (depreciation) on forward foreign
currency contracts, foreign currencies and translation of 4,388 230
other assets and liabilities denominated in foreign currencies
- ---------------------------------------------------------------------------------------------------------------
Net Assets $1,540,778 $646,792
- ---------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price Per Share
-- Class A $ 14.60 $ 10.80
- ---------------------------------------------------------------------------------------------------------------
($1,540,777,695 / ($646,791,577 /
105,548,695 shares) 59,896,807 shares)
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 193
<page>
Statements of Operations ($ Thousands)
For the six month period ended November 30, 2006 (Unaudited)
- -------------------------------------------------------------------------------------------------------------------------
LARGE CAP LARGE CAP
DISCIPLINED DIVERSIFIED
LARGE CAP EQUITY ALPHA
FUND FUND FUND
- -------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends $ 6,379 $ 40,677 $ 1,274
Dividends from Affiliated Registered Investment Company (1) 339 5,875 453
Interest Income 48 28,085 509
Income from Securities Lending 57 223 --
Less: Foreign Taxes Witheld -- (1) --
- -------------------------------------------------------------------------------------------------------------------------
Total Investment Income 6,823 74,859 2,236
- -------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 1,585 11,308 386
Administration Fees 198 1,414 48
Trustee Fees 4 31 1
Custodian/Wire Agent Fees 35 144 6
Professional Fees 11 92 3
Printing Fees 6 44 1
Registration Fees 2 43 4
Interest Expense on Reverse Repurchase Agreements -- 397 --
Dividend Expense -- -- 85
Interest Expense on Short Sales -- -- 71
Other Expenses 18 54 2
- -------------------------------------------------------------------------------------------------------------------------
Total Expenses 1,859 13,527 607
- -------------------------------------------------------------------------------------------------------------------------
Less:
Waiver of Investment Advisory Fees (631) (5,508) (66)
Waiver of Administration Fees (198) (1,414) (48)
Fees Paid Indirectly (1) (10) -- --
- -------------------------------------------------------------------------------------------------------------------------
Net Expenses 1,020 6,605 493
- -------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 5,803 68,254 1,743
- -------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Investments 20,003 29,788 (1,389)
Affiliated Investments -- -- --
Securities Sold Short -- -- (720)
Futures Contracts 1,336 (7,391) 365
Written Options -- 154 --
Swap Contracts -- 1,494 19
Foreign Currency Transactions -- 108 --
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON:
Investments 49,211 413,081 20,099
Affiliated Investments -- -- --
Securities Sold Short -- -- (2,351)
Futures Contracts 492 101,418 2,845
Written Options -- (110) --
Swap Contracts -- (215) 6
Foregin Cap Gain Tax -- -- --
Foreign Currency and Translation of Other Assets and
Liabilities Denominated in Foreign Currency -- (326) --
- -------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $76,845 $606,255 $20,617
- -------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------
LARGE CAP
INDEX SMALL CAP
FUND FUND
- ----------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends $ 3,325 $ 9,104
Dividends from Affiliated Registered Investment Company (1) 172 1,304
Interest Income 18 933
Income from Securities Lending 27 --
Less: Foreign Taxes Witheld -- (20)
- ----------------------------------------------------------------------------------------------------------
Total Investment Income 3,542 11,321
- ----------------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 312 6,234
Administration Fees 92 480
Trustee Fees 2 12
Custodian/Wire Agent Fees 11 64
Professional Fees 7 35
Printing Fees 3 17
Registration Fees -- 1
Interest Expense on Reverse Repurchase Agreements -- --
Dividend Expense -- --
Interest Expense on Short Sales -- --
Other Expenses 8 26
- ----------------------------------------------------------------------------------------------------------
Total Expenses 435 6,869
- ----------------------------------------------------------------------------------------------------------
Less:
Waiver of Investment Advisory Fees (233) (1,210)
Waiver of Administration Fees (92) (480)
Fees Paid Indirectly (1) -- (193)
- ----------------------------------------------------------------------------------------------------------
Net Expenses 110 4,986
- ----------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 3,432 6,335
- ----------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Investments 1,060 71,326
Affiliated Investments 7 --
Securities Sold Short -- --
Futures Contracts 45 2,015
Written Options -- --
Swap Contracts -- --
Foreign Currency Transactions -- (24)
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON:
Investments 33,706 76,026
Affiliated Investments 16 --
Securities Sold Short -- --
Futures Contracts 630 3,055
Written Options -- --
Swap Contracts -- --
Foregin Cap Gain Tax -- --
Foreign Currency and Translation of Other Assets and
Liabilities Denominated in Foreign Currency -- --
- ----------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $38,896 $158,733
- ----------------------------------------------------------------------------------------------------------
(1) See Note 3 in the Notes to the Financial Statements.
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
194 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- ------------------------------------------------------------------------------------------------------------------------------------
SMALL/MID CORE
CAP FIXED LONG EXTENDED
EQUITY INCOME DURATION DURATION
FUND FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends $ 7,050 $ 233 $ -- $ --
Dividends from Affiliated Registered Investment Company (1) 1,459 2,207 84 128
Interest Income 42 131,724 4,820 7,136
Income from Securities Lending 387 826 -- --
Less: Foreign Taxes Witheld (12) -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Investment Income 8,926 134,990 4,904 7,264
- ------------------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 4,263 7,522 259 371
Administration Fees 328 1,254 43 62
Trustee Fees 8 29 1 1
Custodian/Wire Agent Fees 45 160 5 6
Professional Fees 23 86 3 4
Printing Fees 11 42 2 2
Registration Fees 6 22 -- 1
Interest Expense on Reverse Repurchase Agreements -- -- -- --
Dividend Expense -- -- -- --
Interest Expense on Short Sales -- -- -- --
Other Expenses 15 59 16 19
- ------------------------------------------------------------------------------------------------------------------------------------
Total Expenses 4,699 9,174 329 466
- ------------------------------------------------------------------------------------------------------------------------------------
Less:
Waiver of Investment Advisory Fees (1,092) (4,410) (113) (156)
Waiver of Administration Fees (328) (1,254) (43) (62)
Fees Paid Indirectly (1) (137) -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Expenses 3,142 3,510 173 248
- ------------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 5,784 131,480 4,731 7,016
- ------------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Investments 20,076 11,903 (229) (50)
Affiliated Investments -- -- -- --
Securities Sold Short -- -- -- --
Futures Contracts (667) (2,070) -- --
Written Options -- 902 -- --
Swap Contracts -- (80) (293) (745)
Foreign Currency Transactions -- (412) -- --
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON:
Investments 94,316 152,788 2,127 3,375
Affiliated Investments -- -- -- --
Securities Sold Short -- -- -- --
Futures Contracts 3,919 7,090 -- --
Written Options -- (140) -- --
Swap Contracts -- 85 11,462 41,688
Foregin Cap Gain Tax -- -- -- --
Foreign Currency and Translation of Other Assets and
Liabilities Denominated in Foreign Currency -- 1,398 -- --
- ------------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $123,428 $302,944 $17,798 $51,284
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
EMERGING
HIGH YIELD INTERNATIONAL WORLD EQUITY MARKETS
BOND EQUITY EX-US DEBT
FUND FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends $ 1,021 $ 19,158 $ 11,126 $ 10
Dividends from Affiliated Registered Investment Company (1) 1,246 503 1,162 --
Interest Income 36,775 5,074 5,021 17,727
Income from Securities Lending 213 622 246 45
Less: Foreign Taxes Witheld -- (1,053) (852) --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Investment Income 39,255 24,304 16,703 17,782
- ------------------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 2,256 4,235 3,167 2,298
Administration Fees 230 419 288 135
Trustee Fees 6 10 6 1
Custodian/Wire Agent Fees 23 492 293 28
Professional Fees 17 29 18 10
Printing Fees 8 14 8 5
Registration Fees 5 3 17 4
Interest Expense on Reverse Repurchase Agreements -- 1,345 1,225 --
Dividend Expense -- -- -- --
Interest Expense on Short Sales -- -- -- --
Other Expenses 5 39 29 14
- ------------------------------------------------------------------------------------------------------------------------------------
Total Expenses 2,550 6,586 5,051 2,495
- ------------------------------------------------------------------------------------------------------------------------------------
Less:
Waiver of Investment Advisory Fees (709) (1,950) (248) (871)
Waiver of Administration Fees (230) (419) (288) (135)
Fees Paid Indirectly (1) -- (20) (12) --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Expenses 1,611 4,197 4,503 1,489
- ------------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 37,644 20,107 12,200 16,293
- ------------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Investments (3,055) 113,667 13,953 (997)
Affiliated Investments -- -- -- --
Securities Sold Short -- -- -- --
Futures Contracts 55 4,737 6,528 (112)
Written Options -- 57 3 --
Swap Contracts -- 751 765 140
Foreign Currency Transactions -- (2,262) (1,826) (415)
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON:
Investments 13,370 32,191 112,318 41,995
Affiliated Investments -- -- -- --
Securities Sold Short -- -- -- --
Futures Contracts 89 2,587 4,409 (30)
Written Options -- (18) (20) --
Swap Contracts -- 142 323 589
Foregin Cap Gain Tax -- 7 (117) --
Foreign Currency and Translation of Other Assets and
Liabilities Denominated in Foreign Currency -- 7,562 4,883 (256)
- ------------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $48,103 $179,528 $153,419 $57,207
- ------------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 195
Statements of Changes in Net Assets ($ Thousands)
For the period ended November 30, 2006 (Unaudited) and the year ended May 31, 2006
LARGE CAP LARGE CAP
DISCIPLINED DIVERSIFIED
LARGE CAP FUND EQUITY FUND ALPHA FUND(3)
- ------------------------------------------------------------------------------------------------------------------------------------
6/1/06 6/1/05 6/1/06 6/1/05 6/1/06 2/28/06
to 11/30/06 to 5/31/06 to 11/30/06 to 5/31/06 to 11/30/06 to 5/31/06
- ------------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 5,803 $ 17,264 $ 68,254 $ 90,360 $ 1,743 $ 604
Net Realized Gain (Loss) from Investments,
Affiliated Investments, Securities Sold Short,
Written Options, Futures Contracts and
Swap Contracts 21,339 181,097(4) 24,045 265,538 (1,725) 855
Net Realized Gain (Loss) on Foreign Currency
Transactions -- -- 108 (1,945) -- --
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Affiliated
Investments, Securities Sold Short, Written
Options, Futures Contracts and Swap Contracts 49,703 (59,095) 514,174 18,798 20,599 (2,457)
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Cap Gain Tax -- -- -- -- -- --
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Currency
Transactions -- -- (326) (53) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 76,845 139,266 606,255 372,698 20,617 (998)
- ------------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (6,525) (19,617) (60,903) (77,248) (1,292) (167)
Net Realized Gains:
Class A -- -- -- (203,409) -- --
Class T -- -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (6,525) (19,617) (60,903) (280,657) (1,292) (167)
- ------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:(1)
CLASS A:
Proceeds from Shares Issued 16,318 64,999 1,604,907(2) 1,990,928(2) 264,229(2) 154,549
Reinvestment of Dividends & Distributions 6,503 18,627 60,106 278,155 966 117
Cost of Shares Redeemed (213,325) (1,153,807)(6) (480,820) (954,069) (59,802) (14,455)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions (190,504) (1,070,181) 1,184,193 1,315,014 205,393 140,211
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS T:
Proceeds from Shares Issued -- -- -- -- -- --
Reinvestment of Dividends & Distributions -- -- -- -- -- --
Cost of Shares Redeemed -- (36) -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Decrease in Net Assets Derived
from Class T Transactions -- (36) -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions (190,504) (1,070,217) 1,184,193 1,315,014 205,393 140,211
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (120,184) (950,568) 1,729,545 1,407,055 224,718 139,046
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 801,217 1,751,785 4,938,416 3,531,361 139,046 --
- ------------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 681,033 $ 801,217 $6,667,961 $4,938,416 $363,764 $139,046
- ------------------------------------------------------------------------------------------------------------------------------------
Undistributed (Distribution in Excess of)
Net Investment Income Included in
Net Assets at Period End $ 1,961 $ 2,683 $ 30,846 $ 23,495 $ 920 $ 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.
- --------------------------------------------------------------------------------
196 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- ------------------------------------------------------------------------------------------------------------
LARGE CAP
INDEX FUND SMALL CAP FUND
- ------------------------------------------------------------------------------------------------------------
6/1/06 6/1/05 6/1/06 6/1/05
to 11/30/06 to 5/31/06 to 11/30/06 to 5/31/06
- ------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 3,432 $ 6,331 $ 6,335 $ 8,079
Net Realized Gain (Loss) from Investments,
Affiliated Investments, Securities Sold Short,
Written Options, Futures Contracts and
Swap Contracts 1,112 4,064 73,341 252,103(5)
Net Realized Gain (Loss) on Foreign Currency
Transactions -- -- (24) (7)
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Affiliated
Investments, Securities Sold Short, Written
Options, Futures Contracts and Swap Contracts 34,352 18,810 79,081 46,908
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Cap Gain Tax -- -- -- --
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Currency
Transactions -- -- -- --
- ------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 38,896 29,205 158,733 307,083
- ------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (3,565) (5,960) (8,870) (6,512)
Net Realized Gains:
Class A -- (3,638) -- (132,939)
Class T -- -- -- (4)
- ------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (3,565) (9,598) (8,870) (139,455)
- ------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:(1)
CLASS A:
Proceeds from Shares Issued 11,383 89,506 141,685 553,160(2)
Reinvestment of Dividends & Distributions 3,415 8,989 8,512 132,742
Cost of Shares Redeemed (41,657) (71,721) (184,231) (513,260)(6)
- ------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions (26,859) 26,774 (34,034) 172,642
- ------------------------------------------------------------------------------------------------------------
CLASS T:
Proceeds from Shares Issued -- -- -- --
Reinvestment of Dividends & Distributions -- -- -- 3
Cost of Shares Redeemed -- -- -- (117)
- ------------------------------------------------------------------------------------------------------------
Decrease in Net Assets Derived
from Class T Transactions -- -- -- (114)
- ------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions (26,859) 26,774 (34,034) 172,528
- ------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 8,472 46,381 115,829 340,156
- ------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 367,084 320,703 1,951,138 1,610,982
- ------------------------------------------------------------------------------------------------------------
END OF PERIOD $375,556 $367,084 $2,066,967 $1,951,138
- ------------------------------------------------------------------------------------------------------------
Undistributed (Distribution in Excess of)
Net Investment Income Included in
Net Assets at Period End $ 1,300 $ 1,433 $ 1,040 $ 3,575
- ------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------
SMALL/MID CAP CORE FIXED
EQUITY FUND INCOME FUND
- ------------------------------------------------------------------------------------------------------------
6/1/06 6/1/05 6/1/06 6/1/05
to 11/30/06 to 5/31/06 to 11/30/06 to 5/31/06
- ------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 5,784 $ 7,380 $ 131,480 $ 202,566
Net Realized Gain (Loss) from Investments,
Affiliated Investments, Securities Sold Short,
Written Options, Futures Contracts and
Swap Contracts 19,409 122,485 10,655 (66,645)
Net Realized Gain (Loss) on Foreign Currency
Transactions -- (30) (412) (32)
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Affiliated
Investments, Securities Sold Short, Written
Options, Futures Contracts and Swap Contracts 98,235 32,495 159,823 (136,030)
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Cap Gain Tax -- -- -- --
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Currency
Transactions -- -- 1,398 (1,399)
- ------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 123,428 162,330 302,944 (1,476)
- ------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (6,188) (6,272) (131,684) (210,525)
Net Realized Gains:
Class A -- (48,124) -- (3,202)
Class T -- -- -- --
- ------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (6,188) (54,396) (131,684) (213,727)
- ------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:(1)
CLASS A:
Proceeds from Shares Issued 330,102 560,033(2) 990,295 1,519,017
Reinvestment of Dividends & Distributions 6,142 54,236 128,082 207,316
Cost of Shares Redeemed (114,259) (274,460) (479,778) (1,129,976)
- ------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 221,985 339,809 638,599 596,357
- ------------------------------------------------------------------------------------------------------------
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 221,985 339,809 638,599 596,357
- ------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 339,225 447,743 809,859 381,154
- ------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 1,216,640 768,897 4,646,403 4,265,249
- ------------------------------------------------------------------------------------------------------------
END OF PERIOD $1,555,865 $1,216,640 $5,456,262 $ 4,646,403
- ------------------------------------------------------------------------------------------------------------
Undistributed (Distribution in Excess of)
Net Investment Income Included in
Net Assets at Period End $ 1,726 $ 2,130 $ (158) $ 46
- ------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 197
Statements of Changes in Net Assets ($ Thousands)
For the period ended November 30, 2006 (Unaudited) and the year ended May 31, 2006
- ------------------------------------------------------------------------------------------------------------------
LONG EXTENDED
DURATION DURATION
FUND FUND
- ------------------------------------------------------------------------------------------------------------------
6/1/06 6/1/05 6/1/06 6/1/05
to 11/30/06 to 5/31/06 to 11/30/06 to 5/31/06
- ------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 4,731 $ 6,234 $ 7,016 $ 8,976
Net Realized Gain (Loss) from Investments,
Written Options, Futures Contracts and
Swap Contracts (522) (1,715) (795) (2,264)
Net Realized Gain (Loss) on Foreign Currency
Transactions -- -- -- --
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Written Options,
Futures Contracts and Swap Contracts 13,589 (14,378) 45,063 (49,207)
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 17,798 (9,859) 51,284 (42,495)
- ------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income
Class A (4,406) (7,087) (6,302) (12,291)
Net Realized Gains:
Class A -- (1,170) -- (4,323)
- ------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (4,406) (8,257) (6,302) (16,614)
- ------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:(1)
CLASS A:
Proceeds from Shares Issued 1,479 119,916 60,628 135,387
Reinvestment of Dividends and Distributions 4,406 8,257 6,302 16,614
Cost of Shares Redeemed (1,752) (20,787) (8,653) (24,748)
- ------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 4,133 107,386 58,277 127,253
- ------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions 4,133 107,386 58,277 127,253
- ------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 17,525 89,270 103,259 68,144
- ------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 165,324 76,054 222,923 154,779
- ------------------------------------------------------------------------------------------------------------------
END OF PERIOD $182,849 $165,324 $326,182 $222,923
- ------------------------------------------------------------------------------------------------------------------
Undistributed (Distributions in excess of) Net
Investment Income Included in Net Assets
at Period End $ (548) $ (873) $ (884) $ (1,598)
- ------------------------------------------------------------------------------------------------------------------
(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 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.
- --------------------------------------------------------------------------------
198 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- ------------------------------------------------------------------------------------------------------------------
HIGH YIELD INTERNATIONAL
BOND FUND(2) EQUITY FUND
- ------------------------------------------------------------------------------------------------------------------
6/1/06 12/5/05 6/1/06 6/1/05
to 11/30/06 to 5/31/06 to 11/30/06 to 5/31/06
- ------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 37,644 $ 27,355 $ 20,107 $ 38,858
Net Realized Gain (Loss) from Investments,
Written Options, Futures Contracts and
Swap Contracts (3,000) 4,576 119,212 347,429
Net Realized Gain (Loss) on Foreign Currency
Transactions -- -- (2,262) 4,671
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Written Options,
Futures Contracts and Swap Contracts 13,459 (386) 34,902 63,376
Net Change in Unrealized Depreciation on
Foreign Capital Gains Tax -- -- 7 (38)
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Currency Transactions -- -- 7,562 (277)
- ------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Net Assets Resulting from Operations 48,103 31,545 179,528 454,019
- ------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income
Class A (37,622) (27,352) -- (49,222)
Net Realized Gains:
Class A -- -- -- (14,153)
- ------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (37,622) (27,352) -- (63,375)
- ------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:(1)
CLASS A:
Proceeds from Shares Issued 199,301 896,573 72,109 241,196
Reinvestment of Dividends and Distributions 36,705 26,937 -- 61,850
Cost of Shares Redeemed (65,799) (65,332) (128,535) (713,959)
- ------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 170,207 858,178 (56,426) (410,913)
- ------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions 170,207 858,178 (56,426) (410,913)
- ------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 180,688 862,371 123,102 (20,269)
- ------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 862,371 -- 1,656,985 1,677,254
- ------------------------------------------------------------------------------------------------------------------
END OF PERIOD $1,043,059 $862,371 $1,780,087 $1,656,985
- ------------------------------------------------------------------------------------------------------------------
Undistributed (Distributions in excess of) Net
Investment Income Included in Net Assets
at Period End $ 25 $ 3 $ 47,196 $ 27,089
- ------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------
WORLD EQUITY EMERGING MARKETS
EX-US FUND DEBT FUND(3)
- ------------------------------------------------------------------------------------------------------------------
6/1/06 6/1/05 6/1/06 12/5/05
to 11/30/06 to 5/31/06 to 11/30/06 to 5/31/06
- ------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 12,200 $ 13,042 $ 16,293 $ 9,698
Net Realized Gain (Loss) from Investments,
Written Options, Futures Contracts and
Swap Contracts 21,249 49,169 (969) 2,977
Net Realized Gain (Loss) on Foreign Currency
Transactions (1,826) 4,234 (415) 12
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Written Options,
Futures Contracts and Swap Contracts 117,030 88,398 42,554 (16,620)
Net Change in Unrealized Depreciation on
Foreign Capital Gains Tax (117) (109) -- --
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Currency Transactions 4,883 (484) (256) 486
- ------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Net Assets Resulting from Operations 153,419 154,250 57,207 (3,447)
- ------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income
Class A -- (5,570) (13,127) (5,375)
Net Realized Gains:
Class A -- (572) -- --
- ------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions -- (6,142) (13,127) (5,375)
- ------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:(1)
CLASS A:
Proceeds from Shares Issued 582,749 663,123 136,856 523,743
Reinvestment of Dividends and Distributions -- 5,899 12,798 5,250
Cost of Shares Redeemed (103,972) (142,944) (26,750) (40,363)
- ------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 478,777 526,078 122,904 488,630
- ------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions 478,777 526,078 122,904 488,630
- ------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 632,196 674,186 166,984 479,808
- ------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 908,582 234,396 479,808 --
- ------------------------------------------------------------------------------------------------------------------
END OF PERIOD $1,540,778 $ 908,582 $646,792 $479,808
- ------------------------------------------------------------------------------------------------------------------
Undistributed (Distributions in excess of) Net
Investment Income Included in Net Assets
at Period End $ 27,777 $ 15,577 $ 7,620 $ 4,454
- ------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 199
Financial Highlights
For the period ended November 30, 2006 (Unaudited) and 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
Beginning Investment (Losses) on from Investment Capital and
of Period Income Securities Operations Income Gains Distributions
- ------------------------------------------------------------------------------------------------------------------------------------
LARGE CAP FUND
CLASS A
2006* $ 16.93 $0.13(5) $ 1.58(5) $ 1.71 $(0.14) $ -- $(0.14)
2006 15.53 0.24(5) 1.44(5) 1.68 (0.28) -- (0.28)
2005 14.47 0.25(5) 1.05(5) 1.30 (0.24) -- (0.24)
2004 12.41 0.18(5) 2.09(5) 2.27 (0.21) -- (0.21)
2003 13.82 0.16(5) (1.41)(5) (1.25) (0.16) -- (0.16)
2002 16.31 0.15 (2.48) (2.33) (0.16) -- (0.16)
LARGE CAP DISCIPLINED EQUITY FUND
CLASS A
2006*++ $12.36 $0.87(5) $ 1.69(5) $2.56 $(1.37) $ -- $(1.37)
2006++ 12.05 0.26(5) 0.85(5) 1.11 (0.22) (0.58) (0.80)
2005++ 11.18 0.20(5) 0.94(5) 1.14 (0.18) (0.09) (0.27)
2004(1) 10.00 0.07(5) 1.25(5) 1.32 (0.06) (0.08) (0.14)
LARGE CAP DIVERSIFIED ALPHA FUND
CLASS A
2006* $ 9.94 $0.09(5) $0.87(5) $0.96 $(0.07) $ -- $(0.07)
2006(2) 10.00 0.04(5) (0.09)(5) (0.05) (0.01) -- (0.01)
LARGE CAP INDEX FUND
CLASS A
2006* $113.02 $1.09(5) $11.30(5) $12.39(5) $(1.13) $ -- $(1.13)
2006 106.24 2.06(5) 7.77(5) 9.83 (1.94) (1.11) (3.05)
2005 99.12 1.93(5) 7.20(5) 9.13 (1.82) (0.19) (2.01)
2004+++ 84.90 1.50(5) 14.28(5) 15.78 (1.37) (0.19) (1.56)
2003+++ 93.40 1.10 (8.50)(6) (7.40) (1.10) -- (1.10)
2002(3)+++ 100.00 0.20 (6.80) (6.60) -- -- --
SMALL CAP FUND
CLASS A
2006* $ 15.52 $0.05(5) $ 1.24(5) $ 1.29 $(0.07) $ -- $(0.07)
2006 14.27 0.07(5) 2.55(5) 2.62 (0.06) (1.31) (1.37)
2005 14.70 0.07(5) 1.38(5) 1.45 (0.05) (1.83) (1.88)
2004 11.60 0.06(5) 3.59(5) 3.65 (0.07) (0.48) (0.55)
2003 12.53 0.07(5) (0.94)(5) (0.87) (0.06) -- (0.06)
2002 13.02 0.06 (0.45) (0.39) (0.07) (0.03) (0.10)
SMALL/MID CAP EQUITY FUND
CLASS A
2006*++ $13.38 $0.34(5) $1.40(5) $1.74 $(0.64) $ -- $(0.64)
2006++ 11.96 0.09(5) 1.97(5) 2.06 (0.08) (0.56) (0.64)
2005++ 10.70 0.05(5) 1.38(5) 1.43 (0.05) (0.12) (0.17)
2004(4)++ 10.00 0.02(5) 0.69(5) 0.71 (0.01) -- (0.01)
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of
Expenses Ratio of
to Average Expenses
Net Assets to Average
(Excluding Net Assets Ratio of Net
Ratio of Net Fees Paid (Excluding Investment
Net Asset Net Assets Expenses Indirectly Fees Paid Income Portfolio
Value, End Total End of Period to Average and including Indirectly to Average Turnover
of Period Return+ ($Thousands) Net Assets Waivers) and Waivers) Net Assets Rate+
- ------------------------------------------------------------------------------------------------------------------------------------
LARGE CAP FUND
CLASS A
2006* $ 18.50 10.18% $ 681,033 0.26% 0.26% 0.47% 1.46% 25%
2006 16.93 10.87 801,217 0.25 0.26 0.48 1.47 103
2005 15.53 9.02 1,751,751 0.26 0.26 0.47 1.67 43
2004 14.47 18.37 1,787,850 0.26 0.26 0.48 1.34 109
2003 12.41 (8.98) 3,008,463 0.26 0.26 0.47 1.39 51
2002 13.82 (14.36) 2,938,135 0.26 0.26 0.47 1.03 65
LARGE CAP DISCIPLINED EQUITY FUND
CLASS A
2006*++ $13.55 10.82% $6,667,961 0.23%(7) 0.23%(7) 0.48%(7) 2.41% 69%
2006++ 12.36 9.33 4,938,416 0.24 0.24 0.47 2.10 140
2005++ 12.05 10.26 3,531,361 0.31 0.31 0.47 1.69 71
2004(1) 11.18 13.23 2,285,041 0.33 0.33 0.47 1.33 67
LARGE CAP DIVERSIFIED ALPHA FUND
CLASS A
2006* $10.83 9.72% $ 363,764 0.51%** 0.51%** 0.63% 1.80% 65%
2006(2) 9.94 (0.49) 139,046 0.45** 0.45** 0.66 1.70 47
LARGE CAP INDEX FUND
CLASS A
2006* $124.28 11.04% $ 375,556 0.06% 0.06% 0.24% 1.87% 5%
2006 113.02 9.34 367,084 0.08 0.08 0.24 1.84 20
2005 106.24 9.29 320,703 0.13 0.13 0.24 1.89 8
2004+++ 99.12 18.71 284,711 0.16 0.16 0.24 1.58 6
2003+++ 84.90 (7.79) 142,612 0.20 0.20 0.25 1.67 12
2002(3)+++ 93.40 (6.60) 39,763 0.20 0.20 0.39 1.30 1
SMALL CAP FUND
CLASS A
2006* $16.74 8.36% $2,066,967 0.52% 0.54% 0.72% 0.66% 53%
2006 15.52 18.93 1,951,138 0.52 0.54 0.72 0.44 119
2005 14.27 9.81 1,610,876 0.54 0.54 0.72 0.46 94
2004 14.70 31.76 1,309,254 0.54 0.54 0.72 0.45 135
2003 11.60 (6.83) 1,193,935 0.54 0.54 0.72 0.67 97
2002 12.53 (2.99) 1,102,199 0.54 0.54 0.71 0.54 115
SMALL/MID CAP EQUITY FUND
CLASS A
2006*++ $14.48 8.75% $1,555,865 0.48% 0.50% 0.72% 0.88% 58%
2006++ 13.38 17.51 1,216,640 0.50 0.53 0.72 0.69 123
2005++ 11.96 13.38 768,897 0.62 0.62 0.72 0.47 98
2004(4)++ 10.70 7.15 423,768 0.65 0.65 0.73 0.45 51
* For the six-month period ended November 30, 2006 (Unaudited). All ratios for
the period have been annualized.
** The expense ratio includes dividend and interest expenses. Had these
expenses been excluded the ratio would have been 0.35%.
+ 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 stock split paid to
shareholders of record on November 16, 2006.
+++ Per share amounts have been adjusted for a 10 to 1 reverse stock split paid
to shareholders of record on November 26, 2003.
(1) Commenced operations on 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.
(7) The expense ratio includes interest expense on reverse repurchase
agreements. Had this expense been excluded, the ratios would have been
0.22%, 0.22%, and 0.46%, respectively.
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
200 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- ------------------------------------------------------------------------------------------------------------------------------------
Net Realized
and Distributions
Net Asset Unrealized Dividends from Total
Value, Net Gains Total from Net Realized Dividends
Beginning Investment (Losses) on from Investment Capital and
of Period Income Securities Operations Income Gains Distributions
- ------------------------------------------------------------------------------------------------------------------------------------
CORE FIXED INCOME FUND
CLASS A
<s>
2006* $ 9.84 $0.26(3) $ 0.34(3) $ 0.60 $(0.26) $ -- $(0.26)
2006 10.34 0.47(3) (0.48)(3) (0.01) (0.48) (0.01) (0.49)
2005 10.19 0.41(3) 0.27(3) 0.68 (0.42) (0.11) (0.53)
2004 10.61 0.38(3) (0.26)(3) 0.12 (0.40) (0.14) (0.54)
2003 10.27 0.50 0.60 1.10 (0.50) (0.26) (0.76)
2002 10.49 0.54 0.06 0.60 (0.54) (0.28) (0.82)
LONG DURATION FUND
CLASS A
2006* $ 9.31 $0.27(3) $ 0.73(3) $ 1.00 $(0.25) $ -- $(0.25)
2006 10.56 0.46(3) (1.07)(3) (0.61) (0.54) (0.10) (0.64)
2005 9.77 0.42(3) 1.03(3) 1.45 (0.54) (0.12) (0.66)
2004(1) 10.00 0.05(3) (0.23)(3) (0.18) (0.05) -- (0.05)
EXTENDED DURATION FUND
CLASS A
2006* $ 8.86 $0.27(3) $ 1.68(3) $ 1.95 $(0.24) $ -- $(0.24)
2006 11.96 0.48(3) (2.68)(3) (2.20) (0.68) (0.22) (0.90)
2005 9.53 0.43(3) 2.84(3) 3.27 (0.84) -- (0.84)
2004(1) 10.00 0.05(3) (0.44)(3) (0.39) (0.08) -- (0.08)
HIGH YIELD BOND FUND
CLASS A
2006(2)* $10.08 $0.41(3) $ 0.10(3) $ 0.51 $(0.41) $ -- $(0.41)
2006(2) 10.00 0.40(3) 0.08(3) 0.48 (0.40) -- (0.40)
INTERNATIONAL EQUITY FUND
CLASS A
2006* $14.05 $0.17(3) $ 1.39(3) $ 1.56 $ -- $ -- $ --
2006 11.15 0.29(3) 3.09(3) 3.38 (0.37) (0.11) (0.48)
2005 10.06 0.23(3) 1.16(3) 1.39 (0.30) -- (0.30)
2004 7.76 0.18(3) 2.28(3) 2.46 (0.16) -- (0.16)
2003 9.21 0.13 (1.46) (1.33) (0.12) -- (0.12)
2002 10.34 0.11 (1.14) (1.03) (0.10) -- (0.10)
WORLD EQUITY EX-US FUND
CLASS A
2006* $12.99 $0.14(3) $ 1.47(3) $ 1.61 $ -- $ -- $ --
2006 9.81 0.27(3) 3.01(3) 3.28 (0.09) (0.01) (0.10)
2005(4) 10.00 0.07(3) (0.26)(3) (0.19) -- -- --
EMERGING MARKETS DEBT FUND
CLASS A
2006(2)* $ 9.97 $0.31(3) $0.77(3) $ 1.08 $(0.25) $ -- $(0.25)
2006(2) 10.00 0.27(3) (0.17)(3) 0.10 (0.13) -- (0.13)
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of
Expenses Ratio of
to Average Expenses
Net Assets to Average
(Excluding Net Assets Ratio of Net
Ratio of Net Fees Paid (Excluding Investment
Net Asset Net Assets Expenses Indirectly Fees Paid Income Portfolio
Value, End Total End of Period to Average and including Indirectly to Average Turnover
of Period Return+ ($Thousands) Net Assets Waivers) and Waivers) Net Assets Rate+
- ------------------------------------------------------------------------------------------------------------------------------------
CORE FIXED INCOME FUND
CLASS A
<s>
2006* $10.18 6.20% $5,456,262 0.14% 0.14% 0.37% 5.02% 215%
2006 9.84 (0.09) 4,646,403 0.14 0.14 0.37 4.62 545
2005 10.34 6.77 4,265,249 0.15 0.15 0.37 3.94 615
2004 10.19 1.13 3,074,873 0.19** 0.19** 0.38 3.62 532
2003 10.61 11.10 2,431,368 0.18 0.18 0.37 4.79 436
2002 10.27 6.43 2,354,581 0.18 0.18 0.36 5.67 365
LONG DURATION FUND
CLASS A
2006* $10.06 10.83% $182,849 0.20% 0.20% 0.38% 5.56% 50%
2006 9.31 (6.08) 165,324 0.20 0.20 0.39 4.69 113
2005 10.56 15.26 76,054 0.20 0.20 0.41 4.05 449
2004(1) 9.77 (1.78) 6,317 0.20 0.20 0.57 5.02 31
EXTENDED DURATION FUND
CLASS A
2006* $ 10.57 22.33% $ 326,182 0.20% 0.20% 0.38% 5.73% 67%
2006 8.86 (19.24) 222,923 0.20 0.20 0.39 4.64 170
2005 11.96 35.74 154,779 0.20 0.20 0.41 3.99 379
2004(1) 9.53 (3.88) 27,787 0.20 0.20 0.44 5.17 42
HIGH YIELD BOND FUND
CLASS A
2006(2)* $10.18 5.20% $1,043,059 0.35% 0.35% 0.55% 7.97% 47%
2006(2) 10.08 4.85 862,371 0.35 0.35 0.57 8.15 58
INTERNATIONAL EQUITY FUND
CLASS A
2006* $15.61 11.10% $1,780,087 0.50%(5) 0.50%(5) 0.79%(5) 2.40% 84%
2006 14.05 30.77 1,656,985 0.36 0.36 0.63 2.30 116
2005 11.15 13.73 1,677,254 0.43 0.43 0.58 2.12 48
2004 10.06 31.73 1,391,076 0.48 0.48 0.65 1.92 80
2003 7.76 (14.43) 1,176,097 0.48 0.48 0.68 1.85 58
2002 9.21 (9.93) 1,259,408 0.48 0.48 0.66 1.30 84
WORLD EQUITY EX-US FUND
CLASS A
2006* $14.60 12.39% $1,540,778 0.78%(6) 0.78%(6) 0.88%(6) 2.12% 73%
2006 12.99 33.52 908,582 0.60 0.61 0.76 2.22 104
2005(4) 9.81 (1.90) 234,396 0.60 0.60 0.70 4.35 15
EMERGING MARKETS DEBT FUND
CLASS A
2006(2)* $10.80 11.02% $646,792 0.55% 0.55% 0.92% 6.03% 54%
2006(2) 9.97 1.00 479,808 0.55 0.55 0.95 5.43 51
* For the six-month period ended November 30, 2006 (Unaudited). All ratios for
the period have been annualized.
** The expense ratio includes the litigation fees paid. Had these fees been
excluded the ratio would have been 0.18%.
+ Returns 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.
(5) The expense ratio includes interest expense on reverse repurchase
agreements. Had this expense been excluded, the ratios would have been
0.34%, 0.34%, and 0.63%, respectively.
(6) The expense ratio includes interest expense on reverse repurchase
agreements. Had this expense been excluded, the ratios would have been
0.57%, 0.57%, and 0.66%, respectively. The expense ratio includes waiver
for interest expense on reverse repurchase agreements. Had this waiver been
excluded, the ratios would have been 0.60%, 0.60%, and 0.69%, 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/Semi-Annual Report/November 30, 2006 201
Notes to Financial Statements (Unaudited)
NOVEMBER 30, 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.
On September 22, 2006, the Board of Trustees of the Funds approved the
establishment of the Real Return Plus Fund and Enhanced Income Fund. The Real
Return Plus Fund and Enhanced Income Fund both commenced operations on December
15, 2006.
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
- --------------------------------------------------------------------------------
202 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
net asset value. If price movements in a monitored index or security exceed
levels established by the administrator, the administrator notifies the adviser
or sub-adviser for any Fund holding the relevant securities that such limits
have been exceeded. In such event, the adviser or sub-adviser makes the
determination whether a Fair Value Committee Meeting should be called based on
the information provided.
The International Equity 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.
Amortization and accretion is calculated using the scientific
interest method, which approximates the effective interest method over the
holding period of the security. Amortization of premiums and discounts is
included in interest income.
REPURCHASE AGREEMENTS -- 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 November 30, 2006 were as follows:
Principal
Amount Value
Fund ($ Thousands) Counterparty ($ Thousands)
- --------------------------------------------------------------------------------
International Liquid Funding Ltd.,
Equity Fund $35,935 5.380%, Due 12/27/06 $35,935
World Equity Liquid Funding Ltd.,
Ex-US Fund 34,294 5.380%, Due 12/27/06 34,294
COMPENSATING BALANCES -- Funds with cash overdrafts in excess of $100,000 are
required to leave 112% in compensating balances with U.S. Bank NA, (formerly
known as Wachovia Bank, N.A.) 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 U.S. Bank NA on the following day.
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
(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.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 203
Notes to Financial Statements (Unaudited) (Continued)
NOVEMBER 30, 2006
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 November 30, 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 six
month period ended November 30, 2006 with the exception of the Long Duration and
Extended Duration 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 their existing portfolio
securities, or securities that the Funds intend 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.
- --------------------------------------------------------------------------------
204 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
Written options transactions entered into during the six month period ended
November 30, 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
the beginning of period 1,034 $530 669 $471
Written 178 11 2,813 1,165
Expired (662) (155) (1,598) (662
Closing buys -- -- (888) (417
- --------------------------------------------------------------------------------
Balance at
the end of period 550 $386 996 $557
- --------------------------------------------------------------------------------
International World Equity
Equity Fund Ex-US Fund
- --------------------------------------------------------------------------------
Number of Premium Number of Premium
Contracts ($ Thousands) Contracts ($ Thousands)
- --------------------------------------------------------------------------------
Balance at
the beginning of period 260 $118 100 $70
Written 37 2 46 3
Expired (207) (57) (46) (3)
Closing buys -- -- -- --
- --------------------------------------------------------------------------------
Balance at
the end of period 90 $ 63 100 $70
- --------------------------------------------------------------------------------
At November 30, 2006 the Funds had cash and/or securities at least equal to the
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 index 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; protect the Fund's value from changes in interest rates; or 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 unrealized gains
or losses in the Statement of Operations. Net payments of interest are recorded
as realized gains or losses.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 205
Notes to Financial Statements (Unaudited) (Continued)
NOVEMBER 30, 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 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.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends 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.
- --------------------------------------------------------------------------------
206 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
RESTRICTED SECURITIES -- At November 30, 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 November 30, 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 $ 24 0.00%
Parkervision Warrants 8,250 3/28/06 3/28/06 -- 27 0.00
SpatiaLight 88,000 1/12/06 1/12/06 198 139 0.01
Synenco Energy 27,419 8/24/05 8/24/05 317 402 0.02
Na Oil Sands 245,500 5/31/06 5/31/06 2,681 2,580 0.12
------ ------ ----
$3,212 $3,172 0.15%
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 -- 46 0.00
SpatiaLight 59,000 1/12/06 1/12/06 133 93 0.01
Synenco Energy 12,051 8/24/05 8/24/05 140 177 0.01
Na Oil Sands 160,000 5/31/06 5/31/06 1,748 1,681 0.11
------ ------ ----
$2,034 $2,018 0.13%
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 six month period ended
November 30, 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
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 207
Notes to Financial Statements (Unaudited) (Continued)
NOVEMBER 30, 2006
As of November 30, 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.
LARGE CAP INDEX FUND
SSgA Funds Management, Inc.
SMALL CAP FUND
Artisan Partners Limited Partnership
BlackRock Capital Management, Inc.
David J. Greene and Company, LLC
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.
McKinley Capital Management Inc.
PanAgora Asset Management, Inc.
Robeco U.S.A. Inc.
Security Capital Research and
Management Incorporated
Wellington Management Company, LLP
- --------------------------------------------------------------------------------
Investment Sub-Adviser
- --------------------------------------------------------------------------------
SMALL/MID CAP EQUITY FUND
BlackRock Capital Management, 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.
PanAgora Asset 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.
INTERNATIONAL EQUITY FUND
AllianceBernstein L.P.
AXA Rosenberg Investment Management, Inc.
Capital Guardian Trust Company
Fuller & Thaler Asset Management, Inc.
McKinley Capital Management Inc.
Quantitative Management Associates, LLC
Record Currency Management Limited
Smith Breeden Associates, Inc.
- --------------------------------------------------------------------------------
208 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
- --------------------------------------------------------------------------------
Investment Sub-Adviser
- --------------------------------------------------------------------------------
WORLD EQUITY EX-US FUND
AllianceBernstein L.P.
AXA Rosenberg Investment Management, Inc.
Capital Guardian Trust Company
Fuller & Thaler Asset Management, Inc.
McKinley Capital Management Inc.
Quantitative Management Associates, LLC
Record Currency Management Limited
Rexiter Capital Management Limited
Smith Breeden Associates, Inc.
EMERGING MARKETS DEBT FUND
Ashmore Investment Management Limited
AXA Rosenberg Investment Management LLC
ING Investment Management Co.
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 six month period ended November 30, 2006 were as
follows ($ Thousands):
Large Cap Fund $ 13
Small Cap Fund 502
Small/Mid Cap Equity Fund 214
International Equity Fund 194
World Equity Ex-US Fund 40
------
$ 963
======
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 six month period ended November 30, 2006 were as follows ($ Thousands):
Large Cap Fund $ 73
Small Cap Fund 481
Small/Mid Cap Equity Fund 367
----
$921
====
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 six month period ended
November 30, 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.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 209
Notes to Financial Statements (Unaudited) (Continued)
NOVEMBER 30, 2006
4. CAPITAL SHARE TRANSACTIONS
Capital Share Transactions for the Funds were as follows (Thousands):
- -----------------------------------------------------------------------------------------------
LARGE CAP
DISCIPLINED
LARGE CAP FUND EQUITY FUND
- -----------------------------------------------------------------------------------------------
6/1/06 6/1/06
to 11/30/06 6/1/05 to 11/30/06 6/1/05 to
(Unaudited) to 5/31/06 (Unaudited) to 5/31/06
- -----------------------------------------------------------------------------------------------
Class A:
Shares Issued 944 3,921 467,744(1) 16,060(1)
Shares Issued in Lieu of
Dividends and Distributions 378 1,141 475 2,265
Shares Redeemed (11,854) (70,494)(2) (15,954) (7,680)
- -----------------------------------------------------------------------------------------------
Total Class A Transactions (10,532) (65,432) 452,265 10,645
- -----------------------------------------------------------------------------------------------
Class T:
Shares Issued -- -- -- --
Shares Issued in Lieu of
Dividends and Distributions -- -- -- --
Shares Redeemed -- (2) -- --
- -----------------------------------------------------------------------------------------------
Total Class T Transactions -- (2) -- --
- -----------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Capital Shares (10,532) (65,434) 452,265 10,645
- -----------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------
LARGE CAP
DIVERSIFIED LARGE CAP
ALPHA FUND(3) INDEX FUND
- -----------------------------------------------------------------------------------------------
6/1/06 6/1/06
to 11/30/06 2/28/06 to 11/30/06 6/1/05
(Unaudited) to 5/31/06 (Unaudited) to 5/31/06
- -----------------------------------------------------------------------------------------------
Class A:
Shares Issued 25,115(1) 15,405 96 795
Shares Issued in Lieu of
Dividends and Distributions 95 1 130 81
Shares Redeemed (5,616) (1,423) (352) (647)
- -----------------------------------------------------------------------------------------------
Total Class A Transactions 19,594 13,993 (226) 229
- -----------------------------------------------------------------------------------------------
Class T:
Shares Issued -- -- -- --
Shares Issued in Lieu of
Dividends and Distributions -- -- -- --
Shares Redeemed -- -- -- --
- -----------------------------------------------------------------------------------------------
Total Class T Transactions -- -- -- --
- -----------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Capital Shares 19,594 13,993 (226) 229
- -----------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------
SMALL/MID CAP
SMALL CAP FUND EQUITY FUND
- -----------------------------------------------------------------------------------------------
6/1/06 6/1/06
to 11/30/06 6/1/05 to 11/30/06 6/1/05
(Unaudited) to 5/31/06 (Unaudited) to 5/31/06
- -----------------------------------------------------------------------------------------------
Class A:
Shares Issued 9,036 36,891(1) 102,024 4,313(1)
Shares Issued in Lieu of
Dividends and Distributions 552 9,074 46 425
Shares Redeemed (11,859) (33,139)(2) (3,684) (2,072)
- -----------------------------------------------------------------------------------------------
Total Class A Transactions (2,271) 12,826 98,386 2,666
- -----------------------------------------------------------------------------------------------
Class T:
Shares Issued -- -- -- --
Shares Issued in Lieu of
Dividends and Distributions -- -- -- --
Shares Redeemed -- (7) -- --
- -----------------------------------------------------------------------------------------------
Total Class T Transactions -- (7) -- --
- -----------------------------------------------------------------------------------------------
Net Increase (Decrease)
in Capital Shares (2,271) 12,819 98,386 2,666
- -----------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------
LONG
CORE FIXED DURATION
INCOME FUND FUND
- -----------------------------------------------------------------------------------------------
6/1/06 6/1/06
to 11/30/06 6/1/05 to 11/30/06 6/1/05
(Unaudited) to 5/31/06 (Unaudited) to 5/31/06
- -----------------------------------------------------------------------------------------------
Class A:
Shares Issued 98,907 150,170 154 11,855
Shares Issued in Lieu of
Dividends and Distributions 12,779 20,531 455 838
Shares Redeemed (47,754) (111,285) (184) (2,143)
- -----------------------------------------------------------------------------------------------
Total Class A Transactions 63,932 59,416 425 10,550
- -----------------------------------------------------------------------------------------------
Class T:
Shares Issued -- -- -- --
Shares Issued in Lieu of
Dividends and Distributions -- -- -- --
Shares Redeemed -- -- -- --
- -----------------------------------------------------------------------------------------------
Total Class T Transactions -- -- -- --
- -----------------------------------------------------------------------------------------------
Net Increase (Decrease)
in Capital Shares 63,932 59,416 425 10,550
- -----------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------
EXTENDED
DURATION HIGH YIELD
FUND BOND FUND(4)
- -----------------------------------------------------------------------------------------------
6/1/06 6/1/06
to 11/30/06 6/1/05 to 11/30/06 12/5/05
(Unaudited) to 5/31/06 (Unaudited) to 5/31/06
- -----------------------------------------------------------------------------------------------
Class A:
Shares Issued 5,938 12,856 19,826 89,411
Shares Issued in
Lieu of Dividends and
Distributions 652 1,618 3,655 2,668
Shares Redeemed (897) (2,247) (6,562) (6,487)
- -----------------------------------------------------------------------------------------------
Total Class A Transactions 5,693 12,227 16,919 85,592
- -----------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Capital Shares 5,693 12,227 16,919 85,592
- -----------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
EMERGING
INTERNATIONAL WORLD EQUITY MARKETS
EQUITY FUND EX-US FUND DEBT FUND(5)
- ----------------------------------------------------------------------------------------------------------------------------
6/1/06 6/1/06 6/1/06
to 11/30/06 6/1/05 to 11/30/06 6/1/05 to 11/30/06 12/5/05
(Unaudited) to 5/31/06 (Unaudited) to 5/31/06 (Unaudited) to 5/31/06
- ----------------------------------------------------------------------------------------------------------------------------
Class A:
<c> <c>
Shares Issued 4,981 19,087 43,0815 6,952 13,073 51,578
Shares Issued in
Lieu of Dividends and
Distributions -- 4,873 -- 499 1,259 514
Shares Redeemed (8,830) (56,427) (7,469) (11,419) (2,580) (3,947)
- ----------------------------------------------------------------------------------------------------------------------------
Total Class A Transactions (3,849) (32,467) 35,612 46,032 11,752 48,145
- ----------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Capital Shares (3,849) (32,467) 35,612 46,032 11,752 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 Emerging Markets Debt Fund commenced operations on December 5, 2005.
Amounts designated as "--" are zero or have been rounded to zero.
- --------------------------------------------------------------------------------
210 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 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 six month period
ended November 30, 2006, were as follows:
- --------------------------------------------------------------------------------
U.S. Gov't Other Total
($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
LARGE CAP FUND
Purchases $ -- $ 188,939 $ 188,939
Sales -- 409,575 409,575
LARGE CAP DISCIPLINED EQUITY FUND*
Purchases 1,318,437 3,261,761 4,580,198
Sales 1,130,144 2,383,260 3,513,404
LARGE CAP DIVERSIFIED ALPHA FUND*
Purchases 49,181 268,827 318,008
Sales 42,118 95,176 137,294
LARGE CAP INDEX
Purchases -- 16,808 16,808
Sales -- 43,941 43,941
SMALL CAP FUND
Purchases -- 995,632 995,632
Sales -- 1,086,440 1,086,440
SMALL/MID CAP FUND
Purchases -- 893,786 893,786
Sales -- 736,882 736,882
CORE FIXED INCOME FUND
Purchases 8,775,200 1,190,623 9,965,823
Sales 8,807,296 862,230 9,669,526
LONG DURATION BOND FUND
Purchases 8,288 31,703 39,991
Sales 8,774 27,418 36,192
EXTENDED DURATION BOND FUND
Purchases 15,622 76,863 92,485
Sales 12,106 66,325 78,431
HIGH YIELD BOND FUND
Purchases -- 487,254 487,254
Sales -- 353,502 353,502
INTERNATIONAL EQUITY FUND
Purchases 452,759 931,154 1,383,913
Sales 407,822 971,513 1,379,335
WORLD EQUITY EX-US FUND
Purchases 495,528 877,928 1,373,456
Sales 432,575 344,309 776,884
EMERGING MARKETS DEBT FUND
Purchases -- 378,345 378,345
Sales -- 245,281 245,281
*Includes in-kind transactions (see Note 8).
For the period ended November 30, 2006, the following Funds effected
transactions with other Funds. The purchases, sales transactions and the net
realized gains/(losses) on sales of securities, executed at independently
derived prices pursuant to Rule 17a-7 under the Investment Company Act of 1940,
were:
- --------------------------------------------------------------------------------
Purchases Sales Gain/(Loss)
($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Large Cap Fund $ -- $ (34,143) $ 3,835
Large Cap Disciplined
Equity Fund 255,308 -- --
Large Cap Diversified
Alpha Fund 34,143 -- --
- --------------------------------------------------------------------------------
Purchases Sales Gain/(Loss)
($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
International Equity Fund $ -- $(612,174) $17,299
World Equity Ex-US Fund 612,186 -- --
6. FEDERAL TAX INFORMATION
It is each Fund's intention to continue to qualify as a regulated investment
company under Subchapter M of the Internal Revenue Code and distribute all of
its taxable income (including net capital gains). Accordingly, no provision for
Federal income taxes is required.
Dividends from net investment income and distributions from net realized capital
gains are determined in accordance with U.S. Federal income tax regulations,
which may differ from those amounts determined under accounting principles
generally accepted in the United States of America. These book/tax differences
are either temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gain, as appropriate, in the
period that the differences arise.
The tax character of dividends and distributions paid during the last two years
or periods ended May 31, 2006 were as follows:
- --------------------------------------------------------------------------------
Ordinary Long-term
Income Capital Gain Total
($ 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
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
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 211
Notes to Financial Statements (Unaudited) (Continued)
NOVEMBER 30, 2006
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 $113,890,673 of capital loss carryforwards,
respectively, to offset capital gains.
For Federal income tax purposes, the cost of securities owned at November 30,
2006, and the net realized gains or losses on securities sold for the period
were not materially different from amounts reported for financial reporting
purposes, primarily due to wash sales which cannot be used for Federal income
tax purposes in the current year and have been deferred for use in future years.
The aggregate gross unrealized appreciation and depreciation on investments held
by the Funds at November 30, 2006, was as follows:
- --------------------------------------------------------------------------------
Net
Unrealized
Appreciated Depreciated Appreciation
Securities Securities (Depreciation)
($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Large Cap Fund $124,536 $ (8,790) $115,746
Large Cap Disciplined
Equity Fund 739,910 (24,451) 715,459
Large Cap Diversified
Alpha Fund 20,516 (2,955) 17,561
Large Cap Index 117,910 (5,490) 112,420
Small Cap Fund 353,332 (62,681) 290,651
- --------------------------------------------------------------------------------
Net
Unrealized
Appreciated Depreciated Appreciation
Securities Securities (Depreciation)
($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Small/Mid Cap Fund $218,236 $(34,555) $ 183,681
Core Fixed Income Fund 95,481 (23,082) 72,399
Long Duration Bond Fund 2,344 (1,640) 704
Extended Duration Bond Fund 3,853 (2,424) 1,429
High Yield Bond Fund 20,987 (7,957) 13,030
International Equity Fund 325,719 (11,052) 314,667
World Equity Ex-US Fund 203,631 (5,377) 198,254
Emerging Markets Debt Fund 26,552 (1,242) 25,310
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
- --------------------------------------------------------------------------------
212 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
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 six months period ended November 30, 2006, the Large Cap Disciplined
Equity and Large Cap Diversified Alpha 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
06/30/06 434,484 $ 19,260
07/31/06 320,437 14,756
09/29/06 1,044,565 47,218
Large Cap Diversified
Alpha Fund
09/29/06 231,727 9,614
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 --
9. SECURITIES LENDING
Each Fund may lend portfolio securities to brokers, dealers and other financial
organizations that meet capital and other credit requirements or other criteria
established by the Trust's Board of Trustees. These loans may not exceed
33(1)/3% of the total asset value of the Fund (including the loan collateral).
No Fund will lend portfolio securities to its investment adviser, sub-adviser or
their affiliates unless it has applied for and received specific authority to do
so from the SEC. Loans of portfolio securities will be fully collateralized by
cash, letters of credit or U.S. Government securities, and the collateral will
be maintained in an amount equal to at least 100% of the current market value of
the loaned securities by marking to market daily, although the borrower will be
required to deliver collateral of 102% and 105% of the market value of borrowed
securities for domestic and foreign securities, respectively. Although the risk
of lending is mitigated by the collateral, the Fund could experience a delay in
recovering its securities and a possible loss of income or value if the borrower
fails to return them.
10. LITIGATION
The Core Fixed Income Fund has participated as a plaintiff bondholder, along
with other institutional bondholders, in litigation against Duty Free
International, British Airport Authority ("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. NEW ACCOUNTING PRONOUNCEMENTS
On July 13, 2006, the Financial Accounting Standards Board ("FASB") issued FASB
interpretation 48 ("FIN 48"), "Accounting for Uncertainty in Income Taxes." This
standard defines the threshold for recognizing the benefits of tax-return
positions in the financial statements as "more-likely-than-not" to be sustained
by the taxing authority and requires measurement of a tax position meeting the
more-likely-than-not criterion, based on the largest benefit that is more than
50 percent likely to be realized. FIN 48 is effective as of the beginning of the
first fiscal year beginning after December 15, 2006. At adoption, companies must
adjust their financial statements to reflect only those tax positions that are
more-likely-than-not to be sustained as of the adoption date. The Fund will not
be required to adopt FIN 48 until May 30, 2008. As of November 30, 2006, the
Funds have not evaluated the impact that will result, if any, from adopting FIN
48.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 213
Notes to Financial Statements (Unaudited) (Concluded)
NOVEMBER 30, 2006
In September 2006, the FASB issued Statement on Financial Accounting Standards
("SFAS") No. 157, "Fair Value Measurements". This standard establishes a single
authoritative definition of fair value, sets out a framework for measuring fair
value and requires additional disclosures about fair value measurements. SFAS
No. 157 applies to fair value measurements already required or permitted by
existing standards. SFAS No. 157 is effective for financial statements issued
for fiscal years beginning after November 15, 2007 and interim periods within
those fiscal years. The changes to current generally accepted accounting
principles from the application of this Statement relate to the definition of
fair value, the methods used to measure fair value, and the expanded disclosures
about fair value measurements. As of November 30, 2006, the Funds do not believe
the adoption of SFAS No. 157 will impact the amounts reported in the financial
statements, however, additional disclosures may be required about the inputs
used to develop the measurements and the effect of certain of the measurements
reported in the financial statements for a fiscal period.
- --------------------------------------------------------------------------------
214 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
Disclosure of Fund Expenses (Unaudited)
NOVEMBER 30, 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 over the period. The "Expenses Paid
During Period" column shows the actual dollar expense cost incurred by a $1,000
investment in the Fund, and the "Ending Account Value" number is derived from
deducting that expense cost from the Fund's gross investment return.
You can use this information, together with the actual amount you invested in
the Fund, to estimate the expenses you paid over that period. Simply divide your
actual starting account value by $1,000 to arrive at a ratio (for example, an
$8,600 account value divided by $1,000 = 8.6), then multiply that ratio by the
number shown for your Fund under "Expenses Paid During Period." o Hypothetical
5% return. This section helps you compare your Fund's costs with those of other
mutual funds. It assumes that the Fund had an annual 5% return before expenses
during the year, but that the expense ratio (Column 3) is unchanged. This
example is useful in making comparisons because the Securities and Exchange
Commission requires all mutual funds to make this 5% calculation. You can assess
your Fund's comparative cost by comparing the hypothetical result for your Fund
in the "Expense Paid During Period" column with those that appear in the same
charts in the shareholder reports for other funds.
NOTE: Because the return is set at 5% for comparison purposes -- NOT your Fund's
actual return -- the account values shown do not apply to your specific
investment.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 215
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
6/1/06 11/30/06 RATIOS PERIOD*
- --------------------------------------------------------------------------------
LARGE CAP FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,101.80 0.26% $1.37
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.76 0.26% $1.32
- --------------------------------------------------------------------------------
LARGE CAP DISCIPLINED EQUITY FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,108.20 0.22% $1.16
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.97 0.22% $1.12
- --------------------------------------------------------------------------------
LARGE CAP DIVERSIFIED ALPHA
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,097.20 0.35% $1.84
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.31 0.35% $1.78
- --------------------------------------------------------------------------------
LARGE CAP INDEX FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
CLASS A SHARES $1,000.00 $1,110.40 0.06% $0.32
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,024.77 0.06% $0.30
- --------------------------------------------------------------------------------
SMALL CAP FUND
- --------------------------------------------------------------------------------
Actual Fund Return
Class A Shares $1,000.00 $1,083.60 0.54% $2.82
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,022.36 0.54% $2.74
- --------------------------------------------------------------------------------
SMALL/MID CAP EQUITY FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,087.50 0.50% $2.62
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,022.66 0.50% $2.54
- --------------------------------------------------------------------------------
CORE FIXED INCOME FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,062.00 0.14% $0.72
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,024.37 0.14% $0.71
- --------------------------------------------------------------------------------
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
6/1/06 11/30/06 RATIOS PERIOD*
- --------------------------------------------------------------------------------
LONG DURATION BOND FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,108.30 0.20% $1.06
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,024.07 0.20% $1.01
- --------------------------------------------------------------------------------
EXTENDED DURATION BOND FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,223.30 0.20% $1.11
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,024.07 0.20% $1.01
- --------------------------------------------------------------------------------
HIGH YIELD BOND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,052.00 0.35% $1.80
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.31 0.35% $1.78
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,111.00 0.34% $1.80
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.36 0.34% $1.72
- --------------------------------------------------------------------------------
WORLD EQUITY EX-US FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,123.90 0.60% $3.19
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,022.06 0.60% $3.04
- --------------------------------------------------------------------------------
EMERGING MARKETS DEBT
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,110.20 0.55% $2.91
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,022.31 0.55% $2.79
- --------------------------------------------------------------------------------
* Expenses are equal to the Fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by 183/365 (to reflect
one-half year period shown).
- --------------------------------------------------------------------------------
216 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
This page intentionally left blank.
Board of Trustees Considerations in Approving the Advisory and Sub-Advisory
Agreements (Unaudited)
NOVEMBER 30, 2006
The SEI Institutional Investments Trust (the "Trust") and SEI Investments
Management Corporation ("SIMC") have entered into an investment advisory
agreement (the "Advisory Agreement"). Pursuant to the Advisory Agreement, SIMC
oversees the investment advisory services provided to each series of the Trust
(each, a "Fund" and, collectively, the "Funds") and may manage the cash portion
of the Funds' assets. Pursuant to separate sub-advisory agreements (the
"Sub-Advisory Agreements" and, together with the Advisory Agreement, the
"Investment Advisory Agreements") with SIMC, and under the supervision of SIMC
and the Trust's Board of Trustees (the "Board"), the Sub-Advisers 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 "1940 Act") 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 "interested persons" of any party (the "Independent Trustees"),
cast in person at a meeting called for the purpose of voting on such approval.
In connection with their consideration of such approvals, the 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 ("SEC") takes the position that, as part of their fiduciary duties
with respect to a mutual fund's fees, mutual fund boards are required to
evaluate the material factors applicable to a decision to approve an Investment
Advisory Agreement.
Consistent with 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.
At the March 8-9, 2006, June 22, 2006, September 20-21, 2006 and December 8,
2006 meetings of the Board of Trustees, the Trustees, including a majority of
the Independent Trustees, approved the Investment Advisory Agreements and
approved the
- --------------------------------------------------------------------------------
218 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
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 shareholder 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.
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-Advisors, the Board took into account
the fact that the Sub-Advisors are compensated by SIMC, and not by the Funds
directly, and such compensation with respect to any Sub-Advisor reflects an
arms-length negotiation between the Sub-Advisor 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.
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SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 219
Board of Trustees Considerations in Approving the Advisory and Sub-Advisory
Agreements (Concluded) (Unaudited)
NOVEMBER 30, 2006
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.
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220 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
SEI INSTITUTIONAL INVESTMENTS TRUST SEMI-ANNUAL REPORT NOVEMBER 30, 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
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-120 (11/06)
ITEM 2. CODE OF ETHICS.
Not applicable for semi-annual report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable for semi-annual report.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable for semi-annual report.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable for semi-annual report.
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 to open-end management investment companies.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT COMPANY AND
AFFILIATED PURCHASERS.
Not applicable to open-end management investment companies.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
The Trust has a standing Nominating Committee (the "Committee") currently
consisting of the Independent Trustees. The Committee is responsible for
evaluating and recommending nominees for election to the Trust's Board of
Trustees (the "Board"). Pursuant to the Committee's Charter, adopted on June
18th 2004, the Committee will review all shareholder recommendations for
nominations to fill vacancies on the Board if such recommendations are submitted
in writing and addressed to the Committee at the Trust's office.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The certifying officers, whose certifications are included herewith, have
evaluated the registrant's disclosure controls and procedures within 90 days of
the filing date of this report. Based on their evaluation, the certifying
officers have concluded that the registrant's disclosure controls and procedures
are adequately designed, and are operating effectively to ensure, that
information required to be disclosed by the registrant in the reports it files
or submits under the Securities Exchange Act of 1934 is recorded, processed,
summarized and reported within the time periods specified in the Securities and
Exchange Commission's rules and forms.
(b) There were no significant changes in the registrant's internal control over
financial reporting that occurred during the registrant's last fiscal half-year
that have materially affected, or are reasonably likely to materially affect,
the registrant's internal control over financial reporting.
ITEMS 12. EXHIBITS.
(a)(1) Not applicable for semi-annual report.
(a)(2) A separate certification for the principal executive officer and the
principal financial officer of the registrant as required by Rule 30a-2(a) under
the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed
herewith.
(b) Officer certifications as required by Rule 30a-2(b) under the Investment
Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing
as an Exhibit.
- --------------------------------------------------------------------------------
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) SEI Institutional Investments Trust
By (Signature and Title)* /s/ Robert A. Nesher
---------------------------------
Robert A. Nesher, President & CEO
Date: February 5, 2007
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: February 5, 2007
By (Signature and Title)* /s/ Stephen F. Panner
-----------------------------------
Stephen F. Panner, Controller & CFO
Date: February 5, 2007
* Print the name and title of each signing officer under his or her signature.