UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
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FORM N-CSR
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CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER 811-07257
SEI INSTITUTIONAL INVESTMENTS TRUST
(Exact name of registrant as specified in charter)
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c/o CT Corporation
101 Federal Street
Boston, MA 02110
(Address of principal executive offices) (Zip code)
SEI Investments
One Freedom Valley Drive
Oaks, PA 19456
(Name and address of agent for service)
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: 1-800-342-5734
DATE OF FISCAL YEAR END: MAY 31, 2007
DATE OF REPORTING PERIOD: MAY 31, 2007
ITEM 1. REPORTS TO STOCKHOLDERS.
SEI New ways.
New answers.(R)
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SEI Institutional Investments Trust
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Annual Report as of May 31, 2007
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Large Cap Fund
Large Cap Diversified Alpha Fund
Large Cap Disciplined Equity Fund
Large Cap Index Fund
Small Cap Fund
Small/Mid Cap Equity Fund
International Equity Fund
World Equity Ex-US Fund
Enhanced Income Fund
Core Fixed Income Fund
High Yield Bond Fund
Long Duration Fund
Extended Duration Fund
Emerging Markets Debt Fund
Real Return Plus Fund
TABLE OF CONTENTS
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Management's Discussion and Analysis of Fund Performance 1
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Schedules of Investments 22
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Statements of Assets and Liabilities 230
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Statements of Operations 234
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Statements of Changes in Net Assets 238
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Financial Highlights 244
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Notes to Financial Statements 246
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Report of Independent Registered Public Accounting Firm 260
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Trustees and Officers of the Trust 261
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Disclosure of Fund Expenses 265
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Board of Trustees Considerations in Approving the Advisory
and Sub-Advisory Agreements 267
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Notice to Shareholders 270
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The Trust files its complete schedule of portfolio holdings with the Securities
and Exchange Commission for the first and third quarters of each fiscal year on
Form N-Q within sixty days after the end of the period. The Trust's Forms N-Q
are available on the Commission's website at http://www.sec.gov, and may be
reviewed and copied at the Commission's Public Reference Room in Washington, DC.
Information on the operation of the Public Reference Room may be obtained by
calling 1-800-SEC-0330.
A description of the policies and procedures that the Trust uses to determine
how to vote proxies relating to portfolio securities, as well as information
relating to how a Fund voted proxies relating to portfolio securities during the
most recent 12-month period ended June 30, is available (i) without charge, upon
request, by calling 1-800-DIAL-SEI; and (ii) on the Commission's website at
http://www.sec.gov.
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2007
Large Cap Fund
Objective
The Large Cap Fund (the "Fund") seeks to provide long-term growth of capital and
income.
Strategy
The Fund employs a multi-manager structure under the general supervision of SEI
Investments Management Corporation (SIMC) to gain exposure to the entire large
cap sector, adding value through stock selection while controlling risk in the
form of capitalization and economic sector exposures. The Fund is jointly
sub-advised by eight investment managers. Assets of the Fund are allocated among
its sub-advisers, each of which has responsibility for stock selection for its
respective assets under management.
Analysis
The U.S. equity market, as measured by the Russell 1000 Index, returned close to
23% for the fiscal year ended May 31, 2007. The twelve-month period witnessed a
steady advance in U.S. large caps as every month but February had positive
returns. The fiscal year began on a strong note as investors became confident
that the two-year old Federal Reserve interest rate hike campaign would be
ending. The rally continued unabated throughout the remainder of 2006 and into
2007 as investors became more comfortable with a "Goldilocks scenario": strong
enough growth to stave off a recession, but not so strong as to spark inflation.
Market volatility remained at historical lows as continued strong corporate
earnings, a torrid pace of mergers & acquisition activity and low unemployment
provided support for stocks. The rally continued for the first five months of
2007 despite fallout in the sub-prime market and a sharp one-day market sell-off
at the end of February. Throughout the fiscal year, the volatile price of oil
continued to have a meaningful impact on markets. Falling prices in the second
half of 2006 helped to perpetuate the rally though this impact waned as oil
prices rebounded starting in late January.
Value stocks outperformed growth by over 5% for the fiscal year ended May 31,
2007, though most of this differential was realized in the first two months of
the fiscal year. The fastest growing and most expensive stock quintiles in the
Russell 1000 Index were the notable laggards. The long running underperformance
of large caps relative to small caps waned during the fiscal year as the Russell
1000 Index outperformed the Russell 2000 Index by 4%. Reflecting the breadth of
the large cap market rally over the period, each of the ten sectors had double
digit returns and seven posted returns greater than 20%. Telecommunication
services led the rally with close to a 50% return as the sector began to recover
from its multi-year post-bubble losses. The materials and utilities sectors also
rallied strongly during the period with returns above 30%.
The Fund underperformed its benchmark with a return of 21.97% for the fiscal
year ended May 31, 2007. The Fund's benchmark, the Russell 1000 Index, returned
22.93%. Underperformance can be attributed to negative stock selection within
the technology sector and to a lesser extent negative stock selection in
consumer staples. Two of the three fundamental growth managers, Delaware
Management Company and Montag & Caldwell, Inc. fell short of both the Russell
1000 and Russell 1000 Growth benchmarks in a difficult growth environment. In
particular negative stock selection within technology accounted for the vast
majority of Delaware Management Company's underperformance, while energy stock
selection weighed on Montag & Caldwell, Inc. The third growth manager, Goldman
Sachs Asset Management bested the Russell 1000 Growth Index during the fiscal
year.
The Fund benefited from strong stock selection within the diversified financial
services and healthcare equipment industries. The three value managers in the
strategy, AllianceBernstein, L.P., LSV Asset Management, and Aronson + Johnson +
Ortiz, L.P. strongly outperformed the Russell 1000 Value benchmark. The core
managers that were added during the 2006 fiscal year had mixed results.
Quantitative Management Associates, LLC outperformed the Russell 1000 Index,
while Enhanced Investment Technologies, LLC (Intech) fell short of the core
benchmark for the period.
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SEI Institutional Investments Trust / Annual Report / May 31, 2007 1
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2007
Large Cap Fund (concluded)
Large Cap Fund
AVERAGE ANNUAL TOTAL RETURN 1
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Annualized Annualized Annualized Annualized
One Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
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Large Cap Fund,
Class A 21.97% 13.81% 9.70% 7.65% 9.41%
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Comparison of Change in the Value of a $100,000 Investment in the Large Cap
Fund, Class A, versus the Russell 1000 Index
[LINE GRAPH OMITTED]
PLOT POINTS ARE AS FOLLOWS:
Large Cap Fund, Russell 1000
Class A Index
5/31/97 $100,000 $100,000
5/31/98 133,360 130,710
5/31/99 159,232 157,257
5/31/00 173,722 176,065
5/31/01 153,674 157,103
5/31/02 131,607 136,145
5/31/03 119,788 125,649
5/31/04 141,794 149,409
5/31/05 154,583 163,483
5/31/06 171,387 178,818
5/31/07 209,040 219,821
1 For the period ended May 31, 2007. Past performance is not an indication
of future performance. Class A shares were offered beginning 6/14/96.
Returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares. The
returns for certain periods reflect fee waivers and/or reimbursements in
effect for that period; absent fee waivers and reimbursements, performance
would have been lower.
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2 SEI Institutional Investments Trust / Annual Report / May 31, 2007
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2007
Large Cap Diversified Alpha Fund
Objective
The Large Cap Diversified Alpha Fund (the "Fund") seeks to provide long-term
growth of capital by investing in the equity securities of large companies and
in portfolio strategies designed to correlate to a portfolio composed of large
cap equity securities. While the Fund is expected to have an absolute return and
risk profile similar to the broad U.S. large cap equity market, returns may be
derived in part from investing significant portions of the Fund in securities
outside of the large cap market.
Strategy
The Fund uses a multi-manager approach under the general supervision of SEI
Investments Management Corporation (SIMC), allocating the assets among multiple
sub-advisers that use different investment strategies to seek to achieve returns
in excess of the performance of a broad U.S. large cap benchmark. This
allocation among investment strategies aims to diversify the sources from which
sub-advisers seek to achieve excess returns (i.e., returns in excess of a
benchmark index), and thereby diversify the relative risk of the Fund.
Some sub-advisers may engage in short sales up to 30% of the value of their Fund
allocation and use the proceeds from the sale to purchase long positions in
additional equity securities. Some sub-advisers may also use portfolio
strategies that are designed to correlate with a portfolio of large cap equity
securities, but which are composed of derivative instruments backed by other
types of securities.
Aronson + Johnson + Ortiz, L.P., Analytic Investors, Inc., and Quantitative
Management Associates, LLC seek to overweight stocks with attractive fundamental
and/or technical characteristics and underweight or even short stocks with
unattractive fundamental and/or technical characteristics. Enhanced Investment
Technologies, LLC (INTECH) employs a volatility capture strategy, Delaware
Management Company seeks to identify stocks with underappreciated growth
characteristics, while Smith Breeden Associates, Inc. seeks to generate alpha
within the U.S. fixed income market and transports it to the equity market.
Analysis
The U.S. equity market, as measured by the Russell 1000 Index, returned close to
23% for the fiscal year ended May 31, 2007. The twelve-month period witnessed a
steady advance in U.S. large caps as every month but February had positive
returns. The fiscal year began on a strong note as investors became confident
that the two-year old Federal Reserve interest rate hike campaign would be
ending. The rally continued unabated throughout the remainder of 2006 and into
2007 as investors became more comfortable with a "Goldilocks scenario": strong
enough growth to stave off a recession, but not so strong as to spark inflation.
Market volatility remained at historical lows as continued strong corporate
earnings, a torrid pace of mergers & acquisition activity and low unemployment
provided support for stocks. The rally continued for the first five months of
2007 despite fallout in the sub-prime market and a sharp one-day market sell-off
at the end of February. Throughout the fiscal year, the volatile price of oil
continued to have a meaningful impact on markets. Falling prices in the second
half of 2006 helped to perpetuate the rally though this impact waned as oil
prices rebounded starting in late January.
Value stocks outperformed growth by over 5% for the fiscal year ended May 31,
2007, though most of this differential was realized in the first two months of
the fiscal year. The fastest growing and most expensive stock quintiles in the
Russell 1000 Index were the notable laggards. The long running underperformance
of large caps relative to small caps waned during the fiscal year as the Russell
1000 Index outperformed the Russell 2000 Index by 4%. Reflecting the breadth of
the large cap market rally over the period, each of the ten sectors had double
digit returns and seven posted returns greater than 20%. Telecommunications
services led the rally with close to a 50% return as the sector began to recover
from its multi-year post-bubble losses. The materials and utilities sectors also
rallied strongly during the period with returns above 30%.
The Fund underperformed its benchmark with a return of 22.64% for the fiscal
year ended May 31, 2007. The Fund's benchmark, the S&P 500 Index, returned
22.79%.The Fund was roughly in-line with the broad large cap market for the
fiscal year ended May 31, 2007. The strategy had positive contributions from
Aronson + Johnson + Ortiz, L.P., Analytic Investors, Inc., and Quantitative
Management Associates, LLC. Their emphasis on value related factors in their
model helped to drive performance, and they also benefited from the added
flexibility of shorting stocks and re-investing the proceeds into additional
long securities. Analytic Investors, Inc. generated particularly strong
performance as it got an extra boost from its dynamic process of emphasizing
stock characteristics in its model that have been in favor recently. Smith
Breeden Associates, Inc. roughly matched the market return as the alpha
generated in the first half of the fiscal year dissipated by the end of the
fiscal year. INTECH lagged as individual
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SEI Institutional Investments Trust / Annual Report / May 31, 2007 3
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2007
Large Cap Diversified Alpha Fund (concluded)
stock volatility remained low and correlations amongst stocks were somewhat
higher than history. Finally, Delaware Management Company significantly
underperformed as the market shunned stocks with high expected growth rates and
a handful of negative stock events dragged down performance.
Large Cap Diversified Alpha Fund
AVERAGE ANNUAL TOTAL RETURN 1
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Annualized
One Year Inception
Return to Date
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Large Cap Diversified Alpha Fund,
Class A 22.64% 17.27%
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Comparison of Change in the Value of a $100,000 Investment in the Large Cap
Diversified Alpha Fund, Class A, versus the S&P 500 Composite Index
[LINE GRAPH OMITTED]
PLOT POINTS ARE AS FOLLOWS:
Large Cap
Diversified Alpha Fund, S&P 500
Class A Composite Index
2/28/06 $100,000 $100,000
5/31/06 99,508 99,652
5/31/07 122,037 122,362
1 For the period ended May 31, 2007. Past performance is no indication of
future performance. Class A shares were offered beginning 2/28/06. Returns
shown do not reflect the deduction of taxes that a shareholder would pay
on fund distributions or the redemption of fund shares. The returns for
certain periods reflect fee waivers and/or reimbursements in effect for
that period; absent fee waivers and reimbursements, performance would have
been lower.
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4 SEI Institutional Investments Trust / Annual Report / May 31, 2007
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2007
Large Cap Disciplined Equity Fund
Objective
The Large Cap Disciplined Equity Fund (the "Fund") seeks to provide long-term
growth of capital by investing in the equity securities of large companies and
in portfolio strategies designed to correlate to a portfolio composed of large
cap equity securities. While the Fund is expected to have an absolute return and
risk profile similar to the broad U.S. large cap equity market, returns may be
derived in part from investing significant portions of the Fund in securities
outside of the large cap market.
Strategy
The Fund seeks to exceed the total return of the S&P 500 Index, with a similar
level of volatility, by investing primarily in a portfolio of common stocks
included in the S&P 500 Index, as well as other equity securities and derivative
instruments whose value is derived from the performance of the S&P 500 Index.
The Fund also employs overlay strategies for return enhancement and alpha source
diversification. The Fund uses a multi-manager approach, with five sub-advisers
offering different investment philosophies to manage portions of the Fund's
portfolio. All of the sub-advisers employ rigorous risk-control processes in
order to manage relative risk against the benchmark.
Analysis
The U.S. equity market, as measured by the Russell 1000 Index, returned close to
23% for the fiscal year ended May 31, 2007. The twelve-month period witnessed a
steady advance in U.S. large caps as every month but February had positive
returns. The fiscal year began on a strong note as investors became confident
that the two-year old Federal Reserve interest rate hike campaign would be
ending. The rally continued unabated throughout the remainder of 2006 and into
2007 as investors became more comfortable with a "Goldilocks scenario": strong
enough growth to stave off a recession, but not so strong as to spark inflation.
Market volatility remained at historical lows as continued strong corporate
earnings, a torrid pace of mergers & acquisition activity and low unemployment
provided support for stocks. The rally continued for the first five months of
2007 despite fallout in the sub-prime market and a sharp one-day market sell-off
at the end of February. Throughout the fiscal year, the volatile price of oil
continued to have a meaningful impact on markets. Falling prices in the second
half of 2006 helped to perpetuate the rally though this impact waned as oil
prices rebounded starting in late January.
Value stocks outperformed growth by over 5% for the fiscal year ended May 31,
2007, though most of this differential was realized in the first two months of
the fiscal year. The fastest growing and most expensive stock quintiles in the
Russell 1000 Index were the notable laggards. The long running underperformance
of large caps relative to small caps waned during the fiscal year as the Russell
1000 Index outperformed the Russell 2000 Index by 4%. Reflecting the breadth of
the large cap market rally over the period, each of the ten sectors had double
digit returns and seven posted returns greater than 20%.Telecommunications
services led the rally with close to a 50% return as the sector began to recover
from its multi-year post-bubble losses. The materials and utilities sectors also
rallied strongly during the period with returns above 30%.
The Fund outperformed the large cap market for the fiscal year ended May 31,
2007. The Fund outperformed its benchmark with a return of 23.15% for the fiscal
year ended May 31, 2007. The Fund's benchmark, the S&P 500 Index, returned
22.79%. Analytic Investors, Inc. (`Analytic') strongly outperformed for the
period, while Enhanced Investment Technologies, LLC (Intech) lagged.
Quantitative Management Associates, LLC (`QMA') modestly outperformed, while
Smith Breeden Associates, Inc. (`Smith Breeden') and AlphaSimplex Group, LLC
(`AlphaSimplex') modestly lagged the large cap market. Analytic and QMA
performed particularly well due to their emphasis on stocks with attractive
valuations and positive earnings sentiment. Intech's volatility capture process
struggled during the fiscal year as individual stock volatility remained low,
and stocks with higher volatility generally underperformed those with lower
volatility. Smith Breeden, which transports its active returns from fixed income
onto equities lagged for the period due to spread widening in asset- and
mortgage-backed securities. AlphaSimplex's mandate lagged for the period due
primarily to equity stock-picking model. There were no sub-adviser changes
during the fiscal year; however, AlphaSimplex's mandate was changed from an
equity stock picking allocation combined with a global tactical asset allocation
overlay (`GTAA') strategy to solely a GTAA overlay strategy.
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SEI Institutional Investments Trust / Annual Report / May 31, 2007 5
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2007
Large Cap Disciplined Equity Fund (concluded)
Large Cap Disciplined Equity Fund
AVERAGE ANNUAL TOTAL RETURN 1
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Annualized Annualized
One Year Three Year Inception
Return Return to Date
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Large Cap Disciplined
Equity Fund, Class A 23.15% 14.08% 14.82%
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Comparison of Change in the Value of a $100,000 Investment in the Large Cap
Disciplined Equity Fund, Class A, versus the S&P 500 Composite Index
[LINE GRAPH OMITTED]
PLOT POINTS ARE AS FOLLOWS:
Large Cap
Disciplined Equity Fund, S&P 500
Class A Composite Index
8/28/03 $100,000 $100,000
5/31/04 113,235 114,353
5/31/05 124,853 123,776
5/31/06 136,502 134,470
5/31/07 168,102 165,116
1 For the period ended May 31, 2007. Past performance is not an indication
of future performance. Class A shares were offered beginning 8/28/03.
Returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares. The
returns for certain periods reflect fee waivers and/or reimbursements in
effect for that period; absent fee waivers and reimbursements, performance
would have been lower.
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6 SEI Institutional Investments Trust / Annual Report / May 31, 2007
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2007
Large Cap Index Fund
Objective
The Large Cap Index Fund (the "Fund") seeks to provide investment results that
correspond to the aggregate price and dividend performance of the securities in
the Russell 1000 Index (the "Index").
Strategy
The Fund attempts to match the performance of the widely followed Index by
replicating its composition in full. Deviation of performance between the Fund
and the Index, measured by tracking error, is typically attributable to trading
costs and cash reserves held for liquidity needs. The presence of cash in the
Fund may result in underperformance relative to the Index in rising markets,
and out-performance in declining markets. To mitigate these effects, the Fund
may use stock index futures to hedge its cash position. Futures contracts enable
the Fund to maintain exposure to the market with reduced trading expenses, since
the cost of the futures contracts is relatively nominal. The value of the stock
index futures held by the Fund may not exceed 20% of the Fund's assets.
Analysis
The Fund performed in line with the Russell 1000 Index with a return of 22.87%
for the fiscal year ended May 31, 2007. The Fund's benchmark, the Russell 1000
Index, returned 22.93%. The twelve-month period witnessed a steady advance in
U.S. large caps as every month but February had positive returns. The fiscal
year began on a strong note as investors became confident that the two year old
Federal Reserve interest rate hike campaign would be ending. The rally continued
unabated throughout the remainder of 2006 and into 2007 as investors became more
comfortable with a "Goldilocks scenario": strong enough growth to stave off a
recession, but not so strong as to spark inflation. Market volatility remained
at historical lows as continued strong corporate earnings, a torrid pace of
mergers & acquisition activity and low unemployment provided support for stocks.
The rally continued for the first five months of 2007 despite fallout in the
sub-prime market and a sharp one-day market sell-off at the end of February.
Throughout the fiscal year, the volatile price of oil continued to have a
meaningful impact on markets. Falling prices in the second half of 2006 helped
to perpetuate the rally though this impact waned as oil prices rebounded
starting in late January.
Value stocks outperformed growth by over 5% for the fiscal year ended May 31,
2007, though most of this differential was realized in the first two months of
the fiscal year. The fastest growing and most expensive stock quintiles in the
Russell 1000 Index were the notable laggards. The long running underperformance
of large caps relative to small caps waned during the fiscal year as the Russell
1000 Index outperformed the Russell 2000 Index by 4%. Reflecting the breadth of
the large cap market rally over the period, each of the ten sectors had double
digit returns and seven posted returns greater than 20%.Telecommunications
services led the rally with close to a 50% return as the sector began to recover
from its multi-year post-bubble losses. The materials and utilities sectors also
rallied strongly during the period with returns above 30%.
Large Cap Index Fund
AVERAGE ANNUAL TOTAL RETURN 1
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Annualized Annualized Annualized
One Year 3 Year 5 Year Inception
Return Return Return to Date
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Large Cap Index Fund,
Class A 22.87% 13.66% 9.95% 8.18%
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Comparison of Change in the Value of a $100,000 Investment in the Large Cap
Index Fund, Class A, versus the Russell 1000 Index
[LINE GRAPH OMITTED]
PLOT POINTS ARE AS FOLLOWS:
Large Cap
Index Fund, Russell 1000
Class A Index
4/1/02 $100,000 $100,000
5/31/02 93,404 93,440
5/31/03 86,128 86,236
5/31/04 102,243 102,543
5/31/05 111,741 112,203
5/31/06 122,177 122,728
5/31/07 150,119 150,869
1 For the period ended May 31, 2007. Past performance is not an indication
of future performance. Class A shares were offered beginning 4/1/02.
Returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares. The
returns for certain periods reflect fee waivers and/or reimbursements in
effect for that period; absent fee waivers and reimbursements, performance
would have been lower.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 7
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2007
Small Cap Fund
Objective
The Small Cap Fund (the "Fund") seeks to provide long-term capital appreciation
by investing in equity securities of smaller companies.
Strategy
With respect to this Fund, SEI Investments ('SEI') employs a multi-manager
structure to gain exposure to small cap stocks, adding value through stock
selection while minimizing risk in the form of capitalization, valuation and
economic sector exposures. The Fund is jointly sub-advised by fifteen investment
managers. Assets of the Fund are strategically allocated among its sub-advisers,
each of which has a responsibility for stock selection for its respective assets
under management.
Changes to Portfolio
PanAgora Asset Management, Inc. ('Panagora') was added to the Fund in November
2006 for a Russell 2000 mandate. The manager, new to SEI's small cap mandates in
2006, brings a diversifying source of excess returns to the Fund. Panagora
provides broad coverage over the investment universe by applying disciplined
processes in which each stock is given a unique weighting to factors such as
growth, value, and beta. The stocks are then evaluated based on their unique
factor weightings and the performance of those and other factors in the
marketplace. The manager also uses strict portfolio construction technology to
avoid unnecessary risk.
Robeco Investment Management, Inc. was also brought into the Fund in November
2006, for a Russell 2000 Value mandate, and is new to SEI's small cap equity
mandates. The product seeks to exploit market anomalies through both traditional
value investments and special situations, investing when a near-term, positive
catalyst exists at company and sector levels. Portfolio companies should exhibit
excellent cash flow characteristics, strong management teams and identifiable
positive catalysts as well as high return on invested capital, dominant market
shares, and compelling valuations. Risk control is managed through stock
selection, portfolio construction and a disciplined investment process with
rigorous buy criteria.
Analysis
The small cap market, as measured by the Russell 2000 Index, generated 18.92%
for the fiscal year ended May 31, 2007. The period had a slow start with regard
to total return, as value stocks outpaced growth stocks, but picked up
substantially in the fourth quarter of 2006 when growth stocks pulled ahead.
Before the inflection point, volatile stocks and uncertainty regarding tension
in the Middle East made investors more risk-averse, bidding up securities in the
utilities and consumer staples sectors, as the value index bested the growth
index. Beginning in the fourth quarter of 2006, strong mergers & acquisition
activity helped advance market returns. Information technology stocks,
especially within the software and services area, saw businesses' anticipated
return to spending. Materials stocks bested the broad market on sustained high
prices of raw materials as well as demand from emerging economies such as China,
and supply issues boosted energy returns. Pharmaceuticals and biotech stocks
underperformed the broader market for the period, as there has been increased
difficulty in passing drugs through the FDA due to its more conservative
approach. Though the housing market and REITs have had a tough time so far in
2007, bank securities were hardest hit when sub-prime lenders were affected by
the news of deteriorating credit quality, which created a scare throughout the
industry.
The Fund performed well for the fiscal year ended May 31, 2007, with a return of
20.32%. The Fund's benchmark, the Russell 2000 Index, returned 18.92%. Stock
selection contributed heavily to the return. The growth team at Lee Munder
Investments, Ltd. added nicely to the Fund's return from information technology,
while value manager David J. Greene and Company, LLC posted superior numbers in
the capital goods area. Telecommunications stocks provided an advantage to the
Fund; Wellington Management Company, LLP was a driver behind that return. Key
stocks in the consumer durables and apparel, including those of shoe and handbag
manufacturers, also boosted the Fund's performance. An underweight to the bank
industry, especially seen in the portfolio of Artisan Partners Limited
Partnership, but present in most value managers' portfolios, gave the Fund a
significant edge. Growth, in the form of high forward-price-to-earnings stocks,
hurt core manager Martingale Asset Management, L.P., while Los Angeles Capital
Management and Equity Research, Inc. was helped by its tendency to hold stocks
on the larger end of the capitalization spectrum. Despite positive stock
selection, an overweight to apartments caused underperformance for the dedicated
REIT manager, Security Capital Research and Management Incorporated.
The Fund is positioned to capture the opportunities in the small cap area of the
market under a variety of market conditions. To this end, the Fund targets a
style-neutral position relative to the Russell 2000 Index, in order to control
unnecessary risks and put the focus on stock selection by the specialist
sub-advisers. However, the Fund does have a positive allocation to information
technology on the expectation that businesses will spend on technology to
improve productivity, and is underweight banks which managers believe to be
overvalued.
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8 SEI Institutional Investments Trust / Annual Report / May 31, 2007
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2007
Small Cap Fund
AVERAGE ANNUAL TOTAL RETURN 1
- --------------------------------------------------------------------------------
Annualized Annualized Annualized Annualized
One Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
- --------------------------------------------------------------------------------
Small Cap Fund,
Class A 20.32% 16.26% 14.04% 11.35% 11.19%
- --------------------------------------------------------------------------------
Comparison of Change in the Value of a $100,000 Investment in the Small Cap
Fund, Class A, versus the Russell 2000 Index
[LINE GRAPH OMITTED]
PLOT POINTS ARE AS FOLLOWS:
Small Cap Fund, Russell 2000
Class A Index
5/31/97 $100,000 $100,000
5/31/98 126,680 121,240
5/31/99 119,320 117,979
5/31/00 144,449 129,670
5/31/01 156,568 137,049
5/31/02 151,887 136,363
5/31/03 141,513 125,209
5/31/04 186,457 163,135
5/31/05 204,749 179,154
5/31/06 243,507 211,832
5/31/07 292,988 251,911
1 For the period ended May 31, 2007. Past performance is not an indication
of future performance. Class A shares were offered beginning 6/14/96.
Returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares. The
returns for certain periods reflect fee waivers and/or reimbursements in
effect for that period; absent fee waivers and reimbursements, performance
would have been lower.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 9
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2007
Small/Mid Cap Equity Fund
Objective
The Small-Mid Cap Equity Fund (the "Fund") seeks to provide long-term capital
appreciation by investing in equity securities of smaller-to-mid cap companies.
Strategy
SEI Investments ('SEI') employs a multi-manager structure in the Fund, focusing
on smaller-to-mid cap securities. The Fund adds value through stock selection
while minimizing risk in the form of capitalization, valuation and economic
sector exposures. The Fund is jointly sub-advised by eleven investment managers.
Assets of the Fund are strategically allocated among its various sub-advisers,
each of which has a responsibility for stock selection for its respective assets
under management.
Changes to Portfolio
PanAgora Asset Management ('Panagora') was added to the Fund in October 2006 for
a Russell 2500 Index mandate. The manager, new to SEI's small cap mandates in
2006, brings a diversifying source of excess returns to the Fund. Panagora
provides broad coverage over the investment universe by applying disciplined
processes in which each stock is given a unique weighting to factors such as
growth, value, and beta. The stocks are then evaluated based on their unique
factor weightings and the performance of those and other factors in the
marketplace. The manager also uses strict portfolio construction technology to
avoid unnecessary risk.
Lee Munder Investments, Ltd. ('Lee Munder') was brought into the Fund two months
later, in January 2007, for a Russell 2500 Index mandate. The manager has been
in various SEI funds since 2003, and a different team in the same firm, focusing
on growth investments, has been in SEI funds since 2002. The Lee Munder value
product uses a classic value approach of identifying quality businesses at
attractive valuations relative to the companies' peers, sectors, and market as a
whole. The manager lessens risk through its constraints regarding sector and
position size.
Analysis
The small-mid cap market, as measured by the Russell 2500 Index, generated
20.96% for the fiscal year ended May 31, 2007. The period had a slow start with
regard to total return, as value stocks outpaced growth stocks, but picked up
substantially in the fourth quarter of 2006 when growth stocks pulled ahead.
Before the inflection point, volatile stocks and uncertainty regarding tension
in the Middle East made investors more risk-averse, bidding up securities in the
utilities and consumer staples sectors, as the value index bested the growth
index. Beginning in the fourth quarter, strong mergers & acquisition activity
helped advance market returns. Information technology stocks, especially within
the software and services area, are starting to benefit from businesses'
anticipated return to spending. Materials stocks bested the broad market on
sustained high prices of raw materials as well as demand from emerging economies
such as China, and supply issues boosted energy returns. Pharmaceuticals and
biotech stocks underperformed the broader market for the period, as there has
been increased difficulty in passing drugs through the FDA due to its more
conservative approach. The housing market and REITs have had a tough time so far
in 2007; bank securities were also hit hard when subprime lenders were affected
by the news of deteriorating credit quality, which created a scare throughout
the industry.
The Fund has performed well for the fiscal year ended May 31, 2007, yielded
21.60%. The Fund's benchmark, the Russell 2500 Index, also had a strong year,
returned 20.96%. Stock selection was the main contributor to the return.
Individual holdings in the information technology sector boosted the Fund's
returns, especially due to the work of Lee Munder Investments' growth team. Key
stocks in the consumer durables and apparel, including those of shoe and handbag
manufacturers, also boosted the Fund's performance. An underweight to the bank
industry, especially seen in the portfolio of Artisan Partners Limited
Partnership, but present in most value managers' portfolios, gave the Fund an
edge - though it was lost due to individual holdings in the area. Stock
selection in consumer staples, and an overweight to that area, helped the Fund
via value managers BlackRock Capital Management, Inc. and LSV Asset Management.
Despite Wellington Capital Management Company's efforts in materials, the Fund
as a whole was hurt from an underweight to that sector, which outperformed the
greater market over the period. Stock selection in biotech and pharmaceuticals
detracted as well, in part from holdings in Delaware Management Company's
portfolio. Core manager Los Angeles Capital Management and Equity Research, Inc.
had strong returns for the year, while growth, in the form of high
forward-price-to-earnings stocks, hurt core manager Martingale Asset Management,
L.P. The dedicated REIT (Real Estate Investment Trust) manager, Security Capital
Research and Management Incorporated, posted positive stock selection for its
portfolio, but an overweight to apartments caused underperformance.
The Fund is positioned to capture the opportunities in the small/mid cap area of
the market under a variety of market conditions. To this end, the Fund generally
targets a style-neutral position relative to the Russell 2500 Index, in order to
control unnecessary risks and put the
- --------------------------------------------------------------------------------
10 SEI Institutional Investments Trust / Annual Report / May 31, 2007
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2007
focus on stock selection by the specialist sub-advisers. However, the Fund does
have positive allocation to information technology in expectation of businesses
spending on technology to improve productivity.
Small/Mid Cap Equity Fund
AVERAGE ANNUAL TOTAL RETURN 1
- --------------------------------------------------------------------------------
Annualized Annualized
One Year 3 Year Inception
Return Return to Date
- --------------------------------------------------------------------------------
Small/Mid Cap
Equity Fund, Class A 21.60% 17.45% 17.28%
- --------------------------------------------------------------------------------
Comparison of Change in the Value of a $100,000 Investment in the Small/Mid Cap
Equity Fund, Class A, versus the Russell 2500 Index
[LINE GRAPH OMITTED]
PLOT POINTS ARE AS FOLLOWS:
Small/Mid Cap
Equity Fund, Russell 2500
Class A Index
12/15/03 $100,000 $100,000
5/31/04 107,145 105,145
5/31/05 121,481 118,625
5/31/06 142,752 138,922
5/31/07 173,587 168,040
1 For the period ended May 31, 2007. Past performance is not an indication
of future performance. Class A shares were offered beginning 12/15/03.
Returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares. The
returns for certain periods reflect fee waivers and/or reimbursements in
effect for that period; absent fee waivers and reimbursements, performance
would have been lower.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 11
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2007
International Equity Fund
Objective
The International Equity Fund (the "Fund") seeks to provide capital
appreciation.
Changes to Portfolio
In November 2006, Morgan Stanley Investment Management Limited was replaced by a
quantitative manager AXA Rosenberg Investment Management, Inc. ('AXA'). AXA
brings a diversifying source of excess return with a well constructed systematic
approach that removes human emotion through robust fundamental analysis and risk
management. Record Currency Management Limited ('Record') was also introduced
into the strategy in August of 2006. Record was hired as an overlay currency
strategy to hedge implicit currency bets and provide excess returns to make the
fund more efficient.
Analysis
For the fiscal year ended May 31, 2007, the global equity markets continued to
rally, with the benchmark, Morgan Stanley MSCI EAFE Index, rising nearly 27%.
Markets ended strong in 2006 and continued to perform well for the first month
and a half of 2007. However, in late February, a sell-off in the Shanghai "A"
shares market rippled across the globe, along with the sub-prime market concerns
and fear surrounding reversal of the Japanese carry trade. The markets rebounded
well in subsequent months. The fiscal year ended May 31, 2007 produced strong
numbers on the back of continued mergers & acquisition activity, especially in
Europe, robust global growth in-spite of higher commodity prices, and improved
corporate profitability in the global markets. U.S. investors benefited from the
weakening U.S. dollar in the international markets.
Europe was the strongest performing region due to strong mergers & acquisition
activity, especially in the utilities sector. Among the benchmark, the Morgan
Stanley MSCI EAFE Index, countries, Portugal, Denmark, Sweden, Spain and Germany
posted strong returns for the year. Singapore was the strongest performing
country in the benchmark during this period. Japan lagged the benchmark although
it was still net positive for the year. Utilities, industrials and materials
were the strongest performing sectors, while energy, information technology and
the defensive sector, health care, underperformed the benchmark.
In spite of the lack of dispersion in the markets, the Fund performed close to
expectations delivering a solid return over the benchmark. The Fund outperformed
its benchmark with a return of 28.00% for the fiscal year ended May 31, 2007.
The Fund's benchmark, the Morgan Stanley MSCI EAFE Index, returned 26.84%.
Strong stock selection in industrials, consumer discretionary, and an overweight
and good stock picking in materials were strong contributors to the Fund's
performance. Strong stock picking in countries such as Italy, France, United
Kingdom, Japan and Spain and an exposure to emerging market nations also
contributed to out-performance.
International Equity Fund
AVERAGE ANNUAL TOTAL RETURN 1
- --------------------------------------------------------------------------------
Annualized Annualized Annualized Annualized
One Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
- --------------------------------------------------------------------------------
International Equity
Fund, Class A 28.00% 23.93% 16.50% 8.65% 8.58%
- --------------------------------------------------------------------------------
Comparison of Change in the Value of a $100,000 Investment in the International
Equity Fund, Class A, versus the Morgan Stanley MSCI EAFE Index
[LINE GRAPH OMITTED]
PLOT POINTS ARE AS FOLLOWS:
International Morgan Stanley
Equity Fund, MSCI EAFE
Class A Index
5/31/97 $100,000 $100,000
5/31/98 110,400 111,110
5/31/99 118,051 115,954
5/31/00 144,990 135,829
5/31/01 118,587 112,426
5/31/02 106,812 101,633
5/31/03 91,399 89,132
5/31/04 120,399 118,242
5/31/05 136,930 135,529
5/31/06 179,064 173,803
5/31/07 229,202 220,452
1 For the period ended May 31, 2007. Past performance is not an indication
of future performance. Class A shares were offered beginning 6/14/96.
Returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares. The
returns for certain periods reflect fee waivers and/or reimbursements in
effect for that period; absent fee waivers and reimbursements, performance
would have been lower.
- --------------------------------------------------------------------------------
12 SEI Institutional Investments Trust / Annual Report / May 31, 2007
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2007
World Equity Ex-US Fund
Objective
The World Equity Ex-US Fund (the "Fund") seeks to provide capital appreciation.
Changes to Portfolio
In November 2006, Morgan Stanley Investment Management Limited was replaced by a
quantitative manager, AXA Rosenberg Investment Management, Inc. ('AXA'). AXA
brings a diversifying source of excess return with a well constructed systematic
approach that removes human emotion through robust fundamental analysis and risk
management. Record Currency Management Limited ('Record') was also introduced
into the strategy in August of 2006. Record was hired as an overlay currency
strategy to hedge implicit currency bets and provide excess returns on to make
the fund more efficient.
Analysis
For the year ended May 31, 2007, the global equity markets continued to rally,
with the benchmark, Morgan Stanley MSCI World Ex-US Index, rising nearly 29%.
Markets ended strong in 2006 and continued to perform well for the first month
and a half of 2007. However, in late February, a sell-off in the Shanghai "A"
shares market rippled across the globe, along with the sub-prime market concerns
and fear surrounding reversal of the Japanese carry trade. The markets rebounded
well in subsequent months. The fiscal year ended May 31, 2007 produced strong
numbers on the back of continued mergers & acquisition activity, especially in
Europe, robust global growth in-spite of higher commodity prices, and improved
corporate profitability in the global markets. U.S. investors benefited from the
weakening U.S. dollar in the international markets.
Europe was the strongest performing region due to strong mergers & acquisition
activity, especially in the utilities sector. Among the developed countries,
Portugal, Denmark, Sweden, Spain and Germany posted strong returns for the year.
Singapore was the strongest performing developed country in the benchmark during
this period. In emerging markets, Philippines, Mexico, China, Brazil, Malaysia,
India and Indonesia had a strong year. Japan, Taiwan and Russia lagged the
benchmark although they were still net positive for the year. Utilities,
telecommunication services and materials were the strongest performing sectors,
while energy, information technology and the defensive sector, health care,
underperformed the benchmark.
The Fund posted strong returns for the fiscal year ended May 31, 2007. The Fund
outperformed its benchmark with a return of 30.29% for the fiscal year ended May
31, 2007. The Fund's benchmark, the Morgan Stanley MSCI Ex-US Index, returned
28.92%.Strong stock selection in developed countries such as Italy, Japan,
France, Hong Kong and Spain were strong contributors to performance. The Fund
also performed well in emerging market nations especially in China where an
overweight coupled with strong stock selection helped. An overweight to Mexico
and strong stock selection in Russia also added value. Strong stock selection
industrials, energy, financials and telecommunication services benefited the
Fund.
World Equity Ex-US Fund
AVERAGE ANNUAL TOTAL RETURN 1
- --------------------------------------------------------------------------------
Annualized
One Year Inception
Return to Date
- --------------------------------------------------------------------------------
World Equity Ex-US Fund,
Class A 30.29% 27.86%
- --------------------------------------------------------------------------------
Comparison of Change in the Value of a $100,000 Investment in the World Equity
Ex-US Fund, Class A, versus the Morgan Stanley MSCI World Ex-US Index
[LINE GRAPH OMITTED]
PLOT POINTS ARE AS FOLLOWS:
World Equity Morgan Stanley MSCI
Ex-US Fund, World Ex-US
Class A Index
3/28/05 $100,000 $100,000
5/31/05 98,000 98,055
5/31/06 130,850 126,618
5/31/07 170,485 160,552
1 For the period ended May 31, 2007. Past performance is not an indication
of future performance. Class A shares were offered beginning 3/28/05.
Returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares. The
returns for certain periods reflect fee waivers and/or reimbursements in
effect for that period; absent fee waivers and reimbursements, performance
would have been lower.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 13
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2007
Core Fixed Income Fund
Objective
The Core Fixed Income Fund (the "Fund") seeks to provide current income
consistent with the preservation of capital.
Strategy
The Fund's investment strategy focuses on sector rotation, both among and within
sectors, and issue selection. Risk is principally controlled by explicitly
limiting fund interest rate exposure relative to the Lehman Aggregate Bond
Index. The Fund's sub-advisers focus on four key areas in determining portfolio
structure: duration weighting, term structure, sector allocation, and issue
selection. While the duration and term structure decision underlie the
implementation process, the sub-advisers primarily concentrate on sector and
issue selection to add value. In addition, the sub-advisers may use derivatives
for tactical hedging purposes and to implement portfolio strategies more
efficiently.
Analysis
The Fund outperformed its benchmark with a return of 6.95% for the fiscal year
ended May 31, 2007. The Fund's benchmark, the Lehman Aggregate Bond Index,
returned 6.66%. The Federal Reserve ('Fed') raised the Federal Funds rate at
their June 2006 meeting by 0.25%. Since then they kept rates unchanged as core
inflation moderated and the economy continued to chug along at a 2-3% growth
rate. Over the last 12 months, two and ten-year Treasury yields traded in a
somewhat narrow range declining only 0.13% and 0.23% respectively. Yields fell
for the majority of the period as investors expected the Fed to ease monetary
policy; however, as that expectation diminished, yields began to creep back up.
These shifts in interest rates caused little change in the slope of the yield
curve (or the difference between 10 year Treasury yields and two year Treasury
yields) flattening it by 0.10%.
The behavior of the spread sectors was better than U.S. Treasuries and all
spread sectors outperformed equivalently matched Treasuries. Corporate bonds
thrived on strong fundamentals, including robust earnings and only modestly
higher default rates even as valuations appeared stretched and levered buyout
activity continued. The Asset-Backed Security ('ABS') sector repeated another
year of good performance generating 0.39% in excess return. Throughout most of
2006, spreads for ABS continued to move tighter despite significant new issuance
due to unprecedented demand from non traditional investors, including hedge
funds and collateralized debt obligations. This reversed in early 2007 with the
turmoil in the subprime housing market due to increased delinquencies and
foreclosures. Fortunately this contagion did not significantly affect the higher
quality securities that comprise the investment grade structured markets.
Mortgage-Backed Securities (MBS) performed well as they were the best performing
sector behind corporate bonds. With the exception of late first quarter 2007,
volatility remained low for the majority of the period providing a stable
environment for mortgage performance.
Various strategies in the Fund allowed it to exceed the market return. The
Fund's interest rate positioning detracted slightly from performance for the
period while sector allocations proved beneficial. The overall underweight to
the corporate sector hurt the Fund but the avoidance of many leveraged buyout
candidates and an allocation to higher beta corporate bonds at the long end of
the curve more than offset the sector call. The material overweights to the
structured sectors, MBS, Commercial Mortgage-Backed Securities ('CMBS') and ABS
also added excess return. Security selection, especially in corporate and
mortgage-backed securities, was the main driver of enhanced returns.
Core Fixed Income Fund
AVERAGE ANNUAL TOTAL RETURN 1
- --------------------------------------------------------------------------------
Annualized Annualized Annualized Annualized
One Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
- --------------------------------------------------------------------------------
Core Fixed Income
Fund, Class A 6.95% 4.49% 5.09% 6.31% 6.51%
- --------------------------------------------------------------------------------
Comparison of Change in the Value of a $100,000 Investment in the Core Fixed
Income Fund, Class A, versus the Lehman Aggregate Bond Index
[LINE GRAPH OMITTED]
PLOT POINTS ARE AS FOLLOWS:
Core Fixed Income Lehman Aggregate
Fund, Bond
Class A Index
5/31/97 $100,000 $100,000
5/31/98 111,600 110,910
5/31/99 116,231 115,735
5/31/00 118,637 118,177
5/31/01 135,152 133,681
5/31/02 143,842 144,510
5/31/03 159,808 161,244
5/31/04 161,614 160,534
5/31/05 172,556 171,483
5/31/06 172,400 170,660
5/31/07 184,382 182,026
1 For the period ended May 31, 2007. Past performance is not an indication
of future performance. Class A shares were offered beginning 6/14/96.
Returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares. The
returns for certain periods reflect fee waivers and/or reimbursements in
effect for that period; absent fee waivers and reimbursements, performance
would have been lower.
- --------------------------------------------------------------------------------
14 SEI Institutional Investments Trust / Annual Report / May 31, 2007
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2007
High Yield Bond Fund
Objective
The High Yield Bond Fund (the "Fund") seeks to maximize total return.
Strategy
Under normal circumstances, the Fund will invest at least 80% of its net assets
in high yield fixed income securities. The Fund will invest primarily in fixed
income securities rated below investment grade (junk bonds), including corporate
bonds and debentures, convertible and preferred securities, and zero coupon
obligations. The Fund uses a multi-manager approach, relying upon a number of
sub-advisers with differing investment philosophies to manage portions of the
Fund's portfolio under the general supervision of SEI Investments Management
Corporation (SIMC). To a limited extent, SIMC may also directly manage a portion
of the Fund's portfolio. In managing the Fund's assets, the sub-advisers and, to
the extent applicable, SIMC select securities that offer a high current yield as
well as total return potential. The Fund's securities are diversified as to
issuers and industries. The Fund's average weighted maturity may vary, and will
generally not exceed ten years. There is no limit on the maturity or on the
credit quality of any security. The Fund will invest primarily in securities
rated BB, B, CCC, CC, C and D. However, it may also invest in non-rated
securities or securities rated investment grade (AAA, AA, A and BBB).
Analysis
The Fund underperformed its benchmark with a return of 11.81% for the fiscal
year ended May 31, 2007. The Fund's benchmark, Merrill Lynch U.S. High Yield
Master II Constrained Index, returned 12.72%, as a healthy credit environment,
favorable technicals, and low default rates continued to support the market. The
automotive sector was a top performer and General Motors and Ford posted strong
returns. General Motors is further along in its restructuring plan compared to
Ford as both companies are garnering some optimism from the broader market. The
cable sector was also a top performer as Charter Communications registered the
best return within this segment. The company has gathered more subscribers with
their triple-play offering of cable, phone, and internet services. The firm was
also able to refinance existing debt at lower interest rates which was a
positive event. The beverage sector was the only segment that posted a negative
return for the period. The sector was dragged down by water and juice producer
Le-Natures, whose bonds plummeted more than 85% after it was discovered that the
company was involved in fraudulent activities. Moody's U.S. issuer-based default
rate continued to trend toward historical lows. The trailing twelve month
reading of 1.52% is slightly above the lowest rate during the current economic
cycle. The market is anticipating default rates to increase slowly over the next
twelve months but to remain below the historical average.
The Fund's underweight to Charter Communications was a negative for the period
as their bonds were up sharply due to upward revaluations across the cable
sector, improved corporate fundamentals, and debt refinancing. The Fund's
overweight to Le-Natures was a negative as corporate fraud hammered bond prices.
While the Fund's allocation to the distressed area of the high yield market has
historically added value, exposure to Owens Corning and Armstrong World
Industries were negatives for the period offsetting gains from Adelphia
Communications. The Fund's overweights to consumer products and fixed line
telecom were positives for the period. In consumer products, Jostens was a solid
performer as the company reported strong financial results during the year.
Level 3 Communications, a constituent of the fixed line telecom sector, was a
key performer due to good financials and debt refinancing. The Fund's exposure
to structured credit, such as collateralized debt obligations, was a positive as
well.
High Yield Bond Fund
AVERAGE ANNUAL TOTAL RETURN 1
- --------------------------------------------------------------------------------
Annualized
One Year Inception
Return to Date
- --------------------------------------------------------------------------------
High Yield Bond Fund,
Class A 11.81% 11.29%
- --------------------------------------------------------------------------------
Comparison of Change in the Value of a $100,000 Investment in the High Yield
Bond Fund, Class A versus the Merrill Lynch U.S. High Yield Master II
Constrained Index
[LINE GRAPH OMITTED]
PLOT POINTS ARE AS FOLLOWS:
High Yield Merrill Lynch U.S. High Yield
Bond Fund, Master II Constrained
Class A Index
12/5/05 $100,000 $100,000
5/31/06 104,861 104,060
5/31/07 117,245 117,297
1 For the period ended May 31, 2007. Past performance is not an indication
of future performance. Class A shares were offered beginning 12/05/05.
Returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares. The
returns for certain periods reflect fee waivers and/or reimbursements in
effect for that period; absent fee waivers and reimbursements, performance
would have been lower.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 15
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2007
Long Duration Fund
Objective
The Long Duration Fund (the "Fund") seeks to duplicate the return
characteristics similar to those of high-quality corporate bonds, with a
duration range of 10-13 years.
Strategy
The Fund's investment strategy is designed to aid investors, especially
corporate pension plans, with asset/liability management in order to reduce
funding status volatility caused by changes in interest rates. The Fund seeks to
duplicate the risk and return characteristics of a long fixed income securities
portfolio (approximate duration of 10 to 13 years) by using cash bonds and
derivative securities, including interest rate swap agreements and Treasury
futures contracts, for the purpose of managing the overall duration of the Fund.
Additionally, the Fund will invest in other fixed income securities, including
U.S. Agency, corporate and structured securities, to produce incremental return.
Due to the long duration or interest rate sensitivity of the Fund, the Fund may
experience large positive and negative absolute returns depending on the change
in interest rates.
Analysis
The Fund's return of 7.67% outperformed the Lehman 15 Year Bellweather Swap
Index's return of 7.60% and underperformed the Lehman Long U.S. Treasury Index's
return of 7.69% for the fiscal year ended May 31, 2007. Falling interest rates
was a positive environment for long duration assets during the fiscal year. The
Federal Reserve ('Fed') raised the Federal Funds rate at their June 2006 meeting
by 0.25%. Since then they kept rates unchanged as core inflation moderated and
the economy continued to chug along at a 2-3% growth rate. Over the last 12
months, two and ten-year Treasury yields traded in a somewhat narrow range
declining only 0.13% and 0.23% respectively. Yields fell for the majority of the
period as investors expected the Fed to ease monetary policy; however, as that
expectation diminished, yields began to creep back up. These shifts in interest
rates caused little change in the slope of the yield curve (or the difference
between 30-year Treasury yields and two-year Treasury yields) causing it to
flatten 0.10%.
The behavior of the spread sectors was better than U.S. Treasuries and all
spread sectors outperformed equivalently matched Treasuries. Corporate bonds
thrived on strong fundamentals, including robust earnings and only modestly
higher default rates even as valuations appeared stretched and leveraged buyout
activity continued. The Asset-Backed Security (ABS) sector repeated another year
of good performance generating 0.39% in excess return. Throughout most of 2006,
spreads for ABS continued to move tighter despite significant new issuance due
to unprecedented demand from non traditional investors, including hedge funds
and collateralized debt obligations. This reversed in early 2007 with the
turmoil in the subprime housing market due to increased delinquencies and
foreclosures. Fortunately this contagion did not significantly affect the higher
quality securities that comprise the investment grade structured markets.
Mortgage-Backed Securities (MBS) performed well as they were the best performing
sector behind corporate bonds. With the exception of late first quarter 2007,
volatility remained low for the majority of the period providing a stable
environment for mortgage performance.
As would be expected in a period of falling long term interest rates, the Fund's
return registered a positive nominal return. It's important to remember that the
strategy of the Fund is, in fact, to provide absolute returns that match the
performance of pension plan liabilities; as such falling interest rates generate
a positive return on the assets of the Fund, which essentially mimics the
behavior that lower discount rates have on the pension plan's liabilities. The
Fund's active management strategy succeeded in slightly outpacing the benchmark.
The Fund's execution of duration and spread strategies added to performance.
Likewise the Fund's superior security selection in the Asset-backed,
Mortgage-backed, and corporate sectors, especially auto and insurance, also
provided superior risk adjusted returns.
- --------------------------------------------------------------------------------
16 SEI Institutional Investments Trust / Annual Report / May 31, 2007
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2007
Long Duration Fund
AVERAGE ANNUAL TOTAL RETURN 1
- --------------------------------------------------------------------------------
Annualized Annualized
One Year 3 Year Inception
Return Return to Date
- --------------------------------------------------------------------------------
Long Duration Fund,
Class A 7.67% 5.24% 4.45%
- --------------------------------------------------------------------------------
Comparison of Change in the Value of a $100,000 Investment in the Long Duration
Fund, Class A, versus the Lehman Long U.S. Treasury Index and Lehman 15 Year
Bellweather Swap Index 2
[LINE GRAPH OMITTED]
PLOT POINTS ARE AS FOLLOWS:
Long Duration Lehman Long Lehman 15 Year
Fund, U.S. Treasury Bellweather Swap
Class A Index Index 2
4/21/04 $100,000 $100,000 $100,000
5/31/04 98,218 99,012 98,446
5/31/05 113,206 114,983 114,119
5/31/06 106,323 108,510 106,381
5/31/07 114,478 116,854 114,466
1 For the period ended May 31, 2007. Past performance is not an indication
of future performance. Class A shares were offered beginning 4/21/04.
Returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares. The
returns for certain periods reflect fee waivers and/or reimbursements in
effect for that period; absent fee waivers and reimbursements, performance
would have been lower.
2 The Lehman 15 Year Bellweather Swap Index is the most appropriate measure
of the Fund's performance.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 17
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2007
Extended Duration Fund
Objective
The Extended Duration Fund (the "Fund") seeks to duplicate return
characteristics similar to those of high-quality corporate bonds, with a
duration range of 23-26 years.
Strategy
The Fund's investment strategy is designed to aid investors, especially
corporate pension plans, with asset/liability management in order to reduce
funding status volatility caused by changes in interest rates. The Fund seeks to
duplicate the risk and return characteristics of a long fixed income securities
portfolio (approximate duration of 23 to 26 years) by using cash bonds and
derivative securities, including interest rate swap agreements and Treasury
futures contracts, for the purpose of managing the overall duration of the Fund.
Additionally, the Fund will invest in other fixed income securities, including
U.S. Agency, corporate and structured securities, to produce incremental return.
Due to the long duration or interest rate sensitivity of the Fund, the Fund may
experience large positive and negative absolute returns depending on the change
in interest rates.
Analysis
The Fund outperformed its benchmark with a return of 9.73% for the fiscal year
ended May 31, 2007. The Fund's benchmark, a hybrid of the Lehman 20 Year
Bellweather Swap and the Lehman 3 Month Bellweather Swap Indices, returned
9.72%. Falling interest rates was a positive environment for long duration
assets during the fiscal year. The Federal Reserve ('Fed') raised the Federal
Funds rate at their June 2006 meeting by 0.25%. Since then they kept rates
unchanged as core inflation moderated and the economy continued to chug along at
a 2-3% growth rate. Over the last 12 months, two and ten-year Treasury yields
traded in a somewhat narrow range declining only 0.13% and 0.23% respectively.
Yields fell for the majority of the period as investors expected the Fed to ease
monetary policy; however, as that expectation diminished, yields began to creep
back up. These shifts in interest rates caused little change in the slope of the
yield curve (or the difference between 30-year Treasury yields and two-year
Treasury yields) causing it to flatten 0.10%.
The behavior of the spread sectors was better than U.S. Treasuries and all
spread sectors outperformed equivalently matched Treasuries. Corporate bonds
thrived on strong fundamentals, including robust earnings and only modestly
higher default rates even as valuations appeared stretched and leveraged buyout
activity continued. The Asset-Backed Security (ABS) sector repeated another year
of good performance generating 0.39% in excess return. Throughout most of 2006,
spreads for ABS continued to move tighter despite significant new issuance due
to unprecedented demand from non traditional investors, including hedge funds
and collateralized debt obligations. This reversed in early 2007 with the
turmoil in the subprime housing market due to increased delinquencies and
foreclosures. Fortunately this contagion did not significantly affect the higher
quality securities that comprise the investment grade structured markets.
Mortgage-Backed Securities (MBS) performed well as they were the best performing
sector behind corporate bonds. With the exception of late first quarter 2007,
volatility remained low for the majority of the period providing a stable
environment for mortgage performance.
As would be expected in a period of falling long term interest rates, the Fund's
return registered a positive nominal return. It's important to remember that the
strategy of the Fund is, in fact to provide absolute returns that match the
performance of pension plan liabilities; as such falling interest rates generate
a positive return on the assets of the Fund, which essentially mimics the
behavior that lower discount rates have on the pension plan's liabilities. The
Fund's active management strategy succeeded in slightly outpacing the benchmark.
The Fund's execution of duration and spread strategies added to performance.
Likewise the Fund's superior security selection in the Asset-backed,
Mortgage-backed, and corporate sectors, especially auto and insurance, also
provided superior risk adjusted returns.
- --------------------------------------------------------------------------------
18 SEI Institutional Investments Trust / Annual Report / May 31, 2007
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2007
Extended Duration Fund
AVERAGE ANNUAL TOTAL RETURN 1
- --------------------------------------------------------------------------------
Annualized Annualized
One Year 3 Year Inception
Return Return to Date
- --------------------------------------------------------------------------------
Extended Duration Fund,
Class A 9.73% 6.35% 4.78%
- --------------------------------------------------------------------------------
Comparison of Change in the Value of a $100,000 Investment in the Extended
Duration Fund, Class A, versus Lehman 20 Year U.S. Treasury Strip Index, the
Hybrid ((2 X A)-B) of the following two indexes, the Lehman 20 Year Bellweather
Swap Index (A), and the Lehman 3 Month Bellweather Swap Index (B)
[LINE GRAPH OMITTED]
PLOT POINTS ARE AS FOLLOWS:
Extended Duration Lehman 20 Year Lehman 20 Year Lehman 3 Month
Fund, U.S. Treasury Strip Bellweather Swap Bellweather Swap
Class A Index Hybrid ((2xA)-B) Index (A) Index (B)
4/21/04 $100,000 $100,000 $100,000 $100,000 $100,000
5/31/04 96,117 99,061 96,963 98,535 100,120
5/31/05 130,469 133,664 132,946 117,001 102,162
5/31/06 105,366 117,798 106,530 107,372 106,341
5/31/07 115,619 129,872 116,884 115,768 112,094
1 For the period ended May 31, 2007. Past performance is not an indication
of future performance. Class A shares were offered beginning 4/21/04.
Returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares. The
returns for certain periods reflect fee waivers and/or reimbursements in
effect for that period; absent fee waivers and reimbursements, performance
would have been lower.
2 The Hybrid (2 X Lehman 20 Year Bellwether Swap Index)-Lehman 3 Month
Bellwether Swap Index is the most appropriate measure of the Fund's
performance.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 19
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2007
Emerging Markets Debt Fund
Objective
The Emerging Markets Debt Fund (the "Fund") seeks to maximize total return.
Strategy
Under normal circumstances, the Fund will invest at least 80% of its net assets
in fixed income securities of emerging market issuers. The Fund will invest
primarily in U.S.-dollar-denominated debt securities of government,
government-related and corporate issuers in emerging market countries, as well
as entities organized to restructure the outstanding debt of such issuers. The
Fund uses a multi-manager approach, relying upon a number of sub-advisers with
differing investment philosophies to manage portions of the Fund's portfolio
under the general supervision of SEI Investments Management Corporation (SIMC).
The sub-advisers will spread the Fund's holdings across a number of countries
and industries to limit its exposure to a single emerging market economy. There
are no restrictions on the Fund's average portfolio maturity, or on the maturity
of any specific security. There is no minimum rating standard for the Fund's
securities and the Fund's securities will generally be in the lower or lowest
rating categories (including those below investment grade, commonly referred to
as junk bonds).
Analysis
The Fund outperformed its benchmark with a return of 17.40% for the fiscal year
ended May 31, 2007. The Fund's benchmark, J.P. Morgan EMBI Global Diversified
Index, returned 13.98%. Broadly, the market continues to benefit from strong
internal factors - improving economies and the passage of critical reforms - as
well has strong external factors - high commodity prices. The continued
improvement in Emerging Market Debt (EMD) credit fundamentals was again rewarded
by the rating agencies throughout the period as Uruguay, Venezuela, Brazil,
Russia and Argentina all saw their ratings upgraded. Uruguay's credit rating was
raised by Standards & Poor (S&P) to B from B- after the country posted a third
year of growth and its currency appreciated, which makes it easier for the
country to pay off its debt. Ecuador saw its credit rating outlook raised as the
country continues to benefit from high oil prices. S&P raised Venezuela's credit
rating to BB- from B+. S&P cited the sharp increase in international reserves
and a drop in external debt, reflecting the country's large current account
surplus, buoyant economic growth and the potential buyback of external debt.
Additionally, S&P revised its rating outlook on Colombian government debt to
positive from stable, citing the country's improving external debt profile and
credit position. This view applied to both long-term foreign and local currency
sovereign credit ratings. Moody's upgraded Russia's credit rating from Baa3 to
Baa2. The agency cited continued growth in international reserves and positive
effects of recent debt buybacks as justification for the upgrade. Finally,
Brazil had its credit rating raised one level by S&P to BB. The increase is the
second since September 2004. With the large number of credit rating improvements
for EMD countries over the past year, the JPM EMBIG index average credit rating
is now BB+, its highest average rating on record. Further, there is now a strong
probability that the index will hold an average credit rating of BBB-, or
investment grade, over the next year. During the period, EMD spreads over U.S.
Treasuries tightened 44 basis point to end at 166 basis points with the market
yield ending the period at 6.60%.
Politics were at the forefront during the period, with investor attention
focused on presidential elections in Mexico, Brazil and Ecuador. In Mexico, the
July election was the closest in Mexican history with Felipe Calderon winning by
a slim margin. After a few weeks of speculation of vote rigging, Mexico's
Federal Electoral Court officially rejected any possibility of a widespread
recount of the votes cast in an August decision. As a result, Felipe Calderon of
the ruling PAN party was inaugurated as Mexico's next president when Vicente Fox
stepped down in December. In Brazil, incumbent President Lula failed to win in
the first round, winning 48.6% of the vote, to Geraldo Alckmin's 41.6%. However,
in the second round, held on October 29, Lula received 61% to Alckmin's 39% and
will serve a second term. After many months of divergent polling results, Rafael
Correa won Ecuador's election, receiving 58% of votes tallied, compared with 42%
for Alvaro Noboa, Ecuador's largest banana exporter. On the news of the victory
by Correa, Ecuadorian bonds fell dramatically, ending down 18% during the
period.
The Fund's overweight to Brazil was the largest contributor to performance.
Brazil bonds gained 21.04% benefiting from the aforementioned credit ratings
upgrades while shaking off political volatility. An underweight to Russia also
added to performance. Despite the ratings upgrades, Russia bonds underperformed
the market by 3% during the period. Finally, the funds overweight to Argentina
added to performance as its bonds returned 26.4%. Argentina announced that it
has paid back its entire $9.5 billion debt to the international monetary fund
- --------------------------------------------------------------------------------
20 SEI Institutional Investments Trust / Annual Report / May 31, 2007
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2007
(IMF), effectively cutting free from the Washington-based lender after years of
bitter clashes. Argentina called it the start of a new phase and says it now has
more freedom to carry out economic policies that have not always met with the
IMF's approval.
The Fund's underweight to the Philippines detracted from performance as the
country was one of the top performing countries in the index, returning 17.7%.
The Fund has been underweight Philippines bonds all year due to the country's
high debt/gross domestic product (GDP) ratio. Finally, the Fund's lack of
exposure to Cote D'Ivoire (Ivory Coast) detracted as bonds gained 35.3% during
the period. Cote D'Ivoire bonds rallied sharply on increased expectations for
the government and rebels will begin to hold open talks which could simmer
tensions between the two that have divided the country for three years.
Emerging Markets Debt Fund
AVERAGE ANNUAL TOTAL RETURN 1
- --------------------------------------------------------------------------------
Annualized
One Year Inception
Return to Date
- --------------------------------------------------------------------------------
Emerging Markets Debt Fund,
Class A 17.40% 12.14%
- --------------------------------------------------------------------------------
Comparison of Change in the Value of a $100,000 Investment in the Emerging
Markets Debt Fund, Class A, versus the J.P. Morgan EMBI Global Diversified
Index, and the J.P. Morgan EMBI Global Index
[LINE GRAPH OMITTED]
PLOT POINTS ARE AS FOLLOWS:
Emerging Markets J.P. Morgan EMBI Global
Debt Fund, Diversified J.P. Morgan EMBI Global
Class A Index Index
12/5/05 $100,000 $100,000 $100,000
5/31/06 101,102 101,492 101,141
5/31/07 118,576 115,680 115,119
1 For the period ended May 31, 2007. Past performance is not an indication
of future performance. Class A shares were offered beginning 12/05/05.
Returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares. The
returns for certain periods reflect fee waivers and/or reimbursements in
effect for that period; absent fee waivers and reimbursements, performance
would have been lower.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 21
SCHEDULE OF INVESTMENTS
Large Cap Fund
May 31, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)++:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
22.5% Financials
13.6% Information Technology
10.9% Health Care
10.9% Consumer Discretionary
9.1% Consumer Staples
8.9% Energy
7.1% Industrials
5.6% Short-Term Investments
3.7% Telecommunication Services
3.3% Utilities
2.8% Materials
0.8% Commercial Paper
0.4% U.S. Treasury Obligation
0.2% Certificate of Deposit
0.1% Master Note
0.1% Asset-Backed Securities
0.0% Warrants
++Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 9).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 96.7%
CONSUMER DISCRETIONARY -- 11.6%
Abercrombie & Fitch, Cl A 1,000 $ 83
Aeropostale* 4,300 199
Amazon.com* 3,000 207
American Eagle Outfitters 26,950 728
AnnTaylor Stores* 3,600 141
Apollo Group, Cl A* 9,820 471
Autoliv 15,700 937
Autozone* 1,687 217
Barnes & Noble 4,300 184
Bed Bath & Beyond* 1,800 73
Big Lots (B)* 7,500 236
BorgWarner (B) 3,700 311
Brinker International (B) 24,416 780
Cablevision Systems, Cl A 12,226 442
Carmax* 10,500 252
CBS, Cl B 46,969 1,562
Circuit City Stores 900 14
Clear Channel Communications 3,325 128
Coach* 22,173 1,139
Comcast, Cl A (B)* 72,377 1,984
DaimlerChrysler* 1,400 128
Darden Restaurants 755 34
Dick's Sporting Goods (B)* 5,200 289
Dillard's, Cl A 3,300 120
DIRECTV Group* 49,800 1,163
Discovery Holding, Cl A* 4,400 103
Dollar Tree Stores* 16,400 694
Dow Jones 200 11
E.W. Scripps, Cl A 1,603 73
Eastman Kodak (B) 12,600 320
EchoStar Communications, Cl A (B)* 3,643 168
Expedia* 7,200 173
Family Dollar Stores (B) 5,900 199
Federated Department Stores* 25,276 1,009
Foot Locker 1,300 29
Ford Motor (B) 10,100 84
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Fortune Brands 23,268 $ 1,880
GameStop, Cl A* 3,000 111
Gannett 10,297 606
Gap 7,500 139
General Motors (B) 33,061 991
Gentex 21,200 376
Genuine Parts 4,558 234
Goodyear Tire & Rubber* 15,600 553
Gymboree* 7,200 322
Hanesbrands* 2,300 60
Harley-Davidson (B) 9,400 574
Harman International Industries 800 95
Harrah's Entertainment 226 19
Hasbro 41,900 1,347
Hilton Hotels (B) 4,930 175
Home Depot 56,692 2,204
IAC/InterActive (B)* 23,659 819
Idearc* 9,032 318
International Game Technology 91,922 3,694
International Speedway, Cl A 500 26
Interpublic Group (B)* 20,200 237
ITT Educational Services* 3,300 374
J.C. Penney 13,843 1,114
Jarden* 2,200 94
John Wiley & Sons, Cl A 1,500 69
Johnson Controls 4,372 480
Jones Apparel Group 19,874 592
KB Home 6,200 284
Kellwood 2,000 58
Kohl's (B)* 17,494 1,318
Lamar Advertising, Cl A 21,004 1,376
Las Vegas Sands* 600 47
Leggett & Platt 1,400 34
Liberty Global, Cl A* 11,274 433
Liberty Media Holding-Capital, Ser A* 5,106 576
Liberty Media Holding-Interactive, Cl A* 7,800 189
Limited Brands 5,400 142
Liz Claiborne 600 21
Lowe's (B) 57,960 1,902
Magna International, Cl A* 4,200 374
Marriott International, Cl A 2,488 115
Mattel 48,500 1,358
McDonald's 69,545 3,515
McGraw-Hill 64,277 4,519
Meredith 900 56
MGM Mirage* 41,400 3,293
Midas* 6,700 151
Newell Rubbermaid 13,239 420
News, Cl A 35,439 783
Nike, Cl B (B) 23,730 1,347
Nordstrom 2,000 104
Nutri/System (B)* 600 39
NVR (B)* 500 398
- --------------------------------------------------------------------------------
22 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Office Depot* 8,284 $ 302
OfficeMax 3,700 166
Omnicom Group 3,230 340
PetSmart (B) 7,100 243
Phillips-Van Heusen 1,000 61
Polo Ralph Lauren 2,522 246
Pulte Homes (B) 5,200 142
R.H. Donnelley 1,200 94
RadioShack 5,500 188
Ross Stores 3,500 115
Ryland Group 600 28
Saks 13,400 269
Sears Holdings* 680 122
Select Comfort (B)* 2,300 42
Service International 6,800 95
ServiceMaster 4,000 62
Shaw Communications, Cl B* 8,100 338
Sherwin-Williams 8,025 543
Snap-On 3,817 206
Staples 140,000 3,508
Starbucks (B)* 19,982 576
Starwood Hotels & Resorts Worldwide 2,300 166
Target (B) 32,804 2,048
Tiffany 1,100 58
Tim Hortons 2,495 78
Time Warner 187,663 4,010
TJX 10,000 280
Toll Brothers* 900 26
Tribune (B) 25,350 816
Universal Technical Institute (B)* 5,100 120
Urban Outfitters (B)* 5,400 144
VF 9,659 906
Viacom, Cl B* 45,148 2,028
Walt Disney 43,042 1,525
Weight Watchers International (B) 50,000 2,611
Wendy's International 11,638 467
Whirlpool 4,729 528
Williams-Sonoma (B) 21,710 736
Wyndham Worldwide* 5,840 217
Wynn Resorts (B)* 1,500 145
XM Satellite Radio Holdings, Cl A* 5,300 61
Yum! Brands 13,550 918
--------------
80,614
--------------
CONSUMER STAPLES -- 9.7%
Alberto-Culver* 4,100 102
Altria Group 41,384 2,942
Anheuser-Busch 20,679 1,103
Archer-Daniels-Midland 17,389 609
Avon Products 5,900 227
Bunge (B) 2,100 164
Campbell Soup 8,645 343
Church & Dwight 2,800 140
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Clorox 1,619 $ 109
Coca-Cola 84,401 4,472
Coca-Cola Enterprises 29,162 681
Colgate-Palmolive 30,426 2,037
ConAgra Foods 67,600 1,724
Corn Products International 4,200 172
Costco Wholesale (B) 30,680 1,733
CVS 45,317 1,747
Dean Foods 6,433 211
Del Monte Foods 661 8
Energizer Holdings (B)* 3,600 357
Estee Lauder, Cl A 9,100 430
General Mills 17,246 1,056
Hansen Natural* 2,400 96
Hershey 242 13
HJ Heinz 15,307 728
Hormel Foods 2,339 88
JM Smucker 3,800 219
Kellogg 7,982 431
Kimberly-Clark 24,454 1,735
Kraft Foods, Cl A 88,440 2,993
Kroger 55,922 1,696
Loews - Carolina 3,859 300
McCormick 7,381 275
Molson Coors Brewing, Cl B 7,500 687
Pepsi Bottling Group 4,239 148
PepsiAmericas 15,648 385
PepsiCo 87,427 5,974
Prestige Brands Holdings (B)* 3,200 42
Procter & Gamble 193,048 12,268
Reynolds American (B) 33,960 2,209
Safeway 49,476 1,706
Sara Lee 12,700 227
Supervalu 14,221 677
Sysco 7,424 246
Tyson Foods, Cl A 15,800 352
UST (B) 20,100 1,073
Wal-Mart Stores 120,958 5,758
Walgreen 111,906 5,050
WM Wrigley Jr. 23,086 1,353
--------------
67,096
--------------
ENERGY -- 9.5%
Anadarko Petroleum 9,136 454
Apache 104 8
Baker Hughes 61,471 5,070
BP ADR* 1,200 80
Cabot Oil & Gas 4,300 168
Cameron International* 3,729 264
Chesapeake Energy (B) 18,800 655
Chevron 108,998 8,882
Cimarex Energy 8,400 353
ConocoPhillips 68,571 5,309
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 23
SCHEDULE OF INVESTMENTS
Large Cap Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Devon Energy 30,090 $ 2,310
Dresser-Rand Group* 16,200 577
EOG Resources 400 31
Exxon Mobil 233,635 19,431
FMC Technologies* 1,700 129
Forest Oil (B)* 800 33
Frontier Oil 1,900 77
Frontline (B)* 8,700 399
Grant Prideco* 1,200 68
Halliburton 77,800 2,797
Hess 1,253 74
Holly (B) 8,400 589
Hornbeck Offshore Services (B)* 3,700 148
Marathon Oil 32,444 4,017
National Oilwell Varco* 200 19
Noble Energy 8,574 543
Occidental Petroleum 5,110 281
Oceaneering International* 1,900 95
Overseas Shipholding Group 1,800 143
Petro-Canada* 11,800 598
Plains Exploration & Production* 1,500 79
Quicksilver Resources* 1,200 53
Range Resources 1,500 58
Schlumberger 63,406 4,937
SEACOR Holdings* 600 56
Southwestern Energy* 2,800 133
Spectra Energy* 462 12
Suncor Energy* 34,702 3,025
Sunoco 11,000 877
Superior Energy Services* 1,000 40
Tesoro 1,400 87
Transocean* 2,700 265
Valero Energy 18,000 1,343
Weatherford International* 26,010 1,413
Williams 3,800 121
XTO Energy 1,510 88
--------------
66,189
--------------
FINANCIALS -- 21.6%
A.G. Edwards 996 88
ACE 1,800 111
Aflac 4,740 251
Alleghany (B)* 304 114
Allied Capital (B) 4,167 132
Allstate 46,460 2,857
AMBAC Financial Group 3,200 287
American Capital Strategies (B) 8,046 390
American Express 59,712 3,880
American Financial Group 5,350 191
American International Group 106,120 7,677
AmeriCredit (B)* 12,900 342
Ameriprise Financial 4,558 286
Annaly Capital Management+ 9,500 147
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Anthracite Capital+ 494 $ 6
AON (B) 10,361 445
Apartment Investment &
Management, Cl A+ 2,443 134
Archstone-Smith Trust+ 1,701 105
Arthur J. Gallagher 1,100 32
Assurant 16,807 999
Astoria Financial 7,733 206
AvalonBay Communities+ 2,114 276
Axis Capital Holdings 13,900 550
Bank of America 213,209 10,812
Bank of New York 7,300 296
BB&T 41,934 1,766
Bear Stearns 10,145 1,521
BlackRock 114 18
Boston Properties+ 1,294 150
Brandywine Realty Trust+ 1,600 51
BRE Properties, Cl A+ 3,000 190
Brookfield Asset Management, Cl A* 10,900 690
Camden Property Trust+ 507 38
Capital One Financial 444 35
CapitalSource+ (B) 3,000 79
CB Richard Ellis Group, Cl A* 4,800 179
Cbot Holdings, Cl A (B)* 700 138
Charles Schwab 96,992 2,179
Chicago Mercantile Exchange
Holdings, Cl A 8,037 4,268
Chubb 24,660 1,353
CIT Group 18,748 1,124
Citigroup 224,063 12,209
Colonial BancGroup 1,800 45
Comerica 30,597 1,922
Commerce Bancorp 1,484 51
Commerce Bancshares 1,128 53
Compass Bancshares 3,107 217
Countrywide Financial (B) 44,151 1,719
Credicorp 300 17
Cullen/Frost Bankers 1,000 53
Duke Realty+ 4,500 181
Eaton Vance 11,700 514
Equity Residential+ (B) 4,843 245
Erie Indemnity, Cl A 529 29
Essex Property Trust+ 1,700 216
Everest Re Group 3,400 365
Fannie Mae 23,614 1,509
Federal Realty Investment Trust+ 380 34
Fidelity National Financial, Cl A 8,400 236
First American 500 27
First Cash Financial Services* 8,200 204
First Horizon National (B) 1,222 49
First Marblehead (B) 2,750 102
First Mercury Financial* 2,400 45
Forest City Enterprises, Cl A (B) 4,052 284
Franklin Resources 5,171 702
- --------------------------------------------------------------------------------
24 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Freddie Mac 57,910 $ 3,868
General Growth Properties+ 2,700 159
Genworth Financial, Cl A 15,400 556
Goldman Sachs Group 12,064 2,785
Hartford Financial Services Group 12,650 1,305
Health Care Property Investors+ (B) 9,100 297
Health Care+ (B) 3,700 162
Hospitality Properties Trust+ 3,684 164
Host Hotels & Resorts+ (B) 5,674 145
HRPT Properties Trust+ 8,200 94
Hudson City Bancorp (B) 13,400 177
Huntington Bancshares 1,500 34
IndyMac Bancorp (B) 5,100 171
IntercontinentalExchange (B)* 34,500 5,000
iStar Financial+ 6,800 327
Janus Capital Group (B) 25,700 711
JER Investors Trust+ 7,200 135
Jones Lang LaSalle 9,100 1,062
JPMorgan Chase 171,105 8,868
Keycorp 50,333 1,792
Kimco Realty+ 500 23
Legg Mason 17,910 1,809
Lehman Brothers Holdings 22,500 1,651
Lincoln National 14,107 1,023
Loews 35,347 1,804
M&T Bank 2,330 257
Macerich+ 300 27
Mack-Cali Realty+ 2,300 111
Markel* 329 162
Marsh & McLennan (B) 9,425 309
Marshall & Ilsley 2,672 128
MBIA 8,300 552
Mellon Financial 7,600 329
Merrill Lynch 64,128 5,947
Metlife 10,290 700
MGIC Investment 6,400 416
Moody's (B) 51,759 3,605
Morgan Stanley 56,982 4,846
National City (B) 46,464 1,607
Nationwide Financial Services,
Cl A (B) 9,700 601
New York Community Bancorp 4,949 87
Newcastle Investment+ 11,200 332
NewStar Financial* 2,200 31
Northern Trust 3,765 245
Nuveen Investments, Cl A 1,200 66
NYSE Euronext* 1,000 83
Old Republic International 22,700 492
Oriental Financial Group 10,300 125
People's United Financial 8,999 182
Philadelphia Consolidated Holding* 2,400 99
PMI Group 13,800 682
PNC Financial Services Group 14,243 1,051
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Principal Financial Group 11,600 $ 705
Progressive 5,264 121
Prologis+ 1,136 73
Prudential Financial 6,300 643
Public Storage+ 1,877 168
Radian Group (B) 7,764 481
Regency Centers+ 600 47
Regions Financial 39,562 1,411
Reinsurance Group of America 8,000 501
Safeco 18,962 1,190
SeaBright Insurance Holdings* 4,400 79
Simon Property Group+ 301 33
SL Green Realty+ (B) 3,116 436
Sovereign Bancorp 4,200 98
St. Joe (B) 1,000 52
State Street 3,101 212
SunTrust Banks 32,726 2,922
Synovus Financial 2,603 86
T. Rowe Price Group 5,132 264
Taubman Centers+ 400 22
TCF Financial 1,000 28
Thornburg Mortgage+ (B) 17,100 474
Torchmark 4,545 319
Travelers 68,634 3,718
UDR+ 3,830 116
United PanAm Financial* 3,000 47
UnumProvident 9,450 251
US Bancorp (B) 89,052 3,079
Valley National Bancorp (B) 5,200 127
Ventas+ (B) 5,600 237
Vornado Realty Trust+ 2,065 250
Wachovia 71,114 3,854
Washington Mutual (B) 62,660 2,740
Weingarten Realty Investors+ 1,500 70
Wells Fargo 42,746 1,543
Wilmington Trust 587 25
XL Capital, Cl A 6,658 543
Zions Bancorporation 1,051 85
--------------
149,665
--------------
HEALTH CARE -- 11.7%
Abbott Laboratories 35,508 2,001
Aetna 24,100 1,276
Alcon 1,408 194
Allergan 44,587 5,552
AmerisourceBergen 14,242 729
Amgen* 35,541 2,002
Applera - Applied Biosystems Group 11,330 322
Barr Pharmaceuticals* 448 24
Bausch & Lomb 900 61
Baxter International 6,704 381
Becton Dickinson 14,297 1,090
Biogen Idec* 7,629 398
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 25
SCHEDULE OF INVESTMENTS
Large Cap Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Biomet 2,100 $ 92
Bradley Pharmaceuticals* 4,900 108
Bristol-Myers Squibb 8,913 270
C.R. Bard 2,400 203
Cardinal Health 6,484 470
Celgene (B)* 35,296 2,162
Cephalon* 338 28
Cerner (B)* 5,700 324
Charles River Laboratories International* 10,900 580
Chemed 900 60
Cigna 10,648 1,785
Conceptus (B)* 6,500 121
Covance* 288 19
Cytyc* 600 25
Dade Behring Holdings 3,700 199
Dentsply International 1,400 51
Edwards Lifesciences* 700 35
Eli Lilly 18,004 1,055
Express Scripts (B)* 5,600 572
Forest Laboratories* 7,772 394
Genentech* 85,602 6,828
Genzyme* 1,500 97
Gilead Sciences* 18,629 1,542
Haemonetics* 5,700 283
Health Net* 500 29
Henry Schein* 1,423 76
Hillenbrand Industries 3,100 205
HLTH (B)* 8,200 124
Humana* 3,403 211
ICU Medical* 5,000 201
Idexx Laboratories* 816 72
IMS Health 2,923 96
Invitrogen* 7,600 551
Johnson & Johnson 52,904 3,347
Kinetic Concepts* 2,900 145
King Pharmaceuticals (B)* 49,984 1,062
Laboratory of America Holdings* 7,979 628
LifePoint Hospitals* 1,100 45
Manor Care (B) 1,987 135
McKesson 6,717 424
Medco Health Solutions* 12,973 1,009
Medimmune* 3,000 174
Medtronic 33,750 1,794
Merck 154,604 8,109
Millennium Pharmaceuticals* 4,800 52
Mylan Laboratories 2,213 44
PDL BioPharma* 2,000 55
PerkinElmer 2,100 56
Pfizer 356,579 9,802
Quest Diagnostics 459 22
Respironics* 600 26
Schering-Plough 15,868 519
Sciele Pharma (B)* 6,600 163
Sepracor* 400 19
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
St. Jude Medical* 53,970 $ 2,304
Stryker (B)* 30,391 2,046
Tenet Healthcare (B)* 19,500 136
Thermo Fisher Scientific* 38,613 2,108
Triad Hospitals* 500 27
United Therapeutics (B)* 5,000 330
United Health Group 95,007 5,204
Universal Health Services, Cl B 1,181 73
VCA Antech* 4,658 184
Ventana Medical Systems* 1,400 72
Vertex Pharmaceuticals* 100 3
Waters* 1,200 72
WellCare Health Plans* 2,400 221
WellPoint* 14,860 1,210
Wyeth 51,704 2,991
Zimmer Holdings* 40,200 3,540
--------------
81,049
--------------
INDUSTRIALS -- 7.5%
3M 1,698 149
Acuity Brands 7,400 449
AGCO* 5,400 234
Allied Waste Industries* 2,100 28
American Standard 5,100 305
AMR* 3,316 94
Applied Industrial Technologies 2,400 70
Avery Dennison 5,901 385
Boeing 11,430 1,150
Brink's 1,800 119
Burlington Northern Santa Fe 1,185 110
C.H. Robinson Worldwide (B) 3,087 167
Carlisle 600 26
Caterpillar 30,300 2,381
Cenveo* 2,700 66
Ceradyne (B)* 1,700 115
ChoicePoint* 9,200 404
Con-way 566 32
Continental Airlines, Cl B (B)* 5,200 209
Copart* 2,600 81
Corporate Executive Board 322 21
Corrections of America* 3,900 253
Covanta Holding* 5,800 144
Crane 2,100 92
CSX 3,290 149
Cummins 6,700 631
Danaher 3,030 223
Deere 11,600 1,397
Diamond Management &
Technology Consultants (B) 1,500 20
Dover 6,264 314
Dun & Bradstreet 407 41
Eaton 13,891 1,302
Emerson Electric 51,222 2,482
- --------------------------------------------------------------------------------
26 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Equifax 2,909 $ 122
Expeditors International
Washington (B) 68,114 2,974
FedEx 5,400 603
Gardner Denver* 12,000 494
General Dynamics 4,486 360
General Electric 316,443 11,892
Goodman Global* 3,400 75
Graco 5,400 216
Honeywell International 41,518 2,404
HUB Group, Cl A* 2,700 100
Ingersoll-Rand, Cl A 5,661 291
ITT 1,060 71
Kansas City Southern (B)* 700 29
L-3 Communications Holdings 6,800 648
Labor Ready* 3,900 94
Laidlaw International 900 31
Lincoln Electric Holdings 400 28
Lockheed Martin 17,585 1,725
Manitowoc 2,700 205
Manpower 6,200 570
Masco 12,600 381
MSC Industrial Direct, Cl A 11,200 600
Northrop Grumman 26,575 2,009
Paccar 3,643 318
Pall 600 27
Parker Hannifin 11,100 1,125
Pitney Bowes 1,307 62
Precision Castparts 3,225 386
Quanta Services (B)* 11,600 348
Raytheon 12,388 689
Robert Half International 1,400 49
Rockwell Automation 7,000 476
Rockwell Collins 632 45
Roper Industries 752 44
RR Donnelley & Sons 3,700 158
Ryder System 9,000 485
Saia* 700 20
Southwest Airlines (B) 3,900 56
SPX 3,529 310
Stericycle* 5,801 529
Terex* 2,700 229
Timken 8,600 302
Trinity Industries (B) 1,200 55
UAL (B)* 3,000 118
Union Pacific 1,981 239
United Parcel Service, Cl B 56,708 4,081
United Technologies 28,659 2,022
US Airways Group* 2,000 71
Waste Management 11,300 437
WW Grainger 1,036 91
--------------
52,337
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 14.6%
Activision* 6,500 $ 129
Adobe Systems* 6,532 288
Agilent Technologies (B)* 20,300 775
Akamai Technologies (B)* 12,294 544
Alliance Data Systems* 3,900 304
Amphenol, Cl A 5,660 203
Apple* 19,717 2,397
Applied Materials 36,040 688
Arrow Electronics* 4,265 175
Autodesk* 1,400 64
Automatic Data Processing 4,746 236
Avaya* 7,007 112
Avnet* 19,700 844
BEA Systems* 12,000 154
BMC Software* 17,221 571
Broadcom, Cl A* 337 10
Broadridge Financial Solutions* 1,336 27
CA 1,100 29
Cadence Design Systems (B)* 19,096 434
CDW 1,116 95
Ceridian* 3,158 112
Cisco Systems* 164,820 4,437
Cognizant Technology Solutions, Cl A* 4,000 314
Computer Sciences* 11,600 643
Compuware* 8,600 98
Convergys* 10,000 257
Dell* 1,500 40
Diebold 2,000 99
DST Systems* 1,722 144
eBay* 153,700 5,004
Electronic Arts* 49,136 2,401
Electronic Data Systems 11,700 337
EMC* 54,200 915
Exar* 7,000 95
F5 Networks* 700 57
Factset Research Systems 2,900 185
Fidelity National Information Services 3,951 213
First Data 2,700 88
Fiserv* 22,327 1,323
Google, Cl A* 21,515 10,709
Hewlett-Packard 133,705 6,112
Ingram Micro, Cl A* 6,200 128
Integrated Device Technology* 5,700 86
Intel 66,046 1,464
International Business Machines 27,676 2,950
International Rectifier* 2,300 83
Intevac* 5,000 96
Intuit* 125,192 3,818
Iron Mountain* 3,400 93
Juniper Networks* 13,500 330
Kla-Tencor 1,000 55
Kronos* 2,700 148
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 27
SCHEDULE OF INVESTMENTS
Large Cap Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
L-1 Identity Solutions (B)* 9,300 $ 199
Lam Research* 4,367 234
Lexmark International, Cl A* 6,600 343
Linear Technology (B) 39,931 1,433
LSI Logic* 19,286 167
Mastercard, Cl A 500 75
McAfee* 5,100 188
MEMC Electronic Materials* 1,454 88
Mettler Toledo International* 1,865 183
Micron Technology* 1,887 23
Microsoft 221,464 6,792
MicroStrategy, Cl A* 1,970 205
Molex 2,500 74
Motorola 854 16
MPS Group* 2,900 40
NCR* 900 48
Network Appliance (B)* 26,374 849
Network Equipment Technologies* 1,800 19
Novellus Systems (B)* 7,109 218
Nvidia* 7,030 244
Oracle* 88,411 1,713
Paychex 116,043 4,688
QLogic* 2,118 36
Qualcomm 223,517 9,600
Rambus (B)* 4,400 83
Red Hat* 390 10
Research In Motion* 38,900 6,461
Salesforce.com* 3,100 147
SanDisk (B)* 55,800 2,430
Sanmina-SCI* 34,739 124
Seagate Technology (B) 146,000 3,006
Silicon Laboratories* 500 17
Solectron* 51,000 173
Sybase* 2,692 65
SYKES Enterprises* 2,600 51
Symantec* 25,040 501
Synopsys* 15,609 414
Tech Data* 3,416 126
Teradyne* 4,400 75
Texas Instruments 15,132 535
Trimble Navigation* 2,600 76
Varian Semiconductor Equipment
Associates* 600 25
VeriFone Holdings* 1,300 45
VeriSign* 900 27
Vishay Intertechnology (B)* 28,200 503
Western Digital* 22,800 429
Western Union* 205,012 4,603
Xerox* 27,079 511
Xilinx (B) 1,200 34
Yahoo! (B)* 78,931 2,265
--------------
101,124
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
MATERIALS -- 3.0%
Air Products & Chemicals 3,300 $ 257
Albemarle 5,400 219
Alcan 8,200 711
Alcoa 37,300 1,540
Allegheny Technologies 2,300 266
Ashland 4,100 247
Ball 500 28
Bemis 3,200 108
Cabot 3,600 174
Carpenter Technology 100 13
Celanese, Ser A 3,200 116
Crown Holdings* 2,600 65
Dow Chemical 56,840 2,579
E.I. Du Pont de Nemours 11,865 621
Eagle Materials 3,200 161
Eastman Chemical 6,900 457
Ecolab 8,833 381
Florida Rock Industries 500 34
FMC 900 75
Freeport-McMoRan
Copper & Gold, Cl B 3,952 311
Gerdau Ameristeel* 5,100 80
Headwaters (B)* 3,400 67
Hecla Mining (B)* 4,100 33
International Flavors & Fragrances 5,800 298
International Paper 16,500 646
Lubrizol 13,003 855
Lyondell Chemical 9,300 346
MeadWestvaco 4,800 168
Methanex 11,700 304
Monsanto 492 30
Mosaic* 15,100 530
Nalco Holding 1,800 48
Nova Chemicals 3,500 125
Nucor 17,900 1,209
Owens-Illinois 3,300 112
Pactiv* 9,400 319
PPG Industries 8,999 686
Praxair 50,551 3,442
Rohm & Haas 7,700 408
Scotts Miracle-Gro, Cl A 700 32
Sealed Air 760 25
Sigma-Aldrich 1,928 83
Smurfit-Stone Container* 17,000 220
Sonoco Products 4,116 178
Southern Copper (B) 4,600 408
Steel Dynamics 2,300 108
Titanium Metals* 1,300 45
United States Steel 5,800 656
Valspar 6,600 191
- --------------------------------------------------------------------------------
28 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Vulcan Materials 5,800 $ 694
Weyerhaeuser 3,700 303
--------------
21,012
--------------
TELECOMMUNICATION SERVICES -- 4.0%
Alltel 7,635 523
American Tower, Cl A* 38,917 1,680
AT&T 275,197 11,377
Atlantic Tele-Network 1,500 43
CenturyTel 12,129 599
Citizens Communications 15,218 241
Crown Castle International (B)* 44,694 1,646
Embarq (B) 1,099 71
Leap Wireless International* 2,500 214
Sprint Nextel 152,066 3,475
Telephone & Data Systems 5,000 309
US Cellular* 1,600 127
Verizon Communications 153,233 6,670
Vodafone Group ADR* 4,600 145
Windstream 24,600 369
--------------
27,489
--------------
UTILITIES -- 3.5%
AES* 4,500 107
Allegheny Energy* 2,922 156
Alliant Energy 11,300 488
Ameren (B) 14,700 780
American Electric Power 45,131 2,150
Atmos Energy 5,600 181
Centerpoint Energy 40,800 772
CMS Energy 6,400 117
Consolidated Edison 3,700 181
Constellation Energy Group 4,699 431
Dominion Resources 4,052 359
DTE Energy (B) 21,200 1,121
Duke Energy 925 18
Dynegy* 6,200 60
Edison International 13,900 810
Energen 14,400 848
Energy East 17,700 428
Entergy 6,299 711
Equitable Resources 6,300 328
Exelon 1,954 152
FirstEnergy 29,603 2,049
FPL Group (B) 8,300 531
Great Plains Energy (B) 4,900 152
Integrys Energy Group 500 28
KeySpan 5,800 242
MDU Resources Group 2,521 76
Mirant* 19,200 891
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
National Fuel Gas 4,100 $ 187
NiSource 11,700 260
Northeast Utilities 10,400 316
NRG Energy (B)* 13,843 1,217
NSTAR 7,700 268
OGE Energy 6,200 229
Oneok 6,800 368
Pepco Holdings 26,900 803
PG&E 23,019 1,134
Pinnacle West Capital 14,600 678
PPL 20,965 964
Progress Energy 3,200 160
Public Service Enterprise Group 1,520 135
Puget Energy 7,830 197
Questar 800 86
Reliant Energy (B)* 17,900 459
SCANA 2,381 101
Sempra Energy 4,367 268
Sierra Pacific Resources* 1,300 25
Southern 6,639 239
TECO Energy 1,500 26
TXU 10,275 693
UGI 13,700 395
Vectren 1,800 52
Wisconsin Energy 5,900 286
Xcel Energy (B) 38,645 886
--------------
24,599
--------------
Total Common Stock
(Cost $520,106) ($ Thousands) 671,174
--------------
Number of
Warrants
---------
WARRANTS -- 0.0%
FINANCIALS -- 0.0%
Lucent Technologies,
Expires 12/10/07* 758 --
--------------
Total Warrants
(Cost $--) ($ Thousands) --
--------------
CASH EQUIVALENTS -- 4.4%
First Union Cash Management
Program, 5.221%** 1,426,738 1,427
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.330%**++ 5,998,441 5,998
SEI Liquidity Fund L.P.,
5.490% (C)**++ 23,381,684 23,382
--------------
Total Cash Equivalents
(Cost $30,807) ($ Thousands) 30,807
--------------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 29
SCHEDULE OF INVESTMENTS
Large Cap Fund (Concluded)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS (C) -- 2.4%
FINANCIALS -- 2.4%
American General Finance (E)(F)
5.370%, 06/15/07 $ 1,256 $ 1,256
Bear Stearns EXL (E)
5.360%, 06/15/07 1,541 1,541
Countrywide Financial MTN (E)
5.430%, 06/27/07 520 520
Countrywide Financial MTN, Ser A (E)
5.440%, 08/06/07 1,299 1,299
Irish Life & Permanent MTN, Ser X (E)(F)
5.360%, 06/21/07 1,152 1,152
Jackson National Life Funding (E) (F)
5.320%, 06/01/07 1,905 1,905
Morgan Stanley EXL (E)
5.400%, 06/04/07 303 303
Morgan Stanley EXL, Ser S (E)
5.360%, 06/04/07 433 433
Nationwide Building Society (E) (F)
5.410%, 06/28/07 476 476
5.370%, 06/07/07 866 866
Northern Rock (E) (F)
5.380%, 06/04/07 892 892
Premium Asset Trust, Ser 2004-10 (E)(F)
5.380%, 06/15/07 1,212 1,212
SLM MTN (E)
5.320%, 06/15/07 953 953
Skandinav Enskilda Bank (E) (F)
5.320%, 06/18/07 953 952
Stanfield Victoria LLC MTN (F)
5.450%, 06/11/07 866 866
UniCredito Italiano Bank (E) (F)
5.350%, 07/11/07 2,165 2,165
--------------
Total Corporate Obligations
(Cost $16,791) ($ Thousands) 16,791
--------------
COMMERCIAL PAPER (C) (D) -- 0.9%
FINANCIALS -- 0.9%
KKR Pacific Funding Trust
5.310%, 06/15/07 1,567 1,564
OCALA Funding
5.310%, 06/19/07 649 648
Rhineland Funding Capital
5.280%, 06/06/07 318 318
Thornburg Mortgage Capital Resources
5.290%, 06/07/07 1,732 1,730
Valour Bay Capital LLC
5.320%, 06/11/07 707 706
5.320%, 06/13/07 1,299 1,297
--------------
Total Commercial Paper
(Cost $6,263) ($ Thousands) 6,263
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT (C) -- 0.2%
Barclays Bank (E)
5.440%, 06/11/07 $ 433 $ 433
CC USA MTN (F)
5.520%, 06/18/07 866 866
--------------
Total Certificates of Deposit
(Cost $1,299) ($ Thousands) 1,299
--------------
U.S.TREASURY OBLIGATION (A)(D) -- 0.5%
U.S. Treasury Bill
4.813%, 08/23/07 3,060 3,028
--------------
Total U.S. Treasury Obligation
(Cost $3,026) ($ Thousands) 3,028
--------------
MASTER NOTE (C) (D) -- 0.2%
Bear Stearns
5.430%, 06/01/07 866 866
--------------
Total Master Note
(Cost $866) ($ Thousands) 866
--------------
ASSET-BACKED SECURITY (C) (E) (F) -- 0.1%
MORTGAGE RELATED SECURITIES -- 0.1%
Duke Funding, Ser 2004-6B, Cl A1S1
5.420%, 07/09/07 650 650
--------------
Total Asset-Backed Security
(Cost $650) ($ Thousands) 650
--------------
REPURCHASE AGREEMENTS (C) (G) -- 1.5%
Barclays Capital
5.280%, dated 05/31/07, to be
repurchased on 06/01/07,
repurchase price $298,524
(collateralized by a U.S. Government
obligation, par value $304,481,
0.000%, 06/01/07, total market
value $304,451) 298 298
Deutsche Bank
5.300%, dated 05/31/07, to be
repurchased on 06/01/07, repurchase
price $852,293 (collateralized by U.S.
Government obligations, ranging in par
value $4,711-$280,580, 4.000%-
6.000%, 02/01/08-11/04/20, total
market value $869,214) 852 852
- --------------------------------------------------------------------------------
30 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Lehman Brothers
5.300%, dated 05/31/07, to be
repurchased on 06/01/07, repurchase
price $9,527,274 (collateralized by U.S.
Government obligations, ranging in par
value $2,012,583-$16,494,142,
3.875%-8.875%, 06/15/08-03/15/31,
total market value $9,716,399) $ 9,526 $ 9,526
--------------
Total Repurchase Agreements
(Cost $10,676) ($ Thousands) 10,676
--------------
Total Investments -- 106.9%
(Cost $590,484) ($ Thousands) $ 741,554
==============
A summary of the open future contracts held by the Fund at May 31, 2007, is as
follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
NUMBER OF UNREALIZED
TYPE OF CONTRACTS EXPIRATION APPRECIATION
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
S&P 500 Composite Index 38 Jun-2007 $ 520
S&P Mid 400 Index E-Mini 23 Jun-2007 101
---------
$ 621
=========
Percentages are based on Net Assets of $693,994 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of May 31, 2007.
+ Real Estate Investments Trust
++ Affiliated security
(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 May 31,
2007 (see Note 9). The total value of securities on loan at May 31, 2007
was $57,964 ($ Thousands).
(C) This security was purchased with cash collateral held from securities on
loan (see Note 9). The total value of such securities as of May 31, 2007
was $59,927 ($ 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 May 31, 2007.
(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
ADR -- American Depositary Receipt
Cl -- Class
EXL -- Extendable Maturity
LLC -- Limited Liability Company
LP -- Limited Partnership
MTN -- Medium Term Note
Ser -- Series
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 31
SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund
May 31, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)++:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
14.9% Financials
13.7% Information Technology
11.8% Consumer Discretionary
11.6% Asset-Backed Securities
10.5% Health Care
7.8% Industrials
6.6% Energy
6.4% Consumer Staples
4.5% U.S. Government Agency Mortgage-Backed Obligations
3.1% Materials
2.7% Utilities
2.6% Short-Term Investments
2.4% Telecommunication Services
0.9% U.S. Government Agency Obligations
0.3% U.S. Treasury Obligations
0.2% Commercial Paper
++Percentages based on total investments.
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 89.7%
CONSUMER DISCRETIONARY -- 13.3%
Abercrombie & Fitch, Cl A 600 $ 50
Aeropostale* 11,500 532
Amazon.com* 1,800 124
American Eagle Outfitters (B) 33,600 907
AnnTaylor Stores* 10,100 395
Apollo Group, Cl A* 4,900 235
Autoliv (B) 6,400 382
Autonation* 1,211 27
Autozone* 1,100 142
Bed Bath & Beyond* 1,200 49
Best Buy 8,684 419
Big Lots* 12,600 397
Brinker International (B) 14,400 460
Cablevision Systems, Cl A (B) 47,060 1,703
Carmax* 13,339 320
CBS, Cl B 13,700 456
Circuit City Stores 900 14
Clear Channel Communications 2,530 97
Coach* (B) 20,400 1,048
Comcast, Cl A* (B) 59,627 1,634
Darden Restaurants 4,000 182
Dick's Sporting Goods* 1,600 89
Dillard's, Cl A 12,447 452
DIRECTV Group* (B) 71,190 1,663
Discovery Holding, Cl A* 2,700 63
Dollar Tree Stores* 15,400 652
Dow Jones 100 5
DSW, Cl A* 1,100 42
E.W. Scripps, Cl A 1,300 59
Eastman Kodak (B) 36,137 916
EchoStar Communications, Cl A* (B) 41,554 1,914
Expedia* 3,500 84
Family Dollar Stores 3,400 114
Federated Department Stores* 4,900 196
Foot Locker 800 18
Ford Motor (B) 105,189 877
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
GameStop, Cl A* 1,800 $ 67
Gannett 3,000 176
Gap 1,500 28
General Motors (B) 34,409 1,032
Gentex 24,300 431
Genuine Parts 3,000 154
Goodyear Tire & Rubber* 11,692 415
GSI Commerce* 5,600 128
Gymboree* 9,500 425
Hanesbrands* (B) 27,511 718
Harley-Davidson 8,400 513
Harman International Industries 400 47
Harrah's Entertainment 136 12
Hasbro (B) 20,900 672
Hilton Hotels 3,400 121
Home Depot 4,200 163
IAC/InterActive* (B) 11,300 391
Idearc* 16,978 599
International Game Technology 62,500 2,512
International Speedway, Cl A 300 16
Interpublic Group* (B) 69,395 815
ITT Educational Services* (B) 11,000 1,245
J. Crew Group* 4,500 202
J.C. Penney (B) 19,038 1,532
Jack in the Box* 1,900 145
Jarden* 1,400 60
John Wiley & Sons, Cl A 1,595 73
Johnson Controls (B) 8,380 919
Jones Apparel Group 12,100 360
Keystone Automotive Industries* 1,800 74
Kohl's* (B) 18,600 1,401
Lamar Advertising, Cl A (B) 16,400 1,074
Las Vegas Sands* 400 31
Laureate Education* 500 30
Leggett & Platt 900 22
Liberty Global, Cl A* 6,500 250
Liberty Media Holding-Capital, Ser A* 2,900 327
Liberty Media Holding-Interactive, Cl A* 5,300 128
Limited Brands 1,500 39
Liz Claiborne 300 10
Marriott International, Cl A 7,162 330
Mattel (B) 27,900 782
McDonald's (B) 23,200 1,173
McGraw-Hill (B) 11,900 837
Meredith 500 31
MGM Mirage* 29,500 2,346
Newell Rubbermaid 7,700 245
News, Cl A 23,122 511
Nike, Cl B 1,800 102
Nordstrom 1,000 52
Nutri/System* 300 20
NVR* 900 717
Office Depot* 16,991 619
OfficeMax 2,819 127
- --------------------------------------------------------------------------------
32 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Omnicom Group 3,600 $ 379
PetSmart (B) 10,800 370
Phillips-Van Heusen 2,600 159
Polo Ralph Lauren (B) 10,600 1,034
R.H. Donnelley 600 47
RadioShack 3,100 106
Regal Entertainment Group, Cl A 2,864 66
Rent-A-Center* 900 24
Ross Stores 9,700 319
Ryland Group 400 19
Saks 4,600 92
Sally Beauty Holdings* 6,559 60
Sears Holdings* 500 90
Service International 2,800 39
ServiceMaster 2,500 39
Shaw Communications, Cl B* (B) 13,500 563
Sherwin-Williams 9,000 609
Snap-On 2,200 119
Staples 91,000 2,280
Starbucks* 500 14
Target 16,230 1,013
Thor Industries 300 13
Tiffany 700 37
Tim Hortons 1,483 46
Time Warner (B) 78,300 1,673
TJX 20,321 568
Toll Brothers* 500 15
Tribune 4,300 138
TRW Automotive Holdings* (B) 27,859 1,131
United Auto Group 22,722 505
Universal Technical Institute* 7,300 172
Urban Outfitters* 3,100 82
VF 3,200 300
Viacom, Cl B* (B) 11,700 526
Walt Disney (B) 47,709 1,691
Weight Watchers International 32,700 1,708
Wendy's International (B) 5,300 213
Whirlpool (B) 9,182 1,025
Wyndham Worldwide* 2,800 104
Wynn Resorts* 900 87
XM Satellite Radio Holdings, Cl A* 3,300 38
Yum! Brands (B) 12,800 867
--------------
60,346
--------------
CONSUMER STAPLES -- 7.3%
Alberto-Culver* 3,100 77
Altria Group (B) 28,237 2,008
Anheuser-Busch 12,700 677
Archer-Daniels-Midland 11,464 402
Avon Products 3,900 150
BJ's Wholesale Club* 4,158 157
Brown-Forman, Cl B 200 14
Campbell Soup 6,300 250
Church & Dwight 1,800 90
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Clorox (B) 12,110 $ 813
Coca-Cola (B) 24,200 1,282
Coca-Cola Enterprises 5,200 121
Colgate-Palmolive 6,700 449
ConAgra Foods (B) 37,900 966
Constellation Brands, Cl A* 693 17
Corn Products International 12,854 527
Costco Wholesale 1,000 57
CVS 8,121 313
Dean Foods 12,000 393
Del Monte Foods 1,600 19
Energizer Holdings* (B) 5,400 535
Estee Lauder, Cl A (B) 1,700 80
General Mills 11,800 723
Hansen Natural* 1,500 60
Herbalife* 1,500 60
Hershey 200 11
HJ Heinz 5,600 266
Hormel Foods 4,800 180
JM Smucker 2,400 139
Kellogg 5,000 270
Kimberly-Clark 10,800 766
Kraft Foods, Cl A 10,758 364
Kroger (B) 50,143 1,520
Loews - Carolina 8,267 643
McCormick 6,700 250
Molson Coors Brewing, Cl B 1,500 137
NBTY* (B) 9,300 489
Pepsi Bottling Group 20,500 717
PepsiCo (B) 23,300 1,592
Procter & Gamble (B) 64,400 4,093
Reynolds American (B) 14,700 956
Rite Aid* 20,036 127
Safeway (B) 41,404 1,428
Sara Lee 1,300 23
Smithfield Foods* 8,568 275
Supervalu 3,274 156
Sysco 4,600 152
Tyson Foods, Cl A (B) 60,165 1,341
UST 5,300 283
Wal-Mart Stores (B) 77,837 3,705
Walgreen 60,200 2,717
WM Wrigley Jr. 2,000 117
--------------
32,957
--------------
ENERGY -- 7.4%
Apache 1,468 118
Baker Hughes 1,000 82
Cabot Oil & Gas 2,800 109
Cameron International* 2,300 163
Chesapeake Energy (B) 13,900 485
Chevron (B) 69,240 5,642
Cimarex Energy (B) 10,700 450
ConocoPhillips (B) 20,865 1,616
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 33
SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Devon Energy 9,588 $ 736
Dresser-Rand Group* 7,300 260
EnCana (B) 8,200 503
EOG Resources 200 15
Exxon Mobil (B) 135,775 11,292
FMC Technologies* 1,100 83
Forest Oil* 400 16
Frontier Oil 1,400 56
Frontline* 13,100 600
Grant Prideco* (B) 8,900 505
Halliburton (B) 17,100 615
Hess 9,470 561
Holly 8,900 624
Hornbeck Offshore Services* 6,000 239
Marathon Oil (B) 26,684 3,304
National Oilwell Varco* 800 76
Noble 1,900 175
Noble Energy 1,200 76
Occidental Petroleum 900 49
Oceaneering International* 1,600 80
Overseas Shipholding Group 1,000 80
Petro-Canada* (B) 11,200 567
Plains Exploration & Production* 900 48
Pride International* 9,655 348
Quicksilver Resources* 700 31
Range Resources 1,000 39
SEACOR Holdings* 400 37
Southwestern Energy* 1,800 86
Spectra Energy* 362 10
Sunoco 11,600 925
Superior Energy Services* 4,600 185
Tesoro 1,400 87
Tidewater 8,200 541
Transocean* 4,200 413
Unit* 2,062 127
Valero Energy (B) 12,266 915
W&T Offshore 1,776 52
Williams 9,000 286
XTO Energy (B) 5,200 302
--------------
33,609
--------------
FINANCIALS -- 16.5%
A.G. Edwards 11,087 977
ACE 1,400 86
Aflac 2,800 148
Alleghany* 204 76
Allied Capital 2,600 82
Allstate (B) 18,000 1,107
AMBAC Financial Group 2,000 179
American Capital Strategies 5,000 242
American Express 3,900 253
American Financial Group 16,572 591
American International Group (B) 23,100 1,671
American National Insurance 81 12
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
AmeriCredit* (B) 21,202 $ 563
Ameriprise Financial 3,000 189
Annaly Capital Management+ 11,500 178
AON 16,825 722
Apartment Investment &
Management, Cl A+ 1,700 93
Archstone-Smith Trust+ 1,100 68
Ashford Hospitality Trust+ 900 11
Assurant (B) 17,431 1,036
Astoria Financial 400 11
AvalonBay Communities+ 7,171 935
Axis Capital Holdings (B) 14,600 578
Bank of America (B) 65,281 3,310
Bank of New York 4,400 178
Bankunited Financial, Cl A 1,700 39
BB&T 11,800 497
Bear Stearns 3,400 510
BlackRock 100 15
Boston Properties+ 2,857 330
Brandywine Realty Trust+ 3,800 121
BRE Properties, Cl A+ 2,000 126
Brookfield Asset Management, Cl A* 2,100 133
Camden Property Trust+ 400 30
Capital One Financial 140 11
CapitalSource+ 2,200 58
CB Richard Ellis Group, Cl A* 3,000 112
Cbot Holdings, Cl A* 500 98
Charles Schwab 1,700 38
Chicago Mercantile Exchange
Holdings, Cl A 4,500 2,389
Chubb 8,200 450
CIT Group (B) 12,571 753
Citigroup (B) 92,052 5,016
Colonial BancGroup 1,300 33
Comerica (B) 13,400 842
Commerce Bancorp 800 28
Commerce Bancshares* 555 26
Compass Bancshares 1,900 133
Conseco* 7,542 149
Countrywide Financial (B) 22,900 892
Credicorp 2,800 163
Cullen/Frost Bankers 500 27
Duke Realty+ 2,600 104
E*Trade Financial* 5,392 129
Eaton Vance 7,600 334
Equity Residential+ 3,700 187
Erie Indemnity, Cl A 300 17
Essex Property Trust+ 1,000 127
Fannie Mae 3,807 243
Federal Realty Investment Trust+ 300 27
Fidelity National Financial, Cl A 457 13
First American (B) 10,022 537
First Cash Financial Services* 6,500 162
First Citizens BancShares, Cl A 104 20
- --------------------------------------------------------------------------------
34 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
First Horizon National 700 $ 28
First Marblehead 6,419 239
Forest City Enterprises, Cl A 2,600 182
Franklin Resources 5,300 719
Freddie Mac 1,100 73
General Growth Properties+ 5,600 331
Genworth Financial, Cl A 4,900 177
Goldman Sachs Group (B) 10,000 2,308
Hanover Insurance Group 1,700 83
Hartford Financial Services Group 1,750 181
Health Care Property Investors+ 5,500 180
Health Care+ 2,100 92
Hospitality Properties Trust+ 2,900 129
Host Hotels & Resorts+ 7,388 189
HRPT Properties Trust+ 5,000 57
Hudson City Bancorp 8,200 108
Huntington Bancshares 6,000 135
IndyMac Bancorp 200 7
IntercontinentalExchange* 22,500 3,261
iStar Financial+ 8,300 399
Janus Capital Group 10,400 288
JER Investors Trust+ 4,200 79
Jones Lang LaSalle (B) 8,031 937
JPMorgan Chase (B) 118,563 6,145
Keycorp 6,500 231
Kimco Realty+ 500 23
Lehman Brothers Holdings (B) 18,909 1,388
Lincoln National 1,100 80
Loews (B) 52,627 2,686
M&T Bank 1,500 166
Macerich+ 200 18
Mack-Cali Realty+ 1,300 63
Markel* 382 188
Marsh & McLennan 5,700 187
Marshall & Ilsley 1,700 82
MBIA 600 40
Mellon Financial 5,301 230
Merrill Lynch (B) 32,034 2,971
Metlife (B) 32,412 2,204
Moody's (B) 35,000 2,438
Morgan Stanley (B) 35,398 3,010
National City 8,300 287
Nationwide Financial Services, Cl A 1,400 87
New York Community Bancorp 3,200 56
Newcastle Investment+ 7,800 231
Northern Trust 2,500 163
Nuveen Investments, Cl A 900 49
Nymex Holdings 100 13
NYSE Euronext* 600 50
Old Republic International 4,100 89
Pacific Capital Bancorp 1,800 46
People's United Financial 5,630 114
Philadelphia Consolidated Holding* 1,600 66
PMI Group (B) 10,700 529
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
PNC Financial Services Group (B) 18,123 $ 1,337
Popular 7,600 131
Principal Financial Group 1,700 103
Progressive 3,700 85
Prologis+ 600 39
Prudential Financial 700 71
Public Storage+ 1,292 116
Radian Group 6,100 378
Raymond James Financial 2,502 83
Rayonier+ 11,679 525
Regency Centers+ 400 31
Regions Financial 10,544 376
Reinsurance Group of America 1,100 69
Safeco 9,200 577
Simon Property Group+ 200 22
SL Green Realty+ 2,049 287
SLM 681 38
Sovereign Bancorp 2,500 58
St. Joe 600 31
State Street 2,000 137
SunTrust Banks 1,500 134
Synovus Financial 1,600 53
T. Rowe Price Group 3,400 175
Taubman Centers+ 300 17
TCF Financial 600 17
Thornburg Mortgage+ (B) 7,400 205
Torchmark 3,000 210
Transatlantic Holdings 3,993 286
Travelers (B) 41,523 2,249
UDR+ 2,400 73
UnumProvident 1,300 35
US Bancorp 10,200 353
Valley National Bancorp 3,580 88
Ventas+ 3,500 148
Vornado Realty Trust+ 1,300 157
Wachovia (B) 15,635 847
Washington Mutual (B) 18,300 800
Weingarten Realty Investors+ 700 33
Wells Fargo (B) 56,779 2,049
Whitney Holding 300 9
Wilmington Trust 200 9
WR Berkley 5,654 186
Zions Bancorporation 600 48
--------------
75,002
--------------
HEALTH CARE -- 11.9%
Abbott Laboratories 4,300 242
Aetna (B) 24,900 1,318
Allergan 24,600 3,063
AmerisourceBergen (B) 36,228 1,856
Amgen* (B) 18,894 1,064
Applera - Applied Biosystems Group 18,300 520
Barr Pharmaceuticals* 300 16
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 35
SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Bausch & Lomb* 600 $ 41
Baxter International 9,647 548
Beckman Coulter 4,200 275
Becton Dickinson (B) 8,600 656
Biogen Idec* 6,300 329
Biomet 1,100 48
Biovail* 18,000 437
Bristol-Myers Squibb 14,955 453
C.R. Bard 1,600 135
Cardinal Health (B) 36,639 2,655
Celgene* 8,800 539
Cephalon* 300 25
Cerner* 4,500 256
Charles River Laboratories
International* (B) 8,600 457
Cigna (B) 8,412 1,410
Community Health Systems* 3,700 141
Conceptus* 2,800 52
Covance* 300 20
Cytyc* 400 17
Dade Behring Holdings 12,567 677
Dentsply International 900 32
Dionex* 200 14
Edwards Lifesciences* 600 30
Eli Lilly (B) 10,000 586
Express Scripts* (B) 9,500 970
Forest Laboratories* (B) 15,900 806
Genentech* 34,974 2,790
Genzyme* 5,300 342
Gilead Sciences* (B) 8,000 662
Haemonetics* 8,000 397
Health Net* (B) 20,284 1,158
Henry Schein* 3,295 176
Hillenbrand Industries 1,900 126
HLTH* 31,831 480
Humana* 11,900 738
ICU Medical* 5,700 229
Idexx Laboratories* 500 44
Immucor* 1,100 35
IMS Health 2,000 65
Integra LifeSciences Holdings* 1,600 82
Invitrogen* 5,900 427
Johnson & Johnson (B) 70,977 4,491
Kinetic Concepts* 1,900 95
King Pharmaceuticals* 5,500 117
Laboratory of America Holdings* 3,400 268
LifePoint Hospitals* 1,000 41
Manor Care 1,500 102
McKesson (B) 42,863 2,706
Medco Health Solutions* (B) 15,454 1,202
Medimmune* (B) 10,600 614
Medtronic 7,000 372
Merck (B) 20,900 1,096
Millennium Pharmaceuticals* 2,900 31
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Mylan Laboratories (B) 14,500 $ 287
OSI Pharmaceuticals* 900 34
PDL BioPharma* 600 16
PerkinElmer 4,600 122
Pfizer (B) 138,900 3,818
Quest Diagnostics 600 29
Resmed* 300 13
Respironics* 400 18
Schering-Plough 5,700 187
Sciele Pharma* 5,400 133
Sepracor* 300 15
St. Jude Medical* 1,000 43
STERIS 3,200 96
Stryker* 2,300 155
Tenet Healthcare* 3,605 25
Thermo Fisher Scientific* 4,500 246
Triad Hospitals* 200 11
UnitedHealth Group (B) 69,900 3,828
Universal Health Services, Cl B 900 56
VCA Antech* 3,000 119
Ventana Medical Systems* 1,400 72
Vertex Pharmaceuticals* 200 6
Waters* 6,600 398
WellCare Health Plans* 1,300 120
WellPoint* (B) 26,607 2,166
Wyeth (B) 14,085 815
Zimmer Holdings* 28,300 2,492
--------------
53,894
--------------
INDUSTRIALS -- 8.8%
3M 2,200 193
Acuity Brands 10,000 607
AGCO* 3,500 151
Allied Waste Industries* 3,160 43
American Standard 1,400 84
AMR* 12,984 368
Applied Industrial Technologies 1,750 51
Avery Dennison 6,600 431
Avis Budget Group* 8,357 253
Boeing (B) 30,249 3,043
Brink's 1,200 79
Burlington Northern Santa Fe 6,000 559
C.H. Robinson Worldwide 2,100 114
Carlisle 6,100 269
Caterpillar (B) 11,100 872
Cenveo* 3,700 90
Chicago Bridge & Iron 7,900 308
Con-way 1,217 69
Continental Airlines, Cl B* 5,774 232
Copart* 1,600 50
Corporate Executive Board 100 7
Corrections of America* 2,300 149
Covanta Holding* 3,600 89
Crane 2,500 109
- --------------------------------------------------------------------------------
36 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CSX 2,200 $ 100
Cummins 8,319 784
Danaher 1,900 140
Deere 1,400 169
Diamond Management &
Technology Consultants 900 12
Dover (B) 10,600 531
Dun & Bradstreet (B) 6,100 611
Eaton 4,000 375
Emerson Electric 9,100 441
Equifax 1,649 69
Expeditors International Washington 47,900 2,091
FedEx (B) 7,708 860
Gardner Denver* (B) 11,100 457
General Dynamics 2,800 225
General Electric (B) 88,300 3,318
Genlyte Group* 900 78
Goodman Global* 1,000 22
Graco (B) 1,400 56
Harsco 4,800 256
Hertz Global Holdings* 8,703 184
Honeywell International (B) 16,100 932
HUB Group, Cl A* 3,900 144
Illinois Tool Works 2,200 116
ITT 600 40
Jacobs Engineering Group* (B) 16,134 935
Kansas City Southern* 400 16
KBR* 1,395 38
L-3 Communications Holdings 700 67
Labor Ready* 6,400 154
Laidlaw International 600 21
Landstar System 1,100 53
Lennox International 9,851 337
Lincoln Electric Holdings 200 14
Lockheed Martin (B) 9,500 932
Manitowoc 1,900 144
Manpower 2,200 202
MSC Industrial Direct, Cl A (B) 8,300 445
Norfolk Southern (B) 7,500 434
Northrop Grumman (B) 26,895 2,034
Paccar 1,650 144
Pall 300 13
Parker Hannifin (B) 17,204 1,744
Pitney Bowes 800 38
Precision Castparts 1,900 227
Quanta Services* 15,900 477
Raytheon (B) 14,368 799
Robert Half International 300 11
Rockwell Automation 6,800 463
Rockwell Collins 500 35
Roper Industries 200 12
RR Donnelley & Sons (B) 17,621 755
Ryder System (B) 21,643 1,167
Shaw Group* 3,428 139
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Southwest Airlines 2,300 $ 33
SPX (B) 13,768 1,210
Stericycle* 5,300 483
Terex* 1,700 144
Timken 10,800 380
Trinity Industries 4,000 185
UAL* 2,500 98
Union Pacific 3,800 459
United Parcel Service, Cl B 37,800 2,720
United Rentals* 5,100 171
United Technologies 10,800 762
URS* 3,947 198
US Airways Group* 1,600 57
Waste Management (B) 13,000 503
WESCO International* 5,379 349
WW Grainger 1,000 88
--------------
39,921
--------------
INFORMATION TECHNOLOGY -- 15.4%
Activision* 4,500 89
Adobe Systems* 1,800 79
Advanced Energy Industries* 1,500 37
Agilent Technologies* (B) 12,992 496
Akamai Technologies* 6,200 274
Alliance Data Systems* 2,400 187
Amphenol, Cl A 3,800 136
Apple* 1,500 182
Applied Materials (B) 64,774 1,237
Arrow Electronics* (B) 38,192 1,568
Atmel* 11,404 64
Autodesk* 900 41
Automatic Data Processing 7,700 383
Avaya* 4,700 75
Avnet* (B) 25,599 1,097
BEA Systems* 8,100 104
BMC Software* (B) 17,300 573
Broadcom, Cl A* 300 9
Broadridge Financial Solutions* 875 18
CA 700 19
Cadence Design Systems* (B) 37,500 852
CDW 600 51
Ceridian* 2,200 78
Check Point Software Technologies* (B) 21,500 502
Checkfree* 3,524 138
Cisco Systems* (B) 92,100 2,479
Cognizant Technology
Solutions, Cl A* 1,700 134
Computer Sciences* (B) 29,844 1,653
Compuware* 14,600 166
Convergys* 23,400 602
Dell* 700 19
Diebold 1,200 60
DST Systems* 2,600 218
eBay* (B) 100,600 3,276
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 37
SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Electronic Arts* 700 $ 34
Electronic Data Systems (B) 48,282 1,391
EMC* (B) 38,900 657
Exar* 7,400 101
F5 Networks* 400 33
Factset Research Systems 4,100 262
Fair Isaac 2,200 83
Fairchild Semiconductor
International* 5,381 99
Fidelity National Information Services 2,244 121
First Data 3,190 104
Fiserv* (B) 12,700 752
Google, Cl A* 8,179 4,071
Harris 1,100 55
Hewlett-Packard (B) 98,608 4,507
Ingram Micro, Cl A* (B) 51,905 1,075
Integrated Device Technology* 3,800 57
Intel 40,786 904
International Business Machines (B) 46,135 4,918
International Rectifier* 10,000 362
Intevac* 12,700 245
Intuit* (B) 95,900 2,925
Iron Mountain* 1,900 52
Jabil Circuit 11,418 263
Juniper Networks* 3,100 76
Kla-Tencor 400 22
L-1 Identity Solutions* 10,800 231
Lam Research* 9,579 514
Lexmark International, Cl A* 5,800 301
Linear Technology 400 14
LSI Logic* 12,096 105
Mastercard, Cl A 200 30
McAfee* 3,100 114
MEMC Electronic Materials* 900 55
Mettler Toledo International* 1,200 118
Micron Technology* 1,000 12
Microsoft (B) 144,200 4,423
Molex 1,800 54
Motorola 600 11
MPS Group* 7,700 106
NCR* 8,402 451
Network Appliance* (B) 16,600 534
Novatel Wireless* 1,900 44
Novellus Systems* 4,200 129
Nvidia* 12,221 424
Oracle* (B) 101,700 1,971
Paychex 54,600 2,206
PMC - Sierra* 36,500 281
QLogic* 1,300 22
Qualcomm (B) 95,500 4,102
Rambus* 3,300 62
Red Hat* 200 5
Research In Motion* 14,200 2,358
Salesforce.com* 2,300 109
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
SanDisk* 38,200 $ 1,664
Seagate Technology 93,000 1,915
Silicon Image* 6,700 56
Silicon Laboratories* 12,200 422
SYKES Enterprises* 5,900 115
Symantec* 26,500 530
Synopsys* 3,500 93
Tech Data* (B) 25,751 949
Teradyne* 24,600 419
Texas Instruments 32,189 1,138
Trimble Navigation* 1,500 44
Unisys* 27,423 228
Valueclick* 15,700 492
VeriFone Holdings* 900 31
VeriSign* 500 15
Vishay Intertechnology* 31,442 560
Western Digital* 20,079 378
Western Union 69,821 1,567
Xerox* 15,710 296
Xilinx 11,700 333
--------------
70,096
--------------
MATERIALS -- 3.4%
Air Products & Chemicals 4,100 320
Albemarle 3,200 130
Alcan (B) 7,300 633
Alcoa (B) 15,700 648
Allegheny Technologies 1,400 162
Ashland 5,800 350
Ball 900 50
Bemis 2,200 74
Cabot 2,000 97
Carpenter Technology 100 13
Celanese, Ser A 3,743 136
Commercial Metals 2,500 88
Crown Holdings* (B) 32,641 814
Dow Chemical (B) 8,700 395
E.I. Du Pont de Nemours (B) 14,425 755
Eagle Materials 4,600 231
Eastman Chemical 600 40
Ecolab 5,800 250
Florida Rock Industries 200 13
FMC 1,279 107
Freeport-McMoRan Copper & Gold,
Cl B 2,211 174
Gerdau Ameristeel* 10,400 163
Greif, Cl A 500 28
Headwaters* 700 14
Hecla Mining* 16,400 131
Huntsman 17,983 360
International Flavors & Fragrances 3,900 200
International Paper (B) 32,574 1,276
Lubrizol 500 33
Lyondell Chemical 3,800 141
- --------------------------------------------------------------------------------
38 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Methanex 11,500 $ 298
Monsanto 400 25
Mosaic* 14,400 506
Myers Industries 500 11
Nalco Holding 600 16
Nova Chemicals 11,600 413
Nucor (B) 6,000 405
Owens-Illinois (B) 29,628 1,007
Packaging of America 100 2
Pactiv* 5,500 187
PPG Industries 600 46
Praxair 35,300 2,403
Rohm & Haas 3,800 201
Scotts Miracle-Gro, Cl A 400 18
Sealed Air 800 26
Sigma-Aldrich 1,200 52
Smurfit-Stone Container* 31,950 413
Sonoco Products 2,500 108
Southern Copper (B) 7,800 692
Steel Dynamics 7,200 338
Titanium Metals* 1,297 45
United States Steel 400 45
Vulcan Materials (B) 4,769 571
--------------
15,654
--------------
TELECOMMUNICATION SERVICES -- 2.7%
Alltel 6,134 420
American Tower, Cl A* 2,300 99
AT&T (B) 94,592 3,911
Bell Aliant Regional Communications
Income Fund (Canada)* 254 8
CenturyTel (B) 16,900 835
Citizens Communications 10,000 159
Crown Castle International* 2,100 77
Embarq 9,393 604
Leap Wireless International* 1,500 128
NII Holdings* 2,064 168
Qwest Communications
International* (B) 67,609 696
Rogers Communications, Cl B* (B) 14,900 618
Sprint Nextel 8,500 194
Telephone & Data Systems 8,000 495
US Cellular* (B) 23,649 1,877
Verizon Communications (B) 40,078 1,745
Windstream 21,450 322
--------------
12,356
--------------
UTILITIES -- 3.0%
AES* 4,513 107
Allegheny Energy* 1,800 96
Allete 200 10
Alliant Energy 3,200 138
Ameren 3,800 202
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
American Electric Power 8,600 $ 410
Atmos Energy 3,400 110
Centerpoint Energy 10,900 206
CMS Energy 23,590 431
Consolidated Edison 6,800 332
Constellation Energy Group 800 73
Dominion Resources 1,500 133
DTE Energy 1,700 90
Duke Energy 724 14
Dynegy* 3,500 34
Edison International (B) 12,300 717
Energen (B) 14,200 837
Energy East 21,300 515
Entergy 1,900 215
Equitable Resources 3,600 187
Exelon 1,100 86
FirstEnergy (B) 15,100 1,045
FPL Group 4,800 307
Great Plains Energy 3,100 96
Integrys Energy Group 300 17
KeySpan 4,610 192
MDU Resources Group 1,450 44
Mirant* (B) 11,400 529
National Fuel Gas 2,500 114
NiSource 9,100 202
Northeast Utilities 13,614 414
NRG Energy* (B) 6,300 554
NSTAR 4,600 160
OGE Energy 4,100 151
Oneok 4,000 216
Pepco Holdings 900 27
PG&E (B) 29,561 1,456
Pinnacle West Capital 4,400 204
PPL 2,600 119
Progress Energy 7,600 381
Public Service Enterprise Group 6,256 556
Puget Energy 4,700 118
Questar 500 54
Reliant Energy* 10,681 274
SCANA 1,500 64
Sempra Energy 2,400 147
Southern 3,900 140
TXU 5,740 387
UGI 8,600 248
Vectren 1,100 32
Wisconsin Energy 700 34
Xcel Energy 14,801 340
--------------
13,565
--------------
Total Common Stock
(Cost $359,249) ($ Thousands) 407,400
--------------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 39
SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 13.1%
MORTGAGE RELATED SECURITIES -- 13.1%
Aames Mortgage Investment Trust,
Ser 2005-4, Cl B2 (D)
8.070%, 06/12/07 $ 40 $ 34
Ace Securities, Ser 2003-OP1, Cl M1 (D)
6.020%, 06/26/07 250 251
American Home Mortgage Investment
Trust, Ser 2005-4, Cl 5A (D)
5.350%, 06/25/07 862 865
American Home Mortgage Investment
Trust, Ser 2006-1, Cl 2A3 (D)
5.100%, 06/25/07 256 253
Argent Securities, Ser 2003-W9, Cl M1 (D)
6.010%, 06/26/07 215 216
Bear Stearns Asset-Backed Securities,
Ser 2007-AQ2, Cl A1 (D)
5.420%, 06/30/07 789 789
Bear Stearns Asset-Backed Securities,
Ser 2007-HE3, Cl 1A1 (D)
5.440%, 06/30/07 752 752
Bear Stearns Asset-Backed Securities,
Ser 2007-HE4, Cl 1A1 (D)
5.440%, 06/30/07 909 909
Bear Stearns Mortgage Funding Trust,
Ser 2006-SL5, Cl 1A (D)
5.470%, 06/26/07 498 496
Carrington Mortgage Loan Trust,
Ser 2007-FRE1, Cl A1 (D)
5.440%, 06/25/07 806 806
Citigroup Mortgage Loan Trust,
Ser 2006-FX1, Cl A1 (D)
5.420%, 06/30/07 196 196
Countrywide Alternative Loan Trust,
Ser 2004-33, Cl 1A1 (D)
4.975%, 06/01/07 158 160
Countrywide Alternative Loan Trust,
Ser 2005-69, Cl M3 (D)
6.470%, 06/27/07 30 30
Countrywide Asset-Backed Certificates,
Ser 2004-5, Cl 3A (D)
5.550%, 06/27/07 139 139
Countrywide Asset-Backed Certificates,
Ser 2005-7, Cl MV8 (D)
6.770%, 06/27/07 50 49
Countrywide Asset-Backed Certificates,
Ser 2006-S1, Cl A2 (D)
5.549%, 08/25/21 267 266
Countrywide Asset-Backed Certificates,
Ser 2066-S9, Cl A1 (D)
5.420%, 06/25/07 1,100 1,100
Countrywide Home Equity Loan Trust,
Ser 2006-D, Cl 2A (D)
5.520%, 06/30/07 183 183
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Home Loans,
Ser 2006-OA5, Cl 1M4 (D)
6.370%, 06/27/07 $ 50 $ 49
Countrywide Home Loans,
Ser 2007-HYB1, Cl 1A1 (D)
5.581%, 06/01/07 844 842
Credit Suisse Asset-Backed Mortgage
Trust, Ser 2007-1, Cl 1A1A (D)
5.898%, 12/25/37 1,512 1,511
Credit-Based Asset Servicing,
Ser 2007-CB3, Cl A1 (F)
5.766%, 03/25/37 1,409 1,405
Credit-Based Asset Servicing,
Ser 2007-CB4, Cl A1A (D)
5.410%, 06/27/07 736 736
Credit-Based Asset Servicing,
Ser 2007-CB4, Cl A2A (F)
5.844%, 04/25/37 797 796
DSLA Mortgage Loan Trust,
Ser 2006-AR1, Cl M4 (D)
6.060%, 06/19/07 49 48
DSLA Mortgage Loan Trust,
Ser 2006-AR1, Cl M5 (D)
6.130%, 06/19/07 30 29
DSLA Mortgage Loan Trust,
Ser 2006-AR1, Cl M7 (D)
7.070%, 06/19/07 30 29
DSLA Mortgage Loan Trust,
Ser 2006-AR2, Cl M4 (D)
5.920%, 06/19/07 60 59
FBR Securitization Trust,
Ser 2005-4, Cl M11 (D)
7.320%, 06/27/07 25 22
First Franklin Mortgage Loan,
Ser 2003-FF5, Cl M6 (D)
8.820%, 06/25/07 3 2
First Franklin Mortgage Loan,
Ser 2005-FF4, Cl 2A3 (D)
5.540%, 06/25/07 176 176
First Franklin Mortgage Loan,
Ser 2006-FF14, Cl A2 (D)
5.380%, 06/25/07 902 902
First Franklin Mortgage Loan,
Ser 2006-FFA, Cl A3 (D)
5.440%, 06/25/07 1,080 1,080
First Franklin Mortgage Loan,
Ser 2006-FFB, Cl A2 (D)
5.450%, 06/26/07 404 404
First Horizon Alternative Mortgage Trust,
Ser 2006-AA6, Cl 2A1 (D)
5.686%, 06/01/07 767 766
First Horizon Asset Securities,
Ser 2006-AR1, Cl 2A1 (D)
5.869%, 06/01/07 2,065 2,078
- --------------------------------------------------------------------------------
40 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
GMAC Mortgage Loan Trust,
Ser 2006-HE1, Cl A (D)
5.530%, 06/25/07 $ 500 $ 500
GS Mortgage Securities,
Ser 2006-GG6, Cl AM (D)
5.622%, 04/10/38 500 498
GSAMP Trust, Ser 2007-HE2, Cl A2A (D)
5.440%, 06/20/07 934 935
Harborview Mortgage Loan Trust,
Ser 2004-7, Cl 2A1 (D)
3.409%, 06/01/07 1,003 1,015
Hasco NIM Trust,
Ser 2006-OP2A, Cl A (E)
5.856%, 01/26/36 2 2
Holmes Financing,
Ser 2006-10A, Cl 1C (D) (E)
5.626%, 07/16/07 100 100
Home Equity Asset Trust,
Ser 2003-4, Cl M2 (D)
7.220%, 06/25/07 50 50
Home Equity Asset Trust,
Ser 2005-9N, Cl A (E)
6.500%, 05/27/36 25 18
Home Equity Asset Trust,
Ser 2006-1N, Cl 1A (E)
6.500%, 05/27/36 13 10
Home Equity Asset Trust,
Ser 2006-4, Cl 2A1 (D)
5.380%, 06/01/07 613 613
Home Equity Mortgage Trust,
Ser 2006-5, Cl A1 (F)
5.500%, 01/25/37 1,391 1,389
Home Equity Mortgage Trust,
Ser 2007-2, Cl 2A1A (D)
5.470%, 06/30/07 1,144 1,144
Impac CMB Trust,
Ser 2004-10, Cl 4M1 (D)
5.920%, 03/25/35 49 49
Impac Secured Assets CMO
Owners Trust, Ser 2006-3, Cl A4 (D)
5.410%, 06/27/07 374 374
Impac Secured Assets CMO Owners
Trust, Ser 2006-4, Cl A2A (D)
5.400%, 06/16/07 821 821
Impac Secured Assets CMO Owners
Trust, Ser 2006-5, Cl 1A1A (D)
5.430%, 06/21/07 1,429 1,429
Impac Secured Assets CMO Owners
Trust, Ser 2007-1, Cl A1 (D)
5.380%, 06/25/07 2,065 2,064
Impac Secured Assets CMO Owners
Trust, Ser 2007-2, Cl 1A1A (D)
5.430%, 05/25/37 1,136 1,136
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Impac Secured Assets CMO Owners
Trust, Ser 2007-3, Cl 1A1A (D)
5.430%, 06/30/07 $ 1,103 $ 1,103
Indymac Index Mortgage Loan Trust,
Ser 2006-AR11, Cl 4A1 (D)
5.807%, 06/01/07 627 626
Indymac Index Mortgage Loan Trust,
Ser 2006-AR2, Cl M1 (D)
5.770%, 06/27/07 250 251
Indymac Index Mortgage Loan Trust,
Ser 2006-AR2, Cl M6 (D)
7.070%, 04/25/46 42 40
Indymac Index Mortgage Loan Trust,
Ser 2006-AR4, Cl M4 (D)
6.020%, 06/25/07 30 29
Indymac Index Mortgage Loan Trust,
Ser 2006-AR6, Cl M7 (D)
6.870%, 06/25/07 40 38
Indymac Index Mortgage Loan Trust,
Ser 2006-AR8, Cl M5 (D)
5.870%, 06/26/07 50 49
JP Morgan Mortgage Acquisition,
Ser 2006-RM1, Cl A2 (D)
5.400%, 06/27/07 185 185
JP Morgan Mortgage Acquisition,
Ser 2006-WF1, Cl A1B (D)
5.420%, 06/30/07 415 415
Lehman XS Trust, Ser 2005-5N, Cl M3 (D)
6.320%, 06/25/07 70 69
Lehman XS Trust, Ser 2005-7N,
Cl M3II (D)
6.470%, 06/27/07 50 50
Lehman XS Trust, Ser 2006-10N,
Cl 1M5 (D)
5.850%, 07/25/46 48 47
Lehman XS Trust, Ser 2006-11,
Cl M10 (D)
7.320%, 06/25/07 35 28
Lehman XS Trust,
Ser 2006-12N, Cl M4 (D)
5.870%, 06/25/07 45 45
Lehman XS Trust, Ser 2006-12N,
Cl M5 (D)
5.920%, 06/25/07 25 24
Lehman XS Trust, Ser 2006-19,
Cl A1 (D)
5.420%, 06/25/07 497 498
Lehman XS Trust, Ser 2006-20,
Cl A1 (D)
5.420%, 06/25/07 1,358 1,358
Long Beach Asset Holdings,
Ser 2006-2, Cl N1 (E)
5.780%, 04/25/46 7 5
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 41
SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Master Asset-Backed Securities Trust,
Ser 2006-AB1, Cl A1 (D)
5.460%, 06/27/07 $ 116 $ 117
Merrill Lynch Mortgage Investors,
Ser 2003-HE1, M2 (D)
6.970%, 06/25/07 23 23
Merrill Lynch Mortgage Investors,
Ser 2005-A4, Cl 1A (D)
4.775%, 06/01/07 319 321
Merrill Lynch Mortgage Investors,
Ser 2005-A8, Cl A1B1 (D)
5.250%, 06/25/07 210 209
Merrill Lynch Mortgage Investors,
Ser 2006-MLN1, Cl A2A (D)
5.390%, 06/29/07 439 439
Merrill Lynch Mortgage Investors,
Ser 2006-RM4, Cl A2A (D)
5.400%, 06/27/07 458 458
Merrill Lynch Mortgage Investors,
Ser 2007-HE2, Cl A2A (D)
5.440%, 06/30/07 904 904
Merrill Lynch Mortgage Investors,
Ser 2007-MLN1, Cl A2A (D)
5.430%, 06/26/07 1,591 1,591
Merrill Lynch Mortgage Investors,
Ser 2007-SL1, Cl A1A (D)
5.620%, 06/11/07 774 774
Morgan Stanley Dean Witter Capital I,
Ser 2002-AM3, Cl M1 (D)
6.270%, 06/25/07 417 417
National Collegiate Student Loan Trust,
Ser 2003-3, Cl C (D)
5.790%, 06/28/07 200 200
National Collegiate Student Loan Trust,
Ser 2004-2, Cl C (D)
6.120%, 06/25/07 250 257
New Century Home Equity Loan Trust,
Ser 2003-B, Cl M1 (D)
5.970%, 06/27/07 87 87
New Century Home Equity Loan Trust,
Ser 2005-A, Cl A2 (F)
4.461%, 06/25/07 110 109
Nomura Asset Acceptance, Ser 2007-1,
Cl 1A1A (F)
5.995%, 06/09/07 771 771
Nomura Home Equity Loan, Ser 2007-3,
Cl 2A1 (D)
5.460%, 06/30/07 1,267 1,267
Novastar Home Equity Loan, Ser 2007-1,
Cl A2A (D)
5.420%, 06/30/07 1,425 1,425
Option One Mortgage Loan Trust,
Ser 2003-5, Cl M1 (D)
5.970%, 06/23/07 93 93
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Option One Mortgage Loan Trust,
Ser 2007-HL1, Cl 2A1 (D)
5.440%, 06/26/07 $ 954 $ 954
Ownit Mortgage Loan Asset-Backed
Securities Trust, Ser 2006-4,
Cl A2S (D)
5.350%, 06/26/07 745 745
Park Place Securities,
Ser 2005-WHQ2, Cl A2C (D)
5.550%, 06/28/07 222 222
RAAC, Ser 2006-SP4, Cl A1 (D)
5.420%, 06/06/07 572 572
RAAC, Ser 2007-SP1, Cl A1 (D)
5.450%, 06/10/07 1,119 1,119
Residential Asset Mortgage Products,
Ser 2006-RZ4, Cl A1 (D)
5.410%, 06/25/07 403 403
Residential Asset Mortgage Products,
Ser 2007-RS1, Cl A1
5.400%, 06/09/07 682 682
Residential Asset Securitization Trust,
Ser 2004-IP2, Cl 3A1 (D)
5.275%, 06/25/07 372 370
Residential Funding Mortgage Securities,
Ser 2006-HI5, Cl A1 (D)
5.420%, 06/25/07 587 587
Resmae Mortgage Loan Trust,
Ser 2006-1, Cl A2A (D) (E)
5.420%, 06/25/07 597 597
Resmae Mortgage Loan Trust,
Ser 2006-1, Cl A2B (D) (E)
5.470%, 06/25/07 100 100
SB Finance NIM Trust,
Ser 2005-HE3, Cl N1 (E)
4.750%, 09/25/35 11 11
SB Finance NIM Trust,
Ser 2006-KS4N, Cl N1 (E)
7.500%, 06/25/36 12 12
Saco I Trust, Ser 2005-10, Cl 2A1 (D)
5.580%, 06/30/07 610 610
Sail NIM Notes, Ser 2006-BC1A, Cl A (E)
7.000%, 03/27/36 37 6
Soundview Home Equity Loan Trust,
Ser 2006-OPT5, Cl M1 (D)
5.570%, 06/19/07 1,000 999
Structured Asset Investment Loan,
Ser 2003-BC4, Cl M2
8.320%, 06/25/07 93 93
Structured Asset Securities,
Ser 2006-GEL4, Cl A1 (D) (E)
5.440%, 06/27/07 735 733
Structured Asset Securities,
Ser 2007-GEL2, Cl A1 (D) (E)
5.470%, 06/25/07 1,496 1,496
- --------------------------------------------------------------------------------
42 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/shares ($ Thousands)
- --------------------------------------------------------------------------------
Terwin Mortgage Trust, Ser 2006-17HE,
Cl A2A (D) (E)
5.400%, 06/25/07 $ 855 $ 854
Terwin Mortgage Trust, Ser 2006-2HGS,
Cl B1 (D) (E)
6.100%, 06/25/07 35 6
Terwin Mortgage Trust, Ser 2006-6,
Cl A1 (D)
4.500%, 07/25/37 140 139
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2007-HY2, Cl 1A1 (D)
5.776%, 04/25/37 781 783
Washington Mutual Mortgage Pass-
Through Certificates, Ser 2007-HY4,
Cl 1A1 (D)
5.575%, 06/01/07 962 953
Washington Mutual Mortgage Pass-
Through Certificates, Ser 2007-HY6,
Cl 1A1 (D)
5.707%, 06/25/37 1,600 1,600
--------------
Total Asset-Backed Securities
(Cost $59,624) ($ Thousands) 59,543
--------------
U.S. GOVERNMENT AGENCY
MORTGAGE-BACKED OBLIGATIONS -- 5.1%
FHLMC TBA
6.000%, 11/01/21 972 982
FNMA ARM
5.568%, 05/01/36 262 263
FNMA TBA
6.500%, 06/01/37 7,000 7,109
6.000%, 06/17/19 1,000 1,010
5.500%, 01/01/21 896 889
5.500%, 02/01/21 925 918
5.500%, 06/01/22 8,000 7,937
5.000%, 06/17/21 3,100 3,022
GNMA ARM
5.500%, 01/20/34 365 367
5.500%, 12/20/35 171 173
5.500%, 01/20/36 190 192
5.000%, 08/20/36 228 229
--------------
Total U.S. Government Agency
Mortgage-Backed Obligations
(Cost $23,207) ($ Thousands) 23,091
--------------
CASH EQUIVALENT -- 2.9%
SEI Daily Income Trust,
Prime Obligation Fund, Cl A,
5.330%**++ 13,302,140 13,302
--------------
Total Cash Equivalent
(Cost $13,302) ($ Thousands) 13,302
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 1.1%
FHLMC (A) (C)
5.249%, 11/09/07 $ 1,450 $ 1,417
5.193%, 07/02/07 75 75
FHLMC (C)
5.233%, 07/16/07 50 50
FHLMC CMO STRIPS, Ser 232, Cl IO, IO
5.000%, 08/01/35 2,205 556
FNMA (A) (C)
5.204%, 06/27/07 1,700 1,694
5.200%, 06/06/07 50 50
FNMA CMO STRIPS, Ser 360, Cl 2, IO
5.000%, 08/01/35 3,062 777
FNMA CMO STRIPS, Ser 377, Cl 2, IO
5.000%, 10/01/36 577 150
--------------
Total U.S. Government Agency Obligations
(Cost $4,704) ($ Thousands) 4,769
--------------
CORPORATE OBLIGATIONS -- 0.4%
CONSUMER DISCRETIONARY -- 0.1%
COX Communications
4.625%, 06/01/13 40 38
CVS Caremark
5.750%, 06/01/17 70 69
Comcast
5.300%, 01/15/14 50 49
Time Warner
6.875%, 05/01/12 40 42
--------------
198
--------------
ENERGY -- 0.0%
Kinder Morgan Energy Partners
5.000%, 12/15/13 40 38
--------------
FINANCIALS -- 0.3%
Bear Stearns
5.350%, 02/01/12 135 134
CIT Group
5.000%, 02/13/14 55 52
Capmark Financial Group (E)
6.300%, 05/10/17 18 18
5.875%, 05/10/12 35 35
Credit Suisse First Boston USA
6.500%, 01/15/12 25 26
Genworth Financial
5.750%, 06/15/14 40 40
Goldman Sachs Group
5.500%, 11/15/14 80 79
Household Finance
6.375%, 10/15/11 40 41
JPMorgan Chase
5.125%, 09/15/14 40 39
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 43
SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Lehman Brothers Holdings MTN
5.750%, 05/17/13 $ 15 $ 15
5.500%, 04/04/16 25 25
5.250%, 02/06/12 65 64
Morgan Stanley (D)
4.750%, 04/01/14 40 38
Morgan Stanley MTN, Ser G (D)
5.650%, 07/04/07 130 130
Residential Capital
6.500%, 04/17/13 75 74
Simon Property Group+
5.600%, 09/01/11 35 35
Simon Property Group+
5.750%, 12/01/15 25 25
Wachovia
5.300%, 10/15/11 170 169
4.875%, 02/15/14 25 24
Washington Mutual Preferred
Funding (D) (E)
6.534%, 03/15/49 215 210
istar Financial, Ser 1+
5.875%, 03/15/16 25 24
--------------
1,297
--------------
HEALTH CARE -- 0.0%
Aetna
5.750%, 06/15/11 40 41
Teva Pharmaceutical Finance LLC
5.550%, 02/01/16 40 39
Wellpoint
6.800%, 08/01/12 25 26
--------------
106
--------------
INDUSTRIALS -- 0.0%
Lafarge
6.150%, 07/15/11 25 25
US Steel
5.650%, 06/01/13 35 35
--------------
60
--------------
TELECOMMUNICATION SERVICES -- 0.0%
Vodafone Group PLC
5.625%, 02/27/17 75 73
5.350%, 02/27/12 25 25
--------------
98
--------------
UTILITIES -- 0.0%
Dominion Resources
4.750%, 12/15/10 25 24
Exelon Generation
6.950%, 06/15/11 40 42
--------------
66
--------------
Total Corporate Obligations
(Cost $1,857) ($ Thousands) 1,863
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/shares ($ Thousands)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 0.3%
U.S. Treasury Bills (A) (C)
4.814%, 08/23/07 $ 185 $ 183
4.747%, 07/05/07 200 199
U.S. Treasury Bond
2.375%, 04/15/11 931 926
--------------
Total U.S. Treasury Obligations
(Cost $1,312) ($ Thousands) 1,308
--------------
COMMERCIAL PAPER (C) -- 0.2%
FINANCIALS -- 0.2%
Meridian Funding
5.320%, 06/01/07 800 800
--------------
Total Commercial Paper
(Cost $800) ($ Thousands) 800
--------------
Total Investments -- 112.8%
(Cost $464,055) ($ Thousands) $ 512,076
==============
COMMON STOCK SOLD SHORT -- (11.5)%
CONSUMER DISCRETIONARY -- (3.5)%
Advance Auto Parts (9,000) (373)
Amazon.com* (6,900) (477)
Apollo Group, Cl A* (3,991) (191)
Barnes & Noble (8,800) (376)
Career Education* (19,564) (682)
Circuit City Stores (18,600) (299)
Coldwater Creek* (14,700) (365)
Corinthian Colleges* (17,700) (259)
CVS Caremark (1,400) (54)
Discovery Holding, Cl A* (51,133) (1,196)
Dreamworks Animation SKG, Cl A* (11,066) (331)
Eastman Kodak (7,500) (190)
Gentex (75,167) (1,334)
H&R Block (19,000) (450)
Hilton Hotels (7,000) (249)
International Game Technology (9,314) (374)
International Speedway, Cl A (546) (29)
Las Vegas Sands* (10,100) (788)
Liberty Media Holding-Capital, Ser A* (11,390) (1,286)
MDC Holdings (22,292) (1,211)
News, Cl A (5,500) (122)
Penn National Gaming* (3,800) (203)
Pulte Homes (22,500) (614)
Quiksilver* (26,700) (377)
R.H. Donnelley (11,121) (867)
Sally Beauty Holdings (25,600) (235)
Scientific Games, Cl A* (25,900) (967)
Standard-Pacific (43,588) (929)
Tiffany (5,372) (282)
Tractor Supply* (1,424) (76)
- --------------------------------------------------------------------------------
44 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Urban Outfitters* (225) $ (6)
Warner Music Group (28,000) (471)
XM Satellite Radio Holdings, Cl A* (25,600) (296)
--------------
(15,959)
--------------
CONSUMER STAPLES -- (0.1)%
Hansen Natural* (3,900) (155)
Whole Foods Market (4,570) (188)
--------------
(343)
--------------
ENERGY -- (1.7)%
Arch Coal (14,011) (566)
Cameco (13,200) (686)
CNX Gas Corp* (12,300) (362)
Consol Energy (800) (39)
Diamond Offshore Drilling (1,100) (104)
Enbridge (13,200) (470)
Foundation Coal Holdings (2,789) (123)
Peabody Energy (11,357) (614)
Pioneer Natural Resources (1,802) (93)
Pogo Producing (20,651) (1,116)
Quicksilver Resources* (39,041) (1,737)
Rowan (11,000) (434)
Smith International (3,000) (166)
Spectra Energy (21,052) (561)
Tetra Technologies* (15,000) (419)
W&T Offshore (13,800) (406)
--------------
(7,896)
--------------
FINANCIALS -- (1.2)%
Affiliated Managers Group* (300) (39)
Camden Property Trust+ (3,600) (269)
Capitol Federal Financial (11,000) (423)
Douglas Emmett+ (7,935) (209)
East West Bancorp (562) (23)
Fidelity National Financial, Cl A (4,300) (121)
Hudson City Bancorp (110,172) (1,453)
Leucadia National (32,166) (1,153)
Marsh & McLennan (1,500) (49)
Nasdaq Stock Market* (8,800) (293)
Peoples United Financial (21,420) (432)
T. Rowe Price Group (1,500) (77)
Valley National Bancorp (31,682) (776)
--------------
(5,317)
--------------
HEALTH CARE -- (1.6)%
Advanced Medical Optics (9,700) (341)
Affymetrix* (11,300) (294)
Amylin Pharmaceuticals* (4,256) (197)
Boston Scientific* (2,094) (33)
Brookdale Senior Living (18,913) (893)
Cooper (12,699) (700)
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Endo Pharmaceuticals Holdings* (9,100) $ (321)
Omnicare (17,100) (640)
Patterson* (2,200) (83)
Pharmaceutical Product Development (22,336) (815)
Qiagen* (6,800) (118)
Resmed* (16,600) (748)
Respironics* (8,800) (389)
Tenet Healthcare* (92,700) (644)
Thermo Fisher Scientific* (5,700) (311)
Vertex Pharmaceuticals* (26,530) (792)
--------------
(7,319)
--------------
INDUSTRIALS -- (1.0)%
Avis Budget Group (2,800) (85)
Corporate Executive Board (11,790) (784)
Covanta Holding* (6,200) (154)
Expeditors International Washington (7,400) (323)
Fastenal (5,266) (228)
Joy Global (3,900) (221)
Kirby* (4,900) (196)
Oshkosh Truck (6,200) (382)
Southwest Airlines (64,097) (917)
Spirit Aerosystems Holdings, Cl A* (12,300) (429)
Steelcase, Cl A (8,500) (165)
Stericycle* (3,680) (336)
UTi Worldwide (14,500) (406)
--------------
(4,626)
--------------
INFORMATION TECHNOLOGY -- (1.9)%
Advanced Micro Devices* (26,931) (384)
Automatic Data Processing (1,489) (74)
Avid Technology* (7,700) (263)
CACI International, Cl A* (1,400) (72)
Ceridian* (11,000) (389)
Equinix* (4,200) (367)
F5 Networks* (2,005) (163)
Fair Isaac (9,170) (347)
Global Payments (2,585) (104)
Intersil, Cl A (15,739) (474)
Juniper Networks* (14,316) (349)
Linear Technology (4,803) (172)
LSI Logic* (41,100) (357)
Mastercard, Cl A (40) (6)
MEMIC Electronic Materials* (5,900) (359)
Micron Technology (27,600) (336)
Novell* (23,100) (181)
Paychex (27,752) (1,121)
PMC-Sierra* (426) (3)
QLogic* (23,743) (405)
Rambus* (5,511) (104)
Red Hat* (9,100) (223)
Salesforce.com* (16,419) (776)
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 45
SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
SanDisk* (11,045) $ (481)
SAVVIS* (9,200) (462)
Silicon Laboratories* (18,879) (654)
--------------
(8,626)
--------------
MATERIALS -- (0.3)%
Ivanhoe Mines* (40,700) (578)
Mosaic (19,100) (671)
--------------
(1,249)
--------------
TELECOMMUNICATION SERVICES -- (0.2)%
Crown Castle International* (347) (13)
Level 3 Communications* (15,207) (89)
NII Holdings, Cl B* (3,500) (285)
SBA Communications, Cl A* (5,226) (168)
Windstream (9,863) (148)
--------------
(703)
--------------
UTILITIES -- 0.0%
Aqua America (9,900) (226)
--------------
Total Common Stock Sold Short
(Proceeds $(49,046)) ($ Thousands) $ (52,264)
--------------
A summary of the open futures contracts held by the Fund at May 31, 2007, is as
follows (See Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
NUMBER OF APPRECIATION
TYPE OF CONTRACTS EXPIRATION (DEPRECIATION)
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
90-Day Euro$ (12) Mar-2008 $ 10
90-Day Euro$ (2) Mar-2009 2
90-Day Euro$ (7) Mar-2010 4
90-Day Euro$ (8) Mar-2011 4
90-Day Euro$ (1) Mar-2012 1
90-Day Euro$ (11) Jun-2007 8
90-Day Euro$ 6 Jun-2008 (3)
90-Day Euro$ 24 Jun-2009 (20)
90-Day Euro$ (38) Jun-2010 27
90-Day Euro$ (3) Jun-2011 3
90-Day Euro$ (9) Sep-2007 7
90-Day Euro$ (6) Sep-2008 7
90-Day Euro$ 24 Sep-2009 (20)
90-Day Euro$ (7) Sep-2010 4
90-Day Euro$ (3) Sep-2011 3
90-Day Euro$ (36) Dec-2007 21
90-Day Euro$ (17) Dec-2008 14
90-Day Euro$ (7) Dec-2009 4
90-Day Euro$ (7) Dec-2010 4
90-Day Euro$ (1) Dec-2011 1
S&P 500 Index 252 Jun-2007 6,476
U.S. 2 Year Treasury Note 2 Sep-2007 (1)
U.S. 5 Year Treasury Note (30) Sep-2007 4
U.S. 10 Year Treasury Note 20 Sep-2007 (11)
U.S. Long Treasury Bond 4 Sep-2007 (1)
--------------
$ 6,548
==============
A summary of outstanding swap agreements held by the Fund at May 31, 2007, is as
follows (see Note 2 in Notes to Financial Statements):
- ----------------------------------------------------------------------------------------------------------------------
TOTAL RETURN SWAPS
- ----------------------------------------------------------------------------------------------------------------------
NOTIONAL UNREALIZED
EXPIRATION AMOUNT APPRECIATION
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- ----------------------------------------------------------------------------------------------------------------------
Receive payment on the monthly reset spread from Banc of America - CMBS
AAA10Yr Index plus 8 basis points times the notional amount. Fund
receives payment if the return on the spread appreciates over the
payment period and pays if the return on the spread depreciates over
the payment period. (Counterparty: Bank of America) 09/30/07 5,000 $ 8
Receive payment on the monthly reset spread from Banc of America - CMBS
AAA10Yr Index plus 5 basis points times the notional amount. Fund
receives payment if the return on the spread appreciates over the
payment period and pays if the return on the spread depreciates over
the payment period. (Counterparty: Bank of America) 08/01/07 7,500 37
Receive payment on the monthly reset spread from Banc of America - CMBS
IG 10Yr Index plus 20 basis points times the notional amount. Fund
receives payment if the return on the spread appreciates over the
payment period and pays if the return on the spread depreciates over
the payment period. (Counterparty: Bank of America) 10/31/07 3,000 (5)
Receive payment on the monthly reset spread from Lehman Brothers - CMBS
AAA 8.5 Plus Index minus 5 basis points times the notional amount.
Fund receives payment if the return on the spread appreciates over
the payment period and pays if the return on the spread depreciates
over the payment period. (Counterparty: Wachovia) 06/30/07 5,000 2
Receive payment on the monthly reset spread from Lehman Brothers - CMBS
AAA 8.5 Plus Index plus 12 basis points times the notional amount.
Fund receives payment if the return on the spread appreciates over
the payment period and pays if the return on the spread depreciates
over the payment period. (Counterparty: Merrill Lynch) 09/30/07 5,000 3
--------------
$ 45
==============
- ----------------------------------------------------------------------------------------------------------------------
CREDIT DEFAULT SWAPS
- ----------------------------------------------------------------------------------------------------------------------
UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- ----------------------------------------------------------------------------------------------------------------------
Fund receives monthly payment of 0.4400% (5.280% per annum) times the
notional amount of the ABX.HE.A 06-2 Index. Upon a defined credit
event, Fund pays the notional amount and takes receipt of the defined
deliverable obligation. (Counterparty: Bank of America) 05/25/46 6,000 $ (18)
Fund pays quarterly payment of 0.3200% (1.280% per annum) times the
notional amount of Alcan, Inc., 4.875%, 09/15/12. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: Bank of America) 03/20/14 200 1
Fund pays quarterly payment of 0.3500% (1.400% per annum) times the
notional amount of Alcan, Inc., 4.875%, 09/15/12. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: Bank of America) 12/20/13 250 1
Fund pays quarterly payment of 0.4400% (1.760% per annum) times the
notional amount of Autozone, Inc., 5.875%, 10/15/12. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: Bank of America) 12/20/11 250 (2)
Fund pays quarterly payment of 0.5500% (2.200% per annum) times the
notional amount of Black & Decker Corp., 7.125%, 06/01/11. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 250 (1)
- --------------------------------------------------------------------------------
46 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- ----------------------------------------------------------------------------------------------------------------------
UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- ----------------------------------------------------------------------------------------------------------------------
Fund pays quarterly payment of 0.2000% (0.800% per annum) times the
notional amount of Campbell Soup Co., 4.875%, 10/01/13. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: Bank of America) 06/20/14 350 $ (1)
Fund receives quarterly payment of 0.4000% (1.600% per annum) times the
notional amount of CDX.NA.IG. Upon a defined credit event, Fund pays
the notional amount and takes receipt of the defined obligation.
(Counterparty: Bank of America) 12/20/11 4,600 32
Fund receives quarterly payment of 0.4000% (1.600% per annum) times the
notional amount of CDX.NA.IG. Index. Upon a defined credit event, Fund
pays the notional amount and takes receipt of the defined obligation.
(Counterparty: Bank of America) 12/20/11 300 1
Fund receives quarterly payment of 0.4000% (1.600% per annum) times the
notional amount of CDX.NA.IG. Index. Upon a defined credit event, Fund
pays the notional amount and takes receipt of the defined obligation.
(Counterparty: Bank of America) 12/20/11 200 --
Fund receives quarterly payment of 0.4000% (1.600% per annum) times the
notional amount of CDX.NA.IG. Index. Upon a defined credit event, Fund
pays the notional amount and takes receipt of the defined obligation.
(Counterparty: Bank of America) 12/20/11 250 --
Fund pays quarterly payment of 0.4450% (1.780% per annum) times the
notional amount of Darden Restaurants, Inc., 7.125%, 02/01/16. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 250 (1)
Fund pays quarterly payment of 0.3900% (1.560% per annum) times the
notional amount of Johnson Controls, Inc., 7.125%, 07/15/17. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 250 (2)
Fund pays quarterly payment of 0.4250% (1.700% per annum) times the
notional amount of Eastman Chemical Co., 7.600%, 02/01/27. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 250 (1)
Fund pays quarterly payment of 1.1800% (4.720% per annum) times the
notional amount of Gap, Inc., 8.800%, 12/15/08. Upon a defined credit
event, Fund will receive the notional amount and deliver the defined
obligation. (Counterparty: Bank of America) 12/20/11 250 --
Fund pays quarterly payment of 0.3700% (1.480% per annum) times the
notional amount of Johnson Controls, Inc., 7.125%, 07/15/17. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 250 --
Fund pays quarterly payment of 0.4750% (1.900% per annum) times the
notional amount of The Limited, Inc., 6.125%, 12/01/12. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: Bank of America) 12/20/11 250 (1)
Fund pays quarterly payment of 0.7300% (2.920% per annum) times the
notional amount of Masco Corp., 5.875%, 07/15/12. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: Bank of America) 12/20/13 250 (2)
Fund pays quarterly payment of 0.4750% (1.900% per annum) times the
notional amount of MeadWestvaco, 6.850%, 04/01/12. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: Bank of America) 12/20/11 250 (1)
Fund pays quarterly payment of 0.3500% (1.400% per annum) times the
notional amount of MGIC Investment Corp., 6.000%, 03/15/07. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 250 --
- ----------------------------------------------------------------------------------------------------------------------
UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- ----------------------------------------------------------------------------------------------------------------------
Fund pays quarterly payment of 0.2200% (0.880% per annum) times the
notional amount of Nucor Corp., 4.875%, 10/01/12. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: Bank of America) 12/20/11 250 $ 1
Fund pays quarterly payment of 0.1400% (0.560% per annum) times the
notional amount of Pitney Bowes, Inc., 4.625%, 10/01/12. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 500 1
Fund pays quarterly payment of 0.3500% (1.400% per annum) times the
notional amount of PMI Group, Inc., 6.000%, 09/15/16. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: Bank of America) 12/20/13 250 2
Fund pays quarterly payment of 0.3900% (1.560% per annum) times the
notional amount of Radian Group, Inc., 7.750%, 06/01/11. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 250 2
Fund pays quarterly payment of 0.1900% (0.760% per annum) times the
notional amount of TJX Cos, Inc., 7.450%, 12/15/09. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: Bank of America) 12/20/11 250 (1)
Fund pays quarterly payment of 0.4500% (1.800% per annum) times the
notional amount of Weyerhaeuser, Co., 6.750%, 03/15/12. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: Bank of America) 12/20/11 250 --
Fund receives monthly payment of 0.5400% (6.480% per annum) times the
notional amount of the ABX.HE.A 06-1 Index. Upon a defined credit
event, Fund pays the notional amount and takes receipt of the defined
deliverable obligation. (Counterparty: JPMorgan Chase) 07/25/45 625 3
Fund receives monthly payment of 0.6400% (7.680% per annum) times the
notional amount of the ABX.HE.A 07-1 Index. Upon a defined credit
event, Fund pays the notional amount and takes receipt of the defined
deliverable obligation. (Counterparty: JPMorgan Chase) 08/25/37 500 2
Fund pays quarterly payment of 0.3400% (1.360% per annum) times the
notional amount of Agrium, Inc., 8.250%, 02/15/11. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 250 2
Fund pays quarterly payment of 0.4600% (1.840% per annum) times the
notional amount of Autozone, Inc., 5.875%, 10/15/12. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 250 --
Fund pays quarterly payment of 0.5500% (2.200% per annum) times the
notional amount of Black & Decker Corp., 7.125%, 06/01/11. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 250 --
Fund pays quarterly payment of 0.2150% (0.860% per annum) times the
notional amount of Carnival Corp., 6.650%, 01/15/28. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: JPMorgan Chase) 06/20/12 200 --
Fund pays quarterly payment of 0.2600% (1.040% per annum) times the
notional amount of Dow Chemical Co., 6.000%, 10/01/12. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 250 1
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 47
SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund (Concluded)
May 31, 2007
- -------------------------------------------------------------------------------------------------------------------------
UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- -------------------------------------------------------------------------------------------------------------------------
Fund pays quarterly payment of 1.1800% (4.720% per annum) times the
notional amount of Gap, Inc., 8.800%, 12/15/08. Upon a defined credit
event, Fund will receive the notional amount and deliver the defined
obligation. (Counterparty: JPMorgan Chase) 12/20/11 250 $ 1
Fund pays quarterly payment of 0.3900% (1.560% per annum) times the
notional amount of Hasbro, Inc., 2.750%, 12/01/21. Upon a defined credit
event, Fund will receive the notional amount and deliver the defined
obligation. (Counterparty: JPMorgan Chase) 12/20/11 250 (2)
Fund pays quarterly payment of 0.7700% (3.080% per annum) times the
notional amount of Jones Apparel Group, Inc., 5.125%, 11/15/14. Upon a
defined credit event, Fund will receive the notional amount and deliver
the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 250 (4)
Fund pays quarterly payment of 0.4500% (1.800% per annum) times the
notional amount of Lubrizol Corp., 7.250%,06/15/35. Upon a defined credit
event, Fund will receive the notional amount and deliver the defined
obligation. (Counterparty: JPMorgan Chase) 12/20/11 250 (1)
Fund pays quarterly payment of 0.3500% (1.400% per annum) times the
notional amount of MGIC Investment Corp., 6.000%, 11/01/15. Upon a
defined credit event, Fund will receive the notional amount and deliver
the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 250 3
Fund pays quarterly payment of 0.2800% (1.120% per annum) times the
notional amount of Nordstrom, Inc., 6.950%, 03/15/28. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 250 (1)
Fund pays quarterly payment of 0.2200% (0.880% per annum) times the
notional amount of Nucor Corp., 4.875%, 10/01/12. Upon a defined credit
event, Fund will receive the notional amount and deliver the defined
obligation. (Counterparty: JPMorgan Chase) 12/20/11 250 1
Fund pays quarterly payment of 0.3500% (1.400% per annum) times the
notional amount of PMI Group, Inc., 6.000%, 09/15/16. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 250 (1)
Fund pays quarterly payment of 0.2000% (0.800% per annum) times the
notional amount of PPG Industries, Inc., 7.050%, 08/15/09. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 250 (1)
Fund pays quarterly payment of 0.3900% (1.560% per annum) times the
notional amount of Radian Group, Inc., 7.750%, 06/01/11. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 250 (1)
Fund pays quarterly payment of 0.2700% (1.080% per annum) times the
notional amount of Southwest Airlines Co., 6.500%, 03/01/12. Upon a
defined credit event, Fund will receive the notional amount and deliver
the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 250 --
Fund receives monthly payment of 0.5400% (6.480% per annum) times the
notional amount of the ABX.HE.A 06-1 Index. Upon a defined credit event,
Fund pays the notional amount and takes receipt of the defined
deliverable obligation. (Counterparty: Merrill Lynch) 07/25/45 500 2
Fund receives monthly payment of 0.6400% (7.680% per annum) times the
notional amount of the ABX.HE.A 07-1 Index. Upon a defined credit event,
Fund pays the notional amount and takes receipt of the defined
deliverable obligation. (Counterparty: Merrill Lynch) 08/25/37 500 (2)
- -------------------------------------------------------------------------------------------------------------------------
UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- -------------------------------------------------------------------------------------------------------------------------
Fund receives quarterly payment of 0.4000% (1.600% per annum) times the
notional amount of CDX.NA.IG. Index. Upon a defined credit event, Fund
pays the notional amount and takes receipt of the defined
obligation. (Counterparty: Merrill Lynch) 12/20/11 200 $ 1
Fund receives quarterly payment of 0.4000% (1.600% per annum) times the
notional amount of CDX.NA.IG., Index. Upon a defined credit event, Fund
pays the notional amount and takes receipt of the defined obligation.
(Counterparty: Merrill Lynch) 12/20/11 1,250 9
Fund receives quarterly payment of 0.4000% (1.600% per annum) times the
notional amount of CDX.NA.IG. Index. Upon a defined credit event, Fund
pays the notional amount and takes receipt of the defined obligation.
(Counterparty: Merrill Lynch) 12/20/11 4,600 32
Fund pays quarterly payment of 0.4400% (1.760% per annum) times the
notional amount of Dow Chemical Co., 6.000%, 10/01/12. Upon a defined
credit event, Fund pays the notional amount and takes receipt of the
defined obligation. (Counterparty: Merrill Lynch) 12/20/11 500 (5)
Fund pays quarterly payment of 0.2500% (1.000% per annum) times the
notional amount of Dow Chemical Co., 6.000%,10/01/12. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: Merrill Lynch) 12/20/13 250 1
Fund pays quarterly payment of 0.1300% (0.520% per annum) times the
notional amount of Lowe's Cos., 8.250%, 06/01/10. Upon a defined credit
event, Fund will receive the notional amount and deliver the defined
obligation. (Counterparty: Merrill Lynch) 12/20/11 250 --
Fund pays quarterly payment of 0.4500% (1.800% per annum) times the
notional amount of Lubrizol Corp., 7.250%, 06/15/25. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: Merrill Lynch) 12/20/11 250 (2)
Fund pays quarterly payment of 0.9000% (3.600% per annum) times the
notional amount of MDC Holdings, Inc., 5.500%, 05/15/13. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: Merrill Lynch) 12/20/11 250 (4)
Fund pays quarterly payment of 0.2800% (1.120% per annum) times the
notional amount of Nordstrom, Inc., 6.950%, 03/15/28. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: Merrill Lynch) 12/20/13 250 --
Fund pays quarterly payment of 0.6900% (2.760% per annum) times the
notional amount of RR Donnelly & Sons Co., 4.950%, 04/01/14. Upon a
defined credit event, Fund will receive the notional amount and deliver
the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 250 1
Fund pays quarterly payment of 0.2700% (1.080% per annum) times the
notional amount of Southwest Airlines Co., 6.500%, 03/01/12. Upon a
defined credit event, Fund will receive the notional amount and deliver
the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 250 --
Fund pays quarterly payment of 0.4500% (1.800% per annum) times the
notional amount of Weyerhaeuser, Co., 6.750%, 03/15/12. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: Merrill Lynch) 03/20/12 250 (1)
Fund pays quarterly payment of 0.3380% (1.352% per annum) times the
notional amount of Whirlpool Corp., 7.750%, 07/15/16. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 250 --
-------------
$ 44
=============
- --------------------------------------------------------------------------------
48 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
Percentages are based on Net Assets of $453,954 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of May 31, 2007.
+ Real Estate Investments Trust
++ Affiliated security
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts. The rate reported is the effective yield at time
of purchase.
(B) All or a portion of this security is held as collateral for
securities sold short. The total value of collateral for securities
sold short at May 31, 2007 was $169,840 ($ Thousands).
(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 May 31, 2007. The date
reported on the Schedule of Investments is the next reset date.
(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 May 31, 2007. The coupon on a step bond
changes on a specified date.
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
LLC -- Limited Liability Company
MTN -- Medium Term Note
NIM -- Net Interest Margin
PLC -- Public Liability Company
Ser -- Series
STRIPS -- Separately Traded Registered Interest and Principal Securities
TBA -- To Be Announced
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 49
SCHEDULE OF INVESTMENTS
Large Cap Disciplined Equity Fund
May 31, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)++:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
17.9% Financials
12.6% Asset-Backed Securities
9.7% Information Technology
8.3% Health Care
7.9% Consumer Discretionary
7.8% Industrials
7.1% Consumer Staples
6.7% Energy
5.4% U.S. Government Agency Mortgage-Backed Obligations
4.6% Short-Term Investments
2.8% Telecommunication Services
2.7% Utilities
2.7% Materials
2.0% Commercial Paper
1.2% U.S. Government Agency Obligations
0.4% U.S. Treasury Obligations
0.1% Certificate of Deposit
0.1% Master Note
++Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 9).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 77.6%
CONSUMER DISCRETIONARY -- 8.4%
Abercrombie & Fitch, Cl A 25,300 $ 2,091
Aeropostale (B)* 126,700 5,866
Amazon.com* 44,500 3,077
American Eagle Outfitters (B) 138,200 3,731
Apollo Group, Cl A* 17,400 835
Autozone* 23,600 3,036
Best Buy 20,048 968
Big Lots* 130,000 4,095
Brinker International (B) 37,650 1,203
Cablevision Systems, Cl A 686,386 24,840
Carmax (B)* 40,924 982
CBS, Cl B 239,140 7,954
Clear Channel Communications 46,203 1,774
Coach* 163,800 8,413
Comcast, Cl A (B)* 852,892 23,378
Darden Restaurants 74,600 3,400
Dillard's, Cl A 66,800 2,425
DIRECTV Group* 1,041,711 24,334
Dollar General 90,000 1,948
Eastman Kodak 254,202 6,447
EchoStar Communications, Cl A (B)* 223,875 10,312
Family Dollar Stores 20,300 683
Federated Department Stores* 176,826 7,061
Ford Motor (B) 2,762,145 23,036
Gannett 9,500 559
General Motors (B) 665,129 19,947
Gentex 107,200 1,903
Goodyear Tire & Rubber* 350,808 12,443
Gymboree (B)* 85,900 3,840
Hanesbrands* 83,458 2,178
Harley-Davidson (B) 144,000 8,797
Harman International Industries 5,200 617
Harrah's Entertainment 3,818 326
Hasbro 178,700 5,745
Hilton Hotels 148,618 5,283
Home Depot 293,195 11,396
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
IAC/InterActive (B)* 236,900 $ 8,197
Idearc* 45,748 1,613
International Game Technology 96,800 3,890
Interpublic Group* 177,400 2,084
J. Crew Group* 15,000 673
J.C. Penney 345,295 27,789
Jack in the Box (B)* 6,300 482
Johnson Controls 40,795 4,475
Jones Apparel Group 188,500 5,614
Kellwood 33,300 959
Kohl's (B)* 303,900 22,890
Lamar Advertising, Cl A 53,000 3,472
Limited Brands 27,300 717
Marriott International, Cl A (B) 426,981 19,662
Marvel Entertainment (B)* 37,300 1,030
Mattel 444,500 12,450
McDonald's 734,432 37,126
McGraw-Hill 46,200 3,248
Newell Rubbermaid 19,900 632
News, Cl A 764,500 16,888
Nike, Cl B 19,900 1,129
Nordstrom 191,026 9,920
Office Depot* 683,471 24,878
OfficeMax 87,500 3,929
Omnicom Group 47,100 4,960
Papa John's International* 12,100 374
Polo Ralph Lauren 70,500 6,876
RadioShack 136,200 4,650
Sears Holdings (B)* 145,912 26,267
Select Comfort (B)* 13,000 236
Sherwin-Williams 122,800 8,306
Snap-On 45,600 2,466
Starbucks* 76,208 2,196
Target (B) 210,862 13,164
Tiffany 32,500 1,709
Time Warner 1,175,028 25,110
TJX 125,500 3,510
United Auto Group (B) 46,052 1,024
Universal Technical Institute (B)* 15,800 373
VF 91,300 8,562
Viacom, Cl B* 244,700 10,992
Walt Disney 1,361,431 48,249
Wendy's International 126,700 5,084
Whirlpool 119,239 13,313
Wyndham Worldwide* 18,400 684
Yum! Brands 208,100 14,093
--------------
660,868
--------------
CONSUMER STAPLES -- 7.7%
Altria Group 791,053 56,244
Anheuser-Busch 142,225 7,586
Archer-Daniels-Midland 780,652 27,354
Avon Products 17,900 687
- --------------------------------------------------------------------------------
50 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Campbell Soup 104,700 $ 4,157
Clorox 395,999 26,587
Coca-Cola 894,187 47,383
Colgate-Palmolive 225,800 15,120
ConAgra Foods 520,900 13,283
CVS 228,857 8,820
Dean Foods 98,500 3,227
Estee Lauder, Cl A 8,800 416
General Mills 109,900 6,730
HJ Heinz 38,700 1,841
Kimberly-Clark 324,594 23,033
Kraft Foods, Cl A 417,405 14,125
Kroger 1,157,076 35,083
Loews - Carolina 173,239 13,469
McCormick 37,400 1,395
Molson Coors Brewing, Cl B 25,000 2,289
Pepsi Bottling Group 6,300 220
PepsiCo 610,127 41,690
Procter & Gamble 1,113,827 70,784
Reynolds American (B) 367,100 23,876
Safeway 594,875 20,511
Sara Lee 58,200 1,042
Smithfield Foods* 61,172 1,966
Supervalu 61,600 2,935
Sysco 11,100 368
Tyson Foods, Cl A (B) 1,283,152 28,601
UST 169,300 9,039
Wal-Mart Stores 1,794,805 85,433
Walgreen 121,903 5,502
--------------
600,796
--------------
ENERGY -- 7.2%
Anadarko Petroleum 25,864 1,284
Apache 23,800 1,922
Chesapeake Energy (B) 346,200 12,069
Chevron 1,369,532 111,603
Cimarex Energy 34,900 1,467
ConocoPhillips 835,224 64,671
Devon Energy 76,221 5,852
Dresser-Rand Group* 31,900 1,136
ENSCO International 4,400 267
Exxon Mobil 2,780,396 231,246
Halliburton 426,960 15,349
Hess 700 41
Hornbeck Offshore Services (B)* 39,800 1,588
Marathon Oil 309,570 38,328
National Oilwell Varco* 11,200 1,058
Noble 132,789 12,268
Noble Energy 12,100 766
Occidental Petroleum 210,715 11,583
Schlumberger 242,068 18,850
Sunoco 82,300 6,560
Transocean* 243,510 23,922
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Valero Energy 38,100 $ 2,843
Williams 28,400 902
XTO Energy 15,100 876
--------------
566,451
--------------
FINANCIALS -- 17.5%
ACE 469,283 28,894
Aflac 13,200 698
Allstate 508,047 31,245
American Express 251,846 16,365
American International Group 847,061 61,276
AmeriCredit (B)* 68,200 1,811
Ameriprise Financial 76,836 4,829
Apartment Investment &
Management, Cl A+ 122,800 6,738
Archstone-Smith Trust+ 111,100 6,855
Ashford Hospitality Trust+ 58,500 726
Assurant 6,300 374
AvalonBay Communities+ 10,300 1,343
Bank of America 3,019,800 153,134
Bank of New York 151,100 6,129
BB&T 86,500 3,642
Bear Stearns 52,511 7,875
Boston Properties+ (B) 127,191 14,713
Capital One Financial (B) 12,000 957
CB Richard Ellis Group, Cl A* 179,500 6,681
Charles Schwab 56,300 1,265
Chicago Mercantile Exchange
Holdings, Cl A 6,800 3,611
Chubb 227,000 12,455
CIT Group 63,300 3,794
Citigroup 2,623,669 142,964
CNA Financial* 33,529 1,704
Comerica 23,600 1,483
Compass Bancshares 38,700 2,709
Countrywide Financial (B) 113,300 4,412
DCT Industrial Trust+ (B)* 25,300 280
Developers Diversified Realty+ 18,000 1,110
Equity Residential+ 40,200 2,037
Fannie Mae 184,904 11,819
First Industrial Realty Trust+ (B) 39,400 1,757
Franklin Resources 56,409 7,657
Freddie Mac 251,349 16,788
Genworth Financial, Cl A 218,700 7,895
Goldman Sachs Group 221,503 51,127
Hartford Financial Services Group 44,964 4,639
Hospitality Properties Trust+ 9,500 422
Host Hotels & Resorts+ (B) 245,798 6,273
Janus Capital Group (B) 115,700 3,203
Jones Lang LaSalle 12,400 1,447
JPMorgan Chase 2,297,423 119,075
Keycorp (B) 161,800 5,762
Kimco Realty+ 188,700 8,735
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 51
SCHEDULE OF INVESTMENTS
Large Cap Disciplined Equity Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Lehman Brothers Holdings 533,563 $ 39,153
Lexington Realty Trust+ (B) 82,300 1,712
Lincoln National 23,192 1,681
Loews 838,836 42,806
Mellon Financial 27,744 1,202
Merrill Lynch 781,481 72,467
Metlife 779,936 53,036
Moody's (B) 186,870 13,015
Morgan Stanley 919,187 78,168
National City (B) 43,316 1,498
Newcastle Investment+ (B) 51,800 1,536
NorthStar Realty Finance+ 28,900 416
PNC Financial Services Group 255,028 18,821
Popular (B) 44,800 771
Principal Financial Group 12,100 736
Prologis+ 68,200 4,410
Prudential Financial 179,300 18,292
Public Storage+ 72,400 6,480
Regions Financial (B) 146,200 5,215
Safeco (B) 77,161 4,842
Simon Property Group+ 87,981 9,500
SLM 23,179 1,303
Sovereign Bancorp 28,700 667
SunTrust Banks 87,000 7,768
T. Rowe Price Group 129,428 6,646
Thornburg Mortgage+ (B) 108,000 2,995
Travelers 825,086 44,695
UnumProvident 43,000 1,141
US Bancorp (B) 737,168 25,491
Vornado Realty Trust+ 84,000 10,165
Wachovia 681,401 36,925
Washington Mutual (B) 187,841 8,212
Wells Fargo 1,573,106 56,773
World Acceptance (B)* 6,600 280
XL Capital, Cl A (B) 173,334 14,137
--------------
1,371,663
--------------
HEALTH CARE -- 8.9%
Abbott Laboratories 383,916 21,634
Aetna 228,288 12,083
Allergan 3,400 423
AmerisourceBergen 457,677 23,442
Amgen* 82,521 4,648
Applera -- Applied
Biosystems Group 293,500 8,332
Baxter International 439,750 24,995
Becton Dickinson 137,300 10,469
Biogen Idec* 99,200 5,180
Bristol-Myers Squibb 257,147 7,794
C.R. Bard 19,204 1,621
Cardinal Health 484,415 35,101
Celgene (B)* 257,300 15,757
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Charles River Laboratories
International* 40,800 $ 2,169
Cigna 49,572 8,310
Eli Lilly 214,972 12,602
Express Scripts (B)* 14,000 1,429
Forest Laboratories* 46,200 2,343
Genentech* 356,257 28,419
Gilead Sciences* 170,600 14,121
Haemonetics* 35,000 1,737
Health Net* 160,317 9,151
Humana* 241,325 14,974
ICU Medical* 21,000 843
Immucor* 12,700 401
IMS Health 48,500 1,586
Integra LifeSciences Holdings* 9,300 477
Invitrogen* 35,300 2,557
Johnson & Johnson 1,910,796 120,896
King Pharmaceuticals (B)* 200,200 4,252
Laboratory of America Holdings* 84,900 6,685
Manor Care 54,800 3,726
McKesson 497,118 31,383
Medco Health Solutions* 126,667 9,850
Medimmune* 72,833 4,216
Medtronic 122,849 6,532
Merck 739,994 38,813
OSI Pharmaceuticals* 32,800 1,239
PerkinElmer 35,000 928
Pfizer 2,186,233 60,100
Schering-Plough 269,800 8,833
Stryker* 57,500 3,870
Thermo Fisher Scientific* 153,500 8,381
United Therapeutics (B)* 64,400 4,250
UnitedHealth Group 486,622 26,652
Ventana Medical Systems* 16,900 870
Waters* 135,700 8,183
WellCare Health Plans* 8,500 782
WellPoint* 582,502 47,422
Wyeth 418,249 24,192
Zimmer Holdings* 30,400 2,677
--------------
697,330
--------------
INDUSTRIALS -- 8.5%
3M 126,144 11,096
Acuity Brands 43,300 2,629
Allied Waste Industries* 180,976 2,436
American Standard 16,900 1,010
Avery Dennison 100,000 6,527
Boeing 792,779 79,746
Burlington Northern Santa Fe 65,900 6,137
C.H. Robinson Worldwide 3,200 173
Caterpillar 89,128 7,004
Cenveo* 13,800 337
- --------------------------------------------------------------------------------
52 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Ceradyne (B)* 17,300 $ 1,169
Cooper Industries, Cl A 61,000 3,268
Crane 11,300 494
CSX 192,200 8,733
Cummins 85,520 8,058
Deere 45,300 5,457
Dover 105,900 5,300
Eaton 7,800 731
Emerson Electric 309,830 15,011
FedEx 269,579 30,090
Flowserve (B) 48,851 3,391
Gardner Denver* 92,200 3,798
General Dynamics 140,800 11,298
General Electric 3,775,852 141,896
Goodman Global* 22,700 498
Goodrich 8,600 512
Honeywell International 283,853 16,438
IHS, Cl A* 5,900 237
Illinois Tool Works (B) 179,500 9,463
Jacobs Engineering Group* 90,167 5,225
JB Hunt Transport Services 12,100 353
Labor Ready* 61,500 1,476
Lockheed Martin 477,624 46,855
MSC Industrial Direct, Cl A (B) 58,900 3,155
Northrop Grumman (B) 403,914 30,540
Paccar 124,313 10,844
Pall 35,600 1,593
Parker Hannifin 209,632 21,248
Raytheon 138,582 7,705
Robert Half International 94,100 3,307
Rockwell Automation 83,800 5,703
Rockwell Collins 24,300 1,717
RR Donnelley & Sons 111,053 4,755
Ryder System 54,500 2,939
SPX 91,985 8,083
Stericycle* 11,900 1,085
Terex* 113,000 9,579
Timken 18,600 654
Tyco International 1,459,731 48,697
Union Pacific 13,800 1,665
United Parcel Service, Cl B 183,650 13,217
United Technologies 369,044 26,036
URS* 6,200 312
Waste Management 257,600 9,961
WESCO International (B)* 78,369 5,080
WW Grainger 88,900 7,828
--------------
662,549
--------------
INFORMATION TECHNOLOGY -- 10.5%
Adobe Systems* 31,500 1,389
Advanced Energy Industries* 33,200 815
Agilent Technologies (B)* 268,100 10,233
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Apple* 195,930 $ 23,817
Applied Materials 184,300 3,520
Arrow Electronics (B)* 661,063 27,137
Automatic Data Processing 54,253 2,696
Avaya* 58,200 931
Avnet* 336,110 14,399
BMC Software* 357,200 11,838
Cadence Design Systems* 19,800 450
Cisco Systems* 2,490,148 67,035
Cognizant Technology Solutions, Cl A* 97,500 7,660
Computer Sciences* 69,705 3,862
Compuware* 26,500 301
Convergys* 173,500 4,466
Corning* 45,200 1,130
eBay* 493,600 16,072
Electronic Data Systems 1,109,291 31,959
EMC* 1,068,700 18,050
Exar* 18,300 249
Fidelity National Information Services 8,200 442
First Data 60,513 1,979
Fiserv* 194,200 11,506
Google, Cl A* 119,154 59,309
Hewlett-Packard 2,223,137 101,620
Ingram Micro, Cl A* 627,606 13,004
Intel 550,528 12,205
International Business Machines (B) 974,818 103,916
Intevac* 32,800 633
Intuit* 27,300 833
j2 Global Communications (B)* 22,900 763
Juniper Networks* 30,500 744
Kla-Tencor (B) 35,600 1,957
L-1 Identity Solutions (B)* 74,300 1,589
Lexmark International, Cl A* 94,500 4,907
Littelfuse* 8,600 345
MEMC Electronic Materials* 33,400 2,030
Microsoft 3,332,162 102,197
MicroStrategy, Cl A* 11,900 1,235
Motorola 3,874 70
NCR* 261,906 14,056
Network Appliance (B)* 413,500 13,311
Novellus Systems* 114,800 3,523
Nvidia* 388,100 13,455
Oracle* 1,878,716 36,410
PMC - Sierra (B)* 198,100 1,527
Qualcomm 446,900 19,194
Silicon Image* 114,500 960
SYKES Enterprises* 16,800 327
Symantec (B)* 390,100 7,798
Tech Data (B)* 40,966 1,510
Teradyne (B)* 354,500 6,034
Texas Instruments 503,464 17,802
Varian Semiconductor Equipment
Associates* 15,150 639
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 53
SCHEDULE OF INVESTMENTS
Large Cap Disciplined Equity Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Western Union* 12,703 $ 285
Xerox* 661,059 12,474
Xilinx (B) 176,500 5,027
Yahoo!* 13,600 390
--------------
824,015
--------------
MATERIALS -- 2.9%
Air Products & Chemicals 72,900 5,685
Alcoa 419,400 17,313
Allegheny Technologies 120,000 13,871
Ashland 109,827 6,625
Ball 24,900 1,378
Celanese, Ser A 105,456 3,837
Crown Holdings* 625,268 15,588
Dow Chemical 202,300 9,180
E.I. Du Pont de Nemours 473,864 24,793
Eagle Materials 56,800 2,850
Ecolab 35,200 1,519
Freeport-McMoRan
Copper & Gold, Cl B 101,979 8,026
Headwaters (B)* 82,400 1,625
Hecla Mining (B)* 104,500 836
Hercules* 200,640 3,778
Huntsman 47,785 956
International Flavors & Fragrances 88,800 4,558
International Paper 555,258 21,749
Lyondell Chemical 35,931 1,335
Monsanto 353,720 21,789
Nucor 200,000 13,508
Owens-Illinois 231,284 7,864
Pactiv* 163,900 5,568
Rohm & Haas 55,300 2,931
Temple-Inland 52,300 3,295
United States Steel 92,000 10,411
Vulcan Materials 139,109 16,650
Weyerhaeuser 11,600 951
--------------
228,469
--------------
TELECOMMUNICATION SERVICES -- 3.1%
Alltel 83,646 5,731
AT&T 3,427,465 141,691
CenturyTel 122,400 6,049
Embarq (B) 89,055 5,723
Qwest Communications
International (B)* 1,464,869 15,074
Sprint Nextel 508,000 11,608
US Cellular* 101,552 8,060
Verizon Communications (B) 881,998 38,393
Windstream (B) 486,513 7,308
--------------
239,637
--------------
- --------------------------------------------------------------------------------
Shares
/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
UTILITIES -- 2.9%
AES* 1,075,741 $ 25,527
Allegheny Energy* 298,200 15,921
Ameren (B) 54,400 2,887
American Electric Power 229,600 10,936
Centerpoint Energy 346,900 6,567
CMS Energy 122,400 2,234
Constellation Energy Group 71,800 6,589
Dominion Resources 51,700 4,580
Duke Energy 291,200 5,690
Dynegy* 216,600 2,097
Edison International 35,802 2,086
Entergy 55,000 6,209
Exelon 194,782 15,193
FirstEnergy 119,400 8,266
FPL Group 136,200 8,707
Integrys Energy Group 3,710 207
Mirant* 198,900 9,229
NiSource 44,200 982
Northeast Utilities 29,792 906
NRG Energy (B)* 136,732 12,017
PG&E 430,307 21,197
Pinnacle West Capital 63,100 2,930
PPL 41,400 1,903
Progress Energy (B) 52,200 2,615
Public Service Enterprise Group 231,072 20,551
Sempra Energy 32,730 2,007
Southern 129,900 4,678
TXU 378,299 25,516
Xcel Energy 102,304 2,348
--------------
230,575
--------------
Total Common Stock
(Cost $5,047,616) ($Thousands) 6,082,353
--------------
ASSET-BACKED SECURITIES -- 13.8%
MORTGAGE RELATED SECURITIES -- 13.8%
Aames Mortgage Investment Trust,
Ser 2005-4, Cl B2 (E)
8.070%, 06/12/07 $ 1,040 884
Ace Securities, Ser 2003-NC1,
Cl M1 (E)
6.100%, 06/25/07 3,600 3,608
Ace Securities, Ser 2003-OP1,
Cl M1 (E)
6.020%, 06/26/07 1,500 1,508
Ace Securities, Ser 2005-HE7,
Cl A1B2 (E)
5.620%, 06/27/07 2,983 2,985
Ace Securities, Ser 2007-HE4,
Cl A2A (E)
5.450%, 06/30/07 27,579 27,579
- --------------------------------------------------------------------------------
54 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Adjustable Rate Mortgage NIM Trust,
Ser 2005-4, Cl A (A)
5.500%, 12/27/35 $ 453 $ 385
Adjustable Rate Mortgage Trust,
Ser 2005-3, Cl 1A2 (E)
4.711%, 06/25/07 496 505
Adjustable Rate Mortgage Trust,
Ser 2005-5, Cl 1A1 (E)
4.952%, 06/01/07 2,262 2,260
Aegis Asset-Backed Securities Trust,
Ser 2003-3, Cl M1 (E)
6.020%, 06/25/07 317 318
American Home Mortgage Assets,
Ser 2006-3, Cl M5 (E)
5.940%, 10/25/46 1,200 1,154
American Home Mortgage Investment
Trust, Ser 2005-1, Cl 4A1 (E)
4.992%, 06/01/07 2,486 2,506
American Home Mortgage Investment
Trust, Ser 2005-1, Cl 6A (E)
5.294%, 06/25/07 14,805 14,681
American Home Mortgage Investment
Trust, Ser 2005-4, Cl 5A (E)
5.350%, 06/25/07 10,818 10,854
American Home Mortgage Investment
Trust, Ser 2006-1, Cl 2A3 (E)
5.100%, 06/25/07 6,825 6,759
Ameriquest Mortgage Securities,
Ser 2003-2, Cl M1 (E)
6.220%, 06/25/07 2,373 2,375
Argent Securities, Ser 2003-W5,
Cl M1 (E)
6.020%, 06/25/07 1,000 1,006
Argent Securities, Ser 2003-W9,
Cl M1 (E)
6.010%, 06/26/07 2,059 2,070
Asset-Backed Funding Certificates,
Ser 2004-OPT5, Cl M1 (E)
6.070%, 06/14/07 1,000 1,004
Asset-Backed Funding NIM Trust,
Ser 2005-HE2A, Cl N1 (A)
6.000%, 07/26/35 493 266
Asset-Backed Funding NIM Trust,
Ser 2005-WMC1, Cl N1 (A)
5.900%, 07/26/35 135 134
Asset-Backed Securities Home
Equity Loan Trust,
Ser 2003-HE5, Cl M1 (E)
6.070%, 06/15/07 2,828 2,836
Banc of America Commercial
Mortgage, Ser 2006-2, Cl A1
5.611%, 05/10/45 4,290 4,304
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Bear Stearns Alternative Trust,
Ser 2004-12, Cl 2A2 (E)
4.943%, 06/01/07 $ 14,223 $ 14,352
Bear Stearns Asset-Backed
Securities, Ser 2007-AQ2,
Cl A1 (E)
5.420%, 06/30/07 13,378 13,378
Bear Stearns Asset-Backed
Securities, Ser 2007-HE3,
Cl 1A1 (E)
5.440%, 06/30/07 12,744 12,745
Bear Stearns Asset-Backed
Securities, Ser 2007-HE4,
Cl 1A1 (E)
5.440%, 06/30/07 17,728 17,734
Carrington Mortgage Loan Trust,
Ser 2007-FRE1, Cl A1 (E)
5.440%, 06/25/07 15,767 15,770
Citifinancial Mortgage Securities,
Ser 2004-1, Cl AF2 (H)
2.645%, 06/01/07 2,046 1,981
Citigroup Mortgage Loan Trust,
Ser 2005-HE4, Cl A2C (E)
5.590%, 06/27/07 8,916 8,929
Countrywide Alternative Loan Trust,
Ser 2004-33, Cl 1A1 (E)
4.975%, 06/01/07 4,077 4,132
Countrywide Alternative Loan Trust,
Ser 2005-69, Cl M3 (E)
6.470%, 06/27/07 1,325 1,306
Countrywide Alternative Loan Trust,
Ser 2005-IM1, Cl M3 (E)
7.320%, 06/27/07 1,551 1,452
Countrywide Alternative Loan Trust,
Ser 2006-OA11, Cl M3 (E)
5.750%, 06/30/07 2,800 2,793
Countrywide Alternative Loan Trust,
Ser 2006-OA16, Cl M5 (E)
5.870%, 10/25/46 1,205 1,152
Countrywide Asset-Backed
Certificates, Ser 2005-13N,
Cl NOTE (A)
6.000%, 11/25/36 13 12
Countrywide Asset-Backed
Certificates, Ser 2005-7,
Cl MV8 (E)
6.770%, 06/27/07 1,350 1,319
Countrywide Asset-Backed
Certificates, Ser 2006-S1, Cl A2
5.549%, 08/25/21 8,750 8,709
Countrywide Home Equity Loan
Trust, Ser 2006-D, Cl 2A (E)
5.520%, 06/30/07 9,173 9,168
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 55
SCHEDULE OF INVESTMENTS
Large Cap Disciplined Equity Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Home Loans,
Ser 2004-22, Cl A1 (E)
5.084%, 06/01/07 $ 1,917 $ 1,899
Countrywide Home Loans,
Ser 2005-HY10, Cl 1A1 (E)
5.294%, 06/01/07 4,433 4,471
Countrywide Home Loans,
Ser 2005-HYB9, Cl 1A1 (E)
5.150%, 06/01/07 2,677 2,677
Countrywide Home Loans,
Ser 2005-HYB9, Cl 1A2 (E)
5.150%, 06/01/07 535 535
Countrywide Home Loans,
Ser 2006-OA4, Cl M4 (E)
6.140%, 06/27/07 1,615 1,627
Countrywide Home Loans,
Ser 2006-OA4, Cl M5 (E)
6.190%, 06/27/07 1,100 1,096
Countrywide Home Loans,
Ser 2006-OA5, Cl 1M4 (E)
6.370%, 06/27/07 3,168 3,120
Countrywide Home Loans,
Ser 2007-HYB1, Cl 1A1
5.581%, 06/01/07 9,089 9,073
Credit Suisse First Boston
Mortgage Securities,
Ser 2005-3, Cl 5A1
5.500%, 07/25/20 7,321 7,301
Credit-Based Asset Servicing,
Ser 2005-CB8, Cl AF1B (H)
5.451%, 06/25/07 4,445 4,426
Credit-Based Asset Servicing,
Ser 2007-CB3, Cl A1 (H)
5.766%, 03/25/37 27,526 27,453
Credit-Based Asset Servicing,
Ser 2007-CB4, Cl A1A (E)
5.410%, 06/27/07 14,342 14,344
Credit-Based Asset Servicing,
Ser 2007-CB4, Cl A2A (E)
5.844%, 04/25/37 15,540 15,513
DSLA Mortgage Loan Trust,
Ser 2004-AR2, Cl B2 (E)
6.520%, 11/19/44 1,640 1,640
Duke Funding, Ser 2004-6B,
Cl A1S1 (A) (C) (E)
5.420%, 07/09/07 4,320 4,320
FBR Securitization Trust,
Ser 2005-2, Cl M10 (E)
7.570%, 06/28/07 600 407
FBR Securitization Trust,
Ser 2005-4, Cl M11 (E)
7.320%, 06/27/07 1,265 1,091
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FBR Securitization Trust,
Ser 2005-4, Cl M12 (E)
7.320%, 06/27/07 $ 521 $ 457
FBR Securitization Trust,
Ser 2005-5, Cl M12 (E)
7.570%, 06/27/07 693 632
First Franklin Mortgage Loan
Asset-Backed Securities,
Ser 2003-FF4, Cl M3 (E)
8.170%, 06/27/07 223 206
First Franklin Mortgage Loan
Asset-Backed Securities,
Ser 2005-FF10, Cl A4 (E)
5.640%, 06/25/07 25,000 24,893
First Franklin Mortgage Loan
Asset-Backed Securities,
Ser 2005-FF8A, Cl N1 (A)
6.500%, 09/25/35 752 699
First Franklin Mortgage Loan
Asset-Backed Securities,
Ser 2005-FF9, Cl A3 (E)
5.600%, 06/25/07 18,033 18,004
First Franklin Mortgage Loan
Asset-Backed Securities,
Ser 2006-FF9, Cl M1 (E)
5.570%, 06/25/07 20,000 19,971
First Franklin Mortgage Loan,
Ser 2003-FF5, Cl M6 (E)
8.820%, 06/25/07 149 115
First Franklin Mortgage Loan,
Ser 2005-FFH4, Cl N1 (A)
5.682%, 12/25/35 148 144
First Franklin Mortgage Loan,
Ser 2006-FF14, Cl A2 (E)
5.380%, 06/25/07 17,611 17,608
First Horizon Alternative Mortgage
Trust, Ser 2005-AA3, Cl 3A1 (E)
5.349%, 06/01/07 1,042 1,039
First Horizon Alternative Mortgage
Trust, Ser 2006-AA6, Cl 2A1 (E)
5.686%, 06/01/07 22,255 22,220
First Horizon Asset Securities,
Ser 2006-AR3, Cl 1A1 (E)
5.695%, 06/01/07 6,270 6,246
GE-WMC Mortgage Securities
NIM Trust, Ser 2005-2A,
Cl N1 (A)
5.500%, 01/25/36 105 102
GMAC Mortgage Loan Trust,
Ser 2006-HE1, Cl A (E) 21,800 21,783
5.530%, 06/25/07
- --------------------------------------------------------------------------------
56 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
GS Mortgage Securities,
Ser 2006-GG6, Cl AM (E)
5.622%, 04/10/38 $ 21,000 $ 20,903
GSAA Home Equity Trust,
Ser NI, Cl M9 (A)
6.500%, 10/25/35 1,121 1,125
GSAMP NIM Trust,
Ser 2005-WM2N, Cl N (A)
5.500%, 11/25/35 683 512
GSAMP Trust, Ser 2007-HE2,
Cl A2A (E)
5.440%, 06/20/07 18,280 18,282
HSI Asset Securitization Trust,
Ser 2005-I1, Cl 2A3 (E)
5.610%, 06/27/07 17,700 17,513
HSI Asset Securitization Trust,
Ser 2005-NC1, Cl 2A4 (E)
5.640%, 06/25/07 2,719 2,716
Holmes Financing, Ser 2006-10A,
Cl 1C (A) (E)
5.626%, 07/16/07 3,250 3,250
Home Equity Asset Trust,
Ser 2003-4, Cl M2 (E)
7.220%, 06/25/07 2,085 2,088
Home Equity Asset Trust,
Ser 2004-6N, Cl A (A)
5.250%, 01/27/35 982 964
Home Equity Asset Trust,
Ser 2004-7N, Cl A (A)
4.500%, 02/27/35 1,110 1,084
Home Equity Asset Trust,
Ser 2005-5N, Cl A (A)
5.500%, 12/27/35 1,438 1,006
Home Equity Asset Trust,
Ser 2005-6N, Cl A (A)
6.000%, 01/27/36 480 336
Home Equity Asset Trust,
Ser 2005-7N, Cl A (A)
6.500%, 02/27/36 625 438
Home Equity Asset Trust,
Ser 2006-1N, Cl 1A (A)
6.500%, 05/27/36 389 292
Home Equity Mortgage Trust,
Ser 2006-5, Cl A1 (H)
5.500%, 01/25/37 17,237 17,214
Home Equity Mortgage Trust,
Ser 2007-2, Cl 2A1A (E)
5.470%, 06/30/07 22,320 22,318
Impac CMB Trust, Ser 2004-10,
Cl 4M1 (E)
5.920%, 03/25/35 2,300 2,314
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Impac Secured Assets CMO
Owners Trust, Ser 2006-3,
Cl A4 (E)
5.410%, 06/27/07 $ 14,589 $ 14,589
Impac Secured Assets CMO Owners
Trust, Ser 2007-1, Cl A1 (E)
5.380%, 06/25/07 35,166 35,157
Impac Secured Assets CMO Owners
Trust, Ser 2007-2, Cl 1A1A (E)
5.430%, 05/25/37 22,199 22,199
Impac Secured Assets CMO Owners
Trust, Ser 2007-3, Cl 1A1A (E)
5.430%, 06/30/07 21,500 21,496
Indymac INDA Mortgage Loan Trust,
Ser 2005-AR2, Cl 1A1 (E)
4.881%, 06/01/07 1,246 1,239
Indymac Index Mortgage Loan Trust,
Ser 2006-AR12, Cl M2 (E)
5.870%, 09/25/46 1,270 1,270
Indymac Index Mortgage Loan Trust,
Ser 2006-AR2, Cl M6 (E)
7.070%, 04/25/46 1,325 1,275
Indymac Index Mortgage Loan Trust,
Ser 2006-AR4, Cl M4 (E)
6.020%, 06/25/07 940 920
JP Morgan Mortgage Acquisition,
Ser 2006-RM1, Cl A2 (E)
5.400%, 06/27/07 3,706 3,706
JP Morgan Mortgage Acquisition,
Ser 2006-WF1, Cl A1B (E)
5.420%, 06/30/07 5,117 5,117
Lehman XS NIM Trust, Ser 2005-5N,
Cl A (A)
7.000%, 11/28/35 495 495
Lehman XS Trust, Ser 2005-5N,
Cl M3 (E)
6.320%, 06/25/07 2,424 2,397
Lehman XS Trust, Ser 2005-5N,
Cl M4 (E)
7.070%, 06/30/07 3,000 2,682
Lehman XS Trust, Ser 2005-7N,
Cl M51 (E)
6.570%, 06/30/07 620 589
Lehman XS Trust, Ser 2005-7N,
Cl M7I (E)
7.070%, 06/27/07 1,350 1,201
Lehman XS Trust, Ser 2005-9N,
Cl M4 (E)
6.720%, 06/30/07 936 934
Lehman XS Trust, Ser 2005-9N,
Cl M6 (E)
7.070%, 06/30/07 2,300 2,139
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 57
SCHEDULE OF INVESTMENTS
Large Cap Disciplined Equity Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Lehman XS Trust, Ser 2006-11,
Cl M10 (E)
7.320%, 06/25/07 $ 1,145 $ 912
Lehman XS Trust, Ser 2006-12N,
Cl M4 (E)
5.870%, 06/25/07 1,475 1,482
Lehman XS Trust, Ser 2006-12N,
Cl M5 (E)
5.920%, 06/25/07 815 793
Lehman XS Trust, Ser 2006-2N,
Cl M5 (E)
6.470%, 06/27/07 1,221 1,206
Long Beach Asset Holdings,
Ser 2005-WL1, Cl N1 (A)
5.193%, 06/25/45 380 374
Long Beach Asset Holdings,
Ser 2006-2, Cl N1 (A)
5.780%, 04/25/46 203 152
Long Beach Mortgage Loan Trust,
Ser 2006-WL1, Cl 1A3 (E)
5.650%, 06/27/07 3,084 3,091
Master Adjustable Rate Mortgage Trust,
Ser 2005-2, Cl 3A1 (E)
4.756%, 06/01/07 6,672 6,707
Master Asset-Backed Securities NIM
Trust, Ser 2006-CI13, Cl N1 (A)
7.000%, 12/25/35 135 115
Master Asset-Backed Securities Trust,
Ser 2003-WMC2, Cl M1 (E)
6.020%, 06/27/07 1,115 1,115
Merrill Lynch Mortgage Investors,
Ser 2005-A4, Cl 1A (E)
4.775%, 06/01/07 3,614 3,635
Merrill Lynch Mortgage Investors,
Ser 2005-AR1N, Cl N1 (A)
5.000%, 06/25/36 553 545
Merrill Lynch Mortgage Investors,
Ser 2005-NCB, Cl A1A (E)
5.450%, 06/01/07 401 400
Merrill Lynch Mortgage Investors,
Ser 2006-1, Cl 1A (E)
5.328%, 06/01/07 11,218 11,303
Merrill Lynch Mortgage Investors,
Ser 2006-MLN1, Cl A2A (E)
5.390%, 06/29/07 4,591 4,591
Merrill Lynch Mortgage Investors,
Ser 2006-RM4, Cl A2A (E)
5.400%, 06/27/07 7,081 7,081
Merrill Lynch Mortgage Investors,
Ser 2007-HE2, Cl A2A (E)
5.440%, 06/30/07 17,671 17,671
Merrill Lynch Mortgage Investors,
Ser 2007-MLN1, Cl A2A (E)
5.430%, 06/26/07 31,037 31,037
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Morgan Stanley Capital I,
Ser 2003-NC10, Cl M1 (E)
6.000%, 06/27/07 $ 2,483 $ 2,486
Morgan Stanley Dean Witter Capital I,
Ser 2003-NC1, Cl M2 (E)
8.394%, 06/27/07 1,188 1,190
Morgan Stanley Dean Witter Capital I,
Ser 2003-NC4, Cl M2 (E)
8.320%, 06/25/07 542 543
National Collegiate Student Loan Trust,
Ser 2003-3, Cl C (E)
5.790%, 06/28/07 5,650 5,650
New Century Home Equity Loan Trust,
Ser 2004-A, Cl AII3 (E)
4.450%, 06/01/07 1,680 1,668
Nomura Home Equity Loan,
Ser 2007-3, Cl 2A1 (E)
5.460%, 06/30/07 24,700 24,700
Novastar Home Equity Loan,
Ser 2007-1, Cl A2A (E)
5.420%, 06/30/07 24,214 24,209
Option One Mortgage Loan Trust,
Ser 2003-5, Cl M1 (E)
5.970%, 06/23/07 1,677 1,681
Option One Mortgage Loan Trust,
Ser 2006-1, Cl M10 (A) (E)
7.820%, 06/27/07 200 178
Option One Mortgage Loan Trust,
Ser 2006-1, Cl M11 (A) (E)
7.820%, 06/27/07 410 316
Option One Mortgage Loan Trust,
Ser 2007-HL1, Cl 2A1 (E)
5.440%, 06/26/07 18,607 18,607
Option One Mortgage Securities,
Ser 2005-3A, Cl N1 (A)
5.438%, 08/26/35 556 460
Ownit Mortgage Loan Asset-Backed
Securities Trust, Ser 2006-1,
Cl AF1 (H)
5.424%, 12/25/36 8,869 8,824
Ownit Mortgage Loan NIM Trust,
Ser 2005-4N, Cl N1 (A)
5.000%, 08/25/36 2,308 2,249
Ownit Mortgage Loan NIM Trust,
Ser 2005-5A, Cl N1 (A)
5.500%, 10/25/36 151 150
People's Financial Realty Mortgage
Security, Ser 2006-1, Cl B1 (E)
7.820%, 06/03/07 1,315 1,229
RAAC, Ser 2007-SP1, Cl A1 (E)
5.450%, 06/10/07 21,861 21,861
Residential Accredit Loans,
Ser 2006-Q01, Cl 2A3 (E)
5.720%, 06/27/07 1,485 1,489
- --------------------------------------------------------------------------------
58 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Residential Accredit Loans,
Ser 2006-Q04, Cl N1 (A)
6.048%, 04/25/46 $ 595 $ 593
Residential Accredit Loans,
Ser 2006-Q06, Cl M5 (E)
5.820%, 06/29/07 2,000 1,940
Residential Asset Mortgage Products,
Ser 2006-RZ4, Cl A1 (E)
5.410%, 06/25/07 12,966 12,966
Residential Asset Mortgage Products,
Ser 2006-RZ4, Cl M9 (E)
7.820%, 06/25/07 670 512
Residential Asset Mortgage Products,
Ser 2007-RS1, Cl A1 (E)
5.400%, 06/09/07 11,606 11,604
Residential Asset Securities,
Ser 2005-KS8, Cl A3 (E)
5.580%, 08/25/35 1,375 1,377
Residential Asset Securitization Trust,
Ser 2004-IP2, Cl 3A1 (E)
5.275%, 06/25/07 9,050 8,999
Resmae Mortgage Loan Trust,
Ser 2006-1, Cl A2A (A) (E)
5.420%, 06/25/07 12,994 12,993
Resmae Mortgage Loan Trust,
Ser 2006-1, Cl A2B (A) (E)
5.470%, 06/25/07 6,879 6,878
SB Finance NIM Trust, Ser 2005-HE3,
Cl 2N1 (A)
5.000%, 06/25/35 557 553
SB Finance NIM Trust, Ser 2005-HE3,
Cl N1 (A)
4.750%, 09/25/35 1,386 1,368
SB Finance NIM Trust, Ser 2006-KS4N,
Cl N1 (A)
7.500%, 06/25/36 463 462
SLM Student Loan Trust, Ser 2006-C,
Cl C (E)
5.745%, 06/28/07 5,400 5,356
Saco I Trust, Ser 2005-10, Cl 2A1 (E)
5.580%, 06/30/07 16,768 16,783
Saco I Trust, Ser 2005-9, Cl A1 (E)
5.570%, 06/27/07 6,913 6,911
Saco I Trust, Ser 2005-WM3, Cl A1 (E)
5.580%, 06/27/07 5,469 5,468
Sail NIM Notes, Ser 2005-11A, Cl A (A)
7.500%, 01/27/36 953 172
Sharps SP I LLC NIM Trust,
Ser 2005-HE3N, Cl N (A)
5.000%, 05/25/35 429 421
Sharps SP I LLC NIM Trust,
Ser 2005-HE5N, Cl A1 (A)
5.800%, 08/25/35 1,332 999
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Sharps SP I LLC NIM Trust,
Ser 2005-WF1N, Cl NA (A)
6.150%, 05/25/35 $ 573 $ 515
Soundview Home Equity Loan Trust,
Ser 2005-OPT4, Cl M8 (E)
7.820%, 06/25/07 850 766
Structured Adjustable Rate Mortgage
Loan, Ser 2005-16XS, Cl M2 (E)
6.220%, 06/25/07 2,841 2,806
Structured Asset Investment Loan,
Ser 2003-BC4, Cl M2 (E)
8.320%, 06/25/07 2,133 2,137
Structured Asset Investment Loan,
Ser 2005-4, Cl M11 (E)
7.820%, 06/25/07 1,040 929
Structured Asset Mortgage Investments,
Ser 2006-AR1, Cl B4 (E)
6.270%, 06/27/07 785 793
Structured Asset Mortgage Investments,
Ser 2006-AR1, Cl B5 (E)
6.370%, 06/27/07 515 520
Structured Asset Securities,
Ser 2004-19XS, Cl A2 (H)
4.370%, 06/01/07 1,877 1,864
Terwin Mortgage Trust, Ser 2006-2
HGS, Cl A1 (A) (E)
4.500%, 03/25/37 15,847 15,643
Terwin Mortgage Trust, Ser 2006-2
HGS, Cl AX, IO (A) (E)
20.000%, 03/25/37 1,297 1
Terwin Mortgage Trust, Ser 2006-2
HGS, Cl B1 (A) (E)
6.100%, 06/25/07 1,670 269
Terwin Mortgage Trust, Ser 2006-4SL,
Cl A1 (A) (E)
4.500%, 05/25/37 14,464 14,320
Terwin Mortgage Trust, Ser 2006-HF1,
Cl A1A (A) (E)
4.500%, 02/25/37 2,767 2,750
Wachovia Mortgage Loan Trust LLC,
Ser 2005-B, Cl 1A2 (E)
4.963%, 06/01/07 695 696
Washington Mutual Mortgage Pass-
Through Certificates, Ser 2007-HY2,
Cl 1A1 (E)
5.776%, 04/25/37 11,714 11,740
Washington Mutual Mortgage Pass-
Through Certificates, Ser 2007-HY4,
Cl 1A1 (E)
5.575%, 06/01/07 23,086 22,871
Washington Mutual Mortgage Pass-
Through Certificates, Ser 2007-HY6,
Cl 1A1 (E)
5.707%, 06/25/37 24,000 23,996
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 59
SCHEDULE OF INVESTMENTS
Large Cap Disciplined Equity Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Wells Fargo Home Equity Trust,
Ser 2004-2, Cl M8A (A) (E)
8.320%, 06/28/07 $ 1,200 $ 1,130
--------------
Total Asset-Backed Securities
(Cost $1,086,108) ($ Thousands) 1,079,586
--------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
OBLIGATIONS -- 5.9%
FHLMC ARM
5.794%, 02/01/36 7,307 7,351
FHLMC TBA
6.000%, 01/01/21 1,000 1,010
6.000%, 07/01/21 3,941 3,980
6.000%, 10/01/21 8,504 8,589
6.000%, 11/01/21 3,822 3,860
4.000%, 12/01/20 5,211 4,865
FNMA
5.500%, 06/01/20 887 881
5.500%, 11/01/20 1,852 1,838
5.500%, 12/01/20 1,747 1,735
5.500%, 01/01/21 8,450 8,386
5.500%, 02/01/21 7,054 6,999
5.500%, 03/01/21 13,985 13,879
5.500%, 04/01/21 873 867
5.500%, 05/01/21 851 845
5.500%, 07/01/21 2,774 2,753
5.500%, 11/01/21 1,970 1,955
5.500%, 12/01/21 2,918 2,895
FNMA ARM
5.568%, 05/01/36 11,332 11,377
5.507%, 05/01/36 4,678 4,687
4.541%, 01/01/35 4,378 4,380
FNMA TBA
6.500%, 06/01/37 91,000 92,422
6.000%, 06/17/19 3,000 3,030
5.500%, 06/01/22 180,000 178,594
5.000%, 06/17/21 48,000 46,785
GNMA ARM
6.000%, 02/20/35 1,328 1,339
6.000%, 03/20/35 240 242
5.875%, 11/20/30 601 607
5.750%, 02/20/32 654 658
5.500%, 08/20/32 453 457
5.500%, 08/20/34 569 574
5.500%, 12/20/35 646 655
5.500%, 01/20/36 457 461
5.500%, 03/20/36 909 917
5.375%, 06/20/23 541 545
5.375%, 06/20/33 641 646
5.000%, 06/20/35 2,946 2,968
5.000%, 07/20/35 1,291 1,298
5.000%, 09/20/35 2,798 2,812
5.000%, 10/20/35 1,479 1,486
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
5.000%, 11/20/35 $ 3,405 $ 3,421
5.000%, 01/20/36 2,093 2,103
5.000%, 02/20/36 1,693 1,701
5.000%, 03/20/36 862 866
4.750%, 12/20/33 17,333 17,333
4.750%, 03/20/34 2,520 2,512
4.500%, 10/20/35 1,571 1,566
4.500%, 11/20/35 1,064 1,060
4.250%, 04/20/34 424 424
4.000%, 04/20/35 985 982
4.000%, 05/20/36 591 591
--------------
Total U.S. Government Agency Mortgage-
Backed Obligations
(Cost $463,995) ($ Thousands) 462,187
--------------
CORPORATE OBLIGATIONS -- 2.3%
CONSUMER DISCRETIONARY -- 0.1%
COX Communications
4.625%, 06/01/13 2,035 1,923
CVS Caremark
5.750%, 06/01/17 1,330 1,312
Comcast
5.300%, 01/15/14 2,545 2,488
Time Warner
6.875%, 05/01/12 2,035 2,137
--------------
7,860
--------------
ENERGY -- 0.0%
Kinder Morgan Energy Partners
5.000%, 12/15/13 2,035 1,943
--------------
FINANCIALS -- 2.0%
American General Finance (A) (C) (E)
5.370%, 06/15/07 8,353 8,352
Bear Stearns
5.350%, 02/01/12 2,250 2,230
Bear Stearns EXL (C) (E)
5.360%, 06/15/07 10,254 10,254
CIT Group
5.000%, 02/13/14 2,715 2,570
Capmark Financial Group (A)
6.300%, 05/10/17 327 325
5.875%, 05/10/12 655 650
Countrywide Financial MTN (C) (E)
5.430%, 06/27/07 3,456 3,456
Countrywide Financial MTN,
Ser A (C) (E)
5.440%, 08/06/07 8,641 8,641
Credit Suisse First Boston USA
6.500%, 01/15/12 1,355 1,412
Genworth Financial
5.750%, 06/15/14 2,035 2,047
- --------------------------------------------------------------------------------
60 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Goldman Sachs Group
5.500%, 11/15/14 $ 4,070 $ 4,025
Household Finance
6.375%, 10/15/11 2,035 2,096
Irish Life & Permanent MTN,
Ser X (A) (C) (E)
5.360%, 06/21/07 7,661 7,661
istar Financial, Ser 1+
5.875%, 03/15/16 1,355 1,317
JPMorgan Chase
5.125%, 09/15/14 2,035 1,981
Jackson National Life Funding
(A) (C) (E)
5.320%, 06/01/07 12,673 12,673
Lehman Brothers Holdings MTN
5.750%, 05/17/13 685 690
5.500%, 04/04/16 1,350 1,327
Merrill Lynch
6.050%, 05/16/16 2,050 2,074
Morgan Stanley (E)
4.750%, 04/01/14 2,035 1,915
Morgan Stanley EXL (C) (E)
5.400%, 06/04/07 2,016 2,016
Morgan Stanley EXL, Ser S (C) (E)
5.360%, 06/04/07 2,880 2,880
Morgan Stanley MTN, Ser G (E)
5.650%, 07/04/07 2,355 2,351
Nationwide Building Society (A) (C) (E)
5.410%, 06/28/07 3,168 3,168
5.370%, 06/07/07 5,761 5,761
Northern Rock (A) (C) (E)
5.380%, 06/04/07 5,933 5,933
Premium Asset Trust, Ser 2004-10
(A) (C) (E)
5.380%, 06/15/07 8,065 8,065
Residential Capital
6.875%, 06/30/15 335 337
6.500%, 04/17/13 3,180 3,143
6.000%, 02/22/11 900 884
SLM MTN (C) (E)
5.320%, 06/15/07 6,337 6,337
Shinsei Finance Cayman (A) (E)
6.418%, 01/29/49 2,235 2,222
Simon Property Group+
5.750%, 12/01/15 1,355 1,360
5.600%, 09/01/11 1,150 1,154
Skandinav Enskilda Bank (A) (C) (E)
5.320%, 06/18/07 6,337 6,336
Stanfield Victoria LLC MTN (A) (C)
5.450%, 06/11/07 5,760 5,761
UniCredito Italiano Bank (A) (C) (E)
5.350%, 07/11/07 14,401 14,400
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Wachovia
5.300%, 10/15/11 $ 4,220 $ 4,195
4.875%, 02/15/14 1,355 1,300
Washington Mutual Preferred
Funding (A) (E)
6.534%, 03/15/49 2,500 2,444
--------------
155,743
--------------
HEALTH CARE -- 0.1%
Aetna
5.750%, 06/15/11 2,035 2,053
Teva Pharmaceutical Finance LLC
5.550%, 02/01/16 2,035 1,979
Wellpoint
6.800%, 08/01/12 1,355 1,423
--------------
5,455
--------------
INDUSTRIALS -- 0.0%
Lafarge
6.150%, 07/15/11 1,245 1,271
US Steel
5.650%, 06/01/13 695 689
--------------
1,960
--------------
TELECOMMUNICATION SERVICES -- 0.0%
Vodafone Group PLC
5.625%, 02/27/17 1,295 1,263
5.350%, 02/27/12 440 436
--------------
1,699
--------------
UTILITIES -- 0.1%
Dominion Resources
4.750%, 12/15/10 1,355 1,322
Exelon Generation
6.950%, 06/15/11 2,035 2,124
--------------
3,446
--------------
Total Corporate Obligations
(Cost $177,480) ($ Thousands) 178,106
--------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 1.3%
FHLMC (I)
5.249%, 11/09/07 24,925 24,363
5.203%, 07/02/07 1,050 1,045
5.190%, 07/16/07 3,500 3,478
FHLMC CMO STRIPS,
Ser 232, Cl IO, IO
5.000%, 08/01/35 25,267 6,378
FHLMC CMO STRIPS,
Ser 233, Cl 12, IO
5.000%, 09/15/35 5,186 1,303
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 61
SCHEDULE OF INVESTMENTS
Large Cap Disciplined Equity Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/shares ($ Thousands)
- --------------------------------------------------------------------------------
FHLMC CMO STRIPS,
Ser 233, Cl 4, IO
4.500%, 09/15/35 $ 2,599 $ 661
FHLMC CMO STRIPS,
Ser 233, Cl 6, IO
4.500%, 08/15/35 800 205
FHLMC CMO STRIPS,
Ser 245, Cl IO, IO
5.000%, 05/15/37 -- --
FNMA (I)
5.202%, 06/27/07 4,250 4,234
5.178%, 06/06/07 8,550 8,544
5.176%, 07/02/07 21,750 21,654
FNMA CMO STRIPS,
Ser 359, Cl 6, IO
5.000%, 11/01/35 1,226 306
FNMA CMO STRIPS,
Ser 360, Cl 2, IO
5.000%, 08/01/35 99,255 25,178
FNMA CMO STRIPS,
Ser 365, Cl 2, IO
5.000%, 03/01/36 3,500 859
FNMA CMO STRIPS,
Ser 365, Cl 4, IO
5.000%, 04/01/36 4,169 1,036
FNMA CMO STRIPS,
Ser 377, Cl 2, IO
5.000%, 10/01/36 13,034 3,387
--------------
Total U.S. Government Agency Obligations
(Cost $101,178) ($ Thousands) 102,631
--------------
PREFERRED/CONVERTIBLE STOCK -- 0.0%
FINANCIALS -- 0.0%
Home Ownership Funding (A) (F) (H)* 3,900 561
--------------
Total Preferred/Convertible Stock
(Cost $1,061) ($ Thousands) 561
--------------
CASH EQUIVALENTS -- 4.1%
FIMAT USA 2,850,489 2,850
First Union Cash Management
Program, 5.221%** 9,092,581 9,093
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.330%**++ 152,743,334 152,743
SEI Liquidity Fund L.P.,
5.490% (C)**++ 155,533,226 155,533
UBS Margin Deposit 279,483 279
--------------
Total Cash Equivalents
(Cost $320,498) ($ Thousands) 320,498
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER (D) -- 2.1%
FINANCIALS -- 2.1%
General Electric Capital
5.239%, 06/04/07 $ 8,000 $ 7,996
HSBC Finance
5.257%, 06/12/07 25,000 24,960
ING Funding
5.266%, 06/05/07 30,000 29,983
KKR Pacific Funding Trust (C)
5.310%, 06/15/07 10,426 10,405
OCALA Funding (C)
5.310%, 06/19/07 4,320 4,309
Rhineland Funding Capital (C)
5.280%, 06/06/07 2,117 2,116
Thornburg Mortgage Capital
Resources (C)
5.290%, 06/07/07 11,521 11,511
Toyota Credit Puerto Rico
5.251%, 06/15/07 40,000 39,918
Toyota Motor Credit
5.250%, 06/18/07 20,000 19,951
Valour Bay Capital LLC (C)
5.320%, 06/11/07 4,702 4,695
5.320%, 06/13/07 8,641 8,625
--------------
Total Commercial Paper
(Cost $164,469) ($ Thousands) 164,469
--------------
U.S. TREASURY OBLIGATIONS -- 0.4%
U.S. Treasury Bills (D) (G)
5.869%, 07/05/07 2,550 2,539
5.016%, 06/14/07 500 499
4.813%, 08/23/07 4,078 4,035
U.S. Treasury Bond
2.375%, 04/15/11 22,729 22,599
--------------
Total U.S. Treasury Obligations
(Cost $29,744) ($ Thousands) 29,672
--------------
CERTIFICATES OF DEPOSIT (C) -- 0.1%
Barclays Bank (E)
5.440%, 06/11/07 2,880 2,880
CC USA MTN (A)
5.520%, 06/18/07 5,761 5,761
--------------
Total Certificates of Deposit
(Cost $8,641) ($ Thousands) 8,641
--------------
MASTER NOTE (C) (D) -- 0.1%
Bear Stearns
5.430%, 06/01/07 5,761 5,761
--------------
Total Master Note
(Cost $5,761) ($ Thousands) 5,761
--------------
- --------------------------------------------------------------------------------
62 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS (C) (J) -- 0.9%
Barclays Capital
5.280%, dated 05/31/07, to be
repurchased on 06/01/07, repurchase
price $1,985,759 (collateralized by a
U.S. Government obligation, par value
$2,025,388, 0.000%, 06/01/07,
total market value $2,025,186) $ 1,985 $ 1,985
Deutsche Bank
5.300%, dated 05/31/07, to be
repurchased on 06/01/07, repurchase
price $5,669,387 (collateralized by
U.S. Government obligations, ranging
in par value $31,337-$1,866,399,
4.000%-6.000%, 02/01/08-11/04/20,
total market value $5,781,944) 5,669 5,669
Lehman Brothers
5.300%, dated 05/31/07, to be
repurchased on 06/01/07, repurchase
price $63,374,717 (collateralized by
U.S. Government obligations, ranging
in par value $13,387,551-$109,717,804,
3.875%-8.875%, 06/15/08-03/15/31,
total market value $64,632,764) 63,365 63,365
--------------
Total Repurchase Agreements
(Cost $71,019) ($ Thousands) 71,019
--------------
Total Investments -- 108.6%
(Cost $7,477,570) ($ Thousands) $ 8,505,484
==============
A summary of the open future contracts held by the Fund at May 31, 2007, is as
follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
NUMBER OF APPRECIATION
TYPE OF CONTRACTS EXPIRATION (DEPRECIATION)
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
90-Day Euro$ (326) Mar-2008 $ 265
90-Day Euro$ (89) Mar-2009 99
90-Day Euro$ (217) Mar-2010 89
90-Day Euro$ (96) Mar-2011 28
90-Day Euro$ (38) Mar-2012 25
90-Day Euro$ 155 Jun-2007 (11)
90-Day Euro$ 99 Jun-2008 (55)
90-Day Euro$ 330 Jun-2009 (269)
90-Day Euro$ (780) Jun-2010 537
90-Day Euro$ (33) Jun-2011 23
90-Day Euro$ (273) Sep-2007 291
90-Day Euro$ (83) Sep-2008 90
90-Day Euro$ 330 Sep-2009 (269)
90-Day Euro$ (140) Sep-2010 91
90-Day Euro$ (28) Sep-2011 19
90-Day Euro$ (208) Dec-2007 105
90-Day Euro$ (895) Dec-2008 800
90-Day Euro$ (278) Dec-2009 136
90-Day Euro$ (69) Dec-2010 38
90-Day Euro$ (38) Dec-2011 26
90-Day GBP Libor (100) Sep-2007 22
3-Month Euribor (79) Sep-2007 3
Australia 10 Year Bond Index (207) Jun-2007 308
Amsterdam Index 10 Jun-2007 30
CAC40 10 Euro 2 Jun-2007 1
Canadian 10 Year Bond Index 112 Jun-2007 (55)
DAX Index 4 Jun-2007 79
Euro-Bobl 34 Jun-2007 (71)
Euro-Bond 148 Jun-2007 (86)
- --------------------------------------------------------------------------------
UNREALIZED
NUMBER OF APPRECIATION
TYPE OF CONTRACTS EXPIRATION (DEPRECIATION)
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
FTSE 100 Index 7 Jun-2007 $ --
Japan 10 Year Bond Index 27 Jun-2007 (83)
Long Gilt 10 Year Index (94) Sep-2007 35
S&P 500 Index 4,565 Jun-2007 139,311
S&P 500 Index E-Mini (1) Jun-2007 (4)
S&P/MIB Index 5 Jun-2007 108
S&P/TSE 60 Index (1) Jun-2007 (4)
SPI 200 Index 13 Jun-2007 22
Topix Index 2 Jun-2007 9
U.S. 2 Year Treasury Note (19) Sep-2007 7
U.S. 5 Year Treasury Note 155 Sep-2007 (46)
U.S. 10 Year Treasury Note 186 Sep-2007 (103)
U.S. Long Treasury Bond 19 Sep-2007 1
---------
$ 141,542
=========
A summary of the outstanding forward foreign currency contracts held by the Fund
at May 31, 2007 is as follows, (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
CURRENCY TO CURRENCY TO APPRECIATION
MATURITY DELIVER RECEIVE (DEPRECIATION)
DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
6/20/07 AUD 21,900 USD 18,042 $ (73)
6/20/07 CAD 7,700 USD 7,071 (136)
6/20/07 CHF 26,000 USD 21,420 171
6/20/07 EUR 19,425 USD 26,091 (62)
6/20/07 GBP 12,625 USD 25,065 96
6/20/07 JPY 3,617,500 USD 30,663 900
6/20/07 NOK 254,000 USD 42,327 221
6/20/07 NZD 9,500 USD 6,916 (80)
6/20/07 SEK 174,500 USD 25,467 196
6/20/07 USD 20,836 AUD 25,650 381
6/20/07 USD 14,034 CAD 15,200 193
6/20/07 USD 14,620 CHF 17,625 (216)
6/20/07 USD 22,466 EUR 16,500 (251)
6/20/07 USD 17,942 GBP 9,063 (19)
6/20/07 USD 19,185 JPY 2,287,500 (365)
6/20/07 USD 45,062 NOK 272,500 110
6/20/07 USD 11,699 NZD 16,225 249
6/20/07 USD 27,601 SEK 188,000 (374)
---------
$ 941
=========
A summary of outstanding swap agreements held by the Fund at May 31, 2007, is as
follows (see Note 2 in Notes to Financial Statements):
- ----------------------------------------------------------------------------------------------
TOTAL RETURN SWAPS
- ----------------------------------------------------------------------------------------------
UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- ----------------------------------------------------------------------------------------------
Receive payment on the monthly reset spread
from Banc of America - CMBS AAA10Yr
Index plus 8 basis points times the notional
amount. Fund receives payment if the return
on the spread appreciates over the payment
period and pays if the return on the spread
depreciates over the payment period.
(Counterparty: Bank of America) 09/30/07 32,000 $ 54
Receive payment on the monthly reset spread
from Banc of America - CMBS AAA10Yr
Index plus 12.5 basis points times the notion-
al amount. Fund receives payment if the
return on the spread appreciates over the
payment period and pays if the return on the
spread depreciates over the payment period.
(Counterparty: Wachovia) 09/30/07 40,000 69
Receive payment on the monthly reset spread
from Banc of America - CMBS IG 10Yr Index
plus 20 basis points times the notional
amount. Fund receives payment if the return
on the spread appreciates over the payment
period and pays if the return on the spread
depreciates over the payment period.
(Counterparty: Bank of America) 10/31/07 70,000 (120)
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 63
SCHEDULE OF INVESTMENTS
Large Cap Disciplined Equity Fund (Continued)
May 31, 2007
- ----------------------------------------------------------------------------------------------
UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- ----------------------------------------------------------------------------------------------
Receive payment on the monthly reset spread
from Lehman Brothers - CMBS AAA 8.5 Plus
Index plus 12.5 basis points times the notion-
al amount. Fund receives payment if the
return on the spread appreciates over the
payment period and pays if the return on the
spread depreciates over the payment period.
(Counterparty: Wachovia) 05/31/07 90,000 53
Receive payment on the monthly reset spread
from Lehman Brothers - CMBS AAA 8.5 Plus
Index minus 5 basis points times the notional
amount. Fund receives payment if the return
on the spread appreciates over the payment
period and pays if the return on the spread
depreciates over the payment period.
(Counterparty: Wachovia) 06/30/07 22,000 10
Receive payment on the monthly reset spread
from Lehman Brothers - CMBS AAA 8.5 Plus
Index plus 7 basis points times the notional
amount. Fund receives payment if the return
on the spread appreciates over the payment
period and pays if the return on the spread
depreciates over the payment period.
(Counterparty: Wachovia) 12/31/07 80,000 11
Receive payment on the monthly reset spread
from Lehman Brothers - CMBS AAA 8.5 Plus
Index plus 12 basis points times the notional
amount. Fund receives payment if the return
on the spread appreciates over the payment
period and pays if the return on the spread
depreciates over the payment period.
(Counterparty: Merrill Lynch) 09/30/07 100,000 58
--------
$ 135
========
- ----------------------------------------------------------------------------------------------
CREDIT DEFAULT SWAPS
- ----------------------------------------------------------------------------------------------
UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- ----------------------------------------------------------------------------------------------
Fund receives monthly payment of 0.4400%
(5.280% per annum) times the notional
amount of the ABX.HE.A 06-2 Index. Upon a
defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty: Bank
of America) 05/25/46 101,000 $ (300)
Fund receives monthly payment of 0.6400%
(7.680% per annum) times the notional
amount of the ABX.HE.A 07-1 Index. Upon a
defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty: Bank
of America) 08/25/37 3,500 122
Fund pays quarterly payment of 0.3200%
(1.280% per annum) times the notional
amount of Alcan, Inc., 4.875%, 09/15/12.
Upon a defined credit event, Fund will
receive the notional amount and deliver the
defined obligation. (Counterparty: Bank
of America) 03/20/14 3,700 22
Fund pays quarterly payment of 0.3500%
(1.400% per annum) times the notional
amount of Alcan, Inc., 4.875%, 09/15/12.
Upon a defined credit event, Fund will
receive the notional amount and deliver the
defined obligation. (Counterparty: Bank
of America) 12/20/13 4,375 6
Fund pays quarterly payment of 0.4400%
(1.760% per annum) times the notional
amount of Autozone, Inc., 5.875%, 10/15/12.
Upon a defined credit event, Fund will
receive the notional amount and deliver the
defined obligation. (Counterparty: Bank
of America) 12/20/11 4,375 (40)
Fund pays quarterly payment of 0.5500%
(2.200% per annum) times the notional
amount of Black & Decker Corp., 7.125%,
06/01/11. Upon a defined credit event, Fund
will receive the notional amount and deliver
the defined obligation. (Counterparty: Bank
of America) 12/20/11 4,375 (24)
Fund pays quarterly payment of 0.2000%
(0.800% per annum) times the notional
amount of Campbell Soup Co., 4.875%,
10/01/13. Upon a defined credit event, Fund
will receive the notional amount and deliver
the defined obligation. (Counterparty: Bank
of America) 06/20/14 6,850 (16)
- ----------------------------------------------------------------------------------------------
UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- ----------------------------------------------------------------------------------------------
Fund receives quarterly payment of 0.4000%
(1.600% per annum) times the notional
amount of CDX.NA.IG. Upon a defined credit
event, Fund pays the notional amount and
takes receipt of the defined obligation.
(Counterparty: Bank of America) 12/20/11 4,375 --
Fund receives quarterly payment of 0.4000%
(1.600% per annum) times the notional
amount of CDX.NA.IG. Index. Upon a defined
credit event, Fund pays the notional amount
and takes receipt of the defined
obligation. (Counterparty: Bank of America) 12/20/11 79,300 554
Fund receives quarterly payment of 0.4000%
(1.600% per annum) times the notional
amount of CDX.NA.IG. Index. Upon a defined
credit event, Fund pays the notional amount
and takes receipt of the defined
obligation. (Counterparty: Bank of America) 12/20/11 5,950 10
Fund receives quarterly payment of 0.4000%
(1.600% per annum) times the notional
amount of CDX.NA.IG. Index. Upon a defined
credit event, Fund pays the notional amount
and takes receipt of the defined
obligation. (Counterparty: Bank of America) 12/20/11 4,000 9
Fund pays quarterly payment of 0.4450%
(1.780% per annum) times the notional
amount of Darden Restaurants, Inc., 7.125%,
02/01/16. Upon a defined credit event, Fund
will receive the notional amount and deliver
the defined obligation.
(Counterparty: Bank of America) 12/20/11 4,250 (4)
Fund pays quarterly payment of 0.3700%
(1.480% per annum) times the notional
amount of Johnson Controls, Inc., 7.125%,
07/15/17. Upon a defined credit event, Fund
will receive the notional amount and deliver
the defined obligation.
(Counterparty: Bank of America) 12/20/13 4,375 (29)
Fund pays quarterly payment of 0.4250%
(1.700% per annum) times the notional
amount of Eastman Chemical Co., 7.600%,
02/01/27. Upon a defined credit event, Fund
will receive the notional amount and deliver
the defined obligation. (Counterparty: Bank
of America) 12/20/11 4,250 (19)
Fund pays quarterly payment of 1.1800%
(4.720% per annum) times the notional
amount of Gap, Inc., 8.800%, 12/15/08.
Upon a defined credit event, Fund will
receive the notional amount and deliver the
defined obligation. (Counterparty: Bank
of America) 12/20/11 4,375 (71)
Fund pays quarterly payment of 0.3900%
(1.560% per annum) times the notional
amount of Johnson Controls, Inc., 7.125%,
07/15/17. Upon a defined credit event, Fund
will receive the notional amount and deliver
the defined obligation. (Counterparty: Bank
of America) 12/20/13 4,375 (22)
Fund pays quarterly payment of 0.4750%
(1.900% per annum) times the notional
amount of The Limited, Inc., 6.125%,
12/01/12. Upon a defined credit event, Fund
will receive the notional amount and deliver
the defined obligation. (Counterparty: Bank
of America) 12/20/11 4,250 (7)
Fund pays quarterly payment of 0.7300%
(2.920% per annum) times the notional
amount of Masco Corp., 5.875%, 07/15/12.
Upon a defined credit event, Fund will
receive the notional amount and deliver the
defined obligation. (Counterparty: Bank
of America) 12/20/13 4,250 (16)
Fund pays quarterly payment of 0.4750%
(1.900% per annum) times the notional
amount of MeadWestvaco, 6.850%,
04/01/12. Upon a defined credit event, Fund
will receive the notional amount and deliver
the defined obligation. (Counterparty: Bank
of America) 12/20/11 4,250 (2)
Fund pays quarterly payment of 0.3500%
(1.400% per annum) times the notional
amount of MGIC Investment Corp., 6.000%,
03/01/15. Upon a defined credit event, Fund
will receive the notional amount and deliver
the defined obligation. (Counterparty: Bank
of America) 12/20/13 4,375 14
- --------------------------------------------------------------------------------
64 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- ----------------------------------------------------------------------------------------------
UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- ----------------------------------------------------------------------------------------------
Fund pays quarterly payment of 0.2200%
(0.880% per annum) times the notional
amount of Nucor Corp., 4.875%, 10/01/12.
Upon a defined credit event, Fund will
receive the notional amount and deliver the
defined obligation. (Counterparty: Bank
of America) 12/20/11 4,375 (19)
Fund pays quarterly payment of 0.1400%
(0.560% per annum) times the notional
amount of Pitney Bowes, Inc., 4.625%,
10/01/12. Upon a defined credit event, Fund
will receive the notional amount and deliver
the defined obligation. (Counterparty: Bank
of America) 12/20/11 9,100 23
Fund pays quarterly payment of 0.3500%
(1.400% per annum) times the notional
amount of PMI Group, Inc., 6.000%,
09/15/16. Upon a defined credit event, Fund
will receive the notional amount and deliver
the defined obligation. (Counterparty: Bank
of America) 12/20/13 4,375 6
Fund pays quarterly payment of 0.3900%
(1.560% per annum) times the notional
amount of Radian Group, Inc., 7.750%,
06/01/11. Upon a defined credit event, Fund
will receive the notional amount and deliver
the defined obligation. (Counterparty: Bank
of America) 12/20/13 4,375 43
Fund pays quarterly payment of 0.1900%
(0.760% per annum) times the notional
amount of TJX Cos, Inc., 7.450%, 12/15/09.
Upon a defined credit event, Fund will
receive the notional amount and deliver the
defined obligation. (Counterparty: Bank
of America) 12/20/11 4,250 24
Fund pays quarterly payment of 0.4500%
(1.800% per annum) times the notional
amount of Weyerhaeuser, Co., 6.750%,
03/15/12. Upon a defined credit event, Fund
will receive the notional amount and deliver
the defined obligation. (Counterparty: Bank
of America) 12/20/11 4,375 (20)
Fund receives monthly payment of 0.5400%
(6.480% per annum) times the notional
amount of the ABX.HE.A 06-1 Index. Upon a
defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty:
JPMorgan Chase) 07/25/45 5,625 30
Fund receives monthly payment of 0.6400%
(7.680% per annum) times the notional
amount of the ABX.HE.A 07-1 Index. Upon a
defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty:
JPMorgan Chase) 08/25/37 5,000 23
Fund pays quarterly payment of 0.3400%
(1.360% per annum) times the notional
amount of Agrium, Inc., 8.250%, 02/15/11.
Upon a defined credit event, Fund will
receive the notional amount and deliver the
defined obligation. (Counterparty:
JPMorgan Chase) 12/20/11 4,250 (22)
Fund pays quarterly payment of 0.4600%
(1.840% per annum) times the notional
amount of Autozone, Inc., 5.875%, 10/15/12.
Upon a defined credit event, Fund will
receive the notional amount and deliver the
defined obligation. (Counterparty:
JPMorgan Chase) 12/20/11 4,375 (44)
Fund pays quarterly payment of 0.5500%
(2.200% per annum) times the notional
amount of Black & Decker Corp., 7.125%,
06/01/11. Upon a defined credit event, Fund
will receive the notional amount and deliver
the defined obligation. (Counterparty:
JPMorgan Chase) 12/20/11 4,375 (24)
Fund pays quarterly payment of 0.2150%
(0.860% per annum) times the notional
amount of Carnival Corp., 6.650%, 01/15/28.
Upon a defined credit event, Fund will
receive the notional amount and deliver the
defined obligation. (Counterparty:
JPMorgan Chase) 06/20/12 4,000 (2)
Fund pays quarterly payment of 0.2600%
(1.040% per annum) times the notional
amount of Dow Chemical Co., 6.000%,
10/01/12. Upon a defined credit event, Fund
will receive the notional amount and deliver
the defined obligation. (Counterparty:
JPMorgan Chase) 12/20/13 4,375 17
- ----------------------------------------------------------------------------------------------
UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- ----------------------------------------------------------------------------------------------
Fund pays quarterly payment of 1.1800%
(4.720% per annum) times the notional
amount of Gap, Inc., 8.800%, 12/15/08.
Upon a defined credit event, Fund will
receive the notional amount and deliver the
defined obligation. (Counterparty:
JPMorgan Chase) 12/20/11 4,250 (72)
Fund pays quarterly payment of 0.3900%
(1.560% per annum) times the notional
amount of Hasbro, Inc., 2.750%, 12/01/21.
Upon a defined credit event, Fund will
receive the notional amount and deliver the
defined obligation. (Counterparty:
JPMorgan Chase) 12/20/11 4,250 37
Fund pays quarterly payment of 0.7700%
(3.080% per annum) times the notional
amount of Jones Apparel Group, Inc.,
5.125%, 11/15/14. Upon a defined credit
event, Fund will receive the notional amount
and deliver the defined obligation.
(Counterparty: JPMorgan Chase) 12/20/11 4,250 15
Fund pays quarterly payment of 0.4500%
(1.800% per annum) times the notional
amount of Lubrizol Corp., 7.250%, 06/15/35.
Upon a defined credit event, Fund will
receive the notional amount and deliver the
defined obligation. (Counterparty:
JPMorgan Chase) 12/20/11 4,375 (20)
Fund pays quarterly payment of 0.3500%
(1.400% per annum) times the notional
amount of MGIC Investment Corp., 6.000%,
03/15/07. Upon a defined credit event, Fund
will receive the notional amount and deliver
the defined obligation. (Counterparty:
JPMorgan Chase) 12/20/13 4,375 43
Fund pays quarterly payment of 0.2800%
(1.120% per annum) times the notional
amount of Nordstrom, Inc., 6.950%,
03/15/28. Upon a defined credit event, Fund
will receive the notional amount and deliver
the defined obligation. (Counterparty:
JPMorgan Chase) 12/20/13 4,375 (3)
Fund pays quarterly payment of 0.2200%
(0.880% per annum) times the notional
amount of Nucor Corp., 4.875%, 10/01/12.
Upon a defined credit event, Fund will
receive the notional amount and deliver the
defined obligation. (Counterparty:
JPMorgan Chase) 12/20/11 4,375 (19)
Fund pays quarterly payment of 0.3500%
(1.400% per annum) times the notional
amount of PMI Group, Inc., 6.000%,
09/15/16. Upon a defined credit event, Fund
will receive the notional amount and deliver
the defined obligation. (Counterparty:
JPMorgan Chase) 12/20/13 4,375 48
Fund pays quarterly payment of 0.2000%
(0.800% per annum) times the notional
amount of PPG Industries, Inc., 7.050%,
08/15/09. Upon a defined credit event, Fund
will receive the notional amount and deliver
the defined obligation. (Counterparty:
JPMorgan Chase) 12/20/11 4,250 2
Fund pays quarterly payment of 0.3900%
(1.560% per annum) times the notional
amount of Radian Group, Inc., 7.750%,
06/01/11. Upon a defined credit event, Fund
will receive the notional amount and deliver
the defined obligation. (Counterparty:
JPMorgan Chase) 12/20/13 4,250 (34)
Fund pays quarterly payment of 0.2700%
(1.080% per annum) times the notional
amount of Southwest Airlines Co., 6.500%,
03/01/12. Upon a defined credit event, Fund
will receive the notional amount and deliver
the defined obligation. (Counterparty:
JPMorgan Chase) 12/20/11 4,250 14
Fund pays quarterly payment of 0.3200%
(1.280% per annum) times the notional
amount of Washington Mutual Co., 5.250%,
09/15/17. Upon a defined credit event, Fund
will receive the notional amount and deliver
the defined obligation. (Counterparty:
JPMorgan Chase) 03/20/12 4,000 (8)
Fund receives monthly payment of 0.5400%
(6.480% per annum) times the notional
amount of the ABX.HE.A 06-1 Index. Upon a
defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty:
Merrill Lynch) 07/25/45 14,150 52
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 65
SCHEDULE OF INVESTMENTS
Large Cap Disciplined Equity Fund (Concluded)
May 31, 2007
- ----------------------------------------------------------------------------------------------
UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- ----------------------------------------------------------------------------------------------
Fund receives monthly payment of 0.6400%
(7.680% per annum) times the notional
amount of the ABX.HE.A 07-1 Index. Upon a
defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty:
Merrill Lynch) 08/25/37 3,000 (12)
Fund receives quarterly payment of 0.4000%
(1.600% per annum) times the notional
amount of CDX.NA.IG. Index. Upon a defined
credit event, Fund pays the notional amount
and takes receipt of the defined obligation.
(Counterparty: Merrill Lynch) 12/20/11 3,700 27
Fund receives quarterly payment of 0.4000%
(1.600% per annum) times the notional
amount of CDX.NA.IG., Index. Upon a
defined credit event, Fund pays the notional
amount and takes receipt of the defined
obligation. (Counterparty: Merrill Lynch) 12/20/11 22,225 160
Fund receives quarterly payment of 0.4000%
(1.600% per annum) times the notional
amount of CDX.NA.IG. Index. Upon a defined
credit event, Fund pays the notional amount
and takes receipt of the defined obligation.
(Counterparty: Merrill Lynch) 12/20/11 79,300 554
Fund receives quarterly payment of 0.4400%
(1.760% per annum) times the notional
amount of Dow Chemical Co., 6.000%,
10/01/12. Upon a defined credit event, Fund
pays the notional amount and takes receipt
of the defined obligation. (Counterparty:
Merrill Lynch) 12/20/11 8,750 (86)
Fund pays quarterly payment of 0.2500%
(1.000% per annum) times the notional
amount of Dow Chemical Co., 6.000%,
10/01/12. Upon a defined credit event, Fund
will receive the notional amount and deliver
the defined obligation. (Counterparty:
Merrill Lynch) 12/20/13 4,375 20
Fund pays quarterly payment of 0.1300%
(0.520% per annum) times the notional
amount of Lowe's Cos., 8.250%, 06/01/10.
Upon a defined credit event, Fund will
receive the notional amount and deliver the
defined obligation. (Counterparty:
Merrill Lynch) 12/20/11 4,250 5
Fund pays quarterly payment of 0.4500%
(1.800% per annum) times the notional
amount of Lubrizol Corp., 7.250%, 06/15/25.
Upon a defined credit event, Fund will
receive the notional amount and deliver the
defined obligation. (Counterparty:
Merrill Lynch) 12/20/11 4,375 (18)
Fund pays quarterly payment of 0.9000%
(3.600% per annum) times the notional
amount of MDC Holdings, Inc., 5.500%,
05/15/13. Upon a defined credit event, Fund
will receive the notional amount and deliver
the defined obligation. (Counterparty:
Merrill Lynch) 12/20/11 4,250 (39)
Fund pays quarterly payment of 0.2800%
(1.120% per annum) times the notional
amount of Nordstrom, Inc., 6.950%,
03/15/28. Upon a defined credit event, Fund
will receive the notional amount and deliver
the defined obligation. (Counterparty:
Merrill Lynch) 12/20/13 4,375 (3)
Fund pays quarterly payment of 0.6900%
(2.760% per annum) times the notional
amount of RR Donnelly & Sons Co., 4.950%,
04/01/14. Upon a defined credit event, Fund
will receive the notional amount and deliver
the defined obligation. (Counterparty:
Merrill Lynch) 12/20/11 4,250 (3)
Fund pays quarterly payment of 0.2700%
(1.080% per annum) times the notional
amount of Southwest Airlines Co., 6.500%,
03/01/12. Upon a defined credit event, Fund
will receive the notional amount and deliver
the defined obligation. (Counterparty:
Merrill Lynch) 12/20/11 4,375 14
Fund pays quarterly payment of 0.4500%
(1.800% per annum) times the notional
amount of Weyerhaeuser, Co., 6.750%,
03/15/12. Upon a defined credit event, Fund
will receive the notional amount and deliver
the defined obligation. (Counterparty:
Merrill Lynch) 03/20/12 4,375 (13)
Fund pays quarterly payment of 0.3380%
(1.352% per annum) times the notional
amount of Whirlpool Corp., 7.750%,
07/15/16. Upon a defined credit event, Fund
will receive the notional amount and deliver
the defined obligation. (Counterparty:
JPMorgan Chase) 12/20/11 4,250 (1)
--------
$ 882
========
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
Percentages are based on Net Assets of $7,833,212 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of May 31, 2007.
+ Real Estate Investments Trust
++ Affiliated security
(A) This security was sold within terms of a private placement memorandum,
exempt from registration under Section 3A-4, 4(2) or 144A of the
Securities Act of 1933, as amended, and may be sold only to dealers in
that program or other "accredited investors." These securities have been
determined to be liquid under guidelines established by the Board of
Trustees.
(B) This security or a partial position of this security is on loan at May 31,
2007 (See Note 9). The total value of securities on loan at May 31, 2007
was $387,291 ($ Thousands).
(C) This security was purchased with cash collateral held from securities on
loan (See Note 9). The total value of such securities as of May 31, 2007
was $398,629 ($ 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 May 31, 2007. The date reported on the
Schedule of Investments is the next reset date.
(F) Security considered illiquid. The total value of the security as of May
31, 2007 was $561 ($ Thousands), representing 0.01% of the Fund's net
assets.
(G) Security, or a portion thereof, has been pledged as collateral on open
future contracts.
(H) Step Bonds -- The rate reflected on the Schedule of Investments is the
effective yield on May 31, 2007. 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) Tri-Party Repurchase Agreement
ARM -- Adjustable Rate Mortgage
AUD -- Australian Dollar
CAD -- Canadian Dollar
CHF -- Swiss Franc
Cl -- Class
CMO -- Collateralized Mortgage Obligation
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
LIBOR -- London Interbank Offering Rate
LLC -- Limited Liability Company
LP -- Limited Partnership
MTN -- Medium Term Note
NIM -- Net Interest Margin
NOK -- Norwegian Krone
NZD -- New Zealand Dollar
PLC -- Public Liability Company
SEK -- Swedish Krona
Ser -- Series
STRIPS -- Separately Traded Registered Interest and Principal Securities
TBA -- To Be Announced
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.
- --------------------------------------------------------------------------------
66 SEI Institutional Investments Trust / Annual Report / May 31, 2007
Large Cap Index Fund
May 31, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)++:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
21.6% Financials
13.4% Information Technology
10.8% Health Care
9.8% Consumer Discretionary
9.8% Industrials
8.4% Energy
7.8% Consumer Staples
6.7% Short-Term Investments
3.6% Utilities
3.4% Telecommunication Services
3.1% Materials
1.0% Commercial Paper
0.2% Certificate of Deposit
0.2% U.S. Treasury Obligations
0.1% Master Note
0.1% Asset-Backed Securities
++Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 9).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 98.2%
CONSUMER DISCRETIONARY -- 10.8%
Abercrombie & Fitch, Cl A 2,402 $ 199
Advance Auto Parts 2,808 116
Amazon.com (B)* 8,489 587
American Eagle Outfitters 4,671 126
AnnTaylor Stores* 1,847 72
Apollo Group, Cl A* 3,664 176
Autoliv 2,218 132
Autonation* 4,132 91
Autozone* 1,407 181
Barnes & Noble 1,238 53
Beazer Homes USA (B) 1,037 37
Bed Bath & Beyond (B)* 7,615 310
Best Buy 10,647 514
BorgWarner (B) 1,641 138
Boyd Gaming 1,051 53
Brinker International 3,483 111
Brunswick 2,533 87
Burger King Holdings 500 13
Cablevision Systems, Cl A 5,942 215
Career Education* 2,459 86
Carmax* 5,860 141
CBS, Cl B 18,269 608
Centex 3,256 158
Cheesecake Factory (B)* 2,046 58
Chico's FAS* 4,616 126
Choice Hotels International 884 36
Circuit City Stores 4,985 80
Clear Channel Communications 13,535 520
Clear Channel Outdoor Holdings, Cl A* 700 20
Coach* 10,367 532
Coldwater Creek* 1,700 42
Comcast, Cl A (B)* 78,625 2,155
CTC Media* 700 18
Darden Restaurants 3,922 179
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Dick's Sporting Goods (B)* 1,029 $ 57
Dillard's, Cl A 1,675 61
DIRECTV Group* 21,858 511
Discovery Holding, Cl A* 7,242 169
Dollar General 8,431 182
Dollar Tree Stores* 2,653 112
Dow Jones (B) 1,677 89
DR Horton 8,768 205
DreamWorks Animation SKG, Cl A* 934 28
E.W. Scripps, Cl A 2,272 104
Eastman Kodak (B) 7,767 197
EchoStar Communications, Cl A (B)* 5,662 261
Expedia (B)* 5,124 123
Family Dollar Stores (B) 4,262 143
Federated Department Stores* 12,330 492
Foot Locker 4,469 98
Ford Motor (B) 48,024 401
Fortune Brands 4,020 325
GameStop, Cl A* 3,600 133
Gannett 6,359 374
Gap 13,759 255
General Motors (B) 12,581 377
Gentex 3,932 70
Genuine Parts 4,671 240
Getty Images* 1,519 76
Goodyear Tire & Rubber* 5,652 201
H&R Block (B) 8,825 209
Hanesbrands* 2,643 69
Harley-Davidson (B) 7,203 440
Harman International Industries 1,768 210
Harrah's Entertainment 4,975 425
Harte-Hanks 1,489 39
Hasbro 4,467 144
Hearst-Argyle Television 863 22
Hilton Hotels (B) 10,324 367
Home Depot 53,015 2,061
IAC/InterActive* 4,664 161
Idearc* 3,955 139
International Game Technology 9,143 367
International Speedway, Cl A 912 48
Interpublic Group (B)* 12,575 148
ITT Educational Services* 1,121 127
J.C. Penney 6,251 503
Jarden* 1,300 55
John Wiley & Sons, Cl A 1,242 57
Johnson Controls 5,215 572
Jones Apparel Group 3,053 91
KB Home 2,080 95
Kohl's* 8,819 664
Lamar Advertising, Cl A 2,140 140
Las Vegas Sands* 3,693 288
Laureate Education* 1,231 74
Leggett & Platt 4,919 120
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 67
SCHEDULE OF INVESTMENTS
Large Cap Index Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Lennar, Cl A 3,530 $ 161
Liberty Global, Cl A* 10,896 418
Liberty Media Holding-Capital, Ser A* 3,792 428
Liberty Media Holding-Interactive, Cl A* 17,647 428
Limited Brands 9,457 248
Liz Claiborne 2,661 92
Lowe's (B) 41,810 1,372
Marriott International, Cl A 8,550 394
Mattel 10,442 293
McClatchy, Cl A 1,417 39
McDonald's 33,080 1,672
McGraw-Hill 9,539 671
MDC Holdings 816 44
Meredith 758 47
MGM Mirage* 3,192 254
Mohawk Industries (B)* 1,366 139
New York Times, Cl A (B) 3,524 89
Newell Rubbermaid 7,365 234
News, Cl A 61,985 1,369
Nike, Cl B (B) 10,348 587
Nordstrom 6,412 333
Nutri/System (B)* 900 59
NVR* 124 99
O'Reilly Automotive* 3,240 123
Office Depot* 7,789 284
OfficeMax 1,974 89
Omnicom Group 4,522 476
OSI Restaurant Partners 1,602 65
Panera Bread, Cl A (B)* 762 43
Penn National Gaming (B)* 2,089 112
PetSmart 3,773 129
Polo Ralph Lauren 1,680 164
Pool (B) 1,292 53
Pulte Homes (B) 6,018 164
R.H. Donnelley 1,361 106
RadioShack 3,871 132
Regal Entertainment Group, Cl A (B) 1,988 46
Ross Stores 3,871 127
Ryland Group (B) 1,075 50
Saks 3,306 66
Sally Beauty Holdings* 1,887 17
Scientific Games, Cl A* 1,966 73
Sears Holdings* 2,328 419
Service International (B) 8,394 117
ServiceMaster 7,782 121
Sherwin-Williams 3,037 205
Sirius Satellite Radio (B)* 38,952 114
Snap-On 1,491 81
Standard-Pacific 1,539 33
Stanley Works 2,109 133
Staples 19,564 490
Starbucks (B)* 20,706 597
Starwood Hotels & Resorts Worldwide 5,784 417
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Station Casinos 1,219 $ 107
Target 23,385 1,460
Thor Industries 1,000 44
Tiffany (B) 3,525 185
Tim Hortons 4,986 155
Time Warner 100,837 2,155
TJX 12,354 346
Toll Brothers* 3,351 98
Tractor Supply (B)* 1,000 53
TravelCenters of America LLC* 176 8
Tribune (B) 4,900 158
TRW Automotive Holdings* 993 40
United Auto Group 1,200 27
Urban Outfitters (B)* 3,120 83
VF 2,417 227
Viacom, Cl B* 17,169 771
Virgin Media 7,620 198
Walt Disney 55,484 1,966
Warner Music Group (B) 2,562 43
Washington Post, Cl B 157 121
Weight Watchers International 962 50
Wendy's International 2,713 109
Westfield Financial 1,868 176
Whirlpool 1,987 222
Williams-Sonoma (B) 2,662 90
Wyndham Worldwide* 5,068 189
Wynn Resorts (B)* 1,396 135
XM Satellite Radio Holdings, Cl A* 7,837 91
Yum! Brands 7,324 496
--------------
45,208
--------------
CONSUMER STAPLES -- 8.6%
Alberto-Culver* 2,187 54
Altria Group 56,168 3,994
Anheuser-Busch 20,779 1,108
Archer-Daniels-Midland 17,579 616
Avon Products 12,106 465
Bare Escentuals* 700 29
BJ's Wholesale Club* 1,872 71
Brown-Forman, Cl B 1,675 114
Campbell Soup 6,178 245
Church & Dwight 1,632 82
Clorox 4,103 275
Coca-Cola 54,820 2,905
Coca-Cola Enterprises 8,515 199
Colgate-Palmolive 13,875 929
ConAgra Foods 13,986 357
Constellation Brands, Cl A* 5,631 137
Corn Products International 2,100 86
Costco Wholesale (B) 11,981 677
CVS 41,952 1,617
Dean Foods 3,487 114
- --------------------------------------------------------------------------------
68 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Del Monte Foods 5,258 $ 63
Energizer Holdings (B)* 1,541 153
Estee Lauder, Cl A 3,354 159
General Mills 9,496 581
Hansen Natural (B)* 1,600 64
Hershey 4,698 248
HJ Heinz 9,037 430
Hormel Foods 1,939 73
JM Smucker 1,655 95
Kellogg 6,703 362
Kimberly-Clark 12,418 881
Kraft Foods, Cl A 44,840 1,517
Kroger 19,373 587
Loews - Carolina 2,493 194
McCormick 3,593 134
Molson Coors Brewing, Cl B 1,431 131
Pepsi Bottling Group 3,682 129
PepsiAmericas 1,494 37
PepsiCo 44,437 3,036
Procter & Gamble 88,277 5,610
Reynolds American (B) 4,610 300
Rite Aid (B)* 14,201 90
Safeway 12,120 418
Sara Lee 20,451 366
Smithfield Foods* 2,775 89
Supervalu 5,489 261
Sysco 16,648 551
Tyson Foods, Cl A 6,265 140
UST (B) 4,469 239
Wal-Mart Stores 66,179 3,150
Walgreen 27,225 1,229
Whole Foods Market (B) 3,852 158
WM Wrigley Jr. 6,200 363
--------------
35,912
--------------
ENERGY -- 9.3%
Anadarko Petroleum 12,440 618
Apache 8,859 715
Arch Coal 3,912 158
Baker Hughes 8,601 709
BJ Services 8,088 237
Cabot Oil & Gas 2,800 109
Cameron International* 3,022 214
Cheniere Energy (B)* 1,500 57
Chesapeake Energy 11,166 389
Chevron 59,702 4,865
Cimarex Energy 2,300 97
CNX Gas (B)* 800 24
ConocoPhillips 44,476 3,444
Consol Energy 4,944 240
Denbury Resources* 3,324 120
Devon Energy 11,813 907
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Diamond Offshore Drilling 1,709 $ 161
Dresser-Rand Group* 734 26
El Paso 18,403 314
ENSCO International 4,123 250
EOG Resources 6,545 503
Exxon Mobil 154,212 12,826
FMC Technologies* 1,780 135
Forest Oil (B)* 1,314 53
Foundation Coal Holdings 1,300 57
Frontier Oil 3,000 121
Global Industries* 2,500 59
Grant Prideco* 3,427 195
Halliburton 25,497 917
Helix Energy Solutions Group* 2,400 96
Helmerich & Payne 2,850 97
Hess 7,312 433
Holly (B) 1,300 91
Marathon Oil 9,288 1,150
Massey Energy 1,961 57
Murphy Oil (B) 5,054 298
National Oilwell Varco* 4,692 443
Newfield Exploration* 3,499 168
Noble Energy 4,662 295
Occidental Petroleum 23,054 1,267
Oceaneering International* 1,500 75
Overseas Shipholding Group 727 58
Patterson-UTI Energy 4,432 117
Peabody Energy (B) 7,174 388
Pioneer Natural Resources 3,244 167
Plains Exploration & Production* 1,947 103
Pogo Producing (B) 1,470 79
Pride International* 4,429 159
Quicksilver Resources (B)* 1,701 76
Range Resources 3,939 153
Rowan 2,986 118
SEACOR Holdings* 600 55
Smith International (B) 5,331 296
Southwestern Energy* 4,488 214
Spectra Energy* 16,809 448
St. Mary Land & Exploration 1,600 60
Sunoco 3,256 260
Superior Energy Services* 2,200 88
Tesoro 3,746 232
Tetra Technologies (B)* 2,000 56
Tidewater 1,570 104
Todco* 1,700 84
Unit* 1,127 69
Valero Energy 14,736 1,100
W&T Offshore 400 12
Williams 15,946 506
XTO Energy 9,711 563
--------------
38,555
--------------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 69
SCHEDULE OF INVESTMENTS
Large Cap Index Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
FINANCIALS -- 20.8%
A.G. Edwards 2,057 $ 181
Affiliated Managers Group (B)* 833 108
Aflac 13,456 711
Alleghany (B)* 132 49
Allied Capital (B) 3,964 126
Allstate 17,125 1,053
AMB Property+ 2,644 153
AMBAC Financial Group 2,768 248
American Capital Strategies (B) 4,321 209
American Express 29,134 1,893
American Financial Group 2,414 86
American International Group 59,276 4,288
American National Insurance 422 61
AmeriCredit (B)* 3,072 82
Ameriprise Financial 5,900 371
Annaly Capital Management+ 6,911 107
AON (B) 7,950 341
Apartment Investment &
Management, Cl A+ 2,584 142
Archstone-Smith Trust+ 5,740 354
Arthur J. Gallagher 2,604 77
Associated Banc 3,384 112
Assurant 3,293 196
Astoria Financial 2,314 62
AvalonBay Communities+ (B) 2,089 272
Bancorpsouth 2,200 55
Bank of America 122,823 6,228
Bank of Hawaii 1,382 74
Bank of New York 20,352 825
BB&T 15,006 632
Bear Stearns (B) 3,274 491
BlackRock 485 74
BOK Financial 475 26
Boston Properties+ (B) 3,084 357
Brandywine Realty Trust+ (B) 2,500 79
BRE Properties, Cl A+ 1,320 83
Brown & Brown 2,824 74
Camden Property Trust+ (B) 1,447 108
Capital One Financial (B) 10,925 872
CapitalSource+ 2,582 68
Capitol Federal Financial 527 20
CB Richard Ellis Group, Cl A* 5,117 190
CBL & Associates Properties+ 1,906 78
Cbot Holdings, Cl A (B)* 1,400 275
Charles Schwab 28,085 631
Chicago Mercantile Exchange
Holdings, Cl A 942 500
Chubb 11,218 616
Cincinnati Financial 4,186 190
CIT Group 5,424 325
Citigroup 133,845 7,293
City National 1,038 80
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CNA Financial* 700 $ 36
Colonial BancGroup 3,954 100
Colonial Properties Trust+ (B) 1,300 64
Comerica 4,353 273
Commerce Bancorp 4,854 168
Commerce Bancshares* 1,914 90
Compass Bancshares 3,537 248
Conseco* 3,877 76
Countrywide Financial (B) 16,475 642
Cullen/Frost Bankers 1,668 89
Developers Diversified Realty+ 3,253 201
Douglas Emmett+* 2,000 53
Duke Realty+ 3,709 149
E*Trade Financial* 11,438 274
East West Bancorp 1,488 60
Eaton Vance 3,310 145
Equity Residential+ (B) 7,787 395
Erie Indemnity, Cl A 1,419 79
Essex Property Trust+ 669 85
Fannie Mae 26,133 1,670
Federal Realty Investment Trust+ 1,496 133
Federated Investors, Cl B 2,658 103
Fidelity National Financial, Cl A 5,904 166
Fifth Third Bancorp (B) 12,682 537
First American 2,184 117
First Citizens BancShares, Cl A 200 39
First Horizon National (B) 3,229 130
First Marblehead (B) 1,198 45
Forest City Enterprises, Cl A (B) 1,942 136
Franklin Resources 4,603 625
Freddie Mac 18,607 1,243
Fulton Financial 4,195 64
General Growth Properties+ 4,740 280
Genworth Financial, Cl A 12,092 436
Goldman Sachs Group 9,675 2,233
Hanover Insurance Group 1,293 63
Hartford Financial Services Group 8,610 888
HCC Insurance Holdings 2,841 93
Health Care Property Investors+ 5,174 169
Health Care+ (B) 2,083 91
Hospitality Properties Trust+ 2,466 110
Host Hotels & Resorts+ (B) 13,900 355
HRPT Properties Trust+ 5,102 59
Hudson City Bancorp (B) 15,428 203
Huntington Bancshares (B) 6,589 148
IndyMac Bancorp (B) 2,099 70
IntercontinentalExchange* 1,800 261
Investment Technology Group* 1,200 49
Investors Financial Services 1,755 108
iStar Financial+ 3,295 158
Janus Capital Group 5,065 140
Jefferies Group 3,214 98
Jones Lang LaSalle 1,000 117
- --------------------------------------------------------------------------------
70 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
JPMorgan Chase 93,522 $ 4,847
Keycorp 10,695 381
Kilroy Realty+ 900 67
Kimco Realty+ 6,044 280
Legg Mason 3,481 352
Lehman Brothers Holdings 14,394 1,056
Leucadia National (B) 4,220 151
Liberty Property Trust+ 2,306 108
Lincoln National 7,588 550
Loews 11,818 603
M&T Bank 1,983 219
Macerich+ 1,868 167
Mack-Cali Realty+ 1,898 92
Markel* 250 123
Marsh & McLennan (B) 14,865 488
Marshall & Ilsley 6,860 329
MBIA 3,559 237
Mellon Financial 11,063 479
Mercury General 696 39
Merrill Lynch 23,349 2,165
Metlife 12,538 853
MGIC Investment 2,315 150
Moody's (B) 6,427 448
Morgan Stanley 28,878 2,456
NASDAQ Stock Market (B)* 2,600 87
National City 14,476 501
Nationwide Financial Services, Cl A 1,361 84
Nelnet, Cl A 363 9
New York Community Bancorp 8,172 143
Northern Trust 5,905 384
Nuveen Investments, Cl A 2,148 118
Nymex Holdings 200 25
NYSE Euronext (B)* 7,100 590
Old Republic International 5,890 128
People's United Financial 3,334 67
Philadelphia Consolidated Holding* 1,648 68
Plum Creek Timber+ (B) 5,021 210
PMI Group 2,343 116
PNC Financial Services Group 9,403 694
Popular (B) 7,230 124
Principal Financial Group 7,418 451
Progressive 21,180 488
Prologis+ 6,588 426
Protective Life 1,809 90
Prudential Financial 12,463 1,271
Public Storage+ 3,268 292
Radian Group (B) 2,198 136
Raymond James Financial 2,421 81
Rayonier+ 1,903 86
Regency Centers+ 1,908 150
Regions Financial 19,787 706
Reinsurance Group of America 799 50
Safeco 2,835 178
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
SEI (H) 1,821 $ 112
Simon Property Group+ (B) 5,952 643
Sky Financial Group 2,865 79
SL Green Realty+ (B) 1,568 220
SLM 11,114 625
South Financial Group 1,800 43
Sovereign Bancorp 10,558 245
St. Joe (B) 2,061 108
Stancorp Financial Group 1,442 73
State Street (B) 8,904 608
Student Loan 102 21
SunTrust Banks 9,746 870
Synovus Financial 7,072 234
T. Rowe Price Group 7,080 364
Taubman Centers+ 1,500 83
TCF Financial 3,801 107
TD Ameritrade Holding (B)* 8,645 177
Thornburg Mortgage+ (B) 3,241 90
Torchmark 2,650 186
Transatlantic Holdings 655 47
Travelers 18,744 1,015
UDR+ 3,819 116
UnionBanCal 1,397 86
Unitrin 1,260 62
UnumProvident (B) 9,405 250
US Bancorp (B) 47,943 1,658
Valley National Bancorp (B) 3,008 74
Ventas+ (B) 3,544 150
Vornado Realty Trust+ 3,510 425
Wachovia 50,764 2,751
Washington Federal 2,263 57
Washington Mutual (B) 23,627 1,033
Webster Financial 1,346 61
Weingarten Realty Investors+ (B) 2,067 96
Wells Fargo 90,486 3,266
Wesco Financial 41 18
Whitney Holding 1,557 48
Wilmington Trust 1,692 72
WR Berkley 4,214 139
Zions Bancorporation 2,802 225
--------------
86,820
--------------
HEALTH CARE -- 11.9%
Abbott Laboratories 40,976 2,309
Abraxis BioScience (B)* 563 14
Advanced Medical Optics* 1,627 57
Aetna 13,934 738
Allergan 4,048 504
AmerisourceBergen 5,162 264
Amgen* 31,767 1,789
Amylin Pharmaceuticals (B)* 3,000 139
Applera - Applied Biosystems Group 5,194 147
Barr Pharmaceuticals* 2,982 159
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 71
SCHEDULE OF INVESTMENTS
Large Cap Index Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Bausch & Lomb* 1,430 $ 97
Baxter International 17,675 1,005
Beckman Coulter 1,812 119
Becton Dickinson 6,644 507
Biogen Idec* 9,114 476
Biomet 6,690 292
Boston Scientific* 33,039 518
Bristol-Myers Squibb 53,013 1,607
Brookdale Senior Living 700 33
C.R. Bard 2,785 235
Cardinal Health 10,329 748
Celgene* 9,992 612
Cephalon (B)* 1,748 145
Cerner (B)* 1,774 101
Charles River Laboratories International* 1,843 98
Cigna 2,585 433
Community Health Systems* 2,862 109
Cooper 1,104 61
Covance* 1,336 89
Coventry Health Care* 4,362 260
Cytyc* 2,903 123
Dade Behring Holdings 2,242 121
DaVita* 2,708 150
Dentsply International 4,198 152
Edwards Lifesciences* 1,507 76
Eli Lilly 26,461 1,551
Endo Pharmaceuticals Holdings* 3,697 131
Express Scripts* 3,061 313
Forest Laboratories* 8,673 440
Gen-Probe* 1,327 72
Genentech* 12,485 996
Genzyme* 7,053 455
Gilead Sciences* 12,175 1,008
Health Management Associates, Cl A (B) 6,222 68
Health Net* 3,002 171
Henry Schein* 2,284 122
Hillenbrand Industries 1,724 114
HLTH (B)* 4,456 67
Hospira* 4,081 163
Humana* 4,375 271
Idexx Laboratories (B)* 826 73
ImClone Systems* 1,728 71
IMS Health 5,361 175
Intuitive Surgical (B)* 1,000 138
Invitrogen (B)* 1,290 93
Johnson & Johnson 79,709 5,043
Kinetic Concepts* 1,213 61
King Pharmaceuticals (B)* 6,226 132
Laboratory of America Holdings* 3,111 245
LifePoint Hospitals* 1,376 56
Lincare Holdings* 2,327 93
Manor Care (B) 1,994 136
McKesson 8,166 516
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Medco Health Solutions* 7,510 $ 584
Medimmune* 6,694 387
Medtronic 32,485 1,727
Merck 58,740 3,081
Millennium Pharmaceuticals* 7,816 85
Millipore* 1,486 111
Mylan Laboratories 6,619 131
Omnicare (B) 3,131 117
Patterson* 3,583 134
PDL BioPharma (B)* 3,031 83
Pediatrix Medical Group* 1,400 81
PerkinElmer 3,334 88
Pfizer 197,255 5,423
Pharmaceutical Product Development 2,684 98
Quest Diagnostics (B) 4,144 203
Resmed* 2,155 97
Respironics* 1,840 81
Schering-Plough 39,909 1,307
Sepracor (B)* 2,861 139
Sierra Health Services* 1,334 56
St. Jude Medical* 9,146 390
Stryker (B)* 8,004 539
Techne* 941 56
Tenet Healthcare (B)* 12,694 88
Thermo Fisher Scientific* 11,125 607
Triad Hospitals* 2,463 132
UnitedHealth Group 36,229 1,984
Universal Health Services, Cl B 1,188 73
Varian Medical Systems* 3,530 142
VCA Antech* 2,339 93
Vertex Pharmaceuticals* 3,400 102
Waters* 2,772 167
Watson Pharmaceuticals* 2,518 78
WebMD Health, Cl A (B)* 300 15
WellCare Health Plans* 900 83
WellPoint* 17,131 1,395
Wyeth 36,240 2,096
Zimmer Holdings* 6,625 583
--------------
49,697
--------------
INDUSTRIALS -- 10.8%
3M 20,246 1,781
AGCO* 2,500 108
Alexander & Baldwin 1,082 58
Alliant Techsystems* 936 95
Allied Waste Industries* 6,933 93
American Standard 4,872 291
Ametek 2,947 111
AMR* 6,386 181
Armor Holdings* 800 69
Avery Dennison 2,610 170
Avis Budget Group* 2,784 84
Boeing 21,491 2,162
- --------------------------------------------------------------------------------
72 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Brink's 1,300 $ 86
Burlington Northern Santa Fe 9,798 912
C.H. Robinson Worldwide (B) 4,786 259
Carlisle 1,666 74
Caterpillar 18,088 1,421
ChoicePoint* 2,297 101
Cintas 3,657 140
Con-way 1,323 75
Continental Airlines, Cl B (B)* 2,600 104
Copart* 1,813 57
Corporate Executive Board 1,096 73
Corrections of America* 1,650 107
Covanta Holding* 3,200 79
Crane 1,500 66
CSX 11,932 542
Cummins 2,756 260
Danaher 6,351 467
Deere 6,309 760
Donaldson 1,972 72
Dover 5,457 273
DRS Technologies 1,100 56
Dun & Bradstreet 1,656 166
Eaton 4,126 387
Emerson Electric 22,120 1,072
Equifax 4,056 170
Expeditors International Washington 5,748 251
Fastenal (B)* 3,262 141
FedEx 8,244 920
Flowserve 1,600 111
Fluor 2,304 240
Gardner Denver* 1,500 62
GATX 1,300 67
General Dynamics 10,872 872
General Electric 279,923 10,519
Goodrich 3,392 202
Graco 1,824 73
Harsco 2,270 121
Hertz Global Holdings* 2,300 49
HNI 1,322 58
Honeywell International 20,890 1,210
Hubbell, Cl B 1,592 90
IDEX 2,193 83
Illinois Tool Works (B) 13,480 711
ITT 5,002 337
Jacobs Engineering Group* 3,302 191
JB Hunt Transport Services 2,972 87
Joy Global 3,033 172
Kansas City Southern (B)* 2,100 86
KBR* 4,384 121
Kennametal 1,100 85
Kirby* 1,500 60
L-3 Communications Holdings 3,277 312
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Laidlaw International 2,305 $ 79
Landstar System 1,465 71
Lennox International 1,700 58
Lincoln Electric Holdings 1,200 84
Lockheed Martin 9,829 964
Manitowoc 1,700 129
Manpower 2,284 210
Masco 10,709 324
Monster Worldwide* 3,418 161
MSC Industrial Direct, Cl A 1,120 60
Norfolk Southern 11,233 650
Northrop Grumman 9,178 694
Oshkosh Truck (B) 1,959 121
Paccar (B) 6,680 583
Pall 3,345 150
Parker Hannifin 3,303 335
Pentair 2,761 102
Pitney Bowes 5,985 286
Precision Castparts 3,646 436
Quanta Services* 2,900 87
Raytheon 12,068 671
Republic Services 4,523 137
Robert Half International 4,176 147
Rockwell Automation 4,504 306
Rockwell Collins 4,562 322
Roper Industries 2,400 140
RR Donnelley & Sons 5,677 243
Ryder System 1,506 81
Shaw Group* 2,200 89
Southwest Airlines (B) 21,320 305
Spirit Aerosystems Holdings, Cl A* 1,600 56
SPX 1,611 142
Steelcase, Cl A 2,475 48
Stericycle* 1,113 101
Teleflex 1,140 92
Terex (B)* 2,748 233
Textron 3,461 371
Thomas & Betts* 1,667 97
Timken 2,260 79
Toro 1,060 63
Trinity Industries (B) 2,200 102
UAL (B)* 2,800 110
Union Pacific 7,208 870
United Parcel Service, Cl B 17,341 1,248
United Rentals* 1,800 60
United Technologies 27,166 1,917
URS* 1,400 70
US Airways Group* 1,700 61
USG (B)* 2,298 118
Walter Industries 1,200 39
Waste Management 14,494 560
WESCO International* 1,300 84
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 73
SCHEDULE OF INVESTMENTS
Large Cap Index Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
WW Grainger 1,881 $ 166
YRC Worldwide* 1,708 69
--------------
44,994
--------------
INFORMATION TECHNOLOGY -- 14.8%
Activision (B)* 7,778 154
Acxiom 2,400 67
ADC Telecommunications (B)* 2,967 50
Adobe Systems* 16,102 710
Advanced Micro Devices (B)* 15,234 217
Affiliated Computer Services, Cl A* 2,547 149
Agilent Technologies* 10,864 415
Akamai Technologies (B)* 4,518 200
Alliance Data Systems* 2,112 165
Altera* 9,873 225
Amphenol, Cl A 4,892 175
Analog Devices 9,212 334
Apple* 22,923 2,787
Applied Materials (B) 36,755 702
Arrow Electronics* 3,389 139
Atmel* 12,000 67
Autodesk* 6,237 283
Automatic Data Processing 15,492 770
Avaya* 12,515 200
Avnet* 3,310 142
AVX 1,424 26
BEA Systems* 10,507 135
BMC Software* 5,789 192
Broadcom, Cl A* 12,068 369
Broadridge Financial Solutions* 3,873 78
CA (B) 11,238 298
Cadence Design Systems* 7,763 176
CDW (B) 1,622 138
Ceridian* 3,775 134
Checkfree (B)* 2,072 81
Ciena* 2,314 79
Cisco Systems* 164,327 4,424
Citrix Systems* 5,087 171
Cognizant Technology Solutions, Cl A* 3,744 294
Computer Sciences* 4,664 258
Compuware* 8,751 99
Convergys* 3,669 94
Corning* 41,958 1,049
Cree (B)* 2,222 50
Cypress Semiconductor* 5,000 107
Dell* 62,243 1,672
Diebold 1,829 91
Dolby Laboratories, Cl A* 843 28
DST Systems* 1,495 125
eBay* 31,711 1,033
Electronic Arts* 8,165 399
Electronic Data Systems 13,942 402
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
EMC* 59,264 $ 1,001
F5 Networks* 1,019 83
Factset Research Systems 1,200 77
Fair Isaac 1,626 62
Fairchild Semiconductor International* 3,400 63
Fidelity National Information Services 5,028 271
First Data 20,528 671
Fiserv* 4,869 289
Global Payments 1,634 65
Google, Cl A* 5,608 2,791
Harris 3,589 179
Hewitt Associates, Cl A* 2,863 86
Hewlett-Packard 75,401 3,447
Ingram Micro, Cl A* 4,123 85
Integrated Device Technology* 5,600 84
Intel 156,558 3,471
International Business Machines (B) 41,698 4,445
International Rectifier* 1,755 64
Intersil, Cl A 3,861 116
Intuit* 9,386 286
Iron Mountain* 4,363 120
Jabil Circuit 4,874 112
JDS Uniphase (B)* 5,140 67
Juniper Networks* 15,225 372
Kla-Tencor (B) 5,409 297
Lam Research* 3,791 203
Lexmark International, Cl A* 2,686 140
Linear Technology (B) 6,857 246
LSI Logic* 20,148 175
Mastercard, Cl A (B) 1,700 254
Maxim Integrated Products 8,724 268
McAfee* 4,373 161
MEMC Electronic Materials* 3,938 239
Mettler Toledo International* 1,036 102
Microchip Technology (B) 5,622 228
Micron Technology (B)* 19,416 237
Microsoft 224,000 6,870
Molex 3,570 106
MoneyGram International 2,400 70
Motorola 62,334 1,134
National Instruments 1,436 45
National Semiconductor 8,656 233
NAVTEQ* 2,569 110
NCR* 4,789 257
Network Appliance (B)* 9,955 320
Novell* 8,426 66
Novellus Systems (B)* 3,677 113
Nvidia* 9,304 323
Oracle* 106,967 2,073
Paychex 9,007 364
PMC - Sierra (B)* 5,800 45
QLogic* 4,180 71
- --------------------------------------------------------------------------------
74 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Qualcomm 44,950 $ 1,931
Rambus (B)* 2,500 47
Red Hat (B)* 5,327 131
Riverbed Technology (B)* 300 13
Salesforce.com (B)* 2,438 115
SanDisk (B)* 6,143 268
Sanmina-SCI* 14,365 51
Silicon Laboratories* 1,400 48
Solectron (B)* 22,315 76
Spansion, Cl A (B)* 2,400 26
Sun Microsystems* 92,977 474
Symantec* 25,448 509
Synopsys* 3,882 103
Tech Data (B)* 1,550 57
Tektronix 1,979 60
Tellabs* 11,889 130
Teradyne* 4,963 84
Texas Instruments 38,708 1,369
Total System Services (B) 969 32
Trimble Navigation* 3,114 91
Unisys* 8,532 71
VeriFone Holdings* 1,300 45
VeriSign* 6,585 196
Vishay Intertechnology* 4,350 78
Western Digital* 5,930 112
Western Union* 20,328 456
Xerox* 26,151 493
Xilinx 9,257 264
Yahoo! (B)* 37,881 1,087
Zebra Technologies, Cl A* 1,825 73
--------------
61,500
--------------
MATERIALS -- 3.4%
Air Products & Chemicals 5,994 467
Airgas 2,015 86
Albemarle 2,144 87
Alcoa 23,402 966
Allegheny Technologies 2,697 312
Ashland 1,676 101
Ball 2,775 154
Bemis 2,774 93
Cabot 1,673 81
Carpenter Technology 700 93
Celanese, Ser A 2,083 76
Chemtura 6,854 75
Commercial Metals 3,400 119
Crown Holdings* 4,551 113
Cytec Industries 1,081 64
Domtar* 12,837 140
Dow Chemical (B) 25,870 1,174
E.I. Du Pont de Nemours 24,792 1,297
Eagle Materials 1,400 70
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Eastman Chemical 2,142 $ 142
Ecolab 4,691 202
Florida Rock Industries 1,270 86
FMC 1,030 86
Freeport-McMoRan Copper & Gold,
Cl B 10,212 804
Huntsman 2,429 49
International Flavors & Fragrances 2,391 123
International Paper 12,055 472
Louisiana-Pacific 2,846 58
Lubrizol 1,734 114
Lyondell Chemical 6,009 223
Martin Marietta Materials 1,263 196
MeadWestvaco 4,758 167
Monsanto 14,450 890
Mosaic* 4,178 147
Nalco Holding 2,817 74
Newmont Mining (B) 11,133 453
Nucor 8,290 560
Owens-Illinois 4,091 139
Packaging of America 1,899 49
Pactiv* 3,483 118
PPG Industries 4,423 337
Praxair 8,725 594
Reliance Steel & Aluminum 1,800 110
Rohm & Haas 4,353 231
RPM International 2,969 67
Scotts Miracle-Gro, Cl A 1,406 65
Sealed Air 4,268 138
Sigma-Aldrich 3,548 154
Smurfit-Stone Container* 6,845 88
Sonoco Products 2,646 115
Southern Copper (B) 416 37
Steel Dynamics 2,600 122
Temple-Inland 3,075 194
Titanium Metals* 2,158 75
United States Steel 3,383 383
Valhi 122 2
Valspar 2,664 77
Vulcan Materials 2,511 301
Westlake Chemical (B) 600 17
Weyerhaeuser 5,878 482
--------------
14,309
--------------
TELECOMMUNICATION SERVICES -- 3.8%
Alltel 9,695 664
American Tower, Cl A* 11,422 493
AT&T 169,133 6,992
CenturyTel 3,201 158
Citizens Communications 9,155 145
Crown Castle International (B)* 5,496 202
Embarq (B) 3,932 253
Leap Wireless International* 1,400 120
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 75
SCHEDULE OF INVESTMENTS
Large Cap Index Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Level 3 Communications (B)* 40,400 $ 235
NeuStar, Cl A* 1,700 50
NII Holdings* 3,920 319
Qwest Communications
International (B)* 42,496 437
SBA Communications, Cl A* 2,900 93
Sprint Nextel 78,044 1,783
Telephone & Data Systems 2,902 180
US Cellular* 431 34
Verizon Communications (B) 78,515 3,418
Windstream 11,947 180
--------------
15,756
--------------
UTILITIES -- 4.0%
AES* 17,724 421
AGL Resources 1,947 83
Allegheny Energy* 4,266 228
Alliant Energy 3,176 137
Ameren (B) 5,390 286
American Electric Power 10,650 507
Aqua America (B) 3,177 73
Atmos Energy 2,491 81
Centerpoint Energy 8,015 152
CMS Energy (B) 6,142 112
Consolidated Edison (B) 7,016 342
Constellation Energy Group 4,758 437
Dominion Resources 9,356 829
DPL 3,246 99
DTE Energy (B) 4,764 252
Duke Energy 32,919 643
Dynegy* 10,818 105
Edison International 8,779 511
Energen 2,037 120
Energy East 4,167 101
Entergy 5,598 632
Equitable Resources 3,266 170
Exelon 18,029 1,406
FirstEnergy 8,181 566
FPL Group (B) 10,773 689
Great Plains Energy 2,271 71
Hawaiian Electric Industries 2,146 53
Integrys Energy Group 2,002 112
KeySpan 4,653 194
MDU Resources Group 4,621 140
Mirant* 6,861 318
National Fuel Gas 2,289 104
NiSource 7,421 165
Northeast Utilities 3,907 119
NRG Energy (B)* 3,400 299
NSTAR 2,928 102
OGE Energy 2,268 84
Oneok 3,029 164
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Pepco Holdings 4,944 $ 148
PG&E 9,218 454
Pinnacle West Capital 2,592 120
PPL 10,226 470
Progress Energy 6,761 339
Public Service Enterprise Group 6,726 598
Puget Energy 3,461 87
Questar 2,273 245
Reliant Energy (B)* 9,159 235
SCANA 3,020 128
Sempra Energy 6,923 424
Sierra Pacific Resources* 5,600 106
Southern (B) 19,803 713
Southern Union 2,768 96
TECO Energy 6,100 107
TXU 12,338 832
UGI 2,950 85
Vectren 1,991 58
Wisconsin Energy 3,249 157
Xcel Energy 10,881 250
--------------
16,559
--------------
Total Common Stock
(Cost $262,988) ($ Thousands) 409,310
--------------
CASH EQUIVALENTS -- 5.5%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.330%**++ 5,229,233 5,229
SEI Liquidity Fund L.P.,
5.490% (C)**++ 17,777,554 17,778
--------------
Total Cash Equivalents
(Cost $23,007) ($ Thousands) 23,007
--------------
CORPORATE OBLIGATIONS (C) -- 3.1%
FINANCIALS -- 3.1%
American General Finance (E) (F)
5.370%, 06/15/07 $ 955 955
Bear Stearns EXL (E)
5.360%, 06/15/07 1,172 1,172
Countrywide Financial MTN (E)
5.430%, 06/27/07 395 395
Countrywide Financial MTN, Ser A (E)
5.440%, 08/06/07 988 988
Irish Life & Permanent MTN, Ser X (E) (F)
5.360%, 06/21/07 876 876
Jackson National Life Funding (E) (F)
5.320%, 06/01/07 1,449 1,449
Morgan Stanley EXL (E)
5.400%, 06/04/07 231 231
- --------------------------------------------------------------------------------
76 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Morgan Stanley EXL, Ser S (E)
5.360%, 06/04/07 $ 329 $ 329
Nationwide Building Society (E) (F)
5.410%, 06/28/07 362 362
5.370%, 06/07/07 658 658
Northern Rock (E) (F)
5.380%, 06/04/07 678 678
Premium Asset Trust, Ser 2004-10 (E) (F)
5.380%, 06/15/07 922 922
SLM MTN (E)
5.320%, 06/15/07 724 724
Skandinav Enskilda Bank (E) (F)
5.320%, 06/18/07 724 724
Stanfield Victoria LLC MTN (F)
5.450%, 06/11/07 658 658
UniCredito Italiano Bank (E) (F)
5.350%, 07/11/07 1,646 1,646
--------------
Total Corporate Obligations
(Cost $12,767) ($ Thousands) 12,767
--------------
ASSET-BACKED SECURITY (C) (E) (F) -- 0.1%
MORTGAGE RELATED SECURITIES -- 0.1%
Duke Funding, Ser 2004-6B, Cl A1S1
5.420%, 07/09/07 494 494
--------------
Total Asset-Backed Security
(Cost $494) ($ Thousands) 494
--------------
COMMERCIAL PAPER (C) (D) -- 1.1%
FINANCIALS -- 1.1%
KKR Pacific Funding Trust
5.310%, 06/15/07 1,192 1,189
OCALA Funding
5.310%, 06/19/07 494 492
Rhineland Funding Capital
5.280%, 06/06/07 242 242
Thornburg Mortgage Capital Resources
5.290%, 06/07/07 1,317 1,316
Valour Bay Capital LLC
5.320%, 06/11/07 537 537
5.320%, 06/13/07 988 986
--------------
Total Commercial Paper
(Cost $4,762) ($ Thousands) 4,762
--------------
CERTIFICATES OF DEPOSIT (C) -- 0.2%
Barclays Bank (E)
5.440%, 06/11/07 329 329
CC USA MTN (F)
5.520%, 06/18/07 658 658
--------------
Total Certificates of Deposit
(Cost $987) ($ Thousands) 987
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATION -- 0.2%
U.S. Treasury Bill (A) (D)
5.003%, 06/07/07 $ 755 $ 754
--------------
Total U.S. Treasury Obligation
(Cost $754) ($ Thousands) 754
--------------
MASTER NOTE (C) (D) -- 0.2%
Bear Stearns
5.430%, 06/01/07 658 658
--------------
Total Master Note
(Cost $658) ($ Thousands) 658
--------------
REPURCHASE AGREEMENTS (C) (G) -- 1.9%
Barclays Capital
5.280%, dated 05/31/07, to be
repurchased on 06/01/07, repurchase
price $226,974 (collateralized by a
U.S. Government obligation, par value
$231,503, 0.000%, 06/01/07,
total market value $231,480) 227 227
Deutsche Bank
5.300%, dated 05/31/07, to be
repurchased on 06/01/07, repurchase
price $648,015 (collateralized by
U.S. Government obligations, ranging in
par value $ 3,582-$213,331,
4.000%-6.000%, 02/01/08-11/04/20,
total market value $660,880) 648 648
Lehman Brothers
5.300%, dated 05/31/07, to be
repurchased on 06/01/07, repurchase
price $7,243,773 (collateralized by
U.S. Government obligations, ranging in
par value $1,530,206-$12,540,820,
3.875%-8.875%, 06/15/08-03/15/31,
total market value $7,387,569) 7,243 7,243
--------------
Total Repurchase Agreements
(Cost $8,118) ($ Thousands) 8,118
--------------
Total Investments -- 110.5%
(Cost $314,535) ($ Thousands) $ 460,857
==============
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 77
SCHEDULE OF INVESTMENTS
Large Cap Index Fund (Concluded)
May 31, 2007
A summary of the open futures contracts held by the Fund at May 31, 2007, is as
follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------
NUMBER OF UNREALIZED
TYPE OF CONTRACTS EXPIRATION APPRECIATION
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- --------------------------------------------------------------------
S&P 500 Index E-Mini 89 Jun-2007 $ 504
S&P Mid 400 Index E-Mini 7 Jun-2007 51
-------------
$ 555
=============
Percentages are based on Net Assets of $416,933 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of May 31, 2007.
+ Real Estate Investments Trust
++ Affiliated security
(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 May 31,
2007 (See Note 9). The total value of securities on loan at May 31, 2007
was $44,322 ($ Thousands).
(C) This security was purchased with cash collateral held from securities on
loan (See Note 9). The total value of such securities as of May 31, 2007
was $45,564 ($ 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 May 31, 2007. The date reported on the
Schedule of Investments is the next reset date.
(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.
Cl -- Class
EXL -- Extendable Maturity
LLC -- Limited Liability Company
LP -- Limited Partnership
MTN -- Medium Term Note
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
78 SEI Institutional Investments Trust / Annual Report / May 31, 2007
Small Cap Fund
May 31, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)++:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
21.4% Financials
15.9% Information Technology
14.8% Short-Term Investments
11.7% Industrials
10.0% Consumer Discretionary
8.1% Health Care
5.1% Energy
3.7% Materials
2.5% Consumer Staples
2.4% Commercial Paper
2.2% Utilities
1.1% Telecommunication Services
0.5% Certificate of Deposit
0.3% Master Note
0.2% Asset-Backed Securities
0.1% Exchange Traded Funds
0.0% U.S. Treasury Obligations
0.0% Warrants
0.0% Rights
++Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 9).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 97.1%
CONSUMER DISCRETIONARY -- 12.9%
1-800 Contacts (B)* 32,700 $ 648
AC Moore Arts & Crafts* 6,020 137
Advance Auto Parts 22,900 949
Aeropostale* 11,468 531
AFC Enterprises* 4,100 80
Aftermarket Technology (B)* 51,591 1,546
Amazon.com* 28,169 1,948
American Axle & Manufacturing
Holdings (B) 100,931 2,909
American Greetings, Cl A (B) 139,319 3,652
Applebee's International* 21,069 552
Arctic Cat 68,600 1,313
ArvinMeritor (B) 186,777 3,900
Asbury Automotive Group 101,755 2,776
Audiovox, Cl A* 10,256 138
Bally Technologies (B)* 46,775 1,271
Bebe Stores (B) 42,915 772
Belo, Cl A 144,823 3,219
Big 5 Sporting Goods 39,500 999
Big Lots* 43,784 1,379
BJ's Restaurants (B)* 77,500 1,569
Blockbuster, Cl A* 159,179 704
Bluegreen* 11,799 141
Blyth 47,968 1,316
Bob Evans Farms 20,785 804
Bon-Ton Stores 19,388 925
Books-A-Million 12,652 208
Borders Group (B) 28,600 637
Brinker International (B) 23,329 746
Brown Shoe 65,509 1,942
Building Materials Holding (B) 28,500 437
Cablevision Systems, Cl A 5,634 204
Cache* 2,687 45
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Carrols Restaurant Group* 100,460 $ 1,588
Carter's* 42,395 1,150
Casual Male Retail Group (B)* 114,500 1,344
Cato, Cl A 77,000 1,675
CBRL Group (B) 94,817 4,261
CEC Entertainment (B)* 50,049 1,938
Champion Enterprises (B)* 79,500 904
Charlotte Russe Holding* 26,083 726
Charming Shoppes (B)* 128,600 1,602
Charter Communications, Cl A* 33,803 136
Cheesecake Factory* 16,400 463
Childrens Place Retail Stores* 12,600 711
Chipotle Mexican Grill, Cl A (B)* 37,800 3,274
Cinemark Holdings* 40,381 781
Coach* 79,100 4,063
Cooper Tire & Rubber 68,989 1,661
Core-Mark Holding* 1,600 55
Corinthian Colleges (B)* 86,700 1,267
Courier 14,049 565
CPI 2,566 204
CROCS (B)* 134,310 10,927
CSK Auto (B)* 175,466 3,193
CSS Industries 1,554 60
Ctrip.com International ADR* 28,695 2,193
Dana (B) 262,200 464
Deckers Outdoor* 6,613 581
Denny's* 12,400 57
Dick's Sporting Goods (B)* 10,693 594
Directed Electronics* 8,700 77
Domino's Pizza 4,100 80
Dover Downs Gaming &
Entertainment (B) 27,650 404
Dress Barn (B)* 74,237 1,714
Drew Industries* 5,700 192
Dufry South America
(United Kingdom)* 104,800 2,351
DXP Enterprises* 7,520 357
Eddie Bauer Holdings (B)* 266,900 3,667
Entercom Communications 35,852 954
Ethan Allen Interiors (B) 90,665 3,292
Finish Line, Cl A (B) 39,035 500
Focus Media Holding ADR (B)* 46,160 2,042
Furniture Brands International (B) 125,300 1,817
Gaiam, Cl A (B)* 120,100 1,936
GameStop, Cl A (B)* 37,700 1,394
Genesco* 7,500 393
Getty Images* 6,183 309
Gildan Activewear* 48,200 1,685
Group 1 Automotive 50,369 2,126
GSI Commerce (B)* 64,221 1,469
Guess?* 33,780 1,493
Guitar Center* 5,055 271
Gymboree (B)* 33,310 1,489
Handleman (B) 59,100 416
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 79
SCHEDULE OF INVESTMENTS
Small Cap Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Harris Interactive* 14,321 $ 80
Hayes Lemmerz International* 20,909 120
Hibbett Sports* 98,510 2,755
Hooker Furniture 2,581 64
HOT Topic (B)* 80,030 887
Hovnanian Enterprises, Cl A* 18,119 458
INVESTools (B)* 31,283 382
ITT Educational Services* 1,971 223
Jackson Hewitt Tax Service 101,351 3,066
Jakks Pacific (B)* 58,100 1,526
Jarden (B)* 65,554 2,794
Jo-Ann Stores* 21,618 731
Journal Communications, Cl A 174,059 2,393
K2 (B)* 196,921 3,005
Kellwood (B) 39,500 1,138
Keystone Automotive Industries* 22,496 929
Kimball International, Cl B 21,168 289
La-Z-Boy 10,142 119
Lakeland Industries* 79,994 1,102
Landry's Restaurants (B) 15,825 463
Leapfrog Enterprises (B)* 99,222 1,102
Lear* 2,949 105
Libbey* 72,700 1,630
Life Time Fitness (B)* 49,100 2,513
Lifetime Brands 137,060 2,886
Lithia Motors, Cl A 18,500 497
Live Nation* 8,753 196
LKQ (B)* 44,712 1,116
Lodgenet Entertainment* 12,811 455
Luby's* 15,629 151
M/I Homes 3,700 106
Magna Entertainment, Cl A* 11,145 38
Maidenform Brands* 32,661 612
MarineMax (B)* 88,807 1,845
Martha Stewart Living Omnimedia, Cl A 10,400 187
Marvel Entertainment (B)* 114,300 3,156
McCormick & Schmick's Seafood
Restaurants* 101,672 2,862
MDC Partners, Cl A* 438,394 3,595
Media General, Cl A 22,066 804
Men's Wearhouse 12,273 655
Meritage Homes (B)* 47,299 1,641
Modine Manufacturing 80,782 1,899
Morgans Hotel Group (B)* 53,310 1,310
Morningstar* 15,893 760
Mothers Work* 4,049 151
Movie Gallery* 16,023 38
National CineMedia* 42,089 1,202
Nautilus (B) 48,200 621
NetFlix* 12,547 275
New York* 38,550 471
Nutri/System (B)* 33,000 2,162
O'Charleys* 28,048 634
OfficeMax 2,947 132
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Orient-Express Hotels, Cl A 29,300 $ 1,570
Outdoor Channel Holdings (B)* 147,500 1,476
Overstock.com* 5,100 94
Pacific Sunwear of California* 59,890 1,191
Payless Shoesource* 31,380 1,121
PC Mall* 6,778 83
Perry Ellis International* 79,192 2,482
Phillips-Van Heusen 28,320 1,731
Pier 1 Imports (B) 115,200 867
Pinnacle Entertainment* 32,600 998
Polaris Industries (B) 48,419 2,667
Priceline.com (B)* 26,260 1,624
Princeton Review* 322,480 2,106
Quiksilver (B)* 626,300 8,837
RC2* 26,383 1,186
RCN* 12,223 344
Red Robin Gourmet Burgers (B)* 17,600 756
Regis (B) 91,334 3,641
Rent-A-Center* 77,670 2,105
Restoration Hardware* 60,624 380
Retail Ventures* 66,603 1,291
RRSat Global Communications Network* 48,900 939
Ruby Tuesday (B) 73,100 2,015
Ryland Group (B) 27,900 1,289
Sally Beauty Holdings* 27,644 253
Sauer-Danfoss 5,814 158
Scholastic (B)* 37,400 1,188
Shoe Carnival* 23,039 675
Shuffle Master* 19,495 375
Shutterfly (B)* 203,300 3,804
Snap-On 22,235 1,202
Sonic Automotive, Cl A (B) 160,460 4,995
Sotheby's Holdings (B) 37,903 1,799
Source Interlink* 25,700 140
Stage Stores 46,637 975
Standard Motor Products 15,635 243
Standard-Pacific (B) 122,223 2,606
Stanley Furniture 4,428 102
Starwood Hotels & Resorts Worldwide 88,500 6,378
Stein Mart (B) 19,300 242
Steinway Musical Instruments 6,400 247
Stewart Enterprises, Cl A 51,604 399
Stride Rite (B) 123,310 2,485
Sturm Ruger* 13,219 183
Talbots (B) 28,300 616
Tempur-Pedic International (B) 127,300 3,228
Tenneco* 42,651 1,391
Texas Roadhouse, Cl A* 49,003 679
Timberland, Cl A (B)* 86,700 2,370
Town Sports International Holdings* 35,500 714
Triarc, Cl B 38,600 596
TRW Automotive Holdings* 3,000 122
Tuesday Morning (B) 20,600 287
Tupperware Brands 27,367 791
- --------------------------------------------------------------------------------
80 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Tween Brands* 22,000 $ 958
Under Armour, Cl A (B)* 90,065 4,308
Unifirst 20,006 835
Vail Resorts (B)* 23,366 1,401
Valassis Communications* 27,800 498
Valuevision Media, Cl A* 13,308 149
Virgin Media 5,500 143
Volcom* 50,300 2,188
Warnaco Group* 32,813 1,128
Warner Music Group (B) 96,400 1,620
West Marine (B)* 41,716 621
Wet Seal, Cl A* 75,200 469
WMS Industries (B)* 38,100 1,614
Wolverine World Wide 38,930 1,130
World Wrestling Entertainment, Cl A 28,600 501
Zale (B)* 77,896 2,092
Zumiez (B)* 57,000 2,200
--------------
275,484
--------------
CONSUMER STAPLES -- 3.2%
Alliance One International* 260,401 2,502
Andersons 16,012 626
Asiatic Development (Malaysia)* 997,500 1,952
B&G Foods* 21,400 292
BJ's Wholesale Club* 120,600 4,561
Casey's General Stores (B) 38,122 1,030
Central Garden and Pet (B)* 91,757 1,286
Chattem (B)* 30,855 1,965
Chiquita Brands International (B) 193,440 3,548
Coca-Cola Bottling 2,040 113
Corn Products International 31,033 1,273
Del Monte Foods 85,100 1,025
Hain Celestial Group* 104,280 2,982
Herbalife* 28,330 1,140
Imperial Sugar 4,097 116
J&J Snack Foods 17,963 707
JM Smucker 13,805 797
Lancaster Colony 46,800 2,050
Lance 100,100 2,377
Longs Drug Stores (B) 49,536 2,837
Molson Coors Brewing, Cl B (B) 27,700 2,537
Nash Finch (B) 60,484 2,846
NBTY (B)* 72,227 3,794
Nu Skin Enterprises, Cl A 31,559 554
Pantry* 27,917 1,216
Pathmark Stores* 49,685 646
Peet's Coffee & Tea* 6,800 177
Performance Food Group (B)* 38,358 1,362
Physicians Formula Holdings* 74,100 1,282
Pilgrim's Pride (B) 124,945 4,414
Ralcorp Holdings (B)* 46,185 2,686
Ruddick 39,300 1,230
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Sanderson Farms (B) 45,200 $ 1,943
Smart & Final* 44,100 971
Spectrum Brands* 76,352 641
United Natural Foods* 2,805 77
Universal (B) 92,149 5,858
USANA Health Sciences (B)* 32,100 1,248
Weis Markets 41,200 1,767
--------------
68,428
--------------
ENERGY -- 6.7%
Allis-Chalmers Energy* 9,147 185
Alon USA Energy 15,705 624
American Oil & Gas* 70,650 364
Arch Coal 30,707 1,240
Arena Resources (B)* 32,925 1,675
Arlington Tankers (B) 76,800 2,064
Atlas America (B) 24,375 1,210
ATP Oil & Gas* 9,582 435
Atwood Oceanics (B)* 33,900 2,225
Aurora Oil & Gas* 279,400 559
Aventine Renewable Energy
Holdings (B)* 42,700 719
BA Energy PIPE (F) (G) (H)* 119,000 890
BA Energy, Deal #3 PIPE (F) (G) (H)* 30,500 228
Basic Energy Services* 74,300 1,984
Berry Petroleum, Cl A (B) 77,304 2,816
Bois d'Arc Energy* 2,000 34
BPZ Energy PIPE (F) (G) (H)* 189,500 1,115
Bronco Drilling (B)* 18,700 313
Cal Dive International (B)* 306,300 4,735
CARBO Ceramics (B) 55,900 2,482
Carrizo Oil & Gas* 20,186 821
Cimarex Energy 50,600 2,127
Complete Production Services* 113,100 3,037
Comstock Resources* 61,300 1,861
Core Laboratories* 17,740 1,631
Delek US Holdings 73,100 1,743
Delta Petroleum (B)* 36,200 711
Denbury Resources (B)* 24,549 890
Double Hull Tankers 62,630 996
Dresser-Rand Group* 131,938 4,697
Dril-Quip (B)* 50,555 2,453
Edge Petroleum (B)* 97,870 1,415
Encore Acquisition (B)* 68,050 1,875
Energy Partners (B)* 17,675 304
ENGlobal (B)* 19,300 200
Evergreen Energy (B)* 110,500 764
EXCO Resources (B)* 31,459 568
Forest Oil (B)* 44,700 1,814
Foundation Coal Holdings 16,518 730
Gasco Energy* 67,255 156
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 81
SCHEDULE OF INVESTMENTS
Small Cap Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
GeoMet* 195,890 $ 1,555
Giant Industries* 6,700 516
Global Industries* 107,200 2,542
Goodrich Petroleum (B)* 47,648 1,697
Grey Wolf (B)* 459,600 3,640
Gulf Island Fabrication (B) 4,400 146
Gulfmark Offshore* 11,700 588
Hercules Offshore (B)* 122,939 4,294
Holly (B) 14,500 1,016
Infinity Bio-Energy* 396,781 2,020
Input/Output (B)* 343,525 5,507
InterOil* 24,530 901
Kodiak Oil & Gas* 60,900 378
Lone Star Technologies* 44,300 2,985
Lufkin Industries 15,900 1,016
Mariner Energy (B)* 90,400 2,258
Matrix Service (B)* 46,600 1,191
Meridian Resource* 80,802 237
NATCO Group, Cl A* 2,900 125
Natural Gas Services Group* 76,800 1,297
North American Oil Sands
(Canada) (F) (G) (H)* 245,500 4,133
Oceaneering International* 18,700 936
Oil Sands Quest PIPE (F) (G) (H)* 74,000 197
Oil Sands Quest (Canada) (B)* 402,300 1,191
Oil States International* 700 27
OPTI (Canada)* 105,800 2,388
Pacific Ethanol (B)* 28,500 384
Parallel Petroleum* 31,659 730
Parker Drilling* 12,900 151
Penn Virginia 15,100 1,205
Petroquest Energy* 76,887 1,089
Plains Exploration & Production* 4,646 246
Rentech (B)* 833,831 2,043
Rosetta Resources (B)* 80,800 1,971
RPC 102,400 1,739
St. Mary Land & Exploration 60,600 2,264
Stone Energy* 37,700 1,230
Superior Energy Services* 43,802 1,759
Superior Offshore International* 59,800 1,039
Superior Well Services* 54,709 1,418
Swift Energy (B)* 111,133 4,782
SXR Uranium One (Canada)* 127,375 1,986
Synenco Energy (Canada)* 27,419 404
Synenco Energy, Cl A (Canada)* 139,500 2,055
Tesoro 44,682 2,765
Trico Marine Services* 9,833 414
Union Drilling (B)* 33,900 517
Universal Compression Holdings* 32,187 2,392
Uranium Resources* 131,020 1,293
US BioEnergy* 72,700 936
USEC* 68,660 1,586
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Venoco* 78,300 $ 1,556
VeraSun Energy (B)* 39,900 606
W-H Energy Services* 58,293 3,719
World Fuel Services 59,967 2,453
--------------
142,203
--------------
FINANCIALS -- 19.4%
Acadia Realty Trust+ 59,300 1,685
Advance America Cash Advance
Centers 56,800 1,003
Advanta, Cl B 40,760 2,049
Affiliated Managers Group (B)* 50,927 6,631
Affirmative Insurance Holdings 6,600 102
Alexandria Real Estate Equities+ 7,670 807
AMB Property+ (B) 45,200 2,615
AmCOMP* 18,684 172
Amcore Financial 24,774 738
American Equity Investment Life
Holding (B) 125,160 1,501
American Financial Realty Trust+ (B) 141,500 1,596
American Home Mortgage
Investment+ (B) 150,351 3,284
American Physicians Capital* 12,900 527
Ameris Bancorp 8,700 202
Amerisafe* 90,699 1,677
Amtrust Financial Services* 14,000 217
Anchor Bancorp Wisconsin 3,081 88
Annaly Capital Management+ 281,012 4,339
Anthracite Capital+ 166,741 2,039
Anworth Mortgage Asset+ 248,104 2,315
AON 27,800 1,193
Arbor Realty Trust+ 88,887 2,532
Archstone-Smith Trust+ 61,157 3,773
Argonaut Group* 29,223 968
Ashford Hospitality Trust+ (B) 176,464 2,190
Aspen Insurance Holdings 53,400 1,448
Asset Acceptance Capital* 12,500 240
Assured Guaranty 107,304 3,174
Asta Funding (B) 15,600 659
AvalonBay Communities+ 36,600 4,772
BancFirst 7,800 337
Bancorpsouth 120,180 3,009
Bank Mutual 170,656 2,019
Bank of the Ozarks 11,600 333
BankAtlantic Bancorp, Cl A 91,496 867
Bankunited Financial, Cl A 73,185 1,677
Berkshire Hills Bancorp 21,700 714
BioMed Realty Trust+ 27,900 783
Boston Private Financial Holdings (B) 49,900 1,413
Boston Properties+ (B) 27,400 3,170
Brandywine Realty Trust+ 68,900 2,192
Calamos Asset Management, Cl A 22,311 557
Camden Property Trust+ 28,200 2,105
- --------------------------------------------------------------------------------
82 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Canaccord Capital (Canada) 15,100 $ 314
Canaccord Capital (Canada)* 79,100 1,646
Capital Lease Funding+ 157,400 1,758
Capital Trust, Cl A+ (B) 26,500 1,179
Capstead Mortgage+ (B) 100,100 1,014
Cardinal Financial 53,758 527
Cascade Bancorp (B) 27,302 614
Cash America International 55,407 2,299
Castlepoint Holdings (B)* 124,900 1,973
Cathay General Bancorp (B) 30,500 1,033
CB Richard Ellis Group, Cl A* 55,788 2,076
CBRE Realty Finance+* 73,500 968
Cedar Shopping Centers+ 34,504 550
Center Financial 18,000 310
Centerline Holding 5,000 98
Central Pacific Financial 41,629 1,413
Chemical Financial (B) 54,900 1,476
Chicago Mercantile Exchange
Holdings, Cl A 1,534 815
Citizens Banking 72,747 1,385
City Bank 16,108 524
City Holding 8,800 335
CNA Surety* 53,300 1,089
CoBiz 26,700 494
Cohen & Steers (B) 14,400 749
Columbia Banking System 20,600 625
Commerce Group 67,400 2,298
Community Bancorp* 18,785 558
Community Bank System 32,900 676
Community Trust Bancorp 28,494 968
CompuCredit (B)* 38,714 1,425
Corporate Office Properties Trust+ (B) 84,500 3,807
Corus Bankshares (B) 137,691 2,505
Crawford, Cl B 14,224 97
Darwin Professional Underwriters* 35,400 837
DCT Industrial Trust+ (B)* 54,400 601
Dearborn Bancorp* 38,346 632
Delphi Financial Group, Cl A 86,400 3,710
DiamondRock Hospitality+ 65,400 1,370
Dime Community Bancshares 55,372 748
Dollar Financial* 80,100 2,448
Douglas Emmett+* 47,100 1,242
Downey Financial (B) 36,971 2,691
Dundee (Canada)+* 63,200 2,343
Dundee Wealth Management (Canada)* 115,010 1,834
Eagle Hospitality Properties Trust+ 43,400 580
East West Bancorp 35,300 1,431
Eaton Vance 37,768 1,658
Education Realty Trust+ (B) 104,928 1,521
EMC Insurance Group 5,471 139
Employers Holdings* 43,361 919
Endurance Specialty Holdings 40,176 1,600
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Entertainment Properties Trust+ 7,534 $ 445
Equity Inns+ 31,213 624
Equity Lifestyle Properties+ 6,900 376
Equity One+ (B) 51,335 1,504
Equity Residential+ (B) 53,900 2,731
Essex Property Trust+ (B) 16,100 2,048
Evercore Partners, Cl A 113,700 3,605
Extra Space Storage+ (B) 121,400 2,174
Ezcorp, Cl A* 51,273 771
FBL Financial Group, Cl A 24,700 950
Federal Agricultural Mortgage, Cl C (B) 70,264 2,065
Federal Realty Investment Trust+ 37,000 3,279
FelCor Lodging Trust+ 96,600 2,530
First American 47,400 2,538
First Cash Financial Services* 118,500 2,954
First Financial Bancorp (B) 70,451 1,037
First Financial Holdings 7,300 241
First Industrial Realty Trust+ (B) 35,507 1,584
First Merchants (B) 43,900 1,069
First Mercury Financial* 42,100 789
First Midwest Bancorp (B) 57,868 2,129
First Niagara Financial Group 92,200 1,265
First Place Financial 712 15
First Regional Bancorp* 5,400 139
First State Bancorporation (B) 38,950 862
FirstFed Financial (B)* 63,097 4,068
FirstMerit 48,923 1,053
Flagstar Bancorp 82,300 1,058
Flushing Financial 53,800 885
FNB (Pennsylvania) 26,142 437
Fpic Insurance Group (B)* 29,200 1,354
Fremont General 15,540 206
Frontier Financial (B) 7,125 166
GAMCO Investors, Cl A (B) 14,100 727
Glacier Bancorp 21,282 455
Gluskin Sheff + Associates (Canada)* 97,500 2,446
GMP Capital* 9,900 221
GMP Capital Trust (Canada) 39,600 885
Gramercy Capital+ 55,882 1,767
Greater Bay Bancorp (B) 101,544 2,834
Greenhill (B) 25,000 1,800
Greenlight Capital Ltd.* 17,650 418
Grubb & Ellis* 34,000 430
Grubb & Ellis Realty Advisors* 316,300 2,059
Hallmark Financial Services* 105,560 1,368
Hancock Holding 21,599 854
Hanmi Financial 41,699 729
Hanover Insurance Group 46,159 2,252
HCC Insurance Holdings 28,450 936
Health Care+ 13,578 594
Hersha Hospitality Trust+ (B) 173,100 2,101
HFF* 19,900 317
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 83
SCHEDULE OF INVESTMENTS
Small Cap Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Highbury Financial (B)* 27,700 $ 184
Highbury Financial Units* 118,000 1,169
Highland Hospitality+ 67,854 1,308
Hilb Rogal & Hobbs (B) 51,300 2,226
Horace Mann Educators 47,201 1,054
Horizon Financial 4,625 104
HRPT Properties Trust+ 170,200 1,954
Hub International 20,000 826
IMPAC Mortgage Holdings+ (B) 87,200 540
Independent Bank 15,936 276
IndyMac Bancorp 23,060 774
Infinity Property & Casualty (B) 22,069 1,166
Innkeepers USA Trust+ 188,603 3,325
IntercontinentalExchange* 4,900 710
International Bancshares 16,745 450
Intervest Bancshares* 22,677 562
Investment Technology Group* 22,000 894
Investors Bancorp* 2,300 32
Irwin Financial 94,608 1,504
ITLA Capital 2,473 136
JER Investors Trust+ 46,829 880
Jones Lang LaSalle 4,560 532
Kansas City Life Insurance 13,400 602
KBW (B)* 30,100 984
Lakeland Financial 2,800 62
LandAmerica Financial Group (B) 12,600 1,168
LaSalle Hotel Properties+ 14,900 709
LTC Properties+ 14,656 351
Luminent Mortgage Capital+ (B) 342,900 3,120
Macatawa Bank 5,611 88
Macerich+ 27,300 2,435
Mack-Cali Realty+ 54,600 2,637
MAF Bancorp 71,290 3,841
Maguire Properties+ 51,600 1,864
Marlin Business Services* 44,698 920
Marsh & McLennan 59,492 1,953
Max Re Capital 30,400 864
Meruelo Maddux Properties* 164,000 1,353
MFA Mortgage Investments+ 357,800 2,691
MGIC Investment 7,500 488
Midwest Banc Holdings (B) 56,300 904
Move* 458,839 1,927
Nara Bancorp 26,300 422
NASDAQ Stock Market (B)* 165,500 5,508
National Financial Partners 27,241 1,276
National Health Investors+ 7,072 251
National Retail Properties+ (B) 54,029 1,310
Nationwide Financial Services, Cl A 20,499 1,269
Nationwide Health Properties+ 9,604 298
Navigators Group* 25,564 1,266
NBT Bancorp 76,300 1,724
Netbank 18,400 5
New Westfield Financial* 10,000 104
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
NewAlliance Bancshares 126,044 $ 2,032
Newcastle Investment+ (B) 112,651 3,341
NNN Realty Advisors* 169,500 1,873
NorthStar Realty Finance+ 119,625 1,724
Novastar Financial+ (B) 22,300 165
NYSE Euronext* 3,700 307
Ocwen Financial* 57,161 809
Odyssey Re Holdings (B) 24,100 1,033
Ohio Casualty 73,900 3,182
Old National Bancorp 113,700 2,030
Omega Healthcare Investors+ 12,768 220
optionsXpress Holdings 38,800 989
Oriental Financial Group 6,074 73
Oritani Financial* 2,400 37
Pacific Capital Bancorp 57,760 1,487
Penson Worldwide* 17,000 489
People's United Financial 33,800 682
PFF Bancorp 100,510 3,016
Philadelphia Consolidated Holding* 23,755 979
Pico Holdings (B)* 28,958 1,361
Piper Jaffray (B)* 58,830 3,936
Platinum Underwriters Holdings 130,303 4,488
PMA Capital, Cl A* 45,591 485
PMI Group 18,343 907
Portfolio Recovery Associates (B)* 43,221 2,559
Post Properties+ (B) 15,100 801
Potlatch 10,028 439
Preferred Bank 17,100 653
Premierwest Bancorp (B) 5,077 71
Presidential Life 56,300 1,028
ProAssurance (B)* 46,523 2,630
Prologis+ 65,700 4,248
Provident Bankshares (B) 26,566 889
PS Business Parks+ 7,300 490
Public Storage+ (B) 40,024 3,582
Rainier Pacific Financial Group 15,610 318
RAIT Financial Trust+ (B) 135,459 3,991
Realty Income+ 25,109 689
Redwood Trust+ 6,884 369
RenaissanceRe Holdings 13,800 810
RLI 17,188 987
Safety Insurance Group 40,412 1,683
Santander BanCorp 43,665 758
Security Capital Assurance 17,400 560
Selective Insurance Group 20,830 570
Shore Bancshares (B) 2,800 73
Sierra Bancorp (B) 2,400 67
Signature Bank (B)* 94,217 3,133
Simon Property Group+ (B) 50,300 5,431
SL Green Realty+ (B) 22,800 3,194
Smithtown Bancorp (B) 4,400 104
South Financial Group 93,939 2,236
Southwest Bancorp 16,429 404
- --------------------------------------------------------------------------------
84 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
St. Joe 33,178 $ 1,737
Sterling Bancorp 2,773 44
Sterling Financial, Washington
Shares (B) 146,835 4,440
Stewart Information Services 93,113 3,689
Strategic Hotels & Resorts+ 108,900 2,540
Suffolk Bancorp 3,100 95
Sun Communities+ 69,300 2,145
Superior Bancorp* 117,681 1,199
Susquehanna Bancshares (B) 58,400 1,257
SVB Financial Group (B)* 42,800 2,271
SWS Group 24,693 596
Synergy Financial Group 64,700 884
Taubman Centers+ 41,400 2,278
Taylor Capital Group 5,554 167
TD Ameritrade Holding* 142,813 2,932
Technology Investment Capital 45,700 787
TFS Financial* 3,800 46
Thomas Properties Group 41,900 705
TierOne 9,701 304
TradeStation Group* 96,100 1,146
Triad Guaranty* 33,434 1,491
Trico Bancshares 3,700 84
Trustmark 28,399 765
UCBH Holdings 111,590 2,077
UMB Financial 43,721 1,688
Umpqua Holdings 36,854 920
UnionBanCal 21,001 1,289
United America Indemnity, Cl A* 31,963 799
United Bankshares 49,000 1,654
United Fire & Casualty 61,777 2,419
United Security Bancshares (B) 2,000 45
UnumProvident 23,364 620
Ventas+ (B) 74,500 3,156
Victory Acquisition* 48,847 513
Virginia Commerce Bancorp (B)* 18,140 331
Vornado Realty Trust+ 7,400 896
W Holding 14,600 80
Washington Federal 73,290 1,838
Washington Real Estate Investment
Trust+ 13,090 492
Weingarten Realty Investors+ (B) 47,000 2,193
WesBanco (B) 44,700 1,401
West Coast Bancorp 8,800 272
Westfield Financial 64,500 668
Whitney Holding 19,923 618
Wilshire Bancorp 24,700 315
Winthrop Realty Trust+ 157,100 1,059
Wintrust Financial 17,000 780
World Acceptance (B)* 48,422 2,052
WR Berkley 29,900 985
WSB Financial Group* 19,300 330
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
WSFS Financial (B) 27,894 $ 1,843
Zenith National Insurance 58,495 2,829
--------------
414,934
--------------
HEALTH CARE -- 10.4%
3SBio ADR* 109,900 1,222
Abaxis* 1,806 41
Abraxis BioScience* 17,075 420
Acadia Pharmaceuticals (B)* 60,400 773
Accelrys* 145,300 930
Adams Respiratory Therapeutics (B)* 9,742 446
Advanced Magnetics (B)* 11,604 732
Advanced Medical Optics (B)* 40,800 1,432
Affymetrix (B)* 155,902 4,050
Albany Molecular Research* 52,039 741
Align Technology (B)* 129,567 2,953
Alkermes (B)* 217,692 3,496
Alliance Imaging* 254,278 2,227
Alpharma, Cl A (B) 77,300 1,878
Altus Pharmaceuticals* 54,600 738
Amedisys (B)* 52,590 1,962
America Service Group* 28,400 526
American Medical Systems
Holdings (B)* 16,598 311
AMERIGROUP* 43,344 1,105
AMN Healthcare Services* 136,900 3,083
Amsurg* 101,392 2,495
Analogic 35,356 2,334
Anesiva* 18,800 142
Angiotech Pharmaceuticals* 85,000 572
Animal Health International* 56,300 701
Applera - Celera Group* 148,800 1,986
Apria Healthcare Group (B)* 162,667 4,711
Arena Pharmaceuticals (B)* 120,000 1,668
Ariad Pharmaceuticals (B)* 285,500 1,550
Array Biopharma* 29,400 365
Axcan Pharma* 113,307 2,129
Bio-Imaging Technologies* 4,208 29
Bio-Reference Labs* 3,666 95
Biogen Idec* 10,470 547
BioMarin Pharmaceuticals (B)* 98,774 1,762
Biosite* 2,684 247
Bradley Pharmaceuticals (B)* 37,887 837
Cambrex 97,103 1,207
Cell Genesys (B)* 458,300 1,980
Centene* 11,054 254
Cephalon (B)* 97,800 8,118
Chemed 71,528 4,792
Community Health Systems* 54,200 2,066
Computer Programs & Systems 36,131 1,213
Conceptus (B)* 63,100 1,172
Conmed (B)* 112,099 3,510
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 85
SCHEDULE OF INVESTMENTS
Small Cap Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Cooper (B) 78,648 $ 4,337
Cross Country Healthcare (B)* 100,900 1,757
Cubist Pharmaceuticals (B)* 230,998 5,301
Cutera* 41,174 1,079
CV Therapeutics (B)* 469,000 4,943
Cynosure, Cl A* 36,104 1,154
Cypress Bioscience (B)* 21,153 320
Dade Behring Holdings 7,300 393
Datascope 21,008 774
DexCom* 52,070 342
Digene (B)* 81,533 3,628
Dionex* 5,743 407
Discovery Laboratories (B)* 208,598 707
DJO* 99,479 3,881
Eclipsys* 45,512 928
Emageon (B)* 114,200 866
Emergency Medical Services, Cl A* 16,140 563
Emergent Biosolutions* 21,400 214
Encysive Pharmaceuticals (B)* 328,800 1,295
Enzon Pharmaceuticals (B)* 47,800 405
eResearch Technology* 82,503 739
Exelixis (B)* 216,918 2,403
Five Star Quality Care (B)* 186,611 1,523
Flamel Technologies ADR* 14,800 411
Foxhollow Technologies (B)* 15,400 348
Greatbatch* 14,398 433
Hansen Medical* 2,641 51
Healthspring (B)* 87,497 2,137
HealthTronics* 96,771 465
Hologic (B)* 24,880 1,346
Home Diagnostics* 125,100 1,394
Human Genome Sciences (B)* 160,103 1,696
ICU Medical* 12,024 483
Illumina (B)* 11,045 360
Immunomedics* 37,518 200
Incyte (B)* 334,600 2,372
Inverness Medical Innovations (B)* 38,796 1,850
Isis Pharmaceuticals (B)* 34,452 347
ISTA Pharmaceuticals (B)* 166,700 1,330
Kendle International* 31,255 1,079
Kensey Nash* 4,600 107
Keryx Biopharmaceuticals* 90,600 990
Kindred Healthcare (B)* 53,650 1,717
Landauer 4,797 238
LeMaitre Vascular* 57,500 351
Lifecell (B)* 19,109 538
LifePoint Hospitals* 88,129 3,577
Magellan Health Services (B)* 49,450 2,215
Martek Biosciences (B)* 17,800 373
Matrixx Initiatives* 24,200 484
Medarex (B)* 465,200 7,439
Medcath* 32,048 1,058
Medical Staffing Network Holdings* 78,200 463
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Medicines* 42,700 $ 833
Medicis Pharmaceutical, Cl A (B) 34,190 1,128
Mentor (B) 40,300 1,630
Merge Technologies* 85,242 590
Metabolix* 55,200 1,272
MGI Pharma (B)* 26,400 564
Micrus Endovascular* 33,400 714
Molina Healthcare* 20,773 664
Myriad Genetics (B)* 125,593 4,781
National Dentex* 22,200 410
Neurocrine Biosciences (B)* 42,800 497
Noven Pharmaceuticals (B)* 112,740 2,644
NuVasive* 11,243 292
Odyssey HealthCare (B)* 174,000 2,257
Omnicell* 11,244 253
Option Care (B) 188,724 2,844
OraSure Technologies* 75,700 580
Orthofix International* 13,563 641
OSI Pharmaceuticals (B)* 17,000 642
Owens & Minor 120,212 4,268
Panacos Pharmaceuticals (B)* 104,014 435
Par Pharmaceutical (B)* 62,570 1,834
PDL BioPharma (B)* 46,200 1,271
Penwest Pharmaceuticals (B)* 165,400 2,150
Pharmacopeia Drug Discovery* 92,129 556
PharmaNet Development Group* 39,352 1,264
PolyMedica 54,900 2,232
Pozen (B)* 23,500 371
Profarma Distribuidora de Produtos
Farmaceuticos (Brazil)* 93,700 1,431
Providence Service* 34,885 941
Psychiatric Solutions* 42,310 1,651
Quidel* 1,800 26
Regeneron Pharmaceuticals (B)* 60,925 1,367
Res-Care* 74,395 1,540
Sciele Pharma (B)* 174,112 4,304
Senomyx (B)* 17,216 230
Sirona Dental Systems (B)* 39,900 1,383
Somanetics (B)* 23,300 427
Spectranetics (B)* 91,134 877
STERIS 77,107 2,319
Sun Healthcare Group* 50,100 716
SuperGen (B)* 14,000 91
SurModics (B)* 36,000 1,351
Symbion* 68,000 1,488
Symmetry Medical* 33,710 517
Tercica (B)* 112,700 754
Thermogenesis* 24,537 67
Trizetto Group* 41,200 763
United Therapeutics (B)* 53,155 3,508
Varian* 29,038 1,709
Viropharma* 38,600 559
Vnus Medical Technologies* 30,252 405
- --------------------------------------------------------------------------------
86 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Volcano* 60,570 $ 1,227
WellCare Health Plans* 11,440 1,053
West Pharmaceutical Services 64,706 3,291
Wright Medical Group (B)* 21,900 534
Zoll Medical* 31,162 700
--------------
222,205
--------------
INDUSTRIALS -- 15.2%
ABM Industries 29,894 882
ABX Air* 38,165 241
ACCO Brands* 91,961 2,300
Active Power (B)* 195,800 333
Actuant, Cl A 41,977 2,335
Acuity Brands 54,530 3,311
Administaff 7,100 259
Advisory Board* 56,713 2,953
Aecom Technology* 65,100 1,491
AGCO* 45,006 1,948
Airtran Holdings (B)* 82,482 1,022
Alaska Air Group* 56,574 1,650
Albany International, Cl A 127,447 4,986
Altra Holdings* 40,200 680
Amerco* 4,012 283
American Commercial Lines (B)* 104,746 3,319
American Ecology 5,581 121
American Reprographics (B)* 56,023 1,726
American Woodmark (B) 60,370 2,249
Ameron International (B) 5,700 447
Ampco-Pittsburgh 1,000 38
AMR* 3,500 99
AO Smith 51,750 2,033
Apogee Enterprises 57,434 1,414
Applied Industrial Technologies 28,200 825
Applied Signal Technology 2,550 41
Arkansas Best (B) 46,695 1,928
Armor Holdings* 24,000 2,062
Astec Industries (B)* 22,300 961
ASV* 13,191 231
Avis Budget Group* 39,931 1,208
Barnes Group 40,965 1,208
Basin Water (B)* 137,100 973
BE Aerospace* 169,567 6,493
Belden CDT (B) 21,344 1,222
Blount International (B)* 109,400 1,429
Brady, Cl A 39,557 1,469
Briggs & Stratton (B) 106,693 3,462
Brink's 23,600 1,556
Bucyrus International, Cl A 30,971 2,197
Casella Waste Systems, Cl A* 16,014 172
Celadon Group* 11,900 196
Ceradyne (B)* 72,000 4,865
Chart Industries* 63,200 1,454
Chicago Bridge & Iron 85,866 3,345
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CIRCOR International 46,129 $ 1,762
Clean Harbors (B)* 69,876 3,283
Columbus McKinnon* 15,466 464
Comfort Systems USA 92,740 1,298
Commercial Vehicle Group* 58,500 1,134
COMSYS IT Partners* 58,889 1,356
Consolidated Graphics* 32,171 2,336
Continental Airlines, Cl B* 10,837 435
Corrections of America* 29,637 1,920
CoStar Group (B)* 25,037 1,359
CRA International* 17,965 950
Crane 42,700 1,866
Cubic (B) 54,600 1,372
Curtiss-Wright 24,740 1,115
Danaos* 21,300 682
Deluxe (B) 135,857 5,933
Diamond Management & Technology
Consultants (B) 34,800 453
Dollar Thrifty Automotive Group (B)* 37,900 1,762
Dynamic Materials (B) 108,200 3,922
EDO 20,000 671
EGL* 11,973 555
Electro Rent* 10,371 149
EMCOR Group* 44,843 2,941
Encore Wire 4,895 142
Energy Conversion Devices* 1,800 62
EnerSys* 7,380 134
EnPro Industries* 64,870 2,695
Equifax 790 33
ESCO Technologies (B)* 36,904 1,870
Evergreen Solar (B)* 108,300 908
Exponent* 11,300 260
ExpressJet Holdings* 93,193 577
Federal Signal 81,378 1,330
First Consulting Group* 108,500 982
Flanders (B)* 261,183 1,857
Flint Energy Services (Canada)* 76,800 1,940
Flowserve (B) 22,900 1,589
Force Protection* 166,100 4,293
Franklin Electric 8,647 408
Freightcar America 7,973 394
FTI Consulting* 34,772 1,289
Fuel Tech* 9,746 259
Gardner Denver* 29,280 1,206
GATX 16,500 849
General Cable (B)* 111,880 7,625
Genesee & Wyoming, Cl A* 16,473 536
Geo Group* 69,139 3,768
Global Cash Access* 8,000 130
Goodman Global* 94,899 2,080
GrafTech International* 208,986 3,235
Granite Construction 37,947 2,599
Greenbrier (B) 6,416 202
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 87
SCHEDULE OF INVESTMENTS
Small Cap Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Griffon (B)* 30,564 $ 713
Grupo Aeroportuario del Sureste
ADR (B)* 36,300 1,848
H&E Equipment Services* 136,130 3,556
Heico, Cl A 37,511 1,343
Heidrick & Struggles International* 7,600 370
Herman Miller (B) 38,305 1,379
Hexcel (B)* 50,800 1,175
HUB Group, Cl A* 127,197 4,704
Hubbell, Cl B (B) 42,800 2,411
Hudson Highland Group* 43,880 947
ICF International* 60,440 1,113
IHS, Cl A* 34,100 1,370
II-VI* 61,045 1,694
IKON Office Solutions 209,679 3,055
Infrasource Services* 34,003 1,231
Innerworkings (B)* 98,831 1,313
Innovative Solutions & Support* 1 --
Interface, Cl A* 50,460 852
Ionatron* 38,800 192
JA Solar Holdings ADR (B)* 27,957 665
Jacobs Engineering Group* 5,068 294
JetBlue Airways* 66,000 711
K&F Industries Holdings* 12,400 328
Kadant* 35,527 1,060
Kansas City Southern (B)* 62,377 2,561
Kaydon (B) 55,798 2,692
KBR* 39,300 1,082
Kelly Services, Cl A 14,951 431
Kenexa (B)* 53,394 2,083
Kennametal (B) 16,064 1,236
Kforce* 29,851 480
Kirby* 40,727 1,630
Knight Transportation (B) 136,075 2,549
Knoll 177,739 4,301
Korn/Ferry International* 14,900 388
Lamson & Sessions (B)* 51,300 1,433
Layne Christensen* 14,600 657
LECG* 124,400 1,841
Lincoln Electric Holdings 42,700 3,001
Lydall* 12,284 173
Marten Transport* 46,200 894
Mcgrath Rentcorp 9,979 311
Mesa Air Group (B)* 276,060 1,946
Middleby* 9,795 1,215
Midwest Air Group* 2,058 31
Milacron (B)* 22,814 176
Mine Safety Appliances 7,258 312
Moog, Cl A* 25,572 1,101
NACCO Industries, Cl A 5,784 983
Navigant Consulting* 46,500 969
Navios Maritime Holdings 53,930 566
Navistar International (B)* 70,342 4,565
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
NCI Building Systems (B)* 44,400 $ 2,283
On Assignment* 93 1
Orbital Sciences (B)* 112,451 2,318
Orion Marine Group* 136,100 1,837
Pacer International 10,388 280
Pall 55,400 2,479
PeopleSupport* 98,600 1,194
Perini (B)* 131,165 7,214
PHH* 47,800 1,482
Power-One (B)* 195,218 715
PRG-Schultz International* 30,560 500
Quanta Services (B)* 100,119 3,005
RBC Bearings* 47,045 1,816
Regal-Beloit (B) 22,600 1,099
Republic Airways Holdings* 116,105 2,713
Robbins & Myers 11,722 527
Ryder System 62,200 3,354
Saia* 52,542 1,502
SAIC* 15,900 320
School Specialty (B)* 32,496 1,135
Shaw Group* 32,200 1,303
Simpson Manufacturing (B) 58,000 1,933
SIRVA* 40,478 115
Skywest 102,692 2,827
Spherion (B)* 197,985 1,950
Standard Register 36,893 439
Superior Essex (B)* 12,000 424
TAL International Group 73,200 1,905
Taleo, Cl A* 32,856 644
Tecnisa (Brazil)* 371,700 2,426
Tecumseh Products, Cl A (B)* 87,700 1,401
Teledyne Technologies (B)* 73,394 3,382
Tetra Tech (B)* 135,319 2,985
Titan International 17,115 540
Tredegar 32,989 762
Trex* 9,600 192
Trimas* 85,360 1,070
UAP Holding 53,665 1,581
United Industrial (B) 20,855 1,249
United Rentals* 99,600 3,342
United Stationers* 41,976 2,816
Universal Forest Products (B) 16,500 793
URS* 48,873 2,457
US Xpress Enterprises, Cl A* 47,212 656
Volt Information Sciences (B)* 23,533 584
Wabash National 57,800 846
Wabtec 63,726 2,496
Walter Industries 80,300 2,585
Washington Group International* 33,543 2,818
Waste Connections (B)* 73,422 2,263
Waste Industries USA 8,400 262
Watson Wyatt Worldwide, Cl A 137,916 7,112
WESCO International* 14,341 930
- --------------------------------------------------------------------------------
88 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Williams Scotsman International (B)* 118,723 $ 2,726
YRC Worldwide (B)* 42,300 1,700
--------------
323,606
--------------
INFORMATION TECHNOLOGY -- 20.4%
24/7 Real Media* 177,900 2,089
Actel (B)* 26,800 374
Acxiom 13,842 385
Adaptec* 211,900 862
ADC Telecommunications* 61,128 1,024
Adtran 5,200 141
Advanced Analogic Technologies* 20,985 186
Advanced Energy Industries* 13,851 340
Advent Software (B)* 37,600 1,355
Aeroflex* 160,300 2,267
Agilysys 61,200 1,329
Akamai Technologies (B)* 60,992 2,696
Alliance Semiconductor* 109,100 513
Allot Communications* 167,635 1,138
AMIS Holdings* 205,564 2,627
Amkor Technology (B)* 272,500 3,875
Anadigics (B)* 108,721 1,369
Andrew* 99,228 1,313
Anixter International* 2,217 164
Ansoft* 72,705 2,329
Ansys* 5,948 334
aQuantive (B)* 125,365 7,997
Ariba* 9,800 91
ARM Holdings ADR (B)* 197,700 1,641
Arris Group (B)* 178,499 2,936
Art Technology Group (B)* 255,003 724
Aspen Technology (B)* 93,265 1,386
Asyst Technologies* 488,058 3,504
ATMI* 72,817 2,225
Authorize.Net Holdings* 94,774 1,550
Avanex (B)* 222,500 376
Avocent (B)* 152,050 4,262
Axcelis Technologies* 39,604 255
Axesstel* 431,541 647
BearingPoint (B)* 257,400 1,902
Benchmark Electronics* 54,400 1,203
BISYS Group* 29,759 350
Black Box 70,547 2,570
Blackbaud 9,363 222
Blackboard* 18,312 754
Bookham* 15,155 33
Brightpoint* 18,992 250
Broadridge Financial Solutions* 54,900 1,111
Brocade Communications Systems* 656,605 6,028
Brooks Automation (B)* 101,900 1,803
C-COR* 20,799 304
Cabot Microelectronics* 355 12
CACI International, Cl A (B)* 67,851 3,498
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Captaris* 52,094 $ 268
Cavium Networks (B)* 4,600 97
Checkfree (B)* 16,338 641
Checkpoint Systems* 36,337 909
Chordiant Software* 50,156 710
Ciber (B)* 295,179 2,630
Cirrus Logic* 116,266 900
Citrix Systems* 17,845 600
CMGI* 398,515 996
CNET Networks* 281,700 2,555
Cogent (B)* 21,100 327
Cognex 24,000 565
Coherent (B)* 43,178 1,339
Cohu 4,288 88
Color Kinetics (B)* 6,300 185
CommScope (B)* 53,152 2,909
Commvault Systems* 42,700 716
Comtech Group (B)* 77,185 1,346
Comtech Telecommunications* 8,968 401
Comverge* 13,738 353
Comverse Technology* 121,800 2,792
Concur Technologies (B)* 68,996 1,374
Conexant Systems (B)* 255,700 330
Covansys* 2,581 87
CPI International* 62,961 1,290
Cray* 121,923 988
Credence Systems* 232,411 772
CSG Systems International (B)* 163,213 4,537
CTS 69,600 837
Cymer (B)* 62,997 2,529
Cypress Semiconductor* 39,141 840
Daktronics (B) 24,775 594
DealerTrack Holdings* 105,860 3,820
Digimarc* 64,900 611
Digital River* 2,887 148
Diodes (B)* 43,407 1,606
DSP Group* 29,600 645
Dycom Industries* 33,321 991
Earthlink (B)* 280,400 2,322
EFJ* 134,800 712
Electronic Data Systems 38,562 1,111
Electronics for Imaging* 156,857 4,472
Emergis (Canada)* 343,300 2,100
EMS Technologies* 5,655 115
Emulex* 102,358 2,271
Entegris (B)* 191,532 2,203
Epicor Software* 5,600 81
EPIQ Systems (B)* 73,745 1,947
Equinix (B)* 7,736 676
Euronet Worldwide (B)* 60,007 1,612
Factset Research Systems 19,880 1,269
Fairchild Semiconductor International* 47,903 882
Flir Systems (B)* 44,475 1,839
Formfactor (B)* 15,167 603
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 89
SCHEDULE OF INVESTMENTS
Small Cap Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Foundry Networks* 128,000 $ 2,058
Gateway* 90,438 162
Genesis Microchip* 50,644 440
Gevity HR (B) 79,000 1,659
Harris Stratex Networks* 55,700 952
Heartland Payment Systems (B) 51,272 1,305
Hewitt Associates, Cl A* 19,656 590
Hittite Microwave* 30,945 1,258
Hutchinson Technology (B)* 105,600 1,930
i2 Technologies (B)* 34,200 642
Ikanos Communications (B)* 156,090 1,114
Imation (B) 64,636 2,450
Immersion (B)* 371,548 4,529
Informatica (B)* 124,600 1,901
infoUSA* 900 10
Insight Enterprises* 40,803 904
Interdigital Communications* 63,200 2,057
Intermec* 9,351 230
Interwoven* 13,745 206
Intevac (B)* 136,727 2,637
IPG Photonics (B)* 33,600 754
Itron* 21,128 1,429
JDA Software Group* 159,545 2,902
Juniper Networks* 53,700 1,311
Jupitermedia (B)* 239,500 1,724
Keane* 50,900 722
Kemet* 146,935 1,128
Keynote Systems* 83,800 1,324
Knot (B)* 84,800 1,608
Komag (B)* 224,400 5,444
Kulicke & Soffa Industries* 27,997 268
Lattice Semiconductor (B)* 700,000 3,689
Lawson Software (B)* 488,066 4,480
LeCroy (B)* 71,700 660
Liquidity Services* 118,715 2,371
Littelfuse* 108,102 4,333
LoJack* 40,600 892
LTX* 550,871 3,223
Macrovision* 80,664 2,255
Magma Design Automation* 59,484 882
Manhattan Associates* 112,025 3,255
Mantech International, Cl A* 22,367 715
Marchex, Cl B (B)* 404,125 6,260
Mastec* 101,473 1,379
Mattson Technology* 7,300 72
MAXIMUS 45,600 1,971
McAfee* 15,300 562
Measurement Specialties* 17,700 352
Mentor Graphics* 168,259 2,399
Mercury Computer Systems* 64,300 837
Merix* 17,037 127
Methode Electronics 158,123 2,384
Microsemi (B)* 275,383 6,348
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
MicroStrategy, Cl A* 24,861 $ 2,581
Microtune* 24,700 126
MIPS Technologies* 162,900 1,440
MIVA* 33,927 189
MKS Instruments (B)* 100,800 2,747
MoneyGram International 20,200 589
Monolithic Power Systems* 18,563 314
MTS Systems 15,599 685
Navisite* 190,300 1,275
Neoware* 125,500 1,522
Net 1 UEPS Technologies (B)* 32,460 869
Netgear (B)* 41,670 1,555
Netlogic Microsystems (B)* 23,321 719
Novatel* 31,500 1,165
Novatel Wireless (B)* 83,500 1,940
Nuance Communications (B)* 133,283 2,230
Omniture (B)* 56,207 984
Omnivision Technologies* 28,100 455
ON Semiconductor (B)* 348,490 3,743
Online Resources (B)* 37,800 470
Openwave Systems* 26,381 272
Opsware (B)* 90,100 815
Orbotech* 116,300 2,600
OSI Systems* 62,300 1,668
Palm (B)* 151,300 2,465
Parametric Technology* 159,560 2,981
Parkervision (B)* 121,000 1,266
Parkervision* 33,000 345
Paxar (B)* 40,677 1,230
PC Connection* 6,694 77
Perficient* 90,235 1,895
Perot Systems, Cl A* 216,657 3,700
Photon Dynamics* 43,463 476
Photronics (B)* 107,662 1,583
Pixelworks* 84,970 116
Plantronics (B) 40,380 981
Plexus* 124,730 2,745
PLX Technology* 220,596 2,402
PMC - Sierra (B)* 256,600 1,978
Polycom (B)* 282,300 8,955
Power Integrations* 64,104 1,827
Powerwave Technologies (B)* 478,430 3,052
Presstek (B)* 71,780 492
Quality Systems (B)* 46,573 1,907
Quantum* 841,700 2,601
Quest Software* 16,423 283
Rackable Systems (B)* 132,300 1,605
RADWARE* 71,800 946
Red Hat (B)* 358,500 8,805
RF Micro Devices (B)* 1,118,230 7,302
Richardson Electronics 43,531 416
RightNow Technologies (B)* 55,875 871
Rofin-Sinar Technologies* 940 63
- --------------------------------------------------------------------------------
90 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Rogers* 16,196 $ 652
Rudolph Technologies* 23,900 383
Seachange International* 244,200 2,198
Seagate Technology (B) 45,852 944
Secure Computing (B)* 170,700 1,301
SI International* 27,400 864
Sigma Designs (B)* 31,205 872
Silicon Image (B)* 118,100 990
Silicon Motion Technology ADR* 52,305 1,210
Silicon Storage Technology* 130,774 517
Sina* 51,178 2,042
Sirf Technology Holdings (B)* 84,064 1,824
Skyworks Solutions (B)* 1,193,512 8,462
Smart Modular Technologies WWH* 41,305 592
Smith Micro Software (B)* 66,790 1,051
SonicWALL* 66,600 550
Sonus Networks (B)* 94,648 821
Sourcefire* 26,800 368
SourceForge* 81,410 361
Spatialight* 95,000 11
Spatialight Deal #3 PIPE (F) (G) (H)* 88,000 9
Spatialight PIPE (F) (G) (H)* 8,233 1
SPSS* 27,715 1,220
SRA International, Cl A (B)* 43,127 1,095
Standard Microsystems (B)* 58,371 1,811
Stratasys (B)* 14,825 714
Sun Microsystems* 234,942 1,198
Sunpower, Cl A (B)* 8,629 461
Supertex* 1,292 43
Switch & Data Facilities (B)* 66,800 1,242
Sybase* 139,177 3,349
Symmetricom (B)* 165,522 1,346
Synchronoss Technologies (B)* 74,605 2,018
SYNNEX* 61,900 1,268
Synopsys* 50,830 1,348
TAC Acquisition* 342,500 4
Technitrol 139,961 3,687
Tekelec (B)* 171,614 2,574
Tessco Technologies* 6,923 173
Tessera Technologies* 39,700 1,805
THQ (B)* 124,440 4,243
TIBCO Software (B)* 379,915 3,427
TNS 17,710 210
Transaction Systems Architects* 52,681 1,794
Transwitch* 22,482 39
Trident Microsystems (B)* 76,300 1,557
Triquint Semiconductor (B)* 557,100 2,941
TTM Technologies (B)* 161,800 1,789
Tyler Technologies* 21,168 257
Ultratech (B)* 130,500 1,742
United Online (B) 318,636 5,436
Universal Display (B)* 94,311 1,472
Utstarcom (B)* 127,969 923
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Valueclick* 14,833 $ 465
Varian Semiconductor Equipment Associates (B)* 77,100 3,250
Vasco Data Security International (B)* 92,821 2,114
Veeco Instruments* 19,690 357
VeriFone Holdings (B)* 98,515 3,412
Verigy* 22,450 642
Verint Systems* 64,059 1,925
VeriSign* 36,953 1,102
Viasat* 38,350 1,242
Vignette* 20,657 384
VistaPrint* 27,521 1,103
Volterra Semiconductor* 8,194 129
Wavecom ADR (B)* 50,137 1,612
Websense* 4,815 108
WidePoint* 281,700 285
Wind River Systems (B)* 352,300 3,738
Wright Express* 47,200 1,655
Xyratex* 48,596 1,072
Zhone Technologies* 77,655 112
Zoran* 151,629 3,052
--------------
436,265
--------------
MATERIALS -- 4.7%
ADA-ES (B)* 24,500 538
AK Steel Holding* 85,313 2,962
AM Castle 25,893 958
Aptargroup (B) 34,020 1,278
Arch Chemicals 28,915 1,017
Bemis 27,690 931
Bowater 12,107 252
Brush Engineered Materials (B)* 30,620 1,643
Buckeye Technologies (B)* 280,601 3,990
Carpenter Technology 12,000 1,591
Century Aluminum* 4,149 234
CF Industries Holdings 35,104 1,570
Cleveland-Cliffs (B) 71,640 6,325
Constar International* 68,398 469
Crown Holdings* 34,000 848
Cytec Industries 53,200 3,163
Ferro 25,586 608
First Quantum Minerals (Canada)* 33,800 2,707
FMC 13,721 1,148
Grande Cache Coal (Canada)* 181,600 195
Greif, Cl A 96,362 5,364
H.B. Fuller (B) 114,560 3,122
Haynes International* 21,100 1,871
Headwaters (B)* 52,300 1,031
Hercules* 255,225 4,806
Huntsman 34,030 681
Innospec 1,409 84
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 91
SCHEDULE OF INVESTMENTS
Small Cap Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Kaiser Aluminum* 12,200 $ 930
Koppers Holdings 10,500 338
Metal Management 31,688 1,534
Methanex 22,200 576
Myers Industries 92,100 2,042
Neenah Paper 57,895 2,536
NewMarket 20,475 980
NN 13,200 166
Olin 48,092 973
OM Group* 27,800 1,738
Omnova Solutions* 80,600 452
Owens-Illinois 1,240 42
Pioneer* 14,408 496
PolyOne* 49,900 356
Quanex (B) 94,100 4,511
Rock-Tenn, Cl A 84,191 2,940
RTI International Metals* 1,060 94
Ryerson (B) 33,300 1,263
Schnitzer Steel Industries, Cl A (B) 69,401 3,762
Schweitzer-Mauduit International 62,542 1,879
Sensient Technologies 93,000 2,422
Sherritt International (Canada) 147,500 2,147
Silgan Holdings (B) 116,649 6,733
Spartech 71,037 1,904
Steel Dynamics 105,700 4,957
Symyx Technologies (B)* 46,375 486
Texas Industries (B) 35,415 3,080
Wellman 141,300 497
Wheeling-Pittsburgh (B)* 72,300 1,591
WR Grace* 15,415 417
--------------
101,228
--------------
TELECOMMUNICATION SERVICES -- 1.4%
Alaska Communications Systems Group 107,128 1,691
Aruba Networks (B)* 23,000 445
BigBand Networks* 95,400 1,649
Boston Communications Group* 14,208 26
Cbeyond (B)* 43,086 1,524
Centennial Communications* 118,037 1,203
Cincinnati Bell* 341,232 1,989
Citizens Communications 569 9
Clearwire, Cl A (B)* 148,000 2,886
Cogent Communications Group* 59,200 1,699
Consolidated Communications Holdings 20,342 433
CT Communications 20,587 646
Dobson Communications, Cl A* 44,090 469
Fairpoint Communications 106,400 1,915
Golden Telecom 7,500 399
IDT* 27,700 334
IDT, Cl B (B)* 47,338 589
Iowa Telecommunications Services 22,579 508
iPCS* 1,044 36
Leap Wireless International* 7,600 650
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Level 3 Communications* 52,120 $ 303
NeuStar, Cl A (B)* 31,203 907
NTELOS Holdings 50,400 1,271
Orckit Communications* 70,800 775
Premiere Global Services (B)* 108,400 1,373
Qwest Communications International* 33,557 345
SBA Communications, Cl A (B)* 105,905 3,403
Syniverse Holdings (B)* 77,900 997
Time Warner Telecom, Cl A (B)* 88,130 1,706
USA Mobility 24,400 562
Vonage Holdings* 20,508 62
--------------
30,804
--------------
UTILITIES -- 2.8%
AGL Resources 31,987 1,365
Allete 62,469 2,999
Atmos Energy 43,942 1,423
Avista 51,600 1,209
Black Hills 90,959 3,728
Centerpoint Energy (B) 110,900 2,099
Cleco 58,583 1,581
CMS Energy (B) 103,500 1,889
El Paso Electric* 41,800 1,137
Empire District Electric (B) 50,406 1,189
Energen 15,956 940
Great Plains Energy 15,600 485
Hawaiian Electric Industries 15,400 377
Idacorp 43,897 1,458
Integrys Energy Group 38,301 2,141
ITC Holdings 16,000 694
Laclede Group 20,113 627
New Jersey Resources 28,174 1,543
Nicor (B) 57,002 2,676
Northwest Natural Gas 16,549 825
Oneok 32,900 1,780
Ormat Technologies (B) 111,300 4,051
PNM Resources (B) 169,812 5,011
Portland General Electric 55,385 1,625
Reliant Energy* 64,203 1,645
SCANA 1,890 80
SEMCO Energy* 81,000 625
SJW 4,000 129
South Jersey Industries 30,313 1,178
Southern Union 66,700 2,321
Southwest Gas 85,616 3,267
UGI 20,200 582
UIL Holdings 17,700 581
Unisource Energy 17,458 638
Vectren 54,230 1,571
Westar Energy (B) 80,348 2,130
WGL Holdings 51,156 1,804
Wisconsin Energy 14,343 695
--------------
60,098
--------------
- --------------------------------------------------------------------------------
92 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Total Common Stock
(Cost $1,687,146) ($ Thousands) $ 2,075,255
--------------
EXCHANGE TRADED FUND -- 0.1%
iShares Russell 2000 Index Fund (B)* 27,548 2,319
--------------
Total Exchange Traded Fund
(Cost $1,692) ($ Thousands) 2,319
--------------
Number of
Warrants
---------
WARRANTS -- 0.0%
Parkervision, Deal #2 (F) (G) (H) (I)* 7,500 24
Parkervision, Deal #3 (F) (G) (H) (I)* 8,250 27
Rentech, Expires 04/25/12* 16,100 13
Washington Mutual,
Expires 12/26/50* 250,261 68
--------------
Total Warrants
(Cost $51) ($ Thousands) 132
--------------
Number of
Rights
---------
RIGHTS -- 0.0%
Hayez Lemmerz International 16,625 41
--------------
Total Rights
(Cost $19) ($ Thousands) 41
--------------
CASH EQUIVALENTS -- 13.8%
First Union Cash Management
Program, 5.221%** 3,187,901 3,188
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.330%**++ 46,679,248 46,679
SEI Liquidity Fund L.P.,
5.490% (C)**++ 245,657,555 245,658
--------------
Total Cash Equivalents
(Cost $295,525) ($ Thousands) 295,525
--------------
CORPORATE OBLIGATIONS (C) -- 8.3%
FINANCIALS -- 8.3%
American General Finance (A) (E)
5.370%, 06/15/07 $ 13,193 13,192
Bear Stearns EXL (E)
5.360%, 06/15/07 16,195 16,195
Countrywide Financial MTN (E)
5.430%, 06/27/07 5,459 5,459
Countrywide Financial MTN, Ser A (E)
5.440%, 08/06/07 13,648 13,648
Irish Life & Permanent MTN,
Ser X (A) (E)
5.360%, 06/21/07 12,101 12,100
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Jackson National Life Funding (A) (E)
5.320%, 06/01/07 $ 20,017 $ 20,017
Morgan Stanley EXL (E)
5.400%, 06/04/07 3,185 3,185
Morgan Stanley EXL, Ser S (E)
5.360%, 06/04/07 4,549 4,549
Nationwide Building Society (A) (E)
5.410%, 06/28/07 5,004 5,004
5.370%, 06/07/07 9,099 9,099
Northern Rock (A) (E)
5.380%, 06/04/07 9,371 9,371
Premium Asset Trust,
Ser 2004-10 (A) (E)
5.380%, 06/15/07 12,738 12,738
SLM MTN (E)
5.320%, 06/15/07 10,008 10,008
Skandinav Enskilda Bank (A) (E)
5.320%, 06/18/07 10,008 10,008
Stanfield Victoria LLC MTN (A)
5.450%, 06/11/07 9,098 9,098
UniCredito Italiano Bank (A) (E)
5.350%, 07/11/07 22,746 22,744
--------------
Total Corporate Obligations
(Cost $176,415) ($ Thousands) 176,415
--------------
COMMERCIAL PAPER (C) (D) -- 3.1%
FINANCIALS -- 3.1%
KKR Pacific Funding Trust
5.310%, 06/15/07 16,468 16,434
OCALA Funding
5.310%, 06/19/07 6,824 6,806
Rhineland Funding Capital
5.280%, 06/06/07 3,344 3,342
Thornburg Mortgage Capital Resources
5.290%, 06/07/07 18,197 18,181
Valour Bay Capital LLC
5.320%, 06/11/07 7,426 7,415
5.320%, 06/13/07 13,648 13,623
--------------
Total Commercial Paper
(Cost $65,801) ($ Thousands) 65,801
--------------
CERTIFICATES OF DEPOSIT (C) -- 0.7%
Barclays Bank (E)
5.440%, 06/11/07 4,549 4,549
CC USA MTN (A)
5.520%, 06/18/07 9,099 9,099
--------------
Total Certificates of Deposit
(Cost $13,648) ($ Thousands) 13,648
--------------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 93
SCHEDULE OF INVESTMENTS
Small Cap Fund (Concluded)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MASTER NOTE (C) (D) -- 0.4%
FINANCIALS -- 0.4%
Bear Stearns
5.430%, 06/01/07 $ 9,098 $ 9,098
--------------
Total Master Note
(Cost $9,098) ($ Thousands) 9,098
--------------
ASSET-BACKED SECURITY (A) (C) (E) -- 0.3%
MORTGAGE RELATED SECURITY -- 0.3%
Duke Funding, Ser 2004-6B, Cl A1S1
5.420%, 07/09/07 6,824 6,824
--------------
Total Asset-Backed Security
(Cost $6,824) ($ Thousands) 6,824
--------------
U.S. TREASURY OBLIGATION (D) (J) -- 0.1%
U.S. Treasury Bill
4.813%, 08/23/07 580 574
--------------
Total U.S. Treasury Obligation
(Cost $574) ($ Thousands) 574
--------------
REPURCHASE AGREEMENTS (C) (K) -- 5.2%
Barclays Capital
5.280%, dated 05/31/07, to be repurchased
on 06/01/07, repurchase price $3,136,415
(collateralized by a U.S. Government
obligation, par value $3,199,007, 0.000%,
06/01/07, total market value $3,198,687) 3,136 3,136
Deutsche Bank
5.300%, dated 05/31/07, to be
repurchased on 06/01/07, repurchase
price $8,954,535 (collateralized by
U.S. Government obligations, ranging
in par value $49,495-$2,947,890,
4.000%-6.000%, 02/01/08-11/04/20,
total market value $9,132,314) 8,953 8,953
Lehman Brothers
5.300%, dated 05/31/07, to be
repurchased on 06/01/07, repurchase
price $100,097,442 (collateralized by
U.S. Government obligations, ranging in
par value $21,145,020-$173,294,209,
3.875%-8.875%, 06/15/08-03/15/31,
total market value $102,084,468) 100,083 100,083
--------------
Total Repurchase Agreements
(Cost $112,172) ($ Thousands) 112,172
--------------
Total Investments -- 129.1%
(Cost $2,368,965) ($ Thousands) $ 2,757,804
==============
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
A summary of the open future contracts held by the Fund at May 31, 2007, is as
follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
NUMBER OF UNREALIZED
TYPE OF CONTRACTS EXPIRATION APPRECIATION
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
Russell 2000 Index E-Mini 149 Jun-2007 $ 582
=======
A summary of the outstanding forward foreign currency contracts held by the Fund
at May 31, 2007 is as follows, (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
CURRENCY TO CURRENCY TO UNREALIZED
MATURITY DELIVER RECEIVE DEPRECIATION
DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
6/13/07 CAD 379 USD 350 $ (5)
=======
Percentages are based on Net Assets of $2,136,857 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of May 31, 2007.
+ Real Estate Investments Trust
++ Affiliated security
(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 May 31,
2007 (see Note 9). The total value of securities on loan at May 31, 2007
was $610,514 ($ Thousands).
(C) This security was purchased with cash collateral held from securities on
loan (see Note 9). The total value of such securities as of May 31, 2007
was $629,616 ($ 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 May 31, 2007.
(F) Securities considered illiquid. The total value of such securities as of
May 31, 2007 was $6,624 ($ Thousands) and represents 0.31% of Net Assets.
(G) Security fair valued using methods determined in good faith by the
Valuation Committee of the Board of Trustees. The total value of such
securities as of May 31, 2007 was $6,624 ($ Thousands) and represented
0.31% of Net Assets.
(H) This security considered restricted. The total value of such securities as
of May 31, 2007 was $6,624 ($ Thousands) and represented 0.31% 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
CAD -- Canadian Dollar
Cl -- Class
EXL -- Extendable Maturity
LLC -- Limited Liability Company
LP -- Limited Partnership
MTN -- Medium Term Note
PIPE -- Private Investment in Public Entity
Ser -- Series
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.
- --------------------------------------------------------------------------------
94 SEI Institutional Investments Trust / Annual Report / May 31, 2007
Small/Mid Cap Equity Fund
May 31, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)++:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
22.7% Financials
13.9% Short-Term Investments
13.6% Information Technology
11.4% Industrials
10.4% Consumer Discretionary
8.1% Health Care
4.7% Materials
4.5% Energy
3.4% Utilities
2.9% Consumer Staples
2.1% Commercial Paper
1.3% Telecommunication Services
0.4% Certificate of Deposit
0.3% Master Note
0.2% Asset-Backed Securities
0.1% U.S. Treasury Obligations
0.0% Exchanged Traded Funds
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 -- 95.5%
CONSUMER DISCRETIONARY -- 12.9%
Abercrombie & Fitch, Cl A 10,794 $ 892
Advance Auto Parts 24,500 1,015
Aftermarket Technology* 10,843 325
Amazon.com* 17,305 1,196
American Axle & Manufacturing
Holdings (B) 47,834 1,379
American Eagle Outfitters (B) 70,300 1,898
American Greetings, Cl A 31,969 838
Amerigon* 60,960 1,008
AnnTaylor Stores* 29,400 1,149
Applebee's International* 5,971 156
Arctic Cat 50,400 965
ArvinMeritor 10,217 213
Asbury Automotive Group 60,805 1,659
Autoliv 43,770 2,613
Autonation* 26,050 576
Bally Technologies* 13,274 361
Barnes & Noble 13,565 580
Beazer Homes USA (B) 4,200 150
Bebe Stores 12,180 219
Belo, Cl A 107,776 2,396
Big Lots* 54,532 1,718
Blockbuster, Cl A* 200,895 888
Blyth 1,700 47
Bob Evans Farms 10,055 389
Bon-Ton Stores 1,336 64
Books-A-Million 16,073 265
Borders Group (B) 31,800 709
BorgWarner (B) 11,400 959
Bright Horizons Family Solutions* 20,194 855
Brinker International (B) 62,571 2,000
Brown Shoe 35,847 1,062
Brunswick 95,214 3,278
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Cablevision Systems, Cl A 41,657 $ 1,508
Carrols Restaurant Group* 50,005 791
Casual Male Retail Group (B)* 98,000 1,151
Cato, Cl A 58,500 1,272
CBRL Group (B) 56,771 2,551
CEC Entertainment* 23,778 921
Charlotte Russe Holding* 28,568 796
Charming Shoppes (B)* 129,811 1,617
Cheesecake Factory (B)* 15,600 440
Chipotle Mexican Grill, Cl A (B)* 40,200 3,482
Cinemark Holdings* 90,363 1,749
Circuit City Stores 14,200 228
CKX (B)* 58,800 625
Coach* 56,900 2,922
Coinstar* 8,401 265
Columbia Sportswear (B) 8,000 558
Cooper Tire & Rubber 10,381 250
Corinthian Colleges* 5,400 79
Courier 3,984 160
CROCS (B)* 97,100 7,900
CSK Auto (B)* 48,753 887
Deckers Outdoor (B)* 4,200 369
Denny's* 69,174 317
Dick's Sporting Goods (B)* 13,582 755
Dillard's, Cl A (B) 40,000 1,452
Dollar Tree Stores (B)* 108,346 4,584
Dover Downs Gaming & Entertainment 9,600 140
Dress Barn (B)* 38,900 898
Dufry South America
(United Kingdom)* 90,100 2,021
DXP Enterprises* 1,585 75
E.W. Scripps, Cl A 10,842 495
Eastman Kodak 17,657 448
Eddie Bauer Holdings* 231,500 3,181
Entercom Communications (B) 45,975 1,223
Ethan Allen Interiors 7,000 254
Family Dollar Stores 3,072 103
Finish Line, Cl A 11,206 143
Focus Media Holding ADR (B)* 59,071 2,613
Foot Locker 169,182 3,712
Ford Motor 7,457 62
Furniture Brands International (B) 48,500 703
GameStop, Cl A* 83,200 3,077
Getty Images* 5,760 288
Gildan Activewear* 42,000 1,468
Goodyear Tire & Rubber* 112,809 4,001
Group 1 Automotive 1,855 78
GSI Commerce (B)* 82,654 1,891
Gymboree* 37,794 1,689
H&R Block 19,512 462
Handleman (B) 21,700 153
Harman International Industries 15,671 1,859
Harris Interactive* 65,567 367
Hasbro 129,306 4,157
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 95
SCHEDULE OF INVESTMENTS
Small/Mid Cap Equity Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Hibbett Sports (B)* 105,791 $ 2,959
Hovnanian Enterprises, Cl A (B)* 37,646 951
International Speedway, Cl A 8,300 435
ITT Educational Services* 15,272 1,729
Jackson Hewitt Tax Service 61,209 1,852
Jarden* 46,491 1,981
Jo-Ann Stores* 30,194 1,021
Jones Apparel Group 126,514 3,768
Journal Communications, Cl A 890 12
KB Home 18,900 867
Keystone Automotive Industries* 28,791 1,189
Kimball International, Cl B 14,450 197
Knology* 11,940 222
Laureate Education* 25,000 1,498
Leapfrog Enterprises (B)* 17,198 191
Lear* 7,100 253
Leggett & Platt 24,079 589
Life Time Fitness (B)* 39,000 1,996
LKQ (B)* 54,676 1,365
Lodgenet Entertainment* 19,320 685
Maidenform Brands* 10,000 187
Martha Stewart Living Omnimedia,
Cl A (B) 105,400 1,893
Marvel Entertainment (B)* 72,900 2,013
Men's Wearhouse 3,478 186
Meredith 57,611 3,584
Morgans Hotel Group (B)* 39,900 981
Morningstar (B)* 25,300 1,210
Mothers Work* 1,836 69
National CineMedia* 38,338 1,095
Nautilus (B) 51,300 661
New Oriental Education & Technology
Group ADR* 22,338 1,049
Newell Rubbermaid 13,737 436
Nutri/System (B)* 37,500 2,457
NVR* 2,279 1,816
O'Charleys* 73,607 1,663
OfficeMax 32,208 1,446
Orient-Express Hotels, Cl A 50,600 2,711
Pacific Sunwear of California* 16,998 338
Panera Bread, Cl A (B)* 8,900 502
Payless Shoesource* 40,668 1,453
Penn National Gaming (B)* 73,533 3,929
Perry Ellis International* 59,616 1,868
PetSmart (B) 83,100 2,844
PF Chang's China Bistro (B)* 8,000 310
Pier 1 Imports 14,222 107
Pinnacle Entertainment* 55,512 1,699
Polaris Industries (B) 43,508 2,397
Priceline.com (B)* 35,500 2,195
Quiksilver (B)* 342,500 4,833
R.H. Donnelley (B) 40,741 3,175
RadioShack 55,137 1,882
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Regal Entertainment Group, Cl A (B) 79,600 $ 1,821
Regis 51,758 2,064
Rent-A-Center* 84,095 2,279
Retail Ventures* 3,272 63
Ruby Tuesday 79,800 2,200
Ryland Group (B) 25,300 1,169
Saks (B) 83,609 1,676
Sally Beauty Holdings* 82,300 755
Sauer-Danfoss 24,511 666
Sinclair Broadcast Group, Cl A 30,309 464
Sirius Satellite Radio* 37,369 109
Sonic Automotive, Cl A (B) 33,900 1,055
Source Interlink* 5,566 30
Stage Stores 4,900 102
Standard Motor Products 36,250 564
Standard-Pacific (B) 145,925 3,111
Starwood Hotels & Resorts Worldwide 87,900 6,335
Steinway Musical Instruments 3,000 116
Strayer Education 3,800 476
Stride Rite 69,556 1,402
Talbots (B) 74,500 1,620
Tempur-Pedic International (B) 70,300 1,783
Tenneco* 15,600 509
Tiffany 46,703 2,455
Timberland, Cl A (B)* 74,900 2,048
Town Sports International
Holdings (B)* 72,467 1,457
TravelCenters of America LLC* 5,180 228
Triarc, Cl B 19,700 304
TRW Automotive Holdings* 43,019 1,746
Tupperware Brands (B) 48,384 1,399
Under Armour, Cl A (B)* 70,300 3,362
Unifirst 5,672 237
Urban Outfitters (B)* 171,900 4,569
Valuevision Media, Cl A* 2,900 32
Virgin Media 1,100 29
Volcom (B)* 51,000 2,218
Warnaco Group* 11,580 398
Weight Watchers International 23,300 1,217
West Marine (B)* 70,306 1,047
Westfield Financial 23,200 2,191
Wet Seal, Cl A* 130,000 810
Whirlpool (B) 21,994 2,456
Williams-Sonoma (B) 7,600 258
WMS Industries* 1,200 51
Wynn Resorts (B)* 16,100 1,554
--------------
240,196
--------------
CONSUMER STAPLES -- 3.6%
Alliance One International* 301,399 2,896
Andersons 6,077 238
Asiatic Development* 857,000 1,677
- --------------------------------------------------------------------------------
96 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Avon Products 21,363 $ 820
Bare Escentuals* 13,500 566
BJ's Wholesale Club* 141,916 5,367
Bunge 2,672 209
Casey's General Stores 10,519 284
Central Garden and Pet* 18,679 268
Central Garden and Pet, Cl A* 10,708 143
Chiquita Brands International (B) 62,800 1,152
Corn Products International 21,711 891
Del Monte Foods 141,412 1,704
Hain Celestial Group* 94,400 2,700
Herbalife* 36,557 1,471
Imperial Sugar 926 26
J&J Snack Foods 3,900 153
JM Smucker 18,232 1,052
Lance 86,400 2,052
Loews - Carolina 43,697 3,397
Longs Drug Stores (B) 30,385 1,740
Molson Coors Brewing, Cl B (B) 43,657 3,998
Nash Finch (B) 50,520 2,377
NBTY (B)* 78,002 4,097
Pantry* 6,164 269
Pepsi Bottling Group 76,500 2,677
PepsiAmericas 72,700 1,790
Performance Food Group* 10,886 387
Pilgrim's Pride (B) 169,933 6,004
Prestige Brands Holdings* 8,766 115
Ralcorp Holdings (B)* 26,045 1,515
Reddy Ice Holdings 37,021 1,130
Ruddick 31,500 986
Seaboard 420 932
Smart & Final* 3,700 81
Smithfield Foods* 45,886 1,475
Spectrum Brands* 22,155 186
Supervalu 71,200 3,392
Tyson Foods, Cl A 57,184 1,275
Universal (B) 59,136 3,759
USANA Health Sciences (B)* 20,200 785
UST 8,932 477
Whole Foods Market (B) 20,100 826
--------------
67,339
--------------
ENERGY -- 5.5%
Alon USA Energy 7,800 310
Arch Coal 19,860 802
Arlington Tankers (B) 65,900 1,771
Atlas America 6,909 343
BA Energy PIPE (F) (G) (H)* 80,500 602
BA Energy, Deal #3 PIPE (F) (G) (H)* 26,500 198
Basic Energy Services (B)* 64,100 1,711
Berry Petroleum, Cl A (B) 44,140 1,608
BPZ Energy PIPE (F) (G) (H)* 163,000 959
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Bronco Drilling (B)* 16,000 $ 268
Cal Dive International* 102,500 1,585
Cameron International (B)* 55,956 3,967
Carrizo Oil & Gas (B)* 26,766 1,089
Compagnie Generale de
Geophysique-Veritas ADR (B)* 57,900 2,575
Complete Production Services* 57,900 1,555
Comstock Resources* 36,000 1,093
Consol Energy 22,602 1,098
Continental Resources* 39,400 587
Delek US Holdings 70,500 1,681
Dresser-Rand Group* 80,052 2,850
Encore Acquisition (B)* 61,900 1,705
Energy Transfer Partners LP 3,100 190
ENGlobal* 6,300 65
Evergreen Energy (B)* 95,500 660
FMC Technologies (B)* 38,900 2,941
Foundation Coal Holdings 21,792 963
Frontier Oil 32,689 1,316
Gasco Energy* 5,300 12
Giant Industries* 5,000 385
Global Industries* 5,526 131
Grant Prideco (B)* 107,000 6,077
Grey Wolf (B)* 143,000 1,133
Helix Energy Solutions Group (B)* 93,100 3,710
Hercules Offshore (B)* 64,200 2,243
Holly (B) 19,178 1,344
Houston Exploration* 11,800 708
Infinity Bio-Energy* 258,407 1,315
Input/Output* 16,118 258
Lufkin Industries 9,900 633
Massey Energy 30,153 874
Meridian Resource* 127,584 374
Murphy Oil 9,975 589
NATCO Group, Cl A* 800 34
Newfield Exploration* 37,156 1,785
North American Oil Sands
(Canada) (F) (G) (H)* 160,000 2,694
Oil Sands Quest (F) (G) (H) PIPE* 63,500 169
Oil Sands Quest* 311,800 923
OPTI (Canada)* 91,100 2,056
Parallel Petroleum (B)* 39,802 918
Patterson-UTI Energy 96,300 2,544
Penn Virginia 7,000 559
Petroquest Energy (B)* 100,909 1,429
Pioneer Natural Resources 10,197 526
Range Resources (B) 41,652 1,614
Rentech (B)* 730,523 1,790
Rosetta Resources* 24,200 590
SEACOR Holdings (B)* 20,700 1,915
Southwestern Energy* 50,979 2,427
Sunoco 36,200 2,886
Superior Energy Services* 19,987 803
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 97
SCHEDULE OF INVESTMENTS
Small/Mid Cap Equity Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Superior Well Services* 27,252 $ 706
Swift Energy (B)* 72,657 3,126
SXR Uranium One (Canada)* 101,086 1,576
Synenco Energy (Canada)* 12,051 178
Synenco Energy, Cl A (Canada)* 124,100 1,828
Tesoro (B) 94,142 5,826
Tetra Technologies (B)* 60,700 1,695
Tidewater (B) 23,499 1,551
Universal Compression Holdings* 14,319 1,064
US BioEnergy* 59,900 772
USEC* 24,491 566
Venoco* 68,200 1,355
VeraSun Energy (B)* 10,800 164
W-H Energy Services* 7,292 465
Williams 11,800 375
World Fuel Services 38,800 1,587
--------------
102,774
--------------
FINANCIALS -- 21.2%
A.G. Edwards 54,902 4,840
Acadia Realty Trust+ 46,700 1,327
Advance America Cash Advance
Centers 96,800 1,708
Advanta, Cl B 38,200 1,920
Affiliated Managers Group (B)* 86,035 11,202
Affirmative Insurance Holdings 5,400 83
Alexandria Real Estate Equities+ 32,360 3,404
AllianceBernstein Holding 1,504 137
AMB Property+ 45,100 2,609
AmCOMP* 164,900 1,515
Amcore Financial 7,112 212
American Equity Investment
Life Holding 15,700 188
American Financial Group 172,299 6,142
American Financial Realty Trust+ 121,500 1,370
American Home Mortgage
Investment+ (B) 186,350 4,070
American Physicians Capital (B)* 3,600 147
AmeriCredit (B)* 90,950 2,415
Ameris Bancorp 3,100 72
Amerisafe* 51,528 953
Amtrust Financial Services (B)* 12,200 189
Anchor Bancorp Wisconsin 4,900 140
Annaly Capital Management+ 196,821 3,039
Anthracite Capital+ 115,394 1,411
Anworth Mortgage Asset+ 56,000 522
AON 31,500 1,352
Arbor Realty Trust+ 19,473 555
Arch Capital Group* 23,652 1,700
Archstone-Smith Trust+ (B) 62,100 3,832
Argonaut Group* 4,800 159
Ashford Hospitality Trust+ (B) 277,100 3,439
Aspen Insurance Holdings 56,400 1,530
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Associated Banc (B) 61,751 $ 2,038
Assurant 33,353 1,983
Asta Funding (B) 14,500 612
Astoria Financial 30,300 808
AvalonBay Communities+ (B) 36,800 4,798
Axis Capital Holdings 29,116 1,152
BancFirst 1,600 69
Bancorpsouth 12,098 303
Bank Mutual 28,594 338
Bank of Hawaii 15,900 851
Bank of the Ozarks (B) 4,000 115
BankAtlantic Bancorp, Cl A 25,934 246
Bankunited Financial, Cl A (B) 139,057 3,187
Banner 4,200 151
BlackRock 4,942 759
BOK Financial 6,565 356
Boston Private Financial Holdings (B) 52,000 1,472
Boston Properties+ 27,200 3,146
Brandywine Realty Trust+ 69,300 2,204
Calamos Asset Management, Cl A (B) 42,483 1,060
Camden Property Trust+ 56,850 4,244
Canaccord Capital (Canada)* 80,900 1,684
Capital of the West 3,891 96
Capital Trust, Cl A+ (B) 11,800 525
CapitalSource+ (B) 36,178 951
Cardinal Financial 15,257 150
Cascade Bancorp (B) 1,625 37
Cash America International 60,791 2,522
CB Richard Ellis Group, Cl A* 14,309 533
CBL & Associates Properties+ 12,980 533
Cedar Shopping Centers+ 14,201 226
Center Financial 5,500 95
Central Pacific Financial 41,848 1,420
Chemical Financial (B) 29,400 791
Chicago Mercantile Exchange
Holdings, Cl A 2,017 1,071
City Bank 10,526 342
City Holding 4,500 171
CNA Surety* 6,000 123
Colonial BancGroup 99,577 2,513
Commerce Bancorp 18,018 622
Commerce Bancshares* 4,100 193
Community Bancorp* 18,836 559
Community Bank System 30,000 617
CompuCredit (B)* 52,349 1,927
Conseco* 77,736 1,532
Corporate Office Properties Trust+ (B) 96,100 4,329
Corus Bankshares (B) 120,429 2,191
Cullen/Frost Bankers 40,552 2,156
Delphi Financial Group, Cl A 19,600 842
Dime Community Bancshares 76,799 1,037
Dollar Financial* 62,600 1,913
Douglas Emmett+ (B)* 102,300 2,698
- --------------------------------------------------------------------------------
98 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Downey Financial (B) 50,183 $ 3,653
Dundee (Canada)+* 43,800 1,624
Dundee Wealth Management
(Canada)* 112,900 1,801
E*Trade Financial* 252,100 6,038
East West Bancorp 29,000 1,176
Eaton Vance 114,581 5,029
Education Realty Trust+ 15,943 231
EMC Insurance Group 14,900 378
Employers Holdings* 12,107 257
Endurance Specialty Holdings 69,716 2,777
Entertainment Properties Trust+ 10,638 628
Equity One+ 14,738 432
Equity Residential+ (B) 53,100 2,691
Essex Property Trust+ (B) 16,400 2,087
Evercore Partners, Cl A 47,300 1,500
Extra Space Storage+ 120,800 2,164
Ezcorp, Cl A* 45,700 687
Federal Realty Investment Trust+ (B) 32,700 2,898
Federated Investors, Cl B 81,321 3,167
FelCor Lodging Trust+ 47,700 1,249
First Cash Financial Services* 131,500 3,278
First Community Bancshares 1,400 44
First Financial Bancorp 19,970 294
First Financial Bankshares (B) 2,100 85
First Financial Holdings 2,600 86
First Horizon National (B) 55,900 2,252
First Industrial Realty Trust+ (B) 42,500 1,895
First Marblehead (B) 27,893 1,039
First Merchants 2,900 71
First Midwest Bancorp (B) 43,300 1,593
First Niagara Financial Group 211,700 2,904
First Regional Bancorp* 3,000 77
FirstFed Financial (B)* 58,366 3,763
FirstMerit 13,269 286
Forest City Enterprises, Cl A 39,800 2,790
Fortress Investment Group LLC (B)* 68,800 1,844
Fremont General (B) 31,200 413
Friedman Billings Ramsey Group,
Cl A+ (B) 61,700 387
Frontier Financial (B) 10,600 247
Gluskin Sheff + Associates (Canada)* 77,100 1,934
GMP Capital Trust (Canada) 43,000 961
Gramercy Capital+ 9,100 288
Great Southern Bancorp 1,200 33
Greene County Bancshares 1,600 56
Greenhill (B) 21,900 1,577
Grubb & Ellis* 45,000 570
Grubb & Ellis Realty Advisors* 258,650 1,684
Hancock Holding 6,127 242
Hanmi Financial 15,200 266
Hanover Insurance Group 37,918 1,850
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
HCC Insurance Holdings 30,050 $ 989
Hersha Hospitality Trust+ 166,200 2,018
Highbury Financial (B)* 29,800 198
Highbury Financial Units* 63,600 630
Highwoods Properties+ (B) 19,200 842
Home Bancshares (B) 47,600 1,061
Horace Mann Educators 83,551 1,865
Horizon Financial 1,500 34
Hospitality Properties Trust+ 105,282 4,679
Host Hotels & Resorts+ (B) 84,900 2,167
HRPT Properties Trust+ (B) 169,700 1,948
Huntington Bancshares (B) 124,262 2,791
IMPAC Mortgage Holdings+ (B) 59,700 370
IndyMac Bancorp (B) 56,258 1,889
Infinity Property & Casualty 6,264 331
Innkeepers USA Trust+ 53,379 941
IntercontinentalExchange* 11,800 1,710
Investment Technology Group* 39,000 1,585
Irwin Financial 33,700 536
iStar Financial+ 37,501 1,801
ITLA Capital 4,447 244
Jefferies Group 49,800 1,526
JER Investors Trust+ 14,200 267
Jones Lang LaSalle 17,935 2,093
Kansas City Life Insurance 16,800 755
KBW (B)* 50,400 1,648
KKR Financial Holdings LLC (B) 60,500 1,620
LandAmerica Financial Group (B) 24,700 2,289
Legg Mason 6,619 669
Macerich+ 27,300 2,435
Mack-Cali Realty+ 95,400 4,607
Maguire Properties+ 51,100 1,846
Marsh & McLennan 68,886 2,261
Meruelo Maddux Properties* 129,900 1,072
MFA Mortgage Investments+ 199,700 1,502
MGIC Investment (B) 29,200 1,898
Move* 362,000 1,520
MVC Capital 101,500 1,964
Nara Bancorp 10,600 170
NASDAQ Stock Market (B)* 138,600 4,613
National Financial Partners 34,400 1,611
National Interstate 3,400 83
National Retail Properties+ (B) 45,700 1,108
Nationwide Financial Services, Cl A 69,394 4,296
Navigators Group* 9,567 474
New York Community Bancorp (B) 225,608 3,944
NewAlliance Bancshares 19,456 314
Newcastle Investment+ (B) 47,404 1,406
NNN Realty Advisors* 135,000 1,492
NorthStar Realty Finance+ 124,231 1,790
Nuveen Investments, Cl A 64,500 3,538
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 99
SCHEDULE OF INVESTMENTS
Small/Mid Cap Equity Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
NYSE Euronext* 5,400 $ 449
Ocwen Financial* 60,235 853
Old National Bancorp 50,500 901
Old Republic International 26,318 570
Omega Healthcare Investors+ 30,600 527
OneBeacon Insurance Group* 24,100 606
Oriental Financial Group 32,774 396
Pacific Capital Bancorp 10,749 277
PartnerRe 4,933 379
PennantPark Investment (B)* 87,100 1,305
Penson Worldwide* 10,000 288
People's United Financial 145,660 2,941
PFF Bancorp 86,760 2,604
Philadelphia Consolidated Holding* 19,300 795
Piper Jaffray (B)* 52,200 3,492
Platinum Underwriters Holdings 105,886 3,647
PMI Group 45,196 2,234
Portfolio Recovery Associates (B)* 45,000 2,664
Post Properties+ (B) 13,900 737
Potlatch + 1,253 55
Preferred Bank 5,400 206
Premierwest Bancorp (B) 2,646 37
Presidential Life 20,700 378
ProAssurance* 10,310 583
Prologis+ 65,200 4,216
PS Business Parks+ 7,300 490
Public Storage+ (B) 39,654 3,549
Radian Group (B) 34,500 2,136
Rainier Pacific Financial Group 4,426 90
RAIT Financial Trust+ (B) 124,937 3,681
Realty Income+ (B) 57,290 1,571
Redwood Trust+ 10,808 579
Reinsurance Group of America 24,231 1,517
Resource Capital+ 16,300 260
Safeco (B) 33,800 2,121
Safety Insurance Group 18,032 751
Sierra Bancorp (B) 1,000 28
Signature Bank* 11,000 366
Simon Property Group+ (B) 49,200 5,313
SL Green Realty+ (B) 22,800 3,194
Smithtown Bancorp (B) 1,430 34
South Financial Group 80,062 1,905
Southwest Bancorp 6,031 148
St. Joe 61,771 3,233
Stancorp Financial Group 22,500 1,144
Sterling Financial, Washington
Shares (B) 56,952 1,722
Stewart Information Services (B) 13,600 539
Strategic Hotels & Resorts+ 108,000 2,519
Suffolk Bancorp 1,500 46
Superior Bancorp* 13,873 141
SVB Financial Group (B)* 33,000 1,751
SWS Group 60,996 1,472
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
T. Rowe Price Group 5,144 $ 264
Taubman Centers+ 41,000 2,256
Taylor Capital Group 13,249 399
TCF Financial 99,632 2,813
TD Ameritrade Holding* 50,099 1,029
Thomas Properties Group 36,100 608
Thomas Weisel Partners Group (B)* 46,600 815
TierOne (B) 16,162 506
Tompkins Trustco 800 30
Tower Group 16,400 519
TradeStation Group* 85,300 1,017
Transatlantic Holdings 2,798 200
Triad Guaranty* 25,257 1,126
Trico Bancshares 2,700 61
Trustmark 54,300 1,462
UMB Financial 12,552 485
Umpqua Holdings (B) 30,300 756
UnionBanCal 8,127 499
United Bankshares 38,400 1,296
United Community Banks 7,700 234
United Fire & Casualty 28,498 1,116
United Security Bancshares (B) 2,100 47
Unitrin 37,200 1,822
UnumProvident (B) 129,792 3,445
Ventas+ 73,800 3,126
Vineyard National Bancorp 1,300 32
Vornado Realty Trust+ 7,200 871
Washington Federal 55,370 1,389
Webster Financial 18,859 848
Weingarten Realty Investors+ 46,600 2,174
West Coast Bancorp 3,200 99
Westamerica Bancorporation 1,061 49
Whitney Holding 7,000 217
Willis Group Holdings 11,296 523
Wilshire Bancorp 7,800 99
Winston Hotels+ 79,600 1,187
Winthrop Realty Trust+ (B) 135,100 911
Wintrust Financial 24,800 1,138
World Acceptance (B)* 63,904 2,708
WSFS Financial 1,900 126
Zenith National Insurance 26,347 1,274
Zions Bancorporation 8,300 668
--------------
394,873
--------------
HEALTH CARE -- 9.9%
Abraxis BioScience* 28,645 705
Acadia Pharmaceuticals* 67,800 867
Advanced Magnetics (B)* 14,807 934
Affymetrix (B)* 114,400 2,972
Air Methods* 8,531 301
Albany Molecular Research* 23,606 336
Align Technology* 15,100 344
- --------------------------------------------------------------------------------
100 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Alkermes* 162,800 $ 2,615
Alliance Imaging* 23,700 208
Alpharma, Cl A 4,454 108
American Dental Partners* 13,542 350
AMERIGROUP* 58,136 1,482
Amsurg* 77,750 1,913
Amylin Pharmaceuticals* 3,362 155
Analogic 2,680 177
Angiotech Pharmaceuticals* 88,700 597
Applera - Celera Group* 78,900 1,053
Apria Healthcare Group (B)* 134,902 3,907
Arena Pharmaceuticals (B)* 102,100 1,419
Ariad Pharmaceuticals (B)* 248,900 1,352
Axcan Pharma* 167,157 3,141
Barr Pharmaceuticals* 48,700 2,597
Bausch & Lomb* 50,999 3,463
Beckman Coulter 8,666 567
Biogen Idec* 32,900 1,718
Bradley Pharmaceuticals* 17,185 379
Cadence Pharmaceuticals* 34,193 498
Centene* 3,400 78
Cephalon (B)* 91,547 7,599
Cerner (B)* 5,700 324
Chemed 12,827 859
Coley Pharmaceutical Group (B)* 64,332 535
Collagenex Pharmaceuticals (B)* 39,421 417
Computer Programs & Systems 45,141 1,516
Conmed* 76,821 2,405
Cooper 19,912 1,098
Corvel* 14,281 392
Covance* 24,788 1,650
Coventry Health Care* 14,100 841
Cubist Pharmaceuticals (B)* 166,900 3,830
CV Therapeutics (B)* 216,900 2,286
Cynosure, Cl A* 46,264 1,479
Cypress Bioscience (B)* 27,225 412
Cytyc* 57,200 2,418
Dade Behring Holdings 81,302 4,379
DaVita* 28,100 1,552
Dentsply International 90,688 3,277
Depomed (B)* 115,800 506
Digene* 9,400 418
Discovery Laboratories* 161,969 549
DJO (B)* 65,153 2,542
Eclipsys* 15,800 322
Edwards Lifesciences* 16,400 823
Emageon (B)* 123,900 939
Emergency Medical Services, Cl A* 7,575 264
Encysive Pharmaceuticals (B)* 248,300 978
Endo Pharmaceuticals Holdings* 88,101 3,112
Enzon Pharmaceuticals (B)* 25,400 215
eResearch Technology (B)* 197,800 1,772
Exelixis (B)* 144,100 1,597
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Express Scripts (B)* 13,500 $ 1,378
Genzyme* 28,329 1,828
Geron (B)* 51,700 477
Healthspring* 41,048 1,002
HLTH* 4,300 65
Hologic* 8,000 433
Human Genome Sciences (B)* 112,600 1,192
I-Flow* 1,700 27
Idexx Laboratories (B)* 4,523 399
Immunomedics* 76,130 406
IMS Health 35,530 1,162
Incyte (B)* 245,700 1,742
Inverness Medical Innovations* 12,600 601
Invitrogen (B)* 33,500 2,427
Kindred Healthcare* 38,980 1,247
Kinetic Concepts (B)* 44,900 2,253
King Pharmaceuticals (B)* 215,632 4,580
Lifecell (B)* 63,800 1,796
Lincare Holdings (B)* 31,668 1,270
Magellan Health Services (B)* 42,100 1,886
Manor Care (B) 41,481 2,821
Martek Biosciences (B)* 18,500 387
Matria Healthcare* 5,411 173
Maxygen* 46,461 473
Medarex (B)* 413,400 6,610
Medcath* 51,591 1,703
Medicines* 37,300 728
Medicis Pharmaceutical, Cl A (B) 35,100 1,158
Mentor (B) 57,294 2,317
MGI Pharma* 21,100 451
Micrus Endovascular* 35,400 757
Mindray Medical International ADR* 10,600 302
MWI Veterinary Supply* 25,539 985
Mylan Laboratories 21,600 427
Neurocrine Biosciences* 2,600 30
Nighthawk Radiology Holdings (B)* 33,600 610
Noven Pharmaceuticals* 51,030 1,197
NuVasive* 17,000 441
Odyssey HealthCare* 153,870 1,996
Omnicare (B) 80,196 3,001
Omnicell* 7,390 166
Option Care (B) 112,600 1,697
Orthofix International* 3,846 182
OSI Pharmaceuticals (B)* 13,100 495
Owens & Minor 43,721 1,552
Palomar Medical Technologies (B)* 42,955 1,671
Par Pharmaceutical* 7,097 208
Patterson* 15,116 567
PDL BioPharma (B)* 50,900 1,400
PerkinElmer 73,970 1,961
Pharmaceutical Product Development 12,500 456
PharmaNet Development Group* 40,013 1,285
PolyMedica (B) 47,400 1,927
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 101
SCHEDULE OF INVESTMENTS
Small/Mid Cap Equity Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Pozen (B)* 20,900 $ 330
Profarma Distribuidora de Produtos
Farmaceuticos (Brazil)* 81,500 1,245
Res-Care* 17,570 364
Resmed* 19,600 884
Respironics* 38,351 1,693
Sciele Pharma (B)* 48,489 1,199
Sepracor (B)* 66,300 3,229
Sirona Dental Systems (B)* 33,000 1,143
Somanetics (B)* 29,433 539
Spectranetics (B)* 116,615 1,122
SurModics (B)* 7,900 296
Symbion* 79,800 1,746
Symmetry Medical* 9,567 147
Techne* 14,300 854
Tenet Healthcare* 84,995 591
Thermogenesis* 20,600 56
United Therapeutics (B)* 50,000 3,300
Universal Health Services, Cl B 32,695 2,020
Varian Medical Systems* 54,900 2,212
Vertex Pharmaceuticals* 8,700 260
Viropharma (B)* 30,700 445
Watson Pharmaceuticals* 176,649 5,451
WellCare Health Plans* 19,115 1,759
West Pharmaceutical Services (B) 55,288 2,812
--------------
185,544
--------------
INDUSTRIALS -- 14.1%
ABM Industries 6,650 196
ABX Air* 22,127 140
ACCO Brands* 39,800 995
Actuant, Cl A 9,385 522
Acuity Brands 44,201 2,683
Aecom Technology* 7,000 160
Aegean Marine Petroleum Network* 30,214 559
Aerovironment (B)* 24,134 501
AGCO* 64,789 2,804
Alaska Air Group (B)* 89,919 2,622
Albany International, Cl A (B) 90,855 3,554
Alexander & Baldwin 9,112 487
Alliant Techsystems (B)* 22,255 2,248
Allied Waste Industries* 151,500 2,039
Amerco* 3,924 277
American Commercial Lines (B)* 98,206 3,112
American Reprographics (B)* 46,502 1,432
American Woodmark (B) 78,012 2,906
Ametek 52,540 1,983
AMR* 14,149 401
AO Smith 69,507 2,731
Apogee Enterprises 20,056 494
Arkansas Best (B) 18,500 764
Armor Holdings (B)* 20,900 1,796
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
ASV* 2,400 $ 42
Avis Budget Group* 28,963 876
Badger Meter 711 18
BE Aerospace* 101,141 3,873
Belden CDT 22,748 1,303
Blount International (B)* 94,200 1,230
Brady, Cl A 11,227 417
Briggs & Stratton 87,232 2,831
Brink's 62,700 4,134
Bucyrus International, Cl A (B) 10,685 758
C&D Technologies 11,540 72
Ceradyne (B)* 23,400 1,581
Chicago Bridge & Iron 141,044 5,495
ChoicePoint* 5,900 259
Cintas 13,766 528
CIRCOR International 7,792 298
Clean Harbors* 6,669 313
Columbus McKinnon* 12,190 366
Comfort Systems USA 37,878 530
COMSYS IT Partners* 27,008 622
Con-way 18,421 1,045
Consolidated Graphics* 10,300 748
Continental Airlines, Cl B (B)* 67,877 2,727
Copart* 34,200 1,067
Corrections of America* 42,431 2,750
CoStar Group (B)* 32,246 1,750
Cubic 6,600 166
Cummins 43,101 4,061
Curtiss-Wright 52,102 2,348
Deere 1,058 127
Deluxe 52,951 2,312
Dollar Thrifty Automotive Group (B)* 10,900 507
Dun & Bradstreet 28,566 2,860
Dynamic Materials 97,000 3,516
EDO 13,600 457
EGL* 9,600 445
EMCOR Group (B)* 62,805 4,119
Energy Conversion Devices (B)* 3,100 107
EnerSys* 4,147 75
EnPro Industries* 46,200 1,919
Equifax 40,739 1,712
ESCO Technologies* 6,700 340
ExpressJet Holdings* 246,583 1,526
Federal Signal 23,094 377
Flanders* 28,422 202
Flint Energy Services (Canada)* 66,200 1,671
Flow International* 115,800 1,487
Fluor 2,236 233
Force Protection* 132,500 3,425
Foster Wheeler* 19,906 2,061
Franklin Electric (B) 11,705 552
Freightcar America (B) 9,000 445
- --------------------------------------------------------------------------------
102 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Gardner Denver* 75,211 $ 3,098
GATX 4,272 220
General Cable (B)* 45,558 3,105
General Electric 12,748 479
Genlyte Group (B)* 11,200 976
Geo Group* 25,252 1,376
Global Cash Access (B)* 148,300 2,410
Goodman Global* 8,500 186
Goodrich 27,303 1,624
GrafTech International* 253,423 3,923
Granite Construction 74,178 5,080
Griffon* 33,275 777
Grupo Aeroportuario del Sureste
ADR (B)* 31,900 1,624
H&E Equipment Services* 84,200 2,199
Hardinge 56,011 1,745
Harsco 3,600 192
Heico, Cl A 48,221 1,726
Heidrick & Struggles
International (B)* 11,500 561
Herman Miller 55,900 2,012
Hertz Global Holdings* 27,800 589
Honeywell International 7,640 442
Hudson Highland Group* 2,107 46
Huron Consulting Group* 7,100 487
IHS, Cl A* 29,311 1,178
IKON Office Solutions 254,553 3,709
Infrasource Services* 56,818 2,057
Innerworkings (B)* 127,239 1,691
Interface, Cl A* 14,321 242
Ionatron* 3,200 16
JA Solar Holdings ADR (B)* 31,027 738
Jacobs Engineering Group* 37,275 2,160
JB Hunt Transport Services 59,100 1,722
JetBlue Airways (B)* 72,659 783
Joy Global 45,300 2,565
Kadant* 10,083 301
Kaman 9,979 293
Kansas City Southern (B)* 31,608 1,298
Kaydon 15,836 764
Kenexa (B)* 22,280 869
Kennametal (B) 21,300 1,638
Kforce* 8,968 144
Kirby* 37,311 1,493
Knoll 110,528 2,675
Ladish* 9,019 400
Lamson & Sessions (B)* 1,300 36
Landstar System 13,200 642
Lincoln Electric Holdings 16,484 1,159
Manitowoc 12,900 978
Mcgrath Rentcorp 4,300 134
Middleby* 6,700 831
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Monster Worldwide* 41,200 $ 1,945
Moog, Cl A* 34,850 1,501
Mueller Industries 39,900 1,396
NACCO Industries, Cl A 3,036 516
Navistar International* 11,974 777
NCI Building Systems (B)* 38,200 1,964
Orion Marine Group* 116,900 1,578
Oshkosh Truck (B) 25,989 1,603
Pacer International 4,612 124
Pentair 20,837 771
Perini (B)* 31,471 1,731
PHH* 47,900 1,485
Pitney Bowes 12,578 601
Quanta Services (B)* 100,158 3,006
Republic Airways Holdings* 25,600 598
Republic Services 80,910 2,450
Robbins & Myers 16,255 730
Robert Half International 19,300 678
RR Donnelley & Sons 13,674 586
Ryder System 20,493 1,105
Saia* 9,800 280
School Specialty* 9,223 322
Sequa, Cl A* 746 82
Shaw Group (B)* 57,908 2,343
Simpson Manufacturing (B) 48,400 1,613
SIRVA* 8,435 24
Skywest 41,405 1,140
Spirit Aerosystems Holdings, Cl A* 102,369 3,574
SPX 13,500 1,186
Standard Register 17,918 213
Steelcase, Cl A 136,962 2,660
Superior Essex* 15,278 540
TAL International Group (B) 65,600 1,707
Team* 1,600 63
Tecnisa (Brazil)* 319,400 2,085
Teledyne Technologies* 9,705 447
Teleflex 25,423 2,041
Terex (B)* 38,755 3,285
Tetra Tech* 15,473 341
Thomas & Betts* 3,600 209
Timken 30,900 1,086
Tredegar 70,443 1,628
Trex* 1,400 28
Trinity Industries (B) 53,700 2,479
UAP Holding 33,200 978
United Rentals* 97,800 3,281
United Stationers* 36,535 2,451
United Technologies 10,531 743
URS* 74,384 3,740
USA Truck* 47,600 797
USG* 12,100 621
UTI Worldwide 900 25
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 103
SCHEDULE OF INVESTMENTS
Small/Mid Cap Equity Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Volt Information Sciences* 18,125 $ 450
Wabtec 53,470 2,094
Walter Industries 40,714 1,311
Washington Group International (B)* 29,609 2,487
Waste Connections* 78,906 2,432
Waste Industries USA 3,100 97
Watson Wyatt Worldwide, Cl A 30,630 1,580
WESCO International* 44,470 2,883
Williams Scotsman International (B)* 120,235 2,761
Woodward Governor 47,400 2,618
WW Grainger 32,300 2,844
YRC Worldwide (B)* 40,500 1,628
--------------
263,824
--------------
INFORMATION TECHNOLOGY -- 16.7%
24/7 Real Media* 152,800 1,794
Activision (B)* 155,000 3,067
Acxiom 12,265 341
Adaptec* 182,200 742
ADC Telecommunications (B)* 66,552 1,115
Advanced Analogic Technologies* 34,800 308
Advent Software (B)* 30,900 1,114
Akamai Technologies* 85,741 3,791
Altera* 19,100 436
AMIS Holdings* 45,001 575
Amkor Technology (B)* 246,928 3,511
Anadigics (B)* 123,804 1,559
Analog Devices 10,519 381
Andrew (B)* 215,782 2,855
aQuantive* 51,566 3,289
Arris Group (B)* 130,278 2,143
Arrow Electronics* 43,662 1,792
AsiaInfo Holdings* 29,836 269
Aspen Technology (B)* 25,500 379
Asyst Technologies* 314,396 2,257
Atmel* 152,268 851
ATMI (B)* 69,633 2,127
Authorize.Net Holdings (B)* 69,346 1,134
Avaya* 101,400 1,622
Avnet* 35,611 1,526
Avocent* 99,166 2,780
AVX 58,870 1,059
Baidu.com ADR (B)* 4,855 683
Benchmark Electronics* 5,516 122
BISYS Group* 8,446 99
Black Box 31,535 1,149
Blackboard (B)* 51,371 2,114
BMC Software* 69,600 2,307
Bottomline Technologies* 90,786 1,151
Brightpoint* 11,122 146
Broadcom, Cl A* 642 20
Brocade Communications Systems* 15,901 146
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Brooks Automation (B)* 83,600 $ 1,479
CACI International, Cl A* 9,096 469
Captaris* 62,330 321
Carrier Access* 6,000 24
Checkfree (B)* 53,577 2,103
Checkpoint Systems* 35,059 878
Cirrus Logic* 62,098 481
Citrix Systems* 70,660 2,375
CMGI* 203,652 509
CNET Networks (B)* 268,900 2,439
Coherent* 12,395 384
CommScope (B)* 25,155 1,377
Computer Sciences* 10,330 572
Comverge* 28,109 722
Concur Technologies (B)* 88,191 1,757
Convergys* 190,148 4,894
CPI International* 3,600 74
Credence Systems* 262,236 871
Cree* 6,564 148
CSG Systems International (B)* 136,093 3,783
CTS 106,405 1,279
Cymer (B)* 62,177 2,496
Cypress Semiconductor* 61,949 1,330
Daktronics (B) 31,665 759
DealerTrack Holdings* 36,295 1,310
Diebold 10,309 511
Diodes (B)* 46,261 1,711
Dycom Industries* 10,800 321
Earthlink* 72,600 601
EFJ* 109,000 576
Electronic Data Systems 120,400 3,469
Electronics for Imaging* 91,578 2,611
Emergis (Canada)* 309,300 1,892
Emulex* 16,131 358
EnerNOC* 2,000 78
Epicor Software* 2,900 42
EPIQ Systems (B)* 60,168 1,588
Equinix* 9,496 830
eSpeed, Cl A* 7,100 65
F5 Networks* 22,900 1,861
Factset Research Systems 3,800 243
FEI (B)* 11,200 416
Flextronics International* 496,800 5,738
Flir Systems* 12,925 535
Forrester Research* 8,582 233
Foundry Networks (B)* 158,300 2,545
Genesis Microchip* 11,929 104
Gevity HR 72,600 1,525
Glu Mobile (B)* 71,713 891
Greenfield Online* 37,584 594
Harmonic* 49,900 454
Harris Stratex Networks* 48,100 822
Heartland Payment Systems 20,400 519
- --------------------------------------------------------------------------------
104 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Hewitt Associates, Cl A* 42,872 $ 1,287
Hutchinson Technology (B)* 90,700 1,658
Ikanos Communications* 46,700 333
Imation 54,657 2,072
Informatica (B)* 139,800 2,133
Ingram Micro, Cl A* 25,229 523
Integrated Device Technology* 26,200 393
Interdigital Communications* 56,700 1,846
Intermec* 8,053 198
International Rectifier* 3,889 141
Intersil, Cl A 78,300 2,357
Interwoven* 103,065 1,544
Intevac* 19,300 372
Itron* 9,194 622
Jack Henry & Associates 25,000 661
JDA Software Group (B)* 102,200 1,859
Juniper Networks* 75,621 1,846
Jupitermedia (B)* 194,500 1,400
Keynote Systems* 115,368 1,823
Komag* 43,500 1,055
Kulicke & Soffa Industries* 5,500 53
L-1 Identity Solutions (B)* 15,641 334
Lattice Semiconductor* 333,100 1,755
Lawson Software (B)* 159,973 1,469
Lexmark International, Cl A* 57,962 3,010
Lionbridge Technologies* 109,500 658
Liquidity Services* 53,618 1,071
Littelfuse* 22,178 889
LivePerson* 71,386 450
LoJack* 14,800 325
LTX* 135,306 792
Magma Design Automation* 30,803 456
Manhattan Associates* 63,341 1,841
Mantech International, Cl A* 7,200 230
Marchex, Cl B (B)* 112,009 1,735
Mastec (B)* 130,216 1,770
Mattson Technology* 3,800 37
MAXIMUS 36,700 1,586
McAfee* 24,073 885
Mellanox Technologies* 39,800 806
Mentor Graphics* 74,604 1,064
Methode Electronics 78,844 1,189
Mettler Toledo International* 36,279 3,566
Micros Systems* 15,955 885
Microsemi (B)* 197,700 4,557
MicroStrategy, Cl A* 6,527 678
Microtune* 24,700 126
MIPS Technologies* 140,100 1,238
MKS Instruments* 53,400 1,455
Monolithic Power Systems* 26,036 441
MoSys (B)* 63,222 509
MTS Systems 6,313 277
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
National Semiconductor 44,800 $ 1,206
NCR* 68,100 3,655
Net 1 UEPS Technologies (B)* 41,834 1,120
Netlogic Microsystems* 2,600 80
Novatel* 26,000 962
Novellus Systems (B)* 86,903 2,667
Nuance Communications (B)* 317,553 5,313
Omniture (B)* 71,625 1,254
ON Semiconductor (B)* 127,500 1,369
OSI Systems (B)* 54,500 1,459
OYO Geospace* 4,700 355
Palm (B)* 92,900 1,513
Parametric Technology* 93,383 1,744
Parkervision (B)* 63,500 664
Parkervision* 58,000 607
Paxar* 27,177 822
PC Connection* 8,161 94
Perficient* 40,092 842
Pericom Semiconductor* 87,554 960
Perot Systems, Cl A (B)* 223,052 3,810
Photochannel Networks* 399,100 1,517
Photon Dynamics* 15,469 169
Photronics* 2,700 40
Plantronics 11,460 278
Plexus (B)* 128,302 2,824
PMC - Sierra (B)* 223,800 1,725
Polycom (B)* 231,600 7,346
Power Integrations (B)* 82,023 2,338
Powerwave Technologies* 73,530 469
Presstek* 7,100 49
QLogic* 32,400 553
Quality Systems (B)* 17,903 733
Quest Software* 26,300 453
Red Hat (B)* 293,300 7,203
RF Micro Devices (B)* 531,600 3,471
Richardson Electronics 12,344 118
Riverbed Technology (B)* 58,200 2,428
Salary.com* 82,664 940
Salesforce.com (B)* 54,000 2,551
Sanmina-SCI* 9,221 33
Satyam Computer Services ADR (B)* 91,100 2,308
SAVVIS* 42,700 2,143
Seachange International* 84,500 760
Sierra Wireless* 55,500 1,204
Sigma Designs (B)* 39,834 1,113
Silicon Storage Technology* 312,328 1,234
Sina* 24,346 972
Sirf Technology Holdings (B)* 49,453 1,073
SkillSoft ADR* 133,063 1,220
Skyworks Solutions* 321,200 2,277
Solectron* 502,700 1,709
Sonus Networks (B)* 120,542 1,045
Spatialight* 85,000 10
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 105
SCHEDULE OF INVESTMENTS
Small/Mid Cap Equity Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Spatialight Deal #3 PIPE (F) (G) (H)* 59,000 $ 6
Spatialight PIPE (F) (G) (H)* 7,367 1
Standard Microsystems* 3,064 95
Stratasys (B)* 18,890 910
Sun Microsystems* 273,509 1,395
Sunpower, Cl A (B)* 30,492 1,629
Sybase (B)* 221,317 5,325
SYKES Enterprises* 113,700 2,215
Symmetricom* 9,774 79
SYNNEX* 6,078 124
Synopsys* 96,532 2,560
TAC Acquisition* 181,100 2
Technitrol 66,200 1,744
Tektronix 20,107 609
Teradyne* 103,289 1,758
THQ (B)* 96,760 3,300
TNS 14,400 171
Total System Services 51,020 1,693
Transaction Systems Architects* 33,138 1,128
Trident Microsystems (B)* 151,864 3,098
TTM Technologies* 123,000 1,360
Unisys* 24,498 204
United Online (B) 189,200 3,228
Universal Display (B)* 80,500 1,257
Varian Semiconductor Equipment
Associates* 92,100 3,882
Veeco Instruments* 25,400 460
VeriSign* 79,813 2,381
Vignette* 51,495 958
Vishay Intertechnology (B)* 76,200 1,358
VistaPrint (B)* 26,804 1,074
Vocus* 36,750 883
Western Digital* 157,100 2,955
Wind River Systems (B)* 283,900 3,012
Wright Express* 44,300 1,554
Xyratex* 11,607 256
Zoran* 52,847 1,064
--------------
311,511
--------------
MATERIALS -- 5.7%
Airgas 67,647 2,884
AK Steel Holding* 46,542 1,616
Albemarle 72,319 2,939
Allegheny Technologies 24,600 2,843
AM Castle 9,585 355
Aptargroup 20,326 763
Arch Chemicals 7,039 247
Ashland 22,400 1,351
Bemis 20,758 698
Bowater 21,288 443
Buckeye Technologies (B)* 202,524 2,880
Cabot 31,691 1,531
Carpenter Technology 11,892 1,577
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Celanese, Ser A 147,100 $ 5,353
Chemtura 69,205 754
Cleveland-Cliffs (B) 48,900 4,317
Commercial Metals 102,565 3,605
Crown Holdings* 154,395 3,849
Domtar* 54,437 593
Eastman Chemical 33,100 2,190
Ferro 18,855 448
First Quantum Minerals (Canada)* 29,100 2,331
FMC 73,004 6,107
Grande Cache Coal (Canada)* 197,800 213
Greif, Cl A 43,274 2,409
H.B. Fuller 61,500 1,676
Headwaters (B)* 57,809 1,140
Hercules* 89,100 1,678
Huntsman 14,803 296
Innospec 15,378 920
Koppers Holdings 13,000 418
Louisiana-Pacific 105,500 2,163
Lubrizol 73,263 4,815
Material Sciences* 2,661 28
MeadWestvaco 72,461 2,536
Metal Management 8,975 435
Neenah Paper 24,115 1,056
NewMarket 2,791 134
Olin 13,649 276
Olympic Steel 2,640 89
Omnova Solutions* 3,800 21
Owens-Illinois 78,059 2,654
Packaging of America 24,859 643
PolyOne* 181,700 1,295
Quaker Chemical 2,134 51
Quanex 21,900 1,050
Reliance Steel & Aluminum 43,600 2,676
Rock-Tenn, Cl A 81,690 2,853
Rohm & Haas 11,188 593
RPM International 38,400 872
Schnitzer Steel Industries, Cl A (B) 55,915 3,031
Schweitzer-Mauduit International 38,228 1,148
Sensient Technologies 24,800 646
Sherritt International (Canada) 120,300 1,751
Silgan Holdings 7,966 460
Sonoco Products 117,287 5,079
Spartech 75,977 2,036
Steel Dynamics 34,800 1,632
Symyx Technologies* 9,088 95
Texas Industries (B) 47,798 4,157
United States Steel 18,700 2,116
Wausau Paper 12,109 166
Wellman 75,500 266
Wheeling-Pittsburgh (B)* 79,800 1,756
WR Grace* 3,100 84
--------------
107,087
--------------
- --------------------------------------------------------------------------------
106 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES -- 1.7%
Alaska Communications Systems
Group 63,600 $ 1,004
Atlantic Tele-Network 4,700 133
Cbeyond (B)* 50,750 1,796
Centennial Communications* 76,400 778
CenturyTel 97,103 4,799
Cincinnati Bell* 5,900 34
Citizens Communications 120,755 1,914
Clearwire, Cl A (B)* 123,700 2,412
Cogent Communications Group* 48,100 1,380
Consolidated Communications
Holdings 5,969 127
CT Communications 24,782 778
Dobson Communications, Cl A* 16,900 180
Fairpoint Communications 93,400 1,681
Global Crossing* 4,800 102
Iowa Telecommunications Services 21,800 490
Leap Wireless International* 23,300 1,991
Level 3 Communications (B)* 265,230 1,544
MetroPCS Communications* 14,200 506
NeuStar, Cl A* 39,697 1,154
NTELOS Holdings 17,600 444
Premiere Global Services* 41,600 527
Qwest Communications International* 153,678 1,581
SBA Communications, Cl A* 156,508 5,029
Syniverse Holdings* 18,600 238
Time Warner Telecom, Cl A* 700 14
Vonage Holdings* 22,500 68
--------------
30,704
--------------
UTILITIES -- 4.2%
AES* 8,703 207
AGL Resources 115,302 4,919
Alliant Energy 89,241 3,855
Atmos Energy 83,932 2,719
Avista 28,900 677
Black Hills 90,175 3,696
Centerpoint Energy 66,000 1,249
Consolidated Edison 30,607 1,494
El Paso Electric* 23,500 640
Empire District Electric 29,289 691
Energen 66,154 3,898
Equitable Resources 44,476 2,314
Idacorp 4,990 166
Integrys Energy Group 65,113 3,640
Laclede Group 22,700 707
MDU Resources Group 55,187 1,673
New Jersey Resources 27,463 1,504
Nicor 74,300 3,488
NiSource 22,559 501
Northeast Utilities 12,171 370
OGE Energy 72,691 2,684
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Oneok 50,705 $ 2,743
Ormat Technologies (B) 56,300 2,049
Pepco Holdings 78,500 2,344
Pinnacle West Capital 60,765 2,821
PNM Resources (B) 117,360 3,463
Portland General Electric 15,996 469
Progress Energy 20,444 1,024
Puget Energy 107,818 2,718
Reliant Energy* 96,909 2,483
SCANA 53,086 2,250
South Jersey Industries 1,443 56
Southern Union 29,800 1,037
Southwest Gas 33,172 1,266
TECO Energy 9,348 164
UGI 61,311 1,766
Unisource Energy 5,417 198
Vectren 94,462 2,736
Westar Energy 110,219 2,922
WGL Holdings 48,686 1,717
Wisconsin Energy 61,390 2,973
Xcel Energy 20,372 467
--------------
78,758
--------------
Total Common Stock
(Cost $1,491,604) ($ Thousands) 1,782,610
--------------
EXCHANGE TRADED FUNDS -- 0.0%
iShares Russell 2000 Index Fund* 6,929 584
iShares Russell Midcap Value
Index Fund* 1,523 248
--------------
Total Exchange Traded Funds
(Cost $781) ($ Thousands) 832
--------------
Number of
Warrants
---------
WARRANTS -- 0.0%
Parkervision, Deal #2 (F) (G) (H) (I)* 14,500 49
Parkervision, Deal #3 (F) (G) (H) (I)* 6,250 20
Rentech, Expires 04/25/12* 13,800 11
--------------
Total Warrants
(Cost $13) ($ Thousands) 80
--------------
CASH EQUIVALENTS -- 12.8%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.330%**++ 61,006,292 61,006
SEI Liquidity Fund L.P.,
5.490% (C)**++ 177,426,925 177,427
--------------
Total Cash Equivalents
(Cost $238,433) ($ Thousands) 238,433
--------------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 107
SCHEDULE OF INVESTMENTS
Small/Mid Cap Equity Fund (Concluded)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS (C) -- 6.8%
FINANCIALS -- 6.8%
American General Finance (A) (E)
5.370%, 06/15/07 $ 9,528 $ 9,528
Bear Stearns EXL (E)
5.360%, 06/15/07 11,697 11,697
Countrywide Financial MTN (E)
5.430%, 06/27/07 3,943 3,943
Countrywide Financial MTN, Ser A (E)
5.440%, 08/06/07 9,857 9,857
Irish Life & Permanent MTN,
Ser X (A) (E)
5.360%, 06/21/07 8,740 8,739
Jackson National Life Funding (A) (E)
5.320%, 06/01/07 14,457 14,457
Morgan Stanley EXL (E)
5.400%, 06/04/07 2,300 2,300
Morgan Stanley EXL, Ser S (E)
5.360%, 06/04/07 3,286 3,286
Nationwide Building Society (A) (E)
5.410%, 06/28/07 3,614 3,614
5.370%, 06/07/07 6,571 6,571
Northern Rock (A) (E)
5.380%, 06/04/07 6,769 6,769
Premium Asset Trust,
Ser 2004-10 (A) (E)
5.380%, 06/15/07 9,200 9,200
SLM MTN (E)
5.320%, 06/15/07 7,229 7,229
Skandinav Enskilda Bank (A) (E)
5.320%, 06/18/07 7,229 7,228
Stanfield Victoria LLC MTN (A)
5.450%, 06/11/07 6,571 6,571
UniCredito Italiano Bank (A) (E)
5.350%, 07/11/07 16,428 16,427
--------------
Total Corporate Obligations
(Cost $127,416) ($ Thousands) 127,416
--------------
COMMERCIAL PAPER (C) (D) -- 2.6%
FINANCIALS -- 2.6%
KKR Pacific Funding Trust
5.310%, 06/15/07 11,894 11,870
OCALA Funding
5.310%, 06/19/07 4,929 4,915
Rhineland Funding Capital
5.280%, 06/06/07 2,415 2,413
Thornburg Mortgage Capital Resources
5.290%, 06/07/07 13,143 13,131
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Valour Bay Capital LLC
5.320%, 06/11/07 $ 5,364 $ 5,356
5.320%, 06/13/07 9,857 9,840
--------------
Total Commercial Paper
(Cost $47,525) ($ Thousands) 47,525
--------------
CERTIFICATES OF DEPOSIT (C) -- 0.5%
Barclays Bank (E)
5.440%, 06/11/07 3,286 3,286
CC USA MTN (A)
5.520%, 06/18/07 6,571 6,571
--------------
Total Certificates of Deposit
(Cost $9,857) ($ Thousands) 9,857
--------------
MASTER NOTE (C) (D) -- 0.4%
Bear Stearns
5.430%, 06/01/07 6,572 6,572
--------------
Total Master Note
(Cost $6,572) ($ Thousands) 6,572
--------------
ASSET-BACKED SECURITY (A) (C) (E) -- 0.3%
MORTGAGE RELATED SECURITIES -- 0.3%
Duke Funding, Ser 2004-6B, Cl A1S1
5.420%, 07/09/07 4,929 4,929
--------------
Total Asset-Backed Security
(Cost $4,929) ($ Thousands) 4,929
--------------
U.S. TREASURY OBLIGATION (D) (J) -- 0.1%
U.S. Treasury Bill
4.813%, 08/23/07 1,732 1,714
--------------
Total U.S. Treasury Obligation
(Cost $1,713) ($ Thousands) 1,714
--------------
REPURCHASE AGREEMENTS (C) (K) -- 4.3%
Barclays Capital
5.280%, dated 05/31/07, to be
repurchased on 06/01/07, repurchase
price $2,265,285 (collateralized by a
U.S. Government obligation, par value
$2,310,493, 0.000%, 06/01/07,
total market value $2,310,262) 2,265 2,265
Deutsche Bank
5.300%, dated 05/31/07, to be
repurchased on 06/01/07, repurchase
price $6,467,441 (collateralized by
U.S. Government obligations, ranging in
par value $35,748-$2,129,123,
4.000%-6.000%, 02/01/08-11/04/20,
total market value $6,595,842) 6,466 6,466
- --------------------------------------------------------------------------------
108 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Lehman Brothers
5.300%, dated 05/31/07, to be
repurchased on 06/01/07, repurchase
price $72,295,685 (collateralized by
U.S. Government obligations, ranging in
par value $15,272,055-$125,162,276,
3.875%-8.875%, 06/15/08-03/15/31,
total market value $73,730,821) $ 72,285 $ 72,285
--------------
Total Repurchase Agreements
(Cost $81,016) ($ Thousands) 81,016
--------------
Total Investments -- 123.3%
(Cost $2,009,859) ($ Thousands) $ 2,300,984
==============
A summary of the open future contracts held by the Fund at May 31, 2007, is as
follows (see Note 2 in Notes to Financial Statements):
- -------------------------------------------------------------------------------
NUMBER OF UNREALIZED
TYPE OF CONTRACTS EXPIRATION APPRECIATION
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- -------------------------------------------------------------------------------
Russell 2000 Index E-Mini 367 Jun-2007 $ 1,591
S&P Mid 400 Index E-Mini 308 Jun-2007 1,778
--------------
$ 3,369
==============
A summary of the outstanding forward foreign currency contracts held by the Fund
at May 31, 2007 is as follows, (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
CURRENCY TO CURRENCY TO UNREALIZED
MATURITY DELIVER RECEIVE DEPRECIATION
DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
6/13/07 CAD 254 USD 235 $ (3)
==============
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
Percentages are based on Net Assets of $1,865,746 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of May 31, 2007.
+ Real Estate Investments Trust
++ Affiliated security
(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 May 31,
2007 (see Note 9). The total value of securities on loan at May 31, 2007
was $442,451 ($ Thousands).
(C) This security was purchased with cash collateral held from securities on
loan (see Note 9). The total value of such securities as of May 31, 2007
was $454,742 ($ 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 May 31, 2007.
(F) Securities considered illiquid. The total value of such securities as of
May 31, 2007 was $3,796 ($ Thousands) and represents 0.25% of Net Assets.
(G) Security fair valued using methods determined in good faith by the
Valuation Committee of the Board of Trustees. The total value of such
securities as of May 31, 2007 was $3,796 ($ Thousands) and represents
0.25% of Net Assets.
(H) This security considered restricted. The total value of such securities as
of May 31, 2007 was $3,796 ($ Thousands) and represented 0.25% 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
CAD -- Canadian Dollar
Cl -- Class
EXL -- Extendable Maturity
LLC -- Limited Liability Company
LP -- Limited Partnership
MTN -- Medium Term Note
PIPE -- Private Investment in Public Entity
Ser -- Series
USD -- U.S. Dollar
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 109
SCHEDULE OF INVESTMENTS
International Equity Fund
May 31, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)++:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
25.0% Financials
10.3% Short-Term Investments
9.2% Consumer Discretionary
8.7% Materials
8.5% Industrials
5.0% Energy
5.0% Telecommunication Services
3.9% Consumer Staples
3.9% U.S. Government Agency Mortgage-Backed Obligations
3.9% Health Care
3.9% Asset-Backed Securities
3.8% Information Technology
3.2% Utilities
2.2% Time Deposits
1.7% Commercial Paper
0.7% U.S. Treasury Obligations
0.6% U.S. Government Agency Obligations
0.3% Certificates of Deposit
0.2% Master Note
0.0% Exchanged Traded Funds
++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 -- 5.1%
ABB Grain 700 $ 5
Adelaide Brighton 9,500 29
AGL Energy 200 3
Amcor 95,281 587
AMP 415,300 3,475
Australia & New Zealand
Banking Group 120,683 2,881
Australian Infrastructure Fund 256,100 632
Australian Stock Exchange (B) 4,229 170
Babcock & Brown 11,650 310
BHP Billiton 65,219 1,702
BHP Billiton ADR 2,800 147
BlueScope Steel 205,000 1,878
Boral 30,100 220
Brambles* 126,010 1,336
Caltex Australia 18,857 400
Challenger Financial Services
Group (B) 404,317 1,974
Cochlear 9,985 514
Coles Myer 114,200 1,562
Commonwealth Bank of Australia 58,452 2,680
CSL 28,247 2,085
Downer EDI 151,348 936
Felix Resources 8,700 41
Foster's Group 137,400 723
Goodman Fielder 377,449 797
GPT Group 131,313 559
GUD Holdings 71,300 538
Independence Group 10,000 66
ING Industrial Fund (B) 220,852 444
Insurance Australia Group 87,300 431
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
John Fairfax Holdings 234,000 $ 943
Jubilee Mines (B) 178,800 2,575
Leighton Holdings 48,700 1,794
Lend Lease 45,257 745
Macquarie Airports (B) 1,237,404 4,260
Macquarie Bank 18,039 1,308
Macquarie Infrastructure Group 1,245,895 3,815
MFS (B) 164,300 861
Minara Resources 494,200 3,366
Mincor Resources 15,300 53
Mirvac Group 107,458 511
Multiplex Group 328,900 1,339
National Australia Bank 106,481 3,749
Newcrest Mining 55,500 1,011
OneSteel (B) 29,400 161
Origin Energy 1,900 14
Pacific Brands 1,194,562 3,421
PaperlinX 556,400 1,902
Peptech 271,900 343
Perilya 12,800 44
Qantas Airways (B) 219,315 1,035
QBE Insurance Group (B) 354,471 9,159
Rinker Group 30,330 482
Rio Tinto (B) 16,200 1,280
Sally Malay Mining 19,500 78
Santos 12,625 140
Seven Network (B) 95,900 911
Sims Group 11,600 261
Southern Cross Broadcasting
Australia 38,800 539
SP AusNet 1,200 2
Specialty Fashion Group 283,200 357
St George Bank (B) 17,800 550
TABCORP Holdings (B) 40,100 589
Tattersall's 237,600 936
Telstra (B) 370,706 1,491
Telstra (Installment Receipts) 1,249,500 3,506
Toll Holdings 37,007 708
West Australian Newspapers
Holdings 123,800 1,481
Westfield Group 33,100 588
Westpac Banking 65,195 1,406
Woolworths 198,727 4,525
WorleyParsons (B) 48,912 1,206
Zinifex 39,900 581
--------------
91,151
--------------
AUSTRIA -- 0.6%
Agrana Beteiligungs 955 109
Boehler-Uddeholm (B) 7,000 680
Conwert Immobilien Invest* 16,021 334
IMMOFINANZ* 53,900 870
OMV (B) 43,900 2,914
- --------------------------------------------------------------------------------
110 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Raiffeisen International Bank
Holding (B) 3,784 $ 592
Telekom Austria (B) 64,000 1,752
Voestalpine (B) 53,707 3,900
--------------
11,151
--------------
BELGIUM -- 1.3%
AGFA-Gevaert 17,000 444
Belgacom 33,650 1,531
Cofinimmo+ 101 20
Compagnie Maritime Belge 25,984 1,983
Cumerio 23,400 786
Delhaize Group (B) 9,900 945
Dexia (B) 43,140 1,386
Elia System Operator 355 14
Fortis 128,994 5,360
Fortis (Netherlands Line) 105,230 4,376
Gimv 10,100 727
InBev 16,276 1,371
KBC Groep 10,800 1,490
Solvay (B) 11,565 1,847
UCB 20,357 1,190
--------------
23,470
--------------
BERMUDA -- 0.1%
Frontline (B) 26,800 1,248
--------------
BRAZIL -- 0.1%
Cia Vale do Rio Doce ADR 24,700 1,122
Gerdau ADR 38,925 885
Uniao de Bancos Brasileiros ADR 7,200 809
--------------
2,816
--------------
CANADA -- 1.8%
Alcan 25,200 2,171
Bombardier, Cl B 158,300 788
Cameco 53,531 2,776
Canadian Natural Resources 27,300 1,815
Eastern Platinum 460,550 1,068
EnCana 31,200 1,912
Gerdau Ameristeel 86,800 1,345
Kinross Gold 253,150 3,379
Manulife Financial 10,500 392
Methanex 27,600 720
Nexen 1 --
Potash Saskatchewan 44,300 3,143
Research In Motion 22,060 3,664
Rogers Communications, Cl B 112,990 4,687
Suncor Energy (B) 9,500 825
Teck Cominco, Cl B 84,000 3,551
TELUS 16,892 1,018
--------------
33,254
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CHINA -- 0.1%
China Petroleum & Chemical, Cl H 1,106,000 $ 1,235
People's Food Holdings 5,000 6
--------------
1,241
--------------
DENMARK -- 1.0%
AP Moeller - Maersk, A Shares 37 441
AP Moeller - Maersk, B Shares 192 2,345
Carlsberg, Cl B (B) 31,006 3,764
Dampskibsselskabet Torm 28,000 1,108
Danske Bank 81,854 3,567
East Asiatic (B) 6,800 381
H Lundbeck 5,641 141
Jyske Bank* 4,275 327
Novo-Nordisk, Cl B 26,000 2,738
Sydbank 5,006 272
Vestas Wind Systems 38,300 2,691
--------------
17,775
--------------
FINLAND -- 1.6%
Cargotec, Cl B 8,600 542
Elisa, Cl A 30,918 893
Huhtamaki 2,265 41
Kemira 19,200 432
Kemira GrowHow 163,400 2,639
Konecranes 8,336 351
M-real, Cl B 160,200 1,089
Metso 23,000 1,279
Neste Oil (B) 43,666 1,650
Nokia 163,646 4,481
Nokia ADR 4,200 115
Nokian Renkaat 17,400 606
OKO Bank, Cl A 29,519 596
Orion, Cl B 6,380 158
Outokumpu 50,929 1,826
Rautaruukki 64,380 3,985
Sampo, Cl A 50,367 1,593
Sponda 68,000 1,107
Stora Enso, Cl R 49,513 945
UPM-Kymmene 119,100 3,087
Wartsila, Cl B 8,400 557
--------------
27,972
--------------
FRANCE -- 9.8%
Accor (B) 16,286 1,515
Air France-KLM 78,106 3,989
Air Liquide (B) 6,281 1,491
Atos Origin* 1,773 109
AXA (B) 73,184 3,200
BNP Paribas (B) 125,590 15,240
Bouygues (B) 54,147 4,780
Business Objects 5,462 226
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 111
SCHEDULE OF INVESTMENTS
International Equity Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Capgemini (B) 94,825 $ 7,227
Carrefour (B) 14,600 1,064
Casino Guichard Perrachon (B) 4,833 511
Christian Dior 11,200 1,466
Cie de Saint-Gobain (B) 40,288 4,418
Ciments Francais (B) 4,100 973
Club Mediterranee* 1,722 115
Compagnie Generale des
Etablissements Michelin, Cl B (B) 35,613 4,666
Credit Agricole (B) 155,792 6,432
Dassault Systemes (B) 8,055 489
Financiere de L'Odet 552 250
France Telecom (B) 254,798 7,828
Groupe Danone (B) 50,743 7,950
Havas 50,375 303
L'Oreal (B) 19,229 2,285
Lafarge (B) 22,016 3,810
Lagardere S.C.A. 4,870 407
Natixis 3,022 79
Nexans (B) 3,400 548
Nexity 1,328 120
PagesJaunes Groupe 14,600 312
Pernod-Ricard 9,200 2,021
Peugeot (B) 54,133 4,290
Publicis Groupe 9,500 431
Renault (B) 44,323 6,337
Rhodia* 740,800 3,090
Sanofi-Aventis (B) 181,190 17,472
Sanofi-Aventis (Germany Line) 822 79
Schneider Electric 23,094 3,334
SCOR 1 --
Sequana Capital 334 10
Societe Generale (B) 65,551 12,772
Sodexho Alliance 13,500 1,020
Technip 6,800 527
Thales (B) 5,401 331
Thomson 37,800 729
Total (B) 228,606 17,227
Unibail+ (B) 9,500 2,726
Vallourec 13,225 4,233
Veolia Environnement (B) 20,800 1,741
Vinci (B) 94,570 7,483
Vivendi (B) 174,193 7,590
--------------
175,246
--------------
GERMANY -- 7.9%
Allianz 72,965 16,200
Altana (B) 11,100 271
BASF 69,863 8,653
Bayer (B) 164,422 11,835
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Bayerische Motoren Werke 94,280 $ 6,314
Commerzbank (B) 46,245 2,275
Continental 6,788 960
DaimlerChrysler 119,984 11,003
Deutsche Bank (B) 71,692 10,907
Deutsche Beteiligungs 23,100 836
Deutsche Boerse 6,800 1,610
Deutsche Lufthansa 128,700 3,729
Deutsche Telekom 69,600 1,291
E.ON (B) 84,854 13,951
Fresenius Medical Care (B) 28,300 4,154
Heidelberger Druckmaschinen 6,518 321
Hochtief 9,100 1,055
Hypo Real Estate Holding 3,422 236
Infineon Technologies (B)* 314,450 4,875
MAN 8,192 1,189
Metro (B) 10,000 809
MTU Aero Engines Holding 1,132 70
Muenchener Rueckversicherungs 34,826 6,556
Norddeutsche Affinerie 45,800 1,682
RWE 33,231 3,765
Salzgitter (B) 24,390 4,675
SAP 25,648 1,228
Siemens 73,050 9,627
Software 9,200 877
Suedzucker (B) 67,352 1,464
ThyssenKrupp 63,961 3,737
TUI (B) 53,400 1,452
Volkswagen 12,440 1,888
Vossloh 15,500 1,806
Wincor Nixdorf 4,303 428
--------------
141,729
--------------
GREECE -- 0.2%
Coca Cola Hellenic Bottling* 17,276 800
Cosmote Mobile Communications 7,677 247
Hellenic Telecommunications
Organization 39,000 1,244
OPAP 26,852 1,026
Titan Cement 3,568 211
--------------
3,528
--------------
GUERNSEY -- 0.0%
Mapeley 756 51
--------------
HONG KONG -- 1.8%
Bank of East Asia 220,900 1,290
BOC Hong Kong Holdings 320,900 763
Cheung Kong Holdings 230,300 2,981
China Mobile Hong Kong 626,900 5,859
China Netcom Group 328,000 836
- --------------------------------------------------------------------------------
112 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
China Oriental Group 353,000 $ 130
Chinese Estates Holdings 667,700 1,074
CLP Holdings 258,500 1,822
Esprit Holdings 28,000 345
Great Eagle Holdings 61,000 234
Guoco Group 19,000 264
Hang Lung Group 80,000 321
Hang Lung Properties 412,800 1,300
Henderson Land Development 68,000 470
Hong Kong & China Gas (B) 193,600 405
Hong Kong Exchanges and Clearing 19,500 218
Hongkong & Shanghai Hotels 380,300 620
HongKong Electric Holdings 240,200 1,241
Hopewell Holdings 191,300 838
Hopson Development Holdings 44,000 116
Jardine Strategic Holdings 3,000 43
Kerry Properties (B) 20,500 126
Li & Fung 381,200 1,279
Miramar Hotel & Investment 3,000 5
MTR 548,400 1,337
New World China Land 11,600 9
New World Development 437,800 1,067
Orient Overseas International 7,000 70
Pacific Century Premium
Developments 261,000 82
PCCW 235,000 148
Sino Land 333,189 729
Swire Pacific, Cl A 234,600 2,640
Transport International Holdings 25,200 129
USI Holdings 22,000 14
Vtech Holdings 62,100 453
Wharf Holdings 381,100 1,539
Wheelock 309,300 761
--------------
31,558
--------------
INDIA -- 0.1%
Canara Bank 100,000 601
Infosys Technologies ADR 3,400 168
Punjab National Bank 46,000 607
--------------
1,376
--------------
IRELAND -- 0.4%
Allied Irish Banks 31,649 955
Bank of Ireland 10,146 219
CRH 72,102 3,503
DCC 26,900 930
Depfa Bank 41,500 765
Dragon Oil 7,826 27
Fyffes 30,918 35
Total Produce* 35,854 37
--------------
6,471
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
ISRAEL -- 0.0%
Teva Pharmaceutical
Industries ADR 12,600 $ 494
--------------
ITALY -- 3.8%
Aedes 57,400 504
AEM 351,700 1,346
Arnoldo Mondadori Editore (B) 34,000 351
Autostrade (B) 142,250 4,795
Banca Intesa (B) 299,567 2,286
Banche Popolari Unite (B) 7,138 205
Banco Popolare di Verona
e Novara (B) 41,306 1,255
Beni Stabili 1,209,400 2,033
Buzzi Unicem (B) 50,900 1,772
Cementir 40,000 581
Danieli 31,500 771
Ducati Motor Holding 704,700 1,496
Edison 10,266 33
Enel 277,407 3,156
ENI (B) 302,821 10,709
Fiat (B) 273,682 7,837
Fiat RNC 79,960 2,037
Finmeccanica 37,800 1,189
Fondiaria-Sai (B) 18,900 972
IFIL - Investments 487,643 5,397
Immobiliare Grande Distribuzione 114,900 591
Immobiliare Lombarda 95,852 28
IMMSI (B) 271,400 851
Indesit 42,000 998
Iride 9,076 34
Italcementi (B) 35,800 1,162
Italmobiliare 6,600 932
KME Group 337,400 323
MARR 49,900 533
Mediaset 7,629 82
Pirelli & C 480,000 572
Telecom Italia 671,626 1,947
Telecom Italia Media (B) 557,730 229
Telecom Italia RNC 493,477 1,151
UniCredito Italiano (B) 1,008,083 9,462
--------------
67,620
--------------
JAPAN -- 17.7%
ADEKA 53,400 574
Advantest (B) 12,000 512
Aeon 144,300 2,695
Aisin Seiki 36,200 1,221
All Nippon Airways 12,000 46
Alps Electric 1,000 10
Amada 113,200 1,426
AOC Holdings 41,400 565
Aoyama Trading 25,600 773
Arnest One 7,600 73
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 113
SCHEDULE OF INVESTMENTS
International Equity Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Asahi Breweries 23,700 $ 378
Asahi Glass 45,000 599
Astellas Pharma 5,300 235
Atsugi 762,600 1,208
Autobacs Seven 29,800 961
Bank of Kyoto (B) 82,500 963
Bank of the Ryukyus 44,200 838
BML 300 5
Bridgestone 46,000 899
Canon 91,600 5,384
Cawachi 1,700 49
Chiyoda 4,000 80
Chugoku Electric Power 1,000 21
CMK (B) 114,700 1,183
Coca-Cola West Holdings (B) 26,900 568
COMSYS Holdings 34,000 393
Cosmo Oil 330,000 1,582
Dai Nippon Printing (B) 9,000 132
Daicel Chemical Industries 8,000 52
Daiei 1,850 20
Daifuku 12,040 156
Dainippon Ink and Chemicals 86,000 315
Dainippon Screen Manufacturing 2,000 15
Dainippon Sumitomo Pharma 35,000 365
Daishi Bank 1,000 4
Daito Trust Construction 6,100 323
Daiwa House Industry 36,000 539
Daiwa Securities Group 82,000 943
Denki Kagaku Kogyo 37,000 168
Denso 17,400 610
EDION 22,900 283
Eighteenth Bank 21,000 86
Eisai 15,400 716
FamilyMart 11,600 295
Fanuc 27,700 2,642
Fields 27 33
Fuji Electric Holdings 75,000 354
Fuji Fire & Marine Insurance 52,000 204
Fuji Heavy Industries 83,000 399
Fuji Television Network 219 446
FUJIFILM Holdings 67,500 2,793
Fujikura 47,000 324
Fujitsu 124,000 846
Fukuyama Transporting 154,100 635
Glory 2,800 57
Godo Steel 2,000 9
Gunma Bank 335,200 2,309
Gunze 147,800 857
Hakuhodo DY Holdings 1,140 77
Hankyu Holdings 206,000 1,179
Heiwa 12,200 146
Hirose Electric 3,300 428
HIS 3,600 102
Hitachi 418,100 3,068
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Hitachi Capital 15,600 $ 262
Hitachi Construction Machinery 12,200 408
Hitachi High-Technologies 900 23
Hokkaido Electric Power 84,000 2,000
Honda Motor 111,000 3,900
House Foods 4,200 68
Hoya 29,800 964
Idemitsu Kosan 5,800 666
Ines 71,500 498
Inpex Holdings 177 1,555
Itochu 129,100 1,408
Japan Aviation Electronics Industry 1,000 12
Japan Steel Works (B) 415,800 5,939
Japan Tobacco 1,131 5,886
Japan Wool Textile 27,200 226
JFE Holdings 112,100 6,810
Joshin Denki 62,700 384
Joyo Bank 41,000 264
JS Group 25,800 541
Kamigumi 34,000 288
Kaneka 33,000 285
Kansai Electric Power 101,900 2,560
Kawasaki Kisen Kaisha (B) 44,000 533
KDDI 207 1,767
Keyence 1,900 406
Kirin Brewery 39,000 603
Kobe Steel 244,000 837
Komatsu 82,500 2,188
Komori 23,000 546
Konica Minolta Holdings 57,000 774
Kumagai Gumi 258,400 488
Kurabo Industries 87,300 256
Kyocera 5,100 501
Kyushu Electric Power 85,900 2,327
Maeda (B) 4,000 18
Maeda Road Construction 11,000 94
Makita 26,300 1,092
Marubeni (B) 89,000 622
Maruichi Steel Tube 9,500 296
Matsushita Electric Industrial 130,000 2,743
Millea Holdings 64,300 2,555
Mitsubishi 352,600 8,582
Mitsubishi Chemical Holdings 196,500 1,718
Mitsubishi Electric 61,000 557
Mitsubishi Estate 237,000 7,276
Mitsubishi Gas Chemical 76,000 634
Mitsubishi Heavy Industries 282,900 1,716
Mitsubishi Materials 103,000 542
Mitsubishi Paper Mills 360,800 770
Mitsubishi UFJ Financial Group 477 5,477
Mitsubishi UFJ Securities 51,000 586
Mitsuboshi Belting 48,400 284
Mitsui 254,000 5,004
Mitsui Chemicals 320,000 2,309
- --------------------------------------------------------------------------------
114 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Mitsui Mining & Smelting 72,000 $ 335
Mitsui OSK Lines 371,000 5,080
Mitsui Sumitomo Insurance 141,800 1,769
Mitsumi Electric 3,000 95
Miyazaki Bank 16,000 68
Mizuho Financial Group 518 3,661
Murata Manufacturing 10,480 740
Nanto Bank 14,000 71
NEC 165,000 840
NGK Spark Plug 32,100 515
Nichicon (B) 71,100 1,051
Nikon 79,700 2,015
Nintendo 19,145 6,687
Nippo 82,300 649
Nippon Beet Sugar Manufacturing 175,500 458
Nippon Electric Glass 40,700 649
Nippon Express 17,000 101
Nippon Konpo Unyu Soko 68,000 899
Nippon Mining Holdings 378,900 3,328
Nippon Oil 153,000 1,299
Nippon Sharyo 225,600 502
Nippon Shokubai 26,000 231
Nippon Steel 623,000 4,352
Nippon Telegraph & Telephone 1,516 7,131
Nippon Yusen KK 181,000 1,669
Nissan Motor 529,860 5,890
Nissan Shatai 17,000 93
Nisshinbo Industries 108,000 1,489
Nomura Holdings 29,400 601
NSK 75,000 768
NTT Data 302 1,440
NTT DoCoMo 737 1,252
NTT Urban Development 419 1,011
Obayashi 90,000 501
Odakyu Electric Railway (B) 81,800 510
Okasan Holdings (B) 22,000 150
Okaya 500 7
Oki Electric Industry (B) 467,000 859
Okumura 171,100 850
Ono Pharmaceutical 11,700 670
Onward Kashiyama 19,000 248
ORIX 35,480 9,495
Osaka Gas 109,000 405
Rakuten 508 173
Ricoh 55,000 1,196
Riso Kagaku 3,300 59
Rohm 7,000 629
Sankyo 12,500 538
Sanwa Shutter 26,000 152
Sega Sammy Holdings 17,600 324
Seikagaku 1,000 12
Seiko Epson 29,200 844
Seino Transportation 4,000 39
Sekisui House 49,000 721
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
SFCG (B) 4,200 $ 796
Sharp 157,000 3,003
Shimamura 3,800 408
Shin-Etsu Chemical 22,500 1,507
Shinsei Bank 222,000 973
Showa Shell Sekiyu 58,600 709
SMC 9,900 1,245
Softbank (B) 241,600 5,325
Sojitz 98,900 429
Sompo Japan Insurance 97,200 1,219
Sony 118,000 6,790
Stanley Electric 36,400 795
Sumco 112,900 5,431
Sumitomo 183,200 3,324
Sumitomo Chemical 173,000 1,145
Sumitomo Electric Industries 1,500 23
Sumitomo Heavy Industries 31,000 352
Sumitomo Metal Industries 348,600 1,886
Sumitomo Metal Mining 61,000 1,390
Sumitomo Mitsui Financial Group 1,145 11,091
Sumitomo Realty & Development 48,000 1,813
Sumitomo Wiring Systems 5,000 117
Suzuki Motor 97,100 2,710
Taiheiyo Cement 40,000 183
Taisho Pharmaceutical (B) 34,000 656
Takeda Pharmaceutical 15,000 1,006
Takefuji 32,990 1,216
Tamura Taiko Holdings 89,500 253
Tanabe Seiyaku 12,000 155
TDK 25,300 2,295
Teijin 151,000 806
TKC 3,300 56
Toagosei 366,600 1,390
Toda (B) 374,200 2,135
Tokai Rika 7,900 205
Tokushima Bank 5,000 34
Tokyo Electric Power 181,100 6,021
Tokyo Electron (B) 37,100 2,665
Tokyo Gas 123,100 606
Tokyu 83,400 574
Tokyu Land 59,200 731
Toppan Printing 65,000 685
Toshiba (B) 551,400 4,119
Toshiba TEC 4,000 23
Tosoh 49,000 251
Towa Real Estate Development 13,000 52
Toyo Seikan Kaisha 42,400 818
Toyota Auto Body 12,000 205
Toyota Industries 14,900 674
Toyota Motor 263,900 15,815
Trend Micro 30,000 988
Trusco Nakayama 1,100 22
TV Asahi 106 215
UNY 38,000 424
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 115
SCHEDULE OF INVESTMENTS
International Equity Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Ushio 24,600 $ 510
West Japan Railway 170 790
Yahoo! Japan (B) 5,287 1,810
Yamada Denki 17,370 1,634
Yamaha 29,300 618
Yamaha Motor 30,100 766
Yamatane 284,100 399
Yamato Transport 62,400 905
Yamazaki Baking (B) 12,000 108
Yaskawa Electric 28,000 304
Yokogawa Bridge 61,000 333
Yokohama Rubber 172,200 1,241
--------------
316,517
--------------
LUXEMBOURG -- 0.2%
Colt Telecom Group* 28,085 86
Oriflame Cosmetics SDR 4,600 241
SES Global FDR 81,800 1,783
SES Global FDR (Paris Exchange) 36,186 789
--------------
2,899
--------------
MEXICO -- 0.7%
America Movil ADR, Ser L 132,455 8,020
Fomento Economico Mexicano ADR (B) 112,780 4,493
Telefonos de Mexico ADR, Ser L 13,100 530
--------------
13,043
--------------
NETHERLANDS -- 4.6%
ABN AMRO Holding (B) 71,003 3,404
Aegon 113,686 2,331
Akzo Nobel 104,871 8,559
ASML Holding* 9,843 255
Buhrmann (B) 109,820 1,433
European Aeronautic Defense
and Space 34,900 1,098
Fugro 11,738 688
Heineken Holding 13,736 695
ING Groep 404,230 18,010
Koninklijke DSM 19,200 954
Koninklijke Wessanen 3,146 51
Mittal Steel 108,615 6,523
OPG Groep 27,200 983
Randstad Holdings 10,544 859
Reed Elsevier 9,657 192
Royal Dutch Shell, Cl A 353,019 13,144
Royal Dutch Shell, Cl A (GBP) (B) 174,409 6,493
Royal Dutch Shell, Cl B 180,394 6,808
Royal KPN 63,813 1,083
Unilever (B) 230,032 6,863
Vedior 3,073 91
Wolters Kluwer (B) 58,400 1,819
--------------
82,336
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
NEW ZEALAND -- 0.3%
Air New Zealand 374,000 $ 819
Contact Energy 30,949 202
Fisher & Paykel Appliances Holdings 322,900 926
Infratil 83,200 396
Kiwi Income Property Trust 328,400 388
Macquarie Goodman Property Trust 322,800 352
Telecom of New Zealand 536,236 1,918
Vector 34,418 73
--------------
5,074
--------------
NORWAY -- 1.3%
Cermaq (B) 33,600 576
DnB 122,365 1,650
Ementor* 165,900 1,402
Marine Harvest* 679,300 752
Norske Skogindustrier 29,828 447
Orkla (B) 127,974 2,258
Renewable Energy 4,800 152
Schibsted 44,400 2,133
Sparebanken Nord-Norge 27,200 676
Statoil (B) 23,400 639
Storebrand 66,100 1,040
Tandberg 150,700 3,395
Telenor (B) 95,200 1,849
Yara International (B) 215,637 6,243
--------------
23,212
--------------
PORTUGAL -- 0.2%
Banco BPI 48,675 424
Banco Comercial Portugues 173,796 882
Banco Espirito Santo 39,292 900
Cimpor Cimentos de Portugal 5,652 56
Energias de Portugal 403,186 2,295
Sonae Industria 1,684 22
--------------
4,579
--------------
SINGAPORE -- 1.8%
Allgreen Properties 1,404,400 1,688
CapitaCommercial Trust+ (B) 804,500 1,567
CapitaLand 248,000 1,343
Cerebos Pacific 3,000 7
China Aviation Oil Singapore 25,000 32
City Developments 135,400 1,529
Cosco Singapore 1,406,900 2,469
DBS Group Holdings 364,300 5,792
Flextronics International 600 7
Fraser and Neave 86,000 326
Guocoland 13,000 42
Haw Par 4,000 20
Ho Bee Investment 26,000 38
Hong Leong Finance 186,400 498
- --------------------------------------------------------------------------------
116 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Hotel Grand Central 34,350 $ 24
Hotel Plaza 17,000 23
Jardine Cycle & Carriage 30,000 276
K1 Ventures 224,000 45
Keppel Land 532,200 3,252
Kim Eng Holdings 408,600 475
Mapletree Logistics Trust+ 1,309,900 1,252
MCL Land 6,000 11
Metro Holdings* 16,000 11
NatSteel 10,000 10
Neptune Orient Lines 167,000 501
Olam International 880,500 1,939
Oversea-Chinese Banking 280,500 1,748
SembCorp Industries 26,000 95
Singapore Airlines 26,000 317
Singapore Exchange 156,000 784
Singapore Petroleum 80,000 277
Singapore Press Holdings 62,000 179
Singapore Technologies Engineering 135,000 311
Singapore Telecommunications* 538,950 1,263
SP Chemicals 48,000 38
United Overseas Bank 136,000 2,161
UOB-Kay Hian Holdings 20,000 21
Wheelock Properties S 32,000 70
Wing Tai Holdings 691,800 1,588
--------------
32,029
--------------
SOUTH AFRICA -- 0.2%
Harmony Gold Mining* 133,700 1,952
Harmony Gold Mining ADR (B)* 7,200 107
Sanlam 379,530 1,227
Sasol 28,576 1,032
--------------
4,318
--------------
SOUTH KOREA -- 0.7%
Honam Petrochemical 12,900 1,396
Hyundai Mobis 8,020 727
Industrial Bank of Korea 26,750 537
Kookmin Bank 17,670 1,601
POSCO 700 336
Samsung Electronics 1,213 699
Samsung Electronics GDR 3,542 1,015
Shinhan Financial Group 84,500 5,215
SK Telecom 360 78
SK Telecom ADR (B) 31,000 833
--------------
12,437
--------------
SPAIN -- 3.0%
Acerinox (B) 15,786 402
ACS Actividades Construcciones y
Servicios 112,699 7,549
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Banco Bilbao Vizcaya
Argentaria (B) 208,703 $ 5,274
Banco Popular Espanol (B) 51,831 1,038
Banco Santander Central
Hispano (B) 600,801 11,545
Cementos Portland Valderrivas 3,200 449
Ebro Puleva 40,002 883
Enagas 11,900 301
Endesa (B) 8,048 433
Gas Natural SDG (B) 92,995 5,485
Grupo Ferrovial 8,500 903
Iberdrola 66,960 3,850
Inditex (B) 9,179 580
Repsol (B) 219,030 8,032
Sacyr Vallehermoso (B) 7,888 452
Sol Melia (B) 25,200 598
Telefonica (B) 304,154 6,913
--------------
54,687
--------------
SWEDEN -- 1.9%
Assa Abloy, Cl B 30,700 691
Atlas Copco, Cl A 333,710 5,612
Axfood 6,900 259
Boliden (B) 31,500 654
D Carnegie 6,600 132
Electrolux, Ser B (B) 45,400 1,143
Hennes & Mauritz, Cl B 5,200 330
Husqvarna, Cl B 46,039 699
Industrivarden, Cl A 31,000 684
Investor, Cl B 154,550 4,013
Klovern 118,700 556
Kungsleden 658 11
Sandvik 63,159 1,176
Skandinaviska Enskilda
Banken, Cl A 42,230 1,390
SKF 34,500 741
Svenska Cellulosa, Cl B 150,516 2,608
Svenska Handelsbanken, Cl A 30,537 901
Swedish Match 27,131 502
Tele2, Cl B 48,000 802
Telefonaktiebolaget LM Ericsson,
Cl B 786,041 2,985
TeliaSonera 463,171 3,434
Trelleborg, Cl B 30,200 961
Volvo, Cl B (B) 143,725 3,015
Wihlborgs Fastigheter 2,706 58
--------------
33,357
--------------
SWITZERLAND -- 5.2%
ABB 51,501 1,101
Adecco (B) 8,952 653
AFG Arbonia-Forster Holdings 1,000 519
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 117
SCHEDULE OF INVESTMENTS
International Equity Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Bobst Group 2,798 $ 181
Bucher Industries 693 105
Clariant 37,000 631
Compagnie Financiere Richemont,
Cl A 60,280 3,707
Credit Suisse Group 130,128 9,891
Elektrizitaets-Gesellschaft
Laufenburg 420 524
Energiedienst Holding 500 280
Forbo Holding 31 17
Geberit 1,052 184
Georg Fischer* 1,100 844
Gurit Holding 200 244
Helvetia Holding 1,320 531
Holcim 51,043 5,644
Inficon Holding 5,400 948
Kudelski 15,400 599
Nestle 18,202 7,085
Novartis 224,980 12,640
Phonak Holding 2,695 257
Rieter Holding 67 37
Roche Holding 71,227 13,066
Romande Energie Holding 230 328
Straumann Holding 1,400 407
Swatch Group 8,039 466
Swiss Life Holding 3,640 980
Swiss Reinsurance (B) 79,267 7,542
Swisscom (B) 7,094 2,496
UBS 142,450 9,288
Xstrata 106,420 6,109
Zurich Financial Services 17,924 5,481
--------------
92,785
--------------
TAIWAN -- 0.2%
Compal Electronics 1,027,481 933
Taiwan Semiconductor
Manufacturing 525,602 1,085
Taiwan Semiconductor
Manufacturing ADR 114,378 1,248
--------------
3,266
--------------
THAILAND -- 0.0%
PTT (L) 101,300 749
--------------
UNITED KINGDOM -- 15.4%
3i Group 17,834 428
Acergy 159,100 3,585
Amec 267,600 3,150
Anglo American 207,364 12,465
Antofagasta 23,600 260
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
ARM Holdings 84,487 $ 235
AstraZeneca 177,883 9,451
AstraZeneca (SEK) 33,254 1,761
Aviva 506,893 8,001
BAE Systems 880,500 7,790
Balfour Beatty 19,447 177
Barclays 861,115 12,298
Barratt Developments 56,865 1,227
Bellway 15,726 447
Berkeley Group Holdings 25,100 939
BHP Billiton 52,695 1,282
Bovis Homes Group 10,597 222
BP 1,202,676 13,429
Brit Insurance Holdings 46,000 316
British Airways 55,647 517
British American Tobacco 78,818 2,668
British Energy Group 447,600 4,651
British Land+ 43,312 1,240
Brixton+ 916 9
BT Group 162,737 1,061
Burberry Group 214,350 2,898
Cable & Wireless 95,317 372
Cadbury Schweppes 23,399 329
Carnival 30,777 1,594
Carphone Warehouse Group 66,000 392
Cattles 15,762 129
Centrica 342,344 2,595
Charter 13,163 269
Close Brothers Group 4,066 76
Compass Group 236,000 1,760
Cookson Group 16,197 229
Daily Mail & General Trust 15,056 251
Davis Service Group 2,315 30
Diageo 270,099 5,754
Drax Group 7,380 117
DS Smith 94,600 468
Emap 11,250 195
Enterprise Inns 60,089 877
Firstgroup 12,131 166
FKI 174,700 477
Friends Provident 652,879 2,557
GKN 110,000 852
GlaxoSmithKline 315,719 8,181
Greene King 62,900 1,385
Hays 86,293 297
HBOS 597,965 12,857
Home Retail Group 196,696 1,836
HSBC Holdings 641,802 11,857
Hunting 60,400 956
Imperial Tobacco Group 98,392 4,251
International Power 67,124 602
Investec 49,600 678
- --------------------------------------------------------------------------------
118 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
ITV 299,890 $ 696
J Sainsbury 63,489 701
Kazakhmys 48,000 1,232
Kelda Group 56,842 1,149
Kingfisher 252,200 1,238
Kingston Communications 340,500 497
Land Securities Group+ 2,641 102
Legal & General Group 121,887 371
Lloyds TSB Group 136,139 1,548
LogicaCMG 2,878 9
Luminar 40,600 634
Marks & Spencer Group 355,350 4,913
Marston's 124,100 1,148
Michael Page International 41,582 469
Millennium & Copthorne Hotels 29,700 440
Minerva 315,800 2,511
Mitchells & Butlers 87,239 1,531
National Grid 239,717 3,713
Nestor Healthcare Group 13,700 44
Next 15,509 678
Northern Foods 513,400 1,290
Old Mutual 662,161 2,269
Pearson 23,945 425
Premier Oil 36,200 791
Prudential 178,400 2,670
Punch Taverns 59,890 1,592
Reckitt Benckiser 37,810 2,054
Reed Elsevier 126,430 1,707
Reuters Group 92,800 1,153
Rio Tinto 43,315 3,144
Rolls-Royce Group, Cl B 4,203,200 9
Royal & Sun Alliance Insurance Group 703,674 2,203
Royal Bank of Scotland Group 1,704,083 21,152
SABMiller 144,500 3,436
Scottish & Newcastle 155,681 1,999
Scottish & Southern Energy 74,485 2,244
Segro+ 49,200 697
Severn Trent 38,800 1,206
Smith & Nephew 410,950 5,040
Smiths Group 63,015 1,417
St Ives Group 81,500 447
Stagecoach Group 121,242 443
Standard Chartered 57,332 1,939
Tate & Lyle 62,427 742
Taylor Woodrow 226,091 2,046
TDG 175,000 1,076
Tesco 320,700 2,910
Trinity Mirror 22,515 256
Unilever 34,849 1,075
United Utilities 77,399 1,181
Vodafone Group 8,121,958 25,384
Whitbread 20,831 780
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Wimpey George 170,295 $ 2,115
WPP Group 118,300 1,748
Yell Group 119,000 1,190
--------------
276,350
--------------
Total Common Stock
(Cost $1,244,579) ($ Thousands) 1,595,789
--------------
CORPORATE OBLIGATIONS -- 6.4%
CONSUMER DISCRETIONARY -- 0.1%
CVS Caremark
5.750%, 06/01/17 $ 205 202
Comcast
5.300%, 01/15/14 530 518
Cox Communications
4.625%, 06/01/13 425 402
Time Warner
6.875%, 05/01/12 425 446
--------------
1,568
--------------
ENERGY -- 0.1%
Dominion Resources
4.750%, 12/15/10 285 278
Exelon Generation
6.950%, 06/15/11 425 444
Kinder Morgan Energy Partners
5.000%, 12/15/13 425 405
--------------
1,127
--------------
FINANCIALS -- 6.2%
Aetna
5.750%, 06/15/11 425 429
American General Finance (C) (D) (F)
5.370%, 06/15/07 7,536 7,536
Bear Stearns
5.350%, 02/01/12 395 391
Bear Stearns EXL (C) (D)
5.360%, 06/15/07 9,251 9,251
Capmark Financial Group (F)
6.300%, 05/10/17 50 50
5.875%, 05/10/12 100 99
Cit Group
5.000%, 02/13/14 565 535
Countrywide Financial Services
MTN (C) (D)
5.430%, 06/27/07 3,118 3,118
Countrywide Financial Services
MTN, Ser A (C) (D)
5.440%, 08/06/07 7,796 7,796
Credit Suisse First Boston USA
6.500%, 01/15/12 285 297
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 119
SCHEDULE OF INVESTMENTS
International Equity Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Genworth Financial
5.750%, 06/15/14 $ 425 $ 427
Goldman Sachs
5.500%, 11/15/14 845 836
HSBC Finance
6.375%, 10/15/11 425 438
Irish Life & Permanent MTN,
Ser X (C) (D) (F)
5.360%, 06/21/07 6,912 6,912
Istar Financial+
5.875%, 03/15/16 285 277
JPMorgan Chase
5.125%, 09/15/14 425 414
Jackson National Life Funding
(C) (D) (F)
5.320%, 06/01/07 11,434 11,434
Lehman Brothers Holdings MTN
5.750%, 05/17/13 145 146
5.500%, 04/04/16 280 275
Merrill Lynch
6.050%, 05/16/16 425 430
Morgan Stanley
4.750%, 04/01/14 425 400
Morgan Stanley EXL (C) (D)
5.400%, 06/04/07 1,819 1,819
Morgan Stanley EXL, Ser S (C) (D)
5.360%, 06/04/07 2,599 2,598
Morgan Stanley MTN, Ser G (D)
5.650%, 07/04/07 420 419
Nationwide Building Society
(C) (D) (F)
5.410%, 06/28/07 2,858 2,858
5.370%, 06/07/07 5,197 5,197
Northern Rock (C) (D) (F)
5.380%, 06/04/07 5,353 5,353
Premium Asset Trust,
Ser 2004-10 (C) (D) (F)
5.380%, 06/15/07 7,276 7,276
Residential Capital
6.875%, 06/30/15 75 75
6.500%, 04/17/13 865 855
6.000%, 02/22/11 200 196
SLM EXL MTN (C) (D)
5.320%, 06/15/07 5,717 5,717
Shinsei Finance Cayman (D) (F)
6.418%, 01/29/49 490 487
Simon Property Group+
5.750%, 12/01/15 285 286
5.600%, 09/01/11 240 241
Skandinav Enskilda Bank (C) (D) (F)
5.320%, 06/18/07 5,717 5,717
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Stanfield Victoria MTN (C) (F)
5.450%, 06/11/07 $ 5,197 $ 5,196
UniCredito Italiano Bank (C) (D) (F)
5.350%, 07/11/07 12,993 12,992
Wachovia
5.300%, 10/15/11 745 742
4.875%, 02/15/14 285 273
Washington Mutual Preferred
Funding (B) (D) (F)
6.534%, 03/15/49 500 489
--------------
110,277
--------------
HEALTH CARE -- 0.0%
Teva Pharmaceutical
5.550%, 02/01/16 425 413
Wellpoint
6.800%, 08/01/12 285 300
--------------
713
--------------
INDUSTRIALS -- 0.0%
Lafarge
6.150%, 07/15/11 255 261
US Steel
5.650%, 06/01/13 105 104
--------------
365
--------------
TELECOMMUNICATION SERVICES -- 0.0%
Vodafone Group
5.625%, 02/27/17 225 220
5.350%, 02/27/12 80 79
--------------
299
--------------
Total Corporate Obligations
(Cost $114,216) ($ Thousands) 114,349
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS -- 4.9%
FHLMC
6.000%, 07/01/21 2,980 3,010
6.000%, 09/01/21 977 987
6.000%, 10/01/21 9,446 9,540
6.000%, 11/01/21 3,822 3,860
6.000%, 05/01/22 1,994 2,014
FNMA
5.500%, 01/01/21 (A) 1,772 1,758
5.500%, 02/01/21 (A) 876 869
FNMA TBA
6.500%, 06/01/37 20,000 20,313
6.000%, 06/01/37 6,000 5,993
5.500%, 06/01/22 3,600 3,572
5.000%, 06/17/21 29,000 28,266
- --------------------------------------------------------------------------------
120 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
GNMA ARM
5.625%, 02/20/34 $ 626 $ 633
5.500%, 06/30/07 506 509
5.500%, 05/20/34 676 683
5.500%, 03/20/36 (I) 496 500
5.250%, 08/20/34 251 252
5.000%, 06/20/35 (I) 658 663
5.000%, 02/20/36 (I) 304 305
4.750%, 12/20/33 2,140 2,140
4.500%, 07/20/35 384 387
4.500%, 06/20/36 839 842
--------------
Total U.S. Government Agency Mortgage-Backed Obligations
(Cost $87,468) ($ Thousands) 87,096
--------------
ASSET-BACKED SECURITIES -- 4.8%
MORTGAGE RELATED SECURITIES -- 4.8%
ACE Securities, Ser 2003-NC1,
Cl M (D)
6.100%, 06/25/07 600 601
ACE Securities, Ser 2003-OP1,
Cl M1 (D)
6.020%, 06/26/07 250 251
Aames Mortgage Investment Trust,
Ser 2005-4, Cl B2 (D)
8.070%, 06/12/07 110 93
American Home Mortgage
Investment Trust, Ser 2004-3,
Cl 2A (D)
3.590%, 09/01/07 2,856 2,905
American Home Mortgage
Investment Trust, Ser 2005-1,
Cl 6A (D) (K)
5.294%, 06/25/07 4,275 4,239
American Home Mortgage
Investment Trust, Ser 2005-4,
Cl 5A (D)
5.350%, 06/25/07 2,587 2,596
American Home Mortgage
Investment Trust, Ser 2006-1,
Cl 2A3 (D)
5.100%, 06/25/07 1,365 1,352
Ameriquest Mortgage Securities,
Ser 2003-2, Cl M1 (D)
6.220%, 06/25/07 380 380
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Argent Securities, Ser 2003-W5,
Cl M1 (D)
6.020%, 06/25/07 $ 250 $ 252
Argent Securities, Ser 2003-W9,
Cl M1 (D)
6.010%, 06/26/07 343 345
Asset-Backed Securities Home Equity
Loan Trust, Ser 2003-HE5,
Cl M1 (D)
6.070%, 06/15/07 456 457
Banc of America Commercial
Mortgage, Ser 2006-2, Cl A1
5.611%, 05/10/45 771 774
Banc of America Funding,
Ser 2006-A, Cl 2A2 (D)
5.566%, 06/01/07 175 178
Banc of America Mortgage Securities,
Ser 2004-10, Cl 2A1
5.000%, 12/25/19 635 615
Basic Asset Backed Securities Trust,
Ser 2006-1, Cl A1 (D)
5.400%, 06/25/07 1,489 1,489
Chase Funding Mortgage Loan,
Ser 2003-1, Cl 1A4
4.119%, 02/25/29 59 59
Chase Funding Mortgage Loan,
Ser 2004-2, Cl 1A3
4.209%, 09/25/26 230 228
Countrywide Alternative Loan Trust,
Ser 2004-33, Cl 1A1 (D)
4.975%, 06/01/07 727 737
Countrywide Alternative Loan Trust,
Ser 2005-69, Cl M3 (D)
6.470%, 06/27/07 225 222
Countrywide Alternative Loan Trust,
Ser 2005-IM1, Cl M3 (D)
7.320%, 06/27/07 338 317
Countrywide Alternative Loan Trust,
Ser 2006-0A11, Cl M3 (D)
5.750%, 06/30/07 456 455
Countrywide Asset-Backed
Certificates, Ser 2003-5,
Cl MV2 (D)
6.920%, 01/25/34 267 270
Countrywide Asset-Backed
Certificates, Ser 2004-11,
Cl A2 (D)
5.700%, 06/25/07 100 100
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 121
SCHEDULE OF INVESTMENTS
International Equity Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Asset-Backed
Certificates, Ser 2005-15,
Cl 1AF1 (D)
5.460%, 06/25/07 $ 441 $ 441
Countrywide Asset-Backed
Certificates, Ser 2006-IM1,
Cl A1 (D)
5.410%, 06/27/07 385 385
Countrywide Home Equity Loan Trust,
Ser 2006-D, Cl 2A (D)
5.520%, 06/30/07 2,018 2,017
Countrywide Home Loans,
Ser 2004-22, Cl A1 (D)
5.084%, 06/01/07 579 574
Countrywide Home Loans,
Ser 2006-HYB1, Cl 1A1
5.365%, 06/20/07 562 557
Countrywide Home Loans,
Ser 2006-HYB2, Cl 1A1 (D)
5.054%, 06/20/07 1,641 1,637
Credit Suisse Asset-Backed Mortgage
Trust, Ser 2006-1, Cl A1B (D)
5.540%, 06/26/07 509 509
DLSA Mortgage Loan Trust,
Ser 2006-AR1, Cl M4 (D)
6.060%, 06/19/07 221 217
DSLA Mortgage Loan Trust,
Ser 2004-AR4, Cl B1 (D)
5.920%, 06/19/07 331 333
DSLA Mortgage Loan Trust,
Ser 2006-AR1, Cl M5 (D)
6.130%, 06/19/07 140 137
DSLA Mortgage Loan Trust,
Ser 2006-AR1, Cl M7 (D)
7.070%, 06/19/07 140 137
Deutsche Alternatives Securities
Mortgage Loan Trust,
Ser 2006-AB3, Cl A1 (D)
6.250%, 06/30/36 1,150 1,150
Duke Funding, Ser 2004-6B,
Cl A1S1 (C) (D) (F)
5.420%, 07/09/07 3,898 3,898
First Franklin Mortgage Loan Asset,
Ser 2004-FF10, Cl A2 (D)
5.720%, 06/26/07 97 98
First Franklin Mortgage Loan Asset,
Ser 2005-FF4, Cl 2A3 (D)
5.540%, 06/25/07 1,586 1,587
First Horizon Alternative Mortgage
Trust, Ser 2006-AA6, Cl 2A1 (D)
5.686%, 06/01/07 3,837 3,831
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
First Horizon Mortgage Pass-Through
Trust, Ser 2006-AR3, Cl 1A1 (D)
5.695%, 06/01/07 $ 784 $ 781
GMAC Mortgage Loan Trust,
Ser 2006-HE1, Cl A (D) (K)
5.530%, 06/25/07 4,900 4,896
GSAA Home Equity NIM Trust,
Ser 2006-2, Cl 2A1 (D) (K)
5.420%, 06/27/07 2,215 2,214
GSAA Home Equity NIM Trust,
Ser 2006-HE3N, Cl N1 (F)
5.500%, 05/25/36 64 46
Greenpoint Mortgage Funding Trust,
Ser 2006-AR1, Cl M3 (D)
5.890%, 06/27/07 300 298
HSI Asset Securitization Trust,
Ser 2005-NC2, Cl M2A1 (D)
5.450%, 06/25/07 309 309
Home Equity Asset NIM Trust,
Ser 2003-4, Cl M2 (D)
7.220%, 06/25/07 355 355
Home Equity Asset NIM Trust,
Ser 2006-1N, Cl A (F)
6.500%, 05/27/36 66 49
Impac NIM Trust, Ser 2006-1,
Cl N (F)
6.000%, 03/25/36 12 12
Indymac Mortgage Loan Trust,
Ser 2004-AR11, Cl 4A1 (D)
5.807%, 06/01/07 1,725 1,723
Indymac Mortgage Loan Trust,
Ser 2004-AR6, Cl 1A (D)
5.495%, 06/01/07 228 228
Lehman Mortgage Trust, Ser 2006-4,
Cl 4A1
6.000%, 08/25/21 3,095 3,116
Lehman XS Trust, Ser 2005-5N,
Cl M4 (D)
7.070%, 06/30/07 525 469
Lehman XS Trust, Ser 2005-7N,
Cl M51 (D)
6.570%, 06/30/07 120 114
Lehman XS Trust, Ser 2005-7N,
Cl M71 (D)
7.070%, 06/27/07 300 267
Lehman XS Trust, Ser 2005-9N,
Cl M4 (D)
6.720%, 06/30/07 170 170
MLCC Mortgage Investors,
Ser 2006-1, Cl 1A1 (D)
5.328%, 06/01/07 1,843 1,857
- --------------------------------------------------------------------------------
122 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Master Adjustable Rate Mortgages,
Ser 2004-6, Cl 2A1 (D)
5.329%, 07/25/34 $ 2,492 $ 2,493
Master Adjustable Rate Mortgages,
Ser 2005-2, Cl 3A1 (D)
4.756%, 06/01/07 834 838
Master Asset Backed Securities Trust,
Ser 2006-AB1, Cl A1 (D)
5.460%, 06/27/07 2,030 2,030
Merrill Lynch Mortgage Investors
Trust, Ser 2003-HE1, Cl M2 (D)
6.970%, 06/25/07 140 140
Merrill Lynch Mortgage Investors
Trust, Ser 2005-HE2, Cl A2A (D)
5.430%, 06/27/07 188 188
Morgan Stanley, Ser 2003-NC10,
Cl M1 (D)
6.000%, 06/27/07 573 574
New Century Home Equity Loan
Trust, Ser 2004-A, Cl AII3 (D)
4.450%, 06/01/07 560 556
New Century Home Equity Loan
Trust, Ser 2005-A, Cl A2 (G)
4.461%, 06/25/07 1,315 1,304
Nomura Asset Acceptance,
Ser 2004-R1, Cl A1 (F)
6.500%, 03/25/34 360 365
Nomura Asset Acceptance,
Ser 2004-R2, Cl A1 (D) (F)
6.500%, 10/25/34 436 441
Nomura Asset Acceptance,
Ser 2007-1, Cl 1A1A (G)
5.995%, 06/09/07 1,402 1,402
Option One Mortgage Loan Trust,
Ser 2003-5, Cl M1 (D)
5.970%, 06/23/07 373 374
Option One Mortgage Loan Trust,
Ser 2006-1, Cl M10 (D) (F)
7.820%, 06/27/07 60 53
Option One Mortgage Loan Trust,
Ser 2006-1, Cl M11 (D) (F)
7.820%, 06/27/07 140 108
Ownit Mortgage Loan, Ser 2006-1,
Cl AF1 (G)
5.424%, 12/25/36 1,023 1,018
Renaissance Home Equity Loan
Trust, Ser 2004-2, Cl AF3 (G)
4.464%, 07/25/34 186 185
Residential Accredit Loans,
Ser 2005-Q05, Cl M3 (D)
6.120%, 06/25/07 399 398
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Residential Accredit Loans,
Ser 2005-QA3, Cl NB2 (D)
5.248%, 06/25/07 $ 1,541 $ 1,539
Residential Accredit Loans,
Ser 2006-Q01, Cl 2A3 (D)
5.720%, 06/27/07 339 339
Residential Asset Mortgage Products,
Ser 2003-RS11, Cl MII1 (D)
6.050%, 06/25/07 54 54
Residential Asset Mortgage Products,
Ser 2006-RZ1, Cl A1 (D) (K)
5.400%, 06/27/07 2,985 2,985
Residential Asset Securities,
Ser 2005-KS11, Cl AI1 (D)
5.400%, 06/27/07 581 581
Residential Asset Securities,
Ser 2006-EMX2, Cl A1 (D)
5.400%, 06/27/07 910 911
Residential Asset Securities,
Ser 2006-KS2, Cl A1 (D)
5.390%, 06/27/07 1,283 1,283
Residential Asset Securitization Trust,
Ser 2004-IP2, Cl 3A1 (D)
5.275%, 06/25/07 1,527 1,518
Resmae Mortgage Loan Trust,
Ser 2006-1, Cl A2A (D) (F)
5.420%, 06/25/07 1,169 1,169
Resmae Mortgage Loan Trust,
Ser 2006-1, Cl A2B (D) (F)
5.470%, 06/25/07 1,400 1,400
SB Finance NIM Trust,
Ser 2006-KS4N, Cl N1 (F)
7.500%, 06/25/36 76 75
Sharps SP I LLC NIM Trust,
Ser 2005-HE3N, Cl N (F)
5.000%, 05/25/35 97 95
Structured Adjustable Rate Mortgage
Loan, Ser 2005-16 XS, Cl M2 (D)
6.220%, 06/25/07 200 198
Structured Asset Investment Loan
Trust, Ser 2003-BC4, Cl M2
8.320%, 06/25/07 278 279
Structured Asset Investment Loan
Trust, Ser 2005-1, Cl A4 (D) (F)
5.550%, 06/25/07 221 221
Structured Asset Investment Loan
Trust, Ser 2005-8, Cl A2 (D)
5.450%, 06/25/07 191 191
Structured Asset Securities,
Ser 2005-WF1, Cl A2 (D)
5.520%, 06/25/07 227 227
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 123
SCHEDULE OF INVESTMENTS
International Equity Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Terwin Mortgage Trust, Ser 2006-5,
Cl 1A2A (D) (F) (K)
5.410%, 06/26/07 $ 3,056 $ 3,055
Terwin Mortgage Trust, Ser 2006-6,
Cl 2A1 (D)
4.500%, 06/25/36 444 439
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2007-HY4, Cl 1A1
5.575%, 06/01/07 2,886 2,859
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2007-HY6, Cl HY6
5.707%, 06/25/37 1,000 1,000
Wells Fargo Mortgage Backed
Securities Trust, Ser 2004-I,
Cl B1 (D)
5.371%, 06/01/07 216 217
--------------
Total Asset-Backed Securities
(Cost $86,473) ($ Thousands) 86,429
--------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.7%
FHLMC (A) (H)
5.249%, 11/09/07 5,975 5,839
FHLMC CMO STRIPS, Ser 232,
Cl IO, IO
5.000%, 08/01/35 5,907 1,491
FHLMC CMO STRIPS, Ser 233,
Cl 12, IO
5.000%, 09/15/35 1,360 342
FNMA
5.235%, 07/02/07 (A) (H) 175 174
5.204%, 06/27/07 (A) (H) 475 473
4.680%, 06/01/07 (H) 25 25
FNMA CMO STRIPS, Ser 10,
Cl FD (D)
5.670%, 06/25/07 1,605 1,609
FNMA CMO STRIPS, Ser 359,
Cl 6, IO
5.000%, 11/01/35 491 123
FNMA CMO STRIPS, Ser 360,
Cl 2, IO
5.000%, 08/01/35 8,590 2,179
FNMA CMO STRIPS, Ser 377,
Cl 2, IO (A)
5.000%, 10/01/36 1,058 275
--------------
Total U.S. Government Agency Obligations
(Cost $12,291) ($ Thousands) 12,530
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
PREFERRED STOCK -- 0.5%
BRAZIL -- 0.1%
Petroleo Brasileiro 33,100 $ 793
Usinas Siderurgicas de
Minas Gerais, Cl A 29,000 1,622
--------------
2,415
--------------
GERMANY -- 0.1%
Porsche 1,042 1,842
Volkswagen 1,122 111
--------------
1,953
--------------
ITALY -- 0.2%
Istituto Finanziario Industriale 70,300 2,841
--------------
SOUTH KOREA -- 0.1%
Samsung Electronics 1,400 633
--------------
Total Preferred Stock
(Cost $5,381) ($ Thousands) 7,842
--------------
EQUITY LINKED WARRANT -- 0.3%
TAIWAN -- 0.3%
HON HAI Precision Industry* 702 4,950
--------------
Total Equity Linked Warrant
(Cost $3,325) ($ Thousands) 4,950
--------------
EXCHANGE TRADED FUND -- 0.0%
iShares MSCI EAFE Index Fund* 400 32
--------------
Total Exchange Traded Fund
(Cost $32) ($ Thousands) 32
--------------
CASH EQUIVALENTS -- 9.3%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.330%**++ 26,722,074 26,722
SEI Liquidity Fund,
L.P., 5.490% (C)**++ 140,322,602 140,323
--------------
Total Cash Equivalents
(Cost $167,045) ($ Thousands) 167,045
--------------
- --------------------------------------------------------------------------------
124 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
TIME DEPOSITS -- 2.8%
Brown Brothers Harriman
7.750%, 06/01/07 ZAR 294 $ 41
6.950%, 06/01/07 NZD 19 14
5.408%, 06/01/07 AUD 134 111
4.770%, 06/01/07 44,502 44,502
4.760%, 06/01/07 GBP 504 997
3.350%, 06/01/07 CAD 106 99
3.250%, 06/01/07 HKD 1,735 222
3.150%, 06/01/07 NOK 4 1
3.030%, 06/01/07 EUR 300 404
3.000%, 06/01/07 DKK 6,299 1,138
2.350%, 06/01/07 SEK 450 65
1.293%, 06/01/07 CHF 1,245 1,016
1.150%, 06/01/07 SGD 136 89
0.100%, 06/01/07 JPY 243,488 1,999
--------------
Total Time Deposits
(Cost $50,698) ($ Thousands) 50,698
--------------
COMMERCIAL PAPER (C) (E) -- 2.1%
KKR Pacific Funding Trust
5.310%, 06/15/07 $ 9,407 9,387
OCALA Funding LLC
5.310%, 06/19/07 3,898 3,888
Rhineland Funding Capital
5.280%, 06/06/07 1,910 1,909
Thornburg Mortgage Capital
Resources
5.290%, 06/07/07 10,394 10,385
Valour Bay Capital LLC
5.320%, 06/11/07 4,242 4,236
5.320%, 06/13/07 7,796 7,782
--------------
Total Commercial Paper
(Cost $37,587) ($ Thousands) 37,587
--------------
U.S. TREASURY OBLIGATIONS (E) -- 0.9%
U.S. Treasury Bills
4.833%, 06/14/07 (A) 450 449
4.813%, 08/23/07 (A) 3,158 3,125
4.440%, 06/21/07 2,820 2,813
3.330%, 07/26/07 5,300 5,263
U.S. Treasury Inflationary Index Notes
3.875%, 04/15/29 874 1,073
2.375%, 04/15/11 (B) 3,960 3,938
--------------
Total U.S. Treasury Obligations
(Cost $16,679) ($ Thousands) 16,661
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT (C) -- 0.4%
Barclays Bank
5.440%, 06/11/07 (D) $ 2,599 $ 2,599
CC USA (F)
5.520%, 06/18/07 5,197 5,197
--------------
Total Certificates of Deposit
(Cost $7,796) ($ Thousands) 7,796
--------------
MASTER NOTE (C) (E) -- 0.3%
Bear Stearns
5.430%, 06/01/07 5,197 5,197
--------------
Total Master Note
(Cost $5,197) ($ Thousands) 5,197
--------------
REPURCHASE AGREEMENTS (C) (J) -- 3.6%
Barclays Capital
5.280%, dated 05/31/07, to be
repurchased on 06/01/07,
repurchase price $1,791,559
(collateralized by a U.S. Government
obligation, par value $1,827,312,
0.000%, 06/01/07, total market
value $1,827,129) 1,791 1,791
Deutsche Bank
5.300%, dated 05/31/07, to be
repurchased on 06/01/07,
repurchase price $5,114,940
(collateralized by U.S. Government
obligations, ranging in par value
$28,272-$1,683,871, 4.000%-
6.000%, 02/01/08-11/04/20,
total market value $5,216,490) 5,114 5,114
Lehman Brothers
5.300%, dated 05/31/07, to be
repurchased on 06/01/07,
repurchase price $57,176,884
(collateralized by U.S. Government
obligations, ranging in par value
$12,078,294-$98,987,773, 3.875%-
8.875%, 06/15/08-03/15/31,
total market value $58,311,898) 57,168 57,168
--------------
Total Repurchase Agreements
(Cost $64,073) ($ Thousands) 64,073
--------------
Total Investments -- 126.1%
(Cost $1,902,840) ($ Thousands) $ 2,258,074
==============
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 125
SCHEDULE OF INVESTMENTS
International Equity Fund (Continued)
May 31, 2007
A summary of the open futures contracts held by the Fund at May 31, 2007, is as
follows (See Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
NUMBER OF APPRECIATION/
TYPE OF CONTRACTS EXPIRATION (DEPRECIATION)
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
90-Day Euro$ (52) Mar-2008 $ 34
90-Day Euro$ (39) Mar-2009 13
90-Day Euro$ (35) Mar-2010 7
90-Day Euro$ (23) Mar-2011 (4)
90-Day Euro$ 4 Mar-2012 (3)
90-Day Euro$ (42) Jun-2007 32
90-Day Euro$ (18) Jun-2008 18
90-Day Euro$ 57 Jun-2009 (46)
90-Day Euro$ (132) Jun-2010 73
90-Day Euro$ 13 Jun-2011 (13)
90-Day Euro$ (52) Sep-2007 42
90-Day Euro$ (52) Sep-2008 25
90-Day Euro$ 57 Sep-2009 (6)
90-Day Euro$ (39) Sep-2010 5
90-Day Euro$ 15 Sep-2011 (14)
90-Day Euro$ (36) Dec-2007 16
90-Day Euro$ (214) Dec-2008 122
90-Day Euro$ (36) Dec-2009 7
90-Day Euro$ (34) Dec-2010 (1)
90-Day Euro$ 4 Dec-2011 (3)
Amsterdam Index 46 Jun-2007 158
CAC40 10 Euro 163 Jun-2007 269
DAX Index 46 Jun-2007 1,759
DJ Euro Stoxx 50 Index 204 Jun-2007 1,401
FTSE 100 Index 305 Jun-2007 2,175
Hang Seng Index 25 Jun-2007 (6)
IBEX 35 Plus Index 26 Jun-2007 195
MSCI Sing Index 25 Jun-2007 (22)
Nikkei 225 Index 26 Jun-2007 55
OMX Index 387 Jun-2007 29
S&P/MIB Index 24 Jun-2007 556
SPI 200 Index 80 Jun-2007 651
Topix Index 139 Jun-2007 751
U.S. 2 Year Treasury Note (5) Sep-2007 2
U.S. 5 Year Treasury Note (55) Sep-2007 7
U.S. 10 Year Treasury Note (47) Sep-2007 2
U.S. Long Treasury Bond (1) Jun-2007 3
U.S. Long Treasury Bond (17) Sep-2007 --
------
$8,289
======
A summary of the outstanding forward foreign currency contracts held by the Fund
at May 31, 2007, is as follows (See Note 2 in Notes to Financials Statements):
- --------------------------------------------------------------------------------
UNREALIZED
CURRENCY CURRENCY APPRECIATION
MATURITY TO DELIVER TO RECEIVE (DEPRECIATION)
DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
6/21/07 AUD 20,099 EUR 12,297 $ (60)
6/21/07 AUD 18,739 GBP 7,820 (31)
6/21/07 CAD 39,593 USD 36,239 (822)
6/21/07 EUR 5,811 AUD 9,541 68
6/21/07 EUR 4,806 CHF 7,935 15
6/21/07 EUR 8,098 USD 10,945 42
6/21/07 GBP 4,326 AUD 10,425 67
6/21/07 HKD 96,872 USD 12,394 (14)
6/21/07 NZD 1,495 USD 1,088 (12)
6/21/07 SGD 16,624 USD 10,913 28
6/21/07 CHF 8,724 EUR 5,302 9
6/21/07 MXP 128,719 USD 11,876 (93)
6/21/07 ZAR 31,642 USD 4,468 28
6/21/07-6/25/07 USD 26,097 AUD 31,758 170
6/21/07-6/25/07 USD 91,394 GBP 46,359 291
6/21/07-6/25/07 USD 5,447 NOK 32,959 17
6/21/07-6/25/07 USD 3,926 SEK 26,856 (36)
6/21/07-8/21/07 NZD 30,443 JPY 2,411,000 (2,415)
6/21/07-8/21/07 JPY 3,854,000 NZD 47,039 2,683
6/21/07-9/21/07 USD 69,132 CHF 84,112 (219)
6/21/07-10/19/07 CHF 63,800 USD 52,598 202
6/21/07-10/19/07 GBP 12,554 JPY 2,881,000 (1,002)
6/21/07-10/19/07 USD 70,849 JPY 8,358,355 (1,783)
6/21/07-10/19/07 GBP 18,661 CHF 44,200 (644)
6/21/07-11/21/07 CHF 68,500 GBP 28,766 610
6/21/07-11/21/07 JPY 5,763,000 GBP 24,920 1,485
6/21/07-11/21/07 JPY 8,677,000 USD 73,647 1,728
- --------------------------------------------------------------------------------
UNREALIZED
CURRENCY CURRENCY APPRECIATION
MATURITY TO DELIVER TO RECEIVE (DEPRECIATION)
DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
6/25/07 USD 866 DKK 4,786 $ --
6/25/07 USD 40,174 EUR 29,810 (33)
6/25/07 USD 1,948 HKD 15,228 2
6/25/07 USD 176 NZD 241 2
6/25/07 USD 1,230 SGD 1,871 (5)
9/21/07-10/19/07 CHF 9,300 NZD 10,741 147
9/21/07-11/21/07 JPY 717,000 AUD 7,540 222
10/19/07 NZD 2,754 CHF 2,400 (28)
-------
$ 619
========
A summary of outstanding swap agreements held by the Fund at May 31, 2007, 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)
- ---------------------------------------------------------------------------------------------------------------------
Delivers payment on the quarterly reset spread from Swiss Market Index
plus 25 basis points times the notional amount. Fund receives payment
if the return on the spread appreciates over the payment period and
pays if the return on the spread depreciates over the payment period.
(Counterparty: Bear Stearns) 01/17/08 10,700 CHF $ 453
Receive payment on the monthly reset spread from Banc of America --
CMBS AAA10Yr Index plus 8 basis points times the notional amount. Fund
receives payment if the return on the spread appreciates over the
payment period and pays if the return on the spread depreciates over
the payment period. (Counterparty: Bank of America) 07/31/07 25,000 42
Receive payment on the monthly reset spread from Banc of America -- CMBS
AAA10Yr Index plus 8 basis points times the notional amount. Fund
receives payment if the return on the spread appreciates over the
payment period and pays if the return on the spread depreciates over
the payment period. (Counterparty: Bank of America) 08/31/07 5,000 9
Receive payment on the monthly reset spread from Banc of America --
CMBS AAA10Yr Index plus 5 basis points times the notional amount. Fund
receives payment if the return on the spread appreciates over the
payment period and pays if the return on the spread depreciates over
the payment period. (Counterparty: Bank of America) 08/31/07 9,000 37
Receive payment on the monthly reset spread from Banc of America --
CMBS AAA10Yr Index plus 7.5 basis points times the notional amount.
Fund receives payment if the return on the spread appreciates over the
payment period and pays if the return on the spread depreciates over
the payment period. (Counterparty: Bank of America) 09/30/07 12,000 21
Receive payment on the monthly reset spread from Banc of America --
CMBS AAA10Yr Index plus 20 basis points times the notional amount.
Fund receives payment if the return on the spread appreciates over the
payment period and pays if the return on the spread depreciates over
the payment period. (Counterparty: Goldman Sachs) 10/31/07 5,000 14
Receive payment on the monthly reset spread from Banc of America --
CMBS AAA10Yr Index plus 15 basis points times the notional amount.
Fund receives payment if the return on the spread appreciates over the
payment period and pays if the return on the spread depreciates over
the payment period. (Counterparty: Wachovia) 08/31/07 7,000 37
Receive payment on the monthly reset spread from Banc of America --
CMBS IG 10Yr Index plus 20 basis points times the notional amount.
Fund receives payment if the return on the spread appreciates over the
payment period and pays if the return on the spread depreciates over
the payment period. (Counterparty: Bank of America) 10/31/07 5,000 (9)
- --------------------------------------------------------------------------------
126 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- ---------------------------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- ---------------------------------------------------------------------------------------------------------------------
Receive payment on the monthly reset spread from Lehman Brothers -- CMBS
AAA 8.5 Plus Index minus 5 basis points times the notional amount.
Fund receives payment if the return on the spread appreciates over the
payment period and pays if the return on the spread depreciates over
the payment period. (Counterparty: Wachovia) 06/30/07 5,000 $ 2
Receive payment on the monthly reset spread from Lehman Brothers -- CMBS
AAA 8.5 Plus Index plus 17.5 basis points times the notional amount.
Fund receives payment if the return on the spread appreciates over
the payment period and pays if the return on the spread depreciates
over the payment period. (Counterparty: Wachovia) 10/31/07 6,000 9
Receive payment on the monthly reset spread from Lehman Brothers -- CMBS
AAA 8.5 Plus Index plus 20 basis points times the notional amount.
Fund receives payment if the return on the spread appreciates over
the payment period and pays if the return on the spread depreciates
over the payment period. (Counterparty: Wachovia) 10/31/07 6,000 4
Receive payment on the monthly reset spread from Lehman Brothers -- CMBS
AAA 10YR Index plus 5 basis points times the notional amount. Fund
receives payment if the return on the spread appreciates over the
payment period and pays if the return on the spread depreciates over
the payment period. (Counterparty: Wachovia) 08/31/07 13,000 9
Delivers payment on the quarterly reset spread from MSCI EAFE Index
minus 20 basis points times the notional amount. Fund receives
payment if the return on the spread appreciates over the payment
period and pays if the return on the spread depreciates over the
payment period. (Counterparty: Bear Stearns) 03/24/08 16,017 1,143
Delivers payment on the quarterly reset spread from MSCI Japan Net Index
plus 20 basis points times the notional amount. Fund receives payment
if the return on the spread appreciates over the payment period and
pays if the return on the spread depreciates over the payment period.
(Counterparty: Goldman Sachs) 03/24/08 15,200 (401)
-------
$ 1,370
=======
- ---------------------------------------------------------------------------------------------------------------------
CREDIT DEFAULT SWAPS
- ---------------------------------------------------------------------------------------------------------------------
Fund receives monthly payment of 0.5400% (6.480% per annum) times the
notional amount of the ABX.HE.A 06-1 Index. Upon a defined credit
event, Fund pays the notional amount and takes receipt of the defined
deliverable obligation. (Counterparty: Bank of America) 07/25/45 6,000 $ (88)
Fund receives monthly payment of 0.5400% (6.480% per annum) times the
notional amount of the ABX.HE.A 06-1 Index. Upon a defined credit
event, Fund pays the notional amount and takes receipt of the defined
deliverable obligation. (Counterparty: JPMorgan Chase) 07/25/45 6,500 (104)
Fund receives monthly payment of 0.4400% (5.280% per annum) times the
notional amount of the ABX.HE.A 06-2 Index. Upon a defined credit
event, Fund pays the notional amount and takes receipt of the defined
deliverable obligation. (Counterparty: Bank of America) 05/25/46 5,000 (145)
Fund receives monthly payment of 0.6400% (7.680% per annum) times the
notional amount of the ABX.HE.A 07-1 Index. Upon a defined credit
event, Fund pays the notional amount and takes receipt of the defined
deliverable obligation. (Counterparty: Bank of America) 08/25/37 500 17
Fund receives monthly payment of 0.6400% (7.680% per annum) times the
notional amount of the ABX.HE.A 07-1 Index. Upon a defined credit
event, Fund pays the notional amount and takes receipt of the defined
deliverable obligation. (Counterparty: Merrill Lynch) 08/25/37 500 (2)
Fund pays quarterly payment of 0.3200% (1.280% per annum) times the
notional amount of Alcan, Inc., 4.875%, 09/15/12. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: Bank of America) 03/20/14 650 4
Fund pays quarterly payment of 0.3500% (1.400% per annum) times the
notional amount of Alcan, Inc., 4.875%, 09/15/12. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: Bank of America) 12/20/13 750 2
- ---------------------------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- ---------------------------------------------------------------------------------------------------------------------
Fund pays quarterly payment of 0.4400% (1.760% per annum) times the
notional amount of Autozone, Inc., 5.875%, 10/15/12. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: Bank of America) 12/20/11 750 $ (7)
Fund pays quarterly payment of 0.5500% (2.200% per annum) times the
notional amount of Black & Decker Corp., 7.125%, 06/01/11. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 750 (4)
Fund pays quarterly payment of 0.2000% (0.800% per annum) times the
notional amount of Campbell Soup Co., 4.875%, 10/01/13. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: Bank of America) 06/20/14 1,075 (2)
Fund receives quarterly payment of 0.4000% (1.600% per annum) times the
notional amount of CDX.NA.IG., Series 7 Index. Upon a defined credit
event, Fund pays the notional amount and takes receipt of the defined
obligation. (Counterparty: Bank of America) 12/20/11 13,800 96
Fund receives quarterly payment of 0.4000% (1.600% per annum) times the
notional amount of CDX.NA.IG. Index. Upon a defined credit event, Fund
pays the notional amount and takes receipt of the defined obligation.
(Counterparty: Bank of America) 12/20/11 925 2
Fund receives quarterly payment of 0.4000% (1.600% per annum) times the
notional amount of CDX.NA.IG. Index. Upon a defined credit event, Fund
pays the notional amount and takes receipt of the defined obligation.
(Counterparty: Bank of America) 12/20/11 600 1
Fund receives quarterly payment of 0.4000% (1.600% per annum) times the
notional amount of CDX.NA.IG. Index. Upon a defined credit event, Fund
pays the notional amount and takes receipt of the defined obligation.
(Counterparty: Bank of America) 12/20/11 750 --
Fund pays quarterly payment of 0.4450% (1.780% per annum) times the
notional amount of Darden Restaurants, Inc., 7.125%, 02/01/16. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 750 (1)
Fund pays quarterly payment of 0.3700% (1.480% per annum) times the
notional amount of Johnson Controls, Inc., 7.125%, 07/15/17. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 750 (10)
Fund pays quarterly payment of 0.4250% (1.700% per annum) times the
notional amount of Eastman Chemical Co., 7.600%, 02/01/27. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 750 (3)
Fund pays quarterly payment of 1.1800% (4.720% per annum) times the
notional amount of Gap, Inc., 8.800%, 12/15/08. Upon a defined credit
event, Fund will receive the notional amount and deliver the defined
obligation. (Counterparty: Bank of America) 12/20/11 750 (12)
Fund pays quarterly payment of 0.3900% (1.560% per annum) times the
notional amount of Johnson Controls, Inc., 7.125%, 07/15/17. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 750 (6)
Fund pays quarterly payment of 0.4750% (1.900% per annum) times the
notional amount of Ltd. Brands, Inc., 6.125%, 12/01/12. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: Bank of America) 12/20/11 750 (1)
Fund pays quarterly payment of 0.7300% (2.920% per annum) times the
notional amount of Masco Corp., 5.875%, 07/15/12. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: Bank of America) 12/20/13 750 (3)
Fund pays quarterly payment of 0.4750% (1.900% per annum) times the
notional amount of MeadWestvaco, 6.850%, 04/01/12. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: Bank of America) 12/20/11 750 --
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 127
SCHEDULE OF INVESTMENTS
International Equity Fund (Concluded)
May 31, 2007
- ---------------------------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- ---------------------------------------------------------------------------------------------------------------------
Fund pays quarterly payment of 0.3500% (1.400% per annum) times the
notional amount of MGIC Investment Corp., 6.000%, 11/01/15. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 750 $ 1
Fund pays quarterly payment of 0.2200% (0.880% per annum) times the
notional amount of Nucor Corp., 4.875%, 10/01/12. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: Bank of America) 12/20/11 750 (3)
Fund pays quarterly payment of 0.1400% (0.560% per annum) times the
notional amount of Pitney Bowes, Inc., 4.625%, 10/01/12. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 1,600 2
Fund pays quarterly payment of 0.3500% (1.400% per annum) times the
notional amount of PMI Group, Inc., 6.000%, 09/15/16. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: Bank of America) 12/20/13 750 7
Fund pays quarterly payment of 0.3900% (1.760% per annum) times the
notional amount of Radian Group, Inc., 7.750%, 06/01/11. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 750 8
Fund pays quarterly payment of 0.1900% (0.760% per annum) times the
notional amount of TJX Cos, Inc., 7.450%, 12/15/09. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: Bank of America) 12/20/11 750 4
Fund pays quarterly payment of 0.4500% (1.800% per annum) times the
notional amount of Weyerhaeuser, Co., 6.750%, 03/15/12. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: Bank of America) 12/20/11 750 (3)
Fund receives monthly payment of 0.5400% (6.480% per annum) times the
notional amount of the ABX.HE.A 06-1 Index. Upon a defined credit
event, Fund pays the notional amount and takes receipt of the defined
deliverable obligation. (Counterparty: Bear Stearns) 07/25/45 1,875 10
Fund pays quarterly payment of 0.3400% (1.360% per annum) times the
notional amount of Agrium, Inc., 8.250%, 02/15/11. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 (4)
Fund pays quarterly payment of 0.4600% (1.840% per annum) times the
notional amount of Autozone, Inc., 5.875%, 10/15/12. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 (7)
Fund pays quarterly payment of 0.5500% (2.200% per annum) times the
notional amount of Black & Decker Corp., 7.125%, 06/01/11. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 (4)
Fund pays quarterly payment of 0.2150% (0.860% per annum) times the
notional amount of Carnival Corp., 6.650%, 01/15/28. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: JPMorgan Chase) 06/20/12 600 (1)
Fund pays quarterly payment of 0.2600% (1.040% per annum) times the
notional amount of Dow Chemical Co., 6.000%, 10/01/12. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 750 3
Fund pays quarterly payment of 1.1800% (4.720% per annum) times the
notional amount of Gap, Inc., 8.800%, 12/15/08. Upon a defined credit
event, Fund will receive the notional amount and deliver the defined
obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 (12)
Fund pays quarterly payment of 0.3900% (1.560% per annum) times the
notional amount of Hasbro, Inc., 2.750%, 12/01/21. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 7
- ---------------------------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- ---------------------------------------------------------------------------------------------------------------------
Fund pays quarterly payment of 0.7700% (3.080% per annum) times the
notional amount of Jones Apparel Group, Inc., 5.125%, 11/15/14. Upon
a defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 $ 3
Fund pays quarterly payment of 0.4500% (1.800% per annum) times the
notional amount of Lubrizol Corp., 7.250%, 06/15/25. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 (3)
Fund pays quarterly payment of 0.3500% (1.400% per annum) times the
notional amount of MGIC Investment Corp., 6.000%, 03/15/07. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 750 1
Fund pays quarterly payment of 0.2800% (1.120% per annum) times the
notional amount of Nordstrom, Inc., 6.950%, 03/15/28. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 750 (1)
Fund pays quarterly payment of 0.2200% (0.880% per annum) times the
notional amount of Nucor Corp., 4.875%, 10/01/12. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 (3)
Fund pays quarterly payment of 0.3500% (1.400% per annum) times the
notional amount of PMI Group, Inc., 6.000%, 09/15/16. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 750 7
Fund pays quarterly payment of 0.2000% (0.800% per annum) times the
notional amount of PPG Industries, Inc., 7.050%, 08/15/09. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 --
Fund pays quarterly payment of 0.3900% (1.560% per annum) times the
notional amount of Radian Group, Inc., 7.750%, 06/01/11. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 750 (4)
Fund pays quarterly payment of 0.2700% (1.080% per annum) times the
notional amount of Southwest Airlines Co., 6.500%, 03/01/12. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 2
Fund pays quarterly payment of 0.3200% (1.280% per annum) times the
notional amount of Washington Mutual Co., 5.250%, 09/15/17. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: JPMorgan Chase) 03/20/12 700 (1)
Fund receives monthly payment of 0.5400% (6.480% per annum) times the
notional amount of the ABX.HE.A 06-1 Index. Upon a defined credit
event, Fund pays the notional amount and takes receipt of the defined
deliverable obligation. (Counterparty: Merrill Lynch) 07/25/45 2,500 9
Fund receives monthly payment of 0.6400% (7.680% per annum) times the
notional amount of the ABX.HE.A 07-1 Index. Upon a defined credit
event, Fund will deliver the notional amount and takes receipt of the
defined deliverable obligation. (Counterparty: Merrill Lynch) 08/25/37 1,000 5
Fund receives quarterly payment of 0.4000% (1.600% per annum) times the
notional amount of CDX.NA.IG. Index. Upon a defined credit event, Fund
will deliver the notional amount and takes receipt of the defined
obligation. (Counterparty: Merrill Lynch) 12/20/11 650 5
Fund receives quarterly payment of 0.4000% (1.600% per annum) times the
notional amount of CDX.NA.IG., Index. Upon a defined credit event,
Fund will deliver the notional amount and takes receipt of the defined
obligation. (Counterparty: Merrill Lynch) 12/20/11 13,800 96
Fund receives quarterly payment of 0.4000% (1.600% per annum) times the
notional amount of CDX.NA.IG. Index. Upon a defined credit event, Fund
will deliver the notional amount and takes receipt of the defined
obligation. (Counterparty: Merrill Lynch) 12/20/11 3,850 28
- --------------------------------------------------------------------------------
128 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- ---------------------------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- ---------------------------------------------------------------------------------------------------------------------
Fund receives quarterly payment of 0.4400% (1.760% per annum) times the
notional amount of Dow Chemical Co., 6.000%, 10/01/12. Upon a defined
credit event, Fund will deliver the notional amount and takes receipt
of the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 1,500 $ (15)
Fund pays quarterly payment of 0.2500% (1.000% per annum) times the
notional amount of Dow Chemical Co., 6.000%, 10/01/12. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: Merrill Lynch) 12/20/13 750 3
Fund pays quarterly payment of 0.1300% (0.520% per annum) times the
notional amount of Lowe's Cos., 8.250%, 06/01/10. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: Merrill Lynch) 12/20/11 750 1
Fund pays quarterly payment of 0.4500% (1.800% per annum) times the
notional amount of Lubrizol Corp., 7.250%, 06/15/25. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: Merrill Lynch) 12/20/11 750 (3)
Fund pays quarterly payment of 0.9000% (3.600% per annum) times the
notional amount of MDC Holdings, Inc., 5.500%, 05/15/13. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 750 (7)
Fund pays quarterly payment of 0.2800% (1.120% per annum) times the
notional amount of Nordstrom, Inc., 6.950%, 03/15/28. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: Merrill Lynch) 12/20/13 750 (1)
Fund pays quarterly payment of 0.6900% (2.760% per annum) times the
notional amount of RR Donnelly & Sons Co., 4.950%, 04/01/14. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 750 (1)
Fund pays quarterly payment of 0.2700% (1.080% per annum) times the
notional amount of Southwest Airlines Co., 6.500%, 03/01/12. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 750 2
Fund pays quarterly payment of 0.4500% (1.800% per annum) times the
notional amount of Weyerhaeuser, Co., 6.750%, 03/15/12. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: Merrill Lynch) 03/20/12 750 (2)
Fund pays quarterly payment of 0.3380% (1.352% per annum) times the
notional amount of Whirlpool Corp., 7.750%, 07/15/16. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 --
-------
$ (137)
=======
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
Percentages are based on Net Assets of $1,790,634 ($ Thousands).
* Non-Income Producing Security
** Rate shown is the 7-day effective yield as of May 31, 2007.
+ Real Estate Investments Trust
++ Affiliated security
(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 May 31,
2007 (See Note 9). The total value of securities on loan at May 31, 2007
was $353,477 ($ Thousands).
(C) This security was purchased with cash collateral held from securities
lending (See Note 9). The total value of such securities as of May 31,
2007 was $359,644 ($ Thousands).
(D) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of May 31, 2007. The date reported on the
Schedule of Investments is the next reset date.
(E) The rate reported is the effective yield at time of purchase.
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
(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 May 31, 2007. The coupon on a step bond changes on a
specified date.
(H) Zero coupon security. The rate reported on the Schedule of Investments is
the effective yield at time of purchase.
(I) Security, or portion of this security, has been pledged as collateral on
open swap contracts. The rate reported on the Schedule of Investments is
the effective yield at time of purchase.
(J) Tri-Party Repurchase Agreement.
(K) Security, or a poriton of this security, has been pledged as collateral on
reverse repurchase agreements.
(L) Security fair valued using methods determined in good faith by the
valuation committee of the Board of Trustees. The total value of such
securities as of May 31, 2007 was $749 ($Thousands) and represented 0.00%
of Net Assets.
ADR -- American Depositary Receipt
ARM -- Adjustable Rate Mortage
AUD -- Australian Dollar
CAD -- Canadian Dollar
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
GNMA -- Government National Mortgage Association
HKD -- Hong Kong Dollar
IO -- Interest Only -- Face Amount Represents Notional Amount
JPY -- Japanese Yen
LLC -- Limited Liability Company
LP -- Limited Partnership
MTN -- Medium Term Note
MXP -- Mexican Peso
NIM -- Net Interest Margin
NOK -- Norwegian Krone
NZD -- New Zealand Dollar
SDR -- Swedish Depository 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 $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 129
SCHEDULE OF INVESTMENTS
World Equity Ex-US Fund
May 31, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)++:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
23.3% Financials
9.1% Materials
8.9% Consumer Discretionary
8.7% Industrials
6.9% Short-Term Investments
6.3% Energy
5.7% U.S. Government Agency Mortgage-Backed Obligations
5.4% Telecommunication Services
5.1% Information Technology
5.1% Asset-Backed Securities
3.9% Consumer Staples
3.6% Utilities
3.4% Health Care
2.1% Time Deposits
0.7% Commercial Paper
0.7% U.S. Government Agency Obligations
0.6% U.S. Treasury Obligations
0.2% Equity-Linked Warrants
0.2% Certificates of Deposit
0.1% Master Note
0.0% Exchanged Traded Funds
0.0% Rights
++Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 9).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 82.5%
ARGENTINA -- 0.0%
MetroGas ADR* 3,000 $ 14
Telecom Argentina, Ser B ADR 10,700 304
Telefonica de Argentina* 400 8
--------------
326
--------------
AUSTRALIA -- 3.8%
Adelaide Brighton 27,000 82
Amcor 107,589 662
AMP 425,400 3,560
Australia & New Zealand
Banking Group 93,083 2,222
Australian Infrastructure Fund 204,700 505
Australian Stock Exchange 8,400 338
BHP Billiton 107,953 2,817
BlueScope Steel 148,000 1,356
Boral 64,400 470
Brambles (B)* 65,335 691
Brambles* 39,540 419
Caltex Australia 26,737 566
Challenger Financial Services
Group (B) 340,507 1,663
Cochlear 2,441 126
Coles Myer 2,900 40
Commonwealth Bank of Australia 39,130 1,794
CSL 21,444 1,583
Downer EDI 142,894 883
Felix Resources 5,600 26
Foster's Group 138,200 727
Goodman Fielder 352,982 745
GPT Group 16,878 72
GUD Holdings 57,000 430
Independence Group 4,600 31
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
ING Industrial Fund (B) 218,881 $ 440
Insurance Australia Group 40,200 199
John Fairfax Holdings 155,800 628
Jubilee Mines 132,400 1,907
Leighton Holdings 37,000 1,363
Lend Lease 27,239 449
Macquarie Airports (B) 934,693 3,218
Macquarie Bank 15,800 1,146
Macquarie Infrastructure Group 998,323 3,057
Metcash 287,200 1,229
MFS 122,200 640
Minara Resources 355,900 2,424
Mincor Resources 9,400 32
Mirvac Group 33,026 157
Multiplex Group 245,300 999
National Australia Bank 113,379 3,992
Newcrest Mining 40,900 745
OneSteel 32,000 175
Origin Energy 1,000 7
Pacific Brands 1,006,327 2,882
PaperlinX 409,900 1,401
Peptech 217,300 274
Perilya 6,000 21
Port Bouvard 13,800 26
Portman 7,000 43
Qantas Airways (B) 208,789 985
QBE Insurance Group (B) 343,939 8,887
Rinker Group 23,101 367
Rio Tinto 10,500 830
Sally Malay Mining 5,500 22
Santos 53,449 593
Seven Network 71,900 683
Sims Group 7,542 170
Sonic Healthcare 6,647 80
Southern Cross Broadcasting Australia 31,000 431
Specialty Fashion Group 226,400 286
St George Bank 3,500 108
TABCORP Holdings 26,400 388
Tattersall's 179,300 706
Telstra (B) 250,940 1,009
Telstra (Installment Receipts) 913,900 2,564
Toll Holdings 45,045 861
West Australian Newspapers Holdings 90,800 1,086
Westfield Group 22,700 403
Westpac Banking 79,038 1,705
Woolworths 162,286 3,695
WorleyParsons 40,165 990
Zinifex 142,500 2,076
--------------
78,187
--------------
- --------------------------------------------------------------------------------
130 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
AUSTRIA -- 0.3%
Andritz 162 $ 11
Conwert Immobilien Invest* 209 4
IMMOFINANZ* 37,792 610
OMV (B) 28,400 1,885
Raiffeisen International Bank
Holding (B) 2,869 449
Telekom Austria (B) 51,500 1,410
Voestalpine (B) 36,223 2,630
--------------
6,999
--------------
BELGIUM -- 0.9%
AGFA-Gevaert 9,603 251
Belgacom (B) 25,603 1,165
Compagnie Maritime Belge 21,204 1,618
Cumerio 16,400 551
D'ieteren 53 24
Delhaize Group 7,100 678
Dexia (B) 40,005 1,285
Fortis 137,834 5,727
Fortis (Netherlands Line) 68,261 2,838
Gimv 7,100 511
InBev 7,543 636
KBC Groep 4,200 580
Solvay 8,500 1,357
UCB 14,810 866
--------------
18,087
--------------
BERMUDA -- 0.0%
Frontline 19,000 884
--------------
BRAZIL -- 1.0%
Banco Bradesco ADR (B) 131,899 3,349
Banco do Brasil 11,600 478
Banestes-Banco do Estado do
Espirito Santo 144,400 78
Cia Brasileira de Distribuicao Grupo
Pao de Acucar ADR (B) 61,087 2,060
Cia de Saneamento Basico do
Estado de Sao Paulo 3,692,000 597
Cia Petroquimica do Sul 10,500 195
Cia Vale do Rio Doce ADR 84,295 3,831
Gerdau ADR (B) 53,325 1,213
Localiza Rent A CAR 87,900 991
Petroleo Brasileiro ADR 3,024 327
Santos-Brasil 65,276 911
Tim Participacoes ADR (B) 82,357 3,014
Uniao de Bancos Brasileiros 2,800 31
Uniao de Bancos Brasileiros ADR 33,930 3,811
--------------
20,886
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CANADA -- 4.8%
Agrium 5,789 $ 223
Alcan 48,960 4,218
Algoma Steel 6,300 330
Angiotech Pharmaceuticals 330 2
ARC Energy Trust 8,100 173
Aspreva Pharmaceuticals 3,000 61
Atco 5,600 290
AUR Resources 8,500 237
Bank of Montreal 26,000 1,731
Bank of Nova Scotia 57,800 2,909
Barrick Gold 55,200 1,606
Barrick Gold (USD) 18,900 551
Biovail 52,400 1,274
BPO Properties 2,300 151
CAE 58,200 753
Cameco 58,769 3,047
Canaccord Capital 22,600 470
Canadian Imperial Bank of Commerce 25,900 2,487
Canadian National Railway (B) 9,700 529
Canadian Natural Resources 54,000 3,591
Canadian Utilities 10,356 482
Canetic Resources Trust 16,300 257
CGI Group, Cl A 308,080 3,328
CI Financial Income Fund 22,040 608
Cognos 25,200 1,005
Denison Mines* 57,800 753
Dorel Industries, Cl B 24,600 794
Dundee 500 29
Eastern Platinum 433,500 1,006
EnCana 66,100 4,050
Ensign Resource Service Group 15,000 311
Fairfax Financial Holdings 10,300 2,081
Finning International 36,400 1,032
Flint Energy Services 3,400 86
Gerdau Ameristeel 25,200 390
Gildan Activewear 10,000 348
Husky Energy 36,900 3,077
Inmet Mining 4,600 328
IPSCO 1 --
Kinross Gold 253,850 3,388
Legacy Hotels+ 8,700 113
Linamar 4,200 76
Manulife Financial 21,000 783
Methanex 35,010 914
MI Developments, Class A 4,700 182
National Bank of Canada 43,009 2,617
Nexen 45,480 1,362
Nortel Networks 25,120 653
Northbridge Financial 57 2
Nova Chemicals 20,000 713
Open Text 23,800 541
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 131
SCHEDULE OF INVESTMENTS
World Equity Ex-US Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Petro-Canada 51,000 $ 2,575
Pinetree Capital 113,900 1,209
Potash Saskatchewan 73,800 5,237
Power Corp of Canada 57,600 2,147
Power Financial 17,950 689
PrimeWest Energy Trust 27,202 573
QLT 7,500 55
Research In Motion 36,030 5,980
Rogers Communications, Cl B 125,640 5,212
Royal Bank of Canada 83,280 4,540
Saputo 8,499 335
Sherritt International 59,700 869
Shoppers Drug Mart 5,800 274
Sun Life Financial 81,125 3,833
Suncor Energy 13,600 1,182
Talisman Energy 41,800 845
Teck Cominco, Cl B 57,800 2,444
TELUS 32,594 1,964
Tesco 3,000 93
Toronto-Dominion Bank 15,700 1,085
Transcontinental 7,340 146
Yellow Pages Income Fund 94,411 1,287
--------------
98,516
--------------
CHILE -- 0.2%
A.F.P. Provida ADR 2,800 81
Cervecerias Unidas ADR 2,200 76
Cia Cervecerias Unidas ADR 5,500 191
Embotelladora Andina ADR 600 12
Empresa Nacional de
Electricidad ADR 73,000 3,402
Enersis ADR 22,500 413
Lan Airlines ADR 4,700 378
--------------
4,553
--------------
CHINA -- 1.2%
China Construction Bank 859,000 515
China International Marine Containers 109,500 297
China Petroleum & Chemical, Cl H 6,450,000 7,201
China Shipping Container Lines 631,000 373
China Shipping Development 1,444,000 2,825
China Telecom 5,119,000 2,753
Dongfeng Motor Group 262,000 134
Great Wall Motor 210,000 278
Great Wall Technology 114,000 52
Guangdong Electric Power
Development 247,600 235
Hangzhou Steam Turbine* 3,000 9
Harbin Power Equipment 210,000 259
Huadian Power International 432,000 227
Huaneng Power International 342,000 352
Industrial & Commercial
Bank of China, Cl H 1,358,000 711
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Jiangxi Copper 99,000 $ 158
Lenovo Group 588,000 294
PetroChina, Cl H 2,602,000 3,405
PICC Property & Casualty 514,000 318
Shanghai Electric Group 96,000 41
Weiqiao Textile 148,000 329
Yanzhou Coal Mining 2,750,000 3,542
--------------
24,308
--------------
COLOMBIA -- 0.1%
BanColombia ADR 61,651 1,727
--------------
CZECH REPUBLIC -- 0.1%
CEZ 51,407 2,625
Telefonica O2 Czech Republic 11,000 319
Unipetrol* 7,941 104
--------------
3,048
--------------
DENMARK -- 0.6%
AP Moeller - Maersk 137 1,662
Carlsberg, Cl B (B) 17,000 2,064
Dampskibsselskabet Torm 19,800 783
Danske Bank 61,546 2,682
East Asiatic (B) 7,125 400
H Lundbeck 6,795 170
Jyske Bank* 4,000 306
Novo-Nordisk, Cl B 19,600 2,064
Sydbank 1,700 92
Topdanmark* 675 125
Vestas Wind Systems 27,500 1,933
--------------
12,281
--------------
EGYPT -- 0.0%
Egyptian International
Pharmaceutical Industrial 18,000 96
Mobinil-Egyptian Mobile Services 5,893 174
Orascom Telecom Holding 1,880 25
Paints & Chemical Industry 8,000 78
Suez Cement 2,000 20
--------------
393
--------------
FINLAND -- 1.0%
Cargotec, Cl B 6,100 384
Elisa, Cl A 28,080 811
Kemira 13,600 306
Kemira GrowHow 130,600 2,109
Konecranes 5,950 251
M-real, Cl B 111,600 758
Metso 16,300 907
Neste Oil (B) 39,131 1,478
Nokia 92,096 2,522
- --------------------------------------------------------------------------------
132 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Nokian Renkaat 11,700 $ 408
OKO Bank, Cl A 24,498 494
Outokumpu 38,339 1,374
Rautaruukki 50,400 3,120
Sampo, Cl A 39,154 1,239
Sponda 47,700 777
Stora Enso, Cl R 92,417 1,765
UPM-Kymmene 44,300 1,148
Wartsila, Cl B 5,700 378
--------------
20,229
--------------
FRANCE -- 7.5%
Accor (B) 11,475 1,067
Air France-KLM 67,501 3,447
Air Liquide (B) 5,800 1,377
Alstom 431 68
Atos Origin* 900 55
AXA (B) 82,488 3,606
BNP Paribas (B) 108,093 13,117
Bouygues (B) 49,543 4,373
Capgemini (B) 91,510 6,975
Carrefour (B) 13,800 1,006
Casino Guichard Perrachon (B) 7,238 766
Christian Dior (B) 7,500 982
Cie de Saint-Gobain 29,629 3,249
Ciments Francais 2,763 656
Club Mediterranee* 2,765 185
CNP Assurances 6,582 882
Compagnie Generale des
Etablissements Michelin, Cl B (B) 35,298 4,624
Credit Agricole (B) 110,688 4,570
Dassault Systemes (B) 5,748 349
Financiere de L'Odet 600 272
France Telecom (B) 195,440 6,004
Groupe Danone (B) 51,998 8,147
Havas 30,000 181
L'Oreal (B) 16,705 1,985
Lafarge (B) 22,472 3,889
Lagardere S.C.A. 27,689 2,312
Natixis 4,496 118
Nexity 531 48
PagesJaunes Groupe 12,870 275
Pernod-Ricard 6,700 1,472
Peugeot (B) 50,225 3,980
Publicis Groupe 6,600 299
Renault (B) 42,066 6,014
Rhodia 742,650 3,098
Sanofi-Aventis (B) 150,349 14,498
Schneider Electric 20,279 2,928
SCOR (B) 4,061 111
Sequana Capital 334 10
Societe Fonciere Financiere
et de Participations 49 15
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Societe Generale (B) 55,989 $ 10,909
Sodexho Alliance 9,100 688
Technip 4,900 380
Thales 196 12
Thomson 24,210 467
Total (B) 186,648 14,065
Unibail+ 6,600 1,894
Vallourec 13,565 4,342
Veolia Environnement (B) 16,027 1,341
Vinci 93,380 7,389
Vivendi (B) 147,401 6,423
--------------
154,920
--------------
GERMANY -- 6.0%
Allianz 71,805 15,943
Altana 421 10
BASF 53,431 6,618
Bayer 152,593 10,983
Bayerische Motoren Werke (B) 81,756 5,475
Commerzbank 49,930 2,456
Continental 6,972 986
DaimlerChrysler 93,718 8,594
Deutsche Bank (B) 55,667 8,469
Deutsche Beteiligungs 18,400 666
Deutsche Boerse 5,122 1,213
Deutsche Lufthansa 91,300 2,645
Deutsche Telekom 79,400 1,472
E.ON (B) 66,423 10,921
Fresenius Medical Care 29,812 4,376
Heidelberger Druckmaschinen 1,629 80
Hochtief 6,400 742
Hypo Real Estate Holding 5,612 387
Infineon Technologies (B)* 296,900 4,602
Lanxess 8,100 459
MAN 8,551 1,241
Metro (B) 7,900 639
MTU Aero Engines Holding 543 34
Muenchener
Rueckversicherungs (B) 37,984 7,151
Norddeutsche Affinerie 32,600 1,198
RWE 26,610 3,015
Salzgitter (B) 19,125 3,666
SAP 22,080 1,057
Siemens 61,088 8,051
Software 6,300 601
Suedzucker (B) 51,413 1,117
ThyssenKrupp 50,795 2,968
TUI (B) 45,800 1,245
Volkswagen 11,359 1,724
Vossloh 11,100 1,294
Wincor Nixdorf 2,302 229
--------------
122,327
--------------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 133
SCHEDULE OF INVESTMENTS
World Equity Ex-US Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
GREECE -- 0.1%
Coca Cola Hellenic Bottling* 11,101 $ 514
Cosmote Mobile Communications 7,530 242
Hellenic Telecommunications
Organization 27,100 864
OPAP 7,420 284
Public Power 11,000 299
Titan Cement 1,470 87
--------------
2,290
--------------
GUERNSEY -- 0.0%
Mapeley 504 34
--------------
HONG KONG -- 2.1%
Bank of East Asia 176,900 1,033
BOC Hong Kong Holdings 289,100 688
Cheung Kong Holdings 200,500 2,595
China Merchants Bank 83,233 215
China Mobile Hong Kong 1,283,300 11,994
China Netcom Group 427,000 1,088
China Oriental Group 238,000 87
China Overseas Land & Investment 2,422,000 3,324
China State Construction
International Holdings 120,000 143
China Unicom 36,000 53
Chinese Estates Holdings 469,000 754
Chow Sang Sang Holdings 78,000 63
CLP Holdings 147,800 1,042
Cosco Pacific 1,044,000 2,740
Digital China Holdings 332,000 159
Esprit Holdings 41,200 507
Great Eagle Holdings 37,000 142
Guangzhou Investment 852,000 227
Guoco Group 13,000 181
Hang Lung Group 50,000 201
Hang Lung Properties 293,200 923
Henderson Land Development 48,000 332
Hong Kong & China Gas 147,400 308
Hong Kong Exchanges and Clearing 1,000 11
Hongkong & Shanghai Hotels 279,200 455
HongKong Electric Holdings 219,900 1,136
Hopewell Holdings 115,500 506
Hopson Development Holdings 128,000 338
Hutchison Whampoa 32,000 309
Industrial and Commercial
Bank of China Asia 145,000 316
Jardine Strategic Holdings 3,000 43
Li & Fung 371,400 1,246
MTR 392,600 957
New World China Land 114,400 92
New World Development 287,500 701
Orient Overseas International 115,500 1,156
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Pacific Century Premium
Developments 297,000 $ 93
Shanghai Industrial Holdings 56,000 165
Shenzhen Investment 354,000 213
Silver Grant International 734,000 221
Sino Land 472,423 1,033
Sinolink Worldwide Holdings 480,000 124
Swire Pacific, Cl A 195,400 2,199
Transport International Holdings 14,000 72
Vtech Holdings 45,500 332
Wharf Holdings 322,700 1,304
Wheelock 224,400 552
Wing On International 38,000 63
--------------
42,436
--------------
HUNGARY -- 0.2%
Danubius Hotel and Spa* 3,367 177
Egis 1,200 142
Magyar Telekom 55,000 276
MOL Hungarian Oil & Gas 5,400 698
OTP Bank 57,753 3,064
--------------
4,357
--------------
INDIA -- 1.0%
Bank of India 56,610 294
Bharat Electronics 6,510 290
Bharti Televentures 166,031 3,473
CESC 17,280 152
Essar Steel 132,110 120
GAIL India 47,810 360
Grasim Industries 6,390 393
Gujarat Narmada Valley Fertilizers 43,890 116
Gujarat State Fertilisers 20,519 88
Hindalco Industries 64,100 222
Hindustan Zinc 23,880 385
Indian Overseas Bank 65,400 181
Indian Petrochemicals 2,970 26
Infosys Technologies 55,119 2,611
Infosys Technologies ADR 2,600 128
ITC 678,827 2,738
JSW Steel 16,810 250
Mahindra & Mahindra 10,622 198
Maruti Udyog 2,180 44
National Aluminium 40,460 250
Oil & Natural Gas 26,090 593
Sesa GOA 2,593 107
Siemens India 102,397 3,223
State Bank of India GDR 9,020 740
Steel Authority of India 196,890 680
Sterlite Industries India 33,650 451
Tata Motors 145,611 2,710
- --------------------------------------------------------------------------------
134 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Tata Steel 6,640 $ 103
UCO Bank 41,180 24
--------------
20,950
--------------
INDONESIA -- 0.3%
Bank Central Asia 827,000 492
Bank Rakyat Indonesia 2,194,500 1,517
HM Sampoerna 163,000 235
International Nickel Indonesia 49,000 305
Telekomunikasi Indonesia 2,805,800 3,036
--------------
5,585
--------------
IRELAND -- 0.3%
Allied Irish Banks 21,482 648
Bank of Ireland 4,601 99
CRH 56,803 2,759
DCC 20,457 708
Depfa Bank 39,800 734
Kerry Group, Cl A 13,600 398
--------------
5,346
--------------
ISRAEL -- 0.3%
Bank Hapoalim 483,654 2,617
Bank Leumi Le-Israel 96,000 407
Bezeq Israeli Telecommunication 1,062,823 1,873
Clal Insurance 8,100 261
Delek Group 500 117
First International Bank of Israel* 14,000 186
Harel Insurance Investments & Finances 2,500 152
Mizrahi Tefahot Bank 33,000 258
Teva Pharmaceutical Industries 9,600 375
Teva Pharmaceutical Industries ADR 5,800 227
--------------
6,473
--------------
ITALY -- 2.8%
Aedes 38,700 340
AEM 252,400 966
Autostrade 145,700 4,911
Banca Intesa (B) 233,521 1,782
Banco Popolare di Verona e Novara (B) 27,210 827
Beni Stabili 873,800 1,469
Buzzi Unicem 15,100 526
Cementir 27,400 398
Danieli 21,800 534
Ducati Motor Holding 505,700 1,074
Edison 259,000 827
Enel 206,840 2,353
ENI (B) 255,488 9,035
Fiat (B) 248,282 7,110
Fiat RNC 71,220 1,814
Finmeccanica 24,300 764
Fondiaria-Sai (B) 16,300 838
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
IFIL - Investments 501,300 $ 5,548
Immobiliare Grande Distribuzione 79,800 410
Immobiliare Lombarda 178,951 53
IMMSI 188,900 592
Indesit 29,700 706
Iride 7,693 29
Italcementi (B) 41,000 1,331
Italmobiliare 4,700 663
KME Group 269,600 258
MARR 33,900 362
Pirelli & C 10,843 13
Pirelli & C Real Estate 495 35
Snam Rete Gas 49,200 303
Telecom Italia 728,000 2,111
Telecom Italia RNC 334,306 780
UniCredito Italiano (B) 947,865 8,897
--------------
57,659
--------------
JAPAN -- 13.2%
ADEKA 34,800 374
Advantest (B) 8,300 354
Aeon 137,200 2,562
Aichi Bank 900 101
Aisin Seiki 63,400 2,139
All Nippon Airways 71,000 273
Alpen 3,500 59
Alps Electric 14,200 138
Amada 70,100 883
AOC Holdings 28,700 392
Aoyama Trading 24,000 725
Arnest One 5,700 163
Asahi Breweries 27,300 435
Asahi Glass 63,000 838
Asahi Kasei 93,000 596
Astellas Pharma 21,300 942
Atsugi 549,700 871
Autobacs Seven 20,700 668
Bank of Kyoto 58,200 679
Bank of the Ryukyus 31,600 599
BML 1,000 18
Bosch 21,000 97
Bridgestone 34,200 668
Canon 73,300 4,308
Canon Finetech 3,700 181
Cawachi 1,800 52
Chiyoda 3,000 65
Chugoku Electric Power 19,300 410
Chukyo Bank 12,000 36
CMK 85,700 884
Coca-Cola West Holdings (B) 21,600 456
COMSYS Holdings 28,000 324
Cosmo Oil 257,800 1,236
Cosmos Initia 10,000 60
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 135
SCHEDULE OF INVESTMENTS
World Equity Ex-US Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Daicel Chemical Industries 30,000 $ 194
Daiei 4,050 43
Daifuku 6,755 88
Dainippon Ink and Chemicals 61,000 223
Dainippon Screen Manufacturing 5,000 37
Dainippon Sumitomo Pharma 35,000 365
Daishi Bank 23,000 102
Daito Trust Construction 1,900 101
Daiwa House Industry 25,000 375
Daiwa Securities Group 64,000 736
Denki Kagaku Kogyo 16,000 73
Denso 28,700 1,006
East Japan Railway 184 1,420
EDION 55,600 687
Eighteenth Bank 16,000 65
FamilyMart 7,500 191
Fanuc 24,400 2,328
Fields 4 5
Fuji Fire & Marine Insurance 28,000 110
Fuji Heavy Industries 61,000 293
Fuji Machine Manufacturing 3,400 69
FUJIFILM Holdings 60,500 2,503
Fujikura 34,000 234
Fujitsu 81,000 553
Fukuyama Transporting 107,100 441
Glory 4,300 87
Gunma Bank 225,800 1,555
Gunze 102,300 593
Hakuhodo DY Holdings 3,140 211
Hankyu Holdings (B) 76,000 435
Hirose Electric 2,200 285
HIS 2,400 68
Hitachi 219,900 1,614
Hitachi Capital 11,500 193
Hitachi Construction Machinery 14,100 471
Hitachi High-Technologies 600 16
Hitachi Kokusai Electric 8,000 95
Hitachi Metals 1,000 12
Hokkaido Electric Power 66,300 1,578
Hokkoku Bank 4,000 18
Honda Motor 142,200 4,996
Hoya 23,300 754
Idemitsu Kosan 3,700 425
Iida Home Max 2,200 35
Ines 57,200 399
Inpex Holdings 171 1,502
Isuzu Motors 330,000 1,606
Itochu 115,000 1,255
Japan Airport Terminal 2,400 41
Japan Digital Laboratory 2,000 26
Japan Steel Works (B) 425,700 6,081
Japan Tobacco 1,266 6,589
Japan Wool Textile 21,600 180
JFE Holdings 90,300 5,486
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Joshin Denki 50,100 $ 307
Joyo Bank 33,000 212
JS Group 12,900 271
Kagoshima Bank 11,000 83
Kamigumi 18,000 152
Kaneka 30,000 259
Kansai Electric Power 66,800 1,678
Kato Sangyo 1,300 17
Katokichi 11,500 64
Kawasaki Heavy Industries 84,000 329
Kawasaki Kisen Kaisha (B) 42,000 509
KDDI 134 1,144
Keyence 1,600 342
Kirin Brewery 37,000 572
Kobe Steel 168,000 576
Komatsu 63,000 1,670
Komori 15,000 356
Konica Minolta Holdings 38,500 523
Kumagai Gumi 184,200 348
Kurabo Industries 69,700 204
Kyocera 5,300 520
Kyushu Electric Power 79,800 2,162
Leopalace21 20,700 697
Maeda 7,000 31
Maeda Road Construction 7,000 60
Makita (B) 14,500 602
Marubeni (B) 63,000 440
Matsushita Electric Industrial 124,000 2,616
Matsushita Electric Works 20,000 250
Mazda Motor 7,000 39
Millea Holdings 44,400 1,764
Mitsubishi 231,500 5,635
Mitsubishi Chemical Holdings 287,500 2,514
Mitsubishi Electric 41,000 375
Mitsubishi Estate 241,850 7,425
Mitsubishi Gas Chemical 37,000 309
Mitsubishi Heavy Industries 176,100 1,068
Mitsubishi Paper Mills 250,700 535
Mitsubishi UFJ Financial Group 506 5,820
Mitsubishi UFJ Securities 38,000 437
Mitsuboshi Belting 38,700 227
Mitsui 221,200 4,358
Mitsui Chemicals 189,000 1,364
Mitsui Mining & Smelting 47,000 219
Mitsui OSK Lines 316,000 4,327
Mitsui Sumitomo Insurance 103,600 1,293
Mitsumi Electric 4,600 145
Mizuho Financial Group 413 2,919
Murata Manufacturing 10,100 713
NEC 103,000 524
NGK Spark Plug 40,900 656
Nichicon 50,300 743
Nikon 57,300 1,449
Nintendo 18,345 6,408
- --------------------------------------------------------------------------------
136 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Nippo 65,800 $ 519
Nippon Beet Sugar Manufacturing 139,700 365
Nippon Electric Glass 39,600 632
Nippon Express 12,000 72
Nippon Konpo Unyu Soko 59,400 785
Nippon Mining Holdings 279,600 2,456
Nippon Oil 168,000 1,426
Nippon Sharyo 180,300 401
Nippon Shokubai 14,000 124
Nippon Steel 423,900 2,961
Nippon Telegraph & Telephone 1,097 5,160
Nippon Yusen KK (B) 141,000 1,300
Nissan Motor 428,300 4,761
Nissan Shatai 13,000 71
Nisshin Seifun Group 7,000 72
Nisshin Steel 58,000 238
Nisshinbo Industries 76,000 1,048
Nomura Holdings 21,800 446
NSK 48,000 491
NTT Data 201 959
NTT DoCoMo 600 1,020
NTT Urban Development 408 985
Obayashi 64,000 356
Odakyu Electric Railway (B) 38,200 238
Oita Bank 8,000 52
Okasan Holdings 16,000 109
Oki Electric Industry (B) 202,000 371
Okumura 99,000 492
Ono Pharmaceutical 7,500 430
Onward Kashiyama 30,000 391
ORIX 27,990 7,491
Osaka Gas 128,000 476
Rakuten 470 160
Rengo 48,000 242
Ricoh 53,000 1,153
Riso Kagaku 2,200 39
Rohm 8,000 718
Royal Holdings 3,000 37
Sankyo 8,300 357
Sanwa Shutter 20,000 117
Seikagaku 4,100 47
Seiko Epson 12,400 358
Seino Transportation 17,000 167
Sekisui House 39,000 574
SFCG 3,700 702
Sharp 122,000 2,334
Shimamura 3,200 344
Shin-Etsu Chemical 17,700 1,186
Shinsei Bank 175,000 767
Showa Shell Sekiyu 52,400 634
Sintokogio 4,700 65
SMC 10,000 1,258
Softbank (B) 217,600 4,796
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Sojitz 62,200 $ 270
Sompo Japan Insurance 62,800 788
Sony 112,200 6,457
Stanley Electric 16,600 362
Sumco 110,600 5,320
Sumitomo 189,300 3,434
Sumitomo Bakelite 20,000 141
Sumitomo Chemical 145,000 959
Sumitomo Heavy Industries 123,000 1,396
Sumitomo Metal Industries 306,400 1,658
Sumitomo Metal Mining 80,000 1,822
Sumitomo Mitsui Financial Group 928 8,989
Sumitomo Realty & Development 47,000 1,775
Sumitomo Trust & Banking 8,000 81
Sumitomo Wiring Systems 4,000 94
Suzuki Motor 71,200 1,987
Tachihi Enterprise 400 18
Takeda Pharmaceutical 12,300 825
Takefuji 24,230 893
Tamura Taiko Holdings 71,000 201
TDK 19,200 1,742
Teijin 128,000 683
Toagosei 293,000 1,111
Toda 266,900 1,523
Tohoku Electric Power 7,600 176
Tokai Rika 4,200 109
Tokyo Electric Power 134,200 4,462
Tokyo Electron (B) 28,700 2,062
Tokyo Gas 140,900 694
Tokyu 66,600 458
Tokyu Land 43,400 536
Toppan Printing 40,000 422
Toshiba (B) 626,600 4,681
Toshiba TEC 21,000 121
Tosoh 38,000 194
Towa Real Estate Development 10,000 40
Toyo Seikan Kaisha 30,500 588
Toyota Auto Body 7,700 132
Toyota Industries 10,500 475
Toyota Motor 204,900 12,279
Trend Micro 32,200 1,060
Trusco Nakayama 2,400 47
Uniden 14,000 109
UNY 46,000 513
Ushio 15,900 330
West Japan Railway 100 465
Yahoo! Japan (B) 4,647 1,591
Yamada Denki 13,570 1,277
Yamaha 25,800 544
Yamaha Motor 15,500 394
Yamatane 227,000 319
Yamato Kogyo 5,100 183
Yamato Transport 49,700 721
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 137
SCHEDULE OF INVESTMENTS
World Equity Ex-US Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Yamazaki Baking 6,000 $ 54
Yokogawa Bridge 48,700 266
Yokohama Rubber 119,500 861
--------------
271,139
--------------
LUXEMBOURG -- 0.1%
Oriflame Cosmetics SDR 1,700 89
SES Global FDR 38,100 831
SES Global FDR (Paris Exchange) 31,763 692
Ternium ADR 13,100 351
--------------
1,963
--------------
MALAYSIA -- 0.6%
Affin Holdings 166,600 115
Boustead Holdings 155,000 117
Digi.Com 32,000 196
EON Capital 63,000 125
Genting 134,000 311
Hong Leong Bank 70,400 129
Hong Leong Financial Group 64,000 117
IOI 513,100 4,152
Mulpha International* 51,900 29
Petronas Dagangan 33,000 72
Public Bank 117,000 343
Resorts World 2,628,500 2,490
Selangor Properties 2,000 3
Sunway City 110,000 157
Tenaga Nasional 852,900 2,936
--------------
11,292
--------------
MEXICO -- 1.4%
Alfa 63,900 510
America Movil ADR, Ser L 120,020 7,267
America Movil, Ser L 517,500 1,560
Cemex* 246,300 954
Coca-Cola Femsa, Ser L 42,700 171
Consorcio* 1,622,372 2,612
Controladora Comercial Mexicana 76,800 209
Corp Mexicana de Restaurantes 21,600 14
Cydsa* 20,000 16
Embotelladoras Arca 46,700 169
Fomento Economico Mexicano ADR 115,370 4,596
Gruma 2,600 9
Grupo Bimbo, Ser A 67,300 431
Grupo Carso, Ser A1 99,600 421
Grupo Continental 72,400 162
Grupo Financiero Banorte (B) 632,989 2,957
Grupo Mexicano de Desarrollo* 9,900 42
Grupo Mexico, Ser B 122,800 731
Grupo Televisa 12,700 73
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Grupo Televisa ADR 101,100 $ 2,910
Industrias Penoles 11,100 128
Industrias, Ser B* 46,700 222
Organizacion Soriana 114,100 351
Telefonos de Mexico 488,600 984
Telefonos de Mexico ADR, Ser L 9,300 376
Wal-Mart de Mexico, Ser V 5,900 22
--------------
27,897
--------------
NETHERLANDS -- 3.7%
ABN AMRO Holding (B) 81,490 3,907
Aegon (B) 111,176 2,280
Akzo Nobel 97,812 7,983
ASML Holding* 24,428 633
Buhrmann 16,800 219
European Aeronautic Defense
and Space 92,940 2,923
Fugro 7,222 423
Heineken (B) 5,174 302
Heineken Holding 8,798 445
ING Groep 319,203 14,222
Koninklijke BAM Groep (B) 50,300 1,495
Koninklijke DSM 17,881 888
Mittal Steel 109,355 6,567
OPG Groep 19,200 694
Randstad Holdings 6,908 563
Reed Elsevier 71,857 1,431
Royal Dutch Shell, Cl A 299,627 11,094
Royal Dutch Shell, Cl A (GBP) (B) 112,950 4,205
Royal Dutch Shell, Cl B 179,858 6,788
Royal KPN 63,082 1,070
Unilever (B) 266,351 7,946
Vedior 700 21
Wolters Kluwer 20,400 635
--------------
76,734
--------------
NEW ZEALAND -- 0.2%
Air New Zealand 317,600 695
Contact Energy 34,149 223
Fisher & Paykel Appliances Holdings 258,000 740
Infratil 66,500 316
Kiwi Income Property Trust 262,400 310
Macquarie Goodman Property Trust 258,000 282
Telecom of New Zealand (B) 385,804 1,380
Vector 77,607 165
--------------
4,111
--------------
NORWAY -- 0.8%
Cermaq 23,000 394
DnB 43,083 581
Ementor* 115,100 973
Marine Harvest* 459,300 508
- --------------------------------------------------------------------------------
138 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Norske Skogindustrier 31,642 $ 475
Orkla (B) 105,155 1,855
Renewable Energy 2,300 73
Schibsted 31,500 1,513
Sparebanken Nord-Norge 21,700 539
Storebrand 46,300 729
Tandberg 107,800 2,429
Telenor (B) 68,900 1,338
Yara International (B) 147,163 4,261
--------------
15,668
--------------
PHILIPPINES -- 0.1%
JG Summit Holdings (J) 755,000 196
Manila Electric (J) 62,000 126
Philippine National Bank (J)* 80,100 93
SM Investments (J) 89,500 788
--------------
1,203
--------------
POLAND -- 0.1%
Bank Handlowy w Warszawie 5,600 255
Echo Investment* 1,400 54
Globe Trade Centre* 10,000 174
Grupa Lotos 14,000 239
ING Bank Slaski 600 217
KGHM Polska Miedz 10,400 426
Orbis 4,868 146
Polish Oil & Gas 80,000 135
Polski Koncern Naftowy Orlen* 47,000 812
Telekomunikacja Polska* 72,000 533
--------------
2,991
--------------
PORTUGAL -- 0.2%
Banco BPI 56,998 497
Banco Comercial Portugues 118,847 603
Banco Espirito Santo 23,989 550
Cimpor Cimentos de Portugal 7,744 76
Energias de Portugal 358,533 2,041
Sonae Industria 8,200 107
--------------
3,874
--------------
RUSSIA -- 1.6%
Cherkizovo Group GDR 46,359 675
LUKOIL ADR 31,067 2,358
LUKOIL Sponsored ADR 12,849 966
Magnitogorsk Iron & Steel Works* 82,690 1,013
MMC Norilsk Nickel ADR 22,145 4,220
Mobile Telesystems ADR 67,400 3,652
Novolipetsk Steel GDR (B) 65,891 1,746
OAO Gazprom ADR 63,700 2,325
Open Investments GDR* 52,000 1,586
Polyus Gold ADR 24,771 949
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Rosneft Oil GDR 238,788 $ 1,886
Rostelecom ADR 4,900 259
Sberbank GDR 8,544 3,101
Surgutneftegaz ADR 1,000 55
Surgutneftegaz ADR (B) 35,501 1,953
Unified Energy System GDR 33,900 4,152
VTB Bank (B) 116,740 1,319
--------------
32,215
--------------
SINGAPORE -- 1.3%
Allgreen Properties 1,122,000 1,349
CapitaCommercial Trust+ 570,200 1,111
CapitaLand 204,000 1,105
Cerebos Pacific 3,000 7
China Aviation Oil Singapore 10,000 13
City Developments 97,700 1,103
Cosco Singapore 1,015,400 1,782
DBS Group Holdings 303,400 4,824
Flextronics International 38,300 442
Fraser and Neave 32,000 121
Guocoland 46,000 150
Haw Par 10,000 51
Ho Bee Investment 8,000 12
Hong Leong Finance 149,100 398
Hotel Plaza 21,000 28
Jardine Cycle & Carriage 22,000 202
K1 Ventures 173,000 35
Keppel Land 382,800 2,339
Kim Eng Holdings+ 319,600 372
Mapletree Logistics Trust 919,200 879
MCL Land 9,000 16
Metro Holdings* 37,000 25
NatSteel 10,000 10
Neptune Orient Lines 440,000 1,320
Olam International 777,900 1,713
Oversea-Chinese Banking 201,400 1,255
SembCorp Industries 26,000 95
Singapore Airlines 63,000 767
Singapore Exchange 110,900 557
Singapore Petroleum 47,000 162
Singapore Technologies Engineering 93,000 214
Singapore Telecommunications* 414,100 970
SP Chemicals 19,000 15
Straits Trading 55,000 162
United Overseas Bank 101,400 1,611
UOB-Kay Hian Holdings 19,000 20
Venture 6,000 60
Wheelock Properties S 23,000 50
Wing Tai Holdings 545,200 1,252
--------------
26,597
--------------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 139
SCHEDULE OF INVESTMENTS
World Equity Ex-US Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
SOUTH AFRICA -- 0.9%
African Rainbow Minerals* 14,000 $ 241
Allied Technologies 6,000 55
AngloGold Ashanti 9,900 406
Assore 4,923 190
DataTec 15,293 87
Distell Group 16,000 121
Harmony Gold Mining* 32,500 474
Harmony Gold Mining ADR* 24,200 361
Impala Platinum Holdings 4,000 123
Johnnic Communications 4,000 58
Johnnic Holdings 62,458 128
Lewis Group 3,000 28
Liberty Group 24,000 310
Liberty Holdings 2,400 78
Merafe Resources 909,672 235
Metropolitan Holdings 66,000 151
Mittal Steel South Africa 43,000 765
MTN Group 8,000 110
Nampak 7,696 23
Sanlam 1,230,410 3,977
Sappi (B) 163,598 3,058
Sasol 147,817 5,340
Standard Bank Group 108,100 1,599
Telkom 39,000 940
--------------
18,858
--------------
SOUTH KOREA -- 2.6%
Daegu Bank 4,180 68
Daewoo Shipbuilding & Marine
Engineering 82,260 4,053
Dongbu Insurance 2,800 88
Doosan 2,290 328
E1 1,596 156
GS Holdings 5,030 257
Honam Petrochemical 6,000 649
Hynix Semiconductor 15,700 486
Hyundai Development 43,250 3,014
Hyundai Heavy Industries 3,780 1,291
Hyundai Mipo Dockyard 1,750 443
Hyundai Mobis 8,070 732
Hyundai Motor 36,150 2,558
Industrial Bank of Korea 10,680 215
KCC Engineering & Construction 2,560 177
KISWIRE 2,710 117
Kookmin Bank 6,040 547
Kookmin Bank ADR 5,920 535
Kookmin Bank ADR (B) 32,363 2,925
Korea Electric Power 25,130 1,106
Korea Kumho Petrochemical 2,770 154
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
KT 1,400 $ 67
KT&G 7,750 568
LG Chem 110 8
LG Electronics 3,810 287
LG Home Shopping 1,514 128
LG Philips LCD 68,710 2,845
Lotte Confectionery 83 108
LS Cable 4,710 332
Nong Shim Holdings 1,110 104
Pacific 160 29
POSCO 4,660 2,238
Pusan Bank 13,950 212
Samsung Electronics 12,821 7,387
Samsung Electronics GDR 3,984 1,141
Samsung Fire & Marine Insurance 12,729 2,296
Samsung Heavy Industries 7,580 334
Samwhan 3,580 138
SFA Engineering 2,225 96
Shinhan Financial Group 114,960 7,095
Shinhan Financial Group ADR 1,300 160
Shinsegae 3,723 2,666
Shinyoung Securities 2,160 123
SK 7,018 794
SK Gas 2,250 191
SK Telecom 519 113
SK Telecom ADR 24,500 658
Woori Finance Holdings 20,330 483
Woori Investment & Securities 77,710 2,155
--------------
52,655
--------------
SPAIN -- 2.3%
Acerinox (B) 5,792 148
ACS Actividades Construcciones
y Servicios (B) 112,893 7,562
Banco Bilbao Vizcaya
Argentaria (B) 190,964 4,826
Banco Popular Espanol (B) 39,539 792
Banco Santander Central Hispano (B) 431,419 8,290
Cementos Portland Valderrivas 1,297 182
Ebro Puleva 38,941 860
Gas Natural SDG (B) 93,204 5,497
Grupo Ferrovial 6,000 637
Iberdrola 68,588 3,944
Inditex (B) 9,165 579
Repsol (B) 196,947 7,222
Sacyr Vallehermoso (B) 12,390 710
Sol Melia 18,200 432
Telefonica (B) 206,299 4,689
Union Fenosa 3,136 185
--------------
46,555
--------------
- --------------------------------------------------------------------------------
140 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
SWEDEN -- 1.4%
Alfa Laval 1,100 $ 69
Assa Abloy, Cl B 19,200 432
Atlas Copco, Cl A 327,700 5,511
Axfood 9,550 358
Boliden 25,000 519
D Carnegie 3,300 66
Hennes & Mauritz, Cl B 3,300 209
Husqvarna, Cl B 22,800 346
Industrivarden, Cl A 21,800 481
Investor, Cl B 153,100 3,976
Klovern 94,900 445
Kungsleden 655 10
Nordea Bank 93,000 1,534
Sandvik 61,915 1,153
Skandinaviska Enskilda
Banken, Cl A 25,570 842
SKF 24,500 526
Svenska Cellulosa, Cl B 161,489 2,798
Svenska Handelsbanken, Cl A 35,263 1,041
Swedish Match 11,269 209
Tele2, Cl B 36,000 601
Telefonaktiebolaget LM
Ericsson, Cl B 736,364 2,796
TeliaSonera 371,529 2,755
Trelleborg, Cl B 9,800 312
Volvo, Cl B 81,000 1,699
Wihlborgs Fastigheter 2,623 56
--------------
28,744
--------------
SWITZERLAND -- 3.8%
ABB 61,666 1,318
Addax Petroleum 13,000 499
Adecco (B) 7,103 518
AFG Arbonia-Forster Holdings 700 363
Bobst Group 516 33
Bucher Industries 2,200 332
Ciba Specialty Chemicals 5,100 329
Clariant 23,700 404
Compagnie Financiere
Richemont, Cl A 57,764 3,552
Credit Suisse Group 97,077 7,379
Elektrizitaets-Gesellschaft Laufenburg 240 300
Energiedienst Holding 480 269
Forbo Holding 550 303
Geberit 304 53
Georg Fischer* 813 624
Gurit Holding 100 122
Helvetia Holding 800 322
Holcim 39,196 4,334
Inficon Holding 3,800 667
Kudelski 10,500 408
Nestle 14,191 5,524
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Novartis 192,053 $ 10,790
Phonak Holding 3,138 300
Rieter Holding 144 80
Roche Holding 69,777 12,800
Swatch Group 5,858 339
Swiss Life Holding 2,300 619
Swiss Reinsurance (B) 61,264 5,829
Swisscom (B) 6,154 2,166
UBS 105,945 6,908
Xstrata 126,167 7,242
Zurich Financial Services 12,277 3,754
--------------
78,480
--------------
TAIWAN -- 1.6%
Acer 231,000 427
Advanced Semiconductor
Engineering 2,277,873 2,620
Asustek Computer 255,000 629
AU Optronics 348,140 537
Capital Securities 191,000 87
Cheng Loong 269,000 105
China Development Financial Holding 1,187,000 478
China Steel 611,000 712
Chinatrust Financial Holding 3,057,600 2,318
Chunghwa Telecom* 437,000 820
Compal Electronics 500,000 454
CTCI 157,000 129
Delta Electronics* 154,000 503
Eastern Media International 390,000 113
Far Eastern Textile 360,000 359
Far EasTone Telecommunications 249,000 295
Formosa Chemicals & Fibre 214,000 439
Formosa Taffeta 227,000 215
HON HAI Precision Industry 424,215 2,998
HON HAI Precision Industry GDR 26,454 380
Hung Sheng Construction 108,000 83
Inventec* 463,000 333
KYE Systems 46,000 65
Lite-On Technology 386,000 456
MediaTek 219,000 3,467
Mitac International 260,000 338
Nan Ya Plastic* 449,000 870
Nien Hsing Textile 263,000 174
Powerchip Semiconductor 652,000 388
President Securities 242,000 132
ProMOS Technologies 820,000 338
Quanta Computer* 284,000 430
Shih Wei Navigation 80,000 110
Siliconware Precision Industries 1,856,507 3,877
Sincere Navigation 73,000 112
Taiwan Cement 396,000 373
Taiwan Cooperative Bank 332,000 224
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 141
SCHEDULE OF INVESTMENTS
World Equity Ex-US Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Taiwan Polypropylene 28,000 $ 22
Taiwan Semiconductor
Manufacturing 399,399 824
Taiwan Semiconductor
Manufacturing ADR 386,870 4,221
Tung Ho Steel Enterprise 258,000 288
United Microelectronics 809,192 470
Walsin Lihwa 656,000 345
Winbond Electronics* 546,000 197
Wistron 144,000 243
--------------
32,998
--------------
THAILAND -- 0.3%
Bangkok Bank NVDR (J) 133,000 442
CalComp Electronics Thailand
NVDR (J) 589,200 90
Kasikornbank NVDR (J) 172,000 342
Krung Thai Bank NVDR (J) 786,000 250
PTT (J) 34,400 254
PTT (Foreign) (J) 336,300 2,487
Siam Commercial Bank (Public) (J) 867,300 1,750
Thai Airways International NVDR (J) 124,000 160
--------------
5,775
--------------
TURKEY -- 0.2%
Anadolu Isuzu Otomotiv Sanayi 9,000 62
Aygaz 27,000 107
Bossa Ticaret Sanayi Isletme 32,000 45
Eczacibasi Ilac Sanayi 20,902 96
Ford Otomotiv Sanayi 21,000 207
Haci Omer Sabanci Holding 578,747 2,697
Ihlas Holding 134,000 79
KOC Holding 75,000 412
Petrol Ofisi 42,000 216
Tupras Turkiye Petrol Rafine 10,000 237
Turk Hava Yollari 24,000 153
Turk Sise ve Cam Fabrikalari 48,000 195
Turk Traktor ve Ziraat Makineler 6,000 62
Turkcell Iletisim Hizmet 15,000 101
Vestel Elektronik Sanayi 50,029 133
Yazicilar Holding 8,000 60
--------------
4,862
--------------
UNITED KINGDOM -- 11.5%
3i Group 18,491 444
Acergy 162,950 3,671
Amec 268,140 3,156
Anglo American 217,335 13,065
Antofagasta 22,700 250
ARM Holdings 63,141 176
AstraZeneca 154,475 8,207
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
AstraZeneca (SEK) 15,850 $ 839
Aviva 354,833 5,601
BAE Systems 756,000 6,688
Balfour Beatty 8,818 80
Barclays 755,687 10,793
Barratt Developments 47,656 1,028
Bellway 9,119 259
Berkeley Group Holdings 18,100 677
BHP Billiton 113,628 2,765
Bovis Homes Group 15,614 327
BP 934,845 10,439
Brit Insurance Holdings 33,800 232
British Airways 42,504 395
British American Tobacco 70,534 2,387
British Energy Group 338,000 3,512
British Land+ 48,179 1,379
BT Group 268,154 1,748
Burberry Group 214,950 2,906
Cable & Wireless 6,000 23
Cadbury Schweppes 33,625 473
Carnival 23,488 1,216
Carphone Warehouse Group 44,000 262
Cattles 8,020 66
Centrica 646,199 4,899
Charter 8,104 166
Close Brothers Group 4,196 78
Compass Group 155,500 1,160
Cookson Group 10,001 142
Daily Mail & General Trust 3,025 50
Davis Service Group 6,814 88
Diageo 281,005 5,987
Drax Group 4,919 78
DS Smith 70,900 351
Emap 3,952 68
Enterprise Inns 27,626 403
Firstgroup 5,500 75
FKI 130,300 356
Friends Provident 160,985 631
GKN 74,300 575
GlaxoSmithKline 300,490 7,787
Greene King 96,693 2,129
Group 4 Securicor 45,844 199
Hammerson+ 2,946 93
Hays 41,626 143
HBOS 458,192 9,852
Home Retail Group 188,353 1,758
HSBC Holdings 619,920 11,453
Hunting 42,400 671
Imperial Tobacco Group 73,389 3,170
Intercontinental Hotels Group 25 1
International Power 18,852 169
- --------------------------------------------------------------------------------
142 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Investec 32,000 $ 438
J Sainsbury 30,626 338
Kazakhmys 43,000 1,104
Kelda Group 35,000 708
Kingfisher 173,600 852
Kingston Communications 272,100 397
Land Securities Group+ 1,443 56
Legal & General Group 297,896 906
Liberty International+ 27,281 655
Lloyds TSB Group 132,466 1,507
LogicaCMG 110,702 363
Luminar 28,200 441
Marks & Spencer Group 364,000 5,033
Marston's 170,100 1,574
Michael Page International 36,801 415
Millennium & Copthorne Hotels 27,100 401
Minerva 224,900 1,788
Mitchells & Butlers 94,951 1,666
National Grid 207,828 3,219
Nestor Healthcare Group 10,900 35
Next 20,311 887
Northern Foods 357,900 899
Old Mutual 409,956 1,405
Pearson 19,537 347
Persimmon 34,100 921
Premier Oil 25,200 551
Prudential 111,000 1,661
Punch Taverns 40,320 1,072
Reckitt Benckiser 25,627 1,392
Reed Elsevier 32,200 435
Resolution 58,671 733
Reuters Group 90,400 1,123
Rio Tinto 42,802 3,107
Royal & Sun Alliance Insurance Group 467,158 1,463
Royal Bank of Scotland Group 1,354,499 16,813
SABMiller 142,837 3,396
Scottish & Newcastle 100,866 1,295
Scottish & Southern Energy 65,140 1,962
Segro+ 35,000 496
Severn Trent 18,300 569
Smith & Nephew 410,100 5,029
Smiths Group 44,000 990
St Ives Group 65,100 357
Stagecoach Group 85,307 312
Standard Chartered 54,707 1,850
Tate & Lyle 41,897 498
Taylor Woodrow 5,895 53
TDG 139,800 859
Tesco 226,300 2,054
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Trinity Mirror 11,453 $ 130
Unilever 70,172 2,164
United Utilities 54,803 836
Vodafone Group 6,279,975 19,627
Whitbread 14,300 536
Wimpey George 110,177 1,369
WPP Group 79,800 1,179
Yell Group 117,900 1,179
--------------
237,041
--------------
Total Common Stock
(Cost $1,391,053) ($ Thousands) 1,694,453
--------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS -- 6.4%
FHLMC
6.000%, 07/01/21 $ 6,960 7,030
6.000%, 08/01/21 970 980
6.000%, 10/01/21 10,427 10,532
6.000%, 11/01/21 873 882
6.000%, 03/01/22 4,951 5,000
6.000%, 04/01/22 2,984 3,014
FNMA
5.500%, 12/01/20 3,594 3,568
5.500%, 02/01/21 909 902
FNMA TBA
6.500%, 06/01/37 32,000 32,500
6.000%, 06/17/19 4,000 4,040
6.000%, 06/01/37 6,000 5,992
5.500%, 06/01/22 24,000 23,812
5.000%, 06/17/21 27,000 26,317
GNMA ARM
5.625%, 02/20/34 391 396
5.500%, 06/30/07 506 509
5.500%, 08/20/34 760 765
5.000%, 01/20/33 774 781
5.000%, 04/20/34 428 430
4.750%, 12/20/33 2,140 2,140
4.500%, 06/20/36 1,492 1,496
4.000%, 02/20/35 361 362
--------------
Total U.S. Government Agency Mortgage-Backed Obligations
(Cost $132,185) ($ Thousands) 131,448
--------------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 143
SCHEDULE OF INVESTMENTS
World Equity Ex-US Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 5.7%
MORTGAGE RELATED SECURITIES -- 5.7%
ACE Securities, Ser 2003-NC1,
Cl M (D)
6.100%, 06/25/07 $ 650 $ 652
ACE Securities, Ser 2003-OP1,
Cl M1 (D)
6.020%, 06/26/07 300 301
Aames Mortgage Investment Trust,
Ser 2005-4, Cl B2 (D)
8.070%, 06/12/07 150 128
Adjustable Rate Mortgage Trust,
Ser 2005-5, Cl 1A1 (D)
4.952%, 06/01/07 1,131 1,130
Aegis Asset Backed Securities Trust,
Ser 2003-3, Cl M1 (D)
6.020%, 06/25/07 69 69
American Home Mortgage
Investment Trust, Ser 2004-3,
Cl 2A (D)
3.590%, 09/01/07 3,793 3,857
American Home Mortgage
Investment Trust, Ser 2005-1,
Cl 6A (D)
5.294%, 06/25/07 4,502 4,464
American Home Mortgage
Investment Trust, Ser 2005-4,
Cl 5A (D)
5.350%, 06/25/07 3,293 3,303
American Home Mortgage
Investment Trust, Ser 2006-1,
Cl 2A3 (D)
5.100%, 06/25/07 1,365 1,352
Ameriquest Mortgage Securities,
Ser 2003-2, Cl M1 (D)
6.220%, 06/25/07 475 475
Argent Securities, Ser 2003-W5,
Cl M1 (D)
6.020%, 06/25/07 250 252
Argent Securities, Ser 2003-W9,
Cl M1 (D)
6.010%, 06/26/07 369 371
Asset-Backed Securities Home Equity
Loan Trust, Ser 2003-HE5,
Cl M1 (D)
6.070%, 06/15/07 456 457
Banc of America Commercial
Mortgage, Ser 2006-2, Cl A1
5.611%, 05/10/45 993 996
Banc of America Funding,
Ser 2006-A, Cl 2A2 (D)
5.566%, 06/01/07 175 179
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Basic Asset Backed Securities Trust,
Ser 2006-1, Cl A1 (D)
5.400%, 06/25/07 $ 1,406 $ 1,406
Bear Stearns Alt-A Trust,
Ser 2004-12, Cl 2A2
4.943%, 06/01/07 1,650 1,664
Chase Funding Mortgage Loan,
Ser 2003-1, Cl 1A4
4.119%, 02/25/29 66 66
Chase Funding Mortgage Loan,
Ser 2004-2, Cl 1A3
4.209%, 09/25/26 283 281
Countrywide Alternative Loan Trust,
Ser 2004-33, Cl 1A1 (D)
4.975%, 06/01/07 948 961
Countrywide Alternative Loan Trust,
Ser 2005-69, Cl M3 (D)
6.470%, 06/27/07 220 217
Countrywide Alternative Loan Trust,
Ser 2005-IM1, Cl M3 (D)
7.320%, 06/27/07 380 356
Countrywide Alternative Loan Trust,
Ser 2006-0A11, Cl M3 (D)
5.750%, 06/30/07 450 449
Countrywide Asset-Backed
Certificates, Ser 2003-5,
Cl MV2 (D)
6.920%, 01/25/34 303 306
Countrywide Asset-Backed
Certificates, Ser 2004-11,
Cl A2 (D)
5.700%, 06/25/07 109 109
Countrywide Asset-Backed
Certificates, Ser 2005-15,
Cl 1AF1 (D)
5.460%, 06/25/07 472 473
Countrywide Asset-Backed
Certificates, Ser 2006-IM1,
Cl A1 (D)
5.410%, 06/27/07 432 432
Countrywide Home Equity Loan Trust,
Ser 2006-D, Cl 2A (D)
5.520%, 06/30/07 2,263 2,261
Countrywide Home Loans,
Ser 2004-22, Cl A1 (D)
5.084%, 06/01/07 624 618
Countrywide Home Loans,
Ser 2006-HYB2, Cl 1A1 (D)
5.054%, 06/20/07 1,826 1,821
Countrywide Home Loans,
Ser 2007-HYB1, Cl 1A1 (D)
5.581%, 06/01/07 1,499 1,496
- --------------------------------------------------------------------------------
144 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Credit Suisse Asset-Backed Mortgage
Trust, Ser 2006-1, Cl A1B (D)
5.540%, 06/26/07 $ 475 $ 475
Credit Suisse Asset-Backed Mortgage
Trust, Ser 2007-1, Cl 1A1A (D)
5.898%, 12/25/37 4,192 4,190
DLSA Mortgage Loan Trust,
Ser 2006-AR1, Cl M4 (D)
6.060%, 06/19/07 250 246
DSLA Mortgage Loan Trust,
Ser 2004-AR4, Cl B1 (D)
5.920%, 06/19/07 321 324
DSLA Mortgage Loan Trust,
Ser 2006-AR1, Cl M5 (D)
6.130%, 06/19/07 150 147
DSLA Mortgage Loan Trust,
Ser 2006-AR1, Cl M7 (D)
7.070%, 06/19/07 150 147
Deutsche Alternatives Securities
Mortgage Loan Trust,
Ser 2006-AB3, Cl A1 (D)
6.250%, 06/30/36 1,150 1,150
Duke Funding, Ser 2004-6B,
Cl A1S1 (C) (D) (F)
5.420%, 07/09/07 2,224 2,224
First Franklin Mortgage Loan Asset,
Ser 2004-FF10, Cl A2 (D)
5.720%, 06/26/07 108 108
First Franklin Mortgage Loan Asset,
Ser 2005-FF4, Cl 2A3 (D)
5.540%, 06/25/07 1,762 1,763
First Horizon Alternative Mortgage
Trust, Ser 2006-AA6, Cl 2A1 (D)
5.686%, 06/01/07 5,372 5,364
First Horizon Mortgage Pass-Through
Trust, Ser 2006-AR3, Cl 1A1 (D)
5.695%, 06/01/07 1,567 1,561
GMAC Mortgage Loan Trust,
Ser 2006-HE1, Cl A (D)
5.530%, 06/25/07 5,400 5,396
GSAA Home Equity NIM Trust,
Ser 2006-2, Cl 2A1 (D)
5.420%, 06/27/07 2,343 2,342
GSAA Home Equity NIM Trust,
Ser 2006-HE3N, Cl N1 (F)
5.500%, 05/25/36 62 44
Greenpoint Mortgage Funding Trust,
Ser 2006-AR1, Cl M3 (D)
5.890%, 06/27/07 350 348
HSI Asset Securitization Trust,
Ser 2005-NC2, Cl M2A1 (D)
5.450%, 06/25/07 348 348
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Home Equity Asset NIM Trust,
Ser 2003-4, Cl M2 (D)
7.220%, 06/25/07 $ 350 $ 351
Home Equity Asset NIM Trust,
Ser 2006-1N, Cl A (F)
6.500%, 05/27/36 55 41
Impac NIM Trust, Ser 2006-1,
Cl N (F)
6.000%, 03/25/36 12 12
Indymac Mortgage Loan Trust,
Ser 2004-AR11, Cl 4A1 (D)
5.807%, 06/01/07 2,195 2,192
Indymac Mortgage Loan Trust,
Ser 2004-AR6, Cl 1A (D)
5.495%, 06/01/07 259 259
Lehman Mortgage Trust,
Ser 2006-4, Cl 4A1
6.000%, 08/25/21 3,783 3,808
Lehman XS Trust, Ser 2005-5N,
Cl M4 (D)
7.070%, 06/30/07 575 514
Lehman XS Trust, Ser 2005-7N,
Cl M71 (D)
7.070%, 06/27/07 335 298
MLCC Mortgage Investors,
Ser 2006-1, Cl 1A1 (D)
5.328%, 06/01/07 2,083 2,099
Master Adjustable Rate Mortgages,
Ser 2004-6, Cl 2A1 (D)
5.329%, 07/25/34 3,114 3,117
Master Adjustable Rate Mortgages,
Ser 2005-2, Cl 3A1 (D)
4.756%, 06/01/07 1,668 1,677
Master Asset Backed Securities Trust,
Ser 2006-AB1, Cl A1 (D)
5.460%, 06/27/07 2,233 2,233
Merrill Lynch Mortgage Investors
Trust, Ser 2003-HE1, Cl M2 (D)
6.970%, 06/25/07 177 177
Merrill Lynch Mortgage Investors
Trust, Ser 2005-HE2, Cl A2A (D)
5.430%, 06/27/07 211 211
Morgan Stanley, Ser 2003-NC10,
Cl M1 (D)
6.000%, 06/27/07 621 621
New Century Home Equity Loan
Trust, Ser 2004-A, Cl AII3 (D)
4.450%, 06/01/07 597 593
New Century Home Equity Loan
Trust, Ser 2005-A, Cl A2 (G)
4.461%, 06/25/07 1,315 1,304
Nomura Asset Acceptance,
Ser 2004-R1, Cl A1 (F)
6.500%, 03/25/34 360 365
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 145
SCHEDULE OF INVESTMENTS
World Equity Ex-US Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Nomura Asset Acceptance,
Ser 2004-R2, Cl A1 (D) (F)
6.500%, 10/25/34 $ 436 $ 441
Nomura Asset Acceptance,
Ser 2007-1, Cl 1A1A (G)
5.995%, 06/09/07 2,119 2,119
Novastar Home Equity Loan,
Ser 2007-1, Cl A2A (D)
5.420%, 06/30/07 3,592 3,592
Option One Mortgage Loan Trust,
Ser 2003-5, Cl M1 (D)
5.970%, 06/23/07 373 374
Option One Mortgage Loan Trust,
Ser 2006-1, Cl M10 (D) (F)
7.820%, 06/27/07 70 62
Option One Mortgage Loan Trust,
Ser 2006-1, Cl M11 (D) (F)
7.820%, 06/27/07 150 115
Renaissance Home Equity Loan
Trust, Ser 2004-2, Cl AF3 (G)
4.464%, 07/25/34 206 204
Residential Accredit Loans,
Ser 2005-Q05, Cl M3 (D)
6.120%, 06/25/07 349 348
Residential Accredit Loans,
Ser 2005-QA3, Cl NB2 (D)
5.248%, 06/25/07 1,677 1,674
Residential Accredit Loans,
Ser 2006-Q01, Cl 2A3 (D)
5.720%, 06/27/07 338 338
Residential Asset Mortgage Products,
Ser 2003-RS11, Cl MII1 (D)
6.050%, 06/25/07 54 54
Residential Asset Mortgage Products,
Ser 2006-RZ1, Cl A1 (D)
5.400%, 06/27/07 3,167 3,168
Residential Asset Mortgage Products,
Ser 2007-RS1, Cl A1
5.400%, 06/09/07 2,887 2,886
Residential Asset Securities,
Ser 2006-EMX2, Cl A1 (D)
5.400%, 06/27/07 992 992
Residential Asset Securities,
Ser 2006-KS2, Cl A1 (D)
5.390%, 06/27/07 1,425 1,425
Residential Asset Securitization Trust,
Ser 2004-IP2, Cl 3A1 (D)
5.275%, 06/25/07 1,527 1,518
Resmae Mortgage Loan Trust,
Ser 2006-1, Cl A2A (D) (F)
5.420%, 06/25/07 1,299 1,299
Resmae Mortgage Loan Trust,
Ser 2006-1, Cl A2B (D) (F)
5.470%, 06/25/07 1,500 1,500
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
SB Finance NIM Trust,
Ser 2006-KS4N, Cl N1 (F)
7.500%, 06/25/36 $ 62 $ 62
Sharps SP I LLC NIM Trust,
Ser 2005-HE3N, Cl N (F)
5.000%, 05/25/35 102 100
Structured Adjustable Rate Mortgage
Loan, Ser 2005-16 XS, Cl M2 (D)
6.220%, 06/25/07 205 203
Structured Asset Investment Loan
Trust, Ser 2003-BC4, Cl M2 (D)
8.320%, 06/25/07 371 372
Structured Asset Investment Loan
Trust, Ser 2005-1, Cl A4 (D) (F)
5.550%, 06/25/07 249 249
Structured Asset Investment Loan
Trust, Ser 2005-8, Cl A2 (D)
5.450%, 06/25/07 215 215
Structured Asset Securities,
Ser 2007-GEL2, Cl A1
5.470%, 06/25/07 4,082 4,082
Terwin Mortgage Trust, Ser 2006-5,
Cl 1A2A (D) (F)
5.410%, 06/26/07 3,000 3,000
Terwin Mortgage Trust, Ser 2006-6,
Cl 2A1 (D)
4.500%, 06/25/36 441 437
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2007-HY2, Cl 1A1 (D)
5.776%, 04/25/37 1,952 1,957
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2007-HY4, Cl 1A1 (D)
5.575%, 06/01/07 3,848 3,812
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2007-HY6, Cl HY6 (D)
5.707%, 06/25/37 3,000 2,999
Wells Fargo Mortgage Backed
Securities Trust, Ser 2004-I,
Cl B1 (D)
5.371%, 06/01/07 216 217
--------------
Total Asset-Backed Securities
(Cost $116,771) ($ Thousands) 116,765
--------------
CORPORATE OBLIGATIONS -- 3.5%
CONSUMER DISCRETIONARY -- 0.1%
CVS Caremark
5.750%, 06/01/17 305 301
Comcast
5.300%, 01/15/14 520 508
- --------------------------------------------------------------------------------
146 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Cox Communications
4.625%, 06/01/13 $ 415 $ 392
Time Warner
6.875%, 05/01/12 415 436
--------------
1,637
--------------
ENERGY -- 0.1%
Dominion Resources
4.750%, 12/15/10 280 273
Exelon Generation
6.950%, 06/15/11 415 434
Kinder Morgan Energy Partners
5.000%, 12/15/13 415 396
--------------
1,103
--------------
FINANCIALS -- 3.3%
Aetna
5.750%, 06/15/11 415 419
American General Finance (C) (D) (F)
5.370%, 06/15/07 4,300 4,300
Bear Stearns
5.350%, 02/01/12 555 550
Bear Stearns EXL (C) (D)
5.360%, 06/15/07 5,279 5,279
Capmark Financial Group
6.300%, 05/10/17 77 77
5.875%, 05/10/12 155 154
Cit Group
5.000%, 02/13/14 555 525
Countrywide Financial Services
MTN (C) (D)
5.430%, 06/27/07 1,779 1,779
Countrywide Financial Services
MTN, Ser A (C) (D)
5.440%, 08/06/07 4,448 4,448
Credit Suisse First Boston USA
6.500%, 01/15/12 280 292
Genworth Financial
5.750%, 06/15/14 415 417
Goldman Sachs
5.500%, 11/15/14 835 826
HSBC Finance
6.375%, 10/15/11 415 427
Irish Life & Permanent MTN,
Ser X (C) (D) (F)
5.360%, 06/21/07 3,944 3,944
Istar Financial+
5.875%, 03/15/16 280 272
JPMorgan Chase
5.125%, 09/15/14 415 404
Jackson National Life Funding
(C) (D) (F)
5.320%, 06/01/07 6,524 6,524
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Lehman Brothers Holdings MTN
5.750%, 05/17/13 $ 140 $ 141
5.500%, 04/04/16 275 270
Merrill Lynch
6.050%, 05/16/16 415 420
Morgan Stanley
4.750%, 04/01/14 415 391
Morgan Stanley EXL (C) (D)
5.400%, 06/04/07 1,038 1,038
Morgan Stanley EXL, Ser S (C) (D)
5.360%, 06/04/07 1,483 1,483
Morgan Stanley MTN, Ser G (D)
5.650%, 07/04/07 595 594
Nationwide Building Society
(C) (D) (F)
5.410%, 06/28/07 1,631 1,631
5.370%, 06/07/07 2,966 2,966
Northern Rock (C) (D) (F)
5.380%, 06/04/07 3,055 3,055
Premium Asset Trust,
Ser 2004-10 (C) (D) (F)
5.380%, 06/15/07 4,152 4,152
Residential Capital
6.875%, 06/30/15 80 80
6.500%, 04/17/13 980 969
6.000%, 02/22/11 220 216
SLM EXL MTN (C) (D)
5.320%, 06/15/07 3,262 3,262
Shinsei Finance Cayman (D) (F)
6.418%, 01/29/49 545 542
Simon Property Group+
5.750%, 12/01/15 280 281
5.600%, 09/01/11 300 301
Skandinav Enskilda Bank (C) (D) (F)
5.320%, 06/18/07 3,262 3,262
Stanfield Victoria MTN (C) (F)
5.450%, 06/11/07 2,966 2,966
UniCredito Italiano Bank (C) (D) (F)
5.350%, 07/11/07 7,414 7,413
Wachovia
5.300%, 10/15/11 965 959
4.875%, 02/15/14 280 269
Washington Mutual Preferred
Funding (B) (D) (F)
6.534%, 03/15/49 600 586
--------------
67,884
--------------
HEALTH CARE -- 0.0%
Teva Pharmaceutical
5.550%, 02/01/16 415 404
Wellpoint
6.800%, 08/01/12 280 294
--------------
698
--------------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 147
SCHEDULE OF INVESTMENTS
World Equity Ex-US Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
INDUSTRIALS -- 0.0%
Lafarge
6.150%, 07/15/11 $ 250 $ 255
US Steel
5.650%, 06/01/13 165 164
--------------
419
--------------
TELECOMMUNICATION SERVICES -- 0.0%
Vodafone Group
5.625%, 02/27/17 320 312
5.350%, 02/27/12 110 109
--------------
421
--------------
Total Corporate Obligations
(Cost $72,043) ($ Thousands) 72,162
--------------
PREFERRED STOCK -- 1.3%
AUSTRALIA -- 0.0%
News 2,988 67
--------------
BRAZIL -- 1.1%
Acesita 8,100 296
Banco Bradesco 32,600 821
Banco Itau Holding Financeira 11,000 484
Centrais Eletricas Brasileiras, Cl B 23,658,000 619
Centrais Eletricas de Santa Catarina 4,800 102
Cia Brasileira de Petroleo Ipiranga 6,300 78
Cia de Bebidas das Americas* 99,000 67
Cia Energetica de Minas Gerais 89,427,772 3,493
Cia Paranaense de Energia 21,166,000 314
Cia Vale do Rio Doce, Cl A 51,200 1,956
Construtora Sultepa 600 2
Gerdau 14,800 334
Industrias J B Duarte* 1,200 --
Magnesita 6,157,000 90
Mangels Industrial 1,400 15
NET Servicos de Comunicacao* 190,354 3,176
Paranapanema* 7,900 156
Petroleo Brasileiro 136,800 3,276
Tam 110,542 3,748
Tele Norte Leste Participacoes 22,800 435
Telecomunicacoes de Sao Paulo 3,700 108
Telemar Norte Leste 9,000 243
Usinas Siderurgicas de
Minas Gerais, Cl A 31,800 1,779
--------------
21,592
--------------
GERMANY -- 0.1%
Porsche 837 1,480
--------------
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ITALY -- 0.1%
Istituto Finanziario Industriale 50,500 $ 2,041
--------------
SOUTH KOREA -- 0.0%
Hyundai Motor (Second Preferred) 9,150 358
Samsung Electronics 1,000 452
--------------
810
--------------
Total Preferred Stock
(Cost $18,753) ($ Thousands) 25,990
--------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.8%
FHLMC (A) (H)
5.249%, 11/09/07 $ 7,375 7,209
FHLMC CMO STRIPS, Ser 232,
Cl IO, IO
5.000%, 08/01/35 8,564 2,161
FHLMC CMO STRIPS, Ser 233,
Cl 12, IO
5.000%, 09/15/35 1,461 367
FNMA (A) (H)
5.213%, 08/01/07 100 99
5.204%, 06/27/07 1,095 1,091
4.680%, 06/01/07 650 650
FNMA CMO STRIPS, Ser 10,
Cl FD (D)
5.670%, 06/25/07 1,806 1,810
FNMA CMO STRIPS, Ser 359,
Cl 6, IO
5.000%, 11/01/35 572 143
FNMA CMO STRIPS, Ser 360,
Cl 2, IO
5.000%, 08/01/35 9,781 2,481
FNMA CMO STRIPS, Ser 377,
Cl 2, IO
5.000%, 10/01/36 1,731 450
--------------
Total U.S. Government Agency Obligations
(Cost $16,124) ($ Thousands) 16,461
--------------
EQUITY LINKED WARRANT -- 0.3%
TAIWAN -- 0.3%
HON HAI Precision Industry* 718 5,067
--------------
Total Equity Linked Warrant
(Cost $3,804) ($ Thousands) 5,067
--------------
- --------------------------------------------------------------------------------
148 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
EXCHANGE TRADED FUND -- 0.0%
iShares MSCI EAFE Index Fund* 700 $ 57
--------------
Total Exchange Traded Fund
(Cost $56) ($ Thousands) 57
--------------
Number
of Rights
---------
RIGHTS -- 0.0%
BRAZIL -- 0.0%
Ambev, Expires 04/30/08* 66 --
--------------
Total Rights
(Cost $--) ($ Thousands) --
--------------
CASH EQUIVALENTS -- 6.0%
UNITED STATES -- 6.0%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.330%**++ 43,852,077 43,852
SEI Liquidity Fund, L.P.,
5.490% (C)**++ 80,072,000 80,072
--------------
Total Cash Equivalents
(Cost $123,924) ($ Thousands) 123,924
--------------
TIME DEPOSITS -- 2.4%
Brown Brothers Harriman
7.750%, 06/01/07 ZAR 2,360 332
6.950%, 06/01/07 NZD 39 29
5.408%, 06/01/07 AUD 111 91
4.770%, 06/01/07 43,909 43,909
4.760%, 06/01/07 GBP 131 259
3.350%, 06/01/07 CAD 179 167
3.250%, 06/01/07 HKD 2,706 346
3.150%, 06/01/07 NOK 3 1
3.030%, 06/01/07 EUR 1,388 1,868
3.000%, 06/01/07 DKK 15 3
2.350%, 06/01/07 SEK 343 50
1.293%, 06/01/07 CHF 1,992 1,625
1.150%, 06/01/07 SGD 29 19
0.100%, 06/01/07 JPY 47,260 388
--------------
Total Time Deposits
(Cost $49,087) ($ Thousands) 49,087
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER (C) (E)-- 1.1%
KKR Pacific Funding Trust
5.310%, 06/15/07 5,368 $ 5,357
OCALA Funding LLC
5.310%, 06/19/07 2,224 2,218
Rhineland Funding Capital
5.280%, 06/06/07 1,090 1,089
Thornburg Mortgage Capital
Resources
5.290%, 06/07/07 5,931 5,926
Valour Bay Capital LLC
5.320%, 06/11/07 2,421 2,417
5.320%, 06/13/07 4,448 4,441
--------------
Total Commercial Paper
(Cost $21,448) ($ Thousands) 21,448
--------------
U.S. TREASURY OBLIGATIONS (E) -- 0.7%
U.S. Treasury Bills
4.922%, 06/14/07 (A) 200 200
4.813%, 08/23/07 (A) 3,233 3,198
4.721%, 07/26/07 2,530 2,512
3.624%, 06/21/07 1,460 1,456
U.S. Treasury Inflationary Index Notes
3.875%, 04/15/29 1,249 1,534
2.375%, 04/15/11 5,618 5,586
--------------
Total U.S. Treasury Obligations
(Cost $14,518) ($ Thousands) 14,486
--------------
CERTIFICATES OF DEPOSIT (C) -- 0.2%
Barclays Bank (D)
5.440%, 06/11/07 1,483 1,483
CC USA (F)
5.520%, 06/18/07 2,965 2,965
--------------
Total Certificates of Deposit
(Cost $4,448) ($ Thousands) 4,448
--------------
MASTER NOTE (C) (E)-- 0.1%
Bear Stearns
5.430%, 06/01/07 2,966 2,966
--------------
Total Master Note
(Cost $2,966) ($ Thousands) 2,966
--------------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 149
SCHEDULE OF INVESTMENTS
World Equity Ex-US Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS (C) (I) -- 1.8%
Barclays Capital
5.280%, dated 05/31/07, to be
repurchased on 06/01/07,
repurchase price $1,022,307
(collateralized by a U.S. Government
obligation, par value $1,042,709,
0.000%, 06/01/07, total market
value $1,042,605) $ 1,022 $ 1,022
Deutsche Bank
5.300%, dated 05/31/07, to be
repurchased on 06/01/07,
repurchase price $2,918,710
(collateralized by U.S. Government
obligations, ranging in par value
$16,133-$960,858, 4.000%-
6.000%, 02/01/08-11/04/20,
total market value $2,976,656) 2,918 2,918
Lehman Brothers
5.300%, dated 05/31/07, to be
repurchased on 06/01/07,
repurchase price $32,626,524
(collateralized by U.S. Government
obligations, ranging in par value
$6,892,169-$56,484,837, 3.875%-
8.875%, 06/15/08-03/15/31,
total market value $33,274,191) 32,622 32,622
--------------
Total Repurchase Agreements
(Cost $36,562) ($ Thousands) 36,562
--------------
Total Investments -- 112.8%
(Cost $2,003,742) ($ Thousands) $ 2,315,324
==============
A summary of the open futures contracts held by the Fund at May 31, 2007, is as
follows (See Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
NUMBER OF APPRECIATION/
CONTRACTS EXPIRATION (DEPRECIATION)
TYPE OF CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
90-Day Euro$ (55) Mar-2008 $ 22
90-Day Euro$ (44) Mar-2009 24
90-Day Euro$ (39) Mar-2010 10
90-Day Euro$ (34) Mar-2011 (4)
90-Day Euro$ (4) Mar-2012 4
90-Day Euro$ (31) Jun-2007 (17)
90-Day Euro$ (8) Jun-2008 9
90-Day Euro$ 102 Jun-2009 (82)
90-Day Euro$ (182) Jun-2010 112
90-Day Euro$ (4) Jun-2011 3
90-Day Euro$ (55) Sep-2007 28
90-Day Euro$ (56) Sep-2008 29
90-Day Euro$ 102 Sep-2009 (82)
90-Day Euro$ (44) Sep-2010 9
90-Day Euro$ 7 Sep-2011 (5)
90-Day Euro$ (58) Dec-2007 17
90-Day Euro$ (274) Dec-2008 163
90-Day Euro$ (38) Dec-2009 11
90-Day Euro$ (43) Dec-2010 5
90-Day Euro$ (4) Dec-2011 3
Amsterdam Index 69 Jun-2007 219
CAC40 10 Euro 224 Jun-2007 343
DAX Index 70 Jun-2007 2,481
DJ Euro Stoxx 50 Index 342 Jun-2007 1,520
FTSE 100 Index 451 Jun-2007 2,714
Hang Seng Index 54 Jun-2007 6
IBEX 35 Plus Index 38 Jun-2007 271
MSCI Sing Index 35 Jun-2007 (31)
Nikkei 225 Index 14 Jun-2007 62
OMX Index 578 Jun-2007 40
S&P/MIB Index 35 Jun-2007 746
S&P/TSE 60 Index 189 Jun-2007 1,979
SPI 200 Index 140 Jun-2007 946
Topix Index 232 Jun-2007 1,052
U.S. 2 Year Treasury Note (37) Sep-2007 13
U.S. 5 Year Treasury Note (202) Sep-2007 25
U.S. 10 Year Treasury Note (29) Sep-2007 --
U.S. Long Treasury Bond (1) Jun-2007 3
U.S. Long Treasury Bond (18) Sep-2007 --
--------
$ 12,648
========
A summary of the outstanding forward foreign currency contracts held by the Fund
at May 31, 2007, is as follows (See Note 2 in Notes to Financials Statements):
- --------------------------------------------------------------------------------
UNREALIZED
CURRENCY CURRENCY APPRECIATION
MATURITY TO DELIVER TO RECEIVE (DEPRECIATION)
DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
6/21/07 AUD 8,311 EUR 5,083 $ (29)
6/21/07 AUD 7,444 GBP 3,107 (12)
6/21/07 EUR 3,209 AUD 5,269 38
6/21/07 EUR 2,650 CHF 4,375 8
6/21/07 EUR 19,071 USD 25,776 98
6/21/07 GBP 2,389 AUD 5,756 37
6/21/07 HKD 108,295 USD 13,856 (15)
6/21/07 SEK 4,800 USD 704 9
6/21/07 SGD 14,364 USD 9,430 24
6/21/07 CHF 4,810 EUR 2,924 5
6/21/07 MXP 114,409 USD 10,555 (83)
6/21/07 USD 4,102 ZAR 29,053 (26)
6/21/07-6/25/07 USD 24,911 AUD 30,314 160
6/21/07-6/25/07 USD 26,596 CAD 28,912 469
6/21/07-6/25/07 USD 92,462 GBP 46,897 286
6/21/07-6/25/07 USD 6,543 NOK 39,590 20
6/21/07-8/21/07 NZD 16,768 JPY 1,328,000 (1,330)
- --------------------------------------------------------------------------------
150 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
UNREALIZED
CURRENCY CURRENCY APPRECIATION
MATURITY TO DELIVER TO RECEIVE (DEPRECIATION)
DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
6/21/07-8/21/07 JPY 2,123,000 NZD 25,912 $ 1,478
6/21/07-9/21/07 USD 50,892 CHF 62,028 (101)
6/21/07-10/19/07 CHF 34,800 USD 28,691 112
6/21/07-10/19/07 GBP 6,915 JPY 1,587,000 (552)
6/21/07-10/19/07 USD 53,038 JPY 6,299,644 (1,031)
6/21/07-10/19/07 GBP 10,176 CHF 24,100 (354)
6/21/07-11/21/07 CHF 37,400 GBP 15,707 335
6/21/07-11/21/07 JPY 3,175,000 GBP 13,729 818
6/21/07-11/21/07 JPY 4,784,000 USD 40,605 953
6/25/07 USD 5,714 SEK 39,120 (47)
6/25/07 USD 1,365 DKK 7,548 (1)
6/25/07 USD 60,997 EUR 45,263 (46)
6/25/07 USD 3,040 HKD 23,758 3
6/25/07 USD 257 NZD 353 2
6/25/07 USD 1,876 SGD 2,853 (6)
9/21/07-10/19/07 CHF 3,900 NZD 4,526 82
9/21/07-11/21/07 JPY 394,000 AUD 4,143 122
10/19/07 NZD 1,492 CHF 1,300 (15)
---------
$ 1,411
==============
A summary of outstanding swap agreements held by the Fund at May 31, 2007, 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)
- -------------------------------------------------------------------------------------------------------------------------
Delivers payment on the quarterly reset spread from Swiss Market
Index plus 23 basis points times the notional amount. Fund receives
payment if the return on the spread appreciates over the payment
period and pays if the return on the spread depreciates over the
payment period. (Counterparty: JPMorgan Chase) 01/24/08 14,200 CHF $ 439
Receive payment on the monthly reset spread from Banc of America -
CMBS AAA10Yr Index plus 8 basis points times the notional amount.
Fund receives payment if the return on the spread appreciates over
the payment period and pays if the return on the spread depreciates
over the payment period. (Counterparty: Bank of America) 07/31/07 25,000 42
Receive payment on the monthly reset spread from Banc of America -
CMBS AAA10Yr Index plus 8 basis points times the notional amount.
Fund receives payment if the return on the spread appreciates over
the payment period and pays if the return on the spread depreciates
over the payment period. (Counterparty: Bank of America) 09/30/07 17,000 29
Receive payment on the monthly reset spread from Banc of America -
CMBS AAA10Yr Index plus 5 basis points times the notional amount.
Fund receives payment if the return on the spread appreciates over
the payment period and pays if the return on the spread depreciates
over the payment period. (Counterparty: Bank of America) 08/31/07 19,000 40
Receive payment on the monthly reset spread from Banc of America -
CMBS AAA10Yr Index plus 20 basis points times the notional amount.
Fund receives payment if the return on the spread appreciates over
the payment period and pays if the return on the spread depreciates
over the payment period. (Counterparty: Bank of America) 09/30/07 15,000 27
Receive payment on the monthly reset spread from Banc of America -
CMBS AAA10Yr Index plus 20 basis points times the notional amount.
Fund receives payment if the return on the spread appreciates over
the payment period and pays if the return on the spread depreciates
over the payment period. (Counterparty: Goldman Sachs) 10/31/07 7,000 20
Receive payment on the monthly reset spread from Banc of America -
CMBS AAA10Yr Index plus 15 basis points times the notional amount.
Fund receives payment if the return on the spread appreciates over
the payment period and pays if the return on the spread depreciates
over the payment period. (Counterparty: Wachovia) 08/31/07 9,000 38
- -------------------------------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- -------------------------------------------------------------------------------------------------------------------------
Receive payment on the monthly reset spread from Banc of America -
CMBS IG 10Yr Index plus 20 basis points times the notional amount.
Fund receives payment if the return on the spread appreciates over
the payment period and pays if the return on the spread depreciates
over the payment period. (Counterparty: Bank of America) 10/31/07 6,000 $ (10)
Receive payment on the monthly reset spread from Lehman Brothers -
CMBS AAA 8.5 Plus Index minus 5 basis points times the notional
amount. Fund receives payment if the return on the spread appreciates
over the payment period and pays if the return on the spread
depreciates over the payment period. (Counterparty: Wachovia) 06/30/07 6,000 3
Receive payment on the monthly reset spread from Lehman Brothers -
CMBS AAA 8.5 Plus Index plus 17.5 basis points times the notional
amount. Fund receives payment if the return on the spread appreciates
over the payment period and pays if the return on the spread
depreciates over the payment period. (Counterparty: Wachovia) 10/31/07 10,000 15
Receive payment on the monthly reset spread from Lehman Brothers -
CMBS AAA 8.5 Plus Index plus 20 basis points times the notional
amount. Fund receives payment if the return on the spread appreciates
over the payment period and pays if the return on the spread
depreciates over the payment period. (Counterparty: Wachovia) 10/31/07 16,000 10
Receive payment on the monthly reset spread from Lehman Brothers -
CMBS AAA 10YR Index plus 5 basis points times the notional amount.
Fund receives payment if the return on the spread appreciates over
the payment period and pays if the return on the spread depreciates
over the payment period. (Counterparty: Wachovia) 08/31/07 17,000 11
Delivers payment on the quarterly reset spread from MSCI EAFE Index
minus 20 basis points times the notional amount. Fund receives
payment if the return on the spread appreciates over the payment
period and pays if the return on the spread depreciates over the
payment period. (Counterparty: Bear Stearns) 03/24/08 21,163 1,510
Delivers payment on the quarterly reset spread from MSCI Japan Net
Index plus 20 basis points times the notional amount. Fund receives
payment if the return on the spread appreciates over the payment
period and pays if the return on the spread depreciates over the
payment period. (Counterparty: Goldman Sachs) 03/24/08 20,100 (531)
---------
$ 1,643
=========
- ------------------------------------------------------------------------------------------------------------------------
CREDIT DEFAULT SWAPS
- ------------------------------------------------------------------------------------------------------------------------
Fund receives monthly payment of 0.5400% (6.480% per annum) times the
notional amount of the ABX.HE.A 06-1 Index. Upon a defined credit
event, Fund pays the notional amount and takes receipt of the defined
deliverable obligation. (Counterparty: Bank of America) 07/25/45 6,000 $ (88)
Fund receives monthly payment of 0.5400% (6.480% per annum) times the
notional amount of the ABX.HE.A 06-1 Index. Upon a defined credit
event, Fund pays the notional amount and takes receipt of the defined
deliverable obligation. (Counterparty: Bank of America) 07/25/45 6,500 (104)
Fund receives monthly payment of 0.4400% (5.280% per annum) times the
notional amount of the ABX.HE.A 06-2 Index. Upon a defined credit
event, Fund pays the notional amount and takes receipt of the defined
deliverable obligation. (Counterparty: Bank of America) 05/25/46 13,000 (376)
Fund receives monthly payment of 0.6400% (7.680% per annum) times the
notional amount of the ABX.HE.A 07-1 Index. Upon a defined credit
event, Fund pays the notional amount and takes receipt of the defined
deliverable obligation. (Counterparty: Bank of America) 08/25/37 1,000 35
Fund pays quarterly payment of 0.3200% (1.280% per annum) times the
notional amount of Alcan, Inc., 4.875%, 09/15/12. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: Bank of America) 03/20/14 850 5
Fund pays quarterly payment of 0.3500% (1.400% per annum) times the
notional amount of Alcan, Inc., 4.875%, 09/15/12. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: Bank of America) 12/20/13 1,000 3
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 151
SCHEDULE OF INVESTMENTS
World Equity Ex-US Fund (Continued)
May 31, 2007
- -------------------------------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- -------------------------------------------------------------------------------------------------------------------------
Fund pays quarterly payment of 0.4400% (1.760% per annum) times the
notional amount of Autozone, Inc., 5.875%, 10/15/12. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: Bank of America) 12/20/11 1,000 $ (9)
Fund pays quarterly payment of 0.5500% (2.200% per annum) times the
notional amount of Black & Decker Corp., 7.125%, 06/01/11. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 1,000 (5)
Fund pays quarterly payment of 0.2000% (0.800% per annum) times the
notional amount of Campbell Soup Co., 4.875%, 10/01/13. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: Bank of America) 06/20/14 1,600 (4)
Fund receives quarterly payment of 0.4000% (1.600% per annum) times
the notional amount of CDX.NA.IG., Series 7 Index. Upon a defined
credit event, Fund pays the notional amount and takes receipt of the
defined obligation. (Counterparty: Bank of America) 12/20/11 18,400 129
Fund receives quarterly payment of 0.4000% (1.600% per annum) times
the notional amount of CDX.NA.IG. Index. Upon a defined credit event,
Fund pays the notional amount and takes receipt of the defined
obligation. (Counterparty: Bank of America) 12/20/11 1,400 2
Fund receives quarterly payment of 0.4000% (1.600% per annum) times
the notional amount of CDX.NA.IG. Index. Upon a defined credit event,
Fund pays the notional amount and takes receipt of the defined
obligation. (Counterparty: Bank of America) 12/20/11 1,000 --
Fund receives quarterly payment of 0.4000% (1.600% per annum) times
the notional amount of CDX.NA.IG. Index. Upon a defined credit event,
Fund pays the notional amount and takes receipt of the defined
obligation. (Counterparty: Bank of America) 12/20/11 950 2
Fund pays quarterly payment of 0.4450% (1.780% per annum) times the
notional amount of Darden Restaurants, Inc., 7.125%, 02/01/16. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 1,000 (1)
Fund pays quarterly payment of 0.3700% (1.480% per annum) times the
notional amount of Johnson Controls, Inc., 7.125%, 07/15/17. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 1,000 (7)
Fund pays quarterly payment of 0.4250% (1.700% per annum) times the
notional amount of Eastman Chemical Co., 7.600%, 02/01/27. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 1,000 (4)
Fund pays quarterly payment of 1.1800% (4.720% per annum) times the
notional amount of Gap, Inc., 8.800%, 12/15/08. Upon a defined credit
event, Fund will receive the notional amount and deliver the defined
obligation. (Counterparty: Bank of America) 12/20/11 1,000 (17)
Fund pays quarterly payment of 0.3700% (1.480% per annum) times the
notional amount of Johnson Controls, Inc., 7.125%, 07/15/17. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 1,000 (8)
Fund pays quarterly payment of 0.4750% (1.900% per annum) times the
notional amount of Ltd. Brands, Inc., 6.125%, 12/01/12. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 1,000 (1)
Fund pays quarterly payment of 0.7300% (2.920% per annum) times the
notional amount of Masco Corp., 5.875%, 07/15/12. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: Bank of America) 12/20/13 1,000 (4)
Fund pays quarterly payment of 0.4750% (1.900% per annum) times the
notional amount of MeadWestvaco, 6.850%, 04/01/12. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: Bank of America) 12/20/11 1,000 (2)
- -------------------------------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- -------------------------------------------------------------------------------------------------------------------------
Fund pays quarterly payment of 0.3500% (1.400% per annum) times the
notional amount of MGIC Investment Corp., 6.000%, 11/01/15. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 1,000 $ 1
Fund pays quarterly payment of 0.2200% (0.880% per annum) times the
notional amount of Nucor Corp., 4.875%, 10/01/12. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: Bank of America) 12/20/11 1,000 (4)
Fund pays quarterly payment of 0.1400% (0.560% per annum) times the
notional amount of Pitney Bowes, Inc., 4.625%, 10/01/12. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 2,100 5
Fund pays quarterly payment of 0.3500% (1.400% per annum) times the
notional amount of PMI Group, Inc., 6.000%, 09/15/16. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: Bank of America) 12/20/13 1,000 10
Fund pays quarterly payment of 0.3900% (1.560% per annum) times the
notional amount of Radian Group, Inc., 7.750%, 06/01/11. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 1,000 11
Fund pays quarterly payment of 0.1900% (0.760% per annum) times the
notional amount of TJX Cos, Inc., 7.450%, 12/15/09. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: Bank of America) 12/20/11 1,000 6
Fund pays quarterly payment of 0.4500% (1.800% per annum) times the
notional amount of Weyerhaeuser, Co., 6.750%, 03/15/12. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 1,000 (5)
Fund receives monthly payment of 0.5400% (6.480% per annum) times the
notional amount of the ABX.HE.A 06-1 Index. Upon a defined credit
event, Fund pays the notional amount and takes receipt of the defined
deliverable obligation. (Counterparty: Bear Stearns) 07/25/45 1,875 10
Fund receives monthly payment of 0.6400% (7.680% per annum) times the
notional amount of the ABX.HE.A 07-1 Index. Upon a defined credit
event, Fund pays the notional amount and takes receipt of the defined
deliverable obligation. (Counterparty: JPMorgan Chase) 08/25/37 1,000 5
Fund pays quarterly payment of 0.3400% (1.360% per annum) times the
notional amount of Agrium, Inc., 8.250%, 02/15/11. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 1,000 (5)
Fund pays quarterly payment of 0.4600% (1.840% per annum) times the
notional amount of Autozone, Inc., 5.875%, 10/15/12. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 1,000 (10)
Fund pays quarterly payment of 0.5500% (2.200% per annum) times the
notional amount of Black & Decker Corp., 7.125%, 06/01/11. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 1,000 (5)
Fund pays quarterly payment of 0.2150% (0.860% per annum) times the
notional amount of Carnival Corp., 6.650%, 01/15/28. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: JPMorgan Chase) 06/20/12 950 (1)
Fund pays quarterly payment of 0.2600% (1.040% per annum) times the
notional amount of Dow Chemical Co., 6.000%, 10/01/12. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 1,000 4
Fund pays quarterly payment of 1.1800% (4.720% per annum) times the
notional amount of Gap, Inc., 8.800%, 12/15/08. Upon a defined credit
event, Fund will receive the notional amount and deliver the defined
obligation. (Counterparty: JPMorgan Chase) 12/20/11 1,000 (17)
- --------------------------------------------------------------------------------
152 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- -------------------------------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- -------------------------------------------------------------------------------------------------------------------------
Fund pays quarterly payment of 0.3900% (1.560% per annum) times the
notional amount of Hasbro, Inc., 2.750%, 12/01/21. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 1,000 $ 9
Fund pays quarterly payment of 0.7700% (3.080% per annum) times the
notional amount of Jones Apparel Group, Inc., 5.125%, 11/15/14. Upon
a defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 1,000 3
Fund pays quarterly payment of 0.4500% (1.800% per annum) times the
notional amount of Lubrizol Corp., 7.250%, 06/15/25. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 1,000 (4)
Fund pays quarterly payment of 0.3500% (1.400% per annum) times the
notional amount of MGIC Investment Corp., 6.000%, 03/15/07. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 1,000 1
Fund pays quarterly payment of 0.2800% (1.120% per annum) times the
notional amount of Nordstrom, Inc., 6.950%, 03/15/28. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 1,000 (1)
Fund pays quarterly payment of 0.2200% (0.880% per annum) times the
notional amount of Nucor Corp., 4.875%, 10/01/12. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 1,000 (4)
Fund pays quarterly payment of 0.3500% (1.400% per annum) times the
notional amount of PMI Group, Inc., 6.000%, 09/15/16. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 1,000 10
Fund pays quarterly payment of 0.2000% (0.800% per annum) times the
notional amount of PPG Industries, Inc., 7.050%, 08/15/09. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 1,000 1
Fund pays quarterly payment of 0.3900% (1.560% per annum) times the
notional amount of Radian Group, Inc., 7.750%, 06/01/11. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 1,000 (5)
Fund pays quarterly payment of 0.2700% (1.080% per annum) times the
notional amount of Southwest Airlines Co., 6.500%, 03/01/12. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 1,000 3
Fund pays quarterly payment of 0.3200% (1.280% per annum) times the
notional amount of Washington Mutual Co., 5.250%, 09/15/17. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: JPMorgan Chase) 03/20/12 1,000 (2)
Fund receives monthly payment of 0.5400% (6.480% per annum) times the
notional amount of the ABX.HE.A 06-1 Index. Upon a defined credit
event, Fund pays the notional amount and takes receipt of the defined
deliverable obligation. (Counterparty: Merrill Lynch) 07/25/45 3,500 13
Fund receives monthly payment of 0.6400% (7.680% per annum) times the
notional amount of the ABX.HE.A 07-1 Index. Upon a defined credit
event, Fund pays the notional amount and takes receipt of the defined
deliverable obligation. (Counterparty: Merrill Lynch) 08/25/37 500 (2)
Fund receives quarterly payment of 0.4000% (1.600% per annum) times
the notional amount of CDX.NA.IG. Index. Upon a defined credit event,
Fund pays the notional amount and takes receipt of the defined
obligation. (Counterparty: Merrill Lynch) 12/20/11 850 6
Fund receives quarterly payment of 0.4000% (1.600% per annum) times
the notional amount of CDX.NA.IG., Index. Upon a defined credit
event, Fund pays the notional amount and takes receipt of the defined
obligation. (Counterparty: Merrill Lynch) 12/20/11 18,400 129
- -------------------------------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- -------------------------------------------------------------------------------------------------------------------------
Fund receives quarterly payment of 0.4000% (1.600% per annum) times
the notional amount of CDX.NA.IG. Index. Upon a defined credit event,
Fund pays the notional amount and takes receipt of the defined
obligation. (Counterparty: Merrill Lynch) 12/20/11 5,100 $ 37
Fund receives quarterly payment of 0.4400% (1.760% per annum) times
the notional amount of Dow Chemical Co., 6.000%, 10/01/12. Upon a
defined credit event, Fund pays the notional amount and takes receipt
of the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 2,000 (20)
Fund pays quarterly payment of 0.2500% (1.000% per annum) times the
notional amount of Dow Chemical Co., 6.000%, 10/01/12. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: Merrill Lynch) 12/20/13 1,000 5
Fund pays quarterly payment of 0.1300% (0.520% per annum) times the
notional amount of Lowe's Cos., 8.250%, 06/01/10. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: Merrill Lynch) 12/20/11 1,000 1
Fund pays quarterly payment of 0.4500% (1.800% per annum) times the
notional amount of Lubrizol Corp., 7.250%, 06/15/25. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: Merrill Lynch) 12/20/11 1,000 (4)
Fund pays quarterly payment of 0.9000% (3.600% per annum) times the
notional amount of MDC Holdings, Inc., 5.500%, 05/15/13. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 1,000 (9)
Fund pays quarterly payment of 0.2800% (1.120% per annum) times the
notional amount of Nordstrom, Inc., 6.950%, 03/15/28. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: Merrill Lynch) 12/20/13 1,000 (1)
Fund pays quarterly payment of 0.6900% (2.760% per annum) times the
notional amount of RR Donnelly & Sons Co., 4.950%, 04/01/14. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 1,000 (1)
Fund pays quarterly payment of 0.2700% (1.080% per annum) times the
notional amount of Southwest Airlines Co., 6.500%, 03/01/12. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 1,000 3
Fund pays quarterly payment of 0.4500% (1.800% per annum) times the
notional amount of Weyerhaeuser, Co., 6.750%, 03/15/12. Upon a
defined credit event, Fund will receive the notional amount and
deliver the defined obligation. (Counterparty: Merrill Lynch) 03/20/12 1,000 (3)
Fund pays quarterly payment of 0.3380% (1.352% per annum) times the
notional amount of Whirlpool Corp., 7.750%, 07/15/16. Upon a defined
credit event, Fund will receive the notional amount and deliver the
defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 1,000 --
---------
$ (284)
=========
Percentages are based on Net Assets of $2,053,014 ($ Thousands).
* Non-Income Producing Security
** Rate shown is the 7-day effective yield as of May 31, 2007.
+ Real Estate Investments Trust
++ Affiliated security
(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 May 31,
2007 (see Note 9). The total value of securities on loan at May 31, 2007
was $197,529 ($ Thousands).
(C) This security was purchased with cash collateral held from securities
lending (See Note 9). The total value of such securities as of May 31,
2007 was $205,222 ($ Thousands).
(D) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of May 31, 2007. The date reported on the
Schedule of Investments is the next reset date.
(E) The rate reported is the effective yield at time of purchase.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 153
SCHEDULE OF INVESTMENTS
World Equity Ex-US Fund (Concluded)
May 31, 2007
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
(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 May 31, 2007. 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 fair valued using methods determined in good faith by the
valuation committee of the Board of Trustees. The total value of such
securities as of May 31, 2007 was $6,978 ($Thousands) and represented
0.34% of Net Assets.
ADR -- American Depositary Receipt
ARM -- Adjustable Rate Mortgage
AUD -- Australian Dollar
CAD -- Canadian Dollar
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
GNMA -- Government National Mortgage Association
HKD -- Hong Kong Dollar
IO -- Interest Only - Face Amount Represents Notional Amount
JPY -- Japanese Yen
LLC -- Limited Liability Company
LP -- Limited Partnership
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 $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
154 SEI Institutional Investments Trust / Annual Report / May 31, 2007
Enhanced Income Fund
May 31, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)++:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
43.0% Financials
29.0% Asset-Backed Securities
9.0% U.S. Government Agency Mortgage-Backed Obligations
6.2% Short-Term Investments
6.0% Time Deposits
1.8% Consumer Discretionary
1.4% Utilities
0.8% U.S. Government Agency Obligations
0.8% Consumer Staples
0.7% Telecommunication Services
0.5% Industrials
0.4% Energy
0.2% Health Care
0.1% Sovereign
0.1% Certificates of Deposit
++Percentages based on total investments.
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
LOAN PARTICIPATIONS -- 32.7%
Advanced Micro Devices
7.340%, 12/31/13 $ 764 $ 767
Blockbuster
8.629%, 08/20/11 1,029 1,033
Boston Generating, LLC, 1st Lien
7.600%, 12/20/13 777 782
Boston Generating, LLC, 1st Lien
(Synthetic)
7.600%, 12/20/13 220 222
Brickman Group Holdings
7.399%, 01/23/14 1,000 1,003
CCS Medical
8.600%, 09/30/12 997 998
Caritor (E)
0.000%, 05/17/13 930 933
Caritor (Synthetic) (E)
0.000%, 05/11/13 70 70
Cequel Communications
7.349%, 11/05/13 1,500 1,501
Clarke American, Tranche B
7.840%, 03/09/14 2,000 1,999
Crescent Resources, LLC
8.320%, 09/07/12 1,000 1,000
Ford Motor
8.360%, 12/15/13 1,496 1,508
Ginn La Conduit Lender, 1st Lien,
Tranche A
7.850%, 06/08/11 315 304
Ginn La Conduit Lender, 1st Lien,
Tranche B
8.350%, 06/08/11 683 658
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Greenwood Racing
7.570%, 11/28/11 $ 998 $ 1,003
Healthsouth
7.850%, 03/10/13 1,366 1,376
Helix Energy Solutions Group
7.330%, 07/01/13 1,477 1,483
Kepler Holdings
10.850%, 06/30/09 1,000 1,008
Knology (E)
0.000%, 04/13/12 1,000 1,006
Michaels Stores
7.625%, 10/31/13 1,500 1,505
Monitor Oil
10.850%, 12/14/13 998 998
Montecito Broadcast Group
7.860%, 01/27/13 988 993
Onex Carestream Finance
7.340%, 04/10/13 1,000 1,003
Reliant Energy
7.695%, 12/01/10 855 858
5.187%, 12/01/10 643 645
Revolution Studios, Tranche B
9.070%, 09/30/14 1,228 1,234
Sabre
7.605%, 09/30/14 1,500 1,501
Solo Cup Company (E)
0.000%, 02/27/11 1,000 1,016
Sorenson Communications
7.860%, 02/16/14 1,489 1,489
Tribune, Tranche B (E)
0.000%, 05/09/14 600 600
Tribune, Tranche X (E)
0.000%, 05/09/09 400 402
US Airways Group
7.850%, 03/19/14 2,000 2,013
Univision Communications (Delay
Draw) (E)
0.000%, 08/15/14 134 78
Univision Communications (E)
0.000%, 08/15/14 391 391
Vanguard Car Rental USA Holding
8.350%, 06/14/13 1,415 1,424
Venoco, 2nd Lien
9.320%, 05/07/14 2,000 2,018
Verint Systems
8.090%, 05/09/14 2,000 2,004
WM Bolthouse Farms, 1st Lien
7.625%, 12/17/12 1,492 1,499
--------------
Total Loan Participations
(Cost $40,251) ($ Thousands) 40,325
--------------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 155
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 29.4%
AUTOMOTIVE -- 3.3%
Aesop Funding II LLC, Ser 2003-3A,
Cl A3 (B)
3.720%, 07/20/09 $ 330 $ 325
Aesop Funding II LLC, Ser 2005-1A,
Cl A1 (B)
3.950%, 04/20/09 400 396
AmeriCredit Automobile Receivables
Trust, Ser 2004-BM, Cl A4
5.200%, 03/06/11 195 194
2.670%, 03/07/11 297 293
AmeriCredit Automobile Receivables
Trust, Ser 2006-1, Cl A3
5.110%, 10/06/10 300 299
AmeriCredit Automobile Receivables
Trust, Ser 2007-AX, Cl A4 (C)
5.360%, 10/06/13 285 285
AmeriCredit Automobile Receivables
Trust, Ser 2007-BF, Cl A3A
5.160%, 04/06/12 300 299
Banc of America Securities Auto
Trust, Ser 2005-WF1, Cl A3
3.990%, 08/18/09 287 286
Capital Auto Receivables Asset Trust,
Ser 2007-1, Cl B
5.150%, 09/17/12 230 227
Capital One Prime Auto Receivables,
Ser 2004-3, Cl A3
3.390%, 01/15/09 102 101
Carmax Auto Owner Trust,
Ser 2005-1, Cl A3
4.130%, 05/15/09 72 71
Carmax Auto Owner Trust,
Ser 2007-1, Cl C
5.530%, 07/15/13 50 50
Ford Credit Auto Owner Trust,
Ser 2006-A, Cl C
5.480%, 09/15/11 250 250
Harley Davidson Motorcycle Trust,
Ser 2007-1, Cl C
5.540%, 04/15/15 105 105
Honda Auto Receivables Owners
Trust, Ser 2004-3, Cl A3
2.910%, 10/20/08 54 54
Honda Auto Receivables Owners
Trust, Ser 2004-3, Cl A4
3.280%, 02/18/10 200 197
Santander Drive Auto Receivables
Trust, Ser 2007-1, Cl A2
5.200%, 12/15/10 385 384
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Superior Wholesale Inventory
Financing Trust, Ser 2007-AE1,
Cl B
5.620%, 01/15/12 $ 25 $ 25
Superior Wholesale Inventory
Financing Trust, Ser 2007-AE1,
Cl C
5.920%, 01/15/12 45 45
Volkswagen Auto Lease Trust,
Ser 2006-A, Cl A3
5.500%, 09/21/09 225 225
--------------
4,111
--------------
CREDIT CARDS -- 4.6%
Advanta Business Card Master Trust,
Ser 2005-C1, Cl C1 (C)
5.830%, 06/20/07 400 402
Advanta Business Card Master Trust,
Ser 2007-B1, Cl B (C)
5.570%, 12/22/14 400 401
American Express Credit Master
Trust, Ser 2007-2, Cl B (C)
5.500%, 09/15/16 145 145
Bank One Issuance Trust,
Ser 2003-B1, Cl B1 (C)
5.690%, 06/15/07 285 286
Bank One Issuance Trust,
Ser 2003-C2, Cl C2 (C)
6.460%, 06/16/07 500 504
Bank of America Credit Card Trust,
Ser 2007-C1, Cl C1 (C)
5.610%, 06/26/07 450 451
Capital One Multi-Asset Execution
Trust, Ser 2004-B4, Cl B4 (C)
5.620%, 06/15/07 250 250
Capital One Multi-Asset Execution
Trust, Ser 2005-C1, Cl C1 (C)
5.720%, 02/15/13 350 351
Capital One Multi-Asset Execution
Trust, Ser 2007-C2, Cl C2 (C)
5.620%, 06/15/07 400 400
Chase Issuance Trust, Ser 2005-C2,
Cl C2 (C)
5.760%, 01/15/15 400 401
Citibank Credit Card Issuance Trust,
Ser 2001-C1, Cl C1 (C)
6.436%, 01/15/10 400 402
First National Master Note Trust,
Ser 2007-1, Cl B (C)
5.530%, 04/15/13 320 320
First USA Credit Card Master Trust,
Ser 1998-2, Cl C (B)
6.800%, 02/18/11 550 555
- --------------------------------------------------------------------------------
156 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Household Affinity Credit Card Master
Note Trust, Ser 2003-1, Cl B (C)
5.870%, 06/15/07 $ 475 $ 477
MBNA Credit Card Master Trust,
Ser 2006-C2, Cl C2 (C)
5.620%, 08/15/13 300 300
--------------
5,645
--------------
MORTGAGE RELATED SECURITIES -- 19.3%
Ace Securities, Ser 2006-HE1,
Cl A2A (C)
5.400%, 02/25/36 69 69
Adjustable Rate Mortgage Trust,
Ser 2005-12, Cl 2A1 (C)
5.710%, 03/25/36 550 550
American Tower Trust, Ser 2007-1A,
Cl D (B)
5.957%, 04/15/37 250 246
Banc of America Funding,
Ser 2005-F, Cl 4A1 (C)
5.355%, 06/01/07 564 560
Banc of America Funding,
Ser 2006-D, Cl 3A1 (C)
5.571%, 06/01/07 513 511
Banc of America Mortgage Securities,
Ser 2005-A, Cl 2A1 (C)
4.461%, 02/25/35 336 329
Bear Stearns Adjustable Rate
Mortgage Trust, Ser 2005-6,
Cl 3A1 (C)
5.285%, 06/01/07 456 453
Bear Stearns Adjustable Rate
Mortgage Trust, Ser 2005-9,
Cl A1 (C)
4.625%, 10/25/35 572 563
Bear Stearns Adjustable Rate
Mortgage Trust, Ser 2006-1,
Cl A1 (C)
4.625%, 06/01/07 548 537
Bear Stearns Commercial Mortgage,
Ser TOP2, Cl A2
6.480%, 02/15/35 500 515
Citigroup Commercial Mortgage Trust,
Ser 2007-FL3A, Cl J (B) (C)
6.270%, 04/15/22 155 155
Citigroup Mortgage Loan Trust,
Ser 2006-AR1, Cl 1A1 (C)
4.900%, 10/25/35 571 566
Countrywide Alternative Loan Trust,
Ser 2007-HY5R, Cl 2A1A (C)
5.544%, 06/01/07 876 873
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Home Loans,
Ser 2005-HY10, Cl 3A1A (C)
5.386%, 06/01/07 $ 552 $ 551
Countrywide Home Loans,
Ser 2006-HYB1, Cl 1A1 (C)
5.365%, 06/20/07 1 1
Credit Suisse First Boston Mortgage
Securities, Ser 2000-C1, Cl A2
7.545%, 04/15/62 500 521
Crown Castle Towers LLC,
Ser 2006-1A, Cl E (B)
6.065%, 11/15/36 380 375
Diversified Reit Trust, Ser 1999-1A,
Cl A2 (B)
6.780%, 03/18/11 153 155
First Franklin Mortgage Loan Asset,
Ser 2006-FF18, Cl A2B (C)
5.430%, 12/25/37 275 275
First Franklin Mortgage Loan Asset,
Ser 2007-FF1, Cl M2 (C)
5.580%, 01/25/38 285 285
First Horizon Alternative Mortgage
Trust, Ser 2005-AA3, Cl 3A1 (C)
5.349%, 06/01/07 329 328
First Horizon Mortgage Pass-Through
Trust, Ser 2005-AR4, Cl 2A1 (C)
5.340%, 10/25/35 263 262
GMAC Mortgage Loan Trust,
Ser 2006-AR1, Cl 1A1 (C)
5.606%, 06/01/07 117 117
GSR Mortgage Loan Trust,
Ser 2006-AR1, Cl 2A1 (C)
5.198%, 01/25/36 484 481
GSR Mortgage Loan Trust,
Ser 2006-AR2, Cl 3A1 (C)
5.750%, 04/25/36 78 78
Harborview Mortgage Loan Trust,
Ser 2005-14, Cl 3A1A (C)
5.320%, 12/19/35 416 414
Holmes Master Issuer PLC,
Ser 2007-1, Cl 1C1 (C)
5.625%, 07/16/07 100 100
Indymac Indx Mortgage Loan Trust,
Ser 2006-AR41, Cl A3 (C)
5.500%, 06/25/07 474 475
JP Morgan Mortgage Trust,
Ser 2007-A3, Cl 1A1 (C)
5.507%, 06/01/07 508 499
MLCC Mortgage Investors,
Ser 2006-1, Cl 2A1 (C)
5.398%, 02/25/36 327 325
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 157
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Master Adjustable Rate Mortgages
Trust, Ser 2005-6, Cl 5A1 (C)
5.051%, 07/25/35 $ 570 $ 564
Merrill Lynch Mortgage Investors,
Ser 2005-A1, Cl 2A1 (C)
4.538%, 12/25/34 360 356
Merrill Lynch Mortgage Investors,
Ser 2005-A9, Cl 2A1A (C)
5.191%, 12/25/35 454 449
Merrill Lynch Mortgage Investors,
Ser 2005-A9, Cl 2A1E (C)
5.150%, 12/25/35 211 209
Morgan Stanley Capital I,
Ser 2007-HE2, Cl M2 (C)
5.580%, 01/25/37 150 149
Morgan Stanley Capital I,
Ser 2007-XLFA, Cl C (B) (C)
5.480%, 10/15/20 240 240
Morgan Stanley Home Equity Loans,
Ser 2005-3, Cl M1 (C)
5.770%, 08/25/35 350 352
Morgan Stanley Home Equity Loans,
Ser 2005-4, Cl M1 (C)
5.730%, 09/25/35 370 370
MortgageIT Trust, Ser 2005-1,
Cl 2A (C)
4.250%, 02/25/35 571 559
MortgageIT Trust, Ser 2005-4,
Cl A1 (C)
5.600%, 06/25/07 546 547
Option One Mortgage Loan Trust,
Ser 2005-3, Cl M1 (C)
5.790%, 06/25/07 330 331
Option One Mortgage Loan Trust,
Ser 2005-5, Cl M1 (C)
5.710%, 06/27/07 470 471
Option One Mortgage Loan Trust,
Ser 2007-FXD2, Cl 2A1 (F)
5.900%, 03/25/37 336 336
Option One Mortgage Loan Trust,
Ser 2007-HL1, Cl 2A1 (C)
5.440%, 06/26/07 297 297
Pendeford Master Issuer PLC,
Ser 2007-1A, Cl 1C (B) (C)
5.660%, 05/12/59 225 225
Permanent Master Issuer,
Ser 2007-1, Cl 1C (C)
5.526%, 07/15/42 150 150
Residential Asset Securities,
Ser 2005-KS12, Cl M1 (C)
5.760%, 06/25/07 375 376
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Residential Funding Mortgage
Securities, Ser 2005-SA5,
Cl 2A (C)
5.353%, 11/25/35 $ 203 $ 201
Residential Funding Mortgage
Securities, Ser 2006-SA1,
Cl 1A1 (C)
5.674%, 02/25/36 181 181
Residential Funding Mortgage
Securities, Ser 2007-SA2,
Cl 2A2 (C)
5.687%, 06/01/07 384 385
Securitized Asset-Backed
Receivables LLC, Ser 2007-NC2,
Cl M2 (C)
5.580%, 01/25/37 145 144
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2004-AR5, Cl A6 (C)
3.842%, 06/01/07 600 582
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2005-AR14, Cl 1A4 (C)
5.064%, 12/25/35 537 530
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2005-AR3, Cl A2 (C)
4.639%, 06/01/07 491 483
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2004-EE,
Cl 2A2 (C)
3.989%, 06/01/07 477 471
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2004-Z,
Cl 2A1 (C)
4.577%, 06/01/07 585 576
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2005-AR16,
Cl 3A2 (C)
4.997%, 06/01/07 152 151
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2005-AR4,
Cl 2A2 (C)
4.525%, 06/01/07 561 551
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2006-AR10,
Cl 2A1 (C)
5.639%, 07/25/36 570 567
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2006-AR13,
Cl A2 (C)
5.759%, 09/25/36 585 585
- --------------------------------------------------------------------------------
158 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2006-AR5,
Cl 2A1 (C)
5.533%, 06/01/07 $ 480 $ 478
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2006-AR6,
Cl 3A1 (C)
5.094%, 06/01/07 443 440
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2006-AR8,
Cl 2A1 (C)
5.240%, 06/01/07 345 342
--------------
23,817
--------------
OTHER ASSET-BACKED SECURITIES -- 2.2%
ACAS Business Loan Trust, Ser
2007-1A, Cl C (B) (C)
6.203%, 08/16/19 530 530
Caterpillar Financial Asset Trust,
Ser 2005-A, Cl A3
3.900%, 02/25/09 142 141
Cit Equipment Collateral,
Ser 2006-VT1, Cl B
5.230%, 02/20/13 194 193
Crusade Global Trust, Ser 2007-1,
Cl A1 (C)
5.420%, 04/19/38 342 342
Dominos Pizza Master Issuer LLC,
Ser 2007-1, Cl A2 (B)
5.261%, 04/25/37 400 394
GE Dealer Floorplan Master Note
Trust, Ser 2006-2, Cl C (C)
5.750%, 04/20/13 120 120
John Deere Owner Trust, Ser 2007-A,
Cl A2
5.240%, 10/15/09 85 85
Lambda Finance, Ser 2005-1A,
Cl A3 (B) (C)
5.590%, 11/15/29 400 400
Marlin Leasing Receivables LLC,
Ser 2006-1A, Cl A2 (B)
5.430%, 11/17/08 250 250
Peco Energy Transition Trust,
Ser 2000-A, Cl A3
7.625%, 03/01/10 295 306
--------------
2,761
--------------
Total Asset-Backed Securities
(Cost $36,417) ($ Thousands) 36,334
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS -- 16.7%
CONSUMER DISCRETIONARY -- 1.8%
CBS
7.700%, 07/30/10 $ 250 $ 265
COX Communications
4.625%, 01/15/10 300 294
Comcast Cable Communications
6.200%, 11/15/08 300 303
DaimlerChrysler
7.200%, 09/01/09 300 310
Federated Department Stores
6.300%, 04/01/09 300 304
Macy's Retail Holding
5.350%, 03/15/12 225 221
Time Warner Cable (B)
5.400%, 07/02/12 500 494
--------------
2,191
--------------
CONSUMER STAPLES -- 0.8%
Altria Group
7.000%, 11/04/13 250 267
General Mills (C)
5.485%, 07/23/07 400 400
Miller Brewing
4.250%, 08/15/08 300 296
--------------
963
--------------
ENERGY -- 0.4%
Canadian Natural Resources
5.700%, 05/15/17 150 147
KeySpan
7.625%, 11/15/10 300 320
--------------
467
--------------
FINANCIALS -- 10.8%
Ameriprise Financial
5.350%, 11/15/10 300 299
Banco Santander Chile (B) (C)
5.690%, 06/09/07 450 451
CIT Group
3.375%, 04/01/09 300 289
Capital One Financial MTN
5.700%, 09/15/11 300 300
Capmark Financial Group (B) (C)
5.000%, 05/10/10 500 501
Citigroup (C)
5.610%, 06/11/07 300 300
Comerica Bank (C)
5.365%, 06/19/09 275 275
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 159
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Financial (C)
5.490%, 07/05/07 $ 500 $ 499
Everest Reinsurance Holdings
8.750%, 03/15/10 295 319
Everest Reinsurance Holdings (C)
6.600%, 05/15/37 450 441
General Electric Capital (C)
5.445%, 07/28/07 275 275
Goldman Sachs Capital III (C)
6.130%, 09/29/49 500 500
Goldman Sachs Group (C)
5.536%, 02/06/12 500 500
Hartford Financial Services Group
7.900%, 06/15/10 250 267
Huntington National Bank
4.375%, 01/15/10 300 291
International Lease Finance MTN,
Ser P (C)
5.756%, 01/15/10 500 504
JP Morgan Chase Capital XXI,
Ser U (C)
6.305%, 02/02/37 550 556
Lehman Brothers Holdings MTN,
Ser G (C)
5.607%, 11/10/09 500 502
Liberty Property+
7.250%, 03/15/11 300 316
Merrill Lynch MTN, Ser C (C)
5.685%, 07/21/09 500 501
Monumental Global Funding (B)
5.556%, 07/16/07 450 450
Morgan Stanley MTN, Ser G (C)
5.650%, 07/04/07 400 399
Prudential Financial MTN
5.100%, 12/14/11 300 296
RSHB Captl
7.175%, 05/16/13 40 42
6.299%, 05/15/17 (B) 205 206
Reinsurance Group of America
5.625%, 03/15/17 300 289
Residential Capital
6.460%, 05/22/09 490 490
6.457%, 04/17/09 (C) 250 250
State Street (C)
5.455%, 04/30/12 285 285
Textron Financial MTN
4.600%, 05/03/10 350 342
UBS Luxembourg (C)
6.230%, 02/11/15 130 131
Union Planters
7.750%, 03/01/11 250 268
Unitrin
6.000%, 05/15/17 260 254
4.875%, 11/01/10 300 293
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
VTB 24 Capital PLC MTN, Ser E (C)
6.150%, 12/07/09 $ 200 $ 201
VTB Capital (B) (C)
6.100%, 09/21/07 250 250
Wachovia (C)
5.475%, 06/15/07 425 426
Western Union
5.400%, 11/17/11 300 296
Willis North America
5.125%, 07/15/10 300 293
--------------
13,347
--------------
HEALTH CARE -- 0.2%
Wyeth
6.950%, 03/15/11 250 262
--------------
INDUSTRIALS -- 0.5%
Continental Airlines, Ser 061G (C)
5.698%, 06/02/13 300 301
Continental Airlines, Ser A
5.983%, 04/19/22 300 296
--------------
597
--------------
SOVEREIGN -- 0.1%
Republic of Trinidad & Tobago
9.875%, 10/01/09 150 165
--------------
TELECOMMUNICATION SERVICES -- 0.7%
Corning
6.050%, 06/15/15 300 299
Telecom Italia Capital (C)
5.969%, 07/18/07 300 302
Vodafone Group PLC (C)
5.640%, 02/27/12 300 300
--------------
901
--------------
UTILITIES -- 1.4%
Dominion Resources, Ser B (C)
5.540%, 08/14/07 450 450
Nisource Finance (C)
5.930%, 08/23/07 500 501
Ohio Power (C)
5.530%, 04/05/10 270 270
PSEG Power
3.750%, 04/01/09 300 291
Southern Ser A
5.300%, 01/15/12 175 174
--------------
1,686
--------------
Total Corporate Obligations
(Cost $20,686) ($ Thousands) 20,579
--------------
- --------------------------------------------------------------------------------
160 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
OBLIGATIONS -- 9.1%
FNMA TBA
6.000%, 11/01/08 $ 7 $ 7
6.000%, 06/01/21 84 85
6.000%, 07/01/21 189 192
6.000%, 08/01/21 845 854
6.000%, 09/01/21 946 955
6.000%, 10/01/21 1,642 1,658
6.000%, 11/01/21 87 88
6.000%, 12/01/21 72 73
6.000%, 10/01/26 5,112 5,129
6.000%, 04/01/27 688 690
5.500%, 10/01/20 221 220
5.500%, 02/01/22 500 496
5.500%, 03/01/22 779 773
--------------
Total U.S. Government Agency Mortgage-Backed Obligations
(Cost $11,284) ($ Thousands) 11,220
--------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.8%
FHLMC (A)
4.760%, 06/22/07 420 419
FHLMC CMO, Ser 3153, Cl FX (C)
5.859%, 06/15/07 577 579
--------------
Total U.S. Government Agency Obligations
(Cost $999) ($ Thousands) 998
--------------
TIME DEPOSITS -- 6.1%
Royal Bank of Canada
5.250%, 06/19/07 2,988 2,988
Royal Bank of Scotland
5.270%, 06/19/07 2,500 2,500
UBS London
5.250%, 06/29/07 2,016 2,016
--------------
Total Time Deposits
(Cost $7,504) ($ Thousands) 7,504
--------------
CASH EQUIVALENT -- 5.7%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.330%*++ 7,091,854 7,092
--------------
Total Cash Equivalent
(Cost $7,092) ($ Thousands) 7,092
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CERTIFICATE OF DEPOSIT -- 0.1%
Sovereign Bank
4.000%, 02/01/08 $ 100 $ 99
--------------
Total Certificate of Deposit
(Cost $99) ($ Thousands) 99
--------------
REPURCHASE AGREEMENT (D) -- 0.6%
Bank of New York
5.310%, dated 05/31/07, to be
repurchased on 06/01/07,
repurchase price $700,103
(collateralized by a U.S. Government
obligation, par value $738,887,
5.500%, 03/01/37, total market
value $714,000) 700 700
--------------
Total Repurchase Agreement
(Cost $700) ($ Thousands) 700
--------------
Total Investments -- 101.2%
(Cost $125,032) ($ Thousands) $ 124,851
==============
A summary of the open futures contracts held by the Fund at May 31, 2007, is as
follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
NUMBER OF APPRECIATION
TYPE OF CONTRACTS EXPIRATION (DEPRECIATION)
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
90-Day Euro$ 46 Jun-2007 $ (13)
90-Day Euro$ (46) Dec-2007 50
U.S. 2 Year Treasury Note 6 Sep-2007 (2)
U.S. 5 Year Treasury Note (45) Sep-2007 5
U.S. 10 Year Treasury Note (118) Sep-2007 19
--------
$ 59
========
A summary of the outstanding forward foreign currency contracts held by the Fund
at May 31, 2007, is as follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
CURRENCY CURRENCY APPRECIATION
MATURITY TO DELIVER TO RECEIVE (DEPRECIATION)
DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
6/12/07 EUR 852 CHF 1,407 $ 2
6/12/07 CHF 1,594 EUR 969 2
6/12/07-7/11/07 USD 5,339 JPY 631,000 (141)
6/12/07-8/10/07 NZD 4,355 JPY 349,000 (322)
6/12/07-8/10/07 JPY 562,000 NZD 6,820 375
6/12/07-10/10/07 USD 5,217 CHF 6,300 (48)
6/12/07-10/10/07 CHF 10,500 GBP 4,396 84
6/12/07-10/10/07 GBP 3,220 CHF 7,700 (59)
6/12/07-11/9/07 GBP 3,922 JPY 899,000 (308)
6/12/07-11/9/07 JPY 1,326,000 GBP 5,755 383
6/12/07-11/13/07 CHF 9,100 USD 7,536 60
6/12/07-11/13/07 JPY 989,000 USD 8,386 219
6/13/07 AUD 2,499 EUR 1,529 (8)
6/13/07 AUD 2,044 GBP 853 (3)
6/13/07 EUR 1,046 AUD 1,719 13
6/13/07 GBP 624 AUD 1,505 10
9/12/07-11/9/07 CHF 900 NZD 1,050 24
9/12/07-11/9/07 JPY 106,000 AUD 1,124 41
10/10/07 AUD 360 JPY 35,000 (4)
--------
$ 320
========
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 161
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Concluded)
May 31, 2007
A summary of outstanding swap agreements held by the Fund at May 31, 2007, is as
follows (see Note 2 in Notes to Financial Statements):
- -----------------------------------------------------------------------------------------
CREDIT DEFAULT SWAP
- -----------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- -----------------------------------------------------------------------------------------
Fund receives monthly payment of 0.5400%
(6.480% per annum) times the notional
amount of the ABX.HE.A 06-1 Index. Upon
a defined credit event, Fund pays the
notional amount and takes receipt of the
defined deliverable obligation.
(Counterparty: Bank of America) 07/25/45 2,750 $(48)
====
- -----------------------------------------------------------------------------------------
TOTAL RETURN SWAP
- -----------------------------------------------------------------------------------------
Receive payment on the monthly reset
spread from Lehman Brothers -
CMBS AAA 8.5 Plus Index plus 30
basis points times the notional amount.
Fund receives payment if the return
on the spread appreciates over the
payment period and pays if the return
on the spread depreciates over the
payment period.
(Counterparty: Goldman Sachs) 11/01/07 7,000 $ 5
====
Percentages are based on Net Assets of $123,430 ($ Thousands).
* Rate shown is the 7-day effective yield as of May 31, 2007.
+ Real Estate Investments Trust
++ Affiliated security
(A) Zero coupon security. The rate reported on the Schedule of Investments is
the effective yield at time of purchase.
(B) 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.
(C) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of May 31, 2007. The date reported on the
Schedule of Investments is the next reset date.
(D) Tri-Party Repurchase Agreement
(E) Unsettled Position -- Interest rate will not be known until settlement.
(F) Step Bonds -- The rate reflected on the Schedule of Investments is the
effective yield on May 31, 2007. The coupon on a step bond changes on a
specified date.
AUD -- Australian Dollar
CHF -- Swiss Franc
CMO -- Collateralized Mortgage Obligation
Cl -- Class
EUR -- Euro
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GBP -- British Pound Sterling
JPY -- Japanese Yen
LLC -- Limited Liability Company
MTN -- Medium Term Note
NZD -- New Zealand Dollar
PLC -- Public Liability Company
Ser -- Series
TBA -- To Be Announced
USD -- United States Dollar
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
162 SEI Institutional Investments Trust / Annual Report / May 31, 2007
Core Fixed Income Fund
May 31, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)++:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
23.9% U.S. Government Agency Mortgage-Backed Obligations
16.5% Short-Term Investments
16.3% Asset-Backed Securities
15.2% U.S. Treasury Obligations
11.5% Financials
7.9% U.S. Government Agency Obligations
1.5% Commercial Paper
1.4% Energy
1.2% Industrials
1.0% Consumer Discretionary
1.0% Utilities
0.8% Telecommunication Services
0.4% Sovereign Bonds
0.4% Health Care
0.4% Certificates of Deposit
0.2% Master Note
0.1% Materials
0.1% Consumer Staples
0.1% Purchased Options
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)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
OBLIGATIONS -- 32.4%
FHLMC
9.750%, 10/01/14 $ 6 $ 6
8.500%, 09/01/08 to 04/01/09 11 11
7.500%, 11/01/07 to 06/01/32 1,075 1,121
7.000%, 06/01/07 to 06/01/32 1,386 1,431
6.500%, 10/01/16 to 10/01/36 41,719 42,541
6.000%, 01/01/13 to 06/01/35 8,328 8,416
5.500%, 09/01/13 to 03/01/37 46,125 45,560
5.125%, 04/18/11 4,182 4,177
5.000%, 04/01/20 to 09/01/35 69,061 66,566
4.500%, 04/01/19 to 04/01/20 3,571 3,424
4.000%, 03/01/19 to 01/01/34 31,714 29,551
FHLMC ARM
6.331%, 03/01/37 12,670 12,807
6.178%, 01/01/37 9,545 9,621
6.171%, 07/01/36 7,625 7,671
6.009%, 04/01/37 5,815 5,857
5.915%, 04/01/37 9,404 9,425
5.910%, 01/01/37 4,162 4,175
5.785%, 05/01/37 2,507 2,514
5.699%, 03/01/36 1,810 1,810
5.175%, 12/01/35 1,095 1,090
5.114%, 01/01/36 7,006 6,930
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FHLMC TBA
6.000%, 07/15/32 $ 4,330 $ 4,325
5.500%, 06/01/33 822 802
5.000%, 06/12/37 7,900 7,517
FNMA
8.000%, 04/01/08 to 07/01/31 626 653
7.500%, 06/01/30
7.000%, 03/01/09 to 04/01/32 3,368 3,496
6.500%, 05/01/17 to 05/01/37 8,498 8,659
6.000%, 04/01/17 to 01/01/36 14,877 14,903
5.500%, 04/01/14 to 11/01/36 292,486 287,512
5.000%, 06/01/18 to 12/01/36 165,767 158,768
4.500%, 06/01/18 to 10/01/18 7,216 6,926
4.000%, 09/01/18 to 03/01/36 64,917 59,396
FNMA ARM
7.038%, 06/01/07 2,566 2,662
7.026%, 06/01/07 2,601 2,699
7.020%, 06/01/07 2,637 2,736
7.018%, 06/01/07 2,747 2,845
6.897%, 11/01/35 2,713 2,815
6.444%, 07/01/36 4,893 4,969
5.935%, 05/01/37 2,806 2,817
5.933%, 11/01/36 7,620 7,679
5.928%, 09/01/36 7,738 7,798
5.740%, 04/01/36 2,543 2,547
5.645%, 02/01/36 13,305 13,312
5.614%, 05/01/37 2,803 2,789
4.508%, 04/01/09 1,381 1,364
5.507%, 06/01/36 1,483 1,488
5.188%, 11/01/36 1,419 1,404
5.082%, 10/01/36 4,264 4,230
5.037%, 07/01/35 2,674 2,650
4.871%, 09/01/35 1,443 1,415
FNMA TBA
6.500%, 06/01/37 112,090 113,841
6.000%, 06/17/19 to 06/01/37 111,300 111,167
5.500%, 06/01/22 to 06/12/37 211,833 207,440
5.000%, 06/17/21 to 06/01/37 399,512 380,855
4.500%, 06/12/37 3,600 3,326
GNMA
9.500%, 12/15/20 19 21
7.000%, 04/15/26 to 09/15/34 6,861 7,173
6.500%, 06/15/11 to 07/15/35 17,468 17,936
6.000%, 03/15/14 to 02/15/35 75,278 75,826
5.500%, 04/15/14 to 10/20/34 7,346 7,218
5.000%, 05/15/33 to 11/15/35 46,388 44,577
GNMA ARM
3.750%, 06/01/07 5,316 5,291
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 163
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
GNMA TBA
6.500%, 06/19/33 $ 10,400 $ 10,637
6.000%, 06/01/33 to 05/01/34 38,358 38,538
--------------
Total U.S. Government Agency Mortgage-Backed Obligations
(Cost $1,930,254) ($ Thousands) 1,909,726
--------------
CORPORATE OBLIGATIONS -- 24.0%
CONSUMER DISCRETIONARY -- 1.3%
COX Communications
7.875%, 08/15/09 440 461
5.875%, 12/01/16 (C) 1,815 1,800
CVS (C)
5.789%, 01/10/26 2,159 2,084
CVS Lease Pass-Through Trust (C)
6.036%, 12/10/28 10,780 10,581
5.880%, 01/10/28 191 186
Clear Channel Communications
6.250%, 03/15/11 (J) 2,740 2,666
4.250%, 05/15/09 1,040 1,005
Comcast
9.000%, 09/01/08 710 738
6.500%, 01/15/15 3,635 3,778
6.500%, 01/15/17 (J) 1,825 1,892
5.650%, 06/15/35 2,225 1,971
Comcast Cable Communications
8.375%, 03/15/13 5,480 6,184
6.750%, 01/30/11 5,950 6,187
DaimlerChrysler
8.500%, 01/18/31 935 1,194
7.300%, 01/15/12 1,995 2,129
6.500%, 11/15/13 4,200 4,380
DaimlerChrysler MTN
5.750%, 09/08/11 2,830 2,847
5.690%, 06/08/07 (F) 5,920 5,930
Estee Lauder
5.550%, 05/15/17 2,330 2,295
Ford Motor (J)
7.450%, 07/16/31 2,770 2,278
Macy's Retail Holding
5.350%, 03/15/12 1,617 1,591
News America
6.400%, 12/15/35 2,725 2,662
6.200%, 12/15/34 315 300
Target
5.375%, 05/01/17 4,075 3,985
4.000%, 06/15/13 355 328
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Time Warner
7.700%, 05/01/32 $ 4,185 $ 4,647
6.875%, 05/01/12 350 368
6.550%, 05/01/37 (C) 1,170 1,153
5.850%, 05/01/17 (C) 935 922
Time Warner Entertainment
8.375%, 07/15/33 2,700 3,214
--------------
79,756
--------------
CONSUMER STAPLES -- 0.2%
Altria Group
7.750%, 01/15/27 1,145 1,345
7.000%, 11/04/13 3,450 3,688
Kraft Foods
5.250%, 10/01/13 2,025 1,972
Philip Morris Capital
7.500%, 07/16/09 1,155 1,193
Reynolds American
7.875%, 05/15/09 1,630 1,694
--------------
9,892
--------------
ENERGY -- 1.9%
Anadarko Finance, Ser B
7.500%, 05/01/31 5,363 5,850
Anadarko Petroleum
6.450%, 09/15/36 5,150 5,011
5.755%, 06/15/07 (F) 4,650 4,660
BP Canada Finance
3.625%, 01/15/09 2,740 2,667
Canadian Natural Resources
6.250%, 03/15/38 1,405 1,354
5.700%, 05/15/17 1,420 1,395
Conoco Funding
7.250%, 10/15/31 885 1,016
6.950%, 04/15/29 4,195 4,671
6.350%, 10/15/11 430 446
ConocoPhillips
5.900%, 10/15/32 10 10
4.750%, 10/15/12 880 855
ConocoPhillips Canada
5.625%, 10/15/16 2,510 2,516
Devon Financing
6.875%, 09/30/11 2,575 2,705
EMP Nacional del Petrole (C)
6.750%, 11/15/12 171 179
4.875%, 03/15/14 892 846
El Paso
6.950%, 06/01/28 2,250 2,273
- --------------------------------------------------------------------------------
164 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
El Paso Natural Gas (C)
5.950%, 04/15/17 $ 1,055 $ 1,039
Enbridge
5.800%, 06/15/14 1,629 1,627
GAZ Capital (C)
6.510%, 03/07/22 4,640 4,721
6.212%, 11/22/16 8,377 8,398
Hess
7.300%, 08/15/31 6,731 7,313
Husky Oil Ltd.
7.550%, 11/15/16 1,680 1,860
Kansas Gas & Electric
5.647%, 09/29/15 2,815 2,729
Kerr-Mcgee
6.950%, 07/01/24 2,325 2,439
Kinder Morgan Energy Partners
7.125%, 03/15/12 1,760 1,864
6.000%, 02/01/17 660 657
5.000%, 12/15/13 1,190 1,136
Mantis Reef II (C)
4.799%, 11/03/09 1,095 1,074
Nakilat (C)
6.267%, 12/31/33 856 828
6.067%, 12/31/33 1,524 1,467
Nevada Power, Ser M
5.950%, 03/15/16 1,250 1,243
Nexen
7.875%, 03/15/32 958 1,104
5.875%, 03/10/35 280 256
Pemex Project Funding Master Trust
6.660%, 06/15/07 (C) (F) 1,411 1,453
6.625%, 06/15/35 4,034 4,276
Petrobras International Finance
6.125%, 10/06/16 6,680 6,713
Petroleum Export (C)
5.265%, 06/15/11 636 618
4.623%, 06/15/10 399 393
Ras Laffan LNG II (C)
5.298%, 09/30/20 879 830
Ras Laffan LNG III (C)
6.332%, 09/30/27 2,590 2,577
Shell International Finance
5.200%, 03/22/17 2,270 2,207
Sonat
7.625%, 07/15/11 2,880 3,026
Southern Natural Gas (C) (J)
5.900%, 04/01/17 1,170 1,152
Southern Star Cent Gas (C)
6.000%, 06/01/16 1,875 1,870
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Tesoro (C)
6.500%, 06/01/17 $ 765 $ 766
Williams
8.750%, 03/15/32 2,170 2,582
7.750%, 06/15/31 (J) 740 810
Williams, Ser A
7.500%, 01/15/31 20 22
XTO Energy
7.500%, 04/15/12 1,320 1,425
YPF Sociedad Anonima MTN, Ser A
7.750%, 08/27/07 3,000 3,004
--------------
109,933
--------------
FINANCIALS -- 15.5%
ABX Financing (C)
6.350%, 10/15/36 5,200 5,086
ACE
6.700%, 05/15/36 1,180 1,225
ASIF Global Financing XIX (C)
4.900%, 01/17/13 450 437
Aegon (F)
5.362%, 07/15/07 2,180 1,880
Aiful (C)
5.000%, 08/10/10 2,620 2,560
4.450%, 02/16/10 3,322 3,199
Allied Capital
6.625%, 07/15/11 6,705 6,780
Allied World Assurance
7.500%, 08/01/16 2,000 2,126
American Express (F)
6.800%, 09/01/16 995 1,039
American General Finance (C) (F) (K)
5.370%, 06/15/07 23,287 23,286
American International Group
6.250%, 03/15/37 (J) 3,660 3,537
5.600%, 10/18/16 (J) 1,210 1,208
4.700%, 10/01/10 2,975 2,918
American International Group MTN
5.450%, 05/18/17 3,355 3,306
Australia & New Zealand Banking
Group (F)
5.556%, 10/29/49 1,590 1,377
BAC Capital Trust XI
6.625%, 05/23/36 1,555 1,627
BNP Paribas (F)
5.445%, 09/23/07 1,080 923
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 165
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
May 31, 2007
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
Banco Mercantile (C) (F)
6.135%, 10/13/16 $ 2,345 $ 2,354
Banco Santander Chile
7.375%, 07/18/12 659 710
Bank One
7.875%, 08/01/10 4,440 4,755
Bank of America
5.420%, 03/15/17 (C) 3,300 3,218
5.375%, 06/15/14 1,920 1,899
4.250%, 10/01/10 1,560 1,511
Bank of Ireland (F)
5.625%, 06/05/07 1,030 893
Bank of Nova Scotia (F)
5.625%, 08/23/07 790 683
Bank of Scotland (F)
5.625%, 11/29/49 330 283
Bankamerica Capital II
8.000%, 12/15/26 402 418
Banponce Trust I, Ser A
8.327%, 02/01/27 2,410 2,513
Barclays Bank (F)
5.750%, 07/02/07 440 384
Bear Stearns EXL (F) (K)
5.360%, 06/15/07 28,587 28,587
Capital One Bank
4.875%, 05/15/08 2,985 2,971
Capital One Financial
6.150%, 09/01/16 1,850 1,853
Capital One III
7.686%, 08/15/36 2,000 2,137
Chuo Mitsui Trust & Banking (C) (F)
5.506%, 12/15/49 1,814 1,739
Cigna
6.150%, 11/15/36 1,375 1,345
Citigroup
5.500%, 02/15/17 2,155 2,120
5.100%, 09/29/11 1,295 1,278
4.125%, 02/22/10 (J) 6,820 6,622
3.625%, 02/09/09 6,275 6,106
Corp Andina de Fomento
5.125%, 05/05/15 710 680
Countrywide Financial MTN (F) (K)
5.430%, 06/27/07 9,636 9,636
Countrywide Financial MTN, Ser A
(F) (K)
5.440%, 08/06/07 24,090 24,090
Credit Suisse First Boston (F)
5.500%, 06/19/07 655 560
Credit Suisse First Boston London
(C) (F) (L)
0.000%, 06/24/07 8,339 7,620
0.000%, 06/24/07 4,701 4,296
- -------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
Credit Suisse USA (J)
5.500%, 08/16/11 $ 4,315 $ 4,324
Danske Bank (C) (F)
5.914%, 06/16/07 536 538
Den Norske Bank (F)
5.625%, 08/18/07 190 164
5.563%, 08/27/07 650 553
Depfa ACS Bank (C)
5.125%, 03/16/37 4,200 3,909
Deutsche Bank Capital Funding Trust
(C) (F)
5.628%, 01/19/49 4,789 4,636
Developers Divers Realty+
5.375%, 10/15/12 1,155 1,136
Dresdner Funding Trust I (C)
8.151%, 06/30/31 1,336 1,578
Dryden Investor Trust (C) (H)
7.157%, 07/23/08 1,442 1,470
ERP Operating
5.750%, 06/15/17 2,210 2,193
5.500%, 10/01/12 550 547
Eksportfinans
5.500%, 05/25/16 4,250 4,315
Eksportfinans MTN, Ser G
5.125%, 10/26/11 1,078 1,073
Equity One+
3.875%, 04/15/09 7,100 6,860
Farmers Exchange Capital (C)
7.200%, 07/15/48 3,582 3,663
7.050%, 07/15/28 1,063 1,103
Farmers Insurance Exchange (C)
8.625%, 05/01/24 4,118 4,868
First Industrial MTN
7.500%, 12/01/17 2,765 3,030
Ford Motor Credit
7.875%, 06/15/10 7,200 7,269
7.375%, 10/28/09 (J) 15,740 15,795
7.250%, 10/25/11 329 324
7.000%, 10/01/13 6,549 6,267
6.625%, 06/16/08 10,480 10,489
Fund American
5.875%, 05/15/13 1,448 1,428
GE Capital Franchise MTN+
6.860%, 06/15/07 1,100 1,100
GMAC LLC
8.000%, 11/01/31 898 987
7.750%, 01/19/10 2,370 2,434
7.560%, 06/25/07 (F) 11,009 11,395
7.250%, 03/02/11 2,755 2,808
6.306%, 07/16/07 (F) 3,340 3,341
6.125%, 01/22/08 415 414
6.125%, 08/28/07 (J) 9,860 9,861
5.625%, 05/15/09 7,680 7,583
- --------------------------------------------------------------------------------
166 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
General Electric Capital MTN, Ser A
6.000%, 06/15/12 $ 7,085 $ 7,241
3.750%, 12/15/09 4,022 3,874
Glitnir Bank
6.693%, 06/15/16 (C) (F) 4,480 4,661
6.330%, 07/28/11 (C) 2,440 2,495
Goldman Sachs Capital II (F)
5.793%, 12/29/49 9,315 9,186
Goldman Sachs Group
6.600%, 01/15/12 2,630 2,737
5.125%, 01/15/15 (J) 4,555 4,389
HBOS (C) (F)
5.375%, 11/29/49 2,419 2,368
HSBC Bank (F)
5.875%, 06/19/07 1,460 1,263
5.663%, 06/11/07 2,320 1,972
HSBC Finance
8.000%, 07/15/10 2,330 2,492
7.000%, 05/15/12 1,975 2,088
6.375%, 11/27/12 365 377
HVB Funding Trust III (C)
9.000%, 10/22/31 1,226 1,558
Hartford Financial Services Group (J)
5.500%, 10/15/16 1,470 1,450
Health Care Properties+
6.000%, 01/30/17 6,000 5,936
5.650%, 12/15/13 3,400 3,331
Highwoods Realty+
7.500%, 04/15/18 3,888 4,255
7.125%, 02/01/08 3,803 3,841
ILFC E-Capital Trust II (C) (F) (J)
6.250%, 12/21/65 1,200 1,194
Intergas Finance (C) (J)
6.375%, 05/14/17 4,703 4,623
International Lease Finance MTN
5.750%, 06/15/11 3,350 3,399
5.650%, 06/01/14 1,675 1,667
5.580%, 08/24/07 (F) 1,805 1,811
Irish Life & Permanent MTN, Ser X
(C) (F) (K)
5.360%, 06/21/07 21,360 21,359
JPMorgan Chase
5.750%, 01/02/13 3,670 3,700
5.600%, 06/01/11 4,515 4,542
5.150%, 10/01/15 180 174
5.125%, 09/15/14 2,010 1,957
JPMorgan Chase Capital XVIII,
Ser R (J)
6.950%, 08/17/36 3,605 3,741
Jackson National Life Funding
(C) (F) (K)
5.320%, 06/01/07 35,332 35,332
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Kaupthing Bank
7.125%, 05/19/16 (C) $ 12,000 $ 12,760
6.045%, 07/12/07 (C) (F) 6,870 6,923
5.750%, 10/04/11 (C) 1,120 1,122
Korea Development Bank
4.250%, 11/13/07 560 556
Landsbanki Islands (C)
6.100%, 08/25/11 6,520 6,633
Lazard Group
7.125%, 05/15/15 5,765 5,997
Lehman Brothers Holdings Capital
Trust VII MTN
5.857%, 05/31/12 611 606
5.857%, 11/29/49 (F) 2,620 2,592
Lehman Brothers Holdings Capital
Trust VIII (F)
6.190%, 08/31/07 1,310 1,316
Lehman Brothers Holdings MTN
11.000%, 11/07/16 (F) 5,269 5,090
8.920%, 08/16/07 (F) 3,023 2,940
5.750%, 05/17/13 3,705 3,731
5.250%, 02/06/12 2,765 2,731
0.000%, 06/20/07 (F) (M) 4,940 4,765
Lehman Brothers Holdings MTN,
Ser H (F) (M)
0.000%, 11/30/07 3,736 3,375
Liberty Mutual Group (C) (J)
7.500%, 08/15/36 2,714 2,847
Liberty Property+
7.750%, 04/15/09 1,026 1,062
6.375%, 08/15/12 397 410
Lloyds TSB Bank, Ser 1 (F)
5.625%, 11/14/07 410 360
Lloyds TSB Bank, Ser 2 (F)
5.563%, 08/21/07 110 95
Lloyds TSB Bank, Ser 3 (F)
5.560%, 08/31/07 1,600 1,374
Lukoil International Finance (C)
6.656%, 06/07/22 409 409
6.356%, 06/07/17 646 646
MUFG Capital Finance (F)
6.346%, 07/25/49 1,459 1,467
6.346%, 07/25/49 1,840 1,846
Mangrove Bay Passthru Trust (C) (F)
6.102%, 07/15/33 2,095 2,033
Master Alternative Loans Trust,
Ser 2006-3, Cl AA3
6.250%, 06/01/07 802 805
Mellon Capital I, Ser A
7.720%, 12/01/26 827 859
Merrill Lynch
7.430%, 09/01/22 5 5
5.700%, 05/02/17 1,980 1,949
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 167
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Merrill Lynch MTN (F)
8.950%, 11/18/07 $ 4,185 $ 3,938
8.680%, 11/02/07 4,035 3,841
Merrill Lynch MTN, Ser B
3.375%, 09/14/07 1,650 1,641
Metlife
6.400%, 12/15/36 4,440 4,250
Mizuho Finance
8.375%, 04/27/09 785 822
8.375%, 12/29/49 530 555
Morgan Stanley
5.375%, 10/15/15 1,345 1,309
5.300%, 03/01/13 2,637 2,596
4.750%, 04/01/14 2,270 2,137
Morgan Stanley EXL (F) (K)
5.400%, 06/04/07 5,621 5,621
Morgan Stanley EXL, Ser S (F) (K)
5.360%, 06/04/07 8,030 8,030
Morgan Stanley MTN (F)
5.809%, 07/18/07 1,530 1,533
NB Capital Trust IV
8.250%, 04/15/27 4,865 5,060
National Australia Bank (F)
5.525%, 10/09/07 130 112
5.525%, 10/09/07 740 639
National Capital Trust II (C) (F)
5.486%, 06/17/07 3,207 3,088
National Westminster Bank, Ser B (F)
5.625%, 07/09/07 740 637
National Westminster Bank, Ser C (F)
5.500%, 08/27/07 160 137
Nationwide Building Society
(C) (F) (K)
5.410%, 06/28/07 8,833 8,833
5.370%, 06/07/07 16,060 16,060
Nationwide Mutual Insurance (C)
6.600%, 04/15/34 2,483 2,398
North Front Pass-Through Trust
(C) (F)
5.810%, 06/15/07 5,291 5,155
Northern Rock (C) (F) (K)
5.380%, 06/04/07 16,542 16,542
PF Export Receivables Master Trust (C)
6.436%, 06/01/15 1,696 1,754
PNC Funding
5.625%, 02/01/17 1,425 1,410
5.250%, 11/15/15 2,975 2,884
Paribas, Ser 1986 (F)
5.500%, 06/11/07 693 594
Pemex Finance
9.690%, 08/15/09 1,125 1,179
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Power Receivables Financial
6.290%, 01/01/12 $ 3,545 $ 3,579
6.290%, 01/01/12 (C) 1,119 1,130
Premium Asset Trust, Ser 2004-10
(C) (F) (K)
5.380%, 06/15/07 22,484 22,484
Prime Property Funding+ (C)
5.600%, 06/15/11 3,380 3,368
5.500%, 01/15/14 5,000 4,958
Prologis+
5.500%, 04/01/12 2,550 2,539
5.250%, 11/15/10 870 862
Prudential Financial MTN
5.700%, 12/14/36 2,425 2,280
RBS Capital Trust III (F)
5.512%, 09/30/07 400 388
RSHB Captl (C)
6.299%, 05/15/17 5,600 5,617
Rabobank Capital Fund Trust II
(C) (F)
5.260%, 12/29/49 1,171 1,136
Rabobank Capital Fund Trust III
(C) (F)
5.254%, 06/30/07 1,337 1,283
Residential Capital
7.187%, 07/11/07 (C) (F) 3,170 3,158
6.500%, 06/01/12 2,251 2,251
6.500%, 04/17/13 4,665 4,611
6.460%, 08/22/07 (F) 1,195 1,196
6.125%, 11/21/08 8,980 8,959
6.000%, 02/22/11 1,860 1,828
Resona Bank Ltd. (C) (F)
5.850%, 09/29/49 1,793 1,758
Resona Preferred Global Securities
(C) (F)
7.191%, 07/30/49 2,590 2,718
Royal Bank of Canada (F)
5.538%, 06/21/07 1,010 865
Royal Bank of Scotland Group
5.750%, 06/11/07 (F) 2,380 2,032
5.000%, 10/01/14 2,465 2,371
SLM MTN (F) (K)
5.320%, 06/15/07 17,666 17,666
SLM MTN, Ser CPI (F)
3.540%, 06/01/07 4,180 3,916
SMFG Preferred Capital (C) (F) (J)
6.078%, 01/25/17 6,810 6,701
Security Benefit Life (C)
8.750%, 05/15/16 5,200 5,975
Shinsei Finance Cayman (C) (F)
6.418%, 01/29/49 4,560 4,533
Simon Property Group+
5.750%, 05/01/12 2,200 2,220
5.600%, 09/01/11 1,930 1,937
- --------------------------------------------------------------------------------
168 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Skandinav Enskilda Bank (C) (F) (K)
5.320%, 06/18/07 $ 17,666 $ 17,665
Societe Generale
5.922%, 10/05/07 (C) (F) 2,034 1,997
5.438%, 11/26/07 (F) 680 586
5.395%, 11/26/07 (F) 180 155
Standard Chartered I (F)
5.563%, 07/16/07 1,840 1,523
Standard Chartered II (F)
5.625%, 11/07/07 2,790 2,344
Standard Chartered III (F)
5.525%, 06/04/07 180 149
Standard Chartered IV (F)
5.730%, 07/06/07 290 241
Stanfield Victoria LLC MTN (C) (K)
5.450%, 06/11/07 16,060 16,060
Stingray Pass-Through Trust (C)
5.902%, 01/12/15 3,600 3,337
Sumitomo Mitsui Banking
8.150%, 08/01/08 442 453
8.150%, 08/29/49 951 974
SunTrust Capital VIII (F) (J)
6.100%, 06/06/07 5,450 5,050
TNK-BP Finance
7.500%, 07/18/16 140 147
7.500%, 07/18/16 (C) (J) 3,750 3,934
6.625%, 03/20/17 (C) 1,750 1,720
Toll Road Investment Partners II
(C) (E)
5.440%, 02/15/45 6,915 885
Toyota Motor Credit
2.875%, 08/01/08 1,970 1,913
Twin Reefs Pass-Through (C) (F)
6.320%, 06/10/07 900 902
UDR+
5.500%, 04/01/14 2,900 2,840
UFJ Finance Aruba
8.750%, 08/13/49 316 329
8.750%, 11/29/49 1,060 1,104
US Bancorp MTN, Ser N
3.125%, 03/15/08 1,520 1,493
UniCredito Italiano Bank (C) (F) (K)
5.350%, 07/11/07 40,150 40,145
Wachovia
5.300%, 10/15/11 4,770 4,742
5.250%, 08/01/14 250 245
4.875%, 02/15/14 2,470 2,369
Wachovia Capital Trust III (F)
5.800%, 03/15/11 3,717 3,722
Washington Mutual
4.000%, 01/15/09 1,478 1,443
Washington Mutual Bank
5.650%, 08/15/14 3,920 3,871
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Washington+
5.350%, 05/01/15 $ 695 $ 672
Wells Fargo
5.000%, 11/15/14 1,145 1,103
Wells Fargo Capital
5.950%, 12/15/36 960 916
Westfield Capital (C)
4.375%, 11/15/10 1,900 1,833
Westfield Group (C)
5.400%, 10/01/12 2,695 2,671
Westpac Banking (F)
5.525%, 09/30/07 870 742
Westpac Capital Trust IV (C) (F)
5.256%, 12/29/49 1,259 1,187
Woodbourne Pass-Through Trust
(C) (F)
6.420%, 06/08/07 2,500 2,518
Woori Bank (C) (F) (J)
6.125%, 05/03/16 1,385 1,401
ZFS Finance USA Trust II (C) (F)
6.450%, 12/15/65 2,549 2,523
Zions Bancorp
5.500%, 11/16/15 1,880 1,829
Zurich Capital Trust I (C)
8.376%, 06/01/37 8,350 8,720
--------------
913,074
--------------
HEALTH CARE -- 0.5%
Abbott Laboratories
5.875%, 05/15/16 2,960 3,004
Amgen (C)
5.850%, 06/01/17 2,235 2,225
Cardinal Health (J)
5.850%, 12/15/17 4,875 4,778
Coventry Health Care
5.950%, 03/15/17 2,930 2,896
HCA
5.750%, 03/15/14 5,548 4,875
Tenet Healthcare
7.375%, 02/01/13 168 158
Teva Pharmaceutical Finance LLC
6.150%, 02/01/36 1,190 1,135
Wyeth
6.950%, 03/15/11 8,125 8,526
5.950%, 04/01/37 4,220 4,088
--------------
31,685
--------------
INDUSTRIALS -- 1.6%
Air 2 US (C)
8.027%, 10/01/19 4,944 5,191
America West Airlines, Ser 1999-1
7.930%, 01/02/19 4,748 5,113
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 169
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
American Airlines, Ser 1999-1
7.024%, 10/15/09 $ 2,320 $ 2,372
Burlington North Santa Fe
6.150%, 05/01/37 1,205 1,184
Cedar Brakes I LLC (C)
8.500%, 02/15/14 1,457 1,572
Cedar Brakes II LLC (C)
9.875%, 09/01/13 5,635 6,234
Continental Airlines, Ser 02-1
6.563%, 02/15/12 1,400 1,454
Continental Airlines, Ser 1999-2
7.256%, 03/15/20 1,424 1,520
Continental Airlines, Ser 971A
7.461%, 04/01/15 2,330 2,420
Continental Airlines, Ser A
5.983%, 04/19/22 3,000 2,962
Continental Airlines, Ser AMBC
6.236%, 03/15/20 2,308 2,318
Corning
5.250%, 08/15/36 955 997
Delta Air Lines, Ser 2000-1
7.379%, 05/18/10 1,409 1,439
Delta Air Lines, Ser 2001-1, Cl A-2
7.111%, 09/18/11 10,100 10,460
Eastman Kodak
7.250%, 11/15/13 2,445 2,457
Electronic Data Systems
7.125%, 10/15/09 2,990 3,080
Hutchison Wham International (C)
7.450%, 11/24/33 2,425 2,746
Stauffer Chemical (E)
5.833%, 04/15/18 860 453
5.704%, 04/15/17 350 194
5.202%, 04/15/10 300 256
Tyco International Group
7.000%, 06/15/28 1,875 2,226
6.875%, 01/15/29 8,875 10,394
6.750%, 02/15/11 1,170 1,229
6.375%, 10/15/11 8,785 9,162
6.125%, 11/01/08 320 323
6.125%, 01/15/09 120 121
6.000%, 11/15/13 1,945 2,036
US Steel
6.050%, 06/01/17 785 778
5.650%, 06/01/13 1,120 1,110
United Technologies
6.500%, 06/01/09 1,670 1,708
5.400%, 05/01/35 670 617
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Waste Management
7.375%, 05/15/29 $ 5 $ 5
7.125%, 12/15/17 4,840 5,091
7.100%, 08/01/26 1,375 1,421
Xerox
5.500%, 05/15/12 2,235 2,207
--------------
92,850
--------------
MATERIALS -- 0.2%
Codelco (C)
4.750%, 10/15/14 900 851
Vale Overseas Limited
8.250%, 01/17/34 210 251
6.875%, 11/21/36 6,568 6,727
6.250%, 01/23/17 3,430 3,451
Weyerhaeuser
6.750%, 03/15/12 410 426
--------------
11,706
--------------
SOVEREIGN -- 0.4%
Quebec Province
5.125%, 11/14/16 3,640 3,569
Republic of Italy
5.375%, 06/15/33 1,780 1,705
Russian Federation (C) (G)
7.500%, 09/30/07 2,622 2,938
Russian Federation Registered (G)
7.500%, 03/31/30 1,072 1,202
State of Israel
5.500%, 11/09/16 3,000 2,952
United Mexican States
5.625%, 01/15/17 84 84
United Mexican States MTN, Ser A
7.500%, 04/08/33 218 263
6.750%, 09/27/34 8,530 9,494
5.875%, 01/15/14 1,545 1,581
--------------
23,788
--------------
TELECOMMUNICATION SERVICES -- 1.1%
AT&T
6.800%, 05/15/36 1,255 1,328
6.150%, 09/15/34 4,730 4,635
5.100%, 09/15/14 2,410 2,328
America Movil
6.375%, 03/01/35 2,830 2,841
BellSouth
4.750%, 11/15/12 190 183
BellSouth Telecommunications
7.000%, 12/01/95 2,248 2,272
British Telecommunications PLC
8.375%, 12/15/10 1,310 1,439
- --------------------------------------------------------------------------------
170 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Deutsche Telekom International
Finance
8.250%, 06/15/30 $ 1,140 $ 1,393
5.750%, 03/23/16 2,175 2,141
Embarq
7.995%, 06/01/36 1,190 1,241
France Telecom
8.500%, 03/01/31 1,895 2,431
Koninklije
8.000%, 10/01/10 5,100 5,480
New Cingular Wireless Services
8.125%, 05/01/12 1,255 1,391
Rogers Wireless
6.375%, 03/01/14 1,405 1,441
SBC Communications
5.625%, 06/15/16 2,375 2,351
Sprint Capital
8.750%, 03/15/32 2,045 2,357
8.375%, 03/15/12 5,300 5,809
6.875%, 11/15/28 1,027 1,002
6.125%, 11/15/08 2,950 2,967
Sprint Nextel
6.000%, 12/01/16 2,181 2,103
Telecom Italia Capital
5.250%, 11/15/13 580 560
5.250%, 10/01/15 370 350
4.950%, 09/30/14 1,320 1,239
Telefonica Emisiones Sau
5.984%, 06/20/11 5,705 5,779
Telus
8.000%, 06/01/11 1,509 1,614
Verizon Communications
7.375%, 09/01/12 1,730 1,873
6.875%, 06/15/12 465 492
5.500%, 04/01/17 2,345 2,289
Vodafone Group PLC
6.150%, 02/27/37 1,214 1,171
--------------
62,500
--------------
UTILITIES -- 1.3%
Allegheny Energy Supply (C) (J)
8.250%, 04/15/12 1,755 1,909
Amerada Hess
7.875%, 10/01/29 650 743
Arizona Public Services
8.000%, 12/30/15 780 855
Cogentrix Energy (C)
8.750%, 10/15/08 6,200 6,477
Commonwealth Edison
4.700%, 04/15/15 1,362 1,249
Commonwealth Edison, Ser 104
5.950%, 08/15/16 1,600 1,584
Commonwealth Edison, Ser 98
6.150%, 03/15/12 3,168 3,199
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
DPL
6.875%, 09/01/11 $ 5,385 $ 5,630
Dominion Resources
5.700%, 09/17/12 3,560 3,587
4.750%, 12/15/10 740 722
4.125%, 02/15/08 250 248
Dominion Resources, Ser D
5.125%, 12/15/09 850 843
Duke Energy
6.250%, 01/15/12 460 474
5.625%, 11/30/12 525 529
Empresa Nacional Electric
8.625%, 08/01/15 340 395
Exelon
5.625%, 06/15/35 4,860 4,457
FPL Energy American Wind (C)
6.639%, 06/20/23 4,783 4,972
FirstEnergy, Ser B
6.450%, 11/15/11 3,110 3,214
FirstEnergy, Ser C
7.375%, 11/15/31 7,425 8,308
Hydro-Quebec, Ser JL
6.300%, 05/11/11 1,050 1,088
Midamerican Energy Holdings
6.125%, 04/01/36 1,765 1,744
Nevada Power, Ser A
8.250%, 06/01/11 4,055 4,397
NiSource Finance
6.150%, 03/01/13 1,304 1,318
Northwestern
5.875%, 11/01/14 1,532 1,499
Pacific Gas & Electric
6.050%, 03/01/34 3,275 3,247
5.800%, 03/01/37 840 803
Power Contract Financing (C)
6.256%, 02/01/10 3,592 3,613
Public Service Colorado
7.875%, 10/01/12 2,670 2,958
Swepco Capital Trust I (F)
5.250%, 10/01/43 4,465 4,423
TXU Energy
7.000%, 03/15/13 460 474
TXU, Ser P (J)
5.550%, 11/15/14 370 328
TXU, Ser Q
6.500%, 11/15/24 410 352
TXU, Ser R
6.550%, 11/15/34 4,385 3,697
--------------
79,336
--------------
Total Corporate Obligations
(Cost $1,409,908) ($ Thousands) 1,414,520
--------------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 171
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 22.1%
AUTOMOTIVE -- 0.7%
AmeriCredit Automobile Receivables
Trust, Ser 2003-DM, Cl A4
2.840%, 08/06/10 $ 1,932 $ 1,924
AmeriCredit Automobile Receivables
Trust, Ser 2004-1, Cl C
4.220%, 07/06/09 46 45
Americredit Prime Automobile
Receivables, Ser 2007-1, Cl A3
5.120%, 11/08/11 3,692 3,692
Capital Auto Receivables Asset Trust,
Ser 2004-2, Cl A2
3.350%, 02/15/08 22 22
Capital Auto Receivables Asset Trust,
Ser 2006-1, Cl A3
5.030%, 10/15/09 2,473 2,465
Capital Auto Receivables Asset Trust,
Ser 2007-1, Cl A3A
5.000%, 04/15/11 2,046 2,036
Carmax Auto Owner Trust,
Ser 2006-2, Cl A3
5.150%, 02/15/11 4,312 4,299
Carmax Auto Owner Trust,
Ser 2007-2, Cl A3
5.230%, 12/15/11 2,567 2,567
DaimlerChrysler Auto Trust,
Ser 2006-D, Cl A4
4.940%, 02/08/12 2,283 2,259
Ford Credit Auto Owner Trust,
Ser 2005-A, Cl A3
3.480%, 11/15/08 2,968 2,957
Ford Credit Auto Owner Trust,
Ser 2005-B, Cl A3
4.170%, 01/15/09 618 615
Harley-Davidson Motorcycle Trust,
Ser 2007-1, Cl A2
5.290%, 06/15/07 1,814 1,813
Honda Auto Receivables Owner
Trust, Ser 2004-2, Cl A3
3.300%, 06/16/08 637 636
Nissan Auto Receivables Owner
Trust, Ser 2006-B, Cl A3
5.160%, 02/15/10 1,176 1,173
Triad Auto Receivables Owner Trust,
Ser 2003-B, Cl A4
3.200%, 12/13/10 585 576
Triad Auto Receivables Owner Trust,
Ser 2006-B, Cl A4
5.520%, 06/12/07 1,086 1,088
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Triad Auto Receivables Owner Trust,
Ser 2006-C, Cl A3
5.260%, 11/14/11 $ 1,931 $ 1,927
USAA Auto Owner Trust, Ser 2004-3,
Cl A3
3.160%, 02/17/09 294 293
USAA Auto Owner Trust, Ser 2004-3,
Cl A4
3.530%, 06/15/11 1,862 1,834
USAA Auto Owner Trust, Ser 2005-1,
Cl A3
3.900%, 07/15/09 294 293
USAA Auto Owner Trust, Ser 2006-3,
Cl A4
5.360%, 06/15/12 1,832 1,834
WFS Financial Owner Trust,
Ser 2003-3, Cl A4
3.250%, 05/20/11 790 786
WFS Financial Owner Trust,
Ser 2003-4, Cl A4
3.150%, 05/20/11 1,636 1,623
WFS Financial Owner Trust,
Ser 2004-1, Cl A4
2.810%, 08/22/11 653 646
WFS Financial Owner Trust,
Ser 2005-3, Cl A3A
4.250%, 06/17/10 539 536
Wachovia Auto Owner Trust,
Ser 2004-A, Cl A4
3.660%, 07/20/10 4,252 4,233
Wachovia Auto Owner Trust,
Ser 2005-B, Cl A2
4.820%, 02/20/09 663 662
--------------
42,834
--------------
CREDIT CARDS -- 0.3%
Capital One Master Trust, Ser 1998-1,
Cl A
6.310%, 06/15/11 9,047 9,119
Chase Issuance Trust, Ser 2004-A9,
Cl A9
3.220%, 06/15/10 3,314 3,289
Citibank Credit Card Issuance Trust,
Ser 2004-A4, Cl A4
3.200%, 08/24/09 3,886 3,866
Discover Card Master Trust I,
Ser 2003-1, Cl A3 (F)
5.460%, 06/15/07 1,005 1,006
MBNA Credit Card Master Note Trust,
Ser 2003-A7, Cl A7
2.650%, 11/15/10 2,675 2,602
--------------
19,882
--------------
- --------------------------------------------------------------------------------
172 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MORTGAGE RELATED SECURITIES -- 20.6%
ABS Home Equity Loan Trust,
Ser 2001-HE3, Cl A1 (F)
5.860%, 06/15/07 $ 402 $ 402
AFC Home Equity Loan Trust,
Ser 2000-1, Cl 2A (F)
5.560%, 06/25/07 4,012 4,016
Ace Securities, Ser 2006-SI3,
Cl A1 (F)
5.420%, 06/25/07 10,806 10,805
Adjustable Rate Mortgage Trust,
Ser 2005-8, Cl 4A11 (F)
5.442%, 06/01/07 12,892 12,638
American Tower Trust, Ser 2007-1A,
Cl AFX (C)
5.420%, 04/15/37 3,409 3,372
Amortizing Residential Collateral Trust
CMO, Ser 2002-BC1, Cl A (F)
5.660%, 06/25/07 672 672
Asset Securitization, Ser 1996-D2,
Cl A1
6.920%, 02/14/29 21 21
Banc of America Alternative Loan
Trust, Ser 2004-5, Cl 4A1
5.000%, 06/25/19 1,753 1,732
Banc of America Alternative Loan
Trust, Ser 2004-6, Cl 4A1
5.000%, 07/25/19 2,146 2,111
Banc of America Alternative Loan
Trust, Ser 2006-4, Cl 4CB1
6.500%, 05/25/46 298 301
Banc of America Alternative Loan
Trust, Ser 2006-7, Cl A3 (F)
5.913%, 10/25/36 2,029 2,021
Banc of America Alternative Loan
Trust, Ser 2006-8, Cl 3A1 (F)
6.294%, 06/01/07 2,616 2,624
Banc of America Alternative Loan
Trust, Ser 2007-1, Cl 2A1 (F)
6.507%, 06/01/07 605 608
Banc of America Commercial
Mortgage Securities,
Ser 2002-PB2, Cl A4
6.186%, 06/11/35 80 82
Banc of America Commercial
Mortgage Securities,
Ser 2002-PB2, Cl B
6.309%, 06/11/35 1,075 1,109
Banc of America Commercial
Mortgage Securities,
Ser 2003-1, Cl A1
3.878%, 09/11/36 7,558 7,285
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Banc of America Commercial
Mortgage Securities,
Ser 2003-1, Cl A2
4.648%, 06/01/07 $ 2,349 $ 2,249
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 3,263 3,120
Banc of America Commercial
Mortgage Securities,
Ser 2004-2, Cl A5
4.580%, 06/01/07 564 533
Banc of America Commercial
Mortgage Securities,
Ser 2004-4, Cl A4
4.502%, 07/10/42 3,518 3,390
Banc of America Commercial
Mortgage Securities,
Ser 2004-6, Cl A3
4.512%, 12/10/42 5,620 5,406
Banc of America Commercial
Mortgage Securities,
Ser 2005-2, Cl A3
4.611%, 07/10/43 172 169
Banc of America Commercial
Mortgage Securities,
Ser 2005-3, Cl A4
4.668%, 07/10/43 12,400 11,659
Banc of America Commercial
Mortgage Securities,
Ser 2005-5, Cl A4 (F)
5.115%, 10/10/45 1,806 1,745
Banc of America Commercial
Mortgage Securities,
Ser 2006-4, Cl A4
5.634%, 07/10/46 15,000 14,968
Banc of America Commercial
Mortgage Securities,
Ser 2006-5, Cl XC, IO (C) (F)
0.049%, 06/01/07 78,513 1,219
Banc of America Commercial
Mortgage, Ser 2005-4, Cl A5A
4.933%, 06/01/07 578 552
Banc of America Commercial
Mortgage, Ser 2007-6, Cl A4 (F)
5.182%, 06/01/07 4,280 4,179
Banc of America Funding,
Ser 2005-B, Cl 2A1 (F)
5.112%, 06/01/07 6,193 6,131
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 173
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Banc of America Funding,
Ser 2006-D, Cl 5A1 (F)
5.864%, 06/01/07 $ 1,547 $ 1,534
Banc of America Mortgage Securities,
Ser 2003-1, Cl 2A4
5.000%, 02/25/18 4,306 4,172
Banc of America Mortgage Securities,
Ser 2004-F, Cl 2A6 (F)
4.148%, 06/01/07 1,697 1,655
Bear Stearns Asset-Backed
Securities, Ser 2006-AC1,
Cl 1A1 (G)
5.750%, 06/01/07 3,321 3,285
Bear Stearns Commercial Mortgage
Securities
5.660%, 09/11/41 1,189 1,172
Bear Stearns Commercial Mortgage
Securities, Ser 2004-ESA, Cl C(C)
4.937%, 05/14/16 2,473 2,452
Bear Stearns Commercial Mortgage
Securities, Ser 2004-PWR5, Cl A3
4.565%, 07/11/42 115 111
Bear Stearns Commercial Mortgage
Securities, Ser 2004-PWR6, Cl A6
4.825%, 11/11/41 637 610
Bear Stearns Commercial Mortgage
Securities, Ser 2004-T16, Cl A3
4.030%, 02/13/46 100 97
Bear Stearns Commercial Mortgage
Securities, Ser 2005-T18,
Cl A4 (F)
4.933%, 06/01/07 2,463 2,358
Bear Stearns Commercial Mortgage
Securities, Ser 2006-T22,
Cl A1 (F)
5.415%, 06/01/07 818 818
Bear Stearns Commercial Mortgage
Securities, Ser 2007-PW15, Cl A3
5.309%, 02/11/44 2,636 2,591
CIGNA CBO, Ser 1996-1, Cl A2
(C) (G)
6.460%, 11/15/08 3,313 3,312
California Infrastructure SCE,
Ser 1997-1, Cl A7
6.420%, 12/26/09 2,053 2,059
Capital One Multi-Asset Execution
Trust, Ser 2006-A10, Cl A10
5.150%, 06/16/14 1,427 1,420
Chase Funding Mortgage Loan,
Ser 2002-1, Cl 2A2 (F)
5.820%, 06/25/07 1,639 1,639
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Chase Manhattan Commercial
Mortgage Trust, Ser 99-C2,
Cl A2 (F)
7.546%, 11/17/32 $ 340 $ 351
Chase Mortgage Finance,
Ser 2005-A1, Cl 1A1 (F)
5.415%, 06/01/07 2,706 2,651
Chase Mortgage Finance,
Ser 2005-A1, Cl 2A3 (F)
5.250%, 06/01/07 13,166 12,933
Chaseflex Trust, Ser 2007-1, Cl 1A3
6.500%, 02/25/37 2,035 2,048
Citicorp Residential Mortgage
Securities, Ser 2006-1, Cl A2 (G)
5.682%, 07/25/36 2,150 2,143
Citicorp Residential Mortgage
Securities, Ser 2006-2, Cl A2 (G)
5.557%, 06/01/07 2,268 2,257
Citigroup Commercial Mortgage Trust,
Ser 2004-CA, Cl C (F)
5.356%, 06/01/07 1,520 1,505
Citigroup Mortgage Loan Trust,
Ser 2006-AR3, Cl 1A1A (F)
5.952%, 06/01/07 580 578
Citigroup Mortgage Loan Trust,
Ser 2007-AHL1, Cl A2A (F)
5.360%, 06/25/07 3,206 3,206
Commercial Mortgage Pass-Through
Certificate, Ser 1999-1, Cl E (F)
7.224%, 06/01/07 4,604 4,683
Commercial Mortgage Pass-Through
Certificate, Ser 2000-C1, Cl C
7.706%, 08/15/33 637 675
Commercial Mortgage Pass-Through
Certificate, Ser 2004-LB3A,
Cl B (F)
5.281%, 06/01/07 2,400 2,359
Commercial Mortgage Pass-Through
Certificate, Ser 2005-C6, Cl A3
5.144%, 06/10/07 12,600 12,339
Commercial Mortgage Pass-Through
Certificate, Ser 2006-C7, Cl AM (F)
5.987%, 06/01/07 11,330 11,486
Conseco Finance Home Loan Trust,
Ser 2000-E, Cl M1
8.130%, 08/15/31 4,203 4,252
Conseco Finance Securitization,
Ser 2000-4, Cl A6
8.310%, 05/01/32 950 782
Contimortgage Home Equity Loan
Trust, Ser 1997-2, Cl A9
7.090%, 04/15/28 54 54
- --------------------------------------------------------------------------------
174 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Contimortgage Home Equity Loan
Trust, Ser 1997-5, Cl A6
6.870%, 03/15/24 $ 150 $ 150
Countrywide Alternative Loan Trust,
Ser 2004-27CB, Cl A1
6.000%, 12/25/34 3,348 3,347
Countrywide Alternative Loan Trust,
Ser 2004-J1, Cl 1A1
6.000%, 02/25/34 826 822
Countrywide Alternative Loan Trust,
Ser 2004-J6, Cl 2A1
6.500%, 11/25/31 2,809 2,830
Countrywide Alternative Loan Trust,
Ser 2005-27, Cl 2A1 (F)
6.377%, 06/01/07 5,351 5,291
Countrywide Alternative Loan Trust,
Ser 2005-27, Cl 3A2 (F)
6.127%, 06/01/07 2,125 2,129
Countrywide Alternative Loan Trust,
Ser 2005-56, Cl 4A1 (F)
5.630%, 06/25/07 10,588 10,616
Countrywide Alternative Loan Trust,
Ser 2005-59, Cl 1A1 (F)
5.650%, 06/20/07 12,744 12,789
Countrywide Alternative Loan Trust,
Ser 2005-59, Cl 2X, IO (E)
1.710%, 06/01/07 29,683 995
Countrywide Alternative Loan Trust,
Ser 2005-72, Cl A1 (F)
5.590%, 06/27/07 4,794 4,794
Countrywide Alternative Loan Trust,
Ser 2006-7CB, Cl 1A9
6.000%, 05/25/36 578 582
Countrywide Alternative Loan Trust,
Ser 2006-OA11, Cl A4 (F)
5.510%, 06/25/07 14,044 14,029
Countrywide Alternative Loan Trust,
Ser 2006-OA14, Cl 1A2 (F)
5.907%, 06/01/07 1,352 1,352
Countrywide Alternative Loan Trust,
Ser 2006-OA2, Cl X1P, IO
2.500%, 05/20/46 43,472 1,860
Countrywide Alternative Loan Trust,
Ser 2006-OC6, Cl 2A1 (F)
5.390%, 06/25/07 4,723 4,724
Countrywide Asset-Backed
Certificates, Ser 2001-BC3,
Cl A (F)
5.800%, 06/25/07 93 93
Countrywide Asset-Backed
Certificates, Ser 2003-BC2,
Cl 2A1 (F)
5.920%, 06/25/07 115 115
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Asset-Backed
Certificates, Ser 2005-11,
Cl AF1 (F)
5.500%, 06/25/07 $ 2,829 $ 2,829
Countrywide Asset-Backed
Certificates, Ser 2006-15,
Cl A2 (F)
5.683%, 10/25/46 1,529 1,524
Countrywide Asset-Backed
Certificates, Ser 2006-15,
Cl A3 (F)
5.689%, 10/25/46 208 207
Countrywide Asset-Backed
Certificates, Ser 2006-S1, Cl A2
5.549%, 08/25/21 4,132 4,113
Countrywide Asset-Backed
Certificates, Ser 2007-3,
Cl 2A1 (F)
5.420%, 06/25/07 1,435 1,435
Countrywide Home Equity Loan Trust,
Ser 2004-K, Cl A2 (F)
5.620%, 06/15/07 1,706 1,708
Countrywide Home Equity Loan Trust,
Ser 2005-F, Cl 2A (F)
5.560%, 06/15/07 7,719 7,725
Countrywide Home Equity Loan Trust,
Ser 2005-H, Cl 2A (F)
5.560%, 06/15/07 6,514 6,519
Countrywide Home Loans,
Ser 2005-20, Cl A7
5.250%, 06/01/07 882 857
Countrywide Home Loans,
Ser 2005-R3, Cl AF (C) (F)
5.720%, 06/25/07 11,644 11,715
Credit Suisse First Boston Mortgage
Securities, Ser 2005-C2, Cl A4
4.832%, 04/15/37 1,169 1,111
Credit Suisse First Boston Mortgage
Securities, Ser 1998-C2, Cl A2
6.300%, 11/15/30 3,377 3,404
Credit Suisse First Boston Mortgage
Securities, Ser 2001-MH29,
Cl A (G)
5.600%, 09/25/31 963 948
Credit Suisse First Boston Mortgage
Securities, Ser 2002-CKS4, Cl A2
5.183%, 11/15/36 19,927 19,587
Credit Suisse First Boston Mortgage
Securities, Ser 2003-C4, Cl A4 (F)
5.137%, 08/15/36 1,905 1,864
Credit Suisse First Boston Mortgage
Securities, Ser 2003-CK2, Cl A4
4.801%, 03/15/36 119 115
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 175
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Credit Suisse First Boston Mortgage
Securities, Ser 2004-C2, Cl A1
3.819%, 05/15/36 $ 11,056 $ 10,544
Credit Suisse First Boston Mortgage
Securities, Ser 2004-C5, Cl A4
4.829%, 06/15/07 3,302 3,153
Credit Suisse First Boston Mortgage
Securities, Ser 2005-C1, Cl AAB
4.815%, 06/01/07 1,154 1,120
Credit Suisse First Boston Mortgage
Securities, Ser 8, Cl 1A2
5.250%, 06/01/07 5,167 5,009
Criimi Mae Commercial Mortgage,
Ser 1998-C1, Cl A2 (C)
7.000%, 06/02/33 1,457 1,445
DLJ Commercial Mortgage,
Ser 1999-CG2, Cl A1B
7.300%, 06/10/32 3,524 3,625
DSLA Mortgage Loan Trust,
Ser 2004-AR2, Cl A2B (F)
5.720%, 06/19/07 5,447 5,476
Delta Funding Home Equity Loan,
Ser 1999-3, Cl A1A (F)
6.140%, 06/15/07 402 402
Deutsche Mortgage and Asset
Receivables, Ser 1998-C1, Cl A2
6.538%, 06/15/31 3,111 3,114
Duke Funding, Ser 2004-6B,
Cl A1S1 (C) (F) (K)
5.420%, 07/09/07 12,045 12,045
EMC Mortgage Loan Trust,
Ser 2002-AA, Cl A1 (C) (F)
5.790%, 06/25/07 1,363 1,369
Equivantage Home Equity Loan Trust,
Ser 1997-2, Cl A3 (G)
7.775%, 06/01/07 385 384
First Horizon Trust, Ser 2004-HE2,
Cl A (F)
5.540%, 06/25/07 2,091 2,092
First Horizon Trust, Ser 2006-HE2,
Cl A (F)
5.450%, 06/25/07 880 879
First Union National Bank,
Ser 2001-C4, Cl B
6.417%, 12/12/33 926 957
Fleet Home Equity Trust, Ser 2001-1,
Cl A (F)
5.530%, 06/01/07 157 157
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
GE Capital Commercial Mortgage,
Ser 2001-3, Cl A1
5.560%, 06/10/38 $ 113 $ 113
GE Capital Commercial Mortgage,
Ser 2001-A, Cl A3
6.030%, 08/11/33 1,531 1,543
GE Capital Commercial Mortgage,
Ser 2002-3A, Cl A2
4.996%, 12/10/37 12,500 12,228
GE Capital Commercial Mortgage,
Ser 2003-C1, Cl A3
4.371%, 01/10/38 25 24
GE Capital Commercial Mortgage,
Ser 2004-C3, Cl A4 (F)
5.189%, 06/01/07 2,979 2,911
GE Capital Commercial Mortgage,
Ser 2005-C4, Cl A3A (F)
5.334%, 06/01/07 14,000 13,904
GMAC Commercial Mortgage
Securities, Ser 2000-C2, Cl A2
7.455%, 08/16/33 3,284 3,435
GMAC Commercial Mortgage
Securities, Ser 2004-C1, Cl A1
3.118%, 03/10/38 572 560
GMAC Commercial Mortgage
Securities, Ser 2004-C2, Cl A1
3.896%, 08/10/38 248 244
GMAC Mortgage Loan Trust,
Ser 2004-HE4, Cl A1 (F)
5.600%, 06/25/07 2,994 2,995
GMAC Mortgage Loan Trust,
Ser 2004-J4, Cl A1
5.500%, 06/01/07 1,048 1,038
GMAC Mortgage Loan Trust,
Ser 2005-HE3, Cl A1VN (F)
5.580%, 06/25/07 21,469 21,489
GS Mortgage Securities,
Ser 1998-GLII, Cl A2
6.562%, 04/13/31 6,639 6,670
GS Mortgage Securities,
Ser 2004-GG2, Cl A6 (F)
5.396%, 08/10/38 1,043 1,031
GS Mortgage Securities,
Ser 2005-GG4, Cl AABA
4.680%, 07/10/39 5,800 5,571
GS Mortgage Securities,
Ser 2006-C1, Cl B
6.970%, 10/18/30 878 890
- --------------------------------------------------------------------------------
176 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
GSAMP Trust, Ser 2003-SEA,
Cl A1 (F)
5.720%, 06/25/07 $ 2,911 $ 2,923
GSMPS Mortgage Loan Trust,
Ser 1998-1, Cl A (C)
8.000%, 09/19/27 8 8
GSMPS Mortgage Loan Trust,
Ser 2006-RP2, Cl 1AF1 (C) (F)
5.720%, 06/25/07 3,118 3,113
Great America Leasing Receivables,
Ser 2006-1, Cl A3 (C)
5.340%, 01/15/10 2,517 2,512
Green Tree Financial, Ser 1996-5,
Cl A6
7.750%, 07/15/27 952 987
Greenpoint Mortgage Funding Trust,
Ser 2007-AR1, Cl 1A1A (F)
5.400%, 06/25/07 22,522 22,526
Greenwich Capital Commercial
Funding, Ser 2005-GG5, Cl A2
5.117%, 04/10/37 1,517 1,503
Greenwich Capital Commercial
Funding, Ser 2007-GC9,
Cl X, IO (C) (F)
0.512%, 06/01/07 22,813 547
Harborview Mortgage Loan Trust,
Ser 2005-01, Cl X, IO (E)
1.435%, 06/01/07 19,653 405
Harborview Mortgage Loan Trust,
Ser 2005-10, Cl X, IO (F)
1.404%, 06/01/07 29,728 794
Harborview Mortgage Loan Trust,
Ser 2005-12, Cl X2B, IO (F)
1.209%, 06/01/07 28,186 665
Heller Financial Commercial
Mortgage, Ser 1999-PH1, Cl C (F)
7.040%, 06/15/07 239 244
IMPAC CMB Trust, Ser 2003-12,
Cl A1 (F)
6.080%, 06/25/07 1,092 1,093
Indymac Index Mortgage Loan Trust,
Ser 2004-AR12, Cl AX2, IO (E)
1.589%, 06/01/07 14,310 304
JPMorgan Chase Commercial
Mortgage, Ser 2002-C2, Cl A2
5.050%, 12/12/34 5,996 5,860
JPMorgan Chase Commercial
Mortgage, Ser 2002-CIB5, Cl A2
5.161%, 10/12/37 1,137 1,117
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
JPMorgan Chase Commercial
Mortgage, Ser 2003-CB7,
Cl A4 (F)
4.879%, 06/12/07 $ 1,672 $ 1,612
JPMorgan Chase Commercial
Mortgage, Ser 2004-C3, Cl A1
4.200%, 07/12/35 75 73
JPMorgan Chase Commercial
Mortgage, Ser 2004-C3, Cl A2
4.223%, 01/15/42 12,948 12,575
JPMorgan Chase Commercial
Mortgage, Ser 2004-C3, Cl A4
4.657%, 01/15/42 4,000 3,843
JPMorgan Chase Commercial
Mortgage, Ser 2005-CB11,
Cl ASB (F)
5.201%, 08/12/37 1,711 1,683
JPMorgan Chase Commercial
Mortgage, Ser 2005-CB12, Cl A4
4.895%, 09/12/37 530 505
JPMorgan Chase Commercial
Mortgage, Ser 2005-CB13,
Cl AM (F)
5.335%, 06/01/07 1,143 1,123
JPMorgan Chase Commercial
Mortgage, Ser 2005-LDP3,
Cl ASB (F)
4.893%, 08/15/42 2,276 2,206
JPMorgan Chase Commercial
Mortgage, Ser 2005-LDP4,
Cl A4 (F)
4.918%, 06/01/07 6,200 5,911
JPMorgan Chase Commercial
Mortgage, Ser 2006-CB16, Cl AM
5.593%, 05/12/45 11,570 11,457
JPMorgan Chase Commercial
Mortgage, Ser 2006-LDP7,
Cl A1 (F)
5.834%, 06/01/07 70 71
JPMorgan Chase Commercial
Mortgage, Ser 2006-LDP7,
Cl A2 (F)
5.862%, 06/01/07 315 320
JPMorgan Mortgage Acquisition,
Ser 2007-CH1, Cl AF6 (G)
5.501%, 06/01/07 9,605 9,386
JPMorgan Mortgage Trust,
Ser 2004-A5, Cl 4A2 (F)
4.850%, 12/25/34 6,572 6,460
JPMorgan Mortgage Trust,
Ser 2004-A5, Cl 4A4 (F)
4.849%, 06/01/07 11,500 11,209
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 177
SCHEDULE OF INVESTMENTS
CORE FIXED INCOME FUND (CONTINUED)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
JPMorgan Mortgage Trust,
Ser 2005-A3, Cl 11A2 (F)
4.511%, 06/25/07 $ 13,065 $ 12,249
JPMorgan Mortgage Trust,
Ser 2005-A8, Cl 1A1 (F)
5.410%, 06/01/07 6,424 6,327
JPMorgan Mortgage Trust,
Ser 2006-A2, Cl 2A2 (F)
5.773%, 06/01/07 13,400 13,344
JPMorgan Mortgage Trust,
Ser 2006-A3, Cl 3A4 (F)
5.768%, 06/01/07 14,500 14,446
LB Commercial Conduit Mortgage
Trust, Ser 1999-C2, Cl B
7.425%, 10/15/32 371 386
LB-UBS Commercial Mortgage Trust,
Ser 2002-C2, Cl A4
5.594%, 06/15/31 20,824 20,887
LB-UBS Commercial Mortgage Trust,
Ser 2003-C8, Cl A4 (F)
5.124%, 11/15/32 16,549 16,170
LB-UBS Commercial Mortgage Trust,
Ser 2004-C4, Cl A2 (F)
4.567%, 06/11/07 510 503
LB-UBS Commercial Mortgage Trust,
Ser 2004-C8, Cl A4
4.510%, 06/11/07 360 346
LB-UBS Commercial Mortgage Trust,
Ser 2005-C1, Cl C (F)
4.836%, 06/11/07 334 314
LB-UBS Commercial Mortgage Trust,
Ser 2005-C2, Cl A4
4.998%, 04/15/30 123 120
LB-UBS Commercial Mortgage Trust,
Ser 2005-C2, Cl A5 (F)
5.150%, 04/15/30 7,909 7,681
LB-UBS Commercial Mortgage Trust,
Ser 2005-C5, Cl A2
4.885%, 09/15/30 180 178
LB-UBS Commercial Mortgage Trust,
Ser 2005-C7, Cl A2
5.103%, 11/15/30 995 985
LB-UBS Commercial Mortgage Trust,
Ser 2005-C7, Cl AM (F)
5.263%, 06/11/07 1,312 1,278
LB-UBS Commercial Mortgage Trust,
Ser 2006-C7, Cl A2
5.300%, 11/15/38 2,425 2,404
LB-UBS Commercial Mortgage Trust,
Ser 2006-C7, Cl E (F)
5.516%, 06/11/07 494 477
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
LB-UBS Commercial Mortgage Trust,
Ser 2007-C1. Cl AAB
5.403%, 02/15/40 $ 1,357 $ 1,341
LB-UBS Commercial Mortgage Trust,
Ser 2007-C2, Cl A2
5.303%, 02/15/40 2,500 2,476
LB-UBS Commercial Mortgage Trust,
Ser 2007-C3, Cl A2
6.365%, 12/15/28 1,931 1,989
Lehman XS Trust, Ser 2005-5N,
Cl 1A1 (F)
5.620%, 06/01/07 8,110 8,124
Lehman XS Trust, Ser 2005-7N,
Cl 1A1B (F)
5.620%, 06/25/07 5,709 5,733
Lone Star CBO Funding, Ser 1X, Cl A
5.834%, 06/15/07 8,721 8,725
Long Beach Mortgage Loan Trust,
Ser 2006-4, Cl 2A1 (F)
5.400%, 06/25/07 7,191 7,191
MLCC Mortgage Investors,
Ser 2004-B, Cl A3 (F)
7.034%, 06/01/07 1,143 1,155
Master Adjustable Rate Mortgage
Trust, Ser 2004-13, Cl 3A7A (F)
3.787%, 06/01/07 11,650 11,322
Master Alternative Loans Trust,
Ser 2004-4, Cl 1A1
5.500%, 05/25/34 3,268 3,227
Master Asset-Backed Securities Trust,
Ser 2005-AB1, Cl A1B (G)
5.143%, 06/01/07 739 734
Master Reperforming Loan Trust,
Ser 2005-1, Cl 1A1 (C)
6.000%, 08/25/34 5,146 5,129
Master Reperforming Loan Trust,
Ser 2006-1, Cl 1A1F (F)
5.680%, 06/25/07 2,287 2,297
Merrill Lynch/Countrywide Commercial
Mortgage Trust, Ser 2007-5,
Cl C (F)
5.509%, 08/12/48 342 330
Merrill Lynch Mortgage Investors,
Ser 2004-A1, Cl 4A (F)
5.347%, 06/01/07 8,449 8,305
Merrill Lynch Mortgage Investors,
Ser 2006-WMC2, Cl A2B (G)
5.609%, 06/01/07 699 696
Merrill Lynch Mortgage Investors,
Ser 2006-WMC2, Cl A2D (G)
5.895%, 06/25/07 5,789 5,745
- --------------------------------------------------------------------------------
178 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Merrill Lynch Mortgage Trust,
Ser 2004-BPC1, Cl A5 (F)
4.855%, 10/12/41 $ 4,751 $ 4,548
Merrill Lynch Mortgage Trust,
Ser 2004-BPC1, Cl XC, IO (F)
0.157%, 06/01/07 22,046 438
Merrill Lynch Mortgage Trust,
Ser 2004-MKB1, Cl A3
4.892%, 02/12/42 151 147
Merrill Lynch Mortgage Trust,
Ser 2004-MKB1, Cl B (F)
5.280%, 02/12/42 916 896
Merrill Lynch Mortgage Trust,
Ser 2005-CIP1, Cl AM (F)
5.107%, 06/01/07 1,116 1,073
Merrill Lynch Mortgage Trust,
Ser 2005-LC1, Cl A4 (F)
5.291%, 06/01/07 4,548 4,441
Merrill Lynch/Countrywide
Commercial Mortgage Trust,
Ser 2006-4, Cl ASB (F)
5.133%, 12/12/49 6,890 6,706
Merrill Lynch/Countrywide
Commercial Mortgage Trust,
Ser 2007-5, Cl B (F)
5.479%, 08/12/48 307 297
Merrill Lynch/Countrywide
Commercial Mortgage Trust,
Ser 2007-5, Cl X, IO (F)
0.736%, 08/12/48 4,040 169
Merrill Lynch/Countrywide
Commercial Mortgage Trust,
Ser 2007-6, Cl A4 (F)
5.485%, 03/12/51 8,200 8,069
Metropolitan Asset Funding,
Ser 1997-B, Cl A1D (C)
7.130%, 03/20/12 101 101
Mid-State Trust, Ser 11, Cl A1
4.864%, 07/15/38 3,351 3,152
Morgan Stanley Capital I,
Ser 2003-IQ5, Cl A4
5.010%, 06/01/07 3,770 3,672
Morgan Stanley Capital I,
Ser 2004-HQ3, Cl D
4.900%, 01/13/41 339 325
Morgan Stanley Capital I,
Ser 2004-T13, Cl B (F)
4.760%, 09/13/45 1,145 1,093
Morgan Stanley Capital I,
Ser 2005-HQ5, Cl A3
5.007%, 01/14/42 110 108
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Morgan Stanley Capital I,
Ser 2005-HQ5, Cl AAB
5.037%, 01/14/42 $ 3,614 $ 3,533
Morgan Stanley Capital I,
Ser 2005-HQ6, Cl A4A
4.989%, 08/13/42 4,630 4,443
Morgan Stanley Capital I,
Ser 2005-HQ7, Cl AAB (F)
5.350%, 06/01/07 5,573 5,490
Morgan Stanley Capital I,
Ser 2006-WMC1, Cl A2A (F)
5.390%, 06/25/07 555 555
Morgan Stanley Capital I,
Ser 2007-HE2, Cl A2A (F)
5.360%, 06/25/07 1,565 1,564
Morgan Stanley Dean Witter Capital,
Ser 2000-LIFE, Cl A2
7.570%, 11/15/36 3,068 3,191
Morgan Stanley Dean Witter Capital,
Ser 2002-IQ2, Cl A3
5.520%, 12/15/35 2,212 2,210
Morgan Stanley Dean Witter Capital,
Ser 2003-HQ2, Cl A1
4.180%, 03/12/35 278 265
Morgan Stanley Home Equity Loans,
Ser 2007-1, Cl A1 (F)
5.370%, 06/25/07 1,533 1,533
Morgan Stanley Mortgage Loan Trust
Ser 2007-3XS, Cl 2A3S (G)
5.858%, 06/01/07 31 31
Morgan Stanley Mortgage Loan Trust,
Ser 2007-6XS, Cl 2A1S (F)
5.430%, 06/25/07 1,398 1,398
Nationslink Funding,
Ser 1999-1, Cl 2
6.316%, 11/20/08 5,821 5,861
New York Mortgage Trust,
Ser 2006-1, Cl 2A2 (F)
5.663%, 06/01/07 788 787
Nomura Asset Securities,
Ser 1998-D6, Cl A1C
6.690%, 03/15/30 166 173
Oakwood Mortgage Investors,
Ser 2002-C, Cl A, IO
6.000%, 08/15/10 6,833 925
Oncor Electric Delivery Transition
Bond, Ser 2003-1, Cl A2
4.030%, 02/15/12 2,791 2,740
Option One Mortgage Loan Trust,
Ser 2001-4, Cl A (F)
5.920%, 06/25/07 433 434
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 179
SCHEDULE OF INVESTMENTS
CORE FIXED INCOME FUND (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Origen Manufactured Housing,
Ser 2002-A, Cl A1 (F)
5.560%, 06/15/07 $ 74 $ 74
Ownit Mortgage Loan Asset-Backed
Securities Trust, Ser 2006-1,
Cl AF1 (G)
5.424%, 12/25/36 942 937
Prime Mortgage Trust, Ser 2006-CL1,
Cl A1 (F)
5.820%, 06/25/07 120 120
Prime Mortgage Trust,
Ser 2006-DR1, Cl 2A1 (C)
5.500%, 05/25/35 3,876 3,820
RAAC, Ser 2005-SP1, Cl 2A2
5.250%, 06/01/07 2,361 2,330
Renaissance Home Equity Loan
Trust, Ser 2005-3, Cl AF2 (G)
4.723%, 06/01/07 584 581
Renaissance Home Equity Loan
Trust, Ser 2006-1, Cl AF3 (G)
5.608%, 06/01/07 998 994
Renaissance Home Equity Loan
Trust, Ser 2007-2. Cl AF3 (G)
0.000%, 07/01/07 1,143 1,137
Residential Accredit Loans,
Ser QO8, Cl 1A1A (F)
5.410%, 06/25/07 19,353 19,359
Residential Asset Mortgage Products,
Ser 2003-RS7, Cl AI6
5.340%, 06/01/07 1,356 1,325
Residential Asset Mortgage Products,
Ser 2004-SL1, Cl A8
6.500%, 11/25/31 2,332 2,355
Residential Asset Mortgage Products,
Ser 2004-SL3, Cl A2
6.500%, 12/25/31 3,965 3,997
Residential Asset Securitization Trust,
Ser 2004-IP2, Cl 2A1 (F)
5.244%, 06/01/07 3,897 3,873
Residential Funding Mortgage
Securities, Ser 2000-HI1,
Cl AI7 (G
8.290%, 02/25/25 2,380 2,370
Residential Funding Mortgage
Securities, Ser 2005-HS1,
Cl AI1 (F)
5.440%, 06/25/07 5,731 5,718
Residential Funding Mortgage
Securities, Ser 2007-HSA3,
Cl AI2 (F)
5.890%, 05/25/37 922 922
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Securitized Asset-Backed
Receivables LLC, Ser 2005-FR4,
Cl A3 (F)
5.520%, 06/25/07 $ 1,574 $ 1,574
Start, Ser 2003-1, Cl X (F)
4.130%, 07/21/07 3,994 3,974
Start, Ser 2003-2, Cl X (F)
4.600%, 07/21/07 1,576 1,575
Structured Adjustable Rate Mortgage
Loan, Ser 2005-19XS, Cl 1A1 (F)
5.640%, 06/26/07 10,465 10,511
TMS SBA Loan Trust, Ser 1999-1,
Cl A (F)
6.050%, 06/15/07 182 181
Terwin Mortgage Trust,
Ser 2005-9HGS, Cl A1 (C) (F)
4.000%, 06/01/07 2,973 2,937
Thornburg Mortgage Securities Trust,
Ser 2005-3, Cl 2A1 (F) (J)
5.560%, 06/25/07 14,357 14,368
Thornburg Mortgage Securities Trust,
Ser 2005-4, Cl A4 (F)
5.520%, 06/25/07 18,614 18,592
Thornburg Mortgage Securities Trust,
Ser 2006-1, Cl A3 (F)
5.490%, 06/01/07 24,414 24,392
UBS Paine Webber Commercia
Mortgage Trust, Ser 2003-C5,
Cl A2
3.478%, 07/15/27 1,990 1,947
UBS Paine Webber Commercial
Mortgage Trust, Ser 2004-C8,
Cl A
4.201%, 12/15/29 886 862
Wachovia Bank Commercial
Mortgage Trust, Ser 2002-C1A,
Cl A4
6.287%, 04/15/34 2,587 2,667
Wachovia Bank Commercial
Mortgage Trust, Ser 2002-C2,
Cl A4
4.980%, 11/15/34 2,061 2,006
Wachovia Bank Commercial
Mortgage Trust, Ser 2003-C6,
Cl A3
4.957%, 08/15/35 4,490 4,407
Wachovia Bank Commercial
Mortgage Trust, Ser 2003-C7,
Cl A2 (C) (F)
5.077%, 06/01/07 3,361 3,272
- --------------------------------------------------------------------------------
180 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Wachovia Bank Commercial
Mortgage Trust, Ser 2003-C8,
Cl A3
4.445%, 11/15/35 $ 949 $ 922
Wachovia Bank Commercial
Mortgage Trust, Ser 2003-C9,
Cl A4
5.012%, 12/15/35 993 962
Wachovia Bank Commercial
Mortgage Trust, Ser 2003-C9,
Cl B
5.109%, 06/01/07 593 577
Wachovia Bank Commercial
Mortgage Trust, Ser 2004-C10,
Cl A4
4.748%, 02/15/41 9,950 9,487
Wachovia Bank Commercial
Mortgage Trust, Ser 2004-C11,
Cl B
5.306%, 06/01/07 2,965 2,911
Wachovia Bank Commercial
Mortgage Trust, Ser 2004-C15,
Cl B
4.892%, 06/01/07 1,579 1,503
Wachovia Bank Commercial
Mortgage Trust, Ser 2005 C-22,
Cl A4 (F)
5.441%, 06/01/07 8,028 7,872
Wachovia Bank Commercial
Mortgage Trust, Ser 2005-C18,
Cl A4
4.935%, 04/15/42 3,563 3,407
Wachovia Bank Commercial
Mortgage Trust, Ser 2005-C19,
Cl A6
4.699%, 05/15/44 1,349 1,268
Wachovia Bank Commercial
Mortgage Trust, Ser 2005-C20,
Cl A4 (F)
5.223%, 06/01/07 280 278
Wachovia Bank Commercial
Mortgage Trust, Ser 2005-C20,
Cl A7 (F)
5.118%, 06/01/07 2,924 2,829
Wachovia Bank Commercial
Mortgage Trust, Ser 2005-C21,
Cl A4 (F)
5.371%, 06/01/07 1,824 1,786
Wachovia Bank Commercial
Mortgage Trust, Ser 2006-C26,
Cl APB
5.997%, 06/15/45 3,853 3,932
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2002-AR18, Cl A (F)
4.124%, 06/01/07 $ 2,417 $ 2,397
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2003-MS1, Cl 1A
5.000%, 02/25/18 1,413 1,366
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2003-MS2, Cl 3A1
5.000%, 03/25/18 5,247 5,085
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2003-S13, Cl 22A1
5.000%, 06/01/07 1,065 1,043
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2005-AR13, Cl A1A1 (F)
5.610%, 06/25/07 6,977 6,991
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2005-AR15, Cl A1A2 (F)
5.600%, 06/25/07 10,071 10,107
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2005-AR16, Cl 1A4A (F)
5.121%, 06/25/07 13,585 13,391
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2005-AR19, Cl A1A2 (F)
5.610%, 06/25/07 10,376 10,405
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2006-1, Cl 3A2
5.750%, 02/25/36 6,327 6,315
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2006-AR1, Cl 1A1B (F)
6.053%, 06/01/07 4,607 4,607
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2006-AR14, Cl 1A4 (F)
5.668%, 06/01/07 768 767
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2006-AR15, Cl 1A (F)
5.823%, 06/01/07 4,530 4,548
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 181
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2006-AR15, Cl 1A1B (F)
5.823%, 06/01/07 $ 2,614 $ 2,608
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2006-AR15, Cl 2A1B (F)
5.896%, 06/01/07 2,888 2,889
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2006-AR16, Cl 2A4 (F)
5.668%, 12/25/36 589 583
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2006-AR17, Cl 1A1B (F)
5.793%, 06/01/07 853 850
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2006-AR17, Cl 2A (F)
5.892%, 06/01/07 969 971
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2006-AR4, Cl DA (F)
5.953%, 06/01/07 4,766 4,769
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2006-AR7, Cl A1B (F)
5.903%, 06/01/07 1,507 1,505
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2007-0A3, Cl 2A (F)
5.733%, 06/01/07 432 432
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2007-HY1, Cl 1A1 (F)
5.732%, 06/01/07 9,627 9,612
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2007-HY1, Cl 4A1 (F)
5.492%, 06/01/07 10,266 10,196
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2007-HY3, Cl 1A1 (F)
5.705%, 06/01/07 11,380 11,357
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2007-OA5, Cl 1A (F)
5.777%, 06/01/07 24,300 24,300
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2007-OA5, Cl 1A1B (F)
5.777%, 06/01/07 24,300 24,270
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2004-0,
Cl A1 (F)
4.894%, 06/01/07 $ 1,264 $ 1,233
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2004-H,
Cl A-1 (F)
4.527%, 06/01/07 6,297 6,110
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2004-S,
Cl A7 (F)
3.540%, 06/01/07 280 271
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2005-14,
Cl 2A1
5.500%, 06/01/07 1,303 1,261
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2005-AR10,
Cl 2A14 (F)
4.110%, 06/01/07 1,500 1,467
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2005-AR10,
Cl 2A17 (F)
3.500%, 06/01/07 2,085 2,034
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2005-AR14,
Cl A1 (F)
5.388%, 06/01/07 1,448 1,415
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2005-AR16,
Cl 7A1 (F)
5.258%, 06/01/07 3,974 3,873
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2006-2,
Cl 3A1
5.750%, 03/25/36 16,977 16,682
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2006-7,
Cl 3A1
6.000%, 06/01/07 821 820
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2006-AR18,
Cl 1A1 (F)
6.000%, 06/01/07 1,849 1,845
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2006-AR19,
Cl A1 (F)
5.690%, 06/01/07 3,911 3,870
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2006-AR6,
Cl 7A1
5.114%, 06/01/07 2,941 2,880
- --------------------------------------------------------------------------------
182 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed
Securities, Ser 2004-l, Cl A5 (F)
4.802%, 07/25/34 $ 881 $ 859
Wells Fargo Mortgage-Backed
Securities, Ser 2004-l, Cl A6 (F)
4.802%, 07/25/34 895 867
Zuni Mortgage Loan Trust,
Ser 2006-0A1, Cl A1 (F)
5.450%, 06/25/07 12,654 12,643
--------------
1,213,753
--------------
OTHER ASSET-BACKED SECURITIES -- 0.5%
CNH Equipment Trust, Ser 2004-A,
Cl A4A (F)
5.430%, 06/15/07 3,468 3,471
California Infrastructure PG&E,
Ser 1, Cl A8
6.480%, 12/26/09 494 495
Caterpillar Financial Asset Trust,
Ser 2006-A, Cl A2
5.590%, 02/25/09 64 64
Connecticut RRB Special Purpose
Trust, Ser 2001-1, Cl A5
6.210%, 12/30/11 1,371 1,401
Credit-Based Asset Servicing,
Ser 2006-CB2, Cl AF2 (G)
5.501%, 12/25/36 1,999 1,990
Diamond Investment Grade CDO,
Ser 1X, Cl A1 (F)
5.779%, 10/11/07 9,933 9,941
Dominos Pizza Master Issuer LLC,
Ser 2007-1, Cl A2 (C)
5.261%, 04/25/37 3,452 3,400
Embarcadero Aircraft, Ser 2000-A,
Cl A1 (C) (F)
5.800%, 06/15/07 4,465 3,896
Equity One Asset-Backed Securities,
Ser 2003-2, Cl M1
5.050%, 09/25/33 1,050 1,034
MSDWCC Heloc Trust, Ser 2005-1,
Cl A (F)
5.510%, 06/25/07 720 720
--------------
26,412
--------------
Total Asset-Backed Securities
(Cost $1,316,044) ($ Thousands) 1,302,881
--------------
U.S. TREASURY OBLIGATIONS -- 20.6%
U.S. Treasury Bills
4.749%, 06/21/07 (A) 743 741
4.625%, 02/15/17 (A) (B) 23,387 22,885
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. Treasury Bonds
8.875%, 02/15/19 (J) $ 7,358 $ 9,851
8.125%, 08/15/19 (J) 10,595 13,563
7.500%, 11/15/16 2,362 2,816
7.125%, 02/15/23 (J) 4,442 5,402
6.625%, 02/15/27 (J) 5,374 6,380
6.250%, 08/15/23 to
05/15/30 (J) 42,184 47,810
6.125%, 11/15/27 (J) 41,371 46,756
5.375%, 02/15/31 (J) 3,765 3,926
4.500%, 03/31/12 to
02/15/36 (J) 157,856 151,612
3.875%, 01/15/09 to 04/15/29 (D) 8,987 9,565
3.625%, 04/15/28 (D) (J) 29,447 34,715
2.375%, 04/15/11 to
01/15/27 (D) (J) 67,636 66,739
2.000%, 01/15/26 (D) 5,064 4,666
U.S. Treasury Notes
6.000%, 08/15/09 (J) 24,250 24,794
5.125%, 05/15/16 (J) 37,151 37,729
5.000%, 07/31/08 110 110
4.875%, 10/31/08 to
02/15/12 (J) 144,087 144,282
4.750%, 02/15/10 to
02/15/37 (J) 81,731 80,623
4.625%, 11/30/08 to
02/29/12 (J) 28,380 28,212
4.500%, 02/15/09 to
05/15/17 (J) 170,783 168,291
4.375%, 11/15/08 to
12/15/10 (J) 32,670 32,259
4.250%, 11/15/14 (J) 27,648 26,564
4.000%, 04/15/10 to
02/15/14 (J) 3,270 3,145
3.875%, 05/15/09 to
09/15/10 (J) 27,240 26,708
3.750%, 05/15/08 (J) 9,730 9,613
3.500%, 11/15/09 to
02/15/10 (J) 46,135 44,624
3.375%, 02/15/08 to
10/15/09 (J) 78,960 77,056
3.375%, 01/15/12 (D) 266 276
2.500%, 07/15/16 (D) (J) 21,479 21,474
2.000%, 07/15/14 (D) (J) 9,475 9,173
1.875%, 07/15/15 (D) (J) 34,270 32,709
0.875%, 04/15/10 (D) 65 62
U.S. Treasury STRIPS
6.294%, 11/15/21 (E) (J) 23,570 11,238
4.839%, 08/15/19 (E) 13,073 7,079
--------------
Total U.S. Treasury Obligations
(Cost $1,221,916) ($ Thousands) 1,213,448
--------------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 183
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 10.7%
FFCB
4.750%, 05/07/10 $ 2,245 $ 2,221
FHLB
5.400%, 01/02/09 4,470 4,466
5.375%, 08/19/11 2,690 2,711
4.375%, 09/17/10 (J) 3,000 2,932
FHLB CMO, Ser 2014-17, Cl 1
5.340%, 03/20/14 15,358 15,357
FHLMC
6.875%, 09/15/10 (J) 6,520 6,859
6.625%, 09/15/09 (J) 4,870 5,022
6.000%, 06/15/11 6,320 6,509
5.750%, 06/27/16 2,853 2,907
5.625%, 11/23/35 (J) 5,250 5,023
5.000%, 01/16/09 (J) 5,703 5,678
5.000%, 04/18/17 3,381 3,312
4.750%, 03/05/12 6,600 6,478
FHLMC CMO, Ser 1, Cl Z
9.300%, 04/15/19 38 40
FHLMC CMO, Ser 1081, Cl K
7.000%, 05/15/21 691 715
FHLMC CMO, Ser 1101, Cl M
6.950%, 07/15/21 353 352
FHLMC CMO, Ser 1611, Cl Z
6.500%, 11/15/23 9,965 10,265
FHLMC CMO, Ser 1663, Cl ZB
6.750%, 06/01/07 1,549 1,587
FHLMC CMO, Ser 1983, Cl Z
6.500%, 12/15/23 1,399 1,445
FHLMC CMO, Ser 2043, Cl CJ
6.500%, 04/15/28 3,022 3,070
FHLMC CMO, Ser 2389, Cl CD
6.000%, 03/15/16 2,766 2,774
FHLMC CMO, Ser 2542, Cl ES
5.000%, 12/15/17 3,680 3,576
FHLMC CMO, Ser 2544, Cl IW, IO
5.500%, 03/15/26 1,627 54
FHLMC CMO, Ser 2579, Cl PI, IO
5.500%, 03/15/27 400 5
FHLMC CMO, Ser 2583, Cl TD
4.500%, 12/15/13 3,443 3,339
FHLMC CMO, Ser 2614, Cl TD
3.500%, 05/15/16 6,239 5,986
FHLMC CMO, Ser 2623, Cl AJ
4.500%, 06/01/07 2,531 2,445
FHLMC CMO, Ser 2631, Cl MT
3.500%, 01/15/22 2,994 2,970
FHLMC CMO, Ser 2645, Cl MK
3.500%, 07/15/22 3,746 3,706
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FHLMC CMO, Ser 2647, Cl PJ
3.250%, 06/15/26 $ 10,757 $ 10,418
FHLMC CMO, Ser 2733, Cl ME
5.000%, 01/15/34 6,302 5,837
FHLMC CMO, Ser 2735, Cl OG
5.000%, 08/15/32 1,507 1,443
FHLMC CMO, Ser 2735, Cl PG
5.500%, 09/15/32 520 508
FHLMC CMO, Ser 2778, Cl JD
5.000%, 12/15/32 2,186 2,090
FHLMC CMO, Ser 2780, Cl TB
3.000%, 12/15/24 2,609 2,544
FHLMC CMO, Ser 2793, Cl GE
5.500%, 11/15/32 434 423
FHLMC CMO, Ser 2809,
Cl HX, IO
6.000%, 10/15/24 1,771 63
FHLMC CMO, Ser 2841, Cl BD
4.000%, 06/01/07 165 159
FHLMC CMO, Ser 2883, Cl HK
5.000%, 04/15/32 1,126 1,088
FHLMC CMO, Ser 2890, Cl AP
3.750%, 12/15/11 3,304 3,225
FHLMC CMO, Ser 2899, Cl QY
4.000%, 10/15/25 2,184 2,139
FHLMC CMO, Ser 2945, Cl SA
2.718%, 06/15/07 6,606 6,093
FHLMC CMO, Ser 2950, Cl OP
5.500%, 10/15/33 4,283 4,227
FHLMC CMO, Ser 2960, Cl NC
5.500%, 10/15/32 489 483
FHLMC CMO, Ser 2964, Cl ND
5.500%, 04/15/33 3,032 2,964
FHLMC CMO, Ser 2975, Cl EA
5.000%, 06/01/07 2,220 2,196
FHLMC CMO, Ser 3000, Cl PA
3.900%, 01/15/23 3,669 3,552
FHLMC CMO, Ser 3017, Cl TA
4.500%, 08/15/35 3,837 3,664
FHLMC CMO, Ser 3019, Cl VM
5.000%, 08/15/16 2,103 2,057
FHLMC CMO, Ser 3020, Cl MA
5.500%, 04/15/27 5,177 5,172
FHLMC CMO, Ser 3035, Cl DM
5.500%, 11/15/25 3,012 3,010
FHLMC CMO, Ser 3086, Cl PA
5.500%, 05/15/26 6,249 6,246
FHLMC CMO, Ser 3115, Cl MB
5.500%, 12/15/20 814 800
FHLMC CMO, Ser 3135, Cl JA
6.000%, 09/15/27 5,777 5,813
FHLMC CMO, Ser 3151, Cl LA
6.000%, 11/15/27 5,886 5,919
- --------------------------------------------------------------------------------
184 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FHLMC CMO, Ser 3151, Cl PA
6.000%, 06/01/07 $ 7,453 $ 7,497
FHLMC CMO, Ser 3164, Cl NA
6.000%, 06/01/07 16,551 16,660
FHLMC CMO, Ser 3164, Cl NC
6.000%, 12/15/32 537 541
FHLMC CMO, Ser 3171, Cl NE
6.000%, 06/01/07 2,737 2,755
FHLMC CMO, Ser 3172, Cl PA
6.000%, 06/01/07 7,240 7,285
FHLMC CMO, Ser 3176, Cl HA
6.000%, 02/15/28 6,021 6,064
FHLMC CMO, Ser 3178, Cl MA
6.000%, 10/15/26 16,802 16,916
FHLMC CMO, Ser 3179, Cl PD
5.750%, 06/01/07 9,350 9,365
FHLMC CMO, Ser 3184, Cl LA
6.000%, 03/15/28 7,700 7,751
FHLMC CMO, Ser 3192, Cl GA
6.000%, 03/15/27 4,305 4,332
FHLMC CMO, Ser 3205, Cl PC
6.000%, 09/15/32 4,464 4,493
FHLMC CMO, Ser 3215, Cl QA
6.000%, 06/15/27 5,441 5,477
FHLMC CMO, Ser 3216, Cl NA
6.000%, 05/15/28 3,605 3,632
FHLMC CMO, Ser 3228, Cl PC
5.500%, 07/15/30 2,677 2,660
FHLMC CMO, Ser 3228, Cl PH
5.500%, 04/15/27 8,316 8,302
FHLMC CMO, Ser 3268, Cl HC
5.000%, 12/15/32 1,902 1,819
FHLMC CMO, Ser 3279, Cl PH
6.000%, 02/15/27 3,649 3,685
FHLMC CMO, Ser 3288, Cl PA
5.500%, 05/15/29 6,606 6,595
FHLMC CMO, Ser 3291, Cl BY
4.500%, 03/15/22 4,082 3,712
FHLMC CMO, Ser 3298, Cl VB
5.000%, 11/15/25 2,051 2,004
FHLMC CMO, Ser 3300, Cl PB
5.500%, 02/15/31 2,086 2,071
FHLMC CMO, Ser 3303, Cl PB
5.500%, 08/15/30 4,510 4,479
FHLMC CMO, Ser 3305, Cl PD
5.500%, 11/15/35 1,788 1,740
FHLMC CMO, Ser 3312, Cl AP
5.000%, 11/15/25 2,020 2,017
FHLMC CMO, Ser 3316, Cl EA
5.500%, 10/15/29 12,755 12,734
FHLMC CMO, Ser 3316, Cl HA
5.000%, 07/15/35 6,812 6,606
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FHLMC CMO, Ser 3316, Cl PB
5.500%, 03/15/31 $ 993 $ 985
FHLMC MTN
5.250%, 03/15/12 3,092 3,066
FHLMC, Ser 2588, Cl LG
5.500%, 03/15/32
FHLMC, Ser 2825, Cl QN
5.500%, 09/15/32 3,949 3,871
FHLMC, Ser 2835, Cl NG
5.500%, 07/15/33 1,240 1,219
FICO Strip Principal
0.000%, 09/26/19 6,474 3,363
FNMA
7.250%, 01/15/10 (J) 10,744 11,289
7.125%, 06/15/10 (J) 7,100 7,488
6.625%, 09/15/09 70 72
6.625%, 11/15/30 (J) 1,198 1,383
6.000%, 05/15/11 (J) 9,790 10,074
5.550%, 03/29/10 2,337 2,335
5.400%, 03/26/12 5,857 5,835
5.250%, 08/01/12 (J) 5,689 5,669
5.197%, 06/25/07 (E) 5,220 5,202
5.192%, 06/27/07 (E) 300 299
4.875%, 05/18/12 1,414 1,395
FNMA CMO, Ser 1999-11, Cl Z
5.500%, 03/25/29 4,427 4,378
FNMA CMO, Ser 2001-60, Cl JZ
6.000%, 03/25/31 207 207
FNMA CMO, Ser 2002-94,
Cl BJ, IO
5.500%, 04/25/16 434 22
FNMA CMO, Ser 2002-T11, Cl A
4.768%, 04/25/12 338 334
FNMA CMO, Ser 2003-113, Cl PN
3.500%, 02/25/13 1,025 1,010
FNMA CMO, Ser 2003-15, Cl CH
4.000%, 06/01/07 1,673 1,620
FNMA CMO, Ser 2003-16, Cl PN
4.500%, 06/01/07 2,196 2,156
FNMA CMO, Ser 2003-30, Cl ET
3.500%, 08/25/16 3,423 3,300
FNMA CMO, Ser 2003-33, Cl CH
4.000%, 06/01/07 4,236 4,083
FNMA CMO, Ser 2003-86, Cl OX
4.500%, 09/25/26 9,158 8,959
FNMA CMO, Ser 2003-92, Cl PC
4.500%, 05/25/15 3,810 3,729
FNMA CMO, Ser 2003-T1, Cl A
3.807%, 11/25/12 1,049 1,006
FNMA CMO, Ser 2004-19, Cl AY
4.000%, 04/25/19 4,384 3,908
FNMA CMO, Ser 2004-34, Cl PL
3.500%, 05/25/14 3,615 3,548
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 185
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FNMA CMO, Ser 2004-88, Cl HA
6.500%, 07/25/34 $ 2,232 $ 2,270
FNMA CMO, Ser 2005-29, Cl AD
4.500%, 08/25/34 3,951 3,861
FNMA CMO, Ser 2005-30, Cl B
5.000%, 07/25/32 1,886 1,776
FNMA CMO, Ser 2005-38, Cl CD
5.000%, 06/25/19 2,633 2,593
FNMA CMO, Ser 2005-57, Cl EG (F)
5.620%, 06/25/07 3,600 3,602
FNMA CMO, Ser 2005-69, Cl JM
4.500%, 08/25/25 4,336 3,947
FNMA CMO, Ser 2005-92, Cl NM
3.500%, 04/25/13 1,169 1,152
FNMA CMO, Ser 2005-C2, Cl A2
4.821%, 04/15/30 233 230
FNMA CMO, Ser 2006-112, CL QA
5.500%, 06/01/07 9,451 9,420
FNMA CMO, Ser 2006-114, Cl CG
5.500%, 12/25/36 3,099 3,028
FNMA CMO, Ser 2006-18, Cl PA
5.500%, 01/25/26 3,154 3,145
FNMA CMO, Ser 2006-29, Cl PA
5.500%, 08/25/26 8,730 8,711
FNMA CMO, Ser 2006-31, Cl PA
5.500%, 11/25/26 3,733 3,725
FNMA CMO, Ser 2006-34, Cl PA
6.000%, 05/25/27 7,736 7,765
FNMA CMO, Ser 2006-41, Cl MA
5.500%, 04/25/24 3,315 3,309
FNMA CMO, Ser 2006-53, Cl PA
5.500%, 12/25/26 1,079 1,076
FNMA CMO, Ser 2006-55, Cl PA
6.000%, 05/25/26 5,146 5,167
FNMA CMO, Ser 2006-64, Cl PA
5.500%, 06/01/07 2,503 2,496
FNMA CMO, Ser 2006-80, Cl PB
6.000%, 06/01/07 6,919 6,957
FNMA CMO, Ser 2007-30, Cl MA
4.250%, 02/25/37 7,845 7,534
FNMA CMO, Ser 2007-5, Cl PB
6.000%, 07/25/33 4,768 4,794
FNMA CMO, Ser 2007-6, Cl PA
5.500%, 02/25/37 2,250 2,209
FNMA CMO, Ser 2007-7, Cl W
5.500%, 01/25/36 2,228 2,171
FNMA CMO, Ser 2007-B1, Cl VA
5.500%, 04/25/17 4,483 4,467
FNMA CMO, Ser 2632, Cl NE
4.000%, 06/15/13 10,122 9,737
- --------------------------------------------------------------------------------
Face Amount
($ Thousands) Market Value
Description /Contracts ($ Thousands)
- --------------------------------------------------------------------------------
FNMA CMO, Ser 3173, Cl PH
6.000%, 09/15/27 $ 4,898 $ 4,932
FNMA CMO, Ser 3217, Cl PY
6.000%, 07/15/29 10,086 10,157
FNMA CMO, Ser 3279, Cl PA
5.500%, 02/15/23 9,897 9,889
FNMA CMO, Ser 34, Cl QJ
4.500%, 01/25/16 5,128 5,034
FNMA CMO, Ser 45, Cl BA
4.500%, 11/25/14 166 165
FNMA CMO, Ser G93-20, Cl ZQ
7.000%, 06/01/07 1,560 1,612
FNMA CMO, Ser G93-39, Cl ZQ
6.500%, 06/01/07 1,682 1,725
FNMA CMO, Ser G93-41, Cl Z
7.000%, 06/01/07 2,180 2,256
GNMA CMO, Ser 2001-18, Cl WH (F)
7.840%, 06/20/07 263 273
GNMA CMO, Ser 2002-51, Cl SG (F)
9.446%, 06/20/07 238 259
GNMA CMO, Ser 2003-58,
Cl LG, IO
5.500%, 05/17/29 3,000 199
GNMA CMO, Ser 2003-82, Cl IO, IO
5.500%, 03/20/29 3,440 190
GNMA CMO, Ser 2003-86, Cl ZK
5.000%, 10/20/33 10,403 9,039
GNMA CMO, Ser 2004-80,
Cl IP, IO
5.500%, 07/20/34 6,475 521
GNMA CMO, Ser 2004-87,
Cl LI, IO
5.000%, 12/20/28 6,082 403
GNMA CMO, Ser 2004-88, Cl MA
3.650%, 01/20/28 6,050 5,919
GNMA CMO, Ser 2006-17, Cl KY
5.000%, 04/20/36 8,481 8,325
GNMA CMO, Ser 2006-3, Cl A
4.212%, 01/16/28 948 924
GNMA CMO, Ser 2006-33, Cl NA
5.000%, 01/20/36 3,691 3,472
GNMA CMO, Ser 2006-37, Cl JG
5.000%, 07/20/36 1,723 1,621
GNMA CMO, Ser 2007-7, Cl PG
5.000%, 02/16/37 12,822 11,982
GNMA CMO, Ser 8, Cl A
3.942%, 08/16/25 1,328 1,295
--------------
Total U.S. Government Agency Obligations
(Cost $636,187) ($ Thousands) 632,268
--------------
- --------------------------------------------------------------------------------
186 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Contracts ($ Thousands)
- --------------------------------------------------------------------------------
FOREIGN BONDS -- 0.2%
Canadian Government
4.000%, 12/01/31 $ 1,180 $ 1,531
Deutsche Bundesrepublik
3.750%, 01/04/15 6,750 8,699
--------------
Total Foreign Bonds
(Cost $9,933) ($ Thousands) 10,230
--------------
PREFERRED STOCK -- 0.1%
Aegon, 6.235% (F) 27,000 679
Aegon, 6.375% 79,895 1,998
Deutsche Bank Contingent Capital
Trust II, 6.550% 38,000 962
Merrill Lynch, 5.860% 63,100 1,593
Metlife, 6.500% 86,821 2,251
--------------
Total Preferred Stock
(Cost $7,365) ($ Thousands) 7,483
--------------
PURCHASED SWAPTIONS -- 0.1%
U.S. Swaption Call, Barclays 13,735,000 452
U.S. Swaption Call, Barclays 105,907,000 575
U.S. Swaption Call, Bear Stearns 68,900,000 1,574
U.S. Swaption Call, Merrill Lynch 11,686,000 432
U.S. Swaption Call, Merrill Lynch 88,575,000 543
U.S. Swaption Put, Barclays 11,026,000 317
U.S. Swaption Put, Barclays 85,920,000 394
U.S. Swaption Put, Bear Stearns 68,900,000 1,574
--------------
Total Purchased Swaptions
(Cost $6,197) ($ Thousands) 5,861
--------------
CASH EQUIVALENTS -- 8.1%
Evergreen Select Money Market Fund,
Institutional Class, 5.210%* 344,308 344
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.330%*++ 44,463,701 44,464
SEI Liquidity Fund L.P.,
5.490% (K)*++ 433,619,499 433,619
--------------
Total Cash Equivalents
(Cost $478,427) ($ Thousands) 478,427
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER (A) -- 2.0%
Financials -- 2.0%
Deutsche Bank
5.310%, 06/01/07 $ 4,689 $ 4,689
KKR Pacific Funding Trust (K)
5.310%, 06/15/07 29,069 29,009
OCALA Funding (K)
5.310%, 06/19/07 12,045 12,013
Rhineland Funding Capital (K)
5.280%, 06/06/07 5,903 5,899
Thornburg Mortgage Capital
Resources (K)
5.290%, 06/07/07 32,120 32,092
Valour Bay Capital LLC (K)
5.320%, 06/11/07 13,109 13,089
5.320%, 06/13/07 24,090 24,047
--------------
Total Commercial Paper
(Cost $120,838) ($ Thousands) 120,838
--------------
CERTIFICATES OF DEPOSIT -- 0.5%
Barclays Bank (F) (K)
5.440%, 06/11/07 8,030 8,030
CC USA MTN (C) (K)
5.520%, 06/18/07 16,060 16,060
JPMorgan Chase
8.750%, 08/28/07 2,751 2,728
7.590%, 06/28/07 (F) 2,630 2,475
--------------
Total Certificates of Deposit
(Cost $29,339) ($ Thousands) 29,293
--------------
MASTER NOTE (A) (K) -- 0.3%
Bear Stearns
5.430%, 06/01/07 16,060 16,060
--------------
Total Master Note
(Cost $16,060) ($ Thousands) 16,060
--------------
MUNICIPAL BONDS -- 0.1%
Michigan Tobacco Settlement
Finance, Ser A, RB
7.309%, 06/01/34 2,400 2,486
San Diego, Tobacco Settlement Asset
Backed, RB
7.125%, 06/01/32 1,507 1,543
--------------
Total Municipal Bonds
(Cost $3,951) ($ Thousands) 4,029
--------------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 187
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Concluded)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Contracts ($ Thousands)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS (I) -- 14.3%
Barclays
5.280%, dated 05/31/07, to be
repurchased on 06/01/07,
repurchase price $5,536,206
(collateralized by a U.S. Government
obligation, par value $5,646,690,
0.000%, 06/01/07, total market
value $5,646,125) (K) $ 5,535 $ 5,535
Deutsche Bank
5.250%, dated 05/31/07, to be
repurchased on 06/01/07,
repurchase price $643,893,888
(collateralized by U.S. Government
obligations, ranging in par value
$29,600,000-$50,000,000, 5.500%,
05/08/09, total market value
$656,676,000) 643,800 643,800
Deutsche Bank
5.300%, dated 05/31/07, to be
repurchased on 06/01/07,
repurchase price $15,805,992
(collateralized by U.S. Government
obligations, ranging in par value
$87,366-$5,203,434, 4.000%-
6.000%, 02/01/08-11/04/20, total
market value $16,119,796)(K) 15,804 15,804
Lehman Brothers
5.300%, dated 05/31/07, to be
repurchased on 06/01/07,
repurchase price $176,685,812
(collateralized by U.S. Government
obligations, ranging in par value
$37,323,880-$305,888,217, 3.875%-
8.875%, 06/15/08-03/15/31, total
market value $180,193,188)(K) 176,660 176,660
--------------
Total Repurchase Agreements
(Cost $841,799) ($ Thousands) 841,799
--------------
Total Investments -- 135.5%
(Cost $8,028,218) ($ Thousands) $ 7,986,863
==============
WRITTEN SWAPTIONS -- 0.0%
U.S. Swaption Call, Barclays (52,000,000) (1,061)
U.S. Swaption Call, Merrill Lynch (44,000,000) (972)
U.S. Swaption Put, Barclays (42,000,000) (746)
--------------
Total Written Swaptions
(Premium Received $(3,050)) ($ Thousands) $ (2,779)
--------------
- --------------------------------------------------------------------------------
Market Value
Description Contracts ($ Thousands)
- --------------------------------------------------------------------------------
WRITTEN OPTIONS -- 0.0%
July 2007 U.S. Ten Year Treasury
Call, Expires 07/13/07,
Strike Price: $99.25 (163) (7)
June 2007 U.S. Ten Year Treasury
Call, Expires 06/18/07,
Strike Price $95 (172) (1)
June 2007 U.S. Ten Year Treasury
Put, Expires 06/18/07,
Strike Price $94.75 (172) (47)
--------------
Total Written Options
(Premium Received $(105)) ($ Thousands) $ (55)
--------------
A summary of the open futures contracts held by the Fund at May 31, 2007, is as
follows: (see Note 2 in Notes to Financial Statements)
- --------------------------------------------------------------------------------
UNREALIZED
NUMBER OF APPRECIATION
TYPE OF CONTRACTS EXPIRATION (DEPRECIATION)
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
90-Day Euro$ 1,840 Mar-2008 $ (963)
90-Day Euro$ 127 Jun-2007 (115)
90-Day Euro$ 1,078 Jun-2008 (852)
90-Day Euro$ 264 Sep-2008 (279)
Euro-Bond 343 Jun-2007 (2,422)
U.S. 2 Year Treasury Note 1,022 Sep-2007 (370)
U.S. 5 Year Treasury Note 2,582 Sep-2007 (1,256)
U.S. 10 Year Treasury Note (86) Sep-2007 6
U.S. Long Treasury Bond (7) Jun-2007 27
U.S. Long Treasury Bond (106) Sep-2007 18
----------
$ (6,206)
==========
A summary of the outstanding forward foreign currency contracts held by the Fund
at May 31, 2007, 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)
- --------------------------------------------------------------------------------
8/8/07 CAD 6,242 USD 5,590 $ (263)
8/8/07 EUR 6,809 USD 9,277 92
8/8/07 GBP 9,109 USD 18,090 86
8/8/07 USD 19,751 JPY 2,316,816 (553)
----------
$ (638)
==========
- --------------------------------------------------------------------------------
188 SEI Institutional Investments Trust / Annual Report /May 31, 2007
A summary of outstanding swap agreements held by the Fund at May 31, 2007 is as
follows (see Note 2 in Notes to Financial Statements):
- -----------------------------------------------------------------------------------------------------------------------
CREDIT DEFAULT SWAPS
- -----------------------------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- -----------------------------------------------------------------------------------------------------------------------
Fund receives monthly payment of 0.2020% (2.420% per annum) times the
notional amount of the ABX.HE.BBB 06-2 Index. Upon a defined credit
event, Fund pays the notional amount and takes receipt of the
defined deliverable obligation. (Counterparty: Lehman Brothers) 05/25/46 5,845 $ (12)
Fund pays monthly payment of 0.1100% (1.330% per annum) times the
notional amount of the ABX.HE.BBB 06-2 Index. Upon a defined credit
event, Fund receives the notional amount and delivers the defined
deliverable obligation. (Counterparty: Lehman Brothers) 05/25/46 7,599 (7)
Fund pays monthly payment of 0.1100% (1.330% per annum) times the
notional amount of the ABX.HE.BBB 06-2 Index. Upon a defined credit
event, Fund receives the notional amount and delivers the defined
deliverable obligation. (Counterparty: Lehman Brothers) 05/25/46 7,599 (190)
Fund receives monthly payment of 0.2017% (2.420% per annum) times the
notional amount of the ABX.HE.BBB 06-2 Index. Upon a defined credit
event, Fund pays the notional amount and takes receipt of the
defined deliverable obligation. (Counterparty: Lehman Brothers) 05/25/46 5,845 124
Fund receives quarterly payment of 0.0675% (0.270% per annum) times the
notional amount of ConocoPhillips, 4.750%, 10/15/12. Upon a defined
credit event, Fund pays the notional amount and takes receipt of the
defined deliverable obligation. (Counterparty: Morgan Stanley & Co.) 09/20/12 1,620 12
-----
$ (73)
=====
- -----------------------------------------------------------------------------------------------------------------------
INTEREST RATE SWAPS
- -----------------------------------------------------------------------------------------------------------------------
Pay fixed rate of 4.524% and receive floating rate, rate based on 5Y5Y
Swaption Straddle. (Counterparty: Lehman Brothers) 05/24/17 6,830 $ (25)
Pay fixed rate of 4.650% and receive floating rate, rate based on 5Y5Y
Swaption Straddle. (Counterparty: Lehman Brothers) 05/18/17 12,000 (156)
Receive fixed rate of 7.160% and pay floating rate, rate based on 3
Month LIBOR. (Counterparty: Lehman Brothers) 05/25/22 6,000 22
Receive fixed rate of 7.880% and pay floating rate, rate based on 3
Month LIBOR. (Counterparty: Lehman Brothers) 06/04/22 4,170 89
-----
$ (70)
=====
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
Percentages are based on Net Assets of $5,894,127 ($ Thousands).
* Rate shown is the 7-day effective yield as of May 31, 2007.
+ Real Estate Investment Trust
++ Affiliated security
(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.
(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 May 31, 2007. The date reported on the
Schedule of Investments is the next reset date.
(G) Step Bonds -- The rate reflected on the Schedule of Investments is the
effective yield on May 31, 2007. The coupon on a step bond changes on a
specified date.
(H) Securities considered illiquid. The total value of such securities as of
May 31, 2007 was $1,470 ($ Thousands) and represented 0.02% of Net Assets.
(I) Tri-Party Repurchase Agreement
(J) This security or a partial position of this security is on loan at May 31,
2007 (see Note 9). The total value of securities on loan at May 31, 2007
was $1,069,407 ($ Thousands).
(K) This security was purchased with cash collateral held from securities on
loan (see Note 9). The total value of such securities as of May 31, 2007
was $1,111,358 ($ 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.
ARM -- Adjustable Rate Mortgage
CAD -- Canadian Dollar
CDO -- Collateralized Debt Obligation
Cl -- Class
CMO -- Collateralized Mortgage Obligation
EXL -- Extendable Maturity
EUR -- Euro
FFCB -- Federal Fund Credit Bank
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FICO -- Fair Isaac Corporation
FNMA -- Federal National Mortgage Association
GBP -- British Pound Sterling
GNMA -- Government National Mortgage Association
IO -- Interest Only - Face Amount Represents Notional Amount
JPY -- Japanese Yen
LLC -- Limited Liability Company
LP -- Limited Partnership
MTN -- Medium Term Note
PLC -- Public Limited Company
RB -- Revenue Bond
SBA -- Small Business Administration
Ser -- Series
STRIPS -- Separately Traded Registered Interest and Principal Securities
TBA -- To Be Announced
USD -- U.S. Dollar
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 189
SCHEDULE OF INVESTMENTS
High Yield Bond Fund
May 31, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)++:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
21.7% Financials
20.5% Consumer Discretionary
10.8% Short-Term Investments
8.4% Telecommunication Services
7.9% Materials
7.5% Industrials
7.0% Energy
5.0% Health Care
3.0% Information Technology
2.8% Utilities
2.5% Consumer Staples
1.5% Commercial Paper
0.3% Certificates of Deposit
0.3% Preferred Convertible Stock
0.2% Preferred Stock
0.2% Master Note
0.2% Common Stock
0.2% Asset Backed Securities
++Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 9).
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS -- 85.4%
CONSUMER DISCRETIONARY -- 23.2%
ALH Finance LLC
8.500%, 01/15/13 $ 3,125 $ 3,133
AMF Bowling Worldwide
10.000%, 03/01/10 800 840
Acco Brands
7.625%, 08/15/15 3,655 3,710
Adelphia Communications (C)
10.250%, 06/15/11 125 55
7.875%, 05/01/09 75 32
7.750%, 01/15/09 250 108
Adelphia Communications,
Ser B PIK (C)
9.500%, 02/15/04 25 11
American Casino & Entertainment
7.850%, 02/01/12 25 26
American Greetings
7.375%, 06/01/16 700 715
Amscan Holdings
8.750%, 05/01/14 1,800 1,818
Aramark
8.856%, 08/01/07 (A) (D) 325 335
8.500%, 02/01/15 (A) (F) 4,825 5,072
Arvinmeritor (F)
8.750%, 03/01/12 1,700 1,774
Asbury Auto Group (A)
7.625%, 03/15/17 125 125
Ashtead Capital (A)
9.000%, 08/15/16 965 1,045
Autonation (D)
7.356%, 07/15/07 680 687
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Avis Budget Car Rental (A) (D)
7.860%, 08/15/07 $ 615 $ 637
7.750%, 05/15/16 225 233
Barrington Broadcasting (A)
10.500%, 08/15/14 525 556
Beazer Homes USA
8.625%, 05/15/11 275 277
6.875%, 07/15/15 (F) 725 678
6.500%, 11/15/13 1,300 1,214
Bonten Media Acquisition PIK (A)
0.000%, 06/01/15 1,400 1,400
Boyd Gaming
7.750%, 12/15/12 (F) 650 677
7.125%, 02/01/16 2,650 2,650
6.750%, 04/15/14 525 530
Broder Brothers, Ser B
11.250%, 10/15/10 1,200 1,197
Brookstone (F)
12.000%, 10/15/12 595 628
Brown Shoe
8.750%, 05/01/12 1,175 1,245
Burlington Coat (F)
11.125%, 04/15/14 2,500 2,600
CBD Media Holdings
9.250%, 07/15/12 525 556
8.625%, 06/01/11 275 283
CCH I Holdings LLC
12.470%, 01/15/14 (B) (F) 100 104
11.400%, 05/15/14 (B) (F) 150 152
11.000%, 10/01/15 7,577 8,240
9.920%, 04/01/14 (F) 1,800 1,723
CCH II LLC
10.250%, 09/15/10 660 703
10.250%, 10/01/13 365 405
CCH II LLC, Ser B
10.250%, 09/15/10 25 27
CCO Holdings LLC
8.750%, 11/15/13 2,430 2,551
CSC Holdings
7.875%, 12/15/07 175 177
7.625%, 07/15/18 510 513
7.250%, 07/15/08 225 228
CSC Holdings, Ser B
8.125%, 08/15/09 275 285
Cablevision Systems, Ser B
9.820%, 10/03/07 (D) 1,350 1,429
8.000%, 04/15/12 (F) 675 685
Caesars Entertainment
8.875%, 09/15/08 400 412
7.875%, 03/15/10 600 628
Canwest Media (F)
8.000%, 09/15/12 775 800
- --------------------------------------------------------------------------------
190 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Choctaw Resort Development
Entity (A)
7.250%, 11/15/19 $ 993 $ 1,000
Cinemark (B)
7.960%, 03/15/14 425 393
Clair's Stores
10.500%, 06/01/17 (A) (F) 5,800 5,677
9.250%, 06/01/15 (A) 1,000 991
Clair's Stores PIK (A) (F)
9.625%, 06/01/15 2,745 2,687
Collins & Aikman Floorcovering,
Ser B
9.750%, 02/15/10 375 384
Cooper Standard Auto
8.375%, 12/15/14 1,025 963
Cornell
10.750%, 07/01/12 475 515
Couche-Tard US
7.500%, 12/15/13 450 466
Dana (C) (F)
6.500%, 03/01/09 2,375 2,304
Del Laboratories
10.356%, 07/28/07 (D) 300 310
8.000%, 02/01/12 2,480 2,418
Delphi (C) (F)
6.500%, 05/01/09 400 464
Denny's
10.000%, 10/01/12 575 612
Dex Media
8.000%, 11/15/13 175 183
7.680%, 11/15/13 (B) 1,625 1,527
7.670%, 11/15/13 (B) 1,750 1,645
Dex Media East LLC
12.125%, 11/15/12 2,390 2,593
9.875%, 11/15/09 871 906
Dex Media Finance West, Ser B
8.500%, 08/15/10 850 887
Dex Media West, Ser B
9.875%, 08/15/13 1,095 1,189
DirectTV Holdings
8.375%, 03/15/13 2,306 2,433
6.375%, 06/15/15 4,730 4,588
Easton-Bell Sports
8.375%, 10/01/12 2,040 2,030
Echostar DBS
7.125%, 02/01/16 1,810 1,858
7.000%, 10/01/13 1,770 1,812
6.625%, 10/01/14 1,050 1,050
El Dorado Casino Shreveport PIK (F)
0.000%, 08/01/12 1,102 1,058
Elizabeth Arden
7.750%, 01/15/14 1,125 1,156
Eye Care Centers of America
10.750%, 02/15/15 600 667
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Federal-Mogul
8.370%, 11/15/01 (C) $ 300 $ 297
7.750%, 07/01/06 (C) 125 123
7.700%, 01/15/09 (C) (F) 75 74
7.375%, 01/15/06 (C) 150 147
Festival Fun Park LLC
10.875%, 04/15/14 2,524 2,581
Fontainebleau Las Vegas (A)
10.250%, 06/15/15 5,400 5,562
Ford Motor
9.500%, 09/15/11 75 77
8.900%, 01/15/32 850 754
8.875%, 01/15/22 50 45
7.450%, 07/16/31 (F) 3,301 2,715
6.500%, 08/01/18 (F) 1,935 1,589
4.250%, 12/15/36 150 171
French Lick Resorts (A) (F)
10.750%, 04/15/14 1,252 1,058
General Motors
8.375%, 07/15/33 (F) 7,249 6,742
8.250%, 07/15/23 (F) 1,077 1,006
7.700%, 04/15/16 851 798
7.125%, 07/15/13 (F) 1,825 1,711
General Nutrition Center PIK (A) (F)
0.142%, 03/15/14 650 653
Goodyear Tire & Rubber
8.625%, 12/01/11 (A) 665 718
7.857%, 08/15/11 1,050 1,097
Great Canadian Gaming (A)
7.250%, 02/15/15 275 278
Gregg Appliances
9.000%, 02/01/13 2,363 2,534
Group 1 Automotive (F)
8.250%, 08/15/13 475 493
Hanesbrand (A) (D)
8.735%, 06/15/07 2,640 2,739
Harrahs Operating
8.000%, 02/01/11 625 644
Herbst Gaming
8.125%, 06/01/12 3,089 3,143
7.000%, 11/15/14 1,375 1,296
Hertz
8.875%, 01/01/14 2,422 2,607
Hydrochem Industrial (A)
9.250%, 02/15/13 875 901
Idearc (A)
8.000%, 11/15/16 1,680 1,741
Inn of the Mountain Gods
12.000%, 11/15/10 225 244
Isle of Capri Casinos (F)
7.000%, 03/01/14 1,775 1,757
Jarden (F)
7.500%, 05/01/17 3,095 3,157
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 191
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Jo-Ann Stores (F)
7.500%, 03/01/12 $ 300 $ 297
LBI Media (B)
8.900%, 10/15/13 625 575
Lamar Media
7.250%, 01/01/13 725 745
6.625%, 08/15/15 1,200 1,194
Lamar Media, Ser B
6.625%, 08/15/15 75 75
Leslie's Poolmart
7.750%, 02/01/13 525 533
Lin Television
6.500%, 05/15/13 1,600 1,616
Lin Television, Ser B
6.500%, 05/15/13 1,000 1,010
MGM Mirage
8.375%, 02/01/11 1,750 1,829
7.500%, 06/01/16 3,510 3,457
6.875%, 04/01/16 2,020 1,934
6.750%, 04/01/13 1,600 1,572
5.875%, 02/27/14 2,670 2,483
Majestic Star Casino LLC
9.500%, 10/15/10 1,675 1,759
Majestic Star II
9.750%, 01/15/11 1,275 1,243
Mandalay Resort Group
9.375%, 02/15/10 525 563
7.625%, 07/15/13 (F) 750 749
Mediacom Broadband LLC
8.500%, 10/15/15 600 621
8.500%, 10/15/15 (A) 300 311
Mediacom LLC (F)
9.500%, 01/15/13 2,970 3,067
Medianews Group
6.875%, 10/01/13 100 92
6.375%, 04/01/14 150 133
Michaels Stores
11.375%, 11/01/16 (A) (F) 600 663
10.000%, 11/01/14 (A) 177 191
Mohegan Tribal Gaming
6.875%, 02/15/15 1,300 1,300
6.125%, 02/15/13 250 246
NPC International
9.500%, 05/01/14 100 104
Neff (A)
10.000%, 06/01/15 950 971
Neiman Marcus Group (F)
10.375%, 10/15/15 1,397 1,572
Neiman Marcus Group PIK
9.000%, 10/15/15 250 274
Nexstar Holdings LLC (B)
9.140%, 04/01/13 530 527
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Nielsen Finance LLC
10.000%, 08/01/14 (A) $ 1,425 $ 1,553
9.950%, 08/01/16 (A) (B) (F) 1,000 727
Penhall International (A)
12.000%, 08/01/14 970 1,067
Penn National Gaming
6.875%, 12/01/11 925 932
6.750%, 03/01/15 1,565 1,588
Perry Ellis International, Ser B
8.875%, 09/15/13 2,064 2,141
Petro Stopping Centers
9.000%, 02/15/12 225 239
Phillips Van-Heusen
8.125%, 05/01/13 375 395
7.250%, 02/15/11 75 77
Pokagon Gaming Authority (A)
10.375%, 06/15/14 525 591
Primedia (D)
10.735%, 08/15/07 1,350 1,392
8.875%, 05/15/11 1,075 1,107
Quebecor Media (A)
7.750%, 03/15/16 1,025 1,076
RH Donnelley
10.875%, 12/15/12 415 447
RH Donnelley, Ser A-1
6.875%, 01/15/13 1,875 1,847
RH Donnelley, Ser A-2
6.875%, 01/15/13 2,100 2,068
RH Donnelley, Ser A-3
8.875%, 01/15/16 450 485
RJ Tower (C) (F)
12.000%, 06/01/13 425 36
Reader's Digest (A)
9.000%, 02/15/17 200 197
Rental Service (A)
9.500%, 12/01/14 4,690 5,042
SGS International
12.000%, 12/15/13 1,650 1,815
Sally Holdings LLC (A) (F)
10.500%, 11/15/16 1,660 1,720
9.250%, 11/15/14 1,930 2,002
Sbarro (A)
10.375%, 02/01/15 125 129
Sealy Mattress
8.250%, 06/15/14 2,750 2,874
Seneca Gaming
7.250%, 05/01/12 575 586
Service
7.625%, 10/01/18 652 691
7.375%, 10/01/14 1,398 1,449
7.000%, 06/15/17 1,225 1,217
6.750%, 04/01/15 (A) 835 843
6.750%, 04/01/16 (F) 750 738
- --------------------------------------------------------------------------------
192 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Simmons (B) (F)
8.560%, 12/15/14 $ 3,085 $ 2,630
Sinclair Broadcast Group (A) (B)
4.875%, 07/15/18 400 390
Sonic Automotive, Ser B (F)
8.625%, 08/15/13 2,580 2,706
Spectrum Brands
7.375%, 02/01/15 2,850 2,415
Stanadyne Holdings (B)
9.570%, 02/15/15 1,500 1,245
Stanadyne, Ser 1
10.000%, 08/15/14 475 507
Station Casinos
6.875%, 03/01/16 3,655 3,372
6.625%, 03/15/18 3,450 3,105
Steinway Musical Instruments (A)
7.000%, 03/01/14 4,720 4,685
Stewart Enterprises (F)
6.250%, 02/15/13 1,110 1,093
Sun Media
7.625%, 02/15/13 2,040 2,106
Superior Essex Com & Essex Group
9.000%, 04/15/12 600 624
TRW Automotive (A)
7.250%, 03/15/17 1,905 1,910
7.000%, 03/15/14 2,170 2,173
Tenneco Automotive (F)
8.625%, 11/15/14 3,724 3,947
Town Sports International (B)
8.490%, 02/01/14 2,079 1,902
Travelport LLC
11.875%, 09/01/16 (A) (F) 1,560 1,759
9.985%, 06/01/07 (A) (D) 2,044 2,121
Turning Stone Casino Entertainment (A)
9.125%, 12/15/10 425 431
Turning Stone Resort Casinos (A)
9.125%, 09/15/14 125 128
Umbrella Acquisition PIK (A) (F)
9.750%, 03/15/15 4,625 4,787
Unifi
11.500%, 05/15/14 225 224
United Auto Group (A)
7.750%, 12/15/16 1,500 1,515
United Components
9.375%, 06/15/13 1,030 1,069
United Rentals North America
6.500%, 02/15/12 2,290 2,307
Universal City Florida
10.110%, 08/01/07 (D) (F) 4,573 4,722
8.375%, 05/01/10 25 26
Vail Resorts
6.750%, 02/15/14 2,160 2,157
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Vicorp Restaurants
10.500%, 04/15/11 $ 50 $ 43
Videotron
6.875%, 01/15/14 3,610 3,646
Visant Holding
8.760%, 12/01/13 (B) 4,110 3,812
8.750%, 12/01/13 (F) 1,385 1,447
Visteon (F)
7.000%, 03/10/14 1,015 893
WMG Acquisition
7.375%, 04/15/14 2,640 2,564
WMG Holdings (B)
9.420%, 12/15/14 745 581
Wynn Las Vegas LLC
6.625%, 12/01/14 2,614 2,624
--------------
288,570
--------------
CONSUMER STAPLES - 2.8%
B&G Foods Holding
8.000%, 10/01/11 500 509
Carrols
9.000%, 01/15/13 1,375 1,416
Constellation Brands
7.250%, 09/01/16 5,855 5,899
7.250%, 05/15/17 (A) (F) 3,150 3,170
Dean Foods
7.000%, 06/01/16 770 768
Del Monte (F)
6.750%, 02/15/15 1,450 1,450
Dole Foods
7.250%, 06/15/10 1,000 990
Fleming (C)
10.125%, 04/01/08 983 84
9.250%, 06/15/10 188 16
Jean Coutu Group
8.500%, 08/01/14 (F) 300 324
7.625%, 08/01/12 250 265
Merisant (F)
9.500%, 07/15/13 2,075 1,893
Merisant Worldwide (B) (F)
18.640%, 05/15/14 1,025 615
NBTY
7.125%, 10/01/15 2,462 2,511
Natural Beef Pack
10.500%, 08/01/11 1,213 1,277
Pantry
7.750%, 02/15/14 975 980
Pilgrim's Pride
7.625%, 05/01/15 525 539
Playtex Products
9.375%, 06/01/11 (F) 2,735 2,820
8.000%, 03/01/11 920 959
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 193
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Rite Aid
9.500%, 06/15/17 (A) $ 3,065 $ 3,080
9.375%, 12/15/15 (A) 850 854
9.250%, 06/01/13 (F) 1,000 1,015
8.625%, 03/01/15 (F) 1,000 970
7.700%, 02/15/27 (F) 150 130
7.500%, 01/15/15 25 25
6.875%, 08/15/13 (F) 100 90
6.875%, 12/15/28 (F) 350 284
Stater Brothers Holdings (D)
8.855%, 06/15/07 1,859 1,878
--------------
34,811
--------------
ENERGY -- 7.9%
Allis-Chalmers Energy
9.000%, 01/15/14 4,313 4,464
Atlas Pipeline Partners
8.125%, 12/15/15 350 364
Aventine Renewable Energy (A)
10.000%, 04/01/17 1,075 1,118
Baytex Energy
9.625%, 07/15/10 525 550
Brigham Exploration
9.625%, 05/01/14 625 637
9.625%, 05/01/14 (A) 375 382
Chaparral Energy
8.875%, 02/01/17 (A) 625 634
8.500%, 12/01/15 1,738 1,742
Chesapeake Energy
7.750%, 01/15/15 2,591 2,701
7.500%, 06/15/14 719 752
7.000%, 08/15/14 851 876
6.875%, 01/15/16 1,898 1,926
6.500%, 08/15/17 1,150 1,138
Cimarex Energy
7.125%, 05/01/17 2,250 2,278
Colorado Interstate Gas
6.800%, 11/15/15 125 131
5.950%, 03/15/15 250 248
Compton Pet Finance
7.625%, 12/01/13 350 353
Comstock Resources
6.875%, 03/01/12 50 49
Denbury Resources
7.500%, 04/01/13 2,465 2,527
7.500%, 12/15/15 2,280 2,348
Dynegy Holdings (A)
7.750%, 06/01/19 4,215 4,173
7.500%, 06/01/15 550 546
El Paso
7.750%, 07/15/11 (A) 450 476
7.420%, 02/15/37 900 942
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
El Paso MTN
8.050%, 10/15/30 $ 150 $ 169
7.800%, 08/01/31 (F) 1,450 1,590
7.750%, 01/15/32 (F) 1,750 1,919
El Paso Production Holdings
7.750%, 06/01/13 2,265 2,393
Encore Acquisition
7.250%, 12/01/17 800 772
6.000%, 07/15/15 600 546
Energy Partners Ltd.
10.480%, 07/15/07 (A) (D) 425 433
9.750%, 04/15/14 (A) 1,000 1,014
Energy XXI Gulf Coast (A)
10.000%, 06/15/13 885 872
Forest Oil
8.000%, 12/15/11 1,025 1,076
Frigstad Discoverer (A)
11.500%, 02/21/12 1,000 1,000
Giant Industries
8.000%, 05/15/14 50 54
Grant Prideco, Ser B
6.125%, 08/15/15 300 297
Hanover Compressor
9.000%, 06/01/14 1,885 2,031
7.500%, 04/15/13 775 798
Hanover Equipment Trust,
Ser 2001 B
8.750%, 09/01/11 2,675 2,762
Hilcorp Energy (A)
9.000%, 06/01/16 375 400
7.750%, 11/01/15 2,325 2,337
Holly Energy Partners
6.250%, 03/01/15 1,200 1,161
Inergy Finance
6.875%, 12/15/14 300 297
Mariner Energy
8.000%, 05/15/17 50 51
Markwest Energy, Ser B
8.500%, 07/15/16 675 710
6.875%, 11/01/14 1,400 1,374
Mueller Water Products (A)
7.375%, 06/01/17 2,450 2,476
Newfield Exploration
6.625%, 04/15/16 1,355 1,362
North American Energy Partner
8.750%, 12/01/11 225 232
Northwest Pipeline
7.000%, 06/15/16 225 240
Northwest Pipeline (A)
5.950%, 04/15/17 275 271
OPTI Canada (A)
8.250%, 12/15/14 1,780 1,891
PHI
7.125%, 04/15/13 125 122
- --------------------------------------------------------------------------------
194 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Pacific Energy
6.250%, 09/15/15 $ 100 $ 99
Pacific Energy Partners
7.125%, 06/15/14 200 209
Parker Drilling
10.110%, 06/01/07 (D) 3,022 3,082
9.625%, 10/01/13 639 690
Peabody Energy (F)
7.375%, 11/01/16 2,790 2,954
Peabody Energy, Ser B
6.875%, 03/15/13 1,500 1,519
Petrohawk Energy (F)
9.125%, 07/15/13 1,725 1,854
Plains Exploration (F)
7.000%, 03/15/17 600 597
Pogo Producing
7.875%, 05/01/13 700 735
6.875%, 10/01/17 225 329
6.625%, 03/15/15 275 278
Pogo Producing, Ser B
8.250%, 04/15/11 1,072 1,099
Pride International
7.375%, 07/15/14 1,391 1,433
Quicksilver Resources
7.125%, 04/01/16 1,425 1,414
Range Resources
6.375%, 03/15/15 350 345
Regency Energy Partners (A)
8.375%, 12/15/13 1,750 1,818
Sabine Pass LNG LP (A)
7.500%, 11/30/16 1,520 1,558
7.250%, 11/30/13 550 562
Semgroup (A)
8.750%, 11/15/15 965 1,010
Sesi LLC
6.875%, 06/01/14 950 955
Southern Natural Gas
7.350%, 02/15/31 375 409
Tesoro
6.625%, 11/01/15 775 786
6.500%, 06/01/17 (A) 1,275 1,277
6.250%, 11/01/12 175 175
Transcont Gas Pipe
6.400%, 04/15/16 150 154
United Refining (A)
10.500%, 08/15/12 850 899
Veneco
8.750%, 12/15/11 2,430 2,503
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Verasun Energy (A)
9.375%, 06/01/17 $ 1,400 $ 1,395
Whiting Petroleum
7.000%, 02/01/14 1,580 1,533
Williams
8.125%, 03/15/12 505 550
7.750%, 06/15/31 (F) 475 520
7.625%, 07/15/19 (F) 500 549
6.375%, 10/01/10 (A) 725 737
Williams Partners LP
7.250%, 02/01/17 2,445 2,592
--------------
98,624
--------------
FINANCIALS -- 12.3%
AAC Group Holding (B)
8.780%, 10/01/12 1,080 983
AAC Group Holding PIK (F)
12.750%, 10/01/12 825 915
Ace Cash Express (A)
10.250%, 10/01/14 675 690
Alamosa Delaware
8.500%, 01/31/12 1,665 1,753
American General Finance
(A) (D) (G)
5.370%, 06/15/07 3,974 3,974
American Real Estate (A)
7.125%, 02/15/13 3,225 3,169
Armstrong World (C) (F)
7.450%, 05/15/29 525 --
Bear Stearns EXL (D) (G)
5.360%, 06/15/07 4,879 4,879
CDX HY, Ser 8-T1 (A)
7.625%, 06/29/12 6,750 6,661
CDX HY, Ser 8-T2 (A)
6.750%, 06/29/12 2,000 1,979
Cardtronics
9.250%, 08/15/13 150 157
Countrywide Financial MTN (D) (G)
5.430%, 06/27/07 1,645 1,645
Countrywide Financial MTN,
Ser A (D) (G)
5.440%, 08/06/07 4,111 4,111
Deluxe (A) (F)
7.375%, 06/01/15 200 203
FTI Consulting
7.750%, 10/01/16 1,175 1,228
7.625%, 06/15/13 425 439
Felcor Lodging LP+
8.500%, 06/01/11 245 262
7.275%, 10/31/07 (D) 200 202
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 195
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Ford Motor Credit
9.806%, 07/17/07 (D) $ 3,340 $ 3,607
9.750%, 09/15/10 (F) 812 861
8.105%, 07/13/07 (D) 275 276
8.000%, 12/15/16 6,450 6,402
7.800%, 06/01/12 3,495 3,478
7.375%, 10/28/09 600 602
7.375%, 02/01/11 650 648
7.250%, 10/25/11 800 787
7.000%, 10/01/13 (F) 4,062 3,887
6.926%, 07/18/07 (D) 680 675
GMAC LLC
8.000%, 11/01/31 5,464 6,003
7.560%, 06/25/07 (D) 622 644
7.000%, 02/01/12 100 101
6.875%, 08/28/12 5,355 5,381
6.750%, 12/01/14 5,905 5,886
6.625%, 05/15/12 1,325 1,318
6.000%, 12/15/11 250 244
Hawker Beechcraft Acquisition
9.750%, 04/01/17 (A) (F) 175 175
8.500%, 04/01/15 685 723
Hawker Beechcraft Acquisition PIK (A)
8.875%, 04/01/15 250 264
Hellas II (A) (D)
11.115%, 06/21/07 2,100 2,179
Host Hotels & Resorts LP+
6.875%, 11/01/14 600 612
Host Marriott+
7.125%, 11/01/13 825 846
Host Marriott, Ser M+
7.000%, 08/15/12 375 382
Host Marriott, Ser O+
6.375%, 03/15/15 575 573
Host Marriott, Ser Q+
6.750%, 06/01/16 2,490 2,524
Ipayment
9.750%, 05/15/14 1,100 1,130
Irish Life & Permanent MTN,
Ser X (A) (D) (G)
5.360%, 06/21/07 3,645 3,645
Jackson National Life Funding
(A) (D) (G)
5.320%, 06/01/07 6,030 6,030
K&F Acquisition
7.750%, 11/15/14 500 532
KAR Holdings
10.000%, 05/01/15 (A) (F) 700 717
9.358%, 05/01/14 (A) (D) 800 816
8.750%, 05/01/14 (A) 1,525 1,555
Marlin Water Trust II (A) (C)
0.000%, 07/15/03 4,000 520
Medimedia USA (A) (F)
11.375%, 11/15/14 725 774
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Morgan Stanley EXL (D) (G)
5.400%, 06/04/07 $ 959 $ 959
Morgan Stanley EXL, Ser S (D) (G)
5.360%, 06/04/07 1,370 1,370
NSG Holdings LLC (A)
7.750%, 12/15/25 450 474
Nationwide Building Society
(A) (D) (G)
5.410%, 06/28/07 1,507 1,507
5.370%, 06/07/07 2,741 2,741
Northern Rock (A) (D) (G)
5.380%, 06/04/07 2,823 2,823
Omega Healthcare Investors+
7.000%, 01/15/16 825 846
PNA Intmed Holding (A) (D)
12.360%, 08/15/07 475 485
PXRE Capital Trust 1
8.850%, 02/01/27 1,400 1,428
Petroplus Finance
7.000%, 05/01/17 500 504
7.000%, 05/01/17 (A) (F) 2,650 2,670
6.750%, 05/01/14 1,000 1,001
6.750%, 05/01/14 (A) 985 986
Pinnacle Foods Finance LLC
10.625%, 04/01/17 (A) (F) 2,125 2,162
9.250%, 04/01/15 (A) 850 863
Premium Asset Trust, Ser 2004-10
(A) (D) (G)
5.380%, 06/15/07 3,837 3,837
Realogy (A) (F)
12.375%, 04/15/15 1,750 1,706
10.500%, 04/15/14 800 803
Rouse LP+ (A) (F)
6.750%, 05/01/13 700 706
SLM MTN (D) (G)
5.320%, 06/15/07 3,015 3,015
Senior Housing Properties+
7.875%, 04/15/15 645 677
Skandinav Enskilda Bank (A) (D) (G)
5.320%, 06/18/07 3,015 3,015
Snoqualmie Enterprises Authority
(A) (D)
9.150%, 08/01/07 275 281
Snoqualmie Enterprises Authority
(A) (F)
9.125%, 02/01/15 1,425 1,486
Stanfield Victoria LLC MTN (A) (G)
5.450%, 06/11/07 2,741 2,741
Trains HY, Ser 2006-1 (A)
7.548%, 05/01/16 3,255 3,305
Trustreet Properties+
7.500%, 04/01/15 925 1,000
UniCredito Italiano Bank (A) (D) (G)
5.350%, 07/11/07 6,852 6,852
- --------------------------------------------------------------------------------
196 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Universal City Development
11.750%, 04/01/10 $ 1,350 $ 1,434
Ventas Realty+
7.125%, 06/01/15 500 517
6.750%, 04/01/17 775 794
6.625%, 10/15/14 375 381
Yankee Acquisition
9.750%, 02/15/17 (A) (F) 375 383
8.500%, 02/15/15 (A) 1,000 1,022
--------------
152,821
--------------
HEALTH CARE -- 5.7%
Advanced Mecial Optics (A)
7.500%, 05/01/17 1,650 1,627
Bio-Rad Laboratories
7.500%, 08/15/13 175 178
6.125%, 12/15/14 775 744
CDRV Investors (B)
7.150%, 01/01/15 1,200 1,090
CDRV Investors PIK (A)
9.860%, 12/01/11 2,300 2,300
CRC Health
10.750%, 02/01/16 1,600 1,780
Cooper (A)
7.125%, 02/15/15 1,985 2,025
Encore Medical Finance (A)
11.750%, 11/15/14 1,175 1,254
Fresenius Medical Capital Trust II
7.875%, 02/01/08 381 386
Fresenius Medical Capital Trust IV
7.875%, 06/15/11 2,055 2,171
Genesis Healthcare
8.000%, 10/15/13 1,225 1,303
HCA
9.250%, 11/15/16 (A) 10,883 11,930
9.125%, 11/15/14 (A) 802 870
8.750%, 09/01/10 105 112
6.750%, 07/15/13 555 523
6.500%, 02/15/16 (F) 2,975 2,618
HCA PIK (A)
9.625%, 11/15/16 4,875 5,375
Kinetic Concepts
7.375%, 05/15/13 275 284
MQ Associates (B) (F)
44.380%, 08/15/12 139 36
Medcath Holdings
9.875%, 07/15/12 1,055 1,137
Mylan Laboratories
6.375%, 08/15/15 660 685
Norcross Safety Products, Ser B
9.875%, 08/15/11 1,225 1,292
Psychiatric Solutions (A)
7.750%, 07/15/15 2,975 3,042
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Res-care
7.750%, 10/15/13 $ 625 $ 641
Select Medical
11.080%, 09/29/07 (D) (F) 600 591
7.625%, 02/01/15 2,575 2,382
Spheris
11.000%, 12/15/12 1,400 1,428
Sun Healthcare Group (A)
9.125%, 04/15/15 375 394
Tenet Healthcare
9.875%, 07/01/14 (F) 3,350 3,434
9.250%, 02/01/15 4,894 4,882
Triad Hospitals
7.000%, 05/15/12 890 926
7.000%, 11/15/13 1,890 1,980
US Oncology Holdings
10.750%, 08/15/14 5,039 5,493
9.000%, 08/15/12 650 679
United Surgical Partners (A) (F)
8.875%, 05/01/17 1,995 2,062
United Surgical Partners PIK (A)
9.250%, 05/01/17 2,615 2,703
Universal Hospital Services (A) (D)
8.759%, 12/01/07 200 203
Universal Hospital Services PIK (A)
8.500%, 06/01/15 250 255
--------------
70,815
--------------
INDUSTRIALS -- 8.4%
AGY Holdings (A)
11.000%, 11/15/14 800 839
Acih (A) (B) (F)
13.340%, 12/15/12 900 747
Ahern Rentals
9.250%, 08/15/13 1,225 1,268
Ainsworth Lumber
7.250%, 10/01/12 300 234
6.750%, 03/15/14 (F) 400 301
Aleris International (A)
10.000%, 12/15/16 1,625 1,708
Aleris International PIK (A)
9.000%, 12/15/14 75 80
Alliant Techsystems
6.750%, 04/01/16 350 355
Allied Waste North America (F)
7.250%, 03/15/15 550 568
6.125%, 02/15/14 2,425 2,383
Allied Waste North America,
Ser B (F)
7.375%, 04/15/14 650 667
Altos Hornos de Mexico, Ser A (C)
0.000%, 04/30/02 525 401
Altos Hornos de Mexico, Ser B (C)
0.000%, 04/30/04 975 745
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 197
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
American Airlines, Ser 01-1
7.379%, 05/23/16 $ 117 $ 111
American Axle & Manufacturing
7.875%, 03/01/17 375 377
American Railcar
7.500%, 03/01/14 1,025 1,058
Ames True Temper
10.000%, 07/15/12 1,400 1,389
9.356%, 07/15/07 (D) 1,220 1,244
Associated Materials (B) (F)
12.540%, 03/01/14 850 654
Baker & Taylor (A)
11.500%, 07/01/13 925 977
Baldor Electric
8.625%, 02/15/17 1,165 1,252
Belden (A)
7.000%, 03/15/17 745 763
Buffalo Thunder Development
Authority (A) (F)
9.375%, 12/15/14 2,100 2,160
Buhrmann US
8.250%, 07/01/14 1,650 1,675
7.875%, 03/01/15 600 597
Chart Industries
9.125%, 10/15/15 325 342
Corrections Corp of America
6.750%, 01/31/14 785 792
6.250%, 03/15/13 2,838 2,806
D R Horton
5.625%, 09/15/14 1,035 977
DRS Technologies
7.625%, 02/01/18 (F) 925 958
6.875%, 11/01/13 150 151
6.625%, 02/01/16 775 781
Dayton Superior (F)
13.000%, 06/15/09 1,483 1,520
Delta Air Lines, Ser 02-1 (C) (F)
8.300%, 12/15/29 850 58
Delta Air Lines, Ser 2002-1,
Cl C (C) (F)
7.779%, 01/02/12 769 779
Education Management LLC (F)
10.250%, 06/01/16 1,750 1,907
Esco
9.230%, 06/15/07 (A) (D) 125 130
8.625%, 12/15/13 (A) 680 728
General Cable (A) (F)
7.125%, 04/01/17 460 466
Goodman Global Holdings
7.875%, 12/15/12 1,805 1,837
Graftech Finance (A)
10.250%, 02/15/12 978 1,032
Gulfmark Offshore
7.750%, 07/15/14 1,304 1,337
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
H-Lines Finance Holding (B)
9.060%, 04/01/13 $ 775 $ 758
Harland Clarke Holdings
10.105%, 05/15/15 (A) (D) 185 186
9.500%, 05/15/15 (A) 185 189
Harvest Operations
7.875%, 10/15/11 975 960
Horizon Lines LLC
9.000%, 11/01/12 800 849
Indalex Holding, Ser B
11.500%, 02/01/14 1,125 1,194
Interface
9.500%, 02/01/14 275 300
Interline Brands
8.125%, 06/15/14 1,050 1,092
Intermec
7.000%, 03/15/08 125 126
Iron Mountain
8.750%, 07/15/18 565 612
8.625%, 04/01/13 613 630
7.750%, 01/15/15 660 680
6.625%, 01/01/16 2,630 2,538
J.B. Poindexter (F)
8.750%, 03/15/14 400 379
K Hovnanian Enterprises
8.625%, 01/15/17 (F) 1,825 1,898
7.500%, 05/15/16 450 439
6.250%, 01/15/15 100 93
6.250%, 01/15/16 1,225 1,127
L-3 Communications
6.125%, 07/15/13 535 530
5.875%, 01/15/15 3,877 3,780
L-3 Communications, Cl B
6.375%, 10/15/15 2,696 2,689
Language Line
11.125%, 06/15/12 250 273
Maax (F)
9.750%, 06/15/12 800 532
Meritage Homes
7.000%, 05/01/14 925 898
6.250%, 03/15/15 250 236
Millar Western Forest
7.750%, 11/15/13 982 852
Mobile Mini (A)
6.875%, 05/01/15 700 699
Mobile Services Group (A)
9.750%, 08/01/14 425 463
NCL
10.625%, 07/15/07 475 463
NTK Holdings (F)
4.682%, 03/01/14 100 75
Nebraska Book
8.625%, 03/15/12 250 252
- --------------------------------------------------------------------------------
198 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Noble Group (A)
6.625%, 03/17/15 $ 475 $ 444
Nortek
8.500%, 09/01/14 1,050 1,042
Northwest Airlines
10.000%, 02/01/09 (C) (F) 171 129
8.875%, 06/01/06 (C) (F) 1,500 1,151
7.875%, 03/15/08 (C) (F) 175 136
7.625%, 11/15/23 (C) 1,175 875
Nutro Products (A) (D)
9.370%, 10/15/07 950 997
Open Solutions (A)
9.750%, 02/01/15 4,150 4,306
Park-Ohio Industries (F)
8.375%, 11/15/14 775 763
Ply Gem
9.000%, 02/15/12 175 162
Polypore
8.750%, 05/15/12 200 206
Polypore International (B) (F)
7.980%, 10/01/12 475 460
Propex Frabics
10.000%, 12/01/12 200 185
Quality Distributors
9.000%, 11/15/10 800 782
Quebecor World Capital (A) (F)
8.750%, 03/15/16 2,870 2,963
RBS Global & Rexnord
11.750%, 08/01/16 (F) 450 507
9.500%, 08/01/14 870 935
8.875%, 09/01/16 860 897
Rainbow National Services LLC (A)
10.375%, 09/01/14 475 533
8.750%, 09/01/12 1,210 1,292
Saint Acquisition (A)
12.500%, 05/15/17 1,825 1,784
Seitel Acquisition (A)
9.750%, 02/15/14 950 974
Stallion Oilfield Services (A)
9.750%, 02/01/15 1,775 1,855
Sunstate Equipment (A)
10.500%, 04/01/13 730 785
Super Value
7.500%, 11/15/14 800 840
Tembec Industries (F)
8.625%, 06/30/09 800 471
Terex
7.375%, 01/15/14 1,949 2,032
Titan International
8.000%, 01/15/12 2,285 2,354
Tousa
10.375%, 07/01/12 (F) 715 577
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Transdigm
7.750%, 07/15/14 $ 300 $ 312
7.750%, 07/15/14 (A) 1,050 1,092
Tube City IMS (A)
9.750%, 02/01/15 750 787
UCI Holdco PIK (A)
0.488%, 06/15/07 674 696
United Air Lines (C)
9.125%, 01/15/12 625 5
United Air Lines, Ser A (C)
10.670%, 05/01/04 325 2
United Airlines, Ser 95A1
9.020%, 04/19/12 739 427
Vanguard Health Holdings I (B)
8.680%, 10/01/15 225 191
Vanguard Health Holdings II
9.000%, 10/01/14 1,950 2,043
Visant (F)
7.625%, 10/01/12 635 649
Wimar Opco LLC (A) (F)
9.625%, 12/15/14 2,975 3,005
--------------
104,592
--------------
INFORMATION TECHNOLOGY -- 3.4%
Activant Solution
9.500%, 05/01/16 2,675 2,675
Advanced Micro Devices (F)
7.750%, 11/01/12 1,085 1,066
Compagnie Generale de Geophysique
7.500%, 05/15/15 1,225 1,282
Flextronics International
6.250%, 11/15/14 2,250 2,177
Freescale Semiconductor
10.125%, 12/15/16 (A) (F) 4,585 4,591
9.230%, 06/15/07 (A) (D) 250 250
8.875%, 12/15/14r (A) 1,355 1,357
Freescale Semiconductor PIK (A)
9.125%, 12/15/14 4,025 3,985
Magnachip Semiconductor
8.605%, 06/15/07 (D) (F) 150 138
6.875%, 12/15/11 (F) 425 371
NXP Funding LLC
9.500%, 10/15/15 (A) (F) 4,120 4,264
7.875%, 10/15/14 (A) 3,390 3,492
Sensata Technologies (F)
8.000%, 05/01/14 1,945 1,964
Smart Modular (D)
10.849%, 07/01/07 760 806
Sungard Data Systems (F)
10.250%, 08/15/15 8,385 9,171
UGS
10.000%, 06/01/12 500 545
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 199
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
UGS Capital PIK (A)
10.348%, 06/15/07 $ 2,924 $ 3,004
Viasystems
10.500%, 01/15/11 375 382
--------------
41,520
--------------
MATERIALS -- 9.0%
AEP Industries
7.875%, 03/15/13 385 396
AK Steel
7.875%, 02/15/09 1,071 1,071
7.750%, 06/15/12 1,200 1,234
Abitibi-Consolidated
8.550%, 08/01/10 700 669
Appleton Papers
8.125%, 06/15/11 425 443
Appleton Papers, Ser B
9.750%, 06/15/14 1,075 1,134
Arch Western Finance
6.750%, 07/01/13 4,325 4,309
BPC Holding (F)
8.875%, 09/15/14 1,075 1,102
Bowater
9.500%, 10/15/12 475 481
8.355%, 06/15/07 (D) 2,575 2,578
Bowater Canada Finance
7.950%, 11/15/11 600 578
Bway
10.000%, 10/15/10 650 679
Cascades
7.250%, 02/15/13 625 630
Catalyst Paper
7.375%, 03/01/14 338 319
Catalyst Paper, Ser D
8.625%, 06/15/11 1,515 1,519
Claymont Steel (A)
8.875%, 02/15/15 275 279
Crown Americas
7.750%, 11/15/15 1,711 1,788
Crown Cork & Seal
8.000%, 04/15/23 1,650 1,654
Domtar (F)
9.500%, 08/01/16 250 280
7.125%, 08/15/15 1,650 1,660
Equistar Chemical
10.125%, 09/01/08 275 289
FMG Finance
10.625%, 09/01/16 (A) (F) 3,765 4,523
10.000%, 09/01/13 (A) 350 393
Freeport-McMoRan, Copper & Gold
8.564%, 04/01/15 (D) 1,200 1,264
8.375%, 04/01/17 4,800 5,244
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Georgia Gulf
9.500%, 10/15/14 (A) $ 25 $ 26
7.125%, 12/15/13 (F) 300 276
Georgia-Pacific
8.125%, 05/15/11 1,325 1,381
8.000%, 01/15/24 1,225 1,234
7.700%, 06/15/15 (F) 1,575 1,599
7.125%, 01/15/17 (A) 945 943
7.000%, 01/15/15 (A) 2,450 2,438
Graham Packaging (F)
9.875%, 10/15/14 2,760 2,843
Huntsman International LLC (A)
7.875%, 11/15/14 1,355 1,424
Huntsman LLC
11.625%, 10/15/10 255 274
11.500%, 07/15/12 1,440 1,598
Ineos Group Holdings PLC (A) (F)
8.500%, 02/15/16 2,935 2,953
Innophos
8.875%, 08/15/14 500 528
Innophos Holdings (A)
9.500%, 04/15/12 700 714
Intertape Polymer
8.500%, 08/01/14 450 466
Jefferson Smurfit
8.250%, 10/01/12 800 818
Lyondell Chemical
10.875%, 05/01/09 1,401 1,401
10.500%, 06/01/13 995 1,087
8.250%, 09/15/16 600 650
8.000%, 09/15/14 1,267 1,340
6.875%, 06/15/17 5,580 5,587
Macdermid (A)
6.750%, 04/15/17 1,075 1,134
Massey Energy
6.625%, 11/15/10 1,087 1,076
Metals USA Holding PIK (A)
11.365%, 06/22/07 1,075 1,066
Methanex
6.000%, 08/15/15 175 165
Millennium America
7.625%, 11/15/26 200 196
Momentive Performance (A) (F)
11.500%, 12/01/16 3,505 3,680
9.750%, 12/01/14 805 841
Mosaic (A)
7.625%, 12/01/16 1,750 1,859
7.375%, 12/01/14 625 652
Mosaic Global Holdings
7.300%, 01/15/28 325 317
Nalco
8.875%, 11/15/13 (F) 1,345 1,443
7.750%, 11/15/11 2,355 2,437
- --------------------------------------------------------------------------------
200 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Neenah
9.500%, 01/01/17 $ 575 $ 569
Newark Group
9.750%, 03/15/14 700 728
Noranda Aluminum Acquisition PIK (A)
9.360%, 11/18/07 1,995 2,015
Novelis
7.250%, 02/15/15 1,150 1,213
Owens-Brockway Glass
8.875%, 02/15/09 175 179
8.250%, 05/15/13 4,360 4,600
6.750%, 12/01/14 (F) 450 455
Owens-Illinois
7.350%, 05/15/08 200 202
P H Glatfelter
7.125%, 05/01/16 1,425 1,453
PNA Group (A)
10.750%, 09/01/16 2,975 3,302
Packaging Dynamics (A)
10.000%, 05/01/16 1,995 2,015
Polyone (F)
8.875%, 05/01/12 2,735 2,817
Reichold Industries (A)
9.000%, 08/15/14 1,471 1,530
Rock-Tenn
5.625%, 03/15/13 2,200 2,090
Rockwood Specialties Group
7.500%, 11/15/14 1,510 1,563
Solo Cup (F)
8.500%, 02/15/14 910 796
Solutia
11.250%, 07/15/09 (C) 1,000 1,022
7.375%, 10/15/27 (C) (F) 600 543
0.774%, 10/15/37 (C) 75 68
Stelco (D)
10.824%, 03/31/16 400 424
Terra Capital, Ser B
7.000%, 02/01/17 2,625 2,632
US Steel
6.650%, 06/01/37 150 148
Verso Paper Holdings LLC (A)
11.375%, 08/01/16 400 428
Vitro (A)
9.125%, 02/01/17 1,645 1,725
--------------
111,479
--------------
TELECOMMUNICATION SERVICES -- 9.5%
American Cellular, Ser B
10.000%, 08/01/11 493 518
American Tower
7.500%, 05/01/12 100 104
7.125%, 10/15/12 1,826 1,897
Axtel (A)
5.625%, 02/01/17 1,895 1,914
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Centennial Communications
11.099%, 07/01/07 (D) $ 100 $ 105
10.750%, 12/15/08 130 131
10.125%, 06/15/13 (F) 2,500 2,703
8.125%, 02/01/14 (F) 1,350 1,407
Cincinnati Bell
8.375%, 01/15/14 (F) 1,825 1,871
7.250%, 07/15/13 1,775 1,846
Citizens Communications
9.250%, 05/15/11 875 967
6.250%, 01/15/13 525 520
Consolidated Communication
Holdings
9.750%, 04/01/12 3,203 3,395
Cricket Communications I
9.375%, 11/01/14 4,625 4,902
Digicel Group Ltd. (A) (F)
8.875%, 01/15/15 1,225 1,214
Digicel Group Ltd. PIK (A) (F)
0.028%, 01/15/15 1,800 1,768
Digicel Ltd. (A)
9.250%, 09/01/12 2,045 2,170
Dobson Cellular Systems
9.875%, 11/01/12 240 262
Dobson Cellular Systems, Ser B
8.375%, 11/01/11 500 533
Dobson Communications
9.606%, 07/15/07 (D) 935 963
8.875%, 10/01/13 (F) 2,715 2,858
Embarq
7.082%, 06/01/16 1,000 1,019
GCI
7.250%, 02/15/14 1,450 1,443
Hawaiian Telecom Communications,
Ser B (F)
9.750%, 05/01/13 625 669
IPCS (A) (D)
7.480%, 08/01/07 935 937
IPCS PIK (A)
0.000%, 05/01/14 220 221
Insight Communications (B) (F)
9.340%, 02/15/11 400 419
Intelsat
9.000%, 06/15/16 600 657
Intelsat Bermuda
11.250%, 06/15/16 2,065 2,359
9.250%, 06/15/16 1,137 1,259
8.872%, 08/12/07 (D) 2,330 2,382
Intelsat Intermediate (B)
8.190%, 02/01/15 5,025 4,221
Intelsat Ltd. (F)
6.500%, 11/01/13 2,300 1,966
Intelsat Sub Holdings Ltd.
8.625%, 01/15/15 425 455
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 201
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Level 3 Financing
9.250%, 11/01/14 (A) $ 8,675 $ 9,055
9.150%, 02/15/15 (A) (D) (F) 100 102
8.750%, 02/15/17 (A) 325 334
Lucent Technologies (F)
6.450%, 03/15/29 325 301
MetroPCS Wireless
9.250%, 11/01/14 (A) 3,225 3,414
9.250%, 11/01/14 (A) (F) 5,400 5,724
Nordic Telephone (A) (F)
8.875%, 05/01/16 2,410 2,612
Nortel Networks (A) (D)
9.606%, 07/15/07 150 162
Orascom Telecom Finance (A)
7.875%, 02/08/14 275 269
Primus Telecommunications
12.750%, 10/15/09 25 24
8.000%, 01/15/14 (F) 2,000 1,380
Qwest
8.875%, 03/15/12 2,070 2,272
8.605%, 06/15/07 (D) 1,544 1,691
7.875%, 09/01/11 600 635
7.500%, 10/01/14 1,105 1,163
7.250%, 09/15/25 925 946
7.250%, 10/15/35 1,025 1,034
6.500%, 06/01/17 (A) 275 272
Qwest Capital Funding (F)
7.900%, 08/15/10 700 730
Qwest Communications International
8.860%, 08/11/07 (D) 5,160 5,224
7.500%, 02/15/14 400 413
7.250%, 02/15/11 125 128
Qwest Communications International,
Ser B (F)
7.500%, 02/15/14 3,650 3,769
Rogers Wireless
8.000%, 12/15/12 850 898
7.250%, 12/15/12 225 240
6.375%, 03/01/14 1,285 1,318
Rural Cellular
8.360%, 06/01/13 (A) 440 441
8.250%, 03/15/12 2,215 2,331
Rural Cellular, Ser B
11.375%, 05/15/10 325 325
Securus Technologies (F)
11.000%, 09/01/11 250 253
Syniverse Technologies, Ser B
7.750%, 08/15/13 125 121
Telenet Group Holdings (A) (B) (F)
8.830%, 06/15/14 1,300 1,238
Triton (F)
8.500%, 06/01/13 1,425 1,489
US Unwired, Ser B
10.000%, 06/15/12 400 433
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Virgin Media Finance PLC
9.125%, 08/15/16 $ 350 $ 381
8.750%, 04/15/14 825 872
West (F)
11.000%, 10/15/16 50 54
9.500%, 10/15/14 4,560 4,799
Wind Acquisitions Finance (A)
10.750%, 12/01/15 2,425 2,837
Windstream
8.625%, 08/01/16 6,250 6,828
8.125%, 08/01/13 185 199
7.000%, 03/15/19 1,560 1,554
--------------
118,320
--------------
UTILITIES -- 3.2%
AES
9.375%, 09/15/10 750 821
9.000%, 05/15/15 (A) 600 639
8.875%, 02/15/11 2,205 2,376
7.750%, 03/01/14 600 632
Aquila
14.875%, 07/01/12 450 585
9.000%, 11/15/21 871 889
8.000%, 03/01/23 3,515 3,594
Calpine Generating (C)
14.320%, 10/01/07 326 116
Edison Mission Energy (A)
7.625%, 05/15/27 950 962
7.200%, 05/15/19 1,450 1,445
7.000%, 05/15/17 5,350 5,330
Mirant (C)
0.000%, 07/15/07 750 56
Mirant Americas
8.500%, 10/01/21 3,533 3,820
8.300%, 05/01/11 300 319
Mirant North America
7.375%, 12/31/13 2,910 3,077
NRG Energy
7.375%, 02/01/16 3,775 3,917
7.375%, 01/15/17 4,860 5,048
7.250%, 02/01/14 1,555 1,598
Reliant Energy
9.250%, 07/15/10 2,300 2,412
Sierra Pacific Resources
7.803%, 06/15/12 425 449
TXU, Ser P
5.550%, 11/15/14 600 532
TXU, Ser R
6.550%, 11/15/34 150 126
Tenaska Alabama (A)
7.000%, 06/30/21 782 819
--------------
39,562
--------------
- --------------------------------------------------------------------------------
202 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Total Corporate Obligations
(Cost $1,035,449) ($ Thousands) $ 1,061,114
--------------
LOAN PARTICIPATIONS -- 6.9%
FINANCIALS -- 6.9%
Affinion
11.660%, 03/01/12 $ 875 875
Affinion Holding
11.660%, 01/24/12 2,000 2,000
BOC Edwards
0.000%, 05/31/14 200 200
Boston Generating
7.600%, 12/19/13 1,750 1,760
Boston Generating, 1st Lien
12.350%, 12/21/16 129 141
Boston Generating, 2nd Lien
9.600%, 06/21/14 650 665
9.570%, 06/18/14 500 511
CCFC (D)
11.320%, 08/26/09 2,219 2,316
Cannery Casino, 2nd Lien
9.610%, 05/18/14 300 303
Cebridge, 2nd Lien (D)
11.371%, 05/05/14 3,639 3,776
Century Cable Bank, Ser B (D)
10.250%, 06/30/09 3 3
Charter, 3rd Lien
7.850%, 03/01/14 500 501
Claire's Stores
0.000%, 05/29/13 975 970
Community Health Bridge
0.000%, 04/10/08 3,000 2,985
Cooper Standard (D)
7.875%, 12/23/11 2,716 2,728
Delphi
8.125%, 12/31/07 1,400 1,403
Delta, 2nd Lien
8.605%, 04/30/14 225 228
Dresser, 1st Lien
7.860%, 05/04/14 850 849
Dresser, 2nd Lien
11.110%, 05/04/15 1,550 1,580
0.000%, 05/04/15 200 204
Entegra PIK
11.340%, 04/04/15 225 234
Entegra PIK, 3rd Lien
11.340%, 04/19/15 1,450 1,506
Ford
8.360%, 12/12/13 623 628
Georgia Pacific
7.340%, 02/14/13 350 352
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Georgia Pacific, Ser B (D)
7.485%, 02/14/13 $ 424 $ 426
Green Valley
8.560%, 08/16/14 225 227
7.310%, 02/16/14 217 218
Green Valley, 2nd Lien
8.610%, 08/06/14 2,000 2,017
HCA, Ser B
7.614%, 11/15/14 1,995 2,009
Iasis Healthcare
10.606%, 06/15/14 1,975 2,000
Idearc, Ser B
7.350%, 11/15/14 3,491 3,515
Intelsat Bermuda
7.860%, 02/02/14 1,825 1,832
JG Wentworth, 1st Lien
10.350%, 10/04/14 500 509
7.600%, 04/04/14 975 976
KAR Holding
7.570%, 04/20/14 1,225 1,233
Level 3
7.570%, 12/01/11 500 501
McKechnie Aerospace Ltd.
0.000%, 05/11/14 250 251
0.000%, 05/11/15 700 706
Murray Bank, 2nd Lien (D)
13.860%, 01/31/11 2,422 2,610
Murray Bank, 3rd Lien (D)
17.860%, 07/28/11 2,045 2,127
NRG Energy Strip (D)
7.350%, 02/01/13 1,760 1,761
Nalco, Ser B
7.163%, 11/04/10 927 933
Nielsen Finance
8.190%, 08/09/13 697 702
Northwest Air (D)
7.320%, 08/21/08 1,500 1,504
Paetec Holdings
8.820%, 02/28/13 1,000 1,011
Penhall
12.824%, 03/28/12 600 600
Pinnacle Foods
8.099%, 04/02/14 1,000 1,007
Proquest
0.000%, 02/09/14 800 800
Proquest, 2nd Lien
11.090%, 02/09/16 1,200 1,218
Readers Digest
7.339%, 03/02/14 1,200 1,202
Rental Services
8.857%, 11/30/13 2,189 2,226
Revlon
9.365%, 01/15/12 1,450 1,495
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 203
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Rexnord
11.598%, 02/20/13 $ 1,900 $ 1,913
Reynold, 3rd Lien
12.850%, 04/01/14 1,300 1,336
Sandridge
8.625%, 04/01/15 1,025 1,061
Simmons
10.648%, 02/15/12 2,295 2,272
Simmons Holding Unsecured
0.000%, 02/15/12 200 198
Soren, 2nd Lien
0.000%, 02/16/14 1,250 1,266
TPF Generation Holdings LLC
9.620%, 12/15/14 1,250 1,270
Tropicana Entertainment
7.850%, 12/31/11 1,485 1,497
UPC
0.000%, 04/01/13 1,000 1,001
0.000%, 12/31/13 1,000 1,001
Univision
7.605%, 09/15/14 1,879 1,877
0.000%, 09/15/14 121 --
Univision Communications
7.570%, 03/15/14 940 939
0.000%, 03/15/14 60 --
Venoco
9.320%, 05/07/14 400 404
Verint System
0.000%, 05/09/14 2,000 2,004
Wide Open West
10.360%, 04/28/13 1,250 1,262
Wind Acquisition Holdings
12.609%, 12/12/11 2,332 2,385
0.000%, 12/21/11 700 716
--------------
Total Loan Participations
(Cost $83,835) ($ Thousands) 84,736
--------------
COLLATERALIZED LOAN OBLIGATIONS -- 4.3%
FINANCIALS -- 4.3%
Ares IIIR, Ser 2007-1A, Cl SUB
13.800%, 04/16/21 5,000 4,900
Ares VR, Ser 2006-1A, Cl SUB (A)
10.490%, 02/24/18 3,500 3,150
Babson, Ser 2007-2A
0.000%, 07/20/19 2,700 2,700
CIFC Funding, Ser 2006-I (A) (D)
13.290%, 10/20/20 2,000 2,000
CIFC Funding, Ser 2006-II (A) (D)
13.770%, 03/01/21 3,000 3,000
CIFC Funding, Ser 2007-2A, Cl SUB
0.000%, 04/15/21 2,500 2,383
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Capitalsource Advisors, Ser 2006-1A,
Cl SUB
0.000%, 08/27/20 $ 2,900 $ 2,835
Copper River, Ser 2006-1A, Cl INC
0.000%, 01/20/21 3,000 2,970
De Meer Middle Market,
Ser 2006-1A, Cl INC
0.000%, 10/20/18 1,908 1,760
Denali Capital VII, Ser 2007-1A
10.780%, 01/22/22 4,500 4,500
Gleneagles, Ser AI (D)
12.940%, 11/01/17 6 6,000
Golden Tree Loan Opportunities III
Ltd., Ser 2007-3A, Cl SUB
0.000%, 05/01/22 3,100 3,068
ING Investment Management II
(A) (D)
11.120%, 08/01/20 5 4,728
Lightpoint, Ser 2006-4A, Cl IN (A)
0.000%, 04/15/18 2,000 1,630
Marathon, Ser 2005-2A, Cl INC (A)
11.520%, 12/20/19 1,500 1,425
Marlborough Street, Ser 2007-1A
0.000%, 04/18/19 2,300 2,116
Stanfield Vayron, Ser 2006-1A,
Cl SUB
9.060%, 07/15/18 2,000 1,840
Tralee, Ser 2007-1A, Cl SUB
0.000%, 04/16/22 2,500 2,340
--------------
Total Collateralized Loan Obligations
(Cost $52,199) ($ Thousands) 53,345
--------------
COLLATERALIZED DEBT OBLIGATIONS -- 1.4%
FINANCIALS -- 1.4%
Carlyle High Yield Partners,
Ser 2006-8A, Cl N (E)
0.000%, 05/21/21 3,000 2,745
Connecticut Valley Structured Credit,
Ser 2006-3A, Cl NOTE (A)
10.930%, 03/23/23 1,200 1,092
Peritus I (I) 3,000 1,050
Peritus I, Ser 2005-1A, Cl C (A)
9.000%, 05/24/15 11,079 10,270
Petroprod
10.850%, 05/24/13 900 900
Sevan Marine
5.655%, 05/14/13 900 909
--------------
Total Collateralized Debt Obligations
(Cost $17,186) ($ Thousands) 16,966
--------------
- --------------------------------------------------------------------------------
204 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CONVERTIBLE BONDS -- 0.1%
Adelphia Recovery Trust, Ser ACC-1 $ 466 $ --
Flextronics CV to 64.4122
1.000%, 08/01/10 1,190 1,138
Huntsman CV to 1.7674
5.000%, 02/16/08 1 25
Mirant CV to 14.7167 (C) (F)
2.500%, 06/15/21 1,950 146
--------------
Total Convertible Bonds
(Cost $1,272) ($ Thousands) 1,309
--------------
PREFERRED STOCK -- 0.3%
Rockwall Investors, 12.030%* 3,000,000 2,910
Rural Cellular PIK, 12.250%* 375 450
--------------
Total Preferred Stock
(Cost $3,248) ($ Thousands) 3,360
--------------
COMMON STOCK -- 0.2%
Armstrong World Industries* 6,123 343
Core-Mark Holding* 12,075 417
Delta Air Lines (F)* 19,510 372
Huntsman* 7,595 152
Owens Corning (F)* 28,431 1,021
Time Warner Cable (F)* 7,063 271
UAL (F)* 1,091 43
--------------
Total Common Stock
(Cost $2,695) ($ Thousands) 2,619
--------------
ASSET-BACKED SECURITIES -- 0.2%
MORTGAGE RELATED SECURITIES -- 0.2%
Duke Funding, Ser 2004-6B,
Cl A1S1 (A) (D) (G)
5.420%, 07/09/07 2,056 2,056
Harborview Mortgage Loan Trust,
Ser 2006-4 Class X1, IO (I)
1.740%, 06/01/07 -- --
Washington Mutual, Ser 2007-OA2,
Cl 1XPP, IO (E) (I)
0.002%, 03/25/47 -- --
--------------
Total Asset-Backed Securities
(Cost $2,153) ($ Thousands) 2,056
--------------
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.0%
FHLMC CMO, Ser 2603, Cl LI, IO
5.500%, 09/15/08 $ -- $ --
FHLMC CMO, Ser 2621, Cl IJ, IO
5.500%, 12/15/26 -- --
FHLMC CMO, Ser 2696, Cl NI, IO
5.500%, 03/15/23 -- --
FNMA CMO, Ser 2003-37,
Cl IG, IO
5.500%, 05/25/32 -- --
--------------
Total U.S. Government Agency Obligations
(Cost $17) ($ Thousands) --
--------------
CASH EQUIVALENTS -- 9.5%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.330%**++ 43,961,943 43,962
SEI Liquidity Fund L.P.,
5.490% (G)**++ 74,003,065 74,003
--------------
Total Cash Equivalents
(Cost $117,965) ($ Thousands) 117,965
--------------
COMMERCIAL PAPER (H) -- 1.7%
KKR Pacific Funding Trust (G)
5.310%, 06/15/07 4,961 4,951
OCALA Funding (G)
5.310%, 06/19/07 2,056 2,050
Rhineland Funding Capital (G)
5.280%, 06/06/07 1,007 1,006
Stone Container (F)
8.000%, 03/15/17 1,725 1,729
Thornburg Mortgage Capital
Resources (G)
5.290%, 06/07/07 5,482 5,477
Valour Bay Capital LLC (G)
5.320%, 06/11/07 2,237 2,234
5.320%, 06/13/07 4,111 4,104
--------------
Total Commercial Paper
(Cost $21,551) ($ Thousands) 21,551
--------------
CERTIFICATES OF DEPOSIT (G) -- 0.3%
Barclays Bank (D)
5.440%, 06/11/07 1,370 1,370
CC USA MTN (A)
5.520%, 06/18/07 2,741 2,741
--------------
Total Certificates of Deposit
(Cost $4,111) ($ Thousands) 4,111
--------------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 205
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Concluded)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MASTER NOTE (G) (H) -- 0.2%
Bear Stearns
5.430%, 06/01/07 $ 2,741 $ 2,741
--------------
Total Master Note
(Cost $2,741) ($ Thousands) 2,741
--------------
REPURCHASE AGREEMENTS (G) (J) -- 2.7%
Barclays Capital
5.280%, dated 05/31/07, to be
repurchased on 06/01/07,
repurchase price $944,829
(collateralized by a U.S. Government
obligation, par value $963,684,
0.000%, 06/01/07, total market
value $963,588) 945 945
Deutsche Bank
5.300%, dated 05/31/07, to be
repurchased on 06/01/07,
repurchase price $2,697,507
(collateralized by U.S. Government
obligations, ranging in par value
$14,910-$888,037, 4.000%-
6.000%, 02/01/08-11/04/20,
total market value $2,751,062) 2,697 2,697
Lehman Brothers
5.300%, dated 05/31/07, to be
repurchased on 06/01/07,
repurchase price $30,153,836
(collateralized by U.S. Government
obligations, ranging in par value
$6,369,828-$52,203,982,3.875%- 8.875%,
06/15/08-03/15/31, total
market value $30,752,417) 30,149 30,149
--------------
Total Repurchase Agreements
(Cost $33,791) ($ Thousands) 33,791
--------------
Total Investments -- 113.2%
(Cost $1,378,213) ($ Thousands) $ 1,405,664
==============
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
Percentages are based on Net Assets of $1,241,924 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of May 31, 2007.
+ Real Estate Investment Trust
++ Affiliated security
(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 May 31, 2007. 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 May 31, 2007. The reset date is reported on
the Schedule of Investments is the next reset date.
(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 May 31,
2007 (see Note 9). The total value of securities on loan at May 31,
2007was $177,671 ($ Thousands).
(G) This security was purchased with cash collateral held from securities
lending (see Note 9). The total value of such securities as of May 31,
2007 was $189,668 ($ 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
May 31, 2007 was $1,050 ($ Thousands) and represented 0.08% of Net Assets.
(J) Tri-Party Repurchase Agreement
Cl -- Class
CMO -- Collateralized Mortgage Obligation
CV -- Convertible Security
EXL -- Extendable Maturity
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
IO -- Interest Only - Face Amount Represents Notional Amount
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
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
206 SEI Institutional Investments Trust / Annual Report / May 31, 2007
Long Duration Fund
May 31, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)++:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
52.7% Asset-Backed Securities
13.7% Financials
10.5% U.S. Government Agency Mortgage-Backed Obligations
6.6% U.S Government Agency Obligations
6.4% Commercial Paper
3.5% Short-Term Investments
1.9% Utilities
1.8% U.S. Treasury Obligations
1.2% Industrials
0.8% Consumer Discretionary
0.5% Telecommunication Services
0.4% Certificates of Deposit
++Percentages based on total investments.
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 55.1%
MORTGAGE RELATED SECURITIES -- 55.1%
Ace Securities, Ser WF1, Cl A2C (B)
5.660%, 06/25/07 $ 3,000 $ 3,007
American Home Mortgage
Investment Trust, Ser 2007-2,
Cl 11A1 (B)
5.550%, 06/25/07 2,568 2,568
Asset-Backed Securities Home
Equity Loan Trust, Ser 2003-HE4,
Cl M2 (B)
7.320%, 06/15/07 1,163 1,167
Aviation Capital Group Trust,
Ser 2003-2A, Cl G2 (A) (B)
6.120%, 06/20/07 608 615
Bayview Commercial Asset Trust,
Ser 2006-1A, Cl M3 (A) (B)
5.740%, 06/25/07 1,329 1,324
Bayview Commercial Asset Trust,
Ser 2007-2A, Cl A1 (B)
5.590%, 07/25/37 2,800 2,800
Bayview Commercial Asset Trust,
Ser 2007-3, Cl A1 (B)
5.560%, 07/25/37 3,100 3,100
Bayview Financial Acquisition Trust,
Ser 2004-B, Cl A1 (A) (B)
5.820%, 06/28/07 1,500 1,500
Bayview Financial Acquisition Trust,
Ser 2005-A, Cl A1 (A) (B)
5.820%, 06/28/07 2,100 2,100
Bayview Financial Revolving
Mortgage Loan Trust, Ser 2005-E,
Cl A1 (A) (B)
5.820%, 06/28/07 2,400 2,400
Bear Stearns Asset-Backed Securities
Trust, Ser 2007-HE5, Cl 1A2 (B)
5.500%, 05/25/37 2,300 2,300
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Carrington Mortgage Loan Trust,
Ser 2006-NC5, ClA1 (B)
5.370%, 06/25/07 $ 1,221 $ 1,221
Citigroup Mortgage Loan Trust,
Ser 2003-1, Cl WA2
6.500%, 06/25/31 93 94
Citigroup Mortgage Loan Trust,
Ser 2004-2, Cl 2A1 (A)
6.500%, 08/25/18 261 262
Continental Airlines, Ser 2002-1,
Cl G1 (B)
5.810%, 08/15/07 97 97
Countrywide Alternative Loan Trust,
Ser 2005-16, Cl A5 (B)
5.600%, 06/25/07 690 691
Countrywide Alternative Loan Trust,
Ser 2005-27, Cl 1A2 (B)
6.427%, 06/25/07 1,317 1,321
Countrywide Alternative Loan Trust,
Ser 2005-27, Cl 2A1 (B)
6.377%, 06/01/07 713 705
Countrywide Alternative Loan Trust,
Ser 2005-27, Cl 3A2 (B)
6.127%, 06/01/07 124 124
Countrywide Alternative Loan Trust,
Ser 2005-51, Cl 2A2A (B)
5.610%, 06/20/07 494 494
Countrywide Alternative Loan Trust,
Ser 2005-59, Cl 1A1 (B)
5.650%, 06/20/07 1,189 1,193
Countrywide Alternative Loan Trust,
Ser 2005-59, Cl 2X, IO (G)
1.710%, 06/01/07 4,667 156
Countrywide Alternative Loan Trust,
Ser 2005-61, Cl 2A1 (B)
5.600%, 06/25/07 656 657
Countrywide Alternative Loan Trust,
Ser 2005-72, Cl A1 (B)
5.590%, 06/27/07 1,006 1,006
Countrywide Alternative Loan Trust,
Ser 2006-OA11, Cl N1 (A)
6.000%, 09/25/46 522 520
Countrywide Alternative Loan Trust,
Ser 2006-OA12, Cl A2 (B)
5.530%, 06/20/07 2,626 2,633
Countrywide Alternative Loan Trust,
Ser 2006-OA2, Cl X1P, IO
2.500%, 05/20/46 8,711 373
Countrywide Asset-Backed
Certificates, Ser 2003-BC1,
Cl M1 (B)
6.240%, 06/25/07 407 408
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 207
SCHEDULE OF INVESTMENTS
Long Duration Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Asset-Backed
Certificates, Ser 2004-13,
Cl AV2 (B)
5.580%, 06/27/07 $ 228 $ 228
Countrywide Asset-Backed
Certificates, Ser 2005-12,
Cl 1A1 (B)
5.470%, 06/27/07 1,929 1,929
Countrywide Asset-Backed
Certificates, Ser 2005-13,
Cl AF1 (B)
5.450%, 06/27/07 424 424
Countrywide Home Equity Loan Trust,
Ser 2005-M, Cl A2 (B)
5.440%, 06/15/07 643 643
Countrywide Home Loans,
Ser 2006-2, Cl 1A1 (B)
5.640%, 03/25/35 342 342
Credit-Based Asset Servicing,
Ser 2005-CB5, Cl AF1 (B)
5.460%, 06/25/07 428 428
Credit-Based Asset Servicing,
Ser 2006-CB4, Cl AV3 (B)
5.470%, 06/25/07 2,750 2,740
Credit-Based Asset Servicing,
Ser 2007-CB2, Cl A2A (H)
5.891%, 02/25/37 2,410 2,405
DSLA Mortgage Loan Trust,
Ser 2004-AR1, Cl A2A (B)
5.730%, 06/19/07 183 184
DSLA Mortgage Loan Trust,
Ser 2005-AR2, Cl 2A1A (B)
5.530%, 06/19/07 591 592
DSLA Mortgage Loan Trust,
Ser 2005-AR4, Cl 2A1A (B)
5.580%, 06/21/07 725 727
First Franklin Mortgage Loan Asset,
Ser 2007-FF1, Cl A2D (B)
5.540%, 06/25/07 2,750 2,751
First Franklin Mortgage Loan Asset,
Ser 2007-FF2, Cl A2D (B)
5.540%, 06/25/07 1,850 1,842
GMAC Mortgage Loan Trust,
Ser 2000-HE2, Cl A1 (B)
5.540%, 06/25/07 765 765
GSR Mortgage Loan Trust,
Ser 2005-HEL1, Cl M2 (B)
6.050%, 06/29/07 1,700 1,692
Greenpoint Mortgage Funding Trust,
Ser 2005-HE2, Cl A1 (B)
5.520%, 06/15/07 84 84
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Harborview Mortgage Loan Trust,
Ser 2004-8, Cl 2A4A (B)
5.720%, 06/19/07 $ 866 $ 868
Harborview Mortgage Loan Trust,
Ser 2005-01, Cl X, IO (G)
1.435%, 06/01/07 1,702 35
Harborview Mortgage Loan Trust,
Ser 2005-10, Cl X, IO (B)
1.404%, 06/01/07 3,654 98
Harborview Mortgage Loan Trust,
Ser 2005-11, Cl 2A1A (B)
5.630%, 06/19/07 1,024 1,028
Harborview Mortgage Loan Trust,
Ser 2005-12, Cl X2B, IO (B)
1.209%, 06/01/07 3,844 91
Harborview Mortgage Loan Trust,
Ser 2006-1, Cl X1, IO (B)
1.748%, 03/19/37 8,888 365
Home Equity Asset Trust,
Ser 2005-5, Cl 2A1 (B)
5.430%, 06/25/07 31 31
Home Equity Asset Trust,
Ser 2007-2, Cl 2A4 (B)
5.690%, 06/02/07 1,900 1,901
Home Equity Asset Trust,
Ser 2007-3, Cl 2A2 (B)
5.500%, 06/25/07 2,300 2,300
Home Equity Mortgage Trust,
Ser 2006-1, Cl A1B (B)
5.450%, 06/27/07 1,176 1,176
Indymac Home Equity Loan Asset-
Backed Trust, Ser 2002-A,
Cl M1 (B)
6.445%, 06/27/07 1,187 1,188
Indymac Index Mortgage Loan Trust,
Ser 2004-AR12, Cl A1 (B)
5.710%, 06/25/07 653 654
Indymac Index Mortgage Loan Trust,
Ser 2004-AR12, Cl AX2, IO (G)
1.589%, 06/01/07 1,213 26
Indymac Index Mortgage Loan Trust,
Ser 2004-AR5, Cl 2A1B (B)
5.720%, 06/27/07 819 822
Indymac Index Mortgage Loan Trust,
Ser 2004-AR6, Cl 6A1 (B)
5.460%, 06/01/07 286 283
Indymac Index Mortgage Loan Trust,
Ser 2004-AR7, Cl A2 (B)
5.750%, 06/25/07 229 229
Indymac Index Mortgage Loan Trust,
Ser 2004-AR8, Cl 2A2A (B)
5.720%, 06/27/07 172 173
- --------------------------------------------------------------------------------
208 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Indymac Index Mortgage Loan Trust,
Ser 2005-AR18, Cl 2A1A (B)
5.630%, 06/25/07 $ 1,685 $ 1,688
Inman Square Funding, Ser 2A,
Cl I (A) (B)
5.800%, 07/06/07 1,950 1,950
Irwin Home Equity, Ser 2003-A,
Cl M2 (B)
7.470%, 06/27/07 449 450
JPMorgan Chase Commercial
Mortgage, Ser 2006-CB16, Cl AM
5.593%, 05/12/45 2,330 2,307
Lehman XS NIM Trust, Ser 2006-2N,
Cl A1 (A)
7.000%, 02/27/46 971 971
Lehman XS Trust, Ser 2006-12N,
Cl A1A1 (B)
5.400%, 06/25/07 933 933
Long Beach Asset Holdings,
Ser 2006-9, Cl N1 (A)
6.250%, 10/25/46 935 897
Master Alternative Loans Trust,
Ser 2003-3, Cl 2A1
8.500%, 05/25/33 236 238
Master Seasoned Securities Trust,
Ser 2005-1, Cl 4A1 (B)
5.831%, 06/25/07 491 495
Merrill Lynch Mortgage Investors,
Ser 2006-WMC1, Cl A2B (B)
5.460%, 06/27/07 2,750 2,750
Mid-State Trust, Ser 2004-1, Cl B
8.900%, 08/15/37 463 471
Morgan Stanley Capital I, Ser 2002-
HE3, Cl M1 (B)
6.420%, 06/26/07 1,929 1,931
Morgan Stanley Capital I, Ser 2004-
NC2, Cl M2 (B)
6.520%, 06/26/07 1,493 1,497
NationStar NIM Trust, Ser 2007-B,
Cl A (A)
8.750%, 05/25/37 1,301 1,294
Nationstar Home Equity Loan Trust,
Ser 2006-B, Cl AV3 (B)
5.490%, 06/25/07 2,565 2,562
Nationstar Home Equity Loan Trust,
Ser 2007-B, Cl 2AV4 (B)
5.686%, 06/25/07 2,000 2,001
Nomura Asset Acceptance,
Ser 2006-S1, Cl A1 (A) (B)
5.460%, 06/25/07 959 959
Renaissance Home Equity Loan
Trust, Ser 2007-1, Cl N (A)
9.793%, 04/25/37 838 837
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Residential Asset Mortgage Products,
Ser 2004-RS11, Cl A2 (B)
5.590%, 06/25/07 $ 154 $ 154
Residential Asset Mortgage Products,
Ser 2007-RZ1, Cl A1 (B)
5.390%, 06/25/07 1,640 1,640
Residential Asset Securities,
Ser 2005-KS8, Cl A1 (B)
5.430%, 06/27/07 21 21
Residential Funding Mortgage
Securities II, Ser 2006-HSA2,
Cl AI1 (B)
5.430%, 06/27/07 1,333 1,333
Residential Funding Mortgage
Securities, Ser 1999-HI8,
Cl AI7 (H)
7.970%, 11/25/29 327 326
Saxon Asset Securities Trust,
Ser 2004-3, Cl A3 (B)
5.660%, 06/26/07 19 19
Saxon Asset Securities Trust,
Ser 2005-1, Cl M1 (B)
5.850%, 06/25/07 1,795 1,796
Soundview Home Equity Loan Trust,
Ser 2006-1, Cl A2 (B)
5.460%, 06/27/07 2,301 2,301
Structured Asset Investment Loan
Trust, Ser 2005-HE3, Cl A3 (B)
5.440%, 06/27/07 115 115
Structured Asset Mortgage
Investments, Ser 2006-AR1, Cl
3A1 (B)
5.550%, 06/28/07 1,945 1,948
Terwin Mortgage Trust, Ser 2005-11,
Cl 1A1A (A) (H)
4.500%, 06/25/07 150 149
Terwin Mortgage Trust, Ser 2005-
14HE, Cl AF1 (B)
5.460%, 06/27/07 409 409
Terwin Mortgage Trust, Ser 2006-8,
Cl 2A1 (A) (B)
4.500%, 08/25/37 1,151 1,133
Vertical CDO Ltd., Ser 2007-1A,
Cl A1 (A) (B)
6.090%, 06/10/07 950 886
Washington Mutual, Ser 2000-1,
Cl M2 (B)
6.620%, 06/25/07 610 610
Washington Mutual, Ser 2005-AR1,
Cl A2A2 (B)
5.570%, 06/25/07 60 60
Washington Mutual, Ser 2005-AR2,
Cl 2A21 (B)
5.650%, 06/25/07 570 572
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 209
SCHEDULE OF INVESTMENTS
Long Duration Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Washington Mutual, Ser 2005-AR2,
Cl 2A22 (B)
5.540%, 06/25/07 $ 85 $ 85
Washington Mutual, Ser 2005-AR6,
Cl 2AB1 (B)
5.510%, 06/25/07 122 122
--------------
Total Asset-Backed Securities
(Cost $102,224) ($ Thousands) 101,790
--------------
CORPORATE OBLIGATIONS -- 18.9%
CONSUMER DISCRETIONARY -- 0.9%
Comcast (B)
5.656%, 07/16/07 825 826
Johnson Controls (B)
5.587%, 07/17/07 786 787
--------------
1,613
--------------
FINANCIALS -- 14.4%
Bank of America, Ser A (A)
8.070%, 12/31/26 1,667 1,734
Barrick Gold Finance
5.800%, 11/15/34 897 818
Capital One Financial MTN (B)
5.620%, 06/11/07 1,000 1,003
Corestates Capital Trust I (A)
8.000%, 12/15/26 1,000 1,036
Countrywide Financial (B)
5.606%, 08/05/07 200 200
Countrywide Home Loans MTN,
Ser E
6.935%, 07/16/07 690 691
Credit Suisse First Boston London
(A) (B) (E)
0.000%, 06/24/07 1,271 1,161
Deutsche Bank Capital Funding
Trust (A) (B)
5.628%, 01/19/49 1,182 1,144
Deutsche Bank Luxembourg (A)
6.825%, 12/28/07 281 283
Farmers Insurance Exchange (A)
8.625%, 05/01/24 160 189
Ford Motor Credit
7.000%, 10/01/13 865 828
6.625%, 06/16/08 240 240
Ford Motor Credit (B)
8.355%, 08/02/07 475 479
GMAC LLC (B)
7.560%, 06/25/07 938 971
HSBC Capital Trust II (A)
8.380%, 05/15/27 9 9
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Lehman Brothers Holdings (B)
5.585%, 07/12/07 $ 940 $ 940
Lehman Brothers Holdings MTN (B)
8.920%, 08/16/07 462 449
5.579%, 07/18/07 730 731
Lehman Brothers Holdings MTN,
Ser H (B) (F)
0.000%, 11/30/07 528 477
Meridian Funding (A) (B)
5.560%, 07/06/07 115 115
Merrill Lynch MTN (B)
8.950%, 11/18/07 650 612
8.680%, 11/02/07 660 628
Nationwide Mutual Insurance (A)
6.600%, 04/15/34 305 295
Popular North America (B)
5.690%, 06/12/07 735 736
Power Receivables Financial (A)
6.290%, 01/01/12 345 349
Residential Capital (B)
6.725%, 06/29/07 880 880
6.460%, 08/22/07 880 881
Rosyln Bancorp
5.750%, 11/15/07 900 897
Security Benefit Life (A)
7.450%, 10/01/33 1,500 1,637
Simon Property Group+
5.750%, 05/01/12 870 878
State Street Institutional Capital,
Cl B (A)
8.035%, 03/15/27 1,368 1,425
Toyota Motor Credit MTN (B)
8.000%, 10/24/07 1,395 1,353
ZFS Finance USA Trust V (A) (B)
6.500%, 05/09/37 500 493
Zurich Capital Trust I (A)
8.376%, 06/01/37 1,863 1,945
--------------
26,507
--------------
INDUSTRIALS -- 1.2%
America West Airlines, Ser 01-1
7.100%, 04/02/21 171 181
American Airlines, Ser AMBC
3.857%, 07/09/10 213 206
Cedar Brakes II LLC (A)
9.875%, 09/01/13 734 812
Continental Airlines, Ser 99-2
7.056%, 09/15/09 900 920
Continental Airlines, Ser AMBC
6.236%, 03/15/20 95 96
--------------
2,215
--------------
- --------------------------------------------------------------------------------
210 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES -- 0.5%
New England Telephone & Telegraph
7.650%, 06/15/07 $ 900 $ 901
--------------
UTILITIES -- 1.4%
Entergy Gulf States (B)
5.760%, 08/15/07 525 525
Power Contract Financing (A)
6.256%, 02/01/10 901 906
Progress Energy Florida, Cl A (B)
5.760%, 06/13/07 1,000 1,001
Sempra Energy (B)
5.830%, 08/21/07 190 190
--------------
2,622
--------------
UTILITIES -- 0.5%
TXU Electric Delivery (A) (B)
5.725%, 06/16/07 1,000 1,000
--------------
Total Corporate Obligations
(Cost $35,146) ($ Thousands) 34,858
--------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
OBLIGATIONS -- 11.0%
FHLMC
7.000%, 01/01/33 417 433
6.500%, 08/01/29 730 737
FHLMC ARM
7.267%, 01/01/33 319 319
6.625%, 06/01/07 635 654
5.838%, 01/01/34 1,246 1,261
5.203%, 04/01/34 1,117 1,124
5.121%, 04/01/34 1,017 1,016
4.048%, 08/01/34 1,222 1,226
3.825%, 05/01/34 1,659 1,663
3.409%, 08/01/34 1,594 1,591
FNMA
7.000%, 04/01/34 467 481
FNMA ARM
7.136%, 01/01/33 400 407
6.269%, 07/01/33 450 459
6.139%, 08/01/36 2,090 2,112
5.745%, 06/01/33 1,525 1,554
4.812%, 06/01/35 2,580 2,572
4.680%, 08/01/34 1,053 1,059
3.886%, 04/01/35 1,100 1,100
GNMA ARM
5.375%, 06/20/32 580 585
--------------
Total U.S. Government Agency
Mortgage-Backed Obligations
(Cost $20,192) ($ Thousands) 20,353
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/shares ($ Thousands)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 6.9%
FHLB
5.505%, 04/30/09 $ 1,595 $ 1,595
5.500%, 05/29/09 3,530 3,531
FHLMC CMO, Ser 2006-4, Cl WE
4.500%, 02/25/36 3,050 2,654
FHLMC CMO, Ser 2733, Cl SB (B)
3.222%, 06/15/07 3,350 2,391
FHLMC CMO, Ser 2748, Cl ZT
5.500%, 02/15/24 86 79
FNMA CMO, Ser 2001-48, Cl PD
6.500%, 06/25/20 283 285
FNMA CMO, Ser 2003-122, Cl ZQ
6.000%, 12/25/33 116 113
FNMA CMO, Ser 2003-33, Cl PC
4.500%, 03/25/27 47 47
FNMA CMO, Ser 2004-12, Cl ZX
6.000%, 03/25/34 125 121
FNMA CMO, Ser 2004-31, Cl MZ
4.250%, 05/25/34 114 80
FNMA CMO, Ser 2004-80, Cl XZ
5.000%, 11/25/34 228 177
GNMA CMO, Ser 2003-112,
Cl SG (B)
1.170%, 06/16/07 157 80
GNMA CMO, Ser 2003-86, Cl ZK
5.000%, 10/20/33 1,794 1,558
--------------
Total U.S. Government Agency Obligations
(Cost $12,740) ($ Thousands) 12,711
--------------
COMMERCIAL PAPER (D) -- 6.7%
Kitty Hawk Funding
5.270%, 06/27/07 3,510 3,497
National Rural Utilities
5.240%, 06/21/07 4,450 4,437
Ranger Funding
5.260%, 06/21/07 4,515 4,502
--------------
Total Commercial Paper
(Cost $12,436) ($ Thousands) 12,436
--------------
CASH EQUIVALENT -- 3.7%
SEI Daily Income Trust,
Prime Obligation Fund, Cl A,
5.330%*+ 6,741,416 6,741
--------------
Total Cash Equivalent
(Cost $6,741) ($ Thousands) 6,741
--------------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 211
SCHEDULE OF INVESTMENTS
Long Duration Fund (Concluded)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATION (D) -- 1.9%
U.S. Treasury Bills
4.962%, 06/21/07 (C) $ 2,033 $ 2,028
4.914%, 06/21/07 1,531 1,527
--------------
Total U.S. Treasury Obligation
(Cost $3,554) ($ Thousands) 3,555
--------------
CERTIFICATES OF DEPOSIT (B) -- 0.5%
JPMorgan Chase
8.750%, 08/28/07 455 452
7.590%, 06/28/07 385 362
--------------
Total Certificates of Deposit
(Cost $820) ($ Thousands) 814
--------------
Total Investments -- 104.7%
(Cost $193,853) ($ Thousands) $ 193,258
==============
A summary of the open futures contracts held by the Fund at May 31, 2007, is as
follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
NUMBER OF UNREALIZED
TYPE OF CONTRACTS EXPIRATION DEPRECIATION
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
U.S. Long Treasury Bond 22 Sep-2007 $ (3)
=======
A summary of outstanding swap agreements held by the Fund at May
31, 2007, is as follows (see Note 2 in Notes to Financial Statements):
- ---------------------------------------------------------------------------------------------
INTEREST RATE SWAPS
- ---------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- ---------------------------------------------------------------------------------------------
Pay fixed rate of 4.524% and receive floating
rate, rate based on 5Y5Y Swaption Straddle.
(Counterparty: Lehman Brothers) 05/24/17 1,060 $ (4)
Pay fixed rate of 4.650% and receive floating
rate, rate based on 5Y5Y Swaption Straddle.
(Counterparty: Lehman Brothers) 05/18/17 1,900 (25)
Receive fixed rate of 5.008% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Salomon Brothers) 01/04/21 54,565 (2,082)
Receive fixed rate of 5.064% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Salomon Brothers) 03/02/16 11,060 (293)
Receive fixed rate of 5.178% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Barclays Capital) 01/03/17 5,615 (44)
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 (924)
Receive fixed rate of 5.186% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Salomon Brothers) 03/02/22 16,450 (613)
Receive fixed rate of 5.280% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Barclays Capital) 09/05/16 3,690 (44)
Receive fixed rate of 5.302% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Barclays Capital) 05/02/22 5,340 (136)
Receive fixed rate of 5.391% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Credit Suisse First Boston) 04/04/16 5,980 (19)
Receive fixed rate of 5.310% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Deutsche Bank) 04/03/22 26,200 (644)
Receive fixed rate of 5.433% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Deutsche Bank) 02/02/22 19,515 30
Receive fixed rate of 5.728% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Credit Suisse First Boston) 07/05/16 4,400 155
---------
$ (4,643)
=========
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
Percentages are based on Net Assets of $184,616 ($ Thousands).
* Rate shown is the 7-day effective yield as of May 31, 2007.
+ Affiliated security
(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 May 31, 2007. The date reported on the
Schedule of Investments is the next reset date.
(C) Security, or portion of this security, has been pledged as collateral on
open futures contracts.
(D) The rate reported is the effective yield at the time of purchase.
(E) 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.
(F) 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.
(G) Zero coupon security. The rate reported on the Schedule of Investments is
the effective yield at time of purchase.
(H) Step Bonds -- The rate reflected on the Schedule of Investments is the
effective yield on May 31, 2007. The coupon on a step bond changes on a
specified date.
ARM -- Adjustable Rate Mortgage
Cl -- Class
CDO -- Collateralized Debt Obligation
CMO -- Collateralized Mortgage Obligation
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
IO -- Interest Only - Face Amount Represents Notional Amount
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.
- --------------------------------------------------------------------------------
212 SEI Institutional Investments Trust / Annual Report / May 31, 2007
Extended Duration Fund
May 31, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)++:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
46.0% Asset-Backed Securities
11.4% Financials
10.8% Commercial Paper
9.1% U.S. Government Agency Obligations
7.4% U.S. Government Agency Mortgage Backed Obligations
6.3% U.S. Treasury Obligations
4.4% Short-Term Investments
1.8% Industrials
1.6% Utilities
0.5% Consumer Discretionary
0.4% Telecommunication Services
0.3% Certificate of Deposit
++Percentages based on total investments.
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 51.6%
MORTGAGE RELATED SECURITIES -- 51.6%
Ace Securities, Ser WF1, Cl A2C (B)
5.660%, 06/25/07 $ 4,700 $ 4,711
American General Mortgage Loan
Trust, Ser 2006-1, Cl A1 (A) (B)
5.750%, 12/25/35 1,364 1,361
American Home Mortgage Assets,
Ser 2006-2, Cl 2A1 (B)
5.510%, 06/25/07 1,020 1,022
American Home Mortgage
Investment Trust, Ser 2007-2,
Cl 11A1 (B)
5.550%, 06/25/07 5,106 5,106
Asset-Backed Securities Home
Equity Loan Trust, Ser 2003-HE4,
Cl M2 (B)
7.320%, 06/15/07 1,887 1,892
Aviation Capital Group Trust,
Ser 2003-2A, Cl G2 (A) (B)
6.120%, 06/20/07 1,271 1,284
Bayview Commercial Asset Trust,
Ser 2005-1A, Cl A1 (A) (B)
5.620%, 06/25/07 4,642 4,642
Bayview Commercial Asset Trust,
Ser 2006-1A, Cl M3 (A) (B)
5.740%, 06/25/07 2,249 2,240
Bayview Commercial Asset Trust,
Ser 2007-1, Cl A1 (A) (B)
5.540%, 06/25/07 5,366 5,352
Bayview Commercial Asset Trust,
Ser 2007-2A, Cl A1 (A) (B)
5.590%, 07/25/37 5,500 5,500
Bayview Commercial Asset Trust,
Ser 2007-3, Cl A1 (A) (B)
5.560%, 07/25/37 6,500 6,500
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Bayview Financial Acquisition Trust,
Ser 2004-B, Cl A1 (A) (B)
5.820%, 06/28/07 $ 4,500 $ 4,500
Bayview Financial Acquisition Trust,
Ser 2005-A, Cl A1 (A) (B)
5.820%, 06/28/07 4,400 4,400
Bayview Financial Revolving
Mortgage Loan Trust, Ser 2005-E,
Cl A1 (A) (B)
5.820%, 06/28/07 3,200 3,200
Bear Stearns Asset-Backed Securities
Trust, Ser 2007-HE5, Cl 1A2 (B)
5.500%, 05/25/37 4,500 4,500
Carrington Mortgage Loan Trust,
Ser 2007-RFC1, Cl 1 (B)
5.370%, 06/25/07 2,710 2,709
Citigroup Mortgage Loan Trust,
Ser 2003-1, Cl WA2
6.500%, 06/25/31 167 168
Citigroup Mortgage Loan Trust,
Ser 2004-2, Cl 2A1 (A)
6.500%, 08/25/18 237 238
Citigroup Mortgage Loan Trust,
Ser 2007-WFH1, Cl A3 (B)
5.470%, 06/25/07 3,000 2,996
Continental Airlines, Ser 2002-1,
Cl G1 (B)
5.810%, 08/15/07 339 340
Countrywide Alternative Loan Trust,
Ser 2005-27, Cl 2A1 (B)
6.377%, 06/01/07 1,479 1,463
Countrywide Alternative Loan Trust,
Ser 2005-27, Cl 3A2 (B)
6.127%, 06/01/07 229 230
Countrywide Alternative Loan Trust,
Ser 2005-59, Cl 1A1 (B)
5.650%, 06/20/07 1,915 1,922
Countrywide Alternative Loan Trust,
Ser 2005-59, Cl 2X, IO (E)
1.710%, 06/01/07 6,152 206
Countrywide Alternative Loan Trust,
Ser 2005-61, Cl 2A1 (B)
5.600%, 06/25/07 854 855
Countrywide Alternative Loan Trust,
Ser 2005-72, Cl A1 (B)
5.590%, 06/27/07 1,652 1,652
Countrywide Alternative Loan Trust,
Ser 2006-OA11, Cl N1 (A)
6.000%, 09/25/46 731 728
Countrywide Alternative Loan Trust,
Ser 2006-OA12, Cl A2 (B)
5.530%, 06/20/07 5,167 5,182
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 213
SCHEDULE OF INVESTMENTS
Extended Duration Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Alternative Loan Trust,
Ser 2006-OA2, Cl X1P, IO
2.500%, 05/20/46 $ 11,187 $ 479
Countrywide Asset-Backed
Certificates, Ser 2003-BC1,
Cl M1 (B)
6.240%, 06/25/07 780 780
Countrywide Asset-Backed
Certificates, Ser 2004-13,
Cl AV2 (B)
5.580%, 06/27/07 304 304
Countrywide Asset-Backed
Certificates, Ser 2005-13,
Cl AF1 (B)
5.450%, 06/27/07 636 636
Countrywide Home Equity Loan Trust,
Ser 2005-M, Cl A2 (B)
5.440%, 06/15/07 779 779
Credit-Based Asset Servicing,
Ser 2005-CB5, Cl AF1 (B)
5.460%, 06/25/07 699 699
Credit-Based Asset Servicing,
Ser 2006-CB4, Cl AV3 (B)
5.470%, 06/25/07 4,750 4,732
Credit-Based Asset Servicing,
Ser 2007-CB2, Cl A2A (H)
5.891%, 02/25/37 3,944 3,936
DSLA Mortgage Loan Trust,
Ser 2004-AR1, Cl A2A (B)
5.730%, 06/19/07 205 205
DSLA Mortgage Loan Trust,
Ser 2005-AR4, Cl 2A1A (B)
5.580%, 06/21/07 1,166 1,170
Equifirst Mortgage Loan Trust,
Ser 2004-3, Cl A1 (B)
5.650%, 06/27/07 39 39
First Franklin Mortgage Loan Asset,
Ser 2006-FF17, Cl A6 (B)
5.630%, 06/25/07 4,700 4,697
First Franklin Mortgage Loan Asset,
Ser 2007-FF1, Cl A2D (B)
5.540%, 06/25/07 4,800 4,802
First Franklin Mortgage Loan Asset,
Ser 2007-FF2, Cl A2D (B)
5.540%, 06/25/07 2,800 2,788
GMAC Mortgage Loan Trust, Ser
2000-HE2, Cl A1 (B)
5.540%, 06/25/07 1,042 1,043
GSAMP Trust, Ser 2006-S6, Cl A2 (H)
5.552%, 10/25/36 4,000 3,990
GSR Mortgage Loan Trust,
Ser 2005-HEL1, Cl M2 (B)
6.050%, 06/29/07 2,400 2,388
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Greenpoint Mortgage Funding Trust,
Ser 2005-HE2, Cl A1 (B)
5.520%, 06/15/07 $ 205 $ 205
Harborview Mortgage Loan Trust,
Ser 2004-8, Cl 2A4A (B)
5.720%, 06/19/07 1,178 1,181
Harborview Mortgage Loan Trust,
Ser 2005-01, Cl X, IO (E)
1.435%, 06/01/07 1,732 36
Harborview Mortgage Loan Trust,
Ser 2005-10, Cl 2A1A (B)
5.630%, 06/21/07 1,139 1,142
Harborview Mortgage Loan Trust,
Ser 2005-10, Cl X, IO (B)
1.404%, 06/01/07 5,586 149
Harborview Mortgage Loan Trust,
Ser 2005-12, Cl X2B, IO (B)
1.209%, 06/01/07 6,406 151
Harborview Mortgage Loan Trust,
Ser 2006-1, Cl X1, IO (B)
1.748%, 03/19/37 10,504 432
Hasco NIM Trust, Ser 2006-FF11,
Cl A (A)
6.168%, 08/26/36 809 801
Home Equity Asset Trust,
Ser 2005-5, Cl 2A1 (B)
5.430%, 06/25/07 51 51
Home Equity Asset Trust,
Ser 2007-2, Cl 2A4 (B)
5.690%, 06/02/07 1,400 1,401
Home Equity Asset Trust,
Ser 2007-3, Cl 2A2 (B)
5.500%, 06/25/07 4,500 4,500
Indymac Home Equity Loan
Asset-Backed Trust, Ser 2002-A,
Cl M1 (B)
6.445%, 06/27/07 1,545 1,546
Indymac Index Mortgage Loan Trust,
Ser 2004-AR12, Cl A1 (B)
5.710%, 06/25/07 671 672
Indymac Index Mortgage Loan Trust,
Ser 2004-AR12, Cl AX2, IO
1.589%, 06/01/07 2,282 48
Indymac Index Mortgage Loan Trust,
Ser 2004-AR5, Cl 2A1B (B)
5.720%, 06/27/07 1,050 1,053
Indymac Index Mortgage Loan Trust,
Ser 2004-AR6, Cl 6A1 (B)
5.460%, 06/01/07 246 244
Indymac Index Mortgage Loan Trust,
Ser 2004-AR7, Cl A2 (B)
5.750%, 06/25/07 311 313
- --------------------------------------------------------------------------------
214 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Indymac Index Mortgage Loan Trust,
Ser 2004-AR8, Cl 2A2A (B)
5.720%, 06/27/07 $ 240 $ 242
Indymac Index Mortgage Loan Trust,
Ser 2005,AR18, Cl 2A1B (B)
6.100%, 06/25/07 590 595
Indymac Index Mortgage Loan Trust,
Ser 2005-AR18, Cl 2A1A (B)
5.630%, 06/25/07 2,247 2,250
Indymac Index Mortgage Loan Trust,
Ser 2006-AR2, Cl 1A1A (B)
5.540%, 06/25/07 2,449 2,451
Indymac Residential Asset Backed
Trust, Ser 2006-A, Cl A2 (B)
5.470%, 06/25/07 2,350 2,351
Inman Square Funding, Ser 2A,
Cl I (A) (B)
5.800%, 07/06/07 3,300 3,300
Irwin Home Equity, Ser 2003-A,
Cl M2 (B)
7.470%, 06/27/07 496 497
Lehman XS NIM Trust, Ser 2006-2N,
Cl A1 (A)
7.000%, 02/27/46 1,553 1,553
Lehman XS Trust, Ser 2006-12N,
Cl A1A1 (B)
5.400%, 06/25/07 1,244 1,244
Long Beach Asset Holdings,
Ser 2006-8, Cl N1 (A)
6.048%, 10/25/46 1,877 1,793
Long Beach Asset Holdings,
Ser 2006-9, Cl N1 (A)
6.250%, 10/25/46 1,375 1,320
Long Beach Mortgage Loan Trust,
Ser 2006-11, Cl 2A1 (B)
5.380%, 06/25/07 1,916 1,916
Master Alternative Loans Trust,
Ser 2003-3, Cl 2A1
8.500%, 05/25/33 197 199
Master Seasoned Securities Trust,
Ser 2005-1, Cl 4A1 (B)
5.831%, 06/25/07 1,066 1,075
Mid-State Trust, Ser 2004-1, Cl B
8.900%, 08/15/37 384 390
Morgan Stanley Capital I,
Ser 2002-HE3, Cl M1 (B)
6.420%, 06/26/07 2,893 2,896
NationStar NIM Trust, Ser 2007-B,
Cl A (A)
8.750%, 05/25/37 2,601 2,588
Nationstar Home Equity Loan Trust,
Ser 2006-B, Cl AV3 (B)
5.490%, 06/25/07 5,075 5,069
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Nationstar Home Equity Loan Trust,
Ser 2007-A, Cl AV4 (B)
5.550%, 06/25/07 $ 4,000 $ 4,005
Nationstar Home Equity Loan Trust,
Ser 2007-B, Cl 2AV4 (B)
5.686%, 06/25/07 4,240 4,242
Nomura Asset Acceptance, Ser
2006-S4, Cl AIO, IO (B)
10.000%, 08/25/36 9,167 782
Popular Asset-Backed Mortgage
Pass-Through Trust, Ser 2007-D,
Cl A1 (B)
5.380%, 06/25/07 1,728 1,727
Renaissance Home Equity Loan
Trust, Ser 2007-1, Cl N (A)
9.793%, 04/25/37 1,605 1,603
Residential Asset Mortgage Products,
Ser 2004-RS11, Cl A2 (B)
5.590%, 06/25/07 458 458
Residential Asset Securities,
Ser 2004-KS11, Cl AI2 (B)
5.590%, 06/27/07 196 196
Residential Funding Mortgage
Securities, Ser 1999-HI8, Cl AI7 (H)
7.970%, 11/25/29 267 266
Saco I Trust, Ser 2006-8,
Cl AIO, IO (A)
5.500%, 06/25/36 26,380 768
Saxon Asset Securities Trust,
Ser 2004-3, Cl A3 (B)
5.660%, 06/26/07 94 94
Saxon Asset Securities Trust,
Ser 2005-1, Cl M1 (B)
5.850%, 06/25/07 2,925 2,926
Soundview NIM Trust,
Ser 2007-OPT1, Cl N (A)
9.000%, 06/25/37 3,057 3,063
Structured Asset Investment Loan
Trust, Ser 2005-HE3, Cl A3 (B)
5.440%, 06/27/07 115 115
Structured Asset Mortgage
Investments, Ser 2006-AR1,
Cl 3A1 (B)
5.550%, 06/28/07 2,979 2,983
Structured Asset Mortgage
Investments, Ser 2006-AR5,
Cl 2A1 (B)
5.530%, 06/25/07 932 934
Terwin Mortgage Trust, Ser 2005-11,
Cl 1A1A (A) (H)
4.500%, 06/25/07 250 249
Terwin Mortgage Trust, Ser 2006-8,
Cl 2A1 (A) (B)
4.500%, 08/25/37 1,599 1,574
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 215
SCHEDULE OF INVESTMENTS
Extended Duration Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
UCFC Home Equity Loan,
Ser 1998-D, Cl MF1
6.905%, 04/15/30 $ 270 $ 269
Vertical CDO Ltd., Ser 2007-1A,
Cl A1 (A) (B)
6.090%, 06/10/07 1,850 1,726
Wachovia Bank Commercial
Mortgage Trust, Ser 2006-C25,
Cl AM (B)
5.951%, 06/01/07 3,620 3,652
Washington Mutual, Ser 2000-1,
Cl M2 (B)
6.620%, 06/25/07 536 536
Washington Mutual, Ser 2003-AR6,
Cl A1 (B)
4.332%, 06/01/07 1,520 1,520
Washington Mutual, Ser 2004-AR3,
Cl A2 (B)
4.243%, 06/25/34 1,088 1,067
Washington Mutual, Ser 2005-AR1,
Cl A2A2 (B)
5.570%, 06/25/07 89 89
Washington Mutual, Ser 2005-AR2,
Cl 2A21 (B)
5.650%, 06/25/07 893 896
Washington Mutual, Ser 2005-AR2,
Cl 2A22 (B)
5.540%, 06/25/07 74 74
Washington Mutual, Ser 2005-AR6,
Cl 2AB1 (B)
5.510%, 06/25/07 103 103
Washington Mutual, Ser 2006-AR9,
Cl 1XPP (E)
0.338%, 06/01/07 134,054 1,220
--------------
Total Asset-Backed Securities
(Cost $191,984) ($ Thousands) 191,157
--------------
CORPORATE OBLIGATIONS -- 17.6%
CONSUMER DISCRETIONARY -- 0.6%
Comcast (B)
5.656%, 07/16/07 1,100 1,101
Johnson Controls (B)
5.587%, 07/17/07 1,049 1,050
--------------
2,151
--------------
FINANCIALS -- 12.7%
Bank of America, Ser A (A)
8.070%, 12/31/26 3,428 3,566
Barrick Gold Finance
5.800%, 11/15/34 1,263 1,151
Capital One Financial MTN (B)
5.620%, 06/11/07 1,000 1,003
Countrywide Financial (B)
5.606%, 08/05/07 1,200 1,201
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Home Loans MTN,
Ser E
6.935%, 07/16/07 $ 597 $ 598
Credit Suisse First Boston London
(A) (B) (E)
0.000%, 06/24/07 1,988 1,817
Deutsche Bank Capital Funding
Trust (A) (B)
5.628%, 01/19/49 2,013 1,949
Deutsche Bank Luxembourg (A)
6.825%, 12/28/07 304 306
Developers Divers Realty+
3.875%, 01/30/09 1,700 1,654
Duke Realty+
6.750%, 05/30/08 1,125 1,134
Farmers Insurance Exchange (A)
8.625%, 05/01/24 175 207
First Union Institutional Capital I
8.040%, 12/01/26 1,250 1,301
Ford Motor Credit
8.355%, 08/02/07(B) 750 756
7.000%, 10/01/13 1,682 1,610
6.625%, 06/16/08 500 500
GMAC LLC (B)
7.560%, 06/25/07 982 1,016
HSBC Capital Trust II (A)
8.380%, 05/15/27 41 43
Lehman Brothers Holdings (B)
5.585%, 07/12/07 2,070 2,069
Lehman Brothers Holdings MTN (B)
8.920%, 08/16/07 756 735
5.579%, 07/18/07 990 991
Lehman Brothers Holdings MTN,
Ser H (B) (F)
0.000%, 11/30/07 861 778
Meridian Funding (A) (B)
5.560%, 07/06/07 128 128
Merrill Lynch MTN (B)
8.950%, 11/18/07 1,340 1,261
8.680%, 11/02/07 1,305 1,242
Nationwide Mutual Insurance (A)
6.600%, 04/15/34 522 504
Popular North America (B)
5.690%, 06/12/07 1,200 1,202
Power Receivables Financial (A)
6.290%, 01/01/12 276 279
Residential Capital (B)
6.725%, 06/29/07 1,700 1,701
6.460%, 08/22/07 1,700 1,701
Rosyln Bancorp
5.750%, 11/15/07 1,400 1,395
Security Benefit Life (A)
7.450%, 10/01/33 2,500 2,729
- --------------------------------------------------------------------------------
216 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Simon Property Group+
5.750%, 05/01/12 $ 1,130 $ 1,141
State Street Institutional Capital,
Cl B (A)
8.035%, 03/15/27 1,824 1,899
Toyota Motor Credit MTN (B)
8.000%, 10/24/07 2,041 1,980
UDR MTN, Ser E+
4.250%, 01/15/09 1,550 1,510
Woodbourne Pass-Through
Trust (A) (B)
6.420%, 06/08/07 700 705
ZFS Finance USA Trust V (A) (B)
6.500%, 05/09/37 825 814
Zurich Capital Trust I (A)
8.376%, 06/01/37 2,430 2,537
--------------
47,113
--------------
INDUSTRIALS -- 2.0%
America West Airlines, Ser 01-1
7.100%, 04/02/21 175 186
American Airlines, Ser AMBC
3.857%, 07/09/10 2,328 2,248
Cedar Brakes II LLC (A)
9.875%, 09/01/13 954 1,056
Continental Airlines, Ser 99-2
7.056%, 09/15/09 1,800 1,841
Continental Airlines, Ser AMBC
6.236%, 03/15/20 120 121
Viacom (B)
5.700%, 06/16/07 2,000 2,006
--------------
7,458
--------------
TELECOMMUNICATION SERVICES -- 0.5%
New England Telephone & Telegraph
7.650%, 06/15/07 1,786 1,787
--------------
UTILITIES -- 1.3%
Entergy Gulf States (B)
5.760%, 08/15/07 560 560
Power Contract Financing (A)
6.256%, 02/01/10 1,620 1,629
Progress Energy Florida, Cl A (B)
5.760%, 06/13/07 1,700 1,702
Sempra Energy (B)
5.830%, 08/21/07 870 870
--------------
4,761
--------------
UTILITIES -- 0.5%
TXU Electric Delivery (A) (B)
5.725%, 06/16/07 1,900 1,901
--------------
Total Corporate Obligations
(Cost $65,641) ($ Thousands) 65,171
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 10.2%
FHLB
5.505%, 04/30/09 $ 3,155 $ 3,154
5.500%, 05/29/09 6,915 6,917
FHLMC (E)
5.199%, 06/25/07 5,630 5,610
FHLMC CMO, Ser 2006-4, Cl WE
4.500%, 02/25/36 4,000 3,481
FHLMC CMO, Ser 2733, Cl SB (B)
3.222%, 06/15/07 6,460 4,611
FHLMC CMO, Ser 2748, Cl ZT
5.500%, 02/15/24 365 336
FHLMC CMO, Ser 3096, Cl FL (B)
5.720%, 06/15/07 5,013 5,022
FHLMC CMO, Ser 3152, Cl JF (B)
5.770%, 06/15/07 5,253 5,270
FNMA CMO, Ser 2001-48, Cl PD
6.500%, 06/25/20 245 246
FNMA CMO, Ser 2003-122, Cl ZQ
6.000%, 12/25/33 503 489
FNMA CMO, Ser 2003-33, Cl PC
4.500%, 03/25/27 40 40
FNMA CMO, Ser 2004-12, Cl ZX
6.000%, 03/25/34 458 443
FNMA CMO, Ser 2004-80, Cl XZ
5.000%, 11/25/34 125 97
GNMA CMO, Ser 2003-112,
Cl SG (B)
1.170%, 06/16/07 134 68
GNMA CMO, Ser 2003-86, Cl ZK
5.000%, 10/20/33 2,451 2,130
--------------
Total U.S. Government Agency Obligations
(Cost $37,890) ($ Thousands) 37,914
--------------
U.S. GOVERNMENT AGENCY
MORTGAGE-BACKED OBLIGATIONS -- 8.2%
FHLMC
6.500%, 08/01/29 631 637
FHLMC ARM
7.267%, 01/01/33 525 525
5.203%, 04/01/34 1,437 1,446
5.121%, 04/01/34 1,186 1,185
4.048%, 08/01/34 1,642 1,647
3.825%, 05/01/34 2,154 2,160
3.409%, 08/01/34 2,409 2,404
FNMA
7.000%, 04/01/34 720 741
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 217
SCHEDULE OF INVESTMENTS
Extended Duration Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
FNMA ARM
7.136%, 01/01/33 $ 651 $ 662
6.269%, 07/01/33 450 459
6.139%, 08/01/36 3,989 4,031
5.817%, 11/01/33 1,805 1,814
5.745%, 06/01/33 1,961 1,998
4.812%, 06/01/35 5,088 5,073
4.680%, 08/01/34 1,348 1,356
4.480%, 10/01/34 3,160 3,185
3.886%, 04/01/35 1,303 1,303
--------------
Total U.S. Government Agency
Mortgage-Backed Obligations
(Cost $30,422) ($ Thousands) 30,626
--------------
COMMERCIAL PAPER (D) -- 12.1%
HSBC Finance
5.070%, 06/22/07 8,500 8,474
Kitty Hawk Funding
5.270%, 06/25/07 2,700 2,690
5.250%, 06/18/07 5,900 5,885
National Rural Utilities
5.240%, 06/05/07 3,755 3,753
5.240%, 06/21/07 4,930 4,916
Park Avenue Receivables
5.260%, 06/26/07 8,575 8,544
Ranger Funding
5.250%, 06/08/07 7,530 7,522
Yorktown Capital
5.270%, 07/09/07 3,079 3,062
--------------
Total Commercial Paper
(Cost $44,846) ($ Thousands) 44,846
--------------
U.S. TREASURY OBLIGATION -- 7.1%
U.S. Treasury Bill (C) (D)
4.913%, 06/21/07 26,314 26,244
--------------
Total U.S. Treasury Obligation
(Cost $26,243) ($ Thousands) 26,244
--------------
CASH EQUIVALENT -- 4.9%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.330%*++ 18,212,830 18,213
--------------
Total Cash Equivalent
(Cost $18,213) ($ Thousands) 18,213
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT (B) -- 0.4%
JPMorgan Chase
8.750%, 08/28/07 $ 691 $ 685
7.590%, 06/28/07 735 692
--------------
Total Certificates of Deposit
(Cost $1,391) ($ Thousands) 1,377
--------------
Total Investments -- 112.1%
(Cost $416,630) ($ Thousands) $ 415,548
==============
A summary of the open futures contracts held by the Fund at May 31, 2007, is as
follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
NUMBER OF UNREALIZED
TYPE OF CONTRACTS EXPIRATION APPRECIATION
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
U.S. Long Treasury Bond 44 Sep-2007 $ 1
=======
A summary of outstanding swap agreements held by the Fund at May 31, 2007, is as
follows (see Note 2 in Notes to Financial Statements):
- -----------------------------------------------------------------------------------------------------------------------
INTEREST RATE SWAPS
- -----------------------------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- -----------------------------------------------------------------------------------------------------------------------
Pay fixed rate of 4.524% and receive floating rate, rate based on 5Y5Y
Swaption Straddle. (Counterparty: Lehman Brothers) 05/24/17 2,080 $ (8)
Pay fixed rate of 4.650% and receive floating rate, rate based on 5Y5Y
Swaption Straddle. (Counterparty: Lehman Brothers) 05/18/07 3,700 (48)
Receive fixed rate of 4.934% and pay floating rate, rate based on 3
Month LIBOR. (Counterparty: Lehman Brothers) 12/04/16 13,245 (357)
Receive fixed rate of 4.986% and pay floating rate, rate based on 3
Month LIBOR. (Counterparty: Deutsche Bank) 10/04/25 17,630 (1,227)
Receive fixed rate of 5.048% and pay floating rate, rate based on 3
Month LIBOR. (Counterparty: Salomon Brothers) 01/04/26 59,690 (3,023)
Receive fixed rate of 5.060% and pay floating rate, rate based on 3
Month LIBOR. (Counterparty: JPMorgan Chase) 12/04/26 28,410 (1,468)
Receive fixed rate of 5.060% and pay floating rate, rate based on 3
Month LIBOR. (Counterparty: Lehman Brothers) 12/04/26 65,000 (3,367)
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 (944)
Receive fixed rate of 5.095% and pay floating rate, rate based on 3
Month LIBOR. (Counterparty: JPMorgan Chase) 03/05/17 15,510 (432)
Receive fixed rate of 5.143% and pay floating rate, rate based on 3
Month LIBOR. (Counterparty: Deutsche Bank) 01/07/25 21,660 (798)
Receive fixed rate of 5.144% and pay floating rate, rate based on 3
Month LIBOR. (Counterparty: Salomon Brothers) 02/02/26 28,000 (1,102)
Receive fixed rate of 5.216% and pay floating rate, rate based on 3
Month LIBOR. (Counterparty: Barclays Capital) 04/04/25 49,000 (2,051)
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 (2,093)
Receive fixed rate of 5.216% and pay floating rate, rate based on 3
Month LIBOR. (Counterparty: Deutsche Bank) 04/04/25 43,000 (1,800)
Receive fixed rate of 5.233% and pay floating rate, rate based on 3
Month LIBOR. (Counterparty: Lehman Brothers) 03/02/27 58,600 (2,581)
Receive fixed rate of 5.234% and pay floating rate, rate based on 3
Month LIBOR. (Counterparty: JPMorgan Chase) 03/02/27 50,000 (2,194)
Receive fixed rate of 5.243% and pay floating rate, rate based on 3
Month LIBOR. (Counterparty: Salomon Brothers) 11/03/25 51,820 (2,069)
Receive fixed rate of 5.244% and pay floating rate, rate based on 3
Month LIBOR. (Counterparty: Barclays Capital) 11/03/25 51,820 (2,063)
- --------------------------------------------------------------------------------
218 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- -----------------------------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- -----------------------------------------------------------------------------------------------------------------------
Receive fixed rate of 5.289% and pay floating rate, rate based on 3
Month LIBOR. (Counterparty: Salomon Brothers) 10/03/26 25,615 $ (932)
Receive fixed rate of 5.364% and pay floating rate, rate based on 3
Month LIBOR. (Counterparty: Credit Suisse First Boston) 05/02/27 21,440 (602)
Receive fixed rate of 5.371% and pay floating rate, rate based on 3
Month LIBOR. (Counterparty: Credit Suisse First Boston) 04/03/27 20,800 (566)
Receive fixed rate of 5.399% and pay floating rate, rate based on 3
Month LIBOR. (Counterparty: Barclays Capital) 09/05/26 22,460 (521)
Receive fixed rate of 5.596% and pay floating rate, rate based on 3
Month LIBOR. (Counterparty: Barclays Capital) 06/04/27 24,900 --
Receive fixed rate of 5.652% and pay floating rate, rate based on 3
Month LIBOR. (Counterparty: Salomon Brothers) 08/02/26 14,135 295
Receive fixed rate of 5.807% and pay floating rate, rate based on 3
Month LIBOR. (Counterparty: Credit Suisse First Boston) 07/05/26 6,065 244
---------
$ (29,707)
=========
Percentages are based on Net Assets of $370,667 ($ Thousands).
* Rate shown is the 7-day effective yield as of May 31, 2007.
+ Real Estate Investment Trust
++ Affiliated security
(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 May 31, 2007. The date reported on the
Schedule of Investments is the next reset date.
(C) Security, or portion of this security, has been pledged as collateral on
open futures contracts.
(D) The rate reported is the effective yield at time of purchase.
(E) Zero coupon security. The rate reported on the Schedule of Investments is
the effective yield at time of purchase.
(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.
(H) Step Bonds -- The rate reflected on the Schedule of Investments is the
effective yield on May 31, 2007. The coupon on a step bond changes on a
specified date.
ARM -- Adjustable Rate Mortgage
CDO -- Collateralized Debt Obligation
Cl -- Class
CMO -- Collateralized Mortgage Obligation
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
IO -- Interest Only - Face Amount Represents Notional Amount
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.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 219
SCHEDULE OF INVESTMENTS
Emerging Markets Debt Fund
May 31, 2007
- --------------------------------------------------------------------------------
Sector Weightings (unaudited)++:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
80.0% Sovereign
6.6% Financials
3.6% Short-Term Investments
2.8% Deposits to Counterparty as Collateral for Swap Contracts
2.5% Energy
2.1% Time Deposits
0.9% Utilities
0.7% Commercial Paper
0.4% Telecommunication Services
0.1% Materials
0.1% Certificates of Deposit
0.1% Master Note
0.1% Asset-Backed Securities
0.0% Warrants
++Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 9).
- --------------------------------------------------------------------------------
Face Amount(1) Market Value
Description (Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
GLOBAL BONDS -- 88.5%
ARGENTINA -- 7.3%
Cia Transporte Energia
Registered (A)
8.875%, 12/15/16 390 $ 399
Province Del Neuquen (A)
8.656%, 10/18/14 230 238
Province of Buenos Aires (A)
9.620%, 04/18/28 1,460 1,453
Province of Buenos Aires Registered
9.375%, 09/14/18 440 438
2.000%, 05/15/35 (H) 1,100 519
0.000%, 04/18/28 335 331
Province of Mendoza Registered
5.500%, 09/04/18 110 94
Republic of Argentina
10.250%, 01/26/07 (I) EUR 850 404
9.000%, 11/19/08 (I) EUR 1,000 223
9.000%, 05/29/09 (I) EUR 1,375 614
8.798%, 12/15/35 (B) 1,600 232
8.500%, 07/01/04 (I) EUR 4,300 1,921
8.280%, 12/31/33 (C) 10,910 11,412
8.125%, 04/21/08 (I) EUR 2,000 915
7.820%, 12/31/33 EUR 214 282
7.446%, 12/15/35 (B) 8,265 1,302
5.475%, 08/03/07 (B) 1,175 861
5.475%, 08/03/07 (B) 15,150 11,105
2.977%, 12/31/33 (B) 2,550 1,263
1.330%, 12/31/38 (C) (H) 35,660 16,118
Republic of Argentina MTN,
Ser E (I)
10.000%, 01/07/05 EUR 1,650 786
9.250%, 07/20/04 EUR 2,100 951
8.750%, 02/04/49 EUR 4,725 2,162
7.000%, 03/18/49 EUR 2,300 1,047
Republic of Argentina VII
0.642%, 09/12/13 2,950 2,876
- --------------------------------------------------------------------------------
Face Amount(1) Market Value
Description (Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Transportadora Gas Norte (A) (H)
7.500%, 12/31/12 210 $ 205
6.500%, 12/31/12 40 38
Transportadora Gas Norte
Registered (H)
7.500%, 12/31/12 100 98
6.500%, 12/31/12 164 160
--------------
58,447
--------------
BAHAMAS -- 0.2%
Banco Votorantim Nassau (A) (E)
0.087%, 04/10/14 2,300 1,245
--------------
BELIZE -- 0.0%
Government of Belize Registered (H)
4.250%, 02/20/29 330 270
--------------
BERMUDA -- 0.1%
Critic Resources Finance (A)
6.750%, 05/15/14 250 247
Digicell Group (A)
8.875%, 01/15/15 450 446
--------------
693
--------------
BOSNIA-HERZEGOVINA -- 0.1%
Republic of Bosnia & Herzegovina,
Ser B (E)
9.810%, 12/11/17 EUR 2,000 1,063
--------------
BRAZIL -- 10.1%
Cesp-Comp Ener Sao Paulo (A)
9.750%, 01/15/15 BRL 1,050 630
Federal Republic of Brazil
12.500%, 01/05/22 BRL 8,240 5,654
11.000%, 08/17/40 25,025 33,533
10.250%, 01/10/28 4,800 2,884
10.125%, 05/15/27 2,900 4,241
8.875%, 10/14/19 200 250
8.750%, 02/04/25 5,893 7,608
8.250%, 01/20/34 2,250 2,869
8.000%, 01/15/18 3,920 4,379
7.125%, 01/20/37 (C) 12,420 14,003
6.000%, 01/17/17 4,715 4,746
--------------
80,797
--------------
CAYMAN ISLANDS -- 0.5%
Banco Safra (A) (E)
0.075%, 04/03/17 2,250 1,224
Blue City Investments
13.750%, 11/07/13 500 500
Earls Eight (A) (H)
7.500%, 12/31/12 350 340
- --------------------------------------------------------------------------------
220 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Face Amount(1) Market Value
Description (Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Interoceanica IV Finance (A) (E)
3.783%, 11/30/25 800 $ 391
3.611%, 11/30/18 370 240
Peru Enhanced Pass-Thru (A) (E)
5.815%, 05/31/25 250 100
3.905%, 05/31/18 1,175 799
Vale Overseas
6.875%, 11/21/36 185 190
6.250%, 01/23/17 70 70
--------------
3,854
--------------
CHILE -- 0.5%
Codelco
5.500%, 10/15/13 575 571
Republic of Chile
5.500%, 01/15/13 3,665 3,672
--------------
4,243
--------------
COLOMBIA -- 5.0%
BanColombia (E)
0.135%, 05/25/17 235 235
Republic of Colombia
12.000%, 10/22/15 COP 4,527,000 2,759
11.750%, 02/25/20 6,233 9,287
10.750%, 01/15/13 (C) 638 791
10.375%, 01/28/33 2,865 4,283
8.250%, 12/22/14 1,540 1,767
8.125%, 05/21/24 (C) 10,295 12,344
7.375%, 01/27/17 3,435 3,777
7.375%, 09/18/37 4,030 4,505
7.160%, 08/16/07 (B) 225 244
--------------
39,992
--------------
CYPRUS -- 0.2%
Springvale Holdings (B)
11.389%, 09/07/07 1,000 1,000
Teorema Holding
9.000%, 10/27/08 600 603
--------------
1,603
--------------
DOMINICAN REPUBLIC -- 0.3%
Republic of Dominican Republic
9.040%, 01/23/18 410 473
8.625%, 04/20/27 1,250 1,480
--------------
1,953
--------------
- --------------------------------------------------------------------------------
Face Amount(1) Market Value
Description (Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ECUADOR -- 0.8%
Republic of Ecuador Registered
10.000%, 08/15/07 (H) 2,085 $ 1,845
9.375%, 12/15/15 (C) 5,125 4,843
--------------
6,688
--------------
EL SALVADOR -- 2.0%
Republic of El Salvador
8.250%, 04/10/32 6,090 7,536
7.750%, 01/24/23 1,760 2,046
7.650%, 06/15/35 5,364 6,249
--------------
15,831
--------------
HUNGARY -- 0.3%
Republic of Hungary
6.500%, 08/12/09 HUF 493,350 2,619
--------------
INDONESIA -- 2.8%
Indosat Finance
7.125%, 06/22/12 1,000 1,014
Republic of Indonesia
10.250%, 07/15/27 IDR 35,537,000 4,224
8.500%, 10/12/35 1,560 1,927
7.500%, 01/15/16 1,340 1,472
7.500%, 01/15/16 (A) 2,200 2,420
7.250%, 04/20/15 200 216
7.250%, 04/20/15 (A) (C) 3,470 3,744
6.875%, 03/09/17 1,300 1,378
6.750%, 03/10/14 2,760 2,880
6.625%, 02/17/37 1,450 1,446
6.625%, 02/17/37 (A) 1,625 1,619
--------------
22,340
--------------
IRAQ -- 0.8%
Republic of Iraq
5.800%, 01/15/28 9,450 6,018
--------------
IRELAND -- 0.1%
Dal Capital (Vneshtorgbk)
7.000%, 04/13/09 RUB 18,000 706
--------------
JERSEY -- 0.2%
Aldar Funding
5.767%, 11/10/11 550 681
UBS Jersey Branch MTN (A) (B)
0.785%, 11/01/13 1,180 1,270
--------------
1,951
--------------
LEBANON -- 0.1%
Lebanese Republic Registered
8.250%, 04/12/21 760 718
--------------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 221
SCHEDULE OF INVESTMENTS
Emerging Markets Debt Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount(1) Market Value
Description (Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
LUXEMBOURG -- 1.5%
Alfa Dividend Payment Rights
Finance (A) (B)
7.255%, 06/15/07 447 $ 447
Gaz Capital for Gazprom Registered
9.625%, 03/01/13 1,100 1,290
8.625%, 04/28/34 5,150 6,625
Kuznetski (Bank of Moscow) (H)
7.500%, 11/25/15 1,000 1,027
RSHB Captl
7.175%, 05/16/13 250 264
6.299%, 05/15/17 (A) 2,120 2,126
UBS (Vimpelcom)
8.250%, 05/23/16 490 526
--------------
12,305
--------------
MALAYSIA -- 2.5%
Bank Megara Monetary Note (E)
3.159%, 11/01/07 MYR 10,100 2,931
Government of Malaysia
7.500%, 07/15/11 4,250 4,560
3.814%, 02/15/17 9,635 2,927
3.502%, 05/31/27 MYR 10,100 2,919
Petronas Capital Registered
7.875%, 05/22/12 900 1,089
7.875%, 05/22/22 4,390 5,300
--------------
19,726
--------------
MEXICO -- 6.8%
Mexican Bonos, Ser M20
8.000%, 12/07/23 MXP 56,383 5,469
Pemex Project Funding
Master Trust
9.500%, 09/15/27 (A) 1,800 2,489
8.625%, 02/01/22 300 378
7.375%, 12/15/14 530 586
United Mexican States
8.125%, 12/30/19 2,360 2,879
7.500%, 04/08/33 4,780 5,774
6.625%, 03/03/15 9,130 9,783
5.625%, 01/15/17 1,050 1,052
United Mexican States MTN
8.300%, 08/15/31 7,325 9,559
6.375%, 01/16/13 1,317 1,374
United Mexican States MTN, Ser A
6.750%, 09/27/34 13,363 14,873
United Mexican States MTN,
Ser E
0.006%, 05/08/17 EUR 5,000 5
--------------
54,221
--------------
- --------------------------------------------------------------------------------
Face Amount(1) Market Value
Description (Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
NETHERLANDS -- 0.7%
HSBK Europe
7.250%, 05/03/17 300 $ 298
ING Bank MTN, Ser E
9.625%, 05/30/08 600 602
Kazkommerts International (A)
7.500%, 11/29/16 400 385
Kazkommerts International
Registered (A)
7.500%, 11/29/16 800 768
Majapahti Holding (A)
7.750%, 10/17/16 1,500 1,584
7.250%, 10/17/11 885 915
White Nights Belagroprom Bank (B)
0.000%, 06/15/07 1,010 1,360
--------------
5,912
--------------
PAKISTAN -- 0.2%
Pakistan Mobile Communications (A)
8.625%, 11/13/13 330 342
Republic of Pakistan
7.875%, 03/31/36 320 335
7.125%, 03/31/16 (A) 1,150 1,167
--------------
1,844
--------------
PANAMA -- 2.0%
Republic of Panama
9.375%, 04/01/29 1,795 2,443
8.875%, 09/30/27 3,875 5,018
7.250%, 03/15/15 (C) 4,125 4,476
6.700%, 01/26/36 4,010 4,210
--------------
16,147
--------------
PERU -- 2.7%
Republic of Peru
8.750%, 11/21/33 1,480 1,968
8.375%, 05/03/16 1,000 1,183
7.350%, 07/21/25 7,480 8,621
Republic of Peru FLIRB, Ser 20YR
6.143%, 09/07/07 1,004 1,006
6.143%, 09/07/07 (B) 7,891 7,891
5.000%, 03/07/17 611 611
--------------
21,280
--------------
PHILIPPINES -- 7.4%
DMCI Water (J)
0.000%, 12/31/09 1,492 1,492
National Power
9.625%, 05/15/28 1,100 1,400
6.875%, 11/02/16 (A) 870 892
- --------------------------------------------------------------------------------
222 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Face Amount(1) Market Value
Description (Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Republic of Philippines
10.625%, 03/16/25 5,800 $ 8,388
9.875%, 01/15/19 500 655
9.500%, 10/21/24 200 262
9.500%, 02/02/30 (C) 14,850 19,862
9.375%, 01/18/17 (C) 5,315 6,551
8.250%, 01/15/14 1,960 2,198
8.000%, 01/15/16 1,180 1,330
7.750%, 01/14/31 (C) 9,171 10,414
7.500%, 09/25/24 (C) 4,284 4,777
6.375%, 01/15/32 (C) 1,300 1,269
--------------
59,490
--------------
POLAND -- 0.3%
Government of Poland
5.250%, 01/15/14 2,635 2,606
--------------
RUSSIA -- 12.2%
Kazan Orgsintez
9.250%, 10/30/11 330 335
Lukoil International Finance
6.656%, 06/07/22 205 205
Russian Federation Registered
12.750%, 06/24/28 480 869
12.750%, 06/24/28 5,790 10,479
7.500%, 03/31/30 (H) 77,068 86,431
--------------
98,319
--------------
SOUTH AFRICA -- 0.8%
Republic of South Africa
6.500%, 06/02/14 5,515 5,798
5.875%, 05/30/22 930 910
--------------
6,708
--------------
SUPRA-NATIONAL -- 0.5%
European Investment Bank
10.000%, 01/28/11 3,630 2,376
International Bank Reconstruction &
Development MTN, Ser G (E)
0.198%, 05/09/17 2,500 1,889
--------------
4,265
--------------
THAILAND -- 0.1%
True Move (A)
10.750%, 12/16/13 850 910
--------------
TUNISIA -- 0.1%
Banque Centrale de Tunisie
8.250%, 09/19/27 420 510
7.375%, 04/25/12 525 566
--------------
1,076
--------------
- --------------------------------------------------------------------------------
Face Amount(1) Market Value
Description (Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
TURKEY -- 5.5%
Republic of Turkey
11.875%, 01/15/30 6,225 $ 9,695
10.000%, 02/15/12 550 442
9.500%, 01/15/14 1,600 1,866
8.000%, 02/14/34 1,300 1,436
7.375%, 02/05/25 7,660 7,941
7.250%, 03/15/15 3,580 3,746
7.000%, 09/26/16 1,285 1,317
7.000%, 06/05/20 2,700 2,749
6.875%, 03/17/36 9,150 8,858
1.539%, 01/19/11 (E) 8,795 6,434
--------------
44,484
--------------
UKRAINE -- 2.3%
Government of Ukraine Registered
7.650%, 06/11/13 (C) 5,425 5,879
6.875%, 03/04/11 400 415
6.875%, 03/04/11 (A) 3,825 3,957
6.580%, 11/21/16 2,950 2,996
6.580%, 11/21/16 (A) 4,705 4,770
Naftogaz Ukrainy
8.125%, 09/30/09 600 604
--------------
18,621
--------------
UNITED KINGDOM -- 0.5%
Barclays Bank (A) (B)
0.000%, 07/17/22 674 841
Credit Suisse First Boston
International (Export/Import -
Ukraine)
6.800%, 10/04/12 550 546
Credit Suisse First Boston for the City
of Kiev
8.000%, 11/06/15 750 790
JPMorgan Chase Bank London
10.250%, 07/19/27 IDR 5,065,000 605
Standard Bank MTN, Ser E (B)
0.000%, 07/20/09 509 526
UK Private Bank (A)
8.000%, 02/06/12 800 799
--------------
4,107
--------------
UNITED STATES -- 0.2%
Citigroup Funding (A)
6.000%, 05/18/15 700 720
DST
10.750%, 03/01/09 1,100 1,100
--------------
1,820
--------------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 223
SCHEDULE OF INVESTMENTS
Emerging Markets Debt Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount(1) Market Value
Description (Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
URUGUAY -- 3.6%
Republic of Uruguay
9.250%, 05/17/17 5,450 $ 6,731
8.000%, 11/18/22 11,587 13,498
7.625%, 03/21/36 700 793
7.500%, 03/15/15 1,475 1,611
5.000%, 09/14/18 UYU 52,870 2,610
Republic of Uruguay PIK
7.875%, 01/15/33 2,700 3,143
4.875%, 01/15/33 400 466
--------------
28,852
--------------
VENEZUELA -- 7.2%
Government of Venezuela
13.625%, 08/15/18 1,200 1,734
10.750%, 09/19/13 6,775 7,886
9.375%, 01/13/34 3,170 3,685
9.250%, 09/15/27 20,680 23,916
8.500%, 10/08/14 6,915 7,347
7.650%, 04/21/25 385 386
6.000%, 12/09/20 3,450 3,045
5.750%, 02/26/16 (C) 8,175 7,317
Government of Venezuela Registered
7.000%, 12/01/18 500 482
Petroleos De Venezuela
5.375%, 04/12/27 2,355 1,687
--------------
57,485
--------------
Total Global Bonds
(Cost $683,658) ($ Thousands) 711,209
--------------
DEPOSIT WITH COUNTERPARTY AS COLLATERAL FOR
SWAP CONTRACTS (G) -- 2.9%
UNITED STATES -- 2.9%
Deposits with Credit Suisse First
Boston as Collateral for Swap
Contracts Outstanding TRY 1,285 974
Deposits with Credit Suisse First
Boston as Collateral for Swap
Contracts Outstanding 600 600
Deposits with Credit Suisse First
Boston as Collateral for Swap
Contracts Outstanding 600 600
Deposits with Credit Suisse First
Boston as Collateral for Swap
Contracts Outstanding 940 940
Deposits with Credit Suisse First
Boston as Collateral for Swap
Contracts Outstanding 940 940
Deposits with Credit Suisse First
Boston as Collateral for Swap
Contracts Outstanding 2,400 2,400
- --------------------------------------------------------------------------------
Face Amount(1) Market Value
Description (Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Deposits with Goldman Sachs as
Collateral for Swap Contracts
Outstanding BRL 3,752 $ 1,944
Deposits with HSBC as Collateral
for Swap Contracts Outstanding TRY 8,048 6,098
Deposits with JPMorgan Chase as
Collateral for Swap Contracts
Outstanding 2,992 2,992
Deposits with JPMorgan Chase as
Collateral for Swap Contracts
Outstanding 1,047 1,047
Deposits with Merrill Lynch as
Collateral for Swap Contracts
Outstanding 243 243
Deposits with Standard Bank as
Collateral for Swap Contracts
Outstanding 4,500 4,500
Deposits with Standard Bank as
Collateral for Swap Contracts
Outstanding 175 175
Deposits with Standard Bank as
Collateral for Swap Contracts
Outstanding 72 71
--------------
Total Deposit with Counterparty as
Collateral for Swap Contracts
(Cost $23,322) ($ Thousands) 23,524
--------------
CORPORATE OBLIGATIONS (D) -- 1.8%
UNITED STATES -- 1.8%
American General Finance (A) (B)
5.370%, 06/15/07 1,091 1,091
Bear Stearns EXL (B)
5.360%, 06/15/07 1,339 1,339
Countrywide Financial Services
MTN (B)
5.430%, 06/27/07 451 451
Countrywide Financial Services MTN,
Ser A (B)
5.440%, 08/06/07 1,128 1,128
Irish Life & Permanent MTN, Ser X
(A) (B)
5.360%, 06/21/07 1,000 1,000
Jackson National Life Funding (A) (B)
5.320%, 06/01/07 1,655 1,655
Morgan Stanley EXL (B)
5.400%, 06/04/07 263 263
Morgan Stanley EXL, Ser S (B)
5.360%, 06/04/07 376 376
Nationwide Building Society (A) (B)
5.410%, 06/28/07 414 414
5.370%, 06/07/07 752 752
Northern Rock (A) (B)
5.380%, 06/04/07 775 775
- --------------------------------------------------------------------------------
224 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Face Amount(1) Market Value
Description (Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Premium Asset Trust, Ser 2004-10
(A) (B)
5.380%, 06/15/07 1,053 $ 1,053
SLM EXL MTN (B)
5.320%, 06/15/07 828 828
Skandinav Enskilda Bank (A) (B)
5.320%, 06/18/07 827 828
Stanfield Victoria MTN (A)
5.450%, 06/11/07 752 752
UniCredito Italiano Bank (A) (B)
5.350%, 07/11/07 1,881 1,881
--------------
Total Corporate Obligations
(Cost $14,586) ($ Thousands) 14,586
--------------
ASSET-BACKED SECURITY (A) (B) (D) -- 0.1%
UNITED STATES -- 0.1%
Duke Funding, Ser 2004-6B,
Cl A1S1
5.420%, 07/09/07 564 564
--------------
Total Asset-Backed Security
(Cost $564) ($ Thousands) 564
--------------
LOAN PARTICIPATIONS -- 1.4%
INDONESIA -- 0.3%
Star Energy Mezzanine Note
0.000%, 04/01/08 2,300 2,300
--------------
NIGERIA -- 0.0%
PPMC GTEE Note (J) (K)
0.000%, 09/27/07 270 270
--------------
TURKEY -- 1.0%
Cukurova, Ser A
0.000%, 05/01/08 4,450 4,450
Cukurova, Ser B
0.000%, 05/01/12 3,850 3,850
--------------
8,300
UNITED STATES -- 0.1%
Baja Ferries
5.100%, 01/26/17 313 313
--------------
Total Loan Participations
(Cost $11,183) ($ Thousands) 11,183
--------------
Number of
Warrants
---------
WARRANTS -- 0.0%
CYPRUS -- 0.0%
Teorema Holding, Expires 10/27/09* -- --
--------------
- --------------------------------------------------------------------------------
Face Amount(1)/Shares Market Value
Description (Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MEXICO -- 0.0%
United Mexican States,
Expires 09/24/2007 140,000 $ 115
--------------
Total Warrants
(Cost $150) ($ Thousands) 115
--------------
CASH EQUIVALENT (D) -- 2.5%
UNITED STATES -- 2.5%
SEI Liquidity Fund, L.P.,
5.490%**+ 20,310,000 20,310
--------------
Total Cash Equivalents
(Cost $20,310) ($ Thousands) 20,310
--------------
TIME DEPOSITS -- 2.2%
UNITED STATES -- 2.2%
Brown Brothers Harriman
7.750%, 06/01/07 17,508 17,508
3.030%, 06/01/07 EUR 4 6
--------------
Total Time Deposits
(Cost $17,514) ($ Thousands) 17,514
--------------
U.S. TREASURY OBLIGATION (C) (E) (L) -- 1.4%
U.S. Treasury Bills
5.053%, 08/23/07 11,700 11,576
--------------
Total U.S. Treasury Obligation
(Cost $11,567) ($ Thousands) 11,576
--------------
COMMERCIAL PAPER (D) (E) -- 0.7%
UNITED STATES -- 0.7%
KKR Pacific Funding Trust
5.310%, 06/15/07 1,361 1,359
OCALA Funding LLC
5.310%, 06/19/07 564 563
Rhineland Funding Capital
5.280%, 06/06/07 276 276
Thornburg Mortgage Capital
Resources
5.290%, 06/07/07 1,504 1,503
Valour Bay Capital LLC
5.320%, 06/11/07 614 613
5.320%, 06/13/07 1,128 1,126
--------------
Total Commercial Paper
(Cost $5,440) ($ Thousands) 5,440
--------------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 225
SCHEDULE OF INVESTMENTS
Emerging Markets Debt Fund (Continued)
May 31, 2007
- --------------------------------------------------------------------------------
Face Amount(1) Market Value
Description (Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT (D) -- 0.1%
UNITED STATES -- 0.1%
Barclays Bank (B)
5.440%, 06/11/07 376 $ 376
CC USA (A)
5.520%, 06/18/07 752 752
--------------
Total Certificates of Deposit
(Cost $1,128) ($ Thousands) 1,128
--------------
MASTER NOTE (D) (E) -- 0.1%
Bear Stearns
5.430%, 06/01/07 752 752
--------------
Total Master Note
(Cost $752) ($ Thousands) 752
--------------
REPURCHASE AGREEMENTS (D) (F) -- 1.2%
Barclays Capital
5.280%, dated 05/31/07, to be
repurchased on 06/01/07,
repurchase price $259,302
(collateralized by a U.S. Government
obligation, par value $264,477,
0.000%, 06/01/07,
total market value $264,450) 259 259
Deutsche Bank
5.300%, dated 05/31/07, to be
repurchased on 06/01/07,
repurchase price $740,313
(collateralized by U.S. Government
obligations, ranging in par value
$4,092-$243,716, 4.000%-6.000%,
02/01/08-11/04/20,
total market value $755,011) 740 740
Lehman Brothers
5.300%, dated 05/31/07,
to be repurchased on 06/01/07,
repurchase price $8,275,521
(collateralized by U.S.
Government obligations,
ranging in par value
$1,748,157- $14,327,039,
3.875%-8.875%, 06/15/08-
03/15/31, total market value
$8,439,798) 8,274 8,274
--------------
Total Repurchase Agreements
(Cost $9,273) ($ Thousands) 9,273
--------------
Total Investments -- 102.9%
(Cost $799,447) ($ Thousands) $ 827,174
==============
A summary of the open futures contracts held by the Fund at May 31, 2007, is as
follows (See Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
NUMBER OF UNREALIZED
TYPE OF CONTRACTS EXPIRATION APPRECIATION
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
U.S. Long Treasury Bond (53) Jun-2007 $ 161
========
A summary of the outstanding forward foreign currency contracts held by the Fund
at May 31, 2007, is as follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
CURRENCY CURRENCY APPRECIATION
MATURITY TO DELIVER TO RECEIVE (DEPRECIATION)
DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
6/4/07 BRL 24,417 USD 12,531 $ (117)
6/4/07-7/3/07 USD 19,129 BRL 38,203 639
6/4/07-7/26/07 TRY 5,891 USD 4,313 (122)
6/19/07 USD 4,500 MXP 49,523 105
6/28/07 PLZ 8,808 USD 3,059 (51)
6/28/07-7/23/07 USD 12,513 PLZ 35,214 (80)
6/29/07-10/19/07 EUR 12,952 USD 17,644 147
7/10/07 USD 148 NGN 19,272 3
7/16/07-10/25/07 USD 3,649 RUB 95,127 35
7/18/07 USD 5,300 HUF 965,763 (109)
7/26/07 USD 1,800 TRY 2,572 117
---------
$ 567
=========
A summary of outstanding swap agreements held by the Fund at February 28, 2007,
is as follows:
- -----------------------------------------------------------------------------------------------------------
TOTAL RETURN SWAPS
- -----------------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- -----------------------------------------------------------------------------------------------------------
Receive 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 $ 47
Receive 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: JPMorgan Chase) 08/15/10 BRL 4,450 477
Receive 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: JPMorgan Chase) 05/15/11 BRL 1,577 156
Receive 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: Goldman Sachs) 01/01/17 BRL 3,700 22
Receive 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) 01/04/08 NGN 24,630 9
Receive 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) 12/20/08 NGN 9,152 7
Receive payment at maturity on the Gazprom 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) 05/17/08 4,500 --
- --------------------------------------------------------------------------------
226 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- -----------------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- -----------------------------------------------------------------------------------------------------------
Receive payment at maturity on the Turkish TRY 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: Credit Suisse First Boston) 03/07/12 TRY 1,300 $ 66
Receive payment at maturity on the Turkish TRY 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: HSBC Bank) 03/07/12 8,300 538
---------
$ 1,322
=========
- -----------------------------------------------------------------------------------------------------------
CREDIT DEFAULT SWAPS
- -----------------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- -----------------------------------------------------------------------------------------------------------
Fund receives quarterly payment of 0.4000%(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 $ 26
Fund receives semi-annual payment of 2.8750%(5.750% per
annum) times 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 47
Fund receives semi-annual payment of 2.8750%(5.750% per
annum) times 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 72
Fund receives semi-annual payment of 2.8750%(5.750% per
annum) times 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) 12/20/09 2,400 221
Fund receives semi-annual payment of 2.6000%(5.200% per
annum) times 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) 02/20/12 600 46
Fund receives semi-annual payment of 0.8100%(1.620% per
annum) times the notional amount of Republic of Turkey,
11.875%,01/15/30. Upon a defined credit event, Fund pays
the notional amount and takes receipt of the defined
deliverable obligation. (Counterparty: JPMorgan Chase) 02/12/12 8,000 140
Fund receives semi-annual payment of 0.9600%(1.920% per
annum) times the notional amount of Republic of Turkey,
11.875%,01/15/30. Upon a defined credit event, Fund pays
the notional amount and takes receipt of the defined
deliverable obligation. (Counterparty: JPMorgan Chase) 03/20/12 3,400 96
---------
$ 648
=========
- -----------------------------------------------------------------------------------------------------------
INTEREST RATE SWAPS
- -----------------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- -----------------------------------------------------------------------------------------------------------
Receive fixed rate of 10.880% and pay floating rate, rate
based on BRL CDI Index. (Counterparty: Lehman Brothers) 01/02/12 BRL 4,400 $ 37
Receive fixed rate of 11.093% and pay floating rate, rate
based on BRL CDI Index. (Counterparty: Lehman Brothers) 01/02/12 BRL 11,800 131
---------
$ 168
=========
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
Percentages are based on Net Assets of $804,036 ($ Thousands).
* Non-Income Producing Security
** Rate shown is the 7-day effective yield as of May 31, 2007.
+ Affiliated 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 May 31, 2007. The date reported on the
Schedule of Investments is the next reset date.
(C) This security or a partial position of this security is on loan at May 31,
2007 (see Note 9). The total value of securities on loan at May 31, 2007
was $49,859 ($Thousands).
(D) This security was purchased with cash collateral held from securities on
loan (see Note 9). The total value of such securities as of May 31, 2007
was $52,053 ($ 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 May 31, 2007. 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
May 31, 2007 was $1,762 ($ Thousands) and represented 0.22% 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 May 31, 2007 was $270 ($ Thousands) and represented 0.03%
of net assets.
(L) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
BRL -- Brazilian Real
Cl -- Class
COP -- Chilean Peso
EUR -- Euro
EXL -- Extendable Maturity
FLIRB -- Front Loaded Interest Reduction Bond
HUF -- Hungarian Forint
IDR -- Indonesian Rupiah
LLC -- Limited Liability Company
LP -- Limited Partnership
MTN -- Medium Term Note
MXP -- Mexican Peso
MYR -- Malaysian Ringgit
NGN -- Nigerian Naira
PIK -- Payment-in-Kind
PLZ -- Polish Zloty
RUB -- Russian Ruble
Ser -- Series
TRY -- New Turkish Lira
USD -- U.S. Dollar
UYU -- Uruguay Peso
Amounts designated as "--" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 227
SCHEDULE OF INVESTMENTS
Real Return Plus Fund
May 31, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)++:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
98.3% U.S. Treasury Obligations
1.7% Short-Term Investments
++Percentages based on total investments.
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 96.2%
U.S. Treasury Bills (A) (C)
4.974%, 06/07/07 $ 9,083 $ 9,076
4.905%, 07/19/07 1,495 1,485
U.S. Treasury Bonds (B)
2.500%, 07/15/16 16,878 16,874
2.375%, 04/15/11 18,690 18,584
2.000%, 07/15/14 to 01/15/16 40,106 38,688
1.875%, 07/15/13 to 07/15/15 18,388 17,725
0.875%, 04/15/10 15,760 15,018
U.S. Treasury Notes (B)
4.250%, 01/15/10 390 408
3.875%, 01/15/09 17,754 18,104
3.500%, 01/15/11 393 407
3.375%, 01/15/12 5,312 5,514
3.000%, 07/15/12 27,552 28,245
2.375%, 01/15/17 12,703 12,542
2.000%, 04/15/12 to 01/15/14 14,720 14,264
1.625%, 01/15/15 17,425 16,351
--------------
Total U.S. Treasury Obligations
(Cost $215,970) ($ Thousands) 213,285
--------------
CASH EQUIVALENT -- 1.7%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.330%*+ 3,701,081 3,701
--------------
Total Cash Equivalent
(Cost $3,701) ($ Thousands) 3,701
--------------
Total Investments -- 97.9%
(Cost $219,671) ($ Thousands) $ 216,986
==============
A summary of the open futures contracts held by the Fund at May 31, 2007, is as
follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
NUMBER OF APPRECIATION
TYPE OF CONTRACTS EXPIRATION (DEPRECIATION)
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
Australia 10 Year Bond Index (117) Jun-2007 $ 194
Amsterdam Index 22 Jun-2007 61
CAC40 10 Euro (40) Jun-2007 (64)
Canadian 10 Year Bond Index (198) Sep-2007 86
DAX Index (1) Jun-2007 45
DJ Euro Stoxx 50 Index (8) Jun-2007 (17)
Euro-Bond 55 Jun-2007 (67)
Euro-Schatz (136) Jun-2007 5
FTSE 100 Index (50) Jun-2007 (401)
IBEX 35 Plus Index (10) Jun-2007 (65)
Hang Seng Index 46 Jun-2007 29
Japan 10 Year Bond Index 12 Jun-2007 (153)
Long Gilt 10 Year Index 41 Sep-2007 (17)
S&P 500 Index 24 Jun-2007 592
S&P/MIB Index -- Jun-2007 4
S&P/TSE 60 Index (23) Jun-2007 (144)
SPI 200 Index (36) Jun-2007 (316)
Topix Index 13 Jun-2007 112
U.S. 10 Year Treasury Note 76 Sep-2007 (21)
U.S. Long Treasury Bond 46 Sep-2007 (22)
----------
$ (159)
==========
A summary of the outstanding forward foreign currency contracts held by the Fund
at May 31, 2007, is as follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
CURRENCY CURRENCY APPRECIATION
MATURITY TO DELIVER TO RECEIVE (DEPRECIATION)
DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
6/20/07 HKD 403 USD 52 $ --
6/20/07 JPY 2,879,422 USD 24,430 727
6/20/07 NOK 9,515 USD 1,592 15
6/20/07 USD 1,575 DKK 8,648 (12)
6/20/07 USD 52 HKD 403 --
6/20/07 USD 1,632 NOK 10,011 28
6/20/07 USD 6,563 SEK 44,898 (59)
6/20/07 USD 2,509 SGD 3,819 (8)
6/20/07-9/19/07 AUD 13,108 USD 10,768 (69)
6/20/07-9/19/07 CAD 17,872 USD 15,984 (762)
6/20/07-9/19/07 CHF 33,007 USD 27,238 197
6/20/07-9/19/07 EUR 7,926 USD 10,579 (96)
6/20/07-9/19/07 GBP 3,449 USD 6,763 (58)
6/20/07-9/19/07 NZD 19,606 USD 14,144 (287)
6/20/07-9/19/07 SEK 63,298 USD 9,160 (22)
6/20/07-9/19/07 USD 15,958 AUD 20,239 772
6/20/07-9/19/07 USD 11,585 CAD 12,600 218
6/20/07-9/19/07 USD 13,171 CHF 16,105 1
6/20/07-9/19/07 USD 15,614 EUR 11,548 (49)
6/20/07-9/19/07 USD 15,989 GBP 8,143 111
6/20/07-9/19/07 USD 17,670 JPY 2,067,000 (578)
6/20/07-9/19/07 USD 18,069 NZD 25,817 903
----------
$ 972
==========
- --------------------------------------------------------------------------------
228 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
Percentages are based on Net Assets of $221,531 ($ Thousands).
* Rate shown is the 7-day effective yield as of May 31, 2007.
+ Affiliated security
(A) The rate reported is the effective yield at time of purchase.
(B) Treasury Inflation Index Notes
(C) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
AUD -- Australian Dollar
CAD -- Canadian Dollar
CHF -- Swiss Franc
Cl -- Class
DKK -- Danish Krone
EUR -- Euro
GBP -- British Pound Sterling
HKD -- Hong Kong Dollar
JPY -- Japanese Yen
NOK -- Norwegian Krone
NZD -- New Zealand Dollar
SEK -- Swedish Krona
SGD -- Singapore Dollar
USD -- U.S. Dollar
Amounts designated as "--" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 229
Statements of Assets and Liabilities ($ Thousands)
May 31, 2007
- ------------------------------------------------------------------------------------------------------------------------------------
LARGE CAP LARGE CAP
DIVERSIFIED DISCIPLINED
LARGE CAP ALPHA EQUITY
FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments at value+ $ 701,498* $498,774 $8,126,189*
Affiliated investment, at value++ 29,380 13,302 308,276
Repurchase agreements+ 10,676 -- 71,019
Cash 39 213 --
Foreign currency, at value+++ -- -- --
Restricted cash held for swaps -- -- 3,105
Restricted cash held for securities sold short -- 639 --
Receivable for investment securities sold 27,015 2,757 70,260
Dividends and interest receivable 1,175 835 17,683
Receivable for fund shares sold 410 15,447 122,248
Receivable for variation margin 154 18 487
Foreign tax reclaim receivable 4 -- --
Unrealized gain on foreign spot currency contracts -- -- --
Unrealized gain on forward foreign currency contracts -- -- 2,517
Swap contracts at value++++ -- -- --
Prepaid expenses 6 1 44
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 770,357 531,986 8,721,828
- ------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable upon return on securities loaned 59,927 -- 398,629
Payable for fund shares redeemed 12,136 3,082 84,475
Payable for investment securities purchased 3,986 22,251 396,443
Payable for securities sold short# -- 52,264 --
Payable to custodian -- -- 405
Payable for variation margin 129 62 1,293
Overdraft of foreign currency, at value+++ -- 7 --
Unrealized loss on foreign spot currency contracts -- -- --
Unrealized loss on forward foreign currency contracts -- -- 1,576
Reverse repurchase agreements -- -- --
Swap contracts at value++++ -- 229 4,107
Investment advisory fees payable 153 108 1,291
Trustees fees payable 2 1 22
Accrued expense payable 30 28 375
Accrued foreign capital gains tax on appreciated securities -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 76,363 78,032 888,616
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $ 693,994 $453,954 $7,833,212
- ------------------------------------------------------------------------------------------------------------------------------------
+ Cost of investments and repurchase agreements 561,104 450,753 7,169,294
++ Cost of affiliated investments 29,380 13,302 308,276
+++ Cost of foreign currency -- (7) --
++++ Premiums received -- (318) (5,124)
# Proceeds from securities sold short -- (49,046) --
* Includes market value of securities on loan 57,964 -- 387,291
NET ASSETS:
Paid-in-Capital -- (unlimited authorization -- no par value) $ 712,174 $394,622 $6,429,221
Undistributed (distributions in excess of) net investment income 2,077 1,914 34,310
Accumulated net realized gain (loss) on investments,
option contracts, swaptions, futures, securities
sold short, swap contracts and foreign currency (171,948) 5,978 198,175
Net unrealized appreciation on investments,
securities sold short, option contracts and swaptions 151,070 44,803 1,027,914
Net unrealized appreciation on futures contracts 621 6,548 141,542
Net unrealized appreciation on swap contracts -- 89 1,017
Net unrealized appreciation on forward foreign currency
contracts, foreign currencies and translation of other
assets and liabilities denominated in foreign currencies -- -- 1,033
Accumulated foreign capital gains tax on appreciated securities -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $ 693,994 $453,954 $7,833,212
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $ 20.31 $ 11.94 $ 14.38
($693,993,882/ ($453,954,022/ ($7,833,212,297/
34,176,153 shares) 38,030,608 shares) 544,905,703 shares)
- ------------------------------------------------------------------------------------------------------------------------------------
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
230 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- -----------------------------------------------------------------------------------------------------------------------------------
SMALL/MID
LARGE CAP CAP
INDEX SMALL CAP EQUITY
FUND FUND FUND
- -----------------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments at value+ $429,620* $2,353,295* $1,981,535*
Affiliated investment, at value++ 23,119 292,337 238,433
Repurchase agreements+ 8,118 112,172 81,016
Cash -- 2,790 560
Foreign currency, at value+++ -- 45 36
Restricted cash held for swaps -- -- --
Restricted cash held for securities sold short -- -- --
Receivable for investment securities sold 2,194 17,382 23,238
Dividends and interest receivable 747 1,438 1,475
Receivable for fund shares sold 187 8,696 24,718
Receivable for variation margin 3 54 213
Foreign tax reclaim receivable -- 2 --
Unrealized gain on foreign spot currency contracts -- -- --
Unrealized gain on forward foreign currency contracts -- -- --
Swap contracts at value++++ -- -- --
Prepaid expenses 3 15 10
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 463,991 2,788,226 2,351,234
- ------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable upon return on securities loaned 45,564 629,616 454,742
Payable for fund shares redeemed 367 3,731 7,362
Payable for investment securities purchased 1,089 16,986 22,555
Payable for securities sold short# -- -- --
Payable to custodian -- -- --
Payable for variation margin 4 -- --
Overdraft of foreign currency, at value+++ -- -- --
Unrealized loss on foreign spot currency contracts -- -- --
Unrealized loss on forward foreign currency contracts -- 5 3
Reverse repurchase agreements -- -- --
Swap contracts at value++++ -- -- --
Investment advisory fees payable 14 927 728
Trustees fees payable 1 6 5
Accrued expense payable 19 98 93
Accrued foreign capital gains tax on appreciated
securities -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 47,058 651,369 485,488
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $416,933 $2,136,857 $1,865,746
- ------------------------------------------------------------------------------------------------------------------------------------
+ Cost of investments and repurchase agreements 291,459 2,076,628 1,771,426
++ Cost of affiliated investments 23,076 292,337 238,433
+++ Cost of foreign currency -- 45 34
++++ Premiums received -- -- --
# Proceeds from securities sold short -- -- --
* Includes market value of securities on loan 44,322 610,514 442,451
NET ASSETS:
Paid-in-Capital -- (unlimited authorization -- no
par value) $268,170 $1,651,692 $1,492,171
Undistributed (distributions in excess of) net investment
income 1,304 1,444 1,671
Accumulated net realized gain (loss) on investments,
option contracts, swaptions, futures, securities
sold short, swap contracts and foreign currency 582 94,300 77,409
Net unrealized appreciation on investments,
securities sold short, option contracts and swaptions 146,322 388,839 291,125
Net unrealized appreciation on futures contracts 555 582 3,369
Net unrealized appreciation on swap contracts -- -- --
Net unrealized appreciation on forward foreign currency
contracts, foreign currencies and translation of other
assets and liabilities denominated in foreign currencies -- -- 1
Accumulated foreign capital gains tax on appreciated
securities -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $416,933 $2,136,857 $1,865,746
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption $ 135.30 $ 16.44 $ 14.95
Price Per Share -- Class A
($416,933,467/ ($2,136,856,814/ ($1,865,746,321/
3,081,625 shares) 129,958,172 shares) 124,785,504 shares)
- ------------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------
INTERNATIONAL WORLD EQUITY
EQUITY EX-US
FUND FUND
- -----------------------------------------------------------------------------------------------------------------
ASSETS:
Investments at value+ $2,026,956* $2,154,838*
Affiliated investment, at value++ 167,045 123,924
Repurchase agreements+ 64,073 36,562
Cash 42,092 46,598
Foreign currency, at value+++ 7,374 10,649
Restricted cash held for swaps -- --
Restricted cash held for securities sold short -- --
Receivable for investment securities sold 102,611 33,712
Dividends and interest receivable 9,220 8,142
Receivable for fund shares sold 4,086 122,854
Receivable for variation margin 1,507 1,928
Foreign tax reclaim receivable 633 431
Unrealized gain on foreign spot currency contracts 6 8
Unrealized gain on forward foreign currency contracts 7,816 5,059
Swap contracts at value++++ 926 890
Prepaid expenses 13 9
- -----------------------------------------------------------------------------------------------------------------
Total Assets 2,434,358 2,545,604
- -----------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable upon return on securities loaned 359,644 205,222
Payable for fund shares redeemed 131,392 20,827
Payable for investment securities purchased 128,258 261,087
Payable for securities sold short# -- --
Payable to custodian -- --
Payable for variation margin 15 155
Overdraft of foreign currency, at value+++ -- --
Unrealized loss on foreign spot currency contracts 5 16
Unrealized loss on forward foreign currency contracts 7,197 3,648
Reverse repurchase agreements 16,356 --
Swap contracts at value++++ -- --
Investment advisory fees payable 614 977
Trustees fees payable 5 5
Accrued expense payable 207 291
Accrued foreign capital gains tax on appreciated
securities 31 362
- -----------------------------------------------------------------------------------------------------------------
Total Liabilities 643,724 492,590
- -----------------------------------------------------------------------------------------------------------------
Net Assets $1,790,634 $2,053,014
- -----------------------------------------------------------------------------------------------------------------
+ Cost of investments and repurchase agreements 1,735,795 1,879,818
++ Cost of affiliated investments 167,045 123,924
+++ Cost of foreign currency 7,298 10,399
++++ Premiums received (307) (469)
# Proceeds from securities sold short -- --
* Includes market value of securities on loan 353,477 197,529
NET ASSETS:
Paid-in-Capital -- (unlimited authorization -- no
par value) $1,241,926 $1,588,459
Undistributed (distributions in excess of) net investment
income 24,835 25,183
Accumulated net realized gain (loss) on investments,
option contracts, swaptions, futures, securities
sold short, swap contracts and foreign currency 158,706 112,549
Net unrealized appreciation on investments,
securities sold short, option contracts and swaptions 355,234 311,582
Net unrealized appreciation on futures contracts 8,289 12,648
Net unrealized appreciation on swap contracts 1,233 1,359
Net unrealized appreciation on forward foreign currency
contracts, foreign currencies and translation of other
assets and liabilities denominated in foreign currencies 442 1,596
Accumulated foreign capital gains tax on appreciated
securities (31) (362)
- -----------------------------------------------------------------------------------------------------------------
Net Assets $1,790,634 $2,053,014
- -----------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $ 14.27 $ 15.96
($1,790,633,572/ ($2,053,013,808/
125,446,265 shares) 128,663,672 shares)
- -----------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 231
Statements of Assets and Liabilities ($ Thousands)
May 31, 2007
- ------------------------------------------------------------------------------------------------------------------------------------
ENHANCED CORE HIGH YIELD
INCOME FIXED INCOME BOND
FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments at value+ $117,059 $6,666,981* $1,253,908*
Affiliated investment, at value++ 7,092 478,083 117,965
Repurchase agreements+ 700 841,799 33,791
Cash -- -- 529
Foreign currency, at value+++ -- 2,322 --
Restricted cash held for swaps -- -- --
Restricted cash held for securities sold short -- -- --
Receivable for investment securities sold 4,034 328,291 20,728
Dividends and interest receivable 843 40,135 20,901
Receivable for fund shares sold -- 75,098 29,718
Receivable for variation margin 21 2,252 --
Foreign tax reclaim receivable 1 242 8
Unrealized gain on foreign spot currency contracts -- -- --
Unrealized gain on forward foreign currency contracts 1,213 178 --
Swap contracts at value ++++ -- -- --
Prepaid expenses -- 39 4
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 130,963 8,435,420 1,477,552
- ------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable upon return on securities loaned -- 1,111,358 189,668
Payable for fund shares redeemed -- 66,589 3,549
Income distribution payable -- 670 166
Payable for investment securities purchased 6,506 1,356,087 41,851
Payable to custodian 51 447 --
Payable for variation margin 1 866 --
Overdraft of foreign currency, at value+++ -- -- --
Unrealized loss on foreign spot currency contracts -- -- --
Unrealized loss on forward foreign currency contracts 893 816 --
Reverse repurchase agreements -- -- --
Swap contracts at value++++ 29 773 --
Options written, at value+++++ -- 55 --
Swaptions# -- 2,779 --
Investment advisory fees payable 39 533 329
Trustees fees payable -- 17 3
Accrued expense payable 14 303 62
- ------------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 7,533 2,541,293 235,628
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $123,430 $5,894,127 $1,241,924
- ------------------------------------------------------------------------------------------------------------------------------------
+ Cost of investments and repurchase agreements 117,940 7,550,135 1,260,248
++ Cost of affiliated investments 7,092 478,083 117,965
+++ Cost of foreign currency -- 1,894 --
++++ Premiums received/paid 14 (630) --
+++++ Premiums received -- (105) --
# Premiums received -- (3,050) --
* Includes market value of securities on loan -- 1,069,407 177,671
NET ASSETS:
Paid-in-Capital -- (unlimited authorization -- no par value) $121,746 $5,991,284 $1,209,544
Undistributed (distributions in excess of) net investment
income 1,322 179 283
Accumulated net realized gain (loss) on investments, option
contracts, swaptions, futures, securities sold short,
swap contracts and foreign currency 207 (49,746) 4,646
Net unrealized appreciation (depreciation) on investments,
securities sold short, option contracts and swaptions (181) (41,034) 27,451
Net unrealized appreciation (depreciation) on futures
contracts 59 (6,206) --
Net unrealized appreciation (depreciation) on swap contracts (43) (143) --
Net unrealized appreciation (depreciation) on forward
foreign currency contracts, foreign currencies and
translation of other assets and liabilities denominated
in foreign currencies 320 (207) --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $123,430 $5,894,127 $1,241,924
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price Per Share --
Class A $ 10.14 $ 9.99 $ 10.33
($123,429,621/ ($5,894,127,295/ ($1,241,924,264/
12,175,740 shares) 589,905,765 shares) 120,174,981 shares)
- ------------------------------------------------------------------------------------------------------------------------------------
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
232 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- ----------------------------------------------------------------------------------------------------------------------------------
LONG EXTENDED EMERGING REAL RETURN
DURATION DURATION MARKETS PLUS
FUND FUND DEBT FUND FUND
- ----------------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments at value+ $186,517 $397,335 $797,591* $213,285
Affiliated investment, at value++ 6,741 18,213 20,310 3,701
Repurchase agreements+ -- -- 9,273 --
Cash 20 -- 7,912 --
Foreign currency, at value+++ -- -- 3,246 75
Restricted cash held for swaps -- -- -- --
Restricted cash held for securities sold
short -- -- -- --
Receivable for investment securities sold 603 725 6,285 --
Dividends and interest receivable 931 1,768 11,647 1,258
Receivable for fund shares sold -- 14,236 29,219 18,225
Receivable for variation margin -- -- 771 --
Foreign tax reclaim receivable -- -- 180 --
Unrealized gain on foreign spot currency
contracts -- -- 3 --
Unrealized gain on forward foreign currency
contracts -- -- 1,046 2,972
Swap contracts at value ++++ -- -- 2,138 --
Prepaid expenses 1 2 -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Total Assets 194,813 432,279 889,621 239,516
- ----------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable upon return on securities loaned -- -- 52,053 --
Payable for fund shares redeemed -- -- 1,519 18
Income distribution payable -- -- -- --
Payable for investment securities purchased 5,512 26,238 31,153 15,867
Payable to custodian -- 5,587 -- --
Payable for variation margin -- -- -- 14
Overdraft of foreign currency, at value+++ -- -- -- --
Unrealized loss on foreign spot currency
contracts -- -- 1 --
Unrealized loss on forward foreign currency
contracts -- -- 479 2,000
Reverse repurchase agreements -- -- -- --
Swap contracts at value++++ 4,643 29,707 -- --
Options written, at value+++++ -- -- -- --
Swaptions# -- -- -- --
Investment advisory fees payable 27 52 324 69
Trustees fees payable 1 1 2 1
Accrued expense payable 14 27 54 16
- ----------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 10,197 61,612 85,585 17,985
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets $184,616 $370,667 $804,036 $221,531
- ----------------------------------------------------------------------------------------------------------------------------------
+ Cost of investments and repurchase
agreements 187,112 398,417 779,137 215,970
++ Cost of affiliated investments 6,741 18,213 20,310 3,701
+++ Cost of foreign currency -- -- 3,224 70
++++ Premiums received/paid -- -- -- --
+++++ Premiums received -- -- -- --
# Premiums received -- -- -- --
* Includes market value of securities on loan -- -- 49,859 --
NET ASSETS:
Paid-in-Capital -- (unlimited authorization
-- no par value) $196,145 $413,093 $757,731 $220,281
Undistributed (distributions in excess of)
net investment income (1,039) (2,645) 8,879 2,128
Accumulated net realized gain (loss) on
investments, option contracts,
swaptions, futures, securities sold
short, swap contracts and foreign
currency (5,249) (8,993) 6,825 988
Net unrealized appreciation (depreciation)
on investments, securities sold short,
option contracts and swaptions (595) (1,082) 27,727 (2,685)
Net unrealized appreciation (depreciation)
on futures contracts (3) 1 161 (159)
Net unrealized appreciation (depreciation)
on swap contracts (4,643) (29,707) 2,138 --
Net unrealized appreciation (depreciation)
on forward foreign currency contracts,
foreign currencies and translation of
other assets and liabilities denominated
in foreign currencies -- -- 575 978
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets $184,616 $370,667 $804,036 $221,531
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $ 9.52 $ 9.24 $ 10.95 $ 10.10
($184,615,709/ ($370,667,055/ ($804,035,576/ ($221,531,091/
19,386,187 shares) 40,119,192 shares) 73,422,958 shares) 21,943,131 shares)
- ----------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 233
Statements of Operations ($ Thousands)
For the year or period ended May 31, 2007
- ----------------------------------------------------------------------------------------------------------------
LARGE CAP LARGE CAP
LARGE CAP DIVERSIFIED DISCIPLINED
FUND ALPHA FUND EQUITY FUND
- ----------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends $ 12,340 $ 4,053 $ 92,972
Dividends from Affiliated Investments(1) 939 1,226 12,237
Interest Income 154 2,030 64,414
Income from Securities Lending 101 -- 433
Less: Foreign Taxes Withheld (7) (5) (1)
- ----------------------------------------------------------------------------------------------------------------
Total Investment Income 13,527 7,304 170,055
- ----------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 2,969 1,221 25,575
Administration Fees 371 153 3,197
Trustee Fees 9 4 76
Professional Fees 30 14 311
Custodian/Wire Agent Fees 25 20 333
Printing Fees 14 6 141
Registration Fees 5 8 92
Interest Expense on Reverse Repurchase Agreements -- -- 397
Dividend Expense -- 626 --
Interest Expense on Short Sales -- 214 --
Overdraft Fees -- -- --
Other Expenses 24 6 100
- ----------------------------------------------------------------------------------------------------------------
Total Expenses 3,447 2,272 30,222
- ----------------------------------------------------------------------------------------------------------------
Less:
Waiver of Investment Advisory Fees (1,146) (220) (12,572)
Waiver of Administration Fees (371) (153) (3,197)
Fees Paid Indirectly(1) (25) -- --
- ----------------------------------------------------------------------------------------------------------------
Net Expenses 1,905 1,899 14,453
- ----------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 11,622 5,405 155,602
- ----------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Investments 47,928 9,497 265,736
Affiliated Investments -- -- --
Securities Sold Short -- (3,466) --
Futures Contracts 2,393 1,762 53,687
Written Options -- -- 540
Written Swaptions -- -- --
Swap Contracts -- 1 1,852
Foreign Currency Transactions -- -- 66
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON:
Investments 84,535 42,781 726,048
Affiliated Investments -- -- --
Securities Sold Short -- 3,905 --
Futures Contracts 621 7,112 171,449
Written Options -- -- (420)
Written Swaptions -- -- --
Swap Contracts -- 99 905
Foreign Capital Gains Tax -- -- --
Foreign Currency and Translation of Other Assets and Liabilities
Denominated in Foreign Currencies -- -- 1,086
- ----------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $147,099 $67,096 $1,376,551
- ----------------------------------------------------------------------------------------------------------------
(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.
- --------------------------------------------------------------------------------
234 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- ------------------------------------------------------------------------------------------------------------------------------------
LARGE CAP INTERNATIONAL WORLD EQUITY
INDEX SMALL CAP SMALL/MID CAP EQUITY EX-US
FUND FUND EQUITY FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends $ 6,939 $ 18,827 $ 15,412 $ 46,091 $ 35,731
Dividends from Affiliated Investments(1) 343 2,803 3,469 1,105 1,867
Interest Income 37 243 118 9,223 9,127
Income from Securities Lending 65 1,700 892 1,038 486
Less: Foreign Taxes Withheld (1) (52) (36) (1,526) (1,977)
- ------------------------------------------------------------------------------------------------------------------------------------
Total Investment Income 7,383 23,521 19,855 55,931 45,234
- ------------------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 647 12,899 9,690 8,887 7,887
Administration Fees 190 992 745 880 717
Trustee Fees 5 24 18 21 17
Professional Fees 19 97 73 83 72
Custodian/Wire Agent Fees 19 137 94 341 716
Printing Fees 8 44 33 38 32
Registration Fees 1 9 19 14 35
Interest Expense on Reverse Repurchase Agreements -- -- -- 2,163 1,482
Dividend Expense -- -- -- -- --
Interest Expense on Short Sales -- -- -- -- --
Overdraft Fees -- -- -- 47 54
Other Expenses 14 46 31 87 78
- ------------------------------------------------------------------------------------------------------------------------------------
Total Expenses 903 14,248 10,703 12,561 11,090
- ------------------------------------------------------------------------------------------------------------------------------------
Less:
Waiver of Investment Advisory Fees (484) (2,539) (2,505) (2,938) (232)
Waiver of Administration Fees (190) (992) (745) (880) (717)
Fees Paid Indirectly(1) -- (399) (290) (48) (31)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Expenses 229 10,318 7,163 8,695 10,110
- ------------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 7,154 13,203 12,692 47,236 35,124
- ------------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Investments 3,287 182,808 96,254 287,696 106,215
Affiliated Investments 7 -- -- -- --
Securities Sold Short -- -- -- -- --
Futures Contracts 491 5,945 3,093 16,457 21,792
Written Options -- -- -- 120 73
Written Swaptions -- -- -- -- --
Swap Contracts -- -- -- 1,220 864
Foreign Currency Transactions -- (16) (20) 3,562 4,070
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON:
Investments 67,602 174,214 201,760 72,873 225,713
Affiliated Investments 22 -- -- -- --
Securities Sold Short -- -- -- -- --
Futures Contracts 704 582 3,377 10,735 14,478
Written Options -- -- -- (100) (50)
Written Swaptions -- -- -- -- --
Swap Contracts -- -- -- 1,574 1,823
Foreign Capital Gains Tax -- -- -- 7 (253)
Foreign Currency and Translation of Other Assets and
Liabilities Denominated in Foreign Currencies -- -- 1 1,119 2,091
- ------------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $79,267 $376,736 $317,157 $442,499 $411,940
- ------------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 235
Statements of Operations ($ Thousands)
For the year or period ended May 31, 2007
- --------------------------------------------------------------------------------------------------------------
ENHANCED CORE FIXED HIGH YIELD
INCOME INCOME BOND
FUND(2) FUND FUND
- --------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends $ 3 $ 506 $ 5,350
Dividends from Affiliated Investments(1) 375 3,915 2,742
Interest Income 2,829 281,570 79,474
Income from Securities Lending -- 1,562 392
Less: Foreign Taxes Withheld (2) 43 (1)
- --------------------------------------------------------------------------------------------------------------
Total Investment Income 3,205 287,596 87,957
- --------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 230 16,061 5,011
Administration Fees 26 2,677 511
Trustee Fees 1 65 13
Professional Fees 3 263 52
Custodian/Wire Agent Fees 4 337 56
Printing Fees 1 118 23
Registration Fees 3 57 15
Overdraft Fees -- -- --
Other Expenses 11 101 22
- --------------------------------------------------------------------------------------------------------------
Total Expenses 279 19,679 5,703
- --------------------------------------------------------------------------------------------------------------
Less:
Waiver of Investment Advisory Fees (28) (9,505) (1,613)
Waiver of Administration Fees (26) (2,677) (511)
- --------------------------------------------------------------------------------------------------------------
Net Expenses 225 7,497 3,579
- --------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 2,980 280,099 84,378
==============================================================================================================
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Investments 46 26,646 5,439
Affiliated Investments -- -- --
Futures Contracts 181 (3,536) 157
Written Options -- 2,107 --
Written Swaptions -- 47 --
Swap Contracts 6 (47) --
Foreign Currency Transactions 25 (433) --
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON:
Investments (181) 38,863 27,791
Affiliated Investments -- -- --
Futures Contracts 59 (1,421) 46
Written Options -- (23) --
Written Swaptions -- 271 --
Swap Contracts (43) (13) --
Foreign Currency and Translation of Other Assets and Liabilities
Denominated in Foreign Currencies 320 273 --
- --------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $3,393 $342,833 $117,811
==============================================================================================================
(1) See Note 3 in the Notes to Financial Statements.
(2) Commenced operations on December 14, 2006.
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
236 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- -----------------------------------------------------------------------------------------------------------------------------
LONG EXTENDED EMERGING REAL RETURN
DURATION DURATION MARKETS PLUS
FUND FUND DEBT FUND FUND(2)
- -----------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends $ -- $ -- $ 10 $ --
Dividends from Affiliated Investments(1) 206 320 -- 408
Interest Income 9,969 16,750 41,902 4,512
Income from Securities Lending -- -- 87 --
Less: Foreign Taxes Withheld -- -- (36) --
- -----------------------------------------------------------------------------------------------------------------------------
Total Investment Income 10,175 17,070 41,963 4,920
- -----------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 537 879 5,312 564
Administration Fees 89 146 312 40
Trustee Fees 2 4 8 1
Professional Fees 9 15 32 5
Custodian/Wire Agent Fees 10 16 110 6
Printing Fees 4 7 14 2
Registration Fees -- 5 11 6
Overdraft Fees -- -- 26 --
Other Expenses 34 37 41 5
- -----------------------------------------------------------------------------------------------------------------------------
Total Expenses 685 1,109 5,866 629
- -----------------------------------------------------------------------------------------------------------------------------
Less:
Waiver of Investment Advisory Fees (238) (376) (2,097) (234)
Waiver of Administration Fees (89) (146) (312) (40)
- -----------------------------------------------------------------------------------------------------------------------------
Net Expenses 358 587 3,457 355
- -----------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 9,817 16,483 38,506 4,565
- -----------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Investments (427) (843) 8,617 227
Affiliated Investments -- -- -- --
Futures Contracts (108) 208 (38) 761
Written Options -- -- -- --
Written Swaptions -- -- -- --
Swap Contracts (3,442) (6,342) 1,115 --
Foreign Currency Transactions -- -- 1,815 (16)
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON:
Investments 828 864 44,412 (2,685)
Affiliated Investments -- -- -- --
Futures Contracts (3) 1 161 (159)
Written Options -- -- -- --
Written Swaptions -- -- -- --
Swap Contracts 5,917 2,452 2,073 --
Foreign Currency and Translation of Other Assets and Liabilities
Denominated in Foreign Currencies -- -- 89 978
- -----------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $12,582 $12,823 $96,750 $ 3,671
- -----------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 237
Statements of Changes in Net Assets ($ Thousands)
For the years or period ended May 31,
- -------------------------------------------------------------------------------------------------------------
LARGE CAP
DIVERSIFIED
LARGE CAP FUND ALPHA FUND(3)
- -------------------------------------------------------------------------------------------------------------
2007 2006 2007 2006
- -------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 11,622 $ 17,264 $ 5,405 $ 604
Net Realized Gain from Investments,
Affiliated Investments, Securities Sold Short,
Written Options, Futures Contracts and
Swap Contracts 50,321 181,097(4) 7,794 855
Net Realized Gain (Loss) on Foreign Currency
Transactions -- -- -- --
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Affiliated
Investments, Securities Sold Short, Written
Options, Futures Contracts and Swap Contracts 85,156 (59,095) 53,897 (2,457)
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Currency
Transactions -- -- -- --
- -------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 147,099 139,266 67,096 (998)
- -------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (12,254) (19,617) (4,339) (167)
Net Realized Gains:
Class A -- -- (2,260) --
Class T -- -- -- --
- -------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (12,254) (19,617) (6,599) (167)
- -------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:(1)
CLASS A:
Proceeds from Shares Issued 23,377 64,999 362,896(2) 154,549
Reinvestment of Dividends & Distributions 12,156 18,627 5,620 117
Cost of Shares Redeemed (277,601) (1,153,807)(6) (114,105) (14,455)
- -------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions (242,068) (1,070,181) 254,411 140,211
- -------------------------------------------------------------------------------------------------------------
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 (242,068) (1,070,217) 254,411 140,211
- -------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (107,223) (950,568) 314,908 139,046
- -------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 801,217 1,751,785 139,046 --
- -------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 693,994 $ 801,217 $ 453,954 $139,046
- -------------------------------------------------------------------------------------------------------------
Undistributed Net Investment Income Included in
Net Assets at Period End $ 2,077 $ 2,683 $ 1,914 $ 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.
- --------------------------------------------------------------------------------
238 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- ----------------------------------------------------------------------------------------------------------------------------------
LARGE CAP
DISCIPLINED LARGE CAP
EQUITY FUND INDEX FUND SMALL CAP FUND
- ----------------------------------------------------------------------------------------------------------------------------------
2007 2006 2007 2006 2007 2006
- ----------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 155,602 $ 90,360 $ 7,154 $ 6,331 $ 13,203 $ 8,079
Net Realized Gain from Investments,
Affiliated Investments, Securities Sold Short,
Written Options, Futures Contracts and
Swap Contracts 321,815 265,538 3,785 4,064 188,753 252,103(5)
Net Realized Gain (Loss) on Foreign Currency
Transactions 66 (1,945) -- -- (16) (7)
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Affiliated
Investments, Securities Sold Short, Written
Options, Futures Contracts and Swap Contracts 897,982 18,798 68,328 18,810 174,796 46,908
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Currency
Transactions 1,086 (53) -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 1,376,551 372,698 79,267 29,205 376,736 307,083
- ----------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (145,402) (77,248) (7,315) (5,960) (15,831) (6,512)
Net Realized Gains:
Class A (224,544) (203,409) (2,519) (3,638) (234,693) (132,939)
Class T -- -- -- -- -- (4)
- ----------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (369,946) (280,657) (9,834) (9,598) (250,524) (139,455)
- ----------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:(1)
CLASS A:
Proceeds from Shares Issued 2,619,199(2) 1,990,928(2) 34,661 89,506 231,295 553,160(2)
Reinvestment of Dividends & Distributions 366,050 278,155 9,512 8,989 240,779 132,742
Cost of Shares Redeemed (1,097,058) (954,069) (63,757) (71,721) (412,567) (513,260)(6)
- ----------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 1,888,191 1,315,014 (19,584) 26,774 59,507 172,642
- ----------------------------------------------------------------------------------------------------------------------------------
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 1,888,191 1,315,014 (19,584) 26,774 59,507 172,528
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 2,894,796 1,407,055 49,849 46,381 185,719 340,156
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 4,938,416 3,531,361 367,084 320,703 1,951,138 1,610,982
- ----------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 7,833,212 $4,938,416 $ 416,933 $367,084 $2,136,857 $1,951,138
==================================================================================================================================
Undistributed Net Investment Income Included in
Net Assets at Period End $ 34,310 $ 23,495 $ 1,304 $ 1,433 $ 1,444 $ 3,575
==================================================================================================================================
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 239
Statements of Changes in Net Assets ($ Thousands)
For the years or period ended May 31,
- ---------------------------------------------------------------------------------------------------------------
SMALL/MID CAP INTERNATIONAL
EQUITY FUND EQUITY FUND
- ---------------------------------------------------------------------------------------------------------------
2007 2006 2007 2006
- ---------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 12,692 $ 7,380 $ 47,236 $ 38,858
Net Realized Gain (Loss) from Investments,
Affiliated Investments, Written Options,
Written Swaptions, Futures Contracts and
Swap Contracts 99,347 122,485 305,493 347,429
Net Realized Gain (Loss) on Foreign Currency
Transactions (20) (30) 3,562 4,671
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Affiliated
Investments, Written Options, Written Swaptions,
Futures Contracts and Swap Contracts 205,137 32,495 85,082 63,376
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Capital Gain Tax -- -- 7 (38)
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Currency
Transactions 1 -- 1,119 (277)
- ---------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 317,157 162,330 442,499 454,019
- ---------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (13,728) (6,272) (69,089) (49,222)
Net Realized Gains:
Class A (114,066) (48,124) (315,688) (14,153)
- ---------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (127,794) (54,396) (384,777) (63,375)
- ---------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:(1)
CLASS A:
Proceeds from Shares Issued 550,115 560,033(2) 181,985 241,196
Reinvestment of Dividends & Distributions 126,672 54,236 375,674 61,850
Cost of Shares Redeemed (217,044) (274,460) (481,732) (713,959)
- ---------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 459,743 339,809 75,927 (410,913)
- ---------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions 459,743 339,809 75,927 (410,913)
- ---------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 649,106 447,743 133,649 (20,269)
- ---------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 1,216,640 768,897 1,656,985 1,677,254
- ---------------------------------------------------------------------------------------------------------------
END OF PERIOD $1,865,746 $1,216,640 $1,790,634 $1,656,985
- ---------------------------------------------------------------------------------------------------------------
Undistributed Net Investment Income Included in
Net Assets at Period End $ 1,671 $ 2,130 $ 24,835 $ 27,089
- ---------------------------------------------------------------------------------------------------------------
(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) Commenced operations on December 14, 2006.
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
240 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- ------------------------------------------------------------------------------------------------------------------------
WORLD EQUITY ENHANCED CORE FIXED
EX-US FUND INCOME FUND(3) INCOME FUND
- ------------------------------------------------------------------------------------------------------------------------
2007 2006 2007 2007 2006
- ------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 35,124 $ 13,042 $ 2,980 $ 280,099 $ 202,566
Net Realized Gain (Loss) from Investments,
Affiliated Investments, Written Options,
Written Swaptions, Futures Contracts and
Swap Contracts 128,944 49,169 233 25,217 (66,645)
Net Realized Gain (Loss) on Foreign Currency
Transactions 4,070 4,234 25 (433) 32
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Affiliated
Investments, Written Options, Written
Swaptions, Futures Contracts and Swap
Contracts 241,964 88,398 (165) 37,677 (136,030)
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Capital Gain Tax (253) (109) -- -- --
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Currency
Transactions 2,091 (484) 320 273 (1,399)
- ------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 411,940 154,250 3,393 342,833 (1,476)
- ------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (36,280) (5,570) (1,709) (279,194) (210,525)
Net Realized Gains:
Class A (55,011) (572) -- -- (3,202)
- ------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (91,291) (6,142) (1,709) (279,194) (213,727)
- ------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:(1)
CLASS A:
Proceeds from Shares Issued 1,005,592 663,123 122,922 2,013,899 1,519,017
Reinvestment of Dividends & Distributions 90,953 5,899 1,709 272,084 207,316
Cost of Shares Redeemed (272,762) (142,944) (2,885) (1,101,898) (1,129,976)
- ------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 823,783 526,078 121,746 1,184,085 596,357
- ------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions 823,783 526,078 121,746 1,184,085 596,357
- ------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 1,144,432 674,186 123,430 1,247,724 381,154
- ------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 908,582 234,396 -- 4,646,403 4,265,249
- ------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $2,053,014 $ 908,582 $123,430 $ 5,894,127 $ 4,646,403
- ------------------------------------------------------------------------------------------------------------------------
Undistributed Net Investment Income Included
in Net Assets at Period End $ 25,183 $ 15,577 $ 1,322 $ 179 $ 46
- ------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 241
Statements of Changes in Net Assets ($ Thousands)
For the years or period ended May 31,
- ----------------------------------------------------------------------------------------------------------
HIGH YIELD LONG DURATION
BOND FUND FUND
- ----------------------------------------------------------------------------------------------------------
2007 2006 2007 2006
- ----------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 84,378 $ 27,355 $ 9,817 $ 6,234
Net Realized Gain (Loss) from Investments,
Affiliated Investments, Written Options,
Futures Contracts and Swap Contracts 5,596 4,576 (3,977) (1,715)
Net Realized Gain (Loss) on Foreign Currency
Transactions -- -- -- --
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Affiliated
Investments, Written Options, Futures Contracts
and Swap Contracts 27,837 (386) 6,742 (14,378)
Net Change in Unrealized Appreciation
on Foreign Currency Transactions -- -- -- --
- ----------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 117,811 31,545 12,582 (9,859)
- ----------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (84,450) (27,352) (9,267) (7,087)
Net Realized Gains:
Class A (5,174) -- -- (1,170)
- ----------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (89,624) (27,352) (9,267) (8,257)
- ----------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: 1
CLASS A:
Proceeds from Shares Issued 398,488 896,573 10,523 119,916
Reinvestment of Dividends & Distributions 87,670 26,937 9,267 8,257
Cost of Shares Redeemed (134,792) (65,332) (3,813) (20,787)
- ----------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 351,366 858,178 15,977 107,386
- ----------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions 351,366 858,178 15,977 107,386
- ----------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 379,553 862,371 19,292 89,270
- ----------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 862,371 -- 165,324 76,054
- ----------------------------------------------------------------------------------------------------------
END OF PERIOD $1,241,924 $862,371 $184,616 $165,324
- ----------------------------------------------------------------------------------------------------------
Undistributed (Distribution in Excess of)
Net Investment Income Included in
Net Assets at Period End $ 283 $ 3 $ (1,039) $ (873)
- ----------------------------------------------------------------------------------------------------------
(1) See Note 4 in the Notes to Financial Statements for additional information.
(2) Commenced operations on December 14, 2006.
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
242 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- ---------------------------------------------------------------------------------------------------------------------
EXTENDED EMERGING MARKETS REAL RETURN
DURATION FUND DEBT FUND PLUS FUND(2)
- ---------------------------------------------------------------------------------------------------------------------
2007 2006 2007 2006 2007
- ---------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 16,483 $ 8,976 $ 38,506 $ 9,698 $ 4,565
Net Realized Gain (Loss) from Investments,
Affiliated Investments, Written Options,
Futures Contracts and Swap Contracts (6,977) (2,264) 9,694 2,977 988
Net Realized Gain (Loss) on Foreign Currency
Transactions -- -- 1,815 12 (16)
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Affiliated
Investments, Written Options, Futures Contracts
and Swap Contracts 3,317 (49,207) 46,646 (16,620) (2,844)
Net Change in Unrealized Appreciation
on Foreign Currency Transactions -- -- 89 486 978
- ---------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 12,823 (42,495) 96,750 (3,447) 3,671
- ---------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (14,980) (12,291) (36,685) (5,375) (2,421)
Net Realized Gains:
Class A -- (4,323) (4,938) -- --
- ---------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (14,980) (16,614) (41,623) (5,375) (2,421)
- ---------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: 1
CLASS A:
Proceeds from Shares Issued 151,838 135,387 291,823 523,743 228,504
Reinvestment of Dividends & Distributions 14,980 16,614 40,676 5,250 2,422
Cost of Shares Redeemed (16,917) (24,748) (63,398) (40,363) (10,645)
- ---------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 149,901 127,253 269,101 488,630 220,281
- ---------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions 149,901 127,253 269,101 488,630 220,281
- ---------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 147,744 68,144 324,228 479,808 221,531
- ---------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 222,923 154,779 479,808 -- --
- ---------------------------------------------------------------------------------------------------------------------
END OF PERIOD $370,667 $222,923 $804,036 $479,808 $221,531
- ---------------------------------------------------------------------------------------------------------------------
Undistributed (Distribution in Excess of)
Net Investment Income Included in
Net Assets at Period End $ (2,645) $ (1,598) $ 8,879 $ 4,454 $ 2,128
- ---------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 243
Financial Highlights
For the years or periods ended May 31,
For a share outstanding throughout each period
- ------------------------------------------------------------------------------------------------------------------------------------
Net Realized
and Distributions
Net Asset Unrealized Dividends from Total
Value, Net Gains Total from Net Realized Dividends Net Asset
Beginning Investment (Losses) on from Investment Capital and Value, End
of Period Income Securities Operations Income Gains Distributions of Period
- ------------------------------------------------------------------------------------------------------------------------------------
LARGE CAP FUND
Class A
2007 $ 16.93 $0.28(4) $ 3.40(4) $ 3.68 $(0.30) $ -- $(0.30) $ 20.31
2006 15.53 0.24(4) 1.44(4) 1.68 (0.28) -- (0.28) 16.93
2005 14.47 0.25(4) 1.05(4) 1.30 (0.24) -- (0.24) 15.53
2004 12.41 0.18(4) 2.09(4) 2.27 (0.21) -- (0.21) 14.47
2003 13.82 0.16(4) (1.41)(4) (1.25) (0.16) -- (0.16) 12.41
LARGE CAP DIVERSIFIED ALPHA FUND
Class A
2007 $ 9.94 $0.19(4) $ 2.04(4) $ 2.23 $(0.16) $(0.07) $(0.23) $ 11.94
2006(2) 10.00 0.04(4) (0.09)(4) (0.05) (0.01) -- (0.01) 9.94
LARGE CAP DISCIPLINED EQUITY FUND
Class A
2007++ $ 12.36 $0.51(4) $ 2.27(4) $ 2.78 $(0.30) $(0.46) $(0.76) $ 14.38
2006++ 12.05 0.26(4) 0.85(4) 1.11 (0.22) (0.58) (0.80) 12.36
2005++ 11.18 0.20(4) 0.94(4) 1.14 (0.18) (0.09) (0.27) 12.05
2004(1) 10.00 0.07(4) 1.25(4) 1.32 (0.06) (0.08) (0.14) 11.18
LARGE CAP INDEX FUND
Class A
2007 $113.02 $2.29(4) $23.15(4) $25.44 $(2.33) $(0.83) $(3.16) $135.30
2006 106.24 2.06(4) 7.77(4) 9.83 (1.94) (1.11) (3.05) 113.02
2005 99.12 1.93(4) 7.20(4) 9.13 (1.82) (0.19) (2.01) 106.24
2004+++ 84.90 1.50(4) 14.28(4) 15.78 (1.37) (0.19) (1.56) 99.12
2003+++ 93.40 1.10 (8.50)(5) (7.40) (1.10) -- (1.10) 84.90
SMALL CAP FUND
Class A
2007 $ 15.52 $0.10(4) $ 2.85(4) $ 2.95 $(0.12) $(1.91) $(2.03) $ 16.44
2006 14.27 0.07(4) 2.55(4) 2.62 (0.06) (1.31) (1.37) 15.52
2005 14.70 0.07(4) 1.38(4) 1.45 (0.05) (1.83) (1.88) 14.27
2004 11.60 0.06(4) 3.59(4) 3.65 (0.07) (0.48) (0.55) 14.70
2003 12.53 0.07(4) (0.94)(4) (0.87) (0.06) -- (0.06) 11.60
SMALL/MID CAP EQUITY FUND
Class A
2007++ $ 13.38 $0.19(4) $ 2.57(4) $ 2.76 $(0.13) $(1.06) $(1.19) $ 14.95
2006++ 11.96 0.09(4) 1.97(4) 2.06 (0.08) (0.56) (0.64) 13.38
2005++ 10.70 0.05(4) 1.38(4) 1.43 (0.05) (0.12) (0.17) 11.96
2004(3)++ 10.00 0.02(4) 0.69(4) 0.71 (0.01) -- (0.01) 10.70
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of
Expenses Ratio of
to Average Expenses
Net Assets to Average
(Excluding Net Assets Ratio of Net
Ratio of Net Fees Paid (Excluding Investment
Net Assets Expenses Indirectly Fees Paid Income Portfolio
Total End of Period to Average and including Indirectly to Average Turnover
Return+ ($ Thousands) Net Assets Waivers) and Waivers) Net Assets Rate+
- ------------------------------------------------------------------------------------------------------------------------------------
LARGE CAP FUND
Class A
2007 21.97% $ 693,994 0.26% 0.26% 0.46% 1.57% 47%
2006 10.87 801,217 0.25 0.26 0.48 1.47 103
2005 9.02 1,751,751 0.26 0.26 0.47 1.67 43
2004 18.37 1,787,850 0.26 0.26 0.48 1.34 109
2003 (8.98) 3,008,463 0.26 0.26 0.47 1.39 51
LARGE CAP DIVERSIFIED ALPHA FUND
Class A
2007 22.64% $ 453,954 0.62%* 0.62%* 0.74% 1.77% 132%
2006(2) (0.49) 139,046 0.45* 0.45* 0.66 1.70 47
LARGE CAP DISCIPLINED EQUITY FUND
Class A
2007++ 23.15% $7,833,212 0.23%(6) 0.23%(6) 0.47%(6) 2.43% 135%
2006++ 9.33 4,938,416 0.24 0.24 0.47 2.10 140
2005++ 10.26 3,531,361 0.31 0.31 0.47 1.69 71
2004(1) 13.23 2,285,041 0.33 0.33 0.47 1.33 67
LARGE CAP INDEX FUND
Class A
2007 22.87% $ 416,933 0.06% 0.06% 0.24% 1.88% 10%
2006 9.34 367,084 0.08 0.08 0.24 1.84 20
2005 9.29 320,703 0.13 0.13 0.24 1.89 8
2004+++ 18.71 284,711 0.16 0.16 0.24 1.58 6
2003+++ (7.79) 142,612 0.20 0.20 0.25 1.67 12
SMALL CAP FUND
Class A
2007 20.32% $2,136,857 0.52% 0.54% 0.72% 0.67% 92%
2006 18.93 1,951,138 0.52 0.54 0.72 0.44 119
2005 9.81 1,610,876 0.54 0.54 0.72 0.46 94
2004 31.76 1,309,254 0.54 0.54 0.72 0.45 135
2003 (6.83) 1,193,935 0.54 0.54 0.72 0.67 97
SMALL/MID CAP EQUITY FUND
Class A
2007++ 21.60% $1,865,746 0.48% 0.50% 0.72% 0.85% 104%
2006++ 17.51 1,216,640 0.50 0.53 0.72 0.69 123
2005++ 13.38 768,897 0.62 0.62 0.72 0.47 98
2004(3)++ 7.15 423,768 0.65 0.65 0.73 0.45 51
* The expense ratio includes dividend and interest expenses. Had these
expenses been excluded the ratio would have been 0.35% and 0.34% for 2007
and 2006, respectively.
+ 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 December 15, 2003. All ratios for the period have
been annualized.
(4) Per share net investment income and net realized and unrealized gains
(losses) calculated using average shares.
(5) 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.
(6) 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 0.47%, respectively. Amounts designated as "--" are zero
or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
244 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- ------------------------------------------------------------------------------------------------------------------------------------
Net Realized
and Distributions
Net Asset Unrealized Dividends from Total
Value, Net Gains Total from Net Realized Dividends Net Asset
Beginning Investment (Losses) on from Investment Capital and Value, End
of Period Income Securities Operations Income Gains Distributions of Period
- ------------------------------------------------------------------------------------------------------------------------------------
INTERNATIONAL EQUITY FUND
Class A
2007 $14.05 $0.37(3) $ 3.12(3) $ 3.49 $(0.50) $(2.77) $(3.27) $14.27
2006 11.15 0.29(3) 3.09(3) 3.38 (0.37) (0.11) (0.48) 14.05
2005 10.06 0.23(3) 1.16(3) 1.39 (0.30) -- (0.30) 11.15
2004 7.76 0.18(3) 2.28(3) 2.46 (0.16) -- (0.16) 10.06
2003 9.21 0.13 (1.46) (1.33) (0.12) -- (0.12) 7.76
WORLD EQUITY EX-US FUND
Class A
2007 $12.99 $0.35(3) $ 3.47(3) $ 3.82 $(0.33) $(0.52) $(0.85) $15.96
2006 9.81 0.27(3) 3.01(3) 3.28 (0.09) (0.01) (0.10) 12.99
2005(4) 10.00 0.07(3) (0.26)(3) (0.19) -- -- -- 9.81
ENHANCED INCOME FUND
Class A
2007(7) $10.00 $0.27(3) $ 0.03(3) $ 0.30 $(0.16) $$ -- $ (0.16) $ 10.14
CORE FIXED INCOME FUND
Class A
2007 $ 9.84 $0.53(3) $ 0.14(3) $ 0.67 $(0.52) $ -- $(0.52) $ 9.99
2006 10.34 0.47(3) (0.48)(3) (0.01) (0.48) (0.01) (0.49) 9.84
2005 10.19 0.41(3) 0.27(3) 0.68 (0.42) (0.11) (0.53) 10.34
2004 10.61 0.38(3) (0.26)(3) 0.12 (0.40) (0.14) (0.54) 10.19
2003 10.27 0.50 0.60 1.10 (0.50) (0.26) (0.76) 10.61
HIGH YIELD BOND FUND
Class A
2007 $10.08 $0.84(3) $ 0.30(3) $ 1.14 $(0.84) $(0.05) $(0.89) $10.33
2006(2) 10.00 0.40(3) 0.08(3) 0.48 (0.40) -- (0.40) 10.08
LONG DURATION FUND
Class A
2007 $ 9.31 $0.53(3) $ 0.18(3) $ 0.71 $(0.50) $ -- $(0.50) $ 9.52
2006 10.56 0.46(3) (1.07)(3) (0.61) (0.54) (0.10) (0.64) 9.31
2005 9.77 0.42(3) 1.03(3) 1.45 (0.54) (0.12) (0.66) 10.56
2004(1) 10.00 0.05(3) (0.23)(3) (0.18) (0.05) -- (0.05) 9.77
EXTENDED DURATION FUND
Class A
2007 $ 8.86 $0.55(3) $ 0.32(3) $ 0.87 $(0.49) $ -- $(0.49) $ 9.24
2006 11.96 0.48(3) (2.68)(3) (2.20) (0.68) (0.22) (0.90) 8.86
2005 9.53 0.43(3) 2.84(3) 3.27 (0.84) -- (0.84) 11.96
2004(1) 10.00 0.05(3) (0.44)(3) (0.39) (0.08) -- (0.08) 9.53
EMERGING MARKETS DEBT FUND
Class A
2007 $ 9.97 $0.65(3) $1.03(3) $ 1.68 $(0.62) $(0.08) $(0.70) $10.95
2006(2) 10.00 0.27(3) (0.17)(3) 0.10 (0.13) -- (0.13) 9.97
REAL RETURN PLUS FUND
Class A
2007(7) $10.00 $0.26(3) $(0.03)(3) $ 0.23 $(0.13) $ -- $(0.13) $10.10
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of
Expenses Ratio of
to Average Expenses
Net Assets to Average
(Excluding Net Assets Ratio of Net
Ratio of Net Fees Paid (Excluding Investment
Net Assets Expenses Indirectly Fees Paid Income Portfolio
Total End of Period to Average and including Indirectly to Average Turnover
Return+ ($ Thousands) Net Assets Waivers) and Waivers) Net Assets Rate+
- ------------------------------------------------------------------------------------------------------------------------------------
INTERNATIONAL EQUITY FUND
Class A
2007 28.00% $1,790,634 0.50%(5) 0.50%(5) 0.71%(5) 2.69% 153%
2006 30.77 1,656,985 0.36 0.36 0.63 2.30 116
2005 13.73 1,677,254 0.43 0.43 0.58 2.12 48
2004 31.73 1,391,076 0.48 0.48 0.65 1.92 80
2003 (14.43) 1,176,097 0.48 0.48 0.68 1.85 58
WORLD EQUITY EX-US FUND
Class A
2007 30.29% $2,053,014 0.71%(6) 0.71%(6) 0.77%(6) 2.45% 154%
2006 33.52 908,582 0.60 0.61 0.76 2.22 104
2005(4) (1.90) 234,396 0.60 0.60 0.70 4.35 15
ENHANCED INCOME FUND
Class A
2007(7) 3.02% $ 123,430 0.44% 0.44% 0.54% 5.84% 53%
CORE FIXED INCOME FUND
Class A
2007 6.95% $5,894,127 0.14% 0.14% 0.37% 5.23% 428%
2006 (0.09) 4,646,403 0.14 0.14 0.37 4.62 545
2005 6.77 4,265,249 0.15 0.15 0.37 3.94 615
2004 1.13 3,074,873 0.19* 0.19* 0.38 3.62 532
2003 11.10 2,431,368 0.18 0.18 0.37 4.79 436
HIGH YIELD BOND FUND
Class A
2007 11.81% $ $ 1,241,924 0.35% 0.35% 0.56% 8.25% 98%
2006(2) 4.85 862,371 0.35 0.35 0.57 8.15 58
LONG DURATION FUND
Class A
2007 7.67% $ 184,616 0.20% 0.20% 0.38% 5.49% 97%
2006 (6.08) 165,324 0.20 0.20 0.39 4.69 113
2005 15.26 76,054 0.20 0.20 0.41 4.05 449
2004(1) (1.78) 6,317 0.20 0.20 0.57 5.02 31
EXTENDED DURATION FUND
Class A
2007 9.73% $ 370,667 0.20% 0.20% 0.38% 5.63% 123%
2006 (19.24) 222,923 0.20 0.20 0.39 4.64 170
2005 35.74 154,779 0.20 0.20 0.41 3.99 379
2004(1) (3.88) 27,787 0.20 0.20 0.44 5.17 42
EMERGING MARKETS DEBT FUND
Class A
2007 17.40% $ 804,036 0.55% 0.55% 0.94% 6.16% 89%
2006(2) 1.00 479,808 0.55 0.55 0.95 5.43 51
REAL RETURN PLUS FUND
Class A
2007(7) 2.29% $ 221,531 0.44% 0.44% 0.78% 5.67% 18%
* 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
0.37%, 0.37%, and 0.59%, respectively.
(6) The expense ratio includes interest expense on reverse repurchase
agreements. Had this expense been excluded, the ratios would have been
0.60%, 0.60%, and 0.67%, respectively.
(7) Commenced operations on December 14, 2006. All ratios for the period have
been annualized.
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 245
Notes to Financial Statements
MAY 31, 2007
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 15 Funds: The Large Cap, Large
Cap Diversified Alpha, Large Cap Disciplined Equity, Large Cap Index, Small Cap,
Small/Mid Cap Equity, International Equity, World Equity Ex-US, Enhanced Income,
Core Fixed Income, High Yield Bond, Long Duration, Extended Duration, Emerging
Markets Debt and Real Return Plus 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 assets of each Fund are segregated, and a shareholder's interest is limited
to the Fund in which shares are held. The Fund's prospectus provides a
description of each Fund's investment objectives, policies, and strategies.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies followed by
the Funds.
USE OF ESTIMATES -- The preparation of financial statements, in conformity with
U.S. generally accepted accounting principles, requires management to make
estimates and assumptions that affect the reported amount of assets and
liabilities and disclosure of contingent assets and liabilities at the date of
the financial statements and the reported amounts of increases and decreases in
net assets from operations during the reporting period. Actual results could
differ from those estimates.
SECURITY VALUATION -- Securities listed on a securities exchange, market or
automated quotation system for which quotations are readily available (except
for securities traded on NASDAQ) are valued at the last quoted sale price on the
primary exchange or market (foreign or domestic) on which they are traded, or,
if there is no such reported sale, at the most recent quoted bid price. For
securities traded on NASDAQ, the NASDAQ Official Closing Price will be used.
Debt securities are priced based upon valuations provided by independent,
third-party pricing agents, if available. Such values generally reflect the last
reported sales price if the security is actively traded. The third-party pricing
agents may also value debt securities at an evaluated bid price by employing
methodologies that utilize actual market transactions, broker-supplied
valuations, or other methodologies designed to identify the market value for
such securities. Debt obligations acquired with remaining maturities of sixty
days or less may be valued at their amortized cost, which approximates market
value. The prices for foreign securities are reported in local currency and
converted to U.S. dollars using currency exchange rates. Prices for most
securities held in the Funds are provided daily by recognized independent
pricing agents. If a security price cannot be obtained from an independent,
third-party pricing agent, the Funds seek to obtain a bid price from at least
one independent broker.
Securities for which market prices are not "readily available" are valued in
accordance with Fair Value Procedures established by the Funds' Board of
Trustees. The Funds' Fair Value Procedures are implemented through a Fair Value
Committee (the "Committee") designated by the Funds' Board of Trustees. Some of
the more common reasons that may necessitate that a security be valued using
Fair Value Procedures include: the security's trading has been halted or
suspended; the security has been de-listed from a national exchange; the
security's primary trading market is temporarily closed at a time when under
normal conditions it would be open; or the security's primary pricing source is
not able or willing to provide a price. When a security is valued in accordance
with the Fair Value Procedures, the Committee will determine the value after
taking into consideration relevant information reasonably available to the
Committee.
For securities that principally trade on a foreign market or exchange, a
significant gap in time can exist between the time of a particular security's
last trade and the time at which a Fund calculates its net asset value. The
closing prices of such securities may no longer reflect their market value at
the time the Fund calculates net asset value if an event that could materially
affect the value of those securities (a "Significant Event") has occurred
between the time of the security's last close and the time that the Fund
calculates net asset value. A Significant Event may relate to a single issuer or
to an entire market sector. If the adviser or sub-adviser of a Fund becomes
aware of a Significant Event that has occurred with respect to a security or
group of securities after the closing of the exchange or market on which the
security or securities principally trade, but before the time at which the Fund
calculates net asset value, it may request that a Fair Value Committee Meeting
be called. In addition, the Funds' administrator monitors price movements among
certain selected indices, securities and/or baskets of securities that may be an
indicator that the closing prices received earlier from foreign exchanges or
markets may not reflect market value at the time the Fund calculates net asset
value. If price movements in a monitored index or security 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
- --------------------------------------------------------------------------------
246 SEI Institutional Investments Trust / Annual Report / May 31, 2007
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 Large Cap Disciplined Equity, International
Equity and World Equity Ex-US Funds may issue reverse repurchase agreements. A
reverse repurchase agreement involves the sale of portfolio assets together with
an agreement to repurchase the same assets later at a fixed price. Additional
assets are maintained in an account with the broker. The segregated assets may
consist of cash, U.S. Government securities, or other liquid securities at least
equal in value to the obligations under the reverse repurchase agreements. In
the event the buyer of securities under a reverse repurchase agreement files for
bankruptcy or becomes insolvent, the Fund's use of the proceeds under the
agreement may be restricted pending a determination by the other party, or its
trustee or receiver, whether to enforce the obligation to repurchase the
securities. Reverse repurchase agreements outstanding as of May 31, 2007 were as
follows:
Principal
Amount Value
Fund ($ Thousands) Counterparty ($ Thousands)
- --------------------------------------------------------------------------------
International Bear Stearns,
Equity Fund $16,356 5.380%, Due 6/25/07 $16,356
COMPENSATING BALANCES -- Funds with cash overdrafts in excess of $100,000 are
required to leave 112% in compensating balances with U.S. Bank NA, the custodian
of the Trust, on the following day. Funds with positive cash balances in excess
of $100,000 are allowed to overdraw 90% of the balance with 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 / Annual Report / May 31, 2007 247
Notes to Financial Statements (Continued)
MAY 31, 2007
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, International Equity, World Equity Ex-US, Enhanced
Income, Core Fixed Income, Emerging Markets Debt and Real Return Plus 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.
Finally, the risk exists that losses could exceed amounts disclosed on the
Schedule of Investments or Statement of Assets and Liabilities.
FUTURES CONTRACTS -- Each of the Funds utilized futures contracts during the
year ended May 31, 2007. 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
Schedule of Investments or Statement of Assets and Liabilities.
OPTIONS/SWAPTIONS WRITTEN/PURCHASED -- Each Fund may invest in financial
options/swaptions 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 Core Fixed Income Fund may also invest in financial
option/swaption contracts to enhance the Fund's returns. When a Fund writes or
purchases an option/swaption, 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/swaption written or purchased.
Premiums received or paid from writing or purchasing options/swaptions 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/swaption 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 Core Fixed Income Fund had option contracts as of
May 31, 2007, as disclosed in the Fund's Schedule of Investments.
The risk in writing a call option/swaption 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/swaption is that the Funds may incur a loss if the
market price of the security decreases and the option/swaption is exercised. The
risk in purchasing an option/swaption is that the Funds pay a premium whether or
not the option/swaption 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/swaption 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
Schedule of Investments or Statement of Assets and Liabilities.
- --------------------------------------------------------------------------------
248 SEI Institutional Investments Trust / Annual Report / May 31, 2007
Written options transactions entered into during the year ended May 31, 2007 are
summarized as follows:
- ------------------------------------------------------------------------------------------------------------------------------------
LARGE CAP DISCIPLINED INTERNATIONAL WORLD EQUITY CORE FIXED
EQUITY FUND EQUITY FUND EX-US FUND INCOME FUND
- ------------------------------------------------------------------------------------------------------------------------------------
Number of Premium Number of Premium Number of Premium Number of Premium
Contracts ($ Thousands) Contracts ($ Thousands) Contracts ($ Thousands) Contracts ($ Thousands)
- ------------------------------------------------------------------------------------------------------------------------------------
Balance at
the beginning of period 1,034 $ 530 260 $ 118 100 $ 70 669 $ 471
Written 178 11 37 2 46 3 6,608 2,179
Expired (1,212) (541) (297) (120) (146) (73) (4,074) (1,576)
Closing buys -- -- -- -- -- -- (2,696) (969)
- ------------------------------------------------------------------------------------------------------------------------------------
Balance at
the end of period -- $ -- -- $ -- -- $ -- 507 $ 105
- ------------------------------------------------------------------------------------------------------------------------------------
Written swaptions transactions entered into during the year ended May 31, 2007
are summarized as follows:
- --------------------------------------------------------------------------------
CORE FIXED
INCOME FUND
- --------------------------------------------------------------------------------
Number of Premium
Contracts ($ Thousands)
- --------------------------------------------------------------------------------
Balance at
the beginning of period -- $ --
Written 172,410,000 3,097
Expired (34,410,000) (47)
Closing buys -- --
- --------------------------------------------------------------------------------
Balance at
the end of period 138,000,000 $ 3,050
- --------------------------------------------------------------------------------
At May 31, 2007 the Funds had cash and/or securities at least equal to the value
of written options/swaptions.
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
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 249
Notes to Financial Statements (Continued)
MAY 31, 2007
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 losses. 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. 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.
Entering into swap agreements involves, to varying degrees, elements of credit
and market risk in excess of the amounts recognized on the Schedule of
Investments 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
- --------------------------------------------------------------------------------
250 SEI Institutional Investments Trust / Annual Report / May 31, 2007
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 Diversified Alpha, Large Cap Disciplined Equity, Large Cap Index, Small Cap,
Small/Mid Cap Equity, Enhanced Income and Emerging Markets Debt Funds; declared
daily and paid monthly for the Core Fixed Income, Long Duration, Extended
Duration, High Yield Bond and Real Return Plus 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.
RESTRICTED SECURITIES -- At May 31, 2007, the following Funds owned private
placement investments that were purchased through private offerings or acquired
through initial public offerings and cannot be sold without prior registration
under the Securities Act of 1933 or pursuant to an exemption therefrom. In
addition, the Funds have generally agreed to further restrictions on the
disposition of certain holdings as set forth in various agreements entered into
in connection with the purchase of these investments. These investments are
valued at fair value as determined in accordance with the procedures approved by
the Board of Trustees. The acquisition dates of these investments, the
enforceable right to acquire these securities, along with their cost and values
at May 31, 2007, were as follows:
Number Acquisition Right to Cost Market Value % of Net
of Shares Date Acquire Date ($ Thousands) ($ Thousands) Assets
- -------------------------------------------------------------------------------------------------------------------------
SMALL CAP FUND
BA Energy PIPE 119,000 8/10/06 8/10/06 $1,004 $ 890 0.04%
BA Energy, Deal #3 PIPE 30,500 4/30/07 4/30/07 221 228 0.01%
BPZ Energy PIPE 189,500 5/08/07 5/08/07 995 1,115 0.05%
North American Oil Sands (Canada) 245,500 5/31/06 5/31/06 2,681 4,133 0.20%
Oil Sands Quest PIPE 74,000 5/02/07 5/02/07 204 197 0.01%
Spatialight Deal # 3 PIPE 88,000 1/12/06 1/12/06 198 9 0.00%
Spatialight PIPE 8,233 6/21/06 6/21/06 -- 1 0.00%
Parkervision Warrants, Deal #3 8,250 3/28/06 3/28/06 -- 27 0.00%
Parkervision Warrants, Deal #2 7,500 6/20/05 6/20/05 16 24 0.00%
------ ------ -----
$5,319 $6,624 0.31%
SMALL/MID CAP EQUITY FUND
BA Energy PIPE 80,500 8/10/06 8/10/06 $ 679 $ 602 0.03%
BA Energy, Deal #3 PIPE 26,500 4/30/07 4/30/07 192 198 0.01%
BPZ Energy PIPE 163,000 5/08/07 5/08/07 856 959 0.05%
North American Oil Sands (Canada) 160,000 5/31/06 5/31/06 1,748 2,694 0.15%
Oil Sands Quest PIPE 63,500 5/02/07 5/02/07 175 169 0.01%
Spatialight Deal # 3 PIPE 59,000 1/12/06 1/12/06 133 6 0.00%
Spatialight PIPE 7,367 6/21/06 6/21/06 -- 1 0.00%
Parkervision Warrants, Deal #3 14,500 3/28/06 3/28/06 -- 49 0.00%
Parkervision Warrants, Deal #2 6,250 6/20/05 6/20/05 13 20 0.00%
------ ------ -----
$3,796 $4,698 0.25%
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 (the "Administrator") are parties to an Amended and
Restated Administration and Transfer Agency Agreement dated December 10, 2003
under which the Administrator provides administrative and shareholder servicing
for an annual fee of 0.05% of the average daily net assets of each Fund. For the
year ended May 31, 2007, and until further notice, the Administrator has
voluntarily agreed to waive all of its fee.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 251
Notes to Financial Statements (Continued)
MAY 31, 2007
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 Diversified Alpha Fund 0.400 0.350
Large Cap Disciplined Equity Fund 0.400 0.220
Large Cap Index Fund 0.170 0.060
Small Cap Fund 0.650 0.540
Small/Mid Cap Equity Fund 0.650 0.500
International Equity Fund 0.505 0.390
World Equity Ex-US Fund 0.550 0.600
Enhanced Income Fund 0.450 0.440
Core Fixed Income Fund 0.300 0.140
High Yield Bond Fund 0.490 0.350
Long Duration Fund 0.300 0.200
Extended Duration Fund 0.300 0.200
Emerging Markets Debt Fund 0.850 0.550
Real Return Plus Fund 0.700 0.440
As of May 31, 2007, 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 DIVERSIFIED ALPHA FUND
Analytic Investors, Inc.
Aronson + Johnson + Ortiz, L.P.
Delaware Management Company
Enhanced Investment Technologies, LLC (Intech)
Quantitative Management Associates, LLC
Smith Breeden Associates, Inc.
- --------------------------------------------------------------------------------
Investment Sub-Adviser
- --------------------------------------------------------------------------------
LARGE CAP DISCIPLINED EQUITY FUND
AlphaSimplex Group, LLC
Analytic Investors, Inc.
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 Investment Management, Inc.
Security Capital Research and Management Incorporated
Wellington Management Company, LLP
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
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.
- --------------------------------------------------------------------------------
252 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- --------------------------------------------------------------------------------
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.
ENHANCED INCOME FUND
Highland Capital Management L.P.
Record Currency Management Limited
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
HIGH YIELD BOND FUND
Ares Management LLC
J.P. Morgan Investment Management, Inc.
Nomura Corporate Research &
Asset Management, Inc.
LONG DURATION FUND
Metropolitan West Asset Management LLC
EXTENDED DURATION FUND
Metropolitan West Asset Management LLC
EMERGING MARKETS DEBT FUND
Ashmore Investment Management Limited
ING Investment Management Co.
Stone Harbor Investment Partners LP
REAL RETURN PLUS FUND
Deutsche Investment Management Americas, Inc.
First Quadrant, L.P.
OTHER --The Distribution Agreement between the Distributor and the Trust
provides that the Distributor may receive compensation on fund transactions
effected for the Trust in accordance with Securities and Exchange Commission
("SEC") rules. Accordingly, it is expected that fund transactions may result in
brokerage commissions being paid to the Distributor. The SEC rules require that
such commissions not exceed usual and customary commissions.
Such commissions for the year ended May 31, 2007 were as follows ($ Thousands):
Large Cap Fund $ 33
Large Cap Disciplined Equity Fund 147
Small Cap Fund 763
Small/Mid Cap Equity Fund 510
International Equity Fund 252
World Equity Ex-US Fund 291
------
$1,996
======
Certain officers and/or trustees of the Trust are also officers of the
Administrator or the Adviser. The Trust pays each unaffiliated Trustee an annual
fee for attendance at quarterly, interim and committee meetings. Compensation of
officers and affiliated Trustees of the Trust is paid by the Adviser or
Administrator.
LSV Asset Management (partially-owned subsidiary of SIMC) serves as a
sub-adviser to the Large Cap, Small Cap and Small/Mid Cap Equity Funds. For this
service LSV Asset Management is entitled to receive a fee from SIMC. Such fees
for the year ended May 31, 2007 were as follows ($ Thousands):
Large Cap Fund $ 131
Small Cap Fund 938
Small/Mid Cap Equity Fund 785
------
$1,854
======
FEES PAID INDIRECTLY -- The Funds may direct certain fund trades to the
Distributor who pays a portion of the Fund's expenses. Accordingly, the expenses
reduced, which were used to pay third party expenses, can be found on the
Statement of Operations and the effect on the Fund's expense ratio, as a
percentage of the Fund's average daily net assets for the year ended May 31,
2007, can be found on the Financial Highlights.
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 / Annual Report / May 31, 2007 253
Notes to Financial Statements (Continued)
MAY 31, 2007
4. CAPITAL SHARE TRANSACTIONS
Capital Share Transactions for the Funds were as follows (Thousands):
- -------------------------------------------------------------------------------------------------------------------------------
LARGE CAP LARGE CAP
DIVERSIFIED DISCIPLINED
LARGE CAP FUND ALPHA FUND(3) EQUITY FUND
- -------------------------------------------------------------------------------------------------------------------------------
2007 2006 2007 2006 2007 2006
- -------------------------------------------------------------------------------------------------------------------------------
Class A:
Shares Issued 1,317 3,921 33,976(1) 15,405 103,185(1) 16,060(1)
Shares Issued in Lieu of
Dividends and Distributions 678 1,141 519 11 23,565 2,265
Shares Redeemed (15,154) (70,494)(2) (10,457) (1,423) (61,085) (7,680)
Effect of Stock Split -- -- -- -- 439,286 --
- -------------------------------------------------------------------------------------------------------------------------------
Total Class A Transactions (13,159) (65,432) 24,038 13,993 504,951 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 (13,159) (65,434) 24,038 13,993 504,951 10,645
- -------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
LARGE CAP SMALL/MID CAP
INDEX FUND SMALL CAP FUND EQUITY FUND
- -------------------------------------------------------------------------------------------------------------------------------
2007 2006 2007 2006 2007 2006
- -------------------------------------------------------------------------------------------------------------------------------
Class A:
Shares Issued 280 795 14,887 36,891(1) 21,452 4,313(1)
Shares Issued in Lieu of
Dividends and Distributions 78 81 15,994 9,074 8,913 425
Shares Redeemed (524) (647) (26,642) (33,139)(2) (11,013) (2,072)
Effect of Stock Split -- -- -- -- 96,339 --
- -------------------------------------------------------------------------------------------------------------------------------
Total Class A Transactions (166) 229 4,239 12,826 115,691 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 (166) 229 4,239 12,819 115,691 2,666
- -------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------
INTERNATIONAL WORLD EQUITY ENHANCED
EQUITY FUND EX-US FUND INCOME FUND(4)
- --------------------------------------------------------------------------------------------------------------------
2007 2006 2007 2006 2007
- --------------------------------------------------------------------------------------------------------------------
Class A:
Shares Issued 13,259 19,087 71,102 56,952 12,291
Shares Issued in
Lieu of Dividends and
Distributions 28,933 4,873 6,384 499 171
Shares Redeemed (34,641) (56,427) (18,759) (11,419) (286)
- --------------------------------------------------------------------------------------------------------------------
Total Class A Transactions 7,551 (32,467) 58,727 46,032 12,176
- --------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Capital Shares 7,551 (32,467) 58,727 46,032 12,176
- --------------------------------------------------------------------------------------------------------------------
(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 Enhanced Income Debt Fund commenced operations on December 14, 2006.
Amounts designated as "--" are zero or have been rounded to zero.
- --------------------------------------------------------------------------------
254 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- -----------------------------------------------------------------------------------------------------------------------------
LONG
CORE FIXED HIGH YIELD DURATION
INCOME FUND BOND FUND(1) FUND
- -----------------------------------------------------------------------------------------------------------------------------
2007 2006 2007 2006 2007 2006
- -----------------------------------------------------------------------------------------------------------------------------
Class A:
Shares Issued 200,308 150,170 39,242 89,411 1,075 11,855
Shares Issued in Lieu of
Dividends and Distributions 27,065 20,531 8,625 2,668 954 838
Shares Redeemed (109,460) (111,285) (13,284) (6,487) (394) (2,143)
- -----------------------------------------------------------------------------------------------------------------------------
Total Class A Transactions 117,913 59,416 34,583 85,592 1,635 10,550
- -----------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Capital Shares 117,913 59,416 34,583 85,592 1,635 10,550
- -----------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------
EXTENDED EMERGING REAL
DURATION MARKETS RETURN
FUND DEBT FUND(2) PLUS FUND(3)
- -----------------------------------------------------------------------------------------------------------------
2007 2006 2007 2006 2007
- -----------------------------------------------------------------------------------------------------------------
Class A:
Shares Issued 15,142 12,856 27,399 51,578 22,760
Shares Issued in Lieu of
Dividends and Distributions 1,544 1,618 3,858 514 238
Shares Redeemed (1,733) (2,247) (5,979) (3,947) (1,055)
- -----------------------------------------------------------------------------------------------------------------
Total Class A Transactions 14,953 12,227 25,278 48,145 21,943
- -----------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Capital
Shares 14,953 12,227 25,278 48,145 21,943
- -----------------------------------------------------------------------------------------------------------------
(1) The High Yield Bond Fund commenced operations on December 5, 2005.
(2) The Emerging Markets Debt Fund commenced operations on December 5, 2005.
(3) The Real Return Plus Fund commenced operations on December 14, 2006.
5. INVESTMENT TRANSACTIONS
The cost of security purchases and proceeds from the sale and maturities of
securities other than temporary cash investments, during the year ended May 31,
2007, were as follows:
- --------------------------------------------------------------------------------
U.S. Gov't Other Total
($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
LARGE CAP FUND
Purchases -- 338,377 338,377
Sales -- 591,009 591,009
LARGE CAP DIVERSIFIED ALPHA FUND*
Purchases 129,757 556,886 686,643
Sales 113,305 311,144 424,449
LARGE CAP DISCIPLINED EQUITY FUND*
Purchases 2,726,667 7,057,085 9,783,752
Sales 2,451,964 5,639,229 8,091,193
LARGE CAP INDEX FUND
Purchases -- 38,490 38,490
Sales -- 59,213 59,213
SMALL CAP FUND
Purchases -- 1,800,582 1,800,582
Sales -- 2,017,045 2,017,045
SMALL/MID CAP FUND
Purchases -- 1,775,182 1,775,182
Sales -- 1,480,664 1,480,664
INTERNATIONAL EQUITY FUND
Purchases 850,453 1,792,309 2,642,762
Sales 838,534 2,051,261 2,889,795
- --------------------------------------------------------------------------------
U.S. Gov't Other Total
($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
WORLD EQUITY EX-US FUND
Purchases 1,093,363 1,807,589 2,900,952
Sales 1,030,653 1,078,448 2,109,101
ENHANCED INCOME FUND
Purchases 28,799 37,442 66,241
Sales 13,579 6,647 20,226
CORE FIXED INCOME FUND
Purchases 19,580,048 2,406,890 21,986,938
Sales 18,857,582 2,202,265 21,059,847
HIGH YIELD BOND FUND
Purchases 822 1,112,953 1,113,775
Sales 2,481 817,019 819,500
LONG DURATION BOND FUND
Purchases 16,969 102,841 119,810
Sales 14,400 103,631 118,031
EXTENDED DURATION BOND FUND
Purchases 36,164 257,651 293,815
Sales 18,902 197,199 216,101
EMERGING MARKETS DEBT FUND
Purchases -- 740,004 740,004
Sales -- 488,724 488,724
REAL RETURN PLUS FUND
Purchases 230,426 -- 230,426
Sales 28,040 -- 28,040
* Includes in-kind transactions (see Note 8).
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 255
Notes to Financial Statements (Continued)
MAY 31, 2007
6. FEDERAL TAX INFORMATION
It is each Fund's intention to continue to qualify as a regulated investment
company under Subchapter M of the Internal Revenue Code and distribute all of
its taxable income (including net capital gains). Accordingly, no provision for
Federal income taxes is required.
Dividends from net investment income and distributions from net realized capital
gains are determined in accordance with U.S. Federal income tax regulations,
which may differ from those amounts determined under accounting principles
generally accepted in the United States of America. These book/tax differences
are either temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gain, as appropriate, in the
period that the differences arise.
Accordingly, the following permanent differences, primarily attributable to
different treatment for gains and losses on paydowns of mortgage-and
asset-backed securities for tax purposes, defaulted bond basis adjustments,
reclassification of long term capital gain distributions on Real Estate
Investment Trust securities, reclassification of income and expense from swap
transactions, and gains and losses on passive foreign investment companies and
certain foreign currency related transactions, have been reclassified to/from
the following accounts as of May 31, 2007:
- --------------------------------------------------------------------------------
Undistributed Accumulated
Net Investment Realized
Income (Loss) Gain (Loss)
($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Large Cap Fund $ 26 $ (26)
Large Cap Diversified Alpha Fund 379 (379)
Large Cap Disciplined Equity Fund 615 (615)
Large Cap Index Fund 32 (32)
Small Cap Fund 497 (497)
Small/Mid Cap Equity Fund 577 (577)
International Equity Fund 19,599 (19,599)
World Equity Ex-US Fund 10,762 (10,762)
Enhanced Income Fund 51 (51)
Core Fixed Income Fund (772) 772
High Yield Bond Fund 352 (352)
Long Duration Fund (716) 716
Extended Duration Fund (2,550) 2,550
Emerging Markets Debt Fund 2,604 (2,604)
Real Return Plus Fund (16) 16
These reclassifications have no impact on net assets or net asset value per
share.
The tax character of dividends and distributions paid during the last two years
or periods were as follows:
- --------------------------------------------------------------------------------
Ordinary Long-term
Income Capital Gain Total
($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Large Cap Fund 2007 $ 12,254 $ -- $ 12,254
2006 19,617 -- 19,617
Large Cap Diversified
Alpha Fund 2007 5,094 1,505 6,599
2006 167 -- 167
Large Cap Disciplined
Equity Fund 2007 237,780 132,166 369,946
2006 172,080 108,577 280,657
Large Cap Index
Fund 2007 7,885 1,949 9,834
2006 6,360 3,238 9,598
Small Cap Fund 2007 86,056 164,468 250,524
2006 45,737 93,718 139,455
Small/Mid Cap
Equity Fund 2007 60,501 67,293 127,794
2006 34,951 19,445 54,396
International Equity
Fund 2007 146,614 238,163 384,777
2006 49,222 14,153 63,375
World Equity Ex-US
Fund 2007 80,977 10,314 91,291
2006 6,142 -- 6,142
Enhanced Income
Fund 2007 1,709 -- 1,709
Core Fixed Income
Fund 2007 279,194 -- 279,194
2006 212,264 1,463 213,727
High Yield Bond
Fund 2007 89,624 -- 89,624
2006 27,352 -- 27,352
Long Duration Fund 2007 9,267 -- 9,267
2006 8,254 3 8,257
Extended Duration
Fund 2007 14,980 -- 14,980
2006 16,599 15 16,614
Emerging Markets
Debt Fund 2007 41,623 -- 41,623
2006 5,375 -- 5,375
Real Return Plus
Fund 2007 2,421 -- 2,421
- --------------------------------------------------------------------------------
256 SEI Institutional Investments Trust / Annual Report / May 31, 2007
As of May 31, 2007, the components of Distributable Earnings/(Accumulated
Losses) were as follows:
- --------------------------------------------------------------------------------------------------------------------
Undistributed Undistributed Capital Post Post
Ordinary Long-Term Loss October October
Income Capital Gain Carryforwards Losses Currency Losses
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------------------------------------------
Large Cap Fund $ 2,077 $ -- $(155,287) $ -- $ --
Large Cap Diversified Alpha Fund 11,981 4,805 -- -- --
Large Cap Disciplined Equity Fund 241,227 182,292 -- -- --
Large Cap Index Fund 2,089 3,432 -- -- --
Small Cap Fund 52,986 56,768 -- -- (10)
Small/Mid Cap Equity Fund 47,893 43,950 -- -- (31)
International Equity Fund 136,790 75,887 -- -- --
World Equity Ex-US Fund 118,246 37,914 -- -- --
Enhanced Income Fund 1,751 161 -- -- --
Core Fixed Income Fund 25,163 -- (41,415) (5,288) (1,027)
High Yield Bond Fund 15,553 1,453 -- -- --
Long Duration Fund 803 -- (2,250) (2,997) --
Extended Duration Fund 1,659 -- (4,642) (4,342) --
Emerging Markets Debt Fund 20,631 1,133 -- -- --
Real Return Plus Fund 4,164 457 -- -- --
- --------------------------------------------------------------------------------------------
Unrealized Other Total
Appreciation Temporary Distributable Earnings/
(Depreciation) Differences (Accumulated Losses)
($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------------------
Large Cap Fund $135,651 $ (621) $ (18,180)
Large Cap Diversified Alpha Fund 49,102 (6,556) 59,332
Large Cap Disciplined Equity Fund 981,637 (1,165) 1,403,991
Large Cap Index Fund 143,684 (442) 148,763
Small Cap Fund 374,424 997 485,165
Small/Mid Cap Equity Fund 283,992 (2,229) 373,575
International Equity Fund 335,792 239 548,708
World Equity Ex-US Fund 311,213 (2,818) 464,555
Enhanced Income Fund 155 (383) 1,684
Core Fixed Income Fund (50,635) (23,955) (97,157)
High Yield Bond Fund 25,985 (10,611) 32,380
Long Duration Fund (5,246) (1,839) (11,529)
Extended Duration Fund (30,797) (4,304) (42,426)
Emerging Markets Debt Fund 29,230 (4,689) 46,305
Real Return Plus Fund (1,888) (1,483) 1,250
Post-October losses represent losses realized on investment transactions from
November 1, 2006 through May 31, 2007 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 Expire Carryforwards
2011 2014 2015 5/31/07
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- ---------------------------------------------------------------------------------------
Large Cap Fund $155,287 $ -- $ -- $155,287
Core Fixed Income Fund -- 15,381 26,034 41,415
Long Duration Fund -- -- -- 2,250 2,250
Extended Duration Fund -- -- 4,642 4,642
During the year ended May 31, 2007, the Large Cap Fund utilized $47,566,633 of
capital loss carryforwards,to offset capital gains.
For Federal income tax purposes, the cost of securities owned at May 31, 2007,
and the net realized gains or losses on securities sold for the period were not
materially different from amounts reported for financial reporting purposes,
primarily due to wash sales which cannot be used for Federal income tax purposes
in the current year and have been deferred for use in future years. The
aggregate gross unrealized appreciation and depreciation on total investments
held by the Funds at May 31, 2007, was as follows:
- --------------------------------------------------------------------------------------------
Net
Unrealized
Federal Appreciated Depreciated Appreciation
Tax Cost Securities Securities (Depreciation)
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------------------
Large Cap Fund $ 606,524 $ 156,536 $(21,506) $135,030
Large Cap Diversified
Alpha Fund 466,393 50,392 (4,709) 45,683
Large Cap Disciplined
Equity Fund 7,526,273 1,049,763 (70,552) 979,211
Large Cap Index Fund 317,728 150,552 (7,423) 143,129
Small Cap Fund 2,383,962 439,853 (66,011) 373,842
- --------------------------------------------------------------------------------------------
Net
Unrealized
Federal Appreciated Depreciated Appreciation
Tax Cost Securities Securities (Depreciation)
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------------------
Small/Mid Cap Equity Fund $2,020,362 $325,318 $(44,696) $280,622
International Equity Fund 1,932,213 366,768 (40,907) 325,861
World Equity Ex-US Fund 2,019,352 322,423 (26,451) 295,972
Enhanced Income Fund 125,032 145 (326) (181)
Core Fixed Income Fund 8,035,063 28,948 (77,148) (48,200)
High Yield Bond Fund 1,379,679 33,105 (7,120) 25,985
Long Duration Fund 193,859 629 (1,230) (601)
Extended Duration Fund 416,638 1,200 (2,290) (1,090)
Emerging Markets Debt Fund 800,818 31,673 (5,317) 26,356
Real Return Plus Fund 219,693 -- (2,707) (2,707)
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
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 257
Notes to Financial Statements (Concluded)
MAY 31, 2007
considerations and risks not typically associated with investments in the United
States, as a result of, among other factors, the possibility of future political
and economic developments and the level of governmental supervision and
regulation of securities markets in the respective countries.
8. IN-KIND TRANSFERS OF SECURITIES
During the year ended May 31, 2007, 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 Diversified
Alpha Fund
09/29/06 928,885 $ 9,614
Large Cap Disciplined
Equity Fund
06/30/06 155,459 19,260
07/31/06 118,902 14,756
09/29/06 364,480 47,218
03/30/07 584,267 7,794
04/16/07 137,659 1,897
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. Funds received cash as collateral for securities on loan
and made investments. Investments purchased with cash collateral are presented
on the schedule of investments for each Fund.
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
In June 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
- --------------------------------------------------------------------------------
258 SEI Institutional Investments Trust / Annual Report / May 31, 2007
sustained as of the adoption date. The Fund will not be required to adopt FIN 48
until the year ended May 30, 2008. As of May 31, 2007, Management is currently
evaluating the impact from adopting FIN 48.
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 May 31, 2007, 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.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 259
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2007
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of
SEI Institutional Investments Trust:
We have audited the accompanying statements of assets and liabilities of SEI
Institutional Investments Trust comprising the Large Cap, Large Cap Diversified
Alpha, Large Cap Disciplined Equity, Large Cap Index, Small Cap, Small/ Mid Cap
Equity, International Equity, World Equity Ex-US, Enhanced Income, Core Fixed
Income, High Yield Bond, Long Duration, Extended Duration, Emerging Markets Debt
and Real Return Plus Funds, (collectively, the "Funds"), including the schedules
of investments as of May 31, 2007 and the related statements of operations for
the year then ended or period from inception through May 31, 2007 (inception for
the Real Return Plus and Enhanced Income Funds is December 14, 2006), the
statements of changes in net assets, and the financial highlights for each of
the years or periods in the two-year period then ended. These financial
statements and financial highlights are the responsibility of the Fund's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits. The financial
highlights for the years or periods in the three-year period ended May 31, 2005,
were audited by other auditors, whose report dated July 27, 2005, expressed an
unqualified opinion thereon.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements. Our procedures included confirmation of
securities owned as of May 31, 2007, by correspondence with custodians and
brokers. As to securities purchases or sold but not yet received or delivered,
we performed other appropriate auditing procedures. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the funds comprising SEI Institutional Investments Trust as of May 31, 2007,
and the results of their operations for the year or period then ended, the
changes in their net assets and the financial highlights for each of the years
or periods in the two year period then ended, in conformity with U.S. generally
accepted accounting principles.
/s/ KPMG LLP
Philadelphia, Pennsylvania
July 30, 2007
- --------------------------------------------------------------------------------
260 SEI Institutional Investments Trust / Annual Report / May 31, 2007
Trustees and Officers of the Trust (Unaudited)
The following information is current as of July 27, 2007.
Set forth below are the names, addresses, ages, position with the Trust, Term of
Office and Length of Time Served, the principal occupations the last five years,
number of portfolios in fund complex overseen by trustee, and other
directorships outside the fund complex of each of the persons currently serving
as Trustees and Officers of the Trust. The Trust's Statement of Additional
Information ("SAI") includes additional information about the Trustees and
Officers. The SAI may be obtained without charge by calling 1-800-342-5734.
- ----------------------------------------------------------------------------------------------------------------------------
TERM OF NUMBER OF
OFFICE PORTFOLIOS
AND PRINCIPAL IN FUND
NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS
ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY
AND AGE TRUSTS SERVED 1 FIVE YEARS BY TRUSTEE 2 TRUSTEE
- ----------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES
- -------------------
Robert A. Nesher Chairman since 1982 Currently performs various 75 Trustee of The Advisors'
One Freedom of the services on behalf of SEI Inner Circle Fund, The
Valley Drive, Board of Investments for which Mr. Advisors' Inner Circle
Oaks, PA 19456 Trustees* Nesher is compensated. Fund II, Bishop Street
60 yrs. old Funds, Director of SEI
Global Master Fund, plc,
SEI Global Assets Fund,
plc, SEI Global
Investments Fund, plc,
SEI Investments Global,
Limited, SEI Investments
-- Global Fund Services,
Limited, SEI Investments
(Europe), Limited, SEI
Investments -- Unit Trust
Management (UK), Limited,
SEI Global Nominee Ltd.,
SEI Opportunity Master
Fund, L.P., SEI
Opportunity Fund, L.P.,
SEI Structured Credit
Fund, L.P., and SEI
Multi-Strategy Funds plc.
- ----------------------------------------------------------------------------------------------------------------------------
William M. Doran Trustee* since 1982 Self-employed consultant 75 Trustee of The Advisors'
1701 Market Street since 2003. Partner, Inner Circle Fund, The
Philadelphia, PA Morgan, Lewis & Bockius Advisors' Inner Circle
19103 LLP (law firm) from 1976 Fund II, Bishop Street
67 yrs. old to 2003, counsel to the Funds, Director of SEI
Trust, SEI, SIMC, the since 1974. Director of
Administrator and the the Distributor since
Distributor. Secretary of 2003. Director of SEI
SEI since 1978. Investments -- Global Fund
Services, Limited, SEI
Investments Global,
Limited, SEI Investments
(Europe), Limited, SEI
Investments (Asia),
Limited and SEI Asset
Korea Co., Ltd.
- ----------------------------------------------------------------------------------------------------------------------------
TRUSTEES
- --------
F. Wendell Gooch Trustee since 1982 Retired 75 Trustee of STI Classic
One Freedom Funds and STI Classic
Valley Drive, Variable Trust.
Oaks, PA 19456
74 yrs. old
- ----------------------------------------------------------------------------------------------------------------------------
James M. Storey Trustee since 1995 Attorney, sole 75 Trustee of The Advisors'
One Freedom practitioner since 1994. Inner Circle Fund, The
Valley Drive, Partner, Dechert Price & Advisors' Inner Circle
Oaks, PA 19456 Rhoads, September 1987- Fund II, Bishop Street
76 yrs. old December 1993. Funds, Massachusetts
Health and Education Tax-
Exempt Trust, and U.S.
Charitable Gift Trust.
- ----------------------------------------------------------------------------------------------------------------------------
* MESSRS. NESHER AND DORAN ARE TRUSTEES WHO MAY BE DEEMED AS "INTERESTED"
PERSONS OF THE TRUST AS THAT TERM IS DEFINED IN THE 1940 ACT BY VIRTUE OF
THEIR AFFILIATION WITH SIMC AND THE TRUST'S DISTRIBUTOR.
1 EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE
ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR, OR UNTIL HE OR SHE
SOONER DIES, RESIGNS OR IS REMOVED IN ACCORDANCE WITH THE TRUST'S
DECLARATION OF TRUST.
2 THE FUND COMPLEX INCLUDES THE FOLLOWING TRUSTS: SEI ASSET ALLOCATION
TRUST, SEI DAILY INCOME TRUST, SEI INDEX FUNDS, SEI INSTITUTIONAL
INVESTMENTS TRUST, SEI INSTITUTIONAL INTERNATIONAL TRUST, SEI
INSTITUTIONAL MANAGED TRUST, SEI LIQUID ASSET TRUST AND SEI TAX EXEMPT
TRUST.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 261
Trustees and Officers of the Trust (Unaudited) (Continued)
- ----------------------------------------------------------------------------------------------------------------------------
TERM OF NUMBER OF
OFFICE PORTFOLIOS
AND PRINCIPAL IN FUND
NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS
ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY
AND AGE TRUSTS SERVED 1 FIVE YEARS BY TRUSTEE 2 TRUSTEE
- ----------------------------------------------------------------------------------------------------------------------------
TRUSTEES (CONTINUED)
- --------
George J. Trustee since 1996 Self-Employed Consultant, 75 Trustee of The Advisors'
Sullivan, Jr. Newfound Consultants Inc. Inner Circle Fund, The
One Freedom since April 1997. Advisors' Inner Circle
Valley Drive Fund II, Bishop Street
Oaks, PA 19456 Funds, State Street
64 yrs. old Navigator Securities
Lending Trust, SEI
Opportunity Master Fund,
L.P., SEI Opportunity
Fund, L.P., and SEI
Structured Credit Fund,
L.P.
- ----------------------------------------------------------------------------------------------------------------------------
Rosemarie B. Greco Trustee since 1999 Director, Governor's 75 Director, Sonoco, Inc.;
One Freedom` Office of Health Care Director, Exelon
Valley Drive Reform, Commonwealth of Corporation; Trustee,
Oaks, PA 19456 Pennsylvania since 2003. Pennsylvania Real Estate
61 yrs. old Founder and Principal, Investment Trust.
Grecoventures Ltd. from
1999 to 2002.
- ----------------------------------------------------------------------------------------------------------------------------
Nina Lesavoy Trustee since 2003 Managing Partner, Cue 75 Director of SEI
One Freedom Capital since March 2002, Opportunity Master Fund,
Valley Drive, Managing Partner and Head L.P., SEI Opportunity
Oaks, PA 19456 of Sales, Investorforce, Fund, L.P., and SEI
50 yrs. old March 2000-December 2001; Structured Credit Fund,
Global Partner working for L.P.
the CEO, Invesco Capital,
January 1998-January 2000.
Head of Sales and Client
Services, Chancellor
Capital and later LGT
Asset Management,
1986-2000.
- ----------------------------------------------------------------------------------------------------------------------------
James M. Williams Trustee since 2004 Vice President and Chief 75 Trustee/Director of Ariel
One Freedom Investment Officer, J. Mutual Funds, SEI
Valley Drive, Paul Getty Trust, Opportunity Master Fund,
Oaks, PA 19456 Non-Profit Foundation for L.P., SEI Opportunity
59 yrs. old Visual Arts, since Fund, L.P., and SEI
December 2002. President, Structured Credit Fund,
Harbor Capital Advisors L.P.
and Harbor Mutual Funds,
2000-2002. Manager,
Pension Asset Management,
Ford Motor Company,
1997-1999.
- ----------------------------------------------------------------------------------------------------------------------------
Mitchell A. Trustee since 2007 Private Investor since 75 Trustee of the Advisors'
Johnson 1994. Inner Circle Fund, The
One Freedom Advisor's Inner Circle
Valley Drive, Fund II, and Bishop
Oaks, PA 19456 Street Funds.
65 yrs. old
- ----------------------------------------------------------------------------------------------------------------------------
OFFICERS
- --------
Robert A. Nesher President since 2005 Currently performs various N/A N/A
One Freedom & CEO services on behalf of SEI
Valley Drive, for which Mr. Nesher is
Oaks, PA 19456 compensated.
60 yrs. old
- ----------------------------------------------------------------------------------------------------------------------------
Stephen F. Panner Controller since 2005 Fund Accounting Director N/A N/A
One Freedom and of the Administrator since
Valley Drive, Chief 2005. Fund Administration
Oaks, PA 19456 Financial Manager, Old Mutual Fund
37 yrs. old Officer Services, 2000-2005. Chief
Financial Officer,
Controller and Treasurer,
PBHG Funds and PBHG
Insurance Series Fund,
2004-2005. Assistant
Treasurer, PBHG Funds and
PBHG Insurance Series
Fund, 2000-2004. Assistant
Treasurer, Old Mutual
Advisors Fund, 2004-2005.
- ----------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
262 SEI Institutional Investments Trust / Annual Report / May 31, 2007
- ----------------------------------------------------------------------------------------------------------------------------
TERM OF NUMBER OF
OFFICE PORTFOLIOS
AND PRINCIPAL IN FUND
NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS
ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY
AND AGE TRUSTS SERVED 1 FIVE YEARS BY TRUSTEE 2 TRUSTEE
- ----------------------------------------------------------------------------------------------------------------------------
OFFICERS (CONTINUED)
- --------
Russell Emery Chief since 2006 Chief Compliance Officer N/A N/A
One Freedom Compliance of SEI Opportunity Master
Valley Drive Officer Fund, L.P., SEI
Oaks, PA 19456 Opportunity Fund, L.P.,
44 yrs. old SEI Structured Credit
Fund, L.P., SEI
Institutional Managed
Trust, SEI Asset
Allocation Trust, SEI
Institutional
International Trust, SEI
Index Funds, SEI Liquid
Asset Trust, SEI Daily
Income Trust, SEI Tax
Exempt Trust, SEI
Institutional Investments
Trust, The Advisors' Inner
Circle Fund, The Advisors'
Inner Circle Fund II, and
Bishop Street Funds, since
March 2006. Director of
Investment Product
Management and Development
of SIMC, February 2003-
March 2006. Senior
Investment Analyst-- Equity
Team of SEI, March 2000-
February 2003.
- ----------------------------------------------------------------------------------------------------------------------------
Timothy D. Barto Vice since 2002 General Counsel, Vice N/A N/A
One Freedom President President and Secretary of
Valley Drive and SIMC and the Administrator
Oaks, PA 19456 Secretary since 2004. Vice President
39 yrs. old and Assistant Secretary of
SEI since 2001. Vice
President of SIMC and the
Administrator since 1999.
Assistant Secretary of
SIMC, the Administrator
and the Distributor and
Vice President of the
Distributor, 1999-2003.
- ----------------------------------------------------------------------------------------------------------------------------
Sofia A. Rosala Vice since 2004 Vice President and N/A N/A
One Freedom President Assistant Secretary of
Valley Drive and SIMC and the Administrator
Oaks, PA 19456 Assistant since 2005. Compliance
33 yrs. old Secretary Officer of SEI, September
2001-2004.
- ----------------------------------------------------------------------------------------------------------------------------
James Ndiaye Vice since 2005 Vice President and N/A N/A
One Freedom President Assistant Secretary of
Valley Drive and SIMC since 2005. Vice
Oaks, PA 19456 Assistant President, Deutsche Asset
38 yrs. old Secretary Management (2003-2004).
Associate, Morgan, Lewis &
Bockius LLP (2000-2003).
- ----------------------------------------------------------------------------------------------------------------------------
Michael T. Pang Vice since 2005 Vice President and N/A N/A
One Freedom President Assistant Secretary of
Valley Drive and SIMC since 2005. Counsel,
Oaks, PA 19456 Assistant Caledonian Bank & Trust's
35 yrs. old Secretary Mutual Funds Group (2004).
Counsel, Permal Asset
Management (2001-2004).
- ----------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 263
Trustees and Officers of the Trust (Unaudited) (Concluded)
- ----------------------------------------------------------------------------------------------------------------------------
TERM OF NUMBER OF
OFFICE PORTFOLIOS
AND PRINCIPAL IN FUND
NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS
ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY
AND AGE TRUSTS SERVED 1 FIVE YEARS BY TRUSTEE 2 TRUSTEE
- ----------------------------------------------------------------------------------------------------------------------------
OFFICERS (CONTINUED)
- --------
John J. McCue Vice since 2004 Director of Portfolio N/A N/A
One Freedom President Implementations for SIMC
Valley Drive since 1995. Managing
Oaks, PA 19456 Director of Money Market
44 yrs. old Investments for SIMC
since 2003.
- ----------------------------------------------------------------------------------------------------------------------------
Nicole Welch Anti-Money since 2005 Assistant Vice President N/A N/A
One Freedom Laundering and Anti-Money Laundering
Valley Drive Compliance Compliance Coordinator of
Oaks, PA 19456 Officer SEI since 2005.
29 yrs. old Compliance Analyst, TD
Waterhouse (2004). Senior
Compliance Analyst, UBS
Financial Services
(2002-2004). Knowledge
Management Analyst,
PriceWaterhouseCoopers
Consulting (2000-2002).
- ----------------------------------------------------------------------------------------------------------------------------
1 EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE
ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR, OR UNTIL HE OR SHE
SOONER DIES, RESIGNS OR IS REMOVED IN ACCORDANCE WITH THE TRUST'S
DECLARATION OF TRUST.
2 THE FUND COMPLEX INCLUDES THE FOLLOWING TRUSTS: SEI ASSET ALLOCATION
TRUST, SEI DAILY INCOME TRUST, SEI INDEX FUNDS, SEI INSTITUTIONAL
INVESTMENTS TRUST, SEI INSTITUTIONAL INTERNATIONAL TRUST, SEI
INSTITUTIONAL MANAGED TRUST, SEI LIQUID ASSET TRUST AND SEI TAX EXEMPT
TRUST.
- --------------------------------------------------------------------------------
264 SEI Institutional Investments Trust / Annual Report / May 31, 2007
Disclosure of Fund Expenses (Unaudited)
MAY 31, 2007
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 / Annual Report / May 31, 2007 265
Disclosure of Fund Expenses (Concluded) (Unaudited)
MAY 31, 2007
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/1/06 5/31/07 RATIOS PERIOD*
- -------------------------------------------------------------------------------
LARGE CAP FUND
- -------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,107.00 0.26% $1.37
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.64 0.26% $1.31
- -------------------------------------------------------------------------------
LARGE CAP DIVERSIFIED ALPHA FUND
- -------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,117.70 0.35% $1.85
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.19 0.35% $1.77
- -------------------------------------------------------------------------------
LARGE CAP DISCIPLINED EQUITY FUND
- -------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,111.30 0.22% $1.16
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.83 0.22% $1.11
- -------------------------------------------------------------------------------
LARGE CAP INDEX FUND
- -------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,106.50 0.06% $0.32
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,024.63 0.06% $0.30
- -------------------------------------------------------------------------------
SMALL CAP FUND
- -------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,110.40 0.52% $2.74
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,022.34 0.52% $2.62
- -------------------------------------------------------------------------------
SMALL/MID CAP EQUITY FUND
- -------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,118.20 0.48% $2.53
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,022.54 0.48% $2.42
- -------------------------------------------------------------------------------
INTERNATIONAL EQUITY FUND
- -------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,152.00 0.39% $2.09
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,022.99 0.39% $1.97
- -------------------------------------------------------------------------------
WORLD EQUITY EX-US FUND
- -------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,159.20 0.60% $3.23
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,021.94 0.60% $3.02
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/1/06 5/31/07 RATIOS PERIOD*
- -------------------------------------------------------------------------------
CORE FIXED INCOME FUND
- -------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,007.00 0.14% $0.70
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.93 0.14% $0.71
- -------------------------------------------------------------------------------
HIGH YIELD BOND
- -------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,062.80 0.35% $1.80
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.19 0.35% $1.77
- -------------------------------------------------------------------------------
LONG DURATION BOND FUND
- -------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 971.40 0.20% $0.98
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.93 0.20% $1.01
- -------------------------------------------------------------------------------
EXTENDED DURATION BOND FUND
- -------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 897.00 0.20% $0.95
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.93 0.20% $1.01
- -------------------------------------------------------------------------------
EMERGING MARKETS DEBT FUND
- -------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,057.50 0.55% $2.82
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,022.19 0.55% $2.77
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/14/06(1) 5/31/07 RATIOS PERIOD
- --------------------------------------------------------------------------------
ENHANCED INCOME FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,030.20 0.44% $2.07**
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,022.74 0.44% $2.22*
- --------------------------------------------------------------------------------
REAL RETURN PLUS FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,022.90 0.44% $2.06**
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,022.74 0.44% $2.22*
(1) Date of inception
* Expenses are equal to the Fund's annualized expense ratio multiplied by
the average account value over the period, multiplied by 182/365 (to
reflect one-half year period shown).
** Expenses are equal to the Fund's annualized expense ratio multiplied by
the average account value over the period, multiplied by 169/365 (to
reflect one-half year period shown).
- --------------------------------------------------------------------------------
266 SEI Institutional Investments Trust / Annual Report / May 31, 2007
Board of Trustees Considerations in Approving the Advisory and Sub-Advisory
Agreements (Unaudited)
MAY 31, 2007
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 the series of the Trust
(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 the Sub-Advisers' 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, the Funds' 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 Funds; 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 Funds' 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 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
the Sub-Advisers regarding: (a) the quality of SIMC's and the Sub-Advisers'
investment management and other services; (b) SIMC's and the Sub-Advisers'
investment management personnel; (c) SIMC's and the Sub-Advisers' operations and
financial condition; (d) SIMC's and the Sub-Advisers' brokerage practices
(including any soft dollar arrangements) and investment strategies; (e) the
level of the advisory fees that SIMC and the Sub-Advisers charge the Funds
compared with the fees each charge to comparable mutual funds; (f) the Funds'
overall fees and operating expenses compared with similar mutual funds; (g) the
level of SIMC's and the Sub-Advisers' profitability from their Fund-related
operations; (h) SIMC's and the Sub-Advisers' compliance systems; (i) SIMC's and
the Sub-Advisers' policies on and compliance procedures for personal securities
transactions; (j) SIMC's and the Sub-Advisers' reputation, expertise and
resources in domestic and/or international financial markets; and (k) the Funds'
performance compared with similar mutual funds.
At the March 14, 2007 and June 28-29, 2007 meetings of the Board of Trustees,
the Trustees, including a majority of the Independent Trustees, approved the
Investment Advisory Agreements and approved the selection of SIMC and the
Sub-Advisers
- -------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 267
Board of Trustees Considerations in Approving the Advisory and Sub-Advisory
Agreements (Concluded) (Unaudited)
MAY 31, 2007
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 the Funds' investment performance and how it compared to that of
other comparable mutual funds;
o the Funds' 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 the Funds, 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. The Trustees found the level of SIMC's professional staff
and culture of compliance satisfactory. 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 the Funds' performance relative to their peer groups and
appropriate indices/benchmarks, in light of total return, yield and market
trends. As part of this review, the Trustees considered the composition of each
peer group and selection criteria. In evaluating performance, the Trustees
considered both market risk and shareholder risk expectations for the Funds. The
Trustees found Fund performance satisfactory, and where performance was below
the benchmark, the Trustees were satisfied that appropriate steps were being
taken. 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 the Funds' 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 the Funds' respective peer groups. The Trustees further considered the fact
that the comparative fee analysis either showed that the various fees were below
average or that there was a reasonable basis for the fee level. 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-Adviser 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. The
Trustees found that profitability was reasonable and that the margin was not
increasing despite growth in assets. When considering the profitability of the
Sub-Advisers, the Board took
- -------------------------------------------------------------------------------
268 SEI Institutional Investments Trust / Annual Report/ May 31, 2007
into account the fact that the Sub-Advisers are compensated by SIMC, and not by
the Funds directly, and such compensation with respect to any Sub-Adviser
reflects an arms-length negotiation between the Sub-Adviser and SIMC. Based on
this evaluation, the Board concluded that, within the context of its full
deliberations, the profitability of SIMC and the Sub-Advisers are reasonable and
supported renewal of the Investment Advisory Agreements.
ECONOMIES OF SCALE. The Trustees considered the existence of any economies of
scale and whether those were passed along to the Funds' 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.
- -------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2007 269
Notice to Shareholders (Unaudited)
For shareholders who do not have a May 31, 2007, taxable year end, this notice
is for informational purposes only. For shareholders with a May 31, 2007,
taxable year end, please consult your tax adviser as to the pertinence of this
notice.
For the fiscal year ended May 31, 2007, the Funds are designating long term and
qualifying dividend income with regard to distributions paid during the year as
follows:
(A) (B)
LONG TERM ORDINARY
CAPITAL GAINS INCOME TOTAL
DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS
(TAX BASIS) (TAX BASIS) (TAX BASIS)
- --------------------------------------------------------------------------------
Large Cap Fund 0% 100% 100%
Large Cap Diversified Alpha Fund 23% 77% 100%
Large Cap Disciplined Equity Fund 36% 64% 100%
Large Cap Index Fund 20% 80% 100%
Small Cap Fund 66% 34% 100%
Small/Mid Cap Equity Fund 53% 47% 100%
International Equity Fund (3) 62% 38% 100%
World Equity Ex-US Fund (4) 11% 89% 100%
Enhanced Income Fund 0% 100% 100%
Core Fixed Income Fund 0% 100% 100%
High Yield Bond Fund 0% 100% 100%
Long Duration Fund 0% 100% 100%
Extended Duration Fund 0% 100% 100%
Emerging Markets Debt Fund 0% 100% 100%
Real Return Plus Fund 0% 100% 100%
(C)
DIVIDENDS (D)
QUALIFYING QUALIFYING QUALIFIED
FOR CORPORATE DIVIDEND INCOME (E) QUALIFIED SHORT-TERM
DIVIDENDS REC. (15% TAX RATE U.S. GOVERNMENT INTEREST CAPITAL
DEDUCTION (1) FOR QDI) (2) INTEREST INCOME GAIN
- -------------------------------------------------------------------------------------------------------------
Large Cap Fund 100% 100% 1% 2% 0%
Large Cap Diversified Alpha Fund 25% 13% 1% 2% 100%
Large Cap Disciplined Equity Fund 25% 24% 1% 4% 100%
Large Cap Index Fund 85% 48% 1% 1% 100%
Small Cap Fund 13% 13% 1% 1% 100%
Small/Mid Cap Equity Fund 14% 10% 1% 1% 100%
International Equity Fund (3) 0% 22% 1% 3% 100%
World Equity Ex-US Fund (4) 0% 12% 1% 4% 100%
Enhanced Income Fund 0% 0% 0% 73% 0%
Core Fixed Income Fund 0% 0% 19% 77% 100%
High Yield Bond Fund 0% 0% 0% 85% 100%
Long Duration Fund 0% 0% 3% 93% 100%
Extended Duration Fund 0% 0% 8% 93% 100%
Emerging Markets Debt Fund 0% 0% 1% 43% 100%
Real Return Plus Fund 0% 0% 65% 65% 0%
(1) Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction.
(2) The percentage in this column represents the amount of "Qualifying
Dividend Income" as created by the Jobs and Growth Tax Relief
Reconciliation Act of 2003 and is reflected as a percentage of "Ordinary
Income Distributions." It is the intention of each of the aforementioned
funds to designate the maximum amount permitted by the law.
The information reported herein may differ from the information and
distributions taxable to the shareholders for the calendar year ending
December 31, 2007. Complete information will be computed and reported in
conjunction with your 2007 Form 1099-DIV.
(3) The fund intends to pass through a foreign tax credit to shareholders. For
fiscal year ended 2007, the total amount of foreign source income is
$44,834,992. The total amount of foreign tax to be paid is $1,525,763.
Your allocable share of the foreign tax credit will be reported on Form
1099 DIV.
(4) The fund intends to pass through a foreign tax credit to shareholders. For
fiscal year ended 2007, the total amount of foreign source income is
$23,210,922. The total amount of foreign tax to be paid is $1,976,592.
Your allocable share of the foreign tax credit will be reported on Form
1099 DIV.
Items (A) and (B) are based on the percentage of each fund's total distribution.
Items (C) and (D) are based on the percentage of ordinary income distributions
of each fund.
Item (E) is based on the percentage of gross income of each fund.
Please consult your tax adviser for proper treatment of this information. This
notification should be kept with your permanent tax records.
- --------------------------------------------------------------------------------
270 SEI Institutional Investments Trust / Annual Report / May 31, 2007
Notes
Notes
SEI INSTITUTIONAL INVESTMENTS TRUST ANNUAL REPORT MAY 31, 2007
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
Mitchell A. Johnson
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-140 (5/07)
ITEM 2. CODE OF ETHICS.
The registrant has adopted a code of ethics that applies to the registrant's
principal executive officer, principal financial officer, comptroller or
principal accounting officer, and any person who performs a similar function.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a)(1) The registrant's board of trustees has determined that the registrant has
at least one audit committee financial expert serving on the audit committee.
(a) (2) The audit committee financial expert is George J. Sullivan, Jr. Mr.
Sullivan is an independent as defined in Form N-CSR Item 3 (a) (2).
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Fees billed by KPMG LLP ("KPMG") related to the Trust.
KPMG billed the Trust aggregate fees for services rendered to the Trust for the
fiscal years 2007 and 2006 as follows:
- --------- ----------------------------------------------------------------- --------------------------------------------------------
FISCAL 2007 FISCAL 2006
- --------- ----------------------------------------------------------------- --------------------------------------------------------
All fees and All fees and All other fees All fees and All fees and All other fees
services to the services to and services to services to the services to and services to
Trust that were service service Trust that were service service
pre-approved affiliates that affiliates that pre-approved affiliates that affiliates that
were pre-approved did not require were pre-approved did not require
pre-approval pre-approval
- --------- --------- ----------------- ------------------- ----------------- ----------------- ------------------- ------------------
(a) Audit
Fees(1) $383,500 N/A $0 $230,100 N/A $0
- --------- --------- ----------------- ------------------- ----------------- ----------------- ------------------- ------------------
(b) Audit-
Related $0 $0 $0 $0 $0 $0
Fees
- --------- --------- ----------------- ------------------- ----------------- ----------------- ------------------- ------------------
(c) Tax
Fees $0 $0 $0 $0 $0 $0
- --------- --------- ----------------- ------------------- ----------------- ----------------- ------------------- ------------------
(d) All
Other $0 $232,000 $0 $0 $0 $231,000
Fees
- --------- --------- ----------------- ------------------- ----------------- ----------------- ------------------- ------------------
Notes:
(1) Audit fees include amounts related to the audit of the registrant's
annual financial statements and services normally provided by the
accountant in connection with statutory and regulatory filings.
(e)(1) The trust's Audit Committee has adopted and the Board of Trustees has
ratified an Audit and Non-Audit Services Pre-Approval Policy (the "Policy"),
which sets forth the procedures and the conditions pursuant to which services
proposed to be performed by the independent auditor of the Funds may be
pre-approved.
The Policy provides that all requests or applications for proposed services to
be provided by the independent auditor must be submitted to the Registrant's
Chief Financial Officer ("CFO") and must include a detailed description of the
services proposed to be rendered. The CFO will determine whether such services:
(1) require specific pre-approval; (2) are included within the list of services
that have received the general pre-approval of the Audit Committee pursuant to
the Policy; or (3) have been previously pre-approved in connection with the
independent auditor's annual engagement letter for the applicable year or
otherwise. In any instance where services require pre-approval, the Audit
Committee will consider whether such services are consistent with SEC's rules
and whether the provision of such services would impair the auditor's
independence.
Requests or applications to provide services that require specific pre-approval
by the Audit Committee will be submitted to the Audit Committee by the CFO. The
Audit Committee will be informed by the CFO on a quarterly basis of all services
rendered by the independent auditor. The Audit Committee has delegated specific
pre-approval authority to either the Audit Committee Chair or financial expert,
provided that the estimated fee for any such proposed pre-approved service does
not exceed $100,000 and any pre-approval decisions are reported to the Audit
Committee at its next regularly scheduled meeting.
Services that have received the general pre-approval of the Audit Committee are
identified and described in the Policy. In addition, the Policy sets forth a
maximum fee per engagement with respect to each identified service that has
received general pre-approval.
All services to be provided by the independent auditor shall be provided
pursuant to a signed written engagement letter with the Registrant, the
investment advisor or applicable control affiliate (except that matters as to
which an engagement letter would be impractical because of timing issues or
because the matter is small may not be the subject of an engagement letter) that
sets forth both the services to be provided by the independent auditor and the
total fees to be paid to the independent auditor for those services.
In addition, the Audit Committee has determined to take additional measures on
an annual basis to meet its responsibility to oversee the work of the
independent auditor and to assure the auditor's independence from the
Registrant, such as reviewing a formal written statement from the independent
auditor delineating all relationships between the independent auditor and the
Registrant, and discussing with the independent auditor its methods and
procedures for ensuring independence.
(e)(2) Percentage of fees billed applicable to non-audit services pursuant to
waiver of pre-approval requirement were as follows:
---------------------- ----------------------- -----------------------
FISCAL 2007 FISCAL 2006
---------------------- ----------------------- -----------------------
Audit-Related Fees 0% 0%
---------------------- ----------------------- -----------------------
Tax Fees 0% 0%
---------------------- ----------------------- -----------------------
All Other Fees 0% 0%
---------------------- ----------------------- -----------------------
(f) Not Applicable.
(g)(1) The aggregate non-audit fees and services billed by KPMG for the fiscal
years 2007 and 2006 were $232,000 and $231,000, respectively. Non-audit fees
consist of SAS No. 70 review of fund accounting and administration operations,
attestation report in accordance with Rule 17Ad-13, agreed upon procedures
report over certain internal controls related to compliance with federal
securities laws and regulations and tax consulting services for various service
affiliates of the registrant.
(h) During the past fiscal year, Registrant's principal accountant provided
certain non-audit services to Registrant's investment adviser or to entities
controlling, controlled by, or under common control with Registrant's investment
adviser that provide ongoing services to Registrant that were not subject to
pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X.
The audit committee of Registrant's Board of Trustees reviewed and considered
these non-audit services provided by Registrant's principal accountant to
Registrant's affiliates, including whether the provision of these non-audit
services is compatible with maintaining the principal accountant's independence.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS
Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT COMPANY AND
AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
The Trust has a standing Nominating Committee (the "Committee") currently
consisting of the Independent Trustees. The Committee is responsible for
evaluating and recommending nominees for election to the Trust's Board of
Trustees (the "Board"). Pursuant to the Committee's Charter, adopted on June
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) Code of Ethics attached hereto.
(a)(2) A separate certification for the principal executive officer and the
principal financial officer of the registrant as required by Rule 30a-2(a) under
the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed
herewith.
(b) Officer certifications as required by Rule 30a-2(b) under the Investment
Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing
as an Exhibit.
- --------------------------------------------------------------------------------
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) SEI Institutional Investments Trust
By (Signature and Title)* /s/ Robert A. Nesher
-------------------------
Robert A. Nesher
President & CEO
Date: August 7, 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: August 7, 2007
By (Signature and Title)* /s/ Stephen F. Panner
-------------------------
Stephen F. Panner
Controller & CFO
Date: August 7, 2007
* Print the name and title of each signing officer under his or her signature.