UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
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FORM N-CSRS
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CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER 811-07257
SEI INSTITUTIONAL INVESTMENTS TRUST
(Exact name of registrant as specified in charter)
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C/O CT CORPORATION
101 FEDERAL ST.
BOSTON, MA 02110
(Address of principal executive offices) (Zip code)
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, 2008
DATE OF REPORTING PERIOD: NOVEMBER 30, 2007
ITEM 1. REPORTS TO STOCKHOLDERS.
[LOGO]
SEI New Ways.
New Answers.(R)
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SEI Institutional Investments Trust
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Semi-Annual Report as of November 30, 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
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TABLE OF CONTENTS
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Schedules of Investments 1
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Statements of Assets and Liabilities 198
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Statements of Operations 202
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Statements of Changes in Net Assets 206
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Financial Highlights 212
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Notes to Financial Statements 214
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Disclosure of Fund Expenses 227
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Board of Trustees Consideration in Approving
the Advisory and Sub-Advisory Agreements 229
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The Trust files its complete schedule of portfolio holdings with the Securities
and Exchange Commission for the first and third quarters of each fiscal year on
Form N-Q within sixty days after the end of the period. The Trust's Forms N-Q
are available on the Commission's website at http://www.sec.gov, and may be
reviewed and copied at the Commission's Public Reference Room in Washington, DC.
Information on the operation of the Public Reference Room may be obtained by
calling 1-800-SEC-0330.
A description of the policies and procedures that the Trust uses to determine
how to vote proxies relating to portfolio securities, as well as information
relating to how a Fund voted proxies relating to portfolio securities during the
most recent 12-month period ended June 30, is available (i) without charge, upon
request, by calling 1-800-DIAL-SEI; and (ii) on the Commission's website at
http://www.sec.gov.
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund
November 30, 2007
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SECTOR WEIGHTINGS+++:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Information Technology 15.6%
Financials 15.5%
Health Care 11.6%
Energy 10.3%
Consumer Discretionary 10.0%
Short-Term Investments 9.9%
Consumer Staples 8.8%
Industrials 8.0%
Telecommunication Services 4.0%
Materials 3.1%
Utilities 3.0%
U.S. Treasury Obligation 0.2%
+++ Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 9).
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Market Value
Description Shares ($ Thousands)
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COMMON STOCK -- 96.8%
CONSUMER DISCRETIONARY -- 10.8%
Amazon.com (B)* 4,600 $ 417
Amerigon* 2,000 37
AnnTaylor Stores* 1,200 37
Apollo Group, Cl A (B)* 3,000 230
Asbury Automotive Group 5,900 99
Autoliv 4,000 234
Autozone* 1,387 155
Barnes & Noble 4,300 165
Best Buy (B) 7,200 368
Big Lots (B)* 4,300 80
BorgWarner 2,000 193
Brinker International 24,616 567
Brunswick 4,600 94
Cablevision Systems, Cl A* 10,026 271
Career Education* 2,700 78
Carmax (B)* 1,400 32
Carnival 200 9
CBS, Cl B (B) 38,569 1,058
Centex 3,300 69
Central European Media Entertainment,
Cl A* 500 55
Cheesecake Factory (B)* 3,200 75
Christopher & Banks 4,500 73
Clear Channel Communications 4,325 155
Coach* 8,973 333
Comcast, Cl A (B)* 32,497 667
CROCS (B)* 3,000 117
Dick's Sporting Goods (B)* 5,400 169
DIRECTV Group* 31,100 773
Discovery Holding, Cl A* 10,500 257
Dollar Tree Stores (B)* 14,200 407
Dow Jones (B) 1,800 108
DreamWorks Animation SKG, Cl A* 300 8
Eastman Kodak (B) 12,600 296
EchoStar Communications, Cl A* 3,543 153
Expedia* 7,400 241
Family Dollar Stores 700 16
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Market Value
Description Shares ($ Thousands)
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Ford Motor (B)* 10,100 $ 76
Fortune Brands 10,408 798
GameStop, Cl A* 2,600 149
Gannett (B) 13,700 503
Garmin* 600 64
General Motors (B) 17,961 536
Gentex 14,200 281
Genuine Parts 1,358 65
Goodyear Tire & Rubber* 10,600 305
Group 1 Automotive (B) 1,100 30
Guess?* 2,300 108
Gymboree* 5,100 170
Hanesbrands* 3,200 90
Harley-Davidson 1,300 62
Harman International Industries 1,400 103
Harrah's Entertainment 2,326 205
Hasbro 19,500 542
Home Depot 52,550 1,501
IAC/InterActive (B)* 13,259 369
Idearc 10,032 190
International Game Technology 45,000 1,965
Interpublic Group (B)* 16,800 159
ITT Educational Services* 1,500 170
J.C. Penney 6,097 269
Jack in the Box* 7,200 216
Jarden* 700 18
John Wiley & Sons, Cl A 800 34
Johnson Controls 9,616 371
Jones Apparel Group (B) 4,700 88
KB Home (B) 7,800 163
Kimball International, Cl B 1,900 25
Kohl's* 2,794 138
Lamar Advertising, Cl A (B) 5,854 304
Liberty Global, Cl A (B)* 13,374 543
Liberty Media Holding-Capital, Ser A* 4,800 571
Liberty Media Holding-Interactive, Cl A* 500 10
Limited Brands 3,600 72
Lowe's 37,070 905
Macy's 14,700 436
Magna International, Cl A* 1,800 152
Marvel Entertainment* 4,000 111
Mattel 22,500 450
McDonald's 55,345 3,236
McGraw-Hill 28,697 1,408
Meredith 1,000 55
MGM Mirage* 21,500 1,860
Mohawk Industries (B)* 1,200 97
Morgans Hotel Group* 5,700 105
Newell Rubbermaid 12,534 336
News, Cl A 15,239 321
Nike, Cl B (B) 18,130 1,190
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SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 1
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund (Continued)
November 30, 2007
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Market Value
Description Shares ($ Thousands)
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Nordstrom 900 $ 30
Omnicom Group (B) 2,860 139
Orient-Express Hotels, Cl A 400 25
Panera Bread, Cl A (B)* 900 36
Papa John's International (B)* 2,200 52
Penn National Gaming* 2,200 131
Phillips-Van Heusen 1,400 59
Polo Ralph Lauren 2,122 146
Pulte Homes (B) 5,200 53
R.H. Donnelley (B)* 3,200 142
RadioShack (B) 6,000 111
Regal Entertainment Group, Cl A (B) 1,200 24
Rent-A-Center* 3,900 55
Reuters Group ADR* 13,000 974
Ross Stores 1,100 29
Royal Caribbean Cruises 100 4
Saks (B) 3,900 80
Service International 9,800 130
Shaw Communications, Cl B* 11,800 292
Sherwin-Williams 5,825 366
Snap-On 617 30
Staples* 77,000 1,825
Starbucks* 17,940 420
Target 8,464 508
Thor Industries 4,200 148
Tiffany 2,000 93
Tim Hortons 1,395 54
Time Warner 108,763 1,877
Time Warner Cable, Cl A (B)* 1,200 31
TJX 1,300 38
Tribune (B) 7,548 234
Urban Outfitters* 900 24
Valassis Communications (B)* 6,700 83
VF 3,059 229
Viacom, Cl B* 22,858 960
WABCO Holdings* 1,433 67
Walt Disney 32,142 1,065
Warnaco Group* 3,300 122
Weight Watchers International 27,400 1,308
Wendy's International 3,100 87
Whirlpool 1,100 89
Williams-Sonoma (B) 12,210 355
Winnebago Industries (B) 5,100 110
Wyndham Worldwide 2,800 82
Wynn Resorts (B)* 800 102
Yum! Brands 16,054 596
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43,436
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CONSUMER STAPLES -- 9.4%
Alberto-Culver 3,300 84
Altria Group 26,444 2,051
Anheuser-Busch 16,279 858
Archer-Daniels-Midland 11,400 414
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Market Value
Description Shares ($ Thousands)
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Avon Products 3,600 $ 148
Brown-Forman, Cl B 500 35
Bunge 1,200 135
Campbell Soup 6,445 237
Church & Dwight (B) 2,100 118
Coca-Cola 48,201 2,993
Coca-Cola Enterprises 18,000 467
Colgate-Palmolive 13,426 1,075
ConAgra Foods 25,800 646
Corn Products International 1,800 71
Costco Wholesale (B) 17,400 1,173
CVS 53,477 2,144
Dean Foods 2,833 71
Energizer Holdings (B)* 2,100 239
Estee Lauder, Cl A 1,900 85
General Mills 9,546 574
Hansen Natural* 200 9
HJ Heinz 4,907 232
Hormel Foods 6,600 262
JM Smucker 2,300 113
Kellogg 5,182 280
Kimberly-Clark 10,554 737
Kraft Foods, Cl A 12,344 426
Kroger 46,222 1,329
Loews - Carolina 3,159 281
McCormick 781 30
Molson Coors Brewing, Cl B 8,500 458
NBTY* 2,000 60
Nu Skin Enterprises, Cl A 3,500 62
Pepsi Bottling Group 6,700 286
PepsiAmericas 1,200 41
PepsiCo 47,997 3,704
Pilgrim's Pride 2,400 63
Prestige Brands Holdings (B)* 2,300 19
Procter & Gamble 110,528 8,179
Ralcorp Holdings* 600 37
Reynolds American (B) 13,560 949
Safeway (B) 23,076 803
Sara Lee 12,700 214
Smithfield Foods* 600 18
Supervalu 16,581 694
Sysco 424 14
Tyson Foods, Cl A 20,100 300
UST 2,200 127
Wal-Mart Stores 49,312 2,362
Walgreen (B) 43,000 1,573
WM Wrigley Jr. 10,586 678
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37,958
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ENERGY -- 11.1%
Apache 2,904 281
Baker Hughes 36,151 2,902
BP ADR* 1,200 87
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2 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
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Market Value
Description Shares ($ Thousands)
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Cabot Oil & Gas 2,600 $ 90
Cameron International* 8,829 823
Cheniere Energy (B)* 1,600 56
Chesapeake Energy (B) 14,900 564
Chevron 68,398 6,003
Cimarex Energy 2,400 93
ConocoPhillips 45,527 3,644
Denbury Resources* 300 16
Devon Energy 11,890 985
Diamond Offshore Drilling 400 47
Dresser-Rand Group* 3,500 125
EOG Resources 2,000 166
Exxon Mobil 137,535 12,263
FMC Technologies* 500 28
Forest Oil* 300 14
Frontier Oil 100 4
Global Industries* 3,600 80
Grant Prideco* 700 34
Halliburton 41,700 1,527
Helmerich & Payne 1,300 45
Hess 6,053 431
Holly 3,100 150
Hornbeck Offshore Services (B)* 7,200 296
Marathon Oil 34,588 1,933
Murphy Oil 500 36
National Oilwell Varco* 2,600 177
Noble 1,500 78
Noble Energy 4,374 315
Occidental Petroleum 24,070 1,679
Oceaneering International* 200 13
Patterson-UTI Energy 11,300 213
Petro-Canada* 4,800 232
Quicksilver Resources (B)* 100 5
Range Resources 900 37
Schlumberger 40,406 3,776
SEACOR Holdings* 1,200 109
Smith International 1,400 88
Southwestern Energy* 400 20
Suncor Energy* 19,522 1,869
Sunoco (B) 8,900 597
Superior Energy Services* 1,300 45
Teekay Shipping (B) 1,100 62
Tesoro 5,000 246
Tidewater 900 44
Transocean (B) 1,880 258
Unit* 300 13
Valero Energy 10,900 709
Weatherford International (B)* 18,260 1,143
Williams 800 28
XTO Energy 1,510 93
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44,572
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Market Value
Description Shares ($ Thousands)
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FINANCIALS -- 16.6%
ACE 1,600 $ 96
Aflac 2,140 134
Alleghany* 204 83
Allied Capital 67 2
Allied World Assurance Holdings 300 14
Allstate 29,260 1,496
American Capital Strategies (B) 1,046 39
American Express 27,772 1,638
American Financial Group 10,200 298
American International Group 68,320 3,971
Ameriprise Financial 5,158 303
Annaly Capital Management+ 22,400 385
Anthracite Capital+ (B) 294 2
AON (B) 8,261 413
Apollo Investment 400 7
Assurant 7,507 491
Astoria Financial 7,061 177
Axis Capital Holdings 14,900 568
Bank of America 132,109 6,094
Bank of New York Mellon 6,986 335
BB&T 10,634 384
Bear Stearns 444 44
Charles Schwab 53,665 1,305
Chubb 19,560 1,067
CIT Group 26,748 711
Citigroup 147,063 4,897
City National 400 26
CME Group 4,439 2,924
Comerica 23,897 1,094
Countrywide Financial (B) 5,100 55
Credicorp 300 21
Discover Financial Services* 31,683 550
Eaton Vance 7,600 333
Endurance Specialty Holdings 4,800 194
Everest Re Group 2,600 273
Fannie Mae 8,114 312
Federated Investors, Cl B 4,200 171
Fidelity National Financial, Cl A 9,900 155
Fifth Third Bancorp 12,200 365
First American 3,300 113
Forest City Enterprises, Cl A 2,352 118
Franklin Resources 5,171 637
Freddie Mac 40,342 1,415
General Growth Properties+ 2,100 98
Genworth Financial, Cl A 11,100 291
Goldman Sachs Group 8,164 1,850
Hartford Financial Services Group 7,825 746
Hudson City Bancorp 8,600 131
Huntington Bancshares 800 13
IndyMac Bancorp (B) 5,100 49
IntercontinentalExchange (B)* 14,000 2,337
iStar Financial+ 600 18
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SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 3
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund (Continued)
November 30, 2007
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Market Value
Description Shares ($ Thousands)
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Janus Capital Group 16,100 $ 540
JER Investors Trust+ (B) 5,100 50
Jones Lang LaSalle 4,900 412
JPMorgan Chase 117,405 5,356
Keycorp 22,317 588
Legg Mason 5,170 394
Lehman Brothers Holdings (B) 6,664 417
Leucadia National (B) 2,500 117
Lincoln National 2,400 148
Loews 11,947 571
Markel* 329 159
Marsh & McLennan 3,625 91
MBIA (B) 10,200 372
Merrill Lynch 21,828 1,308
Metlife 6,490 426
MF Global* 2,100 61
MGIC Investment (B) 4,900 115
Montpelier Re Holdings (B) 5,300 92
Moody's (B) 9,259 349
Morgan Stanley 40,472 2,134
National City 12,399 245
Nationwide Financial Services, Cl A 6,300 282
New York Community Bancorp 1,300 24
Newcastle Investment+ (B) 11,300 147
Northern Trust 465 38
NorthStar Realty Finance+ (B) 13,500 124
Old Republic International 15,800 237
Oriental Financial Group 3,800 51
PartnerRe 500 41
Platinum Underwriters Holdings 1,100 40
PNC Financial Services Group 1,629 119
Prudential Financial 7,000 659
Regions Financial 30,662 810
Safeco (B) 12,062 696
SeaBright Insurance Holdings* 2,000 31
Security Capital Assurance (B) 4,300 30
SL Green Realty+ 516 54
SLM 1,400 53
State Street 101 8
SunTrust Banks 9,368 657
T. Rowe Price Group 232 14
TD Ameritrade Holding (B)* 22,800 426
Thomas Properties Group 1,900 20
Torchmark 4,245 262
Travelers 44,234 2,349
UnionBanCal 3,700 200
United PanAm Financial* 2,100 12
UnumProvident 10,750 267
US Bancorp 36,052 1,193
Wachovia 38,389 1,651
Washington Mutual (B) 46,724 911
Wells Fargo 49,946 1,620
WR Berkley 5,700 174
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Market Value
Description Shares ($ Thousands)
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XL Capital, Cl A 5,658 $ 331
Zions Bancorporation 51 3
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66,722
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HEALTH CARE -- 12.5%
Abbott Laboratories 30,608 1,760
Aetna 5,100 285
Alcon 1,008 140
Allergan 50,274 3,370
AmerisourceBergen 8,642 392
Amgen* 5,700 315
Amylin Pharmaceuticals (B)* 12,050 460
Baxter International 19,114 1,144
Beckman Coulter 400 28
Becton Dickinson 9,897 819
Biogen Idec* 300 22
Bristol-Myers Squibb 8,913 264
C.R. Bard 200 17
Cardinal Health 6,784 411
Celgene* 16,736 1,030
Cerner* 600 36
Charles River Laboratories International* 2,500 159
Chemed 1,300 70
Cigna 21,744 1,166
Covance* 1,200 105
Coventry Health Care* 300 17
Covidien* 3,000 120
Cutera* 1,500 23
Dentsply International 400 17
Dionex* 400 34
Eli Lilly 14,904 789
Express Scripts* 10,000 678
Forest Laboratories* 272 11
Gen-Probe* 400 27
Genentech* 40,460 3,085
Gilead Sciences* 40,298 1,876
Health Net* 1,700 83
Hillenbrand Industries 1,300 70
HLTH* 4,400 62
Hospira* 300 13
Idexx Laboratories* 3,000 182
Intuitive Surgical* 300 98
Invitrogen* 5,800 563
Johnson & Johnson 64,094 4,342
Kinetic Concepts (B)* 2,100 123
King Pharmaceuticals* 36,384 385
Laboratory of America Holdings* 852 62
Manor Care (B) 1,887 122
McKesson 717 48
Medco Health Solutions* 5,573 557
Medtronic 11,471 583
Mentor (B) 3,500 132
Merck 85,274 5,062
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4 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
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Market Value
Description Shares ($ Thousands)
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Millennium Pharmaceuticals* 500 $ 7
Mylan Laboratories (B) 18,200 262
OSI Pharmaceuticals* 1,700 79
PDL BioPharma (B)* 6,900 122
PerkinElmer 5,000 136
Pfizer 219,879 5,224
Pharmaceutical Product Development 500 21
Possis Medical* 900 14
Quest Diagnostics 300 17
Respironics* 100 5
Schering-Plough 47,668 1,492
Sierra Health Services* 1,100 46
Spectranetics* 3,700 56
St. Jude Medical* 33,830 1,345
Stryker* 18,491 1,343
Tenet Healthcare (B)* 19,500 107
Thermo Fisher Scientific* 23,853 1,375
UnitedHealth Group 64,707 3,559
VCA Antech* 958 39
Warner Chilcott, Cl A* 1,900 35
Waters* 1,900 148
Watson Pharmaceuticals* 900 26
WellCare Health Plans* 700 27
WellPoint* 13,260 1,117
Wyeth 23,360 1,147
Zimmer Holdings* 22,500 1,456
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50,362
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INDUSTRIALS -- 8.7%
3M 1,998 166
Acuity Brands 3,100 122
Administaff 5,500 180
AGCO (B)* 1,600 110
Alliant Techsystems* 400 47
Allied Waste Industries* 9,200 105
Ametek 400 18
Applied Industrial Technologies 1,700 51
Avis Budget Group* 6,260 94
BE Aerospace* 1,800 85
Boeing 7,680 711
Burlington Northern Santa Fe 285 24
C.H. Robinson Worldwide 387 20
Carlisle 900 36
Caterpillar 8,000 575
Ceradyne* 1,200 59
ChoicePoint* 5,500 208
Con-way 366 15
Cooper Industries, Cl A 1,000 50
Corrections of America* 4,100 125
CRA International* 1,000 46
Crane 300 14
CSX 4,490 189
Cummins 4,300 503
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Market Value
Description Shares ($ Thousands)
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Danaher 1,280 $ 111
Deere 1,900 326
Delta Air Lines* 1,900 38
Diamond Management & Technology Consultants (B) 2,600 19
Dun & Bradstreet 907 81
Eaton 6,991 624
Emerson Electric 34,164 1,948
Expeditors International Washington 35,000 1,642
Fastenal 900 36
First Solar* 600 142
Flowserve 200 19
Fluor 300 44
Foster Wheeler* 1,100 164
General Cable* 500 37
General Dynamics 1,786 159
General Electric 259,943 9,953
Goodrich 1,200 86
Harsco 600 36
Hertz Global Holdings* 1,500 29
Honeywell International 22,118 1,252
Hubbell, Cl B 900 49
Illinois Tool Works 300 17
Ingersoll-Rand, Cl A 17,661 912
ITT 1,060 68
Jacobs Engineering Group* 600 50
JB Hunt Transport Services (B) 2,700 71
Kansas City Southern* 200 7
Kennametal 400 31
L-3 Communications Holdings 1,900 210
Labor Ready* 6,400 96
Lennox International 2,000 68
Lockheed Martin 11,085 1,227
Manitowoc 1,900 83
Manpower 2,300 141
Masco 22,700 508
McDermott International* 600 31
MSC Industrial Direct, Cl A 1,300 56
Norfolk Southern 5,200 266
Northrop Grumman 22,475 1,771
Northwest Airlines* 2,100 38
Nuco2* 1,200 33
Oshkosh Truck 700 34
Paccar 2,914 147
Pall 3,800 145
Parker Hannifin 11,200 890
Pentair 1,000 34
PeopleSupport* 2,800 39
Precision Castparts 3,425 505
Quanta Services* 4,000 110
Raytheon 5,588 346
Robert Half International 4,400 119
Rockwell Automation 7,700 523
Rockwell Collins 132 10
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SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 5
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund (Continued)
November 30, 2007
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Market Value
Description Shares $ Thousands)
- --------------------------------------------------------------------------------
Roper Industries 52 $ 3
RR Donnelley & Sons 1,500 55
Ryder System 3,200 139
Saia* 2,400 31
Shaw Group* 400 25
SPX 1,229 125
Steelcase, Cl A 17,700 268
Stericycle* 8,302 489
Sunpower, Cl A (B)* 300 37
Teleflex 300 18
Terex* 2,200 142
Textron 500 35
Thomas & Betts* 3,800 207
Timken 1,000 32
Toro 1,000 56
Trane 500 18
Trinity Industries (B) 5,200 132
Tyco International 2,300 92
UAL* 100 4
Union Pacific 1,481 187
United Parcel Service, Cl B 24,908 1,835
United Rentals (B)* 1,300 30
United Technologies 24,499 1,832
Waste Management 6,500 223
WW Grainger 200 18
--------------
34,967
--------------
INFORMATION TECHNOLOGY -- 16.8%
Accenture, Cl A (B) 6,400 221
Activision* 2,200 49
ADC Telecommunications* 1,900 31
Adobe Systems* 4,832 204
Advent Software (B)* 1,400 71
Agilent Technologies* 14,300 541
Alliance Data Systems (B)* 1,400 109
Analog Devices 2,200 68
Apple* 23,157 4,220
Applied Materials 7,740 146
Arrow Electronics* 7,265 269
Autodesk* 700 33
Automatic Data Processing 8,946 403
Avnet* 10,700 369
BMC Software* 5,021 166
Cadence Design Systems (B)* 16,496 274
Check Point Software Technologies* 6,600 151
Ciena* 1,000 44
Cisco Systems* 116,420 3,262
Citrix Systems* 1,100 41
CommScope* 2,500 101
Computer Sciences* 5,500 290
Compuware* 10,700 88
Cree (B)* 800 20
Cypress Semiconductor* 1,900 63
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Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Dell* 3,800 $ 93
Diebold 1,400 47
DST Systems* 922 78
eBay* 77,600 2,602
Electronic Arts (B)* 28,556 1,604
Electronic Data Systems 7,500 152
EMC* 7,000 135
F5 Networks* 1,100 29
Factset Research Systems 1,000 63
Fidelity National Information Services 3,951 171
Google, Cl A* 10,935 7,578
Harris 1,800 113
Hewitt Associates, Cl A* 3,700 139
Hewlett-Packard 55,660 2,848
Ingram Micro, Cl A* 3,600 72
Integrated Device Technology* 8,300 101
Intel 104,586 2,728
International Business Machines (B) 25,936 2,728
Intersil, Cl A 11,200 279
Intuit* 78,000 2,287
Jabil Circuit 3,000 51
Juniper Networks* 32,700 972
Kla-Tencor 200 10
Lam Research* 8,800 403
Linear Technology (B) 21,567 657
Mastercard, Cl A 1,900 381
McAfee* 3,800 148
MEMC Electronic Materials* 1,754 136
Mettler Toledo International* 1,265 147
Microchip Technology 1,300 37
Microsoft 153,034 5,142
Motorola 12,900 206
MPS Group* 2,000 22
NAVTEQ* 1,000 75
NCR* 2,500 60
Network Appliance* 13,800 341
Nvidia* 10,150 320
Oracle* 24,511 495
Paychex (B) 54,000 2,106
Phoenix Technologies* 2,300 31
Qualcomm 124,837 5,091
Red Hat* 2,200 44
Research In Motion* 44,270 5,039
SanDisk (B)* 28,500 1,067
Sanmina-SCI* 34,739 61
Seagate Technology (B) 110,500 2,850
Silicon Laboratories* 300 11
SYKES Enterprises* 2,500 46
Symantec (B)* 27,840 495
Synopsys* 3,109 76
Tech Data* 2,816 106
Teradata* 54,500 1,415
Texas Instruments 9,532 301
Trimble Navigation (B)* 900 33
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6 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Tyco Electronics* 1,500 $ 56
Varian Semiconductor Equipment
Associates* 2,200 91
VeriFone Holdings* 200 10
VeriSign* 1,400 57
Vishay Intertechnology* 18,400 230
VMware, Cl A (B)* 200 18
Western Digital* 6,300 174
Western Union 72,772 1,645
Xerox* 48,679 822
Yahoo! (B)* 21,061 565
Zoran* 10,200 223
--------------
67,347
--------------
MATERIALS -- 3.3%
Air Products & Chemicals 300 30
AK Steel Holding* 4,000 178
Albemarle 1,300 57
Alcoa 32,200 1,171
Allegheny Technologies 1,400 137
Ball 1,500 69
Cabot 400 14
Carpenter Technology 2,400 181
Celanese, Ser A 4,700 187
Cleveland-Cliffs 1,100 99
Crown Holdings* 3,200 82
Domtar* 13,000 99
Dow Chemical 41,340 1,734
E.I. Du Pont de Nemours 14,965 691
Eastman Chemical 4,200 270
FMC 300 16
Freeport-McMoRan Copper & Gold,
Cl B 308 31
Huntsman 1,900 48
International Flavors & Fragrances 2,200 110
International Paper 23,000 776
Lubrizol 7,803 501
Lyondell Chemical 3,800 179
Martin Marietta Materials (B) 1,600 215
MeadWestvaco 500 16
Methanex 6,000 179
Monsanto 1,492 148
Mosaic* 3,700 256
Nalco Holding 4,900 117
Newmont Mining 1,300 65
Nova Chemicals 3,500 113
Nucor 11,500 681
Olin 9,300 195
Owens-Illinois* 5,600 251
Pactiv* 4,500 114
PPG Industries 3,100 213
Praxair 23,051 1,968
Reliance Steel & Aluminum 1,700 88
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Rohm & Haas 1,700 $ 92
Sealed Air 260 6
Smurfit-Stone Container* 6,100 67
Sonoco Products 6,076 185
Southern Copper (B) 1,900 210
Steel Dynamics 600 30
Temple-Inland 4,600 211
United States Steel 6,300 616
Valspar 11,600 261
Vulcan Materials (B) 2,697 240
Weyerhaeuser 3,000 220
--------------
13,417
--------------
TELECOMMUNICATION SERVICES -- 4.4%
American Tower, Cl A* 20,407 929
AT&T 198,597 7,589
Atlantic Tele-Network 500 19
CenturyTel 7,929 338
Citizens Communications (B) 7,218 94
Crown Castle International* 53,043 2,225
Embarq 2,499 127
Leap Wireless International* 1,200 42
Sprint Nextel 123,646 1,919
Telephone & Data Systems 3,100 193
Verizon Communications 88,733 3,834
Vodafone Group ADR* 1,000 37
Windstream 13,300 172
--------------
17,518
--------------
UTILITIES -- 3.2%
AES* 26,500 579
Allegheny Energy* 522 32
Alliant Energy 6,700 278
Ameren (B) 9,600 517
American Electric Power 27,331 1,303
Atmos Energy 7,000 183
Centerpoint Energy (B) 11,600 207
CMS Energy 8,850 154
Consolidated Edison (B) 6,400 310
Constellation Energy Group 4,599 461
Dominion Resources (B) 8,704 411
DTE Energy (B) 13,500 662
Duke Energy 12,200 241
Dynegy, Cl A* 11,900 91
Edison International 6,000 336
Energen 2,100 134
Entergy 3,900 466
Equitable Resources 3,500 185
Exelon 1,054 85
FirstEnergy 18,103 1,241
FPL Group 6,600 460
MDU Resources Group 121 3
Mirant (B)* 10,000 386
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 7
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund (Concluded)
November 30, 2007
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
National Fuel Gas 1,400 $ 67
Northeast Utilities 2,700 85
NRG Energy (B)* 9,686 411
Oneok 2,700 126
Pepco Holdings 11,200 315
PG&E 10,819 501
Portland General Electric 900 24
PPL 4,765 243
Progress Energy 2,600 127
Public Service Enterprise Group 6,720 643
Questar 500 27
Reliant Energy* 22,600 589
Sempra Energy 1,967 123
Southern 539 20
UGI 1,900 50
Wisconsin Energy 4,700 225
Xcel Energy (B) 21,945 506
--------------
12,807
--------------
Total Common Stock
(Cost $317,148) ($ Thousands) 389,106
--------------
CORPORATE OBLIGATION (C) (E) -- 0.1%
FINANCIALS -- 0.1%
SLM MTN
4.660%, 12/17/07 $ 563 563
--------------
Total Corporate Obligation
(Cost $563) ($ Thousands) 563
--------------
Number of
Warrants
----------
WARRANTS -- 0.0%
FINANCIALS -- 0.0%
Lucent Technologies, Expires 12/10/07* 758 --
--------------
Total Warrants
(Cost $--) ($ Thousands) --
--------------
CASH EQUIVALENTS -- 10.6%
First Union Cash Management
Program, 4.370%** 811,038 811
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.020%**++ 10,589,267 10,589
SEI Liquidity Fund L.P.,
5.110%**++ (C) 31,260,121 31,260
--------------
Total Cash Equivalents
(Cost $42,660) ($ Thousands) 42,660
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATION (A) (D) -- 0.2%
U.S. Treasury Bill
3.023%, 02/21/08 $ 975 $ 969
--------------
Total U.S. Treasury Obligation
(Cost $969) ($ Thousands) 969
--------------
Total Investments -- 107.7%
(Cost $361,340) ($ Thousands) $ 433,298
==============
A summary of the open futures contracts held by the Fund at November 30, 2007,
is as follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------
UNREALIZED
TYPE OF NUMBER OF EXPIRATION DEPRECIATION
CONTRACT CONTRACTS DATE ($ THOUSANDS)
- --------------------------------------------------------------------------
S&P 500 Composite Index 21 Dec-2007 $(162)
S&P Mid 400 Index E-Mini 14 Dec-2007 (32)
-----
$(194)
=====
Percentages are based on Net Assets of $402,155 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of November 30, 2007.
+ Real Estate Investment Trust
++ Investment in Affiliated Security (see Note 3).
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
(B) This security or a partial position of this security is on loan at
November 30, 2007 (see Note 9). The total value of securities on loan at
November 30, 2007 was $30,978 ($ 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 November 30,
2007 was $31,823 ($ Thousands).
(D) The rate reported is the effective yield at time of purchase.
(E) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of November 30, 2007.
ADR -- American Depositary Receipt
Cl -- Class
L.P. -- 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.
- --------------------------------------------------------------------------------
8 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
Large Cap Diversified Alpha Fund
November 30, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS+++:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Information Technology 15.7%
Mutual Fund 14.0%
Financials 12.9%
Health Care 11.2%
Consumer Discretionary 10.6%
Industrials 9.8%
Energy 8.1%
Consumer Staples 6.7%
Materials 3.5%
Telecommunication Services 3.0%
Utilities 2.5%
Short-Term Investment 1.1%
U.S. Treasury Obligations 0.9%
+++ Percentages based on total investments.
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 95.8%
CONSUMER DISCRETIONARY -- 12.0%
Abercrombie & Fitch, Cl A (B) 6,300 $ 517
Amazon.com* 6,926 627
American Eagle Outfitters 2,800 64
Amerigon* 2,800 51
AnnTaylor Stores* (B) 10,820 330
Apollo Group, Cl A* 900 69
Asbury Automotive Group 5,700 95
Autozone* 1,700 190
Best Buy (B) 40,165 2,050
Big Lots* (B) 41,853 781
BorgWarner 900 87
Brinker International (B) 33,600 774
Cablevision Systems, Cl A* (B) 26,906 727
Career Education* 3,100 89
Carmax* 1,200 27
Carnival 400 18
CBS, Cl B 11,100 305
Central European Media Entertainment,
Cl A* 500 55
Cheesecake Factory* (B) 18,600 433
Choice Hotels International 307 11
Christopher & Banks 6,800 110
Clear Channel Communications 5,538 199
Coach* (B) 17,800 661
Coldwater Creek* 272 2
Comcast, Cl A* (B) 40,726 837
CROCS* 3,400 133
Darden Restaurants (B) 9,500 378
DIRECTV Group* (B) 85,944 2,137
Discovery Holding, Cl A* 13,200 323
Dollar Tree Stores* (B) 28,000 803
Dow Jones 2,255 135
DreamWorks Animation SKG, Cl A* 600 16
Eastman Kodak (B) 16,320 383
EchoStar Communications, Cl A* (B) 18,699 806
Expedia* 10,073 328
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Family Dollar Stores 2,900 $ 68
Ford Motor* (B) 87,643 658
GameStop, Cl A* 3,000 172
Gannett 2,200 81
Gap 3,093 63
Garmin* 700 75
General Motors (B) 16,613 496
Gentex (B) 24,100 478
Genuine Parts 1,500 72
Goodyear Tire & Rubber* 18,088 520
Group 1 Automotive 800 22
Guess?* 2,800 131
Gymboree* 9,600 320
Hanesbrands* (B) 21,528 608
Harley-Davidson 4,600 221
Harman International Industries 1,600 118
Harrah's Entertainment 2,827 249
Hasbro (B) 30,219 839
Home Depot (B) 22,700 648
IAC/InterActive* 11,883 331
Idearc 9,060 171
International Game Technology 60,000 2,620
Interpublic Group* 78,584 746
ITT Educational Services* 1,700 192
J Crew Group* 4,600 221
J.C. Penney (B) 7,600 335
Jack in the Box* 7,500 225
Jarden* 2,405 63
John Wiley & Sons, Cl A 900 38
Johnson Controls (B) 13,184 509
Jones Apparel Group 2,800 52
Kimball International, Cl B 2,000 27
Kohl's* (B) 2,443 120
Lamar Advertising, Cl A 8,600 447
Leggett & Platt 2,400 49
Liberty Global, Cl A* (B) 26,700 1,085
Liberty Media Holding-Capital, Ser A* 4,700 560
Liberty Media Holding-Interactive, Cl A* 600 12
Limited Brands 7,700 155
Magna International, Cl A* (B) 5,800 489
Marriott International, Cl A (B) 17,913 672
Marvel Entertainment* 3,000 83
Mattel 17,400 348
McDonald's (B) 30,300 1,772
McGraw-Hill (B) 9,000 442
Meredith 1,400 77
MGM Mirage* 28,905 2,500
Mohawk Industries* 1,200 97
Morgans Hotel Group* 4,900 91
Newell Rubbermaid 2,100 56
News, Cl A 18,100 381
Nike, Cl B (B) 14,000 919
Nordstrom 1,000 34
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 9
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
NVR* 100 $ 49
Office Depot* 500 9
Omnicom Group 2,900 141
Orient-Express Hotels, Cl A 400 25
Panera Bread, Cl A* (B) 8,300 333
Papa John's International* 1,200 28
Penn National Gaming* 2,500 149
Penske Auto Group (B) 27,002 540
PetSmart 5,100 145
Phillips-Van Heusen 7,900 335
Polo Ralph Lauren 2,600 179
R.H. Donnelley* 3,800 169
RadioShack 7,200 133
Regal Entertainment Group, Cl A 1,600 32
Rent-A-Center* 3,400 48
Reuters Group ADR* 18,000 1,348
Ross Stores 1,200 32
Royal Caribbean Cruises 300 12
Saks 4,600 95
Service International 11,600 154
Shaw Communications, Cl B* 13,400 332
Sherwin-Williams (B) 10,400 653
Snap-On (B) 9,245 452
Sonic* 3,000 73
Stamps.com* 800 10
Staples* 92,000 2,180
Target 3,434 206
Thor Industries 9,300 328
Tiffany 2,300 107
Tim Hortons 1,483 57
Time Warner (B) 90,500 1,562
Time Warner Cable, Cl A* 5,186 135
TRW Automotive Holdings* 22,179 498
Urban Outfitters* 1,200 31
Valassis Communications* 4,500 56
VF 6,129 458
Viacom, Cl B* (B) 11,900 500
WABCO Holdings* 366 17
Walt Disney (B) 65,391 2,168
Warnaco Group* 7,700 284
Weight Watchers International 40,300 1,924
Whirlpool (B) 4,080 330
Williams-Sonoma 6,500 189
Winnebago Industries 2,700 58
Wyndham Worldwide (B) 22,601 659
Wynn Resorts* (B) 3,400 432
Yum! Brands (B) 33,900 1,259
--------------
55,223
--------------
CONSUMER STAPLES -- 7.6%
Alberto-Culver 3,800 97
Altria Group (B) 27,319 2,119
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Anheuser-Busch (B) 17,400 $ 917
Archer-Daniels-Midland (B) 42,708 1,552
Avon Products 4,400 181
BJ's Wholesale Club* 514 19
Brown-Forman, Cl B 300 21
Bunge 700 79
Campbell Soup 700 26
Church & Dwight 2,400 135
Clorox 7,100 461
Coca-Cola 15,700 975
Coca-Cola Enterprises 5,981 155
Colgate-Palmolive 5,500 440
ConAgra Foods 4,100 103
Constellation Brands, Cl A* 4,085 96
Corn Products International 10,975 432
Costco Wholesale 1,052 71
CVS 3,004 120
Dean Foods 18,556 463
Energizer Holdings* 2,500 284
Estee Lauder, Cl A 8,600 386
General Mills (B) 11,000 662
Hansen Natural* 300 13
Herbalife (B) 12,900 540
HJ Heinz 3,500 165
JM Smucker 2,700 133
Kellogg 3,100 167
Kimberly-Clark (B) 12,000 838
Kraft Foods, Cl A 2,517 87
Kroger (B) 85,524 2,459
Loews - Carolina 3,700 329
McCormick 700 27
Molson Coors Brewing, Cl B 8,400 452
NBTY* (B) 11,000 329
Pepsi Bottling Group (B) 19,000 811
PepsiAmericas 1,200 41
PepsiCo (B) 26,800 2,068
Procter & Gamble (B) 74,394 5,505
Ralcorp Holdings* 300 18
Reynolds American (B) 20,785 1,455
Rite Aid* (B) 114,659 426
Safeway (B) 32,300 1,124
Sara Lee 1,200 20
Smithfield Foods* 8,549 257
Supervalu 18,373 769
Sysco 24,387 793
Tyson Foods, Cl A (B) 46,063 687
UST 2,500 145
Wal-Mart Stores (B) 69,116 3,311
Walgreen (B) 60,500 2,214
WM Wrigley Jr. 3,000 192
--------------
35,169
--------------
- --------------------------------------------------------------------------------
10 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
ENERGY -- 9.3%
Apache 526 $ 51
Baker Hughes 400 32
Cabot Oil & Gas 3,000 103
Cameron International* (B) 8,300 774
Cheniere Energy* 1,900 66
Chesapeake Energy (B) 14,500 549
Chevron (B) 73,533 6,454
Cimarex Energy 7,200 278
CNX Gas* 608 19
ConocoPhillips (B) 39,424 3,156
Denbury Resources* 300 16
Devon Energy 4,476 371
Diamond Offshore Drilling 500 58
Dresser-Rand Group* 4,881 174
EnCana (B) 8,800 574
Exxon Mobil (B) 139,992 12,482
FMC Technologies* 500 28
Forest Oil* 780 37
Frontier Oil (B) 11,200 495
Global Industries* 6,400 142
Grant Prideco* 600 29
Gulf Island Fabrication 1,300 41
Halliburton (B) 36,425 1,334
Helmerich & Payne (B) 22,900 791
Hess (B) 15,353 1,093
Holly (B) 11,300 547
Hornbeck Offshore Services* (B) 10,300 424
Marathon Oil (B) 42,941 2,400
Murphy Oil 13,623 974
National Oilwell Varco* 11,444 780
Noble (B) 10,700 558
Noble Energy 700 50
Occidental Petroleum (B) 13,292 927
Oceaneering International* 300 19
Patriot Coal* 1,456 49
Patterson-UTI Energy (B) 18,000 339
Petro-Canada* (B) 11,200 542
Plains Exploration & Production* 377 19
Pride International* (B) 12,895 425
Quicksilver Resources* 300 15
Range Resources 1,000 41
Schlumberger (B) 11,717 1,095
SEACOR Holdings* 2,100 190
Smith International 1,400 88
Southwestern Energy* 900 45
Sunoco (B) 14,200 953
Superior Energy Services* 1,400 49
Teekay Shipping 1,200 68
Tesoro 5,300 261
Tidewater 1,200 59
Transocean 3,412 468
Unit* 400 18
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Valero Energy (B) 21,600 $ 1,406
Weatherford International* 1,745 109
Williams (B) 14,931 518
XTO Energy 1,800 111
--------------
42,694
--------------
FINANCIALS -- 14.8%
ACE (B) 11,175 669
Aflac 2,500 157
Alleghany* 437 179
Allied Capital 1,524 37
Allied World Assurance Holdings 300 14
Allstate (B) 24,500 1,252
AMBAC Financial Group 5,800 158
American Capital Strategies 1,200 45
American Express 4,500 265
American Financial Group (B) 25,804 754
American International Group (B) 32,900 1,913
American National Insurance 568 68
AmeriCredit* 16,033 184
Ameriprise Financial 1,653 97
Annaly Capital Management+ (B) 39,301 676
AON (B) 19,554 977
Arch Capital Group* 500 35
Arthur J. Gallagher 100 3
Ashford Hospitality Trust+ 25,800 200
Assurant (B) 9,853 645
AvalonBay Communities+ (B) 4,177 415
Axis Capital Holdings 23,400 893
Bank of America (B) 68,061 3,140
Bank of New York Mellon (B) 22,006 1,055
BankUnited Financial, Cl A 1,600 13
BB&T 3,900 141
BlackRock (B) 4,111 816
BOK Financial 965 53
Boston Properties+ 3,446 339
Brandywine Realty Trust+ (B) 16,400 336
BRE Properties, Cl A+ 1,982 88
Camden Property Trust+ 360 19
Capital One Financial (B) 12,707 677
CBL & Associates Properties+ 900 26
Charles Schwab (B) 65,089 1,582
Chubb (B) 21,800 1,189
CIT Group 7,800 208
Citigroup (B) 72,500 2,414
City National 500 32
CME Group 4,672 3,077
Colonial BancGroup 1,900 30
Colonial Properties Trust+ 300 7
Comerica (B) 15,700 719
Credicorp 2,800 199
Crystal River Capital+ 1,000 14
Discover Financial Services* (B) 11,061 192
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 11
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Eaton Vance (B) 13,400 $ 586
Endurance Specialty Holdings 5,100 206
Everest Re Group (B) 6,910 725
Fairfax Financial 1,100 315
Fannie Mae 2,000 77
Federated Investors, Cl B 8,600 351
Fidelity National Financial, Cl A 2,857 45
First American 3,700 127
First Citizens BancShares, Cl A 630 99
Forest City Enterprises, Cl A 2,700 135
Franklin Resources (B) 13,096 1,613
General Growth Properties+ (B) 9,200 427
Genworth Financial, Cl A 2,600 68
Goldman Sachs Group (B) 10,500 2,380
Hanover Insurance Group 1,700 77
Hartford Financial Services Group (B) 7,710 735
Hospitality Properties Trust+ 2,700 99
Host Hotels & Resorts+ 12,731 244
Hudson City Bancorp (B) 30,900 470
Huntington Bancshares 17,600 276
IntercontinentalExchange* 17,900 2,989
Investment Technology Group* 2,559 117
iStar Financial+ (B) 12,500 366
Janus Capital Group (B) 36,759 1,234
Jones Lang LaSalle (B) 10,909 917
JPMorgan Chase (B) 119,298 5,442
Keycorp (B) 23,300 614
Kilroy Realty+ 527 29
Legg Mason 2,700 206
Lehman Brothers Holdings (B) 3,700 232
Leucadia National 2,900 136
Loews (B) 47,588 2,274
Markel* 400 193
Marsh & McLennan 8,083 203
MBIA (B) 7,200 263
Merrill Lynch (B) 12,700 761
Metlife (B) 11,843 777
MF Global* 8,400 242
Montpelier Re Holdings 6,800 118
Moody's 7,400 279
Morgan Stanley (B) 25,612 1,350
Nationwide Financial Services, Cl A 1,300 58
New York Community Bancorp 900 17
NewStar Financial* 1,500 14
Northern Trust (B) 7,062 572
NorthStar Realty Finance+ 36,100 331
PartnerRe 13,054 1,078
Platinum Underwriters Holdings 600 22
PNC Financial Services Group (B) 12,987 951
Popular 14,900 143
Prudential Financial 4,048 381
Public Storage+ 5 --
Rayonier+ (B) 16,536 767
Regions Financial 6,544 173
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Safeco (B) 9,800 $ 566
SL Green Realty+ 549 57
SLM 1,734 66
Stancorp Financial Group 6,900 359
State Street 1,343 107
SunTrust Banks 900 63
T. Rowe Price Group 100 6
TD Ameritrade Holding* (B) 23,700 443
TFS Financial* 2,887 36
Torchmark 700 43
Transatlantic Holdings 5,528 411
Travelers (B) 58,445 3,104
UnionBanCal 8,100 437
UnumProvident 4,500 112
US Bancorp 9,800 324
Wachovia (B) 20,989 903
Washington Mutual (B) 31,800 620
Wells Fargo (B) 42,400 1,375
White Mountains Insurance Group 272 140
XL Capital, Cl A (B) 6,500 380
--------------
67,858
--------------
HEALTH CARE -- 12.8%
Abbott Laboratories (B) 15,700 903
Abraxis Bioscience* 143 8
Aetna (B) 15,871 887
Allergan 42,300 2,836
AmerisourceBergen (B) 44,255 2,008
Amgen* 9,817 542
APP Pharmaceuticals* 571 7
Applera -- Applied Biosystems Group 2,847 97
Aspect Medical Systems* 900 13
Baxter International (B) 16,272 974
Beckman Coulter 600 42
Becton Dickinson (B) 8,300 687
Biogen Idec* (B) 5,100 378
Biovail* (B) 18,000 275
Bristol-Myers Squibb 20,951 621
C.R. Bard 300 25
Cardinal Health (B) 36,216 2,193
Celgene* 2,400 148
Cerner* 5,252 314
Charles River Laboratories
International* 5,300 337
Chemed 3,300 179
Cigna (B) 42,622 2,285
Covance* (B) 5,300 463
Coventry Health Care* 300 17
Covidien* (B) 14,920 598
Cubist Pharmaceuticals* 12,200 259
Cutera* 4,400 67
Eli Lilly (B) 14,134 748
Endo Pharmaceuticals Holdings* (B) 21,143 580
Express Scripts* (B) 19,499 1,321
- --------------------------------------------------------------------------------
12 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Forest Laboratories* 1,300 $ 50
Gen-Probe* 300 20
Genentech* (B) 52,903 4,034
Gilead Sciences* (B) 22,700 1,056
Health Net* (B) 32,914 1,599
Hillenbrand Industries 6,340 341
HLTH* 4,900 69
Hologic* 2,600 173
Hospira* 2,927 127
Humana* (B) 13,386 1,031
Idexx Laboratories* (B) 7,200 436
ImClone Systems* (B) 300 14
Intuitive Surgical* (B) 2,300 754
Invitrogen* (B) 11,900 1,154
Johnson & Johnson (B) 44,300 3,001
Kinetic Concepts* 2,500 147
King Pharmaceuticals* 29,700 315
Laboratory of America Holdings* 6,038 439
Manor Care 2,200 142
McKesson (B) 28,218 1,883
Medco Health Solutions* (B) 25,884 2,588
Medtronic (B) 20,100 1,022
Mentor (B) 9,400 353
Merck (B) 24,600 1,460
Millennium Pharmaceuticals* 21,832 322
OSI Pharmaceuticals* 8,500 396
PDL BioPharma* 18,500 328
PerkinElmer 7,783 212
Pfizer (B) 173,150 4,114
Pharmaceutical Product Development 400 17
Possis Medical* 1,100 17
Quest Diagnostics 300 16
Quidel* 12,000 227
Respironics* 400 20
Schering-Plough 22,338 699
Sierra Health Services* 6,842 286
Spectranetics* 5,900 89
St. Jude Medical* 1,400 56
Stryker* 4,200 305
Tenet Healthcare* 5,246 29
Thermo Fisher Scientific* 6,300 363
UnitedHealth Group (B) 78,800 4,334
VCA Antech* 2,800 115
Warner Chilcott, Cl A* 2,100 38
Waters* (B) 8,100 632
Watson Pharmaceuticals* 600 18
WebMD Health, Cl A* 1,999 85
WellCare Health Plans* 1,200 47
WellPoint* (B) 11,974 1,008
Wyeth (B) 19,704 967
Zimmer Holdings* 30,900 2,000
--------------
58,760
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
INDUSTRIALS -- 11.1%
3M (B) 6,500 $ 541
Acuity Brands 2,300 91
Administaff 2,300 75
AGCO* 7,300 503
Aircastle 600 16
Alexander & Baldwin 727 37
Alliant Techsystems* 400 47
Allied Waste Industries* (B) 34,201 390
AMR* 5,882 125
Apogee Enterprises 2,600 58
Armstrong World Industries* 4,165 178
Avis Budget Group* 1,800 27
BE Aerospace* 2,200 103
Boeing (B) 42,894 3,969
Brink's 100 6
Burlington Northern Santa Fe 300 25
C.H. Robinson Worldwide (B) 13,071 674
Carlisle 5,548 221
Caterpillar (B) 12,300 884
ChoicePoint* (B) 8,800 333
Con-way 1,200 51
Cooper Industries, Cl A 900 45
Copart* 6,500 243
Corporate Executive Board 3,800 255
Corrections of America* 4,700 143
CRA International* 500 23
Crane 2,935 132
CSX 5,600 235
Cummins (B) 7,900 924
Danaher 200 17
Deere 1,500 258
Delta Air Lines* (B) 34,120 674
Donaldson 130 6
Dun & Bradstreet 1,000 89
Eaton (B) 9,100 813
Emerson Electric 1,200 68
Expeditors International Washington 48,000 2,252
Fastenal 600 24
FedEx (B) 11,816 1,164
First Solar* 2,200 522
Flowserve (B) 6,042 569
Fluor (B) 5,436 800
Foster Wheeler* 1,300 194
Gardner Denver* 4,100 136
GATX 1,166 43
General Cable* 4,479 333
General Dynamics 1,900 169
General Electric (B) 168,185 6,440
Goodrich (B) 9,600 684
Granite Construction 400 16
Harsco 2,938 177
Hertz Global Holdings* 7,077 135
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 13
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Honeywell International (B) 26,604 $ 1,506
Hubbell, Cl B 7,300 401
Illinois Tool Works 900 50
Ingersoll-Rand, Cl A (B) 12,500 646
ITT 4,100 264
Jacobs Engineering Group* (B) 7,514 629
JB Hunt Transport Services 3,200 84
Kansas City Southern* 400 14
KBR* 6,446 257
Kennametal 400 31
L-3 Communications Holdings 5,100 564
Labor Ready* 9,400 141
Landstar System 1,000 40
Lennox International 12,677 429
Lockheed Martin (B) 14,652 1,622
Manitowoc 2,200 96
Manpower (B) 10,275 628
Masco 21,400 479
McDermott International* 900 47
MSC Industrial Direct, Cl A 6,000 259
Northrop Grumman (B) 17,505 1,379
Northwest Airlines* 9,995 182
Nuco2* 900 25
Oshkosh Truck 800 39
Owens Corning* 9,014 198
Paccar 3,375 171
Pall 4,400 168
Parker Hannifin (B) 12,187 968
Pentair 1,000 34
PeopleSupport* 3,500 49
Polypore International* 700 12
Precision Castparts 7,500 1,105
Quanta Services* 4,800 131
Raytheon (B) 21,309 1,318
Republic Services 8,500 282
Robert Half International 13,000 351
Rockwell Automation (B) 10,700 726
Rockwell Collins 100 7
RR Donnelley & Sons (B) 17,755 651
Ryder System (B) 1,984 86
Shaw Group* 3,773 239
Spirit Aerosystems Holdings, Cl A* 872 31
SPX (B) 3,368 343
Steelcase, Cl A 25,555 387
Stericycle* (B) 10,000 589
Sunpower, Cl A* 400 50
Teleflex 900 54
Terex* 3,655 236
Textron 500 35
Thomas & Betts* (B) 12,200 663
Timken (B) 16,961 541
Toro 1,100 61
Trane 700 26
Trinity Industries 9,400 238
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Tyco International (B) 9,060 $ 364
UAL* 100 4
Union Pacific 6,500 820
United Parcel Service, Cl B 34,071 2,510
United Rentals* 1,600 37
United Technologies 5,300 396
URS* (B) 8,657 498
Waste Management 10,495 360
WESCO International* 4,840 196
WW Grainger (B) 5,108 451
--------------
51,135
--------------
INFORMATION TECHNOLOGY -- 18.0%
Accenture, Cl A 11,502 397
Activision* 3,100 69
ADC Telecommunications* 2,100 35
Adobe Systems* 1,300 55
Advent Software* 1,700 86
Agilent Technologies* (B) 13,477 510
Alliance Data Systems* 1,700 132
Amdocs* (B) 13,756 455
Analog Devices 2,400 74
Anaren* 1,300 20
Apple* (B) 16,041 2,923
Applied Materials (B) 20,600 388
Arrow Electronics* (B) 29,685 1,099
Atmel* 34,251 150
Autodesk* 600 28
Automatic Data Processing (B) 17,200 775
Avnet* (B) 22,171 765
AVX 392 6
BMC Software* 18,700 619
Broadcom, Cl A* 9,774 261
Cadence Design Systems* (B) 23,300 387
Check Point Software Technologies* (B) 21,500 491
Checkfree* 2,544 121
Ciena* 6,200 273
Cisco Systems* (B) 88,909 2,491
Cognos* (B) 10,900 624
CommScope* 4,100 166
Computer Sciences* (B) 15,695 829
Compuware* (B) 63,400 524
Convergys* 7,067 115
Corning 1,600 39
Cree* 900 22
Cypress Semiconductor* 2,000 66
Dell* 3,054 75
Diebold 1,500 51
DST Systems* 1,200 102
Earthlink* 9,900 67
eBay* (B) 114,792 3,849
Electronic Data Systems (B) 49,964 1,012
EMC* (B) 16,914 326
- --------------------------------------------------------------------------------
14 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
F5 Networks* 1,200 $ 32
Factset Research Systems 3,000 188
Fair Isaac 2,200 81
Fairchild Semiconductor International* (B) 38,212 606
Fidelity National Information Services 4,644 201
Global Payments 7,400 320
Google, Cl A* (B) 9,175 6,358
Harris (B) 7,900 496
Hewitt Associates, Cl A* 11,400 427
Hewlett-Packard (B) 99,175 5,074
Ingram Micro, Cl A* (B) 45,075 897
Integrated Device Technology* 32,200 391
Intel (B) 71,237 1,858
International Business Machines (B) 25,178 2,648
Intersil, Cl A (B) 16,100 401
Intuit* (B) 95,100 2,788
Jabil Circuit 39,260 665
JDS Uniphase* 4,638 62
Juniper Networks* (B) 40,200 1,195
Kla-Tencor 100 5
Lam Research* (B) 15,900 729
Lexmark International, Cl A* 9,500 331
Linear Technology 10,000 305
Mastercard, Cl A 2,922 586
McAfee* 5,100 199
MEMC Electronic Materials* 2,400 186
Mettler Toledo International* 3,100 361
Microchip Technology 900 26
Microsoft (B) 167,452 5,626
MoneyGram International 9,674 149
Motorola (B) 40,805 652
National Instruments 400 13
NAVTEQ* 1,000 75
NCR* 18,570 445
Network Appliance* (B) 17,100 423
Nvidia* 15,200 479
Oracle* (B) 67,000 1,352
Paychex 55,000 2,145
QLogic* 19,500 264
Qualcomm (B) 104,800 4,274
Red Hat* 2,500 50
Research In Motion* 30,400 3,460
SanDisk* 32,500 1,217
Seagate Technology (B) 119,000 3,069
Semtech* 700 11
Silicon Laboratories* (B) 12,400 461
SPSS* 2,100 76
Sun Microsystems* (B) 25,806 536
SYKES Enterprises* 6,000 111
Symantec* (B) 53,700 956
Synopsys* 10,615 261
Tech Data* (B) 22,089 831
Teradata* 76,702 1,991
Texas Instruments (B) 75,425 2,381
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Trimble Navigation* 600 $ 22
Tyco Electronics* (B) 15,351 574
Unisys* 69,583 345
Varian Semiconductor Equipment
Associates* (B) 11,700 486
VeriFone Holdings* 400 19
VeriSign* 3,574 146
Vignette* 2,100 32
Vishay Intertechnology* 28,028 350
VMware, Cl A* 200 18
Western Union (B) 6,766 153
Xerox* (B) 45,582 769
Zebra Technologies, Cl A* 6,600 255
Zoran* 7,600 166
--------------
82,536
--------------
MATERIALS -- 4.0%
Air Products & Chemicals 200 20
Airgas 1,661 82
AK Steel Holding* 4,600 205
Albemarle 1,600 71
Alcoa (B) 17,776 647
Allegheny Technologies 1,600 156
Ashland 13,042 642
Ball 5,800 268
Cabot 3,096 107
Carpenter Technology 8,000 604
Celanese, Ser A 5,500 218
Chemtura 4,705 35
Cleveland-Cliffs 1,400 126
Commercial Metals 2,600 80
Crown Holdings* (B) 33,236 853
Domtar* 7,900 60
Dow Chemical (B) 20,900 877
E.I. Du Pont de Nemours 5,156 238
Eastman Chemical 4,255 273
Ecolab 5,100 244
FMC (B) 2,711 148
Freeport-McMoRan Copper & Gold, Cl B 3,293 326
Huntsman 1,700 43
International Flavors & Fragrances 2,700 135
International Paper (B) 20,112 679
Lubrizol 1,800 116
Lyondell Chemical 4,400 208
Martin Marietta Materials 3,462 466
MeadWestvaco 500 16
Methanex 11,500 342
Monsanto (B) 5,952 591
Mosaic* 4,700 325
Nalco Holding 13,627 327
Newmont Mining 3,300 164
Nova Chemicals (B) 11,600 375
Nucor (B) 12,600 746
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 15
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Olin 8,700 $ 182
Owens-Illinois* (B) 7,437 334
Pactiv* 20,027 509
PPG Industries 4,566 313
Praxair 28,600 2,442
Reliance Steel & Aluminum 2,000 103
Rohm & Haas (B) 12,468 678
Scotts Miracle-Gro, Cl A 1,050 39
Sealed Air 700 16
Smurfit-Stone Container* 29,512 325
Sonoco Products 2,300 70
Southern Copper (B) 7,600 841
Steel Dynamics 700 35
Temple-Inland 5,600 257
Terra Industries* 7,000 265
United States Steel 7,600 743
Valspar 6,200 140
Vulcan Materials 3,877 344
Weyerhaeuser 2,100 154
--------------
18,603
--------------
TELECOMMUNICATION SERVICES -- 3.4%
American Tower, Cl A* 6,525 297
AT&T (B) 153,650 5,871
Bell Aliant Regional Communications
Income Fund (Canada) 254 7
CenturyTel (B) 12,800 546
Citizens Communications 8,200 106
Crown Castle International* 52,000 2,181
Embarq 2,925 149
Leap Wireless International* 1,900 66
NeuStar, Cl A* 463 15
Qwest Communications International* 60,018 398
Rogers Communications, Cl B* (B) 8,900 372
Sprint Nextel (B) 70,526 1,095
Telephone & Data Systems 3,600 224
US Cellular* (B) 10,545 865
Verizon Communications (B) 64,079 2,769
Windstream (B) 41,050 532
--------------
15,493
--------------
UTILITIES -- 2.8%
AES* 16,200 354
AGL Resources 1,600 59
Allegheny Energy* 600 36
Alliant Energy 10,952 455
American Electric Power 8,700 415
Atmos Energy 5,800 152
Centerpoint Energy 16,600 296
CMS Energy (B) 31,179 543
Consolidated Edison (B) 11,200 543
Constellation Energy Group 3,300 331
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Dominion Resources 6,469 $ 305
DPL 1,613 49
DTE Energy 1,000 49
Duke Energy 20,100 398
Dynegy, Cl A* 14,800 113
Edison International (B) 15,100 845
Energen (B) 8,700 555
Entergy 2,700 323
Equitable Resources 4,100 217
Exelon 1,300 105
FirstEnergy (B) 10,500 720
FPL Group 7,900 551
MDU Resources Group 150 4
Mirant* 13,300 513
National Fuel Gas 2,032 97
NiSource 3,400 63
Northeast Utilities 10,800 341
NRG Energy* 11,000 466
Oneok 3,200 149
Pepco Holdings 1,400 39
PG&E (B) 16,189 749
PPL 5,000 255
Progress Energy 5,100 249
Public Service Enterprise Group (B) 14,305 1,370
Questar 300 16
Reliant Energy* (B) 28,554 744
Sempra Energy 2,300 144
Sierra Pacific Resources 7,100 122
Southern 800 30
Southern Union 2,529 75
UGI 5,800 153
Xcel Energy 4,100 95
--------------
13,088
--------------
Total Common Stock
(Cost $414,657) ($ Thousands) 440,559
--------------
MUTUAL FUND -- 16.0%
SEI LIBOR Plus Portfolio,
5.830%++** 7,609,389 73,735
--------------
Total Mutual Fund
(Cost $76,029) ($ Thousands) 73,735
--------------
CASH EQUIVALENT -- 1.3%
SEI Daily Income Trust,
Prime Obligation Fund, Cl A,
5.020% (B)++** 5,944,856 5,945
--------------
Total Cash Equivalent
(Cost $5,945) ($ Thousands) 5,945
--------------
- --------------------------------------------------------------------------------
16 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS (A) -- 1.1%
U.S. Treasury Bills
4.864%, 12/13/07 $ 200 $ 200
3.023%, 02/21/08 4,655 4,623
--------------
Total U.S. Treasury Obligations
(Cost $4,823) ($ Thousands) 4,823
--------------
Total Investments -- 114.2%
(Cost $501,454) ($ Thousands) $ 525,062
==============
COMMON STOCK SOLD SHORT -- (14.8)%
CONSUMER DISCRETIONARY -- (3.6)%
Advance Auto Parts (9,731) (350)
Amazon.com* (2,500) (226)
Apollo Group, Cl A* (6,651) (509)
Barnes & Noble (5,600) (215)
Black And Decker (125) (10)
Career Education* (4,056) (117)
Carmax* (25,800) (590)
Centex (10,500) (219)
Central European Media Entertainment,
Cl A* (5,589) (613)
Circuit City Stores (24,290) (157)
Coldwater Creek* (13,100) (108)
Corinthian Colleges* (18,200) (318)
CROCS* (5,970) (233)
CTC Media* (5,700) (137)
Dillards, Cl A (10,700) (218)
Discovery Holding, Cl A* (11,844) (290)
DR Horton (52,632) (630)
Dreamworks Animation SKG, Cl A* (8,837) (232)
E.W. Scripps, Cl A (500) (22)
Eastman Kodak (4,500) (106)
Gamestop, Cl A* (6,628) (381)
Gannett (3,976) (146)
Gentex (43,490) (862)
Getty Images* (615) (18)
H&R Block (24,900) (490)
Harley-Davidson (5,455) (262)
Harte-Hanks (5,203) (87)
Hearst-Argyle Television (1,845) (36)
Home Depot (5,818) (166)
Interpublic Group (57,800) (549)
J.C. Penney (1,133) (50)
KB Home (10,792) (225)
Las Vegas Sands* (9,600) (1,089)
Lennar, Cl A (38,827) (615)
Liberty Media Interactive, Cl A* (6,082) (123)
Limited Brands (11,300) (227)
Mattel (2,677) (53)
MDC Holdings (6,658) (236)
MGM Mirage (5,000) (433)
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
News, Cl A (2,800) $ (59)
Nordstrom (7,100) (238)
O'Reilly Automotive* (12,100) (398)
Orient Express Hotels, Cl A (12,200) (755)
Pulte Homes (52,476) (536)
Quiksilver* (27,200) (288)
R.H. Donnelley (3,261) (145)
Ryland Group (10,429) (240)
Saks (20,600) (424)
Sally Beauty Holdings (26,300) (240)
Scientific Games, Cl A* (11,900) (385)
Sears Holdings* (2,502) (264)
Sirius Satellite Radio* (10,834) (41)
Target (2,300) (138)
Tiffany (5,387) (250)
WABCO (2,235) (105)
Warner Music Group (28,000) (211)
Weight Watchers International (801) (38)
Wynn Resorts* (2,111) (268)
--------------
(16,371)
--------------
CONSUMER STAPLES -- (0.2)%
Avon Products (1,317) (54)
Bare Escentuals* (5,493) (116)
Church & Dwight (698) (39)
Clorox (4,712) (306)
Hansen Natural* (1,281) (56)
Lowes - Carolina (1,555) (138)
NBTY* (1,952) (58)
--------------
(767)
--------------
ENERGY -- (1.9)%
Anadarko Petroleum (7,444) (421)
Arch Coal (12,700) (481)
Baker Hughes (3,200) (257)
BJ Services (9,500) (234)
Cameco (11,600) (480)
CNX Gas* (17,400) (536)
Continental Resources* (7,900) (188)
Denbury Resources* (10,500) (560)
Diamond Offshore Drilling (2,100) (245)
Enbridge (13,200) (492)
Forest Oil* (6,200) (292)
Frontier Oil (3,670) (162)
Massey Energy (1,720) (58)
Nabors Industries* (908) (24)
Oceaneering International* (271) (17)
Patterson - UTI Energy (18,001) (339)
Peabody Energy (19,300) (1,074)
Quicksilver Resources* (13,437) (680)
Range Resources (5,300) (216)
Rowan (4,300) (152)
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 17
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Superior Energy Services* (10,900) $ (380)
Teekay Shipping (5,120) (288)
Tesoro (2,132) (105)
Tetra Technologies* (15,300) (242)
TransCanada (13,700) (546)
Unit* (2,642) (118)
W&T Offshore (7,400) (195)
XTO Enegy (1,131) (70)
--------------
(8,852)
--------------
FINANCIALS -- (2.4)%
Affiliated Managers Group* (200) (25)
AMB Property+ (5,500) (336)
AMBAC Financial Group (8,700) (237)
American Capital Strategies (11,500) (433)
AvalonBay Communities+ (3,200) (318)
Bear Stearns (8,233) (821)
Brandywine Realty Trust (2,087) (43)
Camden Property Trust+ (2,700) (142)
Capital Source (12,470) (209)
Capitol Federal Financial (15,600) (529)
City National (500) (32)
Conseco* (25,000) (321)
Countrywide Financial (7,713) (83)
Douglas Emmett+ (19,251) (462)
Equity Residential+ (2,900) (108)
Federal Realty Investment Trust (1,000) (83)
Fidelity National Financial, Cl A (48,459) (757)
First American (9,200) (314)
Fulton Financial (1,100) (14)
Hudson City Bancorp (8,023) (122)
Huntington Bancshares (1,575) (25)
Jefferies Group (10,600) (271)
Leucadia National (18,203) (855)
Markel* (300) (145)
Marsh & McLennan (1,600) (40)
MBIA (22,511) (822)
MGIC Investment (9,872) (232)
Old Republic International (15,001) (225)
OneBeacon Insurance Group (291) (6)
Peoples United Financial (21,420) (363)
Plum Creek Timber+ (2,900) (134)
PMI Group (12,745) (169)
Popular (8,055) (77)
Progressive (5,600) (103)
Rayonier+ (800) (37)
SL Green Realty+ (2,500) (260)
T. Rowe Price Group (4,900) (301)
TCF Financial (19,068) (370)
Unitrin (2,000) (93)
Valley National Bancorp (26,970) (529)
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Ventas (3,687) $ (161)
Washington Mutual (7,201) (140)
White Mountains Insurance Group (300) (155)
--------------
(10,902)
--------------
HEALTH CARE -- (2.0)%
Abraxis Bioscience* (650) (38)
Advanced Medical Optics (3,000) (76)
Affymetrix* (10,300) (215)
Allergan (4,800) (322)
APP Pharmaceuticals* (2,600) (30)
Biogen Idec* (1,300) (96)
Biomarin Pharmaceutical* (14,500) (399)
Brookdale Senior Living (17,183) (569)
Cephalon* (3,700) (277)
Community Health Care Systems* (2,300) (77)
Cooper (15,100) (650)
DaVita* (6,300) (390)
Health Management Associates, Cl A (20,753) (141)
ImClone Systems* (2,500) (113)
IMS Health (13,800) (322)
Kinetic Concepts* (4,207) (247)
LifePoint Hospitals* (17,195) (544)
Lincare Holdings* (10,000) (342)
McKesson (5,000) (334)
Millipore (2,300) (188)
Mylan (13,923) (200)
Omnicare (14,396) (367)
Patterson* (2,200) (71)
Pharmaceutical Product Development (24,000) (1,016)
Resmed* (21,800) (998)
Respironics* (800) (39)
Tenet Healthcare* (94,000) (518)
Varian Medical Systems* (8,800) (440)
VCA Antech* (6,600) (271)
Vertex Pharmaceuticals* (3,500) (89)
Waters* (957) (75)
--------------
(9,454)
--------------
INDUSTRIALS -- (1.4)%
Aircastle (1,913) (51)
Alliant Techsystems* (539) (63)
AMR* (16,400) (347)
BE Aerospace* (9,200) (432)
ChoicePoint* (2,079) (79)
Copa Holdings, Cl A (9,605) (347)
Corporate Executive Board (7,852) (527)
Corrections Corporation of America* (3,000) (92)
Covanta Holding* (16,200) (437)
Danaher (500) (43)
- --------------------------------------------------------------------------------
18 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
DRS Technologies (1,569) $ (93)
Expeditors International Washington (3,400) (160)
First Solar* (334) (79)
Flowserve (4,000) (376)
General Cable (5,500) (409)
Graco (10,170) (379)
Joy Global (7,600) (441)
Kansas City Southern (3,100) (107)
McDermott International (1,581) (83)
Northwest Airlines* (1,300) (24)
Pitney Bowes (15,322) (590)
Quanta Services* (4,000) (110)
Republic Services (153) (5)
Stericycle* (5,618) (331)
Sunpower, Cl A* (4,800) (597)
Toro (3,516) (196)
--------------
(6,398)
--------------
INFORMATION TECHNOLOGY -- (2.1)%
Advanced Micro Devices* (18,600) (182)
Amphenol,Cl A (9,800) (425)
Applied Materials (11,700) (220)
Brocade Communication Systems* (10,873) (79)
Cypress Semiconductor* (28,900) (960)
Diebold (7,100) (241)
Electronic Arts* (5,900) (332)
Equinix* (4,200) (437)
F5 Networks* (7,251) (192)
Fair Isaac (7,527) (278)
Global Payments (2,902) (125)
International Rectifier* (600) (20)
Iron Mountain* (1,000) (36)
Kla-Tencor (7,000) (338)
Linear Technology (17,474) (532)
Marvel Technology* (3,455) (52)
MEMIC Electronic Materials* (7,534) (584)
Micron Technology (31,100) (259)
Novell* (8,900) (62)
Paychex (14,920) (582)
QLogic* (29,490) (399)
Qualcomm (2,585) (105)
Rambus* (31,636) (613)
Riverbed Technology* (6,728) (190)
Salesforce.com* (8,900) (505)
SanDisk* (1,000) (37)
SAVVIS* (9,200) (295)
Silicon Laboratories* (4,687) (174)
Tellabs* (7,592) (53)
VeriFone Holdings* (19,306) (927)
Vishay Intertechnology* (13,700) (171)
Zebra Technology, Cl A* (7,781) (300)
--------------
(9,705)
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- (0.1)%
Microchip Technology (17,201) $ (495)
--------------
MATERIALS -- (0.7)%
Bemis (20,968) (569)
Cleveland-Cliffs (700) (63)
Eagle Materials (1,842) (72)
Ivanhoe Mines* (43,300) (488)
Louisiana-Pacific (26,059) (401)
Potash of Saskatchewan (5,800) (695)
Sealed Air (800) (19)
Silver Standard Resources* (10,100) (366)
Sonoco Products (2,280) (69)
Temple-Inland (6,300) (290)
Weyerhaeuser (1,300) (95)
--------------
(3,127)
--------------
TELECOMMUNICATION SERVICES -- (0.3)%
Citizens Communications (22,454) (291)
Leap Wireless International* (507) (18)
Level 3 Communications* (33,698) (113)
NII Holdings, Cl B* (10,300) (568)
Windstream (16,269) (211)
--------------
(1,201)
--------------
UTILITIES -- (0.1)%
Equitable Resources (6,100) (323)
Pinnacle West Capital (2,527) (108)
Wisconsin Energy (4,500) (215)
--------------
(646)
--------------
UTILITIES -- (0.0)%
SCANA (2,611) (111)
--------------
Total Common Stock Sold Short
(Proceeds $(71,356)) ($ Thousands) $ (68,029)
--------------
A summary of the open futures contracts held by the Fund at November 30, 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 230 Dec-2007 $ 123
S&P 500 Index E-Mini 6 Dec-2007 3
--------------
$ 126
==============
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 19
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
Percentages are based on Net Assets of $459,684 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of November 30, 2007.
+ Real Estate Investment Trust
++ Investment in Affiliated Security (see Note 3).
(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
November 30, 2007 was $206,421 ($ Thousands).
ADR -- American Depositary Receipt
Cl -- Class
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
20 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
Large Cap Disciplined Equity Fund
November 30, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS+++:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Mutual 17.2%
Financials 14.1%
Information Technology 11.0%
Health Care 9.2%
Industrials 9.2%
Energy 8.1%
Short-Term Investments 8.1%
Consumer Staples 7.3%
Consumer Discretionary 6.4%
Telecommunication Services 3.1%
Materials 2.7%
Utilities 2.6%
U.S. Treasury Obligations 1.0%
+++ 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 -- 6.8%
Abercrombie & Fitch, Cl A 16,700 $ 1,370
Amazon.com* 147,300 13,339
AnnTaylor Stores* 70,900 2,159
Apollo Group, Cl A* 35,800 2,739
Asbury Automotive Group 78,200 1,309
Autozone* 39,700 4,432
Best Buy (B) 659,668 33,676
Big Lots (B)* 167,100 3,120
Bob Evans Farms (B) 37,800 1,166
Brinker International (B) 175,750 4,048
Cablevision Systems, Cl A* 439,972 11,892
CBS, Cl B (B) 358,740 9,840
Cheesecake Factory (B)* 21,800 508
Christopher & Banks (B) 50,600 816
Clear Channel Communications 55,119 1,979
Coach* 279,500 10,381
Comcast, Cl A (B)* 1,159,924 23,825
Darden Restaurants 177,100 7,047
DIRECTV Group* 1,652,078 41,087
Dollar Tree Stores* 19,600 562
Dow Jones 68,300 4,081
Eastman Kodak 6,800 160
EchoStar Communications, Cl A* 66,237 2,855
Expedia* 95,900 3,126
Family Dollar Stores 31,700 747
Ford Motor (B)* 1,983,487 14,896
General Motors (B) 512,052 15,274
Gentex 86,800 1,720
Goodyear Tire & Rubber* 295,300 8,490
Group 1 Automotive (B) 9,300 250
Gymboree* 147,300 4,914
Harley-Davidson 84,000 4,034
Harman International Industries 26,800 1,972
Harrah's Entertainment 28,710 2,528
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Hasbro 194,900 $ 5,412
Home Depot 691,195 19,741
IAC/InterActive* 166,300 4,628
Interpublic Group* 223,900 2,125
J.C. Penney (B) 290,100 12,799
Jack in the Box (B)* 153,200 4,588
Johnson Controls 186,136 7,189
Jones Apparel Group (B) 86,800 1,618
Kellwood 32,100 481
Kohl's* 75,400 3,716
Leggett & Platt 31,100 640
Limited Brands (B) 139,900 2,809
Marriott International, Cl A 473,780 17,767
Marvel Entertainment (B)* 62,900 1,742
Mattel 603,200 12,052
McDonald's 616,532 36,049
McGraw-Hill 114,000 5,595
Meredith 8,000 440
MGM Mirage* 129,564 11,207
Morgans Hotel Group (B)* 23,100 427
News, Cl A 784,800 16,536
Nike, Cl B 45,500 2,987
Nordstrom 267,126 8,959
Panera Bread, Cl A (B)* 27,800 1,114
Papa John's International (B)* 38,500 907
Polo Ralph Lauren 88,800 6,125
RadioShack 215,700 3,990
Rent-A-Center* 173,200 2,453
Sears Holdings* 15,800 1,667
Sherwin-Williams 92,500 5,812
Snap-On 29,800 1,457
Sonic (B)* 57,200 1,396
Stanley Works 17,300 902
Target (B) 354,423 21,287
Tempur-Pedic International (B) 22,800 677
Tiffany 140,200 6,509
Time Warner 1,395,428 24,085
TRW Automotive Holdings (B)* 45,509 1,022
Valassis Communications (B)* 124,700 1,538
VF 131,500 9,835
Viacom, Cl B* 319,400 13,421
Walt Disney 1,177,238 39,025
Warnaco Group* 57,000 2,103
Wendy's International 31,400 880
Whirlpool 24,300 1,967
Winnebago Industries (B) 25,400 547
Wolverine World Wide 8,400 208
Wyndham Worldwide 16,200 473
Yum! Brands (B) 353,300 13,125
--------------
582,374
--------------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 21
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Disciplined Equity Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CONSUMER STAPLES -- 7.6%
Altria Group 1,045,953 $ 81,124
Anheuser-Busch 417,125 21,991
Archer-Daniels-Midland 791,733 28,780
Avon Products 32,800 1,346
Brown-Forman, Cl B 11,000 777
Campbell Soup 5,900 217
Chattem (B)* 5,900 418
Coca-Cola 776,487 48,220
Coca-Cola Enterprises 271,401 7,048
Colgate-Palmolive 153,500 12,292
Corn Products International 47,466 1,867
Costco Wholesale (B) 70,241 4,734
CVS 186,608 7,481
Dean Foods 29,100 726
Estee Lauder, Cl A 8,800 395
General Mills (B) 105,800 6,364
Green Mountain Coffee Roasters (B)* 7,200 235
Herbalife (B) 69,200 2,897
HJ Heinz 9,200 435
Kimberly-Clark 381,959 26,665
Kraft Foods, Cl A 345,003 11,920
Kroger 1,316,687 37,855
Molson Coors Brewing, Cl B 92,000 4,953
PepsiCo 661,327 51,041
Pilgrim's Pride (B) 30,700 801
Procter & Gamble 1,822,778 134,886
Reynolds American (B) 320,400 22,434
Safeway (B) 491,800 17,115
Sanderson Farms 16,500 513
Supervalu 298,100 12,482
Sysco 208,343 6,773
Tyson Foods, Cl A (B) 1,318,923 19,665
UST 80,300 4,649
Wal-Mart Stores 1,661,177 79,570
Walgreen 12,003 439
WM Wrigley Jr. 11,600 742
--------------
659,850
--------------
ENERGY -- 8.6%
Apache 41,900 4,055
Baker Hughes 19,600 1,573
Chesapeake Energy (B) 367,400 13,906
Chevron 1,457,881 127,958
ConocoPhillips 1,124,062 89,970
Consol Energy 10,100 599
Devon Energy 274,742 22,751
El Paso 68,200 1,097
ENSCO International 33,800 1,820
Exxon Mobil 2,993,572 266,907
Halliburton 597,216 21,864
Hess 124,600 8,874
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Holly (B) 16,800 $ 814
Hornbeck Offshore Services* 117,000 4,817
Marathon Oil 702,090 39,247
Murphy Oil 17,900 1,280
National Oilwell Varco* 199,600 13,603
Noble 255,200 13,304
Noble Energy 28,600 2,060
Occidental Petroleum 125,098 8,728
Pride International* 267,419 8,817
Rowan 28,300 1,002
Schlumberger 341,594 31,922
SEACOR Holdings* 8,800 797
Smith International 60,300 3,782
Sunoco (B) 31,100 2,087
Tesoro 69,500 3,418
Transocean 29,243 4,015
Valero Energy 240,600 15,656
Weatherford International* 33,400 2,092
Williams 501,442 17,405
XTO Energy 46,900 2,899
--------------
739,119
--------------
FINANCIALS -- 14.7%
ACE 508,525 30,425
Aflac 25,400 1,591
Alleghany* 549 225
Allstate (B) 476,447 24,356
AMBAC Financial Group (B) 10,400 283
American Capital Strategies 16,600 624
American Express 452,903 26,712
American Financial Group 105,600 3,086
American International Group 1,277,200 74,244
American National Insurance 1,526 182
Ameriprise Financial 126,810 7,443
Annaly Capital Management+ 134,700 2,318
AON (B) 271,400 13,562
Apartment Investment & Management, Cl A+ 10,600 422
Apollo Investment (B) 55,900 990
Arch Capital Group* 18,307 1,277
Ashford Hospitality Trust+ 63,700 493
AvalonBay Communities+ (B) 48,623 4,835
Axis Capital Holdings 34,500 1,316
Bank of America 2,990,623 137,957
Bank of New York Mellon 391,955 18,798
BB&T (B) 112,600 4,063
BlackRock (B) 68,181 13,525
BOK Financial (B) 4,033 221
Boston Properties+ 309,162 30,428
Brandywine Realty Trust+ 67,500 1,384
Capital One Financial (B) 274,329 14,625
CB Richard Ellis Group, Cl A* 234,700 5,574
- --------------------------------------------------------------------------------
22 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Charles Schwab 824,395 $ 20,041
Chubb 208,600 11,379
CIT Group (B) 25,600 681
Citigroup 2,905,176 96,742
Citizens Republic Bancorp 29,200 415
CME Group 2,700 1,778
Comerica 20,500 939
Crystal River Capital+ (B) 28,600 404
Discover Financial Services* 41,240 716
Endurance Specialty Holdings 43,900 1,773
Fannie Mae 100,800 3,873
Fifth Third Bancorp 137,200 4,104
First Citizens BancShares, Cl A 1,406 220
First Industrial Realty Trust+ (B) 37,300 1,362
Franklin Resources 264,909 32,632
Freddie Mac 15,917 558
General Growth Properties+ 12,900 599
Genworth Financial, Cl A 67,600 1,774
Goldman Sachs Group 258,103 58,496
Hartford Financial Services Group 119,464 11,387
Host Hotels & Resorts+ (B) 130,081 2,496
Hudson City Bancorp 461,100 7,018
Huntington Bancshares 276,000 4,330
IntercontinentalExchange* 15,000 2,504
iStar Financial+ (B) 9,200 269
Janus Capital Group (B) 370,100 12,424
JPMorgan Chase 2,623,741 119,695
Keycorp (B) 158,300 4,170
Kimco Realty+ 43,800 1,730
Lehman Brothers Holdings (B) 246,084 15,412
Leucadia National 128,600 6,039
Lincoln National 7,592 467
Loews 787,171 37,619
MBIA (B) 26,100 953
Merrill Lynch 515,544 30,902
Metlife (B) 726,733 47,666
MFA Mortgage Investments+ 43,300 380
Montpelier Re Holdings (B) 43,100 747
Moody's 10,170 383
Morgan Stanley 378,616 19,961
Newcastle Investment+ (B) 103,300 1,344
Northern Trust 119,881 9,709
NorthStar Realty Finance+ (B) 170,300 1,562
NYSE Euronext 35,500 3,074
Platinum Underwriters Holdings 31,800 1,155
PNC Financial Services Group 155,531 11,386
Prologis+ 5,100 334
Provident Bankshares 10,400 244
Prudential Financial 532,048 50,087
Public Storage+ 1,900 147
Regions Financial 433,200 11,449
Simon Property Group+ 57,281 5,639
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
SLM 66,276 $ 2,524
Strategic Hotels & Resorts+ (B) 47,100 862
Sunstone Hotel Investors+ 25,800 599
SunTrust Banks 76,000 5,328
T. Rowe Price Group 81,628 5,019
TD Ameritrade Holding (B)* 271,500 5,074
Travelers 928,132 49,293
Umpqua Holdings (B) 23,100 373
UnumProvident 186,100 4,623
US Bancorp 745,868 24,681
Vornado Realty Trust+ 28,700 2,583
Wachovia 675,279 29,037
Washington Mutual (B) 190,541 3,716
Wells Fargo 1,548,150 50,207
XL Capital, Cl A (B) 77,600 4,542
--------------
1,270,588
--------------
HEALTH CARE -- 9.7%
Abbott Laboratories 566,616 32,586
Aetna 74,713 4,175
AmerisourceBergen (B) 472,892 21,455
Amgen* 83,688 4,624
Baxter International 870,466 52,115
Becton Dickinson 134,000 11,086
Biogen Idec* 8,600 637
Bristol-Myers Squibb 716,773 21,238
Cardinal Health 524,404 31,753
Celgene* 156,400 9,626
Cigna 544,826 29,208
Coventry Health Care* 10,000 579
Covidien* 672,889 26,990
Cubist Pharmaceuticals (B)* 153,500 3,260
Eli Lilly 392,272 20,771
Express Scripts* 289,900 19,641
Genentech* 320,674 24,451
Gilead Sciences* 369,000 17,173
Health Net* 291,076 14,140
Henry Schein* 11,444 677
Hospira* 51,605 2,235
Humana* 138,777 10,690
Idexx Laboratories (B)* 10,200 617
Invitrogen (B)* 47,700 4,627
Johnson & Johnson 1,015,811 68,811
King Pharmaceuticals* 118,600 1,256
Laboratory of America Holdings* 55,300 4,019
Manor Care 94,300 6,094
McKesson 386,521 25,793
Medco Health Solutions* 344,781 34,475
Medtronic 334,149 16,991
Mentor (B) 108,600 4,082
Merck 783,794 46,526
Millennium Pharmaceuticals* 170,300 2,510
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 23
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Disciplined Equity Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Millipore* 6,200 $ 508
OSI Pharmaceuticals (B)* 97,500 4,546
PerkinElmer 96,500 2,633
Pfizer 3,684,891 87,553
Schering-Plough 1,358,029 42,506
St. Jude Medical* 49,100 1,952
Stryker* 93,500 6,791
Thermo Fisher Scientific* 161,300 9,297
UnitedHealth Group 466,745 25,671
Waters* 162,700 12,697
Watson Pharmaceuticals* 53,300 1,562
WellPoint* 424,674 35,762
Wyeth 461,949 22,682
Zimmer Holdings* 64,700 4,188
--------------
833,259
--------------
INDUSTRIALS -- 9.7%
3M 236,644 19,703
Acuity Brands (B) 12,700 502
Administaff 51,100 1,670
Allied Waste Industries* 402,380 4,591
American Reprographics (B)* 32,800 508
Apogee Enterprises 16,600 369
Boeing 810,383 74,993
Burlington Northern Santa Fe 104,100 8,694
C.H. Robinson Worldwide 23,300 1,201
Caterpillar 75,528 5,430
Cooper Industries, Cl A 24,300 1,220
CRA International (B)* 13,900 643
CSX 413,000 17,346
Cummins 87,820 10,266
Deere 64,200 11,030
Delta Air Lines* 61,382 1,213
Eaton 51,000 4,555
Emerson Electric 285,530 16,281
EnPro Industries* 27,800 851
Expeditors International Washington 34,300 1,609
FedEx 282,225 27,791
Flowserve 38,681 3,639
Fluor 91,310 13,438
Gardner Denver* 24,000 795
General Dynamics 140,500 12,474
General Electric 5,395,557 206,596
Goodrich 55,600 3,964
Granite Construction (B) 26,100 1,071
Herman Miller (B) 26,500 727
Honeywell International 724,122 41,000
Hubbell, Cl B 17,700 972
Huron Consulting Group* 32,500 2,381
Illinois Tool Works (B) 125,000 6,937
Ingersoll-Rand, Cl A 347,300 17,935
ITT 55,000 3,544
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Jacobs Engineering Group* 231,847 $ 19,422
L-3 Communications Holdings 14,900 1,649
Labor Ready (B)* 115,900 1,744
Lockheed Martin (B) 515,035 56,999
Manitowoc 22,700 995
Northrop Grumman 216,576 17,064
Paccar (B) 335,069 16,958
Pall 144,400 5,523
Parker Hannifin 5,800 461
PeopleSupport (B)* 22,400 315
Precision Castparts 81,800 12,052
Raytheon 385,431 23,839
Robert Half International 122,000 3,289
Rockwell Automation 202,600 13,754
Rockwell Collins 18,200 1,313
RR Donnelley & Sons 154,391 5,660
Ryder System 15,300 663
Shaw Group* 141,384 8,967
Steelcase, Cl A 103,500 1,566
Stericycle* 38,500 2,266
Terex* 167,398 10,789
Textron 15,400 1,063
Thomas & Betts* 99,800 5,425
Timken 18,600 593
Trane 60,800 2,232
Trinity Industries (B) 94,900 2,402
Tyco International 481,128 19,308
Union Pacific 59,000 7,442
United Parcel Service, Cl B 363,085 26,752
United Technologies 315,344 23,578
Waste Management 227,800 7,818
WW Grainger 90,862 8,023
--------------
835,863
--------------
INFORMATION TECHNOLOGY -- 11.7%
Accenture, Cl A (B) 85,700 2,962
Adobe Systems* 115,900 4,884
Advent Software (B)* 9,900 502
Agilent Technologies* 319,300 12,079
Altera 24,400 458
Amdocs* 75,843 2,510
Analog Devices 43,600 1,342
Apple* 289,984 52,841
Applied Materials 22,900 431
Arrow Electronics* 406,050 15,028
Autodesk* 14,700 692
Automatic Data Processing 344,353 15,517
Avnet (B)* 336,679 11,615
BMC Software* 185,100 6,123
Cadence Design Systems* 24,200 402
Ciena* 54,100 2,379
Cisco Systems* 2,605,210 72,998
- --------------------------------------------------------------------------------
24 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Citrix Systems* 32,100 $ 1,187
Cognizant Technology Solutions, Cl A* 119,800 3,726
Compuware (B)* 237,800 1,964
Convergys* 89,800 1,465
Corning 69,500 1,688
Dell* 180,100 4,420
Earthlink* 123,300 837
eBay* 576,300 19,323
Electronic Data Systems (B) 1,037,629 21,022
EMC* 419,300 8,080
Emulex (B)* 62,200 1,042
Exar* 46,000 423
Fidelity National Information Services 110,100 4,758
Google, Cl A* 104,995 72,762
Hewlett-Packard 2,055,393 105,154
Ingram Micro, Cl A* 687,047 13,672
Integrated Device Technology* 36,800 446
Intel 1,612,939 42,065
International Business Machines (B) 1,033,522 108,706
Intuit* 322,600 9,459
j2 Global Communications (B)* 17,100 416
Jabil Circuit 105,900 1,795
Juniper Networks (B)* 655,200 19,473
Kla-Tencor 17,800 856
Lam Research (B)* 211,000 9,674
Linear Technology (B) 199,200 6,068
MEMC Electronic Materials* 72,200 5,601
Microchip Technology 82,800 2,384
Microsoft 3,934,443 132,197
Motorola 179,273 2,863
NCR* 599,960 14,363
Network Appliance* 226,100 5,587
Novellus Systems* 12,500 325
Nvidia* 532,150 16,784
Oracle* 1,227,216 24,765
Qualcomm 309,100 12,605
SanDisk* 14,900 558
Seagate Technology 181,100 4,671
Semtech* 38,500 587
SPSS* 20,400 737
Sun Microsystems* 898,610 18,673
SYKES Enterprises* 19,600 362
Symantec (B)* 707,200 12,588
Tech Data* 85,366 3,211
Teradata* 348,820 9,055
Teradyne* 37,400 407
Texas Instruments 1,148,014 36,243
Tyco Electronics* 287,127 10,736
VeriSign* 87,800 3,591
Xerox* 1,159,991 19,581
Yahoo!* 13,600 365
Zoran* 121,300 2,647
--------------
1,004,730
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
MATERIALS -- 2.8%
Air Products & Chemicals 5,200 $ 515
Alcoa 535,200 19,465
Allegheny Technologies 130,500 12,756
Ashland 77,748 3,828
Ball 76,500 3,538
Crown Holdings* 746,999 19,168
Dow Chemical 728,022 30,533
E.I. Du Pont de Nemours 276,691 12,769
Eastman Chemical 45,100 2,896
Ecolab 6,000 287
Freeport-McMoRan Copper & Gold, Cl B (B) 243,321 24,072
Hercules 30,100 584
International Flavors & Fragrances 86,400 4,332
International Paper 191,300 6,456
MeadWestvaco 73,900 2,429
Monsanto 253,347 25,175
Mosaic* 148,794 10,289
Newmont Mining 43,262 2,150
Nucor 139,400 8,254
Olin 155,000 3,246
OM Group* 35,800 2,015
Owens-Illinois* 74,010 3,322
Pactiv* 289,200 7,346
PPG Industries 6,900 474
Rohm & Haas 36,428 1,981
Temple-Inland 171,200 7,870
Titanium Metals* 14,600 433
United States Steel 143,700 14,040
Vulcan Materials 96,800 8,596
Weyerhaeuser 61,800 4,523
Zep (B)* 12,500 164
--------------
243,506
--------------
TELECOMMUNICATION SERVICES -- 3.2%
American Tower, Cl A* 70,100 3,192
AT&T 4,455,946 170,262
CenturyTel 155,800 6,642
Embarq 74,900 3,816
Qwest Communications International (B)* 968,719 6,423
Sprint Nextel 1,268,400 19,686
US Cellular* 86,212 7,069
Verizon Communications 1,289,920 55,737
Windstream (B) 484,813 6,278
--------------
279,105
--------------
UTILITIES -- 2.8%
AES* 331,000 7,232
Allegheny Energy* 287,814 17,485
American Electric Power 225,300 10,740
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 25
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Disciplined Equity Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Atmos Energy 26,100 $ 684
Centerpoint Energy 328,200 5,858
CMS Energy 88,600 1,544
Consolidated Edison (B) 217,000 10,514
Constellation Energy Group 109,700 10,993
Dominion Resources (B) 97,600 4,610
DTE Energy (B) 38,900 1,908
Duke Energy (B) 881,900 17,453
Dynegy, Cl A* 490,000 3,729
Edison International 408,286 22,856
Entergy 70,600 8,440
Exelon 223,482 18,118
FirstEnergy 85,500 5,862
FPL Group 154,100 10,750
Mirant (B)* 39,500 1,524
Nicor (B) 35,700 1,504
NiSource 44,200 818
Pepco Holdings 33,300 936
PG&E 442,623 20,480
Portland General Electric 62,400 1,670
PPL 98,500 5,020
Public Service Enterprise Group 311,695 29,842
Questar 17,900 957
Reliant Energy* 534,461 13,917
Sempra Energy 36,530 2,287
Southern (B) 73,900 2,780
--------------
240,511
--------------
Total Common Stock
(Cost $5,973,184) ($ Thousands) 6,688,905
--------------
MUTUAL FUND -- 18.2%
SEI LIBOR Plus Portfolio, 5.830%++** 161,902,719 1,568,837
--------------
Total Mutual Fund
(Cost $1,616,888) ($ Thousands) 1,568,837
--------------
CORPORATE OBLIGATION (C) (E) -- 0.1%
FINANCIALS -- 0.1%
SLM MTN 4.660%, 12/17/07 $ 8,739 8,739
--------------
Total Corporate Obligation
(Cost $8,739) ($ Thousands) 8,739
--------------
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CASH EQUIVALENTS -- 8.6%
FIMAT USA 2,850,489 $ 2,850
First Union Cash Management
Program, 4.370%** 5,382,501 5,383
SEI Daily Income Trust,
Prime Obligation Fund, Cl A,
5.020%++** 245,963,681 245,964
SEI Liquidity Fund L.P.,
5.110%++** (C) 484,906,404 484,906
UBS Margin Deposit 279,483 279
--------------
Total Cash Equivalents
(Cost $739,712) ($ Thousands) 739,382
--------------
U.S. TREASURY OBLIGATIONS (A) (D) -- 1.0%
U.S. Treasury Bills
4.854%, 12/13/07 $ 2,575 2,572
3.898%, 12/20/07 500 499
3.023%, 02/21/08 90,065 89,453
--------------
Total U.S. Treasury Obligations
(Cost $92,519) ($ Thousands) 92,524
--------------
Total Investments -- 105.5%
(Cost $8,430,712) ($ Thousands) $ 9,098,387
==============
A summary of the open futures contracts held by the Fund at November 30, 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$ (13) Mar-2008 $ (11)
90-Day GBP Libor (24) Mar-2008 4
3-Month Euribor (1) Mar-2008 --
Australia 10 Year Bond Index 21 Dec-2007 (4)
Amsterdam Index 3 Dec-2007 1
CAC40 10 Euro (1) Dec-2007 (2)
Canadian 10 Year Bond Index 60 Mar-2008 26
DAX Index 1 Dec-2007 10
Euro-Bobl 4 Dec-2007 6
Euro-Bond 157 Dec-2007 89
FTSE 100 Index 1 Dec-2007 3
Japan 10 Year Bond Index 26 Dec-2007 68
Long Gilt 10 Year Index (97) Mar-2008 22
S&P 500 Index 5,179 Dec-2007 1,887
S&P 500 Index E-Mini (3) Dec-2007 8
SPI 200 Index 1 Dec-2007 5
Topix Index (2) Dec-2007 8
U.S. 5 Year Treasury Note (7) Mar-2008 1
U.S. 10 Year Treasury Note 94 Dec-2007 29
U.S. 10 Year Treasury Note (95) Mar-2008 18
U.S. Long Treasury Bond (1) Mar-2008 1
--------------
$ 2,169
==============
- --------------------------------------------------------------------------------
26 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
A summary of the outstanding forward foreign currency contracts held by the Fund
at November 30, 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)
- --------------------------------------------------------------------------------
12/19/07 AUD 900 USD 798 $ 2
12/19/07 CAD 3,800 USD 3,818 15
12/19/07 CHF 4,625 USD 3,955 (147)
12/19/07 EUR 2,000 USD 2,840 (97)
12/19/07 GBP 1,750 USD 3,553 (43)
12/19/07 JPY 342,500 USD 2,996 (98)
12/19/07 NZD 1,000 USD 755 (11)
12/19/07 SEK 18,000 USD 2,708 (111)
12/19/07 USD 7,018 AUD 7,950 8
12/19/07 USD 4,336 CAD 4,400 68
12/19/07 USD 6,050 CHF 7,125 269
12/19/07 USD 12,482 EUR 8,575 109
12/19/07 USD 5,473 GBP 2,688 50
12/19/07 USD 4,004 JPY 437,500 (52)
12/19/07 USD 1,532 NOK 8,500 1
12/19/07 USD 2,552 NZD 3,425 70
12/19/07 USD 9,565 SEK 61,500 67
--------------
$ 100
==============
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
Percentages are based on Net Assets of $8,621,955 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of November 30, 2007.
+ Real Estate Investment Trust
++ Investment in Affiliated Security (see Note 3).
(A) Security, or a portion thereof, has been pledged as collateral on open
future contracts.
(B) This security or a partial position of this security is on loan at
November 30, 2007. The total value of securities on loan at November 30,
2007 was $482,193 ($ Thousands).
(C) This security was purchased with cash collateral held from securities on
loan. The total value of such securities as of November 30, 2007 was
$493,645 ($ Thousands).
(D) The rate reported is the effective yield at time of purchase.
(E) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of November 30, 2007. The date reported on the
Schedule of Investments is the next reset date.
AUD -- Australian Dollar
CAD -- Canadian Dollar
CHF -- Swiss Franc
Cl -- Class
EUR -- Euro
GBP -- British Pound Sterling
JPY -- Japanese Yen
L.P.-- Limited Partnership
MTN -- Medium Term Note
NOK -- Norwegian Krone
NZD -- New Zealand Dollar
SEK -- Swedish Krona
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.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 27
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund
November 30, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS+++:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Financials 16.4%
Information Technology 14.2%
Short-Term Investments 10.8%
Health Care 10.8%
Industrials 10.5%
Energy 10.2%
Consumer Discretionary 8.7%
Consumer Staples 8.5%
Utilities 3.4%
Materials 3.3%
Telecommunication Services 3.0%
U.S. Treasury Obligation 0.2%
+++ Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 9).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 97.2%
CONSUMER DISCRETIONARY -- 9.5%
Abercrombie & Fitch, Cl A 2,102 $ 172
Advance Auto Parts 2,808 101
Amazon.com (B)* 7,589 687
American Eagle Outfitters 4,671 107
AnnTaylor Stores* 1,847 56
Apollo Group, Cl A (B)* 3,664 280
Autoliv 2,118 124
Autonation* 4,132 68
Autozone* 1,207 135
Barnes & Noble 1,238 48
Bed Bath & Beyond* 7,015 221
Best Buy (B) 8,547 436
Big Lots (B)* 2,800 52
Black & Decker 1,468 121
BorgWarner 1,441 139
Boyd Gaming 1,651 64
Brinker International 2,683 62
Brunswick (B) 2,533 52
Burger King Holdings 2,000 53
Cablevision Systems, Cl A* 5,342 144
Career Education* 2,459 71
Carmax (B)* 5,860 134
Carnival 11,200 505
CBS, Cl B (B) 14,869 408
Centex 3,256 68
Central European Media Entertainment, Cl A* 800 88
Cheesecake Factory (B)* 2,046 48
Chico's FAS* 4,616 52
Choice Hotels International 884 31
Circuit City Stores (B) 4,985 32
Clear Channel Communications (B) 12,735 457
Clear Channel Outdoor Holdings, Cl A* 700 19
Coach* 9,467 352
Coldwater Creek (B)* 1,700 14
Comcast, Cl A (B)* 73,925 1,518
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CROCS (B)* 2,000 $ 78
CTC Media* 1,700 41
Darden Restaurants 3,322 132
Dick's Sporting Goods* 2,058 64
Dillard's, Cl A (B) 1,675 34
DIRECTV Group* 17,658 439
Discovery Holding, Cl A* 7,242 177
Dollar Tree Stores* 2,653 76
Dow Jones 1,377 82
DR Horton 7,268 87
DreamWorks Animation SKG, Cl A* 1,934 51
E.W. Scripps, Cl A 2,272 99
Eastman Kodak (B) 6,967 164
EchoStar Communications, Cl A* 5,162 222
Expedia* 4,534 148
Family Dollar Stores 3,462 82
Foot Locker (B) 4,469 58
Ford Motor (B)* 49,924 375
Fortune Brands 3,720 285
GameStop, Cl A* 3,900 224
Gannett (B) 5,959 219
Gap 15,259 311
Garmin* 3,000 322
General Motors (B) 11,881 354
Gentex 3,932 78
Genuine Parts 4,271 205
Getty Images* 1,519 44
Goodyear Tire & Rubber* 5,052 145
Guess?* 1,300 61
H&R Block (B) 7,725 152
Hanesbrands* 2,643 75
Harley-Davidson 5,903 283
Harman International Industries 1,568 115
Harrah's Entertainment 4,775 421
Harte-Hanks 1,489 25
Hasbro 3,767 105
Hearst-Argyle Television 863 17
Home Depot 42,215 1,206
IAC/InterActive (B)* 4,664 130
Idearc 3,955 75
International Game Technology 8,443 369
International Speedway, Cl A 912 39
Interpublic Group (B)* 12,575 119
ITT Educational Services* 1,121 127
J.C. Penney 5,751 254
Jarden* 2,000 53
John Wiley & Sons, Cl A 1,242 52
Johnson Controls (B) 14,745 569
Jones Apparel Group (B) 1,753 33
KB Home (B) 2,080 43
Kohl's* 8,219 405
- --------------------------------------------------------------------------------
28 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Lamar Advertising, Cl A (B) 2,140 $ 111
Las Vegas Sands* 2,593 294
Leggett & Platt 4,919 101
Lennar, Cl A (B) 3,530 56
Liberty Global, Cl A (B)* 9,871 401
Liberty Media Holding-Capital, Ser A* 3,292 392
Liberty Media Holding-Interactive, Cl A (B)* 14,947 301
Limited Brands (B) 7,657 154
Liz Claiborne 2,661 67
Lowe's 37,510 916
Macy's 11,030 327
Marriott International, Cl A 8,050 302
Mattel 9,542 191
McClatchy, Cl A (B) 1,417 19
McDonald's 29,880 1,747
McGraw-Hill 8,439 414
MDC Holdings (B) 816 29
Meredith 1,358 75
MGM Mirage* 2,992 259
Mohawk Industries (B)* 1,366 110
New York Times, Cl A (B) 3,524 58
Newell Rubbermaid 7,365 197
News, Cl A 56,885 1,199
Nike, Cl B (B) 8,848 581
Nordstrom 6,012 202
Nutri/System (B)* 900 23
NVR (B)* 124 61
O'Reilly Automotive* 2,640 87
Office Depot* 6,889 118
OfficeMax 1,974 49
Omnicom Group (B) 8,444 412
Orient-Express Hotels, Cl A 1,000 62
Panera Bread, Cl A (B)* 762 31
Penn National Gaming* 1,689 101
Penske Auto Group 1,200 24
PetSmart 3,173 90
Phillips-Van Heusen 1,400 59
Polo Ralph Lauren 1,480 102
Pool (B) 1,292 28
Pulte Homes (B) 6,018 61
R.H. Donnelley (B)* 1,761 78
RadioShack (B) 3,871 72
Regal Entertainment Group, Cl A (B) 1,988 39
Ross Stores 3,871 102
Royal Caribbean Cruises 3,300 134
Ryland Group (B) 1,075 25
Saks (B) 3,306 68
Scientific Games, Cl A* 1,466 47
Sears Holdings (B)* 1,828 193
Service International 6,794 90
Sherwin-Williams 2,737 172
Sirius Satellite Radio (B)* 38,952 149
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Snap-On 1,491 $ 73
Stanley Works 2,109 110
Staples* 18,364 435
Starbucks* 19,006 445
Starwood Hotels & Resorts Worldwide 4,884 262
Target (B) 21,385 1,284
Thor Industries 1,000 35
Tiffany 3,525 164
Tim Hortons 4,986 192
Time Warner 94,237 1,627
Time Warner Cable, Cl A (B)* 3,900 101
TJX 11,154 327
Toll Brothers (B)* 3,351 69
Tractor Supply (B)* 1,000 41
Tribune 1,865 58
TRW Automotive Holdings* 993 22
Urban Outfitters (B)* 3,120 82
VF 2,117 158
Viacom, Cl B* 15,069 633
Virgin Media (B) 7,620 145
WABCO Holdings* 1,624 76
Walt Disney 49,584 1,644
Warner Music Group 662 5
Washington Post, Cl B 157 127
Weight Watchers International 962 46
Wendy's International 2,013 56
Whirlpool 1,987 161
Williams-Sonoma (B) 2,062 60
Wyndham Worldwide 4,468 130
Wynn Resorts (B)* 1,396 177
XM Satellite Radio Holdings, Cl A* 7,837 122
Yum! Brands 13,448 500
--------------
36,590
--------------
CONSUMER STAPLES -- 9.3%
Alberto-Culver (B) 2,187 56
Altria Group 52,768 4,093
Anheuser-Busch 18,979 1,001
Archer-Daniels-Midland 16,679 606
Avon Products 11,206 460
Bare Escentuals (B)* 700 15
BJ's Wholesale Club* 1,872 70
Brown-Forman, Cl B 1,875 132
Bunge (B) 3,100 348
Campbell Soup 5,578 205
Church & Dwight 1,632 92
Clorox 3,303 214
Coca-Cola 58,120 3,609
Coca-Cola Enterprises 7,515 195
Colgate-Palmolive 12,775 1,023
ConAgra Foods 12,686 317
Constellation Brands, Cl A (B)* 4,631 109
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 29
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Corn Products International 1,700 $ 67
Costco Wholesale (B) 11,081 747
CVS 36,952 1,481
Dean Foods 3,487 87
Del Monte Foods 5,258 46
Energizer Holdings (B)* 1,341 152
Estee Lauder, Cl A 2,654 119
General Mills 7,996 481
Hansen Natural* 1,600 69
Herbalife 1,200 50
Hershey 4,198 168
HJ Heinz 8,337 394
Hormel Foods 1,939 77
JM Smucker 1,255 62
Kellogg (B) 6,003 324
Kimberly-Clark 10,618 741
Kraft Foods, Cl A 40,040 1,383
Kroger 17,573 505
Loews - Carolina 2,593 231
McCormick 3,093 118
Molson Coors Brewing, Cl B 2,862 154
NBTY* 1,300 39
Pepsi Bottling Group 3,682 157
PepsiAmericas 1,494 51
PepsiCo 40,837 3,152
Procter & Gamble 79,277 5,867
Reynolds American (B) 4,310 302
Rite Aid (B)* 19,101 71
Safeway (B) 11,220 391
Sara Lee 18,751 316
Smithfield Foods (B)* 2,775 83
Supervalu 5,489 230
Sysco 15,748 512
Tyson Foods, Cl A 6,165 92
UST (B) 3,969 230
Wal-Mart Stores 60,679 2,907
Walgreen 24,925 912
Whole Foods Market (B) 3,352 144
WM Wrigley Jr. (B) 5,900 378
--------------
35,835
--------------
ENERGY -- 11.1%
Anadarko Petroleum 11,840 670
Apache 8,259 799
Arch Coal 3,312 125
Baker Hughes 8,001 642
BJ Services 7,288 179
Cabot Oil & Gas 2,200 76
Cameron International* 2,722 254
Cheniere Energy (B)* 900 31
Chesapeake Energy (B) 11,366 430
Chevron 54,102 4,749
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Cimarex Energy 2,300 $ 89
CNX Gas* 800 25
ConocoPhillips 41,176 3,296
Consol Energy 4,444 263
Continental Resources* 400 10
Denbury Resources* 2,824 151
Devon Energy 11,113 920
Diamond Offshore Drilling 1,709 199
Dresser-Rand Group* 2,134 76
El Paso 17,103 275
ENSCO International (B) 3,723 200
EOG Resources 6,245 517
Exxon Mobil 141,512 12,617
FMC Technologies* 3,160 176
Forest Oil* 2,214 104
Foundation Coal Holdings 1,300 59
Frontier Oil 3,000 133
Frontline (B)* 1,100 51
Global Industries* 2,500 55
Grant Prideco* 3,027 146
Halliburton 22,797 835
Helix Energy Solutions Group* 2,400 97
Helmerich & Payne 2,850 98
Hess 7,112 507
Holly 1,300 63
Marathon Oil 18,076 1,010
Massey Energy 1,961 67
Murphy Oil (B) 4,754 340
Nabors Industries* 7,100 191
National Oilwell Varco* 8,984 612
Newfield Exploration* 3,099 155
Noble 6,800 355
Noble Energy 4,162 300
Occidental Petroleum 20,854 1,455
Oceaneering International* 1,500 96
Overseas Shipholding Group 927 66
Patriot Coal* 667 23
Patterson-UTI Energy 3,632 68
Peabody Energy (B) 6,674 371
Pioneer Natural Resources 3,244 145
Plains Exploration & Production* 2,691 136
Pride International* 4,429 146
Quicksilver Resources (B)* 1,101 56
Range Resources 3,939 160
Rowan 2,986 106
Schlumberger 29,700 2,775
SEACOR Holdings* 600 54
Smith International (B) 4,931 309
Southwestern Energy* 4,488 223
Spectra Energy* 16,009 394
St Mary Land & Exploration 1,600 63
Sunoco (B) 2,956 198
Superior Energy Services* 2,200 77
- --------------------------------------------------------------------------------
30 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Teekay Shipping (B) 1,000 $ 56
Tesoro 3,246 160
Tetra Technologies* 2,000 32
Tidewater 1,570 77
Transocean (B) 7,796 1,070
Unit* 1,127 50
Valero Energy 13,936 907
W&T Offshore 400 11
Weatherford International (B)* 8,600 539
Western Refining 600 17
Williams 15,246 529
XTO Energy 9,111 563
--------------
42,879
--------------
FINANCIALS -- 17.7%
ACE 8,400 503
Affiliated Managers Group (B)* 733 91
Aflac 12,156 761
Alleghany* 132 54
Allied Capital (B) 3,964 96
Allied World Assurance Holdings 1,500 69
Allstate 14,225 727
AMB Property+ 2,644 162
AMBAC Financial Group (B) 2,468 67
American Capital Strategies (B) 4,521 170
American Express 25,934 1,530
American Financial Group 2,414 71
American International Group 56,376 3,277
American National Insurance 422 50
AmeriCredit (B)* 3,072 35
Ameriprise Financial 5,800 340
Annaly Capital Management+ 10,111 174
AON (B) 7,450 372
Apartment Investment & Management, Cl A+ 2,584 103
Arch Capital Group* 1,200 84
Arthur J. Gallagher 2,604 68
Associated Banc 3,384 92
Assurant 2,893 189
Astoria Financial 2,314 58
AvalonBay Communities+ 2,089 208
Axis Capital Holdings 3,900 149
Bancorpsouth 2,200 54
Bank of America 111,723 5,154
Bank of Hawaii 1,382 72
Bank of New York Mellon 28,309 1,358
BB&T (B) 13,606 491
Bear Stearns 3,074 307
BlackRock (B) 1,585 314
BOK Financial 475 26
Boston Properties+ 2,584 254
Brandywine Realty Trust+ (B) 2,500 51
BRE Properties, Cl A+ 1,320 59
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Brown & Brown 2,824 $ 69
Camden Property Trust+ (B) 1,447 76
Capital One Financial (B) 9,725 518
CapitalSource+ (B) 2,782 47
Capitol Federal Financial 527 18
CB Richard Ellis Group, Cl A (B)* 5,117 122
CBL & Associates Properties+ 1,906 55
Charles Schwab 25,985 632
Chubb 9,918 541
Cincinnati Financial (B) 4,086 163
CIT Group 4,924 131
Citigroup 124,545 4,147
City National 1,038 67
CME Group 1,332 877
CNA Financial 700 25
Colonial BancGroup 3,954 63
Colonial Properties Trust+ (B) 1,300 32
Comerica 3,953 181
Commerce Bancorp 4,854 193
Commerce Bancshares 2,010 91
Conseco* 5,277 68
Countrywide Financial (B) 15,275 165
Cullen/Frost Bankers 1,668 88
Developers Diversified Realty+ (B) 3,253 144
Discover Financial Services* 11,989 208
Douglas Emmett+ 3,000 72
Duke Realty+ 3,709 98
E*Trade Financial (B)* 11,438 53
East West Bancorp (B) 1,488 40
Eaton Vance 2,710 119
Endurance Specialty Holdings 1,400 57
Equity Residential+ 7,087 264
Erie Indemnity, Cl A 1,119 58
Essex Property Trust+ 669 69
Everest Re Group 1,600 168
Fannie Mae (B) 24,333 935
Federal Realty Investment Trust+ 1,496 124
Federated Investors, Cl B 2,058 84
Fidelity National Financial, Cl A 5,904 92
Fifth Third Bancorp 14,082 421
First American (B) 2,084 71
First Citizens BancShares, Cl A 200 31
First Horizon National (B) 3,229 71
First Marblehead (B) 1,798 54
Forest City Enterprises, Cl A 1,942 97
Franklin Resources 4,103 505
Freddie Mac 16,507 579
Fulton Financial 4,195 53
General Growth Properties+ 5,540 257
Genworth Financial, Cl A 11,092 291
GLG Partners (B)* 1,900 26
Goldman Sachs Group 10,275 2,329
Hanover Insurance Group 1,293 58
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 31
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Hartford Financial Services Group 7,910 $ 754
HCC Insurance Holdings 2,841 87
HCP+ 5,174 173
Health Care+ (B) 2,083 93
Hospitality Properties Trust+ 2,466 90
Host Hotels & Resorts+ (B) 12,800 246
HRPT Properties Trust+ 5,102 42
Hudson City Bancorp 13,128 200
Huntington Bancshares 9,734 153
IndyMac Bancorp (B) 2,099 20
IntercontinentalExchange* 1,800 301
Investment Technology Group* 1,200 55
iStar Financial+ 3,295 96
Janus Capital Group 4,265 143
Jefferies Group 3,214 82
Jones Lang LaSalle 1,000 84
JPMorgan Chase 86,022 3,924
Keycorp 9,895 261
Kilroy Realty+ 900 50
Kimco Realty+ 5,244 207
Lazard, Cl A 1,200 58
Legg Mason 3,181 243
Lehman Brothers Holdings (B) 13,294 833
Leucadia National (B) 4,220 198
Liberty Property Trust+ 2,306 72
Lincoln National 6,688 412
Loews 10,818 517
M&T Bank 1,683 153
Macerich+ 1,868 145
Mack-Cali Realty+ 1,898 68
Markel* 250 121
Marsh & McLennan 12,765 321
Marshall & Ilsley 6,360 200
MBIA (B) 3,159 115
Mercury General 696 36
Merrill Lynch 22,249 1,334
Metlife (B) 11,738 770
MF Global* 2,200 63
MGIC Investment (B) 2,315 54
Moody's (B) 5,127 193
Morgan Stanley 26,378 1,391
NASDAQ Stock Market (B)* 3,100 134
National City (B) 14,176 280
Nationwide Financial Services, Cl A 1,361 61
New York Community Bancorp (B) 8,172 152
Northern Trust 5,405 438
Nymex Holdings (B) 2,300 286
NYSE Euronext 6,500 563
Old Republic International 5,890 88
OneBeacon Insurance Group 1,100 23
PartnerRe 1,400 116
People's United Financial 5,334 91
Philadelphia Consolidated Holding* 1,648 70
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Plum Creek Timber+ (B) 4,421 $ 205
PMI Group (B) 2,343 31
PNC Financial Services Group 8,603 630
Popular (B) 7,230 70
Principal Financial Group 6,818 447
Progressive 17,180 316
Prologis+ 6,588 431
Protective Life 1,809 75
Prudential Financial 11,563 1,089
Public Storage+ 3,268 253
Radian Group (B) 2,198 25
Raymond James Financial 2,421 79
Rayonier+ 1,903 88
Regency Centers+ 1,608 107
Regions Financial 17,487 462
Reinsurance Group of America 799 43
RenaissanceRe Holdings 1,800 106
Safeco 2,235 129
SEI (F) 3,642 113
Simon Property Group+ (B) 5,452 537
SL Green Realty+ (B) 1,568 163
SLM 10,214 389
Sovereign Bancorp (B) 10,558 124
St. Joe (B) 2,061 59
Stancorp Financial Group 1,442 75
State Street 9,894 790
Student Loan 102 14
SunTrust Banks 8,846 620
Synovus Financial 7,072 176
T. Rowe Price Group (B) 6,580 405
Taubman Centers+ 1,500 80
TCF Financial 3,001 58
TD Ameritrade Holding* 6,145 115
TFS Financial* 2,300 28
Thornburg Mortgage+ (B) 3,241 35
Torchmark 2,250 139
Transatlantic Holdings 655 49
Travelers 16,544 879
UDR+ 3,819 84
UnionBanCal 1,097 59
Unitrin 1,260 58
UnumProvident (B) 9,405 234
US Bancorp 43,443 1,438
Valley National Bancorp (B) 3,008 59
Ventas+ 3,544 155
Vornado Realty Trust+ 3,310 298
Wachovia 49,888 2,145
Washington Federal (B) 2,263 53
Washington Mutual (B) 21,927 428
Webster Financial 1,346 45
Weingarten Realty Investors+ (B) 2,067 74
Wells Fargo 85,586 2,776
Wesco Financial 41 18
- --------------------------------------------------------------------------------
32 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
White Mountains Insurance Group 200 $ 103
Whitney Holding 1,557 43
Wilmington Trust 1,692 60
WR Berkley 4,214 129
XL Capital, Cl A 4,800 281
Zions Bancorporation 2,802 153
--------------
68,224
--------------
HEALTH CARE -- 11.8%
Abbott Laboratories 38,576 2,218
Abraxis Bioscience* 140 8
Advanced Medical Optics (B)* 1,627 41
Aetna 12,734 712
Allergan 7,796 523
AmerisourceBergen 4,462 202
Amgen* 27,167 1,501
Amylin Pharmaceuticals (B)* 3,100 118
APP Pharmaceuticals* 563 7
Applera -- Applied Biosystems Group 4,394 150
Barr Pharmaceuticals* 2,582 139
Baxter International 16,275 974
Beckman Coulter 1,512 107
Becton Dickinson 6,244 517
Biogen Idec* 7,300 541
Boston Scientific* 32,939 416
Bristol-Myers Squibb 49,213 1,458
Brookdale Senior Living (B) 1,200 40
C.R. Bard 2,485 210
Cardinal Health 9,029 547
Celgene* 9,692 597
Cephalon* 1,748 131
Cerner (B)* 1,774 106
Charles River Laboratories International* 1,843 117
Cigna 7,055 378
Community Health Systems* 2,262 76
Cooper 1,104 47
Covance* 1,536 134
Coventry Health Care* 3,962 229
Covidien* 12,300 493
DaVita* 2,708 168
Dentsply International 3,598 154
Edwards Lifesciences* 1,507 74
Eli Lilly 24,861 1,316
Endo Pharmaceuticals Holdings* 3,697 101
Express Scripts* 5,522 374
Forest Laboratories* 8,073 311
Gen-Probe* 1,327 89
Genentech* 11,585 883
Genzyme* 6,753 506
Gilead Sciences* 23,250 1,082
Health Management Associates,
Cl A (B) 6,222 42
Health Net* 3,002 146
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Henry Schein* 2,284 $ 135
Hillenbrand Industries 1,724 93
HLTH* 4,456 62
Hologic* 157 10
Hospira* 4,081 177
Humana* 4,075 314
Idexx Laboratories* 1,652 100
ImClone Systems (B)* 1,728 78
IMS Health 4,661 109
Intuitive Surgical* 900 295
Invitrogen (B)* 1,290 125
Johnson & Johnson 72,909 4,939
Kinetic Concepts* 1,413 83
King Pharmaceuticals* 6,226 66
Laboratory of America Holdings* 2,811 204
LifePoint Hospitals* 1,376 44
Lincare Holdings* 2,327 80
Manor Care (B) 1,994 129
McKesson 7,566 505
Medco Health Solutions* 7,110 711
Medtronic 28,785 1,464
Merck 54,340 3,226
Millennium Pharmaceuticals (B)* 7,816 115
Millipore* 1,486 122
Mylan Laboratories (B) 6,619 95
Omnicare (B) 3,131 80
Patterson (B)* 3,583 115
PDL BioPharma (B)* 3,031 54
Pediatrix Medical Group* 1,100 71
PerkinElmer 3,334 91
Pfizer 176,655 4,197
Pharmaceutical Product Development 2,684 114
Quest Diagnostics (B) 3,744 206
Resmed* 2,155 99
Respironics* 1,840 91
Schering-Plough 40,509 1,268
Sepracor (B)* 2,861 76
Sierra Health Services* 1,334 56
St. Jude Medical* 8,346 332
Stryker* 7,504 545
Techne* 941 61
Tenet Healthcare (B)* 12,694 70
Thermo Fisher Scientific* 10,425 601
UnitedHealth Group 33,529 1,844
Universal Health Services, Cl B 1,188 61
Varian Medical Systems* 3,030 151
VCA Antech (B)* 2,339 96
Vertex Pharmaceuticals (B)* 3,400 86
Warner Chilcott, Cl A* 2,100 38
Waters* 2,672 208
Watson Pharmaceuticals* 2,518 74
WebMD Health, Cl A* 300 13
WellCare Health Plans* 1,100 43
WellPoint* 14,431 1,215
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 33
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Wyeth 33,640 $ 1,652
Zimmer Holdings* 6,025 390
--------------
45,262
--------------
INDUSTRIALS -- 11.5%
3M 18,046 1,502
AGCO (B)* 2,200 152
Aircastle 900 24
Alexander & Baldwin 1,082 56
Alliant Techsystems* 736 86
Allied Waste Industries* 6,933 79
Ametek 2,547 112
AMR* 6,386 135
Armstrong World Industries* 700 30
Avery Dennison 2,610 136
Avis Budget Group* 2,784 42
BE Aerospace* 2,300 108
Boeing 19,891 1,841
Brink's 1,300 83
Burlington Northern Santa Fe 8,898 743
C.H. Robinson Worldwide 4,286 221
Carlisle 1,666 66
Caterpillar 15,988 1,150
ChoicePoint* 1,797 68
Cintas 3,657 117
Con-way 1,323 56
Continental Airlines, Cl B (B)* 2,600 73
Cooper Industries, Cl A 4,700 236
Copa Holdings 600 22
Copart* 1,813 68
Corporate Executive Board 796 53
Corrections of America* 3,300 101
Covanta Holding* 3,200 86
Crane 1,500 67
CSX 11,232 472
Cummins 2,556 299
Danaher 6,051 525
Deere 5,709 981
Delta Air Lines* 5,900 117
Donaldson 1,972 92
Dover 4,957 229
DRS Technologies 1,100 65
Dun & Bradstreet 1,456 130
Eaton 3,726 333
Emerson Electric 19,820 1,130
Equifax 3,556 132
Expeditors International Washington 5,148 242
Fastenal (B) 3,262 129
FedEx 7,644 753
First Solar* 900 213
Flowserve 1,300 122
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Fluor 2,204 $ 324
Foster Wheeler* 1,800 268
Gardner Denver* 1,500 50
GATX 1,300 48
General Cable* 1,300 97
General Dynamics 10,072 894
General Electric 258,423 9,895
Goodrich 2,992 213
Graco 1,824 68
Harsco 2,270 136
Hertz Global Holdings* 8,100 155
HNI 1,322 48
Honeywell International 19,490 1,104
Hubbell, Cl B 1,592 87
IDEX 2,193 78
Illinois Tool Works 12,380 687
Ingersoll-Rand, Cl A 6,700 346
ITT 4,602 297
Jacobs Engineering Group* 3,002 251
JB Hunt Transport Services (B) 2,272 60
Joy Global 2,533 147
Kansas City Southern (B)* 2,100 72
KBR* 4,384 175
Kennametal 900 70
Kirby* 1,500 72
L-3 Communications Holdings 3,077 340
Landstar System 1,465 58
Lennox International 1,700 58
Lincoln Electric Holdings 1,200 84
Lockheed Martin 8,929 988
Manitowoc 3,000 132
Manpower 2,284 140
Masco 9,609 215
McDermott International* 5,600 293
Monster Worldwide* 3,418 115
MSC Industrial Direct, Cl A 1,120 48
Norfolk Southern 9,733 498
Northrop Grumman 8,578 676
Northwest Airlines* 6,600 120
Oshkosh Truck 1,959 94
Owens Corning (B)* 2,700 59
Paccar (B) 9,270 469
Pall 3,345 128
Parker Hannifin 4,504 358
Pentair (B) 2,761 94
Pitney Bowes 5,485 211
Precision Castparts 3,446 508
Quanta Services* 4,500 123
Raytheon 11,068 685
Republic Services 3,923 130
Robert Half International 3,576 96
Rockwell Automation 3,604 245
- --------------------------------------------------------------------------------
34 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Rockwell Collins 4,262 $ 307
Roper Industries 2,100 133
RR Donnelley & Sons 5,677 208
Ryder System 1,506 65
Shaw Group* 2,200 140
Southwest Airlines (B) 17,920 254
Spirit Aerosystems Holdings, Cl A* 1,600 56
SPX 1,411 144
Steelcase, Cl A 2,475 37
Stericycle* 2,226 131
Sunpower, Cl A (B)* 700 87
Teleflex 840 51
Terex* 2,548 164
Textron 6,322 437
Thomas & Betts* 1,367 74
Timken 2,260 72
Toro 1,060 59
Trane 4,272 157
Trinity Industries (B) 2,200 56
Tyco International 12,300 494
UAL (B)* 2,800 115
Union Pacific 6,708 846
United Parcel Service, Cl B 17,041 1,256
United Rentals (B)* 2,100 49
United Technologies 25,166 1,882
URS* 1,400 80
US Airways Group (B)* 2,400 50
USG (B)* 1,798 66
UTI Worldwide 2,400 57
Waste Management 12,794 439
WESCO International* 1,300 53
WW Grainger 1,581 140
YRC Worldwide (B)* 1,708 30
--------------
44,273
--------------
INFORMATION TECHNOLOGY -- 15.6%
Accenture, Cl A (B) 14,700 508
Activision* 6,778 150
Acxiom 2,400 30
ADC Telecommunications* 2,967 49
Adobe Systems* 14,602 615
Advanced Micro Devices (B)* 13,734 134
Affiliated Computer Services, Cl A* 2,147 90
Agilent Technologies* 10,264 388
Akamai Technologies* 3,918 149
Alliance Data Systems* 2,112 164
Altera (B) 8,873 167
Amdocs* 5,000 165
Amphenol, Cl A 4,292 186
Analog Devices 8,312 256
Apple* 21,723 3,958
Applied Materials 34,355 647
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Arrow Electronics* 2,889 $ 107
Atmel* 12,000 53
Autodesk* 5,837 275
Automatic Data Processing 13,692 617
Avnet* 3,610 125
AVX 1,424 20
BEA Systems* 10,507 166
BMC Software* 4,889 162
Broadcom, Cl A* 11,568 309
Broadridge Financial Solutions* 3,873 88
Brocade Communications Systems* 9,800 71
CA (B) 10,338 253
Cadence Design Systems (B)* 6,863 114
Checkfree* 2,072 99
Ciena (B)* 2,314 102
Cisco Systems* 152,827 4,282
Citrix Systems* 4,487 166
Cognizant Technology Solutions, Cl A* 7,488 233
CommScope* 1,500 61
Computer Sciences* 4,164 220
Compuware* 8,751 72
Convergys* 3,669 60
Corning 39,158 951
Cree (B)* 2,222 55
Cypress Semiconductor (B)* 3,600 120
Dell* 56,843 1,395
Diebold 1,829 62
Dolby Laboratories, Cl A* 843 42
DST Systems* 1,295 110
eBay* 28,511 956
Electronic Arts* 7,665 431
Electronic Data Systems (B) 12,942 262
EMC* 52,364 1,009
F5 Networks* 2,038 54
Factset Research Systems 1,200 75
Fair Isaac (B) 1,626 60
Fairchild Semiconductor International* 3,400 54
Fidelity National Information Services 5,028 217
Fiserv* 4,269 219
Genpact (B)* 1,400 20
Global Payments 1,834 79
Google, Cl A* 5,708 3,956
Harris 3,489 219
Hewitt Associates, Cl A* 2,163 81
Hewlett-Packard 67,401 3,448
Ingram Micro, Cl A* 4,123 82
Integrated Device Technology* 5,600 68
Intel 146,258 3,814
International Business Machines (B) 34,298 3,608
International Rectifier (B)* 1,755 57
Intersil, Cl A 3,261 81
Intuit* 8,486 249
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 35
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Iron Mountain* 4,363 $ 159
Jabil Circuit 4,874 83
JDS Uniphase (B)* 5,140 69
Juniper Networks* 12,725 378
Kla-Tencor 4,809 231
Lam Research* 2,991 137
Lexmark International, Cl A* 2,186 76
Linear Technology (B) 5,557 169
LSI Logic* 16,948 94
Marvell Technology Group* 11,900 178
Mastercard, Cl A (B) 2,000 401
McAfee* 3,773 147
MEMC Electronic Materials* 5,738 445
Metavante Technologies* 2,120 48
Mettler Toledo International* 1,036 121
Microchip Technology 5,622 162
Micron Technology (B)* 19,416 162
Microsoft 206,600 6,942
Molex 3,570 98
MoneyGram International 2,400 37
Motorola 57,734 922
National Instruments 1,436 48
National Semiconductor (B) 6,656 152
NAVTEQ (B)* 2,569 192
NCR* 4,389 105
Network Appliance* 9,055 224
Novell* 8,426 59
Novellus Systems* 2,877 75
Nvidia* 13,956 440
Oracle* 96,567 1,949
Paychex (B) 8,307 324
QLogic* 4,180 57
Qualcomm 42,150 1,719
Rambus* 2,500 49
Red Hat (B)* 5,327 107
Riverbed Technology* 300 9
Salesforce.com* 2,438 138
SanDisk (B)* 5,743 215
Sanmina-SCI* 14,365 25
Seagate Technology 13,800 356
Silicon Laboratories* 1,400 52
Sun Microsystems* 22,069 459
Symantec (B)* 23,048 410
Synopsys* 3,882 96
Tech Data* 1,550 58
Tellabs* 11,889 83
Teradata* 4,389 114
Teradyne* 4,963 54
Texas Instruments 35,808 1,131
Total System Services (B) 969 27
Trimble Navigation (B)* 3,114 115
Tyco Electronics* 12,200 456
Unisys* 8,532 42
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Varian Semiconductor Equipment
Associates* 1,800 $ 75
VeriFone Holdings (B)* 1,800 87
VeriSign* 5,385 220
Vishay Intertechnology* 4,350 54
VMware, Cl A (B)* 900 82
Western Digital* 5,930 164
Western Union 19,028 430
Xerox* 24,051 406
Xilinx 7,557 166
Yahoo! (B)* 30,081 807
Zebra Technologies, Cl A* 1,825 70
--------------
60,105
--------------
MATERIALS -- 3.6%
Air Products & Chemicals 5,394 534
Airgas 2,015 100
AK Steel Holding* 2,700 120
Albemarle 2,144 95
Alcoa 21,602 786
Allegheny Technologies 2,497 244
Ashland 1,576 78
Ball 2,375 110
Bemis (B) 2,774 75
Cabot 1,673 58
Carpenter Technology 1,400 106
Celanese, Ser A 3,383 134
Chemtura 6,854 51
Cleveland-Cliffs 1,000 90
Commercial Metals 2,800 86
Crown Holdings* 4,551 117
Cytec Industries 1,081 66
Domtar* 10,737 82
Dow Chemical 23,770 997
E.I. Du Pont de Nemours 23,092 1,066
Eagle Materials (B) 1,400 55
Eastman Chemical 2,142 137
Ecolab 4,191 201
FMC 2,060 113
Freeport-McMoRan Copper & Gold,
Cl B (B) 9,512 941
Huntsman 2,429 62
International Flavors & Fragrances 1,891 95
International Paper 11,155 376
Louisiana-Pacific 2,846 44
Lubrizol 1,734 111
Lyondell Chemical 6,009 284
Martin Marietta Materials (B) 1,063 143
MeadWestvaco 4,758 156
Monsanto 13,750 1,366
Mosaic* 3,778 261
Nalco Holding 3,317 79
- --------------------------------------------------------------------------------
36 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Newmont Mining 10,533 $ 523
Nucor 7,690 455
Owens-Illinois* 4,091 184
Packaging of America 2,699 76
Pactiv* 3,483 88
PPG Industries 4,123 283
Praxair 7,925 677
Reliance Steel & Aluminum 1,800 93
Rohm & Haas 3,653 199
RPM International 2,969 57
Scotts Miracle-Gro, Cl A 1,006 37
Sealed Air (B) 4,268 100
Sigma-Aldrich 3,148 166
Smurfit-Stone Container* 6,845 75
Sonoco Products 2,646 80
Southern Copper (B) 1,816 201
Steel Dynamics 2,200 111
Temple-Inland 2,575 118
Titanium Metals (B)* 1,558 46
United States Steel 2,983 291
Valspar 2,664 60
Vulcan Materials 2,657 236
Westlake Chemical 600 12
Weyerhaeuser 5,478 401
--------------
13,988
--------------
TELECOMMUNICATION SERVICES -- 3.3%
American Tower, Cl A* 10,722 488
AT&T 155,233 5,931
CenturyTel 2,701 115
Citizens Communications (B) 9,155 119
Clearwire, Cl A (B)* 900 14
Crown Castle International* 5,596 235
Embarq 3,932 200
Leap Wireless International* 1,400 49
Level 3 Communications (B)* 40,400 136
MetroPCS Communications* 1,400 24
NeuStar, Cl A* 1,700 54
NII Holdings* 4,220 233
Qwest Communications International (B)* 39,596 263
SBA Communications, Cl A* 2,400 90
Sprint Nextel 70,244 1,090
Telephone & Data Systems 2,502 156
US Cellular* 431 35
Verizon Communications 72,815 3,146
Windstream 11,947 155
--------------
12,533
--------------
UTILITIES -- 3.8%
AES* 16,424 359
AGL Resources 1,947 72
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Allegheny Energy* 4,266 $ 259
Alliant Energy 2,676 111
Ameren (B) 5,390 290
American Electric Power 10,150 484
Aqua America (B) 3,177 70
Atmos Energy 2,491 65
Centerpoint Energy (B) 8,015 143
CMS Energy (B) 6,142 107
Consolidated Edison (B) 7,016 340
Constellation Energy Group 4,458 447
Dominion Resources (B) 14,512 685
DPL 3,246 98
DTE Energy (B) 4,264 209
Duke Energy (B) 31,219 618
Dynegy, Cl A* 7,918 60
Edison International 8,279 463
Energen 1,637 104
Energy East 4,167 115
Entergy 4,898 586
Equitable Resources 2,866 152
Exelon 16,829 1,364
FirstEnergy 7,781 533
FPL Group 10,373 724
Great Plains Energy 2,271 67
Hawaiian Electric Industries 2,146 50
Integrys Energy Group 2,002 102
MDU Resources Group 4,621 126
Mirant (B)* 6,261 242
National Fuel Gas (B) 2,289 109
NiSource 7,421 137
Northeast Utilities 3,907 123
NRG Energy (B)* 6,100 259
NSTAR 2,928 103
OGE Energy 2,268 81
Oneok 2,529 118
Pepco Holdings 4,944 139
PG&E 8,718 403
Pinnacle West Capital 2,592 111
PPL 9,826 501
Progress Energy (B) 6,361 311
Public Service Enterprise Group 6,326 606
Puget Energy 2,661 75
Questar 4,146 222
Reliant Energy* 8,259 215
SCANA (B) 3,020 129
Sempra Energy 6,523 408
Sierra Pacific Resources 5,600 96
Southern 18,703 704
Southern Union 2,768 83
TECO Energy 4,800 83
UGI 2,950 78
Vectren 1,991 58
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 37
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund (Concluded)
November 30, 2007
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Wisconsin Energy 2,749 $ 132
Xcel Energy (B) 9,881 228
--------------
14,557
--------------
Total Common Stock
(Cost $248,608) ($ Thousands) 374,246
--------------
CORPORATE OBLIGATION (C)(E) -- 0.1%
FINANCIALS -- 0.1%
SLM MTN
4.660%, 12/17/07 $ 668 668
--------------
Total Corporate Obligation
(Cost $668) ($ Thousands) 668
--------------
CASH EQUIVALENTS -- 11.8%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.020%++** 8,278,457 8,278
SEI Liquidity Fund L.P.
5.110%++** (C) 37,058,978 37,059
--------------
Total Cash Equivalents
(Cost $45,337) ($ Thousands) 45,337
--------------
U.S. TREASURY OBLIGATION (A) (D) -- 0.2%
U.S. Treasury Bill
4.194%, 12/06/07 755 755
--------------
Total U.S. Treasury Obligation
(Cost $754) ($ Thousands) 755
--------------
Total Investments -- 109.3%
(Cost $295,367) ($ Thousands) $ 421,006
==============
A summary of the open futures contracts held by the Fund at November 30, 2007,
is as follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
TYPE OF NUMBER OF EXPIRATION DEPRECIATION
CONTRACT CONTRACTS DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
S&P 500 Index E-Mini 137 Dec-2007 $ (67)
S&P Mid 400 Index E-Mini 7 Dec-2007 (3)
--------------
$ (70)
==============
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
Percentages are based on Net Assets of $385,112 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of November 30, 2007.
+ Real Estate Investment Trust
++ Investment in Affiliated Security (see Note 3).
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
(B) This security or a partial position of this security is on loan at
November 30, 2007. The total value of securities on loan at November 30,
2007 was $36,986 ($ Thousands).
(C) This security was purchased with cash collateral held from securities on
loan. The total value of such securities as of November 30, 2007 was
$37,727 ($ Thousands).
(D) The rate reported is the effective yield at time of purchase.
(E) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of November 30, 2007. The date reported on the
Schedule of Investments is the next reset date.
(F) The Fund may purchase securities of sertain companies with which it is
affiliated to the extent these companies are represented in its benchmark
Index.
Cl -- Class
L.P. -- Limited Partnership
MTN -- Medium Term Note
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
38 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund
November 30, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS+++:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Short-Term Investments 24.1%
Information Technology 16.1%
Financials 14.1%
Industrials 10.6%
Consumer Discretionary 10.2%
Health Care 9.7%
Energy 5.0%
Materials 3.7%
Utilities 2.5%
Consumer Staples 2.3%
Telecommunication Services 1.5%
Convertible Bond 0.1%
U.S. Treasury Obligation 0.1%
Exchange Traded Fund 0.0%
Warrants 0.0%
Rights 0.0%
+++ Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 9).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 96.8%
CONSUMER DISCRETIONARY -- 13.1%
Advance Auto Parts (B) 24,400 $ 877
Aeropostale* 60,781 1,553
AFC Enterprises* 3,900 43
Aftermarket Technology (B)* 46,907 1,310
Airmedia Group ADR (B)* 50,400 889
Amazon.com* 861 78
American Axle & Manufacturing
Holdings (B) 102,280 2,365
American Greetings, Cl A (B) 140,367 3,265
AnnTaylor Stores* 49,711 1,514
Arctic Cat 68,600 732
ArvinMeritor (B) 112,700 1,139
Audiovox, Cl A* 9,856 126
Bally Technologies* 32,322 1,348
Bebe Stores (B) 73,200 988
Belo, Cl A 118,572 1,964
Big Lots* 31,096 581
BJ's Restaurants (B)* 52,700 938
Blockbuster, Cl A* 151,288 540
Blue Nile (B)* 16,500 1,218
Bluegreen* 11,399 82
Blyth 64,455 1,268
Bob Evans Farms 4,257 131
Bright Horizons Family Solutions* 3,000 113
Brinker International 11,773 271
Brown Shoe 62,258 1,056
Buckle 25,700 907
California Pizza Kitchen* 21,900 348
Capella Education* 20,705 1,458
Carrols Restaurant Group* 68,060 726
Carter's* 92,913 2,084
Casual Male Retail Group (B)* 223,000 1,383
Cato, Cl A 77,000 1,160
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Cavco Industries* 10,670 $ 403
CBRL Group (B) 97,781 3,272
CEC Entertainment* 23,870 680
Century Casinos* 89,770 557
Champion Enterprises (B)* 56,700 511
Charlotte Russe Holding* 29,600 487
Charming Shoppes* 336,600 1,861
Charter Communications, Cl A* 33,803 45
Cheesecake Factory* 24,900 580
Chico's FAS* 4,800 54
Childrens Place Retail Stores* 46,000 1,309
Chipotle Mexican Grill, Cl A (B)* 9,800 1,305
Cinemark Holdings* 28,231 471
CKE Restaurants 23,700 346
Coach* 52,100 1,935
Collective Brands* 27,100 415
Cooper Tire & Rubber 151,160 2,325
Core-Mark Holding* 5,400 145
Corinthian Colleges* 117,101 2,045
Courier 18,029 593
CROCS (B)* 208,147 8,124
CSK Auto* 48,630 474
CSS Industries 10,000 396
Ctrip.com International ADR* 18,595 1,118
Dana (B) 228,600 13
Denny's* 55,115 226
DeVry 15,143 833
Dick's Sporting Goods* 27,547 861
Dolan Media* 47,695 1,264
Domino's Pizza 37,700 522
Dover Downs Gaming &
Entertainment (B) 27,650 306
DreamWorks Animation SKG, Cl A* 6,500 171
Dress Barn* 54,037 764
Drew Industries (B)* 35,000 956
DSW, Cl A (B)* 83,500 1,878
Dufry South America (United
Kingdom)* 41,300 1,203
Eddie Bauer Holdings (B)* 229,300 1,534
Einstein Noah Restaurant Group* 20,300 362
Entercom Communications 43,144 703
Entravision Communications, Cl A* 16,042 120
Ethan Allen Interiors (B) 96,513 2,756
Focus Media Holding ADR (B)* 34,825 1,966
Furniture Brands International (B) 114,900 1,164
G-III Apparel Group* 12,800 184
Gaiam, Cl A (B)* 138,811 3,269
Gaylord Entertainment (B)* 10,400 437
Genius Products* 425,550 796
Getty Images* 5,983 174
Gildan Activewear* 34,700 1,323
Global Sources (B)* 18,700 569
Group 1 Automotive (B) 66,700 1,793
GSI Commerce (B)* 126,991 3,317
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 39
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Gymboree* 78,935 $ 2,633
Handleman (B) 59,100 131
Harris Interactive* 190,144 797
hhgregg* 91,360 1,284
Hibbett Sports (B)* 121,729 2,607
IHOP 6,686 339
Interactive Data 10,400 325
iRobot* 7,400 119
ITT Educational Services* 1,971 223
J Crew Group (B)* 20,100 966
Jackson Hewitt Tax Service 106,486 3,434
Jakks Pacific* 84,435 2,131
Jamba (B)* 47,900 164
Jarden (B)* 88,850 2,342
Jo-Ann Stores* 25,063 413
Jos. A. Bank Clothiers (B)* 46,235 1,197
Journal Communications, Cl A 152,400 1,387
Journal Register 65,680 144
Kellwood 53,000 794
La-Z-Boy 53,926 294
Lakeland Industries* 104,494 1,129
Leapfrog Enterprises (B)* 96,522 647
Lear* 30,000 883
Lee Enterprises 65,200 913
Libbey 111,529 1,730
Life Time Fitness (B)* 95,942 5,212
Lifetime Brands 105,010 1,346
Lin TV, Cl A* 35,090 394
LKQ* 77,200 3,066
Lumber Liquidators (B)* 12,700 114
M/I Homes (B) 3,700 37
Maidenform Brands* 13,300 174
MarineMax (B)* 55,400 906
Martha Stewart Living Omnimedia,
Cl A (B)* 132,600 1,346
Marvel Entertainment (B)* 77,870 2,157
McCormick & Schmick's Seafood
Restaurants* 105,511 1,547
MDC Partners, Cl A* 403,310 3,815
Media General, Cl A 29,509 731
Men's Wearhouse 26,058 899
Modine Manufacturing 65,400 1,330
Monarch Casino & Resort* 19,800 506
Morgans Hotel Group (B)* 58,710 1,086
Morningstar* 15,893 1,293
Movado Group 22,387 620
Movie Gallery* 16,023 1
National CineMedia* 62,174 1,721
Nautilus (B) 48,200 277
NetFlix* 17,526 405
NexCen Brands* 74,938 337
Nexstar Broadcasting Group, Cl A* 17,300 157
Noah Education ADR (B)* 64,400 503
Nutri/System (B)* 73,032 1,837
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
O'Charleys (B) 56,768 $ 846
Orient-Express Hotels, Cl A 25,900 1,603
Outdoor Channel Holdings (B)* 31,400 219
Pacific Sunwear of California* 94,070 1,541
PC Mall* 10,515 114
Perry Ellis International* 39,533 637
PF Chang's China Bistro* 21,000 537
Phillips-Van Heusen 41,200 1,748
Pier 1 Imports (B)* 100,500 414
Pinnacle Entertainment* 68,800 1,889
Playboy Enterprises, Cl B* 7,525 71
Polaris Industries (B) 57,700 2,629
Pool (B) 22,700 484
Pre-Paid Legal Services* 4,362 218
priceline.com (B)* 34,715 3,951
Princeton Review* 64,900 493
Quiksilver (B)* 707,100 7,495
Raser Technologies (B)* 14,500 181
RC2* 40,462 1,177
RCN 11,823 172
Red Robin Gourmet Burgers (B)* 35,600 1,408
Regis (B) 115,120 3,383
Rent-A-Center* 137,370 1,945
RRSat Global Communications
Network* 65,600 1,384
Ruby Tuesday (B) 73,100 958
Ruth's Chris Steak House (B)* 44,400 537
Ryland Group (B) 45,287 1,042
Sally Beauty Holdings (B)* 116,104 1,058
Scholastic* 50,826 1,791
Sealy 18,464 241
Select Comfort* 32,234 343
Shoe Carnival* 33,417 389
Shuffle Master* 18,995 254
Shutterfly (B)* 128,100 3,650
Sinclair Broadcast Group, Cl A (B) 12,100 125
Skechers U.S.A., Cl A* 35,400 802
Smith & Wesson Holding* 9,003 90
Snap-On 20,335 994
Sonic Automotive, Cl A (B) 136,200 3,148
Sotheby's Holdings (B) 51,196 1,917
Stage Stores 31,137 527
Stamps.com* 5,450 69
Standard Motor Products 6,821 51
Standard-Pacific 90,479 313
Starwood Hotels & Resorts Worldwide 73,500 3,945
Stewart Enterprises, Cl A 50,304 412
Stoneridge* 27,800 231
Sturm Ruger* 5,344 49
Sun-Times Media Group, Cl A 44,045 44
Talbots (B) 87,800 1,362
Tecnisa (Brazil)* 251,700 1,700
Tempur-Pedic International (B) 70,800 2,102
Tenneco* 4,811 142
- --------------------------------------------------------------------------------
40 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Texas Roadhouse, Cl A* 67,952 $ 855
Thor Industries 30,875 1,088
Thunderbird Resorts* 140,900 1,268
Timberland, Cl A (B)* 113,200 1,843
Town Sports International Holdings* 19,100 193
Triarc, Cl B 38,600 325
True Religion Apparel (B)* 93,400 1,627
Tupperware Brands 90,660 3,162
Tween Brands* 11,700 295
Ulta Salon Cosmetics & Fragrance* 4,450 115
Under Armour, Cl A (B)* 63,515 3,155
Universal Electronics* 31,620 1,168
Universal Technical Institute* 4,500 79
Vail Resorts (B)* 35,666 1,980
Valassis Communications* 48,400 597
Valuevision Media, Cl A* 77,620 511
Visteon* 34,878 153
Volcom (B)* 47,505 1,281
Warnaco Group* 31,313 1,155
Warner Music Group (B) 137,811 1,040
West Marine* 13,214 117
WMS Industries (B)* 80,350 2,684
World Wrestling Entertainment, Cl A 52,800 832
XM Satellite Radio Holdings, Cl A* 55,400 864
Zale (B)* 77,400 1,385
Zumiez (B)* 97,863 2,721
--------------
243,531
--------------
CONSUMER STAPLES -- 3.0%
Alliance One International* 324,279 1,339
American Dairy* 4,600 77
American Oriental
Bioengineering (B)* 13,300 156
Andersons 7,712 327
Asiatic Development (Malaysia)* 856,700 1,884
B&G Foods, Cl A 34,700 371
Bare Escentuals (B)* 28,900 608
BJ's Wholesale Club* 79,100 2,962
Boston Beer, Cl A* 28,309 940
Casey's General Stores 23,678 687
Central Garden and Pet (B)* 61,593 331
Central Garden and Pet, Cl A (B)* 77,694 408
Chattem (B)* 20,875 1,480
Chiquita Brands International* 77,045 1,478
Coca-Cola Bottling 2,040 116
Corn Products International 33,478 1,317
Cosan SA Industria e Comercio
(Brazil)* 182,500 2,156
Darling International* 119,680 1,227
Dean Foods 39,818 993
Del Monte Foods 75,200 662
Elizabeth Arden* 44,217 1,063
Fresh Del Monte Produce 20,967 648
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Green Mountain Coffee Roasters* 5,120 $ 167
Hain Celestial Group (B)* 42,500 1,406
Herbalife 26,551 1,112
Imperial Sugar 4,097 93
Inter Parfums 56,500 1,032
J&J Snack Foods 17,813 577
JM Smucker 12,054 592
Lancaster Colony 27,325 1,053
Lance 134,977 2,799
Longs Drug Stores 76,036 4,024
Molson Coors Brewing, Cl B 44,000 2,369
Nash Finch (B) 52,596 1,877
NBTY* 13,541 404
Pantry (B)* 67,240 1,936
Performance Food Group* 26,759 741
Prestige Brands Holdings* 50,100 420
Ralcorp Holdings (B)* 24,333 1,494
Revlon, Cl A* 226,432 254
Ruddick 86,963 3,112
Sanderson Farms (B) 40,900 1,270
Spartan Stores 11,400 257
TreeHouse Foods* 36,545 861
United Natural Foods* 2,705 79
Universal (B) 79,255 4,254
USANA Health Sciences (B)* 12,900 538
WD-40 2,786 111
Weis Markets 41,200 1,686
--------------
55,748
--------------
ENERGY -- 6.4%
Allis-Chalmers Energy* 8,847 134
Alon USA Energy (B) 42,103 1,171
American Oil & Gas* 72,200 465
Approach Resources* 37,600 485
Arena Resources* 84,845 3,189
Arlington Tankers (B) 81,000 1,738
Atlas America 20,383 1,157
ATP Oil & Gas* 61,072 2,723
Atwood Oceanics* 7,200 628
Aurora Oil & Gas* 231,150 312
BA Energy PIPE (Canada)
(F) (G) (H)* 119,000 833
BA Energy, Deal #3 PIPE (Canada)
(F) (G) (H)* 30,500 214
Basic Energy Services (B)* 89,813 1,751
Berry Petroleum, Cl A 30,332 1,255
Bill Barrett* 10,074 389
Bois d'Arc Energy* 39,300 770
BP Prudhoe Bay Royalty Trust* 1,200 88
BPZ Energy PIPE (F) (G) (H)* 205,289 2,340
BPZ Resources* 26,500 302
Cal Dive International (B)* 231,700 2,875
CARBO Ceramics (B) 32,100 1,274
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 41
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Carrizo Oil & Gas* 35,289 $ 1,710
Cimarex Energy (B) 50,300 1,943
Complete Production Services (B)* 146,800 2,601
Comstock Resources* 54,400 1,822
Core Laboratories* 16,280 1,909
Crosstex Energy 2,600 93
CVR Energy (B)* 70,700 1,557
Delek US Holdings 100,400 1,851
Delta Petroleum (B)* 55,182 848
Denbury Resources* 19,767 1,054
Double Hull Tankers 75,020 995
Dresser-Rand Group* 35,200 1,253
Dril-Quip* 36,077 2,036
Edge Petroleum 116,900 690
Encore Acquisition (B)* 27,550 897
Energy Partners* 145,782 1,805
EXCO Resources* 31,459 440
Exterran Holdings* 38,572 3,087
Forest Oil* 5,300 250
Foundation Coal Holdings 13,700 623
FX Energy* 9,600 71
GeoMet* 186,750 908
Global Industries (B)* 53,500 1,186
GMX Resources* 14,061 450
Goodrich Petroleum (B)* 29,400 718
Grey Wolf (B)* 440,800 2,239
Gulf Island Fabrication 16,900 538
Gulfmark Offshore (B)* 12,700 564
Harvest Natural Resources* 29,875 389
Helix Energy Solutions Group* 2,800 114
Helmerich & Payne 29,735 1,027
Hercules Offshore* 87,653 2,192
Holly 14,500 703
Horizon Offshore* 17,000 288
Infinity Bio-Energy* 607,719 2,935
ION Geophysical (B)* 300,435 4,636
Kodiak Oil & Gas* 314,800 749
Lufkin Industries 12,500 650
Mariner Energy (B)* 69,300 1,502
Matrix Service* 25,507 666
McMoRan Exploration* 24,313 286
Meridian Resource* 27,641 48
Mitcham Industries* 15,347 279
NATCO Group, Cl A* 31,080 1,478
Natural Gas Services Group* 26,400 476
Newpark Resources* 262,920 1,415
North American Energy Partners* 33,200 428
Oil States International* 51,100 1,620
Oilsands Quest (B)* 226,600 1,020
Oilsands Quest PIPE (F) (G) (H)* 74,000 333
OPTI (Canada)* 103,800 1,848
Parallel Petroleum* 45,628 874
Parker Drilling* 70,800 506
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Penn Virginia 24,037 $ 1,000
PetroHawk Energy* 61,165 997
Petroleum Development* 16,160 819
Pioneer Drilling* 10,517 125
Quicksilver Resources* 1,800 91
Regency Energy Partners LP 3,975 123
Rentech (B)* 834,031 1,735
Rosetta Resources (B)* 114,943 2,104
RPC (B) 136,200 1,512
SEACOR Holdings* 10,200 924
St Mary Land & Exploration 18,600 731
StealthGas 73,100 1,192
Stone Energy (B)* 62,681 2,833
Superior Energy Services* 68,361 2,386
Superior Well Services (B)* 83,500 1,619
Swift Energy* 75,834 3,072
Synenco Energy (Canada) (F) (G) (H)* 27,419 204
Synenco Energy, Cl A (Canada)* 185,000 1,379
Tesoro 44,682 2,198
Tetra Technologies* 59,900 947
Trico Marine Services* 363 13
TXCO Resources* 5,100 62
Uranium One (Canada)* 127,375 1,183
Uranium Resources* 22,220 264
USEC (B)* 73,963 607
Vaalco Energy* 45,838 200
Venoco* 27,900 509
W-H Energy Services* 56,834 2,870
Warren Resources* 25,400 324
Willbros Group* 4,500 169
World Fuel Services 30,700 971
--------------
117,856
--------------
FINANCIALS -- 17.7%
Acadia Realty Trust+ 54,300 1,433
Advance America Cash Advance
Centers 77,251 705
Advanta, Cl B (B) 46,147 462
Affiliated Managers Group (B)* 54,982 6,832
Alesco Financial* 137,200 510
Alexander's+* 727 283
Alexandria Real Estate Equities+ 9,320 916
AMB Property+ (B) 34,700 2,122
AmCOMP* 24,810 245
Amcore Financial (B) 43,120 1,013
American Campus Communities 27,258 705
American Equity Investment Life
Holding (B) 134,705 1,214
American Physicians Capital 13,500 566
Ameris Bancorp 8,700 146
Amerisafe* 61,087 932
Anchor Bancorp Wisconsin (B) 23,100 587
Annaly Capital Management+ 161,838 2,785
- --------------------------------------------------------------------------------
42 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Anthracite Capital+ (B) 99,917 $ 763
Anworth Mortgage Asset+ 50,359 354
AON 41,900 2,094
Arbor Realty Trust+ (B) 68,652 1,174
Ares Capital 36,200 545
Argo Group International Holdings* 14,119 558
Ashford Hospitality Trust+ 141,370 1,094
Aspen Insurance Holdings (B) 47,800 1,377
Assured Guaranty 42,000 948
AvalonBay Communities+ (B) 36,600 3,640
BancFirst (B) 7,800 365
Bancorpsouth 113,181 2,768
Bank Mutual 91,331 924
Bank of the Ozarks (B) 12,800 372
Bankunited Financial, Cl A 123,877 989
Berkshire Hills Bancorp 21,700 527
BioMed Realty Trust+ (B) 20,800 470
Boston Properties+ (B) 41,600 4,094
Brandywine Realty Trust+ (B) 67,100 1,376
Brasil Brokers Participacoes* 2,700 1,747
Calamos Asset Management, Cl A 30,190 894
Canaccord Capital (Canada)* 61,100 970
Canaccord Capital (Canada) 15,100 240
Capital Lease Funding+ 173,400 1,526
Capital Trust, Cl A+ (B) 7,545 232
CapitalSource+ 103,127 1,728
Capstead Mortgage+ 159,500 1,946
Cardinal Financial 64,253 616
Cascade Bancorp (B) 21,002 364
Cash America International 69,407 2,497
Castlepoint Holdings* 134,500 1,582
CB Richard Ellis Group, Cl A* 42,988 1,021
Center Financial 18,000 221
Centerline Holding 12,300 149
Central Pacific Financial 34,699 701
Chemical Financial (B) 54,900 1,378
Chimera Investment* 47,074 730
Citizens Republic Bancorp (B) 43,247 615
City Bank (B) 7,308 152
City Holding 9,500 342
CME Group 1,634 1,076
CNA Surety* 53,300 1,100
Cohen & Steers (B) 35,000 993
Columbia Bancorp (B) 18,100 322
Commerce Group (B) 54,200 1,948
Community Bancorp* 6,137 111
Community Bank System (B) 32,900 664
Community Trust Bancorp 13,192 373
Companhia Brasileira de
Desenvolvimento Imobiliari
Turistico (Brazil)* 3,800 1,740
CompuCredit* 26,080 338
Corporate Office Properties Trust+ 79,600 2,875
Corus Bankshares (B) 42,291 401
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Cousins Properties+ (B) 47,900 $ 1,139
Crawford, Cl B* 13,724 55
Darwin Professional Underwriters* 30,800 708
DCT Industrial Trust+ (B) 57,800 583
Dearborn Bancorp* 38,346 392
Delphi Financial Group, Cl A 96,500 3,709
DiamondRock Hospitality+ (B) 51,111 885
Digital Realty Trust+ 12,090 461
Dime Community Bancshares 52,822 717
Discover Financial Services* 22,554 392
Dollar Financial (B)* 64,591 1,930
Downey Financial 12,000 499
DuPont Fabros Technology* 46,332 869
East West Bancorp (B) 63,550 1,713
Eaton Vance 36,968 1,618
Education Realty Trust+ 72,733 872
eHealth (B)* 23,881 740
EMC Insurance Group 5,271 128
Employers Holdings (B) 77,084 1,371
Encore Bancshares* 14,430 296
Endurance Specialty Holdings 17,176 694
Equity Lifestyle Properties+ 14,442 670
Equity One+ (B) 46,519 1,101
Equity Residential+ 125,600 4,674
Essex Property Trust+ (B) 20,300 2,106
Evercore Partners, Cl A 142,900 2,997
Extra Space Storage+ (B) 121,400 1,731
Ezcorp, Cl A* 63,552 798
FBL Financial Group, Cl A 40,400 1,498
FBR Capital Markets* 26,115 263
FCStone Group* 37,592 1,587
Federal Agricultural Mortgage, Cl C 20,500 558
Federal Realty Investment Trust+ 25,500 2,121
Federated Investors, Cl B 54,800 2,235
FelCor Lodging Trust+ (B) 45,141 790
Financial Federal (B) 35,800 791
First American (B) 48,400 1,654
First Cash Financial Services* 81,600 1,387
First Financial Bancorp (B) 84,087 965
First Financial Bankshares 10,100 394
First Financial Holdings 1,400 38
First Industrial Realty Trust+ (B) 11,856 433
First Marblehead 10,000 300
First Merchants 34,800 755
First Mercury Financial* 61,381 1,303
First Midwest Bancorp 74,668 2,442
First Niagara Financial Group 99,300 1,234
First Regional Bancorp* 3,400 75
First State Bancorporation 19,250 281
FirstFed Financial (B)* 81,525 2,855
FirstMerit (B) 159,395 3,285
Flagstar Bancorp (B) 82,300 518
Flushing Financial 34,900 561
FNB (Pennsylvania) 25,442 395
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 43
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Fpic Insurance Group* 29,200 $ 1,248
Frontier Financial (B) 27,525 527
GAMCO Investors, Cl A 17,247 919
General Shopping Brasil (Brazil)* 218,300 2,087
GFI Group* 800 78
Glacier Bancorp (B) 19,682 392
Gluskin Sheff + Associates (Canada)* 60,500 1,530
GMP Capital Trust (Canada) 59,500 1,399
Gramercy Capital+ (B) 135,782 3,229
Greenhill (B) 42,300 3,058
Grubb & Ellis (B)* 31,000 160
Grubb & Ellis Realty Advisors* 326,900 2,043
Hallmark Financial Services* 12,900 193
Hancock Holding (B) 39,739 1,558
Hanmi Financial (B) 41,699 400
Hanover Insurance Group 22,314 1,006
Harleysville Group 4,600 161
HCP+ 58,700 1,964
Health Care+ 12,928 579
Hercules Technology Growth Capital 110,361 1,303
Hersha Hospitality Trust+ 241,600 2,459
Highbury Financial (B)* 27,700 129
Highbury Financial Units* 118,000 649
Hilb Rogal & Hobbs (B) 66,100 2,826
Horace Mann Educators 40,208 786
Horizon Financial 8,525 147
HRPT Properties Trust+ 159,600 1,321
IMPAC Mortgage Holdings+ (B) 87,200 53
Imperial Capital Bancorp 5,264 120
Independent Bank 16,286 156
IndyMac Bancorp 28,259 270
Infinity Property & Casualty 24,129 943
IntercontinentalExchange* 4,900 818
International Bancshares 15,945 351
Intervest Bancshares 2,950 47
Investors Bancorp* 26,300 386
Investors Real Estate Trust+ (B) 160,700 1,617
IPC Holdings (B) 24,442 723
Irwin Financial 47,500 386
Jefferies Group 133,400 3,410
Jones Lang LaSalle 4,284 360
Kansas City Life Insurance 17,790 802
KBW (B)* 28,600 755
LandAmerica Financial Group (B) 12,600 332
Lazard, Cl A 20,590 1,002
Luminent Mortgage Capital+ (B) 151,300 156
Macerich+ (B) 37,100 2,881
Mack-Cali Realty+ 85,600 3,055
Maguire Properties+ 16,029 405
MarketAxess Holdings* 38,370 551
Marlin Business Services* 44,698 603
Marsh & McLennan 57,392 1,442
Max Capital 29,100 824
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Meadowbrook Insurance Group* 174,070 $ 1,600
Meruelo Maddux Properties* 279,900 1,176
MFA Mortgage Investments+ 354,340 3,111
MGIC Investment 6,722 158
Mid-America Apartment
Communities+ 20,556 993
Montpelier Re Holdings 24,700 428
Move* 623,939 1,466
MSCI, Cl A (B)* 62,685 1,733
MVC Capital 25,800 415
Nara Bancorp 26,300 351
NASDAQ Stock Market (B)* 27,800 1,205
National Financial Partners 20,827 946
National Health Investors+ 7,072 201
National Retail Properties+ (B) 90,396 2,214
Navigators Group* 25,164 1,477
NBT Bancorp (B) 55,400 1,381
Nelnet, Cl A 57,405 792
New Westfield Financial* 10,000 97
New York Community Bancorp 51,760 963
NewAlliance Bancshares (B) 92,097 1,188
Newcastle Investment+ (B) 38,073 495
NNN Realty Advisors* (F) (G) (H) 169,500 1,017
NorthStar Realty Finance+ 73,650 675
Novastar Financial (B)* 5,575 11
NYSE Euronext 3,700 320
Ocwen Financial* 28,237 158
Odyssey Re Holdings 24,100 929
Old National Bancorp (B) 148,500 2,373
Old Second Bancorp (B) 11,000 291
Omega Healthcare Investors+ 12,768 206
optionsXpress Holdings (B) 59,847 1,820
Pacific Capital Bancorp (B) 28,362 583
Parkway Properties+ 1,908 76
PennantPark Investment* 28,500 327
PFF Bancorp 22,036 207
Pico Holdings (B)* 27,658 1,065
Piper Jaffray (B)* 66,944 3,101
Platinum Underwriters Holdings 102,783 3,733
PMA Capital, Cl A* 23,119 202
Portfolio Recovery Associates (B) 30,240 1,218
Post Properties+ (B) 55,238 2,006
Potlatch 10,028 460
Powershares QQQ 9,790 502
Preferred Bank 20,246 541
Presidential Life 38,700 667
ProAssurance (B)* 40,763 2,235
Procentury 16,870 237
Prologis+ 85,700 5,607
Provident Bankshares (B) 25,100 589
PS Business Parks+ 7,300 394
Public Storage+ 47,924 3,706
Rainier Pacific Financial Group 13,122 194
RAIT Financial Trust+ (B) 133,103 1,151
- --------------------------------------------------------------------------------
44 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Ram Holdings Ltd* 86,300 $ 501
Ramco-Gershenson Properties+ 6,527 165
Realty Income+ 42,509 1,212
RenaissanceRe Holdings 12,000 709
Renasant 16,900 330
RLI 30,738 1,833
Safety Insurance Group (B) 53,346 1,948
Santander BanCorp 43,665 427
Selective Insurance Group 24,130 569
Sierra Bancorp (B) 3,600 90
Signature Bank (B)* 63,899 2,367
Simon Property Group+ 59,400 5,848
SL Green Realty+ (B) 22,800 2,369
South Financial Group 75,919 1,360
Southwest Bancorp 16,129 290
St. Joe 34,178 972
Sterling Bancshares (B) 63,232 780
Sterling Financial, Washington Shares 92,837 1,665
Stewart Information Services 72,200 1,954
Stifel Financial* 1,100 51
Strategic Hotels & Resorts+ (B) 130,600 2,391
Sun Communities+ 56,200 1,376
Sunstone Hotel Investors+ 33,500 777
Superior Bancorp (B)* 136,707 819
Susquehanna Bancshares (B) 58,400 1,162
SVB Financial Group (B)* 52,595 2,708
SWS Group 9,172 124
Taubman Centers+ 41,400 2,216
Taylor Capital Group 5,554 123
TCF Financial 24,878 483
TD Ameritrade Holding* 40,331 754
Technology Investment Capital 45,700 478
Texas Capital Bancshares* 4,800 101
TFS Financial* 5,100 63
Thornburg Mortgage+ 54,351 579
Titanium Asset* 122,200 688
Tompkins Trustco 6,700 285
Tower Group 26,180 849
TradeStation Group* 39,200 468
Triad Guaranty* 22,384 193
Trico Bancshares 3,700 78
Trustmark 36,249 923
UCBH Holdings 138,824 2,232
UMB Financial 10,869 409
UnionBanCal 20,601 1,112
United America Indemnity, Cl A* 10,900 216
United Bankshares 37,905 1,178
United Financial Bancorp 37,600 376
United Fire & Casualty 31,300 965
Universal American Financial* 27,512 656
Universal Health Realty Income
Trust+ 4,672 154
Validus Holdings* 37,300 929
Ventas+ (B) 84,600 3,689
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Victory Acquisition* 48,847 $ 469
ViewPoint Financial Group 15,800 282
Virginia Commerce Bancorp (B)* 4,700 59
Waddell & Reed Financial, Cl A 50,439 1,724
Washington Federal 88,940 2,087
Washington Real Estate Investment
Trust+ 16,690 535
Weingarten Realty Investors+ (B) 77,700 2,770
WesBanco (B) 44,700 1,072
West Coast Bancorp 13,200 263
Westamerica Bancorporation 17,115 805
Westfield Financial 72,300 698
Wilshire Bancorp 35,600 332
Winthrop Realty Trust+ (B) 63,800 341
Wintrust Financial 14,519 513
World Acceptance* 47,176 1,489
WR Berkley 26,100 798
WSFS Financial (B) 23,500 1,313
Zenith National Insurance 74,095 3,114
--------------
327,294
--------------
HEALTH CARE -- 12.4%
3SBio ADR* 99,400 1,560
Abaxis (B)* 34,265 1,137
Abraxis Bioscience (B)* 8,300 490
Acadia Pharmaceuticals (B)* 77,500 879
Accelrys* 126,600 1,017
Achillion Pharmaceuticals* 71,640 356
Acorda Therapeutics* 25,130 470
Adams Respiratory Therapeutics (B)* 32,938 1,421
Advanced Medical Optics (B)* 64,900 1,637
Affymax (B)* 11,100 283
Affymetrix (B)* 162,817 3,395
Air Methods* 5,578 294
Albany Molecular Research* 56,796 750
Alexion Pharmaceuticals* 14,886 1,083
Align Technology (B)* 88,039 1,487
Alkermes* 202,229 2,884
Alliance Imaging* 22,462 215
Allscripts Healthcare Solutions* 20,100 356
Alpharma, Cl A 42,628 895
Altus Pharmaceuticals (B)* 59,200 627
AMAG Pharmaceuticals* 3,308 191
Amedisys* 60,260 2,571
America Service Group* 30,600 247
American Medical Systems
Holdings (B)* 22,507 308
AMERIGROUP* 12,089 415
AMN Healthcare Services (B)* 155,700 2,628
Amsurg (B)* 92,421 2,390
Analogic 9,156 493
APP Pharmaceuticals (B)* 78,700 925
Applera -- Celera Group* 97,100 1,468
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 45
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Apria Healthcare Group (B)* 105,900 $ 2,295
Arena Pharmaceuticals (B)* 185,400 1,622
Ariad Pharmaceuticals (B)* 275,400 1,239
Array Biopharma (B)* 78,058 864
Arthrocare (B)* 7,998 433
Axcan Pharma* 109,666 2,476
Bio-Rad Laboratories, Cl A* 11,000 1,110
Bio-Reference Labs* 13,263 444
BioForm Medical* 116,950 908
BioMarin Pharmaceuticals (B)* 135,597 3,729
Bradley Pharmaceuticals* 20,987 413
Cambrex 106,091 821
Cell Genesys (B)* 238,500 556
Centene* 11,054 276
Cephalon (B)* 83,900 6,286
Charles River Laboratories
International* 2,700 172
Chemed 62,354 3,376
Community Health Systems* 54,400 1,818
Computer Programs & Systems 44,401 989
Conceptus (B)* 41,600 836
Conmed (B)* 89,638 2,230
Cooper (B) 77,333 3,328
Covance* 700 61
Cross Country Healthcare (B)* 120,900 1,760
Cubist Pharmaceuticals (B)* 229,419 4,873
Cutera* 3,600 54
CV Therapeutics (B)* 509,500 4,443
Cynosure, Cl A (B)* 59,485 1,766
Cypress Bioscience (B)* 26,300 321
Datascope 6,491 237
DexCom* 47,080 407
Dionex (B)* 29,764 2,514
Discovery Laboratories (B)* 282,305 824
Eclipsys* 62,489 1,450
Emergency Medical Services,
Cl A (B)* 52,024 1,600
Emergent Biosolutions* 24,200 135
Encysive Pharmaceuticals (B)* 383,300 257
eResearch Technology* 80,503 955
ev3* 12,108 177
Exelixis (B)* 250,142 2,184
Five Star Quality Care (B)* 43,500 410
Greatbatch* 29,796 613
Hanger Orthopedic Group* 65,300 683
Hansen Medical* 2,541 75
HealthExtras* 37,900 1,007
Healthspring* 149,597 2,827
HealthTronics* 159,727 677
Healthways (B)* 40,604 2,370
HMS Holdings* 4,647 144
Hologic (B)* 65,846 4,372
Human Genome Sciences (B)* 213,100 2,218
I-Flow* 98,676 1,645
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
ICU Medical* 20,400 $ 757
Illumina (B)* 87,917 5,081
Immucor* 31,300 1,038
IMS Health 13,400 313
Incyte (B)* 323,871 2,779
Indevus Pharmaceuticals* 65,968 494
InterMune (B)* 23,575 383
Intuitive Surgical* 700 229
Invacare 14,864 386
Inverness Medical Innovations (B)* 36,181 2,123
Isis Pharmaceuticals (B)* 65,091 1,151
ISTA Pharmaceuticals (B)* 161,300 834
Kendle International (B)* 36,180 1,562
Kensey Nash* 59,513 1,604
Kindred Healthcare (B)* 81,163 1,994
Landauer 4,797 241
LCA-Vision 4,500 73
LeMaitre Vascular* 57,500 405
LHC Group* 36,385 931
Lifecell* 6,400 260
LifePoint Hospitals* 113,979 3,606
Magellan Health Services* 69,163 3,143
MannKind* 69,150 650
Martek Biosciences (B)* 38,345 992
Matria Healthcare* 21,040 478
Matrixx Initiatives* 23,860 386
Medarex (B)* 450,400 5,720
Medcath* 46,636 1,185
Medical Staffing Network Holdings* 76,700 468
Medicines* 52,200 923
Medicis Pharmaceutical, Cl A (B) 95,900 2,580
Medtox Scientific* 8,421 153
Merge Technologies (B)* 25,700 34
Meridian Bioscience 47,290 1,459
Metabolix* 85,900 1,849
MGI Pharma* 40,132 1,389
Micrus Endovascular (B)* 82,000 1,501
Minrad International* 35,900 97
Molina Healthcare* 20,673 775
MWI Veterinary Supply* 25,556 1,075
Myriad Genetics (B)* 106,983 5,157
National Dentex* 21,200 332
Neurocrine Biosciences (B)* 78,600 1,023
NovaMed* 44,924 210
NuVasive* 11,243 479
Odyssey HealthCare (B)* 202,000 2,020
Omnicare (B) 34,666 883
Omnicell* 56,464 1,489
Omrix Biopharmaceuticals* 35,570 1,188
Onyx Pharmaceuticals (B)* 15,830 863
OraSure Technologies (B)* 129,265 1,225
Orthofix International* 14,732 860
OSI Pharmaceuticals (B)* 41,552 1,938
Owens & Minor (B) 72,783 2,858
- --------------------------------------------------------------------------------
46 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Panacos Pharmaceuticals* 104,014 $ 214
Par Pharmaceutical (B)* 48,270 929
Parexel International* 27,295 1,208
Patterson* 38,161 1,228
PDL BioPharma (B)* 15,600 276
Pediatrix Medical Group* 23,860 1,543
Penwest Pharmaceuticals (B)* 216,100 1,316
Perrigo (B) 93,226 2,881
Pharmacopeia Drug Discovery* 80,329 365
PharMerica (B)* 105,053 1,547
Pozen (B)* 23,500 245
Profarma Distribuidora de Produtos
Farmaceuticos (Brazil)* 93,300 1,919
Providence Service* 21,765 609
PSS World Medical (B)* 157,693 3,025
Psychiatric Solutions* 78,417 2,865
Qiagen* 123,011 2,592
Quidel* 9,600 181
Regeneron Pharmaceuticals (B)* 71,450 1,556
Res-Care* 29,922 682
Rigel Pharmaceuticals* 123,700 886
Salix Pharmaceuticals (B)* 34,700 394
Savient Pharmaceuticals* 4,761 67
Sciele Pharma (B)* 174,406 3,893
Sirona Dental Systems (B)* 40,304 1,091
Somanetics* 33,300 666
Spectranetics (B)* 70,463 1,069
STERIS 61,749 1,726
Sun Healthcare Group* 40,800 677
Symmetry Medical* 51,929 874
Tercica (B)* 82,600 548
Theravance* 16,015 386
TomoTherapy* 41,220 767
Trizetto Group* 43,600 673
United Therapeutics (B)* 44,338 4,437
Varian* 13,699 960
Ventana Medical Systems* 10,090 896
Viropharma (B)* 32,400 290
Vnus Medical Technologies* 38,069 536
WellCare Health Plans* 1,398 54
Wright Medical Group (B)* 73,100 1,972
Xenoport* 3,100 163
--------------
229,984
--------------
INDUSTRIALS -- 13.6%
ABM Industries 5,600 114
ABX Air* 22,245 99
ACCO Brands* 74,184 1,240
Accuride* 59,826 454
Actuant, Cl A (B) 58,154 1,842
Acuity Brands (B) 32,430 1,281
Administaff 11,133 364
Advisory Board* 47,813 3,108
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Aecom Technology* 48,600 $ 1,292
AGCO* 33,783 2,329
Alaska Air Group* 54,674 1,385
Albany International, Cl A 68,079 2,633
Allen-Vanguard* 114,500 979
Altra Holdings* 22,000 353
Amerco* 3,912 256
American Commercial Lines (B)* 137,146 2,385
American Ecology 5,381 120
American Woodmark (B) 43,670 846
Ampco-Pittsburgh 18,900 666
Amrep 1,300 43
AO Smith 79,300 2,806
Apogee Enterprises 127,824 2,840
Applied Industrial Technologies 28,200 852
Arkansas Best (B) 55,400 1,263
Ascent Solar Technologies (B)* 22,300 379
Astec Industries (B)* 11,000 413
ASV* 12,791 149
Atlas Air Worldwide Holdings* 1,100 58
Avis Budget Group* 50,817 764
Barnes Group (B) 37,650 1,166
BE Aerospace* 112,988 5,310
Beacon Roofing Supply* 60,300 555
Belden CDT (B) 48,941 2,254
Bowne (B) 65,590 1,185
Brady, Cl A (B) 35,137 1,407
Briggs & Stratton 79,915 1,822
Brink's 34,200 2,188
Bucyrus International, Cl A (B) 23,485 2,060
Celadon Group* 8,800 69
Cenveo* 5,620 116
Ceradyne (B)* 68,409 3,382
Chart Industries* 36,200 1,006
Chicago Bridge & Iron 76,707 4,077
CIRCOR International 39,178 1,700
Clarcor 39,525 1,407
Clean Harbors (B)* 52,426 2,817
Columbus McKinnon* 34,966 1,088
Commercial Vehicle Group* 55,900 745
COMSYS IT Partners* 44,589 595
Con-way 13,900 588
Consolidated Graphics* 11,734 607
Continental Airlines, Cl B* 10,837 305
Corrections of America* 51,104 1,559
CoStar Group (B)* 50,854 2,451
CRA International (B)* 39,024 1,805
Crane 61,055 2,744
Cubic (B) 16,405 648
Curtiss-Wright 32,686 1,763
Danaos 23,300 713
Deluxe 120,457 3,805
Diamond Management & Technology
Consultants (B) 96,900 720
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 47
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Duff & Phelps* 43,643 $ 870
Dynamic Materials 57,700 3,662
DynCorp International, Cl A* 18,859 394
EDO 19,500 1,088
Electro Rent* 9,971 136
EMCOR Group* 78,601 2,094
Encore Wire 2,704 46
EnerSys* 3,277 76
EnPro Industries* 58,016 1,775
ESCO Technologies (B)* 33,504 1,239
Esterline Technologies* 22,906 1,196
Evergreen Solar (B)* 87,500 1,152
Federal Signal 47,729 549
First Advantage, Cl A* 17,000 309
First Consulting Group* 161,770 2,071
Flow International* 139,200 1,100
Force Protection (F) (G) (H)* 166,100 1,796
Force Protection (B)* 33,500 362
Forward Air 47,220 1,528
FTI Consulting* 33,972 1,936
Fuel Tech* 9,746 238
G&K Services 14,710 598
GATX 16,500 611
Genco Shipping & Trading (B) 14,500 918
GenCorp* 37,200 450
General Cable (B)* 46,590 3,465
Genesee & Wyoming, Cl A* 15,923 417
Genlyte Group (B)* 28,883 2,722
Geo Group* 134,275 3,419
GeoEye* 37,300 1,183
Goodman Global (B)* 42,659 1,009
GrafTech International (B)* 75,527 1,214
Great Lakes Dredge & Dock* 57,500 512
H&E Equipment Services* 189,130 3,266
Hardinge 5,325 84
Heartland Express (B) 81,275 1,181
Heico, Cl A 30,870 1,235
Heidrick & Struggles
International (B)* 3,200 116
Hexcel (B)* 61,600 1,569
Horizon Lines, Cl A 61,045 1,215
Hubbell, Cl B 30,600 1,681
Hudson Highland Group* 92,503 824
Huron Consulting Group (B)* 20,890 1,531
ICF International* 17,700 458
ICT Group* 7,900 88
IDEX 16,408 586
IHS, Cl A* 41,487 2,910
II-VI (B)* 22,900 768
IKON Office Solutions (B) 157,689 1,992
Innerworkings (B)* 103,611 1,642
Innovative Solutions & Support* 1 --
Interface, Cl A 53,759 938
Ionatron* 37,800 131
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
JA Solar Holdings ADR* 48,743 $ 2,892
JetBlue Airways* 86,400 605
Kadant* 23,542 694
Kansas City Southern (B)* 50,166 1,727
Kaydon (B) 31,469 1,593
KBR* 35,800 1,426
Kenexa (B)* 49,600 961
Kforce* 116,751 1,267
Kirby* 26,627 1,280
Knight Transportation (B) 43,800 666
Knoll (B) 111,582 1,950
Korn/Ferry International* 38,185 658
Labor Ready* 50,400 758
Ladish* 5,026 222
Landstar System 26,005 1,034
LB Foster, Cl A* 7,543 346
LECG* 109,623 1,739
Lincoln Electric Holdings 25,400 1,772
LSI Industries 12,625 261
Lydall* 5,242 51
Marten Transport (B)* 12,700 139
Mcgrath Rentcorp 7,779 207
Medis Technologies* 4,000 51
Merrimac Industries* 16,900 155
Mesa Air Group* 278,268 1,052
Michael Baker* 25,791 901
Middleby (B)* 18,040 1,369
Milacron (B)* 19,814 57
Mine Safety Appliances 9,128 447
Moog, Cl A* 26,022 1,173
Mueller Industries 20,300 614
Multi-Color 4,350 104
NACCO Industries, Cl A 1,885 191
Navios Maritime Holdings* 14,230 208
Navistar International* 9,900 514
NCI Building Systems (B)* 58,200 1,998
Nuco2* 49,565 1,367
Old Dominion Freight Line* 34,675 781
Orbital Sciences (B)* 62,000 1,492
Orion Marine Group (F) (G) (H)* 139,600 1,989
Pacer International 40,300 554
Pall 63,100 2,414
PeopleSupport* 156,630 2,201
Perini* 112,864 6,003
Pinnacle Airlines (B)* 36,964 601
Power-One (B)* 180,431 843
PRG-Schultz International* 19,506 182
Quanta Services (B)* 93,064 2,548
RBC Bearings* 43,280 1,592
Regal-Beloit 13,700 645
Republic Airways Holdings (B)* 121,070 2,431
Resources Connection 57,980 1,196
RSC Holdings (B)* 233,800 2,871
Ryder System 54,300 2,354
- --------------------------------------------------------------------------------
48 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Saia* 15,710 $ 205
Schawk 24,200 348
School Specialty (B)* 26,286 938
Simpson Manufacturing 13,627 363
Skywest 47,891 1,260
Spherion (B)* 173,208 1,348
Spirit Aerosystems Holdings, Cl A* 4,600 161
Standard Parking* 4,220 196
Standard Register 22,494 271
Steelcase, Cl A 10,600 160
Sunpower, Cl A* 4,138 515
Superior Essex* 27,546 668
TAL International Group 57,800 1,309
Taleo, Cl A* 96,447 2,723
TBS International, Cl A (B)* 14,600 637
Tecumseh Products, Cl A* 85,100 2,023
Teledyne Technologies (B)* 43,268 2,346
TeleTech Holdings* 38,100 789
Tetra Tech (B)* 67,647 1,402
Textainer Group ADR 128,700 2,104
Titan International 16,715 459
Tredegar 11,077 160
Triumph Group 14,800 1,203
UAP Holding 30,765 920
Ultrapetrol Bahamas* 44,100 766
United Rentals (B)* 22,100 514
United Stationers* 58,376 2,957
Universal Forest Products 16,500 472
URS* 31,726 1,824
Volt Information Sciences* 13,974 178
Wabtec 61,876 2,100
Walter Industries 40,350 1,400
Waste Connections* 83,062 2,644
Waste Industries USA 14,600 493
Watson Wyatt Worldwide, Cl A (B) 98,625 4,542
Watts Water Technologies, Cl A (B) 22,081 646
WESCO International* 21,468 869
YRC Worldwide (B)* 31,300 554
--------------
251,933
--------------
INFORMATION TECHNOLOGY -- 20.7%
ACI Worldwide* 12,600 288
Acme Packet (B)* 115,200 1,417
Actel* 50,700 556
ADC Telecommunications* 49,301 816
Advanced Analogic Technologies* 195,685 2,108
Advanced Energy Industries* 38,168 554
Advent Software (B)* 6,200 315
Akamai Technologies* 22,992 875
Alliance Semiconductor 95,200 149
AMIS Holdings (B)* 152,946 1,173
Amkor Technology (B)* 216,900 1,787
Anadigics (B)* 84,951 935
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Anixter International* 2,217 $ 143
Ansys* 25,519 992
Applied Micro Circuits (B)* 181,800 456
Ariba* 88,011 1,045
ARM Holdings ADR (B)* 172,400 1,419
Arris Group (B)* 237,332 2,475
Art Technology Group* 581,803 2,432
Aspen Technology (B)* 56,400 957
Asyst Technologies* 393,096 1,352
Atheros Communications (B)* 88,715 2,616
Atmel* 385,612 1,693
ATMI (B)* 88,171 2,653
Avanex (B)* 193,900 291
Avid Technology* 9,414 250
Avocent (B)* 148,021 3,686
Axcelis Technologies* 38,604 183
Axesstel* 431,541 117
Bankrate* 30,765 1,204
BearingPoint (B)* 183,600 670
Benchmark Electronics* 96,700 1,736
BigBand Networks (B)* 8,700 52
Black Box (B) 41,982 1,545
Blackboard* 5,841 228
BluePhoenix Solutions* 51,875 944
Brightpoint* 18,492 307
Broadridge Financial Solutions* 63,800 1,453
Brocade Communications Systems* 468,700 3,417
Brooks Automation* 36,900 496
C-COR* 18,745 230
Cabot Microelectronics* 4,602 172
CACI International, Cl A (B)* 83,605 3,795
Captaris* 13,246 54
Cavium Networks* 28,200 723
Ceragon Networks* 51,320 663
Checkpoint Systems* 61,165 1,453
China Digital TV ADR (B)* 67,400 2,108
Chordiant Software* 65,400 656
Ciber (B)* 144,100 983
Cirrus Logic (B)* 171,066 975
CNET Networks (B)* 104,100 789
Cogent (B)* 10,000 111
Cognex 52,000 1,054
Coherent (B)* 43,503 1,252
Cohu 8,583 134
CommScope (B)* 35,935 1,455
Commvault Systems* 73,000 1,626
Comtech Group (B)* 49,100 871
Comtech Telecommunications* 18,019 895
Comverge (B)* 13,738 432
Comverse Technology (B)* 106,100 1,719
Concur Technologies (B)* 101,425 3,810
Conexant Systems (B)* 255,700 284
Constant Contact (B)* 39,974 761
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 49
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CPI International* 68,171 $ 1,145
Credence Systems* 104,928 215
CSG Systems International (B)* 120,666 1,999
CTS (B) 139,700 1,477
Cybersource* 29,783 435
Cymer* 60,120 2,469
Cypress Semiconductor* 63,305 2,103
Daktronics (B) 67,064 1,565
Data Domain (B)* 53,900 1,390
DealerTrack Holdings* 95,791 4,075
DemandTec* 34,837 572
Digimarc* 45,000 423
Digital River* 2,787 108
Diodes (B)* 63,366 1,864
DivX (B)* 68,605 1,161
Double-Take Software* 57,900 1,436
DSP Group* 155,800 2,108
DTS* 39,385 975
Dycom Industries* 48,382 1,361
Earthlink (B)* 240,500 1,633
Echelon (B)* 26,013 437
EFJ* 134,800 395
Electronic Arts* 26,767 1,504
Electronics for Imaging (B)* 136,593 3,133
Elixir Gaming Technologies* 147,535 581
Emergis (Canada)* 209,800 1,719
EMS Technologies* 3,239 94
Emulex (B)* 145,729 2,441
Entegris (B)* 142,000 1,230
Epicor Software (B)* 42,100 456
EPIQ Systems* 41,691 726
Equinix (B)* 41,966 4,369
Euronet Worldwide (B)* 104,152 3,412
Factset Research Systems 18,305 1,147
Fairchild Semiconductor
International* 55,861 886
FalconStor Software (B)* 91,080 1,103
Flir Systems* 15,975 1,098
Foundry Networks* 79,400 1,400
Genesis Microchip* 44,490 224
Gevity HR (B) 64,300 273
Harmonic* 125,400 1,300
Harris Stratex Networks, Cl A* 104,245 1,795
Heartland Payment Systems 16,072 519
Hewitt Associates, Cl A* 19,156 718
Hittite Microwave* 28,475 1,230
Hutchinson Technology* 66,600 1,752
i2 Technologies* 8,573 139
ICX Technologies (B)* 37,600 349
Ikanos Communications (B)* 84,300 500
Imation 120,500 2,418
Immersion (B)* 35,148 461
Infinera (B)* 25,541 557
Informatica (B)* 57,900 993
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Information Services Group* 119,470 $ 804
Insight Enterprises* 45,653 904
InterDigital (B)* 63,900 1,150
Intermec* 9,351 201
Internap Network Services* 28,900 288
Internet Capital Group* 43,102 481
Interwoven* 12,200 150
Intevac (B)* 58,000 911
IPG Photonics* 113,805 2,316
Itron* 25,328 1,964
Jack Henry & Associates 3,500 94
JDA Software Group* 156,680 3,281
JDS Uniphase (B)* 76,000 1,023
Juniper Networks* 39,838 1,184
Jupitermedias (B)* 218,500 937
Kemet* 114,100 707
Keynote Systems* 73,000 1,004
Kulicke & Soffa Industries* 27,197 193
Lawson Software (B)* 368,948 3,586
LeCroy (B)* 71,700 623
Liquidity Services* 75,525 902
Littelfuse (B)* 43,069 1,436
LoJack* 39,900 699
LTX* 330,804 794
Macrovision* 4,664 116
Magma Design Automation* 14,300 191
Manhattan Associates* 64,205 1,742
Mantech International, Cl A* 22,067 854
Marchex, Cl B (B)* 116,800 1,438
Mastec* 42,576 430
Mattson Technology* 7,000 58
MAXIMUS 8,514 332
McAfee* 15,300 596
Mentor Graphics (B)* 255,456 2,782
Mercadolibre (B)* 15,776 669
Mercury Computer Systems* 56,600 830
Methode Electronics (B) 211,522 2,549
Micrel 43,332 387
Micros Systems* 20,185 1,456
Microsemi (B)* 300,085 6,866
MicroStrategy, Cl A* 2,400 242
Microtune* 24,000 125
MIPS Technologies (B)* 316,400 1,797
MKS Instruments (B)* 30,000 545
Monolithic Power Systems* 84,568 1,614
MPS Group (B)* 127,200 1,412
MTS Systems 13,699 562
Navisite* 121,000 1,127
Net 1 UEPS Technologies (B)* 32,460 1,005
Netezza (B)* 82,600 1,094
Netgear* 38,185 1,294
Netlogic Microsystems (B)* 39,174 1,146
Neutral Tandem* 6,940 127
Novatel Wireless (B)* 224,975 3,496
- --------------------------------------------------------------------------------
50 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Nuance Communications (B)* 112,618 $ 2,273
O2Micro International ADR* 71,050 1,010
Omniture (B)* 97,190 2,761
Omnivision Technologies* 31,600 588
ON Semiconductor (B)* 363,757 3,343
Openwave Systems* 18,981 52
Orbotech* 125,600 1,930
OSI Systems* 48,900 1,212
Packeteer* 27,900 189
Palm (B)* 138,600 966
Parametric Technology (B)* 169,815 2,836
Park Electrochemical 49,200 1,449
Parkervision (B)* 128,500 1,263
PC Connection (B)* 28,700 367
PDF Solutions* 11,500 91
Perfect World ADR* 56,300 1,364
Perficient* 98,756 1,656
Perot Systems, Cl A (B)* 106,515 1,401
Photon Dynamics* 5,926 53
Photronics* 72,862 750
Pixelworks* 84,970 74
Plantronics (B) 34,767 933
Plexus* 69,870 2,079
PLX Technology* 201,029 1,978
PMC - Sierra (B)* 298,300 2,094
Polycom (B)* 304,300 7,385
Power Integrations* 54,984 1,654
Powerwave Technologies (B)* 254,757 1,055
Presstek (B)* 71,780 429
Quality Systems (B) 12,322 365
Quantum* 472,300 1,497
Quest Software* 16,023 259
Rackable Systems (B)* 193,200 2,058
Radisys (B)* 25,600 398
RADWARE* 102,420 1,375
RealNetworks* 71,600 442
Red Hat (B)* 403,400 8,076
RF Micro Devices (B)* 1,045,305 6,042
Richardson Electronics 36,191 236
RightNow Technologies (B)* 57,050 1,035
Riverbed Technology* 86,000 2,432
Rofin-Sinar Technologies* 940 86
Rogers* 7,136 314
Rubicon Technology* 42,423 785
Rudolph Technologies* 152,700 1,825
S1* 26,157 194
SAVVIS* 46,640 1,494
Seachange International* 311,400 2,348
Seagate Technology (B) 17,352 448
Secure Computing (B)* 154,536 1,402
ShoreTel* 92,500 1,436
SI International* 50,900 1,321
Sigma Designs (B)* 21,000 1,365
Silicon Image* 116,700 548
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Silicon Motion Technology ADR* 67,815 $ 1,281
Sina* 29,525 1,420
Sirf Technology Holdings (B)* 128,989 3,107
SkillSoft ADR* 64,800 628
Skyworks Solutions (B)* 985,558 8,949
Solera Holdings* 52,075 1,198
SPSS* 28,695 1,037
SRA International, Cl A (B)* 56,829 1,554
Standard Microsystems (B)* 45,971 1,621
Stratasys (B)* 47,431 1,185
Sun Microsystems* 40,089 833
Sybase (B)* 195,101 5,002
Symmetricom* 15,122 65
Synaptics (B)* 37,370 2,076
Synchronoss Technologies (B)* 69,471 2,287
SYNNEX* 45,100 932
Synopsys* 37,907 933
Tech Data* 25,800 970
Technitrol* 115,261 3,086
TechTarget* 34,406 470
Tekelec (B)* 151,214 1,860
Terremark Worldwide* 175,948 987
Tessco Technologies* 3,497 57
Tessera Technologies* 14,275 551
THQ* 183,406 4,484
TIBCO Software (B)* 246,200 1,928
TNS 38,510 605
Trident Microsystems* 144,200 906
Trina Solar ADR (B)* 50,900 2,181
Triquint Semiconductor* 375,200 2,225
TTM Technologies (B)* 154,000 1,862
Tyler Technologies* 13,904 209
Ultimate Software Group* 29,880 976
Ultra Clean Holdings* 52,739 758
Ultratech (B)* 137,500 1,647
United Online (B) 239,936 3,609
Universal Display (B)* 95,111 1,575
Utstarcom (B)* 144,500 419
Valueclick* 95,389 2,255
Varian Semiconductor Equipment
Associates* 15,450 641
Vasco Data Security
International (B)* 84,337 1,893
Veeco Instruments* 49,876 837
VeriFone Holdings (B)* 74,995 3,602
Verigy* 48,575 1,230
Verint Systems* 74,700 1,289
VeriSign* 41,453 1,695
Viasat* 35,155 1,172
Vignette (B)* 48,957 753
Virtusa* 60,142 1,063
VistaPrint (B)* 56,331 2,501
Visual Sciences* 8,000 127
Volterra Semiconductor* 7,894 98
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 51
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Wavecom ADR (B)* 32,337 $ 627
Websense* 4,615 75
WidePoint* 281,700 287
Wind River Systems (B)* 402,700 4,112
Wright Express* 80,636 3,060
Xyratex* 133,453 1,967
Zoran* 141,129 3,079
Zygo* 112,241 1,267
--------------
383,296
--------------
MATERIALS -- 4.7%
ADA-ES (B)* 24,500 237
AK Steel Holding* 36,929 1,646
AM Castle 51,516 1,293
Apex Silver Mines* 44,806 764
Aptargroup 11,188 472
Arch Chemicals 13,118 540
Ashland 34,759 1,712
Bemis (B) 41,229 1,119
Buckeye Technologies (B)* 145,395 2,076
Cabot 13,439 463
Carpenter Technology 25,500 1,924
Century Aluminum* 9,534 547
CF Industries Holdings 32,725 2,977
Chemtura 96,400 723
Cleveland-Cliffs (B) 27,988 2,524
Constar International (B)* 59,598 171
Crown Holdings* 39,400 1,011
Cytec Industries 42,100 2,582
Esmark* 94,300 1,829
Ferro 16,769 355
Flotek Industries* 15,860 585
FMC 11,966 655
Frontera Copper (Canada)* 171,000 1,038
Greif, Cl A 41,838 2,471
Grupo Simec SAB de CV ADR (B)* 160,600 1,537
H.B. Fuller (B) 83,660 2,116
Haynes International* 25,500 2,155
Hercules 230,607 4,476
Horsehead Holding (B)* 90,500 1,505
Innospec 7,018 123
Katanga Mining (Canada)* 133,800 1,985
Koppers Holdings 33,800 1,299
Louisiana-Pacific 64,000 984
Metal Management 20,530 945
Myers Industries 43,121 861
Neenah Paper 39,892 1,204
NewMarket 20,375 1,093
Olin 67,947 1,423
OM Group* 45,614 2,568
Omnova Solutions* 80,600 415
Pactiv* 48,421 1,230
PolyOne* 45,858 288
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Quaker Chemical 3,600 $ --
Quanex (B) 90,073 4,507
Rock-Tenn, Cl A 59,591 1,572
Rockwood Holdings* 18,121 610
RTI International Metals* 1,060 78
Schnitzer Steel Industries, Cl A 24,687 1,541
Schweitzer-Mauduit International 55,753 1,489
Sensient Technologies (B) 107,400 2,972
Sherritt International (Canada) 109,500 1,532
Silgan Holdings 114,012 6,114
Spartech 28,337 387
Steel Dynamics 78,100 3,929
Symyx Technologies* 12,775 98
Terra Industries (B)* 54,888 2,074
Texas Industries (B) 46,015 3,193
Wellman (B) 141,300 54
Worthington Industries (B) 35,900 761
WR Grace* 21,815 589
Zep* 8,065 106
Zoltek* 5,400 230
--------------
87,757
--------------
TELECOMMUNICATION SERVICES -- 2.0%
Alaska Communications Systems
Group 104,528 1,568
Atlantic Tele-Network 16,900 645
Cbeyond (B)* 53,609 2,218
Centennial Communications* 123,437 1,099
Cincinnati Bell* 380,412 1,811
Clearwire, Cl A (B)* 144,700 2,253
Cogent Communications Group (B)* 70,879 1,473
Consolidated Communications
Holdings 17,986 289
Fairpoint Communications 130,900 1,953
FiberTower* 20,576 47
Global Crossing* 39,329 721
IDT* 26,500 205
IDT, Cl B (B)* 54,797 444
Iowa Telecommunications Services 21,979 375
NeuStar, Cl A (B)* 87,765 2,788
NTELOS Holdings 120,695 3,202
Orckit Communications* 61,700 432
Premiere Global Services* 191,000 2,632
Rural Cellular, Cl A* 14,244 628
SBA Communications, Cl A (B)* 174,855 6,547
Syniverse Holdings (B)* 105,134 1,642
Time Warner Telecom, Cl A* 124,186 2,785
USA Mobility 54,360 717
Vonage Holdings* 138,074 291
--------------
36,765
--------------
- --------------------------------------------------------------------------------
52 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
UTILITIES -- 3.2%
AGL Resources 35,973 $ 1,334
Allete 82,567 3,382
Atmos Energy 37,723 988
Black Hills 42,345 1,764
Centerpoint Energy (B) 96,700 1,726
Cia de Saneamento de Minas
Gerais-COPASA (Brazil)* 77,000 1,368
Cleco 53,001 1,481
CMS Energy (B) 90,200 1,572
El Paso Electric* 94,100 2,419
Empire District Electric (B) 46,238 1,065
Energen 11,784 751
Great Plains Energy 15,600 463
Hawaiian Electric Industries 15,400 357
Idacorp (B) 43,122 1,516
Integrys Energy Group 28,401 1,449
ITC Holdings 39,250 2,003
Laclede Group 36,880 1,269
New Jersey Resources 22,327 1,126
Nicor (B) 57,602 2,427
Northwest Natural Gas 33,299 1,597
NorthWestern 33,684 938
Oneok 30,200 1,404
Ormat Technologies (B) 67,471 3,407
PNM Resources (B) 129,580 2,874
PNOC Energy Development
(Philippines)* 11,034,000 1,780
Portland General Electric 165,289 4,425
Reliant Energy* 49,703 1,294
SJW 3,900 131
South Jersey Industries 2,528 93
Southern Union 58,100 1,734
Southwest Gas 37,917 1,097
Synthesis Energy Systems* 49,240 542
UGI 49,600 1,312
UIL Holdings 47,900 1,716
Unisource Energy 17,058 528
Vectren 54,171 1,591
Westar Energy (B) 84,371 2,186
WGL Holdings (B) 26,293 869
Wisconsin Energy 9,016 431
--------------
58,409
--------------
Total Common Stock
(Cost $1,716,436) ($ Thousands) 1,792,573
--------------
- --------------------------------------------------------------------------------
Face Amount($ Thousands)/ Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CORPORATE OBLIGATION (C) (E) -- 0.5%
FINANCIALS -- 0.5%
SLM MTN
4.660%, 12/17/07 $ 8,944 $ 8,944
--------------
Total Corporate Obligation
(Cost $8,944) ($ Thousands) 8,944
--------------
PREFERRED STOCK -- 0.0%
FINANCIALS -- 0.0%
Thornburg Mortgage 16,594 407
--------------
Total Preferred Stock
(Cost $415) ($ Thousands) 407
--------------
CONVERTIBLE BOND -- 0.1%
Nova BioSource CV to 273.2240
10.000%, 09/30/12 $ 1,698 1,698
--------------
Total Convertible Bond
(Cost $1,698) ($ Thousands) 1,698
--------------
EXCHANGE TRADED FUND -- 0.0%
iShares Russell 2000 Index
Fund (B)* 6,166 472
--------------
Total Exchange Traded Fund
(Cost $399) ($ Thousands) 472
--------------
Number of
Warrants
-------------
WARRANTS -- 0.0%
Rentech, Expires (G) (H)* 16,100 12
04/25/12 (F)
Titanium Asset Management,
Expires 06/21/11* 122,200 130
Victory Acquisition, Expires 04/24/11* 152,834 267
Washington Mutual Expires 12/26/50* 220,361 38
--------------
Total Warrants
(Cost $225) ($ Thousands) 447
--------------
Number of
Rights
-------------
RIGHTS -- 0.0%
Esmark, Expires 11/27/07* 94,300 23
--------------
Total Rights
(Cost $--) ($ Thousands) 23
--------------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 53
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund (Concluded)
November 30, 2007
- --------------------------------------------------------------------------------
Face Amount ($ Thousands)/ Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CASH EQUIVALENTS -- 30.9%
First Union Cash Management
Program, 4.370%** 1,127,271 $ 1,127
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.020%++** 75,051,447 75,051
SEI Liquidity Fund L.P.,
5.110%++** (C) 496,335,987 496,336
--------------
Total Cash Equivalents
(Cost $572,514) ($ Thousands) 572,514
--------------
U.S. TREASURY OBLIGATION (A) (D) -- 0.2%
U.S. Treasury Bill
3.198%, 02/21/08 $ 2,355 2,339
--------------
Total U.S. Treasury Obligation
(Cost $2,338) ($ Thousands) 2,339
--------------
Total Investments -- 128.5%
(Cost $2,302,969) ($ Thousands) $ 2,379,417
==============
A summary of the open futures contracts held by the Fund at November 30, 2007,
is as follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
TYPE OF NUMBER OF EXPIRATION APPRECIATION
CONTRACT CONTRACTS DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
Russell 2000 Index E-Mini 231 Dec-2007 $ 594
==============
Percentages are based on Net Assets of $1,851,969 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of November 30, 2007.
+ Real Estate Investment Trust
++ Investment in Affiliated Security (see Note 3).
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
(B) This security or a partial position of this security is on loan at
November 30, 2007. The total value of securities on loan at November 30,
2007 was $484,828 ($ Thousands).
(C) This security was purchased with cash collateral held from securities on
loan. The total value of such securities as of November 30, 2007 was
$505,280 ($ Thousands).
(D) The rate reported is the effective yield at time of purchase.
(E) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of November 30, 2007.
(F) Securities considered illiquid. The total value of such securities as of
November 30, 2007 was $8,738 ($ Thousands) and represented 0.47% of Net
Assets.
(G) Security fair valued using methods determined in good faith by the
Valuation Committee of the Board of Trustees. The total value of such
securities as of November 30, 2007 was $8,738 ($ Thousands) and
represented 0.47% of Net Assets.
(H) This security considered restricted. The total value of such securities as
of November 30, 2007 was $8,738 ($ Thousands) and represented 0.47% of Net
Assets.
ADR -- American Depositary Receipt
Cl -- Class
CV -- Convertible Security
L.P. -- Limited Partnership
MTN -- Medium Term Note
PIPE -- Private Investment in Public Entity
Ser -- Series
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
54 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund
November 30, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS+++:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Short-Term Investments 21.0%
Financials 16.1%
Information Technology 14.9%
Industrials 11.3%
Consumer Discretionary 10.4%
Health Care 8.7%
Energy 4.8%
Materials 4.2%
Utilities 3.5%
Consumer Staples 3.0%
Telecommunication Services 1.8%
U.S. Treasury Obligations 0.1%
Exchange Traded Funds 0.1%
Convertible Bonds 0.1%
Warrants 0.0%
Rights 0.0%
+++ Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 9).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 96.4%
CONSUMER DISCRETIONARY -- 12.8%
Abercrombie & Fitch, Cl A 10,453 $ 858
Aftermarket Technology* 12,120 338
American Axle & Manufacturing
Holdings (B) 58,010 1,341
American Eagle Outfitters 13,300 304
American Greetings, Cl A 45,572 1,060
Amerigon (B)* 74,070 1,354
AnnTaylor Stores* 23,764 724
Arctic Cat 68,000 726
Audible (B)* 205,186 2,366
Autoliv 36,100 2,108
Autonation (B)* 26,050 430
Bally Technologies* 2,807 117
Bebe Stores 25,876 349
Belo, Cl A 163,070 2,700
Big Lots (B)* 122,132 2,280
Black & Decker (B) 45,270 3,742
Blockbuster, Cl A* 250,268 893
Blue Nile (B)* 18,700 1,380
Bob Evans Farms 10,320 318
Books-A-Million 2,703 33
Borders Group (B) 31,800 398
Brinker International 100,023 2,304
Brown Shoe 86,336 1,465
Brunswick 37,965 774
Cablevision Systems, Cl A* 4,632 125
California Pizza Kitchen* 12,100 193
Casual Male Retail Group (B)* 258,000 1,600
Cato, Cl A 58,500 881
CBRL Group (B) 90,962 3,044
CEC Entertainment (B)* 36,228 1,033
Century Casinos* 142,205 883
Charming Shoppes* 355,200 1,964
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Cheesecake Factory (B)* 15,000 $ 349
Chico's FAS* 21,900 248
Childrens Place Retail Stores* 107,200 3,051
Chipotle Mexican Grill, Cl A (B)* 21,500 2,863
Cinemark Holdings (B)* 71,763 1,198
Coach* 62,500 2,321
Columbia Sportswear (B) 5,600 269
Conn's* 42,800 775
Cooper Tire & Rubber (B) 170,302 2,619
Corinthian Colleges* 88,116 1,539
Courier 11,369 374
CROCS (B)* 242,525 9,466
CSK Auto* 22,158 216
CSS Industries 18,400 728
Ctrip.com International ADR* 30,781 1,850
Darden Restaurants 47,300 1,882
Denny's* 124,810 512
Dick's Sporting Goods (B)* 45,038 1,408
Dillard's, Cl A (B) 40,000 816
Dolan Media* 74,350 1,970
Dollar Tree Stores* 111,653 3,200
Dover Downs Gaming &
Entertainment 9,600 106
DreamWorks Animation SKG, Cl A* 75,102 1,975
Drew Industries (B)* 29,800 814
DSW, Cl A (B)* 97,000 2,182
Dufry South America
(United Kingdom)* 46,100 1,342
E.W. Scripps, Cl A 21,445 932
Eastman Kodak 22,982 540
Eddie Bauer Holdings (B)* 216,700 1,450
Entercom Communications (B) 66,397 1,082
Ethan Allen Interiors 16,149 461
Expedia* 8,600 280
Family Dollar Stores 134,153 3,159
Focus Media Holding ADR (B)* 56,937 3,214
Foot Locker 67,833 885
Ford Motor* 5,057 38
Furniture Brands International (B) 48,500 491
G-III Apparel Group* 24,000 345
GameStop, Cl A* 10,100 580
Genius Products* 509,680 953
Getty Images* 12,585 367
Gildan Activewear* 33,000 1,259
Global Sources (B)* 33,718 1,026
Goodyear Tire & Rubber* 112,121 3,223
Group 1 Automotive (B) 56,500 1,519
GSI Commerce (B)* 120,003 3,134
Guess?* 19,700 925
Gymboree* 93,630 3,124
Handleman (B) 21,700 48
Harley-Davidson 18,375 882
Harman International Industries 4,296 316
Harris Interactive* 302,135 1,266
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 55
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Hasbro (B) 289,598 $ 8,042
hhgregg* 90,825 1,276
Hibbett Sports (B)* 102,320 2,192
Home Solutions of America* 6,100 6
Hooker Furniture* 62,800 1,056
IAC/InterActive* 48,675 1,355
IHOP 15,611 792
Interactive Data 23,600 737
ITT Educational Services* 15,001 1,697
J Crew Group (B)* 25,400 1,220
Jack in the Box* 14,000 419
Jackson Hewitt Tax Service 78,686 2,538
Jakks Pacific* 11,800 298
Jarden (B)* 158,765 4,185
Jo-Ann Stores* 48,189 793
Jones Apparel Group 115,321 2,150
Jos. A. Bank Clothiers (B)* 34,909 904
Journal Communications, Cl A 22,332 203
KB Home (B) 18,900 395
Lear* 72,500 2,134
Leggett & Platt 52,102 1,072
Life Time Fitness (B)* 92,510 5,025
Lin TV, Cl A* 12,900 145
LKQ (B)* 153,000 6,076
Lululemon Athletica (B)* 22,600 829
Lumber Liquidators (B)* 24,000 216
Martha Stewart Living Omnimedia,
Cl A (B)* 141,000 1,431
Marvel Entertainment* 54,620 1,513
Men's Wearhouse 7,665 265
Meredith 28,400 1,563
Mohawk Industries* 7,877 634
Monarch Casino & Resort* 14,100 361
Morgans Hotel Group (B)* 107,900 1,995
Morningstar (B)* 32,877 2,675
Movado Group 18,500 512
National CineMedia* 50,645 1,402
Nautilus (B) 51,300 295
NetFlix* 11,800 273
New Oriental Education & Technology
Group ADR* 4,100 328
Newell Rubbermaid 37,080 993
NexCen Brands* 15,925 72
Nexstar Broadcasting Group, Cl A* 12,600 114
Nutri/System (B)* 62,000 1,559
NVR (B)* 3,776 1,858
O'Charleys 90,007 1,342
Orbitz Worldwide* 84,300 674
Orient-Express Hotels, Cl A 63,200 3,913
Pacific Sunwear of California* 95,642 1,567
Penn National Gaming* 60,433 3,599
Perry Ellis International* 42,592 687
PetSmart (B) 144,859 4,126
Phillips-Van Heusen 42,700 1,811
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Pinnacle Entertainment* 59,612 $ 1,636
Polaris Industries (B) 35,500 1,617
priceline.com (B)* 81,298 9,252
Quiksilver (B)* 540,200 5,726
R.H. Donnelley (B)* 51,807 2,301
RadioShack (B) 136,804 2,531
RC2* 14,300 416
Regal Entertainment Group, Cl A (B) 94,400 1,868
Regis (B) 97,938 2,878
Rent-A-Center* 100,570 1,424
Ruby Tuesday (B) 79,800 1,046
Ryland Group (B) 12,700 292
Saks (B) 162,464 3,347
Sally Beauty Holdings* 24,850 226
Sauer-Danfoss 16,684 405
Scholastic* 21,237 748
Scientific Games, Cl A* 128,100 4,149
Sealy 17,225 225
Sinclair Broadcast Group, Cl A 33,960 351
Sirius Satellite Radio* 48,869 187
Smith & Wesson Holding* 3,500 35
Sonic Automotive, Cl A (B) 33,900 783
Sotheby's Holdings 21,509 806
Spartan Motors (B) 139,500 1,392
Standard Motor Products 18,797 139
Standard-Pacific (B) 172,554 597
Starwood Hotels & Resorts Worldwide 98,400 5,282
Stoneridge* 25,300 210
Strayer Education 1,200 217
Sun-Times Media Group, Cl A 14,525 15
Talbots (B) 185,300 2,874
Tecnisa (Brazil)* 278,400 1,880
Tempur-Pedic International (B) 12,400 368
Thor Industries 48,245 1,701
Thunderbird Resorts* 148,600 1,337
Tiffany 52,100 2,419
Timberland, Cl A (B)* 126,400 2,058
Town Sports International Holdings* 14,100 142
TravelCenters of America LLC* 5,180 78
Triarc, Cl B 19,700 166
True Religion Apparel (B)* 101,300 1,765
TRW Automotive Holdings* 60,944 1,368
Tupperware Brands 98,200 3,425
Ulta Salon Cosmetics & Fragrance* 7,080 182
Under Armour, Cl A (B)* 75,125 3,732
Urban Outfitters (B)* 199,800 5,235
Valuevision Media, Cl A* 122,970 809
Virgin Media 1,300 25
Visteon* 34,350 151
Volcom (B)* 80,635 2,175
Warnaco Group* 7,380 272
Weight Watchers International 24,250 1,158
West Marine* 20,629 182
Whirlpool (B) 21,994 1,781
- --------------------------------------------------------------------------------
56 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Williams-Sonoma (B) 33,500 $ 975
WMS Industries* 59,800 1,997
Wynn Resorts (B)* 17,400 2,209
XM Satellite Radio Holdings, Cl A* 32,350 505
Zumiez (B)* 145,765 4,052
--------------
290,096
--------------
CONSUMER STAPLES -- 3.7%
Alliance One International* 175,608 725
American Oriental Bioengineering (B)* 67,000 784
Andersons 3,777 160
Asiatic Development (Malaysia)* 946,300 2,081
Avon Products 27,969 1,148
Bare Escentuals (B)* 32,000 674
BJ's Wholesale Club* 197,549 7,398
Boston Beer, Cl A* 4,357 145
Bunge 3,697 415
Casey's General Stores 14,929 433
Central Garden and Pet* 38,684 208
Central Garden and Pet, Cl A* 44,518 234
Chiquita Brands International* 19,385 372
Clorox 16,996 1,103
Corn Products International 64,705 2,545
Cosan SA Industria e Comercio
(Brazil)* 157,000 1,854
Darling International* 197,544 2,025
Dean Foods 112,805 2,813
Del Monte Foods 193,250 1,701
Elizabeth Arden* 41,684 1,002
Energizer Holdings (B)* 13,900 1,579
Fresh Del Monte Produce 40,587 1,255
Hain Celestial Group (B)* 116,911 3,867
Hansen Natural* 11,800 512
Herbalife (B) 44,094 1,846
Hershey 24,636 983
Imperial Sugar 1,126 26
Inter Parfums 66,000 1,206
JM Smucker 34,167 1,679
Lance 78,700 1,632
Loews - Carolina 24,197 2,152
Longs Drug Stores 69,435 3,675
McCormick (B) 131,880 5,039
Molson Coors Brewing, Cl B 48,346 2,603
Nash Finch (B) 87,030 3,106
NBTY* 97,339 2,908
Pantry* 23,879 687
Pepsi Bottling Group 85,910 3,666
PepsiAmericas 51,200 1,733
Performance Food Group* 16,876 467
Pilgrim's Pride 24,400 636
Prestige Brands Holdings* 8,997 75
Ralcorp Holdings* 14,080 864
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Revlon, Cl A* 161,450 $ 181
Ruddick 91,700 3,282
Seaboard 420 634
Smithfield Foods (B)* 41,717 1,254
Supervalu 53,600 2,244
TreeHouse Foods* 58,075 1,369
Tyson Foods, Cl A 39,400 587
Universal 27,249 1,463
USANA Health Sciences (B)* 2,900 121
UST 19,980 1,157
Whole Foods Market (B) 8,800 379
--------------
82,687
--------------
ENERGY -- 5.9%
Alon USA Energy 12,281 342
Approach Resources* 49,900 644
Arch Coal 2,260 86
Arena Resources* 3,942 148
Arlington Tankers (B) 91,600 1,966
Atlas America 12,854 730
ATP Oil & Gas (B)* 71,400 3,183
BA Energy PIPE (Canada)
(F) (G) (H)* 80,500 564
BA Energy, Deal #3 PIPE (Canada)
(F) (G) (H)* 26,500 186
Basic Energy Services (B)* 94,800 1,849
Berry Petroleum, Cl A 19,050 788
Bois d'Arc Energy* 48,600 953
BPZ Energy PIPE (F) (G) (H)* 185,500 2,115
BPZ Resources* 17,500 199
Bronco Drilling* 15,464 222
Cameron International* 62,741 5,849
Carrizo Oil & Gas* 50,772 2,460
Compagnie Generale de
Geophysique-Veritas ADR (B)* 63,600 3,819
Complete Production Services (B)* 85,900 1,522
Comstock Resources* 33,100 1,109
Consol Energy 702 42
Continental Resources* 38,800 924
Crosstex Energy 9,125 328
CVR Energy* 80,600 1,775
Delek US Holdings 54,900 1,012
Denbury Resources* 17,900 954
Dresser-Rand Group* 29,030 1,033
Dril-Quip (B)* 27,355 1,543
Encore Acquisition (B)* 30,900 1,006
Energy Partners* 78,750 975
Exterran Holdings* 48,394 3,873
FMC Technologies* 50,663 2,816
Foundation Coal Holdings 56,200 2,554
Frontier Oil 57,700 2,550
Global Industries* 27,406 608
GMX Resources* 5,500 176
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 57
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Grant Prideco* 142,800 $ 6,869
Grey Wolf (B)* 143,000 726
Helix Energy Solutions Group (B)* 89,700 3,641
Helmerich & Payne 50,070 1,730
Hercules Offshore* 87,700 2,193
Holly 20,100 974
Hugoton Royalty Trust* 19,425 447
Infinity Bio-Energy* 395,781 1,912
Kinder Morgan Management LLC* 10,700 536
Massey Energy 15,278 519
Matrix Service* 58,924 1,537
McMoRan Exploration* 10,600 125
Meridian Resource* 54,426 95
Murphy Oil 14,171 1,013
Nabors Industries* 27,071 728
NATCO Group, Cl A* 8,000 380
Newfield Exploration* 59,751 2,979
Oceaneering International* 37,225 2,375
Oilsands Quest (B)* 306,800 1,381
OPTI (Canada)* 121,600 2,165
Overseas Shipholding Group (B) 27,100 1,940
Parallel Petroleum* 79,104 1,515
Patterson-UTI Energy 110,000 2,073
PetroHawk Energy (B)* 262,333 4,276
Petroleum Development* 10,800 547
Pioneer Natural Resources 21,832 973
Plains Exploration & Production* 10,000 504
Quicksilver Resources* 3,600 182
Range Resources 39,155 1,593
Rentech (B)* 991,648 2,063
Rosetta Resources (B)* 37,485 686
SandRidge Energy (B)* 3,000 95
SEACOR Holdings* 20,700 1,875
Southwestern Energy* 67,374 3,353
StealthGas 96,900 1,580
Stone Energy (B)* 35,800 1,618
Sunoco (B) 36,200 2,429
Superior Energy Services* 75,134 2,622
Superior Well Services (B)* 91,000 1,764
Swift Energy* 88,367 3,580
Synenco Energy (Canada) (F) (G) (H)* 12,051 90
Synenco Energy, Cl A (Canada)* 227,100 1,693
Tesoro 92,536 4,551
Tetra Technologies* 19,425 307
Tidewater 9,841 481
Transmontaigne Partners LP* 3,100 96
Union Drilling* 7,600 97
Unit* 42,275 1,891
Uranium One (Canada)* 101,086 938
US BioEnergy (B)* 56,400 512
USEC* 28,196 231
Vaalco Energy* 11,000 48
W&T Offshore 38,675 1,021
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
W-H Energy Services* 11,057 $ 558
Western Refining 18,700 540
Williams 15,325 532
World Fuel Services 48,780 1,543
--------------
133,625
--------------
FINANCIALS -- 19.3%
Acadia Realty Trust+ 59,700 1,575
Advance America Cash Advance
Centers 121,568 1,109
Advanta, Cl B (B) 65,323 654
Affiliated Managers Group (B)* 98,961 12,296
Alesco Financial+* 70,000 260
Alexandria Real Estate Equities+ (B) 44,410 4,362
AllianceBernstein Holding LP 2,129 174
AMB Property+ (B) 54,100 3,309
AmCOMP* 181,300 1,793
Amcore Financial 70,182 1,649
American Equity Investment
Life Holding 42,133 380
American Financial Group 218,456 6,383
American Financial Realty Trust+ 284,800 2,298
American Home Mortgage
Investment+ (B) 24,600 1
American Physicians Capital 8,100 340
AmeriCredit (B)* 53,300 611
Amerisafe* 63,250 965
Amtrust Financial Services 21,573 274
Anchor Bancorp Wisconsin 19,800 503
Annaly Capital Management+ 252,402 4,344
Anthracite Capital+ (B) 102,052 780
AON 54,800 2,738
Arbor Realty Trust+ 12,204 209
Arch Capital Group* 42,452 2,962
Ashford Hospitality Trust+ 165,600 1,282
Aspen Insurance Holdings (B) 94,500 2,722
Associated Banc (B) 99,501 2,707
Assurant (B) 37,745 2,470
Assured Guaranty 45,777 1,033
Astoria Financial 30,300 759
AvalonBay Communities+ (B) 49,200 4,892
Axis Capital Holdings 37,600 1,434
BancFirst 2,700 126
Banco Latinoamericano de
Exportaciones* 80,200 1,432
Bancorpsouth 23,101 565
Bank Mutual 57,361 580
Bank of Hawaii 39,300 2,046
Bank of the Ozarks (B) 5,300 154
Bankunited Financial, Cl A (B) 247,951 1,979
BlackRock 6,767 1,342
Blackstone Group LP (B)* 164,600 3,621
BOK Financial 12,707 696
- --------------------------------------------------------------------------------
58 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Boston Properties+ (B) 55,800 $ 5,492
Brandywine Realty Trust+ 95,700 1,962
Brasil Brokers Participacoes* 2,800 1,812
Calamos Asset Management, Cl A 62,684 1,856
Camden Property Trust+ (B) 17,300 910
Canaccord Capital (Canada)* 91,900 1,459
CapitalSource+ 163,940 2,748
Capstead Mortgage+ 87,800 1,071
Cardinal Financial 40,355 387
Cash America International 83,748 3,013
CBL & Associates Properties+ 30,756 888
Center Financial 5,500 68
Chemical Financial (B) 29,400 738
Chimera Investment* 81,308 1,261
CIT Group 33,100 880
City Bank 8,826 184
City Holding 6,500 234
CME Group 3,042 2,003
CNA Surety* 6,000 124
Colonial BancGroup 140,977 2,244
Commerce Group 36,000 1,294
Community Bancorp* 6,258 113
Community Bank System 68,400 1,380
Companhia Brasileira de
Desenvolvimento Imobiliari
Turistico (Brazil)* 3,600 1,648
Corporate Office Properties Trust+ 129,100 4,663
Corus Bankshares 71,395 678
Cullen/Frost Bankers 59,900 3,151
Darwin Professional Underwriters* 5,200 120
Delphi Financial Group, Cl A (B) 22,100 850
Digital Realty Trust+ 26,287 1,003
Dime Community Bancshares 91,399 1,240
Discover Financial Services* 35,075 609
Dollar Financial (B)* 68,900 2,059
Downey Financial (B) 20,700 861
Dundee (Canada)+* 39,300 1,432
Dundee (Canada)+ 4,000 146
DuPont Fabros Technology (B)* 80,140 1,503
E*Trade Financial* 212,128 976
East West Bancorp (B) 92,105 2,482
Eaton Vance 175,630 7,686
Education Realty Trust+ 34,341 412
EMC Insurance Group 19,225 468
Employers Holdings 48,609 865
Endurance Specialty Holdings (B) 101,615 4,104
Equity Lifestyle Properties+ 10,847 503
Equity One+ 29,217 692
Equity Residential+ (B) 168,400 6,266
Essex Property Trust+ 29,900 3,102
Evercore Partners, Cl A 71,300 1,495
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Everest Re Group 26,000 $ 2,728
Extra Space Storage+ (B) 162,500 2,317
Ezcorp, Cl A* 55,900 702
FCStone Group* 32,455 1,370
Federal Realty Investment Trust+ 46,251 3,848
Federated Investors, Cl B 150,633 6,144
FelCor Lodging Trust+ 8,200 144
Financial Federal (B) 37,300 824
First Cash Financial Services* 142,200 2,417
First Financial Bancorp 52,812 606
First Financial Bankshares (B) 2,100 82
First Horizon National (B) 102,217 2,257
First Industrial Realty Trust+ 600 22
First Marblehead (B) 56,083 1,683
First Mercury Financial* 61,258 1,300
First Midwest Bancorp (B) 129,400 4,231
First Niagara Financial Group 65,100 809
FirstFed Financial (B)* 82,093 2,875
FirstMerit 31,212 643
Fortress Investment Group LLC (B)* 112,300 2,045
Fremont General (B) 31,200 78
Friedman Billings Ramsey Group,
Cl A+ (B) 61,700 184
Frontier Financial (B) 30,400 582
GAMCO Investors, Cl A 2,200 117
General Shopping Brasil (Brazil)* 228,900 2,188
GFI Group* 7,000 682
Gluskin Sheff + Associates (Canada)* 70,100 1,773
GMP Capital Trust (Canada) 77,000 1,810
Gramercy Capital+ (B) 36,800 875
Great Southern Bancorp (B) 2,500 56
Greenhill (B) 39,368 2,846
Grubb & Ellis (B)* 59,500 307
Grubb & Ellis Realty Advisors* 329,750 2,061
Hallmark Financial Services* 3,800 57
Hancock Holding (B) 40,764 1,598
Hanmi Financial (B) 15,200 146
Hanover Insurance Group 103,268 4,657
HCP+ (B) 83,600 2,796
Health Care+ (B) 53,200 2,384
Hercules Technology Growth Capital 173,016 2,043
Hersha Hospitality Trust+ 222,200 2,262
Highbury Financial (B)* 29,800 139
Highbury Financial Units* 63,600 350
Home Bancshares (B) 52,300 1,048
Horace Mann Educators 95,350 1,865
Horizon Financial 3,700 64
Hospitality Properties Trust+ 93,600 3,420
Host Hotels & Resorts+ (B) 93,300 1,790
HRPT Properties Trust+ 169,700 1,405
Huntington Bancshares 99,500 1,561
IMPAC Mortgage Holdings+ (B) 59,700 36
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 59
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Imperial Capital Bancorp 5,879 $ 134
IndyMac Bancorp (B) 71,460 682
Infinity Property & Casualty 15,154 592
IntercontinentalExchange (B)* 14,149 2,362
Investors Real Estate Trust+ (B) 163,200 1,642
IPC Holdings 87,300 2,581
Irwin Financial 33,700 274
Jefferies Group 119,800 3,062
Jones Lang LaSalle (B) 29,961 2,519
Kansas City Life Insurance 25,500 1,150
KBW (B)* 66,800 1,764
Kilroy Realty+ 12,800 715
KKR Financial Holdings 61,300 934
LandAmerica Financial Group (B) 24,700 650
Lazard, Cl A 32,487 1,581
Legg Mason 13,406 1,023
Leucadia National 5,400 254
Macerich+ (B) 49,700 3,859
Mack-Cali Realty+ 114,600 4,090
Maguire Properties+ 6,500 164
MarketAxess Holdings* 61,065 877
Marsh & McLennan 90,361 2,270
MCG Capital 181,800 2,054
Meruelo Maddux Properties* 273,100 1,147
MFA Mortgage Investments+ 313,948 2,756
MGIC Investment (B) 44,581 1,049
Mid-America Apartment
Communities+ 12,910 623
Move* 516,525 1,214
MSCI, Cl A* 69,790 1,930
MVC Capital 124,600 2,002
NASDAQ Stock Market (B)* 54,958 2,383
National Financial Partners 30,550 1,387
National Interstate 4,000 132
National Retail Properties+ (B) 59,902 1,467
Nationwide Financial Services, Cl A 46,500 2,081
Nationwide Health Properties+ 2,619 82
Navigators Group* 10,909 640
Nelnet, Cl A 91,220 1,258
New York Community Bancorp (B) 290,898 5,414
NewAlliance Bancshares 58,071 749
NNN Realty Advisors (F) (G) (H)* 237,000 1,422
NorthStar Realty Finance+ (B) 114,681 1,052
NYSE Euronext 7,225 626
Och-Ziff Capital Management
Group LLC (B)* 87,700 2,162
Ocwen Financial* 55,463 311
Old National Bancorp (B) 50,500 807
Old Second Bancorp (B) 7,800 207
Omega Healthcare Investors+ 7,319 118
optionsXpress Holdings 89,631 2,726
Pacific Capital Bancorp 7,106 146
PartnerRe 7,180 593
PennantPark Investment* 95,800 1,101
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
People's United Financial (B) 216,888 $ 3,681
PFF Bancorp (B) 30,814 290
Philadelphia Consolidated Holding* 60,800 2,589
Piper Jaffray (B)* 87,700 4,062
Platinum Underwriters Holdings 120,822 4,388
PMI Group (B) 45,015 596
Portfolio Recovery Associates (B) 42,900 1,728
Post Properties+ (B) 58,400 2,121
Potlatch+ 2,086 96
Preferred Bank 5,400 144
Presidential Life 20,700 357
ProAssurance* 17,288 948
Prologis+ (B) 117,900 7,713
Public Storage+ 70,079 5,420
Radian Group (B) 34,500 391
Rainier Pacific Financial Group 8,241 122
RAIT Financial Trust+ (B) 211,248 1,827
Ram Holdings Ltd* 120,100 697
Realty Income+ (B) 90,589 2,582
Reinsurance Group of America 33,214 1,797
Safeco (B) 48,100 2,776
Safety Insurance Group 22,696 829
SeaBright Insurance Holdings* 25,000 388
Sierra Bancorp (B) 2,200 55
Signature Bank* 17,522 649
Simon Property Group+ (B) 77,100 7,591
SL Green Realty+ (B) 43,500 4,520
South Financial Group (B) 100,383 1,799
St. Joe 81,021 2,305
Stancorp Financial Group 22,500 1,172
Sterling Bancshares (B) 149,500 1,845
Strategic Hotels & Resorts+ (B) 235,939 4,320
Sunstone Hotel Investors+ 121,900 2,828
Superior Bancorp* 42,650 255
SVB Financial Group (B)* 66,575 3,427
SWS Group 29,248 397
SY Bancorp (B) 2,500 59
T. Rowe Price Group 6,836 420
Taubman Centers+ 55,500 2,971
Taylor Capital Group 6,397 142
TCF Financial (B) 149,115 2,894
TD Ameritrade Holding* 45,224 845
Texas Capital Bancshares* 4,200 89
Thomas Weisel Partners Group* 48,200 662
Thornburg Mortgage+ (B) 114,881 1,225
Titanium Asset* 105,000 591
Tompkins Trustco (B) 4,800 204
TradeStation Group* 112,600 1,343
Transatlantic Holdings 3,723 277
Triad Guaranty* 4,711 41
Trico Bancshares 3,300 70
Triplecrown Acquisition* 173,413 1,731
Trustmark 54,300 1,382
UCBH Holdings 2,461 40
- --------------------------------------------------------------------------------
60 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
UMB Financial 6,826 $ 257
UnionBanCal 62,641 3,382
United Bankshares 38,400 1,193
Unitrin 37,200 1,721
Universal American Financial* 15,433 368
Universal Health Realty Income
Trust+ 6,836 225
UnumProvident (B) 159,604 3,965
Ventas+ (B) 130,176 5,676
ViewPoint Financial Group 11,300 201
Wachovia 2 --
Waddell & Reed Financial, Cl A 40,853 1,396
Washington Federal 83,170 1,952
Webster Financial 21,992 741
Weingarten Realty Investors+ (B) 104,100 3,711
West Coast Bancorp 6,200 124
Westamerica Bancorporation 28,066 1,319
Whitney Holding 7,000 192
Willis Group Holdings 23,835 952
Wilshire Bancorp 15,200 142
Winthrop Realty Trust+ (B) 33,000 176
Wintrust Financial 30,664 1,083
World Acceptance (B)* 80,688 2,547
WR Berkley 56,300 1,722
WSFS Financial 2,700 151
Zenith National Insurance 27,328 1,149
--------------
438,025
--------------
HEALTH CARE -- 10.7%
Abaxis (B)* 57,647 1,912
Abraxis Bioscience (B)* 35,150 2,074
Acadia Pharmaceuticals (B)* 60,000 680
Achillion Pharmaceuticals* 109,535 544
Acorda Therapeutics* 39,755 744
Adams Respiratory Therapeutics (B)* 74,725 3,224
Affymax (B)* 6,000 153
Affymetrix (B)* 146,900 3,063
Air Methods* 10,335 544
Albany Molecular Research* 31,127 411
Alexion Pharmaceuticals* 15,630 1,137
Align Technology* 19,544 330
Alkermes* 159,000 2,267
Alpharma, Cl A 5,602 118
American Dental Partners* 10,230 204
AMERIGROUP* 10,000 344
Amsurg (B)* 81,179 2,099
Analogic 3,505 189
APP Pharmaceuticals (B)* 181,400 2,131
Apria Healthcare Group (B)* 106,647 2,311
Arena Pharmaceuticals (B)* 196,600 1,720
Ariad Pharmaceuticals (B)* 308,900 1,390
Array Biopharma (B)* 91,330 1,011
Axcan Pharma* 187,457 4,233
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Barr Pharmaceuticals* 53,600 $ 2,878
Beckman Coulter 15,590 1,103
BioMarin Pharmaceuticals (B)* 66,910 1,840
Bradley Pharmaceuticals* 17,639 347
Cadence Pharmaceuticals (B)* 51,194 689
Cell Genesys (B)* 247,000 576
Centene* 4,400 110
Cephalon (B)* 113,824 8,528
Charles River Laboratories
International* 11,400 724
Chemed 17,419 943
Collagenex Pharmaceuticals* 49,690 396
Computer Programs & Systems 43,499 969
Conmed* 52,046 1,295
Cooper 62,251 2,679
Corvel* 3,750 87
Covance* 48,870 4,268
Coventry Health Care* 35,900 2,078
Cubist Pharmaceuticals (B)* 249,248 5,294
CV Therapeutics (B)* 511,300 4,459
Cynosure, Cl A (B)* 55,906 1,660
DaVita* 30,900 1,915
Dentsply International 80,941 3,463
Discovery Laboratories (B)* 342,636 1,000
Eclipsys* 58,902 1,367
Emergency Medical Services, Cl A* 10,837 333
Encysive Pharmaceuticals (B)* 486,900 326
Endo Pharmaceuticals Holdings* 129,703 3,555
eResearch Technology (B)* 119,800 1,421
Exelixis (B)* 222,900 1,946
Express Scripts* 39,854 2,700
Forest Laboratories* 2,300 89
Gen-Probe* 9,974 667
Genzyme* 24,648 1,847
Geron (B)* 67,700 438
Greatbatch* 28,088 578
GTx* 4,000 57
Health Net* 57,397 2,788
HealthExtras* 59,390 1,578
Healthspring* 63,828 1,206
Healthways (B)* 65,593 3,829
Henry Schein* 3,798 225
HLTH* 5,400 76
Hologic (B)* 30,221 2,006
Human Genome Sciences (B)* 245,100 2,551
I-Flow* 146,767 2,447
Idexx Laboratories* 11,402 690
Illumina (B)* 84,025 4,856
ImClone Systems* 15,954 719
Immucor (B)* 18,639 618
IMS Health 46,405 1,084
Incyte (B)* 325,200 2,790
Indevus Pharmaceuticals* 53,075 398
InterMune (B)* 23,800 387
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 61
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Intuitive Surgical* 15,311 $ 5,017
Invacare 29,872 777
Inverness Medical Innovations* 16,689 979
Invitrogen (B)* 41,300 4,007
Kendle International* 18,285 789
Kindred Healthcare (B)* 35,124 863
Kinetic Concepts (B)* 43,600 2,557
King Pharmaceuticals* 195,415 2,069
LHC Group* 57,815 1,480
Lifecell (B)* 52,500 2,129
Lincare Holdings (B)* 106,299 3,634
Magellan Health Services* 147,963 6,725
MannKind* 61,260 576
Manor Care (B) 27,521 1,778
Martek Biosciences (B)* 52,811 1,366
Matria Healthcare* 22,507 511
Medarex (B)* 543,400 6,901
Medcath* 25,578 650
Medicines* 58,300 1,031
Medicis Pharmaceutical, Cl A (B) 64,600 1,738
Medtox Scientific* 8,027 146
Metabolix (B)* 88,300 1,900
MGI Pharma* 21,100 730
Micrus Endovascular (B)* 92,717 1,698
Millipore (B)* 14,490 1,186
MWI Veterinary Supply (B)* 72,262 3,041
Mylan Laboratories (B) 182,413 2,623
NuVasive* 21,429 912
Odyssey HealthCare* 228,470 2,285
Omnicare 73,698 1,878
Omnicell* 9,490 250
Omrix Biopharmaceuticals* 53,680 1,792
Orthofix International* 7,956 465
OSI Pharmaceuticals (B)* 31,600 1,473
Owens & Minor 43,491 1,708
Par Pharmaceutical* 9,163 176
Patterson* 63,314 2,037
PDL BioPharma (B)* 85,798 1,519
Pediatrix Medical Group* 37,915 2,452
PerkinElmer 121,910 3,326
PharmaNet Development Group* 4,092 162
PharMerica (B)* 4,682 69
Pozen (B)* 20,900 218
PRA International* 28,358 859
Profarma Distribuidora de Produtos
Farmaceuticos (Brazil)* 80,300 1,652
PSS World Medical (B)* 127,135 2,438
Regeneron Pharmaceuticals (B)* 93,400 2,034
Res-Care* 16,509 376
Resmed* 46,266 2,119
Respironics* 45,983 2,265
Rigel Pharmaceuticals (B)* 131,300 940
Sciele Pharma (B)* 91,335 2,039
Sepracor* 3,300 88
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Sirona Dental Systems* 25,350 $ 686
Somanetics* 37,101 742
Spectranetics* 98,292 1,491
Symmetry Medical* 35,657 600
Techne* 20,044 1,306
Theravance* 43,340 1,044
TomoTherapy* 65,495 1,218
United Therapeutics (B)* 51,000 5,104
Universal Health Services, Cl B 50,462 2,571
VCA Antech* 32,337 1,327
Ventana Medical Systems* 15,885 1,411
Vertex Pharmaceuticals* 12,500 317
Viropharma (B)* 32,200 288
Warner Chilcott, Cl A* 64,100 1,170
Waters* 5,625 439
Watson Pharmaceuticals* 213,718 6,264
WellCare Health Plans* 19,146 745
West Pharmaceutical Services 12,837 482
--------------
243,344
--------------
INDUSTRIALS -- 13.9%
ABM Industries 6,826 139
ABX Air* 28,677 128
ACCO Brands* 66,925 1,118
Accuride* 1,529 12
Actuant, Cl A 26,694 845
Acuity Brands (B) 16,900 667
Administaff 11,221 367
Aegean Marine Petroleum
Network (B)* 44,995 1,800
AGCO (B)* 110,258 7,601
Alaska Air Group (B)* 89,219 2,260
Albany International, Cl A 49,652 1,920
Alexander & Baldwin 11,937 613
Allen-Vanguard* 136,900 1,171
Alliant Techsystems (B)* 21,076 2,462
Allied Waste Industries* 163,100 1,861
Altra Holdings* 68,800 1,103
Amerco* 2,049 134
American Commercial Lines (B)* 127,278 2,213
American Ecology 114,100 2,538
American Woodmark (B) 79,333 1,537
Ametek 42,980 1,891
AO Smith 65,150 2,306
Apogee Enterprises 132,300 2,940
Applied Industrial Technologies 40,700 1,230
Arkansas Best (B) 18,500 422
ASV* 2,900 34
Avis Budget Group* 93,607 1,407
Badger Meter 811 32
BE Aerospace* 138,310 6,501
Belden CDT 47,550 2,190
Blount International* 12,825 157
- --------------------------------------------------------------------------------
62 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Brady, Cl A 22,154 $ 887
Briggs & Stratton 105,200 2,399
Brink's 96,700 6,187
Bucyrus International, Cl A 4,625 406
Ceradyne (B)* 32,441 1,604
Chicago Bridge & Iron 124,351 6,609
ChoicePoint* 7,800 295
Cintas 28,814 922
CIRCOR International 12,879 559
Clarcor 62,850 2,238
Clean Harbors* 11,369 611
Columbus McKinnon* 26,515 825
COMSYS IT Partners* 14,500 194
Con-way 38,700 1,636
Continental Airlines, Cl B (B)* 112,260 3,160
Copart* 33,400 1,248
Corrections of America* 190,360 5,808
CoStar Group (B)* 75,778 3,652
CRA International (B)* 41,500 1,920
Crane 57,545 2,586
Cubic (B) 6,600 261
Cummins 16,800 1,964
Curtiss-Wright 44,852 2,419
Delta Air Lines* 53,700 1,061
Deluxe (B) 66,343 2,096
Donaldson 25,900 1,212
Duff & Phelps* 70,590 1,407
Dun & Bradstreet 37,766 3,370
Dynamic Materials 74,500 4,728
DynCorp International, Cl A* 5,251 110
EDO 17,925 1,001
EMCOR Group (B)* 135,884 3,620
EnergySolutions (B)* 24,500 584
EnPro Industries* 55,981 1,713
Equifax 38,114 1,419
ESCO Technologies* 8,700 322
Esterline Technologies* 44,171 2,307
ExpressJet Holdings (B)* 65,000 162
Federal Signal 30,098 346
First Solar* 2,500 593
Flow International (B)* 245,000 1,935
Fluor 3,161 465
Force Protection (F) (G) (H)* 132,500 1,432
Force Protection (B)* 55,000 595
Forward Air 75,060 2,430
Freightcar America 8,700 296
G&K Services 9,239 376
Gardner Denver* 51,000 1,689
Genco Shipping & Trading (B) 13,300 842
GenCorp* 61,025 738
General Cable (B)* 61,870 4,602
Genlyte Group (B)* 18,400 1,734
Geo Group* 90,701 2,309
GeoEye* 36,300 1,151
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Global Cash Access (B)* 48,100 $ 167
Goodrich 30,453 2,171
GrafTech International (B)* 89,692 1,441
Griffon (B)* 24,600 318
H&E Equipment Services* 129,025 2,228
Harsco 14,800 889
Heartland Express 78,230 1,137
Heico, Cl A 49,910 1,996
Herman Miller 11,400 313
Hertz Global Holdings* 90,400 1,727
Honeywell International 10,165 576
Horizon Lines, Cl A 95,815 1,908
Hubbell, Cl B 17,878 982
Hurco* 1,400 58
IDEX 10,345 369
IHS, Cl A* 61,353 4,303
IKON Office Solutions (B) 156,300 1,974
Innerworkings (B)* 168,264 2,667
Interface, Cl A 23,866 416
Ionatron* 4,100 14
JA Solar Holdings ADR* 78,023 4,630
Jacobs Engineering Group* 16,344 1,369
JB Hunt Transport Services (B) 65,000 1,709
Joy Global 5,520 320
Kadant* 14,786 436
Kaman 12,404 396
Kansas City Southern* 13,473 464
Kaydon (B) 40,644 2,057
Kennametal 23,209 1,811
Kirby* 9,911 476
Knoll 64,843 1,133
Ladish* 11,869 524
Landstar System (B) 36,390 1,448
LB Foster, CL A* 4,403 202
Lennox International 91,000 3,079
Lincoln Electric Holdings 9,259 646
Manitowoc 76,200 3,341
Michael Baker* 26,655 931
Middleby (B)* 34,100 2,588
Monster Worldwide* 51,900 1,753
Moog, Cl A* 33,356 1,504
Mueller Industries 39,900 1,206
NCI Building Systems (B)* 65,000 2,231
Nuco2* 78,755 2,172
Old Dominion Freight Line* 54,680 1,232
Orbital Sciences (B)* 125,600 3,022
Orion Marine Group (F) (G) (H)* 116,900 1,666
Oshkosh Truck 74,565 3,586
Pall (B) 50,854 1,945
Perini* 72,665 3,865
Pinnacle Airlines (B)* 28,700 467
Pitney Bowes 26,304 1,013
Quanta Services (B)* 141,065 3,862
Republic Airways Holdings (B)* 48,000 964
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 63
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Republic Services 55,860 $ 1,853
Resources Connection 92,165 1,900
Rockwell Automation 1,025 70
RR Donnelley & Sons 26,405 968
RSC Holdings (B)* 209,800 2,576
Ryder System 17,100 741
School Specialty* 16,573 591
Sequa, Cl A* 1,271 222
Shaw Group* 26,890 1,705
Simpson Manufacturing 20,765 553
Skywest 11,607 305
Spirit Aerosystems Holdings, Cl A* 233,945 8,176
SPX 14,200 1,445
Standard Parking* 6,620 307
Standard Register 23,168 280
Steelcase, Cl A 311,872 4,719
Sunpower, Cl A (B)* 24,898 3,098
Superior Essex (B)* 37,842 918
TAL International Group (B) 74,900 1,696
Taleo, Cl A* 118,299 3,340
Taser International (B)* 112,699 1,579
TBS International, Cl A* 11,500 502
Teledyne Technologies (B)* 38,953 2,112
Teleflex 14,499 875
TeleTech Holdings* 31,100 644
Terex* 20,730 1,336
Tetra Tech (B)* 54,672 1,133
Textainer Group ADR 135,200 2,210
Thomas & Betts* 23,200 1,261
Timken 76,575 2,442
Tredegar 30,491 441
Trinity Industries (B) 86,500 2,189
UAL* 28,045 1,148
UAP Holding (B) 103,575 3,098
United Rentals (B)* 39,000 908
United Stationers* 67,160 3,402
United Technologies 14,054 1,051
URS (B)* 124,901 7,181
Wabtec 135,429 4,596
Walter Industries 69,766 2,420
Waste Connections* 87,731 2,792
Waste Industries USA 5,600 189
Watson Wyatt Worldwide, Cl A (B) 28,500 1,312
Watts Water Technologies, Cl A 13,924 407
WESCO International* 22,835 924
Woodward Governor 48,500 3,324
WW Grainger 12,000 1,060
YRC Worldwide (B)* 40,500 717
--------------
315,052
--------------
INFORMATION TECHNOLOGY -- 18.3%
ACI Worldwide (B)* 41,771 954
Activision* 335,396 7,429
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
ADC Telecommunications (B)* 63,164 $ 1,046
Advanced Analogic Technologies* 164,979 1,777
Akamai Technologies* 39,473 1,502
AMIS Holdings (B)* 53,061 407
Amkor Technology (B)* 234,200 1,930
Anadigics (B)* 94,557 1,041
Ansys* 25,687 998
Arris Group* 314,671 3,282
Arrow Electronics (B)* 93,476 3,460
AsiaInfo Holdings* 10,566 125
Aspen Technology (B)* 25,500 432
Asyst Technologies* 431,900 1,486
Atmel* 1,024,358 4,497
ATMI (B)* 126,368 3,802
Avnet* 115,958 4,001
Avocent* 129,945 3,236
AVX 96,437 1,382
Baidu.com ADR* 4,037 1,542
Bankrate (B)* 78,621 3,077
Black Box 40,193 1,479
Blackboard* 6,900 269
BMC Software* 104,820 3,467
Brightpoint* 14,147 235
Broadcom, Cl A* 759 20
Broadridge Financial Solutions* 41,700 949
CACI International, Cl A* 43,198 1,961
Captaris* 20,191 82
Checkpoint Systems* 31,234 742
China Digital TV ADR (B)* 68,600 2,145
Chordiant Software* 92,000 923
Cirrus Logic* 40,473 231
Citrix Systems* 98,342 3,637
CMGI* 8,996 93
CNET Networks (B)* 107,000 811
Coherent* 27,323 786
CommScope* 13,100 531
Commvault Systems* 68,600 1,528
Computer Sciences* 49,850 2,633
Comtech Group (B)* 20,000 355
Comtech Telecommunications* 20,995 1,043
Comverge (B)* 35,431 1,115
Concur Technologies (B)* 126,676 4,758
Convergys* 277,152 4,520
CPI International* 6,500 109
Credence Systems* 430,426 882
Cree* 8,464 208
CSG Systems International (B)* 153,210 2,539
CTS (B) 129,761 1,372
Cybersource* -- --
Cymer* 96,715 3,972
Cypress Semiconductor* 118,345 3,931
Daktronics (B) 109,990 2,566
Data Domain (B)* 103,200 2,660
DealerTrack Holdings (B)* 74,003 3,148
- --------------------------------------------------------------------------------
64 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Dice Holdings (B)* 42,400 $ 419
Diebold 49,928 1,696
Diodes (B)* 64,856 1,908
Dolby Laboratories, Cl A* 13,300 668
DSP Group* 139,500 1,887
DST Systems* 12,442 1,054
DTS* 62,585 1,549
Dycom Industries* 5,200 146
EFJ* 109,000 319
Electronic Arts* 72,075 4,050
Electronics for Imaging (B)* 119,953 2,752
Elixir Gaming Technologies* 231,335 911
Emergis (Canada)* 197,300 1,617
Emulex (B)* 65,985 1,105
EPIQ Systems* 51,850 903
Equinix (B)* 55,042 5,730
Euronet Worldwide (B)* 79,385 2,601
F5 Networks* 120,200 3,176
Factset Research Systems 36,782 2,305
Fair Isaac (B) 10,000 370
Flextronics International* 493,900 5,907
Flir Systems* 13,190 907
Foundry Networks (B)* 114,100 2,012
Gevity HR 75,900 323
Giant Interactive Group ADR (B)* 171,600 1,853
Global Payments 5,900 255
Glu Mobile (B)* 90,394 494
Greenfield Online* 46,819 704
Harmonic* 128,900 1,337
Harris Stratex Networks, Cl A* 82,000 1,412
Heartland Payment Systems 26,650 860
Hewitt Associates, Cl A* 56,272 2,110
Hutchinson Technology (B)* 74,700 1,965
Imation (B) 109,200 2,192
Immersion (B)* 37,300 490
Informatica (B)* 109,800 1,883
Information Services Group* 189,905 1,278
Integrated Device Technology* 112,600 1,366
InterDigital (B)* 63,600 1,145
Intermec* 10,453 224
International Rectifier* 4,989 162
Internet Brands, Cl A* 300,000 2,325
Intersil, Cl A 150,500 3,753
Intuit* 49,200 1,443
IPG Photonics* 81,510 1,659
Itron* 12,344 957
Jack Henry & Associates (B) 22,200 594
JDA Software Group (B)* 82,800 1,734
Juniper Networks* 80,399 2,389
Jupitermedias* 194,500 834
Keynote Systems* 172,805 2,378
Kulicke & Soffa Industries (B)* 136,598 967
L-1 Identity Solutions (B)* 20,541 382
Lam Research* 2,819 129
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Lawson Software (B)* 443,044 $ 4,306
LDK Solar ADR (B)* 9,500 281
Lexmark International, Cl A* 99,181 3,459
Liquidity Services* 90,462 1,080
Littelfuse* 27,156 906
LoJack* 17,400 305
Longtop Financial Technologies
ADR (B)* 13,200 331
LoopNet* 56,607 869
LSI Logic* 103,000 572
LTX* 65,606 157
Manhattan Associates* 63,188 1,714
Mantech International, Cl A* 7,200 279
Mastec (B)* 101,607 1,027
Mattson Technology* 4,800 40
MAXIMUS 15,840 618
McAfee* 31,523 1,228
MEMC Electronic Materials* 6,300 489
Methode Electronics (B) 208,787 2,516
Mettler Toledo International* 40,586 4,723
Micron Technology (B)* 114,100 949
Micros Systems* 51,916 3,745
Microsemi (B)* 343,075 7,850
MicroStrategy, Cl A* 2,005 202
Microtune* 32,150 167
MIPS Technologies (B)* 332,200 1,887
MKS Instruments (B)* 35,500 645
Molex 71,541 1,972
Monolithic Power Systems* 50,505 964
MTS Systems 8,113 333
National Semiconductor (B) 81,200 1,856
NCR* 13,725 329
Net 1 UEPS Technologies (B)* 45,551 1,410
Netlogic Microsystems* 3,200 94
Neutral Tandem* 10,990 201
Novatel* 36,700 1,832
Novatel Wireless (B)* 48,100 747
Novellus Systems (B)* 69,100 1,797
Nuance Communications (B)* 296,521 5,984
Omniture (B)* 173,480 4,929
ON Semiconductor (B)* 203,721 1,872
OSI Systems* 52,000 1,289
Palm (B)* 154,400 1,076
Parametric Technology (B)* 141,892 2,370
Park Electrochemical 56,700 1,670
Parkervision (B)* 99,250 976
Parkervision* 35,500 349
PC Connection (B)* 13,000 166
Perceptron* 94,075 1,067
Perficient (B)* 79,821 1,339
Pericom Semiconductor* 92,609 1,534
Perot Systems, Cl A* 66,980 881
Plantronics 21,922 589
Plexus (B)* 93,726 2,789
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 65
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
PMC - Sierra (B)* 413,100 $ 2,900
Polycom (B)* 400,500 9,720
Power Integrations* 88,120 2,651
Powerwave Technologies* 105,897 438
QLogic* 75,000 1,014
RealNetworks* 26,700 165
Red Hat (B)* 408,100 8,170
RF Micro Devices (B)* 814,336 4,707
Richardson Electronics 22,730 148
Riverbed Technology* 87,947 2,487
Rudolph Technologies* 111,000 1,326
S1* 31,659 235
Salary.com* 87,733 1,176
Salesforce.com (B)* 66,123 3,751
SanDisk* 7,057 264
Satyam Computer Services ADR* 104,400 2,731
SAVVIS* 70,170 2,248
Seachange International* 149,500 1,127
Secure Computing* 22,071 200
Sierra Wireless (B)* 47,500 764
Sigma Designs (B)* 24,586 1,599
Silicon Laboratories* 11,997 446
Sirf Technology Holdings (B)* 216,559 5,217
SkillSoft ADR* 232,799 2,256
Skyworks Solutions* 374,100 3,397
Solera Holdings* 225,240 5,183
SRA International, Cl A* 30,308 829
Standard Microsystems* 3,964 140
Stratasys (B)* 77,943 1,948
Sun Microsystems* 63,409 1,318
Sybase (B)* 414,610 10,631
SYKES Enterprises* 175,900 3,247
Synchronoss Technologies* 20,735 683
SYNNEX* 7,578 157
Synopsys* 155,194 3,819
Tech Data* 71,800 2,700
Technitrol* 66,200 1,772
TechTarget* 50,470 689
Teradata* 13,500 350
Teradyne* 134,955 1,470
Terremark Worldwide* 279,580 1,568
THQ (B)* 124,500 3,044
TNS 21,311 335
Trina Solar ADR (B)* 59,200 2,537
Triquint Semiconductor* 395,300 2,344
TTM Technologies (B)* 167,000 2,019
Ultimate Software Group* 47,460 1,550
Ultra Clean Holdings* 21,837 314
United Online (B) 201,700 3,034
Universal Display (B)* 106,825 1,769
Varian Semiconductor Equipment
Associates* 59,425 2,467
Vasco Data Security International* 60,530 1,358
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Veeco Instruments* 32,950 $ 553
VeriFone Holdings (B)* 75,429 3,623
VeriSign* 103,038 4,214
Vignette (B)* 81,950 1,260
Virtusa* 90,399 1,597
VistaPrint (B)* 83,359 3,701
Vocus (B)* 38,508 1,209
Western Digital* 154,600 4,272
Wind River Systems (B)* 418,700 4,275
Wright Express* 92,391 3,506
Xyratex* 41,394 610
Zoran* 69,360 1,513
Zygo* 114,620 1,294
--------------
415,494
--------------
MATERIALS -- 5.2%
Airgas 40,474 2,003
AK Steel Holding* 73,567 3,279
Albemarle 14,700 649
Allegheny Technologies 27,000 2,639
AM Castle (B) 41,002 1,029
Apex Silver Mines* 28,125 480
Aptargroup 7,054 298
Arch Chemicals 10,600 436
Ashland 99,275 4,888
Ball 34,352 1,589
Bemis 47,810 1,297
Buckeye Technologies (B)* 207,499 2,963
Cabot 62,918 2,166
Carpenter Technology 36,728 2,771
Celanese, Ser A 159,097 6,313
CF Industries Holdings 19,762 1,798
Cleveland-Cliffs (B) 25,300 2,282
Commercial Metals 100,865 3,118
Domtar* 139,253 1,058
Eastman Chemical 39,400 2,530
Esmark* 114,600 2,223
Ferro 21,384 453
FMC 99,854 5,464
Frontera Copper (Canada)* 248,000 1,506
Greif, Cl A 38,577 2,279
Grupo Simec SAB de CV ADR (B)* 163,083 1,561
H.B. Fuller (B) 81,200 2,054
Headwaters* 6,409 77
Hercules 47,887 929
Horsehead Holding (B)* 87,600 1,457
Innospec 35,996 632
Katanga Mining (Canada)* 156,300 2,319
Louisiana-Pacific 60,800 935
Lubrizol 45,600 2,925
MeadWestvaco 58,400 1,920
Neenah Paper 30,804 930
NewMarket 3,636 195
- --------------------------------------------------------------------------------
66 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Olin 17,401 $ 364
OM Group* 23,200 1,306
Owens-Illinois* 163,251 7,328
Packaging of America 60,039 1,698
Pactiv* 221,860 5,635
PolyOne* 173,800 1,090
Quanex (B) 21,900 1,096
Reliance Steel & Aluminum 43,600 2,249
Rock-Tenn, Cl A 121,228 3,198
Rockwood Holdings* 22,310 751
Rohm & Haas 18,611 1,012
RPM International 38,400 731
Schnitzer Steel Industries, Cl A 27,917 1,743
Schweitzer-Mauduit International 28,148 752
Scotts Miracle-Gro, Cl A 37,400 1,380
Sherritt International (Canada) 102,800 1,439
Silgan Holdings 37,093 1,989
Sonoco Products 116,088 3,527
Spartech 64,231 877
Steel Dynamics 41,800 2,103
Symyx Technologies* 26,413 202
Terra Industries (B)* 9,500 359
Texas Industries 54,623 3,790
United States Steel 18,700 1,827
Wellman (B) 15,500 6
WR Grace* 4,000 108
Zep* 7,350 96
--------------
118,101
--------------
TELECOMMUNICATION SERVICES -- 2.2%
Alaska Communications Systems
Group 106,825 1,602
Atlantic Tele-Network 11,100 423
Cbeyond (B)* 74,284 3,073
Centennial Communications* 130,550 1,162
CenturyTel 154,586 6,590
Cincinnati Bell* 341,122 1,624
Citizens Communications 50,442 655
Clearwire, Cl A (B)* 153,400 2,388
Cogent Communications Group (B)* 30,400 632
Consolidated Communications
Holdings 269 4
Fairpoint Communications (B) 140,900 2,102
FiberTower* 114,700 262
Global Crossing* 62,825 1,152
Golden Telecom 1,825 185
IDT, Cl B* 19,325 157
Iowa Telecommunications Services 28,350 483
Leap Wireless International* 30,075 1,044
NeuStar, Cl A (B)* 140,327 4,458
NTELOS Holdings 14,131 375
Premiere Global Services* 64,700 892
Rural Cellular, Cl A* 18,825 829
SBA Communications, Cl A (B)* 260,267 9,744
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Sierra Wireless* 61,500 $ 990
Syniverse Holdings* 98,646 1,541
Telephone & Data Systems 23,200 1,444
Time Warner Telecom, Cl A* 182,788 4,100
USA Mobility 67,393 889
Vonage Holdings* 200,600 423
--------------
49,223
--------------
UTILITIES -- 4.4%
AES* 11,203 245
AGL Resources 158,941 5,894
Alliant Energy 51,416 2,135
Atmos Energy 131,199 3,436
Black Hills 56,239 2,343
Centerpoint Energy (B) 66,000 1,178
Cia de Saneamento de Minas Gerais-
COPASA (Brazil)* 94,500 1,679
Cleco 51,752 1,446
CMS Energy 85,300 1,487
Consolidated Edison 46,573 2,256
DPL 53,575 1,622
El Paso Electric (B)* 44,800 1,152
Empire District Electric 42,140 971
Energen 76,190 4,856
Equitable Resources 76,926 4,066
Idacorp (B) 45,305 1,593
Integrys Energy Group 75,888 3,871
ITC Holdings 41,905 2,139
Laclede Group 12,817 441
MDU Resources Group 60,800 1,659
New Jersey Resources 34,763 1,754
Nicor (B) 76,700 3,232
NiSource 50,826 941
Northwest Natural Gas 52,080 2,498
NorthWestern 61,125 1,702
NSTAR 37,700 1,319
OGE Energy 106,440 3,789
Oneok 42,918 1,996
Ormat Technologies (B) 41,200 2,081
Pinnacle West Capital (B) 74,660 3,200
PNM Resources 9,636 214
PNOC Energy Development
(Philippines)* 9,480,500 1,529
Portland General Electric 170,521 4,565
Puget Energy 58,600 1,645
Reliant Energy* 70,959 1,848
SCANA 94,580 4,030
Southwest Gas (B) 67,568 1,954
UGI 73,255 1,937
Unisource Energy 11,821 366
Vectren 135,312 3,973
Westar Energy 52,491 1,360
WGL Holdings (B) 52,717 1,742
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 67
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Wisconsin Energy 110,643 $ 5,294
Xcel Energy 44,827 1,034
--------------
98,472
--------------
Total Common Stock
(Cost $2,148,613) ($ Thousands) 2,184,119
--------------
CORPORATE OBLIGATION (C) (E) -- 0.4%
FINANCIALS -- 0.4%
SLM MTN
4.660%, 12/17/07 $ 9,358 9,358
--------------
Total Corporate Obligation
(Cost $9,358) ($ Thousands) 9,358
--------------
PREFERRED STOCK -- 0.0%
FINANCIALS -- 0.0%
Thornburg Mortgage 22,500 552
--------------
Total Preferred Stock
(Cost $563) ($ Thousands) 552
--------------
EXCHANGE TRADED FUNDS -- 0.1%
iShares Russell 2000 Index Fund* 5,832 447
iShares Russell Midcap Value
Index Fund* 7,421 1,066
--------------
Total Exchange Traded Funds
(Cost $1,520) ($ Thousands) 1,513
--------------
Number of
Warrants
-------------
WARRANTS -- 0.0%
Rentech, Expires 04/25/12 (F) (G) (H)* 13,800 10
Titanium Asset Management,
Expires 06/21/11* 105,000 111
--------------
Total Warrants
(Cost $--) ($ Thousands) 121
--------------
Number of
Rights
-------------
RIGHTS -- 0.0%
Esmark, Expires 11/27/07* 114,600 28
--------------
Total Rights
(Cost $--) ($ Thousands) 28
--------------
CONVERTIBLE BOND -- 0.1%
Nova BioSource CV to 273.2240
10.000%, 09/30/12 $ 1,461 1,461
--------------
Total Convertible Bond
(Cost $1,461) ($ Thousands) 1,461
--------------
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CASH EQUIVALENTS -- 25.9%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.020%++** 67,090,852 $ 67,091
SEI Liquidity Fund L.P.,
5.110%++** (C) 519,304,393 519,304
--------------
Total Cash Equivalents
(Cost $586,395) ($ Thousands) 586,395
--------------
U.S. TREASURY OBLIGATION (A) (D) -- 0 2%
U.S. Treasury Bill
3.023%, 02/21/08 $ 4,714 4,682
--------------
Total U.S. Treasury Obligation
(Cost $4,682) ($ Thousands) 4,682
--------------
Total Investments -- 123.1%
(Cost $2,752,592) ($ Thousands) $ 2,788,229
==============
A summary of the open futures contracts held by the Fund at November 30, 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)
- --------------------------------------------------------------------------------
Russell 2000 Index E-Mini 315 Dec-2007 $ (469)
S&P Mid 400 Index E-Mini 268 Dec-2007
(164)
-------------
$ (633)
=============
Percentages are based on Net Assets of $2,265,093 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of November 30, 2007.
+ Real Estate Investment Trust
++ Investment in Affiliated Security (see Note 3).
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
(B) This security or a partial position of this security is on loan at
November 30, 2007. The total value of securities on loan at November 30,
2007 was $507,766 ($ Thousands).
(C) This security was purchased with cash collateral held from securities on
loan. The total value of such securities as of November 30, 2007 was
$528,662 ($ Thousands).
(D) The rate reported is the effective yield at time of purchase.
(E) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of November 30, 2007.
(F) Securities considered illiquid. The total value of such securities as of
November 30, 2007 was $7,485 ($ Thousands) and represented 0.32% of Net
Assets.
(G) Security fair valued using methods determined in good faith by the
Valuation Committee of the Board of Trustees. The total value of such
securities as of November 30, 2007 was $7,485 ($ Thousands) and
represented 0.32% of Net Assets.
(H) This security considered restricted. The total value of such securities as
of November 30, 2007 was $7,485 ($ Thousands) and represented 0.32% of Net
Assets.
ADR -- American Depositary Receipt
Cl -- Class
CV -- Convertible Security
LLC -- Limited Liability Company
L.P. -- Limited Partnership
MTN -- Medium Term Note
PIPE -- Private Investment in Public Entity
Ser -- Series
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
68 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
International Equity Fund
November 30, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS+++:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Financials 20.0%
Materials 11.4%
Industrials 10.7%
Consumer Discretionary 9.4%
Mortgage-Backed Securities 7.7%
Energy 7.2%
Telecommunication Services 6.8%
Short-Term Investments 6.3%
Information Technology 5.3%
Consumer Staples 4.8%
Health Care 4.3%
Utilities 3.9%
Asset-Backed Securities 1.0%
U.S. Treasury Obligations 0.5%
U.S. Government Agency Obligations 0.4%
Commercial Paper 0.3%
Rights 0.0%
Purchased Options 0.0%
Exchange Traded Funds 0.0%
Warrants 0.0%
+++ Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 9).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 89.1%
AUSTRALIA -- 4.8%
AED Oil* 20,300 $ 77
Amcor 95,281 577
AMP 73,135 656
Asciano Group 37,007 243
Australia & New Zealand Banking
Group 40,500 1,009
Australian Infrastructure Fund (B) 275,500 804
Babcock & Brown (B) 14,403 330
BHP Billiton (B) 290,044 11,025
BlueScope Steel 214,800 1,871
Brambles 96,110 1,051
Centro Properties Group+ 18,524 90
Challenger Financial Services
Group (B) 384,249 1,883
Coca-Cola Amatil 8,918 79
Commonwealth Bank of Australia 29,400 1,551
CSL 40,061 1,235
CSR 210,800 567
Dominion Mining 1,000 4
Downer EDI 87,030 380
Felix Resources 8,700 62
Flight Centre 42,600 1,102
Fortescue Metals Group 3,000 150
Foster's Group 214,500 1,195
Goodman Fielder 286,390 495
Independence Group 1,147 8
ING Industrial Fund+ (B) 235,400 558
John Fairfax Holdings 242,700 1,017
Jubilee Mines (B) 14,900 303
Leighton Holdings (B) 50,800 2,729
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Macquarie Airports (B) 1,032,219 $ 3,962
Macquarie Group (B) 18,501 1,314
Macquarie Infrastructure Group 788,581 2,246
Minara Resources 19,400 107
Mincor Resources 15,300 61
Mirvac Group+ 74,783 380
National Australia Bank 108,200 3,665
Newcrest Mining 90,960 2,716
OneSteel 29,400 173
Origin Energy 58,800 452
Pacific Brands 867,868 2,395
Qantas Airways 444,107 2,298
QBE Insurance Group 254,509 7,297
Rio Tinto (B) 11,300 1,451
Sally Malay Mining 19,500 88
Santos 63,200 799
Seven Network (B) 122,200 1,459
Sims Group (B) 11,600 279
Suncorp-Metway 5,796 96
TABCORP Holdings (B) 5,400 73
Telstra 370,706 1,531
Telstra (B) 904,300 2,519
Toll Holdings 75,441 915
Wesfarmers Limited* 4,826 185
Westfield Group+ 65,746 1,189
Westpac Banking 62,178 1,558
Woolworths (B) 153,521 4,596
WorleyParsons 48,458 2,146
Zinifex 39,900 510
--------------
77,511
--------------
AUSTRIA -- 0.7%
bwin Interactive Entertainment (B)* 8,700 303
Immoeast* 14,935 162
IMMOFINANZ 53,900 567
OMV 67,589 4,817
Raiffeisen International Bank
Holding (B) 5,341 871
Shoeller-Bleckmann Oilfield Equipment 2,900 267
Telekom Austria 20,000 587
Voestalpine 44,591 3,273
Wienerberger 5,900 335
--------------
11,182
--------------
BELGIUM -- 1.2%
Belgacom (B) 16,720 874
Compagnie Maritime Belge 26,300 2,360
D'ieteren 1,200 465
Delhaize Group 9,900 865
Dexia 52,099 1,425
Fortis 145,012 3,897
Fortis (Netherlands Line) 63,384 1,702
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 69
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Gimv 10,800 $ 791
InBev 7,100 624
KBC Groep 5,505 768
Solvay 7,465 1,110
UCB 13,092 624
Umicore 17,700 4,156
--------------
19,661
--------------
BRAZIL -- 0.1%
Gerdau ADR 38,925 1,094
Uniao de Bancos Brasileiros GDR 7,200 1,078
--------------
2,172
--------------
CANADA -- 2.6%
Barrick Gold 140,300 5,680
Bombardier, Cl B 158,300 958
Cameco 65,131 2,702
Canadian Imperial Bank of
Commerce 14,900 1,324
Canadian National Railway 10,200 494
Canadian Natural Resources 14,600 948
Eastern Platinum* 519,550 1,414
EnCana 37,900 2,461
Fairfax Financial Holdings 1,900 551
Gerdau Ameristeel 86,800 1,098
HudBay Minerals* 22,400 482
Inmet Mining* 10,300 958
Methanex 14,400 428
Nexen 1 --
Petro-Canada 17,600 850
Potash Saskatchewan 45,200 5,372
Power Corp of Canada 12,300 498
Research In Motion 43,990 5,007
Rogers Communications, Cl B 77,440 3,220
Royal Bank of Canada 27,400 1,453
Shoppers Drug Mart 9,100 499
Suncor Energy 10,800 1,033
Teck Cominco, Cl B 32,500 1,245
TELUS 16,991 787
Toronto-Dominion Bank 20,600 1,546
--------------
41,008
--------------
CHINA -- 0.4%
Alibaba.com* 47,000 241
China Life Insurance 468,500 2,551
China Petroleum & Chemical, Cl H 1,106,000 1,665
China Shenhua Energy 89,000 528
Industrial & Commercial Bank of
China, Cl H 739,000 585
Tencent Holdings 100,000 747
--------------
6,317
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CYPRUS -- 0.2%
Marfin Popular Bank 262,250 $ 3,557
--------------
CZECH REPUBLIC -- 0.2%
CEZ 38,600 2,858
--------------
DENMARK -- 1.0%
A P Moller - Maersk, Cl A 84 989
A P Moller - Maersk, Cl B (B) 552 6,595
Carlsberg, Cl B 12,514 1,599
Danisco 5,314 393
Danske Bank 38,135 1,535
East Asiatic 5,785 397
H Lundbeck 5,400 156
Novo-Nordisk, Cl B 11,150 1,420
Sydbank 2,327 98
Vestas Wind Systems 22,850 2,177
--------------
15,359
--------------
FINLAND -- 1.7%
Kemira 16,100 322
Kone, Cl B 943 71
Konecranes 8,695 334
Nokia 444,221 17,781
Nokia ADR 4,200 165
Nokian Renkaat 18,500 707
OKO Bank, Cl A 41,167 816
Outokumpu 24,944 806
Rautaruukki 9,200 436
Sampo, Cl A 50,967 1,498
Stora Enso, Cl R (B) 135,800 2,245
UPM-Kymmene 86,976 1,842
Wartsila, Cl B 8,900 683
--------------
27,706
--------------
FRANCE -- 8.5%
Accor 5,386 457
Air France-KLM 52,724 1,902
Air Liquide 8,472 1,234
Alstom 4,397 989
April Group 4,600 297
Arkema* 15,548 988
Atos Origin* 1,773 101
AXA (B) 86,021 3,527
BNP Paribas 128,894 14,596
Bouygues 44,619 4,009
Capgemini 23,300 1,360
Carbone Lorraine 3,300 243
Carrefour 6,300 489
Casino Guichard Perrachon 5,360 592
Christian Dior (B) 11,200 1,469
Cie de Saint-Gobain 48,221 4,760
Ciments Francais 4,100 688
- --------------------------------------------------------------------------------
70 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CNP Assurances 2,759 $ 344
Compagnie Generale de
Geophysique* 11,650 3,507
Compagnie Generale des
Etablissements Michelin, Cl B (B) 34,500 4,103
Credit Agricole (B) 148,309 5,229
Dassault Systemes 11,855 698
Electricite de France 3,900 476
Financiere de L'Odet 552 252
France Telecom 231,154 8,805
Groupe Danone 20,006 1,770
L'Oreal 20,429 2,847
Lafarge 19,169 3,063
Lagardere S.C.A. 31,866 2,566
Natixis 3,022 61
Nexans 3,400 457
PagesJaunes Groupe 14,600 321
Pernod-Ricard 1,100 244
Peugeot 46,215 3,602
Publicis Groupe 9,200 336
Renault 41,445 6,050
Rhodia 12,600 447
Sanofi-Aventis 153,656 14,663
Sanofi-Aventis (Germany Line) 822 78
Schneider Electric 18,233 2,553
SCOR 17,175 448
Sequana Capital 334 11
Societe Generale 46,353 7,184
Suez* 15,630 1,043
Technip 7,200 589
Thales 14,901 894
Thomson 37,800 590
Total 183,656 14,889
Veolia Environnement 21,173 1,963
Vinci 77,220 6,174
Vivendi 57,857 2,666
--------------
136,624
--------------
GERMANY -- 8.9%
Allianz 67,383 13,946
Altana 14,254 356
BASF 71,503 9,946
Bayer 146,689 12,131
Bayerische Motoren Werke 31,200 1,910
Commerzbank 75,906 3,019
Continental 9,500 1,240
DaimlerChrysler 144,815 14,784
Deutsche Bank* 55,254 7,282
Deutsche Beteiligungs 23,100 782
Deutsche Boerse (B) 15,100 2,842
Deutsche Lufthansa 138,471 3,750
Deutsche Telekom 69,600 1,543
E.ON 67,831 13,871
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Fresenius Medical Care 83,350 $ 4,676
Gildemeister 9,200 233
Heidelberger Druckmaschinen 1,587 50
Henkel 986 50
Hochtief 9,300 1,231
Hypo Real Estate Holding (B) 31,779 1,690
Infineon Technologies* 89,000 1,065
KSB 129 94
Lanxess 1,956 91
MAN 4,378 707
MTU Aero Engines Holding 1,132 61
Muenchener Rueckversicherungs 34,082 6,229
Norddeutsche Affinerie (B) 79,900 2,715
Rheinmetall 1,198 100
RWE 34,203 4,688
Salzgitter 22,887 3,660
SAP 14,948 767
SGL Carbon* 46,300 2,614
Siemens 82,354 12,538
Software 9,800 801
Suedzucker (B) 16,322 357
ThyssenKrupp 76,679 4,536
Volkswagen (B) 17,540 4,218
Vossloh 15,700 1,705
Wincor Nixdorf 6,752 583
--------------
142,861
--------------
GREECE -- 0.2%
Alpha Bank 12,490 426
Coca Cola Hellenic Bottling 12,219 520
Hellenic Telecommunications
Organization 39,000 1,415
OPAP 3,849 150
--------------
2,511
--------------
HONG KONG -- 2.9%
Bank of East Asia 179,100 1,089
BOC Hong Kong Holdings 249,000 651
Cheung Kong Holdings 66,000 1,240
China Mobile 521,300 9,401
China Netcom Group 328,000 1,049
China Oriental Group 353,000 245
Chinese Estates Holdings 265,100 517
CLP Holdings 168,000 1,138
Dah Sing Banking Group* 3,000 7
Dairy Farm International Holdings 11,700 54
Emperor International Holdings
Limited* 14,000 6
Esprit Holdings 78,800 1,182
Great Eagle Holdings 249,300 961
Guoco Group 43,100 579
Hang Lung Group 50,300 287
Hang Lung Properties 86,800 394
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 71
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Hang Seng Bank 42,600 $ 812
Hong Kong & China Gas 193,600 572
Hong Kong Exchanges and Clearing 188,200 5,715
Hongkong & Shanghai Hotels 364,000 628
HongKong Electric Holdings 351,600 1,836
Hongkong Land Holdings 270,000 1,339
Hopewell Holdings 290,600 1,325
Hopson Development Holdings 42,000 131
Hutchison Telecommunications
International 207,900 292
Hutchison Whampoa 18,000 213
Jardine Matheson Holdings (B) 5,200 145
Jardine Strategic Holdings 1,000 16
Li & Fung 77,200 307
Miramar Hotel & Investment 3,000 5
New World China Land (B) 253,100 264
New World Development (B) 582,400 2,218
Orient Overseas International 11,000 84
Pacific Century Premium
Developments 325,000 108
Sea Holdings 4,000 3
Singamas Container Holdings (B) 1,523,500 720
Sino Land 134,000 473
Sinolink Worldwide Holdings 596,000 145
Solomon Systech International 3,266,800 277
Sun Hung Kai 507,000 690
Sun Hung Kai Properties 232,900 4,822
Swire Pacific, Cl A 125,600 1,691
Tian An China Investment 195,500 292
Transport International Holdings 25,200 114
Truly International Holdings 4,000 10
USI Holdings 22,000 17
Vtech Holdings 60,200 534
Wharf Holdings 336,900 1,986
Wheelock 228,800 735
Wing On International 7,000 12
--------------
47,331
--------------
INDIA -- 0.2%
Reliance Industries GDR (F) 23,050 3,371
--------------
IRELAND -- 0.3%
Allied Irish Banks 45,000 1,010
CRH 58,761 2,227
DCC 28,300 706
Irish Life & Permanent 19,800 394
Total Produce 24,239 24
--------------
4,361
--------------
ISRAEL -- 0.3%
Teva Pharmaceutical Industries ADR 112,200 5,008
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
ITALY -- 3.2%
Aedes 56,800 $ 315
AEM (B) 363,400 1,531
Arnoldo Mondadori Editore (B) 34,000 285
Banca Intesa 369,271 2,954
Banche Popolari Unite 10,733 307
Banco Popolare (B) 7,262 164
Beni Stabili 1,271,400 1,603
Buzzi Unicem (B) 50,900 1,416
Cementir 46,530 443
Danieli 19,800 646
Ducati Motor Holding 739,300 1,895
Enel (B) 286,669 3,446
ENI 305,599 10,932
Fiat 267,224 7,362
Fiat RNC 76,810 1,718
Fondiaria-Sai 20,063 882
IFIL - Investments (B) 484,943 5,026
Immobiliare Grande Distribuzione 116,700 407
Indesit (B) 42,400 716
Iride 9,076 33
Italcementi 35,800 744
Italmobiliare 6,800 658
MARR 49,200 555
Mediaset 1,339 13
Pirelli & C 480,000 573
Saipem 6,700 270
Telecom Italia 671,626 2,142
Telecom Italia RNC 548,084 1,373
UniCredito Italiano 299,937 2,565
--------------
50,974
--------------
JAPAN -- 17.3%
Aderans 200 3
Advantest (B) 12,000 341
Aeon 160,800 2,456
Aioi Insurance 81,000 449
Aisin Seiki 71,000 2,861
All Nippon Airways (B) 12,000 47
Amada 53,600 488
AOC Holdings 44,200 712
Aoyama Trading 29,000 739
Asahi Breweries 38,600 671
Asahi Glass 49,000 680
Asahi Kasei 92,000 662
Astellas Pharma 15,200 677
Atsugi (B) 798,100 1,065
Autobacs Seven 26,700 575
Bank of Kyoto 88,600 1,130
Bank of the Ryukyus 46,200 636
Belluna 2,850 23
Bridgestone 85,300 1,626
Canon 48,701 2,551
- --------------------------------------------------------------------------------
72 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Casio Computer 12,100 $ 154
Cawachi 1,700 46
Chiba Bank 10,000 86
Chukyo Bank 1,000 3
Circle K Sunkus 6,400 94
Citizen Watch (B) 41,000 438
CMK 119,200 880
Coca-Cola Central Japan 2 15
Coca-Cola West Holdings (B) 22,900 521
COMSYS Holdings 27,000 222
Cosmo Oil 343,800 1,407
Cosmos Initia 10,000 29
Credit Saison 4,300 123
Daiei 1,850 11
Daimei Telecom Engineering 73,100 569
Dainippon Ink and Chemicals 127,000 637
Dainippon Screen Manufacturing 32,000 180
Dainippon Sumitomo Pharma 16,000 130
Daishi Bank 1,000 4
Daito Trust Construction 2,300 110
Daiwa House Industry 36,000 478
Denso 9,500 388
East Japan Railway 65 538
Eighteenth Bank 21,000 76
Eizo Nanao 900 24
Elpida Memory (B)* 22,100 741
FamilyMart 2,900 86
Fanuc 26,100 2,718
Fields 14 19
Fuji Electric Holdings 75,000 277
Fuji Fire & Marine Insurance 52,000 166
Fuji Heavy Industries 83,000 412
FUJIFILM Holdings 61,800 2,730
Fujitsu 292,000 2,045
Fukuyama Transporting (B) 151,000 637
Futaba 4,900 102
Gunma Bank 205,100 1,500
Gunze 150,800 631
Hachijuni Bank 24,000 190
Hankyu Holdings 188,000 873
Heiwa 12,200 103
Higashi-Nippon Bank 2,000 7
Hirose Electric 3,300 371
HIS 400 8
Hitachi 465,100 3,262
Hitachi Cable 71,000 458
Hitachi Maxwell 11,400 144
Hokkaido Electric Power 33,500 738
Honda Motor 138,600 4,698
Hoya 44,800 1,559
Hyakugo Bank 16,000 94
Ibiden 34,500 2,715
Idemitsu Kosan 11,300 1,271
Inpex Holdings 117 1,192
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Itochu 350,100 $ 3,674
Japan Airlines 29,000 69
Japan Steel Works 386,890 5,647
Japan Tobacco 909 5,146
JFE Holdings 90,200 4,920
JGC 48,000 887
Joshin Denki (B) 60,400 494
Joyo Bank (B) 8,000 48
JS Group 9,500 152
Kagoshima Bank 2,000 14
Kamigumi 31,000 241
Kaneka 33,000 273
Kansai Electric Power 53,000 1,362
Kanto Tsukuba Bank 103,200 703
Kawasaki Kisen Kaisha 50,000 593
KDDI 7 50
Keyence 3,300 766
Kinden 1,000 8
Kirin Brewery 37,000 583
KK DaVinci Advisors* 55 55
Kobe Steel 192,000 628
Komatsu 56,200 1,697
Komori 20,600 488
Konica Minolta Holdings 7,500 142
Kubota 8,000 59
Kumagai Gumi (B) 232,800 290
Kuraray 32,000 393
Kyocera 2,300 206
Kyorin* 2,000 23
Kyowa Exeo 11,000 84
Kyowa Hakko Kogyo (B) 23,000 260
Kyushu Electric Power 62,900 1,707
Leopalace21 3,100 91
Maeda Road Construction 11,000 91
Makita 8,900 396
Marubeni 101,000 769
Matsushita Electric Industrial 141,000 2,841
Mazda Motor 113,000 608
Mie Bank 1,000 5
Millea Holdings 56,100 1,967
Mitsubishi 348,000 9,976
Mitsubishi Chemical Holdings 311,500 2,488
Mitsubishi Estate 116,100 3,109
Mitsubishi Gas Chemical 30,000 310
Mitsubishi Heavy Industries 206,000 994
Mitsubishi Materials 195,600 980
Mitsubishi Paper Mills (B) 380,100 860
Mitsubishi Tanabe Pharma 27,000 260
Mitsubishi UFJ Financial Group 628,240 6,168
Mitsui 228,400 5,209
Mitsui Chemicals 280,000 2,040
Mitsui Mining & Smelting 72,000 307
Mitsui OSK Lines 328,000 4,882
Mitsui Sumitomo Insurance 58,900 640
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 73
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Mizuho Financial Group 389 $ 2,087
Murata Manufacturing 11,880 693
Nafco 300 6
Nagase 13,000 146
Namco Bandai Holdings 74,300 1,223
NEC 165,000 772
NGK Spark Plug 26,000 459
Nichicon 79,400 844
Nikon 37,400 1,163
Nintendo 22,695 13,810
Nippo 87,300 625
Nippon Beet Sugar
Manufacturing (B) 175,100 382
Nippon Electric Glass 26,700 446
Nippon Express 10,000 51
Nippon Konpo Unyu Soko 70,700 924
Nippon Mining Holdings 427,900 3,148
Nippon Oil 167,000 1,379
Nippon Sheet Glass 64,000 349
Nippon Shokubai 23,000 222
Nippon Steel 559,100 3,352
Nippon Telegraph & Telephone (B) 1,228 5,591
Nippon Yusen 44,000 379
Nissan Motor 470,160 5,362
Nissay Dowa General Insurance* 3,000 15
Nisshin Oillio Group 17,000 65
Nisshin Steel 150,000 557
Nisshinbo Industries (B) 120,800 1,608
Nitto Kogyo 4,700 57
Nomura Holdings 52,000 932
NSK 9,000 86
NTT DoCoMo 1,394 2,199
Obayashi 90,000 455
Odakyu Electric Railway (B) 81,800 593
Ohara 100 2
Oita Bank 1,000 6
Oki Electric Industry (B) 467,000 791
Okumura (B) 178,200 814
Olympus 11,000 450
Omron 51,000 1,315
Onward Kashiyama 22,000 239
ORIX 27,600 5,621
Plenus 1,500 23
Rakuten* 508 260
Ricoh 102,000 1,922
Riso Kagaku 3,300 57
Rohm 7,000 641
Sankyo 15,200 685
Sanwa Shutter 50,000 250
Sega Sammy Holdings (B) 29,500 376
Seiko Epson 22,000 488
Seino Transportation 25,000 183
Sekisui Chemical 118,000 806
Sekisui House (B) 139,000 1,774
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Senshukai 3,500 $ 36
SFCG 4,200 630
Sharp 157,000 2,576
Shin-Etsu Chemical 7,000 415
Shinsei Bank (B) 163,000 582
Shiseido 12,000 287
Showa 7,100 60
Showa Shell Sekiyu 57,400 654
SMC 9,900 1,144
Softbank (B) 253,000 5,805
Sojitz 131,700 515
Sompo Japan Insurance 6,000 58
Sony 129,900 7,038
Sony Financial Holdings 112 424
Stanley Electric (B) 2,900 71
Sumitomo 222,000 3,302
Sumitomo Chemical 298,600 2,541
Sumitomo Electric Industries 22,180 342
Sumitomo Forestry 18,000 131
Sumitomo Heavy Industries 26,000 280
Sumitomo Metal Industries 179,600 790
Sumitomo Metal Mining 46,000 946
Sumitomo Mitsui Financial Group (B) 1,073 9,199
Suzuken 7,500 247
Suzuki Motor 67,300 2,190
T&D Holdings 12,300 711
Taisho Pharmaceutical (B) 34,000 667
Takeda Pharmaceutical 25,400 1,626
Takefuji 4,990 128
Teijin 111,000 480
Terumo 2,600 132
TKC 2,700 48
Toagosei 377,100 1,244
Tochigi Bank Limited* 1,000 6
Toda (B) 345,000 1,838
Tokai Rika 14,200 428
Tokyo Electric Power 92,300 2,521
Tokyo Electron 6,400 393
Tokyo Gas 84,100 419
Tokyo Ohka Kogyo 2,700 61
Tokyu 83,400 582
Topy Industries 23,000 62
Toshiba (B) 598,400 4,866
Toshiba TEC 4,000 27
Tosoh 59,000 288
Toyo Seikan Kaisha 44,800 784
Toyota Auto Body 900 15
Toyota Industries 21,400 895
Toyota Motor 198,900 11,189
Trend Micro* 28,000 1,128
Trusco Nakayama 1,100 17
TV Asahi (B) 104 163
Unicharm 8,500 550
UNY 65,000 575
- --------------------------------------------------------------------------------
74 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
USS 1,220 $ 79
Yahoo! Japan 3,348 1,609
Yamada Denki 17,470 2,018
Yamaha 12,300 298
Yamaha Motor 24,900 678
Yamato Transport 62,400 871
Yaskawa Electric 7,000 92
Yokogawa Bridge (B) 60,600 349
Yokohama Rubber 181,600 1,123
Yutaka Giken 1,100 31
Zeon 10,000 66
--------------
277,958
--------------
JERSEY -- 0.0%
Meinl European Land* 3,573 52
--------------
LUXEMBOURG -- 0.5%
ArcelorMittal 85,344 6,323
Colt Telecom Group 58,047 218
Oriflame Cosmetics SDR 10,035 610
SES Global FDR (Paris Exchange) 36,186 892
--------------
8,043
--------------
MEXICO -- 0.5%
America Movil ADR, Ser L 112,355 6,928
Cemex ADR* 12,900 369
--------------
7,297
--------------
NETHERLANDS -- 4.5%
Aegon 58,110 1,042
Akzo Nobel (B) 110,521 8,501
ASML Holding 6,952 242
Buhrmann 83,000 738
CSM 1,254 44
European Aeronautic Defense and
Space (B) 22,063 711
Fugro 6,198 511
Heineken 8,005 527
Heineken Holding 9,336 525
ING Groep (B) 359,931 14,016
Koninklijke Ahold 171,964 2,451
Koninklijke BAM Groep 8,614 207
Koninklijke DSM 45,086 2,251
Randstad Holdings* 5,570 265
Reed Elsevier 1,137 21
Royal Dutch Shell, Cl A 309,820 12,538
Royal Dutch Shell, Cl A (GBP) 143,534 5,802
Royal Dutch Shell, Cl B 136,714 5,487
Royal KPN 63,813 1,177
Smit Internationale 3,100 313
TNT 24,172 993
Unilever (B) 247,824 8,785
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Vedior 230,600 $ 5,754
--------------
72,901
--------------
NEW ZEALAND -- 0.1%
Air New Zealand (B) 427,400 590
Fletcher Building 90,800 825
Infratil 150,000 322
Telecom of New Zealand (B) 111,924 370
--------------
2,107
--------------
NORWAY -- 0.4%
DnB 87,822 1,376
Ementor* 171,500 1,203
Norsk Hydro 20,100 277
Orkla 28,900 523
Statoil 50,500 1,639
Telenor 62,100 1,442
TGS Nopec Geophysical* 1,995 28
--------------
6,488
--------------
POLAND -- 0.0%
Polski Koncern Naftowy Orlen 21,700 463
--------------
PORTUGAL -- 0.3%
Banco Comercial Portugues 138,600 608
Banco Espirito Santo 55,716 1,299
Cimpor Cimentos de Portugal 42,586 381
Energias de Portugal 237,859 1,610
Jeronimo Martins 39,800 321
Portugal Telecom 3,385 46
PT Multimedia Servicos de
Telecomunicacoes e Multi 120 2
Sonae 141,556 426
Sonae Industria* 6,834 78
--------------
4,771
--------------
RUSSIA -- 0.1%
LUKOIL Sponsored ADR 7,300 625
OAO Gazprom ADR 22,600 1,191
--------------
1,816
--------------
SINGAPORE -- 0.8%
Allgreen Properties (B) 663,200 738
CapitaLand 158,000 764
Cosco Singapore 24,000 118
DBS Group Holdings 54,000 750
Flextronics International* 600 7
Fraser and Neave 69,000 277
Ho Bee Investment 91,000 93
Hong Leong Finance 196,900 512
Hotel Grand Central 34,350 24
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 75
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Hotel Plaza 42,000 $ 55
Jardine Cycle & Carriage 47,044 680
K1 Ventures 121,000 26
Keppel 124,000 1,148
Kim Eng Holdings 371,100 577
Mapletree Logistics Trust+ 1,358,300 995
MCL Land 2,000 3
Metro Holdings 16,000 12
NatSteel 10,000 10
Neptune Orient Lines 26,000 75
Parkway Holdings 23,000 60
SembCorp Industries 86,000 333
Singapore Airlines 27,200 337
Singapore Exchange 178,600 1,741
Singapore Petroleum 103,000 541
Singapore Press Holdings 82,000 257
Singapore Technologies Engineering 160,000 418
SP Chemicals 56,000 39
United Overseas Bank 71,100 973
UOB-Kay Hian Holdings 32,000 48
Venture 14,000 122
Wheelock Properties S (B) 285,000 424
Wing Tai Holdings (B) 732,200 1,331
--------------
13,488
--------------
SOUTH AFRICA -- 0.4%
Harmony Gold Mining* 45,600 490
Harmony Gold Mining ADR* 7,200 75
Mondi 5,057 43
Sanlam 379,530 1,305
Sasol 82,626 4,182
--------------
6,095
--------------
SOUTH KOREA -- 0.4%
Honam Petrochemical 6,500 850
Hynix Semiconductor 14,500 408
Hyundai Mobis 8,020 751
Industrial Bank of Korea 26,750 466
Kookmin Bank 9,600 692
POSCO 700 446
Samsung Electronics 555 340
Samsung Electronics GDR (F) 3,542 1,080
SK Telecom 360 97
SK Telecom ADR (B) 31,000 982
--------------
6,112
--------------
SPAIN -- 2.9%
Acerinox (B) 10,993 297
ACS Actividades Construcciones y
Servicios (B) 23,450 1,514
Banco Bilbao Vizcaya Argentaria 208,828 5,214
Banco Santander Central Hispano 394,053 8,468
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Cementos Portland Valderrivas 3,200 $ 357
Ebro Puleva (B) 21,130 415
Fomento de Construcciones y
Contratas 2,000 170
Gas Natural SDG (B) 85,213 5,262
Gestevision Telecinco (B) 19,182 520
Iberdrola 267,839 4,431
Inditex 9,179 642
Obrascon Huarte Lain* 420 17
Repsol* 215,702 7,972
Sol Melia (B) 25,200 422
Telefonica (B)* 313,066 10,528
Union Fenosa 10,148 705
--------------
46,934
--------------
SWEDEN -- 1.5%
Assa Abloy, Cl B 52,500 1,093
Atlas Copco, Cl A 68,010 1,001
Boliden 41,864 591
D Carnegie 13,400 258
Electrolux, Ser B 45,400 766
Hennes & Mauritz, Cl B 3,125 195
Industrivarden, Cl A 30,900 580
Investor, Cl B 15,200 357
Kinnevik Investment 11,900 290
Sandvik 53,622 972
Skandinaviska Enskilda Banken, Cl A 48,861 1,365
SKF 35,900 634
Ssab Svenskt Stal, Ser A 24,000 659
Svenska Cellulosa, Cl B 124,496 2,222
Svenska Handelsbanken, Cl A 44,872 1,426
Swedish Match 12,577 290
Tele2, Cl B 203,950 4,661
Telefonaktiebolaget LM Ericsson, Cl B 258,906 632
TeliaSonera 364,200 3,478
Trelleborg, Cl B 15,807 352
Volvo, Cl B 130,000 2,218
Wihlborgs Fastigheter 4,606 83
--------------
24,123
--------------
SWITZERLAND -- 5.4%
ABB 93,830 2,757
Adecco 14,100 788
AFG Arbonia-Forster Holdings 1,000 347
Bobst Group 398 28
Bucher Industries 220 55
Clariant (B) 37,000 328
Compagnie Financiere Richemont,
Cl A 99,438 6,843
Credit Suisse Group 159,235 9,612
Elektrizitaets-Gesellschaft Laufenburg 360 469
Energiedienst Holding 466 252
Forbo Holding 31 19
- --------------------------------------------------------------------------------
76 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Helvetia Holding 1,320 $ 444
Holcim 38,410 4,144
Inficon Holding 5,500 935
Nestle 26,612 12,799
Nobel Biocare Holding 2,487 709
Novartis 136,820 7,798
Rieter Holding 616 307
Roche Holding 49,748 9,495
Swatch Group 6,846 375
Swiss Life Holding 5,327 1,500
Swiss Reinsurance 80,671 5,998
Swisscom 4,345 1,655
Syngenta 21,110 5,207
UBS 53,913 2,731
Xstrata 82,258 5,783
Zurich Financial Services 18,015 5,254
--------------
86,632
--------------
TAIWAN -- 0.3%
Compal Electronics 1,032,618 1,192
High Tech Computer GDR 10,140 753
Taiwan Semiconductor Manufacturing 528,229 992
Taiwan Semiconductor Manufacturing
ADR 124,987 1,240
--------------
4,177
--------------
THAILAND -- 0.1%
PTT 101,300 1,137
--------------
UNITED KINGDOM -- 16.2%
3i Group 54,511 1,219
Acergy 156,100 3,336
Aegis Group 33,078 76
Alliance & Leicester 32,500 488
Amec 289,250 4,565
Anglo American 135,127 9,130
Antofagasta 23,600 370
ARM Holdings 61,587 168
AstraZeneca 105,106 4,992
AstraZeneca (SEK)* 19,954 954
Autonomy* 140,500 2,307
Aviva 470,693 6,600
BAE Systems 1,294,850 12,247
Balfour Beatty 13,442 135
Barclays 717,391 8,305
Barratt Developments 74,933 717
Bellway 20,698 413
Berkeley Group Holdings 25,800 748
BG Group 17,196 360
BHP Billiton 296,556 9,799
Bovis Homes Group 6,714 87
BP 1,193,936 14,484
Brit Insurance Holdings 46,000 243
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
British Airways* 116,394 $ 817
British American Tobacco 76,585 2,971
British Energy Group 201,000 2,161
British Land+ 76,633 1,448
BT Group 181,349 1,069
Centrica 398,987 2,986
Charter* 17,453 310
Chaucer Holdings 253,700 527
Compass Group 236,000 1,547
Cookson Group 29,077 445
Daily Mail & General Trust 64,357 736
Diageo 246,550 5,541
Dimension Data Holdings 228,000 288
DS Smith 95,000 409
Emap 5,166 88
Enterprise Inns 41,061 449
Firstgroup 208,896 3,050
FKI 168,900 268
Friends Provident 4,580 15
Galliford Try 7,214 19
GKN 122,493 806
GlaxoSmithKline 369,194 9,777
Go-Ahead Group 5,300 270
Greene King 48,500 817
Group 4 Securicor 2,780 12
Hays 73,496 192
HBOS 493,241 8,093
Home Retail Group 331,097 2,362
HSBC Holdings 548,982 9,369
Imperial Tobacco Group 38,796 2,006
Investec 17,180 184
ITV 791,100 1,392
Kazakhmys 56,800 1,571
Laird Group 42,700 514
Legal & General Group 219,861 586
Lloyds TSB Group 95,778 975
LogicaCMG 54,037 138
London Stock Exchange Group 93,980 3,440
Lonmin 6,800 454
Marks & Spencer Group 36,100 433
Michael Page International 37,223 250
Millennium & Copthorne Hotels 72,643 694
Mitchells & Butlers 87,239 1,035
Mondi 48,016 383
National Grid 211,866 3,579
Next 18,964 678
Northern Foods 523,400 1,025
Old Mutual 633,812 2,197
Persimmon 34,500 567
Premier Foods 91,600 377
Prudential 176,829 2,469
Punch Taverns 75,210 1,270
Qxl Ricardo 10,900 381
Reckitt Benckiser Group 32,203 1,914
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 77
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Reed Elsevier 50,130 $ 631
Reuters Group 72,300 886
Rio Tinto 57,328 6,648
Rolls-Royce Group, Cl B 4,203,200 10
Royal & Sun Alliance Insurance
Group 715,683 2,185
Royal Bank of Scotland Group 1,514,679 14,295
SABMiller 238,164 6,777
Scottish & Southern Energy 53,370 1,745
Severn Trent 20,500 661
Shire 134,500 3,216
Smith & Nephew 386,650 4,623
St. Ives Group 90,600 464
Stagecoach Group 128,842 654
Standard Chartered 44,832 1,764
Standard Chartered (HKD)* 8,300 309
Standard Life 199,499 1,077
Stolt-Nielsen 39,985 1,002
Tate & Lyle 3,919 36
Taylor Woodrow 505,434 2,136
Tesco 357,700 3,523
Travis Perkins 9,800 268
Trinity Mirror 35,300 246
Tui Travel 32,974 186
Unilever 61,090 2,241
United Utilities 126,289 1,948
Vodafone Group 8,552,017 32,038
Wolseley 65,888 941
WPP Group 63,000 795
Yell Group 140,779 1,206
--------------
259,608
--------------
Total Common Stock
(Cost $1,163,799) ($ Thousands) 1,430,574
--------------
MORTGAGE-BACKED SECURITIES -- 8.3%
AGENCY MORTGAGE-BACKED OBLIGATIONS -- 5.9%
FHLMC
6.000%, 07/01/21 to 05/01/22 $ 1,893 1,934
FHLMC ARM
5.804%, 01/01/37 6,358 6,461
FHLMC CMO STRIPS, Ser 232,
Cl IO, IO
5.000%, 08/01/35 7,575 1,845
FHLMC CMO STRIPS, Ser 233,
Cl 12, IO
5.000%, 09/15/35 1,360 296
FHLMC TBA
6.000%, 12/15/18 16,000 16,335
FNMA
5.500%, 02/01/21 13 13
FNMA (H)
4.117%, 01/02/08 2,120 2,113
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FNMA TBA
6.000%, 12/01/18 to 01/01/37 $ 55,000 $ 56,214
5.500%, 01/01/19 to 01/01/37 611 683
FNMA CMO STRIPS, Ser 10,
Cl FD (D)
5.481%, 12/25/07 1,399 1,390
FNMA CMO STRIPS, Ser 359,
Cl 6, IO
5.000%, 11/01/35 491 111
FNMA CMO STRIPS, Ser 360,
Cl 2, IO
5.000%, 08/01/35 8,590 2,097
FNMA CMO STRIPS, Ser 377,
Cl 2, IO
5.000%, 10/01/36 16 4
GNMA ARM
6.500%, 12/30/07 to 05/20/34 1,252 1,270
5.500%, 07/20/35 to 06/20/36 966 972
5.250%, 08/20/34 163 165
4.750%, 12/20/33 1,902 1,904
GNMA ARM (I)
6.000%, 06/20/35 508 514
5.500%, 03/20/36 393 395
5.000%, 02/20/36 236 237
--------------
94,953
--------------
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 2.4%
American Home Mortgage
Investment Trust, Ser 2004-3,
Cl 2A (D)
6.644%, 03/01/08 2,101 2,067
American Home Mortgage
Investment Trust, Ser 2005-1,
Cl 6A (D)
5.294%, 12/25/07 3,895 3,871
American Home Mortgage
Investment Trust, Ser 2005-4,
Cl 5A (D)
5.350%, 12/25/07 2,479 2,462
American Home Mortgage
Investment Trust, Ser 2006-1,
Cl 2A3 (D)
5.100%, 12/25/07 1,310 1,181
Banc of America Commercial
Mortgage, Ser 2006-2, Cl A1
5.611%, 05/10/45 714 721
Banc of America Funding,
Ser 2006-A, Cl 2A2 (D)
5.558%, 12/01/07 151 151
Banc of America Mortgage Securities,
Ser 2004-10, Cl 2A1
5.000%, 12/25/19 591 586
- --------------------------------------------------------------------------------
78 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Alternative Loan Trust,
Ser 2004-33, Cl 1A1 (D)
5.005%, 12/01/07 $ 481 $ 479
Countrywide Alternative Loan Trust,
Ser 2005-69, Cl M3 (D)
5.939%, 12/27/07 225 176
Countrywide Alternative Loan Trust,
Ser 2005-IM1, Cl M3 (D)
6.789%, 12/27/07 338 124
Countrywide Alternative Loan Trust,
Ser 2006-0A11, Cl M3 (D)
5.219%, 12/30/07 456 445
Countrywide Home Loans,
Ser 2004-22, Cl A1 (D)
5.089%, 12/01/07 533 534
Countrywide Home Loans,
Ser 2006-HYB1, Cl 1A1 (D)
5.357%, 12/20/07 517 510
Countrywide Home Loans,
Ser 2006-HYB2, Cl 1A1 (D)
5.001%, 12/20/07 1,445 1,459
DLSA Mortgage Loan Trust,
Ser 2006-AR1, Cl M4 (D)
5.761%, 12/19/07 221 181
DSLA Mortgage Loan Trust,
Ser 2004-AR4, Cl B1 (D)
5.286%, 12/19/07 306 290
DSLA Mortgage Loan Trust,
Ser 2006-AR1, Cl M5 (D)
5.831%, 12/19/07 140 111
DSLA Mortgage Loan Trust,
Ser 2006-AR1, Cl M7 (D)
6.771%, 12/19/07 140 105
Deutsche Alternatives Securities
Mortgage Loan Trust,
Ser 2006-AB3, Cl A1 (D)
6.250%, 06/30/36 856 853
First Horizon Alternative Mortgage
Trust, Ser 2006-AA6, Cl 2A1 (D)
5.642%, 12/01/07 3,344 3,273
First Horizon Mortgage Pass-Through
Trust, Ser 2006-AR3, Cl 1A1 (D)
5.684%, 12/01/07 711 714
GS Mortgage Securities,
Ser 2007-GG10, Cl A4 (D)
5.993%, 08/10/45 100 103
Greenpoint Mortgage Funding Trust,
Ser 2006-AR1, Cl M3 (D)
5.443%, 12/27/07 300 208
Indymac Mortgage Loan Trust,
Ser 2004-AR11, Cl 4A1 (D)
5.785%, 12/01/07 1,582 1,566
Indymac Mortgage Loan Trust,
Ser 2004-AR6, Cl 1A (D)
7.498%, 12/01/07 96 96
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
JPMorgan Chase Commercial
Mortgage, Ser 2006-CB17, Cl A4
5.429%, 12/12/43 $ 100 $ 100
Lehman Mortgage Trust, Ser 2006-4,
Cl 4A1
6.000%, 08/25/21 2,841 2,848
MLCC Mortgage Investors,
Ser 2006-1, Cl 1A1 (D)
5.301%, 12/01/07 1,532 1,542
Master Adjustable Rate Mortgages,
Ser 2004-6, Cl 2A1 (D)
5.329%, 07/25/34 1,390 1,404
Master Adjustable Rate Mortgages,
Ser 2005-2, Cl 3A1 (D)
4.774%, 12/01/07 667 665
Nomura Asset Acceptance,
Ser 2004-R1, Cl A1 (F)
6.500%, 03/25/34 324 327
Nomura Asset Acceptance,
Ser 2004-R2, Cl A1 (D) (F)
6.500%, 10/25/34 386 388
Nomura Asset Acceptance,
Ser 2007-1, Cl 1A1A (G)
5.995%, 12/09/07 1,227 1,231
Residential Accredit Loans,
Ser 2005-Q05, Cl M3 (D)
5.673%, 12/25/07 398 341
Residential Accredit Loans,
Ser 2005-QA3, Cl NB2 (D)
5.240%, 12/25/07 1,368 1,391
Residential Accredit Loans,
Ser 2006-Q01, Cl 2A3 (D)
5.189%, 12/27/07 279 271
Residential Asset Securitization Trust,
Ser 2004-IP2, Cl 3A1 (D)
5.248%, 12/25/07 1,326 1,319
Structured Adjustable Rate Mortgage
Loan, Ser 2005-16 XS, Cl M2 (D)
5.689%, 12/25/07 200 138
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2007-HY4, Cl 1A1 (D)
5.559%, 12/01/07 2,702 2,685
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2007-HY6, Cl HY6 (D)
5.707%, 06/25/37 927 924
Wells Fargo Mortgage Backed
Securities Trust, Ser 2004-I,
Cl B1 (D)
5.839%, 12/01/07 119 119
--------------
37,959
--------------
Total Mortgage-Backed Securities
(Cost $132,862) ($ Thousands) 132,912
--------------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 79
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 1.1%
MORTGAGE RELATED SECURITIES -- 1.1%
ACE Securities, Ser 2003-NC1,
Cl M (D)
5.653%, 12/25/07 $ 600 $ 563
ACE Securities, Ser 2003-OP1,
Cl M1 (D)
5.489%, 12/26/07 250 243
Aames Mortgage Investment Trust,
Ser 2005-4, Cl B2 (D)
7.539%, 12/12/07 110 37
Ameriquest Mortgage Securities,
Ser 2003-2, Cl M1 (D)
6.139%, 12/25/07 380 339
Argent Securities, Ser 2003-W5,
Cl M1 (D)
5.489%, 12/25/07 250 246
Argent Securities, Ser 2003-W9,
Cl M1 (D)
5.479%, 12/26/07 343 340
Asset-Backed Securities Home Equity
Loan Trust, Ser 2003-HE5,
Cl M1 (D)
5.402%, 12/15/07 456 432
Basic Asset Backed Securities Trust,
Ser 2006-1, Cl A1 (D)
4.953%, 12/25/07 573 569
Chase Funding Mortgage Loan,
Ser 2004-2, Cl 1A3
4.209%, 09/25/26 16 16
Countrywide Asset-Backed
Certificates, Ser 2003-5,
Cl MV2 (D)
6.389%, 12/25/07 251 230
Countrywide Asset-Backed
Certificates, Ser 2005-15,
Cl 1AF1 (D)
4.929%, 12/25/07 229 229
Credit Suisse Asset-Backed Mortgage
Trust, Ser 2006-1, Cl A1B (D)
5.725%, 12/26/07 332 331
First Franklin Mortgage Loan Asset,
Ser 2004-FF10, Cl A2 (D)
5.273%, 12/26/07 26 25
GSAA Home Equity NIM Trust,
Ser 2006-2, Cl 2A1 (D)
4.973%, 12/27/07 1,344 1,340
GSAA Home Equity NIM Trust,
Ser 2006-HE3N, Cl N1 (F)
5.500%, 05/25/36 67 6
Heat Equity Asset Trust NIM,
Ser 2006-1N, Cl A (F)
6.500%, 05/27/36 62 12
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Home Equity Asset Trust,
Ser 2003-4, Cl M2 (D)
7.189%, 12/25/07 $ 339 $ 318
Lehman XS Trust, Ser 2005-5N,
Cl M4 (D)
6.539%, 12/31/07 525 301
Lehman XS Trust, Ser 2005-7N,
Cl M51 (D)
6.039%, 12/31/07 120 70
Lehman XS Trust, Ser 2005-7N,
Cl M71 (D)
6.539%, 12/27/07 300 156
Lehman XS Trust, Ser 2005-9N,
Cl M4 (D)
6.189%, 12/30/07 170 127
Master Asset Backed Securities Trust,
Ser 2006-AB1, Cl A1 (D)
5.013%, 12/27/07 1,312 1,295
Merrill Lynch Mortgage Investors
Trust, Ser 2003-HE1, Cl M2 (D)
6.523%, 12/25/07 74 64
Morgan Stanley, Ser 2003-NC10,
Cl M1 (D)
5.469%, 12/27/07 573 537
New Century Home Equity Loan
Trust, Ser 2004-A, Cl AII3 (D)
4.450%, 12/01/07 119 119
New Century Home Equity Loan
Trust, Ser 2005-A, Cl A2 (G)
4.461%, 12/25/07 665 659
Option One Mortgage Loan Trust,
Ser 2003-5, Cl M1 (D)
5.439%, 12/23/07 254 233
Option One Mortgage Loan Trust,
Ser 2006-1, Cl M10 (D) (F)
7.289%, 12/27/07 60 20
Option One Mortgage Loan Trust,
Ser 2006-1, Cl M11 (D) (F)
7.289%, 12/27/07 140 35
Ownit Mortgage Loan, Ser 2006-1,
Cl AF1 (G)
5.424%, 12/25/36 708 694
Residential Asset Mortgage Products,
Ser 2003-RS11, Cl MII1 (D)
5.603%, 12/25/07 54 48
Residential Asset Mortgage Products,
Ser 2006-RZ1, Cl A1 (D)
5.211%, 12/27/07 1,868 1,854
Residential Asset Securities,
Ser 2006-EMX2, Cl A1 (D)
4.953%, 12/27/07 450 447
Residential Asset Securities,
Ser 2006-KS2, Cl A1 (D)
4.943%, 12/27/07 225 225
- --------------------------------------------------------------------------------
80 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
Resmae Mortgage Loan Trust,
Ser 2006-1, Cl A2A (D) (F)
4.889%, 12/25/07 $ 772 $ 762
Resmae Mortgage Loan Trust,
Ser 2006-1, Cl A2B (D) (F)
4.939%, 12/25/07 1,400 1,363
SB Finance NIM Trust,
Ser 2006-KS4N, Cl N1 (F)
7.500%, 06/25/36 64 19
Sharps SP I LLC NIM Trust,
Ser 2005-HE3N, Cl N (F)
5.000%, 05/25/35 96 3
Structured Asset Investment Loan
Trust, Ser 2003-BC4, Cl M2 (D)
7.789%, 12/25/07 226 180
Structured Asset Investment Loan
Trust, Ser 2005-1, Cl A4 (D) (F)
5.103%, 12/25/07 55 55
Structured Asset Securities,
Ser 2005-WF1, Cl A2 (D)
5.331%, 12/25/07 33 33
Terwin Mortgage Trust, Ser 2006-5,
Cl 1A2A (D) (F)
5.221%, 12/26/07 2,376 2,281
Terwin Mortgage Trust, Ser 2006-6,
Cl 2A1 (D)
4.500%, 06/25/36 342 196
--------------
Total Asset-Backed Securities
(Cost $18,523) ($ Thousands) 17,052
--------------
PREFERRED STOCK -- 0.6%
BRAZIL -- 0.4%
ArcelorMittal 39,650 2,934
Petroleo Brasileiro 33,100 1,339
Usinas Siderurgicas de Minas Gerais,
Cl A 43,500 2,225
--------------
6,498
--------------
GERMANY -- 0.1%
Porsche 363 808
--------------
ITALY -- 0.1%
Istituto Finanziario Industriale* 47,700 1,700
--------------
SOUTH KOREA -- 0.0%
Samsung Electronics 1,400 617
--------------
Total Preferred Stock
(Cost $6,762) ($ Thousands) 9,623
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS -- 0.5%
CONSUMER DISCRETIONARY -- 0.0%
Time Warner
6.875%, 05/01/12 $ 425 $ 449
--------------
ENERGY -- 0.1%
Dominion Resources
4.750%, 12/15/10 285 285
Exelon Generation
6.950%, 06/15/11 425 448
Weatherford International (F)
5.950%, 06/15/12 175 183
--------------
916
--------------
FINANCIALS -- 0.4%
Capmark Financial Group (F)
6.300%, 05/10/17 50 34
5.875%, 05/10/12 100 78
Cit Group
5.000%, 02/13/14 565 505
Discover Financial Services (F)
6.450%, 06/12/17 100 101
Genworth Financial
5.750%, 06/15/14 310 316
5.650%, 06/15/12 515 528
HSBC Finance
6.375%, 10/15/11 425 437
Istar Financial+
5.875%, 03/15/16 285 233
Lehman Brothers Holdings MTN
5.750%, 05/17/13 145 146
5.500%, 04/04/16 280 269
Merrill Lynch
6.050%, 05/16/16 225 220
Morgan Stanley
4.750%, 04/01/14 425 405
Residential Capital
8.375%, 06/30/15 75 48
7.500%, 02/22/08 200 132
6.500%, 04/17/13 990 640
SLM MTN (C) (D)
4.660%, 12/17/07 1,856 1,856
Shinsei Finance Cayman (D) (F)
6.418%, 01/29/49 490 430
Washington Mutual Preferred
Funding (B) (D) (F)
6.534%, 03/29/49 500 266
--------------
6,644
--------------
INDUSTRIALS -- 0.0%
Lafarge
6.150%, 07/15/11 255 263
US Steel
5.650%, 06/01/13 105 104
--------------
367
--------------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 81
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Face Amount($ Thousands)/ Market Value
Description Shares/Contracts ($ Thousands)
- --------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES -- 0.0%
Vodafone Group
5.350%, 02/27/12 $ 80 $ 81
--------------
Total Corporate Obligations
(Cost $9,219) ($ Thousands) 8,457
--------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.4%
FHLMC (H)
4.504%, 03/31/04 50 49
FNMA (A)
5.580%, 03/12/08 250 247
FNMA (A) (H)
4.605%, 03/26/08 100 98
4.504%, 03/28/08 50 49
4.359%, 04/16/08 125 123
4.280%, 05/09/08 649 637
4.262%, 05/07/08 5,326 5,231
--------------
Total U.S. Government Agency Obligations
(Cost $6,432) ($ Thousands) 6,434
--------------
EXCHANGE TRADED FUND -- 0.0%
UNITED STATES -- 0.0%
iShares MSCI EAFE Index Fund* 700 58
--------------
Total Exchange Traded Fund
(Cost $55) ($ Thousands) 58
--------------
RIGHTS -- 0.0%
Number of
Rights
-------------
AUSTRALIA -- 0.0%
Newcrest Mining, Expires 10/17/07*
0.000%, 12/11/07 53 270
--------------
SINGAPORE -- 0.0%
Hotel Plaza, Expires 11/28/08*
0.000%, 12/22/07 42 3
--------------
Total Rights
(Cost $0) ($ Thousands) 273
--------------
PURCHASED OPTIONS -- 0.0%
UNITED STATES -- 0.0%
July 2008 U.S. Ten Year Treasury Call,
Expires 06/16/08,
Strike Price $95* 28 89
--------------
Total Purchased Options
(Cost $12) ($ Thousands) 89
--------------
- --------------------------------------------------------------------------------
Face Amount ($ Thousands)/ Market Value
Description Shares/Contracts ($ Thousands)
- --------------------------------------------------------------------------------
EQUITY LINKED WARRANT -- 0.0%
HONG KONG -- 0.0%
Tian An China Investments,
Expires 12/21/07* 196 $ 28
--------------
Total Equity Linked Warrants
(Cost $0) ($ Thousands) 28
--------------
CASH EQUIVALENTS -- 6.8%
UNITED STATES -- 6.8%
SEI Daily Income Trust,
Prime Obligation Fund, Cl A,
5.020%**++ 6,659,789 6,660
SEI Liquidity Fund, L.P.,
5.110%**++ (C) 102,964,379 102,964
--------------
Total Cash Equivalents
(Cost $109,624) ($ Thousands) 109,624
--------------
U.S. TREASURY OBLIGATIONS (E) -- 0.5%
U.S. Treasury Bills
3.023%, 02/21/08 $ 4,025 3,998
3.715%, 12/20/07 (A) 450 449
U.S. Treasury Inflationary Index
Notes (B)
2.375%, 04/15/11 3,341 3,484
--------------
Total U.S. Treasury Obligations
(Cost $7,875) ($ Thousands) 7,931
--------------
COMMERCIAL PAPER (E) -- 0.3%
Rabobank USA Finance
4.670%, 12/04/07 5,000 4,997
--------------
Total Commercial Paper
(Cost $4,997) ($ Thousands) 4,997
--------------
Total Investments -- 107.6%
(Cost $1,460,160) ($ Thousands) $ 1,728,052
==============
WRITTEN OPTION -- 0.0%
UNITED STATES -- 0.0%
July 2008 U.S. Ten Year Treasury Call,
Expires 06/16/08,
Strike Price: $95.5* (28) (56)
--------------
Total Written Option
(Premiums Received $(4)) ($ Thousands) $ (56)
--------------
- --------------------------------------------------------------------------------
82 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
A summary of the open futures contracts held by the Fund at November 30, 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$ (11) Mar-2008 $ (16)
90-Day Euro$ (23) Mar-2009 (76)
90-Day Euro$ (33) Mar-2010 (90)
90-Day Euro$ (21) Mar-2011 (46)
90-Day Euro$ 8 Mar-2012 9
90-Day Euro$ 27 Jun-2008 35
90-Day Euro$ 58 Jun-2009 160
90-Day Euro$ 130 Jun-2010 (297)
90-Day Euro$ 17 Jun-2011 21
90-Day Euro$ 4 Jun-2012 4
90-Day Euro$ (30) Sep-2008 (100)
90-Day Euro$ 58 Sep-2009 181
90-Day Euro$ (37) Sep-2010 (87)
90-Day Euro$ 19 Sep-2011 23
90-Day Euro$ 9 Sep-2012 10
90-Day Euro$ (41) Dec-2007 12
90-Day Euro$ (180) Dec-2008 (645)
90-Day Euro$ (34) Dec-2009 (102)
90-Day Euro$ (32) Dec-2010 (74)
90-Day Euro$ 8 Dec-2011 9
Amsterdam Index 33 Dec-2007 16
CAC40 10 Euro 163 Dec-2007 326
DAX Index 51 Dec-2007 412
DJ Euro Stoxx 50 Index 156 Dec-2007 71
Fed Fund 30 day 12 Jan-2007 6
Fed Fund 30 day 1 Mar-2007 1
FTSE 100 Index 286 Dec-2007 690
Hang Seng Index 21 Dec-2007 214
IBEX 35 Plus Index 27 Dec-2007 27
MSCI Sing Index 25 Dec-2007 74
Nikkei 225 Index 17 Dec-2007 (37)
OMX Index 242 Dec-2007 111
S&P/MIB Index 17 Dec-2007 14
SPI 200 Index 79 Dec-2007 384
Topix Index 132 Dec-2007 (274)
U.S. 2 Year Treasury Note 24 Mar-2007 (15)
U.S. 5 Year Treasury Note (12) Dec-2007 (4)
U.S. 5 Year Treasury Note 25 Mar-2007 (7)
U.S. 10 Year Treasury Note 2 Mar-2007 (2)
U.S. Long Treasury Bond (6) Dec-2007 (30)
-------------
$ 908
-------------
A summary of the outstanding forward foreign currency contracts held by the Fund
at November 30, 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)
- --------------------------------------------------------------------------------
12/21/07 AUD 1,256 EUR 545 $ 10
12/21/07-04/21/08 AUD 18,969 JPY 1,920,000 754
12/21/07 CAD 37,166 USD 38,270 1,074
12/21/07 CHF 5,895 EUR 3,583 32
12/21/07-05/22/08 CHF 47,500 USD 40,657 (1,700)
12/21/07-05/22/08 CHF 48,400 GBP 20,245 (1,531)
12/21/07-05/22/08 CHF 23,600 NZD 27,512 (125)
12/21/07 EUR 1,746 CHF 2,881 (8)
12/21/07 EUR 5,475 USD 8,017 (22)
12/21/07 EUR 7,399 SEK 68,780 (91)
12/21/07 GBP 2,815 AUD 6,474 (63)
12/21/07-05/22/08 GBP 25,331 JPY 5,788,000 674
12/21/07-03/25/08 GBP 18,382 CHF 43,900 1,307
12/21/07 HKD 112,288 USD 14,448 15
12/21/07-05/22/08 JPY 7,156,000 GBP 31,173 (1,218)
12/21/07-05/22/08 JPY 2,859,000 USD 24,613 (1,381)
12/21/07-04/21/08 JPY 1,920,000 AUD 19,689 (118)
12/21/07 MXP 85,156 USD 7,780 (32)
12/21/07 NZD 547 USD 413 (6)
12/21/07-04/21/08 NZD 24,826 CHF 21,400 174
12/21/07 SEK 38,260 EUR 4,129 70
12/24/07 SGD 5,905 USD 4,093 4
12/17/07 USD 952 DKK 4,786 (10)
12/17/07 USD 41,259 EUR 27,809 (429)
- --------------------------------------------------------------------------------
UNREALIZED
CURRENCY TO CURRENCY TO APPRECIATION/
MATURITY DELIVER RECEIVE (DEPRECIATION)
DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
12/17/07 USD 2,396 HKD 18,637 $ (1)
12/21/07 USD 5,326 CAD 4,970 (352)
12/17/07 USD 183 NZD 241 2
12/17/07 USD 1,419 SGD 2,043 (5)
12/21/07-03/26/08 USD 42,401 JPY 4,782,034 899
12/17/07-12/21/07 USD 20,692 AUD 23,441 24
12/17/07-12/21/07 USD 20,692 AUD 23,441 24
12/17/07-12/21/07 USD 89,814 GBP 43,793 181
12/17/07-12/21/07 USD 2,187 NOK 11,981 (26)
12/17/07-12/21/07 USD 5,184 SEK 32,704 (62)
12/21/07-04/21/08 USD 70,476 CHF 80,398 1,025
12/21/07 ZAR 17,346 USD 2,573 27
-------------
$ (884)
=============
A summary of outstanding swap agreements held by the Fund at November 30, 2007,
is as follows:
- --------------------------------------------------------------------------------
TOTAL RETURN SWAPS
- ---------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- ---------------------------------------------------------------------------------------------------
Deliver payment on the quarterly reset spread
from Swiss Market Index plus 25 basis points
times the notional amount. Fund pays
payment if the return on the spread
appreciates over the payment period
and receives if the return on the spread
depreciates over the payment period.
(Counterparty: Bear Stearns) 01/17/08 10,895 CHF $ (428)
Receive payment on the monthly reset spread
from Bank of America -- CMBS AAA10Yr
Index plus 40 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) 02/28/08 8,000 (207)
Receive payment on the monthly reset spread
from Bank of America -- CMBS AAA10Yr
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: Merrill Lynch) 01/31/08 15,000 (376)
Receive payment on the monthly reset spread
from Bank of America -- CMBS AAA10Yr
Index plus 50 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) 02/28/08 9,000 (233)
Receive payment on the monthly reset spread
from Bank of America -- CMBS AAA10Yr
Index minus 10 basis points times the notional
amount. Fund receives payment if the return
on the spread appreciates over the payment
period and pays if the return on the spread
depreciates over the payment period.
(Counterparty: Bank of America) 03/31/08 16,000 (414)
Receive payment on the monthly reset spread
from Bank 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) 01/31/08 10,000 (253)
Receive payment on the monthly reset spread
from Bank of America -- CMBS AAA10Yr
Index minus 75 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) 01/31/08 4,000 (103)
Receive payment on the monthly reset spread
from Bank of America -- CMBS AAA10Yr
Index plus 40 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) 04/30/08 5,000 (125)
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 83
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------------------------
Receive payment on the monthly reset spread
from Bank of America -- CMBS AAA10Yr
Index minus 80 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) 03/31/08 12,000 $ (310)
Receive payment on the monthly reset spread
from Bank of America -- CMBS AAA10Yr
Index minus 50 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) 03/31/08 5,000 (129)
Receive payment on the monthly reset spread
from Bank of America -- CMBS IG 10Yr Index
plus 35 basis points times the notional
amount. Fund receives payment if the return
on the spread appreciates over the payment
period and pays if the return on the spread
depreciates over the payment period.
(Counterparty: Bank of America) 05/01/08 5,000 (181)
Receive payment on the monthly reset spread
from Lehman Brothers -- CMBS AAA 8.5 Plus
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: JPMorgan Chase) 01/01/08 5,000 (194)
Receive payment on the monthly reset spread
from Lehman Brothers -- CMBS AAA 8.5 Plus
Index minus 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: Goldman Sachs) 03/01/08 9,000 356
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 appreci-
ates over the payment period and pays if
the return on the spread depreciates over
the payment period.
(Counterparty: Bear Stearns) 03/23/08 17,210 426
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 14,935 (628)
--------
$ (2,799)
========
- ---------------------------------------------------------------------------------------------------
CREDIT DEFAULT SWAPS
- ---------------------------------------------------------------------------------------------------
Fund delivers quarterly payment of 0.1125%
(0.450% per annum) times the notional
amount of the iTraxx Europe Senior Financials
5 Year Index, Series 8. Upon a defined credit
event, Fund receives the notional amount and
delivers the defined deliverable obligation.
(Counterparty: Bank of America) 12/20/12 1,250 $ (2)
Fund pays quarterly payment of 0.1125%
(0.450% per annum) times the notional
amount of the iTraxx Europe Senior Financials
5 Year Index, Series 8. Upon a defined credit
event, Fund receives the notional amount and
delivers the defined deliverable obligation.
(Counterparty: Goldman Sachs) 12/20/12 2,750 (1)
Fund pays quarterly payment of 0.0800%
(0.320% 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 (2)
Fund pays quarterly payment of 0.0880%
(0.350% 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 (3)
- --------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------------------------
Fund pays quarterly payment of 0.1100%
(0.440% 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 $ (1)
Fund pays quarterly payment of 0.1380%
(0.550% 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 (1)
Fund pays quarterly payment of 0.0500%
(0.200% 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 pays quarterly payment of 0.1000%
(0.400% per annum) times the notional
amount of CDX.NA.IG. Index. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined obligation.
(Counterparty: Bank of America) 12/20/11 925 (17)
Fund pays quarterly payment of 0.1000%
(0.400% per annum) times the notional
amount of CDX.NA.IG. Index. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined obligation.
(Counterparty: Bank of America) 12/20/11 600 (11)
Fund pays quarterly payment of 0.1000%
(0.400% per annum) times the notional
amount of CDX.NA.IG. Index. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined obligation.
(Counterparty: Bank of America) 12/20/11 11,300 (151)
Fund pays quarterly payment of 0.1110%
(0.445% 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 0.2950%
(1.180% 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 (10)
Fund pays quarterly payment of 0.0980%
(0.390% 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 (1)
Fund pays quarterly payment of 0.0930%
(0.370% 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 (1)
Fund pays quarterly payment of 0.1190%
(0.475% per annum) times the notional
amount of Limited 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 4
Fund pays quarterly payment of 0.1830%
(0.730% 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 14
Fund pays quarterly payment of 0.1175%
(0.475% 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 31
- --------------------------------------------------------------------------------
84 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- ---------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- ---------------------------------------------------------------------------------------------------
Fund pays quarterly payment of 0.0880%
(0.3500% 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 $ 109
Fund pays quarterly payment of 0.0550%
(0.220% 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 (1)
Fund pays quarterly payment of 0.0350%
(0.140% 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 4
Fund pays quarterly payment of 0.0880%
(0.350% 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) 12/20/13 750 120
Fund pays quarterly payment of 0.0880%
(0.350% 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) 12/20/13 750 185
Fund pays quarterly payment of 0.0475%
(0.190% 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 6
Fund delivers monthly payment of 0.0520%
(0.620% per annum) times the notional
amount of CMBX-NA-A 3 Index. Upon a
defined credit event, Fund will receive the
notional amount and deliver the defined
obligation.
(Counterparty: Goldman Sachs) 12/25/49 1,000 (42)
Fund pays quarterly payment of 0.1150%
(0.460% 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 (1)
Fund pays quarterly payment of 0.0550%
(0.220% 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 (1)
Fund pays quarterly payment of 0.0540%
(0.215% 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) 06/20/12 750 7
Fund pays quarterly payment of 0.0650%
(0.260% 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 7
Fund pays quarterly payment of 0.2950%
(1.180% 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 (10)
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) 12/20/11 750 183
- ---------------------------------------------------------------------------------------------------
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 $ 30
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 (2)
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) 12/20/13 750 120
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 16
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 (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) 12/20/13 750 109
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 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) 12/20/13 750 161
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 6
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 83
Fund pays 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 receive the notional
amount and deliver the defined obligation.
(Counterparty: Merrill Lynch) 12/20/11 650 (8)
Fund pays 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 receive the notional
amount and deliver the defined obligation.
(Counterparty: Merrill Lynch) 12/20/11 12,300 (164)
Fund pays 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 receive the notional
amount and deliver the defined obligation.
(Counterparty: Merrill Lynch) 12/20/11 3,850 (51)
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 85
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund (Concluded)
November 30, 2007
- --------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------------------------
Fund pays quarterly payment of 0.0625%
(0.250% 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 $ 8
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 8
Fund pays quarterly payment of 0.1130%
(0.450% 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 (2)
Fund pays quarterly payment of 0.2250%
(0.900% 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 17
Fund pays quarterly payment of 0.0700%
(0.280% 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 16
Fund pays quarterly payment of 0.1730%
(0.690% 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 (4)
Fund pays quarterly payment of 0.0680%
(0.270% 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 5
Fund pays quarterly payment of 0.1130%
(0.450% 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 9
Fund pays quarterly payment of 0.0850%
(0.338% 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: Merrill Lynch) 12/20/11 750 5
--------
$ 779
========
Percentages are based on Net Assets of $1,606,626 ($ Thousands).
* Non-Income Producing Security
** Rate shown is the 7-day effective yield as of November 30, 2007.
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
+ Real Estate Investment Trust
++ Investment in Affiliated Security (see Note 3).
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
(B) This security or a partial position of this security is on loan at
November 30, 2007 (see Note 9). The total value of securities on loan at
November 30, 2007 was $100,027 ($ 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 November 30,
2007 was $104,820 ($ Thousands).
(D) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of November 30, 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.
(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 deter- mined to be
liquid under guidelines established by the Board of Trustees.
(G) Step Bonds -- The rate reflected on the Schedule of Investments is the
effective yield on November 30, 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.
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
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
L.P. -- Limited Partnership
MTN -- Medium Term Note
MXP -- Mexican Peso
NIM -- Net Interest Margin
NOK -- Norwegian Krone
NZD -- New Zealand Dollar
SDR -- Swedish Depositary Receipt
SEK -- Swedish Krona
Ser -- Series
SGD -- Singapore Dollar
STRIPS -- Separately Traded Registered Interest and Principal Securities
TBA -- To Be Announced
USD -- U.S. Dollar
ZAR -- South African Rand
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
86 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
World Equity Ex-US Fund
November 30, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS+++:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Financials 18.1%
Materials 11.5%
Industrials 10.6%
Mortgage-Backed Securities 8.2%
Consumer Discretionary 7.8%
Energy 7.7%
Telecommunication Services 7.1%
Information Technology 6.2%
Short-Term Investments 5.9%
Consumer Staples 4.5%
Utilities 4.0%
Health Care 3.3%
Commercial Paper 3.2%
Asset-Backed Securities 1.0%
U.S. Treasury Obligations 0.5%
U.S. Government Agency Obligations 0.4%
Rights 0.0%
Options 0.0%
Equity-Linked Warrants 0.0%
Exchange Traded Funds 0.0%
+++ Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 9).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 83.8%
ARGENTINA -- 0.0%
Perez Companc ADR 27,984 $ 316
Petrobas Energia Participaciones
ADR 18,516 209
Telecom Argentina ADR, Ser B 25,200 677
--------------
1,202
--------------
AUSTRALIA -- 3.2%
AED Oil* 31,200 119
AGL Energy (B) 10,493 119
Amcor 212,189 1,285
AMP 108,485 973
Asciano Group 39,887 262
Australia & New Zealand Banking
Group 44,700 1,113
Australian Infrastructure Fund 308,800 901
Babcock & Brown (B) 14,166 325
BHP Billiton (B) 298,496 11,346
BlueScope Steel 235,100 2,048
Brambles 162,875 1,763
Challenger Financial Services Group 432,910 2,121
Coca-Cola Amatil 22,094 195
Commonwealth Bank of Australia 32,400 1,709
CSL 47,379 1,461
CSR 243,900 656
Dominion Mining 5,100 22
Downer EDI (B) 89,303 390
Felix Resources 5,600 40
Flight Centre 47,900 1,239
Fortescue Metals Group 8,900 446
Foster's Group 250,651 1,397
Goodman Fielder 758,427 1,311
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Incitec Pivot 300 $ 24
Independence Group 400 3
ING Industrial Fund (B) 449,521 1,065
John Fairfax Holdings 238,600 1,000
Jubilee Mines 14,300 291
Leighton Holdings 54,800 2,944
Macquarie Airports (B) 1,309,575 5,027
Macquarie Group (B) 16,746 1,189
Macquarie Infrastructure Group 705,745 2,010
Metcash (B) 287,200 1,110
Minara Resources 17,500 97
Mincor Resources 9,400 37
Mirvac Group 24,436 124
National Australia Bank 148,888 5,043
Newcrest Mining 130,150 3,886
OneSteel 32,000 188
Orica 1,600 40
Origin Energy 164,671 1,267
Pacific Brands 759,807 2,097
Portman* 7,551 75
Qantas Airways 324,185 1,677
QBE Insurance Group 345,439 9,905
Rio Tinto 13,600 1,746
Sally Malay Mining 5,500 25
Santos 78,400 992
Seven Network 137,300 1,639
Sims Group 9,142 220
Suncorp-Metway 62,964 1,040
TABCORP Holdings 32,200 435
Telstra 1,49,340 4,539
Toll Holdings 83,855 1,017
Westfield Group 59,368 1,073
Westpac Banking 36,000 902
Woolworths (B) 188,477 5,642
WorleyParsons 65,092 2,883
Zinifex 142,500 1,820
--------------
94,313
--------------
AUSTRIA -- 0.4%
Andritz 1,071 66
bwin Interactive Entertainment* 10,100 352
Erste Bank der Oesterreichischen
Sparkassen 4,200 306
Immoeast* 17,439 189
IMMOFINANZ 37,792 397
OMV 49,125 3,501
Raiffeisen International Bank
Holding (B) 7,358 1,201
Shoeller-Bleckmann Oilfield
Equipment 3,400 313
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 87
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Telekom Austria 22,300 $ 655
Voestalpine 32,263 2,368
Wienerberger 12,500 709
--------------
10,057
--------------
BELGIUM -- 0.9%
Barco 2,400 186
Belgacom (B) 35,746 1,869
Compagnie Maritime Belge 30,500 2,737
D'ieteren 53 21
Delhaize Group 12,232 1,068
Dexia 64,538 1,765
Fortis 235,818 6,338
Fortis (Netherlands Line) 80,483 2,162
Gimv 11,200 820
InBev 7,600 668
KBC Groep 8,900 1,241
Solvay 7,600 1,130
UCB 18,314 873
Umicore 16,400 3,850
--------------
24,728
--------------
BRAZIL -- 1.2%
Acos Villares 754,000 339
Banco Bradesco ADR (B) 162,899 5,237
Banco do Brasil 63,200 1,131
Banco Nossa Caixa 25,300 392
Cia de Saneamento Basico do Estado
de Sao Paulo 55,560 1,370
Cia de Saneamento de Minas
Gerais-COPASA 22,700 403
Cia Vale do Rio Doce ADR 172,290 5,957
Contax Participacoes 3,255 128
EDP - Energias do Brasil 41,500 627
Gerdau ADR (B) 53,325 1,499
Localiza Rent A Car 129,700 1,303
Lojas Renner 71,300 1,685
Natura Cosmeticos 61,800 649
Petroleo Brasileiro ADR 6,048 582
Petroleo Brasileiro SA - Petrobras 23,500 1,119
Petroquimica Uniao 9,300 80
Plascar Participacoes Industriais SA* 16,600 86
Santos-Brasil 76,876 1,012
Souza Cruz 42,500 1,213
Tim Participacoes ADR 5,200 202
Tim Participacoes ADR (B) 108,257 4,199
Uniao de Bancos Brasileiros 7,200 108
Uniao de Bancos Brasileiros ADR 38,730 5,799
Uniao de Bancos Brasileiros GDR 2,500 374
--------------
35,494
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CANADA -- 4.7%
Agrium* 9,847 $ 565
Aspreva Pharmaceuticals 3,050 78
Atco 6,500 394
Axcan Pharma* 4,900 111
Bank of Montreal* 41,150 2,612
Bank of Nova Scotia* 113,591 6,006
Barrick Gold 259,100 10,484
Barrick Gold (USD)* 18,900 766
Biovail 37,500 571
Bombardier, Cl B 399,700 2,419
BPO Properties* 1,400 87
CAE* 87,200 1,028
Cameco 97,969 4,064
Canaccord Capital 33,300 529
Canadian Imperial Bank of
Commerce 54,778 4,869
Canadian National Railway 10,500 508
Canadian Natural Resources 60,810 3,949
Canadian Utilities* 11,900 601
Cascades* 11,000 91
Celestica* 89,800 513
CGI Group, Cl A* 412,260 4,689
Cogeco* 80 3
Dorel Industries, Cl B* 34,200 1,083
Dundee* 1,500 33
Eastern Platinum* 768,650 2,092
Empire 5,550 249
EnCana 124,600 8,090
European Goldfields* 300 2
Fairfax Financial Holdings 3,500 1,015
Finning International* 55,071 1,508
George Weston* 28,350 1,555
Gerdau Ameristeel 20,230 256
Gildan Activewear* 14,900 566
HudBay Minerals* 29,600 637
Husky Energy* 44,820 1,779
Industrial Alliance Insurance and
Financial Services* 8,900 382
Inmet Mining* 11,900 1,107
Jean Coutu Group, Cl A 8,000 94
Kinross Gold* 9,960 172
Laurentian Bank 2,600 106
Linamar 7,800 155
Magna International, Cl A 19,500 1,561
Manulife Financial 30,600 1,279
Methanex 20,020 595
MI Developments, Cl A 4,700 128
National Bank of Canada 24,001 1,296
Nexen 21,701 616
Nortel Networks 190 3
Northbridge Financial 5,580 207
- --------------------------------------------------------------------------------
88 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Nova Chemicals 43,300 $ 1,402
Onex 20,400 740
Open Text 26,100 840
Paramount Resources, Cl A* 200 3
Petro-Canada 58,430 2,823
Pinetree Capital 110,000 526
Potash Saskatchewan 101,500 12,063
Power Corp of Canada 109,800 4,445
Power Financial 47,790 1,986
PrimeWest Energy Trust 3,500 94
QLT 7,460 36
Quebecor 6,560 254
Research In Motion 130,850 14,897
Rogers Communications, Cl B 155,190 6,452
Rothmans 7,600 190
Royal Bank of Canada 84,602 4,486
Saputo 2,600 151
Saskatchewan Wheat Pool* 200 2
Savanna Energy Services 100 1
Sherritt International 112,400 1,573
Shoppers Drug Mart 22,600 1,240
Sino-Forest, Cl A 51,200 1,127
South Atlantic Ventures* 34,330 336
Sun Life Financial 82,105 4,327
Suncor Energy 17,100 1,636
Teck Cominco, Cl B 90,100 3,452
TELUS 21,367 990
Thomson 21,000 813
Toronto-Dominion Bank 500 38
TransCanada 6,700 266
Yellow Pages Income Fund 590 8
--------------
138,700
--------------
CHILE -- 0.1%
Administradora de Fondos de
Pensiones Provida ADR 6,000 220
Cervecerias Unidas ADR 8,100 289
Cia Cervecerias Unidas ADR 5,500 196
Embotelladora Andina ADR 600 10
Empresa Nacional de Electricidad
ADR 3,000 122
Enersis ADR 78,500 1,371
Lan Airlines ADR 73,600 1,086
--------------
3,294
--------------
CHINA -- 2.0%
Alibaba.com* 59,000 303
Anhui Conch Cement 392,000 3,373
Bank of China 5,553,000 2,889
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Bengang Steel Plates, Cl B 1,053,100 $ 1,058
China Construction Bank 3,741,000 3,594
China International Marine
Containers 131,400 228
China Life Insurance 898,000 4,891
China Oilfield Services 402,000 957
China Petroleum & Chemical, Cl H 4,450,000 6,699
China Shipping Container Lines 1,098,750 987
China Shipping Development 1,578,000 4,277
China Telecom 2,432,000 1,937
Dongfeng Motor Group 1,266,000 977
First Tractor* 158,000 101
Great Wall Motor 169,000 257
Great Wall Technology* 60,000 19
Greentown Chinal Holdings 218,000 380
Guangdong Electric Power
Development 247,600 200
Hangzhou Steam Turbine 98,000 233
Harbin Power Equipment 312,000 1,050
Huadian Power International 110,000 58
Huaneng Power International 342,000 363
Industrial & Commercial Bank
of China, Cl H 6,657,000 5,267
Jiangxi Copper 99,000 262
Jianling Motors, Cl B 12,100 16
Lenovo Group 1,368,000 1,214
PetroChina, Cl H 4,722,000 9,110
Semiconductor Manufacturing
International* 512,000 48
Shanghai Electric Group 1,077,000 855
Sinotrans 574,000 282
Spg Land Holdings* 160,000 130
Tencent Holdings 28,000 209
Weiqiao Textile 148,000 217
Yanzhou Coal Mining 2,304,000 4,741
Zhejiang Expressway 794,000 1,136
--------------
58,318
--------------
COLOMBIA -- 0.0%
BanColombia ADR 18,500 684
--------------
CYPRUS -- 0.2%
Marfin Popular Bank 386,800 5,246
--------------
CZECH REPUBLIC -- 0.4%
CEZ 141,119 10,450
Unipetrol* 52,000 935
--------------
11,385
--------------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 89
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
DENMARK -- 0.6%
A P Moller - Maersk, Cl A 161 $ 1,895
A P Moller - Maersk, Cl B (B) 641 7,659
Carlsberg, Cl B 15,523 1,983
Danisco 7,281 539
Danske Bank 48,946 1,970
East Asiatic 7,875 541
Novo-Nordisk, Cl B 13,750 1,751
Vestas Wind Systems 26,000 2,477
--------------
18,815
--------------
EGYPT -- 0.1%
Egyptian International Pharmaceutical
Industrial 30,000 169
El Ezz Steel 57,000 599
Mobinil-Egyptian Mobile Services 17,600 673
Oriental Weavers 20,000 195
Paints & Chemical Industry 8,000 88
Suez Cement 2,000 22
--------------
1,746
--------------
FINLAND -- 1.1%
Kemira 13,600 272
Konecranes 8,117 312
Neste Oil 6,462 227
Nokia 526,822 21,088
Nokian Renkaat 17,300 661
OKO Bank, Cl A 54,191 1,074
Outokumpu 21,421 692
Rautaruukki 11,000 521
Sampo, Cl A 65,600 1,928
Stora Enso, Cl R (B) 220,800 3,649
UPM-Kymmene 45,200 958
Wartsila, Cl B 8,700 668
YIT 3,720 87
--------------
32,137
--------------
FRANCE -- 5.8%
Accor 6,975 592
Air France-KLM 53,923 1,946
Air Liquide 14,663 2,135
Alstom 4,131 929
April Group 5,300 342
Arkema* 7,200 457
Atos Origin* 5,100 290
AXA (B) 123,948 5,082
BNP Paribas 129,071 14,617
Bouygues 69,444 6,240
Capgemini 25,900 1,512
Carbone Lorraine 3,800 280
Carrefour 7,200 559
Casino Guichard Perrachon 7,238 800
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Christian Dior 11,100 $ 1,456
Cie de Saint-Gobain 53,189 5,250
Ciments Francais 3,780 635
CNP Assurances 14,066 1,755
Compagnie Generale de Geophysique* 16,940 5,099
Compagnie Generale des
Etablissements Michelin, Cl B 32,100 3,818
Credit Agricole 164,743 5,809
Dassault Systemes 22,048 1,298
Electricite de France (B) 4,700 573
Financiere de L'Odet 600 274
France Telecom 300,029 11,428
Groupe Danone 29,816 2,637
Havas 20,746 109
L'Oreal 31,105 4,334
Lafarge 27,570 4,406
Lagardere S.C.A. 38,937 3,135
Natixis 4,496 91
PagesJaunes Groupe 12,870 283
Pernod-Ricard 2,900 644
Peugeot 52,878 4,121
Publicis Groupe 10,700 390
Renault 54,423 7,945
Rhodia (B) 22,901 812
Sanofi-Aventis 179,006 17,082
Schneider Electric 49,408 6,917
SCOR 19,518 509
Sequana Capital 334 11
Societe Fonciere Financiere et de
Participations 98 14
Societe Generale 44,808 6,944
Sodexho Alliance 9,100 577
Suez* 1,813 121
Technip 7,300 597
Thales 11,196 672
Thomson 33,000 515
Total (B) 194,228 15,746
Vallourec 4,000 1,135
Veolia Environnement 32,165 2,983
Vinci (B) 114,280 9,137
Vivendi 83,323 3,839
--------------
168,882
--------------
GERMANY -- 6.3%
Allianz 89,858 18,597
Altana 421 11
BASF 94,258 13,111
Bayer 177,742 14,699
Bayerische Motoren Werke 32,200 1,971
Commerzbank 92,499 3,679
Continental 18,500 2,414
DaimlerChrysler 186,440 19,033
Deutsche Bank* 77,757 10,248
- --------------------------------------------------------------------------------
90 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Deutsche Beteiligungs 27,600 $ 934
Deutsche Boerse 18,296 3,443
Deutsche Lufthansa 139,995 3,791
Deutsche Telekom 217,677 4,825
E.ON 96,026 19,637
Fresenius Medical Care 122,800 6,889
Gildemeister 10,600 269
Hochtief 9,700 1,284
Hypo Real Estate Holding (B) 49,305 2,622
Infineon Technologies* 82,910 992
KSB 14 10
Lanxess 8,100 379
MAN 2,325 375
MTU Aero Engines Holding 543 29
Muenchener Rueckversicherungs 39,997 7,310
Norddeutsche Affinerie 92,400 3,140
Rheinmetall 2,800 233
RWE 41,278 5,658
Salzgitter 29,506 4,719
SAP 17,780 912
SGL Carbon* 68,600 3,873
Siemens 111,854 17,029
Software 9,600 785
ThyssenKrupp 77,101 4,561
TUI (B) 45,800 1,290
Volkswagen 17,059 4,103
Vossloh 16,300 1,771
Wincor Nixdorf 2,465 213
--------------
184,839
--------------
GREECE -- 0.1%
Alpha Bank 20,441 697
Coca Cola Hellenic Bottling 6,972 297
Cosmote Mobile Communications 2,046 79
Hellenic Telecommunications
Organization 27,100 983
OPAP 8,041 313
Public Power 11,000 541
--------------
2,910
--------------
HONG KONG -- 2.9%
Allied Properties 502,000 223
Bank of East Asia 367,300 2,234
BOC Hong Kong Holdings 276,500 723
Cheung Kong Holdings 95,000 1,785
China Everbright 252,000 825
China Mobile 1,561,200 28,154
China Netcom Group 266,000 851
China Oriental Group 238,000 165
China Resources Logic 1,112,000 207
China State Construction
International Holdings 544,000 938
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
China Unicom 178,000 $ 413
Chinese Estates Holdings 308,800 602
Chow Sang Sang Holdings 78,000 103
CITIC International Financial Holdings 1,058,000 682
CLP Holdings 130,500 884
CNOOC 12,000 22
Cosco Pacific 1,326,000 3,679
Dairy Farm International Holdings 18,000 83
Digital China Holdings 672,000 457
Enerchina Holdings 137,400 7
Esprit Holdings 110,200 1,653
Great Eagle Holdings 254,900 982
Guangzhou Investment 1,564,000 510
Guoco Group 52,100 699
Hang Lung Group 58,200 332
Hang Lung Properties 131,200 595
Hang Seng Bank 55,500 1,057
Hong Kong & China Gas (B) 271,400 802
Hong Kong Exchanges and Clearing 107,800 3,273
Hongkong & Shanghai Hotels 421,100 727
Hongkong Chinese 236,000 49
HongKong Electric Holdings 416,100 2,173
Hongkong Land Holdings 399,000 1,979
Hopewell Holdings 369,600 1,685
Hopson Development Holdings 140,000 437
Hutchison Telecommunications
International 240,500 338
Hutchison Whampoa 34,000 403
Industrial and Commercial Bank of
China Asia 358,000 839
Jardine Matheson Holdings 2,000 56
Jardine Strategic Holdings 3,000 48
Li & Fung 289,400 1,152
New World Development 579,800 2,208
Orient Overseas International 143,000 1,094
Pacific Century Premium
Developments 314,000 104
Sea Holdings 6,000 5
Shanghai Industrial Holdings 80,000 387
Shenzhen Investment 354,000 269
Shenzhou International Group
Holdings 818,000 368
Singamas Container Holdings 1,762,800 833
Sino Land 406,000 1,432
Sinolink Worldwide Holdings 614,000 150
Sun Hung Kai 698,500 951
Sun Hung Kai Properties 353,800 7,326
Swire Pacific, Cl A 192,400 2,590
Tian An China Investment 226,100 338
Transport International Holdings 28,800 131
Truly International Holdings 8,000 20
Vtech Holdings 69,700 619
Wharf Holdings 405,500 2,391
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 91
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Wheelock 264,700 $ 850
Wing On International 45,000 80
Yue Yuen Industrial Holdings 51,000 162
--------------
85,134
--------------
HUNGARY -- 0.2%
Danubius Hotel and Spa* 3,367 177
Magyar Telekom 210,000 1,102
OTP Bank 72,826 3,627
Raba Automotive Holding* 6,000 67
Tiszai Vegyi Kombinat* 6,600 286
--------------
5,259
--------------
INDIA -- 1.8%
Bank of India 118,400 1,048
Bharat Electronics 20,100 900
Bharti Televentures 208,317 4,939
Birla 20,000 173
CESC 17,280 273
Container of India 7,740 348
Dalmia Cement 1,780 22
GAIL India 12,297 133
Grasim Industries 6,390 613
Gujarat Narmada Valley Fertilizers 167,100 718
Gujarat State Fertilisers 93,610 622
Hindalco Industries 148,740 696
Hindustan Zinc 64,576 1,320
Jindal Stainless 101,150 556
JSW Steel 16,810 428
Kesoran Industries 20,900 296
Larsen & Toubro 38,172 3,977
Madras Cement 3,020 353
Mahindra & Mahindra 10,622 195
Maruti Udyog 25,230 646
National Aluminium 53,870 501
Neyveli Lignite Corporation 230,000 1,365
Oil & Natural Gas 62,610 1,845
Reliance Industries 2,180 157
Reliance Industries GDR 33,570 4,910
Satyam Computer Services 2,220 25
Siemens India 94,090 4,312
State Bank of India GDR (B) 9,020 1,088
Steel Authority of India 429,070 2,800
Sterlite Industries India 59,790 1,561
Tata Consultancy Services 6,790 173
Tata Motors 46,680 863
Tata Steel 283,726 5,914
UCO Bank 37,680 53
Unitech 453,306 4,367
Zee Entertainment Enterprises 519,221 3,772
--------------
51,962
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
INDONESIA -- 0.3%
Astra International 274,000 $ 731
Bank Rakyat Indonesia 2,738,500 2,280
HM Sampoerna 177,000 263
International Nickel Indonesia 83,000 835
Pt Apexindo Pratama Duta 278,500 68
Telekomunikasi Indonesia 4,527,800 4,905
Timah 128,000 341
--------------
9,423
--------------
IRELAND -- 0.3%
Allied Irish Banks 103,000 2,313
CRH 111,803 4,237
DCC 28,200 703
Irish Life & Permanent 22,300 444
--------------
7,697
--------------
ISRAEL -- 0.6%
Bank Hapoalim 1,007,033 5,008
Bank Leumi Le-Israel 330,000 1,520
Bezeq Israeli Telecommunication 1,320,543 2,391
Delek Group 2,700 642
Electra* 765 126
First International Bank of Israel* 32,000 426
Teva Pharmaceutical Industries 15,600 691
Teva Pharmaceutical Industries ADR 171,240 7,642
Union Bank of Israel 18,000 91
--------------
18,537
--------------
ITALY -- 2.3%
Aedes 56,100 311
AEM 376,200 1,585
Arnoldo Mondadori Editore 2,262 19
Banca Intesa 658,902 5,271
Banche Popolari Unite 30,102 861
Banco Popolare (B) 27,210 614
Beni Stabili 1,323,900 1,669
Buzzi Unicem (B) 36,100 1,004
Cementir 91,800 874
CIR-Compagnie Industriali Riunite 66,000 240
Danieli 23,700 773
Ducati Motor Holding 768,800 1,970
Edison 67,769 223
Enel (B) 293,285 3,526
ENI 317,635 11,362
Fiat (B) 408,158 11,245
Fiat RNC 71,220 1,593
Fondiaria-Sai 16,300 717
IFIL - Investments (B) 686,000 7,109
Immobiliare Grande Distribuzione 119,200 416
Indesit 43,800 740
- --------------------------------------------------------------------------------
92 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Iride 7,693 $ 28
Italcementi 51,052 1,061
Italmobiliare 7,107 688
KME Group* 143,567 352
MARR 51,500 581
Pirelli & C 10,843 13
Safilo Group 105,138 378
Saipem 120,700 4,872
Snam Rete Gas 76,800 489
Telecom Italia 728,000 2,321
Telecom Italia RNC 452,393 1,134
UniCredito Italiano 390,854 3,342
--------------
67,381
--------------
JAPAN -- 12.6%
Aderans 5,900 94
Advantest (B) 8,300 236
Aeon 305,500 4,665
Aichi Bank 900 80
Aida Engineering 1,000 6
Aioi Insurance 94,000 521
Aisin Seiki 80,800 3,256
All Nippon Airways 71,000 276
Alps Electric 68,300 857
Amada 94,000 856
AOC Holdings 45,000 725
Aoyama Trading 28,500 726
Asahi Breweries 66,100 1,148
Asahi Glass 139,000 1,930
Asahi Kasei 113,000 813
Astellas Pharma 32,200 1,434
Atsugi 833,400 1,112
Autobacs Seven 29,900 644
Bank of Kyoto 87,900 1,121
Bank of the Ryukyus 52,900 729
Belluna 2,600 21
BML 900 13
Bosch 21,000 107
Bridgestone 113,100 2,156
Canon 86,000 4,504
Canon Finetech 3,700 56
Casio Computer 35,400 450
Cawachi 1,800 48
Chiba Bank 15,000 128
Chudenko 5,300 101
Chukyo Bank 9,000 28
Citizen Watch (B) 108,000 1,155
CMK 128,500 949
Coca-Cola West Holdings (B) 23,900 544
COMSYS Holdings 54,000 443
Cosmo Oil 368,800 1,509
Credit Saison 5,000 143
Daicel Chemical Industries 1,000 6
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Daido Steel 20,000 $ 147
Daiei 4,050 24
Daimei Telecom Engineering 84,600 659
Dainippon Ink and Chemicals 96,000 481
Dainippon Screen Manufacturing 27,000 152
Dainippon Sumitomo Pharma 35,000 285
Daishi Bank 22,000 91
Daito Trust Construction 2,300 110
Daiwa House Industry 43,000 571
Denso 5,000 204
East Japan Railway 273 2,259
EDION 55,600 692
Eighteenth Bank 17,000 61
Elpida Memory (B)* 33,200 1,113
Fanuc 43,400 4,519
Fields 4 5
Fuji Electric Holdings 28,000 103
Fuji Fire & Marine Insurance 48,000 154
Fuji Heavy Industries 77,000 382
Fuji Machine Manufacturing 3,400 82
FUJIFILM Holdings 72,200 3,189
Fujikura 34,000 168
Fujitsu 522,000 3,656
Fukuda Denshi 2,300 67
Fukuyama Transporting 153,700 648
Futaba 4,500 94
Gunma Bank 254,900 1,864
Gunze 148,600 622
Hachijuni Bank 39,000 308
Hakuhodo DY Holdings 3,140 183
Hankyu Holdings 228,000 1,059
Heiwa 14,100 119
Higashi-Nippon Bank 2,000 7
Hirose Electric 2,200 247
Hitachi 363,900 2,552
Hitachi Cable 112,000 722
Hitachi Kokusai Electric 1,000 13
Hitachi Maxwell 10,200 129
Hokkaido Electric Power 14,100 311
Honda Motor 203,000 6,881
Hoya 73,900 2,572
Hyakugo Bank 18,000 106
Ibiden 50,300 3,959
Idemitsu Kosan 21,700 2,441
Inpex Holdings 158 1,610
Isuzu Motors (B) 404,000 1,879
Itochu 219,000 2,298
Japan Airlines 116,000 277
Japan Digital Laboratory 2,000 28
Japan Steel Works 573,510 8,371
Japan Tobacco 1,342 7,598
JFE Holdings 107,800 5,880
JGC 49,000 906
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 93
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Joshin Denki 74,200 $ 607
JS Group 1,600 26
Kagoshima Bank 10,000 72
Kamigumi 21,000 164
Kaneka 37,000 306
Kansai Electric Power 73,900 1,899
Katokichi 11,500 73
Kawasaki Heavy Industries 84,000 276
Kawasaki Kisen Kaisha (B) 62,000 735
KDDI 165 1,169
Keyence 5,800 1,347
Kinden 33,000 269
Kirin Brewery 48,000 757
KK DaVinci Advisors* 181 179
Kobe Steel 231,000 756
Komatsu 64,100 1,936
Komori 20,000 474
Kumagai Gumi 247,600 308
Kuraray 76,500 941
Kyocera 9,700 870
Kyorin* 10,000 117
Kyowa Exeo 13,000 99
Kyowa Hakko Kogyo (B) 32,000 362
Kyushu Electric Power 84,600 2,296
Leopalace21 32,200 941
Maeda Road Construction 7,000 58
Marubeni 107,000 815
Matsushita Electric Industrial 98,000 1,975
Matsushita Electric Works 20,000 208
Mazda Motor 129,000 694
Mie Bank 1,000 5
Millea Holdings 63,500 2,227
Mitsubishi 536,800 15,389
Mitsubishi Chemical Holdings 533,500 4,261
Mitsubishi Estate 170,500 4,565
Mitsubishi Gas Chemical 30,000 310
Mitsubishi Heavy Industries 158,000 762
Mitsubishi Materials 190,000 952
Mitsubishi Paper Mills 376,900 853
Mitsubishi Tanabe Pharma 35,000 337
Mitsubishi UFJ Financial Group 886,580 8,704
Mitsui 277,800 6,336
Mitsui Chemicals 273,000 1,989
Mitsui Mining & Smelting 47,000 200
Mitsui OSK Lines 316,000 4,703
Mitsui Sumitomo Insurance 108,100 1,174
Mizuho Financial Group 673 3,610
Mochida Pharmaceutical 14,000 141
Murata Manufacturing 13,900 811
Nafco 100 2
Namco Bandai Holdings 2,600 43
NEC 153,000 716
NGK Spark Plug 29,000 512
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Nichicon 73,300 $ 779
Nikon 24,000 746
Nintendo 31,715 19,299
Nippo 100,800 722
Nippon Beet Sugar Manufacturing 202,600 442
Nippon Electric Glass 39,600 661
Nippon Konpo Unyu Soko 79,400 1,038
Nippon Mining Holdings 350,600 2,579
Nippon Oil 221,000 1,825
Nippon Sheet Glass 163,000 889
Nippon Shokubai 18,000 174
Nippon Steel 590,900 3,542
Nippon Telegraph & Telephone (B) 1,345 6,123
Nippon Television Network 170 21
Nippon Yusen (B) 190,000 1,637
Nissan Motor 642,300 7,325
Nisshin Oillio Group 19,000 73
Nisshin Steel 273,000 1,014
Nisshinbo Industries 118,200 1,574
Nitto Kogyo 5,400 65
Nomura Holdings 88,000 1,577
NTT DoCoMo 1,848 2,915
Obayashi 64,000 324
Odakyu Electric Railway (B) 38,200 277
Oki Electric Industry (B) 202,000 342
Okumura 153,200 700
Omron 38,900 1,003
Onward Kashiyama 23,000 249
ORIX 32,520 6,623
Plenus 5,300 81
Rakuten* 689 353
Ricoh 98,000 1,846
Riso Kagaku 2,200 38
Rohm 11,100 1,017
Royal Holdings 3,000 32
Sankyo 15,100 681
Sanwa Shutter 74,000 370
Sega Sammy Holdings 31,100 396
Seikagaku 1,600 19
Seiko Epson 22,600 501
Seino Transportation 98,000 716
Sekisui Chemical 271,000 1,852
Sekisui House (B) 149,000 1,902
Senshukai 5,800 59
SFCG 5,700 855
Sharp 201,000 3,298
Shin-Etsu Chemical 13,400 794
Shinsei Bank 140,000 500
Shiseido 12,000 287
Showa 9,400 80
Showa Shell Sekiyu 79,700 908
Sintokogio 4,700 50
SMC 15,800 1,826
- --------------------------------------------------------------------------------
94 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Softbank (B) 369,200 $ 8,471
Sojitz 148,700 582
Sompo Japan Insurance 3,000 29
Sony 192,400 10,424
Sony Financial Holdings 229 867
Sumitomo 332,200 4,941
Sumitomo Chemical 456,700 3,887
Sumitomo Electric Industries 57,410 885
Sumitomo Forestry 22,000 160
Sumitomo Heavy Industries 23,000 248
Sumitomo Metal Industries 151,400 666
Sumitomo Metal Mining 86,000 1,768
Sumitomo Mitsui Financial Group (B) 1,481 12,697
Suzuken 10,900 360
Suzuki Motor 107,700 3,505
T&D Holdings 15,500 896
Taisho Pharmaceutical 1,000 20
Takeda Pharmaceutical 47,800 3,060
Teijin 71,000 307
Toagosei 436,400 1,440
Toda 405,100 2,158
Tokai Rika 4,200 126
Tokyo Electric Power 173,800 4,747
Tokyo Electron 10,300 632
Tokyo Gas 101,900 507
Tokyu 66,600 465
Toppan Printing 40,000 393
Toshiba (B) 886,600 7,209
Toshiba TEC 26,000 174
Tosoh 46,000 225
Toyo Seikan Kaisha 46,600 816
Toyota Auto Body 13,800 228
Toyota Industries 27,300 1,142
Toyota Motor 239,700 13,484
Trend Micro* 41,700 1,680
Trusco Nakayama 2,400 37
TV Asahi 63 99
Unicharm 13,900 900
UNY 71,000 628
Yahoo! Japan 4,667 2,243
Yamada Denki 25,590 2,955
Yamaha 8,600 208
Yamaha Motor 28,400 773
Yamatane 281,900 310
Yamato Kogyo 5,100 217
Yamato Transport 127,700 1,782
Yokogawa Bridge 75,100 433
Yokohama Rubber 180,700 1,118
Yutaka Giken 1,900 53
Zeon 38,000 251
--------------
369,984
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
JERSEY -- 0.0%
Meinl European Land* 15,180 $ 223
--------------
LUXEMBOURG -- 0.4%
ArcelorMittal 92,149 6,827
Oriflame Cosmetics SDR 1,050 64
SES Global FDR 38,100 959
SES Global FDR (Paris Exchange) 31,763 783
Tenaris ADR 6,300 297
Tenaris ADR (B) 73,000 3,444
--------------
12,374
--------------
MALAYSIA -- 0.6%
Affin Holdings 166,600 128
Boustead Holdings 276,000 505
Fraser and Neave Holdings 7,000 16
Hong Leong Bank 358,000 665
Hong Leong Financial Group 78,000 137
IOI 2,335,225 4,685
KFC Holdings 50,100 104
Lion Industries 603,000 389
Multi-purpose Holdings 236,000 144
Oriental Holdings 22,000 43
Perlis Plantations 21,000 63
Petronas Dagangan 144,000 368
Public Bank (Foreign Market) 19,000 61
Resorts World 4,425,500 4,998
Sunway City 62,000 90
Tenaga Nasional 1,844,100 5,070
UMW Holdings 14,000 62
--------------
17,528
--------------
MEXICO -- 1.3%
Alfa 145,400 948
America Movil ADR, Ser L 224,570 13,847
America Movil, Ser L 1,125,400 3,464
Cemex* 1,105,700 3,163
Cemex ADR* 19,400 555
Coca-Cola Femsa, Ser L 270,200 1,230
Consorcio 1,820,872 1,747
Controladora Comercial Mexicana 177,400 483
Cydsa* 42,800 32
Embotelladoras Arca 151,900 509
Gruma 2,600 8
Grupo Bimbo, Ser A 31,250 175
Grupo Carso, Ser A1 155,500 547
Grupo Continental 163,500 348
Grupo Financiero Banorte (B) 1,004,989 4,366
Grupo Lamosa 79,400 185
Grupo Mexico, Ser B 296,700 2,082
Grupo Simec, Ser B* 104,200 338
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 95
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Industrias Penoles* 24,320 $ 583
Industrias, Ser B 90,800 337
Promotora Y Operadora de* 72,400 241
Telefonos de Mexico 1,261,700 2,357
Vitro, Ser A 45,700 84
--------------
37,629
--------------
NETHERLANDS -- 3.2%
ABN AMRO Holding 162 9
Aegon 101,125 1,812
Akzo Nobel (B) 149,040 11,463
Buhrmann 9,817 87
CSM 884 31
European Aeronautic Defense and
Space (B) 24,857 801
Fugro 7,426 612
Heineken 1,574 104
Heineken Holding 8,798 494
Hunter Douglas 3,600 264
ING Groep (B) 411,591 16,028
Koninklijke Ahold 223,258 3,182
Koninklijke BAM Groep 64,994 1,561
Koninklijke DSM 45,608 2,277
Reed Elsevier 52,357 967
Royal Dutch Shell, Cl A 479,991 19,425
Royal Dutch Shell, Cl A (GBP) 131,883 5,331
Royal Dutch Shell, Cl B 240,764 9,663
Royal KPN 106,082 1,956
Smit Internationale 3,500 353
TNT 42,132 1,731
Unilever (B) 386,000 13,683
Vedior 37,300 931
Wolters Kluwer (B) 20,400 636
--------------
93,401
--------------
NEW ZEALAND -- 0.1%
Air New Zealand 512,700 708
Fletcher Building 98,300 893
Infratil 197,700 424
Telecom of New Zealand 6,700 22
--------------
2,047
--------------
NORWAY -- 0.4%
Aker, A Shares 7,213 435
DnB 115,200 1,806
Ementor* 172,200 1,208
Norsk Hydro 348,800 4,812
Orkla 31,700 573
Petroleum Geo-services (B) 3,000 86
Statoil 32,400 1,052
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Telenor 98,500 $ 2,287
Yara International 15,000 571
--------------
12,830
--------------
PANAMA -- 0.0%
Copa Holdings 7,200 260
--------------
PHILIPPINES -- 0.1%
Bank of the Philippine Islands* 345,000 509
Benpres Holdings* 96,000 9
DMCI Holdings 69,000 16
JG Summit Holdings 1,055,000 244
Philex Mining 2,532,000 592
Philippine Long Distance Telephone 2,000 145
San Miguel, Cl B 106,000 126
SM Investments 161,582 1,253
--------------
2,894
--------------
POLAND -- 0.3%
Echo Investment* 4,800 146
Grupa Lotos 18,000 344
KGHM Polska Miedz 11,500 528
Orbis 12,000 294
Polish Oil & Gas* 468,000 1,027
Polski Koncern Naftowy Orlen 112,400 2,398
Polski Koncern Naftowy Orlen GDR 10,200 423
Telekomunikacja Polska 213,000 1,921
Zaklady Azotowe Pulawy 2,100 93
--------------
7,174
--------------
PORTUGAL -- 0.2%
Banco Comercial Portugues 154,000 676
Banco Espirito Santo 62,672 1,461
Cimpor Cimentos de Portugal 79,099 708
Energias de Portugal 302,360 2,046
Jeronimo Martins 46,000 371
Semapa-Sociedade de Investimento
e Gestao 6,222 92
Sonae 116,700 351
Sonae Industria* 22,990 262
Teixeira Duarte - Engenharia
Construcoes 8,127 27
--------------
5,994
--------------
RUSSIA -- 2.5%
Cherkizovo Group GDR* 60,759 844
LUKOIL ADR 16,167 1,398
LUKOIL Sponsored ADR 64,699 5,538
Mechel ADR 71,000 6,460
- --------------------------------------------------------------------------------
96 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
MMC Norilsk Nickel ADR 27,760 $ 8,078
Mobile Telesystems ADR 98,400 8,925
Novolipetsk Steel GDR (B) 96,091 3,844
Novorossiysk Sea Trade Port ADR* 66,550 1,348
OAO Gazprom ADR 279,190 14,714
Open Investments GDR* 77,409 2,748
Polyus Gold ADR 32,971 1,434
Rosneft Oil GDR 298,559 2,707
Sberbank GDR (B) 13,844 6,536
Surgutneftegaz ADR (B) 29,801 1,772
Tatneft GDR 16,800 2,045
Unified Energy System GDR* 29,300 3,604
--------------
71,995
--------------
SINGAPORE -- 0.7%
Allgreen Properties 795,800 886
CapitaLand 271,000 1,311
City Developments 76,300 759
Cosco Singapore 6,000 29
DBS Group Holdings 78,000 1,084
Flextronics International* 38,300 458
Fraser and Neave 26,000 104
Ho Bee Investment 103,000 105
Hong Leong Finance 227,700 592
Hotel Plaza 84,000 109
Jardine Cycle & Carriage 53,558 774
K1 Ventures 68,000 15
Keppel 193,000 1,788
Kim Eng Holdings 429,400 668
Mapletree Logistics Trust+ 1,347,100 987
MCL Land 9,000 15
Metro Holdings 51,000 38
NatSteel 60,000 60
Neptune Orient Lines 441,000 1,268
SembCorp Industries 96,000 372
Singapore Airlines 53,000 656
Singapore Exchange 237,400 2,314
Singapore Petroleum 273,000 1,434
Singapore Press Holdings 100,000 314
Singapore Technologies Engineering 169,000 441
Singapore Telecommunications 324,850 871
SP Chemicals 80,000 55
United Overseas Bank 57,700 790
UOB-Kay Hian Holdings 21,000 31
UOL Group 97,000 303
Venture 16,000 139
Wheelock Properties S 311,500 463
Wing Tai Holdings 837,100 1,522
--------------
20,755
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
SOUTH AFRICA -- 1.3%
African Rainbow Minerals 19,000 $ 419
Anglo Platinum 14,000 2,000
AngloGold Ashanti 9,900 492
Assore 7,600 445
DataTec 50,000 262
Gold Fields 13,000 220
Harmony Gold Mining* 163,335 1,754
Harmony Gold Mining ADR 171,800 1,793
Impala Platinum Holdings 71,400 2,488
Imperial Holdings 26,000 394
JD Group 27,000 214
Liberty Group 70,000 916
Liberty Holdings 12,600 424
Merafe Resources* 909,672 278
Metropolitan Holdings 182,000 402
Mittal Steel South Africa 43,000 874
Mondi 6,470 55
MTN Group 23,000 466
Mvelaphanda Resources* 27,000 187
Nampak 7,696 25
Palabora Mining* 16,000 231
Sanlam 1,456,503 5,009
Sappi 209,954 2,869
Sasol 225,839 11,429
Standard Bank Group 200,100 3,091
Telkom 96,000 2,055
--------------
38,792
--------------
SOUTH KOREA -- 3.0%
Asia Cement 1,094 74
Daewoo Shipbuilding & Marine
Engineering 84,588 4,155
Daou Technology 3,660 45
Dongbu Insurance 18,570 941
Doosan 4,070 1,001
Eugene 11,290 144
Hana Financial Group 24,100 1,134
Handsome 15,000 198
Hanwha Chemical 23,300 554
Honam Petrochemical 6,000 785
Hynix Semiconductor 31,500 886
Hyundai Development 53,979 4,829
Hyundai Heavy Industries 17,748 9,056
Hyundai Marine & Fire Insurance 30,020 668
Hyundai Mipo Dockyard 3,227 1,119
Hyundai Mobis 15,954 1,493
Industrial Bank of Korea 10,680 186
KCC Engineering & Construction 1,700 129
KISWIRE 2,710 144
Kookmin Bank 5,900 425
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 97
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Kookmin Bank ADR (B) 60,663 $ 4,399
Korea Development Financing 4,140 188
Korea Electric Power 62,850 2,634
Korea Fine Chemical 2,890 281
Korea Kumho Petrochemical 8,060 605
Korea Zinc 970 142
Korean Petrochemical Industries 4,580 306
KT&G 24,640 2,054
Kyeryong Construction Industrial 1,080 48
LG 16,040 1,365
LG Chem 15,620 1,665
LG Electronics 24,510 2,549
LG Home Shopping 1,514 119
LG Philips LCD* 123,050 6,920
LS Cable 4,920 561
Nong Shim Holdings 1,110 94
Pacific 1,460 265
POSCO 6,810 4,340
Samho International 12,280 313
Samsung Electronics 19,871 12,188
Samsung Electronics GDR 3,984 1,215
Samsung Fire & Marine Insurance 15,878 3,947
Samsung Heavy Industries 18,620 852
Samwhan 3,300 108
SFA Engineering 2,225 141
Shinhan Financial Group 41,540 2,259
Shinsegae 6,120 4,830
SK Energy* 4,982 1,025
SK Gas 3,820 314
SK Holdings 2,035 475
SK Telecom 519 139
SK Telecom ADR (B) 42,700 1,352
Taekwang Industrial 280 423
Young Poong 420 264
Youngone 14,160 146
--------------
86,492
--------------
SPAIN -- 2.0%
ACS Actividades Construcciones y
Servicios (B) 31,604 2,040
Banco Bilbao Vizcaya Argentaria 296,449 7,402
Banco Santander Central Hispano 457,812 9,838
Cementos Portland Valderrivas 3,150 352
Ebro Puleva (B) 13,155 258
Fomento de Construcciones y
Contratas 7,200 610
Gas Natural SDG (B) 128,287 7,922
Gestevision Telecinco (B) 20,841 565
Iberdrola 388,552 6,428
Inditex 18,865 1,319
Repsol* 258,472 9,553
Sol Melia 18,200 305
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Telefonica (B)* 345,871 $ 11,631
Union Fenosa 11,533 801
--------------
59,024
--------------
SWEDEN -- 1.0%
Assa Abloy, Cl B 19,200 400
Atlas Copco, Cl A 84,700 1,246
Boliden 31,765 449
D Carnegie 15,500 299
Hennes & Mauritz, Cl B 1,125 70
Industrivarden, Cl A 32,900 618
Investor, Cl B 16,300 383
Kinnevik Investment 13,800 336
Nordea Bank 93,000 1,561
Saab, Cl B 10,061 207
Sandvik 101,715 1,843
SAS* 19,500 298
Skandinaviska Enskilda Banken, Cl A 34,470 963
SKF 38,400 678
Ssab Svenskt Stal, Ser A 26,800 736
Svenska Cellulosa, Cl B 174,489 3,114
Svenska Handelsbanken, Cl A 57,063 1,813
Tele2, Cl B 275,100 6,287
Telefonaktiebolaget LM Ericsson, Cl B 1,044,000 2,549
TeliaSonera 376,500 3,595
Trelleborg, Cl B 18,600 414
Volvo, Cl B 111,000 1,894
Wihlborgs Fastigheter 7,823 140
--------------
29,893
--------------
SWITZERLAND -- 4.1%
ABB 111,520 3,277
Addax Petroleum 17,200 742
Adecco 16,500 922
AFG Arbonia-Forster Holdings 1,000 347
Bobst Group 516 36
Bucher Industries 1,800 446
Ciba Specialty Chemicals 5,100 231
Clariant 29,000 257
Compagnie Financiere Richemont,
Cl A 148,299 10,206
Credit Suisse Group 188,907 11,402
Elektrizitaets-Gesellschaft Laufenburg 300 391
Energiedienst Holding 434 235
Forbo Holding 550 331
Georg Fischer 13 9
Helvetia Holding 800 269
Holcim 52,452 5,658
Inficon Holding 5,700 969
Nestle 38,893 18,705
Nobel Biocare Holding 5,515 1,573
Novartis 216,647 12,348
- --------------------------------------------------------------------------------
98 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Rieter Holding 802 $ 400
Roche Holding 73,164 13,965
Schweizerische National-
Versicherungs-Gesellschaft 76 53
Swatch Group 6,017 330
Swiss Life Holding 5,205 1,466
Swiss Reinsurance 111,678 8,304
Swisscom 8,149 3,103
Syngenta 31,230 7,703
UBS 72,297 3,663
Xstrata 114,974 8,083
Zurich Financial Services 17,325 5,052
--------------
120,476
--------------
TAIWAN -- 2.2%
Acer 413,105 871
Advanced Semiconductor
Engineering 3,759,844 3,852
Asustek Computer 663,171 2,076
AU Optronics 1,848,051 3,580
Cathay Financial Holding 1,640,000 3,680
Chang Hwa Commercial Bank 150,000 89
Cheng Loong 454,000 154
Chi Mei Optoelectronics 1,313,000 1,762
China Development Financial Holding 3,479,350 1,380
China Petrochemical Development* 1,560,000 679
China Steel 681,330 898
Chinatrust Financial Holding* 5,025,600 3,645
Chunghwa Telecom 1,002,700 2,002
Compal Electronics 1,112,605 1,285
CTCI 160,297 120
Delta Electronics 1,204,250 4,143
Eastern Media International 390,000 143
Far EasTone Telecommunications 325,000 423
Farglory Land Development 387,000 856
Formosa Chemicals & Fibre 252,000 641
Fubon Financial Holding 1,331,000 1,165
HannStar Display* 2,029,000 912
High Tech Computer GDR 13,580 1,009
HON HAI Precision Industry 650,558 4,154
HON HAI Precision Industry GDR 31,745 405
Inventec 1,703,900 951
KYE Systems 1 --
Lite-On Technology 503,221 870
Macronix International 1,083,720 548
Makalot Industrial 55,000 135
MediaTek 288,950 3,762
Mitac International 955,599 1,063
Nan Ya Plastic 449,000 1,166
Nien Hsing Textile 258,000 160
Powerchip Semiconductor 1 --
President Securities 250,470 161
Quanta Computer 707,980 1,064
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Siliconware Precision Industries 2,174,133 $ 3,976
Taiwan Cooperative Bank 1,362,660 1,012
Taiwan Polypropylene 30,240 21
Taiwan Semiconductor Manufacturing 871,396 1,637
Taiwan Semiconductor Manufacturing
ADR (B) 511,458 5,074
Tatung* 1,755,000 887
Teco Electric and Machinery 1,632,000 862
Tung Ho Steel Enterprise 274,000 412
U-Ming Marine Transport 17,000 46
United Microelectronics 564,141 337
Walsin Lihwa 987,000 428
Walsin Technology 120,000 103
Wistron 241,657 418
Yang Ming Marine Transport 703,576 547
--------------
65,564
--------------
THAILAND -- 0.4%
CalComp Electronics Thailand NVDR 589,200 121
PTT 100,300 1,126
PTT (Foreign) 373,500 4,193
PTT NVDR 210,700 2,366
Siam Commercial Bank 1,112,300 2,826
Thai Airways International NVDR 394,000 428
--------------
11,060
--------------
TURKEY -- 0.4%
Anadolu Isuzu Otomotiv Sanayi 1 --
Aygaz 78,001 327
Bossa Ticaret Sanayi Isletme 60,000 82
Cimsa Cimento Sanayi VE Tica 36,000 273
Eczacibasi Ilac Sanayi* 49,000 220
Eregli Demir ve Celik Fabrikalari 8,000 66
Haci Omer Sabanci Holding 1,003,283 5,619
KOC Holding* 340,000 1,731
Petrol Ofisi* 102,000 528
Tupras Turkiye Petrol Rafine 11,000 287
Turk Hava Yollari* 52,000 349
Turk Sise ve Cam Fabrikalari 255,569 499
Turkcell Iletisim Hizmet 80,000 869
Turkcell Iletisim Hizmet ADR 33,000 902
Vestel Elektronik Sanayi* 110,000 295
Yazicilar Holding 44,000 338
--------------
12,385
--------------
UNITED KINGDOM -- 11.5%
3i Group 81,395 1,821
Acergy 230,800 4,932
Aegis Group 57,421 131
Alliance & Leicester 39,200 588
Amec 428,140 6,756
Anglo American 246,889 16,681
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 99
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Antofagasta 22,700 $ 356
ARM Holdings 48,741 133
Associated British Foods 150,000 2,736
AstraZeneca 101,091 4,802
AstraZeneca (SEK)* 15,850 758
Autonomy* 202,730 3,328
Aviva 354,833 4,976
BAE Systems 1,737,875 16,437
Balfour Beatty 8,818 89
Barclays 759,287 8,790
Barratt Developments 84,134 805
Bellway 18,769 374
Berkeley Group Holdings 27,200 789
BG Group 20,540 430
BHP Billiton 436,455 14,421
Bovis Homes Group 22,030 287
BP 1,366,245 16,574
Brit Insurance Holdings 29,373 155
British Airways* 124,288 872
British American Tobacco 143,752 5,577
British Energy Group 180,231 1,938
British Land+ 114,385 2,161
BT Group 299,254 1,764
Carphone Warehouse Group 39,894 300
Centrica 625,470 4,681
Charter* 31,917 566
Chaucer Holdings 293,500 610
Close Brothers Group 4,933 91
Compass Group 155,500 1,019
Cookson Group 26,340 404
Daily Mail & General Trust 86,233 986
Diageo 365,060 8,204
Dimension Data Holdings 263,800 334
DS Smith 109,900 473
Enterprise Inns 24,874 272
Firstgroup 310,100 4,527
FKI 179,500 285
Friends Provident 3,714 12
Galliford Try 15,645 41
GKN 74,300 489
GlaxoSmithKline 479,064 12,687
Go-Ahead Group 6,100 310
Greene King 83,000 1,398
Group 4 Securicor 9,430 42
Hammerson+ 2,946 63
Hays 79,082 207
HBOS 663,700 10,890
Home Retail Group 525,131 3,747
HSBC Holdings 653,729 11,156
Imperial Tobacco Group 45,761 2,366
International Power 28,314 272
Investec 45,615 488
Kazakhmys 68,000 1,881
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Legal & General Group 300,814 $ 802
Lloyds TSB Group 112,166 1,142
LogicaCMG 70,952 181
London Stock Exchange Group 138,360 5,064
Lonmin 7,500 501
Marks & Spencer Group 131,203 1,574
Marston's 81,400 562
Michael Page International 47,257 318
Millennium & Copthorne Hotels 71,207 680
Mitchells & Butlers 94,951 1,127
Mondi 64,462 515
National Grid 297,500 5,025
Next 19,627 702
Northern Foods 521,100 1,021
Old Mutual 545,197 1,890
Persimmon 103,100 1,694
Premier Foods 99,900 411
Prudential 178,174 2,488
Punch Taverns 103,260 1,743
Qxl Ricardo 12,600 440
Reckitt Benckiser Group 37,618 2,235
Reuters Group 113,200 1,387
Rio Tinto 106,787 12,384
Rolls-Royce Group 154,000 1,673
Royal & Sun Alliance Insurance
Group 535,187 1,634
Royal Bank of Scotland Group 1,798,024 16,969
SABMiller 375,287 10,680
Scottish & Southern Energy 102,057 3,337
Segro+ 1 --
Severn Trent 27,800 896
Shire 198,850 4,755
Smith & Nephew 571,650 6,835
St. Ives Group 104,800 537
Stagecoach Group 115,907 589
Standard Chartered 83,507 3,286
Standard Life 233,318 1,259
Stolt-Nielsen 41,400 1,038
Taylor Woodrow 208,161 880
Tesco 355,400 3,500
Travis Perkins 11,300 309
Trinity Mirror 65,316 455
Tui Travel 13,277 75
Unilever 38,312 1,405
United Utilities 155,778 2,402
Vodafone Group 10,189,060 38,171
Wolseley 81,200 1,160
WPP Group 128,000 1,616
Yell Group 208,700 1,787
--------------
337,396
--------------
Total Common Stock
(Cost $2,136,763) ($ Thousands) 2,454,313
--------------
- --------------------------------------------------------------------------------
100 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES -- 8.8%
AGENCY MORTGAGE-BACKED OBLIGATIONS -- 6.4%
FHLMC
6.000%, 10/01/21-11/01/21 $ 51 $ 51
FHLMC ARM
5.804%, 01/01/37 13,624 13,845
FHLMC CMO STRIPS, Ser 232,
Cl IO, IO
5.000%, 08/01/35 12,719 3,098
FHLMC CMO STRIPS, Ser 233,
Cl 12, IO
5.000%, 09/15/35 1,461 318
FHLMC CMO STRIPS, Ser 245,
Cl IO, IO
5.000%, 05/15/37 1,170 316
FHLMC TBA
6.000%, 12/15/18 24,000 24,503
FNMA
5.500%, 06/01/22 17 17
4.604%, 01/02/08 (A) 2,473 2,463
FNMA TBA
6.000%, 12/01/18-01/01/37 104,000 106,301
5.500%, 01/01/19-01/01/37 22,106 22,581
5.000%, 01/01/19-12/01/37 4,007 4,021
FNMA CMO STRIPS, Ser 10,
Cl FD (D)
5.481%, 12/25/07 1,574 1,564
FNMA CMO STRIPS, Ser 359,
Cl 6, IO
5.000%, 11/01/35 572 129
FNMA CMO STRIPS, Ser 360,
Cl 2, IO
5.000%, 08/01/35 10,277 2,509
FNMA CMO STRIPS, Ser 377,
Cl 2, IO
5.000%, 10/01/36 26 7
GNMA ARM
6.500%, 12/30/07 351 355
6.500%, 02/20/34 279 284
6.000%, 01/20/33 822 832
6.000%, 04/20/34 327 330
5.625%, 08/20/34 392 395
5.500%, 06/20/36 1,215 1,220
5.250%, 08/20/34 163 165
5.000%, 02/20/35 306 306
4.750%, 12/20/33 1,902 1,904
--------------
187,514
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 2.4%
Adjustable Rate Mortgage Trust,
Ser 2005-5, Cl 1A1 (D)
4.948%, 12/01/07 $ 1,051 $ 1,040
American Home Mortgage
Investment Trust, Ser 2004-3,
Cl 2A (D)
6.644%, 03/01/08 2,790 2,745
American Home Mortgage
Investment Trust, Ser 2005-1,
Cl 6A (D)
5.294%, 12/25/07 4,046 4,021
American Home Mortgage
Investment Trust, Ser 2005-4,
Cl 5A (D)
5.350%, 12/25/07 3,155 3,133
American Home Mortgage
Investment Trust, Ser 2006-1,
Cl 2A3 (D)
5.100%, 12/25/07 1,310 1,181
Banc of America Commercial
Mortgage, Ser 2006-2, Cl A1
5.611%, 05/10/45 919 928
Banc of America Funding,
Ser 2006-A, Cl 2A2 (D)
5.558%, 12/01/07 151 151
Bear Stearns Alt-A Trust,
Ser 2004-12, Cl 2A2 (D)
5.319%, 12/01/07 1,147 1,114
Citigroup Mortgage Loan Trust,
Ser 2007-AR5, Cl 1A2A (D)
5.614%, 12/01/07 2,515 2,534
Countrywide Alternative Loan Trust,
Ser 2004-33, Cl 1A1 (D)
5.005%, 12/01/07 627 625
Countrywide Alternative Loan Trust,
Ser 2005-69, Cl M3 (D)
5.939%, 12/27/07 220 173
Countrywide Alternative Loan Trust,
Ser 2005-IM1, Cl M3 (D)
6.789%, 12/27/07 380 140
Countrywide Alternative Loan Trust,
Ser 2006-0A11, Cl M3 (D)
5.219%, 12/30/07 450 439
Countrywide Home Loans,
Ser 2004-22, Cl A1 (D)
5.089%, 12/01/07 574 575
Countrywide Home Loans,
Ser 2006-HYB2, Cl 1A1 (D)
5.001%, 12/20/07 1,608 1,624
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 101
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Home Loans,
Ser 2007-HYB1, Cl 1A1 (D)
5.576%, 12/01/07 $ 1,397 $ 1,388
Countrywide Home Loans,
Ser 2007-HYB2, Cl 3A1 (D)
5.461%, 12/01/07 946 922
DLSA Mortgage Loan Trust,
Ser 2006-AR1, Cl M4 (D)
5.761%, 12/19/07 250 205
DSLA Mortgage Loan Trust,
Ser 2004-AR4, Cl B1 (D)
5.286%, 12/19/07 297 282
DSLA Mortgage Loan Trust,
Ser 2006-AR1, Cl M5 (D)
5.831%, 12/19/07 150 119
DSLA Mortgage Loan Trust,
Ser 2006-AR1, Cl M7 (D)
6.771%, 12/19/07 150 113
Deutsche Alternatives Securities
Mortgage Loan Trust,
Ser 2006-AB3, Cl A1 (D)
6.250%, 06/30/36 856 853
First Horizon Alternative Mortgage
Trust, Ser 2006-AA6, Cl 2A1 (D)
5.642%, 12/01/07 4,681 4,582
First Horizon Mortgage
Pass-Through Trust,
Ser 2006-AR3, Cl 1A1 (D)
5.684%, 12/01/07 1,422 1,427
GS Mortgage Securities,
Ser 2007-GG10, Cl A4 (D)
5.993%, 08/10/45 1,300 1,332
Greenpoint Mortgage Funding Trust,
Ser 2006-AR1, Cl M3 (D)
5.443%, 12/27/07 350 242
Indymac Mortgage Loan Trust,
Ser 2004-AR11, Cl 4A1 (D)
5.785%, 12/01/07 2,014 1,993
Indymac Mortgage Loan Trust,
Ser 2004-AR6, Cl 1A (D)
7.498%, 12/01/07 113 114
JPMorgan Chase Commercial
Mortgage, Ser 2006-CB17, Cl A4
5.429%, 12/12/43 1,800 1,795
Lehman Mortgage Trust,
Ser 2006-4, Cl 4A1
6.000%, 08/25/21 3,473 3,480
MLCC Mortgage Investors,
Ser 2006-1, Cl 1A1 (D)
5.301%, 12/01/07 1,732 1,743
Master Adjustable Rate Mortgages,
Ser 2004-6, Cl 2A1 (D)
5.329%, 07/25/34 1,738 1,754
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Master Adjustable Rate Mortgages,
Ser 2005-2, Cl 3A1 (D)
4.774%, 12/01/07 $ 1,333 $ 1,331
Morgan Stanley Mortgage Loan Trust,
Ser 2007-11AR, Cl 2A5 (D)
6.001%, 12/01/07 960 972
Morgan Stanley Mortgage Loan Trust,
Ser 2007-14AR, Cl 6A1 (D)
6.487%, 11/25/37 3,201 3,261
Nomura Asset Acceptance,
Ser 2004-R1, Cl A1 (F)
6.500%, 03/25/34 324 327
Nomura Asset Acceptance,
Ser 2004-R2, Cl A1 (D) (F)
6.500%, 10/25/34 386 387
Nomura Asset Acceptance,
Ser 2007-1, Cl 1A1A (G)
5.995%, 12/09/07 1,854 1,860
Residential Accredit Loans,
Ser 2005-Q05, Cl M3 (D)
5.673%, 12/25/07 348 298
Residential Accredit Loans,
Ser 2005-QA3, Cl NB2 (D)
5.240%, 12/25/07 1,488 1,513
Residential Accredit Loans,
Ser 2006-Q01, Cl 2A3 (D)
5.189%, 12/27/07 278 270
Residential Asset Securitization Trust,
Ser 2004-IP2, Cl 3A1 (D)
5.248%, 12/25/07 1,326 1,319
Structured Adjustable Rate Mortgage
Loan, Ser 2005-16 XS, Cl M2 (D)
5.689%, 12/25/07 205 141
Structured Adjustable Rate Mortgage
Loan, Ser 2007-3, Cl 2A1 (D)
5.980%, 12/01/07 4,656 4,712
Structured Adjustable Rate Mortgage
Loan, Ser 2007-9, Cl 2A1 (D)
6.000%, 12/01/07 1,970 2,008
Structured Asset Securities,
Sasc 2006-nc1 A4, 5/25/2036 (D)
4.939%, 12/25/07 300 273
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2007-HY2, Cl 1A1 (D)
5.776%, 04/25/37 1,834 1,799
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2007-HY4, Cl 1A1 (D)
5.559%, 12/01/07 3,603 3,581
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2007-HY6, Cl HY6 (D)
5.707%, 06/25/37 2,781 2,771
- --------------------------------------------------------------------------------
102 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Wells Fargo Mortgage Backed
Securities Trust, Ser 2004-I,
Cl B1 (D)
5.839%, 12/01/07 $ 119 $ 119
--------------
69,709
--------------
Total Mortgage-Backed Securities
(Cost $257,172) ($ Thousands) 257,223
--------------
ASSET-BACKED SECURITIES -- 1.0%
MORTGAGE RELATED SECURITIES -- 1.0%
ACE Securities, Ser 2003-NC1,
Cl M (D)
5.653%, 12/25/07 650 610
ACE Securities, Ser 2003-OP1,
Cl M1 (D)
5.489%, 12/26/07 300 291
Aames Mortgage Investment Trust,
Ser 2005-4, Cl B2 (D)
7.539%, 12/12/07 150 51
Aegis Asset Backed Securities Trust,
Ser 2003-3, Cl M1 (D)
5.489%, 12/25/07 38 38
Ameriquest Mortgage Securities,
Ser 2003-2, Cl M1 (D)
6.139%, 12/25/07 475 423
Argent Securities, Ser 2003-W5,
Cl M1 (D)
5.489%, 12/25/07 250 246
Argent Securities, Ser 2003-W9,
Cl M1 (D)
5.479%, 12/26/07 369 365
Asset-Backed Securities Home Equity
Loan Trust, Ser 2003-HE5,
Cl M1 (D)
5.402%, 12/15/07 456 432
Basic Asset Backed Securities Trust,
Ser 2006-1, Cl A1 (D)
4.953%, 12/25/07 541 537
Chase Funding Mortgage Loan,
Ser 2004-2, Cl 1A3
4.209%, 09/25/26 19 19
Countrywide Asset-Backed
Certificates, Ser 2003-5,
Cl MV2 (D)
6.389%, 12/25/07 284 260
Countrywide Asset-Backed
Certificates, Ser 2005-15,
Cl 1AF1 (D)
4.929%, 12/25/07 245 245
Credit Suisse Asset-Backed Mortgage
Trust, Ser 2006-1, Cl A1B (D)
5.725%, 12/26/07 310 309
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Credit Suisse Asset-Backed Mortgage
Trust, Ser 2007-1, Cl 1A1A (D)
5.898%, 12/25/37 $ 3,662 $ 3,670
First Franklin Mortgage Loan Asset,
Ser 2004-FF10, Cl A2 (D)
5.273%, 12/26/07 28 28
GSAA Home Equity NIM Trust,
Ser 2006-2, Cl 2A1 (D)
4.973%, 12/27/07 1,378 1,373
GSAA Home Equity NIM Trust,
Ser 2006-HE3N, Cl N1 (F)
5.500%, 05/25/36 62 6
Heat Equity Asset Trust NIM,
Ser 2006-1N, Cl A (F)
6.500%, 05/27/36 51 10
Home Equity Asset Trust,
Ser 2003-4, Cl M2 (D)
7.189%, 12/25/07 334 314
Home Equity Asset Trust,
Ser 2006-5, Cl 2A3 (D)
4.939%, 12/26/07 250 218
Lehman XS Trust, Ser 2005-5N,
Cl M4 (D)
6.539%, 12/31/07 575 330
Lehman XS Trust, Ser 2005-7N,
Cl M71 (D)
6.539%, 12/27/07 335 175
Master Asset-Backed Securities Trust,
Ser 2006-AB1, Cl A1 (D)
5.013%, 12/27/07 1,558 1,537
Merrill Lynch Mortgage Investors
Trust, Ser 2003-HE1, Cl M2 (D)
6.523%, 12/25/07 94 82
Morgan Stanley ABS Capital I,
Ser 2005-HE6, Cl A2C (D)
5.109%, 12/25/07 1,600 1,540
Morgan Stanley, Ser 2003-NC10,
Cl M1 (D)
5.469%, 12/27/07 621 582
New Century Home Equity Loan
Trust, Ser 2004-A, Cl AII3 (D)
4.450%, 12/01/07 127 127
New Century Home Equity Loan
Trust, Ser 2005-A, Cl A2 (G)
4.461%, 12/25/07 665 659
Novastar Home Equity Loan,
Ser 2007-1, Cl A2A (D)
4.889%, 12/31/07 2,971 2,896
Option One Mortgage Loan Trust,
Ser 2003-5, Cl M1 (D)
5.439%, 12/23/07 254 233
Option One Mortgage Loan Trust,
Ser 2006-1, Cl M10 (D) (F)
7.289%, 12/27/07 70 23
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 103
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Option One Mortgage Loan Trust,
Ser 2006-1, Cl M11 (D) (F)
7.289%, 12/27/07 $ 150 $ 37
Residential Asset Mortgage Products,
Ser 2003-RS11, Cl MII1 (D)
5.603%, 12/25/07 54 48
Residential Asset Mortgage Products,
Ser 2006-RZ1, Cl A1 (D)
5.211%, 12/27/07 1,924 1,910
Residential Asset Securities,
Ser 2006-EMX2, Cl A1 (D)
4.953%, 12/27/07 573 570
Residential Asset Securities,
Ser 2006-KS2, Cl A1 (D)
4.943%, 12/27/07 250 250
Resmae Mortgage Loan Trust,
Ser 2006-1, Cl A2A (D) (F)
4.889%, 12/25/07 858 846
Resmae Mortgage Loan Trust,
Ser 2006-1, Cl A2B (D) (F)
4.939%, 12/25/07 1,500 1,460
SB Finance NIM Trust,
Ser 2006-KS4N, Cl N1 (F)
7.500%, 06/25/36 51 15
Securitized Asset-Backed
Receivables LLC Trust,
Ser 2005-HE1, Cl A3C (D)
5.119%, 12/25/07 400 384
Sharps SP I LLC NIM Trust,
Ser 2005-HE3N, Cl N (F)
5.000%, 05/25/35 101 3
Structured Asset Investment Loan
Trust, Ser 2003-BC4, Cl M2 (D)
7.789%, 12/25/07 301 240
Structured Asset Investment Loan
Trust, Ser 2005-1, Cl A4 (D) (F)
5.103%, 12/25/07 62 62
Structured Asset Securities,
Ser 2007-BC1, Cl A4 (D)
4.919%, 12/25/07 1,350 1,192
Structured Asset Securities,
Ser 2007-GEL2, Cl A1 (D) (F)
5.470%, 12/25/07 3,618 3,535
Terwin Mortgage Trust, Ser 2006-5,
Cl 1A2A (D) (F)
5.221%, 12/26/07 2,332 2,240
Terwin Mortgage Trust, Ser 2006-6,
Cl 2A1 (D)
4.500%, 06/25/36 342 196
--------------
Total Asset-Backed Securities
(Cost $32,262) ($ Thousands) 30,617
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
PREFERRED STOCK -- 1.8%
AUSTRALIA -- 0.0%
News 2,988 $ 62
--------------
BRAZIL -- 1.6%
Acesita 14,900 720
ArcelorMittal 56,900 4,210
Banco Bradesco 73,800 2,363
Banco Itau Holding Financeira 31,800 886
Braskem, Cl A 95,600 847
Centrais Eletricas Brasileiras, Cl B 121,000 1,672
Centrais Eletricas de Santa Catarina 7,200 170
Cia de Bebidas das Americas 1,370 103
Cia Energetica de Minas Gerais 214,156 4,594
Cia Paranaense de Energia 62,000 972
Cia Vale do Rio Doce, Cl A 312,400 9,168
Commonwealth Bank of Australia 13,000 181
Construtora Sultepa 600 2
Eletropaulo Metropolitana, Cl A 20,000 1
Industrias J B Duarte* 1,200 --
Inepar Industria e Construcoes* 900 19
Mangels Industrial 2,000 43
NET Servicos de Comunicacao* 306,300 4,836
Paranapanema* 11,000 145
Petroleo Brasileiro 210,200 8,504
Tam 162,242 4,611
Tele Norte Celular Participacoes* 2,000 26
Tele Norte Leste Participacoes 22,800 479
Telemar Norte Leste 9,000 335
Uniao de Industrias Petroquimicas 193,600 237
Universo Online* 13,800 98
Usinas Siderurgicas de
Minas Gerais, Cl A 32,100 1,642
--------------
46,864
--------------
GERMANY -- 0.1%
Porsche 672 1,494
--------------
ITALY -- 0.1%
Istituto Finanziario Industriale* 54,400 1,939
--------------
SOUTH KOREA -- 0.0%
Hyundai Motor (Second Preferred) 21,220 748
Samsung Electronics 1,000 441
--------------
1,189
--------------
Total Preferred Stock
(Cost $38,442) ($ Thousands) 51,548
--------------
- --------------------------------------------------------------------------------
104 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.4%
FHLMC DN
5.754%, 03/10/08 (A) (H) $ 75 $ 74
5.218%, 03/31/08 (A) 450 438
5.077%, 03/03/08 (A) (H) 225 223
4.531%, 03/28/08 (A) (H) 75 74
FNMA DN (A)
5.580%, 03/12/08 2,775 2,743
4.608%, 03/26/08 225 222
4.504%, 03/28/08 150 148
4.359%, 04/16/08 975 960
4.281%, 05/09/08 801 787
4.262%, 05/07/08 6,574 6,457
5.034%, 02/29/08 (H) 25 25
1.080%, 03/03/08 100 99
--------------
Total U.S. Government Agency Obligations
(Cost $12,237) ($ Thousands) 12,250
--------------
CORPORATE OBLIGATIONS-- 0.3%
CONSUMER DISCRETIONARY -- 0.0%
Time Warner
6.875%, 05/01/12 415 438
--------------
ENERGY -- 0.0%
Dominion Resources
4.750%, 12/15/10 280 280
Exelon Generation
6.950%, 06/15/11 415 438
Weatherford International (F)
5.950%, 06/15/12 510 532
--------------
1,250
--------------
FINANCIALS -- 0.3%
Capmark Financial Group (F)
6.300%, 05/10/17 77 53
5.875%, 05/10/12 155 120
Cit Group
5.000%, 02/13/14 555 496
Discover Financial Services (F)
6.450%, 06/12/17 175 177
Genworth Financial
5.750%, 06/15/14 305 311
5.650%, 06/15/12 890 912
HSBC Finance
6.375%, 10/15/11 415 426
Istar Financial+
5.875%, 03/15/16 280 229
Lehman Brothers Holdings MTN
5.750%, 05/17/13 140 141
5.500%, 04/04/16 275 264
- --------------------------------------------------------------------------------
Face Amount ($ Thousands)/ Market Value
Description Shares/Contracts ($ Thousands)
- --------------------------------------------------------------------------------
Merrill Lynch
6.050%, 05/16/16 $ 225 $ 220
Morgan Stanley
4.750%, 04/01/14 415 396
Residential Capital
8.375%, 06/30/15 80 51
7.500%, 02/22/08 220 145
6.500%, 04/17/13 1,035 670
SLM MTN (C) (D)
4.660%, 12/17/07 2,330 2,330
Shinsei Finance Cayman (D) (F)
6.418%, 01/29/49 545 479
Washington Mutual Preferred
Funding (B) (D) (F)
6.534%, 03/29/49 600 319
--------------
7,739
--------------
INDUSTRIALS -- 0.0%
Lafarge
6.150%, 07/15/11 250 258
US Steel
5.650%, 06/01/13 165 164
--------------
422
--------------
TELECOMMUNICATION SERVICES -- 0.0%
Vodafone Group
5.350%, 02/27/12 110 111
--------------
Total Corporate Obligations
(Cost $10,799) ($ Thousands) 9,960
--------------
EQUITY LINKED WARRANTS -- 0.0%
HONG KONG -- 0.0%
China Overseas Land,
Expires 08/27/08* 128 83
Tian An China Investments,
Expires 12/21/07* 226 33
--------------
Total Equity Linked Warrants
(Cost $--) ($ Thousands) 116
--------------
PURCHASED OPTIONS --0.0%
UNITED STATES -- 0.0%
July 2008 U.S. Ten Year Treasury Call,
Expires 06/16/08, Strike Price $95.00* 49 155
--------------
Total Purchased Options
(Cost $21) ($ Thousands) 155
--------------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 105
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
EXCHANGE TRADED FUND --0.0%
UNITED STATES -- 0.0%
iShares MSCI EAFE Index Fund* 300 $ 25
--------------
Total Exchange Traded Fund
(Cost $24) ($ Thousands) 25
--------------
RIGHTS -- 0.0%
Number of
Rights
-------------
AUSTRALIA -- 0.0%
Newcrest Mining, Expires 10/17/07* 57 288
--------------
BRAZIL -- 0.0%
Ambev, Expires 04/30/08* 66 --
--------------
INDIA -- 0.0%
Tata Iron & Steel, Expires 10/29/08* 262 696
--------------
SINGAPORE -- 0.0%
Hotel Plaza, Expires 11/28/08* 84 5
Wing Tai Holdings,
Expires 11/01/08 (B)* 4 2
--------------
7
--------------
SOUTH KOREA -- 0.0%
Eugene, Expires 12/11/07* 3 9
--------------
Total Rights
(Cost $--) ($ Thousands) 1,000
--------------
CASH EQUIVALENTS -- 6.3%
UNITED STATES -- 6.3%
SEI Daily Income Trust,
Prime Obligation Fund, Cl A,
5.020%**++ 55,650,000 55,650
SEI Liquidity Fund, L.P.
5.110%**++ (C) 129,278,297 129,278
--------------
Total Cash Equivalents
(Cost $184,928) ($ Thousands) 184,928
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Contracts ($ Thousands)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER (E) -- 3.5%
Bristol-Myers Squibb
4.500%, 11/30/07 $ 10,200 $ 10,200
4.430%, 12/03/07 10,000 9,998
Estee Lauder
4.480%, 12/17/07 1,400 1,397
General Electric Capital
5.150%, 10/31/07 10 10
4.500%, 12/03/07 10,000 9,997
4.400%, 11/30/07 10,000 10,000
Hershey
8.952%, 12/10/07 10,000 9,989
ING Funding
4.550%, 12/12/07 10,000 9,986
Mitsubishi International
4.530%, 12/11/07 10,000 9,987
New Jersey Natural Gas
4.639%, 12/13/07 19,600 19,571
Rabobank USA Finance
4.670%, 12/04/07 10,000 9,996
--------------
Total Commercial Paper
(Cost $101,131) ($ Thousands) 101,131
--------------
U.S. TREASURY OBLIGATIONS --0.5%
U.S. Treasury Bills (A) (E)
3.773%, 12/20/07 250 250
3.023%, 02/21/08 6,496 6,452
U.S. Treasury Inflationary Index
Notes (B)
2.375%, 04/15/11 7,088 7,391
--------------
Total U.S. Treasury Obligations
(Cost $13,925) ($ Thousands) 14,093
--------------
Total Investments -- 106.4%
(Cost $2,787,704) ($ Thousands) $ 3,117,359
==============
WRITTEN OPTION -- 0.0%
UNITED STATES -- 0.0%
July 2008 U.S. Ten Year Treasury Call,
Expires 06/16/08, Strike Price: $95.50* (49) (99)
--------------
Total Written Option
(Premiums Received $(8)) ($ Thousands) $ (99)
--------------
- --------------------------------------------------------------------------------
106 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
A summary of the open futures contracts held by the Fund at November 30, 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$ (71) Dec-2007 $ 259
90-Day Euro$ (218) Dec-2008 (705)
90-Day Euro$ (36) Dec-2009 (106)
90-Day Euro$ (41) Dec-2010 (91)
90-Day Euro$ 1 Dec-2011 1
90-Day Euro$ 66 Jun-2008 102
90-Day Euro$ 97 Jun-2009 253
90-Day Euro$ (180) Jun-2010 (398)
90-Day Euro$ 1 Jun-2011 1
90-Day Euro$ 5 Jun-2012 5
90-Day Euro$ 26 Mar-2008 6
90-Day Euro$ (25) Mar-2009 (65)
90-Day Euro$ (37) Mar-2010 (98)
90-Day Euro$ (32) Mar-2011 (72)
90-Day Euro$ 1 Mar-2012 1
90-Day Euro$ (27) Sep-2008 (77)
90-Day Euro$ 95 Sep-2009 227
90-Day Euro$ (42) Sep-2010 (97)
90-Day Euro$ 12 Sep-2011 13
90-Day Euro$ 24 Sep-2012 28
Amsterdam Index 69 Dec-2007 33
CAC40 10 Euro 224 Dec-2007 448
DAX Index 70 Dec-2007 565
DJ Euro Stoxx 50 663 Dec-2007 500
Index
Fed Fund 30 day 27 Jan-2008 14
Fed Fund 30 day 1 Feb-2008 1
Fed Fund 30 day 1 Mar-2008 1
FTSE 100 Index 547 Dec-2007 1,648
Hang Seng Index 66 Dec-2007 638
IBEX 35 Plus Index 68 Dec-2007 38
MSCI Sing Index 37 Dec-2007 109
Nikkei 225 Index 14 Dec-2007 3
OMX Index 578 Dec-2007 267
S&P/MIB Index 35 Dec-2007 30
S&P/TSE 60 Index 243 Dec-2007 (579)
SPI 200 Index 202 Dec-2007 813
Topix Index 356 Dec-2007 1,031
U.S. 2 Year Treasury Note 9 Mar-2008 (6)
U.S. 5 Year Treasury Note (162) Dec-2007 (573)
U.S. 10 Year Treasury Note (76) Dec-2007 (315)
-------
$ 3,853
=======
A summary of the outstanding forward foreign currency contracts held by the Fund
at November 30, 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)
- -------------------------------------------------------------------------------
12/21/07-04/21/08 AUD 10,423 JPY 1,055,000 $ 414
12/21/07 AUD 693 GBP 301 5
12/21/07 CAD 300 USD 323 23
12/21/07 CHF 3,251 EUR 1,976 18
12/21/07-04/21/08 CHF 21,200 USD 17,952 (977)
12/21/07 CHF 26,200 GBP 10,959 (829)
12/21/07-05/22/08 CHF 12,900 NZD 15,043 (66)
12/21/07 EUR 4,082 SEK 37,950 (51)
12/21/07 EUR 397 CHF 654 (4)
12/21/07 GBP 1,553 AUD 3,572 (35)
12/21/07-05/22/08 GBP 13,952 JPY 3,188,000 371
12/21/07-03/25/08 GBP 9,967 CHF 23,800 707
12/21/07 HKD 129,162 USD 16,619 16
12/21/07-05/22/08 JPY 3,431,000 GBP 13,718 (654)
12/21/07-03/26/08 JPY 810,000 USD 9,071 (792)
12/21/07-04/21/08 JPY 1,055,000 AUD 10,818 (65)
12/21/07 MXP 150,206 USD 13,724 (57)
12/21/07-4/21/08 NZD 13,578 CHF 11,700 94
- -------------------------------------------------------------------------------
UNREALIZED
CURRENCY CURRENCY APPRECIATION
MATURITY TO DELIVER TO RECEIVE (DEPRECIATION)
DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS)
- -------------------------------------------------------------------------------
12/21/07 SEK 21,110 EUR 2,278 $ 39
12/24/07 SGD 13,134 USD 9,104 8
12/21/07 ZAR 6,661 USD 988 10
12/21/07 USD 30,891 AUD 35,004 43
12/21/07 USD 37,044 CAD 36,423 (593)
12/21/07 USD 118,119 GBP 57,564 176
12/17/07-12/21/07 USD 5,017 NOK 27,534 (50)
12/21/07-4/21/08 USD 68,103 CHF 76,853 167
12/21/07-3/26/08 USD 47,723 JPY 5,295,144 165
12/17/07-12/21/07 USD 8,764 SEK 55,304 (103)
12/17/07 USD 1,502 DKK 7,548 (15)
12/17/07-7/10/49 USD 69,277 EUR 46,730 (667)
12/17/07 USD 3,774 HKD 29,355 (1)
12/17/07 USD 267 NZD 352 3
12/17/07 USD 2,151 SGD 3,098 (7)
-------
$(2,707)
=======
A summary of outstanding swap agreements held by the Fund at November 30, 2007,
is as follows:
- --------------------------------------------------------------------------------
TOTAL RETURN SWAPS
- --------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------------------------------
Deliver payment on the quarterly reset spread from
Swiss Market Index plus 23 basis points times
the notional amount. Fund pays payment if the
return on the spread appreciates over the pay-
ment period and receives if the return on the
spread depreciates over the payment period.
(Counterparty: JPMorgan Chase) CHF 01/24/08 13,862 $ (194)
Receive payment on the monthly reset spread
from Bank of America -- CMBS AAA10Yr
Index plus 40 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) 04/30/08 10,000 (250)
Receive payment on the monthly reset spread
from Bank of America -- CMBS AAA10Yr
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: Merrill Lynch) 01/31/08 15,000 (376)
Receive payment on the monthly reset spread
from Bank 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) 01/31/08 10,000 (253)
Receive payment on the monthly reset spread
from Bank of America -- CMBS AAA10Yr
Index minus 75 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) 01/31/08 12,000 (310)
Receive payment on the monthly reset spread
from Bank of America -- CMBS AAA10Yr
Index minus 80 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) 03/31/08 24,000 (621)
Receive payment on the monthly reset spread
from Bank of America -- CMBS AAA10Yr
Index plus 50 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) 02/28/08 19,000 (491)
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 107
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------------------------------
Receive payment on the monthly reset spread
from Bank of America--CMBS AAA10Yr
Index plus 40 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) 02/28/08 43,000 $ (1,112)
Receive payment on the monthly reset spread
from Bank of America -- CMBS AAA10Yr
Index minus 10 basis points times the notional
amount. Fund receives payment if the return
on the spread appreciates over the payment
period and pays if the return on the spread
depreciates over the payment period.
(Counterparty: Bank of America) 03/31/08 21,000 (543)
Receive payment on the monthly reset spread
from Bank of America -- CMBS AAA10Yr
Index minus 50 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) 03/31/08 8,000 (207)
Receive payment on the monthly reset spread
from Bank of America -- CMBS IG 10Yr Index
plus 35 basis points times the notional
amount. Fund receives payment if the return
on the spread appreciates over the payment
period and pays if the return on the spread
depreciates over the payment period.
(Counterparty: Bank of America) 05/01/08 6,000 (217)
Receive payment on the monthly reset spread
from Lehman Brothers -- CMBS AAA 8.5 Plus
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: JPMorgan Chase) 01/01/08 6,000 (233)
Receive payment on the monthly reset spread
from Lehman Brothers -- CMBS AAA 8.5 Plus
Index minus 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: JPMorgan Chase) 05/01/08 7,000 (277)
Deliver 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) 03/23/08 22,740 563
Deliver payment on the quarterly reset spread from
MSCI EAFE Index minus 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: Bear Stearns) 08/06/08 16,313 (458)
Deliver payment on the quarterly reset spread from
MSCI EAFE Index minus 22 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) 06/30/08 20,622 154
Deliver payment on the quarterly reset spread from
MSCI EAFE Index minus 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) 09/01/08 13,865 860
Deliver 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 19,750 (821)
---------
$ (4,786)
=========
- --------------------------------------------------------------------------------
CREDIT DEFAULT SWAPS
- --------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------------------------------
Fund delivers quarterly payment of 0.1125%
(0.450% per annum) times the notional
amount of the iTraxx Europe Senior Financials
5 Year Index, Series 8. Upon a defined credit
event, Fund receives the notional amount and
delivers the defined deliverable obligation.
(Counterparty: Bank of America) 12/20/12 2,500 $ (4)
Fund pays quarterly payment of 0.1125%
(0.450% per annum) times the notional
amount of the iTraxx Europe Senior Financials
5 Year Index, Series 8. Upon a defined credit
event, Fund receives the notional amount and
delivers the defined deliverable obligation.
(Counterparty: Goldman Sachs) 12/20/12 5,750 (3)
Fund pays quarterly payment of 0.0800% (0.320%
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 (2)
Fund pays quarterly payment of 0.0880% (0.350%
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 (5)
Fund pays quarterly payment of 0.1100%
(0.440% 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 (1)
Fund pays quarterly payment of 0.1380%
(0.550% 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 (2)
Fund pays quarterly payment of 0.0500%
(0.200% 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 3
Fund pays quarterly payment of 0.1000% (0.400%
per annum) times the notional amount of
CDX.NA.IG., Series 7 Index. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined obligation.
(Counterparty: Bank of America) 12/20/11 13,400 (179)
Fund pays quarterly payment of 0.1000%
(0.400% per annum) times the notional
amount of CDX.NA.IG. Index. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined obligation.
(Counterparty: Bank of America) 12/20/11 1,400 (26)
Fund pays quarterly payment of 0.1000%
(0.400% per annum) times the notional
amount of CDX.NA.IG. Index. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined obligation.
(Counterparty: Bank of America) 12/20/11 950 (17)
Fund pays quarterly payment of 0.1000%
(0.400% per annum) times the notional
amount of CDX.NA.IG. Index. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined obligation.
(Counterparty: Bank of America) 12/20/11 700 (14)
Fund pays quarterly payment of 0.1110%
(0.445% 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 2
Fund pays quarterly payment of 0.2950% (1.180%
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 (14)
Fund pays quarterly payment of 0.0980%
(0.390% 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 (1)
- --------------------------------------------------------------------------------
108 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------------------------------
Fund pays quarterly payment of 0.0930%
(0.370% 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 $ (2)
Fund pays quarterly payment of 0.1190%
(0.475% per annum) times the notional
amount of Limited 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 41
Fund pays quarterly payment of 0.1830% (0.730%
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 19
Fund pays quarterly payment of 0.1175%
(0.475% 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 5
Fund pays quarterly payment of 0.0880%
(0.3500% 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 1,000 160
Fund pays quarterly payment of 0.0550% (0.220%
per annum) times the notional amount of Nucor
Corp., 4.875%, 10/01/12. Upon a defined cred-
it 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 0.0350%
(0.140% 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 11
Fund pays quarterly payment of 0.0880%
(0.350% 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 1,000 146
Fund pays quarterly payment of 0.0880%
(0.350% 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 1,000 246
Fund pays quarterly payment of 0.0475% (0.190%
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 8
Fund pays quarterly payment of 0.1130%
(0.450% 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 7
Fund delivers monthly payment of 0.0520%
(0.620% per annum) times the notional amount
of CMBX-NA-A 3 Index. Upon a defined credit
event, Fund will receive the notional amount
and deliver the defined obligation.
(Counterparty: Goldman Sachs) 12/25/49 1,000 (47)
Fund delivers monthly payment of 0.0520%
(0.620% per annum) times the notional amount
of CMBX-NA-A 3 Index. Upon a defined credit
event, Fund will receive the notional amount
and deliver the defined obligation.
(Counterparty: Goldman Sachs) 12/25/49 1,000 (44)
Fund pays quarterly payment of 0.1150%
(0.460% 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 (2)
- --------------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------------------------------
Fund pays quarterly payment of 0.0550%
(0.220% 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 $ (2)
Fund pays quarterly payment of 0.0540%
(0.215% 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 11
Fund pays quarterly payment of 0.0650%
(0.260% 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 10
Fund pays quarterly payment of 0.2950% (1.180%
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 (13)
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 10
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 40
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 (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 1,000 160
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 notion-
al amount and deliver the defined obligation.
(Counterparty: JPMorgan Chase) 12/20/13 1,000 21
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 (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 1,000 146
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 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 1,000 215
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 109
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund (Concluded)
November 30, 2007
- --------------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------------------------------
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 $ 8
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 1,000 119
Fund pays 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 receive the notional
amount and deliver the defined obligation.
(Counterparty: Merrill Lynch) 12/20/11 850 (11)
Fund pays 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 receive the notional
amount and deliver the defined obligation.
(Counterparty: Merrill Lynch) 12/20/11 5,100 (67)
Fund pays 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 receive the notional
amount and deliver the defined obligation.
(Counterparty: Merrill Lynch) 12/20/11 16,400 (219)
Fund pays quarterly payment of 0.0625%
(0.250% 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 11
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 11
Fund pays quarterly payment of 0.1130% (0.450%
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 (3)
Fund pays quarterly payment of 0.2250%
(0.900% 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 22
Fund pays quarterly payment of 0.0700% (0.280%
per annum) times the notional amount of
Nordstrom, Inc., 6.950%, 03/15/28. Upon a
defined credit event, Fund will receive the notion-
al amount and deliver the defined obligation.
(Counterparty: Merrill Lynch) 12/20/13 1,000 21
Fund pays quarterly payment of 0.1730%
(0.690% 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 (5)
Fund pays quarterly payment of 0.0680%
(0.270% 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 8
Fund pays quarterly payment of 0.1130%
(0.450% 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 13
Fund pays quarterly payment of 0.0850%
(0.338% 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: Merrill Lynch) 12/20/11 1,000 7
---------
$ 795
=========
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
Percentages are based on Net Assets of $2,929,939 ($ Thousands).
* Non-Income Producing Security
** Rate shown is the 7-day effective yield as of November 30, 2007.
+ Real Estate Investment Trust
++ Investment in Affiliated Security (see Note 3).
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
(B) This security or a partial position of this security is on loan at
November 30, 2007 (see Note 9). The total value of securities on loan at
November 30, 2007 was $126,891 ($ 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 November 30,
2007 was $131,608 ($ Thousands).
(D) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of November 30, 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.
(F) Securities sold within terms of a private placement memorandum, exempt
from registration under Section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"accredited investors." These securities have been determined to be
liquid under guidelines established by the Board of Trustees.
(G) Step Bonds -- The rate reflected on the Schedule of Investments is the
effective yield on November 30, 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.
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
DN -- Discount Note
EUR -- Euro
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
L.P. -- Limited Partnership
MTN -- Medium Term Note
MXP -- Mexican Peso
NIM -- Net Investment 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 $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
110 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
Enhanced Income Fund
November 30, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS+++:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Loan Participations 24.7%
Mutual Funds 24.3%
Mortgage-Backed Securities 15.6%
Asset-Backed Securities 11.4%
Short-Term Investments 9.8%
Time Deposits 5.7%
Financials 5.3%
Consumer Discretionary 0.9%
Utilities 0.5%
Consumer Staples 0.4%
Telecommunication Services 0.4%
Health Care 0.4%
U.S. Treasury Obligations 0.2%
Energy 0.2%
Industrials 0.1%
Sovereign 0.1%
Certificates of Deposit 0.0%
+++ Percentages based on total investments. Narrow industries are utilized for
compliance purposes, where broad sectors are utilized for reporting.
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
LOAN PARTICIPATIONS -- 24.7%
Acquireco LLC, Ser B (E)
0.000%, 10/09/14 $ 921 $ 900
Acquireco LLC, Ser B, Delayed
Draw (E)
0.000%, 10/09/14 79 77
Alpha Topco
7.915%, 12/31/13 1,000 964
Alpha Topco, 2nd Lien
9.040%, 06/30/14 1,000 949
Blockbuster
9.432%, 08/20/11 1,017 975
Boston Generating LLC, 1st Lien
7.448%, 12/20/13 773 743
Boston Generating LLC, 1st Lien
(Synthetic)
7.610%, 12/20/13 1,220 1,143
Brickman Group Holdings, Tranche B
7.143%, 01/23/14 995 943
CCS Medical
8.450%, 09/30/12 992 963
Caritor
7.070%, 05/17/13 928 784
Caritor (Synthetic)
7.060%, 05/11/13 70 61
Cequel Communications, 1st Lien
7.211%, 11/05/13 498 464
Charter Communications
7.360%, 06/05/14 1,000 932
Checksmart Financial, 1st Lien, Ser B
7.900%, 05/01/12 1,000 930
Clarke American, Tranche B
7.698%, 03/09/14 1,995 1,835
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Colleyville Resources LOC
8.481%, 12/28/10 $ 163 $ 156
Colleyville Resources, Tranche D
8.481%, 12/28/13 531 513
Crescent Resources, LLC
8.045%, 09/07/12 1,000 895
Delta Air Lines
6.840%, 04/30/12 1,000 952
Delta Air Lines, 2nd Lien
8.082%, 04/30/14 998 956
Dollar General, Tranche B-1
7.734%, 07/07/14 1,000 920
Dynea North, 1st Lien
8.110%, 02/09/08 1,000 920
Foamex LP, 1st Lien (E)
0.000%, 02/12/13 976 903
Ford Motor
8.700%, 12/15/13 1,489 1,386
Ginn La Conduit Lender, 1st Lien,
Tranche A
5.098%, 06/08/11 315 253
Ginn La Conduit Lender, 1st Lien,
Tranche B
8.860%, 06/08/11 681 547
Greenwood Racing
7.010%, 11/28/11 993 943
Healthsouth
7.320%, 03/10/13 635 611
Helix Energy Solutions Group
6.843%, 07/01/13 1,470 1,426
Hub International
8.203%, 06/13/14 1,019 967
Hub International, Delayed Draw
8.010%, 06/13/14 72 68
IAP Worldwide Services, 1st Lien
11.500%, 12/30/12 1,000 892
Kepler Holdings
10.698%, 06/30/09 1,000 990
Knology
7.480%, 04/13/12 1,000 955
Lake at Las Vegas (Synthetic)
15.460%, 06/20/12 120 72
Lake at Las Vegas Joint Venture
15.460%, 06/20/12 880 528
11.210%, 12/24/07 250 249
Level 3 Financing
7.610%, 03/01/14 1,500 1,430
Lifecare Holding (Rainier Acquisition)
8.200%, 08/11/12 997 896
Misys Hospital Systems
8.200%, 10/12/07 1,000 985
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 111
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced Income Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Movie Gallery, 1st Lien
12.250%, 03/08/12 $ 479 $ 387
Movie Gallery, 1st Lien (Synthetic) (E)
0.000%, 03/08/12 20 15
Northwest Airlines (E)
0.000%, 08/21/08 1,000 945
Onex Carestream Finance
7.113%, 04/10/13 1,000 938
Orbitz Worldwide
8.340%, 07/25/14 1,000 955
Penton Media
7.240%, 02/01/13 493 449
Pinnacle Foods Group
7.948%, 04/02/14 998 940
Realogy (Synthetic) (E)
0.000%, 10/10/13 118 103
Realogy, Term B
8.240%, 10/10/13 882 768
Riverdeep Interactive Learning USA
7.948%, 12/20/13 1,000 991
Sabre
6.960%, 09/30/14 1,458 1,337
Serena Software
7.175%, 03/10/13 1,000 966
Sirva Worldwide (E)
0.000%, 12/01/10 1,000 669
Solo Cup
8.616%, 02/27/11 632 624
Spirit Finance
8.360%, 07/15/13 1,000 880
TPF Generation Holdings, LLC
(Synthetic Revolver)
7.198%, 12/15/11 49 47
TPF Generation Holdings, LLC,
1st Lien
7.198%, 12/15/13 796 759
TPF Generation Holdings, LLC,
1st Lien (Synthetic)
7.198%, 12/15/13 156 148
Totes Isotoner, 1st Lien
8.248%, 01/31/13 1,000 970
Travelport, LLC (Synthetic)
7.448%, 08/23/13 167 155
Travelport, LLC, Ser B
7.448%, 08/23/13 833 788
Tribune, Tranche B
8.244%, 05/09/14 599 517
Tribune, Tranche X
7.744%, 05/09/09 373 364
US Airways Group
7.373%, 03/19/14 1,000 930
Univision Communications
7.210%, 08/15/14 483 444
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
Univision Communications (G)
1.000%, 09/29/14 $ 17 $ 1
Venoco, 2nd Lien
9.125%, 05/07/14 2,000 1,940
Verint Systems
7.466%, 05/09/14 1,877 1,811
WM Bolthouse Farms, 1st Lien
7.500%, 12/17/12 1,485 1,457
Wide Open West Finance,
1st Lien (E)
0.000%, 06/30/14 1,000 955
Wilmar Opco, LLC (Tropicana)
7.448%, 01/03/12 1,000 963
--------------
Total Loan Participations
(Cost $58,355) ($ Thousands) 55,292
--------------
MUTUAL FUNDS -- 24.3%
SEI LIBOR Plus Portfolio,
5.830%++* 5,616,000 54,423
--------------
Total Mutual Funds
(Cost $56,684) ($ Thousands) 54,423
--------------
MORTGAGE-BACKED SECURITIES -- 15.6%
AGENCY MORTGAGE-BACKED OBLIGATIONS -- 4.9%
FHLMC CMO STRIPS, Ser 245,
Cl IO, IO
5.000%, 05/15/37 392 106
FHLMC CMO, Ser 3153, Cl FX
5.002%, 12/15/07 548 544
FNMA
6.000%, 11/01/08-12/01/21 3,521 3,597
FNMA TBA
6.000%, 10/01/26-04/01/27 5,212 5,321
5.500%, 10/01/20-03/01/22 1,369 1,385
--------------
10,953
--------------
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 10.7%
American Tower Trust, Ser 2007-1A,
Cl D (B)
5.957%, 04/15/37 250 234
Banc of America Funding,
Ser 2005-F, Cl 4A1 (C)
5.351%, 12/01/07 550 542
Banc of America Funding,
Ser 2006-D, Cl 3A1 (C)
5.565%, 12/01/07 493 495
Banc of America Large Loan,
Ser 2007-BMB1, Cl A1 (B) (C)
5.162%, 12/25/07 199 199
Banc of America Mortgage Securities,
Ser 2004-F, Cl 2A5 (C)
4.146%, 07/25/34 350 348
- --------------------------------------------------------------------------------
112 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Banc of America Mortgage Securities,
Ser 2005-A, Cl 2A1 (C)
4.459%, 02/25/35 $ 313 $ 314
Bear Stearns Adjustable Rate
Mortgage Trust, Ser 2005-6,
Cl 3A1 (C)
5.281%, 12/01/07 425 425
Bear Stearns Adjustable Rate
Mortgage Trust, Ser 2005-9,
Cl A1 (C)
4.625%, 12/01/07 536 528
Bear Stearns Adjustable Rate
Mortgage Trust, Ser 2006-1,
Cl A1 (C)
4.625%, 12/01/07 518 510
Bear Stearns Commercial Mortgage
Trust, Ser 2001-TOP2, Cl A2
6.480%, 02/15/35 500 521
Citigroup Commercial Mortgage Trust,
Ser 2007-FL3A, Cl J (B) (C)
5.602%, 12/30/07 155 145
Citigroup Mortgage Loan Trust,
Ser 2006-AR1, Cl 1A1 (C)
4.900%, 10/25/35 526 523
Countrywide Alternative Loan Trust,
Ser 2007-HY5R, Cl 2A1A (C)
5.544%, 12/01/07 797 779
Countrywide Home Loans,
Ser 2005-HY10, Cl 3A1A (C)
5.379%, 12/01/07 523 515
Credit Suisse First Boston Mortgage
Securities, Ser 2000-C1, Cl A2
7.545%, 04/15/62 500 522
Crown Castle Towers LLC,
Ser 2006-1A, Cl E (B)
6.065%, 11/15/36 380 362
Crusade Global Trust, Ser 2007-1,
Cl A1 (C)
5.259%, 04/19/38 303 298
Diversified REIT Trust, Ser 1999-1A,
Cl A2
6.780%, 03/18/11 127 128
First Horizon Alternative Mortgage
Trust, Ser 2005-AA3, Cl 3A1 (C)
5.351%, 12/01/07 303 300
First Horizon Mortgage Pass-Through
Certificate, Ser 2005-AR4,
Cl 2A1 (C)
5.328%, 10/25/35 251 251
First Union-Chase Commercial
Mortgage, Ser 1999-C2, Cl A2
6.645%, 06/15/31 214 217
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
GMAC Mortgage Loan Trust,
Ser 2006-AR1, Cl 1A1 (C)
5.596%, 12/01/07 $ 519 $ 521
GS Mortgage Securities,
Ser 2007-EOP, Cl K (B) (C)
5.728%, 12/06/07 75 68
GSR Mortgage Loan Trust,
Ser 2006-AR1, Cl 2A2 (C)
5.179%, 01/25/36 400 398
GSR Mortgage Loan Trust,
Ser 2006-AR2, Cl 3A1 (C)
5.754%, 04/25/36 73 74
GSR Mortgage Loan Trust,
Ser 2007-AR2, Cl 1A1 (C)
5.790%, 05/25/37 531 533
Granite Master Issuer PLC,
Ser 2005-1, Cl A3 (C)
5.668%, 12/20/24 73 72
Granite Master Issuer PLC,
Ser 2006-1A, Cl A5 (B) (C)
5.019%, 01/25/08 255 247
Harborview Mortgage Loan Trust,
Ser 2005-14, Cl 3A1A (C)
5.301%, 12/19/35 396 396
Holmes Master Issuer PLC,
Ser 2007-1, Cl 1C1 (C)
5.523%, 01/16/08 100 99
Holmes Master Issuer PLC,
Ser 2007-2A, Cl 1C (C)
5.473%, 01/16/08 165 163
JPMorgan Mortgage Trust,
Ser 2007-A3, Cl 1A1 (C)
5.483%, 12/01/07 483 481
JPMorgan Mortgage Trust,
Ser 2007-A4, Cl 1A1 (C)
5.482%, 06/25/37 477 473
MLCC Mortgage Investors,
Ser 2006-1, Cl 2A1 (C)
5.383%, 12/01/07 303 305
Master Adjustable Rate Mortgages
Trust, Ser 2005-6, Cl 5A1 (C)
5.041%, 07/25/35 534 532
Merrill Lynch Mortgage Investors,
Ser 2005-A1, Cl 2A1 (C)
4.523%, 12/25/34 337 336
Merrill Lynch Mortgage Investors,
Ser 2005-A9, Cl 2A1A (C)
5.134%, 12/01/07 640 636
Merrill Lynch Mortgage Investors,
Ser 2005-A9, Cl 2A1E (C)
5.134%, 12/25/35 192 192
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 113
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced Income Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Merrill Lynch Mortgage-Backed
Securities Trust, Ser 2007-2,
Cl 1A1 (C)
5.800%, 12/01/07 $ 556 $ 557
Morgan Stanley Capital I,
Ser 2007-XLFA, Cl C (B) (C)
4.812%, 10/15/20 240 224
MortgageIT Trust, Ser 2005-1,
Cl 2A (C)
4.250%, 02/25/35 547 525
MortgageIT Trust, Ser 2005-4,
Cl A1 (C)
5.069%, 12/25/07 515 502
Pendeford Master Issuer PLC,
Ser 2007-1A, Cl 1C (B) (C)
5.179%, 05/12/59 225 224
Permanent Master Issuer PLC,
Ser 2007-1, Cl 1C (C)
5.413%, 07/15/42 150 149
Residential Funding Mortgage
Securities, Ser 2005-SA5,
Cl 2A (C)
5.334%, 12/01/07 190 190
Residential Funding Mortgage
Securities, Ser 2006-SA1,
Cl 1A1 (C)
5.676%, 02/25/36 168 169
Residential Funding Mortgage
Securities, Ser 2007-SA2,
Cl 2A2 (C)
5.677%, 12/01/07 362 364
Residential Funding Mortgage
Securities, Ser 2007-SA3,
Cl 2A1 (C)
5.784%, 12/01/07 479 479
Sequoia Mortgage Trust, Ser 2007-2,
Cl 2AA1 (C)
5.805%, 12/01/07 623 623
Washington Mutual Mortgage
Pass-Through Certificate,
Ser 2004-AR5, Cl A6 (C)
3.842%, 12/01/07 600 596
Washington Mutual Mortgage
Pass-Through Certificate,
Ser 2005-AR14, Cl 1A4 (C)
5.056%, 12/25/35 506 504
Washington Mutual Mortgage
Pass-Through Certificate,
Ser 2005-AR3, Cl A2 (C)
4.636%, 12/01/07 460 457
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2004-EE,
Cl 2A2 (C)
3.991%, 12/01/07 450 444
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2004-Z,
Cl 2A1 (C)
4.580%, 12/01/07 $ 545 $ 544
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2005-AR16,
Cl 3A2 (C)
4.995%, 12/01/07 142 142
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2005-AR16,
Cl 6A3 (C)
5.000%, 12/01/07 182 181
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2005-AR4,
Cl 2A2 (C)
4.524%, 12/01/07 524 518
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2006-AR10,
Cl 2A1 (C)
5.646%, 12/01/07 624 627
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2006-AR12,
Cl 2A1 (C)
6.102%, 09/25/36 311 311
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2006-AR13,
Cl A2 (C)
5.761%, 09/25/36 529 532
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2006-AR2,
Cl 2A3 (C)
5.101%, 03/25/36 191 190
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2006-AR5,
Cl 2A1 (C)
5.533%, 12/01/07 447 449
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2006-AR6,
Cl 3A1 (C)
5.093%, 12/01/07 414 413
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2006-AR8,
Cl 2A1 (C)
5.240%, 12/01/07 325 325
--------------
23,921
--------------
Total Mortgage-Backed Securities
(Cost $34,840) ($ Thousands) 34,874
--------------
- --------------------------------------------------------------------------------
114 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 11.4%
AUTOMOTIVE -- 4.3%
Aesop Funding II LLC, Ser 2003-3A,
Cl A3 (B)
3.720%, 07/20/09 $ 330 $ 328
Aesop Funding II LLC, Ser 2005-1A,
Cl A1 (B)
3.950%, 04/20/09 408 406
AmeriCredit Automobile Receivables
Trust, Ser 2004-BM, Cl A4
2.670%, 03/07/11 211 210
AmeriCredit Automobile Receivables
Trust, Ser 2006-1, Cl A3
5.110%, 10/06/10 226 225
AmeriCredit Automobile Receivables
Trust, Ser 2006-1, Cl B
5.200%, 03/06/11 195 193
AmeriCredit Automobile Receivables
Trust, Ser 2007-AX, Cl A4 (C)
4.718%, 10/06/13 285 279
AmeriCredit Automobile Receivables
Trust, Ser 2007-CM, Cl A4A
5.550%, 04/07/14 500 504
AmeriCredit Automobile Receivables
Trust, Ser 2007-BF, Cl A3A
5.160%, 04/06/12 300 302
AmeriCredit Prime Automobile
Receivables Trust, Ser 2007-2M,
Cl A3A
5.220%, 06/08/12 485 487
Banc of America Securities Auto
Trust, Ser 2005-WF1, Cl A3
3.990%, 08/18/09 123 123
Capital Auto Receivables Asset Trust,
Ser 2007-1, Cl B
5.150%, 09/17/12 230 225
Capital Auto Receivables Asset Trust,
Ser 2007-3, Cl A3A
5.020%, 09/15/11 200 201
Capital One Auto Finance Trust,
Ser 2005-C, Cl A4A
4.710%, 06/15/12 115 115
Capital One Auto Finance Trust,
Ser 2007-C, Cl A3A
5.130%, 04/16/12 490 489
Capital One Prime Auto Receivables
Trust, Ser 2007-C, Cl A3
4.890%, 01/17/12 500 502
Carmax Auto Owner Trust,
Ser 2005-1, Cl A3
4.130%, 05/15/09 25 25
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Carmax Auto Owner Trust,
Ser 2007-1, Cl C
5.530%, 07/15/13 $ 50 $ 49
Chase Manhattan Auto Owner Trust,
Ser 2005-A, Cl A4
3.980%, 04/15/11 500 496
Ford Credit Auto Owner Trust,
Ser 2006-A, Cl C
5.480%, 09/15/11 250 253
Ford Credit Auto Owner Trust,
Ser 2007-B, Cl A3A
5.150%, 11/15/11 230 232
GE Dealer Floorplan Master Note
Trust, Ser 2006-2, Cl C (C)
5.170%, 04/20/13 120 112
Harley-Davidson Motorcycle Trust,
Ser 2007-1, Cl C
5.540%, 04/15/15 105 104
Harley-Davidson Motorcycle Trust,
Ser 2005-2, Cl A2
4.070%, 02/15/12 750 746
Honda Auto Receivables Owners
Trust, Ser 2004-3, Cl A4
3.280%, 02/18/10 196 195
Honda Auto Receivables Owners
Trust, Ser 2005-1, Cl A4
3.820%, 05/21/10 291 289
Hyundai Auto Receivables Trust,
Ser 2007-A, Cl A3B
5.052%, 01/17/12 140 139
Merrill Auto Trust Securitization,
Ser 2007-1, Cl C
5.960%, 12/15/13 400 400
Nissan Auto Receivables Owner
Trust, Ser 2006-A, Cl A4
4.770%, 07/15/11 350 350
Nissan Auto Receivables Owner
Trust, Ser 2007-B, Cl A3
5.030%, 05/16/11 135 136
Santander Drive Auto Receivables
Trust, Ser 2007-1, Cl A2
5.200%, 12/15/10 375 375
Swift Master Auto Receivables Trust,
Ser 2007-2 Cl A (C)
5.302%, 10/15/12 430 427
Superior Wholesale Inventory
Financing Trust, Ser 2007-AE1,
Cl B (C)
4.952%, 12/15/07 25 24
Superior Wholesale Inventory
Financing Trust, Ser 2007-AE1,
Cl C (C)
5.252%, 12/13/07 45 44
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 115
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced Income Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
USAA Auto Owner Trust,
Ser 2007-1, Cl A3
5.430%, 10/17/11 $ 260 $ 263
USAA Auto Owner Trust,
Ser 2007-2, Cl A3
4.900%, 02/15/12 245 246
Volkswagen Auto Lease Trust,
Ser 2006-A, Cl A3
5.500%, 09/21/09 225 226
--------------
9,720
--------------
CREDIT CARDS -- 4.6%
Advanta Business Card Master Trust,
Ser 2005-C1, Cl C1 (C)
5.250%, 12/20/07 400 398
Advanta Business Card Master Trust,
Ser 2007-B1, Cl B (C)
4.990%, 12/22/14 400 369
American Express Credit Account
Master Trust, Ser 2007-2, Cl B (C)
4.832%, 09/15/16 145 137
Bank One Issuance Trust,
Ser 2003-B1, Cl B1 (C)
5.022%, 12/15/07 285 285
Bank One Issuance Trust,
Ser 2003-C2, Cl C2 (C)
5.792%, 12/16/07 500 501
Bank of America Credit Card Trust,
Ser 2007-B5, Cl B5 (C)
5.252%, 03/15/12 470 467
Bank of America Credit Card Trust,
Ser 2007-C1, Cl C1 (C)
4.942%, 12/26/07 450 415
Cabela's Master Credit Card Trust,
Ser 2003-1A, Cl A (C)
4.952%, 12/04/07 500 500
Capital One Multi-Asset Execution
Trust, Ser 2004-C4, Cl C4 (C)
5.302%, 12/02/07 650 634
Capital One Multi-Asset Execution
Trust, Ser 2005-C1, Cl C1 (C)
5.052%, 02/15/13 350 340
Capital One Multi-Asset Execution
Trust, Ser 2007-C2, Cl C2 (C)
4.952%, 12/15/07 400 375
Chase Issuance Trust, Ser 2005-C2,
Cl C2 (C)
5.092%, 01/15/15 400 378
Chase Issuance Trust, Ser 2007-A14,
Cl A14 (C)
4.902%, 12/27/07 650 650
Chase Issuance Trust, Ser 2007-A15,
Cl A
4.960%, 09/17/12 500 508
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Citibank Credit Card Issuance Trust,
Ser 2001-C1, Cl C1 (C)
6.323%, 01/15/10 $ 400 $ 400
Citibank Credit Card Issuance Trust,
Ser 2007-B5, Cl B5 (C)
5.384%, 11/07/14 500 489
Citibank Credit Card Issuance Trust,
Ser 2007-B6, Cl B6
5.000%, 11/08/12 340 344
First National Master Note Trust,
Ser 2007-1, Cl B (C)
4.852%, 04/15/13 320 313
First USA Credit Card Master Trust,
Ser 1998-2, Cl C (B)
6.800%, 02/18/11 550 550
GE Capital Credit Card Master Note
Trust, Ser 2007-3, Cl C (C)
4.952%, 06/15/13 500 483
Household Affinity Credit Card Master
Note Trust, Ser 2003-1, Cl B (C)
5.202%, 12/15/07 475 475
MBNA Credit Card Master Note Trust,
Ser 2006-A1, Cl A1 (C)
4.900%, 07/15/11 400 403
MBNA Credit Card Master Note Trust,
Ser 2006-C2, Cl C2 (C)
4.952%, 08/15/13 300 288
Washington Mutual Master Note
Trust, Ser 2006-C3A, C3A (B) (C)
5.032%, 12/10/07 535 497
--------------
10,199
--------------
MORTGAGE RELATED SECURITIES -- 1.3%
Ace Securities, Ser 2006-HE1,
Cl A2A (C)
4.869%, 02/25/36 31 31
First Franklin Mortgage Loan Asset,
Ser 2006-FF18, Cl A2B (C)
4.899%, 12/25/37 275 257
First Franklin Mortgage Loan Asset,
Ser 2007-FF1, Cl M2 (C)
5.049%, 12/26/07 285 121
Merrill Lynch First Franklin Mortgage
Loan Trust, Ser 2007-4, Cl M6 (C)
5.489%, 07/25/37 100 14
Morgan Stanley Capital I,
Ser 2007-HE2, Cl M2 (C)
5.049%, 01/25/37 150 93
Morgan Stanley Home Equity Loans,
Ser 2005-3, Cl M1 (C)
5.239%, 08/25/35 350 311
- --------------------------------------------------------------------------------
116 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Morgan Stanley Home Equity Loans,
Ser 2005-4, Cl M1 (C)
5.199%, 09/25/35 $ 370 $ 321
Option One Mortgage Loan Trust,
Ser 2005-3, Cl M1 (C)
5.259%, 12/25/07 330 307
Option One Mortgage Loan Trust,
Ser 2005-5, Cl M1 (C)
5.179%, 12/27/07 470 440
Option One Mortgage Loan Trust,
Ser 2007-FXD2, Cl 2A1 (F)
5.900%, 03/25/37 298 298
Option One Mortgage Loan Trust,
Ser 2007-HL1, Cl 2A1 (C)
4.909%, 12/26/07 270 263
Residential Asset Securities,
Ser 2005-KS12, Cl M1 (C)
5.229%, 12/25/07 375 338
Securitized Asset-Backed
Receivables LLC, Ser 2007-NC2,
Cl M2 (C)
5.049%, 01/25/37 145 68
--------------
2,862
--------------
OTHER ASSET-BACKED SECURITIES -- 1.2%
ACAS Business Loan Trust,
Ser 2006-1A, Cl A, (B) (C)
5.270%, 11/27/19 450 436
ACAS Business Loan Trust,
Ser 2007-1A, Cl C (B) (C)
5.728%, 01/24/08 530 496
Cit Equipment Collateral,
Ser 2006-VT1, Cl B
5.230%, 02/20/13 131 131
Domino's Pizza Master Issuer LLC,
Ser 2007-1, Cl A2 (B)
5.261%, 04/25/37 400 395
John Deere Owner Trust, Ser 2007-A,
Cl A2
5.210%, 10/15/09 85 85
Lambda Finance, Ser 2005-1A,
Cl A3 (B) (C)
5.099%, 11/15/29 400 393
Marlin Leasing Receivables LLC,
Ser 2006-1A, Cl A2 (B)
5.430%, 11/17/08 122 122
Peco Energy Transition Trust,
Ser 2000-A, Cl A3
7.625%, 03/01/10 295 305
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Sierra Receivables Funding,
Ser 2007-2A, Cl A2 (B) (C)
5.716%, 12/01/07 $ 500 $ 492
--------------
2,855
--------------
Total Asset-Backed Securities
(Cost $26,512) ($ Thousands) 25,636
--------------
CORPORATE OBLIGATIONS -- 8.3%
CONSUMER DISCRETIONARY -- 0.9%
CBS
7.700%, 07/30/10 250 267
COX Communications
4.625%, 01/15/10 300 299
Daimler Finance NA LLC
7.200%, 09/01/09 300 311
Macy's Retail Holdings
6.300%, 04/01/09 300 303
5.350%, 03/15/12 225 219
Time Warner Cable (B)
5.400%, 07/02/12 500 503
--------------
1,902
--------------
CONSUMER STAPLES -- 0.4%
Altria Group
7.000%, 11/04/13 250 281
General Mills (C)
5.310%, 01/23/08 400 397
Miller Brewing (B)
4.250%, 08/15/08 300 298
--------------
976
--------------
ENERGY -- 0.2%
Canadian Natural Resources
5.700%, 05/15/17 150 150
KeySpan
7.625%, 11/15/10 300 326
--------------
476
--------------
FINANCIALS -- 5.3%
Ameriprise Financial
5.350%, 11/15/10 300 308
Banco Santander Chile (B) (C)
6.074%, 12/09/07 450 449
CIT Group
3.375%, 04/01/09 300 288
Capital One Financial MTN
5.700%, 09/15/11 300 288
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 117
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced Income Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Capmark Financial Group (B) (C)
5.529%, 05/10/10 $ 500 $ 400
Citigroup (C)
5.994%, 12/11/07 300 289
Comerica Bank (C)
4.731%, 12/19/07 275 274
Countrywide Financial MTN (C)
5.384%, 01/05/08 500 377
Everest Reinsurance Holdings
8.750%, 03/15/10 295 323
Everest Reinsurance Holdings (C)
6.600%, 05/15/37 450 410
General Electric Capital (C)
5.101%, 01/28/08 275 274
Genworth Global Funding MTN
5.200%, 10/08/10 400 408
Goldman Sachs Capital III (C)
6.350%, 09/29/49 500 421
Goldman Sachs Group (C)
5.045%, 02/06/08 500 479
Hartford Financial Services Group
7.900%, 06/15/10 250 272
Huntington National Bank
4.375%, 01/15/10 300 300
International Lease Finance MTN,
Ser P (C)
5.643%, 01/15/10 500 500
JPMorgan Chase Capital XXI,
Ser U (C)
5.844%, 02/02/37 550 436
Lehman Brothers Holdings MTN,
Ser G (C)
5.129%, 11/10/09 500 486
Liberty Property LP+
7.250%, 03/15/11 300 320
Monumental Global Funding (B) (C)
5.443%, 01/16/08 450 450
Morgan Stanley MTN, Ser G (C)
5.543%, 01/04/08 400 381
Prudential Financial MTN
5.100%, 12/14/11 300 304
RSHB Capital
7.175%, 05/16/13 40 41
6.299%, 05/15/17 (B) 205 192
Reinsurance Group of America
5.625%, 03/15/17 300 303
State Street (C)
5.084%, 04/30/12 285 283
Textron Financial MTN
4.600%, 05/03/10 350 357
UBS Luxembourg (C)
6.230%, 02/11/15 130 129
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Union Planters
7.750%, 03/01/11 $ 250 $ 272
Unitrin
6.000%, 05/15/17 260 264
4.875%, 11/01/10 300 306
VTB 24 Capital PLC MTN, Ser E (C)
6.540%, 12/07/09 200 194
Wachovia (C)
5.814%, 12/15/07 425 417
Western Union
5.400%, 11/17/11 300 306
Willis North America
5.125%, 07/15/10 300 293
--------------
11,794
--------------
HEALTH CARE -- 0.4%
AstraZeneca (C)
6.004%, 09/11/09 600 601
Wyeth
6.950%, 03/15/11 250 268
--------------
869
--------------
INDUSTRIALS -- 0.1%
Continental Airlines, Ser 061G (C)
5.971%, 06/02/13 300 274
--------------
SOVEREIGN -- 0.1%
Republic of Trinidad & Tobago
9.875%, 10/01/09 150 165
--------------
TELECOMMUNICATION SERVICES -- 0.4%
Corning
6.050%, 06/15/15 300 310
Telecom Italia Capital (C)
5.819%, 01/18/08 300 294
Vodafone Group PLC (C)
5.320%, 02/27/08 300 293
--------------
897
--------------
UTILITIES -- 0.5%
Dominion Resources, Ser B (C)
5.050%, 02/14/08 450 449
Ohio Power (C)
5.424%, 04/05/10 270 267
PSEG Power
3.750%, 04/01/09 300 297
Southern, Ser A
5.300%, 01/15/12 175 178
--------------
1,191
--------------
Total Corporate Obligations
(Cost $19,066) ($ Thousands) 18,544
--------------
- --------------------------------------------------------------------------------
118 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CASH EQUIVALENT -- 8.8%
SEI Daily Income Trust,
Prime Obligation Fund, Cl A,
5.020%++* 19,798,511 $ 19,799
--------------
Total Cash Equivalent
(Cost $19,799) ($ Thousands) 19,799
--------------
TIME DEPOSITS -- 5.7%
Barclays Bank London
4.750%, 01/13/08 $ 3,030 3,030
Lloyds TSB London
5.080%, 01/03/08 3,531 3,531
Royal Bank of Canada
4.600%, 01/11/08 1,476 1,476
Royal Bank of Scotland
4.740%, 02/12/08 2,588 2,588
UBS London
5.000%, 12/12/07 2,028 2,028
--------------
Total Time Deposits
(Cost $12,652) ($ Thousands) 12,653
--------------
U.S. TREASURY OBLIGATION (A) -- 0.2%
U.S. Treasury Bill
3.897%, 01/24/08 500 498
--------------
Total U.S. Treasury Obligation
(Cost $497) ($ Thousands) 498
--------------
CERTIFICATE OF DEPOSIT -- 0.0%
Sovereign Bank
4.000%, 02/01/08 100 100
--------------
Total Certificate of Deposit
(Cost $100) ($ Thousands) 100
--------------
REPURCHASE AGREEMENT (D) -- 0.9%
Merrill Lynch
4.640%, dated 11/30/07,
to be repuchased on 12/01/07,
repurchase price $2,100,267
(collateralized by a FNMA
obligation, par value $2,110,000,
6.000%, 09/01/37, with total
market value $2,145,524) 2,100 2,100
--------------
Total Repurchase Agreement
(Cost $2,100) ($ Thousands) 2,100
--------------
Total Investments -- 99.9%
(Cost $230,605) ($ Thousands) $ 223,919
==============
A summary of the open futures contracts held by the Fund at November 30, 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$ 30 Dec-2007 $ 21
90-Day Euro$ 30 Dec-2010 82
90-Day Euro$ (60) Sep-2008 (197)
U.S. 2 Year Treasury Note 33 Mar-2008 13
U.S. 5 Year Treasury Note (18) Mar-2008 2
U.S. 10 Year Treasury Note (109) Mar-2008 7
------
$ (72)
======
A summary of the outstanding forward foreign currency contracts held by the Fund
at November 30, 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)
- --------------------------------------------------------------------------------
12/11/07-12/12/07 SEK 11,090 EUR 1,198 $ 22
12/12/07 AUD 225 GBP 98 2
12/12/07 CHF 1,595 EUR 968 7
12/12/07 EUR 211 CHF 349 (1)
12/12/07 EUR 1,937 SEK 17,970 (30)
12/12/07 GBP 748 AUD 1,715 (22)
12/12/07 USD 1,407 CAD 1,310 (96)
12/12/07-03/12/08 CHF 13,000 GBP 5,426 (425)
12/12/07-03/12/08 CHF 2,700 NZD 3,129 (19)
12/12/07-03/12/08 CHF 9,800 USD 8,318 (408)
12/12/07-03/12/08 GBP 5,464 CHF 13,000 346
12/12/07-03/12/08 NZD 3,090 CHF 2,700 49
12/12/07-03/12/08 USD 8,358 CHF 9,800 368
12/12/07-04/10/08 AUD 5,881 JPY 592,000 207
12/12/07-04/10/08 JPY 592,000 AUD 5,880 (207)
12/12/07-05/13/08 GBP 7,631 JPY 1,759,000 356
12/12/07-05/13/08 JPY 2,035,000 GBP 8,765 (541)
12/12/07-05/13/08 JPY 939,000 USD 8,226 (312)
12/12/07-05/13/08 USD 8,317 JPY 939,000 221
------
$ (483)
======
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 119
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced Income Fund (Concluded)
November 30, 2007
A summary of outstanding swap agreements held by the Fund at November 30, 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 0.5400%
(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 $ (1,059)
Fund receives monthly payment of 0.5700%
(6.840% 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: Goldman Sachs) 06/20/12 1,700 (68)
Fund receives monthly payment of 0.8600%
(10.320% 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: Goldman Sachs) 06/20/17 1,000 65
Fund receives monthly payment of 0.7900%
(9.480% per annum) times the notional
amount of MBI Index. Upon a defined credit
event, Fund pays the notional amount and
takes receipt of the defined deliverable
obligation. (Counterparty: Goldman Sachs) 09/20/12 500 (64)
Fund receives monthly payment of 0.3750%
(4.500% per annum) times the notional
amount of Pemex Project Funding Master
Trust. Upon a defined credit event, Fund pays
the notional amount and takes receipt of the
defined deliverable obligation.
(Counterparty: Goldman Sachs) 06/20/12 1,700 (18)
Fund receives monthly payment of 0.5699%
(6.839% per annum) times the notional
amount of Pemex Project Funding Master
Trust. Upon a defined credit event, Fund pays
the notional amount and takes receipt of the
defined deliverable obligation.
(Counterparty: Goldman Sachs) 06/20/17 1,000 22
--------
$ (1,122)
========
- --------------------------------------------------------------------------------------------------
INTEREST RATE SWAP
- --------------------------------------------------------------------------------------------------
Receive fixed rate of 5.055% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Goldman Sachs) 09/14/17 735 $ (26)
========
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
Percentages are based on Net Assets of $224,086 ($ Thousands).
* Rate shown is the 7-day effective yield as of November 30, 2007.
+ Real Estate Investment Trust
++ Investment in Affiliated Security (see Note 3).
(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 November 30, 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 November 30, 2007. The coupon on a step bond changes on
a specified date.
(G) Bank Loan
AUD -- Australian Dollar
CAD -- Canadian Dollar
CHF -- Swiss Franc
Cl -- Class
CMO -- Collateralized Mortgage Obligation
EUR -- Euro
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GBP -- British Pound Sterling
IO -- Interest Only
JPY -- Japanese Yen
LLC -- Limited Liability Company
LOC -- Line of Credit
Ltd. -- Limited
MTN -- Medium Term Note
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 -- United States Dollar
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
120 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
Core Fixed Income Fund
November 30, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS+++:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Mortgage-Backed Securities 45.4%
Short-Term Investments 20.4%
U.S. Treasury Obligations 15.0%
Financials 8.6%
Asset-Backed Securities 2.3%
Industrials 1.8%
U.S. Government Agency Obligations 1.2%
Energy 1.2%
Utilities 1.0%
Consumer Discretionary 0.9%
Telecommunication Services 0.8%
Sovereign Bonds 0.5%
Health Care 0.4%
Consumer Staples 0.1%
Materials 0.1%
Purchased Swaptions 0.1%
Information Technology 0.1%
Certificates of Deposit 0.1%
Municipal Bonds 0.0%
+++ Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 9).
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES -- 62.7%
AGENCY MORTGAGE-BACKED OBLIGATIONS -- 43.0%
FHLB CMO, Ser 2014-17, Cl I
5.340%, 03/20/14 $ 7,521 $ 7,521
FHLB CMO, Ser 2015-VN, Cl A
5.460%, 11/27/15 13,741 13,742
FHLMC
9.750%, 10/01/14 4 4
8.500%, 04/01/09 4 4
7.500%, 11/01/17 to 06/01/32 999 1,067
7.000%, 11/01/15 to 12/01/37 4,491 4,668
7.000%, 12/01/07 (F) 98 99
6.500%, 10/01/16 to 10/01/36 33,829 34,903
6.430%, 10/01/37 1,827 1,874
6.000%, 01/01/13 to 11/01/37 41,784 42,498
5.741%, 03/15/31 (E) 4,243 1,373
5.500%, 09/01/13 to 03/01/37 127,468 128,405
5.000%, 10/01/14 to 12/01/34 59,015 58,647
4.500%, 05/01/18 to 08/01/20 11,491 11,356
4.000%, 07/01/18 to 01/01/34 49,289 47,364
FHLMC ARM
6.676%, 12/01/07 4,639 4,754
6.589%, 12/01/07 3,931 4,049
6.315%, 03/01/37 11,074 11,266
6.178%, 01/01/37 8,845 9,066
6.157%, 01/01/37 3,458 3,541
6.149%, 09/01/37 4,642 4,738
6.141%, 08/01/37 3,812 3,890
6.009%, 04/01/37 5,250 5,342
5.940%, 04/01/37 5,181 5,273
5.920%, 04/01/37 22,515 22,884
5.904%, 04/01/37 8,509 8,630
5.895%, 01/01/37 6,044 6,116
5.876%, 04/01/36 3,407 3,461
5.767%, 05/01/37 2,425 2,457
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
5.703%, 05/01/37 $ 5,916 $ 6,009
5.699%, 03/01/36 1,748 1,754
5.541%, 06/01/37 5,114 5,156
5.188%, 12/01/35 1,048 1,052
5.126%, 01/01/36 6,452 6,399
FHLMC CMO, Ser 1, Cl Z
9.300%, 04/15/19 32 34
FHLMC CMO, Ser 1081, Cl K
7.000%, 05/15/21 617 654
FHLMC CMO, Ser 1101, Cl M
6.950%, 07/15/21 323 322
FHLMC CMO, Ser 1611, Cl Z
6.500%, 11/15/23 10,293 10,674
FHLMC CMO, Ser 1983, Cl Z
6.500%, 12/15/23 1,399 1,444
FHLMC CMO, Ser 2043, Cl CJ
6.500%, 04/15/28 2,749 2,841
FHLMC CMO, Ser 2256, Cl PA
6.000%, 11/15/26 52 52
FHLMC CMO, Ser 2389, Cl CD
6.000%, 03/15/16 2,239 2,263
FHLMC CMO, Ser 2542, Cl ES
5.000%, 12/15/17 8,683 8,671
FHLMC CMO, Ser 2544, Cl IW, IO
5.500%, 03/15/26 1,081 20
FHLMC CMO, Ser 2558, Cl BD
5.000%, 01/15/18 3,681 3,691
FHLMC CMO, Ser 2579, Cl PI, IO
5.500%, 03/15/27
FHLMC CMO, Ser 2583, Cl TD
4.500%, 12/15/13 3,429 3,385
FHLMC CMO, Ser 2590, Cl NU
5.000%, 06/15/17 1,808 1,811
FHLMC CMO, Ser 2603, Cl KT
4.750%, 07/15/14 3,622 3,617
FHLMC CMO, Ser 2614, Cl TD
3.500%, 05/15/16 3,030 2,966
FHLMC CMO, Ser 2623, Cl AJ
4.500%, 12/01/07 2,531 2,492
FHLMC CMO, Ser 2631, Cl MC
5.000%, 02/15/32 484 471
FHLMC CMO, Ser 2631, Cl MT
3.500%, 01/15/22 1,277 1,273
FHLMC CMO, Ser 2645, Cl MK
3.500%, 07/15/22 2,456 2,445
FHLMC CMO, Ser 2672, Cl HA
4.000%, 09/15/16 1,854 1,817
FHLMC CMO, Ser 2725, Cl PC
4.500%, 05/15/28 1,660 1,660
FHLMC CMO, Ser 2727, Cl PE
4.500%, 07/15/32 11,019 10,589
FHLMC CMO, Ser 2733, Cl ME
5.000%, 01/15/34 6,302 5,922
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 121
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FHLMC CMO, Ser 2735, Cl OG
5.000%, 08/15/32 $ 1,517 $ 1,487
FHLMC CMO, Ser 2735, Cl PG
5.500%, 09/15/32 524 530
FHLMC CMO, Ser 2776, Cl AC
5.000%, 09/15/31 1,276 1,254
FHLMC CMO, Ser 2777, Cl KB
5.000%, 03/15/32 2,763 2,683
FHLMC CMO, Ser 2778, Cl JD
5.000%, 12/15/32 2,201 2,146
FHLMC CMO, Ser 2780, Cl TB
3.000%, 12/15/24 1,996 1,967
FHLMC CMO, Ser 2793, Cl GE
5.500%, 11/15/32 437 441
FHLMC CMO, Ser 2809, Cl HX, IO
6.000%, 10/15/24 878 11
FHLMC CMO, Ser 2841, Cl BD
4.000%, 12/01/07 145 142
FHLMC CMO, Ser 2883, Cl HK
5.000%, 04/15/32 1,144 1,135
FHLMC CMO, Ser 2945, Cl SA (F)
3.920%, 12/15/07 5,990 6,021
FHLMC CMO, Ser 2960, Cl NC
5.500%, 10/15/32 492 497
FHLMC CMO, Ser 2975, Cl EA
5.000%, 12/01/07 1,960 1,966
FHLMC CMO, Ser 3000, Cl PA
3.900%, 01/15/23 3,187 3,146
FHLMC CMO, Ser 3017, Cl TA
4.500%, 08/15/35 3,738 3,702
FHLMC CMO, Ser 3019, Cl VM
5.000%, 08/15/16 2,035 2,041
FHLMC CMO, Ser 3020, Cl MA
5.500%, 04/15/27 4,472 4,502
FHLMC CMO, Ser 3034, Cl EH
5.500%, 12/15/34 5,405 5,470
FHLMC CMO, Ser 3035, Cl PA
5.500%, 09/15/35 1,522 1,543
FHLMC CMO, Ser 3062, Cl LC
5.500%, 11/15/28 2,492 2,521
FHLMC CMO, Ser 3075, Cl PA
5.500%, 07/15/25 1,666 1,674
FHLMC CMO, Ser 3078, Cl PA
5.500%, 07/15/24 2,194 2,205
FHLMC CMO, Ser 3104, Cl QC
5.000%, 09/15/31 2,782 2,753
FHLMC CMO, Ser 3115, Cl MB
5.500%, 12/15/20 819 829
FHLMC CMO, Ser 3135, Cl JA
6.000%, 09/15/27 5,178 5,239
FHLMC CMO, Ser 3138, Cl PA
5.500%, 02/15/27 5,004 5,038
FHLMC CMO, Ser 3151, Cl PA
6.000%, 12/01/07 6,724 6,819
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FHLMC CMO, Ser 3164, Cl NA
6.000%, 12/01/07 $ 4,808 $ 4,881
FHLMC CMO, Ser 3164, Cl NC
6.000%, 12/15/32 537 553
FHLMC CMO, Ser 3167, Cl QA
6.000%, 10/15/26 10,860 11,029
FHLMC CMO, Ser 3171, Cl NE
6.000%, 12/01/07 2,502 2,539
FHLMC CMO, Ser 3178, Cl MA
6.000%, 10/15/26 3,069 3,111
FHLMC CMO, Ser 3184, Cl PA
5.500%, 02/15/27 1,244 1,253
FHLMC CMO, Ser 3192, Cl GA
6.000%, 03/15/27 3,909 3,962
FHLMC CMO, Ser 3205, Cl PC
6.000%, 09/15/32 4,464 4,556
FHLMC CMO, Ser 3216, Cl NA
6.000%, 05/15/28 3,355 3,407
FHLMC CMO, Ser 3268, Cl HC
5.000%, 12/15/32 1,902 1,864
FHLMC CMO, Ser 3288, Cl PA
5.500%, 05/15/29 6,223 6,282
FHLMC CMO, Ser 3289, Cl PB
5.000%, 11/15/29 2,979 2,973
FHLMC CMO, Ser 3298, Cl VB
5.000%, 11/15/25 2,051 1,936
FHLMC CMO, Ser 3300, Cl PB
5.500%, 02/15/31 2,086 2,108
FHLMC CMO, Ser 3305, Cl PD
5.500%, 11/15/35 1,788 1,763
FHLMC CMO, Ser 3312, Cl AP
5.500%, 11/15/25 2,220 2,238
FHLMC CMO, Ser 3316, Cl HA
5.000%, 07/15/35 6,692 6,663
FHLMC CMO, Ser 3316, Cl PB
5.500%, 03/15/31 993 1,004
FHLMC CMO, Ser 3325, Cl JL
5.500%, 06/15/37 13,923 14,034
FHLMC CMO, Ser 3326, Cl PC
5.500%, 08/15/32 886 880
FHLMC CMO, Ser 3331, Cl BP
5.500%, 02/15/31 4,572 4,604
FHLMC CMO, Ser 3347, Cl PA
5.000%, 06/15/28 4,127 4,145
FHLMC CMO, Ser 3347, Cl PC
5.000%, 07/15/33 15,709 15,328
FHLMC CMO, Ser 3347, Cl PD
5.000%, 09/15/35 3,488 3,307
FHLMC CMO, Ser 3349, Cl BP
6.000%, 03/15/32 5,330 5,457
FHLMC CMO, Ser 3351, Cl PK
5.500%, 01/15/32 10,307 10,431
FHLMC CMO, Ser 3372, Cl BD
4.500%, 10/15/22 2,533 2,437
- --------------------------------------------------------------------------------
122 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FHLMC CMO, Ser 3790, Cl TN
4.000%, 05/15/24 $ 2,779 $ 2,572
FHLMC TBA
6.500%, 01/01/32 3,519 3,616
6.000%, 12/01/33 to 01/12/35 45,603 46,287
5.500%, 01/01/33 8,000 8,013
5.000%, 01/01/34 7,900 7,752
FHLMC, Ser 2588, Cl LG
5.500%, 03/15/32
FHLMC, Ser 2825, Cl QN
5.500%, 09/15/32 3,958 3,927
FHLMC, Ser 2835, Cl NG
5.500%, 07/15/33 1,248 1,257
FICO STRIPS, Ser D-P (E)
5.280%, 09/26/19 6,474 3,753
FNMA
8.000%, 04/01/08 to 07/01/31 539 568
7.500%, 06/01/30 -- --
7.000%, 03/01/09 to 10/01/37 8,134 8,473
6.500%, 05/01/17 to 10/01/37 66,722 68,648
6.190%, 08/01/08 1,275 1,275
6.000%, 04/01/17 to 09/01/37 184,381 187,498
5.740%, 03/01/09 1,027 1,034
5.500%, 04/01/14 to 08/01/37 200,624 201,868
5.000%, 06/01/18 to 07/01/37 127,839 126,224
4.500%, 06/01/13 to 10/01/20 50,106 49,514
4.495%, 04/01/09 1,369 1,364
4.000%, 07/01/18 to 03/01/36 62,083 58,629
FNMA ARM
7.022%, 11/01/35 2,316 2,375
6.919%, 12/01/07 2,267 2,325
6.909%, 12/01/07 2,291 2,350
6.908%, 12/01/07 2,226 2,283
6.902%, 12/01/07 2,339 2,399
6.444%, 07/01/36 4,603 4,685
6.178%, 08/01/37 32,980 33,620
6.062%, 08/01/37 13,267 13,478
5.952%, 01/01/37 4,853 4,914
5.900%, 09/01/37 4,813 4,881
5.842%, 06/01/37 3,640 3,702
5.841%, 03/01/37 19,544 19,753
5.820%, 04/01/37 5,110 5,212
5.818%, 05/01/37 2,420 2,458
5.766%, 08/01/37 3,414 3,462
5.746%, 04/01/36 2,328 2,357
5.640%, 02/01/36 13,085 13,125
5.614%, 05/01/37 2,748 2,770
5.193%, 11/01/36 1,310 1,303
5.082%, 10/01/36 4,177 4,175
FNMA CMO, Ser 109, Cl VB
5.000%, 11/01/37 6,453 6,068
FNMA CMO, Ser 1999-11, Cl Z
5.500%, 03/25/29 4,192 4,205
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FNMA CMO, Ser 2001-60, Cl JZ
6.000%, 03/25/31 $ 111 $ 111
FNMA CMO, Ser 2002-94, Cl BJ, IO
5.500%, 04/25/16 302 9
FNMA CMO, Ser 2002-T11, Cl A
4.768%, 04/25/12 2,166 2,171
FNMA CMO, Ser 2003, HJ
5.000%, 02/25/18 2,250 2,246
FNMA CMO, Ser 2003-108, Cl BE
4.000%, 11/25/18 230 218
FNMA CMO, Ser 2003-113, Cl PN
3.500%, 02/25/13 671 665
FNMA CMO, Ser 2003-123, Cl AB
4.000%, 10/25/16 4,140 4,060
FNMA CMO, Ser 2003-15, Cl CH
4.000%, 12/01/07 1,461 1,436
FNMA CMO, Ser 2003-16, Cl PN
4.500%, 12/01/07 2,087 2,073
FNMA CMO, Ser 2003-24, Cl LC
5.000%, 12/25/15 1,113 1,112
FNMA CMO, Ser 2003-30, Cl ET
3.500%, 08/25/16 2,945 2,886
FNMA CMO, Ser 2003-33, Cl CH
4.000%, 12/01/07 3,800 3,710
FNMA CMO, Ser 2003-92, Cl PC
4.500%, 05/25/15 2,300 2,286
FNMA CMO, Ser 2003-T1, Cl A
3.807%, 11/25/12 969 964
FNMA CMO, Ser 2004-34, Cl PL
3.500%, 05/25/14 2,688 2,660
FNMA CMO, Ser 2004-4, Cl CA
4.000%, 09/25/17 2,510 2,446
FNMA CMO, Ser 2004-6, Cl CA
4.000%, 06/25/17 2,278 2,223
FNMA CMO, Ser 2004-81, Cl AG
4.000%, 03/25/18 3,267 3,185
FNMA CMO, Ser 2004-88, Cl HA
6.500%, 07/25/34 1,939 2,003
FNMA CMO, Ser 2005-20, Cl QD
5.000%, 03/25/28 5,907 5,910
FNMA CMO, Ser 2005-30, Cl B
5.000%, 07/25/32 1,886 1,810
FNMA CMO, Ser 2005-38, Cl CD
5.000%, 06/25/19 2,376 2,368
FNMA CMO, Ser 2005-57, Cl EG (F)
5.172%, 12/25/07 3,294 3,269
FNMA CMO, Ser 2005-58, Cl MA
5.500%, 07/25/35 1,221 1,241
FNMA CMO, Ser 2005-92, Cl NM
3.500%, 04/25/13 698 692
FNMA CMO, Ser 2005-C2, Cl A2
4.821%, 04/15/30 188 189
FNMA CMO, Ser 2006-114, Cl CG
5.500%, 12/25/36 2,791 2,769
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 123
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FNMA CMO, Ser 2006-18, Cl PA
5.500%, 01/25/26 $ 2,714 $ 2,726
FNMA CMO, Ser 2006-31, Cl PA
5.500%, 11/25/26 3,229 3,247
FNMA CMO, Ser 2006-34, Cl PA
6.000%, 05/25/27 6,883 6,963
FNMA CMO, Ser 2006-41, Cl MA
5.500%, 04/25/24 2,705 2,713
FNMA CMO, Ser 2006-53, Cl PA
5.500%, 12/25/26 932 938
FNMA CMO, Ser 2006-55, Cl PA
6.000%, 05/25/26 4,627 4,683
FNMA CMO, Ser 2006-64, Cl PA
5.500%, 12/01/07 2,234 2,253
FNMA CMO, Ser 2006-80, Cl PB
6.000%, 12/01/07 6,349 6,439
FNMA CMO, Ser 2007-113, Cl DB
4.500%, 12/25/22 3,664 3,382
FNMA CMO, Ser 2007-27, Cl KA
5.750%, 09/25/33 1,704 1,728
FNMA CMO, Ser 2007-30, Cl MA
4.250%, 02/25/37 7,223 7,105
FNMA CMO, Ser 2007-39, Cl NA
4.250%, 01/25/37 8,378 8,231
FNMA CMO, Ser 2007-6, Cl PA
5.500%, 02/25/37 2,221 2,218
FNMA CMO, Ser 2007-62, Cl PA
6.000%, 03/25/29 2,367 2,407
FNMA CMO, Ser 2007-7, Cl W
5.500%, 01/25/36 2,039 2,019
FNMA CMO, Ser 2007-80, Cl TA
6.000%, 09/25/26 6,132 6,227
FNMA CMO, Ser 2007-81, Cl AE
6.000%, 08/25/28 7,837 7,969
FNMA CMO, Ser 2632, Cl NE
4.000%, 06/15/13 6,452 6,308
FNMA CMO, Ser 2727, Cl PW
3.570%, 06/15/29 219 216
FNMA CMO, Ser 3173, Cl PH
6.000%, 09/15/27 4,476 4,547
FNMA CMO, Ser 34, Cl QJ
4.500%, 01/25/16 4,424 4,395
FNMA CMO, Ser 45, Cl BA
4.500%, 11/25/14 101 100
FNMA CMO, Ser 45, Cl NW
5.500%, 01/25/35 8,478 8,351
FNMA CMO, Ser 48, Cl TD
5.500%, 12/25/34 4,188 4,116
FNMA CMO, Ser 60, Cl PA
5.500%, 04/25/34 1,974 1,990
FNMA CMO, Ser 81, Cl PA
6.000%, 02/25/29 1,376 1,400
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FNMA TBA
7.000%, 12/01/35 $ 4,554 $ 4,726
6.500%, 12/13/37 49,250 50,651
6.000%, 12/01/18 to 12/01/37 172,719 176,217
5.500%, 12/01/27 to 01/01/37 110,302 110,874
5.000%, 01/01/19 to 12/01/37 432,098 424,067
4.500%, 12/01/35 3,600 3,422
GNMA
9.500%, 12/15/20 17 19
7.000%, 04/15/26 to 09/15/34 6,003 6,359
6.500%, 06/15/11 to 07/15/35 20,858 21,691
6.000%, 03/15/14 to 02/15/35 58,640 60,227
5.500%, 04/15/14 to 12/15/32 382 387
5.000%, 05/15/33 to 11/15/35 43,462 43,210
4.500%, 01/01/20 5,685 5,604
GNMA ARM
4.750%, 12/01/07 4,683 4,676
GNMA CMO, Ser 2001-18, Cl WH (F)
10.546%, 12/20/07 231 265
GNMA CMO, Ser 2002-51, Cl SG (F)
10.844%, 12/20/07 216 250
GNMA CMO, Ser 2003-58, Cl LG, IO
5.500%, 05/17/29 3,000 82
GNMA CMO, Ser 2003-82, Cl IO, IO
5.500%, 03/20/29 2,574 80
GNMA CMO, Ser 2003-86, Cl ZK
5.000%, 10/20/33 10,666 10,113
GNMA CMO, Ser 2004-80, Cl IP, IO
5.500%, 07/20/34 5,368 283
GNMA CMO, Ser 2004-87, Cl LI, IO
5.000%, 12/20/28 4,978 225
GNMA CMO, Ser 2006-3, Cl A
4.212%, 01/16/28 922 912
GNMA CMO, Ser 2006-37, Cl JG
5.000%, 07/20/36 1,723 1,642
GNMA CMO, Ser 2006-8, Cl A
3.942%, 08/16/25 1,288 1,270
GNMA CMO, Ser 2007-7, Cl PG
5.000%, 02/16/37 13,507 12,816
GNMA TBA
6.500%, 01/22/33 to 12/01/35 68,961 71,189
6.000%, 12/01/33 to 12/01/37 21,600 22,153
--------------
2,843,948
--------------
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 19.7%
Adjustable Rate Mortgage Trust, Ser
2005-8, Cl 4A11 (F)
5.436%, 12/01/07 12,450 12,447
American Home Mortgage Assets,
Ser 2006-5, Cl A1 (F)
5.853%, 12/01/07 1,967 1,908
American Tower Trust, Ser 2007-1A,
Cl AFX (C)
5.420%, 04/15/37 3,409 3,331
- --------------------------------------------------------------------------------
124 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Amortizing Residential Collateral Trust
CMO, Ser 2002-BC1, Cl A (F)
5.660%, 12/25/07 $ 602 $ 586
Banc of America Alternative Loan
Trust, Ser 2004-5, Cl 4A1
5.000%, 06/25/19 1,591 1,573
Banc of America Alternative Loan
Trust, Ser 2004-6, Cl 4A1
5.000%, 07/25/19 2,005 1,945
Banc of America Alternative Loan
Trust, Ser 2006-4, Cl 4CB1
6.500%, 05/25/46 -- --
Banc of America Alternative Loan
Trust, Ser 2006-7, Cl A3 (F)
5.913%, 10/25/36 2,029 2,009
Banc of America Alternative Loan
Trust, Ser 2006-8, Cl 3A1 (F)
6.280%, 12/01/07 2,436 2,526
Banc of America Alternative Loan
Trust, Ser 2007-1, Cl 2A1 (F)
6.497%, 12/01/07 567 566
Banc of America Commercial
Mortgage Securities,
Ser 2002-PB2, Cl A4
6.186%, 06/11/35 80 83
Banc of America Commercial
Mortgage Securities,
Ser 2002-PB2, Cl B
6.309%, 06/11/35 1,075 1,124
Banc of America Commercial
Mortgage Securities, Ser 2003-1,
Cl A1
3.878%, 09/11/36 7,274 7,127
Banc of America Commercial
Mortgage Securities, Ser 2003-1,
Cl A2
4.648%, 12/01/07 2,349 2,287
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 3,158
Banc of America Commercial
Mortgage Securities, Ser 2004-2,
Cl A5
4.580%, 12/01/07 564 540
Banc of America Commercial
Mortgage Securities, Ser 2004-4,
Cl A4
4.502%, 07/10/42 3,518 3,459
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Banc of America Commercial
Mortgage Securities, Ser 2004-6,
Cl A3
4.512%, 12/10/42 $ 5,620 $ 5,523
Banc of America Commercial
Mortgage Securities, Ser 2005-2,
Cl A3
4.611%, 07/10/43 172 171
Banc of America Commercial
Mortgage Securities, Ser 2005-3,
Cl A4
4.668%, 07/10/43 12,400 11,849
Banc of America Commercial
Mortgage Securities, Ser 2005-4,
Cl A5A
4.933%, 12/01/07 578 561
Banc of America Commercial
Mortgage Securities, Ser 2005-5,
Cl A4 (F)
5.115%, 10/10/45 9,126 8,975
Banc of America Commercial
Mortgage Securities, Ser 2005-6,
Cl A4 (F)
5.353%, 12/01/07 4,280 4,249
Banc of America Commercial
Mortgage Securities, Ser 2006-4,
Cl A4
5.634%, 07/10/46 15,000 15,198
Banc of America Commercial
Mortgage Securities, Ser 2006-5,
Cl XC, IO (C) (F)
0.053%, 12/01/07 78,460 1,164
Banc of America Funding,
Ser 2005-B, Cl 2A1 (F)
5.097%, 12/01/07 5,697 5,706
Banc of America Funding,
Ser 2006-D, Cl 5A1 (F)
5.844%, 12/01/07 1,465 1,447
Banc of America Funding,
Ser 2007-8, Cl 2A2
7.000%, 10/25/37 227 228
Banc of America Funding,
Ser 2007-D, Cl 3A1 (F)
5.652%, 12/01/07 4,018 4,035
Banc of America Mortgage Securities,
Ser 2003-1, Cl 2A4
5.000%, 02/25/18 3,893 3,867
Bear Stearns Adjustable Rate
Mortgage Trust, Ser 2004-2,
Cl 24A (F)
5.322%, 12/01/07 5,052 4,917
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SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 125
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Bear Stearns Asset-Backed
Securities, Ser 2006-AC1,
Cl 1A1 (G)
5.750%, 12/01/07 $ 3,044 $ 3,035
Bear Stearns Commercial Mortgage
Securities, Ser 2000-WF1,
Cl A2 (F)
7.780%, 02/15/32 7,969 8,345
Bear Stearns Commercial Mortgage
Securities, Ser 2004-ESA, Cl C (C)
4.937%, 05/14/16 2,473 2,505
Bear Stearns Commercial Mortgage
Securities, Ser 2004-PWR5, Cl A3
4.565%, 07/11/42 115 113
Bear Stearns Commercial Mortgage
Securities, Ser 2004-PWR6, Cl A6
4.825%, 11/11/41 637 617
Bear Stearns Commercial Mortgage
Securities, Ser 2004-T16, Cl A3
4.030%, 02/13/46 100 99
Bear Stearns Commercial Mortgage
Securities, Ser 2005-T18,
Cl A4 (F)
4.933%, 12/01/07 2,463 2,385
Bear Stearns Commercial Mortgage
Securities, Ser 2007-PW15, Cl A3
5.660%, 09/11/41 1,189 1,097
5.309%, 02/11/44 2,636 2,624
Bear Stearns Commercial Mortgage
Securities, Ser 2007-PW17,
Cl A4 (F)
5.694%, 12/01/07 21,410 21,655
Bear Stearns Structured Products,
Ser 2007-R11, Cl A1A (F)
5.419%, 12/25/07 24,758 24,386
Chase Funding Mortgage Loan,
Ser 2002-1, Cl 2A2 (F)
5.289%, 12/25/07 1,290 1,269
Chase Mortgage Finance,
Ser 2005-A1, Cl 1A1 (F)
5.409%, 12/01/07 2,546 2,544
Chase Mortgage Finance,
Ser 2005-A1, Cl 2A3 (F)
5.238%, 12/01/07 13,166 13,149
Chaseflex Trust, Ser 2007-1, Cl 1A3
6.500%, 02/25/37 1,920 1,958
Citicorp Residential Mortgage
Securities, Ser 2006-1, Cl A2 (G)
5.682%, 07/25/36 2,150 2,123
Citicorp Residential Mortgage
Securities, Ser 2006-2, Cl A2 (G)
5.557%, 12/01/07 2,268 2,233
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Citigroup Commercial Mortgage Trust,
Ser 2004-CA, Cl C (F)
5.356%, 12/01/07 $ 1,520 $ 1,482
Citigroup Mortgage Loan Trust,
Ser 2005-11, Cl A3 (F)
4.900%, 12/01/07 8,016 7,735
Citigroup Mortgage Loan Trust,
Ser 2006-AR3, Cl 1A1A (F)
5.940%, 12/01/07 556 550
Citigroup Mortgage Loan Trust,
Ser 2007-AHL1, Cl A2A (F)
4.913%, 12/25/07 2,843 2,757
Citigroup Mortgage Loan Trust,
Ser 2007-AR5, Cl 1A2A (F)
5.614%, 12/01/07 492 496
Commercial Mortgage Asset Trust,
Ser 1999-C2, Cl A2 (F)
7.546%, 11/17/32 324 333
Commercial Mortgage Pass-Through
Certificate, Ser 1999-1, Cl E (F)
7.090%, 12/01/07 4,604 4,666
Commercial Mortgage Pass-Through
Certificate, Ser 2000-C1, Cl C (F)
7.706%, 08/15/33 637 677
Commercial Mortgage Pass-Through
Certificate, Ser 2004-LB2A,
Ser A4
4.715%, 03/10/39 1,173 1,131
Commercial Mortgage Pass-Through
Certificate, Ser 2004-LB3A,
Cl B (F)
5.443%, 12/01/07 2,400 2,331
Commercial Mortgage Pass-Through
Certificate, Ser 2005-C6, Cl A3
5.144%, 12/10/07 12,600 12,602
Commercial Mortgage Pass-Through
Certificate, Ser 2005-LP5,
Cl A4 (F)
4.982%, 12/01/07 9,042 8,810
Commercial Mortgage Pass-Through
Certificate, Ser 2006-C7, Cl AM (F)
5.793%, 12/01/07 11,330 11,290
Countrywide Alternative Loan Trust,
Ser 2003-20CB, Cl 1A1
5.500%, 10/25/33 3,568 3,552
Countrywide Alternative Loan Trust,
Ser 2004-27CB, Cl A1
6.000%, 12/25/34 3,057 2,991
Countrywide Alternative Loan Trust,
Ser 2004-J1, Cl 1A1
6.000%, 02/25/34 773 769
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126 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Alternative Loan Trust,
Ser 2004-J6, Cl 2A1
6.500%, 11/25/31 $ 2,618 $ 2,637
Countrywide Alternative Loan Trust,
Ser 2005-27, Cl 2A1 (F)
6.333%, 12/01/07 4,963 4,769
Countrywide Alternative Loan Trust,
Ser 2005-27, Cl 3A2 (F)
6.033%, 12/01/07 1,530 1,416
Countrywide Alternative Loan Trust,
Ser 2005-56, Cl 4A1 (F)
5.099%, 12/25/07 9,531 9,197
Countrywide Alternative Loan Trust,
Ser 2005-59, Cl 1A1 (F)
5.070%, 12/20/07 11,281 10,925
Countrywide Alternative Loan Trust,
Ser 2005-59, Cl 2X, IO (E)
1.312%, 12/01/07 26,973 964
Countrywide Alternative Loan Trust,
Ser 2005-72, Cl A1 (F)
5.059%, 12/27/07 4,104 4,023
Countrywide Alternative Loan Trust,
Ser 2006-7CB, Cl 1A9
6.000%, 05/25/36 534 530
Countrywide Alternative Loan Trust,
Ser 2006-OA11, Cl A4 (F)
4.979%, 12/25/07 12,238 11,835
Countrywide Alternative Loan Trust,
Ser 2006-OA14, Cl 1A2 (F)
5.813%, 12/01/07 1,262 1,192
Countrywide Alternative Loan Trust,
Ser 2006-OA2, Cl X1P, IO
1.772%, 12/01/07 37,747 1,749
Countrywide Alternative Loan Trust,
Ser 2006-OC6, Cl 2A1 (F)
4.943%, 12/25/07 4,029 4,019
Countrywide Home Loans,
Ser 2005-20, Cl A7
5.250%, 12/01/07 870 814
Countrywide Home Loans,
Ser 2005-R3, Cl AF (C) (F)
5.189%, 12/25/07 10,476 10,157
Credit Suisse First Boston Mortgage
Securities, Ser 1998-C2, Cl A2
6.300%, 11/15/30 3,246 3,262
Credit Suisse First Boston Mortgage
Securities, Ser 2001-CF2, Cl A4
6.505%, 02/15/34 2,220 2,307
Credit Suisse First Boston Mortgage
Securities, Ser 2001-CKN5, Cl A4
5.435%, 09/15/34 3,653 3,704
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Credit Suisse First Boston Mortgage
Securities, Ser 2001-MH29,
Cl A (G)
5.600%, 09/25/31 $ 831 $ 838
Credit Suisse First Boston Mortgage
Securities, Ser 2002-CKN2, Cl A3
6.133%, 04/15/37 2,899 3,012
Credit Suisse First Boston Mortgage
Securities, Ser 2002-CKS4, Cl A2
5.183%, 11/15/36 23,396 23,380
Credit Suisse First Boston Mortgage
Securities, Ser 2003-C4, Cl A4 (F)
5.137%, 08/15/36 1,905 1,892
Credit Suisse First Boston Mortgage
Securities, Ser 2003-C5, Cl A4 (F)
4.900%, 12/15/36 4,265 4,165
Credit Suisse First Boston Mortgage
Securities, Ser 2003-CK2, Cl A4
4.801%, 03/15/36 1,334 1,308
Credit Suisse First Boston Mortgage
Securities, Ser 2004-C2, Cl A1
3.819%, 05/15/36 10,678 10,377
Credit Suisse First Boston Mortgage
Securities, Ser 2004-C2, Cl A2
5.416%, 12/01/07 5,482 5,475
Credit Suisse First Boston Mortgage
Securities, Ser 2004-C3, Cl A5 (F)
5.113%, 07/15/36 2,413 2,368
Credit Suisse First Boston Mortgage
Securities, Ser 2004-C5, Cl A4
4.829%, 12/15/07 3,302 3,192
Credit Suisse First Boston Mortgage
Securities, Ser 2005-C1, Cl AAB
4.815%, 12/01/07 1,154 1,147
Credit Suisse First Boston Mortgage
Securities, Ser 2005-C2, Cl A4
4.832%, 04/15/37 1,169 1,128
Credit Suisse First Boston Mortgage
Securities, Ser 2007-C5, Cl A4 (F)
5.695%, 12/01/07 1,742 1,744
Credit Suisse First Boston Mortgage
Securities, Ser 8, Cl 1A2
5.250%, 12/01/07 4,779 4,754
Criimi Mae Commercial Mortgage,
Ser 1998-C1, Cl A2 (C)
7.000%, 06/02/33 418 417
DLJ Commercial Mortgage,
Ser 1999-CG2, Cl A1B (F)
7.300%, 06/10/32 3,443 3,535
DSLA Mortgage Loan Trust,
Ser 2004-AR2, Cl A2B (F)
5.421%, 12/19/07 3,857 3,780
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 127
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
EMC Mortgage Loan Trust,
Ser 2002-AA, Cl A1 (C) (F)
5.259%, 12/25/07 $ 1,230 $ 1,214
First Union National Bank,
Ser 2001-C4, Cl B
6.417%, 12/12/33 926 971
GE Capital Commercial Mortgage,
Ser 2001-2, Cl A3
6.030%, 08/11/33 1,404 1,422
GE Capital Commercial Mortgage,
Ser 2001-3, Cl A1
5.560%, 06/10/38 106 107
GE Capital Commercial Mortgage,
Ser 2002-3A, Cl A2
4.996%, 12/10/37 12,500 12,454
GE Capital Commercial Mortgage,
Ser 2003-C1, Cl A3
4.371%, 01/10/38 25 25
GE Capital Commercial Mortgage,
Ser 2004-C1, Cl A3
4.596%, 11/10/38 3,296 3,170
GE Capital Commercial Mortgage,
Ser 2004-C3, Cl A4 (F)
5.189%, 12/01/07 2,979 2,938
GE Capital Commercial Mortgage,
Ser 2005-C3, Cl A7A (F)
4.974%, 12/01/07 5,530 5,384
GE Capital Commercial Mortgage,
Ser 2005-C4, Cl A3A (F)
5.333%, 12/01/07 14,500 14,649
GE Capital Commercial Mortgage,
Ser 2007-C1, Cl A4
5.543%, 12/01/07 5,060 5,069
GMAC Commercial Mortgage
Securities, Ser 2000-C2, Cl A2 (F)
7.455%, 08/16/33 3,171 3,333
GMAC Commercial Mortgage
Securities, Ser 2004-C1, Cl A1
3.118%, 03/10/38 454 448
GMAC Commercial Mortgage
Securities, Ser 2004-C2, Cl A1
3.896%, 08/10/38 202 200
GMAC Mortgage Loan Trust,
Ser 2004-J4, Cl A1
5.500%, 12/01/07 966 966
GMAC Mortgage Loan Trust,
Ser 2005-HE3, Cl A1VN (F)
5.391%, 12/25/07 12,848 12,338
GMAC Mortgage Loan Trust,
Ser 2007-HE2, Cl A6 (G)
6.249%, 12/01/07 964 964
GS Mortgage Securities,
Ser 1998-C1, Cl B
6.970%, 10/18/30 878 885
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
GS Mortgage Securities,
Ser 1998-GLII, Cl A2
6.562%, 04/13/31 $ 6,652 $ 6,649
GS Mortgage Securities,
Ser 2004-GG2, Cl A6 (F)
5.396%, 08/10/38 2,171 2,165
GS Mortgage Securities,
Ser 2005-GG4, Cl AABA
4.680%, 07/10/39 5,800 5,687
GSMPS Mortgage Loan Trust,
Ser 1998-1, Cl A (C)
8.000%, 09/19/27 7 7
GSMPS Mortgage Loan Trust,
Ser 2006-RP2, Cl 1AF1 (C) (F)
5.273%, 12/25/07 2,887 2,857
Greenpoint Mortgage Funding Trust,
Ser 2007-AR1, Cl 1A1A (F)
4.869%, 12/25/07 20,542 20,095
Greenwich Capital Commercial
Funding, Ser 2005-GG5, Cl A2
5.117%, 04/10/37 1,517 1,527
Greenwich Capital Commercial
Funding, Ser 2007-GC9,
Cl X, IO (C) (F)
0.512%, 12/01/07 22,808 495
Harborview Mortgage Loan Trust,
Ser 2005-01, Cl X, IO (E)
1.446%, 12/01/07 16,634 296
Harborview Mortgage Loan Trust,
Ser 2005-10, Cl X, IO (F)
1.548%, 12/01/07 26,377 598
Harborview Mortgage Loan Trust,
Ser 2005-12, Cl X2B, IO (F)
1.339%, 12/01/07 25,606 464
Heller Financial Commercial
Mortgage, Ser 1999-PH1, Cl C (F)
6.853%, 12/15/07 239 244
Indymac INDA Mortgage Loan Trust,
Ser 2007-AR7, Cl 1A1
6.867%, 11/01/37 3,305 3,376
Indymac Index Mortgage Loan Trust,
Ser 2004-AR12, Cl AX2, IO (E)
0.676%, 12/01/07 9,307 176
JPMorgan Chase Commercial
Mortgage, Ser 2001-C1, Cl A3
5.857%, 10/12/35 991 1,019
JPMorgan Chase Commercial
Mortgage, Ser 2002-C2, Cl A2
5.050%, 12/12/34 7,206 7,162
JPMorgan Chase Commercial
Mortgage, Ser 2002-CIB5, Cl A2
5.161%, 10/12/37 1,137 1,137
- --------------------------------------------------------------------------------
128 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
JPMorgan Chase Commercial
Mortgage, Ser 2003-CB7,
Cl A4 (F)
4.879%, 12/12/07 $ 2,383 $ 2,327
JPMorgan Chase Commercial
Mortgage, Ser 2003-PM1A,
Cl A4 (F)
5.326%, 08/12/40 1,911 1,916
JPMorgan Chase Commercial
Mortgage, Ser 2004-C3, Cl A1
4.200%, 07/12/35 63 62
JPMorgan Chase Commercial
Mortgage, Ser 2004-C3, Cl A2
4.223%, 01/15/42 12,948 12,781
JPMorgan Chase Commercial
Mortgage, Ser 2004-C3, Cl A4
4.657%, 01/15/42 4,000 3,920
JPMorgan Chase Commercial
Mortgage, Ser 2004-C3, Ser A5
4.878%, 01/15/42 3,640 3,523
JPMorgan Chase Commercial
Mortgage, Ser 2005-CB11,
Cl ASB (F)
5.201%, 08/12/37 1,711 1,723
JPMorgan Chase Commercial
Mortgage, Ser 2005-CB12, Cl A4
4.895%, 09/12/37 530 513
JPMorgan Chase Commercial
Mortgage, Ser 2005-CB13,
Cl AM (F)
5.513%, 12/01/07 1,143 1,108
JPMorgan Chase Commercial
Mortgage, Ser 2005-LDP2, Cl A1
4.334%, 07/15/42 1,079 1,069
JPMorgan Chase Commercial
Mortgage, Ser 2005-LDP2, Cl A4
4.738%, 07/15/42 1,128 1,081
JPMorgan Chase Commercial
Mortgage, Ser 2005-LDP3, Cl A1
4.655%, 08/15/42 708 705
JPMorgan Chase Commercial
Mortgage, Ser 2005-LDP3,
Cl ASB (F)
4.893%, 08/15/42 2,276 2,258
JPMorgan Chase Commercial
Mortgage, Ser 2005-LDP4,
Cl A4 (F)
4.918%, 12/01/07 6,200 6,011
JPMorgan Chase Commercial
Mortgage, Ser 2006-CB16, Cl AM
5.593%, 05/12/45 11,570 11,240
JPMorgan Chase Commercial
Mortgage, Ser 2006-CB16, Cl ASB
5.523%, 05/12/45 2,398 2,432
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
JPMorgan Chase Commercial
Mortgage, Ser 2006-CB17, Cl ASB
5.415%, 12/01/07 $ 4,493 $ 4,530
JPMorgan Chase Commercial
Mortgage, Ser 2006-LDP7,
Cl A1 (F)
5.833%, 12/01/07 64 65
JPMorgan Chase Commercial
Mortgage, Ser 2006-LDP7,
Cl A2 (F)
5.861%, 12/01/07 315 324
JPMorgan Mortgage Acquisition,
Ser 2007-CH1, Cl AF6 (G)
5.501%, 12/01/07 9,605 8,748
JPMorgan Mortgage Trust,
Ser 2004-A5, Cl 4A2 (F)
4.835%, 12/25/34 6,071 6,004
JPMorgan Mortgage Trust,
Ser 2004-A5, Cl 4A4 (F)
4.829%, 12/01/07 11,500 11,253
JPMorgan Mortgage Trust,
Ser 2005-A3, Cl 11A2 (F)
4.492%, 12/25/07 13,065 11,984
JPMorgan Mortgage Trust,
Ser 2005-A8, Cl 1A1 (F)
5.406%, 12/01/07 6,155 6,014
JPMorgan Mortgage Trust,
Ser 2006-A2, Cl 2A2 (F)
5.754%, 12/01/07 13,400 13,143
JPMorgan Mortgage Trust,
Ser 2006-A3, Cl 3A4 (F)
5.741%, 12/01/07 14,500 14,176
LB Commercial Conduit Mortgage
Trust, Ser 1999-C2, Cl B
7.425%, 10/15/32 371 387
LB-UBS Commercial Mortgage Trust,
Ser 2002-C2, Cl A4
5.594%, 06/15/31 21,324 21,835
LB-UBS Commercial Mortgage Trust,
Ser 2003-C5, Cl A2
3.478%, 07/15/27 1,990 1,965
LB-UBS Commercial Mortgage Trust,
Ser 2003-C8, Cl A4 (F)
5.124%, 11/15/32 16,549 16,362
LB-UBS Commercial Mortgage Trust,
Ser 2004-C4, Cl A2 (F)
4.567%, 12/11/07 510 507
LB-UBS Commercial Mortgage Trust,
Ser 2004-C8, Cl A4
4.510%, 12/11/07 360 354
LB-UBS Commercial Mortgage Trust,
Ser 2005-C1, Cl C (F)
4.836%, 12/11/07 334 308
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 129
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
LB-UBS Commercial Mortgage Trust,
Ser 2005-C2, Cl A4
4.998%, 04/15/30 $ 123 $ 123
LB-UBS Commercial Mortgage Trust,
Ser 2005-C2, Cl A5 (F)
5.150%, 04/15/30 7,909 7,790
LB-UBS Commercial Mortgage Trust,
Ser 2005-C5, Cl A2
4.885%, 09/15/30 180 180
LB-UBS Commercial Mortgage Trust,
Ser 2005-C7, Cl A2
5.103%, 11/15/30 995 1,002
LB-UBS Commercial Mortgage Trust,
Ser 2005-C7, Cl AM (F)
5.263%, 12/11/07 1,394 1,335
LB-UBS Commercial Mortgage Trust,
Ser 2006-C7, Cl A2
5.300%, 11/15/38 2,425 2,449
LB-UBS Commercial Mortgage Trust,
Ser 2006-C7, Cl E (F)
5.516%, 12/11/07 494 432
LB-UBS Commercial Mortgage Trust,
Ser 2007-C1. Cl AAB
5.403%, 02/15/40 1,357 1,365
LB-UBS Commercial Mortgage Trust,
Ser 2007-C3, Cl A2
6.365%, 12/15/28 1,931 2,019
Long Beach Mortgage Loan Trust,
Ser 2006-4, Cl 2A1 (F)
4.839%, 12/25/07 3,580 3,555
MLCC Mortgage Investors,
Ser 2004-B, Cl A3 (F)
6.981%, 12/01/07 947 945
Master Adjustable Rate Mortgage
Trust, Ser 2004-13, Cl 3A7A (F)
3.787%, 12/01/07 11,650 11,514
Master Adjustable Rate Mortgage
Trust, Ser 2007-3, Cl 12A1 (F)
4.989%, 12/01/07 21,974 21,318
Master Reperforming Loan Trust,
Ser 2005-1, Cl 1A1 (C)
6.000%, 08/25/34 4,752 4,786
Master Reperforming Loan Trust,
Ser 2006-1, Cl 1A1F (F)
5.233%, 12/25/07 2,091 2,060
Merrill Lynch Mortgage Investors
Trust, Ser 2004-A1, Cl 4A (F)
5.338%, 12/01/07 7,635 7,540
Merrill Lynch Mortgage Investors
Trust, Ser 2006-WMC2, Cl A2B (G)
5.609%, 12/01/07 699 693
Merrill Lynch Mortgage Investors
Trust, Ser 2006-WMC2, Cl A2D (G)
5.895%, 12/25/07 5,789 5,569
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Merrill Lynch Mortgage Trust,
Ser 2004-BPC1, Cl A5 (F)
4.855%, 10/12/41 $ 4,751 $ 4,606
Merrill Lynch Mortgage Trust,
Ser 2004-BPC1, Cl XC, IO (F)
0.157%, 12/01/07 21,935 414
Merrill Lynch Mortgage Trust,
Ser 2004-MKB1, Cl A3
4.892%, 02/12/42 151 150
Merrill Lynch Mortgage Trust,
Ser 2004-MKB1, Cl B (F)
5.280%, 02/12/42 916 904
Merrill Lynch Mortgage Trust,
Ser 2005-CIP1, Cl AM (F)
5.107%, 12/01/07 1,116 1,062
Merrill Lynch Mortgage Trust,
Ser 2005-LC1, Cl A4 (F)
5.291%, 12/01/07 4,748 4,717
Merrill Lynch Mortgage Trust,
Ser 2005-MKB2, Cl A4
5.204%, 09/12/42 2,017 1,989
Merrill Lynch/Countrywide
Commercial Mortgage Trust,
Ser 2006-4, Cl ASB (F)
5.133%, 12/12/49 6,366 6,323
Merrill Lynch/Countrywide
Commercial Mortgage Trust,
Ser 2007-5, Cl B (F)
5.479%, 08/12/48 307 276
Merrill Lynch/Countrywide
Commercial Mortgage Trust,
Ser 2007-5, Cl C (F)
5.509%, 08/12/48 342 306
Merrill Lynch/Countrywide
Commercial Mortgage Trust,
Ser 2007-5, Cl X, IO (F)
0.736%, 08/12/48 4,033 153
Merrill Lynch/Countrywide
Commercial Mortgage Trust,
Ser 2007-6, Cl A4 (F)
5.485%, 03/12/51 6,740 6,718
Morgan Stanley Capital I,
Ser 2003-IQ5, Cl A4
5.010%, 12/01/07 3,770 3,731
Morgan Stanley Capital I,
Ser 2004-HQ3, Cl A4
4.800%, 01/13/41 2,256 2,188
Morgan Stanley Capital I,
Ser 2004-HQ3, Cl D
4.900%, 01/13/41 339 326
Morgan Stanley Capital I,
Ser 2004-T13, Cl B (F)
4.760%, 09/13/45 1,145 1,105
- --------------------------------------------------------------------------------
130 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Morgan Stanley Capital I,
Ser 2005-HQ5, Cl A3
5.007%, 01/14/42 $ 110 $ 110
Morgan Stanley Capital I,
Ser 2005-HQ5, Cl AAB
5.037%, 01/14/42 3,294 3,299
Morgan Stanley Capital I,
Ser 2005-HQ6, Cl A4A
4.989%, 08/13/42 4,630 4,512
Morgan Stanley Capital I,
Ser 2005-HQ7, Cl AAB (F)
5.351%, 12/01/07 6,171 6,223
Morgan Stanley Capital I,
Ser 2006-WMC1, Cl A2A (F)
4.943%, 12/25/07 253 251
Morgan Stanley Capital I,
Ser 2007-HE2, Cl A2A (F)
4.913%, 12/25/07 1,330 1,299
Morgan Stanley Dean Witter Capital,
Ser 2000-LIFE, Cl A2 (F)
7.570%, 11/15/36 3,007 3,129
Morgan Stanley Dean Witter Capital,
Ser 2001-TOP1, Cl A4
6.660%, 02/15/33 2,003 2,085
Morgan Stanley Dean Witter Capital,
Ser 2001-TOP3, Cl A4
6.390%, 06/15/11 2,792 2,907
Morgan Stanley Dean Witter Capital,
Ser 2002-IQ2, Cl A3
5.520%, 12/15/35 1,684 1,690
Morgan Stanley Dean Witter Capital,
Ser 2003-HQ2, Cl A1
4.180%, 03/12/35 268 261
Morgan Stanley Mortgage Loan Trust,
Ser 2007-3XS, Cl 2A3S (G)
5.858%, 12/01/07 31 29
Morgan Stanley Mortgage Loan Trust,
Ser 2007-6XS, Cl 2A1S (F)
4.983%, 12/25/07 1,248 1,243
Nationslink Funding, Ser 1999-1,
Cl 2
6.316%, 01/20/31 5,398 5,425
New York Mortgage Trust,
Ser 2006-1, Cl 2A2 (F)
5.651%, 12/01/07 788 794
Nomura Asset Securities,
Ser 1998-D6, Cl A1C
6.690%, 03/15/30 166 177
Oakwood Mortgage Investors,
Ser 2002-C, Cl A, IO
6.000%, 08/15/10 6,381 763
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Option One Mortgage Loan Trust,
Ser 2001-4, Cl A (F)
5.389%, 12/25/07 $ 366 $ 362
Ownit Mortgage Loan Asset-Backed
Securities Trust, Ser 2006-1, Cl
AF1 (G)
5.424%, 12/25/36 652 639
Prime Mortgage Trust, Ser 2006-CL1,
Cl A1 (F)
5.373%, 12/25/07 106 105
Prime Mortgage Trust,
Ser 2006-DR1, Cl 2A1 (C)
5.500%, 05/25/35 3,701 3,637
RAAC, Ser 2005-SP1, Cl 2A2
5.250%, 12/01/07 2,203 2,174
RAAC, Ser 2007-RP4, Cl A (C) (F)
5.139%, 12/25/07 22,382 20,986
Residential Accredit Loans, Ser QO8,
Cl 1A1A (F)
4.879%, 12/25/07 16,039 15,913
Residential Asset Mortgage Products,
Ser 2003-RS7, Cl AI6
5.340%, 12/01/07 1,305 1,291
Residential Asset Mortgage Products,
Ser 2004-SL1, Cl A8
6.500%, 11/25/31 2,205 2,255
Residential Asset Mortgage Products,
Ser 2004-SL3, Cl A2
6.500%, 12/25/31 3,645 3,721
Residential Asset Securitization Trust,
Ser 2004-IP2, Cl 2A1 (F)
5.254%, 12/01/07 3,245 3,247
Residential Funding Mortgage
Securities, Ser 2000-HI1,
Cl AI7 (G)
8.290%, 02/25/25 1,944 1,937
Residential Funding Mortgage
Securities, Ser 2005-HS1,
Cl AI1 (F)
4.909%, 12/25/07 3,480 3,460
Residential Funding Mortgage
Securities, Ser 2007-HSA3,
Cl AI2 (F)
5.980%, 05/25/37 922 918
Salomon Brothers Mortgage
Securities VII, Ser 2002-KEY2,
Cl A2
4.467%, 03/18/36 2,576 2,544
Structured Adjustable Rate Mortgage
Loan, Ser 2005-19XS, Cl 1A1 (F)
5.109%, 12/26/07 8,575 8,300
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 131
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Structured Asset Mortgage
Investments, Ser 2007-AR4,
Cl A4B
4.969%, 12/25/07 $ 22,980 $ 22,243
Terwin Mortgage Trust,
Ser 2005-9HGS, Cl A1 (C) (F)
4.000%, 12/01/07 1,797 1,785
Terwin Mortgage Trust, Ser 2006-6,
Cl 1A2 (F)
4.750%, 12/21/07 10,000 9,075
Terwin Mortgage Trust, Ser 2006-8,
Cl 1A2
5.000%, 12/01/07 6,000 5,498
Thornburg Mortgage Securities Trust,
Ser 2005-3, Cl 2A1 (F)
5.029%, 12/25/07 13,456 13,424
Thornburg Mortgage Securities Trust,
Ser 2005-4, Cl A4 (F)
4.989%, 12/25/07 17,832 17,766
Thornburg Mortgage Securities Trust,
Ser 2006-1, Cl A3 (F)
4.959%, 12/01/07 23,353 22,537
Thornburg Mortgage Securities Trust,
Ser 2007-4, Cl 2A1 (F)
6.240%, 08/30/37 10,252 10,275
6.220%, 12/01/07 9,145 9,054
UBS Paine Webber Commercial
Mortgage Trust, Ser 2004-C8,
Cl A2
4.201%, 12/15/29 886 876
US Bank National Mortgage
Association, Ser 2001-1, Cl A
5.920%, 05/25/12 9,188 9,687
Wachovia Bank Commercial
Mortgage Trust, Ser 2002-C1A,
Cl A4
6.287%, 04/15/34 2,587 2,705
Wachovia Bank Commercial
Mortgage Trust, Ser 2002-C2,
Cl A4
4.980%, 11/15/34 5,996 5,945
Wachovia Bank Commercial
Mortgage Trust, Ser 2003-C5,
Cl A2
3.989%, 06/15/35 955 898
Wachovia Bank Commercial
Mortgage Trust, Ser 2003-C5,
Cl B (F)
4.107%, 06/15/35 1,778 1,672
Wachovia Bank Commercial
Mortgage Trust, Ser 2003-C6,
Cl A3 (F)
4.957%, 08/15/35 4,490 4,486
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Wachovia Bank Commercial
Mortgage Trust, Ser 2003-C7,
Cl A2 (C) (F)
5.077%, 12/01/07 $ 3,361 $ 3,312
Wachovia Bank Commercial
Mortgage Trust, Ser 2003-C8,
Cl A3
4.445%, 11/15/35 949 937
Wachovia Bank Commercial
Mortgage Trust, Ser 2003-C9,
Cl A4 (F)
5.012%, 12/15/35 993 978
Wachovia Bank Commercial
Mortgage Trust, Ser 2003-C9,
Cl B (F)
5.109%, 12/01/07 593 584
Wachovia Bank Commercial
Mortgage Trust, Ser 2004-C10,
Cl A4
4.748%, 02/15/41 8,721 8,413
Wachovia Bank Commercial
Mortgage Trust, Ser 2004-C11,
Cl B (F)
5.306%, 12/01/07 3,640 3,524
Wachovia Bank Commercial
Mortgage Trust, Ser 2004-C12,
Cl A4 (F)
5.233%, 12/01/07 3,401 3,384
Wachovia Bank Commercial
Mortgage Trust, Ser 2004-C15,
Cl B
4.892%, 12/01/07 1,579 1,479
Wachovia Bank Commercial
Mortgage Trust, Ser 2005-C19,
Cl A6
4.699%, 05/15/44 1,994 1,905
Wachovia Bank Commercial
Mortgage Trust, Ser 2005-C20,
Cl A4 (F)
5.244%, 12/01/07 280 282
Wachovia Bank Commercial
Mortgage Trust, Ser 2005-C20,
Cl A7 (F)
5.118%, 12/01/07 4,631 4,549
Wachovia Bank Commercial
Mortgage Trust, Ser 2005-C21,
Cl A4 (F)
5.210%, 12/01/07 2,246 2,230
Wachovia Bank Commercial
Mortgage Trust, Ser 2006-C26,
Cl APB
5.997%, 06/15/45 3,853 4,000
- --------------------------------------------------------------------------------
132 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2002-AR18, Cl A (F)
4.137%, 12/01/07 $ 1,329 $ 1,328
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2003-MS1, Cl 1A
5.000%, 02/25/18 1,286 1,275
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2003-MS2, Cl 3A1
5.000%, 03/25/18 5,284 5,246
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2003-S13, Cl 22A1
5.000%, 12/01/07 977 970
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2005-AR13, Cl A1A1 (F)
5.079%, 12/25/07 5,547 5,398
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2005-AR15, Cl A1A2 (F)
5.069%, 12/25/07 8,498 8,296
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2005-AR16, Cl 1A4A (F)
5.102%, 12/25/07 13,585 13,347
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2005-AR19, Cl A1A2 (F)
5.079%, 12/25/07 8,485 8,228
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2006-1, Cl 3A2
5.750%, 02/25/36 5,843 5,829
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2006-AR1, Cl 1A1B (F)
6.003%, 12/01/07 4,129 4,014
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2006-AR14, Cl 1A4 (F)
5.647%, 12/01/07 713 715
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2006-AR15, Cl 1A (F)
5.773%, 12/01/07 4,198 4,123
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2006-AR15, Cl 1A1B (F)
5.773%, 12/01/07 2,422 2,348
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2006-AR15, Cl 2A1B (F)
6.433%, 12/01/07 $ 2,565 $ 2,494
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2006-AR16, Cl 2A4 (F)
5.651%, 12/25/36 567 560
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2006-AR17, Cl 1A1B (F)
5.743%, 12/01/07 786 763
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2006-AR17, Cl 2A (F)
5.586%, 12/01/07 908 891
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2006-AR4, Cl DA (F)
5.903%, 12/01/07 1,744 1,702
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2006-AR7, Cl A1B (F)
5.853%, 12/01/07 1,325 1,259
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2007-0A5, Cl A1B (F)
5.773%, 12/01/07 19,382 18,694
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2007-0A6, Cl 1A1B (F)
5.743%, 12/01/07 813 786
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2007-HY1, Cl 1A1 (F)
5.718%, 12/01/07 9,069 9,120
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2007-HY1, Cl 4A1 (F)
5.478%, 12/01/07 9,875 9,716
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2007-HY3, Cl 1A1 (F)
5.672%, 12/01/07 10,559 10,586
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2007-HY6, Cl 1A1 (F)
5.707%, 06/25/37 1,942 1,935
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2007-HY6, Cl 2A1 (F)
5.703%, 12/01/07 4,131 4,086
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 133
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2007-HY6, Cl 3A2 (F)
5.821%, 12/21/07 $ 5,017 $ 4,919
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2007-HY7, Cl 2A1 (F)
5.889%, 12/01/07 2,737 2,727
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2007-HY7, Cl 3A1 (F)
5.917%, 12/01/07 2,002 1,990
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2007-OA5, Cl 1A (F)
5.683%, 12/01/07 23,017 22,531
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2009-AR18, Cl 2A3 (F)
5.495%, 12/01/07 1,751 1,732
Wells Fargo Alternative Loan Trust,
Ser 2007-PA2, Cl 1A5
6.000%, 06/25/37 926 915
Wells Fargo Alternative Loan Trust,
Ser 2007-PA5, Cl 1A2
6.250%, 11/25/37 474 463
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2004-0,
Cl A1 (F)
4.893%, 12/01/07 1,207 1,182
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2004-H,
Cl A1 (F)
4.527%, 12/01/07 5,954 5,852
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2004-S,
Cl A7 (F)
3.541%, 12/01/07 780 769
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2004-l,
Cl A5 (F)
4.795%, 07/25/34 881 866
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2004-l,
Cl A6 (F)
4.795%, 07/25/34 895 869
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2005-14,
Cl 2A1
5.500%, 12/01/07 1,267 1,250
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2005-AR10,
Cl 2A17 (F)
3.497%, 12/01/07 2,085 2,069
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2005-AR14,
Cl A1 (F)
5.386%, 12/01/07 $ 1,375 $ 1,346
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2005-AR16,
Cl 7A1 (F)
5.000%, 12/01/07 3,872 3,849
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2006-2,
Cl 3A1
5.750%, 03/25/36 16,118 15,869
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2006-7,
Cl 3A1
6.000%, 12/01/07 782 789
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2006-AR18,
Cl 1A1 (F)
5.947%, 12/01/07 1,756 1,775
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2006-AR19,
Cl A1 (F)
5.650%, 12/01/07 3,662 3,594
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2006-AR6,
Cl 7A1
5.114%, 12/01/07 2,856 2,777
Zuni Mortgage Loan Trust,
Ser 2006-OA1, Cl A1 (F)
4.919%, 12/25/07 8,611 8,491
--------------
1,301,193
--------------
Total Mortgage-Backed Securities
(Cost $4,123,522) ($ Thousands) 4,145,141
--------------
ASSET-BACKED SECURITIES -- 3.2%
AUTOMOTIVE -- 0.7%
AmeriCredit Automobile Receivables
Trust, Ser 2004-1, Cl C
4.220%, 07/06/09 18 18
AmeriCredit Prime Automobile
Receivables Trust, Ser 2007-1,
Cl A3
5.270%, 11/08/11 3,692 3,721
Capital Auto Receivables Asset Trust,
Ser 2006-1, Cl A3
5.030%, 10/15/09 2,752 2,752
Capital Auto Receivables Asset Trust,
Ser 2007-1, Cl A3A
5.000%, 04/15/11 2,046 2,056
- --------------------------------------------------------------------------------
134 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
DaimlerChrysler Auto Trust,
Ser 2006-D, Cl A4
4.940%, 02/08/12 $ 2,283 $ 2,294
DaimlerChrysler Auto Trust,
Ser 2007-A, Cl A4
5.280%, 03/08/13 7,841 7,839
Ford Credit Auto Owner Trust,
Ser 2005-B, Cl A3
4.170%, 01/15/09 26 26
Ford Credit Auto Owner Trust,
Ser 2007-B, Cl A3A
5.150%, 11/15/11 2,499 2,520
Ford Credit Auto Owner Trust,
Ser 2007-B, Cl A4A
5.240%, 07/15/12 126 127
Harley-Davidson Motorcycle Trust,
Ser 2007-1, Cl A2
5.290%, 12/15/07 1,426 1,428
Hyundai Auto Receivables Trust,
Ser 2007-A, Cl A3A
5.040%, 01/17/12 1,414 1,419
Hyundai Auto Receivables Trust,
Ser 2007-A, Cl A4
5.210%, 03/17/14 4,063 4,091
Nissan Auto Receivables Owner
Trust, Ser 2006-B, Cl A3
5.160%, 02/15/10 1,021 1,022
Nissan Auto Receivables Owner
Trust, Ser 2007-B, Cl A4
5.160%, 03/17/14 7,118 7,186
Triad Auto Receivables Owner Trust,
Ser 2006-B, Cl A4
5.520%, 12/12/07 1,086 1,103
Triad Auto Receivables Owner Trust,
Ser 2006-C, Cl A3
5.260%, 11/14/11 1,931 1,939
USAA Auto Owner Trust, Ser 2004-3,
Cl A4
3.530%, 06/15/11 1,550 1,540
USAA Auto Owner Trust, Ser 2005-1,
Cl A3
3.900%, 07/15/09 107 107
WFS Financial Owner Trust,
Ser 2004-1, Cl A4
2.810%, 08/22/11 439 438
WFS Financial Owner Trust,
Ser 2005-3, Cl A3A
4.250%, 06/17/10 288 287
World Omni Auto Receivables Trust,
2007-B, Cl A3A
5.280%, 01/17/12 1,615 1,627
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
World Omni Auto Receivables Trust,
2007-B, Cl A4
5.390%, 05/15/13 $ 2,798 $ 2,823
--------------
46,363
--------------
CREDIT CARDS -- 0.7%
American Express Issuance Trust,
Ser 2007-2, Cl A (F)
5.043%, 12/01/07 10,722 10,677
Bank of America Credit Card Trust,
Ser 2007-A8, Cl A8
5.590%, 11/17/14 987 1,025
Capital One Multi-Asset Execution
Trust, Ser 2007-A7, Cl A7
5.750%, 07/15/20 5,376 5,570
Citibank Credit Card Issuance Trust,
Ser 2007-A8, Cl A8
5.650%, 09/20/19 5,351 5,535
Discover Card Master Trust,
Ser 2007-A1, Cl A1
5.650%, 03/16/20 14,963 15,378
MBNA Credit Card Master Note Trust,
Ser 2003-A7, Cl A7
2.650%, 11/15/10 2,675 2,644
Washington Mutual Master Note
Trust, Ser 2006-A2A, Cl A (C) (F)
4.702%, 12/15/07 3,491 3,465
--------------
44,294
--------------
MORTGAGE RELATED SECURITIES -- 0.3%
ABS Home Equity Loan Trust,
Ser 2001-HE3, Cl A1 (F)
5.192%, 12/15/07 330 323
ACE Securities, Ser 2006-SI3,
Cl A1 (F)
4.889%, 12/25/07 8,911 5,909
AFC Home Equity Loan Trust,
Ser 2000-1, Cl 2A (F)
5.113%, 12/25/07 3,611 3,538
Contimortgage Home Equity Loan
Trust, Ser 1997-2, Cl A9
7.090%, 04/15/28 38 38
Contimortgage Home Equity Loan
Trust, Ser 1997-5, Cl A6 (F)
6.870%, 03/15/24 90 90
Countrywide Home Equity Loan Trust,
Ser 2004-K, Cl A2 (F)
4.952%, 12/15/07 1,305 1,290
Countrywide Home Equity Loan Trust,
Ser 2005-F, Cl 2A (F)
4.892%, 12/15/07 3,253 3,169
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 135
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Delta Funding Home Equity Loan,
Ser 1999-3, Cl A1A (F)
5.472%, 12/15/07 $ 332 $ 326
Equivantage Home Equity Loan Trust,
Ser 1997-2, Cl A3 (G)
7.775%, 12/01/07 310 309
Fleet Home Equity Trust, Ser 2001-1,
Cl A (F)
5.390%, 12/01/07 101 99
Master Asset-Backed Securities Trust,
Ser 2005-AB1, Cl A1B (G)
5.143%, 12/01/07 326 324
Morgan Stanley Home Equity Loans,
Ser 2007-1, Cl A1 (F)
4.923%, 12/25/07 1,225 1,198
Origen Manufactured Housing,
Ser 2002-A, Cl A1 (F)
4.892%, 12/15/07 65 65
Renaissance Home Equity Loan
Trust, Ser 2005-3, Cl AF2 (G)
4.723%, 12/01/07 186 185
Renaissance Home Equity Loan
Trust, Ser 2006-1, Cl AF3 (G)
5.608%, 12/01/07 998 987
Renaissance Home Equity Loan
Trust, Ser 2007-2, Cl AF3 (G)
5.744%, 06/25/37 1,143 1,078
--------------
18,928
--------------
OTHER ASSET-BACKED SECURITIES -- 1.5%
CIGNA CDO, Ser 1996-1,
Cl A2 (C) (G)
6.460%, 11/15/08 3,603 3,608
CNH Equipment Trust,
Ser 2004-A, Cl A4A (F)
4.762%, 12/15/07 2,521 2,519
California Infrastructure PG&E,
Ser 1997-1, Cl A8
6.480%, 12/26/09 167 167
California Infrastructure SCE,
Ser 1997-1, Cl A7
6.420%, 12/26/09 761 762
Caterpillar Financial Asset Trust,
Ser 2006-A, Cl A2
5.590%, 02/25/09 5 5
Connecticut RRB Special Purpose
Trust, Ser 2001-1, Cl A5
6.210%, 12/30/11 1,371 1,435
Conseco Finance Home Loan Trust,
Ser 2000-E, Cl M1 (F)
8.130%, 08/15/31 3,951 3,789
Conseco Finance Securitization,
Ser 2000-4, Cl A6 (F)
8.310%, 05/01/32 922 794
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Asset-Backed
Certificates, Ser 2001-BC3,
Cl A (F)
5.269%, 12/25/07 $ 79 $ 78
Countrywide Asset-Backed
Certificates, Ser 2003-BC2,
Cl 2A1 (F)
5.389%, 12/25/07 115 112
Countrywide Asset-Backed
Certificates, Ser 2005-11,
Cl AF1 (F)
4.969%, 12/25/07 841 841
Countrywide Asset-Backed
Certificates, Ser 2006-15,
Cl A3 (F)
5.689%, 10/25/46 208 201
Countrywide Asset-Backed
Certificates, Ser 2006-S1, Cl A2
5.549%, 08/25/21 4,080 4,034
Countrywide Asset-Backed
Certificates, Ser 2007-3,
Cl 2A1 (F)
4.973%, 12/25/07 1,272 1,240
Credit-Based Asset Servicing,
Ser 2006-CB2, Cl AF2 (G)
5.501%, 12/25/36 1,999 1,881
Credit-Based Asset Servicing,
Ser 2007-RP1, Cl A (C) (F)
5.099%, 12/25/07 19,691 19,491
Diamond Investment Grade CDO,
Ser 1X, Cl A1 (F)
5.510%, 04/11/08 8,770 8,743
Domino's Pizza Master Issuer LLC,
Ser 2007-1, Cl A2 (C)
5.261%, 04/25/37 3,452 3,408
Embarcadero Aircraft Securitization,
Ser 2000-A, Cl A1 (C) (F)
6.230%, 12/15/07 4,442 3,775
Equity One Asset-Backed Securities,
Ser 2003-2, Cl M1
5.050%, 09/25/33 1,050 1,019
First Horizon ABS Trust,
Ser 2004-HE2, Cl A (F)
5.009%, 12/25/07 1,832 1,812
First Horizon ABS Trust,
Ser 2006-HE2, Cl A (F)
5.003%, 12/25/07 793 707
GSAMP Trust, Ser 2003-SEA,
Cl A1 (F)
5.189%, 12/25/07 2,675 2,600
Great America Leasing Receivables,
Ser 2006-1, Cl A3 (C)
5.340%, 01/15/10 2,517 2,527
- --------------------------------------------------------------------------------
136 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Green Tree Financial, Ser 1996-5,
Cl A6
7.750%, 07/15/27 $ 848 $ 904
Lehman XS Trust, Ser 2005-5N,
Cl 1A1 (F)
5.089%, 12/01/07 6,646 6,428
Lehman XS Trust, Ser 2005-7N,
Cl 1A1B (F)
5.089%, 12/25/07 4,901 4,736
Lone Star CDO Funding, Ser 1X, Cl A
5.889%, 12/15/07 7,640 7,599
MSCC Heloc Trust, Ser 2005-1,
Cl A (F)
4.979%, 12/25/07 594 573
Master Alternative Loans Trust,
Ser 2004-4, Cl 1A1
5.500%, 05/25/34 2,969 2,798
Metropolitan Asset Funding,
Ser 1997-B, Cl A1D (C)
7.130%, 03/20/12 43 43
Mid-State Trust, Ser 11, Cl A1
4.864%, 07/15/38 3,188 3,137
Oncor Electric Delivery Transition
Bond, Ser 2003-1, Cl A2
4.030%, 02/15/12 2,376 2,360
SLM Student Loan Trust, Ser 2005-7,
Cl A3
4.410%, 07/25/25 1,279 1,292
Securitized Asset-Backed
Receivables LLC, Ser 2005-FR4,
Cl A3 (F)
4.989%, 12/25/07 223 222
Start, Ser 2003-1, Cl X (F)
4.130%, 01/21/08 3,422 3,422
Start, Ser 2003-2, Cl X (F)
4.600%, 01/21/08 1,135 1,124
TMS SBA Loan Trust, Ser 1999-1,
Cl A (F)
5.550%, 12/15/07 128 123
--------------
100,309
--------------
Total Asset-Backed Securities
(Cost $213,755) ($ Thousands) 209,894
--------------
CORPORATE OBLIGATIONS -- 19.9%
CONSUMER DISCRETIONARY -- 1.3%
COX Communications
7.875%, 08/15/09 440 462
CVS (C)
5.789%, 01/10/26 2,126 2,196
CVS Lease Pass-Through Trust (C)
6.036%, 12/10/28 10,655 10,878
5.880%, 01/10/28 189 188
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Clear Channel Communications
6.250%, 03/15/11 $ 2,740 $ 2,521
4.250%, 05/15/09 1,040 995
Comcast
9.000%, 09/01/08 710 730
6.500%, 01/15/15 3,635 3,805
6.500%, 01/15/17 (J) 1,825 1,917
Comcast Cable Communications
8.375%, 03/15/13 9,855 11,080
6.750%, 01/30/11 1,840 1,927
Daimler Finance LLC
8.500%, 01/18/31 1,055 1,349
7.300%, 01/15/12 1,995 2,157
6.500%, 11/15/13 9,115 9,669
Daimler Finance LLC MTN
5.750%, 09/08/11 1,800 1,847
Daimler Finance LLC MTN (F)
6.053%, 12/08/07 6,020 5,993
Eastman Kodak
7.250%, 11/15/13 2,445 2,457
Ford Motor (J)
7.450%, 07/16/31 2,770 2,091
Home Depot
5.875%, 12/16/36 1,695 1,436
Macy's Retail Holdings
5.350%, 03/15/12 1,617 1,576
News America
6.200%, 12/15/34 2,550 2,457
Rogers Cable
5.500%, 03/15/14 985 976
Target
4.000%, 06/15/13 355 333
Time Warner
7.700%, 05/01/32 4,185 4,599
6.875%, 05/01/12 350 370
Time Warner Entertainment
8.375%, 07/15/33 3,965 4,707
Wal-Mart Stores
6.500%, 08/15/37 1,863 1,910
5.800%, 02/15/18 6,180 6,333
-------------
86,959
-------------
CONSUMER STAPLES -- 0.2%
Altria Group
7.750%, 01/15/27 1,145 1,477
7.000%, 11/04/13 1,010 1,133
Estee Lauder
5.550%, 05/15/17 2,475 2,545
Kraft Foods
7.000%, 08/11/37 2,679 2,850
Philip Morris Capital
7.500%, 07/16/09 1,155 1,172
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 137
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Reynolds American (J)
7.875%, 05/15/09 $ 1,630 $ 1,698
Wal-Mart Stores
5.250%, 09/01/35 403 351
--------------
11,226
--------------
ENERGY -- 1.7%
Anadarko Finance, Ser B
7.500%, 05/01/31 5,363 5,996
Anadarko Petroleum
6.450%, 09/15/36 5,150 5,217
6.094%, 12/15/07 (F) 4,650 4,589
Canadian Natural Resources
6.250%, 03/15/38 2,070 2,037
5.700%, 05/15/17 1,510 1,515
Conoco
6.950%, 04/15/29 3,685 4,230
Conoco Funding
7.250%, 10/15/31 885 1,036
6.350%, 10/15/11 430 460
ConocoPhillips
5.900%, 10/15/32 10 10
ConocoPhillips Canada
5.625%, 10/15/16 2,670 2,742
Devon Financing
6.875%, 09/30/11 3,935 4,234
EMP Nacional del Petrole (C)
6.750%, 11/15/12 171 185
4.875%, 03/15/14 892 864
El Paso
6.950%, 06/01/28 2,250 2,076
El Paso Natural Gas (C)
5.950%, 04/15/17 1,120 1,122
GAZ Capital (C)
6.510%, 03/07/22 4,640 4,453
GAZ Capital (C) (J)
6.212%, 11/22/16 8,377 8,102
Hess
7.875%, 10/01/29 650 779
7.300%, 08/15/31 5,075 5,784
Husky Energy
6.800%, 09/15/37 1,125 1,183
Husky Oil
7.550%, 11/15/16 1,715 1,939
Kansas Gas & Electric
5.647%, 03/29/21 2,768 2,770
Kerr-McGee
6.950%, 07/01/24 2,325 2,501
Kinder Morgan Energy Partners
7.125%, 03/15/12 1,760 1,890
6.000%, 02/01/17 390 393
5.000%, 12/15/13 1,190 1,156
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Mantis Reef II (C)
4.799%, 11/03/09 $ 1,095 $ 1,112
Marathon Oil
6.000%, 10/01/17 2,301 2,350
Nakilat (C)
6.267%, 12/31/33 371 356
6.067%, 12/31/33 1,524 1,483
Pemex Project Funding Master Trust
6.994%, 12/15/07 (C) (F) 1,411 1,425
6.625%, 06/15/35 7,741 8,217
Petrobras International Finance
6.125%, 10/06/16 9,250 9,597
Petroleum Export (C)
4.623%, 06/15/10 337 336
Ras Laffan LNG II (C)
5.298%, 09/30/20 879 860
Ras Laffan LNG III (C)
6.332%, 09/30/27 2,590 2,585
Sonat
7.625%, 07/15/11 2,880 3,005
Southern Natural Gas (C)
5.900%, 04/01/17 1,240 1,243
Weatherford International (C)
6.350%, 06/15/17 3,230 3,378
5.950%, 06/15/12 2,995 3,126
Williams
8.750%, 03/15/32 (J) 2,170 2,620
7.750%, 06/15/31 740 818
Williams, Ser A
7.500%, 01/15/31 20 22
XTO Energy
7.500%, 04/15/12 1,320 1,465
--------------
111,261
--------------
FINANCIALS -- 10.5%
ABX Financing (C)
6.350%, 10/15/36 5,200 5,133
ACE INA Holdings
5.700%, 02/15/17 1,440 1,417
ASIF Global Financing XIX (C)
4.900%, 01/17/13 450 444
Ace INA Holdings
6.700%, 05/15/36 1,205 1,205
Aegon (F)
5.399%, 01/15/08 2,180 1,552
Aiful (C)
5.000%, 08/10/10 2,620 2,512
4.450%, 02/16/10 3,322 3,087
Allied Capital
6.625%, 07/15/11 6,845 7,190
Allied World Assurance
7.500%, 08/01/16 2,000 2,162
- --------------------------------------------------------------------------------
138 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
American Express (F)
6.800%, 09/01/16 $ 1,535 $ 1,579
American International Group
6.250%, 03/15/37 5,000 4,474
4.700%, 10/01/10 2,975 2,993
American International Group MTN
5.450%, 05/18/17 3,650 3,607
Australia & New Zealand Banking
Group (F)
4.963%, 10/29/49 1,400 1,134
BAC Capital Trust XI
6.625%, 05/23/36 1,645 1,581
BAC Capital Trust XIV (F)
5.630%, 03/15/12 2,535 2,285
BNP Paribas (F)
5.238%, 03/23/08 1,080 913
BRE Properties+
7.450%, 01/15/11 3,100 3,347
Banco Mercantile (C) (F)
6.135%, 10/13/16 1,479 1,486
Bank One
7.875%, 08/01/10 4,440 4,803
Bank of America
5.750%, 12/01/17 3,525 3,525
5.420%, 03/15/17 2,500 2,429
5.375%, 06/15/14 (J) 1,450 1,458
Bank of Ireland (F)
5.500%, 12/05/07 1,030 889
Bank of Scotland (F)
5.625%, 11/29/49 330 268
Bankamerica Capital II
8.000%, 12/15/26 402 418
Banponce Trust I, Ser A
8.327%, 02/01/27 2,410 2,515
Barclays Bank (C)
6.050%, 12/04/17 1,781 1,777
Barclays Bank (F)
5.563%, 01/02/08 780 616
Bear Stearns
6.400%, 10/02/17 6,140 6,001
Capital One Bank
4.875%, 05/15/08 2,985 2,962
Capital One Capital III
7.686%, 08/15/36 2,000 1,703
Capital One Financial
6.750%, 09/15/17 1,190 1,166
Chuo Mitsui Trust & Banking (C) (F)
5.506%, 12/15/49 1,814 1,663
Cigna
6.150%, 11/15/36 1,620 1,522
Citigroup
6.125%, 11/21/17 (J) 1,250 1,286
3.625%, 02/09/09 3,125 3,092
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Corp Andina de Fomento
5.125%, 05/05/15 $ 710 $ 690
Countrywide Financial MTN (F)
5.430%, 12/26/07 2,284 1,718
Countrywide Financial MTN,
Ser A (F)
5.768%, 12/19/07 650 642
Countrywide Home Loan MTN,
Ser K (J)
4.250%, 12/19/07 9,200 9,109
Credit Suisse First Boston (F)
5.375%, 12/19/07 655 524
Credit Suisse First Boston London (C)
(F) (L)
0.000%, 12/24/07 4,701 4,561
0.000%, 12/24/07 8,339 8,090
Danske Bank (C) (F)
5.914%, 12/16/07 536 506
Delta Airlines
6.619%, 03/18/11 422 421
Den Norske Bank (F)
5.813%, 02/18/08 390 316
Depfa ACS Bank (C)
5.125%, 03/16/37 4,200 4,185
Deutsche Bank Capital Funding Trust
(C) (F)
5.628%, 01/19/49 4,789 4,260
Developers Divers Realty+
5.375%, 10/15/12 890 906
Dresdner Funding Trust I (C)
8.151%, 06/30/31 1,336 1,370
Dryden Investor Trust (C) (H)
7.157%, 07/23/08 978 983
ENEL Finance International
6.800%, 09/15/37 1,240 1,296
Eksportfinans
5.500%, 05/25/16 4,250 4,510
Eksportfinans MTN, Ser G
5.125%, 10/26/11 1,078 1,116
Equity One+
3.875%, 04/15/09 7,100 7,009
Export-Import Bank of Korea
5.500%, 10/17/12 6,480 6,586
Farmers Exchange Capital (C)
7.200%, 07/15/48 3,582 3,601
7.050%, 07/15/28 1,063 1,088
Farmers Insurance Exchange (C)
8.625%, 05/01/24 4,118 4,652
First Industrial L.P. MTN
7.500%, 12/01/17 2,765 3,051
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 139
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Ford Motor Credit LLC
7.875%, 06/15/10 $ 7,200 $ 6,683
7.375%, 10/28/09 15,740 14,903
7.250%, 10/25/11 329 297
6.625%, 06/16/08 10,480 10,306
Fund American
5.875%, 05/15/13 1,448 1,481
GMAC LLC
7.821%, 12/25/07 (F) 11,009 9,028
7.750%, 01/19/10 2,370 2,250
7.250%, 03/02/11 2,755 2,440
6.125%, 01/22/08 (J) 415 411
5.625%, 05/15/09 7,680 7,260
General Electric Capital (F)
6.375%, 05/15/08 11,905 12,130
General Electric Capital MTN
5.250%, 10/19/12 3,520 3,607
General Electric Capital MTN, Ser A
6.000%, 06/15/12 6,395 6,738
3.750%, 12/15/09 4,092 4,056
General Electric Capital MTN, Ser G
6.150%, 08/07/37 3,156 3,377
Glen Meadow Pass Through (C)
6.505%, 02/12/67 2,900 2,749
Glitnir Banki (C)
7.451%, 03/14/08 500 507
6.375%, 09/25/12 3,100 3,131
6.330%, 07/28/11 2,440 2,546
Glitnir Banki (C) (F)
6.693%, 06/15/16 4,480 4,625
Goldman Sachs Capital I
6.345%, 02/15/34 1,995 1,772
Goldman Sachs Capital II (F)
5.793%, 12/29/49 21,851 19,520
Goldman Sachs Group
6.875%, 01/15/11 1,720 1,827
6.600%, 01/15/12 2,630 2,797
6.450%, 05/01/36 1,175 1,118
5.125%, 01/15/15 2,475 2,423
HBOS (C) (F)
5.375%, 11/29/49 962 880
HBOS Capital Funding (C)
6.071%, 12/31/07 1,120 1,045
HBSC Holdings PLC
6.500%, 09/15/37 2,965 2,791
HSBC Bank (F)
5.625%, 12/19/07 1,460 1,139
5.538%, 12/11/07 2,320 1,786
HSBC Finance
8.000%, 07/15/10 2,330 2,501
7.000%, 05/15/12 1,975 2,095
6.375%, 11/27/12 365 381
HVB Funding Trust III (C)
9.000%, 10/22/31 1,226 1,364
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Health Care Properties+
6.000%, 01/30/17 $ 6,000 $ 5,816
5.650%, 12/15/13 3,955 3,870
Highwoods Realty LP+
7.500%, 04/15/18 1,339 1,432
7.125%, 02/01/08 3,803 3,808
Hongkong & Shanghai Bank,
Ser 3H (F)
5.250%, 01/09/08 750 540
ILFC E-Capital Trust II (C) (F) (J)
6.250%, 12/21/65 1,200 1,137
International Lease Finance MTN
5.750%, 06/15/11 3,570 3,634
5.650%, 06/01/14 1,775 1,805
International Lease Finance MTN (F)
5.719%, 02/24/08 1,920 1,912
JPMorgan Chase
6.000%, 10/01/17 5,400 5,456
5.750%, 01/02/13 3,670 3,757
5.150%, 10/01/15 240 231
5.125%, 09/15/14 (J) 445 438
JPMorgan Chase Capital XVIII, Ser R
6.950%, 08/17/36 990 914
JPMorgan Chase, Ser T
6.550%, 09/29/36 709 622
Kaupthing Bank (C)
7.125%, 05/19/16 12,000 11,672
5.750%, 10/04/11 1,120 1,069
Kaupthing Bank (C) (F)
5.938%, 01/12/08 6,870 6,840
Landsbanki Islands (C)
6.100%, 08/25/11 6,520 6,473
Lazard Group
7.125%, 05/15/15 6,135 6,232
6.850%, 06/15/17 4,660 4,621
Lehman Brothers Holdings
6.875%, 07/17/37 1,120 1,088
4.500%, 07/26/10 1,155 1,141
Lehman Brothers Holdings Capital
Trust VII MTN (F)
5.857%, 11/29/49 20,350 18,092
Lehman Brothers Holdings Capital
Trust VIII (F)
6.371%, 02/29/08 1,310 1,115
Lehman Brothers Holdings MTN
11.000%, 11/07/16 (F) 5,269 5,646
8.920%, 02/16/08 (F) 3,023 3,022
7.394%, 12/17/07 (F) 14,410 14,064
6.200%, 09/26/14 1,560 1,560
5.750%, 05/17/13 (J) 1,155 1,161
5.250%, 02/06/12 965 952
0.000%, 12/20/07 (F) (M) 4,940 5,978
- --------------------------------------------------------------------------------
140 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Lehman Brothers Holdings MTN,
Ser H (F) (M)
1.427%, 05/30/08 $ 3,736 $ 4,085
Liberty Mutual Group (C)
7.500%, 08/15/36 2,764 2,840
Liberty Property+
7.750%, 04/15/09 1,026 1,058
6.375%, 08/15/12 397 415
Lloyds TSB Bank, Ser 1 (F)
5.688%, 05/14/08 870 696
Lloyds TSB Bank, Ser 2 (F)
5.750%, 02/21/08 760 600
Lloyds TSB Bank, Ser 3 (F)
5.523%, 02/29/08 1,600 1,280
MUFG Capital Finance 1 Ltd. (F)
6.346%, 07/25/49 1,840 1,767
6.346%, 07/25/49 1,459 1,364
Mangrove Bay Pass-Through
Trust (C) (F)
6.102%, 07/15/33 2,095 2,012
Marathon Oil
6.600%, 10/01/37 2,356 2,455
Master Alternative Loans Trust,
Ser 2006-3, Cl AA3
6.250%, 12/01/07 802 810
Merna Reinsurance, Ser B (C) (F)
6.981%, 01/03/08 4,950 4,919
Merrill Lynch
7.430%, 09/01/22 4 5
6.400%, 08/28/17 1,680 1,706
Merrill Lynch MTN
8.950%, 05/18/08 (F) 4,315 4,148
8.680%, 05/02/08 (F) 4,160 4,009
6.050%, 08/15/12 4,120 4,184
Metlife
6.400%, 12/15/36 11,635 10,695
Mizuho Finance
8.375%, 04/27/09 785 801
8.375%, 12/29/49 530 541
Morgan Stanley
5.375%, 10/15/15 1,445 1,389
5.300%, 03/01/13 2,807 2,781
4.750%, 04/01/14 2,270 2,164
Morgan Stanley MTN (F)
5.659%, 01/18/08 1,530 1,428
Morgan Stanley MTN, Ser E
5.450%, 01/09/17 2,965 2,858
NB Capital Trust IV
8.250%, 04/15/27 4,865 5,059
National Capital Trust II (C) (F)
5.486%, 12/17/07 3,207 2,939
National Westminster Bank, Ser B (F)
5.563%, 01/09/08 740 602
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
National Westminster Bank, Ser C (F)
5.688%, 02/27/08 $ 160 $ 129
Nationwide Mutual Insurance (C)
6.600%, 04/15/34 2,483 2,565
North Front Pass-Through Trust
(C) (F)
5.810%, 12/15/07 5,291 5,079
PF Export Receivables Master Trust
(C)
6.436%, 06/01/15 1,593 1,607
PNC Funding
5.250%, 11/15/15 3,165 3,089
Paribas, Ser 1986 (F)
5.375%, 12/11/07 693 582
Pemex Finance
9.690%, 08/15/09 875 910
Power Receivables Financial
6.290%, 01/01/12 3,216 3,362
6.290%, 01/01/12 (C) 1,015 1,062
Prime Property Funding+ (C)
5.600%, 06/15/11 3,380 3,432
5.500%, 01/15/14 5,000 4,974
Prologis+
5.500%, 04/01/12 2,800 2,830
5.250%, 11/15/10 870 870
Prudential Financial MTN
6.625%, 12/01/37 498 494
6.000%, 12/01/17 2,347 2,323
5.700%, 12/14/36 1,430 1,271
RBS Capital Trust III (F)
5.512%, 03/30/08 400 363
RSHB Capital (C)
6.299%, 05/15/17 5,600 5,255
Rabobank Capital Fund Trust II
(C) (F)
5.260%, 12/29/49 1,171 1,124
Rabobank Capital Fund Trust III
(C) (F)
5.254%, 12/31/07 1,337 1,263
Residential Capital LLC
8.314%, 01/17/08 (F) 2,156 1,601
7.595%, 02/22/08 (F) 1,320 970
7.500%, 02/22/08 2,310 1,525
7.125%, 11/21/08 3,130 2,441
6.500%, 06/01/12 130 85
6.500%, 04/17/13 1,207 782
6.224%, 06/09/08 (F) (J) 500 420
Resona Bank Ltd. (C) (F)
5.850%, 09/29/49 1,793 1,695
Resona Preferred Global Securities
(C) (F)
7.191%, 07/30/49 2,590 2,464
Royal Bank of Canada (F)
5.548%, 12/21/07 1,010 860
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 141
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Royal Bank of Scotland Group PLC
7.640%, 01/01/08 (F) $ 2,535 $ 2,574
6.990%, 04/04/08 (C) 2,230 2,195
5.563%, 12/11/07 (F) 2,530 1,948
5.000%, 10/01/14 2,505 2,511
SLM MTN (F) (K)
4.660%, 12/17/07 23,225 23,225
SLM MTN, Ser CPI (F)
3.100%, 12/01/07 4,180 3,950
SMFG Preferred Capital (C) (F)
6.078%, 01/25/17 6,810 6,249
Security Benefit Life (C)
8.750%, 05/15/16 5,200 6,018
Shinsei Finance Cayman Ltd.
(C) (F) (J)
6.418%, 01/29/49 4,960 4,356
Simon Property Group LP+
5.750%, 05/01/12 1,875 1,918
Societe Generale (F)
5.469%, 05/26/08 680 561
5.395%, 05/26/08 180 148
Standard Chartered I (F)
5.259%, 01/16/08 1,840 1,306
Standard Chartered II (F)
5.625%, 05/07/08 2,800 2,016
Standard Chartered III (F)
5.588%, 12/04/07 200 142
Standard Chartered IV (F)
5.588%, 01/06/08 290 206
Stingray Pass-Through Trust (C)
5.902%, 01/12/15 3,600 2,487
Sumitomo Mitsui Banking
8.150%, 08/01/08 442 452
8.150%, 08/29/49 951 972
SunTrust Capital VIII (F) (J)
6.100%, 12/06/07 5,450 4,467
Suntrust Preferred Capital I (F)
5.853%, 12/15/11 17,379 16,276
TNK-BP Finance
7.875%, 03/13/18 (C) 2,140 2,105
7.500%, 07/18/16 140 137
7.500%, 07/18/16 (C) 3,750 3,624
6.625%, 03/20/17 (C) 1,750 1,598
Toll Road Investment Partners II
(C) (E)
0.000%, 02/15/45 6,915 985
Trans-Canada Pipelines
6.200%, 10/15/37 2,804 2,858
Travelers (F) (J)
6.250%, 02/15/08 5,700 5,404
Twin Reefs Pass-Through (C) (F)
5.660%, 12/10/07 900 610
UBS Capital IX (F)
6.189%, 04/15/49 1,659 1,600
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
UDR MTN+
5.000%, 01/15/12 $ 2,000 $ 2,034
UDR+
5.500%, 04/01/14 2,900 2,938
UFJ Finance Aruba
8.750%, 08/13/49 316 323
8.750%, 11/29/49 1,060 1,083
Wachovia
5.250%, 08/01/14 250 243
Wachovia Bank
6.600%, 01/15/38 6,540 6,526
6.000%, 11/15/17 6,800 6,846
Wachovia Capital Trust III (F)
5.800%, 03/15/11 4,027 3,874
Washington Mutual
4.625%, 04/01/14 3,040 2,435
4.000%, 01/15/09 663 624
Washington Mutual Preferred
Funding (C)
6.534%, 03/29/49 300 159
Wells Fargo
5.000%, 11/15/14 1,145 1,129
Wells Fargo Capital X
5.950%, 12/15/36 960 879
Westfield Capital (C)
4.375%, 11/15/10 1,900 1,857
Westfield Group (C)
5.400%, 10/01/12 2,230 2,260
Westpac Banking (F)
5.306%, 03/30/08 870 714
Westpac Capital Trust IV (C) (F)
5.256%, 12/29/49 1,259 1,106
Woodbourne Pass-Through Trust
(C) (F)
5.767%, 12/08/07 2,500 2,491
ZFS Finance USA Trust I
6.150%, 12/15/10 1,225 1,180
ZFS Finance USA Trust II (C) (F)
6.450%, 12/15/65 1,324 1,213
--------------
693,295
--------------
HEALTH CARE -- 0.6%
Abbott Laboratories
5.600%, 11/30/17 2,935 2,998
AstraZeneca PLC (J)
5.400%, 09/15/12 2,960 3,056
AstraZeneca PLC
5.400%, 06/01/14 1,680 1,717
5.400%, 06/01/14 70 71
Bristol-Myers Squibb
5.875%, 11/15/36 1,290 1,280
Cardinal Health
5.850%, 12/15/17 4,875 4,949
- --------------------------------------------------------------------------------
142 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Coventry Health Care
5.950%, 03/15/17 $ 3,310 $ 3,236
HCA
5.750%, 03/15/14 5,548 4,535
Merck (J)
5.750%, 11/15/36 1,011 1,010
Schering-Plough
6.550%, 09/15/37 2,620 2,761
Tenet Healthcare (J)
7.375%, 02/01/13 168 148
WellPoint
5.875%, 06/15/17 2,375 2,384
Wyeth
6.950%, 03/15/11 8,650 9,278
5.950%, 04/01/37 3,610 3,625
--------------
41,048
--------------
INDUSTRIALS -- 2.5%
Abu Dhabi National Energy (C)
5.620%, 10/25/12 12,992 13,160
Aetna
6.750%, 12/15/37 3,420 3,397
Air 2 US (C)
8.027%, 10/01/19 5,060 5,086
America West Airlines, Ser 1999-1
7.930%, 01/02/19 4,655 4,888
American Airlines, Ser 1999-1
7.024%, 10/15/09 2,320 2,329
American Water Capital (C)
6.593%, 10/15/37 644 685
6.085%, 10/15/17 644 673
Cedar Brakes I LLC (C)
8.500%, 02/15/14 1,457 1,623
Cedar Brakes II LLC (C)
9.875%, 09/01/13 5,258 5,774
Clorox
5.950%, 10/15/17 1,133 1,148
Continental Airlines, Ser 1997, Cl1A
7.461%, 04/01/15 1,557 1,553
Continental Airlines, Ser 1999-2
7.256%, 03/15/20 1,370 1,414
Continental Airlines, Ser A
5.983%, 04/19/22 3,000 2,884
Continental Airlines, Ser AMBC
6.236%, 03/15/20 2,221 2,199
Delhaize Group
6.500%, 06/15/17 4,800 4,913
Delta Air Lines, Ser 2000-1
7.379%, 05/18/10 2,742 2,755
Delta Air Lines, Ser 2001-1
7.111%, 09/18/11 13,350 13,450
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Delta Air Lines (C)
6.821%, 08/10/22 $ 2,600 $ 2,563
Diageo Capital
5.750%, 10/23/17 1,286 1,302
E.I. Du Pont de Nemours
5.000%, 01/15/13 896 903
EnCana
6.500%, 02/01/38 3,425 3,494
General Electric
5.250%, 12/06/17 4,477 4,436
Hutchison Whampoa International (C)
7.450%, 11/24/33 3,915 4,415
Kinder Morgan Energy Partners MTN
6.950%, 01/15/38 160 168
McDonald's
6.300%, 10/15/37 3,003 3,125
5.800%, 10/15/17 830 854
News America (C)
6.650%, 11/15/37 4,115 4,190
Nordstrom
7.000%, 01/15/38 4,338 4,371
Northwest Airlines, Ser 1A-2
6.841%, 04/01/11 4,500 4,501
Panhandle East Pipeline
6.200%, 11/01/17 784 789
Pemex Project Funding Master Trust
6.625%, 06/15/35 1,345 1,424
6.625%, 06/15/35 (C) 195 207
Pepsico
4.650%, 02/15/13 836 835
Petrobras International Finance
5.875%, 03/01/18 3,525 3,604
Santander Perpetual (C) (F)
6.671%, 04/24/08 5,200 5,019
Stauffer Chemical (E)
0.000%, 04/15/10 300 272
0.000%, 04/15/17 350 214
0.000%, 04/15/18 860 496
Target
6.500%, 10/15/37 2,907 2,821
Textron
5.600%, 12/01/17 1,140 1,140
Tyco International Group
7.000%, 06/15/28 1,875 2,116
6.875%, 01/15/29 6,924 7,293
6.750%, 02/15/11 1,170 1,266
6.375%, 10/15/11 8,785 9,177
6.125%, 11/01/08 320 323
6.125%, 01/15/09 120 122
6.000%, 11/15/13 1,945 2,015
United Airlines
6.602%, 09/01/13 1,946 1,936
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 143
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
United Technologies
6.500%, 06/01/09 $ 1,670 $ 1,732
5.400%, 05/01/35 670 645
Walt Disney
4.700%, 12/01/12 3,990 3,981
4.700%, 12/01/12 1,306 1,303
Waste Management
7.375%, 05/15/29 5 6
7.125%, 12/15/17 4,840 5,334
7.100%, 08/01/26 1,375 1,493
Yum! Brands
6.875%, 11/15/37 2,940 2,872
6.250%, 03/15/18 1,170 1,179
--------------
161,867
--------------
INFORMATION TECHNOLOGY -- 0.1%
Corning
7.250%, 08/15/36 995 1,115
Electronic Data Systems
7.125%, 10/15/09 2,990 3,091
Xerox
5.500%, 05/15/12 2,265 2,306
--------------
6,512
--------------
MATERIALS -- 0.1%
CodelCo (C)
4.750%, 10/15/14 900 861
Vale Overseas Ltd.
8.250%, 01/17/34 210 251
6.875%, 11/21/36 7,748 8,054
Weyerhaeuser
6.750%, 03/15/12 410 432
--------------
9,598
--------------
SOVEREIGN -- 0.5%
Emirate of Abu Dhabi (C)
5.500%, 08/02/12 6,800 7,152
Quebec Province
5.125%, 11/14/16 5,330 5,570
Republic of Italy
5.375%, 06/15/33 4,872 5,035
Russian Federation (G)
7.500%, 03/31/30 1,066 1,210
United Mexican States (J)
5.625%, 01/15/17 2,504 2,539
United Mexican States MTN, Ser A
7.500%, 04/08/33 218 263
6.750%, 09/27/34 9,488 10,617
5.875%, 01/15/14 1,645 1,709
--------------
34,095
--------------
- --------------------------------------------------------------------------------
Face Amount
($ Thousands) Market Value
Description /Contracts ($ Thousands)
- --------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES -- 1.1%
AT&T
6.150%, 09/15/34 $ 3,855 $ 3,861
5.100%, 09/15/14 7,790 7,694
America Movil
6.375%, 03/01/35 1,549 1,562
6.125%, 11/15/37 1,410 1,377
5.625%, 11/15/17 2,350 2,316
BellSouth
4.750%, 11/15/12 190 189
BellSouth Telecommunications
7.000%, 12/01/95 2,415 2,501
British Telecom PLC
8.375%, 12/15/10 1,310 1,437
Deutsche Telekom International
Finance
5.750%, 03/23/16 2,175 2,186
Embarq (J)
7.995%, 06/01/36 1,646 1,740
France Telecom
8.500%, 03/01/08 1,070 1,418
7.750%, 03/01/11 1,695 1,842
Koninklijke
8.000%, 10/01/10 5,100 5,461
New Cingular Wireless Services
8.125%, 05/01/12 1,255 1,410
Qwest
7.500%, 10/01/14 4,835 4,895
Rogers Communications
6.375%, 03/01/14 3,835 3,975
Sprint Capital
8.750%, 03/15/32 910 989
8.375%, 03/15/12 5,300 5,682
6.900%, 05/01/19 120 118
6.125%, 11/15/08 2,950 2,946
Sprint Nextel
6.000%, 12/01/16 2,136 2,034
Telecom Italia Capital
5.250%, 11/15/13 580 572
5.250%, 10/01/15 370 360
4.950%, 09/30/14 1,320 1,271
Telefonica Emisiones
6.221%, 07/03/17 945 983
5.984%, 06/20/11 5,275 5,430
Verizon Communications
7.375%, 09/01/12 1,730 1,916
6.875%, 06/15/12 465 504
Vodafone Group PLC
5.625%, 02/27/17 2,470 2,471
--------------
69,140
--------------
- --------------------------------------------------------------------------------
144 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
UTILITIES -- 1.3%
Allegheny Energy Supply (C) (J)
8.250%, 04/15/12 $ 1,765 $ 1,893
Arizona Public Services
8.000%, 12/30/15 758 870
CMS Energy
6.550%, 07/17/17 1,475 1,432
Cogentrix Energy (C)
8.750%, 10/15/08 6,200 6,205
Commonwealth Edison
6.150%, 09/15/17 2,010 2,082
4.700%, 04/15/15 1,362 1,287
Commonwealth Edison, Ser 104
5.950%, 08/15/16 1,600 1,636
Commonwealth Edison, Ser 98
6.150%, 03/15/12 3,168 3,298
DPL
6.875%, 09/01/11 4,835 5,163
Dominion Resources
5.700%, 09/17/12 3,560 3,640
4.750%, 12/15/10 740 740
4.125%, 02/15/08 250 249
Dominion Resources, Ser D
5.125%, 12/15/09 850 854
Duke Energy Carolinas
5.625%, 11/30/12 425 444
Empresa Nacional Electric
8.625%, 08/01/15 340 393
Exelon
5.625%, 06/15/35 2,605 2,327
FirstEnergy, Ser B
6.450%, 11/15/11 3,230 3,336
FirstEnergy, Ser C
7.375%, 11/15/31 5,355 5,757
Florida Power
6.350%, 09/15/37 1,121 1,198
Hydro-Quebec, Ser JL
6.300%, 05/11/11 1,050 1,127
Intergas Finance (C)
6.375%, 05/14/17 4,853 4,252
Midamerican Energy Holdings
6.500%, 09/15/37 785 816
6.125%, 04/01/36 543 541
Nevada Power, Ser A
8.250%, 06/01/11 4,305 4,754
NiSource Finance
6.150%, 03/01/13 1,304 1,373
Northwestern
5.875%, 11/01/14 1,532 1,537
Pacific Gas & Electric
5.800%, 03/01/37 840 803
5.625%, 11/30/17 2,285 2,283
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Pacific Gas & Electric (J)
6.050%, 03/01/34 $ 3,275 $ 3,242
Pacificorp
6.250%, 10/15/37 3,180 3,286
Power Contract Financing (C)
6.256%, 02/01/10 3,048 3,115
Progress Energy
6.850%, 04/15/12 1,710 1,839
Public Service Colorado
7.875%, 10/01/12 2,840 3,225
Swepco Capital Trust I (F)
5.250%, 10/01/43 4,465 4,496
TXU, Ser P
5.550%, 11/15/14 370 284
TXU, Ser Q
6.500%, 11/15/24 410 289
TXU, Ser R (J)
6.550%, 11/15/34 4,385 3,032
Virginia Electric & Power
6.350%, 11/30/37 1,955 1,971
5.100%, 11/30/12 2,870 2,874
--------------
87,943
--------------
Total Corporate Obligations
(Cost $1,315,840) ($ Thousands) 1,312,944
--------------
U.S. GOVERNMENT AGENCY OBLIGATIONS-- 1.7%
FHLB
5.500%, 12/01/37 4,341 4,372
4.625%, 10/10/12 (J) 5,000 5,130
4.560%, 12/07/07 (E) 1,155 1,154
4.500%, 12/01/37 12,117 11,816
4.387%, 12/21/07 (B) (E) 3,600 3,591
4.350%, 12/26/07 (E) 2,995 2,986
4.264%, 12/28/07 (E) 7,630 7,606
4.150%, 12/07/07 (B) 10,485 10,477
4.120%, 12/05/07 (B) 7,335 7,331
FHLMC
5.625%, 11/23/35 5,250 5,312
4.759%, 12/07/07 (B) 8,460 8,456
4.750%, 01/18/11 (J) 6,830 7,033
4.380%, 12/20/07 (B) (E) 4,670 4,659
4.250%, 12/27/07 (B) 735 733
FHLMC MTN
5.250%, 03/15/12 3,223 3,256
FNMA
7.250%, 01/15/10 6,400 6,859
5.550%, 03/29/10 1,289 1,290
5.400%, 03/26/12 1,580 1,587
5.125%, 04/15/11 3,000 3,129
4.750%, 11/19/12 3,217 3,318
4.709%, 12/07/07 (B) 2,500 2,499
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 145
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Face Amount ($ Thousands)/ Market Value
Description Notional Amount ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
4.400%, 12/12/07 (E) $ 400 $ 400
4.140%, 12/05/07 (B) 1,665 1,665
1.000%, 03/17/08 (B) (E) 8,740 8,633
--------------
Total U.S. Government Agency Obligations
(Cost $112,572) ($ Thousands) 113,292
--------------
FOREIGN BONDS -- 0.2%
Canadian Government
4.000%, 12/01/31 1,188 1,613
Deutsche Bundesrepublik
3.750%, 01/04/15 6,750 9,723
Republic of Brazil
6.000%, 01/17/17 3,105 3,172
--------------
Total Foreign Bonds
(Cost $13,099) ($ Thousands) 14,508
--------------
PREFERRED STOCK -- 0.1%
Aegon, 6.235% (F) 27,000 525
Aegon, 6.375% 79,895 1,622
Deutsche Bank Contingent
Capital Trust II, 6.550% 38,000 849
Fannie Mae, 5.950% 13,000 306
Fannie Mae, 7.000% 12,000 570
Merrill Lynch, 5.860% (F) (J) 63,100 1,171
Metlife, 6.500% 86,821 1,975
--------------
Total Preferred Stock
(Cost $8,212) ($ Thousands) 7,018
--------------
PURCHASED SWAPTIONS -- 0.1%
U.S. Swaption Call, Barclays 105,907 1,706
U.S. Swaption Call, Barclays 13,735 1,125
U.S. Swaption Call, Merrill Lynch 88,575 1,575
U.S. Swaption Call, Merrill Lynch 11,686 1,053
U.S. Swaption Put, Barclays 85,920 1,240
U.S. Swaption Put, Barclays 11,026 821
--------------
Total Purchased Swaptions
(Cost $3,055) ($ Thousands) 7,520
--------------
MUNICIPAL BONDS -- 0.1%
Michigan Tobacco Settlement
Finance, Ser A, RB
7.309%, 06/01/34 $ 2,510 $ 2,446
San Diego, Tobacco Settlement Asset
Backed, RB
7.125%, 06/01/32 1,427 1,400
--------------
Total Municipal Bonds
(Cost $3,983) ($ Thousands) 3,846
--------------
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CASH EQUIVALENTS -- 22.2%
Evergreen Select Money
Market Fund, Institutional Class,
5.290%** 1,548,771 $ 1,549
SEI Daily Income Trust,
Prime Obligation Fund, Cl A,
5.020%++** 174,712,250 174,712
SEI Liquidity Fund L.P.,
5.367%++** (K) 1,288,808,922 1,288,809
--------------
Total Cash Equivalents
(Cost $1,465,070) ($ Thousands) 1,465,070
--------------
U.S. TREASURY OBLIGATIONS -- 20.7%
U.S. Treasury Bills (A) (J)
4.625%, 02/15/17 $ 45,400 47,663
U.S. Treasury Bonds
8.875%, 02/15/19 (J) 7,358 10,420
8.750%, 08/15/20 430 617
8.125%, 08/15/19 (J) 10,595 14,386
7.500%, 11/15/16 (J) 2,362 2,977
7.125%, 02/15/23 (J) 25,842 33,669
6.625%, 02/15/27 (J) 5,374 6,872
6.250%, 08/15/23 to 05/15/30 (J) 12,271 15,092
6.125%, 11/15/27 (J) 44,109 53,816
5.375%, 02/15/31 (J) 3,553 4,039
5.000%, 05/15/37 (J) 14,413 15,827
4.500%, 03/31/12 to 02/15/36 (J) 152,839 159,341
3.875%, 01/15/09 to 04/15/29 (D) 7,859 8,728
3.875%, 10/31/12 (J) 56,097 57,254
3.625%, 04/15/28 (D) (J) 29,903 38,472
2.375%, 01/15/17 to
01/15/27 (D) (J) 25,861 27,523
2.000%, 01/15/26 (D) 641 647
U.S. Treasury Bonds TIPS
3.375%, 01/15/12 (D) 270 295
2.500%, 07/15/16 (D) (J) 21,812 23,421
2.375%, 04/15/11 (A) (D) (J) 21,943 22,881
2.000%, 07/15/14 (D) (J) 9,622 9,967
1.875%, 07/15/15 (D) (J) 34,801 35,660
0.875%, 04/15/10 (D) 66 66
U.S. Treasury Notes
5.125%, 05/15/16 (J) 56,888 61,723
4.875%, 10/31/08 to 02/15/12 (J) 20,069 20,505
4.750%, 05/15/14 1,601 1,703
4.750%, 01/31/12 to 02/15/37 (J) 202,524 213,785
4.625%, 07/31/09 to 07/31/12 (J) 24,853 25,495
4.500%, 03/31/09 to 05/15/17 (J) 41,386 42,942
4.250%, 09/30/12 to 11/15/17 (J) 38,207 39,394
4.125%, 08/31/12 (J) 3,750 3,862
4.000%, 04/15/10 1,370 1,400
4.000%, 08/31/09 (J) 113,980 115,743
3.750%, 05/15/08 (J) 9,730 9,750
- --------------------------------------------------------------------------------
146 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Shares/Face Amount/ Market Value
Description Notional Amounts ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
3.625%, 05/15/13 $ 1,102 $ 1,109
3.625%, 10/31/09 (J) 69,276 69,996
3.500%, 11/15/09 30,465 30,758
3.500%, 02/15/10 (J) 15,670 15,816
3.375%, 11/30/12 72,223 72,093
3.375%, 02/15/08 (J) 33,830 33,835
U.S. Treasury STRIPS
0.000%, 08/15/19 (E) 10,176 6,101
0.000%, 11/15/21 (E) (J) 23,570 12,549
--------------
Total U.S. Treasury Obligations
(Cost $1,313,222) ($ Thousands) 1,368,192
--------------
COMMERCIAL PAPER (A) -- 1.2%
FINANCIALS -- 1.2%
BNP Paribas Finance
4.750%, 12/17/07 15,980 15,948
Merrill Lynch
4.930%, 12/20/07 16,970 16,928
Rabobank USA Financial
4.620%, 12/20/07 27,270 27,204
Societe Generale
4.744%, 12/17/07 20,565 20,522
UBS Finance
5.771%, 12/20/07 110 110
4.790%, 12/27/07 2,555 2,546
--------------
Total Commercial Paper
(Cost $83,263) ($ Thousands) 83,258
--------------
CERTIFICATES OF DEPOSIT (F) -- 0.1%
JPMorgan Chase
8.750%, 02/28/08 2,751 2,721
7.590%, 12/28/07 2,630 2,518
--------------
Total Certificates of Deposit
(Cost $5,259) ($ Thousands) 5,239
--------------
LOAN PARTICIPATION -- 0.0%
Delphi, 1st Lien
0.000%, 12/31/07 1,000 995
--------------
Total Loan Participation
(Cost $1,006) ($ Thousands) 995
--------------
EURODOLLAR -- 0.0%
Barclays O/S Investment (F)
5.615%, 05/01/08 160 130
--------------
Total Eurodollar
(Cost $147) ($ Thousands) 130
--------------
- --------------------------------------------------------------------------------
Shares/Face Amount ($ Thousands)/ Market Value
Description Notional Amount ($ Thousands)/Contracts ($ Thousands)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT (I) -- 6.1%
Deutsche Bank
4.500%, dated 11/30/07,
to be repurchased on 12/03/07,
repurchase price $401,350,450
(collateralized by U.S. Government
Obligations, ranging in par value
$41,804,700-$51,000,000, 5.400%-
6.000%, 02/12/12-08/18/16,
total market value $409,224,000) $ 401,200 $ 401,200
--------------
Total Repurchase Agreement
(Cost $401,200) ($ Thousands) 401,200
--------------
Total Investments -- 138.3%
(Cost $9,063,205) ($ Thousands) $ 9,138,247
==============
WRITTEN SWAPTIONS -- (0.1)%
U.S. Swaption Call, Barclays (52,000) (2,531)
U.S. Swaption Call, Merrill Lynch (44,000) (2,411)
U.S. Swaption Put, Barclays (42,000) (1,855)
--------------
Total Written Swaptions
(Premiums Received $(3,050)) ($ Thousands) (6,797)
--------------
WRITTEN OPTIONS -- 0.0%
June 2008 90 Day Euro Call,
Expires 06/19/08,
Strike Price: $95.875* (216) (277)
June 2008 90 Day Euro Put,
Expires 06/19/08,
Strike Price: $95.875* (216) (67)
March 2008 90 Day Euro Call,
Expires 03/17/08,
Strike Price: $95.5* (396) (391)
March 2008 90 Day Euro Call,
Expires 03/17/08,
Strike Price: $96* (449) (151)
March 2008 90 Day Euro Call,
Expires 03/18/08,
Strike Price: $95.38* (218) (266)
March 2008 90 Day Euro Put,
Expires 03/17/08,
Strike Price: $95.38* (253) (24)
March 2008 U.S. Ten Year
Treasury Call, Expires 02/22/08,
Strike Price: $112* (207) (453)
March 2008 U.S. Ten Year
Treasury Call, Expires 02/22/08,
Strike Price: $121* (177) (39)
March 2008 U.S. Ten Year
Treasury Put, Expires 02/22/08,
Strike Price: $109.5* (454) (142)
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 147
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Contracts ($ Thousands)
- --------------------------------------------------------------------------------
March 2008 U.S. Ten Year
Treasury Put, Expires 02/22/08,
Strike Price: $113* (263) $ (197)
March 2008 U.S. Ten Year
Treasury Put, Expires 02/22/08,
Strike Price: $114* (177) (174)
November 2007 90 Day Euro Put,
Expires 03/20/08,
Strike Price: $95.5* (459) (77)
November 2007 U.S. Ten Year
Treasury Put, Expires 02/22/08,
Strike Price: $107* (326) (31)
--------------
Total Written Options
(Premiums Received $(2,389)) ($ Thousands) $ (2,289)
--------------
A summary of the open futures contracts held by the Fund at November 30, 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$ 343 Dec-2007 $ (62)
90-Day Euro$ 460 Sep-2008 607
90-Day Euro$ (450) Sep-2009 (676)
90-Day Euro$ 861 Jun-2008 2,762
90-Day Euro$ 2,876 Mar-2008 5,282
3-Month Euribor 130 Mar-2008 (53)
3-Month Euribor 130 Jun-2008 (34)
Euro-Bond 528 Dec-2007 946
Fed Fund 30 day (61) Apr-2008 (155)
Fed Fund 30 day (55) Mar-2008 (122)
Fed Fund 30 day (60) May-2008 (192)
U.S. 2 Year Treasury Note 504 Mar-2008 (48)
U.S. 5 Year Treasury Note 2,494 Mar-2008 300
U.S. 10 Year Treasury Note (1,153) Dec-2007 (3,702)
U.S. 10 Year Treasury Note (1,322) Mar-2008 (81)
U.S. Long Treasury Bond 7 Dec-2007 42
U.S. Long Treasury Bond 62 Mar-2008 (26)
-------------
$ 4,788
=============
A summary of the outstanding forward foreign currency contracts held by the Fund
at November 30, 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)
- --------------------------------------------------------------------------------
2/12/08 EUR 25,929 USD 36,973 $ (1,126)
2/12/08 GBP 9,109 USD 18,483 (197)
2/12/08 USD 20,510 JPY 2,316,816 568
--------------
$ (755)
==============
A summary of outstanding swap agreements held by the Fund at November 30, 2007
is as follows:
- --------------------------------------------------------------------------------
CREDIT DEFAULT SWAPS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------------------------
Fund delivers 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 pays
the notional amount and takes receipt of
the defined deliverable obligation.
(Counterparty: Lehman Brothers) 05/25/46 3,799 $ (1)
Fund delivers monthly payment of 0.0270%
(0.320% per annum) times the notional
amount of the ABX.HE.AA 06-1 Index. Upon
a defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty:
Lehman Brothers) 07/25/45 12,000 758
Fund delivers monthly payment of 0.0370%
(0.440% per annum) times the notional
amount of the ABX.HE.AA 06-2 Index. Upon
a defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty: Citigroup) 05/25/46 3,900 446
Fund delivers monthly payment of 0.0370%
(0.440% per annum) times the notional
amount of the ABX.HE.AA 06-2 Index. Upon
a defined credit event, Fund receives the
notional amount and takes receipt of the
defined deliverable obligation. (Counterparty:
Lehman Brothers) 05/25/46 1,970 384
Fund receives monthly payment of 0.0090%
(0.110% per annum) times the notional
amount of the ABX.HE.AA 06-2 Index. Upon
a defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty:
Deutsche Bank) 05/25/46 4,100 (720)
Fund receives monthly payment of 0.0130%
(0.150% per annum) times the notional
amount of the ABX.HE.AA 07-1 Index. Upon
a defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty:
Lehman Brothers) 08/25/37 6,505 (1,468)
Fund receives monthly payment of 0.0130%
(0.150% per annum) times the notional
amount of the ABX.HE.AA 07-1 Index. Upon
a defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty: Citigroup) 08/25/37 2,650 (658)
Fund receives monthly payment of 0.0130%
(0.150% per annum) times the notional
amount of the ABX.HE.AA 07-1 Index. Upon
a defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty: Barclays) 08/25/37 800 (232)
Fund receives monthly payment of 0.0130%
(0.150% per annum) times the notional
amount of the ABX.HE.AA 07-1 Index. Upon
a defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty: Citigroup) 08/25/37 1,300 (444)
Fund receives monthly payment of 0.0130%
(0.150% per annum) times the notional
amount of the ABX.HE.AA 07-1 Index. Upon
a defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty: Citigroup) 08/25/38 1,300 (385)
Fund receives monthly payment of 0.0130%
(0.150% per annum) times the notional
amount of the ABX.HE.AA 07-1 Index. Upon
a defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty: Citigroup) 01/25/38 1,300 (362)
Fund receives monthly payment of 0.1600%
(1.920% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index. Upon
a defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty:
Lehman Brothers) 01/25/38 1,975 5
Fund receives monthly payment of 0.0080%
(0.090% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index. Upon
a defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty: Barclays) 08/25/37 4,680 (243)
- --------------------------------------------------------------------------------
148 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------------------------
Fund receives monthly payment of 0.0080%
(0.090% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index. Upon
a defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty: Citigroup) 08/25/37 3,545 $ (173)
Fund receives monthly payment of 0.3080%
(3.690% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index. Upon
a defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty: Citigroup) 01/25/38 3,900 (653)
Fund receives monthly payment of 0.3080%
(3.690% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index. Upon
a defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty:
Lehman Brothers) 01/25/38 1,970 (453)
Fund receives monthly payment of 0.1600%
(1.920% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index. Upon
a defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty:
Lehman Brothers) 01/25/38 1,975 (94)
Fund receives monthly payment of 0.1600%
(1.920% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index. Upon
a defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty:
Lehman Brothers) 01/25/38 1,975 (215)
Fund receives monthly payment of 0.1600%
(1.920% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index. Upon
a defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty: Citigroup) 01/25/38 2,440 (848)
Fund receives monthly payment of 0.1600%
(1.920% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index. Upon
a defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty: Citigroup) 01/25/38 7,080 (2,675)
Fund receives monthly payment of 0.1600%
(1.920% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index. Upon
a defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty:
Lehman Brothers) 01/25/38 1,300 (504)
Fund receives monthly payment of 0.1600%
(1.920% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index. Upon
a defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty: Citigroup) 01/25/38 1,300 (519)
Fund receives monthly payment of 0.1600%
(1.920% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index. Upon
a defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty: Citigroup) 01/25/38 1,950 (854)
Fund receives monthly payment of 0.1600%
(1.920% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index. Upon
a defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty: Citigroup) 01/25/38 1,355 (675)
Fund receives monthly payment of 0.1600%
(1.920% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index. Upon
a defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty:
Lehman Brothers) 01/25/38 1,975 (100)
Fund receives monthly payment of 0.1600%
(1.920% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index. Upon
a defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty:
JPMorgan Chase) 01/25/38 4,550 (1,656)
Fund receives monthly payment of 0.1600%
(1.920% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index. Upon
a defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty: Citigroup) 01/25/38 1,700 (908)
- --------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------------------------
Fund receives monthly payment of 0.1600%
(1.920% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index. Upon
a defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty: Citigroup) 01/25/38 1,900 $ (994)
Fund receives monthly payment of 0.1600%
(1.920% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index. Upon
a defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty: Citigroup) 01/25/38 4,720 (2,308)
Fund receives monthly payment of 0.4200%
(5.000% per annum) times the notional
amount of the ABX.HE.BBB 07-2 Index. Upon
a defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty:
Lehman Brothers) 01/25/38 7,805 (1,001)
Fund receives monthly payment of 0.4200%
(5.000% per annum) times the notional
amount of the ABX.HE.BBB 07-2 Index. Upon
a defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty:
Lehman Brothers) 01/25/38 9,400 (2,023)
Fund receives monthly payment of 0.4200%
(5.000% per annum) times the notional
amount of the ABX.HE.BBB 07-2 Index. Upon
a defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty:
Merrill Lynch) 01/25/38 2,350 (496)
Fund receives monthly payment of 0.4170%
(5.000% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index. Upon
a defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty:
Lehman Brothers) 01/25/38 2,210 (306)
Fund receives monthly payment of 0.1600%
(1.920% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index. Upon
a defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty:
JPMorgan Chase) 01/25/38 2,600 (1,033)
Fund pays quarterly payment of 0.1600%
(0.640% per annum) times the notional
amount of Ambac Assurance. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined deliverable
obligation. (Counterparty: Goldman Sachs) 12/20/12 5,000 103
Fund pays quarterly payment of 0.2750%
(1.100% per annum) times the notional
amount of Ambac Assurance. Upon a defined
credit event, Fund will receive the notional
amount and deliver the Lehman Brothers) 12/20/12 5,000 187
Fund pays quarterly payment of 0.2750%
(1.100% per annum) times the notional
amount of Ambac Assurance. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined deliverable
obligation. (Counterparty: HSBC) 12/20/17 4,500 240
Fund pays quarterly payment of 0.0440%
(0.175% per annum) times the notional
amount of Ambac Assurance. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined deliverable
obligation. (Counterparty: Citigroup) 12/20/17 3,200 149
Fund pays quarterly payment of 0.0320%
(0.128% per annum) times the notional
amount of Ambac Assurance. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined deliverable
obligation. (Counterparty: Citigroup) 12/20/17 3,200 62
Fund pays quarterly payment of 0.4500%
(1.800% per annum) times the notional
amount of Ambac Assurance. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined deliverable
obligation. (Counterparty: JPMorgan Chase) 09/20/12 3,600 381
Fund pays quarterly payment of 0.3500%
(1.400% per annum) times the notional
amount of Ambac Assurance. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined deliverable
obligation. (Counterparty: Merrill Lynch) 09/20/12 600 66
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 149
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Concluded)
November 30, 2007
- --------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------------------------
Fund pays quarterly payment of 0.0730%
(0.290% per annum) times the notional
amount of Ambac Assurance. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined deliverable
obligation. (Counterparty: Barclays) 12/20/14 13,200 $ 638
Fund pays quarterly payment of 0.4890%
(1.955% per annum) times the notional
amount of Ambac Assurance. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined deliverable
obligation. (Counterparty: JPMorgan Chase) 12/20/12 1,600 217
Fund pays quarterly payment of 0.2430%
(0.970% per annum) times the notional
amount of Ambac Assurance. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined deliverable
obligation. (Counterparty: JPMorgan Chase) 12/20/12 3,050 415
Fund pays quarterly payment of 1.769% (7.075%
per annum) times the notional amount of
Ambac Assurance. Upon a defined credit
event, Fund will receive the notional amount
and deliver the defined deliverable obligation.
(Counterparty: JPMorgan Chase) 12/20/12 2,000 160
Fund pays quarterly payment of 0.2280%
(0.913% per annum) times the notional
amount of Ambac Assurance. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined deliverable
obligation. (Counterparty: JPMorgan Chase) 12/20/12 1,375 174
Fund pays quarterly payment of 0.1740%
(0.695% per annum) times the notional
amount of Ambac Assurance. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined deliverable
obligation. (Counterparty: JPMorgan Chase) 12/20/12 3,300 279
Fund pays quarterly payment of 0.2230%
(0.890% per annum) times the notional
amount of Ambac Assurance. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined deliverable
obligation. (Counterparty: JPMorgan Chase) 12/20/12 1,970 251
Fund pays quarterly payment of 0.0560%
(0.225% per annum) times the notional
amount of Ambac Assurance. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined deliverable
obligation. (Counterparty: JPMorgan Chase) 12/20/12 3,275 575
Fund pays quarterly payment of 0.0780%
(0.313% per annum) times the notional
amount of Ambac Assurance. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined deliverable
obligation. (Counterparty: JPMorgan Chase) 12/20/12 3,100 639
Fund pays quarterly payment of 0.0470%
(0.188% per annum) times the notional
amount of Ambac Assurance. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined deliverable
obligation. (Counterparty: JPMorgan Chase) 12/20/12 4,000 46
Fund pays quarterly payment of 0.0470%
(0.188% per annum) times the notional
amount of Ambac Assurance. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined deliverable
obligation. (Counterparty: Barclays) 12/20/12 300 7
Fund pays quarterly payment of 0.0470%
(0.188% per annum) times the notional
amount of Ambac Assurance. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined deliverable
obligation. (Counterparty: JPMorgan Chase) 12/20/12 8,725 200
Fund pays quarterly payment of 0.1160%
(0.463% per annum) times the notional
amount of Ambac Assurance. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined deliverable
obligation. (Counterparty: JPMorgan Chase) 12/20/12 2,500 265
Fund pays quarterly payment of 1.063% (4.250%
per annum) times the notional amount of
Ambac Assurance. Upon a defined credit
event, Fund will receive the notional amount
and deliver the defined deliverable obligation.
(Counterparty: Barclays) 12/20/12 4,000 412
Fund pays quarterly payment of 0.0970%
(0.388% per annum) times the notional
amount of Ambac Assurance. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined deliverable
obligation. (Counterparty: Lehman Brothers) 12/20/12 700 187
- --------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------------------------
Fund pays quarterly payment of 0.0970%
(0.388% per annum) times the notional
amount of Ambac Assurance. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined deliverable
obligation. (Counterparty: Lehman Brothers) 12/20/12 4,000 $ 1,066
Fund pays quarterly payment of 0.9380%
(3.750% per annum) times the notional
amount of Ambac Assurance. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined deliverable
obligation. (Counterparty: Barclays) 12/20/12 4,000 1,043
Fund pays quarterly payment of 0.0720%
(0.288% per annum) times the notional
amount of Ambac Assurance. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined deliverable
obligation. (Counterparty: JPMorgan Chase) 12/20/12 1,125 171
Fund pays quarterly payment of 0.1770%
(0.708% per annum) times the notional
amount of Ambac Assurance. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined deliverable
obligation. (Counterparty: JPMorgan Chase) 12/20/12 1,400 118
Fund pays quarterly payment of 0.0570%
(0.228% per annum) times the notional
amount of Ambac Assurance. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined deliverable
obligation. (Counterparty: JPMorgan Chase) 12/20/12 8,500 261
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) 09/20/12 1,620 (3)
--------------
$ (13,099)
==============
- --------------------------------------------------------------------------------------------------
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 $ 584
Pay fixed rate of 4.650% and receive floating rate,
rate based on 5Y5Y Swaption Straddle.
(Counterparty: Lehman Brothers) 05/18/17 12,000 895
Pay fixed rate of 5.000% and receive floating rate,
rate based on 5Y5Y Swaption Straddle.
(Counterparty: Merrill Lynch) 10/18/17 3,060 125
Pay fixed rate of 5.030% and receive floating rate,
rate based on 5Y5Y Swaption Straddle.
(Counterparty: Merrill Lynch) 10/16/17 3,060 117
Pay fixed rate of 5.050% and receive floating rate,
rate based on 5Y5Y Swaption Straddle.
(Counterparty: Merrill Lynch) 10/16/17 3,060 130
Pay fixed rate of 5.135% and receive floating rate,
rate based on 3 Month LIBOR. (Counterparty:
Lehman Brothers) 11/30/09 4,050 93
Receive fixed rate of 4.148% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Merrill Lynch) 11/23/09 10,500 43
Receive fixed rate of 4.390% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: JPMorgan Chase) 11/15/09 10,420 93
Receive fixed rate of 4.400% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Deutsche Bank) 05/31/12 13,126 154
Receive fixed rate of 4.813% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Merrill Lynch) 11/15/09 5,850 100
Receive fixed rate of 5.043% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Merrill Lynch) 11/30/09 4,060 86
Receive fixed rate of 7.160% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Lehman Brothers) 05/25/22 6,000 (5)
Receive fixed rate of 7.880% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Lehman Brothers) 06/04/22 4,170 91
Receive fixed rate of 7.910% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Lehman Brothers) 06/12/22 4,000 19
Receive fixed rate of 4.858% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Citigroup) 11/15/09 5,820 171
--------------
$ 2,696
==============
- --------------------------------------------------------------------------------
150 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
Percentages are based on Net Assets of $6,609,132 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of November 30, 2007.
+ Real Estate Investment Trust
++ Investment in Affiliated Security (see Note 3).
(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 November 30, 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 November 30, 2007. The coupon on a step bond changes on
a specified date.
(H) Securities considered illiquid. The total value of such securities as of
November 30, 2007 was $983 ($ 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
November 30, 2007 (see Note 9). The total value of securities on loan at
November 30, 2007 was $1,182,434 ($ 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 November 30,
2007 was $1,312,034 ($ 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
CDO -- Collateralized Debt Obligation
Cl -- Class
CMO -- Collateralized Mortgage Obligation
EUR -- Euro
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
L.P. -- Limited Partnership
Ltd. -- Limited
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
TIPS -- Treasury Inflated Protection Securities
USD -- U.S. Dollar
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 151
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund
November 30, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS+++:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Consumer Discretionary 20.8%
Financials 16.7%
Short-Term Investments 15.4%
Materials 7.9%
Telecommunication Services 7.5%
Industrials 7.1%
Energy 6.7%
Asset-Backed Securities 5.1%
Health Care 3.5%
Information Technology 3.2%
Utilities 3.1%
Consumer Staples 2.6%
Common Stock 0.2%
Preferred Stock 0.1%
Convertible Bonds 0.1%
+++ 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 -- 78.6%
CONSUMER DISCRETIONARY -- 23.2%
Adelphia Communications
(escrow security) (C)
10.250%, 06/15/11 $ 125 $ 21
7.875%, 05/01/09 75 12
7.750%, 01/15/09 250 39
Adelphia Communications,
Ser B PIK (escrow security) (C)
9.500%, 02/15/04 25 4
American Casino & Entertainment
7.850%, 02/01/12 25 26
American Greetings
7.375%, 06/01/16 700 672
Amscan Holdings
8.750%, 05/01/14 1,575 1,449
Aramark Services
8.500%, 02/01/15 2,795 2,805
8.411%, 02/22/08 (D) 325 315
Arvinmeritor (F)
8.750%, 03/01/12 1,900 1,795
Asbury Auto Group
7.625%, 03/15/17 125 113
Ashtead Holdings PLC (A)
8.625%, 08/01/15 195 --
Autonation (D)
7.243%, 01/15/08 680 639
Avis Budget Car Rental
7.750%, 05/15/16 725 684
7.369%, 02/15/08 (D) 615 569
Bausch & Lomb Optical Supplies (A)
9.875%, 11/01/15 725 734
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Beazer Homes USA
8.625%, 05/15/11 $ 275 $ 209
6.875%, 07/15/15 (F) 725 526
6.500%, 11/15/13 (F) 1,300 955
Blockbuster (F)
9.000%, 09/01/12 1,075 914
Bonten Media Acquisition PIK (A)
9.000%, 06/01/15 1,400 1,239
Boyd Gaming
7.125%, 02/01/16 2,650 2,524
6.750%, 04/15/14 1,275 1,214
Broder Brothers, Ser B
11.250%, 10/15/10 1,200 960
Brookstone (F)
12.000%, 10/15/12 595 565
Brown Shoe
8.750%, 05/01/12 1,025 1,045
Burlington Coat (F)
11.125%, 04/15/14 3,925 3,474
CCH I Holdings LLC (F)
11.750%, 05/15/14 (B) 150 102
9.920%, 04/01/14 1,600 1,020
CCH I LLC (F)
11.000%, 10/01/15 10,732 9,337
11.000%, 10/01/15 350 304
CCH II LLC
10.250%, 09/15/10 2,345 2,316
CCH II LLC, Ser B
10.250%, 09/15/10 25 25
CCO Holdings LLC
8.750%, 11/15/13 2,820 2,757
CSC Holdings
7.875%, 12/15/07 175 175
7.625%, 07/15/18 510 464
7.250%, 07/15/08 225 226
CSC Holdings, Ser B
8.125%, 08/15/09 275 278
Cablevision Systems, Ser B
9.644%, 04/03/08 (D) 1,238 1,257
8.000%, 04/15/12 2,315 2,205
Caesars Entertainment
8.875%, 09/15/08 400 408
7.875%, 03/15/10 75 77
Canwest Media
8.000%, 09/15/12 775 719
Carrols
9.000%, 01/15/13 1,375 1,268
Charter Communications Holdings
LLC (A)
8.000%, 04/30/12 175 171
- --------------------------------------------------------------------------------
152 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Choctaw Resort Development
Entity (A)
7.250%, 11/15/19 $ 962 $ 919
Cinemark (B)
7.960%, 03/15/14 425 395
Claire's Stores (A) (F)
10.500%, 06/01/17 7,175 4,556
9.250%, 06/01/15 900 684
Claire's Stores PIK (A) (F)
9.625%, 06/01/15 2,745 2,004
Clear Channel Communications
4.625%, 01/15/08 2,300 2,296
Community Health System
8.875%, 07/15/15 250 253
Cooper Standard Auto
8.375%, 12/15/14 1,400 1,162
Couche-Tard US
7.500%, 12/15/13 2,283 2,260
Dana (C) (F)
7.000%, 03/15/28 200 146
7.000%, 03/01/29 1,000 770
6.500%, 03/15/08 100 73
6.500%, 03/01/09 275 220
Delphi
7.125%, 05/01/29 (C) 675 462
6.550%, 06/15/06 450 304
6.500%, 05/01/09 (C) (F) 2,675 1,859
Dex Media
8.797%, 11/15/13 (B) 1,625 1,491
8.788%, 11/15/13 (B) 2,635 2,418
8.000%, 11/15/13 800 764
Dex Media West, Ser B
9.875%, 08/15/13 970 1,008
9.875%, 08/15/13 3,790 3,937
8.500%, 08/15/10 850 865
DirecTV Holdings
8.375%, 03/15/13 2,306 2,392
6.375%, 06/15/15 5,640 5,457
Easton-Bell Sports
8.375%, 10/01/12 2,040 1,877
Echostar DBS
7.125%, 02/01/16 2,690 2,801
7.000%, 10/01/13 1,770 1,832
6.625%, 10/01/14 1,645 1,666
5.750%, 10/01/08 1,825 1,823
El Dorado Casino Shreveport PIK (F)
1.973%, 08/01/12 1,102 1,102
Eye Care Centers of America
10.750%, 02/15/15 600 639
Federal-Mogul
7.750%, 07/01/06 (C) (F) 975 799
7.700%, 01/15/09 (F) 200 164
7.375%, 01/15/06 (C) 275 226
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Federal-Mogul MTN A (C)
8.370%, 11/15/01 $ 300 $ 246
Festival Fun Park LLC
10.875%, 04/15/14 2,324 2,341
Fontainebleau Las Vegas (A) (F)
10.250%, 06/15/15 5,825 5,155
Ford Motor
8.900%, 01/15/32 850 663
8.875%, 01/15/22 50 41
7.450%, 07/16/31 976 737
6.500%, 08/01/18 (F) 2,245 1,687
General Motors (F)
8.375%, 07/15/33 10,649 8,839
8.250%, 07/15/23 4,067 3,335
7.700%, 04/15/16 1,851 1,583
7.125%, 07/15/13 2,025 1,762
General Nutrition Center PIK
10.009%, 03/15/14 550 522
Goodyear Tire & Rubber
11.000%, 03/01/11 840 895
9.000%, 07/01/15 23 24
8.625%, 12/01/11 (F) 977 1,021
7.857%, 08/15/11 800 816
Great Canadian Gaming (A)
7.250%, 02/15/15 275 270
Group 1 Automotive
8.250%, 08/15/13 475 468
HCA
9.250%, 11/15/16 540 559
9.125%, 11/15/14 802 820
HCA PIK
9.625%, 11/15/16 6,755 7,025
Hanesbrands, Ser B (D)
8.784%, 12/15/07 3,235 3,186
Harrah's Operating
8.000%, 02/01/11 625 622
5.500%, 07/01/10 100 95
Herbst Gaming
8.125%, 06/01/12 975 682
7.000%, 11/15/14 1,375 907
Hertz
10.500%, 01/01/16 1,350 1,397
8.875%, 01/01/14 1,525 1,525
8.875%, 01/01/14 1,372 1,372
Idearc
8.000%, 11/15/16 2,630 2,459
Indianapolis Downs (A)
11.000%, 11/01/12 900 877
Inn of the Mountain Gods
12.000%, 11/15/10 225 235
Isle of Capri Casinos
7.000%, 03/01/14 3,275 2,800
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 153
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Jarden
7.500%, 05/01/17 $ 3,605 $ 3,244
Jo-Ann Stores
7.500%, 03/01/12 350 308
LBI Media (B)
13.455%, 10/15/13 625 578
LIN Television
6.500%, 05/15/13 2,725 2,575
LIN Televison, Ser B
6.500%, 05/15/13 1,250 1,181
Lamar Media
7.250%, 01/01/13 500 494
6.625%, 08/15/15 2,700 2,565
6.625%, 08/15/15 (A) 600 570
Lamar Media, Ser B
6.625%, 08/15/15 350 332
Leslie's Poolmart
7.750%, 02/01/13 525 496
MGM Mirage
8.375%, 02/01/11 1,275 1,304
7.500%, 06/01/16 4,480 4,402
6.875%, 04/01/16 (F) 2,020 1,901
6.750%, 04/01/13 1,600 1,544
5.875%, 02/27/14 2,670 2,420
Majestic Star Casino LLC
9.500%, 10/15/10 2,275 2,190
Majestic Star II LLC
9.750%, 01/15/11 875 691
Mandalay Resort Group
9.375%, 02/15/10 525 542
MediMedia USA (A)
11.375%, 11/15/14 725 747
MediaNews Group
6.875%, 10/01/13 100 65
6.375%, 04/01/14 150 96
Mediacom Broadband LLC
8.500%, 10/15/15 3,400 3,026
Mediacom LLC
9.500%, 01/15/13 2,970 2,762
Michaels Stores
11.375%, 11/01/16 2,300 2,191
10.000%, 11/01/14 (F) 450 443
Mohegan Tribal Gaming
7.125%, 08/15/14 75 72
6.875%, 02/15/15 1,300 1,202
6.125%, 02/15/13 250 238
NPC International
9.500%, 05/01/14 175 156
Neff (F)
10.000%, 06/01/15 1,600 960
Neiman Marcus Group (F)
10.375%, 10/15/15 561 596
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Neiman Marcus Group PIK
9.000%, 10/15/15 $ 1,540 $ 1,602
Nexstar Finance
7.000%, 01/15/14 1,800 1,669
Nexstar Holdings LLC (B)
5.081%, 04/01/13 585 579
Outback Steakhouse (A)
10.000%, 06/15/15 3,275 2,612
Penhall International (A)
12.000%, 08/01/14 750 690
Penn National Gaming
6.875%, 12/01/11 925 923
6.750%, 03/01/15 2,065 2,091
Penske Auto Group (A)
7.750%, 12/15/16 1,500 1,425
Perry Ellis International, Ser B
8.875%, 09/15/13 1,544 1,498
Petro Stopping Centers
9.000%, 02/15/12 225 234
Phillips-Van Heusen
8.125%, 05/01/13 375 382
7.250%, 02/15/11 75 75
Pokagon Gaming Authority (A)
10.375%, 06/15/14 575 615
Quebecor Media
7.750%, 03/15/16 1,025 956
7.750%, 03/15/16 (A) 5,190 4,840
RH Donnelley
6.875%, 01/15/13 350 319
RH Donnelley, Ser A-1
6.875%, 01/15/13 1,925 1,757
RH Donnelley, Ser A-2
6.875%, 01/15/13 1,675 1,528
RH Donnelley, Ser A-3
8.875%, 01/15/16 1,275 1,205
RH Donnellley (A)
8.875%, 10/15/17 6,750 6,362
RJ Tower (C) (F)
12.000%, 06/01/13 425 9
RSC Equipment Rental (F)
9.500%, 12/01/14 3,340 3,098
ReAble Therapeutics Financial (A)
10.875%, 11/15/14 2,050 1,973
Rent-A-Center, Ser B
7.500%, 05/01/10 2,575 2,446
SGS International
12.000%, 12/15/13 1,650 1,633
Sally Holdings LLC (F)
10.500%, 11/15/16 405 403
9.250%, 11/15/14 2,210 2,199
Sbarro (F)
10.375%, 02/01/15 200 174
- --------------------------------------------------------------------------------
154 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Sealy Mattress
8.250%, 06/15/14 $ 3,525 $ 3,463
Service
7.375%, 10/01/14 (F) 2,038 2,018
7.000%, 06/15/17 1,225 1,155
6.750%, 04/01/15 1,765 1,712
Service International
7.625%, 10/01/18 827 821
6.750%, 04/01/16 1,725 1,630
Shingle Springs Tribal Group (A)
9.375%, 06/15/15 675 661
Simmons (F)
10.694%, 12/15/14 (B) 4,950 3,910
7.875%, 01/15/14 1,200 1,122
Sinclair Broadcast Group (A) (B)
4.875%, 07/15/18 400 372
Sinclair Television Group
8.000%, 03/15/12 15 15
Six Flags (F)
9.625%, 06/01/14 1,225 888
Sonic Automotive, Ser B
8.625%, 08/15/13 2,580 2,551
Stanadyne Holdings (B)
9.570%, 02/15/15 1,500 1,170
Stanadyne, Ser 1
10.000%, 08/15/14 475 463
Standard Pacific
7.750%, 03/15/13 (F) 325 214
7.000%, 08/15/15 50 --
Station Casinos
6.875%, 03/01/16 3,230 2,572
6.625%, 03/15/18 325 246
6.625%, 03/15/18 3,450 2,613
Steinway Musical Instruments (A)
7.000%, 03/01/14 5,310 4,832
Stewart Enterprises
6.250%, 02/15/13 890 845
Sun Media
7.625%, 02/15/13 2,040 1,958
TRW Automotive (A)
7.000%, 03/15/14 3,025 2,828
TRW Automotive (A) (F)
7.250%, 03/15/17 5,230 4,851
Tenneco (F)
8.625%, 11/15/14 4,304 4,288
Town Sports International (B)
8.490%, 02/01/14 1,454 1,367
Travelport LLC
11.875%, 09/01/16 (F) 3,685 3,906
10.246%, 09/01/14 (D) 2,044 2,003
9.875%, 09/01/14 415 419
United Components
9.375%, 06/15/13 805 793
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
United Rentals North America
7.000%, 02/15/14 $ 450 $ 400
6.500%, 02/15/12 (F) 2,340 2,229
Universal City Florida (D)
9.661%, 02/01/08 2,823 2,851
Univision Communications
PIK (A) (F)
9.750%, 03/15/15 3,725 3,464
Vail Resorts
6.750%, 02/15/14 3,080 3,011
Vicorp Restaurants
10.500%, 04/15/11 50 29
Videotron
6.875%, 01/15/14 4,120 3,945
Visant Holding
10.548%, 12/01/13 (B) 4,880 4,490
8.750%, 12/01/13 (F) 1,775 1,771
Visteon (F)
8.250%, 08/01/10 1,425 1,268
7.000%, 03/10/14 790 610
WMG Acquisition
7.375%, 04/15/14 3,655 3,066
Wynn Las Vegas LLC
6.625%, 12/01/14 3,014 2,924
--------------
320,133
--------------
CONSUMER STAPLES -- 2.8%
B&G Foods
8.000%, 10/01/11 500 485
Constellation Brands
8.375%, 12/15/14 1,705 1,718
7.250%, 05/15/17 (A) 3,150 2,929
7.250%, 09/01/16 (F) 5,970 5,582
Dean Foods
7.000%, 06/01/16 450 398
Del Laboratories
9.911%, 01/28/08 (D) 450 450
8.000%, 02/01/12 (F) 3,365 3,340
Del Monte
6.750%, 02/15/15 1,760 1,654
Dole Foods
7.250%, 06/15/10 1,275 1,167
Elizabeth Arden
7.750%, 01/15/14 1,425 1,393
Fleming (C)
10.125%, 04/01/08 983 49
9.250%, 06/15/10 188 9
Merisant
9.500%, 07/15/13 2,075 1,650
Merisant Worldwide (B)
8.171%, 05/15/14 1,100 457
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 155
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Michael Foods
8.000%, 11/15/13 $ 3,150 $ 3,118
NBTY
7.125%, 10/01/15 2,462 2,413
Natural Beef Pack
10.500%, 08/01/11 1,213 1,174
Pantry
7.750%, 02/15/14 1,875 1,734
Rite Aid
9.500%, 06/15/17 (A) 4,015 3,453
9.375%, 12/15/15 (A) 1,475 1,276
9.250%, 06/01/13 1,000 910
8.625%, 03/01/15 1,000 845
7.700%, 02/15/27 150 107
7.500%, 01/15/15 25 23
6.875%, 08/15/13 100 78
6.875%, 12/15/28 350 242
Spectrum Brands (F)
7.375%, 02/01/15 2,660 1,928
SuperValu
7.500%, 11/15/14 800 826
--------------
39,408
--------------
ENERGY -- 7.5%
Allis-Chalmers Energy
9.000%, 01/15/14 5,063 5,063
Atlas Pipeline Partners
8.125%, 12/15/15 350 343
Aventine Renewable Energy
10.000%, 04/01/17 700 627
Baytex Energy
9.625%, 07/15/10 525 542
Brigham Exploration
9.625%, 05/01/14 1,000 933
Chaparral Energy
8.875%, 02/01/17 (A) 625 556
8.500%, 12/01/15 2,238 1,981
Chesapeake Energy
7.750%, 01/15/15 2,200 2,244
7.500%, 06/15/14 719 735
7.000%, 08/15/14 1,851 1,851
6.875%, 01/15/16 2,773 2,724
6.500%, 08/15/17 745 715
Cimarex Energy
7.125%, 05/01/17 2,250 2,205
Colorado Interstate Gas
6.800%, 11/15/15 125 132
5.950%, 03/15/15 250 251
Compagnie Generale de Geophysique
7.750%, 05/15/17 250 251
7.500%, 05/15/15 1,225 1,234
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Compton Pet Finance
7.625%, 12/01/13 $ 350 $ 327
Comstock Resources
6.875%, 03/01/12 50 47
Connacher Oil & Gas (A)
10.250%, 12/15/15 1,375 1,375
Denbury Resources
7.500%, 04/01/13 3,465 3,526
7.500%, 12/15/15 2,415 2,445
Dynegy Holdings
8.375%, 05/01/16 675 649
7.750%, 06/01/19 400 360
7.750%, 06/01/19 (A) 6,550 5,895
7.500%, 06/01/15 550 506
7.500%, 06/01/15 (A) 1,445 1,329
El Paso
7.420%, 02/15/37 900 855
7.000%, 06/15/17 (F) 1,675 1,679
El Paso MTN
8.050%, 10/15/30 150 154
7.800%, 08/01/31 1,450 1,449
7.750%, 01/15/32 (F) 1,750 1,748
El Paso Performance-Linked Trust (A)
7.750%, 07/15/11 450 471
Encore Acquisition
7.250%, 12/01/17 850 810
6.000%, 07/15/15 600 540
Energy Partners
10.368%, 01/15/08 (D) 425 412
9.750%, 04/15/14 1,425 1,361
Forest Oil
8.000%, 06/15/08 180 181
8.000%, 12/15/11 1,825 1,889
7.250%, 06/15/19 (A) 525 520
Frigstad Discoverer (A)
11.500%, 02/21/12 900 961
Frontier Oil
6.625%, 10/01/11 825 819
Hilcorp Energy (A)
9.000%, 06/01/16 750 765
7.750%, 11/01/15 (F) 4,275 4,136
Holly Energy Partners LP
6.250%, 03/01/15 1,200 1,107
Inergy LP
6.875%, 12/15/14 300 290
Key Energy Services (A)
8.375%, 12/01/14 650 652
MarkWest Energy, Ser B
8.500%, 07/15/16 2,325 2,331
6.875%, 11/01/14 1,500 1,414
McMoRan Exploration
11.875%, 11/15/14 150 150
- --------------------------------------------------------------------------------
156 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Newfield Exploration
6.625%, 04/15/16 $ 1,730 $ 1,695
Northwest Pipeline
7.000%, 06/15/16 225 244
5.950%, 04/15/17 275 281
OPTI Canada (A)
8.250%, 12/15/14 2,350 2,315
7.875%, 12/15/14 910 887
PHI
7.125%, 04/15/13 125 121
Pacific Energy Partner
7.125%, 06/15/14 200 209
6.250%, 09/15/15 100 101
Parker Drilling
9.625%, 10/01/13 639 681
Peabody Energy
7.375%, 11/01/16 1,140 1,168
Peabody Energy, Ser B
6.875%, 03/15/13 2,500 2,506
PetroProd
10.850%, 05/24/13 900 891
Petrohawk Energy
9.125%, 07/15/13 2,520 2,646
Plains Exploration
7.750%, 06/15/15 875 866
7.000%, 03/15/17 850 808
Pride International
7.375%, 07/15/14 1,391 1,426
Quicksilver Resources
7.125%, 04/01/16 1,225 1,182
Range Resources
6.375%, 03/15/15 350 341
SESI LLC
6.875%, 06/01/14 950 917
Sabine Pass LNG L.P.
7.500%, 11/30/16 1,920 1,814
7.250%, 11/30/13 1,550 1,492
Southern Natural Gas
7.350%, 02/15/31 375 403
Swift Energy
7.625%, 07/15/11 3,100 3,100
Tesoro
6.625%, 11/01/15 1,655 1,638
6.500%, 06/01/17 (A) 1,175 1,160
Transcontinental Gas Pipe
6.400%, 04/15/16 150 157
United Refining
10.500%, 08/15/12 850 867
Veneco
8.750%, 12/15/11 2,525 2,506
VeraSun Energy (A)
9.375%, 06/01/17 475 390
Whiting Petroleum
7.000%, 02/01/14 1,030 999
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Williams
8.125%, 03/15/12 (F) $ 505 $ 550
7.750%, 06/15/31 1,045 1,155
6.375%, 10/01/10 (A) 725 735
Williams Partners LP
7.250%, 02/01/17 3,285 3,367
--------------
103,158
--------------
FINANCIALS -- 8.9%
AAC Group Holding (B) (F)
2.532%, 10/01/12 1,080 929
AAC Group Holding PIK
12.750%, 10/01/12 825 775
ACE Cash Express (A)
10.250%, 10/01/14 675 670
ALH Finance LLC
8.500%, 01/15/13 3,375 3,172
Alamosa Delaware
8.500%, 01/31/12 1,665 1,724
Algoma Acquisition (A)
9.875%, 06/15/15 750 600
Alliant Holdings (A)
11.000%, 05/01/15 1,925 1,829
American Real Estate (A)
7.125%, 02/15/13 4,300 4,020
Armstrong World (C) (F)
7.450%, 05/15/29 525 3
Ashtead Capital (A) (F)
9.000%, 08/15/16 2,159 1,900
Biomet (A)
11.625%, 10/15/17 100 99
10.000%, 10/15/17 375 379
Biomet PIK (A)
10.375%, 10/15/17 3,705 3,686
Cardtronics
9.250%, 08/15/13 150 144
9.250%, 08/15/13 (A) 350 336
Deluxe
7.375%, 06/01/15 200 199
FMC Finance III (A)
6.875%, 07/15/17 1,910 1,872
FTI Consulting
7.750%, 10/01/16 175 182
7.625%, 06/15/13 425 434
Felcor Lodging LP+
8.500%, 06/01/11 245 258
7.260%, 04/30/08 (D) 200 198
Ford Motor Credit LLC
9.750%, 09/15/10 (F) 812 789
9.693%, 01/17/08 (D) 3,340 3,307
8.000%, 12/15/16 5,375 4,703
7.993%, 01/13/08 (D) 275 240
7.800%, 06/01/12 4,500 4,011
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 157
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
7.375%, 10/28/09 $ 600 $ 568
7.375%, 02/01/11 650 593
7.250%, 10/25/11 1,965 1,774
7.000%, 10/01/13 4,562 3,984
6.813%, 01/18/08 (D) 680 639
GMAC LLC
8.000%, 11/01/31 1,418 1,203
7.821%, 12/25/07 (D) 622 510
7.750%, 01/19/10 175 166
7.250%, 03/02/11 925 819
7.000%, 02/01/12 100 87
6.875%, 09/15/11 3,375 2,949
6.875%, 08/28/12 5,355 4,553
6.750%, 12/01/14 7,565 6,223
6.625%, 05/15/12 1,325 1,123
6.000%, 12/15/11 250 212
HUB International Holdings (A)
9.000%, 12/15/14 2,430 2,187
Hawker Beechcraft Acquisition (A) (F)
9.750%, 04/01/17 950 961
Hawker Beechcraft Acquisition PIK (A)
8.875%, 04/01/15 25 25
Hellas II (A) (D)
10.993%, 12/21/07 2,100 2,163
Hexion US Fin/Nova Scotia
9.750%, 11/15/14 2,500 2,687
9.369%, 02/15/08 (D) 750 765
Host Hotels & Resorts LP+
6.875%, 11/01/14 1,385 1,375
Host Marriott LP+
7.125%, 11/01/13 735 737
Host Marriott LP, Ser M+
7.000%, 08/15/12 375 375
Host Marriott LP, Ser O+
6.375%, 03/15/15 575 562
Host Marriott LP, Ser Q+
6.750%, 06/01/16 1,905 1,891
Ipayment
9.750%, 05/15/14 1,100 1,051
KAR Holdings (A)
10.000%, 05/01/15 2,500 2,269
9.356%, 05/01/14 (D) 800 728
8.750%, 05/01/14 2,580 2,386
Marlin Water Trust II (A) (C)
6.310%, 07/15/03 4,000 310
NSG Holdings LLC (A)
7.750%, 12/15/25 450 444
Nielsen Finance LLC
12.500%, 08/01/16 (B) 500 346
10.000%, 08/01/14 3,375 3,434
Nuveen Investments (A)
10.500%, 11/15/15 5,660 5,589
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Omega Healthcare Investors+
7.000%, 01/15/16 $ 825 $ 817
PNA Intermediate Holding PIK (A)
11.869%, 02/15/08 475 437
PXRE Capital Trust I
8.850%, 02/01/27 1,400 1,400
Petroplus Finance
7.000%, 05/01/17 500 456
7.000%, 05/01/17 (A) 3,690 3,395
6.750%, 05/01/14 1,500 1,413
6.750%, 05/01/14 (A) 1,455 1,353
Pinnacle Foods Finance LLC (A)
10.625%, 04/01/17 2,100 1,848
9.250%, 04/01/15 850 769
Realogy (A)
12.375%, 04/15/15 150 98
10.500%, 04/15/14 (F) 1,000 753
Regency Energy Partners
8.375%, 12/15/13 520 543
Residential Capital LLC
7.875%, 06/30/10 200 133
7.125%, 11/21/08 1,625 1,267
Residential Capital LLC (D) (F)
6.224%, 06/09/08 1,525 1,281
Rouse LP+ (A)
6.750%, 05/01/13 700 653
SLM MTN (D) (G)
4.660%, 12/17/07 3,073 3,073
Senior Housing Properties Trust+
7.875%, 04/15/15 645 674
Snoqualmie Enterprises Authority (A)
9.125%, 02/01/15 1,350 1,299
9.063%, 02/01/08 (D) 275 263
Tenneco (A)
8.125%, 11/15/15 1,045 1,043
Trains HY, Ser 2006-1 (A)
7.548%, 05/01/16 3,041 2,936
Trustreet Properties+
7.500%, 04/01/15 925 1,018
Universal City Development
11.750%, 04/01/10 1,350 1,397
Ventas Realty L.P.+
7.125%, 06/01/15 500 498
6.750%, 04/01/17 775 765
6.625%, 10/15/14 375 370
Yankee Acquisition, Ser B
9.750%, 02/15/17 50 46
8.500%, 02/15/15 825 763
--------------
122,908
--------------
HEALTH CARE -- 3.9%
Advanced Mecial Optics
7.500%, 05/01/17 2,875 2,616
- --------------------------------------------------------------------------------
158 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Bio-Rad Laboratories
7.500%, 08/15/13 $ 175 $ 176
6.125%, 12/15/14 775 748
CRC Health
10.750%, 02/01/16 1,925 2,021
Community Health Systems (A)
8.875%, 07/15/15 3,885 3,924
Cooper
7.125%, 02/15/15 3,190 3,110
Fresenius Medical Capital Trust II
7.875%, 02/01/08 1,076 1,076
Fresenius Medical Capital Trust IV
7.875%, 06/15/11 2,620 2,705
HCA
9.250%, 11/15/16 (A) 11,583 11,988
8.750%, 09/01/10 480 481
6.750%, 07/15/13 555 488
6.500%, 02/15/16 300 250
MedCath Holdings (F)
9.875%, 07/15/12 1,055 1,103
NMH Holdings PIK (A)
12.819%, 12/15/07 650 627
Norcross Safety Products, Ser B
9.875%, 08/15/11 1,225 1,262
Psychiatric Solutions
7.750%, 07/15/15 2,125 2,072
ReAble Therapeutics
11.750%, 11/15/14 575 526
Res-Care
7.750%, 10/15/13 625 619
Select Medical
11.259%, 03/29/08 (D) (F) 675 574
7.625%, 02/01/15 1,100 935
Spheris
11.000%, 12/15/12 1,400 1,316
Sun Healthcare
9.125%, 04/15/15 375 376
Surgical Care Affiliates PIK (A)
8.875%, 07/15/15 900 824
Tenet Healthcare
9.875%, 07/01/14 150 141
9.250%, 02/01/15 (F) 4,965 4,580
US Oncology
10.750%, 08/15/14 3,714 3,640
9.000%, 08/15/12 650 640
United Surgical Partners (F)
8.875%, 05/01/17 1,445 1,409
United Surgical Partners PIK
9.250%, 05/01/17 3,015 2,902
Universal Hospital Services (A) (D)
8.759%, 12/01/07 200 197
Universal Hospital Services PIK (A)
8.500%, 06/01/15 275 275
--------------
53,601
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
INDUSTRIALS -- 7.9%
ACCO Brands
7.625%, 08/15/15 $ 4,315 $ 3,862
ACIH (A) (B) (F)
13.946%, 12/15/12 900 531
AGY Holding (A)
11.000%, 11/15/14 800 772
Actuant (A)
6.875%, 06/15/17 2,000 1,950
Ahern Rentals
9.250%, 08/15/13 1,725 1,475
Ainsworth Lumber
7.250%, 10/01/12 275 162
6.750%, 03/15/14 (F) 900 522
Aleris International
10.000%, 12/15/16 1,775 1,491
Aleris International PIK
9.000%, 12/15/14 75 65
Alliant Techsystems
6.750%, 04/01/16 425 421
Allied Waste North America
7.250%, 03/15/15 345 343
6.125%, 02/15/14 (F) 1,945 1,872
Allied Waste North America,
Ser B (F)
7.375%, 04/15/14 650 652
7.125%, 05/15/16 595 594
Allison Transmission (A) (F)
11.000%, 11/01/15 1,200 1,155
Allison Transmission PIK (A) (F)
11.250%, 11/01/15 900 839
Altos Hornos de Mexico, Ser A (C)
11.375%, 04/30/02 525 382
Altos Hornos de Mexico, Ser B (C)
11.875%, 04/30/04 975 709
American Airlines, Ser 01-1 (F)
7.379%, 05/23/16 117 109
American Axle & Manufacturing
7.875%, 03/01/17 1,450 1,341
American Railcar Industries
7.500%, 03/01/14 325 309
Ames True Temper
10.000%, 07/15/12 (F) 1,245 815
9.243%, 01/15/08 (D) 1,220 1,141
Associated Materials (B) (F)
15.343%, 03/01/14 600 390
Baker & Taylor (A)
11.500%, 07/01/13 925 925
Baldor Electric
8.625%, 02/15/17 925 948
Basell (A) (F)
8.375%, 08/15/15 1,325 1,116
Belden
7.000%, 03/15/17 175 172
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 159
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Buffalo Thunder Development
Authority (A) (F)
9.375%, 12/15/14 $ 2,100 $ 1,890
Buhrmann US
8.250%, 07/01/14 1,650 1,576
7.875%, 03/01/15 600 566
Chart Industries
9.125%, 10/15/15 325 336
Cornell
10.750%, 07/01/12 475 507
Corrections Corp of America
7.500%, 05/01/11 1,000 1,012
6.750%, 01/31/14 785 788
6.250%, 03/15/13 2,838 2,803
D.R. Horton
5.625%, 09/15/14 1,035 875
DRS Technologies
7.625%, 02/01/18 925 941
6.875%, 11/01/13 300 296
6.625%, 02/01/16 775 763
Delta Air Lines, Ser 2002-1 (C) (F)
8.300%, 12/15/29 850 57
Delta Air Lines, Ser 2002-1, Cl C (F)
7.779%, 01/02/12 769 754
ESCO (A)
9.569%, 12/15/07 (D) 125 124
8.625%, 12/15/13 705 709
Education Management LLC (F)
10.250%, 06/01/16 2,450 2,499
General Cable
7.125%, 04/01/17 410 404
Goodman Global Holdings
7.875%, 12/15/12 4,555 4,669
Goodman Global Holdings, Ser B (D)
8.498%, 12/15/07 1,390 1,388
Graftech Finance
10.250%, 02/15/12 782 805
Gulfmark Offshore
7.750%, 07/15/14 1,304 1,317
Indalex Holding, Ser B
11.500%, 02/01/14 526 480
Interface
9.500%, 02/01/14 275 286
Interline Brands
8.125%, 06/15/14 1,370 1,349
Iron Mountain
8.750%, 07/15/18 (F) 565 590
8.625%, 04/01/13 613 618
7.750%, 01/15/15 2,550 2,563
6.625%, 01/01/16 (F) 5,480 5,172
J.B. Poindexter (F)
8.750%, 03/15/14 400 332
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
K. Hovnanian Enterprises
8.625%, 01/15/17 (F) $ 1,825 $ 1,341
7.500%, 05/15/16 525 378
6.250%, 01/15/16 325 226
L-3 Communications
6.125%, 07/15/13 685 671
5.875%, 01/15/15 (F) 3,377 3,242
L-3 Communications, Ser B
6.375%, 10/15/15 3,456 3,421
Language Line
11.125%, 06/15/12 1,875 1,959
MAAX (F)
9.750%, 06/15/12 300 78
Meritage Homes
7.000%, 05/01/14 500 383
Millar Western Forest
7.750%, 11/15/13 257 191
Mobile Mini
6.875%, 05/01/15 800 724
Mobile Services Group (A)
9.750%, 08/01/14 425 387
Mueller Water Products
7.375%, 06/01/17 1,050 932
NCL
10.625%, 01/15/08 475 477
NTK Holdings (F)
5.653%, 03/01/14 850 502
Nebraska Book
8.625%, 03/15/12 250 243
Noble Group (A)
6.625%, 03/17/15 475 441
Nortek
8.500%, 09/01/14 925 749
Northwest Airlines (C)
10.000%, 02/01/09 175 7
8.875%, 06/01/06 (F) 1,500 58
7.875%, 03/15/08 175 7
7.625%, 11/15/23 1,175 44
Park-Ohio Industries
8.375%, 11/15/14 775 671
Ply Gem
9.000%, 02/15/12 650 517
Propex Fabrics
10.000%, 12/01/12 200 94
Quality Distributors
9.000%, 11/15/10 800 736
Quebecor World Capital (A)
8.750%, 03/15/16 3,760 2,829
RBS Global & Rexnord
11.750%, 08/01/16 (F) 450 450
9.500%, 08/01/14 550 545
8.875%, 09/01/16 2,090 2,027
- --------------------------------------------------------------------------------
160 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Rainbow National Services LLC (A)
10.375%, 09/01/14 $ 308 $ 333
8.750%, 09/01/12 1,210 1,234
Saint Acquisition (A) (F)
12.500%, 05/15/17 2,150 1,139
Stallion Oilfield Services (A)
9.750%, 02/01/15 3,000 2,760
Sunstate Equipment (A)
10.500%, 04/01/13 730 679
Superior Essex Com & Essex Group
9.000%, 04/15/12 600 581
Terex
8.000%, 11/15/17 6,265 6,296
7.375%, 01/15/14 830 834
Titan International
8.000%, 01/15/12 2,640 2,640
Transdigm
7.750%, 07/15/14 1,350 1,363
Tube City IMS
9.750%, 02/01/15 750 713
UCI Holdco PIK (A)
0.488%, 12/15/07 695 678
United Air Lines (C)
9.125%, 01/15/12 625 5
United Air Lines, Ser 95A1 (C)
9.020%, 04/19/12 739 414
United Air Lines, Ser A
10.670%, 05/01/04 325 2
Vanguard Health Holdings I (B)
8.680%, 10/01/15 225 165
Vanguard Health Holdings II (F)
9.000%, 10/01/14 1,700 1,611
Visant
7.625%, 10/01/12 510 510
Wimar Opco LLC (A)
9.625%, 12/15/14 1,400 977
--------------
108,796
--------------
INFORMATION TECHNOLOGY -- 3.6%
Activant Solution
9.500%, 05/01/16 1,900 1,629
Advanced Micro Devices (F)
7.750%, 11/01/12 1,085 1,001
Amkor Technologies (F)
9.250%, 06/01/16 1,250 1,253
Compucom Systems (A)
12.500%, 10/01/15 950 936
First Data (A)
9.875%, 09/24/15 865 805
Flextronics International
6.250%, 11/15/14 1,400 1,332
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Freescale Semiconductor
10.125%, 12/15/16 (F) $ 5,860 $ 5,025
9.569%, 12/15/07 (D) 250 223
8.875%, 12/15/14 780 713
Freescale Semiconductor PIK
9.125%, 12/15/14 6,130 5,348
Magnachip Semiconductor (F)
6.875%, 12/15/11 425 360
NXP Funding LLC
9.500%, 10/15/15 (F) 4,730 4,304
7.993%, 01/12/08 (A) (D) 1,000 945
7.875%, 10/15/14 3,415 3,278
Open Solutions (A)
9.750%, 02/01/15 4,150 3,860
Sanmina-SCI (F)
8.444%, 12/15/07 (A) (D) 2,000 1,963
8.125%, 03/01/16 1,650 1,460
Seitel
9.750%, 02/15/14 1,800 1,557
Sensata Technologies (F)
8.000%, 05/01/14 2,610 2,427
Smart Modular (D)
10.731%, 01/01/08 760 798
Sungard Data Systems
10.250%, 08/15/15 (F) 9,380 9,661
9.125%, 08/15/13 615 626
Viasystems
10.500%, 01/15/11 375 375
--------------
49,879
--------------
MATERIALS -- 8.9%
AK Steel
7.750%, 06/15/12 1,950 1,945
Abitibi-Consolidated
8.550%, 08/01/10 2,000 1,740
8.375%, 04/01/15 300 225
6.950%, 04/01/08 125 123
Appleton Papers
8.125%, 06/15/11 300 294
Appleton Papers, Ser B
9.750%, 06/15/14 1,075 1,052
Arch Western Finance
6.750%, 07/01/13 9,415 9,109
Ball
6.625%, 03/15/18 1,250 1,234
Bowater
9.500%, 10/15/12 475 380
8.694%, 12/15/07 (D) 2,575 2,266
Bowater Canada Finance
7.950%, 11/15/11 650 509
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 161
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Bway
10.000%, 10/15/10 $ 650 $ 653
CII Carbon (A)
11.125%, 11/15/15 325 320
Cascades
7.250%, 02/15/13 625 587
Catalyst Paper
7.375%, 03/01/14 338 254
Catalyst Paper, Ser D
8.625%, 06/15/11 1,015 842
Claymont Steel
8.875%, 02/15/15 150 137
Crown Americas (F)
7.750%, 11/15/15 1,711 1,745
Crown Cork & Seal
8.000%, 04/15/23 1,525 1,411
Domtar
9.500%, 08/01/16 250 268
7.125%, 08/15/15 1,750 1,724
Equistar Chemical
10.125%, 09/01/08 163 169
FMG Finance (A)
10.625%, 09/01/16 2,995 3,444
10.000%, 09/01/13 350 385
Freeport-McMoRan Copper & Gold
8.394%, 04/01/15 (D) 1,200 1,221
8.375%, 04/01/17 7,000 7,560
Georgia Gulf
7.125%, 12/15/13 300 239
Georgia-Pacific
8.125%, 05/15/11 950 967
8.000%, 01/15/24 (F) 1,225 1,155
7.700%, 06/15/15 (F) 1,575 1,532
7.125%, 01/15/17 (A) (F) 2,195 2,102
7.000%, 01/15/15 (A) 2,675 2,568
Graham Packaging (F)
9.875%, 10/15/14 3,490 3,202
Huntsman International LLC
7.875%, 11/15/14 1,355 1,453
Huntsman LLC
11.625%, 10/15/10 255 270
11.500%, 07/15/12 1,440 1,555
INEOS Group Holdings PLC (A) (F)
8.500%, 02/15/16 3,810 3,429
Innophos
8.875%, 08/15/14 500 498
Innophos Holdings (A)
9.500%, 04/15/12 700 689
Intertape Polymer
8.500%, 08/01/14 450 411
Jefferson Smurfit
8.250%, 10/01/12 2,850 2,821
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Lyondell Chemical
10.500%, 06/01/13 $ 995 $ 1,065
8.000%, 09/15/14 942 1,067
6.875%, 06/15/17 (F) 4,730 5,369
MacDermid (A) (F)
9.500%, 04/15/17 1,050 953
Methanex
6.000%, 08/15/15 175 171
Millennium America
7.625%, 11/15/26 200 178
Momentive Performance (A)
11.500%, 12/01/16 (F) 3,480 3,088
9.750%, 12/01/14 955 886
Mosaic (A)
7.625%, 12/01/16 2,750 2,942
7.375%, 12/01/14 625 659
Mosaic Global Holdings
7.300%, 01/15/28 325 322
Nalco
8.875%, 11/15/13 (F) 1,545 1,607
7.750%, 11/15/11 2,430 2,454
Neenah
9.500%, 01/01/17 575 500
Newark Group
9.750%, 03/15/14 700 672
Noranda Aluminum Acquisition PIK (A)
11.146%, 05/15/08 (F) 1,150 998
8.738%, 05/18/08 3,060 2,632
Novelis
7.250%, 02/15/15 1,150 1,072
Owens-Brockway Glass Container
8.250%, 05/15/13 2,685 2,779
6.750%, 12/01/14 1,500 1,489
P.H. Glatfelter
7.125%, 05/01/16 1,550 1,519
PNA Group
10.750%, 09/01/16 2,975 2,856
Packaging Dynamics (A)
10.000%, 05/01/16 1,995 1,815
PolyOne (F)
8.875%, 05/01/12 3,345 3,383
Reichhold Industries (A)
9.000%, 08/15/14 1,726 1,700
Rock-Tenn
5.625%, 03/15/13 2,200 2,040
Rockwood Specialties Group
7.500%, 11/15/14 1,470 1,455
Solo Cup
8.500%, 02/15/14 1,235 1,068
Solutia
11.250%, 07/15/09 1,050 1,050
Solutia (C) (F)
7.375%, 10/15/27 525 501
- --------------------------------------------------------------------------------
162 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Steel Dynamics (A)
7.375%, 11/01/12 $ 4,285 $ 4,253
Stone Container
8.375%, 07/01/12 1,655 1,618
8.000%, 03/15/17 (F) 475 456
Terra Capital, Ser B
7.000%, 02/01/17 2,625 2,592
US Steel
6.650%, 06/01/37 150 140
Verso Paper Holdings LLC, Ser B (F)
11.375%, 08/01/16 400 406
Vitro
9.125%, 02/01/17 2,170 2,024
--------------
122,267
--------------
TELECOMMUNICATION SERVICES -- 8.4%
American Cellular, Ser B
10.000%, 08/01/11 86 90
American Tower
7.500%, 05/01/12 100 102
7.125%, 10/15/12 1,781 1,808
Centennial Communications
10.981%, 01/01/08 (D) 100 102
10.125%, 06/15/13 2,275 2,377
8.125%, 02/01/14 1,275 1,259
Cincinnati Bell
7.250%, 07/15/13 2,525 2,525
Citizens Communications
9.250%, 05/15/11 875 947
6.625%, 03/15/15 1,175 1,119
6.250%, 01/15/13 525 507
Consolidated Communication
Holdings
9.750%, 04/01/12 3,203 3,283
Cricket Communications I
9.375%, 11/01/14 (A) 4,075 3,790
9.375%, 11/01/14 (F) 4,680 4,352
Digicel (A)
9.250%, 09/01/12 2,400 2,412
Digicel Group (A) (F)
8.875%, 01/15/15 2,805 2,510
Digicel Group PIK (A) (F)
0.050%, 01/15/15 2,700 2,416
Dobson Cellular Systems
9.875%, 11/01/12 1,070 1,169
Dobson Cellular Systems, Ser B
8.375%, 11/01/11 800 858
Dobson Communications
9.493%, 01/15/08 (D) 935 954
8.875%, 10/01/13 (F) 2,490 2,677
Embarq
7.082%, 06/01/16 1,000 1,043
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
GCI
7.250%, 02/15/14 $ 1,450 $ 1,312
Hawaiian Telecom Communications,
Ser B (F)
12.500%, 05/01/15 100 103
9.750%, 05/01/13 625 609
Insight Communications (B)
12.250%, 02/15/11 400 417
Insight Midwest
9.750%, 10/01/09 1,500 1,500
Intelsat
9.000%, 06/15/16 600 609
7.625%, 04/15/12 700 585
6.500%, 11/01/13 2,475 1,844
Intelsat Bermuda
11.250%, 06/15/16 (F) 2,065 2,137
9.250%, 06/15/16 1,137 1,158
8.886%, 02/12/08 (D) 905 906
Intelsat Intermediate (B)
7.919%, 02/01/15 3,025 2,480
Intelsat Sub Holding
8.625%, 01/15/15 (F) 1,125 1,133
8.250%, 01/15/13 675 682
Level 3 Financing
9.250%, 11/01/14 (F) 4,470 4,012
9.150%, 02/15/08 (D) 100 85
8.750%, 02/15/17 675 579
Lucent Technologies
6.450%, 03/15/29 100 81
MetroPCS Wireless
9.250%, 11/01/14 950 900
9.250%, 11/01/14 (A) 9,190 8,708
Nordic Telephone Holdings (A) (F)
8.875%, 05/01/16 2,410 2,446
Nortel Networks (A) (D)
9.493%, 01/15/08 150 146
Orascom Telecom Finance (A)
7.875%, 02/08/14 2,275 2,093
PAETEC Holding (A)
9.500%, 07/15/15 3,061 3,038
Primus Telecommunications (F)
8.000%, 01/15/14 1,575 831
Qwest
8.944%, 12/15/07 (D) 1,544 1,586
7.875%, 09/01/11 600 619
7.500%, 10/01/14 1,105 1,119
7.250%, 09/15/25 625 600
7.250%, 10/15/35 1,200 1,110
6.500%, 06/01/17 (A) 575 548
Qwest Capital Funding (F)
7.900%, 08/15/10 1,150 1,159
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 163
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Qwest Communications International
8.369%, 02/11/08 (D) (F) $ 1,236 $ 1,236
7.500%, 02/15/14 400 397
7.250%, 02/15/11 125 124
Qwest Communications International,
Ser B (F)
7.500%, 02/15/14 3,650 3,623
Rogers Communications
8.000%, 12/15/12 250 261
6.375%, 03/01/14 175 181
Rogers Wireless
7.250%, 12/15/12 225 246
Rural Cellular
8.621%, 12/04/07 (A) (D) 885 898
8.250%, 03/15/12 2,215 2,298
Securus Technologies (F)
11.000%, 09/01/11 250 213
Syniverse Technologies, Ser B
7.750%, 08/15/13 125 121
Telcordia Technologies (A) (F)
10.000%, 03/15/13 750 570
Triton
8.500%, 06/01/13 900 938
US Unwired, Ser B
10.000%, 06/15/12 400 427
Virgin Media Finance PLC
8.750%, 04/15/14 2,100 2,089
West
11.000%, 10/15/16 (F) 50 50
9.500%, 10/15/14 4,535 4,467
Wind Acquisition Finance (A)
10.750%, 12/01/15 2,425 2,619
Windstream
8.625%, 08/01/16 6,025 6,281
8.125%, 08/01/13 1,010 1,039
7.000%, 03/15/19 2,160 2,047
Windstream Regatta Holdings (A)
11.000%, 12/01/17 1,075 1,086
iPCS (D)
7.036%, 02/01/08 1,180 1,097
iPCS PIK
8.161%, 05/01/14 2,055 1,891
--------------
115,634
--------------
UTILITIES -- 3.5%
AES
9.375%, 09/15/10 750 781
8.875%, 02/15/11 2,555 2,651
8.750%, 05/15/13 (A) 800 832
8.000%, 10/15/17 (A) 3,575 3,557
7.750%, 03/01/14 1,125 1,105
7.750%, 10/15/15 (A) 335 333
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Aquila
14.875%, 07/01/12 $ 450 $ 567
Calpine Generating (C)
14.320%, 04/01/08 326 135
Edison Mission Energy
7.625%, 05/15/27 (A) 950 886
7.200%, 05/15/19 (F) 1,575 1,504
7.000%, 05/15/17 5,310 5,084
Energy Future Holdings (A)
10.875%, 11/01/17 3,545 3,474
Mirant (C)
0.000%, 07/15/07 750 49
Mirant Americas Generation LLC
8.500%, 10/01/21 3,133 2,898
8.300%, 05/01/11 300 299
8.300%, 05/01/11 2,325 2,319
Mirant North America LLC
7.375%, 12/31/13 2,910 2,917
NRG Energy
7.375%, 02/01/16 1,955 1,916
7.375%, 01/15/17 6,260 6,119
7.250%, 02/01/14 605 592
Reliant Energy (F)
7.625%, 06/15/14 1,820 1,756
Sierra Pacific Resources
7.803%, 06/15/12 975 1,023
TXU, Ser P
5.550%, 11/15/14 325 250
TXU, Ser R
6.550%, 11/15/34 150 104
Tenaska Alabama (A) (F)
7.000%, 06/30/21 783 806
Texas Competitive Electric Holdings (A)
10.250%, 11/01/15 4,210 4,052
10.250%, 11/01/15 1,905 1,810
--------------
47,819
--------------
Total Corporate Obligations
(Cost $1,131,925) ($ Thousands) 1,083,603
--------------
LOAN PARTICIPATIONS -- 9.7%
FINANCIALS -- 9.7%
Advanstar Communications, 2nd Lien
10.320%, 11/30/14 1,250 1,162
Aeroflex
8.875%, 07/29/14 745 700
Affinion Holding
11.660%, 03/01/12 875 822
Affinion Holding PIK
11.660%, 01/24/12 2,000 1,880
0.000%, 03/01/12 600 564
0.000%, 03/01/12 600 564
- --------------------------------------------------------------------------------
164 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Alliant Insurance Services, Ser B
0.000%, 11/15/14 $ 1,250 $ 1,200
Allison Transmission
0.255%, 08/07/14 2,685 2,492
Allison Transmission, Ser B
8.538%, 08/07/14 2,300 2,135
Alltel Holdings
0.000%, 05/31/15 2,180 2,084
Ameritrade Holding
7.070%, 12/31/12 1,440 1,395
7.070%, 12/31/12 250 242
7.070%, 12/31/12 1,800 1,744
Aramark
7.360%, 12/30/07 1,707 1,621
Aramark LOC (Synthetic)
7.360%, 01/26/14 120 114
Asurion
8.320%, 07/02/14 1,000 964
Asurion, 2nd Lien
12.036%, 07/02/15 1,000 974
0.683%, 07/07/15 433 422
0.682%, 07/07/15 317 308
0.000%, 07/07/15 211 206
0.000%, 07/07/15 289 281
BOC Edwards
10.831%, 05/31/14 200 162
7.081%, 05/31/14 150 136
Boston Generating
7.610%, 12/20/13 389 374
7.610%, 12/21/13 24 23
7.600%, 12/19/13 1,750 1,681
Boston Generating, 1st Lien
12.350%, 12/21/16 129 134
Boston Generating, 2nd Lien
9.600%, 06/21/14 300 300
9.600%, 06/21/14 350 349
9.570%, 06/18/14 500 499
0.000%, 06/21/14 750 749
Boston Generating, Synthetic
Letter of Credit
0.476%, 12/21/13 87 83
CCFC (D)
11.320%, 08/26/09 2,219 2,270
Cebridge, 2nd Lien (D)
11.356%, 05/05/14 2,339 2,201
Cengage Learning Acquisitions (I)
0.000%, 06/29/14 850 802
Central Parking
7.570%, 05/22/14 2,261 2,119
0.000%, 05/22/14 25 24
Central Parking Line of Credit
(Synthetic)
7.625%, 05/22/14 505 480
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Century Cable Bank, Ser B (D)
10.250%, 06/30/09 $ 3 $ --
Charter, 3rd Lien
7.860%, 09/06/14 1,350 1,248
7.850%, 03/01/14 500 462
Claire's Stores
8.110%, 05/29/13 75 66
8.110%, 05/07/14 3 2
Community Health Systems
7.756%, 07/02/14 1,876 1,795
Community Health Systems (J)
0.000%, 07/13/14 124 --
Cooper Standard (D)
7.875%, 12/23/11 2,716 2,627
Dae Aviation Holdings
0.544%, 07/31/09 769 766
0.144%, 07/31/14 871 858
0.144%, 07/31/14 659 650
Delta, 2nd Lien
8.082%, 04/30/14 225 216
Dresser Rand, 1st Lien
7.860%, 05/04/14 350 327
7.860%, 05/04/14 495 462
Dresser Rand, 2nd Lien
11.110%, 05/04/15 975 925
11.110%, 05/04/15 575 545
Dresser, 2nd Lien
11.110%, 05/04/15 200 190
Entegra PIK
11.340%, 04/04/15 225 213
Entegra PIK, 3rd Lien
11.340%, 04/19/15 1,000 947
11.340%, 04/19/15 450 426
Enterprise GP Holdings
7.494%, 05/05/08 2,500 2,469
First Data
0.584%, 09/24/14 730 691
0.582%, 09/24/14 2,185 2,069
0.580%, 09/24/14 150 142
0.433%, 09/24/14 1,225 1,166
0.367%, 09/24/14 775 734
Ford, 1st Lien
8.360%, 12/12/13 1,100 1,024
Georgia Pacific
7.340%, 02/14/13 350 332
Georgia Pacific, Ser B (D)
7.485%, 02/14/13 424 401
Green Valley Ranch Gaming,
2nd Lien
8.791%, 08/06/14 2,000 1,820
HCA, Ser B
7.614%, 11/15/14 995 941
7.614%, 11/15/14 1,000 946
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 165
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Hertz
7.282%, 12/31/12 $ 648 $ 633
7.110%, 12/31/12 350 342
0.573%, 12/31/12 66 65
0.569%, 12/31/12 198 194
0.000%, 12/31/12 8 8
Hertz Line of Credit (Synthetic)
7.110%, 02/08/12 61 59
7.110%, 02/08/12 76 74
0.691%, 02/08/12 91 89
Iasis Healthcare
10.610%, 06/15/14 2,027 1,906
Idearc, Ser B
7.350%, 11/15/14 3,491 3,335
Infor Global Solutions
11.610%, 03/02/14 1,000 940
0.558%, 03/02/14 507 476
0.558%, 03/02/14 245 231
0.000%, 07/28/12 204 193
0.000%, 07/28/12 46 43
0.000%, 07/28/12 789 745
0.000%, 03/02/14 48 45
Infor Global Solutions, Delayed Draw
0.000%, 07/28/12 411 395
Insight Midwest Holdings LLC
7.360%, 04/06/14 375 361
7.000%, 04/06/14 1,000 963
Intelsat Bermuda
7.206%, 02/02/14 1,825 1,781
Invernell (IM US) Holdings LLC,
2nd Lien (I)
0.000%, 06/26/15 1,000 982
JG Wentworth, 1st Lien
7.600%, 04/04/14 975 909
KAR Holding
7.570%, 04/20/14 1,225 1,153
McKechnie Aerospace
10.340%, 05/11/15 150 144
10.340%, 05/11/15 250 239
10.340%, 05/11/15 300 287
7.340%, 05/11/14 248 237
McKechnie Aerospace, 1st Lien
7.360%, 05/11/14 175 167
7.360%, 05/11/14 200 191
Metroflag, 2nd Lien
14.803%, 07/06/08 325 286
Murray Bank, 2nd Lien (D)
14.438%, 01/31/11 1,471 1,501
13.860%, 01/31/11 451 460
NRG Holdings
0.000%, 05/04/14 2,000 --
New World Gaming
0.000%, 06/18/14 1,300 1,176
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Nielsen Finance LLC
8.190%, 08/09/13 $ 697 $ 662
Nuveen Investments
0.000%, 11/09/14 900 884
Oshkosh Truck
7.450%, 12/06/13 1,687 1,622
PAETEC Holdings
8.065%, 02/28/13 644 625
Penhall
12.824%, 03/28/12 639 639
Pinnacle Foods
8.099%, 04/02/14 998 940
Proquest
8.328%, 02/09/14 800 778
Proquest, 2nd Lien
11.090%, 02/09/16 1,200 1,179
Reader's Digest Association
7.339%, 03/02/14 1,200 1,087
Remax International (Delayed Draw)
7.070%, 12/15/07 767 760
7.070%, 12/15/07 967 958
Remax International (J)
0.000%, 12/15/07 267 2
Resolute Aneth LLC, 2nd Lien
9.510%, 06/27/13 1,500 1,455
Rexnord
12.360%, 02/20/13 2,023 1,968
Reynolds & Reynolds, 3rd Lien
12.860%, 04/01/14 2,300 2,283
12.860%, 04/24/14 500 496
12.698%, 04/01/14 200 198
0.000%, 04/01/14 300 298
0.000%, 04/01/14 900 893
0.000%, 04/24/14 300 298
Sandridge
8.625%, 04/01/15 1,025 1,017
Seminole Tribe of Florida
6.875%, 03/05/14 73 71
Seminole Tribe of Florida,
Ser 3
6.875%, 03/05/14 -- --
Seminole Tribe of Florida,
Ser B (J)
0.000%, 03/05/14 146 3
Simmons Holdco
10.650%, 02/15/12 200 177
10.650%, 02/15/12 1,100 973
10.650%, 02/15/12 200 177
10.648%, 02/15/12 1,195 1,058
Sorenson Communications, 2nd Lien
12.500%, 02/16/14 1,500 1,504
12.360%, 02/16/14 1,250 1,253
Surgical Care Affiliates
7.570%, 12/29/14 1,500 1,365
- --------------------------------------------------------------------------------
166 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
TPF Generation Holdings LLC
9.620%, 12/15/14 $ 1,250 $ 1,169
TPF Generation Holdings LLC,
2nd Lien
9.610%, 12/15/14 1,000 935
TXU
0.036%, 10/10/14 1,800 1,761
Texas Competitive Electric
0.000%, 10/10/14 4,615 4,559
Texas Competitive Electric
8.622%, 10/10/14 2,050 2,025
8.396%, 10/27/14 600 587
0.000%, 10/10/14 900 880
Town Sports International
7.500%, 08/27/13 275 253
Tropicana Entertainment
7.850%, 12/31/11 1,485 1,431
UPC Financing Partnership Term J2
7.080%, 04/01/13 1,000 940
UPC Financing Partnership Term K2
7.080%, 12/31/13 1,000 940
Univision Communications
7.605%, 09/15/14 1,879 1,726
7.570%, 03/15/14 940 863
0.000%, 03/15/14 60 5
0.000%, 09/15/14 121 10
0.000%, 09/15/14 365 336
0.000%, 09/29/14 972 893
0.000%, 09/29/14 28 26
0.000%, 09/29/14 10 10
Univision Communications,
Delayed Draw
0.000%, 09/29/14 24 22
VWR International, 2nd Lien
7.860%, 06/29/14 2,000 1,884
Venoco
9.125%, 05/07/14 400 388
Verint Systems
8.090%, 05/09/14 2,000 1,930
WideOpenWest Finance LLC
7.830%, 06/18/14 1,000 955
WideOpenWest Finance LLC, 2nd
Lien
11.610%, 06/18/15 1,000 890
Wind Acquisition Holdings
12.610%, 12/21/11 773 767
12.609%, 12/12/11 2,332 2,315
0.000%, 12/21/11 300 298
--------------
Total Loan Participations
(Cost $139,709) ($ Thousands) 134,751
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 5.7%
OTHER ASSET-BACKED SECURITIES -- 5.7%
Ares IIIR CLO, Ser 2007-1A,
Cl SUB (A)
13.800%, 04/16/21 $ 5,000 $ 4,000
Ares VR CLO, Ser 2006-1A,
Cl SUB (A)
10.490%, 02/24/18 3,500 2,450
Ares XI CLO, Ser 2007-11A,
Cl SUB (A)
0.000%, 10/11/21 3 2,184
Babson CLO, Ser 2007-2A,
Cl INC (A)
0.000%, 07/20/19 2,700 2,181
Battalion CLO, Ser 2007-1, Cl 1A (A)
0.000%, 07/14/22 18 1,487
Capitalsource Advisors, Ser 2006-1A,
Cl SUB (A)
0.000%, 08/27/20 2,900 2,233
Carlyle High Yield Partners,
Ser 2006-8A, Cl N (E)
0.000%, 05/21/21 3,000 2,025
CIFC Funding, Ser 2006-I (D)
0.000%, 10/20/20 2,000 1,800
CIFC Funding, Ser 2006-II (A) (D)
0.000%, 03/01/21 3,000 2,700
CIFC Funding, Ser 2007-2A,
Cl SUB (A)
0.000%, 04/15/21 2,500 2,100
CIFC Funding, Ser 2007-IV
0.000% 3,900 3,900
Connecticut Valley Structured Credit,
Ser 2006-3A, Cl NOTE (A)
10.930%, 03/23/23 1,200 792
Copper River, Ser 2006-1A,
Cl INC (A)
0.000%, 01/20/21 3,000 2,519
De Meer Middle Market,
Ser 2006-1A, Cl INC (A)
0.000%, 10/20/18 1,870 1,477
Denali Capital VII, Ser 2007-1A,
Cl INC (A)
10.780%, 01/22/22 4,500 3,960
Duane Street CLO V, Ser 2007-5A,
Cl SN (A)
0.000%, 10/14/21 3,500 3,097
Gale Force CLO, Ser 2007-4A, Cl E (D)
11.349%, 02/20/08 4,200 3,784
Gale Force CLO, Ser 2007-4A,
Cl INC (D)
4.949%, 08/20/21 60 5,220
Gleneagles CLO, Ser AI (D)
12.940%, 11/01/17 6 5,407
Golden Tree Loan Opportunities III,
Ser 2007-3A, Cl SUB (A)
0.000%, 05/01/22 3,100 2,418
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 167
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Concluded)
November 30, 2007
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ING Investment Management I
CLO (D)
0.000%, 12/01/17 $ 2 $ 1,400
ING Investment Management II
CLO (A) (D)
11.120%, 08/01/20 5 3,600
Lightpoint CLO, Ser 2006-4A,
Cl IN (A)
0.000%, 04/15/18 2,000 1,075
Marathon CLO, Ser 2005-2A,
Cl INC (A)
11.520%, 12/20/19 1,500 1,265
Marlborough Street CLO,
Ser 2007-1A, Cl INC (A)
0.000%, 04/18/19 2,300 1,768
Peritus I CDO (H)
0.000% 3,000 1,050
Peritus I CDO, Ser 2005-1A, Cl C (A)
9.000%, 05/24/15 10,722 8,970
Stanfield Veyron CLO, Ser 2006-1A,
Cl SUB
9.060%, 07/15/18 2,000 1,450
Tralee CDO, Ser 2007-1A, Cl SUB (A)
0.000%, 04/16/22 2,500 2,025
--------------
Total Asset-Backed Securities
(Cost $83,725) ($ Thousands) 78,337
--------------
COMMON STOCK -- 0.2%
Armstrong World Industries 6,214 265
Core-Mark Holding 12,992 348
Delta Air Lines* 19,510 385
Huntsman 7,595 193
Northwest Airlines* 58,347 1,061
Owens Corning (F)* 28,431 626
Portland General Electric 495 13
Time Warner Cable, Cl A (F)* 3,177 83
UAL (F) 1,091 45
--------------
Total Common Stock
(Cost $3,439) ($ Thousands) 3,019
--------------
PREFERRED STOCK -- 0.2%
Rockwall Investors, 0.000% (A) (D)* 3,000,000 2,250
Rural Cellular PIK, 12.250%* 375 481
--------------
Total Preferred Stock
(Cost $3,119) ($ Thousands) 2,731
--------------
CONVERTIBLE BONDS -- 0.1%
Adelphia Recovery Trust, Ser ACE-1
(escrow security)
0.000%, 02/15/09 466 --
Flextronics CV to 64.4122
1.000%, 08/01/10 1,190 1,208
Freeport McKennen CV to 1.3605
0.000%, 05/01/10 2 295
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Huntsman CV to 1.7674
5.000%, 02/16/08 $ 1 $ 28
Mirant CV to 14.7167 (C) (F)
2.500%, 06/15/21 1,950 97
--------------
Total Convertible Bonds
(Cost $1,573) ($ Thousands) 1,628
--------------
CASH EQUIVALENTS -- 17.2%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.020%++** 66,090,711 66,091
SEI Liquidity Fund L.P.,
5.367%++** (G) 170,556,737 170,557
--------------
Total Cash Equivalents
(Cost $236,648) ($ Thousands) 236,648
--------------
Total Investments -- 111.7%
(Cost $1,600,138) ($ Thousands) $ 1,540,717
==============
Percentages are based on Net Assets of $1,378,783 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of November 30, 2007.
+ Real Estate Investment Trust
++ Investment in Affiliated Security (See Note 3).
(A) Securities sold within terms of a private placement memorandum, exempt
from registration under Section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"accredited investors."
(B) Step Bonds -- The rate reflected on the Schedule of Investments is the
effective yield on November 30, 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 November 30, 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
November 30, 2007 (see Note 9). The total value of securities on loan at
November 30, 2007 was $162,416 ($ Thousands).
(G) This security was purchased with cash collateral held from securities on
loan (see Note 9). The total value of such securities as of November 30,
2007 was $173,630 ($ Thousands).
(H) Securities considered illiquid. The total value of such securities as of
November 30, 2007 was $1,050 ($ Thousands) and represented 0.08% of Net
Assets.
(I) Unsettled Position -- Interest rate will not be known until settlement.
(J) Unfunded bank loan.
Cl -- Class
CDO -- Collateralized Debt Obligation
CLO -- Collateralized Loan Obligation
CV -- Convertible Security
LLC -- Limited Liability Company
L.P. -- 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 $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
168 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Fund
November 30, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS+++:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Mortgage-Backed Securities 43.9%
Asset-Backed Securities 30.8%
Financials 16.7%
U.S. Government Agency Obligations 4.5%
Short-Term Investments 2.3%
Utilities 0.7%
Industrials 0.7%
Certificates of Deposit 0.4%
+++ Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 9).
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES -- 44.8%
AGENCY MORTGAGE-BACKED OBLIGATIONS -- 13.4%
FHLMC
6.500%, 08/01/29 $ 676 $ 683
FHLMC TBA
7.000%, 01/01/33 387 407
FHLMC ARM
7.267%, 01/01/33 220 222
7.100%, 12/01/07 469 482
5.838%, 01/01/34 1,034 1,059
5.296%, 08/01/34 1,227 1,253
5.248%, 04/01/34 866 882
5.130%, 04/01/34 826 842
5.086%, 05/01/34 1,274 1,304
4.048%, 08/01/34 818 838
FHLMC CMO, Ser 2006-4, Cl WE
4.500%, 02/25/36 3,050 2,746
FHLMC CMO, Ser 2733, Cl SB
3.823%, 12/15/07 3,350 2,836
FHLMC CMO, Ser 2748, Cl ZT
5.500%, 02/15/24 88 88
FNMA
7.000%, 04/01/34 398 412
FNMA ARM
7.136%, 01/01/33 264 268
6.939%, 07/01/33 372 379
6.875%, 06/01/33 999 1,025
6.442%, 08/01/34 603 614
6.139%, 08/01/36 1,761 1,795
4.524%, 09/01/35 1,895 1,895
4.482%, 05/01/35 2,247 2,286
3.886%, 04/01/35 920 920
FNMA CMO, Ser 2001-48, Cl PD
6.500%, 06/25/20 198 199
FNMA CMO, Ser 2003-122, Cl ZQ
6.000%, 12/25/33 119 125
FNMA CMO, Ser 2004-12, Cl ZX
6.000%, 03/25/34 129 133
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FNMA CMO, Ser 2004-31, Cl MZ
4.250%, 05/25/34 $ 116 $ 89
FNMA CMO, Ser 2004-80, Cl XZ
5.000%, 11/25/34 233 191
GNMA ARM
6.375%, 06/20/32 410 416
GNMA CMO, Ser 2003-112, Cl SG
2.162%, 12/16/07 135 109
GNMA CMO, Ser 2003-86, Cl ZK
5.000%, 10/20/33 1,839 1,744
--------------
26,242
--------------
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 31.4%
Alliance Bancorp Trust, Ser OA1,
Cl A1 (B)
5.029%, 12/25/07 1,787 1,743
American Home Mortgage
Investment Trust, Ser 2007-2,
Cl 11A1 (B)
5.019%, 12/25/07 2,387 2,299
Bayview Commercial Asset Trust,
Ser 2006-1A, Cl M3 (A) (B)
5.209%, 12/25/07 1,222 1,054
Bayview Commercial Asset Trust,
Ser 2007-2A, Cl A1 (A) (B)
5.059%, 12/25/07 2,724 2,594
Bayview Commercial Asset Trust,
Ser 2007-3, Cl A1 (A) (B)
5.029%, 12/25/07 2,892 2,764
Chase Mortgage Finance,
Ser 2007-A2, Cl 2A3 (B)
4.243%, 11/25/33 1,704 1,671
Citigroup Commercial Mortgage Trust,
Ser 2007-C6, Cl AM (B)
5.889%, 06/10/17 2,940 2,889
Citigroup Mortgage Loan Trust,
Ser 2003-1, Cl WA2
6.500%, 06/25/31 86 87
Citigroup Mortgage Loan Trust,
Ser 2004-2, Cl 2A1 (A)
6.500%, 08/25/18 166 167
Countrywide Alternative Loan Trust,
Ser 2005-16, Cl A5 (B)
5.069%, 12/25/07 592 576
Countrywide Alternative Loan Trust,
Ser 2005-27, Cl 1A2 (B)
6.333%, 12/25/07 1,121 1,080
Countrywide Alternative Loan Trust,
Ser 2005-27, Cl 2A1 (B)
6.333%, 12/01/07 662 636
Countrywide Alternative Loan Trust,
Ser 2005-27, Cl 3A2 (B)
6.033%, 12/01/07 89 83
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 169
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Alternative Loan Trust,
Ser 2005-51, Cl 2A2A (B)
5.030%, 12/20/07 $ 286 $ 284
Countrywide Alternative Loan Trust,
Ser 2005-59, Cl 1A1 (B)
5.070%, 12/20/07 2,221 2,151
Countrywide Alternative Loan Trust,
Ser 2005-59, Cl 2X, IO (B)
1.312%, 12/01/07 4,241 152
Countrywide Alternative Loan Trust,
Ser 2005-61, Cl 2A1 (B)
5.069%, 12/25/07 588 571
Countrywide Alternative Loan Trust,
Ser 2005-72, Cl A1 (B)
5.059%, 12/27/07 861 844
Countrywide Alternative Loan Trust,
Ser 2006-OA11, Cl N1 (A)
6.000%, 09/25/46 72 71
Countrywide Alternative Loan Trust,
Ser 2006-OA12, Cl A2 (B)
4.950%, 12/20/07 2,293 2,232
Countrywide Alternative Loan Trust,
Ser 2006-OA2, Cl X1P, IO
1.772%, 12/01/07 7,615 353
Credit Suisse Mortgage Capital
Securities, Ser 2007-C1, Cl AM
5.416%, 02/15/40 2,940 2,817
DSLA Mortgage Loan Trust,
Ser 2004-AR1, Cl A2A (B)
5.096%, 12/19/07 114 112
DSLA Mortgage Loan Trust,
Ser 2005-AR2, Cl 2A1A (B)
4.896%, 12/19/07 479 468
DSLA Mortgage Loan Trust,
Ser 2005-AR4, Cl 2A1A (B)
4.946%, 12/21/07 591 576
DSLA Mortgage Loan Trust,
Ser 2006-AR1, Cl 2A1A (B)
5.873%, 12/01/07 2,510 2,515
GS Mortgage Securities,
Ser 2006-GG8, Cl A4
5.560%, 11/10/39 1,980 1,995
GS Mortgage Securities,
Ser 2007-GG10, Cl A4 (B)
5.993%, 08/10/45 1,460 1,496
Greenpoint Mortgage Funding Trust,
Ser 2006-AR3, Cl 4A1 (B)
4.999%, 12/25/07 2,210 2,148
Greenwich Capital Commercial
Funding, Ser 2005-GG5,
Cl AM (B)
5.277%, 12/01/07 1,960 1,886
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Greenwich Capital Commercial
Funding, Ser 2007-GG9, Cl A4
5.444%, 03/10/39 $ 800 $ 797
Harborview Mortgage Loan Trust,
Ser 2004-8, Cl 2A4A (B)
5.086%, 12/19/07 609 603
Harborview Mortgage Loan Trust,
Ser 2005-01, Cl X, IO (B)
1.446%, 12/01/07 1,440 26
Harborview Mortgage Loan Trust,
Ser 2005-10, Cl X, IO (B)
1.548%, 12/01/07 3,292 75
Harborview Mortgage Loan Trust,
Ser 2005-11, Cl 2A1A (B)
4.996%, 12/19/07 831 813
Harborview Mortgage Loan Trust,
Ser 2005-12, Cl X2B, IO (B)
1.339%, 12/01/07 3,494 63
Harborview Mortgage Loan Trust,
Ser 2006-1, Cl X1, IO (B)
1.863%, 03/19/37 7,737 270
Indymac Index Mortgage Loan Trust,
Ser 2004-AR12, Cl A1 (B)
5.179%, 12/25/07 420 410
Indymac Index Mortgage Loan Trust,
Ser 2004-AR12, Cl AX2, IO (B)
0.676%, 12/01/07 1,049 20
Indymac Index Mortgage Loan Trust,
Ser 2004-AR5, Cl 2A1B (B)
5.189%, 12/27/07 310 305
Indymac Index Mortgage Loan Trust,
Ser 2004-AR6, Cl 6A1 (B)
5.460%, 12/01/07 279 279
Indymac Index Mortgage Loan Trust,
Ser 2004-AR7, Cl A2 (B)
5.219%, 12/25/07 94 93
Indymac Index Mortgage Loan Trust,
Ser 2004-AR8, Cl 2A2A (B)
5.189%, 12/27/07 96 93
Indymac Index Mortgage Loan Trust,
Ser 2005-AR18, Cl 2A1A (B)
5.099%, 12/25/07 1,472 1,433
Inman Square Funding, Ser 2A,
Cl I (A) (B)
5.694%, 01/06/08 1,950 1,657
JPMorgan Chase Commercial
Mortgage, Ser 2006-CB16, Cl AM
5.593%, 05/12/45 2,330 2,264
JPMorgan Chase Commercial
Mortgage, Ser 2006-LDP7,
Cl A4 (B)
6.066%, 12/01/07 535 552
- --------------------------------------------------------------------------------
170 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
JPMorgan Chase Commercial
Mortgage, Ser 2007-CB19,
Cl A4 (B)
5.937%, 02/12/49 $ 1,465 $ 1,493
JPMorgan Chase Commercial
Mortgage, Ser 2007-LDPX, Cl A3
5.420%, 01/15/49 460 456
JPMorgan Mortgage Trust,
Ser 2005-A2, Cl 9A1 (B)
4.236%, 04/25/35 1,162 1,198
Lehman XS NIM Trust,
Ser 2006-2N, Cl A1 (A)
7.000%, 02/27/46 415 414
Master Adjustable Rate Mortgage
Trust, Ser 2006-0A2, Cl 4A1A (B)
5.783%, 12/01/07 2,305 2,243
Master Alternative Loans Trust,
Ser 2003-3, Cl 2A1
8.500%, 05/25/33 188 190
Master Seasoned Securities Trust,
Ser 2005-1, Cl 4A1 (B)
6.025%, 12/25/07 433 441
Residential Accredit Loans,
Ser 2005-Q03, Cl A1 (B)
5.189%, 12/25/07 2,701 2,637
Structured Asset Mortgage
Investments, Ser 2006-AR1,
Cl 3A1 (B)
5.019%, 12/28/07 1,789 1,713
Washington Mutual, Ser 2000-1,
Cl M2 (B)
5.933%, 12/25/07 532 533
Washington Mutual, Ser 2005-AR2,
Cl 2A21 (B)
5.119%, 12/25/07 445 435
Washington Mutual, Ser 2005-AR6,
Cl 2AB1 (B)
4.979%, 12/25/07 9 9
Washington Mutual, Ser 2007-0A3,
Cl 4A1 (B)
5.703%, 12/01/07 1,808 1,759
--------------
61,588
--------------
Total Mortgage-Backed Securities
(Cost $88,386) ($ Thousands) 87,830
--------------
ASSET-BACKED SECURITIES -- 30.1%
MORTGAGE RELATED SECURITIES -- 30.1%
Ace Securities, Ser WF1, Cl A2C (B)
5.129%, 12/25/07 2,495 2,440
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Asset-Backed Securities Home
Equity Loan Trust, Ser 2003-HE4,
Cl M2 (B)
6.652%, 12/15/07 $ 800 $ 744
Asset-Backed Securities Home
Equity Loan Trust, Ser 2005-HE6,
Cl A2D (B)
5.071%, 12/25/07 3,000 2,984
Aviation Capital Group Trust,
Ser 2003-2A, Cl G2 (A) (B)
5.540%, 12/20/07 586 589
BNC Mortgage Loan Trust,
Ser 2007-2, Cl A2 (B)
4.889%, 12/25/07 646 622
Bayview Financial Acquisition Trust,
Ser 2004-B, Cl A1 (A) (B)
5.300%, 12/28/07 1,500 1,425
Bayview Financial Acquisition Trust,
Ser 2005-A, Cl A1 (A) (B)
5.300%, 12/28/07 2,100 1,995
Bayview Financial Revolving
Mortgage Loan Trust, Ser 2005-E,
Cl A1 (A) (B)
5.300%, 12/28/07 2,400 2,206
Bear Stearns Asset-Backed Securities
Trust, Ser 2007-HE1, Cl 1A1 (B)
4.909%, 12/25/07 2,586 2,517
Bear Stearns Asset-Backed Securities
Trust, Ser 2007-HE5, Cl 1A2 (B)
4.969%, 12/25/07 2,300 2,091
Carrington Mortgage Loan Trust,
Ser 2006-NC5, ClA1 (B)
4.839%, 12/25/07 924 903
Citigroup Mortgage Loan Trust,
Ser 2007-WFH1, Cl A1 (B)
4.843%, 12/25/07 582 571
Continental Airlines, Ser 2002-1,
Cl G1 (B)
5.319%, 02/15/08 84 84
Countrywide Asset-Backed
Certificates, Ser 2003-BC1,
Cl M1 (B)
6.169%, 12/25/07 269 246
Countrywide Asset-Backed
Certificates, Ser 2005-12,
Cl 1A1 (B)
4.939%, 12/27/07 997 995
Countrywide Asset-Backed
Certificates, Ser 2005-13,
Cl AF1 (B)
4.919%, 12/27/07 117 116
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 171
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Home Equity Loan Trust,
Ser 2005-M, Cl A2 (B)
4.772%, 12/15/07 $ 191 $ 191
Countrywide Home Loans,
Ser 2006-2, Cl 1A1 (B)
5.109%, 03/25/35 314 307
Credit-Based Asset Servicing,
Ser 2005-CB5, Cl AF1 (B)
4.929%, 12/25/07 194 193
Credit-Based Asset Servicing,
Ser 2006-CB4, Cl AV3 (B)
4.939%, 12/25/07 2,750 2,553
Credit-Based Asset Servicing,
Ser 2007-CB2, Cl A2A (G)
5.891%, 02/25/37 1,882 1,869
First Franklin Mortgage Loan Asset,
Ser 2005-FF2, Cl A2C (B)
5.099%, 12/25/07 1,824 1,782
First Franklin Mortgage Loan Asset,
Ser 2007-FF1, Cl A2D (B)
5.009%, 12/25/07 2,750 2,273
First Franklin Mortgage Loan Asset,
Ser 2007-FF2, Cl A2D (B)
5.009%, 12/25/07 1,850 1,529
GMAC Mortgage Loan Trust,
Ser 2000-HE2, Cl A1 (B)
5.229%, 12/25/07 630 616
GSAMP Trust, Ser 2006-HE7,
Cl A2A (B)
4.829%, 12/25/07 1,045 1,020
GSR Mortgage Loan Trust,
Ser 2005-HEL1, Cl M2 (B)
5.519%, 12/29/07 1,700 338
Greenpoint Mortgage Funding Trust,
Ser 2005-HE2, Cl A1 (B)
4.852%, 12/15/07 20 20
Home Equity Asset Trust,
Ser 2007-2, Cl 2A4 (B)
5.159%, 12/02/07 1,900 1,598
Home Equity Asset Trust,
Ser 2007-3, Cl 2A2 (B)
4.969%, 12/25/07 2,300 2,054
Home Equity Mortgage Trust,
Ser 2006-1, Cl A1B (B)
4.919%, 12/27/07 771 729
Indymac Home Equity Loan Asset-
Backed Trust, Ser 2002-A,
Cl M1 (B)
5.914%, 12/27/07 953 924
Irwin Home Equity, Ser 2003-A,
Cl M2 (B)
6.939%, 12/27/07 342 334
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Ivy Lane CDO, Ser 2006-1A,
Cl A1 (A) (B)
5.205%, 02/05/08 $1,367 $ 1,190
Lehman XS Trust, Ser 2006-12N,
Cl A1A1 (B)
4.869%, 12/25/07 450 448
Long Beach Asset Holdings,
Ser 2006-9, Cl N1 (A)
6.250%, 10/25/46 826 413
Merrill Lynch Mortgage Investors,
Ser 2006-WMC1, Cl A2B (B)
4.929%, 12/27/07 2,703 2,660
Mid-State Trust, Ser 2004-1, Cl B
8.900%, 08/15/37 432 418
Morgan Stanley Capital I,
Ser 2002-HE3, Cl M1 (B)
5.888%, 12/26/07 1,618 1,562
Morgan Stanley Capital I,
Ser 2004-NC2, Cl M2 (B)
5.989%, 12/26/07 1,012 950
NationStar NIM Trust, Ser 2007-B,
Cl A (A)
8.750%, 05/25/37 695 556
Nationstar Home Equity Loan Trust,
Ser 2006-B, Cl AV3 (B)
4.959%, 12/25/07 2,565 2,245
Nationstar Home Equity Loan Trust,
Ser 2007-A, Cl AV1 (B)
4.849%, 12/25/07 1,637 1,603
Nationstar Home Equity Loan Trust,
Ser 2007-B, Cl 2AV4 (B)
5.109%, 12/25/07 2,000 1,696
Nomura Asset Acceptance,
Ser 2006-S1, Cl A1 (A) (B)
4.929%, 12/25/07 520 488
Renaissance Home Equity Loan
Trust, Ser 2007-1, Cl N (A)
9.793%, 04/25/37 514 401
Residential Asset Mortgage Products,
Ser 2007-RZ1, Cl A1 (B)
4.859%, 12/25/07 1,387 1,357
Residential Funding Mortgage
Securities, Ser 1999-HI8,
Cl AI7 (G)
7.970%, 11/25/29 266 265
Residential Funding Mortgage
Securities, Ser 2006-HSA2,
Cl AI1 (B)
4.899%, 12/27/07 881 873
Saxon Asset Securities Trust,
Ser 2005-1, Cl M1 (B)
5.584%, 12/25/07 1,795 1,705
- --------------------------------------------------------------------------------
172 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Soundview Home Equity Loan Trust,
Ser 2006-1, Cl A2 (B)
4.929%, 12/27/07 $1,272 $ 1,261
Terwin Mortgage Trust,
Ser 2005-14HE, Cl AF1 (B)
4.929%, 12/27/07 9 9
--------------
Total Asset-Backed Securities
(Cost $64,505) ($ Thousands) 58,958
--------------
CORPORATE OBLIGATIONS -- 15.0%
FINANCIALS -- 11.2%
Bank of America, Ser A (A)
8.070%, 12/31/26 1,667 1,734
Barrick Gold Finance
5.800%, 11/15/34 897 825
Capital One Financial MTN (B)
6.004%, 12/11/07 1,000 948
Citigroup
4.125%, 02/22/10 1,000 990
Corestates Capital Trust I (A)
8.000%, 12/15/26 1,000 1,036
Countrywide Financial (B)
5.128%, 02/05/08 200 178
Countrywide Financial MTN (B)
5.430%, 12/26/07 375 282
Countrywide Home Loan MTN, Ser K
4.250%, 12/19/07 1,100 1,089
Credit Suisse First Boston London
(A) (B) (E)
0.000%, 12/24/07 669 649
0.000%, 12/24/07 602 584
Deutsche Bank Capital Funding
Trust (A) (B)
5.628%, 01/19/49 1,182 1,051
Deutsche Bank Luxembourg (A)
6.825%, 12/28/07 281 282
Farmers Insurance Exchange (A)
8.625%, 05/01/24 160 181
Ford Motor Credit LLC
6.625%, 06/16/08 240 236
GMAC LLC (B)
7.821%, 12/25/07 938 769
HSBC Capital Trust II (A)
8.380%, 05/15/27 9 9
Lehman Brothers Holdings MTN (B)
8.920%, 02/16/08 462 462
5.429%, 01/18/08 730 688
Lehman Brothers Holdings MTN,
Ser H (B)
1.427%, 05/30/08 528 577
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Meridian Funding (A) (B)
5.443%, 01/06/08 $ 69 $ 69
Merrill Lynch MTN (B)
8.950%, 05/18/08 650 625
8.680%, 05/02/08 660 636
Nationwide Mutual Insurance (A)
7.875%, 04/01/33 300 358
Popular North America
5.200%, 12/12/07 1,000 1,000
Popular North America (B)
6.054%, 12/12/07 735 735
Power Receivables Financial (A)
6.290%, 01/01/12 313 328
Security Benefit Life (A)
7.450%, 10/01/33 1,500 1,579
Simon Property Group L.P.+
5.750%, 05/01/12 870 890
Toyota Motor Credit MTN (B)
8.000%, 04/24/08 1,395 1,385
Weingarten Realty+
8.250%, 01/22/10 1,350 1,458
ZFS Finance USA Trust V (A) (B)
6.500%, 05/09/37 500 455
--------------
22,088
--------------
INDUSTRIALS -- 2.3%
America West Airlines, Ser 01-1
7.100%, 04/02/21 170 175
American Airlines, Ser AMBC
3.857%, 07/09/10 192 184
Cedar Brakes II LLC (B)
9.875%, 09/01/13 685 752
Continental Airlines, Ser 99-2
7.056%, 09/15/09 900 911
Continental Airlines, Ser AMBC
6.236%, 03/15/20 92 91
Delta Air Lines, Ser 2001-1
7.111%, 09/18/11 800 806
Northwest Airlines, Ser 1A-2
6.841%, 04/01/11 500 500
United Air Lines, Ser 2001-1
6.201%, 09/01/08 384 382
United Air Lines, Ser 2001-1, Cl A-1
6.071%, 03/01/13 687 684
--------------
4,485
--------------
UTILITIES -- 1.5%
Entergy Gulf States (B)
5.980%, 02/15/08 525 521
Power Contract Financing (A)
6.256%, 02/01/10 765 781
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 173
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Progress Energy Florida, Cl A (B)
5.279%, 12/13/07 $ 1,000 $ 998
Sempra Energy (A)
5.781%, 11/01/14 600 612
--------------
2,912
--------------
Total Corporate Obligations
(Cost $30,083) ($ Thousands) 29,485
--------------
PREFERRED STOCK -- 0.8%
FINANCIALS -- 0.8%
Freddie Mac, 8.375% 60,000 1,530
--------------
Total Preferred Stock
(Cost $1,500) ($ Thousands) 1,530
--------------
U.S. GOVERNMENT AGENCY OBLIGATIONS (F) -- 3.6%
FHLB
4.551%, 12/07/07 700 699
4.325%, 12/28/07 (C) 600 598
FHLMC
4.250%, 12/27/07 1,000 997
FNMA
4.709%, 12/07/07 (C) 3,135 3,134
4.140%, 12/05/07 (C) 1,600 1,600
--------------
Total U.S. Government Agency Obligations
(Cost $7,026) ($ Thousands) 7,028
--------------
COMMERCIAL PAPER (D) --2.3%
FINANCIALS -- 2.3%
BNP Paribas Finance
4.750%, 12/17/07 1,940 1,936
Merrill Lynch
4.930%, 12/20/07 2,580 2,574
--------------
Total Commercial Paper
(Cost $4,510) ($ Thousands) 4,510
--------------
CASH EQUIVALENT -- 0.7%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.020%++* 1,366,835 1,367
--------------
Total Cash Equivalent
(Cost $1,367) ($ Thousands) 1,367
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT (B) -- 0.4%
JPMorgan Chase
8.750%, 02/28/08 $ 455 $ 450
7.590%, 12/28/07 385 369
--------------
Total Certificates of Deposit
(Cost $820) ($ Thousands) 819
--------------
Total Investments -- 97.7%
(Cost $198,197) ($ Thousands) $ 191,527
==============
A summary of the open futures contracts held by the Fund at November 30, 2007,
is as follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
TYPE OF NUMBER OF EXPIRATION DEPRECIATION
CONTRACT CONTRACTS DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
U.S. Long Treasury Bond 17 Mar-2008 $ (1)
==============
A summary of outstanding swap agreements held by the Fund at November 30, 2007,
is as follows:
- --------------------------------------------------------------------------------
CREDIT DEFAULT SWAPS
- --------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- ---------------------------------------------------------------------------------------------------
Fund pays monthly payment of 0.0270%
(0.320% per annum) times the notional
amount of the ABX.HE.AA 06-1 Index. Upon a
defined credit event, Fund receives the
notional amount and delivers the defined
deliverable obligation. (Counterparty:
Lehman Brothers) 07/25/45 1,650 $ 104
Fund pays monthly payment of 0.0370%
(0.440% per annum) times the notional
amount of the ABX.HE.AA 06-2 Index. Upon a
defined credit event, Fund receives the
notional amount and delivers the defined
deliverable obligation. (Counterparty: Citigroup) 05/25/46 605 69
Fund pays monthly payment of 0.0370%
(0.440% per annum) times the notional
amount of the ABX.HE.AA 06-2 Index. Upon a
defined credit event, Fund receives the
notional amount and delivers the defined
deliverable obligation. (Counterparty:
Lehman Brothers) 05/25/46 305 59
Fund receives monthly payment of 0.0080%
(0.090% per annum) times the notional
amount of the ABX.HE.AA 07-1 Index. Upon a
defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty:
Credit Suisse First Boston) 08/25/37 1,225 (63)
Fund receives monthly payment of 0.0130%
(0.150% per annum) times the notional
amount of the ABX.HE.AA 07-1 Index. Upon a
defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty: Citigroup) 08/25/37 505 (126)
Fund receives monthly payment of 0.0130%
(0.150% per annum) times the notional
amount of the ABX.HE.AA 07-1 Index. Upon a
defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty: Citigroup) 08/25/37 200 (56)
Fund receives monthly payment of 0.0130%
(0.150% per annum) times the notional
amount of the ABX.HE.AA 07-1 Index. Upon a
defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty: Barclays) 08/25/37 225 (65)
Fund receives monthly payment of 0.0130%
(0.150% per annum) times the notional
amount of the ABX.HE.AA 07-1 Index. Upon a
defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty: Citigroup) 08/25/37 200 (59)
- --------------------------------------------------------------------------------
174 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- ---------------------------------------------------------------------------------------------------
Fund receives monthly payment of 0.0130%
(0.150% per annum) times the notional
amount of the ABX.HE.AA 07-1 Index. Upon a
defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty: Citigroup) 08/25/37 200 $ (68)
Fund receives monthly payment of 0.0130%
(0.150% per annum) times the notional
amount of the ABX.HE.AA 07-1 Index. Upon a
defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty:
Lehman Brothers) 08/25/37 1,005 (227)
Fund receives monthly payment of 0.3080%
(3.690% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index. Upon a
defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty: Citigroup) 01/25/38 605 (101)
Fund receives monthly payment of 0.3080%
(3.690% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index. Upon a
defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty:
Lehman Brothers) 01/25/38 305 (70)
Fund receives monthly payment of 0.1600%
(1.920% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index. Upon a
defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty:
Lehman Brothers) 01/25/38 205 (100)
Fund receives monthly payment of 0.1600%
(1.920% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index. Upon a
defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty:
Lehman Brothers) 01/25/38 305 (33)
Fund receives monthly payment of 0.1600%
(1.920% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index. Upon a
defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty:
Lehman Brothers) 01/25/38 305 (16)
Fund receives monthly payment of 0.1600%
(1.920% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index. Upon a
defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty:
Lehman Brothers) 01/25/38 305 (14)
Fund receives monthly payment of 0.1600%
(1.920% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index. Upon a
defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty:
Lehman Brothers) 01/25/38 305 1
Fund receives monthly payment of 0.1600%
(1.920% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index. Upon a
defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty: Citigroup) 01/25/38 200 (80)
Fund receives monthly payment of 0.1600%
(1.920% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index. Upon a
defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty: Citigroup) 01/25/38 300 (131)
Fund receives monthly payment of 0.1600%
(1.920% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index. Upon a
defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty: Citigroup) 01/25/38 2,015 (761)
Fund receives monthly payment of 0.1600%
(1.920% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index. Upon a
defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty: Citigroup) 01/25/38 380 (132)
Fund receives monthly payment of 0.1600%
(1.920% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index. Upon a
defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty:
JPMorgan Chase) 01/25/38 200 (90)
- ---------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- ---------------------------------------------------------------------------------------------------
Fund receives monthly payment of 0.1600%
(1.920% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index. Upon a
defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty:
JPMorgan Chase) 01/25/38 705 $ (257)
Fund receives monthly payment of 0.4200%
(5.000% per annum) times the notional
amount of the ABX.HE.BBB 07-2 Index. Upon
a defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty:
Lehman Brothers) 01/25/38 1,210 (156)
Fund receives monthly payment of 0.4200%
(5.000% per annum) times the notional
amount of the ABX.HE.BBB 07-2 Index. Upon
a defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty:
Lehman Brothers) 01/25/38 515 (71)
Fund receives monthly payment of 0.1600%
(1.920% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index. Upon a
defined credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation. (Counterparty:
JPMorgan Chase) 01/25/38 400 (159)
Fund pays quarterly payment of 0.2440%
(0.978% per annum) times the notional
amount of Ambac Assurance. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined deliverable
obligation. (Counterparty: Citigroup) 12/20/12 235 30
Fund pays quarterly payment of 0.0990%
(0.398% per annum) times the notional
amount of Ambac Assurance. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined deliverable
obligation. (Counterparty: Lehman Brothers) 12/20/12 400 106
Fund pays quarterly payment of 0.2430%
(0.970% per annum) times the notional
amount of Ambac Assurance. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined deliverable
obligation. (Counterparty: Citigroup) 12/20/12 100 13
Fund pays quarterly payment of 0.1770%
(0.708% per annum) times the notional
amount of Ambac Assurance. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined deliverable
obligation. (Counterparty: Citigroup) 12/20/12 220 19
Fund pays quarterly payment of 0.2280%
(0.913% per annum) times the notional
amount of Ambac Assurance. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined deliverable
obligation. (Counterparty: Merrill Lynch) 12/20/12 195 25
Fund pays quarterly payment of 0.1740%
(0.695% per annum) times the notional
amount of Ambac Assurance. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined deliverable
obligation. (Counterparty: Merrill Lynch) 12/20/12 500 42
Fund pays quarterly payment of 0.2230%
(0.890% per annum) times the notional
amount of Ambac Assurance. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined deliverable
obligation. (Counterparty: Merrill Lynch) 12/20/12 325 41
Fund pays quarterly payment of 0.0970%
(0.388% per annum) times the notional
amount of Ambac Assurance. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined deliverable
obligation. (Counterparty: Lehman Brothers) 12/20/12 75 20
Fund pays quarterly payment of 0.0790%
(0.318% per annum) times the notional
amount of Ambac Assurance. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined deliverable
obligation. (Counterparty: Barclays) 12/20/12 2,850 319
Fund pays quarterly payment of 0.0460%
(0.185% per annum) times the notional
amount of Ambac Assurance. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined deliverable
obligation. (Counterparty: JPMorgan Chase) 12/20/12 1,300 30
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 175
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Fund (Concluded)
November 30, 2007
- ---------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- ---------------------------------------------------------------------------------------------------
Fund pays quarterly payment of 0.0470%
(0.188% per annum) times the notional
amount of Ambac Assurance. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined deliverable
obligation. (Counterparty: Barclays) 12/20/12 50 $ 1
Fund pays quarterly payment of 0.1160%
(0.463% per annum) times the notional
amount of Ambac Assurance. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined deliverable
obligation. (Counterparty: Merrill Lynch) 12/20/12 400 42
Fund pays quarterly payment of 0.1060%
(0.425% per annum) times the notional
amount of Ambac Assurance. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined deliverable
obligation. (Counterparty: Barclays) 12/20/12 650 70
Fund pays quarterly payment of 0.2420%
(0.968% per annum) times the notional
amount of Ambac Assurance. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined deliverable
obligation. (Counterparty: Deutsche Bank) 12/20/12 370 47
Fund pays quarterly payment of 0.0970%
(0.388% per annum) times the notional
amount of Ambac Assurance. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined deliverable
obligation. (Counterparty: Lehman Brothers) 12/20/12 100 27
Fund pays quarterly payment of 0.2360%
(0.945% per annum) times the notional
amount of Ambac Assurance. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined deliverable
obligation. (Counterparty: Credit Suisse
First Boston) 12/20/12 325 41
Fund pays quarterly payment of 0.0730%
(0.290% per annum) times the notional
amount of Ambac Assurance. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined deliverable
obligation. (Counterparty: Barclays) 12/20/12 2,000 97
Fund pays quarterly payment of 0.1770%
(0.708% per annum) times the notional
amount of Ambac Assurance. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined deliverable
obligation. (Counterparty: Merrill Lynch) 12/20/12 310 26
Fund pays quarterly payment of 0.0570%
(0.228% per annum) times the notional
amount of Ambac Assurance. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined deliverable
obligation. (Counterparty: JPMorgan Chase) 12/20/12 1,300 40
Fund pays quarterly payment of 0.1970%
(0.788% per annum) times the notional
amount of Countrywide Financial, 4.000%,
12/20/07. Upon a defined credit event, Fund
will receive the notional amount and deliver
the defined deliverable obligation.
(Counterparty: Credit Suisse First Boston) 12/20/07 400 (2)
Fund receives quarterly payment of 0.1880%
(0.750% per annum) times the notional
amount of Countrywide Financial, 4.000%,
12/20/07. Upon a defined credit event, Fund
pays the notional amount and takes receipt of
the defined deliverable obligation.
(Counterparty: Credit Suisse First Boston) 12/20/07 350 (2)
--------
$ (1,570)
========
- ---------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- ---------------------------------------------------------------------------------------------------
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 1,060 $ 91
Pay fixed rate of 4.650% and receive floating rate,
rate based on 5Y5Y Swaption Straddle.
(Counterparty: Lehman Brothers) 05/18/07 1,900 142
Pay fixed rate of 5.000% and receive floating rate,
rate based on 5Y5Y Swaption Straddle.
(Counterparty: Merrill Lynch) 10/18/07 210 9
Pay fixed rate of 5.030% and receive floating rate,
rate based on 5Y5Y Swaption Straddle.
(Counterparty: Merrill Lynch) 10/16/07 210 8
- ---------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- ---------------------------------------------------------------------------------------------------
Pay fixed rate of 5.050% and receive floating rate,
rate based on 5Y5Y Swaption Straddle.
(Counterparty: Lehman Brothers) 10/16/07 210 $ 9
Receive fixed rate of 5.001% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Salomon Brothers) 01/04/21 35,565 1,544
Receive fixed rate of 5.064% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Citigroup) 03/02/16 11,060 416
Receive fixed rate of 5.178% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Barclays Capital) 01/03/17 5,615 334
Receive fixed rate of 5.183% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Credit Suisse First Boston) 11/02/20 28,025 1,206
Receive fixed rate of 5.186% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Citigroup) 03/02/22 16,450 644
Receive fixed rate of 5.280% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Barclays Capital) 09/05/16 3,690 196
Receive fixed rate of 5.302% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Barclays Capital) 05/02/22 5,340 286
Receive fixed rate of 5.310% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Credit Suisse First Boston) 04/03/22 26,200 1,410
Receive fixed rate of 5.391% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Credit Suisse First Boston) 04/04/16 5,980 374
Receive fixed rate of 5.433% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Deutsche Bank) 02/02/22 19,515 1,587
Receive fixed rate of 5.728% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Credit Suisse First Boston) 07/05/16 4,400 447
Receive fixed rate of 5.734% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Credit Suisse First Boston) 07/05/22 6,700 759
--------
$ 9,462
========
Percentages are based on Net Assets of $196,132 ($ Thousands).
* Rate shown is the 7-day effective yield as of November 30, 2007.
+ Real Estate Investment Trust
++ Investments in Affiliated Security (see Note 3)
(A) Securities sold within terms of a private placement memorandum, exempt
from registration under Section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"accredited investors." These securities have been determined to be
liquid under guidelines established by the Board of Trustees.
(B) Variable Rate Security -- The rate reported on the Schedule of
Investments is the rate in effect as of November 30, 2007. The date
reported on the Schedule of Investments is the next reset date.
(C) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
(D) The rate reported on the Schedule of Investments 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) Zero coupon security. The rate reported on the Schedule of Investments is
the effective yield at time of purchase.
(G) Step Bonds -- The rate reflected on the Schedule of Investments is the
effective yield on November 30, 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
LIBOR -- London InterBank Offering Rate
LLC -- Limited Liability Company
L.P. -- Limited Partnership
MTN -- Medium Term Note
NIM -- Net Interest Margin
Ser -- Series
TBA -- To be Announced.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
176 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
Extended Duration Fund
November 30, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS+++:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Asset-Backed Securities 29.9%
Financials 24.8%
Mortgage-Backed Securities 24.6%
Short-Term Investments 10.9%
U.S. Government Agency Obligations 5.0%
Industrials 3.4%
Utilities 0.8%
Consumer Discretionary 0.4%
Certificates of Deposit 0.2%
+++ Percentages based on total investments.
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES -- 30.6%
AGENCY MORTGAGE-BACKED OBLIGATIONS -- 7.7%
FHLMC
6.500%, 08/01/29 $ 585 $ 591
FHLMC ARM
7.267%, 01/01/33 361 365
5.296%, 08/01/34 1,854 1,893
5.248%, 04/01/34 1,114 1,134
5.130%, 04/01/34 964 982
5.086%, 05/01/34 1,655 1,694
4.048%, 08/01/34 1,099 1,127
FHLMC CMO, Ser 2006-4, Cl WE
4.500%, 02/25/36 4,000 3,601
FHLMC CMO, Ser 2733, Cl SB (B)
3.823%, 12/15/07 6,460 5,469
FHLMC CMO, Ser 2748, Cl ZT
5.500%, 02/15/24 375 374
FHLMC CMO, Ser 3096, Cl FL (B)
5.051%, 12/15/07 4,693 4,624
FHLMC CMO, Ser 3152, Cl JF (B)
5.101%, 12/15/07 4,941 4,880
FNMA
7.000%, 04/01/34 613 636
4.350%, 12/17/07 4,450 4,441
FNMA ARM
7.136%, 01/01/33 428 436
6.939%, 07/01/33 372 379
6.875%, 06/01/33 1,285 1,318
6.442%, 08/01/34 772 786
6.139%, 08/01/36 3,362 3,426
5.817%, 11/01/33 1,125 1,134
5.101%, 10/01/34 1,784 1,808
4.770%, 06/01/35 4,447 4,477
4.524%, 09/01/35 4,106 4,106
4.482%, 05/01/35 4,938 5,023
3.886%, 04/01/35 1,090 1,090
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FNMA CMO, Ser 2001-48, Cl PD
6.500%, 06/25/20 $ 171 $ 172
FNMA CMO, Ser 2003-122, Cl ZQ
6.000%, 12/25/33 518 542
FNMA CMO, Ser 2004-12, Cl ZX
6.000%, 03/25/34 472 485
FNMA CMO, Ser 2004-80, Cl XZ
5.000%, 11/25/34 128 105
GNMA CMO, Ser 2003-112,
Cl SG (B)
2.162%, 12/16/07 115 93
GNMA CMO, Ser 2003-86, Cl ZK
5.000%, 10/20/33 2,513 2,383
--------------
59,574
--------------
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 22.9%
Alliance Bancorp Trust, Ser OA1,
Cl A1 (B)
5.029%, 12/25/07 3,464 3,378
American General Mortgage Loan
Trust, Ser 2006-1, Cl A1 (A) (B)
5.750%, 12/25/35 919 908
American Home Mortgage Assets,
Ser 2006-2, Cl 2A1 (B)
4.979%, 12/25/07 6,069 5,890
American Home Mortgage Assets,
Ser 2006-3, Cl 3A12 (B)
4.973%, 12/25/07 5,102 4,980
American Home Mortgage Assets,
Ser 2007-2, Cl A1 (B)
4.914%, 12/25/07 6,215 6,020
American Home Mortgage
Investment Trust, Ser 2007-2,
Cl 11A1 (B)
5.019%, 12/25/07 4,745 4,571
Bank of America Mortgage Securities,
Ser 2003-E, Cl 2A1 (B)
4.033%, 12/01/07 4,067 4,078
Bayview Commercial Asset Trust,
Ser 2005-1A, Cl A1 (A) (B)
5.089%, 12/25/07 4,029 3,922
Bayview Commercial Asset Trust,
Ser 2006-1A, Cl M3 (A) (B)
5.209%, 12/25/07 2,068 1,783
Bayview Commercial Asset Trust,
Ser 2007-1, Cl A1 (A) (B)
5.009%, 12/25/07 5,034 4,759
Bayview Commercial Asset Trust,
Ser 2007-2A, Cl A1 (A) (B)
5.059%, 12/25/07 5,351 5,096
Bayview Commercial Asset Trust,
Ser 2007-3, Cl A1 (A) (B)
5.029%, 12/25/07 6,065 5,796
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 177
SCHEDULE OF INVESTMENTS (Unaudited)
Extended Duration Fund
November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Chase Mortgage Finance,
Ser 2007-A2, Cl 2A3 (B)
4.243%, 11/25/33 $ 3,300 $ 3,236
Citigroup Commercial Mortgage Trust,
Ser 2007-C6, Cl AM (B)
5.889%, 06/10/17 8,775 8,623
Citigroup Mortgage Loan Trust,
Ser 2003-1, Cl WA2
6.500%, 06/25/31 153 156
Citigroup Mortgage Loan Trust,
Ser 2004-2, Cl 2A1 (A)
6.500%, 08/25/18 151 152
Countrywide Alternative Loan Trust,
Ser 2005-27, Cl 2A1 (B)
6.333%, 12/01/07 1,372 1,319
Countrywide Alternative Loan Trust,
Ser 2005-27, Cl 3A2 (B)
6.033%, 12/01/07 165 153
Countrywide Alternative Loan Trust,
Ser 2005-59, Cl 1A1 (B)
5.070%, 12/20/07 4,033 3,906
Countrywide Alternative Loan Trust,
Ser 2005-59, Cl 2X, IO (E)
1.312%, 12/01/07 5,590 200
Countrywide Alternative Loan Trust,
Ser 2005-61, Cl 2A1 (B)
5.069%, 12/25/07 766 743
Countrywide Alternative Loan Trust,
Ser 2005-72, Cl A1 (B)
5.059%, 12/27/07 1,415 1,387
Countrywide Alternative Loan Trust,
Ser 2006-OA11, Cl N1 (A)
6.000%, 09/25/46 101 99
Countrywide Alternative Loan Trust,
Ser 2006-OA12, Cl A2 (B)
4.950%, 12/20/07 4,512 4,392
Countrywide Alternative Loan Trust,
Ser 2006-OA2, Cl X1P, IO
1.772%, 12/01/07 9,714 450
Credit Suisse Mortgage Capital
Securities, Ser 2007-C1, Cl AM
5.416%, 02/15/40 8,775 8,409
DSLA Mortgage Loan Trust,
Ser 2004-AR1, Cl A2A (B)
5.096%, 12/19/07 128 125
DSLA Mortgage Loan Trust,
Ser 2005-AR4, Cl 2A1A (B)
4.946%, 12/21/07 950 926
DSLA Mortgage Loan Trust,
Ser 2006-AR1, Cl 2A1A (B)
5.873%, 12/01/07 6,275 6,287
GS Mortgage Securities,
Ser 2006-GG8, Cl A4
5.560%, 11/10/39 5,935 5,980
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
GS Mortgage Securities,
Ser 2007-GG10, Cl A4 (B)
5.993%, 08/10/45 $ 4,240 $ 4,345
Greenpoint Mortgage Funding Trust,
Ser 2006-AR3, Cl 4A1 (B)
4.999%, 12/25/07 5,683 5,524
Greenwich Capital Commercial
Funding, Ser 2005-GG5,
Cl AM (B)
5.277%, 12/01/07 8,775 8,443
Greenwich Capital Commercial
Funding, Ser 2007-GG9, Cl A4
5.444%, 03/10/39 2,440 2,431
Harborview Mortgage Loan Trust,
Ser 2004-8, Cl 2A4A (B)
5.086%, 12/19/07 829 821
Harborview Mortgage Loan Trust,
Ser 2005-01, Cl X, IO (E)
1.446%, 12/01/07 1,466 26
Harborview Mortgage Loan Trust,
Ser 2005-10, Cl 2A1A (B)
4.996%, 12/21/07 986 952
Harborview Mortgage Loan Trust,
Ser 2005-10, Cl X, IO (B)
1.548%, 12/01/07 4,956 112
Harborview Mortgage Loan Trust,
Ser 2005-12, Cl X2B, IO (B)
1.339%, 12/01/07 5,820 105
Harborview Mortgage Loan Trust,
Ser 2006-1, Cl X1, IO (B)
1.863%, 03/19/37 9,091 317
Indymac Index Mortgage Loan Trust,
Ser 2004-AR12, Cl A1 (B)
5.179%, 12/25/07 432 422
Indymac Index Mortgage Loan Trust,
Ser 2004-AR12, Cl AX2, IO (E)
0.676%, 12/01/07 1,703 32
Indymac Index Mortgage Loan Trust,
Ser 2004-AR5, Cl 2A1B (B)
5.189%, 12/27/07 398 391
Indymac Index Mortgage Loan Trust,
Ser 2004-AR6, Cl 6A1 (B)
5.460%, 12/01/07 240 240
Indymac Index Mortgage Loan Trust,
Ser 2004-AR7, Cl A2 (B)
5.219%, 12/25/07 128 127
Indymac Index Mortgage Loan Trust,
Ser 2004-AR8, Cl 2A2A (B)
5.189%, 12/27/07 318 307
Indymac Index Mortgage Loan Trust,
Ser 2005-AR18, Cl 2A1A (B)
5.099%, 12/25/07 1,962 1,911
- --------------------------------------------------------------------------------
178 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Indymac Index Mortgage Loan Trust,
Ser 2005-AR18, Cl 2A1B (B)
5.569%, 12/25/07 $ 515 $ 508
Indymac Index Mortgage Loan Trust,
Ser 2006-AR2, Cl 1A1A (B)
5.009%, 12/25/07 2,185 2,110
Inman Square Funding, Ser 2A,
Cl I (A) (B)
5.694%, 01/06/08 3,300 2,805
JPMorgan Chase Commercial
Mortgage, Ser 2006-LDP7,
Cl A4 (B)
6.066%, 12/01/07 1,635 1,687
JPMorgan Chase Commercial
Mortgage, Ser 2007-CB19,
Cl A4 (B)
5.937%, 02/12/49 4,485 4,570
JPMorgan Chase Commercial
Mortgage, Ser 2007-LDPX, Cl A3
5.420%, 01/15/49 1,400 1,388
JPMorgan Mortgage Trust,
Ser 2005-A2, Cl 9A1 (B)
4.236%, 04/25/35 2,965 3,057
Lehman XS NIM Trust, Ser 2006-2N,
Cl A1 (A)
7.000%, 02/27/46 664 663
Master Adjustable Rate Mortgage
Trust, Ser 2006-0A2, Cl 4A1A (B)
5.783%, 12/01/07 8,112 7,892
Master Alternative Loans Trust,
Ser 2003-3, Cl 2A1
8.500%, 05/25/33 157 158
Master Seasoned Securities Trust,
Ser 2005-1, Cl 4A1 (B)
6.025%, 12/25/07 940 958
Residential Accredit Loans,
Ser 2005-Q03, Cl A1 (B)
5.189%, 12/25/07 6,926 6,761
Structured Asset Mortgage
Investments, Ser 2006-AR1,
Cl 3A1 (B)
5.019%, 12/28/07 2,740 2,624
Structured Asset Mortgage
Investments, Ser 2006-AR5,
Cl 2A1 (B)
4.999%, 12/25/07 707 678
Wachovia Bank Commercial
Mortgage Trust, Ser 2006-C25,
Cl AM (B)
5.742%, 12/01/07 3,620 3,592
Washington Mutual, Ser 2000-1,
Cl M2 (B)
5.933%, 12/25/07 468 468
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Washington Mutual, Ser 2003-AR10,
Cl A4 (B)
4.056%, 10/25/33 $ 6,787 $ 6,738
Washington Mutual, Ser 2003-AR6,
Cl A1 (B)
4.325%, 12/01/07 1,381 1,372
Washington Mutual, Ser 2004-AR3,
Cl A2 (B)
4.243%, 06/25/34 1,037 1,026
Washington Mutual, Ser 2005-AR2,
Cl 2A21 (B)
5.119%, 12/25/07 697 682
Washington Mutual, Ser 2005-AR6,
Cl 2AB1 (B)
4.979%, 12/25/07 7 7
Washington Mutual, Ser 2006-AR9,
Cl 1XPP (E)
0.592%, 12/01/07 110,656 870
Washington Mutual, Ser 2007-0A3,
Cl 4A1 (B)
5.703%, 12/01/07 4,067 3,958
--------------
178,802
--------------
Total Mortgage-Backed Securities
(Cost $240,412) ($ Thousands) 238,376
--------------
ASSET-BACKED SECURITIES -- 26.3%
MORTGAGE RELATED SECURITIES -- 26.3%
Ace Securities, Ser WF1, Cl A2C (B)
5.129%, 12/25/07 3,909 3,822
Asset-Backed Securities Home
Equity Loan Trust, Ser 2003-HE4,
Cl M2 (B)
6.652%, 12/15/07 1,297 1,206
Asset-Backed Securities Home
Equity Loan Trust, Ser 2005-HE6,
Cl A2D (B)
5.071%, 12/25/07 7,500 7,460
Aviation Capital Group Trust,
Ser 2003-2A, Cl G2 (A) (B)
5.540%, 12/20/07 1,224 1,232
BNC Mortgage Loan Trust,
Ser 2007-2, Cl A2 (B)
4.889%, 12/25/07 1,663 1,602
Bayview Financial Acquisition Trust,
Ser 2004-B, Cl A1 (A) (B)
5.300%, 12/28/07 4,500 4,275
Bayview Financial Acquisition Trust,
Ser 2005-A, Cl A1 (A) (B)
5.300%, 12/28/07 4,400 4,180
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 179
SCHEDULE OF INVESTMENTS (Unaudited)
Extended Duration Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Bayview Financial Revolving
Mortgage Loan Trust, Ser 2005-E,
Cl A1 (A) (B)
5.300%, 12/28/07 $ 3,200 $ 2,941
Bear Stearns Asset-Backed Securities
Trust, Ser 2007-HE1, Cl 1A1 (B)
4.909%, 12/25/07 6,791 6,611
Bear Stearns Asset-Backed Securities
Trust, Ser 2007-HE5, Cl 1A2 (B)
4.969%, 12/25/07 4,500 4,091
Carrington Mortgage Loan Trust,
Ser 2007-RFC1, Cl 1 (B)
4.839%, 12/25/07 2,166 2,114
Centex Home Equity, Ser 2002-D,
Cl AF4 (G)
5.210%, 12/01/07 1,244 1,236
Citigroup Mortgage Loan Trust,
Ser 2007-WFH1, Cl A1 (B)
4.843%, 12/25/07 1,494 1,464
Citigroup Mortgage Loan Trust,
Ser 2007-WFH1, Cl A3 (B)
4.933%, 12/25/07 3,000 2,569
Citigroup Mortgage Loan Trust,
Ser 2007-WFH4, Cl M2 (B)
6.933%, 12/26/07 5,726 5,669
Continental Airlines, Ser 2002-1,
Cl G1 (B)
5.319%, 02/15/08 293 294
Countrywide Asset-Backed
Certificates, Ser 2003-BC1,
Cl M1 (B)
6.169%, 12/25/07 515 471
Countrywide Asset-Backed
Certificates, Ser 2005-13,
Cl AF1 (B)
4.919%, 12/27/07 175 175
Countrywide Asset-Backed
Certificates, Ser 2005-BC4,
Cl 2A2 (B)
5.059%, 12/25/07 4,825 4,815
Countrywide Home Equity Loan Trust,
Ser 2005-M, Cl A2 (B)
4.772%, 12/15/07 232 232
Credit-Based Asset Servicing,
Ser 2005-CB5, Cl AF1 (B)
4.929%, 12/25/07 316 316
Credit-Based Asset Servicing,
Ser 2006-CB1, Cl AF1 (G)
5.457%, 01/25/36 3,084 3,065
Credit-Based Asset Servicing,
Ser 2006-CB4, Cl AV3 (B)
4.939%, 12/25/07 4,750 4,410
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Credit-Based Asset Servicing,
Ser 2007-CB1, Cl AF1A (B)
4.943%, 12/25/07 $ 4,757 $ 4,645
Credit-Based Asset Servicing,
Ser 2007-CB2, Cl A2A (G)
5.891%, 02/25/37 3,079 3,058
Credit-Based Asset Servicing,
Ser 2007-CB5, Cl A1
4.849%, 12/25/07 6,547 6,224
First Franklin Mortgage Loan Asset,
Ser 2005-FF10, Cl A3 (B)
4.999%, 12/25/07 3,482 3,454
First Franklin Mortgage Loan Asset,
Ser 2005-FF12, Cl A2A (B)
4.879%, 12/25/07 959 957
First Franklin Mortgage Loan Asset,
Ser 2005-FF2, Cl A2C (B)
5.099%, 12/25/07 4,560 4,455
First Franklin Mortgage Loan Asset,
Ser 2006-FF17, Cl A6 (B)
5.099%, 12/25/07 4,700 3,994
First Franklin Mortgage Loan Asset,
Ser 2007-FF1, Cl A2D (B)
5.009%, 12/25/07 6,000 4,960
First Franklin Mortgage Loan Asset,
Ser 2007-FF2, Cl A2D (B)
5.009%, 12/25/07 3,800 3,141
GMAC Mortgage Loan Trust,
Ser 2000-HE2, Cl A1 (B)
5.229%, 12/25/07 858 839
GSAMP Trust, Ser 2006-FM1,
Cl A2A (B)
4.849%, 12/25/07 987 985
GSAMP Trust, Ser 2006-HE7,
Cl A2A (B)
4.829%, 12/25/07 2,687 2,624
GSAMP Trust, Ser 2006-S6,
Cl A2 (G)
5.552%, 10/25/36 4,000 1,656
GSR Mortgage Loan Trust,
Ser 2005-HEL1, Cl M2 (B)
5.519%, 12/29/07 2,400 477
Greenpoint Mortgage Funding Trust,
Ser 2005-HE2, Cl A1 (B)
4.852%, 12/15/07 49 49
Hasco NIM Trust, Ser 2006-FF11,
Cl A (A)
6.168%, 08/26/36 207 174
Home Equity Asset Trust,
Ser 2005-6, Cl 1A2 (B)
5.069%, 12/25/07 5,124 4,997
- --------------------------------------------------------------------------------
180 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Home Equity Asset Trust,
Ser 2007-2, Cl 2A4 (B)
5.159%, 12/02/07 $ 1,400 $ 1,177
Home Equity Asset Trust,
Ser 2007-3, Cl 2A2 (B)
4.969%, 12/25/07 4,500 4,018
Indymac Home Equity Loan Asset-
Backed Trust, Ser 2002-A,
Cl M1 (B)
5.914%, 12/27/07 1,241 1,203
Indymac Residential Asset-Backed
Trust, Ser 2006-A, Cl A2 (B)
4.939%, 12/25/07 2,350 2,285
Irwin Home Equity, Ser 2003-A,
Cl M2 (B)
6.939%, 12/27/07 378 369
Ivy Lane CDO, Ser 2006-1A,
Cl A1 (A) (B)
5.205%, 02/05/08 2,735 2,379
JPMorgan Mortgage Acquisition,
Ser 2006-CH2, Cl AV2 (B)
4.839%, 12/25/07 3,609 3,515
Lehman XS Trust, Ser 2006-12N,
Cl A1A1 (B)
4.869%, 12/25/07 600 597
Long Beach Asset Holdings,
Ser 2006-8, Cl N1 (A)
6.048%, 10/25/46 1,625 813
Long Beach Asset Holdings,
Ser 2006-9, Cl N1 (A)
6.250%, 10/25/46 1,214 607
Long Beach Mortgage Loan Trust,
Ser 2006-11, Cl 2A1 (B)
4.849%, 12/25/07 1,628 1,584
Master Asset-Backed Securities Trust,
Ser 2007-HE1, Cl A1 (B)
4.869%, 12/25/07 6,175 5,889
Merrill Lynch Mortgage Investors
Trust, Ser 2006-RM4, Cl A2B (B)
4.889%, 12/25/07 7,123 6,744
Mid-State Trust, Ser 2004-1, Cl B
8.900%, 08/15/37 357 346
Morgan Stanley Capital I,
Ser 2002-HE3, Cl M1 (B)
5.888%, 12/26/07 2,428 2,344
Morgan Stanley Capital I,
Ser 2007-HE5, Cl A2A (B)
4.899%, 12/25/07 1,607 1,567
Morgan Stanley Capital I,
Ser 2007-HE7, Cl M1 (B)
6.789%, 12/25/07 4,942 4,448
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
NationStar NIM Trust, Ser 2007-B,
Cl A (A)
8.750%, 05/25/37 $ 1,390 $ 1,112
NationStar NIM Trust, Ser 2007-C,
Cl A (A)
8.000%, 06/25/37 1,308 726
Nationstar Home Equity Loan Trust,
Ser 2006-B, Cl AV3 (B)
4.959%, 12/25/07 5,075 4,441
Nationstar Home Equity Loan Trust,
Ser 2007-A, Cl AV1 (B)
4.849%, 12/25/07 4,210 4,125
Nationstar Home Equity Loan Trust,
Ser 2007-A, Cl AV4 (B)
5.019%, 12/25/07 4,000 3,384
Nationstar Home Equity Loan Trust,
Ser 2007-B, Cl 2AV4 (B)
5.109%, 12/25/07 4,240 3,596
Nomura Asset Acceptance,
Ser 2006-S4, Cl AIO, IO (B)
10.000%, 08/25/36 6,667 415
Nomura Home Equity Loan,
Ser 2007-3, Cl 2A1 (B)
4.929%, 12/31/07 4,987 4,788
Popular Asset-Backed Mortgage
Pass-Through Trust, Ser 2007-D,
Cl A1 (B)
4.849%, 12/25/07 1,289 1,262
Renaissance Home Equity Loan
Trust, Ser 2006-4, Cl AV1 (B)
4.859%, 12/25/07 1,358 1,326
Renaissance Home Equity Loan
Trust, Ser 2007-1, Cl N (B)
9.793%, 04/25/37 985 769
Residential Asset Mortgage Products,
Ser 2006-RZ5, Cl A1B (B)
4.889%, 12/25/07 5,369 5,269
Residential Funding Mortgage
Securities, Ser 1999-HI8,
Cl AI7 (G)
7.970%, 11/25/29 217 216
Saco I Trust, Ser 2006-8,
Cl AIO, IO (B)
5.500%, 06/25/36 13,190 217
Saxon Asset Securities Trust,
Ser 2005-1, Cl M1 (B)
5.584%, 12/25/07 2,925 2,778
Securitized Asset-Backed
Receivables LLC, Ser 2007-HE1,
Cl A2A (B)
4.849%, 12/25/07 4,492 4,127
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 181
SCHEDULE OF INVESTMENTS (Unaudited)
Extended Duration Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Securitized Asset-Backed
Receivables LLC, Ser 2007-BR,
Cl A2A (B)
4.919%, 12/25/07 $ 5,189 $ 5,025
Soundview Home Equity Loan Trust,
Ser 2006-OPT3, Cl 2A1 (B)
4.849%, 12/25/07 2,819 2,808
Soundview Home Equity Loan Trust,
Ser 2007-OPT5, Cl M1 (B)
6.439%, 12/25/07 5,700 4,560
Soundview NIM Trust,
Ser 2007-OPT1, Cl N (A)
9.000%, 06/25/37 1,730 1,384
Terwin Mortgage Trust, Ser 2006-8,
Cl 2A1 (A) (B)
4.500%, 08/25/37 41 38
UCFC Home Equity Loan,
Ser 1998-D, Cl MF1
6.905%, 04/15/30 215 216
Wells Fargo Home Equity Trust,
Ser 2007-1, Cl A1 (B)
4.889%, 12/25/07 1,482 1,449
--------------
Total Asset-Backed Securities
(Cost $222,442) ($ Thousands) 204,855
--------------
CORPORATE OBLIGATIONS -- 10.3%
CONSUMER DISCRETIONARY -- 0.4%
Comcast (B)
5.543%, 01/16/08 1,850 1,843
Johnson Controls (B)
5.444%, 01/17/08 1,049 1,049
--------------
2,892
--------------
FINANCIALS -- 6.8%
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 1,162
Capital One Financial MTN (B)
6.004%, 12/11/07 1,000 948
Citigroup
4.125%, 02/22/10 3,494 3,460
Countrywide Financial (B)
5.128%, 02/05/08 1,200 1,066
Countrywide Financial MTN
5.430%, 12/26/07 950 714
Countrywide Home Loan MTN, Ser K
4.250%, 12/19/07 3,500 3,465
Credit Suisse First Boston London
(A) (B) (F)
0.000%, 12/24/07 569 552
0.000%, 12/24/07 1,419 1,377
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Deutsche Bank Capital Funding Trust
(A) (B)
5.628%, 01/19/49 $ 2,013 $ 1,790
Deutsche Bank Luxembourg (A)
6.825%, 12/28/07 304 304
Developers Divers Realty+
3.875%, 01/30/09 1,925 1,906
Duke Realty+
6.750%, 05/30/08 1,125 1,135
Farmers Insurance Exchange (A)
8.625%, 05/01/24 175 198
First Union Institutional Capital I
8.040%, 12/01/26 1,250 1,301
Ford Motor Credit LLC
6.625%, 06/16/08 500 492
GMAC LLC (B)
7.821%, 12/25/07 982 805
HSBC Capital Trust II (A)
8.380%, 05/15/27 41 43
Kimco Realty MTN, Ser C+
3.950%, 08/05/08 2,500 2,478
Lehman Brothers Holdings MTN (B)
11.000%, 11/07/16 1,000 1,072
8.920%, 02/16/08 756 756
5.429%, 01/18/08 990 933
4.978%, 02/16/08 2,000 1,956
Lehman Brothers Holdings MTN,
Ser H (B)
1.427%, 05/30/08 861 941
Meridian Funding (A) (B)
5.443%, 01/06/08 77 77
Merrill Lynch MTN (B)
8.950%, 05/18/08 1,340 1,288
8.680%, 05/02/08 1,305 1,258
Nationwide Mutual Insurance (A)
7.875%, 04/01/33 523 623
Popular North America (B)
6.054%, 12/12/07 1,200 1,200
5.200%, 12/12/07 2,500 2,500
Power Receivables Financial (A)
6.290%, 01/01/12 1,128 1,180
Security Benefit Life (A)
7.450%, 10/01/33 2,500 2,631
Simon Property Group L.P.+
5.750%, 05/01/12 800 818
Toyota Motor Credit MTN (B)
8.000%, 04/24/08 2,041 2,027
UDR MTN, Ser E+
4.500%, 03/03/08 1,000 998
4.250%, 01/15/09 1,550 1,530
Weingarten Realty+
8.250%, 01/22/10 2,725 2,944
- --------------------------------------------------------------------------------
182 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Woodbourne Pass-Through Trust
(A) (B)
5.767%, 12/08/07 $ 700 $ 698
ZFS Finance USA Trust V (A) (B)
6.500%, 05/09/37 825 751
--------------
52,943
--------------
INDUSTRIALS -- 2.4%
America West Airlines, Ser 01-1
7.100%, 04/02/21 175 180
American Airlines, Ser 1999-1
7.024%, 10/15/09 1,300 1,305
American Airlines, Ser AMBC
3.857%, 07/09/10 2,096 2,012
Cedar Brakes II LLC (A)
9.875%, 09/01/13 1,077 1,183
Continental Airlines, Ser 1998-3
6.320%, 11/01/08 2,000 2,030
Continental Airlines, Ser 99-2
7.056%, 09/15/09 2,145 2,172
Continental Airlines, Ser AMBC
6.236%, 03/15/20 116 115
Delta Air Lines, Ser 2001-1
7.111%, 09/18/11 2,200 2,216
Northwest Airlines, Ser 1A-2
6.841%, 04/01/11 2,200 2,201
United Air Lines, Ser 2001-1
6.201%, 09/01/08 768 764
United Air Lines, Ser 2001-1, Cl A-1
6.071%, 03/01/13 2,882 2,867
Viacom (B)
6.044%, 12/16/07 2,000 1,992
--------------
19,037
--------------
UTILITIES -- 0.7%
Entergy Gulf States (B)
5.980%, 02/15/08 560 556
Power Contract Financing (A)
6.256%, 02/01/10 1,707 1,744
Progress Energy Florida, Cl A (B)
5.279%, 12/13/07 1,700 1,696
Sempra Energy (A)
5.781%, 11/01/14 1,400 1,428
--------------
5,424
--------------
Total Corporate Obligations
(Cost $81,189) ($ Thousands) 80,296
--------------
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
PREFERRED STOCK -- 1.0%
FINANCIALS -- 1.0%
Freddie Mac, 8.375%** 304,000 $ 7,752
--------------
Total Preferred Stock
(Cost $7,600) ($ Thousands) 7,752
--------------
U.S. GOVERNMENT AGENCY OBLIGATIONS (E) -- 2.7%
FHLB
4.355%, 12/26/07 $ 2,230 2,223
4.324%, 12/28/07 2,000 1,994
4.311%, 12/05/07 300 300
4.304%, 12/07/07 1,285 1,284
FHLMC
4.759%, 12/07/07 (C) 550 550
FNMA
4.709%, 12/07/07 (C) 14,705 14,698
4.140%, 12/05/07 (C) 220 220
--------------
Total U.S. Government Agency Obligations
(Cost $21,264) ($ Thousands) 21,269
--------------
COMMERCIAL PAPER (D) -- 14.0%
FINANCIALS -- 14.0%
BNP Paribas Finance
4.750%, 12/17/07 13,885 13,857
Bear Stearns
4.723%, 12/07/07 7,390 7,383
Citigroup Funding
4.550%, 12/06/07 10,000 9,994
General Electric Capital
4.450%, 12/27/07 13,030 12,988
Merrill Lynch
4.880%, 12/19/07 11,845 11,816
Rabobank USA Financial
4.620%, 12/20/07 13,640 13,607
Societe Generale
4.744%, 12/17/07 13,410 13,382
UBS Finance
5.771%, 12/20/07 13,740 13,706
Wells Fargo
4.530%, 12/05/07 12,500 12,494
--------------
Total Commercial Paper
(Cost $109,228) ($ Thousands) 109,227
--------------
CASH EQUIVALENT -- 2.9%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.020%++* 22,989,461 22,989
--------------
Total Cash Equivalent
(Cost $22,989) ($ Thousands) 22,989
--------------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 183
SCHEDULE OF INVESTMENTS (Unaudited)
Extended Duration Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT (B) -- 0.2%
JPMorgan Chase
8.750%, 02/28/08 $ 691 $ 683
7.590%, 12/28/07 735 704
--------------
Total Certificates of Deposit
(Cost $1,392) ($ Thousands) 1,387
--------------
Total Investments -- 88.0%
(Cost $706,516) ($ Thousands) $ 686,151
==============
A summary of the open futures contracts held by the Fund at November 30, 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 67 Mar-2008 $ 4
=====
A summary of outstanding swap agreements held by the Fund at November 30, 2007,
is as follows:
- --------------------------------------------------------------------------------
CREDIT DEFAULT SWAPS
- --------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- -------------------------------------------------------------------------------------------------
Fund pays monthly payment of 0.0270%
(0.320% per annum) times the notional
amount of the ABX.HE.AA 06-1 Index.
Upon a defined credit event, Fund receives
the notional amount and delivers
the defined deliverable obligation.
(Counterparty: Lehman Brothers) 07/25/45 5,300 $ 335
Fund pays monthly payment of 0.0370%
(0.440% per annum) times the notional
amount of the ABX.HE.AA 06-2 Index.
Upon a defined credit event, Fund receives
the notional amount and delivers
the defined deliverable obligation.
(Counterparty: Citigroup) 05/25/46 1,790 205
Fund pays monthly payment of 0.0370%
(0.440% per annum) times the notional
amount of the ABX.HE.AA 06-2 Index.
Upon a defined credit event, Fund receives
the notional amount and delivers
the defined deliverable obligation.
(Counterparty: Lehman Brothers) 05/25/46 905 176
Fund receives monthly payment of 0.0080%
(0.090% per annum) times the notional
amount of the ABX.HE.AA 07-1 Index.
Upon a defined credit event, Fund pays the
notional amount and takes receipt
of the defined deliverable obligation.
(Counterparty: Credit Suisse First Boston) 08/25/37 4,170 (214)
Fund receives monthly payment of 0.0130%
(0.150% per annum) times the notional
amount of the ABX.HE.AA 07-1 Index.
Upon a defined credit event, Fund pays the
notional amount and takes receipt
of the defined deliverable obligation.
(Counterparty: Citigroup) 08/25/37 600 (178)
Fund receives monthly payment of 0.0130%
(0.150% per annum) times the notional
amount of the ABX.HE.AA 07-1 Index.
Upon a defined credit event, Fund pays the
notional amount and takes receipt
of the defined deliverable obligation.
(Counterparty: Citigroup) 08/25/37 605 (207)
Fund receives monthly payment of 0.0130%
(0.150% per annum) times the notional
amount of the ABX.HE.AA 07-1 Index.
Upon a defined credit event, Fund pays the
notional amount and takes receipt
of the defined deliverable obligation.
(Counterparty: Barclays) 08/25/37 650 (189)
Fund receives monthly payment of 0.0130%
(0.150% per annum) times the notional
amount of the ABX.HE.AA 07-1 Index.
Upon a defined credit event, Fund pays the
notional amount and takes receipt
of the defined deliverable obligation.
(Counterparty: Citigroup) 08/25/37 595 (165)
- -------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- -------------------------------------------------------------------------------------------------
Fund receives monthly payment of 0.0130%
(0.150% per annum) times the notional
amount of the ABX.HE.AA 07-1 Index.
Upon a defined credit event, Fund pays the
notional amount and takes receipt
of the defined deliverable obligation.
(Counterparty: Citigroup) 08/25/37 1,000 $ (248)
Fund receives monthly payment of 0.0130%
(0.150% per annum) times the notional
amount of the ABX.HE.AA 07-1 Index.
Upon a defined credit event, Fund pays the
notional amount and takes receipt
of the defined deliverable obligation.
(Counterparty: Lehman Brothers) 08/25/37 2,980 (672)
Fund receives monthly payment of 0.3080%
(3.690% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index.
Upon a defined credit event, Fund pays the
notional amount and takes receipt
of the defined deliverable obligation.
(Counterparty: Citigroup) 01/25/38 1,790 (300)
Fund receives monthly payment of 0.3080%
(3.690% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index.
Upon a defined credit event, Fund pays the
notional amount and takes receipt
of the defined deliverable obligation.
(Counterparty: Lehman Brothers) 01/25/38 905 (208)
Fund receives monthly payment of 0.1600%
(1.920% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index.
Upon a defined credit event, Fund pays the
notional amount and takes receipt
of the defined deliverable obligation.
(Counterparty: Lehman Brothers) 01/25/38 1,735 (846)
Fund receives monthly payment of 0.1600%
(1.920% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index.
Upon a defined credit event, Fund pays the
notional amount and takes receipt
of the defined deliverable obligation.
(Counterparty: Lehman Brothers) 01/25/38 1,030 (112)
Fund receives monthly payment of 0.1600%
(1.920% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index.
Upon a defined credit event, Fund pays the
notional amount and takes receipt
of the defined deliverable obligation.
(Counterparty: Lehman Brothers) 01/25/38 1,030 (54)
Fund receives monthly payment of 0.1600%
(1.920% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index.
Upon a defined credit event, Fund pays the
notional amount and takes receipt
of the defined deliverable obligation.
(Counterparty: Lehman Brothers) 01/25/38 1,030 (49)
Fund receives monthly payment of 0.1600%
(1.920% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index.
Upon a defined credit event, Fund pays the
notional amount and takes receipt
of the defined deliverable obligation.
(Counterparty: Lehman Brothers) 01/25/38 1,030 3
Fund receives monthly payment of 0.1600%
(1.920% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index.
Upon a defined credit event, Fund pays the
notional amount and takes receipt
of the defined deliverable obligation.
(Counterparty: Citigroup) 01/25/38 1,120 (389)
Fund receives monthly payment of 0.1600%
(1.920% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index.
Upon a defined credit event, Fund pays the
notional amount and takes receipt
of the defined deliverable obligation.
(Counterparty: Citigroup) 01/25/38 895 (392)
Fund receives monthly payment of 0.1600%
(1.920% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index.
Upon a defined credit event, Fund pays the
notional amount and takes receipt
of the defined deliverable obligation.
(Counterparty: Citigroup) 01/25/38 595 (237)
Fund receives monthly payment of 0.1600%
(1.920% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index.
Upon a defined credit event, Fund pays the
notional amount and takes receipt
of the defined deliverable obligation.
(Counterparty: Citigroup) 01/25/38 5,965 (2,254)
- --------------------------------------------------------------------------------
184 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- -------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- -------------------------------------------------------------------------------------------------
Fund receives monthly payment of 0.1600%
(1.920% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index.
Upon a defined credit event, Fund pays the
notional amount and takes receipt
of the defined deliverable obligation.
(Counterparty: JPMorgan Chase) 01/25/38 600 $ (268)
Fund receives monthly payment of 0.1600%
(1.920% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index.
Upon a defined credit event, Fund pays the
notional amount and takes receipt
of the defined deliverable obligation.
(Counterparty: JPMorgan Chase) 01/25/38 2,085 (1,668)
Fund receives monthly payment of 0.4200%
(5.000% per annum) times the notional
amount of the ABX.HE.BBB 07-2 Index.
Upon a defined credit event, Fund pays
the notional amount and takes receipt of
the defined Lehman Brothers) 01/25/38 3,580 (460)
Fund receives monthly payment of 0.4200%
(5.000% per annum) times the notional
amount of the ABX.HE.BBB 07-2 Index.
Upon a defined credit event, Fund pays the
notional amount and takes receipt of the
defined deliverable obligation. (Counterparty:
Lehman Brothers) 01/25/38 1,520 (211)
Fund receives monthly payment of 0.1600%
(1.920% per annum) times the notional
amount of the ABX.HE.AA 07-2 Index. Upon
a defined credit event, Fund pays the notion-
al amount and takes receipt of the defined
deliverable obligation. (Counterparty:
JPMorgan Chase) 01/25/38 1,190 (473)
Fund pays quarterly payment of 0.2440%
(0.978% per annum) times the notional
amount of Ambac Assurance. Upon a
defined credit event, Fund will receive the
notional amount and deliver the
defined deliverable obligation.(Counterparty:
Citigroup) 12/20/12 825 104
Fund pays quarterly payment of 0.0910%
(0.365% per annum) times the notional
amount of Ambac Assurance. Upon a
defined credit event, Fund will receive the
notional amount and deliver the defined
deliverable obligation. (Counterparty:
JPMorgan Chase) 12/20/12 150 40
Fund pays quarterly payment of 0.0990%
(0.398% per annum) times the notional
amount of Ambac Assurance. Upon a
defined credit event, Fund will receive the
notional amount and deliver the defined
deliverable obligation. (Counterparty:
Deutsche Bank) 12/20/12 1,000 266
Fund pays quarterly payment of 0.2430%
(0.970% per annum) times the notional
amount of Ambac Assurance. Upon a
defined credit event, Fund will receive the
notional amount and deliver the defined
deliverable obligation. (Counterparty:
Citigroup) 12/20/12 1,000 126
Fund pays quarterly payment of 0.1770%
(0.708% per annum) times the notional
amount of Ambac Assurance. Upon a
defined credit event, Fund will receive the
notional amount and deliver the defined
deliverable obligation. (Counterparty:
Citigroup) 12/20/12 740 62
Fund pays quarterly payment of 0.2280%
(0.913% per annum) times the notional
amount of Ambac Assurance. Upon a
defined credit event, Fund will receive the
notional amount and deliver the defined
deliverable obligation. (Counterparty:
Merrill Lynch) 12/20/12 670 85
Fund pays quarterly payment of 0.1740%
(0.695% per annum) times the notional
amount of Ambac Assurance. Upon a
defined credit event, Fund will receive the
notional amount and deliver the defined
deliverable obligation. (Counterparty:
Merrill Lynch) 12/20/12 1,800 153
Fund pays quarterly payment of 0.2230%
(0.890% per annum) times the notional
amount of Ambac Assurance. Upon a
defined credit event, Fund will receive the
notional amount and deliver the defined
deliverable obligation. (Counterparty:
Merrill Lynch) 12/20/12 1,100 140
- -------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- -------------------------------------------------------------------------------------------------
Fund pays quarterly payment of 0.0970%
(0.388% per annum) times the
notional amount of Ambac Assurance. Upon
a defined credit event, Fund will
receive the notional amount and deliver the
defined deliverable obligation. (Counterparty:
Lehman Brothers) 12/20/12 275 $ 73
Fund pays quarterly payment of 0.0790%
(0.318% per annum) times the notional
amount of Ambac Assurance. Upon a
defined credit event, Fund will receive the
notional amount and deliver the defined
deliverable obligation. (Counterparty:
Barclays) 12/20/12 7,650 856
Fund pays quarterly payment of 0.0460%
(0.185% per annum) times the notional
amount of Ambac Assurance. Upon a
defined credit event, Fund will receive the
notional amount and deliver the defined
deliverable obligation. (Counterparty:
JPMorgan Chase) 12/20/12 4,300 99
Fund pays quarterly payment of 0.0470%
(0.188% per annum) times the notional
amount of Ambac Assurance. Upon a
defined credit event, Fund will receive the
notional amount and deliver the defined
deliverable obligation. (Counterparty:
Barclays) 12/20/12 50 1
Fund pays quarterly payment of 0.1160%
(0.463% per annum) times the notional
amount of Ambac Assurance. Upon a
defined credit event, Fund will receive the
notional amount and deliver the defined
deliverable obligation. (Counterparty:
Merrill Lynch) 12/20/12 1,000 106
Fund pays quarterly payment of 0.1060%
(0.425% per annum) times the notional
amount of Ambac Assurance. Upon a
defined credit event, Fund will receive the
notional amount and deliver the defined
deliverable obligation. (Counterparty:
Barclays) 12/20/12 500 54
Fund pays quarterly payment of 0.2420%
(0.968% per annum) times the notional
amount of Ambac Assurance. Upon a
defined credit event, Fund will receive the
notional amount and deliver the defined
deliverable obligation. (Counterparty:
Deutsche Bank) 12/20/12 610 77
Fund pays quarterly payment of 0.0970%
(0.388% per annum) times the notional
amount of Ambac Assurance. Upon a
defined credit event, Fund will receive the
notional amount and deliver the defined
deliverable obligation. (Counterparty:
Lehman Brothers) 12/20/12 200 53
Fund pays quarterly payment of 0.2360%
(0.945% per annum) times the notional
amount of Ambac Assurance. Upon a
defined credit event, Fund will receive the
notional amount and deliver the defined
deliverable obligation. (Counterparty:
Credit Suisse First Boston) 12/20/12 1,000 127
Fund pays quarterly payment of 0.0730%
(0.290% per annum) times the notional
amount of Ambac Assurance. Upon a
defined credit event, Fund will receive the
notional amount and deliver the defined
deliverable obligation. (Counterparty:
Barclays) 12/20/12 6,500 314
Fund pays quarterly payment of 0.1770%
(0.708% per annum) times the notional
amount of Ambac Assurance. Upon a
defined credit event, Fund will receive the
notional amount and deliver the defined
deliverable obligation. (Counterparty:
Merrill Lynch) 12/20/12 1,050 88
Fund pays quarterly payment of 0.0570%
(0.228% per annum) times the notional
amount of Ambac Assurance. Upon a
defined credit event, Fund will receive the
notional amount and deliver the defined
deliverable obligation. (Counterparty:
JPMorgan Chase) 12/20/12 4,300 132
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 185
SCHEDULE OF INVESTMENTS (Unaudited)
Extended Duration Fund (Concluded)
November 30, 2007
- -------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- -------------------------------------------------------------------------------------------------
Fund pays quarterly payment of 0.1970%
(0.788% per annum) times the notional
amount of Countrywide Financial, 4.000%,
12/20/07. Upon a defined credit event, Fund
will receive the notional amount and deliver
the defined deliverable obligation.
(Counterparty: Credit Suisse First Boston) 12/20/07 1,000 $ (6)
Fund receives quarterly payment of 0.1880%
(0.750% per annum) times the notional
amount of Countrywide Financial, 4.000%,
12/20/07. 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 1,000 (5)
---------
$ (6,130)
=========
- --------------------------------------------------------------------------------
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 $ 178
Pay fixed rate of 4.650% and receive floating
rate, rate based on 5Y5Y Swaption Straddle.
(Counterparty: Lehman Brothers) 05/18/07 3,700 276
Pay fixed rate of 5.000% and receive floating
rate, rate based on 5Y5Y Swaption Straddle.
(Counterparty: Merrill Lynch) 10/18/07 2,150 88
Pay fixed rate of 5.030% and receive floating
rate, rate based on 5Y5Y Swaption Straddle.
(Counterparty: Merrill Lynch) 10/16/07 2,150 82
Pay fixed rate of 5.050% and receive floating
rate, rate based on 5Y5Y Swaption Straddle.
(Counterparty: Lehman Brothers) 10/16/07 2,140 91
Receive fixed rate of 4.615% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Morgan Stanley) 12/04/17 23,200 --
Receive fixed rate of 4.911% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Merrill Lynch) 12/04/27 85,000 --
Receive fixed rate of 4.913% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Deutsche Bank) 12/04/27 82,500 --
Receive fixed rate of 4.986% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Deutsche Bank) 10/04/25 17,630 215
Receive fixed rate of 5.048% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Salomon Brothers) 01/04/26 59,690 1,892
Receive fixed rate of 5.060% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: JPMorgan Chase) 12/04/26 28,410 864
Receive fixed rate of 5.060% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Lehman Brothers) 12/04/26 65,000 1,977
Receive fixed rate of 5.064% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Credit Suisse First Boston) 03/02/16 35,640 1,342
Receive fixed rate of 5.095% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: JPMorgan Chase) 03/05/17 15,510 593
Receive fixed rate of 5.103% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Morgan Stanley) 11/02/17 15,300 613
Receive fixed rate of 5.143% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Deutsche Bank) 01/07/25 21,660 970
Receive fixed rate of 5.144% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Salomon Brothers) 02/02/26 28,000 1,241
Receive fixed rate of 5.216% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Barclays Capital) 04/04/25 49,000 1,986
- -------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- -------------------------------------------------------------------------------------------------
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 $ 2,026
Receive fixed rate of 5.216% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Deutsche Bank) 04/04/25 43,000 1,742
Receive fixed rate of 5.233% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Lehman Brothers) 03/02/27 58,600 2,320
Receive fixed rate of 5.234% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: JPMorgan Chase) 03/02/27 50,000 1,989
Receive fixed rate of 5.243% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Salomon Brothers) 11/03/25 51,820 2,285
Receive fixed rate of 5.244% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Barclays Capital) 11/03/25 51,820 2,278
Receive fixed rate of 5.289% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Salomon Brothers) 10/03/26 25,615 1,242
Receive fixed rate of 5.328% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Morgan Stanley) 11/02/07 66,200 3,567
Receive fixed rate of 5.329% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Merrill Lynch) 11/02/27 70,000 3,781
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 1,255
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 1,224
Receive fixed rate of 5.399% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Barclays Capital) 09/05/26 22,460 1,362
Receive fixed rate of 5.423% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Merrill Lynch) 10/27/27 60,000 3,937
Receive fixed rate of 5.425% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: JPMorgan Chase) 10/02/27 59,650 3,929
Receive fixed rate of 5.445% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Merrill Lynch) 09/04/27 39,000 2,608
Receive fixed rate of 5.505% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Citigroup) 08/02/17 15,640 1,346
Receive fixed rate of 5.596% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Barclays Capital) 06/04/27 24,900 2,499
Receive fixed rate of 5.634% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Credit Suisse First Boston) 07/05/17 18,060 262
Receive fixed rate of 5.652% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Salomon Brothers) 08/02/26 14,135 1,530
Receive fixed rate of 5.670% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Lehman Brothers) 08/03/27 15,220 1,700
Receive fixed rate of 5.683% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Salomon Brothers) 08/02/27 65,000 7,366
Receive fixed rate of 5.685% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Barclays Capital) 08/02/27 63,940 7,267
Receive fixed rate of 5.770% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Barclays Capital) 07/05/27 22,200 2,763
Receive fixed rate of 5.778% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Credit Suisse First Boston) 07/05/27 57,000 7,154
Receive fixed rate of 5.807% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Credit Suisse First Boston) 07/05/26 6,065 774
---------
$ 80,614
=========
- --------------------------------------------------------------------------------
186 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
Percentages are based on Net Assets of $780,103 ($ Thousands).
* Rate shown is the 7-day effective yield as of November 30, 2007.
** Non-income producing security.
+ Real Estate Investment Trust
++ Investment in Affiliated Security (see Note 3).
(A) Securities sold within terms of a private placement memorandum, exempt
from registration under Section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"accredited investors." These securities have been determined to be
liquid under guidelines established by the Board of Trustees.
(B) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of November 30, 2007. The date reported on the
Schedule of Investments is the next reset date.
(C) Security, or portion thereof, 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 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) Step Bonds -- The rate reflected on the Schedule of Investments is the
effective yield on November 30, 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
LIBOR -- London InterBank Offering Rate
LLC -- Limited Liability Company
L.P. -- Limited Partnership
MTN -- Medium Term Note
NIM -- Net Interest Margin
Ser -- Series
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 187
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund
November 30, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS+++:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Sovereign 77.4%
Short-Term Investments 6.7%
Financials 4.1%
U.S. Treasury Obligations 3.5%
Deposits to Counterparty as Collateral for Swap Contracts 3.0%
Energy 2.4%
Utilities 0.9%
Loan Participations 0.8%
Industrials 0.7%
Telecommunication Services 0.5%
Warrants 0.0%
+++ Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 9).
- --------------------------------------------------------------------------------
Face Amount(1) Market Value
Description (Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
GLOBAL BONDS -- 85.4%
ARGENTINA -- 7.6%
Alto Parana (A)
6.375%, 06/09/17 370 $ 385
Cia Transporte Energia
Registered (A)
8.875%, 12/15/16 390 332
Province Del Neuquen (A)
8.656%, 10/18/14 230 230
Province of Buenos Aires (A)
9.625%, 04/18/28 1,760 1,443
Province of Buenos Aires Registered
9.625%, 04/18/28 1,035 828
9.375%, 09/14/18 440 363
2.000%, 05/15/35 (G) 1,100 407
Province of Mendoza Registered
5.500%, 09/04/18 373 269
Republic of Argentina
10.250%, 01/26/07 (H) EUR 850 435
9.000%, 11/19/08 (H) EUR 1,000 237
9.000%, 05/29/09 (H) EUR 1,375 666
8.982%, 12/15/35 (B) 1,600 182
8.500%, 07/01/04 (H) EUR 4,300 2,102
8.280%, 12/31/33 (C) 22,066 21,294
8.125%, 04/21/08 (H) EUR 2,000 974
7.820%, 12/31/33 214 258
7.466%, 12/15/35 (B) 11,130 1,424
7.000%, 09/12/13 3,650 3,175
7.000%, 10/03/15 4,725 3,827
7.000%, 04/17/17 1,570 1,230
5.830%, 12/31/33 (B) 1,950 713
5.389%, 08/03/12 (B) 22,120 12,421
1.330%, 12/31/38 (G) 34,285 14,743
0.000%, 12/19/08 (H) 2,000 710
0.000%, 09/19/27 (H) 1,550 564
- --------------------------------------------------------------------------------
Face Amount(1) Market Value
Description (Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Republic of Argentina MTN,
Ser E (H)
10.000%, 01/07/05 EUR 1,650 $ 825
9.250%, 07/20/04 EUR 2,100 999
8.750%, 02/04/49 EUR 4,725 2,289
7.000%, 03/18/49 EUR 2,300 1,138
Transportadora Gas Norte (A) (G)
7.500%, 12/31/12 210 184
6.500%, 12/31/12 37 31
Transportadora Gas Norte
Registered (G)
7.500%, 12/31/12 100 87
6.500%, 12/31/12 79 69
6.500%, 12/31/12 85 74
--------------
74,908
--------------
BAHAMAS -- 0.1%
Banco Votorantim Nassau (A)
10.625%, 04/10/14 2,300 1,205
--------------
BELIZE -- 0.0%
Government of Belize Registered (G)
4.250%, 02/20/29 330 247
--------------
BERMUDA -- 0.1%
Citic Resources Finance (A)
6.750%, 05/15/14 250 232
Digicel Group (A)
8.875%, 01/15/15 450 403
--------------
635
--------------
BOSNIA-HERZEGOVINA -- 0.1%
Republic of Bosnia & Herzegovina,
Ser B (E)
10.039%, 12/11/17 EUR 2,000 1,051
--------------
BRAZIL -- 11.9%
Cesp-Comp Ener Sao Paulo (A)
9.750%, 01/15/15 BRL 1,050 636
Federal Republic of Brazil
12.500%, 01/05/22 BRL 24,155 14,604
11.000%, 08/17/40 25,200 33,844
10.250%, 01/10/28 14,750 7,502
10.125%, 05/15/27 2,900 4,118
8.875%, 10/14/19 200 250
8.750%, 02/04/25 5,893 7,543
8.250%, 01/20/34 4,285 5,463
8.000%, 01/15/18 10,950 12,286
7.125%, 01/20/37 (C) 26,655 30,413
6.000%, 01/17/17 1,150 1,175
--------------
117,834
--------------
- --------------------------------------------------------------------------------
188 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Face Amount(1) Market Value
Description (Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CAYMAN ISLANDS -- 0.6%
Banco Safra (A)
10.875%, 04/03/17 2,250 $ 1,165
Blue City Investments
13.750%, 11/07/13 500 501
Earls Eight (A) (G)
7.500%, 12/31/12 350 306
Interoceanica IV Finance (A) (E)
3.818%, 11/30/25 800 382
3.645%, 11/30/18 370 240
Peru Enhanced Pass-Thru (A) (E)
5.897%, 05/31/25 250 98
3.942%, 05/31/18 1,175 811
Petrobras International Finance
5.875%, 03/01/18 2,220 2,270
Vale Overseas
6.875%, 11/21/36 185 192
6.250%, 01/23/17 70 71
--------------
6,036
--------------
CHILE -- 0.6%
Codelco
5.500%, 10/15/13 575 587
Republic of Chile
5.500%, 01/15/13 5,379 5,585
--------------
6,172
--------------
COLOMBIA -- 5.1%
BanColombia (E)
6.875%, 05/25/17 365 345
Bogota Distrio Capital (A)
9.750%, 07/26/28 1,629,000 763
EEB International (A)
8.750%, 10/31/14 320 324
Republic of Colombia
11.750%, 02/25/20 6,233 9,240
10.750%, 01/15/13 840 1,031
10.375%, 01/28/33 865 1,293
9.850%, 06/28/27 COP 10,423,000 5,137
8.375%, 02/15/27 3,100 3,759
8.250%, 12/22/14 3,220 3,671
8.125%, 05/21/24 10,055 11,915
7.375%, 01/27/17 6,135 6,792
7.375%, 09/18/37 4,905 5,518
6.678%, 02/16/08 (B) 225 232
--------------
50,020
--------------
CYPRUS -- 0.4%
ABH Financial (A)
8.200%, 06/25/12 900 820
- --------------------------------------------------------------------------------
Face Amount(1) Market Value
Description (Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Springvale Holdings (B)
11.389%, 09/07/08 1,000 $ 1,000
Teorema Holding
11.000%, 10/27/09 1,400 1,400
Teorema Holding (G)
9.000%, 10/27/08 600 588
--------------
3,808
--------------
DOMINICAN REPUBLIC -- 0.2%
Republic of Dominican Republic
9.040%, 01/23/18 410 462
8.625%, 04/20/27 1,150 1,331
--------------
1,793
--------------
ECUADOR -- 1.3%
Republic of Ecuador Registered
10.000%, 02/15/08 (G) 11,025 10,529
9.375%, 12/15/15 1,960 1,970
--------------
12,499
--------------
EGYPT -- 0.1%
Arab Republic of Egypt (A)
8.750%, 07/18/12 7,640 1,434
--------------
EL SALVADOR -- 1.9%
Republic of El Salvador
8.250%, 04/10/32 6,090 7,399
7.750%, 01/24/23 1,760 2,029
7.650%, 06/15/35 4,144 4,786
7.650%, 06/15/35 3,950 4,562
--------------
18,776
--------------
GHANA -- 0.1%
Republic of Ghana (A)
8.500%, 10/04/17 1,050 1,100
--------------
INDIA -- 0.0%
ICICI Bank (A)
6.625%, 10/03/12 300 309
--------------
INDONESIA -- 2.3%
BLT Finance
7.500%, 05/15/14 280 243
Excelcomindo Finance
7.125%, 01/18/13 105 110
Government of Indonesia
10.000%, 07/15/17 IDR 20,524,525 2,148
Indosat Finance
7.125%, 06/22/12 1,000 994
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 189
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Face Amount(1) Market Value
Description (Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Republic of Indonesia
8.500%, 10/12/35 1,260 $ 1,471
7.500%, 01/15/16 3,640 3,905
7.500%, 01/15/16 (A) 2,200 2,354
7.250%, 04/20/15 665 700
7.250%, 04/20/15 (A) 3,470 3,656
6.875%, 03/09/17 620 646
6.750%, 03/10/14 2,760 2,832
6.625%, 02/17/37 2,550 2,404
6.625%, 02/17/37 (A) 1,625 1,552
--------------
23,015
--------------
IRAQ -- 0.7%
Republic of Iraq
5.800%, 01/15/28 10,875 6,906
--------------
IRELAND -- 0.1%
Dal Capital (Vneshtorgbk)
7.000%, 04/13/09 RUB 18,000 731
Transcapit (Transneft) (A)
6.103%, 06/27/12 600 624
--------------
1,355
--------------
JERSEY -- 0.3%
Aldar Funding
5.767%, 11/10/11 850 1,368
UBS Jersey Branch MTN (A) (B)
0.787%, 11/01/13 1,180 1,325
--------------
2,693
--------------
LEBANON -- 0.1%
Lebanese Republic Registered
8.250%, 04/12/21 760 692
--------------
LUXEMBOURG -- 1.3%
Alfa Dividend Payment Rights
Finance (A) (B)
7.260%, 12/15/07 447 430
Gaz Capital for Gazprom Registered
9.625%, 03/01/13 1,100 1,259
8.625%, 04/28/34 5,150 6,438
Kuznetski (Bank of Moscow) (G)
7.500%, 11/25/15 1,300 1,267
RSHB Captl
7.175%, 05/16/13 250 257
6.299%, 05/15/17 (A) 2,320 2,177
UBS (Vimpelcom)
8.250%, 05/23/16 490 496
8.250%, 05/23/16 200 203
--------------
12,527
--------------
- --------------------------------------------------------------------------------
Face Amount(1) Market Value
Description (Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MALAYSIA -- 2.5%
Bank Negara Monetary Note (E)
3.184%, 04/03/08 MYR 10,290 $ 3,022
Government of Malaysia
7.500%, 07/15/11 5,795 6,355
3.814%, 02/15/17 4,810 1,410
Government of Malaysia
3.502%, 05/31/27 MYR 17,500 4,529
Penerbangan Malaysia Registered
5.625%, 03/15/16 2,600 2,738
Petronas Capital Registered
7.875%, 05/22/12 900 1,136
7.875%, 05/22/22 4,390 5,569
--------------
24,759
--------------
MEXICO -- 3.8%
Mexican Bonos, Ser M10
8.000%, 12/19/13 MXP 37,423 3,450
8.000%, 12/17/15 MXP 24,000 2,210
7.250%, 12/15/16 MXP 14,533 1,272
Pemex Project Funding Master Trust
6.625%, 06/15/35 400 423
5.750%, 03/01/18 1,165 1,172
United Mexican States
8.125%, 12/30/19 725 885
7.500%, 04/08/33 1,580 1,904
5.625%, 01/15/17 6,424 6,514
United Mexican States MTN
8.300%, 08/15/31 5,435 7,100
United Mexican States MTN, Ser A
6.750%, 09/27/34 11,058 12,374
United Mexican States MTN,
Ser E
0.006%, 05/08/17 EUR 5,000 5
--------------
37,309
--------------
NETHERLANDS -- 0.8%
HSBK Europe (A)
7.250%, 05/03/17 300 257
ING Bank MTN, Ser E
9.625%, 05/30/08 600 583
Kazkommerts International (A)
7.500%, 11/29/16 400 300
Kazkommerts International
Registered
7.500%, 11/29/16 800 600
Lukoil International Finance (A)
6.656%, 06/07/22 405 379
- --------------------------------------------------------------------------------
190 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Face Amount(1) Market Value
Description (Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Majapahit Holding (A)
7.875%, 06/29/37 615 $ 584
7.750%, 10/17/16 1,300 1,287
7.750%, 10/17/16 200 199
7.250%, 06/28/17 840 798
Majapaht Holding (A)
7.250%, 10/17/11 885 876
TGI International (A)
9.500%, 10/03/17 620 634
White Nights Belagroprom Bank (B)
8.284%, 12/15/07 1,010 1,479
--------------
7,976
--------------
NIGERIA -- 0.2%
HSBC Bank MTN
10.500%, 07/28/08 223,125 1,887
--------------
PAKISTAN -- 0.3%
Pakistan Mobile Communications (A)
8.625%, 11/13/13 330 305
Republic of Pakistan
7.875%, 03/31/36 320 284
7.125%, 03/31/16 115 100
7.125%, 03/31/16 (A) 1,150 1,041
6.875%, 06/01/17 1,100 963
--------------
2,693
--------------
PANAMA -- 2.3%
Republic of Panama
9.375%, 01/16/23 595 780
9.375%, 04/01/29 1,795 2,446
8.875%, 09/30/27 4,400 5,687
8.125%, 04/28/34 940 1,137
7.250%, 03/15/15 (C) 7,700 8,489
6.700%, 01/26/36 4,410 4,644
--------------
23,183
--------------
PERU -- 2.9%
Banco Credita Del Peru (A) (B)
7.170%, 10/15/22 PEI 1,750 589
Republic of Peru
8.750%, 11/21/33 1,180 1,558
8.375%, 05/03/16 1,000 1,168
7.350%, 07/21/25 10,680 12,175
6.900%, 08/12/37 (A) 2,500 867
6.550%, 03/14/37 400 416
Republic of Peru FLIRB,
Ser 20YR (B)
6.438%, 03/07/17 2,527 2,521
6.143%, 03/07/08 7,891 7,872
6.143%, 03/07/08 1,953 1,948
--------------
29,114
--------------
- --------------------------------------------------------------------------------
Face Amount(1) Market Value
Description (Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
PHILIPPINES -- 7.4%
DMCI Water (I)
0.000%, 12/31/09 1,492 $ 1,492
National Power
9.625%, 05/15/28 1,100 1,335
6.875%, 11/02/16 (A) 870 881
Republic of Philippines
10.625%, 03/16/25 5,050 7,221
9.875%, 01/15/19 500 642
9.500%, 10/21/24 200 259
9.500%, 02/02/30 10,675 14,198
9.375%, 01/18/17 11,140 13,535
9.000%, 02/15/13 500 566
8.250%, 01/15/14 (C) 4,060 4,530
8.000%, 01/15/16 7,080 7,930
7.750%, 01/14/31 (C) 9,071 10,250
7.500%, 09/25/24 (C) 8,059 8,865
6.375%, 01/15/32 (C) 1,975 1,931
--------------
73,635
--------------
POLAND -- 0.2%
Republic of Poland
5.000%, 10/19/15 1,655 1,686
--------------
RUSSIA -- 10.1%
Kazan Orgsintez
9.250%, 10/30/11 330 325
Orient Express Finance
9.875%, 07/02/09 RUB 15,000 570
Russian Federation Registered
12.750%, 06/24/28 12,475 22,661
7.500%, 03/31/30 (G) 67,048 76,106
VTB Capital
6.609%, 10/31/12 800 793
--------------
100,455
--------------
SOUTH AFRICA -- 0.5%
Republic of South Africa
6.500%, 06/02/14 3,300 3,514
5.875%, 05/30/22 1,355 1,371
--------------
4,885
--------------
SOUTH KOREA -- 0.1%
Shinhan Bank (B)
6.819%, 09/20/36 590 554
Woori Bank
6.208%, 05/02/37 560 494
--------------
1,048
--------------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 191
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund (Continued)
November 30, 2007
- --------------------------------------------------------------------------------
Face Amount(1) Market Value
Description (Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
SRI LANKA -- 0.0%
Republic of Sri Lanka (A)
8.250%, 10/24/12 170 $ 159
--------------
SUPRA-NATIONAL -- 0.3%
European Investment Bank
10.000%, 01/28/11 3,630 2,789
--------------
THAILAND -- 0.3%
True Move (A)
10.750%, 12/16/13 850 890
10.375%, 08/01/14 1,700 1,700
--------------
2,590
--------------
TUNISIA -- 0.1%
Banque Centrale de Tunisie
8.250%, 09/19/27 420 524
7.375%, 04/25/12 525 569
--------------
1,093
--------------
TURKEY -- 5.7%
Republic of Turkey
14.000%, 01/19/11 (E) 460 388
11.875%, 01/15/30 4,145 6,549
11.000%, 01/14/13 990 1,211
10.000%, 02/15/12 550 509
9.500%, 01/15/14 1,085 1,275
8.000%, 02/14/34 1,300 1,456
7.375%, 02/05/25 10,960 11,659
7.250%, 03/15/15 5,040 5,380
7.000%, 09/26/16 (C) 5,760 6,048
7.000%, 06/05/20 2,700 2,798
6.875%, 03/17/36 13,320 13,087
6.750%, 04/03/18 5,600 5,719
--------------
56,079
--------------
UKRAINE -- 2.1%
Government of Ukraine Registered
7.650%, 06/11/13 (C) 5,940 6,252
6.875%, 03/04/11 (A) 3,825 3,873
6.875%, 03/04/11 400 409
6.580%, 11/21/16 9,555 9,407
Naftogaz Ukrainy
8.125%, 09/30/09 600 525
--------------
20,466
--------------
UNITED KINGDOM -- 0.5%
Barclays Bank (A) (B)
0.000%, 07/17/22 674 714
- --------------------------------------------------------------------------------
Face Amount(1) Market Value
Description (Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Credit Suisse First Boston
International (Export/Import -
Ukraine)
7.650%, 09/07/11 500 $ 500
6.800%, 10/04/12 550 530
Credit Suisse First Boston for the City
of Kiev
8.000%, 11/06/15 750 735
HSBC (Ukrsibbank)
7.750%, 12/21/11 400 393
Standard Bank (A)
15.000%, 03/12/12 446 403
Standard Bank MTN, Ser E (B)
0.000%, 07/20/09 509 528
UK Private Bank (A)
8.000%, 02/06/12 800 716
--------------
4,519
--------------
UNITED STATES -- 0.3%
Citigroup Funding
10.000%, 01/03/17 (B) 1,496 1,553
6.000%, 05/18/15 (A) 700 733
DST
10.750%, 05/22/09 1,100 1,100
--------------
3,386
--------------
URUGUAY -- 3.7%
Republic of Uruguay
9.250%, 05/17/17 7,550 9,041
8.000%, 11/18/22 12,487 14,048
7.625%, 03/21/36 535 587
7.500%, 03/15/15 1,900 2,043
7.250%, 04/05/27 10,525 477
5.000%, 09/14/18 UYU 19,100 1,014
3.700%, 06/26/37 UYU 125,904 5,154
Republic of Uruguay PIK
7.875%, 01/15/33 2,700 3,044
7.875%, 01/15/33 1,200 1,353
--------------
36,761
--------------
VENEZUELA -- 6.0%
Government of Venezuela
13.625%, 08/15/18 1,200 1,512
10.750%, 09/19/13 400 423
9.375%, 01/13/34 12,100 11,900
9.250%, 09/15/27 30,470 30,135
8.500%, 10/08/14 3,960 3,723
7.650%, 04/21/25 735 623
6.000%, 12/09/20 3,450 2,570
5.750%, 02/26/16 5,900 4,543
- --------------------------------------------------------------------------------
192 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Face Amount(1) Market Value
Description (Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Government of Venezuela Registered
7.000%, 12/01/18 500 $ 419
Petroleos De Venezuela
5.375%, 04/12/27 5,605 3,261
5.250%, 04/12/17 800 549
--------------
59,658
--------------
VIRGIN ISLANDS -- 0.4%
GTL Trade Finance (A)
7.250%, 10/20/17 3,490 3,572
--------------
Total Global Bonds
(Cost $835,511) ($ Thousands) 844,717
--------------
DEPOSIT WITH COUNTERPARTY AS COLLATERAL FOR
SWAP CONTRACTS (F) -- 3.0%
UNITED STATES -- 3.0%
Deposits with Barclays as
Collateral for Swap Contracts
Outstanding AED 20,000 5,445
Deposits with Credit Suisse First
Boston as Collateral for Swap
Contracts Outstanding TRY 494 419
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
Deposits with Deutsche Bank as
Collateral for Swap Contracts
Outstanding IDR 6,122,829 654
Deposits with Goldman Sachs as
Collateral for Swap Contracts
Outstanding BRL 3,752 2,112
Deposits with HSBC as Collateral
for Swap Contracts
Outstanding TRY 4,218 3,579
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
- --------------------------------------------------------------------------------
Face Amount(1) Market Value
Description (Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Deposits with Merrill Lynch as
Collateral for Swap Contracts
Outstanding 243 $ 243
Deposits with Merrill Lynch as
Collateral for Swap Contracts
Outstanding 2,200 2,200
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 72
Deposits with UBS as Collateral
for Swap Contracts
Outstanding NGN 44,062 373
--------------
Total Deposit with Counterparty as
Collateral for Swap Contracts
(Cost $28,568) ($ Thousands) 29,291
--------------
LOAN PARTICIPATIONS -- 1.1%
EGYPT -- 0.2%
Egyptian Urea Petrochemical
0.000%, 07/01/17 1,750 1,750
--------------
GERMANY -- 0.1%
Rike
0.000%, 08/17/11 1,200 1,200
--------------
TURKEY -- 0.8%
Cukurova, Ser A
0.000%, 05/01/08 4,450 4,338
Cukurova, Ser B
0.000%, 05/01/12 3,850 3,754
--------------
8,092
--------------
UNITED STATES -- 0.0%
Baja Ferries
5.100%, 01/26/17 314 314
--------------
Total Loan Participations
(Cost $11,563) ($ Thousands) 11,356
--------------
CORPORATE OBLIGATIONS (D) -- 0.1%
UNITED STATES -- 0.1%
SLM MTN
4.660%, 12/17/07 1,195 1,195
--------------
Total Corporate Obligations
(Cost $1,195) ($ Thousands) 1,195
--------------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 193
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund (Concluded)
November 30, 2007
- --------------------------------------------------------------------------------
Shares/Face Amount(1) Market Value
Description (Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Number of
Warrants
---------
WARRANTS -- 0.0%
CYPRUS -- 0.0%
Teorema Holding, Expires 10/27/09* -- $ 139
--------------
Total Warrants
(Cost $47) ($ Thousands) 139
--------------
CASH EQUIVALENT (D) -- 6.7%
UNITED STATES -- 6.7%
SEI Liquidity Fund, L.P.,
5.110%**+ (D) 66,287,000 66,287
--------------
Total Cash Equivalents
(Cost $66,287) ($ Thousands) 66,287
--------------
U.S. TREASURY OBLIGATION -- 3.5%
UNITED STATES -- 3.5%
U.S. Treasury Note
4.875%, 08/31/08 34,055 34,419
--------------
Total U.S. Treasury Obligation
(Cost $34,227) ($ Thousands) 34,419
--------------
Total Investments -- 99.8%
(Cost $977,398) ($ Thousands) $ 987,404
==============
A summary of the open futures contracts held by the Fund at November 30, 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)
- --------------------------------------------------------------------------------
U.S. Long Treasury Bond 10 Dec-2007 $ 60
U.S. Long Treasury Bond 19 Mar-2008
(10)
--------------
$ 50
==============
A summary of the outstanding forward foreign currency contracts held by the Fund
at November 30, 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)
- --------------------------------------------------------------------------------
12/04/07-01/03/08 BRL 43,252 USD 24,550 $ 219
2/28/08 TRY 3,227 USD 2,583 (93)
1/8/08 PLZ 5,719 USD 2,300 (25)
1/17/08 EUR 6,290 USD 8,956 (284)
1/07/08-04/07/08 KRW 3,821,160 USD 4,146 (46)
4/9/08 KZT 390,773 USD 3,140 (9)
12/26/07-04/01/08 USD 4,200 AED 15,349 70
1/07/08-04/07/08 USD 4,200 KRW 3,821 (9)
1/21/08 USD 1,200 PHP 52,848 34
01/18/07-03/26/08 USD 16,519 PLZ 43,354 1,088
01/22/08-02/04/08 USD 8,600 SGD 12,515 92
12/4/07 USD 16,039 BRL 28,285 (123)
1/25/08 USD 3,000 INR 119,370 8
1/10/08 USD 150 NGN 19,272 12
02/18/07-01/25/08 USD 3,771 RUB 95,127 115
01/14/08-01/31/08 USD 7,650 HUF 1,351 165
2/28/08 USD 2,030 TRY 2,536 72
--------------
$ 1,286
=============
A summary of outstanding swap agreements held by the Fund at November 30, 2007,
is as follows:
- --------------------------------------------------------------------------------
TOTAL RETURN SWAPS
- --------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------------------------------
Fund receives payment at maturity on the
Brazilian CDI Index times the notional
amount. Fund receives payment if the return
on the spread appreciates over the payment
period and pays if the return on the spread
depreciates over the payment period.
(Counterparty: Merrill Lynch) 08/15/10 BRL 400 $ 53
Fund receives payment at maturity on the
Brazilian CDI Index times the notional
amount. Fund receives payment if the return
on the spread appreciates over the payment
period and pays if the return on the spread
depreciates over the payment period.
(Counterparty: JPMorgan Chase) 08/15/10 BRL 4,450 544
Fund receives payment at maturity on the
Brazilian CDI Index times the notional
amount. Fund receives payment if the return
on the spread appreciates over the payment
period and pays if the return on the spread
depreciates over the payment period.
(Counterparty: JPMorgan Chase) 05/15/11 BRL 1,577 157
Fund receives payment at maturity on the
Brazilian CDI Index times the notional
amount. Fund receives payment if the return
on the spread appreciates over the payment
period and pays if the return on the spread
depreciates over the payment period.
(Counterparty: Goldman Sachs) 01/01/17 BRL 3,700 (256)
Fund receives 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 --
Fund receives payment at maturity on the
Government of Indonesia 12.000%,
09/15/11, 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:
Deutsche Bank) 09/15/11 IDR 5,400,000 (25)
Fund receives payment at maturity on Jafz
Sukuk 11/27/12. 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: Barclays) 11/27/12 AED 20,000 --
Fund receives payment at maturity on the
Nigerian NGN Index times the notional
amount. Fund receives payment if the return
on the spread appreciates over the payment
period and pays if the return on the spread
depreciates over the payment period.
(Counterparty: Standard Bank) 01/04/08 NGN 24,630 18
Fund receives payment at maturity on the
Nigerian NGN Index times the notional
amount. Fund receives payment if the return
on the spread appreciates over the payment
period and pays if the return on the spread
depreciates over the payment period.
(Counterparty: Standard Bank) 12/16/08 NGN 9,152 7
Fund receives payment at maturity on the
Nigerian Treasury Bond 9.350%, 08/31/17
times the notional amount. Fund receives
payment if the return on the spread appreci-
ates over the payment period and pays if the
return on the spread depreciates over the
payment period. (Counterparty: UBS) 08/31/17 NGN 48,340 --
Fund receives payment at maturity on Osjc
Zaporozh Term Loan Reference Obligation.
Fund receives payment if the return on the
spread appreciates over the payment period
and pays if the return on the spread depreci-
ates over the payment period. (Counterparty:
Merrill Lynch) 10/31/20 2,200 --
Fund receives 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 depreci-
ates over the payment period. (Counterparty:
Credit Suisse First Boston) 03/07/12 TRY 500 35
- --------------------------------------------------------------------------------
194 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------------------------------
Fund receives 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 depreci-
ates over the payment period. (Counterparty:
HSBC) 03/07/12 TRY 4,350 $ 334
---------
$ 867
=========
- --------------------------------------------------------------------------------
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 $ (23)
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 20
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 (36)
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 (180)
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) 02/20/11 600 (77)
Fund receives semi-annual payment of 0.8400%
(1.680% 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: Citigroup) 11/20/12 3,800 2
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 4,230 36
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 2,210 40
Fund receives semi-annual payment of 0.5180%
(1.035% per annum) times the notional
amount of Russian Federatiion, 7.500%,
0./31/30. Upon a defined credit event, Fund
pays the notional amount and takes receipt of
the defined deliverable obligation.
(Counterparty: JPMorgan Chase) 09/17/17 10,925 (31)
Fund receives quarterly payment of 1.5000%
(3.000% per annum) times the notional
amount of Republic of Venezuela, 9.250%,
09/15/27. Upon a defined credit event, Fund
pays the notional amount and takes receipt of
the defined deliverable obligation.
(Counterparty: Lehman Brothers) 07/20/17 13,500 (1,609)
---------
$ (1,858)
=========
- --------------------------------------------------------------------------------
INTEREST RATE SWAPS
- --------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------------------------------
Pay fixed rate of 10.630% and receive floating
rate, rate based on BRL CDI Index.
(Counterparty: Lehman Brothers) 01/02/12 7,200 $ (175)
Receive fixed rate of 10.650% and pay floating
rate, rate based on BRL CDI Index.
(Counterparty: Lehman Brothers) 01/02/12 6,100 (149)
Receive fixed rate of 10.880% and pay floating
rate, rate based on BRL CDI Index.
(Counterparty: Lehman Brothers) 01/02/12 4,400 (96)
Receive fixed rate of 11.093% and pay floating
rate, rate based on BRL CDI Index.
(Counterparty: Lehman Brothers) 01/02/12 11,800 (219)
---------
$ (639)
=========
Percentages are based on Net Assets of $989,499 ($ Thousands).
* Non-Income Producing Security
** Rate shown is the 7-day effective yield as of November 30, 2007.
+ Investment in Affiliated Security (see Note 3).
(1) In U.S. dollars unless otherwise indicated.
(A) Securities sold within terms of a private placement memorandum, exempt
from registration under Section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"accredited investors." These securities have been determined to be
liquid under guidelines established by the Board of Trustees.
(B) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of November 30, 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
November 30, 2007 (see Note 9). The total value of securities on loan at
November 30, 2007 was $62,632 ($ Thousands).
(D) This security was purchased with cash collateral held from securities on
loan. The total value of such securities as of November 30, 2007 was
$67,482 ($ Thousands).
(E) The rate reported is the effective yield at time of purchase.
(F) Cash on loan to swap counterparty as collateral for outstanding swap
contracts.
(G) Step Bonds -- The rate reflected on the Schedule of Investments is the
effective yield on November 30, 2007. The coupon on a step bond changes on
a specified date.
(H) Security in default on interest payments.
(I) Securities considered illiquid. The total value of such securities as of
November 30, 2007 was $1,492 ($ Thousands) and represented 0.15% of Net
Assets.
AED -- United Arab Emirates Dirham
BRL -- Brazilian Real
COP -- Chilean Peso
EUR -- Euro
FLIRB -- Front Loaded Interest Reduction Bond
HUF -- Hungarian Forint
IDR -- Indonesian Rupiah
L.P. -- Limited Partnership
MTN -- Medium Term Note
MXP -- Mexican Peso
MYR -- Malaysian Ringgit
NGN -- Nigerian Naira
PEI -- Peruvian Inca
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 $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 195
SCHEDULE OF INVESTMENTS (Unaudited)
Real Return Plus Fund
November 30, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS+++:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
U.S. Treasury Obligations 96.5%
Short-Term Investments 3.5%
+++ Percentages based on total investments.
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 95.3%
U.S. Treasury Bills (A) (C)
4.238%, 12/06/07 $ 9,083 $ 9,081
3.761%, 01/17/08 2,348 2,339
U.S. Treasury Bonds (B)
2.500%, 07/15/16 19,069 20,476
2.375%, 04/15/11 28,364 29,576
2.000%, 07/15/14-01/15/16 57,954 59,861
1.875%, 07/15/13-07/15/15 23,001 23,756
0.875%, 04/15/10 30,330 30,238
U.S. Treasury Notes (B)
4.250%, 01/15/10 480 513
3.875%, 01/15/09 11,467 11,852
3.500%, 01/15/11 482 519
3.375%, 01/15/12 8,866 9,675
3.000%, 07/15/12 26,244 28,432
2.625%, 07/15/17 541 589
2.375%, 01/15/17 18,738 19,919
2.000%, 04/15/12-01/15/14 26,550 27,479
1.625%, 01/15/15 26,997 27,184
--------------
Total U.S. Treasury Obligations
(Cost $287,358) ($ Thousands) 301,489
--------------
CASH EQUIVALENT -- 3.5%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.020%+* 11,056,423 11,056
--------------
Total Cash Equivalent
(Cost $11,056) ($ Thousands) 11,056
--------------
Total Investments -- 98.8%
(Cost $298,414) ($ Thousands) $ 312,545
==============
A summary of the open futures contracts held by the Fund at November 30, 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 (11) Dec-2007 $ (19)
Amsterdam Index 6 Dec-2007 9
CAC40 10 Euro (3) Dec-2007 (11)
Canadian 10 Year Bond Index (60) Mar-2008 37
DAX Index (13) Dec-2007 47
Euro-Bond (94) Dec-2007 (157)
Euro-Bond (163) Mar-2008 124
Euro-Schatz (97) Mar-2007 25
FTSE 100 Index (10) Dec-2007 28
IBEX 35 Plus Index (29) Dec-2007 27
Hang Seng Index 36 Dec-2007 339
Japan 10 Year Bond Index 35 Dec-2007 440
Long Gilt 10 Year Index (60) Mar-2008 65
Russell Index E-Mini (15) Dec-2007 47
S&P 500 Index 25 Dec-2007 (145)
S&P/MIB Index 12 Dec-2007 (115)
S&P/TSE 60 Index (36) Dec-2007 40
SPI 200 Index (26) Dec-2007 (40)
Topix Index 27 Dec-2007 (10)
U.S. 10 Year Treasury Note 188 Dec-2007 (142)
U.S. Long Treasury Bond 99 Mar-2008 (47)
-------
$ 542
=======
A summary of the outstanding forward foreign currency contracts held by the Fund
at November 30, 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)
- --------------------------------------------------------------------------
12/18/07 DKK 2,946 USD 560 $ (20)
12/18/07 NOK 29 USD 5 --
12/18/07 USD 97 NOK 548 2
12/18/07 USD 10,390 SGD 15,594 408
12/19/07 EUR 20,169 USD 28,902 (714)
12/19/07 SGD 156 USD 105 (2)
12/19/07 USD 550 DKK 2,946 30
12/18/07-12/19/07 JPY 3,247,604 USD 29,181 (170)
12/18/07-12/19/07 NZD 35,412 USD 25,955 (1,117)
12/18/07-12/19/07 SEK 85,634 USD 12,372 (140)
12/18/07-12/19/07 USD 23,764 AUD 27,294 352
12/18/07-12/19/07 USD 28,163 CAD 27,655 (484)
12/18/07-12/19/07 USD 34,653 CHF 44,002 1,013
12/18/07-12/19/07 USD 25,441 GBP 13,377 167
12/18/07-03/19/08 USD 29,775 JPY 3,315,242 334
12/18/07-03/19/08 USD 33,294 NZD 45,047 1,120
12/18/07-03/19/08 AUD 27,137 USD 23,929 (10)
12/18/07-03/19/08 CAD 26,430 USD 26,128 (327)
12/18/07-03/19/08 CHF 60,493 USD 52,113 (1,591)
12/18/07-03/19/08 GBP 9,429 USD 19,196 (171)
12/18/07-03/19/08 USD 27,550 EUR 24,386 999
12/18/07-03/19/08 USD 16,085 SEK 112,804 128
---------
$ (193)
=========
- --------------------------------------------------------------------------------
196 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
Percentages are based on Net Assets of $316,324 ($ Thousands).
* Rate shown is the 7-day effective yield as of November 30, 2007.
+ Investment in Affiliated Security (see Note 3).
(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
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 $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 197
Statements of Assets and Liabilities ($ Thousands)
November 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------
LARGE CAP LARGE CAP
DIVERSIFIED DISCIPLINED
LARGE CAP ALPHA EQUITY
FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments at value+ $ 391,449* $ 445,382 $ 6,798,680*
Affiliated investment, at value++ 41,849 79,680 2,299,707
Cash -- 207 4,445
Foreign currency, at value+++ -- -- 1,080
Restricted cash held for swaps -- -- 2,178
Restricted cash held for securities sold short -- 912 --
Receivable for investment securities sold 2,383 447 24,740
Dividends and interest receivable 758 664 15,041
Receivable for fund shares sold 126 225 37,281
Receivable for variation margin 76 711 16,254
Foreign tax reclaim receivable -- -- --
Unrealized gain on foreign spot currency contracts -- -- --
Unrealized gain on forward foreign currency contracts -- -- 659
Prepaid expenses 1 2 8
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 436,642 528,230 9,200,073
- ------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable upon return on securities loaned 31,823 -- 493,645
Payable for fund shares redeemed 147 117 53,975
Payable for investment securities purchased 2,021 281 28,369
Payable for securities sold short # -- 68,029 --
Payable for variation margin -- -- 129
Payable to custodian 372 -- --
Unrealized loss on foreign spot currency contracts -- -- --
Unrealized loss on forward foreign currency contracts -- -- 559
Swap contracts at value++++ -- -- --
Options written, at value+++++ -- -- --
Investment advisory fees payable 79 110 1,194
Trustees fees payable 1 1 11
Chief Compliance Officer fees payable -- -- 2
Accrued expense payable 44 8 234
Accrued foreign capital gains tax on appreciated securities -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 34,487 68,546 578,118
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $ 402,155 $ 459,684 $ 8,621,955
====================================================================================================================================
+ Cost of investments 319,491 419,480 6,082,954
++ Cost of affiliated investments 41,849 81,974 2,347,758
+++ Cost of foreign currency -- -- 1,088
++++ Premiums received -- -- --
+++++ Premiums received -- -- --
# Proceeds from securities sold short -- (71,356) --
* Includes market value of securities on loan 30,978 -- 482,193
NET ASSETS:
Paid-in-Capital -- (unlimited authorization -- no par value) $ 431,571 $ 422,990 $ 7,692,966
Undistributed net investment income 1,263 899 21,616
Accumulated net realized gain (loss) on investments,
option contracts, swaptions, futures, securities sold
short, swap contracts and foreign currency (102,443) 8,725 237,127
Net unrealized appreciation on investments, securities sold
short, option contracts and swaptions 71,958 26,935 667,675
Net unrealized appreciation (depreciation) on futures
contracts (194) 126 2,169
Net unrealized depreciation on swap contracts -- -- --
Net unrealized appreciation (depreciation) on forward
foreign currency contracts, foreign currencies and
translation of other assets and liabilities denominated
in foreign currencies -- 9 402
Accumulated foreign capital gains tax on appreciated
securities -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $ 402,155 $ 459,684 $ 8,621,955
====================================================================================================================================
Net Asset Value, Offering and Redemption Price Per Share
-- Class A $ 19.81 $ 11.37 $ 13.58
($402,155,171 / ($459,684,311 / ($8,621,954,535 /
20,295,683 shares) 40,440,171 shares) 634,946,141 shares)
====================================================================================================================================
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
198 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- ------------------------------------------------------------------------------------------------------------------------------------
LARGE CAP SMALL/MID CAP
INDEX SMALL CAP EQUITY
FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments at value+ $ 375,556* $ 1,808,030* $ 2,201,834*
Affiliated investment, at value++ 45,450 571,387 586,395
Cash 1 3,236 3,229
Foreign currency, at value+++ -- 1,029 41
Restricted cash held for swaps -- -- --
Restricted cash held for securities sold short -- -- --
Receivable for investment securities sold 1,349 14,695 11,123
Dividends and interest receivable 765 1,471 2,381
Receivable for fund shares sold 96 1,182 29,423
Receivable for variation margin 75 169 329
Foreign tax reclaim receivable -- -- 1
Unrealized gain on foreign spot currency contracts -- -- --
Unrealized gain on forward foreign currency contracts -- 6 --
Prepaid expenses -- 2 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 423,292 2,401,207 2,834,758
- ------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable upon return on securities loaned 37,727 505,280 528,662
Payable for fund shares redeemed 320 31,434 2,343
Payable for investment securities purchased 103 11,627 37,702
Payable for securities sold short # -- -- --
Payable for variation margin -- -- --
Payable to custodian -- -- --
Unrealized loss on foreign spot currency contracts -- -- 7
Unrealized loss on forward foreign currency contracts -- -- --
Swap contracts at value++++ -- -- --
Options written, at value+++++ -- -- --
Investment advisory fees payable 14 816 892
Trustees fees payable 1 3 2
Chief Compliance Officer fees payable -- -- --
Accrued expense payable 15 78 57
Accrued foreign capital gains tax on appreciated securities -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 38,180 549,238 569,665
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $ 385,112 $ 1,851,969 $ 2,265,093
====================================================================================================================================
+ Cost of investments 249,917 1,731,582 2,166,197
++ Cost of affiliated investments 45,450 571,387 586,395
+++ Cost of foreign currency -- 1,023 36
++++ Premiums received -- -- --
+++++ Premiums received -- -- --
# Proceeds from securities sold short -- -- --
* Includes market value of securities on loan 36,986 484,828 507,766
NET ASSETS:
Paid-in-Capital -- (unlimited authorization -- no par value) $ 250,381 $ 1,583,176 $ 2,112,372
Undistributed net investment income 1,457 989 3,419
Accumulated net realized gain (loss) on investments,
option contracts, swaptions, futures, securities sold
short, swap contracts and foreign currency 7,705 190,744 114,304
Net unrealized appreciation on investments, securities sold
short, option contracts and swaptions 125,639 76,448 35,637
Net unrealized appreciation (depreciation) on futures
contracts (70) 594 (633)
Net unrealized depreciation on swap contracts -- -- --
Net unrealized appreciation (depreciation) on forward
foreign currency contracts, foreign currencies and
translation of other assets and liabilities denominated
in foreign currencies -- 18 (6)
Accumulated foreign capital gains tax on appreciated
securities -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $ 385,112 $ 1,851,969 $ 2,265,093
====================================================================================================================================
Net Asset Value, Offering and Redemption Price Per Share
-- Class A $ 130.64 $ 14.75 $ 13.48
($385,111,733 / ($1,851,968,770 / ($2,265,093,459 /
2,947,869 shares) 125,536,833 shares) 168,049,803 shares)
====================================================================================================================================
- ---------------------------------------------------------------------------------------------------------------
INTERNATIONAL WORLD EQUITY
EQUITY EX-US
FUND FUND
- ---------------------------------------------------------------------------------------------------------------
ASSETS:
Investments at value+ $ 1,618,428* $ 2,932,431*
Affiliated investment, at value++ 109,624 184,928
Cash 59,650 62,232
Foreign currency, at value+++ 5,977 15,285
Restricted cash held for swaps -- --
Restricted cash held for securities sold short -- --
Receivable for investment securities sold 44,461 131,422
Dividends and interest receivable 3,339 4,862
Receivable for fund shares sold 384 48,041
Receivable for variation margin 1,811 3,359
Foreign tax reclaim receivable 537 320
Unrealized gain on foreign spot currency contracts 67 69
Unrealized gain on forward foreign currency contracts 6,272 2,259
Prepaid expenses 6 3
- ---------------------------------------------------------------------------------------------------------------
Total Assets 1,850,556 3,385,211
- ---------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable upon return on securities loaned 104,820 131,608
Payable for fund shares redeemed 8,768 2,951
Payable for investment securities purchased 120,600 309,488
Payable for securities sold short # -- --
Payable for variation margin 2 39
Payable to custodian -- --
Unrealized loss on foreign spot currency contracts 41 32
Unrealized loss on forward foreign currency contracts 7,180 4,966
Swap contracts at value++++ 1,856 3,582
Options written, at value+++++ 56 99
Investment advisory fees payable 449 1,283
Trustees fees payable 3 3
Chief Compliance Officer fees payable 4 4
Accrued expense payable 151 154
Accrued foreign capital gains tax on appreciated securities -- 1,063
- ---------------------------------------------------------------------------------------------------------------
Total Liabilities 243,930 455,272
- ---------------------------------------------------------------------------------------------------------------
Net Assets $ 1,606,626 $ 2,929,939
===============================================================================================================
+ Cost of investments 1,350,536 2,602,776
++ Cost of affiliated investments 109,624 184,928
+++ Cost of foreign currency 5,890 15,251
++++ Premiums received 164 409
+++++ Premiums received (4) (8)
# Proceeds from securities sold short -- --
* Includes market value of securities on loan 100,027 126,891
NET ASSETS:
Paid-in-Capital -- (unlimited authorization -- no par value) $ 1,070,571 $ 2,409,957
Undistributed net investment income 42,449 49,208
Accumulated net realized gain (loss) on investments,
option contracts, swaptions, futures, securities sold
short, swap contracts and foreign currency 228,150 145,017
Net unrealized appreciation on investments, securities sold
short, option contracts and swaptions 267,840 329,564
Net unrealized appreciation (depreciation) on futures
contracts 908 3,853
Net unrealized depreciation on swap contracts (2,020) (3,991)
Net unrealized appreciation (depreciation) on forward
foreign currency contracts, foreign currencies and
translation of other assets and liabilities denominated
in foreign currencies (1,272) (2,615)
Accumulated foreign capital gains tax on appreciated
securities -- (1,054)
- ---------------------------------------------------------------------------------------------------------------
Net Assets $ 1,606,626 $ 2,929,939
===============================================================================================================
Net Asset Value, Offering and Redemption Price Per Share
-- Class A $ 14.19 $ 16.41
($1,606,625,792 / ($2,929,939,426 /
113,219,873 shares) 178,584,619 shares)
===============================================================================================================
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 199
Statements of Assets and Liabilities ($ Thousands)
November 30, 2007 (Unaudited)
- ------------------------------------------------------------------------------------------------------------------------------------
ENHANCED CORE HIGH YIELD
INCOME FIXED INCOME BOND
FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments at value+ $ 147,597 $ 7,273,526* $ 1,304,069*
Affiliated investment, at value++ 74,222 1,463,521 236,648
Repurchase agreements+ 2,100 401,200 --
Cash 6,274 7,969 --
Foreign currency, at value+++ -- -- --
Restricted cash held for swaps -- 3,590 --
Receivable for investment securities sold 996 531,713 7,815
Dividends and interest receivable 1,064 42,045 28,015
Receivable for fund shares sold 177 11,563 14,358
Receivable for variation margin 53 530 --
Foreign tax reclaim receivable 2 324 82
Unrealized gain on foreign spot currency contracts -- -- --
Unrealized gain on forward foreign currency contracts 1,578 568 --
Swap contracts at value ++++ -- -- --
Prepaid expenses -- 11 3
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 234,063 9,736,560 1,590,990
- ------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable upon return on securities loaned -- 1,312,034 173,630
Payable for fund shares redeemed 1 70,260 2,014
Income distribution payable -- 622 150
Payable for investment securities purchased 6,653 1,692,925 30,867
Payable to custodian -- -- 5,126
Payable for variation margin 46 473 --
Overdraft of Foreign currency, at value+++ -- 1,084 --
Unrealized loss on forward foreign currency contracts 2,061 1,323 --
Swap contracts at value++++ 1,134 38,772 --
Options written, at value+++++ -- 2,289 --
Swaptions## -- 6,797 --
Investment advisory fees payable 74 634 378
Trustees fees payable -- 8 2
Chief Compliance Officer fees payable -- 6 --
Accrued expense payable 8 201 40
- ------------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 9,977 3,127,428 212,207
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $ 224,086 $ 6,609,132 $ 1,378,783
====================================================================================================================================
+ Cost of investments and repurchase agreements 154,122 7,599,684 1,363,490
++ Cost of affiliated investments 76,483 1,463,521 236,648
+++ Cost of foreign currency -- (1,279) --
++++ Premiums received 14 (28,369) --
+++++ Premiums received -- (2,389) --
## Premiums received -- (3,050) --
* Includes market value of securities on loan -- 1,182,434 162,416
NET ASSETS:
Paid-in-Capital -- (unlimited authorization -- no par value) $ 232,496 $ 6,569,830 $ 1,437,139
Undistributed net investment income
(Accumulated net investment loss) 1,249 (1,034) 29
Accumulated net realized gain (loss) on investments,
option contracts, swaptions, futures, securities sold short,
swap contracts and foreign currency (1,275) (24,781) 1,036
Net unrealized appreciation (depreciation) on investments,
securities sold short, option contracts and swaptions (6,686) 71,395 (59,421)
Net unrealized appreciation (depreciation) on futures contracts (72) 4,788 --
Net unrealized appreciation (depreciation) on swap contracts (1,148) (10,403) --
Net unrealized appreciation (depreciation) on forward foreign
currency contracts, foreign currencies and translation of
other assets and liabilities denominated in foreign currencies (478) (663) --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $ 224,086 $ 6,609,132 $ 1,378,783
====================================================================================================================================
Net Asset Value, Offering and Redemption Price Per Share --
Class A $ 9.54 $ 10.20 $ 9.63
($224,085,935 / ($6,609,131,731 / ($1,378,783,231 /
23,488,183 shares) 647,708,312 shares) 143,115,523 shares)
====================================================================================================================================
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
200 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- --------------------------------------------------------------------------------------------------------------
LONG EXTENDED
DURATION DURATION
FUND FUND
- --------------------------------------------------------------------------------------------------------------
ASSETS:
Investments at value+ $ 190,160 $ 663,162
Affiliated investment, at value++ 1,367 22,989
Repurchase agreements+ -- --
Cash 657 2,249
Foreign currency, at value+++ -- --
Restricted cash held for swaps -- --
Receivable for investment securities sold 970 273
Dividends and interest receivable 867 2,273
Receivable for fund shares sold -- 62,900
Receivable for variation margin -- --
Foreign tax reclaim receivable -- --
Unrealized gain on foreign spot currency contracts -- --
Unrealized gain on forward foreign currency contracts -- --
Swap contracts at value ++++ 4,334 63,610
Prepaid expenses 1 1
- --------------------------------------------------------------------------------------------------------------
Total Assets 198,356 817,457
- --------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable upon return on securities loaned -- --
Payable for fund shares redeemed -- --
Income distribution payable -- --
Payable for investment securities purchased 2,181 37,092
Payable to custodian -- --
Payable for variation margin 1 141
Overdraft of Foreign currency, at value+++ -- --
Unrealized loss on forward foreign currency contracts -- --
Swap contracts at value++++ -- --
Options written, at value+++++ -- --
Swaptions## -- --
Investment advisory fees payable 28 104
Trustees fees payable -- 1
Chief Compliance Officer fees payable -- --
Accrued expense payable 14 16
- --------------------------------------------------------------------------------------------------------------
Total Liabilities 2,224 37,354
- --------------------------------------------------------------------------------------------------------------
Net Assets $ 196,132 $ 780,103
==============================================================================================================
+ Cost of investments and repurchase agreements 196,830 683,527
++ Cost of affiliated investments 1,367 22,989
+++ Cost of foreign currency -- --
++++ Premiums received (3,558) (10,874)
+++++ Premiums received -- --
## Premiums received -- --
* Includes market value of securities on loan -- --
NET ASSETS:
Paid-in-Capital -- (unlimited authorization -- no par value) $ 201,281 $ 742,309
Undistributed net investment income
(Accumulated net investment loss) (783) (1,861)
Accumulated net realized gain (loss) on investments,
option contracts, swaptions, futures, securities sold short,
swap contracts and foreign currency (5,587) (14,468)
Net unrealized appreciation (depreciation) on investments,
securities sold short, option contracts and swaptions (6,670) (20,365)
Net unrealized appreciation (depreciation) on futures contracts (1) 4
Net unrealized appreciation (depreciation) on swap contracts 7,892 74,484
Net unrealized appreciation (depreciation) on forward foreign
currency contracts, foreign currencies and translation of
other assets and liabilities denominated in foreign currencies -- --
- --------------------------------------------------------------------------------------------------------------
Net Assets $ 196,132 $ 780,103
==============================================================================================================
Net Asset Value, Offering and Redemption Price Per Share --
Class A $ 9.83 $ 10.38
($196,132,496 / ($780,103,197 /
19,949,585 shares) 75,149,921 shares)
==============================================================================================================
- --------------------------------------------------------------------------------------------------------------
EMERGING REAL RETURN
MARKETS PLUS
DEBT FUND FUND
- --------------------------------------------------------------------------------------------------------------
ASSETS:
Investments at value+ $ 921,117* $ 301,489
Affiliated investment, at value++ 66,287 11,056
Repurchase agreements+ -- --
Cash 52,367 24
Foreign currency, at value+++ 3,588 --
Restricted cash held for swaps 451 --
Receivable for investment securities sold 6,036 --
Dividends and interest receivable 15,682 2,050
Receivable for fund shares sold 10,947 2,380
Receivable for variation margin -- 656
Foreign tax reclaim receivable 212 --
Unrealized gain on foreign spot currency contracts 45 --
Unrealized gain on forward foreign currency contracts 1,875 4,553
Swap contracts at value ++++ -- --
Prepaid expenses 1 1
- --------------------------------------------------------------------------------------------------------------
Total Assets 1,078,608 322,209
- --------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable upon return on securities loaned 67,482 --
Payable for fund shares redeemed 1,189 319
Income distribution payable -- --
Payable for investment securities purchased 17,712 --
Payable to custodian -- --
Payable for variation margin 32 372
Overdraft of Foreign currency, at value+++ -- 336
Unrealized loss on forward foreign currency contracts 589 4,746
Swap contracts at value++++ 1,630 --
Options written, at value+++++ -- --
Swaptions## -- --
Investment advisory fees payable 423 104
Trustees fees payable 1 --
Chief Compliance Officer fees payable 2 --
Accrued expense payable 49 8
- --------------------------------------------------------------------------------------------------------------
Total Liabilities 89,109 5,885
- --------------------------------------------------------------------------------------------------------------
Net Assets $ 989,499 $ 316,324
==============================================================================================================
+ Cost of investments and repurchase agreements 911,111 287,358
++ Cost of affiliated investments 66,287 11,056
+++ Cost of foreign currency 3,553 (336)
++++ Premiums received -- --
+++++ Premiums received -- --
## Premiums received -- --
* Includes market value of securities on loan 62,632 --
NET ASSETS:
Paid-in-Capital -- (unlimited authorization -- no par value) $ 959,177 $ 289,883
Undistributed net investment income
(Accumulated net investment loss) 9,563 8,546
Accumulated net realized gain (loss) on investments,
option contracts, swaptions, futures, securities sold short,
swap contracts and foreign currency 10,517 3,415
Net unrealized appreciation (depreciation) on investments,
securities sold short, option contracts and swaptions 10,006 14,131
Net unrealized appreciation (depreciation) on futures contracts 50 542
Net unrealized appreciation (depreciation) on swap contracts (1,630) --
Net unrealized appreciation (depreciation) on forward foreign
currency contracts, foreign currencies and translation of
other assets and liabilities denominated in foreign currencies 1,816 (193)
- --------------------------------------------------------------------------------------------------------------
Net Assets $ 989,499 $ 316,324
==============================================================================================================
Net Asset Value, Offering and Redemption Price Per Share --
Class A $ 10.73 $ 11.03
($989,499,295 / ($316,323,813 /
92,226,852 shares) 28,687,146 shares)
==============================================================================================================
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 201
Statements of Operations ($ Thousands)
For the six month period ended November 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------------------------
LARGE CAP LARGE CAP
LARGE CAP DIVERSIFIED DISCIPLINED
FUND ALPHA FUND EQUITY FUND
- --------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends $ 4,463 $ 2,985 $ 56,924
Dividends from Affiliated Registered Investment
Company(1) 450 670 8,667
Interest Income 46 1,024 22,714
Income from Security Lending 42 -- 161
Less: Foreign Taxes Withheld (7) (6) (2)
- --------------------------------------------------------------------------------------------------
Total Investment Income 4,994 4,673 88,464
- --------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 1,097 903 16,334
Administration Fees 137 113 2,042
Trustee Fees 3 2 41
Chief Compliance Officer Fees 3 2 30
Custodian/Wire Agent Fees 19 14 214
Professional Fees 10 7 130
Printing Fees 6 4 74
Registration Fees 2 1 23
Interest Expense on Reverse Repurchase Agreements -- -- --
Dividend Expense -- 365 --
Interest Expense on Short Sales -- 171 --
Overdraft Fees -- -- --
Other Expenses 9 4 53
- --------------------------------------------------------------------------------------------------
Total Expenses 1,286 1,586 18,941
- --------------------------------------------------------------------------------------------------
Less:
Waiver of Investment Advisory Fees (436) (183) (8,563)
Waiver of Administration Fees (137) (113) (2,042)
Fees Paid Indirectly(1) (15) -- (1)
- --------------------------------------------------------------------------------------------------
Net Expenses 698 1,290 8,335
- --------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 4,296 3,383 80,129
==================================================================================================
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS:
Investments 68,276 3,339(2) 48,111(3)
Affiliated Investments -- (103) (2,208)
Securities Sold Short -- -- --
Futures Contracts 1,229 2,685 45,663
Swap Contracts -- (3,174) (53,336)
Foreign Currency Transactions -- -- 722
NET CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON:
Investments (79,112) (22,119) (312,189)
Affiliated Investments -- (2,294) (48,050)
Securities Sold Short -- 6,545 --
Futures Contracts (815) (6,422) (139,373)
Written Options -- -- --
Swap Contracts -- (89) (1,017)
Foreign Capital Gains Tax -- -- --
Foreign Currency and Translation of
Other Assets and Liabilities
Denominated in Foreign Currencies -- 9 (631)
- --------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $ (6,126) $ (18,240) $ (382,179)
==================================================================================================
(1) See Note 3 in the Notes to the Financial Statements.
(2) Includes realized loss of $(2,046) ($ Thousands) due to in-kind
redemptions (see Note 8).
(3) Includes realized loss of $(32,482) ($ Thousands) due to in-kind
redemptions (see Note 8).
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
202 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- -----------------------------------------------------------------------------------------------------------------------------
LARGE CAP INTERNATIONAL WORLD EQUITY
INDEX SMALL CAP SMALL/MID CAP EQUITY EX-US
FUND FUND EQUITY FUND FUND FUND
- -----------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends $ 3,693 $ 9,978 $ 10,908 $ 16,960 $ 22,540
Dividends from Affiliated
Registered Investment Company(1) 200 1,300 1,890 643 1,514
Interest Income 17 213 84 3,656 8,315
Income from Security Lending 30 989 839 839 716
Less: Foreign Taxes Withheld -- (471) (261) (1,082) (1,677)
- -----------------------------------------------------------------------------------------------------------------------------
Total Investment Income 3,940 12,009 13,460 21,016 31,408
- -----------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 342 6,512 6,501 4,227 6,782
Administration Fees 101 501 500 419 617
Trustee Fees 2 11 10 9 11
Chief Compliance Officer Fees 2 8 7 6 7
Custodian/Wire Agent Fees 12 67 58 260 449
Professional Fees 7 33 31 28 36
Printing Fees 4 19 18 17 20
Registration Fees 1 6 6 5 7
Interest Expense on Reverse
Repurchase Agreements -- -- -- 126 --
Dividend Expense -- -- -- -- --
Interest Expense on Short Sales -- -- -- -- --
Overdraft Fees -- -- -- 35 64
Other Expenses 6 21 16 50 54
- -----------------------------------------------------------------------------------------------------------------------------
Total Expenses 477 7,178 7,147 5,182 8,047
- -----------------------------------------------------------------------------------------------------------------------------
Less:
Waiver of Investment Advisory
Fees (255) (1,267) (1,637) (1,329) (17)
Waiver of Administration Fees (101) (501) (500) (419) (617)
Fees Paid Indirectly(1) -- (173) (117) (32) (30)
- -----------------------------------------------------------------------------------------------------------------------------
Net Expenses 121 5,237 4,893 3,402 7,383
- -----------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 3,819 6,772 8,567 17,614 24,025
=============================================================================================================================
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
Investments 6,911 97,349 38,901 84,960 56,683
Affiliated Investments -- -- -- -- --
Securities Sold Short -- -- -- -- --
Futures Contracts 212 (775) (1,856) (3,090) (4,319)
Swap Contracts -- -- -- (21,872) (41,049)
Foreign Currency Transactions -- (130) (150) 9,446 21,153
NET CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON:
Investments (20,684) (312,391) (255,488) (87,342) 18,073
Affiliated Investments 1 -- -- -- --
Securities Sold Short -- -- -- -- --
Futures Contracts (625) 12 (4,002) (7,381) (8,795)
Written Options -- -- -- (52) (91)
Swap Contracts -- -- -- (3,253) (5,350)
Foreign Capital Gains Tax -- -- -- 31 (692)
Foreign Currency and Translation of
Other Assets and Liabilities
Denominated in Foreign Currencies -- 18 (7) (1,714) (4,211)
- -----------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM OPERATIONS $ (10,366) $(209,145) $ (214,035) $ (12,653) $ 55,427
=============================================================================================================================
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 203
Statements of Operations ($ Thousands)
For the six month period ended November 30, 2007 (Unaudited)
- --------------------------------------------------------------------------------------------
ENHANCED CORE FIXED HIGH YIELD
INCOME INCOME BOND
FUND FUND FUND
- --------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends $ 9 $ 326 $ 86
Dividends from Affiliated Registered Investment
Company(1) 380 2,866 1,946
Interest Income 4,164 163,366 50,653
Income from Security Lending -- 1,530 410
Less: Foreign Taxes Withheld 1 19 (1)
- --------------------------------------------------------------------------------------------
Total Investment Income 4,554 168,107 53,094
- --------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 359 9,254 3,158
Administration Fees 40 1,542 324
Trustee Fees 1 30 6
Chief Compliance Officer Fees 1 21 5
Custodian/Wire Agent Fees 3 190 34
Professional Fees 2 94 20
Printing Fees 1 55 11
Registration Fees 1 18 4
Overdraft Fees -- -- --
Other Expenses 15 48 6
- --------------------------------------------------------------------------------------------
Total Expenses 423 11,252 3,568
- --------------------------------------------------------------------------------------------
Less:
Waiver of Investment Advisory Fees (32) (5,391) (978)
Waiver of Administration Fees (40) (1,542) (324)
- --------------------------------------------------------------------------------------------
Net Expenses 351 4,319 2,266
- --------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 4,203 163,788 50,828
============================================================================================
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS:
Investments (180) 11,907 (3,610)
Futures Contracts (1,151) 8,694 --
Written Options -- 2,081 --
Swap Contracts (185) 3,299 --
Foreign Currency Transactions 34 (1,016) --
NET CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON:
Investments (4,244) 116,397 (86,872)
Affiliated Investments (2,261) -- --
Futures Contracts (131) 10,994 --
Written Options -- 50 --
Written Swaptions -- (4,018) --
Swap Contracts (1,105) (10,260) --
Foreign Currency and Translation of
Other Assets and Liabilities
Denominated in Foreign Currencies (798) (456) --
- --------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN
NET ASSETS RESULTING FROM OPERATIONS $ (5,818) $ 301,460 $ (39,654)
============================================================================================
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
204 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- ----------------------------------------------------------------------------------------------------------
LONG EXTENDED EMERGING REAL RETURN
DURATION DURATION MARKETS PLUS
FUND FUND DEBT FUND FUND
- ----------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends $ -- $ -- $ -- $ --
Dividends from Affiliated
Registered Investment Company(1) 86 328 -- 213
Interest Income 5,579 14,901 30,456 6,813
Income from Security Lending -- -- 35 --
Less: Foreign Taxes Withheld -- -- (157) --
- ----------------------------------------------------------------------------------------------------------
Total Investment Income 5,665 15,229 30,334 7,026
- ----------------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 288 761 3,745 960
Administration Fees 48 127 220 69
Trustee Fees 1 2 4 1
Chief Compliance Officer Fees 1 2 3 1
Custodian/Wire Agent Fees 5 10 52 6
Professional Fees 3 7 13 4
Printing Fees 2 4 8 2
Registration Fees 1 2 3 1
Overdraft Fees -- -- 1 --
Other Expenses 15 18 19 11
- ----------------------------------------------------------------------------------------------------------
Total Expenses 364 933 4,068 1,055
- ----------------------------------------------------------------------------------------------------------
Less:
Waiver of Investment Advisory
Fees (124) (298) (1,424) (378)
Waiver of Administration Fees (48) (127) (220) (69)
- ----------------------------------------------------------------------------------------------------------
Net Expenses 192 508 2,424 608
- ----------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 5,473 14,721 27,910 6,418
==========================================================================================================
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
Investments (521) 788 (70) (314)
Futures Contracts 118 519 275 2,083
Written Options -- -- -- --
Swap Contracts 65 (6,782) 595 --
Foreign Currency Transactions -- -- 2,892 658
NET CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON:
Investments (6,075) (19,283) (17,721) 16,816
Affiliated Investments -- -- -- --
Futures Contracts 2 3 (111) 701
Written Options -- -- -- --
Written Swaptions -- -- -- --
Swap Contracts 12,535 104,191 (3,768) --
Foreign Currency and Translation of
Other Assets and Liabilities
Denominated in Foreign Currencies -- -- 1,241 (1,171)
- ----------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM OPERATIONS $ 11,597 $ 94,157 $ 11,243 $ 25,191
==========================================================================================================
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 205
Statements of Changes in Net Assets ($ Thousands)
For the period ended November 30, 2007 (Unaudited) and the year ended May 31,
2007
- -------------------------------------------------------------------------------------------------------------
LARGE CAP
DIVERSIFIED
LARGE CAP FUND ALPHA FUND
- -------------------------------------------------------------------------------------------------------------
6/1/07 6/1/06 6/1/07 6/1/06
to 11/30/07 to 5/31/07 to 11/30/07 to 5/31/07
- -------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 4,296 $ 11,622 $ 3,383 $ 5,405
Net Realized Gain from Investments,
Affiliated Investments, Securities Sold Short,
Written Options, Futures Contracts and
Swap Contracts 69,505 50,321 2,747(4) 7,794
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 (79,927) 85,156 (24,379) 53,897
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Currency
Transactions -- -- 9 --
- -------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations (6,126) 147,099 (18,240) 67,096
- -------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (5,110) (12,254) (4,398) (4,339)
Net Realized Gains:
Class A -- -- -- (2,260)
- -------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (5,110) (12,254) (4,398) (6,599)
- -------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:(1)
CLASS A:
Proceeds from Shares Issued 11,102 23,377 107,254 362,896(2)
Reinvestment of Dividends & Distributions 5,098 12,156 3,975 5,620
Cost of Shares Redeemed (296,803) (277,601) (82,861)(3) (114,105)
- -------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions (280,603) (242,068) 28,368 254,411
- -------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (291,839) (107,223) 5,730 314,908
- -------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 693,994 801,217 453,954 139,046
- -------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 402,155 $ 693,994 $ 459,684 $ 453,954
=============================================================================================================
Undistributed Net Investment Income Included in
Net Assets at Period End $ 1,263 $ 2,077 $ 899 $ 1,914
=============================================================================================================
(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) Includes redemptions as a result of in-kind transfer of securities (see
Note 8).
(4) Includes realized loss of $(2,046) ($ Thousands) due to in-kind
redemptions (see Note 8).
(5) Includes realized loss of $(32,482) ($ Thousands) due to in-kind
redemptions (see Note 8).
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
206 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- ------------------------------------------------------------------------------------------------------------------
LARGE CAP
DISCIPLINED LARGE CAP
EQUITY FUND INDEX FUND
- ------------------------------------------------------------------------------------------------------------------
6/1/07 6/1/06 6/1/07 6/1/06
to 11/30/07 to 5/31/07 to 11/30/07 to 5/31/07
- ------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 80,129 $ 155,602 $ 3,819 $ 7,154
Net Realized Gain from Investments,
Affiliated Investments, Securities Sold Short,
Written Options, Futures Contracts and
Swap Contracts 38,230(5) 321,815 7,123 3,785
Net Realized Gain (Loss) on Foreign Currency
Transactions 722 66 -- --
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Affiliated
Investments, Securities Sold Short, Written
Options, Futures Contracts and Swap Contracts (500,629) 897,982 (21,308) 68,328
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Currency
Transactions (631) 1,086 -- --
- ------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations (382,179) 1,376,551 (10,366) 79,267
- ------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (92,823) (145,402) (3,666) (7,315)
Net Realized Gains:
Class A -- (224,544) -- (2,519)
- ------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (92,823) (369,946) (3,666) (9,834)
- ------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:(1)
CLASS A:
Proceeds from Shares Issued 1,829,465(2) 2,619,199(2) 11,333 34,661
Reinvestment of Dividends & Distributions 91,925 366,050 3,435 9,512
Cost of Shares Redeemed (657,645)(3) (1,097,058) (32,557) (63,757)
- ------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 1,263,745 1,888,191 (17,789) (19,584)
- ------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 788,743 2,894,796 (31,821) 49,849
- ------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 7,833,212 4,938,416 416,933 367,084
- ------------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 8,621,955 $ 7,833,212 $ 385,112 $ 416,933
==================================================================================================================
Undistributed Net Investment Income Included in
Net Assets at Period End $ 21,616 $ 34,310 $ 1,457 $ 1,304
==================================================================================================================
- ---------------------------------------------------------------------------------
SMALL CAP FUND
- ---------------------------------------------------------------------------------
6/1/07 6/1/06
to 11/30/07 to 5/31/07
- ---------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 6,772 $ 13,203
Net Realized Gain from Investments,
Affiliated Investments, Securities Sold Short,
Written Options, Futures Contracts and
Swap Contracts 96,574 188,753
Net Realized Gain (Loss) on Foreign Currency
Transactions (130) (16)
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Affiliated
Investments, Securities Sold Short, Written
Options, Futures Contracts and Swap Contracts (312,379) 174,796
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Currency
Transactions 18 --
- ---------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations (209,145) 376,736
- ---------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (7,227) (15,831)
Net Realized Gains:
Class A -- (234,693)
- ---------------------------------------------------------------------------------
Total Dividends and Distributions (7,227) (250,524)
- ---------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:(1)
CLASS A:
Proceeds from Shares Issued 56,491 231,295
Reinvestment of Dividends & Distributions 6,880 240,779
Cost of Shares Redeemed (131,887) (412,567)
- ---------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions (68,516) 59,507
- ---------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (284,888) 185,719
- ---------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 2,136,857 1,951,138
- ---------------------------------------------------------------------------------
END OF PERIOD $ 1,851,969 $ 2,136,857
=================================================================================
Undistributed Net Investment Income Included in
Net Assets at Period End $ 989 $ 1,444
=================================================================================
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 207
Statements of Changes in Net Assets ($ Thousands)
For the period ended November 30, 2007 (Unaudited) and the year ended May 31,
2007
- -----------------------------------------------------------------------------------------------------------------------------
SMALL/MID CAP INTERNATIONAL
EQUITY FUND EQUITY FUND
- -----------------------------------------------------------------------------------------------------------------------------
6/1/07 6/1/06 6/1/07 6/1/06
to 11/30/07 to 5/31/07 to 11/30/07 to 5/31/07
- -----------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 8,567 $ 12,692 $ 17,614 $ 47,236
Net Realized Gain (Loss) from Investments, Affiliated
Investments, Written Options, Written Swaptions,
Futures Contracts and Swap Contracts 37,045 99,347 59,998 305,493
Net Realized Gain (Loss) on Foreign Currency Transactions (150) (20) 9,446 3,562
Net Change in Unrealized Appreciation (Depreciation) on
Investments, Affiliated Investments, Written Options,
Written Swaptions, Futures Contracts and Swap Contracts (259,490) 205,137 (98,028) 85,082
Net Change in Unrealized Appreciation (Depreciation) on
Foreign Capital Gains Tax -- -- 31 7
Net Change in Unrealized Appreciation (Depreciation) on
Foreign Currency Transactions (7) 1 (1,714) 1,119
- -----------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets Resulting from
Operations (214,035) 317,157 (12,653) 442,499
- -----------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (6,819) (13,728) -- (69,089)
Net Realized Gains:
Class A -- (114,066) -- (315,688)
- -----------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (6,819) (127,794) -- (384,777)
- -----------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:(1)
CLASS A:
Proceeds from Shares Issued 755,621(2) 550,115 75,735 181,985
Reinvestment of Dividends & Distributions 6,781 126,672 -- 375,674
Cost of Shares Redeemed (142,201) (217,044) (247,090) (481,732)
- -----------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived from Class A
Transactions 620,201 459,743 (171,355) 75,927
- -----------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 399,347 649,106 (184,008) 133,649
- -----------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 1,865,746 1,216,640 1,790,634 1,656,985
- -----------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 2,265,093 $ 1,865,746 $ 1,606,626 $ 1,790,634
=============================================================================================================================
Undistributed Net Investment Income Included in Net
Assets at Period End $ 3,419 $ 1,671 $ 42,449 $ 24,835
=============================================================================================================================
(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.
- --------------------------------------------------------------------------------
208 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- ----------------------------------------------------------------------------------------------------------------------------
WORLD EQUITY ENHANCED
EX-US FUND INCOME FUND(3)
- ----------------------------------------------------------------------------------------------------------------------------
6/1/07 6/1/06 6/1/07 12/14/06
to 11/30/07 to 5/31/07 to 11/30/07 to 5/31/07
- ----------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 24,025 $ 35,124 $ 4,203 $ 2,980
Net Realized Gain (Loss) from Investments, Affiliated
Investments, Written Options, Written Swaptions,
Futures Contracts and Swap Contracts 11,315 128,944 (1,516) 233
Net Realized Gain (Loss) on Foreign Currency Transactions 21,153 4,070 34 25
Net Change in Unrealized Appreciation (Depreciation) on
Investments, Affiliated Investments, Written Options,
Written Swaptions, Futures Contracts and Swap Contracts 3,837 241,964 (7,741) (165)
Net Change in Unrealized Appreciation (Depreciation) on
Foreign Capital Gains Tax (692) (253) -- --
Net Change in Unrealized Appreciation (Depreciation) on
Foreign Currency Transactions (4,211) 2,091 (798) 320
- ----------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets Resulting from
Operations 55,427 411,940 (5,818) 3,393
- ----------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A -- (36,280) (4,276) (1,709)
Net Realized Gains:
Class A -- (55,011) -- --
- ----------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions -- (91,291) (4,276) (1,709)
- ----------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:(1)
CLASS A:
Proceeds from Shares Issued 1,015,053 1,005,592 130,567 122,922
Reinvestment of Dividends & Distributions -- 90,953 4,276 1,709
Cost of Shares Redeemed (193,555) (272,762) (24,093) (2,885)
- ----------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived from Class A
Transactions 821,498 823,783 110,750 121,746
- ----------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 876,925 1,144,432 100,656 123,430
- ----------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 2,053,014 908,582 123,430 --
- ----------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 2,929,939 $ 2,053,014 $ 224,086 $ 123,430
============================================================================================================================
Undistributed Net Investment Income Included in Net
Assets at Period End $ 49,208 $ 25,183 $ 1,249 $ 1,322
============================================================================================================================
- ---------------------------------------------------------------------------------------------
CORE FIXED
INCOME FUND
- ---------------------------------------------------------------------------------------------
6/1/07 6/1/06
to 11/30/07 to 5/31/07
- ---------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 163,788 $ 280,099
Net Realized Gain (Loss) from Investments, Affiliated
Investments, Written Options, Written Swaptions,
Futures Contracts and Swap Contracts 25,981 25,217
Net Realized Gain (Loss) on Foreign Currency Transactions (1,016) (433)
Net Change in Unrealized Appreciation (Depreciation) on
Investments, Affiliated Investments, Written Options,
Written Swaptions, Futures Contracts and Swap Contracts 113,163 37,677
Net Change in Unrealized Appreciation (Depreciation) on
Foreign Capital Gains Tax -- --
Net Change in Unrealized Appreciation (Depreciation) on
Foreign Currency Transactions (456) 273
- ---------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets Resulting from
Operations 301,460 342,833
- ---------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (165,001) (279,194)
Net Realized Gains:
Class A -- --
- ---------------------------------------------------------------------------------------------
Total Dividends and Distributions (165,001) (279,194)
- ---------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:(1)
CLASS A:
Proceeds from Shares Issued 1,125,010 2,013,899
Reinvestment of Dividends & Distributions 161,052 272,084
Cost of Shares Redeemed (707,516) (1,101,898)
- ---------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived from Class A
Transactions 578,546 1,184,085
- ---------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 715,005 1,247,724
- ---------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 5,894,127 4,646,403
- ---------------------------------------------------------------------------------------------
END OF PERIOD $ 6,609,132 $ 5,894,127
=============================================================================================
Undistributed Net Investment Income Included in Net
Assets at Period End $ (1,034) $ 179
=============================================================================================
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 209
Statements of Changes in Net Assets ($ Thousands)
For the period ended November 30, 2007 (Unaudited) and the year ended May 31,
2007
- -------------------------------------------------------------------------------------------------------------
HIGH YIELD LONG DURATION
BOND FUND FUND
- -------------------------------------------------------------------------------------------------------------
6/1/07 6/1/06 6/1/07 6/1/06
to 11/30/07 to 5/31/07 to 11/30/07 to 5/31/07
- -------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 50,828 $ 84,378 $ 5,473 $ 9,817
Net Realized Gain (Loss) from Investments,
Affiliated Investments, Written Options,
Futures Contracts and Swap Contracts (3,610) 5,596 (338) (3,977)
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 (86,872) 27,837 6,462 6,742
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Capital Gains Tax -- -- -- --
Net Change in Unrealized Appreciation
on Foreign Currency Transactions -- -- -- --
- -------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations (39,654) 117,811 11,597 12,582
- -------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (51,082) (84,450) (5,217) (9,267)
Net Realized Gains:
Class A -- (5,174) -- --
- -------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (51,082) (89,624) (5,217) (9,267)
- -------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:(1)
CLASS A:
Proceeds from Shares Issued 246,124 398,488 13,268 10,523
Reinvestment of Dividends & Distributions 50,232 87,670 5,217 9,267
Cost of Shares Redeemed (68,761) (134,792) (13,349) (3,813)
- -------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 227,595 351,366 5,136 15,977
- -------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 136,859 379,553 11,516 19,292
- -------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 1,241,924 862,371 184,616 165,324
- -------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 1,378,783 $ 1,241,924 $ 196,132 $ 184,616
=============================================================================================================
Undistributed (Distribution in Excess of)
Net Investment Income Included in
Net Assets at Period End $ 29 $ 283 $ (783) $ (1,039)
=============================================================================================================
(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.
- --------------------------------------------------------------------------------
210 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- ------------------------------------------------------------------------------------------------------------------------------------
EXTENDED EMERGING MARKETS REAL RETURN
DURATION FUND DEBT FUND PLUS FUND(2)
- ------------------------------------------------------------------------------------------------------------------------------------
6/1/07 6/1/06 6/1/07 6/1/06 6/1/07 12/14/06
to 11/30/07 to 5/31/07 to 11/30/07 to 5/31/07 to 11/30/07 to 5/31/07
- ------------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 14,721 $ 16,483 $ 27,910 $ 38,506 $ 6,418 $ 4,565
Net Realized Gain (Loss) from Investments,
Affiliated Investments, Written Options,
Futures Contracts and Swap Contracts (5,475) (6,977) 800 9,694 1,769 988
Net Realized Gain (Loss) on Foreign Currency
Transactions -- -- 2,892 1,815 658 (16)
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Affiliated
Investments, Written Options, Futures
Contracts and Swap Contracts 84,911 3,317 (21,600) 46,646 17,517 (2,844)
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Capital
Gains Tax -- -- -- -- -- --
Net Change in Unrealized Appreciation
on Foreign Currency Transactions -- -- 1,241 89 (1,171) 978
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 94,157 12,823 11,243 96,750 25,191 3,671
- ------------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (13,937) (14,980) (27,226) (36,685) -- (2,421)
Net Realized Gains:
Class A -- -- -- (4,938) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (13,937) (14,980) (27,226) (41,623) -- (2,421)
- ------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:(1)
CLASS A:
Proceeds from Shares Issued 343,166 151,838 217,482 291,823 110,222 228,504
Reinvestment of Dividends & Distributions 13,937 14,980 26,812 40,676 -- 2,422
Cost of Shares Redeemed (27,887) (16,917) (42,848) (63,398) (40,620) (10,645)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 329,216 149,901 201,446 269,101 69,602 220,281
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 409,436 147,744 185,463 324,228 94,793 221,531
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 370,667 222,923 804,036 479,808 221,531 --
- ------------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 780,103 $ 370,667 $ 989,499 $ 804,036 $ 316,324 $ 221,531
====================================================================================================================================
Undistributed (Distribution in Excess of)
Net Investment Income Included in
Net Assets at Period End $ (1,861) $ (2,645) $ 9,563 $ 8,879 $ 8,546 $ 2,128
====================================================================================================================================
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 211
Financial Highlights
For the period ended November 30, 2007 (Unaudited) and the years or periods
ended May 31, For a share outstanding throughout each period
- ---------------------------------------------------------------------------------------------------------------------------
Net Realized
and Distributions
Net Asset Unrealized Dividends from Total
Value, Net Gains Total from Net Realized Dividends 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* $ 20.31 $ 0.16(4) $ (0.48)(4) $ (0.32) $ (0.18) $ -- $ (0.18) $ 19.81
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* $ 11.94 $ 0.09(4) $ (0.54)(4) $ (0.45) $ (0.12) $ -- $ (0.12) $ 11.37
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* $ 14.38 $ 0.14(4) $ (0.78)(4) $ (0.64) $ (0.16) $ -- $ (0.16) $ 13.58
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* $ 135.30 $ 1.26(4) $ (4.71)(4) $ (3.45) $ (1.21) $ -- $ (1.21) $ 130.64
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* $ 16.44 $ 0.05(4) $ (1.68)(4) $ (1.63) $ (0.06) $ -- $ (0.06) $ 14.75
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* $ 14.95 $ 0.06(4) $ (1.48)(4) $ (1.42) $ (0.05) $ -- $ (0.05) $ 13.48
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* (1.64)% $ 402,155 0.26% 0.26% 0.47% 1.57% 28%
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* (3.84)% $ 459,684 0.57%** 0.57%** 0.70% 1.50% 82%
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* (4.43)% $8,621,955 0.20% 0.20% 0.46% 1.96% 73%
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* (2.57)% $ 385,112 0.06% 0.06% 0.24% 1.90% 6%
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* (9.97)% $1,851,969 0.52% 0.54% 0.72% 0.68% 53%
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* (9.53)% $2,265,093 0.49% 0.50% 0.71% 0.86% 46%
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
* For the six month period ended November 30, 2007 (Unaudited). All ratios
for the period have been annualized.
** The expense ratio includes dividend and interest expenses. Had these
expenses been excluded the ratio would have been 0.33% for the period
ended November 30, 2007 (Unaudited) and 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.
- --------------------------------------------------------------------------------
212 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 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 Total
of Period Income Securities Operations Income Gains Distributions of Period Return+
- ----------------------------------------------------------------------------------------------------------------------------------
INTERNATIONAL EQUITY FUND
Class A
2007* $ 14.27 $ 0.15(3) $ (0.23)(3) $ (0.08) $ -- $ -- $ -- $ 14.19 (0.56)%
2007 14.05 0.37(3) 3.12(3) 3.49 (0.50) (2.77) (3.27) 14.27 28.00
2006 11.15 0.29(3) 3.09(3) 3.38 (0.37) (0.11) (0.48) 14.05 30.77
2005 10.06 0.23(3) 1.16(3) 1.39 (0.30) -- (0.30) 11.15 13.73
2004 7.76 0.18(3) 2.28(3) 2.46 (0.16) -- (0.16) 10.06 31.73
2003 9.21 0.13 (1.46) (1.33) (0.12) -- (0.12) 7.76 (14.43)
WORLD EQUITY EX-US FUND
Class A
2007* $ 15.96 $ 0.16(3) $ 0.29(3) $ 0.45 $ -- $ -- $ -- $ 16.41 2.82%
2007 12.99 0.35(3) 3.47(3) 3.82 (0.33) (0.52) (0.85) 15.96 30.29
2006 9.81 0.27(3) 3.01(3) 3.28 (0.09) (0.01) (0.10) 12.99 33.52
2005(4) 10.00 0.07(3) (0.26)(3) (0.19) -- -- -- 9.81 (1.90)
ENHANCED INCOME FUND
Class A
2007* $ 10.14 $ 0.26(3) $ (0.59)(3) $ (0.33) $ (0.27) -- $ (0.27) $ 9.54 (3.56)%
2007(7) 10.00 0.27(3) 0.03(3) 0.30 (0.16) $ -- (0.16) 10.14 3.02
CORE FIXED INCOME FUND
Class A
2007* $ 9.99 $ 0.25(3) $ 0.23(3) $ 0.48 $ (0.27) $ -- $ (0.27) $ 10.20 4.87%
2007 9.84 0.53(3) 0.14(3) 0.67 (0.52) -- (0.52) 9.99 6.95
2006 10.34 0.47(3) (0.48)(3) (0.01) (0.48) (0.01) (0.49) 9.84 (0.09)
2005 10.19 0.41(3) 0.27(3) 0.68 (0.42) (0.11) (0.53) 10.34 6.77
2004 10.61 0.38(3) (0.26)(3) 0.12 (0.40) (0.14) (0.54) 10.19 1.13
2003 10.27 0.50 0.60 1.10 (0.50) (0.26) (0.76) 10.61 11.10
HIGH YIELD BOND FUND
Class A
2007* $ 10.33 $ 0.39(3) $ (0.70)(3) $ (0.31) $ (0.39) $ -- $ (0.39) $ 9.63 (2.91)%
2007 10.08 0.84(3) 0.30(3) 1.14 (0.84) (0.05) (0.89) 10.33 11.81
2006(2) 10.00 0.40(3) 0.08(3) 0.48 (0.40) -- (0.40) 10.08 4.85
LONG DURATION FUND
Class A
2007* $ 9.52 $ 0.27(3) $ 0.30(3) $ 0.57 $ (0.26) $ -- $ (0.26) $ 9.83 6.19%
2007 9.31 0.53(3) 0.18(3) 0.71 (0.50) -- (0.50) 9.52 7.67
2006 10.56 0.46(3) (1.07)(3) (0.61) (0.54) (0.10) (0.64) 9.31 (6.08)
2005 9.77 0.42(3) 1.03(3) 1.45 (0.54) (0.12) (0.66) 10.56 15.26
2004(1) 10.00 0.05(3) (0.23)(3) (0.18) (0.05) -- (0.05) 9.77 (1.78)
EXTENDED DURATION FUND
Class A
2007* $ 9.24 $ 0.27(3) $ 1.13(3) $ 1.40 $ (0.26) $ -- $ (0.26) $ 10.38 15.43%
2007 8.86 0.55(3) 0.32(3) 0.87 (0.49) -- (0.49) 9.24 9.73
2006 11.96 0.48(3) (2.68)(3) (2.20) (0.68) (0.22) (0.90) 8.86 (19.24)
2005 9.53 0.43(3) 2.84(3) 3.27 (0.84) -- (0.84) 11.96 35.74
2004(1) 10.00 0.05(3) (0.44)(3) (0.39) (0.08) -- (0.08) 9.53 (3.88)
EMERGING MARKETS DEBT FUND
Class A
2007* $ 10.95 $ 0.34(3) $ (0.22)(3) $ 0.12 $ (0.34) $ -- $ (0.34) $ 10.73 1.08%
2007 9.97 0.65(3) 1.03(3) 1.68 (0.62) (0.08) (0.70) 10.95 17.40
2006(2) 10.00 0.27(3) (0.17)(3) 0.10 (0.13) -- (0.13) 9.97 1.00
REAL RETURN PLUS FUND
Class A
2007* $ 10.10 $ 0.24(3) $ 0.69(3) $ 0.93 $ -- $ -- $ -- $ 11.03 9.21%
2007(7) 10.00 0.26(3) (0.03)(3) 0.23 (0.13) -- (0.13) 10.10 2.29
- ----------------------------------------------------------------------------------------------------------------------------------
Ratio of
Expenses Ratio of
to Average Expenses
Net Assets to Average
(Excluding Net Assets Ratio of Net
Ratio of Net Fees Paid (Excluding Investment
Net Assets Expenses Indirectly Fees Paid Income Portfolio
End of Period to Average and including Indirectly to Average Turnover
($ Thousands) Net Assets Waivers) and Waivers) Net Assets Rate+
- ----------------------------------------------------------------------------------------------------------------------------------
INTERNATIONAL EQUITY FUND
Class A
2007* $1,606,626 0.41%(8) 0.41%(8) 0.62%(8) 2.10% 66%
2007 1,790,634 0.50(5) 0.50(5) 0.71(5) 2.69 153
2006 1,656,985 0.36 0.36 0.63 2.30 116
2005 1,677,254 0.43 0.43 0.58 2.12 48
2004 1,391,076 0.48 0.48 0.65 1.92 80
2003 1,176,097 0.48 0.48 0.68 1.85 58
WORLD EQUITY EX-US FUND
Class A
2007* $2,929,939 0.60%(6) 0.60%(6) 0.65%(6) 1.95% 73%
2007 2,053,014 0.71(6) 0.71(6) 0.77(6) 2.45 154
2006 908,582 0.60 0.61 0.76 2.22 104
2005(4) 234,396 0.60 0.60 0.70 4.35 15
ENHANCED INCOME FUND
Class A
2007* $ 224,086 0.44% 0.44% 0.53% 5.28% 30%
2007(7) 123,430 0.44 0.44 0.54 5.84 53
CORE FIXED INCOME FUND
Class A
2007* $6,609,132 0.14% 0.14% 0.37% 5.32% 223%
2007 5,894,127 0.14 0.14 0.37 5.23 428
2006 4,646,403 0.14 0.14 0.37 4.62 545
2005 4,265,249 0.15 0.15 0.37 3.94 615
2004 3,074,873 0.19** 0.19** 0.38 3.62 532
2003 2,431,368 0.18 0.18 0.37 4.79 436
HIGH YIELD BOND FUND
Class A
2007* $1,378,783 0.35% 0.35% 0.55% 7.85% 30%
2007 1,241,924 0.35 0.35 0.56 8.25 98
2006(2) 862,371 0.35 0.35 0.57 8.15 58
LONG DURATION FUND
Class A
2007* $ 196,132 0.20% 0.20% 0.38% 5.71% 29%
2007 184,616 0.20 0.20 0.38 5.49 97
2006 165,324 0.20 0.20 0.39 4.69 113
2005 76,054 0.20 0.20 0.41 4.05 449
2004(1) 6,317 0.20 0.20 0.57 5.02 31
EXTENDED DURATION FUND
Class A
2007* $ 780,103 0.20% 0.20% 0.37% 5.81% 23%
2007 370,667 0.20 0.20 0.38 5.63 123
2006 222,923 0.20 0.20 0.39 4.64 170
2005 154,779 0.20 0.20 0.41 3.99 379
2004(1) 27,787 0.20 0.20 0.44 5.17 42
EMERGING MARKETS DEBT FUND
Class A
2007* $ 989,499 0.55% 0.55% 0.93% 6.35% 31%
2007 804,036 0.55 0.55 0.94 6.16 89
2006(2) 479,808 0.55 0.55 0.95 5.43 51
REAL RETURN PLUS FUND
Class A
2007* $ 316,324 0.44% 0.44% 0.77% 4.69% 22%
2007(7) 221,531 0.44 0.44 0.78 5.67 18
* For the six month period ended November 30, 2007 (Unaudited). All ratios
for the period have been annualized.
** The expense ratio includes the litigation fees paid. Had these fees been
excluded the ratio would have been 0.18%.
+ Returns and portfolio turnover rates are for the period indicated and have
not been annualized. Returns do not reflect the deduction of taxes the
shareholder would pay on fund distributions or redemption of Fund shares.
(1) Commenced operations on April 21, 2004. All ratios for the period have
been annualized.
(2) Commenced operations on December 5, 2005. All ratios for the period have
been annualized.
(3) Per share net investment income and net realized and unrealized gains
(losses) calculated using average shares.
(4) Commenced operations on March 28, 2005. All ratios for the period have
been annualized.
(5) The expense ratio includes interest expense on reverse repurchase
agreements. Had this expense been excluded, the ratios would have been
0.37%, 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.
(8) The expense ratio includes interest expense on reverse repurchase
agreements. Had this expense been excluded, the ratios would have been
0.39%, 0.39% and 0.61%, respectively. Amounts designated as "--" are zero
or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 213
Notes to Financial Statements (Unaudited)
NOVEMBER 30, 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.
Effective January 2, 2008, the Enhanced Income Fund's name changed to the
Enhanced LIBOR Opportunities Fund.
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
- --------------------------------------------------------------------------------
214 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
exceed levels established by the administrator, the administrator notifies the
adviser or sub-adviser for any Fund holding the relevant securities that such
limits have been exceeded. In such event, the adviser or sub-adviser makes the
determination whether a Fair Value Committee Meeting should be called based on
the information provided.
The International Equity and World Equity Ex-US Funds that hold international
securities also use a third-party fair valuation vendor. The vendor provides a
fair value for foreign securities held by these Funds based on certain factors
and methodologies (involving, generally, tracking valuation correlations between
the U.S. market and each non-U.S. security). Values from the fair value vendor
are applied in the event that there is a movement in the U.S. market that
exceeds a specific threshold that has been established by the Committee. The
Committee has also established a "confidence interval" which is used to
determine the level of historical correlation between the value of a specific
foreign security and movements in the U.S. market before a particular security
will be fair valued when the threshold is exceeded. In the event that the
threshold established by the Committee is exceeded on a specific day, these
Funds that hold international securities will value the non-U.S. securities in
their fund that exceed the applicable "confidence interval" based upon the
adjusted prices provided by the fair valuation vendor.
Options and warrants for which the primary market is a national securities
exchange are valued at the last sale price on the exchange on which they are
traded, or, in the absence of any sale, at the closing bid price. Options and
warrants not traded on a national securities exchange are valued at the last
quoted bid price.
SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Security transactions are
recorded on the trade date. Cost used in determining net realized capital gains
and losses on the sale of securities is determined on the basis of specific
identification. Dividend income and expense is recognized on the ex-dividend
date, and interest income or expense is recognized using the accrual basis of
accounting.
Amortization and accretion is calculated using the scientific interest method,
which approximates the effective interest method over the holding period of the
security. Amortization of premiums and discounts is included in interest income.
REPURCHASE AGREEMENTS -- Each Fund may agree to purchase securities from
financial institutions subject to the seller's agreement to repurchase them at a
mutually agreed upon date and price. It is each Fund's policy that repurchase
agreements are fully collateralized by U.S. Treasury and Government Agency
securities. All collateral is held by the Fund's custodian bank or a bank with
which the custodian bank has entered into a subcustodian agreement, or is
segregated in the Federal Reserve Book Entry System. In connection with
transactions in repurchase agreements, if the seller defaults and the value of
the collateral declines, or if the seller enters an insolvency proceeding,
realization of the collateral by the Fund may be delayed or limited.
REVERSE REPURCHASE AGREEMENTS -- The 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. There were no reverse repurchase agreements outstanding as of
November 30, 2007.
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/Semi-Annual Report/November 30, 2007 215
Notes to Financial Statements (Unaudited) (Continued)
NOVEMBER 30, 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 with the exception of the High Yield Bond
Fund utilized futures contracts during the six month period ended November 30,
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 International Equity, World Equity Ex-US and Core
Fixed Income Funds had option/swaptions contracts as of November 30, 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.
- --------------------------------------------------------------------------------
216 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
Written options transactions entered into during the six month period ended
November 30, 2007 are summarized as follows:
- ----------------------------------------------------------------------------------------------------------------
INTERNATIONAL WORLD EQUITY CORE FIXED
EQUITY FUND EX-US FUND INCOME FUND
- ----------------------------------------------------------------------------------------------------------------
Number of Premium Number of Premium Number of Premium
Contracts ($ Thousands) Contracts ($ Thousands) Contracts ($ Thousands)
- ----------------------------------------------------------------------------------------------------------------
Balance at
the beginning of period -- $ -- -- $ -- 507 $ 105
Written 28 4 49 8 7,573 4,011
Expired -- -- -- -- (2,066) (889)
Closing buys -- -- -- -- (2,203) (838)
- ----------------------------------------------------------------------------------------------------------------
Balance at
the end of period 28 $ 4 49 $ 8 3,811 $ 2,389
- ----------------------------------------------------------------------------------------------------------------
Written swaptions transactions entered into during the six month period ended
November 30, 2007 are summarized as follows:
- -------------------------------------------------------------------------------
CORE FIXED
INCOME FUND
- -------------------------------------------------------------------------------
Number of Premium
Contracts ($ Thousands)
- -------------------------------------------------------------------------------
Balance at
the beginning of period 138,000,000 $3,050
Written -- --
Expired -- --
Closing buys -- --
- -------------------------------------------------------------------------------
Balance at
the end of period 138,000,000 $3,050
- -------------------------------------------------------------------------------
At November 30, 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 agreementis 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/Semi-Annual Report/November 30, 2007 217
Notes to Financial Statements (Unaudited) (Continued)
NOVEMBER 30, 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
- --------------------------------------------------------------------------------
218 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 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 November 30, 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 November 30, 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 $ 833 0.04%
BA Energy Deal # 3 PIPE 30,500 4/30/07 4/30/07 221 214 0.01%
BPZ Energy PIPE 205,289 5/7/07 5/7/07 1,179 2,340 0.13%
Force Protection 166,100 12/19/06 12/19/06 1,952 1,796 0.10%
NNN Realty Advisors 169,500 11/9/07 11/9/07 1,695 1,017 0.05%
Oil Sands Quest PIPE 74,000 5/2/07 5/2/07 204 333 0.02%
Orion Marine Group 139,600 5/3/07 5/3/07 1,890 1,989 0.11%
Rentech Warrants 16,100 1/3/15 1/3/15 -- 12 0.00%
Synenco Energy 27,419 8/24/05 8/24/05 317 204 0.01%
-------- --------- ----------
$ 8,462 $ 8,738 0.47%
SMALL/MID CAP EQUITY FUND
BA Energy PIPE 80,500 8/10/06 8/10/06 $ 679 $ 564 0.03%
BA Energy Deal # 3 PIPE 26,500 4/30/07 4/30/07 192 186 0.01%
BPZ Energy PIPE 185,500 5/7/07 5/7/07 977 2,115 0.09%
Force Protection 132,500 12/19/06 12/19/06 1,557 1,432 0.06%
NNN Realty Advisors 237,000 11/9/07 11/9/07 2,180 1,422 0.06%
Orion Marine Group 116,900 5/3/07 5/3/07 1,578 1,666 0.07%
Rentech Warrants 13,800 1/3/15 1/3/15 -- 10 0.00%
Synenco Energy 12,051 8/24/05 8/24/05 140 90 0.00%
-------- --------- ----------
$ 7,303 $ 7,485 0.32%
INVESTMENTS IN REAL ESTATE IN VESTMENT 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
six month period ended November 30, 2007, and until further notice, the
Administrator has voluntarily agreed to waive all of its fee.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 219
Notes to Financial Statements (Unaudited) (Continued)
NOVEMBER 30, 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 November 30, 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
Janus Capital 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
Janus Capital 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.
- --------------------------------------------------------------------------------
220 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 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 six month period ended November 30, 2007 were as
follows ($ Thousands):
Large Cap Fund $ 22
Small Cap Fund 184
Small/Mid Cap Equity Fund 141
International Equity Fund 75
World Equity Ex-US Fund 76
----
$498
====
Certain officers and/or trustees of the Trust are also officers of the
Administrator or the Adviser. The Trust pays each unaffiliated Trustee an annual
fee for attendance at quarterly, interim and committee meetings. Compensation of
officers and affiliated Trustees of the Trust is paid by the Adviser or
Administrator.
LSV Asset Management (partially-owned subsidiary of SIMC) serves as a
sub-adviser to the Large Cap, Small Cap and Small/Mid Cap Equity Funds. For this
service LSV Asset Management is entitled to receive a fee from SIMC. Such fees
for the six month period ended November 30, 2007 were as follows ($ Thousands):
Large Cap Fund $ 38
Small Cap Fund 401
Small/Mid Cap Equity Fund 425
----
$864
====
FEES PAID INDIRECTLY -- The Funds may direct certain fund trades to the
Distributor who pays a portion of the Fund's expenses. Accordingly, the expenses
reduced, which were used to pay third party expenses, can be found on the
Statement of Operations and the effect on the Fund's expense ratio, as a
percentage of the Fund's average daily net assets for the six month period ended
November 30, 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. The Funds may invest the cash collateral from the
securities lending program in the SEI Liquidity Fund LP.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 221
Notes to Financial Statements (Unaudited) (Continued)
NOVEMBER 30, 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 EQUITY FUND
- ----------------------------------------------------------------------------------------------------------------------------
6/1/07 6/1/07 6/1/07
to 11/30/07 6/1/06 to 11/30/07 6/1/06 to 11/30/07 6/1/06
(Unaudited) to 5/31/07 (Unaudited) to 5/31/07 (Unaudited) to 5/31/07
- ----------------------------------------------------------------------------------------------------------------------------
Class A:
Shares Issued 561 1,317 9,279 33,976(1) 131,061(1) 103,185(1)
Shares Issued in Lieu of
Dividends and Distributions 251 678 336 519 6,480 23,565
Shares Redeemed (14,692) (15,154) (7,206)(2) (10,457) (47,501)(2) (61,085)
Effect of Stock Split -- -- -- -- -- 439,286
- ----------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets
Derived from Class A Transactions (13,880) (13,159) 2,409 24,038 90,040 504,951
============================================================================================================================
- ----------------------------------------------------------------------------------------------------------------------------
LARGE CAP SMALL/MID CAP
INDEX FUND SMALL CAP FUND EQUITY FUND
- ----------------------------------------------------------------------------------------------------------------------------
6/1/07 6/1/07 6/1/07
to 11/30/07 6/1/06 to 11/30/07 6/1/06 to 11/30/07 6/1/06
(Unaudited) to 5/31/07 (Unaudited) to 5/31/07 (Unaudited) to 5/31/07
- ----------------------------------------------------------------------------------------------------------------------------
Class A:
Shares Issued 85 280 3,634 14,887 52,835(1) 21,452
Shares Issued in Lieu of
Dividends and Distributions 25 78 424 15,994 462 8,913
Shares Redeemed (244) (524) (8,479) (26,642) (10,033) (11,013)
Effect of Stock Split -- -- -- -- -- 96,339
- ----------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets
Derived from Class A Transactions (134) (166) (4,421) 4,239 43,264 115,691
============================================================================================================================
- ----------------------------------------------------------------------------------------------------------------------------
INTERNATIONAL WORLD EQUITY ENHANCED
EQUITY FUND EX-US FUND INCOME FUND(3)
- ----------------------------------------------------------------------------------------------------------------------------
6/1/07 6/1/07 6/1/07
to 11/30/07 6/1/06 to 11/30/07 6/1/06 to 11/30/07 12/14/06
(Unaudited) to 5/31/07 (Unaudited) to 5/31/07 (Unaudited) to 5/31/07
- ----------------------------------------------------------------------------------------------------------------------------
Class A:
Shares Issued 5,284 13,259 61,794 71,102 13,318 12,291
Shares Issued in Lieu of
Dividends and Distributions -- 28,933 -- 6,384 433 171
Shares Redeemed (17,510) (34,641) (11,873) (18,759) (2,439) (286)
- ----------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets
Derived from Class A Transactions (12,226) 7,551 49,921 58,727 11,312 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 Enhanced Income Fund commenced operations on December 14, 2006.
Amounts designated as "--" are zero or have been rounded to zero.
- --------------------------------------------------------------------------------
222 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
- ----------------------------------------------------------------------------------------------------------------------------
LONG
CORE FIXED HIGH YIELD DURATION
INCOME FUND BOND FUND FUND
- ----------------------------------------------------------------------------------------------------------------------------
6/1/07 6/1/07 6/1/07
to 11/30/07 6/1/06 to 11/30/07 6/1/06 to 11/30/07 6/1/06
(Unaudited) to 5/31/07 (Unaudited) to 5/31/07 (Unaudited) to 5/31/07
- ----------------------------------------------------------------------------------------------------------------------------
Class A:
Shares Issued 112,354 200,308 24,819 39,242 1,409 1,075
Shares Issued in Lieu of
Dividends and Distributions 16,045 27,065 5,118 8,625 547 954
Shares Redeemed (70,597) (109,460) (6,996) (13,284) (1,392) (394)
- ----------------------------------------------------------------------------------------------------------------------------
Increase in Net Assets Derived
from Class A Transactions 57,802 117,913 22,941 34,583 564 1,635
============================================================================================================================
- ----------------------------------------------------------------------------------------------------------------------------
EXTENDED EMERGING REAL
DURATION MARKETS RETURN
FUND DEBT FUND PLUS FUND(1)
- ----------------------------------------------------------------------------------------------------------------------------
6/1/07 6/1/07 6/1/07
to 11/30/07 6/1/06 to 11/30/07 6/1/06 to 11/30/07 12/14/06
(Unaudited) to 5/31/07 (Unaudited) to 5/31/07 (Unaudited) to 5/31/07
- ----------------------------------------------------------------------------------------------------------------------------
Class A:
Shares Issued 36,401 15,142 20,332 27,399 10,644 22,760
Shares Issued in Lieu of
Dividends and Distributions 1,467 1,544 2,527 3,858 -- 238
Shares Redeemed (2,837) (1,733) (4,055) (5,979) (3,900) (1,055)
- ----------------------------------------------------------------------------------------------------------------------------
Increase in Net Assets Derived
from Class A Transactions 35,031 14,953 18,804 25,278 6,744 21,943
============================================================================================================================
(1) 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 six month period
ended November 30, 2007, were as follows:
- -------------------------------------------------------------------------------------
U.S. Gov't Other Total
($ Thousands) ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------------
LARGE CAP FUND
Purchases $ -- $ 143,835 $ 143,835
Sales -- 414,111 414,111
LARGE CAP DIVERSIFIED ALPHA FUND*
Purchases 70,101 394,520 464,621
Sales 92,911 321,558 414,469
LARGE CAP DISCIPLINED EQUITY FUND*
Purchases 1,207,716 5,412,234 6,619,950
Sales 1,694,761 3,925,540 5,620,301
LARGE CAP INDEX FUND
Purchases -- 21,687 21,687
Sales -- 42,927 42,927
SMALL CAP FUND
Purchases -- 1,025,949 1,025,949
Sales -- 1,093,123 1,093,123
SMALL/MID CAP FUND*
Purchases -- 1,502,203 1,502,203
Sales -- 880,028 880,028
INTERNATIONAL EQUITY FUND
Purchases 579,814 500,511 1,080,325
Sales 557,141 686,593 1,243,734
- -------------------------------------------------------------------------------------
U.S. Gov't Other Total
($ Thousands) ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------------
WORLD EQUITY EX-US FUND
Purchases $ 1,064,432 $1,406,872 $ 2,471,304
Sales 994,995 707,053 1,702,048
ENHANCED INCOME FUND
Purchases 17,596 70,563 88,159
Sales 15,934 3,270 19,204
CORE FIXED INCOME FUND
Purchases 12,542,806 1,350,632 13,893,438
Sales 12,204,404 889,776 13,094,180
HIGH YIELD BOND FUND
Purchases -- 501,937 501,937
Sales -- 316,139 316,139
LONG DURATION BOND FUND
Purchases 6,231 45,369 51,600
Sales 10,480 29,250 39,730
EXTENDED DURATION BOND FUND
Purchases 14,566 216,994 231,560
Sales 15,165 56,611 71,776
EMERGING MARKETS DEBT FUND
Purchases -- 372,061 372,061
Sales -- 235,717 235,717
REAL RETURN PLUS FUND
Purchases 121,641 -- 121,641
Sales 54,554 -- 54,554
* Includes in-kind transactions (see Note 8).
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 223
Notes to Financial Statements (Unaudited) (Continued)
NOVEMBER 30, 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.
The tax character of dividends and distributions paid during the last two
years or periods ended May 31, 2007 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
- -------------------------------------------------------------------------------------------
Ordinary Long-term
Income Capital Gain Total
($ Thousands) ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------------------
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
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
- --------------------------------------------------------------------------------
224 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
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 Expires Carryforwards
2011 2014 2015 11/30/07
($ 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 $47,566,633 of
capital loss carryforwards, to offset capital gains.
For Federal income tax purposes, the cost of securities owned at November 30,
2007, and the net realized gains or losses on securities sold for the period
were not materially different from amounts reported for financial reporting
purposes, primarily due to wash sales which cannot be used for Federal income
tax purposes in the current year and have been deferred for use in future years.
The aggregate gross unrealized appreciation and depreciation on total
investments held by the Funds at November 30, 2007, was as follows:
- ---------------------------------------------------------------------------------------------
Net
Unrealized
Federal Appreciated Depreciated Appreciation
Tax Cost Securities Securities (Depreciation)
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- ---------------------------------------------------------------------------------------------
Large Cap Fund $ 361,340 $ 88,071 $ (16,113) $ 71,958
Large Cap Diversified
Alpha Fund 501,454 42,971 (19,363) 23,608
Large Cap Disciplined
Equity Fund 8,430,712 900,137 (232,462) 667,675
Large Cap Index Fund 295,367 137,488 (11,849) 125,639
Small Cap Fund 2,302,969 249,739 (173,291) 76,448
Small/Mid Cap Equity Fund 2,752,592 227,139 (191,502) 35,637
International Equity Fund 1,460,160 303,558 (35,666) 267,892
World Equity Ex-US Fund 2,787,704 389,373 (59,718) 329,655
Enhanced Income Fund 230,605 377 (7,063) (6,686)
Core Fixed Income Fund 9,063,205 134,009 (58,967) 75,042
High Yield Bond Fund 1,600,138 8,260 (67,681) (59,421)
Long Duration Fund 198,197 1,723 (8,393) (6,670)
Extended Duration Fund 706,516 3,666 (24,031) (20,365)
Emerging Markets Debt Fund 977,398 29,575 (19,569) 10,006
Real Return Plus Fund 298,414 14,131 -- 14,131
7. CONCENTRATION/RISKS
In the normal course of business, the Funds enter into contracts that provide
general indemnifications by the Fund to the counterparty to the contract. The
Funds' maximum exposure under these arrangements is dependent on future claims
that may be made against the Funds and, therefore, cannot be estimated; however,
based on experience, the risk of loss from such claims is considered remote.
The market values of the Core Fixed Income, Long Duration, Extended Duration and
High Yield Bond Funds' investments may change in response to interest rate
changes and other factors. During periods of falling interest rates, the values
of fixed income securities generally rise. Conversely, during periods of rising
interest rates, the values of such securities generally decline. Changes by
recognized rating agencies in the ratings of any fixed income security and in
the ability of an issuer to make payments of interest and principal may also
affect the value of these investments.
The International Equity, World Equity Ex-US and Emerging Markets Debt Funds
concentrate their investments in securities of foreign issuers in various
countries. These investments may involve certain considerations and risks not
typically associated with investments in the United States, as a result of,
among other factors, the possibility of future political and economic
developments and the level of governmental supervision and regulation of
securities markets in the respective countries.
8. IN-KIND TRANSFERS OF SECURITIES
During the six month period ended November 30, 2007, the Large Cap Diversified
Alpha, Large Cap Disciplined Equity, 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 Diversified
Alpha Fund
08/31/07 (4,392,890) $ (43,929) $ (2,046)
Large Cap Disciplined
Equity Fund
06/29/07 478,248 6,739 --
08/31/07 (90,947,378) (909,474) (32,482)
10/31/07 1,513,388 21,505 --
Small/Mid Cap
Equity Fund
10/26/07 1,208,695 17,357 --
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 225
Notes to Financial Statements (Unaudited) (Concluded)
NOVEMBER 30, 2007
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
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. 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 sustained as of the adoption date. Adoption of FIN 48
is required for fiscal years beginning after December 15, 2006 and is to be
applied to all open tax years as of the effective date. Based on its analysis,
management has determined that the adoption of FIN 48 did not have a material
impact to the Fund's financial statements upon adoption. However, management's
conclusions regarding FIN 48 may be subject to review and adjustment at a later
date based on factors including, but not limited to, further implementation
guidance expected from the FASB, and on-going analyses of and changes to tax
laws, regulations and interpretations thereof.
In September 2006, the FASB issued Statement on Financial Accounting Standards
("SFAS") No. 157, "Fair Value Measurements." This standard establishes a single
authoritative definition of fair value, sets out a framework for measuring fair
value and requires additional disclosures about fair value measurements. SFAS
No. 157 applies to fair value measurements already required or permitted by
existing standards. SFAS No. 157 is effective for financial statements issued
for fiscal years beginning after November 15, 2007 and interim periods within
those fiscal years. The changes to current generally accepted accounting
principles from the application of this Statement relate to the definition of
fair value, the methods used to measure fair value, and the expanded disclosures
about fair value measurements. As of November 30, 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.
11. OTHER MATTERS
Due to volatility in the fixed income and equity markets, the market value of
some of the Fund's holdings may currently be lower than shown in the Schedules
of Investments ("SOI"). The values shown in the SOI's were the market values as
of November 30, 2007 and do not reflect any market events after November 30,
2007.
- --------------------------------------------------------------------------------
226 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
Disclosure of Fund Expenses (Unaudited)
NOVEMBER 30, 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/Semi-Annual Report/November 30, 2007 227
Disclosure of Fund Expenses (Unaudited) (Concluded)
NOVEMBER 30, 2007
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
6/1/07 11/30/07 RATIOS PERIOD*
- -------------------------------------------------------------------------------------
LARGE CAP FUND
- -------------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 983.60 0.26% $ 1.29
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,023.70 0.26% $ 1.32
- -------------------------------------------------------------------------------------
LARGE CAP DIVERSIFIED ALPHA FUND
- -------------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 961.60 0.57% $ 2.80
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,022.15 0.57% $ 2.88
- -------------------------------------------------------------------------------------
LARGE CAP DISCIPLINED EQUITY FUND
- -------------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 955.00 0.20% $ 1.00
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,023.98 0.20% $ 1.03
- -------------------------------------------------------------------------------------
LARGE CAP INDEX FUND
- -------------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 974.30 0.06% $ 0.30
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,024.70 0.06% $ 0.30
- -------------------------------------------------------------------------------------
SMALL CAP FUND
- -------------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 900.30 0.52% $ 2.47
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,022.40 0.52% $ 2.63
- -------------------------------------------------------------------------------------
SMALL/MID CAP EQUITY FUND
- -------------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 904.70 0.49% $ 2.33
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,022.55 0.49% $ 2.48
- -------------------------------------------------------------------------------------
INTERNATIONAL EQUITY FUND
- -------------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 994.40 0.41% $ 2.04
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,022.95 0.41% $ 2.07
- -------------------------------------------------------------------------------------
WORLD EQUITY EX-US FUND
- -------------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 1,028.20 0.60% $ 3.04
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,022.00 0.60% $ 3.03
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
6/1/07 11/30/07 RATIOS PERIOD*
- -------------------------------------------------------------------------------------
ENHANCED INCOME FUND
- -------------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 964.40 0.44% $ 2.16
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,022.80 0.44% $ 2.23
- -------------------------------------------------------------------------------------
CORE FIXED INCOME FUND
- -------------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 1,048.70 0.14% $ 0.72
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,024.30 0.14% $ 0.71
- -------------------------------------------------------------------------------------
HIGH YIELD BOND FUND
- -------------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 970.90 0.35% $ 1.72
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,023.25 0.35% $ 1.77
- -------------------------------------------------------------------------------------
LONG DURATION FUND
- -------------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 1,061.90 0.20% $ 1.03
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,024.00 0.20% $ 1.01
- -------------------------------------------------------------------------------------
EXTENDED DURATION FUND
- -------------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 1,154.30 0.20% $ 1.08
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,024.00 0.20% $ 1.01
- -------------------------------------------------------------------------------------
EMERGING MARKETS DEBT FUND
- -------------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 1,010.80 0.55% $ 2.76
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,022.25 0.55% $ 2.78
- -------------------------------------------------------------------------------------
REAL RETURN PLUS FUND
- -------------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 1,092.10 0.44% $ 2.30
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,022.80 0.44% $ 2.23
* Expenses are equal to the Fund's annualized expense ratio multiplied by
the average account value over the period, multiplied by 183/366 (to
reflect one-half year period shown).
- --------------------------------------------------------------------------------
228 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
Board of Trustees Considerations in Approving the Advisory and Sub-Advisory
Agreements (Unaudited)
NOVEMBER 30, 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, June 28-29, 2007 and September 19-20, 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 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;
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007 229
Board of Trustees Considerations in Approving the Advisory and Sub-Advisory
Agreements (Concluded) (Unaudited)
NOVEMBER 30, 2007
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 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.
- --------------------------------------------------------------------------------
230 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2007
Notes
Notes
SEI INSTITUTIONAL INVESTMENTS TRUST SEMI-ANNUAL REPORT NOVEMBER 30, 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
* Retired as of December 5, 2007.
OFFICERS
Robert A. Nesher
PRESIDENT AND CHIEF EXECUTIVE OFFICER
Stephen F. Panner
CONTROLLER AND CHIEF FINANCIAL OFFICER
Russell Emery
CHIEF COMPLIANCE OFFICER
Timothy D. Barto
VICE PRESIDENT, SECRETARY
Sofia A. Rosala
VICE PRESIDENT, ASSISTANT SECRETARY
James Ndiaye
VICE PRESIDENT, ASSISTANT SECRETARY
Michael T. Pang
VICE PRESIDENT, ASSISTANT SECRETARY
John J. McCue
VICE PRESIDENT
Nicole Welch
ANTI-MONEY LAUNDERING COMPLIANCE OFFICER
INVESTMENT ADVISER
SEI Investments Management Corporation
ADMINISTRATOR
SEI Investments Global Funds Services
DISTRIBUTOR
SEI Investments Distribution Co.
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
KPMG LLP
This report and the financial statements contained herein are submitted for the
general information of the shareholders of the Trust and must be preceded or
accompanied by a current prospectus. Shares of the Funds are not deposits or
obligations of, or guaranteed or endorsed by, any bank. The shares are not
federally insured by the Federal Deposit Insurance Corporation (FDIC), the
Federal Reserve Board, or any other government agency. Investment in the shares
involves risk, including the possible loss of principal.
FOR MORE INFORMATION CALL
1 800 DIAL SEI
(1 800 342 5734)
SEI NEW WAYS.
NEW ANSWERS.(R)
SEI Investments Distribution Co.
Oaks, PA 19456 1.800.DIAL.SEI (1.800.342.5734)
SEI-F-120 (11/07)
ITEM 2. CODE OF ETHICS.
Not applicable for semi-annual report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable for semi-annual report.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable for semi-annual report.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to open-end management investment companies.
ITEM 6. SCHEDULE OF INVESTMENTS.
Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable to open-end management investment companies.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable. Effective for closed-end management investment companies for
fiscal years ending on or after December 31, 2005
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT COMPANY AND
AFFILIATED PURCHASERS.
Not applicable to open-end management investment companies.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
The Trust has a standing Nominating Committee (the "Committee") currently
consisting of the Independent Trustees. The Committee is responsible for
evaluating and recommending nominees for election to the Trust's Board of
Trustees (the "Board"). Pursuant to the Committee's Charter, adopted on June
18th 2004, the Committee will review all shareholder recommendations for
nominations to fill vacancies on the Board if such recommendations are submitted
in writing and addressed to the Committee at the Trust's office.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The certifying officers, whose certifications are included herewith, have
evaluated the registrant's disclosure controls and procedures within 90 days of
the filing date of this report. Based on their evaluation, the certifying
officers have concluded that the registrant's disclosure controls and procedures
are adequately designed, and are operating effectively to ensure, that
information required to be disclosed by the registrant in the reports it files
or submits under the Securities Exchange Act of 1934 is recorded, processed,
summarized and reported within the time periods specified in the Securities and
Exchange Commission's rules and forms.
(b) There were no significant changes in the registrant's internal control over
financial reporting that occurred during the registrant's last fiscal half-year
that have materially affected, or are reasonably likely to materially affect,
the registrant's internal control over financial reporting.
ITEMS 12. EXHIBITS.
(a)(1) Not applicable for semi-annual report.
(a)(2) A separate certification for the principal executive officer and the
principal financial officer of the registrant as required by Rule 30a-2(a) under
the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed
herewith.
(b) Officer certifications as required by Rule 30a-2(b) under the Investment
Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing
as an Exhibit.
- --------------------------------------------------------------------------------
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) SEI Institutional Investments Trust
By (Signature and Title)* /s/ Robert A. Nesher
-------------------------------------
Robert A. Nesher, President & CEO
Date: February 7, 2008
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ Robert A. Nesher
-------------------------------------
Robert A. Nesher, President & CEO
Date: February 7, 2008
By (Signature and Title)* /s/ Stephen F. Panner
-------------------------------------
Stephen F. Panner, Controller & CFO
Date: February 7, 2008
* Print the name and title of each signing officer under his or her signature.