UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
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FORM N-CSRS
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CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER 811-07257
SEI INSTITUTIONAL INVESTMENTS TRUST
(Exact name of registrant as specified in charter)
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C/O CT CORPORATION
101 FEDERAL ST.
BOSTON, MA 02110
(Address of principal executive offices) (Zip code)
C/O CT CORPORATION
101 FEDERAL ST.
BOSTON, MA 02110
(Name and address of agent for service)
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: 1-800-342-5734
DATE OF FISCAL YEAR END: MAY 31, 2009
DATE OF REPORTING PERIOD: NOVEMBER 30, 2008
ITEM 1. REPORTS TO STOCKHOLDERS.
(SEI LOGO) New ways.
New answers.(R)
SEI Institutional Investments Trust
Semi-Annual Report as of November 30, 2008
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
Screened World Equity Ex-US Fund
Enhanced LIBOR Opportunities Fund
Core Fixed Income Fund
High Yield Bond Fund
Long Duration Fund
Extended Duration Fund
Emerging Markets Debt Fund
Real Return Plus Fund
TABLE OF CONTENTS
Schedules of Investments 1
Statements of Assets and Liabilities 194
Statements of Operations 198
Statements of Changes in Net Assets 202
Financial Highlights 208
Notes to Financial Statements 211
Disclosure of Fund Expenses 226
Board of Trustees Consideration in Approving
the Advisory and Sub-Advisory Agreements 228
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, 2008
SECTOR WEIGHTINGS++:
(BAR CHART)
Information Technology 14.3%
Financials 12.7%
Health Care 12.1%
Affiliated Partnership 11.6%
Energy 11.6%
Consumer Staples 8.8%
Consumer Discretionary 7.7%
Industrials 7.7%
Telecommunication Services 3.4%
Utilities 3.3%
Cash Equivalents 3.2%
Materials 2.3%
U.S. Treasury Obligations 1.3%
++ Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 9).
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
COMMON STOCK -- 77.0%
CONSUMER DISCRETIONARY -- 7.1%
Abercrombie & Fitch, Cl A 500 $ 10
Advance Auto Parts 1,200 36
Aeropostale* (A) 4,300 65
Amazon.com* (A) 32,050 1,369
American Eagle Outfitters 11,400 109
Apollo Group, Cl A* 300 23
Ascent Media, Cl A* 260 5
Autoliv 7,500 143
Autozone* 387 42
Barnes & Noble (A) 4,300 68
Bed Bath & Beyond* 900 18
Best Buy (A) 4,830 100
Big Lots* 1,900 33
Black & Decker 700 30
BorgWarner 1,700 40
Brink's Home Security Holdings* 1,200 24
Burger King Holdings 700 15
Cablevision Systems, Cl A 1,526 22
California Pizza Kitchen* (A) 1,500 12
Carnival 2,600 55
CBS, Cl B (A) 34,381 229
Centex 3,280 30
Central European Media Enterprises,
Cl A* 500 8
Charlotte Russe Holding* 4,200 21
Coach* 38,040 681
Comcast, Cl A 35,737 620
Darden Restaurants 400 7
DeVry 300 17
DIRECTV Group* (A) 20,700 456
Discovery Communications, Cl C* 1,200 18
DISH Network, Cl A* 1,200 13
Dollar Tree* 700 30
DR Horton 1,400 10
DreamWorks Animation SKG, Cl A* 400 9
Eastman Kodak (A) 74,300 563
Expedia* 300 2
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Family Dollar Stores 8,800 $ 244
FGX International Holdings* 3,900 40
Foot Locker 2,600 18
Fortune Brands 6,728 254
GameStop, Cl A* (A) 1,600 35
Gannett (A) 30,000 261
Gap 39,100 509
Genuine Parts 258 10
Goodyear Tire & Rubber* 6,300 40
Guess? 1,000 13
Gymboree* 6,900 174
H&R Block 13,000 249
Hanesbrands* 2,000 26
Harley-Davidson 4,000 68
Hasbro 11,700 314
Home Depot 53,500 1,236
International Game Technology 28,100 301
Interpublic Group* 4,200 17
ITT Educational Services* 400 36
J.C. Penney 20,600 391
Jackson Hewitt Tax Service 5,700 73
John Wiley & Sons, Cl A 500 18
Johnson Controls 20,416 361
Jones Apparel Group (A) 16,100 83
KB Home (A) 2,600 30
Kohl's* 5,694 186
Landry's Restaurants 2,500 29
Leggett & Platt 5,700 83
Liberty Global, Cl A* (A) 9,874 143
Liberty Media - Entertainment, Cl A* 10,300 122
Limited Brands 600 6
Liz Claiborne (A) 9,700 28
Lowe's 28,110 581
Macy's 11,800 88
Magna International, Cl A 1,800 51
Marriott International, Cl A 14,040 236
Mattel 5,500 75
McDonald's 29,035 1,706
McGraw-Hill 1,200 30
MDC Holdings (A) 600 18
MGM Mirage* (A) 27,000 323
New York Times, Cl A (A) 2,300 17
Newell Rubbermaid 6,535 87
News, Cl A 24,839 196
Nike, Cl B 17,180 915
Omnicom Group 1,060 30
Orient-Express Hotels, Cl A (A) 600 4
Panera Bread, Cl A* 600 27
Perry Ellis International* 1,900 10
Phillips-Van Heusen 200 3
Polo Ralph Lauren, Cl A 400 17
Pulte Homes 3,100 33
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
1
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund (Continued)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Rent-A-Center, Cl A* 1,300 $ 21
Ross Stores 6,500 172
Royal Caribbean Cruises 400 4
Scientific Games, Cl A* 500 7
Scripps Networks Interactive, Cl A 2,000 56
Sears Holdings* (A) 11,450 415
Service International 300 2
Shaw Communications, Cl B 9,700 166
Sherwin-Williams 2,725 161
Snap-On 1,517 55
Stamps.com* 5,100 45
Stanley Works 7,900 251
Staples 48,800 847
Starwood Hotels & Resorts Worldwide 10,850 183
Steinway Musical Instruments* 1,200 21
Target (A) 15,824 534
Tiffany 700 14
Tim Hortons 195 5
Time Warner 137,305 1,243
Time Warner Cable, Cl A* (A) 500 10
TJX (A) 14,800 338
Toll Brothers* (A) 1,800 36
Urban Outfitters* (A) 1,600 29
VF 1,659 87
Viacom, Cl B* 17,118 273
Walt Disney 28,842 650
Weight Watchers International 21,200 600
Whirlpool (A) 5,400 213
Wyndham Worldwide 6,300 30
Wynn Resorts* (A) 300 12
Yum! Brands 8,100 218
-------------
21,476
-------------
CONSUMER STAPLES -- 8.1%
Alberto-Culver, Cl B 1,900 41
Altria Group 21,011 338
Archer-Daniels-Midland 21,500 589
Avon Products 7,400 156
BJ's Wholesale Club* (A) 1,100 39
Brown-Forman, Cl B 1,375 60
Bunge (A) 5,500 233
Campbell Soup 4,000 128
Church & Dwight 700 41
Clorox 2,400 142
Coca-Cola 51,761 2,426
Coca-Cola Enterprises 41,100 377
Colgate-Palmolive 19,026 1,238
ConAgra Foods 25,900 382
Corn Products International 300 8
Costco Wholesale (A) 14,770 760
CVS/Caremark (A) 37,567 1,087
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Estee Lauder, Cl A 1,300 $ 36
General Mills 5,646 357
Herbalife 7,800 139
Hershey 500 18
HJ Heinz 3,707 144
Hormel Foods 1,100 29
JM Smucker 100 5
Kellogg 3,482 151
Kimberly-Clark 11,854 685
Kraft Foods, Cl A 19,894 541
Kroger (A) 26,722 739
Lorillard 559 34
McCormick 381 11
Molson Coors Brewing, Cl B 1,000 45
NBTY* 800 12
Pepsi Bottling Group 18,900 342
PepsiAmericas 6,100 102
PepsiCo 40,877 2,318
Philip Morris International 13,471 568
Procter & Gamble 83,413 5,368
Reynolds American 10,464 430
Safeway 23,746 518
Sara Lee 25,500 234
Smithfield Foods* (A) 700 5
Supervalu 13,081 156
Sysco 5,524 130
Tyson Foods, Cl A 7,100 48
UST 2,200 151
Walgreen 29,000 717
Wal-Mart Stores 40,412 2,258
Whole Foods Market 400 4
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24,340
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ENERGY -- 10.7%
Alpha Natural Resources* 1,500 33
Anadarko Petroleum 10,000 410
Apache 11,104 858
Arch Coal 1,000 15
Atwood Oceanics* 100 2
Baker Hughes 201 7
BJ Services 1,800 22
Cabot Oil & Gas 1,700 51
Cameron International* (A) 23,058 486
Chesapeake Energy (A) 7,860 135
Chevron 60,582 4,787
Cimarex Energy 7,500 213
Clayton Williams Energy* 500 23
Complete Production Services* 10,200 84
ConocoPhillips 58,277 3,061
Consol Energy 600 17
Continental Resources* 300 6
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
2
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Denbury Resources* 1,000 $ 10
Devon Energy 16,790 1,215
Diamond Offshore Drilling 2,700 199
Dresser-Rand Group* 100 2
El Paso 1,900 14
Encore Acquisition* 700 18
ENSCO International 7,300 237
EOG Resources 12,430 1,057
Exxon Mobil (A) 120,457 9,655
FMC Technologies* 900 25
Forest Oil* 1,300 23
Foundation Coal Holdings 800 11
Frontline (A) 900 27
Halliburton 56,880 1,001
Helmerich & Payne 1,200 30
Hercules Offshore* 400 2
Hess 11,233 607
Holly 4,100 75
Marathon Oil 28,188 738
Mariner Energy* 2,900 32
Massey Energy 1,200 19
Murphy Oil 5,400 238
Nabors Industries* 8,100 117
National Oilwell Varco* 1,444 41
Newfield Exploration* 500 11
Noble 10,100 271
Noble Energy 900 47
Occidental Petroleum (A) 20,200 1,094
Oil States International* 800 17
Overseas Shipholding Group 600 22
Patriot Coal* (A) 2,900 25
Patterson-UTI Energy 8,600 107
Peabody Energy 5,400 127
Petro-Canada 4,800 120
PetroHawk Energy* 1,400 24
Pioneer Natural Resources 400 8
Plains Exploration & Production* 1,000 23
Pride International* 1,000 16
Quicksilver Resources* 2,100 13
Range Resources 1,100 46
Schlumberger 34,806 1,766
SEACOR Holdings* 1,700 112
Smith International 1,600 47
Southwestern Energy* 11,200 385
Spectra Energy 400 6
Suncor Energy 16,874 362
Sunoco 2,800 111
Superior Energy Services* 3,300 56
Tidewater 800 32
Transocean* 5,380 360
Unit* 400 11
Valero Energy 27,700 508
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Walter Industries 600 $ 11
Weatherford International* 27,100 346
Whiting Petroleum* 900 34
Willbros Group* 800 7
Williams 7,100 115
XTO Energy 10,337 395
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32,238
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FINANCIALS -- 11.7%
ACE 6,430 336
Aflac 3,240 150
Alexandria Real Estate Equities+++ 500 22
Allied Capital (A) 800 2
Allied World Assurance Holdings 3,400 120
Allstate 32,399 824
AMB Property+++ 900 16
American Capital (A) 200 1
American Express 23,797 555
American Financial Group 13,100 268
American International Group (A) 42,224 85
American Physicians Capital 1,400 54
Ameriprise Financial 14,358 265
Annaly Capital Management+++ 16,700 240
AON 2,361 107
Apartment Investment & Management,
Cl A+++ 2,651 30
Associated Banc 700 15
Assurant 10,507 229
Astoria Financial 900 17
AvalonBay Communities+++ 100 6
Axis Capital Holdings 13,400 339
Bancorpsouth 1,100 24
Bank of America 153,109 2,488
Bank of Hawaii 1,000 45
Bank of New York Mellon 28,186 852
BB&T (A) 17,834 534
BlackRock, Cl A 500 63
Boston Properties+++ 600 32
Brandywine Realty Trust+++ 22,000 108
BRE Properties+++ 700 21
Camden Property Trust+++ 200 5
Capital One Financial (A) 17,650 607
CapitalSource+++ (A) 13,400 70
CB Richard Ellis Group, Cl A* 9,400 43
CBL & Associates Properties+++ (A) 13,800 56
Charles Schwab 71,545 1,311
Chubb 17,972 923
Cincinnati Financial 100 3
CIT Group (A) 7,700 26
Citigroup (A) 124,047 1,028
CME Group, Cl A 6,519 1,382
Comerica 11,300 255
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
3
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund (Continued)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Commerce Bancshares 630 $ 28
Credicorp 2,700 118
Cullen/Frost Bankers 1,200 65
Digital Realty Trust+++ 400 11
Discover Financial Services (A) 19,663 201
Douglas Emmett+++ 700 7
Eaton Vance 900 17
Endurance Specialty Holdings (A) 8,300 223
Equity Residential+++ 1,500 46
Essex Property Trust+++ 500 43
Everest Re Group 2,800 220
Federated Investors, Cl B 5,100 101
Fidelity National Financial, Cl A 5,800 71
Fifth Third Bancorp (A) 5,756 55
First American 400 10
First Industrial Realty Trust+++ (A) 800 7
First Midwest Bancorp 1,300 24
Franklin Resources 4,409 268
Fulton Financial (A) 2,500 28
Genworth Financial, Cl A 4,500 7
Goldman Sachs Group 11,264 889
Hanover Insurance Group 900 36
Hartford Financial Services Group 16,179 137
HCP+++ 2,900 60
Health Care+++ (A) 2,300 87
Hercules Technology Growth Capital 1,100 7
Hospitality Properties Trust+++ (A) 6,800 78
Host Hotels & Resorts+++ (A) 2,100 16
Hudson City Bancorp 25,600 428
Huntington Bancshares (A) 4,900 39
IntercontinentalExchange* 16,100 1,185
Invesco 1,000 13
Investment Technology Group* 600 10
Janus Capital Group 2,500 20
Jefferies Group (A) 100 1
JPMorgan Chase 101,835 3,224
Keycorp 16,518 155
Kilroy Realty+++ 200 6
Kimco Realty+++ 700 10
Lazard, Cl A 200 6
Leucadia National 5,500 108
Liberty Property Trust+++ 1,300 25
Lincoln National 13,900 191
Loews 9,447 259
M&T Bank 500 32
Mack-Cali Realty+++ 900 17
Markel* 29 9
Marsh & McLennan 2,825 72
MBIA (A) 2,700 16
Merrill Lynch 61,600 814
MetLife 12,690 365
MGIC Investment 4,900 13
Moody's (A) 11,400 247
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Morgan Stanley (A) 51,003 $ 752
NASDAQ OMX Group* 800 17
National City 3,600 7
Nationwide Financial Services, Cl A (A) 5,700 290
Nationwide Health Properties+++ 1,900 43
New York Community Bancorp 5,800 76
NewAlliance Bancshares 11,900 164
Northern Trust 1,765 81
NYSE Euronext 24,600 586
Oriental Financial Group 4,800 30
PartnerRe 200 14
Pennsylvania Real Estate Investment Trust+++ (A) 12,000 54
People's United Financial 1,900 36
Philadelphia Consolidated Holding* 700 43
Platinum Underwriters Holdings (A) 5,100 157
Plum Creek Timber+++ 500 18
PNC Financial Services Group (A) 6,956 367
Popular (A) 4,300 27
Principal Financial Group 7,600 105
Progressive 14,000 210
Prologis+++ (A) 3,200 12
Prospect Capital (A) 7,800 99
Protective Life 1,600 15
Provident Bankshares (A) 10,200 96
Prudential Financial 8,600 187
Public Storage+++ 1,900 133
Raymond James Financial 300 7
Rayonier+++ 400 13
Regency Centers+++ 200 7
Regions Financial (A) 66,062 673
RenaissanceRe Holdings 200 9
SeaBright Insurance Holdings* 5,600 59
Simon Property Group+++ 700 33
St. Joe* (A) 2,300 61
StanCorp Financial Group 900 30
State Street (A) 21,000 884
Sterling Financial (A) 13,400 71
Sunstone Hotel Investors+++ (A) 5,800 28
SunTrust Banks 9,956 316
Synovus Financial 2,900 24
T. Rowe Price Group 3,732 128
Taubman Centers+++ 700 17
TCF Financial 100 2
TD Ameritrade Holding* 2,800 37
Thomas Properties Group 300 1
Torchmark (A) 5,045 182
Travelers 33,501 1,462
UDR+++ 4,000 61
Unum Group 8,250 123
US Bancorp 32,455 876
Valley National Bancorp 635 12
Ventas+++ 3,500 80
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
4
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Vornado Realty Trust+++ 500 $ 27
Wachovia 20,058 113
Waddell & Reed Financial, Cl A 2,200 30
Washington Federal (A) 1,200 20
Webster Financial 3,600 54
Weingarten Realty Investors+++ 300 4
Wells Fargo (A) 78,246 2,261
Whitney Holding 100 2
Wilmington Trust (A) 100 2
WR Berkley 5,900 168
XL Capital, Cl A (A) 8,800 44
Zions Bancorporation 200 6
-------------
35,228
-------------
HEALTH CARE -- 11.1%
Abbott Laboratories 26,108 1,368
Aetna 36,800 803
Allergan 42,474 1,600
American Medical Systems Holdings* 9,300 82
AmerisourceBergen 5,500 172
Amgen* (A) 36,000 2,000
Amylin Pharmaceuticals* (A) 10,970 81
Barr Pharmaceuticals* 200 13
Baxter International 13,714 725
Becton Dickinson 6,947 441
Biogen Idec* (A) 5,300 224
BioMarin Pharmaceutical* 700 12
Boston Scientific* 31,300 193
Bristol-Myers Squibb 24,713 512
C.R. Bard 1,800 148
Cardinal Health 7,674 249
Celgene* 3,776 197
Cephalon* 200 15
Charles River Laboratories International* 1,100 25
Cigna 8,414 102
Community Health Systems* 1,400 18
Covance* 1,400 55
Coventry Health Care* 1,100 14
Covidien 4,600 170
Cubist Pharmaceuticals* 500 12
Dentsply International 3,200 83
Edwards Lifesciences* 400 20
Eli Lilly 30,404 1,038
Endo Pharmaceuticals Holdings* 500 11
Express Scripts* 7,300 420
Forest Laboratories* 10,400 251
Genentech* 23,380 1,791
Genzyme* 600 38
Gilead Sciences* 35,068 1,571
Health Management Associates, Cl A* 2,500 4
Henry Schein* 300 11
Hill-Rom Holdings 700 14
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Hologic* 400 $ 6
Hospira* 300 9
Humana* 13,200 399
Illumina* (A) 1,600 35
IMS Health 800 11
Intuitive Surgical* 100 13
Johnson & Johnson 58,534 3,429
King Pharmaceuticals* (A) 32,900 316
Laboratory Corp of America Holdings* 152 10
Life Technologies* (A) 2,227 58
Martek Biosciences 500 14
McKesson 3,917 137
Medco Health Solutions* 6,046 254
Medicines* 1,700 22
Medicis Pharmaceutical, Cl A 7,100 87
Medtronic 20,421 623
Merck 73,644 1,968
Merit Medical Systems* 1,000 14
Mylan Laboratories* (A) 800 8
Omnicare 900 22
Patterson* 200 4
Pediatrix Medical Group* 800 25
PerkinElmer 1,100 20
Perrigo 1,000 34
Pfizer 228,579 3,756
Pharmaceutical Product Development 1,600 42
Quest Diagnostics 2,000 93
Resmed* 200 7
Schering-Plough 70,330 1,182
Sepracor* 800 9
Somanetics* (A) 3,700 65
St. Jude Medical* 12,490 350
Stryker 16,391 638
Synovis Life Technologies* 1,100 16
Techne 800 50
Tenet Healthcare* 3,900 5
Teva Pharmaceutical Industries ADR (A) 11,820 510
Thermo Fisher Scientific* 16,533 590
Thoratec* 1,300 33
UnitedHealth Group 89,507 1,880
Universal Health Services, Cl B 300 11
Varian Medical Systems* 1,600 65
Vertex Pharmaceuticals* 300 7
Viropharma* 8,900 101
Warner Chilcott, Cl A* 14,500 192
Watson Pharmaceuticals* 200 5
WellCare Health Plans* 2,600 23
WellPoint* 6,700 238
Wyeth 32,560 1,172
Zimmer Holdings* 13,775 514
-------------
33,555
-------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
5
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund (Continued)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
INDUSTRIALS -- 7.0%
3M 4,998 $ 334
AAON 700 13
ABB ADR 4,420 57
AGCO* 1,300 32
Alliant Techsystems* 100 8
Allied Waste Industries* 11,200 120
Ametek 900 32
AMR* 1,500 13
Boeing (A) 12,155 518
Brink's 1,200 26
Bucyrus International, Cl A 3,200 63
Burlington Northern Santa Fe 4,420 339
C.H. Robinson Worldwide (A) 1,087 56
Caterpillar 14,900 611
Columbus McKinnon* 1,800 21
Continental Airlines, Cl B* (A) 1,100 16
Con-way 1,000 28
Copart* 1,600 43
Corrections of America* 200 4
Crane 2,100 31
CSX 6,090 227
Cummins 12,700 325
Danaher 3,600 200
Deere 3,200 111
Delta Air Lines* (A) 3,200 28
Deluxe 4,800 50
Donaldson 800 27
Dover 4,600 137
Dun & Bradstreet 107 9
Eaton 2,400 111
Emerson Electric 30,104 1,080
Equifax 1,100 28
Expeditors International Washington 25,100 839
Fastenal (A) 1,600 61
FedEx 1,550 109
First Solar* 400 50
Flowserve 1,300 65
Fluor 25,000 1,138
Foster Wheeler* 11,300 251
FTI Consulting* 100 5
Gardner Denver* 500 12
GATX 1,200 34
General Dynamics 11,086 573
General Electric 299,787 5,147
Goodrich 700 24
Graco 400 9
Harsco 1,100 28
Hertz Global Holdings* 300 1
Honeywell International 16,618 463
Hubbell, Cl B 800 24
IDEX 300 7
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Illinois Tool Works (A) 9,800 $ 334
Ingersoll-Rand, Cl A 3,369 53
Iron Mountain* 1,700 37
ITT 160 7
Jacobs Engineering Group* 1,500 67
JB Hunt Transport Services 2,200 59
Joy Global 300 7
Kansas City Southern* 2,800 61
Kirby* 1,300 33
L-3 Communications Holdings 1,800 121
Landstar System (A) 1,000 32
Lennox International 900 25
Lincoln Electric Holdings 400 18
Lockheed Martin 6,685 515
Manpower 1,200 38
MSC Industrial Direct, Cl A 800 28
NCI Building Systems* (A) 4,000 61
Norfolk Southern 13,200 653
Northrop Grumman 17,875 732
Paccar 214 6
Pall 100 3
Parker Hannifin 6,000 246
Pentair 600 15
Perini* (A) 2,700 52
Precision Castparts 2,195 138
Quanta Services* 19,900 324
Raytheon 9,688 473
Republic Services, Cl A (A) 1,700 41
Robert Half International 400 8
Ryder System 1,700 61
Shaw Group* 13,200 243
Southwest Airlines 3,400 30
SPX 1,629 61
Stericycle* 502 29
Terex* 200 3
Textron 1,300 20
Timken 600 9
Trinity Industries (A) 2,100 31
Tyco International 17,300 362
Union Pacific 6,762 338
United Parcel Service, Cl B (A) 19,700 1,135
United Rentals* 1,500 12
United Technologies 20,729 1,006
USG* 900 9
UTi Worldwide 1,200 13
Valmont Industries 100 6
Waste Management 2,900 85
WESCO International* 6,500 96
WW Grainger 100 7
-------------
21,281
-------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
6
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
INFORMATION TECHNOLOGY -- 13.1%
Accenture, Cl A 14,600 $ 452
Activision Blizzard* 42,820 501
Adobe Systems* 11,600 269
Affiliated Computer Services, Cl A* (A) 2,000 81
Agilent Technologies* 700 13
Akamai Technologies* 900 11
Altera 1,800 26
Amphenol, Cl A 1,500 35
Analog Devices 4,600 79
Ansys* 100 3
Apple* (A) 32,687 3,029
Applied Materials 1,640 16
Arrow Electronics* 400 6
Automatic Data Processing 2,646 109
Avnet* 8,500 121
Avocent* 1,200 23
BMC Software* (A) 1,200 30
Broadcom, Cl A* (A) 18,600 285
Broadridge Financial Solutions 1,600 18
Brocade Communications Systems* 2,100 7
CA 38,300 645
Cisco Systems* 119,530 1,977
CommScope* 500 6
Computer Sciences* 9,400 262
Compuware* 9,600 61
Convergys* 1,700 11
Corning 17,100 154
Cree* (A) 500 8
Daktronics (A) 3,300 30
Dell* 55,660 622
Diebold 400 11
Dolby Laboratories, Cl A* 1,100 33
eBay* 102,400 1,344
Electronic Arts* 41,436 790
EMC* 44,500 471
F5 Networks* 400 10
Factset Research Systems (A) 200 8
Fidelity National Information Services 151 3
Fiserv* 500 17
Flir Systems* (A) 400 13
Global Payments 700 25
Google, Cl A* (A) 12,610 3,694
Harris 300 10
Hewitt Associates, Cl A* 7,500 214
Hewlett-Packard 73,760 2,602
Integrated Device Technology* 3,400 18
Intel 47,346 653
International Business Machines 16,876 1,377
Intersil, Cl A 400 4
Intuit* 42,000 931
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Itron* 100 $ 5
Jabil Circuit 1,100 7
Juniper Networks* (A) 41,300 718
Lexmark International, Cl A* 2,000 52
Linear Technology (A) 12,857 257
LSI* 4,200 11
Macrovision Solutions* 8 --
Marvell Technology Group* 1,100 6
Mastercard, Cl A (A) 9,500 1,380
McAfee* 1,200 36
MEMC Electronic Materials* 554 8
Mettler Toledo International* 65 5
Microchip Technology (A) 3,100 57
Microsoft (A) 114,824 2,322
Molex 600 8
Motorola 10,300 44
National Semiconductor 7,200 79
NCR* 2,500 38
NetApp* 2,500 34
NeuStar, Cl A* 6,800 130
Nokia ADR 24,500 347
Nuance Communications* (A) 700 6
Nvidia* 4,500 34
ON Semiconductor* 1,700 5
Oracle* 10,411 167
QLogic* (A) 3,800 40
Qualcomm 111,517 3,744
Rambus* 600 6
Red Hat* 10,700 99
Research In Motion* (A) 27,090 1,150
SAIC* 800 14
Salesforce.com* 1,400 40
Seagate Technology 100,400 423
Silicon Laboratories* 8,300 174
Sohu.com* (A) 700 34
Sybase* 1,800 44
Symantec* (A) 37,040 446
Synopsys* 4,824 77
Tech Data* 100 2
Teradata* 33,500 450
Teradyne* 3,100 12
Texas Instruments 53,132 827
Tyco Electronics 19,800 326
VeriSign* (A) 48,200 1,041
Visa, Cl A 28,720 1,510
Vishay Intertechnology* (A) 18,400 80
VMware, Cl A* 200 4
Volterra Semiconductor* (A) 1,300 10
Western Digital* 25,900 316
Western Union 38,292 508
Xerox 51,279 359
Xilinx 2,700 44
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
7
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund (Concluded)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Yahoo!* (A) 75,500 $ 869
Zebra Technologies, Cl A* 1,000 21
-------------
39,544
-------------
MATERIALS -- 2.1%
Air Products & Chemicals 4,000 191
Airgas 1,600 57
AK Steel Holding (A) 3,300 26
Alcoa (A) 12,900 139
Aptargroup 300 10
Ashland (A) 900 9
Ball 2,400 87
Bemis 500 13
Cabot 1,000 21
Carpenter Technology 2,400 40
Celanese, Cl A 5,800 67
Century Aluminum* (A) 8,200 67
CF Industries Holdings 200 10
Cliffs Natural Resources 2,000 47
Crown Holdings* 2,600 42
Cytec Industries 2,900 64
Dow Chemical 35,700 662
E.I. Du Pont de Nemours 13,365 335
Eastman Chemical 5,800 191
Ecolab 900 34
FMC 1,600 70
Freeport-McMoRan Copper & Gold, Cl B (A) 6,808 163
Greif, Cl A 200 7
Headwaters* (A) 6,700 38
International Paper 14,700 183
Intrepid Potash* 3,000 58
Lubrizol 8,600 302
Monsanto 3,471 275
Mosaic 7,300 222
Nalco Holding (A) 9,400 107
Nucor 15,160 541
OM Group* 1,400 28
Owens-Illinois* 6,300 127
Pactiv* 200 5
PPG Industries 4,600 202
Praxair 17,071 1,008
Reliance Steel & Aluminum 4,700 97
Rohm & Haas 100 7
RPM International 2,700 32
RTI International Metals* (A) 9,900 119
Sealed Air 3,700 59
Sigma-Aldrich 1,500 65
Sonoco Products 6,800 171
Southern Copper 600 8
Steel Dynamics 3,100 26
Terra Industries 5,400 79
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
United States Steel 4,500 $ 137
Valspar 7,000 137
Vulcan Materials (A) 200 12
Weyerhaeuser 200 7
-------------
6,404
-------------
TELECOMMUNICATION SERVICES -- 3.1%
American Tower, Cl A* 16,434 448
AT&T (A) 184,272 5,263
CenturyTel (A) 2,200 58
Crown Castle International* 57,403 808
Frontier Communications 318 3
Leap Wireless International* (A) 1,100 22
NII Holdings* 900 17
Sprint Nextel 72,236 201
Verizon Communications 76,033 2,483
Windstream 20,200 179
-------------
9,482
-------------
UTILITIES -- 3.0%
AES* (A) 123,587 950
Alliant Energy 12,500 398
Ameren 5,566 198
American Electric Power 20,731 649
Atmos Energy 5,800 145
Calpine* 1,500 13
CMS Energy (A) 4,300 44
Consolidated Edison 1,300 52
Constellation Energy Group 2,600 64
Dominion Resources 2,904 107
DPL (A) 2,100 44
DTE Energy 13,600 506
Duke Energy (A) 29,700 462
Edison International 20,800 695
Energen 700 21
Entergy 4,400 374
Equitable Resources 2,600 87
Exelon 3,554 200
FirstEnergy 6,303 369
FPL Group 4,600 224
Hawaiian Electric Industries (A) 2,000 54
MDU Resources Group 3,000 61
National Fuel Gas 500 16
NiSource 7,700 93
NRG Energy* (A) 9,286 220
NV Energy 9,300 88
OGE Energy 100 3
Oneok 3,300 97
Pepco Holdings 14,100 254
PG&E 6,809 259
Pinnacle West Capital 10,500 319
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
8
Shares/Face
Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
PPL 7,565 $ 256
Progress Energy 1,200 48
Public Service Enterprise Group 12,640 391
Puget Energy 1,300 32
Questar 900 29
Reliant Energy* 6,600 38
SCANA 500 17
Sempra Energy 14,367 670
Southern 5,139 187
TECO Energy 2,300 30
UGI 600 14
Vectren 400 11
Wisconsin Energy 2,500 109
Xcel Energy (A) 16,745 314
-------------
9,212
-------------
Total Common Stock
(Cost $307,387) ($ Thousands) 232,760
-------------
U.S. TREASURY OBLIGATION -- 1.2%
U.S. Treasury Bill
0.010%, 02/12/09 (B) (C) $ 3,520 3,520
-------------
Total U.S. Treasury Obligation
(Cost $3,520) ($ Thousands) 3,520
-------------
CASH EQUIVALENTS -- 2.9%
First Union Cash Management
Program, 0.860%** 125,156 125
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 1.620%**+ 8,760,233 8,760
-------------
Total Cash Equivalents
(Cost $8,885) ($ Thousands) 8,885
-------------
AFFILIATED PARTNERSHIP -- 10.7%
SEI Liquidity Fund, L.P.,
1.630%**+ (D) 32,766,990 32,314
-------------
Total Affiliated Partnership
(Cost $32,767) ($ Thousands) 32,314
-------------
Total Investments -- 91.8%
(Cost $352,559) ($ Thousands) $ 277,479
=============
A summary of the open futures contracts held by the Fund at November 30, 2008,
is as follows:
NUMBER OF UNREALIZED
TYPE OF CONTRACTS EXPIRATION DEPRECIATION
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- ------------------------ ------------ ---------- -------------
S&P 500 Composite Index 265 Dec-2008 $(140)
S&P Mid 400 Index E-Mini 139 Dec-2008 (45)
-----
$(185)
=====
Description
- -----------
Percentages are based on a Net Assets of $302,181 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of November 30, 2008.
+ Investment in Affiliated Security (see Note 3).
+++ Real Estate Investment Trust
(A) This security or a partial position of this security is on loan at November
30, 2008. The total value of securities on loan at November 30, 2008 was
$31,751 ($ Thousands).
(B) Zero coupon security. The rate reported on the Schedule of Investments is
the effective yield at time of purchase.
(C) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
(D) 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,
2008 was $32,314 ($ Thousands).
ADR -- American Depositary Receipt
Cl -- Class
L.P. -- Limited Partnership
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
9
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund
November 30, 2008
SECTOR WEIGHTINGS++:
(BAR CHART)
Information Technology 16.7%
Health Care 11.5%
Financials 11.2%
Energy 10.1%
Industrials 9.5%
Affiliated Partnership 9.0%
Consumer Staples 8.7%
Consumer Discretionary 7.8%
Cash Equivalents 4.7%
Utilities 3.2%
Telecommunication Services 2.6%
U.S. Treasury Obligations 2.6%
Materials 2.4%
++ Percentages based on total investments.
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
COMMON STOCK -- 83.4%
CONSUMER DISCRETIONARY -- 7.8%
Abercrombie & Fitch, Cl A 1,300 $ 25
Advance Auto Parts 2,400 73
Aeropostale* 17,200 260
Amazon.com* 34,850 1,488
American Eagle Outfitters 5,000 48
AnnTaylor Stores* 3,600 16
Apollo Group, Cl A* 4,800 369
Ascent Media, Cl A* 535 11
Autozone* 800 87
Bed Bath & Beyond* 1,800 37
Best Buy 2,000 41
Big Lots* 24,300 426
BorgWarner 3,200 76
Brinker International 6,800 45
Brink's Home Security Holdings* 2,300 46
Burger King Holdings 900 19
Cablevision Systems, Cl A 2,200 32
California Pizza Kitchen* 7,900 61
Carnival 7,500 157
CBS, Cl B 14,200 95
Centex 2,300 21
Central European Media
Enterprises, Cl A* 1,000 15
Charlotte Russe Holding* 5,500 28
Coach* 51,500 922
Comcast, Cl A 93,609 1,623
Darden Restaurants 800 15
DeVry 600 34
DIRECTV Group* 22,100 486
Discovery Communications, Cl C* 1,050 16
Dollar Tree* 1,300 55
DR Horton 2,600 18
DreamWorks Animation SKG, Cl A* 500 12
Eastman Kodak 73,200 554
Expedia* 1,800 15
Family Dollar Stores 1,200 33
Foot Locker 4,400 30
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Fuel Systems Solutions* 1,500 $ 52
GameStop, Cl A* 2,900 63
Gannett 26,400 230
Gap 30,400 396
Genuine Parts 864 34
Goodyear Tire & Rubber* 5,600 36
Guess? 1,700 23
Gymboree* 6,100 153
H&R Block 40,034 766
Hanesbrands* 3,700 48
Harman International Industries 4,300 65
Hasbro 21,500 576
Home Depot 40,500 936
International Game Technology 33,700 361
Interpublic Group* 7,800 32
J.C. Penney 20,900 397
Jackson Hewitt Tax Service 6,800 87
Jarden* 2,400 30
John Wiley & Sons, Cl A 700 25
Johnson Controls 10,000 176
Jones Apparel Group 8,900 45
KB Home 1,000 12
Kohl's* 5,800 189
Leggett & Platt 5,900 86
Liberty Global, Cl A* 14,400 209
Liberty Media-Capital, Ser A* 3,617 12
Liberty Media-Entertainment, Cl A* 24,100 286
Limited Brands 1,300 12
Liz Claiborne 20,100 57
Lowe's 3,200 66
Macy's 1,500 11
Marriott International, Cl A 700 12
Mattel 2,800 39
McDonald's 37,943 2,229
McGraw-Hill 2,000 50
MDC Holdings 800 25
MGM Mirage* 40,300 483
NetFlix* 14,500 333
New York Times, Cl A 4,000 30
News, Cl A 79,431 627
Nike, Cl B 25,311 1,348
Omnicom Group 900 25
Orient-Express Hotels, Cl A 1,700 12
Panera Bread, Cl A* 2,100 93
Phillips-Van Heusen 500 9
Polo Ralph Lauren, Cl A 16,174 699
Pulte Homes 5,500 58
Regis 700 8
Ross Stores 6,000 159
Royal Caribbean Cruises 700 7
Scientific Games, Cl A* 1,000 15
Scripps Networks Interactive, Cl A 3,800 106
Sears Holdings* 13,400 486
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
10
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Service International 2,800 $ 16
Shaw Communications, Cl B 28,300 484
Sherwin-Williams 4,600 271
Snap-On 11,477 414
Stamps.com* 6,600 59
Stanley Works 8,700 276
Staples 73,300 1,272
Starbucks* 1,800 16
Starwood Hotels & Resorts
Worldwide 2,800 47
Target 2,600 88
Tiffany 1,500 30
Tim Hortons 583 14
Time Warner 203,178 1,839
Time Warner Cable, Cl A* 1,100 22
TJX 16,800 383
Toll Brothers* 3,400 68
Urban Outfitters* 2,900 53
VF 3,000 157
Viacom, Cl B* 8,400 134
Walt Disney 28,690 646
Weight Watchers International 32,600 923
Wynn Resorts* 400 16
Yum! Brands 13,500 364
-------------
27,205
-------------
CONSUMER STAPLES -- 8.7%
Alberto-Culver, Cl B 1,700 37
Altria Group 37,267 599
Archer-Daniels-Midland 29,483 807
Avon Products 11,000 232
BJ's Wholesale Club* 11,767 421
Brown-Forman, Cl B 21,957 964
Bunge 7,801 331
Campbell Soup 300 10
Church & Dwight 1,300 77
Coca-Cola 36,000 1,687
Coca-Cola Enterprises 32,500 298
Colgate-Palmolive 11,000 716
ConAgra Foods 18,900 279
Corn Products International 6,500 178
Costco Wholesale 16,198 834
CVS/Caremark 24,104 697
Estee Lauder, Cl A 2,300 64
General Mills 1,700 107
Hansen Natural* 100 3
Herbalife 13,500 240
Hershey 900 32
HJ Heinz 4,100 159
Hormel Foods 2,200 59
JM Smucker 300 14
Kellogg 3,500 152
Kimberly-Clark 15,000 867
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Kraft Foods, Cl A 3,560 $ 97
Kroger 36,300 1,004
Lorillard 900 55
McCormick 300 9
Molson Coors Brewing, Cl B 5,965 265
NBTY* 16,800 245
Pepsi Bottling Group 17,400 315
PepsiAmericas 10,900 183
PepsiCo 30,500 1,729
Philip Morris International 38,928 1,641
Procter & Gamble 116,884 7,521
Reynolds American 21,500 883
Safeway 22,300 486
Smithfield Foods* 1,600 11
Supervalu 8,673 103
Sysco 61,616 1,445
Tyson Foods, Cl A 70,147 471
UST 857 59
Walgreen 54,890 1,358
Wal-Mart Stores 46,851 2,618
Whole Foods Market 800 9
-------------
30,371
-------------
ENERGY -- 10.1%
Alpha Natural Resources* 2,900 64
Anadarko Petroleum 3,700 152
Apache 7,200 557
Arch Coal 17,867 275
Atwood Oceanics* 300 5
Baker Hughes 11,889 414
BJ Services 3,400 41
Cabot Oil & Gas 4,763 143
Cameron International* 2,600 55
Chesapeake Energy 5,300 91
Chevron 68,924 5,446
Cimarex Energy 3,600 102
Complete Production Services* 12,100 99
ConocoPhillips 49,521 2,601
Consol Energy 1,200 35
Continental Resources* 900 18
Denbury Resources* 1,100 10
Devon Energy 4,500 325
Diamond Offshore Drilling 900 66
Dresser-Rand Group* 200 3
Encore Acquisition* 1,400 37
ENSCO International 5,900 191
EOG Resources 17,300 1,471
Exxon Mobil 146,651 11,754
FMC Technologies* 1,600 44
Forest Oil* 2,400 42
Foundation Coal Holdings 1,300 18
Frontline 1,700 50
Halliburton 48,551 855
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
11
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund (Continued)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Helmerich & Payne 2,000 $ 51
Hercules Offshore* 500 3
Hess 2,500 135
Marathon Oil 24,600 644
Mariner Energy* 5,400 59
Massey Energy 2,300 36
Murphy Oil 9,100 401
Nabors Industries* 7,200 104
National Oilwell Varco* 5,884 166
Newfield Exploration* 900 20
Noble 13,700 367
Noble Energy 600 31
Occidental Petroleum 27,110 1,468
Oil States International* 1,300 28
Overseas Shipholding Group 8,300 308
Patriot Coal* 5,100 43
Patterson-UTI Energy 29,300 366
Peabody Energy 5,600 131
Petro-Canada 12,600 316
PetroHawk Energy* 2,800 49
Pioneer Natural Resources 13,656 274
Plains Exploration & Production* 1,900 44
Pride International* 1,900 31
Quicksilver Resources* 4,700 29
Range Resources 2,000 83
Rowan 100 2
Schlumberger 34,134 1,732
SEACOR Holdings* 400 26
Smith International 3,100 91
Southwestern Energy* 12,300 423
Spectra Energy 700 11
Superior Energy Services* 6,400 108
Tidewater 7,500 296
Transocean* 7,283 487
Unit* 6,400 184
Valero Energy 43,100 791
Walter Industries 10,400 190
Weatherford International* 10,000 128
Whiting Petroleum* 1,900 73
Willbros Group* 2,400 20
Williams 11,500 186
XTO Energy 12,500 478
-------------
35,377
-------------
FINANCIALS -- 11.1%
Aflac 6,200 287
Alexandria Real Estate Equities+++ 900 40
Allied Capital 1,400 3
Allied World Assurance Holdings 7,400 262
Allstate 21,300 542
AMB Property+++ 1,600 28
American Capital 500 2
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
American Express 26,400 $ 615
American Financial Group 26,500 543
American International Group 12,500 25
Ameriprise Financial 22,400 414
Annaly Capital Management+++ 14,500 208
AON 11,685 529
Apartment Investment & Management,
Cl A+++ 4,864 56
Aspen Insurance Holdings 3,100 57
Associated Banc 900 20
Assurant 5,300 115
Astoria Financial 1,900 35
AvalonBay Communities+++ 100 6
Axis Capital Holdings 8,300 210
Bancorpsouth 2,400 53
Bank of America 113,599 1,846
Bank of Hawaii 2,000 89
Bank of New York Mellon 56,653 1,711
BB&T 3,200 96
BlackRock, Cl A 900 113
Boston Properties+++ 9,762 521
Brandywine Realty Trust+++ 34,400 169
BRE Properties+++ 1,300 38
Brown & Brown 1,016 20
Camden Property Trust+++ 400 11
Capital One Financial 6,900 238
CapitalSource+++ 16,000 83
CB Richard Ellis Group, Cl A* 3,900 18
CBL & Associates Properties+++ 29,000 118
Charles Schwab 65,819 1,206
Chubb 16,529 849
Cincinnati Financial 100 3
CIT Group 1,500 5
Citigroup 121,176 1,005
CME Group, Cl A 7,380 1,564
Commerce Bancshares 1,175 51
Compass Diversified Holdings 900 9
Credicorp 10,300 450
Cullen/Frost Bankers 2,300 125
Developers Diversified Realty+++ 3,500 17
Digital Realty Trust+++ 400 11
Discover Financial Services 9,700 99
Douglas Emmett+++ 1,300 13
Eaton Vance 1,700 33
Endurance Specialty Holdings 21,500 579
Equity Residential+++ 3,000 91
Essex Property Trust+++ 1,100 95
Everest Re Group 100 8
Federated Investors, Cl B 1,900 38
Fidelity National Financial, Cl A 4,800 59
Fifth Third Bancorp 2,700 26
First American 700 17
First Midwest Bancorp 1,700 31
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
12
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Franklin Resources 8,100 $ 492
Fulton Financial 4,400 49
Goldman Sachs Group 8,700 687
Hanover Insurance Group 1,600 64
Hartford Financial Services Group 7,100 60
HCP+++ 5,300 110
Health Care+++ 3,100 118
Hospitality Properties Trust+++ 11,900 136
Host Hotels & Resorts+++ 3,700 28
HRPT Properties Trust+++ 1,700 5
Hudson City Bancorp 43,403 725
Huntington Bancshares 13,900 111
IntercontinentalExchange* 24,300 1,788
Invesco 1,200 15
Investment Technology Group* 9,500 159
Jefferies Group 100 1
JPMorgan Chase 65,147 2,063
Kilroy Realty+++ 500 15
Kimco Realty+++ 1,200 17
Knight Capital Group, Cl A* 14,800 245
Lazard, Cl A 400 13
Leucadia National 10,400 203
Liberty Property Trust+++ 2,500 48
Lincoln National 1,800 25
Loews 33,505 918
M&T Bank 700 45
Mack-Cali Realty+++ 2,300 44
Marsh & McLennan 4,900 125
Merrill Lynch 42,712 565
MetLife 13,700 394
Moody's 21,100 458
Morgan Stanley 30,800 454
NASDAQ OMX Group* 1,400 30
Nationwide Financial Services, Cl A 900 46
Nationwide Health Properties+++ 3,400 77
New York Community Bancorp 10,800 141
Northern Trust 10,815 496
NYSE Euronext 44,524 1,060
PartnerRe 400 28
Pennsylvania Real Estate
Investment Trust+++ 13,100 59
People's United Financial 3,400 65
Philadelphia Consolidated Holding* 1,300 80
Plum Creek Timber+++ 6,386 227
PNC Financial Services Group 2,276 120
Popular 8,500 53
Principal Financial Group 2,000 28
Progressive 4,900 74
Prologis+++ 4,800 18
Protective Life 3,200 30
Provident Bankshares 7,100 67
Prudential Financial 2,400 52
Public Storage+++ 6,068 424
Raymond James Financial 500 11
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Rayonier+++ 17,944 $ 599
Regency Centers+++ 300 11
Regions Financial 81,250 828
Reinsurance Group of America 100 4
RenaissanceRe Holdings 300 14
Simon Property Group+++ 1,400 66
St. Joe* 4,000 105
StanCorp Financial Group 8,400 280
State Street 23,500 990
Sterling Financial 3,900 21
Sunstone Hotel Investors+++ 6,300 30
SunTrust Banks 500 16
Susquehanna Bancshares 500 8
Synovus Financial 5,000 42
T. Rowe Price Group 17,655 604
Taubman Centers+++ 1,300 31
TCF Financial 200 3
TD Ameritrade Holding* 52,469 698
TFS Financial 9,874 127
Torchmark 1,600 58
Travelers 41,316 1,803
UDR+++ 7,400 112
Unum Group 2,500 37
US Bancorp 29,700 801
Valley National Bancorp 1,090 21
Ventas+++ 6,100 140
Wachovia 27,887 157
Waddell & Reed Financial, Cl A 4,100 55
Washington Federal 7,800 132
Webster Financial 3,600 54
Weingarten Realty Investors+++ 600 9
Wells Fargo 60,478 1,747
Whitney Holding 200 4
Wilmington Trust 100 2
WR Berkley 20,100 571
XL Capital, Cl A 9,100 46
Zions Bancorporation 400 13
-------------
39,110
-------------
HEALTH CARE -- 11.5%
Abbott Laboratories 9,300 487
Aetna 70,812 1,545
Allergan 44,400 1,673
American Medical Systems Holdings* 4,800 42
AmerisourceBergen 40,721 1,277
Amgen* 61,869 3,436
Barr Pharmaceuticals* 500 33
Baxter International 7,100 376
Becton Dickinson 5,700 362
Biogen Idec* 13,200 559
BioMarin Pharmaceutical* 1,000 17
Boston Scientific* 47,000 290
Bristol-Myers Squibb 66,639 1,379
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
13
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund (Continued)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ------------ ------------- -------------
C.R. Bard 800 $ 66
Cardinal Health 36,029 1,172
Celgene* 1,800 94
Cephalon* 400 29
Charles River Laboratories International* 1,900 43
Cigna 28,493 345
Community Health Systems* 2,300 30
Covance* 2,600 102
Covidien 7,575 279
Cubist Pharmaceuticals* 11,500 283
Dentsply International 4,100 107
Edwards Lifesciences* 800 40
Eli Lilly 20,000 683
Endo Pharmaceuticals Holdings* 13,600 299
Express Scripts* 9,600 552
Forest Laboratories* 28,700 694
Genentech* 40,501 3,102
Genzyme* 4,273 274
Gilead Sciences* 4,600 206
Health Management Associates, Cl A* 4,700 7
Henry Schein* 600 21
Hill-Rom Holdings 1,400 29
Hologic* 500 7
Hospira* 800 24
Humana* 28,453 860
Idexx Laboratories* 2,900 90
Illumina* 3,000 66
IMS Health 1,000 13
Intuitive Surgical* 200 26
Isis Pharmaceuticals* 2,900 33
Johnson & Johnson 65,380 3,830
King Pharmaceuticals* 9,300 89
Laboratory Corp of America Holdings* 300 19
Life Technologies* 4,345 114
Lincare Holdings* 12,600 302
McKesson 35,556 1,242
Medco Health Solutions* 26,519 1,114
Medicis Pharmaceutical, Cl A 6,400 78
Medtronic 30,600 934
Merck 41,000 1,096
Merit Medical Systems* 2,100 30
Mylan Laboratories* 1,600 15
Omnicare 10,500 253
Owens & Minor 7,400 307
Patterson* 500 9
Pediatrix Medical Group* 1,600 50
PerkinElmer 14,510 262
Perrigo 1,900 65
Pfizer 202,048 3,320
Pharmaceutical Product Development 3,400 90
Quest Diagnostics 1,700 79
Market Value
Description Shares ($ Thousands)
- ------------ ------------- -------------
Resmed* 400 $ 15
Schering-Plough 8,900 150
Sepracor* 1,400 16
Somanetics* 1,300 23
St. Jude Medical* 2,000 56
STERIS 14,100 390
Stryker 19,335 752
Techne 1,500 93
Tenet Healthcare* 8,200 10
Thermo Fisher Scientific* 4,100 146
UnitedHealth Group 120,000 2,521
Universal Health Services, Cl B 700 26
Varian Medical Systems* 3,000 121
Vertex Pharmaceuticals* 300 7
Viropharma* 4,400 50
Warner Chilcott, Cl A* 15,600 207
Waters* 200 8
Watson Pharmaceuticals* 400 9
WellCare Health Plans* 4,900 44
WellPoint* 18,000 641
Wyeth 11,600 418
Zimmer Holdings* 6,525 243
-------------
40,296
-------------
INDUSTRIALS -- 9.4%
3M 7,700 515
Aecom Technology* 7,027 186
AGCO* 16,037 395
Alliant Techsystems* 200 16
Allied Waste Industries* 8,800 95
Ametek 1,500 53
AMR* 2,700 24
Boeing 36,926 1,574
Brink's 2,300 50
Bucyrus International, Cl A 12,900 252
Burlington Northern Santa Fe 7,100 544
C.H. Robinson Worldwide 9,020 461
Caterpillar 15,975 655
Columbus McKinnon* 2,600 30
Continental Airlines, Cl B* 1,700 25
Con-way 1,900 53
Copart* 3,200 85
Corrections of America* 500 9
Crane 5,500 82
CSX 16,800 626
Cummins 29,800 762
Danaher 300 17
Deere 5,350 186
Delta Air Lines* 6,475 57
Deluxe 3,800 40
Donaldson 1,600 55
Dover 16,900 504
Dun & Bradstreet 4,100 328
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
14
Market Value
Description Shares ($ Thousands)
- ------------ ------------- -------------
Emerson Electric 13,300 $ 477
EnPro Industries* 400 7
Equifax 2,100 53
Expeditors International Washington 37,700 1,260
Fastenal 2,800 108
FedEx 12,113 856
First Solar* 800 100
Flowserve 2,600 131
Fluor 19,341 881
Foster Wheeler* 13,500 301
FTI Consulting* 100 6
Gardner Denver* 12,700 314
GATX 2,400 68
General Dynamics 12,226 632
General Electric 252,056 4,328
Goodrich 12,600 424
Graco 1,800 39
Granite Construction 5,400 232
Harsco 2,100 53
Hertz Global Holdings* 800 3
Honeywell International 14,200 396
IDEX 600 14
Illinois Tool Works 300 10
Ingersoll-Rand, Cl A 3,169 50
Iron Mountain* 2,900 63
ITT 200 8
Jacobs Engineering Group* 14,339 642
JB Hunt Transport Services 4,200 112
John Bean Technologies 2,206 19
Joy Global 300 7
Kansas City Southern* 5,300 116
KBR 27,803 383
Kirby* 2,500 63
L-3 Communications Holdings 7,500 504
Landstar System 1,800 58
Lennox International 5,800 161
Lincoln Electric Holdings 700 32
Lockheed Martin 19,950 1,538
Manpower 2,100 66
MSC Industrial Direct, Cl A 1,400 48
Navistar International* 13,800 302
NCI Building Systems* 600 9
Norfolk Southern 10,500 519
Northrop Grumman 19,300 790
Owens Corning* 9,800 156
Paccar 475 13
Pacer International 1,700 16
Pall 3,466 95
Parker Hannifin 1,500 62
Pentair 1,600 40
Precision Castparts 4,542 285
Quanta Services* 48,912 795
Raytheon 31,309 1,528
Republic Services, Cl A 3,200 77
Market Value
Description Shares ($ Thousands)
- ------------ ------------- -------------
Robert Half International 1,200 $ 25
Ryder System 4,700 169
Shaw Group* 14,800 272
Southwest Airlines 53,534 463
SPX 2,800 105
Steelcase, Cl A 6,800 44
Stericycle* 1,000 57
Terex* 500 7
Textron 2,500 38
Timken 31,380 455
Titan International 6,500 62
Trinity Industries 4,000 59
Tyco International 27,385 572
Union Pacific 25,524 1,277
United Parcel Service, Cl B 29,825 1,718
United Rentals* 5,900 48
United Technologies 5,700 277
URS* 724 27
USG* 1,600 15
UTi Worldwide 2,300 25
Valmont Industries 300 17
Waste Management 2,400 70
WESCO International* 13,700 203
WW Grainger 929 65
-------------
32,999
-------------
INFORMATION TECHNOLOGY -- 16.6%
Accenture, Cl A 38,540 1,194
Activision Blizzard* 8,600 101
Adobe Systems* 25,000 579
Affiliated Computer Services, Cl A* 3,900 158
Agilent Technologies* 8,500 160
Akamai Technologies* 1,600 20
Altera 3,900 57
Amphenol, Cl A 2,700 63
Analog Devices 8,400 144
Anixter International* 8,200 225
Ansys* 500 15
Apple* 27,900 2,586
Applied Materials 3,100 30
Arrow Electronics* 1,000 14
Automatic Data Processing 2,200 90
Avnet* 12,300 175
Avocent* 2,200 41
AVX 9,440 82
BMC Software* 2,400 60
Broadcom, Cl A* 27,800 426
Broadridge Financial Solutions 2,900 33
Brocade Communications Systems* 4,400 14
CA 38,800 653
Ciena* 5,700 42
Cisco Systems* 175,013 2,895
CommScope* 1,000 11
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
15
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund (Continued)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ------------ ------------- -------------
Computer Sciences* 14,200 $ 396
Compuware* 1,900 12
Convergys* 4,200 26
Corning 95,606 861
Cree* 400 6
Dell* 79,873 892
Diebold 7,600 213
Dolby Laboratories, Cl A* 1,900 57
Earthlink* 16,500 110
eBay* 198,891 2,611
Electronic Arts* 29,744 567
EMC* 53,600 567
F5 Networks* 4,200 105
Factset Research Systems 300 12
Fidelity National Information Services 344 6
Fiserv* 1,100 38
Flir Systems* 900 28
Global Payments 1,600 58
Google, Cl A* 11,675 3,420
Hewitt Associates, Cl A* 19,200 549
Hewlett-Packard 122,924 4,337
Integrated Device Technology* 13,900 72
Intel 140,956 1,945
International Business Machines 26,827 2,189
Intersil, Cl A 1,000 9
Intuit* 63,000 1,396
Itron* 200 9
j2 Global Communications* 600 12
Jabil Circuit 9,846 65
Juniper Networks* 2,800 49
Lexmark International, Cl A* 600 16
Linear Technology 4,400 88
LSI* 13,600 36
Marvell Technology Group* 2,000 11
Mastercard, Cl A 13,500 1,961
McAfee* 2,200 67
MEMC Electronic Materials* 1,000 15
Mettler Toledo International* 200 16
Microchip Technology 5,800 107
Microsoft 284,334 5,749
Molex 15,438 210
Motorola 103,202 445
Multi-Fineline Electronix* 2,700 28
National Semiconductor 3,700 41
NCR* 6,900 105
NetApp* 12,700 171
NeuStar, Cl A* 16,300 312
Nokia ADR 27,500 390
Nuance Communications* 1,200 11
ON Semiconductor* 2,400 7
Oracle* 41,800 673
QLogic* 37,600 399
Market Value
Description Shares ($ Thousands)
- ------------ ------------- -------------
Qualcomm 100,555 $ 3,376
Rambus* 100 1
Red Hat* 14,700 136
Research In Motion* 22,000 934
SAIC* 1,600 28
Salesforce.com* 2,900 83
Seagate Technology 129,800 546
Silicon Laboratories* 3,400 71
Sohu.com* 1,300 63
Sybase* 13,400 330
Symantec* 72,500 872
Synopsys* 900 14
Tech Data* 400 7
Teradata* 57,800 776
Teradyne* 5,800 22
Texas Instruments 125,412 1,953
Tyco Electronics 54,593 900
Valueclick* 11,300 70
VeriSign* 69,800 1,507
Visa, Cl A 51,468 2,705
Vishay Intertechnology* 17,100 75
VMware, Cl A* 200 4
Volterra Semiconductor* 22,300 167
Western Digital* 15,100 184
Western Union 49,265 654
Xerox 39,400 275
Xilinx 5,200 85
Yahoo!* 93,333 1,074
Zebra Technologies, Cl A* 1,800 38
-------------
58,293
-------------
MATERIALS -- 2.4%
Air Products & Chemicals 3,300 158
Airgas 300 11
AK Steel Holding 20,682 163
Alcoa 14,900 160
Aptargroup 500 17
Ashland 438 4
Ball 1,200 44
Bemis 900 24
Cabot 24,302 503
Celanese, Cl A 7,400 85
Century Aluminum* 19,100 156
CF Industries Holdings 6,898 363
Cliffs Natural Resources 3,700 88
Crown Holdings* 5,200 83
Domtar* 3,600 5
Dow Chemical 31,000 575
E.I. Du Pont de Nemours 8,900 223
Eastman Chemical 900 30
Ecolab 1,700 65
FMC 3,000 131
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
16
Market Value
Description Shares ($ Thousands)
- ------------ ------------- -------------
Freeport-McMoRan Copper & Gold, Cl B 4,072 $ 98
Greif, Cl A 500 17
Headwaters* 8,700 50
Intrepid Potash* 9,900 190
Lubrizol 13,200 464
Monsanto 2,300 182
Mosaic 24,826 753
Nalco Holding 11,000 125
Newmont Mining 3,400 114
Nucor 6,400 228
OM Group* 4,800 95
Owens-Illinois* 6,500 131
Pactiv* 400 10
Praxair 20,100 1,187
Reliance Steel & Aluminum 16,200 334
Rohm & Haas 401 27
RPM International 5,700 68
RTI International Metals* 9,800 118
Sealed Air 7,400 117
Sigma-Aldrich 2,800 121
Sonoco Products 17,800 447
Southern Copper 1,200 17
Steel Dynamics 5,800 48
Terra Industries 14,600 215
United States Steel 8,000 243
Valspar 700 14
Vulcan Materials 500 30
Weyerhaeuser 400 15
-------------
8,346
-------------
TELECOMMUNICATION SERVICES -- 2.6%
American Tower, Cl A* 400 11
AT&T 154,824 4,422
CenturyTel 11,300 300
Crown Castle International* 60,800 855
Frontier Communications 800 7
Leap Wireless International* 2,100 42
NII Holdings* 1,300 25
Sprint Nextel 55,100 154
Telephone & Data Systems 3,659 119
US Cellular* 7,881 311
Verizon Communications 83,875 2,739
Windstream 16,850 149
-------------
9,134
-------------
UTILITIES -- 3.2%
AES* 138,726 1,067
Alliant Energy 25,716 820
Ameren 4,500 160
American Electric Power 10,200 319
Shares/Face
Amount Market Value
Description ($ Thousands) ($ Thousands)
- ------------ ------------- -------------
Atmos Energy 431 $ 11
Calpine* 45,355 406
Centerpoint Energy 13,900 180
Constellation Energy Group 1,700 42
Dominion Resources 5,600 206
DPL 600 13
DTE Energy 12,700 472
Edison International 27,800 929
Energen 1,100 34
Entergy 4,800 408
Equitable Resources 5,100 170
Exelon 8,943 503
FirstEnergy 11,118 651
FPL Group 7,600 371
Hawaiian Electric Industries 3,500 95
MDU Resources Group 6,074 123
National Fuel Gas 1,000 32
NiSource 17,746 214
NRG Energy* 15,000 355
NV Energy 48,600 461
OGE Energy 100 3
Oneok 5,500 161
PG&E 13,705 521
Pinnacle West Capital 200 6
PPL 12,100 410
Progress Energy 100 4
Public Service Enterprise Group 23,600 729
Puget Energy 2,400 59
Questar 1,700 55
Reliant Energy* 30,109 173
SCANA 1,000 35
Sempra Energy 13,103 611
Southern 2,600 94
TECO Energy 16,836 219
UGI 1,400 33
Vectren 500 14
Wisconsin Energy 2,200 96
Xcel Energy 1,900 36
-------------
11,301
-------------
Total Common Stock
(Cost $399,954) ($ Thousands) 292,432
-------------
U.S. TREASURY OBLIGATIONS -- 2.6%
U.S. Treasury Bills
1.438%, 12/04/08 (A) (B) $ 400 400
0.010%, 02/12/09 (A) (B) 8,755 8,754
-------------
Total U.S. Treasury Obligations
(Cost $9,155) ($ Thousands) 9,154
-------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
17
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund (Concluded)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ------------ ------------- -------------
CASH EQUIVALENT -- 4.6%
SEI Daily Income Trust,
Prime Obligation Fund, Cl A,
1.620%**+ 16,293,364 $ 16,293
-------------
Total Cash Equivalent
(Cost $16,293) ($ Thousands) 16,293
-------------
AFFILIATED PARTNERSHIP -- 9.0%
SEI LIBOR Plus Portfolio+ 52,626,708 31,576
-------------
Total Affiliated Partnership
(Cost $52,627) ($ Thousands) 31,576
-------------
Total Investments -- 99.6%
(Cost $478,029) ($ Thousands) $ 349,455
=============
A summary of the open futures contracts held by the Fund at November 30, 2008,
is as follows:
NUMBER OF UNREALIZED
TYPE OF CONTRACTS EXPIRATION DEPRECIATION
CONTRACT LONG DATE ($ THOUSANDS)
- ----------------------- --------- ---------- -------------
S&P 500 Composite Index 251 Dec-2008 $(14,986)
S&P 500 E-Mini 12 Dec-2008 (148)
--------
$(15,134)
========
Percentages are based on a Net Assets of $350,970 ($ Thousands)
* Non-income producing security.
** Rate shown is the 7-day effective yield as of November 30, 2008.
+ Investment in Affiliated Security (see Note 3).
+++ Real Estate Investment Trust
(A) Zero coupon security. The rate reported is the effective yield at time of
purchase.
(B) All or a portion of this security has been pledged as collateral for open
futures contracts.
ADR -- American Depositary Receipt
Cl -- Class
LIBOR -- London Interbank Offered Rate
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
18
Large Cap Disciplined Equity Fund
November 30, 2008
(BAR CHART)
SECTOR WEIGHTINGS++:
Affiliated Partnerships 23.3%
Information Technology 10.4%
Energy 9.7%
Health Care 9.3%
Financials 9.2%
Consumer Staples 9.1%
Industrials 8.1%
Cash Equivalents 5.6%
Consumer Discretionary 5.2%
Telecommunication Services 2.8%
Utilities 2.8%
U.S. Treasury Obligations 2.3%
Materials 2.2%
++ Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 9).
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
COMMON STOCK -- 78.4%
CONSUMER DISCRETIONARY -- 5.9%
Abercrombie & Fitch, Cl A 11,600 $ 224
Aeropostale* (A) 21,700 328
Amazon.com* 67,100 2,865
American Eagle Outfitters 154,700 1,485
Apollo Group, Cl A* (A) 53,600 4,119
ArvinMeritor (A) 53,500 211
AutoNation* 42,400 362
Autozone* 20,000 2,184
Bed Bath & Beyond* 49,400 1,002
Best Buy (A) 302,666 6,268
Big Lots* (A) 447,664 7,843
Cablevision Systems, Cl A 58,083 851
Carnival 283,200 5,947
CBS, Cl B (A) 342,440 2,281
Centex 93,900 860
Charlotte Russe Holding* 23,900 120
Coach* 504,100 9,023
Comcast, Cl A (A) 1,602,700 27,791
Darden Restaurants 31,000 567
DeVry 58,500 3,362
DIRECTV Group* (A) 657,900 14,480
DISH Network, Cl A* (A) 73,291 812
DR Horton 152,500 1,048
Family Dollar Stores 52,700 1,464
Ford Motor* (A) 1,017,390 2,737
Fortune Brands 7,500 283
GameStop, Cl A* 29,400 642
Gannett (A) 652,200 5,681
Gap (A) 404,100 5,261
General Motors 103,700 543
Genuine Parts 20,900 818
Goodyear Tire & Rubber* 108,500 698
Gymboree* 137,400 3,456
H&R Block 631,341 12,077
Harley-Davidson (A) 30,900 526
Hasbro 136,800 3,666
Home Depot 433,443 10,017
International Game Technology 101,200 1,084
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Interpublic Group* 263,200 $ 1,076
J.C. Penney (A) 309,600 5,879
Jack in the Box* (A) 57,400 1,005
Jackson Hewitt Tax Service 26,800 345
Jarden* (A) 76,500 955
Johnson Controls 300,136 5,300
Jones Apparel Group (A) 304,000 1,560
KB Home 49,500 576
Kohl's* 91,000 2,972
Leggett & Platt (A) 153,000 2,234
Lennar, Cl A 26,700 190
Limited Brands 105,700 984
Liz Claiborne (A) 299,600 854
Lowe's 93,247 1,927
Macy's 21,000 156
Mattel 100,900 1,380
McDonald's 741,897 43,586
McGraw-Hill (A) 149,603 3,740
Meredith 11,000 178
New York Times, Cl A 69,900 527
News, Cl A 2,104,666 16,627
Nike, Cl B 63,894 3,402
Nordstrom 150,126 1,707
Office Depot* 76,200 150
Omnicom Group 10,500 297
Polo Ralph Lauren, Cl A (A) 75,300 3,253
Pulte Homes 122,200 1,301
RadioShack 119,200 1,174
Rent-A-Center, Cl A* 108,800 1,786
Royal Caribbean Cruises (A) 55,400 522
Scripps Networks Interactive, Cl A 103,200 2,868
Service International 57,700 336
Sherwin-Williams 24,500 1,444
Snap-On (A) 243,496 8,778
Stanley Works 14,900 474
Staples 136,600 2,371
Starwood Hotels & Resorts Worldwide 37,500 632
Target 153,062 5,168
Tiffany 65,800 1,302
Time Warner 1,279,089 11,576
TJX (A) 297,400 6,787
Urban Outfitters* (A) 17,500 318
VF 88,000 4,602
Viacom, Cl B* (A) 286,400 4,559
Walt Disney (A) 1,111,147 25,023
Weight Watchers International 7,300 207
Whirlpool 5,600 220
Wyndham Worldwide 120,607 577
Wynn Resorts* 10,900 434
Yum! Brands (A) 158,100 4,259
-------------
330,564
-------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
19
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Disciplined Equity Fund (Continued)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
CONSUMER STAPLES -- 10.3%
Altria Group 1,246,895 $ 20,050
Archer-Daniels-Midland (A) 828,205 22,676
Avon Products 78,600 1,659
BJ's Wholesale Club* (A) 23,876 854
Brown-Forman, Cl B 205,137 9,003
Bunge (A) 87,200 3,703
Campbell Soup 15,800 506
Clorox 10,800 639
Coca-Cola (A) 1,164,962 54,602
Coca-Cola Enterprises 537,300 4,932
Colgate-Palmolive 343,400 22,345
ConAgra Foods 183,100 2,701
Constellation Brands, Cl A* 83,200 1,062
Corn Products International 167,444 4,588
Costco Wholesale (A) 281,415 14,484
CVS/Caremark 238,908 6,912
Dean Foods* (A) 108,154 1,575
Dr Pepper Snapple Group* 41,400 668
Estee Lauder, Cl A 83,772 2,337
General Mills 37,000 2,337
Hershey 23,800 857
HJ Heinz 59,100 2,295
Hormel Foods 1,781 47
JM Smucker 22,300 1,012
Kellogg 25,000 1,086
Kimberly-Clark 249,894 14,441
Kraft Foods, Cl A 227,603 6,193
Kroger (A) 667,530 18,464
Lorillard 4,200 254
McCormick 63,200 1,881
Molson Coors Brewing, Cl B (A) 284,910 12,670
Pepsi Bottling Group 20,700 374
PepsiAmericas 54,000 905
PepsiCo 705,321 39,992
Philip Morris International (A) 1,096,966 46,248
Procter & Gamble 1,814,913 116,790
Reynolds American 298,000 12,242
Safeway (A) 437,200 9,531
Sara Lee 41,900 385
Supervalu 143,000 1,703
Sysco 618,572 14,506
Tyson Foods, Cl A (A) 983,093 6,597
UST 53,987 3,711
Walgreen 352,784 8,728
Wal-Mart Stores (A) 1,494,745 83,526
-------------
582,071
-------------
ENERGY -- 11.1%
Alpha Natural Resources* 1,623 36
Anadarko Petroleum 194,900 8,001
Apache 313,847 24,260
Arch Coal 218,979 3,368
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Baker Hughes (A) 256,738 $ 8,942
BJ Services 137,900 1,653
Cabot Oil & Gas 88,900 2,664
Cameron International* 30,600 646
Chesapeake Energy 130,200 2,237
Chevron 1,217,431 96,189
Complete Production Services* 166,500 1,364
ConocoPhillips 828,937 43,536
Consol Energy 34,900 1,011
Devon Energy 173,256 12,533
El Paso 246,500 1,822
ENSCO International (A) 203,800 6,605
EOG Resources 144,417 12,278
Exxon Mobil (A) 2,710,030 217,209
Foundation Coal Holdings 115,923 1,654
Halliburton 734,486 12,927
Hess 154,849 8,368
Marathon Oil 801,854 20,993
Massey Energy (A) 78,256 1,222
Murphy Oil 81,200 3,577
Nabors Industries* 152,800 2,215
National Oilwell Varco* 118,700 3,358
Noble (A) 214,100 5,736
Noble Energy 33,700 1,762
Occidental Petroleum (A) 544,198 29,463
Oil States International* 17,200 368
Overseas Shipholding Group (A) 50,400 1,868
Patriot Coal* (A) 31,700 269
Peabody Energy 64,400 1,509
Pioneer Natural Resources (A) 132,742 2,665
Range Resources 56,100 2,326
Rowan 57,500 998
Schlumberger 724,273 36,750
SEACOR Holdings* (A) 10,400 688
Smith International 94,800 2,772
Southwestern Energy* (A) 444,734 15,286
Spectra Energy 67,300 1,094
Sunoco (A) 83,200 3,306
Superior Energy Services* 26,300 443
Transocean* 58,243 3,895
Unit* 26,700 766
Valero Energy 359,000 6,588
Weatherford International* 172,100 2,198
Willbros Group* 31,100 257
Williams 14,200 230
XTO Energy 81,825 3,129
-------------
623,034
-------------
FINANCIALS -- 10.5%
Aflac 220,100 10,191
Allied World Assurance Holdings 12,900 456
Allstate 402,147 10,231
American Express 574,381 13,389
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
20
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
American Financial Group 142,400 $ 2,918
American International Group 327,014 657
Ameriprise Financial 105,136 1,941
AON 165,792 7,510
Apartment Investment &
Management, Cl A+++ 124,881 1,432
Aspen Insurance Holdings 38,800 715
Associated Banc (A) 46,054 1,001
Assurant 124,000 2,699
Axis Capital Holdings 23,000 582
Bank of America (A) 3,369,409 54,753
Bank of New York Mellon 604,987 18,277
BB&T 39,200 1,175
BlackRock, Cl A (A) 15,144 1,904
BOK Financial 14,635 679
Boston Properties+++ (A) 169,852 9,070
Brandywine Realty Trust+++ 270,000 1,328
Brown & Brown (A) 64,508 1,284
Capital One Financial (A) 25,500 877
CapitalSource+++ (A) 253,800 1,322
CB Richard Ellis Group, Cl A* 187,900 857
CBL & Associates Properties+++ (A) 254,000 1,034
Charles Schwab 877,481 16,084
Chubb 105,664 5,427
Cincinnati Financial 8,700 254
CIT Group 247,100 825
Citigroup (A) 3,410,025 28,269
CME Group, Cl A 34,415 7,294
CNA Financial (A) 10,600 146
Comerica 12,800 289
Discover Financial Services 281,700 2,882
Endurance Specialty Holdings (A) 48,800 1,314
Equity Residential+++ 50,100 1,524
Federated Investors, Cl B 6,400 127
Fifth Third Bancorp 28,100 269
First Horizon National 34,600 370
First Industrial Realty Trust+++ (A) 65,300 565
First Midwest Bancorp (A) 68,000 1,252
Franklin Resources 21,709 1,319
Goldman Sachs Group 332,828 26,290
Hartford Financial Services Group 267,364 2,259
HCP+++ 171,300 3,541
Hospitality Properties Trust+++ (A) 17,200 197
Hudson City Bancorp 772,119 12,902
Huntington Bancshares (A) 474,300 3,794
Invesco 38,700 486
IPC Holdings 9,400 263
Janus Capital Group 66,570 542
JPMorgan Chase 2,198,259 69,597
Keycorp 27,500 258
Leucadia National 179,300 3,505
Lexington Realty Trust+++ (A) 35,600 173
Lincoln National 34,200 470
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Loews 509,711 $ 13,961
M&T Bank 10,500 675
Marsh & McLennan 143,000 3,647
MBIA (A) 342,400 2,003
Merrill Lynch 448,463 5,929
MetLife 542,193 15,593
Montpelier Re Holdings (A) 61,300 844
Moody's 46,500 1,010
Morgan Stanley (A) 899,316 13,265
NASDAQ OMX Group* 256,334 5,511
Northern Trust 85,124 3,906
NYSE Euronext 98,393 2,343
Pacific Capital Bancorp (A) 11,800 186
Pennsylvania Real Estate
Investment Trust+++ (A) 95,900 432
People's United Financial 66,200 1,263
Platinum Underwriters Holdings (A) 138,200 4,247
Plum Creek Timber+++ 90,360 3,216
PNC Financial Services Group 40,600 2,142
Principal Financial Group 9,000 124
Progressive 84,100 1,263
Prologis+++ 15,900 61
Prudential Financial 465,900 10,110
Public Storage+++ (A) 162,484 11,356
Rayonier+++ (A) 167,738 5,602
Regions Financial (A) 677,300 6,902
Simon Property Group+++ 25,681 1,220
SLM* (A) 117,600 1,083
State Street (A) 135,200 5,693
Sterling Financial (A) 96,300 512
Sunstone Hotel Investors+++ 178,400 851
SunTrust Banks 209,900 6,660
T. Rowe Price Group 79,428 2,717
TFS Financial (A) 87,132 1,118
Torchmark 38,200 1,381
Travelers 596,067 26,018
Unum Group 79,900 1,191
US Bancorp (A) 888,025 23,959
Vornado Realty Trust+++ 3,700 198
Wachovia (A) 811,675 4,561
Washington Federal (A) 48,500 819
Webster Financial (A) 76,200 1,143
Wells Fargo (A) 1,959,492 56,610
XL Capital, Cl A (A) 246,300 1,239
Zions Bancorporation 19,200 612
-------------
591,945
-------------
HEALTH CARE -- 10.6%
Abbott Laboratories 424,381 22,233
Aetna 244,842 5,342
Alkermes* 36,200 267
Allergan 38,500 1,451
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
21
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Disciplined Equity Fund (Continued)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
American Medical Systems
Holdings* (A) 54,100 $ 476
AmerisourceBergen 307,011 9,625
Amgen* (A) 718,965 39,931
Barr Pharmaceuticals* 9,400 615
Baxter International 548,342 29,007
Becton Dickinson 153,100 9,727
Biogen Idec* (A) 187,500 7,933
Boston Scientific* 787,400 4,858
Bristol-Myers Squibb 1,490,552 30,854
C.R. Bard 33,600 2,756
Cardinal Health 288,516 9,382
Celgene* 114,500 5,965
Cephalon* (A) 23,500 1,727
Cigna 409,775 4,962
Coventry Health Care* 65,600 818
Covidien 274,442 10,113
Cubist Pharmaceuticals* (A) 28,200 693
Dentsply International 27,500 717
Dionex* 9,400 482
Eli Lilly (A) 493,972 16,869
Express Scripts* 266,700 15,338
Forest Laboratories* 150,300 3,634
Genentech* (A) 114,059 8,737
Genzyme* 118,909 7,613
Gilead Sciences* 292,963 13,122
Health Management Associates,
Cl A* 71,805 105
HLTH* (A) 69,507 651
Hospira* 40,800 1,225
Humana* (A) 454,774 13,748
IMS Health 52,100 685
Intuitive Surgical* 2,100 279
Johnson & Johnson (A) 1,492,227 87,415
King Pharmaceuticals* (A) 581,000 5,583
Laboratory Corp of America
Holdings* 37,100 2,351
Life Technologies* 56,924 1,486
McKesson 306,386 10,705
Medco Health Solutions* 328,748 13,807
Medicines* 8,000 103
Medtronic 530,349 16,186
Merck 1,274,694 34,060
Millipore* 6,200 314
Mylan Laboratories* 36,400 343
Patterson* 13,900 262
PerkinElmer 74,237 1,341
Pfizer (A) 4,347,689 71,433
Quest Diagnostics 52,000 2,422
Schering-Plough 430,200 7,232
Sepracor* (A) 67,804 797
St. Jude Medical* 76,600 2,147
Stryker 244,109 9,501
Tenet Healthcare* 167,500 203
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Thermo Fisher Scientific* 115,600 $ 4,125
UnitedHealth Group 211,522 4,444
Varian Medical Systems* 62,800 2,535
Viropharma* (A) 14,900 168
Warner Chilcott, Cl A* (A) 43,900 582
Waters* 20,800 857
Watson Pharmaceuticals* 18,700 444
WellPoint* 202,196 7,198
Wyeth 621,187 22,369
Zimmer Holdings* 73,923 2,759
-------------
595,112
-------------
INDUSTRIALS -- 9.2%
3M (A) 167,744 11,227
Acuity Brands (A) 18,800 507
Aecom Technology* (A) 47,863 1,268
AGCO* (A) 209,213 5,151
Allied Waste Industries* 272,542 2,927
Avery Dennison 9,100 283
Boeing (A) 736,987 31,418
Bucyrus International, Cl A (A) 90,300 1,764
Burlington Northern Santa Fe (A) 182,500 13,981
C.H. Robinson Worldwide (A) 198,780 10,154
Caterpillar (A) 273,928 11,228
Cintas 18,800 452
Cooper Industries, Cl A 9,200 222
CSX 250,468 9,328
Cummins 569,402 14,565
Danaher 26,200 1,458
Deere (A) 185,100 6,443
Delta Air Lines* (A) 46,250 407
Deluxe 20,300 214
Dover 60,000 1,790
Eaton 11,900 551
Emerson Electric 478,430 17,171
EnPro Industries* (A) 10,600 198
Equifax 40,900 1,041
Expeditors International Washington 122,383 4,091
Fastenal 21,200 816
FedEx 207,838 14,684
Flowserve 62,018 3,121
Fluor (A) 357,929 16,300
General Dynamics 394,675 20,393
General Electric 4,869,474 83,609
GeoEye* 34,900 698
Goodrich 14,800 498
Harsco 118,710 2,986
Honeywell International 547,953 15,266
II-VI* (A) 6,900 139
Illinois Tool Works 28,500 972
Ingersoll-Rand, Cl A 44,670 700
ITT 14,900 624
Jacobs Engineering Group* 245,155 10,976
KBR 306,421 4,219
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
22
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
L-3 Communications Holdings 15,900 $ 1,068
Lockheed Martin 354,248 27,316
NCI Building Systems* (A) 12,200 186
Norfolk Southern 216,300 10,700
Northrop Grumman 270,376 11,072
Paccar 172,569 4,810
Pacer International 93,900 910
Pall 34,200 941
Parker Hannifin 56,600 2,325
Precision Castparts 93,789 5,881
Quanta Services* 271,352 4,412
Raytheon (A) 435,354 21,245
Robert Half International 19,600 409
Rockwell Automation 3,700 115
Rockwell Collins 107,199 3,653
Ryder System 179,500 6,446
Southwest Airlines 773,052 6,687
SPX 48,203 1,799
Stericycle* 15,400 882
Textron 58,800 896
Timken 87,675 1,272
Titan International (A) 158,400 1,511
Tyco International 776,672 16,232
Union Pacific (A) 426,306 21,332
United Parcel Service, Cl B (A) 258,621 14,897
United Rentals* (A) 52,700 425
United Technologies 418,652 20,317
URS* 30,344 1,152
UTi Worldwide 19,252 206
Waste Management 43,600 1,273
WESCO International* (A) 59,200 876
WW Grainger 19,200 1,355
-------------
516,441
-------------
INFORMATION TECHNOLOGY -- 11.9%
Accenture, Cl A 476,702 14,768
Adobe Systems* (A) 270,700 6,269
Advanced Micro Devices* 42,500 100
Affiliated Computer Services, Cl A* 83,900 3,394
Akamai Technologies* 117,400 1,441
Altera 100,000 1,471
Amdocs* 132,166 2,483
Amphenol, Cl A 60,703 1,410
Analog Devices 175,700 3,005
Apple* (A) 350,243 32,457
Applied Materials 123,000 1,178
Automatic Data Processing 210,053 8,625
Avocent* 43,500 818
AVX (A) 33,402 292
BMC Software* 99,600 2,486
Broadcom, Cl A* (A) 528,800 8,096
Ciena* 18,400 136
Cisco Systems* 2,930,978 48,478
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Citrix Systems* 7,900 $ 211
Cognizant Technology Solutions, Cl A* 45,100 866
Computer Sciences* 88,329 2,461
Compuware* 119,700 760
Convergys* 140,700 885
Corning 1,266,771 11,414
Daktronics (A) 59,900 546
Dell* 1,631,298 18,222
Earthlink* (A) 204,400 1,361
eBay* 857,478 11,259
Electronic Arts* 198,713 3,788
EMC* (A) 624,361 6,600
Fidelity National Information Services 13,900 239
Fiserv* 35,200 1,202
Google, Cl A* (A) 132,024 38,678
Harris 12,100 422
Hewlett-Packard (A) 1,996,962 70,453
IAC* 23,150 342
Ingram Micro, Cl A* 56,362 607
Integrated Device Technology* 14,800 77
Intel (A) 2,536,718 35,007
International Business Machines (A) 705,586 57,576
Intuit* 87,100 1,930
Jabil Circuit 32,900 216
JDS Uniphase* 72,500 197
Juniper Networks* 19,900 346
Lender Processing Services (A) 38,744 854
Lexmark International, Cl A* 112,700 2,950
Linear Technology 91,500 1,825
LSI* (A) 442,300 1,185
Mastercard, Cl A (A) 70,900 10,302
MEMC Electronic Materials* (A) 342,556 5,145
Microchip Technology 147,200 2,723
Microsoft (A) 4,520,347 91,402
Molex (A) 252,656 3,436
Motorola 1,159,341 4,997
National Semiconductor 276,400 3,040
NCR* 90,275 1,370
NetApp* 74,100 1,000
Novellus Systems* 41,800 518
Nvidia* 237,350 1,773
Oracle* (A) 1,336,558 21,505
QLogic* 196,600 2,088
Qualcomm 1,164,457 39,091
Salesforce.com* 20,600 590
SanDisk* 45,800 366
Silicon Laboratories* (A) 147,900 3,100
Sohu.com* (A) 87,958 4,269
Symantec* (A) 854,800 10,283
Synaptics* (A) 37,100 815
Teradata* 6,400 86
Teradyne* 135,300 513
Texas Instruments 928,038 14,450
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
23
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Disciplined Equity Fund (Concluded)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Total System Services 29,700 $ 424
Tyco Electronics 896,864 14,780
Valueclick* 123,000 759
VeriSign* 91,300 1,971
Volterra Semiconductor* (A) 82,500 617
Western Digital* 45,100 550
Western Union 617,656 8,196
Xerox 679,500 4,750
Xilinx 123,600 2,022
Yahoo!* 124,481 1,433
-------------
667,750
-------------
MATERIALS -- 2.5%
Air Products & Chemicals 111,900 5,344
Airgas 11,200 400
AK Steel Holding (A) 341,212 2,689
Alcoa 125,300 1,348
Allegheny Technologies 83,300 1,912
Ashland 9,890 94
Ball 46,700 1,702
Bemis 16,100 435
Celanese, Cl A 23,000 266
Century Aluminum* (A) 113,800 927
CF Industries Holdings (A) 99,460 5,235
Cliffs Natural Resources 29,000 689
Crown Holdings* 46,581 748
Dow Chemical 344,800 6,396
E.I. Du Pont de Nemours 594,062 14,887
Eastman Chemical 30,900 1,017
Ecolab 100,200 3,847
FMC 30,065 1,314
Freeport-McMoRan Copper & Gold, Cl B 138,633 3,326
Greif, Cl A 27,800 922
Headwaters* (A) 51,100 290
International Flavors & Fragrances 25,400 776
International Paper 16,800 209
Intrepid Potash* (A) 39,400 756
Monsanto 175,146 13,872
Mosaic 353,331 10,724
Nalco Holding (A) 514,256 5,868
Newmont Mining (A) 485,084 16,323
Nucor 97,400 3,475
OM Group* (A) 51,700 1,020
Pactiv* 16,900 422
PPG Industries 10,100 444
Praxair 56,600 3,342
Rock-Tenn, Cl A 18,900 638
Rohm & Haas 3,483 238
Sealed Air 177,600 2,811
Sigma-Aldrich 112,300 4,841
Terra Industries (A) 572,836 8,426
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
United States Steel (A) 311,700 $ 9,476
Vulcan Materials 21,000 1,260
-------------
138,709
-------------
TELECOMMUNICATION SERVICES -- 3.2%
American Tower, Cl A* 52,900 1,441
AT&T (A) 3,845,133 109,817
NII Holdings* 120,414 2,341
Sprint Nextel 25,759 72
Telephone & Data Systems 48,506 1,574
US Cellular* 84,586 3,335
Verizon Communications 1,610,722 52,590
Windstream 744,513 6,596
-------------
177,766
-------------
UTILITIES -- 3.2%
AES* (A) 519,900 3,998
Allegheny Energy 159,959 5,639
Alliant Energy 75,502 2,406
Ameren 24,600 875
American Electric Power 300,900 9,415
Aqua America (A) 87,329 1,894
Atmos Energy 3,528 88
Calpine* (A) 449,661 4,029
Centerpoint Energy 252,180 3,261
Consolidated Edison 2,000 81
Constellation Energy Group 59,900 1,465
Dominion Resources (A) 279,151 10,278
DPL (A) 45,500 947
Duke Energy (A) 422,700 6,577
Dynegy, Cl A* (A) 192,269 429
Edison International 404,655 13,515
Entergy 114,000 9,701
Exelon 377,758 21,234
FirstEnergy 220,226 12,901
FPL Group 102,300 4,988
Integrys Energy Group 8,100 358
MDU Resources Group 63,865 1,298
Nicor (A) 51,336 2,094
NiSource 359,500 4,332
NV Energy (A) 207,600 1,968
Oneok 50,700 1,488
Pepco Holdings 29,100 524
PG&E (A) 312,567 11,890
Pinnacle West Capital 39,400 1,198
PPL 267,100 9,052
Progress Energy 10,500 417
Public Service Enterprise Group 325,100 10,046
Questar 90,100 2,900
Reliant Energy* (A) 527,336 3,027
Sempra Energy 87,781 4,097
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
24
Shares/Face
Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Southern 100,600 $ 3,654
TECO Energy 247,451 3,217
UGI 69,707 1,628
Wisconsin Energy 21,900 952
Xcel Energy 126,700 2,383
-------------
180,244
-------------
Total Common Stock
(Cost $5,566,918) ($ Thousands) 4,403,636
-------------
U.S. TREASURY OBLIGATIONS (B) (C) -- 2.6%
U.S. Treasury Bills
1.492%, 12/04/08 $ 4,845 4,845
0.774%, 07/30/09 800 796
0.030%, 12/18/08 2,225 2,225
0.010%, 02/12/09 141,930 141,916
-------------
Total U.S. Treasury Obligations
(Cost $149,792) ($ Thousands) 149,782
-------------
CASH EQUIVALENTS -- 6.4%
First Union Cash Management
Program, 0.860%** 4,589,325 4,589
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 1.620%**+ 352,327,501 352,328
-------------
Total Cash Equivalents
(Cost $356,917) ($ Thousands) 356,917
-------------
AFFILIATED PARTNERSHIPS -- 26.5%
SEI LIBOR Plus Portfolio+ 109,827,504 658,965
SEI Liquidity Fund, L.P.,
1.630%**+ (D) 841,399,367 830,869
-------------
Total Affiliated Partnerships
(Cost $1,939,674) ($ Thousands) 1,489,834
-------------
Total Investments -- 113.9%
(Cost $8,013,301) ($ Thousands) $ 6,400,169
=============
A summary of the open futures contracts held by the Fund at
November 30, 2008, is as follows:
UNREALIZED
NUMBER OF APPRECIATION
TYPE OF CONTRACTS EXPIRATION (DEPRECIATION)
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- ----------------------- ------------ ---------- --------------
3 Months Euribor 5 Mar-2009 $ 1
90-Day Euro$ 6 Mar-2009 1
90-Day Sterling 21 Mar-2009 (3)
Amsterdam Index (1) Dec-2008 (5)
Australian 10-Year Bond 65 Dec-2008 19
CAC40 10 Euro (2) Dec-2008 (7)
Canadian 10-Year Bond 51 Mar-2009 63
Euro-Bund (41) Dec-2008 (21)
FTSE Index (1) Dec-2008 11
Japan 10-Year Bond 4 Dec-2008 11
UNREALIZED
NUMBER OF APPRECIATION
TYPE OF CONTRACTS EXPIRATION (DEPRECIATION)
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- ----------------------- ------------ ---------- --------------
Long Gilt 10-Year Bond (1) Mar-2009 $ --
S&P 500 Composite Index 5,594 Dec-2008 (273,525)
S&P 500 E-Mini (4) Dec-2008 72
SPI 200 Index (2) Dec-2008 26
Topix Index (1) Dec-2008 36
U.S. 10-Year Note (74) Mar-2009 (73)
---------
$(273,394)
=========
A summary of the outstanding forward foreign currency contracts held
by the Fund at November 30, 2008 is as follows:
UNREALIZED
CURRENCY TO CURRENCY TO APPRECIATION
MATURITY DELIVER RECEIVE (DEPRECIATION)
DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS)
- -------- ----------- ----------- --------------
12/17/08 AUD 50 USD 40 $ 7
12/17/08 CAD 5,500 USD 4,474 41
12/17/08 CHF 10,875 USD 9,719 754
12/17/08 EUR 4,125 USD 5,598 366
12/17/08 GBP 3,313 USD 5,831 749
12/17/08 JPY 342,500 USD 3,496 (103)
12/17/08 NOK 500 USD 86 14
12/17/08 NZD 1,425 USD 949 170
12/17/08 SEK 4,000 USD 606 112
12/17/08 USD 536 AUD 650 (113)
12/17/08 USD 3,187 CAD 3,400 (447)
12/17/08 USD 9,271 CHF 10,375 (718)
12/17/08 USD 3,037 EUR 2,125 (342)
12/17/08 USD 3,411 GBP 1,938 (438)
12/17/08 USD 5,329 JPY 530,000 242
12/17/08 USD 1,519 NOK 8,500 (307)
12/17/08 USD 691 NZD 1,025 (131)
12/17/08 USD 605 SEK 4,000 (111)
-----
$(255)
=====
Percentages are based on a Net Assets of $5,618,398 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of November 30, 2008.
+ Investment in Affiliated Security (see Note 3).
+++ Real Estate Investment Trust
(A) This security or a partial position of this security is on loan at November
30, 2008. The total value of securities on loan at November 30, 2008 was
$819,640 ($ Thousands).
(B) Zero coupon security. The rate reported is the effective yield at time of
purchase.
(C) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
(D) 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,
2008 was $830,869 ($ Thousands).
AUD -- Australian Dollar
CAD -- Canadian Dollar
CHF -- Swiss Franc
Cl -- Class
EUR -- Euro
GBP -- British Pound Sterling
JPY -- Japanese Yen
LIBOR -- London Interbank Offered Rate
L.P. -- Limited Partnership
NOK -- Norwegian Krone
NZD -- New Zealand Dollar
SEK -- Swedish Krone
USD -- U.S. Dollar
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
25
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund
November 30, 2008
SECTOR WEIGHTINGS++:
(BAR CHART)
Affiliated Partnership 14.3%
Information Technology 13.0%
Financials 11.7%
Health Care 11.7%
Energy 11.6%
Consumer Staples 10.4%
Industrials 9.4%
Consumer Discretionary 7.2%
Utilities 3.9%
Telecommunication Services 3.1%
Materials 2.8%
Cash Equivalents 0.8%
U.S. Treasury Obligations 0.1%
++ Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 9).
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
COMMON STOCK -- 99.0%
CONSUMER DISCRETIONARY -- 8.4%
Abercrombie & Fitch, Cl A 3,602 $ 70
Advance Auto Parts 3,808 116
Amazon.com* (A) 11,989 512
American Eagle Outfitters 7,171 69
AnnTaylor Stores* 1,847 8
Apollo Group, Cl A* 4,864 374
Ascent Media, Cl A* (A) 362 7
Autoliv 2,118 40
AutoNation* (A) 4,132 35
Autozone* 1,507 165
Barnes & Noble 1,238 19
Bed Bath & Beyond* 10,015 203
Best Buy (A) 12,847 266
Big Lots* 2,200 39
Black & Decker 2,468 105
BorgWarner 4,682 111
Boyd Gaming 1,651 7
Brinker International 2,683 18
Brink's Home Security Holdings* 1,300 26
Burger King Holdings 2,700 58
Cablevision Systems, Cl A 8,742 128
Career Education* (A) 3,759 69
Carmax* (A) 7,260 55
Carnival 16,700 351
CBS, Cl B (A) 23,169 154
Centex 3,256 30
Central European Media Enterprises,Cl A* 1,000 15
Chipotle Mexican Grill, Cl A* (A) 1,100 55
Choice Hotels International 884 22
Clear Channel Outdoor Holdings, Cl A* 700 5
Coach* 13,167 236
Comcast, Cl A 105,625 1,832
CTC Media* 1,100 5
Darden Restaurants 5,622 103
DeVry 2,400 138
Dick's Sporting Goods* 2,958 37
DIRECTV Group* (A) 22,658 499
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Discovery Communications, Cl C* 11,021 $ 167
DISH Network, Cl A* (A) 6,562 73
Dollar Tree* (A) 3,553 150
DR Horton (A) 10,268 70
DreamWorks Animation SKG, Cl A* 2,634 61
Eastman Kodak (A) 9,167 69
EW Scripps, Cl A (A) 757 2
Expedia* 6,834 57
Family Dollar Stores (A) 5,462 152
Foot Locker 4,469 30
Ford Motor* (A) 84,384 227
Fortune Brands (A) 5,920 224
GameStop, Cl A* 6,400 140
Gannett (A) 9,359 82
Gap 18,759 244
Garmin (A) 4,100 70
General Motors (A) 15,281 80
Gentex (A) 3,932 34
Genuine Parts 6,271 245
Goodyear Tire & Rubber* 7,752 50
Guess? 1,800 24
H&R Block 12,525 240
Hanesbrands* 2,643 34
Harley-Davidson 9,303 158
Harman International Industries 1,568 24
Hasbro 4,867 131
Hearst-Argyle Television, Cl A 863 7
Hillenbrand 1,724 27
Home Depot 63,715 1,472
HSN* 932 3
International Game Technology 12,243 131
International Speedway, Cl A 912 24
Interpublic Group* 15,275 62
Interval Leisure Group* 932 5
ITT Educational Services* (A) 1,521 137
J.C. Penney 8,651 164
Jarden* 2,000 25
John Wiley & Sons, Cl A 1,242 45
Johnson Controls 22,645 400
Jones Apparel Group (A) 2,953 15
KB Home (A) 2,080 24
Kohl's* (A) 11,819 386
Lamar Advertising, Cl A* (A) 2,140 32
Las Vegas Sands* (A) 2,893 15
Leggett & Platt (A) 4,919 72
Lennar, Cl A (A) 3,530 25
Liberty Global, Cl A* (A) 12,771 185
Liberty Media-Capital, Ser A* 3,492 12
Liberty Media-Entertainment, Cl A* 19,968 237
Liberty Media-Interactive, Cl A* (A) 18,247 48
Limited Brands 11,457 107
Liz Claiborne (A) 2,661 7
LKQ* 4,100 43
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
26
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Lowe's 55,110 $ 1,139
Macy's 16,730 124
Marriott International, Cl A 11,450 192
Mattel 14,042 192
McDonald's (A) 42,680 2,507
McGraw-Hill 12,339 308
MDC Holdings (A) 816 25
Meredith (A) 1,358 22
MGM Mirage* (A) 3,939 47
Mohawk Industries* (A) 1,766 54
Morningstar* (A) 500 16
New York Times, Cl A (A) 4,824 36
Newell Rubbermaid 10,965 146
News, Cl A 87,785 693
Nike, Cl B 13,348 711
Nordstrom (A) 7,412 84
NVR* (A) 124 54
Office Depot* 6,889 14
OfficeMax 1,974 11
Omnicom Group 12,244 346
O'Reilly Automotive* 5,340 139
Orient-Express Hotels, Cl A 1,000 7
Panera Bread, Cl A* (A) 762 34
Penn National Gaming* 2,089 44
Penske Auto Group (A) 1,200 9
PetSmart 4,073 71
Phillips-Van Heusen 1,400 24
Polo Ralph Lauren, Cl A (A) 1,780 77
priceline.com* (A) 1,500 104
Pulte Homes 8,618 92
RadioShack (A) 3,871 38
Regal Entertainment Group, Cl A 1,988 18
Ross Stores 5,271 140
Royal Caribbean Cruises (A) 4,600 43
Saks* 3,306 14
Scientific Games, Cl A* (A) 2,366 36
Scripps Networks Interactive, Cl A 2,872 80
Sears Holdings* (A) 2,428 88
Service International 8,794 51
Sherwin-Williams 3,837 226
Signet Jewelers 2,600 20
Sirius XM Radio* (A) 80,402 17
Snap-On 1,891 68
Stanley Works 2,509 80
Staples 26,764 465
Starbucks* 28,006 250
Starwood Hotels & Resorts Worldwide 7,384 125
Strayer Education 600 144
Target (A) 29,785 1,006
Thor Industries (A) 1,000 16
Ticketmaster Entertainment* 932 4
Tiffany 4,025 80
Tim Hortons 7,186 179
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Time Warner 135,037 $ 1,222
Time Warner Cable, Cl A* (A) 6,200 126
TJX (A) 16,254 371
Toll Brothers* (A) 4,151 83
TRW Automotive Holdings* 993 4
Urban Outfitters* (A) 3,720 68
VF 3,417 179
Viacom, Cl B* 21,469 342
Virgin Media (A) 9,820 46
WABCO Holdings 2,224 33
Walt Disney 71,784 1,617
Warner Music Group 662 2
Washington Post, Cl B 257 102
Weight Watchers International 962 27
Whirlpool (A) 2,987 118
Williams-Sonoma (A) 3,362 23
Wyndham Worldwide 5,868 28
Wynn Resorts* (A) 2,296 91
Yum! Brands 18,048 486
-------------
28,008
-------------
CONSUMER STAPLES -- 12.1%
Alberto-Culver, Cl B 2,887 62
Altria Group 78,968 1,270
Archer-Daniels-Midland 24,379 667
Avon Products 16,306 344
Bare Escentuals* (A) 2,500 12
BJ's Wholesale Club* (A) 1,872 67
Brown-Forman, Cl B 4,018 176
Bunge (A) 4,700 200
Campbell Soup 8,378 268
Central European Distribution* 1,300 31
Church & Dwight 2,632 156
Clorox 5,303 314
Coca-Cola 87,320 4,093
Coca-Cola Enterprises 12,715 117
Colgate-Palmolive 19,175 1,248
ConAgra Foods 17,486 258
Constellation Brands, Cl A* 7,431 95
Corn Products International 3,000 82
Costco Wholesale (A) 16,381 843
CVS/Caremark 53,852 1,558
Dean Foods* 4,087 59
Del Monte Foods 5,258 31
Dr Pepper Snapple Group* 9,900 160
Energizer Holdings* 1,841 80
Estee Lauder, Cl A 3,954 110
General Mills 12,696 802
Hansen Natural* (A) 2,900 86
Herbalife 1,800 32
Hershey 5,998 216
HJ Heinz 12,037 468
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
27
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund (Continued)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Hormel Foods 2,339 $ 62
JM Smucker 4,611 209
Kellogg 9,503 413
Kimberly-Clark 15,818 914
Kraft Foods, Cl A 55,415 1,508
Kroger (A) 24,973 691
Lorillard 6,650 402
McCormick (A) 4,393 131
Molson Coors Brewing, Cl B 4,462 199
NBTY* 1,800 26
Pepsi Bottling Group 4,382 79
PepsiAmericas 1,494 25
PepsiCo 59,637 3,381
Philip Morris International 79,268 3,342
Procter & Gamble 113,174 7,283
Reynolds American 6,610 271
Rite Aid* (A) 19,101 10
Safeway 16,720 364
Sara Lee 27,251 250
Smithfield Foods* (A) 3,975 27
Supervalu 8,589 102
Sysco 22,848 536
Tyson Foods, Cl A 9,065 61
UST 5,669 390
Walgreen 37,425 926
Wal-Mart Stores 84,279 4,710
Whole Foods Market (A) 3,952 42
-------------
40,259
-------------
ENERGY -- 13.6%
Alpha Natural Resources* 2,100 47
Anadarko Petroleum 17,740 728
Apache 12,559 971
Arch Coal 4,612 71
Atwood Oceanics* 1,900 34
Baker Hughes 11,701 408
BJ Services 11,588 139
Cabot Oil & Gas 4,100 123
Cameron International* (A) 8,444 178
Chesapeake Energy (A) 21,966 377
Chevron 77,702 6,139
Cimarex Energy 2,700 77
CNX Gas* 800 25
ConocoPhillips 57,976 3,045
Consol Energy 7,044 204
Continental Resources* 1,000 20
Denbury Resources* 9,848 94
Devon Energy 16,813 1,216
Diamond Offshore Drilling (A) 2,709 200
Dresser-Rand Group* 2,734 46
El Paso 27,203 201
Encore Acquisition* 1,800 48
ENSCO International 5,623 182
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
EOG Resources 9,345 $ 795
Exterran Holdings* (A) 2,200 39
Exxon Mobil (A) 198,312 15,895
FMC Technologies* (A) 5,060 139
Forest Oil* 2,814 49
Foundation Coal Holdings 1,300 19
Frontier Oil 3,000 36
Frontline (A) 1,500 44
Global Industries* (A) 2,500 7
Halliburton 33,097 583
Helix Energy Solutions Group* (A) 2,400 15
Helmerich & Payne 3,450 87
Hercules Offshore* 2,000 12
Hess 10,712 579
Holly 1,300 24
IHS, Cl A* 1,400 51
Key Energy Services* 4,300 20
Marathon Oil 26,776 701
Mariner Energy* 3,100 34
Massey Energy 2,361 37
Murphy Oil 7,254 320
Nabors Industries* 11,000 159
National Oilwell Varco* 15,780 446
Newfield Exploration* 5,199 117
Noble 10,300 276
Noble Energy 6,562 343
Occidental Petroleum (A) 30,954 1,676
Oceaneering International* 1,500 39
Oil States International* (A) 1,700 36
Overseas Shipholding Group (A) 727 27
Patriot Coal* (A) 2,234 19
Patterson-UTI Energy 6,332 79
Peabody Energy 10,474 245
PetroHawk Energy* 9,800 171
Pioneer Natural Resources 4,744 95
Plains Exploration & Production* 4,291 99
Pride International* 6,729 109
Quicksilver Resources* 2,802 17
Range Resources (A) 5,939 246
Rowan 3,686 64
SandRidge Energy* 3,500 31
Schlumberger 44,900 2,278
SEACOR Holdings* 600 40
Smith International (A) 8,331 244
Southern Union 3,768 52
Southwestern Energy* 12,976 446
Spectra Energy 24,109 392
St. Mary Land & Exploration 1,600 32
Sunoco 4,556 181
Superior Energy Services* 2,200 37
Teekay (A) 1,000 16
Tesoro (A) 3,846 35
Tetra Technologies* 2,000 10
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
28
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Tidewater 2,170 $ 86
Transocean* (A) 12,096 809
Unit* 1,527 44
Valero Energy 20,136 369
W&T Offshore 900 13
Walter Industries 1,600 29
Weatherford International* 26,000 332
Whiting Petroleum* 1,400 54
Williams 22,346 362
XTO Energy 20,888 799
-------------
45,013
-------------
FINANCIALS -- 13.6%
Affiliated Managers Group* (A) 1,233 35
Aflac 17,956 831
Alexandria Real Estate Equities+++ 900 40
Alleghany* 134 36
Allied Capital (A) 5,864 14
Allied World Assurance Holdings 1,500 53
Allstate 20,925 532
AMB Property+++ (A) 3,144 54
American Capital (A) 6,121 26
American Express 38,034 886
American Financial Group 2,414 49
American International Group (A) 90,476 182
American National Insurance 422 31
AmeriCredit* (A) 3,072 23
Ameriprise Financial 8,700 161
Annaly Capital Management+++ 20,611 296
AON 10,550 478
Apartment Investment & Management, Cl A+++ 2,981 34
Arch Capital Group* 1,500 102
Arthur J Gallagher (A) 3,704 92
Associated Banc (A) 4,184 91
Assurant 4,693 102
Astoria Financial 2,314 43
AvalonBay Communities+++ (A) 2,989 181
Axis Capital Holdings 5,800 147
Bancorpsouth (A) 2,700 60
Bank of America 188,606 3,065
Bank of Hawaii 1,982 88
Bank of New York Mellon 43,109 1,302
BB&T (A) 20,706 621
BlackRock, Cl A 685 86
BOK Financial 775 36
Boston Properties+++ 4,584 245
Brandywine Realty Trust+++ 2,500 12
BRE Properties+++ (A) 1,320 39
Brown & Brown (A) 3,724 74
Camden Property Trust+++ (A) 1,447 38
Capital One Financial (A) 14,225 489
CapitalSource+++ (A) 5,982 31
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Capitol Federal Financial (A) 527 $ 23
CB Richard Ellis Group, Cl A* 5,117 23
CBL & Associates Properties+++ 1,906 8
Charles Schwab 35,385 649
Chubb 13,818 710
Cincinnati Financial (A) 5,686 166
CIT Group (A) 9,024 30
Citigroup (A) 205,145 1,701
City National 1,338 59
CME Group, Cl A 2,574 545
CNA Financial 700 10
Comerica 5,953 134
Commerce Bancshares 2,494 109
Conseco* 5,277 18
Cullen/Frost Bankers 2,368 128
Developers Diversified Realty+++ (A) 3,953 19
Digital Realty Trust+++ 2,900 79
Discover Financial Services 18,589 190
Douglas Emmett+++ (A) 3,900 40
Duke Realty+++ 4,609 38
E*Trade Financial* (A) 11,438 15
Eaton Vance 3,310 63
Endurance Specialty Holdings (A) 1,400 38
Equity Residential+++ 10,387 316
Erie Indemnity, Cl A 1,119 42
Essex Property Trust+++ 869 75
Everest Re Group 2,400 188
Fannie Mae (A) 28,933 34
Federal Home Loan Mortgage (A) 17,707 21
Federal Realty Investment Trust+++ 2,296 133
Federated Investors, Cl B 3,658 73
Fidelity National Financial, Cl A 7,004 86
Fifth Third Bancorp (A) 19,582 187
First American 3,784 91
First Citizens BancShares, Cl A 200 28
First Horizon National (A) 6,110 65
Forest City Enterprises, Cl A 1,942 12
Franklin Resources 5,903 359
Fulton Financial (A) 5,795 64
General Growth Properties+++ (A) 6,040 8
Genworth Financial, Cl A 14,092 20
GLG Partners (A) 1,900 5
Goldman Sachs Group 14,875 1,175
Hanover Insurance Group 1,693 68
Hartford Financial Services Group 12,710 107
HCC Insurance Holdings 3,741 87
HCP+++ 9,774 202
Health Care+++ (A) 3,983 151
Hospitality Properties Trust+++ 2,466 28
Host Hotels & Resorts+++ (A) 20,500 154
HRPT Properties Trust+++ (A) 8,002 22
Hudson City Bancorp 19,828 331
Huntington Bancshares (A) 14,534 116
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
29
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund (Continued)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
IntercontinentalExchange* (A) 2,700 $ 199
Invesco 15,100 189
Investment Technology Group* 1,200 20
iStar Financial+++ (A) 3,295 4
Janus Capital Group 5,165 42
Jefferies Group (A) 4,214 52
Jones Lang LaSalle 800 19
JPMorgan Chase (A) 146,934 4,652
Keycorp 19,195 180
Kilroy Realty+++ 900 27
Kimco Realty+++ (A) 8,544 121
Lazard, Cl A 3,100 97
Legg Mason (A) 5,581 101
Leucadia National 7,020 137
Liberty Property Trust+++ 2,906 56
Lincoln National 10,288 141
Loews 12,036 330
M&T Bank 2,583 166
Macerich+++ 2,368 32
Mack-Cali Realty+++ 1,898 36
Markel* 350 108
Marsh & McLennan 19,465 496
Marshall & Ilsley (A) 10,160 157
MBIA (A) 6,359 37
Mercury General (A) 696 32
Merrill Lynch 57,849 765
MetLife (A) 16,609 478
MF Global* (A) 2,800 7
MGIC Investment 4,615 13
Moody's (A) 7,727 168
Morgan Stanley (A) 41,978 619
MSCI, Cl A* 1,300 20
NASDAQ OMX Group* (A) 5,400 116
National City (A) 79,576 160
Nationwide Financial Services, Cl A (A) 1,861 95
Nationwide Health Properties+++ 3,900 88
New York Community Bancorp (A) 13,372 174
Northern Trust 8,405 386
NYSE Euronext 10,200 243
Old Republic International (A) 7,690 79
OneBeacon Insurance Group, Cl A 1,100 12
PartnerRe 2,100 147
People's United Financial 13,334 254
Philadelphia Consolidated Holding* 2,248 138
Plum Creek Timber+++ 6,621 236
PNC Financial Services Group 13,103 692
Popular (A) 9,430 59
Principal Financial Group 10,218 141
Progressive 25,880 389
Prologis+++ (A) 7,988 31
Protective Life 1,809 17
Prudential Financial 16,563 359
Public Storage+++ 4,868 340
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Raymond James Financial (A) 3,021 $ 66
Rayonier+++ 2,503 84
Regency Centers+++ 2,208 79
Regions Financial 26,687 272
Reinsurance Group of America (A) 1,899 77
RenaissanceRe Holdings 2,400 113
SEI+ (B) 4,442 69
Simon Property Group+++ (A) 8,552 406
SL Green Realty+++ (A) 1,868 35
SLM* (A) 18,214 168
Sovereign Bancorp 11,858 29
St. Joe* (A) 3,761 99
StanCorp Financial Group 1,442 48
State Street (A) 16,194 682
Student Loan 102 4
SunTrust Banks 13,446 427
Synovus Financial (A) 9,072 76
T. Rowe Price Group (A) 9,980 341
Taubman Centers+++ 1,500 36
TCF Financial (A) 4,201 70
TD Ameritrade Holding* 9,645 128
TFS Financial 3,700 47
Torchmark (A) 3,550 128
Transatlantic Holdings 955 38
Travelers 22,844 997
Tree.com* 155 --
UDR+++ (A) 5,219 79
Unitrin 1,260 24
Unum Group 13,505 201
US Bancorp 65,543 1,768
Valley National Bancorp (A) 4,358 84
Ventas+++ 5,244 121
Vornado Realty Trust+++ (A) 5,210 279
Wachovia (A) 82,188 462
Waddell & Reed Financial, Cl A 2,900 39
Washington Federal (A) 3,063 52
Webster Financial 1,346 20
Weingarten Realty Investors+++ (A) 2,067 30
Wells Fargo (A) 124,086 3,585
Wesco Financial 41 12
White Mountains Insurance Group 347 94
Whitney Holding (A) 2,257 40
Wilmington Trust (A) 2,292 56
WR Berkley 5,614 160
XL Capital, Cl A (A) 10,300 52
Zions Bancorporation (A) 4,502 144
------
45,226
------
HEALTH CARE -- 13.7%
Abbott Laboratories (A) 58,076 3,043
Abraxis Bioscience* 140 8
Advanced Medical Optics* 1,627 9
Aetna 18,534 404
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
30
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Allergan 11,596 $ 437
AmerisourceBergen 6,262 196
Amgen* (A) 40,967 2,275
Amylin Pharmaceuticals* (A) 3,700 28
Barr Pharmaceuticals* 4,182 273
Baxter International 23,675 1,252
Beckman Coulter 2,012 88
Becton Dickinson 9,244 587
Biogen Idec* 11,000 465
BioMarin Pharmaceutical* (A) 3,000 51
Boston Scientific* 57,239 353
Bristol-Myers Squibb 74,613 1,545
Brookdale Senior Living (A) 1,200 5
C.R. Bard 3,785 311
Cardinal Health 13,629 443
Celgene* (A) 16,492 859
Cephalon* (A) 2,648 195
Cerner* (A) 2,174 78
Charles River Laboratories International* 2,043 47
Cigna 11,055 134
Community Health Systems* 2,762 36
Cooper 1,604 22
Covance* 2,536 99
Coventry Health Care* 4,862 61
Covidien 18,900 696
DaVita* 4,108 206
Dentsply International (A) 5,798 151
Edwards Lifesciences* 1,807 90
Eli Lilly 37,661 1,286
Endo Pharmaceuticals Holdings* 4,797 106
Express Scripts* 8,022 461
Forest Laboratories* 11,673 282
Genentech* 17,485 1,339
Gen-Probe* 1,727 64
Genzyme* 10,153 650
Gilead Sciences* 34,750 1,557
Health Management Associates, Cl A* 6,222 9
Health Net* 3,002 27
Henry Schein* 3,584 128
Hill-Rom Holdings (A) 1,724 35
HLTH* (A) 3,276 31
Hologic* (A) 10,000 141
Hospira* (A) 6,181 186
Humana* 6,575 199
Idexx Laboratories* (A) 1,952 60
Illumina* 3,900 86
IMS Health 5,861 77
Intuitive Surgical* (A) 1,500 199
Inverness Medical Innovations* 2,400 42
Johnson & Johnson 105,809 6,198
Kinetic Concepts* 2,413 52
King Pharmaceuticals* 8,226 79
Laboratory Corp of America Holdings* 4,311 273
Life Technologies* (A) 6,871 179
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
LifePoint Hospitals* 1,376 $ 28
Lincare Holdings* 2,327 56
McKesson 10,566 369
Medco Health Solutions* 19,120 803
Medtronic 42,385 1,294
Merck 80,740 2,157
Millipore* 1,786 90
Mylan Laboratories* (A) 9,919 93
Omnicare 4,231 102
Patterson* (A) 4,883 92
Pediatrix Medical Group* 1,400 44
PerkinElmer 4,834 87
Perrigo 3,100 107
Pfizer 254,255 4,177
Pharmaceutical Product Development 4,284 113
Quest Diagnostics 6,044 281
Resmed* 3,055 111
Schering-Plough 61,209 1,029
Sepracor* 2,861 34
St. Jude Medical* 12,946 363
Stryker 11,704 456
Techne 1,241 77
Teleflex 1,640 78
Tenet Healthcare* 15,994 19
Thermo Fisher Scientific* (A) 15,925 568
UnitedHealth Group 46,429 976
Universal Health Services, Cl B 1,588 59
Varian Medical Systems* 4,830 195
VCA Antech* 2,339 45
Vertex Pharmaceuticals* 5,900 145
Warner Chilcott, Cl A* 3,200 42
Waters* 3,872 160
Watson Pharmaceuticals* 3,318 79
WellCare Health Plans* 1,100 10
WellPoint* 19,931 710
Wyeth 50,240 1,809
Zimmer Holdings* 8,825 329
------
45,380
------
INDUSTRIALS -- 11.0%
3M 26,546 1,777
Aecom Technology* 3,300 87
AGCO* (A) 3,000 74
Alexander & Baldwin (A) 1,082 28
Alliant Techsystems* 1,336 110
Allied Waste Industries* 14,933 160
Ametek 4,147 145
AMR* (A) 11,186 98
Armstrong World Industries 700 12
Avery Dennison 4,210 131
Avis Budget Group* 2,784 2
BE Aerospace* 3,600 30
Boeing (A) 28,391 1,210
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
31
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund (Continued)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Brink's 1,300 $ 28
Bucyrus International, Cl A 2,400 47
Burlington Northern Santa Fe 10,598 812
C.H. Robinson Worldwide (A) 6,486 331
Carlisle 1,666 35
Caterpillar (A) 23,288 954
Cintas (A) 5,257 126
Continental Airlines, Cl B* (A) 3,800 56
Con-way 1,323 37
Cooper Industries, Cl A 6,800 164
Copa Holdings, Cl A (A) 1,100 24
Copart* 1,813 48
Corporate Executive Board 796 18
Corrections of America* 4,100 74
Covanta Holding* 4,000 80
Crane 1,500 22
CSX 15,332 571
Cummins 7,912 202
Danaher (A) 9,751 542
Deere 16,318 568
Delta Air Lines* (A) 23,200 205
Donaldson 2,472 85
Dover 7,357 219
Dun & Bradstreet 2,156 173
Eaton 6,326 293
Emerson Electric 29,520 1,060
Equifax 5,156 131
Expeditors International Washington 8,148 272
Fastenal (A) 5,062 195
FedEx 11,744 830
First Solar* (A) 1,700 212
Flowserve 2,300 116
Fluor 6,808 310
Foster Wheeler* 5,700 127
FTI Consulting* 2,000 110
Gardner Denver* 1,500 37
GATX 1,300 37
General Cable* (A) 1,300 21
General Dynamics 15,072 779
General Electric 374,323 6,427
Goodrich 4,892 165
Graco (A) 1,824 39
Harsco 2,770 70
Hertz Global Holdings* (A) 10,800 38
Honeywell International 28,090 783
Hubbell, Cl B 1,592 48
IDEX 2,793 64
Illinois Tool Works (A) 17,780 607
Ingersoll-Rand, Cl A 12,243 192
Iron Mountain* 7,063 154
ITT 7,002 293
Jacobs Engineering Group* 4,702 211
JB Hunt Transport Services (A) 2,672 72
John Bean Technologies 768 7
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Joy Global 3,433 $ 80
Kansas City Southern* 3,700 81
KBR 5,584 77
Kennametal 2,500 47
Kirby* 1,500 38
L-3 Communications Holdings 4,677 314
Landstar System (A) 2,165 69
Lennox International 1,600 44
Lincoln Electric Holdings 1,700 78
Lockheed Martin 12,429 958
Manitowoc 3,500 28
Manpower 3,184 100
Masco (A) 14,309 137
McDermott International* 7,000 68
Monster Worldwide* (A) 3,418 39
MSC Industrial Direct, Cl A (A) 1,520 53
Norfolk Southern 14,233 704
Northrop Grumman 12,978 532
Oshkosh Truck 1,959 14
Owens Corning* 2,700 43
Paccar 13,970 389
Pall 4,845 133
Parker Hannifin 6,404 263
Pentair 3,261 81
Pitney Bowes 8,085 200
Precision Castparts 5,346 335
Quanta Services* 6,800 111
Raytheon 15,968 779
Republic Services, Cl A 6,123 147
Robert Half International (A) 5,676 119
Rockwell Automation 5,704 178
Rockwell Collins 6,262 213
Roper Industries 3,500 160
RR Donnelley & Sons 8,477 108
Ryder System 2,306 83
Shaw Group* 2,300 42
Southwest Airlines 28,220 244
Spirit Aerosystems Holdings, Cl A* (A) 3,000 27
SPX 1,711 64
Steelcase, Cl A 2,475 16
Stericycle* 3,326 191
Sunpower, Cl A* (A) 2,700 94
Terex* 2,848 41
Textron 9,722 148
Thomas & Betts* 1,867 35
Timken 2,260 33
Toro (A) 1,060 30
Trinity Industries (A) 2,200 33
Tyco International 18,400 385
Union Pacific 19,516 976
United Parcel Service, Cl B (A) 25,741 1,483
United Rentals* 1,723 14
United Technologies 36,666 1,779
URS* 3,300 125
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
32
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
USG* 2,298 $ 22
UTi Worldwide 3,500 37
Valmont Industries 600 33
Waste Management (A) 18,594 543
WESCO International* 1,300 19
WW Grainger 2,981 210
------
36,412
------
INFORMATION TECHNOLOGY -- 15.1%
Accenture, Cl A 22,600 700
Activision Blizzard* 22,856 267
ADC Telecommunications* 2,967 21
Adobe Systems* 20,202 468
Advanced Micro Devices* (A) 19,934 47
Affiliated Computer Services, Cl A* (A) 3,547 143
Agilent Technologies* 14,064 265
Akamai Technologies* 5,618 69
Alliance Data Systems* 2,712 117
Altera (A) 11,673 172
Amdocs* 7,700 145
Amphenol, Cl A 6,892 160
Analog Devices 11,212 192
Ansys* 3,400 98
Apple* 33,123 3,069
Applied Materials 51,455 493
Arrow Electronics* 5,089 70
Atmel* 12,000 33
Autodesk* 8,737 145
Automatic Data Processing 19,592 804
Avnet* 4,910 70
AVX 1,424 12
BMC Software* 7,389 184
Broadcom, Cl A* 19,668 301
Broadridge Financial Solutions 5,873 67
Brocade Communications Systems* 9,800 32
CA 14,938 252
Cadence Design Systems* 6,863 27
Ciena* (A) 2,314 17
Cisco Systems* 222,027 3,672
Citrix Systems* 7,087 189
Cognizant Technology Solutions, Cl A* 11,188 215
CommScope* 1,900 22
Computer Sciences* 5,864 163
Compuware* 8,651 55
Convergys* 3,669 23
Corning 59,758 538
Cree* (A) 3,022 48
Cypress Semiconductor* (A) 4,200 16
Dell* 68,743 768
Diebold 2,729 76
Dolby Laboratories, Cl A* 1,743 52
DST Systems* (A) 1,395 53
eBay* 42,111 553
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
EchoStar, Cl A* 1,032 $ 18
Electronic Arts* 12,265 234
EMC* 78,164 826
Equinix* (A) 1,000 45
F5 Networks* 2,738 68
Factset Research Systems (A) 1,800 72
Fairchild Semiconductor International, Cl A* 3,400 13
Fidelity National Information Services 7,728 133
Fiserv* (A) 6,369 217
Flir Systems* (A) 5,400 167
Genpact* 1,400 11
Global Payments (A) 3,134 113
Google, Cl A* 8,944 2,620
Harris 5,289 185
Hewitt Associates, Cl A* 3,163 90
Hewlett-Packard 92,701 3,270
IAC* 3,232 48
Ingram Micro, Cl A* 5,423 58
Integrated Device Technology* 5,600 29
Intel 215,358 2,972
International Business Machines 51,598 4,210
International Rectifier* 1,755 20
Intersil, Cl A 3,261 29
Intuit* 12,286 272
Itron* (A) 1,000 47
Jabil Circuit 6,974 46
JDS Uniphase* (A) 7,340 20
Juniper Networks* 20,025 348
Kla-Tencor 6,709 126
Lam Research* (A) 3,991 81
Lender Processing Services 3,214 71
Lexmark International, Cl A* 3,586 94
Linear Technology (A) 8,657 173
LSI* 20,148 54
Marvell Technology Group* 19,300 112
Mastercard, Cl A (A) 2,800 407
McAfee* 5,873 178
MEMC Electronic Materials* 8,938 134
Metavante Technologies* 3,120 54
Mettler Toledo International* 1,336 110
Microchip Technology (A) 7,322 135
Micron Technology* 24,416 67
Microsoft (A) 301,500 6,096
Molex 4,470 61
Motorola 86,134 371
National Instruments 1,936 47
National Semiconductor 9,156 101
NCR* 6,689 102
NetApp* 13,355 180
NeuStar, Cl A* 2,700 52
Novell* 12,026 55
Novellus Systems* 2,877 36
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
33
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund (Continued)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Nuance Communications* (A) 7,700 $ 71
Nvidia* 21,656 162
ON Semiconductor* 11,900 35
Oracle* 146,467 2,357
Paychex (A) 12,407 351
QLogic* (A) 3,680 39
Qualcomm 60,950 2,046
Rambus* 2,500 26
Red Hat* (A) 7,827 72
SAIC* 7,300 130
Salesforce.com* (A) 4,138 118
SanDisk* (A) 6,443 52
Seagate Technology 15,000 63
Silicon Laboratories* 1,400 29
Sohu.com* (A) 1,000 48
Sun Microsystems* 31,469 100
Symantec* (A) 32,048 386
Synopsys* 4,682 75
Tech Data* 1,550 27
Tellabs* 11,889 50
Teradata* 6,789 91
Teradyne* 4,963 19
Texas Instruments 50,008 779
Total System Services 5,291 76
Trimble Navigation* 3,914 80
Tyco Electronics 18,300 302
Unisys* (A) 8,532 6
Varian Semiconductor Equipment
Associates* (A) 2,300 42
VeriSign* (A) 7,585 164
Visa, Cl A 16,900 888
Vishay Intertechnology* (A) 4,350 19
VMware, Cl A* (A) 1,100 21
WebMD Health, Cl A* 300 6
Western Digital* 8,830 108
Western Union 28,228 375
Xerox 34,651 242
Xilinx 10,857 178
Yahoo!* (A) 52,281 602
Zebra Technologies, Cl A* 1,825 39
-------------
50,235
-------------
MATERIALS -- 3.3%
Air Products & Chemicals 7,994 382
Airgas 3,315 119
AK Steel Holding 3,100 25
Albemarle 2,744 56
Alcoa (A) 31,202 336
Allegheny Technologies 4,097 94
Aptargroup 2,100 70
Ashland 2,176 21
Ball 3,875 141
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Bemis 3,974 $ 107
Cabot 2,273 47
Carpenter Technology 1,400 23
Celanese, Cl A 4,883 56
Century Aluminum* (A) 1,100 9
CF Industries Holdings 2,200 116
Chemtura 6,854 11
Cliffs Natural Resources 4,500 107
Commercial Metals 3,400 41
Crown Holdings* 6,451 104
Cytec Industries 1,581 35
Domtar* 13,137 18
Dow Chemical 35,270 654
E.I. Du Pont de Nemours 34,092 854
Eagle Materials (A) 1,300 27
Eastman Chemical 2,442 80
Ecolab 6,691 257
FMC 2,460 108
Freeport-McMoRan Copper & Gold,
Cl B (A) 14,612 351
Greif, Cl A 1,000 33
Huntsman 4,629 33
International Flavors & Fragrances 2,591 79
International Paper 16,555 206
Intrepid Potash* 1,300 25
Lubrizol 2,234 78
Martin Marietta Materials (A) 1,663 146
MeadWestvaco (A) 5,558 65
Monsanto 20,650 1,636
Mosaic 6,078 185
Nalco Holding (A) 4,117 47
Newmont Mining (A) 16,533 556
Nucor 12,090 431
Owens-Illinois* 6,591 133
Packaging of America 3,099 46
Pactiv* 5,183 130
PPG Industries 6,323 278
Praxair 11,825 698
Reliance Steel & Aluminum 1,800 37
Rohm & Haas 5,053 346
RPM International 4,169 50
Schnitzer Steel Industries, Cl A 400 11
Scotts Miracle-Gro, Cl A 1,806 58
Sealed Air 5,168 82
Sigma-Aldrich 4,948 213
Smurfit-Stone Container* 6,845 4
Sonoco Products 3,246 82
Southern Copper (A) 8,748 120
Steel Dynamics 5,300 44
Temple-Inland (A) 3,675 12
Terra Industries 3,000 44
Titanium Metals 3,358 28
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
34
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
United States Steel 4,683 $ 142
Valspar 3,364 66
Vulcan Materials (A) 4,257 255
Weyerhaeuser 8,078 304
-------------
10,952
-------------
TELECOMMUNICATION SERVICES -- 3.6%
American Tower, Cl A* 15,122 412
AT&T 223,133 6,373
CenturyTel (A) 4,201 112
Clearwire, Cl A* (A) 2,500 17
Crown Castle International* 11,096 156
Embarq 5,732 187
Frontier Communications (A) 12,955 113
Leap Wireless International* (A) 1,400 28
Level 3 Communications* (A) 48,900 46
MetroPCS Communications* 9,600 140
NII Holdings* 6,620 129
Qwest Communications International (A) 58,496 187
SBA Communications, Cl A* (A) 3,700 58
Sprint Nextel 106,744 298
Telephone & Data Systems 4,102 133
US Cellular* 431 17
Verizon Communications 107,115 3,497
Windstream 17,547 155
-------------
12,058
-------------
UTILITIES -- 4.6%
AES* (A) 26,024 200
AGL Resources 2,547 77
Allegheny Energy 6,466 228
Alliant Energy 4,376 139
Ameren 8,090 288
American Electric Power 15,250 477
American Water Works 1,900 38
Aqua America (A) 4,377 95
Atmos Energy 3,691 92
Calpine* (A) 14,000 125
Centerpoint Energy 12,815 166
CMS Energy (A) 7,542 77
Consolidated Edison (A) 10,416 421
Constellation Energy Group 6,958 170
Dominion Resources 21,912 807
DPL (A) 4,546 95
DTE Energy 6,264 233
Duke Energy (A) 47,919 746
Dynegy, Cl A* (A) 13,718 31
Edison International 12,379 414
Energen 2,337 72
Entergy 7,298 621
Equitable Resources 5,066 169
Shares/Face
Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Exelon 24,729 $ 1,390
FirstEnergy 11,581 678
FPL Group 15,473 755
Great Plains Energy 3,871 73
Hawaiian Electric Industries (A) 2,746 75
Integrys Energy Group 3,002 133
MDU Resources Group 7,221 147
Mirant* 7,361 127
National Fuel Gas 2,689 87
NiSource 10,821 130
Northeast Utilities 6,107 142
NRG Energy* (A) 9,100 216
NSTAR 4,228 150
NV Energy 7,700 73
OGE Energy 2,968 78
Oneok 4,129 121
Pepco Holdings 7,944 143
PG&E 13,618 518
Pinnacle West Capital 3,992 121
PPL 14,226 482
Progress Energy 9,961 395
Public Service Enterprise Group 19,252 595
Puget Energy 5,161 126
Questar 6,746 217
Reliant Energy* 11,659 67
SCANA 4,520 157
Sempra Energy 9,523 444
Southern 29,003 1,053
TECO Energy 6,900 90
UGI 3,550 83
Vectren 2,691 76
Wisconsin Energy (A) 4,549 198
Xcel Energy (A) 16,481 310
-------------
15,231
-------------
Total Common Stock
(Cost $363,784) ($ Thousands) 328,774
-------------
U.S. TREASURY OBLIGATION -- 0.2%
U.S. Treasury Bill
1.117%, 12/11/08 (C) (D) $ 533 533
-------------
Total U.S. Treasury Obligation
(Cost $533) ($ Thousands) 533
-------------
CASH EQUIVALENT -- 1.0%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 1.620%**+ 3,254,715 3,255
-------------
Total Cash Equivalent
(Cost $3,255) ($ Thousands) 3,255
-------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
35
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund (Concluded)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
AFFILIATED PARTNERSHIP -- 16.7%
SEI Liquidity Fund, L.P.,
1.630%**+ (E) 56,318,797 $ 55,498
-------------
Total Affiliated Partnership
(Cost $56,319) ($ Thousands) 55,498
-------------
Total Investments -- 116.9%
(Cost $423,891) ($ Thousands) $ 388,060
=============
A summary of the open futures contracts held by the Fund at November 30, 2008,
is as follows:
NUMBER OF UNREALIZED
TYPE OF CONTRACTS EXPIRATION DEPRECIATION
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- ------------------------ ------------ ---------- -------------
S&P 500 Index E-Mini 99 Dec-2008 $ (1,582)
S&P Mid 400 Index E-Mini 6 Dec-2008 (103)
-----------
$ (1,685)
===========
Percentages are based on a Net Assets of $331,978 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of November 30, 2008.
+ Investment in Affiliated Security (see Note 3).
+++ Real Estate Investment Trust
(A) This security or a partial position of this security is on loan at November
30, 2008. The total value of securities on loan at November 30, 2008 was
$54,604 ($ Thousands).
(B) The Fund may purchase securities of certain companies with which it is
affiliated to the extent these companies are represented in its benchmark
index.
(C) Zero coupon security. The rate reported is the effective yield at time of
purchase.
(D) Security, or portion thereof, has been pledged as collateral on open future
contracts..
(E) This security was purchased with cash collateral held from securities on
loan (see Note 9). The total value of this security as of November 30, 2008
was $55,498 ($ Thousands).
Cl -- Class
L.P. -- Limited Partnership
Ser -- Series
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
36
Small Cap Fund
November 30, 2008
SECTOR WEIGHTINGS++:
(BAR CHART)
Affiliated Partnership 20.9%
Financials 16.3%
Information Technology 14.7%
Industrials 11.3%
Health Care 10.4%
Consumer Discretionary 7.8%
Energy 4.3%
Cash Equivalents 3.9%
Materials 3.0%
Consumer Staples 2.7%
Utilities 2.4%
Telecommunication Services 1.2%
U.S. Treasury Obligation 0.9%
Exchange Traded Fund 0.2%
Warrants 0.0%
++ Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 9).
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
COMMON STOCK -- 94.0%
CONSUMER DISCRETIONARY -- 9.9%
1-800-FLOWERS.COM, Cl A* 44,200 $ 165
Aaron Rents 36,795 973
Abercrombie & Fitch, Cl A 42,226 816
Advance Auto Parts (A) 21,400 650
Aeropostale* (A) 16,350 247
American Axle & Manufacturing Holdings (A) 49,900 126
American Eagle Outfitters 31,800 305
American Greetings, Cl A 48,492 559
American Public Education* 6,900 273
Amerigon* (A) 100,459 375
Ameristar Casinos 42,608 326
AnnTaylor Stores* (A) 19,621 88
Arctic Cat 57,400 347
ArvinMeritor (A) 63,100 249
Autoliv 2,143 41
Bebe Stores 161,031 995
Belo, Cl A 202,548 391
Big 5 Sporting Goods 48,600 184
Big Lots* (A) 29,297 513
BJ's Restaurants* (A) 87,000 851
Blue Nile* (A) 11,400 272
Bluegreen* 9,299 29
Blyth 31,500 261
Bob Evans Farms (A) 19,500 327
Borders Group 14,808 16
Brink's Home Security Holdings* 34,400 688
Brown Shoe 96,974 547
Buckle (A) 12,600 238
Buffalo Wild Wings* 11,486 264
Callaway Golf (A) 56,390 568
Capella Education* (A) 19,910 1,192
Career Education* 50,042 925
Carrols Restaurant Group* 100,200 198
Carter's* 46,661 882
Casual Male Retail Group* (A) 718,900 460
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Cato, Cl A (A) 106,418 $ 1,486
CBRL Group (A) 42,389 819
CEC Entertainment* (A) 35,920 618
Centex (A) 46,100 422
Century Casinos* 126,270 116
Charlotte Russe Holding* 19,243 96
Charming Shoppes* (A) 167,554 251
Cheesecake Factory* (A) 74,900 545
Childrens Place Retail Stores* (A) 12,000 281
Chipotle Mexican Grill, Cl A* (A) 25,300 1,254
Christopher & Banks 59,546 201
Churchill Downs 1,100 39
Cinemark Holdings 28,755 217
CKE Restaurants 22,477 162
Columbia Sportswear (A) 16,500 521
Cooper Tire & Rubber (A) 59,757 286
Corinthian Colleges* (A) 121,400 1,952
Cox Radio, Cl A* (A) 10,900 63
CROCS* (A) 351,000 446
Deckers Outdoor* (A) 16,700 996
DeVry 8,043 462
Dick's Sporting Goods* (A) 68,851 868
Dollar Tree* 2,200 93
Domino's Pizza* 2,446 9
Dover Downs Gaming & Entertainment 29,350 106
DreamWorks Animation SKG, Cl A* 15,300 353
Dress Barn* 48,648 381
DSW, Cl A* (A) 144,541 1,453
Dufry South America (United Kingdom) 82,600 461
Eddie Bauer Holdings* (A) 249,300 234
Einstein Noah Restaurant Group* 15,700 78
Entercom Communications, Cl A (A) 42,221 46
Entravision Communications, Cl A* 3,242 2
Ethan Allen Interiors (A) 71,426 986
EW Scripps, Cl A (A) 35,066 103
Exide Technologies* (A) 51,332 231
FGX International Holdings* 11,900 122
Finish Line, Cl A 67,910 361
Focus Media Holding ADR* (A) 40,398 302
Foot Locker 38,840 261
Fred's, Cl A 1,129 13
Fuel Systems Solutions* (A) 15,140 524
Gaiam, Cl A* (A) 48,600 250
Genesco* 20,581 277
Genius Products* 379,930 19
Grand Canyon Education* 57,460 853
Group 1 Automotive (A) 20,700 217
Gymboree* 39,943 1,005
Harman International Industries 500 8
Harte-Hanks (A) 61,739 369
hhgregg* (A) 65,800 392
Hibbett Sports* (A) 39,825 567
Hillenbrand 5,861 93
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
37
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund (Continued)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Iconix Brand Group* 40,835 $ 346
Interactive Data 2,700 63
International Speedway, Cl A 23,100 599
ITT Educational Services* 1,971 178
J Crew Group* (A) 45,600 462
Jack in the Box* 45,900 803
Jackson Hewitt Tax Service 38,300 493
Jakks Pacific* 19,200 344
Jarden* (A) 120,966 1,510
Jo-Ann Stores* 34,990 486
Jones Apparel Group 25,159 129
Journal Communications, Cl A (A) 152,400 361
K12* (A) 12,118 221
Lakeland Industries* 85,100 601
Landry's Restaurants (A) 9,800 114
Leapfrog Enterprises, Cl A* (A) 74,779 325
Lennar, Cl A 49,600 353
Libbey 106,600 213
Life Time Fitness* 60,895 912
Lifetime Brands 161,300 573
Lin TV, Cl A* 11 --
Lincoln Educational Services* 3,700 51
Lions Gate Entertainment* 95,500 618
Live Nation* (A) 43,895 215
Lululemon Athletica* (A) 35,400 348
Marvel Entertainment* (A) 46,375 1,366
Matthews International, Cl A 7,800 318
McCormick & Schmick's Seafood Restaurants* 45,600 164
MDC Holdings 2,415 75
MDC Partners, Cl A* 448,120 1,317
Media General, Cl A (A) 25,529 49
Men's Wearhouse (A) 17,543 187
Meredith (A) 45,700 738
Modine Manufacturing (A) 37,100 178
Morningstar* (A) 23,779 766
National CineMedia 77,455 630
National Presto Industries 1,454 95
Nautilus* (A) 35,140 103
NetFlix* (A) 90,611 2,082
New Frontier Media 100,600 144
New York* 27,738 52
O'Charleys (A) 58,014 123
Office Depot* 229,000 451
OfficeMax (A) 212,400 1,158
Orbitz Worldwide* (A) 146,400 356
Pacific Sunwear of California* 27,200 41
Panera Bread, Cl A* (A) 14,440 642
Peet's Coffee & Tea* (A) 21,546 486
Penn National Gaming* 13,556 287
PF Chang's China Bistro* 6,433 121
Phillips-Van Heusen 11,514 201
Pinnacle Entertainment* 229,554 1,309
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Polaris Industries (A) 48,294 $ 1,318
Pre-Paid Legal Services* 192 8
Princeton Review* 156,900 814
Quiksilver* 114,400 160
RC2* 32,408 345
RCN* 7,400 52
Red Robin Gourmet Burgers* (A) 12,200 149
Regis 80,937 890
Rent-A-Center, Cl A* 106,973 1,755
Retail Ventures* (A) 242,167 300
RHI Entertainment* (A) 77,500 317
RRSat Global Communications Network 65,300 618
Ruby Tuesday* (A) 73,100 84
Ryland Group (A) 15,062 256
Scholastic (A) 61,521 939
Scientific Games, Cl A* (A) 43,091 647
Shoe Carnival* 24,000 225
Shutterfly* (A) 249,200 1,704
Sinclair Broadcast Group, Cl A (A) 84,500 267
Smith & Wesson Holding* 65,400 135
Snap-On 18,845 679
Sonic Automotive, Cl A (A) 68,900 222
Sotheby's 16,693 166
Stage Stores 103,930 601
Stamps.com* 22,125 196
Standard Pacific* 38,083 73
Starwood Hotels & Resorts Worldwide 71,500 1,206
Steinway Musical Instruments* 6,480 115
Steven Madden* 52,235 894
Stewart Enterprises, Cl A 41,204 131
Stoneridge* (A) 10,100 46
Strayer Education 2,800 671
Systemax 7,800 76
Tempur-Pedic International (A) 75,505 528
Texas Roadhouse, Cl A* 76,300 427
Thor Industries (A) 38,200 598
Thunderbird Resorts* (F) 143,900 360
Timberland, Cl A* 6,264 64
Tractor Supply* (A) 36,430 1,398
True Religion Apparel* (A) 80,405 1,012
Tuesday Morning 10,367 12
Tupperware Brands 17,100 336
Tween Brands* 34,665 133
Ulta Salon Cosmetics & Fragrance* 12,307 88
Under Armour, Cl A* 20,900 480
Unifirst 800 22
Universal Electronics* 9,213 153
Valassis Communications* 42,200 62
Volcom* 7,000 70
Warnaco Group* 18,800 336
Warner Music Group (A) 130,900 390
Westport Innovations* 83,300 330
Wet Seal, Cl A* 117,058 329
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
38
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Williams-Sonoma (A) 48,600 $ 341
WMS Industries* (A) 14,684 362
Wolverine World Wide 1,185 23
World Wrestling Entertainment, Cl A (A) 17,400 202
Zale* (A) 10,296 61
Zumiez* (A) 37,658 325
-------------
85,869
-------------
CONSUMER STAPLES -- 3.5%
Alliance One International* 488,200 1,514
American Oriental Bioengineering* (A) 27,700 157
Asiatic Development (Malaysia) 661,500 595
Bare Escentuals* (A) 60,300 285
BJ's Wholesale Club* (A) 5,000 179
Boston Beer, Cl A* (A) 32,410 1,039
Casey's General Stores 40,167 1,191
Central Garden and Pet, Cl A* 54,292 227
Central Garden and Pet* 38,023 160
Chattem* (A) 13,400 972
Chiquita Brands International* (A) 23,974 267
Constellation Brands, Cl A* (A) 47,000 600
Corn Products International 43,471 1,191
Cosan Industria e Comercio (Brazil)* 184,400 905
Darling International* 107,469 537
Dean Foods* 61,921 902
Del Monte Foods 226,299 1,340
Diamond Foods 8,162 247
Flowers Foods (A) 49,770 1,333
Fresh Del Monte Produce* 22,872 577
Green Mountain Coffee Roasters* 11,500 418
Hain Celestial Group* (A) 71,400 1,124
Heckmann* (A) 67,176 416
Lancaster Colony (A) 8,387 253
Lance 64,106 1,252
Molson Coors Brewing, Cl B 19,300 858
Nash Finch (A) 10,069 452
NBTY* 39,294 572
Pantry* (A) 17,083 330
Parlux Fragrances* 1,370 5
Prestige Brands Holdings* 25,947 203
Ralcorp Holdings* (A) 33,151 2,074
Ruddick 48,767 1,334
Sanderson Farms (A) 51,421 1,603
Smart Balance* 77,000 450
Spartan Stores (A) 22,552 535
SunOpta* 146,561 277
Synutra International* (A) 10,800 129
TreeHouse Foods* (A) 9,200 219
Tyson Foods, Cl A 110,619 742
Universal (A) 44,800 1,432
USANA Health Sciences* 3,300 100
Vector Group (A) 20,400 293
WD-40 186 5
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Weis Markets 5,700 $ 180
Whole Foods Market (A) 54,200 574
Zhongpin* (A) 4,200 37
-------------
30,085
-------------
ENERGY -- 5.4%
Allis-Chalmers Energy* (A) 34,700 219
Alon USA Energy (A) 26,200 257
Alpha Natural Resources* 14,220 316
American Oil & Gas* 62,800 60
Approach Resources* 119,800 1,041
Arena Resources* (A) 94,848 2,511
Arlington Tankers (A) 75,800 725
Atlas America (A) 26,430 396
ATP Oil & Gas* (A) 131,500 878
Atwood Oceanics* 45,600 825
Basic Energy Services* 4,713 54
Berry Petroleum, Cl A (A) 44,452 521
BP Prudhoe Bay Royalty Trust 1,200 85
BPZ Energy PIPE* 75,500 465
BPZ Resources* (A) 55,972 345
Brigham Exploration* 47,200 143
Bristow Group* 4,200 95
Bronco Drilling* 4,200 27
Cal Dive International* (A) 105,537 645
Callon Petroleum* 3,800 9
Cano Petroleum* (A) 141,700 82
CARBO Ceramics 5,800 278
Carrizo Oil & Gas* (A) 61,316 1,269
Cimarex Energy 23,100 655
Clayton Williams Energy* 10,983 504
Complete Production Services* 113,129 927
Comstock Resources* (A) 39,846 1,671
Concho Resources* 8,265 195
Continental Resources* 2,100 41
Dawson Geophysical* 467 10
Delek US Holdings 132,800 730
Delta Petroleum* (A) 22,200 127
Denbury Resources* 13,500 129
DHT Maritime 95,100 509
Dresser-Rand Group* 63,809 1,066
Edge Petroleum* 5,341 1
Encore Acquisition* 12,723 336
Endeavour International* 66,400 42
Energy Partners* 273,191 923
Energy XXI Bermuda 42,476 47
EXCO Resources* 145,618 1,117
Exterran Holdings* 12,257 215
Foundation Coal Holdings 1,500 21
Geokinetics* 33,500 125
GeoMet* 302,200 620
Global Industries* (A) 86,200 254
GMX Resources* (A) 25,398 730
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
39
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund (Continued)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Goodrich Petroleum* (A) 34,825 $ 1,256
Gran Tierra Energy* 14,234 39
Grey Wolf* (A) 209,943 1,150
Gulf Island Fabrication 11,400 164
Gulfport Energy* 20,900 103
Helmerich & Payne 14,485 367
Hercules Offshore* (A) 228,200 1,328
Holly 84,600 1,539
Hornbeck Offshore Services* 12,712 215
Infinity Bio-Energy* 631,219 253
ION Geophysical* (A) 112,546 338
James River Coal* (A) 28,600 325
Kodiak Oil & Gas* 282,100 135
Lufkin Industries (A) 6,300 311
Mahalo Energy* 266,500 34
Mariner Energy* 10,404 114
Matrix Service* 25,260 193
McMoRan Exploration* 45,355 510
Meridian Resource* 63,900 60
Mitcham Industries* 8,700 37
Natural Gas Services Group* 16,700 172
Newfield Exploration* 4,905 111
North American Energy Partners* 4,878 14
Oil Sands Quest* (A) 104,800 115
Oil Sands Quest PIPE* 74,000 81
Oil States International* 12,300 263
Omni Energy Services* 16,414 29
Overseas Shipholding Group (A) 16,200 600
Parker Drilling* (A) 109,300 334
Patterson-UTI Energy 5,000 62
Penn Virginia GP Holdings 2,800 32
PetroHawk Energy* 88,194 1,541
Petroquest Energy* 10,400 73
Pioneer Drilling* 9,917 73
Quicksilver Resources* 173,725 1,082
Rentech* (A) 446,300 286
Rex Energy* 12,411 76
Rosetta Resources* 49,100 370
RPC (A) 52,700 453
SEACOR Holdings* (A) 9,400 622
Smith International 383 11
Southern Union 61,100 840
St. Mary Land & Exploration 33,092 665
StealthGas (A) 107,400 430
Stone Energy* 33,021 549
Superior Energy Services* 37,090 625
Swift Energy* (A) 81,552 1,743
T-3 Energy Services, Cl 3* 7,186 94
Tesco ADR* 19,700 136
Tesoro (A) 24,200 222
Tetra Technologies* 81,900 395
TXCO Resources* 5,200 16
Uranium One (Canada)* 40,075 42
Vaalco Energy* 49,652 313
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
W&T Offshore 2,257 $ 32
Warren Resources* 20,800 69
Westmoreland Coal* 6,200 59
Whiting Petroleum* 19,379 742
Willbros Group* (A) 112,064 927
World Fuel Services 39,820 1,445
-------------
46,456
-------------
FINANCIALS -- 20.6%
Advance America Cash Advance Centers 83,163 142
Advanta, Cl B 33,450 99
Affiliated Managers Group* (A) 26,600 745
Alexander's+++ 899 191
Alexandria Real Estate Equities+++ (A) 5,483 243
AMB Property+++ (A) 30,500 525
AMBAC Financial Group 22,593 32
American Equity Investment Life Holding (A) 64,492 401
American Financial Group 19,520 400
Amerisafe* 9,357 152
Amtrust Financial Services (A) 68,610 613
Anchor Bancorp Wisconsin 13,500 40
Anthracite Capital+++ (A) 77,200 233
Anworth Mortgage Asset+++ (A) 386,244 2,445
Apartment Investment & Management, Cl A+++ 66,300 760
Apollo Investments* 29,000 246
Ares Capital 52,833 263
Aspen Insurance Holdings 114,050 2,102
Associated Estates Realty+++ 31,850 279
Assured Guaranty 37,700 424
Astoria Financial (A) 94,500 1,744
AvalonBay Communities+++ (A) 24,800 1,505
Bancfirst 2,060 91
Banco Latinoamericano de Exportaciones, Cl E 51,400 651
Bancorp Rhode Island 5,800 132
Bancorpsouth (A) 34,485 767
Bank Mutual (A) 56,171 576
Bank of the Ozarks (A) 23,239 633
BankFinancial 5,500 60
Berkshire Hills Bancorp (A) 37,900 1,099
BGC Partners, Cl A (A) 53,991 205
BioMed Realty Trust+++ 12,648 118
Boston Private Financial Holdings (A) 23,114 160
Boston Properties+++ (A) 55,300 2,953
Brandywine Realty Trust+++ 28,800 142
Brasil Brokers Participacoes* 328,600 224
Calamos Asset Management, Cl A 28,324 115
Camden Property Trust+++ (A) 43,700 1,157
Canaccord Capital 49,200 164
CapitalSource+++ 131,655 686
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
40
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Capitol Federal Financial 18,295 $ 782
CAPLEASE INC+++ 59,800 125
Capstead Mortgage+++ (A) 197,548 2,072
Cardinal Financial 83,507 443
Cardtronics* 100,230 134
Cash America International 15,155 409
Cathay General Bancorp (A) 10,300 211
CBL & Associates Properties+++ (A) 42,047 171
Cedar Shopping Centers+++ (A) 53,100 250
Center Financial 8,824 62
Central Pacific Financial (A) 70,297 900
Chemical Financial (A) 26,448 654
CIT Group 81,800 273
Citizens Republic Bancorp (A) 36,000 85
City Holding (A) 10,745 381
CME Group, Cl A 34 7
CNA Surety* (A) 50,736 614
CoBiz Financial (A) 8,100 89
Cohen & Steers 17,100 196
Colonial BancGroup 20,600 52
Columbia Banking System 23,373 235
Commerce Bancshares (A) 11,948 523
Community Bank System 30,392 701
Community Trust Bancorp 3,000 98
Companhia Brasileira de Desenvolvimento
Imobiliario Turistico (Brazil)* 3,800 831
Compass Diversified Holdings 6,970 70
Corporate Office Properties Trust+++ 49,300 1,465
Cousins Properties+++ (A) 36,300 391
Crawford, Cl B* 9,924 112
CVB Financial (A) 44,200 496
Danvers Bancorp 57,200 729
Delphi Financial Group, Cl A 25,974 314
Dime Community Bancshares 39,532 533
Dollar Financial* (A) 91,400 693
Douglas Emmett+++ (A) 93,300 952
East West Bancorp 24,100 357
Education Realty Trust+++ 65,008 291
eHealth* 14,000 154
EMC Insurance Group 3,671 91
Employers Holdings 57,266 933
Encore Bancshares* 24,420 352
Endurance Specialty Holdings (A) 33,556 903
Enstar Group* (A) 2,800 133
Entertainment Properties Trust+++ (A) 22,380 549
Equity Lifestyle Properties+++ 8,157 282
Equity One+++ (A) 43,681 723
Equity Residential+++ (A) 65,700 1,999
ESSA Bancorp 35,715 481
Essex Property Trust+++ (A) 13,200 1,141
Evercore Partners, Cl A 53,800 539
Extra Space Storage+++ (A) 87,700 776
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Ezcorp, Cl A* 17,135 $ 283
FBL Financial Group, Cl A 32,400 368
FCStone Group* 107,474 365
Federal Realty Investment Trust+++ (A) 38,200 2,210
Federated Investors, Cl B (A) 29,193 579
Financial Federal (A) 36,500 701
First American 50,400 1,211
First Cash Financial Services* 12,077 186
First Commonwealth Financial 20,604 247
First Financial Bancorp (A) 80,733 1,009
First Financial Bankshares (A) 9,430 493
First Financial Holdings 5,900 131
First Horizon National (A) 100,284 1,072
First Merchants (A) 9,500 192
First Midwest Bancorp (A) 33,117 610
First Niagara Financial Group (A) 98,800 1,532
First Potomac Realty Trust+++ 26,821 215
FirstFed Financial* (A) 60,200 227
FirstMerit (A) 67,289 1,480
Flagstar Bancorp (A) 82,300 58
Flushing Financial 20,771 284
FNB (Pennsylvania) 24,042 297
Forestar Group* 53,600 248
Fpic Insurance Group* (A) 25,742 1,193
Frontier Financial 47,936 137
Fulton Financial (A) 58,829 654
General Shopping Brasil (Brazil)* 296,900 558
Getty Realty+++ 3,968 74
GFI Group 220 1
Glacier Bancorp 45,800 814
Gladstone Capital 12,282 74
Gluskin Sheff + Associates (Canada) 55,800 270
Great Southern Bancorp (A) 6,800 53
Greenhill (A) 11,800 804
Grubb & Ellis (A) 348,660 464
Hallmark Financial Services* 14,135 87
Hancock Holding (A) 25,971 1,120
Hanmi Financial (A) 30,000 71
Hanover Insurance Group 49,514 1,996
Harleysville Group 8,490 320
Hatteras Financial+++ (A) 86,400 2,227
HCP+++ (A) 58,500 1,209
Health Care REIT+++ (A) 6,375 242
Healthcare Realty Trust+++ (A) 5,255 101
Hercules Technology Growth Capital 127,576 823
Hersha Hospitality Trust+++ 334,400 1,177
Highbury Financial* (A) 145,700 291
Highwoods Properties+++ 27,350 653
Home Bancshares (A) 4,300 114
Home Federal Bancorp 28,400 298
Horace Mann Educators 31,374 267
Horizon Financial 400 1
HRPT Properties Trust+++ (A) 172,600 476
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
41
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund (Continued)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Independent Bank 2,234 $ 53
Infinity Property & Casualty 21,329 979
Inland Real Estate+++ 27,800 311
Interactive Brokers Group, Cl A* 13,200 241
IntercontinentalExchange* 1,600 118
International Bancshares 15,215 358
Investment Technology Group* (A) 19,211 321
Investors Bancorp* 25,800 361
Investors Real Estate Trust+++ (A) 67,200 661
IPC Holdings 31,176 873
Irwin Financial (A) 47,500 90
Jefferies Group (A) 60,800 756
Jones Lang LaSalle 19,610 467
Kansas City Life Insurance (A) 12,331 565
KBW* (A) 38,889 883
Kite Realty Group Trust+++ 12,900 50
Knight Capital Group, Cl A* (A) 51,885 859
LaBranche* 26,100 128
LandAmerica Financial Group, Cl A 3,200 --
LaSalle Hotel Properties+++ 22,900 202
Lexington Realty Trust+++ (A) 57,600 279
Life Partners Holdings 900 32
LTC Properties+++ 39,228 764
Macerich+++ (A) 84,000 1,131
MainSource Financial Group (A) 32,600 508
MarketAxess Holdings* 137,350 879
Max Capital Group 30,100 348
Meadowbrook Insurance Group 259,500 1,456
Medical Properties Trust+++ (A) 56,700 353
Meruelo Maddux Properties* 486,900 229
MFA Mortgage Investments+++ 723,624 4,479
MGIC Investment 16,800 46
Mid-America Apartment Communities+++ 27,202 1,007
Midwest Banc Holdings 11,753 21
Montpelier Re Holdings (A) 54,600 752
MSCI, Cl A* 120,282 1,856
National Health Investors+++ 6,643 150
National Interstate 3,656 61
National Penn Bancshares 20,549 316
National Retail Properties+++ (A) 14,459 194
Nationwide Health Properties+++ 40,512 917
Navigators Group* (A) 30,349 1,648
NBT Bancorp 34,954 927
Nelnet, Cl A (A) 120,619 1,588
New York Community Bancorp 15,600 204
NewAlliance Bancshares 54,084 745
NorthStar Realty Finance+++ (A) 20,909 71
NYSE Euronext 3,600 86
OceanFirst Financial 21,260 317
Odyssey Re Holdings 16,881 760
Old National Bancorp (A) 69,369 1,192
Omega Healthcare Investors+++ 17,904 237
One Liberty Properties+++ 13,400 130
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
optionsXpress Holdings 63,873 $ 900
Oriental Financial Group 33,900 213
Pacific Capital Bancorp 4,900 77
PacWest Bancorp (A) 78,703 2,094
Pennsylvania Commerce Bancorp* 1,400 38
Pennsylvania Real Estate Investment
Trust+++ (A) 41,400 186
Penson Worldwide* 19,670 130
Peoples Bancorp (A) 5,700 99
PHH* (A) 120,798 920
Philadelphia Consolidated Holding* 2,700 166
Pico Holdings* 13,358 303
Platinum Underwriters Holdings (A) 92,464 2,841
PMA Capital, Cl A* 31,919 161
Portfolio Recovery Associates* 2,721 92
Post Properties+++ (A) 72,900 1,143
Potlatch+++ 6,873 183
Presidential Life 38,700 416
ProAssurance* 23,733 1,296
Prologis+++ (A) 87,100 334
Prospect Capital 1,500 19
Prosperity Bancshares (A) 37,788 1,247
Provident Bankshares (A) 74,000 697
Provident Financial Services 3,358 50
Provident New York Bancorp 11,900 145
PS Business Parks+++ 19,195 915
Public Storage+++ 29,324 2,049
RAIT Financial Trust+++ (A) 45,800 109
RAM Holdings* (A) 74,300 25
Rayonier+++ 8,100 271
Realty Income+++ (A) 34,511 697
Reinsurance Group of America (A) 13,124 533
RenaissanceRe Holdings 17,500 825
Renasant 29,800 577
Republic Bancorp, Cl A (A) 19,100 423
Riskmetrics Group* (A) 65,240 975
RLI (A) 13,752 802
S&T Bancorp (A) 15,300 520
Safety Insurance Group (A) 25,101 881
Sanders Morris Harris Group 17,122 90
Sandy Spring Bancorp (A) 8,500 166
Santander BanCorp (A) 63,800 630
SCBT Financial (A) 5,435 185
SeaBright Insurance Holdings* 44,236 467
Selective Insurance Group (A) 60,141 1,381
Senior Housing Properties Trust+++ (A) 13,040 182
Sierra Bancorp (A) 4,600 93
Signature Bank NY* (A) 37,205 1,109
Simon Property Group+++ (A) 33,600 1,596
SL Green Realty+++ (A) 63,400 1,202
Smithtown Bancorp (A) 2,500 50
South Financial Group (A) 57,506 248
Southside Bancshares 11,070 246
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
42
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Southwest Bancorp 7,402 $ 106
Sovran Self Storage+++ 1,100 30
State Bancorp 2,600 31
StellarOne 9,544 157
Sterling Bancshares (A) 26,919 180
Sterling Financial (A) 70,500 375
Stewart Information Services (A) 50,800 594
Stifel Financial* (A) 23,340 1,004
Strategic Hotels & Resorts+++ (A) 105,700 106
Student Loan 8,500 322
Sun Bancorp* 4,800 38
Sun Communities+++ 75,900 831
Sunstone Hotel Investors+++ (A) 65,300 312
Superior Bancorp* (A) 10,645 51
Susquehanna Bancshares (A) 15,628 239
SVB Financial Group* (A) 37,237 1,491
SWS Group 67,669 989
Tanger Factory Outlet Centers+++ 6,332 232
Taubman Centers+++ (A) 38,400 915
TCF Financial (A) 55,347 924
TD Ameritrade Holding* 27,331 363
Titanium Asset* 132,700 697
Tompkins Financial 5,846 321
Tower Group 3,688 84
TradeStation Group* 92,800 651
Trico Bancshares 6,300 150
Trustco Bank (A) 124,267 1,316
Trustmark (A) 5,768 115
UCBH Holdings (A) 393,469 1,826
UMB Financial 11,900 569
Umpqua Holdings (A) 19,142 253
United Bankshares (A) 32,177 1,070
United Community Banks 25,300 333
United Financial Bancorp 68,136 898
Universal Health Realty Income Trust+++ 743 23
Uranium Participation* 157,000 935
U-Store-It Trust+++ 59,300 326
Validus Holdings 37,400 869
Value Creation* (F) (G) (H) 100,165 677
Ventas+++ 65,800 1,512
Victory Acquisition* 50,050 474
ViewPoint Financial Group 21,300 341
Vornado Realty Trust+++ (A) 35,100 1,876
Washington Federal (A) 18,381 310
Washington Real Estate Investment
Trust+++ (A) 40,550 1,073
Webster Financial (A) 16,000 240
WesBanco 16,800 434
Westamerica Bancorporation (A) 24,990 1,329
Westfield Financial 76,700 792
Whitney Holding (A) 31,900 559
Willis Group Holdings 12,662 292
Wilshire Bancorp (A) 42,700 293
Wintrust Financial (A) 10,922 225
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
World Acceptance* (A) 63,837 $ 1,249
WR Berkley 20,900 594
WSFS Financial 19,080 835
Zenith National Insurance 58,509 1,930
Zions Bancorporation (A) 18,526 591
-------------
178,149
-------------
HEALTH CARE -- 13.2%
3SBio ADR* 84,100 503
Abaxis* (A) 53,350 707
Abiomed* (A) 69,400 974
Accelrys* 101,700 397
Achillion Pharmaceuticals* 77,080 88
Acorda Therapeutics* 66,718 1,209
Advanced Medical Optics* (A) 81,100 471
Affymax* (A) 9,500 111
Affymetrix* 25,326 69
Albany Molecular Research* 34,119 324
Alexion Pharmaceuticals* (A) 54,092 1,821
Align Technology* 12,839 90
Alkermes* 112,879 833
Allos Therapeutics* 6,835 49
Allscripts-Misys Healthcare Solutions 11,400 88
Alnylam Pharmaceuticals* (A) 23,413 427
AMAG Pharmaceuticals* (A) 11,402 384
Amedisys* (A) 12,076 470
American Medical Systems Holdings* (A) 46,504 409
AMERIGROUP* (A) 21,781 535
AMN Healthcare Services* 104,635 933
Amsurg, Cl A* (A) 93,206 1,858
Analogic 3,856 151
Angiodynamics* 23,960 286
Arena Pharmaceuticals* (A) 167,900 648
Ariad Pharmaceuticals* (A) 246,937 328
Array Biopharma* (A) 81,268 307
Assisted Living Concepts, Cl A* 26,644 124
athenahealth* 20,215 552
Biogen Idec* 5,400 229
BioMarin Pharmaceutical* 69,784 1,188
Bio-Rad Laboratories, Cl A* 5,739 426
Bio-Reference Labs* 2,914 65
Bruker* 88,600 416
Cambrex* (A) 191,503 666
Cantel Medical* 4,100 39
Capital Senior Living* 3,394 9
Caraco Pharmaceutical Laboratories* 6,050 26
Cardiac Science* 8,100 53
Cardiome Pharma* 164,000 695
CardioNet* 9,500 189
Catalyst Health Solutions* 62,127 1,398
Celera* 23,800 232
Centene* (A) 74,479 1,378
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
43
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund (Continued)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Cepheid* 46,786 $ 635
Charles River Laboratories International* 19,200 438
Chemed 32,548 1,327
Columbia Laboratories* 16,654 28
Community Health Systems* 30,800 402
Computer Programs & Systems 700 19
Conmed* 75,943 1,785
Cooper 108,866 1,459
Covance* 5,900 231
Cross Country Healthcare* 96,808 843
CryoLife* 11,389 104
Cubist Pharmaceuticals* (A) 146,972 3,610
CV Therapeutics* (A) 236,678 2,144
Cyberonics* (A) 76,170 1,046
Cynosure, Cl A* 10,000 92
Cypress Bioscience* (A) 119,389 640
Datascope 5,796 303
Depomed* 1,658 3
Dionex* 486 25
Discovery Laboratories* (A) 57,200 57
Durect* 261,701 1,099
Eclipsys* 1,996 26
Edwards Lifesciences* 10,015 498
Emergency Medical Services, Cl A* (A) 21,908 743
Emergent Biosolutions* (A) 12,200 276
Endo Pharmaceuticals Holdings* 10,890 240
Enzo Biochem* 29,372 149
eResearch Technology* 76,165 430
ev3* 74,311 372
Genoptix* 4,535 144
Gen-Probe* 9,800 361
Gentiva Health Services* 30,673 774
Greatbatch* 25,700 649
GTx* (A) 12,800 189
Haemonetics* (A) 9,820 562
Halozyme Therapeutics* 75,600 281
Hanger Orthopedic Group* 40,565 651
Hansen Medical* 35,685 328
Health Net* 43,700 394
Healthsouth* 13,468 133
Healthspring* (A) 51,607 753
Healthways* 24,135 195
HMS Holdings* 10,200 301
Hologic* 50,750 714
Human Genome Sciences* (A) 175,900 304
ICU Medical* 22,000 666
Idexx Laboratories* 14,500 448
I-Flow* 71,360 284
Illumina* 18,000 396
Immucor* 114,050 2,768
Incyte* (A) 184,600 617
Indevus Pharmaceuticals* 341,041 853
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Integra LifeSciences Holdings* (A) 17,387 $ 548
InterMune* (A) 18,300 211
Intuitive Surgical* 800 106
Invacare 29,640 438
IPC The Hospitalist* 36,691 640
Isis Pharmaceuticals* (A) 49,279 565
Kendle International* 18,384 376
Kindred Healthcare* 64,278 690
Kinetic Concepts* (A) 14,300 309
King Pharmaceuticals* 20,166 194
KV Pharmaceutical, Cl A* 1,750 8
Laboratory Corp of America Holdings* 1,600 101
LCA-Vision (A) 42,200 167
LHC Group* 56,580 1,889
Life Sciences Research* 58,547 576
Life Technologies* 2,100 55
LifePoint Hospitals* (A) 55,895 1,121
Lincare Holdings* 9,700 232
Luminex* (A) 17,243 380
Magellan Health Services* 40,941 1,345
MannKind* 18,840 59
Martek Biosciences (A) 44,634 1,248
Masimo* 23,265 635
Medarex* (A) 545,769 2,756
Medical Staffing Network Holdings* 66,600 41
Medicines* 67,449 869
Medicis Pharmaceutical, Cl A 130,532 1,596
Mentor 9,300 150
Meridian Bioscience 19,700 469
Merit Medical Systems* 53,351 774
Metabolix* (A) 100,400 702
Micrus Endovascular* (A) 80,510 853
Molina Healthcare* 8,917 211
Momenta Pharmaceuticals* (A) 50,485 449
MWI Veterinary Supply* 19,996 499
Myriad Genetics* (A) 29,225 1,732
National Dentex* 15,600 76
Natus Medical* 4,000 51
Nighthawk Radiology Holdings* 40,381 117
NovaMed* 72,024 257
Noven Pharmaceuticals* 26,800 307
NPS Pharmaceuticals* 25,477 156
NuVasive* (A) 38,267 1,318
Odyssey HealthCare* 87,500 715
Omnicell* 61,799 701
Omrix Biopharmaceuticals* (A) 25,285 629
Onyx Pharmaceuticals* 9,411 264
Optimer Pharmaceuticals* (A) 30,754 245
Orthofix International* 28,855 345
OSI Pharmaceuticals* 29,267 1,089
Owens & Minor 19,575 813
Palomar Medical Technologies* 17,109 155
Par Pharmaceutical* 40,270 470
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
44
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Parexel International* 63,015 $ 524
Patterson* 14,337 270
PDL BioPharma 82,250 788
Pediatrix Medical Group* (A) 65,227 2,030
Perrigo (A) 44,816 1,542
Pharmacopeia* 64,529 64
PharmaNet Development Group* 26,809 32
PharMerica* (A) 62,810 1,044
Phase Forward* 60,645 841
Pozen* 208,537 1,420
Profarma Distribuidora de Produtos
Farmaceuticos (Brazil) 141,950 419
Providence Service* 90,700 149
PSS World Medical* 1,221 21
Psychiatric Solutions* (A) 81,194 2,054
Questcor Pharmaceuticals* 11,970 102
Quidel* 52,593 717
Regeneron Pharmaceuticals* 23,999 371
RehabCare Group* 4,354 63
Res-Care* 87,170 1,138
Resmed* 16,241 590
Rigel Pharmaceuticals* (A) 85,600 635
Salix Pharmaceuticals* 46,266 375
Seattle Genetics* 18,828 163
Sirona Dental Systems* (A) 44,099 528
Skilled Healthcare Group, Cl A* 17,200 186
Somanetics* 19,886 349
SonoSite* 2,957 54
STERIS (A) 66,001 1,825
Sun Healthcare Group* 114,140 1,144
Symmetry Medical* 46,186 414
Techne 4,000 248
Teleflex 15,298 725
Theravance* (A) 94,670 632
Thoratec* 31,740 794
TomoTherapy* 77,640 179
TranS1* (A) 21,800 162
United Therapeutics* 20,875 1,145
Valeant Pharmaceuticals International* 13,182 257
Varian* 36,071 1,320
Viropharma* (A) 95,775 1,082
Vivus* (A) 13,175 78
Volcano* (A) 49,185 803
West Pharmaceutical Services (A) 11,630 413
Wright Medical Group* (A) 16,965 288
XenoPort* 32,457 1,020
Zoll Medical* 6,200 110
-------------
113,754
-------------
INDUSTRIALS -- 14.4%
AAON 13,469 257
ABM Industries 34,700 585
Actuant, Cl A 19,680 353
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Acuity Brands (A) 39,852 $ 1,075
Administaff 6,815 116
Aegean Marine Petroleum Network (A) 170,823 2,074
AerCap Holdings* 142,200 658
Aerovironment* 9,262 298
Airtran Holdings* 68,200 232
Allen-Vanguard* 572,000 46
Altra Holdings* 34,200 263
American Ecology 5,081 90
American Woodmark 8,700 143
Ampco-Pittsburgh 12,900 215
AO Smith (A) 30,660 1,004
Apogee Enterprises 42,802 334
Applied Industrial Technologies 14,900 284
Applied Signal Technology 13,300 209
Arkansas Best (A) 33,826 898
Armstrong World Industries 5,318 90
Astec Industries* (A) 24,600 744
ATC Technology* 28,588 494
Axsys Technologies* 8,645 603
AZZ* 2,800 67
Baldor Electric 2,300 38
Barnes Group 43,890 588
BE Aerospace* 119,010 973
Beacon Roofing Supply* (A) 62,416 738
Belden (A) 49,033 854
Bowne 36,300 129
Brady, Cl A 25,605 529
Briggs & Stratton 34,115 480
Brink's (A) 36,100 786
Bucyrus International, Cl A 27,435 536
C.H. Robinson Worldwide 2,900 148
Canadian Solar* (A) 77,000 428
CBIZ* 5,450 44
CDI 2,261 23
Celadon Group* 39,596 305
Ceradyne* 9,168 241
Chart Industries* (A) 48,476 463
China Fire & Security Group* (A) 23,200 160
CIRCOR International 16,081 351
Clarcor 19,540 627
Clean Harbors* 2,006 127
Columbus McKinnon* 14,266 167
Comfort Systems USA (A) 101,800 850
Consolidated Graphics* 15,108 217
Continental Airlines, Cl B* 29,203 429
Con-way (A) 30,100 842
Copa Holdings, Cl A 32,884 729
Corrections of America* 50,833 920
CoStar Group* (A) 49,162 1,604
Courier 18,794 343
CRA International* 35,339 1,026
Crane 76,566 1,135
Cubic 55,800 1,475
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
45
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund (Continued)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Curtiss-Wright 17,981 $ 601
Danaos (A) 25,700 137
Deluxe (A) 90,854 956
Diamond Management & Technology
Consultants, Cl A 69,900 310
Diana Shipping* 15,000 133
Donaldson 12,760 437
Duff & Phelps, Cl A* 8,500 98
Dycom Industries* 51,472 306
Dynamic Materials (A) 49,300 784
EMCOR Group* (A) 84,976 1,340
Energy Conversion Devices* (A) 24,255 679
Energy Recovery* (A) 42,500 298
EnergySolutions 101,962 465
Ennis 16,621 169
EnPro Industries* (A) 54,570 1,019
ESCO Technologies* (A) 15,800 483
Esterline Technologies* 2,616 97
Evergreen Solar* (A) 281,100 767
Expeditors International Washington 35,600 1,190
Fastenal 5,400 208
Federal Signal 46,301 325
Force Protection* 180,700 719
Forward Air 20,795 481
FTI Consulting* 19,172 1,051
Fuel Tech* (A) 72,400 640
G&K Services, Cl A 22,215 520
Gardner Denver* 42,482 1,051
GATX 9,400 265
Genco Shipping & Trading (A) 11,200 102
GenCorp* 15,600 45
General Cable* 19,100 315
Genesee & Wyoming, Cl A* (A) 50,577 1,536
Geo Group* (A) 133,879 2,584
GeoEye* (A) 34,000 680
Gibraltar Industries 29,256 377
GrafTech International* 126,882 849
Graham 8,106 74
Granite Construction (A) 59,100 2,535
Griffon* 12,200 98
GT Solar International* (A) 89,600 315
H&E Equipment Services* (A) 121,800 820
Hawaiian Holdings* (A) 96,896 434
Healthcare Services Group (A) 41,572 661
Heico, Cl A 24,506 570
Heidrick & Struggles International 1,359 28
Herman Miller 17,799 262
Hexcel* (A) 68,344 513
HNI 7,525 100
Horizon Lines, Cl A 101,050 404
HUB Group, Cl A* 27,731 740
Hubbell, Cl B 23,100 691
Hudson Highland Group* 105,400 331
Huron Consulting Group* 19,600 1,021
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
ICF International* (A) 111,591 $ 2,187
ICT Group* 3,400 11
IDEX 69,031 1,588
II-VI* (A) 29,996 604
Innerworkings* 109,444 614
Insteel Industries 17,051 166
Interface, Cl A 27,021 150
JA Solar Holdings ADR* 47,740 168
JB Hunt Transport Services 36,500 979
Kadant* 20,269 304
Kaman 7,167 169
Kansas City Southern* 52,128 1,143
Kaydon (A) 49,491 1,527
KBR 41,400 570
Kelly Services, Cl A 20,100 234
Kennametal 7,580 142
Kforce* 85,900 584
Kirby* 37,840 962
Knight Transportation 48,616 766
Knoll 122,776 1,322
Korn/Ferry International* (A) 50,800 625
Ladish* (A) 50,826 842
Landstar System 12,860 413
LB Foster, Cl A* 14,935 476
LECG* 122,200 643
Lennox International 22,688 627
Lindsay Manufacturing 2,000 78
LS Starrett, Cl A 1,700 26
Lydall* 15,560 82
M&F Worldwide* (A) 15,849 250
Manitowoc 15,218 120
Marten Transport* 15,476 292
MasTec* 123,719 793
Mcgrath Rentcorp 8,253 148
Mesa Air Group* (A) 99,100 20
Michael Baker* 16,300 536
Milacron* (A) 4,714 1
Mine Safety Appliances 28,428 695
Monster Worldwide* (A) 33,800 388
Moog, Cl A* 5,418 174
MPS Group* 93,500 619
MSC Industrial Direct, Cl A 5,800 201
Mueller Industries 38,626 900
Mueller Water Products, Cl B (A) 18,300 108
NACCO Industries, Cl A 6,333 231
Navigant Consulting* 16,563 313
Navistar International* 11,800 258
NCI Building Systems* (A) 11,700 178
Nordson (A) 13,800 448
Northwest Pipe* (A) 10,130 291
Old Dominion Freight Line* 75,951 1,808
On Assignment* 27,247 157
Orbital Sciences* (A) 74,800 1,287
Orion Marine Group* 87,100 666
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
46
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Oshkosh Truck 72,313 $ 506
Pacer International (A) 71,376 692
Pall 37,200 1,023
Paragon Shipping, Cl A 30,700 137
Perini* (A) 11,700 224
Pike Electric* 12,710 155
Powell Industries* 3,700 88
PRG-Schultz International* 28,752 129
Quanex Building Products (A) 72,274 669
Quanta Services* 54,695 889
Raven Industries 15,055 385
Regal-Beloit 48,876 1,644
Republic Airways Holdings* (A) 78,965 1,103
Resources Connection* 42,780 740
Robbins & Myers 15,451 348
Rollins 52,100 902
RSC Holdings* (A) 170,400 1,387
Rush Enterprises, Cl A* 103,367 907
Ryder System 32,400 1,163
Saia* (A) 15,710 140
School Specialty* (A) 55,809 894
Shaw Group* 2,695 50
Skywest 70,302 1,069
Southwest Airlines 126,157 1,091
Spherion* 130,900 295
Standard Parking* 49,865 997
Standard Register 18,094 101
Standex International 2,127 45
Steelcase, Cl A 74,100 478
Sunpower, Cl B* 6,656 173
Sunpower, Cl A* 39,038 1,356
TAL International Group (A) 39,800 449
TBS International, Cl A* (A) 3,100 15
Tecumseh Products, Cl A* 52,024 615
Teledyne Technologies* 31,300 1,271
Tetra Tech* 27,209 545
Textainer Group Holdings 60,500 613
Thermadyne Holdings* 10,683 70
Titan Machinery* 45,000 526
Toro 1,712 49
TransDigm Group* 17,155 609
Tredegar 12,700 199
Trimas* 11,316 20
Triumph Group (A) 11,185 383
TrueBlue* 43,700 324
Twin Disc 1,897 12
UAL 68,100 766
United Rentals* (A) 13,777 111
United Stationers* 25,430 809
Vitran, Cl A* 41,062 266
Volt Information Sciences* 13,174 80
Wabash National (A) 14,300 70
Wabtec (A) 40,468 1,562
Waste Connections* (A) 42,422 1,198
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Waste Services* 6,900 $ 44
Watson Wyatt Worldwide, Cl A 32,928 1,328
Watts Water Technologies, Cl A (A) 14,162 319
Werner Enterprises (A) 20,931 364
WESCO International* 68,248 1,009
Woodward Governor 20,100 427
Xerium Technologies 8,322 10
YRC Worldwide* (A) 33,509 133
-------------
123,911
-------------
INFORMATION TECHNOLOGY -- 18.7%
3Com* 305,142 613
Actel* 44,500 412
Actuate* 142,800 376
Acxiom 66,876 502
Adaptec* 47,842 135
ADC Telecommunications* 81,006 576
Adtran 27,650 393
Advanced Energy Industries* 116,789 909
Advent Software* (A) 37,000 825
Akamai Technologies* (A) 86,195 1,058
Alliance Semiconductor 76,500 46
Alvarion* 135,700 434
Amkor Technology* 62,000 136
Anixter International* 2,217 61
Ansys* 51,486 1,486
Applied Micro Circuits* 156,050 577
Ariba* 72,096 580
ARM Holdings ADR (A) 175,900 783
Arris Group* (A) 451,614 3,247
Arrow Electronics* 36,211 500
Art Technology Group* 641,207 1,231
AsiaInfo Holdings* 6,132 68
Asyst Technologies* (A) 330,500 145
Atheros Communications* (A) 100,310 1,465
Atmel* 251,204 703
ATMI* 148,945 1,775
Avanex* (A) 24,960 28
Avid Technology* 7,614 95
Avocent* 82,699 1,556
Axesstel* 282,641 99
Bankrate* (A) 31,728 871
Benchmark Electronics* 93,024 1,179
Black Box 29,643 726
Blackboard* (A) 28,846 710
BluePhoenix Solutions* 109,700 199
Brightpoint* 36,291 149
Broadridge Financial Solutions 57,800 659
Brocade Communications Systems* 232,000 747
Brooks Automation* 6,500 25
Cabot Microelectronics* 8,088 200
CACI International, Cl A* 44,819 1,990
Checkpoint Systems* 8,686 100
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
47
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund (Continued)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
China Digital TV Holding ADR* (A) 61,100 $ 300
China Security & Surveillance
Technology* (A) 15,700 90
Ciber* 87,000 373
Ciena* (A) 80,200 593
Cirrus Logic* 39,966 169
Cognex (A) 52,110 710
Cogo Group* 22,700 77
Coherent* (A) 47,208 1,175
CommScope* 45,910 518
Commvault Systems* (A) 103,748 1,063
comScore* 139,889 1,304
Comverse Technology* (A) 109,200 677
Concur Technologies* (A) 52,976 1,454
CPI International* 27,500 257
Cree* (A) 21,800 346
CSG Systems International* (A) 96,740 1,629
CTS 128,066 708
Cybersource* 79,540 738
Cymer* (A) 30,700 721
Cypress Semiconductor* 24,275 91
DealerTrack Holdings* (A) 153,615 1,820
Dice Holdings* 42,829 137
Diebold (A) 20,332 569
Digi International* 63,700 587
Digital River* (A) 22,072 466
Diodes* (A) 31,480 147
DivX* 28,000 135
Dolby Laboratories, Cl A* 7,400 221
DSP Group* 180,659 1,033
DTS* 39,625 657
Earthlink* (A) 249,226 1,660
EF Johnson Technologies* 103,800 134
Electro Rent 6,771 75
Electronic Arts* 10,167 194
Electronics for Imaging* 21,821 213
Emulex* 129,263 922
Entegris* 9,696 14
EPIQ Systems* (A) 37,244 605
Equinix* (A) 28,167 1,279
Euronet Worldwide* 86,137 735
Factset Research Systems (A) 16,850 674
Fair Isaac (A) 84,972 1,201
Fairchild Semiconductor
International, Cl A* 56,182 224
Flir Systems* 39,350 1,221
Forrester Research* (A) 19,000 436
Gartner* 10,816 166
GSI Commerce* (A) 109,144 869
Harris Stratex Networks, Cl A* 170,069 849
Heartland Payment Systems 15,172 261
Hewitt Associates, Cl A* 16,400 469
Hittite Microwave* 6,300 184
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Hutchinson Technology* (A) 27,100 $ 76
Hypercom* 14,245 11
iGate* 12,400 76
Ikanos Communications* 105,000 124
Imation (A) 130,439 1,732
Immersion* (A) 151,400 586
Information Services Group* 108,785 337
Integral Systems 52,310 1,256
Integrated Device Technology* 79,211 410
InterDigital* 19,214 510
Intermec* 9,351 124
Internap Network Services* 23,000 63
Intevac* (A) 35,400 175
IXYS 16,902 123
j2 Global Communications* 23,800 465
Jabil Circuit 24,791 163
Jack Henry & Associates (A) 30,358 559
JDA Software Group* 126,260 1,664
JDS Uniphase* 9,011 24
Kemet* (A) 114,100 48
Kenexa* 35,700 216
Keynote Systems* 58,600 446
Knot* (A) 233,793 1,758
Lam Research* 15,400 311
Lattice Semiconductor* 12,995 20
Lawson Software* (A) 409,902 1,607
LeCroy* (A) 71,700 250
Lender Processing Services 16,500 364
Lexmark International, Cl A* 7,200 189
Linear Technology 14,100 281
Lionbridge Technologies* 53,622 52
Littelfuse* 26,055 392
Longtop Financial Technologies ADR* (A) 18,200 249
LSI* 37,500 101
LTX-Credence* (A) 212,101 78
Manhattan Associates* 50,200 771
Mantech International, Cl A* 19,467 1,059
Marchex, Cl A (A) 155,500 868
Marvell Technology Group* 16,000 93
MAXIMUS (A) 36,600 1,149
Maxwell Technologies* (A) 14,700 72
Measurement Specialties* 9,075 53
Mentor Graphics* (A) 143,974 976
Mercury Computer Systems* 76,500 210
Merrimac Industries* 13,600 32
Methode Electronics 64,951 549
Micrel (A) 55,300 409
Microsemi* (A) 156,695 3,054
MicroStrategy, Cl A* 20,981 749
MIPS Technologies, Cl A* (A) 241,400 326
MKS Instruments* 64,578 924
Monolithic Power Systems* 52,258 500
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
48
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Move* 88,039 $ 105
MTS Systems 16,653 433
Multi-Fineline Electronix* (A) 34,400 359
Ness Technologies* 103,489 487
Net 1 UEPS Technologies* 69,013 704
Netgear* 68,000 823
Netlogic Microsystems* (A) 72,301 1,348
NeuStar, Cl A* (A) 84,651 1,621
NIC 900 4
Novatel Wireless* (A) 150,100 575
Nuance Communications* (A) 87,770 806
Omniture* (A) 146,478 1,456
Omnivision Technologies* 41,600 250
ON Semiconductor* (A) 186,700 545
Open Text* (A) 32,883 875
Orbotech* 99,200 418
Orckit Communications* 50,800 134
OSI Systems* 52,400 727
Palm* (A) 127,000 304
Parametric Technology* 111,364 1,287
Park Electrochemical 36,262 645
Parkervision* (A) 107,300 397
Pegasystems 4,966 59
Perfect World ADR* (A) 46,410 810
Perot Systems, Cl A* 45,121 563
Phoenix Technologies* 6,920 23
Photronics* 6,970 3
Pixelworks* 19,290 19
Plantronics 27,181 345
PLATO Learning* 59,300 62
Plexus* (A) 23,768 396
PLX Technology* (A) 129,227 270
PMC - Sierra* 189,475 760
Polycom* (A) 174,900 3,293
Power Integrations (A) 73,346 1,342
Powerwave Technologies* (A) 97,054 47
Presstek* (A) 72,821 178
Progress Software* 12,200 260
QLogic* (A) 79,735 847
Quality Systems (A) 18,661 561
Quantum* (A) 472,300 57
Quest Software* 15,023 201
Rackable Systems* 86,067 343
Radisys* 34,800 209
RADWARE* 102,900 697
RealNetworks* 19,000 72
Red Hat* 212,700 1,967
RF Micro Devices* (A) 342,300 455
Richardson Electronics 27,448 84
RightNow Technologies* 13,241 107
Riverbed Technology* (A) 217,000 2,038
Rogers* 19,358 546
Rudolph Technologies* 172,600 570
S1* 60,500 452
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Sapient* 166,691 $ 657
SAVVIS* 61,775 486
Scansource* 10,344 176
Seachange International* (A) 159,200 1,261
Seagate Technology 52,200 220
Semtech* 1,748 20
SI International* 10,900 333
Silicon Image* 44,519 168
Sina* (A) 27,135 838
SkillSoft ADR* 117,695 706
Skyworks Solutions* (A) 550,275 2,966
Sohu.com* (A) 13,020 632
Solera Holdings* 33,890 663
Sonic Solutions* 15,340 20
SonicWALL* 11,900 47
SPSS* 34,880 852
SRA International, Cl A* 48,027 721
Standard Microsystems* 51,371 783
Starent Networks* 9,271 92
Stratasys* (A) 73,565 821
Super Micro Computer* 11,100 58
Switch & Data* 53,700 280
Sybase* (A) 119,015 2,932
Synaptics* (A) 35,783 786
Synchronoss Technologies* 3,297 23
SYNNEX* (A) 29,404 308
Synopsys* 22,522 361
Take-Two Interactive Software 1,504 18
Taleo, Cl A* 42,589 275
Technitrol 65,461 229
TechTarget* 38,611 177
Techwell* (A) 17,200 95
Tekelec* (A) 161,446 1,978
TeleCommunication Systems, Cl A* (A) 120,760 954
Teradyne* 10,932 41
Terremark Worldwide* 160,213 582
Tessera Technologies* 72,556 1,334
THQ* 109,719 520
TIBCO Software* 284,659 1,378
TNS* 29,400 251
Trimble Navigation* 20,515 418
TriQuint Semiconductor* 469,281 1,211
TTM Technologies* (A) 132,000 674
Tyler Technologies* (A) 50,107 633
Ultimate Software Group* 29,979 459
Ultra Clean Holdings* 49,900 105
Ultratech* (A) 131,979 1,656
United Online 147,297 977
Universal Display* (A) 86,100 628
Utstarcom* (A) 158,549 301
Valueclick* 14,700 91
Varian Semiconductor Equipment
Associates* (A) 29,200 537
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
49
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund (Continued)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Vasco Data Security International* (A) 54,904 $ 573
Veeco Instruments* (A) 49,675 295
Verigy* 22,308 205
Verint Systems* 62,600 376
Virtusa* (A) 11,893 59
Vishay Intertechnology* 17,181 75
VistaPrint* (A) 185,459 3,032
Vocus* 49,930 907
Volterra Semiconductor* (A) 41,660 312
Wavecom ADR* 38,937 345
Wind River Systems* 226,100 1,886
Xyratex* 99,744 274
Zoran* 165,529 1,245
Zygo* 84,603 559
-------------
160,967
-------------
MATERIALS -- 3.8%
A. Schulman 34,253 465
ADA-ES* 25,800 69
Airgas 7,100 254
Albemarle 9,730 198
AM Castle 12,082 110
AMCOL International (A) 23,500 473
Arch Chemicals 12,470 360
Bemis 12,567 340
Buckeye Technologies* 79,000 356
Bway Holding* 6,400 31
Cabot (A) 17,817 369
Carpenter Technology 99,658 1,660
Century Aluminum* 3,631 30
Chemtura 212,600 355
Compass Minerals International 4,204 235
Constar International* (A) 33,298 11
Crown Holdings* 52,300 839
Cytec Industries (A) 43,607 961
Eagle Materials 4,700 98
Ferro (A) 66,600 428
FMC 13,953 610
Glatfelter 15,277 146
Greif, Cl A 23,945 794
Grupo Simec ADR* (A) 84,000 386
H.B. Fuller (A) 91,114 1,616
Horsehead Holding* 103,400 321
Innophos Holdings 35,684 588
Innospec 5,584 32
International Flavors & Fragrances 11,386 348
Kaiser Aluminum 9,700 205
KapStone Paper and Packaging* (A) 28,200 125
Katanga Mining (Canada)* 216,000 151
Koppers Holdings 37,436 802
LSB Industries* 1,274 11
Mercer International* (A) 73,800 170
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Methanex 25,300 $ 269
Minerals Technologies 7,400 347
Myers Industries 47,383 288
Neenah Paper 23,864 195
NewMarket 18,875 632
Olin (A) 110,113 1,804
Olympic Steel 98 2
OM Group* 42,000 829
Omnova Solutions* 79,100 84
Owens-Illinois* 28,742 581
Pactiv* 13,634 341
Quaker Chemical (A) 28,200 361
Rock-Tenn, Cl A 23,900 807
Rockwood Holdings* 11,523 103
Royal Gold 2,300 92
RTI International Metals* (A) 50,200 603
Schnitzer Steel Industries, Cl A (A) 27,000 729
Schweitzer-Mauduit International 29,900 551
Scotts Miracle-Gro, Cl A (A) 14,500 469
Sensient Technologies 54,088 1,300
ShengdaTech* (A) 54,800 218
Silgan Holdings 91,512 4,140
Solutia* (A) 85,600 582
Spartech 47,400 275
Steel Dynamics 23,273 192
Temple-Inland (A) 53,000 167
Universal Stainless & Alloy* 33,500 409
US Concrete* 22,636 73
Wausau Paper 13,981 144
Western Goldfields* (A) 792,000 1,077
Westlake Chemical (A) 32,100 542
Worthington Industries (A) 35,200 468
-------------
32,621
-------------
TELECOMMUNICATION SERVICES -- 1.5%
Alaska Communications Systems Group 26,164 254
Atlantic Telegraph-Network (A) 25,000 574
Cbeyond* (A) 46,851 713
Centennial Communications* 189,181 1,462
Cincinnati Bell* 220,406 381
Clearwire, Cl A* (A) 163,100 1,080
Consolidated Communications Holdings 14,486 147
Fairpoint Communications (A) 243,400 852
Globalstar* (A) 365,800 77
Iowa Telecommunications Services 29,395 449
NTELOS Holdings 75,093 1,668
Premiere Global Services* 42,023 256
SBA Communications, Cl A* (A) 110,043 1,737
Sierra Wireless* 100,000 818
Syniverse Holdings* 109,993 1,075
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
50
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
tw telecom inc, Cl A* 63,130 $ 482
USA Mobility 56,592 617
-------------
12,642
-------------
UTILITIES -- 3.0%
AGL Resources 32,118 967
Allete (A) 39,798 1,362
Atmos Energy 28,985 723
Avista 3,600 64
Black Hills 21,198 547
Cascal 38,500 170
Centerpoint Energy 66,900 865
Central Vermont Public Service 9,900 187
Cia de Saneamento de Minas Gerais-COPASA
(Brazil) 110,200 771
Cleco 60,657 1,430
CMS Energy (A) 59,800 607
El Paso Electric* 73,416 1,323
Empire District Electric 34,552 606
Energen 10,600 326
Great Plains Energy 12,700 239
Idacorp (A) 32,634 992
ITC Holdings 22,704 954
Laclede Group (A) 8,300 437
National Fuel Gas 15,000 488
New Jersey Resources 26,661 1,071
Northwest Natural Gas 17,279 863
NorthWestern 67,031 1,385
Ormat Technologies (A) 17,100 515
Piedmont Natural Gas 3,800 128
PNM Resources (A) 60,478 632
PNOC Energy Development (Philippines) 10,290,500 536
Portland General Electric 133,612 2,446
SJW 2,000 56
South Jersey Industries (A) 17,900 698
Southwest Gas 23,841 617
Synthesis Energy Systems* 65,600 64
UGI 19,900 465
UIL Holdings 16,242 484
Unisource Energy 18,258 512
Vectren 43,062 1,213
Westar Energy (A) 30,470 616
WGL Holdings (A) 18,159 656
-------------
26,015
-------------
Total Common Stock
(Cost $1,247,130) ($ Thousands) 810,469
-------------
Shares/Face
Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
EXCHANGE TRADED FUNDS -- 0.2%
iShares Russell 2000 Index
Fund (A) 19,318 $ 912
Midcap SPDR Trust Series 1 5,847 547
Powershares QQQ 18,008 525
-------------
Total Exchange Traded Funds
(Cost $2,153) ($ Thousands) 1,984
-------------
PREFERRED STOCK -- 0.1%
FINANCIALS -- 0.1%
East West Bancorp 629 573
-------------
Total Preferred Stock
(Cost $628) ($ Thousands) 573
-------------
CONVERTIBLE BONDS -- 0.1%
ENERGY -- 0.1%
Nova Biosource Fuels
10.000%, 09/30/12 (B) $ 1,698 420
Scorpio Mining
7.000%, 05/05/11 (F) (G) (H) 425 242
-------------
662
-------------
INFORMATION TECHNOLOGY -- 0.0%
Hutchinson Technology
2.250%, 03/15/10 650 469
-------------
Total Convertible Bonds
(Cost $2,578) ($ Thousands) 1,131
-------------
Number of
Warrants
-------------
WARRANTS -- 0.0%
Oilsands Quest,
Expires 12/08/09* 17,500 1
Rentech, Expires 04/25/12* (F) (G) (H) 16,100 3
Titanium Asset Management,
Expires 06/21/11* 122,200 165
Victory Acquisition,
Expires 04/30/11* 155,512 15
Washington Mutual,
Expires 01/03/03 196,061 10
-------------
Total Warrants
(Cost $223) ($ Thousands) 194
-------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
51
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund (Concluded)
November 30, 2008
Face
Amount
($ Thousands) Market Value
Description /Shares ($ Thousands)
- ----------- ------------- -------------
AFFILIATED PARTNERSHIP -- 26.5%
SEI Liquidity Fund, L.P.,
1.630%**+ (E) 235,577,292 $ 229,071
-------------
Total Affiliated Partnership
(Cost $235,577) ($ Thousands) 229,071
-------------
U.S. TREASURY OBLIGATION -- 1.1%
U.S. Treasury Bill
0.010%, 02/12/09 (C) (D) $ 9,355 9,354
-------------
Total U.S. Treasury Obligation
(Cost $9,355) ($ Thousands) 9,354
-------------
CASH EQUIVALENTS -- 5.0%
First Union Cash Management
Program, 0.860%** 4,523,570 4,523
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 1.580%**+ 38,377,641 38,378
-------------
Total Cash Equivalents
(Cost $42,901) ($ Thousands) 42,901
-------------
Total Investments -- 127.0%
(Cost $1,540,545) ($ Thousands) $ 1,095,677
=============
A summary of the open futures contracts held by the Fund at November 30, 2008,
is as follows:
NUMBER OF UNREALIZED
TYPE OF CONTRACTS EXPIRATION APPRECIATION
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- -------- ------------ ------------- -------------
Russell 2000 Index E-Mini 858 Dec-2008 $957
====
Percentages are based on a Net Assets of $862,491 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of November 30, 2008.
+ Investment in Affiliated Security (see Note 3).
+++ Real Estate Investment Trust
(A) This security or a partial position of this security is on loan at November
30, 2008. The total value of securities on loan at November 30, 2008 was
$224,442 ($ Thousands).
(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) Zero coupon security. The rate reported on the Schedule of Investments is
the effective yield at time of purchase.
(D) Security, or portion thereof, has been pledged as collateral on open future
contracts.
(E) 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,
2008 was $229,071 ($ Thousands).
(F) Securities considered illiquid. The total value of such securities as of
November 30, 2008 was $1,282 ($ Thousands) and represented 0.15% of net
assets (see Note 3).
(G) Securities considered restricted. The total value of such securities as of
November 30, 2008 was $922 ($ Thousands) and represented 0.11% of net
assets (see Note 3).
(H) Security fair valued using methods determined in good faith by the
Valuation Committee of the Board of Trustees. The total value of such
securities as of November 30, 2008 was $922 ($ Thousands) and represented
0.11% of net assets.
ADR -- American Depositary Receipt
Cl -- Class
CV -- Convertible Security
PIPE -- Private Investment in Public Entity
SPDR -- Standard & Poor's Depositary Receipts
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
52
Small/Mid Cap Equity Fund
November 30, 2008
SECTOR WEIGHTINGS++:
(BAR CHART)
Financials 18.6%
Affiliated Partnership 17.5%
Information Technology 13.7%
Industrials 12.0%
Health Care 9.5%
Consumer Discretionary 8.5%
Energy 4.5%
Utilities 4.4%
Materials 3.3%
Cash Equivalent 3.2%
Consumer Staples 2.5%
Telecommunication Services 1.6%
U.S. Treasury Obligations 0.5%
Exchange Traded Fund 0.2%
Warrants 0.0%
++ Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 9).
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
COMMON STOCK -- 93.1%
CONSUMER DISCRETIONARY -- 10.1%
1-800-FLOWERS.COM, Cl A* (A) 42,200 $ 157
Aaron Rents 38,700 1,023
Abercrombie & Fitch, Cl A 41,617 804
Advance Auto Parts 62,310 1,892
Aeropostale* (A) 3,800 57
AFC Enterprises* 714 3
American Axle & Manufacturing
Holdings (A) 41,700 105
American Eagle Outfitters 199,211 1,912
American Greetings, Cl A 33,400 385
Amerigon* (A) 159,198 594
AnnTaylor Stores* (A) 96,233 432
Apollo Group, Cl A* 26,080 2,004
Arbitron 3,740 52
Arctic Cat 68,000 411
ArvinMeritor 5,168 20
Autoliv 64,174 1,225
AutoNation* (A) 26,050 222
Bebe Stores 340,645 2,105
Bed Bath & Beyond* 11,400 231
Belo, Cl A 143,211 276
Big 5 Sporting Goods 11,600 44
Big Lots* (A) 42,300 741
BJ's Restaurants* (A) 53,008 519
Black & Decker (A) 25,900 1,099
Blue Nile* (A) 17,500 418
Blyth 340 3
Borders Group 1,930 2
BorgWarner 48,687 1,152
Brinker International 92,600 615
Brink's Home Security Holdings* 80,276 1,606
Brown Shoe (A) 87,956 496
Callaway Golf (A) 71,327 718
Career Education* 117,019 2,163
Carter's* 32,603 617
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Casual Male Retail Group* (A) 412,600 $ 264
Cato, Cl A 190,000 2,652
CBRL Group (A) 59,701 1,154
CEC Entertainment* (A) 76,134 1,310
Century Casinos* 290,580 267
Charlotte Russe Holding* 17,000 85
Charming Shoppes* (A) 221,500 332
Cheesecake Factory* (A) 93,300 679
Chico's FAS* (A) 374,800 956
Childrens Place Retail Stores* (A) 14,100 331
Chipotle Mexican Grill, Cl A* (A) 41,400 2,053
Christopher & Banks 69,000 233
Churchill Downs 3,617 127
Cinemark Holdings (A) 166,746 1,256
CKE Restaurants 588 4
Cooper Tire & Rubber 82,045 393
Corinthian Colleges* 14,700 236
Cox Radio, Cl A* (A) 20,300 118
CROCS* (A) 524,000 665
Ctrip.com International ADR 680 16
Darden Restaurants 20,439 374
Deckers Outdoor* (A) 35,700 2,129
DeVry 23,011 1,323
Dick's Sporting Goods* (A) 168,082 2,119
Dillard's, Cl A (A) 40,000 146
Dollar Tree* (A) 53,500 2,266
DreamWorks Animation SKG, Cl A* 84,275 1,947
DSW, Cl A* (A) 183,948 1,849
Dufry South America
(United Kingdom) 131,200 731
Eddie Bauer Holdings* (A) 282,200 265
Entercom Communications, Cl A (A) 90,474 99
Ethan Allen Interiors 19,091 264
Family Dollar Stores 129,600 3,600
FGX International Holdings* 11,500 118
Focus Media Holding ADR* (A) 61,266 458
Foot Locker 210,962 1,420
Fossil* (A) 40,800 620
Fuel Systems Solutions* 10,000 346
GameStop, Cl A* 31,400 686
Gap 83,000 1,081
Genesco* 32,155 433
Genius Products* 652,825 33
Goodyear Tire & Rubber* (A) 53,300 343
Grand Canyon Education* 88,510 1,313
Guess? 41,200 545
Gymboree* 36,500 918
H&R Block 59,747 1,143
Harley-Davidson 34,610 589
Harman International Industries 18,183 274
Hasbro 132,455 3,550
Hibbett Sports* (A) 63,667 907
Hillenbrand 29,500 470
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
53
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund (Continued)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Hooker Furniture (A) 49,800 $ 332
HSN* 3,679 14
Iconix Brand Group* 25,700 218
Interactive Data 19,828 459
Interpublic Group* 199,195 815
Interval Leisure Group* 46 --
ITT Educational Services* (A) 28,225 2,543
J Crew Group* (A) 69,600 706
Jackson Hewitt Tax Service 25,700 331
Jarden* (A) 252,825 3,155
Jo-Ann Stores* 20,000 278
Jones Apparel Group (A) 159,663 819
K12* (A) 7,696 140
Landry's Restaurants (A) 22,200 257
Lear* (A) 35,400 84
Lee Enterprises 34,800 36
Leggett & Platt (A) 50,300 734
Lennar, Cl A (A) 257,808 1,833
Life Time Fitness* 81,065 1,214
Limited Brands (A) 189,100 1,760
Lincoln Educational Services* 3,300 45
Live Nation* 193,300 945
Lululemon Athletica* (A) 53,900 529
M/I Homes 15,500 163
Martha Stewart Living Omnimedia,
Cl A* (A) 160,200 535
Marvel Entertainment* 34,600 1,019
Mattel 71,642 979
MDC Holdings 7,508 233
Media General, Cl A 25,699 50
Men's Wearhouse 13,542 144
Meredith 17,581 284
Monro Muffler 2,800 57
Morningstar* (A) 46,225 1,488
National CineMedia 371,840 3,027
NetFlix* (A) 46,700 1,073
Newell Rubbermaid 83,820 1,120
Nordstrom 72,004 819
NVR* 1,237 537
O'Charleys 64,203 136
Office Depot* 371,000 731
OfficeMax (A) 232,600 1,268
O'Reilly Automotive* 15,800 412
Overstock.com* 7,864 82
Penn National Gaming* 111,951 2,373
PetSmart 100,366 1,761
PF Chang's China Bistro* 2,557 48
Phillips-Van Heusen 97,049 1,693
Playboy Enterprises, Cl B* 30 --
Polaris Industries 58,627 1,601
Pre-Paid Legal Services* 1,283 51
priceline.com* (A) 40,625 2,803
Pulte Homes (A) 208,486 2,220
Quiksilver* (A) 180,300 252
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
RadioShack (A) 56,916 $ 561
RC2* 34,593 368
Red Robin Gourmet Burgers* (A) 13,813 168
Regal Entertainment Group, Cl A 85,500 784
Regis 128,816 1,416
Rent-A-Center, Cl A* 101,444 1,665
Retail Ventures* 379,506 471
RHI Entertainment* 121,300 496
Ross Stores 80,107 2,123
Ruby Tuesday* (A) 79,800 92
Scholastic 36,563 558
Scientific Games, Cl A* (A) 154,098 2,313
Scripps Networks Interactive, Cl A 38,670 1,075
Shutterfly* (A) 205,000 1,402
Sinclair Broadcast Group, Cl A (A) 93,100 294
Skechers U.S.A., Cl A* 330 4
Snap-On 22,100 797
Sonic Automotive, Cl A (A) 33,900 109
Sotheby's 18,700 186
Stage Stores 71,200 412
Stamps.com* 24,600 218
Standard Pacific* (A) 233,591 451
Stanley Works 12,701 404
Starwood Hotels & Resorts
Worldwide (A) 126,500 2,133
Steven Madden* 35,800 613
Strayer Education (A) 12,384 2,967
Systemax 12,700 124
Talbots 29,300 70
Tempur-Pedic International 49,284 344
Thunderbird Resorts* (C) 151,700 380
Ticketmaster Entertainment* 10,677 43
Tiffany (A) 48,900 968
Timberland, Cl A* 8,874 90
Tractor Supply* (A) 69,603 2,671
TRW Automotive Holdings* 424 1
Tupperware Brands 9,400 185
Tween Brands* 56,000 215
Universal Electronics* 8,544 142
Urban Outfitters* (A) 53,500 972
VF 26,600 1,391
VisionChina Media ADR* (A) 161,466 1,093
WABCO Holdings 16,600 247
Warnaco Group* 8,880 159
Weight Watchers International 39,400 1,115
Westport Innovations* 105,349 417
Whirlpool (A) 21,994 866
Williams-Sonoma (A) 76,500 536
WMS Industries* 124,297 3,064
Wolverine World Wide 5,040 97
Zumiez* 10,300 89
-------------
151,158
-------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
54
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
CONSUMER STAPLES -- 3.0%
American Oriental Bioengineering* (A) 101,300 $ 574
Asiatic Development (Malaysia) 1,167,500 1,050
Avon Products 30,269 639
Bare Escentuals* (A) 94,600 446
BJ's Wholesale Club* (A) 30,195 1,080
Boston Beer, Cl A* 12,500 401
Casey's General Stores 12,800 380
Central Garden and Pet* 49,178 207
Central Garden and Pet, Cl A* 58,660 245
Chattem* (A) 18,200 1,321
Chiquita Brands International* 42,117 470
Church & Dwight 20,019 1,190
Constellation Brands, Cl A* 32,356 413
Corn Products International 95,281 2,611
Cosan Industria e Comercio (Brazil)* 287,700 1,413
Darling International* 99,400 497
Dean Foods* 233,405 3,398
Del Monte Foods 457,402 2,708
Diamond Foods 22,837 690
Fresh Del Monte Produce* 39,500 997
Hain Celestial Group* (A) 225,100 3,543
Hansen Natural* 12,800 381
Heckmann* (A) 115,446 714
Hershey 22,340 804
Lance (A) 78,100 1,525
Lorillard 25,410 1,536
McCormick 27,560 821
Molson Coors Brewing, Cl B 18,098 805
Nash Finch (A) 22,600 1,014
NBTY* (A) 75,267 1,097
Pantry* 44,053 852
Pepsi Bottling Group 101,014 1,827
PepsiAmericas 28,200 473
Pilgrim's Pride (A) 24,400 28
Prestige Brands Holdings* 20,100 157
Ralcorp Holdings* (A) 57,206 3,579
Ruddick 47,165 1,291
Sanderson Farms 25,185 785
Supervalu 53,600 638
Synutra International* (A) 10,000 119
Tyson Foods, Cl A 239,807 1,609
Whole Foods Market (A) 84,900 898
-------------
45,226
-------------
ENERGY -- 5.2%
Alliance Resource Partners 4,487 119
Allis-Chalmers Energy* 433 3
Arena Resources* 4,242 112
Arlington Tankers (A) 114,900 1,100
Atlas America 34,274 514
ATP Oil & Gas* (A) 249,800 1,669
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Atwood Oceanics* 70,400 $ 1,274
Berry Petroleum, Cl A 32,888 385
BPZ Energy PIPE* 98,500 607
BPZ Resources* (A) 104,420 643
Bristow Group* 10,500 238
Bronco Drilling* 17,808 114
Callon Petroleum* 36,681 90
Cameron International* 15,936 336
Cano Petroleum* (A) 219,276 127
Carrizo Oil & Gas* (A) 63,943 1,324
Cimarex Energy 27,194 771
Clayton Williams Energy* (A) 16,130 741
Complete Production Services* 72,600 595
Comstock Resources* 30,044 1,260
Concho Resources* 154,352 3,641
Continental Resources* 4,300 84
Core Laboratories 21,600 1,439
Denbury Resources* 38,800 370
Dresser-Rand Group* 23,025 385
Encore Acquisition* 63,408 1,676
Endeavour International* 61,222 39
Energy Partners* 386,621 1,307
ENSCO International 10,000 324
EXCO Resources* 41,900 321
FMC Technologies* (A) 39,243 1,078
Forest Oil* 15,819 276
Foundation Coal Holdings 41,393 591
Frontier Oil (A) 26,800 320
GMX Resources* (A) 6,000 172
Goodrich Petroleum* 25,800 931
Gran Tierra Energy* 59,367 162
Grey Wolf* (A) 252,512 1,384
Helix Energy Solutions Group* 13,400 86
Helmerich & Payne 78,775 1,998
Hercules Offshore* (A) 331,800 1,931
Holly 13,400 244
Hornbeck Offshore Services* (A) 39,504 667
Hugoton Royalty Trust 21,025 426
IHS, Cl A* 59,500 2,159
Infinity Bio-Energy* 778,281 334
Key Energy Services* 19,088 91
Kinder Morgan Escrow* 24,428 --
Mahalo Energy* 329,000 43
Mariner Energy* 99,303 1,091
Massey Energy 35,978 562
Matrix Service* 67,995 519
McMoRan Exploration* 82,332 926
Meridian Resource* 35,900 34
Murphy Oil 18,373 809
Nabors Industries* 57,114 828
Newfield Exploration* 58,367 1,318
Oceaneering International* 11,825 305
Oil Sands Quest* (A) 314,800 346
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
55
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund (Continued)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Overseas Shipholding Group (A) 31,000 $ 1,149
Patterson-UTI Energy 69,900 873
Penn Virginia (A) 50,900 1,528
PetroHawk Energy* 131,600 2,299
Petroleum Development* 7,100 136
Pioneer Drilling* 98,100 720
Pioneer Natural Resources 34,112 685
Plains Exploration & Production* 11,000 255
Range Resources 104,947 4,352
Rentech* (A) 699,400 448
Rex Energy* (A) 74,342 453
Rowan 44 1
Southwestern Energy* 52,049 1,789
Spectra Energy 53,197 865
StealthGas (A) 160,338 641
Sunoco (A) 36,200 1,439
Superior Energy Services* 139,852 2,356
Swift Energy* (A) 158,532 3,388
T-3 Energy Services, Cl 3* 30,081 395
Tesoro (A) 47,600 437
Tetra Technologies* 55,325 267
Tidewater (A) 51,300 2,025
Transmontaigne Partners 3,400 48
Unit* 84,379 2,420
Uranium One (Canada)* 50,386 52
W&T Offshore 31,669 443
Whiting Petroleum* (A) 63,757 2,442
Willbros Group* (A) 157,115 1,299
Williams 16,625 270
World Fuel Services 103,285 3,749
-------------
78,463
-------------
FINANCIALS -- 22.0%
Advance America Cash Advance
Centers 104,300 178
Advanta, Cl B (A) 53,400 158
Affiliated Managers Group* (A) 21,300 596
Alexander's+++ 503 107
Alexandria Real Estate Equities+++ (A) 24,249 1,074
Allied Capital (A) 26,700 63
Allied World Assurance Holdings 14,600 516
AMB Property+++ (A) 54,700 942
AMBAC Financial Group (A) 53,730 75
Amcore Financial (A) 44,386 162
American Equity Investment
Life Holding 40,489 252
American Financial Group 154,755 3,171
AmeriCredit* (A) 82,100 603
Amtrust Financial Services 94,795 848
Annaly Capital Management+++ 296,851 4,266
Anthracite Capital+++ (A) 104,803 317
Anworth Mortgage Asset+++ (A) 748,689 4,739
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
AON 22,100 $ 1,001
Apartment Investment &
Management, Cl A+++ 131,800 1,512
Arch Capital Group* 45,722 3,099
Aspen Insurance Holdings 216,010 3,981
Associated Banc (A) 171,082 3,718
Astoria Financial (A) 191,493 3,535
AvalonBay Communities+++ (A) 44,700 2,712
Banco Latinoamericano de
Exportaciones, Cl E 80,200 1,016
Bancorpsouth 74,093 1,648
Bank Mutual (A) 91,571 939
Bank of Hawaii 40,603 1,811
Bank of the Ozarks (A) 15,600 425
BankFinancial 7,900 86
BGC Partners, Cl A (A) 112,402 427
BioMed Realty Trust+++ 42,676 398
BlackRock, Cl A 4,967 624
Blackstone Group (A) 320,800 2,008
Boston Private Financial Holdings 20,118 139
Boston Properties+++ (A) 99,600 5,319
Brandywine Realty Trust+++ 115,900 570
Brasil Brokers Participacoes* 440,900 301
Calamos Asset Management, Cl A (A) 99,194 404
Camden Property Trust+++ (A) 78,700 2,083
Canaccord Capital 10,500 35
Canaccord Capital (Canada) 92,900 309
CapitalSource+++ 323,896 1,688
Capitol Federal Financial 16,303 697
Capstead Mortgage+++ 181,500 1,904
Cardinal Financial 76,938 409
Cardtronics* 230,480 309
Cash America International 45,462 1,228
CB Richard Ellis Group, Cl A* 227,700 1,038
CBL & Associates Properties+++ 40,261 164
Cedar Shopping Centers+++ 63,300 298
Center Financial 8,154 57
Central Pacific Financial (A) 126,035 1,613
Chemical Financial (A) 32,000 791
Cincinnati Financial (A) 36,700 1,073
CIT Group (A) 121,700 406
City Bank 9,726 64
City Holding (A) 7,200 255
City National (A) 54,400 2,387
CME Group, Cl A 442 94
CNA Surety* 20,022 242
Colonial BancGroup (A) 117,200 294
Colonial Properties Trust+++ (A) 43,900 249
Columbia Banking System 33,360 335
Comerica 66,044 1,489
Commerce Bancshares 30,592 1,340
Community Bank System 15,633 361
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
56
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Companhia Brasileira de
Desenvolvimento Imobiliario
Turistico (Brazil)* 3,700 $ 807
Compass Diversified Holdings 8,341 83
Corporate Office Properties Trust+++ (A) 133,700 3,972
Cullen/Frost Bankers 84,654 4,589
CVB Financial 41,700 468
Delphi Financial Group, Cl A 24,132 292
Digital Realty Trust+++ (A) 30,739 841
Dime Community Bancshares 86,455 1,166
Discover Financial Services 49,464 506
Dollar Financial* (A) 145,000 1,099
Douglas Emmett+++ (A) 169,800 1,732
Dundee (Canada)+++ 18,537 183
E*Trade Financial* (A) 55,200 75
East West Bancorp 27,600 409
Eaton Vance 46,862 896
Education Realty Trust+++ 75,473 337
eHealth* 27,400 301
EMC Insurance Group 19,125 472
Employers Holdings 74,261 1,210
Endurance Specialty Holdings 60,623 1,632
Enstar Group* 2,600 124
Entertainment Properties Trust+++ 21,050 516
Equity Lifestyle Properties+++ 6,739 233
Equity One+++ 53,135 879
Equity Residential+++ 118,200 3,597
Essex Property Trust+++ (A) 35,500 3,070
Evercore Partners, Cl A (A) 97,200 973
Everest Re Group 26,000 2,040
Extra Space Storage+++ (A) 157,000 1,389
FCStone Group* 215,275 732
Federal Realty Investment Trust+++ (A) 75,095 4,344
Federated Investors, Cl B 109,391 2,171
Fidelity National Financial, Cl A 243,174 2,998
Financial Federal (A) 76,200 1,465
First Cash Financial Services* 29,907 461
First Commonwealth Financial 32,600 392
First Community Bancshares 2,700 78
First Financial Bancorp 99,078 1,238
First Financial Bankshares 2,547 133
First Financial Holdings 2,600 58
First Horizon National (A) 273,368 2,922
First Midwest Bancorp (A) 118,483 2,181
First Niagara Financial Group 239,800 3,719
First Potomac Realty Trust+++ 88,871 714
FirstFed Financial* (A) 18,600 70
FirstMerit (A) 90,249 1,985
Flushing Financial 8,839 121
FNB (Pennsylvania) 17,000 210
Forestar Group* 82,400 382
Friedman Billings Ramsey Group,
Cl A+++ (A) 61,700 12
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Frontier Financial 74,200 $ 212
Fulton Financial (A) 241,000 2,680
General Shopping Brasil (Brazil)* 355,700 663
Glacier Bancorp 13,100 233
Gluskin Sheff + Associates
(Canada) 88,600 429
Greenhill (A) 13,200 899
Grubb & Ellis (A) 591,060 786
Hancock Holding (A) 55,459 2,391
Hanover Insurance Group 178,468 7,196
Hatteras Financial+++ (A) 49,000 1,263
HCC Insurance Holdings 59,100 1,378
HCP+++ (A) 110,800 2,290
Health Care REIT+++ (A) 86,639 3,292
Healthcare Realty Trust+++ (A) 17,418 334
Hercules Technology Growth
Capital (A) 248,976 1,606
Hersha Hospitality Trust+++ 282,100 993
Highbury Financial* (A) 93,400 187
Hilltop Holdings* 8,600 84
Home Bancshares 2,000 53
Horace Mann Educators (A) 110,685 943
Hospitality Properties Trust+++ (A) 90,000 1,031
Host Hotels & Resorts+++ 8,086 61
HRPT Properties Trust+++ (A) 330,100 911
Huntington Bancshares (A) 255,851 2,047
Infinity Property & Casualty 28,575 1,311
Inland Real Estate+++ 23,400 261
Interactive Brokers Group, Cl A* 35,400 646
IntercontinentalExchange* 6,549 482
Invesco 44,900 564
Investment Technology Group* 58,905 986
Investors Real Estate Trust+++ (A) 123,700 1,216
IPC Holdings 70,900 1,985
Irwin Financial (A) 33,700 64
Janus Capital Group 33,800 276
Jefferies Group (A) 169,200 2,105
Jones Lang LaSalle 40,830 973
Kansas City Life Insurance (A) 29,600 1,355
KBW* (A) 23,746 539
Kilroy Realty+++ 13,900 424
Kite Realty Group Trust+++ 20,800 81
Knight Capital Group, Cl A* 170,091 2,815
Lakeland Financial 3,000 67
LandAmerica Financial Group, Cl A (A) 17,200 2
LaSalle Hotel Properties+++ 36,500 322
Lazard, Cl A 27,587 862
Lexington Realty Trust+++ (A) 91,900 446
LTC Properties+++ 26,403 514
Macerich+++ (A) 151,200 2,035
Mack-Cali Realty+++ (A) 85,600 1,624
MarketAxess Holdings* 316,110 2,023
MBIA (A) 95,800 560
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
57
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund (Continued)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
MCG Capital 86,700 $ 64
Meadowbrook Insurance Group 122,500 687
Meruelo Maddux Properties* 747,000 351
MetLife 31,589 909
MFA Mortgage Investments+++ (A) 1,236,718 7,655
MGIC Investment 55,800 152
Mid-America Apartment Communities+++ 25,178 932
Montpelier Re Holdings (A) 75,900 1,045
MSCI, Cl A* 205,642 3,173
NASDAQ OMX Group* (A) 139,500 2,999
National City (A) 495,800 997
National Health Investors+++ 30,700 692
National Penn Bancshares 46,171 710
National Retail Properties+++ (A) 49,399 662
Nationwide Financial Services, Cl A (A) 23,900 1,214
Nationwide Health Properties+++ 83,450 1,888
Navigators Group* 25,667 1,394
NBT Bancorp 25,200 668
Nelnet, Cl A 50,500 665
New York Community Bancorp 49,233 642
NewAlliance Bancshares 75,229 1,037
NorthStar Realty Finance+++ (A) 107,551 366
NYSE Euronext 7,525 179
OceanFirst Financial 11,900 178
Och-Ziff Capital Management Group LLC,
Cl A (A) 108,500 539
Old National Bancorp 49,752 855
Omega Healthcare Investors+++ 55,362 733
One Liberty Properties+++ 12,800 124
optionsXpress Holdings 109,991 1,550
Oriental Financial Group 41,300 259
PacWest Bancorp (A) 57,908 1,540
Parkway Properties+++ 10,300 141
PartnerRe 44,051 3,082
Pennsylvania Real Estate Investment
Trust+++ (A) 32,500 146
Penson Worldwide* 86,390 570
People's United Financial 173,092 3,301
PHH* (A) 327,661 2,497
Philadelphia Consolidated Holding* 22,900 1,407
Platinum Underwriters Holdings (A) 194,110 5,965
PMA Capital, Cl A* 15,700 79
Post Properties+++ (A) 131,200 2,057
Presidential Life 20,700 223
Principal Financial Group 35,465 490
ProAssurance* 20,080 1,096
Prologis+++ (A) 149,300 572
Provident Bankshares 44,220 417
Provident Financial Services 1,480 22
PS Business Parks+++ 22,264 1,061
Public Storage+++ (A) 58,979 4,122
Radian Group (A) 34,500 94
RAIT Financial Trust+++ (A) 69,000 164
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
RAM Holdings* (A) 120,100 $ 41
Raymond James Financial (A) 59,594 1,309
Rayonier+++ 43,443 1,451
Realty Income+++ (A) 124,290 2,509
Regions Financial (A) 104,000 1,060
Reinsurance Group of America (A) 59,296 2,407
RenaissanceRe Holdings 48,100 2,267
Republic Bancorp, Cl A (A) 20,500 454
Riskmetrics Group* 66,095 987
RLI 1,700 99
S&T Bancorp 18,500 629
Safety Insurance Group 2,622 92
Sanders Morris Harris Group 13,700 72
Santander BanCorp (A) 16,900 167
SCBT Financial (A) 800 27
SeaBright Insurance Holdings* 9,770 103
Selective Insurance Group 15,200 349
Signature Bank NY* 33,593 1,001
Simon Property Group+++ (A) 60,200 2,860
SL Green Realty+++ (A) 114,300 2,167
South Financial Group (A) 63,536 274
Southside Bancshares 7,700 171
Southwest Bancorp 15,879 227
St. Joe* 15,921 421
StanCorp Financial Group 39,876 1,328
Sterling Financial (A) 12,900 69
Stifel Financial* 16,948 729
Strategic Hotels & Resorts+++ (A) 154,000 154
Suffolk Bancorp 2,500 83
Sun Bancorp* 3,500 27
Sun Communities+++ (A) 31,200 342
Sunstone Hotel Investors+++ (A) 123,110 587
Superior Bancorp* 13,804 66
Susquehanna Bancshares 15,300 234
SVB Financial Group* (A) 52,550 2,105
SWS Group 42,200 617
Taubman Centers+++ (A) 68,900 1,643
TCF Financial (A) 193,343 3,229
TD Ameritrade Holding* 126,924 1,688
Tejon Ranch* 1 --
Titanium Asset* 118,000 620
Titanium Asset Management* 29,000 152
Tompkins Financial 6,500 357
Torchmark 5,596 202
Tower Group 18,100 413
Transatlantic Holdings 30,996 1,229
Tree.com* 613 1
Trico Bancshares 6,100 145
Triplecrown Acquisition* 108,141 956
Trustco Bank (A) 149,200 1,580
Trustmark (A) 41,953 837
UCBH Holdings (A) 392,800 1,823
UMB Financial 15,290 731
Umpqua Holdings 10,900 144
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
58
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
United America Indemnity, Cl A* 51,600 $ 666
United Community Banks 48,800 643
Unitrin (A) 37,200 712
Unum Group 187,360 2,792
Uranium Participation* 258,500 1,539
U-Store-It Trust+++ (A) 82,700 455
Valley National Bancorp (A) 65,283 1,262
Value Creation* (C) (G) (H) 71,690 485
Ventas+++ (A) 140,562 3,230
Vornado Realty Trust+++ (A) 63,000 3,367
Washington Federal (A) 131,670 2,224
Webster Financial (A) 34,900 524
WesBanco (A) 10,600 274
Westamerica Bancorporation 6,500 346
Whitney Holding 15,800 277
Willis Group Holdings 38,527 889
Wilmington Trust 18,491 447
Wilshire Bancorp (A) 20,300 139
World Acceptance* (A) 120,401 2,356
WR Berkley 138,922 3,950
WSFS Financial 1,100 48
Zenith National Insurance (A) 18,200 600
Zions Bancorporation (A) 153,739 4,903
-------------
329,457
-------------
HEALTH CARE -- 11.3%
Abaxis* (A) 70,381 933
Achillion Pharmaceuticals* 178,155 203
Acorda Therapeutics* 54,105 980
Adolor* 32,100 61
Affymax* (A) 6,300 73
Affymetrix* 30,200 83
Albany Molecular Research* (A) 25,900 246
Alexion Pharmaceuticals* (A) 71,318 2,401
Align Technology* 56,530 396
Alnylam Pharmaceuticals* 11,184 204
Alpharma, Cl A* 6,002 217
AMAG Pharmaceuticals* (A) 19,541 658
Amedisys* (A) 29,000 1,128
American Medical Systems Holdings* 56,413 496
AMERIGROUP* (A) 51,090 1,255
AmerisourceBergen 34,704 1,088
AMN Healthcare Services* 36,300 324
Amsurg, Cl A* (A) 94,638 1,886
Analogic 3,905 152
Angiodynamics* 39,946 477
Arena Pharmaceuticals* (A) 297,100 1,147
Ariad Pharmaceuticals* (A) 436,900 581
Array Biopharma* (A) 129,135 488
Assisted Living Concepts, Cl A* 47,070 220
athenahealth* 42,835 1,171
Beckman Coulter 27,024 1,178
Biogen Idec* 17,100 724
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
BioMarin Pharmaceutical* (A) 184,261 $ 3,138
Bio-Rad Laboratories, Cl A* 13,415 995
Boston Scientific* 128,500 793
Cadence Pharmaceuticals* (A) 82,873 552
Capital Senior Living* 21,529 58
Caraco Pharmaceutical Laboratories* 6 --
Catalyst Health Solutions* 100,324 2,257
Celera* 67,800 660
Centene* 120,541 2,230
Cephalon* (A) 37,095 2,726
Charles River Laboratories International* (A) 30,025 685
Chemed 16,550 675
Computer Programs & Systems 4,800 134
Conceptus* (A) 17,278 254
Conmed* 83,068 1,953
Cooper 107,632 1,442
Corvel* 4,050 89
Covance* 49,409 1,931
Coventry Health Care* 70,800 883
Cross Country Healthcare* 8,715 76
Cubist Pharmaceuticals* (A) 172,700 4,242
CV Therapeutics* (A) 214,198 1,941
Cyberonics* (A) 60,600 832
Cynosure, Cl A* (A) 41,000 379
Cypress Bioscience* 43,200 232
Datascope 2,006 105
Dentsply International (A) 112,424 2,932
Depomed* 15,877 25
Eclipsys* 17,625 231
Edwards Lifesciences* 12,200 607
Electro-Optical Sciences* 130,000 448
Endo Pharmaceuticals Holdings* (A) 164,859 3,625
Enzo Biochem* 31,000 158
eResearch Technology* 109,210 616
Express Scripts* 16,154 929
Forest Laboratories* 27,500 665
Gen-Probe* 43,874 1,617
Genzyme* 7,548 483
Greatbatch* 57,100 1,443
GTx* (A) 10,200 151
Health Management Associates, Cl A* 64,152 94
Health Net* 55,225 498
Healthsouth* (A) 46,891 461
Healthspring* 43,523 635
Healthways* 55,525 449
Henry Schein* 19,023 680
Hill-Rom Holdings (A) 74,562 1,531
HLTH* (A) 122,955 1,152
Hologic* 37,052 521
Human Genome Sciences* (A) 279,300 483
Humana* 21,100 638
Idexx Laboratories* (A) 33,542 1,037
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
59
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund (Continued)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
I-Flow* 154,760 $ 616
Illumina* 48,700 1,072
Immucor* 92,935 2,255
Incyte* (A) 261,200 872
InterMune* (A) 24,000 276
Intuitive Surgical* 4,385 581
Inverness Medical Innovations* (A) 102,961 1,809
Isis Pharmaceuticals* 43,507 499
Kendle International* 31,995 655
Kensey Nash* 6,634 123
Kindred Healthcare* (A) 111,440 1,196
Kinetic Concepts* (A) 49,061 1,062
King Pharmaceuticals* 376,212 3,615
Laboratory Corp of America Holdings* 30,500 1,932
LCA-Vision (A) 55,500 220
LHC Group* 100,416 3,352
Life Technologies* (A) 56,974 1,487
LifePoint Hospitals* (A) 28,600 574
Lincare Holdings* (A) 69,793 1,670
Magellan Health Services* 124,021 4,074
Martek Biosciences 42,249 1,181
Medarex* (A) 753,000 3,803
MedAssets* 49,200 625
Medcath* 206 1
Medicines* 74,300 958
Medicis Pharmaceutical, Cl A (A) 154,587 1,891
Meridian Bioscience 27,800 662
Merit Medical Systems* 10,400 151
Metabolix* (A) 148,600 1,039
Micrus Endovascular* (A) 159,504 1,691
Millipore* (A) 12,635 640
Molina Healthcare* 5,174 123
MWI Veterinary Supply* (A) 61,107 1,525
Mylan Laboratories* 129,100 1,215
Myriad Genetics* 18,440 1,093
Nighthawk Radiology Holdings* 18,700 54
NPS Pharmaceuticals* 35,956 221
NuVasive* (A) 34,941 1,204
Odyssey HealthCare* 174,000 1,422
Omnicare (A) 57,253 1,380
Omnicell* 128,809 1,461
Omrix Biopharmaceuticals* (A) 20,818 518
Optimer Pharmaceuticals* (A) 64,006 509
Orthofix International* 48,195 577
OSI Pharmaceuticals* (A) 69,069 2,569
Owens & Minor 14,500 602
Palomar Medical Technologies* 21,900 198
Par Pharmaceutical* 9,863 115
Parexel International* 12,200 101
Patterson* 84,644 1,593
PDL BioPharma 75,504 723
Pediatrix Medical Group* (A) 177,701 5,530
PerkinElmer 106,337 1,920
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Perrigo (A) 13,746 $ 473
Pharmaceutical Product Development 54,972 1,448
PharmaNet Development Group* 32,100 39
Phase Forward* 456 7
Pozen* 20,900 142
Profarma Distribuidora de Produtos
Farmaceuticos (Brazil) 221,400 653
Quidel* 15,500 211
Regeneron Pharmaceuticals* 12,400 192
Res-Care* 128,242 1,673
Resmed* 27,950 1,016
Rigel Pharmaceuticals* (A) 143,900 1,068
Salix Pharmaceuticals* 18,300 148
Sepracor* (A) 8,100 95
Sirona Dental Systems* 157,239 1,884
Somanetics* 35,705 626
SonoSite* 10,125 183
STERIS 17,900 495
Sun Healthcare Group* 170,600 1,709
Symmetry Medical* 129,400 1,159
Techne 19,900 1,234
Teleflex 52,881 2,506
Theravance* (A) 135,692 906
TomoTherapy* 178,630 413
TranS1* (A) 30,400 226
United Therapeutics* (A) 17,032 934
Universal Health Services, Cl B 31,277 1,162
Valeant Pharmaceuticals International* 9,000 175
Varian* 53,700 1,965
Varian Medical Systems* 28,300 1,142
VCA Antech* (A) 22,256 424
Vertex Pharmaceuticals* 24,500 602
Viropharma* (A) 135,699 1,533
Warner Chilcott, Cl A* (A) 64,200 851
Waters* 59,921 2,470
Watson Pharmaceuticals* (A) 177,447 4,214
WellCare Health Plans* 34,900 313
Zoll Medical* 7,400 132
-------------
169,799
-------------
INDUSTRIALS -- 14.3%
AAON 7,300 139
Aceto 11,300 100
Actuant, Cl A 176,080 3,159
Acuity Brands (A) 37,091 1,000
Administaff 9,198 157
Advisory Board* 41,500 1,040
Aegean Marine Petroleum Network (A) 95,257 1,156
AGCO* (A) 43,776 1,078
Aircastle 45,300 246
Alaska Air Group* (A) 33,900 778
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
60
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Albany International, Cl A 16,052 $ 247
Alexander & Baldwin 11,237 290
Allen-Vanguard* 684,500 55
Alliant Techsystems* 12,837 1,055
Allied Waste Industries* 37,127 399
Altra Holdings* 38,000 293
Ametek (A) 71,265 2,489
AO Smith (A) 72,490 2,373
Apogee Enterprises 38,400 300
Applied Industrial Technologies 40,700 776
Arkansas Best (A) 28,345 753
Armstrong World Industries (A) 24,493 416
ATC Technology* 27,132 469
Avis Budget Group* 202 --
Barnes Group 101,370 1,357
BE Aerospace* 187,315 1,532
Beacon Roofing Supply* 6,471 76
Belden (A) 82,359 1,435
Blount International* 13,925 126
BlueLinx Holdings 1,324 3
Brady, Cl A 31,545 652
Briggs & Stratton 88,600 1,248
Brink's (A) 109,376 2,381
Bucyrus International, Cl A 32,153 628
C.H. Robinson Worldwide (A) 29,300 1,497
CBIZ* 21,883 176
Ceradyne* 29,512 775
Chart Industries* 68,917 659
Cintas 57,469 1,380
CIRCOR International 21,000 458
Clarcor 45,125 1,449
Columbus McKinnon* 17,115 201
Comfort Systems USA (A) 79,200 661
Consolidated Graphics* 50,194 721
Continental Airlines, Cl B* (A) 69,195 1,016
Con-way (A) 38,700 1,082
Copart* (A) 43,359 1,156
Corrections of America* (A) 203,326 3,678
CoStar Group* (A) 89,720 2,927
Courier 24,389 445
Covanta Holding* 11,575 231
CRA International* (A) 49,284 1,430
Crane 90,651 1,343
Cubic 58,000 1,534
Cummins 29,164 746
Curtiss-Wright 38,801 1,296
Delta Air Lines* 22,500 198
Deluxe (A) 59,405 625
Donaldson 29,375 1,005
Dover 65,303 1,948
Duff & Phelps, Cl A* 8,200 94
Dun & Bradstreet 38,266 3,061
Dycom Industries* 122,604 728
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Dynamic Materials (A) 99,100 $ 1,576
EMCOR Group* 112,369 1,772
Ennis 16,000 163
EnPro Industries* (A) 78,000 1,456
Equifax 41,414 1,054
ESCO Technologies* 9,000 275
Esterline Technologies* 59,017 2,178
Evergreen Solar* (A) 431,000 1,177
Expeditors International Washington 46,900 1,568
Fastenal 2,400 92
Federal Signal 66,300 465
Flowserve 6,862 345
Force Protection* 288,700 1,149
Forward Air 47,840 1,106
FTI Consulting* (A) 47,839 2,624
G&K Services, Cl A 33,762 790
Gardner Denver* 168,939 4,181
GATX 8,300 234
GenCorp* 43,725 125
Genesee & Wyoming, Cl A* 76,600 2,327
Geo Group* 56,700 1,094
GeoEye* (A) 62,500 1,249
Gibraltar Industries (A) 20,200 261
Goodrich 23,353 786
GrafTech International* 157,001 1,050
Graham (A) 48,683 443
Granite Construction (A) 48,100 2,063
Griffon* 53,800 430
GT Solar International* (A) 139,000 489
H&E Equipment Services* (A) 204,925 1,379
Harsco 22,600 568
Hawaiian Holdings* (A) 107,003 480
Heico, Cl A 41,770 971
Heidrick & Struggles International 22,001 455
Herman Miller 27,226 401
Hexcel* 77,600 582
HNI 365 5
Horizon Lines, Cl A 232,465 930
HUB Group, Cl A* 45,095 1,204
Hubbell, Cl B (A) 54,026 1,615
Huron Consulting Group* 27,100 1,412
ICF International* (A) 76,362 1,497
IDEX 84,605 1,946
Interface, Cl A 35,040 194
ITT 44,100 1,846
JA Solar Holdings ADR* 109,755 386
Jacobs Engineering Group* 17,944 803
JB Hunt Transport Services (A) 109,919 2,947
Joy Global 24,921 580
Kadant* 26,284 394
Kaman 13,504 318
Kansas City Southern* 82,325 1,805
Kaydon (A) 74,861 2,309
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
61
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund (Continued)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
KBR 18,900 $ 260
Kennametal (A) 50,250 940
Kirby* 90,011 2,289
Knoll 59,200 638
Ladish* 12,869 213
Landstar System (A) 37,625 1,209
LB Foster, Cl A* 25,530 814
Lennox International 109,336 3,022
Lincoln Electric Holdings 22,763 1,040
Lydall* 24,900 131
M&F Worldwide* (A) 23,186 365
Manitowoc (A) 49,164 387
Manpower 16,771 528
Masco 7,239 69
MasTec* 136,994 878
McGrath Rentcorp 3,900 70
Michael Baker* 19,200 632
Mine Safety Appliances 21,900 535
Monster Worldwide* 51,900 595
Mueller Industries 39,900 930
Mueller Water Products, Cl B 55,420 329
Navigant Consulting* 35,842 678
NCI Building Systems* (A) 23,300 355
NN 85,100 119
Old Dominion Freight Line* 88,635 2,109
Orbital Sciences* (A) 112,446 1,934
Orion Marine Group* (A) 161,900 1,239
Oshkosh Truck 93,794 657
Paccar 31,619 881
Pacer International 18,200 176
Pall (A) 112,513 3,095
Pentair (A) 45,000 1,119
Pitney Bowes 48,436 1,197
PRG-Schultz International* 26,100 117
Quanta Services* 110,390 1,795
Regal-Beloit 46,620 1,568
Republic Airways Holdings* 87,300 1,220
Resources Connection* 362,222 6,270
Ritchie Bros Auctioneers 31,892 596
Robbins & Myers 50,983 1,147
Rollins 102,600 1,777
Roper Industries (A) 20,200 925
RR Donnelley & Sons 86,865 1,108
RSC Holdings* (A) 183,200 1,491
Rush Enterprises, Cl A* 221,257 1,943
Ryder System 131,169 4,710
Sauer-Danfoss 18,084 146
School Specialty* 30,709 492
Seaboard 420 378
Shaw Group* 28,069 516
Skywest 36,853 560
Southwest Airlines 166,400 1,439
Spirit Aerosystems Holdings, Cl A* 90,689 821
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
SPX 22,000 $ 821
Standard Parking* 114,695 2,294
Standard Register 24,768 139
Steelcase, Cl A 188,635 1,217
Stericycle* (A) 14,873 852
Sterling Construction* 6,900 114
Sunpower, Cl A* (A) 85,344 2,964
Sunpower, Cl B* 15,301 398
Suntech Power Holdings ADR* (A) 43,600 373
SYKES Enterprises* 210,349 3,902
TAL International Group (A) 80,400 908
TBS International, Cl A* (A) 25,900 122
Tecumseh Products, Cl A* 34,631 409
Teledyne Technologies* 16,600 674
Tetra Tech* (A) 47,047 943
Textainer Group Holdings (A) 121,000 1,226
Textron 70,100 1,068
Thermadyne Holdings* 12,822 84
Thomas & Betts* 35,638 677
Toro 3,224 92
TransDigm Group* 36,465 1,295
Trex* 21,700 294
Trimas* 1,802 3
Triumph Group 14,504 496
United Rentals* (A) 68,204 550
United Stationers* 54,465 1,733
United Technologies 5,754 279
URS* 51,200 1,944
Valmont Industries 5,600 310
Wabtec (A) 56,561 2,183
Waste Connections* (A) 99,131 2,799
Watson Wyatt Worldwide, Cl A 57,408 2,315
Watts Water Technologies, Cl A 16,290 367
Werner Enterprises 37,086 645
WESCO International* 139,629 2,065
WW Grainger 12,000 847
Xerium Technologies 10,272 12
YRC Worldwide* (A) 44,500 177
-------------
214,318
-------------
INFORMATION TECHNOLOGY -- 16.1%
3Com* 455,477 916
Acxiom 103,187 775
ADC Telecommunications* (A) 223,173 1,587
Advanced Analogic Technologies* 292,000 733
Advanced Energy Industries* 151,858 1,181
Advanced Micro Devices* 73,100 173
Advent Software* (A) 56,600 1,262
Akamai Technologies* (A) 177,865 2,182
Alliance Data Systems* (A) 56,004 2,426
Amkor Technology* (A) 77,800 171
Analog Devices 50,129 857
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
62
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Anixter International* (A) 20,700 $ 567
Ansys* 31,800 918
Applied Micro Circuits* 118,900 440
Arris Group* (A) 548,585 3,944
Arrow Electronics* 68,086 940
Asyst Technologies* (A) 475,783 209
Atmel* 612,087 1,714
ATMI* (A) 197,692 2,357
Autodesk* 4,988 83
Avnet* 33,552 478
Avocent* 103,062 1,939
Bankrate* 33,130 910
Benchmark Electronics* (A) 113,525 1,439
Black Box 44,545 1,090
Blackbaud 1,116 14
Blackboard* (A) 25,606 631
BMC Software* 24,466 611
Brightpoint* 82,605 340
Broadridge Financial Solutions 37,700 430
Brooks Automation* 16,700 65
CACI International, Cl A* 12,594 559
Cadence Design Systems* (A) 127,769 493
Checkpoint Systems* 33,834 391
China Digital TV Holding ADR* (A) 95,400 468
Ciena* (A) 72,600 537
Cirrus Logic* 43,473 183
Citrix Systems* 18,442 492
Cognex 32,666 445
Cogo Group* 22,900 78
Coherent* 29,537 735
CommScope* 121,083 1,367
Commvault Systems* (A) 92,500 948
Computer Sciences* 71,635 1,996
Concur Technologies* (A) 44,660 1,226
Convergys* 118,100 743
Cray* 21,892 41
Cree* 9,164 146
CSG Systems International* 87,858 1,479
CTS 117,541 650
Cymer* (A) 28,415 668
Cypress Semiconductor* (A) 119,465 446
DealerTrack Holdings* (A) 288,999 3,425
Diebold (A) 122,982 3,444
Digital River* 22,836 482
Diodes* (A) 106,479 497
Dolby Laboratories, Cl A* 55,300 1,649
DSP Group* (A) 274,311 1,569
DST Systems* 11,400 431
DTS* 91,110 1,510
Earthlink* (A) 109,400 729
EF Johnson Technologies* (A) 118,500 153
Electronics for Imaging* 42,053 411
Emulex* 89,103 635
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Equinix* (A) 73,260 $ 3,327
Euronet Worldwide* 182,275 1,555
F5 Networks* 8,500 212
Factset Research Systems (A) 15,000 600
Fair Isaac 112 2
Fidelity National Information Services 6,590 113
Flextronics International* (A) 264,500 619
Flir Systems* 28,680 890
Gartner* 113,208 1,739
Gerber Scientific* 112,900 271
Gevity HR (A) 75,900 121
GSI Commerce* (A) 673,863 5,364
Harris Stratex Networks, Cl A* (A) 250,172 1,248
Heartland Payment Systems 28,950 497
Hewitt Associates, Cl A* 107,607 3,075
Hutchinson Technology* (A) 56,700 159
IAC* 36,300 537
Imation (A) 143,535 1,906
Immersion* (A) 237,900 921
Information Services Group* 253,600 786
Ingram Micro, Cl A* 47,838 515
Insight Enterprises* 72,500 295
Integral Systems 18,200 437
Integrated Device Technology* 555,445 2,872
InterDigital* 14,517 385
Intermec* 11,253 149
Internet Brands, Cl A* (A) 213,800 1,341
Intersil, Cl A 274,500 2,487
Intuit* 43,700 968
Itron* (A) 8,700 412
IXYS 12,100 88
j2 Global Communications* 39,800 777
Jabil Circuit 169,580 1,116
JDA Software Group* (A) 178,600 2,354
JDS Uniphase* 24,634 67
Juniper Networks* 14,699 256
Jupitermedia* 137,000 37
Kenexa* (A) 35,800 216
Keynote Systems* (A) 180,796 1,378
Knot* (A) 233,409 1,755
Kulicke & Soffa Industries* (A) 97,700 138
Lam Research* 31,619 639
Lawson Software* (A) 831,063 3,258
Lender Processing Services 80,100 1,767
Lexmark International, Cl A* 99,121 2,595
Linear Technology 24,400 487
Littelfuse* 33,788 508
LSI* 67,500 181
MAXIMUS (A) 24,800 779
McAfee* 53,423 1,620
MEMC Electronic Materials* 7,000 105
Mentor Graphics* (A) 130,910 888
MercadoLibre* (A) 34,645 427
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
63
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund (Continued)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Metavante Technologies* (A) 50,300 $ 869
Methode Electronics 119,400 1,010
Mettler Toledo International* 51,216 4,213
Microsemi* 310,940 6,060
MicroStrategy, Cl A* 13,180 470
Microtune* 34,150 79
MIPS Technologies, Cl A* 348,200 470
MKS Instruments* (A) 128,246 1,835
Molex (A) 96,673 1,315
Monolithic Power Systems* 20,086 192
Monotype Imaging Holdings* 99,742 539
Move* 211,025 251
MTS Systems 17,938 467
Multi-Fineline Electronix* (A) 43,400 453
National Semiconductor 38,212 420
NCR* 14,825 225
Net 1 UEPS Technologies* 118,475 1,208
NetApp* 27,029 365
Netgear* 119,500 1,446
Netscout Systems* 20,300 161
NeuStar, Cl A* 161,265 3,088
Novatel Wireless* (A) 279,800 1,072
Novellus Systems* (A) 30,300 375
Nuance Communications* (A) 151,433 1,390
Omniture* (A) 344,921 3,428
ON Semiconductor* (A) 244,115 713
Open Text* 12,293 327
OSI Systems* 98,524 1,368
Palm* (A) 223,101 533
Parametric Technology* 147,073 1,700
Park Electrochemical (A) 66,700 1,186
Parkervision* (A) 234,850 869
Pericom Semiconductor* 123,355 667
Perot Systems, Cl A* 67,129 838
Plantronics 24,108 306
Plexus* 74,895 1,249
PMC - Sierra* 820,300 3,289
Polycom* (A) 271,700 5,116
Power Integrations (A) 124,988 2,287
Powerwave Technologies* 125,857 60
QLogic* (A) 70,300 747
RealNetworks* 28,600 109
Red Hat* (A) 330,200 3,054
RF Micro Devices* (A) 388,000 516
Richardson Electronics 35,594 109
Riverbed Technology* (A) 319,400 2,999
Rogers* 3,300 93
Rudolph Technologies* 209,500 691
S1* 17,900 134
SAIC* 91,195 1,623
Salary.com* 223,825 531
Sapient* 199,100 784
SAVVIS* 143,850 1,132
Scansource* 25,491 434
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Seachange International* 144,500 $ 1,144
Seagate Technology 157,300 662
Silicon Image* 66,885 253
Silicon Laboratories* 72,497 1,520
SkillSoft ADR* 870,244 5,221
Skyworks Solutions* (A) 279,200 1,505
Sohu.com* (A) 28,840 1,400
Solera Holdings* 241,954 4,735
Standard Microsystems* 4,264 65
Stratasys* (A) 126,170 1,408
Sun Microsystems* 120,900 383
Sybase* (A) 154,341 3,803
Symyx Technologies* 20,413 82
Synaptics* 53,500 1,175
SYNNEX* (A) 32,643 341
Synopsys* 186,420 2,988
Tech Data* 10,814 189
Technitrol 43,001 150
TechTarget* 86,412 396
Techwell* (A) 17,900 99
Tekelec* 65 1
TeleCommunication Systems, Cl A* 17,200 136
TeleTech Holdings* 160,800 1,418
Teradata* 32,710 439
Teradyne* (A) 75,400 286
Terremark Worldwide* 344,085 1,249
Tessera Technologies* 123,504 2,270
TIBCO Software* 112,376 544
TNS* 44,100 377
Total System Services 49,900 712
Trimble Navigation* 149,677 3,047
TriQuint Semiconductor* (A) 740,674 1,911
TTM Technologies* (A) 269,338 1,376
Ultratech* 28,512 358
United Online (A) 255,972 1,697
Universal Display* (A) 127,500 929
Utstarcom* 138,341 263
Valueclick* 6,400 39
Varian Semiconductor Equipment Associates* 18,825 346
Vasco Data Security International* (A) 111,202 1,161
Veeco Instruments* 35,650 211
Vignette* 37,917 330
VistaPrint* (A) 437,774 7,158
Vocus* (A) 137,704 2,502
Western Digital* 97,404 1,188
Wind River Systems* (A) 158,200 1,319
Wright Express* 164,811 1,876
Xyratex* 80,198 221
Zoran* 6 --
Zygo* 109,018 721
-------------
242,116
-------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
64
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
MATERIALS -- 3.9%
A. Schulman 68,057 $ 924
Air Products & Chemicals 21,369 1,021
Airgas 68,956 2,465
Albemarle 34,917 710
AM Castle 7,900 72
AMCOL International (A) 42,500 856
Arch Chemicals 11,090 320
Ashland (A) 74,556 712
Bemis 24,431 660
Buckeye Technologies* 71,300 322
Cabot 41,871 866
Carpenter Technology 113,291 1,887
Celanese, Cl A 20,552 237
Century Aluminum* 17,704 144
CF Industries Holdings 3,831 202
Commercial Metals 25,400 304
Crown Holdings* 36,000 578
Cytec Industries 12,199 269
Domtar* 329,724 462
Eastman Chemical 33,102 1,089
Ecolab 41,400 1,589
Ferro 50,100 322
FMC 59,653 2,607
Glatfelter 889 8
Greif, Cl A 32,477 1,077
Grupo Simec ADR* 158,500 729
H.B. Fuller (A) 87,722 1,556
Horsehead Holding* 106,100 329
Innophos Holdings 38,480 634
Innospec 46,495 268
International Flavors & Fragrances 14,779 451
Katanga Mining (Canada)* 329,300 231
Koppers Holdings 11,336 243
Lubrizol 45,400 1,594
MeadWestvaco (A) 88,120 1,027
Myers Industries 108,232 658
Neenah Paper 41,905 343
NewMarket (A) 36,436 1,220
Olin (A) 121,786 1,995
OM Group* 12,300 243
Owens-Illinois* 118,179 2,390
Packaging of America 45,862 685
Pactiv* 142,034 3,549
PolyOne* 173,800 492
Reliance Steel & Aluminum 60,783 1,253
Rock-Tenn, Cl A 37,800 1,277
Rockwood Holdings* 77,360 692
RPM International 38,400 460
RTI International Metals* 14,600 176
Schnitzer Steel Industries, Cl A (A) 12,200 329
Schweitzer-Mauduit International 16,886 311
Silgan Holdings 149,921 6,782
Sonoco Products 121,042 3,038
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Spartech 559 $ 3
Steel Dynamics (A) 131,821 1,089
Temple-Inland (A) 158,700 501
Terra Industries 34,247 504
Titanium Metals (A) 88,400 747
United States Steel 4,300 131
Universal Stainless & Alloy* 65,000 793
US Concrete* 32,445 104
Valspar 6,835 134
Western Goldfields* 1,134,500 1,543
-------------
58,207
-------------
TELECOMMUNICATION SERVICES -- 2.0%
Alaska Communications Systems Group 96,225 933
Atlantic Telegraph-Network 11,100 255
Cbeyond* (A) 79,982 1,217
Centennial Communications* 309,100 2,389
CenturyTel (A) 125,166 3,324
Cincinnati Bell* (A) 262,011 453
Clearwire, Cl A* (A) 253,400 1,678
Embarq 51,258 1,673
Fairpoint Communications (A) 381,900 1,337
Globalstar* (A) 592,100 124
Iowa Telecommunications Services 60,742 929
NII Holdings* 223,700 4,349
NTELOS Holdings 25,082 557
SBA Communications, Cl A* (A) 343,279 5,420
Sierra Wireless* 134,300 1,098
Sierra Wireless* (A) 47,500 389
Syniverse Holdings* 150,461 1,470
Telephone & Data Systems 7,439 241
tw telecom inc, Cl A* 151,572 1,156
USA Mobility 37,525 409
Windstream 18,355 163
-------------
29,564
-------------
UTILITIES -- 5.2%
AGL Resources 162,078 4,880
Alliant Energy 67,583 2,154
Atmos Energy 73,390 1,830
Avista (A) 17,600 311
Black Hills 10,517 271
Cascal 59,400 262
Centerpoint Energy 155,000 2,004
Central Vermont Public Service 15,600 295
Cia de Saneamento de Minas
Gerais-COPASA (Brazil) 159,200 1,114
Cleco 91,636 2,160
Consolidated Edison 14,243 575
DPL 46,775 974
DTE Energy 2,730 102
Empire District Electric 45,242 794
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
65
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund (Concluded)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Energen 105,655 $ 3,254
Equitable Resources 73,926 2,467
Idacorp (A) 62,792 1,909
ITC Holdings (A) 86,530 3,634
Laclede Group 20,625 1,087
MDU Resources Group 29,185 593
National Fuel Gas 6,531 212
New Jersey Resources 57,530 2,310
Nicor (A) 50,100 2,043
Northeast Utilities 64,989 1,514
Northwest Natural Gas (A) 46,912 2,343
NorthWestern (A) 99,325 2,052
NV Energy 126,976 1,204
OGE Energy 57,515 1,524
Ormat Technologies (A) 18,900 569
Pepco Holdings 8,400 151
Pinnacle West Capital 79,600 2,420
PNM Resources 10,336 108
PNOC Energy Development (Philippines) 10,297,500 536
Portland General Electric 206,786 3,786
Puget Energy 58,600 1,435
Questar 50,900 1,639
Reliant Energy* 49,359 283
SCANA 147,477 5,125
Southwest Gas 45,049 1,167
TECO Energy 70,400 915
UGI 82,518 1,928
UIL Holdings 8,100 241
Unisource Energy 4,500 126
Vectren (A) 78,706 2,216
Westar Energy (A) 121,762 2,463
WGL Holdings 52,781 1,905
Wisconsin Energy (A) 127,010 5,520
Xcel Energy 57,684 1,085
-------------
77,490
-------------
Total Common Stock
(Cost $2,143,970) ($ Thousands) 1,395,798
-------------
EXCHANGE TRADED FUNDS -- 0.2%
iShares Russell 2000 Index Fund 35,617 1,681
Midcap SPDR Trust Series 1 14,025 1,313
Powershares QQQ 12,421 362
-------------
Total Exchange Traded Funds
(Cost $3,604) ($ Thousands) 3,356
-------------
Shares/Face
Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
PREFERRED STOCK -- 0.1%
FINANCIALS -- 0.1%
East West Bancorp 906 $ 824
-------------
Total Preferred Stock
(Cost $896) ($ Thousands) 824
-------------
CONVERTIBLE BONDS -- 0.1%
ENERGY -- 0.0%
Nova Biosource Fuels
10.000%, 09/30/12 $ 1,826 452
Scorpio Mining
7.000%, 05/05/11 (C) (G) (H) 509 290
-------------
742
-------------
INFORMATION TECHNOLOGY -- 0.1%
Hutchinson Technology
2.250%, 03/15/10 1,125 811
-------------
Total Convertible Bonds
(Cost $3,116) ($ Thousands) 1,553
-------------
Number of
Warrants
-------------
WARRANTS -- 0.0%
Oilsands Quest, Expires 12/08/09* 20,000 1
Rentech, Expires 04/25/12* (C) (G) (H) 13,800 2
Titanium Asset Management,
Expires 06/21/11* 105,000 142
Triplecrown Acquisition,
Expires 10/25/12* 178,525 18
-------------
Total Warrants
(Cost $189) ($ Thousands) 163
-------------
U.S. TREASURY OBLIGATIONS -- 0.6%
U.S. Treasury Bills
0.423%, 02/19/09 (D) (E) 875 875
0.010%, 02/12/09 (D) (E) 7,934 7,933
-------------
Total U.S. Treasury Obligations
(Cost $8,808) ($ Thousands) 8,808
-------------
CASH EQUIVALENT -- 3.8%
SEI Daily Income Trust,
Prime Obligation Fund, Cl A,
1.580%**+ 56,277,698 56,278
-------------
Total Cash Equivalent
(Cost $56,278) ($ Thousands) 56,278
-------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
66
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
AFFILIATED PARTNERSHIP -- 20.7%
SEI Liquidity Fund, L.P.,
1.630%**+ (F) 318,626,373 $ 310,845
-------------
Total Affiliated Partnership
(Cost $318,626) ($ Thousands) 310,845
-------------
Total Investments -- 118.6%
(Cost $2,535,487) ($ Thousands) $ 1,777,625
=============
A summary of the open futures contracts held by the Fund at November 30, 2008,
is as follows:
NUMBER OF UNREALIZED
TYPE OF CONTRACTS EXPIRATION DEPRECIATION
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- ------------------ ------------ ---------- -------------
Russell E-Mini 784 Dec-2008 $(1,318)
S&P Mid 400 E-Mini 611 Dec-2008 (480)
-------
$(1,798)
=======
Percentages are based on a Net Assets of $1,498,643 ($ Thousands)
* Non-income producing security.
** Rate shown is the 7-day effective yield as of November 30, 2008.
+ Investment in Affiliated Security (see Note 3).
+++ Real Estate Investment Trust
(A) This security or a partial position of this security is on loan at November
30, 2008. The total value of securities on loan at November 30, 2008 was
$303,935 ($ Thousands).
(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) Securities considered illiquid. The total value of such securities as of
November 30, 2008 was $1,157 ($ Thousands) and represented 0.08% of net
assets (see Note 3).
(D) Zero coupon security. The rate reported on the Schedule of Investments is
the effective yield at time of purchase.
(E) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
(F) 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,
2008 was $310,845 ($ Thousands)
(G) Securities considered restricted. The total value of such securities as of
November 30, 2008 was $777 ($ Thousands) and represented 0.05% of net
assets (see Note 3).
(H) Security fair valued using methods determined in good faith by the
Valuation Committee of the Board of Trustees. The total value of such
securities as of November 30, 2008 was $777 ($ Thousands) and represented
0.05% of net assets.
ADR -- American Depositary Receipt
Cl -- Class
CV -- Convertible Security
LLC -- Limited Liability Company
PIPE -- Private Investment in Public Entity
SPDR -- Standard & Poor's Depositary Receipts
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
67
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund
November 30, 2008
SECTOR WEIGHTINGS++:
(BAR CHART)
Financials 18.1%
Energy 9.3%
Health Care 8.7%
Telecommunication Services 8.2%
Industrials 8.0%
Consumer Staples 8.0%
Affiliated Partnership 7.1%
Materials 6.8%
Consumer Discretionary 6.1%
Utilities 5.9%
Information Technology 4.2%
Short-Term Investment 4.2%
U.S. Treasury Obligations 2.7%
Mortgage-Backed Securities 1.9%
Asset-Backed Securities 0.4%
U.S. Government Agency Obligations 0.3%
Rights 0.1%
++ Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 9).
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
COMMON STOCK -- 86.6%
AUSTRALIA -- 3.5%
AGL Energy (A) 23,200 $ 232
Amcor (A) 35,000 136
Ansell (A) 8,666 72
Aristocrat Leisure (A) 14,312 37
Australia & New Zealand
Banking Group (A) 165,460 1,609
AWB (A) 59,495 133
Babcock & Brown 11,693 2
Bank of Queensland (A) 9,200 59
Beach Petroleum (A) 10,500 6
BHP Billiton (A) 316,897 5,947
Billabong International (A) 5,585 39
BlueScope Steel (A) 7,967 21
Boart Longyear Group (A) 9,755 2
Brambles (A) 8,400 40
Campbell Brothers (A) 1,562 20
Centennial Coal (A) 102,355 176
CFS Retail Property Trust+++ (A) 48,400 67
Challenger Financial Services
Group (A) 141,531 126
Coca-Cola Amatil (A) 37,600 213
Cochlear (A) 6,212 225
Commonwealth Bank of Australia (A) 32,230 721
Computershare (A) 37,242 161
Crown (A) 23,323 71
CSL (A) 150,089 3,418
CSR (A) 13,680 12
Dexus Property Group+++ (A) 96,200 53
Downer EDI (A) 72,000 197
Energy Resources of Australia (A) 4,317 46
Fairfax Media (A) 16,607 15
Felix Resources (A) 13,530 49
Flight Centre (A) 7,100 41
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Foster's Group (A) 101,300 $ 363
Goodman Fielder (A) 325,290 287
Goodman Group+++ (A) 173,218 110
GPT Group+++ (A) 39,545 24
Incitec Pivot (A) 271,415 472
ING Industrial Fund+++ (A) 218,296 63
Insurance Australia Group (A) 49,200 118
JB Hi-Fi (A) 6,602 36
Lion Nathan (A) 29,700 169
Macquarie Airports (A) 465,293 619
Macquarie Group (A) 10,513 206
Macquarie Infrastructure Group (A) 660,681 759
Macquarie Office Trust+++ (A) 34,360 7
Mirvac Group+++ (A) 18,303 17
National Australia Bank (A) 123,646 1,627
Newcrest Mining (A) 31,964 509
Nufarm (A) 62,144 374
OneSteel (A) 12,704 21
Orica (A) 20,200 205
Origin Energy (A) 86,781 907
Pacific Brands (A) 174,604 85
Qantas Airways (A) 604,407 920
QBE Insurance Group (A) 11,500 180
Ramsay Health Care (A) 2,600 15
Rio Tinto (A) 8,534 261
Santos (A) 22,900 227
St. George Bank 8,926 128
Suncorp-Metway (A) 32,815 169
TABCORP Holdings (A) 52,575 241
Telstra (A) 632,069 1,678
Wesfarmers (A) 61,733 755
Westfield Group+++ (A) 60,000 589
Westpac Banking (A) 99,168 1,165
Woodside Petroleum (A) 10,351 245
Woolworths (A) 68,148 1,197
-------------
28,694
-------------
AUSTRIA -- 0.3%
Erste Group Bank (A) 13,472 308
IMMOFINANZ (A) 15,025 7
OMV (A) 34,933 884
Raiffeisen International Bank
Holding (A) 9,614 269
Voestalpine (A) 49,682 1,055
-------------
2,523
-------------
BELGIUM -- 0.7%
Banque Nationale de Belgique (A) 3 8
Colruyt (A) 2,814 607
Delhaize Group (A) 13,200 793
Dexia (A) 64,424 281
Euronav (A) 4,934 59
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
68
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Fortis (A) 89,621 $ 85
Groupe Bruxelles Lambert (A) 13,458 994
KBC Groep (A) 9,005 274
Solvay (A) 29,055 2,078
Telenet Group Holding* (A) 633 9
Tessenderlo Chemie (A) 746 22
UCB (A) 13,372 402
-------------
5,612
-------------
BERMUDA -- 0.0%
Hiscox (GBP) (A) 2,764 13
Huabao International Holdings
(HKD) (A) 9,000 6
Road King Infrastructure (HKD) (A) 12,000 4
Seadrill (NOK) (A) 43,559 353
-------------
376
-------------
BRAZIL -- 0.1%
Cia Vale do Rio Doce ADR, Cl B 20,200 220
Uniao de Bancos Brasileiros ADR 7,200 461
-------------
681
-------------
CANADA -- 2.4%
Agrium 12,910 406
Barrick Gold 50,400 1,532
Brookfield Asset Management, Cl A 40,300 620
Canadian Imperial Bank of
Commerce 14,900 599
Canadian National Railway 37,620 1,366
EnCana 93,740 4,442
Fairfax Financial Holdings 2,000 580
Gerdau Ameristeel 86,800 422
Goldcorp 95,090 2,565
Inmet Mining 5,900 91
National Bank of Canada 6,460 215
Nexen 53,673 1,103
Petro-Canada 52,170 1,418
Royal Bank of Canada 43,500 1,513
Sun Life Financial 45,500 1,014
TELUS, Cl A 146 5
Toronto-Dominion Bank 37,990 1,408
-------------
19,299
-------------
CHINA -- 0.5%
Bank of Communications, Cl H (A) 1,958,000 1,295
China Citic Bank (A) 34,270 12
China Life Insurance, Cl H (A) 630,650 1,628
China Petroleum & Chemical,
Cl H (A) 1,535,790 1,024
Foxconn International Holdings* (A) 2,770 1
-------------
3,960
-------------
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
CZECH REPUBLIC -- 0.1%
CEZ (A) 26,400 $ 1,062
-------------
DENMARK -- 0.6%
A P Moeller - Maersk, Cl A (A) 92 474
A P Moeller - Maersk, Cl B (A) 168 865
Carlsberg, Cl B (A) 450 14
D/S Nordern (A) 4,614 123
Danisco (A) 2,537 116
Danske Bank (A) 50,570 594
East Asiatic (A) 4,170 134
Novo-Nordisk, Cl B (A) 24,196 1,241
Vestas Wind Systems* (A) 25,725 1,165
-------------
4,726
-------------
FINLAND -- 1.1%
Fortum (A) 38,215 767
Konecranes (A) 13,657 203
Metso (A) 25,017 302
Nokia (A) 166,335 2,354
Pohjola Bank, Cl A (A) 6,233 80
Sampo, Cl A (A) 128,799 2,395
Stora Enso, Cl R (A) 135,800 1,105
UPM-Kymmene (A) 71,928 1,036
Wartsila, Cl B (A) 15,573 364
YIT (A) 1,362 8
-------------
8,614
-------------
FRANCE -- 8.3%
Air France-KLM (A) 33,000 430
Alcatel-Lucent (A) 66,601 142
Alstom (A) 7,944 425
Arkema (A) 15,200 294
Atos Origin (A) 1,773 39
AXA (A) 36,550 694
BNP Paribas (A) 98,120 5,431
Bouygues (A) 1,262 52
Capital Gemini (A) 22,759 733
Carrefour (A) 4,423 167
Casino Guichard Perrachon (A) 5,629 345
Christian Dior (A) 7,386 341
Cie de Saint-Gobain (A) 25,517 1,025
Cie Generale de
Geophysique-Veritas* (A) 3,555 59
CNP Assurances (A) 7,630 492
Compagnie Generale des
Etablissements Michelin, Cl B (A) 20,000 959
Credit Agricole (A) 161,140 1,798
Eramet (A) 513 96
Eurazeo (A) 908 47
Eutelsat Communications (A) 18,371 386
France Telecom (A) 374,722 9,628
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
69
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund (Continued)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Gaz de France (A) 106,786 $ 4,280
Gemalto* (A) 33,088 782
Lafarge (A) 8,768 484
Lagardere S.C.A. (A) 30,844 1,128
Pernod-Ricard (A) 17,485 1,030
Peugeot (A) 37,856 688
PPR (A) 8,310 396
Rallye (A) 3,565 64
Renault (A) 67,742 1,496
Sanofi-Aventis (A) 163,882 9,048
Schneider Electric (A) 8,745 552
SCOR (A) 13,752 269
SES Global (A) 2,447 43
Societe Generale (A) 66,222 2,835
Suez Environnement* 68,946 1,180
Thales (A) 10,297 386
Total (A) 261,727 13,732
UBISOFT Entertainment* (A) 17,884 413
Unibail-Rodamco+++ (A) 2,514 337
Vallourec (A) 6,872 733
Veolia Environnement (A) 15,040 376
Vilmorin & Cie (A) 1 --
Vivendi (A) 110,774 3,142
Wendel (A) 10,598 485
-------------
67,462
-------------
GERMANY -- 7.2%
Allianz 53,240 4,406
Arcandor* 8,201 19
BASF 117,871 3,753
Bayer 104,281 5,382
Bilfinger Berger 4,746 194
Commerzbank 62,520 572
DaimlerChrysler 25,141 787
Deutsche Bank 90,311 3,206
Deutsche Boerse 590 42
Deutsche Lufthansa 179,683 2,356
Deutsche Post 141,684 2,030
Deutsche Postbank 1,455 30
Deutsche Telekom 375,541 5,189
E.ON 255,464 8,924
Fresenius Medical Care 61,201 2,662
GEA Group 30,643 472
Hannover Rueckversicherung 9,648 221
Henkel 9,146 226
Hypo Real Estate Holding 10,638 37
Infineon Technologies* 121,400 285
K+S 8,268 370
KSB 129 51
Lanxess 11,400 191
Linde 9,655 704
MAN 13,081 592
Muenchener Rueckversicherungs 23,669 3,212
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Q-Cells* 13,900 $ 470
RWE 51,664 4,332
Salzgitter 8,352 576
SAP 96,661 3,292
SGL Carbon* 16,888 438
Siemens 25,899 1,547
Suedzucker 27,314 344
ThyssenKrupp 25,807 523
Tognum 19,372 211
TUI 60,970 678
Volkswagen 372 132
-------------
58,456
-------------
GREECE -- 0.2%
Alpha Bank (A) 56,651 578
Bank of Greece (A) 133 7
OPAP (A) 29,675 734
-------------
1,319
-------------
HONG KONG -- 2.2%
Allied Properties HK (A) 96,000 9
BOC Hong Kong Holdings (A) 1,148,250 1,333
Cheung Kong Holdings (A) 108,000 1,024
China Agri-Industries Holdings* (A) 45,000 16
China Mobile (A) 367,100 3,372
China Overseas Land &
Investment (A) 1,034,000 1,351
Chinese Estates Holdings (A) 94,000 70
CLP Holdings (A) 86,000 612
Dairy Farm International Holdings (A) 3,500 14
Emperor International Holdings (A) 46,580 3
Esprit Holdings (A) 143,450 680
First Pacific (A) 56,000 22
Great Eagle Holdings (A) 37,090 34
Guoco Group (A) 27,000 166
Hang Seng Bank (A) 87,130 1,118
Henderson Land Development (A) 79,900 274
Hong Kong & China Gas (A) 11,000 20
Hongkong & Shanghai Hotels (A) 23,500 17
HongKong Electric Holdings (A) 201,370 1,136
Hongkong Land Holdings (A) 375,000 903
Hopewell Highway Infrastructure (A) 158,000 85
Hopewell Holdings (A) 8,000 21
Hutchison Telecommunications
International 5,000 1
Hutchison Whampoa (A) 260,980 1,318
Hysan Development (A) 32,000 51
Jardine Matheson Holdings (A) 17,200 307
Jardine Strategic Holdings (A) 1,000 10
Kingboard Chemical Holdings (A) 20,000 30
Kowloon Development (A) 93,000 45
MTR (A) 212,500 474
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
70
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Noble Group (A) 425,000 $ 282
NWS Holdings (A) 60,300 70
Orient Overseas International (A) 32,500 53
Pacific Basin Shipping (A) 31,000 13
Pacific Century Premium
Developments (A) 262,000 64
PCCW (A) 344,000 158
SEA Holdings 4,000 1
Shui On Construction and
Materials (A) 8,000 4
Sinolink Worldwide Holdings (A) 618,000 35
Sun Hung Kai Properties (A) 182,900 1,461
Texwinca Holdings (A) 8,000 4
USI Holdings (A) 20,000 2
VTech Holdings (A) 2,000 6
Wharf Holdings (A) 157,052 376
Wheelock (A) 178,930 341
Wing Hang Bank (A) 4,500 21
Wing On International (A) 7,000 7
Yue Yuen Industrial Holdings (A) 85,490 156
-------------
17,570
-------------
IRELAND -- 0.0%
DCC (A) 4,477 60
Experian (A) 33,184 202
Kerry Group, Cl A (A) 6,020 125
-------------
387
-------------
ISRAEL -- 0.4%
Teva Pharmaceutical Industries ADR 75,260 3,247
-------------
ITALY -- 3.2%
ACEA (A) 39,758 514
Banca Intesa (A) 619,802 1,865
Banca Intesa RNC (A) 44,685 96
Banche Popolari Unite (A) 9,679 139
Banco Popolare Scarl (A) 109,084 999
Enel (A) 655,354 4,094
ENI (A) 360,600 8,174
Fiat (A) 84,944 626
Fondiaria-Sai (A) 23,700 431
IFIL - Investments (A) 134,684 392
Iride (A) 9,076 12
Italcementi (A) 7,129 42
Mediobanca (A) 52,023 536
Prysmian (A) 8,527 95
Telecom Italia (A) 4,895,533 5,958
Terna Rete Elettrica Nazionale (A) 178,457 529
UniCredito Italiano (A) 672,375 1,535
Unipol Gruppo Finanziario (A) 262,689 378
-------------
26,415
-------------
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
JAPAN -- 20.1%
77 Bank (A) 48,000 $ 228
ADEKA (A) 3,300 20
Aderans Holdings (A) 1,100 9
Aeon (A) 50,000 446
Aeon Credit Service (A) 36,800 463
Aeon Delight (A) 1,000 27
Aichi Bank (A) 200 16
Aiful (A) 18,750 48
Aioi Insurance (A) 15,000 60
Aisan Industry (A) 1,100 6
Aisin Seiki (A) 13,500 180
Ajinomoto (A) 40,000 427
Akita Bank (A) 1,000 4
Aloka (A) 2,200 16
Amada (A) 12,000 56
Amano (A) 100 1
AOC Holdings (A) 5,200 28
AOKI Holdings (A) 2,500 30
Aoyama Trading (A) 4,200 55
Aozora Bank (A) 15,000 17
Asahi Breweries (A) 41,800 734
Asahi Glass (A) 98,000 553
Asahi Kasei (A) 102,000 435
Asics (A) 6,000 36
Astellas Pharma (A) 72,600 2,982
Bank of Kyoto (A) 117,000 1,185
Bank of Nagoya (A) 16,000 91
Belluna (A) 2,850 7
Benesse (A) 18,300 776
BML (A) 100 2
Bridgestone (A) 46,000 775
Calsonic Kansei (A) 18,000 29
Canon Finetech (A) 2,300 23
Cawachi (A) 7,400 116
Central Japan Railway (A) 161 1,369
Chiba Bank (A) 41,000 196
Chiba Kogyo Bank* (A) 3,200 38
Chubu Electric Power (A) 21,300 589
Chudenko (A) 4,300 70
Circle K Sunkus (A) 13,000 246
CKD (A) 1,300 4
Coca-Cola Central Japan (A) 3 20
Coca-Cola West Holdings (A) 3,200 69
Corona (A) 700 6
Cosmo Oil (A) 6,000 15
Credit Saison (A) 27,200 364
CyberAgent (A) 424 262
Dai Nippon Printing (A) 4,000 42
Daihatsu Motor (A) 62,000 451
Daiichi Sankyo (A) 50,900 1,047
Daiichikosho (A) 1,900 20
Dainippon Ink and Chemicals (A) 63,000 109
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
71
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund (Continued)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Dainippon Sumitomo Pharma (A) 29,000 $ 247
Daishi Bank (A) 5,000 21
DaVinci Advisors* (A) 296 23
DCM Japan Holdings (A) 14,900 112
Dena (A) 14 35
Denso (A) 26,800 446
Earth Chemical (A) 200 6
East Japan Railway (A) 563 4,370
EDION (A) 1,700 7
Eighteenth Bank (A) 11,000 31
Eisai (A) 8,400 286
Electric Power Development (A) 25,100 879
FamilyMart (A) 53,000 2,168
Fancl* (A) 400 5
Fast Retailing (A) 19,900 2,290
Fuji Electric Holdings (A) 61,000 80
Fuji Fire & Marine Insurance (A) 29,000 50
Fuji Heavy Industries (A) 63,000 191
Fuji Machine Manufacturing (A) 1,700 12
Fuji Television Network (A) 100 140
FUJIFILM Holdings (A) 43,300 1,063
Fujikura (A) 6,000 18
Fujitsu (A) 600,000 2,612
Fujitsu Business Systems (A) 100 1
Fukuoka Financial Group (A) 72,000 235
Furukawa Electric (A) 148,000 572
Furuno Electric (A) 2,300 13
Fuyo General Lease (A) 1,000 16
Gunma Bank (A) 4,000 24
Hachijuni Bank (A) 10,000 51
Heiwado (A) 3,100 46
Higashi-Nippon Bank (A) 13,000 37
Higo Bank (A) 6,000 37
HI-LEX (A) 200 2
Hino Motors (A) 34,000 71
Hisamitsu Pharmaceutical (A) 15,100 611
Hitachi (A) 446,100 2,081
Hitachi Capital (A) 6,600 59
Hitachi Chemical (A) 16,500 160
Hitachi Koki (A) 6,400 48
Hitachi Maxell (A) 6,400 52
Hitachi Metals (A) 76,000 455
Hitachi Software Engineering (A) 3,900 57
Hitachi Systems & Services (A) 500 7
Hokkaido Electric Power (A) 11,100 261
Hokuetsu Bank (A) 19,000 42
Hokuriku Electric Power (A) 7,100 181
Honda Motor (A) 185,300 4,163
Hosiden (A) 7,300 90
Hyakugo Bank (A) 18,000 109
Hyakujushi Bank (A) 8,000 40
Inpex Holdings (A) 157 1,010
Isetan Mitsukoshi Holdings (A) 29,200 215
Isuzu Motors (A) 661,000 826
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
IT Holdings (A) 8,300 $ 109
Itochu (A) 271,000 1,380
Itochu Enex (A) 5,500 29
Itoham Foods (A) 3,000 11
Izumiya (A) 4,000 23
J Front Retailing (A) 2,000 8
Japan Airlines (A) 140,000 326
Japan Aviation Electronics
Industry (A) 9,000 35
Japan Petroleum Exploration (A) 1,200 48
Japan Steel Works (A) 195,890 2,025
Japan Tobacco (A) 633 2,337
JFE Holdings (A) 96,400 2,355
JFE Shoji Holdings (A) 15,000 41
JGC (A) 15,000 174
Juroku Bank (A) 7,000 28
Kagawa Bank (A) 3,000 16
Kajima (A) 29,000 85
Kamigumi (A) 15,000 117
Kaneka (A) 33,000 152
Kansai Electric Power (A) 12,100 329
Kanto Natural Gas Development (A) 5,000 36
Kao (A) 88,000 2,530
Kasumi (A) 4,000 23
Kawasaki Kisen Kaisha (A) 117,000 473
KDDI (A) 447 2,923
Keisei Electric Railway (A) 31,000 162
Kirin Holdings (A) 140,000 1,711
Kissei Pharmaceutical (A) 2,000 52
Koito Manufacturing (A) 2,000 13
Komatsu (A) 57,000 688
Komori (A) 6,300 68
Konami (A) 24,000 544
Konica Minolta Holdings (A) 10,500 78
Kose (A) 4,100 98
Kuraray (A) 21,000 171
Kurita Water Industries (A) 27,600 657
Kuroda Electric (A) 1,700 13
Kyoei Steel (A) 1,400 21
Kyorin (A) 2,000 21
Kyowa Hakko Kogyo (A) 12,000 102
Kyushu Electric Power (A) 26,300 625
Lawson (A) 30,900 1,552
Leopalace21 (A) 28,700 271
Lintec (A) 7,500 84
Lion (A) 13,000 74
Maeda (A) 10,000 32
Maeda Road Construction (A) 3,000 24
Makita (A) 10,700 209
Mandom (A) 1,400 39
Marubeni (A) 312,000 1,099
Maruichi Steel Tube (A) 2,200 53
Matsushita Electric Industrial (A) 53,000 646
Mazda Motor (A) 170,000 295
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
72
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Meiji Seika Kaisha (A) 26,000 $ 117
Micronics Japan (A) 1,200 10
Mie Bank (A) 5,000 20
Mikuni Coca-Cola Bottling (A) 2,700 24
Millea Holdings (A) 45,600 1,107
Minato Bank (A) 27,000 35
Mitsubishi (A) 214,400 2,675
Mitsubishi Chemical Holdings (A) 256,500 1,078
Mitsubishi Electric (A) 206,000 1,116
Mitsubishi Estate (A) 54,000 809
Mitsubishi Gas Chemical (A) 108,000 414
Mitsubishi Heavy Industries (A) 104,000 425
Mitsubishi Materials (A) 15,000 30
Mitsubishi UFJ Financial Group (A) 877,000 4,887
Mitsui (A) 216,000 1,926
Mitsui Chemicals (A) 246,000 1,000
Mitsui Fudosan (A) 51,000 789
Mitsui Home (A) 5,000 23
Mitsui OSK Lines (A) 171,000 914
Mitsui Sumitomo Insurance Group
Holdings (A) 58,800 1,407
Mitsui Trust Holdings (A) 236,000 888
Mitsumi Electric (A) 14,000 180
Mizuho Financial Group (A) 72 192
Mizuno (A) 4,000 19
Mochida Pharmaceutical (A) 2,000 23
Morinaga Milk Industry (A) 19,000 64
Murata Manufacturing (A) 15,500 537
N E Chemcat (A) 1,000 14
Nachi-Fujikoshi (A) 6,000 12
Nafco (A) 1,300 16
Nagase (A) 10,000 88
Namco Bandai Holdings (A) 71,200 714
NEC (A) 147,000 415
NEC Fielding (A) 800 8
NHK Spring (A) 15,000 54
Nichirei (A) 11,000 46
Nikon (A) 46,400 527
Nintendo (A) 20,435 6,375
Nippo (A) 6,000 41
Nippon Beet Sugar
Manufacturing (A) 1,000 3
Nippon Denko (A) 3,000 13
Nippon Electric Glass (A) 63,000 362
Nippon Konpo Unyu Soko (A) 1,000 10
Nippon Meat Packers (A) 7,000 88
Nippon Mining Holdings (A) 304,400 903
Nippon Oil (A) 168,000 635
Nippon Seiki (A) 1,000 7
Nippon Sheet Glass (A) 236,000 687
Nippon Shinyaku (A) 6,000 71
Nippon Shokubai (A) 5,000 28
Nippon Steel (A) 113,000 355
Nippon Telegraph & Telephone (A) 2,084 9,209
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Nippon Thompson (A) 1,000 $ 4
Nippon Yusen (A) 235,000 1,283
Nipponkoa Insurance (A) 32,000 204
Nishimatsu Construction (A) 18,000 26
Nishi-Nippon City Bank (A) 75,000 157
Nissan Motor (A) 558,900 1,890
Nissan Shatai (A) 10,000 61
Nisshin Oillio Group (A) 10,000 48
Nisshin Steel (A) 1,000 1
Nitori (A) 800 57
Nitto Denko (A) 11,000 185
Nitto Kogyo (A) 2,300 20
NOK (A) 2,500 19
Nomura Holdings (A) 2,700 20
Nomura Real Estate Holdings (A) 15,300 230
NSK (A) 23,000 85
NTT DoCoMo (A) 1,125 1,888
Oita Bank (A) 1,000 6
OJI Paper (A) 45,000 218
Oki Electric Industry, Cl B (A) 467,000 340
Okinawa Cellular Telephone (A) 3 6
OKUMA (A) 5,000 19
Omron (A) 20,900 273
Onward Holdings (A) 24,000 178
ORIX (A) 26,670 1,668
Osaka Gas (A) 41,000 157
Point (A) 840 41
Promise (A) 25,700 532
QP (A) 7,000 78
Rakuten (A) 5,476 3,012
Resona Holdings (A) 510 716
Ricoh (A) 43,000 451
Risa Partners (A) 10 3
Riso Kagaku (A) 1,600 17
Roland (A) 1,300 13
Roland DG (A) 200 3
Round One (A) 41 20
Sakai Chemical Industry (A) 3,000 7
San-A, Cl A (A) 100 3
San-In Godo Bank (A) 11,000 81
Sankyo (A) 5,900 324
Sankyu (A) 21,000 81
Sanwa Shutter (A) 34,000 116
Sapporo Hokuyo Holdings (A) 47 179
Sazaby League (A) 1,100 13
Seiko Epson (A) 21,200 306
Seino Holdings (A) 14,000 71
Senshukai 3,400 26
Seven & I Holdings (A) 102,100 2,898
Seven Bank 159 564
SFCG (A) 1,150 15
Sharp (A) 297,000 2,012
Shimadzu (A) 17,000 114
Shimamura (A) 1,200 92
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
73
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund (Continued)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Shimano (A) 16,800 $ 624
Shin-Etsu Chemical (A) 5,400 207
Shionogi (A) 16,000 351
Shiseido (A) 23,000 430
Showa (A) 100 --
Showa Shell Sekiyu (A) 29,900 249
Sintokogio (A) 1,700 11
Sky Perfect JSAT (A) 569 217
Softbank (A) 56,200 771
Sompo Japan Insurance (A) 59,000 342
Sony (A) 51,600 1,007
Sony Financial Holdings (A) 86 256
SQUARE ENIX HOLDINGS CO (A) 12,700 364
SRI Sports (A) 6 6
Stanley Electric (A) 3,500 42
Sumikin Bussan (A) 4,000 9
Sumisho Computer Systems (A) 1,700 27
Sumitomo (A) 123,100 1,089
Sumitomo Chemical (A) 128,000 450
Sumitomo Metal Industries (A) 54,000 140
Sumitomo Metal Mining (A) 148,000 1,411
Sumitomo Mitsui Financial Group (A) 543 1,977
Sumitomo Trust & Banking (A) 101,000 458
Suruga Bank (A) 52,273 531
Suzuken (A) 14,100 317
Suzuki Motor (A) 34,700 470
T&D Holdings (A) 33,550 1,256
Taisho Pharmaceutical (A) 10,000 181
Takashimaya (A) 13,000 94
Takata (A) 7,600 60
Takeda Pharmaceutical (A) 40,900 1,992
Takefuji (A) 32,550 229
Takeuchi Manufacturing (A) 900 7
Tanabe Seiyaku (A) 123,000 1,540
TDK (A) 10,600 360
Teijin (A) 93,000 259
Temp Holdings 300 2
Terumo (A) 1,400 65
Toagosei (A) 24,000 60
Tochigi Bank (A) 16,000 92
Toei 4,000 17
Toho Gas (A) 17,000 99
Tohoku Electric Power (A) 48,300 1,178
Tokai Rika (A) 7,100 68
Tokuyama (A) 8,000 61
Tokyo Dome (A) 6,000 19
Tokyo Electric Power (A) 153,200 4,574
Tokyo Gas (A) 12,000 54
Tokyo Style (A) 2,000 15
Toppan Printing (A) 37,000 278
Topre (A) 2,500 22
Topy Industries (A) 5,000 10
Toshiba (A) 526,000 1,933
Toshiba TEC (A) 20,000 54
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Tosoh (A) 34,000 $ 71
Toyo Kohan (A) 2,000 8
Toyo Seikan Kaisha (A) 100 1
Toyo Suisan Kaisha (A) 24,000 563
Toyoda Gosei (A) 5,300 67
Toyota Industries (A) 22,300 438
Toyota Motor (A) 172,700 5,556
Trusco Nakayama (A) 1,100 13
TS Tech (A) 400 3
Tsuruha Holdings (A) 700 21
TV Asahi (A) 1 1
Ube Industries (A) 31,000 62
Unipres (A) 1,500 14
UNY (A) 41,000 362
Valor (A) 1,300 12
West Japan Railway (A) 123 548
Yachiyo Bank (A) 14 43
Yamaha (A) 16,400 152
Yamaha Motor (A) 29,500 281
Yamanashi Chuo Bank (A) 3,000 17
Yamato Kogyo (A) 10,000 225
Yamazaki Baking (A) 12,000 160
Yaskawa Electric (A) 13,000 57
Yodogawa Steel Works (A) 7,000 28
Yokogawa Electric (A) 400 2
Yurtec (A) 6,000 29
-------------
163,767
-------------
JERSEY -- 0.0%
Meinl European Land* (A) 14,598 36
-------------
MAURITIUS -- 0.0%
Golden Agri-Resources (SGD) (A) 198,000 30
-------------
MEXICO -- 0.2%
Fomento Economico Mexicano ADR 51,400 1,414
-------------
NETHERLANDS -- 4.2%
Aegon (A) 137,253 651
Akzo Nobel (A) 6,618 226
Boskalis Westminster (A) 20,533 587
CSM (A) 446 6
European Aeronautic Defense and
Space (A) 167,609 2,663
Fugro (A) 13,957 444
ING Groep (A) 296,195 2,497
Koninklijke Ahold (A) 371,891 4,141
Koninklijke DSM (A) 39,334 911
Koninklijke Philips Electronics (A) 1,292 21
Koninklijke Vopak (A) 11,573 336
Nutreco Holding (A) 2,924 95
Randstad Holding (A) 16,360 306
Reed Elsevier (A) 70,595 834
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
74
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Royal Dutch Shell, Cl A (GBP) (A) 119,097 $ 3,192
Royal Dutch Shell, Cl A (A) 269,125 7,163
Royal Dutch Shell, Cl B (A) 147,297 3,859
Royal KPN (A) 105,749 1,459
SNS Reaal (A) 2,406 15
TNT (A) 1,633 34
TomTom* (A) 2,045 12
Unilever (A) 207,196 4,831
-------------
34,283
-------------
NEW ZEALAND -- 0.0%
Fisher & Paykel Healthcare (A) 32,207 54
New Zealand Oil & Gas (A) 5,300 4
Vector (A) 76,740 84
-------------
142
-------------
NORWAY -- 0.7%
DnB (A) 257,222 975
Norsk Hydro (A) 64,360 234
Petroleum Geo-Services* (A) 15,950 72
Statoil (A) 236,070 3,987
Telenor (A) 25,500 138
Yara International (A) 22,089 366
-------------
5,772
-------------
PORTUGAL -- 0.2%
Energias de Portugal (A) 288,000 979
Jeronimo Martins (A) 88,695 463
Portugal Telecom (A) 61,229 454
-------------
1,896
-------------
RUSSIA -- 0.2%
LUKOIL ADR (A) (B) 28,740 924
MMC Norilsk Nickel ADR (A) 71,170 531
-------------
1,455
-------------
SINGAPORE -- 0.6%
ComfortDelgro (A) 207,000 187
DBS Group Holdings (A) 54,000 339
Fraser and Neave (A) 56,000 106
Haw Par (A) 14,000 31
Hong Leong Asia (A) 29,000 10
Jardine Cycle & Carriage (A) 16,000 112
Keppel (A) 98,000 276
Neptune Orient Lines (A) 79,000 55
Oversea-Chinese Banking (A) 317,000 1,088
SembCorp Industries (A) 102,000 150
Singapore Airlines (A) 9,600 67
Singapore Land (A) 1,000 2
Singapore Petroleum (A) 76,000 107
Singapore Technologies
Engineering (A) 160,000 251
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Singapore Telecommunications (A) 61,000 $ 104
SP Chemicals (A) 96,000 45
United Overseas Bank (A) 196,000 1,727
UOB-Kay Hian Holdings (A) 59,000 36
Venture (A) 10,000 27
Wheelock Properties (A) 25,370 14
Wilmar International (A) 164,000 305
Yanlord Land Group (A) 56,000 23
-------------
5,062
-------------
SOUTH AFRICA -- 0.4%
ArcelorMittal (A) 114,707 2,759
Sanlam (A) 379,530 627
-------------
3,386
-------------
SOUTH KOREA -- 0.1%
Honam Petrochemical (A) 6,500 196
Hyundai Mobis (A) 2,780 117
Industrial Bank of Korea (A) 26,750 127
KB Financial Group* 9,600 198
-------------
638
-------------
SPAIN -- 3.0%
ACS Actividades
Construcciones y Servicios (A) 24,171 957
Banco Bilbao Vizcaya Argentaria (A) 146,836 1,522
Banco Espanol de Credito (A) 1,151 13
Banco Santander (A) 4,201 34
Banco Santander Central
Hispano (A) 590,623 4,847
Criteria Caixacorp (A) 67,227 229
Ebro Puleva (A) 1,147 15
Financiera Alba (A) 2,153 69
Gas Natural (A) 74,484 2,063
Grifols (A) 33,308 574
Grupo Catalana Occidente (A) 3,309 55
Iberdrola (A) 359,017 2,662
Iberdrola Renovables* 62,960 210
Mapfre (A) 276,468 871
Promotora de Informaciones (A) 23,084 84
Prosegur Cia de Seguridad (A) 1,141 32
Repsol (A) 175,431 3,376
Sacyr Vallehermoso (A) 5,895 57
Telefonica (A) 342,447 6,932
Union Fenosa (A) 2,539 55
-------------
24,657
-------------
SWEDEN -- 1.5%
Alfa Laval (A) 14,000 110
Atlas Copco, Cl B (A) 7,242 45
Atlas Copco, Cl A (A) 36,269 257
Eniro (A) 19,201 33
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
75
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund (Continued)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Getinge, Cl B (A) 27,120 $ 326
Hennes & Mauritz, Cl B (A) 4,828 179
Investor, Cl B (A) 83,671 1,186
NCC, Cl B (A) 1,069 5
Nordea Bank (A) 308,088 2,226
Oriflame Cosmetics (A) 880 24
Saab, Cl B (A) 6,228 43
Scania, Cl B (A) 7,787 61
Securitas, Cl B (A) 47,128 448
Skandinaviska Enskilda Banken,
Cl A (A) 46,376 393
SKF, Cl B (A) 171 1
Svenska Cellulosa, Cl B (A) 117,700 955
Svenska Handelsbanken, Cl A (A) 40,043 668
Swedbank (A) 53,341 385
Swedish Match (A) 37,867 580
Tele2, Cl B (A) 32,000 262
Telefonaktiebolaget LM Ericsson,
Cl B (A) 494,206 3,471
TeliaSonera (A) 49,949 225
Trelleborg, Cl B (A) 12,277 67
Volvo, Cl B (A) 136,332 610
-------------
12,560
-------------
SWITZERLAND -- 7.8%
ABB (A) 27,244 353
ACE 9,977 521
Actelion* (A) 13,414 604
Adecco (A) 19,500 579
Baloise Holding (A) 17,890 1,000
Banque Cantonale Vaudoise (A) 110 31
Bobst Group (A) 381 12
Clariant (A) 30,488 187
Credit Suisse Group (A) 116,181 3,403
Elektrizitaets-Gesellschaft
Laufenburg (A) 224 171
Galenica (A) 197 56
Georg Fischer (A) 88 17
Helvetia Holding (A) 1,227 208
Holcim (A) 2,043 91
Kuoni Reisen Holding (A) 122 32
Lindt & Spruengli (A) 150 291
Nestle (A) 393,167 14,231
Novartis (A) 291,607 13,600
Pargesa Holding (A) 771 60
Petroplus Holdings (A) 2,105 39
Roche Holding (A) 48,118 6,737
STMicroelectronics (A) 34,847 230
STMicroelectronics (EUR) (A) 926 6
Sulzer (A) 4,114 220
Swatch Group (A) 13,024 291
Swiss Life Holding (A) 6,890 424
Swiss Reinsurance (A) 72,217 2,949
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Swisscom (A) 4,260 $ 1,219
Syngenta (A) 24,037 4,319
Synthes (A) 5,533 641
Temenos Group* (A) 18,048 228
UBS* (A) 116,741 1,458
Xstrata (A) 108,367 1,559
Zurich Financial Services (A) 40,110 7,820
-------------
63,587
-------------
TAIWAN -- 0.4%
AU Optronics (A) 1,175,000 721
Chunghwa Telecom (A) 977,730 1,545
Compal Electronics (A) 1,037,781 540
Taiwan Semiconductor
Manufacturing (A) 530,892 662
-------------
3,468
-------------
THAILAND -- 0.0%
PTT (A) 101,300 423
-------------
UNITED KINGDOM -- 16.4%
3i Group (A) 92,851 590
Aegis Group (A) 102,543 99
Aggreko (A) 37,332 258
Amec (A) 233,890 1,895
Anglo American (A) 48,963 1,163
Antofagasta (A) 23,600 157
Arriva (A) 1,433 14
Associated British Foods (A) 114,100 1,190
AstraZeneca (A) 202,304 7,610
Autonomy* (A) 157,129 2,258
Aveva Group (A) 2,195 18
Aviva (A) 364,616 2,258
Babcock International Group (A) 72,292 534
BAE Systems (A) 1,109,885 6,061
Balfour Beatty (A) 16,587 78
Barclays (A) 1,344,995 3,559
BBA Aviation (A) 13,357 16
BG Group (A) 336,304 4,789
BHP Billiton (A) 274,822 4,961
BP (A) 1,622,576 13,122
Brit Insurance Holdings (A) 29,951 94
British American Tobacco (A) 203,491 5,315
British Energy Group (A) 133,000 1,529
British Land+++ (A) 18,437 149
BT Group, Cl A (A) 1,364,598 2,819
Cable & Wireless (A) 711,422 1,635
Centrica (A) 788,093 2,872
Charter International 29,444 138
Close Brothers Group (A) 5,899 43
Cobham (A) 235,558 644
Colt Telecom Group* (A) 13,274 12
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
76
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Compass Group (A) 436,776 $ 2,063
Cookson Group (A) 16,604 28
Diageo (A) 72,551 1,009
Drax Group (A) 3,091 29
Eurasian Natural Resources (A) 64,992 279
Firstgroup (A) 68,672 497
Friends Provident (A) 39,450 45
Game Group (A) 124,640 300
GlaxoSmithKline (A) 434,146 7,492
Greene King (A) 10,600 64
Group 4 Securicor (A) 228,058 712
Hammerson+++ (A) 512 4
Hays (A) 25,093 28
HBOS (A) 1,014,483 1,429
Home Retail Group (A) 440,071 1,379
HSBC Holdings (A) 827,664 9,009
IG Group Holdings (A) 90,354 312
Imperial Tobacco Group (A) 88,405 2,202
Inmarsat (A) 66,477 445
International Power (A) 13,128 52
Invensys (A) 81,171 207
Investec (A) 34,699 142
Jardine Lloyd Thompson Group (A) 11,479 88
John Wood Group (A) 44,697 147
Kazakhmys (A) 28,450 114
Kingfisher (A) 372,000 684
Land Securities Group+++ (A) 37,468 545
Legal & General Group (A) 1,500,174 1,565
Liberty International+++ (A) 7,473 62
Lloyds TSB Group (A) 684,051 1,762
LogicaCMG (A) 136,558 139
Man Group (A) 16,855 65
Marston's (A) 17,030 28
Meggitt (A) 12,882 29
Mondi (A) 121,880 312
National Express Group (A) 1,617 14
National Grid (A) 72,731 757
Northumbrian Water Group (A) 7,931 32
Old Mutual (A) 1,220,426 1,033
Prudential (A) 156,497 819
QinetiQ (A) 26,048 70
Reckitt Benckiser Group (A) 56,357 2,390
Rio Tinto (A) 67,738 1,681
Rolls-Royce Group (A) 47,162 227
Royal & Sun Alliance Insurance
Group (A) 1,172,683 2,760
Royal Bank of Scotland Group (A) 2,000,878 1,714
Sage Group (A) 79,420 203
Scottish & Southern Energy (A) 14,522 247
Segro+++ (A) 7,000 24
Serco Group (A) 9,470 58
Severn Trent (A) 20,348 358
Shire (A) 81,929 1,127
Shares/Face
Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Smiths Group (A) 44,957 $ 580
Southern Cross Healthcare (A) 6,914 11
Spectris (A) 8,665 57
St. James's Place (A) 60,361 182
Standard Chartered (A) 31,695 413
Standard Life (A) 116,936 473
Tate & Lyle (A) 58,125 350
Tesco (A) 226,877 1,032
Thomas Cook Group (A) 71,095 178
Unilever (A) 137,567 3,151
United Utilities Group (A) 112,800 1,051
Vedanta Resources (A) 49,270 465
Vodafone Group (A) 6,067,153 11,873
William Hill (A) 7,377 22
WPP (A) 221,191 1,232
Yell Group (A) 21,779 20
-------------
133,751
-------------
Total Common Stock
(Cost $999,113) ($ Thousands) 706,730
-------------
MORTGAGE-BACKED SECURITIES -- 2.0%
AGENCY MORTGAGE-BACKED OBLIGATIONS -- 1.1%
FHLMC TBA
6.000%, 12/01/22 $ 6,000 6,118
FHLMC CMO STRIPS, Ser 233, Cl 12, IO
5.000%, 09/15/35 (H) 10 1
FNMA CMO STRIPS, Ser 359, Cl 6, IO
5.000%, 11/01/35 (H) 7 1
GNMA ARM
6.000%, 07/01/09 (I) 315 310
5.500%, 04/01/09 to 07/01/09 (I) 458 452
5.125%, 10/01/09 (I) 145 143
4.750%, 01/01/09 (H) (I) 1,447 1,421
4.625%, 10/01/09 (H) (I) 112 110
-------------
8,556
-------------
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 0.9%
American Home Mortgage Investment
Trust, Ser 2005-1, Cl 6A
5.294%, 12/01/08 (I) 54 23
Banc of America Funding, Ser 2006-A,
Cl 2A2
5.491%, 12/01/08 (I) 128 113
Banc of America Mortgage Securities,
Ser 2004-10, Cl 2A1
5.000%, 12/25/19 513 488
Countrywide Alternative Loan Trust,
Ser 2004-33, Cl 1A1
6.725%, 12/01/08 (I) 207 119
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
77
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund (Continued)
November 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Countrywide Home Loan Mortgage
Pass-Through Trust, Ser 2004-22,
Cl A1
5.084%, 12/01/08 (I) $ 447 $ 234
Countrywide Home Loan Mortgage
Pass-Through Trust, Ser 2006-HYB1,
Cl 1A1
5.338%, 12/01/08 (I) 455 207
Countrywide Home Loan Mortgage
Pass-Through Trust, Ser 2006-HYB2,
Cl 1A1
4.991%, 12/01/08 (I) 1,207 646
Deutsche ALT-A Securities
Alternate Loan Trust, Ser 2006-AB3,
Cl A1
6.250%, 12/01/08 (I) 613 576
DSLA Mortgage Loan Trust,
Ser 2004-AR4, Cl B1
2.074%, 12/19/08 (I) 263 60
First Horizon Asset Securities,
Ser 2006-AR3, Cl 1A1
5.657%, 12/01/08 (I) 612 412
Indymac Index Mortgage Loan Trust,
Ser 2004-AR6, Cl 1A
5.538%, 12/01/08 (I) 72 37
Master Adjustable Rate Mortgages Trust,
Ser 2004-6, Cl 2A1
5.190%, 12/01/08 (I) 627 371
Master Adjustable Rate Mortgages Trust,
Ser 2005-2, Cl 3A1
5.692%, 12/01/08 (I) 400 190
Merrill Lynch Mortgage Trust,
Ser 2006-1, Cl 1A
5.251%, 12/01/08 (I) 1,078 1,012
Nomura Asset Acceptance,
Ser 2004-R1, Cl A1
6.500%, 03/25/34 (J) 284 286
Nomura Asset Acceptance,
Ser 2004-R2, Cl A1
6.500%, 12/01/08 (I) (J) 331 307
Nomura Asset Acceptance,
Ser 2007-1, Cl 1A1A
5.995%, 03/25/47 876 750
Residential Accredit Loans,
Ser 2005-QA3, Cl NB2
5.219%, 12/01/08 (I) 1,151 568
Residential Accredit Loans,
Ser 2006-QO1, Cl 2A3
1.795%, 12/26/08 (I) 251 79
Residential Asset Securitization Trust,
Ser 2004-IP2, Cl 3A1
5.236%, 12/01/08 (I) 1,019 921
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Wells Fargo Mortgage Backed Securities
Trust, Ser 2004-I, Cl B1
5.543%, 12/01/08 (I) $ 60 $ 35
-------------
7,434
-------------
Total Mortgage-Backed Securities
(Cost $19,100) ($ Thousands) 15,990
-------------
ASSET-BACKED SECURITIES -- 0.5%
MORTGAGE RELATED SECURITIES -- 0.5%
ACE Securities, Ser 2003-NC1, Cl M
2.175%, 12/26/08 (I) 600 379
ACE Securities, Ser 2003-OP1, Cl M1
2.095%, 12/26/08 (I) 250 155
Ameriquest Mortgage Securities,
Ser 2003-2, Cl M1
2.745%, 12/26/08 (I) 333 233
Argent Securities, Ser 2003-W5, Cl M1
2.095%, 12/26/08 (I) 250 166
Argent Securities, Ser 2003-W9, Cl M1
2.085%, 12/26/08 (I) 343 223
Asset-Backed Securities Home Equity,
Ser 2003-HE5, Cl M1
2.548%, 12/15/08 (I) 456 340
Countrywide Asset-Backed Certificates,
Ser 2003-5, Cl MV2
2.995%, 12/26/08 (I) 225 139
GSAA Home Equity NIM Trust, Ser 2006-2,
Cl 2A1
1.495%, 12/26/08 (I) 127 126
Home Equity Asset NIM Trust, Ser 2003-4,
Cl M2
3.795%, 12/26/08 (I) 229 143
Merrill Lynch Mortgage Investors,
Ser 2003-HE1, Cl M2
3.045%, 12/26/08 (I) 40 19
Morgan Stanley ABS Capital I,
Ser 2003-NC10, Cl M1
2.415%, 12/26/08 (I) 566 404
New Century Home Equity Loan Trust,
Ser 2005-A, Cl A2
4.461%, 08/25/35 4 4
Option One Mortgage Loan Trust,
Ser 2003-5, Cl M1
2.045%, 12/26/08 (I) 121 51
Residential Asset Mortgage Products,
Ser 2003-RS11, Cl MII1
2.490%, 12/26/08 (I) 54 31
Resmae Mortgage Loan Trust,
Ser 2006-1, Cl A2B
1.545%, 12/26/08 (I) (J) 1,400 1,221
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
78
Face Amount
($ Thousands) Market Value
Description /Shares ($ Thousands)
- ----------- ------------- -------------
Structured Asset Investment Loan Trust,
Ser 2003-BC4, Cl M2
4.395%, 12/26/08 (I) $ 150 $ 90
Terwin Mortgage Trust, Ser 2006-6,
Cl 2A1
4.500%, 12/26/08 230 69
-------------
Total Asset-Backed Securities
(Cost $5,398) ($ Thousands) 3,793
-------------
PREFERRED STOCK -- 0.3%
BRAZIL -- 0.2%
Banco Bradesco 130,300 1,401
Usinas Siderurgicas de Minas Gerais,
Cl A 25,950 266
-------------
1,667
-------------
GERMANY -- 0.1%
Bayerische Motoren Werke 862 16
Porsche Automobil Holding 2,662 173
RWE 900 53
Volkswagen 3,190 130
-------------
372
-------------
ITALY -- 0.0%
Istituto Finanziario Industriale* (A) 19,585 117
-------------
SOUTH KOREA -- 0.0%
Samsung Electronics (A) 1,400 319
-------------
Total Preferred Stock
(Cost $4,709) ($ Thousands) 2,475
-------------
U.S. TREASURY OBLIGATIONS -- 2.8%
U.S. Treasury Bills
0.202%, 12/18/08 (E) (F) 690 690
0.010%, 02/12/09 (E) (F) 17,895 17,893
U.S. Treasury Inflationary Protection
Securities
3.000%, 07/15/12 (G) 3,422 3,271
2.375%, 01/15/25 1,617 1,441
-------------
Total U.S. Treasury Obligations
(Cost $23,922) ($ Thousands) 23,295
-------------
U.S. GOVERNMENT AGENCY OBLIGATIONS (E) -- 0.3%
FHLMC
1.053%, 02/23/09 to 03/03/09 500 499
1.105%, 02/27/09 200 199
2.171%, 04/13/09 926 923
2.250%, 05/04/09 500 498
Face Amount
($ Thousands) Market Value
Description /Shares ($ Thousands)
- ----------- ------------- -------------
FNMA
2.611%, 02/02/09 (F) $ 250 $ 250
-------------
Total U.S. Government Agency Obligations
(Cost $2,361) ($ Thousands) 2,369
-------------
Number of
Rights
-------------
RIGHTS -- 0.1%
AUSTRALIA -- 0.0%
CSR, Expires 12/12/08* 5 --
General Property Trust,
Expires 12/02/08* 40 9
Incitec Pivot*, Expires 12/23/08* 109 10
-------------
19
-------------
SPAIN -- 0.0%
Banco Santander, Expires 12/02/08* 4 2
Banco Santander Central Hispano,
Expires 12/02/08* 363 226
Mapfre, Expires 12/03/08* 180 2
-------------
230
-------------
SWEDEN -- 0.0%
Getinge, Expires 12/23/08* 28 --
-------------
UNITED KINGDOM -- 0.1%
Centrica, Expires 12/16/08* 159 181
Standard Chartered, Expires 12/19/08* 10 66
-------------
247
-------------
Total Rights
(Cost $7) ($ Thousands) 496
-------------
CORPORATE OBLIGATIONS (J) -- 0.0%
UNITED STATES -- 0.0%
Discover Financial Services
6.450%, 06/12/17 100 67
Shinsei Finance Cayman
6.418%, 01/29/49 (I) 490 115
-------------
Total Corporate Obligations
(Cost $590) ($ Thousands) 182
-------------
AFFILIATED PARTNERSHIP -- 7.5%
UNITED STATES -- 7.5%
SEI Liquidity Fund, L.P.
1.630%++ (C) (D) 61,885,039 60,826
-------------
Total Affiliated Partnership
(Cost $61,885) ($ Thousands) 60,826
-------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
79
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund (Concluded)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
CASH EQUIVALENT -- 4.3%
UNITED STATES -- 4.3%
SEI Daily Income Trust,
Prime Obligation Fund, Cl A,
1.580% (D) (H) 35,446,085 $ 35,446
-------------
Total Cash Equivalent
(Cost $35,446) ($ Thousands) 35,446
-------------
Total Investments -- 104.4%
(Cost $1,152,531) ($ Thousands) $ 851,602
=============
A summary of outstanding swap agreements held by the Fund at November 30, 2008,
is as follows (See Note 2 in Notes to Financial Statements):
TOTAL RETURN SWAPS
NET
NOTIONAL UNREALIZED
REFERENCE TERMINATION AMOUNT DEPRECIATION
COUNTERPARTY ENTITY/OBLIGATION FUND PAYS FUND RECEIVES DATE (THOUSANDS) (THOUSANDS)
- ------------ ----------------------- ---------------------- -------------------- ----------- ----------- ------------
Bank of America BAS AAA 10-Year Initial Index Spread
CMBS Daily Index Negative Spread Return Minus 95 bp 01/30/09 6,000 $(2,196)
Goldman Sachs BAS AAA 10-Year Initial Index Spread
CMBS Daily Index Negative Spread Return Minus 150 bp 03/31/09 6,000 (2,563)
JPMorgan Chase Bank MSCI Daily TR Net EAFE 3-Month Libor
USD Market Index Minus 40 Bps Price Return 10/15/09 33,279 (1,225)
-------
$(5,984)
=======
CREDIT DEFAULT SWAPS
NET
NOTIONAL UNREALIZED
BUY/SELL (PAYS)/ TERMINATION AMOUNT APPRECIATION
COUNTERPARTY REFERENCE ENTITY/OBLIGATION PROTECTION RECEIVES RATE DATE (THOUSANDS) ($ THOUSANDS)
- ------------ ----------------------------------------- ---------- ------------- ----------- ----------- -------------
Bank of America Black & Decker Corp., 7.125%, 06/01/11 Buy (0.55)% 12/20/11 750 $ 30
JPMorgan Chase Bank Black & Decker Corp., 7.125%, 06/01/11 Buy (0.55) 12/20/11 750 30
Bank of America Campbell Soup Co., 4.875%, 10/01/13 Buy (0.20) 06/20/14 1,075 17
Goldman Sachs CMBX.NA.A 3 Index Buy (0.62) 12/13/49 1,000 404
Goldman Sachs CMBX.NA.A 3 Index Buy (0.62) 12/13/49 1,000 539
Goldman Sachs CMBX.NA.BBB 2 Index Buy (0.60) 03/15/49 2,000 703
Bank of America Darden Restaurants Inc., 7.125%, 02/01/16 Buy (0.45) 12/20/11 750 64
JPMorgan Chase Bank Hasbro Inc., 2.750%, 12/01/21 Buy (0.39) 12/20/11 750 390
JPMorgan Chase Bank Jones Apparel Group, 5.125%, 11/15/14 Buy (0.77) 12/20/11 750 173
Merrill Lynch MDC Holdings Inc., 5.500%, 05/15/13 Buy (0.90) 12/20/11 750 21
Bank of America Meadwestavaco Corp., 6.850%, 04/01/12 Buy (0.48) 12/20/11 750 131
JPMorgan Chase Bank MGIC Investment Corp., 6.000%, 03/15/07 Buy (0.35) 12/20/13 750 276
Bank of America MGIC Investment Corp., 6.000%, 11/01/15 Buy (0.35) 12/20/13 750 275
JPMorgan Chase Bank Nordstrom Inc., 6.950%, 03/15/28 Buy (0.28) 12/20/13 750 171
Merrill Lynch Nordstrom Inc., 6.950%, 03/15/28 Buy (0.28) 12/20/13 750 171
Bank of America PMI Group Inc., 6.000%, 09/15/16 Buy (0.35) 12/20/13 750 276
JPMorgan Chase Bank PMI Group Inc., 6.000%, 09/15/16 Buy (0.35) 12/20/13 750 275
JPMorgan Chase Bank PPG Industries Inc., 7.050%, 08/15/09 Buy (0.20) 12/20/11 750 37
JPMorgan Chase Bank Radian Group Inc., 7.750%, 06/01/11 Buy (0.39) 12/20/13 750 363
Bank of America Radian Group Inc., 7.750%, 06/01/11 Buy (0.39) 12/20/13 750 390
Bank of America The Limited Inc., 6.125%, 12/01/12 Buy (0.48) 12/20/11 750 38
Bank of America TJX Cos. Inc., 7.450%, 12/15/09 Buy (0.19) 12/20/11 750 16
------
$4,790
======
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
80
A summary of the open futures contracts held by the Fund at November 30, 2008,
is as follows (See Note 2 in Notes to Financial Statements):
UNREALIZED
NUMBER OF APPRECIATION
TYPE OF CONTRACTS EXPIRATION (DEPRECIATION)
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- -------- ------------ ---------- --------------
10 Year Swap Future (73) Dec-2008 $ (749)
90-Day Euro$ 13 Mar-2009 38
90-Day Euro$ 70 Sep-2009 484
90-Day Euro$ 18 Dec-2009 70
90-Day Euro$ (34) Mar-2010 (87)
90-Day Euro$ (20) Jun-2010 (46)
90-Day Euro$ (47) Sep-2010 (210)
90-Day Euro$ (13) Dec-2010 (81)
90-Day Euro$ (2) Mar-2011 (12)
90-Day Euro$ 36 Jun-2011 153
90-Day Euro$ 38 Sep-2011 151
90-Day Euro$ 21 Dec-2011 68
90-Day Euro$ 21 Mar-2012 69
90-Day Euro$ 17 Jun-2012 49
90-Day Euro$ 17 Sep-2012 57
90-Day Euro$ 5 Dec-2012 13
90-Day Euro$ 5 Jun-2013 13
90-Day Euro$ 5 Sep-2013 13
DJ Euro Stoxx 50 Index 919 Dec-2008 (2,674)
E-Mini MSCI EAFE (143) Dec-2008 557
FTSE Index 274 Dec-2008 (369)
Hang Seng Index 21 Dec-2008 137
Nikkei 225 Index 27 Dec-2008 104
SPI 200 Index 83 Dec-2008 (365)
Topix Index 211 Dec-2008 (5,913)
U.S. 10-Year Treasury Note (5) Dec-2008 (36)
U.S. 2-Year Treasury Note (7) Dec-2008 (30)
U.S. 5-Year Treasury Note 3 Dec-2008 8
U.S. 5-Year Treasury Note 13 Mar-2009 53
U.S. Long Treasury Bond (10) Dec-2008 (105)
-------
$(8,640)
=======
A summary of the outstanding forward foreign currency contracts held by the Fund
at November 30, 2008 is as follows (see Note 2 in Notes to Financial
Statements):
UNREALIZED
CURRENCY TO CURRENCY TO APPRECIATION
MATURITY DELIVER RECEIVE (DEPRECIATION)
DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS)
- -------- ----------- ------------- --------------
12/19/08 AUD 1,472 USD 959 $ 1
12/19/08 CAD 23,586 USD 19,067 59
12/19/08 CHF 3,943 USD 3,265 14
12/19/08 EUR 2,549 USD 3,210 (23)
12/19/08 GBP 2,907 USD 4,451 (9)
12/19/08 HKD 50,122 USD 6,469 (1)
12/19/08 JPY 318,305 USD 3,340 (6)
12/19/08 MXP 18,146 USD 1,363 (1)
12/19/08 NOK 8,916 USD 1,259 (12)
12/19/08 SEK 2,052 USD 254 1
12/19/08 USD 11,543 AUD 17,930 119
12/19/08 USD 2,011 CAD 2,492 (2)
12/19/08 USD 421 CHF 508 (3)
12/19/08 USD 4,037 EUR 3,148 (44)
12/19/08 USD 17,607 GBP 11,738 403
12/19/08 USD 15,449 JPY 1,494,443 258
12/19/08 USD 85 NOK 591 --
12/19/08 USD 2,366 SEK 19,079 (10)
12/19/08 USD 2,366 SGD 3,612 30
12/19/08 USD 1,188 ZAR 12,073 7
12/19/08 ZAR 20,055 USD 1,934 (51)
12/19/08-3/20/09 NZD 12,057 USD 8,000 1,437
12/19/08-3/20/09 USD 8,479 NZD 12,588 (1,624)
12/19/08-4/23/09 AUD 16,773 CHF 14,100 810
12/19/08-4/23/09 CHF 15,900 AUD 18,480 (1,201)
12/19/08-4/23/09 CHF 38,800 EUR 24,425 (1,111)
12/19/08-4/23/09 EUR 22,133 CHF 35,100 944
12/19/08-4/23/09 EUR 22,613 JPY 3,552,000 8,723
12/19/08-4/23/09 GBP 18,299 CHF 35,800 1,523
12/19/08-4/23/09 GBP 14,610 JPY 2,852,000 7,618
12/19/08-4/23/09 GBP 4,658 SGD 11,500 494
UNREALIZED
CURRENCY CURRENCY APPRECIATION
MATURITY TO DELIVER TO RECEIVE (DEPRECIATION)
DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS)
- -------- ------------- ----------- --------------
12/19/08-4/23/09 JPY 3,552,000 EUR 22,156 $(9,303)
12/19/08-4/23/09 JPY 2,852,000 GBP 14,306 (8,084)
12/19/08-4/23/09 JPY 878,000 NOK 46,728 (2,609)
12/19/08-4/23/09 NOK 49,981 JPY878,000 2,147
12/19/08-4/23/09 SGD 11,500 GBP 4,438 (831)
12/19/08-5/26/09 CHF 39,800 GBP 20,092 (2,099)
4/23/09 CAD 1,900 NZD 2,654 (99)
4/23/09 NZD 2,795 CAD 1,900 23
-------
$(2,512)
=======
Percentages are based on a Net Assets of $815,665 ($ Thousands).
* Non-income producing security.
+++ Real Estate Investment Trust
++ Investment in Affiliated Security (see Note 3).
(A) Security fair valued using methods determined in good faith by the
Valuation Committee of the Board of Trustees. The total market value of
such securities as of November 30, 2008 was $621,079 and represented 76.1%
of Net Assets.
(B) This security or a partial position of this security is on loan at November
30, 2008. The total value of securities on loan at November 30, 2008 was
$58,412 ($ 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,
2008 was $60,826 ($ Thousands).
(D) The rate shown is the 7-day effective yield as of November 30, 2008.
(E) Zero coupon security. The rate reported on the Schedule of Investments is
the effective yield at time of purchase.
(F) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
(G) The rate reported is the effective yield at time of purchase.
(H) Security, or portion thereof, has been pledged as collateral on open swaps
contracts.
(I) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effects as of November 30, 2008. The date reported on the
Schedule of Investments is the next reset date.
(J) 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.
ABS -- Asset-Based Security
ADR -- American Depositary Receipt
ARM -- Adjustable Rate Mortgage
AUD -- Australian Dollar
CAD -- Canadian Dollar
CHF -- Swiss Franc
Cl -- Class C
CMO -- Collateralized Mortgage Obligation
EUR -- Euro
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GBP -- British Pound Sterling
GNMA -- Government National Mortgage Association
HKD -- Hong Kong Dollar
IO -- Interest Only - face amount represents notional amount
JPY -- Japanese Yen
L.P. -- Limited Partnership
MXP -- Mexican Peso
NIM -- Net Interest Margin
NOK -- Norwegian Krone
NZD -- New Zealand Dollar
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 Aftrican Rand
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
81
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund
November 30, 2008
SECTOR WEIGHTINGS++:
(BAR CHART)
Financials 18.8%
Energy 10.3%
Telecommunication Services 8.6%
Consumer Staples 7.3%
Health Care 7.3%
Industrials 7.3%
Materials 7.1%
Short-Term Investment 6.0%
Affiliated Partnership 5.6%
Consumer Discretionary 5.6%
Utilities 5.1%
Information Technology 4.9%
U.S. Treasury Obligations 3.0%
Mortgage-Backed Securities 2.1%
Asset-Backed Securities 0.6%
U.S. Government Agency Obligations 0.3%
Rights 0.1%
Exchange Traded Fund 0.0%
++ Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 9).
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
COMMON STOCK -- 82.0%
ARGENTINA -- 0.2%
MetroGas ADR* 4,100 $ 6
Petrobras Energia Participaciones ADR 89,000 592
Telecom Argentina ADR* 42,600 367
Telefonica de Argentina ADR* 900 4
Tenaris ADR (A) 106,200 2,233
Transportadora de Gas del Sur ADR 11,800 23
-------------
3,225
-------------
AUSTRALIA -- 2.4%
AGL Energy(B) 45,100 450
Amcor (B) 100,200 390
Ansell (B) 11,400 95
Australia & New Zealand Banking
Group (A) (B) 280,258 2,726
AWB (B) 36,210 81
Bank of Queensland (B) 12,000 77
Beach Petroleum (B) 14,300 8
BHP Billiton (A) (B) 481,000 9,026
BlueScope Steel (B) 48,923 128
Boart Longyear Group (B) 92,117 16
Boral (B) 2,000 5
Brambles (B) 154,893 736
Caltex Australia (B) 17,300 84
CFS Retail Property Trust+++ (B) 66,200 91
Challenger Financial Services
Group(A) (B) 218,333 194
Coca-Cola Amatil (B) 69,800 395
Cochlear (B) 10,047 364
Commonwealth Bank of Australia (B) 47,780 1,068
Computershare (A) (B) 69,771 301
Crown (B) 73,000 222
CSL (B) 300,588 6,846
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
CSR (B) 25,800 $ 23
Dexus Property Group+++ (B) 140,500 77
Downer EDI (B) 25,000 69
Energy Resources of Australia (B) 7,344 78
Fairfax Media (B) 51,358 45
Felix Resources (B) 14,223 52
Flight Centre (B) 8,000 46
Foster's Group (B) 160,660 577
Goodman Fielder (B) 702,551 619
Goodman Group+++ (A) (B) 378,473 241
Iluka Resources (B) 24,803 72
Incitec Pivot (B) 480,000 836
ING Industrial Fund+++ (A) (B) 412,780 118
Insurance Australia Group (B) 46,500 112
JB Hi-Fi (B) 7,552 41
Lion Nathan (B) 49,100 279
Macquarie Group (A) (B) 26,182 513
Macquarie Infrastructure
Group (A) (B) 835,444 960
Macquarie Office Trust+++ (B) 62,792 12
Metcash (B) 287,200 747
National Australia Bank (A) (B) 189,290 2,489
Newcrest Mining (B) 69,727 1,109
Nufarm (B) 122,677 738
OneSteel (B) 24,956 42
Orica (B) 31,100 315
Origin Energy (B) 272,105 2,848
Pacific Brands (B) 231,936 113
Qantas Airways (B) 642,114 978
QBE Insurance Group (B) 26,700 416
Ramsay Health Care (B) 4,900 29
Rio Tinto (A) (B) 17,755 543
Santos (B) 34,400 340
Suncorp-Metway (B) 95,934 495
TABCORP Holdings (B) 61,770 284
Telstra (B) 1,257,343 3,339
Wesfarmers (B) 114,032 1,394
Westfield Group+++ (B) 83,100 818
Westpac Banking (B) 142,231 1,671
Woodside Petroleum (B) 600 14
Woolworths (B) 82,904 1,456
-------------
48,251
-------------
AUSTRIA -- 0.2%
Erste Group Bank (A) (B) 35,590 815
IMMOFINANZ (A) (B) 67,691 31
OMV (B) 62,335 1,578
Raiffeisen International Bank
Holding (A) (B) 19,510 546
Voestalpine (B) 44,696 948
-------------
3,918
-------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
82
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
BELGIUM -- 0.6%
Banque Nationale de Belgique (B) 6 $ 15
Colruyt (B) 6,156 1,327
Delhaize Group (B) 42,800 2,573
Dexia (A) (B) 147,539 645
D'ieteren (B) 331 41
Elia System Operator (B) 448 14
Euronav (B) 9,934 119
Fortis (B) 261,941 249
Groupe Bruxelles Lambert (B) 35,851 2,648
KBC Groep (B) 19,761 601
Solvay (B) 43,512 3,113
Telenet Group Holding* (B) 890 13
UCB (B) 7,797 234
-------------
11,592
-------------
BERMUDA -- 0.2%
Credicorp 60,000 2,622
Hiscox (B) 3,400 16
Huabao International Holdings
(HKD) (B) 278,000 174
Road King Infrastructure (HKD) (B) 8,000 3
Seadrill (NOK) (B) 95,182 773
-------------
3,588
-------------
BRAZIL -- 0.8%
Abyara Planejamento Imobiliario 15,200 10
Banco do Brasil 140,900 887
Brascan Residential Properties 3,400 3
Camargo Correa Desenvolvimento
Imobiliario 33,800 41
Cia de Saneamento Basico do
Estado de Sao Paulo 84,560 866
Cia de Saneamento de Minas Gerais-
COPASA (Brazil) 22,499 157
Cia Vale do Rio Doce ADR, Cl B (A) 274,790 3,256
Even Construtora e Incorporadora 1,000 1
Fertilizantes Heringer 14,600 30
Globex Utilidades 16,500 42
Industrias Romi 12,900 38
Klabin Segall 14,029 17
Localiza Rent A Car 268,200 784
Lojas Renner 147,900 870
Minerva 20,600 18
Natura Cosmeticos 30,687 276
OGX Petroleo e Gas Participacoes* 4,500 758
Petroleo Brasileiro 9,100 94
Petroleo Brasileiro ADR, Cl A 57,200 1,017
Petroleo Brasileiro ADR (A) 100,814 2,111
Profarma Distribuidora de Produtos
Farmaceuticos (Brazil) 8,900 26
Rossi Residencial 49,943 75
Santos Brasil Participacoes 92,372 343
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Tecnisa (Brazil) 36,447 $ 46
Tegma Gestao Logistica 20,600 40
Uniao de Bancos Brasileiros ADR 43,930 2,816
Usinas Siderurgicas de Minas Gerais 116,800 1,093
-------------
15,715
-------------
CANADA -- 5.1%
Agrium* 48,080 1,510
Alimentation Couche Tard, Cl B 54,900 588
AltaGas Income Trust 40 1
Atco 16,600 491
Bank of Montreal 55,230 1,691
Bank of Nova Scotia 100,100 2,984
Barrick Gold 175,740 5,341
Biovail 106,300 929
Bombardier, Cl B 240,910 842
Bonavista Energy Trust 7,000 102
Brookfield Asset Management, Cl A 128,100 1,970
Canadian Imperial Bank of Commerce 49,178 1,976
Canadian National Railway 148,230 5,383
Canadian Natural Resources 26,560 1,113
Canadian Oil Sands Trust 43,800 909
Canadian Pacific Railway 34,560 1,133
Canadian Utilities 33,700 1,129
Canfor* 43,800 258
Celestica* 144,520 803
CGI Group, Cl A* 117,370 924
Daylight Resources Trust 7,030 46
Enbridge 39,470 1,212
EnCana 212,750 10,113
Enerflex Systems Income Fund 4,890 42
Fairfax Financial Holdings 10,200 2,958
Fortis 3,900 84
Freehold Royalty Trust 15,400 175
George Weston 30,440 1,352
Gerdau Ameristeel 12,700 62
Goldcorp 185,660 5,007
Husky Energy 18,980 489
Imperial Oil 30,300 1,080
Industrial Alliance Insurance and
Financial Services 14,890 348
Inmet Mining 3,000 46
Keyera Facilities Income Fund 160 2
Kinross Gold 50 1
Laurentian Bank of Canada 7,400 227
Lundin Mining* 16,300 16
Magna International, Cl A 2,300 66
Manulife Financial 18,800 364
Methanex 16,900 184
Metro, Cl A 24,600 684
Mullen Group Income Fund 26,500 235
National Bank of Canada 36,170 1,202
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
83
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund (Continued)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Nexen 111,924 $ 2,300
Nova Chemicals 37,800 312
Open Text* 9,520 274
Penn West Energy Trust 77,900 1,216
Petro-Canada 326,340 8,868
Potash Saskatchewan 26,630 1,721
Power Corp of Canada 87,340 1,794
Power Financial 42,500 873
Precision Drilling Trust 92,680 750
Quebecor, Cl B 12,200 166
Research In Motion* 13,400 588
Royal Bank of Canada 215,301 7,490
Saskatchewan Wheat Pool* 136,270 845
Savanna Energy Services 9,340 56
Sears Canada* 2,400 33
Sherritt International 18,600 52
Shoppers Drug Mart 52,780 1,890
Sino-Forest, Cl A* 72,200 421
Sun Life Financial 91,732 2,043
Suncor Energy 26,000 599
Talisman Energy 79,240 792
Teck Cominco, Cl B 105,310 509
TELUS, Cl A 13,719 430
Toronto-Dominion Bank 188,650 6,992
TransCanada 55,000 1,449
Viterra* 106,200 659
West Fraser Timber 12,900 306
Yellow Pages Income Fund 194,040 1,188
-------------
100,688
-------------
CHILE -- 0.1%
Administradora de Fondos de
Pensiones Provida ADR 550 7
Banco de Chile ADR 2,100 61
Cia Cervecerias Unidas ADR 15,494 440
Cia de Telecomunicaciones de
Chile ADR* 78,100 467
Embotelladora Andina ADR, Cl B 600 8
Enersis ADR 79,200 1,034
Lan Airlines ADR 35,600 303
-------------
2,320
-------------
CHINA -- 2.0%
Anhui Conch Cement, Cl H (A) (B) 592,639 2,469
Bank of China (A) (B) 12,598,000 4,005
Bank of Communications,
Cl H (A) (B) 5,154,000 3,410
China BlueChemical (B) 723,000 268
China Construction Bank, Cl H (B) 5,852,000 3,109
China International Marine
Containers, Cl B (B) 131,400 71
China Life Insurance, Cl H (A) (B) 1,231,100 3,178
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
China Petroleum & Chemical,
Cl H (B) 3,332,300 $ 2,222
China Railway Construction,
Cl H* (A) (B) 1,902,500 2,583
China Resources
Microelectronics (B) 726,600 7
China Shenhua Energy (B) 458,800 869
China Shipping Development,
Cl H (A) (B) 2,048,000 1,715
China Telecom, Cl H (B) 1,560,000 597
Dongfeng Motor Group, Cl H (B) 1,661,000 381
Great Wall Motor, Cl H (B) 129,000 38
Great Wall Technology, Cl H (B) 60,000 4
Greentown China Holdings (B) 111,000 36
Hangzhou Steam Turbine, Cl B (B) 98,000 74
Industrial & Commercial Bank of
China, Cl H (A) (B) 16,102,000 7,949
PetroChina, Cl H (B) 4,268,000 3,530
Ping An Insurance Group of China,
Cl H (A) (B) 555,500 2,106
Shanghai Electric Group, Cl H (B) 1,790,000 646
Sinotrans, Cl H (B) 502,000 68
Tingyi Cayman Islands Holding
(HKD) (B) 234,000 272
Weiqiao Textile, Cl H (B) 65,000 15
Yanzhou Coal Mining, Cl H (B) 910,000 506
Zhejiang Expressway, Cl H (B) 828,000 395
-------------
40,523
-------------
COLOMBIA -- 0.0%
BanColombia ADR 22,700 462
-------------
CZECH REPUBLIC -- 0.4%
CEZ (B) 166,909 6,711
Unipetrol (B) 52,000 301
-------------
7,012
-------------
DENMARK -- 0.5%
A P Moeller - Maersk, Cl A (B) 26 134
A P Moeller - Maersk, Cl B (B) 404 2,082
Amagerbanken (B) 2,060 8
D/S Nordern (B) 8,607 230
Danisco (B) 14,400 657
Danske Bank (B) 74,890 880
East Asiatic (B) 3,575 115
Novo-Nordisk, Cl B (B) 74,430 3,816
Vestas Wind Systems* (B) 50,250 2,275
-------------
10,197
-------------
EGYPT -- 0.1%
Eastern Tobacco (B) 1,000 33
Egyptian International Pharmaceutical
Industrial (B) 30,000 132
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
84
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
National Societe Generale Bank SAE (B) 72,500 $ 187
Orascom Telecom Holding SAE (B) 68,000 297
Paints & Chemical Industry 7,900 41
Telecom Egypt (B) 240,000 646
-------------
1,336
-------------
FINLAND -- 0.8%
Fortum (B) 70,296 1,411
Konecranes (B) 30,280 450
Metso (B) 23,525 284
Nokia (B) 387,683 5,486
Pohjola Bank, Cl A (B) 32,000 410
Sampo, Cl A (B) 233,455 4,340
Stora Enso, Cl R (A) (B) 174,000 1,415
UPM-Kymmene (B) 79,095 1,140
Wartsila, Cl B (B) 19,723 462
YIT (A) (B) 13,000 77
-------------
15,475
-------------
FRANCE -- 6.1%
Air France-KLM (B) 65,218 850
Alcatel-Lucent (B) 102,612 219
Alstom (B) 12,443 666
Arkema (B) 34,610 669
Atos Origin (B) 12,257 271
AXA (B) 78,640 1,492
BNP Paribas (B) 162,360 8,986
Capital Gemini (B) 12,900 416
Carrefour (B) 15,185 574
Casino Guichard Perrachon (B) 7,569 463
Christian Dior (B) 15,900 733
Cie de Saint-Gobain (B) 43,459 1,746
Cie Generale de
Geophysique-Veritas* (B) 11,364 187
CNP Assurances (B) 16,328 1,052
Compagnie Generale des
Etablissements Michelin, Cl B (B) 22,000 1,055
Credit Agricole (B) 301,062 3,360
Credit Industriel et Commercial (B) 65 9
Eurazeo (B) 1,872 97
Eutelsat Communications (B) 29,900 628
France Telecom (B) 603,167 15,497
Gaz de France (A) (B) 199,849 8,010
Gemalto* (B) 39,786 940
Lafarge (B) 19,750 1,091
Lagardere S.C.A. (B) 40,900 1,496
Natixis (B) 273,706 559
Pernod-Ricard (A) (B) 35,231 2,075
Peugeot (B) 35,110 638
PPR (A) (B) 18,364 875
Publicis Groupe (B) 8,490 198
Rallye (B) 5,771 104
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Renault (B) 169,881 $ 3,753
Sanofi-Aventis (B) 263,834 14,567
Schneider Electric (B) 14,978 944
SCOR (B) 15,035 295
Sequana Capital (B) 766 5
SES Global (B) 15,506 272
Societe Generale (B) 136,219 5,832
Suez Environnement* 134,879 2,307
Thales (B) 13,369 501
Total (B) 422,069 22,147
UBISOFT Entertainment* (B) 28,482 658
Unibail-Rodamco+++ (B) 8,950 1,201
Vallourec (B) 12,162 1,297
Veolia Environnement (B) 36,749 920
Vivendi (B) 372,177 10,557
Wendel (A) (B) 17,762 813
-------------
121,025
-------------
GERMANY -- 5.4%
Allianz 139,097 11,510
Arcandor* 33,806 78
BASF 182,859 5,824
Bayer 179,389 9,260
Bayerische Motoren Werke 5,201 130
Bilfinger Berger 7,132 291
Celesio 25,650 651
Commerzbank (A) 135,355 1,239
DaimlerChrysler 50,421 1,577
Deutsche Bank (A) 203,590 7,228
Deutsche Boerse 2,197 157
Deutsche Lufthansa 164,845 2,162
Deutsche Post 205,416 2,943
Deutsche Postbank 12,722 259
Deutsche Telekom 909,524 12,568
E.ON 453,181 15,831
Fresenius Medical Care 117,766 5,122
GEA Group 50,121 773
Hannover Rueckversicherung 5,895 135
Henkel 9,266 229
Hypo Real Estate Holding (A) 38,441 135
Infineon Technologies* 256,200 601
K+S 7,104 318
KSB 14 5
Lanxess 15,637 261
Linde 21,451 1,563
MAN 20,227 915
Muenchener Rueckversicherungs 45,079 6,118
Q-Cells* (A) 27,140 916
RWE 90,196 7,563
Salzgitter 10,242 706
SAP 190,004 6,471
SGL Carbon* 22,739 590
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
85
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund (Continued)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Siemens 16,856 $ 1,007
Sixt 3,146 38
Suedzucker (A) 33,700 425
ThyssenKrupp 63,018 1,276
Tognum 20,868 228
TUI (A) 45,800 509
Volkswagen 217 77
-------------
107,689
-------------
GREECE -- 0.1%
Alpha Bank (B) 127,635 1,303
OPAP (B) 55,579 1,375
-------------
2,678
-------------
HONG KONG -- 2.5%
Allied Properties HK (B) 230,000 21
BOC Hong Kong Holdings (A) (B) 1,711,500 1,986
Chaoda Modern Agriculture (B) 1,010,000 587
Cheung Kong Holdings (B) 202,000 1,916
China Agri-Industries Holdings* (B) 92,000 34
China Mobile (B) 1,528,000 14,033
China Overseas Land &
Investment (A) (B) 2,018,000 2,638
China Pharmaceutical Group (B) 702,000 188
China Resources Logic (B) 25,200 7
China Resources Power Holdings (B) 886,000 1,787
China State Construction International
Holdings (B) 1,768,000 217
Chinese Estates Holdings (B) 193,000 143
CLP Holdings (B) 102,500 730
CNOOC (B) 5,966,500 4,892
Cnpc Hong Kong (B) 1,570,000 495
COSCO Pacific (A) (B) 2,528,000 1,874
Dairy Farm International Holdings (B) 23,400 94
Digital China Holdings (B) 543,000 144
Emperor International Holdings (B) 65,140 5
Esprit Holdings (B) 233,970 1,110
First Pacific (B) 56,000 22
Great Eagle Holdings (B) 54,500 50
Guangdong Investment (B) 1,380,000 459
Guoco Group (B) 38,000 234
Hang Lung Group (B) 29,000 97
Hang Seng Bank (B) 149,890 1,924
Henderson Land Development (B) 161,780 555
Hong Kong & China Gas (B) 15,000 27
Hong Kong Exchanges and Clearing (B) 6,000 48
Hongkong & Shanghai Hotels (B) 4,500 3
Hongkong Chinese (B) 310,000 27
HongKong Electric Holdings (B) 159,270 898
Hongkong Land Holdings (B) 696,600 1,678
Hopewell Highway Infrastructure (B) 248,500 134
Hopewell Holdings (B) 9,000 23
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Hutchison Telecommunications
International 400 $ --
Hutchison Whampoa (B) 511,980 2,588
Hysan Development (B) 38,000 60
Industrial and Commercial Bank of
China Asia (B) 532,000 502
Jardine Matheson Holdings (B) 36,800 656
Jardine Strategic Holdings (B) 3,000 29
Johnson Electric Holdings (B) 315,190 53
Kingboard Chemical Holdings (B) 99,000 148
Kowloon Development (B) 88,000 42
MTR (A) (B) 389,000 868
Noble Group (B) 927,000 615
NWS Holdings (B) 105,000 121
Orient Overseas International (B) 215,500 346
Pacific Basin Shipping (B) 268,000 115
Pacific Century Premium
Developments (B) 299,000 73
SEA Holdings 6,000 2
Shanghai Industrial Holdings (B) 80,000 153
Shenzhou International Group
Holdings (B) 610,000 95
Shui On Construction and Materials (B) 42,000 19
Sinolink Worldwide Holdings (B) 678,000 38
Sun Hung Kai (B) 106,000 42
Sun Hung Kai Properties (A) (B) 375,800 2,999
Television Broadcasts (B) 5,000 17
Texwinca Holdings (B) 8,000 4
TPV Technology (B) 102,000 19
Transport International Holdings (B) 27,200 63
VTech Holdings (B) 19,000 57
Wharf Holdings (B) 134,679 323
Wheelock (B) 215,270 410
Wing On International (B) 45,000 47
Yue Yuen Industrial Holdings (B) 96,120 175
-------------
49,759
-------------
HUNGARY -- 0.1%
Magyar Telekom
Telecommunications (B) 210,000 619
OTP Bank Nyrt (A) (B) 104,636 1,543
Richter Gedeon Nyrt (B) 1,050 140
Tiszai Vegyi Kombinat (B) 8,000 108
-------------
2,410
-------------
INDIA -- 1.1%
Apollo Tyres (B) 101,400 43
Bank of India (B) 150,936 765
Bharat Electronics (B) 17,000 192
Bharti Airtel* (B) 167,340 2,263
Birla (B) 32,250 66
Cairn India* (B) 11,470 33
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
86
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
CESC (B) 16,470 $ 66
Container of India (B) 17,759 204
Coromandel Fertilisers (B) 1,400 3
Dalmia Cement Bharat (B) 1,780 3
Dena Bank (B) 11,540 6
Dr Reddys Laboratories (B) 101,231 875
GAIL India (B) 67 --
Grasim Industries (B) 6,390 114
Great Eastern Shipping (B) 16,536 54
Gujarat Alkalies & Chemicals (B) 53,480 68
Gujarat Flourochemicals (B) 3,780 5
Gujarat Narmada Valley Fertilizers (B) 139,580 144
Gujarat State Fertilisers (B) 75,430 109
Hero Honda Motors (B) 19,265 311
Hindalco Industries (B) 362,780 388
Hindustan Unilever (B) 161,765 768
Hindustan Zinc (B) 73,746 477
Housing Development Finance (B) 74,572 2,211
ICICI Bank (B) 26,407 189
Indian Bank (B) 124,674 311
Infrastructure Development Finance
Company* (B) 1,809,121 1,907
ITC (B) 134,666 470
Jindal Stainless (B) 126,770 75
Jindal Steel & Power (B) 2,950 43
JM Financial (B) 31,225 14
JSW Steel (B) 14,750 56
Kesoram Industries (B) 29,960 84
Larsen & Toubro (B) 146,004 2,145
Madras Cements (B) 60,400 69
Mahindra & Mahindra (B) 10,622 60
Maruti Udyog (B) 38,652 416
National Aluminium (B) 59,340 207
Neyveli Lignite (B) 230,000 227
NTPC (B) 49,293 158
Oil & Natural Gas (B) 72,240 1,010
Pidilite Industries (B) 13,180 24
Satyam Computer Services (B) 2,220 11
Shipping of India (B) 35,163 50
Siemens India (B) 203,114 921
State Bank of India GDR 9,020 392
Steel Authority of India (B) 327,332 441
Sterlite Industries India (B) 59,790 286
Syndicate Bank (B) 16,560 18
Tata Chemicals (B) 66,250 198
Tata Consultancy Services (B) 36,596 413
Tata Motors (B) 478 1
Tata Power (B) 15,645 211
Tata Steel (B) 32,092 98
UBS* (B) (C) 177,444 267
UCO Bank (B) 7,670 4
United Phosphorus (B) 96,500 159
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Wockhardt (B) 32,670 $ 61
Zee Entertainment Enterprises (B) 628,693 1,379
-------------
21,543
-------------
INDONESIA -- 0.3%
Astra International (B) 746,000 639
Bank Negara Indonesia Persero (B) 800,000 38
Bank Rakyat Indonesia (B) 5,304,000 1,513
Bumi Resources 6,889,500 579
Gudang Garam (B) 3,500 1
HM Sampoerna (B) 177,000 133
Perusahaan Gas Negara (B) 450,000 69
Telekomunikasi Indonesia (B) 3,679,800 1,777
Unilever Indonesia (B) 811,000 521
-------------
5,270
-------------
IRELAND -- 0.0%
Experian (B) 36,312 221
Kerry Group, Cl A (B) 7,834 163
-------------
384
-------------
ISRAEL -- 0.7%
Bank Hapoalim (B) 384,793 751
Bank Leumi Le-Israel (B) 150,000 326
Bezeq Israeli Telecommunication (B) 1,728,712 2,537
Delek Automotive Systems (B) 6,000 36
First International Bank of Israel* (B) 33,800 173
Israel Chemicals (B) 106,200 622
Mizrahi Tefahot Bank (B) 88,000 434
Teva Pharmaceutical Industries ADR (A) 146,960 6,341
Teva Pharmaceutical Industries (B) 47,734 2,049
Union Bank of Israel* (B) 18,000 40
-------------
13,309
-------------
ITALY -- 2.3%
A2A (B) 652,586 1,142
ACEA (B) 30,458 393
Banca Intesa (B) 1,127,957 3,393
Banca Intesa RNC (B) 129,719 278
Banche Popolari Unite (B) 12,431 179
Banco Popolare Scarl (B) 292,479 2,680
Enel (A) (B) 1,058,917 6,615
ENI (B) 581,170 13,175
Fiat (B) 138,324 1,019
Finmeccanica (B) 99,474 1,243
Fondiaria-Sai (B) 24,309 442
IFIL - Investments (A) (B) 179,614 522
Iride (B) 7,693 10
Mediobanca (B) 100,780 1,038
Milano Assicurazioni (B) 101,462 318
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
87
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund (Continued)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Pirelli (B) 612,401 $ 211
Telecom Italia (A) (B) 6,221,781 7,568
Terna Rete Elettrica Nazionale (B) 343,908 1,020
UniCredito Italiano (B) 1,327,825 3,032
Unipol Gruppo Finanziario (B) 347,711 500
-------------
44,778
-------------
JAPAN -- 15.3%
77 Bank (B) 150,000 713
ADEKA (B) 7,000 43
Aderans Holdings (B) 4,000 34
Aeon (B) 89,200 795
Aeon Credit Service (B) 79,700 1,003
Aichi Bank (B) 900 70
Aida Engineering (B) 1,000 4
Aiful (A) (B) 42,900 110
Aioi Insurance (B) 10,000 40
Aisan Industry (B) 900 5
Aisin Seiki (B) 13,200 176
Ajinomoto (B) 60,000 640
Akita Bank (B) 3,000 13
All Nippon Airways (B) 71,000 259
Aloka (B) 3,300 24
Alps Electric (B) 68,300 305
Amada (B) 8,000 37
AOC Holdings (B) 20,000 108
AOKI Holdings (B) 3,400 41
Aoyama Trading (B) 6,700 87
Aruze (B) 6,000 57
Asahi Breweries (B) 48,800 857
Asahi Glass (B) 247,000 1,393
Asahi Kasei (B) 172,000 733
Astellas Pharma (B) 146,000 5,996
Bank of Kyoto (B) 216,000 2,187
Bank of Nagoya (B) 21,000 120
Bank of Saga (B) 21,000 70
Belluna (B) 4,050 10
Benesse (B) 38,700 1,642
BML (B) 2,700 56
Bridgestone (B) 79,100 1,335
Calsonic Kansei (B) 13,000 21
Canon (B) 67,200 2,035
Canon Finetech (B) 100 1
Cawachi (B) 5,400 85
Central Japan Railway (B) 303 2,577
Chiba Bank (B) 50,000 239
Chiba Kogyo Bank* (B) 5,700 67
Chubu Electric Power (B) 33,400 923
Chudenko (B) 5,300 86
Circle K Sunkus (A) (B) 21,800 412
CKD (B) 1,200 4
Coca-Cola Central Japan (B) 2 14
Corona (B) 1,000 9
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Cosmo Oil (B) 91,000 $ 227
Credit Saison (A) (B) 42,700 572
CyberAgent (B) 757 469
Dai Nippon Printing (B) 10,000 106
Daihatsu Motor (B) 102,000 743
Daiichi Sankyo (B) 117,600 2,419
Daiichikosho (B) 8,100 83
Daikin Industries (B) 4,400 117
Dainichiseika Color & Chemicals
Manufacturing (B) 8,000 20
Dainippon Ink and Chemicals (B) 429,000 743
Dainippon Sumitomo Pharma (B) 52,000 443
Daishi Bank (B) 7,000 30
DCM Japan Holdings (B) 33,700 253
Denso (B) 69,200 1,153
DTS (B) 6,400 63
Dydo Drinco (B) 100 2
Earth Chemical (B) 2,300 66
East Japan Railway (B) 1,085 8,421
EDION (A) (B) 30,700 134
Eighteenth Bank (B) 17,000 48
Eisai (B) 29,200 996
Electric Power Development (B) 45,200 1,583
FamilyMart (B) 110,000 4,500
Fancl* (B) 700 9
Fast Retailing (B) 32,100 3,692
Fuji Electric Holdings (B) 84,000 109
Fuji Fire & Marine Insurance (B) 38,000 65
Fuji Heavy Industries (B) 113,000 343
Fuji Machine Manufacturing (B) 3,900 28
FUJIFILM Holdings (B) 63,900 1,569
Fujitsu (B) 1,019,000 4,437
Fukuda Denshi (B) 1,900 41
Fukuoka Financial Group (B) 160,000 523
Furukawa Electric (B) 199,000 770
Furuno Electric (B) 3,500 20
Futaba Industrial (B) 18,700 100
Fuyo General Lease (B) 2,000 32
Goldcrest (B) 4,650 88
Gunma Bank (B) 77,000 454
Hachijuni Bank (B) 2,000 10
Heiwado (B) 4,000 59
Higashi-Nippon Bank (B) 17,000 48
Higo Bank (B) 19,000 118
HI-LEX (B) 2,800 25
Hino Motors (B) 57,000 119
Hisamitsu Pharmaceutical (B) 33,200 1,342
Hitachi (B) 747,900 3,488
Hitachi Capital (B) 10,800 96
Hitachi Chemical (B) 41,500 402
Hitachi High-Technologies (B) 44,800 844
Hitachi Maxell (B) 4,300 35
Hitachi Metals (B) 145,000 868
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
88
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Hitachi Software Engineering (B) 6,000 $ 88
Hitachi Systems & Services (B) 1,800 23
Hokkaido Electric Power (B) 19,100 449
Hokuetsu Bank (B) 25,000 55
Hokuhoku Financial Group (B) 45,000 94
Honda Motor (B) 305,100 6,855
Hosiden (B) 4,600 57
Hyakugo Bank (B) 26,000 157
Inpex Holdings (B) 283 1,819
Isetan Mitsukoshi Holdings (B) 21,900 162
Isuzu Motors (B) 1,110,000 1,388
IT Holdings (B) 4,100 54
Itochu (B) 449,000 2,287
Itochu Enex (B) 10,700 56
Itoham Foods (B) 4,000 15
IWATANI CORP (B) 4,000 8
J Front Retailing (B) 78,000 309
Japan Airlines (B) 254,000 592
Japan Aviation Electronics Industry (B) 11,000 43
Japan Petroleum Exploration (B) 1,400 56
Japan Steel Works (B) 383,510 3,966
Japan Tobacco (B) 1,302 4,807
JFE Holdings (B) 159,700 3,900
JFE Shoji Holdings (B) 26,000 70
JGC (B) 11,000 128
Kaga Electronics (B) 6,000 69
Kajima (B) 64,000 188
Kaneka (B) 54,000 248
Kansai Electric Power (B) 17,100 466
Kanto Natural Gas Development (B) 7,000 50
Kao (B) 163,000 4,686
Kasumi (B) 9,000 52
Kato Sangyo (B) 100 2
Kawasaki Kisen Kaisha (B) 205,000 829
Kayaba Industry (B) 31,000 70
KDDI (B) 1,129 7,384
Keihin (B) 4,700 37
Keisei Electric Railway (B) 52,000 272
Kikkoman (B) 21,000 238
Kinden (B) 14,000 127
Kirin Holdings (B) 150,000 1,833
Kohnan Shoji (B) 3,300 42
Koito Manufacturing (B) 6,000 40
Komatsu (B) 129,300 1,560
Konami (B) 32,600 739
Konica Minolta Holdings (B) 40,500 299
Kose (B) 5,200 124
Kuraray (B) 61,000 498
Kurita Water Industries (B) 35,600 847
Kuroda Electric (B) 2,800 21
Kyocera (B) 1,600 100
Kyoei Steel (B) 8,400 126
Kyorin (B) 4,000 42
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Kyowa Hakko Kogyo (B) 63,000 $ 537
Kyushu Electric Power (B) 46,900 1,115
Lawson (B) 58,000 2,913
Leopalace21 (B) 74,800 708
Lintec (B) 7,900 88
Lion (B) 28,000 160
Maeda (B) 14,000 44
Makino Milling Machine (B) 14,000 34
Makita (B) 33,900 662
Mandom (B) 2,600 72
Marubeni (B) 475,000 1,673
Marudai Food (B) 12,000 32
Marui Group (B) 1,800 10
Maruichi Steel Tube (B) 2,500 60
Matsushita Electric Industrial (B) 110,000 1,340
Maxvalu Nishinihon (B) 2,400 34
Mazda Motor (B) 567,000 983
Meiji Seika Kaisha (B) 44,000 198
Melco Holdings (B) 3,600 37
Micronics Japan (B) 1,400 12
Mie Bank (B) 12,000 49
Mikuni Coca-Cola Bottling (B) 4,000 36
Millea Holdings (B) 104,600 2,540
Mitsubishi (B) 412,300 5,146
Mitsubishi Chemical Holdings (B) 527,500 2,216
Mitsubishi Electric (B) 333,000 1,804
Mitsubishi Estate (B) 118,000 1,766
Mitsubishi Gas Chemical (B) 142,000 545
Mitsubishi Heavy Industries (B) 150,000 614
Mitsubishi Materials (B) 82,000 166
Mitsubishi UFJ Financial
Group (A) (B) 1,409,120 7,852
Mitsui (B) 371,000 3,308
Mitsui Chemicals (B) 195,000 792
Mitsui Fudosan (B) 105,000 1,624
Mitsui High-Tec (B) 400 2
Mitsui Home (B) 7,000 32
Mitsui OSK Lines (B) 408,000 2,180
Mitsui Sumitomo Insurance Group
Holdings (B) 119,700 2,864
Mitsui Trust Holdings (B) 316,000 1,188
Mitsumi Electric (A) (B) 25,100 323
Mizuho Financial Group (A) (B) 859 2,288
Mizuno (B) 9,000 43
Mochida Pharmaceutical (B) 13,000 151
Morinaga Milk Industry (B) 21,000 71
Murata Manufacturing (B) 24,700 856
N E Chemcat (B) 1,000 14
Nafco (B) 2,400 29
Nagase (B) 17,000 150
NEC (B) 248,000 700
NEC Fielding (B) 1,300 14
NHK Spring (A) (B) 43,000 155
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
89
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund (Continued)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Nichirei (B) 18,000 $ 76
Nikon (A) (B) 62,000 704
Nintendo (B) 39,415 12,295
Nippo (B) 9,000 61
Nippon Electric Glass (B) 101,000 580
Nippon Express (B) 74,000 334
Nippon Meat Packers (B) 24,000 302
Nippon Mining Holdings (B) 544,100 1,615
Nippon Oil (B) 179,000 676
Nippon Seiki (B) 6,000 39
Nippon Sheet Glass (A) (B) 365,000 1,063
Nippon Shinyaku (B) 6,000 71
Nippon Shokubai (B) 6,000 33
Nippon Steel (B) 368,000 1,156
Nippon Steel Trading (B) 9,000 15
Nippon Telegraph & Telephone (B) 3,574 15,792
Nippon Yusen (B) 374,000 2,042
Nipponkoa Insurance (B) 99,000 631
Nishimatsu Construction (B) 26,000 38
Nishi-Nippon City Bank (B) 124,000 260
Nissan Motor (A) (B) 964,500 3,261
Nissan Shatai (B) 14,000 85
Nisshin Oillio Group (B) 10,000 48
Nisshinbo Industries (B) 10,000 69
Nitori (B) 3,750 268
Nitto Denko (B) 6,700 113
Nitto Kogyo (B) 2,800 25
NOK (B) 6,600 50
Nomura Holdings (B) 15,200 111
Nomura Real Estate Holdings (A) (B) 13,500 203
Noritake (B) 18,000 60
NSK (B) 27,000 100
NTT DoCoMo (B) 2,782 4,670
OJI Paper (B) 108,000 524
Oki Electric Industry, Cl B (A) (B) 202,000 147
Okinawa Cellular Telephone (B) 16 31
OKUMA (A) (B) 21,000 81
Omron (B) 39,400 515
Ono Pharmaceutical (B) 6,900 306
Onward Holdings (B) 46,000 341
ORIX (A) (B) 31,980 2,000
Osaka Gas (B) 91,000 348
Pacific Golf Group International Holdings (B) 7 2
Point (B) 1,700 83
Promise (B) 56,100 1,162
Rakuten (A) (B) 11,155 6,136
Resona Holdings (A) (B) 614 862
Ricoh (B) 111,000 1,163
Riso Kagaku (B) 2,200 24
Roland (B) 1,700 17
Roland DG (B) 200 2
Round One (B) 74 35
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Royal Holdings (B) 2,300 $ 24
Sakai Chemical Industry (B) 1,000 2
San-A, Cl A (B) 100 3
San-In Godo Bank (B) 20,000 147
Sanki Engineering (B) 14,000 94
Sankyo (B) 7,100 390
Sankyu (B) 53,000 205
Sapporo Hokuyo Holdings (B) 103 392
Sazaby League (B) 1,600 19
Seiko Epson (A) (B) 39,700 573
Seino Holdings (B) 24,000 122
Senshukai 4,500 34
Seven & I Holdings (B) 152,300 4,322
Seven Bank 266 944
SFCG (A) (B) 1,460 19
Sharp (B) 465,000 3,150
Shimano (B) 24,900 925
Shin-Etsu Chemical (B) 14,600 561
Shinsei Bank (B) 112,000 180
Shionogi (B) 14,000 307
Shiseido (B) 42,000 785
Showa (B) 8,000 33
Showa Denko (B) 35,000 52
Showa Shell Sekiyu (B) 27,700 231
Sintokogio (B) 2,900 18
Sky Perfect JSAT (B) 1,239 473
Softbank (A) (B) 130,300 1,787
Sompo Japan Insurance (B) 107,000 620
Sony (B) 130,600 2,549
Sony Financial Holdings (B) 110 328
Square ENIX Holdings (B) 27,800 797
SRI Sports (B) 13 12
Sumikin Bussan (B) 6,000 13
Sumitomo (B) 317,100 2,805
Sumitomo Chemical (B) 218,000 766
Sumitomo Electric Industries (B) 16,400 124
Sumitomo Heavy Industries (B) 122,000 460
Sumitomo Metal Industries (B) 248,000 641
Sumitomo Metal Mining (B) 218,000 2,078
Sumitomo Mitsui Financial Group (A) (B) 1,016 3,699
Sumitomo Trust & Banking (B) 174,000 790
Suruga Bank (B) 109,731 1,115
Suzuken (B) 22,300 501
Suzuki Motor (B) 51,700 701
T&D Holdings (B) 64,700 2,422
Tachi-S, Cl S (B) 17,000 81
Tadano (B) 30,000 156
Taisho Pharmaceutical (B) 31,000 560
Takashimaya (B) 51,000 368
Takata (A) (B) 25,700 202
Takeda Pharmaceutical (B) 83,700 4,076
Takefuji (B) 36,760 258
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
90
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Takeuchi Manufacturing (B) 1,200 $ 9
Tanabe Seiyaku (B) 248,000 3,105
TDK (B) 20,100 683
Teijin (B) 167,000 466
Teikoku Piston Ring (A) (B) 13,200 51
Temp Holdings 5,000 29
T-GAIA CORP (B) 4 4
Toagosei (B) 89,000 222
Tochigi Bank (B) 10,000 58
Toei 1,000 4
Toho Gas (B) 37,000 215
Tohoku Electric Power (B) 86,400 2,106
Tokai Rika (B) 5,300 50
Tokai Rubber Industries 200 2
Tokai Tokyo Securities (B) 11,000 24
Token (B) 2,360 54
Tokuyama (B) 18,000 138
Tokyo Dome (B) 13,000 42
Tokyo Electric Power (B) 276,900 8,268
Tokyo Leasing (B) 6,700 35
Tokyo Style (B) 4,000 30
Tokyu Land (B) 34,000 95
Topre (B) 3,600 31
Toshiba (B) 702,000 2,580
Toshiba Machine (B) 20,000 64
Toshiba TEC (B) 36,000 98
Tosoh (B) 54,000 113
Toyo Kohan (B) 1,000 4
Toyo Seikan Kaisha (B) 300 4
Toyo Suisan Kaisha (B) 53,000 1,243
Toyota Boshoku (B) 9,800 79
Toyota Industries (B) 33,200 652
Toyota Motor (B) 298,700 9,607
Toyota Tsusho (B) 4,800 46
Trusco Nakayama (B) 2,400 28
TS Tech (B) 6,100 39
Tsuruha Holdings (B) 2,000 60
TV Asahi (B) 120 158
Ube Industries (B) 38,000 76
Unipres (B) 2,700 26
UNY (B) 25,000 221
Valor (B) 6,000 54
West Japan Railway (B) 209 931
Yachiyo Bank (B) 17 52
Yahoo! Japan (A) (B) 380 124
Yamaha (B) 28,600 265
Yamaha Motor (B) 47,500 452
Yamanashi Chuo Bank (B) 2,000 12
Yamato Kogyo (B) 36,700 826
Yaskawa Electric (B) 80,000 351
Yodogawa Steel Works (B) 11,000 45
Yokogawa Electric (B) 12,000 63
Yurtec (B) 8,000 39
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Yusen Air & Sea Service (B) 500 $ 6
Zeon (B) 16,000 48
-------------
303,644
-------------
JERSEY -- 0.0%
Meinl European Land* (A) (B) 59,652 149
-------------
MALAYSIA -- 0.3%
Affin Holdings (B) 60,600 22
AMMB Holdings (B) 483,000 275
BIMB Holdings (B) 7,000 2
Boustead Holdings (B) 8,000 7
British American Tobacco Malaysia (B) 70,000 865
HAP Seng Consolidated (B) 195,500 100
Hong Leong Bank (B) 50,000 69
Hong Leong Financial Group (B) 56,000 59
JT International (B) 7,000 9
KFC Holdings Malaysia (B) 50,100 101
Lion Industries (B) 371,000 66
Oriental Holdings (B) 21,000 29
Petronas Gas (B) 264,000 708
PLUS Expressways (B) 842,000 647
PPB Group (B) 282,000 667
Resorts World (B) 3,497,500 2,263
Tanjong (B) 56,000 194
Tenaga Nasional (B) 182,000 297
Titan Chemicals (B) 810,000 181
UMW Holdings (B) 152,000 216
-------------
6,777
-------------
MAURITIUS -- 0.0%
Golden Agri-Resources (SGD) (B) 619,000 93
-------------
MEXICO -- 0.8%
Alfa, Cl A 111,928 206
America Movil ADR, Ser L 88,500 2,655
America Movil, Ser L 1,381,500 2,140
Cemex 1,457,200 1,055
Cemex ADR* (A) 195,100 1,356
Coca-Cola Femsa, Ser L 205,500 725
Consorcio ARA 360,317 127
Cydsa 85,300 39
Embotelladoras Arca 151,900 310
Fomento Economico Mexicano ADR 100,395 2,762
GEO* 63,900 58
Gruma, Ser B, Cl B* 2,600 1
Grupo Aeroportuario del Pacifico, Ser B, Cl B 130,700 292
Grupo Continental 221,300 299
Grupo Elektra 2,340 89
Grupo Famsa, Cl A* 91,584 59
Grupo Financiero Banorte, Ser O (A) 249,589 403
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
91
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund (Continued)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Grupo Lamosa* 40,800 $ 38
Grupo Mexico, Ser B 1,365,377 878
Grupo Modelo 230,620 608
Grupo Televisa 13,300 40
Industrias, Ser B* 21,111 40
Industrias Bachoco 8,500 11
Mexichem 27,700 28
Urbi Desarrollos Urbanos* (A) 648,430 972
Wal-Mart de Mexico 38,800 107
-------------
15,298
-------------
NETHERLANDS -- 3.1%
Aegon (B) 378,766 1,797
Akzo Nobel (B) 11,733 400
Boskalis Westminster (B) 26,926 770
CSM (B) 10,622 135
European Aeronautic Defense and Space (A) (B) 261,907 4,162
Fugro (B) 17,106 544
ING Groep (B) 428,083 3,609
Koninklijke Ahold (B) 773,001 8,607
Koninklijke DSM (B) 91,756 2,125
Randstad Holding (B) 26,104 488
Reed Elsevier (B) 163,554 1,932
Royal Dutch Shell, Cl B (B) 263,850 6,912
Royal Dutch Shell, Cl A (B) 428,464 11,406
Royal Dutch Shell, Cl A (GBP) (B) 237,026 6,352
Royal KPN (B) 235,367 3,247
SNS Reaal (B) 19,069 118
TNT (B) 21,523 450
TomTom* (A) (B) 7,894 46
Unilever (B) 332,279 7,747
Wolters Kluwer (B) 20,400 345
-------------
61,192
-------------
NEW ZEALAND -- 0.0%
Fisher & Paykel Healthcare (B) 33,194 56
Telecom Corp of New Zealand (B) 591,500 796
Vector (B) 96,150 105
-------------
957
-------------
NORWAY -- 0.5%
DnB (B) 484,100 1,835
Norsk Hydro (B) 70,980 258
Petroleum Geo-Services* (B) 58,950 267
Statoil (B) 411,534 6,950
Telenor (B) 164,900 893
Yara International (B) 18,693 310
-------------
10,513
-------------
PANAMA -- 0.1%
Copa Holdings, Cl A (A) 55,700 1,235
-------------
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
PHILIPPINES -- 0.2%
Aboitiz Equity Ventures (B) 48,000 $ 5
JG Summit Holdings (B) 968,000 36
Manila Electric (B) 103,000 123
Philippine Long Distance Telephone ADR (A) 31,417 1,506
Philippine Long Distance Telephone (B) 30,560 1,448
Pilipino Telephone (B) 560,000 82
San Miguel, Cl B (B) 58,000 51
SM Investments (B) 183,851 691
-------------
3,942
-------------
POLAND -- 0.2%
Bank Handlowy w Warszawie (B) 17,000 260
Bank Ochrony Srodowiska (B) 41 1
Cyfrowy Polsat (B) 239,447 1,050
Kredyt Bank (B) 28,228 102
Polish Oil & Gas (B) 798,000 947
Polski Koncern Naftowy Orlen (B) 107,000 942
Powszechna Kasa Oszczednosci Bank Polski (B) 5,000 54
Telekomunikacja Polska (B) 135,000 888
Zaklady Azotowe Pulawy (B) 2,100 40
-------------
4,284
-------------
PORTUGAL -- 0.1%
Banco BPI, Cl G* (B) 57,615 106
Energias de Portugal (B) 346,315 1,177
Jeronimo Martins (B) 144,072 752
Portugal Telecom (B) 122,060 906
-------------
2,941
-------------
RUSSIA -- 1.3%
Comstar United Telesystems GDR (B) 144,313 328
Gazprom OAO ADR (B) 471,450 8,280
LUKOIL ADR (A) (B) 179,319 5,740
Mechel ADR (A) 85,300 535
MMC Norilsk Nickel ADR (B) 311,640 2,323
Mobile Telesystems ADR 49,700 1,473
Novorossiysk Commercial Sea Port GDR (B) 82,000 411
Rosneft Oil GDR (A) (B) (D) 426,693 1,696
Sberbank GDR (A) 18,065 2,354
Surgutneftegaz ADR 71,608 457
Tatneft GDR 18,397 625
Uralkali GDR 72,084 525
Vimpel-Communications ADR 13,100 125
-------------
24,872
-------------
SINGAPORE -- 0.5%
ComfortDelgro (B) 80,000 72
DBS Group Holdings (B) 105,000 659
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
92
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Fraser and Neave (B) 66,000 $ 125
Haw Par (B) 19,000 43
Ho Bee Investment (B) 30,000 7
Hong Leong Asia (B) 33,000 11
Hotel Plaza (B) 11,000 9
Jardine Cycle & Carriage (B) 20,000 140
K1 Ventures (B) 76,000 7
Keppel (B) 136,000 382
Metro Holdings (B) 62,000 15
NatSteel (B) 60,000 36
Neptune Orient Lines (A) (B) 701,000 487
Oversea-Chinese Banking (B) 480,000 1,648
SembCorp Industries (B) 132,000 195
Singapore Airlines (B) 56,000 389
Singapore Land (B) 5,000 12
Singapore Technologies Engineering (B) 169,000 265
Singapore Telecommunications (B) 153,000 260
SMRT (B) 9,000 10
SP Chemicals (B) 133,500 62
United Overseas Bank (B) 367,000 3,233
UOB-Kay Hian Holdings (B) 143,000 88
UOL Group (B) 31,000 42
Venture (B) 18,000 49
Wheelock Properties (B) 27,000 15
Wilmar International (A) (B) 533,000 991
-------------
9,252
-------------
SOUTH AFRICA -- 1.3%
ABSA Group (B) 32,000 331
African Rainbow Minerals (B) 37,917 384
ArcelorMittal (A) (B) 267,289 6,432
ArcelorMittal South Africa (B) 57,600 499
Assore (B) 3,875 145
AST Group (B) 422,010 20
Aveng (B) 114,000 332
Combined Motor Holdings (B) 7,293 2
DataTec (B) 72,000 99
Enaleni Pharmaceuticals* (B) 75,740 18
Exxaro Resources (B) 62,000 446
Gold Fields (B) 54,000 448
Grindrod (B) 180,000 233
Group (B) 116,749 1,223
Harmony Gold Mining* (B) 84,000 723
Hosken Consolidated Investments (B) 5,500 22
Medi-Clinic (B) 130,000 234
Metropolitan Holdings (B) 204,000 216
Nedbank Group (B) 72,000 675
Palabora Mining (B) 16,000 96
Sanlam (B) 2,629,830 4,342
Santam (B) 17,016 116
Sappi (A) 360,416 1,294
Sasol (B) 166,771 4,793
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Standard Bank Group (B) 194,311 $ 1,684
Telkom (B) 39,554 402
-------------
25,209
-------------
SOUTH KOREA -- 1.7%
Asia Cement (B) 783 21
Daou Technology (B) 18,650 48
Dongwon Industries (B) 1,460 83
Doosan* (B) 2,170 105
Doosan Infracore (B) 11,340 101
GS Home Shopping (B) 1,514 48
Hana Financial Group (B) 24,100 288
Handsome (B) 11,850 59
Hanwha Chemical (B) 45,020 153
Honam Petrochemical (B) 6,000 181
Hyundai Department Store (B) 8,190 308
Hyundai Development (B) 79,528 1,650
Hyundai Heavy Industries (B) 12,500 1,315
Hyundai Marine & Fire Insurance (B) 6,180 55
Industrial Bank of Korea (B) 10,680 51
KB Financial Group* 55,400 1,139
Korea Development Financing (B) 2,820 46
Korea Gas (B) 11,870 456
KT (B) 43,630 982
KT Freetel (B) 38,280 744
KT&G (B) 31,130 1,723
Kyeryong Construction Industrial (B) 1,080 10
LG (B) 33,730 956
LG Chemical (B) 33,240 1,578
LG Dacom (B) 24,140 321
LG Electronics (B) 13,890 744
LG Household & Health Care (B) 5,510 627
LG Telecom (B) 76,700 566
LG.Philips LCD (B) 140,830 1,927
Lotte Confectionery (B) 390 325
Lotte Shopping (B) 5,190 635
Namyang Dairy Products (B) 25 7
Nong Shim Holdings (B) 1,110 41
Ottogi (B) 1,369 137
Pacific (B) 3,469 236
Samsung Electronics (B) 22,173 7,344
Samsung Fire & Marine Insurance (B) 30,534 4,027
Samsung Heavy Industries (B) 7,960 108
SeAH Holdings (B) 340 14
Shinhan Financial Group (B) 16,190 339
Shinsegae (B) 10,325 3,110
SK Energy (B) 4,982 231
SK Gas (B) 2,500 74
SK Holdings (B) 2,035 120
Young Poong (B) 440 146
Youngone (B) 21,210 77
-------------
33,256
-------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
93
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund (Continued)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
SPAIN -- 2.5%
ACS Actividades Construcciones y Servicios (B) 44,590 $ 1,766
Banco Bilbao Vizcaya Argentaria (B) 262,055 2,716
Banco Espanol de Credito (B) 1,521 17
Banco Santander (B) 4,786 38
Banco Santander Central Hispano (B) 1,167,796 9,584
Cementos Portland Valderrivas (B) 1,462 44
Criteria Caixacorp (B) 119,590 407
Financiera Alba (B) 8,864 283
Gas Natural (A) (B) 154,065 4,268
Grifols (B) 64,880 1,119
Grupo Catalana Occidente (B) 21,917 365
Iberdrola (B) 717,067 5,317
Iberdrola Renovables* 148,704 496
Mapfre (B) 190,790 601
Promotora de Informaciones (B) 21,227 77
Repsol (B) 265,363 5,107
Sacyr Vallehermoso (A) (B) 19,522 189
Telefonica (A) (B) 844,794 17,100
Union Fenosa (B) 9,685 211
-------------
49,705
-------------
SWEDEN -- 1.1%
Alfa Laval (B) 24,862 196
Atlas Copco, Cl A (B) 46,166 326
Eniro (A) (B) 35,467 61
Getinge, Cl B (B) 37,641 452
Hennes & Mauritz, Cl B (A) (B) 4,795 178
Investor, Cl B (B) 144,845 2,053
NCC, Cl B (B) 2,141 10
Nordea Bank (B) 431,427 3,118
Oriflame Cosmetics (B) 2,324 64
Saab, Cl B (B) 10,364 72
Securitas, Cl B (B) 88,000 836
Skandinaviska Enskilda Banken, Cl A (A) (B) 46,847 397
Svenska Cellulosa, Cl B (B) 155,300 1,260
Svenska Handelsbanken, Cl A (B) 65,472 1,092
Swedbank (A) (B) 114,655 829
Swedish Match (B) 50,312 770
Tele2, Cl B (B) 36,000 295
Telefonaktiebolaget LM Ericsson, Cl B (B) 1,202,000 8,443
TeliaSonera (A) (B) 236,657 1,065
Trelleborg, Cl B (B) 19,589 106
Volvo, Cl B (A) (B) 189,506 847
-------------
22,470
-------------
SWITZERLAND -- 6.0%
ABB (B) 71,104 921
ACE 19,063 996
Actelion* (B) 27,286 1,229
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Addax Petroleum 53,800 $ 949
Adecco (B) 35,000 1,040
Baloise Holding (B) 38,247 2,137
Banque Cantonale Vaudoise (B) 1,162 324
Bobst Group (B) 338 10
Clariant (B) 52,733 324
Credit Suisse Group (B) 164,005 4,804
Elektrizitaets-Gesellschaft Laufenburg (B) 258 197
Galenica (B) 136 38
Georg Fischer (B) 262 50
Helvetia Holding (B) 2,052 348
Holcim (A) (B) 3,452 154
Lindt & Spruengli (B) 305 591
Nestle (B) 761,793 27,576
Novartis (B) 528,334 24,641
Paris RE Holdings (B) 572 8
Petroplus Holdings (B) 4,356 81
Roche Holding (B) 99,651 13,953
Schmolz + Bickenbach (B) 1,776 31
Schweizerische National-
Versicherungs-Gesellschaft (A) (B) 60 30
STMicroelectronics (B) 75,586 498
Swatch Group (A) (B) 26,777 599
Swiss Life Holding (B) 9,945 613
Swiss Reinsurance (B) 113,930 4,653
Swisscom (B) 4,295 1,230
Syngenta (B) 45,416 8,160
Synthes (B) 13,205 1,529
Temenos Group* (B) 31,474 397
UBS* (B) 228,408 2,852
Xstrata (B) 261,654 3,763
Zurich Financial Services (B) 78,988 15,398
-------------
120,124
-------------
TAIWAN -- 1.9%
Acer (B) 264,301 337
Advanced Semiconductor Engineering (B) 4,914,005 1,684
Asia Optical (B) 101,000 109
Asustek Computer (B) 1,081,231 1,240
AU Optronics (B) 4,120,175 2,527
Cathay Financial Holding (B) 2,027,550 2,114
Chang Hwa Commercial Bank (B) 442,000 162
Chi Mei Optoelectronics (B) 1,565,450 459
China Bills Finance* (B) 109,000 13
China Development Financial Holding (B) 3,566,333 715
China Manmade Fibers (B) 653,000 78
China Steel (B) 648,209 433
Chinatrust Financial Holding (B) 5,637,618 1,916
Chunghwa Telecom (B) 4,908,829 7,754
Compal Electronics (B) 1,766,598 920
CTCI (B) 289,432 207
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
94
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Far Eastern Textile (B) 198,000 $ 135
Far EasTone Telecommunications (B) 765,000 895
Formosa Plastics (B) 632,000 928
Fubon Financial Holding (B) 1,733,000 1,046
Gigabyte Technology (B) 299,000 102
HannStar Display (B) 2,600,000 297
HON HAI Precision Industry (B) 1,008,616 1,964
Hua Nan Financial Holdings (B) 273,000 134
King Yuan Electronics (B) 577,000 120
Lite-On Technology (B) 819,737 584
MediaTek (B) 320,889 2,153
Mega Financial Holding (B) 2,869,000 884
Micro-Star International (B) 174,716 77
Quanta Computer (B) 911,529 989
Shih Wei Navigation (B) 155,000 164
Siliconware Precision Industries (B) 460,472 378
Taiwan Cooperative Bank (B) 1,512,850 694
Taiwan Fertilizer (B) 491,000 716
Taiwan Glass Industrial (B) 397,000 245
Taiwan Semiconductor Manufacturing ADR (A) 342,989 2,452
Taiwan Semiconductor Manufacturing (B) 1,227,788 1,532
Taiwan Sogo Shin Kong SEC (B) 27,540 11
Teco Electric and Machinery (B) 995,000 301
United Microelectronics (B) 589,527 141
UPC Technology (B) 384,799 105
Wistron (B) 571,533 380
-------------
38,095
-------------
THAILAND -- 0 3%
Bangkok Bank NVDR (B) 481,000 895
Krung Thai Bank NVDR (B) 221,000 21
PTT (B) 537,300 2,245
PTT (Foreign) (B) 14,900 62
PTT NVDR (B) 210,700 880
Ratchaburi Electricity Generating Holding (B) 148,000 129
Siam Commercial Bank (B) 1,694,500 2,314
Thai Oil (B) 484,100 262
Thai Rayon (B) 76,000 60
-------------
6,868
-------------
TURKEY -- 0.2%
Anadolu Efes Biracilik Ve Malt Sanayii (B) 69,131 546
Banvit (B) 36,000 30
Borusan Mannesmann Boru Sanayi (B) 12,000 42
Bossa Ticaret Sanayi Isletme (B) 60,000 79
Eczacibasi Ilac Sanayi (B) 243,000 134
Fortis Bank* (B) 170,803 90
Haci Omer Sabanci Holding (B) 1,263,363 2,524
KOC Holding* (B) 391,000 637
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Trakya Cam Sanayi* (B) 90,000 $ 55
Turk Hava Yollari* (B) 72,000 246
Turk Sise ve Cam Fabrikalari (B) 255,568 177
-------------
4,560
-------------
UNITED KINGDOM -- 12.6%
3i Group (B) 181,044 1,149
Aegis Group (B) 1,002 1
Aggreko (B) 78,454 541
Amec (B) 456,680 3,700
Anglo American (B) 246,248 5,849
Antofagasta (B) 132,700 885
Arriva (B) 4,800 47
Associated British Foods (B) 150,000 1,564
AstraZeneca (B) 353,703 13,307
Autonomy* (B) 306,367 4,402
Aviva (B) 424,550 2,630
Babcock International Group (B) 118,447 875
BAE Systems (B) 2,156,365 11,778
Barclays (B) 2,537,367 6,713
BBA Aviation (B) 56,038 68
BG Group (B) 613,417 8,734
BHP Billiton (B) 565,468 10,209
BP (B) 3,013,868 24,372
British American Tobacco (B) 413,760 10,807
British Energy Group (B) 118,600 1,364
British Land+++ (B) 23,978 193
BT Group, Cl A (B) 2,613,842 5,397
Cable & Wireless (B) 1,266,590 2,912
Centrica (B) 1,297,918 4,730
Charter International 59,668 280
Close Brothers Group (B) 2,922 21
Cobham (B) 644,704 1,762
Colt Telecom Group* (B) 26,758 24
Compass Group (B) 890,889 4,207
Cookson Group (B) 18,359 31
Diageo (B) 137,638 1,915
Drax Group (B) 3,329 31
Enterprise Inns (B) 24,874 25
Eurasian Natural Resources (B) 85,328 367
Firstgroup (B) 129,729 939
Friends Provident (B) 301,022 341
Game Group (B) 260,696 628
GlaxoSmithKline (B) 869,937 15,012
Greene King (B) 35,757 216
Group 4 Securicor (B) 405,166 1,267
HBOS (B) 2,115,084 2,979
Home Retail Group (B) 696,438 2,182
HSBC Holdings (B) 1,587,743 17,282
IG Group Holdings (B) 174,033 601
Imperial Tobacco Group (B) 190,040 4,733
Informa (B) 18,877 59
Inmarsat (B) 125,671 842
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
95
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund (Continued)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Invensys (B) 195,391 $ 497
Investec (B) 100,301 412
Jardine Lloyd Thompson Group (B) 46,311 356
John Wood Group (B) 127,293 418
Kazakhmys (B) 52,859 211
Kingfisher (B) 625,000 1,150
Land Securities Group+++ (B) 66,276 964
Legal & General Group (B) 2,309,249 2,409
Liberty International+++ (B) 36,000 301
Lloyds TSB Group (B) 1,232,498 3,175
LogicaCMG (B) 293,245 299
Marston's (B) 36,913 60
Meggitt (B) 74,574 167
Millennium & Copthorne Hotels (B) 17,795 54
Mitchells & Butlers (B) 25,916 65
Mondi (B) 186,297 477
National Express Group (B) 6,962 61
National Grid (B) 116,000 1,207
Old Mutual (B) 2,081,992 1,762
Pearson (B) 8,197 78
Persimmon (A) (B) 24,200 81
Prudential (B) 200,058 1,046
Punch Taverns (B) 6,200 12
QinetiQ (B) 37,581 100
Reckitt Benckiser Group (B) 103,506 4,390
Rio Tinto (B) 119,655 2,969
Rolls-Royce Group (B) 99,872 481
Royal & Sun Alliance Insurance Group (B) 2,203,774 5,187
Royal Bank of Scotland Group (B) 3,318,076 2,842
Sage Group (B) 372,000 952
Scottish & Southern Energy (B) 45,781 777
Segro+++ (B) 30,734 105
Severn Trent (B) 11,938 210
Shire (B) 220,147 3,027
Smith & Nephew (B) 8,981 67
Smiths Group (B) 97,913 1,262
Spectris (B) 12,481 82
St. James's Place (B) 17,193 52
Standard Chartered (B) 49,528 645
Standard Life (B) 641,906 2,599
Tate & Lyle (B) 83,128 501
Tesco (B) 425,809 1,937
Thomas Cook Group (B) 40,960 103
TUI Travel (B) 359,720 1,177
Tullett Prebon (B) 11,191 31
Unilever (B) 225,471 5,165
United Business Media (B) 7,994 53
United Utilities Group (B) 182,338 1,699
Vedanta Resources (A) (B) 58,930 556
Vodafone Group (B) 9,841,242 19,259
WPP (B) 309,874 1,726
-------------
251,187
-------------
Shares/
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
UNITED STATES -- 0.0%
Thomson Reuters (CAD)* 13,100 $ 335
-------------
Total Common Stock
(Cost $2,434,421) ($ Thousands) 1,630,105
-------------
U.S. TREASURY OBLIGATIONS -- 3.0%
U.S. Treasury Bill
0.297%, 12/18/08 (C) (G) $ 1,300 1,300
0.010%, 02/12/09 (C) (G) 47,706 47,702
U.S. Treasury Inflationary Protection
Securities
3.000%, 07/15/12 7,436 7,108
2.375%, 01/15/25 3,561 3,173
-------------
Total U.S. Treasury Obligations
(Cost $60,651) ($ Thousands) 59,283
-------------
MORTGAGE-BACKED SECURITIES -- 2.1%
AGENCY MORTGAGE-BACKED OBLIGATIONS -- 1.3%
FHLMC TBA
6.000%, 12/01/22 20,000 20,377
FHLMC CMO STRIPS, Ser 232,
Cl IO, IO
5.000%, 08/01/35 (E) 11,167 1,824
FHLMC CMO STRIPS, Ser 233,
Cl 12, IO
5.000%, 09/15/35 (E) 12 2
FHLMC CMO STRIPS, Ser 245,
Cl IO, IO
5.000%, 05/15/37 (E) 1,098 182
FNMA CMO STRIPS, Ser 359, Cl 6, IO
5.000%, 11/01/35 (E) 8 1
GNMA ARM
5.500%, 01/20/09 (E) (F) 190 188
5.000%, 01/20/09 to 01/20/09 (F) 761 750
4.750%, 01/01/09 (E) (F) 1,447 1,421
4.625%, 10/01/09 (E) (F) 112 110
4.500%, 01/20/09 (F) 870 852
4.000%, 01/20/09 (E) (F) 212 206
-------------
25,913
-------------
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 0.8%
Adjustable Rate Mortgage Trust,
Ser 2005-5, Cl 1A1
5.310%, 01/25/09 (F) 805 729
Banc of America Funding, Ser 2006-A,
Cl 2A2
5.491%, 12/01/08 (F) 128 113
Bear Stearns Alt-A Trust, Ser 2004-12,
Cl 2A2
5.875%, 01/25/09 (F) 641 321
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
96
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Citigroup Mortgage Loan Trust,
Ser 2007-AR5, Cl 1A2A
5.607%, 01/25/09 (F) $ 2,224 $ 1,066
Countrywide Alternative Loan Trust,
Ser 2004-33, Cl 1A1
6.725%, 12/01/08 (F) 271 155
Countrywide Home Loan Mortgage
Pass-Through Trust, Ser 2004-22,
Cl A1
5.084%, 12/01/08 (F) 481 252
Countrywide Home Loan Mortgage
Pass-Through Trust, Ser 2006-HYB2,
Cl 1A1
4.991%, 12/01/08 (F) 1,344 719
Countrywide Home Loan Mortgage
Pass-Through Trust, Ser 2007-HYB1,
Cl 1A1
5.478%, 01/25/09 (F) 1,186 670
Countrywide Home Loan Mortgage
Pass-Through Trust, Ser 2007-HYB2,
Cl 3A1
5.418%, 01/25/09 (F) 851 335
Deutsche ALT-A Securities Alternate
Loan Trust, Ser 2006-AB3, Cl A1
6.250%, 12/01/08 (F) 613 576
DSLA Mortgage Loan Trust,
Ser 2004-AR4, Cl B1
2.074%, 12/19/08 (F) 255 59
First Horizon Asset Securities,
Ser 2006-AR3, Cl 1A1
5.657%, 12/01/08 (F) 1,223 823
Indymac Index Mortgage Loan Trust,
Ser 2004-AR6, Cl 1A
5.538%, 12/01/08 (F) 80 41
Master Adjustable Rate Mortgages Trust,
Ser 2004-6, Cl 2A1
5.190%, 12/01/08 (F) 783 464
Master Adjustable Rate Mortgages Trust,
Ser 2005-2, Cl 3A1
5.692%, 12/01/08 (F) 799 380
Merrill Lynch Mortgage Trust,
Ser 2006-1, Cl 1A
5.251%, 12/01/08 (F) 1,218 1,144
Morgan Stanley Mortgage Loan Trust,
Ser 2007-11AR, Cl 2A5
5.992%, 01/25/09 (F) 861 350
Morgan Stanley Mortgage Loan Trust,
Ser 2007-14AR, Cl 6A1
6.406%, 01/25/09 (F) 2,830 1,258
Nomura Asset Acceptance, Ser 2004-R1,
Cl A1
6.500%, 03/25/34 (D) 284 286
Face Amount
($ Thousands) Market Value
Description /Shares ($ Thousands)
- ----------- ------------- -------------
Nomura Asset Acceptance,
Ser 2004-R2, Cl A1
6.500%, 12/01/08 (D) (F) $ 331 $ 307
Nomura Asset Acceptance, Ser 2007-1,
Cl 1A1A
5.995%, 03/25/47 1,324 1,134
Residential Accredit Loans,
Ser 2005-QA3, Cl NB2
5.219%, 12/01/08 (F) 1,252 618
Residential Accredit Loans,
Ser 2006-QO1, Cl 2A3
1.795%, 12/26/08 (F) 250 78
Residential Asset Securitization Trust,
Ser 2004-IP2, Cl 3A1
5.236%, 12/01/08 (F) 1,019 921
Structured Adjustable Rate Mortgage
Loan Trust, Ser 2006-3, Cl 2A1
5.948%, 01/25/09 (F) 4,044 1,917
Structured Adjustable Rate Mortgage
Loan Trust, Ser 2007-9, Cl 2A1
5.991%, 01/25/09 (F) 1,769 940
Structured Asset Securities,
Ser 2006-NC1, Cl A4
1.545%, 12/26/08 (F) 300 167
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2004-I, Cl B1
5.543%, 12/01/08 (F) 60 35
-------------
15,858
-------------
Total Mortgage-Backed Securities
(Cost $53,835) ($ Thousands) 41,771
-------------
PREFERRED STOCK -- 1.3%
BRAZIL -- 1.2%
All America Latina Logistica 20,400 16
Banco Bradesco 403,900 4,345
Banco Daycoval 22,000 47
Banco Itau Holding Financeira 60,700 711
Bombril* 3,000 7
Brasil Telecom 95,575 619
Braskem 34,142 95
Centrais Eletricas Brasileiras, Cl B 89,000 938
Centrais Eletricas de Santa Catarina 11,700 178
Cia de Bebidas das Americas 20,000 859
Cia Energetica de Minas Gerais 4,356 70
Cia Paranaense de Energia 75,000 898
Cia Vale do Rio Doce, Cl A 280,400 3,005
Construtora Sultepa 3,000 6
Duratex 36,400 229
Ferbasa-Ferro Ligas DA Bahia 19,473 59
Fertilizantes Fosfatados 131,700 627
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
97
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund (Continued)
November 30, 2008
Shares/Face
Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Gerdau 629 $ 4
Industrias J B Duarte 1,200 --
Mangels Industrial 3,500 10
NET Servicos de Comunicacao* 384,000 2,307
Parana Banco 16,500 19
Petroleo Brasileiro 612,700 5,374
Sadia 45,800 67
Tam 111,942 759
Tekno Industria e Comercio 400 12
Telegraph Norte Leste Participacoes 62,800 933
Telemar Norte Leste 28,700 730
Telemig Celular Participacoes 18,000 283
Universo Online 18,500 56
Usinas Siderurgicas de Minas Gerais,
Cl A 65,150 668
-------------
23,931
-------------
GERMANY -- 0.1%
Bayerische Motoren Werke 3,036 55
Porsche Automobil Holding 5,107 333
ProSiebenSat.1 Media 11,647 25
RWE 1,987 116
Volkswagen 5,856 238
-------------
767
-------------
ITALY -- 0.0%
Istituto Finanziario Industriale* (B) 40,436 241
Unipol Gruppo Finanziario (B) 47,789 48
-------------
289
-------------
SOUTH KOREA -- 0.0%
Samsung Electronics (B) 1,000 228
-------------
Total Preferred Stock
(Cost $42,804) ($ Thousands) 25,215
-------------
ASSET-BACKED SECURITIES -- 0.6%
MORTGAGE RELATED SECURITIES -- 0.6%
ACE Securities, Ser 2003-NC1, Cl M
2.175%, 12/26/08 (F) $ 650 411
ACE Securities, Ser 2003-OP1, Cl M1
2.095%, 12/26/08 (F) 300 186
Aegis Asset-Backed Securities Trust,
Ser 2003-3, Cl M1
2.445%, 12/26/08 (F) 38 21
Ameriquest Mortgage Securities,
Ser 2003-2, Cl M1
2.745%, 12/26/08 (F) 416 291
Argent Securities, Ser 2003-W5,
Cl M1
2.095%, 12/26/08 (F) 250 166
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Argent Securities, Ser 2003-W9,
Cl M1
2.085%, 12/26/08 (F) $ 369 $ 239
Asset-Backed Securities Home Equity,
Ser 2003-HE5, Cl M1
2.548%, 12/15/08 (F) 456 340
Citigroup Mortgage Loan Trust,
Ser 2007-AMC2, Cl A3A
1.475%, 12/26/08 (F) 1,084 871
Countrywide Asset-Backed Certificates,
Ser 2003-5, Cl MV2
2.995%, 12/26/08 (F) 255 157
Credit Suisse Asset-Backed
Mortgage-Backed Trust,
Ser 2007-1, Cl 1A1A
5.898%, 01/25/09 (F) 2,945 1,988
First Franklin Mortgage Loan
Asset-Backed Certificates,
Ser 2005-FF9, Cl A3
1.675%, 12/26/08 (F) 887 756
GSAA Home Equity NIM Trust,
Ser 2006-2, Cl 2A1
1.495%, 12/26/08 (F) 139 138
Home Equity Asset NIM Trust,
Ser 2003-4, Cl M2
3.795%, 12/26/08 (F) 226 141
Home Equity Asset Trust, Ser 2006-5,
Cl 2A3
1.545%, 12/26/08 (F) 250 123
Merrill Lynch Mortgage Investors,
Ser 2003-HE1, Cl M2
3.045%, 12/26/08 (F) 51 24
Morgan Stanley ABS Capital I,
Ser 2003-NC10, Cl M1
2.415%, 12/26/08 (F) 613 438
Morgan Stanley ABS Capital I,
Ser 2005-HE6, Cl A2C
1.715%, 12/26/08 (F) 1,600 1,221
New Century Home Equity Loan Trust,
Ser 2005-A, Cl A2
4.461%, 08/25/35 4 4
Option One Mortgage Loan Trust,
Ser 2003-5, Cl M1
2.045%, 12/26/08 (F) 121 51
Residential Asset Mortgage Products,
Ser 2003-RS11, Cl MII1
2.490%, 12/26/08 (F) 54 31
Resmae Mortgage Loan Trust,
Ser 2006-1, Cl A2B
1.545%, 12/26/08 (D) (F) 1,500 1,308
Securitized Asset-Backed Receivables
LLC Trust, Ser 2005-HE1, Cl A3C
1.725%, 12/26/08 (F) 400 329
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
98
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Structured Asset Investment Loan Trust,
Ser 2003-BC4, Cl M2
4.395%, 12/26/08 (F) $ 200 $ 120
Structured Asset Securities,
Ser 2007-BC1, Cl A4
1.525%, 12/26/08 (F) 1,350 447
Structured Asset Securities,
Ser 2007-GEL2, Cl A1
1.545%, 12/26/08 (D) (F) 2,584 2,065
Terwin Mortgage Trust, Ser 2006-6,
Cl 2A1
4.500%, 12/26/08 230 69
-------------
Total Asset-Backed Securities
(Cost $16,691) ($ Thousands) 11,935
-------------
U.S. GOVERNMENT AGENCY OBLIGATIONS (C) -- 0.2%
FHLMC
0.771%, 02/03/09 650 649
1.053%, 02/23/09 300 300
1.103%, 02/27/09 1,000 997
FNMA
2.611%, 02/02/09 2,775 2,773
1.481%, 05/06/09 275 274
-------------
Total U.S. Government Agency Obligations
(Cost $4,982) ($ Thousands) 4,993
-------------
Number of
Rights
-------------
RIGHTS -- 0.1%
AUSTRALIA -- 0.0%
CSR, Expires 12/12/08* 6 --
Incitec Pivot, Expires 12/23/08* 186 18
-------------
18
-------------
BELGIUM -- 0.0%
Anheuser-Busch, Expires 12/11/08* (A) 5 65
-------------
BRAZIL -- 0.0%
Telemig Cellular, Expires 12/17/08* 0 --
-------------
GERMANY -- 0.0%
Deustche Postbank, Expires 11/26/08* 13 --
-------------
SOUTH AFRICA -- 0.1%
Sappi, Expires 12/16/08* (A) 432 640
-------------
SPAIN -- 0.0%
Banco Santander, Expires 12/02/08* 5 3
Banco Santander Central Hispano,
Expires 12/02/08* 390 461
Mapfre, Expires 12/03/08* 145 2
-------------
466
-------------
Shares/Face
Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Number of
Rights
-------------
SWEDEN -- 0.0%
Getinge, Expires 12/23/08* 38 $ --
-------------
UNITED KINGDOM -- 0.0%
Centrica, Expires 12/16/08* 271 307
Standard Chartered, Expires 12/19/08* 16 103
-------------
410
-------------
Total Rights
(Cost $1,479) ($ Thousands) 1,599
-------------
EXCHANGE TRADED FUND -- 0.0%
CANADA -- 0.0%
Energy Savings Income Fund* 5,900 31
-------------
Total Exchange Traded Fund
(Cost $79) ($ Thousands) 31
-------------
CORPORATE OBLIGATIONS (D) -- 0.0%
UNITED STATES -- 0.0%
Discover Financial Services
6.450%, 06/12/17 $ 175 117
Shinsei Finance Cayman
6.418%, 01/29/49 (A) (F) 545 128
-------------
Total Corporate Obligations
(Cost $720) ($ Thousands) 245
-------------
AFFILIATED PARTNERSHIP -- 5.7%
UNITED STATES -- 5.7%
SEI Liquidity Fund, L.P.,
1.630**+ (H) 114,445,276 112,464
-------------
Total Affiliated Partnership
(Cost $114,445) ($ Thousands) 112,464
-------------
CASH EQUIVALENT -- 6.1%
UNITED STATES -- 6.1%
SEI Daily Income Trust,
Prime Obligation Fund, Cl A,
1.580**+ 121,555,140 121,555
-------------
Total Cash Equivalent
(Cost $121,555) ($ Thousands) 121,555
-------------
Total Investments -- 101.1%
(Cost $2,851,662) ($ Thousands) $ 2,009,196
=============
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
99
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund (Concluded)
November 30, 2008
A summary of outstanding swap agreements held by the Fund at November 30, 2008,
is as follows (See Note 2 in Notes to Financial Statements):
TOTAL RETURN SWAPS
NET
NOTIONAL UNREALIZED
REFERENCE TERMINATION AMOUNT DEPRECIATION
COUNTERPARTY ENTITY/OBLIGATION FUND PAYS FUND RECEIVES DATE (THOUSANDS) ($ THOUSANDS)
- ----------------- ------------------------ ------------------------- ---------------------- ----------- ----------- -------------
Bank of America BAS AAA 10-Year Negative Spread Return Initial Index
CMBS Daily Index Spread Minus 95 bp 01/30/09 7,000 $ (2,562)
Bank of America BAS AAA 10-Year Negative Spread Return Initial Index
CMBS Daily Index Spread Minus 75 bp 02/27/09 11,000 (4,027)
Goldman Sachs BAS AAA 10-Year Negative Spread Return Initial Index
CMBS Daily Index Spread Minus 150 bp 03/31/09 9,000 (3,295)
Barclays Bank PLC MSCI Daily TR Net 3-Month Libor Minus 50 bp Price Return
EAFE USD Market Index 09/04/09 12,000 (4,211)
Barclays Bank PLC MSCI Daily TR Net 3-Month Libor Minus 25 bp Price Return
EAFE USD Market Index 10/26/09 36,698 (3,639)
Merrill Lynch MSCI Daily TR Net 3-Month Libor Minus 48 bp Price Return
EAFE USD Market Index 06/30/09 16,363 (4,230)
Merrill Lynch MSCI Daily TR Net 3-Month Libor Minus 50 bp Price Return
EAFE USD Market Index 08/01/09 10,110 (682)
--------
$(22,646)
========
CREDIT DEFAULT SWAPS
NET
(PAYS)/ NOTIONAL UNREALIZED
BUY/SELL RECEIVES TERMINATION AMOUNT APPRECIATION
COUNTERPARTY REFERENCE ENTITY/OBLIGATION PROTECTION RATE DATE (THOUSANDS) ($ THOUSANDS)
- ------------------- ----------------------------------------- ---------- -------- ----------- ----------- --------------
Bank of America Black & Decker Corp., 7.125%, 06/01/11 Buy (0.55)% 12/20/11 1,000 $ 40
JPMorgan Chase Bank Black & Decker Corp., 7.125%, 06/01/11 Buy (0.55) 12/20/11 1,000 40
Bank of America Campbell Soup Co., 4.875%, 10/01/13 Buy (0.20) 06/20/14 1,600 25
Merrill Lynch CMBX.NA.A 2 Index Buy (0.25) 03/15/49 1,000 338
Goldman Sachs CMBX.NA.A 3 Index Buy (0.62) 12/25/49 1,000 534
Goldman Sachs CMBX.NA.A 3 Index Buy (0.62) 12/25/49 1,000 536
Goldman Sachs CMBX.NA.A 3 Index Buy (0.62) 12/25/49 1,000 404
Goldman Sachs CMBX.NA.BBB 2 Index Buy (0.60) 03/14/49 4,000 1,405
Bank of America Darden Restaurants Inc., 7.125%, 02/01/16 Buy (0.45) 12/20/11 1,000 86
JPMorgan Chase Bank Hasbro Inc., 2.750%, 12/01/21 Buy (0.39) 12/20/11 1,000 78
JPMorgan Chase Bank Jones Apparel Group., 5.125%, 11/15/14 Buy (0.77) 12/20/11 1,000 231
Merrill Lynch MDC Holdings Inc., 5.500%, 05/15/13 Buy (0.90) 12/20/11 1,000 29
Bank of America MeadWestvaco Corp., 6.850%, 04/01/12 Buy (0.48) 12/20/11 1,000 50
Bank of America MGIC Investment Corp., 6.000%, 11/01/15 Buy (0.35) 12/20/13 1,000 368
JPMorgan Chase Bank MGIC Investment Corp., 6.000%, 11/01/15 Buy (0.35) 12/20/13 1,000 368
JPMorgan Chase Bank Nordstrom Inc., 6.950%, 03/15/28 Buy (0.28) 12/20/13 1,000 228
Merrill Lynch Nordstrom Inc., 6.950%, 03/15/28 Buy (0.28) 12/20/13 1,000 228
Bank of America PMI Group Inc., 6.000%, 09/15/16 Buy (0.35) 12/20/13 1,000 367
JPMorgan Chase Bank PMI Group Inc., 6.000%, 09/15/16 Buy (0.35) 12/20/13 1,000 367
JPMorgan Chase Bank PPG Industries Inc., 7.050%, 08/15/09 Buy (0.20) 12/20/11 1,000 49
JPMorgan Chase Bank Radian Group Inc., 7.750%, 06/01/11 Buy (0.39) 12/20/13 1,000 484
Bank of America Radian Group Inc., 7.750%, 06/01/11 Buy (0.39) 12/20/13 1,000 521
Bank of America The Limited Inc., 6.125%, 12/01/12 Buy (0.48) 12/20/11 1,000 174
Bank of America TJX Cos. Inc., 7.450%, 12/15/09 Buy (0.19) 12/20/11 1,000 21
------
$6,971
======
A summary of the open futures contracts held by the Fund at November 30, 2008,
is as follows (See Note 2 in Notes to Financial Statements):
UNREALIZED
NUMBER OF APPRECIATION
TYPE OF CONTRACTS EXPIRATION (DEPRECIATION)
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- ------------------- ------------ ---------- --------------
10 Year Swap Future (46) Dec-2008 $(467)
5 Year Swap Future 41 Dec-2008 128
90-Day Euro$ (16) Dec-2008 (20)
90-Day Euro$ 177 Sep-2009 937
90-Day Euro$ 7 Dec-2009 24
90-Day Euro$ (97) Mar-2010 (177)
90-Day Euro$ (71) Jun-2010 (361)
90-Day Euro$ (95) Sep-2010 (287)
90-Day Euro$ (12) Dec-2010 (64)
90-Day Euro$ (3) Mar-2011 (11)
90-Day Euro$ 30 Jun-2011 114
90-Day Euro$ 41 Sep-2011 155
90-Day Euro$ 18 Dec-2011 49
90-Day Euro$ 18 Mar-2012 49
90-Day Euro$ 22 Jun-2012 63
UNREALIZED
NUMBER OF APPRECIATION
TYPE OF CONTRACTS EXPIRATION (DEPRECIATION)
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- ------------------- ------------ ---------- --------------
90-Day Euro$ 40 Sep-2012 $ 142
90-Day Euro$ 11 Dec-2012 29
90-Day Euro$ 11 Jun-2013 29
90-Day Euro$ 11 Sep-2013 29
DJ Euro Stoxx 50 Index 2,908 Dec-2008 (3,916)
E-Mini MSCI EAFE (243) Dec-2008 (23)
FTSE Index 865 Dec-2008 (655)
Hang Seng Index 70 Dec-2008 346
Nikkei 225 Index 30 Dec-2008 82
S&P/TSE 60 Index 259 Dec-2008 (1,166)
SPI 200 Index 256 Dec-2008 (580)
Topix Index 681 Dec-2008 (14,899)
U.S. 10-Year Treasury Note (89) Dec-2008 (650)
U.S. 2-Year Treasury Note (4) Dec-2008 (17)
U.S. 5-Year Treasury Note 3 Dec-2008 (3)
U.S. 5-Year Treasury Note 1 Mar-2009 1
U.S. Long Treasury Bond 2 Dec-2008 18
---------
$(21,101)
=========
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
100
A summary of the outstanding forward foreign currency contracts held by the Fund
at November 30, 2008 is as follows (see Note 2 in Notes to Financial
Statements):
UNREALIZED
CURRENCY TO CURRENCY TO APPRECIATION
MATURITY DELIVER RECEIVE (DEPRECIATION)
DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS)
- ---------------- --------------- --------------- --------------
12/5/08-12/19/08 USD 21,942 CAD 26,342 $ (715)
12/19/08 AUD 2,875 USD 1,872 2
12/19/08 CHF 15,637 USD 12,950 57
12/19/08 EUR 8,831 USD 11,240 39
12/19/08 GBP 7,781 USD 11,914 (24)
12/19/08 HKD 126,073 USD 16,271 (1)
12/19/08 JPY 1,408,820 USD 14,781 (26)
12/19/08 MXP 18,053 USD 1,356 --
12/19/08 NOK 19,178 USD 2,734 --
12/19/08 SEK 20,293 USD 2,512 6
12/19/08 USD 23,850 AUD 37,046 246
12/19/08 USD 3,529 CHF 4,254 (22)
12/19/08 USD 25,745 GBP 17,163 589
12/19/08 USD 1,164 HKD 9,019 --
12/19/08 USD 24,043 JPY 2,325,687 402
12/19/08 USD 1,042 MXP 13,920 4
12/19/08 USD 5,394 SEK 43,491 (24)
12/19/08 USD 3,833 SGD 5,848 45
12/19/08 USD 5,846 ZAR 59,420 34
12/19/08 ZAR 42,289 USD 4,078 (107)
12/19/08-3/20/09 NZD 6,782 USD 4,500 808
12/19/08-3/20/09 USD 4,500 NZD 6,589 (913)
12/19/08-4/23/09 AUD 9,179 CHF 7,700 431
12/19/08-4/23/09 CHF 8,700 AUD 10,129 (647)
12/19/08-4/23/09 CHF 21,300 EUR 13,406 (612)
12/19/08-4/23/09 EUR 12,168 CHF 19,300 521
12/19/08-4/23/09 EUR 12,470 JPY 1,959,000 4,812
12/19/08-4/23/09 GBP 9,916 CHF 19,400 826
12/19/08-4/23/09 GBP 8,057 JPY 1,573,000 4,203
12/19/08-4/23/09 GBP 2,551 SGD 6,300 271
12/19/08-4/23/09 JPY 1,959,000 EUR 12,218 (5,132)
12/19/08-4/23/09 JPY 1,573,000 GBP 7,890 (4,459)
12/19/08-4/23/09 JPY 483,000 NOK 25,703 (1,436)
12/19/08-4/23/09 NOK 27,489 JPY 483,000 1,182
12/19/08-4/23/09 SGD 6,300 GBP 2,431 (455)
12/19/08-5/26/09 CHF 21,600 GBP 10,905 (1,137)
4/23/09 CAD 1,100 NZD 1,537 (57)
4/23/09 NZD 1,618 CAD 1,100 13
-------
$(1,276)
=======
Percentages are based on a Net Assets of $1,987,802 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of November 30, 2008.
+ Investment in Affiliated Security (see Note 3).
+++ Real Estate Investment Trust
(A) This security or a partial position of this security is on loan at November
30, 2008. The total value of securities on loan at November 30, 2008 was
$109,001 ($ Thousands).
(B) Security fair valued using methods determined in good faith by the
Valuation Committee of the Board of Trustees. The total market value of
such securities as of November 30, 2008 was $1,348,188 and represented
67.8% of Net Assets.
(C) Zero coupon security. The rate reported is the effective yield at time of
purchase.
(D) Securities sold within terms of a private placement memorandum, exempt from
registration under Section 144A of the Securities Act of 1933, as amended,
and may be sold only to dealers in that program or other "accredited
investors." These securities have been determined to be liquid under
guidelines established by the board of Trustees.
(E) Security, or portion thereof, has been pledged as collateral on open swaps
contracts.
(F) Variable Rate Security -- The rate reported is the rate in effect as of
November 30, 2008. The date reported is the next reset date.
(G) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
(H) 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,
2008 was $112,464 ($ Thousands).
ABS -- Asset-Based Security
ADR -- American Depositary Receipt
ARM -- Adjustable Rate Mortgage
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
GDR -- Global Depositary Receipt
GNMA -- Government National Mortgage Association
HKD -- Hong Kong Dollar
JPY -- Japanese Yen
IO -- Interest Only - face amount represents notional amount
LLC -- Limited Liability Company
LIBOR -- London Interbank Offered Rate
L.P. -- Limited Partnership
MXP -- Mexican Peso
NIM -- Net Interest Margin
NOK -- Norwegian Krone
NVDR -- Non-Voting Depositary Receipt
NZD -- New Zealand Dollar
SEK -- Swedish Krona
Ser -- Series
SGD -- Singapore Dollar
STRIPS -- Separately Traded Registered Interest and Principal Securities
TBA -- To Be Announced
USD -- U.S. Dollar
ZAR -- South African Rand
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
101
SCHEDULE OF INVESTMENTS (Unaudited)
Screened World Equity Ex-US Fund
November 30, 2008
SECTOR WEIGHTINGS++:
(BAR CHART)
Financials 22.8%
Telecommunication Services 10.8%
Consumer Staples 10.3%
Industrials 9.9%
Energy 9.0%
Health Care 8.7%
Materials 8.6%
Utilities 7.1%
Consumer Discretionary 6.8%
Information Technology 5.8%
Rights 0.1%
Short-Term Investment 0.1%
++ Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 9).
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
COMMON STOCK -- 96.3%
ARGENTINA -- 0.1%
Cresud SACIF y A ADR 400 $ 2
IRSA Inversiones y Representaciones
GDR* 500 2
MetroGas ADR* 100 --
Telecom Argentina ADR* 2,500 22
Telefonica de Argentina ADR* 1,000 4
Tenaris ADR 100 2
Transportadora de Gas del Sur ADR 700 1
-------------
33
-------------
AUSTRALIA -- 3.6%
AGL Energy (A) 1,200 12
Amcor (A) 9,386 36
AMP (A) 900 3
Ansell (A) 500 4
Australia & New Zealand Banking
Group (A) 6,700 65
Australian Agricultural (A) 2,500 2
BHP Billiton (A) 20,884 392
Boart Longyear Group (A) 17,200 3
Boral (A) 600 1
Brambles (A) 3,800 18
Caltex Australia (A) 1,160 6
Centennial Coal (A) 8,923 15
CFS Retail Property Trust+++ (A) 2,100 3
Coca-Cola Amatil (A) 1,800 10
Cochlear (A) 200 7
Commonwealth Bank of Australia (A) 1,200 27
Computershare (A) 1,863 8
Crown (A) 1,900 6
CSL (A) 7,754 177
Dexus Property Group+++ (A) 4,800 3
Foster's Group (A) 3,800 14
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Goodman Fielder (A) 6,400 $ 6
Goodman Group+++ (A) 6,400 4
GPT Group+++ (A) 4,500 3
Incitec Pivot (A) 14,000 24
ING Industrial Fund+++ (A) 10,649 3
Insurance Australia Group (A) 2,900 7
Lend Lease (A) 5,900 30
Lion Nathan (A) 1,300 7
Macquarie Group (A) 466 9
Macquarie Infrastructure Group (A) 45,100 52
Macquarie Office Trust+++ (A) 9,500 2
National Australia Bank (A) 8,300 109
Newcrest Mining (A) 2,019 32
Nufarm (A) 6,211 37
OneSteel (A) 2,150 4
Orica (A) 1,300 13
Origin Energy (A) 10,483 110
Qantas Airways (A) 25,906 39
QBE Insurance Group (A) 500 8
Ramsay Health Care (A) 100 1
Rio Tinto (A) 624 19
Santos (A) 1,300 13
Stockland+++ (A) 2,744 8
Suncorp-Metway (A) 2,300 12
TABCORP Holdings (A) 1,896 9
Telstra (A) 29,486 78
Wesfarmers (A) 4,024 49
Westfield Group+++ (A) 2,600 26
Westpac Banking (A) 5,450 64
Woodside Petroleum (A) 1,234 29
Woolworths (A) 8,982 158
-------------
1,777
-------------
AUSTRIA -- 0.3%
Erste Group Bank (A) 1,259 29
IMMOFINANZ (A) 500 --
OMV (A) 2,430 61
Raiffeisen International Bank
Holding (A) 388 11
RHI* (A) 172 3
Verbund - Oesterreichische
Elektrizitaetswirtschafts, Cl A (A) 1,260 56
Voestalpine (A) 225 5
-------------
165
-------------
BELGIUM -- 0.6%
Colruyt (A) 183 40
Delhaize Group (A) 500 30
Dexia (A) 3,018 13
Euronav (A) 754 9
Fortis (A) 6,768 6
Groupe Bruxelles Lambert (A) 846 63
KBC Groep (A) 864 26
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
102
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Solvay (A) 1,400 $ 100
-------------
287
-------------
BERMUDA -- 0.3%
Catlin Group (GBP) (A) 9,800 65
Hiscox (GBP) (A) 14,300 68
Huabao International Holdings (HKD) (A) 5,000 3
Road King Infrastructure (HKD) (A) 4,000 1
Seadrill (NOK) (A) 4,004 33
-------------
170
-------------
BRAZIL -- 0.7%
Abyara Planejamento Imobiliario 1,100 1
Banco Bradesco ADR 7,100 76
Banco do Brasil 8,100 51
Brascan Residential Properties 200 --
Camargo Correa Desenvolvimento
Imobiliario 1,900 2
Cia de Saneamento Basico do
Estado de Sao Paulo 5,000 51
Cia de Saneamento de Minas
Gerais-COPASA (Brazil) 2,000 14
EDP - Energias do Brasil 3,500 39
Even Construtora e Incorporadora 100 --
Fertilizantes Heringer 900 2
Globex Utilidades 1,000 2
Industrias Romi 1,500 4
Klabin Segall 1,200 1
Log-in Logistica Intermodal 800 2
Minerva 1,300 1
Natura Cosmeticos 5,800 52
Profarma Distribuidora de Produtos
Farmaceuticos (Brazil) 600 2
Rossi Residencial 3,109 5
Souza Cruz 2,100 42
Tecnisa (Brazil) 2,294 3
Tegma Gestao Logistica 1,400 3
Uniao de Bancos Brasileiros 1,100 7
-------------
360
-------------
CANADA -- 6.6%
Agrium 2,160 68
Alimentation Couche Tard, Cl B 1,600 17
AltaGas Income Trust 90 1
Atco 400 12
Bank of Montreal 1,370 42
Bank of Nova Scotia 3,200 95
Barrick Gold 4,700 143
BCE 1,500 30
Biovail 2,300 20
Bombardier, Cl B 9,600 34
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Brookfield Asset Management, Cl A 3,800 $ 58
Canadian Imperial Bank of Commerce 1,500 60
Canadian National Railway 4,000 145
Canadian Natural Resources 1,300 54
Canadian Oil Sands Trust 3,000 62
Canadian Pacific Railway 800 26
Canadian Utilities 900 30
Canfor* 1,300 8
Celestica* 100 1
CGI Group, Cl A* 1,600 13
Enbridge 1,260 39
EnCana 7,940 379
Fairfax Financial Holdings 450 131
Finning International 2,200 23
First Quantum Minerals 900 13
Fortis 230 5
Freehold Royalty Trust 500 6
George Weston 1,150 51
Gerdau Ameristeel 450 2
Goldcorp 5,140 139
Husky Energy 900 23
Imperial Oil 1,700 61
Industrial Alliance Insurance and
Financial Services 1,300 30
Inmet Mining 800 12
Keyera Facilities Income Fund 30 --
Laurentian Bank of Canada 300 9
Manulife Financial 1,900 37
Methanex 800 9
Metro, Cl A 800 22
Mullen Group Income Fund 600 5
National Bank of Canada 500 17
Nexen 3,935 81
Nova Chemicals 200 2
Penn West Energy Trust 3,700 58
Petro-Canada 7,800 212
Potash Saskatchewan 700 45
Power Corp of Canada 2,400 49
Power Financial 1,080 22
Precision Drilling Trust 4,300 35
Research In Motion* 200 9
Royal Bank of Canada 6,600 230
Saskatchewan Wheat Pool* 7,840 49
Savanna Energy Services 400 2
Sherritt International 1,500 4
Shoppers Drug Mart 1,800 64
Sino-Forest, Cl A* 2,700 16
Sun Life Financial 2,240 50
Suncor Energy 1,700 39
Talisman Energy 4,240 42
Teck Cominco, Cl B 2,800 14
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
103
SCHEDULE OF INVESTMENTS (Unaudited)
Screened World Equity Ex-US Fund (Continued)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Toronto-Dominion Bank 4,200 $ 156
TransCanada 2,700 71
West Fraser Timber 400 10
Yellow Pages Income Fund 7,200 44
-------------
3,236
-------------
CHILE -- 0.3%
Banco de Chile ADR 1,000 29
Cia de Telecomunicaciones de
Chile ADR* 4,800 29
Enersis ADR 4,500 59
Lan Airlines ADR 1,200 10
-------------
127
-------------
CHINA -- 2.2%
Bank of China (A) 359,000 114
Bank of Communications, Cl H (A) 212,000 140
Baoye Group, Cl H (A) 16,000 2
China BlueChemical (A) 52,000 19
China Construction Bank, Cl H (A) 307,000 163
China Life Insurance, Cl H (A) 33,000 85
China Oilfield Services, Cl H (A) 46,000 27
China Shenhua Energy (A) 53,000 101
China Telecom, Cl H (A) 236,000 90
Industrial & Commercial Bank of
China, Cl H (A) 596,000 294
Yanzhou Coal Mining, Cl H (A) 58,000 32
Zhejiang Expressway, Cl H (A) 58,000 28
-------------
1,095
-------------
COLOMBIA -- 0.1%
BanColombia ADR 1,700 35
-------------
CZECH REPUBLIC -- 0.2%
CEZ (A) 2,400 97
Unipetrol (A) 4,000 23
-------------
120
-------------
DENMARK -- 0.6%
A P Moeller - Maersk, Cl B (A) 15 77
D (A) 200 2
Danisco (A) 165 8
Danske Bank (A) 2,000 23
Novo-Nordisk, Cl B (A) 2,116 109
Vestas Wind Systems* (A) 1,375 62
-------------
281
-------------
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
EGYPT -- 0.2%
Egyptian International Pharmaceutical
Industrial (A) 4,000 $ 18
Orascom Telecom Holding SAE (A) 9,000 39
Telecom Egypt (A) 24,000 64
-------------
121
-------------
FINLAND -- 0.9%
Fortum (A) 3,327 67
Metso (A) 1,258 15
Nokia (A) 11,453 162
Pohjola Bank, Cl A (A) 2,000 26
Sampo, Cl A (A) 6,395 119
UPM-Kymmene (A) 3,469 50
-------------
439
-------------
FRANCE -- 7.0%
Affine+++ (A) 62 1
Air France-KLM (A) 1,094 14
Arkema (A) 1,000 19
AXA (A) 2,149 41
BNP Paribas (A) 5,080 281
Bouygues (A) 242 10
Carrefour (A) 1,400 53
Christian Dior (A) 600 28
Cie de Saint-Gobain (A) 1,424 57
CNP Assurances (A) 400 26
Compagnie Generale des Etablissements
Michelin, Cl B (A) 1,500 72
Credit Agricole (A) 8,730 97
Electricite de France (A) 79 5
Eutelsat Communications (A) 1,158 24
France Telecom (A) 21,515 553
Gaz de France (A) 7,643 306
Gemalto* (A) 2,349 55
Lafarge (A) 541 30
Lagardere S.C.A. (A) 1,800 66
L'Oreal (A) 300 24
Natixis (A) 9,051 18
Pernod-Ricard (A) 1,083 64
Peugeot (A) 1,200 22
PPR (A) 654 31
Rallye (A) 595 11
Renault (A) 2,960 65
Sanofi-Aventis (A) 8,237 455
Schneider Electric (A) 780 49
SCOR (A) 1,413 28
SES Global (A) 300 5
Societe Generale (A) 4,046 173
Suez (A) 14 1
Suez Environnement* 3,800 65
Thales (A) 900 34
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
104
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Total (A) 1,791 $ 94
UBISOFT Entertainment* (A) 1,504 35
Unibail-Rodamco+++ (A) 156 21
Vallourec (A) 943 101
Veolia Environnement (A) 925 23
Vilmorin & Cie (A) 15 1
Vivendi (A) 12,111 344
Wendel (A) 647 30
-------------
3,432
-------------
GERMANY -- 5.9%
Allianz 2,222 184
Arcandor* 3,114 7
BASF 4,403 140
Bayer 3,563 184
Bayerische Motoren Werke 852 21
Bilfinger Berger 351 14
Celesio 900 23
Commerzbank 4,548 42
DaimlerChrysler 1,305 41
Deutsche Bank 4,041 143
Deutsche Lufthansa 7,600 100
Deutsche Post 7,280 104
Deutsche Postbank 238 5
Deutsche Telekom 23,979 331
E.ON 13,432 469
Fresenius Medical Care 2,640 115
GEA Group 1,877 29
Hannover Rueckversicherung 335 8
Hypo Real Estate Holding 800 3
K+S 267 12
Lanxess 1,304 22
Muenchener Rueckversicherungs 1,100 149
Q-Cells* 800 27
RWE 2,333 196
Salzgitter 348 24
SAP 5,510 188
SGL Carbon* 916 24
Siemens 1,883 112
Suedzucker 1,900 24
ThyssenKrupp 1,728 35
Tognum 493 5
TUI 2,800 31
Volkswagen 22 8
VTG* 545 5
Wacker Chemie 700 71
-------------
2,896
-------------
GREECE -- 0.1%
Alpha Bank (A) 3,496 36
OPAP (A) 1,500 37
-------------
73
-------------
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
HONG KONG -- 3.0%
BOC Hong Kong Holdings (A) 39,500 $ 46
Chaoda Modern Agriculture (A) 68,000 40
Cheung Kong Holdings (A) 6,000 57
China Agri-Industries Holdings* (A) 2,000 1
China Mobile (A) 41,000 376
China Overseas Land & Investment (A) 54,000 71
China Resources Power Holdings (A) 32,000 65
Chinese Estates Holdings (A) 12,000 9
CLP Holdings (A) 1,000 7
CNOOC (A) 176,000 144
Dairy Farm International Holdings (A) 1,800 7
Esprit Holdings (A) 2,500 12
Guangdong Investment (A) 98,000 33
Guoco Group (A) 2,000 12
Hang Seng Bank (A) 4,200 54
Henderson Land Development (A) 11,000 38
Hong Kong & China Gas (A) 3,000 5
HongKong Electric Holdings (A) 3,500 20
Hongkong Land Holdings (A) 20,000 48
Hopewell Highway Infrastructure (A) 13,500 7
Hutchison Whampoa (A) 23,000 116
Industrial and Commercial Bank of
China Asia (A) 17,000 16
Jardine Matheson Holdings (A) 400 7
Kingboard Chemical Holdings (A) 4,000 6
Kowloon Development (A) 6,000 3
Li & Fung (A) 6,000 11
Minmetals Resources (A) 56,000 6
MTR (A) 19,000 42
Noble Group (A) 46,000 31
Orient Overseas International (A) 9,500 15
Shandong Chenming Paper Holdings,
Cl B (A) 68,600 25
Shanghai Industrial Holdings (A) 22,000 42
Shenzhou International Group Holdings (A) 36,000 6
Shui On Construction and Materials (A) 4,000 2
Sun Hung Kai Properties (A) 10,000 80
Tianjin Development Holdings (A) 32,000 9
TPV Technology (A) 34,000 6
Wing On International (A) 1,000 1
Yue Yuen Industrial Holdings (A) 3,000 5
-------------
1,481
-------------
INDIA -- 1.1%
HDFC Bank ADR 1,273 73
Infosys Technologies ADR 5,865 147
ITC* 15,822 55
Larsen & Toubro GDR 2,818 38
Reliance Industries GDR (B) 4,648 214
Satyam Computer Services ADR 2,731 35
-------------
562
-------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
105
SCHEDULE OF INVESTMENTS (Unaudited)
Screened World Equity Ex-US Fund (Continued)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
INDONESIA -- 0.3%
Astra International (A) 40,000 $ 34
Bank Negara Indonesia Persero (A) 8,000 --
Bank Rakyat Indonesia (A) 38,000 11
Bumi Resources 185,000 16
Perusahaan Gas Negara (A) 131,000 20
Unilever Indonesia (A) 67,000 43
-------------
124
-------------
IRELAND -- 0.1%
Experian (A) 4,661 28
Kerry Group, Cl A (A) 900 19
-------------
47
-------------
ISRAEL -- 0.8%
First International Bank of Israel* (A) 6,000 31
Israel Chemicals (A) 7,150 42
Migdal Insurance & Financial Holding (A) 21,404 19
Teva Pharmaceutical Industries ADR 4,080 176
Teva Pharmaceutical Industries (A) 2,778 119
Union Bank of Israel* (A) 5,713 13
-------------
400
-------------
ITALY -- 2.2%
A2A (A) 20,500 36
ACEA (A) 4,504 58
Assicurazioni Generali (A) 1,100 26
Banca Intesa (A) 29,222 88
Banco Popolare Scarl (A) 5,911 54
Enel (A) 37,369 233
Fiat (A) 4,173 31
Fondiaria-Sai (A) 1,524 28
IFIL - Investments (A) 4,490 13
Mediobanca (A) 2,968 31
Pirelli (A) 58,000 20
Prysmian (A) 5,500 61
Telecom Italia (A) 184,535 230
Terna Rete Elettrica Nazionale (A) 11,046 33
UniCredito Italiano (A) 54,293 124
Unipol Gruppo Finanziario (A) 16,000 23
-------------
1,089
-------------
JAPAN -- 17.8%
ADEKA (A) 400 3
Aderans Holdings (A) 100 1
Aeon (A) 2,300 21
Aeon Credit Service (A) 2,300 29
Aiful (A) 5,600 14
Aisan Industry (A) 300 2
AOC Holdings (A) 1,400 8
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
AOKI Holdings (A) 300 $ 4
Aoyama Trading (A) 300 4
Asahi Breweries (A) 1,400 25
Asahi Glass (A) 5,000 28
Asahi Kasei (A) 5,000 21
Astellas Pharma (A) 3,900 160
Bank of Kyoto (A) 5,000 51
Belluna (A) 2,500 6
Benesse (A) 800 34
Bridgestone (A) 2,200 37
Canon (A) 2,700 82
Cawachi (A) 700 11
Central Japan Railway (A) 6 51
Chubu Electric Power (A) 500 14
Chudenko (A) 300 5
Circle K Sunkus (A) 200 4
Credit Saison (A) 1,400 19
Daihatsu Motor (A) 4,000 29
Daihen (A) 2,000 6
Daiichi Sankyo (A) 3,000 62
Daiichikosho (A) 300 3
Dainippon Ink and Chemicals (A) 12,000 21
Dainippon Screen Manufacturing (A) 1,000 2
Dainippon Sumitomo Pharma (A) 2,000 17
Denso (A) 2,000 33
DTS (A) 900 9
East Japan Railway (A) 35 272
Eisai (A) 300 10
Electric Power Development (A) 1,100 39
Elpida Memory* (A) 1,600 8
FamilyMart (A) 3,000 123
Fast Retailing (A) 1,000 115
Fuji Electric Holdings (A) 4,000 5
Fuji Heavy Industries (A) 4,000 12
Fuji Television Network (A) 4 6
FUJIFILM Holdings (A) 1,900 47
Fujitsu (A) 29,000 126
Fukuoka Financial Group (A) 3,000 10
Furukawa Electric (A) 8,000 31
Goldcrest (A) 1,200 23
Heiwado (A) 300 4
Higashi-Nippon Bank (A) 2,000 6
HI-LEX (A) 200 2
Hino Motors (A) 1,000 2
Hisamitsu Pharmaceutical (A) 1,000 40
Hitachi (A) 23,000 107
Hitachi Capital (A) 100 1
Hitachi Chemical (A) 900 9
Hitachi High-Technologies (A) 1,400 26
Hitachi Maxell (A) 400 3
Hitachi Metals (A) 5,000 30
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
106
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Hitachi Systems & Services (A) 200 $ 3
Honda Motor (A) 8,900 200
Hyakugo Bank (A) 2,000 12
Hyakujushi Bank (A) 2,000 10
Inpex Holdings (A) 10 64
Isuzu Motors (A) 24,000 30
Itochu Enex (A) 200 1
Japan Airlines (A) 4,000 9
Japan Aviation Electronics Industry (A) 2,000 8
Japan Petroleum Exploration (A) 500 20
Japan Radio (A) 8,000 11
Japan Steel Works (A) 11,000 114
Japan Tobacco (A) 36 133
JFE Holdings (A) 4,300 105
JFE Shoji Holdings (A) 2,000 5
J-Oil Mills (A) 2,000 7
Kaneka (A) 3,000 14
Kansai Electric Power (A) 200 5
Kao (A) 4,000 115
Kawasaki Kisen Kaisha (A) 9,000 36
KDDI (A) 27 177
Keisei Electric Railway (A) 2,000 10
Kirin Holdings (A) 6,000 73
Komatsu (A) 4,000 48
Konami (A) 900 20
Kose (A) 300 7
Kuraray (A) 1,500 12
Kurita Water Industries (A) 1,700 40
Kuroda Electric (A) 200 2
Kyushu Electric Power (A) 1,400 33
Lawson (A) 1,500 75
Leopalace21 (A) 1,200 11
Maeda (A) 2,000 6
Makita (A) 1,200 23
Marubeni (A) 15,000 53
Marui Group (A) 100 1
Matsuda Sangyo (A) 330 3
Matsushita Electric Industrial (A) 5,000 61
Mazda Motor (A) 8,000 14
Micronics Japan (A) 200 2
Millea Holdings (A) 3,200 78
Mitsubishi (A) 12,900 161
Mitsubishi Chemical Holdings (A) 22,500 95
Mitsubishi Electric (A) 13,000 70
Mitsubishi Estate (A) 3,000 45
Mitsubishi Gas Chemical (A) 8,000 31
Mitsubishi Heavy Industries (A) 8,000 33
Mitsubishi UFJ Financial Group (A) 45,100 251
Mitsui (A) 13,000 116
Mitsui Chemicals (A) 4,000 16
Mitsui Fudosan (A) 3,000 46
Mitsui OSK Lines (A) 12,000 64
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Mitsui Sumitomo Insurance Group
Holdings (A) 3,400 $ 81
Mitsui Trust Holdings (A) 8,000 30
Mitsumi Electric (A) 1,400 18
Mizuho Financial Group (A) 23 61
Morinaga Milk Industry (A) 2,000 7
Murata Manufacturing (A) 800 28
Nafco (A) 200 2
Nagase (A) 2,000 18
Namco Bandai Holdings (A) 3,000 30
NEC (A) 8,000 23
NEC Fielding (A) 300 3
NHK Spring (A) 1,000 4
Nikon (A) 5,000 57
Nintendo (A) 1,100 343
Nippo (A) 2,000 14
Nippon Electric Glass (A) 2,000 12
Nippon Mining Holdings (A) 19,000 56
Nippon Oil (A) 12,000 45
Nippon Seiki (A) 1,000 7
Nippon Sheet Glass (A) 9,000 26
Nippon Steel (A) 9,000 28
Nippon Telegraph & Telephone (A) 107 473
Nippon Yusen (A) 10,000 55
Nishi-Nippon City Bank (A) 4,000 8
Nissan Motor (A) 26,300 89
Nitori (A) 200 14
Nitto Denko (A) 800 13
Nomura Real Estate Holdings (A) 400 6
NTT DoCoMo (A) 73 123
OJI Paper (A) 1,000 5
OKUMA (A) 4,000 15
Omron (A) 1,000 13
ORIX (A) 990 62
Osaka Gas (A) 3,000 11
Osaki Electric (A) 2,000 11
Promise (A) 1,600 33
QP (A) 400 4
Rakuten (A) 309 170
Resona Holdings (A) 37 52
Ricoh (A) 3,000 31
Round One (A) 3 1
Sanei-International (A) 900 9
San-In Godo Bank (A) 2,000 15
Sankyo (A) 200 11
Sankyu (A) 2,000 8
Sapporo Hokuyo Holdings (A) 3 11
SEC Carbon (A) 2,000 7
Seikagaku (A) 200 2
Seiko Epson (A) 900 13
Seino Holdings (A) 2,000 10
Senko (A) 2,000 8
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
107
SCHEDULE OF INVESTMENTS (Unaudited)
Screened World Equity Ex-US Fund (Continued)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Seven & I Holdings (A) 3,900 $ 111
Seven Bank 11 39
SFCG (A) 300 4
Sharp (A) 11,000 75
Shimano (A) 900 33
Shin-Etsu Chemical (A) 200 8
Shinsei Bank (A) 4,000 6
Shiseido (A) 2,000 37
Showa Shell Sekiyu (A) 4,600 38
Sky Perfect JSAT (A) 36 14
Softbank (A) 3,600 49
Sompo Japan Insurance (A) 4,000 23
Sony (A) 3,100 61
Sony Financial Holdings (A) 1 3
SQUARE ENIX HOLDINGS CO (A) 800 23
SRI Sports (A) 2 2
Sumitomo (A) 10,900 96
Sumitomo Chemical (A) 7,000 25
Sumitomo Electric Industries (A) 700 5
Sumitomo Heavy Industries (A) 7,000 26
Sumitomo Metal Industries (A) 6,000 16
Sumitomo Metal Mining (A) 5,000 48
Sumitomo Mitsui Financial Group (A) 34 124
Sumitomo Trust & Banking (A) 5,000 23
Suruga Bank (A) 2,996 30
Suzuken (A) 100 2
Suzuki Motor (A) 1,500 20
T&D Holdings (A) 1,950 73
Tachi-S, Cl S (A) 1,200 6
Taisho Pharmaceutical (A) 1,000 18
Takata (A) 300 2
Takeda Pharmaceutical (A) 2,200 107
Takefuji (A) 510 4
Tanabe Seiyaku (A) 8,000 100
TDK (A) 600 20
Teijin (A) 5,000 14
Teikoku Piston Ring (A) 1,800 7
Tochigi Bank (A) 2,000 12
Tohoku Electric Power (A) 3,300 80
Tokyo Electric Power (A) 8,400 251
Tokyu (A) 2,000 8
Toshiba (A) 21,000 77
Toshiba TEC (A) 2,000 5
Tosoh (A) 7,000 15
Toyo Suisan Kaisha (A) 1,000 23
Toyota Industries (A) 800 16
Toyota Motor (A) 9,100 293
TS Tech (A) 100 1
TV Asahi (A) 4 5
West Japan Railway (A) 7 31
Yamaha (A) 900 8
Yamaha Motor (A) 1,000 10
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Yamato Kogyo (A) 200 $ 5
Yaskawa Electric (A) 3,000 13
-------------
8,773
-------------
JERSEY -- 0.0%
Meinl European Land* (A) 5,767 14
-------------
MALAYSIA -- 0.6%
AMMB Holdings (A) 58,000 33
BIMB Holdings (A) 18,800 4
Boustead Holdings (A) 10,000 9
British American Tobacco Malaysia (A) 5,000 62
HAP Seng Consolidated (A) 19,000 10
Hong Leong Bank (A) 5,000 7
Hong Leong Financial Group (A) 1,000 1
JT International (A) 7,200 9
Lion Industries (A) 22,000 4
Nestle Malaysia 2,000 15
PLUS Expressways (A) 11,000 8
PPB Group (A) 9,000 21
Sarawak Energy (A) 40,000 24
Sarawak Oil Palms (A) 12,000 7
Tanjong (A) 7,000 24
Tenaga Nasional (A) 34,000 56
Titan Chemicals (A) 53,000 12
UMW Holdings (A) 2,000 3
-------------
309
-------------
MAURITIUS -- 0.0%
Golden Agri-Resources (SGD) (A) 5,000 1
-------------
MEXICO -- 1.2%
Alfa, Cl A 8,023 15
America Movil, Ser L 126,600 196
Cemex 78,900 57
Coca-Cola Femsa, Ser L 14,500 51
Consorcio ARA 17,790 6
Cydsa 3,000 1
Fomento Economico Mexicano ADR 2,700 74
GEO* 4,000 4
Grupo Continental 14,000 19
Grupo Famsa, Cl A* 6,300 4
Grupo Financiero Banorte, Ser O 11,300 18
Grupo Mexico, Ser B 78,191 50
Grupo Modelo 16,700 44
Grupo Televisa 4,600 14
Industrias Bachoco 5,000 6
Promotora Ambiental* 1,600 2
Telefonos de Mexico 4,900 5
Wal-Mart de Mexico 6,300 18
-------------
584
-------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
108
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
NETHERLANDS -- 2.1%
Aegon (A) 11,920 $ 57
Boskalis Westminster (A) 1,214 35
European Aeronautic Defense and
Space (A) 7,061 112
Fugro (A) 1,034 33
ING Groep (A) 17,362 146
Koninklijke Ahold (A) 25,282 281
Koninklijke BAM Groep (A) 2,000 14
Koninklijke DSM (A) 2,227 52
Koninklijke Philips Electronics (A) 1,120 18
Reed Elsevier (A) 4,355 51
Royal KPN (A) 7,723 106
TNT (A) 220 5
TomTom* (A) 1,150 7
Unilever (A) 4,913 115
-------------
1,032
-------------
NEW ZEALAND -- 0.0%
Vector (A) 3,000 3
-------------
NORWAY -- 0.2%
DnB (A) 14,400 54
Telenor (A) 2,900 16
Yara International (A) 1,500 25
-------------
95
-------------
PHILIPPINES -- 0.1%
San Miguel, Cl B (A) 32,000 28
-------------
POLAND -- 0.6%
Bank Handlowy w Warszawie (A) 1,400 21
Bank Pekao (A) 1,012 38
Grupa Lotos* (A) 4,000 17
Kredyt Bank (A) 4,000 14
Polish Oil & Gas (A) 48,000 57
Polski Koncern Naftowy Orlen (A) 6,000 53
Powszechna Kasa Oszczednosci Bank
Polski (A) 1,000 11
Telekomunikacja Polska (A) 10,000 66
Zaklady Chemiczne Police* (A) 6,000 12
-------------
289
-------------
PORTUGAL -- 0.3%
Energias de Portugal (A) 16,700 57
Galp Energia SGPS, Cl B (A) 7,400 81
Jeronimo Martins (A) 6,435 34
-------------
172
-------------
RUSSIA -- 0.7%
MMC Norilsk Nickel ADR (A) 14,450 108
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Mobile Telesystems ADR 600 $ 18
NovaTek OAO GDR (A) 1,700 37
Novolipetsk Steel GDR (A) 2,400 24
Polyus Gold ADR 816 7
Rosneft Oil GDR (A) 3,900 16
Sberbank GDR 200 32
Severstal GDR 4,900 15
Surgutneftegaz ADR (A) 4,600 30
Tatneft GDR 900 30
Uralkali GDR 2,300 17
Vimpel-Communications ADR 800 7
-------------
341
-------------
SINGAPORE -- 0.6%
Boustead Singapore (A) 4,000 2
ComfortDelgro (A) 8,000 7
DBS Group Holdings (A) 3,000 19
Fraser and Neave (A) 5,000 10
Haw Par (A) 2,000 4
Hong Leong Asia (A) 3,000 1
Jardine Cycle & Carriage (A) 1,000 7
Metro Holdings (A) 3,000 1
Neptune Orient Lines (A) 23,000 16
Oversea-Chinese Banking (A) 17,000 58
SembCorp Industries (A) 5,000 7
Singapore Airlines (A) 2,000 14
Singapore Telecommunications (A) 4,000 7
United Overseas Bank (A) 10,000 88
Wilmar International (A) 28,000 52
-------------
293
-------------
SOUTH AFRICA -- 1.6%
Anglo Platinum (A) 200 9
AngloGold Ashanti (A) 1,600 35
ArcelorMittal (A) 6,460 155
ArcelorMittal South Africa (A) 1,800 16
Assore (A) 405 15
Aveng (A) 8,000 23
DataTec (A) 16,000 22
Distell Group (A) 4,000 18
Exxaro Resources (A) 3,000 22
FirstRand (A) 12,407 21
Foschini (A) 8,000 34
Gold Fields (A) 6,000 50
Grindrod (A) 18,000 23
Group (A) 5,317 56
Hosken Consolidated Investments (A) 6,000 24
Iliad Africa (A) 9,808 6
Impala Platinum Holdings (A) 1,200 15
Imperial Holdings (A) 2,331 12
Medi-Clinic (A) 22,000 40
Metropolitan Holdings (A) 36,000 38
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
109
SCHEDULE OF INVESTMENTS (Unaudited)
Screened World Equity Ex-US Fund (Continued)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Naspers, Cl N (A) 1,000 $ 15
Nedbank Group (A) 6,000 56
Sanlam (A) 36,000 59
Standard Bank Group (A) 3,000 26
Wilson Bayly Holmes-Ovcon (A) 1,000 10
-------------
800
-------------
SOUTH KOREA -- 2.2%
Amorepacific (A) 110 48
DC Chemical (A) 60 8
Dongwon Industries (A) 110 6
Doosan* (A) 150 7
Doosan Infracore (A) 840 8
Hana Financial Group (A) 1,600 19
Hyundai Department Store (A) 590 22
Hyundai Heavy Industries (A) 700 74
Korea Gas (A) 740 28
KT (A) 2,430 55
KT Freetel (A) 2,310 45
KT&G (A) 1,780 99
LG (A) 1,680 48
LG Chemical (A) 1,340 64
LG Dacom (A) 1,420 19
LG Electronics (A) 190 10
LG Household & Health Care (A) 311 35
LG Telecom (A) 5,390 40
Lotte Confectionery (A) 30 25
Lotte Shopping (A) 330 40
Ottogi (A) 110 11
Pacific (A) 240 16
POSCO (A) 13 3
S1 (A) 390 14
Samsung Electronics (A) 480 159
Samsung Fire & Marine Insurance (A) 640 84
Shinhan Financial Group (A) 160 3
Shinsegae (A) 240 72
Young Poong (A) 60 20
-------------
1,082
-------------
SPAIN -- 3.3%
ACS Actividades Construcciones y
Servicios (A) 1,599 63
Banco Bilbao Vizcaya Argentaria (A) 10,782 112
Banco Espanol de Credito (A) 654 7
Banco Santander Central Hispano (A) 39,276 322
Criteria Caixacorp (A) 4,542 16
Financiera Alba (A) 124 4
Gas Natural (A) 4,028 112
Grifols (A) 1,888 33
Grupo Catalana Occidente (A) 1,268 21
Iberdrola (A) 20,642 153
Iberdrola Renovables* 1,291 4
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Mapfre (A) 7,748 $ 24
Promotora de Informaciones (A) 1,200 4
Repsol (A) 8,810 170
Sacyr Vallehermoso (A) 500 5
Telefonica (A) 27,482 556
-------------
1,606
-------------
SWEDEN -- 1.5%
D Carnegie 2,000 4
Getinge, Cl B (A) 1,246 15
Hennes & Mauritz, Cl B (A) 130 5
Investor, Cl B (A) 5,191 73
Nordea Bank (A) 17,661 128
Securitas, Cl B (A) 3,663 35
Skandinaviska Enskilda Banken, Cl A (A) 1,500 13
Svenska Cellulosa, Cl B (A) 7,500 61
Svenska Handelsbanken, Cl A (A) 2,523 42
Swedbank (A) 3,900 28
Swedish Match (A) 2,097 32
Telefonaktiebolaget LM Ericsson,
Cl B (A) 33,000 232
TeliaSonera (A) 2,800 13
Trelleborg, Cl B (A) 806 4
Volvo, Cl B (A) 12,500 56
-------------
741
-------------
SWITZERLAND -- 7.3%
ACE 616 32
Actelion* (A) 770 35
Addax Petroleum 1,900 33
Adecco (A) 1,200 36
Baloise Holding (A) 1,021 57
Banque Cantonale Vaudoise (A) 72 20
Credit Suisse Group (A) 4,585 134
Elektrizitaets-Gesellschaft Laufenburg (A) 12 9
Helvetia Holding (A) 100 17
Holcim (A) 157 7
Lindt & Spruengli (A) 6 12
Nestle (A) 26,259 951
Novartis (A) 15,332 715
Petroplus Holdings (A) 497 9
Roche Holding (A) 3,843 538
Swatch Group (A) 920 21
Swiss Life Holding (A) 320 20
Swiss Reinsurance (A) 3,960 162
Swisscom (A) 158 45
Syngenta (A) 394 71
Synthes (A) 504 58
UBS* (A) 6,442 80
Xstrata (A) 6,340 91
Zurich Financial Services (A) 2,197 428
-------------
3,581
-------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
110
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
TAIWAN -- 1.9%
Advanced Semiconductor
Engineering (A) 54,533 $ 19
Asia Optical (A) 6,060 6
Asustek Computer (A) 34,090 39
AU Optronics (A) 158,049 97
Chi Mei Optoelectronics (A) 103,000 30
China Manmade Fibers (A) 41,000 5
China Steel GDR (A) 181 2
China Synthetic Rubber (A) 12,000 12
Chunghwa Telecom (A) 132,720 210
Compal Electronics (A) 80,400 42
CTCI (A) 17,204 12
Far EasTone Telecommunications (A) 46,000 54
Fubon Financial Holding (A) 15,000 9
Gigabyte Technology (A) 19,000 6
HannStar Display (A) 131,149 15
Hua Nan Financial Holdings (A) 13,000 6
Inventec (A) 51,000 13
King Yuan Electronics (A) 32,000 7
Lite-On Technology (A) 54,000 38
Mega Financial Holding (A) 90,000 28
Oriental Union Chemical (A) 22,000 10
POU Chen (A) 61,000 28
Quanta Computer (A) 53,320 58
Shih Wei Navigation (A) 10,000 11
SinoPac Financial Holdings (A) 203,000 42
Taichung Commercial Bank (A) 37,872 6
Taiwan Semiconductor
Manufacturing (A) 59,000 74
Taiwan Semiconductor
Manufacturing ADR 281 2
Taiwan Sogo Shin Kong SEC (A) 10,180 4
Teco Electric and Machinery (A) 61,000 18
UPC Technology (A) 20,799 6
Wistron (A) 28,000 19
Yieh Phui Enterprise (A) 1,900 --
-------------
928
-------------
THAILAND -- 0.2%
Bangkok Bank NVDR (A) 27,000 50
Krung Thai Bank NVDR (A) 96,000 9
PTT Chemical (A) 5,800 5
Ratchaburi Electricity Generating
Holding (A) 16,000 14
-------------
78
-------------
TURKEY -- 0.6%
Akbank (A) 12,000 33
Anadolu Efes Biracilik Ve Malt
Sanayii (A) 6,000 47
Aselsan Elektronik Sanayi Ve
Ticaret (A) 12,000 20
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Eczacibasi Ilac Sanayi (A) 48,000 $ 27
Haci Omer Sabanci Holding (A) 14,000 28
KOC Holding* (A) 27,000 44
Petrol Ofisi* (A) 5,000 9
Turk Hava Yollari* (A) 6,332 22
Turkcell Iletisim Hizmet (A) 12,000 68
-------------
298
-------------
UNITED KINGDOM -- 16.3%
3i Group (A) 5,528 35
Aggreko (A) 2,969 21
Amec (A) 12,800 104
Amlin (A) 11,600 66
Anglo American (A) 5,598 133
Arriva (A) 5,400 53
Associated British Foods (A) 4,900 51
AstraZeneca (A) 9,910 373
Autonomy* (A) 8,928 128
Aviva (A) 6,602 41
Babcock International Group (A) 4,598 34
BAE Systems (A) 55,293 302
Barclays (A) 73,493 194
BG Group (A) 24,484 349
BHP Billiton (A) 15,066 272
BP (A) 125,822 1,017
British American Tobacco (A) 12,681 331
BT Group, Cl A (A) 70,400 145
Cable & Wireless (A) 33,580 77
Cape* (A) 2,000 1
Centrica (A) 45,384 165
Cobham (A) 14,357 39
Compass Group (A) 24,941 118
Delta (A) 2,500 3
Diageo (A) 3,901 54
Drax Group (A) 532 5
DS Smith (A) 30,500 27
E2V Technologies (A) 1,800 4
Eurasian Natural Resources (A) 2,952 13
Euromoney Institutional Investor (A) 1,500 6
Firstgroup (A) 4,212 31
Friends Provident (A) 18,600 21
Game Group (A) 10,618 26
GlaxoSmithKline (A) 22,598 390
Greene King (A) 2,327 14
Group 4 Securicor (A) 33,135 104
HBOS (A) 7,578 11
Home Retail Group (A) 11,993 38
HSBC Holdings (A) 51,188 557
IG Group Holdings (A) 6,799 23
Imperial Tobacco Group (A) 5,307 132
Inmarsat (A) 4,081 27
International Power (A) 5,800 23
Invensys (A) 5,800 15
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
111
SCHEDULE OF INVESTMENTS (Unaudited)
Screened World Equity Ex-US Fund (Concluded)
November 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Investec (A) 4,398 $ 18
Jardine Lloyd Thompson Group (A) 1,148 9
John Wood Group (A) 6,841 23
Kazakhmys (A) 3,935 16
Kingfisher (A) 20,000 37
Land Securities Group+++ (A) 1,200 17
Legal & General Group (A) 88,831 93
Liberty International+++ (A) 660 6
Lloyds TSB Group (A) 38,118 98
LogicaCMG (A) 9,970 10
Man Group (A) 5,371 21
Marston's (A) 12,194 20
Meggitt (A) 2,300 5
Mondi (A) 16,401 42
National Express Group (A) 380 3
National Grid (A) 3,000 31
Northumbrian Water Group (A) 4,000 16
Old Mutual (A) 60,000 51
Persimmon (A) 12,000 40
Premier Farnell (A) 19,600 42
Prudential (A) 13,467 70
Reckitt Benckiser Group (A) 2,904 123
Rio Tinto (A) 3,500 87
Rolls-Royce Group (A) 4,501 22
Royal & Sun Alliance Insurance
Group (A) 55,178 130
Royal Bank of Scotland Group (A) 96,994 83
SABMiller (A) 1,168 19
Scottish & Southern Energy (A) 1,657 28
Shire (A) 6,177 85
Smith & Nephew (A) 467 3
Smiths Group (A) 2,829 36
Spectris (A) 645 4
Stagecoach Group (A) 40,300 108
Standard Chartered (A) 1,174 15
Standard Life (A) 16,000 65
Tate & Lyle (A) 4,000 24
Tesco (A) 16,800 76
Thomas Cook Group (A) 15,400 39
TUI Travel (A) 13,400 44
UK Coal* (A) 2,405 3
Unilever (A) 5,461 125
United Business Media (A) 400 3
United Utilities Group (A) 5,400 50
Vodafone Group (A) 296,946 581
WPP (A) 11,252 63
-------------
8,057
-------------
UNITED STATES -- 0.0%
Thomson Reuters (CAD)* 300 8
-------------
Total Common Stock
(Cost $73,058) ($ Thousands) 47,463
-------------
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
PREFERRED STOCK -- 2.0%
BRAZIL -- 1.9%
All America Latina Logistica 1,462 $ 1
Banco Bradesco 12,450 134
Banco Daycoval 1,400 3
Banco Itau Holding Financeira 5,000 59
Bombril* 1,100 3
Brasil Telecom 6,600 43
Braskem 2,171 6
Centrais Eletricas Brasileiras, Cl B 7,000 74
Centrais Eletricas de Santa Catarina 100 1
Cia Energetica do Ceara 1,500 12
Cia de Bebidas das Americas 2,000 86
Cia Energetica de Minas Gerais 3,330 53
Cia Paranaense de Energia 4,000 48
Cia Vale do Rio Doce, Cl A 17,600 189
Duratex 2,900 18
Ferbasa-Ferro Ligas DA Bahia 2,000 6
Fertilizantes Fosfatados 7,675 37
Gerdau 3,525 22
Mangels Industrial 300 1
Parana Banco 1,100 1
Sadia 3,000 4
Telecomunicacoes de Sao Paulo 700 14
Telegraph Norte Leste Participacoes 4,400 65
Telemar Norte Leste 1,900 48
Universo Online 1,200 4
Usinas Siderurgicas de Minas Gerais,
Cl A 1,900 19
-------------
951
-------------
GERMANY -- 0.1%
Porsche Automobil Holding 40 3
RWE 70 4
Volkswagen 249 10
-------------
17
-------------
ITALY -- 0.0%
Istituto Finanziario Industriale* (A) 1,700 10
-------------
Total Preferred Stock
(Cost $1,843) ($ Thousands) 978
-------------
Number of
Rights
-------------
RIGHTS -- 0.1%
AUSTRALIA -- 0.0%
General Property Trust, Expires 12/02/08* 5 1
Incitec Pivot, Expires 12/23/08* 6 1
-------------
2
-------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
112
Shares
Number of Market Value
Description Rights ($ Thousands)
- ----------- ------------- -------------
SPAIN -- 0.1%
Banco Santander Central Hispano,
Expires 12/02/08* 29 $ 18
-------------
SWEDEN -- 0.0%
Getinge, Expires 12/23/08* 1 --
-------------
UNITED KINGDOM -- 0.0%
Centrica, Expires 12/16/08* 6 7
Standard Chartered, Expires 12/19/08* 0 2
-------------
9
-------------
Total Rights
(Cost $1) ($ Thousands) 29
-------------
CASH EQUIVALENT -- 0.0%
UNITED STATES -- 0.0%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 1.580**+ 27,895 28
-------------
Total Cash Equivalent
(Cost $28) ($ Thousands) 28
-------------
Total Investments -- 98.4%
(Cost $74,930) ($ Thousands) $ 48,498
=============
Percentages are based on a Net Assets of $49,284 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of November 30, 2008.
+ Investment in Affiliated Security (see Note 3).
+++ Real Estate Investment Trust
(A) Security fair valued using methods determined in good faith by the
Valuation Committee of the Board of Trustees. The total market value of
such securities as of November 30, 2008, was $39,119 and represented 79.4%
of Net Assets.
(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.
ADR -- American Depositary Receipt
Cl -- Class
GBP -- British Pound Sterling
GDR -- Global Depositary Receipt
HKD -- Hong Kong Dollar
LIBOR -- London Interbank Offered Rate
NOK -- Norwegian Krone
NVDR -- Non-Voting Depositary Receipt
Ser -- Series
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
113
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced LIBOR Opportunities Fund
November 30, 2008
SECTOR WEIGHTINGS++:
(BAR CHART)
Affiliated Partnership 35.3%
Loan Participations 22.5%
Cash Equivalent 12.1%
Time Deposit 9.7%
Mortgage-Backed Securities 9.4%
Asset-Backed Securities 6.0%
Financials 3.6%
Telecommunication Services 0.4%
Utilities 0.4%
Consumer Discretionary 0.3%
Energy 0.1%
Health Care 0.1%
Industrials 0.1%
++ Percentages based on total investments.
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
LOAN PARTICIPATIONS -- 23.3%
Alltel Communications, Inc, Ser B-2
5.316%, 05/15/15 $ 1,995 $ 1,896
Applied Systems, Inc
7.854%, 09/26/13 2,000 1,600
Bosie Paper Holdings, 2nd Lien
10.500%, 02/23/15 1,000 556
Burlington Coat Factory Warehouse,
Ser C
5.060%, 05/28/13 1,000 418
Calpine, 1st Lien
6.645%, 03/31/14 1,990 1,395
Caritor
6.020%, 06/04/13 919 423
Caritor (Synthetic)
6.020%, 06/04/13 70 32
CCS Medical
7.020%, 09/30/12 967 491
Cequel Communications, 1st Lien
4.760%, 11/05/13 496 327
Cequel Communications, Ser B,
1st Lien
4.724%, 11/05/13 492 325
Clarke American, Ser B
6.290%, 06/30/14 1,975 1,096
Colleyville Resources
3.782%, 12/28/10 163 119
Colleyville Resources, Ser D
6.633%, 12/30/13 526 386
Delta Air Lines
5.258%, 04/30/12 990 628
Delta Air Lines, 2nd Lien
6.250%, 04/30/14 988 500
Dole Food, Ser B
5.500%, 04/12/13 84 59
4.689%, 04/12/13 47 33
Dollar General, Ser B-1
5.600%, 07/07/14 1,000 769
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Dollar General, Ser B-2
6.140%, 07/07/14 $ 1,000 $ 769
Dynea North, 1st Lien
5.040%, 07/10/14 920 570
Eddie Bauer, Ser B
6.366%, 04/01/14 1,474 678
First Data , Ser B-1
5.249%, 09/24/14 992 673
First Data, Ser B-1
0.000%, 09/24/14 995 675
Foamex LP, 1st Lien
7.718%, 02/12/13 812 284
Fresenius SE, Ser B1
6.750%, 08/20/14 650 586
Fresenius SE, Ser B2
6.750%, 08/20/14 350 320
Ginn La Conduit Lender, Ser A, 1st Lien
8.545%, 06/08/11 (A) 315 32
Ginn La Conduit Lender, Ser B, 1st Lien
9.500%, 06/08/11 (A) 676 68
Green Valley Ranch Gaming, 2nd Lien
6.500%, 08/16/14 1,000 390
HCA, Ser B
6.012%, 11/18/13 1,987 1,486
Hub International
6.262%, 06/13/14 1,009 613
Hub International (Delayed Draw)
6.262%, 06/13/14 226 138
IAP Worldwide Services, 1st Lien
9.062%, 12/30/12 914 562
Kepler Holdings
9.313%, 06/30/09 1,000 840
Knology
6.400%, 06/30/12 988 563
Lake at Las Vegas Joint Venture
16.100%, 06/20/12 (A) 1,085 71
15.460%, 06/20/12 (A) 988 65
12.000%, 06/20/12 250 249
Lake at Las Vegas Joint Venture (Synthetic)
16.100%, 06/20/12 (A) 120 8
Level 3 Financing
6.885%, 03/01/14 1,500 985
Life Tech
6.000%, 11/21/15 2,000 1,822
Lifecare Holding (Rainier Acquisition)
7.670%, 08/11/12 987 494
Manitowoc, Ser B
5.687%, 04/14/14 2,000 1,428
Metroflag, 2nd Lien
14.000%, 01/06/09 1,500 75
Movie Gallery (Synthetic), 1st Lien
9.512%, 03/08/12 19 8
Movie Gallery, 1st Lien
9.750%, 03/08/12 479 204
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
114
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Mylan Laboratories, Ser B
6.947%, 10/02/14 $ 1,985 $ 1,611
Nielsen Finance LLC, Ser B
4.230%, 08/09/13 488 325
Pinnacle Foods Group
6.423%, 04/02/14 988 676
Sabre
5.218%, 09/30/14 1,458 574
Serena Software
5.500%, 03/10/13 928 668
Sirva Worldwide
12.000%, 05/15/15 371 74
9.720%, 05/12/12 183 99
0.000%, 05/12/12 119 58
Sirva Worldwide (Unfunded)
0.000%, 05/12/12 163 83
Solo Cup, Ser B1
5.925%, 02/27/11 618 505
Solvest (Dole), Ser C
4.795%, 04/12/13 312 218
Spectrum Brands
2.700%, 03/30/13 63 38
Spectrum Brands, Ser B II
6.387%, 03/30/13 1,248 752
Spirit Finance
6.193%, 07/15/13 1,000 350
Texas Competitive Electric, Ser B-2
6.290%, 10/10/14 1,990 1,356
TPF Generation Holdings, LLC
(Synthetic Revolver)
3.662%, 12/15/11 49 41
TPF Generation Holdings, LLC
(Synthetic), 1st Lien
3.662%, 12/15/13 156 130
TPF Generation Holdings, LLC,
1st Lien
5.762%, 12/15/13 741 620
Tribune, Ser B
6.500%, 06/04/14 593 166
Tribune, Ser X
7.084%, 06/04/09 137 57
US Airways Group
5.719%, 03/19/14 733 362
Verint Systems
6.250%, 05/27/14 1,877 1,032
Weather Channel, Ser B-1
7.250%, 07/15/15 1,600 1,372
WM Bolthouse Farms, 1st Lien
6.188%, 12/17/12 1,470 1,139
Wm. Wrigley Jr., Ser B
7.750%, 09/30/14 2,000 1,855
-------------
Total Loan Participations
(Cost $61,720) ($ Thousands) 39,870
-------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
MORTGAGE-BACKED SECURITIES -- 9.8%
AGENCY MORTGAGE-BACKED OBLIGATIONS -- 2.9%
FHLMC CMO STRIPS, Ser 245, Cl IO, IO
5.000%, 05/15/37 (B) $ 366 $ 61
FNMA
6.000%, 06/01/21 to 12/01/21 1,300 1,331
FNMA TBA
6.000%, 10/01/26 to 04/01/27 2,337 2,391
5.500%, 10/01/20 to 03/01/22 1,121 1,141
-------------
4,924
-------------
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 6.9%
American Tower Trust, Ser 2007-1A,
Cl D
5.957%, 04/15/37 (C) 250 218
Banc of America Funding, Ser 2005-F,
Cl 4A1
5.333%, 01/20/09 (D) 495 276
Banc of America Funding, Ser 2006-D,
Cl 3A1
5.587%, 01/20/09 (D) 415 284
Banc of America Large Loan,
Ser 2007-BMB1, Cl A1
1.933%, 12/15/08 (C) (D) 195 135
Banc of America Mortgage Securities,
Ser 2004-F, Cl 2A5
4.152%, 01/25/09 (D) 350 333
Banc of America Mortgage Securities,
Ser 2005-A, Cl 2A1
4.446%, 01/25/09 (D) 267 178
Bear Stearns Adjustable Rate Mortgage
Trust, Ser 2005-6, Cl 3A1
5.276%, 01/25/09 (D) 362 279
Bear Stearns Adjustable Rate Mortgage
Trust, Ser 2005-9, Cl A1
4.625%, 01/25/09 (D) 481 361
Bear Stearns Adjustable Rate Mortgage
Trust, Ser 2006-1, Cl A1
4.625%, 01/25/09 (D) 458 285
Bear Stearns Commercial Mortgage
Securities, Ser 2001-TOP2, Cl A2
6.480%, 02/15/35 500 467
Citigroup Commercial Mortgage Trust,
Ser 2007-FL3A, Cl J
2.373%, 12/15/08 (C) (D) 155 56
Citigroup Mortgage Loan Trust,
Ser 2006-AR1, Cl 1A1
4.900%, 01/25/09 (D) 472 361
Countrywide Alternative Loan Trust,
Ser 2007-HY5R, Cl 2A1A
5.544%, 01/25/09 (D) 664 507
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
115
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced LIBOR Opportunities Fund (Continued)
November 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Countrywide Home Loan Mortgage
Pass-Through Trust, Ser 2005-HY10,
Cl 3A1A
5.379%, 01/20/09 (D) $ 467 $ 219
Credit Suisse First Boston Mortgage
Securities, Ser 2000-C1, Cl A2
7.545%, 04/15/62 387 379
Crown Castle Towers LLC, Ser 2006-1A,
Cl E
6.065%, 11/15/36 (C) 380 263
Crusade Global Trust, Ser 2007-1,
Cl A1
4.563%, 01/20/09 (D) 239 196
Diversified REIT Trust, Ser 1999-1A,
Cl A2
6.780%, 03/18/11 (C) 29 29
First Horizon Alternative Mortgage
Trust, Ser 2005-AA3, Cl 3A1
5.348%, 01/25/09 (D) 262 136
First Horizon Mortgage Pass-Through
Certificate, Ser 2005-AR4, Cl 2A1
5.333%, 01/25/09 (D) 232 122
First Union-Chase Commercial
Mortgage,Ser 1999-C2, Cl A2
6.645%, 06/15/31 71 70
GMAC Mortgage Loan Trust,
Ser 2006-AR1, Cl 1A1
5.597%, 01/19/09 (D) 462 228
Granite Master Issuer, Ser 2006-1A,
Cl A5
1.523%, 12/22/08 (C) (D) 156 93
GS Mortgage Securities, Ser 2007-EOP,
Cl K
3.228%, 01/06/09 (C) (D) 75 40
Harborview Mortgage Loan Trust,
Ser 2005-14, Cl 3A1A
5.302%, 01/19/09 (D) 313 258
JPMorgan Mortgage Trust,
Ser 2007-A4, Cl 1A1
5.443%, 01/25/09 (D) 418 272
Master Adjustable Rate Mortgages
Trust, Ser 2005-6, Cl 5A1
5.056%, 01/25/09 (D) 470 383
Merrill Lynch Mortgage Backed Securities
Trust, Ser 2007-2, Cl 1A1
5.800%, 01/25/09 (D) 480 312
Merrill Lynch Mortgage Investors,
Ser 2005-A1, Cl 2A1
4.538%, 01/25/09 (D) 445 261
Merrill Lynch Mortgage Investors,
Ser 2005-A9, Cl 2A1A
5.146%, 01/25/09 (D) 475 380
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Merrill Lynch Mortgage Investors,
Ser 2005-A9, Cl 2A1E
5.146%, 01/25/09 (D) $ 395 $ 281
MLCC Mortgage Investors,
Ser 2006-1, Cl 2A1
5.379%, 01/25/09 (D) 248 190
Morgan Stanley Capital I,
Ser 2007-XLFA, Cl C
1.583%, 12/15/08 (C) (D) 240 130
MortgageIT Trust, Ser 2005-1,
Cl 2A
4.250%, 01/25/09 (D) 455 312
MortgageIT Trust, Ser 2005-4,
Cl A1
1.675%, 12/25/08 (D) 450 188
Residential Funding Mortgage
Securities, Ser 2005-SA5, Cl 2A
5.330%, 01/25/09 (D) 173 124
Residential Funding Mortgage Securities,
Ser 2006-SA1, Cl 1A1
5.674%, 01/25/09 (D) 148 99
Residential Funding Mortgage Securities,
Ser 2007-SA2, Cl 2A2
5.666%, 01/25/09 (D) 324 212
Thornburg Mortgage Securities Trust,
Ser 2005-1, Cl A3
4.769%, 01/25/09 (D) 284 243
Washington Mutual Mortgage
Pass-Through Certificate,
Ser 2004-AR5, Cl A6
3.837%, 01/25/09 (D) 600 578
Washington Mutual Mortgage
Pass-Through Certificate,
Ser 2005-AR14, Cl 1A4
5.048%, 01/25/09 (D) 452 315
Washington Mutual Mortgage
Pass-Through Certificate,
Ser 2005-AR3, Cl A2
4.638%, 01/25/09 (D) 415 260
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2004-EE,
Cl 2A2
4.187%, 01/25/09 (D) 354 264
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2004-Z,
Cl 2A1
4.578%, 01/25/09 (D) 466 303
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2005-AR16,
Cl 6A3
5.001%, 01/25/09 (D) 166 97
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
116
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2005-AR16,
Cl 3A2
4.997%, 01/25/09 (D) $ 119 $ 76
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2006-AR10,
Cl 2A1
5.636%, 01/25/09 (D) 572 299
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2006-AR13,
Cl A2
5.748%, 01/25/09 (D) 450 298
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2006-AR2, Cl 2A3
5.106%, 01/25/09 (D) 169 82
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2006-AR8, Cl 2A1
5.240%, 01/25/09 (D) 292 148
-------------
11,880
-------------
Total Mortgage-Backed Securities
(Cost $21,976) ($ Thousands) 16,804
-------------
ASSET-BACKED SECURITIES -- 6.2%
AUTOMOTIVE -- 2.3%
AmeriCredit Automobile Receivables
Trust, Ser 2006-1, Cl B
5.200%, 03/06/11 195 190
AmeriCredit Automobile Receivables
Trust, Ser 2006-1, Cl A3
5.110%, 10/06/10 24 24
AmeriCredit Automobile Receivables
Trust, Ser 2007-CM, Cl A4A
5.550%, 04/07/14 500 372
Americredit Prime Automobile
Receivable, Ser 2007-2M, Cl A3
5.220%, 06/08/12 485 436
Capital Auto Receivables Asset
Trust, Ser 2007-1, Cl B
5.150%, 09/17/12 230 180
Capital Auto Receivables Asset
Trust, Ser 2007-3, Cl A3A
5.020%, 09/15/11 200 194
Capital One Auto Finance Trust,
Ser 2005-C, Cl A4A
4.710%, 06/15/12 99 87
Capital One Auto Finance Trust,
Ser 2007-C, Cl A3A
5.130%, 04/16/12 490 439
Carmax Auto Owner Trust,
Ser 2007-1, Cl C
5.530%, 07/15/13 50 31
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Carmax Auto Owner Trust, Ser 2008-1,
Cl A4B
2.723%, 12/15/08 (D) $ 485 $ 419
Ford Credit Auto Owner Trust,
Ser 2007-B, Cl A3A
5.150%, 11/15/11 230 219
GE Dealer Floorplan Master Note Trust,
Ser 2006-2, Cl C
1.883%, 12/22/08 (D) 120 80
Harley-Davidson Motorcycle Trust,
Ser 2007-1, Cl C
5.540%, 04/15/15 105 64
Hyundai Auto Receivables Trust,
Ser 2007-A, Cl A3B
1.823%, 12/15/08 (D) 140 133
Merrill Auto Trust Securitization,
Ser 2007-1, Cl C
5.960%, 12/15/13 297 273
Nissan Auto Receivables Owner Trust,
Ser 2007-B, Cl A3
5.030%, 05/16/11 135 132
Superior Wholesale Inventory Financing
Trust, Ser 2007-AE1, Cl C
2.023%, 12/15/08 (D) 45 38
Superior Wholesale Inventory Financing
Trust, Ser 2007-AE1, Cl B
1.723%, 12/15/08 (D) 25 22
Swift Master Auto Receivables Trust,
Ser 2007-2, Cl A
2.073%, 12/15/08 (D) 430 359
USAA Auto Owner Trust,
Ser 2007-2, Cl A3
4.900%, 02/15/12 245 240
Volkswagen Auto Lease Trust,
Ser 2006-A, Cl A3
5.500%, 09/21/09 25 25
-------------
3,957
-------------
CREDIT CARDS -- 1.9%
Advanta Business Card Master
Trust, Ser 2007-B1, Cl B
1.703%, 12/22/08 (D) 400 189
American Express Credit Account Master
Trust, Ser 2007-2, Cl B
1.603%, 12/15/08 (D) 145 77
Bank of America Credit Card Trust,
Ser 2007-B5, Cl B5
2.023%, 12/15/08 (D) 470 433
Capital One Multi-Asset Execution
Trust, Ser 2005-C1, Cl C1
1.823%, 12/15/08 (D) 350 284
Capital One Multi-Asset Execution
Trust, Ser 2007-C2, Cl C2
1.723%, 12/15/08 (D) 400 248
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
117
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced LIBOR Opportunities Fund (Continued)
November 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Chase Issuance Trust, Ser 2005-C2,
Cl C2
1.863%, 12/15/08 (D) $ 400 $ 245
Citibank Credit Card Issuance Trust,
Ser 2007-B5, Cl B5
2.576%, 01/07/09 (D) 500 321
First National Master Note
Trust, Ser 2007-1, Cl B
1.623%, 12/15/08 (D) 320 273
GE Capital Credit Card Master
Note Trust, Ser 2007-3, Cl C
1.723%, 12/15/08 (D) 500 395
MBNA Credit Card Master
Note Trust, Ser 2006-A1, Cl A1
4.900%, 07/15/11 400 398
Washington Mutual Master Note
Trust, Ser 2006-C3A, Cl C3A
1.803%, 12/15/08 (C) (D) 535 430
-------------
3,293
-------------
MORTGAGE RELATED SECURITIES -- 1.0%
First Franklin Mortgage Loan
Asset, Ser 2006-FF18, Cl A2B
1.505%, 12/26/08 (D) 275 209
First Franklin Mortgage Loan Asset,
Ser 2007-FF1, Cl M2
1.655%, 12/26/08 (D) 285 19
Morgan Stanley Capital I,
Ser 2007-HE2, Cl M2
1.655%, 12/26/08 (D) 150 7
Morgan Stanley Home Equity
Loan Trust, Ser 2005-3, Cl M1
1.845%, 12/26/08 (D) 350 258
Morgan Stanley Home Equity Loan
Trust, Ser 2005-4, Cl M1
1.805%, 12/26/08 (D) 370 172
Option One Mortgage Loan Trust,
Ser 2005-3, Cl M1
1.865%, 12/26/08 (D) 330 207
Option One Mortgage Loan Trust,
Ser 2005-5, Cl M1
1.785%, 12/26/08 (D) 470 220
Option One Mortgage Loan Trust,
Ser 2007-FXD2, Cl 2A1
5.900%, 03/25/37 214 189
Option One Mortgage Loan Trust,
Ser 2007-HL1, Cl 2A1
1.515%, 12/26/08 (D) 171 141
Residential Asset Securities,
Ser 2005-KS12, Cl M1
1.835%, 12/26/08 (D) 375 181
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Securitized Asset-Backed
Receivables LLC, Ser 2007-NC2,
Cl M2
1.655%, 12/26/08 (D) $ 145 $ 11
-------------
1,614
-------------
OTHER ASSET-BACKED SECURITIES -- 1.0%
ACAS Business Loan Trust,
Ser 2006-1A, Cl A
2.411%, 02/27/09 (C) (D) 450 310
ACAS Business Loan Trust,
Ser 2007-1A, Cl C
2.999%, 02/17/09 (C) (D) 425 281
CIT Equipment Collateral,
Ser 2006-VT1, Cl B
5.230%, 02/20/13 47 45
Domino's Pizza Master Issuer LLC,
Ser 2007-1, Cl A2
5.261%, 04/25/37 (C) (F) 400 280
Lambda Finance, Ser 2005-1A, Cl A3
2.379%, 02/17/09 (C) (D) 400 342
Peco Energy Transition Trust,
Ser 2000-A, Cl A3
7.625%, 03/01/10 258 261
Sierra Receivables Funding,
Ser 2007-2A, Cl A2
2.453%, 12/22/08 (C) (D) 266 197
-------------
1,716
-------------
Total Asset-Backed Securities
(Cost $14,353) ($ Thousands) 10,580
-------------
CORPORATE OBLIGATIONS -- 5.1%
CONSUMER DISCRETIONARY -- 0.3%
Macy's Retail Holdings
6.300%, 04/01/09 300 289
5.350%, 03/15/12 225 158
-------------
447
-------------
ENERGY -- 0.1%
Canadian Natural Resources
5.700%, 05/15/17 150 128
-------------
FINANCIALS -- 3.7%
Ameriprise Financial
5.350%, 11/15/10 300 256
Banco Santander Chile
3.164%, 12/09/08 (C) (D) 450 444
Capital One Financial MTN
5.700%, 09/15/11 300 254
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
118
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Capmark Financial Group
3.038%, 02/10/09 (D) $ 500 $ 219
CIT Group
3.375%, 04/01/09 300 280
Citigroup
3.084%, 12/09/08 (D) 300 233
Comerica Bank
1.519%, 12/19/08 (D) 275 261
Everest Reinsurance Holdings
8.750%, 03/15/10 295 276
6.600%, 05/15/09 (D) 450 187
General Electric Capital
3.606%, 01/28/09 (D) 275 248
Genworth Global Funding
Trusts MTN
5.200%, 10/08/10 400 300
Hartford Financial Services Group
7.900%, 06/15/10 250 223
JPMorgan Chase Capital XXI,
Ser U
4.143%, 02/02/09 (D) 550 294
Lehman Brothers Holdings,
Ser G MTN
0.000%, 11/10/09 (A) 500 45
Liberty Property LP
7.250%, 03/15/11+++ 300 280
MBIA Insurance
14.000%, 01/15/09 (C) (D) 200 90
Monumental Global Funding
4.953%, 01/15/09 (C) (D) 450 300
Morgan Stanley, Ser G
4.620%, 01/09/09 (D) 400 293
Prudential Financial MTN
5.100%, 12/14/11 300 271
Reinsurance Group of America
5.625%, 03/15/17 300 214
State Street
3.565%, 01/30/09 (D) 285 257
Unitrin
6.000%, 05/15/17 260 232
4.875%, 11/01/10 300 296
VTB 24 Capital PLC, Ser E MTN
3.021%, 03/09/09 (D) 200 160
Wachovia
2.939%, 12/15/08 (D) 425 380
-------------
6,293
-------------
HEALTH CARE -- 0.1%
UnitedHealth Group
3.806%, 02/09/09 (D) 250 213
-------------
Face Amount
($ Thousands) Market Value
Description /Shares ($ Thousands)
- ----------- ------------- -------------
INDUSTRIALS -- 0.1%
Continental Airlines, Ser 061G
3.161%, 03/02/09 (D) $ 300 $ 222
-------------
TELECOMMUNICATION SERVICES -- 0.4%
Corning
6.050%, 06/15/15 300 261
Telecom Italia Capital
5.113%, 01/20/09 (D) 300 233
Vodafone Group PLC
2.461%, 02/27/09 (D) 300 240
-------------
734
-------------
UTILITIES -- 0.4%
KeySpan
7.625%, 11/15/10 300 308
Ohio Power
4.388%, 01/05/09 (D) 270 241
Southern, Ser A
5.300%, 01/15/12 175 173
-------------
722
-------------
Total Corporate Obligations
(Cost $11,493) ($ Thousands) 8,759
-------------
EURODOLLAR -- 0.1%
SOVEREIGN -- 0.1%
Republic of Trinidad & Tobago
9.875%, 10/01/09 150 154
-------------
Total EuroDollar
(Cost $156) ($ Thousands) 154
-------------
COMMON STOCK -- 0.0%
Sirva Worldwide* (F) (G) 2,247 68
-------------
Total Common Stock
(Cost $--) ($ Thousands) 68
-------------
TIME DEPOSITS -- 10.1%
Barclays Bank London
0.890%, 12/10/08 2,676 2,676
1.290%, 12/12/08 1,112 1,112
HSBC London
0.400%, 12/12/08 1,000 1,000
0.900%, 01/13/09 2,324 2,324
Lloyds TSB London
1.100%, 12/08/08 3,641 3,641
Royal Bank of Canada
0.650%, 01/14/09 4,093 4,093
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
119
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced LIBOR Opportunities Fund (Concluded)
November 30, 2008
Face Amount
($ Thousands) Market Value
Description /Shares ($ Thousands)
- ----------- ------------- -------------
UBS London
0.760%, 12/03/08 $ 2,440 $ 2,440
-------------
Total Time Deposits
(Cost $17,286) ($ Thousands) 17,286
-------------
AFFILIATED PARTNERSHIP -- 36.5%
SEI LIBOR Plus Portfolio+ 10,420,126 62,521
-------------
Total Affiliated Partnership
(Cost $101,228) ($ Thousands) 62,521
-------------
CASH EQUIVALENT -- 10.6%
SEI Daily Income Trust,
Prime Obligation Fund, Cl A,
1.620%**+ 18,150,705 18,151
-------------
Total Cash Equivalent
(Cost $18,151) ($ Thousands) 18,151
-------------
REPURCHASE AGREEMENT -- 1.9%
BNP Paribas (E)
0.280%, dated 11/28/08,
to be repurchased on 12/01/08
repurchase price $3,200,075,
(collateralized by a FHLMC obligation,
par value $3,197,847, 5.500%,
12/01/38; with total market
value $3,264,000) 3,200 3,200
-------------
Total Repurchase Agreement
(Cost $3,200) ($ Thousands) 3,200
-------------
Total Investments -- 103.6%
(Cost $249,563) ($ Thousands) $ 177,393
=============
A summary of the open futures contracts held by the Fund at November 30, 2008,
is as follows (See Note 2 in Notes to Financial Statements):
NUMBER OF UNREALIZED
TYPE OF CONTRACTS EXPIRATION DEPRECIATION
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- ----------------------- ------------ ---------- -------------
U.S. 10-Year Note (38) Mar-2009 $(62)
U.S. 2-Year Note (38) Mar-2009 (28)
U.S. 5-Year Note (2) Mar-2009 (2)
U.S. Long Treasury Bond (5) Mar-2009 (6)
----
$(98)
====
A summary of the outstanding forward foreign currency contracts held by the Fund
at November 30, 2008, is as follows (See Note 2 in Notes to Financials
Statements):
UNREALIZED
CURRENCY CURRENCY APPRECIATION
MATURITY TO DELIVER TO RECEIVE (DEPRECIATION)
DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS)
- ---------------- ------------- ------------- --------------
12/10/08 AUD 1,078 USD 1,000 $ 299
12/10/08 CHF 1,500 NZD 1,965 (160)
12/10/08 EUR 729 USD 1,100 175
12/10/08 GBP 1,719 USD 3,300 662
12/10/08 NZD 1,984 CHF 1,500 150
12/10/08 USD 1,000 AUD 1,058 (312)
12/10/08 USD 1,100 EUR 711 (198)
12/10/08 USD 3,300 GBP 1,701 $ (690)
12/10/08-2/12/09 JPY 284,000 NOK 14,294 (950)
12/10/08-2/12/09 NOK 14,722 JPY 284,000 889
12/10/08-3/11/09 GBP 1,121 SGD 2,800 139
12/10/08-3/11/09 SGD 2,800 GBP 1,086 (193)
12/10/08-4/14/09 EUR 4,443 JPY 679,000 1,516
12/10/08-4/14/09 GBP 4,310 JPY 796,000 1,775
12/10/08-4/14/09 JPY 679,000 EUR 4,314 (1,680)
12/10/08-4/14/09 JPY 796,000 GBP 4,190 (1,960)
1/13/09-2/11/09 AUD 1,066 CHF 1,000 135
1/13/09-2/11/09 CHF 1,000 AUD 1,054 (143)
1/13/09-3/11/09 CHF 7,500 GBP 3,753 (444)
1/13/09-3/11/09 GBP 3,797 CHF 7,500 376
1/13/09-4/14/09 EUR 2,849 CHF 4,400 32
1/13/09-4/14/09 NZD 3,784 USD 2,500 445
1/13/09-4/14/09 USD 2,500 NZD 3,687 (497)
1/13/09-5/13/09 CHF 6,800 EUR 4,373 (94)
4/14/09 AUD 1,936 JPY 112,000 (68)
4/14/09 JPY 112,000 AUD 1,700 (85)
4/15/09 CHF 600 NOK 3,289 (32)
4/15/09 NOK 3,521 CHF 600 (1)
-------
$ (914)
=======
Percentages are based on a Net Assets of $171,196 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of November 30, 2008.
+ Investment in Affiliated Security (see Note 3).
+++ Real Estate Investment Trust
(A) Security in default on interest payments.
(B) Security, or portion thereof, has been pledged as collateral on open swaps
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) Variable Rate Security -- The rate reported is the rate in effects as of
November 30, 2008. The date reported is the next reset date.
(E) Tri-Party Repurchase Agreement
(F) Securities considered illiquid. The total value of such securities as of
November 30, 2008 was $348 ($ Thousands) and represented 0.20% of net
assets (see Note 3).
(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, 2008 was $68 ($ Thousands) and represented
0.04% of net assets.
AUD -- Australian 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 - face amount represents notional amount
JPY -- Japanese Yen
LLC -- Limited Liability Company
LIBOR -- London Interbank Offered Rate
MTN -- Medium Term Note
NOK -- Norwegian Krone
NZD -- New Zealand Dollar
PLC -- Public Limited Company
Ser -- Series
SGD -- Singapore Dollar
STRIPS -- Separately Traded Registered Interest and Principal Securities
TBA -- To be Announced
USD -- U.S. Dollar
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
120
Core Fixed Income Fund
November 30, 2008
SECTOR WEIGHTINGS++:
(BAR CHART)
Mortgage-Backed Securities 54.6%
Affiliated Partnership 8.0%
Financials 8.0%
Cash Equivalent 7.0%
U.S. Treasury Obligations 6.7%
Asset-Backed Securities 4.3%
Energy 2.0%
Consumer Discretionary 1.5%
U.S. Government Agency Obligations 1.3%
Telecommunication Services 1.2%
Utilities 1.2%
Industrials 1.1%
Consumer Staples 0.9%
Health Care 0.6%
Materials 0.5%
Information Technology 0.3%
Sovereign 0.3%
Commercial Paper 0.2%
Municipal Bonds 0.2%
Certificates of Deposit 0.1%
Eurodollar 0.0%
Preferred Stock 0.0%
++ Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 9).
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
MORTGAGE-BACKED SECURITIES -- 71.8%
AGENCY MORTGAGE-BACKED OBLIGATIONS -- 56.5%
FHLB CMO, Ser 2014, Cl 1
5.340%, 03/20/14 $ 6,818 $ 6,833
FHLB CMO, Ser 2015, Cl A
5.460%, 11/27/15 12,964 13,054
FHLMC
9.750%, 10/01/14 1 1
7.500%, 11/01/17 to 06/01/32 855 906
7.000%, 11/01/15 to 06/01/32 672 700
6.500%, 10/01/16 to 09/01/38 60,130 61,911
6.000%, 01/01/13 to 03/01/38 122,041 124,643
5.500%, 09/01/13 to 09/01/38 320,091 324,812
5.000%, 10/01/14 to 12/01/34 51,169 51,715
4.500%, 04/01/19 to 03/01/36 11,194 11,075
4.000%, 09/01/18 to 10/01/33 6,697 6,584
FHLMC ARM
6.895%, 02/15/09 6,846 6,951
6.651%, 02/15/09 4,047 4,146
6.647%, 02/15/09 4,471 4,568
6.456%, 02/15/09 17,918 18,384
6.371%, 02/15/09 1,637 1,670
6.309%, 02/15/09 651 662
6.306%, 02/15/09 2,180 2,236
6.204%, 02/15/09 8,689 8,868
6.157%, 02/15/09 7,777 7,984
6.146%, 02/15/09 4,492 4,610
6.033%, 02/15/09 14 15
5.944%, 02/15/09 1,237 1,239
5.941%, 02/15/09 726 731
5.934%, 02/15/09 13,638 13,920
5.930%, 02/15/09 950 948
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
5.876%, 02/15/09 $ 32 $ 32
5.864%, 02/15/09 2,215 2,262
5.857%, 02/15/09 2,636 2,742
5.734%, 02/15/09 2,297 2,332
5.690%, 02/15/09 1,075 1,077
5.587%, 01/25/09 5,166 5,240
5.192%, 02/15/09 939 949
5.113%, 02/15/09 5,575 5,603
FHLMC CMO, Ser 1, Cl Z
9.300%, 04/15/19 25 27
FHLMC CMO, Ser 1081, Cl K
7.000%, 05/15/21 523 559
FHLMC CMO, Ser 1101, Cl M
6.950%, 07/15/21 275 294
FHLMC CMO, Ser 1611, Cl Z
6.500%, 11/15/23 10,982 12,105
FHLMC CMO, Ser 1983, Cl Z
6.500%, 12/15/23 1,399 1,398
FHLMC CMO, Ser 2043, Cl CJ
6.500%, 04/15/28 2,318 2,400
FHLMC CMO, Ser 2389, Cl CD
6.000%, 03/15/16 1,237 1,255
FHLMC CMO, Ser 2542, Cl ES
5.000%, 12/15/17 8,683 8,708
FHLMC CMO, Ser 2544, Cl IW, IO
5.500%, 03/15/26 73 --
FHLMC CMO, Ser 2547, Cl BE
5.500%, 03/15/32 1,711 1,721
FHLMC CMO, Ser 2558, Cl BD
5.000%, 01/15/18 3,681 3,693
FHLMC CMO, Ser 2564, Cl BQ
5.500%, 10/15/17 3,201 3,329
FHLMC CMO, Ser 2590, Cl BY
5.000%, 03/15/18 1,346 1,349
FHLMC CMO, Ser 2590, Cl NU
5.000%, 06/15/17 1,808 1,839
FHLMC CMO, Ser 2603, Cl KT
4.750%, 07/15/14 4,991 5,032
FHLMC CMO, Ser 2623, Cl AJ
4.500%, 07/15/16 2,531 2,540
FHLMC CMO, Ser 2631, Cl MC
5.000%, 02/15/32 484 468
FHLMC CMO, Ser 2672, Cl HA
4.000%, 09/15/16 1,447 1,447
FHLMC CMO, Ser 2694, Cl QG
4.500%, 01/15/29 361 365
FHLMC CMO, Ser 2695, Cl BG
4.500%, 04/15/32 3,004 2,954
FHLMC CMO, Ser 2702, Cl AD
4.500%, 08/15/32 2,628 2,578
FHLMC CMO, Ser 2708, Cl DG
5.500%, 07/15/32 2,849 2,855
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
121
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
FHLMC CMO, Ser 2727, Cl PW
3.570%, 06/15/29 $ 1,085 $ 1,076
FHLMC CMO, Ser 2733, Cl ME
5.000%, 01/15/34 6,302 6,058
FHLMC CMO, Ser 2735, Cl PG
5.500%, 09/15/32 524 531
FHLMC CMO, Ser 2735, Cl OG
5.000%, 08/15/32 1,517 1,467
FHLMC CMO, Ser 2740, Cl PD
5.500%, 06/15/32 1,893 1,895
FHLMC CMO, Ser 2776, Cl AC
5.000%, 09/15/31 1,276 1,229
FHLMC CMO, Ser 2777, Cl KB
5.000%, 03/15/32 2,063 1,990
FHLMC CMO, Ser 2778, Cl JD
5.000%, 12/15/32 1,974 1,953
FHLMC CMO, Ser 2780, Cl TB
3.000%, 12/15/24 1,008 1,006
FHLMC CMO, Ser 2790, Cl TN
4.000%, 05/15/24 2,779 2,565
FHLMC CMO, Ser 2793, Cl GE
5.500%, 11/15/32 437 438
FHLMC CMO, Ser 2825, Cl QN
5.500%, 09/15/32 3,958 3,956
FHLMC CMO, Ser 2835, Cl NG
5.500%, 07/15/33 1,248 1,256
FHLMC CMO, Ser 2843, Cl BC
5.000%, 08/15/19 1,740 1,739
FHLMC CMO, Ser 2883, Cl HK
5.000%, 04/15/32 1,144 1,123
FHLMC CMO, Ser 2905, Cl ME
5.500%, 08/15/33 841 842
FHLMC CMO, Ser 2945, Cl SA
9.734%, 12/15/08 (A) 4,790 4,658
FHLMC CMO, Ser 2960, Cl NC
5.500%, 10/15/32 492 501
FHLMC CMO, Ser 3000, Cl PA
3.900%, 01/15/23 2,317 2,298
FHLMC CMO, Ser 3017, Cl TA
4.500%, 08/15/35 3,226 3,254
FHLMC CMO, Ser 3019, Cl VM
5.000%, 08/15/16 1,854 1,907
FHLMC CMO, Ser 3035, Cl PA
5.500%, 09/15/35 1,302 1,362
FHLMC CMO, Ser 3061, Cl DA
5.500%, 04/15/31 885 890
FHLMC CMO, Ser 3104, Cl QC
5.000%, 09/15/31 2,782 2,784
FHLMC CMO, Ser 3115, Cl MB
5.500%, 12/15/20 819 834
FHLMC CMO, Ser 3133, Cl GA
5.000%, 06/15/33 936 942
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
FHLMC CMO, Ser 3166, Cl GB
6.000%, 06/15/21 $ 1,102 $ 1,123
FHLMC CMO, Ser 3253, Cl A
5.000%, 08/15/20 2,618 2,634
FHLMC CMO, Ser 3268, Cl HC
5.000%, 12/15/32 1,902 1,846
FHLMC CMO, Ser 3289, Cl PB
5.000%, 11/15/29 2,979 2,972
FHLMC CMO, Ser 3298, Cl VB
5.000%, 11/15/25 2,051 1,964
FHLMC CMO, Ser 3317, Cl PG
5.000%, 04/15/36 1,606 1,553
FHLMC CMO, Ser 3320, Cl TB
5.500%, 06/15/30 1,215 1,248
FHLMC CMO, Ser 3351, Cl PK
5.500%, 01/15/32 30 31
FHLMC CMO, Ser 3372, Cl BD
4.500%, 10/15/22 2,533 2,378
FHLMC CMO, Ser 3460, Cl PC
5.000%, 08/15/34 1,400 1,393
FHLMC CMO, Ser 3460, Cl PB
5.000%, 06/15/31 1,097 1,113
FHLMC CMO, Ser 3465, Cl HA
4.000%, 07/15/17 6,562 6,488
FHLMC TBA
5.500%, 01/17/19 to 01/01/38 106,452 107,948
5.000%, 12/01/35 7,900 7,942
FNMA
8.000%, 04/01/15 to 07/01/31 429 451
7.000%, 03/01/09 to 01/01/35 7,147 7,491
6.500%, 05/01/17 to 12/01/38 79,301 81,985
6.000%, 05/01/21 to 07/01/38 169,173 173,079
5.500%, 04/01/14 to 06/01/38 189,551 192,502
5.000%, 06/01/18 to 11/01/36 113,817 114,941
4.500%, 06/01/13 to 04/01/38 188,517 186,565
4.000%, 07/01/20 to 05/01/34 14,505 13,865
FNMA ARM
6.723%, 01/25/09 30,712 31,686
6.233%, 01/25/09 92 94
6.119%, 01/25/09 27,937 28,822
6.115%, 01/25/09 1,374 1,382
6.105%, 01/25/09 883 884
6.020%, 01/25/09 1,696 1,721
6.003%, 01/25/09 1,167 1,176
5.983%, 01/25/09 1,708 1,718
5.946%, 01/25/09 2,114 2,131
5.922%, 01/25/09 4,565 4,658
5.881%, 01/25/09 1,407 1,408
5.831%, 02/15/09 3,260 3,320
5.824%, 01/25/09 16,394 16,545
5.766%, 01/25/09 3,440 3,500
5.746%, 01/25/09 2,331 2,371
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
122
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
5.694%, 01/25/09 $ 6,405 $ 6,498
5.640%, 01/25/09 10,830 10,859
5.510%, 02/15/09 4,356 4,420
4.660%, 01/25/09 2,066 2,082
4.653%, 01/25/09 2,066 2,082
4.648%, 01/25/09 2,050 2,066
4.642%, 01/25/09 2,097 2,112
4.641%, 01/25/09 2,125 2,141
FNMA CMO, Ser 1999-11, Cl Z
5.500%, 03/25/29 3,552 3,733
FNMA CMO, Ser 2002-94, Cl BJ, IO
5.500%, 04/25/16 75 1
FNMA CMO, Ser 2003-108, Cl BE
4.000%, 11/25/18 230 221
FNMA CMO, Ser 2003-113, Cl PN
3.500%, 02/25/13 54 54
FNMA CMO, Ser 2003-15, Cl CH
4.000%, 02/25/17 1,059 1,056
FNMA CMO, Ser 2003-16, Cl PN
4.500%, 10/25/15 1,310 1,314
FNMA CMO, Ser 2003-3, Cl HJ
5.000%, 02/25/18 2,250 2,252
FNMA CMO, Ser 2004-34, Cl PL
3.500%, 05/25/14 825 825
FNMA CMO, Ser 2004-60, Cl PA
5.500%, 04/25/34 1,747 1,770
FNMA CMO, Ser 2004-88, Cl HA
6.500%, 07/25/34 1,428 1,468
FNMA CMO, Ser 2005-30, Cl B
5.000%, 07/25/32 1,979 1,874
FNMA CMO, Ser 2005-57, Cl EG
1.695%, 12/25/08 (A) 2,841 2,713
FNMA CMO, Ser 2005-58, Cl MA
5.500%, 07/25/35 1,079 1,127
FNMA CMO, Ser 2006-114, Cl CG
5.500%, 12/25/36 2,534 2,435
FNMA CMO, Ser 2006-21, Cl UA
5.500%, 12/25/32 511 514
FNMA CMO, Ser 2007-113, Cl DB
4.500%, 12/25/22 3,664 3,419
FNMA CMO, Ser 2007-26, Cl BA
5.500%, 05/25/29 885 891
FNMA CMO, Ser 2007-30, Cl MA
4.250%, 02/25/37 6,035 5,968
FNMA CMO, Ser 2007-6, Cl PA
5.500%, 02/25/37 2,102 2,135
FNMA CMO, Ser 2007-7, Cl W
5.500%, 01/25/36 1,859 1,829
FNMA CMO, Ser 2007-82, Cl B
5.000%, 11/25/33 1,240 1,201
FNMA CMO, Ser 2008-22, Cl SI
5.035%, 12/25/08 (A) 23,000 1,722
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
FNMA TBA
7.000%, 01/01/35 $ 8,500 $ 8,803
6.500%, 01/01/38 63,700 65,332
6.000%, 12/01/18 to 01/01/23 3,800 3,867
5.500%, 01/01/19 to 12/25/38 293,118 297,881
5.000%, 01/01/19 to 01/01/38 439,422 442,435
4.500%, 12/01/35 to 01/01/38 17,500 17,230
GNMA
9.500%, 12/15/20 14 16
7.000%, 04/15/26 to 09/15/34 4,550 4,692
6.500%, 06/15/11 to 07/15/35 21,816 22,469
6.000%, 03/15/14 to 02/15/35 49,741 50,967
5.500%, 04/15/14 to 12/15/32 305 313
5.000%, 05/15/33 to 11/15/35 38,639 39,031
4.500%, 09/15/34 9,585 9,470
GNMA ARM
3.750%, 01/20/09 3,672 3,601
GNMA CMO, Ser 2001-18, Cl WH
25.888%, 12/20/08 (A) 190 247
GNMA CMO, Ser 2002-51, Cl SG
26.206%, 12/20/08 (A) 179 232
GNMA CMO, Ser 2003-58, Cl IG, IO
5.500%, 05/17/29 1,157 14
GNMA CMO, Ser 2003-82, Cl IO, IO
5.500%, 03/20/29 1,196 22
GNMA CMO, Ser 2003-86, Cl ZK
5.000%, 10/20/33 11,212 10,429
GNMA CMO, Ser 2004-80, Cl IP, IO
5.500%, 07/20/34 3,409 111
GNMA CMO, Ser 2004-87, Cl LI, IO
5.000%, 12/20/28 3,053 88
GNMA CMO, Ser 2006-3, Cl A
4.212%, 01/16/28 812 799
GNMA CMO, Ser 2006-37, Cl JG
5.000%, 07/20/36 1,723 1,678
GNMA TBA
6.500%, 12/01/35 9,600 9,837
6.000%, 12/01/33 to 01/01/38 56,548 57,585
5.500%, 01/01/33 to 01/01/38 24,992 25,375
-------------
2,961,107
-------------
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 15.3%
Adjustable Rate Mortgage Trust,
Ser 2005-8, Cl 4A11
5.436%, 01/25/09 (A) 11,592 7,696
American Home Mortgage Assets,
Ser 2006-5, Cl A1
3.399%, 01/25/09 (A) 1,848 611
American Home Mortgage Assets,
Ser 2007-2, Cl A1
1.520%, 12/26/08 (A) 15,528 5,965
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
123
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
American Tower Trust,
Ser 2007-1A, Cl AFX
5.420%, 04/15/37 (B) $ 3,409 $ 2,605
Banc of America Alternative Loan
Trust, Ser 2004-5, Cl 4A1
5.000%, 06/25/19 1,327 1,147
Banc of America Alternative Loan
Trust, Ser 2004-6, Cl 4A1
5.000%, 07/25/19 1,760 1,639
Banc of America Alternative Loan
Trust, Ser 2006-7, Cl A3
5.913%, 01/25/09 (A) 2,029 1,067
Banc of America Alternative Loan
Trust, Ser 2006-8, Cl 3A1
6.279%, 01/25/09 (A) 2,039 1,970
Banc of America Alternative Loan
Trust, Ser 2007-1, Cl 2A1
6.480%, 01/25/09 (A) 523 250
Banc of America Commercial
Mortgage Securities, Ser 2000-1,
Cl A2A
7.333%, 01/15/09 (A) 2,991 2,941
Banc of America Commercial
Mortgage Securities,
Ser 2002-PB2, Cl B
6.309%, 06/11/35 1,075 965
Banc of America Commercial
Mortgage Securities,
Ser 2002-PB2, Cl A4
6.186%, 06/11/35 80 73
Banc of America Commercial
Mortgage Securities, Ser 2003-1,
Cl A2
4.648%, 09/11/36 2,397 1,974
Banc of America Commercial
Mortgage Securities, Ser 2003-1,
Cl A1
3.878%, 09/11/36 5,741 5,278
Banc of America Commercial
Mortgage Securities, Ser 2004-1,
Cl A3
4.429%, 11/10/39 30 26
Banc of America Commercial
Mortgage Securities, Ser 2004-2,
Cl A5
4.580%, 11/10/38 564 435
Banc of America Commercial
Mortgage Securities, Ser 2004-4,
Cl A4
4.502%, 07/10/42 3,518 3,080
Banc of America Commercial
Mortgage Securities, Ser 2004-6,
Cl A3
4.512%, 12/10/42 5,620 4,844
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Banc of America Commercial
Mortgage Securities, Ser 2005-2,
Cl A3
4.611%, 07/10/43 $ 165 $ 153
Banc of America Commercial
Mortgage Securities, Ser 2005-3,
Cl A4
4.668%, 07/10/43 12,400 8,980
Banc of America Commercial
Mortgage Securities, Ser 2005-5,
Cl A4
5.115%, 01/10/09 (A) 1,190 869
Banc of America Commercial
Mortgage Securities, Ser 2006-4,
Cl A4
5.634%, 07/10/46 15,000 10,318
Banc of America Commercial
Mortgage Securities, Ser 2006-5,
Cl XC, IO
0.118%, 01/10/09 (A) (B) 78,176 480
Banc of America Commercial
Mortgage Securities, Ser 2008-1,
Cl A4
6.346%, 01/10/09 (A) 1,472 980
Banc of America Funding, Ser 2005-B,
Cl 2A1
5.093%, 01/20/09 (A) 5,049 2,919
Banc of America Funding, Ser 2007-8,
Cl 2A2
7.000%, 10/25/37 167 90
Banc of America Funding, Ser 2007-D,
Cl 3A1
5.651%, 01/20/09 (A) 3,815 2,957
Bear Stearns Adjustable Rate
Mortgage Trust, Ser 2004-2,
Cl 24A
5.304%, 01/25/09 (A) 4,778 3,254
Bear Stearns Asset Backed Securities
Trust, Ser 2006-AC1, Cl 1A1
5.750%, 02/25/36 2,659 2,111
Bear Stearns Commercial Mortgage
Securities, Ser 2000-WF1, Cl A2
7.780%, 01/15/09 (A) 5,388 5,287
Bear Stearns Commercial Mortgage
Securities, Ser 2001-TOP2, Cl A2
6.480%, 02/15/35 3,596 3,356
Bear Stearns Commercial Mortgage
Securities, Ser 2001-TOP4, Cl A3
5.610%, 11/15/33 1,709 1,546
Bear Stearns Commercial Mortgage
Securities, Ser 2004-ESA, Cl C
4.937%, 05/14/16 (B) 2,473 2,462
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
124
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Bear Stearns Commercial Mortgage
Securities, Ser 2004-PWR5, Cl A3
4.565%, 07/11/42 $ 115 $ 104
Bear Stearns Commercial Mortgage
Securities, Ser 2004-PWR6, Cl A6
4.825%, 11/11/41 637 504
Bear Stearns Commercial Mortgage
Securities, Ser 2005-T20, Cl A4A
5.300%, 01/12/09 (A) 6,500 5,029
Bear Stearns Commercial Mortgage
Securities, Ser 2007-PW15, Cl B
5.660%, 01/11/09 (A) (B) 1,189 257
Bear Stearns Commercial Mortgage
Securities, Ser 2007-PW17, Cl A4
5.694%, 01/11/09 (A) 2,250 1,528
Bear Stearns Structured Products,
Ser 2007-R11, Cl A1A
1.995%, 12/29/08 (A) (B) 23,751 23,637
Chase Mortgage Finance,
Ser 2005-A1, Cl 2A3
5.235%, 01/25/09 (A) 13,166 8,352
Chase Mortgage Finance,
Ser 2005-A1, Cl 1A1
5.408%, 01/25/09 (A) 2,321 1,606
Chaseflex Trust, Ser 2007-1, Cl 1A3
6.500%, 02/25/37 1,743 997
Citigroup Commercial Mortgage Trust,
Ser 2006-C4, Cl A3
5.915%, 01/15/09 (A) 3,525 2,298
Citigroup Commercial Mortgage Trust,
Ser 2007-C6, Cl A4
5.889%, 01/10/09 (A) 2,830 1,838
Citigroup Commercial Mortgage Trust,
Ser 2008-C7, Cl A4
6.299%, 01/10/09 (A) 6,110 4,070
Citigroup Mortgage Loan Trust,
Ser 2005-11, Cl A3
4.900%, 01/25/09 (A) 7,218 5,134
Citigroup Mortgage Loan Trust,
Ser 2006-AR3, Cl 1A1A
5.936%, 01/25/09 (A) 504 321
Citimortgage Alternative Loan Trust,
Ser 2006-A1, Cl 1A6
6.000%, 04/25/36 3,249 1,697
Commercial Mortgage Asset Trust,
Ser 1999-C1, Cl A4
6.975%, 12/17/08 (A) 2,593 2,332
Commercial Mortgage Asset Trust,
Ser 1999-C2, Cl A2
7.546%, 12/17/08 (A) 249 246
Commercial Mortgage Pass-Through
Certificates , Ser 2001-J2A, Cl A2
6.096%, 07/16/34 (B) 5,564 5,071
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Commercial Mortgage Pass-Through
Certificates , Ser 2006-C7, Cl AM
5.986%, 01/10/09 (A) $ 4,870 $ 2,388
Countrywide Alternative Loan Trust,
Ser 2003-20CB, Cl 1A1
5.500%, 10/25/33 3,203 2,840
Countrywide Alternative Loan Trust,
Ser 2004-27CB, Cl A1
6.000%, 12/25/34 2,828 2,397
Countrywide Alternative Loan Trust,
Ser 2004-J1, Cl 1A1
6.000%, 02/25/34 662 578
Countrywide Alternative Loan Trust,
Ser 2004-J6, Cl 2A1
6.500%, 11/25/31 2,260 1,916
Countrywide Alternative Loan Trust,
Ser 2005-27, Cl 2A1
4.015%, 01/25/09 (A) 4,533 1,813
Countrywide Alternative Loan Trust,
Ser 2005-27, Cl 3A2
3.765%, 01/25/09 (A) 1,202 481
Countrywide Alternative Loan Trust,
Ser 2005-56, Cl 4A1
1.705%, 12/26/08 (A) 8,657 3,682
Countrywide Alternative Loan Trust,
Ser 2005-59, Cl 1A1
3.589%, 12/22/08 (A) 10,454 4,492
Countrywide Alternative Loan Trust,
Ser 2005-72, Cl A1
1.665%, 12/26/08 (A) 3,560 1,719
Countrywide Alternative Loan Trust,
Ser 2006-0A9, Cl 2A1A
1.663%, 12/22/08 (A) 690 270
Countrywide Alternative Loan Trust,
Ser 2006-OA11, Cl A4
1.585%, 12/26/08 (A) 11,362 3,940
Countrywide Alternative Loan Trust,
Ser 2006-OA14, Cl 1A2
3.359%, 01/25/09 (A) 1,185 365
Countrywide Alternative Loan Trust,
Ser 2006-OA2, Cl X1P, IO
2.090%, 01/20/09 (A) 34,292 1,061
Countrywide Alternative Loan Trust,
Ser 2006-OC6, Cl 2A1
1.465%, 12/26/08 (A) 2,335 2,085
Countrywide Home Loan Mortgage
Pass-Through Trust, Ser 2005-20,
Cl A7
5.250%, 10/25/35 845 551
Countrywide Home Loan Mortgage
Pass-Through Trust, Ser 2005-R3,
Cl AF
1.795%, 12/25/08 (A) (B) 9,089 7,084
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
125
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Credit Suisse First Boston Mortgage
Securities, Ser 2001-CK1, Cl A3
6.380%, 12/18/35 $ 1,234 $ 1,163
Credit Suisse First Boston Mortgage
Securities, Ser 2002-CKS4, Cl A1
4.485%, 11/15/36 88 80
Credit Suisse First Boston Mortgage
Securities, Ser 2005-C6, Cl A4
5.230%, 01/15/09 (A) 22,220 16,259
Credit Suisse First Boston Mortgage
Securities, Ser 2001-CF2, Cl A4
6.505%, 02/15/34 2,157 2,031
Credit Suisse First Boston Mortgage
Securities, Ser 2001-CK3, Cl A4
6.530%, 06/15/34 6,068 5,664
Credit Suisse First Boston Mortgage
Securities, Ser 2001-CKN5, Cl A4
5.435%, 09/15/34 3,390 3,064
Credit Suisse First Boston Mortgage
Securities, Ser 2002-CKN2, Cl A3
6.133%, 04/15/37 437 391
Credit Suisse First Boston Mortgage
Securities, Ser 2002-CKS4, Cl A2
5.183%, 11/15/36 6,381 5,433
Credit Suisse First Boston Mortgage
Securities, Ser 2002-CP5, Cl A2
4.940%, 12/15/35 955 797
Credit Suisse First Boston Mortgage
Securities, Ser 2003-C4, Cl A4
5.137%, 01/15/09 (A) 1,905 1,558
Credit Suisse First Boston Mortgage
Securities, Ser 2003-C5, Cl A4
4.900%, 01/15/09 (A) 1,475 1,177
Credit Suisse First Boston Mortgage
Securities, Ser 2003-CK2, Cl A4
4.801%, 03/15/36 1,334 1,094
Credit Suisse First Boston Mortgage
Securities, Ser 2003-CPN1, Cl A2
4.597%, 03/15/35 851 690
Credit Suisse First Boston Mortgage
Securities, Ser 2004-C2, Cl A1
3.819%, 05/15/36 9,478 8,415
Credit Suisse First Boston Mortgage
Securities, Ser 8, Cl 1A2
5.250%, 12/25/34 4,141 3,588
Credit Suisse Mortgage Capital
Certificates, Ser 2006-C3, Cl A3
6.021%, 01/15/09 (A) 1,965 1,284
DLJ Commercial Mortgage,
Ser 1999-CG2, Cl A1B
7.300%, 01/10/09 (A) 2,850 2,819
DLJ Commercial Mortgage,
Ser 2000-CKP1, Cl A1B
7.180%, 11/10/33 189 182
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
DLJ Commercial Mortgage, Ser CG3,
Cl A1B
7.340%, 10/10/32 $ 2,761 $ 2,713
DSLA Mortgage Loan Trust,
Ser 2004-AR2, Cl A2B
1.874%, 12/19/08 (A) 2,671 1,099
DSLA Mortgage Loan Trust,
Ser 2006-AR1, Cl 1A1A
3.399%, 01/19/09 (A) 496 205
First Horizon Alternative Mortgage
Securities, Ser 2006-FA6, Cl 2A10
6.000%, 11/25/36 (H) 1,773 1,598
First Horizon Alternative Mortgage
Securities, Ser 2006-RE1, Cl A1
5.500%, 05/25/35 (H) 3,170 1,637
First Union National Bank
Commercial Mortgage,
Ser 1999-C4, Cl A2
7.390%, 12/15/31 135 133
First Union National Bank
Commercial Mortgage,
Ser 2000-C2, Cl A2
7.202%, 10/15/32 1,787 1,715
First Union National Bank
Commercial Mortgage,
Ser 2001-C4, Cl B
6.417%, 12/12/33 926 840
GE Capital Commercial Mortgage,
Ser 2001-2, Cl A3
6.030%, 08/11/33 815 786
GE Capital Commercial Mortgage,
Ser 2001-3, Cl A1
5.560%, 06/10/38 69 65
Ge Capital Commercial Mortgage,
Ser 2002-1A, Cl A3
6.269%, 12/10/35 1,562 1,379
GE Capital Commercial Mortgage,
Ser 2003-C1, Cl A3
4.371%, 01/10/38 25 23
GE Capital Commercial Mortgage,
Ser 2005-C4, Cl A3A
5.512%, 01/10/09 (A) 14,500 11,667
GE Capital Commercial Mortgage,
Ser 2007-C1, Cl A4
5.543%, 12/10/49 5,060 3,263
GMAC Commercial Mortgage
Securities, Ser 2000-C1, Cl A2
7.724%, 01/15/09 (A) 7,226 7,084
GMAC Commercial Mortgage
Securities, Ser 2000-C2, Cl A2
7.455%, 01/16/09 (A) 11,046 10,704
GMAC Commercial Mortgage
Securities, Ser 2000-C3, Cl A2
6.957%, 09/15/35 8,034 7,648
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
126
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
GMAC Commercial Mortgage
Securities, Ser 2001-C2, Cl A2
6.700%, 04/15/34 $ 5,905 $ 5,520
GMAC Commercial Mortgage
Securities, Ser 2002-C3, Cl A2
4.930%, 07/10/39 3,009 2,527
GMAC Commercial Mortgage
Securities, Ser 2003-C2, Cl A2
5.667%, 01/10/09 (A) 1,259 1,038
GMAC Commercial Mortgage
Securities, Ser 2003-C3, Cl A4
5.023%, 04/10/40 5,138 4,113
GMAC Commercial Mortgage
Securities, Ser 2004-C1, Cl A1
3.118%, 03/10/38 82 81
GMAC Commercial Mortgage
Securities, Ser 2004-C2, Cl A1
3.896%, 08/10/38 104 103
GMAC Mortgage Loan Trust,
Ser 2004-J4, Cl A1
5.500%, 09/25/34 805 769
GMAC Mortgage Loan Trust,
Ser 2005-AR6, Cl 2A1
5.205%, 01/19/09 (A) 1,298 854
Greenpoint Mortgage Funding Trust,
Ser 2007-AR1, Cl 1A1A
1.475%, 12/26/08 (A) 18,044 9,094
Greenwich Capital Commercial
Funding, Ser 2005-GG5, Cl A2
5.117%, 04/10/37 1,517 1,363
Greenwich Capital Commercial
Funding, Ser 2006-GG7, Cl A4
6.112%, 01/10/09 (A) 3,095 2,190
Greenwich Capital Commercial
Funding, Ser 2007-GG9, Cl X, IO
0.511%, 01/10/09 (A) (B) 22,770 236
Greenwich Capital Commercial
Funding, Ser 2007-GG9, Cl A4
5.444%, 03/10/39 736 475
GS Mortgage Securities II,
Ser 2001-GL3A, Cl A2
6.449%, 01/05/09 (A) (B) 5,378 4,961
GS Mortgage Securities II,
Ser 2005-GG4, Cl AABA
4.680%, 07/10/39 6,191 5,130
GS Mortgage Securities II,
Ser 2006-GG8, Cl A4
5.560%, 11/10/39 324 221
GSMPS Mortgage Loan Trust,
Ser 1998-1, Cl A
8.000%, 01/19/09 (A) (B) 6 6
GSMPS Mortgage Loan Trust,
Ser 2005-RP3, Cl 1AF
1.745%, 12/25/08 (A) (B) 3,452 2,721
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
GSMPS Mortgage Loan Trust,
Ser 2006-RP2, Cl 1AF1
1.795%, 12/25/08 (A) (B) $ 2,555 $ 2,531
GSR Mortgage Loan Trust,
Ser 2006-8F, Cl 3A5
6.250%, 09/25/36 (H) 8,126 8,025
GSR Mortgage Loan Trust,
Ser 2006-9F, Cl 4A1
6.500%, 10/25/36 1,149 882
Harborview Mortgage Loan Trust,
Ser 2005-01, Cl X, IO
1.659%, 03/19/35 12,486 195
Harborview Mortgage Loan Trust,
Ser 2005-12, Cl X2B, IO
1.554%, 01/19/09 (A) 23,931 348
Heller Financial Commercial
Mortgage Asset, Ser 1999-PH1,
Cl C
7.092%, 01/15/09 (A) 239 237
Impac Secured Assets CMN Owner
Trust, Ser 2006-2, Cl 2A1
1.745%, 12/26/08 (A) 880 478
Indymac INDA Mortgage Loan Trust,
Ser 2007-AR7, Cl 1A1
6.217%, 01/25/09 (A) 2,665 1,621
Indymac INDX Mortgage Loan Trust,
Ser 2004-AR12, Cl AX2, IO
1.560%, 12/25/34 6,226 54
Indymac INDX Mortgage Loan Trust,
Ser 2007-AR5, Cl 1A1
6.258%, 01/25/09 (A) 3,975 1,593
JPMorgan Chase Commercial
Mortgage Securities,
Ser 2000-C10, Cl A2
7.371%, 01/15/09 (A) 1,887 1,844
JPMorgan Chase Commercial
Mortgage Securities,
Ser 2001-CIB3, Cl A3
6.465%, 11/15/35 5,615 5,140
JPMorgan Chase Commercial
Mortgage Securities, Ser 2002-C3,
Cl A1
4.200%, 07/12/35 46 43
JPMorgan Chase Commercial
Mortgage Securities,
Ser 2002-CIB5, Cl A2
5.161%, 10/12/37 1,137 963
JPMorgan Chase Commercial
Mortgage Securities,
Ser 2003-CB7, Cl A4
4.879%, 01/12/09 (A) 6,899 5,305
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
127
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
JPMorgan Chase Commercial
Mortgage Securities, Ser 2003-
PM1A, Cl A4
5.326%, 01/12/09 (A) $ 1,911 $ 1,514
JPMorgan Chase Commercial
Mortgage Securities, Ser 2004-C3,
Cl A2
4.223%, 01/15/42 12,948 12,226
JPMorgan Chase Commercial
Mortgage Securities, Ser 2004-C3,
Cl A4
4.657%, 01/15/42 4,000 3,244
JPMorgan Chase Commercial
Mortgage Securities, Ser 2005-
CB12, Cl A4
4.895%, 09/12/37 530 367
JPMorgan Chase Commercial
Mortgage Securities, Ser 2005-
LDP2, Cl A1
4.334%, 07/15/42 451 440
JPMorgan Chase Commercial
Mortgage Securities, Ser 2005-
LDP3, Cl A1
4.655%, 08/15/42 452 429
JPMorgan Chase Commercial
Mortgage Securities, Ser 2005-
LDP4, Cl A4
4.918%, 01/15/09 (A) 6,200 4,280
JPMorgan Chase Commercial
Mortgage Securities, Ser 2006-
CB15, Cl ASB
5.790%, 01/12/09 (A) 520 397
JPMorgan Chase Commercial
Mortgage Securities, Ser 2006-
CB16, Cl AM
5.593%, 05/12/45 2,370 1,113
JPMorgan Chase Commercial
Mortgage Securities, Ser 2006-
LDP7, Cl A2
6.051%, 01/15/09 (A) 315 269
JPMorgan Chase Commercial
Mortgage Securities, Ser 2006-
LDP7, Cl A1
6.023%, 01/15/09 (A) 48 45
JPMorgan Chase Commercial
Mortgage Securities, Ser 2007-
LD12, Cl A4
5.882%, 01/15/09 (A) 3,165 1,941
JPMorgan Chase Commercial
Mortgage Securities, Ser 2007-
LD12, Cl AM
6.261%, 01/15/09 (A) 350 158
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
JPMorgan Mortgage Trust,
Ser 2004-A3, Cl SF3
4.587%, 01/25/09 (A) $ 6,240 $ 4,726
JPMorgan Mortgage Trust,
Ser 2004-A5, Cl 4A2
4.817%, 01/25/09 (A) 5,158 4,189
JPMorgan Mortgage Trust,
Ser 2004-A5, Cl 4A4
4.817%, 01/25/09 (A) 11,500 7,645
JPMorgan Mortgage Trust,
Ser 2005-A3, Cl 11A2
4.500%, 01/25/09 (A) 13,065 7,158
JPMorgan Mortgage Trust,
Ser 2005-A8, Cl 1A1
5.400%, 01/25/09 (A) 5,704 4,016
JPMorgan Mortgage Trust,
Ser 2006-A2, Cl 2A2
5.755%, 01/25/09 (A) 13,400 6,298
JPMorgan Mortgage Trust,
Ser 2006-A3, Cl 3A4
5.736%, 01/25/09 (A) 14,500 6,782
LB Commercial Conduit Mortgage
Trust, Ser 1999-C2, Cl B
7.425%, 10/15/32 371 363
LB-UBS Commercial Mortgage Trust,
Ser 2000-C4, Cl A2
7.370%, 08/15/26 1,333 1,295
LB-UBS Commercial Mortgage Trust,
Ser 2000-C5, Cl A2
6.510%, 12/15/26 3,028 2,869
LB-UBS Commercial Mortgage Trust,
Ser 2001-C2, Cl A2
6.653%, 11/15/27 702 659
LB-UBS Commercial Mortgage Trust,
Ser 2001-C3, Cl A2
6.365%, 12/15/28 1,931 1,788
LB-UBS Commercial Mortgage Trust,
Ser 2002-C2, Cl A4
5.594%, 06/15/31 21,324 18,644
LB-UBS Commercial Mortgage Trust,
Ser 2003-C5, Cl A2
3.478%, 07/15/27 23 23
LB-UBS Commercial Mortgage Trust,
Ser 2003-C8, Cl A4
5.124%, 12/15/08 (A) 17,485 14,088
LB-UBS Commercial Mortgage Trust,
Ser 2004-C8, Cl A4
4.510%, 12/15/29 360 310
LB-UBS Commercial Mortgage Trust,
Ser 2005-C1, Cl C
4.836%, 12/15/08 (A) 334 86
LB-UBS Commercial Mortgage Trust,
Ser 2005-C2, Cl A5
5.150%, 12/15/08 (A) 7,909 5,922
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
128
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
LB-UBS Commercial Mortgage Trust,
Ser 2005-C2, Cl A4
4.998%, 04/15/30 $ 123 $ 105
LB-UBS Commercial Mortgage Trust,
Ser 2005-C5, Cl A2
4.885%, 09/15/30 180 165
LB-UBS Commercial Mortgage Trust,
Ser 2005-C7, Cl A2
5.103%, 11/15/30 995 890
LB-UBS Commercial Mortgage Trust,
Ser 2006-C7, Cl A2
5.300%, 11/15/38 2,425 1,987
LB-UBS Commercial Mortgage Trust,
Ser 2006-C7, Cl E
5.516%, 12/15/08 (A) 494 92
LB-UBS Commercial Mortgage Trust,
Ser 2007-C1, Cl AAB
5.403%, 02/15/40 1,357 948
LB-UBS Commercial Mortgage Trust,
Ser C2, Cl A2
4.821%, 04/15/30 181 167
Luminent Mortgage Trust,
Ser 2006-6, Cl A1
1.595%, 12/26/08 (A) 602 251
Master Adjustable Rate Mortgages
Trust, Ser 2004-13, Cl 3A7A
3.788%, 01/21/09 (A) 11,650 8,000
Master Adjustable Rate Mortgages
Trust, Ser 2007-3, Cl 12A1
1.595%, 12/26/08 (A) 21,133 8,556
Master Alternative Loans Trust,
Ser 2004-4, Cl 1A1
5.500%, 05/25/34 2,699 2,420
Master Reperforming Loan Trust,
Ser 2005-1, Cl 1A1
6.000%, 08/25/34 (B) 4,222 4,231
Master Reperforming Loan Trust,
Ser 2006-1, Cl 1A1F
1.755%, 12/25/08 (A) 1,873 1,560
MASTR Alternative Loans Trust,
Ser 2006-3, Cl AA3
6.250%, 07/25/36 802 594
Merrill Lynch
7.430%, 09/01/22 4 4
Merrill Lynch Mortgage Investors,
Ser 2004-A1, Cl 4A
5.290%, 01/25/09 (A) 6,410 4,491
Merrill Lynch Mortgage Trust,
Ser 2004-BPC1, Cl A5, IO
0.157%, 10/12/41 21,583 204
Merrill Lynch Mortgage Trust,
Ser 2004-KEY2, Cl A4
4.864%, 01/12/09 (A) 2,652 2,016
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Merrill Lynch Mortgage Trust,
Ser 2004-MKB1, Cl A3
4.892%, 02/12/42 $ 151 $ 131
Merrill Lynch Mortgage Trust,
Ser 2006-1, Cl 1A
5.251%, 12/01/08 (A) 703 660
Merrill Lynch/Countrywide
Commercial Mortgage Trust,
Ser 2007-5, Cl B
5.479%, 01/12/09 (A) 307 53
Merrill Lynch/Countrywide
Commercial Mortgage Trust,
Ser 2007-5, Cl X, IO
0.730%, 01/12/09 (A) 4,015 71
Merrill Lynch/Countrywide
Commercial Mortgage Trust,
Ser 2007-5, Cl C
5.509%, 01/12/09 (A) 342 58
Merrill Lynch/Countrywide
Commercial Mortgage Trust,
Ser 2007-6, Cl A4
5.485%, 01/12/09 (A) 6,740 4,303
MLCC Mortgage Investors, Ser 2004-B,
Cl A3
4.712%, 01/25/09 (A) 683 475
Morgan Stanley Capital I, Ser 2003-
IQ5, Cl A4
5.010%, 04/15/38 3,770 3,161
Morgan Stanley Capital I, Ser 2004-
HQ3, Cl A4
4.800%, 01/13/41 2,256 1,771
Morgan Stanley Capital I, Ser 2005-
HQ5, Cl A3
5.007%, 01/14/42 110 91
Morgan Stanley Capital I, Ser 2005-
HQ5, Cl AAB
5.037%, 01/14/42 3,294 2,736
Morgan Stanley Capital I, Ser 2005-
HQ6, Cl A4A
4.989%, 08/13/42 4,630 3,403
Morgan Stanley Capital I, Ser 2005-
HQ7, Cl AAB
5.355%, 01/14/09 (A) 4,083 3,316
Morgan Stanley Capital I, Ser 2006-
T21, Cl A4
5.162%, 01/12/09 (A) 6,900 4,742
Morgan Stanley Dean Witter Capital I,
Ser 2000-LIFE, Cl A2
7.570%, 01/15/09 (A) 2,626 2,573
Morgan Stanley Dean Witter Capital I,
Ser 2001-TOP1, Cl A4
6.660%, 02/15/33 2,307 2,183
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
129
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Morgan Stanley Dean Witter Capital I,
Ser 2001-TOP3, Cl A4
6.390%, 06/15/11 $ 3,301 $ 3,052
Morgan Stanley Dean Witter Capital I,
Ser 2001-TOP5, Cl A4
6.390%, 10/15/35 6,533 5,968
Morgan Stanley Dean Witter Capital I,
Ser 2002-IQ2, Cl A3
5.520%, 12/15/35 396 392
Morgan Stanley Dean Witter Capital I,
Ser 2003-HQ2, Cl A2
4.920%, 03/12/35 7,164 5,902
Morgan Stanley Dean Witter Capital I,
Ser 2003-HQ2, Cl A1
4.180%, 03/12/35 244 209
Morgan Stanley Mortgage Loan Trust,
Ser 2007-6XS, Cl 2A1S
1.505%, 12/26/08 (A) 983 932
New York Mortgage Trust, Ser 2006-1,
Cl 2A2
5.651%, 01/25/09 (A) 788 497
Nomura Asset Securities, Ser 1998-D6,
Cl A1C
6.690%, 03/15/30 3,558 3,322
Prime Mortgage Trust, Ser 2006-CL1,
Cl A1
1.895%, 12/25/08 (A) 88 53
Prime Mortgage Trust, Ser 2006-DR1,
Cl 2A1
5.500%, 05/25/35 (B) 3,374 2,020
RAAC, Ser 2005-SP1, Cl 2A2
5.250%, 09/25/34 2,013 1,673
RBSGC Mortgage Pass-Through
Certificates, Ser 2007-B, Cl 1A4
1.845%, 12/25/08 (A) 7,275 3,872
Residential Accredit Loans, Ser 2005-
Q02, Cl A1
3.839%, 01/25/09 (A) 1,373 632
Residential Accredit Loans, Ser 2006-
QO8, Cl 1A1A
1.485%, 12/26/08 (A) 12,762 9,750
Residential Accredit Loans, Ser 2006-
QS12, Cl 2A11
5.000%, 09/25/36 1,366 1,078
Residential Asset Mortgage Products,
Ser 2004-SL1, Cl A8
6.500%, 11/25/31 1,720 1,758
Residential Asset Mortgage Products,
Ser 2004-SL3, Cl A2
6.500%, 12/25/31 3,098 2,893
Residential Asset Securitization Trust,
Ser 2004-IP2, Cl 2A1
5.217%, 01/25/09 (A) 2,452 1,411
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Salomon Brothers Mortgage Securities
VII, Ser 2000-C3, Cl A2
6.592%, 12/18/33 $ 2,208 $ 2,099
Salomon Brothers Mortgage Securities
VII, Ser 2002-KEY2, Cl A2
4.467%, 03/18/36 2,200 1,945
Structured Adjustable Rate Mortgage
Loan Trust, Ser 2005-18, Cl 1A1
5.639%, 01/25/09 (A) 5,536 2,567
Structured Adjustable Rate Mortgage
Loan Trust, Ser 2005-19XS, Cl 1A1
1.715%, 12/26/08 (A) 6,978 2,863
Structured Asset Mortgage Investments,
Ser 2006-AR6, Cl 1A3
1.585%, 12/26/08 (A) 242 60
Structured Asset Mortgage Investments,
Ser 2006-AR8, Cl A1A
1.595%, 12/26/08 (A) 7,760 3,076
Structured Asset Mortgage Investments,
Ser 2007-AR4, Cl GA4B
1.575%, 12/26/08 (A) 21,486 7,047
Thornburg Mortgage Securities Trust,
Ser 2005-4, Cl A4
1.595%, 12/26/08 (A) 16,578 16,498
Thornburg Mortgage Securities Trust,
Ser 2006-1, Cl A3
1.565%, 12/26/08 (A) 17,002 16,849
Thornburg Mortgage Securities Trust,
Ser 2007-4, Cl 2A1
6.216%, 01/25/09 (A) 8,128 5,686
Thornburg Mortgage Securities Trust,
Ser 2007-4, Cl 3A1
6.203%, 01/25/09 (A) 7,561 5,246
US Bank National Mortgage Association,
Ser 2007-1, Cl A
5.920%, 05/25/12 7,770 8,334
Wachovia Bank Commercial Mortgage
Trust, Ser 2002-C1, Cl A4
6.287%, 04/15/34 2,587 2,287
Wachovia Bank Commercial Mortgage
Trust, Ser 2002-C2, Cl A4
4.980%, 11/15/34 5,996 4,940
Wachovia Bank Commercial Mortgage
Trust, Ser 2003-C5, Cl A2
3.989%, 06/15/35 955 753
Wachovia Bank Commercial Mortgage
Trust, Ser 2003-C6, Cl A3
4.957%, 01/15/09 (A) 4,281 3,833
Wachovia Bank Commercial Mortgage
Trust, Ser 2003-C7, Cl A1
4.241%, 10/15/35 (B) 524 478
Wachovia Bank Commercial Mortgage
Trust, Ser 2003-C8, Cl A3
4.445%, 11/15/35 1,021 931
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
130
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Wachovia Bank Commercial Mortgage
Trust, Ser 2004-C10, Cl A4
4.748%, 02/15/41 $ 3,585 $ 2,720
Wachovia Bank Commercial Mortgage
Trust, Ser 2005-C18, Cl A4
4.935%, 04/15/42 1,945 1,398
Wachovia Bank Commercial Mortgage
Trust, Ser 2005-C20, Cl A4
5.285%, 01/15/09 (A) 280 257
Wachovia Bank Commercial Mortgage
Trust, Ser 2006-C26, Cl A3
6.011%, 01/15/09 (A) 3,067 1,967
Wachovia Bank Commercial Mortgage
Trust, Ser 2006-C26, Cl APB
5.997%, 06/15/45 2,738 2,054
WaMu Mortgage Pass-Through
Certificates, Ser 2006-AR13, Cl 2A
4.269%, 01/25/09 (A) 1,785 913
WaMu Mortgage Pass-Through
Certificates, Ser 2007-HY3, Cl 4A1
5.349%, 01/25/09 (A) 563 343
WaMu Mortgage Pass-Through
Certificates, Ser 2002-AR18, Cl A
6.160%, 01/25/09 (A) 441 351
WaMu Mortgage Pass-Through
Certificates, Ser 2003-MS1, Cl 1A
5.000%, 02/25/18 1,035 995
WaMu Mortgage Pass-Through
Certificates, Ser 2003-S13, Cl 22A1
5.000%, 12/25/18 857 807
WaMu Mortgage Pass-Through
Certificates, Ser 2005-AR11, Cl A1A
1.715%, 12/25/08 (A) 192 80
WaMu Mortgage Pass-Through
Certificates, Ser 2005-AR13, Cl A1A1
1.685%, 12/25/08 (A) 4,858 1,974
WaMu Mortgage Pass-Through
Certificates, Ser 2005-AR15, Cl A1A2
1.675%, 12/25/08 (A) 7,500 3,090
WaMu Mortgage Pass-Through
Certificates, Ser 2005-AR16, Cl 1A4A
5.103%, 01/25/09 (A) 13,585 9,488
WaMu Mortgage Pass-Through
Certificates, Ser 2005-AR19, Cl A1A2
1.685%, 12/25/08 (A) 7,392 3,360
WaMu Mortgage Pass-Through
Certificates, Ser 2006-AR1, Cl 1A1B
3.549%, 01/25/09 (A) 3,668 807
WaMu Mortgage Pass-Through
Certificates, Ser 2006-AR12, Cl 1A1
6.063%, 01/25/09 (A) (H) 1,637 1,357
WaMu Mortgage Pass-Through
Certificates, Ser 2006-AR14, Cl 1A4
5.635%, 01/25/09 (A) 603 308
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
WaMu Mortgage Pass-Through
Certificates, Ser 2006-AR15, Cl 1A1B
3.319%, 01/25/09 (A) $ 2,115 $ 536
WaMu Mortgage Pass-Through
Certificates, Ser 2006-AR15, Cl 2A1B
3.979%, 01/25/09 (A) 2,329 466
WaMu Mortgage Pass-Through
Certificates, Ser 2006-AR15, Cl 1A
3.319%, 01/25/09 (A) 3,667 1,278
WaMu Mortgage Pass-Through
Certificates, Ser 2006-AR16, Cl 2A4
5.637%, 01/25/09 (A) 499 224
WaMu Mortgage Pass-Through
Certificates, Ser 2006-AR17, Cl 1A1B
3.289%, 01/25/09 (A) 708 206
WaMu Mortgage Pass-Through
Certificates, Ser 2006-AR17, Cl 2A
4.193%, 01/25/09 (A) 794 318
WaMu Mortgage Pass-Through
Certificates, Ser 2006-AR18, Cl 2A3
5.491%, 01/25/09 (A) 1,535 996
WaMu Mortgage Pass-Through
Certificates, Ser 2006-AR4, Cl DA
3.449%, 01/25/09 (A) 1,640 656
WaMu Mortgage Pass-Through
Certificates, Ser 2006-AR5, Cl A1A
3.469%, 01/25/09 (A) 2,456 811
WaMu Mortgage Pass-Through
Certificates, Ser 2006-AR7, Cl A1B
3.399%, 01/25/09 (A) 1,237 329
WaMu Mortgage Pass-Through
Certificates, Ser 2006-AR7, Cl 1A
3.645%, 01/25/09 (A) 369 134
WaMu Mortgage Pass-Through
Certificates, Ser 2007-0A4, Cl 1A
3.249%, 01/25/09 (A) 1,135 487
WaMu Mortgage Pass-Through
Certificates, Ser 2007-HY1, Cl 1A1
5.710%, 01/25/09 (A) 8,175 4,391
WaMu Mortgage Pass-Through
Certificates, Ser 2007-HY1, Cl 4A1
5.454%, 01/25/09 (A) 10,757 6,902
WaMu Mortgage Pass-Through
Certificates, Ser 2007-HY3, Cl 1A1
5.659%, 01/25/09 (A) 9,230 4,557
WaMu Mortgage Pass-Through
Certificates, Ser 2007-HY6, Cl 3A2
5.814%, 01/25/09 (A) 4,684 2,607
WaMu Mortgage Pass-Through
Certificates, Ser 2007-HY6, Cl 2A1
5.691%, 01/25/09 (A) 3,753 1,721
WaMu Mortgage Pass-Through
Certificates, Ser 2007-HY6, Cl 1A1
5.665%, 01/25/09 (A) 1,669 854
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
131
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
WaMu Mortgage Pass-Through
Certificates, Ser 2007-HY7, Cl 2A1
5.866%, 01/25/09 (A) $ 1,452 $ 681
WaMu Mortgage Pass-Through
Certificates, Ser 2007-HY7, Cl 3A1
5.898%, 01/25/09 (A) 861 427
WaMu Mortgage Pass-Through
Certificates, Ser 2007-OA5, Cl A1B
3.319%, 01/25/09 (A) 18,217 6,715
WaMu Mortgage Pass-Through
Certificates, Ser 2007-OA5, Cl 1A1B
3.229%, 01/25/09 (A) 669 193
WaMu Mortgage Pass-Through
Certificates, Ser 2007-OA5, Cl 1A
3.229%, 01/25/09 (A) 16,310 7,859
WaMu Mortgage Pass-Through
Certificates, Ser 2007-OA6, Cl 1A1B
3.289%, 01/25/09 (A) 782 230
WaMu Mortgage Pass-Through
Certificates, Ser 2007-OA6, Cl 1A
3.289%, 01/25/09 (A) 14,436 6,148
WaMu Mortgage Pass-Through
Certificates, Ser 2009-AR19, Cl 1A
3.219%, 01/25/09 (A) 2,684 936
Wells Fargo Alternative Loan Trust,
Ser 2007-PA2, Cl 1A5
6.000%, 06/25/37 873 368
Wells Fargo Alternative Loan Trust,
Ser 2007-PA5, Cl 1A2
6.250%, 11/25/37 448 205
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2004-H, Cl A1
4.530%, 01/25/09 (A) 5,282 3,885
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2004-L, Cl A5
4.786%, 01/25/09 (A) 881 653
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2004-L, Cl A6
4.786%, 01/25/09 (A) 895 630
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2004-O, Cl A1
4.895%, 01/25/09 (A) 1,092 781
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2004-S, Cl A7
3.732%, 01/25/09 (A) 780 759
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2005-AR10, Cl 2A17
3.617%, 01/25/09 (A) 2,085 2,015
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2005-AR14, Cl A1
5.387%, 01/25/09 (A) 1,256 860
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2005-AR16, Cl 7A1
5.258%, 01/25/09 (A) 3,588 2,533
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2006-2, Cl 3A1
5.750%, 03/25/36 $ 14,899 $ 11,421
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2006-7, Cl 3A1
6.000%, 06/25/36 681 508
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2006-AR18, Cl 1A1
5.927%, 01/25/09 (A) 1,544 995
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2006-AR19, Cl A1
5.630%, 01/25/09 (A) 1,360 858
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2006-AR6, Cl 7A1
5.113%, 01/25/09 (A) 2,640 1,844
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2007-R9, Cl A1
6.000%, 01/25/09 (A) 1,683 1,010
Zuni Mortgage Loan Trust,
Ser 2006-OA1, Cl A1
1.525%, 12/26/08 (A) 6,919 6,494
-------------
799,268
-------------
Total Mortgage-Backed Securities
(Cost $4,012,336) ($ Thousands) 3,760,375
-------------
CORPORATE OBLIGATIONS -- 23.1%
CONSUMER DISCRETIONARY -- 1.9%
British Sky Broadcasting Group
9.500%, 11/15/18 (B) 2,465 2,478
Clear Channel Communications
6.250%, 03/15/11 (C) 2,740 767
4.250%, 05/15/09 1,040 928
Comcast
6.950%, 08/15/37 358 301
6.500%, 01/15/15 3,635 3,331
6.500%, 01/15/17 2,707 2,443
6.400%, 05/15/38 365 287
6.300%, 11/15/17 349 307
5.900%, 03/15/16 339 296
5.850%, 11/15/15 733 641
5.700%, 05/15/18 2,853 2,396
Comcast Cable Communications
8.375%, 03/15/13 11,210 11,197
6.750%, 01/30/11 1,840 1,816
COX Communications
7.875%, 08/15/09 440 425
6.950%, 06/01/38 (B) 646 517
6.250%, 06/01/18 (B) 1,711 1,467
CVS
5.789%, 01/10/26 (B) 2,055 1,621
CVS Lease Pass-Through
6.036%, 12/10/28 (B) 10,363 8,226
5.880%, 01/10/28 (B) 184 144
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
132
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Daimler Finance North America LLC
MTN
3.169%, 12/15/08 (A) $ 4,725 $ 4,506
DaimlerChrysler
8.500%, 01/18/31 910 675
7.300%, 01/15/12 1,995 1,633
6.500%, 11/15/13 6,275 4,714
Eastman Kodak
7.250%, 11/15/13 2,445 1,736
Ford Motor
7.450%, 07/16/31 (C) 2,770 693
Home Depot
5.875%, 12/16/36 1,831 1,184
JetBlue Airways Private Trust,
Ser 2004-2, Cl G1
2.524%, 02/17/09 (A) 3,987 2,847
Macy's Retail Holdings
5.350%, 03/15/12 1,617 1,133
McDonald's MTN
6.300%, 10/15/37 1,253 1,185
5.350%, 03/01/18 6,930 6,789
Rogers Cable
5.500%, 03/15/14 1,160 1,052
Target
4.000%, 06/15/13 355 314
Thomson Reuters
6.500%, 07/15/18 337 308
5.950%, 07/15/13 2,433 2,310
Time Warner
7.700%, 05/01/32 5,349 4,627
6.875%, 05/01/12 350 322
Time Warner Cable
8.750%, 02/14/19 10,528 10,360
7.300%, 07/01/38 630 525
6.750%, 07/01/18 1,081 948
6.200%, 07/01/13 710 652
5.850%, 05/01/17 1,230 1,033
5.500%, 11/15/11 1,140 1,028
Time Warner Entertainment
8.375%, 07/15/33 2,395 2,059
Viacom
6.875%, 04/30/36 1,712 1,238
Wal-Mart Stores
6.200%, 04/15/38 1,550 1,484
5.800%, 02/15/18 3,360 3,504
Walt Disney
4.700%, 12/01/12 1,306 1,283
Yum! Brands
6.875%, 11/15/37 2,385 1,667
-------------
101,397
-------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
CONSUMER STAPLES -- 1.2%
Altria Group
9.950%, 11/10/38 $ 5,424 $ 5,385
9.700%, 11/10/18 14,150 14,341
Anheuser-Busch
5.500%, 01/15/18 761 666
4.625%, 02/01/15 479 416
4.500%, 04/01/18 786 632
CVS
5.750%, 06/01/17 366 318
Diageo Capital
7.375%, 01/15/14 8,280 8,628
5.750%, 10/23/17 930 841
5.200%, 01/30/13 1,570 1,504
Dr Pepper Snapple Group
7.450%, 05/01/38 (B) 821 727
6.820%, 05/01/18 (B) 3,342 3,161
Kraft Foods
7.000%, 08/11/37 1,657 1,476
6.500%, 08/11/17 323 307
6.125%, 02/01/18 6,161 5,679
6.125%, 08/23/18 1,995 1,832
Kroger
6.800%, 12/15/18 243 229
PepsiCo
7.900%, 11/01/18 6,216 6,948
Philip Morris Capital
7.500%, 07/16/09 1,155 1,158
Philip Morris International
6.375%, 05/16/38 535 460
5.650%, 05/16/18 848 761
Reynolds American
7.875%, 05/15/09 (C) 1,630 1,604
Safeway
6.350%, 08/15/17 5,196 4,841
-------------
61,914
-------------
ENERGY -- 2.7%
Anadarko Finance, Ser B
7.500%, 05/01/31 5,363 4,353
Anadarko Petroleum
6.450%, 09/15/36 1,665 1,289
5.950%, 09/15/16 6,320 5,536
3.219%, 12/15/08 (A) 4,650 4,457
Apache
6.000%, 09/15/13 3,300 3,361
5.625%, 01/15/17 390 368
Baker Hughes
7.500%, 11/15/18 5,380 5,644
Conoco Funding
7.250%, 10/15/31 885 859
6.950%, 04/15/29 3,685 3,504
6.350%, 10/15/11 430 442
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
133
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
ConocoPhillips
5.900%, 10/15/32 $ 10 $ 9
5.900%, 05/15/38 700 589
Devon Financing
6.875%, 09/30/11 4,965 4,983
El Paso
6.950%, 06/01/28 2,250 1,267
El Paso Natural Gas
5.950%, 04/15/17 930 713
Energy Transfer Partners
6.700%, 07/01/18 4,900 4,060
Florida Power
6.400%, 06/15/38 2,160 2,076
Gaz Capital for Gazprom
6.510%, 03/07/22 (B) 4,640 2,366
6.212%, 11/22/16 (B) 8,377 4,901
Hess
7.875%, 10/01/29 1,130 1,009
7.300%, 08/15/31 4,595 3,836
Husky Energy
6.800%, 09/15/37 980 717
Husky Oil
7.550%, 11/15/16 1,215 1,116
KazMunaiGaz Finance MTN
8.375%, 07/02/13 (B) 5,870 4,461
Kerr-McGee
6.950%, 07/01/24 2,325 1,926
Kinder Morgan Energy Partners
7.125%, 03/15/12 1,760 1,687
6.950%, 01/15/38 3,660 2,729
6.000%, 02/01/17 3,140 2,691
5.950%, 02/15/18 2,570 2,127
5.000%, 12/15/13 1,190 1,020
Knight
6.500%, 09/01/12 8,190 6,552
Mantis Reef
4.799%, 11/03/09 (B) 1,397 1,395
Northwest Pipeline
6.050%, 06/15/18 990 850
Occidental Petroleum
7.000%, 11/01/13 (C) 7,060 7,606
Panhandle Eastern Pipeline
6.200%, 11/01/17 784 606
Pemex Project Funding Master Trust
6.625%, 06/15/35 (B) 140 105
6.625%, 06/15/35 (C) 5,622 4,227
Petrobras International Finance
6.125%, 10/06/16 3,790 3,458
5.875%, 03/01/18 5,180 4,484
Petro-Canada
6.800%, 05/15/38 1,740 1,237
Plains All American Pipeline
6.500%, 05/01/18 2,584 1,987
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Ras Laffan Liquefied Natural Gas III
6.332%, 09/30/27 (B) $ 2,340 $ 1,682
Sonat
7.625%, 07/15/11 2,880 2,382
Southern Natural Gas
5.900%, 04/01/17 (H) (I) (J) 2,375 1,817
Spectra Energy Capital LLC
7.500%, 09/15/38 1,915 1,461
TransCanada Pipelines
7.250%, 08/15/38 1,300 1,119
Transcontinental Gas Pipe Line
6.050%, 06/15/18 1,148 986
Transocean
6.000%, 03/15/18 2,511 2,223
Weatherford International
7.000%, 03/15/38 865 668
6.350%, 06/15/17 1,790 1,546
5.950%, 06/15/12 1,465 1,350
Williams
8.750%, 03/15/32 2,170 1,584
7.750%, 06/15/31 740 499
Williams, Ser A
7.500%, 01/15/31 20 13
XTO Energy
7.500%, 04/15/12 1,320 1,303
6.750%, 08/01/37 390 321
6.500%, 12/15/18 2,970 2,742
5.750%, 12/15/13 5,025 4,723
5.650%, 04/01/16 390 344
5.500%, 06/15/18 5,622 4,862
-------------
138,228
-------------
FINANCIALS -- 10.5%
ABX Financing
6.350%, 10/15/36 (B) 5,200 4,185
Ace INA Holdings
6.700%, 05/15/36 610 474
5.700%, 02/15/17 1,290 1,086
Aegon, Ser CMS
4.567%, 01/15/09 (A) 2,180 590
Aiful
5.000%, 08/10/10 (B) 2,620 1,712
4.450%, 02/16/10 (B) 3,322 2,463
Allied Capital (H)
6.625%, 07/15/11 6,930 5,250
Allied World Assurance Holdings
7.500%, 08/01/16 2,000 1,569
American Express
8.150%, 03/19/38 1,724 1,600
7.000%, 03/19/18 889 771
6.800%, 03/01/09 (A) 1,725 951
5.875%, 05/02/13 (C) 2,100 1,888
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
134
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
American Express Bank
5.500%, 04/16/13 (C) $ 4,165 $ 3,692
American General Finance MTN
6.900%, 12/15/17 2,300 950
American International Group
8.250%, 08/15/18 (B) (C) 880 588
6.250%, 03/15/37 5,000 1,368
5.850%, 01/16/18 4,246 2,521
ASIF Global Financing XIX
4.900%, 01/17/13 (B) 450 330
Australia & New Zealand Banking Group
3.588%, 04/30/09 (A) 1,400 896
BAC Capital Trust XIV
5.630%, 03/15/09 (A) 2,287 962
Bank of America
8.125%, 05/15/09 (A) 1,287 904
8.000%, 01/30/09 (A) (C) 7,748 5,381
5.750%, 12/01/17 2,270 2,117
5.650%, 05/01/18 5,581 5,173
5.420%, 03/15/17 2,500 2,147
5.375%, 06/15/14 1,060 1,007
Bank of Ireland
3.500%, 12/22/08 (A) 1,030 618
Bank of Scotland
2.750%, 05/29/09 (A) 330 121
Bank One
7.875%, 08/01/10 4,440 4,566
BankAmerica Capital II, Ser 2
8.000%, 12/15/26 402 342
Banponce Trust I, Ser A
8.327%, 02/01/27 2,590 2,179
Barclays Bank
6.050%, 12/04/17 (B) 1,154 984
3.313%, 02/27/09 (A) 380 198
3.250%, 01/20/09 (A) 780 462
Barclays O/S Investment
2.875%, 05/18/09 (A) 160 102
Barnett Capital III
3.818%, 02/01/09 (A) 600 286
Bear Stearns
7.250%, 02/01/18 3,960 4,009
6.400%, 10/02/17 11,020 10,582
BNP Paribas
3.998%, 03/31/09 (A) 1,080 561
BP Capital Markets
5.250%, 11/07/13 7,600 7,624
BRE Properties
7.450%, 01/15/11+++ 3,100 2,839
Capital One Financial MTN
3.097%, 12/10/08 (A) 2,180 2,012
Caterpillar Financial Services MTN
6.200%, 09/30/13 5,640 5,640
5.450%, 04/15/18 (C) 1,912 1,686
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Cedar Brakes II LLC
9.875%, 09/01/13 (B) $ 4,383 $ 4,553
Citigroup
8.400%, 04/30/09 (A) 8,968 5,295
6.875%, 03/05/38 (C) 12,160 11,289
6.500%, 08/19/13 14,105 13,447
6.125%, 05/15/18 3,700 3,382
5.500%, 02/15/17 10,000 8,094
5.500%, 04/11/13 4,479 4,076
5.000%, 09/15/14 2,890 2,370
3.625%, 02/09/09 2,590 2,565
Citigroup Capital XXI
8.300%, 12/21/08 (A) 6,050 3,649
Countrywide Financial MTN
5.800%, 06/07/12 5,353 5,081
4.000%, 03/22/11 5,750 5,369
3.418%, 12/24/08 (A) 8,284 8,199
Credit Suisse First Boston
6.000%, 02/15/18 (C) 11,015 9,314
5.000%, 05/15/13 (C) 7,985 7,529
4.000%, 12/31/08 (A) 655 426
Danske Bank
5.914%, 12/16/08 (A) (B) 536 348
Delta Air Lines
6.619%, 03/18/11 369 310
DEN Norske Creditbank
2.500%, 02/27/09 (A) 390 194
Depfa ACS Bank
5.125%, 03/16/37 (B) 4,200 4,026
Deutsche Bank Capital Funding Trust
5.628%, 01/19/09 (A) (B) 4,789 3,045
Dresdner Funding Trust I
8.151%, 06/30/31 (B) 1,336 674
Eksportfinans
5.500%, 05/25/16 4,250 4,423
Equity One
3.875%, 04/15/09+++ 7,100 6,880
Export-Import Bank of Korea
5.500%, 10/17/12 3,415 3,021
Farmers Exchange Capital
7.200%, 07/15/48 (B) 3,582 2,318
7.050%, 07/15/28 (B) 1,063 722
Farmers Insurance Exchange
8.625%, 05/01/24 (B) 4,118 2,930
Fifth Third Bancorp
8.250%, 03/01/38 994 782
First Industrial MTN
7.500%, 12/01/17 2,765 1,752
Ford Motor Credit LLC
7.875%, 06/15/10 7,200 3,670
7.375%, 10/28/09 15,740 9,610
Fund American
5.875%, 05/15/13 1,448 1,082
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
135
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
General Electric Capital
6.375%, 05/15/09 (A) $ 8,380 $ 5,361
6.150%, 08/07/37 1,450 1,228
5.875%, 01/14/38 1,347 1,103
5.625%, 05/01/18 (C) 4,800 4,434
3.079%, 12/15/08 (A) 6,550 5,228
General Electric Capital, Ser A MTN
3.750%, 12/15/09 3,573 3,534
Glen Meadow Pass-Through Trust
6.505%, 02/15/09 (A) (B) 2,900 1,439
Glitnir Banki
7.451%, 09/14/16 (B) 500 1
6.693%, 06/15/16 (B) 4,480 6
6.375%, 09/25/12 (B) 3,100 108
6.330%, 07/28/11 (B) 2,440 85
GMAC LLC
7.750%, 01/19/10 (C) 2,370 1,257
7.250%, 03/02/11 (C) 2,755 1,125
5.625%, 05/15/09 (C) 7,680 5,292
5.011%, 03/02/09 (A) 8,259 2,478
Goldman Sachs Capital II
5.793%, 06/01/09 (A) 21,320 8,006
Goldman Sachs Group
6.750%, 10/01/37 6,175 3,959
6.600%, 01/15/12 2,630 2,457
6.150%, 04/01/18 7,500 6,119
5.450%, 11/01/12 2,250 2,007
5.319%, 01/12/09 (A) 3,000 2,289
5.150%, 01/15/14 2,600 2,219
5.125%, 01/15/15 2,415 1,974
4.500%, 06/15/10 (C) 450 425
4.459%, 01/22/09 (A) 1,000 786
HBOS
6.750%, 05/21/18 (B) (C) 2,400 1,994
5.920%, 04/01/09 (A) (B) 8,400 4,228
5.375%, 05/01/09 (A) (B) 962 499
HBOS Capital Funding
6.071%, 12/31/08 (A) (B) 1,920 885
HCP
6.000%, 01/30/17+++ 6,000 3,389
5.650%, 12/15/13+++ 4,035 2,411
Highwoods Properties
7.500%, 04/15/18+++ 1,339 938
Hongkong & Shanghai Banking
3.813%, 01/26/09 (A) 750 397
HSBC Bank, Ser 1M
3.438%, 12/31/08 (A) 230 122
HSBC Bank, Ser 3M
3.288%, 12/23/08 (A) 2,320 1,230
HSBC Finance
8.000%, 07/15/10 2,330 2,311
7.000%, 05/15/12 1,975 1,899
6.375%, 11/27/12 365 346
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
HSBC Holdings
6.800%, 06/01/38 (C) $ 1,825 $ 1,527
HVB Funding Trust III
9.000%, 10/22/31 (B) 1,226 493
ILFC E-Capital Trust II
6.250%, 12/21/08 (A) (B) 1,200 409
Intergas Finance
6.375%, 05/14/17 (B) 4,853 2,669
John Deere Capital MTN
5.750%, 09/10/18 853 758
5.350%, 04/03/18 660 583
JPMorgan Chase
7.900%, 04/30/09 (A) 9,264 7,252
6.400%, 05/15/38 7,900 7,746
6.000%, 10/01/17 2,855 2,649
5.750%, 01/02/13 3,670 3,544
5.150%, 10/01/15 240 220
5.125%, 09/15/14 445 405
JPMorgan Chase Capital XIII
4.712%, 12/30/08 (A) 1,440 1,061
JPMorgan Chase Capital XVIII
6.950%, 08/17/36 990 707
JPMorgan Chase Capital XX
6.550%, 09/29/36 709 514
JPMorgan Chase Capital XXV
6.800%, 10/01/37 3,785 2,789
Kaupthing Bank
7.625%, 02/28/15 (B) 8,130 325
7.125%, 05/19/16 (B) (D) 12,000 120
5.750%, 10/04/11 (B) 1,120 67
Landsbanki Islands
6.100%, 08/25/11 (B) 6,520 65
Lazard Group
7.125%, 05/15/15 5,095 3,164
6.850%, 06/15/17 3,725 2,214
Lehman Brothers Holdings MTN
14.500%, 12/20/08 (A) (D) 4,940 503
11.000%, 05/07/09 (A) (D) 5,269 537
8.920%, 02/16/17 (D) 3,023 308
6.750%, 12/28/17 (D) 10,370 1
6.500%, 07/19/17 (D) 4,040 --
6.200%, 09/26/14 (D) 1,560 156
5.250%, 02/06/12 (D) 965 97
Lehman Brothers Holdings Capital
Trust V MTN
5.857%, 11/29/49 (D) 20,630 2
Lehman Brothers Holdings, Ser H MTN
12.500%, 11/30/08 (A) (D) 3,736 381
Liberty Mutual Group
7.500%, 08/15/36 (H) 2,479 1,586
Liberty Property
7.750%, 04/15/09+++ 1,026 1,018
6.375%, 08/15/12+++ 397 344
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
136
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Lloyds TSB Bank
3.500%, 12/19/08 (A) $ 870 $ 451
Lloyds TSB Bank, Ser 2
2.375%, 02/27/09 (A) 760 400
Mangrove Bay Pass-Through Trust
6.102%, 07/15/33 (B) 2,095 546
Merna Reinsurance
5.512%, 12/31/08 (A) (B) 4,950 4,587
Merrill Lynch MTN
8.950%, 05/18/09 (A) 4,315 3,236
8.680%, 05/02/09 (A) 4,160 3,385
6.875%, 04/25/18 7,170 6,763
MetLife
6.817%, 08/15/18 (C) 2,500 2,182
6.400%, 12/15/36 10,010 5,403
6.375%, 06/15/34 538 420
MetLife Capital Trust IV
7.875%, 12/15/37 (B) 1,125 656
MetLife Capital Trust X
9.250%, 04/08/09 (A) (B) 2,700 1,796
Morgan Stanley MTN
6.750%, 04/15/11 3,362 3,169
6.625%, 04/01/18 14,965 12,411
6.250%, 08/28/17 2,815 2,303
5.950%, 12/28/17 3,655 2,941
5.300%, 03/01/13 2,050 1,752
5.050%, 01/21/11 1,050 992
5.033%, 01/15/09 (A) 2,250 2,100
4.953%, 01/20/09 (A) 7,725 5,336
4.750%, 04/01/14 2,270 1,646
MUFG Capital Finance 1
6.346%, 01/25/09 (A) 1,840 1,335
National Australia Bank
5.350%, 06/12/13 (B) 4,250 4,013
National Capital Trust II
5.486%, 12/17/08 (A) (B) 3,207 1,955
National City
6.875%, 05/15/19 4,000 3,202
National City Preferred Capital Trust I
12.000%, 12/10/08 (A) 331 304
National Rural Utilities Cooperative Finance
10.375%, 11/01/18 1,741 1,853
National Westminster Bank
3.313%, 02/23/09 (A) 740 407
National Westminster Bank, Ser C
2.438%, 02/27/09 (A) 160 88
Nationwide Mutual Insurance
6.600%, 04/15/34 (B) 2,483 1,168
NB Capital Trust IV
8.250%, 04/15/27 4,865 4,028
North Front Pass-Through Trust MTN
5.810%, 12/15/08 (A) (B) 5,291 2,460
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Paribas
3.438%, 12/29/08 (A) $ 693 $ 414
Pemex Finance
9.690%, 08/15/09 375 376
PNC Funding
5.250%, 11/15/15 2,575 2,367
Power Receivables Finance
6.290%, 01/01/12 (B) 800 780
6.290%, 01/01/12 2,532 2,471
Prime Property Fund
5.600%, 06/15/11+++ (B) 3,380 2,979
5.500%, 01/15/14+++ (B) 5,000 3,817
Progressive
6.700%, 12/15/08 (A) 1,442 766
Prudential Financial MTN
6.625%, 12/01/37 (C) 1,294 917
6.000%, 12/01/17 775 615
5.700%, 12/14/36 351 210
Rabobank Capital Funding II
5.260%, 12/31/08 (A) (B) 1,171 757
Rabobank Capital Funding Trust
5.254%, 12/31/08 (A) (B) 440 289
RBS Capital Trust III
5.512%, 03/31/09 (A) 400 185
Residential Capital LLC
9.625%, 05/15/15 (B) 1,952 200
8.500%, 05/15/10 (B) (C) 4,741 1,375
Resona Preferred Global Securities Cayman
7.191%, 07/30/49 (A) (B) (C) 2,590 1,303
Royal Bank of Canada
3.399%, 12/21/08 (A) 1,010 772
Royal Bank of Scotland Group
7.640%, 03/31/09 (A) 1,300 628
6.990%, 04/05/09 (A) (B) 2,230 1,230
3.375%, 12/23/08 (A) 2,530 1,569
RSHB Capital
6.299%, 05/15/17 (B) 5,600 2,883
Security Benefit Life Insurance
8.750%, 05/15/16 (B) 5,200 5,673
Shinsei Finance Cayman
6.418%, 01/29/49 (A) (B) (C) 4,960 1,166
Simon Property Group
5.750%, 05/01/12+++ (C) 1,875 1,464
3.750%, 01/30/09+++ 3,000 2,955
SMFG Preferred Capital
6.078%, 01/25/17 (A) (B) 6,810 4,716
Societe Generale
2.625%, 05/29/09 (A) 180 110
2.625%, 05/29/09 (A) 680 414
Standard Chartered
3.463%, 12/16/08 (A) 200 125
Standard Chartered, Ser 1
4.438%, 01/20/09 (A) 1,840 1,150
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
137
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Standard Chartered, Ser 2
2.813%, 05/28/09 (A) $ 2,800 $ 1,736
Standard Chartered, Ser 4
3.275%, 01/20/09 (A) 290 181
Stingray Pass-Through Trust MTN
5.902%, 01/12/15 (B) 3,600 432
SunTrust Capital VIII
6.100%, 12/15/08 (A) (C) 5,450 3,455
SunTrust Preferred Capital I
5.853%, 12/15/08 (A) 17,379 7,821
TNK-BP Finance MTN
7.875%, 03/13/18 (B) 2,140 920
7.500%, 07/18/16 140 65
7.500%, 07/18/16 (B) 3,750 1,650
6.625%, 03/20/17 (B) 1,750 717
Toll Road Investors Partnership II
5.050%, 02/15/45 (B) (E) 5,923 669
Travelers
6.250%, 03/15/09 (A) 5,890 3,256
Twin Reefs Pass-Through Trust
2.768%, 12/10/08 (A) (B) 641 33
UDR MTN
5.000%, 01/15/12+++ 2,000 1,393
USB Capital IX
6.189%, 04/15/09 (A) 1,518 789
Wachovia
7.980%, 03/15/09 (A) 562 403
5.250%, 08/01/14 250 207
Wachovia Bank
6.600%, 01/15/38 840 720
6.000%, 11/15/17 6,800 6,006
Wachovia Capital Trust III
5.800%, 03/15/09 (A) 4,027 1,732
WEA Finance LLC
7.125%, 04/15/18 (B) (C) 10,560 7,216
Wells Fargo
5.000%, 11/15/14 1,145 1,117
Wells Fargo Capital X
5.950%, 12/15/36 (C) 960 735
Wells Fargo Capital XV
9.750%, 03/26/09 (A) (C) 8,833 8,347
Westfield Capital
4.375%, 11/15/10 (B) 4,600 3,693
Westfield Group
5.400%, 10/01/12 (B) 2,563 2,005
Westpac Banking
4.056%, 03/31/09 (A) 870 572
Westpac Capital Trust IV
5.256%, 03/31/09 (A) (B) 1,259 748
Woodbourne Capital Trust I
2.723%, 12/08/08 (A) (B) 625 356
Woodbourne Capital Trust II
2.723%, 12/08/08 (A) (B) 625 356
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Woodbourne Capital Trust III
2.723%, 12/08/08 (A) (B) $ 625 $ 356
Woodbourne Capital Trust IV
2.723%, 12/08/08 (A) (B) 625 356
ZFS Finance USA Trust I
6.150%, 12/15/08 (A) (B) 2,549 1,669
-------------
551,269
-------------
HEALTH CARE -- 0.8%
Abbott Laboratories
5.600%, 11/30/17 470 470
AstraZeneca
5.400%, 09/15/12 1,320 1,366
5.400%, 06/01/14 1,065 1,088
Bristol-Myers Squibb
6.125%, 05/01/38 1,101 1,024
Cardinal Health
5.850%, 12/15/17 4,875 4,096
Coventry Health Care
5.950%, 03/15/17 3,870 2,020
GlaxoSmithKline
5.650%, 05/15/18 7,510 7,238
GlaxoSmithKline Capital
6.375%, 05/15/38 2,300 2,176
HCA
5.750%, 03/15/14 5,548 3,190
Humana
7.200%, 06/15/18 (C) 1,270 1,044
Schering-Plough
6.550%, 09/15/37 (C) 2,755 2,439
Tenet Healthcare
7.375%, 02/01/13 168 116
UnitedHealth Group
6.875%, 02/15/38 (C) 3,864 2,989
WellPoint
5.875%, 06/15/17 330 283
Wyeth
6.950%, 03/15/11 7,029 7,270
5.950%, 04/01/37 3,610 3,289
-------------
40,098
-------------
INDUSTRIALS -- 1.5%
Air 2 US
8.027%, 10/01/19 (B) 3,096 2,167
America West Airlines, Ser 99-1
7.930%, 01/02/19 1,545 1,150
American Airlines, Ser 99-1
7.024%, 10/15/09 2,320 2,192
Burlington Northern Santa Fe
6.200%, 08/15/36 412 344
6.150%, 05/01/37 (C) 523 433
5.750%, 03/15/18 2,175 1,983
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
138
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Cedar Brakes I LLC
8.500%, 02/15/14 (B) $ 1,306 $ 1,236
Continental Airlines
5.983%, 04/19/22 3,329 2,214
Continental Airlines, Ser 971A
7.461%, 04/01/15 1,474 1,105
Continental Airlines, Ser 99-2
7.256%, 03/15/20 1,262 959
Continental Airlines, Ser AMBC
6.236%, 03/15/20 2,045 1,370
CSX
7.450%, 04/01/38 1,461 1,275
6.250%, 04/01/15 930 867
6.250%, 03/15/18 972 853
Delta Air Lines
7.379%, 05/18/10 (C) 1,603 1,474
6.821%, 08/10/22 2,431 1,531
Delta Air Lines, Ser 2001-1
7.111%, 09/18/11 14,850 11,806
General Electric
5.250%, 12/06/17 1,700 1,558
Honeywell International
5.300%, 03/01/18 857 823
Hutchison Whampoa International
7.450%, 11/24/33 (B) 1,405 1,146
News America
6.650%, 11/15/37 (B) 1,422 1,140
6.650%, 11/15/37 (C) 260 209
6.200%, 12/15/34 (C) 315 239
Nordstrom
7.000%, 01/15/38 1,720 1,093
Norfolk Southern
7.250%, 02/15/31 2,013 1,906
7.050%, 05/01/37 (C) 221 217
5.750%, 04/01/18 178 163
Northwest Airlines, Ser 1A-2
6.841%, 04/01/11 4,500 3,690
Tyco International Group
7.000%, 12/15/19 (C) 1,875 1,546
6.875%, 01/15/21 6,490 5,051
6.750%, 02/15/11 1,170 1,131
6.375%, 10/15/11 5,490 5,081
6.125%, 01/15/09 120 120
6.000%, 11/15/13 1,945 1,684
Union Pacific
7.875%, 01/15/19 (C) 1,166 1,237
6.625%, 02/01/29 947 843
5.700%, 08/15/18 1,253 1,155
United Air Lines
6.602%, 09/01/13 800 768
United Parcel Service
4.500%, 01/15/13 (C) 7,640 7,769
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
United Technologies
6.500%, 06/01/09 $ 1,670 $ 1,691
5.400%, 05/01/35 670 559
Waste Management
7.375%, 05/15/29 5 4
7.125%, 12/15/17 4,840 4,876
7.100%, 08/01/26 1,375 1,061
-------------
79,719
-------------
INFORMATION TECHNOLOGY -- 0.4%
Corning
7.250%, 08/15/36 (H) 935 695
Electronic Data Systems
7.125%, 10/15/09 2,990 3,025
Hewlett-Packard
5.500%, 03/01/18 (C) 1,156 1,072
International Business Machines
8.000%, 10/15/38 1,242 1,380
7.625%, 10/15/18 3,849 4,137
Lexmark International
6.650%, 06/01/18 803 625
5.900%, 06/01/13 913 730
Oracle
5.750%, 04/15/18 3,813 3,574
5.250%, 01/15/16 708 672
Xerox
6.350%, 05/15/18 (C) 3,390 2,431
5.500%, 05/15/12 1,940 1,550
-------------
19,891
-------------
MATERIALS -- 0.6%
Alcoa
6.000%, 07/15/13 6,265 5,376
Codelco
4.750%, 10/15/14 (B) 900 823
Freeport-McMoRan Copper & Gold
8.375%, 04/01/17 7,725 5,485
International Paper
8.700%, 06/15/38 932 621
7.950%, 06/15/18 1,305 1,024
PPG Industries
6.650%, 03/15/18 615 582
5.750%, 03/15/13 615 593
Rio Tinto Finance USA
6.500%, 07/15/18 7,890 5,423
5.875%, 07/15/13 5,225 4,061
Stauffer Chemical
6.725%, 04/15/18 (E) 860 472
6.701%, 04/15/17 (E) 350 199
4.520%, 04/15/10 (E) 300 275
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
139
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Vale Overseas
8.250%, 01/17/34 $ 210 $ 202
6.875%, 11/21/36 7,748 6,312
Weyerhaeuser
6.750%, 03/15/12 410 351
-------------
31,799
-------------
SOVEREIGN -- 0.4%
Canadian Government Bond
4.000%, 12/01/31 1,228 1,201
Deutsche Bundesrepublik
3.750%, 01/04/15 6,750 8,990
Russian Federation Registered
7.500%, 03/31/30 1,055 876
United Mexican States MTN
7.500%, 04/08/33 218 206
5.625%, 01/15/17 84 75
United Mexican States, Ser A MTN
6.750%, 09/27/34 (C) 9,488 8,492
5.875%, 01/15/14 860 817
-------------
20,657
-------------
TELECOMMUNICATION SERVICES -- 1.5%
America Movil
5.625%, 11/15/17 2,350 1,971
AT&T
6.700%, 11/15/13 1,194 1,189
6.400%, 05/15/38 (C) 1,347 1,107
5.100%, 09/15/14 4,735 4,247
BellSouth
4.750%, 11/15/12 190 178
Bellsouth Telecommunications
7.000%, 12/01/95 2,415 1,638
British Telecommunications
9.125%, 12/15/30 2,595 2,437
8.375%, 12/15/10 1,310 1,308
5.950%, 01/15/18 449 383
Cellco Partnership
8.500%, 11/15/18 (B) (I) 7,241 7,306
7.375%, 11/15/13 (B) (C) (I) 5,145 5,097
Deutsche Telekom International Finance
5.875%, 08/20/13 302 273
5.750%, 03/23/16 2,175 1,890
Embarq
7.995%, 06/01/36 (C) 1,754 1,000
6.738%, 06/01/13 540 427
France Telecom
8.500%, 03/01/31 362 362
7.750%, 03/01/11 2,510 2,553
New Cingular Wireless Services
8.125%, 05/01/12 1,255 1,272
News America
6.150%, 03/01/37 301 223
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Qwest
7.500%, 10/01/14 (C) $ 4,060 $ 3,126
Rogers Communications
6.375%, 03/01/14 5,885 5,272
Royal
8.000%, 10/01/10 5,100 5,081
Sprint Capital
8.750%, 03/15/32 390 203
8.375%, 03/15/12 5,300 3,606
6.900%, 05/01/19 120 69
Telecom Italia Capital
6.999%, 06/04/18 (C) 3,980 2,985
5.250%, 11/15/13 580 441
5.250%, 10/01/15 370 266
4.950%, 09/30/14 1,320 964
Telefonica Emisiones
7.045%, 06/20/36 216 179
6.421%, 06/20/16 357 321
5.984%, 06/20/11 4,600 4,400
5.855%, 02/04/13 1,090 1,003
Verizon Communications
8.950%, 03/01/39 (C) 9,603 9,879
8.750%, 11/01/18 1,035 1,035
6.400%, 02/15/38 (C) 660 536
6.100%, 04/15/18 (C) 1,580 1,378
5.500%, 02/15/18 2,810 2,340
Verizon Global Funding
7.375%, 09/01/12 1,730 1,728
6.875%, 06/15/12 465 459
Vodafone Group PLC
5.625%, 02/27/17 337 286
-------------
80,418
-------------
UTILITIES -- 1.6%
Abu Dhabi National Energy
5.620%, 10/25/12 (B) 8,678 7,563
Allegheny Energy Supply
8.250%, 04/15/12 (H) (I) (J) 2,040 1,918
Arizona Public Services
8.000%, 12/30/15 684 748
CMS Energy
6.550%, 07/17/17 1,610 1,253
Commonwealth Edison
6.150%, 03/15/12 3,168 3,076
6.150%, 09/15/17 1,620 1,413
4.700%, 04/15/15 830 715
Consolidated Edison of New York
5.850%, 04/01/18 (C) 3,200 3,021
Constellation Energy Group
7.600%, 04/01/32 1,463 1,233
Dominion Resources
8.875%, 01/15/19 5,850 5,962
5.700%, 09/17/12 3,560 3,351
4.750%, 12/15/10 740 713
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
140
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Dominion Resources, Ser D
5.125%, 12/15/09 $ 850 $ 827
DPL
6.875%, 09/01/11 4,805 4,685
DTE Energy
7.050%, 06/01/11 6,528 6,469
Duke Energy
5.625%, 11/30/12 425 428
Duke Energy Carolinas
6.000%, 01/15/38 1,035 948
Exelon
5.625%, 06/15/35 2,605 1,512
FirstEnergy, Ser B
6.450%, 11/15/11 320 300
FirstEnergy, Ser C
7.375%, 11/15/31 5,825 4,791
FPL Group Capital
6.650%, 12/15/08 (A) 185 102
6.350%, 04/01/09 (A) 568 312
Hydro Quebec, Ser JL
6.300%, 05/11/11 1,050 1,101
Intergas Finance
6.375%, 05/14/17 370 207
Nevada Power
8.250%, 06/01/11 4,055 4,067
Nisource Finance
6.800%, 01/15/19 3,547 2,586
6.150%, 03/01/13 1,304 1,096
NorthWestern
5.875%, 11/01/14 1,532 1,364
Oncor Electric Delivery
7.500%, 09/01/38 (B) 1,035 889
6.800%, 09/01/18 (B) 4,894 4,405
Pacific Gas & Electric
8.250%, 10/15/18 1,130 1,254
6.050%, 03/01/34 (C) 3,275 2,855
5.800%, 03/01/37 840 703
Pacificorp
6.250%, 10/15/37 2,300 2,126
Power Contract Financing
6.256%, 02/01/10 (B) 1,886 1,837
Progress Energy
6.850%, 04/15/12 1,395 1,382
Public Service of New Mexico
7.950%, 05/15/18 3,000 2,610
SCANA MTN
6.250%, 04/01/20 1,137 956
TXU
6.500%, 11/15/24 410 170
TXU, Ser P
5.550%, 11/15/14 370 177
TXU, Ser R
6.550%, 11/15/34 (C) 4,385 1,755
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Virginia Electric and Power
8.875%, 11/15/38 $ 1,835 $ 1,994
-------------
84,874
-------------
Total Corporate Obligations
(Cost $1,564,324) ($ Thousands) 1,210,264
-------------
U.S. TREASURY OBLIGATIONS -- 8.7%
U.S. Treasury Bonds
8.875%, 02/15/19 (C) 7,358 10,733
7.125%, 02/15/23 (C) 3,742 5,104
6.250%, 08/15/23 (C) 9,565 12,226
6.250%, 05/15/30 653 892
5.375%, 02/15/31 (C) 40,618 50,496
5.000%, 05/15/37 1,079 1,360
4.375%, 02/15/38 (C) 26,406 30,600
U.S. Treasury Inflation Protection
Security
3.875%, 04/15/29 2,050 2,260
3.625%, 04/15/28 (C) 31,387 33,324
2.500%, 07/15/16 (C) 6,913 6,352
2.375%, 04/15/11 - 01/15/27 (C) 37,545 33,833
2.000%, 01/15/16 - 01/15/26(C) 18,462 16,106
1.875%, 07/15/15 (C) 18,292 16,211
1.750%, 01/15/28 (C) 42,269 34,845
1.375%, 07/15/18 (C) 6,697 5,998
U.S. Treasury Notes
4.750%, 02/15/37 2,197 2,669
3.750%, 11/15/18 (C) 39,916 42,617
3.500%, 02/15/18 497 520
3.250%, 12/31/09 262 269
3.125%, 08/31/13 846 895
2.750%, 10/31/13 (C) 88,339 91,839
1.750%, 11/15/11 (C) 33,177 33,605
1.250%, 11/30/10 6,521 6,547
U.S. Treasury STRIPS
6.951%, 11/15/21 (C) (E) 23,570 13,866
4.607%, 11/15/27 (C) (E) 10,385 5,000
-------------
Total U.S. Treasury Obligations
(Cost $453,158) ($ Thousands) 458,167
-------------
ASSET-BACKED SECURITIES -- 5.7%
AUTOMOTIVE -- 0.6%
Americredit Prime Automobile
Receivable, Ser 2007-1, Cl A3
5.270%, 11/08/11 3,692 3,640
Ford Credit Auto Owner Trust,
Ser 2006-C, Cl A4A
5.150%, 02/15/12 2,479 2,333
Ford Credit Auto Owner Trust,
Ser 2007-B, Cl A4A
5.240%, 07/15/12 126 114
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
141
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Harley-Davidson Motorcycle Trust,
Ser 2006-3, Cl A4
5.220%, 06/15/13 $ 1,148 $ 1,091
Harley-Davidson Motorcycle Trust,
Ser 2007-2, Cl A4
5.120%, 08/15/13 1,081 1,027
Honda Auto Receivables Owner
Trust, Ser 2008-1, Cl A4
4.880%, 09/18/14 3,000 2,680
Huntington Auto Trust, Ser 2008-1,
Cl A4
5.640%, 02/15/13 (H) (I) (J) 5,872 5,092
Huntington Auto Trust, Ser 2008-1,
Cl A3A
4.810%, 04/16/12 (H) (I) (J) 7,095 6,458
Hyundai Auto Receivables Trust,
Ser 2008-A, Cl A4
5.480%, 11/17/14 1,286 1,089
Nissan Auto Receivables Owner
Trust, Ser 2007-B, Cl A4
5.160%, 03/17/14 2,235 2,088
Triad Auto Receivables Owner Trust,
Ser 2006-C, Cl A3
5.410%, 08/12/11 3,626 3,496
5.260%, 11/14/11 1,945 1,871
Volkswagen Auto Loan Enhanced
Trust, Ser 2008-1, Cl A3
4.500%, 07/20/12 2,724 2,552
-------------
33,531
-------------
CREDIT CARDS -- 1.5%
Capital One Multi-Asset Execution
Trust, Ser 2005-A6, Cl A6
4.869%, 01/15/09 (A) 2,323 1,823
Capital One Multi-Asset Execution
Trust, Ser 2005-A10, Cl A
1.503%, 12/15/08 (A) 1,628 1,167
Capital One Multi-Asset Execution
Trust, Ser 2006-A5, Cl A5
1.483%, 12/15/08 (A) 2,593 1,954
Capital One Multi-Asset Execution
Trust, Ser 2006-A7, Cl A7
1.453%, 12/15/08 (A) 863 735
Capital One Multi-Asset Execution
Trust, Ser 2006-A11, Cl A11
1.513%, 12/15/08 (A) 11,599 7,115
Capital One Multi-Asset Execution
Trust, Ser 2007-A4, Cl A4
1.453%, 12/15/08 (A) 4,837 3,675
Capital One Multi-Asset Execution
Trust, Ser 2007-A6, Cl A6
1.493%, 12/15/08 (A) 3,118 2,802
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Capital One Multi-Asset Execution
Trust, Ser 2007-A7, Cl A7
5.750%, 07/15/20 $ 5,982 $ 4,469
Capital One Multi-Asset Execution
Trust, Ser 2008-A3, Cl A3
5.050%, 02/15/16 27,229 23,146
Capital One Multi-Asset Execution
Trust, Ser 2008-A5, Cl A5
4.850%, 02/18/14 870 793
Discover Card Master Trust I,
Ser 2005-4, Cl A2
1.513%, 12/15/08 (A) 812 587
Discover Card Master Trust I,
Ser 2006-2, Cl A3
1.503%, 12/15/08 (A) 6,084 4,494
Discover Card Master Trust,
Ser 2007-A1, Cl A1
5.650%, 03/16/20 4,583 3,451
Discover Card Master Trust,
Ser 2007-A2, Cl A2
3.159%, 12/15/08 (A) 4,072 3,169
Discover Card Master Trust,
Ser 2008-A3, Cl A3
5.100%, 10/15/13 6,479 5,988
Discover Card Master Trust,
Ser 2008-A4, Cl A4
5.650%, 12/15/15 13,403 11,590
Washington Mutual Master Note
Trust, Ser 2006-A2A, Cl A
1.473%, 12/15/08 (A) (H) 3,000 2,311
Washington Mutual Master Note
Trust, Ser 2007-A2, Cl A2
1.453%, 12/15/08 (A) (H) 523 427
-------------
79,696
-------------
MORTGAGE RELATED SECURITIES -- 0.6%
ABS Home Equity, Ser 2001-HE3,
Cl A1
1.963%, 12/15/08 (A) 264 225
ACE Securities, Ser 2006-SL3, Cl A1
1.495%, 12/26/08 (A) 7,503 1,610
AFC Home Equity Loan Trust,
Ser 2000-1, Cl 2A
1.635%, 12/26/08 (A) 3,155 406
Citigroup Mortgage Loan Trust,
Ser 2007-AHL1, Cl A2A
1.435%, 12/26/08 (A) 1,182 1,030
Conseco Finance Home Loan Trust,
Ser 2001-D, Cl A5
6.190%, 12/15/08 (A) 6,769 6,755
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
142
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Contimortgage Home Equity Trust,
Ser 1997-2, Cl A9
7.090%, 04/15/28 $ 13 $ 12
Contimortgage Home Equity Trust,
Ser 1997-5, Cl A6
6.870%, 01/15/09 (A) 11 11
Countrywide Asset-Backed Certificates,
Ser 2006-S1, Cl A2
5.549%, 08/25/21 2,583 2,211
Delta Funding Home Equity Loan Trust,
Ser 1999-3, Cl A1A
2.243%, 12/15/08 (A) 310 225
EMC Mortgage Loan Trust, Ser 2002-AA,
Cl A1
1.865%, 12/26/08 (A) (B) 1,081 867
Equivantage Home Equity Loan Trust,
Ser 1997-2, Cl A3
7.775%, 07/25/28 236 166
GMAC Mortgage Loan Trust,
Ser 2007-HE2, Cl A6
6.249%, 12/25/37 964 329
Morgan Stanley Capital I, Ser 2007-HE2,
Cl A2A
1.435%, 12/26/08 (A) 775 716
Morgan Stanley Home Equity Loans,
Ser 2007-1, Cl A1
1.445%, 12/26/08 (A) 731 668
Morgan Stanley Mortgage Loan Trust,
Ser 2007-3XS, Cl 2A3S
5.858%, 01/25/47 31 21
Nationstar Home Equity Loan Trust,
Ser 2006-B, Cl AV3
1.565%, 12/26/08 (A) 6,400 4,196
Option One Mortgage Loan Trust,
Ser 2001-4, Cl A
1.995%, 12/26/08 (A) 283 252
Option One Mortgage Loan Trust,
Ser 2007-5, Cl 2A47
1.695%, 12/26/08 (A) 10,000 2,164
Residential Funding Mortgage
Securities II, Ser 2000-HI1, Cl AI7
8.290%, 02/25/25 1,436 1,293
Residential Funding Mortgage
Securities II, Ser 2005-HS1, Cl AI1
1.515%, 12/26/08 (A) 509 502
Residential Funding Mortgage
Securities II, Ser 2007-HSA3, Cl AI2
5.980%, 01/25/09 (A) 922 852
Security National Mortgage Loan Trust,
Ser 2007-1A, Cl 2A
1.745%, 12/26/08 (A) (B) 1,388 988
Terwin Mortgage Trust, Ser 2005-9HGS,
Cl A1
4.000%, 01/25/09 (A) (B) 1,014 888
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Terwin Mortgage Trust, Ser 2006-6,
Cl 1A2
4.750%, 01/25/09 (A) $ 10,000 $ 2,661
-------------
29,048
-------------
OTHER ASSET-BACKED SECURITIES -- 3.0%
Amortizing Residential Collateral Trust
CMO, Ser 2002-BC1, Cl A
1.735%, 12/26/08 (A) 534 420
CenterPoint Energy Transition Bond LLC,
Ser 2008-A, Cl A2
5.234%, 02/01/23 1,160 981
CenterPoint Energy Transition Bond LLC,
Ser 2008-A, Cl A1
4.192%, 02/01/20 1,993 1,890
Chase Funding Mortgage Loan Asset-
Backed Certificates, Ser 2002-1,
Cl 2A2
1.895%, 12/26/08 (A) 1,113 716
Citicorp Residential Mortgage Securities,
Ser 2006-1, Cl A1
5.956%, 07/25/36 156 157
Citicorp Residential Mortgage Securities,
Ser 2006-1, Cl A2
5.682%, 07/25/36 2,150 2,160
Citicorp Residential Mortgage Securities,
Ser 2006-2, Cl A2
5.557%, 09/25/36 2,268 2,249
Citicorp Residential Mortgage Securities,
Ser 2006-2, Cl A5
6.036%, 09/25/36 6,340 5,253
Citigroup Mortgage Loan Trust,
Ser 2007-SHL1, Cl A
1.795%, 12/26/08 (A) (B) 1,486 669
Conseco Finance Home Loan Trust,
Ser 2000-E, Cl M1
8.130%, 12/15/08 (A) 2,844 2,706
Conseco Finance Securitizations,
Ser 2000-4, Cl A6
8.310%, 01/01/09 (A) 838 668
Countrywide Asset-Backed Certificates,
Ser 2001-BC3, Cl A
1.875%, 12/26/08 (A) 66 57
Countrywide Asset-Backed Certificates,
Ser 2003-BC2, Cl 2A1
1.995%, 12/26/08 (A) 115 68
Countrywide Asset-Backed Certificates,
Ser 2005-17, Cl 1AF3
5.711%, 01/25/09 (A) 10,000 4,610
Countrywide Asset-Backed Certificates,
Ser 2006-15, Cl A3
5.689%, 01/25/09 (A) 208 126
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
143
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Countrywide Asset-Backed Certificates,
Ser 2007-3, Cl 2A1
1.495%, 12/26/08 (A) $ 6,194 $ 5,483
Countrywide Asset-Backed Certificates,
Ser 2007-QH1, Cl A1
1.595%, 12/26/08 (A) (B) 1,769 1,249
Countrywide Asset-Backed Certificates,
Ser 2007-SD1, Cl A1
1.845%, 12/26/08 (A) (B) 1,120 719
Countrywide Home Equity Loan Trust,
Ser 2004-K, Cl 2A
1.723%, 12/15/08 (A) 1,057 484
Countrywide Home Equity Loan Trust,
Ser 2005-F, Cl 2A
1.663%, 12/15/08 (A) 2,595 1,347
Credit Suisse First Boston Mortgage
Securities, Ser 2001-MH29, Cl A
5.600%, 09/25/31 634 636
Credit-Based Asset Servicing and
Securitization LLC, Ser 2006-CB2,
Cl AF2
5.501%, 12/25/36 1,455 1,279
Credit-Based Asset Servicing and
Securitization LLC, Ser 2006-CB2,
Cl AF4
5.704%, 12/25/36 1,800 1,432
Credit-Based Asset Servicing and
Securitization LLC, Ser 2007-CB4,
Cl A1A
1.485%, 12/26/08 (A) 6,647 5,247
Credit-Based Asset Servicing and
Securitization LLC, Ser 2007-RP1,
Cl A
1.705%, 12/26/08 (A) (B) 16,718 11,175
Daimler Chrysler Master Owner Trust,
Ser 2006-A, Cl A
1.453%, 12/15/08 (A) (H) 4,851 4,489
Diamond Investment Grade CDO, Ser 1X,
Cl A1
3.099%, 10/11/14 5,333 5,148
Domino's Pizza Master Issuer LLC,
Ser 2007-1, Cl A2
5.261%, 04/25/37 (H) 3,452 2,414
Embarcadero Aircraft Securitization
Trust, Ser 2000-A, Cl A1
1.903%, 12/15/08 (A) (B) 4,125 2,228
Equity One, Ser 2003-2, Cl M1
5.050%, 09/25/33 820 693
Fieldstone Mortgage Investment,
Ser 2007-A, Cl 2A2
1.665%, 12/26/08 (A) 2,000 854
First Horizon Asset Back Trust,
Ser 2004-HE2, Cl A
1.615%, 12/26/08 (A) 1,444 1,158
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
First Horizon Asset Back Trust,
Ser 2006-HE2, Cl A
1.525%, 12/26/08 (A) $ 716 $ 486
Ford Credit Floorplan Master Owner
Trust, Ser 2006-4, Cl A
1.673%, 12/15/08 (A) (H) 5,007 4,047
GMAC Mortgage Loan Trust,
Ser 2005-HE3, Cl A1VN
3.519%, 12/26/08 (A) 8,293 2,108
Great America Leasing Receivables,
Ser 2006-1, Cl A3
5.340%, 01/15/10 (B) 1,049 1,047
Green Tree Financial, Ser 1996-5, Cl A6
7.750%, 07/15/27 670 600
GSAMP Trust, Ser 2003-SEA, Cl A1
1.795%, 12/26/08 (A) 2,195 1,590
JPMorgan Mortgage Acquisition,
Ser 2007-CH1, Cl AF6
5.501%, 11/25/36 9,605 6,383
Lehman XS Trust, Ser 2005-5N, Cl 1A1
1.695%, 12/26/08 (A) 5,791 2,541
Lehman XS Trust, Ser 2005-7N, Cl 1A1B
1.695%, 12/26/08 (A) 4,314 1,536
Lehman XS Trust, Ser 2006-GP1, Cl A4A
1.725%, 12/26/08 (A) 8,107 1,105
Liberty Square CDO, Ser 2001-1A, Cl A
4.846%, 04/15/09 (A) (B) 2,687 2,419
Lone Star CDO Funding, Ser IX, Cl A
3.613%, 12/15/12 6,187 5,742
Merrill Lynch Mortgage Investors,
Ser 2006-WMC2, Cl A2B
5.609%, 03/25/37 358 282
Merrill Lynch Mortgage Investors,
Ser 2006-WMC2, Cl A2D
5.895%, 03/25/37 5,789 2,386
Mid-State Trust, Ser 2003-11, Cl A1
4.864%, 07/15/38 2,970 2,893
MSCC Heloc Trust, Ser 2005-1, Cl A
1.585%, 12/26/08 (A) 539 365
Nelnet Student Loan Trust, Ser 2008-4,
Cl A4
5.015%, 01/26/09 (A) 4,370 3,623
Oakwood Mortgage Investors,
Ser 2002-C, Cl AIO, IO
6.000%, 08/15/10 4,961 408
Oncor Electric Delivery Transition Bond,
Ser 2003-1, Cl A2
4.030%, 02/15/12 1,375 1,373
Origen Manufactured Housing,
Ser 2002-A, Cl A1
1.663%, 12/15/08 (A) 49 44
Popular ABS Mortgage Pass-Through
Trust, Ser 2007-A, Cl A3
1.705%, 12/26/08 (A) 10,380 3,220
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
144
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
RAAC Series, Ser 2007-RP4, Cl A
1.745%, 12/26/08 (A) (B) $ 19,066 $ 11,899
RAAC Series, Ser 2007-SP3, Cl A1
2.595%, 12/26/08 (A) 571 491
SLM Student Loan Trust, Ser 2005-6,
Cl A5B
4.735%, 01/26/09 (A) 7,973 7,495
SLM Student Loan Trust, Ser 2006-5,
Cl A4
3.615%, 01/26/09 (A) 3,355 2,940
SLM Student Loan Trust, Ser 2008-6,
Cl A4
4.635%, 01/26/09 (A) 8,078 6,245
SLM Student Loan Trust, Ser 2008-8,
Cl A4
5.185%, 01/26/09 (A) 1,521 1,225
5.035%, 01/26/09 (A) 7,327 5,983
Structured Asset Receivables Trust,
Ser 2003-1, Cl CTFS
4.919%, 01/21/09 (A) (B) 2,000 1,850
Structured Asset Receivables Trust,
Ser 2003-3, Cl X
4.819%, 01/21/09 (A) (B) 231 226
Swift Master Auto Receivables Trust,
Ser 2007-1, Cl A
1.523%, 12/15/08 (A) (H) 1,869 1,587
Wells Fargo Home Equity Trust,
Ser 2007-2, Cl A1
1.485%, 12/26/08 (A) 4,564 3,960
-------------
156,864
-------------
Total Asset-Backed Securities
(Cost $388,966) ($ Thousands) 299,139
-------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 1.7%
FHLB
5.500%, 08/13/14 3,500 3,880
3.625%, 07/01/11 7,730 7,929
FHLB (E)
2.768%, 12/19/08 (C) 20,555 20,527
1.053%, 12/22/08 450 450
0.861%, 01/13/09 3,265 3,262
0.304%, 12/18/08 (C) 31,960 31,916
0.080%, 12/01/08 1,480 1,480
FHLMC
5.625%, 11/23/35 5,250 5,379
FHLMC (E)
2.553%, 12/15/08 500 500
FNMA
3.375%, 05/19/11 1,000 1,021
FNMA
5.250%, 08/01/12 2,800 2,883
Face Amount
($ Thousands) Market Value
Description /Shares ($ Thousands)
- ----------- ------------- -------------
FNMA (E)
2.289%, 12/22/08 $ 250 $ 250
1.652%, 12/15/08 10,928 10,927
-------------
Total U.S. Government Agency Obligations
(Cost $89,639) ($ Thousands) 90,404
-------------
MUNICIPAL BONDS -- 0.2%
Commonwealth of Massachusetts,
Ser B, GO, FSA
Pre-Refunded @ 100
5.500%, 03/01/12 (F) 2,100 2,260
County of Galveston, Ser C,
GO, AMBAC
Pre-Refunded @ 100
5.000%, 02/01/13 (F) 2,090 2,280
County of Harris, Ser B, GO
Pre-Refunded @ 100
5.250%, 10/01/13 (F) 2,901 3,154
Metropolitan Atlanta Rapid Transit
Authority, RB, MBIA
Pre-Refunded @ 100
5.000%, 01/01/13 (F) 655 716
Michigan State, Tobacco Settlement
Finance, Ser A, RB
7.309%, 06/01/34 2,450 1,590
San Diego, Tobacco Settlement
Asset Backed, RB
7.125%, 06/01/32 1,377 973
State of Washington, Ser C, GO
Callable 01/01/18 @ 100
5.000%, 01/01/33 1,465 1,349
-------------
Total Municipal Bonds
(Cost $13,683) ($ Thousands) 12,322
-------------
PREFERRED STOCK -- 0.1%
Aegon, 6.375% (A) 107 857
Merrill Lynch, Cl E, 4.000% (A) 58 451
MetLife, 6.500% 87 1,079
Zurich RegCaPS Funding Trust,
4.245% (A) (B) -- 241
-------------
Total Preferred Stock
(Cost $6,599) ($ Thousands) 2,628
-------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
145
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2008
Face Amount
($ Thousands) Market Value
Description /Shares ($ Thousands)
- ----------- ------------- -------------
EURODOLLAR -- 0.0%
Lloyds TSB Bank
3.218%, 08/31/08 $ 740 $ 383
-------------
Total EuroDollar
(Cost $633) ($ Thousands) 383
-------------
COMMERCIAL PAPER (E) -- 0.3%
General Electric Capital
1.050%, 12/29/08 1,835 1,833
Rabobank USA Financial
0.951%, 12/09/08 1,480 1,480
0.991%, 12/30/08 13,795 13,784
-------------
Total Commercial Paper
(Cost $17,097) ($ Thousands) 17,097
-------------
CERTIFICATES OF DEPOSIT -- 0.1%
JPMorgan Chase Bank
8.750%, 11/28/21 2,751 2,694
7.590%, 03/28/22 (A) 2,630 2,429
-------------
Total Certificates of Deposit
(Cost $5,263) ($ Thousands) 5,123
-------------
AFFILIATED PARTNERSHIP -- 10.6%
SEI Liquidity Fund, L.P.,
1.630%*++ (G) 564,245,563 553,355
-------------
Total Affiliated Partnership
(Cost $564,245) ($ Thousands) 553,355
-------------
CASH EQUIVALENTS -- 9.2%
Evergreen Institutional Money
Market Fund, Cl I, 2.100%* 252,328,131 252,328
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 1.620%*++ 231,976,790 231,977
-------------
Total Cash Equivalents
(Cost $484,305) ($ Thousands) 484,305
-------------
Total Investments -- 131.5%
(Cost $7,600,248) ($ Thousands) $ 6,893,562
=============
Market Value
Description Contracts ($ Thousands)
- ----------- ------------- -------------
WRITTEN OPTIONS -- (0.1)%
Jan 2009 U.S. Ten Year Treasury Put,
Expires 12/24/08, Expires 12/20/08,
Strike Price $113.00 (184) $ (9)
June 2009 U.S. Ten Year Treasury Put,
Expires 6/16/09, Expires 06/20/09,
Strike Price $96.75 (316) (79)
June 2009 U.S. Ten Year Treasury Put,
Expires 6/16/09, Expires 06/20/09,
Strike Price $97.25 (183) (75)
March 2009 U.S. Ten Year Treasury Call,
Expires 2/22/09, Expires 02/21/09,
Strike Price $116.00 (54) (311)
March 2009 U.S. Ten Year Treasury Call,
Expires 2/23/09, Expires 02/21/09,
Strike Price $118.00 (335) (1,450)
March 2009 U.S. Ten Year Treasury Call,
Expires 2/23/09, Expires 02/21/09,
Strike Price $120.00 (179) (560)
March 2009 U.S. Ten Year Treasury Call,
Expires 3/17/09, Expires 03/21/09,
Strike Price $97.50 (155) (275)
March 2009 U.S. Ten Year Treasury Call,
Expires 3/17/09, Expires 03/21/09,
Strike Price $98.00 (92) (81)
March 2009 U.S. Ten Year Treasury Call,
Expires 3/17/09, Expires 03/21/09,
Strike Price $97.75 (85) (110)
March 2009 U.S. Ten Year Treasury Put,
Expires 11/24/08, Expires 03/21/09,
Strike Price $98.00 (90) (61)
March 2009 U.S. Ten Year Treasury Put,
Expires 2/21/09, Expires 02/21/09,
Strike Price $115.00 (246) (150)
March 2009 U.S. Ten Year Treasury Put,
Expires 2/23/09, Expires 02/21/09,
Strike Price $108.00 (179) (11)
March 2009 U.S. Ten Year Treasury Put,
Expires 2/23/09, Expires 02/21/09,
Strike Price $114.00 (74) (34)
March 2009 U.S. Ten Year Treasury Put,
Expires 3/17/09, Expires 03/21/09,
Strike Price $97.75 (131) (62)
-------------
Total Written Options
(Premiums Received $2,025) ($ Thousands) (3,268)
-------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
146
A summary of outstanding swap agreements held by the Fund at November 30, 2008,
is as follows (See Note 2 in Notes to Financial Statements):
INTEREST RATE SWAPS
NET UNREALIZED
APPRECIATION
NOTIONAL AMOUNT (DEPRECIATION)
COUNTERPARTY FUND PAYS FUND RECEIVES TERMINATION DATE (THOUSANDS) ($ THOUSANDS)
- ------------------------- ------------- ------------- ---------------- --------------- --------------
Barclays Bank PLC 3-Month LIBOR 3.86% 10/27/14 87,470 $ 3,097
Barclays Bank PLC 4.02% 3-Month LIBOR 10/27/39 23,000 (3,930)
Barclays Bank PLC 3-Month LIBOR 3.34% 11/25/14 43,510 466
Barclays Bank PLC 3.13% 3-Month LIBOR 11/25/39 10,450 (23)
Citigroup 3-Month LIBOR 4.29% 10/30/14 81,200 4,471
Citigroup 4.31% 3-Month LIBOR 10/30/39 21,970 (4,999)
Citigroup 3-Month LIBOR 4.04% 12/15/10 9,870 498
Deutsche Bank 4.40% 3-Month LIBOR 03/18/16 85,200 (7,303)
Deutsche Bank 4.25% 3-Month LIBOR 03/18/39 400 (97)
Deutsche Bank 4.25% 3-Month LIBOR 03/18/39 1,900 (455)
Deutsche Bank 3-Month LIBOR 4.40% 05/31/12 13,126 841
Merrill Lynch 3-Month LIBOR 3.70% 02/22/13 13,162 694
Merrill Lynch 3-Month LIBOR 3.40% 02/26/13 6,594 261
Merrill Lynch 3-Month LIBOR 3.95% 12/15/10 30,830 1,489
-------
$(4,990)
=======
CREDIT DEFAULT SWAPS
NET UNREALIZED
(PAYS)/ NOTIONAL APPRECIATION
BUY/SELL RECEIVES TERMINATION AMOUNT (DEPRECIATION)
COUNTERPARTY REFERENCE ENTITY/OBLIGATION PROTECTION RATE DATE (THOUSANDS) ($ THOUSANDS)
- ------------------------- ----------------------------------------- ---------- -------- ----------- ----------- --------------
Credit Suisse ABX.HE.AA 06-2 Index Sell 0.17% 05/25/46 (5,000) $ (330)
Credit Suisse ABX.HE.AA 06-2 Index Sell 0.17 05/25/46 (5,300) (389)
Goldman Sachs ABX.HE.AA 06-2 Index Sell 0.17 05/25/46 (3,800) (260)
Greenwich Capital Markets ABX.HE.AA 06-2 Index Sell 0.17 05/25/46 (3,000) (198)
Credit Suisse ABX.HE.AAA 06-1 Index Sell 0.09 08/25/37 (4,000) (341)
Citigroup ABX.HE.AAA 06-2 Index Sell 0.11 05/25/46 (2,100) (310)
Deutsche Bank ABX.HE.AAA 06-2 Index Sell 0.11 05/25/46 (4,100) (2,148)
Barclays Bank PLC ABX.HE.AAA 07-1 Index Sell 0.09 08/25/37 (4,680) (2,236)
Citigroup ABX.HE.AAA 07-1 Index Sell 0.09 08/25/37 (3,545) (1,683)
Goldman Sachs ABX.HE.AAA 07-1 Index Sell 0.09 08/25/37 (5,420) (740)
Morgan Stanley ABX.HE.AAA 07-1 Index Sell 0.09 08/25/37 (2,100) (305)
Morgan Stanley ABX.HE.AAA 07-1 Index Sell 0.09 08/25/37 (5,200) (710)
Barclays Bank PLC ABX.HE.AAA 07-2 Index Sell 0.76 01/25/38 (4,600) (432)
Credit Suisse ABX.HE.AAA 07-2 Index Sell 0.76 01/25/38 (5,500) (544)
Goldman Sachs ABX.HE.AAA 07-2 Index Sell 0.76 01/25/38 (2,500) (279)
Greenwich Capital Markets ABX.HE.AAA 07-2 Index Sell 0.76 01/25/38 (2,600) (290)
Morgan Stanley ABX.HE.AAA 07-2 Index Sell 0.76 01/25/38 (4,000) (795)
Morgan Stanley ABX.HE.AAA 07-2 Index Sell 0.76 01/25/38 (3,000) (582)
Citigroup Arrow Electric, 6.875% 06/01/18 Buy (0.82) 03/20/14 1,485 88
Citigroup BNP Paribas, 4.750% 04/04/11 Buy (0.49) 09/20/13 5,860 1
Deutsche Bank Centex Corporation, 5.250% 06/15/15 Buy (4.40) 12/20/13 600 29
Merrill Lynch Centex Corporation, 5.250% 06/15/15 Buy (3.56) 12/20/12 1,970 312
Merrill Lynch Centex Corporation, 5.250% 06/15/15 Buy (3.65) 12/20/12 1,375 216
JPMorgan Chase Bank CMBX-NA-AAA 1 Index Buy (0.10) 10/12/52 5,770 1,053
Credit Suisse CMBX-NA-AAA 2 Index Buy (0.07) 03/15/49 5,770 1,115
Deutsche Bank CMBX-NA-AAA 3 Index Buy (0.08) 12/13/51 3,000 687
JPMorgan Chase Bank CMBX-NA-AAA 3 Index Buy (0.08) 12/13/49 1,500 386
JPMorgan Chase Bank CMBX-NA-AAA 3 Index Buy (0.08) 12/13/49 4,900 1,152
Credit Suisse CMBX-NA-AAA 4 Index Buy (0.35) 02/17/49 3,000 767
JPMorgan Chase Bank CMBX-NA-AAA 4 Index Buy (0.35) 02/17/49 4,755 1,355
JPMorgan Chase Bank CMBX-NA-AAA 4 Index Buy (0.35) 02/17/49 4,900 1,244
Citigroup CMBX-NA-AAA 5 Index Buy (0.35) 02/15/51 2,850 426
Barclays Bank PLC CMBX-NA-AJ 1 Index Buy (0.84) 10/12/49 2,000 806
Barclays Bank PLC CMBX-NA-AJ 1 Index Buy (0.84) 10/12/49 2,000 784
Morgan Stanley ConocoPhillips 4.750% 10/15/20 Sell 0.27 09/20/12 (1,620) (40)
Citigroup Darden Restaurants Inc., 6.000% 08/15/35 Buy (2.73) 03/20/14 1,435 63
Deutsche Bank Darden Restaurants Inc., 6.000% 08/15/35 Buy (2.25) 03/20/14 1,650 103
Citigroup Darden Restaurants Inc., 7.125% 02/01/16 Buy (2.40) 03/20/15 1,200 74
Deutsche Bank Darden Restaurants Inc., 7.125% 02/01/16 Buy (2.25) 03/20/13 600 30
Morgan Stanley Darden Restaurants Inc., 7.125% 02/01/16 Buy (2.25) 03/20/13 600 30
Citigroup DTE Energy Company, 7.050% 06/01/11 Buy (0.70) 06/20/11 6,528 337
Credit Suisse General Electric Capital Corp., 5.625%
09/15/17 Sell 6.55 12/20/10 (2,570) 71
Barclays Bank PLC Goldman Sachs Group Inc., 6.600% 01/15/12 Buy (0.75) 12/20/12 300 30
Credit Suisse Goldman Sachs Group Inc., 6.600% 01/15/12 Buy (0.74) 12/20/12 5,275 532
Citigroup Hewlett Packard, 5.400% 03/01/17 Buy (0.72) 03/20/14 1,485 28
Citigroup Home Depot, 5.875% 12/16/36 Buy (2.67) 03/20/14 5,100 8
Citigroup HSBC Bank PLC, 4.250% 03/18/16 Buy (0.61) 12/20/17 4,500 269
Citigroup Lloyds TSB Group PLC, 5.875% 07/08/14 Buy (0.51) 12/20/17 3,200 193
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
147
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Concluded)
November 30, 2008
NET UNREALIZED
(PAYS)/ NOTIONAL APPRECIATION
BUY/SELL RECEIVES TERMINATION AMOUNT (DEPRECIATION)
COUNTERPARTY REFERENCE ENTITY/OBLIGATION PROTECTION RATE DATE (THOUSANDS) ($ THOUSANDS)
- ------------------------- ----------------------------------------- ---------- -------- ----------- ----------- --------------
Citigroup Lowes Cos. Inc., 8.250% 06/01/10 Buy (1.20) 03/20/14 5,320 $ 74
JPMorgan Chase Bank Morgan Stanley, 6.600% 04/01/12 Buy (0.91) 12/20/12 3,525 489
Citigroup Nordstrom Incorporated, 6.950% 03/15/28 Buy (3.15) 03/20/14 1,135 138
Deutsche Bank Nordstrom Incorporated, 6.950% 03/15/28 Buy (2.10) 03/20/14 4,350 698
Citigroup Pulte Homes Inc., 5.250% 01/15/14 Buy (3.91) 12/20/12 1,600 202
Deutsche Bank Pulte Homes Inc., 5.250% 01/15/14 Buy (4.62) 03/20/13 2,250 (16)
Deutsche Bank Pulte Homes Inc., 5.250% 01/15/14 Buy (4.00) 03/20/15 2,250 19
Merrill Lynch Pulte Homes Inc., 5.250% 01/15/14 Buy (3.88) 12/20/12 3,050 385
Citigroup Royal Bank of Scotland PLC, 6.000% 05/10/13 Buy (0.70) 12/20/17 3,200 260
Citigroup Toll Brothers, 6.875% 11/15/12 Buy (2.83) 12/20/12 1,400 106
Merrill Lynch Toll Brothers, 6.875% 11/15/12 Buy (2.78) 12/20/12 3,300 251
Merrill Lynch Toll Brothers, 6.875% 11/15/12 Buy (2.83) 12/20/12 2,000 151
Citigroup Whirlpool Corporation, 7.750% 07/15/16 Buy (1.25) 09/20/13 1,205 125
Citigroup Whirlpool Corporation, 7.750% 07/15/16 Sell 1.33 09/20/13 (1,207) (119)
Citigroup Whirlpool Corporation, 7.750% 07/15/16 Buy (1.40) 09/20/13 1,762 171
------
$2,511
======
A summary of the open futures contracts held by the Fund at November 30, 2008,
is as follows (See Note 2 in Notes to Financial Statements):
UNREALIZED
NUMBER OF APPRECIATION
CONTRACTS EXPIRATION (DEPRECIATION)
TYPE OF CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- ----------------------- ------------ ---------- --------------
90-Day Euro$ 864 Mar-2009 $ 2,557
90-Day Euro$ 186 Jun-2009 292
90-Day Euro$ 230 Sep-2009 506
90-Day Euro$ (26) Sep-2009 (115)
90-Day Euro$ (26) Dec-2009 (127)
90-Day Euro$ (26) Mar-2010 (138)
90-Day Euro$ (26) Jun-2010 (143)
90-Day Euro$ (26) Sep-2010 (142)
90-Day Euro$ (26) Dec-2010 (132)
90-Day Euro$ (26) Mar-2011 (125)
90-Day Euro$ (26) Jun-2011 (116)
Euro-Bund 161 Dec-2008 1,284
U.S. 10-Year Note (2,206) Mar-2009 (5,899)
U.S. 2-Year Note 256 Mar-2009 490
U.S. 2-Year Note (173) Mar-2009 (143)
U.S. 5-Year Note 2,878 Mar-2009 4,710
U.S. Long Treasury Bond (972) Mar-2009 (2,208)
-------
$ 551
=======
A summary of the outstanding forward foreign currency contracts held by the Fund
at November 30, 2008, is as follows (See Note 2 in Notes to Financials
Statements):
CURRENCY CURRENCY UNREALIZED
MATURITY TO DELIVER TO RECEIVE APPRECIATION
DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS)
- -------- ------------ ------------ -------------
2/3/09 EUR 8,689 USD 11,533 $ 516
2/3/09 GBP 9,109 USD 15,403 1,423
2/3/09 JPY2,301,590 USD 24,305 55
2/3/09 USD 23,120 JPY2,316,816 1,290
------
$3,284
======
Percentages are based on a Net Assets of $5,240,402 ($ Thousands).
* Rate shown is the 7-day effective yield as of November 30, 2008.
+ Real Estate Investment Trust
++ Investment in Affiliated Security (see Note 3).
(A) Variable Rate Security -- The rate reported is the rate in effects as of
November 30, 2008. The date reported is the next reset date.
(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) This security or a partial position of this security is on loan at November
30, 2008. The total value of securities on loan at November 30, 2008 was
$537,307 ($ Thousands).
(D) Security in default on interest payments.
(E) The rate reported is the effective yield at time of purchase.
(F) Pre-Refunded Security -- The maturity date shown is the pre-refunded date.
(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,
2008 was $553,355 ($ Thousands).
(H) Securities considered illiquid. The total value of such securities as of
November 30, 2008 was $50,708 ($ Thousands) and represented 0.97% of net
assets (see Note 3).
(I) Securities considered restricted. The total value of such securities as of
November 30, 2008 was $27,689 ($ Thousands) and represented 0.53% of net
assets (see Note 3).
(J) Security fair valued using methods determined in good faith by the
Valuation Committee of the Board of Trustees. The total value of such
securities as of November 30, 2008 was $15,286 ($ Thousands) and
represented 0.29% of net assets.
ABS -- Asset-Based Security
ARM -- Adjustable Rate Mortgage
CDO -- Collateralized Debt Obligation
Cl -- Class
CMO -- Collateralized Mortgage Obligation
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
GO -- General Obligation
IO -- Interest Only - face amount represents notional amount
LLC -- Limited Liability Company
L.P. -- Limited Partnership
MTN -- Medium Term Note
PIPE -- Private Investment in Public Entity
PLC -- Public Limited Company
RB -- Revenue Bond
Ser -- Series
STRIPS -- Separately Traded Registered Interest and Principal Securities
TBA -- To Be Announced
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
148
High Yield Bond Fund
November 30, 2008
SECTOR WEIGHTINGS++:
(BAR CHART)
Consumer Discretionary 15.8%
Telecommunication Services 10.8%
Affiliated Partnership 10.7%
Energy 9.1%
Loan Participations 8.8%
Materials 7.4%
Industrials 6.8%
Financials 6.2%
Consumer Staples 4.9%
Collateralized Debt Obligations 4.6%
Health Care 4.2%
Utilities 3.7%
Information Technology 3.6%
Cash Equivalent 3.1%
Convertible Bonds 0.2%
Common Stock 0.1%
Preferred Stock 0.0%
++ Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 9).
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
CORPORATE OBLIGATIONS -- 80.9%
CONSUMER DISCRETIONARY -- 17.6%
Adelphia Communications
(escrow security)
10.250%, 06/15/11 $ 125 $ 4
7.875%, 05/01/09 75 2
7.750%, 01/15/09 250 8
Adelphia Communications,
Ser B (escrow security)
9.500%, 02/15/04 25 1
American Greetings
7.375%, 06/01/16 800 636
AmeriGas Partners
7.125%, 05/20/16 1,080 756
Amscan Holdings
8.750%, 05/01/14 1,725 1,000
ARAMARK
8.500%, 02/01/15 2,590 2,150
Aramark Services
6.693%, 02/02/09 (A) 325 228
ArvinMeritor
8.750%, 03/01/12 2,450 1,201
Asbury Automotive Group
7.625%, 03/15/17 225 90
Ashtead Capital
9.000%, 08/15/16 (B) 2,969 1,722
Avis Budget Car Rental LLC
5.304%, 02/17/09 (A) 615 135
Bausch & Lomb Optical Supplies
9.875%, 11/01/15 (B) (C) 2,905 2,237
Beazer Homes USA
8.625%, 05/15/11 275 148
6.875%, 07/15/15 725 261
6.500%, 11/15/13 (C) 1,300 468
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Blockbuster
9.000%, 09/01/12 (C) $ 2,500 $ 1,238
Bonten Media Acquisition
9.000%, 06/01/15 (B) 1,400 490
Boyd Gaming
7.125%, 02/01/16 1,740 983
Broder Brothers, Ser B
11.250%, 10/15/10 (C) 1,200 360
Brown Shoe
8.750%, 05/01/12 1,025 769
Burlington Coat Factory Warehouse
11.125%, 04/15/14 (C) 1,800 450
Caesars Entertainment
7.875%, 03/15/10 350 182
Carrols
9.000%, 01/15/13 700 465
CBS
7.700%, 07/30/10 5,400 5,051
CCH I Holdings LLC
11.750%, 05/15/14 (C) 150 19
11.125%, 01/15/14 275 39
10.000%, 05/15/14 350 47
9.920%, 04/01/14 (C) 400 54
CCH I LLC
11.000%, 10/01/15 (C) 7,672 2,033
11.000%, 10/01/15 275 58
CCH II LLC
10.250%, 09/15/10 (C) 2,470 1,254
CCH II LLC, Ser B
10.250%, 09/15/10 200 95
CCO Holdings LLC
8.750%, 11/15/13 (C) 4,405 2,511
Centex
5.125%, 10/01/13 370 222
4.550%, 11/01/10 255 210
Charter Communications
Operating LLC
10.875%, 09/15/14 (B) 2,825 2,027
Charter Communications
Operating LLC
8.000%, 04/30/12 (B) 3,200 2,280
Choctaw Resort Development Entity
7.250%, 11/15/19 (B) 930 493
Cinemark
6.470%, 03/15/14 (D) 425 349
Claire's Stores
10.500%, 06/01/17 (C) 425 57
9.625%, 06/01/15 (C) 2,265 226
9.250%, 06/01/15 (C) 750 131
Cooper-Standard Automotive
8.375%, 12/15/14 450 122
Couche-Tard US
7.500%, 12/15/13 6,483 4,911
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
149
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
COX Communications
7.875%, 08/15/09 $ 1,320 $ 1,274
CSC Holdings
8.125%, 07/15/09 4,000 3,840
CSC Holdings, Ser B
8.125%, 08/15/09 75 72
Dana (escrow security)
7.000%, 03/01/09 175 4
7.000%, 03/15/28 200 5
6.500%, 03/01/29 1,100 27
6.500%, 03/15/08 100 2
Delphi
7.125%, 05/01/29 (E) 925 18
Denny's Holdings
10.000%, 10/01/12 280 192
Dex Media
9.000%, 11/15/13 (C) 1,625 211
9.000%, 11/15/13 3,110 404
8.000%, 11/15/13 725 94
Dex Media West, Ser B
9.875%, 08/15/13 4,160 915
9.875%, 08/15/13 1,215 267
8.500%, 08/15/10 4,000 2,480
DirecTV Holdings LLC
6.375%, 06/15/15 4,972 4,040
Dollar General
10.625%, 07/15/15 (C) 785 707
DR Horton
6.500%, 04/15/16 325 205
6.000%, 04/15/11 1,095 854
5.625%, 01/15/16 600 363
Echostar DBS
7.125%, 02/01/16 3,515 2,496
7.000%, 10/01/13 300 225
6.625%, 10/01/14 2,490 1,780
El Dorado Casino Shreveport PIK
10.000%, 08/01/12 1,102 970
Expedia
8.500%, 07/01/16 (B) (C) 1,570 958
Eye Care Centers of America
10.750%, 02/15/15 600 564
Ferrellgas Partners
6.750%, 05/01/14 (B) 1,500 1,050
Fontainebleau Las Vegas
10.250%, 06/15/15 (B) 4,225 549
Ford Motor
7.450%, 07/16/31 (C) 2,441 610
6.500%, 08/01/18 3,085 586
Gaylord Entertainment
8.000%, 11/15/13 1,260 748
6.750%, 11/15/14 260 141
General Motors
8.375%, 07/15/33 (C) 1,649 363
8.250%, 07/15/23 (C) 2,800 560
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
7.700%, 04/15/16 $ 2,901 $ 609
7.125%, 07/15/13 (C) 3,235 793
General Nutrition Centers PIK
7.583%, 03/15/09 (A) 750 431
Goodyear Tire & Rubber
9.000%, 07/01/15 (C) 1,051 783
8.625%, 12/01/11 831 620
7.857%, 08/15/11 375 274
Great Canadian Gaming
7.250%, 02/15/15 (B) 275 190
Group 1 Automotive
8.250%, 08/15/13 100 61
GSC Holdings
8.000%, 10/01/12 1,480 1,295
Hanesbrands, Ser B
6.508%, 12/15/08 (A) 4,335 2,796
Harrah's Operating
10.750%, 02/01/16 (B) (C) 5,030 1,119
8.000%, 02/01/11 625 313
5.500%, 07/01/10 300 142
Herbst Gaming
8.125%, 06/01/12 (E) 1,075 1
7.000%, 11/15/14 (E) 900 1
Hertz
10.500%, 01/01/16 (C) 1,400 560
8.875%, 01/01/14 (C) 885 457
8.875%, 01/01/14 3,575 1,846
Idearc
8.000%, 11/15/16 1,680 139
Indianapolis Downs
11.000%, 11/01/12 (B) (C) 900 428
Inergy
8.250%, 03/01/16 (B) 400 294
6.875%, 12/15/14 1,130 822
Inn of the Mountain Gods
12.000%, 11/15/10 325 107
Invista
9.250%, 05/01/12 (B) 450 328
Jarden
7.500%, 05/01/17 (C) 5,785 3,760
K. Hovnanian Enterprises
11.500%, 05/01/13 (B) 50 38
8.625%, 01/15/17 1,825 493
7.500%, 05/15/16 725 192
6.500%, 01/15/14 500 125
6.375%, 12/15/14 285 71
6.250%, 01/15/15 750 180
6.250%, 01/15/16 1,150 299
Lamar Media
7.250%, 01/01/13 (C) 2,150 1,704
6.625%, 08/15/15 (C) 4,580 3,321
LBI Media
11.000%, 10/15/13 625 219
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
150
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Lear
8.750%, 12/01/16 $ 1,355 $ 291
Leslie's Poolmart
7.750%, 02/01/13 525 389
Levi Strauss
9.750%, 01/15/15 723 434
LIN Television, Ser B
6.500%, 05/15/13 1,130 525
M/I Homes
6.875%, 04/01/12 400 212
Mediacom LLC
9.500%, 01/15/13 (C) 1,618 1,327
MediMedia USA
11.375%, 11/15/14 (B) 725 565
Meritage Homes
7.000%, 05/01/14 75 45
6.250%, 03/15/15 50 25
MGM Mirage
13.000%, 11/15/13 (B) (C) 445 372
7.500%, 06/01/16 (C) 7,020 3,615
6.875%, 04/01/16 2,020 1,050
6.750%, 09/01/12 3,200 1,728
6.750%, 04/01/13 2,550 1,326
6.000%, 10/01/09 1,750 1,418
5.875%, 02/27/14 3,085 1,573
Michaels Stores
11.375%, 11/01/16 21 5
10.000%, 11/01/14 (C) 850 268
Mobile Services Group
9.750%, 08/01/14 425 314
Mohegan Tribal Gaming Authority
6.875%, 02/15/15 (C) 975 522
6.125%, 02/15/13 (C) 325 216
Neff
10.000%, 06/01/15 (C) 1,800 315
Neiman-Marcus Group
10.375%, 10/15/15 (C) 1,410 529
Neiman-Marcus Group PIK
9.000%, 10/15/15 (C) 3,735 1,587
OSI Restaurant Partners
10.000%, 06/15/15 (C) 900 180
Penhall International
12.000%, 08/01/14 (B) 750 285
Penn National Gaming
6.750%, 03/01/15 3,490 2,303
Penske Auto Group
7.750%, 12/15/16 1,700 620
Perry Ellis International, Ser B
8.875%, 09/15/13 1,544 880
Phillips-Van Heusen
8.125%, 05/01/13 475 327
Pinnacle Entertainment
8.750%, 10/01/13 675 513
8.250%, 03/15/12 (C) 740 540
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Pokagon Gaming Authority
10.375%, 06/15/14 (B) $ 2,206 $ 1,864
Quebecor Media
7.750%, 03/15/16 700 469
Rent-A-Center, Ser B
7.500%, 05/01/10 (C) 2,125 1,976
RH Donnelley
8.875%, 10/15/17 (C) 4,075 530
RH Donnelley, Ser A-1
6.875%, 01/15/13 350 45
RH Donnelley, Ser A-2
6.875%, 01/15/13 1,810 235
RH Donnelley, Ser A-3
8.875%, 01/15/16 100 13
RJ Tower
12.000%, 06/01/13 (C) (E) 425 1
Royal Caribbean Cruises
7.250%, 06/15/16 1,065 607
7.000%, 06/15/13 (C) 670 402
RSC Equipment Rental
9.500%, 12/01/14 (C) 6,035 2,957
Ryland Group
6.875%, 06/15/13 560 386
5.375%, 05/15/12 525 368
Sally Holdings LLC
10.500%, 11/15/16 1,120 650
9.250%, 11/15/14 (C) 3,320 2,507
Sealy Mattress
8.250%, 06/15/14 (C) 5,085 2,771
Service International
7.375%, 10/01/14 1,555 1,260
7.000%, 06/15/17 975 702
6.750%, 04/01/16 1,725 1,302
6.750%, 04/01/15 1,330 1,011
SGS International
12.000%, 12/15/13 1,350 729
Shingle Springs Tribal Group
9.375%, 06/15/15 (B) 500 225
Simmons
10.000%, 12/15/14 (C) 6,595 1,319
Sinclair Broadcast Group
8.000%, 03/15/12 4,100 3,198
4.875%, 07/15/18 (B) (D) 400 214
Six Flags
9.625%, 06/01/14 (C) 550 77
Sonic Automotive, Ser B
8.625%, 08/15/13 1,907 687
Stanadyne Holdings
12.000%, 02/15/15 (D) 1,500 705
Stanadyne Holdings, Ser 1
10.000%, 08/15/14 475 318
Standard-Pacific
7.750%, 03/15/13 625 328
7.000%, 08/15/15 (C) 700 347
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
151
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Station Casinos
6.875%, 03/01/16 $ 760 $ 65
6.625%, 03/15/18 2,290 206
Steinway Musical Instruments
7.000%, 03/01/14 (B) 5,645 3,951
Stewart Enterprises
6.250%, 02/15/13 1,215 984
Sun Media
7.625%, 02/15/13 1,175 969
Tenneco
8.625%, 11/15/14 (C) 4,200 1,554
8.125%, 11/15/15 365 157
Toll
8.250%, 12/01/11 1,340 1,099
8.250%, 02/01/11 (C) 940 780
Town Sports International
12.205%, 02/01/14 (D) 1,454 1,265
Travelport LLC
11.875%, 09/01/16 (C) 5,585 1,340
9.875%, 09/01/14 415 145
7.436%, 03/02/09 (A) 2,044 491
TRW Automotive
7.250%, 03/15/17 (B) 1,805 830
7.000%, 03/15/14 (B) (C) 2,985 1,448
UAL 1995 Pass Through Trust A
9.020%, 04/19/12 584 175
United Components
9.375%, 06/15/13 1,460 759
United Rentals North America
6.500%, 02/15/12 1,900 1,330
Univision Communications
9.750%, 03/15/15 (B) 1,100 140
Vail Resorts
6.750%, 02/15/14 3,765 2,730
Vicorp Restaurants
10.500%, 04/15/11 (E) 500 15
Videotron
6.875%, 01/15/14 3,529 2,947
Visteon
12.250%, 12/31/16 (B) 259 44
8.250%, 08/01/10 (C) 250 77
7.000%, 03/10/14 15 2
WMG Acquisition
7.375%, 04/15/14 260 156
-------------
166,719
-------------
CONSUMER STAPLES -- 5.4%
B&G Foods
8.000%, 10/01/11 500 415
Biomet
11.625%, 10/15/17 1,800 1,350
Chiquita Brands International
8.875%, 12/01/15 (C) 2,040 1,449
7.500%, 11/01/14 410 279
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Constellation Brands
8.375%, 12/15/14 (C) $ 2,005 $ 1,744
7.250%, 05/15/17 3,150 2,615
7.250%, 09/01/16 (C) 5,730 4,756
Del Monte
8.625%, 12/15/12 940 851
6.750%, 02/15/15 2,760 2,249
DJO Finance LLC
10.875%, 11/15/14 2,000 1,460
Dole Food
7.250%, 06/15/10 225 159
Education Management LLC
10.250%, 06/01/16 (C) 3,100 2,154
8.750%, 06/01/14 150 109
Elizabeth Arden
7.750%, 01/15/14 (C) 1,425 969
Fleming
10.125%, 04/01/08 (E) 956 19
9.250%, 06/15/10 (E) 188 4
HCA
9.625%, 11/15/16 12,060 8,683
9.250%, 11/15/16 (C) 8,428 6,869
9.125%, 11/15/14 125 102
6.500%, 02/15/16 565 316
Johnsondiversey Holdings
10.670%, 05/15/13 560 398
Laureate Education
10.000%, 08/15/15 (B) 525 341
Merisant
9.500%, 07/15/13 (C) 2,325 372
Merisant Worldwide
12.250%, 05/15/14 1,100 --
Michael Foods
8.000%, 11/15/13 3,150 2,677
National Beef Packing
10.500%, 08/01/11 697 511
NBTY
7.125%, 10/01/15 2,356 1,743
Pantry
7.750%, 02/15/14 2,450 1,715
Quebecor World Capital
8.750%, 03/15/16 (B) (C) (E) 2,175 141
6.125%, 11/15/13 (C) (E) 1,800 63
Rite Aid
10.375%, 07/15/16 225 151
9.500%, 06/15/17 (C) 5,315 1,568
9.375%, 12/15/11 400 118
8.625%, 03/01/15 850 244
7.700%, 02/15/27 150 27
7.500%, 03/01/17 (C) 1,270 724
6.875%, 12/15/28 (B) 350 63
6.875%, 08/15/13 (C) 100 25
Seminole Indian Tribe of Florida
7.804%, 10/01/20 (B) 950 832
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
152
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Smithfield Foods
7.750%, 05/15/13 $ 315 $ 173
7.750%, 07/01/17 125 66
7.000%, 08/01/11 275 165
Spectrum Brands
7.375%, 02/01/15 (C) 1,960 392
SuperValu
7.500%, 11/15/14 1,400 1,092
Tyson Foods
6.600%, 04/01/16 505 315
Universal Hospital Services PIK
8.500%, 06/01/15 275 209
Universal Hospital Services
6.302%, 06/01/09 (A) 200 130
VWR Funding
10.250%, 07/15/15 1,025 620
-------------
51,427
-------------
ENERGY -- 10.2%
Allis-Chalmers Energy
9.000%, 01/15/14 4,713 2,757
Atlas Energy Resources LLC
10.750%, 02/01/18 (B) 1,420 895
Atlas Pipeline Partners
8.125%, 12/15/15 350 227
Aventine Renewable Energy
10.000%, 04/01/17 (C) 2,600 546
Brigham Exploration
9.625%, 05/01/14 875 446
Calfrac Holdings
7.750%, 02/15/15 (B) 3,000 1,680
Chaparral Energy
8.875%, 02/01/17 1,900 703
8.500%, 12/01/15 750 278
Chesapeake Energy
7.625%, 07/15/13 300 240
7.500%, 06/15/14 719 561
7.250%, 12/15/18 1,040 728
7.000%, 08/15/14 (C) 3,896 2,961
6.875%, 01/15/16 1,795 1,265
6.875%, 11/15/20 175 114
6.500%, 08/15/17 825 563
Cimarex Energy
7.125%, 05/01/17 1,650 1,287
Colorado Interstate Gas
6.800%, 11/15/15 88 73
Complete Production Services
8.000%, 12/15/16 345 217
Compton Petroleum Finance
7.625%, 12/01/13 1,820 746
Connacher Oil and Gas
10.250%, 12/15/15 (B) 2,070 1,076
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Copano Energy LLC
7.750%, 06/01/18 (B) $ 4,205 $ 2,754
Denbury Resources
7.500%, 12/15/15 3,100 2,123
7.500%, 04/01/13 4,300 3,160
Dynegy Holdings
8.375%, 05/01/16 1,775 1,234
7.750%, 06/01/19 2,180 1,450
7.500%, 06/01/15 2,385 1,658
6.875%, 04/01/11 225 185
El Paso
8.050%, 10/15/30 150 95
7.875%, 06/15/12 (C) 1,425 1,187
7.800%, 08/01/31 1,450 921
7.420%, 02/15/37 1,300 773
7.250%, 06/01/18 3,185 2,214
7.000%, 06/15/17 1,770 1,260
6.875%, 06/15/14 775 575
El Paso Performance-Linked Trust
7.750%, 07/15/11 (B) 450 373
Energy Partners
9.750%, 04/15/14 (C) 545 251
7.916%, 01/15/09 (A) 200 88
Forest Oil
8.000%, 12/15/11 1,025 897
7.750%, 05/01/14 505 401
7.250%, 06/15/19 (C) 430 295
7.250%, 06/15/19 (B) 930 637
Frontier Oil
8.500%, 09/15/16 470 395
Helix Energy Solutions Group
9.500%, 01/15/16 (B) 3,630 1,906
Hillcorp Energy
9.000%, 06/01/16 (B) 1,035 740
7.750%, 11/01/15 (B) 3,705 2,649
Holly Energy Partners
6.250%, 03/01/15 1,200 768
International Coal Group
10.250%, 07/15/14 1,050 793
KCS Energy
7.125%, 04/01/12 1,835 1,321
Key Energy Services
8.375%, 12/01/14 (B) 650 454
Mariner Energy
8.000%, 05/15/17 680 364
MarkWest Energy Partners
8.750%, 04/15/18 (B) 3,270 2,060
8.750%, 04/15/18 100 63
MarkWest Energy Partners, Ser B
8.500%, 07/15/16 250 164
6.875%, 11/01/14 1,125 743
Massey Energy
6.875%, 12/15/13 1,105 749
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
153
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Newfield Exploration
7.125%, 05/15/18 $ 1,800 $ 1,278
6.625%, 04/15/16 2,845 2,077
OPTI Canada
8.250%, 12/15/14 2,005 782
7.875%, 12/15/14 1,280 486
Pacific Energy Partners
7.125%, 06/15/14 200 185
6.250%, 09/15/15 100 80
Parker Drilling
9.625%, 10/01/13 639 527
Peabody Energy
7.375%, 11/01/16 (C) 175 150
Peabody Energy, Ser B
6.875%, 03/15/13 3,700 3,145
PetroHawk Energy
9.125%, 07/15/13 3,657 2,798
7.875%, 06/01/15 (B) 2,300 1,621
Petroleum Development
12.000%, 02/15/18 2,675 1,832
PetroProd
10.850%, 05/24/13 900 167
PHI
7.125%, 04/15/13 125 76
Plains Exploration & Production
7.625%, 06/01/18 350 233
7.000%, 03/15/17 1,120 750
Pride International
7.375%, 07/15/14 3,001 2,558
Quicksilver Resources
8.250%, 08/01/15 (C) 2,040 1,316
7.125%, 04/01/16 1,075 618
Range Resources
7.250%, 05/01/18 725 575
6.375%, 03/15/15 1,075 860
Sabine Pass LNG LP
7.500%, 11/30/16 (B) 625 431
7.500%, 11/30/16 720 497
7.250%, 11/30/13 (C) 1,550 1,108
SandRidge Energy
8.625%, 04/01/15 (B) 1,025 651
8.000%, 06/01/18 (B) 1,985 1,270
SESI LLC
6.875%, 06/01/14 950 665
Sonat
7.625%, 07/15/11 750 620
Southwestern Energy
7.500%, 02/01/18 (B) 2,000 1,690
Swift Energy
7.625%, 07/15/11 6,100 5,124
Targa Resources Partners
8.500%, 11/01/13 375 206
8.250%, 07/01/16 (B) 925 601
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Tesoro
6.625%, 11/01/15 $ 1,755 $ 1,088
United Refining
10.500%, 08/15/12 850 527
Venoco
8.750%, 12/15/11 2,940 1,984
Whiting Petroleum
7.250%, 05/01/13 1,505 1,069
Williams
7.875%, 09/01/21 885 673
7.750%, 06/15/31 475 321
Williams Partners
7.250%, 02/01/17 2,905 2,280
Williams, Ser A
7.500%, 01/15/31 375 246
-------------
96,228
-------------
FINANCIALS -- 6.9%
AAC Group Holding
10.250%, 10/01/12 (B) 1,080 896
ACE Cash Express
10.250%, 10/01/14 (B) 675 270
Algoma Acquisition
9.875%, 06/15/15 (B) 150 78
ALH Finance LLC
8.500%, 01/15/13 4,335 3,338
Alliant Holdings
11.000%, 05/01/15 (B) 1,225 873
American Achievement Group
Holding
14.750%, 10/01/12 1,023 972
Cardtronics
9.250%, 08/15/13 1,010 749
9.250%, 08/15/13 605 448
Deluxe
7.375%, 06/01/15 200 122
Felcor Lodging L.P.
4.803%, 06/01/09+++ (A) 200 116
FireKeepers Development Authority
13.875%, 05/01/15 (B) 600 390
Ford Motor Credit LLC
12.000%, 05/15/15 275 134
9.875%, 08/10/11 400 186
9.750%, 09/15/10 400 202
8.000%, 12/15/16 2,275 959
7.800%, 06/01/12 7,045 3,039
7.569%, 01/13/09 (A) 900 396
7.250%, 10/25/11 1,965 869
7.241%, 01/15/09 (A) 3,340 1,470
7.000%, 10/01/13 4,212 1,772
4.361%, 01/15/09 (A) 680 371
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
154
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
FTI Consulting
7.750%, 10/01/16 $ 50 $ 43
7.625%, 06/15/13 960 854
Galaxy Entertainment Finance
9.875%, 12/15/12 (B) (C) 995 368
Global Cash Access LLC
8.750%, 03/15/12 575 449
GMAC LLC
8.000%, 11/01/31 (C) 5,568 1,464
7.750%, 01/19/10 (C) 150 80
7.250%, 03/02/11 1,275 521
7.000%, 02/01/12 100 35
6.875%, 08/28/12 8,405 2,942
6.875%, 09/15/11 3,900 1,499
6.750%, 12/01/14 (C) 5,840 1,898
6.625%, 05/15/12 1,755 615
6.000%, 12/15/11 (C) 425 151
5.625%, 05/15/09 640 441
3.399%, 02/17/09 (A) 425 276
GrafTech Finance
10.250%, 02/15/12 78 71
Hawker Beechcraft Acquisition LLC
PIK
8.875%, 04/01/15 2,955 1,212
Hawker Beechcraft Acquisition LLC
9.750%, 04/01/17 (B) 200 65
Hellas II
10.502%, 01/15/09 (A) (B) 2,100 462
Hexion US Fin/Nova Scotia
9.750%, 11/15/14 4,460 2,319
7.304%, 02/15/09 (A) 750 368
Host Hotels & Resorts LP
6.875%, 11/01/14+++ (C) 1,790 1,235
Host Marriott LP
7.125%, 11/01/13+++ 2,190 1,593
Host Marriott LP, Ser M
7.000%, 08/15/12+++ 25 19
Host Marriott LP, Ser O
6.375%, 03/15/15+++ 1,020 686
Host Marriott LP, Ser Q
6.750%, 06/01/16+++ 2,460 1,636
HUB International Holdings
9.000%, 12/15/14 (B) 3,250 2,149
Hughes Network Systems LLC
9.500%, 04/15/14 1,110 916
Icahn Enterprises
7.125%, 02/15/13 5,325 3,208
iPayment
9.750%, 05/15/14 1,100 748
JPMorgan Chase
7.900%, 04/30/09 (A) 340 266
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
KAR Holdings
10.000%, 05/01/15 $ 1,125 $ 315
8.750%, 05/01/14 2,400 1,020
6.801%, 02/02/09 (A) 800 336
LaBranche
11.000%, 05/15/12 380 315
Lehman Brothers Holdings MTN
6.875%, 05/02/18 (E) 1,225 123
5.625%, 01/24/13 (E) 550 58
Leucadia National
8.125%, 09/15/15 450 391
Marlin Water Trust II
6.310%, 07/15/03 (B) (E) 4,000 5
MetLife Capital Trust X
9.250%, 04/08/09 (A) (B) 600 399
Nuveen Investments
10.500%, 11/15/15 (B) 6,925 2,121
10.500%, 11/15/15 (B) (C) 840 257
Omega Healthcare Investors
7.000%, 01/15/16+++ 825 631
Petroplus Finance
7.000%, 05/01/17 (B) (C) 2,500 1,550
6.750%, 05/01/14 (B) (C) 1,645 1,061
Pinnacle Foods Finance LLC
10.625%, 04/01/17 (C) 2,150 1,204
9.250%, 04/01/15 600 396
PXRE Capital Trust I
8.850%, 02/01/27 1,600 1,096
Rainbow National Services LLC
10.375%, 09/01/14 (B) 490 424
Regency Energy Partners
8.375%, 12/15/13 1,435 1,015
Rouse LP
6.750%, 05/01/13+++ (B) 1,000 220
Senior Housing Properties Trust
7.875%, 04/15/15+++ 645 529
Silicon Valley Bank
5.700%, 06/01/12 675 642
Snoqualmie Entertainment Authority
9.125%, 02/01/15 (B) (C) 1,375 797
6.875%, 02/01/09 (A) (B) 275 162
UCI Holdco
10.319%, 12/15/08 (A) 1,089 349
Universal City Development Partners
11.750%, 04/01/10 840 546
Universal City Florida Holding
7.551%, 02/01/09 (A) 2,823 1,299
USB Capital IX
6.189%, 04/15/09 (A) 415 216
Ventas Realty LP
7.125%, 06/01/15+++ 925 758
6.750%, 04/01/17+++ 775 581
6.625%, 10/15/14+++ 375 307
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
155
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Wells Fargo Capital XIII MTN
7.700%, 03/26/09 (A) $ 345 $ 280
-------------
65,642
-------------
HEALTH CARE -- 4.7%
Advanced Medical Optics
7.500%, 05/01/17 2,900 1,595
Alliance Imaging, Ser B
7.250%, 12/15/12 550 458
Biomet
10.375%, 10/15/17 8,180 6,053
10.000%, 10/15/17 (C) 1,055 950
Bio-Rad Laboratories
6.125%, 12/15/14 900 711
Community Health Systems
8.875%, 07/15/15 (C) 8,790 7,054
Cooper
7.125%, 02/15/15 2,435 1,832
CRC Health
10.750%, 02/01/16 1,925 1,117
DaVita
6.625%, 03/15/13 4,000 3,540
Fresenius Medical Care Capital
Trust IV
7.875%, 06/15/11 1,820 1,656
HCA
6.750%, 07/15/13 555 355
Healthsouth
9.133%, 12/15/08 (A) 1,045 867
IASIS Healthcare LLC
8.750%, 06/15/14 450 342
MedCath Holdings
9.875%, 07/15/12 (C) 1,055 1,100
NMH Holdings
9.944%, 12/15/08 (A) (B) 745 447
Psychiatric Solutions
7.750%, 07/15/15 2,625 1,903
Res-Care
7.750%, 10/15/13 625 563
Select Medical
7.625%, 02/01/15 1,855 1,094
Spheris
11.000%, 12/15/12 1,400 532
Sun Healthcare
9.125%, 04/15/15 375 311
Surgical Care Affiliates
8.875%, 07/15/15 (B) 1,580 948
Tenet Healthcare
9.875%, 07/01/14 1,200 864
9.250%, 02/01/15 (C) 5,245 3,777
6.375%, 12/01/11 75 57
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
United Surgical Partners International
PIK
9.250%, 05/01/17 $ 3,190 $ 1,914
United Surgical Partners International
8.875%, 05/01/17 (C) 2,985 1,955
US Oncology
10.750%, 08/15/14 950 713
9.000%, 08/15/12 675 562
Vanguard Health Holding I
11.250%, 10/01/15 (D) 600 462
Vanguard Health Holding II
9.000%, 10/01/14 550 440
-------------
44,172
-------------
INDUSTRIALS -- 7.6%
ACCO Brands
7.625%, 08/15/15 5,360 2,787
ACIH
11.500%, 12/15/12 (B) (E) 1,225 92
Actuant
6.875%, 06/15/17 3,400 2,669
AGY Holding
11.000%, 11/15/14 (B) 800 480
Ahern Rentals
9.250%, 08/15/13 (C) 725 203
Aleris International
10.000%, 12/15/16 1,675 176
Aleris International PIK
9.000%, 12/15/14 550 33
Allied Waste North America
7.250%, 03/15/15 1,045 922
6.875%, 06/01/17 660 574
6.500%, 11/15/10 4,400 4,158
6.125%, 02/15/14 (C) 1,550 1,345
Allied Waste North America, Ser B
7.375%, 04/15/14 (C) 943 853
7.125%, 05/15/16 460 405
Allison Transmission
11.250%, 11/01/15 (B) (C) 875 350
Altos Hornos de Mexico, Ser A
11.375%, 04/30/02 (E) 525 68
Altos Hornos de Mexico, Ser B
11.875%, 04/30/04 (E) 975 127
American Airlines, Ser 01-1
7.379%, 05/23/16 (C) 95 41
American Railcar Industries
7.500%, 03/01/14 325 234
Ames True Temper
10.000%, 07/15/12 (C) 1,135 488
6.791%, 01/15/09 (A) 1,220 634
Associated Materials
9.750%, 04/15/12 (C) 1,070 915
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
156
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Baker & Taylor
11.500%, 07/01/13 (B) $ 925 $ 463
Baldor Electric
8.625%, 02/15/17 2,070 1,522
BE Aerospace
8.500%, 07/01/18 1,950 1,609
Belden
7.000%, 03/15/17 175 130
Buffalo Thunder Development
Authority
9.375%, 12/15/14 (B) 2,050 656
Casella Waste Systems
9.750%, 02/01/13 1,385 1,205
Chart Industries
9.125%, 10/15/15 325 236
Cornell
10.750%, 07/01/12 680 605
Corrections Corp of America
7.500%, 05/01/11 1,300 1,235
6.750%, 01/31/14 520 465
6.250%, 03/15/13 1,883 1,657
Delta Air Lines, Ser 2002-1, Cl C
7.779%, 01/02/12 (C) 655 550
Delta Air Lines, Ser 2002-1
8.300%, 12/15/29 (C) 850 13
DRS Technologies
7.625%, 02/01/18 1,466 1,455
6.875%, 11/01/13 125 124
6.625%, 02/01/16 775 769
ESCO
6.694%, 12/15/08 (A) (B) 125 81
FTI Consulting
7.750%, 10/01/16 1,005 864
General Cable
7.125%, 04/01/17 (C) 240 151
Graphic Packaging International
9.500%, 08/15/13 (C) 1,315 907
Greenbrier
8.375%, 05/15/15 1,190 881
Gulfmark Offshore
7.750%, 07/15/14 1,304 946
Indalex Holding, Ser B
11.500%, 02/01/14 401 44
Interface
9.500%, 02/01/14 275 220
Interline Brands
8.125%, 06/15/14 1,120 840
Iron Mountain
8.750%, 07/15/18 (C) 1,060 901
8.625%, 04/01/13 375 338
8.000%, 06/15/20 975 751
6.625%, 01/01/16 2,070 1,615
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
J.B. Poindexter
8.750%, 03/15/14 (C) $ 325 $ 136
Kansas City Southern de Mexico
9.375%, 05/01/12 1,010 803
L-3 Communications
7.625%, 06/15/12 1,075 994
5.875%, 01/15/15 2,587 2,095
L-3 Communications, Ser B
6.375%, 10/15/15 4,701 3,902
Language Line
11.125%, 06/15/12 1,875 1,762
MAAX
9.750%, 06/15/12 (E) 300 2
Millar Western Forest
7.750%, 11/15/13 257 108
Mobile Mini
6.875%, 05/01/15 1,215 863
Moog
7.250%, 06/15/18 (B) 420 324
Mueller Water Products
7.375%, 06/01/17 1,050 698
Nebraska Book
8.625%, 03/15/12 250 128
Noble Group
6.625%, 03/17/15 (B) 475 285
Nortek
8.500%, 09/01/14 300 91
Northwest Airlines (escrow security)
8.875%, 06/01/06 1,500 2
7.875%, 03/15/08 175 --
7.625%, 11/15/23 (D) 1,175 1
Park-Ohio Industries
8.375%, 11/15/14 775 318
Ply Gem Industries
11.750%, 06/15/13 (B) 1,050 622
Propex Fabrics
10.000%, 12/01/12 (E) 125 --
Quality Distribution LLC
9.000%, 11/15/10 800 232
Rainbow National Services LLC
8.750%, 09/01/12 (B) 1,210 1,065
RBS Global & Rexnord
11.750%, 08/01/16 (C) 450 261
9.500%, 08/01/14 960 672
8.875%, 09/01/16 2,740 1,699
Saint Acquisition
12.500%, 05/15/17 (B) (C) 50 7
Sequa
11.750%, 12/01/15 (B) 1,050 462
SPX
7.625%, 12/15/14 (B) 1,330 1,084
Terex
8.000%, 11/15/17 9,600 6,864
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
157
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Thermadyne Holdings
9.250%, 02/01/14 $ 1,040 $ 821
Titan International
8.000%, 01/15/12 3,360 2,621
TransDigm
7.750%, 07/15/14 1,475 1,121
United Air Lines
9.125%, 01/15/12 (E) 625 --
United Air Lines, Ser A
10.670%, 05/01/04 (E) 325 --
Vought Aircraft Industries
8.000%, 07/15/11 1,070 738
8.000%, 07/15/11 3,000 2,070
-------------
71,638
-------------
INFORMATION TECHNOLOGY -- 4.0%
Activant Solutions
9.500%, 05/01/16 1,900 1,102
Advanced Micro Devices
7.750%, 11/01/12 (C) 1,875 1,162
Amkor Technology
9.250%, 06/01/16 1,750 1,024
7.125%, 03/15/11 2,000 1,450
Celestica
7.875%, 07/01/11 470 400
Compagnie Generale de Geophysique
7.750%, 05/15/17 715 439
7.500%, 05/15/15 1,339 870
Compucom Systems
12.500%, 10/01/15 (B) 1,025 741
First Data
9.875%, 09/24/15 (B) 2,475 1,423
Flextronics International
6.500%, 05/15/13 1,500 1,170
6.250%, 11/15/14 2,055 1,521
Freescale Semiconductor PIK
9.125%, 12/15/14 7,135 1,463
Freescale Semiconductor
8.875%, 12/15/14 (C) 3,130 1,064
6.694%, 12/15/08 (A) 250 61
Lender Processing Services
8.125%, 07/01/16 (B) 225 189
MagnaChip Semiconductor
6.875%, 12/15/11 (C) 425 23
NXP Funding LLC
9.500%, 10/15/15 (C) 3,520 634
7.875%, 10/15/14 3,280 984
Open Solutions
9.750%, 02/01/15 (B) 5,125 1,563
Sanmina-SCI
5.569%, 12/15/08 (A) (B) (C) 1,250 837
5.569%, 12/15/08 (A) (B) 2,380 2,023
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Seitel
9.750%, 02/15/14 $ 2,825 $ 1,638
Sensata Technologies
8.000%, 05/01/14 4,205 1,892
Smart Modular
9.383%, 01/01/09 (A) 4,960 4,737
Sungard Data Systems
10.625%, 05/15/15 (B) 75 58
10.250%, 08/15/15 8,934 5,182
9.125%, 08/15/13 907 703
3.750%, 01/15/09 4,000 3,960
-------------
38,313
-------------
MATERIALS -- 8.3%
Abitibi-Consolidated
8.850%, 08/01/30 150 27
8.550%, 08/01/10 2,850 513
8.375%, 04/01/15 425 64
Airgas
7.125%, 10/01/18 (B) 400 320
AK Steel
7.750%, 06/15/12 4,100 2,880
Appleton Papers, Ser B
9.750%, 06/15/14 975 527
Arch Western Finance LLC
6.750%, 07/01/13 (C) 7,120 5,732
Ball
6.875%, 12/15/12 (C) 825 773
Basell
8.375%, 08/15/15 (B) 1,250 191
Bowater
9.500%, 10/15/12 475 105
9.000%, 08/01/09 400 174
Bowater Canada Finance
7.950%, 11/15/11 300 66
Bway
10.000%, 10/15/10 2,015 1,733
California Steel Industries
6.125%, 03/15/14 275 168
Cascades
7.250%, 02/15/13 625 350
Catalyst Paper
7.375%, 03/01/14 338 152
Catalyst Paper, Ser D
8.625%, 06/15/11 1,545 873
Crown Americas
7.750%, 11/15/15 1,312 1,187
Crown Cork & Seal
8.000%, 04/15/23 (C) 1,675 1,235
Domtar
9.500%, 08/01/16 (C) 250 199
7.125%, 08/15/15 2,050 1,394
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
158
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Evraz Group
9.500%, 04/24/18 (B) (C) $ 3,150 $ 1,355
8.875%, 04/24/13 (B) 1,500 653
FMG Finance
10.625%, 09/01/16 (B) 1,995 1,127
Freeport-McMoRan Copper
6.750%, 05/01/10 2 74
Freeport-McMoRan Copper & Gold
8.375%, 04/01/17 7,690 5,460
8.250%, 04/01/15 2,105 1,526
7.084%, 04/01/09 (A) 1,200 720
Georgia Gulf
9.500%, 10/15/14 (C) 325 107
7.125%, 12/15/13 125 42
Georgia-Pacific
8.125%, 05/15/11 1,200 1,026
8.000%, 01/15/24 1,750 1,129
7.700%, 06/15/15 1,575 1,197
7.125%, 01/15/17 (B) (C) 2,595 1,907
7.000%, 01/15/15 (B) (C) 3,380 2,569
Georgia-Pacific LLC
9.500%, 12/01/11 135 118
Graham Packaging
9.875%, 10/15/14 4,855 3,059
Huntsman International LLC
7.875%, 11/15/14 1,355 894
Huntsman LLC
11.625%, 10/15/10 255 242
11.500%, 07/15/12 1,440 1,296
INEOS Group Holdings PLC
8.500%, 02/15/16 (B) 3,370 598
Innophos
8.875%, 08/15/14 1,535 1,305
Innophos Holdings
9.500%, 04/15/12 (B) 700 518
Intertape Polymer
8.500%, 08/01/14 935 711
Jefferson Smurfit
8.250%, 10/01/12 (C) 175 49
MacDermid
9.500%, 04/15/17 (B) 2,200 1,188
Methanex
6.000%, 08/15/15 175 162
Millennium America
7.625%, 11/15/26 200 32
Momentive Performance Materials
11.500%, 12/01/16 (C) 730 193
9.750%, 12/01/14 1,205 467
Mosaic
7.625%, 12/01/16 (B) (C) 2,825 2,429
Mosaic Global Holdings
7.300%, 01/15/28 325 224
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Nalco
8.875%, 11/15/13 $ 1,225 $ 980
7.750%, 11/15/11 1,815 1,611
Neenah
9.500%, 01/01/17 575 333
Newark Group
9.750%, 03/15/14 800 72
NewPage
10.000%, 05/01/12 (C) 1,615 872
Noranda Aluminium Acquisition
6.595%, 05/15/09 (A) 3,515 1,142
Noranda Aluminium Holding
8.345%, 05/15/09 (A) 900 108
Novelis
7.250%, 02/15/15 1,000 580
Owens Brockway Glass Container
6.750%, 12/01/14 1,245 1,083
P.H. Glatfelter
7.125%, 05/01/16 1,550 1,348
Packaging Dynamics Finance
10.000%, 05/01/16 (B) 2,565 1,180
PolyOne
8.875%, 05/01/12 (C) 1,415 865
8.875%, 05/01/12 (B) 1,930 1,180
Reichhold Industries
9.000%, 08/15/14 (B) 2,206 1,500
Rock-Tenn
9.250%, 03/15/16 (B) 665 572
5.625%, 03/15/13 2,200 1,782
Rockwood Specialties Group
7.500%, 11/15/14 1,855 1,521
Ryerson
12.000%, 11/01/15 (B) 1,000 625
10.176%, 02/01/09 (A) (B) 150 99
Sappi Papier Holding
6.750%, 06/15/12 (B) 1,100 809
Solo Cup
8.500%, 02/15/14 785 487
Steel Dynamics
7.750%, 04/15/16 (B) 2,420 1,476
7.375%, 11/01/12 2,310 1,709
Stone Container
8.375%, 07/01/12 3,000 840
8.000%, 03/15/17 (C) 1,150 305
Terra Capital, Ser B
7.000%, 02/01/17 1,575 1,138
Tube City IMS
9.750%, 02/01/15 750 375
U.S. Steel
6.650%, 06/01/37 150 88
Vedanta Resources
9.500%, 07/18/18 (B) 2,470 1,210
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
159
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Verso Paper Holdings LLC, Ser B
11.375%, 08/01/16 $ 325 $ 120
Vitro
11.750%, 11/01/13 1,005 281
9.125%, 02/01/17 (C) 3,915 1,038
-------------
78,369
-------------
TELECOMMUNICATION SERVICES -- 12.1%
American Tower
7.500%, 05/01/12 100 93
7.125%, 10/15/12 790 741
Centennial Communications
10.125%, 06/15/13 100 99
9.633%, 01/01/09 (A) 405 379
8.125%, 02/01/14 400 396
Charter Communications Operating LLC
8.375%, 04/30/14 (B) (C) 325 221
Cincinnati Bell
7.250%, 07/15/13 2,575 2,111
7.000%, 02/15/15 605 431
Citizens Communications
9.250%, 05/15/11 450 386
7.125%, 03/15/19 (C) 1,480 855
6.625%, 03/15/15 1,175 764
COX Enterprises
7.375%, 06/15/09 (B) 3,425 3,327
Cricket Communications
10.000%, 07/15/15 (B) 570 465
9.375%, 11/01/14 1,600 1,270
Cricket Communications I
9.375%, 11/01/14 (C) 5,985 4,751
CSC Holdings
8.500%, 06/15/15 (B) (C) 475 384
6.750%, 04/15/12 245 205
Digicel Group
9.250%, 09/01/12 (B) 2,260 1,672
9.125%, 01/15/15 (B) (C) 519 254
8.875%, 01/15/15 (B) (C) 4,400 2,266
DirecTV Holdings LLC
7.625%, 05/15/16 (C) 175 149
7.625%, 05/15/16 (B) 2,685 2,289
Echostar DBS
7.750%, 05/31/15 5,280 3,881
6.375%, 10/01/11 (C) 1,235 1,050
Fairpoint Communications
13.125%, 04/01/18 (B) 2,155 1,099
GCI
7.250%, 02/15/14 1,450 1,164
Hawaiian Telcom Communications,
Ser B
9.750%, 05/01/13 (C) (E) 500 20
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Inmarsat Finance
10.375%, 11/15/12 $ 1,635 $ 1,435
Intelsat
9.250%, 06/15/16 (B) 150 125
7.625%, 04/15/12 125 73
6.500%, 11/01/13 1,825 876
Intelsat Bermuda
11.250%, 06/15/16 5,655 4,552
Intelsat Jackson Holdings
9.500%, 06/15/16 (B) 740 625
Intelsat Subsidiary Holding
8.875%, 01/15/15 (B) (C) 3,750 3,131
8.500%, 01/15/13 (B) 2,450 2,095
iPCS
5.317%, 02/01/09 (A) 1,180 826
iPCS PIK
6.051%, 02/01/09 (A) 2,890 1,734
Lamar Media
6.625%, 08/15/15 475 344
LBI Media
8.500%, 08/01/17 (B) 170 59
Level 3 Financing
9.250%, 11/01/14 500 263
8.750%, 02/15/17 1,125 543
6.845%, 02/17/09 (A) 100 44
Liberty Media LLC
7.875%, 07/15/09 3,600 3,528
Lucent Technologies
6.450%, 03/15/29 235 94
MetroPCS Wireless
9.250%, 11/01/14 6,835 5,605
Nextel Communications
6.875%, 10/31/13 (C) 600 252
Nielsen Finance LLC
12.500%, 08/01/16 (D) 825 305
10.000%, 08/01/14 625 450
Nordic Telephone Holdings
8.875%, 05/01/16 (B) 4,300 3,117
Nortel Networks
10.750%, 07/15/16 (B) 1,995 579
10.750%, 07/15/16 525 152
10.125%, 07/15/13 350 108
9.002%, 01/15/09 (A) 550 179
Orascom Telecom Finance
7.875%, 02/08/14 (B) (C) 2,000 1,100
PAETEC Holding
9.500%, 07/15/15 2,936 1,637
9.500%, 07/15/15 (C) 570 318
Primus Telecommunications
8.000%, 01/15/14 (C) 1,575 79
Quebecor Media
7.750%, 03/15/16 5,650 3,786
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
160
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Qwest
8.875%, 03/15/12 $ 1,175 $ 969
7.500%, 10/01/14 855 658
7.250%, 09/15/25 375 240
7.250%, 10/15/35 1,200 726
6.875%, 09/15/33 275 164
Qwest Capital Funding
7.900%, 08/15/10 (C) 750 628
7.250%, 02/15/11 1,345 1,036
7.000%, 08/03/09 (C) 1,500 1,440
Qwest Communications International
7.250%, 02/15/11 2,265 1,789
5.649%, 02/15/09 (A) 3,036 3,006
Qwest Communications International,
Ser B
7.500%, 02/15/14 1,125 731
Rogers Communications
8.000%, 12/15/12 1,200 1,104
6.375%, 03/01/14 175 157
Sprint Capital
8.750%, 03/15/32 1,950 1,014
8.375%, 03/15/12 975 663
6.900%, 05/01/19 4,195 2,391
6.875%, 11/15/28 325 159
Sprint Capital, Ser 2001-
7.625%, 01/30/11 600 432
Sprint Nextel
6.000%, 12/01/16 3,165 1,756
Telcordia Technologies
10.000%, 03/15/13 (B) (C) 1,300 715
Telesat Canada
11.000%, 11/01/15 (B) 465 307
Time Warner Telecom Holdings
9.250%, 02/15/14 575 454
Videotron
9.125%, 04/15/18 (B) 1,245 1,096
Videotron Ltee
6.375%, 12/15/15 680 524
VIP Finance Ireland for Vimpel
Communications
9.125%, 04/30/18 (B) 1,240 546
Virgin Media Finance
9.125%, 08/15/16 500 352
8.750%, 04/15/14 3,075 2,222
Visant Holding
10.250%, 12/01/13 6,650 4,871
8.750%, 12/01/13 1,615 1,163
West
11.000%, 10/15/16 (C) 1,325 570
9.500%, 10/15/14 (C) 3,995 2,117
Wind Acquisition Finance
10.750%, 12/01/15 (B) 4,125 3,382
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Windstream
8.625%, 08/01/16 $ 1,350 $ 1,053
8.625%, 08/01/16 4,875 3,827
8.125%, 08/01/13 2,215 1,827
7.000%, 03/15/19 1,800 1,246
Windstream Regatta Holdings
11.000%, 12/01/17 (B) 1,075 505
-------------
114,576
-------------
UTILITIES -- 4.1%
AES
8.875%, 02/15/11 1,600 1,384
8.750%, 05/15/13 (B) 489 430
8.000%, 06/01/20 (B) 2,335 1,495
8.000%, 10/15/17 3,740 2,599
7.750%, 03/01/14 25 18
Aquila
14.875%, 07/01/12 450 439
Calpine Generating LLC
14.320%, 10/01/07 (A) (E) 1,500 112
CMS Energy
8.500%, 04/15/11 675 643
Edison Mission Energy
7.625%, 05/15/27 585 398
7.500%, 06/15/13 2,525 2,058
7.200%, 05/15/19 550 401
7.000%, 05/15/17 (C) 3,685 2,764
Elwood Energy LLC
8.159%, 07/05/26 642 470
Energy Future Holdings
10.875%, 11/01/17 (B) 3,350 2,161
Ipalco Enterprises
7.250%, 04/01/16 (B) 275 209
Mirant Americas Generation LLC
8.500%, 10/01/21 2,258 1,581
8.300%, 05/01/11 440 407
Mirant North America LLC
7.375%, 12/31/13 3,535 3,058
NRG Energy
7.375%, 02/01/16 2,800 2,275
7.375%, 01/15/17 4,380 3,537
7.250%, 02/01/14 3,335 2,718
Orion Power Holdings
12.000%, 05/01/10 790 766
PNM Resources
9.250%, 05/15/15 375 295
Public Service of New Mexico
7.950%, 05/15/18 3,100 2,697
Reliant Energy
7.625%, 06/15/14 475 363
6.750%, 12/15/14 400 322
Sierra Pacific Resources
7.803%, 06/15/12 975 917
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
161
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Tenaska Alabama Partners
7.000%, 06/30/21 (B) $ 289 $ 221
Texas Competitive Electric Holdings
10.250%, 11/01/15 (B) 1,405 899
10.250%, 11/01/15 (B) 5,025 3,216
Texas Competitive Electric Holdings
10.250%, 11/01/15 (B) (C) 550 352
-------------
39,205
-------------
Total Corporate Obligations
(Cost $1,184,112) ($ Thousands) 766,289
-------------
LOAN PARTICIPATIONS -- 9.8%
Advanstar Communicaitons, 2nd Lien
8.762%, 11/30/14 1,250 281
Aeroflex, Ser B-1
5.438%, 08/16/14 734 491
Affinion Holding
9.367%, 03/01/12 (A) 1,875 750
5.323%, 10/17/12 2,500 1,787
Affinion Holding PIK
9.367%, 03/01/12 (A) 3,200 1,280
Alliant Insurance Services, Ser B
6.762%, 08/21/14 1,241 788
Allison Transmission
5.332%, 08/07/14 2,459 1,459
Alltel Holdings
4.997%, 08/07/14 1,188 1,134
Alltell Holdings
5.316%, 05/16/15 73 69
Asurion
9.853%, 07/02/15 (A) 1,200 708
Asurion, 2nd Lien
11.013%, 07/07/15 (A) 722 426
9.853%, 07/07/15 1,000 590
8.268%, 07/07/15 (A) 528 312
Asurion, Ser B
6.477%, 07/07/14 (A) 650 447
5.442%, 07/07/14 1,000 687
5.306%, 07/07/14 (A) 1,200 824
BOC Edwards
8.560%, 05/31/14 200 90
4.810%, 05/31/14 820 398
Boise Paper
11.000%, 02/22/15 900 501
Boston Generating, 1st Lien
10.762%, 12/21/16 150 42
Boston Generating, 2nd Lien
8.012%, 06/21/14 650 258
CCFC (Calpine)
9.762%, 08/26/09 2,185 2,065
Cebridge
8.974%, 05/05/14 257 132
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Cebridge, 2nd Lien
8.899%, 05/05/14 $ 1,952 $ 1,006
Central Parking
5.317%, 05/22/14 (A) 834 584
4.946%, 05/22/14 (A) 1,917 1,342
Central Parking Line of Credit
(Synthetic)
4.946%, 05/22/14 (A) 768 537
Century Cable Bank, Ser B
10.250%, 06/30/09 3 --
Cooper Standard
6.312%, 02/28/10 2,674 1,738
DAE Aviation Holdings, Ser B
6.650%, 09/27/14 (A) 274 156
6.519%, 09/27/14 277 158
Delta, 2nd Lien
6.750%, 04/30/14 222 112
DirecTV Holdings LLC
5.601%, 04/13/13 2,691 2,387
Dresser Rand, 1st Lien
5.070%, 05/04/14 485 329
Dresser Rand, 2nd Lien
8.557%, 05/04/15 3,365 2,042
Dresser, 2nd Lien
8.557%, 05/04/15 200 121
Entegra PIK
9.762%, 04/04/15 261 99
Entegra PIK, 3rd Lien
9.762%, 04/19/15 1,685 635
First Data , Ser B-1
5.902%, 09/24/14 525 356
First Data, Ser B-1
5.946%, 09/24/14 1,656 1,122
5.902%, 09/24/14 771 523
5.552%, 09/24/14 299 203
5.551%, 09/24/14 115 78
First Data, Ser B-3
5.926%, 09/24/14 271 183
Ford
7.590%, 12/12/13 1,001 408
Ford Motor
0.000%, 12/16/13 (A) 1,375 560
Ford, 1st Lien
7.590%, 12/12/13 395 161
General Motors
0.000%, 12/15/13 (A) 900 352
Georgia Pacific
5.446%, 12/20/10 2,200 1,695
5.366%, 02/14/13 332 255
Georgia Pacific, Ser B
4.652%, 02/14/13 397 309
Greektown Casino
0.000%, 12/03/12 475 252
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
162
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Green Valley Ranch Gaming, 2nd
Lien
5.018%, 08/06/14 $ 2,000 $ 780
Harrah's Operating
0.000%, 01/28/15 2,000 1,171
Hexion Specialty Chemicals, Ser C1
6.188%, 05/05/13 (A) 1,652 881
Hexion Specialty Chemicals, Ser C2
6.063%, 05/05/13 (A) 244 130
HUB International Holdings, Ser B
0.000%, 06/13/14 (A) 2,725 1,655
HUB International Holdings, Delayed
Draw
0.000%, 06/13/14 (A) 612 372
Iasis Healthcare
9.758%, 06/15/14 2,276 1,138
Infor Global Solutions
9.051%, 03/02/14 (A) 1,412 256
9.051%, 07/28/12 (A) 1,328 707
Infor Global Solutions, Delayed Draw
9.051%, 07/28/12 (A) 4 2
Intel
0.000%, 06/15/16 1,500 1,080
Intelsat Bermuda
6.834%, 02/01/14 (A) 2,400 1,752
JG Wentworth, 1st Lien
6.012%, 04/04/14 975 312
KAR Holding
6.020%, 10/18/13 1,175 702
Language Line, Ser B
7.020%, 05/14/11 (A) 474 394
LYO, Ser B
8.044%, 12/20/14 2,334 973
Lyondell Bank, Ser B
8.043%, 12/20/14 2,166 903
Lyondell Chemical
8.044%, 12/20/14 1,438 599
Lyondell Chemical, Ser B
5.951%, 12/20/14 (A) 1,597 665
5.591%, 12/20/14 (A) 1,100 458
Marvell Technology Group, Ser B
6.204%, 11/08/09 (A) 2,963 2,904
2.201%, 11/08/09 (A) 1,360 1,333
McKechnie Aerospace
8.220%, 05/11/15 700 315
5.220%, 05/11/14 242 174
McKechnie Aerospace, 1st Lien
5.220%, 05/11/14 375 270
Metroflag, 2nd Lien
12.429%, 01/06/09 325 16
Murray Bank, 2nd Lien
11.310%, 01/31/11 1,891 1,589
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
New World Gaming
9.552%, 05/18/15 $ 1,300 $ 715
News Day
9.750%, 07/29/13 975 809
Nielsen Finance LLC
4.803%, 08/09/13 298 199
4.229%, 08/09/13 27 18
0.000%, 08/09/13 275 183
NRG Energy, Ser B
5.262%, 06/02/13 (A) 2,700 2,258
Orbitz Worldwide
6.572%, 07/01/14 (A) 1,090 465
6.106%, 07/01/14 (A) 330 141
5.941%, 07/01/14 2,272 969
5.892%, 07/01/14 (A) 374 160
5.794%, 07/01/14 (A) 750 320
5.716%, 07/01/14 (A) 400 171
5.696%, 07/01/14 (A) 365 156
Penhall
10.132%, 03/28/12 715 286
Pinnacle Foods
6.763%, 04/02/14 789 540
Proquest, 2nd Lien
8.937%, 02/09/15 1,200 960
Rent Center, Ser B
4.809%, 06/30/12 1,500 1,125
Resolute Aneth LLC, 2nd Lien
8.008%, 06/27/13 1,500 1,125
Rexnord
9.676%, 02/20/13 2,260 1,740
Reynolds & Reynolds
5.171%, 10/24/12 (A) 4,000 2,350
Reynolds & Reynolds, 3rd Lien
10.671%, 04/24/14 (A) 800 360
10.671%, 04/01/14 (A) 4,000 1,800
RH Donnelley, Ser D
6.407%, 06/30/11 (A) 1,600 980
Royalty Pharma
2.804%, 05/15/15 1,250 875
Sevan Marine
9.250%, 12/20/11 500 245
Shexion, Ser C1
6.188%, 05/05/13 1,835 979
Shexion, Ser C2
6.063%, 05/05/13 400 213
Simmons Bedding
0.000%, 12/19/11 1,155 716
Simmons Holdco
8.345%, 02/15/12 2,295 69
Simmons Holdco, Unsecured
8.345%, 02/15/12 400 12
Sorenson Communications, 2nd Lien
10.180%, 02/16/14 (A) 4,450 3,605
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
163
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Talecris Biotherapeutics
9.310%, 12/06/14 (A) $ 1,185 $ 1,025
TD Ameritrade Holding, Ser A
3.470%, 12/31/11 2,000 1,607
TD Ameritrade Holding, Ser B
4.500%, 12/31/12 (A) 1,400 1,182
Texas Competitive Electric Holdings
6.490%, 10/27/14 775 525
6.490%, 10/10/14 300 204
6.489%, 10/27/14 297 201
6.457%, 10/10/14 1,371 933
6.301%, 10/27/14 75 51
0.000%, 10/10/14 325 221
0.000%, 10/27/14 948 642
Texas Competitive Electric Holdings,
Ser B1
0.000%, 10/10/14 200 136
Texas Competitive Electric Holdings,
Ser B-2
6.659%, 10/10/14 (A) 1,360 927
Texas Competitive Electric Holdings,
Ser B3
6.301%, 10/10/14 825 559
0.000%, 10/27/14 775 525
0.000%, 10/10/14 275 186
Town Sports International
4.313%, 02/27/14 272 122
Tribune
6.500%, 06/04/14 945 265
Univision Communications
5.494%, 03/15/14 14 6
0.000%, 03/15/14 60 33
Univision Communications, Ser B
7.210%, 09/29/14 (A) 73 32
5.494%, 09/15/14 (A) 106 47
5.491%, 09/15/14 145 64
5.375%, 09/29/14 (A) 12 5
Univision Communications, Delayed
Draw
4.451%, 09/29/14 (A) 47 26
4.451%, 09/15/14 (A) 89 49
Venoco
6.812%, 05/07/14 400 277
Verint Systems
5.736%, 05/09/14 1,877 1,032
Wind Acquisition Holdings
11.752%, 12/21/11 1,207 820
11.752%, 12/12/11 2,773 1,886
-------------
Total Loan Participations
(Cost $140,042) ($ Thousands) 92,885
-------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
COLLATERALIZED DEBT OBLIGATION -- 5.2%
ACAS Business Loan Trust, Ser 2007-2A, Cl A
2.549%, 02/17/09 (A) (B) $ 6,938 $ 4,052
Ares IIIR CLO, Ser 2007-3RA,
Cl SUB
0.000%, 04/16/21 (B) 5,000 1,250
Ares VR CLO, Ser 2006-5RA, Cl SUB
0.000%, 02/24/18 (B) 3,500 700
Ares XI CLO, Ser 2007-11A, Cl SUB
0.000%, 10/11/21 (B) 3 728
Babson CLO, Ser 2003-I, Cl SUB
0.000%, 11/15/16 (B) 18 216
Babson CLO, Ser 2003-I, Cl D
6.452%, 01/15/09 (A) (B) 1,050 207
Babson CLO, Ser 2007-2A, Cl INC
0.000%, 01/15/09 (A) (B) 2,700 384
Ballyrock CDO, Ser 2005-3A, Cl B
3.915%, 01/26/09 (A) (B) 1,375 688
Battalion CLO, Ser 2007-1, Cl 1A
0.000%, 07/14/22 (B) 18 525
Battalion CLO, Ser 2007-1A, Cl E
9.069%, 01/14/09 (A) (B) 2,550 765
Capitalsource Advisors CLO,
Ser 2006-1A, Cl SUB
0.000%, 08/27/20 (B) 2,900 522
Carlyle High Yield Partners CLO,
Ser 2006-8A, Cl N
0.000%, 05/21/21 3,000 480
CIFC Funding, Ser 2007-IV
0.000%, 12/19/07 3,900 1,408
CIFC Funding, Ser 2006-1BA, Cl A3L
4.034%, 12/22/08 (A) (B) 3,525 732
CIFC Funding, Ser 2006-1BA, Cl A2L
3.624%, 12/22/08 (A) (B) 6,000 1,236
CIFC Funding, Ser 2006-I
0.000%, 10/20/20 (A) (B) 2,000 340
CIFC Funding, Ser 2006-II
0.000%, 03/01/21 (A) (B) 3,000 510
CIFC Funding, Ser 2007-1A, Cl A1LB
2.728%, 02/10/09 (A) (B) 3,250 682
CIFC Funding, Ser 2007-2A, Cl SUB
0.000%, 04/15/21 (B) 2,500 400
CIFC Funding, Ser 2007-3A, Cl B
4.785%, 01/26/09 (A) (B) 2,700 555
CIT CLO, Ser 2007-1A, Cl E
8.200%, 12/22/08 (A) 2,200 228
CIT CLO, Ser 2007-1A, Cl D
5.200%, 12/22/08 (A) (B) 3,000 250
Commercial Industrial Finance,
Ser 2006-2A, Cl A1L
2.463%, 03/02/09 (A) (B) 8,500 5,162
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
164
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Connecticut Valley Structured Credit
CDO, Ser 2006-3A
0.000%, 03/23/23 (B) $ 1,200 $ 72
Copper River CLO, Ser 2006-1A,
Cl INC
0.000%, 01/20/09 (A) (B) 3,000 603
De Meer Middle Market CLO,
Ser 2006-1A, Cl B
4.902%, 01/20/09 (A) (B) 1,200 419
De Meer Middle Market CLO,
Ser 2006-1A, Cl INC
0.000%, 10/20/18 (B) 3,167 611
Denali Capital CLO VII, Ser 2007-1A,
Cl INC
0.000%, 01/22/22 (B) 4,500 900
Duane Street CLO, Ser 2007-5A,
Cl SN
0.000%, 10/14/21 (B) 3,500 805
Gale Force CLO, Ser 2005-1A
2.630%, 11/15/17 (B) 6,600 1,452
Gale Force CLO, Ser 2007-4A, Cl E
8.618%, 02/20/09 (A) 4,200 841
Gale Force CLO, Ser 2007-4A, Cl INC
0.000%, 02/20/09 (A) 60 1,502
Gleneagles CLO, Ser AI
0.000%, 02/01/09 (A) 6 2,400
GoldenTree Loan Opportunities III,
Ser 2007-3A, Cl SUB
0.000%, 05/01/22 (B) 3,100 620
Greenbriar CLO, Ser 2007-1A, Cl D
5.942%, 02/02/09 (A) (B) 4,600 920
GSC Partners CDO Fund, Ser 2004-
5A, Cl A2
2.868%, 02/20/09 (A) (B) 3,300 1,572
Hamlet, Ser 2005-2A, Cl A2B
2.620%, 02/11/09 (A) (B) 2,800 1,274
Harch CLO, Ser 2005-2A, Cl C
4.859%, 01/22/09 (A) (B) 1,650 478
Harch CLO, Ser 2007-1A, Cl C
4.258%, 01/29/09 (A) (B) 2,750 688
ING Investment Management I CLO
0.000%, 12/01/17 (A) (B) 2 300
ING Investment Management II CLO
0.000%, 08/01/20 (A) (B) 5 720
Lafayette Square CDO, Ser 2005-1A,
Cl A2
2.549%, 02/17/09 (A) (B) 3,575 1,976
Lightpoint CLO, Ser 2006-4A, Cl INC
0.000%, 04/15/18 (B) 2,000 50
Marathon CLO, Ser 2005-2A, Cl B
4.004%, 12/22/08 (A) (B) 1,300 501
Marathon CLO, Ser 2005-2A, Cl INC
0.000%, 12/20/19 (B) 1,500 210
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Marlborough Street CLO, Ser 2007-1A,
Cl INC
0.000%, 04/18/19 (B) $ 2,300 $ 489
Marlborough Street CLO, Ser 2007-1A,
Cl A2B
4.853%, 01/20/09 (A) (B) 5,250 2,422
NOB Hill CLO, Ser 2007-1A, Cl C
4.154%, 12/22/08 (A) (B) 2,750 550
Peritus I CDO
0.000%, 12/19/07 (F) 3,000 60
Peritus I CDO, Ser 2005-1A, Cl C
9.000%, 05/24/15 (B) (F) 10,389 1,039
Rockwall Investors CDO
0.000%, 08/01/21 (A) (B) 3,000 300
Sands Point Funding, Ser 2006-1A,
Cl C
5.303%, 01/20/09 (A) (B) 2,580 903
Stanfield Daytona CLO
0.000%, 04/27/21 36 702
Stanfield Veyron CLO, Ser 2006-1A,
Cl SUB
0.000%, 07/15/18 2,000 250
Tralee CDO, Ser 2007-1A, Cl SUB
0.000%, 04/16/22 (B) 2,500 450
Whitehorse CLO II
0.000%, 03/15/13 (A) (B) 35 647
-------------
Total Collateralized Debt Obligation
(Cost $123,294) ($ Thousands) 48,746
-------------
CONVERTIBLE BONDS -- 0.2%
Adelphia Recovery Trust, Ser ACE-1
(escrow security)
0.000%, 02/15/09 466 --
American Tower
7.000%, 10/15/17 (B) 225 194
Flextronics CV to 64.4122
1.000%, 08/01/10 1,015 797
Ford Motor CV to 108.6957
4.250%, 12/15/36 375 115
Freeport-McMoRan Copper & Gold
CV to 1.3605
0.000%, 05/01/10 5 223
Mentor
2.750%, 01/01/24 220 215
Mirant CV to 131.9888
0.000%, 07/15/07 750 1
Mirant CV to 14.7167
0.000%, 06/15/21 (C) 1,950 4
-------------
Total Convertible Bonds
(Cost $2,250) ($ Thousands) 1,549
-------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
165
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Concluded)
November 30, 2008
Shares/Face
Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
COMMON STOCK -- 0.1%
Armstrong World Industries (C) 6,237 $ 106
Core-Mark Holding* (C) 12,992 261
Dana Holdings * 58,081 55
Federal Mogul, Cl A* 35,318 187
Huntsman 8,803 63
Mirant* 2,931 51
Owens Corning* (C) 11,144 178
Solutia* 30,438 207
-------------
Total Common Stock
(Cost $3,301) ($ Thousands) 1,108
-------------
GLOBAL BOND -- 0.0%
Steel Capital for OAO Severstal
9.750%, 07/29/13 (B) $ 380 163
-------------
Total Global Bond
(Cost $380) ($ Thousands) 163
-------------
PREFERRED STOCK -- 0.0%
Dana, Ser B* 575,400 362
-------------
Total Preferred Stock
(Cost $574) ($ Thousands) 362
-------------
AFFILIATED PARTNERSHIP -- 12.0%
SEI Liquidity Fund, L.P.,
1.630%**+ (G) 115,990,406 113,398
-------------
Total Affiliated Partnership
(Cost $115,991) ($ Thousands) 113,398
-------------
CASH EQUIVALENT -- 3.5%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 1.620%**+ 33,217,989 33,218
-------------
Total Cash Equivalent
(Cost $33,218) ($ Thousands) 33,218
-------------
Total Investments -- 111.7%
(Cost $1,603,162)($ Thousands) $ 1,057,718
=============
Percentages are based on a Net Assets of $947,052 ($ Thousands)
* Non-income producing security.
** Rate shown is the 7-day effective yield as of November 30, 2008.
+ Investment in Affiliated Security (see Note 3).
+++ Real Estate Investment Trust
(A) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effects as of November 30, 2008. The date reported on the
Schedule of Investments is the next reset date.
(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) This security or a partial position of this security is on loan at November
30, 2008. The total value of securities on loan at November 30, 2008 was
$107,649 ($ Thousands).
(D) Step Bonds -- The rate reflected on the Schedule of Investments is the
effective yield on November 30, 2008. The coupon on a step bond changes on
a specified date.
(E) Security in default on interest payments.
(F) Securities considered illiquid. The total value of such securities as of
November 30, 2008 was $1,099 ($ Thousands) and represented 0.12% of Net
Assets.
(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,
2008 was $113,398 ($ Thousands).
CDO -- Collateralized Debt Obligation
Cl -- Class
CLO -- Collateralized Loan Obligation
CV -- Convertible Security
LLC -- Limited Liability Company
L.P. -- Limited Partnership
MTN -- Medium Term Note
PIK -- Payment-in-Kind
PLC -- Public Limited Company
Ser -- Series
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
166
Long Duration Fund
November 30, 2008
SECTOR WEIGHTINGS++:
(BAR CHART)
Asset-Backed Securities 26.7%
Mortgage-Backed Securities 26.2%
U.S. Government Agency Obligations 16.1%
Financials 12.0%
U.S. Treasury Obligations 5.2%
Cash Equivalent 3.8%
Utilities 3.5%
Commercial Paper 3.2%
Industrials 2.1%
Telecommunication Services 0.8%
Health Care 0.4%
++ Percentages based on total investments.
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
ASSET-BACKED SECURITIES -- 21.8%
MORTGAGE RELATED SECURITIES -- 21.8%
ACE Securities, Ser WF1, Cl A2C
1.735%, 12/26/08 (A) $ 2,059 $ 1,330
Asset-Backed Securities Home
Equity, Ser 2003-HE4, Cl M2
3.423%, 12/15/08 (A) 455 329
Bayview Financial Acquisition Trust,
Ser 2004-B, Cl A1
2.431%, 12/29/08 (A) (B) 1,316 922
Bayview Financial Acquisition Trust,
Ser 2005-A, Cl A1
1.931%, 12/29/08 (A) (B) 2,100 1,764
Bayview Financial Revolving
Mortgage Loan Trust, Ser 2005-E,
Cl A1
1.931%, 12/29/08 (A) (B) 2,400 1,920
Bear Stearns Asset-Backed Securities
Trust, Ser 2007-HE5, Cl 1A2
1.575%, 12/26/08 (A) 2,300 1,380
BNC Mortgage Loan Trust,
Ser 2007-2, Cl A2
1.495%, 12/26/08 (A) 498 407
Continental Airlines, Ser 2002-1,
Cl G1
2.599%, 02/17/09 (A) 62 49
Countrywide Asset-Backed
Certificates, Ser 2003-BC1, Cl M1
2.315%, 12/26/08 (A) 180 93
Credit-Based Asset Servicing,
Ser 2006-CB4, Cl AV3
1.545%, 12/26/08 (A) 2,750 1,773
Credit-Based Asset Servicing,
Ser 2006-CB9, Cl A2
1.505%, 12/26/08 (A) 1,076 718
Credit-Based Asset Servicing,
Ser 2007-CB4, Cl M1
1.715%, 12/26/08 (A) 1,192 155
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
First Franklin Mortgage Loan Asset-
Backed Certificates,
Ser 2005-FF2, Cl A2C
1.705%, 12/26/08 (A) $ 513 $ 498
First Franklin Mortgage Loan Asset-
Backed Certificates,
Ser 2007-FF1, Cl A2D
1.615%, 12/26/08 (A) 2,750 512
First Franklin Mortgage Loan Asset-
Backed Certificates,
Ser 2007-FF2, Cl A2D
1.615%, 12/26/08 (A) 1,850 285
GMAC Mortgage Loan Trust,
Ser 2000-HE2, Cl A1
1.835%, 12/26/08 (A) 478 322
Home Equity Asset Trust,
Ser 2007-3, Cl 2A2
1.575%, 12/26/08 (A) 2,300 1,324
Indymac Home Equity Loan Asset-
Backed Trust, Ser 2002-A, Cl M1
2.520%, 12/26/08 (A) 675 534
Inman Square Funding, Ser 2A, Cl I
4.658%, 01/06/09 (A) (B) 1,670 209
Irwin Home Equity, Ser 2003-A,
Cl M2
4.045%, 12/26/08 (A) 221 186
Ivy Lane CDO, Ser 2006-1A, Cl A1
3.189%, 02/05/09 (A) (B) 1,359 394
JPMorgan Mortgage Acquisition,
Ser 2007-HE1, Cl AV1
1.455%, 12/26/08 (A) 781 640
Lehman XS Trust, Ser 2006-12N,
Cl A1A1
1.475%, 12/26/08 (A) 169 167
Long Beach Asset Holdings,
Ser 2006-9, Cl N1
6.250%, 10/25/46 (B) 826 12
Master Asset-Backed Securities Trust,
Ser 2007-HE1, Cl A1
1.475%, 12/26/08 (A) 716 624
Mid-State Trust, Ser 2004-1, Cl B
8.900%, 08/15/37 397 361
Morgan Stanley Capital,
Ser 2002-HE3, Cl M1
3.045%, 12/26/08 (A) 1,131 837
Nationstar Home Equity Loan Trust,
Ser 2006-B, Cl AV3
1.565%, 12/26/08 (A) 2,565 1,682
Nationstar Home Equity Loan Trust,
Ser 2007-B, Cl 2AV4
1.715%, 12/26/08 (A) 2,000 710
Nationstar NIM Trust, Ser 2007-B,
Cl A
8.750%, 05/25/37 (B) 155 6
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
167
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Fund (Continued)
November 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Newcastle Mortgage Securities Trust,
Ser 2007-1, Cl 2A4
1.735%, 12/26/08 (A) $ 500 $ 212
Renaissance Home Equity Loan
Trust, Ser 2007-1, Cl N
9.793%, 01/25/09 (A) (B) 342 144
Residential Funding Mortgage
Securities, Ser 1999-HI8, Cl AI7
7.970%, 11/25/29 193 172
Saxon Asset Securities Trust,
Ser 2005-1, Cl M1
2.190%, 12/26/08 (A) 1,795 1,269
Structured Asset Securities,
Ser 2006-WF2, Cl A3
1.545%, 12/26/08 (A) 1,500 1,149
Structured Asset Securities,
Ser 2007-EQ1, Cl A4
1.645%, 12/26/08 (A) 1,500 562
-------------
Total Asset-Backed Securities
(Cost $41,574) ($ Thousands) 23,651
-------------
MORTGAGE-BACKED SECURITIES -- 21.5%
AGENCY MORTGAGE-BACKED OBLIGATIONS -- 3.1%
FHLMC ARM
7.000%, 01/01/33 323 335
6.500%, 08/01/29 656 662
FHLMC CMO, Ser 2748, Cl ZT
5.500%, 02/15/24 93 89
FNMA ARM
7.000%, 04/01/34 312 324
4.817%, 01/25/09 462 462
3.886%, 01/25/09 483 481
FNMA CMO, Ser 2001-48, Cl PD
6.500%, 06/25/20 65 66
FNMA CMO, Ser 2003-122, Cl ZQ
6.000%, 12/25/33 127 139
FNMA CMO, Ser 2004-12, Cl ZX
6.000%, 03/25/34 137 134
FNMA CMO, Ser 2004-31, Cl MZ
4.250%, 05/25/34 121 91
FNMA CMO, Ser 2004-80, Cl XZ
5.000%, 11/25/34 245 208
GNMA ARM
5.375%, 01/20/09 260 256
GNMA CMO, Ser 2003-112, Cl SG
7.016%, 12/16/08 (A) 134 102
-------------
3,349
-------------
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 18.4%
Alliance Bancorp Trust, Ser OA1,
Cl A1
1.635%, 12/26/08 (A) 1,727 685
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
American Home Mortgage Investment
Trust, Ser 2007-2, Cl 11A1
1.625%, 12/26/08 (A) $ 2,019 $ 1,580
Bayview Commercial Asset Trust,
Ser 2006-1A, Cl M3
1.815%, 12/26/08 (A) (B) 1,002 130
Bayview Commercial Asset Trust,
Ser 2007-2A, Cl A1
1.665%, 12/26/08 (A) (B) 2,512 1,656
Bayview Commercial Asset Trust,
Ser 2007-3, Cl A1
1.635%, 12/26/08 (A) (B) 2,440 2,060
Chase Mortgage Finance,
Ser 2007-A2, Cl 2A3
4.243%, 01/25/09 (A) 1,225 983
Citigroup Commercial Mortgage Trust,
Ser 2007-C6, Cl AM
5.889%, 01/10/09 (A) 1,470 647
Citigroup Mortgage Loan Trust,
Ser 2003-1, Cl WA2
6.500%, 06/25/31 67 64
Citigroup Mortgage Loan Trust,
Ser 2004-2, Cl 2A1
6.500%, 08/25/18 (B) 40 37
Countrywide Alternative Loan Trust,
Ser 2005-16, Cl A5
1.675%, 12/26/08 (A) 494 169
Countrywide Alternative Loan Trust,
Ser 2005-27, Cl 1A2
4.065%, 01/25/09 (A) 945 425
Countrywide Alternative Loan Trust,
Ser 2005-27, Cl 2A1
4.015%, 01/25/09 (A) 604 242
Countrywide Alternative Loan Trust,
Ser 2005-27, Cl 3A2
3.765%, 01/25/09 (A) 70 28
Countrywide Alternative Loan Trust,
Ser 2005-61, Cl 2A1
1.675%, 12/26/08 (A) 522 214
Countrywide Alternative Loan Trust,
Ser 2005-72, Cl A1
1.665%, 12/26/08 (A) 747 361
Countrywide Alternative Loan Trust,
Ser 2006-OA2, Cl X1P, IO
2.090%, 01/20/09 (A) 6,872 213
Countrywide Home Loans,
Ser 2006-2, Cl 1A1
1.715%, 12/26/08 (A) 241 105
DSLA Mortgage Loan Trust,
Ser 2004-AR1, Cl A2A
1.884%, 12/19/08 (A) 86 43
DSLA Mortgage Loan Trust,
Ser 2005-AR2, Cl 2A1A
1.684%, 12/19/08 (A) 387 185
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
168
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
DSLA Mortgage Loan Trust,
Ser 2005-AR4, Cl 2A1A
1.734%, 12/19/08 (A) $ 490 $ 216
Greenpoint Mortgage Funding Trust,
Ser 2006-AR3, Cl 4A1
1.605%, 12/26/08 (A) 2,016 841
Greenwich Capital Commercial
Funding, Ser 2005-GG5, Cl AM
5.277%, 01/10/09 (A) 1,960 1,077
GS Mortgage Securities II,
Ser 2006-GG8, Cl A4
5.560%, 11/10/39 1,980 1,348
Harborview Mortgage Loan Trust,
Ser 2004-8, Cl 2A4A
1.874%, 12/19/08 (A) 454 222
Harborview Mortgage Loan Trust,
Ser 2005-01, Cl X, IO
1.659%, 03/19/35 1,081 17
Harborview Mortgage Loan Trust,
Ser 2005-11, Cl 2A1A
1.784%, 12/19/08 (A) 699 305
Harborview Mortgage Loan Trust,
Ser 2005-12, Cl X2B, IO
1.554%, 01/19/09 (A) 3,263 47
Harborview Mortgage Loan Trust,
Ser 2006-1, Cl X1, IO
2.044%, 01/19/09 (A) 7,029 168
Indymac Index Mortgage Loan Trust,
Ser 2004-AR5, Cl 2A1B
1.795%, 12/26/08 (A) 206 99
Indymac Index Mortgage Loan Trust,
Ser 2004-AR6, Cl 6A1
5.452%, 01/25/09 (A) 229 159
Indymac Index Mortgage Loan Trust,
Ser 2004-AR7, Cl A2
1.825%, 12/25/08 (A) 61 31
Indymac Index Mortgage Loan Trust,
Ser 2004-AR8, Cl 2A2A
1.795%, 12/26/08 (A) 63 31
Indymac Index Mortgage Loan Trust,
Ser 2004-AR12, Cl A1
1.785%, 12/26/08 (A) 239 121
Indymac Index Mortgage Loan Trust,
Ser 2004-AR12, Cl AX2, IO
1.560%, 12/25/34 479 4
Indymac Index Mortgage Loan Trust,
Ser 2005-AR18, Cl 2A1A
1.705%, 12/26/08 (A) 1,352 573
JPMorgan Chase Commercial
Mortgage Securities,
Ser 2006-CB16, Cl AM
5.593%, 05/12/45 480 225
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
JPMorgan Chase Commercial
Mortgage Securities,
Ser 2006-LDP7, Cl A4
5.875%, 01/15/09 (A) $ 535 $ 359
JPMorgan Mortgage Trust,
Ser 2005-A2, Cl 9A1
4.236%, 01/25/09 (A) 493 313
Master Adjustable Rate Mortgage
Trust, Ser 2006-OA2, Cl 4A1A
3.705%, 01/25/09 (A) 2,089 701
Master Alternative Loans Trust,
Ser 2003-3, Cl 2A1
8.500%, 05/25/33 141 140
Master Seasoned Securities Trust,
Ser 2005-1, Cl 4A1
5.606%, 01/25/09 (A) 321 168
Residential Accredit Loans,
Ser 2005-QO3, Cl A1
1.795%, 12/26/08 (A) 2,498 1,058
Structured Asset Mortgage
Investments, Ser 2006-AR1,
Cl 3A1
1.625%, 12/26/08 (A) 1,670 635
Washington Mutual Mortgage Pass-
Through Certificates, Ser 2000-1,
Cl M2
2.695%, 12/26/08 (A) 316 300
Washington Mutual Mortgage Pass-
Through Certificates,
Ser 2005-AR2, Cl 2A21
1.725%, 12/25/08 (A) 370 159
Washington Mutual Mortgage Pass-
Through Certificates,
Ser 2007-OA3, Cl 4A1
3.435%, 01/25/09 (A) 1,749 753
-------------
19,897
-------------
Total Mortgage-Backed Securities
(Cost $40,551) ($ Thousands) 23,246
-------------
CORPORATE OBLIGATIONS -- 15.4%
FINANCIALS -- 9.8%
Bank of America
8.000%, 01/30/09 (A) 700 486
Bank of America, Ser A
8.070%, 12/31/26 (B) 817 694
Barrick Gold Finance
5.800%, 11/15/34 397 274
Bear Stearns
7.250%, 02/01/18 475 481
4.905%, 01/16/09 (A) 700 689
Capital One Financial MTN
3.097%, 12/10/08 (A) 350 323
Cedar Brakes II LLC
9.875%, 09/01/13 (B) 254 264
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
169
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Fund (Continued)
November 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Chase Capital II
3.693%, 02/02/09 (A) $ 350 $ 267
Citigroup
4.125%, 02/22/10 800 766
Citigroup Capital XXI
8.300%, 12/21/08 (A) 340 205
Corestates Capital I
8.000%, 12/15/26 (B) 1,000 813
Countrywide Financial MTN
3.418%, 12/24/08 (A) 525 519
3.333%, 12/19/08 (A) 300 300
Deutsche Bank Capital Funding Trust
5.628%, 01/19/09 (A) (B) 582 370
Farmers Insurance Exchange
8.625%, 05/01/24 (B) 80 57
GMAC LLC
5.011%, 03/02/09 (A) 488 147
Goldman Sachs Group
2.886%, 02/06/09 (A) 500 423
HBOS
5.920%, 04/01/09 (A) (B) 400 201
Lehman Brothers Holdings MTN
8.920%, 02/16/17 (C) 462 47
2.954%, 07/18/11 (C) 730 66
Lehman Brothers Holdings,
Ser H MTN
12.500%, 11/30/08 (A) (C) 528 54
MBNA Capital, Ser B
3.993%, 02/01/09 (A) 288 178
Morgan Stanley
5.050%, 01/21/11 385 364
5.033%, 01/15/09 (A) 325 303
Nationwide Mutual Insurance
7.875%, 04/01/33 (B) 150 83
Power Receivables Finance
6.290%, 01/01/12 (B) 247 241
Security Benefit Life
7.450%, 10/01/33 (B) 750 706
Simon Property Group
5.750%, 05/01/12+++ 420 328
Wachovia Capital Trust I
7.640%, 01/15/27 (B) 150 99
Weingarten Realty Investors MTN
8.250%, 01/22/10+++ 750 737
ZFS Finance USA Trust I
6.500%, 05/09/09 (A) (B) 300 159
-------------
10,644
-------------
HEALTH CARE -- 0.3%
UnitedHealth Group
6.875%, 02/15/38 425 329
-------------
INDUSTRIALS -- 1.7%
America West Airlines, Ser 01-1
7.100%, 04/02/21 159 128
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
American Airlines Pass-Through
Trust, Ser 2003-01
3.857%, 07/09/10 $ 505 $ 429
Continental Airlines, Ser 99-2
7.056%, 09/15/09 450 421
Continental Airlines, Ser AMBC
6.236%, 03/15/20 84 56
Delta Air Lines, Ser 2001-1
7.111%, 09/18/11 600 477
United Air Lines, Ser 2001-1
6.201%, 12/31/49 110 106
United Air Lines, Ser 2001-1,
Cl A-1
6.071%, 03/01/13 281 261
-------------
1,878
-------------
TELECOMMUNICATION SERVICES -- 0.7%
Verizon Communications
6.400%, 02/15/38 925 752
-------------
UTILITIES -- 2.9%
Entergy Gulf States
3.210%, 03/01/09 (A) 275 273
Entergy Louisiana LLC
5.830%, 11/01/10 250 242
Sempra Energy ESOP & Trust
5.781%, 11/01/14 (B) 600 594
Tennessee Valley Authority
5.500%, 06/15/38 565 613
4.875%, 01/15/48 1,420 1,401
-------------
3,123
-------------
Total Corporate Obligations
(Cost $20,816) ($ Thousands) 16,726
-------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 13.2%
FHLB (A)
2.817%, 12/10/08 555 555
3.585%, 01/30/09 70 70
FHLB DN (D)
1.252%, 12/02/08 1,020 1,020
0.180%, 12/16/08 2,655 2,655
0.304%, 12/18/08 1,620 1,620
2.109%, 01/09/09 360 359
0.902%, 01/28/09 350 349
FHLMC
5.300%, 01/09/12 1,130 1,134
5.400%, 02/02/12 1,130 1,136
FHLMC DN (D)
2.038%, 01/07/09 180 180
0.651%, 01/20/09 390 390
FNMA
3.562%, 01/27/09 (A) 100 100
5.625%, 06/29/12 1,125 1,128
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
170
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
FNMA DN (D)
0.508%, 05/02/05 $ 395 $ 395
1.652%, 12/15/08 300 300
1.656%, 12/24/08 2,540 2,539
2.038%, 01/08/09 360 360
-------------
Total U.S. Government Agency Obligations
(Cost $14,323) ($ Thousands) 14,290
-------------
U.S. TREASURY OBLIGATION -- 4.2%
U.S. Treasury Bond
5.250%, 11/15/28 3,790 4,578
-------------
Total U.S. Treasury Obligation
(Cost $4,264) ($ Thousands) 4,578
-------------
COMMERCIAL PAPER (D) -- 2.6%
Bank of America
0.400%, 12/01/08 135 135
Face Amount
($ Thousands) Market Value
Description /Shares ($ Thousands)
- ----------- ------------- -------------
General Electric Capital
1.050%, 12/29/08 $ 760 $ 759
JPMorgan Chase
0.499%, 12/01/08 135 135
Rabobank USA Financial
0.951%, 12/09/08 1,770 1,770
-------------
Total Commercial Paper
(Cost $2,799) ($ Thousands) 2,799
-------------
CASH EQUIVALENT -- 3.1%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 1.580%*+ 3,388,084 3,388
-------------
Total Cash Equivalent
(Cost $3,388) ($ Thousands) 3,388
-------------
Total Investments -- 81.8%
(Cost $127,715) ($ Thousands) $ 88,678
=============
A summary of outstanding swap agreements held by the Fund at November 30, 2008,
is as follows (See Note 2 in Notes to Financial Statements):
CREDIT DEFAULT SWAPS
NET UNREALIZED
(PAYS)/ APPRECIATION
BUY/SELL RECEIVES TERMINATION NOTIONAL AMOUNT (DEPRECIATION)
COUNTERPARTY REFERENCE ENTITY/OBLIGATION PROTECTION RATE DATE (THOUSANDS) ($ THOUSANDS)
- ------------ --------------------------- ---------- -------- ----------- --------------- --------------
Credit Suisse ABX.HE.AAA 07-1 Index Sell 0.09% 08/25/37 (1,225) $(577)
Merrill Lynch Centex Corp., 5.250% 06/15/15 Buy (3.56) 12/20/12 325 51
Barclays Bank PLC Goldman Sachs Group Inc., 6.600% 12/20/12 Buy (0.75) 12/20/12 50 5
JPMorgan Chase Bank Goldman Sachs Group Inc., 6.600% 01/15/12 Buy (0.74) 12/20/12 400 40
JPMorgan Chase Bank Morgan Stanley, 6.600% 04/01/12 Buy (0.91) 12/20/12 295 41
Citigroup Pulte Homes Inc., 5.250% 01/15/14 Buy (3.88) 12/20/12 100 12
Citigroup Pulte Homes Inc., 5.250% 01/15/14 Buy (3.91) 12/20/12 235 28
Credit Suisse Pulte Homes Inc., 5.250% 01/15/14 Buy (3.78) 12/20/12 325 39
Citigroup Toll Brothers, 6.875% 11/15/12 Buy (2.83) 12/20/12 220 17
Merrill Lynch Toll Brothers, 6.875% 11/15/12 Buy (2.83) 12/20/12 310 23
-----
$(321)
=====
INTEREST RATE SWAPS
NET UNREALIZED
APPRECIATION
NOTIONAL AMOUNT (DEPRECIATION)
COUNTERPARTY FUND PAYS FUND RECEIVES TERMINATION DATE (THOUSANDS) ($ THOUSANDS)
- ------------ ------------- ------------- ---------------- --------------- --------------
Barclays Bank PLC 3-Month LIBOR 5.18% 01/03/17 5,615 $ 923
Barclays Bank PLC 3-Month LIBOR 5.30% 05/02/22 5,340 1,262
Barclays Bank PLC 3-Month LIBOR 5.29% 09/05/16 3,690 593
Citigroup 4.59% 3-Month LIBOR 02/04/23 3,785 667
Citigroup 3-Month LIBOR 5.19% 03/02/22 16,450 3,731
Citigroup 4.10% 3-Month LIBOR 10/24/38 1,605 (321)
Credit Suisse 3-Month LIBOR 5.39% 04/04/16 5,980 935
Credit Suisse 3-Month LIBOR 5.73% 07/05/16 4,400 868
Credit Suisse 3-Month LIBOR 5.73% 07/05/22 2,240 674
Credit Suisse 3-Month LIBOR 5.18% 11/02/20 4,910 993
Deutsche Bank 3-Month LIBOR 5.43% 02/02/22 19,515 5,078
Deutsche Bank 3-Month LIBOR 5.31% 04/03/22 26,200 6,180
-------
$21,583
=======
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
171
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Fund (Concluded)
November 30, 2008
A summary of the open futures contracts held by the Fund at November 30, 2008,
is as follows:
NUMBER OF UNREALIZED
TYPE OF CONTRACTS EXPIRATION APPRECIATION
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- ----------------------- ------------ ---------- -------------
U.S. Long Treasury Bond 46 Mar-2009 $138
====
Percentages are based on a Net Assets of $108,393 ($ Thousands).
* Rate shown is the 7-day effective yield as of November 30, 2008.
+ Investment in Affiliated Security (See Note 3).
+++ Real Estate Investment Trust
(A) Variable Rate Security - The rate reported is the rate in effects as of
November 30, 2008. The date reported is the next reset date.
(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) Security in default on interest payments.
(D) The rate reported is the effective yield at time of purchase.
ARM -- Adjustable Rate Mortgage
CDO -- Collateralized Debt Obligation
Cl -- Class
CMO -- Collateralized Mortgage Obligation
DN -- Discount Note
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
LIBOR -- London Interbank Offered Rate
IO -- Interest Only - Face amount represents notional amount
LLC -- Limited Liability Company
MTN -- Medium Term Note
NIM -- Net Interest Margin
PLC -- Public Limited Company
Ser -- Series
Amounts designated as "--" are $0 or have been rounded to $0
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
172
Extended Duration Fund
November 30, 2008
SECTOR WEIGHTINGS++:
(BAR CHART)
U.S. Government Agency Obligations 32.9%
Mortgage-Backed Securities 22.9%
Asset-Backed Securities 15.8%
Financials 9.2%
U.S. Treasury Obligation 6.0%
Cash Equivalent 5.4%
Commercial Paper 2.8%
Utilities 2.1%
Industrials 1.5%
Consumer Disrectionary 0.5%
Telecommunication Services 0.4%
Health Care 0.3%
Certificates of Deposit 0.2%
++ Percentages based on total investments.
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 20.7%
FHLB
2.817%, 12/10/08 (A) $ 3,505 $ 3,503
3.366%, 12/26/08 (A) 1,195 1,193
3.585%, 01/30/09 (A) 3,565 3,573
2.750%, 05/07/09 1,150 1,159
FHLB DN (B)
0.080%, 12/01/08 18,930 18,930
1.252%, 12/02/08 15,820 15,820
0.180%, 12/09/08 to 12/16/08 52,200 52,197
2.666%, 12/12/08 182 182
2.818%, 12/17/08 12,970 12,954
0.304%, 12/18/08 47,375 47,368
2.768%, 12/19/08 4,730 4,723
2.109%, 01/09/09 17,825 17,784
0.861%, 01/13/09 785 784
FHLMC
1.864%, 12/08/08 (A) 1,050 1,049
1.448%, 12/18/08 (A) 2,415 2,411
1.361%, 12/29/08 (A) 1,215 1,213
5.450%, 07/09/10 1,550 1,557
5.300%, 01/09/12 1,862 1,868
5.400%, 02/02/12 1,655 1,664
FHLMC DN (B)
2.038%, 01/07/09 755 755
0.651%, 01/20/09 10,445 10,440
0.501%, 01/26/09 1,323 1,322
0.700%, 01/30/09 10,942 10,929
FNMA
3.562%, 01/27/09 (A) 4,890 4,900
5.625%, 06/29/12 1,615 1,620
FNMA DN (B)
2.461%, 12/08/08 735 735
2.261%, 12/12/08 191 191
1.652%, 12/15/08 649 649
1.656%, 12/24/08 2,530 2,530
1.979%, 01/05/09 9,520 9,517
2.038%, 01/08/09 1,975 1,974
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
0.601%, 01/12/09 $ 18,225 $ 18,218
-------------
Total U.S. Government Agency Obligations
(Cost $253,731) ($ Thousands) 253,712
-------------
MORTGAGE-BACKED SECURITIES -- 14.4%
AGENCY MORTGAGE-BACKED OBLIGATIONS -- 6.6%
FHLMC ARM
6.500%, 08/01/29 568 573
6.072%, 02/15/09 357 360
5.838%, 02/15/09 644 651
5.248%, 02/15/09 1,367 1,352
5.130%, 02/15/09 1,268 1,242
5.086%, 02/15/09 1,930 1,935
4.521%, 02/15/09 1,199 1,170
4.103%, 02/15/09 1,899 1,849
FHLMC CMO, Ser 2006-4, Cl WE
4.500%, 02/25/36 7,050 6,773
FHLMC CMO, Ser 2733, Cl SB
6.730%, 12/15/08 (A) 9,810 8,557
FHLMC CMO, Ser 2748, Cl ZT
5.500%, 02/15/24 396 376
FNMA TBA
5.000%, 12/25/38 10,710 10,780
FNMA ARM
7.000%, 04/01/34 481 500
6.139%, 01/25/09 2,758 2,818
5.817%, 01/25/09 791 801
5.101%, 01/25/09 1,153 1,145
4.817%, 01/25/09 592 592
4.524%, 01/25/09 3,479 3,496
4.482%, 01/25/09 4,573 4,524
4.051%, 01/25/09 3,524 3,507
3.886%, 01/25/09 572 570
FNMA CMO, Ser 2001-48, Cl PD
6.500%, 06/25/20 56 57
FNMA CMO, Ser 2003-1, Cl PT
5.500%, 04/25/28 7,173 7,192
FNMA CMO, Ser 2003-122, Cl ZQ
6.000%, 12/25/33 550 604
FNMA CMO, Ser 2004-12, Cl ZX
6.000%, 03/25/34 501 489
FNMA CMO, Ser 2004-80, Cl XZ
5.000%, 11/25/34 134 114
FNMA CMO, Ser 2006-77, Cl PD
6.500%, 10/25/30 6,130 6,244
FNMA CMO, Ser 2007-83, Cl PA
6.000%, 03/25/29 7,775 7,968
GNMA CMO, Ser 2003-112, Cl SG
7.016%, 12/16/08 (A) 114 87
GNMA CMO, Ser 2003-86, Cl ZK
5.000%, 10/20/33 4,575 4,256
-------------
80,582
-------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
173
SCHEDULE OF INVESTMENTS (Unaudited)
Extended Duration Fund (Continued)
November 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 7.8%
Alliance Bancorp Trust, Ser OA1,
Cl A1
1.635%, 12/26/08 (A) $ 3,348 $ 1,328
American General Mortgage Loan
Trust, Ser 2006-1, Cl A1
5.750%, 01/25/09 (A) (C) 97 96
American Home Mortgage Assets,
Ser 2006-2, Cl 2A1
1.585%, 12/26/08 (A) 5,543 2,143
American Home Mortgage Assets,
Ser 2006-3, Cl 3A12
1.585%, 12/26/08 (A) 4,555 1,904
American Home Mortgage Assets,
Ser 2007-2, Cl A1
1.520%, 12/26/08 (A) 5,901 2,267
American Home Mortgage
Investment Trust, Ser 2004-2,
Cl 2A
5.037%, 01/25/09 (A) 7,459 7,028
American Home Mortgage
Investment Trust, Ser 2007-2,
Cl 11A1
1.625%, 12/26/08 (A) 4,015 3,141
Banc of America Mortgage Securities,
Ser 2003-E, Cl 2A1
4.709%, 01/25/09 (A) 2,690 2,047
Bayview Commercial Asset Trust,
Ser 2005-1A, Cl A1
1.695%, 12/26/08 (A) (C) 3,223 2,954
Bayview Commercial Asset Trust,
Ser 2006-1A, Cl M3
1.815%, 12/26/08 (A) (C) 1,696 220
Bayview Commercial Asset Trust,
Ser 2007-1, Cl A1
1.615%, 12/26/08 (A) (C) 4,467 3,036
Bayview Commercial Asset Trust,
Ser 2007-2A, Cl A1
1.665%, 12/26/08 (A) (C) 4,935 3,252
Bayview Commercial Asset Trust,
Ser 2007-3, Cl A1
1.635%, 12/26/08 (A) (C) 5,116 4,320
Bella Vista Mortgage Trust,
Ser 2004-1, Cl 2A1
5.471%, 01/20/09 (A) 6,865 5,062
Chase Mortgage Finance,
Ser 2007-A2, Cl 2A3
4.243%, 01/25/09 (A) 2,371 1,903
Citigroup Commercial Mortgage Trust,
Ser 2007-C6, Cl AM
5.889%, 01/10/09 (A) 10,245 4,509
Citigroup Mortgage Loan Trust,
Ser 2003-1, Cl WA2
6.500%, 06/25/31 119 113
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Citigroup Mortgage Loan Trust,
Ser 2004-2, Cl 2A1
6.500%, 08/25/18 (C) $ 36 $ 34
Countrywide Alternative Loan Trust,
Ser 2005-27, Cl 2A1
4.015%, 01/25/09 (A) 1,253 501
Countrywide Alternative Loan Trust,
Ser 2005-27, Cl 3A2
3.765%, 01/25/09 (A) 130 52
Countrywide Alternative Loan Trust,
Ser 2005-59, Cl 1A1
3.589%, 12/22/08 (A) 3,738 1,606
Countrywide Alternative Loan Trust,
Ser 2005-61, Cl 2A1
1.675%, 12/26/08 (A) 679 278
Countrywide Alternative Loan Trust,
Ser 2005-72, Cl A1
1.665%, 12/26/08 (A) 1,227 592
Countrywide Alternative Loan Trust,
Ser 2006-OA12, Cl A2
1.663%, 12/22/08 (A) 4,201 1,667
Countrywide Alternative Loan Trust,
Ser 2006-OA2, Cl X1P, IO
2.090%, 01/20/09 (A) 8,825 273
Credit Suisse Mortgage Capital
Certificates, Ser 2006-C5, Cl A3
5.311%, 12/15/39 6,560 4,006
DSLA Mortgage Loan Trust,
Ser 2004-AR1, Cl A2A
1.884%, 12/19/08 (A) 96 48
DSLA Mortgage Loan Trust,
Ser 2005-AR4, Cl 2A1A
1.734%, 12/19/08 (A) 789 347
DSLA Mortgage Loan Trust,
Ser 2006-AR1, Cl 2A1A
3.605%, 01/19/09 (A) 5,888 5,618
Greenpoint Mortgage Funding Trust,
Ser 2006-AR3, Cl 4A1
1.605%, 12/26/08 (A) 5,184 2,164
Greenwich Capital Commercial
Funding, Ser 2007-GG9, Cl A4
5.444%, 03/10/39 2,440 1,574
GS Mortgage Securities II,
Ser 2006-GG8, Cl A4
5.560%, 11/10/39 7,135 4,858
Harborview Mortgage Loan Trust,
Ser 2004-8, Cl 2A4A
1.874%, 12/19/08 (A) 618 302
Harborview Mortgage Loan Trust,
Ser 2005-01, Cl X, IO
1.659%, 03/19/35 1,100 17
Harborview Mortgage Loan Trust,
Ser 2005-10, Cl 2A1A
1.784%, 12/19/08 (A) 867 387
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
174
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Harborview Mortgage Loan Trust,
Ser 2005-12, Cl X2B, IO
1.554%, 01/19/09 (A) $ 5,439 $ 79
Harborview Mortgage Loan Trust,
Ser 2006-1, Cl X1, IO
2.044%, 01/19/09 (A) 8,308 199
Indymac Index Mortgage Loan Trust,
Ser 2004-AR5, Cl 2A1B
1.795%, 12/26/08 (A) 264 127
Indymac Index Mortgage Loan Trust,
Ser 2004-AR6, Cl 6A1
5.452%, 01/25/09 (A) 197 137
Indymac Index Mortgage Loan Trust,
Ser 2004-AR7, Cl A2
1.825%, 12/25/08 (A) 84 42
Indymac Index Mortgage Loan Trust,
Ser 2004-AR8, Cl 2A2A
1.795%, 12/26/08 (A) 206 102
Indymac Index Mortgage Loan Trust,
Ser 2004-AR12, Cl A1
1.785%, 12/26/08 (A) 246 124
Indymac Index Mortgage Loan Trust,
Ser 2004-AR12, Cl AX2, IO
1.560%, 12/25/34 901 8
Indymac Index Mortgage Loan Trust,
Ser 2005-AR18, Cl 2A1B
2.175%, 12/26/08 (A) 473 198
Indymac Index Mortgage Loan Trust,
Ser 2005-AR18, Cl 2A1A
1.705%, 12/26/08 (A) 1,802 764
Indymac Index Mortgage Loan Trust,
Ser 2006-AR2, Cl 1A1A
1.615%, 12/26/08 (A) 1,974 738
JPMorgan Chase Commercial
Mortgage Securities,
Ser 2006-LDP7, Cl A4
5.875%, 01/15/09 (A) 7,835 5,259
JPMorgan Chase Commercial
Mortgage Securities,
Ser 2007-CB19, Cl A4
5.937%, 01/12/09 (A) 2,035 1,254
JPMorgan Chase Commercial
Mortgage Securities,
Ser 2007-LDPX, Cl A3
5.420%, 01/15/49 3,080 1,864
JPMorgan Mortgage Trust,
Ser 2005-A2, Cl 9A1
4.236%, 01/25/09 (A) 1,258 800
Master Adjustable Rate Mortgage
Trust, Ser 2006-OA2, Cl 4A1A
3.705%, 01/25/09 (A) 7,350 2,465
Master Alternative Loans Trust,
Ser 2003-3, Cl 2A1
8.500%, 05/25/33 118 117
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Master Seasoned Securities Trust,
Ser 2005-1, Cl 4A1
5.606%, 01/25/09 (A) $ 697 $ 365
Morgan Stanley Capital I,
Ser 2005-HQ6, Cl A4A
4.989%, 08/13/42 2,450 1,801
Morgan Stanley Capital I,
Ser 2006-HQ8, Cl A4
5.387%, 01/12/09 (A) 2,175 1,523
Residential Accredit Loans,
Ser 2005-QO3, Cl A1
1.795%, 12/26/08 (A) 6,405 2,712
Structured Asset Mortgage
Investments, Ser 2006-AR1,
Cl 3A1
1.625%, 12/26/08 (A) 2,557 973
Structured Asset Mortgage
Investments, Ser 2006-AR5,
Cl 2A1
1.605%, 12/26/08 (A) 655 287
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2000-1, Cl M2
2.695%, 12/26/08 (A) 278 263
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2003-AR6, Cl A1
3.953%, 01/25/09 (A) 794 606
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2004-AR3, Cl A2
4.243%, 01/25/09 (A) 885 626
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2005-AR2, Cl 2A21
1.725%, 12/25/08 (A) 580 250
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2006-AR9, Cl 1XPP, IO
0.830%, 08/25/46 100,349 719
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2007-OA3, Cl 4A1
3.435%, 01/25/09 (A) 3,935 1,694
-------------
95,743
-------------
Total Mortgage-Backed Securities
(Cost $239,862) ($ Thousands) 176,325
-------------
ASSET-BACKED SECURITIES -- 10.0%
MORTGAGE RELATED SECURITIES -- 10.0%
ACE Securities, Ser WF1, Cl A2C
1.735%, 12/26/08 (A) 3,226 2,084
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
175
SCHEDULE OF INVESTMENTS (Unaudited)
Extended Duration Fund (Continued)
November 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Asset-Backed Securities Home
Equity, Ser 2003-HE4, Cl M2
3.423%, 12/15/08 (A) $ 738 $ 534
Asset-Backed Securities Home
Equity, Ser 2005-HE6, Cl A2D
1.677%, 12/26/08 (A) 6,811 6,602
Aviation Capital Group Trust,
Ser 2003-2A, Cl G2
2.253%, 12/22/08 (A) (C) 1,688 1,250
Bayview Financial Acquisition Trust,
Ser 2004-B, Cl A1
2.431%, 12/29/08 (A) (C) 3,947 2,766
Bayview Financial Acquisition Trust,
Ser 2005-A, Cl A1
1.931%, 12/29/08 (A) (C) 4,400 3,696
Bayview Financial Revolving
Mortgage Loan Trust,
Ser 2005-E, Cl A1
1.931%, 12/29/08 (A) (C) 3,200 2,560
Bear Stearns Asset-Backed Securities
Trust, Ser 2007-HE1, Cl 1A1
1.515%, 12/26/08 (A) 4,280 3,724
Bear Stearns Asset-Backed Securities
Trust, Ser 2007-HE5, Cl 1A2
1.575%, 12/26/08 (A) 4,500 2,700
BNC Mortgage Loan Trust,
Ser 2007-2, Cl A2
1.495%, 12/26/08 (A) 1,282 1,047
BNC Mortgage Loan Trust,
Ser 2007-4, Cl A3A
1.645%, 12/26/08 (A) 3,559 3,218
Carrington Mortgage Loan Trust,
Ser 2007-RFC1, Cl 1
1.445%, 12/26/08 (A) 1,459 1,334
Centex Home Equity, Ser 2002-D,
Cl AF4
5.210%, 11/25/28 1,080 1,000
Citigroup Mortgage Loan Trust,
Ser 2007-WFH1, Cl A1
1.455%, 12/26/08 (A) 3,145 3,002
Citigroup Mortgage Loan Trust,
Ser 2007-WFH1, Cl A3
1.545%, 12/26/08 (A) 3,000 1,830
Citigroup Mortgage Loan Trust,
Ser 2007-WFH2, Cl M1
1.795%, 12/26/08 (A) 3,500 906
Citigroup Mortgage Loan Trust,
Ser 2007-WFH4, Cl M2
3.545%, 12/26/08 (A) 5,726 2,327
Continental Airlines, Ser 2002-1,
Cl G1
2.599%, 02/17/09 (A) 217 173
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Countrywide Asset-Backed
Certificates, Ser 2003-BC1, Cl M1
2.315%, 12/26/08 (A) $ 344 $ 177
Countrywide Asset-Backed
Certificates, Ser 2005-12, Cl 1A1
1.545%, 02/25/36 (A) 60 60
Countrywide Asset-Backed
Certificates, Ser 2007-5, Cl 2A1
1.495%, 12/26/08 (A) 3,683 3,348
Countrywide Asset-Backed
Certificates, Ser 2007-6, Cl 2A1
1.495%, 12/26/08 (A) 1,707 1,525
Credit-Based Asset Servicing,
Ser 2006-CB4, Cl AV3
1.545%, 12/26/08 (A) 4,750 3,063
Credit-Based Asset Servicing,
Ser 2007-CB1, Cl AF1A
1.465%, 12/26/08 (A) 3,175 2,702
Credit-Based Asset Servicing,
Ser 2007-CB2, Cl A2A
5.891%, 02/25/37 3,166 2,960
Credit-Based Asset Servicing,
Ser 2007-CB5, Cl A1
1.455%, 12/26/08 (A) 4,979 4,111
First Franklin Mortgage Loan
Asset-Backed Certificates,
Ser 2005-FF10, Cl A3
1.605%, 12/26/08 (A) 456 449
First Franklin Mortgage Loan
Asset-Backed Certificates,
Ser 2005-FF2, Cl A2C
1.705%, 12/26/08 (A) 1,283 1,246
First Franklin Mortgage Loan
Asset-Backed Certificates,
Ser 2007-FF1, Cl A2D
1.615%, 12/26/08 (A) 6,000 1,117
First Franklin Mortgage Loan
Asset-Backed Certificates,
Ser 2007-FF2, Cl A2D
1.615%, 12/26/08 (A) 3,800 585
GMAC Mortgage Loan Trust,
Ser 2000-HE2, Cl A1
1.835%, 12/26/08 (A) 652 439
GSAMP Trust, Ser 2006-HE7,
Cl A2A
1.435%, 12/26/08 (A) 1,899 1,779
GSAMP Trust, Ser 2006-S6, Cl A2
5.552%, 10/25/36 4,000 742
HFC Home Equity Loan
Asset-Backed Certificates,
Ser 2007-1, Cl AS
1.653%, 12/22/08 (A) 1,254 747
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
176
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Home Equity Asset Trust,
Ser 2005-6, Cl 1A2
1.675%, 12/26/08 (A) $ 3,833 $ 2,904
Home Equity Asset Trust,
Ser 2007-3, Cl 2A2
1.575%, 12/26/08 (A) 4,500 2,590
Home Equity Mortgage Trust,
Ser 2006-1, Cl A1B
1.525%, 12/26/08 (A) 464 308
Indymac Home Equity Loan Asset-
Backed Trust, Ser 2002-A, Cl M1
2.520%, 12/26/08 (A) 879 695
Indymac Residential Asset-Backed
Trust, Ser 2006-A, Cl A2
1.545%, 12/26/08 (A) 572 557
Inman Square Funding, Ser 2A, Cl I
4.658%, 01/06/09 (A) (C) 2,825 353
Irwin Home Equity, Ser 2003-A,
Cl M2
4.045%, 12/26/08 (A) 245 205
Ivy Lane CDO, Ser 2006-1A, Cl A1
3.189%, 02/05/09 (A) (C) 2,718 788
JPMorgan Mortgage Acquisition,
Ser 2006-CH2, Cl AV2
1.445%, 12/26/08 (A) 2,358 2,086
Lehman XS Trust, Ser 2006-12N,
Cl A1A1
1.475%, 12/26/08 (A) 226 223
Long Beach Asset Holdings,
Ser 2006-8, Cl N1
6.048%, 10/25/46 (C) 1,625 3
Long Beach Asset Holdings,
Ser 2006-9, Cl N1
6.250%, 10/25/46 (C) 1,214 18
Long Beach Mortgage Loan Trust,
Ser 2006-11, Cl 2A1
1.455%, 12/26/08 (A) 787 732
Master Asset-Backed Securities Trust,
Ser 2007-HE1, Cl A1
1.475%, 12/26/08 (A) 4,152 3,620
Merrill Lynch Mortgage Investors
Trust, Ser 2006-RM4, Cl A2B
1.495%, 12/26/08 (A) 7,123 2,047
Merrill Lynch Mortgage Investors
Trust, Ser 2006-WMC1, Cl A2B
3.399%, 01/25/37 (A) 136 136
Mid-State Trust, Ser 2004-1, Cl B
8.900%, 08/15/37 328 299
Morgan Stanley Capital,
Ser 2002-HE3, Cl M1
3.045%, 12/26/08 (A) 1,697 1,256
Morgan Stanley Capital,
Ser 2004-NC2, Cl M2
3.195%, 12/26/08 (A) 612 476
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Morgan Stanley Capital,
Ser 2007-HE5, Cl A2A
1.505%, 12/26/08 (A) $ 1,058 $ 953
Morgan Stanley Capital,
Ser 2007-HE7, Cl M1
3.395%, 12/26/08 (A) 4,942 983
Morgan Stanley Home Equity Loan
Trust, Ser 2007-2, Cl A1
1.495%, 12/26/08 (A) 2,108 1,842
Nationstar Home Equity Loan Trust,
Ser 2006-B, Cl AV3
1.565%, 12/26/08 (A) 5,075 3,328
Nationstar Home Equity Loan Trust,
Ser 2007-A, Cl AV1
1.455%, 12/26/08 (A) 2,079 1,922
Nationstar Home Equity Loan Trust,
Ser 2007-A, Cl AV4
1.625%, 12/26/08 (A) 4,000 1,424
Nationstar Home Equity Loan Trust,
Ser 2007-B, Cl 2AV4
1.715%, 12/26/08 (A) 4,240 1,505
Nationstar Home Equity Loan Trust,
Ser 2007-C, Cl 2AV2
1.525%, 12/26/08 (A) 1,755 1,314
Nationstar NIM Trust, Ser 2007-B,
Cl A
8.750%, 05/25/37 (C) 310 12
Nationstar NIM Trust, Ser 2007-C,
Cl A
8.000%, 06/25/37 (C) 118 19
Nomura Asset Acceptance,
Ser 2006-S1, Cl A1
1.535%, 12/26/08 (A) (C) 230 181
Nomura Home Equity Loan,
Ser 2007-3, Cl 2A1
1.535%, 12/26/08 (A) 3,735 2,687
Popular Asset-Backed Mortgage
Pass-Through Trust,
Ser 2007-D, Cl A1
1.455%, 12/26/08 (A) 610 571
Renaissance Home Equity Loan
Trust, Ser 2006-4, Cl AV1
1.465%, 12/26/08 (A) 792 722
Renaissance Home Equity Loan
Trust, Ser 2007-1, Cl N
9.793%, 01/25/09 (A) (C) 654 275
Residential Asset Mortgage Products,
Ser 2006-RZ5, Cl A1B
1.495%, 12/26/08 (A) 2,629 2,426
Residential Asset Mortgage Products,
Ser 2007-RZ1, Cl A1
1.465%, 12/26/08 (A) 841 761
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
177
SCHEDULE OF INVESTMENTS (Unaudited)
Extended Duration Fund (Continued)
November 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Residential Funding Mortgage
Securities II, Ser 2006-HSA2,
Cl AI1
1.505%, 12/26/08 (A) $ 246 $ 234
Residential Funding Mortgage
Securities, Ser 1999-HI8, Cl AI7
7.970%, 11/25/29 157 140
Saxon Asset Securities Trust,
Ser 2005-1, Cl M1
2.190%, 12/26/08 (A) 2,925 2,069
Securitized Asset-Backed
Receivables LLC Trust,
Ser 2007-BR5, Cl A2A
1.525%, 12/26/08 (A) 3,673 3,211
Securitized Asset-Backed
Receivables LLC Trust,
Ser 2007-HE1, Cl A2A
1.455%, 12/26/08 (A) 2,850 2,531
Soundview Home Equity Loan Trust,
Ser 2007-OPT5, Cl M1
3.045%, 12/26/08 (A) (C) 5,700 570
Soundview NIM Trust,
Ser 2007-OPT1, Cl N
9.000%, 06/25/37 (C) 1,269 13
Structured Asset Securities,
Ser 2006-WF2, Cl A3
1.545%, 12/26/08 (A) 3,600 2,757
Structured Asset Securities,
Ser 2007-EQ1, Cl A4
1.645%, 12/26/08 (A) 9,817 3,676
UCFC Home Equity Loan,
Ser 1998-D, Cl MF1
6.905%, 04/15/30 148 143
Wells Fargo Home Equity Trust,
Ser 2007-1, Cl A1
1.495%, 12/26/08 (A) 666 623
-------------
Total Asset-Backed Securities
(Cost $193,787) ($ Thousands) 121,991
-------------
CORPORATE OBLIGATIONS -- 8.8%
CONSUMER DISCRETIONARY -- 0.3%
Comcast
5.119%, 01/14/09 (A) 1,850 1,786
Viacom
3.169%, 12/16/08 (A) 2,000 1,912
-------------
3,698
-------------
FINANCIALS -- 5.8%
Bank of America
8.000%, 01/30/09 (A) 4,500 3,125
Bank of America, Ser A
8.070%, 12/31/26 (C) 4,278 3,634
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Barrick Gold Finance
5.800%, 11/15/34 $ 1,763 $ 1,218
Bear Stearns
7.250%, 02/01/18 3,100 3,139
4.905%, 01/16/09 (A) 4,500 4,431
Camden Property Trust
4.375%, 01/15/10 +++ 2,000 1,758
Capital One Financial MTN
3.097%, 12/10/08 (A) 1,650 1,523
Cedar Brakes II LLC
9.875%, 09/01/13 (C) 1,215 1,262
Chase Capital II
3.693%, 02/02/09 (A) 2,250 1,719
Citigroup
4.125%, 02/22/10 3,694 3,535
Citigroup Capital XXI
8.300%, 12/21/08 (A) 2,175 1,312
Countrywide Financial MTN
3.418%, 12/24/08 (A) 2,650 2,623
3.333%, 12/19/08 (A) 1,800 1,799
Deutsche Bank Capital Funding Trust
5.628%, 01/19/09 (A) (C) 2,613 1,661
Developers Diversified Realty
3.875%, 01/30/09 +++ 1,925 1,884
Farmers Insurance Exchange
8.625%, 05/01/24 (C) 255 181
First Union Institutional Capital I
8.040%, 12/01/26 1,250 1,021
GMAC LLC
5.011%, 03/02/09 (A) 1,432 430
Goldman Sachs Group
2.886%, 02/06/09 (A) 4,500 3,805
HBOS
5.920%, 04/01/09 (A) (C) 2,400 1,208
HSBC America Capital Trust II
8.380%, 05/15/27 (C) 50 46
JPMorgan Chase
6.000%, 01/15/18 4,000 3,861
Lehman Brothers Holdings MTN (D)
11.000%, 05/07/09 (A) 1,000 102
8.920%, 02/16/17 756 77
2.907%, 11/16/09 2,000 180
3.005%, 07/18/11 990 89
2.851%, 12/23/08 2,000 180
Lehman Brothers Holdings,
Ser H MTN
12.500%, 11/30/08 (A) (D) 861 88
MBNA Capital, Ser B
3.993%, 02/01/09 (A) 1,863 1,151
Merrill Lynch MTN
8.950%, 05/18/09 (A) 1,340 1,005
8.680%, 05/02/09 (A) 1,305 1,062
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
178
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Metropolitan Life Global Funding I
MTN
3.961%, 12/29/08 (A) (C) $ 930 $ 831
Morgan Stanley
5.050%, 01/21/11 2,250 2,125
5.033%, 01/15/09 (A) 1,900 1,773
Nationwide Mutual Insurance
7.875%, 04/01/33 (C) 673 374
Power Receivables Finance
6.290%, 01/01/12 (C) 888 867
Security Benefit Life
7.450%, 10/01/33 (C) 3,250 3,061
Simon Property Group
7.000%, 07/15/09+++ 2,000 1,925
5.750%, 05/01/12+++ 1,250 976
Toyota Motor Credit MTN
8.000%, 04/24/09 (A) 2,041 1,880
UDR, Ser E MTN
4.250%, 01/15/09+++ 1,550 1,535
Wachovia
7.980%, 03/15/09 (A) 465 334
Wachovia Capital Trust I
7.640%, 01/15/27 (C) 3,535 2,339
Weingarten Realty Investors MTN
8.250%, 01/22/10+++ 3,325 3,267
Woodbourne Capital Trust I
2.723%, 12/08/08 (A) (C) 175 100
Woodbourne Capital Trust II
2.723%, 12/08/08 (A) (C) 175 100
Woodbourne Capital Trust III
2.723%, 12/08/08 (A) (C) 175 100
Woodbourne Capital Trust IV
2.723%, 12/08/08 (A) (C) 175 100
ZFS Finance USA Trust I
6.500%, 05/09/09 (A) (C) 1,025 543
-------------
71,339
-------------
HEALTH CARE -- 0.2%
UnitedHealth Group
6.875%, 02/15/38 2,835 2,193
-------------
INDUSTRIALS -- 1.0%
America West Airlines, Ser 01-1
7.100%, 04/02/21 164 131
American Airlines Pass-Through
Trust, Ser 2003-01
3.857%, 07/09/10 2,962 2,518
American Airlines, Ser 99-1
7.024%, 10/15/09 1,300 1,229
Continental Airlines, Ser 99-2
7.056%, 09/15/09 2,595 2,426
Continental Airlines, Ser AMBC
6.236%, 03/15/20 107 71
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Delta Air Lines, Ser 2001-1
7.111%, 09/18/11 $ 2,400 $ 1,908
Northwest Airlines, Ser 1A-2
6.841%, 04/01/11 2,610 2,140
United Air Lines, Ser 2001-1
6.201%, 12/31/49 361 347
United Air Lines, Ser 2001-1,
Cl A-1
6.071%, 03/01/13 1,178 1,096
-------------
11,866
-------------
TELECOMMUNICATION SERVICES -- 0.2%
Verizon Communications
6.400%, 02/15/38 3,825 3,109
-------------
UTILITIES -- 1.3%
Entergy Gulf States
3.565%, 12/08/08 (A) (C) 500 500
3.210%, 03/01/09 (A) 810 804
Entergy Louisiana LLC
5.830%, 11/01/10 1,750 1,695
Power Contract Financing
6.256%, 02/01/10 (C) 1,056 1,028
Sempra Energy ESOP & Trust
5.781%, 11/01/14 (C) 1,400 1,386
Tennessee Valley Authority
5.500%, 06/15/38 1,555 1,686
4.875%, 01/15/48 9,085 8,963
-------------
16,062
-------------
Total Corporate Obligations
(Cost $126,871) ($ Thousands) 108,267
-------------
U.S. TREASURY OBLIGATION -- 3.8%
U.S. Treasury Bond
5.250%, 11/15/28 38,570 46,585
-------------
Total U.S. Treasury Obligation
(Cost $43,399) ($ Thousands) 46,585
-------------
CERTIFICATES OF DEPOSIT (A) -- 0.1%
JPMorgan Chase Bank
8.750%, 11/28/21 691 677
7.590%, 03/28/22 735 679
-------------
Total Certificates of Deposit
(Cost $1,395) ($ Thousands) 1,356
-------------
COMMERCIAL PAPER (B) -- 1.8%
Bank of America
0.400%, 12/01/08 7,330 7,330
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
179
SCHEDULE OF INVESTMENTS (Unaudited)
Extended Duration Fund (Concluded)
November 30, 2008
Face Amount
($ Thousands) Market Value
Description /Shares ($ Thousands)
- ----------- ------------- -------------
General Electric Capital
1.050%, 12/29/08 $ 4,065 $ 4,062
Rabobank USA Financial
0.951%, 12/09/08 2,450 2,449
0.991%, 12/30/08 7,785 7,779
-------------
Total Commercial Paper
(Cost $21,620) ($ Thousands) 21,620
-------------
CASH EQUIVALENT -- 3.4%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 1.580%*+ 41,536,846 41,537
-------------
Total Cash Equivalent
(Cost $41,537) ($ Thousands) 41,537
-------------
Total Investments -- 63.0%
(Cost $922,202) ($ Thousands) $ 771,393
=============
A summary of outstanding swap agreements held by the Fund at November 30, 2008,
is as follows (See Note 2 in Notes to Financial Statements):
CREDIT DEFAULT SWAPS
- ---------------------------------------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
BUY/SELL (PAYS)/ TERMINATION AMOUNT (DEPRECIATION)
COUNTERPARTY REFERENCE ENTITY/OBLIGATION PROTECTION RECEIVES RATE DATE (THOUSANDS) ($ THOUSANDS)
- ------------ --------------------------------- ---------- ------------- ----------- ----------- --------------
Credit Suisse ABX.HE.AAA 07-1 Index Sell 0.09% 08/25/37 (4,170) $(1,963)
Goldman Sachs ABX.HE.AAA 06-2 Index Sell 0.09 08/25/37 (300) (40)
Morgan Stanley ABX.HE.AAA 06-2 Index Sell 0.09 08/25/37 (700) (93)
Merrill Lynch Centex Corp., 5.250% 06/15/15 Buy (3.56) 12/20/12 1,100 174
Merrill Lynch Centex Corp., 5.250% 06/15/15 Buy (3.65) 12/20/12 670 105
Barclays Bank PLC Goldman Sachs Group Inc.,
6.600% 01/15/12 Buy (0.75) 12/20/12 50 5
JPMorgan Chase Bank Goldman Sachs Group Inc.,
6.600% 01/15/12 Buy (0.74) 12/20/12 4,300 434
JPMorgan Chase Bank Morgan Stanley, 6.600% 04/01/12 Buy (0.91) 12/20/12 1,690 235
Citigroup Pulte Homes Inc., 5.250% 01/15/14 Buy (3.88) 12/20/12 1,000 117
Citigroup Pulte Homes Inc., 5.250% 01/15/14 Buy (3.91) 12/20/12 825 97
Credit Suisse Pulte Homes Inc., 5.250% 01/15/14 Buy (3.78) 12/20/12 1,000 118
Deutsche Bank Pulte Homes Inc., 5.250% 01/15/14 Buy (3.87) 12/20/12 610 72
Citigroup Toll Brothers, 6.875% 11/15/12 Buy (2.83) 12/20/12 740 56
Merrill Lynch Toll Brothers, 6.875% 11/15/12 Buy (2.78) 12/20/12 1,800 137
Merrill Lynch Toll Brothers, 6.875% 11/15/12 Buy (2.83) 12/20/12 1,050 79
-------
$ (467)
=======
INTEREST RATE SWAPS
- ---------------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL AMOUNT APPRECIATION
COUNTERPARTY FUND PAYS FUND RECEIVES TERMINATION DATE (THOUSANDS) ($ THOUSANDS)
- ------------ ------------- ------------- ---------------- --------------- --------------
Barclays Bank PLC 3-Month LIBOR 5.24% 11/03/25 70,000 $ 14,439
Barclays Bank PLC 3-Month LIBOR 5.40% 09/05/26 59,650 7,121
Barclays Bank PLC 3-Month LIBOR 5.60% 06/04/27 15,510 9,211
Barclays Bank PLC 3-Month LIBOR 5.77% 07/05/27 57,000 8,662
Barclays Bank PLC 3-Month LIBOR 5.69% 08/02/27 65,000 24,246
Citigroup 3-Month LIBOR 5.51% 08/02/17 18,060 3,108
Citigroup 3-Month LIBOR 4.57% 12/05/17 9,900 1,303
Citigroup 3-Month LIBOR 5.68% 08/02/27 22,200 24,624
Citigroup 3-Month LIBOR 4.87% 12/05/27 82,500 34,518
Citigroup 3-Month LIBOR 4.77% 05/02/28 83,885 766
Citigroup 3-Month LIBOR 4.41% 09/18/28 77,340 16,480
Citigroup 3-Month LIBOR 4.37% 09/19/28 14,710 14,633
Citigroup 4.10% 3-Month LIBOR 10/24/38 88,400 (2,940)
Credit Suisse 3-Month LIBOR 5.06% 03/02/16 28,410 4,955
Credit Suisse 3-Month LIBOR 5.63% 07/05/17 63,940 3,747
Credit Suisse 3-Month LIBOR 5.37% 04/03/27 22,460 6,566
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
180
NET UNREALIZED
NOTIONAL AMOUNT APPRECIATION
COUNTERPARTY FUND PAYS FUND RECEIVES TERMINATION DATE (THOUSANDS) ($ THOUSANDS)
- ------------ ------------- ------------- ---------------- --------------- --------------
Credit Suisse 3-Month LIBOR 5.78% 07/05/27 24,900 $ 22,307
Credit Suisse 3-Month LIBOR 4.98% 01/03/28 35,640 5,306
Credit Suisse 3-Month LIBOR 4.77% 09/02/28 11,140 8,416
Credit Suisse 3-Month LIBOR 4.67% 09/10/28 25,265 2,623
Credit Suisse 3-Month LIBOR 4.39% 09/18/28 20,000 4,891
Credit Suisse 3-Month LIBOR 4.29% 10/08/28 65,185 3,498
Deutsche Bank 3-Month LIBOR 4.06% 09/19/18 33,600 2,981
Deutsche Bank 3-Month LIBOR 4.91% 12/04/27 85,000 22,798
Deutsche Bank 3-Month LIBOR 4.80% 03/05/28 47,750 4,617
Deutsche Bank 3-Month LIBOR 4.93% 07/02/28 22,800 28,035
Deutsche Bank 3-Month LIBOR 4.92% 07/03/28 37,000 6,358
JPMorgan Chase Bank 3-Month LIBOR 5.10% 03/05/17 50,000 2,377
JPMorgan Chase Bank 3-Month LIBOR 5.06% 12/04/26 51,820 8,119
JPMorgan Chase Bank 3-Month LIBOR 5.23% 03/02/27 100,000 15,052
JPMorgan Chase Bank 3-Month LIBOR 5.43% 10/02/27 60,000 19,735
JPMorgan Chase Bank 3-Month LIBOR 4.35% 09/19/28 3,160 12,216
Merrill Lynch 3-Month LIBOR 5.45% 09/04/27 15,640 13,186
Merrill Lynch 3-Month LIBOR 5.42% 10/02/27 39,000 19,834
Merrill Lynch 3-Month LIBOR 5.33% 11/02/27 20,800 22,257
Merrill Lynch 3-Month LIBOR 4.91% 12/04/27 18,860 23,470
UBS Warburg 3-Month LIBOR 4.87% 02/14/28 127,860 12,802
UBS Warburg 3-Month LIBOR 4.92% 07/02/28 127,860 24,650
--------
$456,967
========
A summary of the open futures contracts held by the Fund at November 30, 2008,
is as follows:
NUMBER OF UNREALIZED
TYPE OF CONTRACTS EXPIRATION APPRECIATION
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- -------- ------------ ---------- -------------
U.S. Long Treasury Bond 1,210 Mar-2009 $ 4,685
=======
Percentages are based on a Net Assets of $1,223,566 ($ Thousands).
* Rate shown is the 7-day effective yield as of November 30, 2008.
+ Investment in Affiliated Security (See Note 3).
+++ Real Estate Investment Trust
(A) Variable Rate Security - The rate reported is the rate in effects as of
November 30, 2008. The date reported is the next reset date.
(B) The rate reported is the effective yield at time of purchase.
(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) Security in default on interest payments.
ARM -- Adjustable Rate Mortgage
CDO -- Collateralized Debt Obligation
Cl -- Class
CMO -- Collateralized Mortgage Obligation
DN -- Discount Note
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
IO -- Interest Only - face amount represents notional amount
LLC -- Limited Liability Company
MTN -- Medium Term Note
NIM -- Net Interest Margin
Ser -- Series
TBA -- To Be Announced
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
181
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund
November 30, 2008
SECTOR WEIGHTINGS+++:
(BAR CHART)
Sovereign 80.5%
Financials 4.8%
Energy 4.7%
Short-Term Investments 3.7%
Deposit with Counterparty as Collateral for Swap Contracts 1.7%
Loan Participants 1.5%
Industrials 1.0%
Utilities 0.7%
Materials 0.5%
Telecommunication Services 0.4%
Information Technology 0.3%
Consumer Discretionary 0.1%
Purchased Options 0.1%
Warrants 0.0%
+++ Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 9).
Face Amount(1) Market Value
Description (Thousands) ($ Thousands)
- ----------- -------------- -------------
GLOBAL BONDS -- 86.1%
ANGOLA -- 0.1%
Republic of Angola
7.132%, 04/30/16 (I) (J) 1,300 $ 1,219
-------------
ARGENTINA -- 3.3%
Alto Parana
6.375%, 06/09/17 (A) 370 322
Cia Transporte Energia Registered
8.875%, 12/15/16 (A) 390 133
Earls Eight MTN
9.000%, 12/31/12 (A) (C) 350 105
Province Del Neuquen
8.656%, 10/18/14 (A) 204 143
Province of Buenos Aires
9.625%, 04/18/28 (A) 1,460 307
Province of Buenos Aires Registered
9.625%, 04/18/28 1,335 214
9.375%, 09/14/18 1,440 233
4.000%, 05/15/35 (C) 1,100 143
Province of Mendoza Registered
5.500%, 09/04/18 348 122
Republic of Argentina, Ser E MTN (D)
10.000%, 01/07/05 EUR 1,650 293
9.250%, 07/20/04 EUR 2,100 373
8.750%, 02/04/49 EUR 4,835 184
7.000%, 03/18/49 EUR 2,554 454
Republic of Argentina
15.500%, 12/19/08 (D) 2,000 380
10.250%, 01/26/07 (D) EUR 850 151
9.750%, 09/19/27 (D) EUR 1,550 248
9.000%, 05/26/09 (D) EUR 1,595 61
9.000%, 11/19/08 1,000 73
8.500%, 07/01/49 (D) EUR 4,500 799
8.280%, 12/31/33 (E) 23,889 7,047
8.125%, 04/21/49 (D) EUR 2,818 107
7.820%, 12/31/33 EUR 1,714 451
Face Amount(1) Market Value
Description (Thousands) ($ Thousands)
- ----------- -------------- -------------
7.000%, 10/03/15 2,400 $ 648
7.000%, 09/12/13 825 235
3.127%, 02/03/09 (B) 9,180 2,249
2.500%, 03/31/09 (C) 47,100 8,242
2.280%, 12/15/09 (B) 50,365 2,354
1.985%, 12/15/09 (B) 21,390 920
Transportadora Gas Norte
9.000%, 12/31/09 (C) 100 39
9.000%, 12/31/09 (A) (C) 210 63
7.500%, 12/31/10 (C) 136 53
7.500%, 12/31/10 (A) (C) 30 12
-------------
27,158
-------------
BAHAMAS -- 0.1%
Banco Votorantim Nassau MTN
10.625%, 04/10/14 (A) BRL 2,300 762
-------------
BELIZE -- 0.0%
Government of Belize Registered
4.250%, 02/20/29 330 157
-------------
BOSNIA AND HERZEGOVINA -- 0.1%
Republic of Bosnia & Herzegovina
10.039%, 12/11/17 (F) DEM 2,000 454
-------------
BRAZIL -- 13.9%
Banco Safra MTN
10.875%, 04/03/17 (A) BRL 2,250 625
Braskem Finance
7.250%, 06/05/18 (A) 415 273
Brazil Notas do Tesouro Nacional, Ser F
10.000%, 01/01/14 BRL 19,320 6,596
10.000%, 01/01/17 BRL 19,320 5,970
Cesp-Comp Ener Sao Paulo MTN
9.750%, 01/15/15 (A) BRL 1,050 305
Federal Republic of Brazil
12.500%, 01/05/16 BRL 4,500 1,781
12.500%, 01/05/22 BRL 4,250 1,598
12.250%, 03/06/30 195 265
11.000%, 08/17/40 34,185 39,656
10.250%, 01/10/28 BRL 1,250 423
10.125%, 05/15/27 4,970 5,976
8.875%, 10/14/19 200 209
8.875%, 04/15/24 2,475 2,685
8.750%, 02/04/25 5,388 5,711
8.500%, 09/24/12 EUR 2,855 3,650
8.250%, 01/20/34 4,145 4,228
8.000%, 01/15/18 (E) 11,740 11,858
7.875%, 03/07/15 900 909
7.125%, 01/20/37 10,235 9,519
6.000%, 01/17/17 5,930 5,396
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
182
Face Amount(1) Market Value
Description (Thousands) ($ Thousands)
- ----------- -------------- -------------
GTL Trade Finance
7.250%, 10/20/17 (A) 3,335 $ 2,792
National Development
6.369%, 06/16/18 (A) 3,905 3,319
Petrobras International Finance
5.875%, 03/01/18 1,410 1,220
Usiminas Commercial
7.250%, 01/18/18 790 689
-------------
115,653
-------------
BULGARIA -- 0.1%
Bulgaria Government International Bond
8.250%, 01/15/15 876 831
-------------
CHILE -- 0.1%
Codelco
6.375%, 11/30/12 1,170 1,191
-------------
CHINA -- 0.0%
Citic Resources Finance
6.750%, 05/15/14 (A) 250 155
-------------
COLOMBIA -- 5.0%
BanColombia
6.875%, 05/25/17 365 295
Bogota District Capital
9.750%, 07/26/28 (A) COP 1,872,000 606
Colombia Government
International Bond
6.364%, 12/17/08 (B) 1,170 1,088
EEB International
8.750%, 10/31/14 (A) 320 274
Republic of Colombia
11.750%, 02/25/20 4,868 5,817
10.375%, 01/28/33 450 497
9.850%, 06/28/27 COP 6,879,000 2,408
8.375%, 02/15/27 3,100 2,883
8.250%, 12/22/14 5,330 5,357
8.125%, 05/21/24 6,130 5,732
7.375%, 09/18/37 (E) 8,230 6,831
7.375%, 01/27/17 9,995 9,220
3.949%, 02/17/09 (B) 225 189
TGI International
9.500%, 10/03/17 (A) 620 502
-------------
41,699
-------------
DOMINICAN REPUBLIC -- 0.2%
Republic of Dominican Republic
9.040%, 01/23/18 410 222
8.625%, 04/20/27 1,005 482
Face Amount(1) Market Value
Description (Thousands) ($ Thousands)
- ----------- -------------- -------------
Standard Bank
15.000%, 03/12/12 (A) 446 $ 308
Standard Bank, Ser E MTN
8.125%, 07/20/09 (B) 509 469
-------------
1,481
-------------
ECUADOR -- 0.2%
Republic of Ecuador Registered
10.000%, 08/15/30 5,100 1,342
9.375%, 12/15/15 750 225
4.896%, 11/15/12 286 83
-------------
1,650
-------------
EL SALVADOR -- 1.2%
Republic of El Salvador
8.250%, 04/10/32 6,205 3,723
7.750%, 01/24/23 865 735
7.650%, 06/15/35 9,199 5,244
-------------
9,702
-------------
GABON -- 0.2%
Gabonese Republic
8.200%, 12/12/17 (A) 3,675 2,058
-------------
GEORGIA -- 0.2%
Republic of Georgia
7.500%, 04/15/13 2,150 1,279
-------------
GHANA -- 0.3%
Republic of Ghana
8.500%, 10/04/17 (A) 4,180 2,341
-------------
INDIA -- 0.2%
Vedanta Resources
9.500%, 07/18/18 (A) 4,025 1,972
-------------
INDONESIA -- 4.6%
Majapahit Holding
7.875%, 06/29/37 (A) 615 264
7.750%, 10/17/16 (A) 1,300 754
7.750%, 10/17/16 200 117
7.250%, 10/17/11 (A) 885 655
7.250%, 06/28/17 (A) 840 403
Republic of Indonesia
8.500%, 10/12/35 5,960 3,823
7.750%, 01/17/38 19,825 12,540
7.500%, 01/15/16 6,240 4,565
7.250%, 04/20/15 (A) 350 259
7.250%, 04/20/15 6,820 5,052
6.875%, 03/09/17 920 614
6.875%, 01/17/18 550 367
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
183
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund (Continued)
November 30, 2008
Face Amount(1) Market Value
Description (Thousands) ($ Thousands)
- ----------- -------------- -------------
6.875%, 01/17/18 (A) (E) 5,880 $ 3,822
6.750%, 03/10/14 (A) 1,400 1,058
6.750%, 03/10/14 3,550 2,670
6.625%, 02/17/37 (A) 625 344
6.625%, 02/17/37 1,950 1,084
-------------
38,391
-------------
IRAQ -- 1.1%
Republic of Iraq
5.800%, 01/15/28 22,950 9,180
-------------
ISRAEL -- 0.1%
Israel Electric MTN
7.250%, 01/15/19 555 498
-------------
JAMAICA -- 0.0%
Digicel Group
8.875%, 01/15/15 (A) 450 232
-------------
KAZAKHSTAN -- 1.9%
HSBK Europe
9.250%, 10/16/13 (A) 1,200 912
7.250%, 05/03/17 200 123
7.250%, 05/03/17 (A) 300 171
Kazkommerts International MTN
8.000%, 11/03/15 400 190
7.500%, 11/29/16 4,100 1,722
7.500%, 11/29/16 (A) 400 176
KazMunaiGaz Finance MTN
9.125%, 07/02/18 (A) 11,900 7,973
8.375%, 07/02/13 (A) 5,650 4,294
-------------
15,561
-------------
LEBANON -- 0.1%
Lebanese Republic Registered MTN
8.250%, 04/12/21 760 623
-------------
MALAYSIA -- 1.4%
Petroliam Nasional
7.750%, 08/15/15 1,460 1,472
7.625%, 10/15/26 430 411
Petronas Capital
7.000%, 05/22/12 4,090 4,095
Petronas Capital Registered
7.875%, 05/22/22 5,665 5,880
-------------
11,858
-------------
MEXICO -- 5.2%
Grupo Televisa
6.000%, 05/15/18 (A) 600 485
Face Amount(1) Market Value
Description (Thousands) ($ Thousands)
- ----------- -------------- -------------
Pemex Project Funding Master Trust
6.625%, 06/15/35 400 $ 301
5.750%, 03/01/18 (A) 505 412
5.750%, 03/01/18 1,165 951
United Mexican States
8.375%, 01/14/11 3,050 3,286
8.300%, 08/15/31 6,660 6,819
7.500%, 01/14/12 4,350 4,562
6.625%, 03/03/15 3,750 3,675
6.375%, 01/16/13 4,700 4,747
6.050%, 01/11/40 1,390 1,070
5.625%, 01/15/17 (E) 8,428 7,501
United Mexican States, Ser A MTN
6.750%, 09/27/34 6,263 5,605
5.875%, 01/15/14 4,350 4,133
-------------
43,547
-------------
NIGERIA -- 0.4%
Citigroup Funding
10.000%, 01/03/17(B) 1,496 1,011
6.000%, 05/18/15 (A) 700 543
UBS
0.013%, 02/28/09 (A) (B) 800 824
UBS Jersey Branch MTN
6.296%, 11/03/09 (A) (B) 1,180 1,216
-------------
3,594
-------------
NORWAY -- 0.3%
Sea Production
7.054%, 02/14/09 5,000 2,250
-------------
OMAN -- 0.1%
Blue City Investments
13.750%, 11/07/13 (I) (J) 500 430
-------------
PAKISTAN -- 0.2%
Pakistan Mobile Communications
8.625%, 11/13/13 (A) 330 116
Republic of Pakistan
7.125%, 03/31/16 (A) 1,150 420
7.125%, 03/31/16 260 100
6.875%, 06/01/17 2,780 986
-------------
1,622
-------------
PANAMA -- 2.6%
Republic of Panama
9.375%, 01/16/23 595 585
9.375%, 04/01/29 6,975 6,940
8.875%, 09/30/27 4,400 4,224
8.125%, 04/28/34 940 818
7.250%, 03/15/15 7,235 6,837
6.700%, 01/26/36 3,395 2,648
-------------
22,052
-------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
184
Face Amount(1) Market Value
Description (Thousands) ($ Thousands)
- ----------- -------------- -------------
PERU -- 2.9%
Interoceanica IV Finance
3.810%, 11/30/25 (A) (F) 787 $ 318
3.638%, 11/30/18 (A) (F) 370 177
Peru Enhanced Pass-Thru
6.065%, 06/02/25 (A) (F) 250 55
3.936%, 05/31/18 (A) (F) 1,657 876
Republic of Peru
9.875%, 02/06/15 5 5
8.375%, 05/03/16 2,825 2,889
8.750%, 11/21/33 830 830
7.350%, 07/21/25 15,510 13,998
6.550%, 03/14/37 6,010 4,718
-------------
23,866
-------------
PHILIPPINES -- 5.8%
National Power
9.625%, 05/15/28 1,100 781
6.875%, 11/02/16 (A) 870 653
Republic of Philippines
10.625%, 03/16/25 3,510 3,756
9.875%, 01/15/19 500 520
9.500%, 10/21/24 200 186
9.500%, 02/02/30 4,195 4,237
9.375%, 01/18/17 10,240 10,240
9.000%, 02/15/13 500 495
8.875%, 03/17/15 400 400
8.250%, 01/15/14 3,075 2,967
8.000%, 01/15/16 9,540 8,872
7.750%, 01/14/31 (E) 6,836 6,152
7.500%, 09/25/24 10,259 8,720
-------------
47,979
-------------
RUSSIA -- 13.8%
ABN Amro Bank
9.625%, 03/01/13 1,500 1,236
Alfa Dividend Payment Rights
Finance MTN
4.719%, 12/15/08 (A) (B) 306 199
Alfa Invest MTN
9.250%, 06/24/13 (A) 1,200 600
Gaz Capital MTN
6.510%, 03/07/22 220 126
6.212%, 11/22/16 2,000 1,191
Gaz Capital for Gazprom
Registered MTN
8.625%, 04/28/34 2,950 2,213
GPB Eurobond Finance for
Gazprombank
6.500%, 09/23/15 800 406
Kazan Orgsintez
9.250%, 10/30/11 330 83
Face Amount(1) Market Value
Description (Thousands) ($ Thousands)
- ----------- -------------- -------------
Kuznetski (Bank of Moscow)
8.961%, 05/25/09 (B) (C) 1,300 $ 470
Lukoil International Finance
6.656%, 06/07/22 (A) 405 192
RSHB Capital
7.175%, 05/16/13 540 365
6.299%, 05/15/17 (A) 100 51
RSHB Capital for Russian
Agricultural Bank
7.750%, 05/29/18 (A) 1,100 651
7.750%, 05/29/18 400 205
7.125%, 01/14/14 (A) 2,010 1,282
Russian Federation Registered
12.750%, 06/24/28 9,375 10,593
7.500%, 03/31/30 (E) 97,358 80,807
Steel Capital for OAO Severstal
9.750%, 07/29/13 (A) 395 170
Teorema Holding
11.000%, 10/27/09 (I) (J) 2,000 1,000
TransCapital (Transneft)
8.700%, 08/07/18 (A) 3,210 1,830
7.700%, 08/07/13 (A) 150 101
6.103%, 06/27/12 (A) 600 433
UBS (Vimpelcom)
8.250%, 05/23/16 690 311
VIP Finance Ireland for Vimpel
Communications
9.125%, 04/30/18 700 --
9.125%, 04/30/18 (A) 2,200 968
8.375%, 04/30/13 (A) 1,400 770
VTB Capital
6.875%, 05/29/18 (A) 4,170 2,533
6.875%, 05/29/18 3,950 2,454
6.609%, 10/31/12 (A) 3,500 2,205
VTB Capital for Vneshtorgbank
7.815%, 02/04/09 (B) (C) 1,795 1,490
-------------
114,935
-------------
SINGAPORE -- 0.1%
DBS Bank MTN
5.000%, 05/15/09 (A) (B) 195 138
United Overseas Bank
5.375%, 03/03/09 (A) (B) 1,050 831
-------------
969
-------------
SOUTH AFRICA -- 0.8%
Republic of South Africa
8.500%, 06/23/17 815 725
6.500%, 06/02/14 4,105 3,490
5.875%, 05/30/22 3,205 2,358
-------------
6,573
-------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
185
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund (Continued)
November 30, 2008
Face
Amount(1) Market Value
Description (Thousands) ($ Thousands)
- ----------- ------------- -------------
SOUTH KOREA -- 0.1%
Shinhan Bank
6.819%, 03/20/09 (B) 590 $ 311
Woori Bank
6.208%, 05/02/37 560 305
-------------
616
-------------
SUPRA-NATIONAL -- 0.2%
European Investment Bank MTN
10.000%, 01/28/11 TRY 3,630 2,033
-------------
THAILAND -- 0.1%
Bangkok Bank
9.025%, 03/15/29 370 286
True Move
10.750%, 12/16/13 (A) 850 349
10.375%, 08/01/14 (A) 1,700 561
-------------
1,196
-------------
TRINIDAD & TOBAGO -- 0.3%
Petroleum of Trinidad & Tobago
6.000%, 05/08/22 1,775 1,425
6.000%, 05/08/22 (A) 900 740
-------------
2,165
-------------
TUNISIA -- 0.1%
Banque Centrale de Tunisie
7.375%, 04/25/12 1,260 1,225
-------------
TURKEY -- 5.0%
Republic of Turkey
14.000%, 01/19/11 460 262
11.875%, 01/15/30 1,275 1,689
10.000%, 02/15/12 550 288
9.500%, 01/15/14 300 300
8.000%, 02/14/34 1,300 1,066
7.375%, 02/05/25 7,610 6,281
7.250%, 03/15/15 9,395 8,269
7.250%, 03/05/38 5,745 4,337
7.000%, 09/26/16 2,785 2,367
7.000%, 03/11/19 1,900 1,520
6.875%, 03/17/36 9,805 6,864
6.750%, 04/03/18 10,030 8,124
-------------
41,367
-------------
UKRAINE -- 2.0%
Credit Suisse First Boston for
City of Kiev
8.000%, 11/06/15 750 267
Face
Amount(1) Market Value
Description (Thousands) ($ Thousands)
- ----------- ------------- -------------
Credit Suisse First Boston International
(Export/Import -- Ukraine)
7.650%, 09/07/11 500 $ 210
6.800%, 10/04/12 550 220
Government of Ukraine Registered
7.650%, 06/11/13 6,180 3,181
6.875%, 03/04/11 400 240
6.875%, 03/04/11 (A) 3,825 2,180
6.750%, 11/14/17 2,290 845
6.580%, 11/21/16 10,660 4,113
HSBC Bank (Ukrsibbank)
7.750%, 12/21/11 400 180
Naftogaz Ukrainy
8.125%, 09/30/09 600 330
Springvale Holdings
9.181%, 09/07/09 (B) (I) (J) 1,000 150
UK Private Bank
8.000%, 02/06/12 (A) 800 280
Ukraine Government International Bond
6.875%, 03/04/11 1,550 884
6.450%, 02/05/09 (B) 4,060 3,045
6.385%, 06/26/12 1,500 786
-------------
16,911
-------------
UNITED ARAB EMIRATES -- 0.8%
HSBC Bank Middle East MTN
5.331%, 04/30/09 (B) AED 16,500 3,526
Jafz Sukuk
5.681%, 05/27/09 (B) AED 20,000 3,553
-------------
7,079
-------------
URUGUAY -- 3.4%
Republic of Uruguay
9.250%, 05/17/17 8,870 7,806
8.000%, 11/18/22 19,247 15,378
7.875%, 01/15/33 2,700 1,964
7.625%, 03/21/36 1,751 1,252
Republic of Uruguay PIK
7.875%, 01/15/33 2,606 1,896
-------------
28,296
-------------
VENEZUELA -- 7.3%
Government of Venezuela
13.625%, 08/15/18 1,200 888
10.750%, 09/19/13 5,115 3,632
9.375%, 01/13/34 13,925 7,171
9.250%, 05/07/28 16,025 8,316
9.250%, 09/15/27 7,725 4,867
9.000%, 05/07/23 7,970 3,945
8.500%, 10/08/14 2,820 1,622
7.650%, 04/21/25 (E) 13,920 6,334
6.000%, 12/09/20 4,475 1,880
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
186
Face
Amount(1)
(Thousands)/ Market Value
Description Contracts ($ Thousands)
- ----------- ------------- -------------
5.750%, 02/26/16 6,485 $ 2,967
5.375%, 08/07/10 6,905 5,671
5.059%, 01/22/09 (B) 16,800 10,583
Government of Venezuela Registered
7.000%, 12/01/18 2,005 922
Petroleos de Venezuela
5.375%, 04/12/27 4,605 1,566
5.250%, 04/12/17 800 304
-------------
60,668
-------------
VIETNAM -- 0.1%
Socialist Republic of Vietnam
6.875%, 01/15/16 1,585 1,221
-------------
YEMEN -- 0.1%
Pemberley SPV Finance 2008
Yemen MTN
11.500%, 02/19/14 (I) (J) 1,100 1,045
0.000%, 02/25/20 (F) (I) (J) 1,100 --
-------------
1,045
-------------
Total Global Bonds
(Cost $978,929) ($ Thousands) 717,744
-------------
DEPOSIT WITH COUNTERPARTY AS
COLLATERAL FOR SWAP CONTRACTS (H) -- 1.6%
UNITED STATES -- 1.6%
Deposits with Credit Suisse
First Boston as Collateral for
Swap Contract Outstanding 940 940
Deposits with Credit Suisse
First Boston as Collateral for
Swap Contract Outstanding 600 600
Deposits with Credit Suisse
First Boston as Collateral for
Swap Contract Outstanding 2,400 2,400
Deposits with Credit Suisse
First Boston as Collateral for
Swap Contract Outstanding 600 600
Deposits with Deutsche Bank
as Collateral for Swap Contract
Outstanding BRL 659 288
Deposits with Deutsche Bank
as Collateral for Swap Contract
Outstanding BRL 7,115 3,111
Deposits with Goldman Sachs
as Collateral for Swap Contract
Outstanding BRL 1,876 820
Deposits with Merrill Lynch
as Collateral for Swap Contract
Outstanding 1,803 1,803
Face
Amount(1)
(Thousands)/ Market Value
Description Contracts ($ Thousands)
- ----------- ------------- -------------
Deposits with Merrill Lynch
as Collateral for Swap Contract
Outstanding NGN 285,300 $ 2,391
Deposits with Standard Bank
as Collateral for Swap Contract
Outstanding 72 72
Deposits with UBS as Collateral
for Swap Contract Outstanding ILS 21 5
-------------
Total Deposit with Counterparty
as Collateral for Swap Contracts
(Cost $14,401) ($ Thousands) 13,030
-------------
LOAN PARTICIPATIONS -- 1.4%
GERMANY -- 0.1%
Rike
10.000%, 08/17/11 1,200 900
-------------
NIGERIA -- 0.3%
Oando
13.900%, 02/23/10 NGN 229,710 1,279
13.900%, 03/02/10 NGN 229,710 1,279
-------------
2,558
-------------
RUSSIA -- 0.3%
Snegri Overseas
10.500%, 04/21/10 2,600 2,600
-------------
SINGAPORE -- 0.3%
Neptune
0.000%, 12/05/08 (I) (J) 2,738 2,738
-------------
TURKEY -- 0.4%
Cukurova, Ser B
10.973%, 05/01/12 (I) (J) 3,850 2,925
-------------
Total Loan Participations
(Cost $14,301) ($ Thousands) 11,721
-------------
PURCHASED OPTIONS -- 0.1%
BRAZIL -- 0.0%
December 2008 BRL Call,
Expires 12/20/08
Strike Price $1.71* 9,690,000 --
December 2008 BRL Call,
Expires 12/20/08
Strike Price $1.71* 9,720,000 --
January 2009 BRL Call,
Expires 01/17/09
Strike Price $1.71* 7,843,000 1
-------------
1
-------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
187
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund (Continued)
November 30, 2008
Market Value
Description Contracts ($ Thousands)
- ----------- ------------- -------------
UNITED STATES -- 0.1%
June 2009 Call,
Expires 06/20/09
Strike Price $1.20* 26,000,000 $ 96
June 2009 Call,
Expires 06/20/09
Strike Price $1.03* 26,000,000 122
June 2009 Call,
Expires 06/20/09
Strike Price $1.24* 26,000,000 97
June 2009 Call,
Expires 06/20/09
Strike Price $0.80* 26,000,000 150
May 2009 Call,
Expires 05/16/09
Strike Price $1.04* 26,000,000 121
May 2009 Call,
Expires 05/16/09
Strike Price $1.12* 26,000,000 104
May 2009 Call,
Expires 05/16/09
Strike Price $1.04* 26,000,000 115
May 2009 Call,
Expires 05/16/09
Strike Price $1.22* 26,000,000 100
-------------
905
-------------
Total Purchased Options
(Cost $1,216) ($ Thousands) 906
-------------
Number of
Warrants
-------------
WARRANTS -- 0.0%
RUSSIA -- 0.0%
Teorema Holding A,
Expires 10/27/11* (I) (J) 136 75
Teorema Holding B,
Expires 10/27/11* (I) (J) 272 156
-------------
Total Warrants
(Cost $47) ($ Thousands) 231
-------------
Shares/ Market Value
Description Contracts ($ Thousands)
- ----------- ------------- -------------
AFFILIATED PARTNERSHIP -- 3.4%
UNITED STATES -- 3.4%
SEI Liquidity Fund, L.P.,
1.630%**+ (G) 29,201,596 $ 28,823
-------------
Total Affiliated Partnership
(Cost $29,202) ($ Thousands) 28,823
-------------
Total Investments -- 92.6%
(Cost $1,038,096) ($ Thousands) $ 772,455
=============
WRITTEN OPTIONS -- 0.0%
BRAZIL -- 0.0%
December 2008 BRL Call,
Expires 12/20/08,
Strike Price $1.61 (9,120,000) $ --
December 2008 BRL Call,
Expires 12/20/08,
Strike Price $1.57 (8,917,600) --
December 2008 BRL Call,
Expires 12/20/08,
Strike Price $1.61 (9,150,000) --
January 2009 BRL Call,
Expires 01/17/09,
Strike Price $1.61 (7,383,000) (1)
-------------
Total Written Options
(Premiums Received $240) ($ Thousands) $ (1)
-------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
188
A summary of outstanding swap agreements held by the Fund at November 30, 2008,
is as follows (See Note 2 in Notes to Financial Statements):
TOTAL RETURN SWAPS
NET UNREALIZED
APPRECIATION
TERMINATION NOTIONAL AMOUNT (DEPRECIATION)
COUNTERPARTY REFERENCE ENTITY/OBLIGATION FUND PAYS FUND RECEIVES DATE (THOUSANDS)(1) ($ THOUSANDS)
- ------------- --------------------------- ------------------------------- ------------- ----------- --------------- --------------
Standard Bank Federal Government of
Nigeria 17.000%, 12/16/08 Cash Deposit Of Notional Amount Price Return 12/16/08 BRL 9,152 $ 1
Goldman Sachs Federative Republic of
Brazil, 10.000%, 01/01/17 Cash Deposit Of Notional Amount Price Return 01/01/17 BRL 1,850 (100)
Deutsche Bank Federative Republic of
Brazil, 6.000%, 05/15/17 Cash Deposit Of Notional Amount Price Return 08/15/10 BRL 4,411 (332)
Deutsche Bank Federative Republic of
Brazil, 6.000%, 08/15/10 Cash Deposit Of Notional Amount Price Return 08/15/10 BRL 400 12
Merrill Lynch Solar Gardens Ltd. Term
Loan Credit Facility Cash Deposit Of Notional Amount Price Return 12/30/09 NGN 285,300 (748)
Merrill Lynch Zaporozh Term Loan,
9.784%, 12/31/10 Cash Deposit Of Notional Amount Price Return 12/31/10 NGN 1,775 (598)
-------
$(1,765)
=======
CREDIT DEFAULT SWAPS
NET UNREALIZED
APPRECIATION
(PAYS)/ NOTIONAL AMOUNT (DEPRECIATION)
COUNTERPARTY REFERENCE ENTITY/OBLIGATION BUY/SELL PROTECTION RECEIVES RATE TERMINATION DATE (THOUSANDS) ($ THOUSANDS)
- ----------------------------------------- ------------------- ------------- ---------------- --------------- --------------
Credit Suisse JSC Gazprom 8.625% 04/28/34 Sell 1.37 08/20/16 (600) $ (201)
Credit Suisse Naftogaz Ukrainy, 8.125% 09/30/09 Sell 5.75 12/20/08 (940) 2
Credit Suisse Naftogaz Ukrainy, 8.125% 09/30/09 Sell 5.75 12/20/09 (2,400) (573)
Credit Suisse Naftogaz Ukrainy, 8.125% 09/30/09 Sell 5.20 12/20/11 (600) (260)
-------
$(1,032)
=======
INTEREST RATE SWAPS
NET UNREALIZED
NOTIONAL AMOUNT DEPRECIATION
COUNTERPARTY FUND PAYS FUND RECEIVES TERMINATION DATE (THOUSANDS) ($ THOUSANDS)
- ------------ ----------------------------- ------------- ---------------- --------------- --------------
Deutsche Bank Brazil Interbank Deposit Rate 14.64% 01/02/12 BRL 7,297 $ (48)
Deutsche Bank Brazil Interbank Deposit Rate 15.16% 01/02/12 BRL 15,245 2
Deutsche Bank Brazil Interbank Deposit Rate 14.17% 01/02/12 BRL 7,036 (98)
HSBC Brazil Interbank Deposit Rate 14.61% 01/02/12 BRL 2,655 (19)
-----
$(163)
=====
A summary of the open futures contracts held by the Fund at November 30, 2008,
is as follows:
NUMBER OF UNREALIZED
TYPE OF CONTRACTS EXPIRATION APPRECIATION
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- ------------------------- ------------ ---------- -------------
U.S. 5-Year Treasury Note 38 Mar-2009 $ 19
U.S. Long Treasury Bond 115 Mar-2009 178
----
$197
====
A summary of the outstanding forward foreign currency contracts held by the Fund
at November 30, 2008, is as follows:
UNREALIZED
CURRENCY CURRENCY APPRECIATION
MATURITY TO DELIVER TO RECEIVE (DEPRECIATION)
DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS)
- --------------- ------------- ------------- --------------
12/2/08 USD 3,540 BRL 7,711 $ (168)
12/2/08-1/5/09 BRL 50,653 USD 22,077 33
12/2/08-1/16/09 EUR 16,315 USD 24,225 3,534
12/8/08-1/14/09 MXP 67,055 USD 5,061 44
12/8/08-1/21/09 USD 6,378 MXP 85,590 9
12/11/08 KRW 2,977,223 USD 2,700 661
12/11/08 USD 2,450 KRW 2,977,223 (411)
12/18/08 TRY 3,500 USD 2,097 (122)
1/16/09 USD 7,748 EUR 5,682 (543)
------
$3,037
======
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
189
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund (Concluded)
November 30, 2008
Percentages are based on a Net Assets of $833,833 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of November 30, 2008.
+ 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 is the rate in effects as of
November 30, 2008. The date reported is the next reset date.
(C) Step Bonds -- The rate reported is the effective yield on November 30,
2008. The coupon on a step bond changes on a specified date.
(D) Security in default on interest payments.
(E) This security or a partial position of this security is on loan at November
30, 2008. The total value of securities on loan at November 30, 2008 was
$26,873 ($ Thousands).
(F) Zero coupon security. The rate reported is the effective yield at time of
purchase.
(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,
2008 was $28,823 ($ Thousands).
(H) Cash on loan to swap counterparty as collateral for outstanding swap
contracts.
(I) Securities considered illiquid. The total value of such securities as of
November 30, 2008 was $9,738 ($ Thousands) and represented 1.17% of net
assets (see Note 3).
(J) Security fair valued using methods determined in good faith by the
Valuation Committee of the Board of Trustees. The total value of such
securities as of November 30, 2008 was $9,738 ($ Thousands) and represented
1.17% of net assets.
AED -- United Arab Emirates Dirham
BRL -- Brazilian Real
COP -- Colombian Peso
DEM -- German Mark
EURIBOR -- Euro London Interbank Offered Rate
EUR -- Euro
ILS -- Israeli New Sheckels
KRW -- South Korean Won
LIBOR -- London Interbank Offered Rate
MTN -- Medium Term Note
MXP -- Mexican Peso
NGN -- Nigerian Naira
PIK -- Payment-in-Kind
Ser -- Series
TRY -- New Turkish Lira
USD -- U.S. Dollar
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
190
Real Return Plus Fund
November 30, 2008
SECTOR WEIGHTINGS+++:
(BAR CHART)
U.S. Treasury Obligations 96.2%
Short-Term Investments 3.8%
+++ Percentages based on total investments.
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- ----------- -------------------- -------------
U.S. TREASURY OBLIGATIONS -- 94.4%
U.S. Treasury Bills (A) (B)
1.521%, 04/23/09 $ 3,800 $ 3,796
0.632%, 05/14/09 200 199
0.229%, 01/15/09 3,095 3,095
U.S. Treasury Inflation-Protected
Securities
4.250%, 01/15/10 2,250 2,202
3.500%, 01/15/11 300 289
3.375%, 01/15/12 5,342 5,176
3.000%, 07/15/12 6,659 6,366
2.625%, 07/15/17 7,165 6,801
2.500%, 07/15/16 23,886 21,946
2.375%, 04/15/11 to 01/15/17 52,888 49,143
2.000%, 04/15/12 to 01/15/16 94,631 84,816
1.875%, 07/15/13 to 07/15/15 15,012 13,568
1.625%, 01/15/15 to 01/15/18 35,000 30,780
1.375%, 07/15/18 9,347 8,372
0.875%, 04/15/10 22,651 21,060
0.625%, 04/15/13 330 307
--------
Total U.S. Treasury Obligations
(Cost $278,798) ($ Thousands) 257,916
--------
CASH EQUIVALENT -- 3.8%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 1.620%*+ 10,309,540 10,310
--------
Total Cash Equivalent
(Cost $10,310) ($ Thousands) 10,310
--------
Total Investments -- 98.2%
(Cost $289,108) ($ Thousands) $268,226
========
A summary of the open futures contracts held by the Fund at November 30, 2008,
is as follows:
UNREALIZED
NUMBER OF APPRECIATION
TYPE OF CONTRACTS EXPIRATION (DEPRECIATION)
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- -------- ------------ ---------- --------------
Amsterdam Index 27 Dec-2008 $ 50
Australian 10-Year Bond (241) Dec-2008 (1,025)
Australian 10-Year Bond 31 Dec-2008 173
CAC40 10 Euro (29) Dec-2008 (35)
CAC40 10 Euro 2 Dec-2008 4
Canadian 10-Year Bond (102) Mar-2009 (115)
Canadian 10-Year Bond 36 Mar-2009 41
Dax Index 1 Dec-2008 (15)
Dax Index 9 Dec-2008 (246)
DJ Euro Stoxx 50 Index 8 Dec-2008 (7)
Euro-Bund (29) Dec-2008 (212)
Euro-Bund 25 Dec-2008 241
Euro-Schatz 27 Dec-2008 15
FTSE Index (5) Dec-2008 62
FTSE Index 8 Dec-2008 (51)
Hang Seng Index 5 Dec-2008 54
Hang Seng Index (10) Dec-2008 (62)
IBEX Index 1 Dec-2008 7
IBEX Index (20) Dec-2008 (127)
Japan 10-Year Bond (9) Dec-2008 (207)
Japan 10-Year Bond 11 Dec-2008 184
Long Gilt 10-Year Bond 11 Mar-2009 19
Long Gilt 10-Year Bond (17) Mar-2009 (32)
NASDAQ 100 E-Mini (9) Dec-2008 32
Russell E-Mini (5) Dec-2008 109
S&P 500 Composite Index 11 Dec-2008 (830)
S&P 500 E-Mini 13 Dec-2008 (152)
S&P/MIB Index 18 Dec-2008 (753)
S&P/TSE 60 Index (29) Dec-2008 948
SPI 200 Index 60 Dec-2008 (270)
Topix Index (59) Dec-2008 943
U.S. 10-Year Note (4) Mar-2009 (15)
U.S. 2-Year Note 31 Mar-2009 44
U.S. Long Treasury Bond 101 Mar-2009 232
-------
$ (996)
=======
A summary of the outstanding forward foreign currency contracts held by the Fund
at November 30, 2008 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)
- -------- --------------- --------------- --------------
12/15/08 DKK 6,400 USD 1,192 $ 102
12/15/08 NOK 116,456 USD 17,666 1,058
12/15/08 SGD 54,466 USD 37,909 1,789
12/15/08 USD 1,157 DKK 6,400 (68)
12/15/08 USD 15,438 NOK 90,611 (2,516)
12/15/08 USD 50,183 SGD 71,904 (2,499)
12/15/08-12/17/08 AUD 16,627 USD 13,271 2,456
12/15/08-12/17/08 CAD 10,910 USD 10,093 1,301
12/15/08-12/17/08 CHF 14,529 USD 12,856 878
12/15/08-12/17/08 EUR 25,315 USD 34,882 2,771
12/15/08-12/17/08 GBP 18,020 USD 31,637 3,988
12/15/08-12/17/08 JPY 1,536,903 USD 15,111 (1,042)
12/15/08-12/17/08 NZD 19,250 USD 12,103 1,577
12/15/08-12/17/08 SEK 60,043 USD 8,533 1,119
12/15/08-12/17/08 USD 12,210 AUD 16,672 (1,365)
12/15/08-12/17/08 USD 11,399 CAD 12,976 (941)
12/15/08-12/17/08 USD 16,311 CHF 18,484 (1,072)
12/15/08-12/17/08 USD 25,755 EUR 19,008 (1,644)
12/15/08-12/17/08 USD 25,580 GBP 14,599 (3,181)
12/15/08-12/17/08 USD 15,531 JPY 1,620,569 1,502
12/15/08-12/17/08 USD 13,297 NZD 20,615 (2,025)
12/15/08-12/17/08 USD 11,663 SEK 82,670 (1,455)
-------
$ 733
=======
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
191
SCHEDULE OF INVESTMENTS (Unaudited)
Real Return Plus Fund (Concluded)
November 30, 2008
Percentages are based on a Net Assets of $273,090 ($ Thousands).
* Rate shown is the 7-day effective yield as of November 30, 2008.
+ 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.
AUD -- Australian Dollar
CAD -- Canadian Dollar
CHF -- Swiss Franc
DKK -- Danish Krone
EUR -- Euro
GBP -- British Pound Sterling
JPY -- Japanese Yen
NOK -- Norwegian Krone
NZD -- New Zealand Dollar
SEK -- Swedish Krone
SGD -- Singapore Dollar
USD -- U.S. Dollar
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
192
This page intentionally left blank.
Statements of Assets and Liabilities ($ Thousands)
November 30, 2008 (Unaudited)
LARGE CAP LARGE CAP
DIVERSIFIED DISCIPLINED
LARGE CAP ALPHA EQUITY
FUND FUND FUND
----------------- ----------------- ------------------
ASSETS:
Investments at value $ 236,405* $ 301,586 $ 4,558,007*
Affiliated investment, at value++ 41,074 47,869 1,842,162
Cash 1 367 14,866
Foreign currency, at value+++ -- 7 --
Cash held as collateral for future contracts and swap
contracts -- -- 4,612
Receivable for fund shares sold 57,028 -- 30,322
Receivable for investment securities sold 1,130 2,383 32,770
Dividends and interest receivable 637 755 14,022
Receivable for variation margin 105 579 12,693
Foreign tax reclaim receivable 1 -- --
Unrealized gain on foreign spot currency contracts -- -- --
Unrealized gain on forward foreign currency contracts -- -- 2,455
Swap contracts, at value++++ -- -- --
Prepaid expenses 4 6 88
------------ ------------ --------------
Total Assets 336,385 353,552 6,511,997
------------ ------------ --------------
LIABILITIES:
Payable upon return on securities loaned 32,767 -- 841,399
Payable for investment securities purchased 1,162 2,454 40,207
Payable for fund shares redeemed 215 14 8,096
Payable for variation margin -- -- 47
Investment advisory fees payable 46 82 743
Overdraft of Foreign currency, at value+++ -- -- --
Margin call -- -- --
Reverse repurchase agreements -- -- --
Swap contracts, at value++++ -- -- --
Unrealized loss on foreign spot currency contracts -- -- --
Unrealized loss on forward foreign currency contracts -- -- 2,710
Trustees fees payable -- -- --
CCO fees payable 1 2 27
Accrued expense payable 13 30 370
Accrued foreign capital gains tax on appreciated
securities -- -- --
------------ ------------ --------------
Total Liabilities 34,204 2,582 893,599
------------ ------------ --------------
Net Assets $ 302,181 $ 350,970 $ 5,618,398
------------ ------------ --------------
+ Cost of investments 311,032 409,109 5,721,299
++ Cost of affiliated investments 41,527 68,920 2,292,002
+++ Cost of foreign currency -- 9 --
++++ Premiums received -- -- --
* Includes market value of securities on loan 31,751 -- 819,640
NET ASSETS:
Paid-in Capital -- (unlimited authorization -- no par value) $ 499,089 $ 610,378 $ 9,290,243
Undistributed (Distributions in excess of) net investment
income 1,015 (347) (10,380)
Accumulated net realized loss on investments, option
contracts, swaptions, futures, securities sold short,
swap contracts and foreign currency (122,658) (115,351) (1,774,687)
Net unrealized depreciation on investments, securities
sold short, option contracts and swaptions (75,080) (128,574) (1,613,132)
Net unrealized appreciation (depreciation) on futures
contracts (185) (15,134) (273,394)
Net unrealized depreciation on swap contracts -- -- --
Net unrealized depreciation on forward foreign currency
contracts, foreign currencies and translation of other
assets and liabilities denominated in foreign currencies -- (2) (252)
Accumulated foreign capital gains tax on appreciated
securities -- -- --
------------ ------------ --------------
Net Assets $ 302,181 $ 350,970 $ 5,618,398
------------ ------------ --------------
Net Asset Value, Offering and Redemption Price Per Share --
Class A $ 11.67 $ 5.97 $ 7.17
($302,180,715 / ($350,969,638 / ($5,618,397,763 /
25,887,620 58,773,290 783,514,891
shares) shares) shares)
------------ ------------ --------------
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, 2008
194
SMALL/MID
LARGE CAP CAP INTERNATIONAL WORLD EQUITY
INDEX SMALL CAP EQUITY EQUITY EX-US
FUND FUND FUND FUND FUND
- ---------------- ------------------ ------------------ ------------------ ------------------
$ 329,238* $ 828,228* $ 1,410,502* $ 755,330* $ 1,775,177*
58,822 267,449 367,123 96,272 234,019
4 83 1,035 24,822 32,716
-- 41 -- 7,899 12,097
-- -- -- -- 6,623
57,028 1,252 37,107 682 74,760
26 8,874 25,072 34,686 60,671
849 1,220 2,658 2,797 5,384
50 584 416 2,023 5,938
-- 1 1 723 717
-- 1 1 6 22
-- -- -- 24,611 14,491
-- -- -- 579 --
-- 18 25 13 29
------------- ------------- --------------- ------------- --------------
446,017 1,107,751 1,843,940 950,443 2,222,644
------------- ------------- --------------- ------------- --------------
56,319 235,577 318,626 61,885 114,445
57,556 8,766 24,098 39,255 76,639
130 468 1,845 1,234 3,449
15 4 7 70 140
8 372 566 237 659
-- -- 66 -- --
-- -- -- 75 --
-- -- -- 4,679 10,209
-- -- -- -- 12,922
-- -- -- 8 21
-- -- -- 27,123 15,767
-- -- -- -- --
1 6 7 4 10
10 67 82 208 580
-- -- -- -- 1
------------- ------------- --------------- ------------- --------------
114,039 245,260 345,297 134,778 234,842
------------- ------------- --------------- ------------- --------------
$ 331,978 $862,491 $ 1,498,643 $815,665 $ 1,987,802
------------- ------------- --------------- ------------- --------------
364,237 1,266,590 2,160,583 1,055,200 2,615,662
59,654 273,955 374,904 97,331 236,000
-- 41 (68) 7,903 12,098
-- -- -- 1,408 2,776
54,604 224,442 303,935 58,412 109,001
$ 379,470 $ 1,612,386 $ 2,626,769 $ 1,406,296 $ 3,584,461
1,391 13,005 12,904 21,060 30,635
(11,367) (318,984) (381,365) (298,557) (746,797)
(35,831) (444,868) (757,862) (300,929) (842,466)
(1,685) 957 (1,798) (8,640) (21,101)
-- -- -- (1,194) (15,675)
-- (5) (5) (2,371) (1,254)
-- -- -- -- (1)
------------- ------------- --------------- ------------- --------------
$ 331,978 $862,491 $ 1,498,643 $815,665 $ 1,987,802
------------- ------------- --------------- ------------- --------------
$ 75.88 $ 7.10 $ 6.93 $ 5.56 $ 7.10
($331,977,807/ ($862,491,160 / ($1,498,643,203 / ($815,656,154 / ($1,987,802,241 /
4,374,892 121,455,565 216,183,656 146,784,362 279,852,945
shares) shares) shares) shares) shares)
------------- ------------- --------------- ------------- --------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
195
Statements of Assets and Liabilities ($ Thousands)
November 30, 2008 (Unaudited)
SCREENED ENHANCED
WORLD EQUITY LIBOR CORE
EX-US OPPORTUNITIES FIXED INCOME
FUND FUND FUND
-------------- --------------- -----------------
ASSETS:
Investments at value+ $ 48,470 $ 93,521 $ 6,108,230*
Affiliated investment, at value++ 28 80,672 785,332
Repurchase agreements -- 3,200 --
Cash 199 609 --
Foreign currency, at value+++ 386 -- --
Cash pledge as collateral for forward foreign currency contracts,
future contracts and swap contracts -- -- 27,173
Receivable for investment securities sold 289 4,081 785,271
Dividends and interest receivable 140 802 42,254
Receivable for fund shares sold -- -- 30,167
Receivable for variation margin -- -- 2,818
Foreign tax reclaim receivable 2 4 180
Unrealized gain on foreign spot currency contracts 31 -- --
Unrealized gain on forward foreign currency contracts -- 6,593 3,284
Swap contracts, at value++++ -- -- --
Prepaid expenses 9 3 68
-------------- --------------- -----------------
Total Assets 49,554 189,485 7,784,777
-------------- --------------- -----------------
LIABILITIES:
Payable upon return on securities loaned -- -- 564,246
Payable for investment securities purchased 210 1,960 1,874,375
Payable for fund shares redeemed -- 8,683 22,020
Due to Custodian -- -- 40,252
Swap contracts, at value++++ -- -- 34,271
Options written, at value+++++ -- -- 3,268
Payable for variation margin -- 49 3,216
Overdraft of Foreign currency, at value+++ -- -- 1,133
Income distribution payable -- -- 665
Unrealized loss on foreign spot currency contracts 31 -- --
Unrealized loss on forward foreign currency contracts -- 7,507 --
Investment advisory fees payable 26 59 614
CCO fees payable 3 1 20
Accrued expense payable -- 30 295
-------------- --------------- -----------------
Total Liabilities 270 18,289 2,544,375
-------------- --------------- -----------------
Net Assets $ 49,284 $ 171,196 $ 5,240,402
-------------- --------------- -----------------
+ Cost of investments and repurchase agreements 74,902 130,184 6,804,026
++ Cost of affiliated investments 28 119,379 796,222
+++ Cost of foreign currency 386 -- (1,421)
++++ Premiums received -- -- (31,792)
+++++ Premiums received -- -- (2,025)
* Includes market value of securities on loan -- -- 537,307
NET ASSETS:
Paid-in Capital -- (unlimited authorization -- no par value) $ 87,900 $ 254,853 $ 5,885,258
Undistributed (Distribution in excess of) net investment income 546 1,232 (5,425)
Accumulated net realized gain (loss) on investments,
option contracts, swaptions, futures, securities sold short,
swap contracts and foreign currency (12,735) (11,617) 65,472
Net unrealized depreciation on investments, securities sold short,
option contracts and swaptions (26,432) (72,170) (707,929)
Net unrealized appreciation (depreciation) on futures contracts -- (98) 551
Net unrealized appreciation (depreciation) on swap contracts -- -- (2,479)
Net unrealized appreciation (depreciation) on forward foreign
currency contracts, foreign currencies and translation
of other assets and liabilities denominated in foreign
currencies 5 (1,004) 4,954
-------------- --------------- -----------------
Net Assets $ 49,284 $ 171,196 $ 5,240,402
-------------- --------------- -----------------
Net Asset Value, Offering and Redemption Price Per Share -- Class A $ 5.54 $ 6.70 $ 9.07
($49,283,808 / ($171,196,483 / ($5,240,401,936 /
8,902,695 25,533,866 577,500,639
shares) shares) shares)
-------------- --------------- -----------------
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, 2008
196
HIGH YIELD LONG EXTENDED EMERGING REAL RETURN
BOND DURATION DURATION MARKETS PLUS
FUND FUND FUND DEBT FUND FUND
- --------------- --------------- ----------------- --------------- ---------------
$ 911,102* $ 85,290 $ 729,856 $ 743,632* $ 257,916
146,616 3,388 41,537 28,823 10,310
-- -- -- -- --
-- -- 1,567 63,347 261
-- -- -- 7,293 158
-- -- 328 2,853 70
16,473 -- 178 4,469 4,984
29,359 593 3,348 19,520 1,935
4,140 -- 21,825 3,862 --
-- -- 335 197 399
147 -- -- -- --
-- -- -- 138 --
-- -- -- 4,281 18,541
-- 21,044 455,245 -- --
3 1 12 10 4
- --------------- --------------- ----------------- --------------- ---------------
1,107,840 110,316 1,254,231 878,425 294,578
- --------------- --------------- ----------------- --------------- ---------------
115,990 -- -- 29,202 --
20,124 -- 10,442 6,204 --
7,310 -- 20,000 4,305 3,027
16,893 1,889 -- -- --
-- -- -- 3,185 --
-- -- -- 1 --
-- -- -- -- 566
-- -- -- -- --
158 -- -- -- --
-- -- -- 25 --
-- -- -- 1,244 17,808
266 13 148 349 75
4 -- 3 3 1
43 21 72 74 11
- --------------- --------------- ----------------- --------------- ---------------
160,788 1,923 30,665 44,592 21,488
- --------------- --------------- ----------------- --------------- ---------------
$ 947,052 $ 108,393 $ 1,223,566 $ 833,833 $ 273,090
- --------------- --------------- ----------------- --------------- ---------------
1,453,953 124,327 880,665 1,008,894 278,798
149,209 3,388 41,537 29,202 10,310
-- -- -- 7,318 141
-- (218) (1,255) -- --
-- -- -- (240) --
107,649 -- -- 26,873 --
$ 1,586,927 $ 136,155 $ 900,523 $ 1,138,320 $ 275,711
(6,105) (2,157) (35,427) 14,870 19,548
(88,326) (7,968) 48,094 (54,012) (1,041)
(545,444) (39,037) (150,809) (265,402) (20,882)
-- 138 4,685 197 (996)
-- 21,262 456,500 (2,960) --
-- -- -- 2,820 750
- --------------- --------------- ----------------- --------------- ---------------
$ 947,052 $ 108,393 $ 1,223,566 $ 833,833 $ 273,090
- --------------- --------------- ----------------- --------------- ---------------
$ 5.94 $ 8.19 $ 13.32 $ 7.60 $ 9.99
($947,052,266 / ($108,393,408 / ($1,223,566,207 / ($833,833,435 / ($273,090,496 /
159,460,477 13,229,405 91,890,871 109,765,975 27,341,556
shares) shares) shares) shares) shares)
- --------------- --------------- ----------------- --------------- ---------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
197
Statements of Operations ($ Thousands)
For the six month period ended November 30, 2008 (Unaudited)
LARGE CAP LARGE CAP
LARGE CAP DIVERSIFIED DISCIPLINED
FUND ALPHA FUND EQUITY FUND
--------- ----------- -----------
INVESTMENT INCOME
Dividends $ 3,213 $ 4,046 $ 68,015
Dividends from Affiliated Registered Investment Company(1) 146 227 4,407
Interest Income 25 79 1,095
Security Lending Income -- Net 78 -- 1,187
Less: Foreign Taxes Withheld (2) (3) --
--------- --------- -----------
Total Investment Income 3,460 4,349 74,704
--------- --------- -----------
EXPENSES:
Investment Advisory Fees 610 938 14,633
Administration Fees 76 117 1,829
Trustee Fees 2 4 56
Chief Compliance Officer Fees 1 1 19
Custodian/Wire Agent Fees 11 18 252
Professional Fees 8 11 178
Printing Fees 3 5 73
Registration Fees 1 13 177
Interest Expense on Reverse Repurchase Agreements -- -- --
Proxy Expenses -- -- --
Dividend Expense on Short Sales -- 364 --
Interest Expense on Short Sales -- 282 --
Overdraft Fees -- -- --
Other Expenses 6 9 79
--------- --------- -----------
Total Expenses 718 1,762 17,296
--------- --------- -----------
Less:
Waiver of Investment Advisory Fees (246) (262) (8,671)
Waiver of Administration Fees (76) (117) (1,829)
Fees Paid Indirectly(1) (10) -- (5)
--------- --------- -----------
Net Expenses 386 1,383 6,791
--------- --------- -----------
NET INVESTMENT INCOME 3,074 2,966 67,913
--------- --------- -----------
NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS:
Investments (16,566) (54,995) (753,156)
Affiliated Investments -- (5,522) (87,274)
Securities Sold Short -- -- --
Futures Contracts (3,722) (16,915) (344,064)
Swap Contracts -- -- --
Foreign Currency Transactions -- -- (1,600)
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON:
Investments (124,513) (134,029) (1,751,843)
Affiliated Investments (453) (15,637) (342,639)
Futures Contracts (1,582) (23,052) (429,544)
Swap Contracts -- -- --
Foreign Capital Gains Tax -- -- --
Foreign Currency and Translation of Other Assets
and Liabilities Denominated in Foreign Currencies -- (2) 99
--------- --------- -----------
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $(143,762) $(247,186) $(3,642,108)
--------- --------- -----------
(1) See Note 3 in the Notes to the Financial Statements.
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
198
LARGE CAP INTERNATIONAL WORLD EQUITY
INDEX SMALL CAP SMALL/MID CAP EQUITY EX-US
FUND FUND EQUITY FUND FUND FUND
- --------- --------- ------------- ------------- ------------
$ 3,795 $ 9,514 $ 14,874 $ 13,785 $ 31,931
64 728 1,125 488 1,868
3 232 154 1,770 4,300
148 2,470 2,773 1,392 1,568
-- -- -- (705) (2,740)
- --------- --------- ----------- --------- -----------
4,010 12,944 18,926 16,730 36,927
- --------- --------- ----------- --------- -----------
281 4,676 6,503 2,814 6,959
83 360 500 279 633
3 11 15 9 20
1 4 5 3 6
11 53 69 165 424
8 37 49 28 62
3 15 21 11 25
2 18 30 6 104
-- -- -- 15 26
-- -- -- -- --
-- -- -- -- --
-- -- -- -- --
-- -- -- 11 3
7 21 26 54 87
- --------- --------- ----------- --------- -----------
399 5,195 7,218 3,395 8,349
- --------- --------- ----------- --------- -----------
(217) (933) (1,695) (925) (2,006)
(83) (360) (500) (279) (633)
-- (151) (159) (29) (53)
- --------- --------- ----------- --------- -----------
99 3,751 4,864 2,162 5,657
- --------- --------- ----------- --------- -----------
3,911 9,193 14,062 14,568 31,270
- --------- --------- ----------- --------- -----------
(7,912) (206,683) (203,195) (176,012) (407,596)
-- -- -- -- --
-- -- -- -- --
(275) (11,381) (30,306) (61,766) (127,982)
-- -- -- (31,780) (77,705)
-- (77) (45) (16,169) (35,967)
(142,604) (500,657) (835,019) (463,771) (1,102,540)
(853) (6,506) (7,782) (1,059) (1,981)
(2,209) (4,273) (6,951) (15,788) (49,555)
-- -- -- (7,221) (26,346)
-- -- -- -- 354
-- 4 3 (1,570) (656)
- --------- --------- ----------- --------- -----------
$(149,942) $(720,380) $(1,069,233) $(760,568) $(1,798,704)
- --------- --------- ----------- --------- -----------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
199
Statements of Operations ($ Thousands)
For the six month period ended November 30, 2008 (Unaudited)
SCREENED ENHANCED
WORLD EQUITY LIBOR CORE FIXED
EX-US OPPORTUNITIES INCOME
FUND(2) FUND FUND
------------ ------------- ----------
INVESTMENT INCOME
Dividends $ 785 $ -- $ 202
Dividends from Affiliated Registered Investment Company(1) 26 197 2,828
Interest Income 20 3,492 161,351
Security Lending Income -- Net -- -- 2,507
Less: Foreign Taxes Withheld (67) -- (27)
-------- -------- ---------
Total Investment Income 764 3,689 166,861
-------- -------- ---------
EXPENSES:
Investment Advisory Fees 177 496 8,652
Administration Fees 14 55 1,442
Trustee Fees -- 2 42
Chief Compliance Officer Fees 3 1 14
Custodian/Wire Agent Fees 4 7 190
Professional Fees 2 5 133
Printing Fees 1 2 55
Registration Fees 2 3 18
Overdraft Fees -- -- --
Other Expenses 34 30 128
-------- -------- ---------
Total Expenses 237 601 10,674
-------- -------- ---------
Less:
Waiver of Investment Advisory Fees (5) (89) (5,168)
Waiver of Administration Fees (14) (55) (1,442)
-------- -------- ---------
Net Expenses 218 457 4,064
-------- -------- ---------
NET INVESTMENT INCOME 546 3,232 162,797
-------- -------- ---------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Investments (12,667) (6,354) (91,214)
Affiliated Investments -- -- --
Securities Sold Short -- -- --
Futures Contracts -- -- 9,453
Written Options -- -- 7,959
Written Swaptions -- -- (9)
Swap Contracts -- 363 47,683
Foreign Currency Transactions (68) (961) 8,812
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON:
Investments (26,432) (22,736) (542,420)
Affiliated Investments -- (32,946) (10,891)
Securities Sold Short -- -- --
Futures Contracts -- (100) 4,512
Written Options -- -- (1,560)
Written Swaptions -- -- 1,076
Swap Contracts -- (85) 37,081
Foreign Capital Gains Tax -- -- --
Foreign Currency and Translation of Other Assets
and Liabilities Denominated in Foreign Currencies 5 (690) 3,965
-------- -------- ---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $(38,616) $(60,277) $(362,756)
-------- -------- ---------
(1) See Note 3 in the Notes to the Financial Statements.
(2) Commenced operations on June 30, 2008.
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, 2008
200
HIGH YIELD LONG EXTENDED EMERGING REAL RETURN
BOND DURATION DURATION MARKETS PLUS
FUND FUND FUND DEBT FUND FUND
- ---------- -------- -------- --------- -----------
$ 6,606 $ 23 $ 172 $ -- $ --
686 12 134 -- 78
62,557 2,628 18,296 39,546 10,619
741 -- -- 96 --
-- -- -- -- --
- --------- -------- -------- --------- --------
70,590 2,663 18,602 39,642 10,697
- --------- -------- -------- --------- --------
3,086 165 1,441 4,222 1,175
317 27 240 248 84
9 1 6 7 2
3 -- 2 3 1
43 4 29 65 12
30 3 20 23 8
13 1 9 10 3
23 1 27 22 9
-- -- -- -- 2
14 20 45 44 10
- --------- -------- -------- --------- --------
3,538 222 1,819 4,644 1,306
- --------- -------- -------- --------- --------
(1,004) (84) (620) (1,664) (616)
(317) (27) (240) (248) (84)
- --------- -------- -------- --------- --------
2,217 111 959 2,732 606
- --------- -------- -------- --------- --------
68,373 2,552 17,643 36,910 10,091
- --------- -------- -------- --------- --------
(57,664) (511) 15,964 (33,575) (3,341)
-- -- -- -- --
-- -- -- -- --
-- 102 5,216 2,032 1,984
-- -- -- 24 --
-- -- -- -- --
-- (1,980) 13,594 (4,722) --
-- -- -- (7,730) 1,409
(453,129) (21,948) (84,383) (265,610) (35,226)
(2,593) -- -- (379) --
-- -- -- -- --
-- 122 5,104 128 (3,030)
-- -- -- 232 --
-- -- -- -- --
-- 20,313 421,597 (1,049) --
-- -- -- -- --
-- -- -- 3,780 140
- --------- -------- -------- --------- --------
$(445,013) $ (1,350) $394,735 $(269,959) $(27,973)
- --------- -------- -------- --------- --------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
201
Statements of Changes in Net Assets ($ Thousands)
For the period ended November 30, 2008 (Unaudited) and the year ended May 31,
2008
LARGE CAP
DIVERSIFIED
LARGE CAP FUND ALPHA FUND
------------------------ -------------------------
6/1/08 6/1/07 6/1/08 6/1/07
to 11/30/08 to 5/31/08 to 11/30/08 to 5/31/08
----------- ---------- ------------ ----------
OPERATIONS:
Net Investment Income $ 3,074 $ 7,508 $ 2,966 $ 5,612
Net Realized Gain (Loss) from Investments,
Affiliated Investments, Securities Sold Short,
Written Options, Written Swaptions, Futures Contracts
and Swap Contracts (20,288) 69,587 (77,432) (26,707)(4)
Net Realized Loss on Foreign Currency
Transactions -- -- -- --
Net Change in Unrealized Depreciation on Investments,
Affiliated Investments, Securities Sold Short,
Written Options, Written Swaptions, Futures Contracts
and Swap Contracts (126,548) (100,408) (172,718) (22,430)
Net Change in Unrealized Appreciation (Depreciation)
on Foreign Currency Transactions -- -- (2) --
--------- --------- --------- ---------
Net Decrease in Net Assets
Resulting from Operations (143,762) (23,313) (247,186) (43,525)
--------- --------- --------- ---------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (3,027) (8,626) (2,452) (7,084)
Net Realized Gains:
Class A -- -- -- (21,162)
--------- --------- --------- ---------
Total Dividends and Distributions (3,027) (8,626) (2,452) (28,246)
--------- --------- --------- ---------
CAPITAL SHARE TRANSACTIONS:(1)
CLASS A:
Proceeds from Shares Issued 126,933 24,208 135,908 262,224
Reinvestment of Dividends & Distributions 3,016 8,602 2,276 25,898
Cost of Shares Redeemed (42,135) (333,709) (89,937) (117,944)(3)
--------- --------- --------- ---------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 87,814 (300,899) 48,247 170,178
--------- --------- --------- ---------
Net Increase (Decrease) in Net Assets (58,975) (332,838) (201,391) 98,407
--------- --------- --------- ---------
NET ASSETS:
BEGINNING OF PERIOD 361,156 693,994 552,361 453,954
--------- --------- --------- ---------
END OF PERIOD $ 302,181 $ 361,156 $ 350,970 $ 552,361
--------- --------- --------- ---------
Undistributed (Distributions in Excess of)
Net Investment Income Included in
Net Assets at Period End $ 1,015 $ 968 $ (347) $ (861)
--------- --------- --------- ---------
(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 $(2,669) ($ Thousands) due to in-kind redemptions
(see Note 8).
(5) Includes realized loss of $(63,427) ($ 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.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
202
LARGE CAP
DISCIPLINED LARGE CAP
EQUITY FUND INDEX FUND SMALL CAP FUND
- --------------------------- ------------------------ -------------------------
6/1/08 6/1/07 6/1/08 6/1/07 6/1/08 6/1/07
to 11/30/08 to 5/31/08 to 11/30/08 to 5/31/08 to 11/30/08 to 5/31/08
- ----------- ----------- ----------- ---------- ------------ ----------
$ 67,913 $ 140,806 $ 3,911 $ 7,641 $ 9,193 $ 14,958
(1,184,494) (412,975)(5) (8,187) 6,603 (218,064) 27,641
(1,600) (2,160) -- -- (77) (186)
(2,524,026) (532,973) (145,666) (38,727) (511,436) (321,896)
99 (1,384) -- -- 4 (9)
- ----------- ----------- --------- -------- ---------- ----------
(3,642,108) (808,686) (149,942) (24,483) (720,380) (279,492)
- ----------- ----------- --------- -------- ---------- ----------
(63,776) (154,202) (3,764) (7,735) (7,741) (15,664)
-- (470,491) -- (10,331) -- (219,331)
- ----------- ----------- --------- -------- ---------- ----------
(63,776) (624,693) (3,764) (18,066) (7,741) (234,995)
- ----------- ----------- --------- -------- ---------- ----------
1,181,255(2) 3,092,387(2) 111,661 48,887 63,585 162,821
63,285 618,766 3,554 16,951 7,396 223,813
(687,600) (1,343,644)(3) (16,404) (53,349) (300,069) (189,304)
- ----------- ----------- --------- -------- ---------- ----------
556,940 2,367,509 98,811 12,489 (229,088) 197,330
- ----------- ----------- --------- -------- ---------- ----------
(3,148,944) 934,130 (54,895) (30,060) (957,209) (317,157)
- ----------- ----------- --------- -------- ---------- ----------
8,767,342 7,833,212 386,873 416,933 1,819,700 2,136,857
- ----------- ----------- --------- -------- ---------- ----------
$ 5,618,398 $ 8,767,342 $ 331,978 $386,873 $ 862,491 $1,819,700
- ----------- ----------- --------- -------- ---------- ----------
$ (10,380) $ (14,517) $ 1,391 $ 1,244 $ 13,005 $ 11,553
- ----------- ----------- --------- -------- ---------- ----------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
203
Statements of Changes in Net Assets ($ Thousands)
For the period ended November 30, 2008 (Unaudited) and the year ended
May 31, 2008
SMALL/MID CAP INTERNATIONAL
EQUITY FUND EQUITY FUND
------------------------ ------------------------
6/1/08 6/1/07 6/1/08 6/1/07
to 11/30/08 to 5/31/08 to 11/30/08 to 5/31/08
----------- ---------- ----------- ----------
OPERATIONS:
Net Investment Income $ 14,062 $ 20,390 $ 14,568 $ 46,649
Net Realized Gain (Loss) from Investments,
Affiliated Investments, Securities Sold Short,
Written Options, Written Swaptions, Futures Contracts
and Swap Contracts (233,501) (84,527) (269,558) 36,393
Net Realized Gain (Loss) on Foreign Currency
Transactions (45) (187) (16,169) 14,358
Net Change in Unrealized Depreciation on Investments,
Affiliated Investments, Securities Sold Short,
Written Options, Written Swaptions, Futures Contracts
and Swap Contracts (849,752) (204,402) (487,839) (187,680)
Net Change in Unrealized Appreciation on Foreign Capital
Gains Tax -- -- -- 31
Net Change in Unrealized Appreciation (Depreciation)
on Foreign Currency Transactions 3 (9) (1,570) (1,243)
----------- ---------- ----------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations (1,069,233) (268,735) (760,568) (91,492)
----------- ---------- ----------- ----------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (12,474) (20,152) -- (56,937)
Net Realized Gains:
Class A -- (138,055) -- (230,342)
----------- ---------- ----------- ----------
Total Dividends and Distributions (12,474) (158,207) -- (287,279)
----------- ---------- ----------- ----------
CAPITAL SHARE TRANSACTIONS:(1)
CLASS A:
Proceeds from Shares Issued 358,892 1,097,100(2) 235,028 173,293
Reinvestment of Dividends & Distributions 12,426 157,300 -- 279,171
Cost of Shares Redeemed (164,024) (320,148) (111,757) (411,365)
----------- ---------- ----------- ----------
Increase (Decrease) in Net Assets Derived from
Class A Transactions 207,294 934,252 123,271 41,099
----------- ---------- ----------- ----------
Net Increase (Decrease) in Net Assets (874,413) 507,310 (637,297) (337,672)
----------- ---------- ----------- ----------
NET ASSETS:
BEGINNING OF PERIOD 2,373,056 1,865,746 1,452,962 1,790,634
----------- ---------- ----------- ----------
END OF PERIOD $ 1,498,643 $2,373,056 $ 815,665 $1,452,962
----------- ---------- ----------- ----------
Undistributed (Distribution in Excess of) Net Investment
Income Included in Net Assets at Period End $ 12,904 $ 11,316 $ 21,060 $ 6,492
----------- ---------- ----------- ----------
(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 June 30, 2008.
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, 2008
204
SCREENED ENHANCED
WORLD EQUITY WORLD EQUITY LIBOR CORE FIXED
EX-US FUND EX-US FUND(3) OPPORTUNITIES FUND INCOME FUND
- ------------------------ ------------- ------------------------ -------------------------
6/1/08 6/1/07 6/30/08 6/1/08 6/1/07 6/1/08 6/1/07
to 11/30/08 to 5/31/08 to 11/30/08 to 11/30/08 to 5/31/08 to 11/30/08 to 5/31/08
- ----------- ---------- ------------- ----------- ---------- ----------- -----------
$ 31,270 $ 69,836 $ 546 $ 3,232 $ 9,046 $ 162,797 $ 335,088
(613,283) (104,063) (12,667) (5,991) (4,750) (26,128) 134,777
(35,967) 27,205 (68) (961) (576) 8,812 (3,150)
(1,180,422) (24,409) (26,432) (55,867) (16,236) (512,202) (150,272)
354 7 -- -- -- -- --
(656) (2,194) 5 (690) (634) 3,965 1,196
- ----------- ---------- -------- -------- -------- ----------- -----------
(1,798,704) (33,618) (38,616) (60,277) (13,150) (362,756) 317,639
- ----------- ---------- -------- -------- -------- ----------- -----------
-- (73,619) -- (3,087) (8,559) (165,733) (336,849)
-- (156,358) -- -- (268) -- --
- ----------- ---------- -------- -------- -------- ----------- -----------
-- (229,977) -- (3,087) (8,827) (165,733) (336,849)
- ----------- ---------- -------- -------- -------- ----------- -----------
813,421 1,644,345 91,946 29,319 179,865 732,822 1,887,634
-- 229,316 -- 3,036 8,806 161,890 329,184
(328,035) (361,960) (4,046) (42,175) (45,744) (1,275,269) (1,942,287)
- ----------- ---------- -------- -------- -------- ----------- -----------
485,386 1,511,701 87,900 (9,820) 142,927 (380,557) 274,531
- ----------- ---------- -------- -------- -------- ----------- -----------
(1,313,318) 1,248,106 49,284 (73,184) 120,950 (909,046) 255,321
- ----------- ---------- -------- -------- -------- ----------- -----------
3,301,120 2,053,014 -- 244,380 123,430 6,149,448 5,894,127
- ----------- ---------- -------- -------- -------- ----------- -----------
$ 1,987,802 $3,301,120 $ 49,284 $171,196 $244,380 $ 5,240,402 $ 6,149,448
- ----------- ---------- -------- -------- -------- ----------- -----------
$ 30,635 $ (635) $ 546 $ 1,232 $ 1,087 $ (5,425) $ (2,489)
- ----------- ---------- -------- -------- -------- ----------- -----------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
205
Statements of Changes in Net Assets ($ Thousands)
For the period ended November 30, 2008 (Unaudited) and the year ended May 31,
2008
HIGH YIELD LONG DURATION
BOND FUND FUND
------------------------ ------------------------
6/1/08 6/1/07 6/1/08 6/1/07
to 11/30/08 to 5/31/08 to 11/30/08 to 5/31/08
----------- ---------- ----------- ----------
OPERATIONS:
Net Investment Income $ 68,373 $ 114,672 $ 2,552 $ 8,849
Net Realized Gain (Loss) from Investments,
Affiliated Investments, Securities Sold Short,
Written Options, Written Swaptions,
Futures Contracts and Swap Contracts (57,664) (29,320) (2,389) 273
Net Realized Gain (Loss) on Foreign Currency
Transactions -- -- -- --
Net Change in Unrealized Appreciation (Depreciation)
on Investments, Affiliated Investments, Securities Sold
Short, Written Options, Written Swaptions, Futures
Contracts and Swap Contracts (455,722) (117,173) (1,513) (10,883)
Net Change in Unrealized Appreciation (Depreciation)
on Foreign Currency Transactions -- -- -- --
---------- ---------- -------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations (445,013) (31,821) (1,350) (1,761)
---------- ---------- -------- --------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (68,258) (114,928) (3,750) (9,372)
Net Realized Gains:
Class A -- (12,235) -- --
---------- ---------- -------- --------
Total Dividends and Distributions (68,258) (127,163) (3,750) (9,372)
---------- ---------- -------- --------
CAPITAL SHARE TRANSACTIONS:(1)
CLASS A:
Proceeds from Shares Issued 156,379 389,605 1,315 16,563
Reinvestment of Dividends & Distributions 67,280 125,115 3,751 9,335
Cost of Shares Redeemed (163,195) (197,801) (7,327) (83,627)
---------- ---------- -------- --------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 60,464 316,919 (2,261) (57,729)
---------- ---------- -------- --------
Net Increase (Decrease) in Net Assets (452,807) 157,935 (7,361) (68,862)
---------- ---------- -------- --------
NET ASSETS:
BEGINNING OF PERIOD 1,399,859 1,241,924 115,754 184,616
---------- ---------- -------- --------
END OF PERIOD $ 947,052 $1,399,859 $108,393 $115,754
---------- ---------- -------- --------
Undistributed (Distribution in Excess of)
Net Investment Income Included in
Net Assets at Period End $ (6,105) $ (6,220) $ (2,157) $ (959)
---------- ---------- -------- --------
(1) See Note 4 in the Notes to Financial Statements for additional information.
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, 2008
206
EXTENDED EMERGING MARKETS REAL RETURN
DURATION FUND DEBT FUND PLUS FUND
- ------------------------ ------------------------ ------------------------
6/1/08 6/1/07 6/1/08 6/1/07 6/1/08 6/1/07
to 11/30/08 to 5/31/08 to 11/30/08 to 5/31/08 to 11/30/08 to 5/31/08
- ----------- ---------- ----------- ---------- ----------- ----------
$ 17,643 $ 33,885 $ 36,910 $ 63,558 $ 10,091 $ 16,546
34,774 16,668 (36,241) (3,876) (1,357) 694
-- -- (7,730) 5,991 1,409 646
342,318 (1,154) (266,678) (31,513) (38,256) 19,222
-- -- 3,780 (1,535) 140 (368)
- ---------- --------- ----------- ---------- -------- ---------
394,735 49,399 (269,959) 32,625 (27,973) 36,740
- ---------- --------- ----------- ---------- -------- ---------
(36,095) (42,570) (35,822) (67,527) -- (9,863)
-- -- -- (10,109) -- (2,775)
- ---------- --------- ----------- ---------- -------- ---------
(36,095) (42,570) (35,822) (77,636) -- (12,638)
- ---------- --------- ----------- ---------- -------- ---------
271,665 546,477 156,745 345,931 23,845 232,500
36,095 42,570 35,373 76,551 -- 12,638
(237,806) (171,571) (114,995) (119,016) (84,911) (128,642)
- ---------- --------- ----------- ---------- -------- ---------
69,954 417,476 77,123 303,466 (61,066) 116,496
- ---------- --------- ----------- ---------- -------- ---------
428,594 424,305 (228,658) 258,455 (89,039) 140,598
- ---------- --------- ----------- ---------- -------- ---------
794,972 370,667 1,062,491 804,036 362,129 221,531
- ---------- --------- ----------- ---------- -------- ---------
$1,223,566 $ 794,972 $ 833,833 $1,062,491 $273,090 $ 362,129
- ---------- --------- ----------- ---------- -------- ---------
$ (35,427) $ (16,975) $ 14,870 $ 13,782 $ 19,548 $ 9,457
- ---------- --------- ----------- ---------- -------- ---------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
207
Financial Highlights
For the period ended November 30, 2008 (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(3) Securities Operations Income Gains Distributions of Period
--------- ---------- ------------ ---------- ---------- ------------- ------------- ----------
LARGE CAP FUND
Class A
2008* $ 18.75 $0.16 $ (7.09) $ (6.93) $(0.15) $ -- $(0.15) $ 11.67
2008 20.31 0.32 (1.52) (1.20) (0.36) -- (0.36) 18.75
2007 16.93 0.28 3.40 3.68 (0.30) -- (0.30) 20.31
2006 15.53 0.24 1.44 1.68 (0.28) -- (0.28) 16.93
2005 14.47 0.25 1.05 1.30 (0.24) -- (0.24) 15.53
2004 12.41 0.18 2.09 2.27 (0.21) -- (0.21) 14.47
LARGE CAP DIVERSIFIED ALPHA FUND
Class A
2008* $ 10.23 $0.05 $ (4.27) $ (4.22) $(0.04) $ -- $(0.04) $ 5.97
2008 11.94 0.13 (1.15) (1.02) (0.17) (0.52) (0.69) 10.23
2007 9.94 0.19 2.04 2.23 (0.16) (0.07) (0.23) 11.94
2006(2) 10.00 0.04 (0.09) (0.05) (0.01) -- (0.01) 9.94
LARGE CAP DISCIPLINED EQUITY FUND
Class A
2008* $ 12.07 $0.09 $ (4.90) $ (4.81) $(0.09) $ -- $(0.09) $ 7.17
2008 14.38 0.22 (1.54) (1.32) (0.25) (0.74) (0.99) 12.07
2007++ 12.36 0.51 2.27 2.78 (0.30) (0.46) (0.76) 14.38
2006++ 12.05 0.26 0.85 1.11 (0.22) (0.58) (0.80) 12.36
2005++ 11.18 0.20 0.94 1.14 (0.18) (0.09) (0.27) 12.05
2004(1)++ 10.00 0.07 1.25 1.32 (0.06) (0.08) (0.14) 11.18
LARGE CAP INDEX FUND
Class A
2008* $121.02 $1.17 $(45.18) $(44.01) $(1.13) $ -- $(1.13) $ 75.88
2008 135.30 2.47 (10.72) (8.25) (2.52) (3.51) (6.03) 121.02
2007 113.02 2.29 23.15 25.44 (2.33) (0.83) (3.16) 135.30
2006 106.24 2.06 7.77 9.83 (1.94) (1.11) (3.05) 113.02
2005 99.12 1.93 7.20 9.13 (1.82) (0.19) (2.01) 106.24
2004+++ 84.90 1.50 14.28 15.78 (1.37) (0.19) (1.56) 99.12
SMALL CAP FUND
Class A
2008* $ 12.42 $0.07 $ (5.33) $ (5.26) $(0.06) $ -- $(0.06) $ 7.10
2008 16.44 0.11 (2.26) (2.15) (0.12) (1.75) (1.87) 12.42
2007 15.52 0.10 2.85 2.95 (0.12) (1.91) (2.03) 16.44
2006 14.27 0.07 2.55 2.62 (0.06) (1.31) (1.37) 15.52
2005 14.70 0.07 1.38 1.45 (0.05) (1.83) (1.88) 14.27
2004 11.60 0.06 3.59 3.65 (0.07) (0.48) (0.55) 14.70
Ratio of
Expenses Ratio of
to Average Expenses
Net Assets to Average
(Excluding Net Assets
Fees Paid (Excluding Ratio of Net
Ratio of Net Indirectly Fees Paid Investment
Net Assets Expenses and Indirectly Income Portfolio
Total End of Period to Average Including and to Average Turnover
Return+ ($ Thousands) Net Assets Waivers) Waivers) Net Assets Rate+
------- ------------- ------------ ---------- ----------- ------------ ----------
LARGE CAP FUND
Class A
2008* (37.15)% $ 302,181 0.26% 0.26% 0.47% 2.01% 54%
2008 (5.95) 361,156 0.26 0.26 0.47 1.66 57
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
LARGE CAP DIVERSIFIED ALPHA FUND
Class A
2008* (41.33)% $ 305,970 0.59%** 0.59%** 0.75% 1.25% 30%
2008 (8.80) 552,361 0.64** 0.64** 0.79 1.17 77
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
2008* (40.09)% $5,618,398 0.19% 0.19% 0.47% 1.85% 49%
2008 (9.57) 8,767,342 0.19 0.19 0.47 1.70 111
2007++ 23.15 7,833,212 0.23(4) 0.23(4) 0.47(4) 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
2008* (36.60)% $ 331,978 0.06% 0.06% 0.24% 2.37% 7%
2008 (6.25) 386,873 0.06 0.06 0.24 1.97 14
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
SMALL CAP FUND
Class A
2008* (42.52)% $ 862,491 0.52% 0.54% 0.72% 1.28% 56%
2008 (13.58) 1,819,700 0.52 0.54 0.72 0.80 99
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
* For the six month period ended November 30, 2008 (Unaudited). All ratios
for the period have been annualized.
** The expense ratio includes dividend and interest expenses on short sales.
Had these expenses been excluded, the ratios would have been 0.31% for the
period ended November 30, 2008 and 0.32%, 0.35% and 0.34% for 2008, 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) Per share net investment income and net realized and unrealized gains
(losses) calculated using average shares.
(4) 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.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
208
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(3) Securities Operations Income Gains Distributions of Period
--------- ---------- ------------ ---------- ---------- ------------- ------------- ----------
SMALL/MID CAP EQUITY FUND
Class A
2008* $12.22 $0.07 $(5.30) $(5.23) $(0.06) $ -- $(0.06) $ 6.93
2008 14.95 0.12 (1.91) (1.79) (0.12) (0.82) (0.94) 12.22
2007++ 13.38 0.19 2.57 2.76 (0.13) (1.06) (1.19) 14.95
2006++ 11.96 0.09 1.97 2.06 (0.08) (0.56) (0.64) 13.38
2005++ 10.70 0.05 1.38 1.43 (0.05) (0.12) (0.17) 11.96
2004(1)++ 10.00 0.02 0.69 0.71 (0.01) -- (0.01) 10.70
INTERNATIONAL EQUITY FUND
Class A
2008* $11.12 $0.11 $(5.67) $(5.56) $ -- $ -- $ -- $ 5.56
2008 14.27 0.37 (1.05) (0.68) (0.44) (2.03) (2.47) 11.12
2007 14.05 0.37 3.12 3.49 (0.50) (2.77) (3.27) 14.27
2006 11.15 0.29 3.09 3.38 (0.37) (0.11) (0.48) 14.05
2005 10.06 0.23 1.16 1.39 (0.30) -- (0.30) 11.15
2004 7.76 0.18 2.28 2.46 (0.16) -- (0.16) 10.06
WORLD EQUITY EX-US FUND
Class A
2008* $14.56 $0.13 $(7.59) $(7.46) $ -- $ -- $ -- $ 7.10
2008 15.96 0.38 (0.51) (0.13) (0.39) (0.88) (1.27) 14.56
2007 12.99 0.35 3.47 3.82 (0.33) (0.52) (0.85) 15.96
2006 9.81 0.27 3.01 3.28 (0.09) (0.01) (0.10) 12.99
2005(4) 10.00 0.07 (0.26) (0.19) -- -- -- 9.81
SCREENED WORLD EQUITY EX-US FUND
Class A
2008(9)* $10.00 $0.06 $(4.52) $(4.46) $ -- $ -- $ -- $ 5.54
ENHANCED LIBOR OPPORTUNITIES FUND
Class A
2008* $ 9.11 $0.12 $(2.41) $(2.29) $(0.12) $ -- $(0.12) $ 6.70
2008 10.14 0.42 (1.00) (0.58) (0.44) (0.01) (0.45) 9.11
2007(7) 10.00 0.27 0.03 0.30 (0.16) -- (0.16) 10.14
CORE FIXED INCOME FUND
Class A
2008* $ 9.95 $0.27 $(0.87) $(0.60) $(0.28) $ -- $(0.28) $ 9.07
2008 9.99 0.54 (0.04) 0.50 (0.54) -- (0.54) 9.95
2007 9.84 0.53 0.14 0.67 (0.52) -- (0.52) 9.99
2006 10.34 0.47 (0.48) (0.01) (0.48) (0.01) (0.49) 9.84
2005 10.19 0.41 0.27 0.68 (0.42) (0.11) (0.53) 10.34
2004 10.61 0.38 (0.26) 0.12 (0.40) (0.14) (0.54) 10.19
HIGH YIELD BOND FUND
Class A
2008* $ 9.17 $0.43 $(3.23) $(2.80) $(0.43) $ -- $(0.43) $ 5.94
2008 10.33 0.82 (1.07) (0.25) (0.82) (0.09) (0.91) 9.17
2007 10.08 0.84 0.30 1.14 (0.84) (0.05) (0.89) 10.33
2006(2) 10.00 0.40 0.08 0.48 (0.40) -- (0.40) 10.08
Ratio of
Expenses Ratio of
to Average Expenses
Net Assets to Average
(Excluding Net Assets
Fees Paid (Excluding Ratio of Net
Ratio of Net Indirectly Fees Paid Investment
Net Assets Expenses and Indirectly Income Portfolio
Total End of Period to Average Including and to Average Turnover
Return+ ($ Thousands) Net Assets Waivers) Waivers) Net Assets Rate+
------- ------------- ------------ ---------- ----------- ------------ ----------
SMALL/MID CAP EQUITY FUND
Class A
2008* (42.94)% $1,498,643 0.49% 0.50% 0.72% 1.41% 60%
2008 (12.14) 2,373,056 0.49 0.50 0.72 0.97 95
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(1)++ 7.15 423,768 0.65 0.65 0.73 0.45 51
INTERNATIONAL EQUITY FUND
Class A
2008* (50.00)% $ 815,665 0.39%(10) 0.39%(10) 0.61%(10) 2.61% 121%
2008 (5.52) 1,452,962 0.40(8) 0.41(8) 0.62(8) 2.99 145
2007 28.00 1,790,634 0.50(5) 0.50(5) 0.71(5) 2.69 153
2006 30.77 1,656,985 0.36 0.36 0.63 2.30 116
2005 13.73 1,677,254 0.43 0.43 0.58 2.12 48
2004 31.73 1,391,076 0.48 0.48 0.65 1.92 80
WORLD EQUITY EX-US FUND
Class A
2008* (51.24)% $1,987,802 0.45%(11) 0.45%(11) 0.66%(11) 2.46% 106%
2008 (1.14) 3,301,120 0.57 0.57 0.67 2.58 153
2007 30.29 2,053,014 0.71(6) 0.71(6) 0.77(6) 2.45 154
2006 33.52 908,582 0.60 0.61 0.76 2.22 104
2005(4) (1.90) 234,396 0.60 0.60 0.70 4.35 15
SCREENED WORLD EQUITY EX-US FUND
Class A
2008(9)* (44.60)% $ 49,284 0.80% 0.80% 0.86% 2.00% 39%
ENHANCED LIBOR OPPORTUNITIES FUND
Class A
2008* (25.43)% $ 171,196 0.41% 0.41% 0.54% 2.92% 16%
2008 (5.88) 244,380 0.42 0.42 0.55 4.45 25
2007(7) 3.02 123,430 0.44 0.44 0.54 5.84 53
CORE FIXED INCOME FUND
Class A
2008* (6.16)% $5,240,402 0.14% 0.14% 0.37% 5.63% 227%
2008 5.10 6,149,448 0.14 0.14 0.37 5.35 432
2007 6.95 5,894,127 0.14 0.14 0.37 5.23 428
2006 (0.09) 4,646,403 0.14 0.14 0.37 4.62 545
2005 6.77 4,265,249 0.15 0.15 0.37 3.94 615
2004 1.13 3,074,873 0.19** 0.19** 0.38 3.62 532
HIGH YIELD BOND FUND
Class A
2008* (31.43)% $ 947,052 0.35% 0.35% 0.56% 10.77% 36%
2008 (2.36) 1,399,859 0.35 0.35 0.55 8.63 59
2007 11.81 1,241,924 0.35 0.35 0.56 8.25 98
2006(2) 4.85 862,371 0.35 0.35 0.57 8.15 58
* For the six month period ended November 30, 2008 (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.
++ Per share amounts have been adjusted for a 10 to 1 stock split paid to
shareholders of record on November 16, 2006.
(1) Commenced operations on December 15, 2003. 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 ratio would have been
0.39%, 0.40%, and 0.61%, respectively.
(9) Commenced operations on June 30, 2008. All ratios for the period have been
annualized.
(10) The expense ratio includes interest expense on reverse repurchase
agreements. Had this expense been excluded, the ratio would have been
0.38%, 0.38%, and 0.60%, respectively.
(11) The expense ratio includes interest expense on reverse repurchase
agreements. Had this expense been excluded, the ratio would have been
0.44%, 0.44%, and 0.66%, 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, 2008
209
Financial Highlights
For the period ended November 30, 2008 (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(3) Securities Operations Income Gains Distributions of Period
--------- ---------- ------------ ---------- ---------- ------------- ------------- ----------
LONG DURATION FUND
Class A
2008* $ 8.57 $0.19 $(0.29) $(0.10) $(0.28) $ -- $(0.28) $ 8.19
2008 9.52 0.51 (0.91) (0.40) (0.55) -- (0.55) 8.57
2007 9.31 0.53 0.18 0.71 (0.50) -- (0.50) 9.52
2006 10.56 0.46 (1.07) (0.61) (0.54) (0.10) (0.64) 9.31
2005 9.77 0.42 1.03 1.45 (0.54) (0.12) (0.66) 10.56
2004(1) 10.00 0.05 (0.23) (0.18) (0.05) -- (0.05) 9.77
EXTENDED DURATION FUND
Class A
2008* $ 9.42 $0.18 $ 4.09 $ 4.27 $(0.37) $ -- $(0.37) $13.32
2008 9.24 0.49 0.29 0.78 (0.60) -- (0.60) 9.42
2007 8.86 0.55 0.32 0.87 (0.49) -- (0.49) 9.24
2006 11.96 0.48 (2.68) (2.20) (0.68) (0.22) (0.90) 8.86
2005 9.53 0.43 2.84 3.27 (0.84) -- (0.84) 11.96
2004(1) 10.00 0.05 (0.44) (0.39) (0.08) -- (0.08) 9.53
EMERGING MARKETS DEBT FUND
Class A
2008* $10.42 $0.35 $(2.83) $(2.48) $(0.34) $ -- $(0.34) $ 7.60
2008 10.95 0.70 (0.37) 0.33 (0.75) (0.11) (0.86) 10.42
2007 9.97 0.65 1.03 1.68 (0.62) (0.08) (0.70) 10.95
2006(2) 10.00 0.27 (0.17) 0.10 (0.13) -- (0.13) 9.97
REAL RETURN PLUS FUND
Class A
2008* $10.99 $0.33 $(1.33) $(1.00) $ -- $ -- $ -- $ 9.99
2008 10.10 0.58 0.75 1.33 (0.34) (0.10) (0.44) 10.99
2007(4) 10.00 0.26 (0.03) 0.23 (0.13) -- (0.13) 10.10
Ratio of
Expenses Ratio of
to Average Expenses
Net Assets to Average
(Excluding Net Assets
Fees Paid (Excluding Ratio of Net
Ratio of Net Indirectly Fees Paid Investment
Net Assets Expenses and Indirectly Income Portfolio
Total End of Period to Average Including and to Average Turnover
Return+ ($ Thousands) Net Assets Waivers) Waivers) Net Assets Rate+
------- ------------- ------------ ---------- ----------- ------------ ----------
LONG DURATION FUND
Class A
2008* (0.99)% $ 108,393 0.20% 0.20% 0.40% 4.63% 17%
2008 (4.52) 115,754 0.20 0.20 0.39 5.47 58
2007 7.67 184,616 0.20 0.20 0.38 5.49 97
2006 (6.08) 165,324 0.20 0.20 0.39 4.69 113
2005 15.26 76,054 0.20 0.20 0.41 4.05 449
2004(1) (1.78) 6,317 0.20 0.20 0.57 5.02 31
EXTENDED DURATION FUND
Class A
2008* 46.64% $1,223,566 0.20% 0.20% 0.38% 3.67% 31%
2008 8.33 794,972 0.20 0.20 0.38 4.99 41
2007 9.73 370,667 0.20 0.20 0.38 5.63 123
2006 (19.24) 222,923 0.20 0.20 0.39 4.64 170
2005 35.74 154,779 0.20 0.20 0.41 3.99 379
2004(1) (3.88) 27,787 0.20 0.20 0.44 5.17 42
EMERGING MARKETS DEBT FUND
Class A
2008* (24.46)% $ 833,833 0.55% 0.55% 0.93% 7.41% 39%
2008 3.24 1,062,491 0.55 0.55 0.93 6.65 66
2007 17.40 804,036 0.55 0.55 0.94 6.16 89
2006(2) 1.00 479,808 0.55 0.55 0.95 5.43 51
REAL RETURN PLUS FUND
Class A
2008* (9.10)% $ 273,090 0.36% 0.36% 0.42% 6.00% 18%
2008 13.30 362,129 0.43 0.43 0.77 5.36 47
2007(4) 2.29 221,531 0.44 0.44 0.78 5.67 18
* For the six month period ended November 30, 2008 (Unaudited). All ratios
for the period have been annualized.
+ 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 December 14, 2006. All ratios for the period have
been annualized.
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
210
Notes to Financial Statements (Unaudited)
NOVEMBER 30, 2008
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 16 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, Screened World
Equity Ex-US, Enhanced LIBOR Opportunities, 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 Trust's prospectus provides a description of each Fund's
investment objectives, policies, and strategies.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies followed by
the Funds.
USE OF ESTIMATES -- The preparation of financial statements, in conformity with
U.S. generally accepted accounting principles, requires management to make
estimates and assumptions that affect the reported amount of assets and
liabilities and disclosure of contingent assets and liabilities at the date of
the financial statements and the reported amounts of increases and decreases in
net assets from operations during the reporting period. Actual results could
differ from those estimates.
SECURITY VALUATION -- Securities listed on a securities exchange, market or
automated quotation system for which quotations are readily available (except
for securities traded on NASDAQ) are valued at the last quoted sale price on the
primary exchange or market (foreign or domestic) on which they are traded, or,
if there is no such reported sale, at the most recent quoted bid price. For
securities traded on NASDAQ, the NASDAQ Official Closing Price will be used.
Debt securities are priced based upon valuations provided by independent,
third-party pricing agents, if available. Such values generally reflect the last
reported sales price if the security is actively traded. The third-party pricing
agents may also value debt securities at an evaluated bid price by employing
methodologies that utilize actual market transactions, broker-supplied
valuations, or other methodologies designed to identify the market value for
such securities. Debt obligations acquired with remaining maturities of sixty
days or less may be valued at their amortized cost, which approximates market
value. The prices for foreign securities are reported in local currency and
converted to U.S. dollars using currency exchange rates. Prices for most
securities held in the Funds are provided daily by recognized independent
pricing agents. If a security price cannot be obtained from an independent,
third-party pricing agent, the Funds seek to obtain a bid price from at least
one independent broker.
Securities for which market prices are not "readily available" are valued in
accordance with Fair Value Procedures established by the Trust's Board of
Trustees. The Trust's Fair Value Procedures are implemented through a Fair Value
Committee (the "Committee") designated by the Trust's 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 a 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 a 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 a Fund
calculates net asset value, the adviser or sub-adviser may request that a Fair
Value Committee Meeting be called. In addition, the Trust's 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 a Fund calculates net asset value. If price movements in a monitored index
or security exceed levels established by the administrator, the
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
211
Notes to Financial Statements (Unaudited) (Continued)
NOVEMBER 30, 2008
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, World Equity Ex-US and Screened 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 within that 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.
Financial Accounting Standards Board Statement of Financial Accounting Standards
No. 157, Fair Value Measurements ("FAS 157"), is effective for the Fund's
financial statements issued after May 31, 2008. In accordance with FAS 157, fair
value is defined as the price that the Fund would receive upon selling an
investment in a timely transaction to an independent buyer in the principal or
most advantageous market of the investment. FAS 157 established a three-tier
hierarchy to maximize the use of the observable market data and minimize the use
of unobservable inputs and to establish classification of the fair value
measurements for disclosure purposes. Inputs refer broadly to the assumptions
that market participants would use in pricing an asset. Inputs may be observable
or unobservable. Observable inputs are inputs that reflect the assumptions
market participants would use in pricing the asset or liability developed based
on market data obtained from sources independent of the reporting entity.
Unobservable inputs are inputs that reflect the reporting entity's own
assumptions about the assumptions market participants would use in pricing the
asset or liability developed based on the best information available in the
circumstances.
The three-tier hierarchy of inputs is summarized in the three broad Levels
listed below:
Level 1 -- quoted prices in active markets for identical investments
Level 2 -- other significant observable inputs (including quoted prices for
similar investments, interest rates, prepayment speeds, credit risks,
etc.)
Level 3 -- significant unobservable inputs (including the Fund's own assumptions
in determining the fair value of investments)
The valuation techniques used by the Fund to measure fair value in accordance
with FAS 157 during the six months ended November 30, 2008 maximized the use of
observable inputs and minimized the use of unobservable inputs.
The following is a summary of the inputs used as of November 30, 2008 in valuing
the Fund's investments in accordance with FAS 157 carried at value
($ Thousands):
Investments in Securities* LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
- --------------------------------- ---------- ---------- ------- ----------
Large Cap Fund $ 273,834 $ 3,645 $ -- $ 277,479
Large Cap Diversified Alpha Fund 340,301 9,154 -- 349,455
Large Cap Disciplined Equity Fund 6,245,798 154,371 -- 6,400,169
Large Cap Index Fund 387,527 533 -- 388,060
Small Cap Fund 1,079,438 15,997 242 1,095,677
Small/Mid Cap Equity Fund 1,765,464 11,871 290 1,777,625
International Equity Fund 805,973 45,629 -- 851,602
World Equity Ex-US Fund 1,890,624 118,572 -- 2,009,196
Screened World Equity Ex-US Fund 48,476 22 -- 48,498
Enhanced LIBOR Opportunities Fund 101,158 73,437 2,798 177,393
Core Fixed Income Fund 1,040,598 5,810,641 42,323 6,893,562
High Yield Bond Fund 147,724 889,347 20,647 1,057,718
Long Duration Fund 3,388 85,290 -- 88,678
Extended Duration Fund 41,537 729,457 399 771,393
Emerging Markets Debt Fund 38,733 722,320 11,402 772,455
Real Return Plus Fund 10,310 257,916 -- 268,226
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
212
Liabilities** LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
- --------------------------------- -------- ------- ------- ---------
International Equity Fund $ (4,679) $-- $-- $ (4,679)
World Equity Ex-US Fund (10,209) -- -- (10,209)
Core Fixed Income Fund (3,268) -- -- (3,268)
Emerging Markets Debt Fund (1) -- -- (1)
Other Financial Instruments*** LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
- --------------------------------- ---------- ---------- ------- ----------
Large Cap Fund $ (185) $ -- $-- $ (185)
Large Cap Diversified Alpha Fund (15,134) -- -- (15,134)
Large Cap Disciplined Equity Fund (273,649) -- -- (273,649)
Large Cap Index Fund (1,685) -- -- (1,685)
Small Cap Fund 957 -- -- 957
Small/Mid Cap Equity Fund (1,798) -- -- (1,798)
International Equity Fund (11,152) (1,194) -- (12,346)
World Equity Ex-US Fund (22,377) (15,675) -- (38,052)
Enhanced LIBOR Opportunities Fund (1,012) -- -- (1,012)
Core Fixed Income Fund 3,835 (2,479) -- 1,356
Long Duration Fund 138 21,262 -- 21,400
Extended Duration Fund 4,685 456,500 -- 461,185
Emerging Markets Debt Fund 3,234 (2,960) -- 274
Real Return Plus Fund (263) -- -- (263)
* Includes collateral for securities on loan.
** Includes liabilities for reverse repurchase agreements and written options
contracts.
*** Other financial instruments are derivative instruments not reflective in
the Portfolio of Investments, such as futures, forwards and swap contracts,
which are valued at the unrealized appreciation/depreciation on the
instrument.
The following is a reconciliation of investments in which significant
unobservable inputs (Level 3) were used in determining value ($ Thousands):
SMALL CAP SMALL/MID CAP ENHANCED LIBOR
Investments in Securities FUND EQUITY FUND OPPORTUNITIES FUND
- --------------------------------- ---------- ------------- ------------------
Beginning balance as of
June 1, 2008 $ 444 $ 526 $ 16,939
Accrued discounts/premiums -- -- (47)
Realized gain/(loss) -- -- (2,681)
Change in unrealized
appreciation/(depreciation) (186) (222) 326
Net purchase/sales -- -- (5,941)
Net transfer in and/or out
Level 3 (16) (14) (5,798)
----- ----- --------
Ending balance as of
November 30, 2008 $ 242 $ 290 $ 2,798
----- ----- --------
CORE FIXED HIGH YIELD EXTENDED DURATION EMERGING MARKETS
Investments in Securities INCOME FUND BOND FUND FUND DEBT FUND
- ------------------------------------------------ ----------- ---------- ----------------- ----------------
Beginning balance as of June 1, 2008 $ 9,766 $ 157,880 $ 455 $ 21,875
Accrued discounts/premiums 52 (21) -- (143)
Realized gain/(loss) 32 (6,177) -- (353)
Change in unrealized appreciation/(depreciation) (8,859) (27,715) (56) (3,057)
Net purchase/sales 1,901 (16,918) -- (6,464)
Net transfer in and/or out Level 3 39,431 (86,402) -- --
-------- --------- ----- --------
Ending balance as of November 30, 2008 $ 42,323 $ 20,647 $ 399 $ 11,402
-------- --------- ----- --------
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.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
213
Notes to Financial Statements (Unaudited) (Continued)
NOVEMBER 30, 2008
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, those funds use of the proceeds under the
reverse repurchase agreement may be restricted pending a determination by the
other party, or its trustee or receiver, whether to enforce the obligation to
repurchase the securities. Reverse repurchase agreements outstanding as of
November 30, 2008 were as follows:
Principal Amount Value
Fund ($ Thousands) Counterparty ($ Thousands)
- ------------- ---------------- ------------------ -------------
International JPMorgan Chase
Equity Fund $3,422 2.38%, Due 12/2/08 $3,271
JPMorgan Chase
1,617 3.00%, Due 12/2/08 1,441
World Equity JPMorgan Chase
Ex-US Fund 7,436 2.38%, Due 12/2/08 7,108
JPMorgan Chase
3,561 3.00%, Due 12/2/08 3,173
COMPENSATING BALANCES -- Each of the Funds that use U.S. Bank NA as their
custodian with cash overdrafts in excess of $100,000 is required to leave 112%
in compensating balances with U.S. Bank NA on the following day. Each of the
Funds with positive cash balances in excess of $100,000 is allowed to overdraw
90% of the balance with U.S. Bank NA on the following day. Funds that use Brown
Brothers Harriman & Co. as their custodian (International Equity, World Equity
Ex-US, Screened World Equity Ex-US, Emerging Markets Debt and Real Return Plus)
do not have a compensating balance program.
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.
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, Screened
Word Equity Ex-US, Enhanced LIBOR Opportunities, 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. These
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
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,
2008. 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 a Fund could lose more than the original margin deposit
required to initiate a futures transaction.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
214
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 that Fund's returns. When a Fund writes or
purchases an option/swaption, an amount equal to the premium received or paid
by a 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 a 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 a Fund has realized a gain or a
loss. The Core Fixed Income and Emerging Markets Debt Funds had option/swaptions
contracts as of November 30, 2008, as disclosed in each Fund's Schedule of
Investments.
The risk in writing a call option/swaption is a Fund may give up the opportunity
for profit if the market price of the security increases. The risk in writing a
put option/swaption is a Fund 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 a Fund may 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.
Written options transactions entered into during the six month period ended
November 30, 2008 are summarized as follows:
CORE FIXED EMERGING MARKETS
INCOME FUND DEBT FUND
------------------------- ----------------------------
Number of Premium Number of Premium
Contracts ($ Thousands) Contracts ($ Thousands)
--------- ------------- ------------ -------------
Balance at the
beginning of period 2,672 $ 1,913 40,770,600* $264
Written 12,555 9,311 -- --
Expired (9,987) (6,959) (6,200,000)* (24)
Closing buys (2,937) (2,240) -- --
------ ------- ---------- ----
Balance at the
end of period 2,303 $ 2,025 34,570,600* $240
------ ------- ---------- ----
* Shown in Brazilian Real.
Written swaptions transactions entered into during the six month period ended
November 30, 2008 are summarized as follows:
CORE FIXED
INCOME FUND
-------------------------------
Notional Amount Premium
(Thousands) ($ Thousands)
--------------- -------------
Balance at the beginning of period 44,000 $ 959
Written -- --
Expired -- --
Closing buys (44,000) (959)
------- -----
Balance at the end of period -- $ --
------- -----
At November 30, 2008 the Funds had cash and/or securities at least equal to the
value of written options/swaptions.
SECURITIES SOLD SHORT -- As consistent with each Funds' investment objectives, a
Fund may engage in short sales. Short sales are transactions under which a Fund
sells a security it does not own. To complete such a transaction, a Fund must
borrow the security to make delivery to the buyer. That 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, a 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, a
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 a 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, that
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
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
215
Notes to Financial Statements (Unaudited) (Continued)
NOVEMBER 30, 2008
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 a Fund's short positions.
SWAP AGREEMENTS -- A swap agreement is a two-party contract under which an
agreement is made to exchange returns from predetermined investments or
instruments, including a particular interest rate, foreign currency, or "basket"
of securities representing a particular index. Credit-default swaps involve the
periodic payment by a 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 swap. However, the investor does not need to make a
payment if there is no decline in price. Payments can be made on various
indices, bonds (i.e. mortgage backed securities, bank debt and corporate), loans
or commodities. The value of a total return swap is equal to the change in value
of the underlying asset versus the accrued income payment based on LIBOR (London
Interbank Offered Rate) or some other form of index on the notional amount.
Interest rate swaps involve the exchange by a Fund with another party of their
respective commitments to pay or receive interest (e.g., an exchange of floating
rate payments for fixed rate payments) with respect to a notional amount of
principal to manage a Fund's exposure to interest rates. Payments received or
made are recorded as realized gains or losses. A 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 a
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 a
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 -- A Fund 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. A Fund 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 those funds 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, that 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. Those funds
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 those funds have sold a security on a
delayed delivery basis, that 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,
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
216
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 a
Fund 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) a Fund may invest in CDOs that are
subordinate to other classes; and (iv) the complex structure of the security may
not be fully understood at the time of investment and may produce disputes with
the issuer or unexpected investment results.
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 LIBOR Opportunities 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, World Equity Ex-US and
Screened 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.
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 a Fund. Valuations of illiquid
securities may differ significantly from the values that would have been used
had an active market value for these securities existed.
RESTRICTED SECURITIES -- At November 30, 2008, 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, these 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 private placement investments. The
acquisition dates of these investments, the enforceable right to acquire these
private placement investments, along with the cost and values at November 30,
2008, were as follows:
Number of Shares/
Face Amount Acquisition Right to Cost Market Value % of Net
($ Thousands) Date Acquire Date ($ Thousands) ($ Thousands) Assets
----------------- ----------- ------------ ------------- ------------- --------
SMALL CAP FUND
Rentech 16,100 4/20/07 4/20/07 $ -- $ 3 0.00%
Scorpio Mining 425 5/5/08 5/5/08 417 242 0.03%
Value Creation 100,165 2/29/08 2/29/08 1,225 677 0.08%
------- ------- ----
$ 1,642 $ 922 0.11%
======= ======= ====
SMALL/MID CAP EQUITY FUND
Rentech 13,800 4/20/07 4/20/07 $ -- $ 2 0.00%
Scorpio Mining 500 5/5/08 5/5/08 499 290 0.02%
Value Creation 71,600 2/29/08 2/29/08 871 485 0.03%
------- ------- ----
$ 1,370 $ 777 0.05%
======= ======= ====
CORE FIXED INCOME FUND
Allegheny Energy Supply 2,040 4/19/06 4/19/06 $ 2,149 $ 1,918 0.04%
Huntington Auto Trust 7,095 6/3/08 6/3/08 7,094 6,459 0.12%
Huntington Auto Trust 5,872 6/3/08 6/3/08 5,870 5,092 0.10%
Southern Natural Gas 2,375 3/29/07 3/29/07 2,318 1,817 0.03%
Cellco Partnership 7,241 11/18/08 11/18/08 7,163 7,306 0.14%
Cellco Partnership 5,145 11/18/08 11/18/08 5,103 5,097 0.10%
------- ------- ----
$29,697 $27,689 0.53%
======= ======= ====
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
217
Notes to Financial Statements (Unaudited) (Continued)
NOVEMBER 30, 2008
INVESTMENTS IN REAL ESTATE INVESTMENT TRUSTS ("REITS") -- Dividend income is
recorded based on the income included in distributions received from the REIT
investments using published REIT reclassifications including some management
estimates when actual amounts are not available. Distributions received in
excess of this estimated amount are recorded as a reduction of the cost of
investments or reclassified to capital gains. The actual amounts of income,
return of capital, and capital gains are only determined by each REIT after its
fiscal year-end, and may differ from the estimated amounts.
3. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
ADMINISTRATION AND TRANSFER AGENCY AGREEMENTS --The Trust and SEI Investments
Global Funds Services (the "Administrator") are parties to an Amended and
Restated Administration and Transfer Agency Agreement dated December 10, 2003
under which the Administrator provides administrative and shareholder servicing
for an annual fee of 0.05% of the average daily net assets of each Fund. For the
six month period ended November 30, 2008, and until further notice, the
Administrator has voluntarily agreed to waive all of its fee.
INVESTMENT ADVISORY AGREEMENT -- SEI Investments Management Corporation ("SIMC")
serves as investment adviser (the "Adviser") to each Fund. In connection with
serving as investment adviser, SIMC is entitled to a fee that is calculated
daily and paid monthly based on the average daily net assets of each Fund. SIMC
has voluntarily agreed to waive a portion of its fee so that the total annual
expenses of each Fund will not exceed certain voluntary expense limitations
adopted by SIMC. These waivers may be terminated at any time. The advisory fee
and voluntary expense limitations for Class A of each Fund for the period
indicated 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 0.450
Screened World Equity Ex-US Fund 0.650 0.800
Enhanced LIBOR Opportunities Fund 0.450 0.440
Core Fixed Income Fund 0.300 0.140
High Yield Bond Fund 0.4875 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 0.360
As of November 30, 2008, 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
INTECH Investment Management, LLC
Goldman Sachs Asset Management, L.P.
Legg Mason Capital Management, Inc.
LSV Asset Management
Montag & Caldwell, Inc.
Quantitative Management Associates, LLC
LARGE CAP DIVERSIFIED ALPHA FUND
Analytic Investors LLC
Aronson + Johnson + Ortiz, L.P.
Delaware Management Company
INTECH Investment Management, LLC
Legg Mason Capital Management, Inc.
Quantitative Management Associates, LLC
LARGE CAP DISCIPLINED EQUITY FUND
AlphaSimplex Group, LLC
Analytic Investors, Inc.
INTECH Investment Management, LLC
Legg Mason Capital Management, Inc.
Quantitative Management Associates, LLC
LARGE CAP INDEX FUND
SSgA Funds Management, Inc.
SMALL CAP FUND
Artisan Partners Limited Partnership
BlackRock Capital Management, Inc.
Integrity Asset Management, LLC
Janus Capital Management Inc.
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.
Oppenheimer Capital LLC
PanAgora Asset Management, Inc.
Robeco Investment Management, Inc.
Security Capital Research and Management Inc.
Wellington Management Company, LLP
SMALL/MID CAP EQUITY FUND
BlackRock Capital Management, Inc.
Integrity Asset Management, LLC
Janus Capital Management Inc.
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
Wells Capital Management, Inc.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
218
Investment Sub-Adviser
INTERNATIONAL EQUITY FUND
AllianceBernstein L.P.
AXA Rosenberg Investment Management LLC
McKinley Capital Management Inc.
Quantitative Management Associates, LLC
Record Currency Management Limited
Smith Breeden Associates, Inc.
UBS Global Asset Management (Americas) Inc.
WORLD EQUITY EX-US FUND
AllianceBernstein L.P.
Artisan Partners Limited Partnership
AXA Rosenberg Investment Management LLC
McKinley Capital Management Inc.
Principal Global Investors, LLC
Quantitative Management Associates, LLC
Record Currency Management Limited
Rexiter Capital Management Limited
Smith Breeden Associates, Inc.
UBS Global Asset Management (Americas) Inc.
SCREENED WORLD EQUITY EX-US FUND
AllianceBernstein L.P.
AXA Rosenberg Investment Management LLC
Principal Global Investors, LLC
McKinley Capital Management Inc.
Quantitative Management Associates, LLC
ENHANCED LIBOR OPPORTUNITIES FUND
Highland Capital Management L.P.
Record Currency Management Limited
Wellington Management Company, LLP
UBS Global Asset Management (Americas) Inc.
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
Delaware Management Company
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 Advisors, B.V.
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, 2008 were as
follows ($ Thousands):
Large Cap Fund $ 14
Large Cap Diversified Alpha Fund 8
Small Cap Fund 191
Small/Mid Cap Equity Fund 197
International Equity Fund 59
World Equity Ex-US Fund 115
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.
A portion of the services provided by the Chief Compliance Officer ("CCO") and
his staff, whom are employees of the Administrator, are paid for by the Trust as
incurred. The services include regulatory oversight of the Trust's Adviser,
sub-advisers and service providers as required by SEC regulations. The CCO's
services have been approved by and are reviewed by the Board.
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, 2008 were as follows ($ Thousands):
Large Cap Fund $ 21
Small Cap Fund 246
Small/Mid Cap Equity Fund 356
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, 2008, 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, 2008
219
Notes to Financial Statements (Unaudited) (Continued)
NOVEMBER 30, 2008
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
------------------------ ------------------------ -----------------------
6/1/08 6/1/08 6/1/08
to 11/30/08 6/1/07 to 11/30/08 6/1/07 to 11/30/08 6/1/07
(Unaudited) to 5/31/08 (Unaudited) to 5/31/08 (Unaudited) to 5/31/08
----------- ---------- ----------- ---------- ----------- ---------
Class A:
Shares Issued 9,590 1,264 14,713 24,295 120,628(1) 238,005(1)
Shares Issued in Lieu of
Dividends and Distributions 195 439 276 2,371 6,336 47,757
Shares Redeemed (3,155) (16,621) (10,209) (10,704)(2) (69,564) (104,554)(2)
------ ---------- ------ ------ ------- -------
Increase (Decrease) in Net Assets
Derived from Class A Transactions 6,630 (14,918) 4,780 15,962 57,400 181,208
------ ---------- ------ ------ ------- -------
LARGE CAP SMALL/MID CAP
INDEX FUND SMALL CAP FUND EQUITY FUND
------------------------ ------------------------ -----------------------
6/1/08 6/1/08 6/1/08
to 11/30/08 6/1/07 to 11/30/08 6/1/07 to 11/30/08 6/1/07
(Unaudited) to 5/31/08 (Unaudited) to 5/31/08 (Unaudited) to 5/31/08
----------- ---------- ----------- ---------- ----------- ---------
Class A:
Shares Issued 1,314 402 6,801 12,562 37,0418 82,115(1)
Shares Issued in Lieu of
Dividends and Distributions 35 133 731 17,151 1,256 12,383
Shares Redeemed (171) (420) (32,560) (13,187) (16,272) (25,125)
Effect of Stock Split -- -- -- -- -- --
----- --- ------ ------ ------ ------
Increase (Decrease) in Net Assets
Derived from Class A Transactions 1,178 115 (25,028) 16,526 22,025 69,373
----- --- ------ ------ ------ ------
INTERNATIONAL WORLD EQUITY SCREENED WORLD EQUITY
EQUITY FUND EX-US FUND EX-US FUND(3)
------------------------ ------------------------ ---------------------
6/1/08 6/1/08 6/30/08
to 11/30/08 6/1/07 to 11/30/08 6/1/07 to 11/30/08
(Unaudited) to 5/31/08 (Unaudited) to 5/31/08 (Unaudited)
----------- ---------- ----------- ---------- -----------
Class A:
Shares Issued 30,136 14,402 81,894 106,952 9,492
Shares Issued in Lieu of
Dividends and Distributions -- 23,314 -- 14,951 --
Shares Redeemed (14,042) (32,472) (28,762) (23,847) (589)
------ ------ ------ ------- -----
Increase in Net Assets
Derived from Class A Transactions 16,094 5,244 53,132 98,056 8,903
------ ------ ------ ------- -----
ENHANCED LIBOR CORE FIXED HIGH YIELD
OPPORTUNITIES FUND INCOME FUND BOND FUND
------------------------ ------------------------ -----------------------
6/1/08 6/1/08 6/1/08
to 11/30/08 6/1/07 to 11/30/08 6/1/07 to 11/30/08 6/1/07
(Unaudited) to 5/31/08 (Unaudited) to 5/31/08 (Unaudited) to 5/31/08
----------- ---------- ----------- ---------- ----------- ----------
Class A:
Shares Issued 3,493 18,586 76,497 187,314 18,726 40,343
Shares Issued in Lieu of
Dividends and Distributions 352 922 17,076 32,620 8,876 13,246
Shares Redeemed (5,145) (4,850) (133,989) (191,923) (20,842) (21,064)
----- ------ ------- ------- ------ ------
Increase in Net Assets
Derived from Class A Transactions (1,300) 14,658 (40,416) 28,011 6,760 32,525
----- ------ ------- ------- ------ ------
(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) Fund commenced operations on June 30, 2008.
Amounts designated as "--" are zero or have been rounded to zero.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
220
LONG EXTENDED
DURATION DURATION
FUND FUND
------------------------ ------------------------
6/1/08 6/1/08
to 11/30/08 6/1/07 o 11/30/08 6/1/07
(Unaudited) to 5/31/08 (Unaudited) to 5/31/08
----------- ---------- ----------- ----------
Class A:
Shares Issued 157 1,748 27,614 56,419
Shares Issued in Lieu of
Dividends and Distributions 462 994 3,618 4,278
Shares Redeemed (904) (8,614) (23,712) (16,445)
--- ----- ------ ------
Increase (Decrease) in Net Assets
Derived from Class A Transactions (285) (5,872) 7,520 44,252
--- ----- ------ ------
EMERGING REAL
MARKETS RETURN
DEBT FUND PLUS FUND
------------------------ ------------------------
6/1/08 6/1/08
to 11/30/08 6/1/07 to 11/30/08 6/1/07
(Unaudited) to 5/31/08 (Unaudited) to 5/31/08
----------- ---------- ----------- ----------
Class A:
Shares Issued 16,365 32,634 2,138 21,809
Shares Issued in Lieu of
Dividends and Distributions 3,720 7,298 -- 1,192
Shares Redeemed (12,320) (11,353) (7,747) (11,993)
------ ------ ----- ------
Increase in Net Assets
Derived from Class A Transactions 7,765 28,579 (5,609) 11,008
------ ------ ----- ------
Amounts designated as "--" are zero or have been rounded to zero.
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, 2008, were as follows:
U.S. Gov't Other Total
($ Thousands) ($ Thousands) ($ Thousands)
------------- ------------- -------------
LARGE CAP FUND
Purchases -- 187,731 187,731
Sales -- 156,823 156,823
LARGE CAP DIVERSIFIED ALPHA FUND
Purchases -- 200,496 200,496
Sales -- 147,680 147,680
LARGE CAP DISCIPLINED EQUITY FUND
Purchases -- 3,385,199 3,385,199
Sales -- 3,472,370 3,472,370
LARGE CAP INDEX FUND
Purchases -- 123,034 123,034
Sales -- 23,846 23,846
SMALL CAP FUND
Purchases -- 764,204 764,204
Sales -- 961,980 961,980
SMALL/MID CAP EQUITY FUND
Purchases -- 1,310,403 1,310,403
Sales -- 1,148,035 1,148,035
INTERNATIONAL EQUITY FUND
Purchases 508,615 805,294 1,313,909
Sales 600,754 770,460 1,371,214
U.S. Gov't Other Total
($ Thousands) ($ Thousands) ($ Thousands)
------------- ------------- -------------
WORLD EQUITY EX-US FUND
Purchases 1,089,857 1,656,502 2,746,359
Sales 1,272,199 1,300,598 2,572,797
SCREENED WORLD EQUITY EX-US FUND
Purchases -- 109,834 109,834
Sales -- 23,957 23,957
ENHANCED LIBOR OPPORTUNITIES FUND
Purchases -- 19,544 19,544
Sales 5,258 12,678 17,936
CORE FIXED INCOME FUND
Purchases 12,088,204 869,544 12,957,748
Sales 12,438,983 788,635 13,227,618
HIGH YIELD BOND FUND
Purchases -- 383,175 383,175
Sales -- 359,929 359,929
LONG DURATION FUND
Purchases 10,958 3,085 14,043
Sales 3,923 7,831 11,754
EXTENDED DURATION FUND
Purchases 134,899 17,574 152,473
Sales 81,290 51,515 132,805
EMERGING MARKETS DEBT FUND
Purchases -- 407,681 407,681
Sales -- 325,829 325,829
REAL RETURN PLUS FUND
Purchases 48,203 7,083 55,286
Sales 120,233 7,456 127,689
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
221
Notes to Financial Statements (Unaudited) (Continued)
NOVEMBER 30, 2008
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, 2008 were as follows:
Ordinary Long-term Return of
Income Capital Gain Capital Total
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
------------- ------------- ------------- ------------
Large Cap Fund 2008 $ 8,626 $ -- $-- $ 8,626
2007 12,254 -- -- 12,254
Large Cap Diversified
Alpha Fund 2008 18,510 9,736 -- 28,246
2007 5,094 1,505 -- 6,599
Large Cap Disciplined
Equity Fund 2008 386,110 238,583 -- 624,693
2007 237,780 132,166 -- 369,946
Large Cap Index
Fund 2008 8,808 9,258 -- 18,066
2007 7,885 1,949 -- 9,834
Ordinary Long-term Return of
Income Capital Gain Capital Total
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
------------- ------------- ------------- ------------
Small Cap Fund 2008 $ 69,762 $157,685 $7,548 $234,995
2007 86,056 164,468 -- 250,524
Small/Mid Cap
Equity Fund 2008 74,475 76,784 6,948 158,207
2007 60,501 67,293 -- 127,794
International Equity
Fund 2008 153,474 133,805 -- 287,279
2007 146,614 238,163 -- 384,777
World Equity Ex-US
Fund 2008 157,238 71,654 1,085 229,977
2007 80,977 10,314 -- 91,291
Enhanced LIBOR
Opportunities
Fund 2008 8,666 161 -- 8,827
2007 1,709 -- -- 1,709
Core Fixed Income
Fund 2008 336,849 -- -- 336,849
2007 279,194 -- -- 279,194
High Yield Bond
Fund 2008 125,710 1,453 -- 127,163
2007 89,624 -- -- 89,624
Long Duration Fund 2008 9,372 -- -- 9,372
2007 9,267 -- -- 9,267
Extended Duration
Fund 2008 42,570 -- -- 42,570
2007 14,980 -- -- 14,980
Emerging Markets
Debt Fund 2008 74,765 2,871 -- 77,636
2007 41,623 -- -- 41,623
Real Return Plus
Fund 2008 11,228 1,410 -- 12,638
2007 2,421 -- -- 2,421
As of May 31, 2008, the components of Distributable Earnings/(Accumulated
Losses) were as follows:
Post
Undistributed Undistributed Capital Post October
Ordinary Long-Term Loss October Currency
Income Capital Gain Carryforwards Losses Losses
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
------------- ------------- ------------- ------------- -------------
Large Cap Fund $ 169 $ -- $(89,413) $ -- $ --
Large Cap Diversified Alpha Fund 772 -- -- (20,939) --
Large Cap Disciplined Equity Fund 6,307 -- -- (353,839) (3,256)
Large Cap Index Fund 92 619 -- -- --
Small Cap Fund -- 22 -- (40,501) (73)
Small/Mid Cap Equity Fund -- -- -- (88,369) (44)
International Equity Fund 10,783 1,284 -- -- --
World Equity Ex-US Fund -- -- -- (64,436) --
Enhanced LIBOR Opportunities Fund 3,100 -- (1,487) (5,371) (1,057)
Core Fixed Income Fund 63,123 27,496 -- -- (1,583)
High Yield Bond Fund 11,996 -- (1,148) (21,949) --
Long Duration Fund 692 -- (3,045) (2,511) --
Extended Duration Fund 22,418 -- -- (3,676) --
Emerging Markets Debt Fund 18,929 -- -- (6,706) --
Real Return Plus Fund 9,913 -- -- (1,013) --
Total
Unrealized Other Distributable
Appreciation Temporary Earnings/
(Depreciation) Differences (Accumulated Losses)
($ Thousands) ($ Thousands) ($ Thousands)
------------- ------------- --------------------
Large Cap Fund $ 38,326 $ 799 $ (50,119)
Large Cap Diversified Alpha Fund 8,661 1,736 (9,770)
Large Cap Disciplined Equity Fund 329,532 55,295 34,039
Large Cap Index Fund 104,361 1,142 106,214
Small Cap Fund 10,779 7,999 (21,774)
Small/Mid Cap Equity Fund 33,298 8,696 (46,419)
International Equity Fund 156,131 1,739 169,937
World Equity Ex-US Fund 268,027 (1,546) 202,045
Enhanced LIBOR Opportunities Fund (16,715) 1,237 (20,293)
Core Fixed Income Fund (203,991) (1,412) (116,367)
High Yield Bond Fund (97,285) (18,218) (126,604)
Long Duration Fund (16,147) (1,651) (22,662)
Extended Duration Fund (31,536) (22,803) (35,597)
Emerging Markets Debt Fund (5,713) (5,216) 1,294
Real Return Plus Fund 16,452 -- 25,352
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
222
Post-October losses represent losses realized on investment transactions from
November 1, 2007 through May 31, 2008 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 2015 2016 05/31/08
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
------------- ------------ ------------- -------------
Large Cap Fund $89,413 $ -- $ -- $89,413
Enhanced LIBOR
Opportunities Fund -- -- 1,487 1,487
High Yield Bond Fund -- -- 1,148 1,148
Long Duration Fund -- 2,250 795 3,045
During the year ended May 31, 2008, the Large Cap Fund, Core Fixed Income Fund,
and the Extended Duration Fund utilized $65,873,216, $41,414,796 and $4,642,101,
respectively, of capital loss carryforwards, to offset capital gains.
For Federal income tax purposes, the cost of securities owned at November 30,
2008, and the net realized gains or losses on securities sold for the period
were not materially different from amounts reported for financial reporting
purposes. These differences are primarily due to wash sales which cannot be used
for Federal income tax purposes in the current year and have been deferred for
use in future years. The aggregate gross unrealized appreciation and
depreciation on total investments held by the Funds at November 30, 2008, was as
follows:
Net
Unrealized
Federal Appreciated Depreciated Appreciation
Tax Cost Securities Securities (Depreciation)
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
------------- ------------ ------------ -------------
Large Cap Fund $ 352,252 $ 10,796 $ (86,183) $ (75,387)
Large Cap Diversified
Alpha Fund 478,029 4,421 (132,995) (128,574)
Large Cap Disciplined
Equity Fund 8,013,301 179,334 (1,792,466) (1,613,132)
Large Cap Index Fund 423,891 42,061 (77,892) (35,831)
Small Cap Fund 1,540,545 26,395 (471,263) (444,868)
Small/Mid Cap Equity Fund 2,535,487 26,104 (783,966) (757,862)
International Equity Fund 1,152,531 15,250 (316,179) (300,929)
World Equity Ex-US Fund 2,851,662 13,017 (855,483) (842,466)
Screened World Equity
Ex-US Fund 74,930 339 (26,771) (26,432)
Enhanced LIBOR
Opportunities Fund 249,563 220 (72,390) (72,170)
Core Fixed Income Fund 7,598,223 102,768 (810,697) (707,929)
High Yield Bond Fund 1,603,162 637 (546,081) (545,444)
Long Duration Fund 127,715 746 (39,783) (39,037)
Extended Duration Fund 922,202 8,721 (159,530) (150,809)
Emerging Markets
Debt Fund 1,037,856 717 (266,358) (265,641)
Real Return Plus Fund 289,108 20 (20,902) (20,882)
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 was effective as of the beginning of a
company's first fiscal year beginning after December 15, 2006. At adoption,
companies had to 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 Funds' 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 ongoing analyses of
and changes to tax laws, regulations and interpretations thereof.
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, Screened 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.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
223
Notes to Financial Statements (Unaudited) (Concluded)
NOVEMBER 30, 2008
8. IN-KIND TRANSFERS OF SECURITIES
During the six-month period ended November 30, 2008, the Large Cap Disciplined
Equity Fund issued shares of beneficial interest in exchange for securities.
These securities were transferred at their current value on the date of such
transactions.
Shares Value
Issued ($ Thousands)
------ -------------
Large Cap Disciplined Equity Fund
09/30/2008 7,802 $ 76,845
During the year ended May 31, 2008, 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) $ (2,669)
Large Cap Disciplined
Equity Fund
06/29/07 478,248 6,739 --
08/31/07 (90,947,378) (909,474) (63,427)
10/31/07 1,513,388 21,505 --
01/16/08 1,060,716 12,580 --
Small/Mid Cap
Equity Fund
10/26/07 1,208,695 17,357 --
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 a Fund (including the loan collateral). No Fund will
lend portfolio securities to its 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. 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 between 102% and 105% of the market value of
borrowed securities for domestic and foreign securities, respectively. However,
due to market fluctuations during the day, the value of securities loaned on a
particular day may, during the course of the day, exceed the value of
collateral. On each business day, the amount of collateral is adjusted based on
the prior day's market fluctuations and the current day's lending activity.
Income from lending activity is determined by the amount of interest earned on
collateral, less any amounts payable to the borrowers of the securities and the
lending agent. Lending securities involves certain risks, including the risk
that a Fund may be delayed or prevented from recovering the collateral if the
borrower fails to return the securities.
Cash collateral received in connection with securities lending is invested in
short-term investments by the lending agent. These investments may include the
SEI Liquidity Fund L.P., repurchase agreements, which are collateralized by
United States Treasury and Government Agency securities, and high-quality,
short-term instruments, such as floating rate corporate obligations, commercial
paper, and private placements with an average weighted maturity not to exceed 60
days and a maturity not to exceed 397 days. There is no guarantee that these
investments will not lose value.
10. RECENT ACCOUNTING PRONOUNCEMENTS
In March 2008, the FASB issued SFAS No. 161, DISCLOSURES ABOUT DERIVATIVE
INSTRUMENTS AND HEDGING ACTIVITIES. SFAS No. 161 is effective for fiscal years
and interim periods beginning after November 15, 2008. SFAS No.161 requires
enhanced disclosures about the Funds' derivative and hedging activities,
including how such activities are accounted for and their effect on the Funds'
financial position, performance, and cash flows. Management is currently
evaluating the impact the adoption of SFAS No. 161 will have on the Funds'
financial statements and related disclosures.
On September 12, 2008, the FASB issued FASB Staff Position ("FSP") No. FAS 133-1
and FASB Interpretation Number ("FIN") 45-4 ("FSP 133-1"), DISCLOSURES ABOUT
CREDIT DERIVATIVES AND CERTAIN GUARANTEES: AN AMENDMENT OF FASB STATEMENT NO.
133 AND FASB INTERPRETATION NO. 45; AND CLARIFICATION OF THE EFFECTIVE DATE OF
FASB STATEMENT NO. 161. The FSP is intended to improve disclosures about credit
derivatives by requiring more information about the potential adverse effects of
changes in credit risk on the financial position, financial performance, and
cash flows of the sellers of credit derivatives. It amends FASB Statement No.
133, ACCOUNTING FOR DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES, to require
disclosures by sellers of credit derivatives, including credit derivatives
embedded in hybrid instruments. The FSP also amends FIN 45, GUARANTOR'S
ACCOUNTING AND DISCLOSURE REQUIREMENTS FOR GUARANTEES, INCLUDING INDIRECT
GUARANTEES OF INDEBTEDNESS TO OTHERS, to require an additional disclosure about
the current status of the payment/performance risk of a guarantee. FSP 133-1 and
FIN 45-4 is effective for reporting periods (annual or interim) ending after
November 15, 2008. Management of the Fund is currently assessing the impact of
adopting FSP No. FAS 133-1 and FIN 45-4.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
224
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, 2008 and do not reflect any market events after November 30,
2008.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
225
Disclosure of Fund Expenses (Unaudited)
NOVEMBER 30, 2008
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:
- - 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."
- - 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, 2008
226
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
6/1/08 11/30/08 RATIOS PERIOD*
--------- --------- ---------- -------
LARGE CAP FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 628.50 0.26% $1.06
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.76 0.26% $1.32
LARGE CAP DIVERSIFIED ALPHA FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 586.70 0.59% $2.35
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,022.11 0.59% $2.99
LARGE CAP DISCIPLINED EQUITY FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 599.10 0.19% $0.76
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,024.12 0.19% $0.96
LARGE CAP INDEX FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 634.00 0.06% $0.25
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,024.77 0.06% $0.30
SMALL CAP FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 574.80 0.52% $2.05
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,022.46 0.52% $2.64
SMALL/MID CAP EQUITY FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 570.60 0.49% $1.93
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,022.61 0.49% $2.48
INTERNATIONAL EQUITY FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 500.00 0.39% $1.47
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.11 0.39% $1.98
WORLD EQUITY EX-US FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 487.60 0.45% $1.68
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,022.81 0.45% $2.28
ENHANCED LIBOR OPPORTUNITIES FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 745.70 0.41% $1.79
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.01 0.41% $2.08
CORE FIXED INCOME FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 938.40 0.14% $0.68
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,024.37 0.14% $0.71
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
6/1/08 11/30/08 RATIOS PERIOD*
--------- --------- ---------- -------
HIGH YIELD BOND FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 685.70 0.35% $1.48
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.31 0.35% $1.78
LONG DURATION FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 990.10 0.20% $1.00
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,024.07 0.20% $1.01
EXTENDED DURATION FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,466.40 0.20% $1.24
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,024.07 0.20% $1.01
EMERGING MARKETS DEBT FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 755.40 0.55% $2.42
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,022.31 0.55% $2.79
REAL RETURN PLUS FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 909.00 0.36% $1.72
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.26 0.36% $1.83
* Expenses are equal to the Fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by 183/365 (to reflect
one-half year period shown).
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
6/30/08 11/30/08 RATIOS PERIOD**
--------- --------- ---------- --------
SCREENED WORLD EQUITY EX-US FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 554.00 0.80% $2.61
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,021.06 0.80% $4.05
** Expenses are equal to the Fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by 153/365 (to reflect
the period since commencement of operations).
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
227
Board of Trustees Considerations in Approving the Advisory and Sub-Advisory
Agreements (Unaudited)
NOVEMBER 30, 2008
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 June 25-26, 2008 and September 17-18, 2008 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:
- 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;
- the Funds' investment performance and how it compared to that of other
comparable mutual funds;
- 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, 2008
228
- 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
- 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.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008
229
Notes
Notes
Notes
SEI INSTITUTIONAL INVESTMENTS TRUST SEMI-ANNUAL REPORT NOVEMBER 30, 2008
Robert A. Nesher, CHAIRMAN
TRUSTEES
William M. Doran
James M. Storey
George J. Sullivan, Jr.
Rosemarie B. Greco
Nina Lesavoy
James M. Williams
Mitchell A. Johnson
Hubert L. Harris, Jr.
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
James Ndiaye
VICE PRESIDENT, ASSISTANT SECRETARY
Michael T. Pang
VICE PRESIDENT, ASSISTANT SECRETARY
Aaron Buser
VICE PRESIDENT, ASSISTANT SECRETARY
John J. McCue
VICE PRESIDENT
Andrew S. Decker
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 LOGO) New ways.
New answers.(R)
SEI Investments Distribution Co.
Oaks, PA 19456 1.800.DIAL.SEI (1.800.342.5734)
SEI-F-120 (11/08)
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.
ITEM 6. SCHEDULE OF INVESTMENTS.
Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT COMPANY AND
AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
The Registrant 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 Registrant's Board of
Trustees (the "Board"). Pursuant to the Committee's Charter, adopted on June
18th 2004, as amended, 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 Registrant'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.
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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:
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:
By (Signature and Title) /S/ STEPHEN F. PANNER
-----------------------------------
Stephen F. Panner, Controller & CFO
Date: