N-CSR 1 siitarcomb5_08.txt SEI INSTITUTIONAL INVESTMENTS TRUST AR 5_08 UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 -------- FORM N-CSR -------- 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) -------- SEI Investments One Freedom Valley Drive Oaks, PA 19456 (Address of principal executive offices) (Zip code) SEI Investments One Freedom Valley Drive Oaks, PA 19456 CT Corporation 101 Federal Street 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, 2008 DATE OF REPORTING PERIOD: MAY 31, 2008 ITEM 1. REPORTS TO STOCKHOLDERS. (SEI LOGO) SEI Institutional Investments Trust Annual Report as of May 31, 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 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 Management's Discussion and Analysis of Fund Performance 1 Schedules of Investments 26 Statements of Assets and Liabilities 212 Statements of Operations 216 Statements of Changes in Net Assets 220 Financial Highlights 226 Notes to Financial Statements 228 Report of Independent Registered Public Accounting Firm 242 Trustees and Officers of the Trust 243 Disclosure of Fund Expenses 247 Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements 249 Notice to Shareholders 251
The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q within sixty days after the end of the period. The Trust's Forms N-Q are available on the Commission's website at http://www.sec.gov, and may be reviewed and copied at the Commission's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities, as well as information relating to how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, is available (i) without charge, upon request, by calling 1-800-DIAL-SEI; and (ii) on the Commission's website at http://www.sec.gov. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2008 Large Cap Fund Objective The Large Cap Fund (the "Fund") seeks to provide long-term growth of capital and income. Strategy The Fund employs a multi-manager structure under the general supervision of SEI Investments Management Corporation (SIMC) to gain exposure to the entire large cap sector, adding value through stock selection while controlling risk in the form of capitalization and economic sector exposures. The Fund is jointly sub-advised by eight investment managers. Assets of the Fund are allocated among its sub-advisers, each of which has responsibility for stock selection for its respective assets under management. Quantitative Management Associates, LLC seeks to overweight stocks with attractive fundamental and/or technical characteristics and underweight unattractive fundamental and/or technical characteristics. Enhanced Investment Technologies, LLC (Intech) employs a volatility capture strategy. The three growth managers, Delaware Management Company, Montag & Caldwell, Inc. and Goldman Sachs Asset Management seek to identify stocks with underappreciated growth characteristics and high quality earnings growth. The three value managers, AllianceBernstein L.P., Aronson + Johnson + Ortiz L.P., and LSV Asset Management focus on quality companies with good management and cheap valuations. Analysis The U.S. equity market, as measured by the Russell 1000 Index, lost more than 6% during the fiscal year ended May 31, 2008. After 5-years of steady growth, U.S. large cap stocks were negatively impacted by the sub-prime mortgage meltdown. Investors' uncertainty regarding the future caused volatility to spike to historic levels. U.S. financial institutions were forced to write-down billions of dollars of assets, while hedge funds de-leveraged their portfolios. Fears related to the sub-prime mortgage crisis were exacerbated as the U.S. real estate markets spiraled downward with year over year declines in U.S. housing prices reaching 14.4% by April 2008. In addition, energy prices continued to surge to all-time highs. As a result, U.S. consumers faced difficult challenges: declining housing values, higher energy and food costs, increasing debt, and little to no wage growth. All this fueled investors growing concern that the U.S. economy is heading into a recession. As a result, the Federal Reserve cut interest rates five times since the fall of 2007. For the fiscal year, growth stocks outperformed their value counterparts by more than 12%, much of which was realized in the first seven months of the fiscal year. The fastest growing and most expensive stock quintiles led the Russell 1000 Index as price momentum was a strong factor in the second half of 2007. Not only were the cheapest stocks not rewarded during this period, they were some of the worst performing names. Large caps stocks continued to outperform smaller caps stocks as measured by the Russell 1000 Index and Russell 2000 Index. Larger securities benefited from a flight to quality. Sector performance among the large cap sectors was mixed. Five of the ten economic sectors posted negative returns; the financial sector was the worst, down close to 30%. On the other hand, energy and materials stocks led the way with both sectors returning more than 15% as global demand continued to grow. Consumer staples drastically outperformed the consumer discretionary sector by more than 20% as investors feared the onset of a U.S. slowdown and the potential for an outright recession. The Fund outperformed its benchmark with a return of -5.95% for the fiscal year ended May 31, 2008. The Fund's benchmark, the Russell 1000 Index, returned -6.25%. The out-performance can be attributed to positive stock selection within the technology sector and to a lesser extent positive stock selection within the telecommunication services sector. With growth outperforming value, all three of the fundamental growth managers beat both the Russell 1000 Index and Russell 1000 Growth Index benchmarks during a difficult market environment. In particular, the three growth managers in the strategy, Goldman Sachs Asset Management, Montag & Caldwell, Inc. and Delaware Management Company strongly outperformed due their positive stock selection. However, the excess return generated by the growth managers was weighed down by the negative relative performance from the value managers as well as one of the Fund's core quantitative managers. The core managers had mixed results. Quantitative Management Associates, LLC under-performed the Russell 1000 Index, while Enhanced Investment Technologies, LLC (Intech) slightly outperformed as they benefited from increased volatility in the market. The three value managers in the strategy, AllianceBernstein L.P., LSV Asset Management, and Aronson + Johnson + Ortiz, L.P. underperformed the Russell 1000 Value benchmark mostly due to poor stock selection within financials sectors. SEI Institutional Investments Trust / Annual Report / May 31, 2008 1 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2008 Large Cap Fund (concluded) Large Cap Fund AVERAGE ANNUAL TOTAL RETURN(1)
Annualized Annualized Annualized Annualized One Year 3 Year 5 Year 10 Year Inception Return Return Return Return to Date -------- ---------- ---------- ---------- ---------- Large Cap Fund, Class A (5.95)% 8.35% 10.42% 3.96% 8.04%
Comparison of Change in the Value of a $100,000 Investment in the Large Cap Fund, Class A, versus the Russell 1000 Index (PERFORMANCE GRAPH)
Large Cap Fund, Russell 1000 Class A Index --------------- ------------ 5/31/98 $100,000 $100,000 5/31/99 119,400 120,310 5/31/00 130,265 134,699 5/31/01 115,233 120,192 5/31/02 98,685 104,158 5/31/03 89,823 96,128 5/31/04 106,324 114,306 5/31/05 115,914 125,073 5/31/06 128,514 136,805 5/31/07 156,749 168,174 5/31/08 147,422 157,663
(1) For the period ended May 31, 2008. Past performance is not an indication of future performance. Class A shares were offered beginning 6/14/96. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. 2 SEI Institutional Investments Trust / Annual Report / May 31, 2008 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2008 Large Cap Diversified Alpha Fund Objective The Large Cap Diversified Alpha Fund (the "Fund") seeks to provide long-term growth of capital by investing in the equity securities of large companies and in portfolio strategies designed to correlate to a portfolio composed of large cap equity securities. While the Fund is expected to have an absolute return and risk profile similar to the broad U.S. large cap equity market, returns may be derived in part from investing significant portions of the Fund in securities outside of the large cap market. Strategy The Fund uses a multi-manager approach under the general supervision of SEI Investments Management Corporation (SIMC), allocating the assets among multiple sub-advisers that use different investment strategies to seek to achieve returns in excess of the performance of a broad U.S. large cap benchmark. This allocation among investment strategies aims to diversify the sources from which sub-advisers seek to achieve excess returns (i.e., returns in excess of a benchmark index), and thereby diversify the relative risk of the Fund. Some sub-advisers may engage in short sales up to 30% of the value of their Fund allocation and use the proceeds from the sale to purchase long positions in additional equity securities. Some sub-advisers may also use portfolio strategies that are designed to correlate with a portfolio of large cap equity securities, but which are composed of derivative instruments backed by other types of securities. Aronson + Johnson + Ortiz, L.P., Analytic Investors, LLC, and Quantitative Management Associates, LLC seek to overweight stocks with attractive fundamental and/or technical characteristics and underweight or even short stocks with unattractive fundamental and/or technical characteristics. Enhanced Investment Technologies, LLC (Intech) employs a volatility capture strategy, Delaware Management Company seeks to identify stocks with underappreciated growth characteristics. In addition the Fund employs a portable alpha strategy that seeks to generate alpha within the U.S. fixed income market and transport it to the equity market through the SEI Alpha Strategy Portfolios, LP SEI LIBOR Plus Fund, which includes the following sub-advisors: Smith Breeden Associates, Inc., Hyperion Brookfield Asset Management and Declaration Management and Research. All three sub-advisors look to exploit the fixed income market through exposure to spread sectors such as asset backed securities. Analysis The U.S. equity market, as measured by the Russell 1000 Index, lost more than 6% during the fiscal year ended May 31, 2008. After 5-years of steady growth, U.S. large cap stocks were negatively impacted by the sub-prime mortgage meltdown. Investors' uncertainty regarding the future caused volatility to spike to historic levels. U.S. financial institutions were forced to write-down billions of dollars of assets, while hedge funds de-leveraged their portfolios. In August, hedge fund and quantitative managers became forced sellers as they struggled to meet margin requirements, which put more downward pressure on equity markets. Fears related to the sub-prime mortgage crisis were exacerbated as U.S. real estate markets spiraled downward with year over year declines in U.S. housing prices reaching 14.4% by April 2008. In addition, energy prices continued to surge to all-time highs. As a result, U.S. consumers faced difficult challenges: declining housing values, higher energy and food costs, increasing debt, and little to no wage growth. All this fueled investors growing concern that the U.S. economy is heading into a recession. As a result, the Federal Reserve cut interest rates five times since the fall of 2007. For the fiscal year, growth stocks outperformed their value counterparts by more than 12%, much of which was realized in the first seven months of the fiscal year. The fastest growing and most expensive stock quintiles led the Russell 1000 Index as price momentum was a strong factor in the second half of 2007. Not only were the cheapest stocks not rewarded during this period, they were some of the worst performing names. Large caps stocks continued to outperform smaller caps stocks as measured by the Russell 1000 Index and Russell 2000 Index. Larger securities benefited from a flight to quality. Sector performance among the large cap sectors was mixed. Five of the ten economic sectors posted negative returns; the financial sector was the worst sector, down close to 30%. On the other hand, energy and materials stocks led the way with both sectors returning more than 15% as global demand continued to grow. Consumer staples drastically outperformed the consumer discretionary sector by more than 20% as investors feared the onset of a U.S. slowdown and the potential for an outright recession. The Fund underperformed its benchmark with a return of -8.80% for the fiscal year ended May 31, 2008. The Fund's benchmark, the S&P 500 Index, returned -6.70%. The strategy had positive contributions from Analytic Investors LLC, Enhanced Investment Technologies, LLC (Intech), and Delaware Management Company. Analytic Investors, LLC SEI Institutional Investments Trust / Annual Report / May 31, 2008 3 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2008 Large Cap Diversified Alpha Fund (concluded) dynamic factor positioning model, which emphasizes stock characteristics that have recently been in favor, benefited from its rotation from value factors towards strong earnings growth. Intech slightly outperformed as they benefited from increased volatility in the market. Delaware Investments benefited from the shift in the market away from value as stocks with high expected growth rates were rewarded. Aronson + Johnson + Ortiz L,P,, and Quantitative Management Associates, LLC detracted from performance. Their emphasis on value related factors dragged on their performance. Although they benefited from the added flexibility of shorting stocks, their re-investment of the proceeds into additional long securities outweighed the positive shorting contribution. The SEI Alpha Strategy Portflios, LP SEI LIBOR Plus Fund underperformed the large cap market as spreads widened with mortgage backed and asset backed securities coming under pressure. Large Cap Diversified Alpha Fund AVERAGE ANNUAL TOTAL RETURN(1)
Annualized One Year Inception Return to Date -------- ---------- Large Cap Diversified Alpha Fund, Class A (8.80)% 4.87%
Comparison of Change in the Value of a $100,000 Investment in the Large Cap Diversified Alpha Fund, Class A, versus the S&P 500 Index (PERFORMANCE GRAPH)
Large Cap Diversified Alpha S&P 500 Fund, Class A Index ----------------- -------- 2/28/06 $100,000 $100,000 5/31/06 99,508 99,652 5/31/07 122,037 122,362 5/31/08 111,298 114,164
(1) For the period ended May 31, 2008. Past performance is no indication of future performance. Class A shares were offered beginning 2/28/06. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. 4 SEI Institutional Investments Trust / Annual Report / May 31, 2008 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2008 Large Cap Disciplined Equity Fund Objective The Large Cap Disciplined Equity Fund (the "Fund") seeks to provide long-term growth of capital by investing in the equity securities of large companies and in portfolio strategies designed to correlate to a portfolio composed of large cap equity securities. While the Fund is expected to have an absolute return and risk profile similar to the broad U.S. large cap equity market, returns may be derived in part from investing significant portions of the Fund in securities outside of the large cap market. Strategy The Fund seeks to exceed the total return of the S&P 500 Index, with a similar level of volatility, by investing primarily in a portfolio of common stocks included in the S&P 500 Index, as well as other equity securities and derivative instruments whose value is derived from the performance of the S&P 500 Index. The Fund also employs overlay strategies for return enhancement and alpha source diversification. The Fund uses a multi-manager approach, with five sub-advisers offering different investment philosophies to manage portions of the Fund's portfolio. All of the sub-advisers employ rigorous risk-control processes in order to manage relative risk against the benchmark. Analytic Investors, LLC and Quantitative Management Associates, LLC seek to overweight stocks with attractive fundamental and/or technical characteristics and underweight or even short stocks with unattractive fundamental and/or technical characteristics. Enhanced Investment Technologies, LLC (Intech) employs a volatility capture strategy. In addition the Fund employs a portable alpha strategy that seeks to generate alpha within the U.S. fixed income market and transport it to the equity market through the SEI Alpha Strategy Portfolios, LP SEI LIBOR Plus Fund, which includes the following sub-advisors: Smith Breeden Associates, Inc., Hyperion Brookfield Asset Management and Declaration Management and Research. All three sub-advisors look to exploit the fixed income market through exposure to spread sectors such as asset backed securities. Analysis The U.S. equity market, as measured by the Russell 1000 Index, lost more than 6% during the fiscal year ended May 31, 2008. After 5-years of steady growth, U.S. large cap stocks were negatively impacted by the sub-prime mortgage meltdown. Investors' uncertainty regarding the future caused volatility to spike to historic levels. U.S. financial institutions were forced to write-down billions of dollars of assets, while hedge funds de-leveraged their portfolios. In August, hedge fund and quantitative managers became forced sellers as they struggled to meet margin requirements, which put more downward pressure on equity markets. Fears related to the sub-prime mortgage crisis were exacerbated as U.S. real estate markets spiraled downward with year over year declines in U.S. housing prices reaching 14.4% by April 2008. In addition, energy prices continued to surge to all-time highs. As a result, U.S. consumers faced difficult challenges: declining housing values, higher energy and food costs, increasing debt, and little to no wage growth. All this fueled investors growing concern that the U.S. economy is heading into a recession. As a result, the Federal Reserve cut interest rates five times since the fall of 2007. For the fiscal year, growth stocks outperformed their value counterparts by more than 12%, much of which was realized in the first seven months of the fiscal year. The fastest growing and most expensive stock quintiles led the Russell 1000 Index as price momentum was a strong factor in the second half of 2007. Not only were the cheapest stocks not rewarded during this period, they were some of the worst performing names. Large caps stocks continued to outperform smaller caps stocks as measured by the Russell 1000 Index and Russell 2000 Index. Larger securities benefited from a flight to quality. Sector performance among the large cap sectors was mixed. Five of the ten economic sectors posted negative returns; the financial sector was the worst sector, down close to 30%. On the other hand, energy and materials stocks led the way with both sectors returning more than 15% as global demand continued to grow. Consumer staples drastically outperformed the consumer discretionary sector by more than 20% as investors feared the onset of a U.S. slowdown and the potential for an outright recession. The Fund underperformed its benchmark with a return of -9.57% for the fiscal year ended May 31, 2008. The Fund's benchmark, the S&P 500 Index return -6.70%. The strategy had positive contributions from Analytic Investors, LLC and Enhanced Investment Technologies, LLC (Intech). Analytic's dynamic positioning, which emphasizes stock characteristics that have been in favor recently, benefited from its rotation from value factors towards strong earnings growth. Intech outperformed as they benefited from increased volatility in the market. Quantitative Management Associates, LLC detracted from performance. Their emphasis on value related factors dragged on their performance. The SEI Alpha Strategy Portfolios, LP SEI LIBOR Plus Fund underperformed the market as spreads widened with mortgage backed and asset backed securities coming under pressure. SEI Institutional Investments Trust / Annual Report / May 31, 2008 5 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2008 Large Cap Disciplined Equity Fund (concluded) Large Cap Disciplined Equity Fund AVERAGE ANNUAL TOTAL RETURN(1)
Annualized Annualized One Year Three Year Inception Return Return to Date -------- ---------- ---------- Large Cap Disciplined Equity Fund, Class A (9.57)% 6.78% 9.20%
Comparison of Change in the Value of a $100,000 Investment in the Large Cap Disciplined Equity Fund, Class A, versus the S&P 500 Index (PERFORMANCE GRAPH)
Large Cap Disciplined Equity S&P 500 Fund, Class A Index ------------------ -------- 8/28/03 $100,000 $100,000 5/31/04 113,235 114,353 5/31/05 124,853 123,776 5/31/06 136,502 134,470 5/31/07 168,102 165,116 5/31/08 152,015 154,053
(1) For the period ended May 31, 2008. Past performance is not an indication of future performance. Class A shares were offered beginning 8/28/03. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. 6 SEI Institutional Investments Trust / Annual Report / May 31, 2008 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2008 Large Cap Index Fund Objective The Large Cap Index Fund (the "Fund") seeks to provide investment results that correspond to the aggregate price and dividend performance of the securities in the Russell 1000 Index (the "Index"). Strategy The Fund attempts to match the performance of the widely followed Index by replicating its composition in full. Deviation of performance between the Fund and the Index, measured by tracking error, is typically attributable to trading costs and cash reserves held for liquidity needs. The presence of cash in the Fund may result in underperformance relative to the Index in rising markets, and out-performance in declining markets. To mitigate these effects, the Fund may use stock index futures to hedge its cash position. Futures contracts enable the Fund to maintain exposure to the market with reduced trading expenses, since the cost of the futures contracts is relatively nominal. The value of the stock index futures held by the Fund may not exceed 20% of the Fund's assets. Analysis The Fund performed in line with the Index with a return of -6.25%. The Fund's benchmark, the Russell 1000 Index, returned -6.25%. The Russell 1000 Index lost more than 6% during the fiscal year ended May 31, 2008. After 5-years of steady growth, U.S. large cap stocks were negatively impacted by the sub-prime mortgage meltdown. Investors' uncertainty regarding the future caused volatility to spike to historic levels. U.S. financial institutions were forced to write-down billions of dollars of assets, while hedge funds de-leveraged their portfolios. Fears related to the sub-prime mortgage crisis were exacerbated as U.S. real estate markets spiraled downward with year over year declines in U.S. housing prices reaching 14.4% by April 2008. In addition, energy prices continued to surge to all-time highs. As a result, U.S. consumers faced difficult challenges: declining housing values, higher energy and food costs, increasing debt, and little to no wage growth. All this fueled investors growing concern that the U.S. economy is heading into a recession. As a result, the Federal Reserve cut interest rates five times since the fall of 2007. SSgA Funds Management, Inc. currently serves as the sub-adviser for the Fund. For the fiscal year, growth stocks outperformed their value counterparts by more than 12%, much of which was realized in the first seven months of the fiscal year. The fastest growing and most expensive stock quintiles led the Russell 1000 Index as price momentum was a strong factor in the 2nd half of 2007. Not only were the cheapest stocks not rewarded during this period, they were some of the worst performing names. Large caps stocks continued to outperform smaller caps stocks as measured by the Russell 1000 Index and Russell 2000 Index. Larger securities benefited from a flight to quality. Sector performance among the large cap sectors was mixed. Five of the ten economic sectors posted negative returns; the financial sector was the worst sector, down close to 30%. On the other hand, energy and materials stocks led the way with both sectors returning more than 15% as global demand continued to grow. Consumer staples drastically outperformed the consumer discretionary sector by more than 20% as investors feared the onset of a U.S. slowdown and the potential for an outright recession. Large Cap Index Fund AVERAGE ANNUAL TOTAL RETURN(1)
Annualized Annualized Annualized One Year 3 Year 5 Year Inception Return Return Return to Date -------- ---------- ---------- ----------- Large Cap Index Fund, Class A (6.25)% 7.99% 10.32% 5.70%
Comparison of Change in the Value of a $100,000 Investment in the Large Cap Index Fund, Class A, versus the Russell 1000 Index (PERFORMANCE GRAPH)
Large Cap Index Russell 1000 Fund, Class A Index --------------- ------------ 4/1/02 $100,000 $100,000 5/31/02 93,404 93,490 5/31/03 86,128 86,282 5/31/04 102,243 102,598 5/31/05 111,741 112,263 5/31/06 122,177 122,793 5/31/07 150,119 150,949 5/31/08 140,737 141,515
(1) For the period ended May 31, 2008. Past performance is not an indication of future performance. Class A shares were offered beginning 4/1/02. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. SEI Institutional Investments Trust / Annual Report / May 31, 2008 7 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2008 Small Cap Fund Objective The Small Cap Fund (the "Fund") seeks to provide long-term capital appreciation by investing in equity securities of smaller companies. Strategy With respect to this Fund, SEI Investments Management Corporation employs a multi-manager structure to gain exposure to small cap stocks, adding value through stock selection while minimizing risk in the form of capitalization, valuation and economic sector exposures. The Fund is jointly sub-advised by sixteen investment managers. Assets of the Fund are strategically allocated among its sub-advisers, each of which has a responsibility for stock selection for their respective portion of the Fund's assets. Changes to Portfolio Janus Capital Management, Inc. ("Janus") was added in August 2007 to manage a portion of the Fund. Janus provides a good source of diversification for the Fund, and has a solid process implemented by several analysts specializing in the small cap space. The team looks for stocks that will have significant future sales growth, leading to earnings growth. Validation of investment ideas is done utilizing valuation models. Janus' analysts and portfolio managers spend the majority of their time understanding the drivers of business performance by meeting with company management and having in-depth discussions with competitors, suppliers, employees, and other industry experts. Analysis The U.S. small cap equity market, as measured by the Russell 2000 Index, lost roughly 10.5% during the fiscal year ended May 31, 2008. After five years of steady growth, U.S. small cap stocks were negatively impacted by the sub-prime mortgage meltdown. U.S. financial institutions were forced to write-down billions of dollars in assets, while hedge funds de-leveraged their portfolios. Fears related to the sub-prime mortgage crisis were exacerbated as U.S. real estate markets spiraled downward with year-over-year price declines reaching 14.4% by April 2008. In addition, energy prices continued to surge to all-time highs. As a result, U.S. consumers faced difficult challenges: declining housing values, higher energy and food costs, increasing debt, and insignificant wage growth. All of this fueled investors' growing concern that the U.S. economy is heading into a recession. As a result, the Federal Reserve cut interest rates five times since the fall of 2007. During this period, small cap growth stocks outperformed their value counterparts by nearly 10%, most of which was realized in the first seven months of the fiscal year. The fastest growing and largest market cap stock quintiles led the Russell 2000 Index. Small cap stocks were hampered by a flight to quality, and underperformed larger capitalization stocks over the fiscal year. Eight of the ten economic sectors posted negative returns, with the consumer discretionary and financials sectors the worst performers, down over 20% for the period. The energy and materials sectors posted the only positive returns for the fiscal year due to rising commodities prices and supply concerns. The Fund lagged its benchmark for the fiscal year ended May 31, 2008, returning -13.58% compared to its benchmark, the Russell 2000 Index's return of -10.53%. The Fund posted adverse performance on a relative basis principally due to stock selection over the period. Notably, quantitative managers had a difficult time in the second half of 2007, when hedge funds were forced to liquidate large portions of their portfolios in order to meet margin calls. The hedge fund sales mainly included quality names held in the portfolios of PanAgora Asset Management, Inc. and Martingale Asset Management, L.P. The growth team at Lee Munder Investments Ltd. helped mitigate under-performance with strong relative returns in the semiconductor area, while David J Greene and Company, LLC was helped by an overweight and superior stock selection in the capital goods industry. Artisan Partners Limited Partnership also boosted the Fund's return with an overweight to the outperforming energy sector. The Fund is positioned to capture opportunities in the small cap area of the market under a variety of market conditions. To this end, the Fund targets a style-neutral position relative to the Russell 2000 Index, in order to control unnecessary risks and put the focus on stock selection by the specialist sub-advisers. However, the Fund does have an overweight to information technology in expectation of increasing businesses spending on technology used to improve productivity, and is underweight banks due to continued fallout from sub-prime credit problems. 8 SEI Institutional Investments Trust / Annual Report / May 31, 2008 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2008 Small Cap Fund AVERAGE ANNUAL TOTAL RETURN(1)
Annualized Annualized Annualized Annualized One Year 3 Year 5 Year 10 Year Inception Return Return Return Return to Date -------- ---------- ---------- ---------- ---------- Small Cap Fund, Class A (13.58)% 7.34% 12.34% 7.17% 8.87%
Comparison of Change in the Value of a $100,000 Investment in the Small Cap Fund, Class A, versus the Russell 2000 Index (PERFORMANCE GRAPH)
Small Cap Fund, Russell 2000 Class A Index --------------- ------------ 5/31/98 $100,000 $100,000 5/31/99 94,190 97,310 5/31/00 114,026 106,953 5/31/01 123,593 113,039 5/31/02 119,898 112,474 5/31/03 111,709 103,274 5/31/04 147,187 134,555 5/31/05 161,627 147,768 5/31/06 192,222 174,721 5/31/07 231,282 207,779 5/31/08 199,874 185,900
(1) For the period ended May 31, 2008. Past performance is not an indication of future performance. Class A shares were offered beginning 6/14/96. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. SEI Institutional Investments Trust / Annual Report / May 31, 2008 9 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2008 Small/Mid Cap Equity Fund Objective The Small/Mid Cap Equity Fund (the "Fund") seeks to provide long-term capital appreciation by investing in equity securities of small-to-mid cap companies. Strategy SEI Investments Management Corporation employs a multi-manager structure in the Fund, focusing on smaller-to-mid cap securities. The Fund adds value through stock selection while minimizing risk in the form of capitalization, valuation and economic sector exposures. The Fund is jointly sub-advised by twelve investment managers. Assets of the Fund are strategically allocated among its various sub-advisers, each of which has a responsibility for stock selection for its respective assets under management. Changes to Portfolio Janus Capital Management, Inc. ("Janus") was added in August 2007 to manage a portion of the Fund. Janus provides a good source of diversification for the Fund, and has a solid process implemented by several analysts specializing in the small cap space. The team looks for stocks that will have significant future sales growth, leading to earnings growth. Validation of investment ideas is done utilizing valuation models. Janus' analysts and portfolio managers spend the majority of their time understanding the drivers of business performance by meeting with company management and having in-depth discussions with competitors, suppliers, employees, and other industry experts. Analysis The U.S. equity market, as measured by the Russell 2500 Index, lost roughly 8.3% during the fiscal year ended May 31, 2008. After five years of steady growth, U.S. small to mid cap stocks were negatively impacted by the sub-prime mortgage meltdown. U.S. financial institutions were forced to write-down billions of dollars in assets, while hedge funds de-leveraged their portfolios. Fears related to the sub-prime mortgage crisis were exacerbated as U.S. real estate markets spiraled downward with year-over-year price declines reaching 14.4% by April 2008. In addition, energy prices continued to surge to all-time highs. As a result, U.S. consumers faced difficult challenges: declining housing values, higher energy and food costs, increasing debt, and insignificant wage growth. All of this fueled investors' growing concern that the U.S. economy is heading into a recession. As a result, the Federal Reserve cut interest rates five times since the fall of 2007. During the period, small to mid cap growth stocks outperformed their value counterparts by nearly 10%, most of which was realized in the first seven months of the fiscal year. The fastest growing and largest market cap stock quintiles led the Russell 2000 Index. Smaller cap stocks were hampered by a flight to quality, and underperformed larger capitalization stocks over the fiscal year. Eight of the ten economic sectors posted negative returns, with the consumer discretionary and financials sectors the worst performers, down over 20% for the period. The energy and materials sectors posted the only positive returns for the fiscal year due to rising commodities prices and supply concerns. The Fund posted adverse performance for the fiscal year ended May 31, 2008, returning -12.14%. The Fund's benchmark, the Russell 2500 Index, returned -8.34%. The Fund posted adverse performance on a relative basis principally due to poor stock selection over the period. Notably, quantitative managers had a difficult time in the second half of 2007, when hedge funds were forced to liquidate large portions of their portfolios in order to meet margin calls. The hedge fund sales included quality names held by PanAgora Asset Management, Inc., LSV Asset Management, and Martingale Asset Management, L.P. The growth team at Lee Munder Investments Ltd. added value via the semiconductor industry, and the firm's value team mitigated some of the Fund's negative performance via security selection in the consumer services and software & services areas. The Fund is positioned to capture opportunities in the small to mid cap area of the market under a variety of market conditions. To this end, the Fund generally targets a style-neutral position relative to the Russell 2500 Index, in order to control unnecessary risks and put the focus on stock selection by the specialist sub-advisers. However, the Fund does have an overweight to information technology in expectation of increasing businesses spending on technology used to improve productivity, and is underweight banks due to continued fallout from sub-prime credit problems. Managers are generally shying away from retail and media securities due to the subpar economic conditions. 10 SEI Institutional Investments Trust / Annual Report / May 31, 2008 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2008 Small/Mid Cap Equity Fund AVERAGE ANNUAL TOTAL RETURN(1)
Annualized Annualized One Year 3 Year Inception Return Return to Date -------- ---------- ---------- Small/Mid Cap Equity Fund, Class A (12.14)% 7.88% 9.93%
Comparison of Change in the Value of a $100,000 Investment in the Small/Mid Cap Equity Fund, Class A, versus the Russell 2500 Index (PERFORMANCE GRAPH)
Small/Mid Cap Equity Fund, Russell 2500 Class A Index ------------- ------------ 12/15/03 $100,000 $100,000 5/31/04 107,145 105,145 5/31/05 121,481 118,625 5/31/06 142,752 138,922 5/31/07 173,587 168,040 5/31/08 152,513 154,025
(1) For the period ended May 31, 2008. Past performance is not an indication of future performance. Class A shares were offered beginning 12/15/03. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. SEI Institutional Investments Trust / Annual Report / May 31, 2008 11 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2008 International Equity Fund Objective The International Equity Fund (the "Fund") seeks to provide capital appreciation by investing in equity securities of foreign companies. Strategy Under normal circumstances, the Fund will invest at least 80% of its net assets in equity securities. The Fund will invest in securities of issuers of all capitalization ranges. The Fund will invest primarily in companies located in developed countries outside of the U.S., but may also invest in companies located in emerging markets. Generally, the Fund will invest less than 20% of its assets in emerging markets. The Fund uses a multi-manager approach, relying upon a number of sub-advisers with differing investment strategies to manage portions of the Fund's portfolio under the general supervision of SEI Investments Management Corporation. This allocation among investment strategies aims to diversify the sources from which certain sub-advisers seek to achieve returns in excess of the Fund's benchmark (i.e., "alpha"). While the Fund is expected to have an absolute return and risk profile similar to the international equity market, returns may be derived in part from investing significant portions of the Fund in securities other than equity securities, as described below. The Fund is diversified as to issuers, market capitalization, industry and country. Analysis For much of the fiscal year ended May 31, 2008, the global equity markets were in a state of turbulence. What began with the U.S. sub-prime housing crisis morphed into a liquidity crunch, and ultimately became a full blown credit crisis. What followed was an unprecedented policy response from both the U.S. Federal Reserve and the central banks of the world's leading economies. However, despite the policy makers' best efforts, progress in alleviating the crisis was limited. Against this backdrop, the MSCI EAFE Index declined 2.53% for the year ended May 2008. Financials bore the brunt of the crisis, declining 14% for the year, followed by the consumer discretionary sector, down 10.4%. In contrast, materials, buoyed by the resilience of emerging markets infrastructure spending, appreciated 15%. Energy also posted strong positive returns for the year due to strong increases in oil prices. Consumer staples, utilities and telecommunications also performed well due to their defensive nature. The Fund lagged behind its benchmark with a return of -5.52% for the fiscal year ended May 31, 2008, due to cyclical stocks, and the poor performance of the Fund's alpha transport manager. The Fund's benchmark, the MSCI EAFE Index, returned -2.53%. Most of the performance was attributable to poor stock selection in the financials, materials and energy sectors. International Equity Fund AVERAGE ANNUAL TOTAL RETURN(1)
Annualized Annualized Annualized Annualized One Year 3 Year 5 Year 10 Year Inception Return Return Return Return to Date -------- ---------- ---------- ---------- ---------- International Equity Fund, Class A (5.52)% 16.51% 18.83% 6.97% 7.33%
Comparison of Change in the Value of a $100,000 Investment in the International Equity Fund, Class A, versus the MSCI EAFE Index (PERFORMANCE GRAPH)
International MSCI EAFE Equity, Class A Index --------------- --------- 5/31/98 $100,000 $100,000 5/31/99 106,930 104,360 5/31/00 131,331 122,247 5/31/01 107,416 101,184 5/31/02 96,750 91,470 5/31/03 82,789 80,220 5/31/04 109,057 106,419 5/31/05 124,031 121,978 5/31/06 162,195 156,424 5/31/07 207,610 198,409 5/31/08 196,150 193,389
(1) For the period ended May 31, 2008. Past performance is not an indication of future performance. Class A shares were offered beginning 6/14/96. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. 12 SEI Institutional Investments Trust / Annual Report / May 31, 2008 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2008 World Equity Ex-US Fund Objective The World Equity Ex-US Fund (the "Fund") seeks to provide capital appreciation. Strategy Under normal circumstances, the Fund will invest at least 80% of its net assets in equity securities of foreign companies. The Fund will invest in securities of foreign issuers located in developed and emerging market countries. However, the Fund will not invest more than 30% of its assets in the common stocks or other equity securities of issuers located in emerging market countries. The Fund uses a multi-manager approach, relying upon a number of sub-Advisers with differing investment strategies to manage portions of the Fund's portfolio under the general supervision of SEI Investments Management Corporation. This allocation among investment strategies aims to diversify the sources from which certain sub-Advisers seek to achieve returns in excess of the Fund's benchmark (i.e., "alpha"). While the Fund is expected to have an absolute return and risk profile similar to the international equity market, returns may be derived in part from investing significant portions of the Fund in securities other than equity securities. The Fund is diversified as to issuers, market capitalization, industry and country. Analysis For the fiscal year ended May 31, 2008, the global equity markets were in a state of turbulence for most of the year. It all started with the U.S. sub-prime housing crisis that morphed into a liquidity crunch and soon developed in to a full blown credit crisis. There was an unprecedented policy response from both the U.S. Federal Reserve and the central banks of the world's leading economies. However, despite the best efforts from the policy makers, the progress in alleviating the crisis was limited. Against this backdrop, the MSCI World Ex-US Index rose modestly for the year ended May 2008. Financials, bearing the burnt of credit finance, declined 10.8% for the year followed by consumer discretionary down 9.3%. In contrast, materials buoyed by the resilience of emerging markets infrastructure spend, appreciated 24.8%. Energy also posted strong positive returns for the year due to strong rise in oil prices. Consumer staples, utilities and telecommunications also performed well due to their defensive nature. The Fund lagged behind its benchmark with a return of -1.14% for the fiscal year ended May 31, 2008, due to its pro cyclical posture and the poor performance of the Fund's alpha transport manager. The Fund's benchmark, the MSCI World Ex-US Index returned -1.03%. Most of the performance was attributable to poor stock selection in financials, materials and energy sectors. World Equity Ex-US Fund AVERAGE ANNUAL TOTAL RETURN(1)
Annualized Annualized One Year 3 Year Inception Return Return to Date -------- ---------- ---------- World Equity Ex-US Fund, Class A (1.14)% 19.81% 17.91%
Comparison of Change in the Value of a $100,000 Investment in the World Equity Ex-US Fund, Class A, versus the MSCI World Ex-US Index (PERFORMANCE GRAPH)
World Equity Ex-US MSCI World Ex-US Fund, Class A Index ------------------ ---------------- 3/28/05 $100,000 $100,000 5/31/05 98,000 98,417 5/31/06 130,850 128,375 5/31/07 170,485 164,808 5/31/08 168,541 169,027
(1) For the period ended May 31, 2008. Past performance is not an indication of future performance. Class A shares were offered beginning 3/28/05. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. SEI Institutional Investments Trust / Annual Report / May 31, 2008 13 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2008 Enhanced LIBOR Opportunities Fund Objective Using multiple sub-advisers, the Enhanced LIBOR Opportunities Fund (the "Fund") seeks to provide an enhanced return above LIBOR (London InterBank Offering Rate). Strategy The Fund investment strategy focuses on generating absolute return through the management of securities in multiple asset classes, including currency management. The Fund's managers employ security selection to invest in a diversified portfolio of short duration investment grade and non-investment grade securities, including bank loans. Active currency management is also utilized to enhance long term performance. Analysis The Fund returned -5.88% for the fiscal year ended May 31, 2008, compared to 5.16% for its benchmark, the Merrill Lynch 3-Month Constant-Maturity LIBOR Index. The fixed income markets experienced turbulent conditions during the period as escalating delinquencies and defaults on sub-prime mortgages triggered a flight to safety into U.S. Treasury obligations. As economic momentum slowed and the risk of recession grew, the Federal Reserve (the "Fed") lowered the benchmark Fed Funds rate to 2.00% in late April from 5.25% in August. The two-year Treasury yield fell from almost 5.00% to roughly 2.65% at the end of May. Ten-year Treasury yields fell 83 basis points to 4.06% as the yield curve steepened. The Three-month LIBOR rate fell from 5.36% to 2.68% during the period. The spread to Fed Funds and short dated Treasury Bills widened significantly, however, reflecting the market's concern about liquidity and counterparty risk. The anticipation of increased losses in mortgage-backed and asset-backed securities led to massive write downs on the balance sheets of some of the world's premier financial institutions including Citigroup, UBS, Merrill Lynch, Wachovia Bank and Lehman Brothers. The fixed income markets became dysfunctional as the leading institutions ceased to provide liquidity even to some of the highest quality sectors of the market. The crisis came to a boiling point in mid-March when the government engineered a bailout of Bear Stearns, which was subsequently acquired by JPMorgan. In this unprecedented action, the Fed put in place several new liquidity facilities for the dealer community including the allowance of investment banks to borrow from the Fed's discount window, a right historically limited to commercial banks. The non-Treasury sectors of the market lagged the powerful rally in Treasury securities leading to significant underperformance in these sectors. Asset-backed securities underperformed similar duration Treasuries by 10.43% for the period, while investment grade corporates underperformed by 7.21% and agency mortgages underperformed by 1.37%. High-yield bonds and senior bank loans also underperformed as investors began to anticipate higher levels of default in these sectors. The Fund's heavy emphasis of the non-Treasury sectors detracted from relative return for the period as yield spreads widened dramatically in the corporate, mortgage-backed and asset-backed markets. The Fund had a heavy allocation to mortgage-backed and asset-backed securities throughout the period, and emphasized non-agency AAA-rated senior securities. These holdings detracted significantly from performance as prices deteriorated with the loss of liquidity and valuations moved below what traditional credit fundamentals would suggest. The portfolio's roughly 30% allocation to senior bank loans was the other major detractor from performance during the year. Valuations in these below investment grade instruments fell dramatically during the period, despite their seniority in the capital structure, reflecting increased concerns about economic strength and corporate profitability. While the default rate in this sector moved up to an annualized rate of 1.7% as of the fiscal year ended May 31, 2008 it still remained below the historical average of 2.4%. In addition, the massive backlog of bank loans on bank balance sheets, while slowly declining, caused significant technical pressures on the market, further pushing down secondary prices. Finally, the portfolio's currency strategy detracted modestly due to the increase in volatility and underperformance of higher yielding currencies. 14 SEI Institutional Investments Trust / Annual Report / May 31, 2008 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2008 Enhanced LIBOR Opportunities Fund AVERAGE ANNUAL TOTAL RETURN(1)
Annualized One Year Inception Return to Date -------- ---------- Enhanced LIBOR Opportunities Fund, Class A (5.88)% (2.09)%
Comparison of Change in the Value of a $100,000 Investment in the Enhanced LIBOR Opportunities Fund, Class A, versus the Merrill Lynch 3-Month Constant-Maturity LIBOR Index (PERFORMANCE GRAPH)
Merrill Lynch Enhanced LIBOR 3-Month Constant Opportunities Fund, -Maturity LIBOR Class A Index ------------------- ---------------- 12/14/06 $100,000 $100,000 5/31/07 103,026 102,516 5/31/08 96,968 107,806
(1) For the period ended May 31, 2008. Past performance is not an indication of future performance. Class A shares were offered beginning 12/14/06. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. SEI Institutional Investments Trust / Annual Report / May 31, 2008 15 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2008 Core Fixed Income Fund Objective The Core Fixed Income Fund (the "Fund") seeks to provide current income consistent with the preservation of capital. Strategy The Fund's investment strategy focuses on sector rotation, both among and within sectors, and issue selection. Risk is principally controlled by explicitly limiting fund interest rate exposure relative to the Lehman Aggregate Bond Index. The Fund's sub-advisers focus on four key areas in determining portfolio structure: duration weighting, term structure, sector allocation, and issue selection. While the duration and term structure decision underlie the implementation process, the sub-advisers primarily concentrate on sector and issue selection to add value. In addition, the sub-advisers may use derivatives for tactical hedging purposes and to implement portfolio strategies more efficiently. Analysis The Fund returned 5.10% for the twelve months ended May 31, 2008, compared to 6.89% for the benchmark Lehman Aggregate Bond Index. The fixed income markets experienced turbulent conditions during the period as escalating delinquencies and defaults on sub-prime mortgages triggered a flight to safety into U.S. Treasury obligations. As economic momentum slowed and the risk of recession grew, the Federal Reserve (the "Fed")lowered the benchmark Fed Funds rate to 2.00% in late April from 5.25% in August. The two-year Treasury yield fell from almost 5.00% to roughly 2.65% at the end of May. Ten-year Treasury yields fell 83 basis points to 4.06% as the yield curve steepened. The anticipation of increased losses in mortgage-backed and asset-backed securities led to massive write downs on the balance sheets of some of the world's premier financial institutions including Citigroup, UBS, Merrill Lynch, Wachovia Bank and Lehman Brothers. The fixed income markets became dysfunctional as the leading institutions ceased to provide liquidity even to some of the highest quality sectors of the market. The crisis came to a boiling point in mid-March when the government engineered a bailout of Bear Stearns, which was subsequently acquired by JPMorgan Chase. In unprecedented action, the Fed put in place several new liquidity facilities for the dealer community including the allowance of investment banks to borrow from the Fed's discount window, a right historically limited to commercial banks. The non-Treasury sectors of the market lagged the powerful rally in Treasury securities leading to significant underperformance in these sectors. Asset-backed securities underperformed similar duration Treasuries by 10.43% for the period, while investment grade corporates underperformed by 7.21% and agency mortgages under-performed by 1.37%. High-yield bonds and senior bank loans also underperformed as investors began to anticipate higher levels of default in these sectors. The Fund's overweight position in mortgage-backed securities (MBS), particularly non-agency MBS, was the primary source of underperformance for the period. While actual sub-prime holdings in the Fund averaged just over 2% during the period, and were limited to mostly AAA-rated senior bonds, pricing in all sectors of the mortgage market suffered as liquidity deteriorated. The Fund maintained a modest underweight to the corporate sector during the period, which was advantageous as yield spreads widened in this sector. However, overweighted exposure to BBB-rated securities and security selection within the financial sector negatively impacted returns from the corporate strategy. The Fund held a modestly long duration position for most of the period, and was positioned with a yield curve steepening bias, which added to relative performance as the Fed eased rates and yields fell. The success of the interest rate strategy, however, was not enough to offset the large underperformance in the mortgage sector. Core Fixed Income Fund AVERAGE ANNUAL TOTAL RETURN(1)
Annualized Annualized Annualized Annualized One Year 3 Year 5 Year 10 Year Inception Return Return Return Return to Date -------- ---------- ---------- ---------- ---------- Core Fixed Income Fund, Class A 5.10% 3.94% 3.93% 5.67% 6.39%
Comparison of Change in the Value of a $100,000 Investment in the Core Fixed Income Fund, Class A, versus the Lehman Aggregate Bond Index (PERFORMANCE GRAPH)
Core Fixed Income Lehman Aggregate Fund, Class A Bond Index ----------------- ---------------- 5/31/98 $100,000 $100,000 5/31/99 104,150 104,350 5/31/00 106,306 106,552 5/31/01 121,104 120,531 5/31/02 128,891 130,294 5/31/03 143,198 145,383 5/31/04 144,816 144,743 5/31/05 154,620 154,614 5/31/06 154,481 153,872 5/31/07 165,217 164,120 5/31/08 173,643 175,444
(1) For the period ended May 31, 2008. Past performance is not an indication of future performance. Class A shares were offered beginning 6/14/96. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. 16 SEI Institutional Investments Trust / Annual Report / May 31, 2008 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2008 High Yield Bond Fund Objective The High Yield Bond Fund (the "Fund") seeks to maximize total return. Strategy Under normal circumstances, the Fund will invest at least 80% of its net assets in high yield fixed income securities. The Fund will invest primarily in fixed income securities rated below investment grade (junk bonds), including corporate bonds and debentures, convertible and preferred securities, and zero coupon obligations. The Fund uses a multi-manager approach, relying upon a number of sub-advisers with differing investment philosophies to manage portions of the Fund's portfolio under the general supervision of SEI Investments Management Corporation (SIMC). To a limited extent, SIMC may also directly manage a portion of the Fund's portfolio. In managing the Fund's assets, the sub-advisers and, to the extent applicable, SIMC select securities that offer a high current yield as well as total return potential. The Fund's securities are diversified as to issuers and industries. The Fund's average weighted maturity may vary, and will generally not exceed ten years. There is no limit on the maturity or on the credit quality of any security. The Fund will invest primarily in securities rated BB, B, CCC, CC, C and D. However, it may also invest in non-rated securities or securities rated investment grade (AAA, AA, A and BBB). Analysis The Merrill Lynch U.S. High Yield Master II Constrained Index posted a -0.95% return during the fiscal year ended May 31, 2008, as soaring oil prices, recessionary fears and limited market liquidity weighed heavily on the high yield market. The health services sector was the top performing sector on a contribution to return basis. HCA and Tenet Healthcare, which are the two largest constituents, led the sector higher as the hospital companies were trying to improve free cash flow and reduce debt. The energy exploration/production and electric integration/generation sectors were also top performing sectors on a contribution to return basis. The printing and publishing sector was the worst performer on a contribution to return basis. RH Donnelley and Idearc led the sector lower as major concerns arose earlier in the year regarding the future of the telephone directory business. Although both companies experienced a recent rally, it was clearly not enough to erase the losses incurred over the past year. The gaming and forestry/paper sectors were also poor performers on a contribution to return basis. Moody's global issuer-based default rate began the period heading lower to just under 1% only to steadily climb higher from the lowest levels of this economic cycle ending the period at 1.96%. Although the current default rate is currently below the historical average of roughly 4.5%, the rating agency is forecasting an increase to 6.3% by May 2009. The credit crisis that has gripped the markets since last summer is expected to drive default rates higher as companies struggle during the economic slowdown. The Fund trailed its benchmark with a -2.36% return during the fiscal year ended May 31, 2008. The Fund's benchmark, Merrill Lynch U.S. High Yield Master II Constrained Index, returned -0.95%. The major detractors during the period were overweights to Delphi, RH Donnelley, and Claire's Stores. Delphi, a defaulted automotive supplier thus an off-benchmark allocation, has been working its way through bankruptcy but their exit financing ran into trouble and recovery valuations suffered with the rest of the market. RH Donnelley bonds were hit hard as the printer-publisher experienced slower than expected growth with fears of online advertising leading to questions regarding the firm's long-term viability. Claire's Stores was one of the last Leveraged buy outs (LBO)completed before the market meltdown. The retailer's bonds suffered mightily on the heels of weak consumer confidence, poor financial results, and thoughts of a recession. The major contributors during the period were underweights to Residential Capital, Harrah's, and AbitibiBowater. Residential Capital was extremely volatile exhibiting negative performance as their business primarily deals with subprime mortgages. Harrah's recently completed an LBO that resulted in more debt for the company. The firm's existing bonds sold off as did the newly issued debt. AbitibiBowater bonds plunged on poor earnings and concerns regarding the merger of the two firms. SEI Institutional Investments Trust / Annual Report / May 31, 2008 17 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2008 High Yield Bond Fund (concluded) High Yield Bond Fund AVERAGE ANNUAL TOTAL RETURN(1)
Annualized One Year Inception Return to Date -------- ---------- High Yield Bond Fund, Class A (2.36)% 5.58%
Comparison of Change in the Value of a $100,000 Investment in the High Yield Bond Fund, Class A versus the Merrill Lynch U.S. High Yield Master II Constrained Index (PERFORMANCE GRAPH)
Merrill Lynch High Yield U.S. High Yield Bond Fund, Master II Class A Constrained Index ---------- ----------------- 12/5/05 $100,000 $100,000 5/31/06 104,861 104,060 5/31/07 117,245 117,297 5/31/08 114,478 116,183
(1) For the period ended May 31, 2008. Past performance is not an indication of future performance. Class A shares were offered beginning 12/05/05. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. 18 SEI Institutional Investments Trust / Annual Report / May 31, 2008 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2008 Long Duration Fund Objective The Long Duration Fund (the "Fund") seeks to duplicate the return characteristics similar to those of high-quality corporate bonds, with a duration range of 10-13 years. Strategy The Fund's investment strategy is designed to aid investors, especially corporate pension plans, with asset/liability management in order to reduce funding status volatility caused by changes in interest rates. The Fund seeks to duplicate the risk and return characteristics of a long fixed income securities portfolio (approximate duration of 10-13 years) by using cash bonds and derivative securities, including interest rate swap agreements and Treasury futures contracts, for the purpose of managing the overall duration of the Fund. Additionally, the Fund will invest in other fixed income securities, including U.S. Agency, corporate and structured securities, to produce incremental return. Due to the long duration or interest rate sensitivity of the Fund, the Fund may experience large positive and negative absolute returns depending on the change in interest rates. Analysis The Fund returned -4.52% for the fiscal year ended May 31, 2008, compared to 12.28% for its benchmark, Lehman 15 Year Bellweather Swap Index. The fixed income markets experienced turbulent conditions during the period as escalating delinquencies and defaults on sub-prime mortgages triggered a flight to safety into U.S. Treasury obligations. As economic momentum slowed and the risk of recession grew, the Federal Reserve (the "Fed") lowered the benchmark Fed Funds rate to 2.00% in late April from 5.25% in August. The two-year Treasury yield fell from almost 5.00% to roughly 2.65% at the end of May. Ten-year Treasury yields fell 83 basis points to 4.06% as the yield curve steepened. The anticipation of increased losses in mortgage-backed and asset-backed securities led to massive write downs on the balance sheets of some of the world's premier financial institutions including Citigroup, UBS, Merrill Lynch, Wachovia Bank and Lehman Brothers. The fixed income markets became dysfunctional as the leading institutions ceased to provide liquidity even to some of the highest quality sectors of the market. The crisis came to a boiling point in mid-March when the government engineered a bailout of Bear Stearns, which was subsequently acquired by JPMorgan. In unprecedented action, the Fed put in place several new liquidity facilities for the dealer community including the allowance of investment banks to borrow from the Fed's discount window, a right historically limited to commercial banks. The non-Treasury sectors of the market lagged the powerful rally in Treasury securities leading to significant underperformance in these sectors. Asset-backed securities underperformed similar duration Treasuries by 10.43% for the period, while investment grade corporates underperformed by 7.21% and agency mortgages underperformed by 1.37%. High yield bonds and senior bank loans also underperformed as investors began to anticipate higher levels of default in these sectors. The Fund's absolute and relative performance suffered during the period as yield spreads widened to unprecedented levels in many of the non-Treasury sectors of the market. The primary source of underperformance came from the portfolio's significant allocation to mortgage and asset-backed securities, which were the worst performing sectors of the fixed income market during the period. While these holdings were primarily AAA-rated bonds in senior positions in the capital structure, pricing in all sectors of the mortgage market, particularly the non-agency sectors, suffered as liquidity deteriorated. The portfolio's corporate allocation also detracted from performance as yield spreads widened in this sector due to poor liquidity and increased concerns about economic strength and corporate profitability. SEI Institutional Investments Trust / Annual Report / May 31, 2008 19 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2008 Long Duration Fund (concluded) Long Duration Fund AVERAGE ANNUAL TOTAL RETURN(1)
Annualized Annualized One Year 3 Year Inception Return Return to Date -------- ---------- ---------- Long Duration Fund, Class A (4.52)% (1.16)% 2.19%
Comparison of Change in the Value of a $100,000 Investment in the Long Duration Fund, Class A, versus the Lehman Long U.S. Treasury Index and the Lehman 15 Year Bellweather Swap Index(2) (PERFORMANCE GRAPH)
Long Duration Lehman 15 Year Bond Fund, Lehman Long U.S. Bellweather Class A Treasury Index Swap Index (2) ------------- ---------------- --------------- 4/21/04 $100,000 $100,000 $100,000 5/31/04 98,218 99,012 98,446 5/31/05 113,206 114,983 114,119 5/31/06 106,323 108,510 106,381 5/31/07 114,478 116,854 114,466 5/31/08 109,304 128,341 128,523
(1) For the period ended May 31, 2008. Past performance is not an indication of future performance. Class A shares were offered beginning 4/21/04. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. (2) The Lehman 15 Year Bellweather Swap Index is the most appropriate measure of the Fund's performance. 20 SEI Institutional Investments Trust / Annual Report / May 31, 2008 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2008 Extended Duration Fund Objective The Extended Duration Fund (the "Fund") seeks to duplicate return characteristics similar to those of high-quality corporate bonds, with a duration range of 23-26 years. Strategy The Fund's investment strategy is designed to aid investors, especially corporate pension plans, with asset/liability management in order to reduce funding status volatility caused by changes in interest rates. The Fund seeks to duplicate the risk and return characteristics of a long fixed income securities portfolio (approximate duration of 23-26 years) by using cash bonds and derivative securities, including interest rate swap agreements and Treasury futures contracts, for the purpose of managing the overall duration of the Fund. Additionally, the Fund will invest in other fixed income securities, including U.S. Agency, corporate and structured securities, to produce incremental return. Due to the long duration or interest rate sensitivity of the Fund, the Fund may experience large positive and negative absolute returns depending on the change in interest rates. Analysis The Fund returned 8.33% for the fiscal year ended May 31, 2008, compared to 20.63% for the benchmark (2 times the Lehman 20 Year Bellweather Swap Index minus the Lehman 3 Month Bellweather Swap Index). The fixed income markets experienced turbulent conditions during the period as escalating delinquencies and defaults on sub-prime mortgages triggered a flight to safety into U.S. Treasury obligations. As economic momentum slowed and the risk of recession grew, the Federal Reserve (the "Fed") lowered the benchmark Fed Funds rate to 2.00% in late April from 5.25% in August. The two-year Treasury yield fell from almost 5.00% to roughly 2.65% at the end of May. Ten-year Treasury yields fell 83 basis points to 4.06% as the yield curve steepened. The anticipation of increased losses in mortgage-backed and asset-backed securities led to massive write downs on the balance sheets of some of the world's premier financial institutions including Citigroup, UBS, Merrill Lynch, Wachovia Bank and Lehman Brothers. The fixed income markets became dysfunctional as the leading institutions ceased to provide liquidity even to some of the highest quality sectors of the market. The crisis came to a boiling point in mid-March when the government engineered a bailout of Bear Stearns, which was subsequently acquired by JPMorgan Chase. In unprecedented action, the Fed put in place several new liquidity facilities for the dealer community including the allowance of investment banks to borrow from the Fed's discount window, a right historically limited to commercial banks. The non-Treasury sectors of the market lagged the powerful rally in Treasury securities leading to significant underperformance in these sectors. Asset-backed securities underperformed similar duration Treasuries by 10.43% for the period, while investment grade corporates underperformed by 7.21% and agency mortgages underperformed by 1.37%. High yield bonds and senior bank loans also underperformed as investors began to anticipate higher levels of default in these sectors. The Fund generated favorable absolute return, primarily a result of the significant decline in longer term interest rates. However, the Fund underperformed its benchmark. The primary source of the underperformance came from the portfolio's significant allocation to mortgage-backed and asset-backed securities, which were the worst performing sectors of the fixed income market during the period. While these holdings were primarily AAA-rated bonds in senior positions of the capital structure, pricing in all sectors of the mortgage market, particularly the non-agency sectors, suffered as liquidity deteriorated. The Fund's corporate allocation also detracted from performance as yield spreads widened in this sector due to poor liquidity and increased concerns about economic strength and corporate profitability. SEI Institutional Investments Trust / Annual Report / May 31, 2008 21 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2008 Extended Duration Fund (concluded) Extended Duration Fund AVERAGE ANNUAL TOTAL RETURN(1)
Annualized Annualized One Year 3 Year Inception Return Return to Date -------- ---------- ---------- Extended Duration Fund, Class A 8.33% (1.35)% 5.63%
Comparison of Change in the Value of a $100,000 Investment in the Extended Duration Fund, Class A, versus Lehman 20 Year U.S. Treasury Strip Index, the Hybrid ((2 X A)-B) of the following two indexes, the Lehman 20 Year Bellweather Swap Index (A) and the Lehman 3 Month Bellweather Swap Index (B) (PERFORMANCE GRAPH)
Extended Lehman 20 Year Hybrid ((2xA)-B) Lehman 20 Year Lehman 3 Month Duration Fund, U.S. Treasury of the following Bellweather Bellweather Class A Strip Index two Indexes (2) Swap Index Swap Index -------------- -------------- ---------------- -------------- -------------- 4/21/04 $100,000 $100,000 $100,000 $100,000 $100,000 5/31/04 96,117 99,061 96,963 98,535 100,120 5/31/05 130,469 133,664 132,946 117,001 102,162 5/31/06 105,366 117,798 106,530 107,372 106,341 5/31/07 115,619 129,872 116,884 115,768 112,094 5/31/08 125,250 141,482 140,998 130,633 117,430
(1) For the period ended May 31, 2008. Past performance is not an indication of future performance. Class A shares were offered beginning 4/21/04. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. (2) The Hybrid (2 X Lehman 20 Year Bellweather Swap Index)-Lehman 3 Month Bellweather Swap Index is the most appropriate measure of the Fund's performance. 22 SEI Institutional Investments Trust / Annual Report / May 31, 2008 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2008 Emerging Markets Debt Fund Objective The Emerging Markets Debt Fund (the "Fund") seeks to maximize total return. Strategy Under normal circumstances, the Fund will invest at least 80% of its net assets in fixed income securities of emerging market issuers. The Fund will invest primarily in U.S.-dollar-denominated debt securities of government, government-related and corporate issuers in emerging market countries, as well as entities organized to restructure the outstanding debt of such issuers. The Fund uses a multi-manager approach, relying upon a number of sub-advisers with differing investment philosophies to manage portions of the Fund's portfolio under the general supervision of SEI Investments Management Corporation (SIMC). The sub-advisers will spread the Fund's holdings across a number of countries and industries to limit its exposure to a single emerging market economy. There are no restrictions on the Fund's average portfolio maturity, or on the maturity of any specific security. There is no minimum rating standard for the Fund's securities and the Fund's securities will generally be in the lower or lowest rating categories (including those below investment grade, commonly referred to as junk bonds). Analysis The Fund underperformed its benchmark during the fiscal year ended May 31, 2008, returning 3.24% vs. 4.98% for its benchmark, the JPMorgan EMBI Global Diversified Index. In the second half of 2007, The Fund avoided the difficulties experienced in other risk assets as it demonstrated strong growth and portrayed its resilience in the face of global financial market turbulence and fears of a U.S. recession. More bad credit news continued to flood the market at the start of 2008 yet the biggest threat to global markets was inflation and an increase in inflationary pressures. Central banks have been challenged, and began using various measures of capital controls to help fight the problem. The main contributors to rising inflation have been greater domestic demand in emerging markets, especially China. With demand coming from within the asset class and not developing nations, the asset class became less correlated with U.S. and global equities and as a result provided itself some cushion from the financial shock. Credit rating agencies have noted improvements to fiscal indicators and have continued to reward with upgrades, two of which included Peru and Brazil, to investment grade status. As a result, the benchmark is now more than 50% investment grade, which has been expected for 2008, and countries such as Panama and Colombia have the potential to see the same results later in the year or early 2009. Other upgrades during the period included Ecuador, Indonesia, Mexico, Chile, and Turkey while Pakistan and Lebanon saw downgrades. The Fund spreads over U.S. Treasuries widened 104 basis point to end at 270 basis points with the market yield ending the period at 6.95%. Most of the widening in spreads was due to the rally in U.S. Treasuries as the Federal Reserve cut rates significantly to bail out financials. Technicals remain positive and capital continues to flow into the asset class, though at a slower pace than expected. Fundamentals remain supportive with higher commodity prices, strong export growth, and rising domestic demand. Oil continues to support the producing nations, yet has stunned the importers as prices have soared. Fiscal statistics have seen an improvement as Peru reduced their Debt/GDP ratio and bought back short term debt, while the Venezuelan government has hinted at doing the same. Foreign currency reserves are increasing in many countries, particularly in Asia, and current account surpluses are more abundant than deficits. Both reserves and surpluses along with a weakening dollar reflect the appreciation seen in local market currencies, which have outperformed many developed currencies. Also lending support to their gains is the expected rate hikes that have been priced in because of significant inflationary pressures. In addition to the improving fundamentals, the focus remains on inflation and politics, both positive and negative. Turkey and Argentina welcomed new governments with positive sentiment, but both situations have turned negative in 2008. Turkey's ruling Party for Justice and Progress (the "AKP")is in jeopardy of being barred because of an amendment compromising its secular state, while Argentina's policies and reforms are not getting the attention the market had hoped. Pakistan's power struggle between opposition parties made global headlines, further increasing risk in the region, but rising inflation has become a larger problem after reaching 20%. Malaysia has entered an election season that has seen some tension as the ruling party dropped significantly in the polls. Medvedev replaced Putin as the "leader" in Russia and the economy continues to grow at a fast pace relative to the rest of the world. Inflation, however, is near 15% and a growing concern. Iraq has been one of the best performing credits in the last year as violence has decreased in the region and the country is making an effort to find debt relief. The Fund's overweight to Argentina was the largest detractor, as various events significantly impacted performance. The election of Cristina Kirchner appeared to be positive as the market expected her to settle disputes with international creditors and her new cabinet was expected to undertake significant policy changes. Unfortunately, continued manipulation of inflation data, cabinet resignations and most SEI Institutional Investments Trust / Annual Report / May 31, 2008 23 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2008 Emerging Markets Debt Fund (concluded) recently the government's clash with local farmers over export taxes proved damaging to the country's outlook. Also hurting fund performance was an underweight to Lebanon where bonds returned 10.3% over the year. Fund managers remain underweight because yields remain relatively unattractive and the downside risks to the credit are greater given the country's geographic location and political instability. The latter was proven wrong this year as tensions between the Pro-West and Pro-Syrian governments were kept in check and the country's bonds benefited. The Fund's selection in Turkey was the largest contributor to Fund relative performance. The Turkish component of the index returned 5.19% while the Fund's Turkish holdings gained 9.23% largely due to local Lira-denominated assets. The country experienced a smooth Presidential transition in the third quarter of 2007 and growth appeared to be strong as the Central Bank began cutting rates on better inflation results. Also adding to its attractiveness is its high real-interest rates relative to the rest of the Fund. An underweight to Pakistan was a positive as the country lost over 11% when President Musharraf issued a state of emergency following a power struggle and the realization that his position as President could be coming to an end. Postponed elections led to more violence, and the assassination of former Prime Minister Benazir Bhutto created more uncertainty in the region. Emerging Markets Debt Fund AVERAGE ANNUAL TOTAL RETURN(1)
Annualized One Year Inception Return to Date -------- ---------- Emerging Markets Debt Fund, Class A 3.24% 8.47%
Comparison of Change in the Value of a $100,000 Investment in the Emerging Markets Debt Fund, Class A, versus the JPMorgan EMBI Global Diversified Index (PERFORMANCE GRAPH)
Emerging Markets JPMorgan EMBI Debt Fund Fund, Global Diversified Class A Index ---------------- ------------------ 12/5/05 $100,000 $100,000 5/31/06 101,002 101,468 5/31/07 118,576 114,801 5/31/08 122,418 120,518
(1) For the period ended May 31, 2008. Past performance is not an indication of future performance. Class A shares were offered beginning 12/05/05. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. 24 SEI Institutional Investments Trust / Annual Report / May 31, 2008 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2008 Real Return Plus Fund Objective The Real Return Plus Fund (the "Fund") seeks to maximize total return relative to the Lehman 1-10 year U.S. Treasury Inflation Notes Index via overlay investment in Global Tactical Asset Allocation (GTAA) managers. Strategy The Fund's strategy is to provide a passive implementation of the Lehman 1-10 Year U.S. Treasury Inflation Notes Index and then seek active management performance through GTAA management. GTAA investment strategies involve directional bets in the relative performance of equity markets, bond markets and currencies among various countries, both developed and emerging. Risk in the strategy is controlled at three levels. First, each manager diversifies within their individual strategy to provide risk control. Second, the manager selection process enhances diversification through the selection of managers with different styles. Third, the GTAA component of the strategy itself is sized to provide long-term GTAA alpha while preserving the inflation beta of Treasury Inflation Protection Securities ("TIPS"). Analysis The Lehman 1-10 Year U.S. Treasury Inflation Notes Index increased 13.43% for the fiscal year ended May 31, 2008 as both a flight to safety in equity and credit related markets and inflation fears conspired to make TIPS a safe haven for investors. In general, GTAA managers exhibited solid performance in bond country selection in 2007 as the inflationary focus in Euroland vs. the recessionary focus in the U.S. made for easy trading. However, the reliability of this bet deteriorated in the first half of 2008. Equity market stocks during the year, especially in emerging countries, led to mixed results in equity related country selection. Currency selection was extremely volatile in the past year as the resurgence of market volatility forced strong swings in carry trade related activities. The outlook for GTAA in general for the coming year is one of both enhanced opportunity and volatility. The Fund trailed its benchmark by 13 basis points with a return of 13.30% for the fiscal year ended May 31, 2008. The Fund's benchmark, the Lehman 1-10 Year U.S. Treasury Inflation Notes Index, returned 13.43% for the same period. Hong Kong returns drove equity market performance over the past 12 months where strong gains in the second half of last year unwound in strong retracements during January, March and June of 2008. Bets between U.S. and Euroland inflationary expectations created steady returns in 2007, but became choppy in the second quarter of 2008. Japanese carry trade related activity presented a significant source of volatility in 2007. This volatility abated somewhat in the second quarter of 2008, with Japanese Yen, Australian and Singapore dollars posting accretive returns for the strategy. Real Return Plus Fund AVERAGE ANNUAL TOTAL RETURN(1)
Since One Year Inception Return to Date -------- --------- Real Return Plus Fund, Class A 13.30% 10.61%
Comparison of Change in the Value of a $100,000 Investment in the Real Return Plus Fund, Class A, versus the Lehman 1-10 Year U.S. Treasury Inflation Notes Index (PERFORMANCE GRAPH)
Real Return Lehman 1-10 Year Plus Fund, U.S. Treasury Class A Inflation Notes Index ----------- --------------------- 12/14/06 $100,000 $100,000 5/31/07 102,298 101,220 5/31/08 115,904 114,815
(1) For the period ended May 31, 2008. Past performance is not an indication of future performance. Class A shares were offered beginning 12/14/06. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. SEI Institutional Investments Trust / Annual Report / May 31, 2008 25 SCHEDULE OF INVESTMENTS Large Cap Fund May 31, 2008 SECTOR WEIGHTINGS (UNAUDITED)++: (BAR CHART) Information Technology 17.2% Financials 13.5% Energy 12.5% Health Care 11.1% Industrials 8.8% Consumer Discretionary 8.1% Consumer Staples 8.0% Affiliated Partnership 6.6% Telecommunication Services 3.9% Short-Term Investments 3.9% Materials 3.1% Utilities 2.8% U.S. Treasury Obligations 0.5%
++ Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 9).
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- COMMON STOCK -- 95.2% CONSUMER DISCRETIONARY -- 8.7% Abercrombie & Fitch, Cl A 2,600 $ 189 Amazon.com* (A) 9,360 764 American Eagle Outfitters 3,200 58 AnnTaylor Stores* 500 14 Apollo Group, Cl A* (A) 7,250 346 Autoliv 6,600 361 Autozone* 187 24 Barnes & Noble (A) 4,300 131 Bed Bath & Beyond* 400 13 Best Buy 2,100 98 Big Lots* 300 9 Black & Decker 400 26 BorgWarner 4,400 228 Boyd Gaming (A) 2,700 43 Brunswick (A) 4,600 63 Cablevision Systems, Cl A* 5,326 144 California Pizza Kitchen* (A) 1,500 21 Career Education* 500 9 Carnival 300 12 CBS, Cl B 29,522 637 Centex 4,100 77 Central European Media Enterprises, Cl A* 200 21 Charlotte Russe Holding* 2,500 47 Christopher & Banks (A) 7,200 81 Clear Channel Communications 1,425 50 Coach* 17,600 639 Comcast, Cl A (A) 28,567 643 Cooper Tire & Rubber 2,700 30 CROCS* (A) 1,100 11 Deckers Outdoor* 400 55 Dick's Sporting Goods* 3,700 86 DIRECTV Group* 30,900 868 Discovery Holding, Cl A* 8,100 212 Dollar Tree* 100 4 DR Horton 1,800 23 Dress Barn* 3,100 48 E.W. Scripps, Cl A 1,200 57 Eastman Kodak (A) 13,200 202
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Expedia* 5,500 $ 133 Family Dollar Stores 7,100 152 Ford Motor* (A) 10,100 69 Fortune Brands 10,858 753 GameStop, Cl A* 4,700 233 Gannett 11,400 328 Gap 18,300 334 Garmin (A) 1,500 73 General Motors (A) 13,161 225 Gentex 400 7 Genuine Parts 1,358 60 Goodyear Tire & Rubber* 3,600 91 Guess? 1,600 65 Gymboree* 4,700 217 H&R Block 2,800 65 Hanesbrands* 4,100 135 Harley-Davidson 2,500 104 Hasbro 14,100 511 Hillenbrand 500 11 Home Depot 21,700 594 IAC* 10,000 226 Idearc (A) 1,583 6 International Game Technology 28,400 1,013 International Speedway, Cl A 1,800 80 ITT Educational Services* 900 65 Jack in the Box* 6,600 162 Jarden* 800 15 John Wiley & Sons, Cl A 1,400 66 Johnson Controls 13,816 470 Jones Apparel Group 14,000 235 KB Home (A) 4,900 100 Kohl's* 194 9 Las Vegas Sands* 600 42 Liberty Global, Cl A* (A) 13,674 490 Liberty Media-Capital, Ser A* 4,500 67 Liberty Media-Entertainment* 10,800 292 Limited Brands 3,300 64 Lowe's 47,050 1,129 Macy's 14,100 334 Magna International, Cl A 1,800 129 Mattel 7,800 157 McDonald's 36,145 2,144 McGraw-Hill 22,986 954 MDC Holdings 900 37 MGM Mirage* 27,200 1,339 Mohawk Industries* 100 8 Newell Rubbermaid 11,584 233 News, Cl A 20,039 360 Nike, Cl B (A) 11,730 803 NVR* (A) 300 170 Omnicom Group 1,460 72 Orient-Express Hotels, Cl A 200 9 Penn National Gaming* 2,100 97 Pulte Homes (A) 8,400 103
26 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Regal Entertainment Group, Cl A 600 $ 11 Rent-A-Center, Cl A* 6,400 134 Royal Caribbean Cruises 400 12 Saks* (A) 1,800 25 Service International 6,900 74 Shaw Communications, Cl B 11,800 244 Sherwin-Williams (A) 3,525 198 Snap-On 117 7 Staples (A) 65,500 1,535 Target 24,704 1,317 Tiffany 1,100 54 Tim Hortons 895 30 Time Warner 79,479 1,262 Time Warner Cable, Cl A* 200 6 TJX 4,300 138 Toll Brothers* 3,700 78 Urban Outfitters* 6,200 200 VF 3,559 269 Viacom, Cl B* 23,068 826 WABCO Holdings 200 10 Walt Disney 30,942 1,040 Washington Post, Cl B 100 63 Weight Watchers International 26,400 1,105 Whirlpool 1,300 96 Williams-Sonoma 400 10 Wyndham Worldwide 2,800 61 Wynn Resorts 600 60 XM Satellite Radio Holdings, Cl A* 2,300 24 Yum! Brands (A) 14,154 562 ------------- 31,435 ------------- CONSUMER STAPLES -- 8.5% Alberto-Culver, Cl B 900 24 Altria Group 16,811 374 Anheuser-Busch 3,679 211 Archer-Daniels-Midland 12,200 484 Avon Products 2,900 113 Bare Escentuals* (A) 7,300 147 BJ's Wholesale Club* 700 28 Brown-Forman, Cl B 2,400 180 Bunge (A) 3,400 406 Church & Dwight 700 40 Clorox 2,400 137 Coca-Cola 52,101 2,983 Coca-Cola Enterprises 21,900 441 Colgate-Palmolive 11,026 820 ConAgra Foods 19,300 455 Constellation Brands, Cl A* 5,700 122 Corn Products International 900 42 Costco Wholesale (A) 13,900 991 CVS 33,567 1,436 Dean Foods* 233 5 Del Monte Foods 9,500 83
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Energizer Holdings* 2,200 $ 179 Estee Lauder, Cl A 200 10 General Mills 8,746 554 Hansen Natural* (A) 800 25 Herbalife 400 15 HJ Heinz 4,007 200 Hormel Foods 5,600 212 JM Smucker* 1,500 79 Kellogg 7,382 382 Kimberly-Clark 12,154 775 Kraft Foods, Cl A 16,544 537 Kroger 49,422 1,366 Loews - Carolina 3,059 222 McCormick 381 14 Molson Coors Brewing, Cl B 1,400 81 Nu Skin Enterprises, Cl A 4,800 82 Pepsi Bottling Group 9,600 311 PepsiAmericas 8,300 202 PepsiCo 46,597 3,184 Philip Morris International* 15,511 817 Prestige Brands Holdings* 2,000 22 Procter & Gamble 84,034 5,551 Reynolds American 10,360 569 Safeway 20,976 669 Sara Lee 25,100 346 Smithfield Foods* 1,600 50 Supervalu 12,681 445 Sysco 6,124 189 Tyson Foods, Cl A 12,900 243 UST 500 28 Walgreen 35,400 1,275 Wal-Mart Stores 37,812 2,182 Whole Foods Market (A) 4,400 128 WM Wrigley Jr. 4,600 355 ------------- 30,821 ------------- ENERGY -- 13.5% Anadarko Petroleum 3,600 270 Apache 5,704 765 Arch Coal 600 39 Baker Hughes 1,001 89 Cameron International* (A) 19,158 1,020 Chesapeake Energy 34,150 1,870 Chevron 60,182 5,967 Cimarex Energy 5,400 368 ConocoPhillips 52,527 4,890 Consol Energy 900 88 Denbury Resources* 3,100 105 Devon Energy 12,490 1,448 Diamond Offshore Drilling 200 27 Dresser-Rand Group* 1,000 40 EOG Resources 13,330 1,715 Exxon Mobil 124,187 11,024
SEI Institutional Investments Trust / Annual Report / May 31, 2008 27 SCHEDULE OF INVESTMENTS Large Cap Fund (Continued) May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- FMC Technologies* 7,300 $ 525 Forest Oil* 900 60 Foundation Coal Holdings 200 13 Frontier Oil 2,800 84 Frontline (A) 500 32 Global Industries* 1,000 17 Halliburton 38,620 1,877 Helmerich & Payne 300 19 Hess 12,413 1,524 Holly 4,800 204 Marathon Oil 31,788 1,634 Massey Energy 800 52 Murphy Oil 4,000 371 National Oilwell Varco* 2,244 187 Newfield Exploration* 700 44 Noble 1,400 88 Noble Energy 2,074 202 Occidental Petroleum 22,400 2,059 Oceaneering International* 1,100 78 Overseas Shipholding Group 500 40 Patterson-UTI Energy (A) 6,000 189 Peabody Energy 200 15 Petro-Canada 4,800 277 Quicksilver Resources* 500 18 Range Resources 500 33 Schlumberger 31,526 3,189 Smith International 1,600 126 Southwestern Energy* 10,000 443 Suncor Energy 25,904 1,771 Sunoco 13,700 609 Superior Energy Services* 200 11 Teekay 200 10 Tesoro 4,400 109 Tidewater 1,100 75 Transocean 1,380 207 Valero Energy 11,300 574 W&T Offshore 2,800 156 Weatherford International* (A) 35,820 1,634 Williams 13,100 498 XTO Energy 987 63 ------------- 48,842 ------------- FINANCIALS -- 14.4% ACE 8,030 482 Aflac 3,840 258 Alleghany* 106 40 Allied Capital (A) 1,367 27 Allied World Assurance Holdings 1,700 78 Allstate 23,999 1,223 AMB Property++ 800 47 American Express 6,997 324 American Financial Group 14,100 420 American International Group (A) 52,220 1,881 Ameriprise Financial 6,458 305
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Annaly Capital Management++ 22,400 $ 399 Anthracite Capital++ (A) 194 2 AON 4,561 215 Apollo Investments* (A) 400 7 Arch Capital Group* 2,700 190 Aspen Insurance Holdings 2,300 59 Assurant 7,707 524 Astoria Financial 3,215 77 Axis Capital Holdings 13,400 470 Bancorpsouth 2,700 64 Bank of America 130,509 4,440 Bank of Hawaii 900 49 Bank of New York Mellon 7,886 351 BB&T (A) 12,334 388 BlackRock, Cl A 300 67 Brandywine Realty Trust++ 6,300 118 Camden Property Trust++ 600 30 Capital One Financial 9,000 433 CB Richard Ellis Group, Cl A* 7,000 157 CBL & Associates Properties++ (A) 9,900 260 Central Pacific Financial (A) 15,200 227 Charles Schwab 84,495 1,875 Chubb 21,172 1,138 Cincinnati Financial 900 32 CIT Group (A) 7,700 77 Citigroup 111,747 2,446 CME Group, Cl A 6,589 2,835 Colonial BancGroup (A) 3,800 23 Comerica (A) 12,991 483 Commerce Bancshares 1,300 57 Countrywide Financial (A) 5,100 27 Credicorp 300 25 Cullen/Frost Bankers 1,700 95 Discover Financial Services (A) 35,403 608 Douglas Emmett++ 1,200 29 Eaton Vance 2,000 85 Endurance Specialty Holdings (A) 10,000 337 Equity Residential++ 400 17 Erie Indemnity, Cl A 200 10 Essex Property Trust++ 200 24 Everest Re Group 3,300 289 Fannie Mae 15,814 427 Federated Investors, Cl B 5,400 199 Fidelity National Financial, Cl A 3,200 55 Fifth Third Bancorp 16,356 306 Forest City Enterprises, Cl A 152 6 Franklin Resources 5,859 593 Freddie Mac 11,500 292 Fulton Financial 5,600 71 Genworth Financial, Cl A 3,400 75 Goldman Sachs Group 6,764 1,194 Hartford Financial Services Group 9,079 645 HCC Insurance Holdings 500 12 HCP++ 1,000 34
28 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Health Care++ 600 $ 29 Hercules Technology Growth Capital (A) 1,000 10 Hospitality Properties Trust++ 6,800 211 Host Hotels & Resorts++ 4,400 76 Hudson City Bancorp 32,900 585 Huntington Bancshares 7,700 69 IndyMac Bancorp (A) 5,100 10 IntercontinentalExchange* 14,900 2,059 Invesco 500 14 Investment Technology Group* 300 13 iStar Financial++ (A) 8,300 159 Janus Capital Group (A) 2,500 73 Jefferies Group 1,400 25 Jones Lang LaSalle (A) 3,600 254 JPMorgan Chase 84,005 3,612 Keycorp 16,518 322 Lehman Brothers Holdings (A) 4,899 180 Leucadia National (A) 5,100 277 Lincoln National 3,700 204 Loews 9,047 448 M&T Bank 600 52 Mack-Cali Realty++ 600 23 Markel* 129 52 Marsh & McLennan 3,425 93 Marshall & Ilsley 1,600 37 MBIA (A) 2,800 19 MCG Capital 1,600 9 Merrill Lynch 13,786 605 MetLife 9,490 570 MF Global* 2,000 29 MGIC Investment (A) 4,900 59 Montpelier Re Holdings (A) 8,300 139 Moody's (A) 2,100 78 Morgan Stanley 20,703 917 MSCI, Cl A* 5,100 181 NASDAQ Stock Market* 1,800 63 National City (A) 6,209 36 Nationwide Financial Services 5,400 276 New York Community Bancorp (A) 7,500 154 Northern Trust 2,165 165 NYSE Euronext 1,500 96 Old Republic International 8,000 120 Oriental Financial Group 4,500 82 Parkway Properties++ 3,900 148 PartnerRe 2,600 192 Penson Worldwide* 4,200 56 People's United Financial 800 13 Platinum Underwriters Holdings 4,900 174 Plum Creek Timber++ 1,000 47 PNC Financial Services Group 3,756 241 Principal Financial Group 900 48 Progressive 10,000 201 Prologis++ 400 25
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Prospect Capital 7,500 $ 108 Prudential Financial 8,291 619 Public Storage++ 200 18 Raymond James Financial 3,100 92 Rayonier++ 700 33 Regions Financial (A) 56,562 1,008 RenaissanceRe Holdings 2,000 104 Resource Capital++ (A) 4,200 38 Safeco 8,062 540 SeaBright Insurance Holdings* 5,300 81 Simon Property Group++ 100 10 SLM* 1,300 29 State Street 200 14 SunTrust Banks 10,256 535 T. Rowe Price Group 4,132 239 Taubman Centers++ 200 11 TCF Financial 2,200 36 TD Ameritrade Holding* 8,000 145 Thomas Properties Group 600 6 Torchmark 4,045 256 Travelers 32,201 1,604 UnionBanCal 3,900 195 Unitrin 600 21 Unum Group (A) 8,950 216 US Bancorp 25,508 847 Valley National Bancorp (A) 735 13 Ventas++ 1,600 76 Wachovia (A) 53,189 1,266 Washington Federal 3,200 72 Washington Mutual (A) 24,831 224 Wells Fargo (A) 52,246 1,440 Whitney Holding (A) 2,200 50 Wilmington Trust 600 20 WR Berkley 5,700 154 XL Capital, Cl A 3,200 112 Zions Bancorporation (A) 4,900 211 ------------- 52,106 ------------- HEALTH CARE -- 11.9% Abbott Laboratories 29,808 1,680 Aetna 3,500 165 Alcon 1,408 221 Allergan 47,674 2,747 AmerisourceBergen 7,700 318 Amgen* 16,900 744 Amylin Pharmaceuticals* (A) 15,830 503 Analogic 1,100 74 Angiodynamics* 700 11 Applera - Applied Biosystems Group 2,900 101 Baxter International 19,934 1,218 Beckman Coulter 200 14 Becton Dickinson 6,347 536 Biogen Idec* 4,000 251
SEI Institutional Investments Trust / Annual Report / May 31, 2008 29 SCHEDULE OF INVESTMENTS Large Cap Fund (Continued) May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Bristol-Myers Squibb 13,313 $ 303 C.R. Bard 400 36 Cardinal Health 6,684 378 Celgene* 3,876 236 Charles River Laboratories International* 1,100 71 Cigna 15,144 614 Cooper 300 12 Covance* 2,300 188 Coventry Health Care* 500 23 Covidien 600 30 Cubist Pharmaceuticals* 500 10 DaVita* 200 10 Dentsply International 5,100 207 Dionex* 1,000 73 Edwards Lifesciences* 200 12 Eli Lilly 21,204 1,021 Endo Pharmaceuticals Holdings* 1,000 25 Express Scripts* (A) 7,900 570 Forest Laboratories* 3,700 133 Genentech* 42,090 2,983 Gen-Probe* 1,300 74 Genzyme* 1,200 82 Gilead Sciences* 36,518 2,020 Health Net* 500 16 Henry Schein* 1,900 106 Hill-Rom Holdings (A) 500 15 HLTH* (A) 4,100 48 Hospira* 300 13 Humana* 600 31 Idexx Laboratories* 5,800 293 ImClone Systems* 1,200 52 IMS Health 600 15 Intuitive Surgical* 1,500 440 Invitrogen* 3,200 147 Johnson & Johnson 63,304 4,225 Kinetic Concepts* 1,900 83 King Pharmaceuticals* 32,500 333 Laboratory Corp of America Holdings* 352 26 LifePoint Hospitals* 500 16 Martek Biosciences* (A) 800 30 McKesson 1,717 99 Medco Health Solutions* 12,046 583 Medicines* 1,600 29 Medtronic 13,271 672 Merck 57,074 2,224 Merit Medical Systems* 900 14 Omnicare 800 20 OSI Pharmaceuticals* (A) 2,600 92 Patterson* 1,300 44 Pediatrix Medical Group* 900 48 PerkinElmer 1,600 45 Pfizer 229,379 4,441
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Pharmaceutical Product Development 1,700 $ 75 Quest Diagnostics 4,500 227 Schering-Plough 99,768 2,035 St. Jude Medical* 24,130 983 STERIS 1,300 39 Stryker 23,891 1,543 Techne* 200 16 Teva Pharmaceutical Industries ADR 18,720 856 Thermo Fisher Scientific* 20,073 1,184 UnitedHealth Group 62,807 2,148 Universal Health Services, Cl B 300 20 Varian Medical Systems* 300 14 VCA Antech* 2,058 65 Vertex Pharmaceuticals* 1,000 29 Warner Chilcott, Cl A* 15,800 275 Waters* 400 25 Watson Pharmaceuticals* 900 26 WellPoint* 5,460 305 Wyeth 22,760 1,012 Zimmer Holdings* 930 68 ------------- 42,839 ------------- INDUSTRIALS -- 9.4% 3M 4,798 372 AAON 900 19 Acuity Brands 1,400 75 AGCO* 900 54 Alliant Techsystems* 1,100 119 Allied Waste Industries* 400 5 Ametek 2,000 103 Avis Budget Group* 4,760 66 BE Aerospace* 400 14 Boeing 6,780 561 C.H. Robinson Worldwide 387 25 Carlisle 900 30 Caterpillar 5,000 413 Columbus McKinnon* 1,400 40 Continental Airlines, Cl A* 2,100 30 Con-way 500 24 Cooper Industries, Cl A 900 42 Copart* 1,500 68 Corporate Executive Board 1,200 54 Corrections of America* 2,000 52 Crane 3,200 146 CSX 9,190 635 Cummins 12,900 908 Danaher 6,140 480 Deere 5,660 460 Delta Air Lines* (A) 5,100 31 Donaldson 800 41 Dover 2,900 157 Dun & Bradstreet 207 19 Eaton 5,391 521
30 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Emerson Electric 30,164 $ 1,754 Equifax 400 15 Expeditors International Washington (A) 31,700 1,492 Fastenal 2,200 109 First Solar* 600 161 Flowserve 1,000 139 Fluor 9,800 1,829 Foster Wheeler* 1,500 114 General Cable* 200 14 General Dynamics 2,886 266 General Electric 244,787 7,520 Goodrich 2,900 188 Harsco 1,700 108 Hertz Global Holdings* 2,500 33 Honeywell International 17,718 1,056 Hubbell, Cl B 1,600 75 IDEX 600 23 Illinois Tool Works 8,500 456 Ingersoll-Rand, Cl A 15,161 668 ITT 360 24 Jacobs Engineering Group* 1,800 171 JB Hunt Transport Services 700 24 Kennametal 1,000 39 Kirby* 600 33 L-3 Communications Holdings 2,600 279 Lincoln Electric Holdings 400 33 Lockheed Martin 10,385 1,137 Manitowoc 1,200 47 Manpower 400 25 Masco 12,600 234 McDermott International* 1,200 74 Norfolk Southern 10,500 708 Northrop Grumman 18,975 1,432 Northwest Airlines* 4,700 33 Oshkosh Truck 200 8 Owens Corning* 900 23 Paccar 1,214 65 Pall 400 16 Parker Hannifin 11,500 975 Pentair 1,100 41 PeopleSupport* 4,900 45 Precision Castparts 4,855 586 Quanta Services* (A) 2,000 64 Raytheon 8,888 568 Republic Services, Cl A 4,000 132 Rockwell Automation 600 35 Rockwell Collins 132 8 Roper Industries 952 62 RR Donnelley & Sons 1,100 36 Ryder System 2,500 184 Shaw Group* 400 24 Southwest Airlines 1,000 13 Spirit Aerosystems Holdings, Cl A* 2,500 75
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- SPX 1,129 $ 150 Stericycle* 2,902 169 Teleflex 300 18 Terex* 1,300 93 Textron 4,300 269 Timken 900 33 Toro 700 27 Trane 300 14 Tyco International 13,100 592 UAL 1,000 9 Union Pacific 3,162 260 United Parcel Service, Cl B 20,300 1,442 United Rentals* 1,500 31 United Technologies 21,079 1,498 URS* 2,200 105 Waste Management 5,900 224 WESCO International* 3,600 159 WW Grainger 200 18 ------------- 33,948 ------------- INFORMATION TECHNOLOGY -- 18.4% Accenture, Cl A 13,000 531 Activision* 23,480 792 ADC Telecommunications* 1,800 28 Adobe Systems* 10,300 454 Advanced Micro Devices* (A) 5,900 41 Agilent Technologies* 6,200 232 Alliance Data Systems* 700 42 Altera 900 21 Amdocs* 800 26 Amkor Technology* 2,100 22 Amphenol, Cl A 1,200 56 Analog Devices 11,000 386 Apple* 27,217 5,136 Applied Materials 8,940 177 Arrow Electronics* 3,985 122 Autodesk* 800 33 Automatic Data Processing 6,146 265 Avnet* 5,800 171 Avocent* 2,700 53 BMC Software* 300 12 Broadcom, Cl A* 17,700 508 Broadridge Financial Solutions 1,500 34 Brocade Communications Systems* 2,200 18 Cadence Design Systems* (A) 10,896 127 Check Point Software Technologies* 6,600 164 Ciena* (A) 12,600 385 Cisco Systems* 81,420 2,176 Citrix Systems* 2,000 68 CMGI* 1,000 15 CommScope* 1,400 77 Computer Sciences* 5,500 270 Compuware* 8,600 88
SEI Institutional Investments Trust / Annual Report / May 31, 2008 31 SCHEDULE OF INVESTMENTS Large Cap Fund (Continued) May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Corning 2,500 $ 68 Cree* (A) 2,200 56 Cypress Semiconductor* 700 20 Dell* 52,060 1,201 DST Systems* (A) 722 46 eBay* 57,900 1,738 Electronic Arts* 36,726 1,843 EMC* (A) 9,500 166 Factset Research Systems (A) 2,100 136 Fidelity National Information Services 951 38 Fiserv* 400 21 Flextronics International* 8,300 89 Global Payments 600 28 Google, Cl A* 10,005 5,860 Harris 300 20 Hewitt Associates, Cl A* 8,000 313 Hewlett-Packard 55,960 2,632 Ingram Micro, Cl A* 3,300 60 Integral Systems 1,100 44 Integrated Device Technology* 7,600 86 Intel 67,786 1,570 International Business Machines 17,676 2,288 Intersil, Cl A 2,100 59 Intuit* 54,700 1,584 Iron Mountain* 2,300 69 Juniper Networks* (A) 33,600 925 Kla-Tencor 200 9 Linear Technology (A) 18,017 662 Macrovision Solutions* 8 -- Mastercard, Cl A (A) 8,700 2,686 MAXIMUS 300 11 McAfee* 3,800 138 MEMC Electronic Materials* 2,054 141 Metavante Technologies* 600 15 Mettler Toledo International* 265 27 Micron Technology* 2,800 23 Microsoft 140,804 3,987 Molex 1,100 31 Motorola 16,000 149 MPS Group* 1,800 21 Multi-Fineline Electronix* (A) 2,100 42 National Instruments 400 13 National Semiconductor 600 13 NAVTEQ* 1,700 130 NetApp* 3,800 93 Nvidia* 5,850 144 Oracle* 20,311 464 Photon Dynamics* 600 8 QLogic* 2,100 33 Qualcomm 132,217 6,418 Red Hat* 200 5 Research In Motion* 34,980 4,858 Salesforce.com* 200 14 SanDisk* 400 11
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Sanmina-SCI* 34,739 $ 52 Seagate Technology 110,500 2,367 Silicon Laboratories* 7,900 291 Sun Microsystems* 65,000 842 Symantec* (A) 38,240 831 Synopsys* 4,124 109 Tech Data* 300 11 Teradata* 50,000 1,351 Texas Instruments 24,732 803 Trimble Navigation* 1,400 56 Varian Semiconductor Equipment Associates* 500 19 VeriSign* 16,800 673 Visa, Cl A* 25,120 2,169 Vishay Intertechnology* (A) 18,400 185 VMware, Cl A* (A) 200 14 Volterra Semiconductor* (A) 1,300 21 Western Digital* 17,800 668 Western Union 66,792 1,579 Xerox 46,679 634 Zebra Technologies, Cl A* 300 11 ------------- 66,322 ------------- MATERIALS -- 3.4% Air Products & Chemicals 3,000 306 AK Steel Holding 1,500 107 Alcoa 31,400 1,274 Allegheny Technologies 100 8 Carpenter Technology 2,400 132 Celanese, Cl A 5,200 253 Cleveland-Cliffs 600 64 Crown Holdings* 100 3 Cytec Industries 200 13 Dow Chemical 36,740 1,484 E.I. Du Pont de Nemours 11,265 540 Eastman Chemical 3,800 291 Ecolab 1,700 76 FMC 2,100 155 Freeport-McMoRan Copper & Gold, Cl B 2,008 232 Greif, Cl A 3,400 228 Huntsman 1,900 42 International Flavors & Fragrances 1,600 67 International Paper (A) 20,500 558 Lubrizol 5,300 297 Martin Marietta Materials (A) 100 12 Monsanto 5,671 722 Mosaic* 5,600 702 Nalco Holding 1,300 32 Newmont Mining 200 10 Nucor 11,400 853 Olin 8,500 191 OM Group* 2,000 87
32 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Owens-Illinois* 4,000 $ 229 Packaging of America 1,000 26 PPG Industries 4,700 296 Praxair (A) 15,951 1,517 Reliance Steel & Aluminum 600 41 Rohm & Haas 1,700 92 Sigma-Aldrich 1,800 106 Smurfit-Stone Container* (A) 6,100 41 Sonoco Products 8,760 303 Southern Copper 1,000 110 Spartech 4,500 48 Steel Dynamics 200 7 Terra Industries (A) 5,000 218 United States Steel 1,100 190 Valspar 6,600 149 ------------- 12,112 ------------- TELECOMMUNICATION SERVICES -- 4.1% American Tower, Cl A* (A) 24,574 1,124 AT&T 183,672 7,328 CenturyTel 5,529 196 Citizens Communications 1,518 18 Crown Castle International* (A) 52,843 2,245 Embarq 599 28 Fairpoint Communications 267 2 Leap Wireless International* 1,600 92 NeuStar, Cl A* 1,100 26 Sprint Nextel 47,636 446 Telephone & Data Systems 2,500 119 Verizon Communications 80,433 3,094 Windstream 21,500 287 ------------- 15,005 ------------- UTILITIES -- 2.9% AES* 24,200 472 Allegheny Energy 322 18 Alliant Energy 11,400 428 Ameren 7,766 353 American Electric Power 18,231 771 Atmos Energy 3,750 103 Avista 2,200 47 Centerpoint Energy 5,300 90 CMS Energy 4,300 67 Consolidated Edison 1,700 70 Constellation Energy Group 5,299 457 Dominion Resources 5,504 255 DTE Energy 13,200 584 Duke Energy 33,100 612 Edison International 13,500 718 Energen 1,400 105 Energy East 6,100 154 Entergy 5,300 640 Equitable Resources 1,800 126 Exelon 754 66
Shares/ Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- FirstEnergy 8,303 $ 653 FPL Group (A) 6,100 412 Hawaiian Electric Industries 500 13 National Fuel Gas 500 30 NiSource 6,500 118 NRG Energy* (A) 4,786 199 NSTAR 400 13 Oneok 2,700 135 Pepco Holdings 13,800 373 PG&E 7,509 297 Pinnacle West Capital 400 14 Portland General Electric 800 19 PPL 7,065 363 Progress Energy 2,600 111 Public Service Enterprise Group 16,240 719 Puget Energy 900 25 Questar 1,100 71 Reliant Energy* 8,300 212 Sempra Energy 1,567 91 Southern 4,439 161 UGI 3,200 86 Vectren 500 15 Wisconsin Energy 1,600 77 Xcel Energy 14,145 301 ------------- 10,644 ------------- Total Common Stock (Cost $294,187) ($ Thousands) 344,074 ------------- U.S. TREASURY OBLIGATION (B) (D) -- 0.6% U.S. Treasury Bills 1.823%, 08/21/08 $ 2,070 2,061 ------------- Total U.S. Treasury Obligation (Cost $2,062) ($ Thousands) 2,061 ------------- AFFILIATED PARTNERSHIP -- 7.1% SEI Liquidity Fund, L.P., 2.810%**+(C) 25,639,279 25,639 ------------- Total Affiliated Partnership (Cost $25,639) ($ Thousands) 25,639 ------------- CASH EQUIVALENTS -- 4.1% First Union Cash Management Program, 2.010%** 844,515 845 SEI Daily Income Trust, Prime Obligation Fund, Cl A, 2.460%**+ 13,941,252 13,941 ------------- Total Cash Equivalents (Cost $14,786) ($ Thousands) 14,786 ------------- Total Investments -- 107.0% (Cost $336,674) ($ Thousands) $ 386,560 =============
SEI Institutional Investments Trust / Annual Report / May 31, 2008 33 SCHEDULE OF INVESTMENTS Large Cap Fund (Concluded) May 31, 2008 A summary of the open futures contracts held by the Fund at May 31, 2008, is as follows:
NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION APPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) ------------------------ ------------ ---------- ------------- S&P 500 Composite Index 34 Jun-2008 $ 1,155 S&P Mid 400 Index E-Mini 21 Jun-2008 242 ------------- $ 1,397 =============
Percentages are based on a Net Assets of $361,156 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of May 31, 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 May 31, 2008. The total value of securities on loan at May 31, 2008 was $24,958 ($ Thousands). (B) Zero coupon security. The rate reported is the effective yield at time of purchase. (C) This security was purchased with cash collateral held from securities on loan (see Note 9). The total value of this security as of May 31, 2008 was $25,639 ($ Thousands). (D) Security, or portion thereof, has been pledged as collateral on open future contracts. ADR -- American Depositary Receipt Cl -- Class L.P. -- Limited Partnership Ser -- Series Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. 34 SEI Institutional Investments Trust / Annual Report / May 31, 2008 SCHEDULE OF INVESTMENTS Large Cap Diversified Alpha Fund May 31, 2008 SECTOR WEIGHTINGS (UNAUDITED)++: (BAR CHART) Information Technology 16.9% Affiliated Partnership 12.8% Financials 11.9% Energy 10.0% Industrials 9.9% Health Care 9.7% Consumer Discretionary 9.4% Consumer Staples 6.5% Materials 3.3% Short-Term Investments 3.0% Telecommunication Services 2.8% Utilities 2.4% U.S. Treasury Obligations 1.4%
++ Percentages based on total investments.
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- COMMON STOCK -- 94.9% CONSUMER DISCRETIONARY -- 10.7% Abercrombie & Fitch, Cl A (C) 9,700 $ 704 Aeropostale* 17,200 601 Amazon.com* 11,182 913 Ambassadors Group 800 15 American Eagle Outfitters 7,800 142 American Greetings, Cl A 2,400 45 AnnTaylor Stores* 5,700 156 Apollo Group, Cl A* 11,900 569 Autoliv (C) 8,100 443 Autozone* 300 38 Bed Bath & Beyond* 600 19 Best Buy (C) 38,013 1,775 Big Lots* (C) 48,058 1,492 Black & Decker 500 32 BorgWarner 4,900 253 Boyd Gaming 11,500 183 Brinker International 14,200 311 Cablevision Systems, Cl A* (C) 25,520 692 California Pizza Kitchen* 8,700 121 Career Education* 500 9 Carnival 500 20 CBS, Cl B (C) 17,800 384 Centex 900 17 Central European Media Enterprises, Cl A* 300 32 Charlotte Russe Holding* 1,600 30 Christopher & Banks 10,500 118 Clear Channel Communications (C) 2,964 104 Coach* (C) 38,400 1,394 Comcast, Cl A 36,597 823 Cooper Tire & Rubber 14,600 160 CROCS* 2,900 30 Darden Restaurants (C) 11,800 404 Deckers Outdoor* 1,900 260 Dick's Sporting Goods* 1,900 44 DIRECTV Group* (C) 70,100 1,970 Discovery Holding, Cl A* 12,900 338 Dollar Tree* (C) 24,800 915
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- DR Horton 4,200 $ 53 E.W. Scripps, Cl A 1,800 85 Eastman Kodak 900 14 Expedia* 13,695 332 Family Dollar Stores 2,500 54 Ford Motor* (C) 218,890 1,489 Fortune Brands 200 14 GameStop, Cl A* 10,500 521 Gannett 2,600 75 Gap (C) 43,200 788 Garmin 2,300 112 General Motors 10,700 183 Gentex 19,300 339 Genuine Parts 1,900 84 Goodyear Tire & Rubber* 964 24 Guess? 6,906 282 Gymboree* (C) 12,000 554 H&R Block 25,053 585 Hanesbrands* (C) 14,900 492 Harman International Industries 5,000 224 Hasbro (C) 20,162 730 Hillenbrand 700 16 Home Depot (C) 18,800 514 IAC* 11,200 253 International Game Technology 48,600 1,733 International Speedway, Cl A 1,600 71 Interpublic Group* (C) 69,678 695 ITT Educational Services* 5,100 370 J Crew Group* 4,800 179 Jack in the Box* 8,500 209 Jarden* 800 15 John Wiley & Sons, Cl A 4,163 197 Johnson Controls 15,170 517 Jones Apparel Group (C) 22,000 370 KB Home 1,000 21 Kohl's* 600 27 Landry's Restaurants 1,000 16 Las Vegas Sands* 1,100 76 Liberty Global, Cl A* 18,700 670 Liberty Media-Capital, Ser A* 5,700 84 Liberty Media-Entertainment* 21,200 572 Limited Brands 9,600 186 Macy's 1,300 31 Marriott International, Cl A (C) 8,164 269 Marvel Entertainment* (C) 13,900 473 McDonald's (C) 29,100 1,726 MDC Holdings 1,500 61 MGM Mirage* 43,500 2,141 Mohawk Industries* 200 15 NetFlix* (C) 14,500 440 Newell Rubbermaid 7,324 147 News, Cl A 107,094 1,922 Nike, Cl B (C) 12,700 868 NVR* (C) 900 509
SEI Institutional Investments Trust / Annual Report / May 31, 2008 35 SCHEDULE OF INVESTMENTS Large Cap Diversified Alpha Fund (Continued) May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- OfficeMax 1,590 $ 34 Omnicom Group 1,700 83 Orient-Express Hotels, Cl A 400 19 Penn National Gaming* 3,200 149 Penske Auto Group (C) 25,535 533 Phillips-Van Heusen 756 34 Polo Ralph Lauren, Cl A (C) 10,272 717 Pulte Homes 5,900 72 Regal Entertainment Group, Cl A 1,600 28 Rent-A-Center, Cl A* 4,100 86 Royal Caribbean Cruises 700 21 Saks* 3,400 47 Service International 28,079 300 Shaw Communications, Cl B 31,900 661 Sherwin-Williams (C) 9,500 533 Snap-On (C) 22,211 1,375 Stamps.com* 3,800 55 Stanley Works 3,200 155 Staples 108,900 2,555 Target 2,600 139 Texas Roadhouse, Cl A* 4,400 49 Thor Industries 4,900 132 Tiffany 1,700 83 Tim Hortons 1,483 49 Time Warner (C) 237,017 3,765 Time Warner Cable, Cl A* 34,037 1,018 TJX 4,700 151 Toll Brothers* 5,000 105 TRW Automotive Holdings* 35,636 890 Urban Outfitters* 17,200 554 VF 4,200 318 Viacom, Cl B* (C) 24,300 870 Virgin Media 11,619 182 WABCO Holdings 266 14 Walt Disney (C) 43,990 1,478 Washington Post, Cl B 100 63 Weight Watchers International 40,400 1,689 Wendy's International 926 27 Whirlpool 1,000 74 Williams-Sonoma 700 18 Wyndham Worldwide (C) 52,189 1,142 Wynn Resorts 1,100 110 XM Satellite Radio Holdings, Cl A* 3,900 41 Yum! Brands (C) 24,200 961 ------------- 59,362 ------------- CONSUMER STAPLES -- 7.4% Alberto-Culver, Cl B 1,500 40 Altria Group (C) 33,338 742 Anheuser-Busch (C) 10,400 598 Archer-Daniels-Midland (C) 47,309 1,878 Avon Products 4,800 187 Bare Escentuals* 13,300 267 BJ's Wholesale Club* 3,248 128
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Brown-Forman, Cl B 4,625 $ 348 Bunge 2,110 252 Church & Dwight 1,300 74 Clorox (C) 7,100 406 Coca-Cola (C) 32,600 1,867 Coca-Cola Enterprises (C) 58,628 1,181 Colgate-Palmolive 8,000 595 ConAgra Foods (C) 31,800 750 Constellation Brands, Cl A* 9,100 194 Corn Products International 7,400 348 Costco Wholesale 11,805 842 CVS 13,604 582 Dean Foods* 6,401 139 Del Monte Foods 27,500 240 Energizer Holdings* 3,700 302 Estee Lauder, Cl A 500 24 General Mills (C) 16,300 1,030 Hansen Natural* 1,200 37 Herbalife (C) 21,600 832 HJ Heinz 3,900 195 Hormel Foods 500 19 JM Smucker 2,300 121 Kellogg 7,600 394 Kimberly-Clark 14,400 919 Kraft Foods, Cl A 4,160 135 Kroger (C) 101,826 2,815 Loews - Carolina 4,500 326 McCormick 700 26 Molson Coors Brewing, Cl B (C) 21,018 1,219 Nu Skin Enterprises, Cl A 700 12 Pepsi Bottling Group 11,900 386 PepsiAmericas 17,500 426 PepsiCo (C) 35,800 2,445 Philip Morris International* (C) 30,038 1,582 Procter & Gamble (C) 91,485 6,042 Reynolds American (C) 10,400 571 Rite Aid* (C) 215,351 485 Safeway (C) 31,000 988 Sara Lee 16,000 220 Smithfield Foods* 2,500 78 Supervalu 13,173 462 Sysco (C) 35,137 1,084 Tyson Foods, Cl A (C) 113,795 2,145 UST 900 50 Walgreen 61,257 2,206 Wal-Mart Stores (C) 24,700 1,426 Whole Foods Market 6,800 197 WM Wrigley Jr. 3,516 271 ------------- 41,128 ------------- ENERGY -- 11.5% Anadarko Petroleum 2,500 187 Apache 3,600 483
36 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Arch Coal 800 $ 52 Baker Hughes 1,300 115 Cabot Oil & Gas (C) 2,220 134 Cameron International* 8,900 474 Chesapeake Energy (C) 17,000 931 Chevron (C) 86,036 8,530 Cimarex Energy (C) 18,900 1,288 CNX Gas* 700 29 ConocoPhillips (C) 43,321 4,033 Consol Energy 1,600 156 Denbury Resources* 5,200 177 Devon Energy (C) 4,815 558 Diamond Offshore Drilling 400 55 Dresser-Rand Group* 1,400 56 El Paso 8,597 168 EnCana 3,200 289 ENSCO International 3,100 223 EOG Resources 18,300 2,354 Exxon Mobil (C) 182,978 16,241 FMC Technologies* 11,200 805 Forest Oil* 1,500 100 Foundation Coal Holdings (C) 5,753 384 Frontier Oil 4,200 126 Frontline 700 45 Global Industries* 500 9 Halliburton (C) 72,765 3,536 Helix Energy Solutions Group* 400 15 Helmerich & Payne (C) 13,200 827 Hess 4,900 602 Holly 1,100 47 Marathon Oil (C) 29,361 1,509 Massey Energy 1,500 97 Murphy Oil (C) 16,448 1,524 National Oilwell Varco* 3,889 324 Newfield Exploration* 900 57 Nexen (C) 16,600 639 Noble (C) 9,700 612 Noble Energy 3,240 316 Occidental Petroleum (C) 23,600 2,170 Oceaneering International* 1,800 128 Overseas Shipholding Group 900 71 Patriot Coal* 300 32 Patterson-UTI Energy (C) 18,000 567 Peabody Energy 400 30 Petro-Canada (C) 12,600 727 Pioneer Natural Resources 13,615 977 Plains Exploration & Production* 5,824 416 Pride International* 6,281 276 Quicksilver Resources* 1,400 51 Range Resources 1,000 66 Rowan 100 4 SandRidge Energy* (C) 10,800 594 Schlumberger (C) 18,359 1,857 SEACOR Holdings* 2,900 258
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Smith International 2,800 $ 221 Southwestern Energy* (C) 14,200 630 Sunoco (C) 19,300 858 Superior Energy Services* 100 5 Swift Energy* 1,000 58 Teekay 400 20 Tesoro 6,100 152 Tidewater (C) 9,300 635 Transocean 2,233 335 Unit* 3,300 253 Valero Energy (C) 20,500 1,042 W&T Offshore (C) 11,500 641 Weatherford International* 5,000 228 Williams (C) 48,341 1,839 XTO Energy 1,550 99 ------------- 63,347 ------------- FINANCIALS -- 13.6% ACE (C) 19,714 1,184 Aflac 5,800 389 Alleghany* 644 242 Allied Capital 2,300 46 Allied World Assurance Holdings 5,000 228 Allstate (C) 21,100 1,075 AMB Property++ 1,500 88 American Express 4,800 222 American Financial Group 19,200 573 American International Group (C) 27,100 976 American National Insurance 568 63 Ameriprise Financial (C) 12,100 572 Annaly Capital Management++ (C) 37,600 670 AON 5,300 250 Apartment Investment & Management, Cl A++ 500 20 Arch Capital Group* 3,900 274 Arthur J Gallagher 3,270 83 Ashford Hospitality Trust++ 2,400 15 Aspen Insurance Holdings 4,500 115 Assurant (C) 11,100 755 Astoria Financial 4,400 105 AvalonBay Communities++ (C) 8,211 831 Axis Capital Holdings (C) 14,700 515 Bancorpsouth 4,500 107 Bank of America (C) 78,800 2,680 Bank of Hawaii 1,700 92 Bank of New York Mellon (C) 20,724 923 BB&T 7,900 249 BlackRock, Cl A (C) 3,052 687 BOK Financial 3,850 224 Boston Properties++ (C) 21,062 2,058 Brandywine Realty Trust++ (C) 27,700 520 Camden Property Trust++ 1,200 59 Capital Lease Funding++ 2,200 18 Capital One Financial 15,100 727
SEI Institutional Investments Trust / Annual Report / May 31, 2008 37 SCHEDULE OF INVESTMENTS Large Cap Diversified Alpha Fund (Continued) May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Capitol Federal Financial 990 $ 41 CBL & Associates Properties++ (C) 19,000 500 Charles Schwab (C) 122,714 2,721 Chubb (C) 27,573 1,482 Cincinnati Financial (C) 6,386 224 Citigroup (C) 86,800 1,900 CME Group, Cl A (C) 6,942 2,987 Colonial BancGroup 15,100 93 Colonial Properties Trust++ 15,226 366 Commerce Bancshares 1,900 83 Credicorp 2,800 234 Cullen/Frost Bankers 2,800 157 Douglas Emmett++ 2,300 56 Eaton Vance 2,600 111 Endurance Specialty Holdings (C) 30,000 1,010 Equity Residential++ 1,100 47 Erie Indemnity, Cl A 300 15 Essex Property Trust++ 400 48 Everest Re Group 1,900 167 Fairfax Financial Holdings (C) 1,900 521 Fannie Mae 6,200 168 Federal Realty Investment Trust++ 200 16 Federated Investors, Cl B (C) 11,000 405 Fifth Third Bancorp 2,300 43 First Citizens BancShares, Cl A 723 115 Forest City Enterprises, Cl A 200 8 Forestar Real Estate Group* 565 14 Franklin Resources (C) 11,600 1,174 Freddie Mac 800 20 Fulton Financial 9,400 119 GLG Partners 18,249 152 Goldman Sachs Group (C) 11,300 1,993 Greenhill 3,600 217 Hanover Insurance Group 1,700 78 Hartford Financial Services Group 4,700 334 HCC Insurance Holdings 800 19 HCP++ 2,100 72 Health Care++ 1,300 63 Hospitality Properties Trust++ 7,100 220 Host Hotels & Resorts++ (C) 9,748 168 Hudson City Bancorp (C) 73,700 1,312 Huntington Bancshares 24,300 217 Interactive Brokers Group, Cl A* 1,900 62 IntercontinentalExchange* 26,800 3,704 Invesco 800 22 Investment Technology Group* 8,700 366 iStar Financial++ (C) 23,500 449 Janus Capital Group (C) 32,637 946 Jefferies Group 1,700 31 Jones Lang LaSalle 7,545 532 JPMorgan Chase (C) 103,368 4,445 Legg Mason 700 38 Lehman Brothers Holdings 1,400 52 Leucadia National 8,500 462
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Loews (C) 33,729 $ 1,672 M&T Bank 1,000 87 Mack-Cali Realty++ 1,000 39 Markel* 100 40 Marsh & McLennan (C) 32,733 891 Marshall & Ilsley 2,500 58 MBIA 1,700 12 MetLife (C) 14,391 864 MF Global* 10,500 153 Montpelier Re Holdings 5,400 91 Morgan Stanley (C) 8,400 372 MSCI, Cl A* 7,200 256 NASDAQ Stock Market* 7,395 259 Nationwide Financial Services 300 15 New York Community Bancorp 15,459 317 Northern Trust (C) 10,069 765 NorthStar Realty Finance++ 21,700 217 Nymex Holdings 2,116 192 NYSE Euronext (C) 17,386 1,111 Old Republic International 5,095 77 Parkway Properties++ 1,900 72 PartnerRe (C) 11,379 839 Penson Worldwide* 1,900 25 People's United Financial 1,200 20 Platinum Underwriters Holdings 4,200 149 Plum Creek Timber++ 1,900 89 PNC Financial Services Group 1,476 95 Principal Financial Group 1,800 97 Progressive 1,900 38 Prologis++ 800 50 Prudential Financial 2,000 149 Public Storage++ 4,738 418 Raymond James Financial 12,000 357 Rayonier++ (C) 39,853 1,890 Regions Financial (C) 70,350 1,254 RenaissanceRe Holdings 4,500 235 Safeco (C) 12,200 817 SeaBright Insurance Holdings* 1,100 17 Simon Property Group++ 200 20 SLM* 1,700 39 South Financial Group 1,700 9 StanCorp Financial Group (C) 6,900 379 State Street 5,104 368 Sunstone Hotel Investors++ 3,800 73 SunTrust Banks 1,000 52 T. Rowe Price Group 16,288 943 Taubman Centers++ 300 16 TCF Financial 4,200 69 TD Ameritrade Holding* (C) 65,500 1,186 Torchmark 1,000 63 Transatlantic Holdings 3,385 219 Travelers (C) 61,245 3,050 UnionBanCal 400 20 Unitrin (C) 3,219 112
38 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Unum Group 3,400 $ 82 US Bancorp (C) 27,100 899 Valley National Bancorp 1,890 33 Ventas++ 2,900 138 Wachovia (C) 37,289 887 Washington Federal 5,200 116 Washington Mutual 2,200 20 Wells Fargo (C) 52,000 1,433 White Mountains Insurance Group 266 127 Whitney Holding 4,100 93 Willis Group Holdings (C) 16,500 591 Wilmington Trust 1,400 46 WR Berkley (C) 19,400 526 XL Capital, Cl A 8,300 290 Zions Bancorporation (C) 11,600 500 ------------- 74,932 ------------- HEALTH CARE -- 11.1% Abbott Laboratories 16,300 919 Aetna (C) 20,493 966 Allergan 51,700 2,979 AmerisourceBergen (C) 63,750 2,635 Amgen* (C) 41,431 1,824 Amylin Pharmaceuticals* 700 22 Analogic 1,200 80 Applera - Applied Biosystems Group (C) 49,003 1,702 Baxter International (C) 24,813 1,515 Beckman Coulter 300 21 Becton Dickinson (C) 9,600 811 Biogen Idec* (C) 10,700 671 Bristol-Myers Squibb 25,138 573 C.R. Bard 900 82 Cardinal Health (C) 42,082 2,379 Celgene* 2,600 158 Cerner* 1,500 68 Charles River Laboratories International* 1,900 122 Cigna (C) 55,848 2,267 Cooper 500 20 Covance* 6,000 492 Coventry Health Care* 600 28 Covidien 975 49 Cubist Pharmaceuticals* 15,100 288 DaVita* 300 16 Dentsply International 8,100 328 Dionex* 1,900 139 Edwards Lifesciences* 400 23 Eli Lilly (C) 20,200 972 Endo Pharmaceuticals Holdings* (C) 23,900 589 Express Scripts* (C) 21,500 1,550 Forest Laboratories* (C) 13,700 492 Genentech* 48,087 3,409 Gen-Probe* 2,100 120
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Genzyme* (C) 9,364 $ 641 Gilead Sciences* (C) 20,200 1,117 Health Net* 7,886 244 Henry Schein* 3,000 167 Hill-Rom Holdings 700 22 HLTH* 7,044 84 Hospira* 400 17 Humana* (C) 25,522 1,303 Idexx Laboratories* (C) 14,300 722 ImClone Systems* 1,900 83 IMS Health 700 17 Intuitive Surgical* (C) 2,900 851 Invacare 1,000 18 Invitrogen* 5,200 239 Johnson & Johnson (C) 55,200 3,684 Kinetic Concepts* 2,900 126 King Pharmaceuticals* (C) 64,500 662 Laboratory Corp of America Holdings* 500 37 LifePoint Hospitals* 4,500 144 Martek Biosciences* 1,300 49 McKesson (C) 40,842 2,355 Medco Health Solutions* (C) 63,209 3,063 Medical Action Industries* 1,800 24 Medtronic (C) 22,600 1,145 Merck (C) 45,000 1,753 Merit Medical Systems* 3,300 53 Omnicare 1,100 27 OSI Pharmaceuticals* (C) 11,300 399 Patterson* 1,600 54 PDL BioPharma 12,712 130 Pediatrix Medical Group* 1,500 81 PerkinElmer 1,900 54 Pfizer (C) 194,200 3,759 Pharmaceutical Product Development 2,600 115 Quest Diagnostics 6,900 348 Quidel* 10,700 183 Schering-Plough 9,900 202 St. Jude Medical* 900 37 STERIS 1,000 30 Stryker (C) 24,021 1,550 Techne* 500 39 Tenet Healthcare* 113,254 668 Thermo Fisher Scientific* 6,600 390 UnitedHealth Group (C) 124,623 4,264 Universal Health Services, Cl B 6,700 436 Varian Medical Systems* 1,000 48 VCA Antech* 3,100 97 Vertex Pharmaceuticals* 1,700 49 Warner Chilcott, Cl A* (C) 26,300 457 Waters* 3,200 197 Watson Pharmaceuticals* 1,200 34 WellPoint* (C) 1,200 67
SEI Institutional Investments Trust / Annual Report / May 31, 2008 39 SCHEDULE OF INVESTMENTS Large Cap Diversified Alpha Fund (Continued) May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Wyeth (C) 14,700 $ 654 Zimmer Holdings* 700 51 ------------- 61,349 ------------- INDUSTRIALS -- 11.4% 3M (C) 10,600 822 AAON 2,100 44 Acuity Brands 2,400 128 AGCO* 4,239 256 Alliant Techsystems* 1,800 195 American Railcar Industries 1,400 29 Ametek 3,300 169 BE Aerospace* 800 28 Boeing (C) 55,685 4,610 Brink's 300 22 Burlington Northern Santa Fe (C) 1,700 192 C.H. Robinson Worldwide (C) 24,319 1,569 Carlisle 2,700 90 Caterpillar (C) 14,100 1,166 Columbus McKinnon* 800 23 Continental Airlines, Cl A* 2,900 42 Con-way 900 44 Cooper Industries, Cl A 1,300 61 Copart* 2,800 126 Corporate Executive Board 1,600 72 Corrections of America* 2,300 59 Crane 8,600 393 CSX (C) 33,319 2,301 Cummins (C) 26,300 1,853 Danaher 1,000 78 Deere 3,200 260 Delta Air Lines* 8,300 51 Donaldson 1,500 77 Dover 18,300 990 DryShips 5,700 535 Dun & Bradstreet 300 27 Eaton (C) 9,000 870 Emerson Electric 1,700 99 Equifax 500 19 Expeditors International Washington 52,300 2,462 Fastenal 9,500 469 FedEx (C) 13,250 1,215 First Solar* (C) 2,400 642 Flowserve (C) 3,483 482 Fluor (C) 6,024 1,123 Foster Wheeler* 3,000 229 Gardner Denver* 11,900 631 GATX 2,438 120 General Cable* 200 14 General Dynamics 2,300 212 General Electric (C) 293,033 9,002 Goodrich 4,900 318 Harsco (C) 12,087 765
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Hertz Global Holdings* 6,161 $ 81 Honeywell International 12,000 715 Hubbell, Cl B 4,000 187 IDEX 700 27 Illinois Tool Works 2,200 118 Ingersoll-Rand, Cl A (C) 19,200 846 ITT 400 26 Jacobs Engineering Group* (C) 10,023 950 JB Hunt Transport Services 1,200 42 KBR (C) 17,348 602 Kennametal 1,400 54 Kirby* 900 50 L-3 Communications Holdings (C) 7,800 838 Landstar System 400 22 Lennox International (C) 15,600 502 Lincoln Electric Holdings 600 49 Lockheed Martin (C) 22,473 2,459 Manitowoc 7,172 279 Manpower (C) 21,705 1,368 McDermott International* 1,700 105 NCI Building Systems* 500 16 Norfolk Southern (C) 20,400 1,375 Northrop Grumman (C) 19,700 1,487 Northwest Airlines* 7,400 52 Oshkosh Truck 100 4 Owens Corning* 1,500 39 Paccar 1,675 89 Pall 800 33 Parker Hannifin (C) 14,300 1,212 Pentair 1,400 52 Precision Castparts 4,500 544 Quanta Services* 17,342 556 Raytheon (C) 39,998 2,554 Republic Services, Cl A 5,900 194 Robert Half International 10,000 246 Rockwell Automation 900 53 Rockwell Collins 2,060 126 Roper Industries 1,600 104 RR Donnelley & Sons 1,300 43 Ryder System (C) 7,100 521 Shaw Group* (C) 744 45 Southwest Airlines 61,181 799 SPX 1,700 226 Steelcase, Cl A 33,951 428 Stericycle* (C) 14,200 828 Teleflex 500 30 Terex* 500 36 Textron 4,500 281 Timken 20,005 733 Toro 900 35 Trane 300 14 Tyco International (C) 15,900 719 UAL 1,600 14
40 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Union Pacific 3,400 $ 280 United Parcel Service, Cl B (C) 48,998 3,480 United Technologies 6,100 433 URS* 3,200 153 WESCO International* (C) 9,700 430 WW Grainger 3,600 329 ------------- 62,897 ------------- INFORMATION TECHNOLOGY -- 19.3% Accenture, Cl A (C) 18,600 759 Activision* (C) 26,317 888 ADC Telecommunications* 2,300 36 Adobe Systems* (C) 31,300 1,379 Advanced Micro Devices* 7,300 50 Affiliated Computer Services, Cl A* 3,600 195 Agilent Technologies* 8,800 329 Akamai Technologies* 3,008 117 Alliance Data Systems* 600 36 Altera 15,400 356 Amdocs* (C) 18,227 589 Amkor Technology* 25,500 272 Amphenol, Cl A 2,000 93 Analog Devices (C) 30,900 1,085 Apple* (C) 22,200 4,189 Applied Materials 1,800 36 Arrow Electronics* (C) 18,966 581 AuthenTec* 5,000 68 Autodesk* 1,200 49 Automatic Data Processing (C) 31,900 1,373 Avnet* (C) 42,359 1,251 Avocent* 2,100 41 AVX 15,586 208 BMC Software* (C) 21,900 878 Broadcom, Cl A* (C) 21,800 625 Broadridge Financial Solutions (C) 24,281 547 Brocade Communications Systems* 27,400 221 CA 16,060 426 Cabot Microelectronics* 1,100 41 Cadence Design Systems* 25,600 297 Celestica* 31,300 278 Check Point Software Technologies* (C) 21,500 534 Ciena* (C) 19,900 608 Cisco Systems* (C) 68,500 1,830 Citrix Systems* 1,600 55 CMGI* 7,200 108 Cognex 3,800 106 CommScope* 2,200 121 Compuware* (C) 62,100 633 Convergys* (C) 32,027 517 Corning (C) 38,580 1,055 Cree* 4,291 109 Cypress Semiconductor* 3,477 97 Dell* 12,300 284
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- DST Systems* 1,200 $ 76 Earthlink* 19,300 185 eBay* (C) 121,500 3,646 Electronic Arts* 800 40 Electronic Data Systems (C) 70,104 1,717 EMC* 14,800 258 Factset Research Systems (C) 7,100 459 Fidelity National Information Services 1,444 58 Fiserv* 800 42 Global Payments (C) 10,300 486 Google, Cl A* (C) 9,727 5,699 Harris 500 33 Hewitt Associates, Cl A* (C) 18,800 736 Hewlett-Packard (C) 116,633 5,488 Ingram Micro, Cl A* 15,400 279 Integral Systems 900 36 Integrated Device Technology* 66,300 748 Intel (C) 61,200 1,420 International Business Machines (C) 17,800 2,304 Intersil, Cl A (C) 16,700 465 Intuit* 93,900 2,720 Iron Mountain* 4,300 129 Jabil Circuit (C) 34,300 436 Juniper Networks* (C) 40,600 1,117 Kla-Tencor 500 23 Linear Technology (C) 12,900 474 Mastercard, Cl A 17,183 5,305 McAfee* 6,000 218 MEMC Electronic Materials* 1,100 76 Metavante Technologies* 1,000 25 Mettler Toledo International* 1,700 176 Micrel 13,800 132 Micron Technology* 2,900 23 Microsoft (C) 282,008 7,987 Molex (C) 20,124 560 MoneyGram International 6,193 8 Motorola (C) 45,705 426 Multi-Fineline Electronix* 2,200 44 National Instruments 300 10 National Semiconductor 900 19 NAVTEQ* 2,800 214 NetApp* (C) 19,500 475 Nvidia* (C) 6,400 158 Oracle* (C) 74,900 1,711 Photon Dynamics* 4,200 53 QLogic* (C) 65,400 1,033 Qualcomm (C) 131,100 6,365 Red Hat* 300 7 Research In Motion* 31,000 4,305 Salesforce.com* 400 29 SanDisk* 400 11 Seagate Technology (C) 190,100 4,072 Silicon Laboratories* (C) 15,800 582 Sun Microsystems* (C) 236,116 3,058
SEI Institutional Investments Trust / Annual Report / May 31, 2008 41 SCHEDULE OF INVESTMENTS Large Cap Diversified Alpha Fund (Continued) May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- SYKES Enterprises* 2,400 $ 50 Symantec* (C) 77,700 1,688 Synopsys* (C) 51,714 1,363 Tech Data* (C) 26,194 959 Teradata* 73,000 1,972 Teradyne* 14,271 196 Texas Instruments (C) 112,067 3,641 Trimble Navigation* 1,900 76 Tyco Electronics 3,424 137 Unisys* 112,934 571 Varian Semiconductor Equipment Associates* 800 30 VeriSign* 27,800 1,113 Visa, Cl A* 33,000 2,851 Vishay Intertechnology* 58,481 590 VMware, Cl A* 200 14 Volterra Semiconductor* 7,200 114 Western Digital* 7,800 293 Western Union 25,048 592 Xerox (C) 39,000 530 Yahoo!* 10,905 292 Zebra Technologies, Cl A* 5,700 214 ------------- 106,792 ------------- MATERIALS -- 3.8% Air Products & Chemicals 2,300 234 AK Steel Holding 2,600 185 Alcoa (C) 33,600 1,363 Allegheny Technologies 100 8 Ashland (C) 31,657 1,698 Ball 4,300 233 Cabot 27,030 866 Carpenter Technology (C) 8,000 442 Celanese, Cl A (C) 10,200 497 Chemtura 13,504 118 Cleveland-Cliffs 1,000 107 Crown Holdings* 400 12 Cytec Industries (C) 8,300 524 Dow Chemical (C) 28,900 1,168 Eastman Chemical 4,200 322 Ecolab 5,675 254 FMC (C) 3,200 237 Freeport-McMoRan Copper & Gold, Cl B 1,772 205 Greif, Cl A (C) 14,700 986 Huntsman 6,744 148 International Flavors & Fragrances 2,300 97 International Paper (C) 18,600 506 Lubrizol 6,700 376 Martin Marietta Materials 100 12 Monsanto (C) 9,729 1,239 Mosaic* (C) 8,300 1,040
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Nalco Holding (C) 67,981 $ 1,653 Newmont Mining 11,963 568 Nucor (C) 10,600 792 Olin 4,600 104 OM Group* 1,900 83 Owens-Illinois* 6,300 360 Packaging of America 1,200 31 Pactiv* 2,300 57 PPG Industries 3,800 240 Praxair 27,400 2,604 Reliance Steel & Aluminum 3,100 211 RPM International 8,040 197 Schnitzer Steel Industries, Cl A 3,700 371 Sigma-Aldrich 2,600 153 Smurfit-Stone Container* 3,694 25 Southern Copper 1,700 187 Spartech 1,000 11 Steel Dynamics 200 7 Terra Industries 5,500 240 United States Steel 300 52 ------------- 20,823 ------------- TELECOMMUNICATION SERVICES -- 3.3% American Tower, Cl A* 3,039 139 AT&T (C) 216,619 8,643 CenturyTel (C) 13,100 464 Citizens Communications 2,200 26 Crown Castle International* 61,600 2,618 Embarq 425 20 Leap Wireless International* (C) 9,552 549 MetroPCS Communications* 537 11 NeuStar, Cl A* 1,600 37 Qwest Communications International 37,206 180 Sprint Nextel (C) 56,400 528 Telephone & Data Systems 6,970 332 US Cellular* (C) 11,292 707 Verizon Communications (C) 78,962 3,038 Windstream (C) 50,350 672 ------------- 17,964 ------------- UTILITIES -- 2.8% AES* (C) 20,200 393 AGL Resources 4,900 175 Allegheny Energy 300 16 Alliant Energy 16,321 613 Ameren 3,700 168 American Electric Power 6,800 288 Atmos Energy 7,200 197 Centerpoint Energy 24,798 420 CMS Energy 12,200 190
42 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Consolidated Edison 8,800 $ 363 Constellation Energy Group 2,600 224 Dominion Resources 9,100 421 DPL 2,000 57 DTE Energy 7,900 349 Duke Energy (C) 25,000 462 Dynegy, Cl A* (C) 65,103 613 Edison International (C) 27,900 1,485 Energen 2,000 150 Energy East 9,500 240 Entergy 5,200 628 Equitable Resources 3,000 211 Exelon 1,200 106 FirstEnergy (C) 8,500 669 FPL Group 6,700 452 Hawaiian Electric Industries 800 21 National Fuel Gas 600 36 NiSource 20,300 367 NRG Energy* 7,000 291 NSTAR 800 27 Oneok 4,400 220 Pepco Holdings (C) 14,500 392 PG&E (C) 11,077 439 Pinnacle West Capital 700 24 PPL 11,200 575 Progress Energy 4,800 205 Public Service Enterprise Group (C) 21,600 957 Puget Energy 1,500 42 Questar 1,900 122 Reliant Energy* (C) 71,855 1,838 Sempra Energy 500 29 Sierra Pacific Resources (C) 27,500 373 Southern 2,300 83 Southern Union 3,056 81 UGI 10,700 289 Vectren 900 27 Wisconsin Energy 500 24 Xcel Energy 1,300 28 ------------- 15,380 ------------- Total Common Stock (Cost $497,523) ($ Thousands) 523,974 ------------- AFFILIATED PARTNERSHIP -- 14.7% SEI LIBOR Plus Portfolio, L.P. 3.800%**+ 8,769,983 81,385 ------------- Total Affiliated Partnership (Cost $86,799) ($ Thousands) 81,385 -------------
Face Amount ($ Thousands) Market Value Description /Shares ($ Thousands) ------------------------------------------------ ------------- ------------- U.S. TREASURY OBLIGATIONS (A) (B) -- 1.7% U.S. Treasury Bills 1.029%, 06/05/08 $ 300 $ 300 1.823%, 08/21/08 8,790 8,754 ------------- Total U.S. Treasury Obligations (Cost $9,054) ($ Thousands) 9,054 ------------- CASH EQUIVALENT -- 3.4% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 2.460%**+ (C) 18,955,773 18,956 ------------- Total Cash Equivalent (Cost $18,956) ($ Thousands) 18,956 ------------- Total Investments -- 114.7% (Cost $612,332) ($ Thousands) $ 633,369 ------------- COMMON STOCK SOLD SHORT -- (14.8)% CONSUMER DISCRETIONARY -- (3.2)% Amazon.com* (8,000) (653) Apollo Group, Cl A* (8,254) (393) Autozone* (463) (59) Bed Bath & Beyond* (12,400) (395) Career Education* (7,311) (134) Carnival (1,320) (53) Centex (21,800) (410) Central European Media Enterprises, Cl A* (14,949) (1,590) Chico's FAS* (7,433) (57) Circuit City Stores (85,068) (417) Clear Channel Outdoor Holdings, Cl A* (3,800) (78) Coldwater Creek* (16,500) (108) CTC Media* (9,600) (266) Dick's Sporting Goods* (35,500) (821) Discovery Holding, Cl A* (31,671) (829) DISH Network, Cl A* (9,900) (348) DR Horton (18,207) (231) DreamWorks Animation SKG, Cl A* (27,198) (859) E.W. Scripps, Cl A (6,007) (283) Eastman Kodak (4,100) (63) Fortune Brands (300) (21) Gentex (14,211) (250) Harley-Davidson (595) (25) Harte-Hanks (982) (13) International Game Technology (700) (25) ITT Educational Services* (2,211) (161) J.C. Penney (4,129) (166) Jarden* (7,114) (133) KB Home (23,786) (488)
SEI Institutional Investments Trust / Annual Report / May 31, 2008 43 SCHEDULE OF INVESTMENTS Large Cap Diversified Alpha Fund (Continued) May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Kohl's* (4,767) $ (214) Lamar Advertising, Cl A* (326) (14) Las Vegas Sands* (12,900) (896) Leggett & Platt (205) (4) Marriott International, Cl A (1,000) (33) MDC Holdings (8,787) (357) MGM Mirage* (13,100) (645) News, Cl A (9,200) (165) O'Reilly Automotive* (15,000) (392) Orient-Express Hotels, Cl A (6,300) (296) Phillips-Van Heusen (10,000) (454) Pulte Homes (60,200) (737) Quiksilver* (33,900) (290) Ryland Group (5,312) (148) Saks* (21,900) (302) Sally Beauty Holdings* (25,400) (192) Scientific Games, Cl A* (54,749) (1,770) Toll Brothers* (9,773) (206) Weight Watchers International (8,865) (371) Wynn Resorts (7,500) (750) ------------- (17,565) ------------- CONSUMER STAPLES -- (0.3)% Del Monte Foods (1,694) (15) Estee Lauder, Cl A (2,000) (95) Hansen Natural* (4,721) (147) Hershey (11,264) (442) Kellogg (1,125) (58) Loews - Carolina (4,634) (336) Smithfield Foods* (8,649) (271) Supervalu (1,437) (50) ------------- (1,414) ------------- ENERGY -- (1.9)% Baker Hughes (1,000) (89) BJ Services (11,800) (356) Cabot Oil & Gas (15,800) (952) Cameco (19,300) (790) Continental Resources* (16,202) (1,040) Delta Petroleum* (25,400) (561) Diamond Offshore Drilling (4,108) (560) Enbridge (13,200) (589) Forest Oil* (1,000) (67) Foundation Coal Holdings (900) (60) Frontier Oil (2,000) (60) Global Industries* (1,900) (33) Newfield Exploration* (900) (57) Overseas Shipholding Group (84) (7) Peabody Energy (17,300) (1,278) Plains Exploration & Production* (6,200) (443) Range Resources (13,200) (868)
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Rowan (1,300) $ (57) Teekay (19,005) (956) TransCanada (13,700) (540) Transocean (1,400) (210) Unit* (8,759) (673) ------------- (10,246) ------------- FINANCIALS -- (2.5)% AMB Property++ (1,200) (71) Arthur J Gallagher (2,200) (56) Assured Guaranty (15,800) (365) AvalonBay Communities++ (4,000) (405) Bancorpsouth (900) (21) Brandywine Realty Trust++ (19,398) (364) Camden Property Trust++ (1,900) (94) CapitalSource++ (32,242) (495) Capitol Federal Financial (14,900) (611) CBL & Associates Properties++ (15,029) (395) Commerce Bancshares (1,400) (61) Conseco* (13,018) (152) East West Bancorp (2,304) (31) Fannie Mae (21,785) (589) Federal Realty Investment Trust++ (1,700) (137) Fidelity National Financial, Cl A (33,747) (578) First American (8,200) (275) Freddie Mac (22,200) (564) General Growth Properties++ (3,986) (166) Guaranty Financial Group* (6,483) (41) Jefferies Group (61,761) (1,112) Leucadia National (21,956) (1,192) Markel* (200) (81) Mercury General (1,300) (66) Merrill Lynch (27,382) (1,203) MGIC Investment (4,615) (55) Morgan Stanley (1,521) (67) Plum Creek Timber++ (3,700) (173) PMI Group (55,970) (334) Progressive (7,100) (142) SL Green Realty++ (2,600) (259) SLM* (33,103) (750) Sovereign Bancorp (59,394) (543) T. Rowe Price Group (300) (17) UDR++ (18,359) (454) Unitrin (2,600) (90) Valley National Bancorp (19,183) (338) Ventas++ (11,738) (560) Washington Mutual (89,635) (808) XL Capital, Cl A (8,449) (295) ------------- (14,010) -------------
44 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- HEALTH CARE -- (1.8)% Advanced Medical Optics* (3,800) $ (92) Amylin Pharmaceuticals* (192) (6) Barr Pharmaceuticals* (1,950) (85) Brookdale Senior Living (23,738) (626) Celgene* (1,200) (73) Cephalon* (8,936) (605) Community Health Systems* (2,800) (101) Cooper (12,269) (496) DaVita* (500) (26) Henry Schein* (5,600) (312) ImClone Systems* (17,355) (757) Intuitive Surgical* (238) (70) Invitrogen* (2,800) (129) King Pharmaceuticals* (13,010) (133) LifePoint Hospitals* (29,399) (939) Lincare Holdings* (8,065) (210) Millipore* (2,800) (203) Mylan Laboratories (102,735) (1,373) Omnicare (15,666) (384) Resmed* (12,800) (505) Schering-Plough (10,900) (222) Tenet Healthcare* (134,500) (794) Varian Medical Systems* (4,800) (228) VCA Antech* (18,011) (565) Vertex Pharmaceuticals* (6,400) (183) Waters* (914) (56) WellCare Health Plans* (9,800) (541) ------------- (9,714) ------------- INDUSTRIALS -- (1.4)% Aircastle (15,564) (200) Alliant Techsystems* (3,001) (326) AMR* (64,732) (465) Continental Airlines, Cl A* (35,423) (511) Copa Holdings, Cl A (9,840) (329) Corporate Executive Board (6,005) (271) Covanta Holding* (343) (10) Delta Air Lines* (63,000) (387) Dun & Bradstreet (871) (80) Expeditors International Washington (4,800) (226) General Cable* (7,000) (496) Kennametal (12,700) (491) MSC Industrial Direct, Cl A (8,005) (436) Pall (5,200) (212) Pitney Bowes (18,352) (666) Quanta Services* (21,300) (683) Ritchie Bros Auctioneers (8,600) (237) Shaw Group* (5,300) (323) Stericycle* (2,953) (172) Sunpower, Cl A* (4,800) (393) Teleflex (320) (19) UAL (10,527) (90)
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- URS* (10,000) $ (478) US Airways Group* (19,805) (78) UTi Worldwide (13,200) (314) ------------- (7,893) ------------- INFORMATION TECHNOLOGY -- (2.4)% Amphenol, Cl A (12,200) (569) Applied Materials (7,900) (156) Autodesk* (12,900) (531) AVX (2,200) (29) Ciena* (7,400) (226) CommScope* (11,800) (648) Cypress Semiconductor* (46,900) (1,308) Diebold (2,463) (97) Dolby Laboratories, Cl A* (3,746) (180) DST Systems* (10,100) (640) EchoStar, Cl A* (4,500) (168) Electronic Arts* (7,500) (377) Equinix* (6,500) (621) F5 Networks* (5,915) (178) Fair Isaac (16,655) (421) Fidelity National Information Services (9,500) (383) Fiserv* (7,755) (406) Harris (22) (1) Kla-Tencor (9,100) (420) Lam Research* (28,252) (1,150) Linear Technology (21,630) (795) Micron Technology* (56,200) (454) Motorola (8,300) (77) Novell* (11,200) (79) Novellus Systems* (22,000) (526) Paychex (778) (27) Rambus* (46,000) (950) Red Hat* (22,000) (536) Salesforce.com* (8,900) (643) Tellabs* (9,300) (51) Varian Semiconductor Equipment Associates* (2,297) (87) VeriFone Holdings* (5,619) (82) VeriSign* (1,800) (72) Western Digital* (2,185) (82) Zebra Technologies, Cl A* (10,915) (410) ------------- (13,380) ------------- MATERIALS -- (0.7)% Allegheny Technologies (2,700) (203) Cleveland-Cliffs (1,566) (167) Eagle Materials (12,428) (446) Ivanhoe Mines* (62,600) (577) Louisiana-Pacific (65,385) (794) Packaging of America (12,337) (322) Sealed Air (1,000) (24) Silver Standard Resources* (15,600) (470)
SEI Institutional Investments Trust / Annual Report / May 31, 2008 45 SCHEDULE OF INVESTMENTS Large Cap Diversified Alpha Fund (Concluded) May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Southern Copper (1,642) $ (181) Temple-Inland (14,100) (205) Titanium Metals (6,700) (117) Weyerhaeuser (7,415) (462) ------------- (3,968) ------------- TELECOMMUNICATION SERVICES -- (0.4)% Citizens Communications (20,280) (236) Embarq (66) (3) MetroPCS Communications* (15,800) (336) NeuStar, Cl A* (9,100) (213) NII Holdings* (21,200) (1,064) Sprint Nextel (3,642) (34) Windstream (10,315) (138) ------------- (2,024) ------------- UTILITIES -- (0.2)% AGL Resources (451) (16) Allegheny Energy (700) (38) Equitable Resources (6,700) (470) Mirant* (10,500) (427) PPL (596) (31) SCANA (3,022) (121) Wisconsin Energy (5,600) (269) ------------- (1,372) ------------- Total Common Stock Sold Short (Proceeds $81,641) ($ Thousands) $ (81,586) =============
A summary of the open futures contracts held by the Fund at May 31, 2008, is as follows:
NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION APPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) ----------------------- ------------ ---------- ------------- S&P 500 Composite Index 312 Jun-2008 $7,869 S&P 500 Index E-Mini 9 Jun-2008 49 ------ $7,918 ======
Percentages are based on a Net Assets of $552,361 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of May 31, 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) Security, or portion thereof, has been pledged as collateral on open future contracts. (C) All or a portion of this security is held as collateral for securities sold short. The total value of collateral for securities sold short at May 31, 2008 was $255,903 ($ Thousands). Cl -- Class L.P. -- Limited Partnership Ser -- Series The accompanying notes are an integral part of the financial statements. 46 SEI Institutional Investments Trust / Annual Report / May 31, 2008 SCHEDULE OF INVESTMENTS Large Cap Disciplined Equity Fund May 31, 2008 (BAR CHART) Sector Weightings (unaudited)++ 20.5% Affiliated Partnerships 11.4% Financials 11.3% Information Technology 9.8% Industrials 9.7% Energy 8.5% Health Care 7.7% Consumer Staples 6.4% Short-Term Investments 5.3% Consumer Discretionary 3.0% Materials 2.9% Telecommunication Services 2.3% Utilities 1.2% U.S. Treasury Obligations
++ Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 9).
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- COMMON STOCK -- 76.0% CONSUMER DISCRETIONARY -- 5.6% Abercrombie & Fitch, Cl A 15,200 $ 1,104 Amazon.com* (A) 230,778 18,836 Apollo Group, Cl A* (A) 186,500 8,913 Asbury Automotive Group 36,400 600 AutoNation* (A) 42,300 668 Autozone* 900 114 Best Buy (A) 355,377 16,592 Big Lots* (A) 156,360 4,856 Black & Decker 7,900 511 CBS, Cl B (A) 358,740 7,742 Centex 22,500 424 Christopher & Banks (A) 101,600 1,143 Clear Channel Communications 47,025 1,647 Coach* 474,300 17,217 Comcast, Cl A (A) 1,674,032 37,665 Cooper Tire & Rubber (A) 63,600 698 Darden Restaurants 68,700 2,353 Deckers Outdoor* (A) 39,700 5,428 DIRECTV Group* 892,100 25,068 DR Horton 36,800 468 E.W. Scripps, Cl A 25,400 1,196 Eastman Kodak 54,800 840 Expedia* 51,500 1,249 Family Dollar Stores 31,700 678 Ford Motor* (A) 2,971,297 20,205 Fortune Brands 7,500 521 GameStop, Cl A* 78,900 3,913 Gannett (A) 147,200 4,241 Gap 74,200 1,354 General Motors 199,000 3,403 Goodyear Tire & Rubber* 16,600 422 Gymboree* 143,100 6,603 H&R Block 50,800 1,186 Hanesbrands* 16,800 554 Harman International Industries 7,200 322 Home Depot 350,295 9,584 IAC* (A) 241,500 5,446 International Game Technology 65,600 2,339
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- J.C. Penney 70,600 $ 2,841 Jack in the Box* (A) 140,000 3,440 Johnson Controls 430,936 14,678 Jones Apparel Group (A) 302,200 5,083 KB Home 20,600 423 Kohl's* 16,600 744 Limited Brands 79,100 1,533 Macy's 89,300 2,114 Marriott International, Cl A 206,408 6,793 Mattel 51,400 1,035 McDonald's 530,568 31,474 News, Cl A 1,301,494 23,362 Nike, Cl B 45,500 3,111 Nordstrom 89,726 3,139 Omnicom Group 10,500 515 Polo Ralph Lauren, Cl A 4,200 293 Pulte Homes 72,900 892 RadioShack 117,400 1,720 Rent-A-Center, Cl A* (A) 185,700 3,896 Sherwin-Williams 63,400 3,560 Snap-On 213,478 13,218 Starbucks* 90,400 1,644 Target 157,862 8,423 Tiffany 92,300 4,525 Time Warner 3,258,929 51,751 TJX 88,800 2,847 TRW Automotive Holdings* 128,369 3,203 Urban Outfitters* 71,600 2,305 VF 112,800 8,539 Viacom, Cl B* 360,300 12,906 Walt Disney (A) 980,250 32,936 Warnaco Group* (A) 32,100 1,547 Washington Post, Cl B 2,500 1,571 Wendy's International 31,400 931 Whirlpool (A) 60,600 4,464 Yum! Brands 298,600 11,854 ------------- 489,413 ------------- CONSUMER STAPLES -- 8.1% Altria Group 1,210,534 26,946 Anheuser-Busch 124,493 7,153 Archer-Daniels-Midland 904,097 35,892 Avon Products 31,000 1,211 Brown-Forman, Cl B 128,673 9,674 Campbell Soup 5,900 198 Clorox 15,600 891 Coca-Cola 860,387 49,266 Coca-Cola Enterprises 481,927 9,706 Colgate-Palmolive 247,300 18,389 ConAgra Foods 20,600 486 Constellation Brands, Cl A* 214,700 4,577 Costco Wholesale (A) 332,782 23,734 CVS 291,908 12,491
SEI Institutional Investments Trust / Annual Report / May 31, 2008 47 SCHEDULE OF INVESTMENTS Large Cap Disciplined Equity Fund (Continued) May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Del Monte Foods 80,500 $ 701 General Mills 105,800 6,687 HJ Heinz 9,200 459 Kellogg 43,800 2,269 Kimberly-Clark 366,694 23,395 Kraft Foods, Cl A 243,583 7,912 Kroger 1,392,769 38,496 McCormick (A) 36,500 1,372 Molson Coors Brewing, Cl B 176,698 10,248 Pepsi Bottling Group 233,800 7,580 PepsiAmericas 15,500 378 PepsiCo 725,627 49,561 Philip Morris International* (A) 1,108,232 58,360 Procter & Gamble 1,957,257 129,277 Reynolds American 388,000 21,309 Rite Aid* (A) 44,336 100 Safeway (A) 433,800 13,825 Sara Lee 224,900 3,099 Supervalu 116,500 4,086 Sysco 313,469 9,674 Tyson Foods, Cl A (A) 1,461,193 27,528 UST 46,700 2,579 Walgreen 215,892 7,776 Wal-Mart Stores 1,344,872 77,652 Whole Foods Market 97,400 2,825 WM Wrigley Jr. 25,124 1,938 ------------- 709,700 ------------- ENERGY -- 10.3% Anadarko Petroleum 59,700 4,476 Apache 107,500 14,411 Baker Hughes 69,400 6,150 BJ Services 38,300 1,157 Cameron International* 51,100 2,720 Chesapeake Energy 113,600 6,222 Chevron 1,467,354 145,487 ConocoPhillips 676,991 63,028 Consol Energy 27,200 2,654 Devon Energy 329,590 38,213 El Paso 172,100 3,365 ENSCO International (A) 88,100 6,328 EOG Resources 7,600 978 Exxon Mobil 3,085,650 273,881 FMC Technologies* 139,400 10,016 Halliburton (A) 864,769 42,010 Hess 20,500 2,518 Marathon Oil 486,154 24,983 Murphy Oil 111,965 10,374 Nabors Industries* 18,100 761 National Oilwell Varco* 90,700 7,557 Noble 173,900 10,980 Noble Energy 197,938 19,289 Occidental Petroleum 364,237 33,484
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Patterson-UTI Energy 61,500 $ 1,936 Peabody Energy 19,000 1,404 Pioneer Natural Resources 76,854 5,517 Range Resources 18,400 1,210 Rowan 49,600 2,190 Schlumberger 659,946 66,741 Smith International 84,000 6,629 Southwestern Energy* 39,800 1,765 Sunoco (A) 173,600 7,720 Tesoro 58,500 1,454 Tidewater (A) 41,400 2,829 Transocean 42,143 6,329 Unit* 37,900 2,907 Valero Energy 255,500 12,990 Weatherford International* 125,800 5,740 Williams 1,027,750 39,096 XTO Energy 55,825 3,552 ------------- 901,051 ------------- FINANCIALS -- 12.1% ACE 536,314 32,216 Aflac 196,000 13,157 Allstate 272,347 13,873 American Express 304,381 14,107 American Financial Group 152,500 4,548 American International Group (A) 1,008,701 36,313 American National Insurance 489 54 Ameriprise Financial 86,036 4,066 Annaly Capital Management++ 125,700 2,239 AON 93,700 4,422 Arch Capital Group* 40,200 2,828 Ashford Hospitality Trust++ 3,300 20 Aspen Insurance Holdings 24,400 624 Assurant 16,800 1,143 AvalonBay Communities++ (A) 49,440 5,003 Bank of America 2,697,884 91,755 Bank of New York Mellon 978,506 43,573 BB&T (A) 168,900 5,315 Bear Stearns 49,000 457 BlackRock, Cl A (A) 50,495 11,361 Boston Properties++ (A) 305,022 29,814 Brandywine Realty Trust++ (A) 184,900 3,471 Capital One Financial (A) 33,200 1,598 CB Richard Ellis Group, Cl A* 6,600 148 CBL & Associates Properties++ (A) 155,200 4,083 Central Pacific Financial (A) 37,400 558 Charles Schwab 1,291,058 28,636 Chubb 202,302 10,876 Cincinnati Financial 37,900 1,327 CIT Group (A) 47,400 474 Citigroup 3,150,462 68,964 CME Group, Cl A 9,490 4,084 Discover Financial Services (A) 18,300 314 Endurance Specialty Holdings (A) 71,300 2,400
48 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Equity Residential++ 12,200 $ 516 Fannie Mae 203,600 5,501 Federated Investors, Cl B 35,700 1,314 Fifth Third Bancorp (A) 148,400 2,775 First Citizens BancShares, Cl A 36 6 First Industrial Realty Trust++ (A) 32,700 1,024 Franklin Resources 122,109 12,360 Freddie Mac 23,617 600 Goldman Sachs Group 172,003 30,343 Hartford Financial Services Group 190,664 13,550 HCP++ 57,500 1,970 Hospitality Properties Trust++ 17,200 533 Host Hotels & Resorts++ (A) 182,200 3,132 Hudson City Bancorp 1,002,500 17,845 Huntington Bancshares (A) 590,800 5,264 Interactive Brokers Group, Cl A* 41,000 1,335 IntercontinentalExchange* 6,600 912 iStar Financial++ (A) 49,700 950 JPMorgan Chase 2,525,550 108,599 Legg Mason 112,100 6,032 Lehman Brothers Holdings 61,200 2,253 Leucadia National 221,300 12,017 Lexington Realty Trust++ (A) 35,800 558 Lincoln National 7,592 419 Loews (A) 789,693 39,146 M&T Bank 16,900 1,465 Marsh & McLennan 155,609 4,237 Marshall & Ilsley 18,800 437 MBIA 43,400 302 MCG Capital (A) 33,000 189 Merrill Lynch 156,275 6,864 MetLife (A) 629,176 37,770 Montpelier Re Holdings (A) 99,400 1,667 Morgan Stanley 566,816 25,070 MSCI, Cl A* 7,700 274 Northern Trust 152,094 11,559 NYSE Euronext (A) 194,493 12,432 Parkway Properties++ 20,300 772 PartnerRe 37,600 2,771 Platinum Underwriters Holdings 105,200 3,731 Plum Creek Timber++ 23,000 1,073 PNC Financial Services Group 13,700 880 Principal Financial Group 9,000 485 Progressive 105,800 2,122 Prologis++ 7,900 489 Provident Bankshares (A) 43,300 414 Prudential Financial 332,269 24,820 Public Storage++ 87,871 7,744 Rayonier++ 167,738 7,961 Regions Financial (A) 719,500 12,821 Simon Property Group++ 6,381 634 SLM* 132,900 3,013 South Financial Group (A) 9,300 51 State Street 395,588 28,490
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Sunstone Hotel Investors++ (A) 92,800 $ 1,786 SunTrust Banks 47,200 2,464 T. Rowe Price Group 103,028 5,967 Torchmark 8,000 507 Travelers 767,406 38,225 Unum Group 98,200 2,365 US Bancorp 351,266 11,659 Vornado Realty Trust++ 3,700 362 Wachovia (A) 1,042,879 24,821 Washington Mutual 132,141 1,192 Wells Fargo (A) 1,641,972 45,269 XL Capital, Cl A (A) 78,700 2,747 Zions Bancorporation (A) 178,900 7,709 ------------- 1,058,385 ------------- HEALTH CARE -- 9.0% Abbott Laboratories 428,616 24,153 Aetna 97,388 4,593 Allergan 33,200 1,913 AmerisourceBergen 699,222 28,899 Amgen* 322,239 14,188 Analogic 16,400 1,099 Applera - Applied Biosystems Group 364,503 12,670 Barr Pharmaceuticals* 9,400 412 Baxter International 1,042,792 63,715 Becton Dickinson 188,000 15,877 Biogen Idec* 65,400 4,104 Bristol-Myers Squibb 1,480,470 33,740 C.R. Bard 15,000 1,368 Cardinal Health 490,206 27,716 Celgene* 147,000 8,946 Cephalon* 19,000 1,286 Cigna 655,133 26,598 Coventry Health Care* 44,800 2,062 Covidien 11,042 553 Cubist Pharmaceuticals* 103,000 1,963 Dionex* (A) 25,100 1,830 Eli Lilly 458,172 22,056 Express Scripts* (A) 277,500 20,011 Genentech* 270,617 19,180 Genzyme* 43,400 2,971 Gilead Sciences* 312,400 17,282 Hospira* 80,400 3,372 Humana* 450,540 23,000 IMS Health 21,300 516 Johnson & Johnson (A) 1,098,065 73,284 King Pharmaceuticals* 414,000 4,248 Laboratory Corp of America Holdings* 47,600 3,512 McKesson (A) 556,628 32,091 Medco Health Solutions* (A) 756,501 36,653 Medtronic 475,549 24,096 Merck 1,329,494 51,797
SEI Institutional Investments Trust / Annual Report / May 31, 2008 49 SCHEDULE OF INVESTMENTS Large Cap Disciplined Equity Fund (Continued) May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Millipore* 6,200 $ 450 OSI Pharmaceuticals* (A) 102,600 3,622 Patterson* 26,800 911 PerkinElmer 96,800 2,738 Pfizer 3,045,833 58,967 Quest Diagnostics 122,700 6,185 Schering-Plough 404,200 8,246 St. Jude Medical* 24,100 982 Stryker 565,454 36,500 Thermo Fisher Scientific* 224,800 13,268 UnitedHealth Group 504,422 17,256 Varian Medical Systems* 39,100 1,859 Warner Chilcott, Cl A* 13,600 236 Waters* 37,600 2,313 Watson Pharmaceuticals* 53,300 1,522 WellPoint* 101,096 5,643 Wyeth 336,849 14,980 Zimmer Holdings* 9,100 662 ------------- 788,094 ------------- INDUSTRIALS -- 10.4% 3M 277,944 21,557 Acuity Brands (A) 29,900 1,592 AGCO* (A) 81,392 4,919 Boeing 846,247 70,043 Burlington Northern Santa Fe 175,600 19,852 C.H. Robinson Worldwide (A) 180,491 11,642 Caterpillar 148,428 12,265 Cintas 18,800 555 Cooper Industries, Cl A 85,900 4,006 CSX 446,384 30,827 Cummins 266,540 18,769 Danaher 72,100 5,637 Deere 103,400 8,411 Dover 60,700 3,283 Eaton 35,200 3,403 Emerson Electric 433,804 25,239 Expeditors International Washington 81,900 3,856 Fastenal (A) 11,100 549 FedEx 176,973 16,230 Flowserve 39,341 5,450 Fluor 123,200 22,983 General Dynamics 140,500 12,947 General Electric 6,776,415 208,171 Goodrich 72,500 4,699 Harsco 71,347 4,518 Honeywell International 349,253 20,822 Hubbell, Cl B (A) 25,900 1,211 Illinois Tool Works 180,000 9,666 Ingersoll-Rand, Cl A (A) 424,200 18,681 ITT 4,900 323 Jacobs Engineering Group* (A) 136,164 12,906 KBR 257,481 8,937
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- L-3 Communications Holdings 31,500 $ 3,383 Lockheed Martin 559,880 61,272 Manitowoc 14,050 547 Manpower 70,966 4,470 Norfolk Southern 251,500 16,946 Northrop Grumman 265,976 20,071 Paccar 204,769 10,932 Pall 33,700 1,375 Parker Hannifin 67,800 5,741 Precision Castparts 67,000 8,094 Raytheon 634,508 40,520 Rockwell Automation 78,300 4,584 Rockwell Collins 10,600 651 RR Donnelley & Sons 14,700 483 Ryder System 25,700 1,887 Southwest Airlines 232,800 3,040 Steelcase, Cl A 54,500 687 Terex* 85,200 6,079 Textron 99,900 6,249 Timken 87,675 3,212 Trane 9,000 418 TrueBlue* 41,400 603 Tyco International 408,354 18,454 Union Pacific 204,004 16,792 United Parcel Service, Cl B (A) 538,625 38,253 United Technologies 449,444 31,929 Waste Management 48,700 1,847 WESCO International* 46,300 2,052 WW Grainger 55,800 5,092 ------------- 909,612 ------------- INFORMATION TECHNOLOGY -- 12.0% Accenture, Cl A 306,100 12,495 Activision* 140,795 4,752 Adobe Systems* 270,700 11,927 Advanced Micro Devices* 415,000 2,855 Affiliated Computer Services, Cl A* 84,000 4,553 Agilent Technologies* 69,700 2,606 Akamai Technologies* 48,500 1,894 Altera 27,700 641 Amdocs* 154,414 4,989 Amkor Technology* (A) 195,600 2,085 Analog Devices 207,200 7,275 Apple* 255,676 48,259 Applied Materials 94,200 1,866 Arrow Electronics* 110,025 3,373 Autodesk* 14,700 605 Automatic Data Processing 352,653 15,182 Avnet* 117,099 3,457 Avocent* 58,400 1,152 BMC Software* 28,000 1,123 Broadcom, Cl A* (A) 512,600 14,706 Ciena* 377,900 11,549 Cisco Systems* 1,856,552 49,606
50 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Citrix Systems* 140,900 $ 4,823 Cognex 11,700 326 Cognizant Technology Solutions, Cl A* 45,100 1,591 Computer Sciences* 21,800 1,071 Compuware* 79,100 806 Corning 1,438,796 39,337 Dell* 793,900 18,307 Earthlink* 129,400 1,242 eBay* 377,500 11,329 Electronic Arts* 22,000 1,104 Electronic Data Systems 1,101,054 26,966 EMC* 523,500 9,130 Emulex* 114,000 1,598 Factset Research Systems 5,800 375 Fidelity National Information Services 40,900 1,647 Google, Cl A* 123,675 72,449 Hewlett-Packard 2,387,105 112,337 Intel 1,131,897 26,237 International Business Machines 761,920 98,615 Intuit* 132,600 3,840 Jabil Circuit 77,000 979 JDS Uniphase* 34,000 421 Juniper Networks* (A) 323,100 8,892 Kla-Tencor 17,800 821 Lexmark International, Cl A* 76,100 2,805 Linear Technology 38,400 1,412 LSI* 123,200 896 Mastercard, Cl A (A) 73,070 22,553 MEMC Electronic Materials* 36,100 2,479 Micrel 32,000 307 Microchip Technology 33,700 1,242 Micron Technology* 244,400 1,972 Microsoft 5,561,065 157,490 Molex 197,218 5,491 Motorola 105,500 984 National Semiconductor 22,500 474 NetApp* (A) 146,200 3,564 Nvidia* 379,650 9,377 Oracle* 1,592,316 36,369 Paychex 31,000 1,071 QLogic* (A) 167,800 2,650 Qualcomm 592,600 28,765 SanDisk* 79,000 2,236 Seagate Technology 77,700 1,664 Silicon Laboratories* 43,600 1,607 Sun Microsystems* 1,668,888 21,612 Symantec* 791,900 17,208 Tech Data* 7,306 267 Tellabs* 72,200 393 Teradata* 6,400 173 Teradyne* 42,100 578 Texas Instruments 1,500,778 48,746
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- VeriSign* 103,600 $ 4,148 Western Digital* 131,200 4,924 Western Union 168,285 3,978 Xerox 856,300 11,629 Yahoo!* 13,600 364 ------------- 1,050,621 ------------- MATERIALS -- 3.1% Air Products & Chemicals 53,900 5,493 AK Steel Holding 15,169 1,077 Alcoa 861,234 34,957 Allegheny Technologies 70,300 5,273 Ashland 323,207 17,347 Ball 22,800 1,238 CF Industries Holdings 14,500 1,985 Crown Holdings* 384,508 11,093 Dow Chemical 337,400 13,631 E.I. Du Pont de Nemours 207,207 9,927 Ecolab 168,463 7,552 Freeport-McMoRan Copper & Gold, Cl B 71,333 8,254 Greif, Cl A 26,900 1,803 International Flavors & Fragrances 60,600 2,543 International Paper (A) 141,800 3,860 MeadWestvaco 32,800 844 Monsanto 314,703 40,094 Mosaic* 183,146 22,953 Nalco Holding 524,127 12,747 Newmont Mining (A) 515,068 24,481 Nucor 120,900 9,043 Olin (A) 154,300 3,472 OM Group* 61,300 2,665 PPG Industries 67,700 4,267 Praxair 56,600 5,380 Sigma-Aldrich 94,100 5,529 Terra Industries (A) 170,300 7,430 United States Steel 50,100 8,653 Vulcan Materials 7,400 569 Zep 5,100 84 ------------- 274,244 ------------- TELECOMMUNICATION SERVICES -- 3.0% American Tower, Cl A* 173,574 7,935 AT&T 4,571,009 182,384 CenturyTel (A) 148,100 5,244 Embarq 12,100 573 Leap Wireless International* (A) 22,200 1,276 Sprint Nextel 410,900 3,846 US Cellular* 97,430 6,102 Verizon Communications 1,242,704 47,807 Windstream (A) 963,813 12,857 ------------- 268,024 -------------
SEI Institutional Investments Trust / Annual Report / May 31, 2008 51 SCHEDULE OF INVESTMENTS Large Cap Disciplined Equity Fund (Concluded) May 31, 2008
Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------ ------------- ------------- UTILITIES -- 2.4% AES* 379,000 $ 7,383 Allegheny Energy 187,300 10,255 Alliant Energy 10,970 412 Ameren 34,200 1,554 American Electric Power 125,000 5,291 Centerpoint Energy (A) 87,000 1,474 CMS Energy 100,900 1,573 Consolidated Edison (A) 154,500 6,381 Constellation Energy Group 74,600 6,433 Dominion Resources 191,500 8,866 DTE Energy 32,200 1,425 Duke Energy (A) 1,164,351 21,518 Dynegy, Cl A* (A) 894,488 8,426 Edison International 315,702 16,805 Entergy 43,200 5,217 Exelon 186,682 16,428 FirstEnergy 26,200 2,062 FPL Group 73,700 4,976 Nicor (A) 46,000 1,878 Pepco Holdings 183,000 4,948 PG&E 757,157 29,975 Pinnacle West Capital 16,100 544 Portland General Electric 62,800 1,470 PPL 183,100 9,395 Public Service Enterprise Group 132,100 5,847 Questar 53,400 3,430 Reliant Energy* 859,174 21,960 Southern (A) 102,600 3,714 ------------- 209,640 ------------- Total Common Stock (Cost $6,070,228) ($ Thousands) 6,658,784 ------------- AFFILIATED PARTNERSHIPS -- 21.7% SEI LIBOR Plus Portfolio, L.P. 3.800%**+ 152,553,572 1,415,697 SEI Liquidity Fund, L.P., 2.810% (D)**+ 487,069,947 487,070 ------------- Total Affiliated Partnerships (Cost $2,009,969) ($ Thousands) 1,902,767 ------------- U.S. TREASURY OBLIGATIONS (B) (C) -- 1.3% U.S. Treasury Bills 1.823%, 08/21/08 $ 112,280 111,817 1.029%, 06/05/08 3,145 3,145 0.732%, 06/19/08 750 749 ------------- Total U.S. Treasury Obligations (Cost $115,715) ($ Thousands) 115,711 -------------
Market Value Description Shares ($ Thousands) ------------------------------------------------ ------------- ------------- CASH EQUIVALENTS -- 6.6% First Union Cash Management Program, 2.010%** 1,837,245 $ 1,837 SEI Daily Income Trust, Prime Obligation Fund, Cl A, 2.460%**+ 582,316,667 582,317 ------------- Total Cash Equivalents (Cost $584,154) ($ Thousands) 584,154 ------------- Total Investments -- 105.6% (Cost $8,780,066) ($ Thousands) $ 9,261,416 =============
A summary of the open futures contracts held by the Fund at May 31, 2008, is as follows:
NUMBER OF UNREALIZED CONTRACTS APPRECIATION/ TYPE OF LONG EXPIRATION (DEPRECIATION) CONTRACT (SHORT) DATE ($ THOUSANDS) -------------------------- ---------- ---------- -------------- 3 Months Euribor (24) Sep-2008 $ 22 90-Day Euro$ 29 Sep-2008 (9) 90-Day GBP LIBOR (31) Sep-2008 26 Amsterdam Index 1 Jun-2008 (1) Australian 10-Year Bond (139) Jun-2008 (5) CAC40 10 Euro (20) Jun-2008 (27) Canadian 10-Year Bond 61 Sep-2008 (29) Euro-Bobl 2 Jun-2008 (4) Euro-Bund (80) Jun-2008 205 Japan 10 Year Bond 5 Jun-2008 6 Long Gilt 10 Year Bond (74) Sep-2008 -- S&P 500 Composite Index 6,054 Jun-2008 155,995 S&P 500 Index E-Mini (14) Jun-2008 (47) Topix Index 2 Jun-2008 10 U.S. 10 Year Treasury Note 194 Sep-2008 7 U.S. 5 Year Treasury Note 9 Sep-2008 2 U.S. Long Treasury Bond 4 Sep-2008 (1) -------- $156,150 ========
52 SEI Institutional Investments Trust / Annual Report / May 31, 2008 A summary of the outstanding forward foreign currency contracts held by the Fund at May 31, 2008 is as follows:
UNREALIZED CURRENCY TO CURRENCY TO APPRECIATION/ MATURITY DELIVER RECEIVE (DEPRECIATION) DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) -------- ------------- ------------- -------------- 6/18/08 AUD 4,600 USD 4,195 $ (182) 6/18/08 CAD 1,000 USD 1,006 (1) 6/18/08 CHF 2,125 USD 2,075 41 6/18/08 EUR 4,550 USD 7,062 (3) 6/18/08 GBP 2,625 USD 5,263 81 6/18/08 JPY 1,080,000 USD 10,579 339 6/18/08 NZD 5,000 USD 3,854 (50) 6/18/08 SEK 32,000 USD 5,346 21 6/18/08 USD 5,961 AUD 6,550 271 6/18/08 USD 1,786 CAD 1,800 25 6/18/08 USD 3,258 CHF 3,250 (147) 6/18/08 USD 10,012 EUR 6,375 (112) 6/18/08 USD 7,418 GBP 3,750 (16) 6/18/08 USD 10,254 JPY 1,012,500 (654) 6/18/08 USD 1,653 NOK 8,500 11 6/18/08 USD 3,401 NZD 4,325 (24) 6/18/08 USD 5,861 SEK 35,500 47 ------ $ (353) ======
Description ------------------------------------------------ Percentages are based on a Net Assets of $8,767,342 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of May 31, 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 May 31, 2008. The total value of securities on loan at May 31, 2008 was $472,360 ($ Thousands). (B) Security, or a portion thereof, has been pledged as collateral on open futures contracts. (C) The rate reported is the effective yield at time of purchase. (D) This security was purchased with cash collateral held from securities on loan. The total value of such securities as of May 31, 2008 was $487,070 ($ Thousands). AUD -- Australian Dollar CAD -- Canadian Dollar CHF -- Swiss Franc Cl -- Class EUR -- Euro GBP -- British Pund Sterling JPY -- Japanese Yen L.P. -- Limited Partnership NOK -- Norwegian Dollar NZD -- New Zealand Dollar SEK -- Swedish Krone USD -- U.S. Dollar Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. SEI Institutional Investments Trust / Annual Report / May 31, 2008 53 SCHEDULE OF INVESTMENTS Large Cap Index Fund May 31, 2008 (BAR CHART) SECTOR WEIGHTINGS (UNAUDITED)++: Information Technology 14.5% Financials 14.2% Energy 12.3% Industrials 10.8% Health Care 9.9% Affiliated Partnership 9.5% Consumer Staples 8.8% Consumer Discretionary 8.1% Materials 3.8% Utilities 3.6% Telecommunication Services 3.0% Short-Term Investment 1.4% U.S. Treasury Obligations 0.1%
++ Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 9).
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- COMMON STOCK -- 98.2% CONSUMER DISCRETIONARY -- 9.0% Abercrombie & Fitch, Cl A 2,402 $ 174 Advance Auto Parts 2,808 113 Amazon.com* (A) 8,089 661 American Eagle Outfitters 4,671 85 AnnTaylor Stores* 1,847 51 Apollo Group, Cl A* 3,964 189 Autoliv 2,118 116 AutoNation* 4,132 65 Autozone* 1,207 153 Barnes & Noble 1,238 38 Bed Bath & Beyond* (A) 7,015 223 Best Buy (A) 9,247 432 Big Lots* (A) 2,800 87 Black & Decker (A) 1,768 114 BorgWarner 3,282 170 Boyd Gaming (A) 1,651 26 Brinker International 2,683 59 Brunswick (A) 2,533 35 Burger King Holdings 2,000 57 Cablevision Systems, Cl A* 6,142 167 Career Education* (A) 2,459 45 Carmax* (A) 5,860 115 Carnival 11,700 469 CBS, Cl B 16,169 349 Centex 3,256 61 Central European Media Enterprises, Cl A* 1,000 106 Cheesecake Factory* (A) 2,046 41 Chico's FAS* 4,616 35 Choice Hotels International 884 31 Circuit City Stores (A) 4,985 24 Clear Channel Communications 13,435 470 Clear Channel Outdoor Holdings, Cl A* 700 14 Coach* 9,267 336 Coldwater Creek* (A) 1,700 11 Comcast, Cl A (A) 80,225 1,806 CROCS* (A) 2,000 20
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- CTC Media* 1,100 $ 30 Darden Restaurants 4,022 138 Dick's Sporting Goods* 2,058 48 Dillard's, Cl A (A) 1,675 27 DIRECTV Group* 19,058 536 Discovery Holding, Cl A* 7,242 190 DISH Network, Cl A* (A) 5,762 202 Dollar Tree* 2,653 98 DR Horton (A) 8,768 111 DreamWorks Animation SKG, Cl A* 1,934 61 E.W. Scripps, Cl A 2,272 107 Eastman Kodak (A) 7,967 122 Expedia* 5,334 129 Family Dollar Stores 3,462 74 Foot Locker 4,469 65 Ford Motor* (A) 58,224 396 Fortune Brands 4,120 286 GameStop, Cl A* 4,300 213 Gannett 6,459 186 Gap 14,959 273 Garmin (A) 3,000 146 General Motors (A) 12,981 222 Gentex (A) 3,932 69 Genuine Parts 4,571 201 Getty Images* 1,519 51 Goodyear Tire & Rubber* 6,652 169 Guess ? 1,300 53 H&R Block 8,925 209 Hanesbrands* 2,643 87 Harley-Davidson 6,603 274 Harman International Industries 1,568 70 Harte-Hanks (A) 1,489 20 Hasbro 3,767 137 Hearst-Argyle Television, Cl A 863 18 Hillenbrand 1,724 38 Home Depot 46,015 1,260 IAC* 4,664 105 Idearc (A) 3,955 16 International Game Technology 8,543 305 International Speedway, Cl A 912 40 Interpublic Group of* (A) 12,575 125 ITT Educational Services* 1,121 81 J.C. Penney 6,151 248 Jarden* 2,000 38 John Wiley & Sons, Cl A 1,242 59 Johnson Controls 15,745 535 Jones Apparel Group 1,753 29 KB Home (A) 2,080 43 Kohl's* (A) 8,719 391 Lamar Advertising, Cl A* (A) 2,140 90 Las Vegas Sands* (A) 2,893 201 Leggett & Platt (A) 4,919 94 Lennar, Cl A (A) 3,530 60 Liberty Global, Cl A* (A) 10,371 372
54 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Liberty Media - Capital, Ser A* 3,492 $ 52 Liberty Media - Entertainment* 13,968 377 Liberty Media - Interactive, Cl A* 16,547 281 Limited Brands 8,857 172 Liz Claiborne (A) 2,661 46 Lowe's 40,510 973 Macy's 11,830 280 Marriott International, Cl A 7,950 262 Mattel 9,542 191 McClatchy, Cl A (A) 1,417 12 McDonald's 30,680 1,819 McGraw-Hill 9,239 383 MDC Holdings (A) 816 33 Meredith 1,358 45 MGM Mirage* 3,139 154 Mohawk Industries* (A) 1,366 103 New York Times, Cl C (A) 3,524 61 Newell Rubbermaid 7,365 148 News, Cl A 61,285 1,100 Nike, Cl B (A) 9,548 654 Nordstrom (A) 5,812 203 NutriSystem (A) 900 18 NVR* (A) 124 70 Office Depot* 6,889 87 OfficeMax 1,974 43 Omnicom Group 8,944 438 O'Reilly Automotive* (A) 3,240 85 Orient-Express Hotels, Cl A 1,000 47 Panera Bread, Cl A* (A) 762 40 Penn National Gaming* 2,089 97 Penske Auto Group 1,200 25 PetSmart (A) 3,173 74 Phillips-Van Heusen 1,400 64 Polo Ralph Lauren, Cl A (A) 1,780 124 Pool (A) 1,292 27 Pulte Homes (A) 6,018 74 R.H. Donnelley* 1,761 10 RadioShack 3,871 57 Regal Entertainment Group, Cl A (A) 1,988 35 Ross Stores 3,971 145 Royal Caribbean Cruises (A) 3,700 110 Ryland Group (A) 1,075 30 Saks* (A) 3,306 46 Scientific Games, Cl A* (A) 1,466 47 Sears Holdings* (A) 2,028 172 Service International 6,794 73 Sherwin-Williams (A) 2,737 154 Sirius Satellite Radio* (A) 38,952 98 Snap-On 1,491 92 Stanley Works 2,109 102 Staples 19,264 453 Starbucks* (A) 20,106 366 Starwood Hotels & Resorts Worldwide 4,984 241
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Target 21,585 $ 1,151 Thor Industries (A) 1,000 27 Tiffany (A) 3,525 173 Tim Hortons (A) 4,986 165 Time Warner 95,637 1,519 Time Warner Cable, Cl A* (A) 3,900 117 TJX 12,254 393 Toll Brothers* (A) 3,351 71 Tractor Supply* 1,000 34 TRW Automotive Holdings* 993 25 Urban Outfitters* (A) 3,120 100 VF 2,517 191 Viacom, Cl B* 15,169 543 Virgin Media (A) 7,620 120 WABCO Holdings 1,624 85 Walt Disney 53,484 1,797 Warner Music Group 662 6 Washington Post, Cl B 157 99 Weight Watchers International 962 40 Wendy's International 2,013 60 Whirlpool 2,187 161 Williams-Sonoma (A) 2,062 52 Wyndham Worldwide 4,468 98 Wynn Resorts 1,396 140 XM Satellite Radio Holdings, Cl A* 7,837 83 Yum! Brands (A) 12,748 506 ------------- 34,745 ------------- CONSUMER STAPLES -- 9.7% Alberto-Culver, Cl B 2,187 58 Altria Group 56,368 1,255 Anheuser-Busch 19,179 1,102 Archer-Daniels-Midland 17,879 710 Avon Products 11,806 461 Bare Escentuals* (A) 700 14 BJ's Wholesale Club* 1,872 74 Brown-Forman, Cl B 2,175 164 Bunge (A) 3,300 394 Campbell Soup 6,378 214 Church & Dwight 1,632 93 Clorox 3,603 206 Coca-Cola 62,520 3,581 Coca-Cola Enterprises 8,515 171 Colgate-Palmolive 13,875 1,032 ConAgra Foods 13,586 320 Constellation Brands, Cl A* 5,431 116 Corn Products International 2,100 99 Costco Wholesale (A) 12,181 869 CVS 39,652 1,697 Dean Foods* 4,787 104 Del Monte Foods 5,258 46 Dr Pepper Snapple Group* (A) 6,800 171 Energizer Holdings* 1,541 126 Estee Lauder, Cl A (A) 2,954 141
SEI Institutional Investments Trust / Annual Report / May 31, 2008 55 SCHEDULE OF INVESTMENTS Large Cap Index Fund (Continued) May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- General Mills 8,696 $ 550 Hansen Natural* (A) 2,000 62 Herbalife 1,200 46 Hershey 4,598 180 HJ Heinz 8,837 441 Hormel Foods 1,939 73 JM Smucker 1,655 87 Kellogg 6,403 332 Kimberly-Clark 11,618 741 Kraft Foods, Cl A 41,140 1,335 Kroger 18,173 502 Loews - Carolina (A) 2,793 203 McCormick 3,693 139 Molson Coors Brewing, Cl B 3,262 189 NBTY* 1,300 42 Pepsi Bottling Group 3,682 119 PepsiAmericas 1,494 36 PepsiCo 44,137 3,015 Philip Morris International* 56,968 3,000 Procter & Gamble 85,177 5,625 Reynolds American 4,610 253 Rite Aid* (A) 19,101 43 Safeway 11,920 380 Sara Lee 19,951 275 Smithfield Foods* 2,775 87 Supervalu 5,489 192 Sysco 16,548 511 Tyson Foods, Cl A 7,565 143 UST 3,969 219 Walgreen 26,825 966 Wal-Mart Stores 65,479 3,781 Whole Foods Market (A) 3,952 115 WM Wrigley Jr. 6,500 501 ------------- 37,401 ------------- ENERGY -- 13.6% Anadarko Petroleum 12,640 948 Apache 9,059 1,214 Arch Coal 3,912 254 Baker Hughes 8,801 780 BJ Services 7,788 235 Cabot Oil & Gas 2,600 157 Cameron International* 5,944 316 Cheniere Energy* (A) 900 4 Chesapeake Energy 14,666 803 Chevron 58,202 5,770 Cimarex Energy 2,300 157 CNX Gas* 800 33 ConocoPhillips 41,776 3,889 Consol Energy (A) 4,944 482 Continental Resources* 1,000 64 Denbury Resources* 6,648 226 Devon Energy 12,113 1,404 Diamond Offshore Drilling 1,909 260
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Dresser-Rand Group* 2,134 $ 86 El Paso 19,203 375 ENSCO International (A) 4,123 296 EOG Resources 6,545 842 Exxon Mobil 144,612 12,835 FMC Technologies* 3,560 256 Forest Oil* 2,214 148 Foundation Coal Holdings 1,300 87 Frontier Oil 3,000 90 Frontline (A) 1,500 96 Global Industries* 2,500 43 Halliburton 24,697 1,200 Helix Energy Solutions Group* 2,400 93 Helmerich & Payne 2,950 185 Hess 7,412 910 Holly 1,300 55 Marathon Oil 19,376 996 Massey Energy 2,361 153 Murphy Oil 5,054 468 Nabors Industries* (A) 7,500 315 National Oilwell Varco* 11,380 948 Newfield Exploration* 3,399 215 Noble 7,300 461 Noble Energy 4,562 445 Occidental Petroleum 22,654 2,083 Oceaneering International* 1,500 107 Overseas Shipholding Group 727 57 Patriot Coal* (A) 667 72 Patterson-UTI Energy 4,432 140 Peabody Energy 7,074 523 Pioneer Natural Resources 3,244 233 Plains Exploration & Production* 3,091 221 Pride International* 4,429 195 Quicksilver Resources* 2,802 102 Range Resources 4,039 266 Rowan 2,986 132 SandRidge Energy* 900 50 Schlumberger 31,900 3,227 SEACOR Holdings* 600 53 Smith International (A) 5,431 429 Southwestern Energy* 9,376 416 Spectra Energy 17,009 460 St. Mary Land & Exploration 1,600 82 Sunoco 3,356 149 Superior Energy Services* 2,200 118 Teekay 1,000 50 Tesoro 3,846 96 Tetra Technologies* 2,000 43 Tidewater 1,570 107 Transocean 8,396 1,261 Unit* 1,127 86 Valero Energy 14,836 754 W&T Offshore 900 50 Weatherford International* (A) 18,000 821
56 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Western Refining (A) 600 $ 8 Williams 15,946 607 XTO Energy 13,688 871 ------------- 52,463 ------------- FINANCIALS -- 15.6% ACE 8,800 529 Affiliated Managers Group* 933 96 Aflac 13,256 890 Alleghany* 134 50 Allied Capital (A) 3,964 79 Allied World Assurance Holdings 1,500 68 Allstate 15,525 791 AMB Property++ 2,644 156 AMBAC Financial Group (A) 11,668 37 American Capital Strategies (A) 6,121 196 American Express 28,134 1,304 American Financial Group 2,414 72 American International Group (A) 60,776 2,187 American National Insurance 422 47 AmeriCredit* (A) 3,072 42 Ameriprise Financial 6,300 298 Annaly Capital Management++ 12,411 221 AON 7,950 375 Apartment Investment & Management, Cl A++ (A) 2,751 109 Arch Capital Group* 1,200 84 Arthur J. Gallagher (A) 2,604 66 Associated Banc 3,384 92 Assurant 3,393 231 Astoria Financial 2,314 55 AvalonBay Communities++ 2,089 211 Axis Capital Holdings 3,900 137 Bancorpsouth 2,200 52 Bank of America 120,123 4,086 Bank of Hawaii 1,382 75 Bank of New York Mellon 30,809 1,371 BB&T (A) 14,706 463 Bear Stearns (A) 3,274 31 BlackRock, Cl A (A) 1,685 379 BOK Financial 475 28 Boston Properties++ 2,784 272 Brandywine Realty Trust++ 2,500 47 BRE Properties++ 1,320 64 Brown & Brown 2,824 55 Camden Property Trust++ (A) 1,447 71 Capital One Financial (A) 10,425 502 CapitalSource++ (A) 3,982 61 Capitol Federal Financial (A) 527 22 CB Richard Ellis Group, Cl A* (A) 5,117 116 CBL & Associates Properties++ 1,906 50 Charles Schwab 24,985 554 Chubb 9,918 533 Cincinnati Financial 4,786 168
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- CIT Group (A) 9,024 $ 90 Citigroup 141,045 3,087 City National 1,038 50 CME Group, Cl A 1,474 634 CNA Financial 700 21 Colonial BancGroup (A) 3,954 24 Colonial Properties Trust++ 1,300 31 Comerica 3,953 147 Commerce Bancshares 2,009 88 Conseco* 5,277 62 Countrywide Financial (A) 15,275 80 Cullen/Frost Bankers 1,668 93 Developers Diversified Realty++ (A) 3,253 129 Discover Financial Services (A) 13,089 224 Douglas Emmett++ 3,000 74 Duke Realty++ 3,709 95 E*Trade Financial* (A) 11,438 47 East West Bancorp (A) 1,488 20 Eaton Vance 2,710 115 Endurance Specialty Holdings 1,400 47 Equity Residential++ (A) 7,087 300 Erie Indemnity, Cl A 1,119 57 Essex Property Trust++ 669 80 Everest Re Group 1,600 140 Fannie Mae 26,633 720 Federal Realty Investment Trust++ 1,496 121 Federated Investors, Cl B 2,458 90 Fidelity National Financial, Cl A 5,904 101 Fifth Third Bancorp 14,882 278 First American 2,584 87 First Citizens BancShares, Cl A 200 32 First Horizon National (A) 3,229 31 First Marblehead (A) 1,798 6 Forest City Enterprises, Cl A 1,942 78 Forestar Real Estate Group* 858 21 Franklin Resources 4,403 446 Freddie Mac (A) 17,707 450 Fulton Financial (A) 4,195 53 General Growth Properties++ (A) 6,040 251 Genworth Financial, Cl A 11,892 263 GLG Partners (A) 1,900 16 Goldman Sachs Group 11,175 1,970 Guaranty Financial Group* (A) 858 5 Hanover Insurance Group 1,293 60 Hartford Financial Services Group 8,410 598 HCC Insurance Holdings 2,841 68 HCP++ (A) 6,674 229 Health Care++ (A) 2,483 120 Hospitality Properties Trust++ 2,466 76 Host Hotels & Resorts++ (A) 14,200 244 HRPT Properties Trust++ (A) 5,102 40 Hudson City Bancorp 14,828 264 Huntington Bancshares 9,734 87
SEI Institutional Investments Trust / Annual Report / May 31, 2008 57 SCHEDULE OF INVESTMENTS Large Cap Index Fund (Continued) May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- IndyMac Bancorp (A) 2,099 $ 4 IntercontinentalExchange* 1,900 263 Invesco 11,400 317 Investment Technology Group* 1,200 51 iStar Financial++ (A) 3,295 63 Janus Capital Group (A) 4,265 124 Jefferies Group (A) 3,214 58 Jones Lang LaSalle 800 56 JPMorgan Chase 92,522 3,978 Keycorp 10,795 210 Kilroy Realty++ 900 49 Kimco Realty++ (A) 5,844 230 Lazard, Cl A 1,200 46 Legg Mason 3,581 193 Lehman Brothers Holdings (A) 14,394 530 Leucadia National (A) 4,620 251 Liberty Property Trust++ 2,306 82 Lincoln National 7,288 402 Loews 11,718 581 M&T Bank 1,983 172 Macerich++ 1,868 134 Mack-Cali Realty++ 1,898 73 Markel* 250 101 Marsh & McLennan 14,165 386 Marshall & Ilsley 7,160 166 MBIA (A) 6,359 44 Mercury General 696 35 Merrill Lynch 26,549 1,166 MetLife 12,938 777 MF Global* 2,800 41 MGIC Investment (A) 4,615 55 Moody's (A) 5,627 209 Morgan Stanley 29,978 1,325 MSCI, Cl A* 600 21 NASDAQ Stock Market* 3,700 130 National City (A) 15,676 92 Nationwide Financial Services 1,361 69 New York Community Bancorp (A) 8,172 168 Northern Trust 5,905 449 Nymex Holdings 2,500 227 NYSE Euronext 7,000 447 Old Republic International 5,890 89 OneBeacon Insurance Group, Cl A 1,100 20 PartnerRe 1,400 103 People's United Financial 7,034 116 Philadelphia Consolidated Holding* 1,648 61 Plum Creek Timber++ (A) 4,921 230 PMI Group 2,343 14 PNC Financial Services Group 9,603 617 Popular (A) 7,230 79 Principal Financial Group 7,218 389 Progressive (A) 18,780 377 Prologis++ 6,988 433 Protective Life 1,809 76
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Prudential Financial 11,763 $ 879 Public Storage++ 3,268 288 Radian Group (A) 2,198 13 Raymond James Financial 2,421 72 Rayonier++ 1,903 90 Regency Centers++ 1,908 127 Regions Financial (A) 18,887 337 Reinsurance Group of America 799 41 RenaissanceRe Holdings 1,800 94 Safeco 2,635 177 SEI+ (B) 3,642 88 Simon Property Group++ (A) 5,952 591 SL Green Realty++ (A) 1,568 156 SLM* (A) 13,814 313 Sovereign Bancorp (A) 11,858 108 St. Joe (A) 2,661 102 StanCorp Financial Group 1,442 79 State Street 10,694 770 Student Loan 102 12 SunTrust Banks 9,946 519 Synovus Financial (A) 7,072 81 T. Rowe Price Group 7,180 416 Taubman Centers++ 1,500 81 TCF Financial 3,001 50 TD Ameritrade Holding* 6,145 111 TFS Financial 2,300 29 Thornburg Mortgage (A) 3,241 3 Torchmark 2,550 162 Transatlantic Holdings 655 42 Travelers 16,644 829 UDR++ 3,819 94 UnionBanCal 1,097 55 Unitrin 1,260 44 Unum Group (A) 9,405 226 US Bancorp 47,243 1,568 Valley National Bancorp (A) 3,158 56 Ventas++ 3,544 169 Vornado Realty Trust++ 3,610 353 Wachovia (A) 58,388 1,390 Washington Federal 2,263 51 Washington Mutual 23,627 213 Webster Financial 1,346 35 Weingarten Realty Investors++ (A) 2,067 71 Wells Fargo (A) 91,586 2,524 Wesco Financial 41 17 White Mountains Insurance Group 247 118 Whitney Holding (A) 1,557 35 Wilmington Trust 1,692 56 WR Berkley 4,214 114 XL Capital, Cl A 4,800 168 Zions Bancorporation (A) 2,802 121 ------------- 60,480 -------------
58 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- HEALTH CARE -- 11.0% Abbott Laboratories 41,776 $ 2,354 Abraxis Bioscience* 140 9 Advanced Medical Optics* (A) 1,627 39 Aetna 13,634 643 Allergan 8,196 472 AmerisourceBergen 4,562 189 Amgen* 29,567 1,302 Amylin Pharmaceuticals* (A) 3,700 118 APP Pharmaceuticals* 563 7 Applera - Applied Biosystems Group 4,394 153 Barr Pharmaceuticals* 2,882 126 Baxter International 17,575 1,074 Beckman Coulter 1,712 119 Becton Dickinson 6,544 553 Biogen Idec* 7,700 483 Boston Scientific* 35,739 475 Bristol-Myers Squibb 52,713 1,201 Brookdale Senior Living (A) 1,200 32 C.R. Bard 2,785 254 Cardinal Health 9,729 550 Celgene* 11,392 693 Cephalon* 1,748 118 Cerner* (A) 1,774 80 Charles River Laboratories International* 1,643 106 Cigna 7,755 315 Community Health Systems* 2,762 100 Cooper 1,104 45 Covance* 1,736 142 Coventry Health Care* 4,262 196 Covidien 13,200 661 DaVita* 2,708 140 Dentsply International 3,998 162 Edwards Lifesciences* 1,507 87 Eli Lilly 26,961 1,298 Endo Pharmaceuticals Holdings* 3,697 91 Express Scripts* 5,922 427 Forest Laboratories* 8,673 311 Genentech* 12,685 899 Gen-Probe* 1,327 76 Genzyme* 7,053 483 Gilead Sciences* 25,150 1,392 Health Management Associates, Cl A* 6,222 48 Health Net* 3,002 93 Henry Schein* 2,284 127 Hill-Rom Holdings (A) 1,724 53 HLTH* (A) 4,456 53 Hospira* 4,081 171 Humana* 4,475 228 Idexx Laboratories* 1,652 83 ImClone Systems* 1,728 75
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- IMS Health 4,761 $ 116 Intuitive Surgical* 1,000 294 Invitrogen* (A) 2,580 119 Johnson & Johnson 78,409 5,234 Kinetic Concepts* 1,413 61 King Pharmaceuticals* 6,226 64 Laboratory Corp of America Holdings* 3,211 237 LifePoint Hospitals* 1,376 44 Lincare Holdings* 2,327 61 McKesson 7,966 459 Medco Health Solutions* 14,520 703 Medtronic 31,185 1,580 Merck 58,740 2,289 Millipore* (A) 1,486 108 Mylan Laboratories (A) 8,219 110 Omnicare (A) 3,131 77 Patterson* (A) 3,583 122 PDL BioPharma 3,031 31 Pediatrix Medical Group* 1,400 75 PerkinElmer 3,334 94 Pfizer 190,055 3,680 Pharmaceutical Product Development 2,684 119 Quest Diagnostics (A) 4,244 214 Resmed* 2,355 93 Schering-Plough 44,309 904 Sepracor* 2,861 62 St. Jude Medical* 9,046 369 Stryker 8,104 523 Techne* 941 74 Tenet Healthcare* (A) 12,694 75 Thermo Fisher Scientific* 11,325 667 UnitedHealth Group 33,529 1,148 Universal Health Services, Cl B 1,188 77 Varian Medical Systems* 3,330 158 VCA Antech* 2,339 73 Vertex Pharmaceuticals* 3,400 97 Warner Chilcott, Cl A* 2,100 36 Waters* 2,772 171 Watson Pharmaceuticals* 2,518 72 WellCare Health Plans* 1,100 61 WellPoint* 14,531 811 Wyeth 36,540 1,625 Zimmer Holdings* 6,325 460 ------------- 42,353 ------------- INDUSTRIALS -- 11.9% 3M 19,546 1,516 AGCO* (A) 2,500 151 Aircastle 900 12 Alexander & Baldwin 1,082 56 Alliant Techsystems* 836 91
SEI Institutional Investments Trust / Annual Report / May 31, 2008 59 SCHEDULE OF INVESTMENTS Large Cap Index Fund (Continued) May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Allied Waste Industries* 10,233 $ 138 Ametek 3,047 156 AMR* 6,386 46 Armstrong World Industries 700 23 Avery Dennison 2,510 129 Avis Budget Group* 2,784 39 BE Aerospace* 2,300 80 Boeing 21,291 1,762 Brink's 1,300 94 Burlington Northern Santa Fe 9,698 1,095 C.H. Robinson Worldwide 4,586 296 Carlisle 1,666 56 Caterpillar 17,188 1,420 ChoicePoint* 1,797 87 Cintas 3,657 108 Continental Airlines, Cl A* 2,600 37 Con-way 1,323 65 Cooper Industries, Cl A 5,200 242 Copa Holdings, Cl A 600 20 Copart* 1,813 82 Corporate Executive Board 796 36 Corrections of America* 3,300 85 Covanta Holding* 3,200 90 Crane 1,500 68 CSX 10,832 748 Cummins 5,612 395 Danaher 6,551 512 Deere 12,218 994 Delta Air Lines* (A) 7,200 44 Donaldson 1,972 102 Dover 5,557 301 DRS Technologies 1,100 87 Dun & Bradstreet 1,656 152 Eaton 4,426 428 Emerson Electric 21,420 1,247 Equifax 3,556 136 Expeditors International Washington (A) 5,548 261 Fastenal (A) 3,262 161 FedEx 8,344 765 First Solar* 1,000 268 Flowserve 1,500 208 Fluor 2,404 449 Foster Wheeler* 3,800 289 Gardner Denver* 1,500 80 GATX 1,300 64 General Cable* 1,300 92 General Dynamics 11,072 1,020 General Electric 278,223 8,546 Goodrich 3,292 213 Graco 1,824 74 Harsco 2,270 144 Hertz Global Holdings* 8,100 107 HNI (A) 1,322 33
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Honeywell International 21,290 $ 1,269 Hubbell, Cl B 1,592 74 IDEX 2,193 85 Illinois Tool Works 13,180 708 Ingersoll-Rand, Cl A 7,400 326 ITT 5,002 330 Jacobs Engineering Group* 3,302 314 JB Hunt Transport Services (A) 2,272 79 Joy Global 2,833 239 Kansas City Southern* 2,100 105 KBR 4,384 152 Kennametal 1,800 70 Kirby* 1,500 83 L-3 Communications Holdings 3,377 363 Landstar System 1,465 82 Lennox International 1,600 52 Lincoln Electric Holdings 1,200 99 Lockheed Martin 9,529 1,043 Manitowoc 3,500 136 Manpower 2,284 144 Masco (A) 10,409 193 McDermott International* 6,000 372 Monster Worldwide* 3,418 84 MSC Industrial Direct, Cl A (A) 1,120 61 Norfolk Southern 10,533 710 Northrop Grumman 9,478 715 Northwest Airlines* 6,600 47 Oshkosh Truck 1,959 79 Owens Corning* 2,700 70 Paccar 9,970 532 Pall 3,345 137 Parker Hannifin 4,704 398 Pentair 2,761 103 Pitney Bowes 6,085 221 Precision Castparts 3,646 440 Quanta Services* (A) 4,500 144 Raytheon 12,068 771 Republic Services, Cl A 4,123 136 Robert Half International 4,176 103 Rockwell Automation 3,904 229 Rockwell Collins 4,562 280 Roper Industries 2,500 163 RR Donnelley & Sons 5,677 186 Ryder System (A) 1,506 111 Shaw Group* 2,300 140 Southwest Airlines (A) 20,020 262 Spirit Aerosystems Holdings, Cl A* 1,600 48 SPX 1,411 187 Steelcase, Cl A 2,475 31 Stericycle* 2,226 130 Sunpower, Cl A* (A) 700 57 Teleflex 1,140 68 Terex* 2,848 203 Textron 6,722 420
60 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Thomas & Betts* 1,367 $ 58 Timken 2,260 83 Toro (A) 1,060 41 Trane 4,972 230 Trinity Industries 2,200 90 Tyco International 13,200 597 UAL (A) 3,200 27 Union Pacific 14,416 1,186 United Parcel Service, Cl B 18,241 1,296 United Rentals* 2,100 43 United Technologies 26,866 1,909 URS* 2,100 100 US Airways Group* (A) 2,400 10 USG* (A) 2,298 78 UTi Worldwide 2,400 57 Waste Management 13,994 530 WESCO International* 1,300 58 WW Grainger 1,881 171 YRC Worldwide* (A) 1,708 30 ------------- 46,178 ------------- INFORMATION TECHNOLOGY -- 16.1% Accenture, Cl A 15,800 646 Activision* 7,478 252 Acxiom 2,400 35 ADC Telecommunications* 2,967 47 Adobe Systems* (A) 15,702 692 Advanced Micro Devices* (A) 16,134 111 Affiliated Computer Services, Cl A* 2,647 143 Agilent Technologies* 10,064 376 Akamai Technologies* 4,618 180 Alliance Data Systems* 2,112 127 Altera 8,073 187 Amdocs* 5,000 162 Amphenol, Cl A 4,892 228 Analog Devices 8,312 292 Apple* 23,423 4,421 Applied Materials 37,855 750 Arrow Electronics* 3,489 107 Atmel* 12,000 54 Autodesk* 6,337 261 Automatic Data Processing 13,892 599 Avnet* 4,110 121 AVX 1,424 19 BMC Software* 5,489 220 Broadcom, Cl A* 12,668 363 Broadridge Financial Solutions 3,873 87 Brocade Communications Systems* 9,800 79 CA 11,238 298 Cadence Design Systems* 6,863 80 Ciena* (A) 2,314 71 Cisco Systems* 164,427 4,393 Citrix Systems* 5,287 181
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Cognizant Technology Solutions, Cl A* 7,488 $ 264 CommScope* 1,900 104 Computer Sciences* 4,364 214 Compuware* 8,651 88 Convergys* (A) 3,669 59 Corning 42,358 1,158 Cree* (A) 2,222 56 Cypress Semiconductor* 4,200 117 Dell* 55,243 1,274 Diebold 1,829 72 Dolby Laboratories, Cl A* 1,243 60 DST Systems* (A) 1,595 101 eBay* 30,911 928 EchoStar, Cl A* 1,032 39 Electronic Arts* 8,365 420 Electronic Data Systems 13,842 339 EMC* (A) 56,864 992 F5 Networks* 2,038 61 Factset Research Systems (A) 1,200 78 Fair Isaac 1,026 26 Fairchild Semiconductor International, Cl A* 3,400 51 Fidelity National Information Services 5,028 203 Fiserv* 4,569 239 Genpact* (A) 1,400 20 Global Payments 2,334 110 Google, Cl A* 6,244 3,657 Harris 3,489 230 Hewitt Associates, Cl A* 2,663 104 Hewlett-Packard 66,801 3,144 Ingram Micro, Cl A* 4,123 75 Integrated Device Technology* 5,600 63 Intel 157,358 3,648 International Business Machines 36,998 4,788 International Rectifier* 1,755 41 Intersil, Cl A 3,261 91 Intuit* 9,186 266 Iron Mountain* 4,963 149 Jabil Circuit 4,874 62 JDS Uniphase* (A) 5,140 64 Juniper Networks* (A) 13,825 380 Kla-Tencor 4,709 217 Lam Research* 3,291 134 Lexmark International, Cl A* 2,686 99 Linear Technology (A) 6,157 226 LSI* (A) 20,148 146 Marvell Technology Group* (A) 11,900 207 Mastercard, Cl A (A) 2,200 680 McAfee* 4,473 162 MEMC Electronic Materials* 6,038 415 Metavante Technologies* 2,120 54 Mettler Toledo International* 1,036 107 Microchip Technology (A) 4,922 181
SEI Institutional Investments Trust / Annual Report / May 31, 2008 61 SCHEDULE OF INVESTMENTS Large Cap Index Fund (Continued) May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Micron Technology* (A) 19,416 $ 157 Microsoft 222,000 6,286 Molex 3,570 99 MoneyGram International (A) 2,400 3 Motorola 61,534 574 National Instruments 1,436 46 National Semiconductor 6,656 140 NAVTEQ* 2,569 197 NCR* 5,089 135 NetApp* 9,055 221 Novell* 8,426 60 Novellus Systems* 2,877 69 Nvidia* 14,756 364 Oracle* 103,967 2,374 Paychex 9,207 318 QLogic* (A) 3,680 58 Qualcomm 44,950 2,182 Rambus* 2,500 52 Red Hat* 5,327 130 Riverbed Technology* 300 5 Salesforce.com* 2,438 176 SanDisk* (A) 6,443 182 Sanmina-SCI* 14,365 22 Seagate Technology 14,800 317 Silicon Laboratories* 1,400 52 Sun Microsystems* 21,269 275 Symantec* 22,448 488 Synopsys* 3,882 102 Tech Data* 1,550 57 Tellabs* 11,889 65 Teradata* 4,389 119 Teradyne* 4,963 68 Texas Instruments 35,508 1,153 Total System Services 5,291 130 Trimble Navigation* (A) 3,114 124 Tyco Electronics 13,300 533 Unisys* 8,532 43 Varian Semiconductor Equipment Associates* 2,300 87 VeriFone Holdings* (A) 1,800 26 VeriSign* 6,085 244 Vishay Intertechnology* (A) 4,350 44 VMware, Cl A* (A) 900 62 WebMD Health, Cl A* (A) 300 9 Western Digital* 5,930 223 Western Union 20,828 492 Xerox 25,351 344 Xilinx (A) 8,257 225 Yahoo!* 32,981 883 Zebra Technologies, Cl A* 1,825 69 ------------- 62,129 -------------
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- MATERIALS -- 4.1% Air Products & Chemicals (A) 5,794 $ 591 Airgas 2,015 119 AK Steel Holding (A) 3,100 220 Albemarle 2,144 95 Alcoa 21,802 886 Allegheny Technologies 2,797 210 Ashland 1,576 85 Ball 2,875 156 Bemis 2,774 74 Cabot 1,673 54 Carpenter Technology 1,400 77 Celanese, Cl A 3,383 165 Chemtura 6,854 60 Cleveland-Cliffs 2,600 277 Commercial Metals 3,400 124 Crown Holdings* 4,651 134 Cytec Industries 1,081 68 Domtar* 13,137 90 Dow Chemical 25,670 1,037 E.I. Du Pont de Nemours 25,092 1,202 Eagle Materials 1,300 47 Eastman Chemical 2,142 164 Ecolab 4,791 215 FMC 2,060 152 Freeport-McMoRan Copper & Gold, Cl B (A) 10,312 1,194 Huntsman 2,429 53 International Flavors & Fragrances 2,191 92 International Paper (A) 11,755 320 Louisiana-Pacific (A) 2,846 35 Lubrizol 1,734 97 Martin Marietta Materials (A) 1,063 124 MeadWestvaco 4,758 122 Monsanto 14,750 1,880 Mosaic* 4,178 524 Nalco Holding 4,117 100 Newmont Mining 11,333 539 Nucor 8,090 605 Owens-Illinois* 4,091 233 Packaging of America 2,099 55 Pactiv* 3,483 86 PPG Industries 4,423 279 Praxair 8,625 820 Reliance Steel & Aluminum 1,800 122 Rohm & Haas (A) 3,653 197 RPM International 2,969 73 Scotts Miracle-Gro, Cl A 1,006 28 Sealed Air (A) 4,268 104 Sigma-Aldrich 3,648 214 Smurfit-Stone Container* (A) 6,845 46 Sonoco Products 2,646 92 Southern Copper 2,016 222
62 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Steel Dynamics (A) 5,300 $ 191 Temple-Inland (A) 2,575 38 Titanium Metals (A) 1,558 27 United States Steel 3,183 550 Valspar 2,664 60 Vulcan Materials (A) 2,857 219 Westlake Chemical 600 10 Weyerhaeuser 5,778 360 ------------- 16,013 ------------- TELECOMMUNICATION SERVICES -- 3.3% American Tower, Cl A* 11,222 513 AT&T 166,833 6,656 CenturyTel 2,701 96 Citizens Communications 9,155 107 Clearwire, Cl A* (A) 900 13 Crown Castle International* 6,296 268 Embarq 3,932 186 Leap Wireless International* 1,400 80 Level 3 Communications* (A) 40,400 139 MetroPCS Communications* 1,400 30 NeuStar, Cl A* (A) 1,700 40 NII Holdings* 4,720 237 Qwest Communications International (A) 43,696 212 SBA Communications, Cl A* (A) 2,900 108 Sprint Nextel 77,744 727 Telephone & Data Systems 2,902 138 US Cellular* 431 27 Verizon Communications 78,715 3,028 Windstream 13,247 177 ------------- 12,782 ------------- UTILITIES -- 3.9% AES* 18,124 353 AGL Resources 1,947 70 Allegheny Energy 4,666 255 Alliant Energy 3,176 119 Ameren (A) 5,390 245 American Electric Power 10,750 455 Aqua America (A) 3,177 54 Atmos Energy 2,491 68 Centerpoint Energy (A) 8,015 136 CMS Energy (A) 6,142 96 Consolidated Edison (A) 7,316 302 Constellation Energy Group 4,858 419 Dominion Resources 15,512 718 DPL 3,346 95 DTE Energy 4,264 189 Duke Energy 33,719 623 Dynegy, Cl A* 7,918 75
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Edison International 8,779 $ 467 Energen 1,937 145 Energy East 4,167 105 Entergy 5,298 640 Equitable Resources 3,166 222 Exelon 18,129 1,594 FirstEnergy 8,381 660 FPL Group (A) 11,073 747 Great Plains Energy 2,271 60 Hawaiian Electric Industries (A) 2,146 57 Integrys Energy Group 2,002 103 MDU Resources Group 4,621 153 Mirant* 5,761 234 National Fuel Gas (A) 2,289 138 NiSource (A) 7,621 138 Northeast Utilities 3,907 102 NRG Energy* (A) 6,600 274 NSTAR (A) 2,928 98 OGE Energy 2,268 76 Oneok 2,729 137 Pepco Holdings 4,944 134 PG&E 9,418 373 Pinnacle West Capital (A) 2,592 88 PPL 10,326 530 Progress Energy 6,961 298 Public Service Enterprise Group 13,952 618 Puget Energy 3,661 102 Questar 4,746 304 Reliant Energy* 9,359 239 SCANA (A) 3,020 121 Sempra Energy 7,123 412 Sierra Pacific Resources 5,600 76 Southern (A) 20,603 746 Southern Union 2,768 74 TECO Energy (A) 6,000 122 UGI 2,950 80 Vectren 1,991 59 Wisconsin Energy 3,149 151 Xcel Energy 12,381 264 ------------- 15,213 ------------- Total Common Stock (Cost $272,131) ($ Thousands) 379,757 ------------- AFFILIATED PARTNERSHIP -- 10.5% SEI Liquidity Fund, L.P., 2.810%**+ (E) 40,588,429 40,588 ------------- Total Affiliated Partnership (Cost $40,588) ($ Thousands) 40,588 -------------
SEI Institutional Investments Trust / Annual Report / May 31, 2008 63 SCHEDULE OF INVESTMENTS Large Cap Index Fund (Concluded) May 31, 2008
Face Amount ($ Thousands) Market Value Description /Shares ($ Thousands) ------------------------------------------------ ------------- ------------- U.S. TREASURY OBLIGATION (C) (D) -- 0.1% U.S. Treasury Bills 1.572%, 06/12/08 $ 480 $ 480 ------------- Total U.S. Treasury Obligation (Cost $480) ($ Thousands) 480 ------------- CASH EQUIVALENT -- 1.5% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 2.460%**+ 5,868,707 5,869 ------------- Total Cash Equivalent (Cost $5,869) ($ Thousands) 5,869 ------------- Total Investments -- 110.3% (Cost $319,068) ($ Thousands) $ 426,694 =============
A summary of the open futures contracts held by the Fund at May 31, 2008, is as follows:
NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION APPRECIATION CONTRACT LONG DATE ($ THOUSANDS) ------------------------ --------- ---------- ------------- S&P 500 Index E-Mini 110 Jun-2008 $471 S&P Mid 400 Index E-Mini 5 Jun-2008 53 -------- $524 ========
Percentages are based on a Net Assets of $386,873 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of May 31, 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 May 31, 2008. The total value of securities on loan at May 31, 2008 was $39,325 ($ 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 May 31, 2008 was $40,588 ($ Thousands). Cl -- Class L.P. -- Limited Partnership Ser -- Series The accompanying notes are an integral part of the financial statements. 64 SEI Institutional Investments Trust / Annual Report / May 31, 2008 SCHEDULE OF INVESTMENTS Small Cap Fund May 31, 2008 (BAR CHART) SECTOR WEIGHTINGS (UNAUDITED)++: Affiliated Partnership 23.2% Information Technology 14.5% Financials 13.6% Industrials 11.6% Health Care 8.9% Consumer Discretionary 8.8% Energy 6.0% Short-Term Investments 3.9% Materials 3.8% Consumer Staples 2.2% Utilities 2.0% Telecommunication Services 1.2% U.S. Treasury Obligation 0.2% Exchange Traded Fund 0.1% 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 -- 94.3% CONSUMER DISCRETIONARY -- 11.4% 1-800-FLOWERS.COM, Cl A* 52,500 $ 435 Aaron Rents 19,300 432 Advance Auto Parts 24,400 983 Aeropostale* (A) 5,750 201 Aftermarket Technology* 66,638 1,492 AH Belo, Cl A (A) 22,339 212 AirMedia Group ADR* 16,500 289 American Axle & Manufacturing Holdings (A) 108,163 2,011 American Greetings, Cl A (A) 81,310 1,517 America's Car-Mart* 4,334 71 Amerigon* (A) 62,320 774 AnnTaylor Stores* 79,222 2,169 Arctic Cat (A) 68,600 543 ArvinMeritor (A) 112,700 1,687 Audiovox, Cl A* 9,256 99 Bally Technologies* 36,700 1,652 Bebe Stores (A) 150,630 1,722 Belo, Cl A 111,698 1,068 Big 5 Sporting Goods 43,300 389 Big Lots* 15,009 466 BJ's Restaurants* (A) 80,619 1,034 Blockbuster, Cl A* 34,949 114 Blue Nile* (A) 32,760 1,746 Bluegreen* 10,699 76 Blyth 58,181 1,132 Brown Shoe 66,568 1,124 Buckle (A) 24,500 1,123 Callaway Golf 116,696 1,482 Capella Education* 37,500 2,434 Career Education* 19,671 360 Carrols Restaurant Group* 72,960 506 Carter's* (A) 63,869 952 Casual Male Retail Group* (A) 450,400 1,842 Cato, Cl A (A) 157,292 2,469 CBRL Group (A) 66,601 1,961
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- CEC Entertainment* 37,286 $ 1,348 Century Casinos* 135,640 543 Champion Enterprises* (A) 58,900 492 Charming Shoppes* (A) 279,700 1,625 Childrens Place Retail Stores* 10,000 344 Chipotle Mexican Grill, Cl A* (A) 34,600 3,193 Chipotle Mexican Grill, Cl B* 1,375 114 Christopher & Banks 28,900 325 Cinemark Holdings (A) 28,615 414 CKE Restaurants 25,400 301 Coldwater Creek* (A) 102,496 670 Collective Brands* (A) 45,754 518 Columbia Sportswear (A) 10,400 456 Cooper Tire & Rubber (A) 100,790 1,107 Corinthian Colleges* (A) 118,700 1,519 CROCS* (A) 255,900 2,613 CSS Industries 11,200 330 Ctrip.com International ADR (A) 18,630 1,088 Dana* (A) 228,600 -- Deckers Outdoor* 5,272 721 Denny's* 22,115 90 DeVry 23,590 1,346 Dick's Sporting Goods* (A) 34,864 807 Dolan Media* 27,080 504 Dover Downs Gaming & Entertainment (A) 41,950 366 DreamWorks Animation SKG, Cl A* 6,200 196 Dress Barn* 37,500 580 DSW, Cl A* (A) 209,247 3,091 Dufry South America (United Kingdom)* 52,300 1,240 Eddie Bauer Holdings* (A) 249,300 1,152 Entercom Communications, Cl A (A) 53,381 517 Entravision Communications, Cl A* 16,342 87 Ethan Allen Interiors (A) 112,464 3,153 Focus Media Holding ADR* (A) 60,247 2,427 Fossil* (A) 22,500 713 FTD Group 21,483 317 Furniture Brands International 2,700 38 Gaiam, Cl A* (A) 102,760 1,594 Gaylord Entertainment* (A) 10,400 295 Genesco* (A) 18,457 530 Genius Products* 379,930 95 Getty Images* 5,683 190 Gildan Activewear, Cl A* 31,200 918 Global Sources* (A) 50,370 761 Group 1 Automotive (A) 20,700 539 Gymboree* 54,660 2,522 Hanesbrands* 30,050 992 hhgregg* (A) 43,500 478 Hibbett Sports* (A) 37,242 783 Hillenbrand 5,861 130 Hooker Furniture 12,400 250 HOT Topic* 29,100 153
SEI Institutional Investments Trust / Annual Report / May 31, 2008 65 SCHEDULE OF INVESTMENTS Small Cap Fund (Continued) May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Ihop 998 $ 47 Interactive Data 8,400 231 ITT Educational Services* 1,971 143 J Crew Group* (A) 43,800 1,632 Jack in the Box* (A) 97,200 2,387 Jackson Hewitt Tax Service 37,700 529 Jakks Pacific* (A) 42,497 1,003 Jarden* (A) 83,661 1,569 Journal Communications, Cl A 152,400 893 K12* 17,303 465 Lakeland Industries* 85,982 1,074 Leapfrog Enterprises, Cl A* (A) 100,679 832 Lear* (A) 30,100 775 Lee Enterprises 131,600 895 Libbey 182,200 2,101 Life Time Fitness* (A) 42,318 1,694 Lifetime Brands 99,350 696 Lin TV, Cl A* 11,911 109 Lincoln Educational Services* 3,700 46 LKQ* (A) 169,470 3,755 LodgeNet Interactive* 50,460 328 Lululemon Athletica* (A) 66,100 2,115 Lumber Liquidators* (A) 12,700 202 M/I Homes (A) 3,700 64 Martha Stewart Living Omnimedia, Cl A* (A) 127,200 1,102 Marvel Entertainment* (A) 58,575 1,993 Matthews International, Cl A 16,121 768 McCormick & Schmick's Seafood Restaurants* 67,566 643 MDC Partners, Cl A* 477,000 3,696 Media General, Cl A (A) 49,916 761 Men's Wearhouse (A) 50,003 1,037 Meredith (A) 35,800 1,175 Midas* 7,100 114 Modine Manufacturing (A) 85,200 1,341 Morgans Hotel Group* (A) 58,710 756 Morningstar* 26,164 1,856 National CineMedia 34,020 677 Nautilus (A) 23,300 157 NetFlix* (A) 102,503 3,112 Nexstar Broadcasting Group, Cl A* 4,100 24 NutriSystem 10,060 206 O'Charleys (A) 48,268 536 OfficeMax 5,800 126 Orient-Express Hotels, Cl A 34,000 1,599 Pacific Sunwear of California* 60,293 573 Peet's Coffee & Tea* (A) 43,483 1,016 Perry Ellis International* 35,333 963 PetSmart 34,305 804 PF Chang's China Bistro* (A) 5,600 149 Phillips-Van Heusen 57,297 2,603 Pier 1 Imports* (A) 136,880 987 Pinnacle Entertainment* (A) 89,700 1,244
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Playboy Enterprises, Cl B* 7,525 $ 45 Polaris Industries (A) 36,755 1,753 Pre-Paid Legal Services* 1,962 82 priceline.com* (A) 28,400 3,821 Princeton Review* 23,200 178 Quiksilver* (A) 578,900 4,943 Raser Technologies* (A) 39,800 438 RC2* (A) 71,383 1,378 RCN 48,623 589 Red Robin Gourmet Burgers* (A) 13,200 444 Regis (A) 93,220 2,829 Rent-A-Center, Cl A* (A) 158,852 3,333 Retail Ventures* 166,367 928 Rex Stores* 4,542 76 RRSat Global Communications Network 70,100 865 Ruby Tuesday (A) 73,100 547 Russ Berrie* 19,000 230 Ruth's Chris Steak House* (A) 53,400 377 Ryland Group (A) 28,318 787 Saks* (A) 49,700 687 Sally Beauty Holdings* (A) 124,701 940 Scholastic* (A) 86,081 2,677 Scientific Games, Cl A* (A) 54,589 1,765 Select Comfort* 31,934 94 Shoe Carnival* 61,300 895 Shuffle Master* 17,995 112 Shutterfly* (A) 202,100 2,912 Sinclair Broadcast Group, Cl A (A) 84,500 758 Skechers U.S.A., Cl A* 27,700 666 Smith & Wesson Holding* 134,300 775 Snap-On 20,585 1,275 Sonic* (A) 36,700 704 Sonic Automotive, Cl A (A) 107,400 2,003 Sotheby's 32,593 874 Stage Stores 45,503 615 Stamps.com* 35,825 523 Standard Pacific (A) 48,783 153 Starwood Hotels & Resorts Worldwide 77,100 3,731 Steven Madden* 2,800 57 Stewart Enterprises, Cl A 47,604 328 Stoneridge* 3,300 55 Strayer Education (A) 9,217 1,842 Syntax-Brillian* 206,011 165 Talbots (A) 55,644 403 Tecnisa (Brazil) 356,200 2,042 Tempur-Pedic International (A) 135,901 1,460 Texas Roadhouse, Cl A* (A) 115,400 1,273 Thor Industries (A) 47,700 1,286 Thunderbird Resorts PIPE* (B) (C) (D) 140,900 1,268 Thunderbird Resorts PIPE* (C) (D) 3,000 27 True Religion Apparel* (A) 61,300 1,550 Tupperware Brands (A) 85,335 3,268
66 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Tween Brands* 11,681 $ 232 Under Armour, Cl A* (A) 30,790 1,102 Unifirst 800 38 Universal Electronics* 50,821 1,292 Vail Resorts* (A) 8,366 417 Valassis Communications* 62,500 993 Warnaco Group* 46,213 2,227 Warner Music Group (A) 169,938 1,528 WMS Industries* (A) 59,052 2,187 World Wrestling Entertainment, Cl A (A) 10,800 180 Zumiez* 77,620 1,627 ------------- 207,394 ------------- CONSUMER STAPLES -- 2.9% Alliance One International* 229,900 1,382 American Dairy* (A) 5,541 70 American Oriental Bioengineering* (A) 13,300 158 Andersons 7,312 310 Asiatic Development (Malaysia) 675,000 1,729 Bare Escentuals* (A) 55,000 1,103 BJ's Wholesale Club* (A) 40,800 1,611 Boston Beer, Cl A* (A) 24,150 961 Cal-Maine Foods 12,000 374 Casey's General Stores 33,877 742 Central Garden and Pet, Cl A* (A) 89,277 666 Central Garden and Pet* (A) 53,395 427 Chattem* (A) 20,945 1,302 Chiquita Brands International* 13,520 329 Constellation Brands, Cl A* 46,300 987 Corn Products International 22,131 1,040 Cosan Industria e Comercio (Brazil) 154,900 2,406 Darling International* 122,901 1,980 Dean Foods* 58,831 1,280 Del Monte Foods 206,791 1,801 Elizabeth Arden* 32,417 487 Flowers Foods 72,640 2,043 Fresh Del Monte Produce* 25,263 746 Great Atlantic & Pacific Tea* 11,598 289 Hain Celestial Group* (A) 85,500 2,460 Hansen Natural* 26,180 818 Herbalife 18,150 700 Imperial Sugar 197 3 Lancaster Colony 14,215 466 Lance 120,173 2,513 Longs Drug Stores 27,238 1,292 Molson Coors Brewing, Cl B 27,100 1,571 Nash Finch (A) 28,895 1,105 NBTY* 13,005 425 Nu Skin Enterprises, Cl A 52,230 895 Pantry* 179,647 2,192 Pilgrim's Pride 100 3 Ralcorp Holdings* (A) 23,961 1,438
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Revlon, Cl A* 82,632 $ 73 Ruddick 80,032 2,843 Sanderson Farms (A) 46,100 2,302 Spartan Stores 58,800 1,410 Universal (A) 56,385 2,797 WD-40 4,086 142 Weis Markets 41,200 1,422 Whole Foods Market (A) 51,700 1,499 ------------- 52,592 ------------- ENERGY -- 7.6% Allis-Chalmers Energy* (A) 49,000 841 Alon USA Energy (A) 76,488 1,171 Alpha Natural Resources* (A) 24,290 1,984 American Oil & Gas* 77,400 289 Approach Resources* 48,358 1,085 Arena Resources* 112,934 5,656 Arlington Tankers (A) 91,800 2,136 Atlas America (A) 18,551 1,273 ATP Oil & Gas* (A) 86,572 3,692 Atwood Oceanics* 12,800 1,304 Basic Energy Services* (A) 59,013 1,698 Berry Petroleum, Cl A (A) 35,270 1,905 Bill Barrett* 9,412 507 Bois d'Arc Energy* 4,200 103 BP Prudhoe Bay Royalty Trust 1,200 113 BPZ Energy PIPE* 98,500 2,240 BPZ Resources* 25,390 577 Brigham Exploration* 7,400 108 Bronco Drilling* 4,200 76 Cal Dive International* (A) 282,837 3,954 Callon Petroleum* 3,800 98 CARBO Ceramics (A) 29,400 1,402 Carrizo Oil & Gas* (A) 38,380 2,570 Cimarex Energy (A) 32,210 2,195 Complete Production Services* (A) 125,100 3,586 Comstock Resources* (A) 41,172 2,361 Core Laboratories* 7,930 1,085 Dawson Geophysical* 1,949 133 Delek US Holdings 16,300 212 Delta Petroleum* (A) 36,582 808 Denbury Resources* 13,500 459 Double Hull Tankers 61,800 635 Dresser-Rand Group* 37,700 1,520 Dril-Quip* 31,069 1,813 Encore Acquisition* 33,650 2,247 Energy Partners* (A) 203,400 3,065 EXCO Resources* 20,967 523 Exterran Holdings* 36,572 2,689 Foundation Coal Holdings 9,900 661 Geokinetics* 13,400 257 Global Industries* 53,500 923 GMX Resources* 13,261 640 Grey Wolf* (A) 461,293 3,613
SEI Institutional Investments Trust / Annual Report / May 31, 2008 67 SCHEDULE OF INVESTMENTS Small Cap Fund (Continued) May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Gulfmark Offshore* 12,100 $ 812 Helmerich & Payne 15,855 993 Hercules Offshore* (A) 89,953 3,052 Holly 98,623 4,188 IHS, Cl A* 14,090 839 Infinity Bio-Energy* 607,719 1,960 International Coal Group* 10,600 107 ION Geophysical* (A) 295,990 4,852 Kodiak Oil & Gas* 171,700 627 Mariner Energy* (A) 60,215 1,969 McMoRan Exploration* 22,913 731 Meridian Resource* 27,641 61 Mitcham Industries* 1,993 42 NATCO Group, Cl A* 17,273 816 Newfield Exploration* 12,505 791 North American Energy Partners* 50,900 911 Oil Sands Quest* (A) 241,800 1,105 Oil Sands Quest PIPE* 74,000 338 Oil States International* 33,300 1,945 Omni Energy Services* 14,927 84 OPTI (Canada)* 78,800 1,784 Overseas Shipholding Group 9,900 783 Parker Drilling* (A) 148,800 1,330 Patterson-UTI Energy 5,000 157 Penn Virginia 17,919 1,129 PetroHawk Energy* 111,211 3,267 Petroleum Development* 15,360 1,061 Petroquest Energy* 4,709 104 Pioneer Drilling* 69,363 1,235 Quicksilver Resources* 3,900 142 Regency Energy Partners 3,675 99 Rentech* (A) 726,800 1,693 Rex Energy* 21,153 473 Rosetta Resources* (A) 21,200 571 RPC (A) 136,200 2,039 SEACOR Holdings* 10,200 908 St. Mary Land & Exploration 14,700 749 StealthGas 114,100 1,942 Stone Energy* 37,433 2,530 Superior Energy Services* 45,988 2,469 Superior Well Services* (A) 59,500 1,472 Swift Energy* (A) 117,117 6,752 Synenco Energy (Canada)* (B) 27,419 248 Synenco Energy, Cl A (Canada)* 268,000 2,419 T-3 Energy Services, Cl 3* 13,300 861 Tesco* (A) 24,900 837 Tesoro (A) 28,776 715 Tetra Technologies* 67,800 1,459 Trico Marine Services* 163 6 TXCO Resources* 9,457 105 Uranium One (Canada)* 118,875 596 Uranium Resources* 43,329 193 Vaalco Energy* 57,252 421 Venoco* 34,100 681
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Warren Resources* 24,000 $ 324 W-H Energy Services, Cl H* 31,098 2,660 Whiting Petroleum* 5,673 531 Willbros Group* (A) 60,367 2,504 World Fuel Services 30,585 737 ------------- 138,416 ------------- FINANCIALS -- 17.6% Acadia Realty Trust++ 100 2 Advance America Cash Advance Centers 121,228 841 Advanta, Cl B 33,450 291 Affiliated Managers Group* (A) 20,000 2,050 Alesco Financial++ 31,908 85 Alexander's++* 989 341 Alexandria Real Estate Equities++ (A) 10,936 1,141 AMB Property++ 40,300 2,375 Amcore Financial (A) 43,120 423 American Campus Communities++ (A) 21,808 663 American Equity Investment Life Holding (A) 134,548 1,422 American Physicians Capital 15,000 683 Amerisafe* 45,187 718 Amtrust Financial Services 54,287 812 Annaly Capital Management++ 20,188 360 Anthracite Capital++ (A) 80,868 758 Anworth Mortgage Asset++ (A) 376,098 2,659 AON 39,700 1,873 Apollo Investments* 42,400 765 Arbor Realty Trust++ (A) 49,221 692 Ares Capital 57,733 715 Ashford Hospitality Trust++ (A) 109,370 672 Aspen Insurance Holdings 64,600 1,651 Assured Guaranty 98,342 2,272 AvalonBay Communities++ (A) 33,300 3,370 Banco Latinoamericano de Exportaciones, Cl E 49,300 894 Bancorp* 100 1 Bancorp Rhode Island 6,200 206 Bancorpsouth (A) 39,302 930 Bank Mutual (A) 75,189 834 Bank of the Ozarks (A) 12,800 312 BankAtlantic Bancorp, Cl A (A) 7,306 13 Berkshire Hills Bancorp 41,800 1,058 BioMed Realty Trust++ (A) 35,500 933 Boston Private Financial Holdings 15,543 131 Boston Properties++ (A) 57,600 5,630 Brasil Brokers Participacoes* 2,400 2,413 Calamos Asset Management, Cl A 31,993 647 Camden Property Trust++ (A) 38,000 1,872 Canaccord Capital 102,700 1,054 Capital Lease Funding++ 203,600 1,688 Capital Trust, Cl A++ 784 23
68 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- CapitalSource++ 136,047 $ 2,090 Capstead Mortgage++ 260,200 3,565 Cardinal Financial 72,352 622 Cardtronics* 86,600 854 Cascade Bancorp (A) 58,300 511 Cash America International 47,364 1,694 Castlepoint Holdings 96,500 1,041 Cathay General Bancorp (A) 26,100 401 CBL & Associates Properties++ 27,778 731 Cedar Shopping Centers++ 53,100 648 Center Financial 9,672 91 Centerline Holding 5,000 12 Central Pacific Financial (A) 99,011 1,477 Chemical Financial (A) 54,900 1,340 Chimera Investment++ (A) 58,880 816 Citizens Republic Bancorp (A) 65,138 361 City Bank 3,469 50 City Holding 29,800 1,282 CME Group, Cl A 1,634 703 CNA Surety* 40,600 594 Cohen & Steers 22,800 688 Columbia Bancorp 28,100 321 Community Bancorp* 3,915 31 Community Bank System 18,288 441 Community Trust Bancorp 13,192 404 Companhia Brasileira de Desenvolvimento Imobiliario Turistico (Brazil)* 3,800 1,946 Corporate Office Properties Trust++ (A) 65,900 2,498 Cousins Properties++ (A) 56,100 1,485 Crawford, Cl B* 12,924 77 CVB Financial (A) 7,400 78 Danvers Bancorp* 85,000 1,024 Darwin Professional Underwriters* 32,100 913 DCT Industrial Trust++ 200 2 Deerfield Capital++ 14,072 13 Delphi Financial Group, Cl A 74,200 2,144 DiamondRock Hospitality++ (A) 58,741 805 Digital Realty Trust++ 3,250 137 Dime Community Bancshares 36,663 667 Discover Financial Services 21,254 365 Dollar Financial* (A) 105,291 2,098 Downey Financial (A) 14,660 99 DuPont Fabros Technology++ 55,794 1,129 E*Trade Financial* (A) 59,853 245 East West Bancorp (A) 95,340 1,262 Eastern Insurance Holdings 25,600 419 EastGroup Properties++ 8,500 404 Eaton Vance 24,168 1,028 Education Realty Trust++ 79,872 1,042 eHealth* (A) 23,987 598 EMC Insurance Group 4,971 139 Employers Holdings 69,198 1,321
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Encore Bancshares* 30,820 $ 547 Entertainment Properties Trust++ 3,300 182 Equity Lifestyle Properties++ 8,784 436 Equity One++ (A) 29,174 677 Equity Residential++ (A) 79,600 3,366 ESSA Bancorp 34,200 428 Essex Property Trust++ (A) 20,300 2,425 Evercore Partners, Cl A (A) 111,200 1,619 Extra Space Storage++ (A) 136,000 2,264 Ezcorp, Cl A* 67,852 857 FBL Financial Group, Cl A 40,400 1,085 FCStone Group* 42,687 1,670 Federal Realty Investment Trust++ (A) 46,800 3,773 Financial Federal (A) 56,405 1,370 First American 48,400 1,625 First Financial Bancorp (A) 84,087 958 First Financial Bankshares 8,500 389 First Horizon National (A) 44,060 423 First Industrial Realty Trust++ (A) 23,700 743 First Mercury Financial* 27,000 477 First Midwest Bancorp (A) 82,757 2,160 First Niagara Financial Group (A) 118,800 1,682 First Place Financial 19,000 242 FirstFed Financial* (A) 67,658 997 FirstMerit (A) 179,585 3,628 Flagstar Bancorp (A) 82,300 391 Flushing Financial 78,400 1,538 FNB (Pennsylvania) 24,042 360 Fpic Insurance Group* 29,200 1,329 Frontier Financial 5,409 80 GAMCO Investors, Cl A 9,612 510 General Shopping Brasil (Brazil)* 296,900 2,329 Getty Realty++ 4,700 82 GFI Group 50,820 602 Glacier Bancorp (A) 41,782 867 Gladstone Capital 17,282 307 Gluskin Sheff + Associates (Canada) 79,000 1,821 GMP Capital Trust* 15,500 262 GMP Capital Trust (Canada) 60,000 1,015 Gramercy Capital++ (A) 86,713 1,452 Greenhill (A) 29,317 1,766 Grubb & Ellis 282,160 1,614 Hallmark Financial Services* 19,619 249 Hancock Holding (A) 50,974 2,268 Hanmi Financial 37,672 241 Hanover Insurance Group 27,524 1,269 Harleysville Group 4,400 172 Hatteras Financial++* (A) 63,000 1,679 HCP++ (A) 63,100 2,162 Health Care++ (A) 12,100 584 Hercules Technology Growth Capital 95,806 994 Hersha Hospitality Trust++ 342,000 3,252 Highbury Financial* (A) 145,700 400
SEI Institutional Investments Trust / Annual Report / May 31, 2008 69 SCHEDULE OF INVESTMENTS Small Cap Fund (Continued) May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Highwoods Properties++ 3,700 $ 133 Hilb Rogal & Hobbs (A) 84,100 2,604 Home Federal Bancorp 44,850 525 Home Properties++ 7,222 370 Horace Mann Educators 40,208 655 HRPT Properties Trust++ 159,600 1,243 IBERIABANK 2,895 153 IMPAC Mortgage Holdings++ (A) 87,200 95 Imperial Capital Bancorp 4,349 44 Independent Bank 18,800 551 Infinity Property & Casualty 30,629 1,235 Inland Real Estate++ 6,100 96 Interactive Brokers Group, Cl A* 40,430 1,317 IntercontinentalExchange* 4,700 650 International Bancshares 19,645 498 Intervest Bancshares, Cl A 2,850 25 Investors Bancorp* 28,200 403 Investors Real Estate Trust++ (A) 176,200 1,843 IPC Holdings (A) 62,476 1,774 Irwin Financial (A) 47,500 195 Jefferies Group (A) 68,000 1,224 Jones Lang LaSalle 11,605 819 Kansas City Life Insurance 18,960 996 KBW* (A) 50,589 1,246 Knight Capital Group, Cl A* (A) 67,364 1,200 LandAmerica Financial Group, Cl A (A) 6,325 188 Lazard, Cl A 16,190 617 Lexington Realty Trust++ (A) 47,800 745 LTC Properties++ 11,701 325 Macerich++ (A) 51,800 3,705 Mack-Cali Realty++ 74,500 2,879 MainSource Financial Group 48,700 817 MarketAxess Holdings* 74,510 583 Marlin Business Services* 61,798 441 Marsh & McLennan 24,592 670 Max Capital Group 41,000 989 Meadowbrook Insurance Group 275,700 1,894 Medical Properties Trust++ 12,900 158 Meruelo Maddux Properties* (A) 299,700 839 MFA Mortgage Investments++ (A) 715,496 5,202 Mid-America Apartment Communities++ 17,142 960 Montpelier Re Holdings (A) 84,800 1,422 MSCI, Cl A* 71,220 2,531 National Financial Partners 19,727 482 National Health Investors++ 5,581 173 National Penn Bancshares 6,905 118 National Retail Properties++ (A) 72,624 1,649 Nationwide Health Properties++ (A) 49,012 1,673 Navigators Group* 63,230 3,192 NBT Bancorp (A) 79,700 1,954 Nelnet, Cl A 86,735 1,144 New York Community Bancorp 18,700 384
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- NewAlliance Bancshares (A) 92,097 $1,234 Newcastle Investment++ (A) 30,000 298 NorthStar Realty Finance++ (A) 90,952 910 NYSE Euronext 3,600 230 Odyssey Re Holdings (A) 24,100 905 Old National Bancorp (A) 94,730 1,656 Omega Healthcare Investors++ 45,268 807 optionsXpress Holdings 47,218 1,078 Oriental Financial Group 24,300 442 Pacific Capital Bancorp 10,362 207 PacWest Bancorp (A) 31,279 659 Parkway Properties++ 136 5 PennantPark Investment 91,160 743 Pennsylvania Real Estate Investment Trust++ (A) 3,500 94 PHH* 83,700 1,576 Pico Holdings* (A) 27,658 1,147 Piper Jaffray* (A) 45,638 1,734 Platinum Underwriters Holdings 107,957 3,829 PMA Capital, Cl A* 21,819 218 Portfolio Recovery Associates* 2,721 112 Post Properties++ 4,078 145 Potlatch++ 25,078 1,212 Preferred Bank 10,247 91 Presidential Life 38,700 682 ProAssurance* 36,163 1,853 Prologis++ 88,500 5,481 Prosperity Bancshares 34,800 1,112 Provident Bankshares (A) 55,600 532 Provident New York Bancorp 28,400 369 PS Business Parks++ 14,100 811 Public Storage++ 40,224 3,545 Rainier Pacific Financial Group 13,122 171 RAIT Financial Trust++ (A) 91,528 815 RAM Holdings* (A) 86,300 108 Rayonier++ 8,100 384 Realty Income++ (A) 54,825 1,343 RenaissanceRe Holdings 12,000 626 Renasant 32,500 755 Republic Bancorp, Cl A 4,800 120 Riskmetrics Group* (A) 100,030 2,075 RLI 34,218 1,750 S&T Bancorp 21,600 702 Safety Insurance Group (A) 38,187 1,476 Santander BanCorp (A) 43,665 610 SCBT Financial 5,109 170 SeaBright Insurance Holdings* 7,200 110 Selective Insurance Group (A) 72,406 1,584 Senior Housing Properties Trust++ 12,800 284 Sierra Bancorp (A) 7,800 172 Signature Bank NY* (A) 74,621 2,130 Simmons First National, Cl A 8,800 268 Simon Property Group++ (A) 61,200 6,080 SL Green Realty++ (A) 47,200 4,706
70 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- South Financial Group (A) 107,184 $ 591 Southside Bancshares (A) 7,770 170 Southwest Bancorp 14,267 242 St. Joe 1,350 52 State Auto Financial 17,300 477 Sterling Bancshares (A) 106,567 1,089 Sterling Financial (A) 133,776 1,188 Stewart Information Services 78,700 1,861 Stifel Financial* 7,400 422 Strategic Hotels & Resorts++ (A) 108,900 1,497 Student Loan 4,600 552 Sun Communities++ 57,000 1,143 Superior Bancorp* (A) 14,988 222 SVB Financial Group* 23,790 1,219 SWS Group 81,650 1,509 Taubman Centers++ 41,400 2,225 TCF Financial 74,866 1,237 TD Ameritrade Holding* 38,131 691 Texas Capital Bancshares* 21,309 386 Titanium Asset* 132,700 746 Tompkins Financial (A) 7,400 336 Tower Group 9,291 242 TradeStation Group* 12,927 136 Trustco Bank 30,300 265 Trustmark (A) 30,516 609 UCBH Holdings (A) 369,634 1,804 UMB Financial 10,869 567 Umpqua Holdings (A) 28,400 396 UnionBanCal 14,701 736 United Bankshares (A) 39,498 1,121 United Financial Bancorp 71,200 871 United Fire & Casualty 26,800 967 Universal Health Realty Income Trust++ 4,507 154 Uranium Participation* 143,900 1,438 Validus Holdings 35,100 734 Value Creation* (C) (D) 100,165 1,008 Ventas++ 61,500 2,931 Victory Acquisition* 54,695 518 ViewPoint Financial Group 23,300 377 Virginia Commerce Bancorp* (A) 32,970 199 Vornado Realty Trust++ 15,000 1,466 Waddell & Reed Financial, Cl A (A) 30,992 1,096 Washington Federal 30,040 673 Washington Real Estate Investment Trust++ (A) 38,976 1,313 Weingarten Realty Investors++ (A) 23,400 807 WesBanco 44,700 983 Westamerica Bancorporation 7,800 433 Westfield Financial 102,900 1,010 Whitney Holding (A) 54,800 1,245 Wilshire Bancorp 40,800 364 Winthrop Realty Trust++ (A) 63,800 282 Wintrust Financial 17,322 540
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- World Acceptance* (A) 76,407 $ 3,379 WR Berkley 26,100 707 WSFS Financial 23,800 1,213 Zenith National Insurance (A) 106,571 4,300 ------------- 321,120 ------------- HEALTH CARE -- 11.5% 3SBio ADR* 90,700 981 Abaxis* 53,820 1,582 Abiomed* (A) 29,700 439 Abraxis Bioscience* 12,800 831 Acadia Pharmaceuticals* (A) 109,400 963 Accelrys* 126,600 825 Achillion Pharmaceuticals* 84,345 258 Acorda Therapeutics* 25,035 540 Advanced Medical Optics* (A) 80,500 1,950 Affymax* (A) 11,800 176 Affymetrix* (A) 185,800 2,242 Air Methods* 1,678 65 Akorn* 20,600 98 Albany Molecular Research* 33,200 464 Alexion Pharmaceuticals* (A) 26,920 1,921 Align Technology* (A) 71,239 938 Alkermes* (A) 49,765 631 Allscripts Healthcare Solutions* 23,790 296 Alnylam Pharmaceuticals* (A) 5,000 144 Alpharma, Cl A* 42,263 1,065 AMAG Pharmaceuticals* 3,108 124 Amedisys* (A) 43,290 2,200 America Service Group* 30,600 276 American Dental Partners* 39,100 470 American Medical Systems Holdings* (A) 30,012 453 AMERIGROUP* 2,897 80 AMN Healthcare Services* 160,100 2,787 Amsurg, Cl A* (A) 153,360 4,183 Analogic 7,656 513 Angiodynamics* 5,900 91 Animal Health International* 63,427 431 APP Pharmaceuticals* (A) 109,000 1,445 Applera - Celera Group* 119,100 1,534 Apria Healthcare Group* 68,200 1,149 Arena Pharmaceuticals* (A) 217,900 1,118 Ariad Pharmaceuticals* (A) 395,951 1,022 Array Biopharma* (A) 102,838 640 Arthrocare* (A) 85,119 3,755 BioMarin Pharmaceutical* (A) 109,530 4,181 Bio-Reference Labs* 5,922 147 Cambrex* (A) 173,400 1,066 Capital Senior Living* 9,100 73 Caraco Pharmaceutical Laboratories* 6,344 109 Cell Genesys* (A) 245,200 868 Centene* 50,477 1,066
SEI Institutional Investments Trust / Annual Report / May 31, 2008 71 SCHEDULE OF INVESTMENTS Small Cap Fund (Continued) May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Cephalon* (A) 67,500 $ 4,570 Cepheid* 38,882 1,023 Charles River Laboratories International* 2,700 174 Chemed (A) 42,395 1,536 Community Health Systems* 38,300 1,380 Computer Programs & Systems 50,691 1,011 Conceptus* (A) 22,000 418 Conmed* 156,049 4,165 Cooper (A) 116,824 4,726 Cougar Biotechnology PIPE* 20,400 551 Covance* 10,100 828 Cross Country Healthcare* 115,500 1,787 Cubist Pharmaceuticals* (A) 204,989 3,907 CV Therapeutics* (A) 396,900 3,505 Cyberonics* 11,900 211 Cynosure, Cl A* (A) 51,903 1,273 Cypress Bioscience* (A) 82,812 674 Dionex* (A) 20,584 1,501 Discovery Laboratories* (A) 71,300 133 Eclipsys* 58,549 1,195 Emergency Medical Services, Cl A* (A) 67,200 1,566 Emergent Biosolutions* 24,200 260 eResearch Technology* 87,890 1,405 Exelixis* (A) 344,018 2,175 Gentiva Health Services* 1,700 34 Greatbatch* 7,242 136 GTx* (A) 12,800 192 Haemonetics* 10,508 592 Hanger Orthopedic Group* 65,300 849 Health Management Associates, Cl A* 109,400 849 Health Net* 26,100 809 HealthExtras* 48,737 1,523 Healthspring* 102,660 1,907 Healthways* (A) 46,460 1,501 Hill-Rom Holdings 13,361 411 HMS Holdings* 11,351 230 Hologic* (A) 202,189 4,858 Human Genome Sciences* (A) 420,500 2,473 ICU Medical* 38,900 991 I-Flow* 87,791 1,205 Illumina* (A) 25,190 1,978 Immucor* (A) 70,555 1,893 IMS Health 30,000 727 Incyte* (A) 213,100 2,069 Integra LifeSciences Holdings* (A) 8,731 367 InterMune* (A) 14,500 204 Intuitive Surgical* 800 235 Invacare 13,564 247 Inverness Medical Innovations* 17,880 654 Isis Pharmaceuticals* (A) 52,400 741 Kendle International* 35,760 1,351
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Kensey Nash* 33,416 $ 982 Kindred Healthcare* 135,952 3,750 KV Pharmaceutical, Cl A* (A) 17,797 445 LCA-Vision (A) 42,200 351 LHC Group* 43,050 933 LifePoint Hospitals* 50,831 1,626 Magellan Health Services* 89,188 3,589 MannKind* 35,800 107 Martek Biosciences* (A) 14,600 551 Masimo* (A) 18,100 626 Medarex* (A) 592,500 5,160 Medical Action Industries* 2,445 32 Medical Staffing Network Holdings* 76,700 320 Medicines* 71,700 1,312 Medicis Pharmaceutical, Cl A (A) 81,672 1,942 Mentor 9,300 293 Meridian Bioscience 69,100 2,027 Merit Medical Systems* 4,900 78 Metabolix* (A) 82,400 925 Micrus Endovascular* (A) 83,000 939 Minrad International* 28,900 65 Molina Healthcare* 9,811 296 Momenta Pharmaceuticals* 7,000 90 MWI Veterinary Supply* 25,637 982 Myriad Genetics* (A) 106,052 5,135 National Dentex* 21,200 241 Neurocrine Biosciences* (A) 66,300 327 NovaMed* 44,924 177 Noven Pharmaceuticals* 18,400 225 NuVasive* 14,572 617 Odyssey HealthCare* 202,000 2,204 Omnicare (A) 19,521 478 Omnicell* 66,659 885 Omrix Biopharmaceuticals* (A) 77,667 1,413 Onyx Pharmaceuticals* (A) 22,002 778 OraSure Technologies* (A) 91,700 499 Orthofix International* 30,830 1,003 OSI Pharmaceuticals* (A) 97,100 3,428 Owens & Minor (A) 57,097 2,711 Par Pharmaceutical* 51,870 946 Parexel International* 72,150 1,774 Pediatrix Medical Group* 29,070 1,565 Penwest Pharmaceuticals* 27,748 87 Perrigo (A) 95,806 3,508 Pharmacopeia* 80,329 346 PharmaNet Development Group* 7,494 126 PharMerica* (A) 47,400 970 Pozen* (A) 23,500 323 Profarma Distribuidora de Produtos Farmaceuticos (Brazil) 115,450 1,894 Providence Service* 22,865 605 PSS World Medical* (A) 33,675 614 Psychiatric Solutions* (A) 83,037 3,027 Qiagen* 47,986 955
72 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Quidel* 42,800 $ 731 Regeneron Pharmaceuticals* (A) 73,374 1,460 Res-Care* 52,677 1,005 Rigel Pharmaceuticals* (A) 103,600 2,418 Savient Pharmaceuticals* (A) 30,200 805 Sciele Pharma (A) 118,582 2,598 Sirona Dental Systems* (A) 51,218 1,519 Somanetics* 1,556 28 SonoSite* 8,249 253 Spectranetics* 72,984 796 STERIS 39,922 1,208 Sun Healthcare Group* 78,000 1,120 SurModics* (A) 8,744 392 Symmetry Medical* 25,286 374 Tercica* (A) 110,600 471 Theravance* 35,205 476 Third Wave Technologies* 97,136 1,031 TomoTherapy* 84,955 757 TranS1* 55,800 791 United Therapeutics* (A) 44,469 4,247 Universal American Financial* 18,284 211 Varian* 23,651 1,312 Viropharma* (A) 75,580 725 Vital Signs 14,761 838 Vivus* (A) 91,500 626 West Pharmaceutical Services 9,979 473 Wright Medical Group* (A) 96,464 2,864 XenoPort* 3,100 134 Zymogenetics* (A) 45,500 410 ------------- 209,545 ------------- INDUSTRIALS -- 15.1% AAON 7,557 159 ABM Industries 45,600 995 Accuride* 3,502 27 Actuant, Cl A 131,984 4,818 Acuity Brands (A) 66,837 3,559 Administaff 7,498 209 Advisory Board* 44,424 2,051 Aecom Technology* 37,600 1,211 Aegean Marine Petroleum Network (A) 45,261 1,890 AGCO* 21,287 1,286 Air Transport Services Group* 18,109 30 Airtran Holdings* 212,100 636 Albany International, Cl A 39,079 1,353 Allegiant Travel* 500 10 Allen-Vanguard* 389,000 1,022 Altra Holdings* 23,600 411 Amerco* 3,812 227 American Commercial Lines* 21,946 337 American Ecology 13,881 399 American Railcar Industries 23,600 494 American Science & Engineering 4,241 217
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- American Woodmark (A) 25,000 $ 563 Ampco-Pittsburgh 18,900 882 AO Smith (A) 80,900 2,925 Apogee Enterprises 82,965 1,970 Applied Industrial Technologies 28,200 777 Arkansas Best (A) 54,400 2,022 Astec Industries* 27,600 1,074 Atlas Air Worldwide Holdings* 4,434 274 Avis Budget Group* 81,092 1,129 AZZ* 2,800 88 Badger Meter 600 29 Barnes Group (A) 86,840 2,774 BE Aerospace* 102,909 3,597 Beacon Roofing Supply* 43,100 526 Belden (A) 53,439 2,239 Bowne 55,800 858 Brady, Cl A (A) 32,935 1,275 Briggs & Stratton 88,115 1,300 Brink's 40,700 2,950 Bucyrus International, Cl A 34,470 2,440 C&D Technologies* 1,000 6 C.H. Robinson Worldwide 2,900 187 Canadian Solar* (A) 9,700 385 Celadon Group* 73,800 841 Ceradyne* (A) 44,300 1,911 Chart Industries* (A) 75,137 3,146 Chicago Bridge & Iron 23,069 1,054 CIRCOR International 29,910 1,597 Clarcor 21,385 929 Clean Harbors* (A) 24,082 1,711 Colfax* 23,300 578 Columbus McKinnon* 72,091 2,055 Comfort Systems USA 69,700 934 COMSYS IT Partners* 12,200 122 Consolidated Graphics* 14,264 784 Continental Airlines, Cl A* 5,537 80 Con-way (A) 49,500 2,416 Corrections of America* 115,327 2,973 CoStar Group* (A) 65,939 3,093 Courier 36,722 863 CRA International* (A) 65,686 2,290 Crane 66,880 3,052 Cubic (A) 22,872 578 Curtiss-Wright 28,089 1,447 Danaos 27,000 701 Deluxe (A) 121,195 2,731 Diamond Management & Technology Consultants, Cl A (A) 96,900 514 Dycom Industries* 43,000 737 Dynamex* 6,773 170 Dynamic Materials (A) 57,000 2,473 Eagle Bulk Shipping 4,000 133 EMCOR Group* (A) 121,618 3,569 Ennis 19,821 374
SEI Institutional Investments Trust / Annual Report / May 31, 2008 73 SCHEDULE OF INVESTMENTS Small Cap Fund (Continued) May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- EnPro Industries* (A) 74,200 $ 2,975 ESCO Technologies* (A) 29,004 1,494 Esterline Technologies* 26,546 1,644 Evergreen Solar* (A) 172,600 1,795 Excel Maritime Carriers, Cl A 3,800 195 Federal Signal (A) 44,091 594 First Advantage, Cl A* 17,000 341 Flow International* 154,900 1,574 Force Protection* (A) 90,100 385 Force Protection PIPE* 166,100 709 Forward Air 45,655 1,692 FTI Consulting* 38,372 2,305 Fuel Tech* (A) 62,800 1,598 G&K Services, Cl A 24,110 844 Gardner Denver* 21,670 1,150 GATX (A) 16,500 814 Genco Shipping & Trading (A) 42,182 2,962 GenCorp* 35,200 293 General Cable* (A) 52,457 3,714 Genesee & Wyoming, Cl A* 19,423 793 Geo Group* (A) 198,986 4,574 GeoEye* 71,000 1,211 GrafTech International* (A) 137,667 3,634 Graham 700 48 Granite Construction 41,200 1,507 Griffon* 12,200 110 H&E Equipment Services* 154,730 2,174 Healthcare Services Group (A) 108,193 1,909 Heartland Express (A) 76,326 1,175 Heico, Cl A 39,807 1,577 Heidrick & Struggles International 9,008 258 Herman Miller 23,500 583 Hexcel* 109,000 2,884 HNI 4,900 123 Horizon Lines, Cl A 110,575 1,390 HUB Group, Cl A* 63,640 2,296 Hubbell, Cl B (A) 28,700 1,342 Hudson Highland Group* 80,000 1,002 ICF International* 85,700 1,574 ICT Group* 7,500 80 IDEX 23,449 911 II-VI* 32,227 1,260 IKON Office Solutions (A) 114,382 1,383 Innerworkings* (A) 122,972 1,578 Interface, Cl A 79,990 1,133 Interline Brands* 15,700 280 JA Solar Holdings ADR* 73,554 1,564 Jacobs Engineering Group* 1,300 123 JB Hunt Transport Services 36,500 1,272 Kadant* 26,627 712 Kaman 7,167 186 Kansas City Southern* (A) 76,710 3,832 Kaydon (A) 42,331 2,587 KBR 39,400 1,368
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Kelly Services, Cl A 30,200 $ 634 Kforce* 124,300 1,150 Kirby* 32,427 1,805 Knight Transportation (A) 43,800 800 Knoll (A) 103,046 1,528 Korn/Ferry International* (A) 69,585 1,169 Ladish* (A) 33,526 1,090 Landstar System 14,075 784 LB Foster, Cl A* 7,012 240 LECG* 182,110 1,839 Lennox International 10,200 329 Lincoln Electric Holdings 13,600 1,122 Lindsay Manufacturing 4,500 473 LSI Industries 17,145 182 Lydall* 1,918 29 Marten Transport* 14,700 263 MasTec* 37,844 446 McGrath RentCorp 7,379 204 Mesa Air Group* (A) 118,998 86 Michael Baker* 4,434 100 Middleby* (A) 33,500 1,913 Milacron* (A) 19,814 25 Mine Safety Appliances 8,628 356 Mobile Mini* 5,042 122 Moog, Cl A* 12,468 565 Mueller Industries 20,300 727 NACCO Industries, Cl A 1,885 164 Navistar International* 9,900 752 NCI Building Systems* (A) 42,900 1,340 Old Dominion Freight Line* (A) 97,362 2,938 Orbital Sciences* (A) 65,860 1,710 Orion Energy Systems* (A) 141,362 1,718 Orion Marine Group* 139,600 2,097 Oshkosh Truck 18,169 734 Pacer International 75,616 1,698 Pall 55,300 2,257 Perini* (A) 57,432 2,211 Pinnacle Airlines* (A) 564 4 Quanex Building Products (A) 93,874 1,652 Quanta Services* (A) 97,319 3,118 RBC Bearings* 43,675 1,646 Regal-Beloit 25,480 1,185 Republic Airways Holdings* 65,400 796 Resources Connection 65,355 1,373 Robbins & Myers 12,762 517 Rollins 39,900 635 RSC Holdings* (A) 222,400 2,620 Rush Enterprises, Cl A* 18,704 303 Ryder System (A) 76,300 5,603 Saia* 15,710 219 School Specialty* (A) 62,146 1,951 Simpson Manufacturing 11,852 313 Skywest 50,491 781 Spherion* 191,600 964
74 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Spirit Aerosystems Holdings, Cl A* 20,623 $ 615 Standard Parking* 43,275 928 Standard Register 21,194 252 Steelcase, Cl A 74,100 934 Sunpower, Cl A* 4,038 331 Superior Essex* 31,746 1,381 TAL International Group 72,300 1,943 TBS International, Cl A* (A) 13,700 638 Tecumseh Products, Cl A* 58,356 2,037 Teledyne Technologies* 61,300 3,413 Teleflex 19,314 1,145 Tetra Tech* (A) 83,778 2,215 Textainer Group Holdings 109,500 2,454 Titan International (A) 26,377 1,043 Titan Machinery* (A) 19,200 467 TransDigm Group* 34,765 1,516 Tredegar 10,279 150 Trimas* 96,500 788 Triumph Group (A) 14,040 873 TrueBlue* 45,100 657 Twin Disc 5,100 97 United Rentals* 22,100 455 United Stationers* (A) 74,176 3,140 Viad 26,113 861 Volt Information Sciences* 13,174 197 Wabash National 4,248 36 Wabtec (A) 57,299 2,668 Walter Industries 8,367 780 Waste Connections* (A) 102,297 3,357 Watsco (A) 24,100 1,121 Watson Wyatt Worldwide, Cl A (A) 95,885 5,615 Watts Water Technologies, Cl A (A) 21,784 618 Werner Enterprises 1,200 23 WESCO International* 19,116 847 Xerium Technologies 2,600 12 YRC Worldwide* (A) 31,300 546 ------------- 274,411 ------------- INFORMATION TECHNOLOGY -- 19.0% 3Com* 192,700 486 Acme Packet* (A) 115,100 1,037 Actel* 50,700 870 Actuate* 72,900 362 Acxiom 40,200 590 Adaptec* 8,168 26 ADC Telecommunications* 77,437 1,219 Adtran 24,800 617 Advanced Analogic Technologies* 141,685 989 Advanced Energy Industries* 38,689 613 Advent Software* (A) 32,047 1,377 Akamai Technologies* 17,392 679 Alliance Semiconductor 95,200 90 Alvarion* 129,400 927
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Amkor Technology* 197,800 $ 2,109 Anaren* 23,900 311 Anixter International* 2,217 144 Ansoft* 23,200 846 Ansys* (A) 58,751 2,779 Applied Micro Circuits* 73,050 717 Ariba* (A) 202,209 3,001 ARM Holdings ADR (A) 203,300 1,269 Arris Group* (A) 461,319 4,317 Art Technology Group* 786,412 2,949 Asyst Technologies* 330,500 1,173 Atheros Communications* (A) 93,510 3,125 Atmel* 558,585 2,497 ATMI* 91,278 2,732 Avanex* (A) 327,900 387 Avid Technology* 8,914 191 Avocent* (A) 70,273 1,386 Axcelis Technologies* 36,504 208 Axesstel* 431,541 350 Bankrate* 13,985 706 BearingPoint* (A) 183,600 250 Benchmark Electronics* 177,613 3,156 Black Box 39,582 1,136 Blackbaud 800 19 Blackboard* (A) 25,300 958 Blue Coat Systems* 29,700 538 BluePhoenix Solutions* 51,970 559 Bottomline Technologies* 15,400 153 Brightpoint* 17,492 172 Broadridge Financial Solutions 63,800 1,438 Brocade Communications Systems* 408,800 3,295 Brooks Automation* (A) 84,700 863 Cabot Microelectronics* 3,102 115 CACI International, Cl A* 78,002 3,975 Captaris* 1,726 8 Cavium Networks* (A) 68,000 1,772 Checkpoint Systems* 46,726 1,213 China Digital TV Holding ADR* (A) 61,000 1,114 Ciber* 141,500 993 Cirrus Logic* 43,066 283 CMGI* 18,900 283 Cognex (A) 55,692 1,552 Coherent* 48,020 1,454 Commvault Systems* (A) 55,400 970 comScore* 54,637 1,339 Comtech Telecommunications* 6,819 316 Comverge* (A) 15,382 197 Comverse Technology* 106,100 1,979 Concur Technologies* (A) 97,406 3,572 CPI International* 73,171 892 Cray* 11,800 74 Credence Systems* 118,884 128 CSG Systems International* 102,993 1,368 CTS 111,500 1,213
SEI Institutional Investments Trust / Annual Report / May 31, 2008 75 SCHEDULE OF INVESTMENTS Small Cap Fund (Continued) May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Cybersource* 114,973 $ 2,231 Cymer* 41,800 1,292 Cypress Semiconductor* 66,780 1,862 Daktronics (A) 35,030 707 Data Domain* (A) 80,500 1,932 DealerTrack Holdings* (A) 92,506 1,946 Diebold 13,143 519 Digi International* 113,569 1,024 Digimarc* 13,400 149 Digital River* 12,912 517 Diodes* (A) 65,537 1,850 Dolby Laboratories, Cl A* 7,400 355 DSP Group* (A) 193,600 1,615 DST Systems* 1,400 89 DTS* 82,269 2,756 Earthlink* (A) 240,100 2,305 EF Johnson Technologies* (A) 134,800 200 Electro Rent 9,371 132 Electronic Arts* 10,167 510 Electronics for Imaging* 65,104 1,079 Elixir Gaming Technologies* 377,740 552 EMS Technologies* 620 17 Emulex* 146,113 2,049 Entegris* (A) 142,000 1,092 Equinix* (A) 35,154 3,357 Euronet Worldwide* (A) 68,597 1,342 F5 Networks* 31,754 954 Factset Research Systems (A) 18,405 1,191 Fair Isaac 38,100 963 Fairchild Semiconductor International, Cl A* 65,992 990 FEI* 24,200 567 Flir Systems* 39,350 1,551 Forrester Research* 21,800 659 Foundry Networks* 133,674 1,818 Gartner* 2,700 59 GSI Commerce* (A) 158,105 2,291 Harmonic* 63,000 606 Harris Stratex Networks, Cl A* 213,179 2,396 Heartland Payment Systems (A) 31,555 814 Hewitt Associates, Cl A* 3,856 151 Hittite Microwave* 29,768 1,189 Hughes Communications* 2,600 121 Hutchinson Technology* 63,600 916 iGate* 12,400 106 Ikanos Communications* (A) 109,400 389 Imation (A) 160,000 4,185 Immersion* 110,000 943 Informatica* 129,015 2,322 Information Services Group* 119,035 580 Insight Enterprises* 18,099 243 Integral Systems 9,000 356 Integrated Device Technology* 70,028 790 Intermec* 8,851 200
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Internap Network Services* 26,500 $ 140 Internet Capital Group* 15,502 156 Intevac* 58,000 667 IPG Photonics* (A) 73,010 1,467 Itron* 17,528 1,710 Jack Henry & Associates (A) 35,300 840 JDA Software Group* 151,600 3,093 JDS Uniphase* (A) 89,000 1,101 Juniper Networks* 7,174 197 Jupitermedia* 204,000 379 Kemet* (A) 114,100 460 Kenexa* 33,800 681 Keynote Systems* (A) 73,000 986 Knot* 162,500 1,887 Lawson Software* (A) 326,560 2,848 LeCroy* (A) 71,700 620 Linear Technology 14,100 518 Lionbridge Technologies* 13,112 32 Littelfuse* 35,426 1,339 LoJack* 10,200 94 LTX* 214,427 630 Macrovision Solutions* 13,400 181 Magma Design Automation* 14,300 108 Manhattan Associates* 63,200 1,605 Mantech International, Cl A* 19,467 982 Marchex, Cl A (A) 186,000 2,459 MAXIMUS 42,900 1,577 McAfee* 14,400 522 MEMSIC* 148,100 742 Mentor Graphics* (A) 134,521 1,567 Mercury Computer Systems* 95,800 850 Merrimac Industries* 16,900 115 Methode Electronics 165,500 1,893 Micrel (A) 100,939 969 Micros Systems* 58,295 1,922 Microsemi* (A) 286,316 7,845 MicroStrategy, Cl A* 13,000 1,035 Microtune* 22,700 95 MIPS Technologies, Cl A* (A) 316,400 1,209 MKS Instruments* 30,000 707 Monolithic Power Systems* 70,913 1,718 Move* 203,939 614 MPS Group* 127,200 1,461 MTS Systems 12,999 492 Multi-Fineline Electronix* (A) 32,600 654 Net 1 UEPS Technologies* 72,877 2,038 Netlogic Microsystems* (A) 21,440 810 Novatel Wireless* (A) 212,600 2,192 Nuance Communications* (A) 46,097 909 O2Micro International ADR* 53,100 476 Omniture* (A) 145,720 3,591 Omnivision Technologies* (A) 45,200 732 ON Semiconductor* (A) 247,395 2,447 Open Text* 31,285 1,123
76 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Oplink Communications* 5,000 $ 55 Orbotech* 134,900 2,311 Orckit Communications* 61,700 436 OSI Systems* 60,600 1,528 Packeteer* 26,100 185 Palm (A) 258,100 1,564 Parametric Technology* (A) 181,117 3,401 Park Electrochemical (A) 65,200 1,927 Parkervision* (A) 156,300 1,745 Perfect World ADR* 67,235 1,813 Perot Systems, Cl A* 106,326 1,756 Photronics* 71,762 644 Pixelworks* 69,908 51 Plantronics 22,808 554 Plexus* 41,749 1,179 PLX Technology* (A) 141,248 1,181 PMC - Sierra* (A) 221,600 1,886 Polycom* (A) 285,700 7,119 Power Integrations* 37,707 1,230 Powerwave Technologies* (A) 136,651 551 Presstek* (A) 79,578 497 QLogic* (A) 86,270 1,362 Quality Systems (A) 27,324 900 Quantum* 472,300 808 Quest Software* 15,023 256 Rackable Systems* 87,000 1,188 Radisys* (A) 44,700 448 RADWARE* 130,800 1,279 RealNetworks* 67,800 495 Red Hat* (A) 217,600 5,300 RF Micro Devices* (A) 773,300 3,093 Richardson Electronics 36,191 204 RightNow Technologies* 13,241 197 Rimage* 13,052 231 Riverbed Technology* 272,100 4,883 Rogers* 6,836 268 Rudolph Technologies* 306,500 3,083 S1* 60,500 396 SAIC* 21,200 423 SAVVIS* 67,600 1,128 Scansource* 9,045 271 Seachange International* 296,600 2,331 Secure Computing* 32,556 174 Shanda Interactive Entertainment ADR* 29,680 964 ShoreTel* (A) 60,900 329 SI International* 54,600 1,338 Sigma Designs* (A) 21,151 391 Silicon Image* (A) 101,400 713 Sina* 42,958 2,288 SkillSoft ADR* 56,849 553 Skyworks Solutions* (A) 730,300 7,544 Sohu.com* (A) 22,175 1,941 Solera Holdings* 51,885 1,415
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- SonicWALL* 11,900 $ 95 SPSS* (A) 47,809 1,882 SRA International, Cl A* 72,835 1,717 Standard Microsystems* 45,971 1,499 Stratasys* (A) 42,831 932 Switch & Data* 4,400 79 Sybase* (A) 143,403 4,591 SYKES Enterprises* 3,300 68 Symyx Technologies* 12,075 93 Synaptics* 8,400 359 Synchronoss Technologies* (A) 40,300 536 SYNNEX* 54,100 1,344 Synopsys* 29,792 785 Taleo, Cl A* 62,430 1,235 Tech Data* 12,200 446 Technitrol 127,542 2,544 TechTarget* 42,251 513 Tekelec* (A) 203,366 3,415 Terremark Worldwide* 175,308 1,104 Tessco Technologies* 2,684 34 Tessera Technologies* 47,344 998 THQ* (A) 70,884 1,520 TIBCO Software* (A) 259,900 2,006 TNS* 51,115 1,279 Trident Microsystems* 132,100 620 Trimble Navigation* 22,450 894 TriQuint Semiconductor* (A) 284,829 1,897 TTM Technologies* (A) 237,140 3,454 Tyler Technologies* 44,932 708 Ultimate Software Group* 73,615 2,785 Ultra Clean Holdings* (A) 67,900 708 Ultratech* (A) 141,196 2,261 Unica* 1,400 12 United Online 140,773 1,722 Universal Display* (A) 78,800 1,199 Utstarcom* (A) 156,500 751 Valueclick* (A) 94,691 1,904 Vasco Data Security International* (A) 69,963 907 Veeco Instruments* (A) 65,355 1,257 Verigy* 44,217 1,129 Verint Systems* 78,000 1,743 Viasat* 8,153 176 Vignette* 17,257 223 Virtusa* 37,491 379 VistaPrint* (A) 68,843 2,156 Wavecom ADR* 32,337 325 Websense* 4,315 76 WidePoint* 241,420 307 Wind River Systems* 154,600 1,673 Wright Express* 2,601 83 Xyratex* 118,250 2,359 Zoran* 158,702 2,322 Zygo* 121,748 1,457 ------------- 345,108 -------------
SEI Institutional Investments Trust / Annual Report / May 31, 2008 77 SCHEDULE OF INVESTMENTS Small Cap Fund (Continued) May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- MATERIALS -- 4.9% A. Schulman 28,200 $ 637 ADA-ES* (A) 19,200 188 AK Steel Holding 6,929 492 AM Castle 7,492 246 AMCOL International (A) 52,500 1,620 Arch Chemicals 24,962 949 Ashland 30,559 1,640 Bemis (A) 38,922 1,035 Brush Engineered Materials* 10,219 341 Buckeye Technologies* 84,400 898 Cabot 25,157 806 Calgon Carbon* 18,002 319 Carpenter Technology 36,700 2,026 Century Aluminum* 2,776 203 CF Industries Holdings 26,788 3,667 Chemtura 131,100 1,145 Compass Minerals International 4,564 333 Constar International* 59,598 125 Crown Holdings* 47,300 1,365 Cytec Industries 37,000 2,337 Ferro 78,862 1,527 Flotek Industries* 14,960 256 FMC 8,301 614 Frontera Copper (Canada)* 373,000 1,299 Georgia Gulf 100 -- Glatfelter 4,700 73 Greif, Cl A 50,638 3,395 Grupo Simec ADR* (A) 145,000 2,190 H.B. Fuller (A) 86,624 2,154 Haynes International* (A) 21,900 1,496 Hecla Mining* (A) 52,400 473 Hercules 250,064 5,160 Horsehead Holding* 167,000 2,347 Innophos Holdings 3,800 106 Innospec 6,166 152 Intrepid Potash* (A) 68,314 3,358 Katanga Mining (Canada)* 147,500 2,002 Koppers Holdings 40,944 1,768 LSB Industries* 1,800 33 Minerals Technologies 7,750 539 Myers Industries 79,029 960 Neenah Paper 54,966 1,168 NewMarket 26,775 2,096 Olin (A) 125,366 2,821 Olympic Steel 21,816 1,418 OM Group* 18,100 787 Omnova Solutions* 86,400 312 Owens-Illinois* 9,100 521 Pactiv* 58,105 1,431 PolyOne* 17,329 134 Quaker Chemical 28,200 902 Rock-Tenn, Cl A 76,509 2,731 Rockwood Holdings* 4,848 178
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Royal Gold 6,000 $ 184 RPM International 45,480 1,116 RTI International Metals* 14,500 625 Schnitzer Steel Industries, Cl A (A) 19,131 1,916 Schweitzer-Mauduit International 54,693 1,116 Sensient Technologies 67,900 2,135 ShengdaTech* (A) 95,300 786 Sherritt International 102,000 1,561 Silgan Holdings 134,086 7,673 Spartech 66,721 719 Terra Industries (A) 25,800 1,126 Texas Industries (A) 29,348 2,139 Universal Stainless & Alloy* 38,100 1,503 Western Goldfields* 695,800 1,628 Worthington Industries (A) 35,200 702 WR Grace* 4,027 109 Zep 4,276 70 ------------- 89,881 ------------- TELECOMMUNICATION SERVICES -- 1.6% Alaska Communications Systems Group 86,786 1,123 Atlantic Telegraph-Network 16,900 506 Cbeyond* (A) 97,397 1,807 Centennial Communications* (A) 264,900 2,005 Cincinnati Bell* 383,357 1,614 Clearwire, Cl A* (A) 119,500 1,693 Consolidated Communications Holdings 16,886 253 Fairpoint Communications (A) 257,400 2,317 Globalstar* (A) 494,300 1,443 Iowa Telecommunications Services 20,779 399 iPCS* 7,826 235 NeuStar, Cl A* 49,195 1,151 NTELOS Holdings 67,193 1,876 Premiere Global Services* 147,000 2,227 SBA Communications, Cl A* (A) 144,601 5,382 Syniverse Holdings* 154,199 3,325 Time Warner Telecom, Cl A* 98,185 1,836 USA Mobility 20,900 164 ------------- 29,356 ------------- UTILITIES -- 2.7% AGL Resources 39,291 1,404 Allete (A) 91,849 4,080 Atmos Energy 33,971 930 Avista 27,800 590 Black Hills 38,537 1,358 Cascal* (A) 120,200 1,382 Centerpoint Energy (A) 88,000 1,491 Cia de Saneamento de Minas Gerais-COPASA (Brazil) 121,200 2,226 Cleco 91,198 2,278
78 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Shares/ Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------ ------------- ------------- CMS Energy (A) 76,800 $ 1,197 El Paso Electric* 131,600 2,844 Empire District Electric (A) 44,838 927 Energen 11,200 839 Great Plains Energy 16,700 438 Idacorp (A) 31,230 958 ITC Holdings (A) 45,032 2,457 Laclede Group 2,200 88 National Fuel Gas 14,100 850 New Jersey Resources 40,342 1,344 Nicor 4,854 198 Northwest Natural Gas 22,339 1,018 NorthWestern 31,884 845 Ormat Technologies (A) 38,571 1,933 PNM Resources (A) 95,188 1,414 PNOC Energy Development (Philippines) 10,290,500 1,317 Portland General Electric 140,246 3,283 SJW 3,700 115 South Jersey Industries 2,328 89 Southern Union 52,400 1,394 Southwest Gas 39,509 1,232 UGI 41,300 1,114 UIL Holdings (A) 48,800 1,581 Unisource Energy 16,158 548 Vectren 61,276 1,808 Westar Energy (A) 82,788 1,987 WGL Holdings 16,300 569 Wisconsin Energy (A) 7,021 337 ------------- 48,463 ------------- Total Common Stock (Cost $1,653,929) ($ Thousands) 1,716,286 ------------- CONVERTIBLE BONDS -- 0.1% ENERGY -- 0.1% Nova Biosource Fuels 10.000%, 09/30/12 (B) $ 1,698 1,333 Scorpio Mining 7.000%, 05/05/11 (C) (D) 425 428 ------------- Total Convertible Bonds (Cost $2,115) ($ Thousands) 1,761 ------------- EXCHANGE TRADED FUNDS -- 0.1% iShares Russell 2000 Index Fund (A) 12,113 903 Powershares 15,014 751 ------------- Total Exchange Traded Funds (Cost $1,523) ($ Thousands) 1,654 -------------
Shares/ Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------ ------------- ------------- PREFERRED STOCK -- 0.0% FINANCIALS -- 0.0% East West Bancorp 614 $ 635 ------------- Total Preferred Stock (Cost $614) ($ Thousands) 635 -------------
Number of Warrants ------------- WARRANTS -- 0.0% Oilsands Quest, Expires 12/05/09* 17,500 22 Rentech, Expires 04/25/12* (C) (D) 16,100 16 Titanium Asset Management, Expires 06/21/11* 122,200 165 Victory Acquisition, Expires 04/30/11* 169,946 124 Washington Mutual, Expires 12/26/50* 220,361 66 ------------- Total Warrants (Cost $254) ($ Thousands) 393 ------------- AFFILIATED PARTNERSHIP -- 30.1% SEI Liquidity Fund, L.P. 2.810%**+ (F) 546,415,867 546,416 ------------- Total Affiliated Partnership (Cost $ 546,416) ($ Thousands) 546,416 ------------- U.S. TREASURY OBLIGATION -- 0.2% U.S. Treasury Bills 1.823%, 08/21/08 (E) (G) $ 4,355 4,337 ------------- Total U.S. Treasury Obligation (Cost $4,336) ($ Thousands) 4,337 ------------- CASH EQUIVALENTS -- 5.1% First Union Cash Management Program, 2.010%** 8,130,972 8,131 SEI Daily Income Trust, Prime Obligation Fund, Cl A 2.460%**+ 85,018,907 85,019 ------------- Total Cash Equivalents (Cost $93,150) ($ Thousands) 93,150 ------------- Total Investments -- 129.9% (Cost $2,302,337) ($ Thousands) $ 2,364,632 =============
SEI Institutional Investments Trust / Annual Report / May 31, 2008 79 SCHEDULE OF INVESTMENTS Small Cap Fund (Concluded) May 31, 2008 A summary of the open futures contracts held by the Fund at May 31, 2008, is as follows:
NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION APPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) ------------------------ ------------ ---------- ------------- Russell 2000 Index E-Mini 738 Jun-2008 $ 5,230 =============
Percentages are based on a Net Assets of $1,819,700 ($ Thousands). * Non-income producing security. ** Rate shown is the effective yield as of May 31, 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 May 31, 2008. The total value of securities on loan at May 31, 2008 was $523,112 ($ 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, unless otherwise noted, under guidelines established by the Board of Trustees. (C) Securities considered illiquid and restricted. The total value of such securities as of May 31, 2008 was $2,747 ($ Thousands) and represented 0.15% of Net Assets. (D) Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total value of such securities as of May 31, 2008 was $2,747 or 0.15% of net assets. (E) Zero coupon security. The rate reported is the effective yield at time of purchase. (F) This security was purchased with cash collateral held from securities on loan (see Note 9). The total value of this security as of May 31, 2008 was $546,416 ($ Thousands). (G) Security, or portion thereof, has been pledged as collateral on open future contracts. ADR -- American Depositary Receipt Cl -- Class CV -- Convertible Security L.P. -- Limited Partnership PIPE -- Private Investment in Public Entity Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. 80 SEI Institutional Investments Trust / Annual Report / May 31, 2008 SCHEDULE OF INVESTMENTS Small/Mid Cap Equity Fund May 31, 2008 (BAR CHART) SECTOR WEIGHTINGS (UNAUDITED)++: Affiliated Partnership 21.5% Financials 15.1% Information Technology 13.2% Industrials 11.5% Consumer Discretionary 9.2% Health Care 8.4% Energy 6.1% Materials 4.8% Utilities 3.2% Short-Term Investment 2.9% Consumer Staples 2.4% Telecommunication Services 1.5% U.S. Treasury Obligations 0.2% Exchange Traded Fund 0.0% Warrants 0.0%
++ Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 9).
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- COMMON STOCK -- 95.9% CONSUMER DISCRETIONARY -- 11.7% 1-800-FLOWERS.COM, Cl A* 42,200 $ 349 Aaron Rents 38,300 858 Advance Auto Parts 24,594 991 Aeropostale* (A) 3,800 133 Aftermarket Technology* 30,715 688 AH Belo, Cl A 16,053 153 American Axle & Manufacturing Holdings 65,704 1,221 American Eagle Outfitters 35,378 645 American Greetings, Cl A 33,400 623 Amerigon* (A) 99,190 1,232 AnnTaylor Stores* (A) 121,062 3,315 Apollo Group, Cl A* 22,600 1,080 Arctic Cat (A) 68,000 538 Autoliv (A) 59,800 3,269 AutoNation* 26,050 411 Bebe Stores 178,421 2,039 Belo, Cl A 80,264 767 Big Lots* (A) 65,325 2,029 BJ's Restaurants* (A) 46,701 599 Black & Decker (A) 38,537 2,493 Blue Nile* (A) 55,285 2,947 Blyth 4,114 80 Borders Group (A) 31,800 195 BorgWarner 29,201 1,510 Brinker International (A) 178,400 3,912 Brown Shoe (A) 67,666 1,143 Burger King Holdings (A) 123,200 3,517 Callaway Golf 11,369 144 Capella Education* 10,173 660 Career Education* 53,325 975 Carrols Restaurant Group* 13,700 95 Casual Male Retail Group* (A) 412,600 1,688 Cato, Cl A (A) 155,500 2,441 CBRL Group (A) 25,500 751 CEC Entertainment* (A) 61,809 2,234
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Central European Media Enterprises, Cl A* 7,100 $ 755 Century Casinos* 286,125 1,145 Charming Shoppes* (A) 322,500 1,874 Cheesecake Factory* (A) 22,400 449 Chico's FAS* 268,400 2,043 Chipotle Mexican Grill, Cl A* (A) 56,800 5,243 Chipotle Mexican Grill, Cl B* 2,910 241 Cinemark Holdings (A) 63,177 914 Collective Brands* (A) 64,727 733 Cooper Tire & Rubber (A) 71,849 789 Corinthian Colleges* 7,200 92 CROCS* (A) 334,525 3,416 Ctrip.com International ADR (A) 5,314 310 Deckers Outdoor* 8,132 1,112 Denny's* 51,300 208 DeVry 23,925 1,365 Dick's Sporting Goods* (A) 55,714 1,290 Dillard's, Cl A (A) 40,000 651 Dolan Media* 57,480 1,069 Dollar Tree* 54,700 2,018 DreamWorks Animation SKG, Cl A* 70,982 2,241 DSW, Cl A* (A) 171,689 2,536 Dufry South America (United Kingdom)* 81,600 1,934 E.W. Scripps, Cl A 20,998 989 Eastman Kodak 24,482 375 Eddie Bauer Holdings* (A) 236,200 1,091 Entercom Communications, Cl A (A) 80,534 780 Ethan Allen Interiors 14,902 418 Expedia* 9,200 223 Family Dollar Stores (A) 137,600 2,945 Focus Media Holding ADR* (A) 95,943 3,865 Foot Locker (A) 169,110 2,471 Fossil* 15,000 476 FTD Group 47,760 704 Gaiam, Cl A* 2,963 46 GameStop, Cl A* (A) 56,612 2,808 Genius Products* 652,825 163 Gentex (A) 18,600 327 Getty Images* 13,585 455 Gildan Activewear, Cl A* 30,500 897 Global Sources* (A) 48,000 725 Goodyear Tire & Rubber* 89,831 2,283 Guess? 129,800 5,300 Gymboree* 102,915 4,748 H&R Block 55,428 1,294 Hanesbrands* 41,300 1,363 Harley-Davidson 23,231 966 Harman International Industries 4,796 214 Harte-Hanks 1,122 15 Hasbro (A) 186,250 6,749 Heelys* 32,200 141 Hibbett Sports* (A) 140,250 2,948
SEI Institutional Investments Trust / Annual Report / May 31, 2008 81 SCHEDULE OF INVESTMENTS Small/Mid Cap Equity Fund (Continued) May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Hillenbrand 9,400 $ 208 Hooker Furniture 49,800 1,005 IAC* 52,275 1,179 Interactive Data 49,235 1,356 iRobot* 9,400 132 ITT Educational Services* 9,091 660 J Crew Group* (A) 80,500 3,000 Jack in the Box* (A) 101,800 2,501 Jarden* 178,255 3,342 Jones Apparel Group 109,953 1,849 K12* 31,990 861 Lear* (A) 73,100 1,882 Leggett & Platt (A) 114,288 2,183 Lennar, Cl A (A) 55,348 934 Life Time Fitness* 46,325 1,854 LKQ* (A) 311,900 6,912 Lodgian* 11,700 105 Lululemon Athletica* (A) 121,700 3,893 Martha Stewart Living Omnimedia, Cl A* (A) 155,500 1,347 Marvel Entertainment* 49,720 1,692 MDC Holdings 1,837 75 Media General, Cl A 32,374 493 Men's Wearhouse 10,137 210 Meredith 16,434 539 Morgans Hotel Group* (A) 107,900 1,389 Morningstar* (A) 36,447 2,586 National CineMedia 73,925 1,471 NetFlix* (A) 46,600 1,415 Newell Rubbermaid 55,401 1,112 Nexstar Broadcasting Group, Cl A* 13,300 76 NVR* (A) 3,078 1,740 O'Charleys 72,382 803 OfficeMax 37,200 806 Orient-Express Hotels, Cl A 64,400 3,029 Pacific Sunwear of California* 41,546 395 Penn National Gaming* 130,001 6,035 Perry Ellis International* 45,629 1,244 PetSmart 121,546 2,849 Phillips-Van Heusen 177,772 8,075 Pinnacle Entertainment* (A) 226,112 3,136 Playboy Enterprises, Cl B* 18,247 109 Polaris Industries 9,235 441 priceline.com* (A) 24,567 3,306 Quiksilver* 563,200 4,810 RadioShack 47,662 698 RC2* 22,929 443 Red Robin Gourmet Burgers* (A) 72,847 2,448 Regal Entertainment Group, Cl A (A) 94,400 1,659 Regis (A) 97,201 2,949 Rent-A-Center, Cl A* (A) 60,170 1,262 Retail Ventures* (A) 183,506 1,024 Ruby Tuesday (A) 79,800 597 Russ Berrie* 12,600 152 Saks* (A) 101,164 1,398
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Sally Beauty Holdings* 86,436 $ 652 Sauer-Danfoss 17,884 558 Scholastic* (A) 49,635 1,544 Scientific Games, Cl A* (A) 97,155 3,141 Shutterfly* (A) 121,200 1,746 Sinclair Broadcast Group, Cl A (A) 93,100 835 Snap-On 20,200 1,251 Sonic Automotive, Cl A (A) 33,900 632 Sotheby's 18,500 496 Stamps.com* 9,400 137 Standard Motor Products 961 8 Standard Pacific (A) 155,351 488 Starwood Hotels & Resorts Worldwide 114,900 5,561 Strayer Education (A) 14,859 2,971 Syntax-Brillian* 215,700 173 Talbots (A) 172,785 1,251 Tecnisa (Brazil) 433,900 2,488 Tempur-Pedic International 34,248 368 Thor Industries 20,932 564 Thunderbird Resorts PIPE* (B) (C)(D) 148,600 1,337 Thunderbird Resorts PIPE* (C)(D) 3,100 28 Tiffany (A) 58,600 2,873 Tractor Supply* (A) 13,142 449 True Religion Apparel* 56,800 1,436 TRW Automotive Holdings* 38,400 958 Tupperware Brands 92,500 3,543 Under Armour, Cl A* (A) 54,925 1,966 Universal Electronics* 6,581 167 Urban Outfitters* (A) 227,465 7,322 Visteon* 36,650 148 Warnaco Group* 11,180 539 West Marine* 10,608 48 Whirlpool 48,994 3,611 Williams-Sonoma (A) 53,000 1,347 WMS Industries* (A) 18,500 685 Wolverine World Wide 19,718 566 Wynn Resorts (A) 21,100 2,111 Zumiez* 160,960 3,374 ------------- 276,973 ------------- CONSUMER STAPLES -- 3.1% Alberto-Culver, Cl B 80,600 2,130 American Dairy* (A) 9,400 119 American Oriental Bioengineering* (A) 70,400 838 Andersons 4,077 173 Asiatic Development (Malaysia) 892,500 2,286 Avon Products 29,969 1,171 Bare Escentuals* (A) 69,900 1,402 BJ's Wholesale Club* (A) 142,967 5,645 Bunge 4,197 501 Casey's General Stores 27,072 593 Central Garden and Pet* 36,808 294
82 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Central Garden and Pet, Cl A* 62,666 $ 467 Chiquita Brands International* 39,369 958 Church & Dwight 25,495 1,452 Clorox 16,777 958 Constellation Brands, Cl A* 30,245 645 Corn Products International 51,986 2,444 Cosan Industria e Comercio (Brazil) 158,200 2,457 Darling International* (A) 99,400 1,601 Dean Foods* 89,968 1,957 Del Monte Foods 279,818 2,437 Diamond Foods 16,113 330 Energizer Holdings* (A) 5,400 441 Fresh Del Monte Produce* 45,337 1,339 Great Atlantic & Pacific Tea* 15,773 393 Hain Celestial Group* (A) 149,100 4,290 Hansen Natural* 67,920 2,122 Herbalife 29,075 1,121 Hershey 28,274 1,108 Hormel Foods 14,974 566 JM Smucker 8,562 452 Lance 105,600 2,208 Loews - Carolina 23,830 1,728 Longs Drug Stores 41,855 1,985 McCormick 92,310 3,469 Molson Coors Brewing, Cl B 52,743 3,059 Nash Finch (A) 28,449 1,088 NBTY* 30,409 993 Pantry* 30,420 371 Pepsi Bottling Group 85,917 2,785 PepsiAmericas 28,200 687 Pilgrim's Pride 24,400 634 Ralcorp Holdings* 7,346 441 Ruddick 104,065 3,697 Smithfield Foods* (A) 52,957 1,657 Supervalu 66,547 2,334 Universal 16,423 815 UST 18,374 1,015 Whole Foods Market (A) 64,000 1,856 ------------- 73,512 ------------- ENERGY -- 7.6% Approach Resources* 57,717 1,295 Arch Coal 2,460 160 Arena Resources* 4,242 212 Arlington Tankers (A) 111,900 2,604 Atlas America 12,783 877 ATP Oil & Gas* (A) 86,500 3,689 Atwood Oceanics* 12,000 1,223 Basic Energy Services* (A) 64,600 1,859 Berry Petroleum, Cl A 33,757 1,823 Bois d'Arc Energy* 4,207 103 BPZ Energy PIPE* 118,000 2,682 BPZ Resources* 16,046 365 Brigham Exploration* 10,000 146
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Bronco Drilling* 16,646 $ 303 Cal Dive International* (A) 164,500 2,300 Callon Petroleum* 34,288 889 Cameron International* (A) 127,436 6,783 Carrizo Oil & Gas* (A) 71,592 4,794 Cie Generale de Geophysique- Veritas ADR* (A) 49,600 2,667 Cimarex Energy 48,746 3,322 Complete Production Services* (A) 63,400 1,817 Comstock Resources* 38,657 2,217 Continental Resources* 13,700 879 Crosstex Energy 9,325 318 Denbury Resources* 38,400 1,307 Dresser-Rand Group* 22,825 920 Dril-Quip* 1,612 94 Edge Petroleum* 17,600 93 Encore Acquisition* 22,900 1,529 Energy Partners* (A) 197,900 2,982 ENSCO International 9,800 704 EXCO Resources* 34,685 865 Exterran Holdings* 29,094 2,139 FMC Technologies* (A) 49,592 3,563 Forest Oil* 24,584 1,641 Foundation Coal Holdings 43,913 2,930 Frontier Oil 103,725 3,123 Frontline 400 25 Global Industries* 27,328 471 GMX Resources* 5,900 285 Grey Wolf* (A) 253,039 1,981 Helix Energy Solutions Group* (A) 111,300 4,300 Helmerich & Payne 51,680 3,238 Hercules Offshore* (A) 110,800 3,758 Holly 39,857 1,692 Hugoton Royalty Trust 20,825 696 IHS, Cl A* 20,207 1,204 Infinity Bio-Energy* 598,281 2,088 ION Geophysical* 669 11 Kinder Morgan Escrow* 24,428 -- Kinder Morgan Management LLC* 11,892 656 Mariner Energy* (A) 74,416 2,433 Massey Energy 40,239 2,600 McMoRan Exploration* 11,200 358 Murphy Oil 12,891 1,194 Nabors Industries* 33,258 1,398 National Oilwell Varco* 1,314 109 Newfield Exploration* 37,303 2,359 Oceaneering International* 50,025 3,570 Oil Sands Quest* (A) 379,800 1,736 OPTI (Canada)* 94,100 2,130 Overseas Shipholding Group 27,100 2,143 Patterson-UTI Energy (A) 116,600 3,671 PetroHawk Energy* 222,649 6,541 Petroleum Development* 11,600 802 Petroquest Energy* 9,335 207 Pioneer Drilling* 8,700 155
SEI Institutional Investments Trust / Annual Report / May 31, 2008 83 SCHEDULE OF INVESTMENTS Small/Mid Cap Equity Fund (Continued) May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Pioneer Natural Resources 17,784 $ 1,277 Plains Exploration & Production* 10,800 772 Pride International* 38,200 1,679 Quicksilver Resources* 7,500 273 Range Resources 51,364 3,378 Rentech* (A) 842,400 1,963 Rex Energy* 57,003 1,275 Rosetta Resources* (A) 17,100 461 Rowan 2,529 112 Southwestern Energy* 61,716 2,736 StealthGas 136,900 2,330 Stone Energy* 35,800 2,419 Sunoco (A) 36,200 1,610 Superior Energy Services* 127,584 6,849 Superior Well Services* (A) 71,500 1,769 Swift Energy* 128,044 7,380 Synenco Energy (Canada)* 12,051 109 Synenco Energy, Cl A (Canada)* 328,600 2,967 Teekay LNG Partners 4,500 132 Tesoro (A) 131,411 3,266 Tetra Technologies* 20,725 446 Tidewater (A) 21,200 1,449 Transmontaigne Partners 3,400 102 Unit* 82,885 6,356 Uranium One (Canada)* 93,586 469 W&T Offshore 63,136 3,520 Western Refining 20,100 255 W-H Energy Services, Cl H* 9,508 813 Whiting Petroleum* 5,277 494 Willbros Group* (A) 125,189 5,193 Williams 16,425 625 World Fuel Services 62,945 1,516 ------------- 181,023 ------------- FINANCIALS -- 19.2% Acadia Realty Trust++ 4,426 109 Advance America Cash Advance Centers 123,300 856 Advanta, Cl B (A) 53,400 465 Affiliated Managers Group* (A) 83,700 8,578 Alesco Financial++ 10,500 28 Alexander's++* 908 313 Alexandria Real Estate Equities++ (A) 34,800 3,630 AllianceBernstein Holding 2,329 150 AMB Property++ (A) 63,410 3,737 Amcore Financial (A) 72,829 714 American Equity Investment Life Holding 34,116 361 American Financial Group 126,748 3,780 American Physicians Capital 13,000 592 AmeriCredit* (A) 53,300 724 Amtrust Financial Services 51,478 770 Annaly Capital Management++ 238,238 4,243 Anthracite Capital++ (A) 105,169 985
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Anworth Mortgage Asset++ (A) 433,656 $ 3,066 AON 58,800 2,775 Arch Capital Group* 53,422 3,759 Ashford Hospitality Trust++ (A) 113,400 696 Aspen Insurance Holdings 97,700 2,497 Associated Banc (A) 122,841 3,355 Assurant 32,365 2,202 Assured Guaranty (A) 77,625 1,793 Asta Funding 5,600 46 Astoria Financial (A) 21,400 511 AvalonBay Communities++ (A) 50,400 5,100 Banco Latinoamericano de Exportaciones, Cl E 80,200 1,454 Bancorp* 20,191 215 Bancorpsouth 59,156 1,400 Bank Mutual 51,812 575 Bank of Hawaii (A) 38,284 2,071 Bank of the Ozarks (A) 5,300 129 BankAtlantic Bancorp, Cl A (A) 14,370 25 BioMed Realty Trust++ 5,847 154 BlackRock, Cl A 7,467 1,680 Blackstone Group (A) 209,200 4,072 BOK Financial 4,000 233 Boston Private Financial Holdings 28,423 240 Boston Properties++ (A) 83,000 8,113 Brasil Brokers Participacoes* 2,800 2,816 Calamos Asset Management, Cl A 57,624 1,166 Camden Property Trust++ (A) 58,200 2,867 Canaccord Capital 10,500 108 Canaccord Capital (Canada) 119,400 1,226 Capital Lease Funding++ (A) 46,400 385 Capital Trust, Cl A++ 7,400 214 CapitalSource++ 322,282 4,950 Capitol Federal Financial (A) 4,200 172 Capstead Mortgage++ 186,200 2,551 Cardinal Financial 49,860 428 Cash America International 55,549 1,986 Cathay General Bancorp 12,784 197 CBL & Associates Properties++ 43,915 1,155 Central Pacific Financial (A) 108,260 1,615 Chemical Financial (A) 29,400 717 Chimera Investment++ (A) 108,749 1,507 CIT Group (A) 33,100 331 Citizens Republic Bancorp (A) 85,347 473 City Bank 10,323 149 City Holding 15,685 675 CME Group, Cl A 3,542 1,524 CNA Surety* 29,489 431 Colonial BancGroup (A) 276,274 1,694 Colonial Properties Trust++ (A) 43,900 1,056 Comerica (A) 103,233 3,838 Commerce Bancshares 18,456 811 Companhia Brasileira de Desenvolvimento Imobiliario Turistico (Brazil)* 3,700 1,895
84 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Corporate Office Properties Trust++ (A) 99,200 $ 3,761 Cullen/Frost Bankers 86,849 4,854 Darwin Professional Underwriters* 5,200 148 DCT Industrial Trust++ 40,586 396 Deerfield Capital++ 50,500 47 Delphi Financial Group, Cl A 22,558 652 Digital Realty Trust++ 21,887 926 Dime Community Bancshares 69,229 1,259 Discover Financial Services 37,575 644 Dollar Financial* (A) 115,500 2,302 Downey Financial (A) 25,395 171 Dundee (Canada)++ 45,800 1,548 DuPont Fabros Technology++ (A) 97,563 1,975 E*Trade Financial* (A) 243,729 999 East West Bancorp (A) 120,107 1,590 Eaton Vance 91,345 3,887 Education Realty Trust++ 40,667 531 E-House China Holdings ADR* (A) 64,457 967 EMC Insurance Group 19,525 547 Employers Holdings 47,681 910 Endurance Specialty Holdings 40,664 1,369 Entertainment Properties Trust++ 1,600 88 Equity Lifestyle Properties++ 1,652 82 Equity One++ 45,847 1,064 Equity Residential++ (A) 119,900 5,071 Essex Property Trust++ (A) 33,600 4,014 Evercore Partners, Cl A (A) 84,300 1,227 Everest Re Group 26,000 2,281 Extra Space Storage++ (A) 204,900 3,412 Ezcorp, Cl A* 46,100 582 FCStone Group* 58,255 2,280 Federal Realty Investment Trust++ 67,900 5,474 Federated Investors, Cl B 87,592 3,224 Fidelity National Financial, Cl A 46,754 799 Financial Federal (A) 78,900 1,916 First Financial Bancorp 57,974 660 First Horizon National (A) 83,452 800 First Marblehead 15,900 52 First Mercury Financial* 67,158 1,186 First Midwest Bancorp 168,880 4,407 First Niagara Financial Group (A) 204,900 2,902 FirstFed Financial* (A) 70,943 1,046 FirstMerit (A) 66,691 1,348 Friedman Billings Ramsey Group, Cl A++ (A) 61,700 118 Frontier Financial (A) 30,300 445 Fulton Financial (A) 84,300 1,064 General Shopping Brasil (Brazil)* 355,700 2,790 GFI Group 92,771 1,098 GLG Partners (A) 110,700 920 Gluskin Sheff + Associates (Canada) 97,200 2,240 Gluskin Sheff + Associates (Canada)* 11,900 274 GMP Capital Trust (Canada) 84,500 1,429
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Gramercy Capital++ (A) 136,351 $ 2,284 Greenhill (A) 38,380 2,312 Grubb & Ellis (A) 324,560 1,856 Hallmark Financial Services* 2,673 34 Hancock Holding (A) 67,675 3,011 Hanmi Financial 2,338 15 Hanover Insurance Group 84,398 3,890 Hatteras Financial++* (A) 40,500 1,079 HCP++ (A) 131,059 4,490 Health Care++ (A) 105,120 5,077 Hercules Technology Growth Capital 159,866 1,658 Hersha Hospitality Trust++ 242,200 2,303 Highbury Financial* (A) 93,400 255 Home Bancshares (A) 36,800 846 Horace Mann Educators 97,722 1,592 Hospitality Properties Trust++ 103,400 3,205 Host Hotels & Resorts++ (A) 70,400 1,210 HRPT Properties Trust++ (A) 169,700 1,322 Huntington Bancshares (A) 147,832 1,317 Imperial Capital Bancorp 1,238 12 IndyMac Bancorp (A) 19,500 37 Infinity Property & Casualty 21,106 851 IntercontinentalExchange* 13,449 1,859 Investors Real Estate Trust++ (A) 223,200 2,335 IPC Holdings 87,300 2,479 Irwin Financial (A) 33,700 139 iStar Financial++ 23,300 445 Jefferies Group (A) 143,025 2,574 JER Investors Trust++ 10,100 91 Jones Lang LaSalle (A) 51,085 3,603 Kansas City Life Insurance 29,600 1,555 KBW* (A) 74,554 1,836 Kilroy Realty++ 13,800 752 KKR Financial Holdings LLC 69,600 846 Knight Capital Group, Cl A* 87,684 1,562 Lakeland Bancorp 5,465 81 Lakeland Financial 5,200 124 LandAmerica Financial Group, Cl A (A) 18,700 557 Lazard, Cl A 34,887 1,329 Legg Mason 17,849 960 Leucadia National 5,800 315 Lexington Realty Trust++ (A) 71,100 1,108 LTC Properties++ 46,503 1,293 Macerich++ (A) 78,000 5,579 Mack-Cali Realty++ 112,300 4,339 MarketAxess Holdings* 158,190 1,237 Marsh & McLennan 96,861 2,638 Max Capital Group 73,300 1,768 MCG Capital (A) 110,800 635 Medical Properties Trust++ 49,465 604 Meruelo Maddux Properties* 365,400 1,023 MFA Mortgage Investments++ (A) 711,937 5,176 MGIC Investment (A) 27,181 327
SEI Institutional Investments Trust / Annual Report / May 31, 2008 85 SCHEDULE OF INVESTMENTS Small/Mid Cap Equity Fund (Continued) May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Mid-America Apartment Communities++ 11,812 $ 661 MSCI, Cl A* 112,220 3,990 MVC Capital 111,600 1,710 Nara Bancorp 779 10 NASDAQ Stock Market* 26,358 923 National Financial Partners 32,850 802 National Health Investors++ 30,700 952 National Interstate 4,000 92 National Penn Bancshares 43,939 752 National Retail Properties++ (A) 91,601 2,080 Nationwide Financial Services 46,500 2,373 Nationwide Health Properties++ 61,319 2,093 Navigators Group* 23,151 1,169 NBT Bancorp 22,900 562 Nelnet, Cl A 123,170 1,625 New York Community Bancorp (A) 392,601 8,055 NewAlliance Bancshares 63,497 851 NorthStar Realty Finance++ (A) 184,514 1,845 NYSE Euronext 7,425 475 Och-Ziff Capital Management Group LLC, Cl A (A) 98,700 2,037 Old National Bancorp (A) 92,264 1,613 Old Second Bancorp (A) 1,700 32 Omega Healthcare Investors++ 68,631 1,223 optionsXpress Holdings 98,271 2,245 Oriental Financial Group 23,100 420 Oritani Financial* 7,767 121 Pacific Capital Bancorp 3,896 78 PacWest Bancorp (A) 22,173 467 Parkway Properties++ 11,800 449 PartnerRe 8,836 651 PennantPark Investment (A) 97,867 798 Pennsylvania Real Estate Investment Trust++ (A) 23,000 618 People's United Financial (A) 65,975 1,091 PHH* 170,740 3,215 Philadelphia Consolidated Holding* 27,785 1,035 Piper Jaffray* (A) 87,700 3,333 Platinum Underwriters Holdings 110,934 3,934 Post Properties++ 17,136 608 Potlatch++ 1,043 50 Presidential Life 20,700 365 Principal Financial Group 19,117 1,030 ProAssurance* 17,560 900 Prologis++ 138,800 8,597 Prospect Capital 6,000 87 Prosperity Bancshares (A) 74,070 2,366 PS Business Parks++ 18,400 1,058 Public Storage++ 68,979 6,079 Radian Group (A) 34,500 198 Rainier Pacific Financial Group 9,047 118 RAIT Financial Trust++ (A) 155,818 1,387 RAM Holdings* (A) 120,100 150
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Raymond James Financial 30,542 $ 909 Rayonier++ 36,300 1,723 Realty Income++ (A) 97,114 2,379 Redwood Trust++ 6,800 230 Reinsurance Group of America (A) 37,224 1,914 Resource Capital++ 10,200 93 Riskmetrics Group* 149,480 3,099 S&T Bancorp 9,870 321 Safeco 60,072 4,024 SCBT Financial 3,100 103 Senior Housing Properties Trust++ (A) 40,500 900 Sierra Bancorp (A) 4,900 108 Signature Bank NY* 28,680 819 Simon Property Group++ (A) 89,400 8,884 SL Green Realty++ (A) 69,000 6,879 South Financial Group (A) 80,201 442 St. Joe 19,921 765 StanCorp Financial Group 26,934 1,481 Sterling Bancshares (A) 143,521 1,467 Stifel Financial* 11,668 666 Strategic Hotels & Resorts++ (A) 154,000 2,118 Sunstone Hotel Investors++ (A) 77,100 1,484 Superior Bancorp* 10,332 153 SVB Financial Group* (A) 48,515 2,486 SWS Group 41,700 771 Taubman Centers++ 62,500 3,359 Taylor Capital Group 231 3 TCF Financial 222,558 3,677 TD Ameritrade Holding* 48,424 877 Tejon Ranch* 114 5 Texas Capital Bancshares* 6,305 114 Titanium Asset* 118,000 664 Titanium Asset Management* 26,944 152 TradeStation Group* 9,115 96 Transatlantic Holdings 8,523 551 Triplecrown Acquisition* 122,080 1,122 Trustmark (A) 111,907 2,234 UCBH Holdings (A) 392,833 1,917 UMB Financial 7,494 391 UnionBanCal 65,285 3,268 Unitrin 37,200 1,289 Unum Group (A) 130,299 3,138 Uranium Participation* 164,100 1,640 Value Creation* (C) (D) 71,690 721 Ventas++ 113,884 5,428 Vornado Realty Trust++ 23,300 2,277 Waddell & Reed Financial, Cl A (A) 17,200 608 Washington Federal (A) 89,466 2,003 Webster Financial 35,485 922 Weingarten Realty Investors++ 35,300 1,218 Westamerica Bancorporation 6,500 361 Willis Group Holdings 30,739 1,101 Winthrop Realty Trust++ 13,800 61 World Acceptance* (A) 114,107 5,046
86 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Zenith National Insurance (A) 18,200 $ 734 Zions Bancorporation (A) 91,648 3,949 ------------- 455,251 ------------- HEALTH CARE -- 10.7% Abaxis* 30,923 909 Abraxis Bioscience* 35,150 2,283 Acadia Pharmaceuticals* (A) 225,600 1,985 Achillion Pharmaceuticals* 178,705 547 Acorda Therapeutics* 54,275 1,170 Adolor* 32,200 183 Affymax* (A) 6,000 89 Affymetrix* (A) 213,800 2,578 Air Methods* 6,352 245 Albany Molecular Research* 14,500 203 Alexion Pharmaceuticals* (A) 35,448 2,529 Align Technology* 20,844 275 Allscripts Healthcare Solutions* 10,105 126 Alpharma, Cl A* 6,002 151 Altus Pharmaceuticals* 146,441 628 AMAG Pharmaceuticals* (A) 15,521 621 Amedisys* (A) 20,200 1,026 AMERIGROUP* 10,800 298 Amsurg, Cl A* (A) 115,514 3,151 Analogic 3,805 255 APP Pharmaceuticals* (A) 203,600 2,700 Apria Healthcare Group* 49,000 826 Arena Pharmaceuticals* (A) 257,400 1,320 Ariad Pharmaceuticals* (A) 442,734 1,142 Array Biopharma* (A) 129,460 805 Arthrocare* (A) 78,300 3,454 Barr Pharmaceuticals* 53,600 2,348 Beckman Coulter 29,336 2,036 BioMarin Pharmaceutical* (A) 59,534 2,272 Bio-Rad Laboratories, Cl A* 3,099 277 Cadence Pharmaceuticals* 82,873 554 Capital Senior Living* 41,965 337 Caraco Pharmaceutical Laboratories* 3,257 56 Cell Genesys* (A) 302,900 1,072 Centene* 32,323 682 Cephalon* (A) 111,732 7,566 Cepheid* (A) 62,219 1,638 Cerner* (A) 11,700 531 Charles River Laboratories International* 19,300 1,241 Chemed 16,774 608 Community Health Systems* 42,000 1,513 Computer Programs & Systems 4,800 96 Conmed* 104,667 2,794 Cooper 112,492 4,550 Corvel* 4,050 146 Cougar Biotechnology PIPE* 39,300 1,062 Covance* 45,740 3,750 Cubist Pharmaceuticals* (A) 236,200 4,502 CV Therapeutics* (A) 489,000 4,318
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Cyberonics* 7,500 $ 133 Cynosure, Cl A* (A) 42,500 1,043 DaVita* 91,200 4,731 Dentsply International (A) 220,244 8,928 DexCom* (A) 139,627 1,102 Eclipsys* 59,077 1,205 Edwards Lifesciences* 1,800 104 Emergent Biosolutions* 3,930 42 Endo Pharmaceuticals Holdings* 176,158 4,341 eResearch Technology* 73,127 1,169 Exelixis* (A) 365,400 2,309 Express Scripts* 41,454 2,989 Forest Laboratories* 27,200 977 Gen-Probe* 12,674 722 Gentiva Health Services* 23,800 479 Genzyme* 26,548 1,817 GTx* (A) 10,200 153 Health Net* 71,414 2,214 HealthExtras* 84,500 2,641 Healthspring* 44,677 830 Healthways* 69,232 2,236 Henry Schein* 15,751 878 Hill-Rom Holdings 71,633 2,203 HLTH* 5,700 68 HMS Holdings* 25,329 512 Hologic* (A) 119,620 2,874 Human Genome Sciences* (A) 429,300 2,524 ICU Medical* 40 1 I-Flow* 155,235 2,131 Illumina* 5,800 455 ImClone Systems* 15,644 682 Immucor* 88,010 2,361 Incyte* (A) 255,700 2,483 InterMune* (A) 23,800 336 Intuitive Surgical* 15,639 4,591 Invacare 21,655 394 Inverness Medical Innovations* 10,589 387 Invitrogen* (A) 32,000 1,471 Kendle International* 18,285 691 Kensey Nash* 9,077 267 Kindred Healthcare* 121,551 3,354 Kinetic Concepts* (A) 59,084 2,566 King Pharmaceuticals* 135,115 1,386 LCA-Vision (A) 55,500 461 Lev Pharmaceuticals* 257,815 480 LHC Group* 76,000 1,647 Lincare Holdings* (A) 77,599 2,022 Magellan Health Services* 179,146 7,212 MannKind* 15,300 46 Martek Biosciences* (A) 32,874 1,241 Masimo* (A) 20,700 715 Medarex* (A) 842,700 7,341 MedAssets* 34,700 620 Medcath* 2,191 48 Medical Action Industries* (A) 12,222 162
SEI Institutional Investments Trust / Annual Report / May 31, 2008 87 SCHEDULE OF INVESTMENTS Small/Mid Cap Equity Fund (Continued) May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Medicines* 81,800 $ 1,497 Medicis Pharmaceutical, Cl A (A) 71,300 1,696 Meridian Bioscience 6,926 203 Merit Medical Systems* 4,175 66 Metabolix* (A) 97,500 1,094 Micrus Endovascular* (A) 101,717 1,150 Molina Healthcare* 1,873 56 MWI Veterinary Supply* (A) 76,712 2,940 Mylan Laboratories (A) 29,400 392 NuVasive* (A) 22,815 966 Odyssey HealthCare* 264,000 2,880 Omnicare (A) 26,888 658 Omnicell* 129,074 1,713 Omrix Biopharmaceuticals* (A) 56,138 1,021 Orthofix International* 52,545 1,710 OSI Pharmaceuticals* (A) 150,727 5,321 Owens & Minor (A) 34,300 1,629 Par Pharmaceutical* 9,763 178 Parexel International* 12,100 298 Patterson* 28,407 966 PDL BioPharma 23,900 245 Pediatrix Medical Group* 68,025 3,662 Penwest Pharmaceuticals* 23,500 73 PerkinElmer 188,580 5,333 Perrigo (A) 78,400 2,870 Pharmaceutical Product Development 42,600 1,883 PharmaNet Development Group* 16,775 283 Pozen* (A) 20,900 287 Profarma Distribuidora de Produtos Farmaceuticos (Brazil) 138,400 2,270 Progenics Pharmaceuticals* (A) 5,200 85 PSS World Medical* 18,835 343 Psychiatric Solutions* (A) 26,000 948 Regeneron Pharmaceuticals* (A) 93,800 1,867 Repligen* 2,451 14 Res-Care* 34,274 654 Resmed* 27,650 1,089 Rigel Pharmaceuticals* (A) 119,400 2,787 Savient Pharmaceuticals* (A) 41,700 1,111 Sciele Pharma (A) 79,784 1,748 Sepracor* 3,600 78 Sirona Dental Systems* (A) 52,022 1,543 Somanetics* 11,876 210 SonoSite* 10,313 317 Sun Healthcare Group* 3,300 47 SurModics* 2,359 106 Symmetry Medical* 12,015 178 Techne* 19,412 1,524 Theravance* (A) 128,268 1,735 Third Wave Technologies* 156,711 1,663 TomoTherapy* 179,180 1,596 United Therapeutics* (A) 58,050 5,545 Universal American Financial* 19,159 221 Universal Health Services, Cl B 51,309 3,335
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- VCA Antech* 34,580 $ 1,085 Vertex Pharmaceuticals* 60,200 1,724 Viropharma* (A) 101,172 970 Warner Chilcott, Cl A* 64,100 1,114 Waters* 58,839 3,620 Watson Pharmaceuticals* (A) 177,560 5,071 WellCare Health Plans* 2,700 149 ------------- 254,040 ------------- INDUSTRIALS -- 14.6% 51job ADR* (A) 55,037 1,083 Actuant, Cl A (A) 113,414 4,141 Acuity Brands (A) 23,800 1,267 Administaff 8,598 240 Advisory Board* 11,503 531 Aegean Marine Petroleum Network (A) 72,424 3,024 AGCO* (A) 104,970 6,343 Air Transport Services Group* 18,277 30 Aircastle 44,800 575 Alaska Air Group* (A) 33,900 662 Albany International, Cl A (A) 54,052 1,871 Alexander & Baldwin 12,837 661 Allen-Vanguard* 466,000 1,224 Alliant Techsystems* 12,203 1,325 Allied Waste Industries* 21,607 291 Amerco* 2,249 134 American Commercial Lines* 2,478 38 American Ecology 114,100 3,277 American Railcar Industries 10,300 216 American Woodmark (A) 41,100 926 Ametek 34,865 1,789 AO Smith (A) 65,110 2,354 Apogee Enterprises 61,211 1,453 Applied Industrial Technologies 40,700 1,122 Arkansas Best (A) 18,500 687 Avis Budget Group* 127,946 1,781 Barnes Group 101,685 3,248 BE Aerospace* 72,372 2,529 Belden (A) 52,021 2,179 Blount International* 13,825 194 Brady, Cl A 22,695 879 Briggs & Stratton 112,900 1,665 Brink's 112,254 8,137 Bucyrus International, Cl A 10,150 718 C.H. Robinson Worldwide 9,800 632 Ceradyne* 10,600 457 Chart Industries* 24,985 1,047 Chicago Bridge & Iron 36,557 1,671 ChoicePoint* 8,400 409 Cintas 55,394 1,635 CIRCOR International 7,652 409 Clarcor 45,265 1,965 Clean Harbors* 14,384 1,022 Columbus McKinnon* 33,415 953
88 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Comfort Systems USA 79,200 $ 1,061 COMSYS IT Partners* 24,400 245 Continental Airlines, Cl A* 32,200 464 Con-way (A) 38,700 1,889 Copart* 97,200 4,374 Corrections of America* 273,759 7,059 CoStar Group* (A) 113,680 5,333 Courier 25,305 594 Covanta Holding* (A) 54,420 1,522 CRA International* (A) 45,505 1,587 Crane 69,405 3,168 Cubic (A) 14,200 359 Cummins 33,600 2,366 Curtiss-Wright (A) 86,701 4,467 Delta Air Lines* 81,290 500 Deluxe (A) 31,920 719 Dover 15,950 863 DRS Technologies 2,874 226 Dun & Bradstreet 40,566 3,717 Dynamic Materials (A) 103,100 4,472 EMCOR Group* 82,486 2,421 Energy Conversion Devices* (A) 43,700 2,774 EnergySolutions 48,300 1,227 Ennis 16,200 306 EnPro Industries* (A) 55,100 2,210 Equifax 40,914 1,561 ESCO Technologies* 9,400 484 Esterline Technologies* 30,102 1,864 Evergreen Solar* (A) 216,700 2,254 Excel Maritime Carriers, Cl A 11,800 605 Expeditors International Washington (A) 40,500 1,907 ExpressJet Holdings, Cl A* (A) 6,300 13 Federal Signal 30,382 410 First Solar* 8,101 2,167 Flow International* (A) 327,500 3,327 Flowserve 26,206 3,630 Force Protection* (A) 132,500 566 Force Protection PIPE* 156,200 667 Forward Air 47,990 1,778 FreightCar America 9,400 410 Fuel Tech* (A) 89,600 2,279 G&K Services, Cl A 16,614 581 Gardner Denver* 20,800 1,104 GATX 8,200 404 Genco Shipping & Trading (A) 20,000 1,405 GenCorp* 65,425 544 General Cable* (A) 106,131 7,514 Genesee & Wyoming, Cl A* (A) 43,600 1,780 Geo Group* 52,760 1,213 GeoEye* 85,000 1,449 Goodrich 31,453 2,038 GrafTech International* (A) 58,543 1,546 Granite Construction 32,300 1,181 Griffon* (A) 53,800 486
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- H&E Equipment Services* 140,125 $ 1,969 Hardinge 2,100 30 Harsco 22,600 1,431 Heico, Cl A 52,824 2,093 Heidrick & Struggles International 20,566 589 Herman Miller 47,450 1,177 Hertz Global Holdings* 90,400 1,195 Hexcel* (A) 52,400 1,387 HNI 17,590 441 Honeywell International 7,665 457 Horizon Lines, Cl A 233,180 2,931 Hubbell, Cl A 197 10 Hubbell, Cl B 18,978 888 IDEX 16,159 628 II-VI* 751 29 IKON Office Solutions (A) 168,022 2,031 Ingersoll-Rand, Cl A 20,500 903 Innerworkings* (A) 196,991 2,527 Interface, Cl A 26,791 379 JA Solar Holdings ADR* 143,491 3,052 Jacobs Engineering Group* 26,744 2,535 JB Hunt Transport Services (A) 202,436 7,053 Joy Global 6,020 507 Kadant* 18,348 490 Kaman 13,404 347 Kansas City Southern* 61,372 3,066 Kaydon (A) 39,821 2,433 KBR 9,600 333 Kennametal 31,361 1,212 Kirby* 83,821 4,665 Ladish* 12,769 415 Landstar System (A) 43,620 2,431 LB Foster, Cl A* 15,561 533 Lennox International 106,129 3,420 Lincoln Electric Holdings 21,741 1,793 LSI Industries 21,726 231 Manitowoc (A) 87,000 3,384 Manpower 11,924 751 MasTec* (A) 124,797 1,471 Metalico* 3,500 56 Middleby* (A) 44,100 2,518 Moog, Cl A* 28,546 1,294 Mueller Industries 39,900 1,428 Navigant Consulting* 33,504 675 NCI Building Systems* (A) 52,700 1,646 Old Dominion Freight Line* (A) 155,120 4,682 Orbital Sciences* (A) 116,500 3,024 Orion Marine Group* (A) 161,900 2,432 Oshkosh Truck 102,338 4,135 Paccar 17,027 909 Pacer International 4,179 94 Pall 63,484 2,591 Perini* 29,600 1,139 Pinnacle Airlines* (A) 47,000 306 Pitney Bowes 30,653 1,113
SEI Institutional Investments Trust / Annual Report / May 31, 2008 89 SCHEDULE OF INVESTMENTS Small/Mid Cap Equity Fund (Continued) May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Quanta Services* (A) 281,988 $ 9,036 Regal-Beloit 9,730 452 Republic Airways Holdings* 30,100 367 Republic Services, Cl A 70,710 2,328 Resources Connection 137,855 2,896 Ritchie Bros Auctioneers 18,945 522 Robbins & Myers 21,526 872 Rockwell Automation 1,225 72 Rollins 3,937 63 Roper Industries (A) 37,400 2,432 RR Donnelley & Sons 37,996 1,247 RSC Holdings* (A) 183,000 2,156 Rush Enterprises, Cl A* 19,305 312 Ryder System (A) 113,269 8,316 School Specialty* 23,496 738 Seaboard 420 754 Shaw Group* 58,826 3,588 Simpson Manufacturing 5,918 156 Skywest 11,607 179 Spirit Aerosystems Holdings, Cl A* 109,733 3,274 SPX 12,300 1,634 Standard Parking* 91,685 1,966 Standard Register 24,768 294 Steelcase, Cl A (A) 215,267 2,712 Stericycle* 14,873 867 Sunpower, Cl A* (A) 30,338 2,485 TAL International Group 86,900 2,335 Tecumseh Products, Cl A* 26,946 941 Teledyne Technologies* (A) 58,377 3,250 Teleflex 9,106 540 Tetra Tech* (A) 64,114 1,695 Textainer Group Holdings 125,000 2,803 Thomas & Betts* 167 7 Timken 43,275 1,585 Titan Machinery* (A) 41,500 1,008 TransDigm Group* (A) 66,105 2,882 Tredegar 30,327 443 Triumph Group 9,674 602 Twin Disc 7,250 138 Ultrapetrol Bahamas* (A) 27,600 420 United Rentals* 39,000 803 United Stationers* (A) 70,660 2,992 United Technologies 5,654 402 Wabash National 6,198 53 Wabtec 39,261 1,828 Walter Industries 12,202 1,138 Waste Connections* (A) 95,631 3,140 Watson Wyatt Worldwide, Cl A 42,100 2,466 Watts Water Technologies, Cl A 15,010 426 Werner Enterprises 35,245 668 WESCO International* 32,823 1,454 Woodward Governor 97,000 3,906 WW Grainger 31,100 2,839 YRC Worldwide* (A) 40,500 707 ------------- 346,332 -------------
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- INFORMATION TECHNOLOGY -- 16.9% 3Com* 384,800 $ 970 Activision* 110,236 3,720 Acxiom 29,568 434 Adaptec* 904 3 ADC Telecommunications* (A) 103,664 1,632 Adtran (A) 88,300 2,198 Advanced Analogic Technologies* 153,595 1,072 Advanced Energy Industries* 66,190 1,048 Advent Software* 13,665 587 Akamai Technologies* (A) 102,447 4,001 Amdocs* 135,800 4,388 Amkor Technology* (A) 234,200 2,497 Analog Devices 20,736 728 Anaren* 17,800 232 Ansys* 30,102 1,424 Ariba* (A) 270,475 4,014 Arris Group* 304,015 2,846 Arrow Electronics* 74,427 2,282 Art Technology Group* 647,400 2,428 AsiaInfo Holdings* 9,377 129 Asyst Technologies* 431,900 1,533 Atheros Communications* (A) 93,000 3,108 Atmel* 1,535,145 6,862 ATMI* 110,961 3,321 Avnet* 63,800 1,883 Avocent* (A) 91,810 1,811 Baidu.com ADR* 1,730 597 Bankrate* 29,675 1,499 Benchmark Electronics* 155,522 2,764 Black Box 41,776 1,199 Blackboard* (A) 38,739 1,467 Blue Coat Systems* 34,300 622 BMC Software* 104,820 4,203 Brightpoint* 15,147 149 CACI International, Cl A* 23,557 1,201 Cadence Design Systems* (A) 142,024 1,650 Captaris* 468 2 Cavium Networks* (A) 125,200 3,263 Checkpoint Systems* 33,434 868 China Digital TV Holding ADR* (A) 75,500 1,379 Cirrus Logic* 43,373 285 Citrix Systems* 19,242 659 CMGI* 5,000 75 Cognex 17,100 476 Coherent* 33,108 1,002 CommScope* (A) 10,900 598 Commvault Systems* (A) 68,000 1,191 Computer Sciences* 41,546 2,042 Comtech Telecommunications* 2,010 93 Comverge* (A) 36,476 467 Concur Technologies* (A) 165,341 6,063 Convergys* (A) 118,100 1,905 Cray* 62,727 391
90 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Credence Systems* (A) 354,618 $ 383 Cree* 9,064 230 CSG Systems International* 49,169 653 CTS 92,741 1,009 Cymer* 28,415 879 Cypress Semiconductor* 156,980 4,377 Daktronics (A) 55,538 1,121 Data Domain* (A) 168,600 4,046 DealerTrack Holdings* (A) 164,911 3,470 Diebold 63,831 2,519 Digi International* 12,439 112 Digital River* 21,346 855 Diodes* (A) 58,303 1,646 Dolby Laboratories, Cl A* (A) 42,900 2,060 Double-Take Software* 10,107 132 DSP Group* (A) 195,000 1,626 DST Systems* 11,200 710 DTS* (A) 153,042 5,128 Earthlink* 48,900 469 EF Johnson Technologies* (A) 118,500 175 Electronic Arts* 15,775 792 Electronics for Imaging* 41,553 689 Elixir Gaming Technologies* 796,140 1,162 Emulex* 47,325 663 Equinix* (A) 57,989 5,537 Euronet Worldwide* 89,480 1,750 F5 Networks* 114,271 3,434 Factset Research Systems (A) 17,300 1,119 Fair Isaac 25,299 639 Flextronics International* 207,600 2,223 Flir Systems* 28,380 1,119 Foundry Networks* 43,807 596 Gevity HR 75,900 567 Giant Interactive Group ADR* (A) 18,900 278 Global Cash Access Holdings* (A) 48,100 344 Global Payments 8,000 378 Glu Mobile* (A) 173,988 858 Greenfield Online* 41 1 GSI Commerce* (A) 275,588 3,993 Harris 35,000 2,302 Harris Stratex Networks, Cl A* (A) 239,000 2,686 Heartland Payment Systems 47,854 1,235 Hewitt Associates, Cl A* 70,226 2,750 Hittite Microwave* 12,963 518 Hutchinson Technology* 73,200 1,054 Imation (A) 97,200 2,543 Imergent (A) 5,800 67 Immersion* (A) 138,800 1,190 Informatica* 118,600 2,135 Information Services Group* 254,380 1,239 Infospace 12,300 112 infoUSA 16,955 95 Integrated Device Technology* (A) 344,129 3,882 Intermec* 11,153 252 Internap Network Services* (A) 16,000 84
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- International Rectifier* 5,389 $ 125 Internet Brands, Cl A* (A) 285,603 2,025 Intersil, Cl A 143,800 4,008 Intuit* 52,800 1,529 IPG Photonics* 109,230 2,194 Itron* (A) 19,544 1,907 j2 Global Communications* 39,800 1,055 Jack Henry & Associates (A) 38,053 906 JDA Software Group* 164,100 3,348 Juniper Networks* 14,599 402 Jupitermedia* 180,000 335 Keynote Systems* (A) 167,130 2,256 Knot* (A) 195,000 2,264 Kulicke & Soffa Industries* (A) 142,500 1,009 Lam Research* 3,119 127 Lawson Software* (A) 250,743 2,186 Lexmark International, Cl A* 90,181 3,324 Linear Technology 21,500 791 Littelfuse* 24,411 922 Longtop Financial Technologies ADR* 29,000 560 LSI* 67,600 491 Macrovision Solutions* 4,500 61 Marchex, Cl A (A) 140,699 1,860 Marvell Technology Group* 135,000 2,344 MAXIMUS 58,015 2,133 McAfee* 31,423 1,139 MEMC Electronic Materials* 6,900 474 MercadoLibre* 24,937 1,171 Methode Electronics 121,600 1,391 Mettler Toledo International* 37,536 3,892 Micros Systems* 35,098 1,157 Microsemi* (A) 393,550 10,783 MicroStrategy, Cl A* 11,944 951 Microtune* 34,350 144 MIPS Technologies, Cl A* (A) 348,200 1,330 MKS Instruments* 35,500 836 Molex 74,497 2,074 Monolithic Power Systems* 36,286 879 Monotype Imaging Holdings* 65,652 900 Move* 302,725 911 MTS Systems 8,813 333 Multi-Fineline Electronix* (A) 43,600 874 National Semiconductor 35,719 752 NCR* 14,725 390 Net 1 UEPS Technologies* 100,664 2,815 Netlogic Microsystems* 3,500 132 Novatel Wireless* (A) 255,800 2,637 Novellus Systems* (A) 36,000 860 Nuance Communications* (A) 37,881 747 Omniture* (A) 226,640 5,587 ON Semiconductor* 587,515 5,811 OSI Systems* (A) 74,683 1,883 Palm (A) 315,400 1,911 Parametric Technology* 199,857 3,753 Park Electrochemical (A) 77,700 2,296
SEI Institutional Investments Trust / Annual Report / May 31, 2008 91 SCHEDULE OF INVESTMENTS Small/Mid Cap Equity Fund (Continued) May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Parkervision* (A) 174,850 $ 1,952 Pericom Semiconductor* 110,237 2,066 Perot Systems, Cl A* 73,266 1,210 Phoenix Technologies* 84 1 Plantronics 20,077 488 Plexus* 68,557 1,935 PMC - Sierra* (A) 242,300 2,062 Polycom* (A) 384,500 9,581 Power Integrations* 60,430 1,972 Powerwave Technologies* 94,215 380 QLogic* (A) 70,467 1,113 RealNetworks* 28,600 209 Red Hat* (A) 271,700 6,620 RF Micro Devices* (A) 788,500 3,154 Richardson Electronics 24,952 141 Riverbed Technology* (A) 375,747 6,744 Rofin-Sinar Technologies* 4,100 145 Rudolph Technologies* 175,000 1,761 SAIC* 16,600 331 Salary.com* 223,825 1,007 Salesforce.com* (A) 52,447 3,792 SanDisk* 7,557 214 SAVVIS* 144,295 2,407 Scansource* 25,095 752 Seachange International* 149,500 1,175 Secure Computing* 40,951 218 Sierra Wireless* (A) 114,300 1,959 Sigma Designs* (A) 25,015 463 Silicon Laboratories* 12,897 475 SkillSoft ADR* 158,330 1,539 Skyworks Solutions* (A) 261,500 2,701 Sohu.com* (A) 16,500 1,443 Solera Holdings* 232,255 6,335 SRA International, Cl A* 546 13 Standard Microsystems* 5,590 182 STEC* 4,426 56 Stratasys* (A) 67,059 1,460 Sybase* (A) 189,536 6,069 SYKES Enterprises* 130,100 2,694 Symyx Technologies* 20,313 156 Synaptics* 752 32 SYNNEX* 8,078 201 Synopsys* 190,315 5,015 Taleo, Cl A* 103,600 2,050 Tech Data* 45,201 1,654 Technitrol 44,891 896 TechTarget* 86,682 1,052 Tekelec* 3,841 64 Teradata* 14,500 392 Teradyne* 67,700 930 Terremark Worldwide* 345,145 2,174 Tessera Technologies* 75,391 1,588 Trimble Navigation* 120,622 4,807 TriQuint Semiconductor* (A) 417,406 2,780
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- TTM Technologies* (A) 263,900 $ 3,842 Tyler Technologies* 1,885 30 Ultimate Software Group* 85,790 3,245 Ultra Clean Holdings* 1,153 12 United Online 178,400 2,182 Universal Display* (A) 93,200 1,418 Varian Semiconductor Equipment Associates* 18,625 708 Vasco Data Security International* (A) 111,202 1,441 Veeco Instruments* 35,250 678 VeriFone Holdings* 6,629 97 Vignette* 60,070 778 Virtusa* 56,175 567 VistaPrint* (A) 119,664 3,748 Vocus* (A) 39,262 1,247 WebMD Health, Cl A* (A) 39,261 1,179 Western Digital* 170,400 6,394 Wind River Systems* 187,600 2,030 Xyratex* 34,764 694 Zebra Technologies, Cl A* 4,261 160 Zoran* 62,111 909 Zygo* 114,620 1,372 ------------- 401,463 ------------- MATERIALS -- 6.1% A. Schulman 42,400 958 Airgas 43,656 2,583 AK Steel Holding (A) 81,087 5,756 Albemarle (A) 97,800 4,349 Allegheny Technologies (A) 22,900 1,718 AMCOL International (A) 63,000 1,944 Arch Chemicals 14,502 552 Ashland 82,375 4,421 Ball (A) 54,818 2,977 Bemis 50,633 1,347 Buckeye Technologies* 138,552 1,474 Cabot 81,504 2,611 Calgon Carbon* 36,577 648 Carpenter Technology 48,534 2,679 Celanese, Cl A 136,158 6,630 CF Industries Holdings 15,569 2,131 Cleveland-Cliffs (A) 7,600 811 Commercial Metals 32,640 1,195 Crown Holdings* 120,473 3,476 Domtar* 225,223 1,547 Eastman Chemical 44,278 3,392 Ferro 55,875 1,082 FMC 28,439 2,104 Frontera Copper (Canada)* 456,000 1,588 GenTek* 8,951 262 Greif, Cl A 47,357 3,175 Grupo Simec ADR* 174,000 2,627 H.B. Fuller (A) 68,322 1,699 Hecla Mining* (A) 84,824 765 Hercules 47,887 988
92 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Horsehead Holding* 206,600 $ 2,903 Innospec 44,139 1,087 Intrepid Potash* (A) 69,552 3,419 Katanga Mining (Canada)* 176,800 2,400 Koppers Holdings 10,597 458 LSB Industries* 10,147 185 Lubrizol 63,666 3,572 MeadWestvaco 82,317 2,119 Myers Industries 95,952 1,166 Nalco Holding 41,209 1,002 Neenah Paper 44,325 942 NewMarket 52,636 4,120 Olin (A) 71,012 1,598 Olympic Steel 28,701 1,865 Owens-Illinois* 116,079 6,642 Packaging of America 33,107 862 Pactiv* 202,462 4,987 PolyOne* 173,800 1,345 Reliance Steel & Aluminum 81,091 5,512 Rock-Tenn, Cl A 85,300 3,044 Rockwood Holdings* 3,554 131 Rohm & Haas 16,774 905 RPM International 38,400 942 RTI International Metals* 3,000 129 Schnitzer Steel Industries, Cl A (A) 22,612 2,264 Schweitzer-Mauduit International 31,771 648 ShengdaTech* (A) 59,100 488 Sherritt International 95,300 1,459 Silgan Holdings 116,161 6,647 Sonoco Products 70,173 2,429 Spartech 1,827 20 Terra Industries (A) 57,300 2,500 Texas Industries (A) 38,933 2,838 Titanium Metals (A) 45,500 792 United States Steel 6,900 1,192 Universal Stainless & Alloy* 58,500 2,308 Western Goldfields* 847,000 1,981 ------------- 144,390 ------------- TELECOMMUNICATION SERVICES -- 1.9% Alaska Communications Systems Group 146,741 1,899 Atlantic Telegraph-Network 11,100 333 Cbeyond* (A) 153,148 2,841 Centennial Communications* (A) 302,200 2,288 CenturyTel (A) 109,412 3,873 Cincinnati Bell* (A) 337,231 1,420 Citizens Communications 20,735 242 Clearwire, Cl A* (A) 148,600 2,106 Fairpoint Communications (A) 307,900 2,771 Globalstar* (A) 592,100 1,729 IDT, Cl B 6,625 24 Iowa Telecommunications Services 57,854 1,112 iPCS* 1,435 43 NeuStar, Cl A* 105,040 2,457
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- NII Holdings* (A) 70,900 $ 3,559 Premiere Global Services* 64,700 980 SBA Communications, Cl A* (A) 298,264 11,101 Syniverse Holdings* 44,200 953 Telephone & Data Systems 6,954 331 Time Warner Telecom, Cl A* (A) 201,010 3,759 USA Mobility 19,725 155 ------------- 43,976 ------------- UTILITIES -- 4.1% AGL Resources 143,438 5,121 Allete (A) 22,900 1,017 Alliant Energy 64,976 2,439 Atmos Energy 43,920 1,203 Avista 22,400 476 Black Hills 10,417 367 Centerpoint Energy (A) 66,000 1,118 Cia de Saneamento de Minas Gerais-COPASA (Brazil) 146,700 2,694 Cleco 95,626 2,389 CMS Energy 8,900 139 Consolidated Edison 19,422 802 DPL 46,275 1,315 El Paso Electric* 44,800 968 Empire District Electric 45,520 941 Energen 88,621 6,641 Equitable Resources 83,726 5,880 Great Plains Energy 30,650 804 Idacorp (A) 46,302 1,420 Integrys Energy Group 52,248 2,683 ITC Holdings (A) 85,635 4,673 Laclede Group 8,467 339 MDU Resources Group 88,175 2,912 New Jersey Resources 66,451 2,213 Nicor (A) 50,100 2,046 NiSource 49,795 901 Northwest Natural Gas 41,852 1,908 NorthWestern 65,625 1,740 OGE Energy 59,712 2,003 Oneok 56,418 2,824 Ormat Technologies (A) 16,400 822 Pepco Holdings 8,400 227 Pinnacle West Capital 79,519 2,686 PNM Resources 10,236 152 PNOC Energy Development (Philippines) 10,297,500 1,318 Portland General Electric 106,686 2,498 Puget Energy 58,600 1,640 Questar 8,200 527 Reliant Energy* 48,759 1,246 SCANA 136,057 5,461 Sierra Pacific Resources 89,796 1,219 Southern Union 29,654 789 Southwest Gas 72,568 2,263 UGI 91,425 2,467
SEI Institutional Investments Trust / Annual Report / May 31, 2008 93 SCHEDULE OF INVESTMENTS Small/Mid Cap Equity Fund (Concluded) May 31, 2008
Shares/ Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Unisource Energy 3,021 $ 102 Vectren 158,108 4,664 Westar Energy (A) 53,333 1,280 WGL Holdings (A) 52,074 1,817 Wisconsin Energy (A) 125,000 6,005 Xcel Energy 41,840 892 ------------- 98,051 ------------- Total Common Stock (Cost $2,189,822) ($ Thousands) 2,275,011 ------------- CONVERTIBLE BONDS -- 0.1% ENERGY -- 0.1% Nova Biosource Fuels 10.000%, 09/30/12 (B) $ 1,826 1,434 Scorpio Mining CV to 1.55 7.000%, 05/05/11 (C) (D) 509 512 ------------- Total Convertible Bonds (Cost $2,313) ($ Thousands) 1,946 ------------- PREFERRED STOCK -- 0.0% FINANCIALS -- 0.0% East West Bancorp* 757 783 ------------- Total Preferred Stock (Cost $757) ($ Thousands) 783 ------------- EXCHANGE TRADED FUND -- 0.0% iShares Russell 2000 Index Fund 9,186 685 ------------- Total Exchange Traded Fund (Cost $701) ($ Thousands) 685 -------------
Number of Warrants ------------- WARRANTS -- 0.0% Oilsands Quest, Expires 12/05/09* 20,000 25 Rentech, Expires 04/25/12* (C) (D) 13,800 14 Titanium Asset Management, Expires 06/21/11* 105,000 142 Triplecrown Acquisition, Expires 10/22/12* 178,525 114 ------------- Total Warrants (Cost $189) ($ Thousands) 295 ------------- U.S. TREASURY OBLIGATION (E) (F) -- 0.2% U.S. Treasury Bills 1.823%, 08/21/08 4,714 4,695 ------------- Total U.S. Treasury Obligation (Cost $4,694) ($ Thousands) 4,695 -------------
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- AFFILIATED PARTNERSHIP -- 27.3% SEI Liquidity Fund, L.P., 2.810%**+ (G) 647,313,064 $ 647,313 ------------- Total Affiliated Partnership (Cost $ 647,313) ($ Thousands) 647,313 ------------- CASH EQUIVALENT -- 3.7% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 2.460%**+ 86,641,118 86,641 ------------- Total Cash Equivalent (Cost $ 86,641) ($ Thousands) 86,641 ------------- Total Investments -- 127.2% (Cost $2,932,430) ($ Thousands) $ 3,017,369 =============
A summary of the open futures contracts held by the Fund at May 31, 2008, is as follows:
NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION APPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) ------------------------ ------------ ---------- ------------- Russell E-Mini 287 Jun-2008 $ 2,451 S&P Mid 400 E-Mini 232 Jun-2008 2,702 ------------- $ 5,153 =============
Percentages are based on a Net Assets of $2,373,056 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of May 31, 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 May 31, 2008. The total value of securities on loan at May 31, 2008 was $622,117 ($ 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, unless otherwise indicated, under guidelines established by the Board of Trustees. (C) Securities considered illiquid and restricted. The total value of such securities as of May 31, 2008 was $2,612 ($ Thousands) and represented 0.11% of Net Assets. (D) Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total value of such securities as of May 31, 2008 was $2,612 ($ Thousands) and represented 0.11% of Net Assets. (E) Zero coupon security. The rate reported is the effective yield at time of purchase. (F) Security, or portion thereof, has been pledged as collateral on open future contracts. (G) This security was purchased with cash collateral held from securities on loan. The total value of such securities as of May 31, 2008 was $647,313 ($ Thousands). ADR -- American Depositary Receipt Cl -- Class CV -- Convertible Security L.P. -- Limited Partnership LLC -- Limited Liability Company PIPE -- Private Investment in Public Entity Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. 94 SEI Institutional Investments Trust / Annual Report / May 31, 2008 International Equity Fund May 31, 2008 SECTOR WEIGHTINGS (UNAUDITED)++: (BAR CHART) Financials 17.3% Materials 13.8% Energy 10.9% Industrials 9.1% Mortgage-Backed Securities 8.4% Affiliated Partnership 8.1% Consumer Discretionary 6.2% Telecommunication Services 5.4% Consumer Staples 5.3% Utilities 4.8% Information Technology 4.8% Health Care 3.3% Short-Term Investment 0.9% Asset-Backed Securities 0.7% U.S. Treasury Obligations 0.6% U.S. Government Agency Obligations 0.4% Rights 0.0% Purchased Options 0.0% Exchanged Traded Fund 0.0%
++ Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 9).
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- COMMON STOCK -- 88.1% AUSTRALIA -- 4.2% AGL Energy 222,698 $ 3,060 Amcor 95,281 553 Ansell 6,090 64 Australia & New Zealand Banking Group 35,300 730 Australian Infrastructure Fund 234,400 577 Babcock & Brown (A) 18,981 225 Bendigo Bank 6,690 90 BHP Billiton 243,183 10,086 BlueScope Steel 52,000 563 Brambles 69,501 543 Centennial Coal 1,500 7 Challenger Financial Services Group (A) 133,788 253 Coca-Cola Amatil 43,900 339 Commonwealth Bank of Australia 21,300 859 Computershare 22,593 206 CSL 16,526 627 Dominion Mining 500 2 Downer EDI 80,813 556 Equigold NL 1,300 5 Flight Centre (A) 81,100 1,469 Fortescue Metals Group* 76,862 780 Foster's Group 98,138 514 Goodman Fielder 261,590 436 Incitec Pivot (A) 9,691 1,607 ING Industrial Fund++ (A) 242,097 461 Leighton Holdings (A) 50,510 2,567 MacArthur Coal 21,033 394 Macquarie Airports (A) 770,680 2,131
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Macquarie Group (A) 12,756 $ 663 Macquarie Infrastructure Group 1,139,095 3,258 Mirvac Group++ (A) 77,076 242 Mount Gibson Iron* 80,600 251 National Australia Bank (A) 81,867 2,444 New Hope 6,200 30 Newcrest Mining 158,060 4,798 Nufarm 14,300 230 OneSteel 56,080 386 Orica 20,200 584 Origin Energy 52,600 782 Pacific Brands 200,203 405 Portman* 5,318 89 Qantas Airways (A) 213,576 707 QBE Insurance Group 19,735 460 Rio Tinto (A) 20,250 2,664 Santos 73,400 1,476 Seven Network 21,300 183 TABCORP Holdings 24,829 266 Tatts Group 38,084 95 Telstra 1,067,423 4,834 Wesfarmers 12,234 446 Westfield Group++ 30,600 497 Westpac Banking 73,338 1,626 Woodside Petroleum 17,100 1,060 Woolworths 109,909 2,905 WorleyParsons 17,213 612 ------------- 61,697 ------------- AUSTRIA -- 0.8% IMMOFINANZ 11,337 133 OMV (A) 31,944 2,627 Raiffeisen International Bank Holding (A) 8,597 1,287 Telekom Austria 20,000 476 Verbund - Oesterreichische Elektrizitaetswirtschafts, Cl A 1,009 85 Voestalpine 83,535 6,955 Wienerberger 5,900 313 ------------- 11,876 ------------- BELGIUM -- 1.1% Belgacom 8,668 408 Cofinimmo++ 5,900 1,102 Delhaize Group (A) 8,460 636 Dexia (A) 44,479 1,047 Fortis 130,731 3,197 Fortis (Netherlands Line) 38,182 931 Gimv 9,200 653 InBev 10,647 821 KBC Ancora 1,064 106 KBC Groep 9,216 1,136
SEI Institutional Investments Trust / Annual Report / May 31, 2008 95 SCHEDULE OF INVESTMENTS International Equity Fund (Continued) May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Mobistar 35,300 $ 2,899 Solvay (A) 15,665 2,244 Umicore 14,028 766 ------------- 15,946 ------------- BERMUDA -- 0.0% Seadrill (NOK) 17,532 572 ------------- BRAZIL -- 0.3% Banco do Brasil 134,000 2,677 Bovespa Holding 20,000 328 Cia Vale do Rio Doce ADR 20,200 665 Uniao de Bancos Brasileiros GDR 7,200 1,129 ------------- 4,799 ------------- CANADA -- 3.6% Barrick Gold 42,800 1,725 Cameco 9,931 405 Canadian Imperial Bank of Commerce 14,900 1,047 Canadian Natural Resources 42,800 4,188 Eastern Platinum* 494,050 1,387 EnCana 108,100 9,754 Gerdau Ameristeel 86,800 1,558 Gildan Activewear* 12,500 369 Goldcorp 79,830 3,205 HudBay Minerals* 22,400 394 Inmet Mining 10,600 722 National Bank of Canada 9,300 508 Nexen 1 -- Onex 12,500 424 Petro-Canada 29,100 1,679 Potash Corp of Saskatchewan 10,870 2,164 Potash Saskatchewan 29,600 5,878 Research In Motion* 42,790 5,939 Rogers Communications, Cl B 73,640 3,238 Royal Bank of Canada 27,400 1,401 Shaw Communications, Cl B 19,900 412 Shoppers Drug Mart 12,700 713 Suncor Energy 21,600 1,474 Teck Cominco, Cl B 32,500 1,608 TELUS, Cl A 146 7 Toronto-Dominion Bank 20,600 1,490 ------------- 51,689 ------------- CHINA -- 0.7% Alibaba.com* (A) 47,000 87 Bank of Communications, Cl H 1,577,000 2,065 China COSCO Holdings, Cl H 759,000 2,208 China Life Insurance, Cl H 630,650 2,534 China Petroleum & Chemical, Cl H 1,106,000 1,114 China Shenhua Energy 122,500 546
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Industrial & Commercial Bank of China, Cl H 570,000 $ 426 New World Department Store China* 1,004,200 1,022 Parkson Retail Group 5,500 47 Tencent Holdings 24,600 207 ------------- 10,256 ------------- CZECH REPUBLIC -- 0.2% CEZ 38,600 3,184 ------------- DENMARK -- 0.9% A P Moeller - Maersk, Cl A 97 1,208 A P Moeller - Maersk, Cl B 84 1,047 Carlsberg, Cl B 10,149 1,064 D/S Nordern 3,809 475 Danisco (A) 1,188 92 Danske Bank 26,335 903 East Asiatic 4,610 343 FLSmidth 4,750 569 Novo-Nordisk, Cl B 29,950 1,947 Sydbank (A) 2,327 100 Vestas Wind Systems* 41,423 5,695 ------------- 13,443 ------------- FINLAND -- 1.0% Konecranes 12,482 571 Metso 14,035 702 Nokia (A) 207,059 5,962 Nokian Renkaat 3,793 195 Outokumpu 64,619 2,886 Pohjola Bank, Cl A 12,194 251 Rautaruukki 9,200 489 Sponda 70,500 732 Stora Enso, Cl R 135,800 1,648 UPM-Kymmene 74,786 1,453 Wartsila, Cl B 2,998 212 ------------- 15,101 ------------- FRANCE -- 8.6% Accor 5,386 411 Air France-KLM 15,900 425 Air Liquide (A) 5,204 764 Alstom 3,527 888 Arkema (A) 19,921 1,271 Atos Origin* 1,773 105 AXA (A) 77,602 2,738 Beneteau 901 23 BNP Paribas (A) 115,381 11,894 Bouygues (A) 53,486 4,363 Capital Gemini 22,486 1,523 Carrefour 41,100 2,879
96 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Casino Guichard Perrachon 5,525 $ 699 Christian Dior 3,400 411 Cie de Saint-Gobain (A) 13,693 1,103 Cie Generale de Geophysique- Veritas* 13,378 3,592 Ciments Francais 2,230 430 CNP Assurances 3,529 434 Compagnie Generale des Etablissements Michelin, Cl B (A) 42,700 3,815 Credit Agricole (A) 123,543 3,266 Dassault Systemes (A) 7,255 485 Electricite de France (A) 8,000 865 Eramet 282 283 France Telecom (A) 276,521 8,382 Gaz de France (A) 8,960 610 Groupe Danone 40,448 3,537 Lafarge (A) 12,693 2,293 Lagardere S.C.A. 31,947 2,304 L'Oreal 22,329 2,714 Natixis 1,774 27 Nexans 2,400 327 PagesJaunes Groupe (A) 14,600 263 Pernod-Ricard 11,500 1,305 Peugeot (A) 54,169 3,367 PPR 1,182 154 Publicis Groupe 6,705 266 Renault 59,025 6,054 Rhodia 12,600 289 Sanofi-Aventis 98,985 7,370 Schneider Electric 8,478 1,064 SCOR 16,111 407 SES Global (Paris Exchange) 36,186 955 Societe Generale* (A) 56,357 5,837 Suez 54,571 4,062 Technip 29,810 2,792 Thales (A) 10,297 642 Total (A) 220,349 19,207 Valeo (A) 7,000 279 Vallourec (A) 9,160 2,835 Veolia Environnement (A) 39,832 2,836 Vilmorin & Cie 18 4 Vivendi 42,737 1,794 Wendel 3,810 542 ------------- 125,185 ------------- GERMANY -- 8.9% Allianz (A) 62,890 11,894 Altana (A) 5,600 106 Arcandor* 4,383 79 BASF 106,622 15,969 Bayer 106,267 9,413 Bayerische Motoren Werke 6,332 375 Bilfinger Berger (A) 1,143 106
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Commerzbank 42,108 $ 1,484 DaimlerChrysler 95,067 7,227 Deutsche Bank (A) 56,504 6,035 Deutsche Beteiligungs (A) 25,000 698 Deutsche Boerse (A) 10,333 1,481 Deutsche Lufthansa 247,615 6,415 Deutsche Post 34,394 1,093 Deutsche Telekom 80,945 1,354 E.ON 87,353 18,565 Fresenius Medical Care 79,050 4,400 Gildemeister 9,200 318 HeidelbergCement (A) 1,704 292 Henkel 30,982 1,399 Hypo Real Estate Holding (A) 33,842 1,118 Infineon Technologies* 121,400 1,092 K+S 7,933 3,715 KSB 129 94 MAN 7,057 1,099 Metro 5,700 419 Muenchener Rueckversicherungs 42,957 8,045 Q-Cells* 13,900 1,689 Rheinmetall 1,198 95 RWE 56,450 7,289 Salzgitter 12,079 2,371 SAP (A) 10,041 554 SGL Carbon* 44,000 3,268 Siemens 6,737 763 Suedzucker (A) 27,314 620 ThyssenKrupp 69,550 4,694 Volkswagen 12,000 3,302 Wincor Nixdorf 3,472 275 ------------- 129,205 ------------- GREECE -- 0.2% Alpha Bank 2,684 92 Bank of Greece 107 15 Coca Cola Hellenic Bottling 31,061 1,410 OPAP 20,732 812 Public Power 8,400 320 Viohalco 6,000 56 ------------- 2,705 ------------- HONG KONG -- 2.9% Bank of East Asia 139,700 850 BOC Hong Kong Holdings 281,000 718 Cheung Kong Holdings 69,000 1,060 China Mobile 380,100 5,587 China Netcom Group Hong Kong 328,000 1,137 China Overseas Land & Investment 92,000 167 CLP Holdings 88,000 795 Dairy Farm International Holdings 1,700 9 Esprit Holdings 80,500 941
SEI Institutional Investments Trust / Annual Report / May 31, 2008 97 SCHEDULE OF INVESTMENTS International Equity Fund (Continued) May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Great Eagle Holdings (A) 371,500 $ 1,166 Guoco Group 65,000 733 Hang Lung Group 17,000 88 Hang Lung Properties 83,000 316 Hang Seng Bank 40,700 825 Hong Kong & China Gas 145,860 359 Hongkong & Shanghai Hotels 310,000 539 HongKong Electric Holdings 127,500 770 Hongkong Land Holdings (A) 1,465,000 6,958 Hopewell Highway Infrastructure 44,500 37 Hopewell Holdings 90,000 381 Hutchison Whampoa 35,000 378 Hysan Development 29,000 83 Jardine Matheson Holdings 16,200 527 Jardine Strategic Holdings 18,000 324 Johnson Electric Holdings 30,500 15 K Wah International Holdings 509,900 242 Kowloon Development 93,000 212 Lenovo Group 2,577,000 1,892 New World Development (A) 126,000 316 NWS Holdings 9,000 29 Orient Overseas International 439,200 2,960 Pacific Basin Shipping (A) 187,000 324 Pacific Century Premium Developments 262,000 94 SEA Holdings 4,000 3 Shun Tak Holdings 501,000 586 Singamas Container Holdings (A) 752,200 241 Sinolink Worldwide Holdings 618,000 112 Sun Hung Kai 577,100 515 Sun Hung Kai Properties 182,900 2,939 Swire Pacific, Cl A 241,900 2,760 Tian An China Investment 658,900 490 Transport International Holdings 18,000 84 USI Holdings 20,000 11 Wharf Holdings 510,500 2,551 Wheelock 256,400 807 Wing Hang Bank 6,500 99 Wing On International 7,000 14 Yue Yuen Industrial Holdings 48,000 138 ------------- 42,182 ------------- INDIA -- 0.2% Reliance Industries GDR (B) 24,000 2,736 ------------- INDONESIA -- 0.2% Bumi Resources 3,218,000 2,781 ------------- IRELAND -- 0.4% Allied Irish Banks 24,100 483 Anglo Irish Bank 42,044 549 CRH 75,161 2,768
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Dragon Oil* 41,711 $ 430 Irish Life & Permanent 43,605 762 Total Produce 24,239 24 ------------- 5,016 ------------- ISRAEL -- 0.3% Teva Pharmaceutical Industries ADR 106,600 4,875 ------------- ITALY -- 2.1% A2A (A) 189,745 770 Banca Intesa 52,159 342 Banca Intesa RNC 23,805 143 Banco Popolare Scarl 7,262 145 Danieli 16,800 696 Enel 342,965 3,850 ENI 386,009 15,706 Fiat (A) 126,988 2,826 Fondiaria-Sai (A) 18,900 715 IFIL - Investments (A) 47,045 393 Iride 9,076 31 Italcementi (A) 18,317 338 Milano Assicurazioni 1,542 10 Pirelli 26,469 22 Prysmian 10,115 267 Saipem 21,700 995 Telecom Italia (A) 1,131,621 2,245 UniCredito Italiano 236,565 1,651 Unipol Gruppo Finanziario 7,625 20 ------------- 31,165 ------------- JAPAN -- 16.2% 77 Bank 7,000 44 Acom 6,680 210 Aeon 163,000 2,339 Aichi 2,200 17 Aichi Bank 100 9 Aichi Steel 11,000 56 Aioi Insurance 52,000 324 Aisin Seiki 50,000 1,747 Ajinomoto 30,000 291 Akita Bank 1,000 5 Alps Electric 12,900 141 Amada 72,600 664 AOC Holdings 1,700 21 AOKI Holdings 2,500 42 Aoyama Trading 24,800 496 Aozora Bank 15,000 40 Asahi Breweries 32,000 560 Asahi Glass 14,000 184 Asahi Kasei 92,000 546 Astellas Pharma 20,500 865 Atsugi 365,600 496
98 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Autobacs Seven 48,900 $ 1,431 Bank of Ikeda 600 18 Bank of Okinawa 300 11 Belluna 2,850 23 Bridgestone 46,000 784 Canon 38,700 2,086 Cawachi 1,700 50 Central Japan Railway 222 2,166 Chiba Kogyo Bank* 2,800 41 Chiyoda 31,000 329 Chudenko 3,100 54 Circle K Sunkus 8,800 143 Citizen Holdings (A) 64,000 541 CKD 3,600 26 CMK (A) 129,400 999 Coca-Cola Central Japan 3 24 Coca-Cola West Holdings (A) 10,600 254 COMSYS Holdings 157,700 1,335 Corona 1,600 23 Cosmo Oil 328,800 1,302 Dai Nippon Printing 15,000 229 Daiei* 1,700 13 Daiichikosho 3,800 40 Daimei Telecom Engineering 45,700 465 Dainippon Ink and Chemicals (A) 146,000 473 Dainippon Screen Manufacturing 16,000 75 Dainippon Sumitomo Pharma 206,600 1,751 Daishi Bank 1,000 4 Daiwa House Industry 69,000 845 DaVinci Advisors* 321 237 Denki Kagaku Kogyo 34,000 139 Denso 7,200 263 East Japan Railway 118 910 EDION 1,000 9 Eighteenth Bank 11,000 42 Eizo Nanao 1,300 32 Elpida Memory* (A) 41,000 1,511 Fancl 400 5 Fanuc 14,600 1,584 Fast Retailing 11,800 1,019 Fuji Electric Holdings 56,000 247 Fuji Fire & Marine Insurance 29,000 91 Fuji Heavy Industries 53,000 248 Fuji Machine Manufacturing 5,400 113 FUJIFILM Holdings 47,100 1,732 Fujikura 26,000 116 Fujitsu 521,000 4,215 Fukuoka Financial Group 69,000 342 Fukuyama Transporting (A) 81,700 303 Furuno Electric 1,700 19 Futaba 2,800 49 Hachijuni Bank 21,000 145
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Hankyu Holdings 78,000 $ 338 Heiwa 9,900 108 Heiwado 800 13 Higashi-Nippon Bank 8,000 34 Higo Bank 4,000 27 Hino Motors 4,000 27 Hitachi 497,100 3,570 Hitachi Cable 29,000 113 Hitachi Capital 3,100 52 Hitachi Chemical 11,900 266 Hitachi Construction Machinery 1,200 41 Hitachi Koki 5,100 86 Hitachi Maxell 6,400 83 Hitachi Metals 12,000 176 Hokkaido Electric Power 16,000 327 Hokuetsu Bank 14,000 34 Honda Motor 104,300 3,488 Hoya 36,800 1,021 Hyakugo Bank 18,000 119 Hyakujushi Bank 16,000 100 Idemitsu Kosan 1,200 128 Inpex Holdings 172 2,167 Isetan Mitsukoshi Holdings 4,500 53 Itochu 325,100 3,757 Japan Airlines 63,000 141 Japan Aviation Electronics Industry 1,000 9 Japan Petroleum Exploration 3,800 272 Japan Steel Works 292,890 6,076 Japan Tobacco 55 267 JFE Holdings 68,600 3,873 JGC 40,000 880 Joshin Denki (A) 32,500 271 JS Group 16,600 283 Kagawa Bank 5,000 31 Kagoshima Bank 5,000 43 Kamigumi 9,000 71 Kaneka 33,000 240 Kansai Electric Power 31,000 683 Kao 9,000 234 Kasumi 4,000 26 Kawasaki Heavy Industries 29,000 90 Kawasaki Kisen Kaisha 87,000 960 KDDI 59 409 Keisei Electric Railway 24,000 124 Keyence 5,300 1,264 Kirin Holdings 86,000 1,421 Kobe Steel 192,000 631 Komatsu 9,200 291 Komori 19,400 379 Konami 4,800 175 Kose 3,600 83 Kubota 37,000 300
SEI Institutional Investments Trust / Annual Report / May 31, 2008 99 SCHEDULE OF INVESTMENTS International Equity Fund (Continued) May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Kuraray 22,000 $ 277 Kyoei Steel 1,800 39 Kyorin 2,000 25 Kyowa Hakko Kogyo 10,000 97 Kyushu Electric Power 44,100 936 Leopalace21 12,500 200 Mabuchi Motor 2,500 134 Maeda 9,000 35 Maeda Road Construction 6,000 43 Makita 10,500 442 Mandom 1,300 34 Marubeni 82,000 730 Matsushita Electric Industrial 155,200 3,528 Mazda Motor 96,000 500 Mie Bank 3,000 17 Mikuni Coca-Cola Bottling 2,700 29 Millea Holdings 67,000 2,761 Minato Bank 1,000 2 Mitsubishi 282,400 9,738 Mitsubishi Chemical Holdings 222,500 1,577 Mitsubishi Electric 85,000 960 Mitsubishi Gas Chemical 124,000 929 Mitsubishi Heavy Industries 206,000 1,038 Mitsubishi Materials 161,600 773 Mitsubishi Paper Mills 127,100 319 Mitsubishi Rayon 40,000 144 Mitsubishi UFJ Financial Group 395,620 4,039 Mitsui 217,500 5,327 Mitsui Chemicals 595,200 3,411 Mitsui Mining & Smelting 47,000 158 Mitsui OSK Lines 287,000 4,326 Mitsui Trust Holdings 106,000 753 Mitsumi Electric 7,100 206 Mizuho Financial Group 164 861 Murata Manufacturing 17,180 902 N E Chemcat 1,000 18 Nafco 700 11 Nagase 5,000 60 Namco Bandai Holdings 71,200 926 NEC 131,000 695 NEC Fielding 200 2 NGK Spark Plug 14,000 174 Nichicon 35,500 305 Nichirei 13,000 60 Nikon (A) 27,400 872 Nintendo 20,495 11,260 Nippo 80,300 440 Nippon Beet Sugar Manufacturing 150,100 354 Nippon Electric Glass 29,700 577 Nippon Konpo Unyu Soko 60,700 780 Nippon Light Metal 34,000 59 Nippon Meat Packers 5,000 66
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Nippon Metal Industry 8,000 $ 27 Nippon Mining Holdings 359,400 2,248 Nippon Oil 65,000 469 Nippon Sharyo 39,800 104 Nippon Sheet Glass 78,000 351 Nippon Shokubai 31,000 246 Nippon Soda 9,000 31 Nippon Steel 507,100 3,166 Nippon Telegraph & Telephone 1,560 7,566 Nippon Thompson 4,000 29 Nippon Yusen 176,000 1,787 Nishimatsu Construction 18,000 50 Nishi-Nippon City Bank 53,000 175 Nissan Motor 621,160 5,514 Nissan Shatai 1,000 7 Nisshin Oillio Group 3,000 14 Nisshin Steel 86,000 332 Nisshinbo Industries 8,000 103 Nitto Kogyo 2,600 26 NOK 2,500 44 Nomura Holdings 135,100 2,292 NSK 5,000 49 NTT Data 53 220 NTT DoCoMo 450 716 Oiles 1,500 32 Oki Electric Industry, Cl B (A) 467,000 818 Okinawa Cellular Telephone 8 14 Okinawa Electric Power 100 5 Omron 30,000 648 Onward Holdings 6,000 69 ORIX 34,350 6,481 Osaka Gas 120,000 436 Pacific Metals 11,000 95 Pioneer 4,500 39 Plenus 2,200 33 Promise 6,800 217 QP 2,000 19 Rasa Industries 162,000 327 Resona Holdings 246 429 Ricoh 41,000 754 Riso Kagaku 1,600 23 Rohm 1,200 79 Roland 1,300 27 Sakai Chemical Industry 3,000 12 San-In Godo Bank 10,000 93 Sankyo 4,100 262 Sanwa Shutter (A) 57,000 227 Sapporo Hokuyo Holdings 38 296 Sazaby League 1,100 21 Seiko Epson (A) 15,200 371 Seiko Holdings 85,000 458 Seino Holdings 18,000 107
100 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Sekisui House (A) 47,000 $ 496 Senshukai 3,000 22 Sharp 160,000 2,789 Shimamura 7,800 621 Shin-Etsu Polymer 900 5 Shionogi 7,000 141 Showa 5,300 42 Showa Denko 76,000 232 Showa Shell Sekiyu (A) 56,100 613 Sintokogio 1,700 17 Sky Perfect Jsat 87 41 SMC 13,700 1,720 Softbank 230,500 4,063 Sojitz 111,900 426 Sompo Japan Insurance 43,000 464 SRI Sports 1 2 Sumitomo 138,400 2,041 Sumitomo Chemical 241,600 1,762 Sumitomo Electric Industries 31,480 406 Sumitomo Metal Mining 49,000 821 Sumitomo Mitsui Financial Group 1,059 9,098 Sumitomo Realty & Development 26,000 665 Sumitomo Rubber Industries 16,800 138 Sumitomo Trust & Banking 46,000 392 Suzuken 7,700 294 Suzuki Motor 48,300 1,336 T&D Holdings 12,300 818 Taisho Pharmaceutical 40,000 748 Takeda Pharmaceutical 5,300 307 Takefuji (A) 21,060 399 Takeuchi Manufacturing 900 24 Tamron 1,200 26 Tanabe Seiyaku 21,000 273 Teijin 64,000 241 Terumo 2,700 134 Toagosei 313,800 1,195 Tochigi Bank 1,000 7 Tohoku Electric Power 14,200 304 Tokai Rika 24,000 570 Tokuyama 19,000 144 Tokyo Electric Power 103,400 2,516 Tokyo Electron 18,100 1,236 Tokyo Gas 84,100 319 Tokyo Ohka Kogyo 2,700 52 Tokyo Style 5,000 49 Tokyu Land 10,000 72 Toppan Printing 105,000 1,208 Topre 2,700 25 Topy Industries 57,800 180 Toshiba 628,400 5,530 Toshiba TEC 15,000 106 Tosoh 55,000 252 Toyo Seikan Kaisha 22,900 450 Toyoda Gosei 24,000 773
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Toyota Boshoku 4,000 $ 108 Toyota Industries 18,900 668 Toyota Motor 145,000 7,377 Toyota Tsusho 6,000 146 Trend Micro 40,500 1,416 Trusco Nakayama 1,100 17 TV Asahi (A) 66 102 Unicharm 7,000 494 Uniden 3,000 17 Unipres 2,200 21 UNY 43,000 451 West Japan Railway 99 463 Yamada Denki 10,750 834 Yamaguchi Financial Group 13,000 189 Yamaha Motor 22,700 461 Yamato Holdings 90,400 1,258 Yamato Kogyo 6,500 325 Yamazaki Baking 5,000 53 Yodogawa Steel Works 10,000 55 Yokogawa Bridge Holdings (A) 34,400 200 Yokogawa Electric 5,200 49 Yurtec 1,000 6 Yutaka Giken 100 2 Zeon 16,000 75 ------------- 234,957 ------------- JERSEY -- 0.0% Meinl European Land* 2,790 37 ------------- MEXICO -- 0.2% America Movil ADR, Ser L 28,200 1,685 Telefonos de Mexico ADR (A) 32,400 1,336 Wal-Mart de Mexico 84,100 366 ------------- 3,387 ------------- NETHERLANDS -- 5.1% Aegon 60,491 923 Akzo Nobel 84,649 7,157 Boskalis Westminster 5,724 346 Corporate Express (A) 83,000 1,093 CSM 811 31 European Aeronautic Defense and Space (A) 35,072 819 Heineken 26,630 1,563 ING Groep 312,557 11,920 Koninklijke Ahold 169,744 2,536 Koninklijke BAM Groep 8,614 201 Koninklijke DSM 38,741 2,373 Koninklijke Philips Electronics 9,580 367 Nutreco Holding 3,180 231 Royal Dutch Shell, Cl A 347,577 14,824 Royal Dutch Shell, Cl A (GBP) 146,096 6,207
SEI Institutional Investments Trust / Annual Report / May 31, 2008 101 SCHEDULE OF INVESTMENTS International Equity Fund (Continued) May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Royal Dutch Shell, Cl B 280,870 $ 11,684 Royal KPN 90,723 1,650 TNT 246 10 Unilever 251,890 8,222 Vastned Retail++ 16,800 1,530 ------------- 73,687 ------------- NEW ZEALAND -- 0.0% Air New Zealand (A) 134,400 122 Fletcher Building 36,600 230 Vector 9,300 14 ------------- 366 ------------- NORWAY -- 1.2% Aker Kvaerner 15,133 427 DnB (A) 201,422 2,898 Norsk Hydro (A) 125,200 1,988 Petroleum Geo-Services (A) 34,850 1,026 Statoil (A) 171,200 6,643 Telenor 66,400 1,441 Yara International (A) 40,207 3,050 ------------- 17,473 ------------- PAPUA NEW GUINEA -- 0.0% Oil Search 15,800 92 ------------- POLAND -- 0.0% Polski Koncern Naftowy Orlen 27,400 506 ------------- PORTUGAL -- 0.2% Banco Espirito Santo 7,672 138 Energias de Portugal 263,167 1,656 Portugal Telecom 51,667 631 Sonae 92,500 151 Sonae Industria 11,246 66 ------------- 2,642 ------------- RUSSIA -- 0.7% LUKOIL ADR 7,300 808 OAO Gazprom ADR 132,730 8,017 Rosneft Oil GDR* 28,774 350 Uralkali GDR 6,500 393 ------------- 9,568 ------------- SINGAPORE -- 0.6% ComfortDelgro 5,000 6 DBS Group Holdings 55,000 786 Flextronics International* 600 6 Hong Leong Finance 122,100 335 Hotel Grand Central 8,350 6 Jardine Cycle & Carriage 71,144 855 Keppel* 75,000 667
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Kim Eng Holdings (A) 222,879 $ 330 Neptune Orient Lines (A) 105,000 313 Oversea-Chinese Banking 79,000 502 SembCorp Industries 26,000 91 Singapore Airlines 5,600 65 Singapore Land 7,000 32 Singapore Petroleum 95,000 481 Singapore Technologies Engineering 160,000 373 Singapore Telecommunications 178,000 497 SP Chemicals 96,000 39 United Industrial 6,000 13 United Overseas Bank 44,000 651 UOB-Kay Hian Holdings 59,000 84 UOL Group 26,000 74 Venture 6,000 45 Wheelock Properties (A) 322,200 515 Wilmar International (A) 332,000 1,353 Yanlord Land Group 87,000 138 ------------- 8,257 ------------- SOUTH AFRICA -- 1.4% ArcelorMittal 154,294 15,280 Sanlam 379,530 959 Sasol 63,896 3,957 ------------- 20,196 ------------- SOUTH KOREA -- 0.6% Daelim Industrial 2,135 256 Honam Petrochemical 6,500 557 Hynix Semiconductor* 14,500 436 Hyundai Mobis 8,020 715 Industrial Bank of Korea 26,750 482 Kookmin Bank 9,600 595 LG Electronics 16,600 2,305 Samsung Electronics GDR (B) 2,972 1,055 Samsung Electronics 2,452 1,764 ------------- 8,165 ------------- SPAIN -- 3.2% ACS Actividades Construcciones y Servicios (A) 10,710 647 Banco Bilbao Vizcaya Argentaria 280,360 6,244 Banco Santander Central Hispano 628,983 13,089 Cementos Portland Valderrivas 2,400 226 Ebro Puleva 4,734 95 Fomento de Construcciones y Contratas (A) 4,800 331 Gas Natural* 74,750 4,324 Gestevision Telecinco (A) 10,151 158 Iberdrola 258,698 3,731 Iberdrola Renovables* 16,609 119 Iberia Lineas Aereas de Espana (A) 54,569 179
102 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Inditex (A) 8,157 $ 401 Indra Sistemas* 13,200 360 Mapfre 167,216 904 Obrascon Huarte Lain 1,474 60 Repsol 240,299 9,933 Sacyr Vallehermoso (A) 654 23 Sol Melia (A) 16,016 209 Telefonica 162,503 4,659 Union Fenosa 14,161 920 ------------- 46,612 ------------- SWEDEN -- 1.4% Alfa Laval 5,025 352 Assa Abloy, Cl B 30,700 532 Atlas Copco, Cl A (A) 24,200 428 Boliden 4,550 51 Electrolux, Cl B (A) 45,400 654 Hennes & Mauritz, Cl B (A) 4,000 221 Investor, Cl B (A) 23,000 572 Modern Times Group, Cl B 1,250 87 NCC, Cl B 9,166 174 Nordea Bank (A) 79,730 1,294 Oriflame Cosmetics 4,915 349 Saab, Cl B 8,419 236 Scania, Cl B 2,000 39 Skandinaviska Enskilda Banken, Cl A 38,661 876 Skanska, Cl B 45,000 768 SKF, Cl B 37,945 711 Svenska Cellulosa, Cl B 124,611 1,997 Svenska Handelsbanken, Cl A 4,972 138 Swedbank 13,888 343 Swedish Match 111,342 2,369 Tele2, Cl B (A) 77,500 1,655 Telefonaktiebolaget LM Ericsson ADR 1,500 41 Telefonaktiebolaget LM Ericsson, Cl B (A) 759,000 2,062 Trelleborg, Cl B (A) 14,307 267 Volvo, Cl B 110,450 1,747 Vostok Gas (SEK)* 23,200 2,191 Wihlborgs Fastigheter 3,906 77 ------------- 20,231 ------------- SWITZERLAND -- 7.1% ABB 256,838 8,324 Adecco 16,000 910 Baloise Holding 3,506 398 Bobst Group 639 52 Bucher Industries 265 69 Ciba Specialty Chemicals 2,745 90 Clariant 24,000 267
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Compagnie Financiere Richemont, Cl A 70,984 $ 4,413 Credit Suisse Group 105,020 5,338 Elektrizitaets-Gesellschaft Laufenburg 250 330 Georg Fischer 480 249 Givaudan 346 334 Helvetia Holding 862 342 Holcim 42,498 3,966 Inficon Holding 3,200 551 Kuoni Reisen Holding 98 52 Lindt & Spruengli 50 158 Logitech International* 9,618 314 Lonza Group 580 80 Nestle 36,796 18,051 Nobel Biocare Holding 10,142 399 Novartis 110,631 5,798 Petroplus Holdings* 6,204 381 Roche Holding 72,209 12,421 Schmolz + Bickenbach 1,384 124 STMicroelectronics 34,847 453 STMicroelectronics (EUR) 926 12 Sulzer 1,120 150 Swatch Group 9,608 502 Swiss Life Holding 5,404 1,517 Swiss Reinsurance 105,242 8,154 Swisscom 4,925 1,716 Syngenta 22,550 6,854 Synthes 3,009 422 UBS* 44,296 1,064 Xstrata 178,570 14,076 Zurich Financial Services 18,022 5,274 ------------- 103,605 ------------- TAIWAN -- 0.4% Asustek Computer 257,000 741 Compal Electronics 1,032,618 1,148 High Tech Computer GDR 5,090 542 Taiwan Semiconductor Manufacturing 528,229 1,140 Taiwan Semiconductor Manufacturing ADR 135,549 1,552 ------------- 5,123 ------------- THAILAND -- 0.1% PTT 101,300 1,047 ------------- UNITED KINGDOM -- 13.1% 3i Group 13,307 233 Alliance & Leicester (A) 56,054 471 Amec 273,861 4,516 Anglo American 123,209 8,325
SEI Institutional Investments Trust / Annual Report / May 31, 2008 103 SCHEDULE OF INVESTMENTS International Equity Fund (Continued) May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Antofagasta 44,300 $ 604 ARM Holdings 61,587 126 Arriva 1,433 18 Associated British Foods 114,100 1,943 AstraZeneca (SEK) 6,954 305 AstraZeneca 41,593 1,812 Autonomy* 130,400 2,285 Aviva 307,893 3,837 BAE Systems 1,010,135 9,048 Balfour Beatty 13,442 114 Barclays 528,289 3,915 Barratt Developments 49,917 180 BG Group 96,401 2,412 BHP Billiton 353,880 13,385 BP 1,442,174 17,329 British American Tobacco 157,110 5,862 British Energy Group 398,700 5,784 British Land++ 18,277 289 BT Group, Cl A 462,281 2,028 Cairn Energy* 6,800 452 Centrica 410,248 2,381 Charter 24,751 444 Chaucer Holdings 415,700 733 Colt Telecom Group* 18,416 62 Cookson Group 20,299 293 Daily Mail & General Trust, Cl A 16,755 135 Dairy Crest Group 166,900 1,354 Dana Petroleum* 3,196 116 Diageo 23,520 458 Dsg International 226,917 261 Firstgroup 3,046 32 GlaxoSmithKline 376,100 8,277 Hays 73,496 149 HBOS 412,846 3,263 Home Retail Group 347,316 1,608 HSBC Holdings 694,992 11,709 Imperial Tobacco Group 48,099 1,925 Investec 17,180 119 ITV 791,100 920 Johnsom Matthey 10,623 423 Kazakhmys 23,668 790 Land Securities Group++ 2,426 68 Legal & General Group 847,754 2,007 Lloyds TSB Group 167,959 1,275 LogicaCMG 78,652 189 Man Group 22,949 281 Marks & Spencer Group 49,600 372 Mitchells & Butlers 87,239 560 Mondi 71,045 508 National Grid 142,765 2,105 Next 9,475 217
Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Old Mutual 905,298 $ 2,093 Persimmon 36,509 347 Petrofac 5,186 64 Premier Farnell 23,628 76 Premier Foods 145,900 358 Punch Taverns 75,210 825 QinetiQ 26,048 107 Reckitt Benckiser Group 24,016 1,411 Rio Tinto 81,973 9,809 Rolls-Royce Group, Cl B 4,203,200 8 Royal & Sun Alliance Insurance Group 712,341 1,930 Royal Bank of Scotland Group 1,317,748 5,950 SABMiller 155,100 3,984 Sage Group 18,028 80 Scottish & Southern Energy 30,988 901 St. Ives Group 21,800 88 Standard Chartered 45,422 1,684 Tate & Lyle 3,919 36 Taylor Woodrow 509,331 856 Tesco 122,800 1,005 Thomas Cook Group 41,257 202 Tui Travel 33,985 164 Unilever 34,839 1,150 United Utilities 113,100 1,673 Vedanta Resources 10,564 523 Vodafone Group 8,220,283 26,357 Wolseley 7,500 82 Yell Group 134,079 335 ------------- 190,405 ------------- Total Common Stock (Cost $1,110,444) ($ Thousands) 1,280,769 ------------- MORTGAGE-BACKED SECURITIES -- 9.3% AGENCY MORTGAGE-BACKED OBLIGATIONS -- 7.3% FHLMC ARM 5.804%, 01/01/37 (G) $ 6,008 6,171 4.898%, 12/01/35 1,928 1,950 FHLMC CMO STRIPS, Ser 232, Cl IO, IO 5.000%, 08/01/35 6,834 1,720 FHLMC CMO STRIPS, Ser 233, Cl 12, IO 5.000%, 09/15/35 1,223 280 FHLMC TBA 6.000%, 06/01/15 18,000 18,467 FNMA CMO STRIPS, Ser 10, Cl FD 2.743%, 06/25/08 (C) 1,097 1,065
104 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- FNMA CMO STRIPS, Ser 359, Cl 6, IO 5.000%, 11/01/35 $ 561 $ 125 FNMA CMO STRIPS, Ser 360, Cl 2, IO 5.000%, 08/01/35 7,185 1,806 FNMA TBA 6.000%, 06/17/19 to 07/01/37 51,600 53,697 5.000%, 06/17/21 17,000 16,904 GNMA ARM 6.500%, 05/20/34 to 06/20/34 (G) 560 569 6.000%, 06/20/35 374 380 5.500%, 07/20/35 196 200 5.250%, 08/20/34 (G) 122 123 4.750%, 12/20/33 (G) 1,668 1,673 4.500%, 03/20/36 (G) 302 302 4.000%, 02/20/36 175 176 ------------- 105,608 ------------- NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 2.0% American Home Mortgage Investment Trust, Ser 2004-3, Cl 2A 3.998%, 09/01/08 (C) 1,646 1,441 American Home Mortgage Investment Trust, Ser 2005-1, Cl 6A 5.294%, 07/25/08 (C) 3,434 3,039 American Home Mortgage Investment Trust, Ser 2005-4, Cl 5A 5.350%, 07/25/08 (C) 2,373 2,042 American Home Mortgage Investment Trust, Ser 2006-1, Cl 2A3 5.100%, 07/25/08 (C) 1,253 1,059 Banc of America Commercial Mortgage, Ser 2006-2, Cl A1 5.611%, 05/10/45 648 655 Banc of America Funding, Ser 2006-A, Cl 2A2 5.574%, 07/20/08 (C) 149 133 Banc of America Mortgage Securities, Ser 2004-10, Cl 2A1 5.000%, 12/25/19 560 534 Countrywide Alternative Loan Trust, Ser 2004-33, Cl 1A1 6.738%, 07/25/08 (C) 279 231 Countrywide Alternative Loan Trust, Ser 2005-69, Cl M3 3.543%, 06/27/08 (C) 225 34 Countrywide Alternative Loan Trust, Ser 2005-IM1, Cl M3 4.393%, 06/27/08 (C) 338 51 Countrywide Alternative Loan Trust, Ser 2006-OA11, Cl M3 2.823%, 06/30/08 (C) 456 88
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Countrywide Home Loan Mortgage Pass- Through Trust, Ser 2004-22, Cl A1 5.094%, 07/25/08 (C) $ 501 $ 482 Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2006-HYB1, Cl 1A1 5.346%, 07/20/08 (C) 480 380 Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2006-HYB2, Cl 1A1 4.995%, 07/20/08 (C) 1,301 1,157 Deutsche ALT-A Securities Alternate Loan Trust, Ser 2006-AB3, Cl A1 6.250%, 07/25/08 (C) 707 648 DSLA Mortgage Loan Trust, Ser 2004-AR4, Cl B1 3.098%, 06/19/08 (C) 264 212 DSLA Mortgage Loan Trust, Ser 2006-AR1, Cl M5 3.308%, 06/19/08 (C) 140 21 DSLA Mortgage Loan Trust, Ser 2006-AR1, Cl M4 3.238%, 06/19/08 (C) 221 38 DSLA Mortgage Loan Trust, Ser 2006-AR1, Cl M7 4.247%, 06/19/08 (C) 140 14 First Horizon Alternative Mortgage Securities, Ser 2006-AA6, Cl 2A1 5.637%, 07/25/08 (C) 3,070 2,306 First Horizon Asset Securities, Ser 2006-AR3, Cl 1A1 5.670%, 07/25/08 (C) 655 632 Greenpoint Mortgage Funding Trust, Ser 2006-AR1, Cl M3 2.963%, 06/27/08 (C) 300 75 GS Mortgage Securities, Ser 2007-GG10, Cl A4 5.799%, 07/10/08 (C) 100 99 Indymac Index Mortgage Loan Trust, Ser 2004-AR6, Cl 1A 7.025%, 07/25/08 (C) 72 72 Indymac Index Mortgage Loan Trust, Ser 2006-AR11, Cl 4A1 5.777%, 07/25/08 (C) 1,520 1,238 JPMorgan Chase Commercial Mortgage Securities, Ser 2006-CB17, Cl A4 5.429%, 12/12/43 100 98 Lehman Mortgage Trust, Ser 2006-4, Cl 4A1 6.000%, 08/25/21 2,618 2,425 Master Adjustable Rate Mortgages Trust, Ser 2004-6, Cl 2A1 5.895%, 07/25/08 (C) 669 663
SEI Institutional Investments Trust / Annual Report / May 31, 2008 105 SCHEDULE OF INVESTMENTS International Equity Fund (Continued) May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Master Adjustable Rate Mortgages Trust, Ser 2005-2, Cl 3A1 6.553%, 07/25/08 (C) $ 461 $ 425 Merrill Lynch Mortgage Trust, Ser 2006-1, Cl 1A 5.304%, 07/25/08 (C) 1,380 1,305 Nomura Asset Acceptance, Ser 2004-R1, Cl A1 6.500%, 03/25/34 (B) 301 305 Nomura Asset Acceptance, Ser 2004-R2, Cl A1 6.500%, 07/25/08 (B) (C) (H) 356 360 Nomura Asset Acceptance, Ser 2007-1, Cl 1A1A 5.995%, 06/09/08 1,025 985 Residential Accredit Loans, Ser 2005-QA3, Cl NB2 5.219%, 07/25/08 (C) 1,308 1,299 Residential Accredit Loans, Ser 2005-QO5, Cl M3 3.193%, 06/25/08 (C) 398 80 Residential Accredit Loans, Ser 2006-QO1, Cl 2A3 2.792%, 06/27/08 (C) 261 126 Residential Asset Securitization Trust, Ser 2004-IP2, Cl 3A1 5.235%, 07/25/08 (C) 1,099 1,101 Structured Adjustable Rate Mortgage Loan Trust, Ser 2005-16XS, Cl M2 3.292%, 06/25/08 (C) 200 24 Washington Mutual Mortgage Pass- Through Certificates, Ser 2007-HY4, Cl 1A1 5.552%, 07/25/08 (C) 2,513 2,396 Washington Mutual Mortgage Pass- Through Certificates, Ser 2007-HY6, Cl 1A1 5.674%, 07/25/08 (C) 866 792 Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-I, Cl B1 6.500%, 07/25/08 (C) 74 74 ------------- 29,139 ------------- Total Mortgage-Backed Securities (Cost $140,018) ($ Thousands) 134,747 ------------- ASSET-BACKED SECURITIES -- 0.8% MORTGAGE RELATED SECURITIES -- 0.8% Aames Mortgage Investment Trust, Ser 2005-4, Cl B2 5.142%, 06/25/08 (C) 110 4
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- ACE Securities, Ser 2003-NC1, Cl M 3.173%, 06/25/08 (C) $ 600 $ 477 ACE Securities, Ser 2003-OP1, Cl M1 3.093%, 06/26/08 (C) 250 200 Ameriquest Mortgage Securities, Ser 2003-2, Cl M1 3.742%, 06/25/08 (C) 363 287 Argent Securities, Ser 2003-W5, Cl M1 3.093%, 06/25/08 (C) 250 214 Argent Securities, Ser 2003-W9, Cl M1 3.083%, 06/26/08 (C) 343 272 Asset-Backed Securities Home Equity, Ser 2003-HE5, Cl M1 3.639%, 06/16/08 (C) 456 395 Countrywide Asset-Backed Certificates, Ser 2003-5, Cl MV2 3.993%, 06/25/08 (C) 242 166 Countrywide Asset-Backed Certificates, Ser 2005-15, Cl 1AF1 2.532%, 06/25/08 (C) 95 95 Credit Suisse Asset-Backed Mortgage- Backed Trust, Ser 2006-1, Cl A1B 2.612%, 06/26/08 (C) 164 162 GSAA Home Equity NIM Trust, Ser 2006-2, Cl 2A1 2.492%, 06/27/08 (C) 672 663 GSAMP NIM Trust, Ser 2006-HE3, Cl N1 5.500%, 05/25/36 (B) 67 -- Home Equity Asset NIM Trust, Ser 2003-4, Cl M2 4.793%, 06/25/08 (C) 273 227 Lehman XS Trust, Ser 2005-5N, Cl M4 4.142%, 06/30/08 (C) 525 79 Lehman XS Trust, Ser 2005-7N, Cl M7I 4.142%, 06/27/08 (C) 300 45 Lehman XS Trust, Ser 2005-7N, Cl M5I 3.643%, 06/30/08 (C) 120 24 Lehman XS Trust, Ser 2005-9N, Cl M4 3.793%, 06/30/08 (C) 170 43 Master Asset-Backed Securities Trust, Ser 2006-AB1, Cl A1 2.532%, 06/27/08 (C) 791 781 Merrill Lynch Mortgage Investors, Ser 2003-HE1, Cl M2 4.043%, 06/25/08 (C) 43 27
106 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Morgan Stanley ABS Capital I, Ser 2003-NC10, Cl M1 3.413%, 06/27/08 (C) $ 573 $ 483 New Century Home Equity Loan Trust, Ser 2005-A, Cl A2 4.461%, 06/25/08 (H) 307 304 Option One Mortgage Loan Trust, Ser 2003-5, Cl M1 3.043%, 06/25/08 (C) 166 131 Option One Mortgage Loan Trust, Ser 2006-1, Cl M11 4.893%, 06/27/08 (B) (C) 140 5 Ownit Mortgage Loan Asset-Backed Certificates, Ser 2006-1, Cl AF1 5.424%, 12/25/36 (H) 310 309 Residential Asset Mortgage Products, Ser 2003-RS11, Cl MII1 3.488%, 06/25/08 (C) 54 42 Residential Asset Mortgage Products, Ser 2006-RZ1, Cl A1 2.473%, 06/27/08 (C) 205 205 Resmae Mortgage Loan Trust, Ser 2006-1, Cl A2A 2.492%, 06/25/08 (B) (C) 483 475 Resmae Mortgage Loan Trust, Ser 2006-1, Cl A2B 2.543%, 06/25/08 (B) (C) 1,400 1,213 Securitized Asset-Backed Receivables LLC Trust, Ser 2006-NC1, Cl A2 2.553%, 06/25/08 (C) 3,300 3,121 Structured Asset Investment Loan Trust, Ser 2003-BC4, Cl M2 5.393%, 06/25/08 (C) 167 139 Structured Asset Investment Loan Trust, Ser 2005-1, Cl A4 2.622%, 06/25/08 (B) (C) 15 15 Terwin Mortgage Trust, Ser 2006-5, Cl 1A2A 2.473%, 06/26/08 (B) (C) 1,311 950 Terwin Mortgage Trust, Ser 2006-6, Cl 2A1 4.500%, 06/25/36 267 19 ------------- Total Asset-Backed Securities (Cost $14,268) ($ Thousands) 11,572 -------------
Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- PREFERRED STOCK -- 0.4% BRAZIL -- 0.2% Banco Bradesco 102,900 $ 2,474 Usinas Siderurgicas de Minas Gerais, Cl A 25,950 1,396 ------------- 3,870 ------------- GERMANY -- 0.1% Porsche Automobil Holding 2,680 498 RWE 631 67 Volkswagen 1,947 295 ------------- 860 ------------- ITALY -- 0.0% Istituto Finanziario Industriale* 8,826 248 ------------- SOUTH KOREA -- 0.1% Samsung Electronics 1,400 715 ------------- Total Preferred Stock (Cost $4,210) ($ Thousands) 5,693 ------------- U.S. TREASURY OBLIGATIONS -- 0.6% U.S. Treasury Bills (D) (F) 1.823%, 08/21/08 $ 5,695 5,672 0.732%, 06/19/08 450 450 U.S. Treasury Inflationary Protection Security 3.000%, 07/15/12 831 903 2.375%, 04/15/11 (A) 2,076 2,183 ------------- Total U.S. Treasury Obligations (Cost $9,190) ($ Thousands) 9,208 ------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.5% (D) FHLMC DN 2.131%, 10/14/08 750 744 2.106%, 06/27/08 250 250 2.102%, 11/03/08 4,926 4,878 2.094%, 07/11/08 100 100 2.081%, 06/23/08 200 200 FNMA DN 2.081%, 09/24/08 (D) 50 50 2.016%, 08/13/08 (D) 649 646 ------------- Total U.S. Government Agency Obligations (Cost $6,871) ($ Thousands) 6,868 -------------
SEI Institutional Investments Trust / Annual Report / May 31, 2008 107 SCHEDULE OF INVESTMENTS International Equity Fund (Continued) May 31, 2008
Face Amount ($ Thousands) Market Value Description /Contracts ($ Thousands) ------------------------------------------------- ------------- ------------- CORPORATE OBLIGATIONS -- 0.1% (B) UNITED STATES -- 0.1% Discover Financial Services 6.450%, 06/12/17 $ 100 $ 87 Shinsei Finance Cayman 6.418%, 07/20/08 (A)(C) 490 338 Washington Mutual Preferred Funding Delaware 6.534%, 06/15/08(C) 500 289 ------------- Total Corporate Obligations (Cost $1,090) ($ Thousands) 714 ------------- RIGHTS -- 0.0%
Number of Rights ------------- DENMARK -- 0.0% Carlsberg, Expires 06/10/08* (A) 7 140 ------------- SWITZERLAND -- 0.0% UBS AG, Expires 06/12/08* 41 55 ------------- UNITED KINGDOM -- 0.0% Royal Bank of Scotland, Expires 06/06/08* 398 220 ------------- Total Rights (Cost $146) ($ Thousands) 415 ------------- PURCHASED OPTION -- 0.0% UNITED STATES -- 0.0% July 2008 U.S. Ten Year Treasury Call, Expires 06/21/08, Strike Price $95* 28 161 ------------- Total Purchased Option (Cost $12) ($ Thousands) 161 -------------
Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- EXCHANGE TRADED FUND -- 0.0% UNITED STATES -- 0.0% iShares MSCI EAFE Index Fund* 800 $ 61 ------------- Total Exchange Traded Fund (Cost $58) ($ Thousands) 61 ------------- COMMERCIAL PAPER -- 0.8% (C) UNITED STATES -- 0.8% AIG Funding 2.220%, 06/06/08 $ 3,000 2,999 Goldman Sachs 2.401%, 06/04/08 1,000 1,000 JPMorgan Chase 2.270%, 06/02/08 4,000 3,999 Prudential Funding LLC 2.143%, 06/05/08 4,000 3,999 ------------- Total Commercial Paper (Cost $11,997) ($ Thousands) 11,997 ------------- AFFILIATED PARTNERSHIP -- 8.9% UNITED STATES -- 8.9% SEI Liquidity Fund, L.P., 2.810% (E)**+ 129,728,032 129,728 ------------- Total Affiliated Partnership (Cost $ 129,728) ($ Thousands) 129,728 ------------- CASH EQUIVALENT -- 1.0% UNITED STATES -- 1.0% SEI Daily Income Trust, Prime Obligation Fund, Cl A,2.460%**+ 14,005,005 14,005 ------------- Total Cash Equivalent (Cost $ 14,005) ($ Thousands) 14,005 ------------- Total Investments -- 110.5% (Cost $1,442,037) ($ Thousands) $ 1,605,938 =============
A summary of outstanding swap agreements held by the Fund at May 31, 2008, is as follows (See Note 2 in Notes to Financial Statements): TOTAL RETURN SWAPS
COUNTERPARTY REFERENCE ENTITY/OBLIGATION FUND PAYS FUND RECEIVES ------------------- ---------------------------------------- ---------------------------- -------------------------------- Bank of America BAS AAA 10YR CMBS Daily Index Negative Spread Return Initial Index Spread Minus 35 bp Bank of America BAS AAA 10YR CMBS Daily Index Negative Spread Return Initial Index Spread Plus 25 bp Bank of America BAS AAA 10YR CMBS Daily Index Negative Spread Return Initial Index Spread Plus 0 bp Bank of America BAS AAA 10YR CMBS Daily Index Negative Spread Return Initial Index Spread Minus 10 bp Barclays Bank PLC BAS AAA 10YR CMBS Daily Index Negative Spread Return Initial Index Spread Plus 0 bp JPMorgan Chase Bank BAS AAA 10YR CMBS Daily Index Negative Spread Return Initial Index Spread Plus 50 bp JPMorgan Chase Bank BAS AAA 10YR CMBS Daily Index Negative Spread Return Initial Index Spread Plus 0 bp JPMorgan Chase Bank BAS AAA 10YR CMBS Daily Index Negative Spread Return Initial Index Spread Minus 70 bp Wachovia BAS AAA 10YR CMBS Daily Index Negative Spread Return Initial Index Spread Minus 65 bp JPMorgan Chase Bank MSCI Daily TR net EAFE USD Market Index 3 month LIBOR minus 42 bp Price Return Goldman Sachs MSCI Daily TR net Japan USD Market Index 3 month LIBOR plus 10 bp Price Return Bear Stearns Swiss Market Index 3 month CHF LIBOR plus 28 bp Price Return NOTIONAL NET UNREALIZED AMOUNT APPRECIATION COUNTERPARTY TERMINATION DATE (THOUSANDS) (THOUSANDS) ------------------- ---------------- ----------- -------------- Bank of America 07/31/08 14,000 $ 235 Bank of America 09/30/08 5,000 84 Bank of America 09/30/08 8,000 134 Bank of America 10/31/08 5,000 84 Barclays Bank PLC 08/31/08 13,000 218 JPMorgan Chase Bank 09/30/08 10,000 168 JPMorgan Chase Bank 09/30/08 10,000 168 JPMorgan Chase Bank 10/31/08 5,000 84 Wachovia 07/31/08 15,000 251 JPMorgan Chase Bank 03/19/09 16,017 1,549 Goldman Sachs 03/31/09 12,774 1,234 Bear Stearns 01/14/09 CHF 8,457 356 ------ $4,565 ======
108 SEI Institutional Investments Trust / Annual Report / May 31, 2008 CREDIT DEFAULT SWAPS
NET UNREALIZED (PAYS) NOTIONAL APPRECIATION BUY/SELL RECEIVES TERMINATION AMOUNT (DEPRECIATION) COUNTERPARTY REFERENCE ENTITY/OBLIGATION PROTECTION RATE DATE (THOUSANDS) ($ THOUSANDS) ------------------- ------------------------------------------ ---------- -------- ----------- ----------- -------------- Barclays Bank PLC ABX.HE.AAA 06-1 Index Sell 0.18% 07/25/45 600 $ (1) Barclays Bank PLC ABX.HE.AAA 06-1 Index Sell 0.18 07/25/45 1,100 (4) Credit Suisse ABX.HE.AAA 06-1 Index Sell 0.18 07/25/45 750 17 Credit Suisse ABX.HE.AAA 06-1 Index Sell 0.18 07/25/45 1,000 (6) Bank of America Alcan Inc., 4.875%, 09/15/2012 Buy (0.35) 12/20/13 750 (2) Bank of America Alcan Inc., 4.875%, 09/15/2012 Buy (0.32) 03/20/14 650 (1) Bank of America Autozone Inc., 5.875%, 10/15/2012 Buy (0.44) 12/20/11 750 3 JPMorgan Chase Bank Autozone Inc., 5.875%, 10/15/2012 Buy (0.46) 12/20/11 750 2 Bank of America Black & Decker Corp., 7.125%, 06/01/2011 Buy (0.55) 12/20/11 750 6 JPMorgan Chase Bank Black & Decker Corp., 7.125%, 06/01/2011 Buy (0.55) 12/20/11 750 6 Goldman Sachs Borgwarner Inc 6.5%, 02/15/2009 Buy (0.66) 03/20/13 1,000 (9) Goldman Sachs Borgwarner Inc 6.5%, 02/15/2009 Buy (0.80) 03/20/13 500 (8) Bank of America Campbell Soup Co., 4.875, 10/01/2013 Buy (0.20) 06/20/14 1,075 5 JPMorgan Chase Bank Carnival Corp., 6.65%, 01/15/2028 Buy (0.22) 06/20/12 600 16 Goldman Sachs CDX.NA.IG 9 Index Sell 0.60 12/20/12 3,375 (11) Goldman Sachs CDX.NA.IG 9 Index Buy (0.60) 12/20/12 2,500 1 JPMorgan Chase Bank Centurytel Inc, 6.0% 04/01/2017 Buy (1.10) 03/20/13 1,000 (7) JPMorgan Chase Bank CMBX.NA.A 2 Index Buy (0.25) 03/15/49 1,000 (66) Goldman Sachs CMBX.NA.A 3 Index Buy (0.62) 12/13/49 1,000 (48) Goldman Sachs CMBX.NA.A 3 Index Buy (0.62) 12/13/49 1,000 88 Goldman Sachs CMBX.NA.BBB 2 Index Buy (0.60) 03/15/49 2,000 (6) Bank of America Computer Science Corp 5.0% 02/15/13 Buy (0.65) 06/20/13 1,000 -- Bank of America Darden Restaurants Inc, 7.125%, 02/01/2016 Buy (0.45) 12/20/11 750 21 Merrill Lynch Donnelley (R.R.) & Sons, 4.95%, 04/01/2014 Buy (0.69) 12/20/11 750 7 JPMorgan Chase Bank Dow Chemical Inc., 6.00%, 10/01/2012 Buy (0.26) 12/20/13 750 12 Merrill Lynch Dow Chemical Inc., 6.00%, 10/01/2012 Buy (0.25) 12/20/13 750 13 Bank of America Gap Inc, 8.80%, 12/15/2008 Buy (1.18) 12/20/11 750 (14) JPMorgan Chase Bank Gap Inc, 8.80%, 12/15/2008 Buy (1.18) 12/20/11 750 (14) JPMorgan Chase Bank Hasbro Inc, 2.75%, 12/01/2021 Buy (0.39) 12/20/11 750 179 Bank of America Johnson Controls Inc., 7.125%, 07/15/2017 Buy (0.37) 12/20/13 750 36 Bank of America Johnson Controls Inc., 7.125%, 07/15/2017 Buy (0.39) 12/20/13 750 16 JPMorgan Chase Bank Jones Apparel Group., 5.125%, 11/15/2014 Buy (0.77) 12/20/11 750 48 Merrill Lynch Kroger Co. 5.5%, 02/01/2013 Buy (0.64) 03/20/13 1,250 (3) Bank of America Lowes Companies Inc., 8.25%, 06/01/2010 Buy (0.95) 03/20/13 500 (11) Merrill Lynch Lowes Companies Inc., 8.25%, 06/01/2010 Buy (0.13) 12/20/11 750 7 Merrill Lynch Lubrizol Corp., 7.25%, 06/15/2025 Buy (0.45) 12/20/11 750 4 JPMorgan Chase Bank Lubrizol Corp., 7.25%, 06/15/2035 Buy (0.45) 12/20/11 750 4 Bank of America Masco Corp., 5.875%, 07/15/2012 Buy (0.73) 12/20/13 750 42 Merrill Lynch MDC Holdings Inc., 5.50%, 05/15/2013 Buy (0.90) 12/20/11 750 12 Bank of America Meadwestavaco Corp., 6.85%, 04/01/2012 Buy (0.48) 12/20/11 750 35 Bank of America MGIC Investment Corp., 6.00%, 11/01/2015 Buy (0.35) 12/20/13 750 129 JPMorgan Chase Bank MGIC Investment Corp., 6.00%, 11/01/2015 Buy (0.35) 12/20/13 750 116 JPMorgan Chase Bank Nordstrom Inc., 6.95%, 03/15/2028 Buy (0.28) 12/20/13 750 26 Merrill Lynch Nordstrom Inc., 6.95%, 03/15/2028 Buy (0.28) 12/20/13 750 26 Bank of America Nucor Copr., 4.875%, 10/01/2012 Buy (0.22) 12/20/11 750 2 JPMorgan Chase Bank Nucor Copr., 4.875%, 10/01/2012 Buy (0.22) 12/20/11 750 2 Bank of America Pitney Bowes Inc., 4.625%, 10/01/2012 Buy (0.14) 12/20/11 1,600 5 Bank of America Pmi Group Inc., 6.00%, 09/15/2016 Buy (0.35) 12/20/13 750 116 JPMorgan Chase Bank Pmi Group Inc., 6.00%, 09/15/2016 Buy (0.35) 12/20/13 750 129 JPMorgan Chase Bank PPG Industries Inc., 7.05%, 08/15/2009 Buy (0.20) 12/20/11 750 8 Bank of America Radian Group Inc., 7.75%, 06/01/2011 Buy (0.39) 12/20/13 750 180 JPMorgan Chase Bank Radian Group Inc., 7.75%, 06/01/2011 Buy (0.39) 12/20/13 750 160 Bank of America Safeway Inc. 5.80%, 08/15/2012 Buy (0.59) 03/20/13 1,000 (1) JPMorgan Chase Bank Safeway Inc. 5.80%, 08/15/2012 Buy (0.64) 03/20/13 750 (2) JPMorgan Chase Bank Southwest Airlines Co., 6.50%, 03/01/2012 Buy (0.27) 12/20/11 750 25 Merrill Lynch Southwest Airlines Co., 6.50%, 03/01/2012 Buy (0.27) 12/20/11 750 25 Bank of America The Limited Inc., 6.125%, 12/01/2012 Buy (0.48) 12/20/11 750 31 Bank of America TJX Companies Inc., 7.45%, 12/15/2009 Buy (0.19) 12/20/11 750 4 JPMorgan Chase Bank Washington Mutual Co., 5.25%, 09/15/2017 Buy (0.32) 03/20/12 700 76 Merrill Lynch Weyerhaeuser Company, 6.75%, 03/15/2012 Buy (0.45) 03/20/12 750 25 JPMorgan Chase Bank Whirlpool Corp., 7.75%, 07/15/2016 Buy (0.34) 12/20/11 750 11 ------ $1,462 ======
SEI Institutional Investments Trust / Annual Report / May 31, 2008 109 SCHEDULE OF INVESTMENTS International Equity Fund (Concluded) May 31, 2008 A summary of the open futures contracts held by the Fund at May 31, 2008, is as follows (See Note 2 in Notes to Financial Statements):
UNREALIZED NUMBER OF APPRECIATION TYPE OF CONTRACTS EXPIRATION (DEPRECIATION) CONTRACT LONG (SHORT) DATE ($ THOUSANDS) -------------------------- ------------ ---------- -------------- 10-Year Swap Future (76) Jun-2008 $ 105 10-Year Swap Future (60) Sep-2008 -- 90-Day Euro$ 67 Jun-2008 163 90-Day Euro$ 38 Sep-2008 (31) 90-Day Euro$ (74) Dec-2008 (321) 90-Day Euro$ 47 Mar-2009 (89) 90-Day Euro$ 126 Jun-2009 48 90-Day Euro$ 132 Sep-2009 28 90-Day Euro$ 31 Dec-2009 (94) 90-Day Euro$ (21) Mar-2010 (33) 90-Day Euro$ (124) Jun-2010 (211) 90-Day Euro$ (31) Sep-2010 (55) 90-Day Euro$ (26) Dec-2010 (42) 90-Day Euro$ (15) Mar-2011 (24) 90-Day Euro$ 23 Jun-2011 9 90-Day Euro$ 25 Sep-2011 12 90-Day Euro$ 8 Dec-2011 5 90-Day Euro$ 8 Mar-2012 5 90-Day Euro$ 4 Jun-2012 2 90-Day Euro$ 9 Sep-2012 7 Amsterdam Index 33 Jun-2008 71 CAC40 10 Euro 147 Jun-2008 159 Dax Index 51 Jun-2008 1,621 DJ Euro Stoxx 50 Index 250 Jun-2008 1,331 FTSE 100 Index 248 Jun-2008 2,433 Hang Seng Index 23 Jun-2008 47 IBEX Index 27 Jun-2008 (273) MSCI Sing Index 43 Jun-2008 73 Nikkei 225 Index 19 Jun-2008 89 OMX Index 242 Jun-2008 (49) S&P/MIB Index 17 Jun-2008 425 SPI 200 Index 67 Jun-2008 848 Topix Index 104 Jun-2008 906 U.S. 10 Year Treasury Note 1 Sep-2008 -- U.S. 2 Year Treasury Note 22 Oct-2008 (15) U.S. 5 Year Treasury Note 10 Sep-2008 (7) U.S. Long Treasury Bond (2) Sep-2008 5 ------ $7,148 ======
A summary of the outstanding forward foreign currency contracts held by the Fund at May 31, 2008 is as follows (see Note 2 in Notes to Financial Statements):
UNREALIZED CURRENCY TO CURRENCY TO APPRECIATION MATURITY DELIVER RECEIVE (DEPRECIATION) DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) ---------------- --------------- --------------- -------------- 6/20/08 CAD 51,768 USD 52,186 $ 94 6/20/08 CHF 3,071 USD 2,924 (16) 6/20/08 HKD 179,635 USD 23,048 18 6/20/08 MXP 35,031 USD 3,360 (22) 6/20/08 NOK 8,987 USD 1,790 31 6/20/08 USD 4 MXP 45 -- 6/20/08 USD 596 ZAR 4,541 (4) 6/20/08 ZAR 44,062 USD 5,763 18 6/20/08-6/23/08 USD 8,994 CHF 9,480 82 6/20/08-6/23/08 USD 2,346 HKD 18,279 (2) 6/20/08-6/23/08 USD 37,495 JPY 3,906,445 (451) 6/20/08-6/23/08 USD 1,384 NZD 1,783 7 6/20/08-6/23/08 USD 7,977 SGD 10,766 (76) 6/20/08-8/21/08 CHF 58,000 EUR 36,059 359 6/20/08-8/21/08 CHF 31,400 GBP 15,171 (182) 6/20/08-8/21/08 EUR 27,888 CHF 44,600 (526) 6/20/08-8/21/08 GBP 13,015 CHF 26,800 34 6/20/08-8/21/08 GBP 12,711 JPY 2,617,000 (158) 6/20/08-8/21/08 NZD 16,559 CHF 13,500 49 6/20/08-9/19/08 AUD 14,149 JPY 1,300,000 (1,026) 6/20/08-9/19/08 JPY 2,156,000 AUD 22,870 1,131 6/20/08-10/21/08 EUR 34,815 JPY 5,421,000 (2,362) 6/20/08-10/21/08 EUR 10,376 USD 16,103 70 6/20/08-10/21/08 GBP 8,608 USD 16,821 (38) 6/20/08-10/21/08 USD 50,780 EUR 32,677 (124) 6/20/08-11/21/08 CHF 19,000 NZD 23,024 (358) 6/20/08-11/21/08 JPY 7,825,000 EUR 49,579 2,312 6/20/08-11/21/08 JPY 4,133,000 GBP 20,036 47 6/20/08-11/21/08 USD 37,067 AUD 38,985 (79)
UNREALIZED CURRENCY TO CURRENCY TO APPRECIATION MATURITY DELIVER RECEIVE (DEPRECIATION) DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) ---------------- --------------- --------------- -------------- 6/20/08-11/21/08 USD 100,330 GBP 51,374 $ 852 6/23/08 AUD 8,068 GBP 3,911 47 6/23/08 EUR 8,871 SEK 82,710 (11) 6/23/08 GBP 1,961 AUD 4,068 (1) 6/23/08 SEK 58,100 EUR 6,256 46 6/23/08 SEK 8,703 USD 1,443 (6) 6/23/08 USD 993 DKK 4,786 3 6/23/08 USD 1,221 NOK 6,168 (14) 6/23/08 USD 13,832 SEK 82,333 (134) 10/21/08 AUD 1,756 USD 1,600 (42) 10/21/08 NOK 17,099 JPY 340,000 (61) 10/21/08-11/21/08 JPY 685,000 NOK 33,933 15 10/21/08-11/21/08 SGD 4,500 GBP 1,703 5 ------- $ (473) =======
Percentages are based on a Net Assets of $1,452,962 ($ Thousands) * Non-income producing security. ** Rate shown is the 7-day effective yield as of May 31, 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 May 31, 2008. The total value of securities on loan at May 31, 2008 was $121,421 ($ 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) Variable Rate Security. The rate reported is the rate in effect as of May 31, 2008. The date reported is the next reset date. (D) Zero coupon security. The rate reported is the effective yield at time of purchase. (E) This security was purchased with cash collateral held from securities on loan (see Note 9). The total value of such securities as of May 31, 2008 was $129,728 ($ Thousands). (F) Security, or portion thereof, has been pledged as collateral on open futures contracts. (G) Security, or portion thereof, has been pledged as collateral on open swaps contracts. (H) Step Bonds -- The rate reflected is the effective yield on May 31, 2008. The coupon on a step bond changes on a specific date. ABS -- Asset-Backed Security ADR -- American Depositary Receipt ARM -- Adjustable Rate Mortgage AUD -- Australian Dollar CAD -- Canadian Dollar CHF -- Swiss Franc Cl -- Class CMO -- Collateralized Mortgage Obligation DKK -- Danish Krone DN -- Discount Note EUR -- Euro FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GBP -- British Pound Sterling GDR -- Global Depositary Receipt GNMA -- Government National Mortgage Association HKD -- Hong Kong Dollar IO -- Interest Only - face amount represents notional amount JPY -- Japanese Yen LLC -- Limited Liability Company L.P. -- Limited Partnership MXP -- Mexican Peso NIM -- Net Interest Margin NOK -- Norwegian Krone NZD -- New Zealand Dollar SEK -- Swedish Krone 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 beenrounded to $0. The accompanying notes are an integral part of the financial statements. 110 SEI Institutional Investments Trust / Annual Report / May 31, 2008 SCHEDULE OF INVESTMENTS World Equity Ex-US Fund May 31, 2008 SECTOR WEIGHTINGS (UNAUDITED)++: (BAR CHART) Financials 17.8% Materials 14.3% Energy 12.3% Industrials 8.7% Mortgage-Backed Securities 7.7% Information Technology 5.9% Telecommunication Services 5.7% Consumer Discretionary 5.4% Affiliated Partnership 5.0% Short-Term Investment 4.5% Consumer Staples 4.5% Utilities 3.9% Health Care 2.6% U.S. Treasury Obligations 0.7% Asset-Backed Securities 0.6% U.S. Government Agency Obligations 0.4% Rights 0.0% Purchased Option 0.0% Equity-Linked Warrants 0.0% Exchange Traded Fund 0.0%
++ Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 9).
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- COMMON STOCK -- 82.1% ARGENTINA -- 0.2% Petrobras Energia Participaciones ADR 77,300 $ 1,054 Telecom Argentina ADR, Ser B* 33,700 625 Tenaris ADR 92,600 5,676 ------------- 7,355 ------------- AUSTRALIA -- 2.8% AGL Energy 297,901 4,093 Amcor 212,189 1,232 Australia & New Zealand Banking Group 68,438 1,415 Australian Infrastructure Fund 308,800 760 Australian Worldwide Exploration* 41,900 171 Babcock & Brown (A) 43,562 518 Bendigo Bank 13,975 188 BHP Billiton 321,806 13,348 BlueScope Steel 78,500 850 Brambles 116,007 886 Centennial Coal 39,100 190 Challenger Financial Services Group (A) 218,333 412 Coca-Cola Amatil 60,600 467 Commonwealth Bank of Australia 27,600 1,114 Computershare 31,108 283 CSL 18,940 719 Dominion Mining 10,544 37 Downer EDI 88,891 611 Felix Resources 1,200 26 Flight Centre 87,300 1,581 Fortescue Metals Group* 130,100 1,321 Foster's Group 171,800 901
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Goodman Fielder 649,345 $ 1,083 Incitec Pivot (A) 11,928 1,979 ING Industrial Fund++ (A) 449,521 855 Leighton Holdings (A) 98,700 5,016 MacArthur Coal 32,000 600 Macquarie Airports 368,800 1,020 Macquarie Group (A) 14,755 767 Macquarie Infrastructure Group 1,392,325 3,982 Metcash 287,200 1,125 Mirvac Group++ (A) 24,436 77 Mount Gibson Iron* 88,900 277 National Australia Bank (A) 124,621 3,719 New Hope 32,639 160 Newcrest Mining 301,550 9,154 Nufarm 15,300 246 OneSteel 32,000 220 Orica 31,100 898 Origin Energy 154,235 2,294 Pacific Brands 256,244 518 Portman* 12,351 206 Qantas Airways (A) 228,915 757 QBE Insurance Group 26,639 621 Rio Tinto (A) 28,856 3,797 Santos 90,400 1,817 Seven Network 24,500 210 Sims Group 142 5 Suncorp-Metway 52,444 721 TABCORP Holdings 34,591 371 Tatts Group 43,908 110 Telstra 1,484,920 6,725 Toll Holdings 40,953 294 Wesfarmers 21,540 778 Westfield Group++ 45,200 735 Westpac Banking 87,634 1,943 Woodside Petroleum 36,766 2,279 Woolworths 202,088 5,342 Zinifex 116,800 1,058 ------------- 92,882 ------------- AUSTRIA -- 0.4% IMMOFINANZ 31,035 365 OMV (A) 63,393 5,214 Raiffeisen International Bank Holding (A) 13,406 2,007 Telekom Austria 37,121 884 Verbund - Oesterreichische Elektrizitaetswirtschafts, Cl A 1,816 153 Voestalpine 62,523 5,206 Wienerberger 12,500 662 ------------- 14,491 -------------
SEI Institutional Investments Trust / Annual Report / May 31, 2008 111 SCHEDULE OF INVESTMENTS World Equity Ex-US Fund (Continued) May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- BELGIUM -- 0.7% Belgacom 21,016 $ 989 Cofinimmo++ 8,100 1,512 Delhaize Group (A) 12,496 939 Dexia (A) 64,538 1,519 Elia System Operator 448 19 Fortis 240,448 5,881 Fortis (Netherlands Line) 71,167 1,737 Gimv 11,200 795 InBev 6,951 536 KBC Groep 14,497 1,787 Mobistar 41,900 3,441 Omega Pharma 2,368 99 Solvay 26,244 3,758 Umicore 21,139 1,155 ------------- 24,167 ------------- BERMUDA -- 0.0% Seadrill (NOK) 21,123 689 ------------- BRAZIL -- 1.6% Acos Villares 848,000 660 Banco do Brasil 358,600 7,160 Bovespa Holding 35,000 575 Cia de Saneamento Basico do Estado de Sao Paulo 76,560 2,160 Cia Siderurgica Nacional 2,100 103 Cia Vale do Rio Doce ADR 266,990 10,454 EDP - Energias do Brasil 41,500 803 Industrias Romi 26,200 306 Localiza Rent A Car 174,500 2,279 Lojas Renner 82,100 2,024 Petroleo Brasileiro ADR 100,814 7,108 Petroleo Brasileiro (A) 47,000 1,660 Santos Brasil Participacoes 92,372 1,586 Souza Cruz 42,500 1,313 Tim Participacoes ADR (A) 138,757 4,227 Uniao de Bancos Brasileiros GDR 42,630 6,687 Usinas Siderurgicas de Minas Gerais 75,100 4,078 ------------- 53,183 ------------- CANADA -- 6.1% Agrium 26,600 2,322 AltaGas Income Trust 8,000 213 ARC Energy Trust 116,000 3,399 Bank of Montreal 24,800 1,217 Bank of Nova Scotia 74,400 3,725 Barrick Gold 162,460 6,545 Biovail 77,800 905 Bombardier, Cl B 34,300 273 Cameco 33,169 1,351
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Canadian Imperial Bank of Commerce 49,178 $ 3,455 Canadian National Railway 14,110 791 Canadian Natural Resources 109,410 10,706 Canadian Oil Sands Trust 37,300 1,878 Celestica* 116,600 1,030 CGI Group, Cl A* 114,770 1,235 Dundee, Cl A* 4,490 57 Eastern Platinum* 964,350 2,708 EnCana 300,350 27,087 European Goldfields* 6,720 34 Fairfax Financial Holdings 3,500 963 First Quantum Minerals 11,100 872 Fording Canadian Coal Trust 66,900 5,301 Fortis 2,230 61 Freehold Royalty Trust 7,300 153 George Weston 7,250 374 Gerdau Ameristeel 36,580 657 Gildan Activewear* 41,800 1,235 Goldcorp 279,740 11,237 HudBay Minerals* 29,600 521 Husky Energy 56,120 2,816 IAMGOLD 29,280 174 Imperial Oil 21,800 1,267 Industrial Alliance Insurance and Financial Services 1,780 64 Inmet Mining 8,900 606 Keyera Facilities Income Fund 8,400 189 Laurentian Bank of Canada 2,700 116 Linamar 9,200 157 Manulife Financial 39,400 1,521 Methanex 37,400 1,057 Metro, Cl A 3,100 87 Mullen Group Income Fund 11,930 271 National Bank of Canada 26,200 1,432 Nexen 59,841 2,301 Nortel Networks* 20,900 171 Northbridge Financial 4,080 138 Nova Chemicals 41,100 1,113 Onex 42,600 1,446 Open Text* 26,020 930 Penn West Energy Trust 8,200 270 Petro-Canada 152,400 8,792 Potash Corp of Saskatchewan 21,240 4,228 Potash Saskatchewan 110,310 21,906 Power Corp of Canada 54,500 1,844 Power Financial 10,960 393 Research In Motion* 152,130 21,080 Rogers Communications, Cl B 153,790 6,763 Rothmans 98,400 2,538 Royal Bank of Canada 94,651 4,839 Savanna Energy Services 8,240 178 Shaw Communications, Cl B 40,100 829 Sherritt International 24,300 372
112 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Shoppers Drug Mart 27,200 $ 1,525 Sun Life Financial 115,622 5,382 Suncor Energy 63,400 4,326 Talisman Energy 3,300 76 Teck Cominco, Cl B 36,980 1,830 TELUS, Cl A 119 6 Toronto-Dominion Bank 50,600 3,661 TSX Group 67,800 3,070 Yamana Gold 59,620 922 Yellow Pages Income Fund 49,900 505 ------------- 201,496 ------------- CHILE -- 0.1% Administradora de Fondos de Pensiones Provida ADR 6,800 216 Cia Cervecerias Unidas ADR 21,000 746 Embotelladora Andina ADR, Cl B 600 11 Enersis ADR 100,700 1,915 Lan Airlines ADR 1,000 12 ------------- 2,900 ------------- CHINA -- 2.5% Alibaba.com* (A) 59,000 110 Anhui Conch Cement, Cl H (A) 532,639 4,774 Bank of China 12,366,000 6,307 Bank of Communications, Cl H 3,092,000 4,049 Baoye Group, Cl H 19,000 12 Bengang Steel Plates, Cl B 1,075,100 982 China Coal Energy 202,000 453 China Construction Bank, Cl H 5,433,000 4,839 China COSCO Holdings, Cl H 2,230,500 6,488 China International Marine Containers, Cl B 131,400 186 China Life Insurance, Cl H 2,562,694 10,295 China Oilfield Services, Cl H 490,000 952 China Petroleum & Chemical, Cl H 2,612,000 2,631 China Resources Microelectronics 1,362,600 53 China Shenhua Energy 476,800 2,126 China Shipping Container Lines, Cl H 1,193,750 592 China Shipping Development, Cl H 1,528,000 5,189 Dongfeng Motor Group, Cl H 1,661,000 830 First Tractor, Cl H 710,000 311 Great Wall Motor, Cl H 169,000 170 Great Wall Technology, Cl H 60,000 13 Greentown China Holdings 340,500 385 Guangdong Electric Power Development, Cl B 247,600 125 Hangzhou Steam Turbine, Cl B 98,000 153 Harbin Power Equipment, Cl H 370,000 695 Industrial & Commercial Bank of China, Cl H 16,961,000 12,672 Jiangling Motors, Cl B 12,100 12
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- New World Department Store China* 1,358,000 $ 1,382 PetroChina, Cl H 2,868,000 4,124 Shanghai Electric Group, Cl H 1,196,000 708 Sinotrans, Cl H 502,000 134 Weiqiao Textile, Cl H 138,000 146 Yanzhou Coal Mining, Cl H 4,146,000 9,032 Zhejiang Expressway, Cl H 828,000 675 ------------- 81,605 ------------- COLOMBIA -- 0.0% BanColombia ADR 28,500 1,089 ------------- CZECH REPUBLIC -- 0.5% CEZ 171,919 14,183 Unipetrol* 52,000 872 ------------- 15,055 ------------- DENMARK -- 0.6% A P Moeller - Maersk, A Shares 37 461 A P Moeller - Maersk, B Shares 217 2,704 Carlsberg, Cl B 11,732 1,229 D/S Nordern 6,035 753 Danisco 1,584 123 Danske Bank 43,946 1,506 East Asiatic 6,125 456 FLSmidth 5,100 611 Novo-Nordisk, Cl B 38,100 2,477 Vestas Wind Systems* 78,059 10,733 ------------- 21,053 ------------- EGYPT -- 0.1% Egyptian for Mobile Services 17,600 603 Egyptian International Pharmaceutical Industrial 30,000 197 El Ezz Steel 57,000 894 Paints & Chemical Industry 8,000 108 Suez Cement 2,000 20 Telecom Egypt 190,000 633 ------------- 2,455 ------------- FINLAND -- 0.7% Kone, Cl B 11,233 454 Konecranes 30,931 1,415 Metso 20,874 1,044 Nokia (A) 319,975 9,215 Nokian Renkaat 10,350 531 Outokumpu 69,437 3,102 Pohjola Bank, Cl A 15,240 313 Rautaruukki 11,000 584 Sponda 96,300 1,000 Stora Enso, Cl R 174,000 2,112
SEI Institutional Investments Trust / Annual Report / May 31, 2008 113 SCHEDULE OF INVESTMENTS World Equity Ex-US Fund (Continued) May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- UPM-Kymmene 56,565 $ 1,099 Wartsila, Cl B 14,490 1,023 ------------- 21,892 ------------- FRANCE -- 5.7% Accor 14,975 1,141 Air France-KLM 23,500 628 Air Liquide (A) 8,457 1,242 Alstom 1,012 255 Arkema 7,200 459 Atos Origin* 12,257 723 AXA (A) 122,037 4,306 Beneteau 8,329 217 BNP Paribas (A) 161,605 16,662 Bouygues (A) 88,038 7,181 Capital Gemini 12,900 874 Carrefour 51,100 3,579 Casino Guichard Perrachon 5,565 704 Christian Dior 4,631 559 Cie de Saint-Gobain (A) 19,288 1,554 Cie Generale de Geophysique- Veritas* 24,411 6,554 Ciments Francais 2,702 521 CNP Assurances 9,185 1,129 Compagnie Generale des Etablissements Michelin, Cl B (A) 54,230 4,845 Credit Agricole (A) 153,481 4,057 Dassault Systemes (A) 12,048 805 Electricite de France (A) 9,700 1,049 Eramet 590 592 France Telecom (A) 366,144 11,098 Gaz de France (A) 15,987 1,088 Groupe Danone 37,477 3,277 Lafarge (A) 21,260 3,840 Lagardere S.C.A. 44,995 3,244 L'Oreal 38,005 4,620 Natixis (A) 11,713 178 Nexans 4,200 572 Nexity 1,277 51 PagesJaunes Groupe (A) 47,094 847 Pernod-Ricard 19,800 2,246 Peugeot (A) 89,589 5,569 PPR 806 105 Publicis Groupe 10,700 425 Renault 86,120 8,834 Rhodia 22,900 525 Sanofi-Aventis (A) 172,043 12,809 Schneider Electric 25,825 3,241 SCOR 10,797 273 Sequana Capital 5,081 128 SES Global 29,200 771 SES Global (Paris Exchange) 31,763 839 Societe Generale* (A) 68,632 7,113
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Suez 104,544 $ 7,782 Technip 58,260 5,457 Thales 13,369 834 Total (A) 340,197 29,655 Valeo 4,358 174 Vallourec (A) 13,443 4,160 Veolia Environnement (A) 52,196 3,716 Vilmorin & Cie 13 3 Vivendi 97,491 4,094 Wendel 6,042 859 ------------- 188,063 ------------- GERMANY -- 5.9% Allianz (A) 91,154 17,239 Altana 8,000 151 BASF 135,564 20,303 Bayer 193,179 17,112 Bayerische Motoren Werke 17,234 1,020 Beiersdorf 4,984 392 Commerzbank 76,480 2,697 DaimlerChrysler 143,933 10,942 Deutsche Bank (A) 93,743 10,013 Deutsche Beteiligungs 34,800 972 Deutsche Boerse 11,797 1,691 Deutsche Lufthansa 236,097 6,116 Deutsche Post 69,804 2,218 Deutsche Telekom 292,483 4,891 E.ON 131,754 28,003 Fresenius Medical Care (A) 154,500 8,600 Gildemeister 18,800 650 HeidelbergCement (A) 3,384 579 Henkel 37,484 1,692 Hypo Real Estate Holding (A) 64,108 2,117 Infineon Technologies* 256,200 2,305 K+S 11,362 5,321 KSB 14 10 Lanxess 8,100 365 MAN 16,207 2,525 Muenchener Rueckversicherungs (A) 52,324 9,798 Norddeutsche Affinerie 6,100 293 Q-Cells* 27,140 3,298 Rheinmetall 2,800 222 RWE 66,145 8,541 Salzgitter 19,999 3,925 SAP (A) 18,480 1,020 SGL Carbon* 86,000 6,388 Siemens 9,555 1,083 Suedzucker 33,700 765 ThyssenKrupp 92,996 6,277 TUI (A) 51,200 1,353 Volkswagen 15,000 4,127 ------------- 195,014 -------------
114 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- GREECE -- 0.1% Agricultural Bank of Greece 15,212 $ 60 Alpha Bank 29,890 1,025 Coca-Cola Hellenic Bottling 12,614 573 Hellenic Telecommunications Organization 26,044 729 OPAP 33,615 1,315 Public Power 18,500 704 ------------- 4,406 ------------- HONG KONG -- 2.8% Bank of East Asia 206,100 1,255 Belle International Holdings 52,000 65 BOC Hong Kong Holdings 513,000 1,310 Cheung Kong Holdings 95,000 1,460 China Mobile 1,783,500 26,214 China Netcom Group Hong Kong 266,000 922 China Overseas Land & Investment 156,000 283 China Pharmaceutical Group 1,046,000 462 China Resources Logic 111,200 111 China State Construction International Holdings 442,000 624 CLP Holdings 85,500 772 CNOOC 1,876,000 3,269 Cnpc Hong Kong 1,570,000 825 Cosco Pacific 1,642,000 3,110 Dairy Farm International Holdings 18,000 100 Digital China Holdings 672,000 487 Emperor International Holdings 15,000 6 Esprit Holdings 195,600 2,286 Great Eagle Holdings 429,300 1,348 Guoco Group 88,600 999 Hang Lung Properties 228,000 868 Hang Seng Bank 59,800 1,212 Hong Kong & China Gas 298,540 735 Hongkong & Shanghai Hotels 421,100 733 Hongkong Chinese 310,000 51 Hongkong Electric Holdings 221,500 1,337 Hongkong Land Holdings (A) 1,972,600 9,369 Hopewell Highway Infrastructure 6,500 5 Hopewell Holdings 182,000 771 Hutchison Whampoa 44,000 475 Hysan Development 43,000 123 Industrial and Commercial Bank of China Asia 407,000 1,082 Jardine Matheson Holdings 11,000 358 Jardine Strategic Holdings 26,000 468 Johnson Electric Holdings 20,500 10 K Wah International Holdings 1,013,200 480 Kowloon Development 23,000 52 Lenovo Group 6,832,000 5,016 NWS Holdings 105,000 337 Orient Overseas International 721,900 4,866
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Pacific Andes Holdings (SGD)* 75,000 $ 31 Pacific Basin Shipping 254,000 440 Pacific Century Premium Developments 314,000 113 SEA Holdings 6,000 4 Shanghai Industrial Holdings 80,000 296 Shenzhou International Group Holdings 818,000 240 Shougang Concord International Enterprises 274,000 98 Shun Tak Holdings 435,400 509 Singamas Container Holdings 1,027,500 329 Sinolink Worldwide Holdings 678,000 123 Sun Hung Kai 892,500 796 Sun Hung Kai Properties 356,800 5,734 Swire Pacific, Cl A 280,400 3,200 Texwinca Holdings 8,000 6 Tian An China Investment 899,400 668 Tianjin Development Holdings 16,000 12 TPV Technology 294,000 181 Transport International Holdings 28,800 135 Truly International Holdings 4,000 5 VTech Holdings 4,000 24 Wharf Holdings 913,500 4,565 Wheelock 388,200 1,221 Wing Hang Bank 12,500 190 Wing On International 45,000 87 Yue Yuen Industrial Holdings 51,000 146 ------------- 93,409 ------------- HUNGARY -- 0.2% Magyar Telekom Telecommunications 210,000 1,033 OTP Bank Nyrt 85,841 3,876 Raba Jarmuipari Holding Nyilvanosan Mukodo Reszvenytarsasag* 9,000 105 Tiszai Vegyi Kombinat 8,000 247 ------------- 5,261 ------------- INDIA -- 1.4% Apollo Tyres 101,400 101 Bank of India 139,046 966 Bharat Electronics 17,000 461 Birla 32,250 161 CESC 16,470 192 Container of India 15,480 315 Dalmia Cement Bharat 1,780 12 Dena Bank 11,540 14 Dr Reddys Laboratories 101,231 1,703 GAIL India 1,207 11 Grasim Industries 6,390 334 Great Eastern Shipping 9,680 115
SEI Institutional Investments Trust / Annual Report / May 31, 2008 115 SCHEDULE OF INVESTMENTS World Equity Ex-US Fund (Continued) May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Gujarat Alkalies & Chemicals 53,480 $ 248 Gujarat Flourochemicals 3,780 18 Gujarat Narmada Valley Fertilizers 139,580 503 Gujarat State Fertilisers 75,430 312 Hindalco Industries 148,740 674 Hindustan Zinc 73,746 1,139 ICICI Bank 30,128 560 Indian Bank 124,674 359 Jindal Stainless 126,770 413 JM Financial 1,249 48 JSW Steel 16,810 466 Kesoram Industries 29,960 235 Larsen & Toubro 73,002 5,129 Madras Cements 3,020 191 Mahindra & Mahindra 10,622 148 Maruti Udyog 41,980 754 National Aluminium 59,340 753 Neyveli Lignite 230,000 773 Oil & Natural Gas 72,240 1,472 Pidilite Industries 14,250 49 Reliance Industries GDR (B) 46,870 5,344 Satyam Computer Services 2,220 27 Shipping of India 1,860 12 Siemens India 182,592 2,407 State Bank of India GDR (A) 9,020 646 Steel Authority of India 327,332 1,249 Sterlite Industries India 59,790 1,318 Syndicate Bank 16,560 27 Tata Chemicals 61,320 585 Tata Consultancy Services 6,790 167 Tata Motors 27,205 369 Tata Steel 328,517 6,985 UBS 9,720 983 UCO Bank 7,670 7 Unitech 579,733 3,178 Wockhardt 32,670 229 Zee Entertainment Enterprises 628,693 3,381 ------------- 45,543 ------------- INDONESIA -- 0.5% Astra International 438,000 987 Bank Rakyat Indonesia 5,190,000 3,232 Bumi Resources 9,031,000 7,805 HM Sampoerna* 177,000 228 International Nickel Indonesia 830,000 543 Pt Apexindo Pratama Duta 278,500 59 Telekomunikasi Indonesia 4,858,800 4,225 Timah 128,000 467 ------------- 17,546 -------------
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- IRELAND -- 0.3% Allied Irish Banks 38,000 $ 762 Anglo Irish Bank 66,119 863 CRH 140,068 5,158 Dragon Oil* 51,012 526 Irish Life & Permanent 69,372 1,213 ------------- 8,522 ------------- ISRAEL -- 0.7% Bank Hapoalim 809,793 4,143 Bank Leumi Le-Israel 150,000 824 Bezeq Israeli Telecommunication 1,639,588 3,310 Delek Group 2,800 545 First International Bank of Israel* 32,000 499 Israel Chemicals 95,000 2,191 Migdal Insurance & Financial Holding 22,859 35 Partner Communications 34,000 829 Teva Pharmaceutical Industries ADR 213,940 9,784 Teva Pharmaceutical Industries 24,600 1,129 Union Bank of Israel* 18,000 98 ------------- 23,387 ------------- ITALY -- 1.4% A2A (A) 157,310 638 Banca Intesa 55,867 366 Banca Intesa RNC 80,180 480 Banco Popolare Scarl 134,910 2,702 Buzzi Unicem 11,954 351 CIR-Compagnie Industriali Riunite 43,687 120 Danieli 18,600 770 Edison 67,769 182 Enel 494,803 5,556 ENI 485,639 19,758 Fiat 186,296 4,146 Fondiaria-Sai (A) 10,277 389 IFIL - Investments (A) 51,341 428 Iride 7,693 26 Italcementi 14,429 291 Milano Assicurazioni 9,303 58 Pirelli 39,702 33 Prysmian 25,241 667 Saipem 23,300 1,069 Snam Rete Gas 93,596 621 Telecom Italia (A) 1,855,663 3,840 UniCredito Italiano 430,571 3,007 Unipol Gruppo Finanziario 4,474 12 ------------- 45,510 -------------
116 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- JAPAN -- 11.0% 77 Bank 14,000 $ 88 Acom 14,690 462 Aeon 295,100 4,235 Aichi 3,700 29 Aichi Bank 900 77 Aichi Steel 13,000 66 Aida Engineering 1,000 6 Aioi Insurance 65,000 405 Aisin Seiki 70,600 2,467 Ajinomoto 63,000 611 Akita Bank 3,000 14 All Nippon Airways 71,000 272 Alps Electric 79,100 864 Amada 98,000 897 Anritsu 2,000 6 AOC Holdings 2,300 29 AOKI Holdings 2,900 48 Aoyama Trading 28,500 570 Aozora Bank 100,000 265 Asahi Breweries 41,600 727 Asahi Diamond Industrial 2,000 15 Asahi Glass 63,000 827 Asahi Kasei 103,000 611 Astellas Pharma 42,300 1,787 Atsugi 385,900 523 Autobacs Seven 66,800 1,955 Bank of Ikeda 2,100 64 Belluna 3,850 31 Bridgestone 48,500 827 Canon 80,600 4,345 Cawachi 1,800 53 Central Glass 15,000 62 Central Japan Railway 351 3,424 Chiba Kogyo Bank* 4,100 60 Chiyoda 53,000 562 Chudenko 5,300 92 Circle K Sunkus 18,700 303 Citizen Holdings (A) 108,000 914 CKD 5,200 38 CMK 176,800 1,365 Coca-Cola Central Japan 2 16 Coca-Cola West Holdings (A) 4,700 112 Corona 2,200 31 Cosmo Oil 368,800 1,460 Dai Nippon Printing 75,000 1,146 Daicel Chemical Industries 16,000 100 Daiei* 3,650 27 Daiichikosho 2,700 28 Daimei Telecom Engineering 62,400 635 Dainichiseika Color & Chemicals Manufacturing 8,000 32
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Dainippon Ink and Chemicals 79,000 $ 256 Dainippon Screen Manufacturing 19,000 89 Dainippon Sumitomo Pharma 289,600 2,456 Daishi Bank 22,000 96 Daiwa House Industry 147,000 1,801 DaVinci Advisors* 795 588 Denki Kagaku Kogyo 49,000 201 Denso 12,600 460 East Japan Railway 168 1,295 EDION 35,000 316 Eighteenth Bank 17,000 64 Eizo Nanao 1,900 47 Elpida Memory* (A) 71,000 2,617 Fancl 500 6 Fanuc 24,800 2,690 Fast Retailing 18,800 1,624 Fuji Electric Holdings 67,000 295 Fuji Fire & Marine Insurance 38,000 120 Fuji Heavy Industries 77,000 360 Fuji Machine Manufacturing 8,900 185 FUJIFILM Holdings 76,300 2,804 Fujikura 38,000 170 Fujitsu 644,000 5,210 Fukuda Denshi 1,900 49 Fukuoka Financial Group 104,000 516 Fukuyama Transporting 110,400 409 Furuno Electric 2,600 29 Futaba 3,500 61 Gunze 41,000 205 Hachijuni Bank 42,000 290 Hankyu Holdings 77,000 333 Heiwa 12,000 131 Heiwado 2,400 40 Higashi-Nippon Bank 14,000 60 Higo Bank 20,000 133 HI-LEX 2,200 30 Hino Motors 39,000 260 Hirose Electric 2,200 256 Hitachi 572,900 4,114 Hitachi Cable 41,000 159 Hitachi Capital 1,100 18 Hitachi Chemical 16,900 378 Hitachi Construction Machinery 16,800 579 Hitachi Koki 7,500 127 Hitachi Maxell 8,100 106 Hokkaido Electric Power 14,100 288 Hokuetsu Bank 21,000 52 Honda Motor 171,800 5,745 Hoya 73,900 2,051 Hyakugo Bank 20,000 132 Hyakujushi Bank 19,000 118 Idemitsu Kosan 5,200 557
SEI Institutional Investments Trust / Annual Report / May 31, 2008 117 SCHEDULE OF INVESTMENTS World Equity Ex-US Fund (Continued) May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Inpex Holdings 384 $ 4,837 Itochu 211,000 2,438 Japan Airlines 110,000 247 Japan Digital Laboratory 2,000 28 Japan Petroleum Exploration 7,400 531 Japan Steel Works 544,510 11,297 Japan Tobacco 183 888 JFE Holdings 94,800 5,352 JGC 88,000 1,938 Joshin Denki 50,100 418 JS Group 26,400 450 Kagawa Bank 7,000 44 Kaneka 37,000 269 Kansai Electric Power 75,700 1,667 Kao 16,000 417 Kawasaki Heavy Industries 80,000 247 Kawasaki Kisen Kaisha 112,000 1,236 KDDI 113 782 Keisei Electric Railway 33,000 171 Keyence 11,500 2,743 Kinden 38,000 380 Kirin Holdings 136,000 2,249 Kobe Steel 231,000 759 Komori 25,500 499 Kose 5,200 121 Kubota 58,000 470 Kumagai Gumi 248,500 280 Kuraray 34,500 435 Kyoei Steel 3,000 65 Kyorin 5,000 62 Kyushu Electric Power 60,300 1,280 Leopalace21 50,100 800 Mabuchi Motor 3,800 204 Maeda 14,000 54 Maeda Road Construction 7,000 50 Makita 10,500 442 Mandom 700 18 Marubeni 94,000 837 Matsushita Electric Industrial 171,000 3,888 Mazda Motor 115,000 599 Mediceo Paltac Holdings 13,300 244 Mie Bank 11,000 61 Mikuni Coca-Cola Bottling 4,000 43 Millea Holdings 114,500 4,717 Minato Bank 33,000 66 Mitsubishi 554,400 19,117 Mitsubishi Chemical Holdings 451,000 3,195 Mitsubishi Electric 163,000 1,842 Mitsubishi Estate 7,000 188 Mitsubishi Gas Chemical 146,000 1,094 Mitsubishi Heavy Industries 234,000 1,179 Mitsubishi Materials 108,000 517 Mitsubishi Paper Mills 284,900 715
Market Value Description Shares ($ Thousands) ---------------------------------------------- ------------ ------------- Mitsubishi Rayon 63,000 $ 227 Mitsubishi UFJ Financial Group 637,220 6,508 Mitsui 322,900 7,908 Mitsui Chemicals 273,000 1,565 Mitsui High-Tec 3,300 27 Mitsui Mining & Smelting 62,000 208 Mitsui OSK Lines 323,000 4,868 Mitsui Sumitomo Insurance Group Holdings 8,900 350 Mitsui Trust Holdings 227,000 1,613 Mitsumi Electric 3,700 107 Mizuho Financial Group 308 1,616 Morinaga Milk Industry 1,000 3 Murata Manufacturing 31,800 1,669 N E Chemcat 1,000 18 Nafco 1,100 17 Nagase 5,000 60 NEC 171,000 907 NEC Fielding 300 4 NGK Spark Plug 22,000 273 Nichicon 89,200 767 Nichirei 18,000 83 Nikon 28,000 892 Nintendo 38,815 21,326 Nippo 107,800 590 Nippon Beet Sugar Manufacturing 202,600 478 Nippon Electric Glass 39,600 769 Nippon Konpo Unyu Soko 73,400 943 Nippon Light Metal 47,000 81 Nippon Meat Packers 16,000 211 Nippon Metal Industry 11,000 38 Nippon Mining Holdings 298,600 1,867 Nippon Oil 64,000 462 Nippon Sharyo 54,600 142 Nippon Sheet Glass 72,000 324 Nippon Shokubai 36,000 286 Nippon Soda 11,000 38 Nippon Steel 816,900 5,100 Nippon Steel Trading 8,000 27 Nippon Telegraph & Telephone 1,947 9,443 Nippon Thompson 6,000 44 Nippon Yusen 382,000 3,879 Nishimatsu Construction 26,000 72 Nishi-Nippon City Bank 79,000 260 Nissan Motor 891,400 7,912 Nissan Shatai 4,000 29 Nisshin Oillio Group 4,000 19 Nisshin Steel 113,000 437 Nisshinbo Industries 8,000 103 Nitto Kogyo 3,400 35 NOK 3,700 66 Nomura Holdings 248,800 4,221 Noritake 1,000 4
118 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Market Value Description Shares ($ Thousands) ---------------------------------------------- ------------ ------------- NTT Data 84 $ 347 NTT DoCoMo 940 1,496 Oki Electric Industry, Cl B (A) 202,000 354 Okinawa Cellular Telephone 16 27 Okinawa Electric Power 100 5 Omron 25,800 557 Onward Holdings 10,000 116 ORIX 44,660 8,427 Osaka Gas 117,000 425 Pacific Metals 16,000 139 Pioneer 6,700 58 Plenus 3,800 57 Promise 16,900 540 Rasa Industries 221,300 447 Resona Holdings (A) 489 852 Ricoh 24,000 441 Riso Kagaku 2,200 32 Rohm 11,200 733 Roland 1,700 35 Royal Holdings 3,000 32 Ryobi 14,000 52 Sakai Chemical Industry 1,000 4 San-In Godo Bank 14,000 130 Sankyo 12,300 786 Sanwa Shutter (A) 62,000 247 Sapporo Hokuyo Holdings 122 949 Sazaby League 1,600 30 Seiko Epson 18,300 446 Seiko Holdings 116,100 625 Seino Holdings 74,000 439 Sekisui House 38,000 401 Senshukai 4,100 31 Sharp 201,000 3,503 Shimamura 15,400 1,227 Shin-Etsu Chemical 14,200 893 Shin-Etsu Polymer 6,700 40 Shionogi 13,000 262 Showa 6,800 53 Showa Denko 119,000 363 Showa Shell Sekiyu 90,300 986 Sintokogio 4,500 44 SMC 22,900 2,874 Softbank 424,400 7,482 Sojitz 120,200 458 Sompo Japan Insurance 66,000 712 SRI Sports 5 8 Sumco 5,200 133 Sumitomo 249,400 3,678 Sumitomo Chemical 427,700 3,119 Sumitomo Electric Industries 69,410 895 Sumitomo Metal Mining 69,000 1,156 Sumitomo Mitsui Financial Group 1,758 15,105 Sumitomo Realty & Development 43,000 1,100
Market Value Description Shares ($ Thousands) ---------------------------------------------- ------------ ------------- Sumitomo Rubber Industries 23,500 $ 194 Sumitomo Trust & Banking 112,000 954 Suzuken 8,400 321 Suzuki Motor 76,300 2,111 T&D Holdings 15,500 1,031 Taisho Pharmaceutical 74,000 1,383 Takata 1,900 47 Takeda Pharmaceutical 9,400 544 Takefuji (A) 62,470 1,183 Takeuchi Manufacturing 1,200 32 Tamron 2,300 51 Tanabe Seiyaku 55,000 714 Teijin 96,000 361 Toagosei 474,200 1,806 Toenec 8,000 42 Toho Bank 3,000 13 Tohoku Electric Power 14,800 317 Tokai Rika 38,400 910 Tokuyama 27,000 204 Tokyo Electric Power 164,800 4,011 Tokyo Electron 30,300 2,069 Tokyo Gas 101,900 387 Tokyo Style 3,000 30 Tokyu 66,600 350 Tokyu Land 43,000 308 Toppan Printing 158,000 1,817 Topre 4,000 37 Topy Industries 57,300 178 Toshiba 969,600 8,532 Toshiba TEC 23,000 162 Tosoh 56,000 256 Toyo Seikan Kaisha 41,200 810 Toyoda Gosei 33,900 1,091 Toyota Boshoku 19,700 532 Toyota Industries 21,100 746 Toyota Motor 201,100 10,230 Toyota Tsusho 15,200 370 Trend Micro 67,200 2,349 Trusco Nakayama 2,400 37 TV Asahi 21 33 Unicharm 11,600 818 Uniden 4,000 23 Unipres 3,000 29 UNY 25,000 262 West Japan Railway 149 697 Yachiyo Bank 10 46 Yamada Denki 17,370 1,348 Yamaguchi Financial Group 18,000 262 Yamaha Motor 28,400 577 Yamatane 699,900 1,485 Yamato Holdings 145,700 2,028 Yamato Kogyo 15,900 795 Yamazaki Baking 13,000 137
SEI Institutional Investments Trust / Annual Report / May 31, 2008 119 SCHEDULE OF INVESTMENTS World Equity Ex-US Fund (Continued) May 31, 2008
Market Value Description Shares ($ Thousands) ---------------------------------------------- ------------ ------------- Yodogawa Steel Works 14,000 $ 77 Yokogawa Bridge Holdings 52,800 307 Yurtec 5,000 30 Yutaka Giken 400 9 Zeon 22,000 103 ------------- 364,862 ------------- JERSEY -- 0.0% Meinl European Land* 35,798 471 ------------- MALAYSIA -- 0.2% Affin Holdings 60,600 38 AMMB Holdings 552,000 677 Asiatic Development (Malaysia) 131,000 336 HAP Seng Consolidated 84,000 74 Hong Leong Bank 10,000 20 KFC Holdings Malaysia 50,100 101 Kulim Malaysia 131,000 368 Lion Industries 670,000 594 Multi-Purpose Holdings 57,000 31 Oriental Holdings 22,000 40 Petronas Dagangan 22,000 55 Ranhill 572,000 238 Resorts World 4,616,900 4,644 Southern Steel 24,000 25 Tenaga Nasional 192,000 418 Titan Chemicals 810,000 325 UMW Holdings 107,000 216 ------------- 8,200 ------------- MEXICO -- 1.3% Alfa, Cl A 197,200 1,453 America Movil ADR, Ser L 146,600 8,762 America Movil, Ser L 1,138,800 3,389 Cemex 1,234,400 3,505 Cemex ADR* 166,800 4,744 Coca-Cola Femsa, Ser L 270,200 1,688 Consorcio ARA 905,560 1,012 Controladora Comercial Mexicana 162,200 504 Cydsa 55,800 62 Embotelladoras Arca 151,900 578 Gruma, Ser B, Cl B* 2,600 8 Grupo Aeroportuario del Pacifico, Ser B 70,300 249 Grupo Aeroportuario del Sureste, Ser B 117,500 599 Grupo Carso, Ser A1 333,600 1,482 Grupo Continental 163,500 437 Grupo Financiero Banorte, Ser O (A) 1,064,289 5,158 Grupo Industrial Saltillo 82,700 134 Grupo Lamosa* 40,800 91 Grupo Mexico, Ser B 345,500 2,605
Market Value Description Shares ($ Thousands) ---------------------------------------------- ------------ ------------- Industrias, Ser B* 124,800 $ 640 Telefonos de Mexico ADR (A) 57,300 2,362 Urbi Desarrollos Urbanos* 389,230 1,506 Wal-Mart de Mexico 139,200 606 ------------- 41,574 ------------- NETHERLANDS -- 3.3% Aegon 102,916 1,570 Akzo Nobel 153,148 12,950 Boskalis Westminster 8,036 487 CSM 34 1 European Aeronautic Defense and Space (A) 65,457 1,528 Heineken 41,646 2,444 Heineken Holding 7,198 372 ING Groep 381,155 14,536 Koninklijke Ahold 245,894 3,674 Koninklijke BAM Groep 64,994 1,514 Koninklijke DSM 89,930 5,508 Koninklijke Philips Electronics 11,082 425 Royal Dutch Shell, Cl A (GBP) 166,340 7,068 Royal Dutch Shell, Cl A 510,961 21,793 Royal Dutch Shell, Cl B 388,082 16,145 Royal KPN 130,782 2,378 TNT 21,994 881 Unilever 476,540 15,556 Wolters Kluwer 20,400 574 ------------- 109,404 ------------- NEW ZEALAND -- 0.1% Air New Zealand 211,822 192 Fletcher Building 54,800 343 Telecom Corp of New Zealand 591,500 1,833 Vector 3,300 5 Warehouse Group 7,400 31 ------------- 2,404 ------------- NORWAY -- 0.8% Aker Kvaerner 24,000 677 DnB (A) 190,800 2,745 Norsk Hydro (A) 236,050 3,747 Petroleum Geo-Services (A) 63,250 1,863 Statoil (A) 231,550 8,986 Telenor (A) 111,600 2,422 TGS Nopec Geophysical* 6,600 105 Yara International 75,472 5,724 ------------- 26,269 ------------- PANAMA -- 0.1% Copa Holdings, Cl A 53,900 1,804 -------------
120 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Market Value Description Shares ($ Thousands) ---------------------------------------------- ------------ ------------- PAPUA NEW GUINEA -- 0.0% Oil Search 13,100 $ 77 ------------- PHILIPPINES -- 0.1% JG Summit Holdings 1,055,000 217 Petron 1,059,000 123 Philex Mining 3,069,600 498 Philippine Long Distance Telephone 18,000 1,071 Pilipino Telephone* 563,000 98 San Miguel, Cl B 106,000 93 SM Investments 183,851 1,051 ------------- 3,151 ------------- POLAND -- 0.3% Cyfrowy Polsat* 226,313 1,498 Grupa Lotos 18,000 278 KGHM Polska Miedz 29,400 1,396 Polish Oil & Gas 684,000 1,278 Polski Koncern Naftowy Orlen* 132,200 2,440 Polski Koncern Naftowy Orlen GDR* 10,200 408 Telekomunikacja Polska 213,000 2,011 Zaklady Azotowe Pulawy 2,100 129 ------------- 9,438 ------------- PORTUGAL -- 0.1% Energias de Portugal 281,344 1,772 Portugal Telecom 135,929 1,660 Sonae 116,700 190 Sonae Industria 56,639 330 ------------- 3,952 ------------- RUSSIA -- 3.2% Evraz Group GDR 15,350 1,689 LUKOIL ADR 126,529 14,159 Mechel ADR (A) 87,600 5,048 MMC Norilsk Nickel ADR 273,008 8,029 Mobile Telesystems ADR 52,600 4,608 Novolipetsk Steel GDR 62,941 3,021 Novorossiysk Commercial Sea Port GDR 82,000 1,337 OAO Gazprom ADR 722,680 43,649 Rosneft Oil GDR* (B) 431,031 5,253 Sberbank GDR* (A) 20,567 8,207 Surgutneftegaz ADR 99,500 1,227 Tatneft GDR 16,800 2,688 Uralkali GDR 84,317 5,101 Vimpel-Communications ADR 13,100 462 ------------- 104,478 -------------
Market Value Description Shares ($ Thousands) ---------------------------------------------- ------------ ------------- SINGAPORE -- 0.4% Allgreen Properties 20,000 $ 14 DBS Group Holdings 89,000 1,273 Flextronics International* 5,062 54 Fraser and Neave 86,000 311 Haw Par 13,000 63 Ho Bee Investment 65,000 45 Hong Leong Finance 165,100 453 Hotel Plaza 17,000 23 Jardine Cycle & Carriage 61,300 736 K1 Ventures 76,000 12 Keppel* 113,000 1,004 Kim Eng Holdings 444,700 659 Metro Holdings* 51,000 32 NatSteel 60,000 61 Neptune Orient Lines (A) 567,000 1,688 Oversea-Chinese Banking 23,000 146 SembCorp Industries 26,000 91 Singapore Airlines 28,000 327 Singapore Land 28,000 129 Singapore Petroleum 147,000 744 Singapore Technologies Engineering 169,000 394 Singapore Telecommunications 268,850 751 SP Chemicals 133,500 54 United Industrial 1,000 2 United Overseas Bank 75,000 1,110 UOB-Kay Hian Holdings 143,000 203 UOL Group 27,000 77 Wheelock Properties 72,000 115 Wilmar International (A) 458,000 1,867 ------------- 12,438 ------------- SOUTH AFRICA -- 2.0% Aeci 6,000 53 African Rainbow Minerals 19,000 745 Anglo Platinum 600 104 AngloGold Ashanti 9,900 371 ArcelorMittal 238,647 23,637 ArcelorMittal South Africa 66,000 2,160 Assore 7,600 826 Aveng 114,000 974 Combined Motor Holdings 7,293 7 DataTec 50,000 201 Exxaro Resources 24,000 495 Gold Fields 13,000 166 Group 23,000 458 Harmony Gold Mining* 141,535 1,677 Harmony Gold Mining ADR* (A) 190,300 2,265 Impala Platinum Holdings 94,200 4,010 Liberty Holdings 16,800 469 Metropolitan Holdings 204,000 330 Mvelaphanda Resources* 27,000 224
SEI Institutional Investments Trust / Annual Report / May 31, 2008 121 SCHEDULE OF INVESTMENTS World Equity Ex-US Fund (Continued) May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Palabora Mining 16,000 $ 318 Sanlam 2,565,401 6,482 Sappi 250,969 3,577 Sasol 275,998 17,093 Standard Bank Group 100,311 1,091 ------------- 67,733 ------------- SOUTH KOREA -- 2.9% Asia Cement 1,094 68 Daelim Industrial 17,640 2,115 Daewoo Shipbuilding & Marine Engineering 93,958 4,269 Daou Technology 18,650 135 Doosan* 4,990 1,027 GS Home Shopping 1,514 100 Hana Financial Group 24,100 1,006 Handsome 11,850 146 Hanwha Chemical 45,020 544 Honam Petrochemical 6,000 514 Huchems Fine Chemical 6,260 159 Hynix Semiconductor* 31,500 948 Hyundai Department Store 11,320 1,132 Hyundai Development 79,528 4,856 Hyundai Heavy Industries 20,974 7,635 Hyundai Mipo Dockyard 3,227 755 Hyundai Mobis 22,100 1,970 Industrial Bank of Korea 10,680 192 KCC Engineering & Construction 1,700 82 KISWIRE 600 27 Kookmin Bank ADR 71,863 4,488 Kookmin Bank 5,900 366 Korea Development Financing 4,000 171 Korea Electric Power 79,290 2,567 Korea Fine Chemical 1,500 114 Korea Zinc 970 124 Korean Petrochemical Industries 4,580 201 KT 43,630 1,955 KT&G 29,750 2,582 Kyeryong Construction Industrial 1,080 38 LG 20,980 1,640 LG Chemical 19,390 1,843 LG Electronics 56,950 7,905 LG Philips LCD 140,100 6,189 LG Telecom 76,700 667 LS Cable 4,920 466 Nong Shim Holdings 1,110 75 Ottogi 1,289 193 Pacific 1,393 166 POSCO 1,250 678 Samho International 11,950 217 Samsung Electronics 28,015 20,153 Samsung Electronics GDR (B) 3,984 1,414 Samsung Fire & Marine Insurance 23,324 5,061
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Samsung Heavy Industries 35,020 $ 1,457 Samwhan 3,300 76 SFA Engineering 2,225 164 Shinhan Financial Group 15,873 794 Shinsegae 8,459 4,911 SK Energy 4,982 619 SK Gas 2,600 194 SK Holdings 2,035 320 SK Telecom 74 15 Young Poong 420 192 Youngone 29,750 271 ------------- 95,966 ------------- SPAIN -- 2.2% ACS Actividades Construcciones y Servicios (A) 30,027 1,812 Banco Bilbao Vizcaya Argentaria 444,076 9,889 Banco Santander Central Hispano 951,444 19,798 Cementos Portland Valderrivas 3,466 327 Fomento de Construcciones y Contratas 6,600 456 Gas Natural* 153,830 8,898 Gestevision Telecinco (A) 11,695 182 Iberdrola 498,734 7,192 Iberia Lineas Aereas de Espana 66,471 218 Inditex (A) 18,865 927 Mapfre 324,916 1,757 Repsol 357,176 14,765 Sol Melia 18,200 238 Telefonica 213,585 6,124 Union Fenosa 18,262 1,187 ------------- 73,770 ------------- SWEDEN -- 0.9% Alfa Laval 25,650 1,796 Assa Abloy, Cl B 19,200 333 Atlas Copco, Cl A (A) 40,000 708 Electrolux, Cl B (A) 79,000 1,138 Eniro 17,100 97 Hennes & Mauritz, Cl B (A) 3,700 204 Hexagon, Cl B 25,549 530 Investor, Cl B (A) 37,800 939 Modern Times Group, Cl B 1,500 104 NCC, Cl B 9,390 178 Nordea Bank (A) 211,936 3,441 Oriflame Cosmetics 6,724 477 Saab, Cl B 11,691 327 Skandinaviska Enskilda Banken, Cl A 34,470 781 Skanska, Cl B 18,167 310 SKF, Cl B 57,980 1,086 Ssab Svenskt Stal, Cl A 14,643 507 Ssab Svenskt Stal 15,464 483
122 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Svenska Cellulosa, Cl B 181,021 $ 2,901 Svenska Handelsbanken, Cl A 10,663 297 Swedbank 34,928 862 Swedish Match 118,107 2,513 Tele2, Cl B (A) 138,400 2,956 Telefonaktiebolaget LM Ericsson ADR 2,500 68 Telefonaktiebolaget LM Ericsson, Cl B (A) 1,236,000 3,359 TeliaSonera 85,500 776 Trelleborg, Cl B (A) 17,000 317 Volvo, Cl B 56,850 899 Vostok Gas (SEK)* 22,100 2,087 Wihlborgs Fastigheter 11,923 235 ------------- 30,709 ------------- SWITZERLAND -- 5.3% ABB 403,167 13,067 Addax Petroleum 26,500 1,373 Adecco 25,200 1,434 Baloise Holding 7,000 795 Bobst Group 837 68 Bucher Industries 1,468 384 Ciba Specialty Chemicals 11,150 366 Clariant 30,000 334 Compagnie Financiere Richemont, Cl A 149,106 9,270 Credit Suisse Group 134,321 6,827 Elektrizitaets-Gesellschaft Laufenburg 308 407 Georg Fischer 680 351 Givaudan 546 528 Helvetia Holding* 1,048 416 Holcim 67,308 6,281 Inficon Holding 3,600 620 Lindt & Spruengli 160 505 Logitech International* 11,421 373 Nestle 71,061 34,860 Nobel Biocare Holding 36,470 1,435 Novartis 214,510 11,241 Petroplus Holdings* 10,465 642 Roche Holding 118,543 20,390 Schmolz + Bickenbach 2,058 184 Schweizerische National- Versicherungs-Gesellschaft 32 25 Sika 42 72 STMicroelectronics 75,586 983 Swatch Group 15,736 822 Swiss Life Holding 9,784 2,746 Swiss Reinsurance 162,992 12,628 Swisscom 9,050 3,153 Syngenta 36,503 11,093
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- UBS* 72,295 $ 1,737 Xstrata 266,508 21,009 Zurich Financial Services 25,866 7,570 ------------- 173,989 ------------- TAIWAN -- 2.5% Acer 413,105 857 Advanced Semiconductor Engineering 6,395,843 6,711 Asustek Computer 1,089,171 3,143 AU Optronics 1,744,980 3,352 Cathay Financial Holding* 1,931,000 4,935 Cheng Shin Rubber Industry* 150,000 257 Chi Mei Optoelectronics* 1,329,000 1,812 China Bills Finance* 700,000 189 China Development Financial Holding* 3,479,350 1,482 China Petrochemical Development* 910,000 552 China Steel 1,537,330 2,630 Chinatrust Financial Holding 4,923,600 5,020 Chunghwa Picture Tubes* 3,508,000 1,177 Chunghwa Telecom 1,175,545 2,915 Compal Electronics 1,398,605 1,555 CTCI 286,000 246 Delta Electronics* 746,000 2,130 Eastern Media International 542,000 216 Evergreen Marine Taiwan 611,000 538 Far EasTone Telecommunications* 250,000 434 Farglory Land Development 319,000 1,154 Formosa Chemicals & Fibre 252,000 601 Formosa Plastics 165,000 466 Gigabyte Technology 166,000 145 Global Brands Manufacture 144,000 173 HannStar Display 2,461,000 1,069 High Tech Computer GDR 8,530 908 HON HAI Precision Industry 877,058 4,962 HON HAI Precision Industry GDR 31,744 359 Inventec* 843,000 521 LEE Chang Yung Chemical 20,973 28 Lite-On Technology 503,221 596 Macronix International 1,083,719 517 MediaTek 393,950 4,924 Micro-Star International 207,000 157 Mitac International 632,000 542 Nan Ya Plastics 449,000 1,041 Qisda 432,000 387 Quanta Computer 884,980 1,397 Siliconware Precision Industries 2,453,133 4,115 Taiwan Cooperative Bank 759,000 828 Taiwan Semiconductor Manufacturing* 871,395 1,880 Taiwan Semiconductor Manufacturing ADR (A) 737,502 8,443
SEI Institutional Investments Trust / Annual Report / May 31, 2008 123 SCHEDULE OF INVESTMENTS World Equity Ex-US Fund (Continued) May 31, 2008
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Tang Eng Iron Works* 114,000 $ 120 Tatung* 2,066,000 1,155 Teco Electric and Machinery* 995,000 591 Tung Ho Steel Enterprise 274,000 572 U-Ming Marine Transport 17,000 55 United Microelectronics 564,141 351 Universal Scientific Industrial* 478,000 314 UPC Technology 370,000 265 Walsin Lihwa 987,000 445 Walsin Technology* 274,000 171 Wan Hai Lines 598,000 533 Wistron 241,657 413 Yang Ming Marine Transport 703,575 538 ------------- 80,887 ------------- THAILAND -- 0.5% Bangkok Bank NVDR 397,000 1,625 CalComp Electronics Thailand NVDR 589,200 98 Krung Thai Bank NVDR 440,000 121 PTT 537,300 5,555 PTT Chemical 101,000 342 PTT Exploration & Production 201,000 1,157 PTT NVDR 210,700 2,179 Siam Commercial Bank 1,694,500 4,693 Thai Airways International NVDR 368,200 265 Thai Oil 484,100 953 Thai Rayon 72,000 130 ------------- 17,118 ------------- TURKEY -- 0.3% Aygaz 42,000 146 Bossa Ticaret Sanayi Isletme 60,000 62 Eregli Demir ve Celik Fabrikalari 10,889 70 Haci Omer Sabanci Holding 1,263,363 4,807 KOC Holding* 391,000 1,103 Petrol Ofisi* 102,000 485 Turk Hava Yollari* 52,000 281 Turk Sise ve Cam Fabrikalari 255,568 356 Turkcell Iletisim Hizmet 207,000 1,630 ------------- 8,940 ------------- UNITED KINGDOM -- 9.3% 3i Group 38,694 677 Alliance & Leicester (A) 65,750 553 Amec 531,247 8,761 Anglo American 288,546 19,497 Antofagasta 165,889 2,260 ARM Holdings 48,741 99 Arriva 2,102 27 Associated British Foods 150,000 2,554 AstraZeneca (SEK) 8,850 388 AstraZeneca 52,091 2,270
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------ ------------- Autonomy* 254,530 $ 4,459 Aviva 348,833 4,345 BAE Systems 1,756,195 15,730 Balfour Beatty 8,818 75 Barclays 595,187 4,411 Barratt Developments 33,307 120 BG Group 66,084 1,653 BHP Billiton 629,403 23,808 BP 2,151,040 25,845 British American Tobacco 230,852 8,613 British Energy Group 395,648 5,739 British Land++ 33,435 529 BT Group, Cl A 668,750 2,934 Cairn Energy* 11,900 792 Centrica 607,470 3,526 Charter 59,717 1,070 Chaucer Holdings 567,900 1,002 Close Brothers Group 4,933 56 Colt Telecom Group* 29,009 98 Cookson Group 29,772 430 CSR* 11,651 73 Daily Mail & General Trust, Cl A 42,433 341 Dairy Crest Group 228,000 1,850 Dana Petroleum* 4,441 161 Diageo 67,816 1,320 Enterprise Inns 24,874 230 GlaxoSmithKline 471,377 10,373 Hays 79,082 160 HBOS 1,015,777 8,030 Home Retail Group 529,689 2,452 HSBC Holdings 943,062 15,887 Imperial Tobacco Group 71,697 2,869 Investec 45,615 316 Johnsom Matthey 24,502 976 Kazakhmys 60,836 2,032 Land Securities Group++ 15,777 440 Legal & General Group 958,196 2,269 Lloyds TSB Group 205,372 1,558 LogicaCMG 167,809 403 Marks & Spencer Group 170,503 1,280 Mitchells & Butlers 94,951 610 Mondi 72,969 519 National Express Group 3,891 70 National Grid 251,300 3,705 Next 19,627 449 Old Mutual 1,635,992 3,783 Pearson 8,197 111 Persimmon 93,100 886 Premier Foods 224,900 552 Punch Taverns 109,460 1,200 QinetiQ 37,581 154 Reckitt Benckiser Group 37,618 2,211 Rio Tinto 157,757 18,877
124 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Royal & Sun Alliance Insurance Group 535,187 $ 1,450 Royal Bank of Scotland Group 2,840,385 12,826 SABMiller 298,285 7,663 Scottish & Southern Energy 98,621 2,869 St. Ives Group 29,800 120 Standard Chartered 113,984 4,225 Taylor Woodrow 194,107 326 Tesco 347,100 2,840 Thomas Cook Group 51,313 251 Trinity Mirror 24,416 110 Tui Travel 13,277 64 Tullow Oil 7,965 137 Unilever 74,290 2,453 United Business Media 22,462 273 United Utilities 162,421 2,403 Vedanta Resources 12,640 625 Vodafone Group 11,855,613 38,014 Wolseley 12,500 136 WPP Group 15,585 188 Yell Group (A) 197,000 492 ------------- 305,933 ------------- Total Common Stock (Cost $2,454,479) ($ Thousands) 2,710,540 ------------- MORTGAGE-BACKED SECURITIES -- 8.2% AGENCY MORTGAGE-BACKED OBLIGATIONS -- 6.6% FHLMC ARM 5.804%, 01/01/37 (G) $ 12,875 13,225 4.898%, 12/01/35 1,928 1,950 FHLMC CMO STRIPS, Ser 232, Cl IO, IO 5.000%, 08/01/35 11,594 2,918 FHLMC CMO STRIPS, Ser 233, Cl 12, IO 5.000%, 09/15/35 1,406 322 FHLMC CMO STRIPS, Ser 245, Cl IO, IO 5.000%, 05/15/37 1,129 296 FHLMC CMO, Ser 3334, Cl MA 5.000%, 06/15/27 1,457 1,476 FHLMC TBA 6.000%, 06/01/15 24,000 24,623 FNMA CMO STRIPS, Ser 10, Cl FD 2.743%, 06/25/08 (D) 1,234 1,198 FNMA CMO STRIPS, Ser 359, Cl 6, IO 5.000%, 11/01/35 634 141
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- FNMA CMO STRIPS, Ser 360, Cl 2, IO 5.000%, 08/01/35 $ 8,653 $ 2,176 FNMA CMO, Ser 2008-22, Cl KA 5.500%, 06/25/21 1,902 1,925 FNMA TBA 6.000%, 06/17/19 to 06/01/37 127,000 130,134 5.000%, 06/17/21 to 07/15/37 31,000 31,941 GNMA ARM 6.500%, 06/20/34 (G) 262 267 6.000%, 07/20/08 (D) 259 263 5.625%, 07/20/08 (D) (G) 328 329 5.500%, 07/20/08 (D) 1,176 1,189 5.250%, 08/20/34 (G) 122 123 5.000%, 07/20/08 (D) (G) 613 616 4.750%, 12/20/33 (G) 1,668 1,673 4.000%, 07/20/08 (D) (G) 262 262 ------------- 217,047 ------------- NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 1.6% Adjustable Rate Mortgage Trust, Ser 2005-5, Cl 1A1 5.325%, 07/25/08 (D) 860 789 American Home Mortgage Investment Trust, Ser 2004-3, Cl 2A 3.998%, 09/01/08 (D) 2,186 1,913 American Home Mortgage Investment Trust, Ser 2005-1, Cl 6A 5.294%, 07/25/08 (D) 3,647 3,227 American Home Mortgage Investment Trust, Ser 2005-4, Cl 5A 5.350%, 07/25/08 (D) 3,020 2,599 American Home Mortgage Investment Trust, Ser 2006-1, Cl 2A3 5.100%, 07/25/08 (D) 1,253 1,059 Banc of America Commercial Mortgage, Ser 2006-2, Cl A1 5.611%, 05/10/45 835 843 Banc of America Funding, Ser 2006-A, Cl 2A2 5.574%, 07/20/08 (D) 149 133 Bear Stearns Alt-A Trust, Ser 2004-12, Cl 2A2 6.837%, 07/25/08 (D) 794 732 Citigroup Mortgage Loan Trust, Ser 2007-AR5, Cl 1A2A 5.609%, 07/25/08 (D) 2,384 1,890 Countrywide Alternative Loan Trust, Ser 2004-33, Cl 1A1 6.738%, 07/25/08 (D) 364 301
SEI Institutional Investments Trust / Annual Report / May 31, 2008 125 SCHEDULE OF INVESTMENTS World Equity Ex-US Fund (Continued) May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Countrywide Alternative Loan Trust, Ser 2005-69, Cl M3 3.543%, 06/27/08 (D) $ 220 $ 33 Countrywide Alternative Loan Trust, Ser 2005-IM1, Cl M3 4.393%, 06/27/08 (D) 380 57 Countrywide Alternative Loan Trust, Ser 2006-OA11, Cl M3 2.823%, 06/30/08 (D) 450 87 Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2004-22, Cl A1 5.094%, 07/25/08 (D) 540 519 Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2006-HYB2, Cl 1A1 4.995%, 07/20/08 (D) 1,448 1,288 Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2007-HYB1, Cl 1A1 5.555%, 07/25/08 (D) 1,292 1,209 Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2007-HYB2, Cl 3A1 5.455%, 07/25/08 (D) 888 679 Deutsche ALT-A Securities Alternate Loan Trust, Ser 2006-AB3, Cl A1 6.250%, 07/25/08 (D) 707 648 DSLA Mortgage Loan Trust, Ser 2004-AR4, Cl B1 3.098%, 06/19/08 (D) 256 206 DSLA Mortgage Loan Trust, Ser 2006-AR1, Cl M4 3.238%, 06/19/08 (D) 250 43 DSLA Mortgage Loan Trust, Ser 2006-AR1, Cl M7 4.247%, 06/19/08 (D) 150 15 DSLA Mortgage Loan Trust, Ser 2006-AR1, Cl M5 3.308%, 06/19/08 (D) 150 23 First Horizon Alternative Mortgage Securities, Ser 2006-AA6, Cl 2A1 5.637%, 07/25/08 (D) 4,298 3,229 First Horizon Asset Securities, Ser 2006-AR3, Cl 1A1 5.670%, 07/25/08 (D) 1,311 1,264 Greenpoint Mortgage Funding Trust, Ser 2006-AR1, Cl M3 2.963%, 06/27/08 (D) 350 88 GS Mortgage Securities, Ser 2007-GG10, Cl A4 5.799%, 07/10/08 (D) 1,300 1,283
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Indymac Index Mortgage Loan Trust, Ser 2004-AR6, Cl 1A 7.025%, 07/25/08 (D) $ 87 $ 87 Indymac Index Mortgage Loan Trust, Ser 2006-AR11, Cl 4A1 5.777%, 07/25/08 (D) 1,934 1,576 JPMorgan Chase Commercial Mortgage Securities, Ser 2006-CB17, Cl A4 5.429%, 12/12/43 1,800 1,759 Lehman Mortgage Trust, Ser 2006-4, Cl 4A1 6.000%, 08/25/21 3,199 2,963 Master Adjustable Rate Mortgages Trust, Ser 2004-6, Cl 2A1 5.895%, 07/25/08 (D) 836 829 Master Adjustable Rate Mortgages Trust, Ser 2005-2, Cl 3A1 6.553%, 07/25/08 (D) 921 850 Merrill Lynch Mortgage Trust, Ser 2006-1, Cl 1A 5.304%, 07/25/08 (D) 1,560 1,475 Morgan Stanley Mortgage Loan Trust, Ser 2007-11AR, Cl 2A5 5.994%, 07/25/08 (D) 914 623 Morgan Stanley Mortgage Loan Trust, Ser 2007-14AR, Cl 6A1 6.487%, 07/25/08 (D) 3,058 2,365 Nomura Asset Acceptance, Ser 2004-R1, Cl A1 6.500%, 03/25/34 (B) 301 305 Nomura Asset Acceptance, Ser 2004-R2, Cl A1 6.500%, 07/25/08 (B) (D) 356 360 Nomura Asset Acceptance, Ser 2007-1, Cl 1A1A 5.995%, 06/09/08 (H) 1,549 1,488 Residential Accredit Loans, Ser 2005-QA3, Cl NB2 5.219%, 07/25/08 (D) 1,423 1,413 Residential Accredit Loans, Ser 2005-QO5, Cl M3 3.193%, 06/25/08 (D) 348 70 Residential Accredit Loans, Ser 2006-QO1, Cl 2A3 2.792%, 06/27/08 (D) 260 126 Residential Asset Securitization Trust, Ser 2004-IP2, Cl 3A1 5.235%, 07/25/08 (D) 1,099 1,101 Structured Adjustable Rate Mortgage Loan Trust, Ser 2005-16XS, Cl M2 3.292%, 06/25/08 (D) 20 25 Structured Adjustable Rate Mortgage Loan Trust, Ser 2006-3, Cl 2A1 5.967%, 07/25/08 (D) 4,453 3,469
126 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Face Amount ($ Thousands) Market Value Description /Shares ($ Thousands) ------------------------------------------------- ------------- ------------- Structured Adjustable Rate Mortgage Loan Trust, Ser 2007-9, Cl 2A1 5.998%, 07/25/08 (D) $ 1,842 $ 1,424 Structured Asset Securities, Ser 2006-NC1, Cl A4 2.543%, 06/25/08 (D) 300 235 Washington Mutual Alternative Mortgage Pass-Through Certificates, Ser 2007-HY2, Cl 1A1 5.776%, 07/25/08 (D) 1,760 1,350 Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-HY4, Cl 1A1 5.552%, 07/25/08 (D) 3,350 3,195 Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-HY6, Cl 1A1 5.674%, 07/25/08 (D) 2,599 2,375 Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-I, Cl B1 6.500%, 07/25/08 (D) 74 74 ------------- 53,694 ------------- Total Mortgage-Backed Securities (Cost $281,397) ($ Thousands) 270,741 ------------- PREFERRED STOCK -- 2.2% AUSTRALIA -- 0.0% News 2,988 55 ------------- BRAZIL -- 2.0% Banco Bradesco 279,000 6,710 Banco Itau Holding Financeira 154,100 4,725 Brasil Telecom 79,600 970 Centrais Eletricas de Santa Catarina 11,700 337 Cia de Transmissao de Energia Eletrica Paulista 40,000 1,153 Cia Energetica de Minas Gerais 53,051 1,249 Cia Paranaense de Energia 82,000 1,491 Cia Vale do Rio Doce, Cl A 341,100 11,341 Construtora Sultepa 600 2 Eletropaulo Metropolitana Eletricidade de Sao Paulo 80 2 Fertilizantes Fosfatados 25,000 1,838 Gerdau 4,800 239 Industrias J B Duarte 1,200 -- Inepar Industria e Construcoes* 1,400 42 Mangels Industrial* 5,400 56 NET Servicos de Comunicacao* 384,000 5,475 Petroleo Brasileiro 497,500 15,038 Tam 238,042 5,146 Telecomunicacoes de Sao Paulo 26,700 755 Telegraph Norte Leste Participacoes 62,800 1,644
Shares/ Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Telemar Norte Leste 27,000 $ 1,573 Telemig Celular Participacoes 18,000 541 Universo Online 13,800 78 Usinas Siderurgicas de Minas Gerais, Cl A 73,500 3,953 Votorantim Celulose e Papel 8,400 283 ------------- 64,641 ------------- GERMANY -- 0.1% Bayerische Motoren Werke 5,766 273 Porsche Automobil Holding 5,370 999 RWE 1,987 210 Volkswagen 7,561 1,145 ------------- 2,627 ------------- INDIA -- 0.0% Tata Steel* 204,967 662 ------------- ITALY -- 0.0% Istituto Finanziario Industriale* 29,182 820 Unipol Gruppo Finanziario 47,789 108 ------------- 928 ------------- SOUTH KOREA -- 0.1% Hyundai Motor (Second Preferred) 21,220 745 Samsung Electronics 1,000 511 ------------- 1,256 ------------- Total Preferred Stock (Cost $50,256) ($ Thousands) 70,169 ------------- ASSET-BACKED SECURITIES -- 0.7% MORTGAGE RELATED SECURITIES -- 0.7% Aames Mortgage Investment Trust, Ser 2005-4, Cl B2 5.142%, 06/25/08 (D) $ 150 5 ACE Securities, Ser 2003-NC1, Cl M 3.173%, 06/25/08 (D) 650 517 ACE Securities, Ser 2003-OP1, Cl M1 3.093%, 06/26/08 (D) 300 240 Aegis Asset-Backed Securities Trust, Ser 2003-3, Cl M1 3.093%, 06/25/08 (D) 38 31 Ameriquest Mortgage Securities, Ser 2003-2, Cl M1 3.742%, 06/25/08 (D) 454 359 Argent Securities, Ser 2003-W5, Cl M1 3.093%, 06/25/08 (D) 250 214 Argent Securities, Ser 2003-W9, Cl M1 3.083%, 06/26/08 (D) 369 293
SEI Institutional Investments Trust / Annual Report / May 31, 2008 127 SCHEDULE OF INVESTMENTS World Equity Ex-US Fund (Continued) May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Asset-Backed Securities Home Equity, Ser 2003-HE5, Cl M1 3.639%, 06/16/08 (D) $ 456 $ 395 Citigroup Mortgage Loan Trust, Ser 2007-AMC2, Cl A3A 2.473%, 06/25/08 (D) 1,340 1,243 Countrywide Asset-Backed Certificates, Ser 2003-5, Cl MV2 3.993%, 06/25/08 (D) 274 188 Countrywide Asset-Backed Certificates, Ser 2005-15, Cl 1AF1 2.532%, 06/25/08 (D) 102 102 Credit Suisse Asset-Backed Mortgage-Backed Trust, Ser 2006-1, Cl A1B 2.612%, 06/26/08 (D) 153 151 Credit Suisse Asset-Backed Mortgage-Backed Trust, Ser 2007-1, Cl 1A1A 5.898%, 07/25/08 (D) 3,30 3,205 First Franklin Mortgage Loan Asset-Backed Certificates, Ser 2005-FF9, Cl A3 2.673%, 06/25/08 (D) 1,200 1,144 GSAA Home Equity NIM Trust, Ser 2006-2, Cl 2A1 2.492%, 06/27/08 (D) 738 728 GSAMP NIM Trust, Ser 2006-HE3, Cl N1 5.500%, 05/25/36 (B) 62 -- Home Equity Asset NIM Trust, Ser 2003-4, Cl M2 4.793%, 06/25/08 (D) 270 223 Home Equity Asset Trust, Ser 2006-5, Cl 2A3 2.543%, 06/26/08 (D) 250 213 Lehman XS Trust, Ser 2005-5N, Cl M4 4.142%, 06/30/08 (D) 57 86 Lehman XS Trust, Ser 2005-7N, Cl M7I 4.142%, 06/27/08 (D) 33 50 Master Asset-Backed Securities Trust, Ser 2006-AB1, Cl A1 2.532%, 06/27/08 (D) 870 860 Merrill Lynch Mortgage Investors, Ser 2003-HE1, Cl M2 4.043%, 06/25/08 (D) 54 34 Morgan Stanley ABS Capital I, Ser 2003-NC10, Cl M1 3.413%, 06/27/08 (D) 621 524
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Morgan Stanley ABS Capital I, Ser 2005-HE6, Cl A2C 2.713%, 06/25/08 (D) $ 1,600 $ 1,510 New Century Home Equity Loan Trust, Ser 2005-A, Cl A2 4.461%, 06/25/08 (H) 307 304 Novastar Home Equity Loan, Ser 2007-1, Cl A2A1 2.493%, 06/30/08 (D) 2,426 2,308 Option One Mortgage Loan Trust, Ser 2003-5, Cl M1 3.043%, 06/25/08 (D) 166 131 Option One Mortgage Loan Trust, Ser 2006-1, Cl M11 4.893%, 06/27/08 (B) (D) 150 5 Residential Asset Mortgage Products, Ser 2003-RS11, Cl MII1 3.488%, 06/25/08 (D) 54 42 Residential Asset Mortgage Products, Ser 2006-RZ1, Cl A1 2.473%, 06/27/08 (D) 228 228 Resmae Mortgage Loan Trust, Ser 2006-1, Cl A2A 2.492%, 06/25/08 (B) (D) 537 528 Resmae Mortgage Loan Trust, Ser 2006-1, Cl A2B 2.543%, 06/25/08 (B) (D) 1,500 1,299 Securitized Asset-Backed Receivables LLC Trust, Ser 2005-HE1, Cl A3C 2.723%, 06/25/08 (D) 400 371 Structured Asset Investment Loan Trust, Ser 2003-BC4, Cl M2 5.393%, 06/25/08 (D) 223 185 Structured Asset Investment Loan Trust, Ser 2005-1, Cl A4 2.622%, 06/25/08 (B) (D) 17 17 Structured Asset Securities, Ser 2007-BC1, Cl A4 2.523%, 06/25/08 (D) 1,350 965 Structured Asset Securities, Ser 2007-GEL2, Cl A1 2.543%, 06/25/08 (B) (D) 3,075 2,769 Terwin Mortgage Trust, Ser 2006-5, Cl 1A2A 2.473%, 06/26/08 (B) (D) 1,302 943 Terwin Mortgage Trust, Ser 2006-6, Cl 2A1 4.500%, 06/25/36 267 19 ------------- Total Asset-Backed Securities (Cost $26,008) ($ Thousands) 22,429 -------------
128 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.4% (C) FHLMC DN 2.136%, 09/02/08 $ 100 $ 99 2.127%, 08/25/08 (F) 500 497 2.131%, 10/14/08 (F) 1,000 992 2.106%, 06/27/08 2,775 2,771 2.103%, 09/29/08 (F) 150 149 2.102%, 11/03/08 6,649 6,586 2.094%, 07/11/08 (F) 225 224 2.081%, 06/23/08 (F) 300 300 2.052%, 06/06/08 (F) 125 125 FNMA DN 2.102%, 11/05/08 (F) 850 842 2.084%, 11/07/08 975 965 2.081%, 09/24/08 225 223 ------------- Total U.S. Government Agency Obligations (Cost $13,779) ($ Thousands) 13,773 ------------- CORPORATE OBLIGATIONS -- 0.0% (B) UNITED STATES -- 0.0% Discover Financial Services 6.450%, 06/12/17 175 152 Shinsei Finance Cayman 6.418%, 07/20/08 (A)(D) 545 376 Washington Mutual Preferred Funding Delaware 6.534%, 06/15/08(D) 600 348 ------------- Total Corporate Obligations (Cost $1,319) ($ Thousands) 876 -------------
Number of Rights ------------- RIGHTS -- 0.0% DENMARK -- 0.0% Carlsberg, Expires 06/10/08* 7 146 ------------- HONG KONG -- 0.0% Hongkong Chinese, Expires 06/23/08* 109 4 ------------- SOUTH KOREA -- 0.0% Hanwha Chemical, Expires 06/18/08* 14 47 ------------- SWITZERLAND -- 0.0% UBS AG, Expires 06/12/08* 68 90 ------------- UNITED KINGDOM -- 0.0% Royal Bank of Scotland, Expires 06/06/08* 561 311 ------------- Total Rights (Cost $173) ($ Thousands) 598 -------------
Contracts/ Shares/ Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- PURCHASED OPTION -- 0.0% UNITED STATES -- 0.0% July 2008 U.S. Ten Year Treasury Call, Expires 06/21/08 Strike Price $95* 49 $ 281 ------------- Total Purchased Option (Cost $21) ($ Thousands) 281 ------------- EXCHANGE TRADED FUND -- 0.0% UNITED STATES -- 0.0% iShares MSCI EAFE Index Fund* 300 23 ------------- Total Exchange Traded Fund (Cost $23) ($ Thousands) 23 ------------- EQUITY-LINKED WARRANTS -- 0.0% HONG KONG -- 0.0% China Overseas Land, Expires 08/29/08* 127,500 27 China State Construction International Holdings, Expires 2009* 8,997 1 ------------- Total Equity-Linked Warrants (Cost $0) ($ Thousands) 28 ------------- CONVERTIBLE BOND -- 0.0% NETHERLANDS -- 0.0% ABN Amro Bank CV to 31.4465 0.500%, 09/28/10 $ 64 98 ------------- Total Convertible Bond (Cost $97) ($ Thousands) 98 ------------- U.S. TREASURY OBLIGATIONS -- 0.7% U.S. Treasury Bills (C) (F) 0.732%, 06/19/08 450 450 1.823%, 08/21/08 16,706 16,637 U.S. Treasury Inflationary Protection Security 2.375%, 04/15/11 (A) 4,407 4,634 3.000%, 07/15/12 1,780 1,936 ------------- Total U.S. Treasury Obligations (Cost $23,606) ($ Thousands) 23,657 -------------
SEI Institutional Investments Trust / Annual Report / May 31, 2008 129 SCHEDULE OF INVESTMENTS World Equity Ex-US Fund (Continued) May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- COMMERCIAL PAPER -- 2.3% (C) American Express Credit 2.244%, 06/26/08 $ 3,500 $ 3,495 Goldman Sachs 2.401%, 06/04/08 5,000 4,999 HSBC Finance 2.154%, 06/12/08 8,000 7,995 JPMorgan Chase 2.270%, 06/02/08 8,500 8,499 Mitsubishi International 2.184%, 06/11/08 6,850 6,846 Mitsui & USA 2.153%, 06/12/08 9,000 8,994 NSTAR Electric 2.052%, 06/05/08 4,000 3,999 Prudential Funding LLC 2.143%, 06/05/08 10,000 9,998 Rabobank USA Financial 2.370%, 06/02/08 7,000 7,000 Sumitomo Life America 2.484%, 06/18/08 5,700 5,693 Toyota Motor Credit 2.205%, 06/12/08 7,000 6,995 ------------- Total Commercial Paper (Cost $74,513) ($ Thousands) 74,513 -------------
Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------- ------------- AFFILIATED PARTNERSHIP -- 5.3% SEI Liquidity Fund, L.P., 2.810% (E)**+ 176,122,249 $ 176,122 ------------- Total Affiliated Partnership (Cost $176,122) ($ Thousands) 176,122 ------------- CASH EQUIVALENT -- 4.8% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 2.460%**+ 157,046,523 157,047 ------------- Total Cash Equivalent (Cost $157,047) ($ Thousands) 157,047 ------------- Total Investments -- 106.7% (Cost $3,258,840) ($ Thousands) $ 3,520,895 =============
A summary of outstanding swap agreements held by the Fund at May 31, 2008, is as follows (See Note 2 in Notes to Financial Statements): TOTAL RETURN SWAPS
NET NOTIONAL UNREALIZED REFERENCE TERMINATION AMOUNT APPRECIATION COUNTERPARTY ENTITY/OBLIGATION FUND PAYS FUND RECEIVES DATE (THOUSANDS) ($ THOUSANDS) ------------------- ------------------- --------------- -------------------- ----------- ----------- ------------- Bank of America BAS AAA 10YR Negative Spread Initial Index Spread 07/31/08 22,000 $ 369 CMBS Daily Index Return Minus 35 bp Bank of America BAS AAA 10YR Negative Spread Initial Index Spread 08/30/08 10,000 168 CMBS Daily Index Return Minus 25 bp Bank of America BAS AAA 10YR Negative Spread Initial Index Spread 08/30/08 15,000 251 CMBS Daily Index Return Minus 50 bp Bank of America BAS AAA 10YR Negative Spread Initial Index Spread 08/30/08 10,000 168 CMBS Daily Index Return Minus 75 bp Bank of America BAS AAA 10YR Negative Spread Initial Index Spread 10/01/08 15,000 251 CMBS Daily Index Return Plus 29 bp Bank of America BAS AAA 10YR Negative Spread Initial Index Spread 09/30/08 5,000 84 CMBS Daily Index Return Plus 25 bp Bank of America BAS AAA 10YR Negative Spread Initial Index Spread 09/30/08 13,000 218 CMBS Daily Index Return Plus 0 bp Bank of America BAS AAA 10YR Negative Spread Initial Index Spread 10/31/08 10,000 168 CMBS Daily Index Return Minus 10 bp Barclays Bank PLC BAS AAA 10YR Negative Spread Initial Index Spread 08/31/08 23,000 386 CMBS Daily Index Return Plus 0 bp Goldman Sachs BAS AAA 10YR Negative Spread Initial Index Spread 08/30/08 10,000 168 CMBS Daily Index Return Minus 50 bp JPMorgan Chase Bank BAS AAA 10YR Negative Spread Initial Index Spread 09/30/08 10,000 168 CMBS Daily Index Return Plus 50 bp JPMorgan Chase Bank BAS AAA 10YR Negative Spread Initial Index Spread 09/30/08 10,000 168 CMBS Daily Index Return Plus 0 bp JPMorgan Chase Bank BAS AAA 10YR Negative Spread Initial Index Spread 10/31/08 6,000 101 CMBS Daily Index Return Minus 70 bp Wachovia BAS AAA 10YR Negative Spread Initial Index Spread 07/31/08 15,000 251 CMBS Daily Index Return Minus 65 bp Bear Stearns MSCI Daily TR net 3 month LIBOR Price Return 08/06/08 14,853 203 EAFE USD Market minus 23 bp Index JPMorgan Chase Bank MSCI Daily TR net 3 month LIBOR Price Return 03/19/09 21,163 2,047 EAFE USD Market minus 42 bp Index JPMorgan Chase Bank MSCI Daily TR net 3 month LIBOR Price Return 06/30/08 18,655 1,125 EAFE USD Market minus 22 bp Index JPMorgan Chase Bank MSCI Daily TR net 3 month LIBOR Price Return 09/01/08 13,172 876 EAFE USD Market minus 35 bp Index Goldman Sachs MSCI Daily TR net 3 month LIBOR Price Return 04/07/09 16,895 1,628 Japan USD Market plus 10 bp Index JPMorgan Chase Bank Swiss Market Index 3 month CHF Price Return 01/21/09 CHF 13,412 151 LIBOR plus 47 bp ------ $8,949 ======
130 SEI Institutional Investments Trust / Annual Report / May 31, 2008 CREDIT DEFAULT SWAPS
NET UNREALIZED NOTIONAL APPRECIATION BUY/SELL (PAYS)/ TERMINATION AMOUNT (DEPRECIATION) COUNTERPARTY REFERENCE ENTITY/OBLIGATION PROTECTION RECEIVES RATE DATE (THOUSANDS) ($ THOUSANDS) ------------ ------------------------------------------ ---------- ------------- ----------- ----------- -------------- Barclays Bank Plc ABX.HE.AAA 06-1 Index Sell 0.18% 07/25/45 1,200.00 $ (3) Barclays Bank Plc ABX.HE.AAA 06-1 Index Sell 0.18 07/25/45 2,400.00 (8) Credit Suisse ABX.HE.AAA 06-1 Index Sell 0.18 07/25/45 13,500.00 310 Credit Suisse ABX.HE.AAA 06-1 Index Sell 0.18 07/25/45 2,300.00 (15) Bank of America Alcan Inc., 4.875%, 09/15/2012 Buy (0.35) 12/20/13 1,000.00 (2) Bank of America Alcan Inc., 4.875%, 09/15/2012 Buy (0.32) 03/20/14 850.00 (1) Bank of America Autozone Inc., 5.875%, 10/15/2012 Buy (0.44) 12/20/11 1,000.00 3 JPMorgan Chase Bank Autozone Inc., 5.875%, 10/15/2012 Buy (0.46) 12/20/11 1,000.00 3 Bank of America Black & Decker Corp., 7.125%, 06/01/2011 Buy (0.55) 12/20/11 1,000.00 8 JPMorgan Chase Bank Black & Decker Corp., 7.125%, 06/01/2011 Buy (0.55) 12/20/11 1,000.00 8 Goldman Sachs Borgwarner Inc 6.5%, 02/15/2009 Buy (0.66) 03/20/13 2,000.00 (18) Goldman Sachs Borgwarner Inc 6.5%, 02/15/2009 Buy (0.80) 03/20/13 1,000.00 (15) Bank of America Campbell Soup Co., 4.875, 10/01/2013 Buy (0.20) 06/20/14 1,600.00 8 JPMorgan Chase Bank Carnival Corp., 6.65%, 01/15/2028 Buy (0.22) 06/20/12 950.00 25 Goldman Sachs CDX.NA.IG 9 Index Buy (0.60) 12/20/12 4,200.00 (81) Goldman Sachs CDX.NA.IG 9 Index Buy (0.60) 12/20/12 5,000.00 1 Goldman Sachs CDX.NA.IG 9 Index Buy (0.60) 12/20/12 8,500.00 (182) JPMorgan Chase Bank Centurytel Inc, 6.0% 04/01/2017 Buy (1.10) 03/20/13 2,250.00 (10) JPMorgan Chase Bank CMBX.NA.A 2 Index Buy (0.25) 03/15/49 1,000.00 (66) Merrill Lynch CMBX.NA.A 2 Index Buy (0.25) 03/15/49 1,000.00 (65) Goldman Sachs CMBX.NA.A 3 Index Buy (0.62) 12/13/49 1,000.00 83 Goldman Sachs CMBX.NA.A 3 Index Buy (0.62) 12/13/49 1,000.00 86 Goldman Sachs CMBX.NA.A 3 Index Buy (0.62) 12/13/49 2,000.00 (96) JPMorgan Chase Bank CMBX.NA.A 3 Index Buy (0.62) 12/13/49 1,000.00 16 Goldman Sachs CMBX.NA.BBB 2 Index Buy (0.60) 03/14/49 5,000.00 (16) Bank of America Computer Science Corp 5.0% 02/15/13 Buy (0.65) 06/20/13 2,250.00 1 Bank of America Darden Restaurants Inc, 7.125%, 02/01/2016 Buy (0.45) 12/20/11 1,000.00 29 Merrill Lynch Donnelley (R.R.) & Sons, 4.95%, 04/01/2014 Buy (0.69) 12/20/11 1,000.00 9 JPMorgan Chase Bank Dow Chemical Inc., 6.00%, 10/01/2012 Buy (0.26) 12/20/13 1,000.00 16 Merrill Lynch Dow Chemical Inc., 6.00%, 10/01/2012 Buy (0.25) 12/20/13 1,000.00 17 Bank of America Gap Inc, 8.80%, 12/15/2008 Buy (1.18) 12/20/11 1,000.00 (18) JPMorgan Chase Bank Gap Inc, 8.80%, 12/15/2008 Buy (1.18) 12/20/11 1,000.00 (18) JPMorgan Chase Bank Hasbro Inc, 2.75%, 12/01/2021 Buy (0.39) 12/20/11 1,000.00 7 Bank of America Johnson Controls Inc., 7.125%, 07/15/2017 Buy (0.37) 12/20/13 1,000.00 22 Bank of America Johnson Controls Inc., 7.125%, 07/15/2017 Buy (0.39) 12/20/13 1,000.00 21 JPMorgan Chase Bank Jones Apparel Group., 5.125%, 11/15/2014 Buy (0.77) 12/20/11 1,000.00 64 Merrill Lynch Kroger Co. 5.5%, 02/01/2013 Buy (0.64) 03/20/13 2,250.00 (5) Bank of America Lowes Companies Inc., 8.25%, 06/01/2010 Buy (0.95) 03/20/13 1,500.00 (32) Merrill Lynch Lowes Companies Inc., 8.25%, 06/01/2010 Buy (0.13) 12/20/11 1,000.00 9 Merrill Lynch Lubrizol Corp., 7.25%, 06/15/2025 Buy (0.45) 12/20/11 1,000.00 5 JPMorgan Chase Bank Lubrizol Corp., 7.25%, 06/15/2035 Buy (0.45) 12/20/11 1,000.00 5 Bank of America Masco Corp., 5.875%, 07/15/2012 Buy (0.73) 12/20/13 1,000.00 55 Merrill Lynch MDC Holdings Inc., 5.50%, 05/15/2013 Buy (0.90) 12/20/11 1,000.00 17 Bank of America Meadwestavaco Corp., 6.85%, 04/01/2012 Buy (0.48) 12/20/11 1,000.00 41 Bank of America MGIC Investment Corp., 6.00%, 11/01/2015 Buy (0.35) 12/20/13 1,000.00 154 JPMorgan Chase Bank MGIC Investment Corp., 6.00%, 11/01/2015 Buy (0.35) 12/20/13 1,000.00 154 JPMorgan Chase Bank Nordstrom Inc., 6.95%, 03/15/2028 Buy (0.28) 12/20/13 1,000.00 35 Merrill Lynch Nordstrom Inc., 6.95%, 03/15/2028 Buy (0.28) 12/20/13 1,000.00 35 Bank of America Nucor Copr., 4.875%, 10/01/2012 Buy (0.22) 12/20/11 1,000.00 3 JPMorgan Chase Bank Nucor Copr., 4.875%, 10/01/2012 Buy (0.22) 12/20/11 1,000.00 3 Bank of America Pitney Bowes Inc., 4.625%, 10/01/2012 Buy (0.14) 12/20/11 2,100.00 15 Bank of America Pmi Group Inc., 6.00%, 09/15/2016 Buy (0.35) 12/20/13 1,000.00 172 JPMorgan Chase Bank Pmi Group Inc., 6.00%, 09/15/2016 Buy (0.35) 12/20/13 1,000.00 172 JPMorgan Chase Bank PPG Industries Inc., 7.05%, 08/15/2009 Buy (0.20) 12/20/11 1,000.00 10 Bank of America Radian Group Inc., 7.75%, 06/01/2011 Buy (0.39) 12/20/13 1,000.00 240 JPMorgan Chase Bank Radian Group Inc., 7.75%, 06/01/2011 Buy (0.39) 12/20/13 1,000.00 214 Bank of America Safeway Inc. 5.80%, 08/15/2012 Buy (0.59) 03/20/13 2,000.00 (2) JPMorgan Chase Bank Safeway Inc. 5.80%, 08/15/2012 Buy (0.64) 03/20/13 1,750.00 (6) Bank of America Southwest Airlines Co., 6.50%, 03/01/2012 Buy (1.40) 06/20/13 1,250.00 8 JPMorgan Chase Bank Southwest Airlines Co., 6.50%, 03/01/2012 Buy (0.27) 12/20/11 1,000.00 33 Merrill Lynch Southwest Airlines Co., 6.50%, 03/01/2012 Buy (0.27) 12/20/11 1,000.00 33 Bank of America The Limited Inc., 6.125%, 12/01/2012 Buy (0.48) 12/20/11 1,000.00 47 Bank of America TJX Companies Inc., 7.45%, 12/15/2009 Buy (0.19) 12/20/11 1,000.00 5 JPMorgan Chase Bank Washington Mutual Co., 5.25%, 09/15/2017 Buy (0.32) 03/20/12 1,000.00 109 Bank of America Weyerhaeuser Company, 6.75%, 03/15/2012 Buy (0.45) 12/20/11 700.00 22 Merrill Lynch Weyerhaeuser Company, 6.75%, 03/15/2012 Buy (0.45) 03/20/12 1,000.00 34 JPMorgan Chase Bank Whirlpool Corp., 7.75%, 07/15/2016 Buy (0.34) 12/20/11 1,000.00 14 ------ $1,722 ======
SEI Institutional Investments Trust / Annual Report / May 31, 2008 131 SCHEDULE OF INVESTMENTS World Equity Ex-US Fund (Concluded) May 31, 2008 A summary of the open futures contracts held by the Fund at May 31, 2008, is as follows (See Note 2 in Notes to Financial Statements):
UNREALIZED NUMBER OF APPRECIATION CONTRACTS EXPIRATION (DEPRECIATION) TYPE OF CONTRACT LONG (SHORT) DATE ($ THOUSANDS) ---------------- ------------ ---------- -------------- 10-Year Swap Future (140) Jun-2008 $ 168 10-Year Swap Future (111) Sep-2008 2 90-Day Euro$ 137 Jun-2008 424 90-Day Euro$ 93 Sep-2008 (8) 90-Day Euro$ 10 Dec-2008 (21) 90-Day Euro$ 102 Mar-2009 (157) 90-Day Euro$ 217 Jun-2009 74 90-Day Euro$ 232 Sep-2009 (41) 90-Day Euro$ 80 Dec-2009 (191) 90-Day Euro$ (24) Mar-2010 (25) 90-Day Euro$ (168) Jun-2010 (274) 90-Day Euro$ (30) Sep-2010 (51) 90-Day Euro$ (29) Dec-2010 (44) 90-Day Euro$ (20) Mar-2011 (31) 90-Day Euro$ 13 Jun-2011 -- 90-Day Euro$ 24 Sep-2011 7 90-Day Euro$ 1 Dec-2011 -- 90-Day Euro$ 1 Mar-2012 1 90-Day Euro$ 5 Jun-2012 3 90-Day Euro$ 24 Sep-2012 20 Amsterdam Index 69 Jun-2008 148 CAC40 10 Euro 224 Jun-2008 243 Dax Index 70 Jun-2008 2,225 DJ Euro Stoxx 50 Index 1,226 Jun-2008 5,696 FTSE 100 Index 617 Jun-2008 5,555 Hang Seng Index 103 Jun-2008 160 IBEX Index 38 Jun-2008 (385) MSCI Sing Index 73 Jun-2008 124 Nikkei 225 Index 28 Jun-2008 132 OMX Index 578 Jun-2008 (118) S&P/MIB Index 35 Jun-2008 875 S&P/TSE 60 Index 241 Jun-2008 4,405 SPI 200 Index 252 Jun-2008 2,904 Topix Index 464 Jun-2008 6,484 U.S. 10-Year Note (78) Sep-2008 -- U.S. 2-Year Note 3 Oct-2008 (2) U.S. 5-Year Note (211) Sep-2008 155 U.S. Long Treasury Bond 8 Sep-2008 (3) ------- $28,454 =======
A summary of the outstanding forward foreign currency contracts held by the Fund at May 31, 2008, is as follows (See Note 2 in Notes to Financials Statements):
UNREALIZED CURRENCY CURRENCY APPRECIATION MATURITY TO DELIVER TO RECEIVE (DEPRECIATION) DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) -------- --------------- --------------- ------------- 6/20/08 CAD 6,772 USD 6,827 $ 12 6/20/08 CHF 14,926 USD 14,254 (37) 6/20/08 HKD 424,315 USD 54,440 40 6/20/08 MXP 158,403 USD 15,198 (92) 6/20/08 NOK 15,572 USD 3,103 55 6/20/08 USD 98 ZAR 744 (1) 6/20/08 ZAR 62,704 USD 8,202 25 6/20/08-6/23/08 USD 20,608 CAD 20,431 (49) 6/20/08-6/23/08 USD 71,336 JPY 7,421,351 (960) 6/20/08-6/23/08 USD 2,540 NOK 12,886 (18) 6/20/08-6/23/08 USD 13,125 SGD 17,695 (138) 6/20/08-8/21/08 CHF 31,600 EUR 19,646 196 6/20/08-8/21/08 CHF 17,100 GBP 8,262 (100) 6/20/08-8/21/08 EUR 15,195 CHF 24,300 (287) 6/20/08-8/21/08 GBP 7,090 CHF 14,600 19 6/20/08-8/21/08 GBP 7,018 JPY 1,445,000 (87) 6/20/08-8/21/08 NZD 8,833 CHF 7,200 26 6/20/08-9/19/08 AUD 7,815 JPY 718,000 (567) 6/20/08-9/19/08 JPY 1,191,000 AUD 12,634 625 6/20/08-10/21/08 EUR 19,190 JPY 2,988,000 (1,303) 6/20/08-10/21/08 EUR 8,820 USD 13,676 23 6/20/08-10/21/08 GBP 4,783 USD 9,348 (21) 6/20/08-10/21/08 USD 94,436 EUR 60,825 (42) 6/20/08-11/21/08 CHF 10,200 NZD 12,366 (189) 6/20/08-11/21/08 JPY 4,313,000 EUR 27,328 1,276 6/20/08-11/21/08 JPY 2,281,000 GBP 11,058 26
UNREALIZED CURRENCY CURRENCY APPRECIATION MATURITY TO DELIVER TO RECEIVE (DEPRECIATION) DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) -------- --------------- --------------- ------------- 6/20/08-11/21/08 USD 57,252 AUD 60,112 $ (131) 6/20/08-11/21/08 USD 133,877 GBP 68,602 1,394 6/23/08 AUD 4,453 GBP 2,159 26 6/23/08 EUR 4,892 SEK 45,610 (6) 6/23/08 GBP 1,082 AUD 2,245 (1) 6/23/08 SEK 32,040 EUR 3,450 25 6/23/08 SEK 7,319 USD 1,213 (5) 6/23/08 USD 12,939 CHF 13,650 131 6/23/08 USD 1,566 DKK 7,548 5 6/23/08 USD 3,085 HKD 24,036 (4) 6/23/08 USD 271 NZD 352 4 6/23/08 USD 22,566 SEK 134,251 (229) 10/21/08 AUD 988 USD 900 (23) 10/21/08 NOK 9,354 JPY 186,000 (33) 10/21/08-11/21/08 JPY 375,000 NOK 18,577 9 10/21/08-11/21/08 SGD 2,400 GBP 908 3 ------- $ (403) =======
Percentages are based on a Net Assets of $3,301,120 ($ Thousands) * Non-income producing security. ** Rate shown is the 7-day effective yield as of May 31, 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 May 31, 2008. The total value of securities on loan at May 31, 2008 was $166,641 ($ 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 is the effective yield at time of purchase. (D) Variable Rate Security. The rate reported is the rate in effect as of May 31, 2008. The date reported is the next reset date. (E) This security was purchased with cash collateral held from securities on loan (see Note 9). The total value of such securities as of May 31, 2008 was $176,122 ($ Thousands). (F) Security, or portion thereof, has been pledged as collateral on open future contracts. (G) Security, or portion thereof, has been pledged as collateral on open swap contracts. (H) Step Bonds -- The rate reflected is the effective yield on May 31, 2008. The coupon on a step bond changes on a specific date. ABS -- Asset-Backed Security ADR -- American Depositary Receipt ARM -- Adjustable Rate Mortgage AUD -- Australian Dollar CAD -- Canadian Dollar CHF -- Swiss Franc Cl -- Class CMO -- Collateralized Mortgage Obligation DKK -- Danish Krone EUR -- Euro FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GBP -- Bristish Pound Sterling GDR -- Global Depositary Receipt GNMA -- Government National Mortgage Association HKD -- Hong Kong Dollar IO -- Interest Only - face amount represents notional amount JPY -- Japanese Yen LLC -- Limited Liability Company MXP -- Mexican Peso NIM -- Net Interest Margin NOK -- Norwegian Krone NVDR -- Non-Voting Depositary Receipt NZD -- New Zealand Dollar SEK -- Swedish Krone Ser -- Series SGD -- Singapore Dollar USD -- U.S. Dollar ZAR -- South African Rand STRIPS -- Separately Traded Registered Interest and Principal Securities TBA -- To Be Announced Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. 132 SEI Institutional Investments Trust / Annual Report / May 31, 2008 Enhanced LIBOR Opportunities Fund May 31, 2008 SECTOR WEIGHTINGS (UNAUDITED)++: (BAR CHART) Affiliated Partnership 32.4% Loan Participations 23.2% Morgage-Backed Securities 12.4% Short-Term Investments 9.6% Asset-Backed Securities 8.4% Time Deposits 6.5% Financials 4.6% Consumer Discretionary 0.9% Utilities 0.6% Health Care 0.5% Telecommunication Services 0.4% Consumer Staples 0.3% Industrials 0.1% Energy 0.1%
++ Percentages based on total investments.
Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- AFFILIATED PARTNERSHIP -- 32.0%*+ SEI LIBOR Plus Portfolio, L.P. 3.800% 8,435,094 $ 78,279 ------------- Total Affiliated Partnership (Cost $84,039) ($ Thousands) 78,279 ------------- LOAN PARTICIPATIONS -- 22.9% Alpha Topco, 2nd Lien, Ser D 8.218%, 06/30/14 $ 1,000 890 Alpha Topco, Ser B1 7.093%, 12/31/13 571 544 Alpha Topco, Ser B2 7.093%, 12/31/13 429 408 Bosie Paper Holdings, 2nd Lien 11.000%, 02/23/15 1,000 973 Boston Generating LLC, 1st Lien 4.946%, 12/20/13 770 719 Boston Generating LLC, 1st Lien (Synthetic) 2.571%, 12/20/13 221 206 Brickman Group Holdings, Tranche B 4.696%, 01/23/14 990 928 Burlington Coat Factory Warehouse, Ser C 4.900%, 05/28/13 1,000 844 Caritor 5.120%, 06/04/13 923 679 Caritor (Synthetic) 4.960%, 06/04/13 70 51 CCS Medical 5.930%, 09/30/12 972 830 Cequel Communications, 1st Lien 4.760%, 11/05/13 499 464 Cequel Communications, 1st Lien, Ser B 4.760%, 11/05/13 495 460
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Clarke American, Tranche B 5.196%, 06/30/14 $ 1,985 $ 1,663 Colleyville Resources 2.598%, 12/28/10 163 158 Colleyville Resources, Tranche D 5.450%, 12/28/13 528 511 Crescent Resources, LLC 5.451%, 09/07/12 1,000 693 Delta Air Lines 4.774%, 04/30/12 990 835 Delta Air Lines, 2nd Lien 6.149%, 04/30/14 993 717 Dole Food, Ser B 5.270%, 04/12/13 104 97 2.580%, 04/12/13 47 44 Dollar General, Tranche B-1 5.650%, 07/07/14 1,000 924 Dynea North, 1st Lien 6.135%, 07/10/14 920 699 Eddie Bauer, Ser B 6.131%, 04/01/14 1,487 1,234 First Data, Ser B-1 0.000%, 09/24/14 (A) 1,994 1,848 Foamex LP, 1st Lien 3.653%, 02/12/13 816 694 Freescale 4.578%, 12/15/14 995 897 Ginn La Conduit Lender, 1st Lien, Tranche A 2.596%, 06/08/11 315 227 Ginn La Conduit Lender, 1st Lien, Tranche B 6.193%, 06/08/11 676 487 Graham Packaging, Ser B 5.037%, 10/07/11 997 952 Green Valley Ranch Gaming, 2nd Lien 0.000%, 08/16/14 (A) 1,000 648 HCA, Ser B 4.946%, 11/18/13 997 939 Helix Energy Solutions Group 4.763%, 07/01/13 753 731 Hub International 5.196%, 06/13/14 1,014 916 1.625%, 06/13/14 (B) 51 5 Hub International, Delayed Draw 5.196%, 06/13/14 177 160 IAP Worldwide Services, 1st Lien 9.000%, 12/30/12 990 805 Idearc, Ser B 0.000%, 11/17/14 (A) 1,500 1,248 Kepler Holdings 8.250%, 06/30/09 1,000 940
SEI Institutional Investments Trust / Annual Report / May 31, 2008 133 SCHEDULE OF INVESTMENTS Enhanced LIBOR Opportunities Fund (Continued) May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Knology 6.950%, 06/30/12 $ 993 $ 913 Lake at Las Vegas Joint Venture 15.460%, 06/20/12 988 259 12.000%, 02/20/12 251 250 0.000%, 06/20/12 (A) 1,000 263 Lake at Las Vegas Joint Venture (Synthetic) 16.350%, 06/20/12 120 32 Level 3 Financing 4.884%, 03/01/14 1,500 1,380 Lifecare Holding (Rainier Acquisition) 6.950%, 08/11/12 992 857 Metroflag, 2nd Lien 11.451%, 06/19/08 1,500 1,155 Movie Gallery, 1st Lien 9.750%, 03/08/12 479 360 Movie Gallery, 1st Lien (Synthetic) 7.760%, 03/08/12 20 15 Mylan Laboratories, Ser B 6.027%, 10/02/14 1,995 1,965 Nielsen Finance LLC, Ser B 4.734%, 08/09/13 1,495 1,402 Northwest Airlines 4.520%, 08/21/13 1,000 788 Orbitz Worldwide 5.795%, 07/25/14 995 836 Penton Media, 1st Lien 5.149%, 02/01/13 490 398 Pinnacle Foods Group 6.759%, 04/02/14 993 927 Realogy (Synthetic) 2.553%, 10/10/13 117 100 Realogy, Term B 4.880%, 10/10/13 875 748 Sabre 4.885%, 09/30/14 1,458 1,242 Serena Software 4.680%, 03/10/13 928 839 Sirva Worldwide, Ser B 9.400%, 05/14/12 325 325 6.370%, 12/01/10 1,000 413 Solo Cup, Ser B1 6.141%, 02/27/11 621 611 Solvest (Dole), Ser C 4.787%, 04/12/13 347 322 Spectrum Brands 2.678%, 03/03/13 63 60 Spectrum Brands, Ser B II 6.670%, 03/03/13 1,254 1,192 Spirit Finance 5.873%, 07/15/13 1,000 738
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Totes Isotoner, 1st Lien 8.059%, 01/31/13 $ 992 $ 794 TPF Generation Holdings, LLC (Synthetic Revolver) 2.596%, 12/15/11 49 46 TPF Generation Holdings, LLC, 1st Lien 4.696%, 12/15/13 782 743 TPF Generation Holdings, LLC, 1st Lien (Synthetic) 2.596%, 12/15/13 156 148 Travelport, LLC (Synthetic) 4.946%, 08/23/13 167 135 Travelport, LLC, Ser B 5.113%, 08/23/13 833 759 Tribune, Tranche B 5.542%, 06/04/14 596 440 Tribune, Tranche X 5.478%, 06/04/09 373 355 US Airways Group 4.883%, 03/19/14 990 676 Verint Systems 5.873%, 05/27/14 1,877 1,689 West, Ser B-2 5.257%, 10/24/13 1,496 1,389 Wide Open West Finance, 1st Lien 5.672%, 06/30/14 1,000 860 Wilmar Opco, LLC (Tropicana) 9.000%, 01/03/12 1,000 966 WM Bolthouse Farms, 1st Lien 5.000%, 12/17/12 1,477 1,443 ------------- Total Loan Participations (Cost $63,031) ($ Thousands) 55,901 ------------- MORTGAGE-BACKED SECURITIES -- 12.2% AGENCY MORTGAGE-BACKED OBLIGATIONS -- 3.7% FHLMC CMO STRIPS, Ser 245, Cl IO, IO 5.000%, 05/15/37 379 99 FNMA 6.000%, 11/01/08 to 10/01/26 6,942 7,099 FNMA TBA 6.000%, 04/01/27 589 600 5.500%, 10/01/20 to 03/01/22 1,221 1,236 ------------- 9,034 ------------- NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 8.5% American Tower Trust, Ser 2007-1A, Cl D 5.957%, 04/15/37 (C) 250 222
134 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Banc of America Funding, Ser 2005-F, Cl 4A1 5.346%, 07/20/08 (D) $ 525 $ 468 Banc of America Funding, Ser 2006-D, Cl 3A1 5.569%, 06/01/08 (D) 457 443 Banc of America Large Loan, Ser 2007-BMB1, Cl A1 3.024%, 06/15/08 (C) (D) 197 185 Banc of America Mortgage Securities, Ser 2004-F, Cl 2A5 4.145%, 07/25/08 (D) 350 348 Banc of America Mortgage Securities, Ser 2005-A, Cl 2A1 4.452%, 07/25/08 (D) 295 277 Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-6, Cl 3A1 5.262%, 06/01/08 (D) 382 362 Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-9, Cl A1 4.625%, 06/01/08 (D) 512 490 Bear Stearns Adjustable Rate Mortgage Trust, Ser 2006-1, Cl A1 4.625%, 06/01/08 (D) 483 461 Bear Stearns Commercial Mortgage Securities, Ser 2001-TOP2, Cl A2 6.480%, 02/15/35 500 519 Citigroup Commercial Mortgage Trust, Ser 2007-FL3A, Cl J 3.464%, 06/16/08 (C) (D) 155 91 Citigroup Mortgage Loan Trust, Ser 2006-AR1, Cl 1A1 4.900%, 07/25/08 (D) 496 480 Countrywide Alternative Loan Trust, Ser 2007-HY5R, Cl 2A1A 5.544%, 06/01/08 (D) 728 645 Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2005-HY10, Cl 3A1A 5.373%, 06/01/08 (D) 496 404 Credit Suisse First Boston Mortgage Securities, Ser 2000-C1, Cl A2 7.545%, 04/15/62 463 479 Crown Castle Towers LLC, Ser 2006-1A, Cl E 6.065%, 11/15/36 (C) 380 342 Crusade Global Trust, Ser 2007-1, Cl A1 2.878%, 07/21/08 (D) 267 257 Diversified REIT Trust, Ser 1999-1A, Cl A2 6.780%, 03/18/11 (C) 47 47
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- First Horizon Alternative Mortgage Trust, Ser 2005-AA3, Cl 3A1 5.351%, 06/01/08 (D) $ 278 $ 252 First Horizon Mortgage Pass-Through Certificate, Ser 2005-AR4, Cl 2A1 5.328%, 07/25/08 (D) 242 232 First Union-Chase Commercial Mortgage, Ser 1999-C2, Cl A2 6.645%, 06/15/31 194 196 GMAC Mortgage Loan Trust, Ser 2006-AR1, Cl 1A1 5.589%, 06/01/08 (D) 491 478 Granite Master Issuer, Ser 2006-1A, Cl A5 2.765%, 07/20/08 (C) (D) 188 173 GS Mortgage Securities, Ser 2007-EOP, Cl K 3.774%, 06/06/08 (C) (D) 75 66 GSR Mortgage Loan Trust, Ser 2006-AR1, Cl 2A2 5.180%, 07/25/08 (D) 367 359 GSR Mortgage Loan Trust, Ser 2006-AR2, Cl 3A1 5.747%, 07/25/08 (D) 69 67 GSR Mortgage Loan Trust, Ser 2007-AR2, Cl 1A1 5.786%, 07/25/08 (D) 508 484 Harborview Mortgage Loan Trust, Ser 2005-14, Cl 3A1A 5.296%, 07/19/08 (D) 347 341 Holmes Master Issuer PLC, Ser 2007-2A, Cl 1C 2.943%, 07/15/08 (D) 82 78 JPMorgan Mortgage Trust, Ser 2007-A3, Cl 1A1 5.473%, 06/01/08 (D) 452 431 JPMorgan Mortgage Trust, Ser 2007-A4, Cl 1A1 5.473%, 07/25/08 (D) 447 425 Master Adjustable Rate Mortgages Trust, Ser 2005-6, Cl 5A1 5.040%, 07/25/08 (D) 501 489 Merrill Lynch Mortgage-Backed Securities Trust, Ser 2007-2, Cl 1A1 5.800%, 07/25/08 (D) 514 502 Merrill Lynch Mortgage Investors, Ser 2005-A1, Cl 2A1 4.514%, 07/25/08 (D) 491 479 Merrill Lynch Mortgage Investors, Ser 2005-A9, Cl 2A1E 5.137%, 07/25/08 (D) 427 419
SEI Institutional Investments Trust / Annual Report / May 31, 2008 135 SCHEDULE OF INVESTMENTS Enhanced LIBOR Opportunities Fund (Continued) May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Merrill Lynch Mortgage Investors, Ser 2005-A9, Cl 2A1A 5.137%, 06/01/08 (D) $ 560 $ 552 MLCC Mortgage Investors, Ser 2006-1, Cl 2A1 5.381%, 06/01/08 (D) 271 262 Morgan Stanley Capital I, Ser 2007-XLFA, Cl C 2.675%, 06/15/08 (C) (D) 240 208 MortgageIT Trust, Ser 2005-1, Cl 2A 4.250%, 07/25/08 (D) 496 472 MortgageIT Trust, Ser 2005-4, Cl A1 2.672%, 06/25/08 (D) 489 365 Residential Funding Mortgage Securities, Ser 2005-SA5, Cl 2A 5.332%, 06/01/08 (D) 181 177 Residential Funding Mortgage Securities, Ser 2006-SA1, Cl 1A1 5.676%, 07/25/08 (D) 156 152 Residential Funding Mortgage Securities, Ser 2007-SA2, Cl 2A2 5.668%, 06/01/08 (D) 346 330 Residential Funding Mortgage Securities, Ser 2007-SA3, Cl 2A1 5.776%, 06/01/08 (D) 453 429 Sequoia Mortgage Trust, Ser 2007-2, Cl 2AA1 5.804%, 06/01/08 (D) 247 237 Thornburg Mortgage Securities Trust, Ser 2005-1, Cl A3 4.764%, 07/25/08 (D) 304 291 Washington Mutual Mortgage Pass-Through Certificate, Ser 2004-AR5, Cl A6 3.841%, 06/01/08 (D) 600 602 Washington Mutual Mortgage Pass-Through Certificate, Ser 2005-AR14, Cl 1A4 5.056%, 07/25/08 (D) 482 472 Washington Mutual Mortgage Pass-Through Certificate, Ser 2005-AR3, Cl A2 4.637%, 06/01/08 (D) 437 414 Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 2A2 3.988%, 06/01/08 (D) 414 407 Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-Z, Cl 2A1 4.571%, 06/01/08 (D) 511 471
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR16, Cl 6A3 5.000%, 06/01/08 (D) $ 174 $ 169 Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR16, Cl 3A2 4.995%, 06/01/08 (D) 131 124 Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR4, Cl 2A2 4.524%, 06/01/08 (D) 496 471 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR10, Cl 2A1 5.650%, 06/01/08 (D) 593 575 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR13, Cl A2 5.760%, 07/25/08 (D) 480 468 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR2, Cl 2A3 5.109%, 07/25/08 (D) 179 172 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR5, Cl 2A1 5.537%, 06/01/08 (D) 412 401 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR6, Cl 3A1 5.094%, 06/01/08 (D) 389 375 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR8, Cl 2A1 5.241%, 06/01/08 (D) 306 294 ------------- 20,881 ------------- Total Mortgage-Backed Securities (Cost $30,808) ($ Thousands) 29,915 ------------- ASSET-BACKED SECURITIES -- 8.3% AUTOMOTIVE -- 3.4% Aesop Funding II LLC, Ser 2003-3A, Cl A3 3.720%, 07/20/09 (C) 110 110 AmeriCredit Automobile Receivables Trust, Ser 2006-1, Cl A3 5.110%, 10/06/10 100 100 AmeriCredit Automobile Receivables Trust, Ser 2006-1, Cl B 5.200%, 03/06/11 195 193
136 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- AmeriCredit Automobile Receivables Trust, Ser 2007-AX, Cl A4 2.764%, 07/07/08 (D) $ 285 $ 251 AmeriCredit Automobile Receivables Trust, Ser 2007-BF, Cl A3A 5.160%, 04/06/12 300 298 AmeriCredit Automobile Receivables Trust, Ser 2007-CM, Cl A4A 5.550%, 04/07/14 500 452 Americredit Prime Automobile Receivable, Ser 2007-2M, Cl A3 5.220%, 06/08/12 485 475 Capital Auto Receivables Asset Trust, Ser 2007-1, Cl B 5.150%, 09/17/12 230 217 Capital Auto Receivables Asset Trust, Ser 2007-3, Cl A3A 5.020%, 09/15/11 200 202 Capital One Auto Finance Trust, Ser 2005-C, Cl A4A 4.710%, 06/15/12 115 109 Capital One Auto Finance Trust, Ser 2007-C, Cl A3A 5.130%, 04/16/12 490 459 Capital One Prime Auto Receivables Trust, Ser 2007-2, Cl A3 4.890%, 01/17/12 500 501 Carmax Auto Owner Trust, Ser 2007-1, Cl C 5.530%, 07/15/13 50 47 Carmax Auto Owner Trust, Ser 2008-1, Cl A4B 4.421%, 06/16/08 (D) 485 477 Chase Manhattan Auto Owner Trust, Ser 2005-A, Cl A4 3.980%, 04/15/11 500 500 Ford Credit Auto Owner Trust, Ser 2006-A, Cl C 5.480%, 09/15/11 250 251 Ford Credit Auto Owner Trust, Ser 2007-B, Cl A3A 5.150%, 11/15/11 230 232 GE Dealer Floorplan Master Note Trust, Ser 2006-2, Cl C 2.909%, 06/20/08 (D) 120 99 Harley-Davidson Motorcycle Trust, Ser 2005-2, Cl A2 4.070%, 02/15/12 583 583 Harley-Davidson Motorcycle Trust, Ser 2007-1, Cl C 5.540%, 04/15/15 105 99 Honda Auto Receivables Owner Trust, Ser 2004-3, Cl A4 3.280%, 02/18/10 111 111
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Honda Auto Receivables Owner Trust, Ser 2005-1, Cl A4 3.820%, 05/21/10 $ 177 $ 178 Hyundai Auto Receivables Trust, Ser 2007-A, Cl A3B 2.914%, 06/16/08 (D) 140 139 Merrill Auto Trust Securitization, Ser 2007-1, Cl C 5.960%, 12/15/13 365 335 Nissan Auto Receivables Owner Trust, Ser 2006-A, Cl A4 4.770%, 07/15/11 350 352 Nissan Auto Receivables Owner Trust, Ser 2007-B, Cl A3 5.030%, 05/16/11 135 136 Santander Drive Auto Receivables Trust, Ser 2007-1, Cl A2 5.200%, 12/15/10 141 140 Superior Wholesale Inventory Financing Trust, Ser 2007-AE1, Cl C 3.114%, 06/13/08 (D) 45 40 Superior Wholesale Inventory Financing Trust, Ser 2007-AE1, Cl B 2.814%, 06/15/08 (D) 25 23 Swift Master Auto Receivables Trust, Ser 2007-2, Cl A 3.164%, 06/16/08 (D) 430 412 USAA Auto Owner Trust, Ser 2007-1, Cl A3 5.430%, 10/17/11 260 264 USAA Auto Owner Trust, Ser 2007-2, Cl A3 4.900%, 02/15/12 245 247 Volkswagen Auto Lease Trust, Ser 2006-A, Cl A3 5.500%, 09/21/09 175 176 ------------- 8,208 ------------- CREDIT CARDS -- 3.0% Advanta Business Card Master Trust, Ser 2005-C1, Cl C 2.989%, 06/20/08 (D) 400 395 Advanta Business Card Master Trust, Ser 2007-B1, Cl B 2.729%, 06/20/08 (D) 400 285 American Express Credit Account Master Trust, Ser 2007-2, Cl B 2.694%, 06/16/08 (D) 145 124 Bank of America Credit Card Trust, Ser 2007-B5, Cl B5 3.114%, 06/16/08 (D) 470 459
SEI Institutional Investments Trust / Annual Report / May 31, 2008 137 SCHEDULE OF INVESTMENTS Enhanced LIBOR Opportunities Fund (Continued) May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Capital One Multi-Asset Execution Trust, Ser 2004-C4, Cl A14 3.164%, 06/02/08 (D) $ 650 $ 621 Capital One Multi-Asset Execution Trust, Ser 2005-C1, Cl C1 2.914%, 06/16/08 (D) 350 312 Capital One Multi-Asset Execution Trust, Ser 2007-C2, Cl C2 2.814%, 06/15/08 (D) 400 338 Chase Issuance Trust, Ser 2005-C2, Cl C2 2.954%, 06/16/08 (D) 400 353 Chase Issuance Trust, Ser 2007-A14, Cl A14 2.764%, 06/16/08 (D) 650 647 Chase Issuance Trust, Ser 2007-A15, Cl A 4.960%, 09/17/12 500 507 Citibank Credit Card Issuance Trust, Ser 2007-B5, Cl B5 3.318%, 07/07/08 (D) 500 458 Citibank Credit Card Issuance Trust, Ser 2007-B6, Cl B6 5.000%, 11/08/12 340 332 Citibank Credit Card Issuance Trust, Ser 2008-A3, Cl A3 3.377%, 06/18/08 (D) 400 401 First National Master Note Trust, Ser 2007-1, Cl B 2.714%, 06/16/08 (D) 320 306 First USA Credit Card Master Trust, Ser 1998-2, Cl C 6.800%, 02/18/11 (C) 550 550 GE Capital Credit Card Master Note Trust, Ser 2007-3, Cl C 2.814%, 06/16/08 (D) 500 453 MBNA Credit Card Master Note Trust, Ser 2006-A1, Cl A1 4.900%, 07/15/11 400 404 Washington Mutual Master Note Trust, Ser 2006-C3A, Cl C3A 2.894%, 06/10/08 (C) (D) 535 486 ------------- 7,431 ------------- MORTGAGE RELATED SECURITIES -- 1.0% First Franklin Mortgage Loan Asset, Ser 2006-FF18, Cl A2B 2.503%, 06/25/08 (D) 275 218 First Franklin Mortgage Loan Asset, Ser 2007-FF1, Cl M2 2.653%, 06/25/08 (D) 285 63
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Morgan Stanley Capital I, Ser 2007-HE2, Cl M2 2.653%, 06/25/08 (D) $ 150 $ 32 Morgan Stanley Home Equity Loans, Ser 2005-3, Cl M1 2.842%, 06/25/08 (D) 350 293 Morgan Stanley Home Equity Loans, Ser 2005-4, Cl M1 2.802%, 06/25/08 (D) 370 295 Option One Mortgage Loan Trust, Ser 2005-3, Cl M1 2.863%, 06/25/08 (D) 330 286 Option One Mortgage Loan Trust, Ser 2005-5, Cl M1 2.783%, 06/25/08 (D) 470 397 Option One Mortgage Loan Trust, Ser 2007-FXD2, Cl 2A1 5.900%, 03/25/37 (E) 262 257 Option One Mortgage Loan Trust, Ser 2007-HL1, Cl 2A1 2.513%, 06/25/08 (D) 233 216 Residential Asset Securities, Ser 2005-KS12, Cl M1 2.833%, 06/25/08 (D) 375 315 Securitized Asset-Backed Receivables LLC, Ser 2007-NC2, Cl M2 2.653%, 06/25/08 (D) 145 25 ------------- 2,397 ------------- OTHER ASSET-BACKED SECURITIES -- 0.9% ACAS Business Loan Trust, Ser 2006-1A, Cl A 2.868%, 08/27/08 (C) (D) 450 424 ACAS Business Loan Trust, Ser 2007-1A, Cl C 3.570%, 08/18/08 (C) (D) 427 357 CIT Equipment Collateral, Ser 2006-VT1, Cl B 5.230%, 02/20/13 80 81 Dominos Pizza Master Issuer LLC, Ser 2007-1, Cl A2 5.261%, 04/25/37 (C) 400 339 John Deere Owner Trust, Ser 2007-A, Cl A2 5.210%, 10/15/09 -- -- Lambda Finance, Ser 2005-1A, Cl A3 2.906%, 08/15/08 (C) (D) 400 386 Peco Energy Transition Trust, Ser 2000-A, Cl A3 7.625%, 03/01/10 278 286
138 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Sierra Receivables Funding, Ser 2007-2A, Cl A2 3.479%, 06/01/08 (C) (D) $ 358 $ 319 ------------- 2,192 ------------- Total Asset-Backed Securities (Cost $21,971) ($ Thousands) 20,228 ------------- CORPORATE OBLIGATIONS -- 7.3% CONSUMER DISCRETIONARY -- 0.9% CBS 7.700%, 07/30/10 250 262 COX Communications 4.625%, 01/15/10 300 298 Daimler Finance NA LLC 7.200%, 09/01/09 300 310 Macy's Retail Holdings 6.300%, 04/01/09 300 299 5.350%, 03/15/12 225 212 President and Fellows of Harvard College 3.700%, 04/01/13 265 262 Time Warner Cable 5.400%, 07/02/12 500 493 ------------- 2,136 ------------- CONSUMER STAPLES -- 0.3% General Mills 3.038%, 07/22/08 (D) 400 393 Miller Brewing 4.250%, 08/15/08 (C) 300 300 ------------- 693 ------------- ENERGY -- 0.1% Canadian Natural Resources 5.700%, 05/15/17 150 148 ------------- FINANCIALS -- 4.4% Ameriprise Financial 5.350%, 11/15/10 300 301 Banco Santander Chile 3.022%, 06/09/08 (C) (D) 450 437 Capital One Financial MTN 5.700%, 09/15/11 300 290 Capmark Financial Group 3.366%, 08/11/08 (D) 500 423 CIT Group 3.375%, 04/01/09 300 280 Citigroup 2.942%, 06/11/08 (D) 300 268
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Comerica Bank 2.543%, 06/19/08 (D) $ 275 $ 266 Everest Reinsurance Holdings 8.750%, 03/15/10 295 315 6.600%, 11/15/08 (D) 450 329 General Electric Capital 2.997%, 07/28/08 (D) 275 272 Genworth Global Funding Trusts MTN 5.200%, 10/08/10 400 400 Goldman Sachs Capital III 3.846%, 09/02/08 (D) 500 352 Goldman Sachs Group 2.964%, 08/06/08 (D) 500 487 Hartford Financial Services Group 7.900%, 06/15/10 250 263 IBM International Group Capital LLC 3.252%, 07/29/08 (D) 330 331 International Lease Finance, Ser P MTN 3.113%, 07/15/08 (D) 500 483 JPMorgan Chase Capital XXI, Ser U 3.800%, 08/02/08 (D) 550 423 Lehman Brothers Holdings, Ser G MTN 2.966%, 08/11/08 (D) 500 482 Liberty Property L.P. 7.250%, 03/15/11++ 300 309 MassMutual Global Funding II 2.550%, 07/15/08 (C) 325 325 MBIA Insurance 14.000%, 07/15/08 (C) (D) 200 176 Monumental Global Funding 2.913%, 07/15/08 (C) (D) 450 399 Morgan Stanley, Ser G 3.010%, 07/09/08 (D) 400 366 Prudential Financial MTN 5.100%, 12/14/11 300 298 Reinsurance Group of America 5.625%, 03/15/17 300 255 RSHB Capital 6.299%, 05/15/17 (C) 205 192 State Street 2.999%, 07/30/08 (D) 285 283 Textron Financial MTN 4.600%, 05/03/10 350 353 Unitrin 6.000%, 05/15/17 260 233 4.875%, 11/01/10 300 283 VTB 24 Capital PLC, Ser E MTN 3.820%, 09/09/08 (D) 200 194 Wachovia 2.920%, 06/15/08 (D) 425 409 Western Union 5.400%, 11/17/11 300 297
SEI Institutional Investments Trust / Annual Report / May 31, 2008 139 SCHEDULE OF INVESTMENTS Enhanced LIBOR Opportunities Fund (Concluded) May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Willis North America 5.125%, 07/15/10 $ 300 $ 297 ------------- 11,071 ------------- HEALTH CARE -- 0.5% AstraZeneca 3.239%, 06/11/08 (D) 600 599 UnitedHealth Group 4.070%, 08/07/08 (D) 250 250 Wyeth 6.700%, 03/15/11 250 265 ------------- 1,114 ------------- INDUSTRIALS -- 0.1% Continental Airlines, Ser 061G 3.032%, 09/02/08 (D) 300 256 ------------- TELECOMMUNICATION SERVICES -- 0.4% Corning 6.050%, 06/15/15 300 291 Telecom Italia Capital 3.344%, 07/18/08 (D) 300 286 Vodafone Group PLC 2.918%, 08/27/08 (D) 300 284 ------------- 861 ------------- UTILITIES -- 0.6% Dominion Resources, Ser B 2.858%, 08/14/08 (D) 450 448 KeySpan 7.625%, 11/15/10 300 321 Ohio Power 2.908%, 07/07/08 (D) 270 262 PSEG Power LLC 3.750%, 04/01/09 300 299 Southern, Ser A 5.300%, 01/15/12 175 178 ------------- 1,508 ------------- Total Corporate Obligations (Cost $18,748) ($ Thousands) 17,787 ------------- EURODOLLAR -- 0.1% FINANCIALS -- 0.1% RSHB Capital 7.175%, 05/16/13 40 41 UBS Luxembourg 7.429%, 08/11/08 (D) 130 130 ------------- 171 -------------
Face Amount ($ Thousands) Market Value Description /Shares ($ Thousands) ------------------------------------------------- ------------- ------------- SOVEREIGN -- 0.0% Republic of Trinidad & Tobago 9.875%, 10/01/09 $ 150 $ 161 ------------- Total EuroDollar (Cost $333) ($ Thousands) 332 ------------- TIME DEPOSITS -- 6.4% Barclays Bank London 2.460%, 06/11/08 2,081 2,081 Lloyds TSB London 2.650%, 06/30/08 3,590 3,590 Royal Bank of Canada 2.300%, 07/31/08 4,050 4,050 Royal Bank of Scotland 2.690%, 06/11/08 2,636 2,636 UBS London 2.500%, 07/10/08 3,301 3,301 ------------- Total Time Deposits (Cost $15,658) ($ Thousands) 15,658 ------------- CASH EQUIVALENT -- 8.8% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 2.460%*+ 21,411,313 21,411 ------------- Total Cash Equivalent (Cost $21,411) ($ Thousands) 21,411 ------------- REPURCHASE AGREEMENT (F) -- 0.7% BNP Paribas 2.320%, dated 05/30/08, to be repurchased on 06/02/08, repurchase price $1,700,329 (collateralized by a FNMA obligation, par value $1,740,322, 5.50%, 05/01/38 with total market value $1,734,000) 1,700 1,700 ------------- Total Repurchase Agreement (Cost $1,700) ($ Thousands) 1,700 ------------- Total Investments -- 98.7% (Cost $257,699) ($ Thousands) $ 241,211 =============
140 SEI Institutional Investments Trust / Annual Report / May 31, 2008 A summary of outstanding swap agreements held by the Fund at May 31, 2008, is as follows (See Note 2 in Notes to Financial Statements):
INTEREEST RATE SWAPS ---------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL AMOUNT APPRECIATION COUNTERPARTY FUND PAYS FUND RECEIVES TERMINATION DATE (THOUSANDS) ($ THOUSANDS) ------------- --------- ------------- ---------------- --------------- -------------- Goldman Sachs 3.23% 3-month LIBOR 05/07/10 10,250 $29 Goldman Sachs 3.85% 3-month LIBOR 05/01/13 4,100 56 --- $85 ===
A summary of the open futures contracts held by the Fund at May 31, 2008, is as follows (See Note 2 in Notes to Financial Statements):
UNREALIZED NUMBER OF APPRECIATION TYPE OF CONTRACTS EXPIRATION (DEPRECIATION) CONTRACT LONG (SHORT) DATE ($ THOUSANDS) ----------------- ------------ ---------- -------------- U.S. 10-Year Note (49) Sep-2008 3 U.S. 5-Year Note 1 Sep-2008 -- U.S. 2-Year Note (3) Oct-2008 (1) --- $ 2 ===
A summary of the outstanding forward foreign currency contracts held by the Fund at May 31, 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) ----------------- --------------- --------------- -------------- 6/11/08 CHF 1,400 USD 1,222 $(118) 6/11/08 JPY 276,000 USD 2,513 (103) 6/11/08 USD 1,253 CHF 1,400 87 6/11/08 USD 2,559 JPY 276,000 57 6/11/08-8/12/08 CHF 3,000 GBP 1,357 (201) 6/11/08-8/12/08 GBP 1,376 CHF 3,000 165 6/11/08-9/10/08 AUD 8,311 JPY 764,000 (614) 6/11/08-9/10/08 GBP 5,044 JPY 1,030,000 (112) 6/11/08-9/10/08 JPY 1,040,000 AUD 11,018 551 6/11/08-11/12/08 CHF 6,600 NZD 7,960 (162) 6/11/08-11/12/08 JPY 1,539,000 GBP 7,486 40 6/11/08-11/12/08 NZD 6,839 CHF 5,600 59 6/12/08 AUD 2,703 GBP 1,313 20 6/12/08 EUR 2,864 SEK 26,690 (5) 6/12/08 GBP 881 AUD 1,825 (2) 6/12/08 SEK 18,290 EUR 1,971 16 7/10/08-8/12/08 CHF 6,800 EUR 4,215 19 7/10/08-8/12/08 EUR 2,624 CHF 4,200 (43) 7/10/08-11/12/08 EUR 7,408 JPY 1,154,000 (465) 7/10/08-11/12/08 JPY 1,804,000 EUR 11,477 565 9/10/08 NZD 3,274 USD 2,500 (19) 9/10/08 USD 2,500 NZD 3,225 (19) 9/10/08-10/10/08 EUR 1,545 USD 2,400 16 9/10/08-11/13/08 GBP 3,597 USD 7,000 (35) 9/10/08-11/13/08 USD 4,800 EUR 3,102 (12) 9/10/08-11/13/08 USD 9,200 GBP 4,700 (12) 10/10/08 NOK 2,960 JPY 58,000 (20) 10/10/08-11/12/08 JPY 174,000 NOK 8,743 29 10/10/08-11/13/08 USD 1,500 AUD 1,621 13 11/12/08 SGD 700 GBP 266 1 11/13/08 AUD 547 USD 500 (10) ----- $(314) =====
Percentages are based on a Net Assets of $244,380 ($ Thousands). * Rate shown is the 7-day effective yield as of May 31, 2008 ++ Real Estate Investment Trust + Investment in Affiliated Security (see Note 3). (A) Unsettled Position -- Interest rate will not be shown until settlement. (B) Unfunded bank loan. (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 effect as of May 31, 2008. The date reported is the next reset date. (E) Step Bonds -- The rate reflected is the effective yield on May 31, 2008. The coupon on a step bond changes on a specified date. (F) Tri-Party Repurchase Agreement. (G) Security, or a portion thereof, has been pledged as collateral on open futures contracts. 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 L.P. -- Limited Partnership MTN -- Medium Term Note NZD -- New Zealand Dollar PLC -- Public Limited Company SEK -- Swedish Krone 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 $0. The accompanying notes are an integral part of the financial statements. SEI Institutional Investments Trust / Annual Report / May 31, 2008 141 SCHEDULE OF INVESTMENTS Core Fixed Income Fund May 31, 2008 SECTOR WEIGHTINGS (UNAUDITED)++: (BAR CHART) Mortgage-Backed Securities 50.0% U.S. Treasury Obligations 10.6% Affiliated Partnership 9.8% Financials 9.4% Short-Term Investments 5.3% Asset-Backed Securities 3.6% Energy 1.8% U.S. Government Agency Obligations 1.8% Industrials 1.6% Utilities 1.2% Consumer Discretionary 1.2% Telecommunication Services 0.9% Health Care 0.6% Consumer Staples 0.6% Sovereign 0.5% Information Technology 0.3% Materials 0.3% Municipal Bonds 0.3% Preferred Stock 0.1% Certificates of Deposit 0.1% Purchased Swaption 0.0%
++ Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 9).
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- MORTGAGE-BACKED SECURITIES -- 65.1% AGENCY MORTGAGE-BACKED OBLIGATIONS -- 46.3% FHLB CMO, Ser 2014, Cl 1 5.340%, 03/20/14 $ 7,154 $ 7,154 FHLB CMO, Ser 2015, Cl A 5.460%, 11/27/15 13,546 13,646 FHLMC 9.750%, 10/01/14 3 3 8.500%, 04/01/09 -- -- 7.500%, 11/01/17 to 06/01/32 937 1,011 7.000%, 11/01/15 to 06/01/32 729 774 6.500%, 10/01/16 to 02/01/38 48,465 50,236 6.000%, 01/01/13 to 03/01/38 118,394 120,609 5.500%, 09/01/13 to 01/01/38 240,803 241,047 5.250%, 07/18/11 to 03/15/12 (B) 10,259 10,643 5.000%, 10/01/14 to 12/01/34 54,690 53,891 4.500%, 04/01/19 to 04/01/28 6,636 6,396 4.000%, 05/01/19 to 10/01/33 2,038 1,862 3.750%, 06/28/13 1,740 1,712 3.600%, 05/20/11 2,141 2,129 FHLMC ARM 6.895%, 06/01/08 7,680 7,817 6.683%, 08/15/08 4,552 4,690 6.670%, 06/01/08 4,549 4,702 6.666%, 06/01/08 4,788 4,919 6.568%, 08/15/08 3,700 3,814 6.483%, 08/15/08 20,451 21,223 6.471%, 08/15/08 3,414 3,497 6.389%, 08/15/08 1,731 1,782 6.383%, 08/15/08 801 823 6.322%, 08/15/08 726 745 6.301%, 08/15/08 2,552 2,619 6.231%, 08/15/08 942 964 6.223%, 08/15/08 9,842 10,036 6.174%, 08/15/08 21 21
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- 6.157%, 08/15/08 $ 8,500 $ 8,706 6.147%, 08/15/08 4,690 4,809 6.015%, 08/15/08 5,261 5,381 5.939%, 08/15/08 15,066 15,442 5.922%, 08/15/08 5,139 5,253 5.912%, 08/15/08 2,431 2,489 5.911%, 08/15/08 1,498 1,532 5.871%, 08/15/08 5,832 5,946 5.866%, 08/15/08 1,842 1,883 5.861%, 08/15/08 21,046 21,516 5.849%, 08/15/08 2,428 2,484 5.841%, 08/15/08 3,827 3,928 5.744%, 08/15/08 2,385 2,446 5.689%, 08/15/08 1,114 1,124 5.617%, 06/01/08 5,658 5,791 5.526%, 08/15/08 17 17 5.192%, 08/15/08 981 1,001 5.115%, 08/15/08 5,718 5,823 FHLMC CMO, Ser 1, Cl Z 9.300%, 04/15/19 27 29 FHLMC CMO, Ser 1081, Cl K 7.000%, 05/15/21 581 614 FHLMC CMO, Ser 1101, Cl M 6.950%, 07/15/21 304 329 FHLMC CMO, Ser 1611, Cl Z 6.500%, 11/15/23 10,632 11,189 FHLMC CMO, Ser 1983, Cl Z 6.500%, 12/15/23 1,399 1,465 FHLMC CMO, Ser 2043, Cl CJ 6.500%, 04/15/28 2,500 2,616 FHLMC CMO, Ser 2389, Cl CD 6.000%, 03/15/16 1,703 1,732 FHLMC CMO, Ser 2542, Cl ES 5.000%, 12/15/17 to 12/15/17 8,683 8,699 FHLMC CMO, Ser 2544, Cl IW, IO 5.500%, 03/15/26 508 4 FHLMC CMO, Ser 2558, Cl BD 5.000%, 01/15/18 3,681 3,659 FHLMC CMO, Ser 2583, Cl TD 4.500%, 12/15/13 3,399 3,410 FHLMC CMO, Ser 2590, Cl NU 5.000%, 06/15/17 1,808 1,835 FHLMC CMO, Ser 2603, Cl KT 4.750%, 07/15/14 4,991 4,989 FHLMC CMO, Ser 2623, Cl AJ 4.500%, 06/01/08 2,531 2,531 FHLMC CMO, Ser 2631, Cl MC 5.000%, 02/15/32 484 474 FHLMC CMO, Ser 2645, Cl MK 3.500%, 07/15/22 575 575 FHLMC CMO, Ser 2672, Cl HA 4.000%, 09/15/16 1,658 1,647 FHLMC CMO, Ser 2694, Cl QG 4.500%, 01/15/29 361 359
142 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- FHLMC CMO, Ser 2708, Cl DG 5.500%, 07/15/32 $ 2,849 $ 2,842 FHLMC CMO, Ser 2725, Cl PC 4.500%, 05/15/28 1,788 1,800 FHLMC CMO, Ser 2727, Cl PW 3.570%, 06/15/29 176 175 FHLMC CMO, Ser 2733, Cl ME 5.000%, 01/15/34 6,302 5,923 FHLMC CMO, Ser 2735, Cl PG 5.500%, 09/15/32 524 525 FHLMC CMO, Ser 2735, Cl OG 5.000%, 08/15/32 1,517 1,498 FHLMC CMO, Ser 2740, Cl PD 5.500%, 06/15/32 3,039 3,050 FHLMC CMO, Ser 2776, Cl AC 5.000%, 09/15/31 1,276 1,242 FHLMC CMO, Ser 2777, Cl KB 5.000%, 03/15/32 2,063 2,016 FHLMC CMO, Ser 2778, Cl JD 5.000%, 12/15/32 1,974 1,947 FHLMC CMO, Ser 2780, Cl TB 3.000%, 12/15/24 1,514 1,510 FHLMC CMO, Ser 2790, Cl TN 4.000%, 05/15/24 2,779 2,523 FHLMC CMO, Ser 2793, Cl GE 5.500%, 11/15/32 437 432 FHLMC CMO, Ser 2809, Cl HX, IO 6.000%, 10/15/24 326 1 FHLMC CMO, Ser 2825, Cl QN 5.500%, 09/15/32 3,958 3,962 FHLMC CMO, Ser 2835, Cl NG 5.500%, 07/15/33 1,248 1,252 FHLMC CMO, Ser 2883, Cl HK 5.000%, 04/15/32 1,144 1,136 FHLMC CMO, Ser 2905, Cl ME 5.500%, 08/15/33 841 840 FHLMC CMO, Ser 2945, Cl SA 7.768%, 06/15/08 (A) 5,381 5,361 FHLMC CMO, Ser 2960, Cl NC 5.500%, 10/15/32 492 495 FHLMC CMO, Ser 3000, Cl PA 3.900%, 01/15/23 2,722 2,710 FHLMC CMO, Ser 3017, Cl TA 4.500%, 08/15/35 3,506 3,472 FHLMC CMO, Ser 3019, Cl VM 5.000%, 08/15/16 1,951 1,962 FHLMC CMO, Ser 3035, Cl PA 5.500%, 09/15/35 1,410 1,436 FHLMC CMO, Ser 3079, Cl MD 5.000%, 03/15/34 3,821 3,714 FHLMC CMO, Ser 3104, Cl QC 5.000%, 09/15/31 2,782 2,765 FHLMC CMO, Ser 3115, Cl MB 5.500%, 12/15/20 819 820
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- FHLMC CMO, Ser 3222, Cl TA 7.000%, 07/15/08 (A) $ 90 $ 84 FHLMC CMO, Ser 3268, Cl HC 5.000%, 12/15/32 1,902 1,873 FHLMC CMO, Ser 3289, Cl PB 5.000%, 11/15/29 2,979 2,976 FHLMC CMO, Ser 3298, Cl VB 5.000%, 11/15/25 2,051 1,939 FHLMC CMO, Ser 3316, Cl HA 5.000%, 07/15/35 6,667 6,642 FHLMC CMO, Ser 3351, Cl PK 5.500%, 01/15/32 10,307 10,457 FHLMC CMO, Ser 3372, Cl BD 4.500%, 10/15/22 2,533 2,366 FHLMC TBA 6.500%, 07/01/33 3,519 3,622 6.000%, 07/15/32 4,803 4,863 5.500%, 07/01/37 3,504 3,470 5.000%, 07/01/36 7,900 7,609 FNMA 8.000%, 04/01/15 to 07/01/31 476 505 7.500%, 06/01/30 -- -- 7.000%, 03/01/09 to 12/01/37 10,389 10,947 6.500%, 05/01/17 to 04/01/38 92,389 95,252 6.000%, 05/01/21 to 02/01/38 175,248 178,105 5.500%, 04/01/14 to 08/01/37 249,323 250,860 5.000%, 06/01/18 to 11/01/36 172,255 170,046 4.500%, 06/01/13 to 06/01/35 49,682 47,817 4.000%, 07/01/20 to 05/01/34 15,533 14,324 3.125%, 06/04/10 1,622 1,610 FNMA ARM 6.756%, 07/25/08 34,516 35,695 6.307%, 06/01/08 4,347 4,463 6.292%, 07/25/08 4,118 4,219 6.287%, 06/01/08 2,106 2,162 6.285%, 06/01/08 2,189 2,248 6.284%, 07/25/08 103 106 6.138%, 07/25/08 30,656 31,679 6.125%, 07/25/08 1,424 1,456 6.098%, 07/25/08 2,753 2,815 6.097%, 07/25/08 931 951 6.065%, 07/25/08 1,983 2,027 6.026%, 07/25/08 1,710 1,747 6.006%, 07/25/08 1,192 1,219 5.977%, 07/25/08 1,750 1,788 5.950%, 07/25/08 4,842 4,956 5.946%, 07/25/08 2,116 2,161 5.941%, 07/25/08 5,128 5,246 5.925%, 07/25/08 1,083 1,105 5.923%, 07/25/08 6,813 6,963 5.887%, 07/25/08 8,056 8,259 5.881%, 07/25/08 1,409 1,436 5.847%, 07/25/08 17,867 18,206 5.845%, 08/15/08 3,522 3,610 5.790%, 07/25/08 13,249 13,540
SEI Institutional Investments Trust / Annual Report / May 31, 2008 143 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- 5.775%, 07/25/08 $ 2,410 $ 2,476 5.770%, 07/25/08 2,201 2,260 5.766%, 07/25/08 3,467 3,550 5.731%, 07/25/08 29,090 29,638 5.711%, 07/25/08 6,769 6,928 5.632%, 07/25/08 12,308 12,487 5.527%, 08/15/08 4,704 4,791 FNMA CMO, Ser 1999-11, Cl Z 5.500%, 03/25/29 3,855 3,918 FNMA CMO, Ser 2001-60, Cl JZ 6.000%, 03/25/31 8 8 FNMA CMO, Ser 2002-94, Cl BJ, IO 5.500%, 04/25/16 192 4 FNMA CMO, Ser 2003-108, Cl BE 4.000%, 11/25/18 230 216 FNMA CMO, Ser 2003-113, Cl PN 3.500%, 02/25/13 366 365 FNMA CMO, Ser 2003-15, Cl CH 4.000%, 06/01/08 1,251 1,244 FNMA CMO, Ser 2003-16, Cl PN 4.500%, 06/01/08 1,677 1,685 FNMA CMO, Ser 2003-3, Cl HJ 5.000%, 02/25/18 2,250 2,250 FNMA CMO, Ser 2004-34, Cl PL 3.500%, 05/25/14 1,697 1,693 FNMA CMO, Ser 2004-60, Cl PA 5.500%, 04/25/34 1,884 1,910 FNMA CMO, Ser 2004-88, Cl HA 6.500%, 07/25/34 1,666 1,729 FNMA CMO, Ser 2005-30, Cl B 5.000%, 07/25/32 1,886 1,814 FNMA CMO, Ser 2005-45, Cl BA 4.500%, 11/25/14 29 29 FNMA CMO, Ser 2005-57, Cl EG 2.693%, 06/25/08 (A) 3,057 2,997 FNMA CMO, Ser 2005-58, Cl MA 5.500%, 07/25/35 1,173 1,196 FNMA CMO, Ser 2005-92, Cl NM 3.500%, 04/25/13 329 328 FNMA CMO, Ser 2006-114, Cl CG 5.500%, 12/25/36 2,598 2,481 FNMA CMO, Ser 2006-53, Cl PA 5.500%, 12/25/26 24 24 FNMA CMO, Ser 2007-113, Cl DB 4.500%, 12/25/22 3,664 3,404 FNMA CMO, Ser 2007-26, Cl BA 5.500%, 05/25/29 885 883 FNMA CMO, Ser 2007-30, Cl MA 4.250%, 02/25/37 6,619 6,531 FNMA CMO, Ser 2007-39, Cl NA 4.250%, 01/25/37 7,920 7,828 FNMA CMO, Ser 2007-6, Cl PA 5.500%, 02/25/37 2,171 2,173
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- FNMA CMO, Ser 2007-7, Cl W 5.500%, 01/25/36 $ 1,896 $ 1,815 FNMA TBA 6.500%, 07/01/37 10,500 10,795 6.000%, 07/01/21 to 07/01/37 38,632 39,416 5.500%, 06/01/22 to 07/01/37 226,745 227,443 5.000%, 06/17/21 to 06/01/38 450,480 435,942 4.500%, 07/17/18 to 07/01/37 55,100 53,409 GNMA 9.500%, 12/15/20 16 18 7.000%, 04/15/26 to 09/15/34 5,130 5,492 6.500%, 06/15/11 to 07/15/35 23,699 24,555 6.000%, 03/15/14 to 02/15/35 59,643 60,927 5.500%, 04/15/14 to 12/15/32 339 343 5.000%, 05/15/33 to 11/15/35 40,969 40,049 GNMA ARM 4.750%, 06/01/08 4,059 4,095 GNMA CMO, Ser 2001-18, Cl WH 21.099%, 06/20/08 (A) 209 244 GNMA CMO, Ser 2002-51, Cl SG 21.759%, 06/20/08 (A) 197 240 GNMA CMO, Ser 2003-58, Cl IG, IO 5.500%, 05/17/29 2,116 42 GNMA CMO, Ser 2003-82, Cl IO, IO 5.500%, 03/20/29 1,942 49 GNMA CMO, Ser 2003-86, Cl ZK 5.000%, 10/20/33 10,935 9,863 GNMA CMO, Ser 2004-80, Cl IP, IO 5.500%, 07/20/34 4,506 266 GNMA CMO, Ser 2004-87, Cl LI, IO 5.000%, 12/20/28 4,084 171 GNMA CMO, Ser 2006-3, Cl A 4.212%, 01/16/28 845 840 GNMA CMO, Ser 2006-37, Cl JG 5.000%, 07/20/36 1,723 1,657 GNMA CMO, Ser 2006-8, Cl A 3.942%, 08/16/25 1,124 1,117 GNMA TBA 6.500%, 07/01/33 10,400 10,715 6.000%, 07/01/34 to 07/01/36 15,800 16,042 5.500%, 07/01/33 50,000 49,845 ------------- 2,851,555 ------------- NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 18.8% Adjustable Rate Mortgage Trust, Ser 2005-8, Cl 4A11 5.438%, 07/25/08 (A) 12,203 11,564 American Home Mortgage Assets, Ser 2006-5, Cl A1 4.996%, 06/01/08 (A) 1,889 1,693 American Home Mortgage Assets, Ser 2007-2, Cl A1 2.518%, 06/25/08 (A) 15,822 12,293
144 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- American Tower Trust, Ser 2007-1A, Cl AFX 5.420%, 04/15/37 (C) $ 3,409 $ 3,307 Amortizing Residential Collateral Trust CMO, Ser 2002-BC1, Cl A 2.733%, 06/25/08 (A) 553 506 Banc of America Alternative Loan Trust, Ser 2004-5, Cl 4A1 5.000%, 06/25/19 1,457 1,360 Banc of America Alternative Loan Trust, Ser 2004-6, Cl 4A1 5.000%, 07/25/19 1,878 1,811 Banc of America Alternative Loan Trust, Ser 2006-7, Cl A3 5.913%, 07/25/08 (A) 2,029 1,722 Banc of America Alternative Loan Trust, Ser 2006-8, Cl 3A1 6.277%, 07/25/08 (A) 2,215 2,032 Banc of America Alternative Loan Trust, Ser 2007-1, Cl 2A1 6.486%, 07/25/08 (A) 535 495 Banc of America Commercial Mortgage Securities, Ser 2006-4, Cl A4 5.634%, 07/10/46 15,000 14,891 Banc of America Commercial Mortgage Securities, Ser 2002-PB2, Cl B 6.309%, 06/11/35 1,075 1,113 Banc of America Commercial Mortgage Securities, Ser 2002-PB2, Cl A4 6.186%, 06/11/35 80 83 Banc of America Commercial Mortgage Securities, Ser 2003-1, Cl A2 4.648%, 06/01/08 2,397 2,346 Banc of America Commercial Mortgage Securities, Ser 2003-1, Cl A1 3.878%, 09/11/36 6,324 6,223 Banc of America Commercial Mortgage Securities, Ser 2004-1, Cl A3 4.429%, 11/10/39 30 29 Banc of America Commercial Mortgage Securities, Ser 2004-1, Cl A4 4.760%, 11/10/39 2,073 2,021 Banc of America Commercial Mortgage Securities, Ser 2004-2, Cl A5 4.580%, 06/01/08 564 539
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Banc of America Commercial Mortgage Securities, Ser 2004-4, Cl A4 4.502%, 07/10/42 $ 3,518 $ 3,465 Banc of America Commercial Mortgage Securities, Ser 2004-6, Cl A3 4.512%, 12/10/42 5,620 5,515 Banc of America Commercial Mortgage Securities, Ser 2005-2, Cl A3 4.611%, 07/10/43 165 164 Banc of America Commercial Mortgage Securities, Ser 2005-3, Cl A4 4.668%, 07/10/43 to 07/10/43 14,601 13,891 Banc of America Commercial Mortgage Securities, Ser 2005-5, Cl A4 5.115%, 07/10/08 (A) 1,190 1,157 Banc of America Commercial Mortgage Securities, Ser 2005-6, Cl A4 5.181%, 07/10/08 (A) 3,804 3,729 Banc of America Commercial Mortgage Securities, Ser 2006-5, Cl XC, IO 0.079%, 07/10/08 (A) (C) 78,304 982 Banc of America Commercial Mortgage, Ser 2000-1, Cl A2A 7.333%, 11/15/31 (A) 3,473 3,560 Banc of America Funding, Ser 2005-B, Cl 2A1 5.096%, 07/20/08 (A) 5,251 4,668 Banc of America Funding, Ser 2007-8, Cl 2A2 7.000%, 10/25/37 175 157 Banc of America Funding, Ser 2007-D, Cl 3A1 5.652%, 07/20/08 (A) 3,934 3,643 Banc of America Mortgage Securities, Ser 2003-1, Cl 2A4 5.000%, 02/25/18 3,509 3,410 Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 24A 5.316%, 07/25/08 (A) 4,995 4,817 Bear Stearns Asset-Backed Securities Trust, Ser 2006-AC1, Cl 1A1 5.750%, 06/01/08 2,831 2,325 Bear Stearns Commercial Mortgage Securities, Ser 2000-WF1, Cl A2 7.780%, 07/15/08 (A) 7,969 8,259
SEI Institutional Investments Trust / Annual Report / May 31, 2008 145 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------ ------------- Bear Stearns Commercial Mortgage Securities, Ser 2004-ESA, Cl C 4.937%, 05/14/16 (C) $ 2,473 $ 2,512 Bear Stearns Commercial Mortgage Securities, Ser 2004-PWR5, Cl A3 4.565%, 07/11/42 115 114 Bear Stearns Commercial Mortgage Securities, Ser 2004-PWR6, Cl A6 4.825%, 11/11/41 637 611 Bear Stearns Commercial Mortgage Securities, Ser 2004-T16, Cl A3 4.030%, 02/13/46 95 94 Bear Stearns Commercial Mortgage Securities, Ser 2005-T18, Cl A4 4.933%, 07/13/08 (A) 2,463 2,374 Bear Stearns Commercial Mortgage Securities, Ser 2007-PW15, Cl A3 5.660%, 07/11/08 (A) (C) 1,189 939 Bear Stearns Commercial Mortgage Securities, Ser 2007-PW17, Cl A4 5.694%, 07/11/08 (A) 2,250 2,191 Bear Stearns Structured Products, Ser 2007-R11, Cl A1A 2.993%, 06/27/08 (A) (C) 24,170 23,022 Chase Funding Mortgage Loan Asset- Backed Certificates, Ser 2002-1, Cl 2A2 2.893%, 06/25/08 (A) 1,171 1,066 Chase Mortgage Finance, Ser 2005-A1, Cl 2A3 5.237%, 07/25/08 (A) 13,166 12,827 Chase Mortgage Finance, Ser 2005-A1, Cl 1A1 5.409%, 07/25/08 (A) 2,423 2,251 Chaseflex Trust, Ser 2007-1, Cl 1A3 6.500%, 02/25/37 1,817 1,420 Citicorp Residential Mortgage Securities, Ser 2006-1, Cl A2 5.682%, 07/25/36 2,150 2,116 Citicorp Residential Mortgage Securities, Ser 2006-2, Cl A2 5.557%, 06/01/08 2,268 2,230 Citigroup Commercial Mortgage Trust, Ser 2008-C7, Cl A4 6.095%, 07/10/08 (A) 6,110 6,163 Citigroup Mortgage Loan Trust, Ser 2005-11, Cl A3 4.900%, 07/25/08 (A) 7,695 7,390 Citigroup Mortgage Loan Trust, Ser 2005-9, Cl 21A2 5.500%, 11/25/35 1,077 1,021 Citigroup Mortgage Loan Trust, Ser 2006-AR3, Cl 1A1A 5.937%, 07/25/08 (A) 526 478
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------ ------------- Citigroup Mortgage Loan Trust, Ser 2007-AHL1, Cl A2A 2.433%, 06/25/08 (A) $ 2,429 $ 2,297 Citigroup Mortgage Loan Trust, Ser 2007-AR5, Cl 1A2A 5.609%, 07/25/08 (A) 6 5 Citimortgage Alternative Loan Trust, Ser 2006-A1, Cl 1A6 6.000%, 04/25/36 3,397 3,041 Commercial Mortgage Asset Trust, Ser 1999-C2, Cl A2 7.546%, 07/17/08 (A) 359 368 Commercial Mortgage Pass-Through Certificates, Ser 2001-J2A, Cl A2 6.096%, 07/16/34 (C) 5,564 5,724 Commercial Mortgage Pass-Through Certificates, Ser 2005-C6, Cl A3 5.144%, 06/10/08 12,600 12,511 Commercial Mortgage Pass-Through Certificates, Ser 2006-C7, Cl AM 5.986%, 07/10/08 (A) 11,330 10,805 Countrywide Alternative Loan Trust, Ser 2003-20CB, Cl 1A1 5.500%, 10/25/33 3,352 3,307 Countrywide Alternative Loan Trust, Ser 2004-27CB, Cl A1 6.000%, 12/25/34 3,020 2,773 Countrywide Alternative Loan Trust, Ser 2004-J1, Cl 1A1 6.000%, 02/25/34 797 753 Countrywide Alternative Loan Trust, Ser 2004-J6, Cl 2A1 6.500%, 11/25/31 2,421 2,445 Countrywide Alternative Loan Trust, Ser 2005-27, Cl 3A2 5.176%, 06/01/08 (A) 1,329 1,035 Countrywide Alternative Loan Trust, Ser 2005-27, Cl 2A1 5.872%, 06/01/08 (A) 4,838 3,634 Countrywide Alternative Loan Trust, Ser 2005-56, Cl 4A1 2.703%, 06/25/08 (A) 9,000 7,287 Countrywide Alternative Loan Trust, Ser 2005-59, Cl 1A1 3.225%, 06/20/08 (A) 10,952 9,013 Countrywide Alternative Loan Trust, Ser 2005-72, Cl A1 3.405%, 06/27/08 (A) 3,824 3,126 Countrywide Alternative Loan Trust, Ser 2006-OA11, Cl A4 2.583%, 06/25/08 (A) 11,811 8,918 Countrywide Alternative Loan Trust, Ser 2006-OA14, Cl 1A2 4.956%, 07/25/08 (A) 1,204 718
146 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------ ------------- Countrywide Alternative Loan Trust, Ser 2006-OA2, Cl X1P, IO 2.000%, 06/01/08 $ 36,668 $ 1,595 Countrywide Alternative Loan Trust, Ser 2006-OC6, Cl 2A1 2.463%, 06/25/08 (A) 3,326 3,119 Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2005-20, Cl A7 5.250%, 06/01/08 857 748 Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2005-R3, Cl AF 2.793%, 06/25/08 (A) (C) 9,675 8,493 Credit Suisse First Boston Mortgage Securities, Ser 1998-C2, Cl A2 6.300%, 11/15/30 1,569 1,577 Credit Suisse First Boston Mortgage Securities, Ser 2001-CF2, Cl A4 6.505%, 02/15/34 2,189 2,264 Credit Suisse First Boston Mortgage Securities, Ser 2001-CK1, Cl A3 6.380%, 12/18/35 1,297 1,338 Credit Suisse First Boston Mortgage Securities, Ser 2001-CKN5, Cl A4 5.435%, 09/15/34 3,619 3,661 Credit Suisse First Boston Mortgage Securities, Ser 2001-MH29, Cl A 5.600%, 09/25/31 726 722 Credit Suisse First Boston Mortgage Securities, Ser 2002-CKN2, Cl A3 6.133%, 04/15/37 2,592 2,674 Credit Suisse First Boston Mortgage Securities, Ser 2002-CKS4, Cl A1 4.485%, 11/15/36 95 94 Credit Suisse First Boston Mortgage Securities, Ser 2002-CKS4, Cl A2 5.183%, 11/15/36 21,131 21,068 Credit Suisse First Boston Mortgage Securities, Ser 2003-C4, Cl A4 5.137%, 07/15/08 (A) 1,905 1,886 Credit Suisse First Boston Mortgage Securities, Ser 2003-C5, Cl A4 4.900%, 07/15/08 (A) 4,265 4,161 Credit Suisse First Boston Mortgage Securities, Ser 2003-CK2, Cl A4 4.801%, 03/15/36 1,334 1,311 Credit Suisse First Boston Mortgage Securities, Ser 2004-C2, Cl A1 3.819%, 05/15/36 10,275 10,038 Credit Suisse First Boston Mortgage Securities, Ser 2004-C2, Cl A2 5.416%, 07/15/08 (A) 3,253 3,217
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------ ------------- Credit Suisse First Boston Mortgage Securities, Ser 2005-C1, Cl AAB 4.815%, 06/01/08 $ 1,154 $ 1,129 Credit Suisse First Boston Mortgage Securities, Ser 2005-C6, Cl A4 5.230%, 07/15/08 (A) 22,220 21,722 Credit Suisse First Boston Mortgage Securities, Ser 8, Cl 1A2 5.250%, 06/01/08 4,284 4,223 DLJ Commercial Mortgage, Ser 1999-CG2, Cl A1B 7.300%, 07/10/08 (A) 3,501 3,577 DLJ Commercial Mortgage, Ser 2000-CKP1, Cl A1B 7.180%, 11/10/33 192 200 DLJ Commercial Mortgage, Ser CG3, Cl A1B 7.340%, 10/10/32 2,961 3,044 DSLA Mortgage Loan Trust, Ser 2004-AR2, Cl A2B 2.898%, 06/19/08 (A) 3,017 2,055 EMC Mortgage Loan Trust, Ser 2002-AA, Cl A1 2.863%, 06/25/08 (A) (C) 1,124 929 First Horizon Alternative Mortgage Securities, Ser 2006-RE1, Cl A1 5.500%, 05/25/35 3,378 3,106 First Union National Bank Commercial Mortgage, Ser 1999-C4, Cl A2 7.390%, 12/15/31 139 143 First Union National Bank Commercial Mortgage, Ser 2000-C2, Cl A2 7.202%, 10/15/32 1,824 1,907 First Union National Bank Commercial Mortgage, Ser 2001-C4, Cl B 6.417%, 12/12/33 926 962 GE Capital Commercial Mortgage, Ser 2001-2, Cl A3 6.030%, 08/11/33 1,266 1,286 GE Capital Commercial Mortgage, Ser 2001-3, Cl A1 5.560%, 06/10/38 94 95 GE Capital Commercial Mortgage, Ser 2002-3A, Cl A2 4.996%, 12/10/37 12,500 12,345 GE Capital Commercial Mortgage, Ser 2003-C1, Cl A3 4.371%, 01/10/38 25 25 GE Capital Commercial Mortgage, Ser 2004-C1, Cl A3 4.596%, 11/10/38 3,296 3,202
SEI Institutional Investments Trust / Annual Report / May 31, 2008 147 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------ ------------- GE Capital Commercial Mortgage, Ser 2005-C4, Cl A3A 5.512%, 06/01/08 (A) $ 14,500 $ 14,447 GE Capital Commercial Mortgage, Ser 2007-C1, Cl A4 5.543%, 06/01/08 5,060 4,890 GMAC Commercial Mortgage Securities, Ser 2000-C1, Cl A2 7.724%, 07/15/08 (A) 8,178 8,479 GMAC Commercial Mortgage Securities, Ser 2000-C2, Cl A2 7.455%, 07/16/08 (A) 9,839 10,246 GMAC Commercial Mortgage Securities, Ser 2000-C3, Cl A2 6.957%, 09/15/35 5,246 5,474 GMAC Commercial Mortgage Securities, Ser 2001-C2, Cl A2 6.700%, 04/15/34 30,056 31,392 GMAC Commercial Mortgage Securities, Ser 2002-C3, Cl A2 4.930%, 07/10/39 3,009 2,985 GMAC Commercial Mortgage Securities, Ser 2003-C3, Cl A4 5.023%, 04/10/40 6,168 6,057 GMAC Commercial Mortgage Securities, Ser 2004-C1, Cl A1 3.118%, 03/10/38 206 205 GMAC Commercial Mortgage Securities, Ser 2004-C2, Cl A1 3.896%, 08/10/38 153 152 GMAC Mortgage Loan Trust, Ser 2004-J4, Cl A1 5.500%, 06/01/08 882 868 GMAC Mortgage Loan Trust, Ser 2005-HE3, Cl A1VN 3.155%, 06/25/08 (A) 9,459 7,129 GMAC Mortgage Loan Trust, Ser 2007-HE2, Cl A6 6.249%, 06/01/08 964 964 Greenpoint Mortgage Funding Trust, Ser 2007-AR1, Cl 1A1A 2.473%, 06/25/08 (A) 19,256 14,210 Greenwich Capital Commercial Funding, Ser 2005-GG5, Cl A2 5.117%, 04/10/37 1,517 1,526 Greenwich Capital Commercial Funding, Ser 2007-GG9, Cl X, IO 0.512%, 06/01/08 (A) (C) 22,808 419 GS Mortgage Securities II, Ser 1998-C1, Cl B 6.970%, 10/18/30 878 878 GS Mortgage Securities II, Ser 2005-GG4, Cl AABA 4.680%, 07/10/39 5,800 5,626
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------ ------------- GSMPS Mortgage Loan Trust, Ser 1998-1, Cl A 8.000%, 07/19/08 (A) (C) $ 6 $ 6 GSMPS Mortgage Loan Trust, Ser 2006-RP2, Cl 1AF1 2.792%, 06/25/08 (A) (C) 2,695 2,680 GSR Mortgage Loan Trust, Ser 2006-9F, Cl 4A1 6.500%, 10/25/36 1,253 1,261 Harborview Mortgage Loan Trust, Ser 2005-01, Cl X, IO 2.967%, 06/01/08 16,147 232 Harborview Mortgage Loan Trust, Ser 2005-12, Cl X2B, IO 2.914%, 06/01/08 (A) 25,236 536 Heller Financial Commercial Mortgage Asset, Ser 1999-PH1, Cl C 7.021%, 06/15/08 (A) 239 243 Impac Secured Assets CMN Owner Trust, Ser 2006-2, Cl 2A1 2.743%, 06/25/08 (A) 903 722 Indymac INDA Mortgage Loan Trust, Ser 2007-AR7, Cl 1A1 6.263%, 07/25/08 (A) 2,898 2,730 Indymac Index Mortgage Loan Trust, Ser 2004-AR12, Cl AX2, IO 0.760%, 06/01/08 6,226 84 JPMorgan Chase Commercial Mortgage Finance, Ser 2000-C10, Cl A2 7.371%, 07/15/08 (A) 1,912 1,976 JPMorgan Chase Commercial Mortgage Securities, Ser 2006-CB15, Cl ASB 5.790%, 07/12/08 (A) 520 517 JPMorgan Chase Commercial Mortgage, Ser 2002-C2, Cl A2 5.050%, 12/12/34 7,206 7,177 JPMorgan Chase Commercial Mortgage, Ser 2002-C3, Cl A1 4.200%, 07/12/35 50 49 JPMorgan Chase Commercial Mortgage, Ser 2002-CIB5, Cl A2 5.161%, 10/12/37 1,137 1,137 JPMorgan Chase Commercial Mortgage, Ser 2003-CB7, Cl A4 4.879%, 06/12/08 (A) 2,383 2,313 JPMorgan Chase Commercial Mortgage, Ser 2003-PM1A, Cl A4 5.326%, 07/12/08 (A) 1,911 1,902 JPMorgan Chase Commercial Mortgage, Ser 2004-C3, Cl A2 4.223%, 01/15/42 12,948 12,841
148 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------ ------------- JPMorgan Chase Commercial Mortgage, Ser 2004-C3, Cl A4 4.657%, 01/15/42 $ 4,000 $ 3,893 JPMorgan Chase Commercial Mortgage, Ser 2005-CB12, Cl A4 4.895%, 09/12/37 530 510 JPMorgan Chase Commercial Mortgage, Ser 2005-LDP2, Cl A1 4.334%, 07/15/42 771 770 JPMorgan Chase Commercial Mortgage, Ser 2005-LDP3, Cl A1 4.655%, 08/15/42 584 584 JPMorgan Chase Commercial Mortgage, Ser 2005-LDP4, Cl A4 4.918%, 06/01/08 (A) 6,200 5,962 JPMorgan Chase Commercial Mortgage, Ser 2006-CB16, Cl AM 5.593%, 05/12/45 11,570 10,768 JPMorgan Chase Commercial Mortgage, Ser 2006-LDP7, Cl A2 6.051%, 06/01/08 (A) 315 321 JPMorgan Chase Commercial Mortgage, Ser 2006-LDP7, Cl A1 6.023%, 06/01/08 (A) 57 58 JPMorgan Mortgage Acquisition, Ser 2007-CH1, Cl AF6 5.501%, 06/01/08 9,605 8,012 JPMorgan Mortgage Trust, Ser 2004-A5, Cl 4A2 4.829%, 07/25/08 (A) 5,853 5,767 JPMorgan Mortgage Trust, Ser 2004-A5, Cl 4A4 4.827%, 06/01/08 (A) 11,500 10,823 JPMorgan Mortgage Trust, Ser 2005-A3, Cl 11A2 4.493%, 06/25/08 (A) 13,065 10,944 JPMorgan Mortgage Trust, Ser 2005-A8, Cl 1A1 5.405%, 06/01/08 (A) 5,916 5,699 JPMorgan Mortgage Trust, Ser 2006-A2, Cl 2A2 5.753%, 06/01/08 (A) 13,400 12,201 JPMorgan Mortgage Trust, Ser 2006-A3, Cl 3A4 5.738%, 06/01/08 (A) 14,500 12,789 LB Commercial Conduit Mortgage Trust, Ser 1999-C2, Cl B 7.425%, 10/15/32 371 383 LB-UBS Commercial Mortgage Trust, Ser 2001-C2, Cl A2 6.653%, 11/15/27 702 733 LB-UBS Commercial Mortgage Trust, Ser 2001-C3, Cl A2 6.365%, 12/15/28 1,931 2,005
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------ ------------- LB-UBS Commercial Mortgage Trust, Ser 2002-C2, Cl A4 5.594%, 06/15/31 $ 21,324 $ 21,626 LB-UBS Commercial Mortgage Trust, Ser 2003-C5, Cl A2 3.478%, 07/15/27 930 929 LB-UBS Commercial Mortgage Trust, Ser 2003-C8, Cl A4 5.124%, 07/15/08 (A) 17,485 17,260 LB-UBS Commercial Mortgage Trust, Ser 2004-C4, Cl A2 4.567%, 06/11/08 (A) 510 510 LB-UBS Commercial Mortgage Trust, Ser 2004-C8, Cl A4 4.510%, 06/11/08 360 353 LB-UBS Commercial Mortgage Trust, Ser 2005-C1, Cl C 4.836%, 06/11/08 (A) 334 292 LB-UBS Commercial Mortgage Trust, Ser 2005-C2, Cl A4 4.998%, 04/15/30 123 121 LB-UBS Commercial Mortgage Trust, Ser 2005-C2, Cl A5 5.150%, 07/15/08 (A) 7,909 7,745 LB-UBS Commercial Mortgage Trust, Ser 2005-C5, Cl A2 4.885%, 09/15/30 180 180 LB-UBS Commercial Mortgage Trust, Ser 2005-C7, Cl A2 5.103%, 11/15/30 995 1,001 LB-UBS Commercial Mortgage Trust, Ser 2006-C7, Cl A2 5.300%, 11/15/38 2,425 2,423 LB-UBS Commercial Mortgage Trust, Ser 2006-C7, Cl E 5.516%, 06/11/08 (A) 494 357 LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl AAB 5.403%, 02/15/40 1,357 1,317 LB-UBS Commercial Mortgage Trust, Ser C2, Cl A2 4.821%, 04/15/30 185 185 Long Beach Mortgage Loan Trust, Ser 2006-4, Cl 2A1 2.442%, 06/25/08 (A) 439 438 Master Adjustable Rate Mortgages Trust, Ser 2004-13, Cl 3A7A 3.787%, 06/01/08 (A) 11,650 11,463 Master Adjustable Rate Mortgages Trust, Ser 2007-3, Cl 12A1 2.593%, 06/01/08 (A) 21,772 16,892 Master Reperforming Loan Trust, Ser 2005-1, Cl 1A1 6.000%, 08/25/34 (C) 4,463 4,116
SEI Institutional Investments Trust / Annual Report / May 31, 2008 149 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Master Reperforming Loan Trust, Ser 2006-1, Cl 1A1F 2.752%, 06/25/08 (A) $ 1,976 $ 1,747 Merrill Lynch Mortgage Investors, Ser 2004-A1, Cl 4A 5.319%, 06/01/08 (A) 6,602 6,150 Merrill Lynch Mortgage Investors, Ser 2006-WMC2, Cl A2B 5.609%, 06/01/08 507 481 Merrill Lynch Mortgage Investors, Ser 2006-WMC2, Cl A2D 5.895%, 06/25/08 5,789 4,620 Merrill Lynch Mortgage Trust, Ser 2004-BPC1, Cl A5, IO 0.157%, 06/01/08 (A) 21,814 361 Merrill Lynch Mortgage Trust, Ser 2004-MKB1, Cl A3 4.892%, 02/12/42 151 150 Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-5, Cl B 5.479%, 07/12/08 (A) 307 224 Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-5, Cl C 5.509%, 07/12/08 (A) 342 243 Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-5, Cl X, IO 0.544%, 07/12/08 (A) 4,026 126 Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-6, Cl A4 5.485%, 07/12/08 (A) 6,740 6,479 MLCC Mortgage Investors, Ser 2004-B, Cl A3 5.952%, 06/01/08 (A) 746 701 Morgan Stanley Capital I, Ser 2003-IQ5, Cl A4 5.010%, 06/01/08 3,770 3,744 Morgan Stanley Capital I, Ser 2004-HQ3, Cl A4 4.800%, 01/13/41 2,256 2,184 Morgan Stanley Capital I, Ser 2005-HQ5, Cl A3 5.007%, 01/14/42 110 109 Morgan Stanley Capital I, Ser 2005-HQ5, Cl AAB 5.037%, 01/14/42 3,294 3,228 Morgan Stanley Capital I, Ser 2005-HQ6, Cl A4A 4.989%, 08/13/42 4,630 4,481 Morgan Stanley Capital I, Ser 2005-HQ7, Cl AAB 5.185%, 07/14/08 (A) 5,783 5,675
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Morgan Stanley Capital I, Ser 2006-T21, Cl A4 5.162%, 07/12/08 (A) $ 6,900 $ 6,690 Morgan Stanley Capital I, Ser 2006-WMC1, Cl A2A 2.463%, 06/25/08 (A) 20 20 Morgan Stanley Capital I, Ser 2007-HE2, Cl A2A 2.433%, 06/25/08 (A) 1,087 1,057 Morgan Stanley Dean Witter Capital I, Ser 2001-TOP3, Cl A4 6.390%, 06/15/11 2,692 2,785 Morgan Stanley Dean Witter Capital, Ser 2000-LIFE, Cl A2 7.570%, 07/15/08 (A) 2,968 3,065 Morgan Stanley Dean Witter Capital, Ser 2001-TOP1, Cl A4 6.660%, 02/15/33 2,380 2,467 Morgan Stanley Dean Witter Capital, Ser 2001-TOP5, Cl A4 6.390%, 10/15/35 528 547 Morgan Stanley Dean Witter Capital, Ser 2002-IQ2, Cl A3 5.520%, 12/15/35 681 685 Morgan Stanley Dean Witter Capital, Ser 2003-HQ2, Cl A1 4.180%, 03/12/35 256 249 Morgan Stanley Mortgage Loan Trust, Ser 2007-3XS, Cl 2A3S 5.858%, 06/01/08 31 21 Morgan Stanley Mortgage Loan Trust, Ser 2007-6XS, Cl 2A1S 2.503%, 06/25/08 (A) 1,115 1,029 Nationslink Funding, Ser 1999-1, Cl A2 6.316%, 01/20/31 4,671 4,689 New York Mortgage Trust, Ser 2006-1, Cl 2A2 5.646%, 07/25/08 (A) 788 754 Nomura Asset Securities, Ser 1998-D6, Cl A1C 6.690%, 03/15/30 166 174 Oakwood Mortgage Investors, Ser 2002-C, Cl AIO, IO 6.000%, 08/15/10 5,944 607 Option One Mortgage Loan Trust, Ser 2001-4, Cl A 2.993%, 06/25/08 (A) 334 324 Ownit Mortgage Loan Asset-Backed Certificates, Ser 2006-1, Cl AF1 5.424%, 12/25/36 286 285 Prime Mortgage Trust, Ser 2006-CL1, Cl A1 2.892%, 06/25/08 (A) 96 74
150 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Prime Mortgage Trust, Ser 2006-DR1, Cl 2A1 5.500%, 05/25/35 (C) $ 3,537 $ 3,346 RAAC, Ser 2005-SP1, Cl 2A2 5.250%, 06/01/08 2,096 1,985 RAAC, Ser 2007-RP4, Cl A 2.743%, 06/25/08 (A) (C) 21,260 13,837 Residential Accredit Loans, Ser 2006-QO8, Cl 1A1A 2.482%, 06/25/08 (A) 14,287 13,271 Residential Asset Mortgage Products, Ser 2003-RS7, Cl AI6 5.340%, 06/01/08 (A) 1,256 1,155 Residential Asset Mortgage Products, Ser 2004-SL1, Cl A8 6.500%, 11/25/31 1,929 1,978 Residential Asset Mortgage Products, Ser 2004-SL3, Cl A2 6.500%, 12/25/31 3,290 3,259 Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1 5.247%, 06/01/08 (A) 2,821 2,667 Residential Funding Mortgage Securities II, Ser 2000-HI1, Cl AI7 8.290%, 02/25/25 1,649 1,535 Residential Funding Mortgage Securities II, Ser 2005-HS1, Cl AI1 2.513%, 06/25/08 (A) 1,837 1,770 Residential Funding Mortgage Securities II, Ser 2007-HSA3, Cl AI2 5.980%, 07/25/08 (A) 922 755 Salomon Brothers Mortgage Securities VII, Ser 2000-C3, Cl A2 6.592%, 12/18/33 861 887 Salomon Brothers Mortgage Securities VII, Ser 2002-KEY2, Cl A2 4.467%, 03/18/36 2,448 2,422 Structured Adjustable Rate Mortgage Loan Trust, Ser 2005-18, Cl 1A1 5.650%, 07/25/08 (A) 5,802 5,091 Structured Adjustable Rate Mortgage Loan Trust, Ser 2005-19XS, Cl 1A1 2.712%, 06/26/08 to 06/26/08 (A) 7,855 6,417 Structured Asset Mortgage Investments, Ser 2007-AR4, Cl GA4B 2.572%, 06/25/08 (A) 22,145 17,194 Terwin Mortgage Trust, Ser 2005-9HGS, Cl A1 4.000%, 06/01/08 (A) (C) 1,333 1,211 Terwin Mortgage Trust, Ser 2006-6, Cl 1A2 4.750%, 06/21/08 (A) 10,000 5,300
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Terwin Mortgage Trust, Ser 2006-8, Cl 1A2 5.000%, 06/01/08 (A) (C) $ 6,000 $ 947 Thornburg Mortgage Securities Trust, Ser 2005-3, Cl A2 2.633%, 06/25/08 (A) 12,773 12,712 Thornburg Mortgage Securities Trust, Ser 2005-4, Cl A4 2.593%, 06/25/08 (A) 17,067 16,908 Thornburg Mortgage Securities Trust, Ser 2006-1, Cl A3 2.563%, 06/01/08 (A) 17,770 17,522 Thornburg Mortgage Securities Trust, Ser 2007-4, Cl 3A1 6.216%, 06/01/08 (A) 8,442 7,848 Thornburg Mortgage Securities Trust, Ser 2007-4, Cl 2A1 6.216%, 07/25/08 (A) 9,233 8,686 UBS Paine Webber Commercial Mortgage Trust, Ser 2004-C8, Cl A2 4.201%, 12/15/29 886 880 US Bank National Mortgage Association, Ser 2007-1, Cl A 5.920%, 05/25/12 8,338 8,364 Wachovia Bank Commercial Mortgage Trust, Ser 2002-C1, Cl A4 6.287%, 04/15/34 2,587 2,682 Wachovia Bank Commercial Mortgage Trust, Ser 2002-C2, Cl A4 4.980%, 11/15/34 5,996 5,950 Wachovia Bank Commercial Mortgage Trust, Ser 2003-C5, Cl A2 3.989%, 06/15/35 955 905 Wachovia Bank Commercial Mortgage Trust, Ser 2003-C6, Cl A3 4.957%, 07/15/08 (A) 4,281 4,287 Wachovia Bank Commercial Mortgage Trust, Ser 2003-C7, Cl A1 4.241%, 10/15/35 (C) 729 721 Wachovia Bank Commercial Mortgage Trust, Ser 2003-C8, Cl A3 4.445%, 11/15/35 1,021 1,015 Wachovia Bank Commercial Mortgage Trust, Ser 2003-C9, Cl A4 5.012%, 07/15/08 (A) 1,034 1,007
SEI Institutional Investments Trust / Annual Report / May 31, 2008 151 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Wachovia Bank Commercial Mortgage Trust, Ser 2004-C10, Cl A4 4.748%, 02/15/41 $ 10,421 $ 9,998 Wachovia Bank Commercial Mortgage Trust, Ser 2005-C18, Cl A4 4.935%, 04/15/42 934 902 Wachovia Bank Commercial Mortgage Trust, Ser 2005-C20, Cl A4 5.285%, 06/01/08 (A) 280 282 Wachovia Bank Commercial Mortgage Trust, Ser 2005-C20, Cl A7 5.118%, 06/01/08 (A) 1,691 1,646 Wachovia Bank Commercial Mortgage Trust, Ser 2005-C21, Cl A4 5.384%, 06/01/08 (A) 2,246 2,215 Wachovia Bank Commercial Mortgage Trust, Ser 2006-C26, Cl APB 5.997%, 06/15/45 3,034 3,059 Washington Mutual Mortgage Pass-Through Certificates, Ser 2002-AR18, Cl A 6.566%, 06/01/08 (A) 497 481 Washington Mutual Mortgage Pass-Through Certificates, Ser 2003-MS1, Cl 1A 5.000%, 02/25/18 1,204 1,170 Washington Mutual Mortgage Pass-Through Certificates, Ser 2003-MS2, Cl 3A1 5.000%, 03/25/18 4,830 4,694 Washington Mutual Mortgage Pass-Through Certificates, Ser 2003-S13, Cl 22A1 5.000%, 06/01/08 923 886 Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-AR11, Cl A1A 2.713%, 06/25/08 (A) 199 163 Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-AR13, Cl A1A1 2.683%, 06/25/08 (A) 5,111 4,127 Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-AR15, Cl A1A2 2.672%, 06/25/08 (A) 7,876 6,448
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-AR16, Cl 1A4A 5.101%, 06/25/08 (A) $ 13,585 $ 13,094 Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-AR19, Cl A1A2 2.683%, 06/25/08 (A) 7,755 6,776 Washington Mutual Mortgage Pass-Through Certificates, Ser 2006-AR1, Cl 1A1B 5.146%, 06/01/08 (A) 3,773 2,320 Washington Mutual Mortgage Pass-Through Certificates, Ser 2006-AR14, Cl 1A4 5.647%, 06/01/08 (A) 657 630 Washington Mutual Mortgage Pass-Through Certificates, Ser 2006-AR15, Cl 1A 4.916%, 06/01/08 (A) 3,832 2,899 Washington Mutual Mortgage Pass-Through Certificates, Ser 2006-AR15, Cl 1A1B 4.916%, 06/01/08 (A) 2,211 1,303 Washington Mutual Mortgage Pass-Through Certificates, Ser 2006-AR15, Cl 2A1B 5.576%, 06/01/08 (A) 2,364 1,300 Washington Mutual Mortgage Pass-Through Certificates, Ser 2006-AR16, Cl 2A4 5.636%, 07/25/08 (A) 532 466 Washington Mutual Mortgage Pass-Through Certificates, Ser 2006-AR17, Cl 1A1B 4.886%, 06/01/08 (A) 730 405 Washington Mutual Mortgage Pass-Through Certificates, Ser 2006-AR17, Cl 2A 5.470%, 06/01/08 (A) 819 672 Washington Mutual Mortgage Pass-Through Certificates, Ser 2006-AR18, Cl 2A3 5.492%, 06/01/08 (A) 1,640 1,519 Washington Mutual Mortgage Pass-Through Certificates, Ser 2006-AR4, Cl DA 5.046%, 06/01/08 (A) 1,696 1,137 Washington Mutual Mortgage Pass-Through Certificates, Ser 2006-AR7, Cl 1A 5.056%, 07/25/08 (A) 402 316
152 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Washington Mutual Mortgage Pass-Through Certificates, Ser 2006-AR7, Cl A1B 4.996%, 06/01/08 (A) $ 1,280 $ 762 Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-HY1, Cl 4A1 5.474%, 06/01/08 (A) 9,546 8,974 Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-HY1, Cl 1A1 5.714%, 06/01/08 (A) 8,562 8,203 Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-HY3, Cl 1A1 5.666%, 06/01/08 (A) 9,686 9,263 Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-HY6, Cl 2A1 5.697%, 06/01/08 (A) 3,909 3,652 Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-HY6, Cl 1A1 5.674%, 07/25/08 (A) 1,765 1,613 Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-HY6, Cl 3A2 5.818%, 06/21/08 (A) 4,839 4,447 Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-HY7, Cl 3A1 5.911%, 06/01/08 (A) 899 849 Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-HY7, Cl 2A1 5.874%, 06/01/08 (A) 1,557 1,420 Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-OA5, Cl 1A 4.826%, 06/01/08 (A) 14,937 11,147 Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-OA5, Cl A1B 4.916%, 06/01/08 (A) 18,597 12,806 Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-OA6, Cl 1A1B 4.886%, 06/01/08 (A) 797 457 Wells Fargo Alternative Loan Trust, Ser 2007-PA2, Cl 1A5 6.000%, 06/25/37 904 753 Wells Fargo Alternative Loan Trust, Ser 2007-PA5, Cl 1A2 6.250%, 11/25/37 462 439
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-H, Cl A1 4.526%, 06/01/08 (A) $ 5,688 $ 5,504 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR18, Cl 1A1 5.939%, 06/01/08 (A) 1,647 1,523 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR19, Cl A1 5.643%, 06/01/08 (A) 1,499 1,412 Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-L, Cl A5 4.787%, 07/25/08 (A) 881 852 Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-L, Cl A6 4.787%, 07/25/08 (A) 895 852 Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-O, Cl A1 4.886%, 06/01/08 (A) 1,147 1,093 Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-S, Cl A7 3.541%, 06/01/08 (A) 780 774 Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-14, Cl 2A1 5.500%, 06/01/08 1,243 1,185 Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR10, Cl 2A17 3.500%, 06/01/08 (A) 2,085 2,027 Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR14, Cl A1 5.388%, 06/01/08 (A) 1,319 1,249 Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR16, Cl 7A1 5.257%, 06/01/08 (A) 3,716 3,689 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-2, Cl 3A1 5.750%, 03/25/36 15,500 14,754 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-7, Cl 3A1 6.000%, 06/01/08 713 686 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR6, Cl 7A1 5.111%, 06/01/08 (A) 2,784 2,535 Wells Fargo Mortgage-Backed Securities Trust, Ser 2007-R9, Cl A1 5.995%, 07/25/08 (A) 1,774 1,631
SEI Institutional Investments Trust / Annual Report / May 31, 2008 153 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------ ------------- ------------- Zuni Mortgage Loan Trust, Ser 2006-OA1, Cl A1 2.522%, 06/25/08 (A) $ 7,482 $ 7,121 ------------- 1,151,367 ------------- Total Mortgage-Backed Securities (Cost $4,089,695) ($ Thousands) 4,002,922 ------------- CORPORATE OBLIGATIONS -- 23.9% CONSUMER DISCRETIONARY -- 1.6% Clear Channel Communications 6.250%, 03/15/11 2,740 2,329 4.250%, 05/15/09 1,040 1,006 Comcast 9.000%, 09/01/08 710 715 6.500%, 01/15/15 3,635 3,753 6.500%, 01/15/17 (B) 2,155 2,217 5.700%, 05/15/18 2,320 2,252 Comcast Cable Communications 8.375%, 03/15/13 11,235 12,390 6.750%, 01/30/11 1,840 1,901 COX Communications 7.875%, 08/15/09 440 453 CVS 5.789%, 01/10/26 (C) 2,091 1,945 CVS Lease Pass-Through 6.036%, 12/10/28 (B) (C) 10,526 9,533 5.880%, 01/10/28 (C) 186 168 Daimler Finance North America LLC MTN 3.218%, 06/13/08 (A) 5,920 5,883 DaimlerChrysler 8.500%, 01/18/31 1,010 1,149 7.300%, 01/15/12 1,995 2,115 6.500%, 11/15/13 8,345 8,651 Eastman Kodak 7.250%, 11/15/13 2,445 2,408 Ford Motor 7.450%, 07/16/31 (B) 2,770 1,918 Home Depot 5.875%, 12/16/36 1,831 1,514 Macy's Retail Holdings 5.350%, 03/15/12 1,617 1,524 McDonald's MTN 6.300%, 03/01/38 1,585 1,564 5.350%, 03/01/18 7,505 7,346 News America 6.200%, 12/15/34 315 294 Rogers Cable 5.500%, 03/15/14 910 884 Target 7.000%, 01/15/38 2,040 2,129 4.000%, 06/15/13 355 344
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------ ------------- ------------- Time Warner 7.700%, 05/01/32 $ 4,185 $ 4,380 6.875%, 05/01/12 350 360 Time Warner Cable 5.850%, 05/01/17 1,230 1,180 Time Warner Entertainment 8.375%, 07/15/33 3,735 4,080 Wal-Mart Stores 6.200%, 04/15/38 5,580 5,483 5.800%, 02/15/18 3,360 3,496 Walt Disney 4.700%, 12/01/12 (B) 1,306 1,311 Yum! Brands 6.875%, 11/15/37 2,685 2,547 ------------- 99,222 ------------- CONSUMER STAPLES -- 0.6% Diageo Capital 5.200%, 01/30/13 3,310 3,325 Dr Pepper Snapple Group 7.450%, 05/01/38 (C) 821 849 6.820%, 05/01/18 (C) 6,727 6,796 Estee Lauder 5.550%, 05/15/17 2,355 2,314 GlaxoSmithKline Capital 6.375%, 05/15/38 2,935 2,898 Kraft Foods 7.000%, 08/11/37 1,657 1,636 6.125%, 02/01/18 6,623 6,478 6.125%, 08/23/18 2,175 2,122 Philip Morris Capital 7.500%, 07/16/09 1,155 1,156 Philip Morris International 6.375%, 05/16/38 819 799 5.650%, 05/16/18 4,573 4,474 Reynolds American 7.875%, 05/15/09 (B) 1,630 1,663 Safeway 6.350%, 08/15/17 5,196 5,368 ------------- 39,878 ------------- ENERGY -- 2.4% Anadarko Finance, Ser B 7.500%, 05/01/31 5,363 5,875 Anadarko Petroleum 6.450%, 09/15/36 2,055 2,047 5.950%, 09/15/16 6,320 6,368 3.200%, 06/16/08 (A) 4,650 4,604 Apache 5.625%, 01/15/17 390 396 Canadian Natural Resources 5.700%, 05/15/17 2,175 2,145
154 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------ ------------- ------------- Conoco Funding 7.250%, 10/15/31 $ 885 $ 1,006 6.950%, 04/15/29 3,685 4,061 6.350%, 10/15/11 430 454 ConocoPhillips 5.900%, 10/15/32 10 10 5.900%, 05/15/38 700 684 Devon Financing 6.875%, 09/30/11 5,610 5,938 El Paso 6.950%, 06/01/28 2,250 2,091 El Paso Natural Gas 5.950%, 04/15/17 1,045 1,007 EMP Nacional de Petroleo 6.750%, 11/15/12 (C) 171 178 4.875%, 03/15/14 (C) 892 843 Energy Transfer Partners 6.700%, 07/01/18 4,900 4,964 Gaz Capital for Gazprom 6.510%, 03/07/22 (C) 4,640 4,374 6.212%, 11/22/16 (C) 8,377 8,164 Hess 7.875%, 10/01/29 1,130 1,305 7.300%, 08/15/31 4,595 5,079 Husky Energy 6.800%, 09/15/37 1,085 1,066 Husky Oil 7.550%, 11/15/16 1,725 1,854 Kerr-McGee 6.950%, 07/01/24 2,325 2,428 Kinder Morgan Energy Partners 7.125%, 03/15/12 1,760 1,838 6.000%, 02/01/17 3,140 3,108 5.950%, 02/15/18 5,743 5,598 5.000%, 12/15/13 1,190 1,148 Knight 6.500%, 09/01/12 6,840 6,823 Mantis Reef 4.799%, 11/03/09 (C) 1,397 1,363 Marathon Oil 6.000%, 10/01/17 2,216 2,211 5.900%, 03/15/18 2,335 2,309 Nakilat 6.267%, 12/31/33 (C) 227 198 Northwest Pipeline 6.050%, 06/15/18 (C) 1,435 1,410 Pemex Project Funding Master Trust 6.625%, 06/15/35 (B) 5,622 5,677 Petrobras International Finance 6.125%, 10/06/16 6,230 6,370 Petro-Canada 6.800%, 05/15/38 2,185 2,137 Petroleum Export 4.623%, 06/15/10 (C) 276 275
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------ ------------- ------------- Plains All American Pipeline 6.500%, 05/01/18 (C) $ 3,284 $ 3,272 Ras Laffan Liquefied Natural Gas III 6.332%, 09/30/27 (C) 2,590 2,355 Sonat 7.625%, 07/15/11 2,880 2,953 Southern Natural Gas 5.900%, 04/01/17 (C) 1,965 1,887 Transcontinental Gas Pipe Line 6.050%, 06/15/18 (C) 1,148 1,125 Transocean 6.800%, 03/15/38 1,259 1,300 6.000%, 03/15/18 3,914 3,952 Weatherford International 7.000%, 03/15/38 1,110 1,156 6.350%, 06/15/17 2,005 2,059 5.950%, 06/15/12 1,685 1,722 Williams 8.750%, 03/15/32 2,170 2,528 7.750%, 06/15/31 740 788 Williams, Ser A 7.500%, 01/15/31 20 21 XTO Energy 7.500%, 04/15/12 1,320 1,417 6.375%, 06/15/38 3,040 2,913 5.650%, 04/01/16 390 385 5.500%, 06/15/18 8,482 8,141 ------------- 145,380 ------------- FINANCIALS -- 12.2% ABX Financing 6.350%, 10/15/36 (C) 5,200 4,843 Ace INA Holdings 6.700%, 05/15/36 640 617 5.700%, 02/15/17 1,400 1,364 Aegon, Ser CMS 4.205%, 07/15/08 (A) 2,180 1,324 Aiful 5.000%, 08/10/10 (C) 2,620 2,522 4.450%, 02/16/10 (C) 3,322 3,152 Allied Capital 6.625%, 07/15/11 7,095 6,999 Allied World Assurance Holdings 7.500%, 08/01/16 2,000 1,982 American Express 8.150%, 03/19/38 3,379 3,856 7.000%, 03/19/18 889 931 6.800%, 09/01/08 (A) 1,725 1,634 American Express Bank 5.500%, 04/16/13 3,910 3,862 American Express Credit MTN 5.875%, 05/02/13 5,915 5,919 American General Finance MTN 6.900%, 12/15/17 2,300 2,182
SEI Institutional Investments Trust / Annual Report / May 31, 2008 155 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- American International Group 8.175%, 11/15/08 (A) (C) $ 1,125 $ 1,079 6.250%, 03/15/37 5,000 3,998 5.850%, 01/16/18 4,246 4,097 Andina de Fomento 5.125%, 05/05/15 710 670 ASIF Global Financing XIX 4.900%, 01/17/13 (C) 450 435 Australia & New Zealand Banking Group 3.181%, 10/31/08 (A) 1,400 943 BAC Capital Trust XIV 5.630%, 03/15/12 (A) 2,715 2,204 Banco Mercantil del Norte 6.135%, 10/13/08 (A) (C) 775 750 Bank of America 8.125%, 11/15/08 (A) 1,287 1,286 8.000%, 07/30/08 (A) 7,493 7,425 5.750%, 12/01/17 2,270 2,229 5.650%, 05/01/18 5,941 5,757 5.420%, 03/15/17 2,500 2,361 5.375%, 06/15/14 1,340 1,346 Bank of Ireland 2.875%, 06/23/08 (A) 1,030 680 Bank of Scotland 3.063%, 11/28/08 (A) 330 201 Bank One 7.875%, 08/01/10 4,440 4,736 BankAmerica Capital II, Ser 2 8.000%, 12/15/26 402 395 Banponce Trust I, Ser A 8.327%, 02/01/27 2,590 2,444 Barclays Bank 6.050%, 12/04/17 (C) 2,097 2,049 3.125%, 08/29/08 (A) 380 242 Barclays Bank, Ser ONE 5.563%, 07/18/08 (A) 780 499 Barnett Capital III 3.498%, 08/01/08 (A) 600 440 Bear Stearns 7.250%, 02/01/18 1,030 1,096 6.400%, 10/02/17 6,140 6,166 BNP Paribas 2.708%, 09/23/08 (A) 1,080 779 BRE Properties 7.450%, 01/15/11++ 3,100 3,190 Capital One Financial MTN 3.270%, 06/11/08 (A) 1,230 1,169 Caterpillar Financial Services MTN 5.450%, 04/15/18 359 356 4.850%, 12/07/12 1,408 1,404 Citigroup 8.400%, 10/30/08 (A) 6,268 6,214 6.875%, 03/05/38 16,105 15,773 6.125%, 05/15/18 5,980 5,867
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- 5.500%, 04/11/13 $ 14,464 $ 14,405 5.500%, 02/15/17 10,000 9,350 3.625%, 02/09/09 (B) 2,930 2,926 Citigroup Capital XXI 8.300%, 06/21/08 (A) 3,422 3,423 Countrywide Financial MTN 5.104%, 06/26/08 (A) (B) 8,284 7,674 4.000%, 03/22/11 3,000 2,687 2.874%, 06/18/08 (A) 650 645 2.849%, 06/19/08 (A) 500 459 Credit Suisse First Boston 5.750%, 02/15/18 9,760 9,514 5.000%, 05/15/13 8,690 8,532 2.875%, 06/30/08 (A) 655 426 Danske Bank 5.914%, 06/16/08 (A) (C) 536 483 Delta Air Lines 6.619%, 03/18/11 420 405 DEN Norske Creditbank 2.938%, 08/29/08 (A) 390 254 Depfa ACS Bank 5.125%, 03/16/37 (C) 4,200 3,935 Deutsche Bank Capital Funding Trust 5.628%, 07/19/08 (A) (C) 4,789 4,089 Dresdner Funding Trust I 8.151%, 06/30/31 (C) 1,336 1,105 Dryden Investor Trust 7.157%, 07/23/08 (C) 498 499 Eksportfinans 5.500%, 05/25/16 4,250 4,475 5.125%, 10/26/11 1,078 1,116 Equity One 3.875%, 04/15/09++ 7,100 6,951 Export-Import Bank of Korea 5.500%, 10/17/12 3,585 3,584 Farmers Exchange Capital 7.200%, 07/15/48 (C) 3,582 3,200 7.050%, 07/15/28 (C) 1,063 963 Farmers Insurance Exchange 8.625%, 05/01/24 (C) 4,118 4,273 Fifth Third Bancorp 8.250%, 03/01/38 810 835 First Industrial MTN 7.500%, 12/01/17 2,765 2,639 Ford Motor Credit LLC 7.875%, 06/15/10 7,200 6,823 7.375%, 10/28/09 15,740 15,329 7.250%, 10/25/11 329 294 6.625%, 06/16/08 10,480 10,475 Fund American 5.875%, 05/15/13 1,448 1,396 General Electric Capital 6.375%, 11/15/08 (A) 8,380 8,250 6.150%, 08/07/37 1,450 1,384
156 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- 5.875%, 01/14/38 $ 1,347 $ 1,224 5.625%, 05/01/18 8,100 8,017 General Electric Capital, Ser A MTN 3.750%, 12/15/09 3,998 3,998 Glen Meadow Pass-Through Trust 6.505%, 08/15/08 (A) (C) 2,900 2,608 Glitnir Banki 7.451%, 09/14/08 (A) (C) 500 347 6.693%, 06/15/08 (A) (C) 4,480 3,348 6.375%, 09/25/12 (C) 3,100 2,721 6.330%, 07/28/11 (C) 2,440 2,177 GMAC LLC 7.750%, 01/19/10 2,370 2,224 7.250%, 03/02/11 2,755 2,360 5.625%, 05/15/09 (B) 7,680 7,414 5.276%, 06/25/08 (A) 11,009 7,937 Goldman Sachs Capital II 5.793%, 12/01/08 (A) 21,926 16,472 Goldman Sachs Group 6.750%, 10/01/37 4,852 4,553 6.600%, 01/15/12 2,630 2,733 6.345%, 02/15/34 1,825 1,576 6.150%, 04/01/18 1,090 1,078 5.950%, 01/18/18 955 935 Harley-Davidson Funding 6.800%, 06/15/18 (C) 797 793 HBOS 5.920%, 10/01/08 (A) (C) 8,400 6,559 5.375%, 11/01/08 (A) (C) 962 855 HBOS Capital Funding 6.071%, 06/30/08 (A) (C) 1,920 1,649 HCP 6.000%, 01/30/17++ 6,000 5,337 5.650%, 12/15/13++ 4,050 3,807 Highwoods Properties 7.500%, 04/15/18++ 1,339 1,272 Hongkong & Shanghai Banking 3.062%, 07/09/08 (A) 750 491 HSBC Bank, Ser 1M 5.625%, 06/30/08 (A) 1,460 964 HSBC Bank, Ser 3M 5.537%, 06/23/08 (A) 2,320 1,509 HSBC Finance 8.000%, 07/15/10 2,330 2,442 7.000%, 05/15/12 1,975 2,070 6.375%, 11/27/12 365 376 HSBC Holdings 6.800%, 06/01/38 2,305 2,206 HVB Funding Trust III 9.000%, 10/22/31 (C) 1,226 1,149 ILFC E-Capital Trust II 6.250%, 06/21/08 (A) (B) (C) 1,200 987 International Lease Finance MTN 5.750%, 06/15/11 1,080 1,067
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- John Deere Capital MTN 4.950%, 12/17/12 $ 1,598 $ 1,608 JPMorgan Chase 7.900%, 10/23/08 (A) 7,387 7,354 6.400%, 05/15/38 9,660 9,288 6.000%, 10/01/17 3,105 3,100 6.000%, 01/15/18 6,385 6,318 5.750%, 01/02/13 3,670 3,759 5.150%, 10/01/15 240 233 5.125%, 09/15/14 445 437 4.750%, 05/01/13 3,455 3,395 JPMorgan Chase Capital XVIII 6.950%, 08/17/36 990 905 JPMorgan Chase Capital XX 6.550%, 09/29/36 709 616 Kaupthing Bank 7.625%, 02/28/15 (C) 8,130 7,582 7.125%, 05/19/16 (C) 12,000 9,259 5.750%, 10/04/11 (C) 1,120 973 Landsbanki Islands 6.100%, 08/25/11 (C) 6,520 6,127 Lazard Group 7.125%, 05/15/15 6,135 5,720 6.850%, 06/15/17 4,305 3,914 Lehman Brothers Holdings MTN 14.500%, 06/20/08 (A) 4,940 4,646 11.000%, 05/07/08 (A) 5,269 4,441 8.920%, 08/16/08 (A) 3,023 2,381 7.500%, 05/11/38 1,821 1,670 6.875%, 05/02/18 1,080 1,048 6.750%, 12/28/17 3,145 2,967 6.200%, 09/26/14 1,560 1,506 5.625%, 01/24/13 7,034 6,692 5.250%, 02/06/12 965 921 4.500%, 06/17/08 (A) 14,410 13,927 Lehman Brothers Holdings Capital Trust V MTN 5.857%, 11/30/08 (A) 20,630 14,750 3.479%, 08/31/08 (A) 1,310 932 Lehman Brothers Holdings, Ser H MTN 8.510%, 11/30/08 (A) 3,736 3,771 Liberty Mutual Group 7.500%, 08/15/36 (B) (C) 2,674 2,351 Liberty Property 7.750%, 04/15/09++ 1,026 1,045 6.375%, 08/15/12++ 397 389 Lloyds TSB Bank 5.687%, 06/17/08 (A) 870 548 Lloyds TSB Bank, Ser 2 2.813%, 08/21/08 (A) 760 494 Mangrove Bay Pass-Through Trust 6.102%, 07/15/08 (A) (C) 2,095 1,315
SEI Institutional Investments Trust / Annual Report / May 31, 2008 157 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Marathon Oil 6.600%, 10/01/37 $ 2,154 $ 2,139 MASTR Alternative Loans Trust, Ser 3 6.250%, 06/01/08 802 697 Merna Reinsurance 4.446%, 07/03/08 (A) (C) 4,950 4,698 Merrill Lynch MTN 8.950%, 11/18/08 (A) 4,315 4,299 8.680%, 11/02/08 (A) 4,160 3,778 7.750%, 05/14/38 1,640 1,548 7.430%, 09/01/22 4 4 6.875%, 04/25/18 4,005 3,933 Metlife 6.400%, 12/15/36 (B) 10,010 8,799 Metlife Capital Trust IV 7.875%, 06/12/08 (C) 1,125 1,109 Metlife Capital Trust X 9.250%, 10/08/08 (A) (C) 2,700 3,048 Mizuho Financial Group Cayman 8.375%, 04/27/09 785 791 8.375%, 12/29/49 530 534 Morgan Stanley MTN 6.625%, 04/01/18 11,520 11,728 5.950%, 12/28/17 4,115 3,899 4.750%, 04/01/14 2,270 2,093 3.184%, 07/18/08 (A) 1,530 1,326 MUFG Capital Finance 1 6.346%, 07/25/08 (A) 1,840 1,635 National Capital Trust II 5.486%, 06/17/08 (A) (C) 3,207 2,762 National City Preferred Capital Trust I 12.000%, 12/10/08 (A) 331 341 National Westminster Bank 3.250%, 08/22/08 (A) 740 466 National Westminster Bank, Ser C 3.125%, 08/29/08 (A) 160 102 Nationwide Mutual Insurance 6.600%, 04/15/34 (C) 2,483 2,178 NB Capital Trust IV 8.250%, 04/15/27 4,865 5,052 North Front Pass-Through Trust MTN 5.810%, 06/15/08 (A) (C) 5,291 4,922 Paribas 2.750%, 06/19/08 (A) 693 473 Pemex Finance 9.690%, 08/15/09 625 644 PF Export Receivables Master Trust 6.436%, 06/01/15 (C) 1,491 1,472 PNC Funding 5.250%, 11/15/15 2,925 2,720 Power Receivable Finance LLC 6.290%, 01/01/12 (C) 910 933 Power Receivables Financial 6.290%, 01/01/12 2,882 2,954
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Prime Property Fund 5.600%, 06/15/11++ (C) $ 3,380 $ 3,342 5.500%, 01/15/14++ (C) 5,000 4,631 Progressive 6.700%, 06/15/08 (A) 1,981 1,749 Prologis 6.625%, 05/15/18++ 765 758 Prudential Financial MTN 6.625%, 12/01/37 836 817 6.000%, 12/01/17 (B) 775 765 5.700%, 12/14/36 595 514 Rabobank Capital Funding II 5.260%, 12/29/49 (A) (C) 1,171 1,069 Rabobank Capital Funding Trust 5.254%, 06/30/08 (A) (C) 1,337 1,142 RBS Capital Trust III 5.512%, 09/30/08 (A) 400 346 Residential Capital LLC 8.500%, 06/01/08 130 65 8.125%, 11/21/08 3,130 2,880 8.000%, 08/22/08 2,310 1,155 5.816%, 07/17/08 (A) 470 385 5.758%, 08/22/08 (A) 1,320 1,076 Resona Preferred Global Securities Cayman 7.191%, 07/30/08 (A) (B) (C) 2,590 2,420 Royal Bank of Canada 2.786%, 06/21/08 (A) 1,010 795 Royal Bank of Scotland Group 7.640%, 07/01/08 (A) 1,300 1,221 6.990%, 10/04/08 (A) (C) 2,230 2,063 5.563%, 06/23/08 (A) 2,530 1,569 RSHB Capital 6.299%, 05/15/17 (C) 5,600 5,250 Security Benefit Life Insurance 8.750%, 05/15/16 (C) 5,200 5,411 Shinsei Finance Cayman 6.418%, 07/20/08 (A) (B) (C) 4,960 3,423 Simon Property Group 5.750%, 05/01/12++ 1,875 1,880 5.300%, 05/30/13++ 736 728 3.750%, 01/30/09++ 3,000 2,974 SLM MTN 5.150%, 06/01/08 (A) 4,180 4,023 SMFG Preferred Capital 6.078%, 07/25/08 (A) (C) 6,810 5,935 Societe Generale 3.003%, 11/26/08 (A) 180 131 3.003%, 11/26/08 (A) 680 495 Standard Chartered 5.087%, 06/14/08 (A) 200 128 Standard Chartered, Ser 1 5.259%, 07/18/08 (A) 1,840 1,159
158 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Standard Chartered, Ser 2 3.062%, 11/07/08 (A) $ 2,800 $ 1,736 Standard Chartered, Ser 4 3.962%, 07/18/08 (A) 290 209 State Street Capital Trust III 8.250%, 09/15/08 (A) 797 812 Stingray Pass-Through Trust MTN 5.902%, 01/12/15 (C) 3,600 666 Sumitomo Mitsui Banking 8.150%, 08/01/08 442 442 8.150%, 08/29/49 951 952 SunTrust Bank 7.250%, 03/15/18 1,057 1,087 SunTrust Capital VIII 6.100%, 06/15/08 (A) (B) 5,450 4,477 SunTrust Preferred Capital I 5.853%, 12/15/11 (A) 17,379 13,208 TNK-BP Finance MTN 7.875%, 03/13/18 (C) 2,140 2,105 7.500%, 07/18/16 140 135 7.500%, 07/18/16 (C) 3,750 3,689 6.625%, 03/20/17 (C) 1,750 1,590 Toll Road Investors Partnership II 4.917%, 02/15/45 (C) (D) 5,923 773 Travelers 6.250%, 08/15/08 (A) (B) 5,890 5,065 Twin Reefs Pass-Through Trust 3.590%, 06/10/08 (A) (C) 641 44 UBS 5.875%, 12/20/17 (B) 2,250 2,238 UDR 5.500%, 04/01/14++ 2,900 2,673 5.000%, 01/15/12++ 2,000 1,897 UFJ Finance Aruba 8.750%, 08/13/49 316 316 8.750%, 11/29/49 1,060 1,061 USB Capital IX 6.189%, 10/15/08 (A) 1,518 1,275 Wachovia 5.250%, 08/01/14 250 242 Wachovia Bank 6.600%, 01/15/38 840 777 6.000%, 11/15/17 6,800 6,659 Wachovia Capital Trust III 5.800%, 09/15/08 (A) 6,317 4,833 Washington Mutual 4.625%, 04/01/14 3,040 2,493 Washington Mutual Preferred Funding Delaware 6.534%, 06/15/08 (A) (C) 300 174 WEA Finance LLC 7.125%, 04/15/18 (C) 12,215 12,676 Wells Fargo 5.000%, 11/15/14 1,145 1,113
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Wells Fargo Capital X 5.950%, 12/15/36 (B) $ 960 $ 869 Westfield Capital 4.375%, 11/15/10 (C) 4,600 4,539 Westfield Group 5.400%, 10/01/12++ (C) 3,253 3,190 Westpac Banking 2.806%, 09/30/08 (A) 870 668 Westpac Capital Trust IV 5.256%, 09/30/08 (A) (B) (C) 1,259 1,024 Woodbourne Capital Trust I 3.549%, 07/08/08 (A) (C) 625 406 Woodbourne Capital Trust II 3.549%, 07/08/08 (A) (C) 625 406 Woodbourne Capital Trust III 3.550%, 07/08/08 (A) (C) 625 406 Woodbourne Capital Trust IV 3.550%, 07/08/08 (A) (C) 625 406 ZFS Finance USA Trust I 6.150%, 06/15/08 (A) (C) 2,549 2,324 ------------- 744,933 ------------- HEALTH CARE -- 0.7% Abbott Laboratories 5.600%, 11/30/17 470 473 AstraZeneca 5.400%, 09/15/12 1,645 1,676 5.400%, 06/01/14 1,065 1,090 Baxter International 1.250%, 12/01/37 1,881 1,868 Bristol-Myers Squibb 6.125%, 05/01/38 1,101 1,057 5.875%, 11/15/36 95 88 Cardinal Health 5.850%, 12/15/17 4,875 4,772 Coventry Health Care 5.950%, 03/15/17 4,415 4,006 GlaxoSmithKline 5.650%, 05/15/18 8,578 8,481 HCA 5.750%, 03/15/14 5,548 4,757 Merck 5.750%, 11/15/36 1,011 950 Schering-Plough 6.550%, 09/15/37 3,455 3,379 Tenet Healthcare 7.375%, 02/01/13 168 157 UnitedHealth Group 6.875%, 02/15/38 5,622 5,378 WellPoint 5.875%, 06/15/17 330 318
SEI Institutional Investments Trust / Annual Report / May 31, 2008 159 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Wyeth 6.700%, 03/15/11 $ 7,954 $ 8,436 5.950%, 04/01/37 3,610 3,429 ------------- 50,315 ------------- INDUSTRIALS -- 2.1% Abu Dhabi National Energy 5.620%, 10/25/12 (C) 11,433 11,422 Air 2 US 8.027%, 10/01/19 (C) 4,244 3,756 America West Airlines, Ser 99-1 7.930%, 01/02/19 4,619 4,538 American Airlines, Ser 99-1 7.024%, 10/15/09 2,320 2,291 American Water Capital 6.593%, 10/15/37 (C) 330 315 6.085%, 10/15/17 (C) 644 634 Burlington Northern Santa Fe 5.750%, 03/15/18 2,220 2,196 Cedar Brakes I LLC 8.500%, 02/15/14 (C) 1,306 1,399 Cedar Brakes II LLC 9.875%, 09/01/13 (C) 4,831 5,327 Continental Airlines 5.983%, 04/19/22 (B) 3,000 2,565 Continental Airlines, Ser 971A 7.461%, 04/01/15 1,491 1,372 Continental Airlines, Ser 99-2 7.256%, 03/15/20 1,318 1,278 Continental Airlines, Ser AMBC 6.236%, 03/15/20 2,137 1,945 CSX 7.450%, 04/01/38 1,232 1,257 6.250%, 04/01/15 930 925 Delta Air Lines 7.379%, 05/18/10 2,278 2,250 6.821%, 08/10/22 2,529 2,276 Delta Air Lines, Ser 2001-1 7.111%, 09/18/11 13,350 12,616 Diageo Capital 5.750%, 10/23/17 2,331 2,323 E.I. Du Pont de Nemours 5.000%, 01/15/13 896 901 General Electric 5.250%, 12/06/17 (B) 1,700 1,663 Hutchison Whampoa International 7.450%, 11/24/33 (C) 3,610 3,759 Kinder Morgan Energy Partners MTN 6.950%, 01/15/38 160 159 Lockheed Martin 4.121%, 03/14/13 1,080 1,046 McDonald's 6.300%, 10/15/37 1,253 1,240 5.800%, 10/15/17 483 491
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- News America 6.650%, 11/15/37 (C) $ 1,422 $ 1,405 Nordstrom 7.000%, 01/15/38 3,967 3,823 Northwest Airlines, Ser 1A-2 6.841%, 04/01/11 4,500 4,354 Panhandle Eastern Pipeline 6.200%, 11/01/17 784 747 Pemex Project Funding Master Trust 6.625%, 06/15/35 (C) 140 141 PepsiCo 4.650%, 02/15/13 604 612 Petrobras International Finance 5.875%, 03/01/18 5,885 5,768 Stauffer Chemical 6.535%, 04/15/17 (D) 350 206 6.516%, 04/15/18 (D) 860 474 4.405%, 04/15/10 (D) 300 277 Tyco International Group 7.000%, 06/15/28 1,875 1,760 6.875%, 01/15/29 7,382 6,938 6.750%, 02/15/11 1,170 1,206 6.375%, 10/15/11 8,785 9,005 6.125%, 11/01/08 320 321 6.125%, 01/15/09 120 121 6.000%, 11/15/13 1,945 1,937 Union Pacific 5.700%, 08/15/18 (B) 1,830 1,805 United Air Lines 6.602%, 09/01/13 1,383 1,365 United Parcel Service 4.500%, 01/15/13 7,640 7,687 United Technologies 6.500%, 06/01/09 1,670 1,718 5.400%, 05/01/35 670 602 Waste Management 7.375%, 05/15/29 5 5 7.125%, 12/15/17 4,840 5,159 7.100%, 08/01/26 1,375 1,375 ------------- 128,755 ------------- INFORMATION TECHNOLOGY -- 0.4% Corning 7.250%, 08/15/36 990 984 Electronic Data Systems 7.125%, 10/15/09 2,990 3,051 Hewlett-Packard 5.500%, 03/01/18 (B) 2,180 2,159 Lexmark International 6.650%, 06/01/18 803 781 5.900%, 06/01/13 913 894 Oracle 5.750%, 04/15/18 5,883 5,847 4.950%, 04/15/13 3,845 3,858
160 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Xerox 6.350%, 05/15/18 $ 4,360 $ 4,304 5.650%, 05/15/13 2,175 2,157 5.500%, 05/15/12 2,175 2,160 ------------- 26,195 ------------- MATERIALS -- 0.4% ArcelorMittal 6.125%, 06/01/18 (C) 1,346 1,314 Codelco 4.750%, 10/15/14 (C) 900 882 Freeport-McMoRan Copper & Gold 8.375%, 04/01/17 7,725 8,304 International Paper 8.700%, 06/15/38 932 936 7.950%, 06/15/18 1,305 1,307 PPG Industries 7.700%, 03/15/38 775 858 6.650%, 03/15/18 615 642 5.750%, 03/15/13 615 624 Vale Overseas 8.250%, 01/17/34 210 240 6.875%, 11/21/36 7,748 7,679 6.250%, 01/23/17 1,090 1,098 Weyerhaeuser 6.750%, 03/15/12 410 424 ------------- 24,308 ------------- SOVEREIGN -- 0.7% Canadian Government Bond 4.000%, 12/01/31 1,195 1,772 Deutsche Bundesrepublik 3.750%, 01/04/15 6,750 10,131 Emirate of Abu Dhabi 5.500%, 08/02/12 (C) 5,500 5,685 Federal Republic of Brazil 6.000%, 01/17/17 (B) 6,350 6,706 Russian Federation Registered 7.500%, 03/31/30 1,061 1,208 United Mexican States MTN 7.500%, 04/08/33 218 258 6.050%, 01/11/40 3,134 3,087 5.625%, 01/15/17 84 86 United Mexican States MTN, Ser A 6.750%, 09/27/34 9,488 10,372 5.875%, 01/15/14 1,550 1,622 ------------- 40,927 ------------- TELECOMMUNICATION SERVICES -- 1.2% America Movil 6.375%, 03/01/35 1,411 1,356 6.125%, 11/15/37 (B) 1,278 1,184 5.625%, 11/15/17 2,350 2,289
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- AT&T 6.400%, 05/15/38 (B) $ 1,637 $ 1,596 5.600%, 05/15/18 1,635 1,608 5.100%, 09/15/14 6,805 6,751 BellSouth 4.750%, 11/15/12 190 188 Bellsouth Telecommunications 7.000%, 12/01/95 2,415 2,301 British Telecommunications 8.375%, 12/15/10 1,310 1,420 5.950%, 01/15/18 3,878 3,796 COX Communications 6.950%, 06/01/38 (C) 281 280 6.250%, 06/01/18 (C) 1,586 1,584 Deutsche Telekom International Finance 5.750%, 03/23/16 2,175 2,142 Embarq 7.995%, 06/01/36 1,754 1,697 France Telecom 7.750%, 03/01/11 3,175 3,400 New Cingular Wireless Services 8.125%, 05/01/12 1,255 1,374 News America 6.650%, 11/15/37 260 257 Qwest 7.500%, 10/01/14 4,615 4,592 Rogers Communications 6.375%, 03/01/14 5,550 5,602 Royal KPN 8.000%, 10/01/10 5,100 5,419 Sprint Capital 8.750%, 03/15/32 390 352 8.375%, 03/15/12 5,300 5,154 6.900%, 05/01/19 120 102 Telecom Italia Capital 7.721%, 06/04/38 1,635 1,645 6.999%, 06/04/18 3,980 3,992 5.250%, 11/15/13 580 553 5.250%, 10/01/15 370 341 4.950%, 09/30/14 1,320 1,215 Telefonica Emisiones 5.984%, 06/20/11 4,865 4,923 5.855%, 02/04/13 830 837 Verizon Communications 6.100%, 04/15/18 1,380 1,407 5.500%, 02/15/18 400 391 Verizon Global Funding 7.375%, 09/01/12 1,730 1,875 6.875%, 06/15/12 465 495 ------------- 72,118 -------------
SEI Institutional Investments Trust / Annual Report / May 31, 2008 161 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- UTILITIES -- 1.6% Allegheny Energy Supply 8.250%, 04/15/12 (C) $ 1,765 $ 1,862 Arizona Public Services 8.000%, 12/30/15 707 771 Centerpoint Energy 5.875%, 06/01/08 5,000 5,000 CMS Energy 6.550%, 07/17/17 1,800 1,735 Commonwealth Edison 6.450%, 01/15/38 2,130 2,049 6.150%, 03/15/12 3,168 3,253 6.150%, 09/15/17 1,840 1,834 5.950%, 08/15/16 1,234 1,226 4.700%, 04/15/15 1,305 1,218 Consolidated Edison of New York 6.750%, 04/01/38 (B) 440 455 5.850%, 04/01/18 3,200 3,236 Dominion Resources 5.700%, 09/17/12 3,560 3,634 4.750%, 12/15/10 740 747 Dominion Resources, Ser D 5.125%, 12/15/09 850 860 DPL 6.875%, 09/01/11 5,125 5,331 DTE Energy 7.050%, 06/01/11 6,528 6,802 Duke Energy 5.625%, 11/30/12 425 438 Duke Energy Carolinas 6.000%, 01/15/38 3,130 3,047 Empresa Nacional de Electricidad 8.625%, 08/01/15 340 387 Exelon 5.625%, 06/15/35 2,605 2,230 FirstEnergy, Ser B 6.450%, 11/15/11 320 330 FirstEnergy, Ser C 7.375%, 11/15/31 5,825 6,266 FPL Group Capital 6.650%, 06/15/08 (A) 185 166 6.350%, 10/01/08 (A) 568 504 Hydro Quebec, Ser JL 6.300%, 05/11/11 1,050 1,119 Intergas Finance 6.375%, 05/14/17 370 333 6.375%, 05/14/17 (C) 4,853 4,361 Midamerican Energy Holdings 6.125%, 04/01/36 595 573 5.750%, 04/01/18 (C) 3,525 3,519 Nevada Power 8.250%, 06/01/11 4,305 4,618 Nisource Finance 6.800%, 01/15/19 3,547 3,481 6.150%, 03/01/13 1,304 1,299
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- NorthWestern 5.875%, 11/01/14 $ 1,532 $ 1,498 Pacific Gas & Electric 6.050%, 03/01/34 3,275 3,144 5.800%, 03/01/37 840 777 Pacificorp 6.250%, 10/15/37 2,905 2,879 Power Contract Financing 6.256%, 02/01/10 (C) 2,470 2,508 Progress Energy 6.850%, 04/15/12 1,565 1,654 SCANA MTN 6.250%, 04/01/20 1,137 1,128 Southern California Edison 5.950%, 02/01/38 (B) 1,265 1,234 SWEPCO Capital Trust I 5.250%, 10/01/08 (A) 4,465 4,480 TXU 6.500%, 11/15/24 410 309 TXU, Ser P 5.550%, 11/15/14 370 300 TXU, Ser R 6.550%, 11/15/34 4,385 3,319 Virginia Electric and Power 5.100%, 11/30/12 1,520 1,529 ------------- 97,443 ------------- Total Corporate Obligations (Cost $1,530,954) ($ Thousands) 1,469,474 ------------- U.S. TREASURY OBLIGATIONS -- 13.8% U.S. Treasury Bonds 8.875%, 02/15/19 (B) 7,358 10,226 8.750%, 08/15/20 877 1,229 8.125%, 08/15/19 (B) 2,160 2,874 7.125%, 02/15/23 (B) 5,742 7,266 6.250%, 08/15/23 to 05/15/30 (B) 24,571 29,061 6.125%, 11/15/27 (B) 19,998 23,532 5.375%, 02/15/31 (B) 3,553 3,874 5.000%, 05/15/37 27,487 28,808 4.500%, 02/15/36 (B) 7,299 7,062 2.500%, 05/31/10 46,133 46,044 1.750%, 01/15/28 19,027 17,927 U.S. Treasury Inflation Protection Security 3.875%, 04/15/29 1,999 2,577 3.625%, 04/15/28 (B) 30,611 37,875 3.375%, 01/15/12 276 303 2.500%, 07/15/16 (B) 6,742 7,303 2.375%, 04/15/11 to 01/15/27 (B) 32,432 33,754 2.000%, 04/15/12 to 01/15/26 (B) 27,428 28,311 1.875%, 07/15/15 (B) 35,625 36,950 0.875%, 04/15/10 6,028 6,096
162 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- U.S. Treasury Notes 5.125%, 05/15/16 (B) $ 16,583 $ 17,938 4.750%, 05/15/14 to 02/15/37 (B) 42,394 43,296 4.625%, 07/31/12 to 02/15/17 (B) 46,480 48,562 4.500%, 05/15/10 to 03/31/12 (B) 27,865 29,037 4.375%, 02/15/38 (B) 470 446 4.250%, 09/30/12 to 11/15/17 (B) 25,500 26,481 3.875%, 05/15/18 40,331 39,779 3.625%, 12/31/12 (B) 136,361 138,044 3.500%, 02/15/18 1,527 1,459 3.250%, 12/31/09 262 265 3.125%, 04/30/13 96,362 95,158 2.750%, 02/28/13 12 12 2.500%, 03/31/13 30,472 29,258 2.125%, 04/30/10 (B) 25,445 25,216 2.000%, 02/28/10 (B) 3,058 3,029 1.750%, 03/31/10 (B) 1,640 1,615 U.S. Treasury STRIPS 6.625%, 11/15/21 (B) (D) 23,570 12,387 4.432%, 11/15/27 (D) 10,385 4,004 ------------- Total U.S. Treasury Obligations (Cost $834,905) ($ Thousands) 847,058 ------------- ASSET-BACKED SECURITIES -- 4.7% AUTOMOTIVE -- 0.9% Americredit Prime Automobile Receivable, Ser 2007-1, Cl A3 5.270%, 11/08/11 3,692 3,702 Capital Auto Receivables Asset Trust, Ser 2007-1, Cl A3A 5.000%, 04/15/11 3,433 3,465 Capital Auto Receivables Asset Trust, Ser 2007-4A, Cl A4 5.300%, 12/15/11 2,495 2,484 Daimler Chrysler Auto Trust, Ser 2008-B, Cl A4A 5.320%, 11/10/14 1,926 1,919 Daimler Chrysler Auto Trust, Ser 2008-B, Cl A3A 4.710%, 09/10/12 1,633 1,630 Ford Credit Auto Owner Trust, Ser 2007-B, Cl A4A 5.240%, 07/15/12 126 127 5.160%, 04/15/13 18,315 18,166 Harley-Davidson Motorcycle Trust, Ser 2006-3, Cl A4 5.220%, 06/15/13 1,148 1,161 Harley-Davidson Motorcycle Trust, Ser 2007-1, Cl A3 5.220%, 03/15/12 873 883 Harley-Davidson Motorcycle Trust, Ser 2007-2, Cl A4 5.120%, 08/15/13 1,081 1,089
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Hyundai Auto Receivables Trust, Ser 2007-A, Cl A3A 5.040%, 01/17/12 $ 1,414 $ 1,423 Nissan Auto Receivables Owner Trust, Ser 2007-B, Cl A4 5.160%, 03/17/14 5,435 5,455 Triad Auto Receivables Owner Trust, Ser 2006-C, Cl A3 5.410%, 08/12/11 5,407 5,398 5.260%, 11/14/11 1,517 1,502 USAA Auto Owner Trust, Ser 2008-2, Cl A4 5.160%, 11/15/13 253 252 Volkswagen Auto Loan Enhanced Trust, Ser 2008-1, Cl A3 4.500%, 07/20/12 2,724 2,720 WFS Financial Owner Trust, Ser 2005-3, Cl A3A 4.250%, 06/17/10 90 91 World Omni Auto Receivables Trust, Ser 2007-B, Cl A3A 5.280%, 01/17/12 1,615 1,627 ------------- 53,094 ------------- CREDIT CARDS -- 1.8% Capital One Multi-Asset Execution Trust, Ser 2006-A11, Cl A11 2.604%, 06/16/08 (A) 11,599 10,496 Capital One Multi-Asset Execution Trust, Ser 2007-A7, Cl A7 5.750%, 07/15/20 4,374 4,298 Capital One Multi-Asset Execution Trust, Ser 2008-A3, Cl A3 5.050%, 02/15/16 33,257 32,593 Capital One Multi-Asset Execution Trust, Ser 2008-A5, Cl A5 4.850%, 02/18/14 4,386 4,414 Chase Issuance Trust, Ser 2008-A4, Cl A4 4.650%, 03/15/15 17,081 16,754 Citibank Credit Card Issuance Trust, Ser 2007-A8, Cl A8 5.650%, 09/20/19 2,846 2,784 Citibank Credit Card Issuance Trust, Ser 2008-A1, Cl A1 5.350%, 02/07/20 4,245 4,044 Discover Card Master Trust I, Ser 2006-2, Cl A2 2.544%, 06/16/08 (A) 7,228 6,906 Discover Card Master Trust, Ser 2007-A1, Cl A1 5.650%, 03/16/20 11,520 11,105
SEI Institutional Investments Trust / Annual Report / May 31, 2008 163 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Discover Card Master Trust, Ser 2008-A3, Cl A3 5.100%, 10/15/13 $ 11,967 $ 11,982 Providian Master Note Trust, Ser 2005-B1A, Cl A 2.544%, 06/16/08 (A) (C) 2,661 2,636 Washington Mutual Master Note Trust, Ser 2006-A2A, Cl A 2.564%, 06/15/08 (A) (C) 3,000 2,789 Washington Mutual Master Note Trust, Ser 2007-A1, Cl A1 2.544%, 06/16/08 (A) (C) 5,785 5,481 Washington Mutual Master Note Trust, Ser 2007-A2, Cl A2 2.544%, 06/16/08 (A) (C) 523 500 ------------- 116,782 ------------- MORTGAGE RELATED SECURITIES -- 0.4% ABS Home Equity, Ser 2001-HE3, Cl A1 3.054%, 06/16/08 (A) 281 255 ACE Securities, Ser 2006-SL3, Cl A1 2.493%, 06/25/08 (A) 7,995 4,009 AFC Home Equity Loan Trust, Ser 2000-1, Cl 2A 2.633%, 06/25/08 (A) 3,340 1,297 Conseco Finance Home Loan Trust, Ser 2001-D, Cl A5 6.190%, 11/15/32 7,783 7,642 Contimortgage Home Equity Trust, Ser 1997-2, Cl A9 7.090%, 04/15/28 21 21 Contimortgage Home Equity Trust, Ser 1997-5, Cl A6 6.870%, 07/15/08 (A) 39 39 Countrywide Home Equity Loan Trust, Ser 2004-K, Cl 2A 2.814%, 06/16/08 (A) 1,131 914 Countrywide Home Equity Loan Trust, Ser 2005-F, Cl 2A 2.754%, 06/16/08 (A) 2,972 1,279 Delta Funding Home Equity Loan Trust, Ser 1999-3, Cl A1A 3.334%, 06/16/08 (A) 310 269 Equivantage Home Equity Loan Trust, Ser 1997-2, Cl A3 7.775%, 06/01/08 269 197 Master Asset-Backed Securities Trust, Ser 2005-AB1, Cl A1B 5.143%, 06/01/08 31 31 Morgan Stanley Home Equity Loans, Ser 2007-1, Cl A1 2.443%, 06/25/08 (A) 967 955
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Origen Manufactured Housing, Ser 2002-A, Cl A1 2.754%, 06/15/08 (A) $ 59 $ 59 RBSGC Mortgage Pass-Through Certificates, Ser 2007-B, Cl 1A4 2.843%, 06/25/08 (A) 7,554 6,375 ------------- 23,342 ------------- OTHER ASSET-BACKED SECURITIES -- 1.6% CenterPoint Energy Transition Bond LLC, Ser 2008-A, Cl A1 4.192%, 02/01/20 1,993 1,932 CenterPoint Energy Transition Bond LLC, Ser 2008-A, Cl A2 5.234%, 02/01/23 1,160 1,100 CIGNA CDO, Ser 1996-1, Cl A2 6.460%, 11/15/08 (C) 2,943 2,733 Citicorp Residential Mortgage Securities, Ser 2006-1, Cl A1 5.956%, 07/25/36 467 464 CNH Equipment Trust, Ser 2004-A, Cl A4A 2.624%, 06/16/08 (A) 1,436 1,436 Connecticut RRB Special Purpose Trust CL&P, Ser 2001-1, Cl A5 6.210%, 12/30/11 1,371 1,413 Conseco Finance Home Loan Trust, Ser 2000-E, Cl M1 8.130%, 06/15/08 (A) 3,307 3,215 Conseco Finance Securitizations, Ser 2000-4, Cl A6 8.310%, 07/01/08 (A) 875 659 Countrywide Asset-Backed Certificates, Ser 2001-BC3, Cl A 2.873%, 06/25/08 (A) 73 64 Countrywide Asset-Backed Certificates, Ser 2003-BC2, Cl 2A1 2.993%, 06/25/08 (A) 115 108 Countrywide Asset-Backed Certificates, Ser 2006-15, Cl A3 5.689%, 07/25/08 (A) 208 189 Countrywide Asset-Backed Certificates, Ser 2006-S1, Cl A2 5.549%, 08/25/21 3,190 2,951 Countrywide Asset-Backed Certificates, Ser 2007-3, Cl 2A1 2.493%, 06/25/08 (A) 1,064 1,016 Credit-Based Asset Servicing and Securitization LLC, Ser 2006-CB2, Cl AF2 5.501%, 12/25/36 1,982 1,926
164 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Credit-Based Asset Servicing and Securitization LLC, Ser 2007-RP1, Cl A 2.703%, 06/25/08 (A) (C) $ 18,601 $ 14,252 Diamond Investment Grade CDO, Ser 1X, Cl A1 3.099%, 10/11/08 7,191 7,074 Dominos Pizza Master Issuer LLC, Ser 2007-1, Cl A2 5.261%, 04/25/37 (C) 3,452 2,927 Embarcadero Aircraft Securitization Trust, Ser 2000-A, Cl A1 2.994%, 06/16/08 (A) (C) 4,334 3,640 Equity One, Ser 2003-2, Cl M1 5.050%, 09/25/33 961 866 First Horizon Asset Back Trust, Ser 2004-HE2, Cl A 2.612%, 06/25/08 (A) 1,603 1,370 First Horizon Asset Back Trust, Ser 2006-HE2, Cl A 2.523%, 06/25/08 (A) 741 590 Ford Credit Floorplan Master Owner Trust, Ser 2006-4, Cl A 2.764%, 06/16/08 (A) 5,007 4,576 Great America Leasing Receivables, Ser 2006-1, Cl A3 5.340%, 01/15/10 (C) 2,015 2,023 Green Tree Financial, Ser 1996-5, Cl A6 7.750%, 07/15/27 753 773 GSAMP Trust, Ser 2003-SEA, Cl A1 2.792%, 06/25/08 (A) 2,460 2,142 Lehman XS Trust, Ser 2005-5N, Cl 1A1 2.693%, 06/01/08 (A) 6,216 5,027 Lehman XS Trust, Ser 2005-7N, Cl 1A1B 2.693%, 06/25/08 (A) 4,589 3,137 Lehman XS Trust, Ser 2006-GP1, Cl A4A 2.723%, 06/25/08 (A) 8,101 4,928 Lone Star CDO Funding, Ser IX, Cl A 5.889%, 06/15/08 7,305 7,287 Master Alternative Loans Trust, Ser 2004-4, Cl 1A1 5.500%, 05/25/34 2,841 2,645 Mid-State Trust, Ser 2003-11, Cl A1 4.864%, 07/15/38 3,069 2,793 MSCC Heloc Trust, Ser 2005-1, Cl A 2.582%, 06/25/08 (A) 539 427 Nelnet Student Loan Trust, Ser 2008-4, Cl A4 4.100%, 07/25/08 (A) 3,980 3,979
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Oncor Electric Delivery Transition Bond, Ser 2003-1, Cl A2 4.030%, 02/15/12 $ 1,808 $ 1,810 SLM Student Loan Trust, Ser 2005-3, Cl A4 2.990%, 07/25/08 (A) 1,744 1,712 Start, Ser 2003-1, Cl X 4.426%, 07/21/08 2,758 2,717 Start, Ser 2003-3, Cl X 4.326%, 07/21/08 687 677 Swift Master Auto Receivables Trust, Ser 2007-1, Cl A 2.614%, 06/16/08 (A) 1,340 1,267 TMS SBA Loan Trust, Ser 1999-1, Cl A 3.050%, 06/15/08 (A) 94 81 ------------- 97,926 ------------- Total Asset-Backed Securities (Cost $307,582) ($ Thousands) 291,144 ------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 2.1% FHLB 4.625%, 10/10/12 (B) 5,000 5,139 FHLB DN 2.063%, 06/18/08 (D) 7,975 7,967 2.053%, 06/13/08 (B) (D) 2,595 2,593 2.023%, 06/06/08 (D) 1,325 1,325 1.953%, 06/04/08 (D) 5,800 5,799 FHLMC 5.625%, 11/23/35 (B) 5,250 5,199 FHLMC DN 2.106%, 06/27/08 (D) (H) 45 45 2.081%, 06/23/08 (D) (H) 662 661 2.070%, 07/14/08 (D) 2,013 2,008 2.060%, 07/21/08 (D) (I) 74,466 74,252 2.052%, 06/06/08 (D) 4,745 4,744 FNMA 3.250%, 04/09/13 2,215 2,138 FNMA DN 2.055%, 07/21/08 (D) (I) 10,508 10,478 2.030%, 06/25/08 (D) (H) 90 90 1.833%, 12/15/08 (D) (H) 8,703 8,595 ------------- Total U.S. Government Agency Obligations (Cost $131,018) ($ Thousands) 131,033 ------------- MUNICIPAL BONDS -- 0.4% Commonwealth of Massachusetts, Ser A, RB, FGIC Pre-Refunded @ 100 5.375%, 06/01/12 (E) 785 849
SEI Institutional Investments Trust / Annual Report / May 31, 2008 165 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) May 31, 2008
Face Amount ($ Thousands) Market Value Description /Shares ($ Thousands) ------------------------------------------------- ------------- ------------- Commonwealth of Massachusetts, Ser B, GO, AMBAC Pre-Refunded @ 100 5.000%, 08/01/14 (E) $ 1,190 $ 1,292 Commonwealth of Massachusetts, Ser B, GO, FSA Pre-Refunded @ 100 5.500%, 03/01/12 (E) 2,100 2,272 Commonwealth of Massachusetts, Ser E, GO, FSA Pre-Refunded @ 100 5.250%, 01/01/13 (E) 1,835 1,990 County of Galveston, Ser C, GO, AMBAC Pre-Refunded @ 100 5.000%, 02/01/13 (E) 2,090 2,266 County of Harris, Ser B, GO Pre-Refunded @ 100 5.250%, 10/01/13 (E) 2,901 3,212 Greenville County School District, RB Pre-Refunded @ 101 5.500%, 12/01/12 (E) 1,305 1,454 Metropolitan Atlanta Rapid Transit Authority, RB, MBIA Pre-Refunded @ 100 5.000%, 01/01/13 (E) 655 709 Michigan State, Tobacco Settlement Finance, Ser A, RB 7.309%, 06/01/34 2,510 2,350 San Diego, Tobacco Settlement Asset- Backed, RB 7.125%, 06/01/32 1,422 1,327 State of Washington, Ser C, GO Callable 01/01/18 @ 100 5.000%, 01/01/33 1,465 1,508 University of Texas, Ser D, RB Pre-Refunded @ 100 5.000%, 08/15/14 (E) 2,020 2,206 ------------- Total Municipal Bonds (Cost $21,667) ($ Thousands) 21,435 ------------- PREFERRED STOCK --0.1% Aegon, 4.000% (A) 106,895 2,169 Deutsche Bank Contingent Capital Trust II, 6.550% (B) 38,000 860 Fannie Mae, 4.500% (A) 13,000 247 Merrill Lynch, 4.000% (A) 63,100 1,010 Metlife, 6.500% 86,821 1,953 Zurich RegCaPS Funding Trust, 3.775% (A) (C) 325 286 ------------- Total Preferred Stock (Cost $7,999) ($ Thousands) 6,525 -------------
Notional Amount (Thousands)/ Face Amount Market Value Description ($ Thousands)/Shares ($ Thousands) ------------------------------------------------- -------------------- ------------- PURCHASED SWAPTIONS -- 0.0% U.S. Swaption Call, Merrill Lynch 11,686 $ 848 U.S. Swaption Call, Merrill Lynch 88,575 1,327 ------------- Total Purchased Swaptions (Cost $959) ($ Thousands) 2,175 ------------- EURODOLLAR -- 0.0% Barclays O/S Investment 3.189%, 11/16/08 (A) $ 160 98 Lloyds TSB Bank 5.523%, 08/31/08 1,600 1,040 ------------- Total EuroDollar (Cost $1,510) ($ Thousands) 1,138 ------------- COMMERCIAL PAPER -- 0.1% Rabobank USA Financial 2.335%, 06/20/08 6,300 6,292 ------------- Total Commercial Paper (Cost $6,292) ($ Thousands) 6,292 ------------- CERTIFICATES OF DEPOSIT -- 0.1% JPMorgan Chase Bank 7.590%, 06/28/08 (A) 2,630 2,541 8.750%, 08/28/08 2,751 2,728 ------------- Total Certificates of Deposit (Cost $5,259) ($ Thousands) 5,269 ------------- AFFILIATED PARTNERSHIP -- 12.8% SEI Liquidity Fund, L.P., 2.810%**+ (G) 786,304,045 786,304 ------------- Total Affililated Partnership (Cost $786,304) ($ Thousands) 786,304 ------------- CASH EQUIVALENTS -- 3.6% Evergreen Institutional Money Market Fund, Institutional Class, 2.520%** 1,779,020 1,779 SEI Daily Income Trust, Prime Obligation Fund, Cl A, 2.460%**+ 222,837,501 222,838 ------------- Total Cash Equivalents (Cost $224,617) ($ Thousands) 224,617 -------------
166 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Face Amount ($ Thousands) Market Value Description /Contracts ($ Thousands) ------------------------------------------------- ------------- ------------- REPURCHASE AGREEMENT (F) -- 3.2% Deutsche Bank 2.250%, dated 05/30/08, to be repurchased on 06/02/08, repurchase price $ 194,836,525 (collateralized by a Freddie Mac obligation, par value $196,752,000, 3.250%, 02/19/10; with total market value $ 198,696,000) $ 194,800 $ 194,800 ------------- Total Repurchase Agreement (Cost $194,800) ($ Thousands) 194,800 ------------- Total Investments -- 129.9% (Cost $8,143,561) ($ Thousands) $ 7,990,186 ============= WRITTEN OPTIONS -- 0.0% June 2008 90 Day Euro Call, Expires 06/21/08, Strike Price $95.88* (10) (36) June 2008 90 Day Euro Put, Expires 06/21/08, Strike Price $96.25* (203) (1) June 2008 90 Day Euro Put, Expires 06/21/08, Strike Price $95.88* (216) (1) June 2008 U.S. Ten Year Treasury Put, Expires 06/21/08, Strike Price $97.13* (327) (8)
Contracts/ Notional Amount Market Value Description (Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- September 2008 U.S. Ten Year Treasury Call, Expires 08/16/08, Strike Price $118* (38) $ (10) September 2008 U.S. Ten Year Treasury Call, Expires 08/16/08, Strike Price $112* (233) (354) September 2008 U.S. Ten Year Treasury Call, Expires 08/16/08, Strike Price $114* (280) (306) September 2008 U.S. Ten Year Treasury Call, Expires 08/16/08, Strike Price $117* (577) (207) September 2008 U.S. Ten Year Treasury Put, Expires 08/16/08, Strike Price $109.5* (211) (142) September 2008 U.S. Ten Year Treasury Put, Expires 08/16/08, Strike Price $110* (348) (277) September 2008 U.S. Ten Year Treasury Put, Expires 08/16/08, Strike Price $111* (229) (254) ------------- Total Written Options (Premiums Received $1,913) ($ Thousands) (1,596) ------------- WRITTEN SWAPTION -- 0.0% U.S. Swaption Call, Merrill Lynch* (44,000) (2,035) ------------- Total Written Swaption (Premiums Received $959) ($ Thousands) (2,035) -------------
A summary of outstanding swap agreements held by the Fund at May 31, 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) ---------------------- --------------- ---------------------- ---------------- --------------- -------------- Deutsche Bank 3-month LIBOR 4.40% 05/31/12 13,126 $ 165 Deutsche Bank 4.44% 6-month EURIBOR 04/14/18 EUR 16,400 779 Deutsche Bank 6-month EURIBOR 4.25% 04/14/10 EUR 78,700 (1,615) Deutsche Bank 6-month EURIBOR 4.46% 05/12/10 EUR 6,200 (93) Citigroup 3-month LIBOR 4.86% 11/15/09 5,820 141 J.P. Morgan Chase Bank 3-month LIBOR 4.39% 11/15/09 10,420 181 Lehman Brothers 4.52% 5y5y swaption straddle 05/24/17 6,830 96 Lehman Brothers 4.65% 5y5y swaption straddle 05/18/17 12,000 69 Lehman Brothers 5.05% 5y5y swaption straddle 10/16/17 3,060 (71) Lehman Brothers 3-month LIBOR 5.14% 11/30/09 4,050 113 Lehman Brothers 3-month LIBOR 7.16% 05/25/22 6,000 3 Lehman Brothers 3-month LIBOR 7.88% 06/04/22 4,170 (16) Lehman Brothers 3-month LIBOR 4.17% 06/03/11 77,330 -- Lehman Brothers 4.93% 3-month LIBOR 06/03/19 18,830 -- Merrill Lynch 3-month LIBOR 5.04% 11/30/09 4,060 109 Merrill Lynch 3-month LIBOR 3.40% 02/26/13 6,594 (167) Merrill Lynch 3-month LIBOR 4.15% 11/23/09 10,500 144 Merrill Lynch 3-month LIBOR 4.81% 11/15/09 5,850 138 Merrill Lynch 5.00% 5y5y swaption straddle 10/18/17 3,060 (91) Merrill Lynch 5.03% 5y5y swaption straddle 10/16/17 3,060 (99) Merrill Lynch 3-month LIBOR 3.70% 02/26/13 13,162 (145) Citigroup 2.88% 3-month LIBOR 04/14/11 6,528 149 Citigroup 3-month LIBOR 3.19% 04/22/10 31,972 (114) Citigroup 3-month LIBOR 4.27% 01/23/18 19,207 379 -------- $ 55 ========
SEI Institutional Investments Trust / Annual Report / May 31, 2008 167 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) May 31, 2008 CREDIT DEFAULT SWAPS
NET UNREALIZED (PAYS)/ NOTIONAL APPRECIATION BUY/SELL RECEIVES TERMINATION AMOUNT (DEPRECIATION) COUNTERPARTY REFERENCE ENTITY/OBLIGATION PROTECTION RATE DATE (THOUSANDS) ($ THOUSANDS) ------------------- ------------------------------------------- ---------- -------- ----------- ----------- -------------- Deutsche Bank ABX.HE.AAA 06-2 Index sell 0.11 05/25/46 4,100 $ (1,227) Morgan Stanley Conocophillips 4.75% 10/15/2020 sell 0.27 09/20/12 1,620 (9) Lehman Brothers ABX.HE.AA 06-2 Index sell 0.17 05/25/46 4,720 (243) Lehman Brothers ABX.HE.AA 06-2 Index sell 0.17 05/25/46 2,360 (33) Lehman Brothers ABX.HE.AA 06-2 Index sell 0.17 05/25/46 10,000 (1,144) Barclays Bank PLC ABX.HE.AA 07-1 Index sell 0.15 08/25/37 800 (496) Citigroup ABX.HE.AA 07-1 Index sell 0.15 08/25/37 1,300 (871) Citigroup ABX.HE.AA 07-1 Index sell 0.15 08/25/37 1,300 (813) Citigroup ABX.HE.AA 07-1 Index sell 0.15 08/25/37 1,300 (790) Citigroup ABX.HE.AA 07-1 Index sell 0.15 08/25/37 2,650 (1,533) Lehman Brothers ABX.HE.AA 07-1 Index sell 0.15 08/25/37 6,505 (3,618) Citigroup ABX.HE.AA 07-2 Index sell 1.92 01/25/38 1,700 (1,339) Citigroup ABX.HE.AA 07-2 Index sell 1.92 01/25/38 4,720 (3,509) Citigroup ABX.HE.AA 07-2 Index sell 1.92 01/25/38 1,900 (1,476) Citigroup ABX.HE.AA 07-2 Index sell 1.92 01/25/38 1,355 (1,019) Citigroup ABX.HE.AA 07-2 Index sell 1.92 01/25/38 1,950 (1,351) Citigroup ABX.HE.AA 07-2 Index sell 1.92 01/25/38 1,300 (852) Citigroup ABX.HE.AA 07-2 Index sell 1.92 01/25/38 7,080 (4,491) Citigroup ABX.HE.AA 07-2 Index sell 1.92 01/25/38 2,440 (1,475) JPMorgan Chase Bank ABX.HE.AA 07-2 Index sell 1.92 01/25/38 4,550 (2,825) JPMorgan Chase Bank ABX.HE.AA 07-2 Index sell 1.92 01/25/38 2,600 (1,699) JPMorgan Chase Bank ABX.HE.AA 07-2 Index sell 1.92 01/25/38 1,300 (837) Lehman Brothers ABX.HE.AA 07-2 Index sell 1.92 01/25/38 3,000 (717) Lehman Brothers ABX.HE.AA 07-2 Index sell 1.92 01/25/38 1,975 (513) Lehman Brothers ABX.HE.AA 07-2 Index sell 1.92 01/25/38 1,975 (619) Lehman Brothers ABX.HE.AA 07-2 Index sell 1.92 01/25/38 1,975 (731) Lehman Brothers ABX.HE.AA 07-2 Index sell 1.92 01/25/38 1,975 (610) Barclays Bank PLC ABX.HE.AAA 07-1 Index sell 0.09 08/25/37 4,680 (1,123) Citigroup ABX.HE.AAA 07-1 Index sell 0.09 08/25/37 3,545 (839) Lehman Brothers ABX.HE.AAA 07-1 Index sell 0.09 08/25/37 7,500 (279) Lehman Brothers ABX.HE.AAA 07-1 Index sell 0.09 08/25/37 750 1 Lehman Brothers ABX.HE.AAA 07-1 Index sell 0.09 08/25/37 170 (25) Lehman Brothers ABX.HE.AAA 07-2 Index sell 0.76 01/25/38 9,000 (437) Lehman Brothers ABX.HE.AAA 07-2 Index sell 0.76 01/25/38 4,000 (123) Lehman Brothers ABX.HE.AAA 07-2 Index sell 0.76 01/25/38 2,000 (5) Morgan Stanley ABX.HE.AAA 07-2 Index sell 0.76 01/25/38 4,000 (33) Morgan Stanley ABX.HE.AAA 07-2 Index sell 0.76 01/25/38 3,000 (10) Lehman Brothers ABX.HE.BBB 07-2 Index sell 5.00 01/25/38 5,650 (2,134) Lehman Brothers ABX.HE.BBB 07-2 Index sell 5.00 01/25/38 2,210 (648) Lehman Brothers ABX.HE.BBB 07-2 Index sell 5.00 01/25/38 2,790 (805) Citigroup ABX.HE.BBB 07-2 Index sell 5.00 01/25/38 2,350 (878) Deutsche Bank Ambac Assurance, 03/20/2013 buy (3.35) 03/20/13 525 100 UBS Ambac Assurance, 03/20/2013 buy (2.90) 03/20/13 525 107 Barclays Bank PLC Goldman Sachs Group, 12/20/2012 buy (0.75) 12/20/12 300 9 Citigroup Ambac Assurance, 12/20/2012 buy (2.75) 03/20/13 1,050 219 Citigroup Pulte Homes, 12/20/2012 buy (3.91) 12/20/12 1,600 101 JPMorgan Chase Bank Ambac Assurance, 12/20/2012 buy (0.74) 12/20/12 8,725 255 JPMorgan Chase Bank Ambac Assurance, 12/20/2012 buy (0.75) 12/20/12 4,000 107 JPMorgan Chase Bank Morgan Stanley, 12/20/2012 buy (0.91) 12/20/12 8,500 392 Citigroup Pulte Homes, 12/20/2012 buy (3.88) 12/20/12 3,050 193 Barclays Bank PLC Lehman Brothers Hldg Inc, 12/20/2017 buy (1.16) 12/20/14 10,700 959 Citigroup Toll Brothers, 12/20/2012 buy (2.83) 12/20/12 1,400 91 Merrill Lynch Toll Brothers, 12/20/2012 buy (2.78) 12/20/12 3,300 217 Merrill Lynch Toll Brothers, 12/20/2012 buy (2.83) 12/20/12 2,000 130 Merrill Lynch Centex, 12/20/2012 buy (3.56) 12/20/12 1,970 178 Merrill Lynch Centex, 12/20/2012 buy (3.65) 12/20/12 1,375 123 Citigroup Darden Restaurants Inc, 7.125% 02/01/2016 buy (2.40) 03/20/15 1,200 (64) Deutsche Bank Darden Restaurants Inc, 7.125% 02/01/2016 buy (2.25) 03/20/13 600 (22) Morgan Stanley Darden Restaurants Inc, 7.125% 02/01/2016 buy (2.25) 03/20/13 600 (22) Deutsche Bank Pulte Homes Inc, 5.25% 01/15/2014 buy (4.00) 03/20/15 2,250 (208) Deutsche Bank Pulte Homes Inc, 5.25% 01/15/2014 buy (4.62) 03/20/13 2,250 (200) Citigroup Lloyds TSB Bank, 12/20/2017 buy (0.51) 12/20/17 3,200 94 Citigroup Royal Bank of Scotland, 12/20/2017 buy (0.70) 12/20/17 3,200 137 Citigroup CDX.NA.IG 9 Index sell 0.74 12/20/12 10,000 (156) Citigroup CDX.NA.IG 9 Index sell 0.78 12/20/12 5,000 (78) Citigroup CDX.NA.IG.10 Index buy (1.55) 06/20/13 29,710 (330) Citigroup DTE Energy Company buy (0.70) 06/20/11 6,528 (33) Citigroup General Electric Capital Corporation sell 1.17 03/20/13 7,000 (173) Citigroup Hsbc Bank Plc buy (0.61) 12/20/17 4,500 120 Citigroup Lehman Brothers Hldg Inc, 6.875% 01/18/2012 buy (1.10) 12/20/12 5,000 354 Citigroup Wachovia Corporation sell 1.17 03/20/13 4,000 (37) -------- $(39,615) ========
168 SEI Institutional Investments Trust / Annual Report / May 31, 2008 A summary of the open futures contracts held by the Fund at May 31, 2008, is as follows (See Note 2 in Notes to Financial Statements):
UNREALIZED NUMBER OF APPRECIATION CONTRACTS EXPIRATION (DEPRECIATION) TYPE OF CONTRACT LONG (SHORT) DATE ($ THOUSANDS) ----------------------- ------------ ---------- --------------- 3 Months Euribor 260 Jun-2008 $ (558) 90-Day Euro$ 654 Jun-2008 3,621 90-Day Euro$ 777 Sep-2008 (736) 90-Day Euro$ 101 Dec-2008 127 90-Day Euro$ 1,045 Mar-2009 (1,042) Euro-Bund 526 Jun-2008 (4,149) U.S. 10-Year Note (969) Sep-2008 1,603 U.S. 2-Year Note 1 Sep-2008 -- U.S. 2-Year Note 360 Oct-2008 (144) U.S. 5-Year Note 3,358 Sep-2008 (2,597) U.S. Long Treasury Bond (111) Sep-2008 (86) ------- $(3,961) =======
A summary of the outstanding forward foreign currency contracts held by the Fund at May 31, 2008, is as follows (See Note 2 in Notes to Financials Statements):
UNREALIZED CURRENCY CURRENCY APPRECIATION MATURITY TO DELIVER TO RECEIVE (DEPRECIATION) DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) -------- ------------ -------------- ------------- 8/5/08 EUR 25,929 USD 41,017 $ 859 8/5/08 GBP 9,109 USD 17,932 28 8/5/08 USD 22,592 JPY 2,316,816 (560) ----- $ 327 =====
Percentages are based on a Net Assets of $6,149,448 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of May 31, 2008. + Investment in affiliated security (see Note 3). ++ Real Estate Investment Trust (A) Variable Rate Security - The rate reported is the rate in effect as of May 31, 2008. The date reported is the next reset date. (B) This security or a partial position of this security is on loan at May 31, 2008. The total value of securities on loan at May 31, 2008 was $746,702 ($ Thousands). (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) Zero coupon security. The rate reported is the effective yield at time of purchase. (E) Pre-Refunded Security -- The maturity date shown is the pre-refunded date. (F) Tri-Party Repurchase Agreement. (G) This security was purchased with cash collateral held from securities on loan (see Note 9). The total value of such securities as of May 31, 2008 was $786,304 ($ Thousands). (H) Security, or portion thereof, has been pledged as collateral on open futures contracts. (I) Security, or portion thereof, has been pledged as collateral on open swap contracts. ABS -- Asset-Backed Security ARM -- Adjustable Rate Mortgage CDO -- Collateralized Debt Obligation Cl -- Class CMO -- Collateralized Mortgage Obligation DN -- Discount Note EUR -- Euro FHLB -- Federal Home Loan Bank FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GBP -- British Pound Sterling GNMA -- Government National Mortgage Association GO -- General Obligation IO -- Interest Only - face amount represents notional amount JPY -- Japanese Yen LLC -- Limited Liability Company L.P. -- Limited Partnership MTN -- Medium Term Note PIPE -- Private Investment in Public Entity RB -- Revenue Bond Ser -- Series STRIPS -- Separately Traded Registered Interest and Principal Securities TBA -- To Be Announced TIPS -- Treasury Inflated Protection Securities USD -- U.S. Dollar Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. SEI Institutional Investments Trust / Annual Report / May 31, 2008 169 SCHEDULE OF INVESTMENTS High Yield Bond Fund May 31, 2008 SECTOR WEIGHTINGS (UNAUDITED)++: (BAR CHART) Consumer Discretionary 21.0% Affiliated Partnership 13.4% Energy 9.5% Financials 8.0% Telecommunication Services 7.7% Loan Participations 7.6% Materials 7.4% Industrials 6.8% Collateralized Debt Obligations 4.2% Information Technology 3.9% Utilities 3.3% Consumer Staples 2.7% Health Care 2.4% Short-Term Investments 1.8% Preferred Stock 0.1% Common Stock 0.1% Convertible Bonds 0.1%
++ Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 9).
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- CORPORATE OBLIGATIONS -- 81.6% CONSUMER DISCRETIONARY -- 23.9% Adelphia Communications (escrow security) (E) 10.250%, 06/15/11 $ 125 $ 11 7.875%, 05/01/09 75 6 7.750%, 01/15/09 250 21 Adelphia Communications, Ser B PIK (escrow security) 9.500%, 02/15/04 25 2 American Greetings 7.375%, 06/01/16 800 798 Amscan Holdings 8.750%, 05/01/14 1,725 1,591 ARAMARK 8.500%, 02/01/15 300 307 Aramark Services 6.373%, 08/22/08 (A) 325 312 ArvinMeritor 8.750%, 03/01/12 (B) 2,450 2,291 Asbury Automotive Group 7.625%, 03/15/17 225 189 Ashtead Holdings PLC 8.625%, 08/01/15 (C) 195 170 AutoNation 4.713%, 07/15/08 (A) 680 601 Avis Budget Car Rental LLC 7.750%, 05/15/16 575 493 5.176%, 08/15/08 (A) (B) 615 527 Bausch & Lomb Optical Supplies 9.875%, 11/01/15 (B) (C) 500 524
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Beazer Homes USA 8.625%, 05/15/11 $ 275 $ 248 6.875%, 07/15/15 (B) 725 566 6.500%, 11/15/13 (B) 1,300 1,021 Blockbuster 9.000%, 09/01/12 (B) 2,250 1,874 Bonten Media Acquisition PIK 9.000%, 06/01/15 (C) 1,400 1,085 Boyd Gaming 7.125%, 02/01/16 (B) 865 677 7.125%, 02/01/16 2,525 1,976 6.750%, 04/15/14 (B) 2,125 1,777 Broder Brothers, Ser B 11.250%, 10/15/10 (B) 1,200 789 Brown Shoe 8.750%, 05/01/12 1,025 1,015 Burlington Coat Factory Warehouse 11.125%, 04/15/14 (B) 900 765 Cablevision Systems, Ser B 8.000%, 04/15/12 3,050 2,966 7.133%, 10/03/08 (A) 1,238 1,244 Caesars Entertainment 7.875%, 03/15/10 (B) 3,275 3,103 Carrols 9.000%, 01/15/13 1,000 920 CCH I Holdings LLC 11.750%, 05/15/14 (B) 150 99 11.000%, 10/01/15 (B) 8,182 6,954 CCH II LLC 10.250%, 09/15/10 5,120 5,094 CCH II LLC, Ser B 10.250%, 09/15/10 (B) 225 224 CCO Holdings LLC 8.750%, 11/15/13 (B) 3,095 2,940 Charter Communications Holdings LLC 8.000%, 04/30/12 (C) 175 172 Choctaw Resort Development Entity 7.250%, 11/15/19 (C) 962 861 Cinemark 9.750%, 03/15/09 (D) 425 404 Claire's Stores 10.500%, 06/01/17 (B) 4,225 2,213 9.625%, 06/01/15 (B) 2,990 1,745 9.250%, 06/01/15 (B) 1,000 670 Community Health Systems 8.875%, 07/15/15 5,610 5,785 Cooper-Standard Automotive 8.375%, 12/15/14 575 467 Couche-Tard US 7.500%, 12/15/13 4,233 4,286 CSC Holdings 7.250%, 07/15/08 5,025 5,025 CSC Holdings, Ser B 8.125%, 08/15/09 275 280
170 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Dana (escrow security) (E) 7.000%, 03/01/09 $ 175 $ 10 7.000%, 03/15/28 200 11 6.500%, 03/15/08 100 6 6.500%, 03/01/29 1,100 61 Delphi (E) 7.125%, 05/01/29 1,125 461 6.500%, 05/01/09 (B) 2,075 840 Dex Media 9.000%, 11/15/13 (D) 1,625 1,259 9.000%, 11/15/13 (B) (D) 2,635 2,042 8.000%, 11/15/13 (B) 725 576 Dex Media West, Ser B 9.875%, 08/15/13 4,835 4,659 8.500%, 08/15/10 1,000 1,003 DirecTV Holdings LLC 8.375%, 03/15/13 2,306 2,381 7.625%, 05/15/16 (C) 575 573 6.375%, 06/15/15 5,565 5,280 DR Horton 6.500%, 04/15/16 325 294 5.625%, 01/15/16 600 525 Easton-Bell Sports 8.375%, 10/01/12 2,040 1,693 Echostar DBS 7.125%, 02/01/16 3,760 3,591 7.000%, 10/01/13 1,770 1,712 6.625%, 10/01/14 2,470 2,328 5.750%, 10/01/08 4,590 4,590 El Dorado Casino Shreveport PIK 10.000%, 08/01/12 1,102 1,091 Eye Care Centers of America 10.750%, 02/15/15 600 618 Fontainebleau Las Vegas 10.250%, 06/15/15 (B) (C) 4,900 3,565 Ford Motor 8.900%, 01/15/32 850 638 8.875%, 01/15/22 50 39 6.500%, 08/01/18 (B) 2,835 1,970 General Motors 8.375%, 07/15/33 (B) 6,849 4,691 8.250%, 07/15/23 (B) 5,325 3,648 7.700%, 04/15/16 (B) 1,851 1,323 7.125%, 07/15/13 (B) 3,235 2,459 General Motors Nova Scotia Finance 6.850%, 10/15/08 4,450 4,417 General Nutrition Centers PIK 7.199%, 03/15/14 (A) 550 481 Goodyear Tire & Rubber 9.000%, 07/01/15 21 23 8.625%, 12/01/11 831 877 7.857%, 08/15/11 (B) 825 846
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Great Canadian Gaming 7.250%, 02/15/15 (C) $ 275 $ 267 Group 1 Automotive 8.250%, 08/15/13 475 461 GSC Holdings 8.000%, 10/01/12 1,000 1,055 Hanesbrands, Ser B 8.204%, 06/16/08 (A) 3,915 3,641 Harrah's Operating 10.750%, 02/01/16 (C) 6,685 5,799 8.000%, 02/01/11 625 527 5.500%, 07/01/10 100 91 HCA 9.250%, 11/15/16 8,583 9,065 9.125%, 11/15/14 802 838 HCA PIK 9.625%, 11/15/16 8,895 9,383 Herbst Gaming 8.125%, 06/01/12 (B) (E) 1,075 226 7.000%, 11/15/14 (B) (E) 900 189 Hertz 10.500%, 01/01/16 (B) 2,475 2,469 8.875%, 01/01/14 2,760 2,746 Idearc 8.000%, 11/15/16 1,680 1,201 Indianapolis Downs 11.000%, 11/01/12 (C) 900 828 Inergy 8.250%, 03/01/16 (C) 400 407 Inn of the Mountain Gods 12.000%, 11/15/10 (B) 225 196 Isle of Capri Casinos 7.000%, 03/01/14 (B) 250 191 Jarden 7.500%, 05/01/17 (B) 5,165 4,609 Jo-Ann Stores 7.500%, 03/01/12 350 331 K. Hovnanian Enterprises 11.500%, 05/01/13 (C) 175 182 8.625%, 01/15/17 (B) 1,825 1,414 7.500%, 05/15/16 450 319 6.500%, 01/15/14 500 355 6.375%, 12/15/14 285 201 6.250%, 01/15/15 650 447 6.250%, 01/15/16 1,150 786 Lamar Media 7.250%, 01/01/13 2,350 2,315 6.625%, 08/15/15 (B) 3,700 3,487 LBI Media 11.000%, 10/15/08 (D) 625 519 Leslie's Poolmart 7.750%, 02/01/13 525 494 LIN Television 6.500%, 05/15/13 (B) 3,700 3,510
SEI Institutional Investments Trust / Annual Report / May 31, 2008 171 SCHEDULE OF INVESTMENTS High Yield Bond Fund (Continued) May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------ ------------- ------------- LIN Television, Ser B 6.500%, 05/15/13 $ 1,000 $ 955 Majestic Star II LLC 9.750%, 01/15/11 (B) 400 130 Mandalay Resort Group 9.375%, 02/15/10 525 539 Mediacom Broadband LLC 8.500%, 10/15/15 1,925 1,747 Mediacom LLC 9.500%, 01/15/13 1,863 1,779 MediMedia USA 11.375%, 11/15/14 (B) (C) 725 725 MGM Mirage 8.375%, 02/01/11 1,275 1,264 7.500%, 06/01/16 4,520 4,017 6.875%, 04/01/16 2,020 1,732 6.750%, 09/01/12 1,800 1,676 6.750%, 04/01/13 1,600 1,448 5.875%, 02/27/14 3,085 2,638 Michaels Stores 11.375%, 11/01/16 380 327 10.000%, 11/01/14 (B) 350 324 Mobile Services Group 9.750%, 08/01/14 425 412 Mohegan Tribal Gaming 6.125%, 02/15/13 (B) 325 298 Mohegan Tribal Gaming Authority 8.000%, 04/01/12 75 70 7.125%, 08/15/14 (B) 725 632 6.875%, 02/15/15 (B) 1,300 1,099 Neff 10.000%, 06/01/15 (B) 775 368 Neiman-Marcus Group PIK 9.000%, 10/15/15 3,340 3,415 Nexstar Finance 7.000%, 01/15/14 3,600 3,186 NPC International 9.500%, 05/01/14 (B) 325 289 Outback Steakhouse 10.000%, 06/15/15 (C) 975 692 Penhall International 12.000%, 08/01/14 (C) 750 563 Penn National Gaming 6.875%, 12/01/11 100 98 6.750%, 03/01/15 4,115 4,083 Penske Auto Group 7.750%, 12/15/16 1,700 1,581 Perry Ellis International, Ser B 8.875%, 09/15/13 1,544 1,463 Phillips-Van Heusen 8.125%, 05/01/13 475 489 Pokagon Gaming Authority 10.375%, 06/15/14 (C) 686 743
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------ ------------- ------------- Quebecor Media 7.750%, 03/15/16 $ 1,025 $ 1,005 ReAble Therapeutics Finance LLC 10.875%, 11/15/14 (B) (C) 1,150 1,150 Rent-A-Center, Ser B 7.500%, 05/01/10 (B) 2,925 2,858 RH Donnelley 8.875%, 10/15/17 (C) 8,190 5,487 6.875%, 01/15/13 350 235 RH Donnelley, Ser A-1 6.875%, 01/15/13 1,850 1,240 RH Donnelley, Ser A-2 6.875%, 01/15/13 2,560 1,715 RH Donnelley, Ser A-3 8.875%, 01/15/16 600 411 RJ Tower 12.000%, 06/01/13 (B) (E) 417 8 RSC Equipment Rental 9.500%, 12/01/14 (B) 4,925 4,309 Sally Holdings LLC 10.500%, 11/15/16 (B) 1,955 1,906 9.250%, 11/15/14 (B) 3,220 3,204 Sbarro 10.375%, 02/01/15 (B) 200 174 Sealy Mattress 8.250%, 06/15/14 (B) 4,735 4,179 Service International 7.375%, 10/01/14 1,555 1,563 7.000%, 06/15/17 975 946 6.750%, 04/01/15 1,765 1,703 6.750%, 04/01/16 1,725 1,643 SGS International 12.000%, 12/15/13 1,875 1,727 Shingle Springs Tribal Group 9.375%, 06/15/15 (B) (C) 675 589 Simmons 10.000%, 12/15/14 (B) 6,595 4,880 7.875%, 01/15/14 (B) 1,200 1,065 Sinclair Broadcast Group 4.875%, 01/15/11 (C) (D) 400 368 Six Flags 9.625%, 06/01/14 (B) 800 496 Sonic Automotive, Ser B 8.625%, 08/15/13 2,580 2,503 Stanadyne Holdings 12.000%, 08/15/09 (D) 1,500 1,163 Stanadyne, Ser 1 10.000%, 08/15/14 475 463 Standard-Pacific 7.750%, 03/15/13 625 534 7.000%, 08/15/15 (B) 700 567 Station Casinos 6.875%, 03/01/16 2,655 1,616 6.625%, 03/15/18 2,265 1,325
172 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------ ------------- ------------- Steinway Musical Instruments 7.000%, 03/01/14 (C) $ 5,645 $ 5,193 Stewart Enterprises 6.250%, 02/15/13 1,215 1,151 Sun Media 7.625%, 02/15/13 1,840 1,785 Tenneco 8.625%, 11/15/14 (B) 4,494 4,449 Toll 8.250%, 02/01/11 750 728 Town Sports International 11.505%, 02/01/09 (D) 1,454 1,370 Travelport LLC 11.875%, 09/01/16 (B) 5,185 4,757 9.875%, 09/01/14 415 399 7.307%, 09/02/08 (A) 2,044 1,737 TRW Automotive 7.250%, 03/15/17 (B) (C) 4,805 4,493 7.000%, 03/15/14 (C) 2,950 2,788 UAL 1995 Pass-Through Trust A 9.020%, 04/19/12 601 270 United Components 9.375%, 06/15/13 1,460 1,424 United Rentals North America 7.750%, 11/15/13 150 129 7.000%, 02/15/14 1,625 1,348 6.500%, 02/15/12 1,975 1,822 Universal City Florida Holding 7.623%, 08/01/08 (A) 2,823 2,774 Univision Communications PIK 9.750%, 03/15/15 (B) (C) 3,900 2,945 Vail Resorts 6.750%, 02/15/14 3,080 3,003 Vicorp Restaurants 10.500%, 04/15/11 (B) (E) 500 105 Videotron 6.875%, 01/15/14 5,470 5,402 Visant Holding 10.250%, 12/01/08 (D) 6,650 6,484 8.750%, 12/01/13 880 876 Visteon 8.250%, 08/01/10 275 257 7.000%, 03/10/14 15 10 WMG Acquisition 7.375%, 04/15/14 (B) 770 631 Wynn Las Vegas LLC 6.625%, 12/01/14 4,014 3,874 ------------- 334,236 ------------- CONSUMER STAPLES -- 3.0% B&G Foods 8.000%, 10/01/11 500 497
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------ ------------- ------------- Constellation Brands 8.375%, 12/15/14 $ 2,405 $ 2,513 7.250%, 09/01/16 6,350 6,318 7.250%, 05/15/17 3,150 3,111 Dean Foods 7.000%, 06/01/16 (B) 375 350 Del Monte 6.750%, 02/15/15 2,915 2,819 Dole Food 7.250%, 06/15/10 1,500 1,391 Education Management LLC 8.750%, 06/01/14 350 337 Elizabeth Arden 7.750%, 01/15/14 (B) 1,425 1,354 Fleming 10.125%, 04/01/08 (E) 956 29 9.250%, 06/15/10 (E) 183 5 FMC Finance III 6.875%, 07/15/17 650 644 Laureate Education 10.000%, 08/15/15 (C) 225 213 Merisant 9.500%, 07/15/13 (B) 2,000 1,450 Merisant Worldwide 12.250%, 05/15/14 (D) 1,100 303 Michael Foods 8.000%, 11/15/13 3,150 3,118 National Beef Packing 10.500%, 08/01/11 1,213 1,128 NBTY 7.125%, 10/01/15 2,462 2,363 Pantry 7.750%, 02/15/14 3,375 2,598 Quebecor World Capital 6.125%, 11/15/13 (B) (E) 1,800 891 Rite Aid 9.500%, 06/15/17 5,390 4,203 9.375%, 12/15/11 450 351 9.250%, 06/01/13 (B) 1,000 821 8.625%, 03/01/15 850 663 7.700%, 02/15/27 (B) 150 88 7.500%, 01/15/15 25 24 7.500%, 03/01/17 590 538 6.875%, 08/15/13 (B) 100 70 6.875%, 12/15/28 (B) 350 191 6.125%, 12/15/08 (B) (C) 175 178 Spectrum Brands 7.375%, 02/01/15 (B) 1,960 1,333 SuperValu 7.500%, 11/15/14 1,400 1,442 Universal Hospital Services PIK 8.500%, 06/01/15 275 278 Universal Hospital Services 6.303%, 12/01/08 (A) 200 190 ------------- 41,802 -------------
SEI Institutional Investments Trust / Annual Report / May 31, 2008 173 SCHEDULE OF INVESTMENTS High Yield Bond Fund (Continued) May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------ ------------- ------------- ENERGY -- 10.6% Allis-Chalmers Energy 9.000%, 01/15/14 $ 5,563 $ 5,437 Atlas Energy Resources LLC 10.750%, 02/01/18 (C) 950 1,007 Atlas Pipeline Partners 8.125%, 12/15/15 350 361 Aventine Renewable Energy 10.000%, 04/01/17 (B) 2,400 1,722 Baytex Energy 9.625%, 07/15/10 525 534 Brigham Exploration 9.625%, 05/01/14 1,000 950 Calfrac Holdings 7.750%, 02/15/15 (C) 3,000 2,895 Chaparral Energy 8.875%, 02/01/17 425 377 8.500%, 12/01/15 2,488 2,202 Chesapeake Energy 7.750%, 01/15/15 2,200 2,280 7.625%, 07/15/13 525 534 7.500%, 06/15/14 (B) 719 723 7.250%, 12/15/18 2,045 2,030 7.000%, 08/15/14 3,226 3,214 6.875%, 01/15/16 3,588 3,525 6.500%, 08/15/17 975 919 Cimarex Energy 7.125%, 05/01/17 3,250 3,234 Colorado Interstate Gas 6.800%, 11/15/15 125 129 5.950%, 03/15/15 80 79 Compagnie Generale de Geophysique 7.750%, 05/15/17 425 434 7.500%, 05/15/15 1,225 1,240 Compton Petroleum Finance 7.625%, 12/01/13 350 343 Comstock Resources 6.875%, 03/01/12 50 49 Connacher Oil and Gas 10.250%, 12/15/15 (C) 1,550 1,635 Copano Energy LLC 7.750%, 06/01/18 (C) 4,625 4,596 Denbury Resources 7.500%, 04/01/13 3,610 3,646 7.500%, 12/15/15 2,415 2,445 Dynegy Holdings 8.375%, 05/01/16 825 829 7.750%, 06/01/19 3,475 3,293 7.500%, 06/01/15 2,585 2,443 6.875%, 04/01/11 225 221 El Paso 8.050%, 10/15/30 150 155 7.875%, 06/15/12 (B) 1,525 1,590
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------ ------------- ------------- 7.800%, 08/01/31 $ 1,450 $ 1,460 7.750%, 01/15/32 1,275 1,282 7.420%, 02/15/37 1,125 1,076 7.250%, 06/01/18 3,385 3,398 7.000%, 06/15/17 1,425 1,430 El Paso Performance-Linked Trust 7.750%, 07/15/11 (C) 450 463 Encore Acquisition 7.250%, 12/01/17 850 842 6.000%, 07/15/15 750 713 Energy Partners 9.750%, 04/15/14 1,250 1,175 7.838%, 07/15/08 (A) 200 179 Forest Oil 8.000%, 06/15/08 180 180 8.000%, 12/15/11 1,825 1,909 7.250%, 06/15/19 (C) 3,230 3,173 Frontier Oil 6.625%, 10/01/11 350 345 Helix Energy Solutions Group 9.500%, 01/15/16 (C) 2,345 2,439 Hilcorp Energy 9.000%, 06/01/16 (C) 750 778 7.750%, 11/01/15 (C) 4,850 4,740 Holly Energy Partners 6.250%, 03/01/15 1,200 1,101 Inergy 6.875%, 12/15/14 300 290 Key Energy Services 8.375%, 12/01/14 (C) 700 723 MarkWest Energy Partners 8.750%, 04/15/18 (C) 2,865 3,001 MarkWest Energy Partners, Ser B 8.500%, 07/15/16 3,575 3,731 6.875%, 11/01/14 1,225 1,191 Newfield Exploration 7.125%, 05/15/18 1,800 1,775 6.625%, 04/15/16 1,730 1,648 OPTI Canada 8.250%, 12/15/14 2,525 2,601 7.875%, 12/15/14 910 921 Pacific Energy Partners 7.125%, 06/15/14 200 201 6.250%, 09/15/15 100 98 Parker Drilling 9.625%, 10/01/13 639 674 Peabody Energy 7.375%, 11/01/16 665 680 Peabody Energy, Ser B 6.875%, 03/15/13 3,800 3,838 PetroHawk Energy 9.125%, 07/15/13 2,805 2,917 7.875%, 06/01/15 (C) 2,965 2,961
174 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------ ------------- ------------- Petroleum Development 12.000%, 02/15/18 (C) $ 2,500 $ 2,650 PetroProd 10.850%, 05/24/13 900 864 PHI 7.125%, 04/15/13 125 121 Plains Exploration & Production 7.750%, 06/15/15 250 252 7.625%, 06/01/18 600 603 7.000%, 03/15/17 850 818 Pride International 7.375%, 07/15/14 1,391 1,415 Quicksilver Resources 7.125%, 04/01/16 1,075 1,048 Range Resources 7.250%, 05/01/18 920 934 6.375%, 03/15/15 350 342 Sabine Pass LNG LP 7.500%, 11/30/16 1,520 1,389 Sabine Pass LNG LP 7.250%, 11/30/13 1,550 1,438 SandRidge Energy 8.625%, 04/01/15 (C) 1,025 1,053 8.000%, 06/01/18 (C) 3,610 3,655 SemGroup 8.750%, 11/15/15 (C) 1,110 1,082 SESI LLC 6.875%, 06/01/14 950 922 Sonat 7.625%, 07/15/11 750 769 Southern Natural Gas 7.350%, 02/15/31 375 388 Southwestern Energy 7.500%, 02/01/18 (C) 2,900 2,930 Swift Energy 7.625%, 07/15/11 6,100 6,131 Tesoro 6.625%, 11/01/15 1,755 1,612 6.500%, 06/01/17 475 425 Transcontinental Gas Pipe Line 6.400%, 04/15/16 150 151 United Refining 10.500%, 08/15/12 850 812 Venoco 8.750%, 12/15/11 2,940 2,867 Whiting Petroleum 7.000%, 02/01/14 1,030 1,022 Williams 7.750%, 06/15/31 475 506 Williams Partners 7.250%, 02/01/17 3,785 3,870 ------------- 149,073 -------------
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------ ------------- ------------- FINANCIALS -- 9.0% AAC Group Holding 10.250%, 10/01/12 (D) $ 1,080 $ 1,048 AAC Group Holding PIK 14.750%, 10/01/12 951 884 ACE Cash Express 10.250%, 10/01/14 (C) 675 523 Alamosa Delaware 8.500%, 01/31/12 1,665 1,603 Algoma Acquisition 9.875%, 06/15/15 (C) 500 473 ALH Finance LLC 8.500%, 01/15/13 4,040 3,788 Alliant Holdings 11.000%, 05/01/15 (C) 1,225 1,060 Ashtead Capital 9.000%, 08/15/16 (B) (C) 3,229 2,874 Bank of America 8.125%, 11/15/08 (A) 1,200 1,200 Biomet 11.625%, 10/15/17 (C) 100 106 10.000%, 10/15/17 (C) 75 80 Biomet PIK 10.375%, 10/15/17 (C) 9,115 9,706 Cardtronics 9.250%, 08/15/13 (C) 350 335 9.250%, 08/15/13 150 143 Deluxe 7.375%, 06/01/15 200 182 Felcor Lodging LP 8.500%, 06/01/11++ 245 249 4.803%, 10/31/08++ (A) 200 183 FireKeepers Development Authority 13.875%, 05/01/15 (C) 700 702 Ford Motor Credit LLC 9.750%, 09/15/10 262 255 8.000%, 12/15/16 3,650 3,064 7.800%, 06/01/12 (B) 5,310 4,698 7.375%, 10/28/09 300 292 7.375%, 02/01/11 250 229 7.250%, 10/25/11 2,215 1,978 7.163%, 07/17/08 (A) 3,340 3,286 7.000%, 10/01/13 4,562 3,836 5.460%, 07/13/08 (A) 275 232 4.283%, 07/18/08 (A) 680 625 FTI Consulting 7.750%, 10/01/16 50 52 7.625%, 06/15/13 425 440 GMAC LLC 8.000%, 11/01/31 4,168 3,193 7.750%, 01/19/10 175 164 7.250%, 03/02/11 1,125 964 7.000%, 02/01/12 100 82 6.875%, 09/15/11 2,875 2,424
SEI Institutional Investments Trust / Annual Report / May 31, 2008 175 SCHEDULE OF INVESTMENTS High Yield Bond Fund (Continued) May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------ ------------- 6.875%, 08/28/12 (B) $ 5,870 $ 4,728 6.750%, 12/01/14 7,770 6,016 6.625%, 05/15/12 1,325 1,068 6.000%, 12/15/11 425 342 3.926%, 08/15/08 (A) 425 396 Hawker Beechcraft Acquisition LLC PIK 8.875%, 04/01/15 (B) 2,765 2,820 Hellas II 8.463%, 06/21/08 (A) (C) 2,100 1,617 Hexion US Fin/Nova Scotia 9.750%, 11/15/14 2,500 2,750 7.176%, 08/15/08 (A) 750 713 Host Hotels & Resorts LP 6.875%, 11/01/14++ 1,405 1,373 Host Marriott LP 7.125%, 11/01/13++ 985 975 Host Marriott LP, Ser M 7.000%, 08/15/12++ 450 449 Host Marriott LP, Ser O 6.375%, 03/15/15++ 850 808 Host Marriott LP, Ser Q 6.750%, 06/01/16++ 1,430 1,387 HUB International Holdings 9.000%, 12/15/14 (C) 3,750 3,263 Icahn Enterprises 7.125%, 02/15/13 5,825 5,330 iPayment 9.750%, 05/15/14 1,100 960 Kansas City Southern Railway 8.000%, 06/01/15 1,175 1,181 KAR Holdings 10.000%, 05/01/15 1,775 1,615 8.750%, 05/01/14 2,760 2,567 6.873%, 08/01/08 (A) 800 712 Marlin Water Trust II 6.310%, 07/15/03 (C) (E) 4,000 220 Nielsen Finance LLC 12.500%, 08/01/16 (D) 650 471 10.000%, 08/01/14 (B) 3,275 3,377 NSG Holdings LLC 7.750%, 12/15/25 (C) 450 444 Nuveen Investments 10.500%, 11/15/15 (C) 7,005 6,584 Omega Healthcare Investors 7.000%, 01/15/16++ 825 792 Petroplus Finance 7.000%, 05/01/17 (C) 4,475 4,039 7.000%, 05/01/17 500 454 6.750%, 05/01/14 (C) 1,515 1,390 6.750%, 05/01/14 2,000 1,855 Pinnacle Foods Finance LLC 10.625%, 04/01/17 (B) 2,025 1,742 9.250%, 04/01/15 600 552
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------ ------------- PNA Intermediate Holding 9.676%, 08/15/08 (A) $ 475 $ 406 PXRE Capital Trust I 8.850%, 02/01/27 1,400 1,327 Realogy 10.500%, 04/15/14 175 131 Regency Energy Partners 8.375%, 12/15/13 670 693 Residential Capital LLC 8.125%, 11/21/08 1,575 1,449 3.490%, 06/09/08 (A) 100 98 Rouse LP 6.750%, 05/01/13++ (C) 1,000 896 Senior Housing Properties Trust 7.875%, 04/15/15++ 645 651 Snoqualmie Entertainment Authority 9.125%, 02/01/15 (C) 1,375 1,059 6.936%, 08/01/08 (A) (C) 275 213 Tenneco 8.125%, 11/15/15 (B) (C) 1,045 1,055 Tropicana Entertainment LLC 9.625%, 12/15/14 (B) (E) 75 42 UCI Holdco 10.300%, 06/15/08 (A) 1,004 891 Universal City Development Partners 11.750%, 04/01/10 1,350 1,389 Ventas Realty LP 7.125%, 06/01/15++ 925 930 6.750%, 04/01/17++ 775 767 6.625%, 10/15/14++ 375 372 Yankee Acquisition, Ser B 8.500%, 02/15/15 (B) 250 204 ------------- 126,516 ------------- HEALTH CARE -- 2.6% Advanced Medical Optics 7.500%, 05/01/17 2,950 2,758 Bio-Rad Laboratories 7.500%, 08/15/13 175 177 6.125%, 12/15/14 900 864 Cooper 7.125%, 02/15/15 4,430 4,264 CRC Health 10.750%, 02/01/16 1,975 1,659 DaVita 6.625%, 03/15/13 3,500 3,404 Fresenius Medical Care Capital Trust IV 7.875%, 06/15/11 2,620 2,725 HCA 8.750%, 09/01/10 610 624 6.750%, 07/15/13 555 502 MedCath Holdings 9.875%, 07/15/12 (B) 1,055 1,097
176 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------ ------------- NMH Holdings PIK 9.925%, 06/15/08 (A) (C) $ 709 $ 624 Psychiatric Solutions 7.750%, 07/15/15 2,625 2,691 Res-Care 7.750%, 10/15/13 625 584 Select Medical 7.625%, 02/01/15 1,000 890 Spheris 11.000%, 12/15/12 1,400 1,078 Sun Healthcare 9.125%, 04/15/15 375 379 Surgical Care Affiliates PIK 8.875%, 07/15/15 (C) 1,580 1,280 Tenet Healthcare 9.250%, 02/01/15 (B) 5,025 4,912 6.375%, 12/01/11 75 71 United Surgical Partners International PIK 9.250%, 05/01/17 2,990 2,929 United Surgical Partners International 8.875%, 05/01/17 (B) 1,695 1,661 US Oncology 10.750%, 08/15/14 600 605 9.000%, 08/15/12 750 758 ------------- 36,536 ------------- INDUSTRIALS -- 7.4% ACCO Brands 7.625%, 08/15/15 5,360 4,932 ACIH 11.500%, 12/15/12 (B) (C) (D) 900 198 Actuant 6.875%, 06/15/17 (C) 3,400 3,409 AGY Holding 11.000%, 11/15/14 (C) 800 736 Ahern Rentals 9.250%, 08/15/13 (B) 900 720 Aleris International PIK 9.000%, 12/15/14 75 61 Aleris International 10.000%, 12/15/16 (B) 1,925 1,381 Alliant Techsystems 6.750%, 04/01/16 275 272 Allied Waste North America 7.250%, 03/15/15 (B) 345 342 6.500%, 11/15/10 4,400 4,438 6.125%, 02/15/14 1,945 1,894 Allied Waste North America, Ser B 7.375%, 04/15/14 (B) 1,190 1,202 7.125%, 05/15/16 595 585 Allison Transmission 11.000%, 11/01/15 (B) (C) 150 141
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------ ------------- Allison Transmission PIK 11.250%, 11/01/15 (B) (C) $ 1,350 $ 1,229 Altos Hornos de Mexico, Ser A 11.375%, 04/30/02 (E) 525 332 Altos Hornos de Mexico, Ser B 11.875%, 04/30/04 (E) 975 617 American Airlines, Ser 01-1 7.379%, 05/23/16 112 81 American Axle & Manufacturing 7.875%, 03/01/17 1,700 1,445 American Railcar Industries 7.500%, 03/01/14 325 304 Ames True Temper 10.000%, 07/15/12 (B) 1,245 819 6.713%, 07/15/08 (A) 1,220 1,064 Associated Materials 11.250%, 03/01/09 (B) (D) 325 222 Baker & Taylor 11.500%, 07/01/13 (C) 925 842 Baldor Electric 8.625%, 02/15/17 (B) 2,320 2,366 Basell 8.375%, 08/15/15 (C) 1,250 894 Belden 7.000%, 03/15/17 175 171 Buffalo Thunder Development Authority 9.375%, 12/15/14 (C) 2,050 1,425 Buhrmann US 8.250%, 07/01/14 1,650 1,565 7.875%, 03/01/15 600 568 Chart Industries 9.125%, 10/15/15 325 334 Cornell 10.750%, 07/01/12 475 490 Corrections Corp of America 7.500%, 05/01/11 1,000 1,008 6.750%, 01/31/14 785 783 6.250%, 03/15/13 2,723 2,682 Delta Air Lines, Ser 2002-1 8.300%, 12/15/29 (B) 850 14 Delta Air Lines, Ser 2002-1, Cl C 7.779%, 01/02/12 (B) (E) 655 599 DRS Technologies 7.625%, 02/01/18 1,085 1,168 6.875%, 11/01/13 300 307 6.625%, 02/01/16 775 808 Education Management LLC 10.250%, 06/01/16 (B) 3,225 3,072 ESCO 8.625%, 12/15/13 (C) 705 709 6.675%, 06/15/08 (A) (C) 125 115 General Cable 7.125%, 04/01/17 (B) 410 400
SEI Institutional Investments Trust / Annual Report / May 31, 2008 177 SCHEDULE OF INVESTMENTS High Yield Bond Fund (Continued) May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------ ------------- GrafTech Finance 10.250%, 02/15/12 $ 293 $ 305 Gulfmark Offshore 7.750%, 07/15/14 1,304 1,330 Indalex Holding, Ser B 11.500%, 02/01/14 (B) 476 259 Interface 9.500%, 02/01/14 275 287 Interline Brands 8.125%, 06/15/14 1,120 1,092 Iron Mountain 8.750%, 07/15/18 (B) 565 602 8.625%, 04/01/13 1,238 1,257 7.750%, 01/15/15 1,335 1,362 6.625%, 01/01/16 (B) 5,255 5,070 J.B. Poindexter 8.750%, 03/15/14 (B) 400 296 L-3 Communications 7.625%, 06/15/12 1,125 1,146 6.125%, 07/15/13 605 587 5.875%, 01/15/15 3,377 3,200 L-3 Communications, Ser B 6.375%, 10/15/15 3,456 3,330 Language Line 11.125%, 06/15/12 1,875 1,943 MAAX 9.750%, 06/15/12 (B) 300 21 Meritage Homes 7.000%, 05/01/14 75 63 6.250%, 03/15/15 50 42 Millar Western Forest 7.750%, 11/15/13 257 172 Mobile Mini 6.875%, 05/01/15 800 692 Moog 7.250%, 06/15/18 (C) 200 202 Mueller Water Products 7.375%, 06/01/17 1,050 935 Nebraska Book 8.625%, 03/15/12 250 215 Noble Group 6.625%, 03/17/15 (C) 475 423 Nortek 8.500%, 09/01/14 525 368 Northwest Airlines (escrow security) (E) 8.875%, 06/01/06 (B) 1,500 8 7.875%, 03/15/08 175 1 7.625%, 11/15/23 (D) 1,175 6 NTK Holdings 10.750%, 03/01/14 (B) (D) 725 360 Park-Ohio Industries 8.375%, 11/15/14 (B) 775 667 Ply Gem Industries 9.000%, 02/15/12 300 206
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------ ------------- Propex Fabrics 10.000%, 12/01/12 (E) $ 125 $ 1 Quality Distribution LLC 9.000%, 11/15/10 800 560 Quebecor World Capital 8.750%, 03/15/16 (B) (C) (E) 2,650 1,537 Rainbow National Services LLC 8.750%, 09/01/12 (C) 1,210 1,240 RBS Global & Rexnord 11.750%, 08/01/16 (B) 450 441 9.500%, 08/01/14 550 551 8.875%, 09/01/16 2,475 2,388 Saint Acquisition 12.500%, 05/15/17 (B) (C) 600 213 SPX 7.625%, 12/15/14 (C) 1,330 1,383 Stallion Oilfield Services 9.750%, 02/01/15 (B) (C) 3,000 2,475 Sunstate Equipment 10.500%, 04/01/13 (C) 730 584 Superior Essex Com & Essex Group 9.000%, 04/15/12 600 605 Terex 8.000%, 11/15/17 (B) 8,550 8,742 Titan International 8.000%, 01/15/12 3,115 3,138 TransDigm 7.750%, 07/15/14 1,350 1,380 Tube City IMS 9.750%, 02/01/15 750 716 United Air Lines 9.125%, 01/15/12 (E) 625 -- United Air Lines, Ser A 10.670%, 05/01/04 (E) 325 -- Vanguard Health Holding I 11.250%, 10/01/09 (D) 600 522 Vanguard Health Holding II 9.000%, 10/01/14 950 976 Visant 7.625%, 10/01/12 475 474 Vought Aircraft Industries 8.000%, 07/15/11 3,000 2,903 ------------- 104,020 ------------- INFORMATION TECHNOLOGY -- 4.4% Activant Solutions 9.500%, 05/01/16 1,900 1,449 Advanced Micro Devices 7.750%, 11/01/12 (B) 1,875 1,622 Amkor Technology 9.250%, 06/01/16 1,700 1,687 7.125%, 03/15/11 (B) 2,900 2,828
178 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------ ------------- Compucom Systems 12.500%, 10/01/15 (C) $ 1,025 $ 955 First Data 9.875%, 09/24/15 (B) (C) 1,890 1,710 3.375%, 08/01/08 720 715 Flextronics International 6.500%, 05/15/13 1,500 1,478 6.250%, 11/15/14 1,400 1,337 Freescale Semiconductor PIK 9.125%, 12/15/14 7,735 6,632 Freescale Semiconductor 10.125%, 12/15/16 (B) 1,650 1,390 8.875%, 12/15/14 1,930 1,708 6.675%, 06/15/08 (A) 250 211 MagnaChip Semiconductor 6.875%, 12/15/11 (B) 425 332 NXP Funding LLC 9.500%, 10/15/15 (B) 5,450 5,143 7.875%, 10/15/14 5,265 5,107 Open Solutions 9.750%, 02/01/15 (C) 5,125 4,228 Sanmina-SCI 8.125%, 03/01/16 1,050 987 5.550%, 06/15/08 (A) (B) (C) 2,380 2,361 5.550%, 06/15/08 (A) (C) 1,250 1,169 Seitel 9.750%, 02/15/14 2,700 2,444 Sensata Technologies 8.000%, 05/01/14 (B) 3,805 3,605 Smart Modular 8.197%, 07/01/08 (A) 4,960 4,960 Sungard Data Systems 10.250%, 08/15/15 (B) 6,230 6,479 9.125%, 08/15/13 (B) 590 608 Viasystems 10.500%, 01/15/11 500 493 ------------- 61,638 ------------- MATERIALS -- 8.3% Abitibi-Consolidated 8.850%, 08/01/30 150 59 8.550%, 08/01/10 2,725 1,499 8.375%, 04/01/15 (B) 425 186 AK Steel 7.750%, 06/15/12 (B) 4,100 4,171 Appleton Papers 8.125%, 06/15/11 300 290 Appleton Papers, Ser B 9.750%, 06/15/14 1,075 1,027 Arch Western Finance LLC 6.750%, 07/01/13 8,225 8,121
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------ ------------- Ball 6.625%, 03/15/18 $ 1,250 $ 1,247 Bowater 9.500%, 10/15/12 475 309 Bowater - Pre-merger 9.000%, 08/01/09 400 362 Bowater Canada Finance 7.950%, 11/15/11 300 210 Bway 10.000%, 10/15/10 650 655 Cascades 7.250%, 02/15/13 625 550 Catalyst Paper 7.375%, 03/01/14 338 257 Catalyst Paper, Ser D 8.625%, 06/15/11 840 727 CII Carbon 11.125%, 11/15/15 (C) 550 545 Crown Americas 7.750%, 11/15/15 (B) 1,531 1,608 Crown Cork & Seal 8.000%, 04/15/23 1,675 1,566 Domtar 9.500%, 08/01/16 (B) 250 259 7.125%, 08/15/15 (B) 2,050 1,957 Evraz Group 9.500%, 04/24/18 (B) (C) 2,950 3,013 8.875%, 04/24/13 (C) 925 944 FMG Finance 10.625%, 09/01/16 (C) 2,845 3,299 10.000%, 09/01/13 (C) 350 387 Freeport-McMoRan Copper & Gold 8.375%, 04/01/17 5,650 6,073 8.250%, 04/01/15 670 710 5.883%, 04/01/15 (A) 1,200 1,200 Georgia Gulf 9.500%, 10/15/14 (B) 425 351 7.125%, 12/15/13 (B) 125 100 Georgia-Pacific 8.125%, 05/15/11 1,900 1,948 8.000%, 01/15/24 1,425 1,375 7.700%, 06/15/15 (B) 1,575 1,563 7.125%, 01/15/17 (C) 2,370 2,340 7.000%, 01/15/15 (C) 2,865 2,850 Graham Packaging 9.875%, 10/15/14 (B) 3,870 3,598 Huntsman International LLC 7.875%, 11/15/14 1,355 1,450 Huntsman LLC 11.625%, 10/15/10 255 271 11.500%, 07/15/12 1,440 1,530
SEI Institutional Investments Trust / Annual Report / May 31, 2008 179 SCHEDULE OF INVESTMENTS High Yield Bond Fund (Continued) May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- INEOS Group Holdings PLC 8.500%, 02/15/16 (B) (C) $ 3,370 $ 2,620 Innophos 8.875%, 08/15/14 550 561 Innophos Holdings 9.500%, 04/15/12 (C) 700 676 Intertape Polymer 8.500%, 08/01/14 450 401 Jefferson Smurfit 8.250%, 10/01/12 175 161 MacDermid 9.500%, 04/15/17 (C) 875 849 Methanex 6.000%, 08/15/15 175 162 Millennium America 7.625%, 11/15/26 200 119 Momentive Performance Materials 11.500%, 12/01/16 (B) 2,055 1,742 9.750%, 12/01/14 100 93 Mosaic 7.625%, 12/01/16 (B) (C) 2,825 3,065 7.375%, 12/01/14 (C) 625 659 Mosaic Global Holdings 7.300%, 01/15/28 325 328 Nalco 8.875%, 11/15/13 (B) 1,170 1,231 7.750%, 11/15/11 2,590 2,642 Neenah 9.500%, 01/01/17 575 413 Newark Group 9.750%, 03/15/14 700 497 NewPage 10.000%, 05/01/12 (B) (C) 350 373 10.000%, 05/01/12 425 453 Noranda Aluminium Acquisition PIK 8.578%, 11/15/08 (A) (C) 900 788 6.828%, 11/18/08 (A) (C) 3,690 3,237 Novelis 7.250%, 02/15/15 1,725 1,622 Owens Brockway Glass Container 8.250%, 05/15/13 1,555 1,609 P.H. Glatfelter 7.125%, 05/01/16 1,550 1,521 Packaging Dynamics Finance 10.000%, 05/01/16 (C) 2,565 1,693 PNA Group 10.750%, 09/01/16 2,975 2,826 PolyOne 8.875%, 05/01/12 2,180 2,240 8.875%, 05/01/12 (C) 1,930 1,983 Reichhold Industries 9.000%, 08/15/14 (C) 2,206 2,211
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Rock-Tenn 5.625%, 03/15/13 $ 2,200 $ 2,079 Rockwood Specialties Group 7.500%, 11/15/14 1,470 1,441 Solo Cup 8.500%, 02/15/14 1,110 988 Solutia 7.375%, 10/15/08 (B) (E) 525 -- Steel Dynamics 7.750%, 04/15/16 (C) 1,460 1,464 7.375%, 11/01/12 (C) 4,785 4,820 Stone Container 8.375%, 07/01/12 2,800 2,604 8.000%, 03/15/17 (B) 1,225 1,057 Terra Capital, Ser B 7.000%, 02/01/17 2,950 2,931 U.S. Steel 6.650%, 06/01/37 150 133 Verso Paper Holdings LLC, Ser B 11.375%, 08/01/16 650 658 Vitro 9.125%, 02/01/17 3,915 3,326 ------------- 116,883 ------------- TELECOMMUNICATION SERVICES -- 8.7% American Tower 7.500%, 05/01/12 100 102 7.125%, 10/15/12 1,100 1,117 Centennial Communications 8.448%, 07/01/08 (A) 100 95 8.125%, 02/01/14 (B) 825 817 Cincinnati Bell 7.250%, 07/15/13 3,225 3,217 Citizens Communications 9.250%, 05/15/11 1,025 1,075 7.125%, 03/15/19 750 686 6.625%, 03/15/15 1,175 1,096 6.250%, 01/15/13 665 625 Cricket Communications I 9.875%, 11/01/14 (C) 1,975 1,906 9.375%, 11/01/14 4,360 4,207 Digicel 9.250%, 09/01/12 (C) 2,400 2,466 Digicel Group PIK 9.125%, 01/15/15 (B) (C) 3,158 2,858 Digicel Group 8.875%, 01/15/15 (C) 3,475 3,188 Echostar DBS 7.750%, 05/31/15 (B) (C) 3,790 3,771 Fairpoint Communications 13.125%, 04/01/18 (C) 3,640 3,730 GCI 7.250%, 02/15/14 1,450 1,247
180 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Hawaiian Telcom Communications, Ser B 9.750%, 05/01/13 (B) $ 500 $ 195 Intelsat 6.500%, 11/01/13 2,475 1,838 Intelsat Bermuda 11.250%, 06/15/16 4,415 4,503 9.250%, 06/15/16 1,137 1,148 Intelsat Intermediate Holding 9.250%, 02/01/10 (D) 3,025 2,556 iPCS PIK 6.123%, 05/01/14 (A) 2,600 2,106 iPCS 4.998%, 08/01/08 (A) 1,180 1,015 Lamar Media 6.625%, 08/15/15 525 495 Level 3 Financing 9.250%, 11/01/14 1,920 1,795 8.750%, 02/15/17 (B) 1,175 1,037 6.704%, 08/15/08 (A) 100 84 Lucent Technologies 6.450%, 03/15/29 525 402 MetroPCS Wireless 9.250%, 11/01/14 6,725 6,464 Nextel Communications 6.875%, 10/31/13 600 486 Nielsen Finance LLC 10.000%, 08/01/14 (C) 450 464 Nordic Telephone Holdings 8.875%, 05/01/16 (C) 3,745 3,689 Orascom Telecom Finance 7.875%, 02/08/14 (B) (C) 2,000 1,915 PAETEC Holding 9.500%, 07/15/15 3,936 3,700 Primus Telecommunications 8.000%, 01/15/14 (B) 1,575 606 Quebecor Media 7.750%, 03/15/16 5,960 5,841 Qwest 8.875%, 03/15/12 570 597 7.875%, 09/01/11 600 611 7.500%, 10/01/14 680 677 7.250%, 09/15/25 375 346 7.250%, 10/15/35 1,200 1,047 6.875%, 09/15/33 275 235 6.500%, 06/01/17 (B) 275 255 6.050%, 06/15/08 (A) 760 737 Qwest Capital Funding 7.900%, 08/15/10 (B) 1,000 998 7.000%, 08/03/09 2,900 2,896 Qwest Communications International 7.500%, 02/15/14 400 392 6.176%, 08/11/08 (A) 1,236 1,224
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Qwest Communications International,Ser B 7.500%, 02/15/14 $ 3,475 $ 3,406 Rogers Communications 6.375%, 03/01/14 175 177 Rural Cellular 8.250%, 03/15/12 2,765 2,861 6.076%, 06/04/08 (A) 885 894 Securus Technologies 11.000%, 09/01/11 (B) 250 188 Sprint Capital 8.750%, 03/15/32 950 857 8.375%, 03/15/12 900 875 6.900%, 05/01/19 2,835 2,410 Sprint Capital, Ser 2001 7.625%, 01/30/11 675 653 Sprint Nextel 6.000%, 12/01/16 600 495 Syniverse Technologies, Ser B 7.750%, 08/15/13 125 120 Telcordia Technologies 10.000%, 03/15/13 (B) (C) 1,300 1,014 Videotron 9.125%, 04/15/18 (C) 1,495 1,600 Virgin Media Finance 9.125%, 08/15/16 750 735 8.750%, 04/15/14 2,675 2,628 West 11.000%, 10/15/16 (B) 1,325 1,173 9.500%, 10/15/14 4,490 4,198 Wind Acquisition Finance 10.750%, 12/01/15 (C) 4,300 4,601 Windstream 8.625%, 08/01/16 (B) 5,975 6,206 8.125%, 08/01/13 1,410 1,442 7.000%, 03/15/19 2,160 2,047 Windstream Regatta Holdings 11.000%, 12/01/17 (C) 1,075 720 ------------- 121,857 ------------- UTILITIES -- 3.7% AES 9.375%, 09/15/10 750 795 8.875%, 02/15/11 2,555 2,676 8.750%, 05/15/13 (C) 520 540 8.000%, 10/15/17 2,825 2,836 8.000%, 06/01/20 (C) 1,625 1,597 7.750%, 03/01/14 25 25 7.750%, 10/15/15 260 259 Aquila 14.875%, 07/01/12 450 536 Calpine Generating LLC 14.320%, 10/01/08 (A) (E) 1,500 315
SEI Institutional Investments Trust / Annual Report / May 31, 2008 181 SCHEDULE OF INVESTMENTS High Yield Bond Fund (Continued) May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Edison Mission Energy 7.625%, 05/15/27 $ 950 $ 895 7.500%, 06/15/13 325 332 7.200%, 05/15/19 550 536 7.000%, 05/15/17 4,235 4,141 Energy Future Holdings 10.875%, 11/01/17 (C) 6,575 6,855 Ipalco Enterprises 7.250%, 04/01/16 (C) 850 850 Mirant Americas Generation LLC (E) 8.500%, 10/01/21 2,408 2,324 8.300%, 05/01/11 2,025 2,101 Mirant North America LLC 7.375%, 12/31/13 3,255 3,279 NRG Energy 7.375%, 02/01/16 1,795 1,750 7.375%, 01/15/17 5,385 5,263 7.250%, 02/01/14 (B) 4,075 3,994 PNM Resources 9.250%, 05/15/15 525 584 Public Service of New Mexico 7.950%, 05/15/18 3,100 3,164 Sierra Pacific Resources 7.803%, 06/15/12 975 1,015 Tenaska Alabama Partners 7.000%, 06/30/21 (C) 295 273 Texas Competitive Electric Holdings 10.250%, 11/01/15 (C) 4,715 4,815 ------------- 51,750 ------------- Total Corporate Obligations (Cost $1,199,998) ($ Thousands) 1,144,311 ------------- LOAN PARTICIPATIONS -- 8.8% Advanstar Communicaitons, 2nd Lien 7.671%, 11/30/14 1,250 900 Aeroflex 6.375%, 07/29/14 741 682 Affinion Holding PIK 9.267%, 03/01/12 (A) 1,200 988 9.267%, 01/24/12 2,000 1,645 Affinion Holding 9.267%, 03/01/12 875 720 Alliant Insurance Services, Ser B 5.696%, 11/15/14 1,244 1,154 Allison Transmission 5.532%, 08/07/14 2,672 2,448 Alltel Holdings 5.466%, 05/31/15 2,470 2,293 Asurion 5.784%, 07/02/14 (A) 1,650 1,538
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Asurion, 2nd Lien 9.365%, 07/02/15 $ 1,000 $ 933 9.284%, 07/07/15 (A) 528 492 9.197%, 07/07/15 (A) 722 673 BOC Edwards 8.394%, 05/31/14 200 118 4.644%, 05/31/14 149 115 0.000%, 05/31/14 675 398 Boise Paper 12.500%, 02/22/15 900 875 Boston Generating, 1st Lien 9.696%, 12/21/16 146 142 Boston Generating, 2nd Lien 6.946%, 06/21/14 650 607 CCFC 8.696%, 08/26/09 (A) 2,196 2,204 Cebridge 8.974%, 05/05/14 1,200 1,023 Cebridge, 2nd Lien 8.899%, 05/05/14 2,840 2,421 Central Parking (A) 5.317%, 05/22/14 834 774 4.946%, 05/22/14 1,917 1,778 Central Parking Line of Credit (Synthetic) 4.946%, 05/22/14 (A) 768 712 Century Cable Bank, Ser B 10.250%, 06/30/09 3 -- Cooper Standard 5.250%, 02/28/10 2,688 2,553 DAE Aviation Holdings 6.650%, 07/31/14 (A) 275 267 6.519%, 07/31/14 277 269 Delta, 2nd Lien 6.149%, 04/30/14 223 161 Dresser-Rand, 1st Lien 5.554%, 05/04/14 491 453 Dresser-Rand, 2nd Lien 8.820%, 05/04/15 3,565 3,401 Entegra PIK 8.696%, 04/04/15 250 226 Entegra PIK, 3rd Lien 8.696%, 04/19/15 1,613 1,456 Enterprise GP Holdings 4.924%, 11/08/14 (A) 1,800 1,766 First Data 5.446%, 09/24/14 193 179 5.355%, 09/24/14 271 252 5.168%, 09/24/14 771 715 5.149%, 09/24/14 2,707 2,508 First Data 5.168%, 09/24/14 525 487 Ford 0.000%, 12/12/13 1,050 904
182 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Ford, 1st Lien 5.800%, 12/12/13 $ 870 $ 749 Georgia Pacific 4.684%, 02/14/13 346 326 Georgia Pacific, Ser B 4.727%, 02/14/13 414 391 Green Valley Ranch Gaming, 2nd Lien 5.894%, 08/06/14 2,000 1,297 Hexion Specialty Chemicals (A) 5.000%, 05/05/13 124 118 4.938%, 05/05/13 1,074 1,021 0.000%, 05/05/13 700 666 Hexion, Ser C1 4.938%, 05/05/13 1,842 1,752 Hexion, Ser C2 5.000%, 05/05/13 402 382 Iasis Healthcare 8.131%, 06/15/14 2,185 1,934 Infor Global Solutions 8.950%, 07/28/12 (A) 870 765 8.946%, 03/02/14 16 11 6.450%, 07/28/12 159 140 6.422%, 07/28/12 (A) 1,100 968 Infor Global Solutions 8.946%, 03/02/14 (A) 809 550 Infor Global Solutions, Delayed Draw 6.450%, 07/28/12 (A) 410 361 Intel 8.880%, 01/15/15 1,900 1,862 0.000%, 01/15/13 1,500 1,508 Intelsat Bermuda 5.200%, 02/02/14 (A) 3,925 3,948 0.000%, 02/02/14 1,675 1,685 Intelsat Subsidiary Holding 8.500%, 01/15/15 1,500 1,470 JG Wentworth, 1st Lien 4.921%, 04/04/14 975 793 KAR Holding 4.950%, 10/18/13 1,216 1,127 Language Line 5.922%, 05/14/11 (A) 481 449 LYO 0.000%, 12/20/14 2,350 2,136 Lyondell Chemical 0.000%, 12/20/14 3,220 2,929 McKechnie Aerospace 7.700%, 05/11/15 700 569 4.709%, 05/11/14 245 229 McKechnie Aerospace, 1st Lien 4.709%, 05/11/14 375 349
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Metroflag, 2nd Lien 11.451%, 07/06/08 $ 325 $ 250 Murray Bank, 2nd Lien 13.438%, 01/31/11 1,901 1,750 New World Gaming 8.188%, 05/18/15 1,300 1,120 Nielsen Finance LLC 5.346%, 08/09/13 90 85 Orbitz Worldwide (A) 5.892%, 07/01/14 375 314 5.794%, 07/01/14 3,743 3,144 5.696%, 07/01/14 365 306 5.172%, 07/01/14 550 462 Penhall 10.132%, 03/28/12 680 517 Pinnacle Foods 5.552%, 04/02/14 793 741 Proquest 5.201%, 02/09/14 765 726 ProQuest LLC (A) 5.690%, 02/09/14 26 25 5.201%, 02/09/14 800 760 5.150%, 02/09/14 31 29 5.140%, 02/09/14 183 174 Proquest, 2nd Lien 8.415%, 02/09/16 1,200 1,152 Resolute Aneth LLC, 2nd Lien 7.410%, 06/27/13 1,500 1,275 Rexnord 10.058%, 02/20/13 2,152 2,022 Reynolds & Reynolds 9.883%, 04/01/14 (A) 300 282 Reynolds & Reynolds, 3rd Lien (A) 9.883%, 04/01/14 3,700 3,478 9.883%, 04/24/14 800 752 Royalty Pharma 7.750%, 05/15/15 1,250 1,203 Sevan Marine 9.250%, 12/20/11 700 704 0.000%, 05/14/13 500 465 Simmons Holdco 8.204%, 02/15/12 (D) 2,695 1,725 Sorenson Communications 9.672%, 02/16/14 (A) 1,700 1,658 Sorenson Communications, 2nd Lien 9.700%, 02/16/14 1,250 1,219 9.672%, 02/16/14 (A) 1,500 1,463 Surgical Care Affiliates 4.946%, 12/29/14 1,489 1,288 Texas Competitive Electric 6.596%, 10/10/14 4,615 4,324
SEI Institutional Investments Trust / Annual Report / May 31, 2008 183 SCHEDULE OF INVESTMENTS High Yield Bond Fund (Continued) May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Texas Competitive Electric Holdings 6.490%, 10/10/14 $ 300 $ 281 6.490%, 10/27/14 775 728 6.489%, 10/27/14 297 279 6.301%, 10/10/14 475 446 6.301%, 10/27/14 75 70 5.672%, 10/10/14 (A) 900 843 0.000%, 10/10/14 3,675 3,443 TFP Generation Holdings LLC 6.946%, 12/15/14 1,250 1,124 TFP Generation Holdings LLC, 2nd Lien 6.946%, 12/15/14 1,000 899 Town Sports International 4.313%, 08/27/13 273 232 Tropicana Entertainment 8.500%, 12/31/11 1,421 1,374 Univision Communications 5.494%, 03/15/14 940 793 5.494%, 09/15/14 (A) 328 276 5.491%, 09/15/14 566 477 4.922%, 09/29/14 (A) 361 305 0.000%, 03/15/14 60 9 Univision Communications, Delayed Draw (A) (H) 4.922%, 09/15/14 89 14 4.922%, 09/29/14 47 7 Venoco 6.688%, 05/07/14 400 379 Verint Systems 5.873%, 05/09/14 1,877 1,689 WideOpenWest Finance LLC, 2nd Lien 9.375%, 06/18/15 (A) 1,017 813 Wind Acquisition Holdings 9.984%, 12/12/11 2,636 2,562 9.984%, 12/21/11 1,138 1,107 ------------- Total Loan Participations (Cost $131,735) ($ Thousands) 123,278 ------------- COLLATERALIZED DEBT OBLIGATIONS -- 4.8% Ares IIIR CLO, Ser 2007-3RA, Cl SUB 0.000%, 04/16/21 (C) 5,000 2,750 Ares VR CLO, Ser 2006-5RA, Cl SUB 0.000%, 02/24/18 (C) 3,500 1,890 Ares XI CLO, Ser 2007-11A, Cl SUB 0.000%, 10/11/21 (C) 3,000 1,508 Babson CLO, Ser 2007-2A, Cl D 4.413%, 07/15/08 (A) (C) 1,050 632
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Babson CLO, Ser 2004-II, Cl SUB 0.000%, 11/15/16 (C) $ 1,800 $ 756 Babson CLO, Ser 2007-2A, Cl INC 0.000%, 04/15/21 (C) 2,700 1,373 Battalion CLO, Cl E 6.960%, 07/14/08 (A) (C) 2,550 1,415 Battalion CLO, Ser 2007-1, Cl 1A 0.000%, 07/14/22 (C) 1,750 945 Carlyle High Yield Partners CLO, Ser 2006-8A, Cl N 0.000%, 05/21/21 3,000 1,350 CIFC Funding, Ser 2006-I 0.000%, 10/20/20 (A) (C) 2,000 1,450 CIFC Funding, Ser 2006-II 0.000%, 03/01/21 (A) (C) 3,000 1,958 CIFC Funding, Ser 2006-1BA, Cl A3L 3.429%, 06/23/08 (A) (C) 3,525 1,939 CIFC Funding, Ser 2007-2A, Cl SUB 0.000%, 04/15/21 (C) 2,500 1,375 CIFC Funding, Ser 2007-3A, Cl B 4.157%, 07/28/08 (A) (C) 2,700 1,485 CIFC Funding, Ser 2007-IV 0.000%, 12/19/07 3,900 3,352 Connecticut Valley Structured Credit CDO III, Ser 2006-3A, Cl NOTE 0.000%, 03/23/23 (C) 1,200 180 Copper River CLO, Ser 2006-1A, Cl INC 0.000%, 01/20/21 (C) 3,000 1,904 De Meer Middle Market CLO, Cl B 3.218%, 10/20/18 (A) (C) 1,200 977 De Meer Middle Market CLO, Ser 2006-1A, Cl INC 0.000%, 10/20/18 (C) 3,167 1,811 Denali Capital CLO VII, Ser 2007-1A Cl INC 0.000%, 01/22/22 (C) 4,500 3,004 Duane Street CLO, Ser 2007-5A, Cl SN 0.000%, 10/14/21 (C) 3,500 2,190 Gale Force CLO, Ser 2007-4A, Cl E 9.095%, 08/20/08 (A) 4,200 2,759 Gale Force CLO, Ser 2007-4A, Cl INC 2.695%, 08/20/08 (A) 6,000 3,851 Gleneagles CLO, Ser AI 0.000%, 08/01/08 (A) 6,000 3,300 GoldenTree Loan Opportunities III, Ser 2007-3A, Cl SUB 0.000%, 05/01/22 (C) 3,100 1,550
184 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Face Amount ($ Thousands) Market Value Description /Shares ($ Thousands) ------------------------------------------------- ------------- ------------- ING Investment Management I CLO 0.000%, 12/01/17 (A) (C) $ 2,000 $ 860 ING Investment Management II CLO 0.000%, 08/01/20 (A) (C) 4,800 2,448 Lightpoint CLO, Ser 2006-4A, Cl INC 0.000%, 04/15/18 (C) 2,000 693 Marathon CLO, Cl B 3.342%, 06/20/08 (A) (C) 1,300 939 Marathon CLO, Ser 2005-2A, Cl INC 0.000%, 12/20/19 (C) 1,500 970 Marlborough Street CLO, Ser 2007-1A, Cl INC 0.000%, 04/18/19 (C) 2,300 1,214 Peritus I CDO (I) 0.000%, 12/19/07 3,000 450 Peritus I CDO, Ser 2005-1A, Cl C (I) 9.000%, 05/24/15 (C) 10,537 6,954 Rockwall Investors CDO 0.000%, 08/01/21 (A) (C) 3,000 1,680 Sands Point Funding, Ser 2006-1A, Cl C 3.534%, 07/18/08 (A) (C) 680 431 Sargas CLO I, Ser 2006-1A, Cl SUB 0.000%, 08/27/20 (C) 2,900 1,305 Stanfield Veyron CLO, Ser 2006-1A, Cl SUB 0.000%, 07/15/18 2,000 1,000 Tralee CDO, Ser 2007-1A, Cl SUB 0.000%, 04/16/22 (C) 2,500 1,250 Whitehorse CLO II 0.000%, 03/15/13 (A) 3,500 1,127 ------------- Total Collateralized Debt Obligations (Cost $91,871) ($ Thousands) 67,025 ------------- COMMON STOCK -- 0.2% Armstrong World Industries 6,237 203 Core-Mark Holding* (B) 12,992 377 Dana Holdings* 58,081 616 Federal Mogul, Cl A* 40,084 801 Huntsman 8,803 193 Mirant* 2,931 119 Owens Corning* (B) 23,403 604 Solutia* (B) 30,438 419 UAL (B) 1,196 10 ------------- Total Common Stock (Cost $4,013) ($ Thousands) 3,342 -------------
Face Amount ($ Thousands) Market Value Description /Shares ($ Thousands) ------------------------------------------------- ------------- ------------- CONVERTIBLE BONDS -- 0.1% Adelphia Recovery Trust, Ser ACE-1 (escrow security) 0.000%, 02/15/09 $ 466 $ -- American Tower 7.000%, 10/15/17 (C) 300 299 Flextronics CV to 64.4122 1.000%, 08/01/10 1,015 986 Mirant CV to 131.9888 0.000%, 07/15/07 (E) 750 2 Mirant CV to 14.7167 0.000%, 06/15/21 (B) (E) 1,950 3 ------------- Total Convertible Bonds (Cost $1,422) ($ Thousands) 1,290 ------------- PREFERRED STOCK -- 0.1% Dana, Ser B, 0%* 575 547 Rural Cellular PIK, 12.25%* -- 497 ------------- Total Preferred Stock (Cost $973) ($ Thousands) 1,044 ------------- COMMERCIAL PAPER -- 0.1% Hawker Beechcraft 9.750%, 04/01/17 (B) 875 863 ------------- Total Commercial Paper (Cost $863) ($ Thousands) 863 ------------- AFFILIATED PARTNERSHIP -- 15.1% SEI Liquidity Fund, L.P., 2.810%**+ (F) 211,083,584 211,084 ------------- Total Affiliated Partnership (Cost $211,084) ($ Thousands) 211,084 ------------- CASH EQUIVALENTS -- 2.1% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 2.460%**+ 28,842,486 28,842 ------------- Total Cash Equivalents (Cost $28,842) ($ Thousands) 28,842 ------------- Total Investments -- 112.9% (Cost $1,670,801) ($ Thousands) $ 1,581,079 =============
SEI Institutional Investments Trust / Annual Report / May 31, 2008 185 SCHEDULE OF INVESTMENTS High Yield Bond Fund (Concluded) May 31, 2008 Description ------------------------------------------------- Percentages are based on a Net Assets of $1,399,859 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of May 31, 2008. + Investment in Affiliated Security (See Note 3). ++ Real Estate Investment Trust (A) Variable Rate Security -- The rate reported is the rate in effect as of May 31, 2008. The date reported is the next reset date. (B) This security or a partial position of this security is on loan at May 31, 2008. The total value of securities on loan at May 31, 2008 was $198,692 ($ Thousands). (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) Step Bonds -- The rate reflected is the effective yield on May 31, 2008. The coupon on a step bond changes on a specified date. (E) Security in default on interest payments. (F) This security was purchased with collateral held from securities on loan (see Note 9). The total value of such securities as of May 31, 2008 was $211,084 ($ Thousands). (H) Unfunded Bank Loan. (I) Securities considered illiquid. The total value of such securities as of May 31, 2008 was $7,404 ($ Thousands) and represented 0.5% of Net Assets. 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 $0. The accompanying notes are an integral part of the financial statements. 186 SEI Institutional Investments Trust / Annual Report / May 31, 2008 SCHEDULE OF INVESTMENTS Long Duration Fund May 31, 2008 SECTOR WEIGHTINGS (UNAUDITED)++: (BAR CHART) Mortgage-Backed Securities 33.9% Asset-Backed Securities 28.2% U.S. Government Agency Obligations 17.3% Financials 13.7% Utilities 3.1% Industrials 2.1% Telecommunication Services 0.8% Short-Term Investments 0.6% Health Care 0.3%
++ Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 9).
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- MORTGAGE-BACKED SECURITIES -- 34.4% AGENCY MORTGAGE-BACKED OBLIGATIONS -- 3.5% FHLMC 6.500%, 08/01/29 $ 667 $ 678 FHLMC ARM 7.267%, 08/15/08 175 176 FHLMC CMO, Ser 2748, Cl ZT 5.500%, 02/15/24 91 87 FHLMC TBA 7.000%, 01/01/33 346 368 FNMA 7.000%, 04/01/34 355 373 FNMA ARM 7.136%, 07/25/08 208 211 6.456%, 07/25/08 518 526 3.886%, 07/25/08 542 548 FNMA CMO, Ser 2001-48, Cl PD 6.500%, 06/25/20 112 113 FNMA CMO, Ser 2003-122, Cl ZQ 6.000%, 12/25/33 123 124 FNMA CMO, Ser 2004-12, Cl ZX 6.000%, 03/25/34 133 114 FNMA CMO, Ser 2004-31, Cl MZ 4.250%, 05/25/34 119 84 FNMA CMO, Ser 2004-80, Cl XZ 5.000%, 11/25/34 239 187 GNMA ARM 6.375%, 07/20/08 309 314 GNMA CMO, Ser 2003-112, Cl SG 5.393%, 06/16/08 (A) 134 81 ------------- 3,984 ------------- NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 30.9% Alliance Bancorp Trust, Ser OA1, Cl A1 2.633%, 06/25/08 (A) 1,774 1,397 American Home Mortgage Investment Trust, Ser 2007-2, Cl 11A1 2.622%, 06/25/08 (A) 2,309 1,998
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Bayview Commercial Asset Trust, Ser 2006-1A, Cl M3 2.813%, 06/25/08 (A) (B) $ 1,095 $ 668 Bayview Commercial Asset Trust, Ser 2007-2A, Cl A1 2.662%, 06/25/08 (A) (B) 2,608 2,060 Bayview Commercial Asset Trust, Ser 2007-3, Cl A1 2.633%, 06/25/08 (A) (B) 2,658 2,443 Chase Mortgage Finance, Ser 2007-A2, Cl 2A3 4.243%, 07/25/08 (A) 1,518 1,417 Citigroup Commercial Mortgage Trust, Ser 2007-C6, Cl AM 5.700%, 07/10/08 (A) 1,470 1,356 Citigroup Mortgage Loan Trust, Ser 2003-1, Cl WA2 6.500%, 06/25/31 71 66 Citigroup Mortgage Loan Trust, Ser 2004-2, Cl 2A1 6.500%, 08/25/18 (B) 90 90 Countrywide Alternative Loan Trust, Ser 2005-16, Cl A5 2.672%, 06/25/08 (A) 537 399 Countrywide Alternative Loan Trust, Ser 2005-27, Cl 1A2 5.476%, 06/25/08 (A) 1,027 801 Countrywide Alternative Loan Trust, Ser 2005-27, Cl 2A1 5.872%, 06/01/08 (A) 645 484 Countrywide Alternative Loan Trust, Ser 2005-27, Cl 3A2 5.176%, 06/01/08 (A) 78 60 Countrywide Alternative Loan Trust, Ser 2005-61, Cl 2A1 2.672%, 06/25/08 (A) 548 440 Countrywide Alternative Loan Trust, Ser 2005-72, Cl A1 3.405%, 06/27/08 (A) 802 656 Countrywide Alternative Loan Trust, Ser 2006-OA2, Cl X1P, IO 2.000%, 06/01/08 7,348 320 Countrywide Home Loans, Ser 2006-2, Cl 1A1 2.712%, 06/25/08 (A) 260 213 DSLA Mortgage Loan Trust, Ser 2004-AR1, Cl A2A 2.908%, 06/19/08 (A) 94 82 DSLA Mortgage Loan Trust, Ser 2005-AR2, Cl 2A1A 2.707%, 06/19/08 (A) 434 345 DSLA Mortgage Loan Trust, Ser 2005-AR4, Cl 2A1A 2.757%, 06/21/08 (A) 558 457
SEI Institutional Investments Trust / Annual Report / May 31, 2008 187 SCHEDULE OF INVESTMENTS Long Duration Fund (Continued) May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Greenpoint Mortgage Funding Trust, Ser 2006-AR3, Cl 4A1 2.603%, 06/25/08 (A) $ 2,140 $ 1,673 Greenwich Capital Commercial Funding, Ser 2005-GG5, Cl AM 5.277%, 06/01/08 (A) 1,960 1,861 GS Mortgage Securities II, Ser 2006-GG8, Cl A4 5.560%, 11/10/39 1,980 1,955 Harborview Mortgage Loan Trust, Ser 2004-8, Cl 2A4A 2.897%, 06/19/08 (A) 492 421 Harborview Mortgage Loan Trust, Ser 2005-01, Cl X, IO 2.967%, 06/01/08 1,398 20 Harborview Mortgage Loan Trust, Ser 2005-11, Cl 2A1A 2.807%, 06/19/08 (A) 775 630 Harborview Mortgage Loan Trust, Ser 2005-12, Cl X2B, IO 2.914%, 06/01/08 (A) 3,441 73 Harborview Mortgage Loan Trust, Ser 2006-1, Cl X1, IO 3.880%, 07/19/08 (A) 7,409 266 Indymac Index Mortgage Loan Trust, Ser 2004-AR12, Cl AX2, IO 0.760%, 06/01/08 (A) 528 7 Indymac Index Mortgage Loan Trust, Ser 2004-AR12, Cl A1 2.783%, 06/25/08 (A) 266 241 Indymac Index Mortgage Loan Trust, Ser 2004-AR5, Cl 2A1B 2.792%, 06/27/08 (A) 231 205 Indymac Index Mortgage Loan Trust, Ser 2004-AR6, Cl 6A1 5.454%, 06/01/08 (A) 247 240 Indymac Index Mortgage Loan Trust, Ser 2004-AR7, Cl A2 2.823%, 06/25/08 (A) 70 63 Indymac Index Mortgage Loan Trust, Ser 2004-AR8, Cl 2A2A 2.792%, 06/27/08 (A) 71 64 Indymac Index Mortgage Loan Trust, Ser 2005-AR18, Cl 2A1A 2.702%, 06/25/08 (A) 1,437 1,177 JPMorgan Chase Commercial Mortgage, Ser 2006-CB16, Cl AM 5.593%, 05/12/45 2,330 2,169 JPMorgan Chase Commercial Mortgage, Ser 2006-LDP7, Cl A4 6.065%, 06/01/08 (A) 535 541
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- JPMorgan Mortgage Trust, Ser 2005-A2, Cl 9A1 4.236%, 07/25/08 (A) $ 753 $ 766 Master Adjustable Rate Mortgage Trust, Ser 2006-OA2, Cl 4A1A 4.640%, 06/01/08 (A) 2,183 1,588 Master Alternative Loans Trust, Ser 2003-3, Cl 2A1 8.500%, 05/25/33 166 168 Master Seasoned Securities Trust, Ser 2005-1, Cl 4A1 5.967%, 06/25/08 (A) 404 379 Residential Accredit Loans, Ser 2005-QO3, Cl A1 2.792%, 06/25/08 (A) 2,605 2,115 Structured Asset Mortgage Investments, Ser 2006-AR1, Cl 3A1 2.622%, 06/28/08 (A) 1,730 1,338 Washington Mutual Mortgage Pass-Through Certificates, Ser 2000-1, Cl M2 3.692%, 06/25/08 (A) 417 411 Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-AR2, Cl 2A21 2.723%, 06/25/08 (A) 393 327 Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-OA3, Cl 4A1 4.846%, 06/01/08 (A) 1,797 1,353 ------------- 35,803 ------------- Total Mortgage-Backed Securities (Cost $46,039) ($ Thousands) 39,787 ------------- ASSET-BACKED SECURITIES -- 28.5% MORTGAGE RELATED SECURITIES -- 28.5% ACE Securities, Ser WF1, Cl A2C 2.733%, 06/25/08 (A) 2,142 1,984 Asset-Backed Securities Home Equity, Ser 2003-HE4, Cl M2 5.514%, 06/15/08 (A) 621 499 Bayview Financial Acquisition Trust, Ser 2004-B, Cl A1 2.882%, 06/28/08 (A) (B) 1,436 1,250 Bayview Financial Acquisition Trust, Ser 2005-A, Cl A1 2.882%, 06/28/08 (A) (B) 2,100 1,803
188 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Bayview Financial Revolving Mortgage Loan Trust, Ser 2005-E, Cl A1 2.882%, 06/28/08 (A) (B) $ 2,400 $ 1,992 Bear Stearns Asset-Backed Securities Trust, Ser 2007-HE5, Cl 1A2 2.572%, 06/25/08 (A) 2,300 2,064 BNC Mortgage Loan Trust, Ser 2007-2, Cl A2 2.492%, 06/25/08 (A) 570 546 Continental Airlines, Ser 2002-1, Cl G1 3.126%, 08/15/08 (A) 75 75 Countrywide Asset-Backed Certificates, Ser 2003-BC1, Cl M1 3.773%, 06/25/08 (A) 254 183 Credit-Based Asset Servicing and Securitization LLC, Ser 2006-CB9, Cl A2 2.503%, 06/26/08 (A) 1,076 934 Credit-Based Asset Servicing and Securitization LLC, Ser 2007-CB4, Cl M1 2.712%, 06/25/08 (A) 1,192 364 Credit-Based Asset Servicing, Ser 2005-CB5, Cl AF1 2.532%, 06/25/08 (A) -- -- Credit-Based Asset Servicing, Ser 2006-CB4, Cl AV3 2.543%, 06/25/08 (A) 2,750 2,524 First Franklin Mortgage Loan Asset-Backed Certificates, Ser 2005-FF2, Cl A2C 2.702%, 06/25/08 (A) 513 456 First Franklin Mortgage Loan Asset-Backed Certificates, Ser 2007-FF1, Cl A2D 2.612%, 06/25/08 (A) 2,750 1,514 First Franklin Mortgage Loan Asset-Backed Certificates, Ser 2007-FF2, Cl A2D 2.612%, 06/25/08 (A) 1,850 1,009 GMAC Mortgage Loan Trust, Ser 2000-HE2, Cl A1 2.833%, 06/25/08 (A) 544 395 Home Equity Asset Trust, Ser 2007-3, Cl 2A2 2.572%, 06/25/08 (A) 2,300 1,946 Indymac Home Equity Loan Asset-Backed Trust, Ser 2002-A, Cl M1 3.517%, 06/27/08 (A) 756 618
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Inman Square Funding, Ser 2A, Cl I 3.178%, 07/06/08 (A) (B) $ 1,820 $ 728 Irwin Home Equity, Ser 2003-A, Cl M2 5.042%, 06/27/08 (A) 285 246 Ivy Lane CDO, Ser 2006-1A, Cl A1 3.114%, 08/05/08 (A) (B) 1,349 742 JPMorgan Mortgage Acquisition, Ser 2007-HE1, Cl AV1 2.453%, 06/25/08 (A) 931 878 Lehman XS Trust, Ser 2006-12N, Cl A1A1 2.473%, 06/25/08 (A) 328 321 Long Beach Asset Holdings, Ser 2006-9, Cl N1 6.250%, 10/25/46 (B) 826 54 Master Asset-Backed Securities Trust, Ser 2007-HE1, Cl A1 2.473%, 06/25/08 (A) 889 862 Mid-State Trust, Ser 2004-1, Cl B 8.900%, 08/15/37 413 397 Morgan Stanley Capital, Ser 2002-HE3, Cl M1 4.043%, 06/26/08 (A) 1,259 1,075 Nationstar Home Equity Loan Trust, Ser 2006-B, Cl AV3 2.563%, 06/25/08 (A) 2,565 2,048 Nationstar Home Equity Loan Trust, Ser 2007-B, Cl 2AV4 2.712%, 06/25/08 (A) 2,000 1,193 Nationstar NIM Trust, Ser 2007-B, Cl A 8.750%, 05/25/37 (B) 194 58 Renaissance Home Equity Loan Trust, Ser 2007-1, Cl N 9.793%, 04/25/37 (B) 342 143 Residential Funding Mortgage Securities, Ser 1999-HI8, Cl AI7 8.470%, 11/25/29 223 203 Saxon Asset Securities Trust, Ser 2005-1, Cl M1 3.188%, 06/25/08 (A) 1,795 1,433 Structured Asset Securities, Ser 2006-WF2, Cl A3 2.543%, 06/25/08 (A) 1,500 1,371 Structured Asset Securities, Ser 2007-EQ1, Cl A4 2.643%, 06/25/08 (A) 1,500 1,043 ------------- Total Asset-Backed Securities (Cost $42,820) ($ Thousands) 32,951 -------------
SEI Institutional Investments Trust / Annual Report / May 31, 2008 189 SCHEDULE OF INVESTMENTS Long Duration Fund (Continued) May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 17.5% (C) FHLB DN 2.099%, 06/20/08 $ 5,980 $ 5,973 2.073%, 06/13/08 3,420 3,418 2.063%, 06/18/08 705 704 2.040%, 06/25/08 3,025 3,021 1.934%, 06/06/08 445 445 FHLMC DN 2.379%, 06/23/08 21 21 2.065%, 07/14/08 (E) 1,460 1,456 2.060%, 07/21/08 (E) 5,246 5,231 FNMA DN 2.099%, 06/25/08 (D) 35 35 ------------- Total U.S. Government Agency Obligations (Cost $20,304) ($ Thousands) 20,304 ------------- CORPORATE OBLIGATIONS -- 17.5% FINANCIALS -- 11.1% Bank of America 8.000%, 07/30/08 (A) 700 694 Bank of America, Ser A 8.070%, 12/31/26 (B) 817 804 Barrick Gold Finance 5.800%, 11/15/34 397 340 Bear Stearns 7.250%, 02/01/18 475 505 2.979%, 07/16/08 (A) 700 693 Capital One Financial MTN 3.270%, 06/11/08 (A) 350 333 Cedar Brakes II LLC 9.875%, 09/01/13 (B) 280 308 Chase Capital II 3.373%, 08/01/08 (A) 350 276 Citigroup 4.125%, 02/22/10 800 796 Citigroup Capital XXI 8.300%, 06/21/08 (A) 340 340 CoreStates Capital I 8.000%, 12/15/26 (B) 1,000 1,010 Countrywide Financial MTN 5.104%, 06/26/08 (A) 525 487 2.849%, 06/19/08 (A) 300 275 Deutsche Bank Capital Funding Trust 5.628%, 07/19/08 (A) (B) 582 497 Farmers Insurance Exchange 8.625%, 05/01/24 (B) 80 83 Ford Motor Credit LLC 6.625%, 06/16/08 165 165 GMAC LLC 5.276%, 06/25/08 (A) 488 352 HBOS 5.920%, 10/01/08 (A) (B) 400 312
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Lehman Brothers Holdings MTN 8.920%, 08/16/08 (A) $ 462 $ 364 2.954%, 07/18/08 (A) 730 685 Lehman Brothers Holdings, Ser H MTN 8.510%, 11/30/08 (A) 528 533 MBNA Capital B 3.673%, 08/01/08 (A) 288 224 Meridian Funding 2.927%, 07/06/08 (A) (B) 33 32 Nationwide Mutual Insurance 7.875%, 04/01/33 (B) 150 153 Power Receivable Finance LLC 6.290%, 01/01/12 (B) 281 288 Security Benefit Life 7.450%, 10/01/33 (B) 750 655 Simon Property Group L.P. 5.750%, 05/01/12++ 420 421 Wachovia 7.980%, 09/15/08 (A) 150 146 Weingarten Realty Investors MTN 8.250%, 01/22/10++ 750 785 ZFS Finance USA Trust I 6.500%, 11/09/08 (A) (B) 300 264 ------------- 12,820 ------------- HEALTH CARE -- 0.3% UnitedHealth Group 6.875%, 02/15/38 425 407 ------------- INDUSTRIALS -- 2.1% America West Airlines, Ser 01-1 7.100%, 04/02/21 167 158 American Airlines Pass-Through Trust 2003-01, Ser AMBC 3.857%, 07/09/10 557 527 Continental Airlines, Ser 99-2 7.056%, 09/15/09 450 444 Continental Airlines, Ser AMBC 6.236%, 03/15/20 88 80 Delta Air Lines, Ser 2001-1 7.111%, 09/18/11 600 567 United Air Lines, Ser 2001-1 6.201%, 09/01/08 191 187 United Air Lines, Ser 2001-1, Cl A-1 6.071%, 03/01/13 487 483 ------------- 2,446 ------------- TELECOMMUNICATION SERVICES -- 0.8% Verizon Communications 6.400%, 02/15/38 925 907 -------------
190 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- UTILITIES -- 3.2% Centerpoint Energy 5.875%, 06/01/08 $ 750 $ 750 Entergy Gulf States 3.476%, 08/15/08 (A) 275 272 Entergy Louisiana LLC 5.830%, 11/01/10 1,250 249 Progress Energy Florida, Cl A 3.078%, 06/13/08 (A) 500 498 Sempra Energy 5.781%, 11/01/14 (B) 600 586 Tennessee Valley Authority 4.875%, 01/15/48 1,420 1,312 ------------- 3,667 ------------- Total Corporate Obligations (Cost $21,215) ($ Thousands) 20,247 -------------
Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- CASH EQUIVALENT -- 0.6% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 2.460%*+ 729,016 $ 729 ------------- Total Cash Equivalent (Cost $729) ($ Thousands) 729 ------------- COMMERCIAL PAPER -- 2.9% (C) BNP Paribas Finance 1.000%, 07/02/08 $ 1,100 1,098 Merrill Lynch 6.455%, 06/27/08 1,080 1,078 Rabobank USA Financial 2.490%, 06/09/08 1,135 1,134 ------------- Total Commercial Paper (Cost $3,310) ($ Thousands) 3,310 ------------- Total Investments -- 101.4% (Cost $134,417) ($ Thousands) $ 117,328 =============
A summary of outstanding swap agreements held by the Fund at May 31, 2008, is as follows (See Note 2 in Notes to Financial Statements): CREDIT DEFAULT SWAPS
NET UNREALIZED (PAYS)/ NOTIONAL APPRECIATION BUY/SELL RECEIVES TERMINATION AMOUNT (DEPRECIATION) COUNTERPARTY REFERENCE ENTITY/OBLIGATION PROTECTION RATE DATE (THOUSANDS) ($ THOUSANDS) ------------ --------------------------- ---------- -------- ----------- ----------- -------------- Barclays Bank PLC ABX.HE.AA 07-1 Index sell 0.15% 08/25/37 225 $ (138) Citigroup ABX.HE.AA 07-1 Index sell 0.15 08/25/37 200 (133) Citigroup ABX.HE.AA 07-1 Index sell 0.15 08/25/37 200 (124) Citigroup ABX.HE.AA 07-1 Index sell 0.15 01/25/38 200 (120) Citigroup ABX.HE.AA 07-1 Index sell 0.15 08/25/37 505 (289) Lehman Brothers ABX.HE.AA 07-1 Index sell 0.15 08/25/37 1,005 (553) Citigroup ABX.HE.AA 07-2 Index sell 1.92 01/25/38 300 (207) Citigroup ABX.HE.AA 07-2 Index sell 1.92 01/25/38 200 (130) Citigroup ABX.HE.AA 07-2 Index sell 1.92 01/25/38 2,015 (1,269) Citigroup ABX.HE.AA 07-2 Index sell 1.92 01/25/38 380 (227) JPMorgan Chase Bank ABX.HE.AA 07-2 Index sell 1.92 01/25/38 200 (140) JPMorgan Chase Bank ABX.HE.AA 07-2 Index sell 1.92 01/25/38 400 (260) JPMorgan Chase Bank ABX.HE.AA 07-2 Index sell 1.92 01/25/38 705 (434) Lehman Brothers ABX.HE.AA 07-2 Index sell 1.92 01/25/38 205 (152) Lehman Brothers ABX.HE.AA 07-2 Index sell 1.92 01/25/38 305 (110) Lehman Brothers ABX.HE.AA 07-2 Index sell 1.92 01/25/38 305 (93) Lehman Brothers ABX.HE.AA 07-2 Index sell 1.92 01/25/38 305 (91) Lehman Brothers ABX.HE.AA 07-2 Index sell 1.92 01/25/38 305 (76) Credit Suisse ABX.HE.AAA 07-1 Index sell 0.09 08/25/37 1,225 (289) Lehman Brothers ABX.HE.BBB 07-2 Index sell 5.00 01/25/38 515 (144) Lehman Brothers ABX.HE.BBB 07-2 Index sell 5.00 01/25/38 535 (147) Barclays Bank PLC Goldman Sachs, 12/20/2012 buy (0.75) 12/20/12 50 1 Barclays Bank PLC Ambac Assurance, 12/20/2012 buy (1.27) 12/20/12 350 97 Citigroup Toll Brothers, 12/20/2012 buy (2.83) 12/20/12 220 14 Citigroup Pulte Homes, 12/20/2012 buy (3.88) 12/20/12 100 5 Citigroup Pulte Homes, 12/20/2012 buy (3.91) 12/20/12 235 12 Credit Suisse Ambac Assurance, 12/20/2012 buy (3.78) 12/20/12 325 18 Deutsche Bank Ambac Assurance, 12/20/2012 buy (3.87) 12/20/12 370 20 JPMorgan Chase Bank Ambac Assurance, 12/20/2012 buy (0.74) 12/20/12 1,300 38 JPMorgan Chase Bank Ambac Assurance, 12/20/2012 buy (0.91) 12/20/12 1,300 60 Merrill Lynch Toll Brothers, 12/20/2012 buy (2.78) 12/20/12 500 33 Merrill Lynch Toll Brothers, 12/20/2012 buy (2.83) 12/20/12 310 20 Merrill Lynch Centex, 12/20/2012 buy (3.56) 12/20/12 325 29 Merrill Lynch Centex, 12/20/2012 buy (3.65) 12/20/12 195 17 Barclays Bank PLC Lehman Brothers, 12/20/2014 buy (1.16) 12/20/14 1,000 88 ------- $(4,674) =======
SEI Institutional Investments Trust / Annual Report / May 31, 2008 191 SCHEDULE OF INVESTMENTS Long Duration Fund (Concluded) May 31, 2008 INTEREST RATE SWAPS
NET UNREALIZED NOTIONAL APPRECIATION TERMINATION AMOUNT (DEPRECIATION) COUNTERPARTY FUND PAYS FUND RECEIVES DATE (THOUSANDS) ($ THOUSANDS) ------------ ------------- ---------------------- ----------- ----------- -------------- Barclays 3-month LIBOR 5.18% 01/03/17 5,615 $ 326 Barclays 3-month LIBOR 5.29 09/05/16 3,690 200 Barclays 3-month LIBOR 5.30 05/02/22 5,340 232 Citigroup 4.59% 3-month LIBOR 02/04/23 7,875 (178) Citigroup 3-month LIBOR 5.19 03/02/22 16,450 583 Credit Suisse 3-month LIBOR 5.18 11/02/20 10,010 354 Credit Suisse 3-month LIBOR 5.39 04/04/16 5,980 362 Credit Suisse 3-month LIBOR 5.73 07/05/16 4,400 432 Credit Suisse 3-month LIBOR 5.73 07/05/22 6,700 702 Deutsche Bank 3-month LIBOR 5.43 02/02/22 19,515 1,374 Deutsche Bank 3-month LIBOR 5.31 04/03/22 26,200 1,228 Lehman Brothers 4.52 5y5y swaption straddle 05/24/17 1,060 15 Lehman Brothers 4.65 5y5y swaption straddle 05/18/17 1,900 11 Lehman Brothers 5.05 5y5y swaption straddle 10/16/17 210 (5) Merrill Lynch 5.00 5y5y swaption straddle 10/18/17 210 (6) Merrill Lynch 5.03 5y5y swaption straddle 10/16/17 210 (7) ------ $5,623 ======
A summary of the open futures contracts held by the Fund at May 31, 2008, is as follows:
NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION APPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) -------- ------------ ---------- ------------- U.S. Long Treasury Bond (10) Sep-2008 $16 ===
Percentages are based on a Net Assets of $115,754 ($ Thousands). * The rate reported is the 7-day effective yield as of May 31, 2008. + Investment in Affiliated Security (See Note 3). ++ Real Estate Investment Trust (A) Variable Rate Security -- The rate reported is the rate in effect as of May 31, 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) The rate reported is the effective yield at time of purchase. (D) All or a portion of this security has been pledged as collateral for open futures contracts. (E) Security, or portion thereof, has been pledged as collateral on open swap contracts. ARM -- Adjustable Rate Mortgage HCDO -- 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 LIBOR -- London Interbank Offering Rate LLC -- Limited Liability Company L.P. -- Limited Partnership MTN -- Medium Term Note NIM -- Net Interest Margin PLC -- Public Limited Company Ser -- Series TBA -- To be Announced Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. 192 SEI Institutional Investments Trust / Annual Report / May 31, 2008 Extended Duration Fund May 31, 2008 SECTOR WEIGHTINGS (UNAUDITED)++: (BAR CHART) Mortgage-Backed Securities 31.7% U.S. Government Agency Obligations 23.9% Asset-Backed Securities 22.9% Financials 10.9% Utilities 3.7% Commercial Paper 2.5% Industrials 2.2% Consumer Disrectionary 0.9% Telecommunication Services 0.5% Health Care 0.4% Short-Term Investments 0.2% Cerificates of Deposit 0.2%
++ Percentages based on total investments.
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- MORTGAGE-BACKED SECURITIES -- 29.9% AGENCY MORTGAGE-BACKED OBLIGATIONS -- 9.7% FHLMC 6.500%, 08/01/29 $ 577 $ 588 FHLMC ARM 7.267%, 08/15/08 287 289 7.173%, 06/01/08 406 418 5.904%, 06/01/08 1,210 1,228 5.838%, 08/15/08 769 773 5.277%, 08/15/08 2,255 2,289 5.248%, 08/15/08 1,470 1,486 5.130%, 08/15/08 1,365 1,369 5.086%, 08/15/08 2,092 2,119 FHLMC CMO, Ser 2006-4, Cl WE 4.500%, 02/25/36 7,050 6,187 FHLMC CMO, Ser 2733, Cl SB 5.747%, 06/15/08 (A) 9,810 7,149 FHLMC CMO, Ser 2748, Cl ZT 5.500%, 02/15/24 385 368 FNMA 7.000%, 04/01/34 548 575 FNMA ARM 7.136%, 07/25/08 339 342 6.456%, 07/25/08 662 674 6.455%, 07/25/08 1,405 1,405 6.294%, 07/25/08 640 643 6.063%, 07/25/08 3,092 3,163 5.817%, 07/25/08 947 964 5.101%, 07/25/08 1,269 1,273 4.809%, 07/25/08 3,858 3,840 4.524%, 07/25/08 3,833 3,852 4.482%, 07/25/08 4,977 5,076 3.886%, 07/25/08 642 649 FNMA CMO, Ser 2001-48, Cl PD 6.500%, 06/25/20 97 98 FNMA CMO, Ser 2003-1, Cl PT 5.500%, 04/25/28 9,028 9,151 FNMA CMO, Ser 2003-122, Cl ZQ 6.000%, 12/25/33 534 537
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- FNMA CMO, Ser 2004-12, Cl ZX 6.000%, 03/25/34 $ 486 $ 417 FNMA CMO, Ser 2004-80, Cl XZ 5.000%, 11/25/34 131 102 FNMA CMO, Ser 2006-77, Cl PD 6.500%, 10/25/30 7,319 7,560 FNMA CMO, Ser 2007-83, Cl PA 6.000%, 03/25/29 8,424 8,662 GNMA CMO, Ser 2003-86, Cl ZK 5.000%, 10/20/33 4,455 4,017 GNMA CMO, Ser 2003-112, Cl SG 5.393%, 06/16/08 (A) 114 69 ------------ 77,332 ------------ NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 20.2% Alliance Bancorp Trust, Ser OA1, Cl A1 2.633%, 06/25/08 (A) 3,439 2,707 American General Mortgage Loan Trust, Ser 2006-1, Cl A1 5.750%, 07/25/08 (A) (B) 486 484 American Home Mortgage Assets, Ser 2006-2, Cl 2A1 2.582%, 06/25/08 (A) 5,806 4,584 American Home Mortgage Assets, Ser 2006-3, Cl 3A12 3.085%, 06/25/08 (A) 4,743 3,729 American Home Mortgage Assets, Ser 2007-2, Cl A1 2.518%, 06/25/08 (A) 6,012 4,671 American Home Mortgage Investment Trust, Ser 2004-2, Cl 2A 3.839%, 06/25/08 (A) 8,345 8,252 American Home Mortgage Investment Trust, Ser 2007-2, Cl 11A1 2.622%, 06/25/08 (A) 4,591 3,973 Banc of America Mortgage Securities, Ser 2003-E, Cl 2A1 4.038%, 06/01/08 (A) 3,126 3,138 Bayview Commercial Asset Trust, Ser 2005-1A, Cl A1 2.693%, 06/25/08 (A) (B) 3,437 3,276 Bayview Commercial Asset Trust, Ser 2006-1A, Cl M3 2.813%, 06/25/08 (A) (B) 1,852 1,131 Bayview Commercial Asset Trust, Ser 2007-1, Cl A1 2.612%, 06/25/08 (A) (B) 4,725 4,140 Bayview Commercial Asset Trust, Ser 2007-2A, Cl A1 2.662%, 06/25/08 (A) (B) 5,123 4,047
SEI Institutional Investments Trust / Annual Report / May 31, 2008 193 SCHEDULE OF INVESTMENTS Extended Duration Fund May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Bayview Commercial Asset Trust, Ser 2007-3, Cl A1 2.633%, 06/25/08 (A) (B) $ 5,572 $ 5,123 Bella Vista Mortgage Trust, Ser 2004-1, Cl 2A1 6.621%, 06/01/08 (A) 8,035 7,763 Chase Mortgage Finance, Ser 2007-A2, Cl 2A3 4.243%, 07/25/08 (A) 2,939 2,743 Citigroup Commercial Mortgage Trust, Ser 2007-C6, Cl AM 5.700%, 07/10/08 (A) 10,245 9,448 Citigroup Mortgage Loan Trust, Ser 2003-1, Cl WA2 6.500%, 06/25/31 127 118 Citigroup Mortgage Loan Trust, Ser 2004-2, Cl 2A1 6.500%, 08/25/18 (B) 81 82 Countrywide Alternative Loan Trust, Ser 2005-27, Cl 2A1 5.872%, 06/01/08 (A) 1,338 1,005 Countrywide Alternative Loan Trust, Ser 2005-27, Cl 3A2 5.176%, 06/01/08 (A) 143 112 Countrywide Alternative Loan Trust, Ser 2005-59, Cl 1A1 3.225%, 06/20/08 (A) 3,915 3,222 Countrywide Alternative Loan Trust, Ser 2005-61, Cl 2A1 2.672%, 06/25/08 (A) 713 572 Countrywide Alternative Loan Trust, Ser 2005-72, Cl A1 3.405%, 06/27/08 (A) 1,318 1,077 Countrywide Alternative Loan Trust, Ser 2006-OA12, Cl A2 2.689%, 06/20/08 (A) 4,350 3,252 Countrywide Alternative Loan Trust, Ser 2006-OA2, Cl X1P, IO 2.000%, 06/01/08 9,436 411 Credit Suisse Mortgage Capital Certificates, Ser 2006-C5, Cl A3 5.311%, 12/15/39 6,560 6,355 DSLA Mortgage Loan Trust, Ser 2004-AR1, Cl A2A 2.908%, 06/19/08 (A) 105 92 DSLA Mortgage Loan Trust, Ser 2005-AR4, Cl 2A1A 2.757%, 06/21/08 (A) 898 735 DSLA Mortgage Loan Trust, Ser 2006-AR1, Cl 2A1A 5.016%, 06/01/08 (A) 6,068 5,783 Greenpoint Mortgage Funding Trust, Ser 2006-AR3, Cl 4A1 2.603%, 06/25/08 (A) 5,502 4,301
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Greenwich Capital Commercial Funding, Ser 2005-GG5, Cl AM 5.277%, 06/01/08 (A) $ 8,775 $ 8,331 Greenwich Capital Commercial Funding, Ser 2007-GG9, Cl A4 5.444%, 03/10/39 2,440 2,346 GS Mortgage Securities II, Ser 2006-GG8, Cl A4 5.560%, 11/10/39 5,935 5,859 Harborview Mortgage Loan Trust, Ser 2004-8, Cl 2A4A 2.897%, 06/19/08 (A) 670 574 Harborview Mortgage Loan Trust, Ser 2005-01, Cl X, IO 2.967%, 06/01/08 1,423 20 Harborview Mortgage Loan Trust, Ser 2005-10, Cl 2A1A 2.807%, 06/21/08 (A) 931 764 Harborview Mortgage Loan Trust, Ser 2005-12, Cl X2B, IO 2.914%, 06/01/08 (A) 5,735 122 Harborview Mortgage Loan Trust, Ser 2006-1, Cl X1, IO 3.880%, 07/19/08 (A) 8,756 315 Indymac Index Mortgage Loan Trust, Ser 2004-AR12, Cl AX2, IO 0.760%, 06/01/08 (A) 993 13 Indymac Index Mortgage Loan Trust, Ser 2004-AR12, Cl A1 2.783%, 06/25/08 (A) 274 248 Indymac Index Mortgage Loan Trust, Ser 2004-AR5, Cl 2A1B 2.792%, 06/27/08 (A) 296 262 Indymac Index Mortgage Loan Trust, Ser 2004-AR6, Cl 6A1 5.454%, 06/01/08 (A) 213 206 Indymac Index Mortgage Loan Trust, Ser 2004-AR7, Cl A2 2.823%, 06/25/08 (A) 96 86 Indymac Index Mortgage Loan Trust, Ser 2004-AR8, Cl 2A2A 2.792%, 06/27/08 (A) 235 212 Indymac Index Mortgage Loan Trust, Ser 2005-AR18, Cl 2A1A 2.702%, 06/25/08 (A) 1,916 1,570 Indymac Index Mortgage Loan Trust, Ser 2005-AR18, Cl 2A1B 3.173%, 06/25/08 (A) 503 405 Indymac Index Mortgage Loan Trust, Ser 2006-AR2, Cl 1A1A 2.612%, 06/25/08 (A) 2,073 1,627
194 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP7, Cl A4 6.065%, 06/01/08 (A) $ 6,635 $ 6,713 JPMorgan Chase Commercial Mortgage Securities, Ser 2007-CB19, Cl A4 5.747%, 07/12/08 (A) 4,485 4,403 JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LDPX, Cl A3 5.420%, 01/15/49 1,400 1,339 JPMorgan Mortgage Trust, Ser 2005-A2, Cl 9A1 4.236%, 07/25/08 (A) 1,922 1,955 Master Adjustable Rate Mortgage Trust, Ser 2006-OA2, Cl 4A1A 4.640%, 06/01/08 (A) 7,681 5,589 Master Alternative Loans Trust, Ser 2003-3, Cl 2A1 8.500%, 05/25/33 138 140 Master Seasoned Securities Trust, Ser 2005-1, Cl 4A1 5.967%, 06/25/08 (A) 879 823 Morgan Stanley Capital I, Ser 2006-HQ8, Cl A4 5.560%, 06/01/08 (A) 2,175 2,149 Residential Accredit Loans, Ser 2005-QO3, Cl A1 2.792%, 06/25/08 (A) 6,679 5,423 Structured Asset Mortgage Investments, Ser 2006-AR1, Cl 3A1 2.622%, 06/28/08 (A) 2,649 2,050 Structured Asset Mortgage Investments, Ser 2006-AR5, Cl 2A1 2.603%, 06/25/08 (A) 679 526 Wachovia Bank Commercial Mortgage Trust, Ser 2006-C25, Cl AM 5.928%, 06/01/08 (A) 3,620 3,438 Washington Mutual Mortgage Pass-Through Certificates, Ser 2000-1, Cl M2 3.692%, 06/25/08 (A) 366 361 Washington Mutual Mortgage Pass-Through Certificates, Ser 2003-AR6, Cl A1 4.341%, 06/01/08 (A) 986 956 Washington Mutual Mortgage Pass-Through Certificates, Ser 2004-AR3, Cl A2 4.243%, 07/25/08 (A) 979 948
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-AR2, Cl 2A21 2.723%, 06/25/08 (A) $ 616 $ 512 Washington Mutual Mortgage Pass-Through Certificates, Ser 2006-AR9, Cl 1XPP, IO 1.270%, 06/01/08 (A) 105,091 755 Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-OA3, Cl 4A1 4.846%, 06/01/08 (A) 4,044 3,044 ------------ 160,410 ------------ Total Mortgage-Backed Securities (Cost $257,850) ($ Thousands) 237,742 ------------ U.S. GOVERNMENT AGENCY OBLIGATIONS -- 22.6% FHLB 2.750%, 05/07/09 1,150 1,150 FHLB DN 2.497%, 06/26/08 (C) 1,195 1,195 FHLB DN (C) 2.099%, 06/20/08 4,530 4,525 2.073%, 06/13/08 49,315 49,281 2.063%, 06/18/08 12,095 12,083 2.053%, 06/11/08 22,980 22,967 2.040%, 06/25/08 37,760 37,705 1.934%, 06/06/08 25,645 25,638 FHLMC DN (C) 2.379%, 06/23/08 136 136 2.605%, 06/07/08 1,050 1,050 2.313%, 06/28/08 1,215 1,216 2.065%, 07/14/08 2,105 2,100 2.060%, 07/21/08 (D) 15,324 15,279 FNMA DN 1.013%, 07/21/08 (C) (D) 4,980 4,966 ------------ Total U.S. Government Agency Obligations (Cost $179,291) ($ Thousands) 179,291 ------------ ASSET-BACKED SECURITIES -- 21.5% MORTGAGE RELATED SECURITIES -- 21.5% ACE Securities, Ser WF1, Cl A2C 2.733%, 06/25/08 (A) 3,356 3,109 Asset-Backed Securities Home Equity, Ser 2003-HE4, Cl M2 5.514%, 06/15/08 (A) 1,007 809 Asset-Backed Securities Home Equity, Ser 2005-HE6, Cl A2D 2.675%, 06/25/08 (A) 10,500 10,227 Aviation Capital Group Trust, Ser 2003-2A, Cl G2 3.279%, 06/20/08 (A) (B) 1,738 1,742
SEI Institutional Investments Trust / Annual Report / May 31, 2008 195 SCHEDULE OF INVESTMENTS Extended Duration Fund (Continued) May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Bayview Financial Acquisition Trust, Ser 2004-B, Cl A1 2.882%, 06/28/08 (A) (B) $ 4,309 $ 3,749 Bayview Financial Acquisition Trust, Ser 2005-A, Cl A1 2.882%, 06/28/08 (A) (B) 4,400 3,777 Bayview Financial Revolving Mortgage Loan Trust, Ser 2005-E, Cl A1 2.882%, 06/28/08 (A) (B) 3,200 2,656 Bear Stearns Asset-Backed Securities Trust, Ser 2007-HE1, Cl 1A1 2.513%, 06/25/08 (A) 5,449 4,334 Bear Stearns Asset-Backed Securities Trust, Ser 2007-HE5, Cl 1A2 2.572%, 06/25/08 (A) 4,500 4,039 BNC Mortgage Loan Trust, Ser 2007-2, Cl A2 2.492%, 06/25/08 (A) 1,467 1,407 Carrington Mortgage Loan Trust, Ser 2006-NC5, Cl A1 2.442%, 06/25/08 (A) 724 699 Carrington Mortgage Loan Trust, Ser 2007-RFC1, Cl 1 2.442%, 06/25/08 (A) 1,822 1,776 Centex Home Equity, Ser 2002-D, Cl AF4 5.210%, 06/01/08 1,227 1,118 Citigroup Mortgage Loan Trust, Ser 2007-WFH1, Cl A3 3.045%, 06/25/08 (A) 3,000 2,483 Citigroup Mortgage Loan Trust, Ser 2007-WFH1, Cl A1 2.955%, 06/25/08 (A) 6,262 6,210 Citigroup Mortgage Loan Trust, Ser 2007-WFH2, Cl M1 3.295%, 06/25/08 (A) 3,500 1,189 Citigroup Mortgage Loan Trust, Ser 2007-WFH4, Cl M2 5.045%, 06/26/08 (A) 5,726 3,210 Continental Airlines, Ser 2002-1, Cl G1 3.126%, 08/15/08 (A) 262 263 Countrywide Asset-Backed Certificates, Ser 2003-BC1, Cl M1 3.773%, 06/25/08 (A) 486 351 Countrywide Asset-Backed Certificates, Ser 2005-12, Cl 1A1 2.543%, 06/27/08 (A) 442 441 Countrywide Asset-Backed Certificates, Ser 2005-BC4, Cl 2A2 2.662%, 06/25/08 (A) 330 330
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Credit-Based Asset Servicing and Securitization, Ser 2007-CB5, Cl A1 2.453%, 06/25/08 (A) $ 5,741 $ 5,507 Credit-Based Asset Servicing, Ser 2005-CB5, Cl AF1 2.532%, 06/25/08 (A) -- -- Credit-Based Asset Servicing, Ser 2006-CB4, Cl AV3 2.543%, 06/25/08 (A) 4,750 4,360 Credit-Based Asset Servicing, Ser 2007-CB1, Cl AF1A 2.965%, 06/25/08 (A) 3,990 3,848 Credit-Based Asset Servicing, Ser 2007-CB2, Cl A2A 5.891%, 02/25/37 4,064 4,020 First Franklin Mortgage Loan Asset, Ser 2005-FF2, Cl A2C 2.702%, 06/25/08 (A) 1,283 1,141 First Franklin Mortgage Loan Asset-Backed Certificates, Ser 2005-FF10, Cl A3 2.603%, 06/25/08 (A) 1,933 1,918 First Franklin Mortgage Loan Asset-Backed Certificates, Ser 2007-FF1, Cl A2D 2.612%, 06/25/08 (A) 6,000 3,304 First Franklin Mortgage Loan Asset-Backed Certificates, Ser 2007-FF2, Cl A2D 2.612%, 06/25/08 (A) 3,800 2,072 GMAC Mortgage Loan Trust, Ser 2000-HE2, Cl A1 2.833%, 06/25/08 (A) 741 538 GSAMP Trust, Ser 2006-HE7, Cl A2A 2.432%, 06/25/08 (A) 2,916 2,843 GSAMP Trust, Ser 2006-S6, Cl A2 5.552%, 10/25/36 4,000 1,393 GSR Mortgage Loan Trust, Ser 2005-HEL1, Cl M2 3.122%, 06/29/08 (A) 2,400 54 Home Equity Asset Trust, Ser 2005-6, Cl 1A2 2.672%, 06/25/08 (A) 3,833 3,566 Home Equity Asset Trust, Ser 2007-3, Cl 2A2 2.572%, 06/25/08 (A) 4,500 3,808 Home Equity Mortgage Trust, Ser 2006-1, Cl A1B 2.522%, 06/27/08 (A) 569 430 Indymac Home Equity Loan Asset-Backed Trust, Ser 2002-A, Cl M1 3.517%, 06/27/08 (A) 984 804
196 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Inman Square Funding, Ser 2A, Cl I 3.178%, 07/06/08 (A) (B) $ 3,081 $ 1,232 Indymac Residential Asset-Backed Trust, Ser 2006-A, Cl A2 2.543%, 06/25/08 (A) 1,371 1,349 Irwin Home Equity, Ser 2003-A, Cl M2 5.042%, 06/27/08 (A) 315 271 Ivy Lane CDO, Ser 2006-1A, Cl A1 3.114%, 08/05/08 (A) (B) 2,698 1,484 JPMorgan Mortgage Acquisition, Ser 2006-CH2, Cl AV2 2.442%, 06/25/08 (A) 3,034 2,966 Lehman XS Trust, Ser 2006-12N, Cl A1A1 2.473%, 06/25/08 (A) 437 428 Long Beach Asset Holdings, Ser 2006-8, Cl N1 6.048%, 10/25/46 (B) 1,625 93 Long Beach Asset Holdings, Ser 2006-9, Cl N1 6.250%, 10/25/46 (B) 1,214 79 Long Beach Mortgage Loan Trust, Ser 2006-11, Cl 2A1 2.453%, 06/25/08 (A) 1,275 1,157 Master Asset-Backed Securities Trust, Ser 2007-HE1, Cl A1 2.473%, 06/25/08 (A) 5,155 4,998 Merrill Lynch Mortgage Investors Trust, Ser 2006-RM4, Cl A2B 2.492%, 06/25/08 (A) 7,123 5,954 Merrill Lynch Mortgage Investors Trust, Ser 2006-WMC1, Cl A2B 2.532%, 06/27/08 (A) 1,022 1,014 Mid-State Trust, Ser 2004-1, Cl B 8.900%, 08/15/37 342 329 Morgan Stanley Capital, Ser 2002-HE3, Cl M1 4.043%, 06/26/08 (A) 1,888 1,612 Morgan Stanley Capital, Ser 2004-NC2, Cl M2 3.593%, 06/26/08 (A) 782 559 Morgan Stanley Capital, Ser 2007-HE5, Cl A2A 2.503%, 06/25/08 (A) 1,354 1,256 Morgan Stanley Capital, Ser 2007-HE7, Cl M1 4.393%, 06/25/08 (A) 4,942 2,471 Nationstar Home Equity Loan Trust, Cl 2AV2 2.522%, 06/25/08 (A) 1,755 1,396 Nationstar Home Equity Loan Trust, Ser 2006-B, Cl AV3 2.563%, 06/25/08 (A) 5,075 4,051
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Nationstar Home Equity Loan Trust, Ser 2007-A, Cl AV4 2.622%, 06/25/08 (A) $ 4,000 $ 2,220 Nationstar Home Equity Loan Trust, Ser 2007-A, Cl AV1 2.453%, 06/25/08 (A) 3,039 2,938 Nationstar Home Equity Loan Trust, Ser 2007-B, Cl 2AV4 2.712%, 06/25/08 (A) 4,240 2,528 Nationstar NIM Trust, Ser 2007-B, Cl A 8.750%, 05/25/37 (B) 388 117 Nationstar NIM Trust, Ser 2007-C, Cl A 8.000%, 06/25/37 (B) 322 53 Nomura Asset Acceptance, Ser 2006-S1, Cl A1 2.532%, 06/25/08 (A) (B) 330 309 Nomura Asset Acceptance, Ser 2006-S4, Cl AIO, IO 10.000%, 07/25/08 (A) 5,000 225 Nomura Home Equity Loan, Ser 2007-3, Cl 2A1 2.532%, 06/30/08 (A) 4,530 4,204 Popular Asset-Backed Mortgage Pass-Through Trust, Ser 2007-D, Cl A1 2.453%, 06/25/08 (A) 961 939 Renaissance Home Equity Loan Trust, Ser 2006-4, Cl AV1 2.463%, 06/25/08 (A) 1,019 992 Renaissance Home Equity Loan Trust, Ser 2007-1, Cl N 9.793%, 04/25/37 (B) 654 274 Residential Asset Mortgage Products, Ser 2006-RZ5, Cl A1B 2.492%, 06/25/08 (A) 4,317 4,159 Residential Asset Mortgage Products, Ser 2007-RZ1, Cl A1 2.463%, 06/25/08 (A) 1,170 1,128 Residential Funding Mortgage Securities II, Ser 2006-HSA2, Cl AI1 2.503%, 06/27/08 (A) 585 525 Residential Funding Mortgage Securities, Ser 1999-HI8, Cl AI7 8.470%, 11/25/29 182 165 SACO I Trust, Ser 2006-8, Cl AIO, IO 5.500%, 07/25/08 (A) 5,276 45 Saxon Asset Securities Trust, Ser 2005-1, Cl M1 3.188%, 06/25/08 (A) 2,925 2,334
SEI Institutional Investments Trust / Annual Report / May 31, 2008 197 SCHEDULE OF INVESTMENTS Extended Duration Fund (Continued) May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Securitized Asset-Backed Receivables LLC Trust, Ser 2007-BR5, Cl A2A 2.522%, 06/25/08 (A) $ 4,503 $ 4,320 Securitized Asset-Backed Receivables LLC Trust, Ser 2007-HE1, Cl A2A 2.453%, 06/25/08 (A) 3,873 3,625 Soundview Home Equity Loan Trust, Ser 2007-OPT5, Cl M1 4.043%, 06/25/08 (A) (B) 5,700 2,565 Soundview NIM Trust, Ser 2007-OPT1, Cl N 9.000%, 06/25/37 (B) 1,269 127 Structured Asset Securities, Ser 2006-WF2, Cl A3 2.543%, 06/25/08 (A) 3,600 3,291 Structured Asset Securities, Ser 2007-EQ1, Cl A4 2.643%, 06/25/08 (A) 9,817 6,828 UCFC Home Equity Loan, Ser 1998-D, Cl MF1 6.905%, 04/15/30 167 160 Wells Fargo Home Equity Trust, Ser 2007-1, Cl A1 2.492%, 06/25/08 (A) 1,036 1,022 ------------- Total Asset-Backed Securities (Cost $213,039) ($ Thousands) 171,317 ------------- CORPORATE OBLIGATIONS -- 17.5% CONSUMER DISCRETIONARY -- 0.9% Comcast 3.010%, 07/16/08 (A) 1,850 1,834 Comcast Cable Communications LLC 6.200%, 11/15/08 3,000 3,016 Viacom 3.150%, 06/16/08 (A) 2,000 1,975 ------------- 6,825 ------------- FINANCIALS -- 10.2% Bank of America 8.000%, 07/30/08 (A) 4,500 4,459 Bank of America, Ser A 8.070%, 12/31/26 (B) 4,278 4,211 Barrick Gold Finance 5.800%, 11/15/34 1,763 1,511 Bear Stearns 7.250%, 02/01/18 3,100 3,299 2.979%, 07/16/08 (A) 4,500 4,457 Camden Property Trust 4.375%, 01/15/10++ 2,000 1,951
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Capital One Financial MTN 3.270%, 06/11/08 (A) $ 1,650 $ 1,568 Cedar Brakes II LLC 9.875%, 09/01/13 (B) 1,339 1,477 Chase Capital II 3.373%, 08/01/08 (A) 2,250 1,774 Citigroup 4.125%, 02/22/10 3,694 3,678 Citigroup Capital XXI 8.300%, 06/21/08 (A) 2,175 2,176 Countrywide Financial MTN 5.104%, 06/26/08 (A) 2,650 2,455 2.849%, 06/19/08 (A) 1,800 1,653 Deutsche Bank Capital Funding Trust 5.628%, 07/19/08 (A) (B) 2,613 2,231 Developers Diversified Realty 3.875%, 01/30/09++ 1,925 1,901 Farmers Insurance Exchange 8.625%, 05/01/24 (B) 255 265 First Union Institutional Capital I 8.040%, 12/01/26 1,250 1,220 Ford Motor Credit LLC 6.625%, 06/16/08 575 575 GMAC LLC 5.276%, 06/25/08 (A) 1,432 1,032 HBOS 5.920%, 10/01/08 (A) (B) 2,400 1,874 HSBC America Capital Trust II 8.380%, 05/15/27 (B) 50 49 JPMorgan Chase 6.000%, 01/15/18 4,000 3,958 Kimco Realty, Ser C MTN 3.950%, 08/05/08++ 2,500 2,498 Lehman Brothers Holdings MTN (A) 11.000%, 05/07/08 1,000 843 8.920%, 08/16/08 756 595 2.954%, 07/18/08 990 929 2.820%, 08/16/08 2,000 1,915 2.649%, 06/23/08 2,000 1,965 Lehman Brothers Holdings, Ser H MTN 8.510%, 11/30/08 (A) 861 869 MBNA Capital B 3.673%, 08/01/08 (A) 1,863 1,452 Meridian Funding 2.927%, 07/06/08 (A) (B) 37 36 Merrill Lynch MTN (A) 8.950%, 11/18/08 1,340 1,335 8.680%, 11/02/08 1,305 1,185 Nationwide Mutual Insurance 7.875%, 04/01/33 (B) 673 686 Power Receivable Finance LLC 6.290%, 01/01/12 (B) 1,011 1,037
198 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- Security Benefit Life 7.450%, 10/01/33 (B) $ 3,250 $ 2,837 Simon Property Group 7.000%, 07/15/09++ 2,000 2,025 5.750%, 05/01/12++ 1,250 1,254 Toyota Motor Credit MTN 8.000%, 10/24/08 (A) 2,041 1,949 UDR, Ser E MTN 4.250%, 01/15/09++ 1,550 1,548 Wachovia 7.980%, 09/15/08 (A) 4,000 3,881 Weingarten Realty Investors MTN 8.250%, 01/22/10++ 3,325 3,477 Woodbourne Capital Trust I 3.549%, 07/08/08 (A) (B) 175 114 Woodbourne Capital Trust II 3.549%, 07/08/08 (A) (B) 175 114 Woodbourne Capital Trust III 3.550%, 07/08/08 (A) (B) 175 114 Woodbourne Capital Trust IV 3.550%, 07/08/08 (A) (B) 175 114 ZFS Finance USA Trust I 6.500%, 11/09/08 (A) (B) 1,025 903 ------------- 81,449 ------------- HEALTH CARE -- 0.3% UnitedHealth Group 6.875%, 02/15/38 2,835 2,712 ------------- INDUSTRIALS -- 2.1% America West Airlines, Ser 01-1 7.100%, 04/02/21 171 162 American Airlines Pass-Through Trust 2003-01, Ser AMBC 3.857%, 07/09/10 3,265 3,086 American Airlines, Ser 99-1 7.024%, 10/15/09 1,300 1,284 Continental Airlines, Ser 1998-3 6.320%, 11/01/08 2,000 1,995 Continental Airlines, Ser 99-2 7.056%, 09/15/09 2,595 2,562 Continental Airlines, Ser AMBC 6.236%, 03/15/20 112 102 Delta Air Lines, Ser 2001-1 7.111%, 09/18/11 2,400 2,268 Northwest Airlines, Ser 1A-2 6.841%, 04/01/11 2,610 2,525 United Air Lines, Ser 2001-1, Cl A-1 6.071%, 03/01/13 2,042 2,027 United Air Lines, Ser 2001-1 6.201%, 09/01/08 626 613 ------------- 16,624 -------------
Face Amount ($ Thousands) Market Value Description /Shares $ Thousands) ------------------------------------------------- ------------- ------------- TELECOMMUNICATION SERVICES -- 0.5% Verizon Communications 6.400%, 02/15/38 $ 3,825 $ 3,749 ------------- UTILITIES -- 3.5% Centerpoint Energy 5.875%, 06/01/08 5,000 5,000 Entergy Gulf States 3.740%, 06/08/08 (A) (B) 1,100 1,099 3.600%, 06/01/08 1,525 1,525 3.476%, 08/15/08 (A) 810 800 Entergy Louisiana LLC 5.830%, 11/01/10 1,750 1,743 Panhandle Eastern Pipeline 4.800%, 08/15/08 4,150 4,149 Power Contract Financing 6.256%, 02/01/10 (B) 1,383 1,405 Progress Energy Florida, Cl A 3.078%, 06/13/08 (A) 2,200 2,193 Sempra Energy 5.781%, 11/01/14 (B) 1,400 1,365 Tennessee Valley Authority 4.875%, 01/15/48 9,085 8,396 ------------- 27,675 ------------- Total Corporate Obligations (Cost $143,631) ($ Thousands) 139,034 ------------- CERTIFICATES OF DEPOSIT -- 0.2% (A) JPMorgan Chase Bank 7.590%, 06/28/08 735 710 8.750%, 08/28/08 691 685 ------------- Total Certificates of Deposit (Cost $1,394) ($ Thousands) 1,395 ------------- CASH EQUIVALENT -- 0.2% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 2.460%*+ 1,676,691 1,677 ------------- Total Cash Equivalent (Cost $1,677) ($ Thousands) 1,677 ------------- COMMERCIAL PAPER -- 2.4% (C) BNP Paribas Finance 2.622%, 06/09/08 6,555 6,551 2.362%, 06/23/08 1,165 1,163 Citigroup Funding 2.440%, 06/13/08 1,075 1,074
SEI Institutional Investments Trust / Annual Report / May 31, 2008 199 SCHEDULE OF INVESTMENTS Extended Duration Fund (Concluded) May 31, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- JPMorgan Chase 2.184%, 06/05/08 $ 41,135 $ 1,135 National Rural Utilities Cooperative Finance 2.082%, 06/04/08 1,130 1,130 Rabobank USA Financial 2.490%, 06/09/08 7,900 7,896 ------------- Total Commercial Paper (Cost $18,949) ($ Thousands) 18,949 ------------- Total Investments -- 94.3% (Cost $815,831) ($ Thousands) $ 749,405 =============
A summary of outstanding swap agreements held by the Fund at May 31, 2008, is as follows (See Note 2 in Notes to Financial Statements): CREDIT DEFAULT SWAPS
NET UNREALIZED (PAYS)/ NOTIONAL APPRECIATION BUY/SELL RECEIVES TERMINATION AMOUNT (DEPRECIATION) COUNTERPARTY REFERENCE ENTITY/OBLIGATION PROTECTION RATE DATE (THOUSANDS) ($ THOUSANDS) ------------------- ----------------------------------------- ---------- -------- ----------- ----------- -------------- Barclays Bank PLC ABX.HE.AA 07-1 Index sell 0.15% 08/25/37 650 $ (400) Citigroup ABX.HE.AA 07-1 Index sell 0.15 08/25/37 605 (403) Citigroup ABX.HE.AA 07-1 Index sell 0.15 08/25/37 600 (372) Citigroup ABX.HE.AA 07-1 Index sell 0.15 01/25/38 595 (358) Citigroup ABX.HE.AA 07-1 Index sell 0.15 08/25/37 1,000 (573) Lehman Brothers ABX.HE.AA 07-1 Index sell 0.15 08/25/37 2,980 (1,638) Citigroup ABX.HE.AA 07-2 Index sell 1.92 01/25/38 1,120 (671) Citigroup ABX.HE.AA 07-2 Index sell 1.92 01/25/38 895 (617) Citigroup ABX.HE.AA 07-2 Index sell 1.92 08/25/37 595 (387) Citigroup ABX.HE.AA 07-2 Index sell 1.92 01/25/38 5,965 (3,755) JPMorgan Chase Bank ABX.HE.AA 07-2 Index sell 1.92 01/25/38 600 (420) JPMorgan Chase Bank ABX.HE.AA 07-2 Index sell 1.92 01/25/38 1,190 (773) JPMorgan Chase Bank ABX.HE.AA 07-2 Index sell 1.92 01/25/38 2,085 (1,284) Lehman Brothers ABX.HE.AA 07-2 Index sell 1.92 01/25/38 1,735 (1,283) Lehman Brothers ABX.HE.AA 07-2 Index sell 1.92 01/25/38 1,030 (371) Lehman Brothers ABX.HE.AA 07-2 Index sell 1.92 01/25/38 1,030 (313) Lehman Brothers ABX.HE.AA 07-2 Index sell 1.92 01/25/38 1,030 (308) Lehman Brothers ABX.HE.AA 07-2 Index sell 1.92 01/25/38 1,030 (257) Lehman Brothers ABX.HE.AA 07-2 Index sell 1.92 01/25/38 11,000 (2,549) Credit Suisse ABX.HE.AAA 07-1 Index sell 0.09 08/25/37 4,170 (985) Lehman Brothers ABX.HE.AAA 07-1 Index sell 0.09 08/25/37 1,000 (143) Lehman Brothers ABX.HE.BBB 07-2 Index sell 5.00 01/25/38 1,520 (425) Lehman Brothers ABX.HE.BBB 07-2 Index sell 5.00 01/25/38 3,580 (985) Barclays Bank PLC Ambac Assurance, 12/20/2012 buy (1.27) 12/20/12 3,350 925 JPMorgan Chase Bank Goldman Sachs, 12/20/2012 buy (0.74) 12/20/12 4,300 126 Merrill Lynch Centex Corporation, 5.25% 06/15/2015 buy (3.56) 12/20/12 1,100 100 Merrill Lynch Centex Corporation, 5.25% 06/15/2015 buy (3.65) 12/20/12 670 60 Barclays Bank PLC Goldman Sachs Group Inc, 6.6% 01/15/2012 buy (0.75) 12/20/12 50 1 Barclays Bank PLC Lehman Brothers Hldg Inc, 6.875% 01/18/12 buy (1.16) 12/20/14 5,920 531 JPMorgan Chase Bank Morgan Stanley, 6.6% 04/01/2012 buy (0.91) 12/20/12 4,300 198 Citigroup Pulte Homes Inc, 5.25% 01/15/2014 buy (3.88) 12/20/12 1,000 54 Citigroup Pulte Homes Inc, 5.25% 01/15/2014 buy (3.91) 12/20/12 825 44 Credit Suisse Pulte Homes Inc, 5.25% 01/15/2014 buy (3.78) 12/20/12 1,000 55 Deutsche Bank Pulte Homes Inc, 5.25% 01/15/2014 buy (3.87) 12/20/12 610 33 Citigroup Toll Brothers, 6.875% 11/15/2012 buy (2.83) 12/20/12 740 48 Merrill Lynch Toll Brothers, 6.875% 11/15/2012 buy (2.78) 12/20/12 1,800 118 Merrill Lynch Toll Brothers, 6.875% 11/15/2012 buy (2.83) 12/20/12 1,050 67 -------- $(16,910) ========
200 SEI Institutional Investments Trust / Annual Report / May 31, 2008 INTEREST RATE SWAPS
NET UNREALIZED NOTIONAL APPRECIATION TERMINATION AMOUNT (DEPRECIATION) COUNTERPARTY FUND PAYS FUND RECEIVES DATE (THOUSANDS) ($ THOUSANDS) ---------------------- ------------- ---------------------- ----------- ----------- -------------- Barclays 3-month LIBOR 5.24% 11/03/25 51,820 $ 1,618 Barclays 3-month LIBOR 5.40 09/05/26 22,460 1,184 Barclays 3-month LIBOR 5.69 08/02/27 63,940 6,286 Barclays 3-month LIBOR 5.77 07/05/27 22,200 2,484 Barclays 3-month LIBOR 5.60 06/04/27 24,900 2,270 Citigroup 3-month LIBOR 4.57 12/05/17 9,900 78 Citigroup 3-month LIBOR 4.87 12/05/27 127,860 (451) Citigroup 3-month LIBOR 5.51 08/02/17 15,640 1,255 Citigroup 3-month LIBOR 5.68 08/02/27 65,000 6,369 Citigroup 3-month LIBOR 4.77 05/02/28 3,160 (103) Credit Suisse 3-month LIBOR 4.98 01/03/28 18,860 530 Credit Suisse 3-month LIBOR 5.06 03/02/16 35,640 1,414 Credit Suisse 3-month LIBOR 5.22 04/04/25 50,000 1,552 Credit Suisse 3-month LIBOR 5.37 04/03/27 20,800 993 Credit Suisse 3-month LIBOR 5.63 07/05/17 18,060 1,680 Credit Suisse 3-month LIBOR 5.78 07/05/27 57,000 6,440 Deutsche Bank 3-month LIBOR 4.80 03/05/28 18,500 (481) Deutsche Bank 3-month LIBOR 4.91 12/04/27 82,500 163 Deutsche Bank 3-month LIBOR 5.22 04/04/25 13,300 413 Deutsche Bank 3-month LIBOR 4.57 04/02/28 11,425 (638) J.P. Morgan Chase Bank 3-month LIBOR 5.06 12/04/26 28,410 655 J.P. Morgan Chase Bank 3-month LIBOR 5.43 10/02/27 59,650 3,238 J.P. Morgan Chase Bank 3-month LIBOR 5.10 03/05/17 15,510 617 J.P. Morgan Chase Bank 3-month LIBOR 5.23 03/02/27 50,000 1,594 Lehman Brothers 4.52% 3-month LIBOR 05/24/17 2,080 29 Lehman Brothers 4.65 5y5y swaption straddle 05/18/17 3,700 21 Lehman Brothers 5.05 5y5y swaption straddle 10/16/17 2,140 (50) Lehman Brothers 3-month LIBOR 5.06 12/04/26 65,000 1,498 Lehman Brothers 3-month LIBOR 5.23 03/02/27 58,600 1,857 Merrill Lynch 3-month LIBOR 4.91 12/04/27 85,000 151 Merrill Lynch 5.00 5y5y swaption straddle 10/18/17 2,150 (64) Merrill Lynch 5.03 5y5y swaption straddle 10/16/17 2,150 (69) Merrill Lynch 3-month LIBOR 5.33 11/02/27 70,000 2,762 Merrill Lynch 3-month LIBOR 5.42 10/02/27 60,000 3,242 Merrill Lynch 3-month LIBOR 5.45 09/04/27 39,000 2,261 Morgan Stanely 3-month LIBOR 4.62 12/04/17 23,200 263 Morgan Stanely 3-month LIBOR 4.87 02/14/28 50,000 (390) Morgan Stanely 3-month LIBOR 5.10 11/02/17 15,300 543 Morgan Stanely 3-month LIBOR 5.33 11/02/27 66,200 2,603 Morgan Stanley 3-month LIBOR 4.74 02/04/28 66,000 (1,619) UBS 3-month LIBOR 4.87 02/14/28 47,750 (385) ------- $51,813 =======
A summary of the open futures contracts held by the Fund at May 31, 2008, is as follows:
NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION DEPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) ----------------------- ------------ ---------- ------------- U.S. Long Treasury Bond 269 SEP-2008 $(419) =====
Percentages are based on a Net Assets of $794,972 ($ Thousands). * Rate reported is the 7-day effective yield as of May 31, 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 May 31, 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) The rate reported is the effective yield at time of purchase. (D) All or a portion of this security has been pledged as collateral on open futures contracts. ARM -- Adjustable Rate Mortgage CDO -- Collateralized Debt Obligation Cl -- Class CMO -- Collateralized Mortgage Obligation FHLB -- Federal Home Loan Bank FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GNMA -- Government National Mortgage Association IO -- Interest Only - face amount represents notional amount LIBOR -- London Interbank Offering Rate LLC -- Limited Liability Company L.P. -- Limited Partnership MTN -- Medium Term Note NIM -- Net Interest Margin Ser -- Series Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. SEI Institutional Investments Trust / Annual Report / May 31, 2008 201 SCHEDULE OF INVESTMENTS Emerging Markets Debt Fund May 31, 2008 (BAR GRAPH) Sovereign 82.9% Financials 5.6% Deposit with Counterparty as Collateral for Swap Contracts 2.6% Loan Participants 2.5% Affiliated Partnership 2.0% Energy 1.5% Industrials 1.1% Utilities 0.7% Telecommunication Services 0.7% Consumer Discretionary 0.2% Materials 0.1% Purchased Options 0.1% Warrants 0.0%
++ Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 9).
Face Amount(1) Market Value Description (Thousands) ($ Thousands) ----------------------------------------------- -------------- ------------- GLOBAL BONDS -- 85.5% ARGENTINA -- 6.4% Alto Parana 6.375%, 06/09/17 (A) 370 $ 367 Cia Transporte Energia Registered 8.875%, 12/15/16 (A) 390 304 Earls Eight MTN 9.000%, 12/31/12 (A) (B) 350 249 Province of Del Neuquen 8.656%, 10/18/14 (A) 221 218 Province of Buenos Aires 9.625%, 04/18/28 1,335 935 9.625%, 04/18/28 (A) 1,460 1,033 9.375%, 09/14/18 1,440 1,054 3.000%, 05/15/35 (B) 1,100 374 Province of Mendoza Registered 5.500%, 09/04/18 360 254 Republic of Argentina 10.250%, 01/26/07 (C) EUR 850 352 9.750%, 09/19/27 (C) EUR 1,550 465 9.359%, 12/15/08 (D) 2,905 275 9.000%, 05/26/09 (C) EUR 1,375 496 9.000%, 11/19/08 (C) 1,000 220 8.500%, 07/01/04 (C) EUR 4,300 1,771 8.280%, 12/31/33 (F) 23,115 18,839 8.125%, 04/21/49 (C) EUR 2,000 622 7.820%, 12/31/33 EUR 214 227 7.000%, 09/12/13-04/17/17 12,185 8,930 7.000%, 12/19/08 (C) EUR 2,000 560 5.830%, 06/30/08 (D) 2,550 847 3.092%, 08/04/08 (D) 21,480 11,696 2.500%, 03/31/09 (B) 32,285 11,866 1.318%, 12/15/08 (D) 11,725 1,272 Republic of Argentina, Ser E MTN 10.000%, 01/07/05 (C) 1,650 671 9.250%, 07/20/04 (C) EUR 2,100 832 8.750%, 02/04/03 (C) EUR 4,725 1,836 7.000%, 03/18/04 (C) 2,300 911
Face Amount(1) Market Value Description (Thousands) ($ Thousands) ----------- -------------- ------------- Transportadora Gas Norte 9.000%, 12/31/12 (A) (B) 210 $ 150 7.500%, 12/31/12 (B) 100 81 6.500%, 12/31/12 (B) 149 120 6.500%, 12/31/12 (A) (B) 34 27 ------------- 67,854 ------------- BAHAMAS -- 0.1% Banco Votorantim Nassau MTN 10.625%, 04/10/14 (A) BRL 2,300 1,308 ------------- BELIZE -- 0.0% Government of Belize Registered 4.250%, 02/20/29 330 240 ------------- BOSNIA AND HERZEGOVINA -- 0.1% Republic of Bosnia & Herzegovina 10.039%, 12/11/17 (E) DEM 2,000 1,112 ------------- BRAZIL -- 13.9% Banco Safra MTN 10.875%, 04/03/17 (A) BRL 2,250 1,242 Brasken Financial 7.250%, 06/05/18 (A) 415 411 Brazil Notas do Tesouro Nacional Ser F 10.000%, 01/01/14-01/01/17 BRL 52,150 26,999 Cesp-Comp Ener Sao Paulo MTN 9.750%, 01/15/15 (A) BRL 1,050 710 Federal Republic of Brazil 12.500%, 01/05/16-01/05/22 BRL 8,750 5,632 11.000%, 08/17/40 32,325 43,978 10.250%, 01/10/28 BRL 1,250 701 10.125%, 05/15/27 2,600 3,783 8.875%, 10/14/19-04/15/24 875 1,137 8.750%, 02/04/25 2,768 3,571 8.500%, 09/24/12 EUR 6,275 10,861 8.250%, 01/20/34 2,335 3,004 8.000%, 01/15/18 7,160 8,180 7.875%, 03/07/15 1,375 1,595 7.125%, 01/20/37 17,415 20,419 6.000%, 01/17/17 2,250 2,376 GTL Trade Finance 7.250%, 10/20/17 (A) 3,695 3,763 National Development 6.369%, 06/16/18 (A) 3,905 3,929 Petrobras International Finance 5.875%, 03/01/18 4,980 4,881 Usiminas Commercial 7.250%, 01/18/18 100 106 Vale Overseas 6.875%, 11/21/36 185 183 Vale Overseas 6.250%, 01/23/17 70 71 ------------- 147,532 -------------
202 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Face Amount(1) Market Value Description (Thousands) ($ Thousands) ----------------------------------------------- -------------- ------------- CHILE -- 0.2% Codelco 5.500%, 10/15/13 575 $ 585 Republic of Chile 5.500%, 01/15/13 1,229 1,270 ------------- 1,855 ------------- CHINA -- 0.0% Citic Resources Finance 6.750%, 05/15/14 (A) 250 239 ------------- COLOMBIA -- 5.3% BanColombia 6.875%, 05/25/17 365 366 Bogota District Capital 9.750%, 07/26/28 (A) COP 2,713,000 1,333 EEB International 8.750%, 10/31/14 (A) 320 342 Republic of Colombia 11.750%, 02/25/20 3,918 5,926 10.375%, 01/28/33 250 378 9.850%, 06/28/27 COP 18,129,000 9,507 8.375%, 02/15/27 3,100 3,743 8.250%, 12/22/14 5,330 6,260 8.125%, 05/21/24 7,980 9,656 7.375%, 01/27/17-09/18/37 16,045 18,162 4.520%, 08/16/08 (D) 225 239 TGI International 9.500%, 10/03/17 (A) 620 668 ------------- 56,580 ------------- DOMINICAN REPUBLIC -- 0.2% Republic of Dominican Republic 9.040%, 01/23/18 410 435 8.625%, 04/20/27 1,005 1,065 Standard Bank 15.000%, 03/12/12 (A) 446 353 Standard Bank, Ser E MTN 8.125%, 07/20/09 (D) 509 495 ------------- 2,348 ------------- ECUADOR -- 1.1% Republic of Ecuador Registered 10.000%, 08/15/30 9,430 9,572 9.375%, 12/15/15 (F) 2,235 2,391 ------------- 11,963 -------------
Face Amount(1) Market Value Description (Thousands) ($ Thousands) ----------------------------------------------- -------------- ------------- EL SALVADOR -- 1.7% Republic of El Salvador 8.250%, 04/10/32 6,090 $ 6,851 7.750%, 01/24/23 1,760 1,971 7.650%, 06/15/35 8,094 8,621 ------------- 17,443 ------------- GABON -- 0.4% Gabonese Republic 8.200%, 12/12/17 (A) 3,675 3,877 ------------- GEORGIA -- 0.1% Republic of Georgia 7.500%, 04/15/13 1,500 1,488 ------------- GHANA -- 0.1% Republic of Ghana 8.500%, 10/04/17 (A) 780 818 ------------- INDIA -- 0.0% ICICI Bank MTN 6.625%, 10/03/12 (A) 300 301 ------------- INDONESIA -- 3.6% Barclays Bank MTN 12.500%, 03/17/13 (A) (D) 600 663 0.000%, 12/17/08 (A) (D) 600 647 Excelcomindo Finance 7.000%, 11/01/25 105 112 Indosat Finance 7.125%, 06/22/12 1,000 1,020 Majapahit Holding 7.875%, 06/29/37 (A) 615 547 7.750%, 10/17/16 200 193 7.750%, 10/17/16 (A) 1,300 1,263 7.250%, 10/17/11 (A) 885 881 7.250%, 06/28/17 (A) 840 773 Republic of Indonesia 8.553%, 02/20/10 (E) IDR 17,075,000 1,520 8.500%, 10/12/35 5,510 5,948 7.750%, 01/17/38 (A) 4,270 4,171 7.750%, 01/17/38 5,755 5,621 7.500%, 01/15/16 4,690 4,941 7.250%, 04/20/15 (A) 1,700 1,781 7.250%, 04/20/15 200 209 6.875%, 03/09/17 920 919 6.875%, 01/17/18 (A) 2,015 2,015 6.750%, 03/10/14 1,850 1,898 6.625%, 02/17/37 3,000 2,606 6.625%, 02/17/37 (A) 625 539 ------------- 38,267 -------------
SEI Institutional Investments Trust / Annual Report / May 31, 2008 203 SCHEDULE OF INVESTMENTS Emerging Markets Debt Fund (Continued) May 31, 2008
Face Amount(1) Market Value Description (Thousands) ($ Thousands) ------------------------------------------------ -------------- ------------- IRAQ -- 1.2% Republic of Iraq 5.800%, 01/15/28 17,325 $ 12,821 ------------- JAMAICA -- 0.0% Digicel Group 8.875%, 01/15/15 (A) 450 413 ------------- KAZAKHSTAN -- 0.2% HSBK Europe 9.250%, 10/16/13 (A) 1,200 1,215 7.250%, 05/03/17 (A) 300 267 Kazkommerts International MTN 7.500%, 11/29/16 800 635 7.500%, 11/29/16 (A) 400 322 ------------- 2,439 ------------- LEBANON -- 0.6% Lebanon Republic Registered MTN 8.250%, 04/12/21 760 725 4.000%, 12/31/17 6,450 5,267 ------------- 5,992 ------------- MALAYSIA -- 1.3% Government of Malaysia 3.833%, 09/28/11 MYR 29,920 9,285 3.461%, 07/31/13 MYR 3,575 1,094 Petronas Capital Registered 7.875%, 05/22/22 3,040 3,664 ------------- 14,043 ------------- MEXICO -- 4.6% Grupo Televisa 6.000%, 05/15/18 (A) 600 587 Mexican Bonos, Ser M10 7.250%, 12/15/16 MXP 42,250 3,862 Pemex Project Funding Master Trust 6.625%, 06/15/35 400 404 5.750%, 03/01/18 1,670 1,664 United Mexican States 8.300%, 08/15/31 5,805 7,430 8.125%, 12/30/19 725 893 7.500%, 04/08/33 5,755 6,805 6.625%, 03/03/15 2,095 2,286 6.050%, 01/11/40 2,440 2,403 5.625%, 01/15/17 8,072 8,294 United Mexican States, Ser A MTN 6.750%, 09/27/34 12,405 13,562 United Mexican States, Ser E MTN 11.000%, 05/08/17 EUR 5,000 5
Face Amount(1) Market Value Description (Thousands) ($ Thousands) ------------------------------------------------ -------------- ------------- United Overseas Bank 5.375%, 09/03/08 (A) (D) 1,050 $ 1,001 ------------- 49,196 ------------- NIGERIA -- 0.6% Citigroup Funding 10.000%, 01/03/17 (D) 1,496 1,662 6.000%, 05/18/15 (A) 700 844 HSBC Bank MTN 10.500%, 07/28/08 NGN 223,125 1,876 UBS 0.013%, 09/04/17 (A) (D) 800 852 UBS Jersey Branch MTN 6.296%, 11/03/08 (A) (D) 1,180 1,336 ------------- 6,570 ------------- OMAN -- 0.1% Blue City Investments 13.750%, 11/07/13 500 495 ------------- PAKISTAN -- 0.3% Pakistan Mobile Communications 8.625%, 11/13/13 (A) 330 280 Republic of Pakistan 7.125%, 03/31/16 260 211 7.125%, 03/31/16 (A) 1,150 908 6.875%, 06/01/17 2,780 2,140 ------------- 3,539 ------------- PANAMA -- 2.2% Republic of Panama 9.375%, 01/16/23-04/01/29 2,390 3,202 8.875%, 09/30/27 4,400 5,544 8.125%, 04/28/34 940 1,133 7.250%, 03/15/15 8,085 8,893 6.700%, 01/26/36 4,410 4,608 ------------- 23,380 ------------- PERU -- 3.4% Banco Credito Del Peru 7.170%, 10/15/08 (A) (D) PEI 1,750 620 Interoceanica IV Finance 3.891%, 11/30/25 (A) (E) 800 373 3.712%, 11/30/18 (A) (E) 370 241 Peru Enhanced Pass-Thru 6.065%, 06/02/25 (A) (E) 250 91 4.019%, 05/31/18 (A) (E) 1,175 793 Republic of Peru 9.875%, 02/06/15 3,740 4,731 8.750%, 11/21/33 3,445 4,530 8.375%, 05/03/16 6,775 8,130
204 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Face Amount(1) Market Value Description (Thousands) ($ Thousands) ------------------------------------------------ -------------- ------------- 7.350%, 07/21/25 11,480 $ 13,146 6.900%, 08/12/37 (A) PEI 2,500 882 6.550%, 03/14/37 1,910 2,007 ------------- 35,544 ------------- PHILIPPINES -- 6.6% National Power 9.625%, 05/15/28 1,100 1,298 6.875%, 11/02/16 (A) 870 872 Republic of Philippines 10.625%, 03/16/25 4,150 5,732 9.875%, 01/15/19 500 635 9.500%, 10/21/24-02/02/30 7,675 9,941 9.375%, 01/18/17 10,540 13,071 9.000%, 02/15/13 500 579 8.250%, 01/15/14 4,060 4,547 8.000%, 01/15/16 10,930 12,324 7.750%, 01/14/31 (F) 8,571 9,492 7.500%, 09/25/24 9,059 9,806 6.375%, 01/15/32 1,975 1,891 ------------- 70,188 ------------- RUSSIA -- 13.0% ABH Financial MTN 8.200%, 06/25/12 (A) 900 878 ABN Amro Bank 9.625%, 03/01/13 1,100 1,263 Alfa Dividend Payment Rights Finance MTN 4.700%, 06/15/08 (A) (D) 353 336 Dali Capital (Vneshtorgbk) 7.000%, 04/13/09 RUB 7,200 303 DST 10.750%, 05/22/09 1,100 1,100 Gaz Capital MTN 6.510%, 03/07/22 220 208 Gaz Capital for Gazprom Registered MTN 8.625%, 04/28/34 850 988 Kazan Orgsintez 9.250%, 10/30/11 330 331 Kuznetski (Bank of Moscow) 8.961%, 11/25/15 (B) 1,300 1,296 Lukoil International Finance 6.656%, 06/07/22 (A) 405 374 Orient Express Finance 9.875%, 07/02/09 RUB 15,000 614 RSHB Capital 7.175%, 05/16/13 250 253 6.299%, 05/15/17 (A) 1,950 1,828
Face Amount(1) Market Value Description (Thousands) ($ Thousands) ------------------------------------------------ -------------- ------------- RSHB Capital for Russian Agricultural Bank 7.750%, 05/29/18 (A) 1,665 $ 1,672 7.125%, 01/14/14 (A) 1,740 1,751 Russian Federation Registered 12.750%, 06/24/28 11,410 20,510 7.500%, 03/31/30 82,011 93,377 Teorema Holding 11.000%, 10/27/09 2,000 1,920 TransCapital (Transneft) 6.103%, 06/27/12 (A) 600 610 UBS (Vimpelcom) 8.250%, 05/23/16 690 689 VIP Finance Ireland for Vimpel Communications 9.125%, 04/30/18 (A) (F) 1,900 1,962 8.375%, 04/30/13 (A) 1,400 1,426 VTB Capital 6.875%, 05/29/18 (A) 3,660 3,633 6.609%, 10/31/12 (A) 800 795 ------------- 138,117 ------------- SINGAPORE -- 0.0% DBS Bank MTN 5.000%, 11/15/19 (A) (D) 195 183 ------------- SOUTH AFRICA -- 0.8% Republic of South Africa 8.500%, 06/23/17 815 958 6.500%, 06/02/14 5,850 6,098 5.875%, 05/30/22 1,855 1,748 ------------- 8,804 ------------- SOUTH KOREA -- 0.1% Shinhan Bank 6.819%, 09/20/08 (D) 590 526 Woori Bank 6.208%, 05/02/37 560 469 ------------- 995 ------------- SRI LANKA -- 0.0% Democratic Socialist Republic of Sri Lanka MTN 8.250%, 10/24/12 (A) 170 153 ------------- SUPRA-NATIONAL -- 0.3% European Investment Bank MTN 10.000%, 01/28/11 TRY 3,630 2,657 -------------
SEI Institutional Investments Trust / Annual Report / May 31, 2008 205 SCHEDULE OF INVESTMENTS Emerging Markets Debt Fund (Continued) May 31, 2008
Face Amount(1) Market Value Description (Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- THAILAND -- 0.3% Bangkok Bank 9.025%, 03/15/29 370 $ 402 True Move 10.750%, 12/16/13 (A) 850 752 10.375%, 08/01/14 (A) 1,700 1,496 ------------- 2,650 ------------- TUNISIA -- 0.2% Banque Centrale de Tunisie 8.250%, 09/19/27 420 494 7.375%, 04/25/12 1,260 1,354 ------------- 1,848 ------------- TURKEY -- 4.7% Republic of Turkey 11.875%, 01/15/30 2,545 3,861 10.000%, 02/15/12 550 502 9.500%, 01/15/14 300 345 8.000%, 02/14/34 4,220 4,412 7.375%, 02/05/25 7,560 7,596 7.250%, 03/05/38 5,745 5,415 7.250%, 03/15/15 1,500 1,558 7.000%, 09/26/16 2,285 2,331 6.875%, 03/17/36 14,625 13,271 6.750%, 04/03/18 10,525 10,420 2.088%, 01/19/11 460 353 ------------- 50,064 ------------- UKRAINE -- 2.4% Credit Suisse First Boston for City of Kiev 8.000%, 11/06/15 750 722 Credit Suisse First Boston International (Export/Import - Ukraine) 7.650%, 09/07/11 500 497 6.800%, 10/04/12 550 532 Government of Ukraine Registered 7.650%, 06/11/13 (F) 5,680 5,907 6.875%, 03/04/11 (A) 3,825 3,882 6.875%, 03/04/11 400 409 6.750%, 11/14/17 800 775 6.580%, 11/21/16 10,005 9,640 HSBC Bank (Ukrsibbank) 7.750%, 12/21/11 400 404 Naftogaz Ukrainy 8.125%, 09/30/09 600 592 Springvale Holdings 11.390%, 09/08/08 (D) 1,000 1,000 UK Private Bank 8.000%, 02/06/12 (A) 800 727 ------------- 25,087 -------------
Face Amount(1) Market Value Description (Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- UNITED ARAB EMIRATES -- 0.9% HSBC Bank Middle East 2.693%, 10/31/08 (D) AED 16,500 $ 4,483 Jafz Sukuk 3.291%, 11/27/08 (D) AED 20,000 5,503 ------------- 9,986 ------------- URUGUAY -- 3.4% Republic of Uruguay 9.250%, 05/17/17 7,870 9,641 8.000%, 11/18/22 17,747 19,433 7.875%, 01/15/33 2,700 2,916 7.625%, 03/21/36 200 211 7.500%, 03/15/15 820 896 Republic of Uruguay PIK 7.875%, 01/15/33 2,356 2,544 ------------- 35,641 ------------- VENEZUELA -- 5.0% Government of Venezuela 13.625%, 08/15/18 1,200 1,464 10.750%, 09/19/13 5,540 5,762 9.375%, 01/13/34 9,720 8,553 9.250%, 05/07/28 2,450 2,163 9.250%, 09/15/27 8,495 7,964 9.000%, 05/07/23 1,800 1,542 8.500%, 10/08/14 3,210 3,050 7.650%, 04/21/25 9,405 7,477 6.000%, 12/09/20 3,450 2,389 5.750%, 02/26/16 5,900 4,646 5.375%, 08/07/10 2,800 2,660 Government of Venezuela Registered 7.000%, 12/01/18 2,005 1,614 Petroleos de Venezuela 5.375%, 04/12/27 5,605 3,228 5.250%, 04/12/17 800 550 ------------- 53,062 ------------- YEMEN -- 0.1% Pemberley SPV Finance 2008 Yemen MTN 11.500%, 02/19/14 1,100 1,106 0.000%, 02/25/20 (D) 1,100 -- ------------- 1,106 ------------- Total Global Bonds (Cost $908,217) ($ Thousands) 908,198 -------------
206 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Face Amount(1) Market Value Description (Thousands) ($ Thousands) ------------------------------------------------- ------------- ------------- DEPOSIT WITH COUNTERPARTY AS COLLATERAL FOR SWAP CONTRACTS (H) -- 2.4% UNITED STATES -- 2.4% 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 600 600 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 2,400 2,400 Deposits with Deutsche Bank as Collateral for Swap Contract Outstanding BRL 659 404 Deposits with Deutsche Bank as Collateral for Swap Contract Outstanding BRL 7,115 4,364 Deposits with Deutsche Bank as Collateral for Swap Contract Outstanding IDR 6,122,829 657 Deposits with Goldman Sachs as Collateral for Swap Contract Outstanding BRL 3,752 2,301 Deposits with HSBC as Collateral for Swap Contract Outstanding ILS 7,924 2,460 Deposits with JPMorgan Chase as Collateral for Swap Contract Outstanding 2,992 2,992 Deposits with JPMorgan Chase as Collateral for Swap Contract Outstanding 1,047 1,047 Deposits with Merrill Lynch as Collateral for Swap Contract Outstanding 2,000 2,000 Deposits with Merrill Lynch as Collateral for Swap Contract Outstanding NGN 285,300 2,421 Deposits with Standard Bank as Collateral for Swap Contract Outstanding 72 72 Deposits with UBS as Collateral for Swap Contract Outstanding ILS 7,190 2,231 Deposits with UBS as Collateral for Swap Contract Outstanding NGN 44,062 374 ------------- Total Deposit with Counterparty as Collateral for Swap Contracts (Cost $24,950) ($ Thousands) 25,863 -------------
Face Amount(1) (Thousands)/ Market Value Description Contracts ($ Thousands) ------------------------------------------------- ------------- ------------- LOAN PARTICIPATIONS -- 1.5% GEORGIA -- 0.1% Rike 9.000%, 08/17/11 1,200 $ 1,200 ------------- NIGERIA -- 0.4% Oando 13.900%, 02/23/10 NGN 229,710 1,933 13.900%, 03/02/10 NGN 229,710 1,932 ------------- 3,865 ------------- RUSSIA -- 0.2% Snegri Overseas 10.500%, 04/21/10 2,600 2,600 ------------- SINGAPORE -- 0.3% Neptune 0.000%, 12/05/08 3,522 3,522 ------------- TURKEY -- 0.5% Cukurova, Ser A 10.980%, 11/24/08 1,237 1,225 Cukurova, Ser B 10.973%, 05/01/12 3,850 3,657 ------------- 4,882 ------------- Total Loan Participations (Cost $16,322) ($ Thousands) 16,069 ------------- EQUITY-LINKED NOTES -- 0.8% INDONESIA -- 0.8% Republic of Indonesia 12.500%, 03/15/13 IDR 8,600,000 921 8.283%, 02/20/10 IDR 41,837,000 3,683 8.250%, 02/20/10 IDR 41,610,000 3,664 ------------- Total Equity-Linked Notes (Cost $8,889) ($ Thousands) 8,268 ------------- PURCHASED OPTIONS -- 0.1% BRAZIL -- 0.1% December 2008 BRL Call, Expires 12/20/08 Strike Price $2* 9,690,000 183 December 2008 BRL Call, Expires 12/20/08 Strike Price $2* 9,720,000 192 January 2009 BRL Call, Expires 01/17/09 Strike Price $2* 7,843,000 141
SEI Institutional Investments Trust / Annual Report / May 31, 2008 207 SCHEDULE OF INVESTMENTS Emerging Markets Debt Fund (Concluded) May 31, 2008
Contracts/ Market Value Description Shares ($ Thousands) ------------------------------------------------- ------------- ------------- November 2008 BRL Call, Expires 11/22/08 Strike Price $2* 9,485,600 $ 137 November 2008 BRL Call, Expires 11/22/08 Strike Price $2* 6,800,000 129 ------------- Total Purchased Options (Cost $684) ($ Thousands) 782 ------------- WARRANTS -- 0.0%
Number of Warrants ------------- RUSSIA -- 0.0% Teorema Holding A, Expires 10/27/11* 136 92 Teorema Holding B, Expires 10/27/11* 272 185 ------------- Total Warrants (Cost $47) ($ Thousands) 277 ------------- AFFILIATED PARTNERSHIP -- 1.9% UNITED STATES -- 1.9% SEI Liquidity Fund, L.P., 2.810%**+ (G) 20,027,411 20,027 ------------- Total Affiliated Partnership (Cost $20,027) ($ Thousands) 20,027 ------------- Total Investments -- 92.2% (Cost $979,136) ($ Thousands) $ 979,484 =============
Market Value Description Contracts ($ Thousands) ------------------------------------------------- ------------- ------------- WRITTEN OPTIONS -- 0.0% BRAZIL -- 0.0% December 2008 BRL Call, Expires 12/20/08, Strike Price $1.61* (9,120,000) $ (66) December 2008 BRL Call, Expires 12/20/08, Strike Price $1.61* (9,150,000) (69) December 2008 BRL Call, Expires 12/20/08, Strike Price $1.57* (8,917,600) (45) January 2009 BRL Call, Expires 01/17/09, Strike Price $1.61* (7,383,000 (53) November 2008 BRL Call, Expires 11/22/08, Strike Price $1.55* (6,200,000) (24) ------------- Total Written Options (Premiums Received $264) ($ Thousands) (257) -------------
208 SEI Institutional Investments Trust / Annual Report / May 31, 2008 A summary of outstanding swap agreements held by the Fund at May 31, 2008, is as follows (See Note 2 in Notes to Financial Statements): TOTAL RETURN SWAPS
COUNTERPARTY REFERENCE ENTITY/OBLIGATION FUND PAYS FUND RECEIVES ------------------- --------------------------------------------- ------------------------------- ------------- Standard Bank Federal Government Of Nigeria 17%, 12/16/2008 Cash Deposit Of Notional Amount Price Return UBS Federal Government Of Nigeria 9.35%, 08/31/20 Cash Deposit Of Notional Amount Price Return Goldman Sachs Federative Republic Of Brazil 10%, 01/01/2017 Cash Deposit Of Notional Amount Price Return JPMorgan Chase Bank Federative Republic Of Brazil 6%, 05/15/2011 Cash Deposit Of Notional Amount Price Return Deutsche Bank Federative Republic Of Brazil 6%, 05/15/2017 Cash Deposit Of Notional Amount Price Return Deutsche Bank Federative Republic Of Brazil 6%, 08/15/2010 Cash Deposit Of Notional Amount Price Return JPMorgan Chase Bank Federative Republic Of Brazil 6%, 08/15/2010 Cash Deposit Of Notional Amount Price Return Deutsche Bank Indonesia Government 12%, 09/15/2011 Cash Deposit Of Notional Amount Price Return HSBC Israel Government 5%, 03/31/2013 Cash Deposit Of Notional Amount Price Return UBS Israel Government 5%, 03/31/2013 Cash Deposit Of Notional Amount Price Return Merrill Lynch Osjc Zaporozh Term Loan Credit Facility Cash Deposit Of Notional Amount Price Return Merrill Lynch Solar Gardens Ltd Term Loan Credit Facility Cash Deposit Of Notional Amount Price Return
NET UNREALIZED APPRECIATION NOTIONAL AMOUNT (DEPRECIATION) COUNTERPARTY TERMINATION DATE (THOUSANDS) ($ THOUSANDS) ------------------- ---------------- --------------- -------------- Standard Bank 12/16/08 NGN 9,152 $ 3 UBS 08/31/17 NGN 48,340 17 Goldman Sachs 01/01/17 BRL 3,700 (216) JPMorgan Chase Bank 05/15/11 BRL 1,577 196 Deutsche Bank 05/15/17 BRL 4,411 33 Deutsche Bank 08/15/10 BRL 400 9 JPMorgan Chase Bank 08/15/10 BRL 4,450 686 Deutsche Bank 09/15/11 IDR 5,400,000 (60) HSBC 03/31/13 ILS 7,900 (1) UBS 03/31/13 ILS 7,169 -- Merrill Lynch 12/31/17 2,000 66 Merrill Lynch 12/30/09 NGN 285,300 158 ---- $891 ====
CREDIT DEFAULT SWAPS
NET UNREALIZED NOTIONAL APPRECIATION BUY/SELL (PAYS)/ AMOUNT (DEPRECIATION) COUNTERPARTY REFERENCE ENTITY/OBLIGATION PROTECTION RECEIVES RATE TERMINATION D TE (THOUSANDS) ($ THOUSANDS) ------------------- ----------------------------------- ---------- ------------- ---------------- ----------- -------------- Credit Suisse JSC Gazprom 8.625% 04/28/2034 Sell 1.37% 08/20/16 600 $(11) Credit Suisse Naftogaz Ukrainy, 8.125% 09/30/2009 Sell 5.20 12/20/11 600 (27) Credit Suisse Naftogaz Ukrainy, 8.125% 09/30/2009 Sell 5.75 12/20/08 940 12 Credit Suisse Naftogaz Ukrainy, 8.125% 09/30/2009 Sell 5.75 12/20/09 2,400 (18) ---- $(44) ====
INTEREST RATE SWAPS
NET UNREALIZED NOTIONAL AMOUNT DEPRECIATION COUNTERPARTY FUND PAYS FUND RECEIVES TERMINATION DATE (THOUSANDS) ($ THOUSANDS) ------------------- ----------------------------- ------------- ---------------- --------------- -------------- Deutsche Bank Brazil Interbank Deposit Rate 13.75% 01/02/12 BRL 6,242 $ (16) Deutsche Bank Brazil Interbank Deposit Rate 10.63 01/02/12 BRL 4,566 (318) Lehman Brothers Brazil Interbank Deposit Rate 10.65 01/02/12 BRL 3,864 (267) Lehman Brothers Brazil Interbank Deposit Rate 10.88 01/02/12 BRL 2,711 (180) Lehman Brothers Brazil Interbank Deposit Rate 11.09 01/02/12 BRL 7,198 (438) Lehman Brothers Brazil Interbank Deposit Rate 12.34 01/02/12 BRL 16,411 (478) Lehman Brothers Brazil Interbank Deposit Rate 12.57 01/02/12 BRL 15,813 (384) Lehman Brothers Brazil Interbank Deposit Rate 12.49 01/02/12 BRL 11,826 (309) Lehman Brothers Brazil Interbank Deposit Rate 12.38 01/02/12 BRL 13,089 (368) ------- $(2,758) =======
SEI Institutional Investments Trust / Annual Report / May 31, 2008 209 SCHEDULE OF INVESTMENTS Emerging Markets Debt Fund (Concluded) May 31, 2008 A summary of the open futures contracts held by the Fund at May 31, 2008, is as follows:
NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION APPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) ------------------------- ------------ ---------- ------------- U.S. 5 Year Treasury Note 20 Sep-2008 $ 5 U.S. Long Treasury Bond 82 Sep-2008 64 --- $69 ===
A summary of the outstanding forward foreign currency contracts held by the Fund at May 31, 2008, is as follows:
UNREALIZED CURRENCY CURRENCY APPRECIATION MATURITY TO DELIVER TO RECEIVE (DEPRECIATION) DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) --------------- --------------- --------------- --------------- 6/2/08-7/2/08 USD 11,541 BRL 19,472 $ 351 6/3/08-7/2/08 BRL 77,502 USD 46,060 (1,402) 6/5/08-7/7/08 USD 10,500 CZK 171,559 139 6/9/08 RUB 35,687 USD 1,491 (15) 6/9/08-7/10/08 USD 13,771 RUB 328,970 96 6/16/08 TRY 3,500 USD 2,757 (101) 6/19/08 COP 9,743,414 USD 5,407 (160) 6/23/08 USD 4,902 PLN 10,788 57 7/2/08-7/22/08 USD 6,084 INR 251,411 (180) 7/11/08 USD 2,600 ZAR 20,664 80 7/11/08 ZAR 9,120 USD 1,200 17 7/14/08 KRW 1,977,780 USD 1,920 (1) 7/14/08 USD 2,027 KRW 1,977,780 (106) 7/15/08 USD 9,848 MXP 104,532 209 7/16/08 EUR 13,498 USD 19,784 (1,146) 7/18/08 USD 625 PHP 26,424 (23) 7/22/08 INR 119,370 USD 2,819 18 7/22/08-8/29/08 USD 11,158 SGD 15,150 (19) 8/19/08 ILS 4,234 USD 1,300 (11) 8/19/08-8/20/08 USD 5,550 ILS 19,899 613 ------- $(1,584) =======
Percentages are based on a Net Assets of $1,062,491 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of May 31, 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) Step Bonds -- The rate reflected is the effective yield on May 31, 2008. The coupon on a step bond changes on a specified date. (C) Security in default on interest payments. (D) Variable Rate Security -- The rate reported is the rate in effect as of May 31, 2008. The date reported is the next reset date. (E) Zero coupon security. The rate reported is the effective yield at time of purchase. (F) This security or a partial position of this security is on loan at May 31, 2008 (See Note 9). The total value of securities on loan at May 31, 2008 was $16,423 ($ Thousands). (G) This security was purchased with cash collateral held from securities on loan. The total value of securities on loan at May 31, 2008 was $20,027 ($ Thousands). (H) Cash on loan to swap counterparty as collateral for outstanding swap contracts. AED -- United Arab Emirates Dirham BRL -- Brazilian Real COP -- Chilean Peso CZK -- Czech Republic Koruna DEM -- German Mark EUR -- Euro IDR -- Indonesian Rupiah ILS -- Israeli Shekel INR -- Indian Rupee KRW -- South Koreann Won MTN -- Medium Term Note MXP -- Mexican Peso MYR -- Malaysian Ringgit NGN -- Nigerian Naira PEI -- Peruvian Inca PHP -- Philippine Peso PLN -- Polish Zloty RUB -- Russian Ruble Ser -- Series SGD -- Singapore Dollar TRY -- New Turkish Lira USD -- U.S. Dollar ZAR -- South African Rand Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. 210 SEI Institutional Investments Trust / Annual Report / May 31, 2008 SCHEDULE OF INVESTMENTS Real Return Plus Fund May 31, 2008 SECTOR WEIGHTINGS (UNAUDITED)++: (BAR CHART) U.S. Treasury Obligations 98.1% Short-Term Investment 1.9%
++ Percentages based on total investments.
Face Amount Market Value Description ($ Thousands)/Shares ($ Thousands) ----------------------------------------- -------------------- ------------- U.S. TREASURY OBLIGATIONS -- 100.7% U.S. Treasury Bills (A) (B) 1.086%, 07/17/08 $ 3,593 $ 3,585 1.029%, 06/05/08 7,083 7,082 U.S. Treasury Inflationary Protection Securities 4.250%, 01/15/10 3,092 3,307 3.375%, 01/15/12 13,688 14,984 3.500%, 01/15/11 556 602 3.000%, 07/15/12 25,344 27,556 2.625%, 07/15/17 625 686 2.500%, 07/15/16 24,806 26,872 2.375%, 04/15/11 to 01/15/17 50,891 53,953 2.000%, 04/15/12 to 01/15/16 110,358 115,451 1.875%, 07/15/13 to 07/15/15 26,418 27,560 1.625%, 01/15/15 to 01/15/18 40,951 41,721 0.875%, 04/15/10 40,519 40,971 0.625%, 04/15/13 351 345 ------------- Total U.S. Treasury Obligations (Cost $350,331) ($ Thousands) 364,675 ------------- CASH EQUIVALENT -- 2.0% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 2.460%*+ 7,246,897 7,247 ------------- Total Cash Equivalent (Cost $7,247) ($ Thousands) 7,247 ------------- Total Investments -- 102.7% (Cost $357,578) ($ Thousands) $ 371,922 =============
A summary of the open futures contracts held by the Fund at May 31, 2008, is as follows:
UNREALIZED NUMBER OF APPRECIATION TYPE OF CONTRACTS EXPIRATION (DEPRECIATION) CONTRACT LONG (SHORT) DATE ($ THOUSANDS) ----------------------- ------------ ---------- -------------- Amsterdam Index (3) Jun-2008 $ (7) Australian 10-Year Bond (217) Jun-2008 683 CAC40 10 Euro (50) Jun-2008 (23) Canadian 10-Year Bond (148) Sep-2008 77 Dax Index 19 Jun-2008 340 DJ Euro Stoxx 50 Index (16) Jun-2008 (95) Euro-Bund (129) Jun-2008 472 FTSE 100 Index 8 Jun-2008 68 Hang Seng Index 20 Jun-2008 (41) IBEX Index (39) Jun-2008 377 Japan 10-Year Bond 4 Jun-2008 (126) Long Gilt 10-Year Bond 41 Sep-2008 (13) Russell E-Mini (35) Jun-2008 (115) S&P 500 Composite Index 35 Jun-2008 800 S&P/MIB Index 19 Jun-2008 105
UNREALIZED NUMBER OF APPRECIATION TYPE OF CONTRACTS EXPIRATION (DEPRECIATION) CONTRACT LONG (SHORT) DATE ($ THOUSANDS) ----------------------- ------------ ---------- -------------- S&P/TSE 60 Index (18) Jun-2008 $ (297) SPI 200 Index (10) Jun-2008 17 Topix Index 13 Jun-2008 215 U.S. 10-Year Note 206 Sep-2008 (348) U.S. Long Treasury Bond 191 Sep-2008 (55) ------ $2,034 ======
A summary of the outstanding forward foreign currency contracts held by the Fund at May 31, 2008, is as follows:
UNREALIZED CURRENCY CURRENCY APPRECIATION MATURITY TO DELIVER TO RECEIVE (DEPRECIATION) DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) -------- --------------- --------------- -------------- 6/18/08 AUD 26,930 USD 24,618 $(993) 6/18/08 CAD 23,294 USD 23,234 (205) 6/18/08 CHF 35,303 USD 34,645 844 6/18/08 DKK 2,329 USD 485 -- 6/18/08 EUR 15,011 USD 23,301 (5) 6/18/08 GBP 12,692 USD 25,036 (10) 6/18/08 JPY 2,406,586 USD 23,695 873 6/18/08 NZD 26,840 USD 20,966 23 6/18/08 SEK 63,947 USD 10,647 6 6/18/08 USD 18,513 AUD 19,859 374 6/18/08 USD 17,169 CAD 17,370 309 6/18/08 USD 32,847 CHF 33,921 (369) 6/18/08 USD 484 DKK 2,329 1 6/18/08 USD 29,416 EUR 18,903 (66) 6/18/08 USD 18,864 GBP 9,502 (113) 6/18/08 USD 22,904 JPY 2,363,270 (493) 6/18/08 USD 13,021 NOK 67,097 110 6/18/08 USD 13,756 NZD 17,547 (64) 6/18/08 USD 14,049 SEK 85,471 173 6/18/08 USD 26,609 SGD 36,545 213 ----- $ 608 =====
Percentages are based on a Net Assets of $362,129 ($ Thousands). * Rate shown is the 7-day effective yield as of May 31, 2008. + Investment in Affiliated Security (See Note 3). (A) The rate reported is the effective yield at time of purchase. (B) All or a portion of this security has been pledged as collateral on open futures contracts. AUD -- Australian Dollar CAD -- Canadian Dollar CHF -- Swiss Franc Cl -- Class DKK -- Danish Krone EUR -- Euro GBP -- British Pound Sterling JPY -- Japanese Yen NOK -- Norwegian Krone NZD -- New Zealand Dollar SEK -- Swedish Krone SGD -- Singapore Dollar USD -- U.S. Dollar Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. SEI Institutional Investments Trust / Annual Report / May 31, 2008 211 Statements of Assets and Liabilities ($ Thousands) May 31, 2008
LARGE CAP LARGE CAP LARGE CAP DIVERSIFIED DISCIPLINED FUND ALPHA FUND EQUITY FUND --------------- --------------- ----------------- ASSETS Investments at value+ $ 346,980* $533,028 $6,776,332* Affiliated investment, at value++ 39,580 100,341 2,485,084 Cash 170 -- 112 Foreign currency, at value+++ -- 9 -- Cash held as collateral for securities sold short or futures contracts -- 686 4,720 Receivable for investment securities sold 2,875 10,708 -- Dividends and interest receivable 637 748 12,925 Receivable for fund shares sold -- 296 27,384 Receivable for variation margin 24 219 4,378 Foreign tax reclaim receivable 1 -- -- Unrealized gain on foreign spot currency contracts -- -- -- Unrealized gain on forward foreign currency contracts -- -- 836 Swap contracts at value++++ -- -- -- Prepaid expenses 2 4 60 --------- -------- ---------- Total Assets 390,269 646,039 9,311,831 --------- -------- ---------- LIABILITIES: Payable upon return on securities loaned 25,639 -- 487,070 Payable for investment securities purchased 3,176 11,520 -- Payable for fund shares redeemed 195 66 54,364 Payable for securities sold short# -- 81,586 -- Payable to custodian -- 337 -- Margin call -- -- -- Payable for variation margin -- -- 168 Overdraft offoreign currency, at value+++ -- -- -- Unrealized loss on foreign spot currency contracts -- -- -- Unrealized loss on forward foreign currency contracts -- -- 1,189 Investment advisory fees payable 83 135 1,226 Chief Compliance Officer fees payable -- 1 8 Accrued expenses 20 33 464 Accrued foreign capital gains tax on appreciated securities -- -- -- --------- -------- ---------- Total Liabilities 29,113 93,678 544,489 --------- -------- ---------- Net Assets $ 361,156 $552,361 $8,767,342 ========= ======== ========== + Cost of investments 297,094 506,577 6,187,780 ++ Cost of affiliated investments 39,580 105,755 2,592,286 +++ Cost of foreign currency -- 9 -- ++++ Premiums received -- -- -- # Proceeds from securities sold short -- 81,641 -- * Includes market value of securities on loan 24,958 -- 472,360 NET ASSETS: Paid-in Capital -- (unlimited authorization -- no par value) $ 411,275 $562,131 $8,733,303 Undistributed (distributions in excess of) net investment income 968 (861) (14,517) Accumulated net realized loss on investments, option contracts, swaptions, futures, securities sold short, swap contracts and foreign currency (102,370) (37,919) (588,593) Net unrealized appreciation on investments, securities sold short, option contracts and swaptions 49,886 21,092 481,350 Net unrealized appreciation on futures contracts 1,397 7,918 156,150 Net unrealized appreciation on swap contracts -- -- -- Net unrealized depreciation on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies -- -- (351) Accumulated foreign capital gains tax on appreciated securities -- -- -- --------- -------- ---------- Net Assets $ 361,156 $552,361 $8,767,342 ========= ======== ========== Net Asset Value, Offering and Redemption Price Per Share -- Class A $ 18.75 $ 10.23 $ 12.07 ($361,156,472 / ($552,360,822 / ($8,767,342,333 / 19,257,656 53,993,073 726,113,893 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. 212 SEI Institutional Investments Trust / Annual Report / May 31, 2008
LARGE CAP SMALL/MID INTERNATIONAL WORLD EQUITY INDEX FUND SMALL CAP FUND CAP EQUITY FUND EQUITY FUND EX-US FUND --------------- ----------------- ----------------- ----------------- ----------------- ASSETS: Investments at value+ $380,149* $1,733,197* $2,283,415* $1,462,205* $3,187,726* Affiliated investment, at value++ 46,545 631,435 733,954 143,733 333,169 Cash 1 563 659 56,668 78,185 Foreign currency, at value+++ -- -- -- 5,988 21,961 Cash held as collateral for securities sold short or futures contracts -- -- -- -- -- Receivable for investment securities sold 465 14,074 24,518 131,947 273,846 Dividends and interest receivable 704 1,446 2,082 8,710 14,034 Receivable for fund shares sold 138 275 12,396 353 49,447 Receivable for variation margin 4 282 337 794 2,174 Foreign tax reclaim receivable -- -- 1 979 1,093 Unrealized gain on foreign spot currency contracts -- -- -- 18 34 Unrealized gain on forward foreign currency contracts -- -- -- 5,220 3,920 Swap contracts at value++++ -- -- -- 7,561 13,980 Prepaid expenses -- 12 15 10 21 -------- ---------- ---------- ---------- ---------- Total Assets 428,006 2,381,284 3,057,377 1,824,186 3,979,590 -------- ---------- ---------- ---------- ---------- LIABILITIES: Payable upon return on securities loaned 40,588 546,416 647,313 129,728 176,122 Payable for investment securities purchased 315 11,147 22,568 201,191 471,482 Payable for fund shares redeemed 199 2,603 12,885 28,153 11,628 Payable for securities sold short# -- -- -- -- -- Payable to custodian -- -- -- -- -- Margin call -- -- -- 5,375 12,340 Payable for variation margin -- -- -- 326 638 Overdraft offoreign currency, at value+++ -- 509 471 -- -- Unrealized loss on foreign spot currency contracts -- -- -- 41 12 Unrealized loss on forward foreign currency contracts -- -- -- 5,693 4,323 Investment advisory fees payable 12 813 946 489 1,019 Chief Compliance Officer fees payable -- 2 2 1 3 Accrued expenses 19 94 136 227 548 Accrued foreign capital gains tax on appreciated securities -- -- -- -- 355 -------- ---------- ---------- ---------- ---------- Total Liabilities 41,133 561,584 684,321 371,224 678,470 -------- ---------- ---------- ---------- ---------- Net Assets $386,873 $1,819,700 $2,373,056 $1,452,962 $3,301,120 ======== ========== ========== ========== ========== + Cost of investments 272,544 1,670,902 2,198,476 1,298,304 2,925,671 ++ Cost of affiliated investments 46,524 631,435 733,954 143,733 333,169 +++ Cost of foreign currency -- (500) (463) 5,974 21,958 ++++ Premiums received -- -- -- 1,534 3,309 # Proceeds from securities sold short -- -- -- -- -- * Includes market value of securities on loan 39,325 523,112 622,117 121,421 166,641 NET ASSETS: Paid-in Capital -- (unlimited authorization -- no par value) $280,659 $1,841,474 $2,419,475 $1,283,025 $3,009,075 Undistributed (distributions in excess of) net investment income 1,244 11,553 11,316 6,492 (635) Accumulated net realized loss on investments, option contracts, swaptions, futures, securities sold short, swap contracts and foreign currency (3,180) (100,843) (147,819) (12,830) (97,547) Net unrealized appreciation on investments, securities sold short, option contracts and swaptions 107,626 62,295 84,939 163,901 262,055 Net unrealized appreciation on futures contracts 524 5,230 5,153 7,148 28,454 Net unrealized appreciation on swap contracts -- -- -- 6,027 10,671 Net unrealized depreciation on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies -- (9) (8) (801) (598) Accumulated foreign capital gains tax on appreciated securities -- -- -- -- (355) -------- ---------- ---------- ---------- ---------- Net Assets $386,873 $1,819,700 $2,373,056 $1,452,962 $3,301,120 ======== ========== ========== ========== ========== Net Asset Value, Offering and Redemption Price Per Share -- Class A $ 121.02 $ 12.42 $ 12.22 $ 11.12 $ 14.56 ($386,872,900 / ($1,819,699,990 / ($2,373,055,764 / ($1,452,962,047 / ($3,301,119,883 / 3,196,764 146,483,867 194,158,640 130,690,125 226,720,379 shares) shares) shares) shares) shares)
SEI Institutional Investments Trust / Annual Report / May 31, 2008 213 Statements of Assets and Liabilities ($ Thousands) May 31, 2008
ENHANCED LIBOR CORE HIGH YIELD OPPORTUNITIES FIXED INCOME BOND FUND FUND FUND ------------------- -------------------- -------------------- ASSETS: Investments at value+ $ 139,821 $ 6,786,244* $ 1,341,153* Affiliated investment, at value++ 99,690 1,009,142 239,926 Repurchase agreements 1,700 194,800 -- Cash 1,155 939 54 Foreign currency, at value+++ -- -- -- Cash pledged as collateral for forward foreign currency contracts, futures contracts or swap contracts -- 3,590 -- Receivable for investment securities sold 7,012 671,529 20,084 Dividends and interest receivable 894 44,405 27,206 Receivable for fund shares sold 54 20,444 12,582 Receivable for variation margin 3 1,027 -- Foreign tax reclaim receivable 6 95 155 Unrealized gain on foreign spot currency contracts -- -- -- Unrealized gain on forward foreign currency contracts 1,638 887 -- Swap contracts at value++++ 85 -- -- Prepaid expenses 2 42 6 ------------------- -------------------- -------------------- Total Assets 252,060 8,733,144 1,641,166 ------------------- -------------------- -------------------- LIABILITIES: Payable upon return on securities loaned -- 786,304 211,084 Payable for investment securities purchased 5,623 1,662,684 21,948 Payable for fund shares redeemed 3 36,451 7,653 Income distribution payable -- 676 164 Swap contracts at value++++ -- 87,575 -- Options written, at value+++++ -- 1,596 -- Payable for variation margin 15 396 -- Overdraft of foreign currency, at value+++ -- 4,493 -- Unrealized loss on foreign spot currency contracts -- -- -- Unrealized loss on forward foreign currency contracts 1,952 560 -- Swaptions## -- 2,035 -- Investment advisory fees payable 54 540 389 Chief Compliance Officer fees payable -- 6 1 Accrued expenses 33 380 68 ------------------- -------------------- -------------------- Total Liabilities 7,680 2,583,696 241,307 ------------------- -------------------- -------------------- Net Assets $ 244,380 $ 6,149,448 $ 1,399,859 =================== ==================== ==================== + Cost of investments and repurchase agreements 152,249 7,134,419 1,430,875 ++ Cost of affiliated investments 105,450 1,009,142 239,926 +++ Cost of foreign currency -- (4,541) -- ++++ Premiums received -- (48,015) -- +++++ Premiums received -- 1,913 -- ## Premiums received -- 959 -- * Includes market value of securities on loan -- 746,702 198,692 NET ASSETS: Paid-in Capital -- (unlimited authorization -- no par value) $ 264,673 $ 6,265,815 $ 1,526,463 Undistributed (distributions in excess of) net investment income 1,087 (2,489) (6,220) Accumulated net realized gain (loss) on investments, option contracts, swaptions, futures, securities sold short, swap contracts and foreign currency (4,665) 82,788 (30,662) Net unrealized appreciation (depreciation) on investments, securities sold short, option contracts and swaptions (16,488) (154,134) (89,722) Net unrealized appreciation (depreciation) on futures contracts 2 (3,961) -- Net unrealized appreciation (depreciation) on swap contracts 85 (39,560) -- Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies (314) 989 -- Accumulated foreign capital gains tax on appreciated securities -- -- -- ------------------- -------------------- -------------------- Net Assets $ 244,380 $ 6,149,448 $ 1,399,859 =================== ==================== ==================== Net Asset Value, Offering and Redemption Price Per Share -- Class A $ 9.11 $ 9.95 $ 9.17 ($244,380,176 / ($6,149,448,188/ ($1,399,858,673 / 26,834,287 shares) 617,916,878 shares) 152,699,637 shares) =================== ==================== ====================
Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. 214 SEI Institutional Investments Trust / Annual Report / May 31, 2008
LONG EXTENDED EMERGING REAL RETURN DURATION DURATION MARKETS PLUS FUND FUND DEBT FUND FUND ------------------- ------------------- -------------------- ------------------- ASSETS: Investments at value+ $ 116,599 $ 747,728 $ 959,457* $ 364,675 Affiliated investment, at value++ 729 1,677 20,027 7,247 Repurchase agreements -- -- -- -- Cash 48 131 77,842 -- Foreign currency, at value+++ -- -- 4,792 -- Cash pledged as collateral for forward foreign currency contracts, futures contracts or swap contracts -- -- 6,410 443 Receivable for investment securities sold 120 4,722 8,652 7,471 Dividends and interest receivable 543 3,477 19,083 2,329 Receivable for fund shares sold -- 23,478 8,201 1,712 Receivable for variation margin -- 145 70 76 Foreign tax reclaim receivable -- -- -- -- Unrealized gain on foreign spot currency contracts -- -- 218 256 Unrealized gain on forward foreign currency contracts -- -- 1,580 2,926 Swap contracts at value++++ -- 16,548 -- -- Prepaid expenses 1 5 4 2 ------------------- ------------------- -------------------- ------------------- Total Assets 118,040 797,911 1,106,336 387,137 ------------------- ------------------- -------------------- ------------------- LIABILITIES: Payable upon return on securities loaned -- -- 20,027 -- Payable for investment securities purchased -- 2,749 13,852 10,455 Payable for fund shares redeemed -- 42 4,118 11,638 Income distribution payable -- -- -- -- Swap contracts at value++++ 2,253 -- 1,911 -- Options written, at value+++++ -- -- 257 -- Payable for variation margin 5 -- -- 69 Overdraft of foreign currency, at value+++ -- -- -- 134 Unrealized loss on foreign spot currency contracts -- -- -- 268 Unrealized loss on forward foreign currency contracts -- -- 3,164 2,318 Swaptions## -- -- -- -- Investment advisory fees payable 7 73 432 105 Chief Compliance Officer fees payable -- 1 1 -- Accrued expenses 21 74 83 21 ------------------- ------------------- -------------------- ------------------- Total Liabilities 2,286 2,939 43,845 25,008 ------------------- ------------------- -------------------- ------------------- Net Assets $ 115,754 $ 794,972 $ 1,062,491 $ 362,129 =================== =================== ==================== =================== + Cost of investments and repurchase agreements 133,688 814,154 959,109 350,331 ++ Cost of affiliated investments 729 1,677 20,027 7,247 +++ Cost of foreign currency -- -- 4,659 (136) ++++ Premiums received (3,202) (18,355) -- -- +++++ Premiums received -- -- 264 -- ## Premiums received -- -- -- -- * Includes market value of securities on loan -- -- 16,423 -- NET ASSETS: Paid-in Capital -- (unlimited authorization -- no par value) $ 138,416 $ 830,569 $ 1,061,197 $ 336,777 Undistributed (distributions in excess of) net investment income (959) (16,975) 13,782 9,457 Accumulated net realized gain (loss) on investments, option contracts, swaptions, futures, securities sold short, swap contracts and foreign currency (5,579) 13,320 (10,041) (1,093) Net unrealized appreciation (depreciation) on investments, securities sold short, option contracts and swaptions (17,089) (66,426) 355 14,344 Net unrealized appreciation (depreciation) on futures contracts 16 (419) 69 2,034 Net unrealized appreciation (depreciation) on swap contracts 949 34,903 (1,911) -- Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies -- -- (960) 610 Accumulated foreign capital gains tax on appreciated securities -- -- -- -- ------------------- ------------------- -------------------- ------------------- Net Assets $ 115,754 $ 794,972 $ 1,062,491 $ 362,129 =================== =================== ==================== =================== Net Asset Value, Offering and Redemption Price Per Share -- Class A $ 8.57 $ 9.42 $ 10.42 $ 10.99 ($115,753,718 / ($794,972,499 / ($1,062,490,811 / ($362,128,799 / 13,514,281 shares) 84,370,523 shares) 102,001,662 shares) 32,951,020 shares) =================== =================== ==================== ===================
SEI Institutional Investments Trust / Annual Report / May 31, 2008 215 Statements of Operations ($ Thousands) For the year or period ended May 31, 2008
LARGE CAP LARGE CAP LARGE CAP DIVERSIFIED DISCIPLINED FUND ALPHA FUND EQUITY FUND --------- ----------- ----------- INVESTMENT INCOME Dividends $ 7,730 $ 6,809 $ 119,365 Dividends from Affiliated Investments(1) 748 703 13,199 Interest Income 86 1,159 23,002 Security Lending Income -- Net 112 -- 1,343 Less: Foreign Taxes Withheld (12) (13) (6) --------- -------- --------- Total Investment Income 8,664 8,658 156,903 --------- -------- --------- EXPENSES: Investment Advisory Fees 1,813 1,917 33,123 Administration Fees 227 240 4,140 Trustee Fees 5 5 84 Chief Compliance Officer Fees 4 4 63 Custodian/Wire Agent Fees 23 31 506 Professional Fees 12 16 275 Printing Fees 8 9 151 Registration Fees 4 7 96 Interest Expense on Reverse Repurchase Agreements -- -- -- Dividend Expense on Short Sales -- 1,104 -- Interest Expense on Short Sales -- 433 -- Overdraft Fees -- -- -- Other Expenses 17 23 148 --------- -------- --------- Total Expenses 2,113 3,789 38,586 --------- -------- --------- Less: Waiver of Investment Advisory Fees (707) (503) (18,344) Waiver of Administration Fees (227) (240) (4,140) Fees Paid Indirectly(1) (23) -- (5) --------- -------- --------- Net Expenses 1,156 3,046 16,097 --------- -------- --------- NET INVESTMENT INCOME 7,508 5,612 140,806 ========= ======== ========= NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Investments 71,014 2,159(2) (132,968)(3) Affiliated Investments -- (258) (5,696) Securities Sold Short -- (11,989) -- Futures Contracts (1,427) (13,444) (221,024) Written Options -- (10) (175) Swap Contracts -- (3,165) (53,112) Foreign Currency Transactions -- -- (2,160) NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: Investments (101,184) (21,570) (439,362) Affiliated Investments -- (5,413) (107,202) Securities Sold Short -- 3,272 -- Futures Contracts 776 1,370 14,608 Swap Contracts -- (89) (1,017) Foreign Capital Gains Tax -- -- -- Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currencies -- -- (1,384) --------- -------- --------- NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $ (23,313) $(43,525) $(808,686) ========= ======== =========
(1) See Note 3 in the Notes to the Financial Statements. (2) Includes realized loss of $(2,046) ($Thousands) due to in-kind redemptions (see Note 8). (3) Includes realized loss of $(32,482) ($Thousands) due to in-kind redemptions (see Note 8). Amounts designated as "--" are zero or have been rounded to zero. The accompanying notes are an integral part of the financial statements. 216 SEI Institutional Investments Trust / Annual Report / May 31, 2008
LARGE CAP SMALL/MID INTERNATIONAL WORLD EQUITY INDEX SMALL CAP CAP EQUITY EX-US FUND FUND EQUITY FUND FUND FUND --------- --------- ----------- ------------- ------------ INVESTMENT INCOME Dividends $ 7,342 $ 19,344 $ 24,210 $ 45,076 $ 72,098 Dividends from Affiliated Investments(1) 379 2,632 3,463 1,022 3,852 Interest Income 25 407 258 8,664 14,634 Security Lending Income -- Net 128 2,877 3,013 1,858 1,313 Less: Foreign Taxes Withheld (1) (513) (304) (3,710) (6,578) -------- --------- --------- --------- -------- Total Investment Income 7,873 24,747 30,640 52,910 85,319 -------- --------- --------- --------- -------- EXPENSES: Investment Advisory Fees 660 12,154 13,694 7,882 14,924 Administration Fees 194 935 1,053 780 1,357 Trustee Fees 4 20 21 17 26 Chief Compliance Officer Fees 3 15 16 8 15 Custodian/Wire Agent Fees 23 114 139 455 1,167 Professional Fees 12 57 72 46 100 Printing Fees 7 33 38 27 52 Registration Fees 2 16 35 6 50 Interest Expense on Reverse Repurchase Agreements -- -- -- 143 -- Dividend Expense on Short Sales -- -- -- -- -- Interest Expense on Short Sales -- -- -- -- -- Overdraft Fees -- -- -- 112 132 Other Expenses 16 48 46 159 223 -------- --------- --------- --------- -------- Total Expenses 921 13,392 15,114 9,635 18,046 -------- --------- --------- --------- -------- Less: Waiver of Investment Advisory Fees (495) (2,360) (3,518) (2,517) (1,124) Waiver of Administration Fees (194) (935) (1,053) (780) (1,357) Fees Paid Indirectly(1) -- (308) (293) (77) (82) -------- --------- --------- --------- -------- Net Expenses 232 9,789 10,250 6,261 15,483 -------- --------- --------- --------- -------- NET INVESTMENT INCOME 7,641 14,958 20,390 46,649 69,836 ======== ========= ========= ========= ======== NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Investments 7,699 31,385 (77,275) 95,579 21,925 Affiliated Investments 1 -- -- -- -- Securities Sold Short -- -- -- -- -- Futures Contracts (1,097) (3,744) (7,252) (25,187) (59,524) Written Options -- -- -- 4 6 Swap Contracts -- -- -- (34,003) (66,470) Foreign Currency Transactions -- (186) (187) 14,358 27,205 NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: Investments (38,674) (326,544) (206,186) (191,333) (49,527) Affiliated Investments (22) -- -- -- -- Securities Sold Short -- -- -- -- -- Futures Contracts (31) 4,648 1,784 (1,141) 15,806 Swap Contracts -- -- -- 4,794 9,312 Foreign Capital Gains Tax -- -- -- 31 7 Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currencies -- (9) (9) (1,243) (2,194) -------- --------- --------- --------- -------- NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $(24,483) $(279,492) $(268,735) $ (91,492) $(33,618) ======== ========= ========= ========= ========
SEI Institutional Investments Trust / Annual Report / May 31, 2008 217 Statements of Operations ($ Thousands) For the year or period ended May 31, 2008
ENHANCED LIBOR CORE FIXED HIGH YIELD OPPORTUNITIES INCOME BOND FUND FUND FUND ------------- ---------- ---------- INVESTMENT INCOME Dividends $ 14 $ 609 $ 7,109 Dividends from Affiliated Investments(1) 754 5,256 3,131 Interest Income 9,140 331,894 107,861 Security Lending Income -- Net -- 6,351 1,228 Less: Foreign Taxes Withheld -- (240) -- -------- --------- --------- Total Investment Income 9,908 343,870 119,329 -------- --------- --------- EXPENSES: Investment Advisory Fees 916 18,814 6,489 Administration Fees 102 3,136 665 Trustee Fees 2 64 13 Chief Compliance Officer Fees 1 42 10 Custodian/Wire Agent Fees 14 399 82 Professional Fees 7 199 44 Printing Fees 4 111 24 Registration Fees 5 43 16 Overdraft Fees -- -- -- Other Expenses 67 249 15 -------- --------- --------- Total Expenses 1,118 23,057 7,358 -------- --------- --------- Less: Waiver of Investment Advisory Fees (154) (11,139) (2,036) Waiver of Administration Fees (102) (3,136) (665) -------- --------- --------- Net Expenses 862 8,782 4,657 -------- --------- --------- NET INVESTMENT INCOME 9,046 335,088 114,672 ======== ========= ========= NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Investments (2,157) 98,476 (29,320) Futures Contracts (1,780) 24,752 -- Written Options -- 7,344 -- Written Swaptions -- (2,885) -- Swap Contracts (813) 7,090 -- Foreign Currency Transactions (576) (3,150) -- NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: Investments (10,545) (112,020) (117,173) Affiliated Investments (5,762) -- -- Futures Contracts (57) 2,245 -- Written Options -- 267 -- Written Swaptions -- (1,347) -- Swap Contracts 128 (39,417) -- Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currencies (634) 1,196 -- -------- --------- --------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $(13,150) $ 317,639 $ (31,821) ======== ========= =========
(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. 218 SEI Institutional Investments Trust / Annual Report / May 31, 2008
LONG EXTENDED EMERGING REAL RETURN DURATION DURATION MARKETS PLUS FUND FUND DEBT FUND FUND -------- -------- --------- ----------- INVESTMENT INCOME Dividends $ 62 $ -- $ -- $ -- Dividends from Affiliated Investments(1) 95 415 -- 339 Interest Income 9,016 34,829 68,610 17,526 Security Lending Income -- Net -- -- 241 -- Less: Foreign Taxes Withheld -- -- -- -- -------- -------- -------- -------- Total Investment Income 9,173 35,244 68,851 17,865 -------- -------- -------- -------- EXPENSES: Investment Advisory Fees 486 2,040 8,136 2,163 Administration Fees 81 340 479 154 Trustee Fees 2 6 9 3 Chief Compliance Officer Fees 1 -- 5 2 Custodian/Wire Agent Fees 9 47 94 24 Professional Fees 5 24 33 11 Printing Fees 3 12 18 6 Registration Fees 1 14 13 5 Overdraft Fees -- -- 28 9 Other Expenses 46 94 98 12 -------- -------- -------- -------- Total Expenses 634 2,577 8,913 2,389 -------- -------- -------- -------- Less: Waiver of Investment Advisory Fees (229) (878) (3,141) (916) Waiver of Administration Fees (81) (340) (479) (154) -------- -------- -------- -------- Net Expenses 324 1,359 5,293 1,319 -------- -------- -------- -------- NET INVESTMENT INCOME 8,849 33,885 63,558 16,546 ======== ======== ======== ======== NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Investments (4,374) (2,920) (5,241) 1,557 Futures Contracts 138 79 (12) (863) Written Options -- -- -- -- Written Swaptions (2) -- -- -- Swap Contracts 4,511 19,509 1,377 -- Foreign Currency Transactions -- -- 5,991 646 NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: Investments (16,494) (65,344) (27,636) 17,029 Affiliated Investments -- -- -- -- Futures Contracts 19 (420) (92) 2,193 Written Options -- -- 264 -- Written Swaptions -- -- -- -- Swap Contracts 5,592 64,610 (4,049) -- Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currencies -- -- (1,535) (368) -------- -------- -------- -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ (1,761) $ 49,399 $ 32,625 $ 36,740 ======== ======== ======== ========
SEI Institutional Investments Trust / Annual Report / May 31, 2008 219 Statements of Changes in Net Assets ($ Thousands) For the years or period ended May 31,
LARGE CAP DIVERSIFIED LARGE CAP FUND ALPHA FUND --------------------- ------------------------ 2008 2007 2008 2007 --------- --------- --------- --------- OPERATIONS: Net Investment Income $ 7,508 $ 11,622 $ 5,612 $ 5,405 Net Realized Gain (Loss) from Investments, Affiliated Investments, Securities Sold Short, Written Options, Futures Contracts and Swap Contracts 69,587 50,321 (26,707)(4) 7,794 Net Realized Gain (Loss) on Foreign Currency Transactions -- -- -- -- Net Change in Unrealized Appreciation (Depreciation) on Investments, Affiliated Investments, Securities Sold Short, Written Options, Futures Contracts and Swap Contracts (100,408) 85,156 (22,430) 53,897 Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency Transactions -- -- -- -- --------- --------- --------- --------- Net Increase (Decrease) in Net Assets Resulting from Operations (23,313) 147,099 (43,525) 67,096 --------- --------- --------- --------- DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (8,626) (12,254) (7,084) (4,339) Net Realized Gains: Class A -- -- (21,162) (2,260) --------- --------- --------- --------- Total Dividends and Distributions (8,626) (12,254) (28,246) (6,599) --------- --------- --------- --------- CAPITAL SHARE TRANSACTIONS:(1) CLASS A: Proceeds from Shares Issued 24,208 23,377 262,224 362,896(2) Reinvestment of Dividends & Distributions 8,602 12,156 25,898 5,620 Cost of Shares Redeemed (333,709) (277,601) (117,944)(3) (114,105) --------- --------- --------- --------- Increase (Decrease) in Net Assets Derived from Class A Transactions (300,899) (242,068) 170,178 254,411 --------- --------- --------- --------- Net Increase (Decrease) in Net Assets (332,838) (107,223) 98,407 314,908 --------- --------- --------- --------- NET ASSETS: BEGINNING OF YEAR 693,994 801,217 453,954 139,046 --------- --------- --------- --------- END OF YEAR $ 361,156 $ 693,994 $ 552,361 $ 453,954 ========= ========= ========= ========= Undistributed (Distribution in Excess of) Net Investment Income Included in Net Assets at Period End $ 968 $ 2,077 $ (861) $ 1,914 ========= ========= ========= =========
(1) See Note 4 in the Notes to Financial Statements for additional information. (2) Includes subscriptions as a result of an in-kind transfers of securities (see Note 8). (3) Includes redemptions as a result of in-kind transfer of securities (see Note 8). (4) Includes realized loss of $(2,669) ($ 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. 220 SEI Institutional Investments Trust / Annual Report / May 31, 2008
LARGE CAP DISCIPLINED LARGE CAP EQUITY FUND INDEX FUND SMALL CAP FUND ---------------------------- ------------------- ----------------------- 2008 2007 2008 2007 2008 2007 ----------- ----------- -------- -------- ---------- ---------- OPERATIONS: Net Investment Income $ 140,806 $ 155,602 $ 7,641 $ 7,154 $ 14,958 $ 13,203 Net Realized Gain (Loss) from Investments, Affiliated Investments, Securities Sold Short, Written Options, Futures Contracts and Swap Contracts (412,975)(5) 321,815 6,603 3,785 27,641 188,753 Net Realized Gain (Loss) on Foreign Currency Transactions (2,160) 66 -- -- (186) (16) Net Change in Unrealized Appreciation (Depreciation) on Investments, Affiliated Investments, Securities Sold Short, Written Options, Futures Contracts and Swap Contracts (532,973) 897,982 (38,727) 68,328 (321,896) 174,796 Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency Transactions (1,384) 1,086 -- -- (9) -- ----------- ----------- -------- -------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations (808,686) 1,376,551 (24,483) 79,267 (279,492) 376,736 ----------- ----------- -------- -------- ---------- ---------- DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (154,202) (145,402) (7,735) (7,315) (15,664) (15,831) Net Realized Gains: Class A (470,491) (224,544) (10,331) (2,519) (219,331) (234,693) ----------- ----------- -------- -------- ---------- ---------- Total Dividends and Distributions (624,693) (369,946) (18,066) (9,834) (234,995) (250,524) ----------- ----------- -------- -------- ---------- ---------- CAPITAL SHARE TRANSACTIONS:(1) CLASS A: Proceeds from Shares Issued 3,092,387(2) 2,619,199(2) 48,887 34,661 162,821 231,295 Reinvestment of Dividends & Distributions 618,766 366,050 16,951 9,512 223,813 240,779 Cost of Shares Redeemed (1,343,644)(3) (1,097,058) (53,349) (63,757) (189,304) (412,567) ----------- ----------- -------- -------- ---------- ---------- Increase (Decrease) in Net Assets Derived from Class A Transactions 2,367,509 1,888,191 12,489 (19,584) 197,330 59,507 ----------- ----------- -------- -------- ---------- ---------- Net Increase (Decrease) in Net Assets 934,130 2,894,796 (30,060) 49,849 (317,157) 185,719 ----------- ----------- -------- -------- ---------- ---------- NET ASSETS: BEGINNING OF YEAR 7,833,212 4,938,416 416,933 367,084 2,136,857 1,951,138 ----------- ----------- -------- -------- ---------- ---------- END OF YEAR $ 8,767,342 $ 7,833,212 $386,873 $416,933 $1,819,700 $2,136,857 =========== =========== ======== ======== ========== ========== Undistributed (Distribution in Excess of) Net Investment Income Included in Net Assets at Period End $ (14,517) $ 34,310 $ 1,244 $ 1,304 $ 11,553 $ 1,444 =========== =========== ======== ======== ========== ==========
SEI Institutional Investments Trust / Annual Report / May 31, 2008 221 Statements of Changes in Net Assets ($ Thousands) For the years or period ended May 31,
SMALL/MID CAP INTERNATIONAL EQUITY FUND EQUITY FUND ------------------------ ----------------------- 2008 2007 2008 2007 ---------- ---------- ---------- ---------- OPERATIONS: Net Investment Income $ 20,390 $ 12,692 $ 46,649 $ 47,236 Net Realized Gain (Loss) from Investments, Affiliated Investments, Written Options, Written Swaptions, Futures Contracts and Swap Contracts (84,527) 99,347 36,393 305,493 Net Realized Gain (Loss) on Foreign Currency Transactions (187) (20) 14,358 3,562 Net Change in Unrealized Appreciation (Depreciation) on Investments, Affiliated Investments, Written Options, Written Swaptions, Futures Contracts and Swap Contracts (204,402) 205,137 (187,680) 85,082 Net Change in Unrealized Appreciation (Depreciation) on Foreign Capital Gains Tax -- -- 31 7 Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency Transactions (9) 1 (1,243) 1,119 ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations (268,735) 317,157 (91,492) 442,499 ---------- ---------- ---------- ---------- DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (20,152) (13,728) (56,937) (69,089) Net Realized Gains: Class A (138,055) (114,066) (230,342) (315,688) ---------- ---------- ---------- ---------- Total Dividends and Distributions (158,207) (127,794) (287,279) (384,777) ---------- ---------- ---------- ---------- CAPITAL SHARE TRANSACTIONS:(1) CLASS A: Proceeds from Shares Issued 1,097,100(2) 550,115 173,293 181,985 Reinvestment of Dividends & Distributions 157,300 126,672 279,171 375,674 Cost of Shares Redeemed (320,148) (217,044) (411,365) (481,732) ---------- ---------- ---------- ---------- Increase in Net Assets Derived from Class A Transactions 934,252 459,743 41,099 75,927 ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets 507,310 649,106 (337,672) 133,649 ---------- ---------- ---------- ---------- NET ASSETS: BEGINNING OF PERIOD 1,865,746 1,216,640 1,790,634 1,656,985 ---------- ---------- ---------- ---------- END OF PERIOD $2,373,056 $1,865,746 $1,452,962 $1,790,634 ========== ========== ========== ========== Undistributed (Distribution in Excess of) Net Investment Income Included in Net Assets at Period End $ 11,316 $ 1,671 $ 6,492 $ 24,835 ========== ========== ========== ==========
(1) See Note 4 in the Notes to Financial Statements for additional information. (2) Includes subscriptions as a result of an in-kind transfers of securities (see Note 8). (3) Commenced operations on December 14, 2006. Amounts designated as "--" are zero or have been rounded to zero. The accompanying notes are an integral part of the financial statements. 222 SEI Institutional Investments Trust / Annual Report / May 31, 2008
ENHANCED WORLD EQUITY LIBOR OPPORTUNITIES CORE FIXED EX-US FUND FUND(3) INCOME FUND ----------------------- ------------------- ------------------------- 2008 2007 2008 2007 2008 2007 ---------- ---------- -------- -------- ----------- ----------- OPERATIONS: Net Investment Income $ 69,836 $ 35,124 $ 9,046 $ 2,980 $ 335,088 $ 280,099 Net Realized Gain (Loss) from Investments, Affiliated Investments, Written Options, Written Swaptions, Futures Contracts and Swap Contracts (104,063) 128,944 (4,750) 233 134,777 25,217 Net Realized Gain (Loss) on Foreign Currency Transactions 27,205 4,070 (576) 25 (3,150) (433) Net Change in Unrealized Appreciation (Depreciation) on Investments, Affiliated Investments, Written Options, Written Swaptions, Futures Contracts and Swap Contracts (24,409) 241,964 (16,236) (165) (150,272) 37,677 Net Change in Unrealized Appreciation (Depreciation) on Foreign Capital Gains Tax 7 (253) -- -- -- -- Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency Transactions (2,194) 2,091 (634) 320 1,196 273 ---------- ---------- -------- -------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations (33,618) 411,940 (13,150) 3,393 317,639 342,833 ---------- ---------- -------- -------- ----------- ----------- DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (73,619) (36,280) (8,559) (1,709) (336,849) (279,194) Net Realized Gains: Class A (156,358) (55,011) (268) -- -- -- ---------- ---------- -------- -------- ----------- ----------- Total Dividends and Distributions (229,977) (91,291) (8,827) (1,709) (336,849) (279,194) ---------- ---------- -------- -------- ----------- ----------- CAPITAL SHARE TRANSACTIONS:(1) CLASS A: Proceeds from Shares Issued 1,644,345 1,005,592 179,865 122,922 1,887,634 2,013,899 Reinvestment of Dividends & Distributions 229,316 90,953 8,806 1,709 329,184 272,084 Cost of Shares Redeemed (361,960) (272,762) (45,744) (2,885) (1,942,287) (1,101,898) ---------- ---------- -------- -------- ----------- ----------- Increase in Net Assets Derived from Class A Transactions 1,511,701 823,783 142,927 121,746 274,531 1,184,085 ---------- ---------- -------- -------- ----------- ----------- Net Increase (Decrease) in Net Assets 1,248,106 1,144,432 120,950 123,430 255,321 1,247,724 ---------- ---------- -------- -------- ----------- ----------- NET ASSETS: BEGINNING OF PERIOD 2,053,014 908,582 123,430 -- 5,894,127 4,646,403 ---------- ---------- -------- -------- ----------- ----------- END OF PERIOD $3,301,120 $2,053,014 $244,380 $123,430 $ 6,149,448 $ 5,894,127 ========== ========== ======== ======== =========== =========== Undistributed (Distribution in Excess of) Net Investment Income Included in Net Assets at Period End $ (635) $ 25,183 $ 1,087 $ 1,322 $ (2,489) $ 179 ========== ========== ======== ======== =========== ===========
SEI Institutional Investments Trust / Annual Report / May 31, 2008 223 Statements of Changes in Net Assets ($ Thousands) For the years or period ended May 31,
HIGH YIELD LONG DURATION BOND FUND FUND ----------------------- -------------------- 2008 2007 2008 2007 ---------- ---------- -------- -------- OPERATIONS: Net Investment Income $ 114,672 $ 84,378 $ 8,849 $ 9,817 Net Realized Gain (Loss) from Investments, Affiliated Investments, Written Options, Futures Contracts and Swap Contracts (29,320) 5,596 273 (3,977) Net Realized Gain (Loss) on Foreign Currency Transactions -- -- -- -- Net Change in Unrealized Appreciation (Depreciation) on Investments, Affiliated Investments, Written Options, Futures Contracts and Swap Contracts (117,173) 27,837 (10,883) 6,742 Net Change in Unrealized Appreciation on Foreign Currency Transactions -- -- -- -- ---------- ---------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations (31,821) 117,811 (1,761) 12,582 ---------- ---------- -------- -------- DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (114,928) (84,450) (9,372) (9,267) Net Realized Gains: Class A (12,235) (5,174) -- -- ---------- ---------- -------- -------- Total Dividends and Distributions (127,163) (89,624) (9,372) (9,267) ---------- ---------- -------- -------- CAPITAL SHARE TRANSACTIONS:(1) CLASS A: Proceeds from Shares Issued 389,605 398,488 16,563 10,523 Reinvestment of Dividends & Distributions 125,115 87,670 9,335 9,267 Cost of Shares Redeemed (197,801) (134,792) (83,627) (3,813) ---------- ---------- -------- -------- Increase (Decrease) in Net Assets Derived from Class A Transactions 316,919 351,366 (57,729) 15,977 ---------- ---------- -------- -------- Net Increase (Decrease) in Net Assets 157,935 379,553 (68,862) 19,292 ---------- ---------- -------- -------- NET ASSETS: BEGINNING OF PERIOD 1,241,924 862,371 184,616 165,324 ---------- ---------- -------- -------- END OF PERIOD $1,399,859 $1,241,924 $115,754 $184,616 ========== ========== ======== ======== Undistributed (Distribution in Excess of) Net Investment Income Included in Net Assets at Period End $ (6,220) $ 283 $ (959) $ (1,039) ========== ========== ======== ========
(1) See Note 4 in the Notes to Financial Statements for additional information. (2) Commenced operations on December 14, 2006. Amounts designated as "--" are zero or have been rounded to zero. The accompanying notes are an integral part of the financial statements. 224 SEI Institutional Investments Trust / Annual Report / May 31, 2008
EXTENDED EMERGING MARKETS REAL RETURN DURATION FUND DEBT FUND PLUS FUND(2) --------------------- ---------------------- -------------------- 2008 2007 2008 2007 2008 2007 --------- -------- ---------- --------- --------- -------- OPERATIONS: Net Investment Income $ 33,885 $ 16,483 $ 63,558 $ 38,506 $ 16,546 $ 4,565 Net Realized Gain (Loss) from Investments, Affiliated Investments, Written Options, Futures Contracts and Swap Contracts 16,668 (6,977) (3,876) 9,694 694 988 Net Realized Gain (Loss) on Foreign Currency Transactions -- -- 5,991 1,815 646 (16) Net Change in Unrealized Appreciation (Depreciation) on Investments, Affiliated Investments, Written Options, Futures Contracts and Swap Contracts (1,154) 3,317 (31,513) 46,646 19,222 (2,844) Net Change in Unrealized Appreciation on Foreign Currency Transactions -- -- (1,535) 89 (368) 978 --------- -------- ---------- --------- --------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations 49,399 12,823 32,625 96,750 36,740 3,671 --------- -------- ---------- --------- --------- -------- DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (42,570) (14,980) (67,527) (36,685) (9,863) (2,421) Net Realized Gains: Class A -- -- (10,109) (4,938) (2,775) -- --------- -------- ---------- --------- --------- -------- Total Dividends and Distributions (42,570) (14,980) (77,636) (41,623) (12,638) (2,421) --------- -------- ---------- --------- --------- -------- CAPITAL SHARE TRANSACTIONS:(1) CLASS A: Proceeds from Shares Issued 546,477 151,838 345,931 291,823 232,500 228,504 Reinvestment of Dividends & Distributions 42,570 14,980 76,551 40,676 12,638 2,422 Cost of Shares Redeemed (171,571) (16,917) (119,016) (63,398) (128,642) (10,645) --------- -------- ---------- --------- --------- -------- Increase (Decrease) in Net Assets Derived from Class A Transactions 417,476 149,901 303,466 269,101 116,496 220,281 --------- -------- ---------- --------- --------- -------- Net Increase (Decrease) in Net Assets 424,305 147,744 258,455 324,228 140,598 221,531 --------- -------- ---------- --------- --------- -------- NET ASSETS: BEGINNING OF PERIOD 370,667 222,923 804,036 479,808 221,531 -- --------- -------- ---------- --------- --------- -------- END OF PERIOD $ 794,972 $370,667 $1,062,491 $ 804,036 $ 362,129 $221,531 ========= ======== ========== ========= ========= ======== Undistributed (Distribution in Excess of) Net Investment Income Included in Net Assets at Period End $(16,975) $ (2,645) $ 13,782 $ 8,879 $ 9,457 $ 2,128 ========= ======== ========== ========= ========= ========
SEI Institutional Investments Trust / Annual Report / May 31, 2008 225 Financial Highlights For the years or periods ended May 31, For a share outstanding throughout each period
Net Realized and Unrealized Distributions Net Net Assets Net Asset Gains Dividends from Total Asset End of Value, Net (Losses) Total from Net Realized Dividends Value, Period Beginning Investment on from Investment Capital and End of Total ($ of Period Income Securities Operations Income Gains Distributions Period Return+ Thousands) --------- ---------- ---------- ---------- ---------- ------------- ------------- ------ ------- ---------- LARGE CAP FUND Class A 2008 $ 20.31 $0.32(4) $ (1.52)(4) $(1.20) $(0.36) $ -- $(0.36) $ 18.75 (5.95)% $ 361,156 2007 16.93 0.28(4) 3.40(4) 3.68 (0.30) -- (0.30) 20.31 21.97 693,994 2006 15.53 0.24(4) 1.44(4) 1.68 (0.28) -- (0.28) 16.93 10.87 801,217 2005 14.47 0.25(4) 1.05(4) 1.30 (0.24) -- (0.24) 15.53 9.02 1,751,751 2004 12.41 0.18(4) 2.09(4) 2.27 (0.21) -- (0.21) 14.47 18.37 1,787,850 LARGE CAP DIVERSIFIED ALPHA FUND Class A 2008 $ 11.94 $0.13(4) $ (1.15)(4) $(1.02) $(0.17) $(0.52) $(0.69) $ 10.23 (8.80)% $ 552,361 2007 9.94 0.19(4) 2.04(4) 2.23 (0.16) (0.07) (0.23) 11.94 22.64 453,954 2006(2) 10.00 0.04(4) (0.09)(4) (0.05) (0.01) -- (0.01) 9.94 (0.49) 139,046 LARGE CAP DISCIPLINED EQUITY FUND Class A 2008 $ 14.38 $0.22(4) $ (1.54)(4) $(1.32) $(0.25) $(0.74) $(0.99) $ 12.07 (9.57)% $8,767,342 2007++ 12.36 0.51(4) 2.27(4) 2.78 (0.30) (0.46) (0.76) 14.38 23.15 7,833,212 2006++ 12.05 0.26(4) 0.85(4) 1.11 (0.22) (0.58) (0.80) 12.36 9.33 4,938,416 2005++ 11.18 0.20(4) 0.94(4) 1.14 (0.18) (0.09) (0.27) 12.05 10.26 3,531,361 2004(1) 10.00 0.07(4) 1.25(4) 1.32 (0.06) (0.08) (0.14) 11.18 13.23 2,285,041 LARGE CAP INDEX FUND Class A 2008 $135.30 $2.47(4) $(10.72)(4) $(8.25) $(2.52) $(3.51) $(6.03) $121.02 (6.25)% $ 386,873 2007 113.02 2.29(4) 23.15(4) 25.44 (2.33) (0.83) (3.16) 135.30 22.87 416,933 2006 106.24 2.06(4) 7.77(4) 9.83 (1.94) (1.11) (3.05) 113.02 9.34 367,084 2005 99.12 1.93(4) 7.20(4) 9.13 (1.82) (0.19) (2.01) 106.24 9.29 320,703 2004+++ 84.90 1.50(4) 14.28(4) 15.78 (1.37) (0.19) (1.56) 99.12 18.71 284,711 SMALL CAP FUND Class A 2008 $ 16.44 $0.11(4) $ (2.26)(4) $(2.15) $(0.12) $(1.75) $(1.87) $ 12.42 (13.58)% $1,819,700 2007 15.52 0.10(4) 2.85(4) 2.95 (0.12) (1.91) (2.03) 16.44 20.32 2,136,857 2006 14.27 0.07(4) 2.55(4) 2.62 (0.06) (1.31) (1.37) 15.52 18.93 1,951,138 2005 14.70 0.07(4) 1.38(4) 1.45 (0.05) (1.83) (1.88) 14.27 9.81 1,610,876 2004 11.60 0.06(4) 3.59(4) 3.65 (0.07) (0.48) (0.55) 14.70 31.76 1,309,254 SMALL/MID CAP EQUITY FUND Class A 2008 $ 14.95 $0.12(4) $ (1.91)(4) $(1.79) $(0.12) $(0.82) $(0.94) $ 12.22 (12.14)% $2,373,056 2007++ 13.38 0.19(4) 2.57(4) 2.76 (0.13) (1.06) (1.19) 14.95 21.60 1,865,746 2006++ 11.96 0.09(4) 1.97(4) 2.06 (0.08) (0.56) (0.64) 13.38 17.51 1,216,640 2005++ 10.70 0.05(4) 1.38(4) 1.43 (0.05) (0.12) (0.17) 11.96 13.38 768,897 2004(3)++ 10.00 0.02(4) 0.69(4) 0.71 (0.01) -- (0.01) 10.70 7.15 423,768 Ratio of Expenses Ratio of to Average Expenses Net Assets to Average (Excluding Net Assets Ratio of Net Ratio of Net Fees Paid (Excluding Investment Expenses Indirectly Fees Paid Income Portfolio to Average and Including Indirectly to Average Turnover Net Assets Waivers) and Waivers) Net Assets Rate+ ------------ ------------- ------------ ------------ --------- LARGE CAP FUND Class A 2008 0.26% 0.26% 0.47% 1.66% 57% 2007 0.26 0.26 0.46 1.57 47 2006 0.25 0.26 0.48 1.47 103 2005 0.26 0.26 0.47 1.67 43 2004 0.26 0.26 0.48 1.34 109 LARGE CAP DIVERSIFIED ALPHA FUND Class A 2008 0.64%* 0.64%* 0.79% 1.17% 77% 2007 0.62* 0.62* 0.74 1.77 132 2006(2) 0.45* 0.45* 0.66 1.70 47 LARGE CAP DISCIPLINED EQUITY FUND Class A 2008 0.19% 0.19% 0.47% 1.70% 111% 2007++ 0.23(5) 0.23(5) 0.47(5) 2.43 135 2006++ 0.24 0.24 0.47 2.10 140 2005++ 0.31 0.31 0.47 1.69 71 2004(1) 0.33 0.33 0.47 1.33 67 LARGE CAP INDEX FUND Class A 2008 0.06% 0.06% 0.24% 1.97% 14% 2007 0.06 0.06 0.24 1.88 10 2006 0.08 0.08 0.24 1.84 20 2005 0.13 0.13 0.24 1.89 8 2004+++ 0.16 0.16 0.24 1.58 6 SMALL CAP FUND Class A 2008 0.52% 0.54% 0.72% 0.80% 99% 2007 0.52 0.54 0.72 0.67 92 2006 0.52 0.54 0.72 0.44 119 2005 0.54 0.54 0.72 0.46 94 2004 0.54 0.54 0.72 0.45 135 SMALL/MID CAP EQUITY FUND Class A 2008 0.49% 0.50% 0.72% 0.97% 95% 2007++ 0.48 0.50 0.72 0.85 104 2006++ 0.50 0.53 0.72 0.69 123 2005++ 0.62 0.62 0.72 0.47 98 2004(3)++ 0.65 0.65 0.73 0.45 51
* The expense ratio includes dividend and interest expenses on short sales. Had these expenses been excluded,the ratios would have been 0.32% for the period ended May 31, 2008 and 0.35% and 0.34% for 2007 and 2006, respectively. + Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of Fund shares. ++ Per share amounts have been adjusted for a 10 to 1 stock split paid to shareholders of record on November 16, 2006. +++ Per share amounts have been adjusted for a 10 to 1 reverse stock split paid to shareholders of record on November 26, 2003. (1) Commenced operations on August 28, 2003. All ratios for the period have been annualized. (2) Commenced operations on February 28, 2006. All ratios for the period have been annualized. (3) Commenced operations on December 15, 2003. All ratios for the period have been annualized. (4) Per share net investment income and net realized and unrealized gains(losses) calculated using average shares. (5) The 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. 226 SEI Institutional Investments Trust / Annual Report / May 31, 2008
Net Realized and Unrealized Distributions Net Net Assets Net Asset Gains Dividends from Total Asset End of Value, Net (Losses) Total from Net Realized Dividends Value, Period Beginning Investment on from Investment Capital and End of Total ($ of Period Income Securities Operations Income Gains Distributions Period Return+ Thousands) --------- ---------- ---------- ---------- ---------- ------------- ------------- ------ ------- ---------- INTERNATIONAL EQUITY FUND Class A 2008 $14.27 $0.37(3) $(1.05)(3) $(0.68) $(0.44) $(2.03) $(2.47) $11.12 (5.52)% $1,452,962 2007 14.05 0.37(3) 3.12(3) 3.49 (0.50) (2.77) (3.27) 14.27 28.00 1,790,634 2006 11.15 0.29(3) 3.09(3) 3.38 (0.37) (0.11) (0.48) 14.05 30.77 1,656,985 2005 10.06 0.23(3) 1.16(3) 1.39 (0.30) -- (0.30) 11.15 13.73 1,677,254 2004 7.76 0.18(3) 2.28(3) 2.46 (0.16) -- (0.16) 10.06 31.73 1,391,076 WORLD EQUITY EX-US FUND Class A 2008 $15.96 $0.38(3) $(0.51)(3) $(0.13) $(0.39) $(0.88) $(1.27) $14.56 (1.14)% $3,301,120 2007 12.99 0.35(3) 3.47(3) 3.82 (0.33) (0.52) (0.85) 15.96 30.29 2,053,014 2006 9.81 0.27(3) 3.01(3) 3.28 (0.09) (0.01) (0.10) 12.99 33.52 908,582 2005(4) 10.00 0.07(3) (0.26)(3) (0.19) -- -- -- 9.81 (1.90) 234,396 ENHANCED LIBOR OPPORTUNITIES FUND Class A 2008 $10.14 $0.42(3) $(1.00)(3) $(0.58) $(0.44) $(0.01) $(0.45) $ 9.11 (5.88)% $ 244,380 2007(7) 10.00 0.27(3) 0.03(3) 0.30 (0.16) -- (0.16) 10.14 3.02 123,430 CORE FIXED INCOME FUND Class A 2008 $ 9.99 $0.54(3) $(0.04)(3) $ 0.50 $(0.54) $ -- $(0.54) $ 9.95 5.10% $6,149,448 2007 9.84 0.53(3) 0.14(3) 0.67 (0.52) -- (0.52) 9.99 6.95 5,894,127 2006 10.34 0.47(3) (0.48)(3) (0.01) (0.48) (0.01) (0.49) 9.84 (0.09) 4,646,403 2005 10.19 0.41(3) 0.27(3) 0.68 (0.42) (0.11) (0.53) 10.34 6.77 4,265,249 2004 10.61 0.38(3) (0.26)(3) 0.12 (0.40) (0.14) (0.54) 10.19 1.13 3,074,873 HIGH YIELD BOND FUND Class A 2008 $10.33 $0.82(3) $(1.07)(3) $(0.25) $(0.82) $(0.09) $(0.91) $ 9.17 (2.36)% $1,399,859 2007 10.08 0.84(3) 0.30(3) 1.14 (0.84) (0.05) (0.89) 10.33 11.81 1,241,924 2006(2) 10.00 0.40(3) 0.08(3) 0.48 (0.40) -- (0.40) 10.08 4.85 862,371 LONG DURATION FUND Class A 2008 $ 9.52 $0.51(3) $(0.91)(3) $(0.40) $(0.55) $ -- $(0.55) $ 8.57 (4.52)% $ 115,754 2007 9.31 0.53(3) 0.18(3) 0.71 (0.50) -- (0.50) 9.52 7.67 184,616 2006 10.56 0.46(3) (1.07)(3) (0.61) (0.54) (0.10) (0.64) 9.31 (6.08) 165,324 2005 9.77 0.42(3) 1.03(3) 1.45 (0.54) (0.12) (0.66) 10.56 15.26 76,054 2004(1) 10.00 0.05(3) (0.23)(3) (0.18) (0.05) -- (0.05) 9.77 (1.78) 6,317 EXTENDED DURATION FUND Class A 2008 $ 9.24 $0.49(3) $ 0.29(3) $ 0.78 $(0.60) $ -- $(0.60) $ 9.42 8.33% $ 794,972 2007 8.86 0.55(3) 0.32(3) 0.87 (0.49) -- (0.49) 9.24 9.73 370,667 2006 11.96 0.48(3) (2.68)(3) (2.20) (0.68) (0.22) (0.90) 8.86 (19.24) 222,923 2005 9.53 0.43(3) 2.84(3) 3.27 (0.84) -- (0.84) 11.96 35.74 154,779 2004(1) 10.00 0.05(3) (0.44)(3) (0.39) (0.08) -- (0.08) 9.53 (3.88) 27,787 EMERGING MARKETS DEBT FUND Class A 2008 $10.95 $0.70(3) $(0.37)(3) $ 0.33 $(0.75) $(0.11) $(0.86) $10.42 3.24% $1,062,491 2007 9.97 0.65(3) 1.03(3) 1.68 (0.62) (0.08) (0.70) 10.95 17.40 804,036 2006(2) 10.00 0.27(3) (0.17)(3) 0.10 (0.13) -- (0.13) 9.97 1.00 479,808 REAL RETURN PLUS FUND Class A 2008 $10.10 $0.58(3) $ 0.75(3) $ 1.33 $(0.34) $(0.10) $(0.44) $10.99 13.30% $ 362,129 2007(7) 10.00 0.26(3) (0.03)(3) 0.23 (0.13) -- (0.13) 10.10 2.29 221,531 Ratio of Expenses Ratio of to Average Expenses Net Assets to Average (Excluding Net Assets Ratio of Net Ratio of Net Fees Paid (Excluding Investment Expenses Indirectly Fees Paid Income Portfolio to Average and Including Indirectly to Average Turnover Net Assets Waivers) and Waivers) Net Assets Rate+ ------------ ------------- ------------ ------------ --------- INTERNATIONAL EQUITY FUND Class A 2008 0.40%(8) 0.41%(8) 0.62%(8) 2.99% 145% 2007 0.50(5) 0.50(5) 0.71(5) 2.69 153 2006 0.36 0.36 0.63 2.30 116 2005 0.43 0.43 0.58 2.12 48 2004 0.48 0.48 0.65 1.92 80 WORLD EQUITY EX-US FUND Class A 2008 0.57% 0.57% 0.67% 2.58% 153% 2007 0.71(6) 0.71(6) 0.77(6) 2.45 154 2006 0.60 0.61 0.76 2.22 104 2005(4) 0.60 0.60 0.70 4.35 15 ENHANCED LIBOR OPPORTUNITIES FUND Class A 2008 0.42% 0.42% 0.55% 4.45% 25% 2007(7) 0.44 0.44 0.54 5.84 53 CORE FIXED INCOME FUND Class A 2008 0.14% 0.14% 0.37% 5.35% 432% 2007 0.14 0.14 0.37 5.23 428 2006 0.14 0.14 0.37 4.62 545 2005 0.15 0.15 0.37 3.94 615 2004 0.19* 0.19* 0.38 3.62 532 HIGH YIELD BOND FUND Class A 2008 0.35% 0.35% 0.55% 8.63% 59% 2007 0.35 0.35 0.56 8.25 98 2006(2) 0.35 0.35 0.57 8.15 58 LONG DURATION FUND Class A 2008 0.20% 0.20% 0.39% 5.47% 58% 2007 0.20 0.20 0.38 5.49 97 2006 0.20 0.20 0.39 4.69 113 2005 0.20 0.20 0.41 4.05 449 2004(1) 0.20 0.20 0.57 5.02 31 EXTENDED DURATION FUND Class A 2008 0.20% 0.20% 0.38% 4.99% 41% 2007 0.20 0.20 0.38 5.63 123 2006 0.20 0.20 0.39 4.64 170 2005 0.20 0.20 0.41 3.99 379 2004(1) 0.20 0.20 0.44 5.17 42 EMERGING MARKETS DEBT FUND Class A 2008 0.55% 0.55% 0.93% 6.65% 66% 2007 0.55 0.55 0.94 6.16 89 2006(2) 0.55 0.55 0.95 5.43 51 REAL RETURN PLUS FUND Class A 2008 0.43% 0.43% 0.77% 5.36% 47% 2007(7) 0.44 0.44 0.78 5.67 18
* The expense ratio includes the litigation fees paid. Had these fees been excluded the ratio would have been 0.18%. + Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of Fund shares. (1) Commenced operations on April 21, 2004. All ratios for the period have been annualized. (2) Commenced operations on December 5, 2005. All ratios for the period have been annualized. (3) Per share net investment income and net realized and unrealized gains (losses) calculated using average shares. (4) Commenced operations on March 28, 2005. All ratios for the period have been annualized. (5) The expense ratio includes interest expense on reverse repurchase agreements. Had this expense been excluded, the ratios would have been 0.37%, 0.37%, and 0.59%, respectively. (6) The expense ratio includes interest expense on reverse repurchase agreements. Had this expense been excluded, the ratios would have been 0.60%, 0.60%, and 0.67%, respectively. (7) Commenced operations on December 14, 2006. All ratios for the period have been annualized. (8) The expense ratio includesinterest expenseon reverse repurchase agreements. Hadthisexpensebeen excluded the ratio would have been 0.39%, 0.40%, and 0.61%, respectively. Amounts designated as "--" are zero or have been rounded to zero. The accompanying notes are an integral part of the financial statements. SEI Institutional Investments Trust / Annual Report / May 31, 2008 227 Notes to Financial Statements MAY 31, 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 15 Funds: The Large Cap, Large Cap Diversified Alpha, Large Cap Disciplined Equity, Large Cap Index, Small Cap, Small/Mid Cap Equity, International Equity, World Equity Ex-US, Enhanced 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 Fund's prospectus provides a description of each Fund's investment objectives, policies, and strategies. Effective January 2, 2008, the Enhanced Income Fund's name changed to the Enhanced LIBOR Opportunities Fund. The Board of Trustees approved the registration of the Screened World Equity Ex-US Fund on August 14, 2007. The Screened World Equity Ex-US Fund commenced operations on June 30, 2008. 2. SIGNIFICANT ACCOUNTING POLICIES The following is a summary of the significant accounting policies followed by the Funds. USE OF ESTIMATES -- The preparation of financial statements, in conformity with U.S. generally accepted accounting principles, requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. SECURITY VALUATION -- Securities listed on a securities exchange, market or automated quotation system for which quotations are readily available (except for securities traded on NASDAQ) are valued at the last quoted sale price on the primary exchange or market (foreign or domestic) on which they are traded, or, if there is no such reported sale, at the most recent quoted bid price. For securities traded on NASDAQ, the NASDAQ Official Closing Price will be used. Debt securities are priced based upon valuations provided by independent, third-party pricing agents, if available. Such values generally reflect the last reported sales price if the security is actively traded. The third-party pricing agents may also value debt securities at an evaluated bid price by employing methodologies that utilize actual market transactions, broker-supplied valuations, or other methodologies designed to identify the market value for such securities. Debt obligations acquired with remaining maturities of sixty days or less may be valued at their amortized cost, which approximates market value. The prices for foreign securities are reported in local currency and converted to U.S. dollars using currency exchange rates. Prices for most securities held in the Funds are provided daily by recognized independent pricing agents. If a security price cannot be obtained from an independent, third-party pricing agent, the Funds seek to obtain a bid price from at least one independent broker. Securities for which market prices are not "readily available" are valued in accordance with Fair Value Procedures established by the Funds' Board of Trustees. The Funds' Fair Value Procedures are implemented through a Fair Value Committee (the "Committee") designated by the Funds' Board of Trustees. Some of the more common reasons that may necessitate that a security be valued using Fair Value Procedures include: the security's trading has been halted or suspended; the security has been de-listed from a national exchange; the security's primary trading market is temporarily closed at a time when under normal conditions it would be open; or the security's primary pricing source is not able or willing to provide a price. When a security is valued in accordance with the Fair Value Procedures, the Committee will determine the value after taking into consideration relevant information reasonably available to the Committee. For securities that principally trade on a foreign market or exchange, a significant gap in time can exist between the time of a particular security's last trade and the time at which a Fund calculates its net asset value. The closing prices of such securities may no longer reflect their market value at the time the Fund calculates net asset value if an event that could materially affect the value of those securities (a "Significant Event") has occurred between the time of the security's last close and the time that the Fund calculates net asset value. A Significant Event may relate to a single issuer or to an entire market sector. If the adviser or sub-adviser of a Fund becomes aware of a Significant Event that has occurred with respect to a security or group of securities after the closing of the exchange or market on which the security or securities principally trade, but before the time at which the Fund calculates net asset value, it may request that a Fair Value Committee Meeting be called. In addition, the Funds' administrator monitors price movements among certain selected 228 SEI Institutional Investments Trust / Annual Report / May 31, 2008 indices, securities and/or baskets of securities that may be an indicator that the closing prices received earlier from foreign exchanges or markets may not reflect market value at the time the Fund calculates net asset value. If price movements in a monitored index or security exceed levels established by the administrator, the administrator notifies the adviser or sub-adviser for any Fund holding the relevant securities that such limits have been exceeded. In such event, the adviser or sub-adviser makes the determination whether a Fair Value Committee Meeting should be called based on the information provided. The International Equity and World Equity Ex-US Funds that hold international securities also use a third-party fair valuation vendor. The vendor provides a fair value for foreign securities held by these Funds based on certain factors and methodologies (involving, generally, tracking valuation correlations between the U.S. market and each non-U.S. security). Values from the fair value vendor are applied in the event that there is a movement in the U.S. market that exceeds a specific threshold that has been established by the Committee. The Committee has also established a "confidence interval" which is used to determine the level of historical correlation between the value of a specific foreign security and movements in the U.S. market before a particular security will be fair valued when the threshold is exceeded. In the event that the threshold established by the Committee is exceeded on a specific day, these Funds that hold international securities will value the non-U.S. securities in their fund that exceed the applicable "confidence interval" based upon the adjusted prices provided by the fair valuation vendor. Options and warrants for which the primary market is a national securities exchange are valued at the last sale price on the exchange on which they are traded, or, in the absence of any sale, at the closing bid price. Options and warrants not traded on a national securities exchange are valued at the last quoted bid price. SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Security transactions are recorded on the trade date. Cost used in determining net realized capital gains and losses on the sale of securities is determined on the basis of specific identification. Dividend income and expense is recognized on the ex-dividend date, and interest income or expense is recognized using the accrual basis of accounting. Amortization and accretion is calculated using the scientific interest method, which approximates the effective interest method over the holding period of the security. Amortization of premiums and discounts is included in interest income. REPURCHASE AGREEMENTS -- Each Fund may agree to purchase securities from financial institutions subject to the seller's agreement to repurchase them at a mutually agreed upon date and price. It is each Fund's policy that repurchase agreements are fully collateralized by U.S. Treasury and Government Agency securities. All collateral is held by the Fund's custodian bank or a bank with which the custodian bank has entered into a subcustodian agreement, or is segregated in the Federal Reserve Book Entry System. In connection with transactions in repurchase agreements, if the seller defaults and the value of the collateral declines, or if the seller enters an insolvency proceeding, realization of the collateral by the Fund may be delayed or limited. REVERSE REPURCHASE AGREEMENTS -- The Large Cap Disciplined Equity, International Equity and World Equity Ex-US Funds may issue reverse repurchase agreements. A reverse repurchase agreement involves the sale of portfolio assets together with an agreement to repurchase the same assets later at a fixed price. Additional assets are maintained in an account with the broker. The segregated assets may consist of cash, U.S. Government securities, or other liquid securities at least equal in value to the obligations under the reverse repurchase agreements. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund's use of the proceeds under the agreement may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the obligation to repurchase the securities. There were no reverse repurchase agreements outstanding as of May 31, 2008. COMPENSATING BALANCES -- Funds with cash overdrafts in excess of $100,000 are required to leave 112% in compensating balances with U.S. Bank NA, the custodian of the Trust, on the following day. Funds with positive cash balances in excess of $100,000 are allowed to overdraw 90% of the balance with U.S. Bank NA on the following day. EXPENSES -- Expenses that are directly related to one of the Funds are charged directly to that Fund. Other operating expenses of the Funds are prorated to the Funds on the basis of relative net assets. FOREIGN CURRENCY TRANSLATION -- The books and records of the Funds investing in international securities are maintained in U.S. dollars on the following basis: (I) market value of investment securities, assets and liabilities at the current rate of exchange; and (II) purchases and sales of investment securities, income and expenses at the relevant rates of exchange prevailing on the respective dates of such transactions. The Funds do not isolate that portion of gains and losses on investments in equity securities that is due to changes in the foreign exchange rates from that which is due to changes in market prices of equity securities. SEI Institutional Investments Trust / Annual Report / May 31, 2008 229 Notes to Financial Statements (Continued) MAY 31, 2008 The Funds report certain foreign-currency-related transactions as components of realized gains for financial reporting purposes, whereas such components are treated as ordinary income for Federal income tax purposes. FORWARD FOREIGN CURRENCY CONTRACTS -- The Funds may enter into forward foreign currency contracts as hedges against either specific transactions, fund positions or anticipated fund positions. All commitments are "marked-to-market" daily at the applicable foreign exchange rate, and any resulting unrealized gains or losses are recorded currently. The Large Cap Disciplined Equity, Small Cap, Small/Mid Cap Equity, International Equity, World Equity Ex-US, Enhanced Income, Core Fixed Income, Emerging Markets Debt and Real Return Plus Funds realize gains and losses at the time forward contracts are extinguished. Unrealized gains or losses on outstanding positions in forward foreign currency contracts held at the close of the period are recognized as ordinary income or loss for Federal income tax purposes. The Funds could be exposed to risk if the counterparties to the contracts are unable to meet the terms of the contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Finally, the risk exists that losses could exceed amounts disclosed on the Schedule of Investments or Statement of Assets and Liabilities. FUTURES CONTRACTS -- Each of the Funds with the exception of the High Yield Bond Fund utilized futures contracts during the year ended May 31, 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 the Fund could lose more than the original margin deposit required to initiate a futures transaction. Finally, the risk exists that losses could exceed amounts disclosed on the Schedule of Investments or Statement of Assets and Liabilities. OPTIONS/SWAPTIONS WRITTEN/PURCHASED -- Each Fund may invest in financial options/swaptions contracts primarily for the purpose of hedging their existing portfolio securities, or securities that the Funds intend to purchase, against fluctuations in fair market value caused by changes in prevailing market interest rates. The Core Fixed Income Fund may also invest in financial option/swaption contracts to enhance the Fund's returns. When a Fund writes or purchases an option/swaption, an amount equal to the premium received or paid by the Fund is recorded as a liability or an asset and is subsequently adjusted to the current market value of the option/swaption written or purchased. Premiums received or paid from writing or purchasing options/swaptions which expire unexercised are treated by the Fund on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option/swaption is exercised, the premium paid or received is added to the cost of the purchase or proceeds from the sale in determining whether the Fund has realized a gain or a loss. The International Equity, World Equity Ex-US, Core Fixed Income and Emerging Markets Debt Funds had option/swaptions contracts as of May 31, 2008, as disclosed in each Fund's Schedule of Investments. The risk in writing a call option/swaption is that the Funds give up the opportunity for profit if the market price of the security increases. The risk in writing a put option/swaption is that the Funds may incur a loss if the market price of the security decreases and the option/swaption is exercised. The risk in purchasing an option/swaption is that the Funds pay a premium whether or not the option/swaption is exercised. The Funds also have the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. Option/swaption contracts also involve the risk that they may not work as intended due to unanticipated developments in market conditions or other causes. Finally, the risk exists that losses could exceed amounts disclosed on the Schedule of Investments or Statement of Assets and Liabilities. 230 SEI Institutional Investments Trust / Annual Report / May 31, 2008 Written options transactions entered into during the year ended May 31, 2008 are summarized as follows:
LARGE CAP LARGE CAP INTERNATIONAL DIVERSIFIED ALPHA DISCIPLINED EQUITY EQUITY FUND FUND FUND ------------------------- ------------------------- -------------------------- Number of Premium Number of Premium Number of Premium Contracts ($ Thousands) Contracts ($ Thousands) Contracts ($ Thousands) --------- ------------- --------- ------------- ---------- ------------- Balance at the beginning of period -- $-- $ -- $ -- $-- Written 14 2 248 39 28 4 Expired -- -- -- -- -- -- Closing buys (14) (2) (248) (39) (28) (4) --- --- ---- ---- --- --- Balance at the end of period -- $-- -- $ -- -- $-- === === ==== ==== === ===
WORLD EQUITY CORE EMERGING MARKETS EX-US FIXED INCOME DEBT FUND FUND FUND ------------------------- ------------------------- -------------------------- Number of Premium Number of Premium Number of Premium Contracts ($ Thousands) Contracts ($ Thousands) Contracts ($ Thousands) --------- ------------- --------- ------------- ---------- ------------- Balance at the beginning of period -- $-- 507 $ 105 -- $ -- Written 49 8 17,056 10,184 40,770,600* 264 Expired -- -- (8,142) (4,915) -- -- Closing buys (49) (8) (6,749) (3,461) -- -- --- --- ------ ------- ---------- ---- Balance at the end of period -- $-- 2,672 $ 1,913 40,770,600* $264 === === ====== ======= ========== ====
* Shown in Brazilian Real. Written swaptions transactions entered into during the year ended May 31, 2008 are summarized as follows:
CORE FIXED INCOME FUND --------------------------- Notional Amount Premium (Thousands) ($ Thousands) ----------- ------------- Balance at the beginning of period 138,000 $ 3,050 Written 13,800 -- Expired -- -- Closing buys 107,800 (2,091) ------- ------- Balance at the end of period 44,000 $ 959 ======= =======
At May 31, 2008 the Funds had cash and/or securities at least equal to the value of written options/swaptions. SECURITIES SOLD SHORT -- As consistent with the Funds' investment objectives, the Funds may engage in short sales. Short sales are transactions under which a Fund sells a security it does not own. To complete such a transaction, the Fund must borrow the security to make delivery to the buyer. The Fund then is obligated to replace the security borrowed by purchasing the security at the market price at the time of the replacement. The price at such time may be more or less than the price at which the security was sold by the Fund. Until the security is replaced, the Fund is required to pay the lender amounts equal to any dividends or interest that accrue during the period of the loan. Dividends and interest are shown as an expense for financial reporting purposes. To borrow the security, the Fund also may be required to pay a premium, which would decrease proceeds of the security sold. The proceeds of the short sale are retained by the broker, to the extent necessary to meet margin requirements, until the short position is closed out. A gain, limited to the price at which the Fund sold the security short, or a loss, unlimited in size, will be recognized upon the close of a short sale. Until a Fund closes its short position or replaces the borrowed security, the Fund will: (a) maintain a segregated account containing cash or liquid securities at such a level that (i) the amount deposited in the account plus the amount deposited with the broker as collateral will equal the current value of the security sold short; and (ii) the amount deposited in the segregated account plus the amount deposited with the broker as collateral will not be less than the market value of the security at the time the security was sold short, or (b) otherwise cover the Fund's short positions. SWAP AGREEMENTS -- A swap agreement is a two-party contract under which an agreement is made to exchange returns from predetermined investments or instruments, including a particular interest rate, foreign currency, or "basket" of securities representing a particular index. Credit-default swaps involve the periodic payment by the Fund or counterparty of interest based on a specified rate multiplied by a notional amount assigned to an underlying debt instrument or group of debt instruments in exchange for the assumption of credit risk on the same instruments. In the event of a credit event, usually in the form of a credit rating downgrade, the party receiving periodic payments (i.e. floating rate payer) must pay the other party (i.e. fixed rate payer) an amount equal to the outstanding principal of the downgraded debt instrument. Total return swaps allow an investor to benefit from the cash flow without ever SEI Institutional Investments Trust / Annual Report / May 31, 2008 231 Notes to Financial Statements (Continued) MAY 31, 2008 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 the Fund's exposure to interest rates. Payments received or made are recorded as realized gains or losses. The Fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. Risk of loss may exceed amounts recognized on the statement of assets and liabilities. In connection with swap agreements, securities may be set aside as collateral by the Fund's custodian. A Fund may enter into swap agreements in order to, among other things, change the maturity or duration of the investment portfolio; protect the Fund's value from changes in interest rates; or expose a Fund to a different security or market. Swaps are marked-to-market daily based upon quotations from market makers and the resulting changes in market values, if any, are recorded as unrealized gains or losses in the Statement of Operations. Net payments of interest are recorded as realized gains or losses. Entering into swap agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Schedule of Investments or the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreement may default on its obligation to perform and that there may be unfavorable changes in the fluctuation of interest rates. Risks also arise from potential losses from adverse market movements. FORWARD TREASURY COMMITMENTS -- The Funds may invest in commitments to purchase U.S. Treasury securities on an extended settlement basis. Such transactions involve the commitment to purchase a security with payment and delivery taking place in the future, sometimes a month or more after the transaction date. The Funds account for such transactions as purchases and sales and record an unrealized gain or loss each day equal to the difference between the cost of the purchase commitment and the current market value. Realized gains or losses are recorded upon closure or settlement of such commitments. No interest is earned prior to settlement of the transaction. These instruments are subject to market fluctuation due to changes in interest rates and the market value at the time of settlement could be higher or lower than the purchase price. The Funds may incur losses due to changes in the value of the underlying treasury securities from interest rate fluctuations or as a result of counterparty nonperformance. DELAYED DELIVERY TRANSACTIONS -- The Large Cap Disciplined Equity, Large Cap Diversified Alpha, Core Fixed Income, International Equity and World Equity Ex-US Funds may purchase or sell securities on a when-issued or delayed delivery basis. These transactions involve a commitment by the Fund to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When purchasing a security on a delayed delivery basis, the Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. The Fund may dispose of or renegotiate a delayed delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a capital gain or loss. When the Fund has sold a security on a delayed delivery basis, the Fund does not participate in future gains and losses with respect to the security. COLLATERALIZED DEBT OBLIGATIONS -- The Funds may invest in collateralized debt obligations ("CDOs"), which include collateralized loan obligations ("CLOs") and other similarly structured securities. CLOs are a type of asset-backed securities. A CLO is a trust typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. CDOs may charge management fees and administrative expenses. For CDOs, the cashflows from the trust are split into two or more portions, called tranches, varying in risk and yield. The riskiest portion is the "equity" tranche which bears the bulk of defaults from the bonds or loans in the trust and serves to protect the other, more senior tranches from default in all but the most severe circumstances. Since it is partially protected from defaults, a senior tranche from a CDO trust typically has a higher rating and lower yield than their underlying securities, and can be rated investment grade. Despite the protection from the equity tranche, CDO tranches can experience substantial losses due to actual defaults, increased sensitivity to defaults due to collateral default and disappearance of protecting tranches, market anticipation of defaults, as well as aversion to CDO securities as a class. 232 SEI Institutional Investments Trust / Annual Report / May 31, 2008 The risks of an investment in a CDO depend largely on the type of the collateral securities and the class of the CDO in which a Fund invests. Normally, CLOs and other CDOs are privately offered and sold, and thus, are not registered under the securities laws. As a result, investments in CDOs may be characterized by the Funds as illiquid securities; however, an active dealer market may exist for CDOs allowing a CDO to qualify for Rule 144A transactions. In addition to the normal risks associated with fixed income securities (e.g., interest rate risk and default risk), CDOs carry additional risks including, but not limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the quality of the collateral may decline in value or default; (iii) the Funds may invest in CDOs that are subordinate to other classes; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results. ILLIQUID SECURITIES -- A security is considered illiquid if it cannot be sold or disposed of in the ordinary course of business within seven days or less for its approximate carrying value on the books of the Funds. Valuations of illiquid securities may differ significantly from the values that would have been used had an active market value for these securities existed. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net investment income are declared and paid to shareholders quarterly for the Large Cap, Large Cap 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 and World Equity Ex-US Funds. Dividends and distributions are recorded on the ex-dividend date. Any net realized capital gains will be distributed at least annually by the Funds. RESTRICTED SECURITIES -- At May 31, 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, the Funds have generally agreed to further restrictions on the disposition of certain holdings as set forth in various agreements entered into in connection with the purchase of these investments. These investments are valued at fair value as determined in accordance with the procedures approved by the Board of Trustees. The acquisition dates of these investments, the enforceable right to acquire these securities, along with their cost and values at May 31, 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 -- 16 0.00% Scorpio Mining 425 5/5/08 5/5/08 417 428 0.02% Thunderbird Resorts PIPE 140,900 11/15/07 11/15/07 1,268 1,268 0.07% Thunderbird Resorts PIPE 3,000 2/6/08 2/6/08 27 27 0.00% Value Creation 100,165 2/29/08 2/29/08 1,225 1,008 0.06% ------ ------ ---- $2,937 $2,747 0.15% SMALL/MID CAP EQUITY FUND Rentech 13,800 4/20/07 4/20/07 -- 14 0.00% Scorpio Mining 509 5/5/08 5/5/08 499 512 0.02% Thunderbird Resorts PIPE 148,600 11/15/07 11/15/07 1,337 1,337 0.06% Thunderbird Resorts PIPE 3,100 2/6/08 2/6/08 28 28 0.00% Value Creation 71,690 2/29/08 2/29/08 871 721 0.03% ------ ------ ---- $2,735 $2,612 0.11%
INVESTMENTS INREAL ESTATE INVESTMENT TRUSTS ("REITS") -- Dividend income is recorded based on the income included in distributions received from the REIT investments using published REIT reclassifications including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts. 3. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES ADMINISTRATION AND TRANSFER AGENCY AGREEMENTS --The Trust and SEI Investments Global Funds Services (the "Administrator") are parties to an Amended and Restated Administration and Transfer Agency Agreement dated December 10, 2003 under which the Administrator provides administrative and shareholder servicing for an annual fee of 0.05% of the average daily net assets of each Fund. For the year ended SEI Institutional Investments Trust / Annual Report / May 31, 2008 233 Notes to Financial Statements (Continued) MAY 31, 2008 May 31, 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. Accordingly, effective October 1, 2005, the advisory fee and voluntary expense limitations for Class A of each Fund are as follows:
Advisory Voluntary Expense Fees Limitations -------- ----------------- Large Cap Fund 0.400% 0.260% Large Cap Diversified Alpha Fund 0.400 0.350 Large Cap Disciplined Equity Fund 0.400 0.220 Large Cap Index Fund 0.170 0.060 Small Cap Fund 0.650 0.540 Small/Mid Cap Equity Fund 0.650 0.500 International Equity Fund 0.505 0.390 World Equity Ex-US Fund 0.550 0.450* 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*
* Prior to April 1, 2008, the World Equity Ex-US Fund and Real Return Fund had voluntary expense limitations of 0.600% and 0.440%, respectively. As of May 31, 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 Enhanced Investment Technologies, LLC (Intech) Goldman Sachs Asset Management, L.P. 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 Enhanced Investment Technologies, LLC (Intech) Quantitative Management Associates, LLC Investment Sub-Adviser ---------------------- LARGE CAP DISCIPLINED EQUITY FUND AlphaSimplex Group, LLC Analytic Investors, Inc. Enhanced Investment Technologies, LLC (Intech) Quantitative Management Associates, LLC LARGE CAP INDEX FUND SSgA Funds Management, Inc. SMALL CAP FUND Artisan Partners Limited Partnership BlackRock Capital Management, Inc. David J. Greene and Company, LLC Delaware Management Company Integrity Asset Management, LLC Janus Capital Management 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. PanAgora Asset Management, Inc. Robeco Investment Management, Inc. Security Capital Research and Management Incorporated Wellington Management Company, LLP SMALL/MID CAP EQUITY FUND BlackRock Capital Management, Inc. Delaware Management Company Integrity Asset Management, LLC Janus Capital Management 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 INTERNATIONAL EQUITY FUND AllianceBernstein L.P. AXA Rosenberg Investment Management LLC Capital Guardian Trust Company Fuller & Thaler Asset Management, Inc. McKinley Capital Management Inc. Quantitative Management Associates, LLC Record Currency Management Limited Smith Breeden Associates, Inc. 234 SEI Institutional Investments Trust / Annual Report / May 31, 2008 Investment Sub-Adviser ---------------------- WORLD EQUITY EX-US FUND AllianceBernstein L.P. AXA Rosenberg Investment Management LLC Capital Guardian Trust Company Fuller & Thaler Asset Management, Inc. McKinley Capital Management Inc. Quantitative Management Associates, LLC Record Currency Management Limited Rexiter Capital Management Limited Smith Breeden Associates, Inc. ENHANCED LIBOR OPPORTUNITIES FUND Highland Capital Management L.P. Record Currency Management Limited Wellington Management Company, LLP CORE FIXED INCOME FUND ING Investment Management Co. Metropolitan West Asset Management LLC Wells Capital Management, Inc. Western Asset Management Company Western Asset Management Company Limited HIGH YIELD BOND FUND Ares Management LLC J.P. Morgan Investment Management, Inc. Nomura Corporate Research & Asset Management, Inc. LONG DURATION FUND Metropolitan West Asset Management LLC EXTENDED DURATION FUND Metropolitan West Asset Management LLC EMERGING MARKETS DEBT FUND Ashmore Investment Management Limited ING Investment Management 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 year ended May 31, 2008 were as follows ($ Thousands): Large Cap Fund $ 36 Large Cap Diversified Alpha Fund 7 Small Cap Fund 384 Small/Mid Cap Equity Fund 381 International Equity Fund 201 World Equity Ex-US Fund 233
Certain officers and/or trustees of the Trust are also officers of the Administrator or the Adviser. The Trust pays each unaffiliated Trustee an annual fee for attendance at quarterly, interim and committee meetings. Compensation of officers and affiliated Trustees of the Trust is paid by the Adviser or Administrator. LSV Asset Management (partially-owned subsidiary of SIMC) serves as a sub-adviser to the Large Cap, Small Cap and Small/Mid Cap Equity Funds. For this service LSV Asset Management is entitled to receive a fee from SIMC. Such fees for the year ended May 31, 2008 were as follows ($ Thousands): Large Cap Fund $ 63 Small Cap Fund 703 Small/Mid Cap Equity Fund 833
FEES PAID INDIRECTLY -- The Funds may direct certain fund trades to the Distributor who pays a portion of the Fund's expenses. Accordingly, the expenses reduced, which were used to pay third party expenses, can be found on the Statement of Operations and the effect on the Fund's expense ratio, as a percentage of the Fund's average daily net assets for the year ended May 31, 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 / Annual Report / May 31, 2008 235 Notes to Financial Statements (Continued) MAY 31, 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 ----------------- -------------------- --------------------- 2008 2007 2008 2007 2008 2007 ------- ------- ------- ------- -------- ------- Class A: Shares Issued 1,264 1,317 24,295 33,976(1) 238,005(1) 103,185(1) Shares Issued in Lieu of Dividends and Distributions 439 678 2,371 519 47,757 23,565 Shares Redeemed (16,621) (15,154) (10,704)(2) (10,457) (104,554)(2) (61,085) Effect of Stock Split -- -- -- -- -- 439,286 ------- ------- ------- ------- -------- ------- Increase (Decrease) in Net Assets Derived from Class A Transactions (14,918) (13,159) 15,962 24,038 181,208 504,951 ======= ======= ======= ======= ======== =======
LARGE CAP SMALL/MID CAP INDEX FUND SMALL CAP FUND EQUITY FUND ----------------- -------------------- --------------------- 2008 2007 2008 2007 2008 2007 ------- ------- ------- ------- -------- ------- Class A: Shares Issued 402 280 12,562 14,887 82,115(1) 21,452 Shares Issued in Lieu of Dividends and Distributions 133 78 17,151 15,994 12,383 8,913 Shares Redeemed (420) (524) (13,187) (26,642) (25,125) (11,013) Effect of Stock Split -- -- -- -- -- 96,339 ---- ---- ------- ------- ------- ------- Increase (Decrease) in Net Assets Derived from Class A Transactions 115 (166) 16,526 4,239 69,373 115,691 ==== ==== ======= ======= ======= =======
INTERNATIONAL WORLD EQUITY ENHANCED LIBOR EQUITY FUND EX-US FUND OPPORTUNITIES FUND(3) ----------------- -------------------- --------------------- 2008 2007 2008 2007 2008 2007 ------- ------- ------- ------- -------- ------- Class A: Shares Issued 14,402 13,259 106,952 71,102 18,586 12,291 Shares Issued in Lieu of Dividends and Distributions 23,314 28,933 14,951 6,384 922 171 Shares Redeemed (32,472) (34,641) (23,847) (18,759) (4,850) (286) ------- ------- ------- ------- ------ ------ Increase in Net Assets Derived from Class A Transactions 5,244 7,551 98,056 58,727 14,658 12,176 ======= ======= ======= ======= ====== ======
(1) Includes subscriptions as a result of in-kind transfers of securities (see Note 8). (2) Includes redemptions as a result of in-kind transfers of securities (see Note 8). (3) Fund commenced operations on December 14, 2006. Amounts designated as "--" are zero or have been rounded to zero. 236 SEI Institutional Investments Trust / Annual Report / May 31, 2008
LONG CORE FIXED HIGH YIELD DURATION INCOME FUND BOND FUND FUND ------------------- ----------------- ---------------- 2008 2007 2008 2007 2008 2007 -------- -------- ------- ------- ------- ------ Class A: Shares Issued 187,314 200,308 40,343 39,242 1,748 1,075 Shares Issued in Lieu of Dividends and Distributions 32,620 27,065 13,246 8,625 994 954 Shares Redeemed (191,923) (109,460) (21,064) (13,284) (8,614) (394) -------- -------- ------- ------- ------ ----- Increase (Decrease) in Net Assets Derived from Class A Transactions 28,011 117,913 32,525 34,583 (5,872) 1,635 ======== ======== ======= ======= ====== =====
EXTENDED EMERGING REAL DURATION MARKETS RETURN FUND DEBT FUND PLUS FUND(1) ------------------- ----------------- ---------------- 2008 2007 2008 2007 2008 2007 -------- -------- ------- ------- ------- ------ Class A: Shares Issued 56,419 15,142 32,634 27,399 21,809 22,760 Shares Issued in Lieu of Dividends and Distributions 4,278 1,544 7,298 3,858 1,192 238 Shares Redeemed (16,445) (1,733) (11,353) (5,979) (11,993) (1,055) ------- ------ ------- ------ ------- ------ Increase in Net Assets Derived from Class A Transactions 44,252 14,953 28,579 25,278 11,008 21,943 ======= ====== ======= ====== ======= ======
(1) Fund commenced operations on December 14, 2006. 5. INVESTMENT TRANSACTIONS The cost of security purchases and proceeds from the sale and maturities of securities other than temporary cash investments, during the year ended May 31, 2008, were as follows:
U.S. Gov't Other Total ($ Thousands) ($ Thousands) ($ Thousands) ------------- ------------- ------------- LARGE CAP FUND Purchases $ -- $ 246,028 $ 246,028 Sales -- 541,931 541,931 LARGE CAP DIVERSIFIED ALPHA FUND* Purchases 70,101 385,884 455,985 Sales 92,685 269,922 362,607 LARGE CAP DISCIPLINED EQUITY FUND* Purchases 1,207,716 8,660,179 9,867,895 Sales 1,687,227 6,988,948 8,676,175 LARGE CAP INDEX FUND Purchases -- 53,475 53,475 Sales -- 51,493 51,493 SMALL CAP FUND Purchases -- 1,787,005 1,787,005 Sales -- 1,847,973 1,847,973 SMALL/MID CAP EQUITY FUND* Purchases -- 2,702,797 2,702,797 Sales -- 1,921,527 1,921,527 INTERNATIONAL EQUITY FUND Purchases 1,209,135 1,012,813 2,221,948 Sales 1,173,528 1,279,143 2,452,671
U.S. Gov't Other Total ($ Thousands) ($ Thousands) ($ Thousands) ------------- ------------- ------------- WORLD EQUITY EX-US FUND Purchases $ 2,385,490 $2,669,710 $ 5,055,200 Sales 2,286,959 1,629,056 3,916,015 ENHANCED LIBOR OPPORTUNITIES FUND Purchases 12,505 101,332 113,837 Sales 13,247 9,774 23,021 CORE FIXED INCOME FUND Purchases 23,935,521 2,596,068 26,531,589 Sales 24,015,771 1,932,540 25,948,311 HIGH YIELD BOND FUND Purchases -- 881,938 881,938 Sales -- 636,961 636,961 LONG DURATION FUND Purchases 5,462 60,377 65,839 Sales 30,946 78,598 109,544 EXTENDED DURATION FUND Purchases 44,522 364,022 408,544 Sales 34,258 128,225 162,483 EMERGING MARKETS DEBT FUND Purchases -- 784,178 784,178 Sales -- 539,203 539,203 REAL RETURN PLUS FUND Purchases 254,305 443 254,748 Sales 132,718 -- 132,718
* Includes in-kind transactions (see Note 8). SEI Institutional Investments Trust / Annual Report / May 31, 2008 237 Notes to Financial Statements (Continued) MAY 31, 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. Accordingly, the following permanent differences, primarily attributable to different treatment for gains and losses on paydowns of mortgage-and asset-backed securities for tax purposes, defaulted bond basis adjustments, reclassification of long term capital gain distributions on Real Estate Investment Trust securities, reclassification of income and expense from swap transactions, and gains and losses on passive foreign investment companies and certain foreign currency related transactions and certain return of capital, have been reclassified to/from the following accounts as of May 31, 2008:
Undistributed Accumulated Net Investment Realized Income (Loss) Gain (Loss) Paid-in Capital ($ Thousands) ($ Thousands) ($ Thousands) -------------- ------------- --------------- Large Cap Fund $ 9 $ (9) $ -- Large Cap Diversified Alpha Fund (1,303) 3,972 (2,669) Large Cap Disciplined Equity Fund (35,431) 98,858 (63,427) Large Cap Index Fund 34 (34) -- Small Cap Fund 10,815 (3,267) (7,548) Small/Mid Cap Equity Fund 9,407 (2,459) (6,948) International Equity Fund (8,055) 8,055 -- World Equity Ex-US Fund (22,035) 23,120 (1,085) Enhanced LIBOR Opportunities Fund (722) 722 -- Core Fixed Income Fund (907) 907 -- High Yield Bond Fund (6,247) 6,247 -- Long Duration Fund 603 (603) -- Extended Duration Fund (5,645) 5,645 -- Emerging Markets Debt Fund 8,872 (8,872) -- Real Return Plus Fund 646 (646) --
These reclassifications have no impact on net assets or net asset value per share. The tax character of dividends and distributions paid during the last two years or periods 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 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
238 SEI Institutional Investments Trust / Annual Report / May 31, 2008 As of May 31, 2008, the components of Distributable Earnings/(Accumulated Losses) were as follows:
Undistributed Undistributed Capital Post Ordinary Long-Term Loss October Income Capital Gain Carryforwards Losses ($ 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) Large Cap Index Fund 92 619 -- -- Small Cap Fund -- 22 -- (40,501) Small/Mid Cap Equity Fund -- -- -- (88,369) International Equity Fund 10,783 1,284 -- -- World Equity Ex-US Fund -- -- -- (64,436) Enhanced LIBOR Opportunities Fund 3,100 -- (1,487) (5,371) Core Fixed Income Fund 63,123 27,496 -- -- 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) Post Unrealized Other Total Distributable October Appreciation Temporary Earnings/ Currency Losses (Depreciation) Differences (Accumulated Losses) ($ Thousands) ($ 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 (3,256) 329,532 55,295 34,039 Large Cap Index Fund -- 104,361 1,142 106,214 Small Cap Fund (73) 10,779 7,999 (21,774) Small/Mid Cap Equity Fund (44) 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 (1,057) (16,715) 1,237 (20,293) Core Fixed Income Fund (1,583) (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
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 $4,642,101, respectively, of capital loss carryforwards, to offset capital gains. For Federal income tax purposes, the cost of securities owned at May 31, 2008, and the net realized gains or losses on securities sold for the period were not materially different from amounts reported for financial reporting purposes. These differences are primarily due to wash sales which cannot be used for Federal income tax purposes in the current year and have been deferred for use in future years. The aggregate gross unrealized appreciation and depreciation on total investments held by the Funds at May 31, 2008, was as follows:
Net Unrealized Federal Appreciated Depreciated Appreciation Tax Cost Securities Securities (Depreciation) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ------------- ------------- ------------- -------------- Large Cap Fund $348,234 $72,698 $(34,372) $38,326
Net Unrealized Federal Appreciated Depreciated Appreciation Tax Cost Securities Securities (Depreciation) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ------------- ------------- ------------- -------------- Large Cap Diversified Alpha Fund $ 624,763 $ 56,332 $ (47,726) $ 8,606 Large Cap Disciplined Equity Fund 8,931,764 877,579 (547,927) 329,652 Large Cap Index Fund 322,333 131,415 (27,054) 104,361 Small Cap Fund 2,359,074 235,978 (230,420) 5,558 Small/Mid Cap Equity Fund 2,989,216 282,693 (254,540) 28,153 International Equity Fund 1,462,181 221,499 (77,742) 143,757 World Equity Ex-US Fund 3,291,040 386,757 (156,902) 229,855 Enhanced LIBOR Opportunities Fund 257,699 404 (16,892) (16,488) Core Fixed Income Fund 8,149,378 62,360 (221,552) (159,192) High Yield Bond Fund 1,678,364 16,805 (114,090) (97,285) Long Duration Fund 134,424 299 (17,395) (17,096) Extended Duration Fund 815,844 1,845 (68,284) (66,439) Emerging Markets Debt Fund 982,402 27,059 (29,977) (2,918) Real Return Plus Fund 357,657 14,645 (380) 14,265
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 SEI Institutional Investments Trust / Annual Report / May 31, 2008 239 Notes to Financial Statements (Concluded) MAY 31, 2008 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 and Emerging Markets Debt Funds concentrate their investments in securities of foreign issuers in various countries. These investments may involve certain considerations and risks not typically associated with investments in the United States, as a result of, among other factors, the possibility of future political and economic developments and the level of governmental supervision and regulation of securities markets in the respective countries. 8. IN-KIND TRANSFERS OF SECURITIES During the year ended May 31, 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) $(2,669)
Shares Issued Value Gain (Loss) (Redeemed) ($ Thousands) ($ Thousands) ----------- ------------- ------------- 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 --
During the year ended May 31, 2007, the Large Cap Disciplined Equity and Large Cap Diversified Alpha Funds issued shares of beneficial interest in exchange for securities. The securities were transferred at their current value on the date of such transactions.
Shares Value Issued ($ Thousands) ------- ------------- Large Cap Diversified Alpha Fund 09/29/06 928,885 $ 9,614 Large Cap Disciplined Equity Fund 06/30/06 155,459 19,260 07/31/06 118,902 14,756 09/29/06 364,480 47,218 03/30/07 584,267 7,794 04/16/07 137,659 1,897
9. SECURITIES LENDING Each Fund may lend portfolio securities to brokers, dealers and other financial organizations that meet capital and other credit requirements or other criteria established by the Trust's Board of Trustees. These loans may not exceed 33(1)/3% of the total asset value of the Fund (including the loan collateral). No Fund will lend portfolio securities to its investment adviser, sub-adviser or their affiliates unless it has applied for and received specific authority to do so from the SEC. Loans of portfolio securities will be fully collateralized by cash, letters of credit or U.S. Government securities, and the collateral will be maintained in an amount equal to at least 100% of the current market value of the loaned securities by marking to market daily, although the borrower will be required to deliver collateral of 102% and 105% of the market value of borrowed securities for domestic and foreign securities, respectively. Although the risk of lending is mitigated by the collateral, the Fund could experience a delay in recovering its securities and a possible loss of income or value if the borrower fails to return them. Funds received cash as collateral for securities on loan and made investments. Investments purchased with cash collateral are presented on the schedule of investments for each Fund. 240 SEI Institutional Investments Trust / Annual Report / May 31, 2008 10. RECENT ACCOUNTING PRONOUNCEMENTS In September 2006, the FASB issued Statement on Financial Accounting Standards ("SFAS") No. 157, "Fair Value Measurements." This standard establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and requires additional disclosures about fair value measurements. SFAS No. 157 applies to fair value measurements already required or permitted by existing standards. SFAS No. 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. The changes to current generally accepted accounting principles from the application of this Statement relate to the definition of fair value, the methods used to measure fair value, and the expanded disclosures about fair value measurements. As of May 31, 2008, the Funds do not believe the adoption of SFAS No. 157 will impact the amounts reported in the financial statements, however, additional disclosures may be required about the inputs used to develop the measurements and the effect of certain of the measurements reported in the financial statements for a fiscal period. 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. 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 May 31, 2008 and do not reflect any market events after May 31, 2008. SEI Institutional Investments Trust / Annual Report / May 31, 2008 241 SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2008 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Board of Trustees and Shareholders of SEI Institutional Investments Trust: We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of SEI Institutional Investments Trust, comprising the Large Cap, Large Cap Diversified Alpha, Large Cap Disciplined Equity, Large Cap Index, Small Cap, Small/ Mid Cap Equity, International Equity, World Equity Ex-US, Enhanced LIBOR Opportunities, Core Fixed Income, High Yield Bond, Long Duration, Extended Duration, Emerging Markets Debt and Real Return Plus Funds, (collectively, the "Funds"), as of May 31, 2008, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years or periods in the two-year period then ended, and the financial highlights for each of the years or periods in the three-year period then ended. These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The financial highlights for the years or periods presented through May 31, 2005, were audited by other auditors, whose report dated July 27, 2005 expressed an unqualified opinion thereon. We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of May 31, 2008, by correspondence with the custodians and brokers or other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the funds comprising SEI Institutional Investments Trust as of May 31, 2008, and the results of their operations for the year then ended, the changes in their net assets for each of the years or periods in the two-year period then ended, and the financial highlights for each of the years or periods in the three-year period then ended, in conformity with U.S. generally accepted accounting principles. /s/ KPMG LLP Philadelphia, Pennsylvania July 30, 2008 242 SEI Institutional Investments Trust / Annual Report / May 31, 2008 Trustees and Officers of the Trust (Unaudited) The following information is current as of June 27, 2008. Set forth below are the names, addresses, ages, position with the Trust, Term of Office and Length of Time Served, the principal occupations for the last five years, number of portfolios in fund complex overseen by trustee, and other directorships outside the fund complex of each of the persons currently serving as Trustees and Officers of the Trust. The Trust's Statement of Additional Information ("SAI") includes additional information about the Trustees and Officers. The SAI may be obtained without charge by calling 1-800-342-5734.
NUMBER OF TERM OF PORTFOLIOS OFFICE IN FUND AND COMPLEX POSITION(S) LENGTH OF OVERSEEN HELD WITH TIME PRINCIPAL OCCUPATION(S) BY OTHER DIRECTORSHIPS NAME ADDRESS, AND AGE TRUSTS SERVED(1) DURING PAST FIVE YEARS TRUSTEE(2) HELD BY TRUSTEE ----------------------- ----------- ---------- ------------------------------------ ---------- --------------------------- INTERESTED TRUSTEES ------------------- Robert A. Nesher Chairman since 1982 Currently performs various services 80 Trustee of The Advisors' One Freedom of the on behalf of SEI Investments for Inner Circle Fund, The Valley Drive, Board of which Mr. Nesher is compensated. Advisors' Inner Circle Oaks, PA 19456 Trustees* Fund II, Bishop Street 61 yrs. old Funds, Director of SEI Global Master Fund, plc, SEI Global Assets Fund, plc, SEI Global Investments Fund, plc, SEI Investments Global, Limited, SEI Investments -- Global Fund Services, Limited, SEI Investments (Europe), Limited, SEI Investments -- Unit Trust Management (UK), Limited, SEI Global Nominee Ltd., SEI Opportunity Fund, L.P., SEI Structured Credit Fund, L.P., and SEI Multi-Strategy Funds plc. William M. Doran Trustee* since 1982 Self-employed consultant since 2003. 80 Trustee of The Advisors' 1701 Market Street Partner, Morgan, Lewis & Bockius Inner Circle Fund, The Philadelphia, PA LLP (law firm) from 1976 to 2003, Advisors' Inner Circle 19103 counsel to the Trust, SEI, SIMC, the Fund II, Bishop Street 68 yrs. old Administrator and theDistributor. Funds, Director of SEI Secretary of SEI since 1978. since 1974. Director of the Distributor since 2003. Director of SEI Investments -- Global Fund Services, Limited, SEI Investments Global, Limited, SEI Investments (Europe), Limited, SEI Investments (Asia), Limited and SEI Asset Korea Co., Ltd. TRUSTEES -------- James M. Storey Trustee since 1995 Attorney, sole practitioner since 80 Trustee of The Advisors' One Freedom 1994. Partner, Dechert Price & Inner Circle Fund, The Valley Drive, Rhoads, September 1987-December Advisors' Inner Circle Oaks, PA 19456 1993. Fund II, Bishop Street 77 yrs. old Funds, Massachusetts Health and Education Tax- Exempt Trust, and U.S. Charitable Gift Trust.
* MESSRS. NESHER AND DORAN ARE TRUSTEES WHO MAY BE DEEMED AS "INTERESTED" PERSONS OF THE TRUST AS THAT TERM IS DEFINED IN THE 1940 ACT BY VIRTUE OF THEIR AFFILIATION WITH SIMC AND THE TRUST'S DISTRIBUTOR. (1) EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR, OR UNTIL HE OR SHE SOONER DIES, RESIGNS OR IS REMOVED IN ACCORDANCE WITH THE TRUST'S DECLARATION OF TRUST. (2) THE FUND COMPLEX INCLUDES THE FOLLOWING TRUSTS: SEI ASSET ALLOCATION TRUST, SEI DAILY INCOME TRUST, SEIINSTITUTIONAL INVESTMENTS TRUST, SEI INSTITUTIONAL INTERNATIONAL TRUST, SEI INSTITUTIONAL MANAGED TRUST, SEI LIQUID ASSET TRUST, SEI TAX EXEMPT TRUST AND SEI ALPHA STRATEGY PORTFOLIOS, L.P. SEI Institutional Investments Trust / Annual Report / May 31, 2008 243 Trustees and Officers of the Trust (Unaudited) (Continued)
NUMBER OF TERM OF PORTFOLIOS OFFICE IN FUND AND COMPLEX POSITION(S) LENGTH OF OVERSEEN HELD WITH TIME PRINCIPAL OCCUPATION(S) BY OTHER DIRECTORSHIPS NAME ADDRESS, AND AGE TRUSTS SERVED(1) DURING PAST FIVE YEARS TRUSTEE(2) HELD BY TRUSTEE ----------------------- ----------- ---------- ------------------------------------ ---------- --------------------------- TRUSTEES (CONTINUED) -------- George J. Sullivan, Jr. Trustee since 1996 Self-Employed Consultant, Newfound 80 Trustee of The Advisors' One Freedom Consultants Inc. since April 1997. Inner Circle Fund, The Valley Drive Advisors' Inner Circle Oaks, PA 19456 Fund II, Bishop Street 65 yrs. old Funds, State Street Navigator Securities Lending Trust, SEI Opportunity Fund, L.P.,and SEI Structured Credit Fund, L.P. Rosemarie B. Greco Trustee since 1999 Director, Governor's Office of 80 Director, Sonoco, Inc.; One Freedom Health Care Reform, Commonwealth of Director, Exelon Valley Drive Pennsylvania since 2003. Founder and Corporation; Trustee, Oaks, PA 19456 Principal, Grecoventures Ltd. from Pennsylvania Real 62 yrs. old 1999 to 2002. Estate Investment Trust. Nina Lesavoy Trustee since 2003 Founder and Managing Director, Avec 80 Director of SEI One Freedom Capital since 2008, Managing Opportunity Fund, L.P., Valley Drive, Director, Cue Capital from March and SEI Structured Credit Oaks, PA 19456 2002-March 2008. Fund, L.P. 51 yrs. old James M. Williams Trustee since 2004 Vice President and Chief Investment 80 Trustee/Director of Ariel One Freedom Officer, J. Paul Getty Trust, Mutual Funds, SEI Valley Drive, Non-Profit Foundation for Visual Opportunity Fund, L.P., Oaks, PA 19456 Arts, since December 2002. and SEI Structured Credit 60 yrs. old President, Harbor Capital Advisors Fund, L.P. and Harbor Mutual Funds, 2000-2002. Mitchell A. Johnson Trustee since 2007 Private Investor since 1994. 80 Trustee of the Advisors' One Freedom Inner Circle Fund, The Valley Drive, Advisor's Inner Circle Oaks, PA 19456 Fund II, and Bishop Street 66 yrs. old Funds. Hubert L. Harris, Jr. Trustee since 2008 Retired since December 2005. Chief 80 Director of Colonial One Freedom Executive Officer and Chair of the BancGroup, Inc. and Chair Valley Drive, Board of Directors, AMVESCAP of the Board of Trustees, Oaks, PA 19456 Retirement, Inc., 1997-December Georgia Tech Foundation, 65 yrs. old 2005. Chief Executive Officer, Inc. (nonprofit INVESCO North America, September corporation). 2003-December 2005. OFFICERS -------- Robert A. Nesher President since 2005 Currently performs various services N/A N/A One Freedom & CEO on behalf of SEI for which Mr. Valley Drive, Nesher is compensated. Oaks, PA 19456 61 yrs. old Stephen F. Panner Controller since 2005 Fund Accounting Director of the N/A N/A One Freedom and Chief Administrator since 2005. Fund Valley Drive, Financial Administration Manager, Old Mutual Oaks, PA 19456 Officer Fund Services, 2000-2005. Chief 38 yrs. old Financial Officer, Controller and Treasurer, PBHG Funds and PBHG Insurance Series Fund, 2004-2005. Assistant Treasurer, PBHG Funds and PBHG Insurance Series Fund, 2000-2004. Assistant Treasurer, Old Mutual Advisors Fund, 2004-2005.
(1) EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR, OR UNTIL HE OR SHE SOONER DIES, RESIGNS OR IS REMOVED IN ACCORDANCE WITH THE TRUST'S DECLARATION OF TRUST. (2) THE FUND COMPLEX INCLUDES THE FOLLOWING TRUSTS: SEI ASSET ALLOCATION TRUST, SEI DAILY INCOME TRUST, SEIINSTITUTIONAL INVESTMENTS TRUST, SEI INSTITUTIONAL INTERNATIONAL TRUST, SEI INSTITUTIONAL MANAGED TRUST, SEI LIQUID ASSET TRUST, SEI TAX EXEMPT TRUST AND SEI ALPHA STRATEGY PORTFOLIOS, L.P. 244 SEI Institutional Investments Trust / Annual Report / May 31, 2008
NUMBER OF TERM OF PORTFOLIOS OFFICE IN FUND AND COMPLEX POSITION(S) LENGTH OF OVERSEEN HELD WITH TIME PRINCIPAL OCCUPATION(S) BY OTHER DIRECTORSHIPS NAME ADDRESS, AND AGE TRUSTS SERVED(1) DURING PAST FIVE YEARS TRUSTEE(2) HELD BY TRUSTEE ----------------------- ----------- ---------- ------------------------------------ ---------- --------------------------- OFFICERS (CONTINUED) -------- Russell Emery Chief since 2006 Chief Compliance Officer of SEI N/A N/A One Freedom Compliance Opportunity Fund, L.P., SEI Valley Drive Officer Structured Credit Fund, L.P., SEI Oaks, PA 19456 Institutional Managed Trust, 45 yrs. old SEIAsset Allocation Trust, SEI Institutional International Trust, SEI Liquid Asset Trust, SEI Daily Income Trust, SEI Tax Exempt Trust, SEI Institutional Investments Trust, SEI Alpha Strategy Portfolios, LP, The Advisors' Inner Circle Fund, The Advisors' Inner Circle Fund II, and Bishop Street Funds, since March 2006. Director of Investment Product Management and Development of SIMC, February 2003-March 2006. Senior Investment Analyst--Equity Team of SEI, March 2000-February 2003. Timothy D. Barto Vice since 2002 General Counsel, Vice President and N/A N/A One Freedom President Secretary of SIMC and the Valley Drive and Administrator since 2004. Vice Oaks, PA 19456 Secretary President and Assistant Secretary of 40 yrs. old SEI since 2001. Vice President of SIMC and the Administrator since 1999. Assistant Secretary of SIMC, the Administrator and the Distributor and Vice President of the Distributor, 1999-2003. James Ndiaye Vice since 2005 Vice President and Assistant N/A N/A One Freedom President Secretary of SIMC since 2005. Vice Valley Drive and President, Deutsche Asset Management Oaks, PA 19456 Assistant (2003-2004). Associate, Morgan, 39 yrs. old Secretary Lewis & Bockius LLP (2000-2003). Michael T. Pang Vice since 2005 Vice President and Assistant N/A N/A One Freedom President Secretary of SIMC since 2005. Valley Drive and Counsel, Caledonian Bank & Trust's Oaks, PA 19456 Assistant Mutual Funds Group (2004). Counsel, 36 yrs. old Secretary Permal Asset Management (2001-2004). Aaron Buser Vice since 2008 Vice President and Assistant N/A N/A One Freedom President Secretary of SIMC since 2007. Valley Drive and Associate at Stark & Stark Oaks, PA 19456 Assistant (2004-2007). Associate at 37 yrs. old Secretary Flaster/Greenberg, P.C. (2000-2004).
SEI Institutional Investments Trust / Annual Report / May 31, 2008 245 Trustees and Officers of the Trust (Unaudited) (Concluded)
NUMBER OF TERM OF PORTFOLIOS OFFICE IN FUND AND COMPLEX POSITION(S) LENGTH OF OVERSEEN HELD WITH TIME PRINCIPAL OCCUPATION(S) BY OTHER DIRECTORSHIPS NAME ADDRESS, AND AGE TRUSTS SERVED(1) DURING PAST FIVE YEARS TRUSTEE(2) HELD BY TRUSTEE ----------------------- ----------- ---------- ------------------------------------ ---------- --------------------------- OFFICERS (CONTINUED) -------- John J. McCue Vice since 2004 Director of Portfolio N/A N/A One Freedom President Implementations for SIMC since 1995. Valley Drive Managing Director of Money Market Oaks, PA 19456 Investments for SIMC since 2003. 45 yrs. old Andrew S. Decker Anti-Money since 2008 Compliance Officer and Product N/A N/A One Freedom Laundering Manager, SEI 2005-2008. Vice Valley Drive Compliance President, Old Mutual Capital, Oaks, PA 19456 Officer 2000-2005. 44 yrs. old
(1) EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR, OR UNTIL HE OR SHE SOONER DIES, RESIGNS OR IS REMOVED IN ACCORDANCE WITH THE TRUST'S DECLARATION OF TRUST. (2) THE FUND COMPLEX INCLUDES THE FOLLOWING TRUSTS: SEI ASSET ALLOCATION TRUST, SEI DAILY INCOME TRUST, SEIINSTITUTIONAL INVESTMENTS TRUST, SEI INSTITUTIONAL INTERNATIONAL TRUST, SEI INSTITUTIONAL MANAGED TRUST, SEI LIQUID ASSET TRUST, SEI TAX EXEMPT TRUST AND SEI ALPHA STRATEGY PORTFOLIOS, L.P. 246 SEI Institutional Investments Trust / Annual Report / May 31, 2008 Disclosure of Fund Expenses (Unaudited) MAY 31, 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 / Annual Report / May 31, 2008 247 Disclosure of Fund Expenses (Unaudited) (Concluded) MAY 31, 2008
BEGINNING ENDING EXPENSE ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 12/1/07 5/31/08 RATIOS PERIOD* --------- --------- ---------- ------- LARGE CAP FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $ 955.70 0.26% $1.27 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,023.70 0.26% $1.32 LARGE CAP DIVERSIFIED ALPHA FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $ 948.40 0.30% $1.46 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,023.50 0.30% $1.52 LARGE CAP DISCIPLINED EQUITY FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $ 946.90 0.18% $0.88 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,024.10 0.18% $0.91 LARGE CAP INDEX FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $ 962.20 0.06% $0.29 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,024.70 0.06% $0.30 SMALL CAP FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $ 959.90 0.52% $2.55 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,022.40 0.52% $2.63 SMALL/MID CAP EQUITY FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $ 971.10 0.48% $2.37 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,022.60 0.48% $2.43 INTERNATIONAL EQUITY FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $ 950.20 0.39% $1.90 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,023.05 0.39% $1.97 WORLD EQUITY EX-US FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $ 961.50 0.55% $2.70 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,022.25 0.55% $2.78 ENHANCED LIBOR OPPORTUNITIES FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $ 973.90 0.41% $2.02 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,022.95 0.41% $2.07 CORE FIXED INCOME FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $1,002.20 0.14% $0.70 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,024.30 0.14% $0.71 HIGH YIELD BOND FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $1,006.70 0.35% $1.76 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,023.25 0.35% $1.77
BEGINNING ENDING EXPENSE ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 12/1/07 5/31/08 RATIOS PERIOD* --------- --------- ---------- ------- LONG DURATION FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $ 900.00 0.20% $0.95 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,024.00 0.20% $1.01 EXTENDED DURATION FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $ 938.50 0.20% $0.97 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,024.00 0.20% $1.01 EMERGING MARKETS DEBT FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $1,021.40 0.55% $2.78 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,022.25 0.55% $2.78 REAL RETURN PLUS FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $1,037.40 0.42% $2.14 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,022.90 0.42% $2.12
* Expenses are equal to the Fund's annualized expense ratio multiplied by the average account value over the period, multiplied by 183/366 (to reflect one-half year period shown). 248 SEI Institutional Investments Trust / Annual Report / May 31, 2008 Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited) MAY 31, 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 December 5-6, 2007 and March 12, 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 / Annual Report / May 31, 2008 249 Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements (Concluded) (Unaudited) MAY 31, 2008 - 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. 250 SEI Institutional Investments Trust / Annual Report / May 31, 2008 Notice to Shareholders (Unaudited) For shareholders who do not have a May 31, 2008, taxable year end, this notice is for informational purposes only. For shareholders with a May 31, 2008, taxable year end, please consult your tax adviser as to the pertinence of this notice. For the fiscal year ended May 31, 2008, the Funds are designating long term and qualifying dividend income with regard to distributions paid during the year as follows:
(A) (B) LONG TERM ORDINARY CAPITAL GAINS INCOME TOTAL DISTRIBUTIONS DISTRIBUTIONS RETURN OF DISTRIBUTIONS (TAX BASIS) (TAX BASIS) CAPITAL (TAX BASIS) ------------- ------------- --------- ------------- Large Cap Fund 0% 100% 0% 100% Large Cap Diversified Alpha Fund 34% 66% 0% 100% Large Cap Disciplined Equity Fund 38% 62% 0% 100% Large Cap Index Fund 51% 49% 0% 100% Small Cap Fund 67% 30% 3% 100% Small/Mid Cap Equity Fund 49% 47% 4% 100% International Equity Fund(6) 46% 54% 0% 100% World Equity Ex-US Fund(7) 31% 68% 1% 100% Enhanced LIBOR Opportunities Fund 2% 98% 0% 100% Core Fixed Income Fund 0% 100% 0% 100% High Yield Bond Fund 1% 99% 0% 100% Long Duration Fund 0% 100% 0% 100% Extended Duration Fund 0% 100% 0% 100% Emerging Markets Debt Fund 4% 96% 0% 100% Real Return Plus Fund 11% 89% 0% 100%
(C) DIVIDENDS (D) QUALIFYING QUALIFYING FOR CORPORATE DIVIDEND INCOME (E) INTEREST SHORT-TERM DIVIDENDS REC. (15% TAX RATE U.S. GOVERNMENT RELATED CAPITAL DEDUCTION (1) FOR QDI) (2) INTEREST (3) DIVIDEND (4) GAIN (5) -------------- --------------- --------------- ------------ ---------- Large Cap Fund 100% 100% 1% 1% 0% Large Cap Diversified Alpha Fund 30% 37% 2% 2% 100% Large Cap Disciplined Equity Fund 42% 42% 0% 0% 100% Large Cap Index Fund 93% 93% 0% 0% 100% Small Cap Fund 30% 29% 0% 0% 100% Small/Mid Cap Equity Fund 34% 24% 0% 0% 100% International Equity Fund(6) 0% 15% 1% 8% 100% World Equity Ex-US Fund(7) 0% 28% 1% 14% 100% Enhanced LIBOR Opportunities Fund 0% 0% 0% 15% 100% Core Fixed Income Fund 0% 0% 13% 12% 100% High Yield Bond Fund 0% 0% 0% 10% 100% Long Duration Fund 0% 0% 2% 83% 100% Extended Duration Fund 0% 0% 3% 51% 100% Emerging Markets Debt Fund 0% 0% 1% 11% 100% Real Return Plus Fund 0% 0% 96% 86% 100%
(1) Qualifying dividends represent dividends which qualify for the corporate dividends received deduction. (2) The percentage in this column represents the amount of "Qualifying Dividend Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of 2003 and is reflected as a percentage of "Ordinary Income Distributions." It is the intention of each of the aforementioned funds to designate the maximum amount permitted by the law. The information reported herein may differ from the information and distributions taxable to the shareholders for the calendar year ending December 31, 2008. Complete information will be computed and reported in conjunction with your 2008 Form 1099-DIV. (3) "U.S. Government Interest" represents the amount of interest that was derived from direct U.S. Government obligations and distributed during the fiscal year. This amount is reflected as a percentage of total ordinary income distributions (the total of short term capital gain and net investment income distributions). Generally, interest from direct U.S. Government obligations is exempt from state income tax. However, for shareholders who are residents of California, Connecticut and New York, the statutory threshold requirements were not satisfied to permit exemption of these amounts from state income. (4) The percentage in this column represents the amount of "Interest Related Dividend" as created by the American Jobs Creation Act of 2004 and is reflected as a percentage of net investment income distributions that is exempt from U.S. withholding tax when paid to foreign investors. This provision of the IRC will be expiring for years beginning after January 1, 2008. (5) The percentage in this column represents the amount of "Short-Term Capital Gain" as created by the American Jobs Creation Act of 2004 and is reflected as a percentage of short-term capital gain distributions that is exempt from U.S. withholding tax when paid to foreign investors. This provision of the IRC will be expiring for years beginning after January 1, 2008. (6) The Fund intends to pass through a foreign tax credit to shareholders. For fiscal year ended 2008, the total amount of gross foreign source incomeis $49,394,397. The total amount of foreign tax to be paid is $1,016,813. Your allocable share of the gross foreign tax credit will be reported on Form 1099 DIV. (7) The Fund intends to pass through a foreign tax credit to shareholders. For fiscal year ended 2008, the total amount of foreign source income is $79,650,165. The total amount of foreign tax to be paid is $4,274,155. Your allocable share of the foreign tax credit will be reported on Form 1099 DIV. Items (A) and (B) are based on the percentage of each fund's total distribution. Items (C) and (D) are based on the percentage of ordinary income distributions of each fund. Item (E) is based on the percentage of gross income of each fund. Please consult your tax adviser for proper treatment of this information. This notification should be kept with your permanent tax records. SEI Institutional Investments Trust / Annual Report / May 31, 2008 251 Notes Notes Notes Notes Notes SEI INSTITUTIONAL INVESTMENTS TRUST ANNUAL REPORT MAY 31, 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 Sofia A. Rosala VICE PRESIDENT, ASSISTANT 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) SEI Investments Distribution Co. OAKS, PA 19456 1.800.DIAL.SEI (1.800.342.5734) SEI-F-140 (5/08) ITEM 2. CODE OF ETHICS. The registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, comptroller or principal accounting officer, and any person who performs a similar function. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. (a)(1) The registrant's board of trustees has determined that the registrant has at least one audit committee financial expert serving on the audit committee. (a) (2) The audit committee financial expert is George J. Sullivan, Jr. Mr. Sullivan is an independent as defined in Form N-CSR Item 3 (a) (2). ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Fees billed by KPMG LLP ("KPMG") related to the Trust. KPMG billed the Trust aggregate fees for services rendered to the Trust for the fiscal years 2008 and 2007 as follows:
------------------ ----------------------------------------------------- ----------------------------------------------------- FISCAL 2008 FISCAL 2007 ------------------ ----------------------------------------------------- ----------------------------------------------------- All fees and All fees and All other fees All fees and All fees and All other fees services to the services to and services to services to the services to and services to Trust that were service service Trust that were service service pre-approved affiliates that affiliates that pre-approved affiliates that affiliates that were pre- did not require were pre- did not require approved pre-approval approved pre-approval ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- (a) Audit $449,000 N/A $0 $383,500 N/A $0 Fees(1) ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- (b) Audit- $0 $0 $0 $0 $0 $0 Related Fees ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- (c) Tax $87,800 $0 $0 $0 $0 $0 Fees (Tax return review services) ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- (d) All $15,300 $226,000 $0 $0 $232,000 $0 Other Fees ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
Notes: (1) Audit fees include amounts related to the audit of the registrant's annual financial statements and services normally provided by the accountant in connection with statutory and regulatory filings. (e)(1) The Trust's Audit Committee has adopted and the Board of Trustees has ratified an Audit and Non-Audit Services Pre-Approval Policy (the "Policy"), which sets forth the procedures and the conditions pursuant to which services proposed to be performed by the independent auditor of the Funds may be pre-approved. The Policy provides that all requests or applications for proposed services to be provided by the independent auditor must be submitted to the Registrant's Chief Financial Officer ("CFO") and must include a detailed description of the services proposed to be rendered. The CFO will determine whether such services: (1) require specific pre-approval; (2) are included within the list of services that have received the general pre-approval of the Audit Committee pursuant to the Policy; or (3) have been previously pre-approved in connection with the independent auditor's annual engagement letter for the applicable year or otherwise. In any instance where services require pre-approval, the Audit Committee will consider whether such services are consistent with SEC's rules and whether the provision of such services would impair the auditor's independence. Requests or applications to provide services that require specific pre-approval by the Audit Committee will be submitted to the Audit Committee by the CFO. The Audit Committee will be informed by the CFO on a quarterly basis of all services rendered by the independent auditor. The Audit Committee has delegated specific pre-approval authority to either the Audit Committee Chair or financial expert, provided that the estimated fee for any such proposed pre-approved service does not exceed $100,000 and any pre-approval decisions are reported to the Audit Committee at its next regularly scheduled meeting. Services that have received the general pre-approval of the Audit Committee are identified and described in the Policy. In addition, the Policy sets forth a maximum fee per engagement with respect to each identified service that has received general pre-approval. All services to be provided by the independent auditor shall be provided pursuant to a signed written engagement letter with the Registrant, the investment advisor or applicable control affiliate (except that matters as to which an engagement letter would be impractical because of timing issues or because the matter is small may not be the subject of an engagement letter) that sets forth both the services to be provided by the independent auditor and the total fees to be paid to the independent auditor for those services. In addition, the Audit Committee has determined to take additional measures on an annual basis to meet its responsibility to oversee the work of the independent auditor and to assure the auditor's independence from the Registrant, such as reviewing a formal written statement from the independent auditor delineating all relationships between the independent auditor and the Registrant, and discussing with the independent auditor its methods and procedures for ensuring independence. (e)(2) Percentage of fees billed applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows: ---------------------------- ----------------- ---------------- FISCAL 2008 FISCAL 2007 ---------------------------- ----------------- ---------------- Audit-Related Fees 0% 0% ---------------------------- ----------------- ---------------- Tax Fees 0% 0% ---------------------------- ----------------- ---------------- All Other Fees 0% 0% ---------------------------- ----------------- ---------------- (f) Not Applicable. (g) The aggregate non-audit fees and services billed by KPMG for the fiscal years 2008 and 2007 were $241,300 and $232,000, respectively. Non-audit fees consist of SAS No. 70 review of fund accounting and administration operations, attestation report in accordance with Rule 17Ad-13, agreed upon procedures report over certain internal controls related to compliance with federal securities laws and regulations and tax consulting services for various service affiliates of the registrant. (h) During the past fiscal year, Registrant's principal accountant provided certain non-audit services to Registrant's investment adviser or to entities controlling, controlled by, or under common control with Registrant's investment adviser that provide ongoing services to Registrant that were not subject to pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X. The audit committee of Registrant's Board of Trustees reviewed and considered these non-audit services provided by Registrant's principal accountant to Registrant's affiliates, including whether the provision of these non-audit services is compatible with maintaining the principal accountant's independence. . ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable. ITEM 6. SCHEDULE OF INVESTMENTS Not applicable. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES Not applicable. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. The Trust has a standing Nominating Committee (the "Committee") currently consisting of the Independent Trustees. The Committee is responsible for evaluating and recommending nominees for election to the Trust's Board of Trustees (the "Board"). Pursuant to the Committee's Charter, adopted on June 18th 2004, the Committee will review all shareholder recommendations for nominations to fill vacancies on the Board if such recommendations are submitted in writing and addressed to the Committee at the Trust's office. ITEM 11. CONTROLS AND PROCEDURES. (a) The certifying officers, whose certifications are included herewith, have evaluated the registrant's disclosure controls and procedures within 90 days of the filing date of this report. Based on their evaluation, the certifying officers have concluded that the registrant's disclosure controls and procedures are adequately designed, and are operating effectively to ensure, that information required to be disclosed by the registrant in the reports it files or submits under the Securities Exchange Act of 1934 is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms. (b) There were no significant changes in the registrant's internal control over financial reporting that occurred during the registrant's last fiscal half-year that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEMS 12. EXHIBITS. (a)(1) Code of Ethics attached hereto. (a)(2) A separate certification for the principal executive officer and the principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed herewith. (b) Officer certifications as required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing as an Exhibit. -------------------------------------------------------------------------------- SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) SEI Institutional Investments Trust By (Signature and Title) /s/ Robert A. Nesher -------------------- Robert A. Nesher President & CEO Date: August 8, 2008 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title) /s/ Robert A. Nesher -------------------- Robert A. Nesher President & CEO Date: August 8, 2008 By (Signature and Title) /s/ Stephen F. Panner --------------------- Stephen F. Panner Controller & CFO Date: August 8, 2008