N-CSR

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)

Timothy D. Barto, Esq.

SEI Investments

One Freedom Valley Drive

Oaks, PA 19456

(Name and address of agent for service)

Registrant’s telephone number, including area code: 1-610-676-1000

Date of fiscal year end: May 31, 2020

Date of reporting period: May 31, 2020

Item 1. Reports to Stockholders.

SEI Institutional Investments Trust

	Large Cap Fund
	Large Cap Disciplined Equity Fund
	Large Cap Index Fund
	S&P 500 Index Fund
	Extended Market Index Fund
	Small Cap Fund
	Small Cap II Fund
	Small/Mid Cap Equity Fund
	U.S. Equity Factor Allocation Fund
	U.S. Managed Volatility Fund
	Global Managed Volatility Fund
	World Equity Ex-US Fund
	Screened World Equity Ex-US Fund
	World Select Equity Fund

	Emerging Markets Equity Fund
	Opportunistic Income Fund
	Core Fixed Income Fund
	High Yield Bond Fund
	Long Duration Fund
	Long Duration Credit Fund
	Ultra Short Duration Bond Fund
	Emerging Markets Debt Fund
	Real Return Fund
	Limited Duration Bond Fund
	Intermediate Duration Credit Fund
	Dynamic Asset Allocation Fund
	Multi-Asset Real Return Fund

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from the Funds or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Funds electronically by contacting your financial intermediary.

You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can follow the instructions included with this disclosure, if applicable, or you can contact your financial intermediary to inform it that you wish to continue receiving paper copies of your shareholder reports. If you invest directly with the Funds, you can inform the Funds that you wish to continue receiving paper copies of your shareholder reports by calling 1-800-DIAL-SEI. Your election to receive reports in paper will apply to all funds held with the SEI Funds or your financial intermediary.

TABLE OF CONTENTS

Letter to Shareholders	1
Management’s Discussion and Analysis of Fund Performance	6
Summary Schedules of Investments/Schedules of Investments/Consolidated Summary Schedule of Investments/Consolidated Schedule of Investments	57
Statements of Assets and Liabilities/Consolidated Statements of Assets and Liabilities	366
Statements of Operations/Consolidated Statements of Operations	372
Statements of Changes in Net Assets/Consolidated Statements of Changes in Net Assets	378
Consolidated Statement of Cash Flows	386
Financial Highlights/Consolidated Financial Highlights	387
Notes to Financial Statements/Consolidated Notes to Financial Statements	392
Report of Independent Registered Public Accounting Firm	433
Trustees and Officers of the Trust	434
Disclosure of Fund Expenses	437
Review of Liquidity Risk Management Program	439
Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements	440
Notice to Shareholders	443

The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-PORT. The Trust’s Forms N-PORT are available on the Commission’s website at http://www.sec.gov.

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.

LETTER TO SHAREHOLDERS

May 31, 2020 (Unaudited)

To Our Shareholders:

U.S. equity indexes hit all-time highs in February before concerns about the international spread of a novel coronavirus (COVID-19) began to dominate financial markets. By the end of March, most equity indexes had fallen into bear-market territory; plans to reopen economic activity and developments in the race for COVID-19 treatments encouraged investors in April and May as global financial markets rallied sharply amid renewed “risk-on” sentiment. The signing of a “phase-one” trade deal between the U.S. and China, the U.K.’s official divorce from the EU, and central-bank easing also weighed on investor expectations at different points through the fiscal year ended May 31, 2020.

The Federal Reserve (Fed) cut interest rates three times prior to March. The Fed’s accommodative turn in monetary policy midway through the reporting period included an early conclusion in August to its balance-sheet reduction program that came amid below-target inflation and uncertainty about trade developments. Two off-cycle moves in the final month brought the federal-funds rate to near zero and were designed to bolster the economy in response to the economic threat posed by the coronavirus outbreak; the emergency actions were the first since the global financial crisis. Additionally, the Fed committed to purchasing unlimited amounts of Treasurys and established or renewed multiple facilities designed to support the economy.

The European Central Bank (ECB) sought to provide fresh stimulus following its mid-September meeting by reducing its deposit rate from -0.40% to a record low of -0.50%—and adopting a new system to offset possible consequent bank-reserve losses. Christine Lagarde succeeded Mario Draghi as ECB President in November. The ECB announced a new quantitative easing (QE) package in March—the Pandemic Emergency Purchase Programme—amounting to €750 billion, which should bring total QE-related asset purchases to more than €1.1 trillion in 2020.

The Japanese yen, typically viewed as a safe-haven asset in “risk-off” environments, finished the period 1.5% higher against the U.S. dollar, while the Bank of Japan held monetary policy stable. The Chinese yuan finished the fiscal year down 3.3% against the U.S. dollar as trade-related tensions initially drove the exchange rate to an 11-year low in September. The currency rebounded some after confidence grew that a limited U.S.-China trade agreement would be reached; however, it faltered again as COVID-19 worries grew over the final few months of the period.

West Texas Intermediate crude-oil prices gained more than 18% over the first half of the fiscal year. From January onward, the commodity became a victim of an oil-production impasse between Saudi Arabia and Russia and travel restrictions that sapped usage due to the coronavirus pandemic. Between the high toward the end of 2019 and the April lows, crude-oil prices fell over 80%. Record supply cuts and a pickup in global fuel demand toward the end of the reporting period helped drive a partial price recovery, and oil finished down about 33% for the 12-month period.

Geopolitical Events

Market volatility accelerated in the first quarter of 2020 following concerns about COVID-19 and its eventual economic effect: A deadly strain originated in Wuhan, China, and began spreading at an exponential pace. As the outbreak spread to other countries, governments issued stay-at-home orders, and public health leaders preached “social distancing” in order to “flatten the curve” (that is, slow the rate of transmission in order to provide health systems time to manage the viral outbreak). Beyond the threat to public health, the outbreak and resulting containment measures evoked concerns about the potential halt to global economic activity. April saw the official infection rate more than triple to over three-million cases worldwide, while in the U.S., the total recorded number of COVID-19-related deaths surpassed 100,000 in late May—out of about 350,000 total worldwide. Nevertheless, stocks advanced globally almost without exception over the last two months of the period as forward-looking investors attempted to spot sources of encouragement.

The United States-Mexico-Canada trade agreement was ratified by all three countries in December, officially replacing the North American Free Trade Agreement. President Trump and France’s President Emmanuel Macron successfully walked back threats of tariffs that originated with French plans for a digital tax that would have targeted US-based multi-national technology companies. The prospect of a digital tax re-surfaced in other countries—including the U.K., Italy, Austria and Turkey—which prompted more threats of retailiatory tariffs by Treasury Secretary Steven Mnuchin. Sajid Javid, the UK’s former Chancellor of the Exchequer, disappointed Secretary Mnuchin by explaining during a joint interview in late January at the World Economic Forum that the U.K. would prioritize trade negotiations with the EU over a deal with the U.S.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 1

LETTER TO SHAREHOLDERS (Continued)

May 31, 2020 (Unaudited)

China and the U.S. formalized a “phase one” trade deal in mid-January that offered tariff relief to China (via the reduction of existing tariffs and the delay of additional scheduled tariffs). In exchange, China committed to purchasing $200 billion in U.S. products over a two-year period; addressing its long-standing practice of forcing the transfer of intellectual property and technology to Chinese counterparts in exchange for access to the Chinese market; and promising to continue opening its financial-services industry to foreign investors. The tense U.S.-China relationship was stressed in May by a U.S. push for more transparency in the ownership of U.S.-listed Chinese companies and the U.S. government’s barring of certain Chinese holdings from its retirement plans.

President Trump’s impeachment trial ended with an acquittal by the U.S. Senate in February—even as the U.S. media surfaced corroborating first-hand accounts of President Trump directing underlying events central to the articles of impeachment. The Democratic presidential primary process neared completion with Joe Biden, considered to represent the more moderate wing of the Democratic Party, as the likely nominee.

Boris Johnson succeeded Theresa May as prime minister in the U.K. early in the fiscal year but faced sharp resistance from the outset of his tenure; however, the UK’s Conservative Party consolidated its power in a mid-December election—winning a majority of seats in the House of Commons and gaining approval for Prime Minister Boris Johnson’s EU departure deal. The country officially left the EU at the end of January 2020, giving way to an 11-month transition period to negotiate terms of the future U.K.-EU relationship. Johnson emerged from his personal battle with COVID-19 in April, having been hospitalized in intensive care and temporarily deputizing Foreign Secretary Dominic Raab to fulfil his role while incapacitated.

Elsewhere, after months of demonstrations, protesters in Hong Kong saw some success when a proposed law that would have allowed for extradition to mainland China was withdrawn. Protests continued, however, amid a reported increase in China’s police presence and undercover activity, although coronavirus concerns put an end to most large-scale demonstrations. The National People’s Congress in China later approved a resolution to impose new national-security laws on Hong Kong, marking a significant dilution of the “one country, two systems” governance ethos that has defined the relationship since the U.K.’s handoff of Hong Kong to China in 1997.

Economic Performance

The U.S. economy grew by a seasonally-adjusted annualized 2.0% in the second quarter of 2019 as a decline in exports and inventory builds countered robust consumer spending. The third quarter saw a slight increase in annualized growth at 2.1%, as the robust U.S. labor market helped to support the moderate pace of activity, allowing the 10-year expansion to continue despite decelerating global trends. Economic growth again registered 2.1% in the fourth quarter, driven by an increase in net trade but weakened by a sharp slowdown in consumer spending. The second estimate for gross domestic product (GDP) in the first quarter of 2020 saw a decline of 5.0%, the largest decline since the global financial crisis. The abrupt halt to the 10-year economic expansion came amid mandated lockdowns throughout most of the country.

The U.S. unemployment rate touched a 50-year low of 3.5% during the fiscal year before jumping in the final reading to 13.3%; the number of Americans filing for initial unemployment benefits hit record numbers as many non-essential businesses were forced to close in the wake of the pandemic. The labor-force participation rate ended at 60.8%, down from a year earlier. Average hourly earnings gained 6.7% over the year, as the increase in unemployment tended to hit lower-wage workers hardest.

Broad economic growth in the eurozone slowed to its weakest pace since records began in 1995 during the first quarter of 2020; the 14.4% annualized decline far exceeded that in the U.S. as measures imposed to limit the spread of COVID-19 reflected the closing of everything from restaurants to factories. The magnitude and speed of the contraction solidified the case for continued accommodative policy by the ECB for some time.

The Bank of England’s Monetary Policy Committee cut the Bank Rate to 0.1%, the lowest in the 325-year history of its lending rate. It also announced a £200 billion asset-purchase program, mostly of government bonds, to be conducted at a monthly pace that will eclipse previous rounds of QE. Additionally, it launched a so-called funding-for-lending scheme to spur banks to lend to small- and medium-sized enterprises as well as a commercial paper facility with no cap limit, both to be financed by central-bank reserves. The U.K. economy shrank 1.6% seasonally-adjusted at annual rates through the first quarter of 2020, its weakest level in over 10 years.

2 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Japanese GDP contracted 7.1% in seasonally-adjusted annualized terms in the fourth quarter of 2019 as the country’s sales tax hike weakened consumer and business spending; an additional 2.2% decline in the first quarter of 2020 confirmed that Japan had fallen into recession for the first time in over four years. The Bank of Japan expanded monetary stimulus as pandemic pain worsened late in the period. Meanwhile, GDP in China shrank by 6.8% year-on-year and seasonally-adjusted in the first quarter of 2020, its worst pace in several decades, as consumer spending, exports and fixed-asset investments all were affected by the lockdowns in January and early February.

Market Developments

The S&P 500 Index finished the fiscal year up 12.84%, despite falling over 30% from peak to trough in February and March. Prior to the coronavirus onset, investors enjoyed the continuation of the modest U.S. economic expansion, reasonably strong corporate profitability and accommodative Fed monetary policy. Over the full reporting period, mega-large-cap stocks, a narrow group of companies with unusually large weights in the broad equity index, outperformed, and growth companies in the information technology sector generally led. Although many value stocks underperformed, the utilities sector was an area of strength among traditional value industries. Commodity-sensitive stocks, particularly those within the energy sector, lagged.

U.S. large-cap stocks (Russell 1000 Index) finished the reporting period up 12.54%; small-cap stocks (Russell 2000 Index) were hit harder in the coronavirus-driven selloff toward the end of the year, as investors tended to avoid smaller companies with lesser financial strength, and finished the period down 3.44%.

Despite continued accommodative monetary policy from the ECB, European equities lagged, as fears over trade wars and COVID-19 grew. The MSCI Europe Index (Net) fell 4.41% in U.S. dollar terms and was 4.45% lower in euros; the euro finished down 0.24% versus the U.S. dollar for the period. The MSCI ACWI Index (Net), a proxy for global equities in both developed and emerging markets, climbed 5.43% in U.S. dollar terms.

The FTSE UK Series All-Share Index was hit hard in the second half of the year; the index lost 12.86% in U.S. dollar terms over the full reporting period, while it fell 11.16% in sterling.

Emerging-market equities were down. The MSCI Emerging Markets Index (Net) gave up all of its fiscal-year-to-date gains over the final three months to finish the reporting period down 4.39% in U.S. dollar terms. U.S.-China trade news generally drove performance for the first six months; however, a mid-period rally after the U.S. and China agreed to a “phase-one” trade deal was wiped out after COVID-19 concerns accelerated before the end of the fiscal year.

Global government bonds outperformed global high-yield bonds as the rapid worldwide escalation of COVID-19 at the end of the period hit the bond market’s most economically sensitive sectors the hardest.

A continuing theme for U.S. fixed-income markets was the inverted yield curve. In August, the spread between 2-year and 5-year Treasurys yields inverted, as did the spread between 3-year and 5-year Treasurys. Notably, the spread between 3-month and 10-year rates inverted for only the second time in about 12 years at the start of the reporting period, a signal of impending recession to some market watchers. The differential reverted in October, turned negative again for a short time in February, and then stayed in positive territory from March onward.

Yields for 10-year U.S. government bonds ended the period down 149 basis points at 0.65%, after hitting an all-time low of 0.54% in March as investors rushed to “safe-haven” securities; 2-year yields declined during the fiscal year to finish down 179 basis points at 0.16%.

Inflation-sensitive assets, such as commodities and Treasury inflation-protected securities, were mixed. The Bloomberg Commodity Total Return Index (which represents the broad commodity market) finished down 17.06% over the full one-year period, after an oil-production impasse between Saudi Arabia and Russia created a downdraft in the oil market around the same time that demand contracted due to the coronavirus pandemic; the Bloomberg Barclays 1-10 Year US TIPS Index (USD) moved 5.67% higher during the reporting period.

The U.S. high-yield market, as measured by the ICE BofA US High Yield Constrained Index, was up 0.30% during the reporting period, while global fixed income, as measured by the Bloomberg Barclays Global Aggregate Index, did better and climbed 5.59%.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 3

LETTER TO SHAREHOLDERS (Concluded)

May 31, 2020 (Unaudited)

U.S. investment-grade corporate debt was higher; the Bloomberg Barclays US Corporate Investment Grade Index returned 10.03% as investors remained eager to buy higher-yielding securities. U.S. asset- and mortgage-backed securities also managed to rise during the fiscal year, benefiting from supply-and-demand dynamics and continued improvement in collateral.

Despite coronavirus concerns and the steep drop in global oil prices, which led to a declining outlook for economic growth in the region, the J.P. Morgan Global Bond Index-Emerging Markets (GBI-EM) Global Diversified Index, which tracks local-currency-denominated EM bonds, edged 2.05% higher in U.S. dollar terms. The J.P. Morgan Emerging Markets Bond Index (EMBI) Global Diversified Index, which tracks EMD denominated in external currencies (such as the U.S. dollar), eked out a 0.38% gain for the fiscal year.

Our View

Black swans, once largely presumed a myth because only the white variety was ever observed in nature, have become symbols of events that are exceptionally rare in occurrence and severe in impact. Today we are confronted with a black swan that landed earlier this year in the form of a pandemic.

The sudden and widespread stop in economic activity by government fiat is something that has never before been experienced on such a scale. The ultimate impact on GDP is truly anybody’s guess. The first quarter of 2020 saw an annualized decline of 5% in the U.S. The second quarter will likely be one for the record books; as of late May, Wall Street economists forecasted a quarter-to-quarter annualized decline exceeding 30%.

National governments have been quick to respond. All central banks are in crisis-fighting mode, having learned valuable lessons during the 2008-to-2009 great financial crisis, re-establishing unconventional bond-buying programs and creating some new facilities to expand the types of accepted collateral in order to extend cash to companies in need of liquid assets.

The Fed and other leading central banks have moved with an alacrity and forcefulness that we find commendable. But central banks cannot single-handedly support this economic shutdown. In our view, fiscal policy—in the form of direct income support, tax deferrals, loan guarantees, and outright bailouts of industries badly damaged by the halt of economic activity—must be the prime tool used to address this crisis.

The fiscal response is occurring with a speed and decisiveness seldom seen in history. The Congress passed a series of COVID-19 relief bills that easily topped 10% of GDP. Other developed countries have pursued a similar strategy of massive income support and liquidity injections. Italy, the European epicenter of the virus, will be particularly hard-pressed to do all that is necessary to stabilize its economy; its government debt-to-GDP ratio is already well above that of other major European countries.

In our view, a financial crisis can be averted in Europe if the ECB backs up the debt. This is now-or-never time for the EU and eurozone. The stronger countries must come to the aid of the weaker, or else face an intensified popular backlash that could threaten the unity of the economic zone.

The onslaught of developments presented by the spread of COVID-19 has forced financial markets to recalibrate prices sharply as expectations about different industries and the overall economy shift quickly. Investors should gain some reassurance, however, from the fact that an earnings recession caused by virus-containment measures is generally only expected to last a couple quarters or so. If market prices are based on a long-term, multi-year expectation, then this fallout should represent a relatively small part of the market’s forward-looking focus.

We are grateful that the chaotic trading in March has eased considerably, thanks to liquidity provided by central banks and fiscal packages offered by governments around the world. Only time will tell whether markets have sufficiently discounted the pain that lies ahead. We have to be cognizant of the fact that earnings estimates will likely come down hard over the next two quarters. These waterfall declines in earnings could still drag equities down with them. It all depends on how willing investors are to look beyond the valley. Markets should prove resilient if there is a common belief that fiscal and monetary responses to the crisis thus far will successfully prop up the global economy.

Right now, as always, we are focused on trying to deliver as diversified a portfolio as possible to all of our investors, regardless of their risk tolerances. We’re considering the known risks inherent to the capital markets as well as the uncertainty that comes with any long-term investing plan, such as the black swan we’ve encountered in 2020.

4 SEI Institutional Investments Trust / Annual Report / May 31, 2020

At SEI, we build and maintain long-term-oriented funds by being attuned to evolving correlations, or relationships, between asset classes. We believe our funds are robust and built to handle the kinds of challenges presented in today’s environment.

At a portfolio level, we encourage investors to stay diversified and avoid short-term trading in

these volatile markets. If you are a goals-based investor—and your portfolio is aligned with your goals, time horizon and risk tolerance—be patient. Time should be on your side.

You’re seeing a real-life, albeit metaphorical, black swan. Use this experience to become a better, more informed investor. We will continue to monitor economic and financial-market developments and provide our insight to help you achieve that goal.

On behalf of SEI, I want to thank you for your continued confidence. We are working every day to maintain that trust, and we look forward to serving your investment needs in the future.

Sincerely,

William Lawrence, CFA

Head and Chief Investment Officer of Traditional Asset Management

SEI Institutional Investments Trust / Annual Report / May 31, 2020 5

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

May 31, 2020 (Unaudited)

Large Cap Fund

I. Objective

The Large Cap Fund (the “Fund”) seeks long-term growth of capital and income.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisors as of May 31, 2020: AJO, LP (“AJO”), Coho Partners, Ltd. (“Coho”), Fred Alger Management, Inc. (“Alger”), LSV Asset Management (“LSV”), Mar Vista Investment Partners, LLC (“Mar Vista”), and Schafer Cullen Capital Management, Inc. (“Schafer Cullen”). There were no sub-advisor changes during the fiscal period.

III. Return vs. Benchmark

For the one year ending May 31, 2020, the Fund’s Class A shares returned 5.78%. The Fund’s primary benchmark—the Russell 1000^® Index—returned 12.54%.

IV. Fund Attribution

The fiscal year produced positive returns for some larger components of the U.S. equity market, such as large-cap growth stocks with significant weights in market-capitalization-weighted indexes; other areas, such as small-capitalization and value stocks, produced negative returns for the year. The Democratic presidential primary process neared completion with Joe Biden, considered to represent the more moderate wing of the Democratic Party, as the likely nominee. As noted in the shareholder letter, the U.S. economy’s long economic expansion continued steadily for the first half of the fiscal year before a sudden halt in February/March as concerns surrounding the COVID-19 pandemic caused economic activity to stall. Dramatic short-term business impacts were felt by companies, particularly in the travel, restaurant and retail industries that were largely shut down. Oil prices and interest rates fell rapidly as the economy entered into recession. Fiscal stimulus was a mitigating factor and caused some eventual upward volatility in the market after stocks entered bear-market territory.

Information technology was the best-performing sector during the fiscal year. Some stocks within the sector benefited from the pandemic as their use surged in the stay-at-home environment. Although there was evidence of a negative impact to business for some companies

in the information technology sector, relatively high valuations persisted as investors favored the category. Healthcare also outperformed during the reporting period due to its tendency to be less vulnerable during a recession and also due to relief among some investors that proposals by progressive Democrats to implement Medicare for All were unlikely to prevail regardless of the election in November. Energy and financials were the worst-performing sectors for the fiscal year and had large weights in value indexes; these sector effects contributed to the negative returns of value managers in general. Losses in these sectors were substantial; for example, the energy sector declined by approximately 30%. Small- and mid-cap stocks lagged relative to the largest-capitalization stocks.

In this environment, the Fund underperformed relative to its benchmark due to the Fund’s value tilt and underweight to the information technology sector. Although an overweight to the healthcare sector was beneficial, an overweight to the financials sector detracted from results. Underweights to larger-capitalization stocks and overweights to smaller- and mid-cap stocks detracted.

LSV detracted due to its value exposure, an overweight to economically-sensitive stocks, and its overweight to smaller- and mid-cap stocks. Schafer Cullen also detracted due to its value orientation. AJO detracted from performance during the fiscal year and was challenged by its overweights to the real estate and industrials sectors.

Alger and Mar Vista outperformed the Fund benchmark due to an emphasis on companies with above-average growth rates and holdings within the information technology sector in particular, while Coho outperformed the Fund benchmark due to its healthcare overweight.

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized 10 Year Return		Annualized Inception to Date
Large Cap Fund, Class A		5.78%		7.28%		6.45%		11.41%		7.83%
Russell 1000® Index		12.54%		10.09%		9.58%		13.07%		8.69%

6 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Comparison of Change in the Value of a $100,000 Investment in the Large Cap Fund, Class A, versus the Russell 1000^® Index

¹ For the year ended May 31, 2020. 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 reimbursements, performance would have been lower.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 7

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

May 31, 2020 (Unaudited)

Large Cap Disciplined Equity Fund

I. Objective

The Large Cap Disciplined Equity Fund (the “Fund”) seeks capital appreciation.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisors as of May 31, 2020: AJO, L.P. (“AJO”), Ceredex Value Advisors LLC (“Ceredex”), Coho Partners, Ltd. (“Coho”), Mackenzie Investments Corporation (“Mackenzie”) and QMA LLC. During the fiscal period, AQR Capital Management, LLC (“AQR”), was removed from the Fund, while Mackenzie was added.

III. Return vs. Benchmark

For the one year ending May 31, 2020, the Fund’s Class A shares returned 7.23%. The Fund’s primary benchmark—the S&P 500 Index—returned 12.84%.

IV. Fund Attribution

The fiscal year produced positive returns for some larger components of the U.S. equity market, such as large-cap growth stocks with significant weights in market-capitalization-weighted indexes; other areas, such as small-capitalization and value stocks, produced negative returns for the year. The Democratic presidential primary process neared completion with Joe Biden, considered to represent the more moderate wing of the Democratic Party, as the likely nominee. As noted in the shareholder letter, the U.S. economy’s long economic expansion continued steadily for the first half of the fiscal year before a sudden halt in February/March as concerns surrounding the COVID-19 pandemic caused economic activity to stall. Dramatic short-term business impacts were felt by companies, particularly in the travel, restaurant and retail industries that were largely shut down. Oil prices and interest rates fell rapidly as the economy entered into recession. Fiscal stimulus was a mitigating factor and caused some eventual upward volatility in the market after stocks entered bear-market territory.

Information technology was the best-performing sector during the fiscal year. Some stocks within the sector benefited from the pandemic as their use surged in the stay-at-home environment. Although there was evidence of a negative impact to business for some companies in the information technology sector, relatively high

valuations persisted as investors favored the category. Healthcare also outperformed during the reporting period due to its tendency to be less vulnerable during a recession and also due to relief among some investors that proposals by progressive Democrats to implement Medicare for All were unlikely to prevail regardless of the election in November. Energy and financials were the worst-performing sectors for the fiscal year and had large weights in value indexes; these sector effects contributed to the negative returns of value managers in general. Losses in these sectors were substantial; for example, the energy sector declined by approximately 30%. Small- and mid-cap stocks lagged relative to the largest-capitalization stocks.

In this environment, the Fund underperformed relative to its benchmark due to the Fund’s value tilt and underweight to the information technology sector. Although an overweight to the healthcare sector was beneficial, an overweight to the financials sector detracted from results. Underweights to larger-capitalization stocks and overweights to smaller- and mid-cap stocks detracted.

Ceredex was the worst-performing manager in the Fund and faced headwinds to its value style. QMA lagged due to security selection in the consumer staples and information technology sectors. AQR was removed from the Fund in March and detracted due to negative security-selection effects, especially in the financials and industrials sectors. AJO detracted due to its overweight to and security selection within the real-estate sector. Coho was challenged due to its underweight of the information technology sector.

Mackenzie was added to the Fund in March and outperformed during its time in the Fund due to favorable security selection within the financials sector.

AVERAGE ANNUAL TOTAL RETURN1
	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized 10 Year Return		Annualized Inception to Date
Large Cap Disciplined Equity Fund, Class A		7.23%		6.38%		7.23%		11.79%		7.77%
S&P 500 Index		12.84%		10.23%		9.86%		13.15%		9.06%

Comparison of Change in the Value of a $100,000

8 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Investment in the Large Cap Disciplined Equity Fund, Class A, versus the S&P 500 Index

¹  For the year ended May 31, 2020. 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 reimbursements, performance would have been lower.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 9

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

May 31, 2020 (Unaudited)

Large Cap Index Fund

I. Objective

The Large Cap Index Fund (the “Fund”) seeks investment results that correspond to the aggregate price and dividend performance of the securities in the Russell 1000^® Index.

II. Multi-Manager Approach Statement

The Fund uses a sub-advisor to manage the Fund under the supervision of SEI Investments Management Corporation (“SIMC”). The sole sub-advisor as of May 31, 2020 was SSGA Funds Management, Inc. There were no sub-advisor changes during the fiscal period.

III. Return vs. Benchmark

For the fiscal year ended May 31, 2020, the Fund’s Class A shares returned 12.48%. The Fund’s benchmark—the Russell 1000^® Index—returned 12.54%.

IV. Fund Attribution

The fiscal year produced positive returns for some larger components of the U.S. equity market, such as large-cap growth stocks with significant weights in market-capitalization-weighted indexes; other areas, such as value stocks, produced negative returns for the year. The Democratic presidential primary process neared completion with Joe Biden, considered to represent the more moderate wing of the Democratic Party, as the likely nominee. As noted in the shareholder letter, the U.S. economy’s long economic expansion continued steadily for the first half of the fiscal year before a sudden halt in February/March as concerns surrounding the COVID-19 pandemic caused economic activity to stall. Dramatic short-term business impacts were felt by companies, particularly in the travel, restaurant and retail industries that were largely shut down. Oil prices and interest rates fell rapidly as the economy entered into recession. Fiscal stimulus was a mitigating factor and caused some eventual upward volatility in the market after stocks entered bear-market territory.

Information technology was the best-performing sector during the fiscal year. Some stocks within the sector benefited from the pandemic as their use surged in the stay-at-home environment. Although there was evidence of a negative impact to business for some companies in the information technology sector, relatively high valuations persisted as investors favored the category. Healthcare also outperformed during the reporting period due to its tendency to be less vulnerable during a recession and also due to relief among some investors that proposals by progressive Democrats to implement

Medicare for All were unlikely to prevail regardless of the election in November. Energy and financials were the worst-performing sectors for the fiscal year and had large weights in value indexes. Losses in these sectors were substantial; for example, the energy sector declined by approximately 30%.

With passive management, the Fund generally captured the broad performance of the U.S. large-cap equity market.

10 SEI Institutional Investments Trust / Annual Report / May 31, 2020

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized 10 Year Return		Annualized Inception to Date
Large Cap Index Fund, Class A		12.48%		10.04%		9.53%		13.04%		7.82%
Russell 1000® Index		12.54%		10.09%		9.58%		13.07%		8.69%

Comparison of Change in the Value of a $100,000 Investment in the Large Cap Index Fund, Class A, versus the Russell 1000^® Index

¹  For the year ended May 31, 2020. 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 reimbursements, performance would have been lower.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 11

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

May 31, 2020 (Unaudited)

S&P 500 Index Fund

I. Objective

The S&P 500 Index Fund (the “Fund”) seeks investment results that correspond to the aggregate price and dividend performance of the securities in the S&P 500 Index.

II. Multi-Manager Approach Statement

The Fund uses a sub-advisor to manage the Fund under the supervision of SEI Investments Management Corporation (SIMC). The sole sub-advisor as of May 31, 2020, was SSGA Funds Management, Inc. There were no sub-advisor changes during the fiscal period.

III. Return vs. Benchmark

For the one year ending May 31, 2020, the Fund’s Class A shares returned 12.77%. The Fund’s primary benchmark—the S&P 500 Index—returned 12.84%.

IV. Fund Attribution

The fiscal year produced positive returns for the larger components of the U.S. equity market, particularly large-cap growth stocks with significant weights in market-capitalization-weighted indexes. The Democratic presidential primary process neared completion with Joe Biden, considered to represent the more moderate wing of the Democratic Party, as the likely nominee. As noted in the shareholder letter, the U.S. economy’s long economic expansion continued steadily for the first half of the fiscal year before a sudden halt in February/ March as concerns surrounding the COVID-19 pandemic caused economic activity to stall. Dramatic short-term business impacts were felt by companies, particularly in the travel, restaurant and retail industries that were largely shut down. Oil prices and interest rates fell rapidly as the economy entered into recession. Fiscal stimulus was a mitigating factor and caused some eventual upward volatility in the market after stocks entered bear-market territory.

Information technology was the best-performing sector during the fiscal year. Some stocks within the sector benefited from the pandemic as their use surged in the stay-at-home environment. Although there was evidence of a negative impact to business for some companies in the information technology sector, relatively high valuations persisted as investors favored the category. Healthcare also outperformed during the reporting period due to its tendency to be less vulnerable during a recession and also due to relief among some investors that proposals by progressive Democrats to implement Medicare for All were unlikely to prevail regardless of

the election in November. Energy and financials were the worst-performing sectors for the fiscal year and had large weights in value indexes; these sector effects contributed to the negative returns of value managers in general. Losses in these sectors were substantial; for example, the energy sector declined by approximately 30%.

With passive management, the Fund generally captured the broad performance of the U.S. large-cap equity market.

12 SEI Institutional Investments Trust / Annual Report / May 31, 2020

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized Inception to Date
S&P 500 Index Fund, Class A		12.77%		10.20%		9.82%		10.59%
S&P 500 Index		12.84%		10.23%		9.86%		10.62%

Comparison of Change in the Value of a $100,000 Investment in the S&P 500 Index Fund, Class A, versus the S&P 500 Index

¹  For the year ended May 31, 2020. Past performance is not an indication of future performance. Class A shares were offered beginning 12/18/13. 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 reimbursements, performance would have been lower.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 13

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

May 31, 2020 (Unaudited)

Extended Market Index Fund

I. Objective

The Extended Market Index Fund (the “Fund”) seeks investment results that approximate, as closely as practicable and before expenses, the performance of the Russell Small Cap Completeness Index.

II. Multi-Manager Approach Statement

The Fund uses a sub-advisor to manage the Fund under the supervision of SEI Investments Management Corporation (“SIMC”). The sole sub-advisor as of May 31, 2020 was SSGA Funds Management, Inc. There were no sub-advisor changes during the fiscal period.

III. Return vs. Benchmark

For the one year ending May 31, 2020, the Fund’s Class A shares returned 3.88%. The Fund’s primary benchmark—the Russell Small Cap Completeness Index—returned 3.83%.

IV. Fund Attribution

The fiscal year ending May 31, 2020, was defined by extreme market movements in response to the global spread and fight against the novel coronavirus. Though the virus had been identified and was spreading from its point of origin—the Wuhan province in China—since the end of the 2019 calendar year, U.S. markets did not begin to react until the end of February 2020 when domestic cases began to rise quickly. From this point, the market decline was the most rapid in history, and the Russell Small Cap Completeness Index shed nearly 28% in the first quarter of 2020. Consumer discretionary stocks were among the hardest hit as shelter-in-place orders rolled out across most of the country. Hotels, restaurants, airlines and cruise lines in particular sold off dramatically as social distancing put the affected industries in peril.

The energy sector saw more than double the losses of the Russell Small Cap Completeness Index during the first quarter; oil prices cratered amid a price war initiated by Saudi Arabia and Russia. Oil had its worst single day of trading since the Gulf War in 1991, and for a brief period, futures contracts for the commodity turned negative as concerns surrounding storage capacity grew at the same time as global travel and commerce declined due to lockdown restrictions.

As noted in the shareholder letter, the Federal Reserve (“Fed”) responded to the turmoil by slashing its federal-funds rate target to a range of 0-0.25% over two emergency sessions in March; the central bank also instituted a trillion dollar repo program to shore up

liquidity. The Fed revealed a Commercial Paper Funding Facility to purchase corporate bonds, a measure last seen during the global financial crisis. Additionally, Congress passed the largest-ever stimulus package, which provided $2 trillion in funding to corporations, state and local governments, direct payments to American citizens, and healthcare providers. The first series of new jobless claims following the mandatory closures of many businesses across the U.S. topped 3 million, dwarfing all previous records, and subsequent reports were not materially better.

Certain defensive areas of the market outperformed, particularly utilities and staples, but so did healthcare. Investors turned to companies that began researching a potential vaccine as well as those that offered telehealth solutions to normal healthcare concerns.

Over the last two months of the reporting period, performance in these sectors largely inverted. Consumer discretionary surged as states began to roll back or end certain social distancing measures. Energy also bounced back in the final two months, while utilities and financials were the worst-performing sectors during the same time. Interestingly, from a factor perspective, there was little rotation in market leadership; expensive stocks that outperformed into the downturn also bounced hardest off the bottom. While more cyclically-oriented stocks surged in April, this was more in line with the risk-on environment as the virus outlook improved rather than a shift in sentiment toward valuation sensitivity. Larger-caps and growth outperformed over the entire period. The Russell 2000 Growth Index rose 7.32%, while the Russell 2000 Value Index fell 14.69%. For the entire 12 months, healthcare and technology were the best-performing sectors, while energy was the worst.

The Fund was passively managed and generally captured the broad performance of its benchmark index, the Russell Small Cap Completeness Index.

14 SEI Institutional Investments Trust / Annual Report / May 31, 2020

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized Inception to Date
Extended Market Index Fund, Class A		3.88%		6.01%		5.99%		9.58%
Russell Small Cap Completeness Index		3.83%		5.93%		5.93%		9.54%

Comparison of Change in the Value of a $100,000 Investment in the Extended Market Index Fund, Class A, versus the Russell Small Cap Completeness Index

1 For the year ended May 31, 2020. Past performance is no indication of future performance. Class A shares were offered beginning 2/28/13. 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, 2020 15

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

May 31, 2020 (Unaudited)

Small Cap Fund

I. Objective

The Small Cap Fund (the “Fund”) seeks capital appreciation.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisors as of May 31, 2020: Axiom International Investors, LLC (“Axiom”), EAM Investors, LLC (“EAM”), Falcon Point Capital, LLC (“Falcon Point”), Los Angeles Capital Management and Equity Research, Inc. (“LA Capital”), LSV Asset Management (“LSV”) and Martingale Asset Management, L.P. (“Martingale”). During the fiscal period, William Blair Investment Management, LLC (“William Blair”), was removed from the Fund, while LA Capital was added.

III. Return vs. Benchmark

For the one year ending May 31, 2020, the Fund’s Class A shares returned -7.04%. The Fund’s benchmark—the Russell 2000^® Index—returned -3.44%.

IV. Fund Attribution

The fiscal year ending May 31, 2020, was defined by extreme market movements in response to the global spread and fight against the novel coronavirus. Though the virus had been identified and was spreading from its point of origin—the Wuhan province in China—since the end of the 2019 calendar year, U.S. markets did not begin to react until the end of February 2020 when domestic cases began to rise quickly. From this point, the market decline was the most rapid in history, and the Russell 2000^® Index had its worst quarter of performance since inception, shedding nearly 32% in the first quarter of 2020. Consumer discretionary stocks were among the hardest hit as shelter-in-place orders rolled out across most of the country. Hotels, restaurants, airlines and cruise lines in particular sold off dramatically as social distancing put the affected industries in peril.

The energy sector saw more than double the losses of the Russell 2000^® Index during the first quarter; oil prices cratered amid a price war initiated by Saudi Arabia and Russia. Oil had its worst single day of trading since the Gulf War in 1991, and for a brief period, futures contracts for the commodity turned negative as concerns surrounding storage capacity grew at the same time as

global travel and commerce declined due to lockdown restrictions.

As noted in the shareholder letter, the Federal Reserve (“Fed”) responded to the turmoil by slashing its federal-funds target to a range of 0-0.25% over two emergency sessions in March; the central bank also instituted a trillion dollar repo program to shore up liquidity. The Fed revealed a Commercial Paper Funding Facility to purchase corporate bonds, a measure last seen during the global financial crisis. Additionally, Congress passed the largest-ever stimulus package, which provided $2 trillion in funding to corporations, state and local governments, direct payments to American citizens, and healthcare providers. The first series of new jobless claims following the mandatory closures of many businesses across the U.S. topped 3 million, dwarfing all previous records, and subsequent reports were not materially better.

Certain defensive areas of the market outperformed in the first quarter of 2020, particularly utilities and staples, but so did healthcare. Investors turned to companies that began researching a potential vaccine as well as those that offered telehealth solutions to normal healthcare concerns.

Over the last two months of the reporting period, performance in these sectors largely inverted. Consumer discretionary surged as states began to roll back or end certain social distancing measures. Energy also bounced back in the final two months, while utilities and financials were the worst-performing sectors during the same time. Interestingly, from a factor perspective, there was little rotation in market leadership; expensive stocks that outperformed into the downturn also bounced hardest off the bottom. While more cyclically-oriented stocks surged in April, this was more in line with the “risk-on” environment as the virus outlook improved rather than a shift in sentiment toward valuation sensitivity. Larger-caps and growth outperformed over the entire period. The Russell 2000^® Growth Index rose 7.32%, while the Russell 2000^® Value Index fell 14.69%. For the entire 12 months, healthcare and technology were the best-performing sectors, while energy was the worst.

The Fund underperformed during the reporting period, largely due to poor stock selection within the consumer discretionary, financials and healthcare sectors. An underweight to healthcare also detracted. The Fund’s overweight to technology and underweight to energy contributed.

LSV was the worst-performing manager and faced steep value headwinds. In particular, selection in

16 SEI Institutional Investments Trust / Annual Report / May 31, 2020

financials and an underweight to healthcare hurt most. Martingale also struggled as its low-volatility style did not hold up through the downturn due to a spike in stock correlations; the manager lagged during the sharp market recovery as well.

Axiom was the top-performing manager and benefited from tailwinds to growth; most of the excess return was attributed to stock selection, particularly in the financials and industrials sectors. EAM also contributed and was helped by tailwinds to growth.

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized 10 Year Return		Annualized Inception to Date
Small Cap Fund, Class A		-7.04%		-0.08%		1.81%		7.69%		7.09%
Russell 2000® Index		-3.44%		1.98%		3.72%		9.23%		7.30%

Comparison of Change in the Value of a $100,000 Investment in the Small Cap Fund, Class A, versus the Russell 2000^® Index

¹  For the year ended May 31, 2020. 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 year; absent fee waivers and reimbursements, performance would have been lower.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 17

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

May 31, 2020 (Unaudited)

Small Cap II Fund

I. Objective

The Small Cap II Fund (the “Fund”) seeks capital appreciation.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisors as of May 31, 2020: ArrowMark Colorado Holdings, LLC (“ArrowMark”), Copeland Capital Management, LLC (“Copeland”), EAM Investors, LLC (“EAM”), LMCG Investments, LLC (“LMCG”), Los Angeles Capital Management and Equity Research, Inc. (“LA Capital”) and Snow Capital Management L.P. (“Snow”). During the fiscal period, LA Capital was added to the Fund.

III. Return vs. Benchmark

For the one year ending May 31, 2020, the Fund’s Class A shares returned -5.20%. The Fund’s primary benchmark—the Russell 2000^® Index—returned -3.44%.

IV. Fund Attribution

The fiscal year ending May 31, 2020, was defined by extreme market movements in response to the global spread and fight against the novel coronavirus. Though the virus had been identified and was spreading from its point of origin—the Wuhan province in China—since the end of the 2019 calendar year, U.S. markets did not begin to react until the end of February 2020 when domestic cases began to rise quickly. From this point, the market decline was the most rapid in history, and the Russell 2000 Index had its worst quarter of performance since inception, shedding nearly 32% in the first quarter of 2020. Consumer discretionary stocks were among the hardest hit as shelter-in-place orders rolled out across most of the country. Hotels, restaurants, airlines and cruise lines in particular sold off dramatically as social distancing put the affected industries in peril.

The energy sector saw more than double the losses of the Russell 2000 Index during the first quarter; oil prices cratered amid a price war initiated by Saudi Arabia and Russia. Oil had its worst single day of trading since the Gulf War in 1991, and for a brief period, futures contracts for the commodity turned negative as concerns surrounding storage capacity grew at the same time as global travel and commerce declined due to lockdown restrictions.

As noted in the shareholder letter, the Federal Reserve (“Fed”) responded to the turmoil by slashing its federal-funds target to a range of 0-0.25% over two emergency sessions in March; the central bank also instituted a trillion dollar repo program to shore up liquidity. The Fed revealed a Commercial Paper Funding Facility to purchase corporate bonds, a measure last seen during the global financial crisis. Additionally, Congress passed the largest-ever stimulus package, which provided $2 trillion in funding to corporations, state and local governments, direct payments to American citizens, and healthcare providers. The first series of new jobless claims following the mandatory closures of many businesses across the U.S. topped 3 million, dwarfing all previous records, and subsequent reports were not materially better.

Certain defensive areas of the market outperformed in the first quarter of 2020, particularly utilities and staples, but so did healthcare. Investors turned to companies that began researching a potential vaccine as well as those that offered telehealth solutions to normal healthcare concerns.

Over the last two months of the reporting period, performance in these sectors largely inverted. Consumer discretionary surged as states began to roll back or end certain social distancing measures. Energy also bounced back in the final two months, while utilities and financials were the worst-performing sectors during the same time. Interestingly, from a factor perspective, there was little rotation in market leadership; expensive stocks that outperformed into the downturn also bounced hardest off the bottom. While more cyclically-oriented stocks surged in April, this was more in line with the “risk-on” environment as the virus outlook improved rather than a shift in sentiment toward valuation sensitivity. Larger-caps and growth outperformed over the entire period. The Russell 2000 Growth Index rose 7.32%, while the Russell 2000 Value Index fell 14.69%. For the entire 12 months, healthcare and technology were the best-performing sectors, while energy was the worst.

The Fund underperformed during the reporting period, largely due to poor stock selection within the consumer discretionary sector. An underweight to and selection within healthcare also detracted. Selection in communication services and the Fund’s underweight to real estate contributed.

Snow was the worst-performing manager and faced steep value headwinds. In particular, selection in consumer discretionary hurt the most, followed by an overweight to financials and an underweight

18 SEI Institutional Investments Trust / Annual Report / May 31, 2020

in healthcare. LMCG struggled for similar reasons, with the largest detractor being an underweight in healthcare; selection within the financials sector was also challenged.

EAM was the top-performing manager and benefited from growth tailwinds; an overweight to healthcare and an underweight to the financials sector were also additive.

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized Inception to Date
Small Cap II Fund, Class A		-5.20%		1.90%		2.58%		7.89%
Russell 2000® Index		-3.44%		1.98%		3.72%		8.82%

Comparison of Change in the Value of a $100,000 Investment in the Small Cap II Fund, Class A, versus the Russell 2000^® Index

¹  For the year ended May 31, 2020. Past performance is not an indication of future performance. Class A shares were offered beginning 4/10/12. 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, 2020 19

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

May 31, 2020 (Unaudited)

Small/Mid Cap Equity Fund

I. Objective

The Small/Mid Cap Equity Fund (the “Fund”) seeks long-term capital appreciation.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisors as of May 31, 2020: 361 Capital, LLC (“361”), ArrowMark Colorado Holdings, LLC (“ArrowMark”), Axiom International Investors, LLC (“Axiom”), Cardinal Capital Management, LLC (“Cardinal”), Copeland Capital Management, LLC (“Copeland”), and LSV Asset Management (“LSV”). There were no sub-advisor changes during the fiscal period.

III. Return vs. Benchmark

For the one year ending May 31, 2020, the Fund’s Class A shares returned -3.80%. The Fund’s primary benchmark—the Russell 2500^® Index—returned -0.80%.

IV. Fund Attribution

The fiscal year ending May 31, 2020, was defined by extreme market movements in response to the global spread and fight against the novel coronavirus. Though the virus had been identified and was spreading from its point of origin—the Wuhan province in China—since the end of the 2019 calendar year, U.S. markets did not begin to react until the end of February 2020 when domestic cases began to rise quickly. From this point, the market decline was the most rapid in history, and the Russell 2000^® Index had its worst quarter of performance since inception, shedding nearly 32% in the first quarter of 2020. Consumer discretionary stocks were among the hardest hit as shelter-in-place orders rolled out across most of the country. Hotels, restaurants, airlines and cruise lines in particular sold off dramatically as social distancing put the affected industries in peril.

The energy sector saw more than double the losses of the Russell 2000^® Index during the first quarter; oil prices cratered amid a price war initiated by Saudi Arabia and Russia. Oil had its worst single day of trading since the Gulf War in 1991, and for a brief period, futures contracts for the commodity turned negative as concerns surrounding storage capacity grew at the same time as global travel and commerce declined due to lockdown restrictions.

As noted in the shareholder letter, the Federal Reserve (“Fed”) responded to the turmoil by slashing its federal-funds target to a range of 0-0.25% over two emergency sessions in March; the central bank also instituted a trillion dollar repo program to shore up liquidity. The Fed revealed a Commercial Paper Funding Facility to purchase corporate bonds, a measure last seen during the global financial crisis. Additionally, Congress passed the largest-ever stimulus package, which provided $2 trillion in funding to corporations, state and local governments, direct payments to American citizens, and healthcare providers. The first series of new jobless claims following the mandatory closures of many businesses across the U.S. topped 3 million, dwarfing all previous records, and subsequent reports were not materially better.

Certain defensive areas of the market outperformed in the first quarter of 2020, particularly utilities and staples, but so did healthcare. Investors turned to companies that began researching a potential vaccine as well as those that offered telehealth solutions to normal healthcare concerns.

Over the last two months of the reporting period, performance in these sectors largely inverted. Consumer discretionary surged as states began to roll back or end certain social distancing measures. Energy also bounced back in the final two months, while utilities and financials were the worst-performing sectors during the same time. Interestingly, from a factor perspective, there was little rotation in market leadership; expensive stocks that outperformed into the downturn also bounced hardest off the bottom. While more cyclically-oriented stocks surged in April, this was more in line with the “risk-on” environment as the virus outlook improved rather than a shift in sentiment toward valuation sensitivity. Larger-caps and growth outperformed over the entire period. Over the full reporting period, healthcare and technology were the best-performing sectors, while energy was the worst. The Russell 2500^® Growth Index rose 13.53%, while the Russell 2500^® Value Index fell 11.68% during the fiscal year.

The Fund underperformed the benchmark during the reporting period, largely due to poor stock selection within the healthcare, technology, and consumer discretionary sectors.

LSV was the worst-performing manager and faced steep value headwinds. In particular, selection in financials and an underweight to healthcare hurt most. Cardinal also struggled due to poor selection in technology and financials.

20 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Axiom was the top-performing manager and benefited from tailwinds to growth; most of the excess return was attributed to stock selection, particularly in the financials and industrials sectors.

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized 10 Year Return		Annualized Inception to Date
Small/Mid Cap Equity Fund, Class A		-3.80%		1.55%		2.75%		8.92%		7.27%
Russell 2500® Index		-0.80%		3.95%		4.67%		10.32%		8.37%

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

¹  For the year ended May 31, 2020. Past performance is no 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 year; absent fee waivers and reimbursements, performance would have been lower.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 21

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

May 31, 2020 (Unaudited)

U.S. Equity Factor Allocation Fund

I. Objective

The U.S. Equity Factor Allocation Fund (the “Fund”) seeks the long-term growth of capital and income.

II. Multi-Manager Approach Statement

The Fund is directly managed by SEI Investments Management Corporation (“SIMC”). There were no manager changes made during the fiscal period. SIMC will invest directly in equity securities utilizing a quantitative style of investing which uses a model-based approach to facilitate investment decisions. The quantitative method used by the Fund categorizes and selects securities based on specific characteristics (factors) determined by the Investment Advisor. Such factors may include security characteristics such as volatility, value, size or share price performance. The Investment Advisor uses its judgment and model-based systems to assess the factors used and to determine the weights allotted to those factors in portfolio construction. Based on market opportunities, and at its discretion, the Investment Advisor may tilt the Fund’s factor exposures by changing its allocation to the factors. The Investment Advisor may add, remove or modify certain factors in its model depending on investment research or market conditions. Additionally, the Investment Advisor may also take into account environmental, social and governance (“ESG”) factors when constructing the Fund’s investment portfolio. The Investment Advisor’s use of ESG considerations is not primarily based on investment or market considerations.

III. Return vs. Benchmark

For the one year ending May 31, 2020, the Fund’s Class A shares returned 7.21%. The Fund’s primary benchmark—the Russell 3000^® Index—returned 11.46%.

IV. Fund Attribution

For the 12 months ending May 31, 2020, no singular event dominated the global economic environment across all asset markets more than COVID-19. The eventual pandemic was first reported to the World Health Organization in China during December and rapidly spread to over 180 countries before the end of the reporting period. The speed and magnitude of the outbreak and the actions necessary to contain its spread dramatically changed the daily lives of billions of people and brought global economic activity to a sudden halt. Measures initially introduced in China, including strict quarantines, lockdowns, large-scale testing and contact tracing, eventually became commonplace throughout the world. Travel bans, school shutdowns, closing of non-

essential businesses, and an increase in remote working led to a significant disruption in global economic activity and affected the supply of labor, goods and services.

As noted in the shareholder letter, the S&P 500 Index declined from its February peak by over 30% within a month, outpacing the declines seen during the bursting of the internet bubble or global financial crisis. The Federal Reserve cut rates to near zero, provided lifelines to banks and announced plans to purchase corporate bonds. Congress enacted a multi-trillion dollar economic rescue package to provide relief to businesses and direct payments to workers. Oil prices fell to a 17-year low as falling global demand came at about the same time as a supply war between Saudi Arabia and Russia. U.S. unemployment hit 14.7%, the highest since WWII, and the worldwide death toll from COVID-19 rose above 350,000.

Mega-cap information technology companies that had outperformed throughout 2019 were seemingly unaffected by the sudden slowdown in economic activity; the surge in staying and working from home led to increased demand for a variety of technology-based solutions and online shopping.

The Fund lagged its benchmark during the fiscal year as it faced factor-driven headwinds. Value detracted most during the reporting period, as COVID-19 concerns punished typical value sectors; financials suffered as yields declined, while energy was hit by the drop in global demand. Diversity also struggled as the market sold off from its global peak in February, and investors attempted to “de-risk” into a falling market. The counterweight of momentum exposure was limited during the year as significant economic uncertainty saw company management and sell-side analysts pulling guidance and forecasts, which made a challenging environment for revisions; also, large daily price moves made it harder for the appearance of any intermediate-term trend favored by price momentum. Stability outperformed and was helped by an increased appreciation for profitable cash-generative companies in a “cash-starved” economic environment.

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized Inception to Date
U.S. Equity Factor Allocation Fund, Class A		7.21%		5.08%
Russell 3000® Index		11.46%		7.60%

22 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Comparison of Change in the Value of a $100,000 Investment in the U.S. Equity Factor Allocation Fund, Class A, versus the Russell 3000^® Index

¹  For the year ended May 31, 2020. Past performance is not an indication of future performance. Class A shares were offered beginning 4/26/18. 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 year; absent fee waivers and reimbursements, performance would have been lower.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 23

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

May 31, 2020 (Unaudited)

U.S. Managed Volatility Fund

I. Objective

The U.S. Managed Volatility Fund (the “Fund”) seeks capital appreciation with less volatility than the broad U.S. equity markets.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisors as of May 31, 2020: LSV Asset Management (“LSV”) and Wells Capital Management, Inc. (“Wells”). There were no sub-advisor changes during the fiscal period.

III. Return vs. Benchmark

For the one-year period ending May 31, 2020, the Fund’s Class A shares returned -0.31%. The Fund’s primary benchmark—the Russell 3000^® Index—returned 11.46%.

IV. Fund Attribution

The 12 months ending May 31, 2020, were a challenging period for low-volatility investing despite an unprecedented bout of market volatility caused by the rapid spread of COVID-19. A broad market selloff in February and March wiped out period-to-date gains, but the ensuing “V-shaped” recovery pushed U.S. equities back to positive territory for the year. Stock markets defied gravity in the first half of the reporting period despite a slowdown in global economic growth and ongoing U.S./China trade tensions. As noted in the shareholder letter, accommodative central bank policies supported positive sentiment, with the U.S. Federal Reserve cutting interest rates three times prior to the virus crisis in an attempt to stimulate the economy. Two further cuts took the federal-funds rate target range to 0-0.25%.

The COVID-19 outbreak sparked a change to established market trends and triggered the fastest U.S. bear-market plunge in history. Liquidity was a concern, with smaller-cap names falling out of favor, and stock performance split by exposure to social distancing measures. However, extended government stimulus plans and the eventual reopening of global economies encouraged investors, and equities enjoyed a strong rebound. Overall, global markets were driven by the concentrated outperformance of prominent U.S. technology stocks during the fiscal year, while riskier names were rewarded more than their defensive peers.

Low-volatility investing lagged in the “risk-on” environment that prevailed during the period. Furthermore, low-volatility strategies did not see the expected degree of outperformance during the market selloff. Weak downside protection was related to the unusual cause of the crisis, which forced a market split by exposure to lockdown restrictions rather than sensitivity to the economic cycle. Such market dynamics translated into mixed performance at the sector level; information technology and healthcare names posted strong returns, while industrials, financials and energy stocks lagged. Energy was the worst-performing sector, hurt by a combination of slumping global demand and oil price wars.

The Fund provided meaningful risk reduction during a volatile period, but it did not deliver the anticipated degree of downside protection, as performance suffered from pronounced style headwinds during the March selloff and ensuing rebound. With the market leadership concentrated in a number of riskier mega-cap technology names, the Fund’s diversity exposure and defensive positioning were the key detractors. On the positive side, the Fund’s underweight to energy partially mitigated style headwinds and the tilt to cheaper names within the low-volatility space.

Both managers delivered meaningful risk reduction over the 12-month period but underperformed the Fund’s primary benchmark. LSV lagged due to headwinds to its value-oriented return model. Wells showed positive absolute returns but also underperformed and was challenged by style headwinds to its deep low-volatility approach and size effects.

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized 10 Year Return		Annualized Inception to Date
U.S. Managed Volatility Fund, Class A		-0.31%		4.80%		6.34%		11.89%		11.79%
Russell 3000® Index		11.46%		9.54%		9.17%		12.80%		13.54%

24 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Comparison of Change in the Value of a $100,000 Investment in the U.S. Managed Volatility Fund, Class A, versus the Russell 3000^® Index

¹  For the year ended May 31, 2020. Past performance is not an indication of future performance. Class A shares were offered beginning 12/31/08. 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 year; absent fee waivers and reimbursements, performance would have been lower.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 25

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

May 31, 2020 (Unaudited)

Global Managed Volatility Fund

I. Objective

The Global Managed Volatility Fund (the “Fund”) seeks capital appreciation with less volatility than the broad global equity markets.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisors as of May 31, 2020: Acadian Asset Management LLC (“Acadian”), LSV Asset Management (“LSV”) and Wells Capital Management, Inc. (“Wells”). There were no sub-advisor changes during the fiscal period.

III. Return vs. Benchmark

For the one year ending May 31, 2020, the Fund’s Class A shares returned -1.08%. The Fund’s primary benchmark—the MSCI World Index (Net)—returned 6.80%.

IV. Fund Attribution

The 12 months ending May 31, 2020, were a challenging period for low-volatility investing despite an unprecedented bout of market volatility caused by the rapid spread of COVID-19. A broad market selloff in February and March wiped out period-to-date gains, but the ensuing “V-shaped” recovery pushed global equities back to positive territory for the year. Stock markets defied gravity in the first half of the reporting period despite a slowdown in global economic growth and ongoing U.S.-China trade tensions. As noted in the shareholder letter, accommodative central bank policies supported positive sentiment, with the U.S. Federal Reserve cutting interest rates three times prior to the COVID-19 crisis in an attempt to stimulate the economy. Two further cuts took the federal-funds rate target range to 0-0.25%.

The COVID-19 outbreak sparked a change to established market trends and triggered the fastest U.S. bear-market plunge in history. However, extended government stimulus plans and the eventual reopening of global economies encouraged investors, and global equities enjoyed a strong rebound. Overall, global markets were driven by the concentrated outperformance of prominent U.S. technology stocks during the fiscal year, while riskier names were rewarded more than their defensive peers.

Low-volatility investing lagged in the “risk-on” environment that prevailed during the period. Furthermore, low-volatility strategies did not see the expected degree of outperformance during the market selloff. Weak downside protection was related to the unusual cause of the crisis, which forced a market split by exposure to lockdown restrictions rather than sensitivity to the economic cycle. Such market dynamics translated into mixed performance at the sector level; information technology and healthcare names posted strong returns, while industrials, financials and energy stocks lagged. Energy was the worst-performing sector, hurt by a combination of slumping global demand and oil price wars.

The Fund provided meaningful risk reduction during a volatile period, but it did not deliver the anticipated degree of downside protection; as performance suffered from pronounced style headwinds during the rebound that followed the March selloff. With the market leadership concentrated in a number of riskier mega-cap technology names, the Fund’s diversity exposure and defensive positioning were the key detractors. A tilt to cheaper areas of the market and exposure away from U.S. securities further detracted. On the positive side, an underweight to energy partially mitigated style headwinds.

All managers achieved substantial risk reduction over the 12-month period. Wells Capital Management was the worst-performing manager as headwinds to its deep low-volatility approach were amplified by greater diversity, particularly an underweight to mega-cap stocks, and less favorable country tilts, namely a significant underweight to rallying U.S. stocks. Acadian Asset Management led other managers in the Fund and was more resilient with balanced style exposures and favorable country positioning.

The Fund also used derivatives to hedge currency risk. For the fiscal year, hedging currency risk had a positive effect, particularly during the market downturn when the U.S. dollar strengthened against major currencies.

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized 3 Year Return		Annualized Inception to Date
Global Managed Volatility Fund, Class A		-1.08%		3.10%		6.99%
MSCI World Index (Net)		6.80%		5.91%		9.75%

26 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Comparison of Change in the Value of a $100,000 Investment in the Global Managed Volatility Fund, Class A, versus the MSCI World Index (Net)

¹  For the year ended May 31, 2020. Past performance is not an indication of future performance. Class A shares were offered beginning 1/29/16. 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 year; absent fee waivers and reimbursements, performance would have been lower.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 27

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

May 31, 2020 (Unaudited)

World Equity Ex-US Fund

I. Objective

The objective of the World Equity Ex-US Fund (the “Fund”) is to provide capital appreciation.

II. Investment Approach

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisors as of May 31, 2020: Acadian Asset Management LLC (“Acadian”), AllianceBernstein L.P. (“AllianceBernstein”), Baillie Gifford Overseas Ltd. (“Baillie Gifford”), JO Hambro Capital Management Limited (“JO Hambro”), McKinley Capital Management, LLC (“McKinley”), and Wells Capital Management, Inc (“Wells”). During the year, BlackRock International Ltd. (“BlackRock”) and EARNEST Partners, LLC (“EARNEST”), were removed from the Fund.

III. Return vs. Benchmark

For the one year ending May 31, 2020, the Fund’s Class A shares returned -1.00%. The Fund’s primary benchmark—the MSCI All Country World Ex-US Net Index—returned -3.43%.

IV. Fund Attribution

Equity markets rose throughout the second half of 2019 before experiencing a sharp drawdown and an ensuing rebound over the remainder of the fiscal year. Both developed and emerging markets marched steadily higher in 2019 on promising prospects for global growth. In Europe and the U.K., investors grappled with Brexit as newly elected U.K. prime minister Boris Johnson pledged to leave with or without a deal before reaching an agreement with Brussels. In the meantime, both Europe and Japan continued to battle lackluster economic growth, although equities in both regions continued higher. A cyclical rebound in semiconductors helped fuel the rally in east Asia, while Brazil saw strong gains on its passage of pension reform policies. While the lagging Indian market reflected fears around slowing economic growth, both developing and emerging markets as a whole ended 2019 on a positive note, with investors forecasting continued growth into 2020 after the U.S. and China reached a trade truce. Markets were taken for a sudden surprise when the emergence of a novel coronavirus in China spread to the rest of the world in the early months of 2020, sending Chinese equities plummeting as China closed down parts of its economy during the Chinese New Year. As noted in the

shareholder letter, global equities followed Chinese markets lower in the following month as investors realized the severity of the situation and braced for a severe global economic slowdown. However, as governments and central banks around the world battled the economic impact of the virus with massive stimulus injections, some countries began to reopen; global equity markets staged a comeback to end the fiscal year with negative single-digit returns. While countries in strong economic positions like Germany were able to support their economies with large fiscal measures, countries in weak economic positions were hit hard by the ongoing COVID-19 shutdowns, with a slowdown in growth and much needed fiscal and monetary stimulus putting a strain on public finances in countries like Italy and Turkey. Commodity exporters in Brazil, Russia and South Africa experienced sharp market declines and a hit to traditional sources of revenue as forced closures decreased oil demand at the same time as a price war between Russia and Saudi Arabia created a supply glut. Meanwhile, India—which had already begun on a path toward economic deceleration—faced further pressure as COVID-19 disrupted its economy.

Information technology was the best-performing sector; a rebound in semiconductors drove gains throughout the reporting period, with strong durable growth tailwinds for the rest of the sector. Healthcare was the second-best sector as investors bid up healthcare companies during the pandemic. Energy and financials were the worst-performing sectors. Energy fell as oil prices went into freefall on the historic supply/demand imbalance, while emerging-market banks braced for slower loan growth as economic growth deteriorated.

From a sector perspective, financials was the biggest contributor to Fund performance due to positive company specifics in diversified financials and a lack of ownership in banks, which underperformed due to weak growth expectations. Communication services and consumer discretionary were the greatest detractors due to weak results in internet and online retail companies. From a regional perspective, exposure to Pacific ex-Japan and North America were beneficial while results were most negative in emerging Asia and Latin America.

The Fund was negative in absolute terms; however, it outperformed its benchmark due to the Fund’s exposure to momentum and stability. JO Hambro was the top contributor and benefited from a tailwind for momentum and companies with positive earnings trends. Baillie Gifford also outperformed due to positive tailwinds for stability and positive company specifics across multiple sectors. Prior to its removal from the Fund in April,

28 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Blackrock outperformed due to favorable company specifics in the consumer discretionary, energy, and information technology sectors. McKinley was a small contributor due to positive tailwinds for momentum.

EARNEST was removed from the Fund in April but was the Fund’s largest detractor during the period due to its overweight to consumer leisure stocks that took a big hit from consumers staying home during the pandemic. Both Wells and AllianceBernstein detracted due to continued headwinds to value. Acadian was challenged as momentum tailwinds were not enough to offset value headwinds.

AVERAGE ANNUAL TOTAL RETURN1
	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized 10 Year Return		Annualized Inception to Date
World Equity Ex-US Fund, Class A		-1.00%		0.78%		1.31%		5.27%		3.95%
MSCI All Country World Ex-US Net Index		-3.43%		-0.24%		0.79%		4.37%		4.10%

Comparison of Change in the Value of a $100,000 Investment in the World Equity Ex-US Fund, Class A, versus the MSCI All Country World Ex-US Net Index

¹  For the year ended May 31, 2020. 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 year; absent fee waivers and reimbursements, performance would have been lower.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 29

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

May 31, 2020 (Unaudited)

Screened World Equity Ex-US Fund

I. Objective

The Screened World Equity Ex-US Fund (the “Fund”) seeks capital appreciation.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisors as of May 31, 2020: Acadian Asset Management LLC (“Acadian”), Baillie Gifford Overseas Ltd (“Baillie Gifford”), McKinley Capital Management, LLC (“McKinley”), and Wells Capital Management, Inc. (“Wells”). During the fiscal period, EARNEST Partners, LLC (“EARNEST”), was removed from the Fund, while Wells was added.

III. Return vs. Benchmark

For the one year ending May 31, 2020, the Fund’s Class A shares returned 0.17%. The Fund’s primary benchmark—the MSCI All Country World Ex-US Net Index — returned -3.43%.

IV. Fund Attribution

Equity markets rose throughout the second half of 2019 before experiencing a sharp drawdown and an ensuing rebound over the remainder of the fiscal year. Both developed and emerging markets marched steadily higher in 2019 on promising prospects for global growth. In Europe and the U.K., investors grappled with Brexit as newly elected U.K. prime minister Boris Johnson pledged to leave with or without a deal before reaching an agreement with Brussels. In the meantime, both Europe and Japan continued to battle lackluster economic growth, although equities in both regions continued higher. A cyclical rebound in semiconductors helped fuel the rally in east Asia, while Brazil saw strong gains on its passage of pension reform policies. While the lagging Indian market reflected fears around slowing economic growth, both developing and emerging markets (EM) as a whole ended 2019 on a positive note, with investors forecasting continued growth into 2020 after the U.S. and China reached a trade truce. Markets were taken for a sudden surprise when the emergence of a novel coronavirus in China spread to the rest of the world in the early months of 2020, sending Chinese equities plummeting as China closed down parts of its economy during the Chinese New Year. As noted in the shareholder letter, global equities followed Chinese markets lower in the following month as investors

realized the severity of the situation and braced for a severe global economic slowdown. However, as governments and central banks around the world battled the economic impact of the virus with massive stimulus injections, some countries began to reopen; global equity markets staged a comeback to end the fiscal year with negative single-digit returns. While countries in strong economic positions like Germany were able to support their economies with large fiscal measures, countries in weak economic positions were hit hard by the ongoing COVID-19 shutdowns, with a slowdown in growth and much needed fiscal and monetary stimulus putting a strain on public finances in countries like Italy and Turkey. Commodity exporters in Brazil, Russia and South Africa experienced sharp market declines and a hit to traditional sources of revenue as forced closures decreased oil demand at the same time as a price war between Russia and Saudi Arabia created a supply glut. Meanwhile, India—which had already begun on a path toward economic deceleration—faced further pressure as COVID-19 disrupted its economy.

Information technology was the best-performing sector; a rebound in semiconductors drove gains throughout the reporting period, with strong durable growth tailwinds for the rest of the sector. Healthcare was the second-best sector as investors bid up healthcare companies during the pandemic. Energy and financials were the worst-performing sectors. Energy fell as oil prices went into freefall on the historic supply/demand imbalance, while emerging-market banks braced for slower loan growth as economic growth deteriorated.

From a sector perspective, industrials was the biggest contributor to Fund performance due to positive company specifics, especially those with better fundamental stability characteristics. The Fund’s energy underweight also contributed, as the sector was challenged due to the drop in oil prices. The Fund’s overweight to information technology benefited as companies with more durable and stable growth prospects were rewarded during the pandemic-driven selloff.

The Fund’s overweight to consumer discretionary detracted as leisure stocks were affected by consumers staying at home; a lack of exposure to internet retailers, which benefited from the lockdowns, also hurt performance. The Fund’s underweight to consumer staples helped performance during the market selloff in February and March but detracted over the full reporting period. From a regional perspective, the U.K. was the top performer due to an underweight to energy and positive company specifics in the consumer discretionary sector.

30 SEI Institutional Investments Trust / Annual Report / May 31, 2020

An overweight to EM Asia contributed due to favorable results in information technology and healthcare stocks. EM Latin America was the only region that detracted as the Fund’s overweight to the financials sector took a beating during the pandemic-driven selloff.

The Fund outperformed its benchmark during the fiscal year due to its alpha source positioning, with higher exposure to the stability alpha source, which outperformed, and little exposure to value. Baillie Gifford led the Fund’s other managers and benefited from tailwinds to the stability alpha source. Acadian added value through quantitative model-driven security selection and slight tailwinds to momentum. McKinley was also a contributor due to its momentum exposure and the tailwind to momentum. Wells, which was added to the Fund in March, helped relative returns due to positive value performance during the manager’s time in the Fund.

EARNEST was removed from the Fund in April and was the Fund’s only detracting sub-advisor during the period due to its overweight to consumer leisure stocks that took a big hit from consumers staying home during the pandemic.

AVERAGE ANNUAL TOTAL RETURN¹

			Annualized		Annualized		Annualized		Annualized
	One Year		3 Year		5 Year		10 Year		Inception
	Return		Return		Return		Return		to Date
Screened World Equity Ex-US Fund, Class A		0.17%		1.96%		3.69%		5.90%		2.08%
MSCI All Country World Ex-US Net Index		-3.43%		-0.24%		0.79%		4.37%		1.44%

Comparison of Change in the Value of a $100,000 Investment in the Screened World Ex-US Equity Fund, Class A, versus the MSCI All Country World Ex-US Net Index

¹  For the year ended May 31, 2020. Past performance is not an indication of future performance. Class A shares were offered beginning 6/30/08. 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 year; absent fee waivers and reimbursements, performance would have been lower.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 31

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

May 31, 2020 (Unaudited)

World Select Equity Fund

I. Objective

The objective of the World Select Equity Fund (the “Fund”) is to provide capital appreciation.

II. Investment Approach

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisors as of May 31, 2020: AS Trigon Asset Management, Fiera Capital Inc. (Fiera), Fondmaeglerselskabet Maj Invest A/S (“Maj Invest”), INTECH Investment Management LLC (INTECH), LSV Asset Management (LSV), Mackenzie Investments Corporation, Metropole Gestion SA, Poplar Forest Capital, LLC (Poplar Forest), Rhicon Currency Management Pte Ltd, Sompo Japan Nipponkoa Asset Management Co., Ltd., and Towle & Co (Towle). SIMC also directly manages a portion of the Fund’s assets. No sub-advisor changes were made during the fiscal year.

III. Return vs. Benchmark

For the one-year period ending May 31, 2020, the Fund’s Class A shares returned -3.86%. The Fund’s primary benchmark—the MSCI All Country World Net Index—returned 5.43%.

IV. Fund Attribution

The 12 months ending May 31, 2020, marked an unprecedented bout of market volatility as global equities reacted bitterly to the rapid spread of COVID-19 across the world. A broad market selloff wiped out past bull market gains, but an ensuing “V-shaped” recovery pushed the MSCI All Country World Net Index back to positive territory for the full year. In spite of a slowdown in global economic growth and ongoing U.S.-China trade tensions, stock markets defied gravity in the first half of the reporting period. As noted in the shareholder letter, increasingly accommodative central bank policies supported the positive sentiment, with the U.S. Federal Reserve cutting interest rates three times before the start of the virus crisis and twice more after in an attempt to stimulate the economy.

The COVID-19 outbreak sparked a change to established market trends and triggered the fastest U.S. bear-market plunge in history. Liquidity concerns came to the fore, with smaller names falling out of favor and sector performance split by exposure to social distancing measures. However, extended government stimulus

plans and the quick reopening of global economies encouraged investors as equities enjoyed a strong rebound. Overall, global markets were driven by the concentrated outperformance of prominent U.S. technology and healthcare stocks, and riskier names were rewarded more than their defensive peers. Energy was the worst-performing sector, hurt by the combination of a slump in global industrial demand and oil price wars.

Although market dynamics shifted abruptly during the reporting period, the underlying themes remained broadly unchanged. In an environment of increased risk awareness, investors sought comfort in more stable businesses and favored growth in sales and earnings with little regard for valuation multiples. By contrast, value stocks struggled as global lockdowns increased the likelihood of immediate bankruptcy for many undervalued businesses. Furthermore, the leadership of large-capitalization stocks created sizable headwinds for many actively-managed strategies.

The Fund lagged its benchmark over the fiscal year. Performance was weakened by its structural underweight to mega-cap names in a concentrated market rally, style headwinds to value investing, and poor security selection from the underlying managers.

The Fund’s local managers, being value-oriented by Fund construction, faced sizable style headwinds and accounted for the larger portion of Fund underperformance. Towle and Poplar Forest were the most noticeable detractors. Towle was hurt by its deep-value approach and pronounced tilt to small size, which translated into an underweight to mega-cap technology names. Its exposure to the energy sector and poor selection, particularly within the automobile components space, further weighed on returns. Poplar Forest’s overweight to financials and poor stock specifics in consumer discretionary and information technology further extended value and size headwinds. On the positive side, Fiera’s fundamental stability approach was favored by investors and contributed to Fund performance.

Global managers delivered strong returns on the back of momentum tailwinds. INTECH and SIMC’s implementations of momentum benefited from the established lead of technology names and a strong post-crisis rebound; the managers provided diversification to LSV, which struggled with its global managed-volatility strategy. Counterintuitively, LSV did not provide the expected degree of downside protection during the selloff, as stock returns were driven by the exposure to lockdown restrictions rather than sensitivity to the

32 SEI Institutional Investments Trust / Annual Report / May 31, 2020

economic cycle. Style headwinds were further amplified by the manager’s exposure to cheaper names within the low-volatility space.

Rhicon, the Fund’s currency specialist, benefited from the environment of spiked currency volatility and used forwards and futures contracts to manage the Fund’s currency exposure. Rhicon provided hedging in stress periods and delivered positive returns for the year.

AVERAGE ANNUAL TOTAL RETURN¹

			Annualized
	One Year		Inception
	Return		to Date
World Select Equity Fund, Class A		-3.86%		0.24%
MSCI All Country World Net Index		5.43%		6.35%

Comparison of Change in the Value of a $100,000 Investment in the World Select Equity Fund, Class A, versus the MSCI All Country World Net Index

¹  For the period ended May 31, 2020. Past performance is no indication of future performance. Class A shares were offered beginning 6/30/17. 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 year; absent fee waivers and reimbursements, performance would have been lower.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 33

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

May 31, 2020 (Unaudited)

Emerging Markets Equity Fund

I. Objective

The Emerging Markets Equity Fund (the “Fund”) seeks to provide capital appreciation.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation. The Fund utilized the following sub-advisors as of May 31, 2020: AllianceBernstein L.P. (“AllianceBernstein”), Causeway Capital Management LLC (“Causeway”), JO Hambro Capital Management Limited (“JO Hambro”), KBI Global Investors (North America) Ltd. (“KBI”), RWC Asset Advisers (US) LLC (“RWC”) and WCM Investment Management, LLC (“WCM”). There were no sub-advisor changes during the fiscal period.

III. Return vs. Benchmark

For the full year ending May 31, 2020, the Fund’s Class A shares returned -5.14%. The Fund’s primary benchmark—the MSCI EFM (“Emerging + Frontier Markets”) Index (Net)—returned -4.50%.

IV. Fund Attribution

Equity markets rose throughout the second half of 2019 before experiencing a sharp drawdown and an ensuing rebound over the remainder of the fiscal year. Emerging markets (“EM”) marched steadily higher in 2019 on promising prospects of global growth. A cyclical rebound in semiconductors helped fuel the rally in east Asia, while Brazil saw strong gains on its passage of pension reform policies. While the lagging Indian market reflected fears around slowing economic growth, both developing and emerging markets as a whole ended 2019 on a positive note, with investors forecasting continued growth into 2020 after the U.S. and China reached a trade truce. Markets were taken for a sudden surprise when the emergence of a novel coronavirus in China spread to the rest of the world in the early months of 2020, sending Chinese equities plummeting as China closed down parts of its economy during the Chinese New Year. As noted in the shareholder letter, global equities followed Chinese markets lower in the following month as investors realized the severity of the situation and braced for a severe global economic slowdown. However, as governments and central banks around the world battled the economic impact of the virus with massive stimulus injections, some countries began to reopen; global equity markets staged a comeback

to end the year with negative single-digit returns. Countries in weak economic positions were hit hard by the ongoing COVID-19 shutdowns, with a slowdown in growth and much needed fiscal and monetary stimulus putting a strain on public finances. Turkey and Greece took a hit due to the sudden halt to tourism, while Brazil battled rising infections and death rates. Commodity exporters in Brazil, Russia and South Africa experienced sharp market declines and a hit to traditional sources of revenue as forced closures decreased oil demand at the same time as a price war between Russia and Saudi Arabia created a supply glut. Meanwhile, India—which had already begun on a path toward economic deceleration—faced further pressure as COVID-19 disrupted its economy.

EM small-cap stocks lagged larger-cap peers and trailed during the tech-fueled rally at the end of 2019; small caps also took a larger hit as COVID-19 impacted global markets early in 2020. For both EM small-cap and frontier markets, the lack of large internet companies that stood to benefit from consumers staying home failed to cushion the blow from the economic impact of the virus.

Information technology was the best-performing sector; a rebound in semiconductors drove gains throughout the reporting period, with strong durable growth tailwinds for the rest of the sector. Healthcare was the second-best sector as investors bid up healthcare companies during the pandemic. Energy and financials were the worst-performing sectors. Energy fell as oil prices went into freefall on the historic supply/demand imbalance, while emerging-market banks braced for slower loan growth as economic growth deteriorated.

From a sector standpoint, the Fund’s underweight to consumer discretionary was the greatest detractor. Companies in this sector benefited from consumers staying at home as the pandemic grew. An overweight to information technology added value through positive company specifics and exposure to companies with sustained structural growth drivers. Materials also contributed due to favorable company specifics in the chemical and mining sectors. From a regional view, EM Asia and Latin America both detracted; the Fund’s EM Asia exposure was underweight Chinese internet companies, commodity-exporting companies in Latin America struggled. EM Europe, Middle East and Africa was the top regional contributor as the Fund’s underweight to a weak South Africa and Saudi Arabia benefited.

34 SEI Institutional Investments Trust / Annual Report / May 31, 2020

The Fund underperformed its benchmark during the fiscal year. RWC and AllianceBernstein were the worst-performing managers. Frontier stocks lagged EM due to the lack of large internet and technology companies, which had more durable growth prospects; RWC and AllianceBernstein were exposed to stocks that were challenged by declines in consumption and economic growth in developing economies as countries shut down. WCM was the best-performing manager and enjoyed tailwinds to its stability alpha source. JO Hambro also benefited due to tailwinds to momentum in EM small-cap stocks. Causeway’s quantitative model-driven stock selection helped Fund performance. KBI contributed slightly as the manager’s downside protection added some value when markets plummeted in early 2020.

AVERAGE ANNUAL TOTAL RETURN¹

			Annualized		Annualized		Annualized
	One Year		3 Year		5 Year		Inception
	Return		Return		Return		to Date
Emerging Markets Equity Fund, Class A		-5.14%		-1.59%		0.28%		0.31%
MSCI Emerging + Frontier Markets Index (Net)		-4.50%		-0.19%		0.86%		0.67%

Comparison of Change in the Value of a $100,000 Investment in the Emerging Markets Equity Fund, Class A, versus the MSCI Emerging + Frontier Markets Index (Net)

¹  For the year ended May 31, 2020. Past performance is no indication of future performance. Class A shares were offered beginning 10/31/14. 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 year; absent fee waivers and reimbursements, performance would have been lower.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 35

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

May 31, 2020 (Unaudited)

Opportunistic Income Fund

I. Objective

The Opportunistic Income Fund (the “Fund”) seeks capital appreciation and income.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisors as of May 31, 2020: Ares Management LLC (“Ares”), Manulife Investment Management (US) LLC (“Manulife”), Schroder Investment Management North America Inc. (“Schroder”) and Wellington Management Company, LLP (“Wellington”). There were no sub-advisor changes during the fiscal period.

III. Return vs. Benchmark

For the one year ending May 31, 2020, the Fund’s Class A shares returned -0.22%. The Fund’s benchmark—the ICE BofA USD 3-Month Deposit Offered Rate Constant Maturity Index—returned 2.32%.

IV. Fund Attribution

An escalation of trade tensions between the U.S. and China early in the fiscal year created uncertainty in the market. As the trade war between the two countries reached a “phase one” agreement, the COVID-19 virus spread rapidly from China around the globe, resulting in a global pandemic. As noted in the shareholder letter, governments induced economic shutdowns and shelter-in-place orders, resulting in a severe contraction of economic activity and recession. The Federal Reserve (“Fed”) lowered rates three times in 25 basis point increments prior to the virus outbreak; the Fed helped support markets as impacts of the virus magnified, with two emergency meetings in March that lowered the federal-funds target rate by 150 basis points to 0-0.25%. The 3-month London interbank offered rate (“Libor”) began the fiscal year at 2.50% and ended at 0.34%.

Non-Treasury sectors, except for agency mortgage-backed securities (“MBS”), underperformed comparable Treasuries during the reporting period. Housing, employment and income had been on solid footing heading into the pandemic before concerns about lost jobs and wages negatively impacted securitized sectors. The “flight-to-safety” movement caused all risk assets, and particularly corporate credit, to underperform.

Most of the Fund’s negative performance was experienced in March, with some recovery in April and May. The Fund’s allocation to institutional loans, which experienced negative returns as investors worried about rising default rates, was a significant detractor. While loans underperformed, Libor selection was positive. Heightened investor concerns caused AAA collateralized loan obligations (“CLO”) to underperform, and the Fund’s overweight subtracted. Other securitized sectors were also negatively impacted as investors worried about repayments for credit cards, auto loans, mortgages and rents for commercial properties. Despite a higher quality bias within asset-backed securities (“ABS”), worries over delinquencies and fund redemptions resulted in sector underperformance, and the Fund’s overweight subtracted. Commercial mortgage-backed securities (“CMBS”) struggled with concerns about rental payments given widespread shelter-in-place orders and work-from-home directives. The Fund’s CMBS holdings tended to be at the most senior part of the capital structure, but this did not benefit returns as investors sold the most liquid bonds. Concerns about future employment and incomes resulted in concerns for the housing sector, while redemptions caused non-agency mortgages to underperform, and the Fund’s overweight detracted.

All four sub-advisors underperformed the Fund’s benchmark. Schroder and Manulife lagged and were challenged by exposure to non-agency mortgages. Ares was challenged by its focus on bank loans, which underperformed Libor. Wellington’s allocation to corporate ABS and high-quality CLOs also failed to benefit relative performance.

The Fund used Treasury futures and to-be-announced (“TBA”) forward contracts to manage duration, yield-curve and market exposures. (TBA contracts confer the obligation to buy or sell future debt obligations of the three U.S. government-sponsored agencies that issue or guarantee MBS—Fannie Mae, Freddie Mac and Ginnie Mae.) None of these had a meaningful impact on the Fund’s performance.

AVERAGE ANNUAL TOTAL RETURN¹

			Annualized		Annualized		Annualized		Annualized
	One Year		3 Year		5 Year		10 Year		Inception
	Return		Return		Return		Return		to Date
Opportunistic Income Fund, Class A		-0.22%		2.33%		2.49%		3.09%		1.06%
ICE BofA USD 3-Month Deposit Offered Rate Constant Maturity Index		2.32%		2.09%		1.49%		0.91%		1.46%

36 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Comparison of Change in the Value of a $100,000 Investment in the Opportunistic Income Fund, Class A, versus the ICE BofA USD 3-Month Deposit Offered Rate Constant Maturity Index

¹  For the year ended May 31, 2020. 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 reimbursements, performance would have been lower.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 37

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

May 31, 2020 (Unaudited)

Core Fixed Income Fund

I. Objective

The Core Fixed Income Fund (the “Fund”) seeks current income consistent with the preservation of capital.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisors as of May 31, 2020: Jennison Associates LLC (“Jennison”), MetLife Investment Management, LLC (fka Logan Circle Partners), (“MetLife”), Metropolitan West Asset Management LLC (“MetWest”), Wells Capital Management, Inc. (“Wells Capital”), Western Asset Management Company (“Western”), and Wester Asset Management Company Limited. There were no sub-advisor changes during the fiscal period.

III. Return vs. Benchmark

For the one year ending May 31, 2020, the Fund’s Class A shares returned 10.18%. The Fund’s primary benchmark—the Bloomberg Barclays US Aggregate Bond Index—returned 9.42%.

IV. Fund Attribution

An escalation of trade tensions between the U.S. and China early in the fiscal year created uncertainty in the market. As the trade war between the two countries reached a “phase one” agreement, the COVID-19 virus spread rapidly from China around the globe, resulting in a global pandemic. As noted in the shareholder letter, governments induced economic shutdowns and shelter-in-place orders, resulting in a severe contraction of economic activity and recession. The Federal Reserve (“Fed”) lowered rates three times in 25 basis-point increments prior to the virus outbreak; the Fed helped support markets as impacts of the virus magnified, with two emergency meetings in March that lowered the federal-funds target rate by 150 basis points to 0-0.25%. Credit spreads narrowed through the first part of the year before widening dramatically in March to nearly 375 basis points, although spreads retraced nearly half of the widening to end the year. All non-Treasury sectors suffered losses during the March selloff. For the fiscal year, only agency mortgage-backed securities (“MBS”) produced positive excess returns. As a result of Fed action and the flight to safety, Treasury yields declined precipitously throughout the year with 2-year yields declining 176 basis points, 10-year yields falling 147 basis points and 30-year yields down 116 basis points.

Despite the sharp selloff in credit over the course of the reporting period, the Fund had reduced its corporate overweight heading into March 2020 and was able to incrementally add to high-quality investment-grade companies that were issuing new bonds in record amounts at attractive valuations. Selection within financials was additive during the 12 months, and a move to overweight industrials late in the period as spreads tightened dramatically also benefited. Demand for record corporate issuance was robust in response to the Fed’s announcement that it would begin purchasing investment-grade “fallen angels” by the way of both investment-grade and high-yield exchange-traded funds.

Asset-backed securities (“ABS”) returns lagged for the year as concerns over consumer spending and lost income weighed negatively on a sector that had strong fundamentals heading into the crisis; the Fund’s overweight detracted. A higher-quality bias, along with investing in the most senior tranches, helped offset the sector overweight. The announcement of the reintroduction of the Fed’s term asset-backed securities loan facility helped support the market in April and May, with a June launch of the facility likely. Commercial mortgage-backed securities (“CMBS”) underperformed as the economic shutdown created uncertainty surrounding the ability of businesses to make rent payments to office buildings, hotels and other service facilities during the enforcement of shelter-in-place policies. An overweight to the sector detracted but was partially offset by allocations to higher-quality assets at the most senior parts of the capital structure.

The Fund’s overweight to the long end of the yield curve enhanced relative performance; rates declined, and 30-year bonds were the best performer. The Fund maintained an overweight to agency MBS, which added to returns, especially after the Fed announced it would resume purchasing agency MBS. Housing entered the pandemic on solid footing, but concerns about employment and lost income resulted in non-agency mortgages underperforming; the Fund’s overweight detracted.

Jennison was the best-performing manager and benefited from its defensive credit posture and ability to overweight credit in April; its yield-curve steepening bias also enhanced performance. Western’s overweight to agency MBS, slightly longer duration, and an overweight to the long end of the yield curve added to returns but was somewhat offset by an overweight to corporates. MetWest benefited from an overweight to agency MBS, an underweight to corporate credit for most of the year, and a tactical shift to overweight corporates in April.

38 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Wells benefited from its overweight to agency MBS and a move to overweight corporates in April, while an overweight to ABS detracted. MetLife underperformed and trailed the other managers as a result of its overweight to credit.

The Fund utilized U.S. Treasury futures and interest-rate swaps to assist in managing the duration and yield positioning of the Fund. Currency forward contracts were used to manage currency exposures within the Fund. The Treasury futures and interest-rate swap positions had limited impact on performance since they were primarily used for risk management purposes. The currency forward positions were a modest detractor as the U.S. dollar was generally stronger during the period.

AVERAGE ANNUAL TOTAL RETURN¹

		Annualized	Annualized	Annualized	Annualized
	One Year Return	3 Year Return	5 Year Return	10 Year Return	Inception to Date
Core Fixed Income Fund, Class A	10.18%	5.61%	4.45%	4.86%	5.91%
Bloomberg Barclays U.S. Aggregate Bond Index	9.42%	5.07%	3.94%	3.92%	5.41%

Comparison of Change in the Value of a $100,000 Investment in the Core Fixed Income Fund, Class A, versus the Bloomberg Barclays U.S. Aggregate Bond Index

¹  For the year ended May 31, 2020. 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 year; absent fee waivers and reimbursements, performance would have been lower.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 39

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

May 31, 2020 (Unaudited)

High Yield Bond Fund

I. Objective

The High Yield Bond Fund (the “Fund”) seeks total return.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisors as of May 31, 2020: Ares Management LLC (“Ares”), Benefit Street Partners LLC (“Benefit”), Brigade Capital Management, LP (“Brigade”), J.P. Morgan Investment Management Inc. (“J.P. Morgan”) and T. Rowe Price Associates, Inc. (“T. Rowe”). SIMC also directly manages a portion of the Fund. There were no sub-advisor changes during the fiscal period.

III. Return vs. Benchmark

For the full year ended May 31, 2020, the Fund’s Class A shares returned -3.73%. The Fund’s primary benchmark—the ICE BofA U.S. High Yield Constrained Index—returned 0.30%.

IV. Fund Attribution

The Fund underperformed its benchmark during the fiscal year. Collateralized loan obligations (“CLO”) underperformed the high-yield bond market by a wide margin over the 12-month period ending May 31, 2020. As noted in the shareholder letter, the Federal Reserve (“Fed”) cut rates a total of 225 basis points during the reporting period. During most of 2019, the Federal Reserve’s interest-rate cuts negatively impacted floating-rate fixed-income assets like CLOs.

The Fund’s overweight to structured credit detracted as risk assets sold off sharply in February and March 2020 amid the onset of the COVID-19 pandemic. CLOs and their underlying bank loan collateral fell to levels last seen during the global financial crisis. A recovery started in April and continued into May, but it was not anywhere near enough to offset the losses earlier in the period. Security selection within the retail and media sectors also weakened Fund performance. The Fund benefited from an underweight to and selection within the leisure sector, which underperformed due to the widespread shuttering of entertainment destinations during the pandemic. Similarly, an underweight to transportation benefited as the COVID-19 crisis saw much of the country locked down for an extended time toward the end of the reporting period.

Brigade was the largest detractor, primarily due to poor selection within the retail, energy and media sectors. Benefit also detracted, mostly due to weak section within the basic industry and healthcare sectors, as well as an overweight to the energy sector; as noted in the shareholder letter, the coronavirus crisis and a price war between Saudi Arabia and Russia darkened the near-term outlook for the industry, and it was the worst-performing sector, down more than 22%.

T. Rowe was the top performer, thanks to an underweight to and selection within the energy sector, which struggled with high production and low demand. An underweight to and selection within telecommunications, as well as selection within the capital goods sector, also contributed; selection within the media, transportation, and basic industry sectors detracted. Ares also contributed and was driven by security selection within the services, capital goods and leisure sectors, while selection within healthcare, media and technology detracted. Within the media sector, much of the Fund’s exposure was through companies with ad-supported business models, which the pandemic pressured due to drops in core advertising.

The Fund used derivatives throughout the one-year period ending June 30, 2020, as a way to manage duration (a measure of a security’s price sensitivity to changes in interest rates), yield-curve positioning, and spread duration in an efficient manner. Credit-related derivatives were used for this purpose and they had a modestly negative impact on overall Fund performance.

AVERAGE ANNUAL TOTAL RETURN¹

		Annualized	Annualized	Annualized	Annualized
	One Year Return	3 Year Return	5 Year Return	10 Year Return	Inception to Date
High Yield Bond Fund, Class A	-3.73%	1.65%	3.40%	6.57%	6.72%
ICE BofA U.S. High Yield Constrained Index	0.30%	2.63%	4.05%	6.50%	6.81%

40 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Comparison of Change in the Value of a $100,000 Investment in the High Yield Bond Fund, Class A, versus the ICE BofA U.S. High Yield Constrained Index

¹  For the year ended May 31, 2020. Past performance is no indication of future performance. Class A shares were offered beginning 12/5/05. 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 year; absent fee waivers and reimbursements, performance would have been lower.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 41

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

May 31, 2020 (Unaudited)

Long Duration Fund

I. Objective

The Long Duration Fund (the “Fund”) seeks return characteristics similar to those of high- quality bonds.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisors as of May 31, 2020: Income Research & Management (“Income Research”), Jennison Associates LLC (“Jennison”), Legal & General Investment Management America Inc. (“Legal & General”) and Metropolitan West Asset Management LLC (“MetWest”). There were no sub-advisor changes during the fiscal period.

III. Return vs. Benchmark

For the one year ended May 31, 2020, the Fund’s Class A shares returned 20.85%. The Fund’s primary benchmark—the Bloomberg Barclays U.S. Long Government/Credit Index—returned 20.34%.

IV. Fund Attribution

As noted in the shareholder letter, U.S. Treasury yields dropped significantly during the fiscal year as a global pandemic, as well as fundamental and political events, influenced markets. Early in the reporting period, the Federal Reserve (“Fed”) cut its targeted federal-funds range from 2.25%-2.50% to 1.50%-1.75% over the course of three meetings as financial markets grappled with heightened trade tensions between China and the U.S. In March, at the onset of the COVID-19 pandemic in the U.S., the Fed made two additional emergency cuts that brought the range to 0.00%-0.25%; the Fed also launched numerous lending facilities and large-scale asset purchases as the virus crisis began to spread across the U.S. Ultimately, the yield on 30-year U.S. Treasurys fell from 2.57% to 1.41% during the reporting period, while the yield curve steepened.

Additionally, it was a volatile period for spread products and duration-neutral Treasurys outperformed the corporate sector (duration is a measure of a security’s price sensitivity to changes in interest rates). Long duration industrials were one of the worst-performing sub-sectors during the 12-month period as oil prices collapsed amid a price war between Russia and Saudi Arabia and a drop in global demand. Despite heightened volatility, bank fundamentals remained generally sound

given the stricter regulatory requirements enacted after the great financial crisis, which aimed to improve the health of bank balance sheets and to provide support for the sector. Across the rating spectrum, long duration BBB credit underperformed higher-quality counterparts as the lockdown in the U.S. raised concerns about the ability of companies with higher leverage to service their debt. In addition to support from the Fed, the gradual reopening of the U.S. economy from the height of COVID-19 served to boost investor confidence and contributed to the rally in spreads from late-March peaks. As confidence rebounded, the investment-grade corporate bond market set a monthly record for new issuance in March, only to establish another monthly record in April.

The Fed’s swift and sizable action in response to the COVID-19 outbreak led to significant declines in rates across the curve. 1-year yields fell 204 basis points, while 2-year yields fell 176 basis points, and 5-year yields fell 161 basis points. 10-year Treasury yields declined 148 basis points over the fiscal period to end at 0.65%, and the 30-year declined by 116 basis points to end at 1.41%. The fall in rates during the period helped boost investment-grade returns.

Fund outperformance benefited from an underweight to and selection within the industrials sector. Security selection within electric utilities also helped. Curve positioning was additive as the Fund had an overweight position in the 30-year portion of the curve heading into the COVID-19 outbreak. The Fund’s underweight to Treasury securities detracted.

Over the full reporting period, each of the Fund’s managers outperformed the Fund’s primary benchmark. Income Research was the top-performing manager and was supported by its overweight to and selection within the industrials sector; security selection within financials detracted. Jennison’s curve positioning and overweight to Treasurys contributed, and an underweight to BBB was also additive as well; security selection within the energy sector detracted. MetWest benefited from security selection within the industrials and utilities sectors, while an underweight to government bonds detracted. Legal & General benefited from an underweight to and selection within the industrials sector, while an overweight to and selection within financials slightly detracted.

42 SEI Institutional Investments Trust / Annual Report / May 31, 2020

The Fund used derivatives on a limited basis. Treasury futures were employed to help manage the risk associated with interest-rate and yield-curve positioning. These had a slightly negative impact on performance.

AVERAGE ANNUAL TOTAL RETURN^1,2

	One Year Return	Annualized 3 Year Return	Annualized 5 Year Return	Annualized 10 Year Return	Annualized Inception to Date
Long Duration Fund, Class A	20.85%	10.36%	8.31%	8.57%	6.66%
Bloomberg Barclays Long U.S. Government/ Credit Index	20.34%	10.04%	7.84%	8.09%	7.47%

Comparison of Change in the Value of a $100,000 Investment in the Long Duration Fund, Class A, versus the Bloomberg Barclays Long U.S. Government/Credit Index, the 70/30 Blended Benchmark of the Bloomberg Barclays Long U.S. Credit & Bloomberg Barclays Long U.S. Government Index

1 For the year ended May 31, 2020. Past performance is no 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 year; absent fee waivers and reimbursements, performance would have been lower.

2 This table compares the Fund’s average annual total returns to those of a broad- based index and the Fund’s 70/30 Blended Benchmark, which consists of the Barclays U.S. Long Credit Index and the Barclays U.S. Long Government Index. The Fund’s Blended Benchmark is designed to provide a useful comparison to the Fund’s overall performance and more accurately reflects the Fund’s investment strategy than the broad-based index.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 43

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

May 31, 2020 (Unaudited)

Long Duration Credit Fund

I. Objective

The Long Duration Credit Fund (the “Fund”) seeks return characteristics similar to those of high-quality bonds.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisors as of May 31, 2020: Income Research & Management (Income Research), Jennison Associates LLC (“Jennison”), Legal & General Investment Management America Inc. (“Legal & General”), MetLife Investment Management, LLC, fka Logan Circle Partners, L.P., (“MetLife”), and Metropolitan West Asset Management LLC (“MetWest”). There were no sub-advisor changes during the fiscal period.

III. Return vs. Benchmark

For the full year ended May 31, 2020, the Fund’s Class A shares returned 18.47%. The Fund’s benchmark—the Bloomberg Barclays Long A+ U.S. Credit Index—returned 16.66%.

IV. Fund Attribution

As noted in the shareholder letter, U.S. Treasury yields dropped significantly during the fiscal year as a global pandemic, as well as fundamental and political events, influenced markets. Early in the reporting period, the Federal Reserve (“Fed”) cut its targeted federal-funds range from 2.25%-2.50% to 1.50%-1.75% over the course of three meetings as financial markets grappled with heightened trade tensions between China and the U.S. In March, at the onset of the COVID-19 pandemic in the U.S., the Fed made two additional emergency cuts that brought the range to 0.00%-0.25%; the Fed also launched numerous lending facilities and large-scale asset purchases as the virus crisis began to spread across the U.S. Ultimately, the yield on 30-year U.S. Treasurys fell from 2.57% to 1.41% during the reporting period, while the yield curve steepened.

Additionally, it was a volatile period for spread products and duration-neutral Treasurys outperformed the corporate sector (duration is a measure of a security’s price sensitivity to changes in interest rates). Long duration industrials were one of the worst-performing sub-sectors during the 12-month period as oil prices collapsed amid a price war between Russia and Saudi Arabia and a drop in global demand. Despite heightened

volatility, bank fundamentals remained generally sound given the stricter regulatory requirements enacted after the global financial crisis, which aimed to improve the health of bank balance sheets and to provide support for the sector. Across the rating spectrum, long duration BBB credit underperformed higher-quality counterparts as the lockdown in the U.S. raised concerns about the ability of companies with higher leverage to service their debt. In addition to support from the Fed, the gradual reopening of the U.S. economy from the height of COVID-19 served to boost investor confidence and contributed to the rally in spreads from late-March peaks. As confidence rebounded, the investment-grade corporate bond market set a monthly record for new issuance in March, only to establish another monthly record in April.

The Fed’s swift and sizable action in response to the COVID-19 outbreak led to significant declines in rates across the curve. 1-year yields fell 204 basis points, while 2-year yields fell 176 basis points, and 5-year yields fell 161 basis points. 10-year Treasury yields declined 148 basis points over the fiscal period to end at 0.65%, and the 30-year declined by 116 basis points to end at 1.41%. The fall in rates during the period helped boost investment-grade returns.

The Fund outperformed its benchmark and benefited from an overweight to Treasury securities as well as security selection within corporate subsectors such as industrials and financials; the Fund’s overweight to BBB rated securities detracted.

Over the full reporting period, each of the Fund’s managers outperformed the Fund’s benchmark. MetLife was the top-performing manager and benefited from security selection within the industrials and financials sectors as well as an overweight to government securities; its overweight to BBB detracted. Jennison’s curve positioning benefited given its overweight to 30-year yields. Defensive selection within the industrials sector was also additive, while a small overweight to financials detracted from performance. Income Research benefited from selection within industrials, particularly communications and consumer non-cyclicals, and an overweight to government securities; however, its overweight to industrials detracted. Legal & General benefited from security selection within industrials and utilities, while an overweight to financials detracted.

Derivatives were used on a limited basis. Treasury futures were employed to help manage the risk associated with interest-rate and yield-curve positioning. These had a slightly negative impact on performance.

44 SEI Institutional Investments Trust / Annual Report / May 31, 2020

AVERAGE ANNUAL TOTAL RETURN¹

		Annualized	Annualized	Annualized
	One Year Return	3 Year Return	5 Year Return	Inception to Date
Long Duration Credit Fund, Class A	18.47%	9.30%	7.96%	7.02%
Bloomberg Barclays Long A+ U.S. Credit Index	16.66%	8.69%	7.52%	6.35%

Comparison of Change in the Value of a $100,000 Investment in the Long Duration Credit Fund, Class A, versus the Bloomberg Barclays Long A+ U.S. Credit Index

¹  For the year ended May 31, 2020. Past performance is not an indication of future performance. Class A shares were offered beginning 6/29/12. 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 year; absent fee waivers and reimbursements, performance would have been lower.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 45

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

May 31, 2020 (Unaudited)

Ultra Short Duration Bond Fund

I. Objective

The Ultra Short Duration Bond Fund (the “Fund”) seeks to provide higher current income than that typically offered by a money market fund while maintaining a high degree of liquidity and a correspondingly higher risk of principal volatility.

II. Investment Approach

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilized the following sub-advisors as of May 31, 2020: MetLife Investment Management, LLC, fka Logan Circle Partners, L.P., (MetLife), and Wellington Management Company, LLP (Wellington). There were no sub-advisor changes during the fiscal period.

III. Return vs. Benchmark

For the one year ended May 31, 2020, the Fund’s Class A shares returned 2.45%. The Fund’s primary benchmark—the Bloomberg Barclays US Treasury Bills 9-12 Month Index—returned 3.13%.

IV. Fund Attribution

As noted in the shareholder letter, U.S. Treasury yields dropped significantly during the fiscal year as a global pandemic, as well as fundamental and political events, influenced markets. Early in the reporting period, the Federal Reserve (Fed) cut its targeted federal-funds range from 2.25%-2.50% to 1.50%-1.75% over the course of three meetings as financial markets grappled with heightened trade tensions between China and the U.S. In March, at the onset of the COVID-19 pandemic in the U.S., the Fed made two additional emergency cuts that brought the range to 0.00%-0.25%; the Fed also launched numerous lending facilities and large-scale asset purchases as the virus crisis began to spread across the U.S. The yield on 1-year U.S. Treasurys fell from 2.20% to 0.16% during the reporting period. Additionally, it was a volatile period for spread products. Investment-grade corporate spreads started the period at 128 basis points and closed at 174 basis points after peaking at 373 basis points as markets became illiquid during the height of the COVID-19 outbreak. Volatility extended to securitized markets as well; asset-backed security (ABS) spreads

peaked at 325 basis points, and commercial mortgage-backed securities (CMBS) at 260 basis points. ABS spreads rebounded to end the reporting period at 111 basis points after the Fed

announced it would launch its term asset-backed securities loan facility, a lending provision designed to support the ABS market; CMBS spreads ended the period at 158 basis points as the Fed included agency CMBS in its large-scale asset purchase program. Agency MBS spreads widened during the period from 44 basis points to 73 basis points before rebounding lower on the heels of the Fed’s reinstitution of agency MBS purchases; agency MBS was the only non-Treasury sector to produce excess returns versus comparable Treasury bonds during the reporting period. In addition to support from the Fed, the gradual reopening of the U.S. economy from the height of the crisis served to boost investor confidence and contributed to the rally in spreads from late-March peaks.

The Fed’s swift and sizable action in response to the COVID-19 outbreak led to significant declines in rates across the curve. 1-year yields fell 204 basis points, while 2-year yields fell 176 basis points, and 5-year yields fell 161 basis points. 10-year Treasury yields declined 148 basis points over the fiscal period to end at 0.65%, and the 30-year declined by 116 basis points to end at 1.41%. The fall in rates during the period helped boost investment-grade returns.

As spreads widened during the period, the Fund’s allocations to corporates and ABS detracted from relative performance against the all-Treasury benchmark. Additionally, the Fund’s short duration posture detracted (duration is a measure of a security’s price sensitivity to changes in interest rates), while the Fund’s yield advantage was positive.

Within corporates, overweights to energy and consumer cyclical sectors such as automotives detracted. Within the ABS sector, auto loans and home equity securitizations were the most significant detractors as unemployment rose significantly as a consequence of lockdowns, and the health of the U.S. consumer emerged as a concern.

Both sub-advisors were positive in absolute terms but detracted from the Fund’s relative performance. Wellington’s overweights to ABS and non-agency MBS detracted, while MetLife’s underperformance was primarily attributed to overweights to ABS and energy.

The Fund used Treasury futures to manage duration, yield-curve and market exposures. None of these had a meaningful impact on the Fund’s performance.

46 SEI Institutional Investments Trust / Annual Report / May 31, 2020

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return	Annualized 3 Year Return	Annualized 5 Year Return	Annualized Inception to Date
Ultra Short Duration Bond Fund, Class A	2.45%	2.42%	2.00%	1.64%
Bloomberg Barclays Short U.S. Treasury 9-12 Month Index	3.13%	2.25%	1.56%	0.97%

Comparison of Change in the Value of a $100,000 Investment in the Ultra Short Duration Bond Fund, Class A, versus the Bloomberg Barclays Short U.S. Treasury 9-12 Month Index

¹  For the year ended May 31, 2020. Past performance is no indication of future performance. Class A shares were offered beginning 2/28/11. 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 year; absent fee waivers and reimbursements, performance would have been lower.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 47

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

May 31, 2020 (Unaudited)

Emerging Markets Debt Fund

I. Objective

The Emerging Markets Debt Fund (the “Fund”) seeks to maximize total return.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisors as of May 31, 2020: Colchester Global Investors Limited (“Colchester”), Marathon Asset Management, L.P. (“Marathon”), Neuberger Berman Investment Advisers LLC (“Neuberger”), Ninety One Asset Management Ltd. fka Investec Asset Management Ltd. (“Ninety One”) and Stone Harbor Investment Partners LP (“Stone Harbor”). There were no sub-advisor changes during the fiscal period.

III. Return vs. Benchmark

For the full year ended May 31, 2020, the Fund’s Class A shares underperformed the J.P. Morgan EMBI Global Diversified Index (the “Index”), returning 0.28% versus the Index return of 0.38%.

IV. Fund Attribution

Emerging-market (EM) debt denominated in external currencies, according to the J.P. Morgan EMBI Global Diversified Index, returned 0.38% during the Fund’s fiscal year, whereas local-currency EM debt, according to the J.P. Morgan GBI-EM Global Diversified Index, returned 2.05%, in U.S. dollar terms. Combined into the Fund’s 50% hard-currency/50% local-currency blended benchmark, the blended benchmark returned 1.29%.

Egypt performed well for the year, driven by confidence in the country’s adherence to its International Monetary Fund economic reform program, while Argentina sold off aggressively after surprising primary election results in August. Argentina aside, risk assets benefited from positive growth, with high real yields and (relatively) attractive spreads providing positive carry through the second half of 2019.

Entering the first quarter of 2020, relative Fund performance was positive until the severity of COVID-19 began to challenge the Fund’s risk-on positioning in mid-February. Much of the damage was done by late March as spread assets repriced several multiples wider.

In hard-currency markets, as represented by the J.P. Morgan EMBI Global Diversified Index, spreads widened

from under 300 basis points in February to slightly over 700 basis points at peak crisis in early March. Local-market performance comprised the return from both the local rate curve and the return from the local currency against the U.S. dollar. Local rates were positive in absolute terms for the year as inflation remained benign. EM currency returns were mildly positive until the growth impact of COVID-19 became clearer in the first quarter of 2020. This turning point drove double-digit negative absolute returns for EM currencies.

April and May were more supportive for risk assets, as spread markets began to recover. As noted in the shareholder letter, central banks continued to cut policy rates to support the loosening of financial conditions and their respective economies.

The Fund underperformed its blended benchmark during the fiscal year. The Fund’s overweight to the Brazilian real and Mexico peso and underweight to Thai baht detracted from performance. Overweight positions in the Egyptian pound and Russian ruble benefited. Venezuela, Argentina and Angola overweights in hard-currency bonds detracted, while an overweight in Ukraine and an underweight to Lebanon hard-currency bonds supported performance.

Stone Harbor lagged all other managers as its overweights to Venezuela and Angola were significant detractors. Neuberger also underperformed and was challenged by overweights to South Africa, Mexico, Argentina and Venezuela. Colchester added value with overweights to the Russian ruble and Mexican peso, while underweights to the Polish zloty and Thai baht detracted. Ninety One outperformed and benefited from overweights to the Egyptian pound and Ukrainian hryvnia. Marathon added value with overweights to Israel and Qatar and an underweight to Nigeria, while an overweight to Venezuela detracted.

Currency forwards and interest-rate swaps are the primary derivatives used within the Fund to efficiently optimize active-currency and duration exposures. Currency forwards had a material impact on the Fund during the period as 50% of the blended benchmark is directly affected by foreign currencies. Positive and negative impacts differed on a country-to-country basis, depending on whether the forward increased or decreased currency exposure and whether the currency strengthened or weakened relative to the U.S. dollar.

48 SEI Institutional Investments Trust / Annual Report / May 31, 2020

AVERAGE ANNUAL TOTAL RETURN^1,2

	One Year Return	Annualized 3 Year Return	Annualized 5 Year Return	Annualized 10 Year Return	Annualized Inception to Date
Emerging Markets Debt Fund, Class A	0.28%	1.04%	2.60%	3.75%	5.36%
Fund’s Blended Benchmark	1.29%	1.82%	3.19%	3.83%	5.60%
J.P. Morgan EMBI Global Diversified Index	0.38%	2.36%	4.24%	5.87%	6.46%
J.P. Morgan GBI-EM Global Diversified Index	2.05%	1.13%	2.00%	1.68%	4.59%

Comparison of Change in the Value of a $100,000 Investment in the Emerging Market Debt Fund, Class A, versus a 50/50 Hybrid of the Following Indexes: the J.P. Morgan EMBI Global Diversified Index, and the J.P. Morgan GBI-EM Global Diversified Index

¹ For the year ended May 31, 2020. Past performance is not an indication of future performance. Class A shares were offered beginning 12/5/05. 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 year; absent fee waivers and reimbursements, performance would have been lower.

2 This table compares the Fund’s average annual total returns to those of a broad-based index and the Fund’s 50/50 Blended Benchmark, which consists of the J.P. Morgan EMBI Global Diversified Index (broad based) and the J.P. Morgan GBI-EM Global Diversified Index. The Fund’s Blended Benchmark is designed to provide a useful comparison to the Fund’s overall performance and more accurately reflects the Fund’s investment strategy than the broad-based index.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 49

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

May 31, 2020 (Unaudited)

Real Return Fund

I. Objective

The Real Return Fund (the “Fund”) seeks a total return exceeding the rate of inflation.

II. Multi-Manager Approach Statement

The Fund is directly managed by SEI Investments Management Corporation (“SIMC”). There were no sub-advisor changes made during the fiscal period.

III. Return vs. Benchmark

For the one year ending May 31, 2020, the Fund’s Class A shares returned 3.44%. The Fund’s benchmark—the Bloomberg Barclays 1-5 Year U.S. TIPS Index—returned 3.54%.

IV. Fund Attribution

The Fund’s performance was within expectations as the Fund manager aims to replicate the performance of the Bloomberg Barclays 1-5 Year U.S. TIPS Index. As noted in the shareholder letter, the Federal Reserve cut the target federal-funds range from 2.25%-2.50% to 0.00%-0.25% during the fiscal year, and Treasury inflation-protected securities (“TIPS”) generated positive returns on an absolute basis. On a relative basis, TIPS underperformed nominal Treasuries, as the spread of COVID-19 led to global lockdowns, economic contraction and lower inflation expectations.

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized 10 Year Return		Annualized Inception to Date
Real Return Fund, Class A		3.44%		2.24%		1.80%		1.68%		2.77%
Bloomberg Barclays 1-5 Year U.S. TIPS Index		3.54%		2.29%		1.87%		1.74%		2.70%

Comparison of Change in the Value of a $100,000 Investment in the Real Return Fund, Class A, versus the Bloomberg Barclays 1-5 Year U.S. TIPS Index

¹  For the year ended May 31, 2020. 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 year; absent fee waivers and reimbursements, performance would have been lower.

50 SEI Institutional Investments Trust / Annual Report / May 31, 2020

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

May 31, 2020 (Unaudited)

Limited Duration Bond Fund

I. Objective

The Limited Duration Bond Fund (the “Fund”) seeks preservation of capital and current income.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisors as of May 31, 2020: MetLife Investment Management, LLC, fka Logan Circle Partners, L.P., (“MetLife”), and Metropolitan West Asset Management LLC (“MetWest”). There were no sub-advisor changes during the fiscal period.

III. Return vs. Benchmark

For the one year ending May 31, 2020, the Fund’s Class A shares returned 4.14%. The Fund’s primary benchmark—the ICE BofA 1-3 year U.S. Treasury Index—returned 4.56%.

IV. Fund Attribution

As noted in the shareholder letter, U.S. Treasury yields dropped significantly during the fiscal year as a global pandemic, as well as fundamental and political events, influenced markets. Early in the reporting period, the Federal Reserve (“Fed”) cut its targeted federal-funds range from 2.25%-2.50% to 1.50%-1.75% over the course of three meetings as financial markets grappled with heightened trade tensions between China and the U.S. In March, at the onset of the COVID-19 pandemic in the U.S., the Fed made two additional emergency cuts that brought the range to 0.00%-0.25%; the Fed also launched numerous lending facilities and large-scale asset purchases as the virus crisis began to spread across the U.S. The yield on 1-year U.S. Treasurys fell from 2.20% to 0.16% during the reporting period. Additionally, it was a volatile period for spread products. Investment-grade corporate spreads started the period at 128 basis points and closed at 174 basis points after peaking at 373 basis points as markets became illiquid during the height of the COVID-19 outbreak. Increased volatility extended to securitized markets as well; asset-backed securities (“ABS”) spreads peaked at 325 basis points, and commercial mortgage-backed securities (“CMBS”) at 260 basis points. ABS spreads rebounded to end the reporting period at 111 basis points after the Fed announced it would launch its term asset-backed securities loan facility, a lending resource designed to support the ABS market; CMBS spreads ended the

period at 158 basis points after the Fed included agency CMBS in its large-scale asset purchase program. Agency MBS spreads widened during the period from 44 basis points to 73 basis points before rebounding lower on the heels of the Fed’s reinstitution of its purchases of agency MBS, which was the only non-Treasury sector to produce excess returns versus comparable Treasurys. In addition to support from the Fed, the gradual reopening of the U.S. economy from the height of the crisis boosted investor confidence and helped spreads rally from late-March peaks.

The Fed’s swift and sizable action in response to the COVID-19 outbreak led to significant declines in rates across the curve. 1-year yields fell 204 basis points, while 2-year yields fell 176 basis points, and 5-year yields fell 161 basis points. 10-year Treasury yields declined 148 basis points over the fiscal period to end at 0.65%, and the 30-year declined by 116 basis points to end at 1.41%. The fall in rates during the period helped boost investment-grade returns.

The Fund was positive in absolute returns, but it underperformed its all-Treasury benchmark; the Fund’s overweight to spread sectors detracted as spreads widened during the fiscal year and yields declined precipitously. An underweight to government bonds and overweights to CMBS and ABS also challenged performance. Additionally, the Fund’s short duration posture weakened relative performance - (duration is a measure of a security’s price sensitivity to changes in interest rates). The Fund’s yield advantage over the all-Treasury benchmark contributed.

Both sub-advisors underperformed. MetWest’s CMBS position detracted; its curve positioning was also challenged as the curve steepened and MetWest was short 2- and 3-year maturities against long 5-year maturities relative to the benchmark. An allocation to spread sectors provided an income advantage relative to the all-Treasury benchmark. MetLife’s short duration posture and overweights to ABS and CMBS, along with an underweight to government bonds, detracted. An allocation to spread sectors provided an income advantage relative to the all-Treasury benchmark.

The Fund used Treasury futures to manage duration, yield-curve and market exposures. None of these had a meaningful impact on the Fund’s performance. The Fund used to-be-announced (“TBA”) forward contracts to manage market exposures (TBA contracts confer the obligation to buy or sell future debt obligations of the three U.S. government-sponsored agencies that issue or guarantee MBS—Fannie Mae, Freddie Mac and Ginnie

SEI Institutional Investments Trust / Annual Report / May 31, 2020 51

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

May 31, 2020 (Unaudited)

Limited Duration Bond Fund (Concluded)

Mae). None of these had a meaningful impact on Fund performance.

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized Inception to Date
Limited Duration Bond Fund, Class A		4.14%		2.84%		2.19%		2.05%
ICE BofA 1-3 Year U.S. Treasury Index		4.56%		2.63%		1.83%		1.72%

Comparison of Change in the Value of a $100,000 Investment in the Limited Duration Bond Fund, Class A, versus the ICE BofA 1-3 Year U.S. Treasury Index

¹ For the year ended May 31, 2020. Past performance is not an indication of future performance. Class A shares were offered beginning 7/31/14. 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 year; absent fee waivers and reimbursements, performance would have been lower.

52 SEI Institutional Investments Trust / Annual Report / May 31, 2020

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

May 31, 2020 (Unaudited)

Intermediate Duration Credit Fund

I. Objective

The Intermediate Duration Credit Fund (the “Fund”) seeks current income consistent with the preservation of capital.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisors as of May 31, 2020: Income Research & Management (“Income Research”), Legal & General Investment Management America Inc. (“Legal & General”) and MetLife Investment Management, LLC, fka Logan Circle Partners, L.P., (“MetLife”). There were no sub-advisor changes during the fiscal period.

III. Return vs. Benchmark

For the one year ending May 31, 2020, the Fund’s Class A shares returned 10.99%. The Fund’s primary benchmark—the Bloomberg Barclays A+ U.S. Credit Index—returned 10.53%.

IV. Fund Attribution

As noted in the shareholder letter, U.S. Treasury yields dropped significantly during the fiscal year as a global pandemic, as well as fundamental and political events, influenced markets. Early in the reporting period, the Federal Reserve (“Fed”) cut its targeted federal-funds range from 2.25%-2.50% to 1.50%-1.75% over the course of three meetings, while financial markets grappled with heightened trade tensions between China and the U.S. In March, at the onset of the COVID-19 pandemic in the U.S., the Fed made two additional emergency cuts that brought the range to 0.00%-0.25%; the Fed also launched numerous lending facilities and large-scale asset purchases as the virus crisis began to spread across the U.S. The yield on 1-year U.S. Treasurys fell from 2.20% to 0.16% during the reporting period. Additionally, it was a volatile period for spread products. Investment-grade corporate spreads started the period at 128 basis points and closed at 174 basis points after peaking at 373 basis points as markets became illiquid during the height of the COVID-19 outbreak. Increased volatility extended to securitized markets as well; asset-backed securities (“ABS”) spreads peaked at 325 basis points, and commercial mortgage-backed securities (“CMBS”) at 260 basis points. ABS spreads rebounded to end the reporting period at 111 basis points after the Fed announced it would launch its term asset-backed

securities loan facility, a lending resource designed to support the ABS market; CMBS spreads ended the period at 158 basis points after the Fed included agency CMBS in its large-scale asset purchase program. Agency MBS spreads widened during the period from 44 basis points to 73 basis points before rebounding lower on the heels of the Fed’s reinstitution of its purchases of agency MBS, which was the only non-Treasury sector to produce excess returns versus comparable Treasurys. In addition to support from the Fed, the gradual reopening of the U.S. economy from the height of the crisis boosted investor confidence and helped spreads rally from late-March peaks. As confidence rebounded, the investment-grade corporate bond market set a monthly record for new issuance in March, only to establish another monthly record in April.

The Fed’s swift and sizable action in response to the COVID-19 outbreak led to significant declines in rates across the curve. 1-year yields fell 204 basis points, while 2-year yields fell 176 basis points, and 5-year yields fell 161 basis points. 10-year Treasury yields declined 148 basis points over the fiscal period to end at 0.65%, and the 30-year declined by 116 basis points to end at 1.41%. The fall in rates during the period helped boost investment-grade returns.

The Fund outperformed its primary benchmark and benefited from an overweight to Treasurys as well as selection within electric utilities; the Fund’s overweight to BBB rated securities detracted. Over the reporting period, Legal & General and MetLife both outperformed the benchmark, while Income Research underperformed. Legal & General’s security selection within the financials and industrials sectors contributed, while an overweight to BBB rated securities and an underweight to non-corporates detracted. MetLife benefited from its overweight to Treasurys as well as selection within utilities; an overweight to BBB rated securities and selection within the industrials sector detracted. Income Research benefited from its overweight to Treasurys and selection within utilities, while selection within industrials and financials detracted.

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return			Annualized 3 Year Return			Annualized 5 Year Return			Annualized Inception to Date
Intermediate Duration Credit Fund, Class A		10.99	%		5.95	%		5.07	%		4.61	%
Bloomberg Barclays A+ U.S. Credit Index		10.53	%		5.70	%		4.73	%		4.34	%

SEI Institutional Investments Trust / Annual Report / May 31, 2020 53

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

May 31, 2020 (Unaudited)

Intermediate Duration Credit Fund (Concluded)

Comparison of Change in the Value of a $100,000 Investment in the Intermediate Duration Credit Fund, Class A, versus the Bloomberg Barclays A+ U.S. Credit Index

¹  For the year ended May 31, 2020. Past performance is not an indication of future performance. Class A shares were offered beginning 3/31/15. 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 year; absent fee waivers and reimbursements, performance would have been lower.

54 SEI Institutional Investments Trust / Annual Report / May 31, 2020

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

May 31, 2020 (Unaudited)

Dynamic Asset Allocation Fund

I. Objective

The Dynamic Asset Allocation Fund (the “Fund”) seeks long-term total return.

II. Investment Approach

The Fund is managed by a sub-advisor under the general supervision of SEI Investments Management Corporation (“SIMC”). Assets of the Fund not allocated to the sub-advisor are managed directly by SIMC. The Fund utilized the following sub-advisor as of May 31, 2020: SSGA Funds Management, Inc. There were no sub-advisor changes during the fiscal period.

III. Return vs. Benchmark

For the full year ended May 31, 2020, the Fund’s Class A shares returned 11.85%. The Fund’s primary benchmark—the S&P 500 Index Gross—returned 12.84%.

IV. Fund Attribution

A majority of the Fund’s volatility is typically driven by strategic exposure to the S&P 500 Index, which served as the most significant driver of the Fund’s return during the period. The S&P 500 Index’s positive performance—as noted in the shareholder letter—more than offset the negative aggregate performance of the Fund’s tactical trades, resulting in positive absolute total returns but slight underperformance to the Fund’s primary benchmark.

The largest detractor from relative performance was a long emerging-market equities against short developed-market equities position. This exposure was negatively impacted by escalating trade tensions between the U.S and China early in the fiscal year and was closed out in August 2019. Developed markets proved resilient despite less-compelling valuations, and strength in the U.S. equity market was the main headwind for this exposure. A position in the Bloomberg Commodity Index via total-return swaps was also negatively impacted by concerns over trade and was exited in August 2019. A short S&P 500 Index futures position detracted in the fourth quarter of 2019. The position had been initiated as a hedge against a potential short-term market correction.

In addition to the Fund’s S&P 500 Index exposure, other contributors to performance included an outright long gold position through Bloomberg Commodity Gold Index total-return swaps. This position was implemented in March 2020 and benefited from its “safe-haven” perception and attractiveness as a store of value. A long Japanese yen and short euro currency forward position was also beneficial during the reporting period as the

yen appreciated relative to the euro. A U.S. yield-curve steepening position through constant maturity caps modestly contributed to performance.

Derivatives are used to obtain the Fund’s tactical exposures. In the past year, these have included futures, foreign-currency forward contracts, options, caps and total-return swaps. The use of derivatives had a material impact on performance since all active trades are implemented through their use.

AVERAGE ANNUAL TOTAL RETURN¹

			Annualized		Annualized		Annualized
	One Year		3 Year		5 Year		Inception
	Return		Return		Return		to Date
Dynamic Asset Allocation Fund, Class A		11.85%		7.69%		8.21%		12.13%
S&P 500 Index		12.84%		10.23%		9.86%		13.21%

Comparison of Change in the Value of a $100,000 Investment in the Dynamic Asset Allocation Fund, Class A, versus the S&P 500 Index

¹ For the year ended May 31, 2020. Past performance is not an indication of future performance. Class A shares were offered beginning 7/30/10. 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 year; absent fee waivers and reimbursements, performance would have been lower.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 55

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

May 31, 2020 (Unaudited)

Multi-Asset Real Return Fund

I. Objective

The Multi-Asset Real Return Fund (the “Fund”) seeks a total return exceeding the rate of inflation.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisors as of May 31, 2020: AllianceBernstein L.P. (“AllianceBernstein”), Columbia Management Investment Advisers (“Columbia”), Credit Suisse Asset Management, LLC (“Credit Suisse”), and QS Investors, LLC (“QS”). Columbia manages a wholly owned subsidiary of the Fund and has delegated certain of its duties to Threadneedle International Ltd. as a sub-advisor. Credit Suisse manages a wholly owned subsidiary of the Fund. There were no sub-advisor changes during the fiscal period.

III. Return vs. Benchmark

For the one year ending May 31, 2020, the Fund’s Class A shares returned -3.38%. The Fund’s primary benchmark—the Bloomberg Barclays 1-5 Year U.S. TIPS Index—returned 3.54%.

IV. Fund Attribution

As noted in the shareholder letter, inflation-sensitive assets, such as commodities and Treasury inflation-protected securities (“TIPS”), were mixed during the fiscal year. The Fund’s TIPS exposure contributed over the reporting period, while its commodities allocation struggled. The Fund’s exposure to inflation-sensitive equities also detracted from Fund performance during the fiscal year.

The Fund’s commodities managers, Columbia and Credit Suisse, detracted over the reporting period. The majority of underperformance was from asset-class exposure to commodities. QS’s equity long/short strategy also detracted, as the strategy tended to favor sectors with positive inflation sensitivity. Energy and real-estate investment trusts detracted most at the sector level. AllianceBernstein, manager of the Fund’s TIPS allocation, contributed on an absolute basis as TIPS were positive for the year; however, the manager underperformed its benchmark due to its allocation to credit, primarily within investment-grade credit and securitized assets. The credit markets sold off over the first quarter of 2020

and dragged down relative performance for the entire period.

The Fund used equity-index futures to hedge broad equity-market exposure, bond futures and interest-rate swaps to hedge duration, and commodity futures to obtain diversified strategic exposure to commodities. The equity-index futures, bond futures and interest-rate swap positions all detracted from performance, although each provided the intended hedging exposures. The exposure obtained via commodity futures detracted from total return.

AVERAGE ANNUAL TOTAL RETURN¹

			Annualized		Annualized		Annualized
	One Year		3 Year		5 Year		Inception
	Return		Return		Return		to Date
Multi-Asset Real Return Fund, Class A		-3.38%		-0.66%		-1.21%		-1.99%
Bloomberg Barclays 1-5 Year U.S. TIPS Index		3.54%		2.29%		1.87%		1.04%

Comparison of Change in the Value of a $100,000 Investment in the Multi-Asset Real Return Fund, Class A, versus the Bloomberg Barclays 1-5 Year U.S. TIPS Index

¹  For the year ended May 31, 2020. Past performance is not an indication of future performance. Class A shares were offered beginning 7/29/11. 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 year; absent fee waivers and reimbursements, performance would have been lower.

56 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SUMMARY SCHEDULE OF INVESTMENTS

May 31, 2020

Large Cap Fund

^†Percentages are based on total investments. Includes investments held as collateral for securities held on loan (see Note 12).

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
COMMON STOCK — 97.4%
Communication Services — 6.7%
Alphabet Inc, Cl A *		0.3	%		1,692	$	2,425
Alphabet Inc, Cl C *		1.3			8,265		11,810
AT&T Inc		0.8			246,400		7,604
Comcast Corp, Cl A		0.6			138,327		5,478
Facebook Inc, Cl A *		1.1			48,064		10,819
Verizon Communications Inc		0.7			112,500		6,455
Other Securities (A)		1.9					18,529
							63,120
Consumer Discretionary — 11.6%
Amazon.com Inc *		2.6			10,068		24,590
Dollar General Corp		0.8			38,403		7,355
Lowe’s Cos Inc		1.4			99,209		12,932
Ross Stores Inc		0.5			53,871		5,223
Target Corp		0.9			66,400		8,123
Other Securities (A)		5.4					51,210
							109,433
Consumer Staples — 8.1%
JM Smucker Co/The		0.6			49,139		5,598
Kroger Co/The		0.9			270,693		8,830
Philip Morris International Inc		1.0			126,852		9,306
Unilever NV		1.2			217,681		11,215
Other Securities (A)		4.4					41,256
							76,205
Energy — 2.2%
Chevron Corp		0.9			87,983		8,068
Other Securities		1.3					12,882
							20,950
Financials — 14.3%
Bank of America Corp		0.7			275,500		6,645
Berkshire Hathaway Inc, Cl B *		1.1			53,402		9,910
Citigroup Inc		0.7			132,275		6,337
First Republic Bank/CA		0.6			56,480		6,109
JPMorgan Chase & Co		1.1			106,630		10,376
Markel Corp *		0.6			6,712		6,024
Moody’s Corp		0.6			20,532		5,490

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Morgan Stanley		0.7	%		157,409	$	6,957
State Street Corp		0.6			96,057		5,856
Other Securities ‡		7.6					70,690
							134,394
Health Care — 17.3%
Amgen Inc		0.9			38,079		8,747
CVS Health Corp		0.9			123,757		8,115
Johnson & Johnson		2.1			135,109		20,097
Merck & Co Inc		1.5			177,588		14,335
Pfizer Inc		1.4			337,684		12,896
Quest Diagnostics Inc		0.6			46,569		5,508
Teleflex Inc		0.7			17,195		6,239
UnitedHealth Group Inc		0.9			27,565		8,403
Other Securities (A)		8.3					77,935
							162,275
Industrials — 8.9%
3M Co		0.8			47,074		7,364
Honeywell International Inc		0.6			35,749		5,214
Roper Technologies Inc		0.6			13,948		5,493
Other Securities (A)		6.9					65,709
							83,780
Information Technology — 19.7%
Adobe Inc *		1.1			27,195		10,514
Apple Inc		1.9			56,766		18,048
Applied Materials Inc		0.7			111,694		6,275
Cisco Systems Inc		0.8			156,455		7,482
Intel Corp		1.8			263,574		16,587
Intuit Inc		1.0			32,657		9,481
Microchip Technology Inc (A)		0.8			82,446		7,916
Microsoft Corp		3.1			157,707		28,900
NVIDIA Corp		0.6			16,139		5,730
salesforce.com *		0.7			36,175		6,323
SAP SE ADR		0.7			51,730		6,627
Visa Inc, Cl A		1.2			57,370		11,201
Other Securities (A)		5.3					49,930
							185,014
Materials — 2.9%
Other Securities (A)		2.9					27,595
Real Estate — 2.8%
Other Securities ‡		2.8					26,285
Utilities — 2.9%
NextEra Energy Inc		0.8			29,370		7,506
Other Securities		2.1					19,731
							27,237
Total Common Stock (Cost $764,988) ($ Thousands)							916,288

SEI Institutional Investments Trust / Annual Report / May 31, 2020 57

SUMMARY SCHEDULE OF INVESTMENTS

May 31, 2020

Large Cap Fund (Concluded)

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
AFFILIATED PARTNERSHIP — 3.0%
SEI Liquidity Fund, L.P.
0.290% **†(B)		3.0	%		28,633,236	$	28,649
Total Affiliated Partnership (Cost $28,638) ($ Thousands)							28,649

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
CASH EQUIVALENT — 1.3%
SEI Daily Income Trust, Government Fund, Cl F
0.090% **†		1.3	%		12,187,680	$	12,188
Total Cash Equivalent (Cost $12,188) ($ Thousands)							12,188
Total Investments in Securities — 101.7% (Cost $805,814)($ Thousands)						$	957,125

A list of the open futures contracts held by the Fund at May 31, 2020, is as follows:

Type of Contract	Number of Contracts Long		Expiration Date		Notional Amount (Thousands)		Value (Thousands)		Unrealized Appreciation (Thousands)
S&P 500 Index E-MINI		100		Jun-2020	$	15,001	$	15,210	$	209
S&P Mid Cap 400 Index E-MINI		6		Jun-2020		1,048		1,057		9
					$	16,049	$	16,267	$	218

Percentages are based on a Net Assets of $941,086 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2020.

^†  Investment in Affiliated Security (see Note 6).

^‡  Real Estate Investment Trust.

(A) Certain securities or partial positions of certain securities are on loan at May 31, 2020 (see Note 12). The total market value of securities on loan at May 31, 2020, was $27,635 ($ Thousands).

(B) This security was purchased with cash collateral held from securities on loan (see Note 12). The total market value of such securities as of May 31, 2020 was $28,649 ($ Thousands).

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

S&P— Standard & Poor’s

The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.

The following is a list of the level of inputs used as of May 31, 2020, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Common Stock		916,288		–		–		916,288
Affiliated Partnership		–		28,649		–		28,649
Cash Equivalent		12,188		–		–		12,188
Total Investments in Securities		928,476		28,649		–		957,125

Other Financial Instruments	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Futures Contracts*
Unrealized Appreciation		218		–		–		218
Total Other Financial Instruments		218		–		–		218

* Futures contracts are valued at the unrealized appreciation on the instrument.

For the year ended May 31, 2020, there were no transfers in or out of Level 3.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to

Financial Statements.

58 SEI Institutional Investments Trust / Annual Report / May 31, 2020

The following is a summary of the Fund’s transactions with affiliates for the year ended May 31, 2020 ($ Thousands):

Security Description	Value 5/31/2019	Purchases at Cost	Proceeds from Sales	Realized Gain	Change in Unrealized Appreciation	Value 5/31/2020	Shares	Income	Capital Gains
SEI Liquidity Fund, L.P.	$26,526	$176,700	$(174,588)	$1	$10	$28,649	28,633,236	$125	$—
SEI Daily Income Trust, Government Fund, Cl F	94,077	380,836	(462,725)	—	—	12,188	12,187,680	387	—
Totals	$120,603	$557,536	$(637,313)	$1	$10	$40,837		$512	$—

Amounts designated as “—” are either $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 59

SUMMARY SCHEDULE OF INVESTMENTS

May 31, 2020

Large Cap Disciplined Equity Fund

^†Percentages are based on total investments. Includes investments held as collateral for securities held on loan (see Note 12).

Description	Percentage of Net Assets (%)		Shares		Market Value ($ Thousands)
COMMON STOCK — 97.6%
Communication Services — 8.7%
Alphabet Inc, Cl A *		1.5%		14,536	$	20,838
Alphabet Inc, Cl C *		0.5		4,761		6,803
AT&T Inc		0.5		243,000		7,499
Facebook Inc, Cl A *		1.7		105,056		23,647
Verizon Communications Inc		1.2		290,616		16,676
Other Securities (A)		3.3				45,019
						120,482
Consumer Discretionary — 9.5%
Amazon.com Inc *		2.7		15,289		37,341
Dollar General Corp		0.7		48,947		9,374
Home Depot Inc/The		0.7		40,245		10,000
Lowe’s Cos Inc		1.1		112,424		14,654
Other Securities (A)		4.3				59,612
						130,981
Consumer Staples — 7.4%
Altria Group Inc		0.8		270,173		10,550
Coca-Cola Co		0.8		243,143		11,350
Procter & Gamble Co/The		1.3		150,636		17,462
Other Securities (A)		4.5				62,204
						101,566
Energy — 2.1%
Chevron Corp		1.0		146,112		13,399
Other Securities		1.1				16,055
						29,454
Financials — 10.4%
American International Group Inc		0.5		241,149		7,249
Bank of America Corp		1.2		656,587		15,837
Berkshire Hathaway Inc, Cl B *		0.6		44,079		8,180
Citigroup Inc		0.6		162,800		7,800
Wells Fargo & Co		0.7		385,349		10,200
Willis Towers Watson PLC		0.5		37,141		7,536
Other Securities ‡		6.3				86,647
						143,449

Description	Percentage of Net Assets (%)	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Health Care — 18.4%
Abbott Laboratories	1.1%		164,321	$	15,597
Amgen Inc	0.9		56,479		12,973
Becton Dickinson and Co	1.0		58,094		14,345
Bristol-Myers Squibb Co	0.5		121,168		7,236
Cigna Corp	0.5		35,600		7,025
CVS Health Corp	0.7		143,519		9,411
Humana Inc	1.0		31,817		13,066
Johnson & Johnson	1.1		99,404		14,786
Medtronic PLC	0.9		130,536		12,868
Merck & Co Inc	2.2		373,414		30,142
Pfizer Inc	0.6		222,733		8,506
UnitedHealth Group Inc	1.3		58,191		17,740
Zimmer Biomet Holdings Inc	0.8		89,737		11,337
Other Securities	5.8				78,922
					253,954
Industrials — 8.9%
AMETEK Inc	0.6		85,345		7,827
Honeywell International Inc	0.9		83,944		12,243
Illinois Tool Works Inc	0.5		41,343		7,130
L3Harris Technologies Inc	0.7		48,249		9,623
Stanley Black & Decker Inc	0.6		61,121		7,668
Other Securities	5.6				78,270
					122,761
Information Technology — 22.1%
Apple Inc	3.5		151,303		48,105
Applied Materials Inc	0.5		130,153		7,312
Cisco Systems Inc	0.7		197,500		9,444
Intel Corp	0.9		200,191		12,598
Intuit Inc	0.6		28,716		8,337
Microsoft Corp	4.7		357,599		65,530
Motorola Solutions Inc	0.6		57,404		7,769
NVIDIA Corp	0.9		33,548		11,910
Oracle Corp	0.6		152,174		8,182
QUALCOMM Inc	1.1		195,563		15,817
Xilinx Inc	0.8		114,981		10,573
Other Securities (A)	7.2				99,112
					304,689
Materials — 2.5%
Air Products and Chemicals Inc	0.6		34,345		8,299
Other Securities	1.9				25,651
					33,950
Real Estate — 3.7%
Crown Castle International Corp ‡	0.9		74,186		12,772
Other Securities ‡	2.8				38,966
					51,738
Utilities — 3.9%
NextEra Energy Inc	0.9		46,507		11,885

60 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Percentage of Net Assets (%)		Shares	Market Value ($ Thousands)
COMMON STOCK (continued)
Other Securities		3.0%		$	41,551
					53,436
Total Common Stock (Cost $1,092,579) ($ Thousands)					1,346,460
U.S. TREASURY OBLIGATION — 0.0%
Other Securities (B)		0.0%			120
Total U.S. Treasury Obligation (Cost $120) ($ Thousands)					120

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
AFFILIATED PARTNERSHIP — 1.6%
SEI Liquidity Fund, L.P.
0.290% **†(C)		1.6	%		22,568,868	$	22,577
Total Affiliated Partnership (Cost $22,573) ($ Thousands)							22,577
CASH EQUIVALENT — 2.7%
SEI Daily Income Trust, Government Fund, Cl F
0.090% **†		2.7			37,159,794		37,160
Total Cash Equivalent (Cost $37,160) ($ Thousands)							37,160
Total Investments in Securities — 101.9% (Cost $1,152,432)($ Thousands)						$	1,406,317

A list of the open futures contracts held by the Fund at May 31, 2020, is as follows:

Type of Contract	Number of Contracts Long		Expiration Date		Notional Amount (Thousands)		Value (Thousands)		Unrealized Appreciation (Thousands)
S&P 500 Index E-MINI		88		Jun-2020	$	13,042	$	13,385	$	343

Percentages are based on a Net Assets of $1,380,069 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2020.

^‡  Real Estate Investment Trust.

^†  Investment in Affiliated Security (see Note 6).

(A) Certain securities or partial positions of certain securities are on loan at May 31, 2020 (see Note 12). The total market value of securities on loan at May 31, 2020, was $21,852 ($ Thousands).

(B) Security, or portion thereof, has been pledged as collateral on open futures contracts.

(C) This security was purchased with cash collateral held from securities on loan (see Note 12). The total market value of such securities as of May 31, 2020 was $22,577 ($ Thousands).

Cl — Class

L.P. — Limited Partnership

PLC — Public Limited Company

S&P— Standard & Poor’s

The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.

The following is a list of the level of inputs used as of May 31, 2020, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Common Stock		1,346,460		–		–		1,346,460
U.S. Treasury Obligation		–		120		–		120
Affiliated Partnership		–		22,577		–		22,577
Cash Equivalent		37,160		–		–		37,160
Total Investments in Securities		1,383,620		22,697		–		1,406,317
Other Financial Instruments	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Futures Contracts *
Unrealized Appreciation		343		–		–		343
Total Other Financial Instruments		343		–		–		343

* Futures contracts are valued at the unrealized appreciation on the instrument.

For the year ended May 31, 2020, there were no transfers in or out of Level 3.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 61

SUMMARY SCHEDULE OF INVESTMENTS

May 31, 2020

Large Cap Disciplined Equity Fund (Concluded)

The following is a summary of the Fund’s transactions with affiliates for the year ended May 31, 2020 ($ Thousands):

Security Description	Value 5/31/2019	Purchases at Cost	Proceeds from Sales	Realized Gain	Change in Unrealized Appreciation	Value 5/31/2020	Shares	Income	Capital Gains
SEI Liquidity Fund, L.P.	$56,762	$293,068	$(327,261)	$1	$7	$22,577	22,568,868	$—	$—
SEI Daily Income Trust, Government Fund, Cl F	72,385	941,013	(976,238)	—	—	37,160	37,159,794	887	—
Totals	$129,147	$1,234,081	$(1,303,499)	$1	$7	$59,737		$887	$—

Amounts designated as “—” are either $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

62 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SUMMARY SCHEDULE OF INVESTMENTS

May 31, 2020

Large Cap Index Fund

^†Percentages are based on total investments. Includes investments held as collateral for securities held on loan (see Note 12).

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
COMMON STOCK — 99.4%
Communication Services — 10.4%
Alphabet Inc, Cl A *		1.5	%		18,729	$	26,848
Alphabet Inc, Cl C *		1.5			18,799		26,862
AT&T Inc		0.8			458,485		14,149
Comcast Corp, Cl A		0.6			283,350		11,221
Facebook Inc, Cl A *		1.9			149,600		33,674
Netflix Inc *		0.6			26,500		11,123
Verizon Communications Inc		0.9			259,776		14,906
Walt Disney Co/The *		0.8			109,750		12,874
Other Securities (A)		1.8					30,991
							182,648
Consumer Discretionary — 10.9%
Amazon.com Inc *		3.7			26,189		63,963
Home Depot Inc/The		1.0			68,415		17,000
McDonald’s Corp		0.5			47,580		8,865
NIKE Inc, Cl B		0.4			74,068		7,302
Tesla Inc *		0.5			9,137		7,629
Other Securities (A)		4.8					85,281
							190,040
Consumer Staples — 6.6%
Coca-Cola Co		0.6			241,040		11,252
Costco Wholesale Corp		0.5			27,681		8,539
PepsiCo Inc		0.7			88,052		11,583
Philip Morris International Inc		0.4			98,168		7,202
Procter & Gamble Co/The		1.0			152,654		17,696
Walmart Inc		0.6			87,379		10,840
Other Securities (A)		2.8					49,084
							116,196
Energy — 2.8%
Chevron Corp		0.6			119,902		10,995
Exxon Mobil Corp		0.7			266,138		12,101
Other Securities (A)		1.5					25,360
							48,456
Financials — 10.5%
Bank of America Corp		0.7			502,463		12,119

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Berkshire Hathaway Inc, Cl B *		1.3	%		122,600	$	22,752
JPMorgan Chase & Co		1.1			195,534		19,027
SEI Investments Co †		0.0			6,742		366
Other Securities ‡(A)(B)		7.4					129,873
							184,137
Health Care — 15.0%
Abbott Laboratories		0.6			108,637		10,312
AbbVie Inc		0.6			111,401		10,324
Amgen Inc		0.5			36,958		8,489
Bristol-Myers Squibb Co		0.5			147,519		8,810
Eli Lilly and Co		0.5			53,671		8,209
Johnson & Johnson		1.4			166,409		24,753
Medtronic PLC		0.5			84,726		8,352
Merck & Co Inc		0.7			160,043		12,919
Pfizer Inc		0.8			349,522		13,348
Thermo Fisher Scientific Inc		0.5			25,225		8,808
UnitedHealth Group Inc		1.0			59,320		18,084
Other Securities (A)		7.4					129,878
							262,286
Industrials — 8.3%
Union Pacific Corp		0.4			43,632		7,411
Other Securities (A)		7.9					138,311
							145,722
Information Technology — 25.8%
Accenture PLC, Cl A		0.5			40,000		8,065
Adobe Inc *		0.7			30,302		11,715
Apple Inc		4.7			258,225		82,100
Broadcom Inc		0.4			24,432		7,116
Cisco Systems Inc		0.7			269,427		12,884
Intel Corp		1.0			268,658		16,907
Mastercard Inc, Cl A		1.0			55,700		16,760
Microsoft Corp		5.0			473,800		86,824
NVIDIA Corp		0.7			36,656		13,014
PayPal Holdings Inc *		0.6			73,711		11,426
salesforce.com Inc *		0.5			52,984		9,261
Texas Instruments Inc		0.4			58,908		6,995
Visa Inc, Cl A		1.2			107,400		20,969
Other Securities (A)		8.4					147,512
							451,548
Materials — 2.6%
Other Securities (A)		2.6					45,862
Real Estate — 3.3%
American Tower Corp, Cl A ‡		0.4			27,822		7,183
Other Securities ‡(A)		2.9					50,955
							58,138
Utilities — 3.2%
NextEra Energy Inc		0.5			30,873		7,890

SEI Institutional Investments Trust / Annual Report / May 31, 2020 63

SUMMARY SCHEDULE OF INVESTMENTS

May 31, 2020

Large Cap Index Fund (Concluded)

Description	Percentage of Net Assets (%)			Shares	Market Value ($ Thousands)
COMMON STOCK (continued)
Other Securities		2.7	%		$	47,123
						55,013
Total Common Stock (Cost $710,331) ($ Thousands)						1,740,046
RIGHT — 0.0%
Other Securities(A)		0.0				13
Total Right (Cost $—) ($ Thousands)						13

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
AFFILIATED PARTNERSHIP — 1.6%
SEI Liquidity Fund, L.P.
0.290% **†(C)		1.6	%		27,278,859	$	27,289
Total Affiliated Partnership (Cost $27,280) ($ Thousands)							27,289
CASH EQUIVALENT — 0.4%
SEI Daily Income Trust, Government Fund, Cl F
0.090% **†		0.4			6,854,089		6,854
Total Cash Equivalent (Cost $6,854) ($ Thousands)							6,854
Total Investments in Securities — 101.4% (Cost $744,465)($ Thousands)						$	1,774,202

A list of the open futures contracts held by the Fund at May 31, 2020, is as follows:

Type of Contract	Number of Contracts Long		Expiration Date		Notional Amount (Thousands)		Value (Thousands)		Unrealized Appreciation (Thousands)
S&P 500 Index E-MINI		68		Jun-2020	$	8,570	$	10,343	$	1,773
S&P Mid Cap 400 Index E-MINI		6		Jun-2020		843		1,057		214
					$	9,413	$	11,400	$	1,987

Percentages are based on a Net Assets of $1,750,464 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2020.

^‡  Real Estate Investment Trust.

^†  Investment in Affiliated Security (see Note 6).

(A) Certain securities or partial positions of certain securities are on loan at May 31, 2020 (see Note 12). The total market value of securities on loan at May 31, 2020, was $26,859 ($ Thousands).

(B) Security is a Master Limited Partnership. At May 31, 2020, such securities amounted to $185 ($ Thousands), or 0.0% of Net Assets of the Fund (see Note 2).

(C) This security was purchased with cash collateral held from securities on loan (see Note 12). The total market value of such securities as of May 31, 2020 was $27,289 ($ Thousands).

Cl — Class

L.P. — Limited Partnership

PLC — Public Limited Company

S&P — Standard & Poor’s

The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.

64 SEI Institutional Investments Trust / Annual Report / May 31, 2020

The following is a list of the level of inputs used as of May 31, 2020, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Common Stock		1,740,046		–		–		1,740,046
Right		13		–		–		13
Affiliated Partnership		–		27,289		–		27,289
Cash Equivalent		6,854		–		–		6,854
Total Investments in Securities		1,746,913		27,289		–		1,774,202

Other Financial Instruments	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Futures Contracts *
Unrealized Appreciation		1,987		—		—		1,987
Total Other Financial Instruments		1,987		—		—		1,987

* Futures contracts are valued at the unrealized appreciation on the instrument.

For the year ended May 31, 2020, there were no transfers in or out of Level 3.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to

Financial Statements.

The following is a summary of the Fund’s transactions with affiliates for the year ended May 31, 2020 ($ Thousands):

Security Description	Value 5/31/2019	Purchases at Cost	Proceeds from Sales	Realized Gain	Change in Unrealized Appreciation	Value 5/31/2020	Shares	Income	Capital Gains
SEI Investment Co.	$ 339	$ —	$ —	$ —	$ 27	$  366	6,742	$ 5	$ —
SEI Liquidity Fund, L.P.	20,606	179,531	(172,862)	3	11	27,289	27,278,859	72	—
SEI Daily Income Trust, Government Fund, Cl F	32,626	472,705	(498,477)	—	—	6,854	6,854,089	374	—
Totals	$ 53,571	$ 652,236	$ (671,339)	$ 3	$ 38	$ 34,509		$ 451	$ —

Amounts designated as “—” are either $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 65

SCHEDULE OF INVESTMENTS

May 31, 2020

S&P 500 Index Fund

^†Percentages are based on total investments. Includes investments held as collateral for securities held on loan (see Note 12).

Description	Percentage of Net Assets (%)	Shares		Market Value   ($ Thousands)
COMMON STOCK — 98.0%
Communication Services — 10.7%
Alphabet Inc, Cl A *	1.7%		49,641	$	71,161
Alphabet Inc, Cl C *	1.7		49,563		70,822
AT&T Inc	0.9		1,208,891		37,306
Comcast Corp, Cl A	0.7		753,648		29,844
Facebook Inc, Cl A *	2.1		398,478		89,693
Netflix Inc *	0.7		72,479		30,422
Verizon Communications Inc	0.9		684,452		39,274
Walt Disney Co/The *	0.8		298,219		34,981
Other Securities (A)	1.2				56,142
					459,645
Consumer Discretionary — 10.3%
Amazon.com Inc *	3.9		68,960		168,426
Home Depot Inc/The	1.1		180,587		44,872
McDonald’s Corp	0.6		124,987		23,288
NIKE Inc, Cl B	0.5		206,682		20,375
Other Securities (A)	4.2				183,618
					440,579
Consumer Staples — 7.0%
Coca-Cola Co	0.7		640,157		29,883
Costco Wholesale Corp	0.5		73,300		22,611
PepsiCo Inc	0.7		231,478		30,451
Philip Morris International Inc	0.4		258,078		18,933
Procter & Gamble Co/The	1.1		412,767		47,848
Walmart Inc	0.7		235,483		29,214
Other Securities (A)	2.9				120,754
					299,694
Energy — 2.9%
Chevron Corp	0.7		313,878		28,783
Exxon Mobil Corp	0.8		700,000		31,829
Other Securities (A)	1.4				61,577
					122,189
Financials — 10.2%
Bank of America Corp	0.8		1,339,483		32,308
Berkshire Hathaway Inc, Cl B *	1.4		323,828		60,096
JPMorgan Chase & Co	1.2		519,257		50,529

Description	Percentage of Net Assets (%)	Shares		Market Value   ($ Thousands)
COMMON STOCK (continued)
Other Securities (A)	6.8%			$	294,282
					437,215
Health Care — 14.9%
Abbott Laboratories	0.7		293,348		27,845
AbbVie Inc	0.6		292,613		27,116
Amgen Inc	0.5		98,391		22,600
Bristol-Myers Squibb Co	0.5		388,370		23,193
Eli Lilly and Co	0.5		140,145		21,435
Johnson & Johnson	1.5		436,470		64,925
Medtronic PLC	0.5		222,361		21,920
Merck & Co Inc	0.8		421,270		34,005
Pfizer Inc	0.8		915,735		34,972
Thermo Fisher Scientific Inc	0.5		66,491		23,218
UnitedHealth Group Inc	1.1		156,787		47,797
Other Securities (A)	6.9				290,007
					639,033
Industrials — 7.8%
Union Pacific Corp	0.5		115,187		19,566
Other Securities (A)	7.3				314,087
					333,653
Information Technology — 25.7%
Accenture PLC, Cl A	0.5		105,396		21,250
Adobe Inc *	0.7		80,095		30,965
Apple Inc	5.1		691,846		219,965
Broadcom Inc	0.4		65,759		19,154
Cisco Systems Inc	0.8		701,943		33,567
Intel Corp	1.1		719,952		45,307
Mastercard Inc, Cl A	1.0		146,947		44,215
Microsoft Corp	5.4		1,263,604		231,555
NVIDIA Corp	0.8		101,583		36,064
Oracle Corp	0.5		359,365		19,323
PayPal Holdings Inc *	0.7		194,883		30,209
salesforce.com Inc *	0.6		146,991		25,693
Texas Instruments Inc	0.4		155,083		18,415
Visa Inc, Cl A	1.3		283,370		55,325
Other Securities (A)	6.4				267,954
					1,098,961
Materials — 2.5%
Other Securities (A)	2.5				106,190
Real Estate — 2.8%
American Tower Corp, Cl A ‡	0.4		73,500		18,975
Other Securities ‡(A)	2.4				100,047
					119,022
Utilities — 3.2%
NextEra Energy Inc	0.5		80,900		20,675
Other Securities	2.7				115,791
					136,466
Total Common Stock (Cost $2,648,940) ($ Thousands)					4,192,647

66 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Percentage of Net Assets (%)		Shares		Market Value   ($ Thousands)
AFFILIATED PARTNERSHIP — 1.2%
SEI Liquidity Fund, L.P.
0.290% **†(B)		1.2%		49,581,792	$	49,600
Total Affiliated Partnership (Cost $49,585) ($ Thousands)						49,600

Description	Percentage of Net Assets (%)		Shares		Market Value   ($ Thousands)
CASH EQUIVALENT — 1.5%
SEI Daily Income Trust, Government Fund, Cl F
0.090% **†		1.5%		66,287,481	$	66,287
Total Cash Equivalent (Cost $66,287) ($ Thousands)						66,287
Total Investments in Securities — 100.7% (Cost $2,764,812) ($ Thousands)					$	4,308,534

A list of the open futures contracts held by the Fund at May 31, 2020, is as follows:

Type of Contract	Number of Contracts Long		Expiration Date		Notional Amount (Thousands)		Value (Thousands)		Unrealized     Appreciation (Thousands)
S&P 500 Index E-MINI		562		Jun-2020	$	72,411	$	85,480	$	13,069

Percentages are based on a Net Assets of $4,277,620 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2020.

^‡  Real Estate Investment Trust.

^†  Investment in Affiliated Security (see Note 6).

(A) Certain securities or partial positions of certain securities are on loan at May 31, 2020 (see Note 12). The total market value of securities on loan at May 31, 2020, was $47,805 ($ Thousands).

(B) This security was purchased with cash collateral held from securities on loan (see Note 12). The total market value of such securities as of May 31, 2020 was $49,600 ($ Thousands).

Cl — Class

L.P. — Limited Partnership

PLC — Public Limited Company

S&P — Standard & Poor’s

The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.

The following is a list of the level of inputs used as of May 31, 2020, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Common Stock		4,192,647		–		–		4,192,647
Affiliated Partnership		–		49,600		–		49,600
Cash Equivalent		66,287		–		–		66,287
Total Investments in Securities		4,258,934		49,600		–		4,308,534
Other Financial Instruments	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Futures Contracts*
Unrealized Appreciation		13,069		–		–		13,069
Total Other Financial Instruments		13,069		–		–		13,069

* Futures contracts are valued at the unrealized appreciation on the instrument.

For the year ended May 31, 2020, there were no transfers in or out of Level 3.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The following is a summary of the Fund’s transactions with affiliates for the year ended May 31, 2020 ($ Thousands):

Security Description	Value   5/31/2019	Purchases   at Cost	Proceeds from Sales	Realized Gain	Change in Unrealized Appreciation	Value   5/31/2020	Shares	Income	Capital   Gains
SEI Liquidity Fund, L.P.	$25,367	$237,087	$(212,878)	$3	$21	$49,600	49,581,792	$56	$—
SEI Daily Income Trust, Government Fund, Cl F	99,297	1,382,368	(1,415,378)	—	—	66,287	66,287,481	1,453	—
Totals	$124,664	$1,619,455	$(1,628,256)	$3	$21	$115,887		$1,509	$—

Amounts designated as “—” are either $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 67

SUMMARY SCHEDULE OF INVESTMENTS

May 31, 2020

Extended Market Index Fund

^†Percentages are based on total investments. Includes investments held as collateral for securities held on loan (see Note 12).

Description	Percentage of Net Assets (%)		Shares			Market Value     ($ Thousands)
COMMON STOCK — 99.9%
Communication Services — 4.7%
IAC/interactivecorp *		0.5%		19,321	$		5,224
Liberty Broadband Corp, Cl A *		0.1		6,883			927
Liberty Broadband Corp, Cl C *		0.3		27,268			3,725
Liberty Media Corp-Liberty Formula One, Cl A *		0.0		7,308			247
Liberty Media Corp-Liberty Formula One, Cl C *		0.2		52,542			1,821
Liberty Media Corp-Liberty SiriusXM, Cl A*		0.1		23,235			848
Liberty Media Corp-Liberty SiriusXM, Cl C *(A)		0.1		44,170			1,611
Match Group Inc *(A)		0.1		14,600			1,300
Sirius XM Holdings Inc (A)		0.2		359,981			2,095
Spotify Technology SA *		0.5		33,900			6,134
Other Securities (A)		2.6					31,240
							55,172
Consumer Discretionary — 12.6%
Burlington Stores Inc *		0.3		17,100			3,585
Liberty Media Corp-Liberty Braves, Cl A *		0.0		1,803			41
Liberty Media Corp-Liberty Braves, Cl C*		0.0		10,465			230
Lululemon Athletica Inc *		0.8		30,800			9,243
Tesla Inc *		2.6		37,479			31,295
Yum China Holdings Inc *		0.4		94,200			4,365
Other Securities (A)		8.5					99,745
							148,504
Consumer Staples — 3.0%
Other Securities (A)		3.0					35,312
Energy — 1.6%
Other Securities (A)		1.6					19,037

Description	Percentage of Net Assets (%)	Shares			Market Value ($ Thousands)
COMMON STOCK (continued)
Financials — 13.2%
FactSet Research Systems Inc	0.3%		9,786	$		3,009
Markel Corp *	0.3		3,533			3,171
SEI Investments Co †	0.2		33,719			1,828
Other Securities ‡(A)(B)	12.4					146,592
						154,600
Health Care — 16.1%
Alnylam Pharmaceuticals Inc *	0.3		27,889			3,773
BioMarin Pharmaceutical Inc *	0.4		46,446			4,949
Catalent Inc *	0.3		40,300			3,133
Exact Sciences Corp *(A)	0.3		36,680			3,150
Insulet Corp *	0.2		15,521			2,927
Masimo Corp *	0.2		12,393			2,977
Moderna Inc *(A)	0.3		58,700			3,610
Molina Healthcare Inc *	0.3		15,936			2,961
Neurocrine Biosciences Inc *	0.3		23,900			2,982
Sarepta Therapeutics Inc *(A)	0.2		18,700			2,847
Seattle Genetics Inc *	0.4		30,300			4,763
Teladoc Health Inc *(A)	0.3		18,600			3,238
Veeva Systems Inc, Cl A*	0.6		34,200			7,485
Other Securities (A)	12.0					141,142
						189,937
Industrials — 12.6%
CoStar Group Inc *	0.5		9,263			6,084
HEICO Corp	0.1		11,718			1,181
HEICO Corp, Cl A	0.1		20,782			1,745
Nordson Corp	0.3		15,112			2,846
Teledyne Technologies Inc *	0.3		9,337			3,493
TransUnion	0.3		48,500			4,185
Uber Technologies Inc *	0.8		247,900			9,004
Other Securities (A)	10.2					119,797
						148,335
Information Technology — 21.8%
Atlassian Corp PLC, Cl A*	0.5		31,200			5,781
Black Knight Inc *	0.2		37,637			2,897
Coupa Software Inc *	0.3		16,600			3,777
DocuSign Inc, Cl A *	0.5		41,100			5,743
EPAM Systems Inc *	0.3		13,500			3,114
Fair Isaac Corp *	0.3		7,491			3,016
GoDaddy Inc, Cl A *	0.3		45,200			3,492
Marvell Technology Group Ltd	0.5		172,457			5,626
Okta Inc, Cl A *	0.4		27,200			5,320
Palo Alto Networks Inc *	0.5		24,733			5,819
RingCentral Inc, Cl A *	0.4		19,400			5,320
Splunk Inc *	0.7		40,684			7,561
Square Inc, Cl A *	0.6		89,700			7,273
SS&C Technologies Holdings Inc	0.3		57,918			3,353
Teradyne Inc	0.3		43,700			2,929
Trade Desk Inc/The, Cl A *(A)	0.3		10,300			3,209
Twilio Inc, Cl A *	0.5		31,916			6,307
Tyler Technologies Inc *	0.3		9,787			3,673
VMware Inc, Cl A *(A)	0.3		20,117			3,144

68 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Percentage of Net Assets (%)		Shares			Market Value     ($ Thousands)
COMMON STOCK (continued)
Workday Inc, Cl A *		0.7%		43,189	$		7,922
Other Securities (A)		13.6					160,216
							255,492
Materials — 3.9%
Other Securities (A)		3.9					45,471
Real Estate — 7.7%
Invitation Homes Inc ‡		0.3		139,581			3,671
Sun Communities Inc ‡		0.3		23,621			3,241
Other Securities  ‡(A)		7.1					84,232
							91,144

Description	Percentage of Net Assets (%)			Shares			Market Value ($ Thousands)
COMMON STOCK (continued)
Utilities — 2.7%
Other Securities (A)		2.7	%			$		32,107
Total Common Stock (Cost $1,011,829) ($ Thousands)								1,175,111
RIGHTS — 0.0%
Other Securities (A) (C)‡‡		0.0						72
Total Rights (Cost $3) ($ Thousands)								72
AFFILIATED PARTNERSHIP — 13.2%
SEI Liquidity Fund, L.P. 0.290% **†(D)		13.2			154,983,797			155,062
Total Affiliated Partnership (Cost $154,989) ($ Thousands)								155,062
Total Investments in Securities — 113.1% (Cost $1,166,821)($ Thousands)						$		1,330,245

A list of the open futures contracts held by the Fund at May 31, 2020 is as follows:

Type of Contract	Number of Contracts Long		Expiration Date		Notional Amount (Thousands)		Value (Thousands)		Unrealized Appreciation (Thousands)
Russell 2000 Index E-MINI		31		Jun-2020	$	1,850	$	2,159	$	309
S&P Mid Cap 400 Index E-MINI		17		Jun-2020		2,388		2,996		608
					$	4,238	$	5,155	$	917

Percentages are based on a Net Assets of $1,176,664 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2020.

^‡  Real Estate Investment Trust.

^†  Investment in Affiliated Security (see Note 6).

# Expiration date not available.

(A) Certain securities or partial positions of certain securities are on loan at May 31, 2020 (see Note 12). The total market value of securities on loan at May 31, 2020, was $153,105 ($ Thousands).

(B) Security is a Master Limited Partnership. At May 31, 2020, such securities amounted to $824 ($ Thousands), or 0.1% of Net Assets of the Fund (See Note 2).

(C) Level 3 Security in accordance with fair value hierarchy.

(D) This security was purchased with cash collateral held from securities on loan (see Note 12). The total market value of such securities as of May 31, 2020 was $155,062 ($ Thousands).

Cl — Class

PLC — Public Limited Company

L.P. — Limited Partnership

S&P — Standard & Poor’s

The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 69

SUMMARY SCHEDULE OF INVESTMENTS

May 31, 2020

Extended Market Index Fund (Concluded)

The following is a list of the level of inputs used as of May 31, 2020, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1 ($)		Level 2 ($)		Level 3 ($)(1)		Total ($)
Common Stock		1,175,111		–		–		1,175,111
Rights		70		–		2		72
Affiliated Partnership		–		155,062		–		155,062
Total Investments in Securities		1,175,181		155,062		2		1,330,245

Other Financial Instruments	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Futures Contracts*
Unrealized Appreciation		917		–		–		917
Total Other Financial Instruments		917		–		–		917

(1) A reconciliation of Level 3 instruments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to the net assets. Management has concluded that Level 3 investments are not material in relation to net assets.

* Futures contracts are valued at the unrealized appreciation on the instrument.

For the year ended May 31, 2020, there were no transfers in or out of Level 3.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The following is a summary of the Fund’s transactions with affiliates for the year ended May 31, 2020 ($ Thousands):

Security Description	Value 5/31/2019	Purchases at Cost	Proceeds from Sales	Realized Gain	Change in Unrealized Appreciation	Value 5/31/2020	Shares	Income	Capital Gains
SEI Investments Co	$1,287	$564	$(145)	$—	$122	$1,828	33,719	$19	$—
SEI Liquidity Fund, L.P.	84,352	522,798	(452,169)	6	75	155,062	154,983,797	895	—
SEI Daily Income Trust, Government Fund, Cl F	16,298	382,549	(398,847)	—	—	—	—	234	—
Totals	$101,937	$905,911	$(851,161)	$6	$197	$156,890		$1,148	$—

Amounts designated as “—” are either $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

70 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SUMMARY SCHEDULE OF INVESTMENTS

May 31, 2020

Small Cap Fund

^†Percentages are based on total investments. Includes investments held as collateral for securities held on loan (see Note 12).

Description	Percentage of Net Assets (%)	Shares		Market Value     ($ Thousands)
COMMON STOCK — 98.3%
Communication Services — 2.3%
EverQuote Inc, Cl A *	0.4%		15,446	$	833
Other Securities (A)	1.9				4,358
					5,191
Consumer Discretionary — 9.3%
TopBuild Corp *	0.5		9,865		1,131
Williams-Sonoma Inc (A)	0.3		9,385		781
Other Securities (A)	8.5				19,296
					21,208
Consumer Staples — 4.6%
Freshpet Inc *	0.7		20,389		1,574
Ingredion Inc	0.4		10,300		868
SpartanNash Co	0.3		30,680		657
WD-40 Co (A)	0.3		3,416		655
Other Securities (A)	2.9				6,864
					10,618
Energy — 1.7%
Other Securities (A)	1.7				3,979
Financials — 16.9%
CNO Financial Group Inc	0.4		57,500		825
Hamilton Lane Inc, Cl A	0.5		14,780		1,081
International Bancshares Corp	0.3		20,500		631
Kinsale Capital Group Inc	0.7		10,060		1,502
Palomar Holdings Inc, Cl A *	0.5		15,700		1,168
Other Securities ‡(A)	14.5				33,428
					38,635
Health Care — 19.7%
AtriCure Inc *	0.4		18,980		907
CryoPort Inc *(A)	0.4		32,530		799
Haemonetics Corp *	0.4		8,240		904
Immunomedics Inc *(A)	0.5		31,854		1,070
Masimo Corp *	0.7		7,005		1,683

Description	Percentage of Net Assets (%)	Shares		Market Value     ($ Thousands)
COMMON STOCK (continued)
Prestige Consumer Healthcare Inc*	0.3%		16,779	$	708
Quidel Corp *	0.6		7,831		1,370
Repligen Corp *	0.8		13,093		1,715
Teladoc Health Inc *(A)	0.3		4,417		769
Vapotherm Inc *	0.4		34,052		907
Other Securities (A)	14.9				34,299
					45,131
Industrials — 15.0%
CRA International Inc	0.3		17,652		713
Exponent Inc	0.7		21,715		1,612
Generac Holdings Inc *	0.8		15,598		1,736
Mercury Systems Inc *	0.7		16,880		1,508
MSA Safety Inc	0.5		8,828		1,050
RBC Bearings Inc *	0.3		5,155		725
Trex Co Inc *(A)	0.8		15,542		1,867
Other Securities (A)(B)	10.9				25,155
					34,366
Information Technology — 16.8%
Avalara Inc *	0.7		15,100		1,617
Ciena Corp *	0.4		15,698		867
CSG Systems International Inc	0.3		15,200		720
Diodes Inc *	0.3		12,700		618
Everbridge Inc *	0.6		9,370		1,370
KEMET Corp	0.3		24,900		673
LivePerson Inc *(A)	0.3		18,055		676
Methode Electronics Inc	0.3		21,900		687
Monolithic Power Systems Inc	0.8		9,188		1,927
Nova Measuring Instruments Ltd*	0.3		13,110		625
Novanta Inc *	0.3		7,580		779
RingCentral Inc, Cl A *	0.6		4,870		1,336
Silicon Laboratories Inc *	0.4		9,360		877
Switch Inc, Cl A (A)	0.3		33,804		646
Viavi Solutions Inc *	0.5		94,655		1,097
Other Securities (A)	10.4				24,066
					38,581
Materials — 3.4%
Greif Inc, Cl A	0.3		21,600		734
Silgan Holdings Inc	0.3		18,660		624
Other Securities (A)	2.8				6,372
					7,730
Real Estate — 5.5%
Rexford Industrial Realty Inc ‡	0.4		24,635		981
Other Securities ‡(A)	5.1				11,542
					12,523
Utilities — 3.1%
National Fuel Gas Co (A)	0.5		24,500		1,028

SEI Institutional Investments Trust / Annual Report / May 31, 2020 71

SUMMARY SCHEDULE OF INVESTMENTS

May 31, 2020

Small Cap Fund (Concluded)

Description	Percentage of Net Assets (%)	Shares		Market Value     ($ Thousands)
COMMON STOCK (continued)
Other Securities	2.6%			$	6,042
					7,070
Total Common Stock (Cost $226,355) ($ Thousands)					225,032
RIGHTS — 0.0%
Other Securities (C)	0.0				—
Total Rights (Cost $—) ($ Thousands)					—
AFFILIATED PARTNERSHIP — 8.5%
SEI Liquidity Fund, L.P. 0.290% **†(D)	8.5		19,346,823		19,356
Total Affiliated Partnership (Cost $19,348) ($ Thousands)					19,356
CASH EQUIVALENT — 1.2%
SEI Daily Income Trust, Government Fund, Cl F 0.090% **†	1.2		2,844,686		2,845
Total Cash Equivalent (Cost $2,845) ($ Thousands)					2,845
Total Investments in Securities — 108.0% (Cost $248,548)($ Thousands)				$	247,233

Percentages are based on Net Assets of $228,900 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2020.

^†  Investment in Affiliated Security (See Note 6).

^‡  Real Estate Investment Trust.

(A) Certain securities or partial positions of certain securities are on loan at May 31, 2020 (See Note 12). The total market value of securities on loan at May 31, 2020 was $18,751 ($ Thousands). (B) Security is a Master Limited Partnership. At May 31, 2020, such securities amounted to $318 ($ Thousands), or 0.1% of the net assets (See Note 2).

(C) Level 3 security in accordance with fair value hierarchy.

(D) This security was purchased with cash collateral held from securities on loan (See Note 12). The total market value of such securities as of May 31, 2020 was $19,356 ($ Thousands).

Cl — Class

L.P. — Limited Partnership

Ltd. — Limited

The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.

The following is a list of the level of inputs used as of May 31, 2020, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1 ($)		Level 2 ($)		Level 3 ($)(1)		Total ($)
Common Stock		225,032		–		–		225,032
Rights		–		–		–^		–
Affiliated Partnership		–		19,356		–		19,356
Cash Equivalent		2,845		–		–		2,845
Total Investments in Securities		227,877		19,356		–		247,233

(1) A reconciliation of Level 3 instruments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. Management has concluded that Level 3 investments are not material in relation to net assets.

^ Securities round to an amount less than $500.

For the year ended May 31, 2020, there were no transfers in or out of Level 3.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

72 SEI Institutional Investments Trust / Annual Report / May 31, 2020

The following is a summary of the Fund’s transactions with affiliates for the year ended May 31, 2020 ($ Thousands):

Security Description	Value 5/31/2019	Purchases at Cost	Proceeds from Sales	Realized Gain	Change in Unrealized Appreciation	Value 5/31/2020	Shares	Income	Capital Gains
SEI Liquidity Fund, L.P.	$ 20,292	$ 96,977	$ (97,922)	$ 1	$ 8	$ 19,356	19,346,823	$ 89	$ —
SEI Daily Income Trust, Government Fund, Cl F	11,271	106,847	(115,273)	—	—	2,845	2,844,686	111	—
Totals	$ 31,563	$ 203,824	$ (213,195)	$ 1	$ 8	$ 22,201		$ 200	$ —

Amounts designated as “—” are either $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 73

SUMMARY SCHEDULE OF INVESTMENTS

May 31, 2020

Small Cap II Fund

^†Percentages are based on total investments. Includes investments held as collateral for securities held on loan (see Note 12).

Description	Percentage of Net Assets (%)	Shares		Market Value ($ Thousands)
COMMON STOCK — 97.2%
Communication Services — 2.6%
Cogent Communications Holdings Inc	0.5%		20,658	$	1,581
Nexstar Media Group Inc, Cl A	0.6		20,442		1,703
Other Securities (A)	1.5				4,838
					8,122
Consumer Discretionary — 13.8%
American Eagle Outfitters Inc (A)	0.6		195,779		1,793
Bloomin’ Brands Inc (A)	1.0		280,583		3,201
Brinker International Inc	0.5		58,046		1,530
Cheesecake Factory Inc/The (A)	0.6		86,570		1,859
Dave & Buster’s Entertainment Inc (A)	0.8		198,418		2,617
Dick’s Sporting Goods Inc	0.4		34,035		1,227
Modine Manufacturing Co *	0.6		371,385		1,987
Murphy USA Inc *	0.6		16,507		1,916
Urban Outfitters Inc *	0.4		74,565		1,263
Other Securities (A)	8.3				25,761
					43,154
Consumer Staples — 6.2%
BJ’s Wholesale Club Holdings Inc*	0.4		37,401		1,346
Darling Ingredients Inc *	0.6		84,317		1,965
Hain Celestial Group Inc/The *	0.4		39,174		1,233
Pilgrim’s Pride Corp *	0.4		57,782		1,195
TreeHouse Foods Inc *	0.5		28,261		1,490
Other Securities (A)	3.9				12,179
					19,408
Energy — 2.1%
Cabot Oil & Gas Corp, Cl A	0.5		71,913		1,427
Cimarex Energy Co	0.4		46,916		1,233
Other Securities (A)(B)	1.2				3,908
					6,568

Description	Percentage of Net Assets (%)	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Financials — 15.6%
American Equity Investment Life
Holding Co	0.9%		123,130	$	2,671
BankUnited Inc	0.8		130,833		2,418
CNO Financial Group Inc	0.8		173,400		2,488
Cohen & Steers Inc	0.3		17,342		1,102
First Commonwealth Financial Corp	0.4		149,129		1,220
First Horizon National Corp (A)	0.5		181,290		1,695
FNB Corp/PA	0.9		386,286		2,862
Lincoln National Corp	0.4		30,602		1,161
National General Holdings Corp	0.8		120,095		2,438
Sterling Bancorp/DE	0.3		88,365		1,087
Umpqua Holdings Corp	0.8		222,251		2,531
Other Securities ‡(A)	8.7				27,138
					48,811
Health Care — 18.0%
Envista Holdings Corp *	0.4		57,174		1,209
Integra LifeSciences Holdings Corp *	0.6		35,077		1,828
Prestige Consumer Healthcare Inc *	0.4		27,068		1,142
Other Securities (A)	16.6				52,263
					56,442
Industrials — 14.2%
Atlas Air Worldwide Holdings Inc *	0.4		32,409		1,266
BWX Technologies Inc	0.7		35,468		2,219
Clean Harbors Inc *	0.5		24,121		1,433
ITT Inc	0.4		19,138		1,104
JetBlue Airways Corp *(A)	0.5		164,485		1,656
Nordson Corp	0.4		6,194		1,167
WESCO International Inc *	0.6		54,725		1,822
Other Securities (A)	10.7				33,909
					44,576
Information Technology — 14.5%
2U Inc *	0.3		29,283		1,068
CACI International Inc, Cl A *	0.5		5,695		1,428
ExlService Holdings Inc *	0.4		19,646		1,202
MACOM Technology Solutions
Holdings Inc *	0.5		45,205		1,435
ManTech International Corp/
VA, Cl A	0.7		26,966		2,096
NCR Corp *	0.5		90,575		1,635
Power Integrations Inc	0.4		12,171		1,319
Super Micro Computer Inc *	0.8		101,331		2,631
Other Securities (A)(C)(D)	10.4				32,393
					45,207
Materials — 4.6%
Commercial Metals Co	0.8		142,450		2,445
Other Securities (A)	3.8				12,003
					14,448

74 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Percentage of Net Assets (%)	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Real Estate — 2.6%
Other Securities ‡(A)	2.6%			$	7,974
Utilities — 3.0%
Algonquin Power & Utilities Corp	0.4		77,175		1,080
Portland General Electric Co	0.4		29,398		1,385
Other Securities	2.2				7,055
					9,520
Total Common Stock (Cost $294,242) ($ Thousands)					304,230
WARRANT — 0.0%
Other Securities	0.0				33
Total Warrant (Cost $45) ($ Thousands)					33
RIGHTS — 0.0%
Other Securities (D)	0.0				—
Total Rights (Cost $–) ($ Thousands)					—

Description	Percentage of Net Assets (%)	Shares	Market Value ($ Thousands)
AFFILIATED PARTNERSHIP — 13.0%
SEI Liquidity Fund, L.P. 0.290% **†(E)	13.0%	40,658,516	$ 40,682
Total Affiliated Partnership (Cost $40,663) ($ Thousands)			40,682
CASH EQUIVALENT — 2.9%
SEI Daily Income Trust, Government Fund, Cl F 0.090% **†	2.9	8,950,818	8,951
Total Cash Equivalent (Cost $8,951) ($ Thousands)			8,951
Total Investments in Securities — 113.1% (Cost $343,901)($ Thousands)			$ 353,896

A list of open futures contracts held by the Fund at May 31, 2020, is as follows:

Type of Contract	Number of Contracts Long		Expiration Date		Notional Amount (Thousands)		Value (Thousands)		Unrealized Appreciation (Depreciation) (Thousands)
Russell 2000 Index E-MINI		3		Jun-2020	$	209	$	209	$	–

Percentages are based on a Net Assets of $312,950 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2020.

^‡  Real Estate Investment Trust.

^†  Investment in Affiliated Security (see Note 6).

(A) Certain securities or partial positions of certain securities are on loan at May 31, 2020 (see Note 12). The total market value of securities on loan at May 31, 2020, was $39,801 ($ Thousands).

(B) Security is a Master Limited Partnership. At May 31, 2020, such securities amounted to $580 ($ Thousands), or 0.2% of Net Assets of the Fund (See Note 2).

(C) Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of May 31, 2020 was $2 ($ Thousands) and represented 0.0% of the Net Assets of the Fund.

(D) Level 3 security in accordance with fair value hierarchy.

(E) This security was purchased with cash collateral held from securities on loan (See Note 12). The total market value of such securities as of May 31, 2020 was $40,682 ($ Thousands).

Cl — Class

The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.

The following is a list of the level of inputs used as of May 31, 2020, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1 ($)		Level 2 ($)		Level 3 ($)(1)		Total ($)
Common Stock		304,228		–		2		304,230
Warrant		–		33		–		33
Rights		–		–		–		–
Affiliated Partnership		–		40,682		–		40,682
Cash Equivalent		8,951		–		–		8,951
Total Investments in Securities		313,179		40,715		2		353,896
Other Financial Instruments	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Futures Contracts*
Unrealized Appreciation		–		–		–		–
Total Other Financial Instruments		–		–		–		–

(1) A reconciliation of Level 3 instruments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. Management has concluded that Level 3 investments are not material in relation to net assets.

*Futures contracts are valued at the unrealized appreciation on the instrument.

For the year ended May 31, 2020, there were no transfers in or out of Level 3.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 75

SUMMARY SCHEDULE OF INVESTMENTS

May 31, 2020

Small Cap II Fund (Concluded)

The following is a summary of the Fund’s transactions with affiliates for the year ended May 31, 2020 ($ Thousands):

Security Description	Value 5/31/2019	Purchases at Cost	Proceeds from Sales	Realized Gain/(Loss)	Change in Unrealized Appreciation	Value  5/31/2020	Shares	Income	Capital  Gains
SEI Liquidity Fund, L.P.	$44,446	$175,200	$(178,983)	$—	$19	$40,682	40,658,516	$225	$—
SEI Daily Income Trust, Government Fund, Cl F	10,903	152,141	(154,093)	—	—	8,951	8,950,818	182	—
Totals	$55,349	$327,341	$(333,076)	$—	$19	$49,633		$407	$—

Amounts designated as “—” are either $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

76 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SUMMARY SCHEDULE OF INVESTMENTS

May 31, 2020

Small/Mid Cap Equity Fund

^†Percentages are based on total investments. Includes investments held as collateral for securities held on loan (see Note 12).

Description	Percentage of Net Assets (%)	Shares		Market Value ($ Thousands)
COMMON STOCK — 95.8%
Communication Services — 2.9%
Nexstar Media Group Inc, Cl A	0.8%		88,087	$	7,339
Other Securities (A)	2.1				17,888
					25,227
Consumer Discretionary — 9.9%
Lithia Motors Inc, Cl A	0.5		33,529		4,043
Pool Corp	0.4		14,058		3,782
TopBuild Corp *	0.4		33,455		3,837
Other Securities (A)	8.6				75,254
					86,916
Consumer Staples — 4.1%
Freshpet Inc *	0.5		57,090		4,406
Hostess Brands Inc, Cl A *	0.4		328,572		3,968
Other Securities (A)	3.2				27,631
					36,005
Energy — 1.7%
Other Securities (A)(B)	1.7				14,583
Financials — 12.7%
Cohen & Steers Inc (A)	0.5		68,404		4,347
FactSet Research Systems Inc	0.4		12,833		3,946
Kinsale Capital Group Inc	0.5		27,420		4,094
MarketAxess Holdings Inc	0.4		7,441		3,784
Other Securities ‡(A)(B)	10.9				95,619
					111,790
Health Care — 15.6%
Chemed Corp	0.6		10,314		4,935
Ensign Group Inc/The	0.7		135,753		5,935
Immunomedics Inc *(A)	0.4		118,658		3,986
Ligand Pharmaceuticals Inc *(A)	0.5		44,119		4,481
Masimo Corp *	0.5		18,275		4,389
Quidel Corp *	0.7		35,910		6,284
Repligen Corp *	0.6		39,742		5,205
ResMed Inc	0.5		25,416		4,087

Description	Percentage of Net Assets (%)	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
STERIS PLC	0.9%		46,624	$	7,734
Syneos Health Inc, Cl A *	0.7		96,093		5,861
Other Securities (A)	9.5				84,454
					137,351
Industrials — 17.6%
BWX Technologies Inc	0.9		123,403		7,721
Colfax Corp *(A)	0.5		151,396		4,248
Exponent Inc	0.8		97,116		7,210
Generac Holdings Inc *	0.6		46,770		5,204
Huntington Ingalls Industries Inc	0.5		21,374		4,272
Mercury Systems Inc *	0.7		67,772		6,055
Nordson Corp	0.5		24,396		4,595
Snap-on Inc (A)	0.5		32,030		4,154
Tetra Tech Inc	0.4		47,928		3,782
Trex Co Inc *(A)	0.6		45,180		5,427
TriNet Group Inc *	0.5		87,355		4,694
Other Securities (A)	11.1				97,847
					155,209
Information Technology — 17.4%
ACI Worldwide Inc *	0.8		268,205		7,397
Avalara Inc *	0.6		51,200		5,481
Everbridge Inc *	0.5		27,535		4,027
J2 Global Inc *	0.8		85,991		6,733
Monolithic Power Systems Inc	0.6		24,075		5,050
Power Integrations Inc	0.4		36,360		3,940
RingCentral Inc, Cl A *	0.5		16,515		4,529
Silicon Motion Technology Corp
ADR	0.5		93,847		4,230
Other Securities (A)	12.7				111,569
					152,956
Materials — 4.5%
FMC Corp	0.8		73,699		7,253
Silgan Holdings Inc	0.7		184,932		6,184
Other Securities (A)	3.0				26,276
					39,713
Real Estate — 6.7%
Alexandria Real Estate Equities Inc‡	0.4		24,532		3,771
Americold Realty Trust ‡	0.6		138,939		4,962
Gaming and Leisure Properties Inc‡	0.6		156,003		5,388
Medical Properties Trust Inc ‡	0.7		343,023		6,202
Rexford Industrial Realty Inc ‡	0.5		100,846		4,014
Other Securities ‡(A)	3.9				34,809
					59,146
Utilities — 2.7%
Algonquin Power & Utilities
Corp (A)	0.5		295,168		4,132
American Water Works Co Inc	0.4		31,052		3,944

SEI Institutional Investments Trust / Annual Report / May 31, 2020 77

SUMMARY SCHEDULE OF INVESTMENTS

May 31, 2020

Small/Mid Cap Equity Fund (Concluded)

Description	Percentage of Net Assets (%)	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Other Securities (A)	1.8%			$	15,402
					23,478
Total Common Stock (Cost $810,657) ($ Thousands)					842,374
AFFILIATED PARTNERSHIP — 16.0%
SEI Liquidity Fund, L.P.
0.290% **†(C)	16.0		140,737,690		140,805
Total Affiliated Partnership (Cost $140,752) ($ Thousands)					140,805

Description	Percentage of Net Assets (%)	Shares		Market Value ($ Thousands)
CASH EQUIVALENT — 5.6%
SEI Daily Income Trust, Government Fund, Cl F
0.090% **†	5.6%		49,188,496	$	49,188
Total Cash Equivalent (Cost $49,188) ($ Thousands)					49,188
Total Investments in Securities — 117.4% (Cost $1,000,597)($ Thousands)				$	1,032,367

A list of open futures contracts held by the Fund at May 31, 2020, is as follows:

Type of Contract	Number of Contracts Long		Expiration Date		Notional Amount (Thousands)		Value (Thousands)		Unrealized Appreciation (Thousands)
Russell 2000 Index E-MINI		34		Jun-2020	$	2,185	$	2,368	$	183
S&P Mid Cap 400 Index E-MINI		13		Jun-2020		2,114		2,291		177
					$	4,299	$	4,659	$	360

Percentages are based on a Net Assets of $879,022 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2020.

^†  Investment in Affiliated Security (See Note 6).

^‡  Real Estate Investment Trust.

(A) Certain securities or partial positions of certain securities are on loan at May 31, 2020 (See Note 12). The total market value of securities on loan at May 31, 2020, was $136,369 ($ Thousands).

(B) Security is a Master Limited Partnership. At May 31, 2020, such securities amounted to $4,969 ($ Thousands), or 0.6% of Net Assets (See Note 2).

(C) This security was purchased with cash collateral held from securities on loan (See Note 12). The total market value of such securities as of May 31, 2020 was $140,805 ($ Thousands).

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

PLC — Public Limited Company

S&P— Standard & Poor’s

The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.

The following is a list of the level of inputs used as of May 31, 2020, in valuing the Fund’s investments carried at value ($ Thousands):

Investments in Securities	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Common Stock		842,374		–		–		842,374
Affiliated Partnership		–		140,805		–		140,805
Cash Equivalent		49,188		–		–		49,188
Total Investments in Securities		891,562		140,805		–		1,032,367
Other Financial Instruments	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Futures Contracts*
Unrealized Appreciation		360		–		–		360
Total Other Financial Instruments		360		–		–		360

*Future contracts are valued at the unrealized appreciation on the instrument.

For the year ended May 31, 2020, there were no transfers in or out of Level 3.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

78 SEI Institutional Investments Trust / Annual Report / May 31, 2020

The following is a summary of the Fund’s transactions with affiliates for the year ended May 31, 2020 ($ Thousands):

Security Description	Value 5/31/2019	Purchases at Cost	Proceeds from Sales	Realized Gain	Change in Unrealized Appreciation	Value 5/31/2020	Shares	Income	Capital   Gains
SEI Liquidity Fund, L.P.	$115,595	$508,617	$(483,466)	$2	$57	$140,805	140,737,690	$705	$—
SEI Daily Income Trust, Government Fund, Cl F	78,961	416,485	(446,258)	—	—	49,188	49,188,496	683	—
Totals	$194,556	$925,102	$(929,724)	$2	$57	$189,993		$1,388	$—

Amounts designated as “—” are either $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 79

SUMMARY SCHEDULE OF INVESTMENTS

May 31, 2020

U.S. Equity Factor Allocation Fund

^†Percentages are based on total investments.

Description	Percentage of Net Assets (%)		Shares			Market Value     ($ Thousands)
COMMON STOCK — 97.2%
Communication Services — 7.2%
Alphabet Inc, Cl A *		1.2%		6,380	$		9,146
Alphabet Inc, Cl C *		1.3		6,713			9,592
AT&T Inc		0.8		200,913			6,200
Facebook Inc, Cl A *		1.2		38,732			8,718
Omnicom Group Inc		0.5		75,169			4,119
Verizon Communications Inc		0.6		81,338			4,667
Other Securities		1.6					12,510
							54,952
Consumer Discretionary — 10.7%
Amazon.com Inc *		1.4		4,445			10,856
Best Buy Co Inc		0.8		74,076			5,785
eBay Inc		1.5		245,364			11,174
Target Corp		0.7		43,001			5,260
Other Securities		6.3					47,630
							80,705
Consumer Staples — 8.9%
Estee Lauder Cos Inc/The, Cl A *		0.7		28,108			5,551
PepsiCo Inc		0.6		34,193			4,498
Philip Morris International Inc		0.5		52,306			3,837
Procter & Gamble Co/The		1.8		119,762			13,883
Walmart Inc		1.5		91,548			11,357
Other Securities		3.8					28,271
							67,397
Energy — 1.8%
ConocoPhillips		0.9		156,603			6,606
Other Securities		0.9					6,843
							13,449
Financials — 11.0%
Citigroup Inc		1.3		198,070			9,490
MetLife Inc		0.6		124,109			4,469
T Rowe Price Group Inc		1.5		92,918			11,234
Wells Fargo & Co		0.7		192,620			5,099
Other Securities ‡		6.9					52,950
							83,242

Description	Percentage of Net Assets (%)		Shares			Market Value     ($ Thousands)
COMMON STOCK (continued)
Health Care — 15.3%
AmerisourceBergen Corp, Cl A		0.5%		40,261	$		3,838
Amgen Inc		1.2		39,384			9,047
Baxter International Inc		1.3		110,131			9,913
Biogen Inc *		0.7		17,520			5,380
Bristol-Myers Squibb Co		0.9		116,023			6,929
Cardinal Health Inc		0.7		90,361			4,942
Johnson & Johnson		1.1		55,753			8,293
McKesson Corp		1.1		52,713			8,364
Medtronic PLC		0.7		50,657			4,994
Merck & Co Inc		1.6		144,526			11,666
Pfizer Inc		0.9		180,408			6,890
UnitedHealth Group Inc		1.0		24,474			7,461
Other Securities		3.6					27,870
							115,587
Industrials — 9.4%
Expeditors International of Washington Inc		0.7		66,607			5,087
Honeywell International Inc		0.7		36,762			5,362
PACCAR Inc		1.1		106,726			7,883
Raytheon Technologies Corp		0.6		69,925			4,512
Other Securities		6.3					48,066
							70,910
Information Technology — 26.1%
Accenture PLC, Cl A		1.0		37,014			7,463
Apple Inc		3.4		80,781			25,683
Cisco Systems Inc		1.4		225,991			10,807
Cognizant Technology Solutions Corp, Cl A		0.7		107,037			5,673
HP Inc		0.8		382,398			5,789
Intel Corp		1.7		199,043			12,526
Intuit Inc		1.3		34,022			9,877
Lam Research Corp		0.6		16,511			4,519
Microsoft Corp		5.0		208,590			38,224
NortonLifeLock Inc		0.5		163,471			3,724
Oracle Corp		1.4		194,198			10,442
Visa Inc, Cl A		0.9		34,663			6,768
Other Securities		7.4					55,909
							197,404
Materials — 2.7%
PPG Industries Inc		0.5		37,769			3,840
Other Securities		2.2					16,710
							20,550
Real Estate — 2.8%
Prologis Inc ‡		0.8		63,761			5,834
Other Securities ‡		2.0					15,250
							21,084

80 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Percentage of Net Assets (%)		Shares			Market Value ($ Thousands)
COMMON STOCK (continued)
Utilities — 1.3%
Exelon Corp		0.7%		128,766	$		4,933
Other Securities		0.6					4,734
							9,667
Total Common Stock (Cost $678,421) ($ Thousands)							734,947
RIGHTS — 0.0%
Other Securities		0.0					40
Total Rights (Cost $12) ($ Thousands)							40
CASH EQUIVALENT — 2.1%
SEI Daily Income Trust, Government Fund, Cl F 0.090% **†		2.1		15,622,058			15,622
Total Cash Equivalent (Cost $15,622) ($ Thousands)							15,622
Total Investments in Securities — 99.3%
(Cost $694,055)($ Thousands)					$		750,609

A list of the open futures contracts held by the Fund at May 31, 2020, is as follows:

Type of Contract	Number of Contracts Long		Expiration Date		Notional Amount (Thousands)		Value (Thousands)		Unrealized Appreciation (Thousands)
S&P 500 Index E-MINI		108		Jun-2020	$	13,834	$	16,427	$	2,593

Percentages are based on a Net Assets of $756,195 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2020.

^‡  Real Estate Investment Trust.

^†  Investment in Affiliated Security (see Note 6).

Cl — Class

PLC — Public Limited Company

S&P — Standard & Poor’s

The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.

The following is a list of the level of inputs used as of May 31, 2020, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Common Stock		734,947		–		–		734,947
Rights		40		–		–		40
Cash Equivalent		15,622		–		–		15,622
Total Investments in Securities		750,609		–		–		750,609
Other Financial Instruments	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Futures Contracts*
Unrealized Appreciation		2,593		–		–		2,593
Total Other Financial Instruments		2,593		–		–		2,593

* Futures contracts are valued at the unrealized appreciation on the instrument.

For the year ended May 31, 2020, there were no transfers in or out of Level 3.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 81

SUMMARY SCHEDULE OF INVESTMENTS

May 31, 2020

U.S. Equity Factor Allocation Fund (Concluded)

The following is a summary of the Fund’s transactions with affiliates for the year ended May 31, 2020 ($ Thousands):

Security Description	Value 5/31/2019	Purchases at Cost	Proceeds from Sales	Realized Gain/ (Loss)	Change in Unrealized Appreciation/ (Depreciation)	Value 5/31/2020	Shares	Income	Capital Gains
SEI Daily Income Trust, Government Fund, Cl F	$ 24,467	$ 218,510	$ (227,355)	$ —	$ —	$ 15,622	15,622,058	$ 85	$ —

Amounts designated as “—” are either $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

82 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SUMMARY SCHEDULE OF INVESTMENTS

May 31, 2020

U.S. Managed Volatility Fund

^†Percentages are based on total investments. Includes investments held as collateral for securities held on loan (see Note 12).

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
COMMON STOCK — 97.7%
Communication Services — 9.9%
AT&T Inc		1.9	%		727,100	$	22,438
Comcast Corp, Cl A		1.2			370,400		14,668
Omnicom Group Inc		0.5			116,900		6,405
Verizon Communications Inc		2.7			565,460		32,446
Other Securities (A)		3.6					44,069
							120,026
Consumer Discretionary — 9.7%
AutoZone Inc *		1.2			12,200		14,004
eBay Inc		0.7			192,900		8,785
Target Corp		2.3			223,900		27,389
Toyota Motor Corp ADR		0.5			48,000		6,048
Other Securities (A)		5.0					61,777
							118,003
Consumer Staples — 17.2%
Altria Group Inc		0.9			286,097		11,172
General Mills Inc		1.1			206,897		13,043
JM Smucker Co/The		1.5			153,919		17,536
Kellogg Co		0.7			123,098		8,040
Kimberly-Clark Corp		0.7			61,851		8,748
Kroger Co/The		1.5			563,260		18,374
Tyson Foods Inc, Cl A		1.1			223,400		13,726
Walmart Inc		1.4			136,438		16,926
Other Securities (A)		8.3					102,056
							209,621
Energy — 1.1%
Phillips 66		0.6			97,000		7,591
Other Securities		0.5					5,606
							13,197
Financials — 11.9%
Aflac Inc		0.8			258,600		9,431
Allstate Corp/The		1.4			177,400		17,351
American Financial Group Inc/OH		0.8			159,888		9,632
Annaly Capital Management Inc ‡		0.6			1,122,200		6,913
Berkshire Hathaway Inc, Cl B *		1.8			116,400		21,601
Everest Re Group Ltd		0.5			29,900		5,932

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Other Securities ‡(A)		6.0	%			$	73,518
							144,378
Health Care — 15.4%
AbbVie Inc		0.5			71,100		6,589
Amgen Inc		0.8			42,200		9,693
Bristol-Myers Squibb Co		1.2			251,900		15,043
CVS Health Corp		0.9			168,830		11,070
Gilead Sciences Inc		0.8			132,300		10,297
Johnson & Johnson		2.5			200,847		29,876
Merck & Co Inc		2.6			388,855		31,388
Pfizer Inc		1.8			564,422		21,555
West Pharmaceutical Services Inc		0.6			34,133		7,374
Other Securities (A)		3.7					44,900
							187,785
Industrials — 7.8%
Allison Transmission Holdings
Inc, Cl A		0.6			179,500		6,771
Raytheon Technologies Corp		0.9			174,672		11,270
Republic Services Inc, Cl A		0.8			113,716		9,718
Waste Management Inc		0.6			72,800		7,771
Other Securities (A)		4.9					59,312
							94,842
Information Technology — 14.3%
Amdocs Ltd		1.7			334,955		20,854
Apple Inc		0.7			27,800		8,839
Cisco Systems Inc		1.5			371,300		17,756
F5 Networks Inc *		0.5			45,333		6,570
Intel Corp		2.2			435,600		27,412
International Business Machines
Corp		1.2			119,900		14,976
Oracle Corp		2.0			441,400		23,734
Western Union Co/The		0.9			525,400		10,518
Other Securities (A)		3.6					43,292
							173,951
Materials — 2.3%
Other Securities		2.3					27,998
Real Estate — 2.4%
Other Securities ‡(A)		2.4					29,558
Utilities — 5.7%
DTE Energy Co		0.6			66,600		7,164
Edison International		0.6			118,100		6,863
Entergy Corp		1.3			150,600		15,334
Exelon Corp		1.5			476,400		18,251
Other Securities (A)		1.7					21,917
							69,529
Total Common Stock (Cost $1,036,720) ($ Thousands)							1,188,888

SEI Institutional Investments Trust / Annual Report / May 31, 2020 83

SUMMARY SCHEDULE OF INVESTMENTS

May 31, 2020

U.S. Managed Volatility Fund (Concluded)

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
AFFILIATED PARTNERSHIP — 1.7%
SEI Liquidity Fund, L.P. 0.290% **†(B)		1.7	%		19,816,001	$	19,825
Total Affiliated Partnership (Cost $19,820) ($ Thousands)							19,825

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
CASH EQUIVALENT — 3.2%
SEI Daily Income Trust, Government Fund, Cl F 0.090% **†		3.2	%		39,060,785	$	39,061
Total Cash Equivalent (Cost $39,061) ($ Thousands)							39,061
Total Investments in Securities — 102.6% (Cost $1,095,601)($ Thousands)						$	1,247,774

A list of the open futures contracts held by the Fund at May 31, 2020, is as follows:

Type of Contract	Number of Contracts Long		Expiration Date		Notional Amount (Thousands)		Value (Thousands)		Unrealized Appreciation (Thousands)
S&P 500 Index E-MINI		82		Jun-2020	$	11,484	$	12,472	$	988

Percentages are based on a Net Assets of $1,216,680 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2020.

^†  Investment in Affiliated Security (see Note 6).

^‡  Real Estate Investment Trust.

(A) Certain securities or partial positions of certain securities are on loan at May 31, 2020 (see Note 12). The total market value of securities on loan at May 31, 2020, was $20,402 ($ Thousands).

(B) This security was purchased with cash collateral held from securities on loan (see Note 12). The total market value of such securities as of May 31, 2020 was $19,825 ($ Thousands).

ADR — American Depositary Receipt

Cl — Class

The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.

The following is a list of the level of inputs used as of May 31, 2020, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Common Stock		1,188,888		–		–		1,188,888
Affiliated Partnership		–		19,825		–		19,825
Cash Equivalent		39,061		–		–		39,061
Total Investments in Securities		1,227,949		19,825		–		1,247,774
Other Financial Instruments	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Futures Contracts*
Unrealized Appreciation		988		–		–		988
Total Other Financial Instruments		988		–		–		988

*Futures contracts are valued at the unrealized appreciation on the instrument.

For the year ended May 31, 2020, there were no transfers in or out of Level 3.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to

Financial Statements.

The following is a summary of the Fund’s transactions with affiliates for the year ended May 31, 2020 ($ Thousands):

Security Description	Value 5/31/2019	Purchases at Cost	Proceeds from Sales	Realized Gain/ (Loss)	Change in Unrealized Appreciation	Value 5/31/2020	Shares	Income	Capital Gains
SEI Liquidity Fund, L.P.	$ —	$ 30,140	$ (10,320)	$ —	$ 5	$ 19,825	19,816,001	$ 6	$ —
SEI Daily Income Trust, Government Fund, Cl F	9,926	478,335	(449,200)	—	—	39,061	39,060,785	491	—
Totals	$ 9,926	$ 508,475	$ (459,520)	$ —	$ 5	$ 58,886		$ 497	$ —

Amounts designated as “—” are either $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

84 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SUMMARY SCHEDULE OF INVESTMENTS

May 31, 2020

Global Managed Volatility Fund

^†Percentages are based on total investments.

Description	Percentage of Net Assets (%)			Shares			Market Value ($ Thousands)
COMMON STOCK — 97.4%
Australia — 1.6%
Other Securities ‡		1.6	%			$		44,512
Austria — 0.1%
Other Securities		0.1						1,447
Belgium — 0.3%
Other Securities		0.3						7,632
Canada — 3.5%
Other Securities		3.5						95,990
Denmark — 0.5%
Other Securities		0.5						14,157
Finland — 0.1%
Other Securities		0.1						3,788
France — 2.1%
Sanofi		0.8			226,200			22,024
Other Securities		1.3						35,373
								57,397
Germany — 1.5%
Deutsche Telekom AG		0.6			992,497			15,649
Other Securities		0.9						26,530
								42,179
Hong Kong — 1.0%
Other Securities		1.0						27,480

Description	Percentage of Net Assets (%)			Shares			Market Value ($ Thousands)
COMMON STOCK (continued)
Ireland — 0.0%
Other Securities		0.0	%			$		639
Israel — 1.1%
Other Securities		1.1						30,369
Italy — 0.9%
Enel SpA		0.6			2,169,324			16,652
Other Securities		0.3						6,399
								23,051
Japan — 9.5%
Astellas Pharma Inc		0.5			792,200			14,078
Chugai Pharmaceutical Co Ltd		0.0			5,800			855
KDDI Corp		0.9			821,200			23,904
Nippon Telegraph & Telephone Corp		1.0			1,162,600			26,374
NTT DOCOMO Inc		0.5			489,942			13,422
Okinawa Cellular Telephone Co		0.0			3,311			128
Oracle Corp Japan		0.2			51,954			6,067
Softbank Corp		0.7			1,405,700			17,823
Other Securities ‡		5.7						157,669
								260,320
Netherlands — 1.3%
Koninklijke Ahold Delhaize NV		0.9			1,011,866			25,674
Other Securities		0.4						8,349
								34,023
New Zealand — 0.6%
Other Securities ‡		0.6						16,366
Norway — 0.7%
Other Securities		0.7						19,042
Portugal — 0.0%
Other Securities		0.0						1,097
Singapore — 0.9%
Other Securities ‡		0.9						23,434
Spain — 0.8%
Other Securities		0.8						22,386
Sweden — 0.8%
ICA Gruppen AB *		0.5			301,709			14,169
Other Securities		0.3						6,720
								20,889
Switzerland — 4.6%
Novartis AG		0.9			283,952			24,541

SEI Institutional Investments Trust / Annual Report / May 31, 2020 85

SUMMARY SCHEDULE OF INVESTMENTS

May 31, 2020

Global Managed Volatility Fund (Continued)

Description	Percentage of Net Assets (%)			Shares			Market Value ($ Thousands)
COMMON STOCK (continued)
Switzerland (continued)
Roche Holding AG		1.5	%		121,074	$		41,929
Other Securities		2.2						59,436
								125,906
United Kingdom — 3.8%
GlaxoSmithKline PLC		0.7			968,800			20,024
Other Securities ‡		3.1						84,432
								104,456
United States — 61.7%
Allstate Corp/The		0.8			218,900			21,411
Amdocs Ltd		1.1			472,097			29,393
Amgen Inc		0.9			103,177			23,700
AT&T Inc		1.5			1,302,443			40,193
AutoZone Inc		0.5			11,900			13,660
Berkshire Hathaway Inc, Cl B *		0.8			124,621			23,127
Bristol-Myers Squibb Co		0.6			274,095			16,369
CACI International Inc, Cl A *		0.5			57,116			14,324
Cisco Systems Inc		1.0			600,651			28,723
Citrix Systems Inc		0.6			112,624			16,682
Comcast Corp, Cl A		1.1			734,265			29,077
Costco Wholesale Corp		0.6			49,984			15,419
Exelon Corp		0.9			608,060			23,295
FirstEnergy Corp		0.5			342,500			14,474
General Mills Inc		0.8			340,505			21,465
Gilead Sciences Inc		0.6			195,378			15,206
HCA Healthcare Inc		0.5			135,654			14,501
Intel Corp		0.9			397,800			25,034
International Business Machines Corp		0.8			165,800			20,708
JM Smucker Co/The		0.6			142,217			16,203
Johnson & Johnson		1.7			307,401			45,726
Kimberly-Clark Corp		0.6			111,353			15,750
Kroger Co/The		0.9			761,043			24,825
Lockheed Martin Corp		0.6			39,023			15,158
Medtronic PLC		0.5			151,721			14,957
Merck & Co Inc		1.3			425,618			34,356
Northrop Grumman Corp		0.6			47,842			16,037
Oracle Corp		1.2			636,224			34,210
Pfizer Inc		1.2			880,732			33,635
Public Service Enterprise Group Inc		0.5			262,900			13,418
Republic Services Inc, Cl A		0.5			161,679			13,817
Target Corp		1.4			309,342			37,842
Universal Health Services Inc, Cl B		0.5			139,930			14,756
Verizon Communications Inc		1.6			775,980			44,526
Walgreens Boots Alliance Inc		0.6			380,989			16,360
Walmart Inc		1.1			237,154			29,421

Description	Percentage of Net Assets (%)			Shares			Market Value ($ Thousands)
COMMON STOCK (continued)
United States (continued)
Waste Management Inc		0.7	%		175,369	$		18,721
Other Securities ‡(A)		30.8						843,968
								1,690,447
Total Common Stock (Cost $2,668,023) ($ Thousands)								2,667,007
PREFERRED STOCK — 0.1%
Germany — 0.1%
Other Securities (B)		0.1						3,272
Total Preferred Stock (Cost $3,025) ($ Thousands)								3,272
CASH EQUIVALENT — 1.3%
SEI Daily Income Trust, Government Fund, Cl F 0.090% **†		1.3			36,577,903			36,578
Total Cash Equivalent (Cost $36,578) ($ Thousands)								36,578
Total Investments in Securities — 98.8% (Cost $2,707,626)($ Thousands)						$		2,706,857

86 SEI Institutional Investments Trust / Annual Report / May 31, 2020

A list of the open futures contracts held by the Fund at May 31, 2020, is as follows:

Type of Contract	Number of Contracts Long		Expiration Date		Notional Amount (Thousands)		Value (Thousands)		Unrealized Appreciation (Thousands)
Euro STOXX 50		133		Jun-2020	$	4,182	$	4,506	$	245
FTSE 100 Index		28		Jun-2020		2,055		2,098		45
Hang Seng Index		3		Jul-2020		438		441		2
S&P 500 Index E-MINI		146		Jun-2020		21,140		22,207		1,067
SPI 200 Index		12		Jun-2020		1,066		1,145		58
TOPIX Index		18		Jun-2020		2,444		2,605		171
					$	31,325	$	33,002	$	1,588

A list of the open forward foreign currency contracts held by the Fund at May 31, 2020, is as follows:

Counterparty	Settlement Date		Currency to Deliver (Thousands)			Currency to Receive (Thousands)			Unrealized Appreciation (Depreciation) (Thousands)
Brown Brothers Harriman		06/25/20		USD	33		SEK	315	$	1
Brown Brothers Harriman		06/25/20		USD	42		DKK	283		1
Brown Brothers Harriman		06/25/20		USD	83		SGD	118		—
Brown Brothers Harriman		06/25/20		USD	103		NOK	1,018		2
Brown Brothers Harriman		06/25/20		USD	170		NZD	274		(1	)
Brown Brothers Harriman		06/25/20		USD	397		AUD	596		(1	)
Brown Brothers Harriman		06/25/20		USD	489		CHF	474		5
Brown Brothers Harriman		06/25/20		USD	669		EUR	608		8
Brown Brothers Harriman		06/25/20		USD	718		CAD	991		(1	)
Brown Brothers Harriman		06/25/20		USD	90		GBP	74		1
Brown Brothers Harriman		06/25/20		USD	637		GBP	515		—
Brown Brothers Harriman		06/25/20		USD	852		JPY	91,521		(2	)
Brown Brothers Harriman		06/25/20		NZD	85		USD	53		—
Brown Brothers Harriman		06/25/20		NZD	15,278		USD	9,341		(115	)
Brown Brothers Harriman		06/25/20		SGD	21,668		USD	15,284		(50	)
Brown Brothers Harriman		06/25/20		AUD	151		USD	101		—
Brown Brothers Harriman		06/25/20		AUD	33,769		USD	22,185		(225	)
Brown Brothers Harriman		06/25/20		GBP	46,874		USD	57,262		(682	)
Brown Brothers Harriman		06/25/20		DKK	46,988		USD	6,897		(120	)
Brown Brothers Harriman		06/25/20		CHF	63,466		USD	65,411		(724	)
Brown Brothers Harriman		06/25/20		CAD	705		USD	512		2
Brown Brothers Harriman		06/25/20		CAD	71,720		USD	51,443		(458	)
Brown Brothers Harriman		06/25/20		NOK	99,805		USD	10,014		(260	)
Brown Brothers Harriman		06/25/20		EUR	101,709		USD	111,336		(1,844	)
Brown Brothers Harriman		06/25/20		SEK	104,157		USD	10,809		(256	)
Brown Brothers Harriman		06/25/20		JPY	339,672		USD	3,157		2
Brown Brothers Harriman		06/25/20		JPY	13,909,181		USD	129,012		(156	)
Brown Brothers Harriman		06/26/20		USD	84		HKD	654		—
Brown Brothers Harriman		06/26/20		HKD	131,320		USD	16,920		(15	)
									$	(4,888)

Percentages are based on a Net Assets of $2,738,825 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2020.

^‡  Real Estate Investment Trust.

^†  Investment in Affiliated Security (see Note 6).

(A) Security is a Master Limited Partnership. At May 31, 2020, such securities amounted to $26 ($ Thousands), or 0.0% of Net Assets of the Fund (See Note 2). (B) There is currently no rate available.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 87

SUMMARY SCHEDULE OF INVESTMENTS

May 31, 2020

Global Managed Volatility Fund (Concluded)

AUD — Australian Dollar

CAD — Canadian Dollar

CHF — Swiss Franc

Cl — Class

DKK — Danish Krone

EUR — Euro

FTSE — Financial Times Stock Exchange

GBP — British Pound Sterling

HKD — Hong Kong Dollar

JPY — Japanese Yen

NOK — Norwegian Krone

NZD — New Zealand Dollar

PLC — Public Limited Company

S&P — Standard & Poor’s

SEK — Swedish Krona

SGD — Singapore Dollar

SPI — Share Price Index

TOPIX — Tokyo Price Index

USD — United States Dollar

The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule

of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.

The following is a list of the level of inputs used as of May 31, 2020, in valuing the Fund’s investments and other financial instruments carried at value ($Thousands):

Investments in Securities	Level 1 ($)		Level 2 ($)			Level 3 ($)		Total ($)
Common Stock		2,640,928		26,079			–		2,667,007
Preferred Stock		3,272		–			–		3,272
Cash Equivalent		36,578		–			–		36,578
Total Investments in Securities		2,680,778		26,079			–		2,706,857
Other Financial Instruments	Level 1 ($)		Level 2 ($)			Level 3 ($)		Total ($)
Futures Contracts*
Unrealized Appreciation		1,588		–			–		1,588
Forwards Contracts*
Unrealized Appreciation		–		22			–		22
Unrealized Depreciation		–		(4,910	)		–		(4,910	)
Total Other Financial Instruments		1,588		(4,888	)		–		(3,300	)

*Futures contracts and forwards contracts are valued at the unrealized appreciation (depreciation) on the instrument.

For the year ended May 31, 2020, there were no transfers in or out of Level 3.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The following is a summary of the Fund’s transactions with affiliates for the year ended May 31, 2020 ($ Thousands):

Security Description	Value 5/31/2019	Purchases at Cost	Proceeds from Sales	Realized Gain (Loss)	Change in Unrealized Appreciation (Depreciation)	Value 5/31/2020	Shares	Income	Capital Gains
SEI Daily Income Trust, Government Fund, Cl F	$30,361	$670,737	$(664,520)	$—	$—	$36,578	36,577,903	$923	$—

Amounts designated as “—” are either $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

88 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SUMMARY SCHEDULE OF INVESTMENTS

May 31, 2020

World Equity Ex-US Fund

^†Percentages are based on total investments. Includes investments held as collateral for securities held on loan (see Note 12).

Description	Percentage of Net Assets (%)	Shares		Market Value     ($ Thousands)
COMMON STOCK — 95.2%
Argentina — 0.6%
MercadoLibre Inc *	0.6%		58,666	$	49,964
Australia — 4.6%
a2 Milk Co Ltd *	0.7		4,779,582		56,188
ASX Ltd	0.6		755,615		44,229
Newcrest Mining Ltd	0.7		2,823,351		57,311
Other Securities (A)	2.6				215,349
					373,077
Austria — 0.0%
Other Securities	0.0				1,500
Belgium — 0.4%
Other Securities	0.4				36,106
Brazil — 0.9%
Other Securities	0.9				76,823
Canada — 3.5%
TMX Group Ltd	0.7		540,854		54,003
Other Securities	2.8				229,826
					283,829
Chile — 0.1%
Other Securities (B)	0.1				4,418
China — 3.4%
Alibaba Group Holding Ltd ADR *	0.4		134,005		27,791
Midea Group Co Ltd, Cl A	0.5		5,298,084		43,760
Other Securities	2.5				202,853
					274,404

Description	Percentage of Net Assets (%)	Shares		Market Value     ($ Thousands)
COMMON STOCK (continued)
Denmark — 3.2%
Novo Nordisk A/S, Cl B	0.6%		814,223	$	53,010
Orsted A/S	0.6		437,872		51,415
Vestas Wind Systems A/S	0.7		528,675		53,951
Other Securities	1.3				100,761
					259,137
Finland — 0.5%
Other Securities (B)	0.5				43,562
France — 5.9%
Cie de Saint-Gobain	0.6		1,465,272		47,381
Euronext NV	0.6		501,514		46,246
Orange SA	1.0		6,554,104		79,065
Sanofi	0.6		489,267		47,637
Other Securities (B)	3.1				258,061
					478,390
Germany — 6.5%
Allianz SE	0.6		273,616		49,555
Deutsche Boerse AG	1.0		498,118		81,948
Muenchener Rueckversicherungs- Gesellschaft AG in Muenchen	0.6		218,453		49,717
SAP SE	1.5		934,718		118,009
TeamViewer *	0.7		1,094,107		55,685
Other Securities	2.1				176,130
					531,044
Greece — 0.2%
Other Securities	0.2				14,152
Hong Kong — 5.9%
Alibaba Group Holding *	0.7		2,101,544		52,681
Alibaba Health Information Technology *	0.1		1,650,000		3,866
Hong Kong Exchanges & Clearing Ltd	0.8		1,889,381		65,864
Other Securities	4.3				353,356
					475,767
Hungary — 0.1%
Other Securities	0.1				10,784
India — 0.7%
Other Securities	0.7				58,285
Ireland — 1.5%
ICON PLC *	0.9		438,973		73,945
Other Securities	0.6				44,104
					118,049

SEI Institutional Investments Trust / Annual Report / May 31, 2020 89

SUMMARY SCHEDULE OF INVESTMENTS

May 31, 2020

World Equity Ex-US Fund (Continued)

Description	Percentage of Net Assets (%)	Shares		Market Value     ($ Thousands)
COMMON STOCK (continued)
Israel — 1.7%
Check Point Software Technologies Ltd *(B)	0.7%		499,395	$	54,769
Other Securities (B)	1.0				81,360
					136,129
Italy — 1.7%
Prysmian SpA	0.6		2,414,500		51,419
Other Securities	1.1				85,641
					137,060
Japan — 14.4%
Kao Corp	0.6		617,700		49,578
Rakuten Inc	0.6		5,203,792		47,142
Recruit Holdings Co Ltd	0.7		1,529,900		52,684
SBI Holdings Inc/Japan	0.6		2,247,704		48,173
Takeda Pharmaceutical Co Ltd	0.7		1,407,100		54,738
Terumo Corp	0.6		1,228,300		48,227
Other Securities	10.6				871,953
					1,172,495
Malaysia — 0.1%
Other Securities	0.1				9,076
Mexico — 0.0%
Other Securities	0.0				3,126
Netherlands — 5.8%
Koninklijke Ahold Delhaize NV	0.8		2,404,083		60,998
Koninklijke DSM NV	0.5		346,124		44,295
Koninklijke Philips NV	0.8		1,496,833		67,915
NN Group NV	0.7		1,721,624		53,181
Other Securities	3.0				240,377
					466,766
New Zealand — 0.0%
Other Securities	0.0				3,726
Norway — 0.8%
DNB ASA *	0.6		3,624,957		49,302
Other Securities	0.2				16,302
					65,604
Panama — 0.1%
Other Securities	0.1				5,987
Peru — 0.1%
Other Securities	0.1				8,025
Poland — 0.0%
Other Securities	0.0				2,746

Description	Percentage of Net Assets (%)	Shares		Market Value     ($ Thousands)
COMMON STOCK (continued)
Poland (continued)
Portugal — 0.4%
Other Securities	0.4%			$	34,977
Russia — 1.1%
Other Securities	1.1				90,343
Saudi Arabia — 0.1%
Other Securities	0.1				5,041
Singapore — 0.7%
Other Securities	0.7				52,858
South Africa — 0.3%
Other Securities (B)	0.3				23,864
South Korea — 5.7%
Hana Financial Group Inc	0.6		2,120,869		50,947
Samsung Electronics Co Ltd	2.0		3,882,442		158,940
SK Hynix Inc	0.9		1,141,667		75,131
Other Securities	2.2				173,959
					458,977
Spain — 1.4%
Siemens Gamesa Renewable Energy SA *	0.6		2,771,585		46,661
Other Securities	0.8				69,493
					116,154
Sweden — 1.2%
Other Securities	1.2				96,565
Switzerland — 5.4%
Idorsia Ltd *	0.6		1,500,902		45,650
Nestle SA	0.7		493,614		53,364
Novartis AG	1.1		1,041,254		89,992
Roche Holding AG	1.7		405,759		140,518
Other Securities	1.3				104,627
					434,151
Taiwan — 3.0%
MediaTek Inc	0.7		3,513,137		54,174
Taiwan Semiconductor Manufacturing Co Ltd	0.4		3,397,000		33,037
Taiwan Semiconductor Manufacturing Co Ltd ADR	0.5		733,594		36,922
Other Securities	1.4				117,759
					241,892

90 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Percentage of Net Assets (%)		Shares		Market Value     ($ Thousands)
COMMON STOCK (continued)
Thailand — 0.3%
Other Securities		0.3%			$	24,852
Turkey — 0.3%
Other Securities		0.3				25,192
United Arab Emirates — 0.0%
Other Securities		0.0				912
United Kingdom — 7.9%
British American Tobacco PLC		0.5		1,118,882		44,119
Smiths Group PLC		0.7		3,295,342		53,227
Other Securities (B)		6.7				543,197
						640,543
United States — 4.7%
Accenture PLC, Cl A		0.6		222,569		44,874
Aptiv PLC		0.6		699,892		52,737
Atlassian Corp PLC, Cl A *		0.8		348,761		64,626
IHS Markit Ltd		0.6		645,390		44,829
Other Securities		2.1				173,290
						380,356
Total Common Stock (Cost $6,949,778) ($ Thousands)						7,726,708
PREFERRED STOCK — 0.1%
Brazil — 0.1%
Other Securities (C)		0.1				4,499
Germany — 0.0%
Other Securities (C)		0.0				1,502
Spain — 0.0%
Other Securities (C)		0.0				3,632
Total Preferred Stock (Cost $15,805) ($ Thousands)						9,633
AFFILIATED PARTNERSHIP — 0.9%
SEI Liquidity Fund, L.P. 0.290% **†(D)		0.9		73,212,117		73,249
Total Affiliated Partnership (Cost $73,206) ($ Thousands)						73,249

Description	Percentage of Net Assets (%)	Shares		Market Value     ($ Thousands)
CASH EQUIVALENT — 2.0%
SEI Daily Income Trust, Government Fund, Cl F 0.090% **†	2.0%		156,153,670	$	156,154
Total Cash Equivalent (Cost $156,154) ($ Thousands)					156,154
Total Investments in Securities — 98.2% (Cost $7,194,943)($ Thousands)				$	7,965,744

SEI Institutional Investments Trust / Annual Report / May 31, 2020 91

SUMMARY SCHEDULE OF INVESTMENTS

May 31, 2020

World Equity Ex-US Fund (Concluded)

A list of the open futures contracts held by the Fund at May 31, 2020 is as follows:

Type of Contract	Number of Contracts Long (Short)		Expiration Date		Notional Amount (Thousands)		Value (Thousands)		Unrealized     Appreciation (Thousands)
Euro STOXX 50		1,059		Jun-2020	$	33,127	$	35,881	$	1,930
FTSE 100 Index		197		Jun-2020		14,487		14,760		348
Hang Seng Index		147		Jul-2020		21,532		21,591		47
S&P TSX 60 Index		119		Jun-2020		15,252		15,767		341
SPI 200 Index		122		Jun-2020		10,710		11,639		694
TOPIX Index		191		Jun-2020		26,044		27,639		1,783
					$	121,152	$	127,277	$	5,143

A list of the open forward foreign currency contracts held by the Fund at May 31, 2020 is as follows:

Counterparty	Settlement Date			Currency to Deliver (Thousands)			Currency to Receive (Thousands)		Unrealized Appreciation (Thousands)
Barclays PLC		06/15/20	USD		2,750	EUR		2,516	$	49
Barclays PLC		06/15/20	USD		2,502	EUR		2,238		(12)
Barclays PLC		06/15/20	EUR		5,864	USD		6,356		(168)
Barclays PLC		08/13/20	KRW		36,460,652	USD		29,891		368
Citigroup		06/15/20	EUR		4,836	USD		5,421		42
Citigroup		06/15/20 - 09/14/20	EUR		14,136	USD		15,390		(351)
Citigroup		06/15/20 - 09/14/20	USD		11,541	EUR		10,631		308
Citigroup		06/15/20	USD		16,662	EUR		14,882		(105)
Citigroup		08/13/20	KRW		28,230,325	USD		23,079		221
Credit Suisse		06/15/20	EUR		1,628	USD		1,791		(21)
HSBC		06/15/20	USD		4,249	EUR		3,904		95
Morgan Stanley		06/15/20	EUR		3,209	USD		3,593		23
Morgan Stanley		06/15/20 - 09/14/20	EUR		121,099	USD		131,360		(3,527)
Morgan Stanley		09/14/20	USD		9,929	EUR		9,049		158
RBS		06/15/20	USD		13,691	EUR		12,653		386
RBS		06/15/20 - 09/14/20	EUR		17,074	USD		18,792		(214)
									$	(2,748)

Percentages are based on a Net Assets of $8,115,314 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2020.

^†  Investment in Affiliated Security (see Note 6).

(A) Level 3 security in accordance with fair value hierarchy.

(B) Certain securities or partial positions of certain securities are on loan at May 31, 2020 (see Note 12). The total market value of securities on loan at May 31, 2020, was $69,779 ($ Thousands).

(C) There is currently no rate available.

(D) This security was purchased with cash collateral held from securities on loan (see Note 12). The total market value of such securities as of May 31, 2020 was $73,249 ($ Thousands).

ADR — American Depositary Receipt

Cl — Class

EUR — Euro

FTSE — Financial Times Stock Exchange

GDR — Global Depositary Receipt

KRW — Korean Won

L.P. — Limited Partnership

Ltd. — Limited

PLC — Public Limited Company

S&P — Standard & Poor’s

SPI — Share Price Index

TOPIX — Tokyo Price Index

TSX — Toronto Stock Exchange

USD — U.S. Dollar

The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.

92 SEI Institutional Investments Trust / Annual Report / May 31, 2020

The following is a list of the level of inputs used as of May 31, 2020, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1 ($)		Level 2 ($)		Level 3 ($)(1)		Total ($)
Common Stock		7,063,190		663,518		–		7,726,708
Preferred Stock		6,001		3,632		–		9,633
Affiliated Partnership		–		73,249		–		73,249
Cash Equivalent		156,154		–		–		156,154
Total Investments in Securities		7,225,345		740,399		–		7,965,744

Other Financial Instruments	Level 1 ($)		Level 2 ($)			Level 3 ($)		Total ($)
Futures Contracts*
Unrealized Appreciation		5,143		–			–		5,143
Forwards Contracts*
Unrealized Appreciation		–		1,650			–		1,650
Unrealized Depreciation		–		(4,398	)		–		(4,398)
Total Other Financial Instruments		5,143		(2,748	)		–		2,395

(1) A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. Management has concluded that Level 3 investments are not material in relation to net assets.

* Futures contracts and forward contracts are valued at the unrealized appreciation (depreciation) on the instrument.

For the year ended May 31, 2020, there were no transfers in our out of Level 3.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The following is a summary of the Fund’s transactions with affiliates for the year ended May 31, 2020 ($ Thousands):

Security Description	Value 5/31/2019	Purchases at Cost	Proceeds from Sales	Realized Gain/ (Loss)	Change in Unrealized Appreciation/ (Depreciation)	Value 5/31/2020	Shares	Income	Capital Gains
SEI Liquidity Fund, L.P.	$ 308,147	$ 1,388,793	$ (1,623,754)	$ 37	$ 26	$ 73,249	73,212,117	$ 3,723	$ —
SEI Daily Income Trust, Government Fund, Cl F	296,413	1,065,364	(1,205,623)	—	—	156,154	156,153,670	2,903	—
Totals	$ 604,560	$ 2,454,157	$ (2,829,377)	$ 37	$ 26	$ 229,403		$ 6,626	$ —

Amounts designated as “—” are either $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 93

SUMMARY SCHEDULE OF INVESTMENTS

May 31, 2020

Screened World Equity Ex-US Fund

^†Percentages are based on total investments.

Description	Percentage of Net Assets (%)	Shares		Market Value     ($ Thousands)
COMMON STOCK — 95.1%
Argentina — 1.2%
MercadoLibre Inc *	1.2%		1,426	$	1,215
Australia — 4.1%
Fortescue Metals Group Ltd	0.6		69,392		640
Rio Tinto Ltd	0.3		5,392		334
Other Securities (A)	3.2				3,159
					4,133
Austria — 0.3%
Other Securities	0.3				248
Belgium — 0.3%
Other Securities	0.3				276
Brazil — 0.0%
Other Securities	0.0				40
Canada — 3.5%
Constellation Software Inc/Canada	0.9		752		852
Other Securities	2.6				2,730
					3,582
Chile — 0.1%
Other Securities	0.1				136
China — 3.8%
Alibaba Group Holding Ltd ADR *	0.7		3,649		757
China Mobile Ltd	0.6		79,500		555
Midea Group Co Ltd, Cl A	0.5		66,200		547
Other Securities	2.0				2,022
					3,881
Denmark — 3.1%
DSV PANALPINA A/S	0.6		5,699		602

Description	Percentage of Net Assets (%)		Shares		Market Value     ($ Thousands)
COMMON STOCK (continued)
Denmark (continued)
Novo Nordisk A/S, Cl B		0.9%		14,355	$	935
Other Securities		1.6				1,593
						3,130
Finland — 0.9%
Other Securities		0.9				929
France — 4.2%
BNP Paribas SA		0.7		18,225		654
Cie de Saint-Gobain		0.5		16,456		532
Sanofi		0.7		7,685		748
Other Securities		2.3				2,265
						4,199
Germany — 6.3%
Allianz SE		0.6		3,406		617
Deutsche Boerse AG		0.9		5,483		902
Muenchener Rueckversicherungs- Gesellschaft AG in Muenchen		0.7		3,028		689
Rheinmetall AG		0.5		6,577		534
SAP SE		1.5		12,167		1,536
Scout24 AG		0.9		11,370		869
Other Securities		1.2				1,262
						6,409
Greece — 0.7%
Other Securities		0.7				669
Hong Kong — 6.4%
AIA Group Ltd		0.8		95,400		774
Alibaba Group Holding Ltd *		0.9		35,056		879
Tencent Holdings Ltd		0.8		15,700		831
Other Securities		3.9				4,019
						6,503
Hungary — 0.2%
Other Securities		0.2				176
India — 1.4%
Other Securities		1.4				1,424
Indonesia — 0.1%
Other Securities		0.1				96
Ireland — 1.5%
ICON PLC *		0.6		3,669		618
Other Securities		0.9				863
						1,481

94 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Percentage of Net Assets (%)	Shares		Market Value     ($ Thousands)
COMMON STOCK (continued)
Israel — 1.3%
Check Point Software Technologies Ltd *	0.9%		7,914	$	868
Other Securities	0.4				412
					1,280
Italy — 1.4%
Prysmian SpA	0.6		29,785		634
Other Securities	0.8				790
					1,424
Japan — 12.3%
Daiwa Securities Group Inc	0.5		129,800		538
Fujitsu Ltd	0.6		5,600		577
Japan Exchange Group Inc	0.8		35,500		763
KDDI Corp	0.8		29,100		847
Nintendo Co Ltd	0.6		1,600		647
NTT DOCOMO Inc	0.6		20,800		570
SMC Corp/Japan	0.6		1,100		555
Takeda Pharmaceutical Co Ltd	0.6		16,200		630
Tokio Marine Holdings Inc	0.6		13,500		585
Other Securities	6.6				6,771
					12,483
Malaysia — 0.5%
Other Securities	0.5				458
Mexico — 0.1%
Other Securities	0.1				49
Netherlands — 6.9%
ASML Holding NV	0.9		2,658		866
Koninklijke Ahold Delhaize NV	0.5		21,858		555
Koninklijke Philips NV	1.3		28,645		1,300
NN Group NV	0.8		27,410		847
Wolters Kluwer NV	0.7		8,440		673
Other Securities (A)	2.7				2,782
					7,023
New Zealand — 0.3%
Other Securities	0.3				252
Norway — 0.7%
DNB ASA *	0.7		47,577		647
Other Securities	0.0				35
					682
Panama — 0.2%
Other Securities	0.2				149

Description	Percentage of Net Assets (%)	Shares		Market Value     ($ Thousands)
COMMON STOCK (continued)
Peru — 0.2%
Other Securities	0.2%			$	210
Philippines — 0.0%
Other Securities	0.0				33
Poland — 0.2%
Other Securities	0.2				223
Portugal — 0.1%
Other Securities	0.1				99
Qatar — 0.1%
Other Securities	0.1				136
Russia — 1.2%
Other Securities	1.2				1,171
Singapore — 1.7%
Other Securities	1.7				1,733
South Africa — 0.6%
Other Securities	0.6				601
South Korea — 5.1%
Hana Financial Group Inc	0.6		25,172		605
Samsung Electronics Co Ltd	1.6		38,828		1,590
Samsung Electronics Co Ltd GDR	0.5		529		542
Other Securities	2.4				2,467
					5,204
Spain — 1.2%
Other Securities	1.2				1,230
Sweden — 2.3%
Atlas Copco AB, Cl A	0.2		4,190		164
Atlas Copco AB, Cl B	0.5		15,075		532
Swedish Match AB	0.6		8,970		622
Other Securities	1.0				1,048
					2,366
Switzerland — 6.2%
Nestle SA	1.5		13,901		1,503
Novartis AG	1.7		19,854		1,716
Roche Holding AG	1.3		3,665		1,269
Other Securities	1.7				1,751
					6,239

SEI Institutional Investments Trust / Annual Report / May 31, 2020 95

SUMMARY SCHEDULE OF INVESTMENTS

May 31, 2020

Screened World Equity Ex-US Fund (Concluded)

Description	Percentage of Net Assets (%)	Shares		Market Value     ($ Thousands)
COMMON STOCK (continued)
Taiwan — 2.3%
Taiwan Semiconductor Manufacturing Co Ltd	0.3%		37,000	$	360
Taiwan Semiconductor Manufacturing Co Ltd ADR	0.9		17,558		884
Other Securities	1.1				1,042
					2,286
Thailand — 0.5%
Other Securities	0.5				542
Turkey — 1.0%
Other Securities	1.0				1,044
United Kingdom — 8.2%
Experian PLC	0.8		23,529		818
Rio Tinto PLC	0.5		8,789		469
Smiths Group PLC	0.7		45,858		741
Other Securities	6.2				6,285
					8,313
United States — 2.4%
Spotify Technology SA *	0.6		3,177		575
Other Securities	1.8				1,892
					2,467
Total Common Stock (Cost $85,737) ($ Thousands)					96,224
PREFERRED STOCK — 0.3%
Brazil — 0.1%
Other Securities (B)	0.1				110
Germany — 0.1%
Other Securities (B)	0.1				73
Spain — 0.1%
Other Securities (B)	0.1				87
Total Preferred Stock (Cost $464) ($ Thousands)					270

Description	Percentage of Net Assets (%)	Shares	Market Value     ($ Thousands)
CASH EQUIVALENT — 1.4%
SEI Daily Income Trust, Government Fund, Cl F 0.090% **†	1.4%	1,455,753	$	1,456
Total Cash Equivalent (Cost $1,456) ($ Thousands)				1,456
Total Investments in Securities — 96.8% (Cost $87,657)($ Thousands)			$	97,950

96 SEI Institutional Investments Trust / Annual Report / May 31, 2020

A list of the open futures contracts held by the Fund at May 31, 2020, is as follows:

Type of Contract	Number of Contracts Long		Expiration Date		Notional Amount (Thousands)		Value (Thousands)		Unrealized Appreciation     (Depreciation) (Thousands)
Euro STOXX 50		13		Jun-2020	$	401	$	440	$	30
FTSE 100 Index		2		Jun-2020		143		150		6
Hang Seng Index		2		Jul-2020		300		294		(6	)
S&P TSX 60 Index		1		Jun-2020		133		132		(1	)
SPI 200 Index		2		Jun-2020		182		191		6
TOPIX Index		1		Jun-2020		139		145		5
					$	1,298	$	1,352	$	40

A list of the open forward foreign currency contracts held by the Fund at May 31, 2020, is as follows:

Counterparty	Settlement Date			Currency to Deliver (Thousands)			Currency to Receive (Thousands)		Unrealized (Depreciation) (Thousands)
Brown Brothers Harriman		06/09/20	EUR		982	USD		1,066	$	(27)

Percentages are based on a Net Assets of $101,167 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2020.

^†  Investment in Affiliated Security (see Note 6).

(A) Level 3 security in accordance with fair value hierarchy.

(B) There is currently no rate available.

ADR — American Depositary Receipt

Cl — Class

EUR — Euro

FTSE — Financial Times Stock Exchange

GDR — Global Depositary Receipt

Ltd. — Limited

PLC — Public Limited Company

S&P — Standard & Poor’s

SPI — Share Price Index

TOPIX — Tokyo Price Index

TSX — Toronto Stock Exchange

USD — U.S. Dollar

The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.

The following is a list of the level of inputs used as of May 31, 2020, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1 ($)			Level 2 ($)			Level 3 ($)(1)		Total ($)
Common Stock		96,224			–			–		96,224
Preferred Stock		270			–			–		270
Cash Equivalent		1,456			–			–		1,456
Total Investments in Securities		97,950			–			–		97,950
Other Financial Instruments	Level 1 ($)			Level 2 ($)			Level 3 ($)		Total ($)
Futures Contracts*
Unrealized Appreciation		47			–			–		47
Unrealized Depreciation		(7	)		–			–		(7	)
Forwards Contracts*
Unrealized Depreciation		–			(27	)		–		(27	)
Total Other Financial Instruments		40			(27	)		–		13

(1) A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. Management has concluded that Level 3 investments are not material in relation to net assets.

* Futures contracts and Forward contracts are valued at the unrealized appreciation (depreciation) on the instrument.

For the year ended May 31, 2020, there were no transfers in or out of Level 3.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The following is a summary of the Fund’s transactions with affiliates for the year ended May 31, 2020 ($ Thousands):

Security Description	Value 5/31/2019	Purchases at Cost	Proceeds from Sales	Realized Gain/ (Loss)	Change in Unrealized Appreciation/ (Depreciation)	Value 5/31/2020	Shares	Income	Capital Gains
SEI Daily Income Trust, Government Fund, Cl F	$ 2,276	$ 12,975	$ (13,795)	$ —	$ —	$ 1,456	1,455,753	$ 22	$ —

Amounts designated as “—” are either $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 97

SUMMARY SCHEDULE OF INVESTMENTS

May 31, 2020

World Select Equity Fund

^†Percentages are based on total investments.

Description	Percentage of Net Assets (%)	Shares		Market Value     ($ Thousands)
COMMON STOCK — 91.9%
Argentina — 0.0%
Other Securities	0.0%			$	89
Australia — 0.4%
Other Securities	0.4				1,841
Austria — 0.2%
Other Securities	0.2				724
Belgium — 0.1%
Other Securities	0.1				251
Brazil — 0.5%
Other Securities	0.5				2,264
Canada — 1.6%
Alimentation Couche-Tard Inc, Cl B	0.6		85,488		2,666
Other Securities	1.0				4,924
					7,590
China — 2.6%
Alibaba Group Holding Ltd ADR *	0.5		11,165		2,315
Other Securities	2.1				10,108
					12,423
Croatia — 0.1%
Other Securities	0.1				536

Description	Percentage of Net Assets (%)	Shares		Market Value     ($ Thousands)
COMMON STOCK (continued)
Czech Republic — 0.2%
Other Securities	0.2%			$	933
Denmark — 0.2%
Other Securities	0.2				1,153
Egypt — 0.0%
Other Securities	0.0				165
Estonia — 0.0%
Other Securities	0.0				215
Finland — 0.5%
Nokia Oyj	0.5		523,429		2,076
Other Securities	0.0				264
					2,340
France — 3.3%
Sanofi	0.5		24,256		2,362
Other Securities	2.8				13,421
					15,783
Germany — 2.6%
Allianz SE	1.0		24,861		4,503
MTU Aero Engines AG *	0.7		21,145		3,408
Other Securities	0.9				4,698
					12,609
Greece — 0.1%
Other Securities	0.1				448
Hong Kong — 1.9%
Tencent Holdings Ltd	0.5		42,790		2,266
Other Securities	1.4				6,898
					9,164
Hungary — 0.3%
Other Securities	0.3				1,223
India — 1.0%
Other Securities	1.0				4,670

98 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Percentage of Net Assets (%)	Shares		Market Value     ($ Thousands)
COMMON STOCK (continued)
Indonesia — 0.2%
Other Securities	0.2%			$	816
Ireland — 0.0%
Other Securities	0.0				29
Israel — 0.0%
Other Securities	0.0				159
Italy — 1.0%
Other Securities	1.0				4,758
Japan — 14.7%
Asahi Group Holdings Ltd	0.5		67,167		2,530
Central Japan Railway Co	0.5		14,300		2,447
Daito Trust Construction Co Ltd	0.6		26,601		2,811
East Japan Railway Co	0.5		27,500		2,157
FANUC Corp	0.4		11,300		2,015
Honda Motor Co Ltd	0.5		94,100		2,432
Japan Tobacco Inc	0.5		114,100		2,264
Nippon Telegraph & Telephone Corp	1.0		204,708		4,644
Nomura Holdings Inc	0.5		499,500		2,146
Oracle Corp Japan	0.0		703		82
Other Securities ‡	9.7				46,527
					70,055
Luxembourg — 0.2%
Other Securities	0.2				1,044
Malaysia — 0.1%
Other Securities	0.1				394
Mexico — 0.2%
Other Securities	0.2				859
Netherlands — 0.9%
Other Securities	0.9				4,233
New Zealand — 0.0%
Other Securities	0.0				83

Description	Percentage of Net Assets (%)	Shares	Market Value     ($ Thousands)
COMMON STOCK (continued)
Nigeria — 0.0%
Other Securities	0.0%		$	152
Norway — 0.1%
Other Securities	0.1			258
Peru — 0.0%
Other Securities	0.0			14
Philippines — 0.1%
Other Securities	0.1			668
Poland — 1.1%
Other Securities	1.1			5,022
Portugal — 0.0%
Other Securities	0.0			97
Qatar — 0.0%
Other Securities	0.0			23
Romania — 0.3%
Other Securities	0.3			1,551
Russia — 0.9%
Other Securities	0.9			4,056
Saudi Arabia — 0.2%
Other Securities	0.2			970
Singapore — 0.3%
Other Securities ‡	0.3			1,548
Slovenia — 0.4%
Other Securities	0.4			1,724
South Africa — 0.3%
Other Securities	0.3			1,465

SEI Institutional Investments Trust / Annual Report / May 31, 2020 99

SUMMARY SCHEDULE OF INVESTMENTS

May 31, 2020

World Select Equity Fund (Continued)

Description	Percentage of Net Assets (%)	Shares		Market Value     ($ Thousands)
COMMON STOCK (continued)
South Korea — 2.5%
Samsung Electronics Co Ltd	0.3%		37,592	$	1,539
Samsung Electronics Co Ltd GDR	0.8		3,676		3,762
Other Securities	1.4				6,385
					11,686
Spain — 0.5%
Other Securities	0.5				2,163
Sweden — 0.9%
Other Securities	0.9				4,424
Switzerland — 0.9%
Other Securities	0.9				4,099
Taiwan — 1.7%
Other Securities	1.7				8,256
Thailand — 0.1%
Other Securities	0.1				598
Turkey — 0.4%
Other Securities ‡	0.4				1,660
United Arab Emirates — 0.1%
Other Securities	0.1				519
United Kingdom — 4.1%
Next PLC	0.5		38,927		2,341
Other Securities	3.6				16,989
					19,330
United States — 44.2%
Communication Services — 2.4%
AT&T Inc	0.9		130,862		4,038
Other Securities	1.5				7,467
					11,505
Consumer Discretionary — 7.7%
Advance Auto Parts Inc	0.6		21,300		2,967
AutoZone Inc *	1.1		4,360		5,005

Description	Percentage of Net Assets (%)	Shares		Market Value     ($ Thousands)
COMMON STOCK (continued)
Consumer Discretionary (continued)
Lowe’s Cos Inc	0.7%		25,584	$	3,335
Other Securities	5.3				25,552
					36,859
Consumer Staples — 2.9%
Conagra Brands Inc	0.5		68,188		2,372
Kroger Co/The	0.7		95,954		3,130
Other Securities	1.7				8,390
					13,892
Energy — 1.4%
Other Securities	1.4				6,634
Financials — 8.8%
Aflac Inc	0.9		116,101		4,234
Ally Financial Inc	0.5		147,580		2,574
American Express Co	0.6		32,041		3,046
Bank of America Corp	0.4		83,500		2,014
E*TRADE Financial Corp	0.5		47,300		2,154
Equitable Holdings Inc	0.5		128,398		2,454
Gentex Corp	0.5		96,729		2,558
Goldman Sachs Group Inc/The	0.7		16,560		3,254
Moody’s Corp	0.6		9,853		2,635
Progressive Corp/The	0.6		37,739		2,932
US Bancorp	0.6		82,182		2,922
Other Securities ‡	2.4				11,196
					41,973
Health Care — 6.2%
AmerisourceBergen Corp, Cl A	0.7		34,700		3,308
CVS Health Corp	0.7		47,500		3,115
Eli Lilly and Co	0.6		20,346		3,112
Johnson & Johnson	0.5		15,434		2,296
Merck & Co Inc	0.8		49,744		4,015
UnitedHealth Group Inc	1.0		15,728		4,795
Other Securities	1.9				9,099
					29,740
Industrials — 4.9%
Atlas Air Worldwide Holdings Inc *	0.5		57,190		2,234
Parker-Hannifin Corp	0.8		20,989		3,777
Union Pacific Corp	0.7		20,694		3,515
Other Securities	2.9				13,996
					23,522
Information Technology — 6.7%
Intel Corp	1.0		72,649		4,572
International Business Machines Corp	0.8		31,985		3,995
Mastercard Inc, Cl A	0.5		7,154		2,153

100 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Percentage of Net Assets (%)		Shares		Market Value     ($ Thousands)
COMMON STOCK (continued)
Information Technology (continued)
Microsoft Corp		0.5%		12,503	$	2,291
Oracle Corp		0.5		39,681		2,134
QUALCOMM Inc		0.6		37,086		3,000
Other Securities		2.8				13,694
						31,839
Materials — 2.3%
Packaging Corp of America		0.5		24,008		2,435
Other Securities		1.8				8,532
						10,967
Real Estate — 0.3%
Other Securities ‡		0.3				1,184
Utilities — 0.5%
Other Securities		0.5				2,187
Vietnam — 0.0%
Other Securities		0.0				34
Total Common Stock (Cost $460,881) ($ Thousands)						437,470
PREFERRED STOCK — 0.3%
Brazil — 0.1%
Other Securities (A)		0.1				490
Germany — 0.0%
Other Securities (A)		0.0				12
Russia — 0.2%
Other Securities (A)		0.2				782
Total Preferred Stock (Cost $1,735) ($ Thousands)						1,284
RIGHTS — 0.0%
Brazil — 0.0%
Other Securities		0.0				—
United States — 0.0%
Other Securities		0.0				2
Total Rights (Cost $–) ($ Thousands)						2

Description	Percentage of Net Assets (%)	Shares		Market Value     ($ Thousands)
CASH EQUIVALENT — 0.8%
SEI Daily Income Trust, Government Fund, Cl F 0.090% **†	0.8%		3,966,317	$	3,966
Total Cash Equivalent (Cost $3,966) ($ Thousands)					3,966
Total Investments in Securities — 93.0% (Cost $466,582)($ Thousands)				$	442,722
		Contracts
PURCHASED OPTION(B)* — 0.0%
Total Purchased Option (Cost $68) ($ Thousands)			12,440,095	$	92

SEI Institutional Investments Trust / Annual Report / May 31, 2020 101

SUMMARY SCHEDULE OF INVESTMENTS

May 31, 2020

World Select Equity Fund (Continued)

A list of the open exchange traded options contracts held by the Fund at May 31, 2020 is as follows:

Description	Number of Contracts		Notional Amount (Thousands)		Exercise Price		Expiration Date		Value (Thousands)
PURCHASED OPTION — 0.0%
Call Options
June 2020, NZD Call JPY Put*		12,440,095	$	92		$66.30		6/2/2020	$	92
Total Purchased Option			$	92					$	92

A list of the open futures contracts held by the Fund at May 31, 2020 is as follows:

Type of Contract	Number of Contracts Long (Short)		Expiration Date		Notional Amount (Thousands)			Value (Thousands)			Unrealized Appreciation     (Depreciation) (Thousands)
Euro STOXX 50		151		Jun-2020	$	4,981		$	5,116		$	70
FTSE 100 Index		24		Jun-2020		1,806			1,798			(17	)
Hang Seng Index		24		Jul-2020		3,513			3,525			10
MSCI Emerging Markets		(473)		Jun-2020		(20,426	)		(22,063	)		(1,637	)
MSCI Singapore Index		55		Jul-2020		1,111			1,121			1
OMX Stockholm 30		60		Jun-2020		963			1,037			42
S&P 500 Index E-MINI		365		Jun-2020		48,962			55,517			6,555
S&P TSX 60 Index		64		Jun-2020		7,743			8,480			656
SPI 200 Index		59		Jun-2020		4,642			5,629			608
TOPIX Index		(220)		Jun-2020		(28,258	)		(31,836	)		(3,775	)
					$	25,037		$	28,324		$	2,513

A list of the open forward foreign currency contracts held by the Fund at May 31, 2020 is as follows:

Counterparty	Settlement Date			Currency to Deliver (Thousands)			Currency to Receive (Thousands)		Unrealized Appreciation (Depreciation) (Thousands)
Brown Brothers Harriman		06/25/20	USD		451	NZD		737	$	5
Brown Brothers Harriman		06/25/20	USD		25	NZD		40		—
Brown Brothers Harriman		06/25/20	NZD		6	USD		3		—
Brown Brothers Harriman		06/25/20	NZD		488	USD		299		(3	)
Brown Brothers Harriman		06/25/20	USD		772	NOK		7,695		20
Brown Brothers Harriman		06/25/20	USD		2	NOK		17		—
Brown Brothers Harriman		06/25/20	SGD		979	USD		691		(2	)
Brown Brothers Harriman		06/25/20	USD		1,843	SGD		2,613		6
Brown Brothers Harriman		06/25/20	NOK		322	USD		33		—
Brown Brothers Harriman		06/25/20	NOK		2,002	USD		201		(5	)
Brown Brothers Harriman		06/25/20	USD		3,204	DKK		21,817		54
Brown Brothers Harriman		06/25/20	AUD		70	USD		47		—
Brown Brothers Harriman		06/25/20	AUD		3,634	USD		2,391		(21	)
Brown Brothers Harriman		06/25/20	USD		4,256	SEK		40,967		96
Brown Brothers Harriman		06/25/20	CHF		6,114	USD		6,310		(60	)
Brown Brothers Harriman		06/25/20	DKK		8,306	USD		1,222		(19	)
Brown Brothers Harriman		06/25/20	USD		8,610	AUD		13,106		87

102 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Counterparty	Settlement Date			Currency to Deliver (Thousands)			Currency to Receive (Thousands)		Unrealized Appreciation (Depreciation) (Thousands)
Brown Brothers Harriman		06/25/20	USD		527	AUD		792	$	(2	)
Brown Brothers Harriman		06/25/20	CAD		224	USD		163		1
Brown Brothers Harriman		06/25/20	CAD		9,101	USD		6,533		(53	)
Brown Brothers Harriman		06/25/20	USD		13,912	CAD		19,390		119
Brown Brothers Harriman		06/25/20	USD		569	CAD		783		(2	)
Brown Brothers Harriman		06/25/20	USD		16,390	CHF		15,899		177
Brown Brothers Harriman		06/25/20	GBP		1,510	USD		1,867		—
Brown Brothers Harriman		06/25/20	GBP		15,600	USD		19,057		(228	)
Brown Brothers Harriman		06/25/20	USD		23,292	GBP		19,059		268
Brown Brothers Harriman		06/25/20	USD		606	GBP		490		—
Brown Brothers Harriman		06/25/20	SEK		30,891	USD		3,212		(70	)
Brown Brothers Harriman		06/25/20	USD		37,916	JPY		4,087,693		43
Brown Brothers Harriman		06/25/20	USD		7,672	JPY		825,321		(8	)
Brown Brothers Harriman		06/25/20	EUR		46,540	USD		51,016		(772	)
Brown Brothers Harriman		06/25/20	USD		46,682	EUR		42,612		734
Brown Brothers Harriman		06/25/20	JPY		234,269	USD		2,177		2
Brown Brothers Harriman		06/25/20	JPY		8,973,370	USD		83,233		(95	)
Brown Brothers Harriman		06/26/20	USD		5,904	HKD		45,824		5
Brown Brothers Harriman		06/26/20	HKD		6,330	USD		816		(1	)
									$	276

Percentages are based on a Net Assets of $476,296 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2020.

^‡  Real Estate Investment Trust.

^†  Investment in Affiliated Security (see Note 6).

(A) There is currently no rate available.

(B) Refer to the table below for details on Options Contracts.

ADR — American Depositary Receipt

AUD — Australian Dollar

CAD — Canadian Dollar

CHF — Swiss Franc

Cl — Class

DKK — Danish Krone

EUR — Euro

FTSE — Financial Times and Stock Exchange

GBP — British Pound Sterling

GDR — Global Depositary Receipt

HKD — Hong Kong Dollar

JPY — Japanese Yen

Ltd. — Limited

MSCI — Morgan Stanley Capital International

NOK — Norwegian Krone

NZD — New Zealand Dollar

OMX — Offset Market Exchange

PLC — Public Limited Company

S&P — Standard & Poor’s

SGD — Singapore Dollar

SEK — Swedish Krona

SPI — Share Price Index

TOPIX — Tokyo Price Index

TSX — Toronto Stock Exchange

USD — United States Dollar

The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.

The following is a list of the level of inputs used as of May 31, 2020, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1 ($)			Level 2 ($)			Level 3 ($)		Total ($)
Common Stock		422,215			15,255			–		437,470
Preferred Stock		1,141			143			–		1,284
Rights		2			–			–		2
Cash Equivalent		3,966			–			–		3,966
Total Investments in Securities		427,324			15,398			–		442,722
Other Financial Instruments	Level 1 ($)			Level 2 ($)			Level 3 ($)		Total ($)
Purchased Options		92			–			–		92
Futures Contracts*
Unrealized Appreciation		7,942			–			–		7,942
Unrealized Depreciation		(5,429	)		–			–		(5,429	)
Forwards Contracts*
Unrealized Appreciation		–			1,617			–		1,617
Unrealized Depreciation		–			(1,341	)		–		(1,341	)
Total Other Financial Instruments		2,605			276			–		2,881

* Futures contracts and Forward contracts are valued at the unrealized appreciation (depreciation) on the instrument.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 103

SUMMARY SCHEDULE OF INVESTMENTS

May 31, 2020

World Select Equity Fund (Concluded)

For the year ended May 31, 2020, there were no transfers in or out of Level 3.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The following is a summary of the Fund’s transactions with affiliates for the year ended May 31, 2020 ($ Thousands):

Security Description	Value 5/31/2019	Purchases at Cost	Proceeds from Sales	Realized Gain/ (Loss)	Change in Unrealized Appreciation/ (Depreciation)	Value 5/31/2020	Shares	Income	Capital Gains
SEI Daily Income Trust, Government Fund, Cl F	$ 13,998	$ 206,482	$ (216,514)	$ —	$ —	$ 3,966	3,966,317	$ 141	$ —

Amounts designated as “—” are either $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

104 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SUMMARY SCHEDULE OF INVESTMENTS

May 31, 2020

Emerging Markets Equity Fund

Sector Weightings (Unaudited)^†:

^†Percentages are based on total investments.

Description	Percentage of Net Assets (%)			Shares		Market Value   ($ Thousands)
COMMON STOCK — 92.9%
Argentina — 1.5%
MercadoLibre Inc *		1.0	%		11,413	$	9,720
Other Securities		0.5					5,727
							15,447
Austria — 0.1%
Other Securities		0.1					636
Bangladesh — 0.3%
Other Securities (A)		0.3					3,550
Brazil — 3.6%
Other Securities		3.6					36,515
Canada — 0.5%
Other Securities		0.5					4,679
Chile — 0.7%
Other Securities		0.7					6,760
China — 14.0%
Alibaba Group Holding Ltd ADR *		3.2			155,781		32,307
China Construction Bank Corp, Cl H		1.6			20,569,000		16,161
China Mobile Ltd		0.2			316,000		2,206
China Mobile Ltd ADR		0.3			75,609		2,658
JD.com Inc ADR *		0.6			103,700		5,634
Kweichow Moutai Co Ltd, Cl A		0.5			24,875		4,757
NetEase Inc ADR		0.8			20,975		8,031
Ping An Insurance Group Co of China Ltd, Cl A		0.0			50,600		501
Ping An Insurance Group Co of China Ltd, Cl H		1.1			1,082,000		10,679

Description	Percentage of Net Assets (%)			Shares		Market Value   ($ Thousands)
COMMON STOCK (continued)
China (continued)
Shenzhou International Group Holdings Ltd		0.5	%		410,000	$	4,874
Other Securities		5.2					53,234
							141,042
Colombia — 0.3%
Other Securities		0.3					3,214
Czech Republic — 0.1%
Other Securities		0.1					782
Egypt — 0.5%
Other Securities		0.5					5,421
Germany — 0.2%
Other Securities		0.2					2,206
Ghana — 0.0%
Other Securities		0.0					154
Greece — 0.6%
Other Securities		0.6					5,952
Hong Kong — 12.5%
AIA Group Ltd		0.7			838,840		6,802
Anhui Conch Cement Co Ltd, Cl H		0.8			1,104,000		8,268
Bank of China Ltd, Cl H		0.4			11,749,000		4,290
CNOOC Ltd		0.6			4,926,000		5,485
Industrial & Commercial Bank of China Ltd, Cl H		0.8			11,835,000		7,634
Tencent Holdings Ltd		2.8			535,281		28,342
WuXi AppTec Co Ltd, Cl H		0.5			428,820		4,537
Zhongsheng Group Holdings Ltd		0.5			945,000		4,852
Other Securities		5.4					55,491
							125,701
Hungary — 0.5%
Other Securities		0.5					4,868
India — 7.0%
HDFC Bank Ltd ADR		0.6			143,162		5,988
Hindustan Unilever Ltd		0.6			212,903		5,793
ITC Ltd *		0.6			2,417,145		6,308
Reliance Industries Ltd		0.5			237,059		4,591
WNS Holdings Ltd ADR *		0.5			112,936		5,459
Other Securities		4.2					42,432
							70,571

SEI Institutional Investments Trust / Annual Report / May 31, 2020 105

SUMMARY SCHEDULE OF INVESTMENTS

May 31, 2020

Emerging Markets Equity Fund (Continued)

Description	Percentage of Net Assets (%)			Shares		Market Value   ($ Thousands)
COMMON STOCK (continued)
Indonesia — 1.5%
Other Securities		1.5	%			$	15,382
Ivory Coast — 0.1%
Other Securities		0.1					745
Kenya — 0.6%
Other Securities		0.6					5,859
Kuwait — 0.8%
National Bank of Kuwait SAKP		0.6			2,397,461		6,026
Other Securities		0.2					1,752
							7,778
Malaysia — 0.6%
Other Securities		0.6					5,637
Mauritius — 0.0%
Other Securities		0.0					584
Mexico — 2.1%
Wal-Mart de Mexico SAB de CV		0.5			1,960,500		4,917
Other Securities ‡		1.6					16,094
							21,011
Morocco — 0.3%
Other Securities		0.3					2,882
Nigeria — 0.4%
Other Securities		0.4					3,682
Oman — 0.0%
Other Securities		0.0					330
Pakistan — 0.2%
Other Securities		0.2					1,904
Panama — 0.1%
Other Securities		0.1					1,234
Peru — 1.1%
Credicorp Ltd		0.8			57,596		7,938
Other Securities		0.3					2,805
							10,743
Philippines — 2.7%
Ayala Corp		0.5			303,969		4,489
Robinsons Land Corp		0.3			11,904,032		3,476

Description	Percentage of Net Assets (%)			Shares		Market Value   ($ Thousands)
COMMON STOCK (continued)
Philippines (continued)
Universal Robina		0.1	%		344,390	$	891
Other Securities		1.8					18,418
							27,274
Poland — 0.7%
Other Securities		0.7					6,657
Qatar — 0.1%
Other Securities		0.1					944
Romania — 0.2%
Other Securities		0.2					2,320
Russia — 4.0%
LUKOIL PJSC ADR		0.9			117,093		8,747
MMC Norilsk Nickel PJSC ADR		0.4			138,101		4,341
Sberbank of Russia PJSC ADR		0.7			615,166		6,995
Yandex NV, Cl A *		0.8			197,184		7,933
Other Securities		1.2					11,931
							39,947
Saudi Arabia — 0.5%
Other Securities		0.5					5,383
Singapore — 0.3%
Other Securities		0.3					2,628
South Africa — 1.9%
Other Securities		1.9					19,622
South Korea — 8.6%
Douzone Bizon Co Ltd		0.6			65,947		6,390
NCSoft Corp		0.7			10,347		6,600
Samsung Electronics Co Ltd		2.4			594,548		24,340
Other Securities		4.9					49,180
							86,510
Sri Lanka — 0.2%
Other Securities		0.2					1,858
Taiwan — 11.7%
Accton Technology Corp		0.6			707,000		5,687
Chailease Holding Co Ltd		0.4			1,035,047		4,016
Fubon Financial Holding Co Ltd		0.4			3,015,000		4,258
Silergy Corp		0.6			121,947		6,580
Taiwan Semiconductor Manufacturing Co Ltd		0.8			844,000		8,208

106 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Percentage of Net Assets (%)			Shares		Market Value     ($ Thousands)
COMMON STOCK (continued)
Taiwan (continued)
Taiwan Semiconductor Manufacturing Co Ltd ADR		2.7	%		540,447	$	27,201
Other Securities		6.2					62,524
							118,474
Thailand — 2.9%
Home Product Center PCL		0.6			12,288,445		5,717
Other Securities		2.3					23,959
							29,676
Turkey — 0.8%
Other Securities		0.8					7,901
United Arab Emirates — 1.0%
Emaar Development PJSC		0.3			5,237,801		2,770
Emaar Properties PJSC		0.1			2,434,882		1,656
Other Securities		0.6					6,180
							10,606
United Kingdom — 3.7%
Halyk Savings Bank of Kazakhstan JSC GDR *		0.6			580,735		6,122
NAC Kazatomprom JSC GDR		0.5			356,840		5,210
Network International Holdings PLC		0.6			1,007,812		5,789
Wizz Air Holdings *		0.5			120,184		4,873
Other Securities		1.5					15,461
							37,455
United States — 1.2%
EPAM Systems Inc *		0.4			19,145		4,416
Other Securities		0.8					8,010
							12,426
Vietnam — 2.2%
Military Commercial Joint Stock Bank *		0.4			5,679,699		4,196
Vietnam Dairy Products JSC		0.4			923,314		4,561
Other Securities		1.4					13,906
							22,663
Total Common Stock (Cost $896,981) ($ Thousands)							937,613
				Number of Warrants
WARRANTS * — 1.4%
India — 0.1%
Other Securities		0.1					1,006
Luxembourg — 0.2%
Other Securities		0.2					1,937

Description	Percentage of Net Assets (%)			Number of Warrants		Market Value     ($ Thousands)
WARRANTS (continued)
Thailand — 0.0%
Other Securities		0.0	%			$	11
United States — 1.0%
FPT Corp, Expires 03/31/21		0.5			2,586,533		5,274
Shandong Pharmaceutical Glass Co Ltd, Expires 02/19/20		0.5			732,732		4,715
							9,989
Vietnam — 0.1%
Other Securities		0.1					1,331
Total Warrants (Cost $9,670) ($ Thousands)							14,274
				Shares
PREFERRED STOCK (B) — 1.2%
Brazil — 0.6%
Other Securities		0.6					6,330
Chile — 0.1%
Other Securities		0.1					514
Colombia — 0.3%
Other Securities		0.3					2,727
South Korea — 0.2%
Samsung Electronics Co Ltd		0.2			54,209		1,875
Other Securities		0.0					476
							2,351
Total Preferred Stock (Cost $14,009) ($ Thousands)							11,922
EXCHANGE TRADED FUND — 0.2%
Other Securities		0.2					1,678
Total Exchange Traded Fund (Cost $1,514) ($ Thousands)							1,678
RIGHTS * — 0.0%
India — 0.0%
Other Securities		0.0					46
Total Rights (Cost $–) ($ Thousands)							46

SEI Institutional Investments Trust / Annual Report / May 31, 2020 107

SUMMARY SCHEDULE OF INVESTMENTS

May 31, 2020

Emerging Markets Equity Fund (Concluded)

Description	Percentage of Net Assets (%)			Shares		Market Value     ($ Thousands)
CASH EQUIVALENT — 1.8%
SEI Daily Income Trust, Government Fund, Cl F 0.090% **†		1.8	%		18,307,221	$	18,307
Total Cash Equivalent (Cost $18,307) ($ Thousands)							18,307
Total Investments in Securities — 97.5% (Cost $940,481)($ Thousands)						$	983,840

A list of the open futures contracts held by the Fund at May 31, 2020 is as follows:

Type of Contract	Number of Contracts Long		Expiration Date		Notional Amount (Thousands)		Value (Thousands)		Unrealized Appreciation (Thousands)
MSCI Emerging Markets		440		Jun-2020	$	20,237	$	20,524	$	287

Percentages are based on a Net Assets of $1,008,763 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2020.

^‡  Real Estate Investment Trust.

^†  Investment in Affiliated Security (see Note 6).

(A) Level 3 security in accordance with fair value hierarchy.

(B) There is currently no rate available.

ADR — American Depositary Receipt

Cl — Class

GDR — Global Depositary Receipt

JSC — Joint-Stock Company

Ltd. — Limited

MSCI — Morgan Stanley Capital International

PCL — Public Company Limited

PJSC — Public Joint-Stock Company

PLC — Public Limited Company

The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.

The following is a list of the level of inputs used as of May 31, 2020, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1 ($)		Level 2 ($)		Level 3 ($)(1)		Total ($)
Common Stock		934,063		–		3,550		937,613
Warrants		–		14,274		–		14,274
Preferred Stock		11,922		–		–		11,922
Exchange Traded Fund		1,678		–		–		1,678
Rights		–		46		–		46
Cash Equivalent		18,307		–		–		18,307
Total Investments in Securities		965,970		14,320		3,550		983,840
Other Financial Instruments	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Futures Contracts*
Unrealized Appreciation		287		–		–		287
Total Other Financial Instruments		287		–		–		287

(1) A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. Management has concluded that Level 3 investments are not material in relation to net assets.

* Futures contracts are valued at the unrealized appreciation on the instrument.

For the year ended May 31, 2020, there were transfers in or out of Level 3.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

108 SEI Institutional Investments Trust / Annual Report / May 31, 2020

The following is a summary of Fund’s transactions with affiliates for the year ended May 31, 2020 ($ Thousands):

Security Description	Value 5/31/2019			Purchases at Cost			Proceeds from Sales			Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Value 5/31/2020			Shares		Income			Capital Gains
SEI Daily Income Trust, Government Fund, Cl F		$	51,118		$	256,626		$	(289,437)		$	–		$	–		$	18,307		18,307,221		$	468		$	–

Amounts designated as “—” are either $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 109

SCHEDULE OF INVESTMENTS

May 31, 2020

Opportunistic Income Fund

Sector Weightings (Unaudited)^†:

^† Percentages based on total investments.

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES — 34.7%
Agency Mortgage-Backed Obligations — 2.6%
FHLMC
2.000%, 05/01/2035	$	1,675	$	1,729
FHLMC ARM
4.626%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.250%, 06/01/2035		634		662
4.614%, VAR ICE LIBOR USD 12 Month+2.470%, 03/01/2036		849		907
FHLMC Multifamily Structured Pass-Through Certificates, Ser K011, Cl X1, IO
0.174%, 11/25/2020 (A)		95,352		22
FHLMC Multifamily Structured Pass-Through Certificates, Ser K018, Cl X1, IO
1.300%, 01/25/2022 (A)		12,815		193
FHLMC Multifamily Structured Pass-Through Certificates, Ser K028, Cl X1, IO
0.267%, 02/25/2023 (A)		141,989		846
FHLMC REMIC, Ser 2010-83, Cl BA
5.000%, 08/25/2040		240		266
FHLMC REMICS CMO, Ser 2007-3311, Cl FN
0.484%, VAR ICE LIBOR USD 1 Month+0.300%, 05/15/2037		362		360
FNMA
6.000%, 10/01/2039 to 04/01/2040		419		485
6.000%, 09/01/2039 (B)		24		28
3.000%, 12/01/2030 (B)		626		662
3.000%, 05/01/2022		510		538
2.500%, 05/01/2050		1,680		1,742

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
FNMA ARM
4.675%, VAR ICE LIBOR USD 12 Month+1.800%, 05/01/2034	$	236	$	246
4.600%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.246%, 08/01/2034		726		756
4.287%, VAR ICE LIBOR USD 12 Month+1.873%, 10/01/2033		202		212
4.240%, VAR ICE LIBOR USD 12 Month+1.777%, 09/01/2034		469		472
4.157%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.205%, 05/01/2035		235		246
4.106%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.332%, 04/01/2034		399		419
4.086%, VAR ICE LIBOR USD 12 Month+1.557%, 06/01/2035		146		148
4.038%, VAR ICE LIBOR USD 12 Month+1.601%, 06/01/2035		123		124
3.998%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.141%, 10/01/2033		424		442
3.951%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.184%, 07/01/2036		710		744
3.942%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.193%, 10/01/2024		26		26
3.900%, VAR ICE LIBOR USD 12 Month+1.770%, 10/01/2033		210		211
3.820%, VAR ICE LIBOR USD 12 Month+1.565%, 05/01/2037		650		679
3.742%, VAR ICE LIBOR USD 12 Month+1.490%, 10/01/2035		549		572
3.458%, VAR ICE LIBOR USD 6 Month+1.580%, 07/01/2034		174		179
3.260%, VAR ICE LIBOR USD 6 Month+1.433%, 03/01/2035		502		515
3.050%, VAR ICE LIBOR USD 12 Month+1.675%, 04/01/2033		178		181
FNMA REMICS CMO, Ser 2011-63, Cl FG
0.618%, VAR ICE LIBOR USD 1 Month+0.450%, 07/25/2041		716		719
FNMA REMICS CMO, Ser 2012-112, Cl BI, IO
3.000%, 09/25/2031		5,608		347
FNMA REMICS CMO, Ser 2012-136, Cl DC
1.750%, 09/25/2041		786		790
FNMA REMICS CMO, Ser 2012-137, Cl UE
1.750%, 09/25/2041		347		351
FNMA REMICS CMO, Ser 2015-46, Cl BA
3.000%, 05/25/2041		322		331

110 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
FNMA STRIPS CMO, Ser 2011-406, Cl 6, IO
4.000%, 01/25/2041 (A)	$	459	$	64
FNMA, Ser 2017-M13, Cl FA
1.150%, VAR ICE LIBOR USD 1 Month+0.400%, 10/25/2024		249		248
GNMA ARM
3.195%, VAR ICE LIBOR USD 1 Month+1.693%, 12/20/2060		1,575		1,622
2.620%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+1.410%, 09/20/2060 to 11/20/2060		1,316		1,336
2.546%, VAR ICE LIBOR USD 1 Month+1.040%, 12/20/2060		1,812		1,840
2.324%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+1.125%, 11/20/2060		1,358		1,374
GNMA, Ser 2015-171, IO
0.867%, 11/16/2055 (A)		16,424		796
Mortgage-Linked Amortizing Notes, Ser 2012-1, Cl A10
2.060%, 01/15/2022		545		551
NCUA Guaranteed Notes CMO, Ser 2010-R3, Cl 2A
0.807%, VAR ICE LIBOR USD 1 Month+0.560%, 12/08/2020		239		239
				25,220
Non-Agency Mortgage-Backed Obligations — 32.1%
280 Park Avenue Mortgage Trust, Ser 2017- 280P, Cl D
1.720%, VAR ICE LIBOR USD 1 Month+1.537%, 09/15/2034 (C)		3,000		2,838
Adjustable Rate Mortgage Trust, Ser 2005-1, Cl 5M1
1.537%, VAR ICE LIBOR USD 1 Month+1.050%, 05/25/2035		2,880		2,814
Alternative Loan Trust, Ser 2007-8CB, Cl A5
0.668%, VAR ICE LIBOR USD 1 Month+0.500%, 05/25/2037		3,222		1,592
American Home Mortgage Investment Trust, Ser 2005-2, Cl 4A1
2.305%, VAR ICE LIBOR USD 6 Month+1.500%, 09/25/2045		321		316
Angel Oak Mortgage Trust I LLC, Ser 2017-2, Cl A1
2.478%, 07/25/2047 (A)(C)		93		93
Angel Oak Mortgage Trust I LLC, Ser 2018-3, Cl A1
3.649%, 09/25/2048 (A)(C)		120		121
Angel Oak Mortgage Trust I LLC, Ser 2019-1, Cl A1
3.920%, 11/25/2048 (A)(C)		1,698		1,722

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
Angel Oak Mortgage Trust I LLC, Ser 2019-2, Cl A1
3.628%, 03/25/2049 (A)(C)	$	347	$	352
Angel Oak Mortgage Trust I LLC, Ser 2019-4, Cl A1
2.993%, 07/26/2049 (A)(C)		211		214
Angel Oak Mortgage Trust LLC, Ser 2017-1, Cl A1
2.810%, 01/25/2047 (A)(C)		13		12
Angel Oak Mortgage Trust LLC, Ser 2017-3, Cl A1
2.708%, 11/25/2047 (A)(C)		61		60
Angel Oak Mortgage Trust, Ser 2020-1, Cl A1
2.466%, 12/25/2059 (A)(C)		72		73
Arroyo Mortgage Trust, Ser 2018-1, Cl A1
3.763%, 04/25/2048 (A)(C)		1,590		1,616
Arroyo Mortgage Trust, Ser 2019-1, Cl A1
3.805%, 01/25/2049 (A)(C)		1,652		1,686
BAMLL Commercial Mortgage Securities Trust, Ser 2018-DSNY, Cl A
1.034%, VAR ICE LIBOR USD 1 Month+0.850%, 09/15/2034 (C)		700		651
Banc of America Funding, Ser 2005-F, Cl 4A1
4.155%, 09/20/2035 (A)		62		54
Banc of America Funding, Ser 2006-D, Cl 3A1
3.590%, 05/20/2036 (A)		51		48
Banc of America Funding, Ser 2006-I, Cl 1A1
3.913%, 12/20/2036 (A)		2,361		2,273
Banc of America Mortgage Trust, Ser 2003- K, Cl 2A1
3.913%, 12/25/2033 (A)		839		789
Banc of America Mortgage Trust, Ser 2004-A, Cl 2A2
3.871%, 02/25/2034 (A)		949		911
Banc of America Mortgage Trust, Ser 2004-D, Cl 2A1
3.846%, 05/25/2034 (A)		423		409
Banc of America Mortgage Trust, Ser 2004-L, Cl 1A1
4.385%, 01/25/2035 (A)		125		119
Banc of America Mortgage Trust, Ser 2005-A, Cl 2A1
3.673%, 02/25/2035 (A)		23		22
Bayview Commercial Asset Trust, Ser 2003- 2, Cl A
1.038%, VAR ICE LIBOR USD 1 Month+0.870%, 12/25/2033 (C)		770		740
Bayview Commercial Asset Trust, Ser 2004-1, Cl A
0.708%, VAR ICE LIBOR USD 1 Month+0.540%, 04/25/2034 (C)		3,853		3,799

SEI Institutional Investments Trust / Annual Report / May 31, 2020 111

SCHEDULE OF INVESTMENTS

May 31, 2020

Opportunistic Income Fund (Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
Bayview Commercial Asset Trust, Ser 2004- 3, Cl A1
0.723%, VAR ICE LIBOR USD 1 Month+0.555%, 01/25/2035 (C)	$	2,239	$	2,204
Bayview Commercial Asset Trust, Ser 2004- 3, Cl M2
1.668%, VAR ICE LIBOR USD 1 Month+1.500%, 01/25/2035 (C)		175		172
Bayview Commercial Asset Trust, Ser 2005- 1A, Cl A2
0.693%, VAR ICE LIBOR USD 1 Month+0.525%, 04/25/2035 (C)		1,265		1,056
Bayview Commercial Asset Trust, Ser 2005- 3A, Cl M5
0.808%, VAR ICE LIBOR USD 1 Month+0.640%, 11/25/2035 (C)		782		603
Bayview Commercial Asset Trust, Ser 2005- 4A, Cl A1
0.468%, VAR ICE LIBOR USD 1 Month+0.300%, 01/25/2036 (C)		2,203		1,982
Bayview Commercial Asset Trust, Ser 2006- 2A, Cl A1
0.398%, VAR ICE LIBOR USD 1 Month+0.230%, 07/25/2036 (C)		778		695
Bayview Commercial Asset Trust, Ser 2006- 2A, Cl A2
0.448%, VAR ICE LIBOR USD 1 Month+0.280%, 07/25/2036 (C)		1,334		1,183
Bayview Commercial Asset Trust, Ser 2006- 4A, Cl A1
0.398%, VAR ICE LIBOR USD 1 Month+0.230%, 12/25/2036 (C)		575		513
Bayview Commercial Asset Trust, Ser 2007-1, Cl A1
0.388%, VAR ICE LIBOR USD 1 Month+0.220%, 03/25/2037 (C)		1,359		1,246
Bayview Commercial Asset Trust, Ser 2007-1, Cl A2
0.438%, VAR ICE LIBOR USD 1 Month+0.270%, 03/25/2037 (C)		510		465
BBCMS Mortgage Trust, Ser 2017-DELC, Cl B
1.214%, VAR ICE LIBOR USD 1 Month+1.030%, 08/15/2036 (C)		5,000		4,539
BBCMS Mortgage Trust, Ser 2017-DELC, Cl A
1.034%, VAR ICE LIBOR USD 1 Month+0.850%, 08/15/2036 (C)		1,000		940
BBCMS Mortgage Trust, Ser 2018-TALL, Cl C
1.305%, VAR ICE LIBOR USD 1 Month+1.121%, 03/15/2037 (C)		3,000		2,722
Bear Stearns Alt-A Trust, Ser 2003-5, Cl 2A1
3.573%, 12/25/2033 (A)		1,045		992
Bear Stearns Alt-A Trust, Ser 2004-7, Cl 2A1
4.015%, 08/25/2034 (A)		1,740		1,678

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
Bear Stearns ARM Trust, Ser 2003-8, Cl 4A1
4.252%, 01/25/2034 (A)	$	2,356	$	2,298
Bear Stearns ARM Trust, Ser 2004-1, Cl 12A3
3.893%, 04/25/2034 (A)		1,376		1,286
Bear Stearns ARM Trust, Ser 2004-1, Cl 21A1
3.585%, 04/25/2034 (A)		309		290
Bear Stearns ARM Trust, Ser 2004-2, Cl 12A2
3.464%, 05/25/2034 (A)		1,260		1,127
Bear Stearns ARM Trust, Ser 2004-3, Cl 2A
3.911%, 07/25/2034 (A)		1,134		1,042
Bear Stearns ARM Trust, Ser 2004-5, Cl 2A
4.112%, 07/25/2034 (A)		1,018		975
Bear Stearns ARM Trust, Ser 2004-9, Cl 22A1
4.354%, 11/25/2034 (A)		1,001		939
Bear Stearns Commercial Mortgage Securities Trust, Ser 2005-PWR9, Cl C
5.055%, 09/11/2042 (A)		728		726
Bear Stearns Commercial Mortgage Securities Trust, Ser 2007-PW17, Cl C
5.744%, 06/11/2050 (A)(C)		1,510		1,471
Bear Stearns Commercial Mortgage Securities Trust, Ser 2007-T26, Cl AM
5.433%, 01/12/2045 (A)		574		529
Bellemeade Re, Ser 2018-3A, Cl M1B
2.018%, VAR ICE LIBOR USD 1 Month+1.850%, 10/25/2028 (C)		2,058		1,979
Bellemeade Re, Ser 2019-2A, Cl M1B
1.618%, VAR ICE LIBOR USD 1 Month+1.450%, 04/25/2029 (C)		490		483
Bellemeade Re, Ser 2019-3A, Cl M1A
1.268%, VAR ICE LIBOR USD 1 Month+1.100%, 07/25/2029 (C)		925		910
Bellemeade Re, Ser 2019-3A, Cl M1B
1.768%, VAR ICE LIBOR USD 1 Month+1.600%, 07/25/2029 (C)		3,000		2,661
BRAVO Residential Funding Trust, Ser 2019-1, Cl A1C
3.500%, 03/25/2058 (C)		2,211		2,233
BRAVO Residential Funding Trust, Ser 2019- NQM1, Cl A1
2.666%, 07/25/2059 (A)(C)		2,076		2,098
BRAVO Residential Funding Trust, Ser 2019- NQM2, Cl A1
2.748%, 11/25/2059 (A)(C)		1,602		1,599
Bunker Hill Loan Depositary Trust, Ser 2019- 1, Cl A1
3.613%, 10/26/2048 (C)		1,989		2,018
Bunker Hill Loan Depositary Trust, Ser 2019- 1, Cl A2
3.817%, 10/26/2048 (C)		230		234
BWAY Mortgage Trust, Ser 2013-1515, Cl A1
2.809%, 03/10/2033 (C)		183		186

112 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
BX Commercial Mortgage Trust, Ser 2018- BIOA, Cl C
1.305%, VAR ICE LIBOR USD 1 Month+1.121%, 03/15/2037 (C)	$	2,939	$	2,775
BX Commercial Mortgage Trust, Ser 2018- BIOA, Cl D
1.505%, VAR ICE LIBOR USD 1 Month+1.321%, 03/15/2037 (C)		2,000		1,885
BX Commercial Mortgage Trust, Ser 2018- IND, Cl D
1.484%, VAR ICE LIBOR USD 1 Month+1.300%, 11/15/2035 (C)		700		678
BX Commercial Mortgage Trust, Ser 2018- IND, Cl A
0.934%, VAR ICE LIBOR USD 1 Month+0.750%, 11/15/2035 (C)		163		159
BX Commercial Mortgage Trust, Ser 2019- XL, Cl A
1.104%, VAR ICE LIBOR USD 1 Month+0.920%, 10/15/2036 (C)		287		281
BX Commercial Mortgage Trust, Ser 2019- XL, Cl E
1.984%, VAR ICE LIBOR USD 1 Month+1.800%, 10/15/2036 (C)		1,194		1,130
BX Commercial Mortgage Trust, Ser 2020- BXLP, Cl E
1.784%, VAR ICE LIBOR USD 1 Month+1.600%, 12/15/2036 (C)		2,000		1,860
CAMB Commercial Mortgage Trust, Ser 2019- LIFE, Cl B
1.434%, VAR ICE LIBOR USD 1 Month+1.250%, 12/15/2037 (C)		3,000		2,895
CAMB Commercial Mortgage Trust, Ser 2019- LIFE, Cl E
2.334%, VAR ICE LIBOR USD 1 Month+2.150%, 12/15/2037 (C)		4,090		3,849
CGDBB Commercial Mortgage Trust, Ser 2017-BIOC, Cl D
1.784%, VAR ICE LIBOR USD 1 Month+1.600%, 07/15/2032 (C)		2,284		2,194
CGDBB Commercial Mortgage Trust, Ser 2017-BIOC, Cl B
1.154%, VAR ICE LIBOR USD 1 Month+0.970%, 07/15/2032 (C)		2,193		2,123
Chase Mortgage Finance Trust, Ser 2005-A1, Cl 2A3
3.793%, 12/25/2035 (A)		596		554
Chase Mortgage Finance Trust, Ser 2007-A1, Cl 7A1
4.212%, 02/25/2037 (A)		441		424
Chase Mortgage Finance Trust, Ser 2007-A1, Cl 1A3
4.149%, 02/25/2037 (A)		421		407

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
Chase Mortgage Finance Trust, Ser 2007-A2, Cl 2A3
4.159%, 06/25/2035 (A)	$	676	$	650
CHL Mortgage Pass-Through Trust, Ser 2003- 46, Cl 2A1
3.860%, 01/19/2034 (A)		912		847
CHL Mortgage Pass-Through Trust, Ser 2004- 11, Cl 2A1
3.420%, 07/25/2034 (A)		817		776
CHL Mortgage Pass-Through Trust, Ser 2004- 8, Cl 2A1
4.500%, 06/25/2019		6		6
CHT Mortgage Trust, Ser 2017-CSMO, Cl B
1.584%, VAR ICE LIBOR USD 1 Month+1.400%, 11/15/2036 (C)		2,000		1,850
CIM Trust, Ser 2017-7, Cl A
3.000%, 04/25/2057 (A)(C)		585		583
Citigroup Commercial Mortgage Trust, Ser 2006-C4, Cl C
6.190%, 03/15/2049 (A)		1,344		1,349
Citigroup Commercial Mortgage Trust, Ser 2018-TBR, Cl A
1.014%, VAR ICE LIBOR USD 1 Month+0.830%, 12/15/2036 (C)		4,000		3,626
Citigroup Commercial Mortgage Trust, Ser 2019-SST2, Cl A
1.104%, VAR ICE LIBOR USD 1 Month+0.920%, 12/15/2036 (C)		700		677
Citigroup Mortgage Loan Trust, Ser 2005-2, Cl 1A2A
4.290%, 05/25/2035 (A)		720		716
Citigroup Mortgage Loan Trust, Ser 2007- AR5, Cl 1A2A
4.002%, 04/25/2037 (A)		301		271
Citigroup Mortgage Loan Trust, Ser 2015-2, Cl 5A1
0.737%, VAR ICE LIBOR USD 1 Month+0.250%, 03/25/2047 (C)		393		391
Citigroup Mortgage Loan Trust, Ser 2019- IMC1, Cl A1
2.720%, 07/25/2049 (A)(C)		73		72
COLT Mortgage Loan Trust, Ser 2018-3, Cl A1
3.692%, 10/26/2048 (A)(C)		266		270
COLT Mortgage Loan Trust, Ser 2018-4, Cl A1
4.006%, 12/28/2048 (A)(C)		243		246
COLT Mortgage Loan Trust, Ser 2019-1, Cl A1
3.705%, 03/25/2049 (A)(C)		1,530		1,538
COLT Mortgage Loan Trust, Ser 2019-2, Cl A1
3.337%, 05/25/2049 (A)(C)		1,025		1,032
COLT Mortgage Loan Trust, Ser 2019-3, Cl A1
2.764%, 08/25/2049 (A)(C)		1,128		1,125
COLT Mortgage Loan Trust, Ser 2019-4, Cl A1
2.579%, 11/25/2049 (A)(C)		1,491		1,489

SEI Institutional Investments Trust / Annual Report / May 31, 2020 113

SCHEDULE OF INVESTMENTS

May 31, 2020

Opportunistic Income Fund (Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
COMM Mortgage Trust, Ser 2013-300P, Cl E
4.394%, 08/10/2030 (A)(C)	$	800	$	705
COMM Mortgage Trust, Ser 2013-CR10, Cl XA, IO
0.662%, 08/10/2046 (A)		37,675		693
COMM Mortgage Trust, Ser 2014-CR14, Cl XA, IO
0.588%, 02/10/2047 (A)		26,024		469
COMM Mortgage Trust, Ser 2014-CR15, Cl D
4.745%, 02/10/2047 (A)(C)		700		557
COMM Mortgage Trust, Ser 2014-CR15, Cl A2
2.928%, 02/10/2047		391		392
Credit Suisse Commercial Mortgage Trust, Ser 2007-C2, Cl AJ
5.642%, 01/15/2049 (A)		30		30
Credit Suisse First Boston Mortgage Securities, Ser 2004-AR8, Cl 6A1
3.979%, 09/25/2034 (A)		235		236
Credit Suisse First Boston Mortgage Securities, Ser 2005-5, Cl 3A2
0.468%, VAR ICE LIBOR USD 1 Month+0.300%, 07/25/2035		1,466		1,379
CSFB Mortgage-Backed Pass-Through Certificates, Ser 2004-AR5, Cl 6A1
3.805%, 06/25/2034 (A)		2,358		2,324
CSMC Trust, Ser 2019-AFC1, Cl A1
2.573%, 07/25/2049 (C)		1,686		1,701
DBCG Mortgage Trust, Ser 2017-BBG, Cl C
1.184%, VAR ICE LIBOR USD 1 Month+1.000%, 06/15/2034 (C)		1,100		1,023
DBGS Mortgage Trust, Ser 2018-BIOD, Cl A
0.987%, VAR ICE LIBOR USD 1 Month+0.803%, 05/15/2035 (C)		2,784		2,646
DBUBS Mortgage Trust, Ser 2011-LC2A, Cl XA, IO
1.017%, 07/10/2044 (A)(C)		21,402		116
DBUBS Mortgage Trust, Ser 2011-LC3A, Cl A4
4.551%, 08/10/2044		1,236		1,261
Deephaven Residential Mortgage Trust, Ser 2017-1A, Cl A1
2.725%, 12/26/2046 (A)(C)		26		25
Deephaven Residential Mortgage Trust, Ser 2017-2A, Cl A1
2.453%, 06/25/2047 (A)(C)		74		74
Deephaven Residential Mortgage Trust, Ser 2017-3A, Cl A1
2.577%, 10/25/2047 (A)(C)		75		75
Deephaven Residential Mortgage Trust, Ser 2018-1A, Cl A1
2.976%, 12/25/2057 (A)(C)		123		124
Deephaven Residential Mortgage Trust, Ser 2018-3A, Cl A1
3.789%, 08/25/2058 (A)(C)		199		201

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
Deephaven Residential Mortgage Trust, Ser 2019-3A, Cl A1
2.964%, 07/25/2059 (A)(C)	$	172	$	173
Deutsche Mortgage Securities Re-REMIC Trust Certificates, Ser 2007-WM1, Cl A1
3.658%, 06/27/2037 (A)(C)		1,272		1,201
Eagle Re, Ser 2020-1, Cl M1A
1.068%, VAR ICE LIBOR USD 1 Month+0.900%, 01/25/2030 (C)		1,950		1,850
Ellington Financial Mortgage Trust, Ser 2019- 2, Cl A2
2.892%, 11/25/2059 (A)(C)		1,762		1,754
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2014-DN2, Cl M2
1.818%, VAR ICE LIBOR USD 1 Month+1.650%, 04/25/2024		124		122
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2014-DN3, Cl M3
4.168%, VAR ICE LIBOR USD 1 Month+4.000%, 08/25/2024		–		–
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2014-HQ1, Cl M3
4.268%, VAR ICE LIBOR USD 1 Month+4.100%, 08/25/2024		882		888
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2014-HQ2, Cl M3
3.918%, VAR ICE LIBOR USD 1 Month+3.750%, 09/25/2024		1,597		1,597
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2014-HQ3, Cl M3
4.918%, VAR ICE LIBOR USD 1 Month+4.750%, 10/25/2024		1,619		1,655
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-DN1, Cl M3
4.318%, VAR ICE LIBOR USD 1 Month+4.150%, 01/25/2025		1,417		1,436
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-DNA3, Cl M2
3.018%, VAR ICE LIBOR USD 1 Month+2.850%, 04/25/2028		102		102
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-DNA3, Cl M3
4.868%, VAR ICE LIBOR USD 1 Month+4.700%, 04/25/2028		1,550		1,615
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-DNA3, Cl M3F
3.868%, VAR ICE LIBOR USD 1 Month+3.700%, 04/25/2028		992		987
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-HQ1, Cl M3
3.968%, VAR ICE LIBOR USD 1 Month+3.800%, 03/25/2025		347		352

114 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-HQ2, Cl M3
3.418%, VAR ICE LIBOR USD 1 Month+3.250%, 05/25/2025	$	1,831	$	1,814
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2017-DNA1, Cl M1
1.368%, VAR ICE LIBOR USD 1 Month+1.200%, 07/25/2029		313		313
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2018-DNA1, Cl M2
1.968%, VAR ICE LIBOR USD 1 Month+1.800%, 07/25/2030		946		897
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2018-HQA1, Cl M2
2.468%, VAR ICE LIBOR USD 1 Month+2.300%, 09/25/2030		1,309		1,220
Flagstar Mortgage Trust, Ser 2018-5, Cl A7
4.000%, 09/25/2048 (A)(C)		98		98
FNMA Connecticut Avenue Securities, Ser 2014-C04, Cl 1M2
5.068%, VAR ICE LIBOR USD 1 Month+4.900%, 11/25/2024		3,243		3,349
FNMA Connecticut Avenue Securities, Ser 2016-C03, Cl 2M2
6.068%, VAR ICE LIBOR USD 1 Month+5.900%, 10/25/2028		354		375
FNMA Connecticut Avenue Securities, Ser 2016-C06, Cl 1M2
4.418%, VAR ICE LIBOR USD 1 Month+4.250%, 04/25/2029		1,519		1,567
FNMA Connecticut Avenue Securities, Ser 2018-C03, Cl 1M2
2.318%, VAR ICE LIBOR USD 1 Month+2.150%, 10/25/2030		1,023		992
FNMA Connecticut Avenue Securities, Ser 2018-C03, Cl 1EA2
1.018%, VAR ICE LIBOR USD 1 Month+0.850%, 10/25/2030		371		360
FNMA Connecticut Avenue Securities, Ser 2018-C05, Cl 1M2
2.518%, VAR ICE LIBOR USD 1 Month+2.350%, 01/25/2031		1,457		1,413
FREMF Mortgage Trust, Ser 2013-K28, Cl C
3.490%, 06/25/2046 (A)(C)		1,460		1,426
FREMF Mortgage Trust, Ser 2015-K718, Cl B
3.541%, 02/25/2048 (A)(C)		1,500		1,527
Galton Funding Mortgage Trust, Ser 2018-1, Cl A43
3.500%, 11/25/2057 (A)(C)		1,582		1,592
GCAT Trust, Ser 2019-NQM2, Cl A1
2.855%, 09/25/2059 (C)		1,699		1,737

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
Greenwich Capital Commercial Funding, Ser 2006-GG7, Cl AM
5.619%, 07/10/2038 (A)	$	686	$	681
GS Mortgage Securities Trust, Ser 2010-C2, Cl A1
3.849%, 12/10/2043 (C)		2		2
GS Mortgage Securities Trust, Ser 2010-C2, Cl XA, IO
0.036%, 12/10/2043 (A)(C)		32,974		5
GS Mortgage Securities Trust, Ser 2011-GC3, Cl X, IO
0.653%, 03/10/2044 (A)(C)		23,713		38
GS Mortgage Securities Trust, Ser 2012-ALOHA, Cl D
4.130%, 04/10/2034 (A)(C)		1,000		900
GS Mortgage Securities Trust, Ser 2017- 500K, Cl D
1.550%, VAR ICE LIBOR USD 1 Month+1.300%, 07/15/2032 (C)		3,750		3,602
GS Mortgage Securities Trust, Ser 2017- 500K, Cl A
0.884%, VAR ICE LIBOR USD 1 Month+0.700%, 07/15/2032 (C)		535		522
GS Mortgage Securities Trust, Ser 2020- DUNE, Cl B
1.534%, VAR ICE LIBOR USD 1 Month+1.350%, 12/15/2036 (C)		500		405
GS Mortgage Securities Trust, Ser 2020- DUNE, Cl E
2.684%, VAR ICE LIBOR USD 1 Month+2.500%, 12/15/2036 (C)		400		314
GSR Mortgage Loan Trust, Ser 2005-AR1, Cl 1A1
4.311%, 01/25/2035 (A)		83		78
GSR Mortgage Loan Trust, Ser 2005-AR2, Cl 1A2
4.013%, 04/25/2035 (A)		360		337
GSR Mortgage Loan Trust, Ser 2005-AR6, Cl 3A1
3.662%, 09/25/2035 (A)		246		237
HarborView Mortgage Loan Trust, Ser 2004- 6, Cl 4A
4.144%, 08/19/2034 (A)		1,332		1,321
Hilton Orlando Trust, Ser 2018-ORL, Cl B
1.234%, VAR ICE LIBOR USD 1 Month+1.050%, 12/15/2034 (C)		2,900		2,622
Hilton USA Trust, Ser 2016-HHV, Cl D
4.194%, 11/05/2038 (A)(C)		3,910		3,474
HMH Trust, Ser 2017-NSS, Cl E
6.292%, 07/05/2031 (C)		3,613		3,242
Homeward Opportunities Fund I Trust, Ser 2018-1, Cl A1
3.766%, 06/25/2048 (A)(C)		985		996

SEI Institutional Investments Trust / Annual Report / May 31, 2020 115

SCHEDULE OF INVESTMENTS

May 31, 2020

Opportunistic Income Fund (Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
Hudson’s Bay Simon JV Trust, Ser 2015-HBFL, Cl BFL
3.382%, VAR ICE LIBOR USD 1 Month+2.400%, 08/05/2034 (C)	$	2,000	$	1,783
Hudson’s Bay Simon JV Trust, Ser 2015-HBFL, Cl CFL
3.782%, VAR ICE LIBOR USD 1 Month+2.800%, 08/05/2034 (C)		3,435		3,043
Impac CMB Trust, Ser 2004-5, Cl 1A1
0.888%, VAR ICE LIBOR USD 1 Month+0.720%, 10/25/2034		1,597		1,567
Impac CMB Trust, Ser 2004-6, Cl 1A2
0.948%, VAR ICE LIBOR USD 1 Month+0.780%, 10/25/2034		1,532		1,481
Impac Secured Assets Trust, Ser 2007-2, Cl 2A
0.418%, VAR ICE LIBOR USD 1 Month+0.250%, 04/25/2037		320		313
IndyMac INDA Mortgage Loan Trust, Ser 2007-AR3, Cl 1A1
4.394%, 07/25/2037 (A)		1,449		1,266
IndyMac INDX Mortgage Loan Trust, Ser 2007-FLX3, Cl A1
0.408%, VAR ICE LIBOR USD 1 Month+0.240%, 06/25/2037		522		463
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2006-CIBC15, Cl AM
5.855%, 06/12/2043 (A)		332		330
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2006-LDP8, Cl E
5.885%, 05/15/2045 (A)(C)		349		344
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2011-C3, Cl XA, IO
0.947%, 02/15/2046 (A)(C)		13,725		47
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2015-UES, Cl A
2.933%, 09/05/2032 (C)		3,000		2,977
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2019-MFP, Cl B
1.344%, VAR ICE LIBOR USD 1 Month+1.160%, 07/15/2036 (C)		2,000		1,860
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2020-NNN, Cl CFL
1.482%, VAR ICE LIBOR USD 1 Month+1.300%, 01/16/2037 (C)		2,000		1,894
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2020-NNN, Cl XAFX, IO
1.876%, 01/16/2037 (A)(C)		12,500		892
JPMorgan Mortgage Trust, Ser 2005-A3, Cl 6A2
3.839%, 06/25/2035 (A)		586		567

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
JPMorgan Mortgage Trust, Ser 2005-A3, Cl 6A5
3.839%, 06/25/2035 (A)	$	592	$	573
JPMorgan Mortgage Trust, Ser 2005-A4, Cl 4A2
4.292%, 07/25/2035 (A)		1,024		996
JPMorgan Mortgage Trust, Ser 2006-A2, Cl 5A3
4.112%, 11/25/2033 (A)		199		195
JPMorgan Mortgage Trust, Ser 2007-A1, Cl 4A2
4.686%, 07/25/2035 (A)		266		254
JPMorgan Mortgage Trust, Ser 2007-A1, Cl 5A2
3.969%, 07/25/2035 (A)		700		669
JPMorgan Mortgage Trust, Ser 2007-A1, Cl 1A1
4.572%, 07/25/2035 (A)		1,308		1,271
JPMorgan Mortgage Trust, Ser 2007-A4, Cl 1A1
3.782%, 06/25/2037 (A)		48		41
JPMorgan Mortgage Trust, Ser 2018-7FRB, Cl A2
0.918%, VAR ICE LIBOR USD 1 Month+0.750%, 04/25/2046 (C)		210		202
KNDL Mortgage Trust, Ser 2019-KNSQ, Cl A
0.984%, VAR ICE LIBOR USD 1 Month+0.800%, 05/15/2036 (C)		150		146
LSTAR Securities Investment, Ser 2019-4, Cl A1
1.673%, VAR ICE LIBOR USD 1 Month+1.500%, 05/01/2024 (C)		360		335
MASTR Adjustable Rate Mortgages Trust, Ser 2005-6, Cl 5A1
3.295%, 07/25/2035 (A)		35		31
MASTR Alternative Loan Trust, Ser 2003-5, Cl 4A1
5.500%, 07/25/2033		1,488		1,542
Mellon Residential Funding, Ser 1999-TBC3, Cl A2
2.611%, 10/20/2029 (A)		205		194
Mellon Residential Funding, Ser 2001-TBC1, Cl A1
0.884%, VAR ICE LIBOR USD 1 Month+0.700%, 11/15/2031		1,125		1,087
Merrill Lynch Mortgage Investors Trust, Ser 2003-E, Cl A1
0.788%, VAR ICE LIBOR USD 1 Month+0.620%, 10/25/2028		743		717
Merrill Lynch Mortgage Investors Trust, Ser 2003-G, Cl A1
0.808%, VAR ICE LIBOR USD 1 Month+0.640%, 01/25/2029		498		468

116 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
Merrill Lynch Mortgage Investors Trust, Ser 2004-1, Cl 2A1
3.529%, 12/25/2034 (A)	$	957	$	920
Merrill Lynch Mortgage Investors Trust, Ser 2005-A, Cl A1
0.628%, VAR ICE LIBOR USD 1 Month+0.460%, 03/25/2030		815		767
Merrill Lynch Mortgage Investors Trust, Ser 2005-A2, Cl A2
3.731%, 02/25/2035 (A)		2,492		2,477
Merrill Lynch Mortgage Investors Trust, Ser 2005-A2, Cl A3
3.731%, 02/25/2035 (A)		689		683
Merrill Lynch Mortgage Investors Trust, Ser 2005-A2, Cl A5
3.731%, 02/25/2035 (A)		511		508
Merrill Lynch Mortgage Investors Trust, Ser 2005-A4, Cl 1A
4.000%, 07/25/2035 (A)		373		261
Merrill Lynch Mortgage Investors Trust, Ser 2007-1, Cl 2A1
4.036%, 01/25/2037 (A)		2,407		2,262
MFA Trust, Ser 2017-RPL1, Cl A1
2.588%, 02/25/2057 (A)(C)		107		108
Morgan Stanley Capital I Trust, Ser 2006- T23, Cl D
6.191%, 08/12/2041 (A)(C)		977		984
Morgan Stanley Capital I Trust, Ser 2007- T25, Cl AJ
5.574%, 11/12/2049 (A)		2,333		2,359
Morgan Stanley Capital I Trust, Ser 2007- T27, Cl AJ
6.014%, 06/11/2042 (A)		1,587		1,590
Morgan Stanley Capital I Trust, Ser 2011-C1, Cl G
4.193%, 09/15/2047 (C)		1,000		863
Morgan Stanley Capital I Trust, Ser 2017- CLS, Cl D
1.584%, VAR ICE LIBOR USD 1 Month+1.400%, 11/15/2034 (C)		3,400		3,252
Morgan Stanley Capital I Trust, Ser 2018- BOP, Cl E
2.134%, VAR ICE LIBOR USD 1 Month+1.950%, 06/15/2035 (C)		3,442		3,012
Morgan Stanley Capital I Trust, Ser 2018- SUN, Cl A
1.084%, VAR ICE LIBOR USD 1 Month+0.900%, 07/15/2035 (C)		3,000		2,805
Morgan Stanley Mortgage Loan Trust, Ser 2004-10AR, Cl 1A
4.454%, 11/25/2034 (A)		725		681

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
Morgan Stanley Mortgage Loan Trust, Ser 2004-5AR, Cl 3A1
3.663%, 07/25/2034 (A)	$	478	$	469
Morgan Stanley Mortgage Loan Trust, Ser 2004-8AR, Cl 4A2
3.967%, 10/25/2034 (A)		1,509		1,473
Mortgage Insurance-Linked Notes, Ser 2020- 1, Cl M1A
1.118%, VAR ICE LIBOR USD 1 Month+0.950%, 02/25/2030 (C)		1,503		1,452
MortgageIT Trust, Ser 2005-1, Cl 2A
1.620%, VAR ICE LIBOR USD 1 Month+1.250%, 02/25/2035		772		748
MortgageIT Trust, Ser 2005-2, Cl 1A1
0.688%, VAR ICE LIBOR USD 1 Month+0.520%, 05/25/2035		651		634
Motel 6 Trust, Ser 2017-MTL6, Cl A
1.104%, VAR ICE LIBOR USD 1 Month+0.920%, 08/15/2034 (C)		982		923
MRFC Mortgage Pass-Through Trust, Ser 2002-TBC2, Cl A
1.044%, VAR ICE LIBOR USD 1 Month+0.860%, 08/15/2032		421		388
MSCG Trust, Ser 2018-SELF, Cl A
1.084%, VAR ICE LIBOR USD 1 Month+0.900%, 10/15/2037 (C)		245		236
MSCG Trust, Ser 2018-SELF, Cl D
1.834%, VAR ICE LIBOR USD 1 Month+1.650%, 10/15/2037 (C)		2,102		1,968
MSSG Trust, Ser 2017-237P, Cl XA, IO
0.343%, 09/13/2039 (A)(C)		27,151		638
MSSG Trust, Ser 2017-237P, Cl D
3.865%, 09/13/2039 (C)		2,457		2,207
MSSG Trust, Ser 2017-237P, Cl XB, IO
0.050%, 09/13/2039 (A)(C)		16,790		105
MTRO Commercial Mortgage Trust, Ser 2019- TECH, Cl A
1.084%, VAR ICE LIBOR USD 1 Month+0.900%, 12/15/2033 (C)		455		429
New Residential Mortgage Loan Trust, Ser 2017-3A, Cl A1
4.000%, 04/25/2057 (A)(C)		266		280
New Residential Mortgage Loan Trust, Ser 2017-5A, Cl A1
1.668%, VAR ICE LIBOR USD 1 Month+1.500%, 06/25/2057 (C)		2,140		2,122
New Residential Mortgage Loan Trust, Ser 2017-6A, Cl A1
4.000%, 08/27/2057 (A)(C)		670		705
New Residential Mortgage Loan Trust, Ser 2018-1A, Cl A1A
4.000%, 12/25/2057 (A)(C)		964		1,015

SEI Institutional Investments Trust / Annual Report / May 31, 2020 117

SCHEDULE OF INVESTMENTS

May 31, 2020

Opportunistic Income Fund (Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
New Residential Mortgage Loan Trust, Ser 2018-4A, Cl A1S
0.918%, VAR ICE LIBOR USD 1 Month+0.750%, 01/25/2048 (C)	$	3,256	$	3,180
Nomura Asset Acceptance Alternative Loan Trust, Ser 2004-AR3, Cl M1
1.308%, VAR ICE LIBOR USD 1 Month+1.140%, 11/25/2034		1,476		1,462
Nomura Asset Acceptance Alternative Loan Trust, Ser 2004-AR4, Cl M1
1.268%, VAR ICE LIBOR USD 1 Month+1.100%, 12/25/2034		1,771		1,716
Nomura Resecuritization Trust, Ser 2015-1R, Cl 5A1
2.861%, VAR 12 Month Treas Avg+0.990%, 06/26/2046 (C)		1,590		1,551
OBX Trust, Ser 2018-1, Cl A2
0.818%, VAR ICE LIBOR USD 1 Month+0.650%, 06/25/2057 (C)		1,982		1,936
OBX Trust, Ser 2018-EXP1, Cl 2A1
1.018%, VAR ICE LIBOR USD 1 Month+0.850%, 04/25/2048 (C)		2,778		2,811
OBX Trust, Ser 2018-EXP2, Cl 1A1
4.000%, 07/25/2058 (A)(C)		1,081		1,096
OBX Trust, Ser 2019-INV1, Cl A8
4.000%, 11/25/2048 (A)(C)		251		252
OBX Trust, Ser 2020-INV1, Cl A11
1.387%, VAR ICE LIBOR USD 1 Month+0.900%, 12/25/2049 (C)		1,702		1,595
One Market Plaza Trust, Ser 2017-1MKT, Cl D
4.146%, 02/10/2032 (C)		1,275		1,269
One Market Plaza Trust, Ser 2017-MKT, Cl C
4.016%, 02/10/2032 (C)		1,935		1,974
PHH Mortgage Trust, Ser 2008-CIM2, Cl 1A1
2.620%, VAR ICE LIBOR USD 1 Month+2.250%, 07/25/2038		668		609
Provident Funding Mortgage Loan Trust, Ser 2003-1, Cl A
4.232%, 08/25/2033 (A)		741		694
Provident Funding Mortgage Loan Trust, Ser 2005-2, Cl 3A
4.439%, 10/25/2035 (A)		314		309
Provident Funding Mortgage Loan Trust, Ser 2005-2, Cl 2A1A
4.051%, 10/25/2035 (A)		466		449
Radnor Re, Ser 2019-2, Cl M1B
1.918%, VAR ICE LIBOR USD 1 Month+1.750%, 06/25/2029 (C)		1,000		894
RALI Trust, Ser 2007-QO3, Cl A1
0.328%, VAR ICE LIBOR USD 1 Month+0.160%, 03/25/2047		724		635

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
Residential Accredit Loans, Ser 2006-QO10, Cl A1
0.328%, VAR ICE LIBOR USD 1 Month+0.160%, 01/25/2037	$	2,536	$	2,274
Residential Asset Securitization Trust, Ser 2007-A8, Cl 3A1
6.211%, 08/25/2022 (A)		521		385
Residential Mortgage Loan Trust, Ser 2020- 1, Cl A1
2.376%, 02/25/2024 (A)(C)		126		124
RMF Buyout Issuance Trust, Ser 2020-1, Cl A
2.158%, 02/25/2030 (A)(C)		188		188
Sequoia Mortgage Trust, Ser 2002-10, Cl 1A
0.971%, VAR ICE LIBOR USD 1 Month+0.800%, 10/20/2027		623		592
Sequoia Mortgage Trust, Ser 2002-9, Cl 1A
0.871%, VAR ICE LIBOR USD 1 Month+0.700%, 09/20/2032		631		584
Sequoia Mortgage Trust, Ser 2004-12, Cl A1
0.711%, VAR ICE LIBOR USD 1 Month+0.540%, 01/20/2035		2,359		2,145
Sequoia Mortgage Trust, Ser 2004-3, Cl A
1.625%, VAR ICE LIBOR USD 6 Month+0.500%, 05/20/2034		1,113		1,066
Sequoia Mortgage Trust, Ser 2004-5, Cl A1
2.908%, 06/20/2034 (A)		1,259		1,182
Sequoia Mortgage Trust, Ser 2013-1, Cl 1A1
1.450%, 02/25/2043 (A)		554		553
SG Residential Mortgage Trust, Ser 2018-1, Cl A1
3.425%, 04/27/2048 (A)(C)		73		72
Spruce Hill Mortgage Loan Trust, Ser 2019- SH1, Cl A1
3.395%, 04/29/2049 (A)(C)		180		181
Starwood Mortgage Residential Trust, Ser 2018-IMC1, Cl A1
3.793%, 03/25/2048 (A)(C)		1,532		1,542
Starwood Mortgage Residential Trust, Ser 2020-1, Cl A1
2.275%, 02/25/2050 (A)(C)		245		245
Structured Adjustable Rate Mortgage Loan Trust, Ser 2004-2, Cl 4A2
3.650%, 03/25/2034 (A)		968		907
Structured Adjustable Rate Mortgage Loan Trust, Ser 2004-9XS, Cl A
0.538%, VAR ICE LIBOR USD 1 Month+0.370%, 07/25/2034		2,949		2,920
Structured Adjustable Rate Mortgage Loan Trust, Ser 2005-7, Cl 1A3
3.693%, 04/25/2035 (A)		919		851

118 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
Structured Asset Mortgage Investments II Trust, Ser 2004-AR5, Cl 1A1
0.832%, VAR ICE LIBOR USD 1 Month+0.660%, 10/19/2034	$	950	$	904
Structured Asset Mortgage Investments II Trust, Ser 2004-AR8, Cl A1
0.852%, VAR ICE LIBOR USD 1 Month+0.680%, 05/19/2035		1,976		1,847
Thornburg Mortgage Securities Trust, Ser 2003-4, Cl A1
0.808%, VAR ICE LIBOR USD 1 Month+0.640%, 09/25/2043		766		735
Thornburg Mortgage Securities Trust, Ser 2004-3, Cl A
0.908%, VAR ICE LIBOR USD 1 Month+0.740%, 09/25/2034		3,663		3,355
Thornburg Mortgage Securities Trust, Ser 2005-1, Cl A3
3.650%, 04/25/2045 (A)		1,473		1,379
Thornburg Mortgage Securities Trust, Ser 2007-1, Cl A2B
1.985%, VAR ICE LIBOR USD 12 Month+1.300%, 03/25/2037		1,122		963
Thornburg Mortgage Securities Trust, Ser 2007-4, Cl 3A1
3.992%, 09/25/2037 (A)		274		273
UBS Commercial Mortgage Trust, Ser 2012- C1, Cl XA, IO
2.069%, 05/10/2045 (A)(C)		9,320		256
Velocity Commercial Capital Loan Trust, Ser 2017-1, Cl AFL
1.418%, VAR ICE LIBOR USD 1 Month+1.250%, 05/25/2047 (C)		633		629
Velocity Commercial Capital Loan Trust, Ser 2020-1, Cl AFX
2.610%, 02/25/2050 (A)(C)		1,468		1,430
Verus Securitization Trust, Ser 2019-2, Cl A1
3.211%, 05/25/2059 (A)(C)		208		209
Verus Securitization Trust, Ser 2020-1, Cl A1
2.417%, 01/25/2060 (A)(C)		122		122
WaMu Commercial Mortgage Securities Trust, Ser 2007-SL2, Cl D
4.170%, 12/27/2049 (A)(C)		1,500		1,454
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR10, Cl A7
4.192%, 10/25/2033 (A)		1,152		1,113
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR7, Cl A7
4.404%, 08/25/2033 (A)		692		663
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR9, Cl 1A6
4.305%, 09/25/2033 (A)		1,180		1,118

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR1, Cl A
3.838%, 03/25/2034 (A)	$	3,476	$	3,331
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR10, Cl A1B
0.588%, VAR ICE LIBOR USD 1 Month+0.420%, 07/25/2044		285		269
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR11, Cl A
4.212%, 10/25/2034 (A)		858		822
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR14, Cl A1
3.840%, 01/25/2035 (A)		1,655		1,620
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR2, Cl A
3.091%, VAR 12 Month Treas
Avg+1.400%, 04/25/2044		2,824		2,608
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR9, Cl A7
4.338%, 08/25/2034 (A)		2,883		2,778
WaMu Mortgage Pass-Through Certificates, Ser 2004-CB2, Cl 1A
5.000%, 07/25/2034		446		459
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR13, Cl A1A2
3.141%, VAR 12 Month Treas Avg+1.450%, 10/25/2045		240		232
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR13, Cl A1A1
0.458%, VAR ICE LIBOR USD 1 Month+0.290%, 10/25/2045		1,338		1,275
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR1, Cl 2A1A
2.761%, VAR 12 Month Treas
Avg+1.070%, 01/25/2046		1,086		1,039
Wells Fargo Commercial Mortgage Trust, Ser 2012-LC5, Cl AS
3.539%, 10/15/2045		275		283
Wells Fargo Commercial Mortgage Trust, Ser 2020-SOP, Cl B
1.694%, VAR ICE LIBOR USD 1 Month+1.510%, 01/15/2035 (C)		2,000		1,840
Wells Fargo Mortgage Backed Securities Trust, Ser 2019-2, Cl A3
4.000%, 04/25/2049 (A)(C)		81		82
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-K, Cl 1A2
4.955%, 07/25/2034 (A)		334		332
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-U, Cl A1
4.357%, 10/25/2034 (A)		1,532		1,525

SEI Institutional Investments Trust / Annual Report / May 31, 2020 119

SCHEDULE OF INVESTMENTS

May 31, 2020

Opportunistic Income Fund (Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR7, Cl 2A1
4.283%, 05/25/2035 (A)	$	1	$	1
WFRBS Commercial Mortgage Trust, Ser 2011-C2, Cl XA, IO
0.793%, 02/15/2044 (A)(C)		12,495		32
				313,438
Total Mortgage-Backed Securities (Cost $353,873) ($ Thousands)				338,658
LOAN PARTICIPATIONS — 29.3%
Aerospace and Defense — 0.5%
Bleriot US Bidco Inc., Initial Term Loan, 1st Lien
6.200%, VAR LIBOR+4.750%, 10/30/2026		1,522		1,435
6.200%, VAR LIBOR+4.750%, 10/31/2026		238		224
Dynacast International LLC, Term B-2 Loan, 1st Lien
4.700%, VAR LIBOR+3.250%, 01/28/2022		2,624		1,758
TransDigm Inc., Tranche E Refinancing Term Loan, 1st Lien
2.424%, VAR LIBOR+2.250%, 05/30/2025		850		777
TransDigm Inc., Tranche F Refinancing Term Loan, 1st Lien
2.424%, VAR LIBOR+2.250%, 12/09/2025 (E)		570		521
				4,715
Automobile — 0.3%
Belron Finance US LLC, Initial Term B Loan, 1st Lien
2.974%, VAR LIBOR+2.500%, 11/07/2024		1,190		1,160
Panther BF Aggregator 2 L P, Initial Dollar Term Loan, 1st Lien
3.674%, VAR LIBOR+3.500%, 04/30/2026		2,324		2,208
				3,368
Automotive — 0.1%
American Airlines, Inc., 218 Replacement Term Loan, 1st Lien
1.924%, 06/27/2025 (A) (E)		220		148
Truck Hero, Inc., Initial Term Loan, 1st Lien
3.924%, VAR LIBOR+3.750%, 04/22/2024		630		572

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
LOAN PARTICIPATIONS (continued)
Wand Newco 3 Inc., Term Loan B-1, 1st Lien
4.072%, 02/05/2026	$	774	$	737
				1,457
Banking — 0.1%
Nexus Buyer LLC, Term Loan, 1st Lien
3.934%, VAR LIBOR+3.750%, 11/09/2026		732		718
Beverage, Food and Tobacco — 0.5%
Atkins Nutritionals Inc., 2019 Incremental Term Loan, 1st Lien
4.750%, VAR LIBOR+3.750%, 07/07/2024		431		423
Chobani, LLC (Chobani Idaho, LLC), New Term Loan, 1st Lien
4.500%, VAR LIBOR+3.500%, 10/10/2023		1,452		1,408
Froneri International Limited, Facility B2, Term Loan, 1st Lien
2.424%, VAR LIBOR+2.250%, 01/29/2027 (E)		1,094		1,043
Simply Good Foods USA, Inc., 2019 Incremental Term Loan, 1st Lien
4.750%, VAR LIBOR+3.750%, 07/07/2024 (E)		2,329		2,288
				5,162
Broadcasting and Entertainment — 2.1%
Altice Financing S.A., October 2017 USD Term Loan, 1st Lien
2.918%, VAR LIBOR+2.750%, 01/31/2026		2,778		2,618
Charter Communications Operating, LLC, Term B-2 Loan, 1st Lien
1.930%, VAR LIBOR+1.750%, 02/01/2027 (E)		800		783
Creative Artists Agency, LLC, Closing Date Term Loan, 1st Lien
3.924%, VAR LIBOR+3.750%, 11/27/2026		637		609
CSC Holdings Inc., Term Loan B (2017), 2nd Lien
4.734%, VAR LIBOR+2.250%, 07/17/2025		1,410		1,355
Diamond Sports Group, LLC, Term Loan, 1st Lien
3.420%, VAR LIBOR+3.250%, 08/24/2026		2,273		1,946
Nexstar Broadcasting, Term Loan, 1st Lien
3.120%, VAR LIBOR+2.750%, 09/18/2026		1,945		1,871

120 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
LOAN PARTICIPATIONS (continued)
Numericable U.S. LLC, Term Loan, 1st Lien
3.871%, VAR LIBOR+3.688%, 01/31/2026	$	574	$	548
2.924%, VAR LIBOR+2.750%, 07/31/2025		2,589		2,439
Sinclair Broadcast Group, Tranche B-2b Term Loan B, 1st Lien
2.690%, VAR LIBOR+2.500%, 09/30/2026 (D)		1,792		1,742
Terrier Media Bu, Term Loan B, 1st Lien
5.700%, VAR LIBOR+4.250%, 12/17/2026		1,634		1,570
Townsquare Media, Additional Term B Loan, 1st Lien
4.000%, VAR LIBOR+3.000%, 04/01/2022 (D)		1,202		1,058
Virgin Media Bristol LLC, N Facility, 1st Lien
2.684%, VAR LIBOR+2.500%, 01/31/2028 (E)		2,760		2,673
Ziggo Financing Partnership, Term Loan I Facility, 1st Lien
2.684%, VAR LIBOR+2.500%, 04/30/2028 (E)		1,911		1,822
				21,034
Buildings and Real Estate — 0.9%
Blackstone Mortgage Trust Inc., Term Loan, 1st Lien
2.424%, VAR LIBOR+2.250%, 04/23/2026 (D)		1,161		1,088
Brookfield WEC Holdings Inc., Initial Term Loan (2020), 1st Lien
3.750%, VAR LIBOR+3.000%, 08/01/2025 (E)		2,313		2,258
Core & Main LP, Initial Term Loan, 1st Lien
4.330%, VAR LIBOR+2.750%, 08/01/2024		2,010		1,922
HD Supply Waterworks, Initial Term Loan, 1st Lien
4.330%, VAR LIBOR+2.750%, 08/01/2024		432		413
LBM Borrower, LLC, Tranche C Term Loan, 1st Lien
4.822%, VAR LIBOR+3.750%, 08/19/2022		1,588		1,529
MI Windows and Doors, LLC, Initial Term Loan, 1st Lien
6.500%, VAR LIBOR+5.500%, 11/06/2026 (D)		1,236		1,162

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
LOAN PARTICIPATIONS (continued)
SRS Distribution Inc., Initial Term Loan, 1st Lien
4.322%, VAR LIBOR+3.250%, 05/23/2025 (E)	$	779	$	736
				9,108
Cargo Transport — 0.4%
Dynasty Acquisition Co., Inc., 2020 Term B-1 Loan, 1st Lien
4.950%, VAR LIBOR+3.500%, 04/06/2026 (E)		1,027		861
Dynasty Acquisition Co., Inc., 2020 Term B-2 Loan, 1st Lien
4.950%, VAR LIBOR+3.500%, 04/06/2026 (E)		552		463
Genesee & Wyoming Inc., Term Loan, 1st Lien
3.450%, VAR LIBOR+2.000%, 12/30/2026		1,489		1,456
Lineage Logistics, LLC, Term Loan, 1st Lien
4.000%, VAR LIBOR+3.000%, 02/27/2025		1,051		1,021
				3,801
Chemicals — 0.8%
Berlin Packaging, LLC, Initial Term Loan, 1st Lien
3.380%, 11/07/2025 (E)		1,430		1,356
Berry Global, Inc., Term Y Loan, 1st Lien
2.222%, VAR LIBOR+2.000%, 07/01/2026 (E)		1,628		1,588
Charter NEX US, Inc., Initial Term Loan, 1st Lien
3.750%, VAR LIBOR+3.250%, 05/16/2024 (E)		2,014		1,951
DuBois Chemicals, Term Loan B, 1st Lien
4.684%, 09/30/2026 (D)		2,142		1,927
Nouryon Finance B.V., Initial Dollar Term Loan, 1st Lien
3.222%, VAR LIBOR+3.000%, 10/01/2025		1,278		1,216
				8,038
Chemicals, Plastics and Rubber — 0.7%
Cambrex Corporation, Initial Dollar Term Loan, 1st Lien
6.000%, VAR LIBOR+5.000%, 12/04/2026		3,791		3,653
Nouryon Finance B.V., Initial Dollar Term Loan, 1st Lien
3.222%, VAR LIBOR+3.000%, 10/01/2025		350		333

SEI Institutional Investments Trust / Annual Report / May 31, 2020 121

SCHEDULE OF INVESTMENTS

May 31, 2020

Opportunistic Income Fund (Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
LOAN PARTICIPATIONS (continued)
Wilsonart LLC, Tranche D Term Loan, 1st Lien
4.710%, VAR LIBOR+3.250%, 12/19/2023	$	2,540	$	2,381
				6,367
Computers & Electronics — 1.4%
Anchor Packaging, LLC, Initial Term Loan B, 1st Lien
4.174%, 07/18/2026 (D)		2,040		1,938
Applied Systems, Inc., Initial Term Loan, 1st Lien
4.700%, VAR LIBOR+3.000%, 09/19/2024		4,765		4,617
EIG Investors Corp., Refinancing Loan (2018), 1st Lien
4.750%, VAR LIBOR+3.750%, 02/09/2023 (E)		382		370
ExamWorks Group, Inc. (fka Gold Merger Co, Inc.), Term B-1 Loan, 2nd Lien
4.322%, 07/27/2023 (A)		1,405		1,371
Hyland Software, Inc., Term Loan 3, 1st Lien
4.000%, 07/01/2024		1,122		1,090
ION Trading, Term Loan, 1st Lien
5.072%, 11/21/2024		1,432		1,357
MA Financeco, LLC, Tranche B-2 Term Loan, 1st Lien
2.424%, VAR LIBOR+2.500%, 11/19/2021 (E)		1,593		1,585
Regionalcare Hospital Partners Holdings, Inc., Term B Loan, 2nd Lien
3.924%, VAR LIBOR+8.250%, 11/16/2025		1,477		1,411
				13,739
Construction — 0.2%
PI UK Holdco II Limited, Facility B1, Term Loan, 1st Lien
4.700%, VAR LIBOR+3.500%, 01/03/2025		1,766		1,630
Containers, Packaging and Glass — 1.0%
Berry Plastics, Cov-Lite, Term X Loan, 2nd Lien
2.222%, 01/19/2024 (E)		220		216
BWay Holding Company , Initial Term Loan, 1st Lien
4.561%, VAR LIBOR+3.250%, 04/03/2024		2,789		2,537
Pregis TopCo LLC, Initial Term Loan, 1st Lien
4.174%, VAR LIBOR+4.000%, 07/31/2026		1,793		1,689

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
LOAN PARTICIPATIONS (continued)
Tank Holding Corp., 2020 Refinancing Term Loan, 1st Lien
3.674%, VAR LIBOR+3.500%, 03/26/2026	$	2,608	$	2,457
Trident TPI Holdings, Inc., Tranche B-1 Term Loan, 1st Lien
4.450%, VAR LIBOR+3.000%, 10/17/2024		2,650		2,496
				9,395
Diversified/Conglomerate Service — 1.6%
AI Aqua Merger Sub, Inc., Incremental Term Loan, 1st Lien
4.322%, VAR LIBOR+3.250%, 12/13/2023 (D)		742		709
AI Aqua Merger Sub, Inc., Term Loan B-1, 1st Lien
4.322%, 12/13/2023		2,474		2,357
AVSC Holding Corp., Initial Term Loan, 2nd Lien
8.250%, VAR LIBOR+7.250%, 09/01/2025		1,132		679
Diebold Nixdorf, Incorporated (f/k/a Diebold, Incorporated), Term A-1 Loan, 1st Lien
9.438%, VAR LIBOR+9.250%, 08/31/2022		1,387		1,326
LegalZoom.com, Term Loan, 1st Lien
4.674%, VAR LIBOR+4.500%, 11/21/2024		2,920		2,737
Nascar Holdings Inc., Term Loan B, 1st Lien
4.389%, VAR LIBOR+2.750%, 10/19/2026		790		771
Project Accelerate Parent, LLC, Term Loan, 1st Lien
5.293%, VAR LIBOR+4.250%, 01/02/2025		1,287		1,020
Sedgwick CMS, Term Loan, 1st Lien
3.424%, VAR LIBOR+3.250%, 12/31/2025		2,724		2,565
Tempo Acquisition, LLC, Initial Term Loan, 1st Lien
2.924%, VAR LIBOR+3.000%, 05/01/2024		1,762		1,689
TGG TS Acquisition Company, Term B Loan, 1st Lien
6.668%, VAR LIBOR+6.500%, 12/14/2025		1,382		1,247
William Morris Endeavor Entertainment, LLC (IMG Worldwide Holdings, LLC), Term B-1 Loan, 1st Lien
2.930%, VAR LIBOR+2.750%, 05/18/2025 (E)		681		521
				15,621

122 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
LOAN PARTICIPATIONS (continued)
Ecological — 0.3%
Cast & Crew Payroll, LLC, Initial Term Loan, 1st Lien
3.930%, VAR LIBOR+3.750%, 02/09/2026	$	3,050	$	2,763
Education Services — 0.1%
Global Education Management Systems Establishment, Term Loan, 1st Lien
6.613%, 07/31/2026		1,565		1,476
Educational Services — 0.1%
Welbilt, Term B Loan, 2nd Lien
2.674%, 10/23/2025 (E)		715		610
Electronics — 2.4%
Ellie Mae, Inc., Term Loan, 1st Lien
5.200%, VAR LIBOR+3.750%, 04/17/2026		2,612		2,495
Go Daddy Operating Company, LLC, Tranche B-1 Term Loan, 1st Lien
1.924%, VAR LIBOR+1.750%, 02/15/2024 (E)		2		2
Idera Inc., Inital Term Loan, 1st Lien
5.080%, 06/28/2024		1,431		1,348
Informatica LLC , Dollar 2020 Term Loan, 1st Lien
3.424%, VAR LIBOR+3.250%, 02/25/2027 (E)		2,150		2,046
Informatica LLC, Initial Term Loan, 2nd Lien
7.125%, VAR FIXED+7.125%, 02/25/2025 (E)		387		381
Kronos, Incremental Term Loan, 1st Lien
3.330%, VAR LIBOR+3.500%, 11/01/2023 (E)		1,977		1,940
Level 3 Financing, Inc. 3/1/2027, Term Loan B, 1st Lien
1.924%, VAR LIBOR+1.750%, 03/01/2027		1,355		1,312
MH Sub I, LLC (Micro Holding Corp.), Amendment No. 2 Initial Term Loan, 1st Lien
4.822%, VAR LIBOR+3.750%, 09/13/2024 (E)		1,528		1,476
Micro Focus Group, Ltd, Term Loan, 1st Lien
5.250%, VAR LIBOR+4.250%, 05/29/2025 (D) (E)		2,231		2,175
Perforce Software, Inc., New Term Loan, 1st Lien
3.924%, VAR LIBOR+3.750%, 07/01/2026 (E)		1,429		1,323

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
LOAN PARTICIPATIONS (continued)
Project Boost Purchaser, LLC, Term Loan, 1st Lien
3.674%, VAR LIBOR+3.500%, 06/01/2026 (E)	$	2,062	$	1,930
Renaissance Holding Corp., Initial Term Loan, 1st Lien
4.010%, VAR LIBOR+3.250%, 05/30/2025		512		484
Renaissance Holding Corp., Initial Term Loan, 2nd Lien
7.760%, VAR LIBOR+7.000%, 05/29/2026		438		399
Sophia, L.P., Term B Loan, Term Loan, 1st Lien
4.700%, VAR LIBOR+3.250%, 09/30/2022 (E)		844		825
TIBCO Software Inc., Term B-3 Loan, 1st Lien
3.930%, VAR LIBOR+3.750%, 06/30/2026		2,342		2,250
Vertafore, Inc., Initial Term Loan, 1st Lien
3.424%, VAR LIBOR+3.250%, 07/02/2025		1,497		1,417
VS Buyer, LLC, Initial Term Loan, 1st Lien
3.420%, VAR LIBOR+3.250%, 02/28/2027 (D)		1,840		1,789
				23,592
Entertainment And Leisure — 0.2%
WMG Acquisition Corp., Tranche F Term Loan, 1st Lien
2.299%, VAR LIBOR+2.125%, 11/01/2023 (E)		2,077		2,035
Finance (including structured products) — 0.4%
Blackhawk Network Holdings, Inc., Term Loan, 1st Lien
2.924%, VAR LIBOR+2.750%, 06/15/2025 (E)		1,677		1,560
Citadel Securities LP, 2020 Repriced Term Loan, 1st Lien
2.924%, VAR LIBOR+2.750%, 02/27/2026		552		540
Refinitiv US Holdings Inc., Initial Dollar Term Loan, 1st Lien
3.424%, VAR LIBOR+3.250%, 10/01/2025 (E)		2,316		2,279
				4,379
Financial Services — 0.3%
AssuredPartners, Inc., 2020 February Refinancing Term Loan, 1st Lien
3.674%, 02/12/2027 (E)		752		737
Four Seasons Holdings, Term Loan, 1st Lien
2.174%, 11/30/2023 (E)		788		750

SEI Institutional Investments Trust / Annual Report / May 31, 2020 123

SCHEDULE OF INVESTMENTS

May 31, 2020

Opportunistic Income Fund (Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
LOAN PARTICIPATIONS (continued)
Webpros Investments, 1st Lien
0.000%, 05/11/2027 (E)	$	1,428	$	1,349
				2,836
Gaming And Hotels — 0.3%
Golden Nugget Inc., Term Loan B, 1st Lien
3.250%, VAR LIBOR+2.750%, 10/04/2023 (E)		3,394		2,908
Health Care — 0.9%
Catalent Pharma, Term Loan, 1st Lien
3.250%, 05/18/2026		2,867		2,815
Cole-Parmer, Term Loan B, 1st Lien
5.700%, 11/04/2026		1,329		1,284
Elanco Animal Health, Inc., Term Loan, 1st Lien
0.000%, 02/04/2027 (E)		1,442		1,395
Life Time Fitness Inc., Term Loan, 1st Lien
3.750%, VAR LIBOR+2.750%, 06/10/2022		1,049		925
Navicure Inc., Initial Term Loan, 1st Lien
4.174%, 09/18/2026 (D) (E)		134		129
NBTY (Nature’s Bounty), Term Loan, 1st Lien
3.674%, 09/26/2024 (A)		2,319		2,209
				8,757
Healthcare, Education and Childcare — 2.6%
Air Methods Corporation, Initial Term Loan, 1st Lien
4.950%, VAR LIBOR+3.500%, 04/22/2024 (E)		788		622
Auris Luxembourg III S.a r.l., Facility B2, 1st Lien
3.924%, VAR LIBOR+3.750%, 02/27/2026 (D)		1,165		1,060
Change Healthcare Holdings, Inc. (fka Emdeon Inc.), Closing Date Term Loan, 1st Lien
3.500%, VAR LIBOR+2.500%, 03/01/2024 (E)		2,166		2,105
Da Vinci Purchaser Corp., Initial Term Loan, 1st Lien
5.238%, VAR LIBOR+4.000%, 01/08/2027		1,574		1,529
Envision Healthcare Corporation, Initial Term Loan, 1st Lien
3.924%, VAR LIBOR+3.750%, 10/10/2025		2,387		1,553
eResearchTechnology, Inc., Initial Term Loan, 1st Lien
5.500%, VAR LIBOR+4.500%, 02/04/2027		3,480		3,387

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
LOAN PARTICIPATIONS (continued)
Gentiva Health Services, Inc., Term Loan B, 1st Lien
3.438%, VAR LIBOR+3.250%, 07/02/2025 (D)	$	756	$	734
GreatBatch, Ltd., Term Loan B, 2nd Lien
3.500%, 10/27/2022 (E)		176		173
Immucor, Inc., Term B-3 Loan, 1st Lien
6.450%, VAR LIBOR+5.000%, 06/15/2021		653		612
Jaguar Holding Company I, LLC (fka Jaguar Holding Company I), 2018 Term Loan, 1st Lien
3.500%, VAR LIBOR+2.500%, 08/18/2022 (E)		3,512		3,494
National Mentor Holdings, Inc., Initial Term Loan C, 1st Lien
5.710%, VAR LIBOR+4.250%, 03/09/2026		149		144
National Mentor Holdings, Inc., Initial Term Loan, 1st Lien
5.710%, VAR LIBOR+4.250%, 03/09/2026		2,762		2,669
Option Care Health, Inc., Term B Loan, 1st Lien
4.674%, VAR LIBOR+4.500%, 08/06/2026 (E)		1,181		1,135
Ortho-Clinical Diagnostics, Inc., Second Amendment New Term Loan, 1st Lien
3.580%, VAR LIBOR+3.250%, 06/30/2025		2,109		1,996
Radnet Management, Inc., Term B-1 Loan, 1st Lien
4.750%, VAR LIBOR+3.750%, 06/30/2023		943		886
Sotera Health Holdings, LLC, Initial Term Loan, 1st Lien
5.500%, VAR LIBOR+4.500%, 12/11/2026		3,424		3,319
Valeant, Term Loan, 1st Lien
2.921%, VAR LIBOR+2.750%, 11/27/2025		191		186
				25,604
Home and Office Furnishings, Housewares and Durable Consumer Products — 0.4%
Hillman Group, Inc., The, Initial Term Loan, 1st Lien
5.072%, VAR LIBOR+4.000%, 05/30/2025 (E)		1,785		1,660

124 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
LOAN PARTICIPATIONS (continued)
Reynolds Group Holdings Inc., Incremental U.S. Term Loan, 1st Lien
2.924%, VAR LIBOR+2.750%, 02/05/2023	$	2,436	$	2,358
				4,018
Hotels, Motels, Inns and Gaming — 0.6%
Caesars Resort Collection, LLC (fka Caesars Growth Properties Holdings, LLC), Term B Loan, 1st Lien
2.924%, VAR LIBOR+2.750%, 12/23/2024		2,250		2,028
Hilton Worldwide Finance LLC, Refinanced Series B-2 Term Loan, 1st Lien
1.918%, VAR LIBOR+1.750%, 06/22/2026 (E)		1,000		953
Mohegan Tribal Gaming Authority, Term B Loan, 1st Lien
5.375%, VAR LIBOR+4.000%, 10/13/2023		2,408		1,785
Travelport Finance (Luxembourg) S.a r.l., Initial Term Loan, 1st Lien
6.072%, VAR LIBOR+5.000%, 05/29/2026		1,458		835
				5,601
Information Technology — 0.9%
Dell International L.L.C. (EMC Corporation), Refinancing Term B-1 Loan, 1st Lien
2.750%, VAR LIBOR+2.000%, 09/19/2025 (E)		2,084		2,045
Infoblox Inc., Term Loan B1, 1st Lien
4.674%, 11/07/2023		3,036		2,960
Insurity Holdings, Term Loan, 1st Lien
4.174%, 07/31/2026 (D)		2,050		1,989
Mitchell International, Inc., Initial Term Loan, 1st Lien
3.424%, 11/29/2024 (A)		1,859		1,746
Restaurant Technologies, Term Loan, 1st Lien
4.700%, 10/01/2025 (D)		350		330
				9,070
Insurance — 1.2%
Acrisure, LLC, 2020 Term Loan, 1st Lien
3.765%, VAR LIBOR+3.500%, 02/15/2027		3,744		3,499
Alliant Holdings Intermediate, LLC, Initial Term Loan (2018), 1st Lien
2.924%, VAR LIBOR+2.750%, 05/09/2025		2,083		1,984
Alliant Holdings Intermediate, LLC, Term Loan B2, 1st Lien
3.421%, 05/09/2025		799		764

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
LOAN PARTICIPATIONS (continued)
Asurion, LLC (fka Asurion Corporation), Second Lien Replacement B-2 Term Loan, 2nd Lien
6.674%, VAR LIBOR+6.000%, 08/04/2025	$	2,509	$	2,495
HUB International, Term Loan B, 1st Lien
5.000%, VAR LIBOR+4.000%, 04/25/2025		790		772
USI, Inc., 2019 New Term Loan, 1st Lien
4.174%, VAR LIBOR+4.000%, 12/02/2026		2,009		1,946
				11,460
Leasing — 0.4%
AVSC Holding Corp., Initial Term Loan, 1st Lien
5.580%, 03/03/2025		55		38
4.250%, VAR LIBOR+3.250%, 03/03/2025		2,422		1,684
Hyland Software, Inc., Initial Term Loan, 2nd Lien
7.750%, VAR LIBOR+7.000%, 07/07/2025		1,845		1,754
				3,476
Leisure, Amusement, Motion Pictures, Entertainment — 0.6%
Formula One Management Limited, Facility B3 (USD), Term Loan, 1st Lien
3.500%, VAR LIBOR+2.500%, 02/01/2024 (E)		1,980		1,864
Intrawest Alterra, Term Loan, 1st Lien
5.500%, VAR LIBOR+4.500%, 05/13/2026 (D) (E)		754		747
Six Flags Theme Park, Inc., Term Loan, 1st Lien
1.930%, VAR LIBOR+1.750%, 04/17/2026 (E)		695		648
UFC Holdings, LLC, Term Loan, 1st Lien
4.250%, VAR LIBOR+3.250%, 04/29/2026		1,974		1,889
United PF Holdings LLC, Initial Term Loan, 1st Lien
5.450%, VAR LIBOR+4.000%, 12/30/2026		1,218		993
				6,141
Machinery — 0.1%
TMK Hawk Parent Corp., Initial Term Loan, 1st Lien
4.580%, 08/28/2024 (A)		960		669

SEI Institutional Investments Trust / Annual Report / May 31, 2020 125

SCHEDULE OF INVESTMENTS

May 31, 2020

Opportunistic Income Fund (Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
LOAN PARTICIPATIONS (continued)
Machinery (Non-Agriculture, Non-Construction and Non- Electronic) — 0.4%
Gardner Denver, Term Loan B2, 2nd Lien
1.924%, VAR LIBOR+1.750%, 03/01/2027	$	1,135	$	1,075
GlobalFoundries Inc., Initial Term Loan, 1st Lien
6.250%, VAR LIBOR+4.750%, 06/05/2026 (D)		880		823
Star US Bidco, LLC, Initial Term Loan, 2nd Lien
5.250%, VAR LIBOR+4.250%, 03/17/2027		2,547		2,277
				4,175
Manufacturing — 0.1%
Clark Equipment Company, Term Loan, 2nd Lien
3.200%, 05/18/2024 (E)		570		541
Media — 0.3%
MediArena Acquisition B.V., Term Loan B, 1st Lien
7.201%, 08/13/2021 (A)		873		850
Merrill Communications, LLC, Term Loan B (2019), 2nd Lien
6.195%, 10/05/2026 (D)		1,710		1,607
				2,457
Oil & Gas — 0.2%
Equinox Fitness Clubs, Term Loan, 1st Lien
4.072%, 03/08/2024		860		639
Medallion Midland, Term Loan B, 1st Lien
4.250%, VAR LIBOR+3.250%, 10/30/2024		789		659
Woodford Express LLC, Term Loan B, 1st Lien
6.000%, VAR LIBOR+5.000%, 01/27/2025		1,466		875
				2,173
Personal Transportation — 0.2%
American Airlines, Inc., 2017 Replacement Term Loan (New), 1st Lien
1.924%, VAR LIBOR+1.750%, 01/29/2027 (E)		1,125		796
American Airlines, Inc., Term Loan B, 2nd Lien
2.184%, VAR LIBOR+2.000%, 12/15/2023		75		56
Delta Air Lines, Inc., Term Loan, 2nd Lien
5.510%, VAR LIBOR+4.750%, 04/29/2023		1,164		1,148
				2,000

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
LOAN PARTICIPATIONS (continued)
Personal, Food and Miscellaneous Services — 0.6%
1011778 B.C. Unlimited Liability Company (New Red Finance, Inc.) (aka Burger King/ Tim Hortons), Term B-4 Loan, 1st Lien
1.924%, VAR LIBOR+1.750%, 11/19/2026	$	3,050	$	2,924
IRB Holding Corp., 2020 Replacement Term B Loan, 1st Lien
3.954%, VAR LIBOR+2.750%, 02/05/2025		3,136		2,946
				5,870
Printing, Publishing and Broadcasting — 0.5%
Calpine, Term Loan, 1st Lien
2.430%, 04/05/2026		384		373
Clear Channel Outdoor Holdings, Inc., Term B Loan, 1st Lien
4.203%, VAR LIBOR+3.500%, 08/21/2026 (E)		1,047		972
Dun & Bradstreet Corporation, The, Initial Term Borrowing, 1st Lien
4.174%, VAR LIBOR+4.000%, 02/06/2026		3,387		3,292
				4,637
Professional & Business Services — 1.3%
Applied Systems, Inc., Initial Term Loan, 2nd Lien
8.450%, VAR LIBOR+7.000%, 09/19/2025		1,819		1,781
Avantor, Initial Term Loan, 2nd Lien
3.250%, 11/21/2024 (A) (E)		2,747		2,699
Big Ass Solutions, Term Loan, 1st Lien
5.695%, VAR LIBOR+3.750%, 05/21/2024		1,534		1,274
GFL Environmental, Incremental Term Loan, 2nd Lien
4.000%, 05/30/2025 (A)		2,619		2,581
Hanger, Inc., Term Loan B, 1st Lien
3.674%, VAR LIBOR+3.500%, 03/06/2025		2,597		2,402
Iqvia Inc., Incremental Term B-2 Dollar Loan, 1st Lien
1.924%, VAR LIBOR+2.000%, 01/17/2025 (E)		1		1
Learning Care, Term Loan B, 1st Lien
4.250%, 03/13/2025 (A) (E)		1,181		990
SAI Global, Term Loan B, 1st Lien
5.500%, VAR LIBOR+4.500%, 12/20/2023		1,972		1,430
Sedgwick CMS, Term Loan B, 1st Lien
4.174%, 09/03/2026		119		114
				13,272

126 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
LOAN PARTICIPATIONS (continued)
Real Estate — 0.1%
BrookField Property REIT Inc., Initial Term A-2 Loan
2.424%, 08/28/2023 (E)	$	740	$	577
Retail Food & Drug — 0.2%
Albany Molecular Research, Inc., Initial Term Loan, 1st Lien
4.250%, VAR LIBOR+3.250%, 08/30/2024		1,714		1,662
Retail Stores — 0.6%
Bass Pro Group, LLC, Initial Term Loan, 1st Lien
6.072%, VAR LIBOR+5.000%, 09/25/2024		987		925
GOBP Holdings, Inc., Term Loan, 1st Lien
3.744%, VAR LIBOR+2.750%, 10/22/2025 (E)		2,380		2,338
Mister Car Wash Holdings, Inc., Initial Term Loan, 1st Lien
4.375%, VAR LIBOR+3.250%, 05/14/2026 (E)		2,421		2,199
Staples, Inc., 2019 Refinancing New Term B-1 Loan, 1st Lien
5.687%, VAR LIBOR+5.000%, 04/16/2026 (E)		573		506
				5,968
Securities & Trusts — 0.2%
Titan Acquisition Limited, Initial Term Loan, 1st Lien
4.450%, VAR LIBOR+3.000%, 03/28/2025		2,192		1,979
Telecommunications — 1.5%
Greeneden U.S. Holdings I, LLC, Tranche B-3 Dollar Term Loan, 1st Lien
3.424%, VAR LIBOR+3.250%, 12/01/2023		1,611		1,560
Intelsat Jackson Holdings S.A., Tranche B-3 Term Loan, 1st Lien
6.000%, VAR Prime Rate by Country+2.750%, 11/27/2023 (E)		1,953		1,962
Intelsat Jackson Holdings S.A., Tranche B-4 Term Loan, 1st Lien
8.750%, VAR Prime Rate by Country+5.500%, 01/02/2024		355		356
Iridium Satellite LLC, Initial Term Loan, 1st Lien
4.750%, VAR LIBOR+3.750%, 11/04/2026 (E)		3,030		2,992

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
LOAN PARTICIPATIONS (continued)
Lumos Networks, Term Loan B, 1st Lien
0.000%, 11/15/2024 (E)	$	373	$	363
MTN Infrastructure TopCo, Inc., Initial Term Loan, 1st Lien
4.000%, VAR LIBOR+3.000%, 11/15/2024		1,036		988
Plantronics, Inc., Initial Term B Loan, 1st Lien
2.674%, VAR LIBOR+2.500%, 07/02/2025		532		424
Plantronics, Inc., Term Loan B, 2nd Lien
3.459%, 07/02/2025		193		154
SBA Senior Finance II, LLC, Intital Term Loan, 2nd Lien
1.930%, VAR LIBOR+1.750%, 04/11/2025 (E)		1,059		1,028
Telesat Canada, Term B-5 Loan, 1st Lien
2.930%, VAR LIBOR+2.750%, 12/07/2026		709		681
T-Mobile USA, Inc., Term Loan, 1st Lien
3.174%, VAR LIBOR+3.000%, 04/01/2027		1,982		1,982
Zayo Group Holdings Inc., Initial Dollar Term Loan, 1st Lien
3.174%, VAR LIBOR+3.000%, 03/09/2027		1,970		1,892
				14,382
Transportation — 0.2%
Universal Hospital, Term Loan B, 1st Lien
4.438%, 01/04/2026 (D)		2,181		2,116
				2,116
Utilities — 0.5%
Calpine, Term Loan, 1st Lien
2.430%, VAR LIBOR+2.750%, 01/15/2024		1,380		1,351
Edgewater Generation, L.L.C., Term Loan, 1st Lien
3.924%, VAR LIBOR+3.750%, 12/13/2025		605		567
Packers Holdings, LLC, Initial Term Loan, 2nd Lien
4.250%, 12/04/2024 (A)		2,321		2,204
Traverse Midstream Partners LLC, Advance, Term Loan, 1st Lien
5.000%, VAR LIBOR+4.000%, 09/27/2024		414		340

SEI Institutional Investments Trust / Annual Report / May 31, 2020 127

SCHEDULE OF INVESTMENTS

May 31, 2020

Opportunistic Income Fund (Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
LOAN PARTICIPATIONS (continued)
Vistra Operations Company LLC (fka Tex Operations Company LLC), 2018 Incremental Term Loan, 1st Lien
1.932%, VAR LIBOR+1.750%, 12/31/2025 (E)	$	247	$	242
				4,704
Total Loan Participations (Cost $299,898) ($ Thousands)				286,061
ASSET-BACKED SECURITIES — 25.4%
Automotive — 3.0%
American Credit Acceptance Receivables Trust, Ser 2019-2, Cl A
2.850%, 07/12/2022 (C)		48		48
American Credit Acceptance Receivables Trust, Ser 2019-3, Cl A
2.440%, 12/12/2022 (C)		171		172
American Credit Acceptance Receivables Trust, Ser 2020-1, Cl A
1.890%, 04/13/2023 (C)		233		234
AmeriCredit Automobile Receivables Trust, Ser 2016-1, Cl C
2.890%, 01/10/2022		67		67
AmeriCredit Automobile Receivables Trust, Ser 2017-1, Cl B
2.300%, 02/18/2022		126		126
Americredit Automobile Receivables Trust, Ser 2019-1, Cl A2A
2.930%, 06/20/2022		403		405
ARI Fleet Lease Trust, Ser 2017-A, Cl A2
1.910%, 04/15/2026 (C)		16		16
ARI Fleet Lease Trust, Ser 2018-A, Cl A2
2.550%, 10/15/2026 (C)		70		70
ARI Fleet Lease Trust, Ser 2020-A, Cl A2
1.770%, 08/15/2028 (C)		155		155
Avid Automobile Receivables Trust, Ser 2019- 1, Cl A
2.620%, 02/15/2024 (C)		1,456		1,439
Avis Budget Rental Car Funding AESOP LLC, Ser 2019-1A, Cl A
3.450%, 03/20/2023 (C)		2,000		1,976
Canadian Pacer Auto Receivables Trust, Ser 2020-1A, Cl A2A
1.770%, 11/21/2022 (C)		445		447
CarMax Auto Owner Trust, Ser 2016-3, Cl C
2.200%, 06/15/2022		630		631
CarMax Auto Owner Trust, Ser 2018-2, Cl A3
2.980%, 01/17/2023		3,636		3,688
CarMax Auto Owner Trust, Ser 2019-3, Cl A2A
2.210%, 12/15/2022		811		818

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Carvana Auto Receivables Trust, Ser 2019- 4A, Cl A2
2.200%, 07/15/2022 (C)	$	170	$	170
Chesapeake Funding II LLC, Ser 2017-2A, Cl A1
1.990%, 05/15/2029 (C)		107		107
Chesapeake Funding II LLC, Ser 2017-4A, Cl A1
2.120%, 11/15/2029 (C)		358		359
Chesapeake Funding II LLC, Ser 2019-2A, Cl A1
1.950%, 09/15/2031 (C)		531		531
CIG Auto Receivables Trust, Ser 2017-1A, Cl A
2.710%, 05/15/2023 (C)		14		15
CPS Auto Receivables Trust, Ser 2020-A, Cl A
2.090%, 05/15/2023 (C)		199		200
Credit Acceptance Auto Loan Trust, Ser 2017- 2A, Cl A
2.550%, 02/17/2026 (C)		48		48
Credit Acceptance Auto Loan Trust, Ser 2017- 3A, Cl A
2.650%, 06/15/2026 (C)		101		101
Credit Acceptance Auto Loan Trust, Ser 2020- 1A, Cl A
2.010%, 02/15/2029 (C)		250		248
Drive Auto Receivables Trust, Ser 2019-4, Cl A3
2.160%, 05/15/2023		235		236
Drive Auto Receivables Trust, Ser 2020-1, Cl A3
2.020%, 11/15/2023		200		202
DT Auto Owner Trust, Ser 2018-3A, Cl A
3.020%, 02/15/2022 (C)		31		31
DT Auto Owner Trust, Ser 2019-1A, Cl A
3.080%, 09/15/2022 (C)		59		59
DT Auto Owner Trust, Ser 2019-3A, Cl A
2.550%, 08/15/2022 (C)		105		106
DT Auto Owner Trust, Ser 2020-1A, Cl A
1.940%, 09/15/2023 (C)		140		141
Enterprise Fleet Financing LLC, Ser 2017-2, Cl A2
1.970%, 01/20/2023 (C)		4		5
Enterprise Fleet Financing LLC, Ser 2017-3, Cl A2
2.130%, 05/22/2023 (C)		70		70
Enterprise Fleet Financing LLC, Ser 2020-1, Cl A1
1.690%, 02/22/2021 (C)		216		216
Exeter Automobile Receivables Trust, Ser 2019-1A, Cl A
3.200%, 04/15/2022 (C)		4		4

128 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Exeter Automobile Receivables Trust, Ser 2020-1A, Cl A
2.050%, 06/15/2023 (C)	$	155	$	155
Flagship Credit Auto Trust, Ser 2018-3, Cl A
3.070%, 02/15/2023 (C)		80		80
Flagship Credit Auto Trust, Ser 2019-1, Cl A
3.110%, 08/15/2023 (C)		187		190
Flagship Credit Auto Trust, Ser 2019-2, Cl A
2.830%, 10/16/2023 (C)		343		348
Flagship Credit Auto Trust, Ser 2019-3, Cl A
2.330%, 02/15/2024 (C)		308		310
Flagship Credit Auto Trust, Ser 2020-1, Cl A
1.900%, 08/15/2024 (C)		297		297
Ford Credit Auto Lease Trust, Ser 2020-A, Cl A2
1.800%, 07/15/2022		205		207
Foursight Capital Automobile Receivables Trust, Ser 2020-1, Cl A2
1.970%, 09/15/2023 (C)		285		285
GLS Auto Receivables Issuer Trust, Ser 2019- 1A, Cl A
3.370%, 01/17/2023 (C)		93		93
GLS Auto Receivables Issuer Trust, Ser 2019- 3A, Cl A
2.580%, 07/17/2023 (C)		212		214
GLS Auto Receivables Issuer Trust, Ser 2019- 4A, Cl A
2.470%, 11/15/2023 (C)		201		203
GLS Auto Receivables Issuer Trust, Ser 2020- 1A, Cl A
2.170%, 02/15/2024 (C)		248		248
GLS Auto Receivables Trust, Ser 2018-1A, Cl A
2.820%, 07/15/2022 (C)		120		120
GLS Auto Receivables Trust, Ser 2018-3A, Cl A
3.350%, 08/15/2022 (C)		64		64
GM Financial Automobile Leasing Trust, Ser 2019-1, Cl A2A
2.910%, 04/20/2021		115		115
GM Financial Consumer Automobile Receivables Trust, Ser 2018-1, Cl A3
2.320%, 07/18/2022		1,358		1,369
Hertz Fleet Lease Funding, Ser 2019-1, Cl A2
2.700%, 01/10/2033 (C)		521		519
Honda Auto Receivables Owner Trust, Ser 2020-2, Cl A2
0.740%, 11/15/2022		80		80
Honda Auto Receivables Owner Trust, Ser 2020-2, Cl A3
0.820%, 07/15/2024		3,000		3,013
Mercedes-Benz Auto Lease Trust, Ser 2019-A, Cl A2
3.010%, 02/16/2021		44		44

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Mercedes-Benz Auto Lease Trust, Ser 2020- A, Cl A2
1.820%, 03/15/2022	$	120	$	121
Nissan Auto Lease Trust, Ser 2020-A, Cl A2A
1.800%, 05/16/2022		290		292
Santander Consumer Auto Receivables Trust, Ser 2020-AA, Cl A
1.370%, 10/15/2024 (C)		335		335
Santander Drive Auto Receivables Trust, Ser 2016-3, Cl C
2.460%, 03/15/2022		85		85
Santander Drive Auto Receivables Trust, Ser 2017-1, Cl C
2.580%, 05/16/2022		80		80
Santander Drive Auto Receivables Trust, Ser 2018-2, Cl B
3.030%, 09/15/2022		253		254
Securitized Term Auto Receivables Trust, Ser 2019-1A, Cl A3
2.986%, 02/27/2023 (C)		650		657
Securitized Term Auto Receivables Trust, Ser 2019-CRT, Cl D
4.572%, 03/25/2026 (C)		1,011		1,017
Tidewater Auto Receivables Trust, Ser 2020- AA, Cl C
1.910%, 09/15/2026 (C)		2,000		1,984
United Auto Credit Securitization Trust, Ser 2019-1, Cl A
2.820%, 07/12/2021 (C)		65		65
Volkswagen Auto Loan Enhanced Trust, Ser 2020-1, Cl A2A
0.930%, 12/20/2022		2,000		2,004
Westlake Automobile Receivables Trust, Ser 2017-2A, Cl D
3.280%, 12/15/2022 (C)		500		504
Westlake Automobile Receivables Trust, Ser 2018-3A, Cl A2A
2.980%, 01/18/2022 (C)		11		11
Westlake Automobile Receivables Trust, Ser 2019-1A, Cl A2A
3.060%, 05/16/2022 (C)		189		190
				28,694
Credit Cards — 0.5%
American Express Credit Account Master Trust, Ser 2017-6, Cl A
2.040%, 05/15/2023		1,500		1,509
American Express Credit Account Master Trust, Ser 2018-4, Cl A
2.990%, 12/15/2023		3,372		3,455
Master Credit Card Trust II, Ser 2019-2A, Cl A
0.561%, VAR ICE LIBOR USD 1 Month+0.390%, 01/21/2023 (C)		330		328

SEI Institutional Investments Trust / Annual Report / May 31, 2020 129

SCHEDULE OF INVESTMENTS

May 31, 2020

Opportunistic Income Fund (Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Trillium Credit Card Trust II, Ser 2020-1A, Cl A
0.538%, VAR ICE LIBOR USD 1 Month+0.370%, 12/26/2024 (C)	$	405	$	403
				5,695
Mortgage Related Securities — 4.2%
ABFC Trust, Ser 2002-NC1, Cl M1
1.188%, VAR ICE LIBOR USD 1 Month+1.020%, 03/25/2032		2,713		2,626
ABFC Trust, Ser 2004-HE1, Cl M1
1.068%, VAR ICE LIBOR USD 1 Month+0.900%, 03/25/2034		1,075		1,031
ABFC Trust, Ser 2005-OPT1, Cl M1
0.858%, VAR ICE LIBOR USD 1 Month+0.690%, 07/25/2035		1,294		1,283
ABFC Trust, Ser 2005-WF1, Cl M1
0.708%, VAR ICE LIBOR USD 1 Month+0.540%, 11/25/2034		1,554		1,540
Accredited Mortgage Loan Trust, Ser 2004-4, Cl A1A
0.848%, VAR ICE LIBOR USD 1 Month+0.680%, 01/25/2035		39		38
Accredited Mortgage Loan Trust, Ser 2006-2, Cl M1
0.438%, VAR ICE LIBOR USD 1 Month+0.270%, 09/25/2036		1,230		972
ACE Securities Home Equity Loan Trust, Ser 2005-SD1, Cl M2
2.043%, VAR ICE LIBOR USD 1 Month+1.875%, 11/25/2050		1,818		1,794
Aegis Asset-Backed Securities Trust Mortgage Pass-Through Certificates, Ser 2004-3, Cl M1
1.068%, VAR ICE LIBOR USD 1 Month+0.900%, 09/25/2034		1,861		1,822
Aegis Asset-Backed Securities Trust Mortgage Pass-Through Certificates, Ser 2005-4, Cl M1
0.618%, VAR ICE LIBOR USD 1 Month+0.450%, 10/25/2035		1,729		1,705
GMACM Home Equity Loan Trust, Ser 2007- HE2, Cl A2
6.054%, 12/25/2037 (A)		670		673
GMACM Home Equity Loan Trust, Ser 2007- HE2, Cl A3
6.193%, 12/25/2037 (A)		250		251
GSAA Home Equity Trust, Ser 2005-11, Cl 2A2
0.488%, VAR ICE LIBOR USD 1 Month+0.320%, 10/25/2035		1,760		1,678
Home Equity Asset Trust, Ser 2004-1, Cl M1
1.113%, VAR ICE LIBOR USD 1 Month+0.945%, 06/25/2034		3,255		2,844

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Home Equity Asset Trust, Ser 2005-5, Cl M2
0.933%, VAR ICE LIBOR USD 1 Month+0.765%, 11/25/2035	$	544	$	543
Home Equity Asset Trust, Ser 2005-7, Cl M1
0.618%, VAR ICE LIBOR USD 1 Month+0.450%, 01/25/2036		2,290		2,268
Irwin Home Equity Loan Trust, Ser 2006-1, Cl 2A3
6.270%, 09/25/2035 (C)		1,100		1,131
Master Asset-Backed Securities Trust, Ser 2006-NC3, Cl A3
0.268%, VAR ICE LIBOR USD 1 Month+0.100%, 10/25/2036		2,349		1,269
Morgan Stanley Capital I Trust, Ser 2004- HE7, Cl M1
1.068%, VAR ICE LIBOR USD 1 Month+0.900%, 08/25/2034		2,271		2,167
Morgan Stanley Capital I Trust, Ser 2005- HE2, Cl M1
0.768%, VAR ICE LIBOR USD 1 Month+0.600%, 01/25/2035		991		981
Morgan Stanley Dean Witter Capital I Trust, Ser 2002-AM3, Cl M1
1.593%, VAR ICE LIBOR USD 1 Month+1.425%, 02/25/2033		8		8
Morgan Stanley Dean Witter Capital I Trust, Ser 2002-HE2, Cl A1
1.028%, VAR ICE LIBOR USD 1 Month+0.860%, 08/25/2032 (C)		2,233		2,204
New Century Home Equity Loan Trust, Ser 2005-4, Cl M2
0.678%, VAR ICE LIBOR USD 1 Month+0.510%, 09/25/2035		1,257		1,252
NovaStar Mortgage Funding Trust, Ser 2003- 3, Cl A1
0.878%, VAR ICE LIBOR USD 1 Month+0.710%, 12/25/2033		3,872		3,650
NovaStar Mortgage Funding Trust, Ser 2004- 4, Cl M5
1.893%, VAR ICE LIBOR USD 1 Month+1.725%, 03/25/2035		1,524		1,521
Option One Mortgage Loan Trust, Ser 2003- 4, Cl A1
0.808%, VAR ICE LIBOR USD 1 Month+0.640%, 07/25/2033		1,183		1,152
Soundview Home Equity Loan Trust, Ser 2005-4, Cl M2
0.638%, VAR ICE LIBOR USD 1 Month+0.470%, 03/25/2036		2,717		2,685
Structured Asset Securities Mortgage Loan Trust, Ser 2005-NC2, Cl M4
0.873%, VAR ICE LIBOR USD 1 Month+0.705%, 05/25/2035		1,590		1,555

130 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Wells Fargo Home Equity Securities Trust, Ser 2005-3, Cl M4
1.053%, VAR ICE LIBOR USD 1 Month+0.885%, 11/25/2035	$	81	$	81
				40,724
Other Asset-Backed Securities — 17.7%
321 Henderson Receivables I LLC, Ser 2007- 1A, Cl A1
0.384%, VAR ICE LIBOR USD 1 Month+0.200%, 03/15/2042 (C)		2,022		1,842
Academic Loan Funding Trust, Ser 2012-1A, Cl A2
1.268%, VAR ICE LIBOR USD 1 Month+1.100%, 12/27/2044 (C)		1,839		1,777
ACIS CLO, Ser 2017-7A, Cl B
2.437%, VAR ICE LIBOR USD 3 Month+1.750%, 05/01/2027 (C)		1,500		1,450
Ajax Mortgage Loan Trust, Ser 2017-B, Cl A
3.163%, 09/25/2056 (A)(C)		419		412
Allegro CLO I, Ser 2017-1A, Cl A2R
2.410%, VAR ICE LIBOR USD 3 Month+1.650%, 01/30/2026 (C)		1,886		1,868
Ameriquest Mortgage Securities Pass-Through Certificates, Ser 2004-R2, Cl A1A
0.858%, VAR ICE LIBOR USD 1 Month+0.690%, 04/25/2034		620		616
Ameriquest Mortgage Securities Pass- Through Certificates, Ser 2005-R11, Cl M1
0.618%, VAR ICE LIBOR USD 1 Month+0.450%, 01/25/2036		1,472		1,466
AMMC CLO, Ser 2017-16A, Cl CR
3.661%, VAR ICE LIBOR USD 3 Month+2.350%, 04/14/2029 (C)		1,000		960
Apidos CLO XII, Ser 2018-12A, Cl AR
2.299%, VAR ICE LIBOR USD 3 Month+1.080%, 04/15/2031 (C)		725		705
Arbys Funding LLC, Ser 2015-1A, Cl A2
4.969%, 10/30/2045 (C)		2,149		2,139
Ares XXIX CLO, Ser 2017-1A, Cl A1R
2.325%, VAR ICE LIBOR USD 3 Month+1.190%, 04/17/2026 (C)		481		479
Avant Loans Funding Trust, Ser 2019-A, Cl A
3.480%, 07/15/2022 (C)		50		50
Avant Loans Funding Trust, Ser 2019-B, Cl A
2.720%, 10/15/2026 (C)		221		220
Avery Point IV CLO, Ser 2014-1A, Cl D
4.491%, VAR ICE LIBOR USD 3 Month+3.500%, 04/25/2026 (C)		800		766
Avery Point IV CLO, Ser 2017-1A, Cl AR
2.091%, VAR ICE LIBOR USD 3 Month+1.100%, 04/25/2026 (C)		136		135

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Avery Point IV CLO, Ser 2017-1A, Cl CR
3.341%, VAR ICE LIBOR USD 3 Month+2.350%, 04/25/2026 (C)	$	2,000	$	1,982
Barings BDC Static CLO, Ser 2019-1A, Cl A1
2.239%, VAR ICE LIBOR USD 3 Month+1.020%, 04/15/2027 (C)		221		217
Bayview Opportunity Master Fund IVa Trust, Ser 2017-RT1, Cl A1
3.000%, 03/28/2057 (A)(C)		1,839		1,864
Bayview Opportunity Master Fund IVb Trust, Ser 2017-RT6, Cl A
3.500%, 10/28/2057 (A)(C)		590		599
Bear Stearns Asset Backed Securities Trust, Ser 2003-SD1, Cl A
1.068%, VAR ICE LIBOR USD 1 Month+0.900%, 12/25/2033		510		441
Bear Stearns Asset Backed Securities Trust, Ser 2005-SD2, Cl 2M2
1.668%, VAR ICE LIBOR USD 1 Month+1.500%, 12/25/2044		2,313		2,286
Black Diamond CLO, Ser 2017-1A, Cl A1A
2.310%, VAR ICE LIBOR USD 3 Month+1.290%, 04/24/2029 (C)		2,000		1,947
Black Diamond CLO, Ser 2017-1A, Cl A2R
2.585%, VAR ICE LIBOR USD 3 Month+1.450%, 02/06/2026 (C)		661		655
BlueMountain CLO, Ser 2017-2A, Cl A1R
2.278%, VAR ICE LIBOR USD 3 Month+1.180%, 10/22/2030 (C)		921		902
BlueMountain CLO, Ser 2018-2A, Cl A
1.502%, VAR ICE LIBOR USD 3 Month+1.110%, 08/15/2031 (C)		3,482		3,367
Bravo Mortgage Asset Trust, Ser 2006-1A, Cl A2
0.408%, VAR ICE LIBOR USD 1 Month+0.240%, 07/25/2036 (C)		291		289
Brazos Student Finance, Ser 2010-1, Cl A1
2.116%, VAR ICE LIBOR USD 3 Month+0.900%, 06/25/2035		1,423		1,392
BRE Grand Islander Timeshare Issuer LLC, Ser 2019-A, Cl A
3.280%, 09/26/2033 (C)		1,594		1,540
CAL Funding II, Ser 2018-2A, Cl A
4.340%, 09/25/2043 (C)		233		232
Carlyle Global Market Strategies CLO, Ser 2018-1A, Cl A1R2
2.105%, VAR ICE LIBOR USD 3 Month+0.970%, 04/17/2031 (C)		649		624
Carlyle Global Market Strategies CLO, Ser 2018-2A, Cl A1R
1.771%, VAR ICE LIBOR USD 3 Month+0.780%, 04/27/2027 (C)		549		539

SEI Institutional Investments Trust / Annual Report / May 31, 2020 131

SCHEDULE OF INVESTMENTS

May 31, 2020

Opportunistic Income Fund (Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Cedar Funding VI CLO, Ser 2018-6A, Cl AR
2.225%, VAR ICE LIBOR USD 3 Month+1.090%, 10/20/2028 (C)	$	3,500	$	3,430
Cent CLO 24, Ser 2018-24A, Cl A2R
2.869%, VAR ICE LIBOR USD 3 Month+1.650%, 10/15/2026 (C)		1,000		971
CIT Mortgage Loan Trust, Ser 2007-1, Cl 1A
1.518%, VAR ICE LIBOR USD 1 Month+1.350%, 10/25/2037 (C)		2,567		2,540
Citigroup Mortgage Loan Trust, Ser 2007- WFH4, Cl A2C
1.468%, VAR ICE LIBOR USD 1 Month+1.300%, 07/25/2037		600		590
CNH Equipment Trust, Ser 2019-B, Cl A2
2.550%, 09/15/2022		933		939
CNH Equipment Trust, Ser 2020-A, Cl A2
1.080%, 07/17/2023		135		135
Cole Park CLO, Ser 2018-1A, Cl AR
2.185%, VAR ICE LIBOR USD 3 Month+1.050%, 10/20/2028 (C)		700		688
Columbia Cent CLO, Ser 2018-27A, Cl A1
2.141%, VAR ICE LIBOR USD 3 Month+1.150%, 10/25/2028 (C)		600		590
Consumer Loan Underlying Bond CLUB Credit Trust, Ser 2020-P1, Cl A
2.260%, 03/15/2028 (C)		407		403
Credit-Based Asset Servicing & Securitization LLC, Ser 2005-CB7, Cl M1
0.783%, VAR ICE LIBOR USD 1 Month+0.615%, 11/25/2035		1,991		1,971
CWABS Certificates Trust, Ser 2004-5, Cl 2A
0.668%, VAR ICE LIBOR USD 1 Month+0.500%, 10/25/2034		2,537		2,370
CWABS Certificates Trust, Ser 2004-5, Cl 3A
0.628%, VAR ICE LIBOR USD 1 Month+0.460%, 09/25/2034		1		1
CWHEQ Revolving Home Equity Loan Resecuritization Trust, Ser 2006-RES, Cl 4L1A
0.464%, VAR ICE LIBOR USD 1 Month+0.280%, 02/15/2034 (C)		1,003		977
CWHEQ Revolving Home Equity Loan Trust, Ser 2006-I, Cl 2A
0.324%, VAR ICE LIBOR USD 1 Month+0.140%, 01/15/2037		1,529		1,413
Denali Capital CLO XI, Ser 2018-1A, Cl A2RR
2.785%, VAR ICE LIBOR USD 3 Month+1.650%, 10/20/2028 (C)		1,000		965
Domino’s Pizza Master Issuer LLC, Ser 2017- 1A, Cl A2I
2.241%, VAR ICE LIBOR USD 3 Month+1.250%, 07/25/2047 (C)		3,900		3,808

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Education Loan Asset-Backed Trust I, Ser 2013-1, Cl A1
0.968%, VAR ICE LIBOR USD 1 Month+0.800%, 06/25/2026 (C)	$	77	$	77
Educational Funding of the South, Ser 2011- 1, Cl A2
1.641%, VAR ICE LIBOR USD 3 Month+0.650%, 04/25/2035		257		251
Elara HGV Timeshare Issuer, Ser 2017-A, Cl A
2.690%, 03/25/2030 (C)		872		836
Encore Credit Receivables Trust, Ser 2005-3, Cl M3
0.933%, VAR ICE LIBOR USD 1 Month+0.765%, 10/25/2035		1,948		1,929
First Franklin Mortgage Loan Trust, Ser 2004-FF11, Cl M2
0.993%, VAR ICE LIBOR USD 1 Month+0.825%, 01/25/2035		260		262
First Franklin Mortgage Loan Trust, Ser 2006-FFA, Cl A3
0.408%, VAR ICE LIBOR USD 1 Month+0.240%, 09/25/2026		15		15
Gallatin CLO VIII, Ser 2017-1A, Cl B
2.869%, VAR ICE LIBOR USD 3 Month+1.650%, 07/15/2027 (C)		1,500		1,450
Great American Auto Leasing, Ser 2019-1, Cl A2
2.970%, 06/15/2021 (C)		268		268
GreatAmerica Leasing Receivables Funding LLC, Ser 2020-1, Cl A2
1.760%, 06/15/2022 (C)		370		370
Greenpoint Manufactured Housing, Ser 1999- 5, Cl M1A
8.300%, 10/15/2026 (A)		442		455
Greenpoint Manufactured Housing, Ser 2000-4, Cl A3
2.171%, VAR ICE LIBOR USD 1 Month+2.000%, 08/21/2031		2,175		2,060
Greenwood Park CLO Ltd., Ser 2018-1A, Cl A2
2.229%, VAR ICE LIBOR USD 3 Month+1.010%, 04/15/2031 (C)		1,367		1,329
GSAMP Trust, Ser 2005-HE6, Cl M1
0.608%, VAR ICE LIBOR USD 1 Month+0.440%, 11/25/2035		62		62
GSAMP Trust, Ser 2005-SEA2, Cl B1
1.418%, VAR ICE LIBOR USD 1 Month+1.250%, 01/25/2045 (C)		1,442		1,421
Hilton Grand Vacations Trust, Ser 2014-AA, Cl A
1.770%, 11/25/2026 (C)		518		514

132 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Home Partners of America Trust, Ser 2017-1, Cl A
0.999%, VAR ICE LIBOR USD 1 Month+0.817%, 07/17/2034 (C)	$	4,120	$	4,069
Home Partners of America Trust, Ser 2017-1, Cl B
1.532%, VAR ICE LIBOR USD 1 Month+1.350%, 07/17/2034 (C)		2,250		2,220
Home Partners of America Trust, Ser 2018-1, Cl A
1.082%, VAR ICE LIBOR USD 1 Month+0.900%, 07/17/2037 (C)		1,867		1,833
HPEFS Equipment Trust, Ser 2019-1A, Cl A2
2.190%, 09/20/2029 (C)		182		182
HPEFS Equipment Trust, Ser 2020-1A, Cl A2
1.730%, 02/20/2030 (C)		213		213
Invitation Homes Trust, Ser 2017-SFR2, Cl B
1.332%, VAR ICE LIBOR USD 1 Month+1.150%, 12/17/2036 (C)		1,000		973
Invitation Homes Trust, Ser 2018-SFR1, Cl C
1.432%, VAR ICE LIBOR USD 1 Month+1.250%, 03/17/2037 (C)		2,000		1,926
Invitation Homes Trust, Ser 2018-SFR3, Cl C
1.482%, VAR ICE LIBOR USD 1 Month+1.300%, 07/17/2037 (C)		2,000		1,927
Iowa State Student Loan Liquidity, Ser 2011- 1, Cl A
2.456%, VAR ICE LIBOR USD 3 Month+1.250%, 06/25/2042		379		361
Keycorp Student Loan Trust, Ser 2000-B, Cl A2
1.301%, VAR ICE LIBOR USD 3 Month+0.310%, 07/25/2029		1,413		1,389
KKR CLO, Ser 2018-21, Cl A
2.219%, VAR ICE LIBOR USD 3 Month+1.000%, 04/15/2031 (C)		580		558
LCM XXV, Ser 2017-25A, Cl A
2.345%, VAR ICE LIBOR USD 3 Month+1.210%, 07/20/2030 (C)		3,828		3,746
Long Beach Mortgage Loan Trust, Ser 2004- 1, Cl M1
0.918%, VAR ICE LIBOR USD 1 Month+0.750%, 02/25/2034		834		790
Long Beach Mortgage Loan Trust, Ser 2004- 1, Cl M2
0.993%, VAR ICE LIBOR USD 1 Month+0.825%, 02/25/2034		1,998		1,973
Madison Park Funding XII, Ser 2017-12A, Cl AR
2.395%, VAR ICE LIBOR USD 3 Month+1.260%, 07/20/2026 (C)		71		71

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Madison Park Funding XV, Ser 2017-15A, Cl A2R
2.491%, VAR ICE LIBOR USD 3 Month+1.500%, 01/27/2026 (C)	$	550	$	537
Madison Park Funding XXX, Ser 2018-30A, Cl A
1.969%, VAR ICE LIBOR USD 3 Month+0.750%, 04/15/2029 (C)		1,000		974
Magnetite VIII, Ser 2018-8A, Cl AR2
2.199%, VAR ICE LIBOR USD 3 Month+0.980%, 04/15/2031 (C)		780		760
Marlette Funding Trust, Ser 2018-4A, Cl A
3.710%, 12/15/2028 (C)		63		63
Marlette Funding Trust, Ser 2019-1A, Cl A
3.440%, 04/16/2029 (C)		152		150
Marlette Funding Trust, Ser 2019-2A, Cl A
3.130%, 07/16/2029 (C)		209		210
Marlette Funding Trust, Ser 2020-1A, Cl A
2.240%, 03/15/2030 (C)		107		107
MetLife Securitization Trust, Ser 2017-1A, Cl A
3.000%, 04/25/2055 (A)(C)		219		225
Michigan Finance Authority, Ser 2015-1, Cl A1
0.920%, VAR ICE LIBOR USD 1 Month+0.750%, 04/29/2030		2,233		2,169
Mid-State Capital Trust, Ser 2004-1, Cl M1
6.497%, 08/15/2037		617		655
Mill City Mortgage Loan Trust, Ser 2017-3, Cl A1
2.750%, 01/25/2061 (A)(C)		415		422
MMAF Equipment Finance LLC, Ser 2019-B, Cl A2
2.070%, 10/12/2022 (C)		180		181
MP CLO VIII, Ser 2018-2A, Cl BR
2.307%, VAR ICE LIBOR USD 3 Month+1.420%, 10/28/2027 (C)		2,000		1,939
MVW Owner Trust, Ser 2014-1A, Cl A
2.250%, 09/22/2031 (C)		987		970
MVW Owner Trust, Ser 2015-1A, Cl A
2.520%, 12/20/2032 (C)		1,385		1,354
Nationstar HECM Loan Trust, Ser 2018-2A, Cl A
3.188%, 07/25/2028 (A)(C)		16		16
Nationstar HECM Loan Trust, Ser 2019-2A, Cl A
2.272%, 11/25/2029 (A)(C)		100		100
Nelnet Student Loan Trust, Ser 2007-1, Cl B1
0.510%, VAR ICE LIBOR USD 3 Month+0.150%, 08/25/2037		257		255
New Residential Mortgage LLC, Ser 2018- FNT1, Cl B
3.910%, 05/25/2023 (C)		1,514		1,506

SEI Institutional Investments Trust / Annual Report / May 31, 2020 133

SCHEDULE OF INVESTMENTS

May 31, 2020

Opportunistic Income Fund (Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
New Residential Mortgage LLC, Ser 2018- FNT2, Cl A
3.790%, 07/25/2054 (C)	$	1,875	$	1,811
Newcastle Mortgage Securities Trust, Ser 2006-1, Cl M3
0.558%, VAR ICE LIBOR USD 1 Month+0.390%, 03/25/2036		5,593		5,224
NRZ Excess Spread-Collateralized Notes, Ser 2018-PLS1, Cl A
3.193%, 01/25/2023 (C)		2,341		2,349
NRZ Excess Spread-Collateralized Notes, Ser 2018-PLS2, Cl A
3.265%, 02/25/2023 (C)		1,808		1,814
Ocean Trails CLO IV, Ser 2013-4A, Cl AR
1.334%, VAR ICE LIBOR USD 3 Month+0.900%, 08/13/2025 (C)		315		314
OCP CLO, Ser 2017-10A, Cl BR
2.841%, VAR ICE LIBOR USD 3 Month+1.850%, 10/26/2027 (C)		2,000		1,903
OCP CLO, Ser 2017-8A, Cl A1R
1.985%, VAR ICE LIBOR USD 3 Month+0.850%, 04/17/2027 (C)		422		416
OnDeck Asset Securitization Trust II LLC, Ser 2019-1A, Cl A
2.650%, 11/18/2024 (C)		183		183
OneMain Financial Issuance Trust, Ser 2016- 1A, Cl B
4.570%, 02/20/2029 (C)		155		155
Origen Manufactured Housing Contract Trust, Ser 2002-A, Cl M1
7.870%, 05/15/2032 (A)		83		83
Oxford Finance Funding LLC, Ser 2020-1A, Cl A2
3.101%, 02/15/2028 (C)		1,500		1,488
OZLM XII, Ser 2018-12A, Cl A1R
1.810%, VAR ICE LIBOR USD 3 Month+1.050%, 04/30/2027 (C)		500		493
Palmer Square Loan Funding, Ser 2018-4A, Cl A1
1.292%, VAR ICE LIBOR USD 3 Month+0.900%, 11/15/2026 (C)		1,248		1,228
Park Place Securities Pass-Through Certificates, Ser 2005-WHQ1, Cl M5
1.293%, VAR ICE LIBOR USD 1 Month+1.125%, 03/25/2035		4,242		4,016
PRPM LLC, Ser 2018-1A, Cl A1
3.750%, 04/25/2023 (A)(C)		140		134
Recette CLO, Ser 2017-1A, Cl DR
3.885%, VAR ICE LIBOR USD 3 Month+2.750%, 10/20/2027 (C)		1,000		923
SACO I Trust, Ser 2005-GP1, Cl A1
0.528%, VAR ICE LIBOR USD 1 Month+0.360%, 08/25/2030		267		265

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
SACO I Trust, Ser 2005-WM3, Cl A1
0.688%, VAR ICE LIBOR USD 1 Month+0.520%, 09/25/2035	$	160	$	159
SACO I Trust, Ser 2006-6, Cl A
0.428%, VAR ICE LIBOR USD 1 Month+0.260%, 06/25/2036		452		435
Saxon Asset Securities Trust, Ser 2006-2, Cl A3C
0.318%, VAR ICE LIBOR USD 1 Month+0.150%, 09/25/2036		701		695
Scholar Funding Trust, Ser 2011-A, Cl A
1.787%, VAR ICE LIBOR USD 3 Month+0.900%, 10/28/2043 (C)		2,372		2,282
Shackleton CLO, Ser 2015-8A, Cl A1R
2.055%, VAR ICE LIBOR USD 3 Month+0.920%, 10/20/2027 (C)		980		961
SoFi Consumer Loan Program LLC, Ser 2017- 1, Cl A
3.280%, 01/26/2026 (C)		86		86
SoFi Consumer Loan Program Trust, Ser 2019-1, Cl A
3.240%, 02/25/2028 (C)		161		162
SoFi Consumer Loan Program Trust, Ser 2019-3, Cl A
2.900%, 05/25/2028 (C)		318		321
SoFi Consumer Loan Program Trust, Ser 2019-4, Cl A
2.450%, 08/25/2028 (C)		324		324
SoFi Consumer Loan Program Trust, Ser 2020-1, Cl A
2.020%, 01/25/2029 (C)		240		240
SpringCastle Funding Notes, Ser 2019-AA, Cl A
3.200%, 05/27/2036 (C)		3,385		3,171
Springleaf Funding Trust, Ser 2016-AA, Cl A
2.900%, 11/15/2029 (C)		78		78
Structured Asset Investment Loan Trust, Ser 2003-BC11, Cl A3
1.118%, VAR ICE LIBOR USD 1 Month+0.950%, 10/25/2033		3,061		2,923
Structured Asset Investment Loan Trust, Ser 2003-BC12, Cl 2A
0.888%, VAR ICE LIBOR USD 1 Month+0.720%, 11/25/2033		2,827		2,655
Structured Asset Investment Loan Trust, Ser 2004-8, Cl A8
1.168%, VAR ICE LIBOR USD 1 Month+1.000%, 09/25/2034		3,655		3,430
Structured Asset Investment Loan Trust, Ser 2004-BNC1, Cl A4
1.108%, VAR ICE LIBOR USD 1 Month+0.940%, 09/25/2034		1,170		1,108

134 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Structured Asset Securities Mortgage Loan Trust, Ser 2005-WF3, Cl M1
0.888%, VAR ICE LIBOR USD 1 Month+0.720%, 07/25/2035	$	126	$	126
Structured Asset Securities Mortgage Loan Trust, Ser 2007-BC3, Cl 2A3
0.348%, VAR ICE LIBOR USD 1 Month+0.180%, 05/25/2047		2,231		2,094
Symphony CLO XVIII, Ser 2016-18A, Cl B
2.843%, VAR ICE LIBOR USD 3 Month+1.800%, 01/23/2028 (C)		750		734
TCI-Flatiron CLO, Ser 2017-1A, Cl B
1.946%, VAR ICE LIBOR USD 3 Month+1.560%, 11/18/2030 (C)		500		486
Telos CLO, Ser 2017-3A, Cl AR
2.435%, VAR ICE LIBOR USD 3 Month+1.300%, 07/17/2026 (C)		1,576		1,555
Textainer Marine Containers V, Ser 2017-2A, Cl A
3.520%, 06/20/2042 (C)		451		442
Thacher Park CLO, Ser 2017-1A, Cl AR
2.295%, VAR ICE LIBOR USD 3 Month+1.160%, 10/20/2026 (C)		695		690
Towd Point Mortgage Trust, Ser 2015-2, Cl 2A11
3.000%, 11/25/2057 (A)(C)		52		53
Towd Point Mortgage Trust, Ser 2015-4, Cl A1B
2.750%, 04/25/2055 (A)(C)		45		45
Towd Point Mortgage Trust, Ser 2015-5, Cl A1B
2.750%, 05/25/2055 (A)(C)		60		61
Towd Point Mortgage Trust, Ser 2016-1, Cl A1B
2.750%, 02/25/2055 (A)(C)		50		51
Towd Point Mortgage Trust, Ser 2016-3, Cl A1
2.250%, 04/25/2056 (A)(C)		151		152
Towd Point Mortgage Trust, Ser 2016-4, Cl A1
2.250%, 07/25/2056 (A)(C)		287		289
Towd Point Mortgage Trust, Ser 2017-1, Cl A1
2.750%, 10/25/2056 (A)(C)		506		513
Towd Point Mortgage Trust, Ser 2017-2, Cl A1
2.750%, 04/25/2057 (A)(C)		401		406
Towd Point Mortgage Trust, Ser 2017-5, Cl A1
0.768%, VAR ICE LIBOR USD 1 Month+0.600%, 02/25/2057 (C)		2,200		2,163
Towd Point Mortgage Trust, Ser 2017-6, Cl A1
2.750%, 10/25/2057 (A)(C)		445		456
Towd Point Mortgage Trust, Ser 2018-2, Cl A1
3.250%, 03/25/2058 (A)(C)		1,133		1,170
Towd Point Mortgage Trust, Ser 2018-3, Cl A1
3.750%, 05/25/2058 (A)(C)		1,470		1,545

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Towd Point Mortgage Trust, Ser 2019-HY1, Cl A1
1.168%, VAR ICE LIBOR USD 1 Month+1.000%, 10/25/2048 (C)	$	1,318	$	1,301
Treman Park CLO, Ser 2018-1A, Cl ARR
2.205%, VAR ICE LIBOR USD 3 Month+1.070%, 10/20/2028 (C)		550		540
Trestles CLO, Ser 2017-1A, Cl A1A
2.281%, VAR ICE LIBOR USD 3 Month+1.290%, 07/25/2029 (C)		5,000		4,917
Triton Container Finance VI LLC, Ser 2017- 1A, Cl A
3.520%, 06/20/2042 (C)		667		657
Tryon Park CLO, Ser 2018-1A, Cl A1SR
2.109%, VAR ICE LIBOR USD 3 Month+0.890%, 04/15/2029 (C)		270		264
Verizon Owner Trust, Ser 2017-2A, Cl B
2.220%, 12/20/2021 (C)		260		261
Verizon Owner Trust, Ser 2020-A, Cl A1A
1.850%, 07/22/2024		350		359
VOLT LXIV LLC, Ser 2017-NP11, Cl A1
3.375%, 10/25/2047 (C)		295		283
Volvo Financial Equipment Master Owner Trust, Ser 2017-A, Cl A
0.684%, VAR ICE LIBOR USD 1 Month+0.500%, 11/15/2022 (C)		95		95
Voya CLO, Ser 2017-3A, Cl A1R
1.711%, VAR ICE LIBOR USD 3 Month+0.720%, 07/25/2026 (C)		962		952
Voya CLO, Ser 2018-3A, Cl A2R
2.535%, VAR ICE LIBOR USD 3 Month+1.400%, 10/18/2031 (C)		818		776
Voya CLO, Ser 2020-2A, Cl A1RR
2.155%, VAR ICE LIBOR USD 3 Month+1.020%, 04/17/2030 (C)		4,404		4,324
VSE VOI Mortgage, Ser 2017-A, Cl A
2.330%, 03/20/2035 (C)		1,335		1,274
				172,538
Total Asset-Backed Securities (Cost $249,800) ($ Thousands)				247,651
CORPORATE OBLIGATIONS — 5.9%
Communication Services — 0.4%
AT&T Inc
2.305%, VAR ICE LIBOR USD 3 Month+0.930%, 06/30/2020		750		750
Comcast
1.873%, VAR ICE LIBOR USD 3 Month+0.440%, 10/01/2021		700		702
Diamond Sports Group LLC
5.375%, 08/15/2026 (C)		1,501		1,193

SEI Institutional Investments Trust / Annual Report / May 31, 2020 135

SCHEDULE OF INVESTMENTS

May 31, 2020

Opportunistic Income Fund (Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
T-Mobile USA
6.375%, 03/01/2025	$	855	$	882
				3,527
Consumer Discretionary — 0.7%
Clarios Global
6.750%, 05/15/2025 (C)		161		167
Ford Motor Credit LLC
2.645%, VAR ICE LIBOR USD 3 Month+1.270%, 03/28/2022		500		455
0.986%, VAR ICE LIBOR USD 3 Month+0.430%, 11/02/2020		500		491
General Motors Financial
1.041%, VAR ICE LIBOR USD 3 Month+0.540%, 11/06/2020		500		494
IRB Holding
7.000%, 06/15/2025 (C)		567		588
Marriott International
1.649%, VAR ICE LIBOR USD 3 Month+0.650%, 03/08/2021		350		341
0.950%, VAR ICE LIBOR USD 3 Month+0.600%, 12/01/2020		475		469
Nissan Motor Acceptance MTN
2.201%, VAR ICE LIBOR USD 3 Month+0.890%, 01/13/2022 (C)		800		732
Six Flags Theme Parks
7.000%, 07/01/2025 (C)		352		374
Truck Hero
8.500%, 04/21/2024 (C)		1,114		1,036
Volkswagen Group of America Finance LLC
2.500%, 09/24/2021 (C)		200		201
1.375%, VAR ICE LIBOR USD 3 Month+0.940%, 11/12/2021 (C)		300		295
1.204%, VAR ICE LIBOR USD 3 Month+0.770%, 11/13/2020 (C)		2,000		1,992
				7,635
Consumer Staples — 0.4%
Albertsons
6.625%, 06/15/2024		1,520		1,572
ERAC USA Finance LLC, 171182
5.250%, 10/01/2020 (C)		499		504
GEMS MENASA Cayman
7.125%, 07/31/2026 (C)		587		535
Howard University
2.801%, 10/01/2023		240		245
2.638%, 10/01/2021		100		101
Kraft Heinz Foods
1.268%, VAR ICE LIBOR USD 3 Month+0.820%, 08/10/2022		700		686
				3,643

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Energy — 0.1%
MPLX
1.899%, VAR ICE LIBOR USD 3 Month+0.900%, 09/09/2021	$	150	$	145
Occidental Petroleum
1.684%, VAR ICE LIBOR USD 3 Month+1.250%, 08/13/2021		300		286
1.398%, VAR ICE LIBOR USD 3 Month+0.950%, 02/08/2021		300		289
Phillips 66
0.960%, VAR ICE LIBOR USD 3 Month+0.600%, 02/26/2021		400		399
				1,119
Financials — 2.3%
ABN AMRO Bank MTN
1.545%, VAR ICE LIBOR USD 3 Month+0.410%, 01/19/2021 (C)		750		751
Assurant
2.482%, VAR ICE LIBOR USD 3 Month+1.250%, 03/26/2021		97		96
Bank of America MTN
2.295%, VAR ICE LIBOR USD 3 Month+1.160%, 01/20/2023		550		551
2.289%, VAR ICE LIBOR USD 3 Month+1.180%, 10/21/2022		625		628
Bank of Montreal MTN
0.837%, VAR United States Secured Overnight Financing Rate+0.680%, 03/10/2023		350		343
BPCE MTN
1.578%, VAR ICE LIBOR USD 3 Month+1.220%, 05/22/2022 (C)		550		549
Canadian Imperial Bank of Commerce
0.842%, VAR United States Secured Overnight Financing Rate+0.800%, 03/17/2023		300		294
Capital One Bank USA
2.014%, VAR United States Secured Overnight Financing Rate+0.616%, 01/27/2023		300		300
Citizens Bank
1.170%, VAR ICE LIBOR USD 3 Month+0.810%, 05/26/2022		1,025		1,019
Cooperatieve Rabobank UA
2.141%, VAR ICE LIBOR USD 3 Month+0.830%, 01/10/2022		1,000		1,007
Credit Suisse Group Funding Guernsey
3.125%, 12/10/2020		450		455
Credit Suisse NY
0.505%, VAR United States Secured Overnight Financing Rate+0.450%, 02/04/2022		600		593

136 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Danske Bank
3.001%, VAR ICE LIBOR USD 3 Month+1.249%, 09/20/2022 (C)	$	250	$	252
Deutsche Bank NY
2.700%, 07/13/2020		250		250
1.913%, VAR ICE LIBOR USD 3 Month+0.815%, 01/22/2021		550		540
Goldman Sachs Group
2.101%, VAR ICE LIBOR USD 3 Month+1.110%, 04/26/2022		750		751
1.562%, VAR ICE LIBOR USD 3 Month+1.170%, 11/15/2021		930		932
HSBC Holdings
1.434%, VAR ICE LIBOR USD 3 Month+0.650%, 09/11/2021		550		550
ING Groep
2.525%, VAR ICE LIBOR USD 3 Month+1.150%, 03/29/2022		700		700
JPMorgan Chase
2.046%, VAR ICE LIBOR USD 3 Month+1.205%, 10/29/2020		198		199
Marsh & McLennan
3.500%, 12/29/2020		95		97
Metropolitan Life Global Funding I MTN
0.616%, VAR United States Secured Overnight Financing Rate+0.570%, 01/13/2023 (C)		350		342
Mizuho Financial Group
0.990%, VAR ICE LIBOR USD 3 Month+0.630%, 05/25/2024		525		506
Morgan Stanley
2.315%, VAR ICE LIBOR USD 3 Month+1.180%, 01/20/2022		625		627
Morgan Stanley MTN
0.751%, VAR United States Secured Overnight Financing Rate+0.700%, 01/20/2023		400		392
National Australia Bank
1.875%, 12/13/2022		250		257
Nationwide Building Society
2.000%, 01/27/2023 (C)		200		204
NFP
7.000%, 05/15/2025 (C)		733		760
PNC Bank
1.429%, VAR ICE LIBOR USD 3 Month+0.430%, 12/09/2022		300		296
0.685%, VAR ICE LIBOR USD 3 Month+0.325%, 02/24/2023		350		346
Regions Bank
0.934%, VAR ICE LIBOR USD 3 Month+0.500%, 08/13/2021		400		397
Santander UK
2.100%, 01/13/2023		200		205

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Springleaf Finance
8.875%, 06/01/2025	$	2,095	$	2,179
Standard Chartered
2.744%, VAR ICE LIBOR USD 3 Month+1.200%, 09/10/2022 (C)		345		347
Toronto-Dominion Bank MTN
0.532%, VAR United States Secured Overnight Financing Rate+0.480%, 01/27/2023		250		244
UBS MTN
2.430%, VAR ICE LIBOR USD 3 Month+0.850%, 06/01/2020		900		900
UniCredit MTN
6.572%, 01/14/2022 (C)		350		365
Wells Fargo
2.130%, VAR ICE LIBOR USD 3 Month+1.110%, 01/24/2023		550		549
Zions Bancorp
3.350%, 03/04/2022		2,000		2,024
				21,797
Health Care — 0.4%
Becton Dickinson
2.250%, VAR ICE LIBOR USD 3 Month+0.875%, 12/29/2020		375		375
Cardinal Health
1.511%, VAR ICE LIBOR USD 3 Month+0.770%, 06/15/2022		975		956
Cigna
1.493%, VAR ICE LIBOR USD 3 Month+0.650%, 09/17/2021		400		398
CVS Health
1.719%, VAR ICE LIBOR USD 3 Month+0.720%, 03/09/2021		540		541
Jaguar Holding II
5.000%, 06/15/2028 (C)		630		653
Molina Healthcare
4.375%, 06/15/2028 (C)		865		874
Sutter Health
2.286%, 08/15/2053		225		225
Teleflex
4.250%, 06/01/2028 (C)		133		137
				4,159
Industrials — 0.6%
AerCap Ireland Capital DAC
4.450%, 12/16/2021		2,000		1,900
Ardagh Packaging Finance
5.250%, 04/30/2025 (C)		573		598
BAE Systems Holdings
2.850%, 12/15/2020 (C)		–		–

SEI Institutional Investments Trust / Annual Report / May 31, 2020 137

SCHEDULE OF INVESTMENTS

May 31, 2020

Opportunistic Income Fund (Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Clark Equipment
5.875%, 06/01/2025 (C)	$	247	$	255
DAE Funding LLC
5.250%, 11/15/2021 (C)		325		306
GE Capital International Funding Unlimited
2.342%, 11/15/2020		575		579
GFL Environmental
8.500%, 05/01/2027 (C)		990		1,085
L3Harris Technologies
1.593%, VAR ICE LIBOR USD 3 Month+0.750%, 03/10/2023		350		348
Otis Worldwide
2.088%, VAR ICE LIBOR USD 3 Month+0.450%, 04/05/2023 (C)		360		355
PowerTeam Services LLC
9.033%, 12/04/2025 (C)		400		405
WESCO Distribution
7.250%, 06/15/2028 (C)(D)		340		337
7.125%, 06/15/2025 (C)(D)		339		339
XPO Logistics
6.250%, 05/01/2025 (C)		380		396
				6,903
Information Technology — 0.2%
Hewlett Packard Enterprise
2.093%, VAR ICE LIBOR USD 3 Month+0.720%, 10/05/2021		300		296
Microchip Technology
3.922%, 06/01/2021		325		331
Science Applications International
4.875%, 04/01/2028 (C)		527		539
Tempo Acquisition LLC
5.750%, 06/01/2025 (C)		441		460
				1,626
Materials — 0.3%
International Flavors & Fragrances
3.400%, 09/25/2020		200		201
Owens-Brockway Glass Container
6.625%, 05/13/2027 (C)		291		306
6.375%, 08/15/2025 (C)		1,940		2,032
Venator Finance Sarl
9.500%, 07/01/2025 (C)		324		326
				2,865
Utilities — 0.5%
Dominion Energy
2.450%, 01/15/2023 (C)		250		259
Duquesne Light Holdings
6.400%, 09/15/2020 (C)		1,000		1,016
Edison International
3.125%, 11/15/2022		2,000		2,059

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
NRG Energy
7.250%, 05/15/2026	$	155	$	167
Southern Power
1.666%, VAR ICE LIBOR USD 3 Month+0.550%, 12/20/2020 (C)		375		374
Texas Energy (Escrow Security)
4.221%, 12/31/2034 (D)		–		–
Vistra Operations LLC
4.300%, 07/15/2029 (C)		849		878
				4,753
Total Corporate Obligations (Cost $58,287) ($ Thousands)				58,027
U.S. TREASURY OBLIGATIONS — 0.7%
U.S. Treasury Bills
0.160%, 05/20/2021 (F)		850		849
U.S. Treasury Notes
2.875%, 11/15/2021		2,500		2,598
2.375%, 03/15/2022		1,000		1,039
2.000%, 05/31/2024		2,000		2,139
Total U.S. Treasury Obligations (Cost $6,432) ($ Thousands)				6,625
MUNICIPAL BONDS — 0.3%
California — 0.1%
California State, GO
Callable 10/01/2021 @ 100 1.110%, 04/01/2047 (A)		925		923
Ohio — 0.2%
Buckeye, Tobacco Settlement Financing Authority, RB
1.850%, 06/01/2029		1,500		1,500
Texas — 0.0%
Central Texas, Turnpike System, Ser B, RB
1.980%, 08/15/2042 (A)		190		190
Total Municipal Bonds (Cost $2,615) ($ Thousands)				2,613

138 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.1%
FFCB
1.900%, 06/24/2021	$	470	$	478
0.530%, 01/18/2022		500		502
Total U.S. Government Agency Obligations (Cost $977) ($ Thousands)				980
	Number of Warrants
WARRANTS — 0.0%
Lion Holdings, Expires 12/30/2027 Strike Price $– *(D) (G)		29,715		–
Total Warrants (Cost $—) ($ Thousands)				–
	Shares
COMMON STOCK — 0.0%
TE Holdcorp *(D)		102,547		–
Total Common Stock (Cost $3,176) ($ Thousands)				–
PREFERRED STOCK — 0.0%
TE Holdcorp *(D) (H)		179,484		–
Total Preferred Stock (Cost $1,427) ($ Thousands)				–
CASH EQUIVALENT — 6.4%
SEI Daily Income Trust, Government Fund, Cl F
0.090%**†		62,317,122		62,317
Total Cash Equivalent (Cost $62,317) ($ Thousands)				62,317

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
REPURCHASE AGREEMENT — 0.2%
BNP Paribas
0.070%, dated 05/29/20, to be repurchased on 06/01/20, repurchase price $1,800,010 (collateralized by U.S. Government and Treasury obligations, ranging in par value $100 - $1,674,355, 2.103% - 4.500%, 06/01/43 - 02/01/49; total market value $1,836,000) (I)	$	1,800	$	1,800
Total Repurchase Agreement (Cost $1,800) ($ Thousands)				1,800
Total Investments in Securities — 103.0% (Cost $1,040,602) ($ Thousands)			$	1,004,732

SEI Institutional Investments Trust / Annual Report / May 31, 2020 139

SCHEDULE OF INVESTMENTS

May 31, 2020

Opportunistic Income Fund (Concluded)

A list of the open futures contracts held by the Fund at May 31, 2020, is as follows:

Type of Contract	Number of Contracts Long/(Short)		Expiration   Date		Notional Amount (Thousands)		Value (Thousands)		Unrealized Appreciation (Depreciation) (Thousands)
U.S. 10-Year Treasury Note		25		Sep-2020	$	3,473	$	3,477	$	4
U.S. 10-Year Treasury Note		(13)		Sep-2020		(1,802)		(1,808)		(6)
U.S. 2-Year Treasury Note		(114)		Oct-2020		(25,172)		(25,176)		(4)
U.S. 5-Year Treasury Note		(43)		Oct-2020		(5,401)		(5,402)		(1)
U.S. 5-Year Treasury Note		(5)		Oct-2020		(627)		(628)		(1)
U.S. Long Treasury Bond		(1)		Sep-2020		(177)		(178)		(1)
					$	(29,706)	$	(29,715)	$	(9)

Percentages are based on Net Assets of $975,466 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2020.

^†  Investment in Affiliated Security (see Note 6).

(A) Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets.

(B) Security, or portion thereof, has been pledged as collateral on open futures contracts.

(C) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On May 31, 2020, the value of these securities amounted to $341,975 ($ Thousands), representing 35.1% of the Net Assets of the Fund.

(D) Level 3 security in accordance with fair value hierarchy.

(E) Unsettled bank loan. Interest rate may not be available.

(F) Zero coupon security. The rate shown on the Schedule of Investments is the security’s effective yield at the time of purchase.

(G) Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of May 31, 2020 was $- ($ Thousands) and represented 0.0% of the Net Assets of the Fund.

(H) There is currently no rate available.

(I) Tri-Party Repurchase Agreement.

ARM — Adjustable Rate Mortgage

Cl — Class

CLO — Collateralized Loan Obligation

CMO — Collateralized Mortgage Obligation

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

FREMF— Freddie Mac Multi-Family

GNMA — Government National Mortgage Association

GO — General Obligation

ICE— Intercontinental Exchange

IO — Interest

Only — face amount represents notional amount.

LIBOR— London Interbank Offered Rate

LLC — Limited Liability Company

LP — Limited Partnership

Ltd. — Limited

MTN — Medium Term Note

NCUA — National Credit Union Association

RB — Revenue Bond

REIT — Real Estate investment Trust

REMIC — Real Estate Mortgage Investment Conduit

Ser — Series

USD — United States Dollar

VAR — Variable Rate

The following is a list of the level of inputs used as of May 31, 2020, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1   ($)		Level 2   ($)		Level 3   ($)		Total   ($)
Mortgage-Backed Securities		–		338,658		–		338,658
Loan Participations		–		262,938		23,123		286,061
Asset-Backed Securities		–		247,651		–		247,651
Corporate Obligations		–		57,351		676		58,027
U.S. Treasury Obligations		–		6,625		–		6,625
Municipal Bonds		–		2,613		–		2,613
U.S. Government Agency Obligations		–		980		–		980
Warrants		–		–		–		–
Common Stock		–		–		–		–
Preferred Stock		–		–		–		–
Cash Equivalent		62,317		–		–		62,317
Repurchase Agreement		–		1,800		–		1,800
Total Investments in Securities		62,317		918,616		23,799		1,004,732

Other Financial Instruments	Level 1     ($)			Level 2     ($)		Level 3     ($)		Total     ($)
Futures Contracts*
Unrealized Appreciation		4			–		–		4
Unrealized Depreciation		(13	)		–		–		(13	)
Total Other Financial Instruments		(9	)		–		–		(9	)

* Futures contracts are valued at the unrealized appreciation/(depreciation) on the instrument.

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands).

	Investments in Corporate Obligations			Investments in Loan Participations
Balance as of June 1, 2019	$	–		$	13,771
Accrued discounts/premiums		1			(435	)
Realized gain/(loss)		11			(121	)
Change in unrealized appreciation/ (depreciation)		(1	)		1,581
Purchases		1,047			2,176
Sales		(382	)		(6,804	)
Net transfer into Level 3		–			20,618
Net transfer out of Level 3		–			(7,663	)
Ending Balance as of May 31, 2020	$	676		$	23,123
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date	$	(1	)	$	1,581

140 SEI Institutional Investments Trust / Annual Report / May 31, 2020

For the year ended May 31, 2020, there were transfers in and out of Level 3 assets and liabilities. The transfers were due to changes in the availability of observable inputs used to determine fair value.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

The following is a summary of the Fund’s transactions with affiliates for the year ended May 31, 2020 ($ Thousands):

Security Description	Value 5/31/2019	Purchases at Cost	Proceeds from Sales	Realized Gain/ (Loss)	Change in Unrealized Appreciation/ (Depreciation)	Value 5/31/2020	Shares	Income	Capital Gains
SEI Daily Income Trust, Government Fund, Cl F	$ 72,574	$ 677,798	$ (688,055)	$ –	$ –	$ 62,317	62,317,122	$ 492	$ –

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, 2020 141

SCHEDULE OF INVESTMENTS

May 31, 2020

Core Fixed Income Fund

Sector Weightings (Unaudited)^†:

^†Percentages are based on total investments.

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES — 39.1%
Agency Mortgage-Backed Obligations — 34.6%
FHLMC
10.000%, 03/17/2026	$	2	$	2
7.500%, 08/01/2030 to 12/01/2036		377		438
7.000%, 05/01/2024 to 03/01/2039		107		124
6.500%, 10/01/2031 to 09/01/2039		685		798
6.000%, 09/01/2021 to 08/01/2038		762		849
5.500%, 02/01/2035 to 12/01/2038		1,944		2,265
5.000%, 06/01/2020 to 03/01/2050		27,227		30,207
4.500%, 11/01/2025 to 03/01/2050		55,780		61,367
4.500%, 04/01/2048 to 03/01/2049		166		180
4.000%, 02/01/2034 to 03/01/2050		128,743		141,025
3.500%, 03/01/2033 to 03/01/2050		186,895		202,141
3.500%, 01/01/2050		148		161
3.000%, 03/01/2031 to 03/01/2050		96,817		102,800
3.000%, 02/01/2050 to 03/01/2050		47		49
2.500%, 05/01/2031 to 03/01/2050		21,086		22,039
FHLMC ARM
4.122%, VAR ICE LIBOR USD 12 Month+2.330%, 05/01/2036		55		59
3.932%, VAR ICE LIBOR USD 12 Month+1.943%, 12/01/2036		60		63
3.845%, VAR ICE LIBOR USD 12 Month+1.595%, 10/01/2036		12		12
FHLMC Multiclass Certificates, Ser RR02, Cl BX, IO
1.666%, 01/31/2169 (A)		2,000		228
FHLMC Multifamily Structured Pass Through Certificates, Ser 1513, Cl A3
2.797%, 08/25/2034		200		225

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
FHLMC Multifamily Structured Pass Through Certificates, Ser K047, Cl A2
3.329%, 05/25/2025 (A)	$	605	$	674
FHLMC Multifamily Structured Pass-Through Certificates, Ser 1514, Cl A2
2.859%, 10/25/2034		825		921
FHLMC Multifamily Structured Pass-Through Certificates, Ser K016, Cl X1, IO
1.478%, 10/25/2021 (A)		445		7
FHLMC Multifamily Structured Pass-Through Certificates, Ser K021, Cl A1
1.603%, 01/25/2022		123		124
FHLMC Multifamily Structured Pass-Through Certificates, Ser K029, Cl A1
2.839%, 10/25/2022		82		83
FHLMC Multifamily Structured Pass-Through Certificates, Ser K032, Cl X1, IO
0.094%, 05/25/2023 (A)		60,651		193
FHLMC Multifamily Structured Pass-Through Certificates, Ser K091, Cl X1, IO
0.559%, 03/25/2029 (A)		3,945		172
FHLMC Multifamily Structured Pass-Through Certificates, Ser K091, Cl A2
3.505%, 03/25/2029		950		1,113
FHLMC Multifamily Structured Pass-Through Certificates, Ser K092, Cl X1, IO
0.709%, 04/25/2029 (A)		9,990		532
FHLMC Multifamily Structured Pass-Through Certificates, Ser K093, Cl X1, IO
0.952%, 05/25/2029 (A)		3,993		281
FHLMC Multifamily Structured Pass-Through Certificates, Ser K094, Cl X1, IO
0.881%, 06/25/2029 (A)		2,998		198
FHLMC Multifamily Structured Pass-Through Certificates, Ser K094, Cl XAM, IO
1.148%, 06/25/2029 (A)		4,850		437
FHLMC Multifamily Structured Pass-Through Certificates, Ser K095, Cl X1, IO
0.949%, 06/25/2029 (A)		2,396		168
FHLMC Multifamily Structured Pass-Through Certificates, Ser K095, Cl XAM, IO
1.238%, 06/25/2029 (A)		700		67
FHLMC Multifamily Structured Pass-Through Certificates, Ser K099, Cl X1, IO
1.006%, 09/25/2029 (A)		1,089		73
FHLMC Multifamily Structured Pass-Through Certificates, Ser K101, Cl X1, IO
0.837%, 10/25/2029 (A)		1,199		77
FHLMC Multifamily Structured Pass-Through Certificates, Ser K157, Cl A3
3.990%, 08/25/2033 (A)		4,400		5,424

142 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
FHLMC Multifamily Structured Pass-Through Certificates, Ser K158, Cl A3
3.900%, 10/25/2033 (A)	$	3,345	$	4,095
FHLMC Multifamily Structured Pass-Through Certificates, Ser K726, Cl X1, IO
0.879%, 04/25/2024 (A)		12,454		338
FHLMC Multifamily Structured Pass-Through Certificates, Ser K735, Cl X1, IO
0.965%, 05/25/2026 (A)		2,398		115
FHLMC Multifamily Structured Pass-Through Certificates, Ser K736, Cl X1, IO
1.312%, 07/25/2026 (A)		2,000		129
FHLMC Multifamily Structured Pass-Through Certificates, Ser K737, Cl X1, IO
0.638%, 10/25/2026 (A)		6,997		243
FHLMC Multifamily Structured Pass-Through Certificates, Ser KC03, Cl A2
3.499%, 01/25/2026		1,730		1,885
FHLMC Multifamily Structured Pass-Through Certificates, Ser KC05, Cl X1, IO
1.204%, 06/25/2027 (A)		3,498		212
FHLMC Multifamily Structured Pass-Through Certificates, Ser KL4F, Cl A2AS
3.683%, 10/25/2025 (A)		7,210		8,197
FHLMC Multifamily Structured Pass-Through Certificates, Ser KLU1, Cl A4
2.854%, 01/25/2031		1,115		1,220
FHLMC Multifamily Structured Pass-Through Certificates, Ser KS07, Cl A2
2.735%, 09/25/2025		1,365		1,459
FHLMC Multifamily Structured Pass-Through Certificates, Ser X3FX, Cl A2FX
3.000%, 06/25/2027		2,210		2,349
FHLMC Reference REMIC CMO, Ser 2006- R007, Cl ZA
6.000%, 05/15/2036		978		1,166
FHLMC REMIC CMO, Ser 1999-2174, Cl PN
6.000%, 07/15/2029		12		13
FHLMC REMIC CMO, Ser 2001-2312, Cl Z
6.500%, 05/15/2031		121		135
FHLMC REMIC CMO, Ser 2002-2399, Cl XG
6.500%, 01/15/2032		33		39
FHLMC REMIC CMO, Ser 2003-2671, Cl S
14.422%, VAR ICE LIBOR USD 1 Month+14.758%, 09/15/2033		45		65
FHLMC REMIC CMO, Ser 2003-2684, Cl ZN
4.000%, 10/15/2033		100		110
FHLMC REMIC CMO, Ser 2004-2733, Cl ME
5.000%, 01/15/2034		231		267
FHLMC REMIC CMO, Ser 2007-3316, Cl JO, PO
0.000%, 05/15/2037 (B)		5		5

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
FHLMC REMIC CMO, Ser 2008-3451, Cl SB, IO
5.791%, VAR ICE LIBOR USD 1 Month+6.030%, 05/15/2038	$	204	$	32
FHLMC REMIC CMO, Ser 2009-3546, Cl A
3.638%, 02/15/2039 (A)		57		59
FHLMC REMIC CMO, Ser 2010-3621, Cl SB, IO
6.046%, VAR ICE LIBOR USD 1 Month+6.230%, 01/15/2040		95		20
FHLMC REMIC CMO, Ser 2011-3866, Cl SA, IO
5.766%, VAR ICE LIBOR USD 1 Month+5.950%, 05/15/2041		587		85
FHLMC REMIC CMO, Ser 2012-4010, Cl KM
3.000%, 01/15/2042		655		699
FHLMC REMIC CMO, Ser 2012-4030, Cl HS, IO
6.426%, VAR ICE LIBOR USD 1 Month+6.610%, 04/15/2042		57		12
FHLMC REMIC CMO, Ser 2012-4102, Cl TC
2.500%, 09/15/2041		2,290		2,381
FHLMC REMIC CMO, Ser 2012-4119, Cl IN, IO
3.500%, 10/15/2032		495		51
FHLMC REMIC CMO, Ser 2013-4161, Cl BA
2.500%, 12/15/2041		5,249		5,441
FHLMC REMIC CMO, Ser 2013-4194, Cl BI, IO
3.500%, 04/15/2043		403		40
FHLMC REMIC CMO, Ser 2013-4205, Cl PA
1.750%, 05/15/2043		1,279		1,315
FHLMC REMIC CMO, Ser 2013-4210, Cl Z
3.000%, 05/15/2043		1,691		1,742
FHLMC REMIC CMO, Ser 2013-4227, Cl VA
3.500%, 10/15/2037		1,300		1,391
FHLMC REMIC CMO, Ser 2014-4368, Cl CA
3.750%, 11/15/2036		766		798
FHLMC REMIC CMO, Ser 2015-4426, Cl QC
1.750%, 07/15/2037		2,099		2,164
FHLMC REMIC CMO, Ser 2015-4479, Cl HA
3.750%, 05/15/2039		1,976		2,060
FHLMC REMIC CMO, Ser 2017-4705, Cl A
4.500%, 09/15/2042		1,573		1,632
FHLMC REMIC CMO, Ser 2017-4742, Cl PA
3.000%, 10/15/2047		5,568		5,896
FHLMC REMIC CMO, Ser 2018-4763, Cl CA
3.000%, 09/15/2038		576		620
FHLMC REMIC CMO, Ser 2018-4767, Cl KA
3.000%, 03/15/2048		1,253		1,354
FHLMC REMIC CMO, Ser 2018-4786, Cl DP
4.500%, 07/15/2042		895		906
FHLMC REMIC CMO, Ser 2018-4796, Cl AK
3.000%, 05/15/2048		326		326
FHLMC REMIC CMO, Ser 2018-4802, Cl A
3.000%, 06/15/2048		266		279
FHLMC REMIC CMO, Ser 2018-4813, Cl CJ
3.000%, 08/15/2048		1,517		1,567

SEI Institutional Investments Trust / Annual Report / May 31, 2020 143

SCHEDULE OF INVESTMENTS

May 31, 2020

Core Fixed Income Fund (Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
FHLMC REMIC CMO, Ser 2018-4846, Cl PF
0.534%, VAR ICE LIBOR USD 1 Month+0.350%, 12/15/2048	$	570	$	569
FHLMC REMIC CMO, Ser 2019-4880, Cl DA
3.000%, 05/15/2050		2,614		2,796
FHLMC STRIPS CMO, Ser 2012-264, Cl 30
3.000%, 07/15/2042		4,376		4,729
FHLMC STRIPS CMO, Ser 2012-271, Cl 30
3.000%, 08/15/2042		1,795		1,956
FHLMC STRIPS CMO, Ser 2015-343, Cl F4
1.335%, VAR ICE LIBOR USD 1 Month+0.350%, 10/15/2037		1,724		1,716
FHLMC STRIPS CMO, Ser 2016-353, Cl S1, IO
5.816%, VAR ICE LIBOR USD 1 Month+6.000%, 12/15/2046		965		203
FHLMC STRIPS CMO, Ser 2017-356, Cl 300
3.000%, 09/15/2047		4,782		5,051
FNMA
8.000%, 05/01/2023 to 06/01/2031		30		35
7.500%, 06/01/2030 to 11/01/2038		172		202
7.000%, 09/01/2026 to 02/01/2039		979		1,157
6.500%, 12/01/2022 to 10/01/2037		485		546
6.000%, 02/01/2032 to 10/01/2040		2,646		3,042
5.500%, 12/01/2033 to 06/01/2049		13,922		16,117
5.000%, 08/01/2020 to 12/01/2049		102,772		115,853
4.500%, 07/01/2047 to 01/01/2050		806		878
4.500%, 07/01/2020 to 01/01/2059		143,826		159,533
4.342%, 06/01/2021 (A)		2,573		2,654
4.300%, 11/01/2021 (A)		3,055		3,110
4.200%, 01/01/2029		1,665		1,943
4.000%, 07/01/2020 to 01/01/2059		243,983		266,646
3.980%, 08/01/2021		3,932		4,012
3.820%, 07/01/2027		250		283
3.790%, 12/01/2025		3,185		3,476
3.500%, 07/01/2029 to 03/01/2057		137,672		147,107
3.500%, 03/01/2050		80		88
3.490%, 02/01/2033		3,000		3,481
3.380%, 05/01/2028		120		137
3.310%, 03/01/2028		1,905		2,120
3.260%, 05/01/2029		200		231
3.210%, 11/01/2037		4,592		5,233
3.160%, 05/01/2029		326		373
3.080%, 01/01/2028		160		177
3.070%, 01/01/2029		180		204
3.050%, 05/01/2024		1,016		1,082
3.040%, 06/01/2029		1,000		1,137
3.020%, 06/01/2024 to 05/01/2026		3,400		3,588
3.000%, 02/01/2050		14		15
3.000%, 05/01/2029 to 05/01/2050		160,568		170,453
2.870%, 07/01/2031		100		113
2.850%, 08/01/2031		510		571
2.840%, 08/01/2031		400		450

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
2.820%, 06/01/2022	$	2,649	$	2,722
2.810%, 04/01/2025 to 08/01/2031		550		605
2.790%, 08/01/2029		600		673
2.770%, 08/01/2031		600		667
2.765%, 08/01/2031		900		999
2.696%, 04/01/2023 (A)		174		182
2.670%, 09/01/2031		100		111
2.500%, 02/01/2023 to 05/01/2050		36,391		37,833
2.455%, 04/01/2040		3,020		3,055
2.320%, 02/01/2032		200		215
2.300%, 02/01/2030		200		216
2.260%, 02/01/2030 to 04/01/2030		1,398		1,508
2.240%, 10/01/2031		300		321
2.140%, 04/01/2030		200		214
2.060%, 03/01/2030		499		530
1.950%, 04/01/2032		200		207
1.850%, 04/01/2032		200		204
FNMA ACES, Ser 2014-M3, Cl X2, IO
0.095%, 01/25/2024 (A)		32,264		345
FNMA ACES, Ser 2016-M11, Cl AL
2.944%, 07/25/2039		493		502
FNMA ACES, Ser 2017-M7, Cl A2
2.961%, 02/25/2027 (A)		751		828
FNMA ACES, Ser 2017-M8, Cl A2
3.061%, 05/25/2027 (A)		200		220
FNMA ACES, Ser M15, Cl 1A2
3.700%, 01/25/2036		600		681
FNMA ACES, Ser M27, Cl A2
2.700%, 11/25/2040		400		444
FNMA ACES, Ser M28, Cl AV
2.232%, 02/25/2027		1,693		1,801
FNMA ACES, Ser M4, Cl A2
3.610%, 02/25/2031		730		854
FNMA ACES, Ser M5, Cl A2
3.273%, 01/25/2029		1,370		1,542
FNMA ACES, Ser M6, Cl A
2.500%, 10/25/2037		197		213
FNMA ACES, Ser M6, Cl A2
3.450%, 01/01/2029		1,520		1,719
FNMA ACES, Ser M8, Cl X2, IO
0.133%, 01/25/2025 (A)		76,141		410
FNMA ARM
3.594%, VAR ICE LIBOR USD 12 Month+1.594%, 12/01/2035		26		26
3.565%, VAR ICE LIBOR USD 12 Month+1.565%, 05/01/2037		3		3
2.754%, VAR ICE LIBOR USD 12 Month+1.579%, 06/01/2045		1,505		1,559
2.661%, VAR ICE LIBOR USD 12 Month+1.586%, 01/01/2046		5,435		5,618

144 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
FNMA Interest STRIPS CMO, Ser 2002-323, Cl 16, IO
7.000%, 01/25/2032	$	153	$	25
FNMA Interest STRIPS CMO, Ser 2003-334, Cl 16, IO
6.500%, 02/25/2033		206		43
FNMA Interest STRIPS CMO, Ser 2012-409, Cl C1, IO
3.000%, 11/25/2026		1,223		74
FNMA Interest STRIPS CMO, Ser 2012-409, Cl C13, IO
3.500%, 11/25/2041		743		90
FNMA Interest STRIPS CMO, Ser 2012-409, Cl C17, IO
4.000%, 11/25/2041		818		126
FNMA Interest STRIPS CMO, Ser 2012-409, Cl C2, IO
3.000%, 04/25/2027		934		53
FNMA Interest STRIPS CMO, Ser 2012-409, Cl C22, IO
4.500%, 11/25/2039		737		105
FNMA Interest STRIPS CMO, Ser 2012-411, Cl A3
3.000%, 08/25/2042		2,936		3,102
FNMA Interest STRIPS CMO, Ser 2012-414, Cl A35
3.500%, 10/25/2042		4,010		4,503
FNMA REMIC CMO, Ser 1992-143, Cl M
8.000%, 09/25/2022		24		25
FNMA REMIC CMO, Ser 1992-69, Cl Z
8.000%, 05/25/2022		21		22
FNMA REMIC CMO, Ser 1993-149, Cl SH
11.500%, VAR ICE LIBOR USD 1 Month+65.406%, 08/25/2023		21		24
FNMA REMIC CMO, Ser 1993-99, Cl Z
7.000%, 07/25/2023		99		105
FNMA REMIC CMO, Ser 1994-31, Cl ZC
6.500%, 02/25/2024		78		85
FNMA REMIC CMO, Ser 1994-63, Cl PK
7.000%, 04/25/2024		79		86
FNMA REMIC CMO, Ser 1997-32, Cl PG
6.500%, 04/25/2027		88		98
FNMA REMIC CMO, Ser 1999-11, Cl Z
5.500%, 03/25/2029		103		110
FNMA REMIC CMO, Ser 2001-52, Cl YZ
6.500%, 10/25/2031		16		19
FNMA REMIC CMO, Ser 2003-124, Cl TS
9.800%, VAR ICE LIBOR USD 1 Month+100.800%, 01/25/2034		9		11
FNMA REMIC CMO, Ser 2005-29, Cl ZA
5.500%, 04/25/2035		316		375

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
FNMA REMIC CMO, Ser 2005-74, Cl CS
19.557%, VAR ICE LIBOR USD 1 Month+20.020%, 05/25/2035	$	67	$	88
FNMA REMIC CMO, Ser 2006-104, Cl MI, IO
6.582%, VAR ICE LIBOR USD 1 Month+6.750%, 11/25/2036		628		77
FNMA REMIC CMO, Ser 2006-125, Cl SM, IO
7.032%, VAR ICE LIBOR USD 1 Month+7.200%, 01/25/2037		396		92
FNMA REMIC CMO, Ser 2006-33, Cl LS
29.393%, VAR ICE LIBOR USD 1 Month+30.150%, 05/25/2036		64		113
FNMA REMIC CMO, Ser 2006-46, Cl SW
23.582%, VAR ICE LIBOR USD 1 Month+24.199%, 06/25/2036		52		84
FNMA REMIC CMO, Ser 2006-51, Cl SP, IO
6.482%, VAR ICE LIBOR USD 1 Month+6.650%, 03/25/2036		67		10
FNMA REMIC CMO, Ser 2007-64, Cl FA
0.638%, VAR ICE LIBOR USD 1 Month+0.470%, 07/25/2037		9		9
FNMA REMIC CMO, Ser 2007-68, Cl SC, IO
6.532%, VAR LIBOR USD 1 Month+6.700%, 07/25/2037		147		34
FNMA REMIC CMO, Ser 2008-22, Cl SI, IO
6.262%, VAR ICE LIBOR USD 1 Month+6.430%, 03/25/2037		915		32
FNMA REMIC CMO, Ser 2008-24, Cl NA
6.750%, 06/25/2037		16		19
FNMA REMIC CMO, Ser 2009-103, Cl MB
3.937%, 12/25/2039 (A)		100		104
FNMA REMIC CMO, Ser 2009-86, Cl BO, PO
0.000%, 03/25/2037 (B)		1,022		972
FNMA REMIC CMO, Ser 2010-123, Cl PM
4.000%, 07/25/2040		2,701		2,879
FNMA REMIC CMO, Ser 2010-150, Cl SK, IO
6.362%, VAR ICE LIBOR USD 1 Month+6.530%, 01/25/2041		554		139
FNMA REMIC CMO, Ser 2010-27, Cl AS, IO
6.312%, VAR ICE LIBOR USD 1 Month+6.480%, 04/25/2040		661		128
FNMA REMIC CMO, Ser 2011-2, Cl WA
5.852%, 02/25/2051 (A)		90		104
FNMA REMIC CMO, Ser 2011-75, Cl FA
0.718%, VAR ICE LIBOR USD 1 Month+0.550%, 08/25/2041		93		93
FNMA REMIC CMO, Ser 2011-90, Cl QI, IO
5.000%, 05/25/2034		80		–
FNMA REMIC CMO, Ser 2011-96, Cl SA, IO
6.382%, VAR ICE LIBOR USD 1 Month+6.550%, 10/25/2041		1,308		274

SEI Institutional Investments Trust / Annual Report / May 31, 2020 145

SCHEDULE OF INVESTMENTS

May 31, 2020

Core Fixed Income Fund (Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
FNMA REMIC CMO, Ser 2012-133, Cl CS, IO
5.982%, VAR ICE LIBOR USD 1 Month+6.150%, 12/25/2042	$	835	$	174
FNMA REMIC CMO, Ser 2012-134, Cl MS, IO
5.982%, VAR ICE LIBOR USD 1 Month+6.150%, 12/25/2042		349		74
FNMA REMIC CMO, Ser 2012-151, Cl NX
1.500%, 01/25/2043		1,671		1,720
FNMA REMIC CMO, Ser 2012-28, Cl B
6.500%, 06/25/2039		18		20
FNMA REMIC CMO, Ser 2012-35, Cl SC, IO
6.332%, VAR ICE LIBOR USD 1 Month+6.500%, 04/25/2042		372		77
FNMA REMIC CMO, Ser 2012-46, Cl BA
6.000%, 05/25/2042		466		546
FNMA REMIC CMO, Ser 2012-70, Cl YS, IO
6.482%, VAR ICE LIBOR USD 1 Month+6.650%, 02/25/2041		137		11
FNMA REMIC CMO, Ser 2012-74, Cl SA, IO
6.482%, VAR ICE LIBOR USD 1 Month+6.650%, 03/25/2042		598		112
FNMA REMIC CMO, Ser 2012-74, Cl OA, PO
0.000%, 03/25/2042 (B)		41		39
FNMA REMIC CMO, Ser 2012-75, Cl AO, PO
0.000%, 03/25/2042 (B)		82		78
FNMA REMIC CMO, Ser 2012-75, Cl NS, IO
6.432%, VAR ICE LIBOR USD 1 Month+6.600%, 07/25/2042		205		42
FNMA REMIC CMO, Ser 2013-101, Cl BO, PO
0.000%, 10/25/2043 (B)		1,129		1,003
FNMA REMIC CMO, Ser 2013-101, Cl CO, PO
0.000%, 10/25/2043 (B)		2,594		2,303
FNMA REMIC CMO, Ser 2013-11, Cl AP
1.500%, 01/25/2043		3,978		4,052
FNMA REMIC CMO, Ser 2013-124, Cl SB, IO
5.782%, VAR ICE LIBOR USD 1 Month+5.950%, 12/25/2043		655		129
FNMA REMIC CMO, Ser 2013-26, Cl HI, IO
3.000%, 04/25/2032		635		28
FNMA REMIC CMO, Ser 2013-30, Cl CA
1.500%, 04/25/2043		521		531
FNMA REMIC CMO, Ser 2013-43, Cl BP
1.750%, 05/25/2043		1,793		1,858
FNMA REMIC CMO, Ser 2013-54, Cl BS, IO
5.982%, VAR ICE LIBOR USD 1 Month+6.150%, 06/25/2043		399		87
FNMA REMIC CMO, Ser 2013-9, Cl CB
5.500%, 04/25/2042		1,200		1,384
FNMA REMIC CMO, Ser 2013-9, Cl BC
6.500%, 07/25/2042		1,087		1,318
FNMA REMIC CMO, Ser 2014-73, Cl MA
2.500%, 11/25/2044		1,102		1,172

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
FNMA REMIC CMO, Ser 2015-84, Cl PA
1.700%, 08/25/2033	$	5,148	$	5,325
FNMA REMIC CMO, Ser 2016-37, Cl MJ
3.500%, 08/25/2043		734		765
FNMA REMIC CMO, Ser 2016-48, Cl MA
2.000%, 06/25/2038		6,795		7,020
FNMA REMIC CMO, Ser 2016-57, Cl PC
1.750%, 06/25/2046		7,477		7,706
FNMA REMIC CMO, Ser 2016-60, Cl QS, IO
5.932%, VAR ICE LIBOR USD 1 Month+6.100%, 09/25/2046		1,257		262
FNMA REMIC CMO, Ser 2017-13, Cl PA
3.000%, 08/25/2046		1,620		1,734
FNMA REMIC CMO, Ser 2017-42, Cl H
3.000%, 11/25/2043		1,318		1,363
FNMA REMIC CMO, Ser 2017-76, Cl SB, IO
5.932%, VAR ICE LIBOR USD 1 Month+6.100%, 10/25/2057		2,309		402
FNMA REMIC CMO, Ser 2017-85, Cl SC, IO
6.032%, VAR ICE LIBOR USD 1 Month+6.200%, 11/25/2047		748		141
FNMA REMIC CMO, Ser 2018-14, Cl KC
3.000%, 03/25/2048		2,948		3,148
FNMA REMIC CMO, Ser 2018-15, Cl AB
3.000%, 03/25/2048		678		728
FNMA REMIC CMO, Ser 2018-38, Cl PA
3.500%, 06/25/2047		3,409		3,575
FNMA REMIC CMO, Ser 2018-43, Cl CT
3.000%, 06/25/2048		5,121		5,345
FNMA REMIC CMO, Ser 2018-45, Cl GA
3.000%, 06/25/2048		226		226
FNMA REMIC CMO, Ser 2018-8, Cl KL
2.500%, 03/25/2047		2,048		2,140
FNMA REMIC CMO, Ser 2018-86, Cl JA
4.000%, 05/25/2047		775		810
FNMA REMIC CMO, Ser 2019-1, Cl AB
3.500%, 02/25/2049		2,166		2,294
FNMA REMIC CMO, Ser 2019-25, Cl PA
3.000%, 05/25/2048		3,001		3,204
FNMA REMIC CMO, Ser 2019-35, Cl MB
3.000%, 07/25/2049		2,128		2,278
FNMA REMIC CMO, Ser 2019-35, Cl A
3.000%, 07/25/2049		1,592		1,673
FNMA REMIC CMO, Ser 2019-45, Cl PA
3.000%, 08/25/2049		1,411		1,499
FNMA REMIC CMO, Ser 2019-52, Cl PA
3.000%, 09/25/2049		852		873
FNMA REMIC CMO, Ser 2019-79, Cl FA
0.668%, VAR ICE LIBOR USD 1 Month+0.500%, 01/25/2050		5,014		5,027
FNMA TBA
5.000%, 06/01/2038		6,655		7,273

146 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
4.500%, 06/14/2042	$	11,214	$	12,115
4.000%, 06/15/2045		6,990		7,441
3.500%, 06/15/2026 to 06/15/2045		21,744		22,939
3.000%, 06/25/2027 to 07/01/2042		70,650		74,178
2.500%, 06/25/2027 to 08/01/2043		291,672		302,417
2.000%, 06/25/2028 to 07/16/2169		43,240		44,396
FREMF Mortgage Trust, Ser 2010-K8, Cl B
5.288%, 09/25/2043 (A)(C)		527		526
FREMF Mortgage Trust, Ser 2011-K11, Cl B
4.418%, 12/25/2048 (A)(C)		171		172
FREMF Mortgage Trust, Ser K20, Cl X2A, IO
0.200%, 05/25/2045 (C)		24,595		79
GNMA
9.500%, 12/15/2020		–		–
7.000%, 04/15/2026 to 10/15/2032		609		686
6.500%, 01/15/2024 to 07/15/2035		1,137		1,291
6.000%, 12/15/2023 to 10/20/2040		3,629		4,227
5.000%, 10/15/2039 to 04/20/2050		41,848		45,989
4.700%, 09/20/2061 (A)		1,545		1,603
4.500%, 01/20/2040 to 03/20/2050		55,297		60,343
4.272%, 01/20/2069 (A)		197		203
4.000%, 04/20/2047 to 02/20/2050		81,496		87,844
3.969%, 04/20/2063 (A)		619		634
3.500%, 06/20/2044 to 05/15/2050		57,756		61,820
3.000%, 09/15/2042 to 03/20/2050		47,669		50,364
1.770%, 05/20/2070		1,400		1,447
1.687%, 04/20/2070		400		411
GNMA ARM
3.250%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+1.500%, 07/20/2034		7		7
2.650%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+1.440%, 01/20/2060		595		606
GNMA CMO, Ser 112, IO
0.237%, 02/16/2053 (A)		5,465		66
GNMA CMO, Ser 142, IO
0.840%, 04/16/2054 (A)		15,534		357
GNMA CMO, Ser 145, IO
1.036%, 09/16/2044 (A)		5,618		209
GNMA CMO, Ser 163, IO
1.206%, 02/16/2046 (A)		7,650		371
GNMA CMO, Ser 2003-60, Cl GS
12.113%, VAR ICE LIBOR USD 1 Month+12.417%, 05/16/2033		13		15
GNMA CMO, Ser 2005-7, Cl JM
16.319%, VAR ICE LIBOR USD 1 Month+16.720%, 05/18/2034		2		2
GNMA CMO, Ser 2006-16, Cl GS, IO
6.819%, VAR ICE LIBOR USD 1 Month+6.990%, 04/20/2036		434		93

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
GNMA CMO, Ser 2007-78, Cl SA, IO
6.348%, VAR ICE LIBOR USD 1 Month+6.530%, 12/16/2037	$	2,698	$	481
GNMA CMO, Ser 2009-106, Cl KS, IO
6.229%, VAR ICE LIBOR USD 1 Month+6.400%, 11/20/2039		3,122		619
GNMA CMO, Ser 2009-66, Cl XS, IO
6.618%, VAR ICE LIBOR USD 1 Month+6.800%, 07/16/2039		25		4
GNMA CMO, Ser 2009-66, Cl LC
6.000%, 08/16/2039		1,958		2,258
GNMA CMO, Ser 2009-8, Cl PS, IO
6.118%, VAR ICE LIBOR USD 1 Month+6.300%, 08/16/2038		23		2
GNMA CMO, Ser 2010-14, Cl AO, PO
0.000%, 12/20/2032 (B)		15		15
GNMA CMO, Ser 2010-31, Cl GS, IO
6.329%, VAR ICE LIBOR USD 1 Month+6.500%, 03/20/2039		31		1
GNMA CMO, Ser 2010-4, Cl SL, IO
6.218%, VAR ICE LIBOR USD 1 Month+6.400%, 01/16/2040		94		21
GNMA CMO, Ser 2010-4, Cl NS, IO
6.208%, VAR LIBOR USD 1 Month+6.390%, 01/16/2040		4,551		966
GNMA CMO, Ser 2010-59, Cl LB
4.500%, 10/20/2039		795		863
GNMA CMO, Ser 2010-85, Cl HS, IO
6.479%, VAR ICE LIBOR USD 1 Month+6.650%, 01/20/2040		232		22
GNMA CMO, Ser 2010-H10, Cl FC
1.441%, VAR ICE LIBOR USD 1 Month+1.000%, 05/20/2060		2,009		2,029
GNMA CMO, Ser 2010-H26, Cl LF
1.366%, VAR ICE LIBOR USD 1 Month+0.350%, 08/20/2058		2,810		2,799
GNMA CMO, Ser 2011-146, Cl EI, IO
5.000%, 11/16/2041		46		9
GNMA CMO, Ser 2011-H09, Cl AF
1.516%, VAR ICE LIBOR USD 1 Month+0.500%, 03/20/2061		814		814
GNMA CMO, Ser 2012-124, Cl AS, IO
6.018%, VAR ICE LIBOR USD 1 Month+6.200%, 10/16/2042		651		148
GNMA CMO, Ser 2012-141, Cl WA
4.528%, 11/16/2041 (A)		515		595
GNMA CMO, Ser 2012-66, Cl CI, IO
3.500%, 02/20/2038		502		17
GNMA CMO, Ser 2012-98, Cl SA, IO
5.918%, VAR ICE LIBOR USD 1 Month+6.100%, 08/16/2042		517		109
GNMA CMO, Ser 2012-H07, Cl KI, IO
1.231%, 03/20/2062 (A)		683		13

SEI Institutional Investments Trust / Annual Report / May 31, 2020 147

SCHEDULE OF INVESTMENTS

May 31, 2020

Core Fixed Income Fund (Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
GNMA CMO, Ser 2013-H01, Cl TA
1.516%, VAR ICE LIBOR USD 1 Month+0.500%, 01/20/2063	$	23	$	23
GNMA CMO, Ser 2013-H01, Cl JA
1.336%, VAR ICE LIBOR USD 1 Month+0.320%, 01/20/2063		835		831
GNMA CMO, Ser 2014-186, IO
0.715%, 08/16/2054 (A)		8,660		315
GNMA CMO, Ser 2014-H04, Cl FB
1.666%, VAR ICE LIBOR USD 1 Month+0.650%, 02/20/2064		1,862		1,868
GNMA CMO, Ser 2016-135, Cl SB, IO
5.918%, VAR ICE LIBOR USD 1 Month+6.100%, 10/16/2046		519		243
GNMA CMO, Ser 2016-84, Cl IG, IO
4.500%, 11/16/2045		195		35
GNMA CMO, Ser 2017-167, Cl BQ
2.500%, 08/20/2044		2,064		2,136
GNMA CMO, Ser 2018-H06, Cl PF
1.316%, VAR ICE LIBOR USD 1 Month+0.300%, 02/20/2068		839		833
GNMA CMO, Ser 2018-H07, Cl FD
1.316%, VAR ICE LIBOR USD 1 Month+0.300%, 05/20/2068		1,491		1,482
GNMA CMO, Ser 2019-123, Cl A
3.000%, 10/20/2049		749		804
GNMA CMO, Ser 2019-132, Cl NA
3.500%, 09/20/2049		3,210		3,407
GNMA CMO, Ser 2019-15, Cl GT
3.500%, 02/20/2049		3,594		3,822
GNMA CMO, Ser 2019-31, Cl JC
3.500%, 03/20/2049		1,923		2,030
GNMA CMO, Ser 2019-71, Cl PT
3.000%, 06/20/2049		1,112		1,169
GNMA CMO, Ser 2019-90, Cl AB
3.000%, 07/20/2049		877		919
GNMA CMO, Ser 2020-47, Cl MI, IO
3.500%, 04/20/2050		1,197		203
GNMA CMO, Ser 2020-47, Cl NI, IO
3.500%, 04/20/2050		399		70
GNMA CMO, Ser 27, IO
0.929%, 04/16/2053 (A)		8,974		226
GNMA CMO, Ser 47, Cl IA, IO
0.128%, 02/16/2048 (A)		1,291		20
GNMA CMO, Ser 50, IO
0.754%, 09/16/2055 (A)		4,356		198
GNMA TBA
3.000%, 06/01/2043		21,650		22,919
2.500%, 06/01/2045 to 07/01/2045		12,800		13,462
2.000%, 07/21/2169		3,500		3,612
GNMA, Ser 107, Cl AD
2.694%, 11/16/2047 (A)		846		889

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
GNMA, Ser 135, Cl AG
2.600%, 08/16/2058	$	929	$	965
GNMA, Ser 145, IO
0.665%, 04/16/2057 (A)		4,679		248
GNMA, Ser 157, IO
0.570%, 12/16/2059 (A)		3,676		190
GNMA, Ser 2015-167, Cl OI, IO
4.000%, 04/16/2045		391		62
GNMA, Ser 2016-128, IO
0.950%, 09/16/2056 (A)		11,773		776
GNMA, Ser 2017-190, IO
0.666%, 03/16/2060 (A)		6,641		353
GNMA, Ser 28, Cl AB
3.150%, 06/16/2060		1,664		1,739
GNMA, Ser 33, Cl A
1.899%, 03/16/2040		2		2
GNMA, Ser 41, IO
0.766%, 07/16/2058 (A)		1,754		99
GNMA, Ser 8, IO
0.659%, 08/16/2058 (A)		3,654		177
NCUA Guaranteed Notes CMO, Ser 2010-R1, Cl 1A
0.697%, VAR ICE LIBOR USD 1 Month+0.450%, 10/07/2020		1,381		1,379
NCUA Guaranteed Notes CMO, Ser 2010-R3, Cl 1A
0.807%, VAR ICE LIBOR USD 1 Month+0.560%, 12/08/2020		212		211
NCUA Guaranteed Notes CMO, Ser 2010-R3, Cl 2A
0.807%, VAR ICE LIBOR USD 1 Month+0.560%, 12/08/2020		194		194
				2,587,030
Non-Agency Mortgage-Backed Obligations — 4.5%
American Home Mortgage Investment Trust, Ser 2005-1, Cl 1A2
1.047%, VAR ICE LIBOR USD 1 Month+0.560%, 06/25/2045		2,612		2,475
Angel Oak Mortgage Trust I LLC, Ser 2019-2, Cl A1
3.628%, 03/25/2049 (A)(C)		773		783
Angel Oak Mortgage Trust, Ser 2020-2, Cl A1A
2.531%, 01/26/2065 (A)(C)		2,760		2,764
Aventura Mall Trust, Ser 2013-AVM, Cl D
3.743%, 12/05/2032 (A)(C)		190		190
BAMLL Commercial Mortgage Securities Trust, Ser 2018-PARK, Cl A
4.091%, 08/10/2038 (A)(C)		2,640		3,012
Banc of America Alternative Loan Trust, Ser 2006-8, Cl 3A1
4.792%, 11/25/2021 (A)		11		9

148 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
Banc of America Alternative Loan Trust, Ser 2007-1, Cl 2A1
5.973%, 04/25/2037 (A)	$	79	$	78
Banc of America Funding Trust, Ser 2003-2, Cl 1A1
6.500%, 06/25/2032		9		10
Banc of America Funding Trust, Ser 2004-2, Cl 1CB1
5.750%, 09/20/2034		88		93
Banc of America Funding Trust, Ser 2004-C, Cl 1A1
4.408%, 12/20/2034 (A)		25		24
Banc of America Funding Trust, Ser 2005-B, Cl 2A1
3.732%, 04/20/2035 (A)		1,013		898
Banc of America Funding Trust, Ser 2006-G, Cl 2A4
0.751%, VAR ICE LIBOR USD 1 Month+0.580%, 07/20/2036		1,681		1,662
Banc of America Funding Trust, Ser 2015-R2, Cl 9A1
0.383%, VAR ICE LIBOR USD 1 Month+0.215%, 03/27/2036 (C)		1,008		1,006
BANK, Ser 2017-BNK7, Cl A5
3.435%, 09/15/2060		1,170		1,282
BANK, Ser 2019-BN19, Cl A3
3.183%, 08/15/2061		385		422
BANK, Ser 2019-BN23, Cl A3
2.920%, 12/15/2052		165		178
BBCMS Mortgage Trust, Ser C6, Cl A2
2.690%, 02/15/2053		1,205		1,262
BBCMS Trust, Ser 2015-SRCH, Cl A1
3.312%, 08/10/2035 (C)		860		896
BBCMS Trust, Ser 2018-CBM, Cl A
1.184%, VAR ICE LIBOR USD 1 Month+1.000%, 07/15/2037 (C)		2,705		2,345
BB-UBS Trust, Ser 2012-TFT, Cl A
2.892%, 06/05/2030 (C)		1,500		1,496
BCAP LLC Trust, Ser 2009-RR5, Cl 8A1
5.500%, 11/26/2034 (A)(C)		41		41
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 14A
3.741%, 05/25/2034 (A)		23		21
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 24A
2.750%, 05/25/2034 (A)		67		57
Bear Stearns Commercial Mortgage Securities Trust, Ser 2005-PWR8, Cl X1, IO
0.566%, 06/11/2041 (A)(C)		57		–
Benchmark Mortgage Trust, Ser 2018-B1, Cl ASB
3.602%, 01/15/2051 (A)		582		632

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
BFLD, Ser 2019-DPLO, Cl A
1.274%, VAR ICE LIBOR USD 1 Month+1.090%, 10/15/2034 (C)	$	1,600	$	1,503
Bunker Hill Loan Depositary Trust, Ser 2019- 1, Cl A1
3.613%, 10/26/2048 (C)		995		1,010
Bunker Hill Loan Depositary Trust, Ser 2019- 2, Cl A1
2.879%, 07/25/2049 (C)		1,776		1,770
Bunker Hill Loan Depositary Trust, Ser 2019- 3, Cl A1
2.724%, 11/25/2059 (C)		2,015		2,028
BX Commercial Mortgage Trust, Ser 2019- XL, Cl A
1.104%, VAR ICE LIBOR USD 1 Month+0.920%, 10/15/2036 (C)		1,624		1,592
BX Trust, Ser OC11, Cl A
3.202%, 12/09/2041 (C)		995		998
CALI Mortgage Trust, Ser 2019-101C, Cl A
3.957%, 03/10/2029		1,905		2,155
CAMB Commercial Mortgage Trust, Ser 2019- LIFE, Cl A
1.254%, VAR ICE LIBOR USD 1 Month+1.070%, 12/15/2037 (C)		1,295		1,247
CAMB Commercial Mortgage Trust, Ser 2019- LIFE, Cl C
1.634%, VAR ICE LIBOR USD 1 Month+1.450%, 12/15/2037 (C)		730		703
CD Commercial Mortgage Trust, Ser 2006- CD2, Cl X, IO
0.023%, 01/15/2046 (A)(C)		736		–
CD Commercial Mortgage Trust, Ser 2007- CD4, Cl XC, IO
1.299%, 12/11/2049 (A)(C)		25		1
CD Commercial Mortgage Trust, Ser 2016- CD1, Cl A1
1.443%, 08/10/2049		192		192
CD Commercial Mortgage Trust, Ser 2017- CD3, Cl A4
3.631%, 02/10/2050		1,240		1,366
CD Commercial Mortgage Trust, Ser 2017- CD4, Cl A4
3.514%, 05/10/2050 (A)		945		1,034
CD Commercial Mortgage Trust, Ser 2017- CD4, Cl ASB
3.317%, 05/10/2050		734		783
CD Commercial Mortgage Trust, Ser 2017- CD6, Cl ASB
3.332%, 11/13/2050		1,764		1,885
Century Plaza Towers, Ser 2019-CPT, Cl A
2.865%, 11/13/2039 (C)		1,865		1,956

SEI Institutional Investments Trust / Annual Report / May 31, 2020 149

SCHEDULE OF INVESTMENTS

May 31, 2020

Core Fixed Income Fund (Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
CFCRE Commercial Mortgage Trust, Ser 2016-C3, Cl A1
1.793%, 01/10/2048	$	184	$	184
CFCRE Commercial Mortgage Trust, Ser 2017-C8, Cl A1
1.965%, 06/15/2050		124		124
CFCRE Commercial Mortgage Trust, Ser 2017-C8, Cl ASB
3.367%, 06/15/2050		763		812
Chase Mortgage Finance Trust, Ser 2007-A1, Cl 9A1
4.250%, 02/25/2037 (A)		23		22
Chase Mortgage Finance Trust, Ser 2007-A1, Cl 2A1
4.450%, 02/25/2037 (A)		32		31
Chase Mortgage Finance Trust, Ser 2007-A2, Cl 1A1
3.981%, 06/25/2035 (A)		68		64
Chevy Chase Funding Mortgage-Backed Certificates, Ser 2003-4X, Cl A2
0.948%, VAR ICE LIBOR USD 1 Month+0.780%, 10/25/2034		1,759		1,639
Citigroup Commercial Mortgage Trust, Ser 2014-GC25, Cl AS
4.017%, 10/10/2047		880		912
Citigroup Commercial Mortgage Trust, Ser 2016-P5, Cl A1
1.410%, 10/10/2049		105		104
Citigroup Commercial Mortgage Trust, Ser 2019-GC41, Cl A5
2.869%, 08/10/2056		4,120		4,418
Citigroup Global Markets Mortgage Securities VII, Ser 2003-HYB1, Cl A
4.240%, 09/25/2033 (A)		50		47
Citigroup Mortgage Loan Trust, Ser 2004- HYB1, Cl A41
2.932%, 02/25/2034 (A)		5		5
Citigroup Mortgage Loan Trust, Ser 2004- UST1, Cl A6
3.776%, 08/25/2034 (A)		24		22
Citigroup Mortgage Loan Trust, Ser 2009-10, Cl 1A1
4.305%, 09/25/2033 (A)(C)		83		81
COLT Mortgage Loan Trust, Ser 2019-1, Cl A1
3.705%, 03/25/2049 (A)(C)		625		628
COLT Mortgage Loan Trust, Ser 2019-2, Cl A1
3.337%, 05/25/2049 (A)(C)		1,187		1,194
COLT Mortgage Loan Trust, Ser 2019-4, Cl A1
2.579%, 11/25/2049 (A)(C)		1,576		1,574
COMM Mortgage Trust, Ser 2013-300P, Cl A1
4.353%, 08/10/2030 (C)		1,345		1,420
COMM Mortgage Trust, Ser 2013-CR12, Cl B
4.762%, 10/10/2046 (A)		190		191

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
COMM Mortgage Trust, Ser 2013-CR12, Cl AM
4.300%, 10/10/2046	$	220	$	229
COMM Mortgage Trust, Ser 2013-CR12, Cl C
5.071%, 10/10/2046 (A)		90		83
COMM Mortgage Trust, Ser 2013-LC13, Cl B
5.009%, 08/10/2046 (A)(C)		1,150		1,055
COMM Mortgage Trust, Ser 2013-LC6, Cl AM
3.282%, 01/10/2046		700		716
COMM Mortgage Trust, Ser 2014-CR14, Cl B
4.624%, 02/10/2047 (A)		350		362
COMM Mortgage Trust, Ser 2014-UBS2, Cl XA, IO
1.165%, 03/10/2047 (A)		12,595		428
COMM Mortgage Trust, Ser 2014-UBS3, Cl AM
4.012%, 06/10/2047		510		527
COMM Mortgage Trust, Ser 2015-DC1, Cl A2
2.870%, 02/10/2048		19		19
COMM Mortgage Trust, Ser 2015-LC19, Cl XA, IO
1.126%, 02/10/2048 (A)		16,256		681
COMM Mortgage Trust, Ser 2016-787S, Cl A
3.545%, 02/10/2036 (C)		1,470		1,559
COMM Mortgage Trust, Ser 2016-COR1, Cl ASB
2.972%, 10/10/2049		728		761
COMM Mortgage Trust, Ser 2017-PANW, Cl A
3.244%, 10/10/2029 (C)		1,780		1,821
COMM Mortgage Trust, Ser CBM, Cl A2
2.896%, 02/10/2037 (C)		2,230		2,169
COMM Mortgage Trust, Ser CR15, Cl A2
2.928%, 02/10/2047		35		35
COMM Mortgage Trust, Ser CR26, Cl C
4.481%, 10/10/2048 (A)		165		144
COMM Mortgage Trust, Ser LC21, Cl A4
3.708%, 07/10/2048		614		668
COMM Mortgage Trust, Ser LC23, Cl A4
3.774%, 10/10/2048		1,228		1,342
Core Mortgage Trust, Ser 2019-CORE, Cl A
1.064%, VAR ICE LIBOR USD 1 Month+0.880%, 12/15/2031 (C)		1,380		1,328
Countrywide Alternative Loan Trust, Ser 2004-27CB, Cl A1
6.000%, 12/25/2034		539		520
Countrywide Alternative Loan Trust, Ser 2004-J6, PO
0.000%, 11/25/2031 (B)		30		28
Countrywide Alternative Loan Trust, Ser 2004-J6, Cl 2A1
6.500%, 11/25/2031		210		219
Countrywide Home Loan Mortgage Pass- Through Trust, Ser 2004-14, Cl 4A1
3.971%, 08/25/2034 (A)		122		110

150 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
Countrywide Home Loan Mortgage Pass- Through Trust, Ser 2005-20, Cl A7
5.250%, 12/25/2027	$	148	$	124
Credit Suisse Commercial Mortgage Securities, Ser 2019-SKLZ, Cl A
1.434%, VAR ICE LIBOR USD 1 Month+1.250%, 01/15/2034 (C)		3,660		3,437
Credit Suisse Mortgage Capital Certificates, Ser 2019-ICE4, Cl A
1.164%, VAR ICE LIBOR USD 1 Month+0.980%, 05/15/2036 (C)		7,100		6,935
Credit Suisse Mortgage Trust, Ser 2019- NQM1, Cl A3
3.064%, 10/25/2059 (C)		3,674		3,698
CSAIL Commercial Mortgage Trust, Ser 2015- C2, Cl A4
3.504%, 06/15/2057		938		1,000
CSAIL Commercial Mortgage Trust, Ser 2015- C3, Cl A3
3.447%, 08/15/2048		1,000		1,059
CSAIL Commercial Mortgage Trust, Ser 2015- C3, Cl A2
3.033%, 08/15/2048		1,168		1,169
CSAIL Commercial Mortgage Trust, Ser 2015- C4, Cl A4
3.808%, 11/15/2048		1,371		1,464
CSAIL Commercial Mortgage Trust, Ser 2016- C5, Cl ASB
3.533%, 11/15/2048		327		343
CSFB Mortgage-Backed Pass-Through Certificates, Ser 2003-27, Cl 5A3
5.250%, 11/25/2033		79		80
CSFB Mortgage-Backed Pass-Through Certificates, Ser 2003-29, Cl 5A1
7.000%, 12/25/2033		75		78
CSMC Trust, Ser 2014-USA, Cl B
4.185%, 09/15/2037 (C)		3,900		3,476
CSMC Trust, Ser 2014-USA, Cl A2
3.953%, 09/15/2037 (C)		3,530		3,365
CSMC Trust, Ser 2015-5R, Cl 1A1
2.791%, 09/27/2046 (A)(C)		2,293		2,187
CSMC Trust, Ser 2018-J1, Cl A2
3.500%, 02/25/2048 (A)(C)		10,167		10,378
CSMC Trust, Ser 2018-RPL9, Cl A
3.850%, 09/25/2057 (A)(C)		6,190		6,482
CSMC Trust, Ser 2019-AFC1, Cl A1
2.573%, 07/25/2049 (C)		3,524		3,555
DBCCRE Mortgage Trust, Ser 2014-ARCP, Cl A
4.238%, 01/10/2034 (C)		2,450		2,495
DBCCRE Mortgage Trust, Ser 2014-ARCP, Cl C
4.935%, 01/10/2034 (A)(C)		560		565
DBJPM Mortgage Trust, Ser 2017-C6, Cl ASB
3.121%, 06/10/2050		433		457

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
DC Office Trust, Ser 2019-MTC, Cl A
2.965%, 09/15/2045 (C)	$	1,995	$	2,070
DSLA Mortgage Loan Trust, Ser 2004-AR2, Cl A2B
0.972%, VAR ICE LIBOR USD 1 Month+0.800%, 11/19/2044		520		459
EverBank Mortgage Loan Trust, Ser 2018-1, Cl A22
3.500%, 02/25/2048 (A)(C)		2,592		2,611
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2014-DN1, Cl M2
2.368%, VAR ICE LIBOR USD 1 Month+2.200%, 02/25/2024		457		438
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2014-DN2, Cl M2
1.818%, VAR ICE LIBOR USD 1 Month+1.650%, 04/25/2024		848		836
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2017-DNA1, Cl M2
3.418%, VAR ICE LIBOR USD 1 Month+3.250%, 07/25/2029		1,960		1,982
First Horizon Alternative Mortgage Securities, Ser 2004-AA3, Cl A1
3.538%, 09/25/2034 (A)		54		52
Flagstar Mortgage Trust, Ser 2018-2, Cl A4
3.500%, 04/25/2048 (A)(C)		2,113		2,209
FNMA Connecticut Avenue Securities, Ser 2016-C02, Cl 1M2
6.168%, VAR ICE LIBOR USD 1 Month+6.000%, 09/25/2028		3,322		3,473
FNMA Connecticut Avenue Securities, Ser 2017-C01, Cl 1ED1
1.418%, VAR ICE LIBOR USD 1 Month+1.250%, 07/25/2029		3,654		3,622
FWDSecuritization Trust, Ser 2019-INV1, Cl A1
2.810%, 06/25/2049 (A)(C)		1,813		1,802
GCAT LLC, Ser 2019-NQM1, Cl A1
2.985%, 02/25/2059 (C)		646		661
GE Business Loan Trust, Ser 2007-1A, Cl A
0.354%, VAR ICE LIBOR USD 1 Month+0.170%, 04/15/2035 (C)		229		210
GS Mortgage Securities Trust, Ser 2006-GG8, Cl X, IO
1.046%, 11/10/2039 (A)(C)		814		3
GS Mortgage Securities Trust, Ser 2010-C1, Cl A2
4.592%, 08/10/2043 (C)		725		725
GS Mortgage Securities Trust, Ser 2012-GC6, Cl A3
3.482%, 01/10/2045		1,375		1,403
GS Mortgage Securities Trust, Ser 2012-GC6, Cl C
5.651%, 01/10/2045 (A)(C)		1,473		1,183

SEI Institutional Investments Trust / Annual Report / May 31, 2020 151

SCHEDULE OF INVESTMENTS

May 31, 2020

Core Fixed Income Fund (Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
GS Mortgage Securities Trust, Ser 2012-GCJ7, Cl AAB
2.935%, 05/10/2045	$	34	$	34
GS Mortgage Securities Trust, Ser 2013- GC16, Cl B
5.161%, 11/10/2046 (A)		390		410
GS Mortgage Securities Trust, Ser 2015- GC32, Cl XA, IO
0.759%, 07/10/2048 (A)		34,937		1,056
GS Mortgage Securities Trust, Ser 2015- GC34, Cl A4
3.506%, 10/10/2048		1,144		1,237
GS Mortgage Securities Trust, Ser 2017-SLP, Cl C
3.924%, 10/10/2032 (C)		4,610		4,168
GS Mortgage Securities Trust, Ser 2018- SRP5, Cl A
3.281%, 06/09/2021		3,770		3,601
GS Mortgage Securities Trust, Ser 2018- SRP5, Cl B
4.481%, 06/09/2021		3,770		3,550
GS Mortgage Securities Trust, Ser GC18, Cl A3
3.801%, 01/10/2047		606		626
GS Mortgage Securities Trust, Ser GC28, Cl A5
3.396%, 02/10/2048		446		470
GS Mortgage-Backed Securities Trust, Ser 2018-RPL1, Cl A1A
3.750%, 10/25/2057 (C)		6,857		7,134
GSMPS Mortgage Loan Trust, Ser 1998-1, Cl A
8.000%, 09/19/2027 (A)(C)		1		1
GSMPS Mortgage Loan Trust, Ser 2005-RP3, Cl 1AS, IO
3.954%, 09/25/2035 (A)(C)		192		28
GSR Mortgage Loan Trust, Ser 2004-8F, Cl 2A3
6.000%, 09/25/2034		56		57
GSR Mortgage Loan Trust, Ser 2007-1F, Cl 2A4
5.500%, 01/25/2037		15		17
Hudson Yards Mortgage Trust, Ser 2019- 30HY, Cl A
3.228%, 07/10/2039 (C)		1,900		2,050
Hudson Yards Mortgage Trust, Ser 55HY, Cl A
2.943%, 12/10/2041 (A)(C)		1,995		2,100
Impac CMB Trust, Ser 2005-4, Cl 2A1
0.768%, VAR ICE LIBOR USD 1 Month+0.600%, 05/25/2035		94		83
Impac Funding, Ser 2010-1, Cl A1
5.314%, 01/25/2051 (C)		2,147		2,293

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
Impac Secured Assets Trust, Ser 2006-2, Cl 2A1
0.518%, VAR ICE LIBOR USD 1 Month+0.350%, 08/25/2036	$	285	$	280
Indymac Index Mortgage Loan Trust, Ser 2004-AR7, Cl A2
1.028%, VAR ICE LIBOR USD 1 Month+0.860%, 09/25/2034		15		14
Indymac Index Mortgage Loan Trust, Ser 2004-AR8, Cl 2A2A
0.968%, VAR ICE LIBOR USD 1 Month+0.800%, 11/25/2034		25		22
JPMBB Commercial Mortgage Securities Trust, Ser 2013-C12, Cl ASB
3.157%, 07/15/2045		253		257
JPMBB Commercial Mortgage Securities Trust, Ser 2014-C23, Cl A4
3.670%, 09/15/2047		844		901
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C28, Cl A3
2.912%, 10/15/2048		3,469		3,623
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C33, Cl A4
3.770%, 12/15/2048		492		539
JPMBB Commercial Mortgage Securities Trust, Ser C17, Cl B
4.890%, 01/15/2047 (A)		230		238
JPMBB Commercial Mortgage Securities Trust, Ser C22, Cl C
4.554%, 09/15/2047 (A)		750		637
JPMCC Commercial Mortgage Securities Trust, Ser 2017-JP6, Cl ASB
3.283%, 07/15/2050		813		867
JPMCC Commercial Mortgage Securities Trust, Ser 2019-BOLT, Cl A
1.334%, VAR ICE LIBOR USD 1 Month+1.150%, 07/15/2034 (C)		1,670		1,583
JPMDB Commercial Mortgage Securities Trust, Ser 2017-C5, Cl ASB
3.492%, 03/15/2050		291		311
JPMDB Commercial Mortgage Securities Trust, Ser 2017-C5, Cl A3
3.597%, 03/15/2050		550		584
JPMDB Commercial Mortgage Securities Trust, Ser 2017-C7, Cl A5
3.409%, 10/15/2050		1,444		1,578
JPMDB Commercial Mortgage Securities Trust, Ser 2018-C8, Cl ASB
4.145%, 06/15/2051		1,000		1,114
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2006-CB15, Cl X1, IO
0.193%, 06/12/2043 (A)		2,133		3

152 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2016-JP2, Cl A4
2.822%, 08/15/2049	$	1,400	$	1,469
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2018-BCON, Cl B
3.756%, 01/05/2031 (A)(C)		2,415		2,421
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2018-PHH, Cl A
1.094%, VAR ICE LIBOR USD 1 Month+0.910%, 06/15/2035 (C)		2,035		1,885
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2019-OSB, Cl A
3.397%, 06/05/2039 (C)		2,000		2,172
JPMorgan Mortgage Trust, Ser 2004-A3, Cl SF3
3.476%, 06/25/2034 (A)		261		247
JPMorgan Mortgage Trust, Ser 2005-A1, Cl 3A4
4.009%, 02/25/2035 (A)		84		80
JPMorgan Mortgage Trust, Ser 2005-A2, Cl 5A2
4.152%, 04/25/2035 (A)		24		24
JPMorgan Mortgage Trust, Ser 2006-A2, Cl 5A3
4.112%, 11/25/2033 (A)		127		124
JPMorgan Mortgage Trust, Ser 2006-A2, Cl 4A1
4.397%, 08/25/2034 (A)		122		121
JPMorgan Mortgage Trust, Ser 2017-5, Cl A2
3.137%, 10/26/2048 (A)(C)		3,323		3,392
JPMorgan Mortgage Trust, Ser 2018-3, Cl A1
3.500%, 09/25/2048 (A)(C)		2,257		2,286
JPMorgan Mortgage Trust, Ser 2018-4, Cl A1
3.500%, 10/25/2048 (A)(C)		1,946		1,961
JPMorgan Mortgage Trust, Ser 2018-5, Cl A1
3.500%, 10/25/2048 (A)(C)		2,175		2,203
LB-UBS Commercial Mortgage Trust, Ser 2006-C1, Cl XCL, IO
0.380%, 02/15/2041 (A)(C)		957		–
MASTR Adjustable Rate Mortgages Trust, Ser 2004-13, Cl 3A7A
4.514%, 11/21/2034 (A)		1,373		1,363
MASTR Adjustable Rate Mortgages Trust, Ser 2004-5, Cl 3A1
4.125%, 06/25/2034 (A)		7		7
MASTR Alternative Loans Trust, Ser 2004-4, Cl 1A1
5.500%, 05/25/2034		388		403
MASTR Alternative Loans Trust, Ser 2006-3, Cl 1A3
6.250%, 07/25/2036		224		176

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
MASTR Reperforming Loan Trust, Ser 2005-1, Cl 1A1
6.000%, 08/25/2034 (C)	$	1,373	$	1,054
MASTR Reperforming Loan Trust, Ser 2005-2, Cl 1A1F
0.518%, VAR ICE LIBOR USD 1 Month+0.350%, 05/25/2035 (C)		246		113
MASTR Resecuritization Trust, Ser 2005-PO, Cl 3PO, PO
0.000%, 05/28/2035 (B)(C)		11		10
MASTR Seasoned Securitization Trust, Ser 2004-1, Cl 4A1
4.464%, 10/25/2032 (A)		5		4
MASTR Seasoned Securitization Trust, Ser 2005-1, Cl 4A1
4.515%, 10/25/2032 (A)		29		28
Merrill Lynch Mortgage Investors Trust, Ser 2003-A4, Cl 2A
4.025%, 07/25/2033 (A)		37		35
Merrill Lynch Mortgage Investors Trust, Ser 2004-1, Cl 2A1
3.529%, 12/25/2034 (A)		96		92
Merrill Lynch Mortgage Investors Trust, Ser 2004-A1, Cl 2A1
3.707%, 02/25/2034 (A)		37		36
Merrill Lynch Mortgage Investors Trust, Ser 2004-A1, Cl 4A
4.000%, 02/25/2034 (A)		41		39
Merrill Lynch Mortgage Investors Trust, Ser 2004-A4, Cl A2
3.982%, 08/25/2034 (A)		55		54
Merrill Lynch Mortgage Investors Trust, Ser 2004-D, Cl A2
2.395%, VAR ICE LIBOR USD 6 Month+0.720%, 09/25/2029		87		81
Merrill Lynch Mortgage Investors Trust, Ser 2006-1, Cl 1A
3.648%, 02/25/2036 (A)		53		50
MKT Mortgage Trust, Ser 2020-525M, Cl A
2.694%, 02/12/2040 (C)		3,000		3,108
ML-CFC Commercial Mortgage Trust, Ser 2006-4, Cl XC, IO
0.552%, 12/12/2049 (A)(C)		201		–
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C10, Cl A4
4.082%, 07/15/2046 (A)		181		192
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2015-C20, Cl A4
3.249%, 02/15/2048		262		276
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2015-C25, Cl ASB
3.383%, 10/15/2048		582		609

SEI Institutional Investments Trust / Annual Report / May 31, 2020 153

SCHEDULE OF INVESTMENTS

May 31, 2020

Core Fixed Income Fund (Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2015-C27, Cl A4
3.753%, 12/15/2047	$	268	$	287
Morgan Stanley Capital I Trust, Ser 2007- HQ11, Cl X, IO
0.174%, 02/12/2044 (A)(C)		202		–
Morgan Stanley Capital I Trust, Ser 2007- T27, Cl AJ
6.014%, 06/11/2042 (A)		2,636		2,640
Morgan Stanley Capital I Trust, Ser 2011-C1, Cl C
5.501%, 09/15/2047 (A)(C)		1,700		1,714
Morgan Stanley Capital I Trust, Ser 2016- BNK2, Cl XA, IO
1.064%, 11/15/2049 (A)		15,801		729
Morgan Stanley Capital I Trust, Ser 2016- UB11, Cl ASB
2.606%, 08/15/2049		756		779
Morgan Stanley Capital I Trust, Ser 2016- UB11, Cl A1
1.445%, 08/15/2049		375		374
Morgan Stanley Capital I Trust, Ser 2019- BPR, Cl A
1.584%, VAR ICE LIBOR USD 1 Month+1.400%, 05/15/2036 (C)		3,030		2,664
Morgan Stanley Capital I Trust, Ser L4, Cl ASB
2.624%, 02/15/2053		3,930		4,136
Morgan Stanley Mortgage Loan Trust, Ser 2004-3, Cl 4A
5.619%, 04/25/2034 (A)		125		133
Mortgage Loan Resecuritization Trust, Ser 2009-RS1, Cl A85
0.710%, VAR ICE LIBOR USD 1 Month+0.340%, 04/16/2036 (C)		4,169		3,552
MSBAM Commercial Mortgage Securities Trust, Ser 2012-CKSV, Cl A2
3.277%, 10/15/2030 (C)		150		152
MSCG Trust, Ser 2015-ALDR, Cl A2
3.462%, 06/07/2035 (A)(C)		3,115		3,035
Natixis Commercial Mortgage Securities Trust, Ser 2PAC, Cl A
2.966%, 12/15/2038 (C)		2,085		2,157
New Residential Mortgage Loan Trust, Ser 2017-4A, Cl A1
4.000%, 05/25/2057 (A)(C)		4,454		4,735
New Residential Mortgage Loan Trust, Ser 2019-4A, Cl A1B
3.500%, 12/25/2058 (A)(C)		3,376		3,458
New Residential Mortgage Loan Trust, Ser 2019-6A, Cl A1B
3.500%, 09/25/2059 (A)(C)		3,833		3,909

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
New Residential Mortgage Loan Trust, Ser 2019-NQM2, Cl A1
3.600%, 04/25/2049 (A)(C)	$	803	$	812
New Residential Mortgage Loan Trust, Ser 2019-NQM4, Cl A1
2.492%, 09/25/2059 (A)(C)		1,425		1,389
New York Mortgage Trust, Ser 2006-1, Cl 2A2
3.900%, 05/25/2036 (A)		99		87
Nomura Resecuritization Trust, Ser 2015-5R, Cl 2A1
3.795%, 03/26/2035 (A)(C)		650		653
OBX Trust, Ser 2019-EXP1, Cl 1A3
4.000%, 01/25/2059 (A)(C)		632		652
OBX Trust, Ser 2019-INV1, Cl A8
4.000%, 11/25/2048 (A)(C)		1,260		1,267
OBX Trust, Ser 2020-EXP1, Cl 2A1A
0.918%, VAR ICE LIBOR USD 1 Month+0.750%, 02/25/2060 (C)		2,576		2,573
One Bryant Park Trust, Ser 2019-OBP, Cl A
2.516%, 09/15/2054 (C)		2,490		2,543
Opteum Mortgage Acceptance Pass-Through Certificates, Ser 2005-1, Cl M6
1.473%, VAR ICE LIBOR USD 1 Month+1.305%, 02/25/2035		3,309		3,312
Prime Mortgage Trust, Ser 2004-CL1, PO
0.000%, 02/25/2034 (B)		9		7
Prime Mortgage Trust, Ser 2004-CL1, Cl 1A1
6.000%, 02/25/2034		42		44
RALI Trust, Ser 2005-QO2, Cl A1
3.051%, VAR 12 Month Treas Avg+1.360%, 09/25/2045		332		295
RALI Trust, Ser 2005-QO5, Cl A1
2.691%, VAR 12 Month Treas Avg+1.000%, 01/25/2046		444		382
RAMP Trust, Ser 2004-SL1, Cl A7
7.000%, 11/25/2031		41		43
RAMP Trust, Ser 2005-SL1, Cl A5
6.500%, 05/25/2032		6		6
RBS Commercial Funding Trust, Ser 2013- GSP, Cl A
3.834%, 01/15/2032 (A)(C)		1,380		1,397
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1
3.898%, 12/25/2034 (A)		289		272
Rosslyn Portfolio Trust, Ser 2017-ROSS, Cl A
1.939%, VAR ICE LIBOR USD 1 Month+0.950%, 06/15/2033 (C)		1,340		1,313
Sequoia Mortgage Trust, Ser 2004-12, Cl A3
2.225%, VAR ICE LIBOR USD 6 Month+0.320%, 01/20/2035		140		124
SFAVE Commercial Mortgage Securities Trust, Ser 2015-5AVE, Cl A2B
4.144%, 01/05/2043 (A)(C)		280		241

154 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
SG Residential Mortgage Trust, Ser 2019-3, Cl A1
2.703%, 09/25/2059 (A)(C)	$	1,539	$	1,537
Starwood Mortgage Residential Trust, Ser 2019-INV1, Cl A1
2.610%, 09/27/2049 (A)(C)		1,622		1,603
Starwood Mortgage Residential Trust, Ser 2020-1, Cl A1
2.275%, 02/25/2050 (A)(C)		2,812		2,808
Structured Adjustable Rate Mortgage Loan Trust, Ser 2005-19XS, Cl 1A1
0.488%, VAR ICE LIBOR USD 1 Month+0.320%, 10/25/2035		1,229		1,122
Structured Asset Mortgage Investments II Trust, Ser 2004-AR5, Cl 1A1
0.832%, VAR ICE LIBOR USD 1 Month+0.660%, 10/19/2034		85		80
Structured Asset Mortgage Investments II Trust, Ser 2005-AR1, Cl A1
0.652%, VAR ICE LIBOR USD 1 Month+0.480%, 04/19/2035		1,494		1,412
Structured Asset Securities, Ser 2003-31A, Cl 2A7
3.648%, 10/25/2033 (A)		1,547		1,480
Structured Asset Securities, Ser 2003-37A, Cl 2A
3.861%, 12/25/2033 (A)		42		39
Thornburg Mortgage Securities Trust, Ser 2003-4, Cl A1
0.808%, VAR ICE LIBOR USD 1 Month+0.640%, 09/25/2043		151		145
Verus Securitization Trust, Ser 2019-1, Cl A1
3.836%, 02/25/2059 (A)(C)		650		657
Verus Securitization Trust, Ser 2019-2, Cl A1
3.211%, 05/25/2059 (A)(C)		2,951		2,971
Verus Securitization Trust, Ser 2019-3, Cl A1
2.784%, 07/25/2059 (C)		3,046		3,083
Verus Securitization Trust, Ser 2019-4, Cl A1
2.642%, 11/25/2059 (C)		4,398		4,430
Verus Securitization Trust, Ser 2019-INV1, Cl A1
3.402%, 12/25/2059 (A)(C)		1,187		1,204
Verus Securitization Trust, Ser 2019-INV2, Cl A1
2.913%, 07/25/2059 (A)(C)		1,561		1,573
Verus Securitization Trust, Ser 2019-INV3, Cl A1
2.692%, 11/25/2059 (A)(C)		2,893		2,844
Verus Securitization Trust, Ser 2020-2, Cl A1
2.226%, 05/25/2060 (A)(C)		3,632		3,633
Visio Trust, Ser 2019-1, Cl A1
3.572%, 06/25/2054 (A)(C)		767		775

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
VNDO Mortgage Trust, Ser 2012-6AVE, Cl A
2.996%, 11/15/2030 (C)	$	100	$	102
VNDO Mortgage Trust, Ser 2016-350P, Cl A
3.805%, 01/10/2035 (C)		1,210		1,292
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR10, Cl A7
4.192%, 10/25/2033 (A)		77		74
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR6, Cl A1
4.512%, 06/25/2033 (A)		65		63
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR7, Cl A7
4.404%, 08/25/2033 (A)		56		53
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR9, Cl 1A6
4.305%, 09/25/2033 (A)		153		144
WaMu Mortgage Pass-Through Certificates, Ser 2003-S4, Cl 2A10
17.000%, VAR ICE LIBOR USD 1 Month+17.463%, 06/25/2033		16		21
WaMu Mortgage Pass-Through Certificates, Ser 2003-S9, Cl A8
5.250%, 10/25/2033		242		250
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR3, Cl A2
3.683%, 06/25/2034 (A)		50		48
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR4, Cl A6
4.453%, 06/25/2034 (A)		4,369		4,116
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR7, Cl A6
4.508%, 07/25/2034 (A)		4,956		4,809
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR15, Cl A1A1
0.428%, VAR ICE LIBOR USD 1 Month+0.260%, 11/25/2045		9,530		8,845
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR19, Cl A1A1
0.438%, VAR ICE LIBOR USD 1 Month+0.270%, 12/25/2045		5,768		5,455
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR1, Cl 1A1B
2.761%, VAR 12 Month Treas Avg+1.070%, 01/25/2046		1,346		714
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR14, Cl 1A4
3.267%, 11/25/2036 (A)		104		94
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR17, Cl 1A1B
2.681%, VAR 12 Month Treas Avg+0.810%, 12/25/2046		140		87

SEI Institutional Investments Trust / Annual Report / May 31, 2020 155

SCHEDULE OF INVESTMENTS

May 31, 2020

Core Fixed Income Fund (Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR17, Cl 2A
2.489%, VAR Cost of Funds 11th District of San Fran+1.500%, 12/25/2046	$	230	$	202
Washington Mutual Alternative Mortgage Pass-Through Certificates, Ser 2005-3, Cl CX, IO
5.500%, 05/25/2035		188		33
Washington Mutual MSC Mortgage Pass- Through Certificates, Ser 2003-MS2, Cl 1A1
5.750%, 02/25/2033		7		7
Washington Mutual MSC Mortgage Pass- Through Certificates, Ser 2003-MS8, Cl 1P, PO
0.000%, 05/25/2033 (B)		16		14
Washington Mutual MSC Mortgage Pass- Through Certificates, Ser 2003-MS9, Cl 2P, PO
0.000%, 04/25/2033 (B)		41		39
Wells Fargo Commercial Mortgage Trust, Ser 2012-LC5, Cl B
4.142%, 10/15/2045		1,220		1,230
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR14, Cl A1
4.735%, 08/25/2035 (A)		39		37
WFRBS Commercial Mortgage Trust, Ser 2012-C7, Cl XA, IO
1.329%, 06/15/2045 (A)(C)		2,560		48
WFRBS Commercial Mortgage Trust, Ser 2013-C12, Cl C
4.323%, 03/15/2048 (A)		490		458
WFRBS Commercial Mortgage Trust, Ser 2013-UBS1, Cl A2
2.927%, 03/15/2046		15		15
WFRBS Commercial Mortgage Trust, Ser 2014-C19, Cl B
4.723%, 03/15/2047 (A)		210		206
WFRBS Commercial Mortgage Trust, Ser 2014-C22, Cl B
4.371%, 09/15/2057 (A)		775		780
WFRBS Commercial Mortgage Trust, Ser 2014-C23, Cl XA, IO
0.567%, 10/15/2057 (A)		4,649		94
WFRBS Commercial Mortgage Trust, Ser 2014-C24, Cl AS
3.931%, 11/15/2047		1,330		1,273
WFRBS Commercial Mortgage Trust, Ser C12, Cl XA, IO
1.202%, 03/15/2048 (A)(C)		8,968		229

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
WFRBS Commercial Mortgage Trust, Ser C15, Cl A4
4.153%, 08/15/2046 (A)	$	150	$	158
WFRBS Commercial Mortgage Trust, Ser C17, Cl A4
4.023%, 12/15/2046		120		127
WFRBS Commercial Mortgage Trust, Ser C19, Cl XA, IO
1.028%, 03/15/2047 (A)		4,432		120
WFRBS Commercial Mortgage Trust, Ser C19, Cl A3
3.660%, 03/15/2047		442		447
WFRBS Commercial Mortgage Trust, Ser C21, Cl B
4.213%, 08/15/2047 (A)		2,180		2,146
WFRBS Commercial Mortgage Trust, Ser C21, Cl XA, IO
1.035%, 08/15/2047 (A)		12,665		421
WinWater Mortgage Loan Trust, Ser 2015-5, Cl A5
3.500%, 08/20/2045 (A)(C)		1,756		1,767
				333,082
Total Mortgage-Backed Securities (Cost $2,847,517) ($ Thousands)				2,920,112
CORPORATE OBLIGATIONS — 35.1%
Communication Services — 3.2%
America Movil
2.875%, 05/07/2030		1,956		2,036
AT&T
6.500%, 09/01/2037		2,770		3,749
6.250%, 03/29/2041		190		249
6.000%, 08/15/2040		2,875		3,718
5.375%, 10/15/2041		1,058		1,294
5.350%, 09/01/2040		80		100
5.350%, 12/15/2043		309		375
5.250%, 03/01/2037		4,279		5,231
5.150%, 02/15/2050		1,267		1,574
4.900%, 08/15/2037		70		82
4.850%, 03/01/2039		1,037		1,212
4.800%, 06/15/2044		6,125		7,063
4.750%, 05/15/2046		2,085		2,427
4.500%, 03/09/2048		778		882
4.450%, 05/15/2021		440		456
4.350%, 03/01/2029		515		585
4.350%, 06/15/2045		1,082		1,205
4.300%, 02/15/2030		1,557		1,771
3.950%, 01/15/2025		140		153
3.900%, 03/11/2024		708		767
3.875%, 08/15/2021		949		984

156 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
3.850%, 06/01/2060	$	689	$	699
3.650%, 06/01/2051		655		664
3.600%, 02/17/2023		1,187		1,262
3.550%, 06/01/2024		2,660		2,866
3.500%, 06/01/2041		689		695
3.400%, 05/15/2025		7,582		8,187
3.000%, 02/15/2022		1,686		1,748
3.000%, 06/30/2022		1,581		1,641
2.750%, 06/01/2031		2,067		2,090
2.300%, 06/01/2027		4,677		4,745
Charter Communications Operating LLC
6.484%, 10/23/2045		110		145
6.384%, 10/23/2035		170		223
5.750%, 04/01/2048		570		700
5.375%, 04/01/2038		1,800		2,148
5.375%, 05/01/2047		250		296
5.050%, 03/30/2029		2,060		2,411
4.908%, 07/23/2025		3,690		4,217
4.800%, 03/01/2050		1,014		1,129
4.464%, 07/23/2022		611		650
4.200%, 03/15/2028		980		1,090
3.750%, 02/15/2028		681		738
3.579%, 07/23/2020		820		820
Comcast
7.050%, 03/15/2033		50		76
4.700%, 10/15/2048		250		326
4.600%, 10/15/2038		1,747		2,173
4.400%, 08/15/2035		3,055		3,782
4.250%, 10/15/2030		1,010		1,218
4.250%, 01/15/2033		360		435
4.200%, 08/15/2034		570		692
4.150%, 10/15/2028		5,082		6,018
4.000%, 03/01/2048		110		131
3.969%, 11/01/2047		120		142
3.950%, 10/15/2025		2,232		2,556
3.750%, 04/01/2040		1,671		1,907
3.700%, 04/15/2024		2,876		3,176
3.600%, 03/01/2024		340		376
3.450%, 02/01/2050		570		636
3.400%, 04/01/2030		3,655		4,142
3.400%, 07/15/2046		60		66
3.250%, 11/01/2039		250		274
3.150%, 03/01/2026		800		885
3.100%, 04/01/2025		1,365		1,491
2.800%, 01/15/2051		1,057		1,042
2.650%, 02/01/2030		933		993
1.950%, 01/15/2031		2,412		2,410
Comcast Cable Communications Holdings
9.455%, 11/15/2022		240		292
Comcast Cable Holdings LLC
10.125%, 04/15/2022		190		220

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Cox Communications
4.800%, 02/01/2035 (C)	$	1,665	$	2,017
3.250%, 12/15/2022 (C)		1,010		1,061
Discovery Communications LLC
5.000%, 09/20/2037		1,460		1,601
4.650%, 05/15/2050		960		1,025
3.625%, 05/15/2030		1,443		1,525
Fox
5.476%, 01/25/2039		270		347
4.709%, 01/25/2029		240		281
3.500%, 04/08/2030		1,125		1,211
Koninklijke
8.375%, 10/01/2030		1,000		1,437
NBCUniversal Media LLC
5.950%, 04/01/2041		375		542
Rogers Communications
4.100%, 10/01/2023		133		148
Sky
3.750%, 09/16/2024 (C)		2,045		2,274
Sprint Capital
8.750%, 03/15/2032		200		288
Sprint Spectrum LLC
5.152%, 03/20/2028 (C)		6,425		7,166
4.738%, 03/20/2025 (C)		2,370		2,512
3.360%, 09/20/2021 (C)		5,034		5,056
Telefonica Emisiones
5.462%, 02/16/2021		69		71
4.103%, 03/08/2027		150		166
Tencent Holdings MTN
3.595%, 01/19/2028 (C)		2,370		2,566
Time Warner Cable LLC
7.300%, 07/01/2038		100		134
6.750%, 06/15/2039		170		223
6.550%, 05/01/2037		482		616
5.875%, 11/15/2040		210		258
5.500%, 09/01/2041		4,882		5,768
Time Warner Entertainment
8.375%, 07/15/2033		1,380		2,016
T-Mobile USA
4.375%, 04/15/2040 (C)		3,400		3,755
3.875%, 04/15/2030 (C)		4,745		5,135
3.750%, 04/15/2027 (C)		2,257		2,418
3.500%, 04/15/2025 (C)		4,613		4,933
Verizon Communications
5.500%, 03/16/2047		100		148
5.250%, 03/16/2037		1,100		1,477
4.862%, 08/21/2046		270		362
4.522%, 09/15/2048		2,510		3,276
4.500%, 08/10/2033		565		701
4.400%, 11/01/2034		5,319		6,538
4.329%, 09/21/2028		3,074		3,667
4.272%, 01/15/2036		275		334

SEI Institutional Investments Trust / Annual Report / May 31, 2020 157

SCHEDULE OF INVESTMENTS

May 31, 2020

Core Fixed Income Fund (Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
4.125%, 03/16/2027	$	1,730	$	2,017
4.125%, 08/15/2046		430		530
4.016%, 12/03/2029		2,112		2,477
4.000%, 03/22/2050		1,330		1,627
3.850%, 11/01/2042		1,750		2,055
3.500%, 11/01/2024		1,502		1,653
3.376%, 02/15/2025		967		1,071
3.150%, 03/22/2030		1,940		2,152
3.000%, 03/22/2027		858		934
2.625%, 08/15/2026		1,200		1,291
ViacomCBS
6.875%, 04/30/2036		1,175		1,438
5.850%, 09/01/2043		450		488
4.950%, 01/15/2031		644		709
4.750%, 05/15/2025		2,877		3,169
4.600%, 01/15/2045		121		117
4.375%, 03/15/2043		187		179
4.200%, 05/19/2032		3,162		3,306
3.875%, 04/01/2024		230		243
3.700%, 08/15/2024		1,505		1,589
Vodafone Group
5.250%, 05/30/2048		2,370		3,078
4.875%, 06/19/2049		3,011		3,743
4.375%, 05/30/2028		1,380		1,614
4.250%, 09/17/2050		1,956		2,247
Walt Disney
8.875%, 04/26/2023		150		182
6.650%, 11/15/2037		260		384
6.400%, 12/15/2035		69		102
6.200%, 12/15/2034		265		380
4.700%, 03/23/2050		1,510		1,954
4.625%, 03/23/2040		1,005		1,252
3.800%, 05/13/2060		491		560
3.600%, 01/13/2051		4,301		4,770
3.500%, 05/13/2040		787		865
2.650%, 01/13/2031		1,990		2,117
2.000%, 09/01/2029		2,800		2,837
				236,719
Consumer Discretionary — 2.0%
Advance Auto Parts
3.900%, 04/15/2030 (C)		2,044		2,095
Alimentation Couche-Tard
3.550%, 07/26/2027 (C)		2,200		2,311
2.700%, 07/26/2022 (C)		1,230		1,256
Amazon.com
4.950%, 12/05/2044		600		853
4.800%, 12/05/2034		187		253
4.250%, 08/22/2057		160		222
4.050%, 08/22/2047		570		751
3.875%, 08/22/2037		460		564
3.150%, 08/22/2027		160		182

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
AutoNation
4.750%, 06/01/2030	$	1,032	$	1,075
AutoZone
2.500%, 04/15/2021		44		45
BMW US Capital LLC
4.150%, 04/09/2030 (C)		1,460		1,634
3.800%, 04/06/2023 (C)		4,495		4,717
1.850%, 09/15/2021 (C)		180		181
Daimler Finance North America LLC
3.350%, 05/04/2021 (C)		1,740		1,760
2.700%, 06/14/2024 (C)		990		991
2.200%, 10/30/2021 (C)		2,155		2,160
2.125%, 03/10/2025 (C)		1,797		1,735
1.292%, VAR ICE LIBOR USD 3 Month+0.900%, 02/15/2022 (C)		2,000		1,930
Dollar General
4.125%, 04/03/2050		148		176
3.500%, 04/03/2030		771		861
Ford Motor Credit LLC
5.875%, 08/02/2021		1,570		1,574
5.750%, 02/01/2021		590		590
5.596%, 01/07/2022		2,908		2,901
5.085%, 01/07/2021		2,000		1,977
4.271%, 01/09/2027		1,985		1,806
3.813%, 10/12/2021		2,145		2,086
3.339%, 03/28/2022		3,990		3,850
3.336%, 03/18/2021		500		492
3.219%, 01/09/2022		1,295		1,246
3.157%, 08/04/2020		200		200
3.096%, 05/04/2023		200		188
2.645%, VAR ICE LIBOR USD 3 Month+1.270%, 03/28/2022		2,200		2,002
2.343%, 11/02/2020		4,670		4,637
2.191%, VAR ICE LIBOR USD 3 Month+0.880%, 10/12/2021		3,020		2,838
2.183%, VAR ICE LIBOR USD 3 Month+0.810%, 04/05/2021		2,510		2,381
General Motors
6.600%, 04/01/2036		1,510		1,615
6.250%, 10/02/2043		940		976
5.950%, 04/01/2049		178		184
5.400%, 04/01/2048		959		924
5.150%, 04/01/2038		150		145
4.875%, 10/02/2023		2,230		2,308
General Motors Financial
5.200%, 03/20/2023		2,134		2,222
4.375%, 09/25/2021		2,985		3,002
4.350%, 04/09/2025		375		382
4.350%, 01/17/2027		180		180
4.200%, 11/06/2021		375		380
3.950%, 04/13/2024		162		162
3.550%, 04/09/2021		2,000		2,000

158 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
3.450%, 04/10/2022	$	1,950	$	1,953
3.200%, 07/13/2020		159		159
3.200%, 07/06/2021		835		835
3.150%, 06/30/2022		3,095		3,086
2.900%, 02/26/2025		1,628		1,571
2.450%, 11/06/2020		320		320
Home Depot
3.900%, 06/15/2047		100		121
3.350%, 04/15/2050		1,520		1,722
3.300%, 04/15/2040		540		602
3.125%, 12/15/2049		1,498		1,620
2.950%, 06/15/2029		104		115
2.700%, 04/15/2030		4,493		4,911
2.500%, 04/15/2027		1,146		1,248
Kohl’s
5.550%, 07/17/2045		1,660		1,301
Las Vegas Sands
3.200%, 08/08/2024		1,930		1,872
Leland Stanford Junior University
1.289%, 06/01/2027		265		266
Lowe’s
5.125%, 04/15/2050		1,222		1,654
5.000%, 04/15/2040		1,057		1,351
4.500%, 04/15/2030		2,715		3,268
4.000%, 04/15/2025		1,457		1,648
2.500%, 04/15/2026		260		277
Marriott International
4.625%, 06/15/2030		1,621		1,655
McDonald’s MTN
4.875%, 12/09/2045		670		847
4.200%, 04/01/2050		800		952
3.800%, 04/01/2028		1,220		1,402
3.700%, 01/30/2026		1,255		1,405
3.625%, 09/01/2049		1,285		1,400
3.600%, 07/01/2030		460		521
3.500%, 03/01/2027		180		201
3.300%, 07/01/2025		480		530
2.625%, 09/01/2029		382		399
2.125%, 03/01/2030		603		610
1.450%, 09/01/2025		2,133		2,169
Newell Brands
4.700%, 04/01/2026		560		580
4.350%, 04/01/2023		376		386
NIKE
3.375%, 03/27/2050		2,216		2,569
3.250%, 03/27/2040		440		493
2.850%, 03/27/2030		1,276		1,420
2.750%, 03/27/2027		975		1,067
2.400%, 03/27/2025		1,351		1,449
NVR
3.950%, 09/15/2022		1,330		1,418

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
O’Reilly Automotive
4.200%, 04/01/2030	$	1,323	$	1,494
QVC
4.850%, 04/01/2024		735		717
Sands China
5.125%, 08/08/2025		810		852
4.600%, 08/08/2023		700		729
Starbucks
4.450%, 08/15/2049		745		872
3.500%, 11/15/2050		2,804		2,863
3.350%, 03/12/2050		568		551
2.550%, 11/15/2030		701		715
2.250%, 03/12/2030		2,000		2,003
1.300%, 05/07/2022		815		826
Target
2.250%, 04/15/2025		2,555		2,731
TJX
3.750%, 04/15/2027		4,755		5,397
3.500%, 04/15/2025		460		513
Toyota Motor Credit MTN
2.900%, 03/30/2023		4,615		4,857
2.150%, 02/13/2030		437		444
1.350%, 08/25/2023		1,975		1,993
Volkswagen Group of America Finance LLC
2.900%, 05/13/2022 (C)		3,135		3,189
2.700%, 09/26/2022 (C)		1,510		1,527
				152,646
Consumer Staples — 3.0%
Altria Group
5.950%, 02/14/2049		280		363
4.800%, 02/14/2029		1,200		1,384
4.750%, 05/05/2021		490		509
4.450%, 05/06/2050		1,794		1,944
4.400%, 02/14/2026		2,985		3,413
3.800%, 02/14/2024		400		434
3.490%, 02/14/2022		360		375
3.400%, 05/06/2030		842		889
2.350%, 05/06/2025		1,228		1,274
Anheuser-Busch InBev Finance
3.700%, 02/01/2024		97		106
3.300%, 02/01/2023		795		842
Anheuser-Busch InBev Worldwide
5.550%, 01/23/2049		1,710		2,145
5.450%, 01/23/2039		2,180		2,683
4.750%, 01/23/2029		1,540		1,820
4.600%, 04/15/2048		2,318		2,582
4.500%, 06/01/2050		3,520		3,961
4.375%, 04/15/2038		60		67
4.350%, 06/01/2040		970		1,083
4.150%, 01/23/2025		3,512		3,950
4.000%, 04/13/2028		360		408

SEI Institutional Investments Trust / Annual Report / May 31, 2020 159

SCHEDULE OF INVESTMENTS

May 31, 2020

Core Fixed Income Fund (Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
3.500%, 01/12/2024	$	330	$	357
3.500%, 06/01/2030		380		418
2.500%, 07/15/2022		309		320
Anheuser-Busch LLC
4.900%, 02/01/2046		7,038		8,148
4.700%, 02/01/2036		1,864		2,126
3.650%, 02/01/2026		1,978		2,193
Bacardi
5.300%, 05/15/2048 (C)		171		205
4.700%, 05/15/2028 (C)		1,610		1,774
BAT Capital
4.700%, 04/02/2027		1,377		1,541
4.540%, 08/15/2047		4,805		5,111
4.390%, 08/15/2037		96		101
3.557%, 08/15/2027		5,370		5,645
3.215%, 09/06/2026		3,111		3,239
Bayer US Finance II LLC
4.875%, 06/25/2048 (C)		5,825		7,351
4.700%, 07/15/2064 (C)		400		448
4.400%, 07/15/2044 (C)		1,250		1,498
4.375%, 12/15/2028 (C)		3,015		3,458
4.250%, 12/15/2025 (C)		1,325		1,483
3.875%, 12/15/2023 (C)		1,775		1,915
3.500%, 06/25/2021 (C)		1,150		1,175
Cargill
1.375%, 07/23/2023 (C)		690		701
Coca-Cola
4.200%, 03/25/2050		3,010		3,898
4.125%, 03/25/2040		150		188
3.300%, 09/01/2021		52		54
2.950%, 03/25/2025		350		386
2.875%, 10/27/2025		185		206
2.600%, 06/01/2050		2,081		2,058
2.500%, 06/01/2040		280		282
1.450%, 06/01/2027		2,460		2,501
Constellation Brands
4.400%, 11/15/2025		869		990
3.750%, 05/01/2050		1,036		1,072
3.700%, 12/06/2026		527		580
3.200%, 02/15/2023		314		334
Costco Wholesale
1.750%, 04/20/2032		1,559		1,570
1.600%, 04/20/2030		7,409		7,456
1.375%, 06/20/2027		1,220		1,244
CVS Pass-Through Trust
6.036%, 12/10/2028		1,529		1,681
5.926%, 01/10/2034 (C)		152		169
5.880%, 01/10/2028		98		108
5.789%, 01/10/2026 (C)		772		822
Danone
2.947%, 11/02/2026 (C)		4,159		4,533
2.589%, 11/02/2023 (C)		1,580		1,661

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
2.077%, 11/02/2021 (C)	$	1,030	$	1,045
Diageo Investment
2.875%, 05/11/2022		980		1,023
DP World MTN
5.625%, 09/25/2048 (C)		2,790		2,818
Duke University
2.832%, 10/01/2055		1,500		1,548
2.682%, 10/01/2044		465		474
Emory University
2.969%, 09/01/2050		1,990		2,117
General Mills
2.875%, 04/15/2030		2,103		2,272
Hershey
0.900%, 06/01/2025		210		211
Ingredion
3.900%, 06/01/2050		624		704
2.900%, 06/01/2030		2,016		2,104
Keurig Dr Pepper
4.417%, 05/25/2025		380		433
3.800%, 05/01/2050		667		728
Kimberly-Clark
3.100%, 03/26/2030		200		229
Kraft Heinz Foods
5.200%, 07/15/2045		1,960		2,013
5.000%, 07/15/2035		445		479
5.000%, 06/04/2042		4,795		4,930
4.875%, 10/01/2049 (C)		4,975		4,945
4.375%, 06/01/2046		4,885		4,609
3.950%, 07/15/2025		76		80
3.000%, 06/01/2026		630		630
Kroger
5.400%, 01/15/2049		1,760		2,363
3.950%, 01/15/2050		260		292
Land O’ Lakes
6.000%, 11/15/2022 (C)		1,890		1,942
Molson Coors Beverage
3.500%, 05/01/2022		220		228
Mondelez International
2.125%, 04/13/2023		240		248
1.500%, 05/04/2025		2,108		2,142
Mondelez International Holdings Netherlands
2.000%, 10/28/2021 (C)		6,425		6,532
Mondelez International Holdings Netherlands BV
2.125%, 09/19/2022 (C)		450		462
Nestle Holdings
3.500%, 09/24/2025 (C)		800		895
3.350%, 09/24/2023 (C)		1,055		1,146
Novartis Capital
2.200%, 08/14/2030		3,397		3,591
2.000%, 02/14/2027		1,198		1,267

160 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
PepsiCo
3.875%, 03/19/2060	$	200	$	252
3.625%, 03/19/2050		110		132
3.600%, 03/01/2024		150		166
2.875%, 10/15/2049		250		263
2.625%, 03/19/2027		643		703
2.250%, 03/19/2025		977		1,043
1.625%, 05/01/2030		670		678
0.750%, 05/01/2023		820		827
Philip Morris International
2.900%, 11/15/2021		550		567
2.875%, 05/01/2024		3,585		3,832
2.500%, 08/22/2022		1,530		1,590
2.500%, 11/02/2022		1,250		1,302
2.100%, 05/01/2030		460		463
1.125%, 05/01/2023		1,655		1,675
Procter & Gamble
3.600%, 03/25/2050		3,124		3,923
3.550%, 03/25/2040		710		858
3.100%, 08/15/2023		140		154
3.000%, 03/25/2030		5,552		6,365
2.800%, 03/25/2027		452		502
2.450%, 03/25/2025		330		358
Reckitt Benckiser Treasury Services
2.750%, 06/26/2024 (C)		3,675		3,881
Reynolds American
8.125%, 05/01/2040		1,060		1,267
6.150%, 09/15/2043		480		581
5.850%, 08/15/2045		4,757		5,756
3.250%, 06/12/2020		386		386
Shire Acquisitions Investments Ireland
3.200%, 09/23/2026		1,610		1,779
2.875%, 09/23/2023		4,694		4,952
Sysco
6.600%, 04/01/2050		341		442
Takeda Pharmaceutical
4.400%, 11/26/2023		4,109		4,565
Trustees of the University of Pennsylvania
3.610%, 02/15/2119		43		49
Walgreens Boots Alliance
4.800%, 11/18/2044		1,430		1,532
3.450%, 06/01/2026		690		730
3.300%, 11/18/2021		888		914
Walmart
4.050%, 06/29/2048		15		19
3.950%, 06/28/2038		855		1,055
3.700%, 06/26/2028		3,233		3,825
3.550%, 06/26/2025		1,562		1,763
3.400%, 06/26/2023		305		330
3.300%, 04/22/2024		175		191

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
3.050%, 07/08/2026	$	2,348	$	2,627
				228,029
Energy — 3.9%
Apache
5.100%, 09/01/2040		520		417
4.750%, 04/15/2043		420		326
4.375%, 10/15/2028		990		879
4.250%, 01/15/2030		20		18
4.250%, 01/15/2044		1,130		827
3.250%, 04/15/2022		45		43
BG Energy Capital
4.000%, 10/15/2021 (C)		2,775		2,872
BP Capital Markets
3.561%, 11/01/2021		110		114
3.535%, 11/04/2024		150		165
3.506%, 03/17/2025		340		374
BP Capital Markets America
3.796%, 09/21/2025		90		101
3.790%, 02/06/2024		150		163
3.633%, 04/06/2030		3,390		3,803
3.543%, 04/06/2027		1,610		1,764
3.245%, 05/06/2022		950		992
3.216%, 11/28/2023		4,715		5,042
3.194%, 04/06/2025		3,590		3,909
3.119%, 05/04/2026		400		436
3.000%, 02/24/2050		2,300		2,248
2.937%, 04/06/2023		1,450		1,532
Cameron LNG LLC
3.302%, 01/15/2035 (C)		1,380		1,465
2.902%, 07/15/2031 (C)		2,020		2,092
Canadian Natural Resources
6.450%, 06/30/2033		200		218
3.850%, 06/01/2027		644		664
Chevron
3.191%, 06/24/2023		95		102
3.078%, 05/11/2050		2,386		2,583
2.978%, 05/11/2040		650		697
2.954%, 05/16/2026		1,100		1,218
2.355%, 12/05/2022		290		303
2.236%, 05/11/2030		4,933		5,183
1.995%, 05/11/2027		2,258		2,354
1.554%, 05/11/2025		4,248		4,361
1.141%, 05/11/2023		2,456		2,502
Cimarex Energy
4.375%, 06/01/2024		80		81
4.375%, 03/15/2029		800		791
3.900%, 05/15/2027		1,670		1,629
CNOOC Finance 2013
3.000%, 05/09/2023		253		262
CNOOC Finance 2015 USA LLC
4.375%, 05/02/2028		1,510		1,740

SEI Institutional Investments Trust / Annual Report / May 31, 2020 161

SCHEDULE OF INVESTMENTS

May 31, 2020

Core Fixed Income Fund (Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
3.500%, 05/05/2025	$	2,900	$	3,136
Concho Resources
4.375%, 01/15/2025		100		102
4.300%, 08/15/2028		1,130		1,227
3.750%, 10/01/2027		1,385		1,449
ConocoPhillips
6.950%, 04/15/2029		995		1,368
4.150%, 11/15/2034		753		810
Continental Resources
4.900%, 06/01/2044		410		302
4.500%, 04/15/2023		500		463
4.375%, 01/15/2028		860		724
3.800%, 06/01/2024		770		670
Devon Energy
7.875%, 09/30/2031		1,230		1,317
5.850%, 12/15/2025		1,000		1,077
5.600%, 07/15/2041		1,029		955
5.000%, 06/15/2045		1,436		1,276
4.750%, 05/15/2042		157		136
Diamondback Energy
5.375%, 05/31/2025		200		205
3.500%, 12/01/2029		110		107
3.250%, 12/01/2026		1,922		1,866
2.875%, 12/01/2024		280		272
Ecopetrol
6.875%, 04/29/2030		1,806		2,062
5.875%, 05/28/2045		5,552		5,774
4.125%, 01/16/2025		167		169
Enbridge
3.125%, 11/15/2029		1,384		1,421
2.500%, 01/15/2025		3,031		3,121
Energy Transfer Operating
8.250%, 11/15/2029		3,042		3,883
6.250%, 04/15/2049		460		500
6.125%, 12/15/2045		253		265
6.050%, 06/01/2041		300		316
5.300%, 04/15/2047		570		558
5.250%, 04/15/2029		2,085		2,227
5.150%, 03/15/2045		1,604		1,542
5.000%, 05/15/2050		3,505		3,349
4.950%, 06/15/2028		280		295
3.750%, 05/15/2030		2,340		2,305
2.900%, 05/15/2025		740		738
Eni Spa
4.000%, 09/12/2023 (C)		3,600		3,811
Enterprise Products Operating LLC
7.550%, 04/15/2038		60		83
6.125%, 10/15/2039		145		179
4.850%, 03/15/2044		60		69
4.800%, 02/01/2049		100		117
4.200%, 01/31/2050		3,033		3,272
4.150%, 10/16/2028		1,580		1,797

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
4.050%, 02/15/2022	$	14	$	15
3.950%, 01/31/2060		923		923
3.700%, 01/31/2051		1,031		1,050
3.125%, 07/31/2029		350		371
2.800%, 01/31/2030		1,800		1,876
EOG Resources
4.950%, 04/15/2050		1,730		2,254
4.375%, 04/15/2030		2,045		2,420
4.150%, 01/15/2026		1,030		1,171
3.900%, 04/01/2035		590		681
EQT
3.900%, 10/01/2027		575		505
Equinor
3.250%, 11/18/2049		473		499
3.000%, 04/06/2027		2,845		3,080
2.875%, 04/06/2025		5,195		5,604
2.375%, 05/22/2030		658		679
1.750%, 01/22/2026		986		1,007
Exxon Mobil
4.327%, 03/19/2050		3,500		4,370
4.227%, 03/19/2040		315		383
4.114%, 03/01/2046		910		1,098
3.482%, 03/19/2030		2,075		2,347
3.452%, 04/15/2051		2,381		2,623
3.043%, 03/01/2026		1,140		1,263
2.992%, 03/19/2025		10,309		11,268
2.726%, 03/01/2023		670		705
1.571%, 04/15/2023		5,056		5,197
Halliburton
3.800%, 11/15/2025		66		70
Hess
6.000%, 01/15/2040		1,600		1,590
5.600%, 02/15/2041		2,000		1,987
KazMunayGas National JSC
6.375%, 10/24/2048 (C)		470		566
5.750%, 04/19/2047 (C)		1,390		1,565
5.375%, 04/24/2030 (C)		1,520		1,698
Kinder Morgan
5.550%, 06/01/2045		270		332
5.200%, 03/01/2048		1,070		1,290
5.050%, 02/15/2046		300		347
4.300%, 06/01/2025		1,105		1,228
4.300%, 03/01/2028		590		659
Kinder Morgan Energy Partners
5.500%, 03/01/2044		715		856
5.000%, 03/01/2043		50		56
3.500%, 03/01/2021		300		303
Magellan Midstream Partners
3.250%, 06/01/2030		1,316		1,367
Marathon Oil
4.400%, 07/15/2027		1,264		1,169

162 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Marathon Petroleum
4.750%, 12/15/2023	$	513	$	554
4.700%, 05/01/2025		1,201		1,329
4.500%, 05/01/2023		659		702
4.500%, 04/01/2048		162		154
3.625%, 09/15/2024		1,691		1,758
MPLX
5.500%, 02/15/2049		580		661
4.800%, 02/15/2029		120		131
4.700%, 04/15/2048		1,410		1,466
4.500%, 04/15/2038		810		802
4.000%, 03/15/2028		350		361
National Oilwell Varco
2.600%, 12/01/2022		777		764
Noble Energy
5.250%, 11/15/2043		150		133
5.050%, 11/15/2044		186		160
4.950%, 08/15/2047		1,133		978
4.200%, 10/15/2049		902		732
3.900%, 11/15/2024		748		739
3.850%, 01/15/2028		1,314		1,196
Occidental Petroleum
7.875%, 09/15/2031		150		125
7.500%, 05/01/2031		240		197
6.950%, 07/01/2024		3,107		2,813
6.450%, 09/15/2036		130		92
5.550%, 03/15/2026		2,250		1,913
4.625%, 06/15/2045		400		238
4.500%, 07/15/2044		1,000		600
4.400%, 04/15/2046		200		120
4.200%, 03/15/2048		390		223
4.100%, 02/15/2047		1,040		603
3.400%, 04/15/2026		100		74
3.200%, 08/15/2026		1,740		1,270
3.125%, 02/15/2022		810		757
3.000%, 02/15/2027		510		349
2.900%, 08/15/2024		1,260		1,002
2.700%, 08/15/2022		700		644
2.700%, 02/15/2023		150		129
2.600%, 08/13/2021		500		481
ONEOK
3.400%, 09/01/2029		132		122
Ovintiv
6.625%, 08/15/2037		337		251
6.500%, 02/01/2038		346		264
Pertamina Persero
6.000%, 05/03/2042 (C)		1,220		1,394
Petrobras Global Finance
6.850%, 06/05/2115		1,090		1,021
6.250%, 03/17/2024		1,930		2,036
Petroleos del Peru
4.750%, 06/19/2032 (C)		4,690		5,079

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Petroleos Mexicanos
7.690%, 01/23/2050 (C)	$	3,100	$	2,559
6.950%, 01/28/2060 (C)		210		162
6.625%, 06/15/2035		2,202		1,764
6.500%, 03/13/2027		1,640		1,444
5.625%, 01/23/2046		1,650		1,169
2.460%, 12/15/2025		1,879		1,954
2.378%, 04/15/2025		870		903
Petroleos Mexicanos MTN
6.875%, 08/04/2026		90		82
6.750%, 09/21/2047		4,865		3,722
Plains All American Pipeline
4.900%, 02/15/2045		279		260
4.650%, 10/15/2025		2,300		2,348
3.550%, 12/15/2029		1,301		1,229
Rockies Express Pipeline LLC
6.875%, 04/15/2040 (C)		1,270		1,230
4.950%, 07/15/2029 (C)		3,655		3,389
Ruby Pipeline
7.000%, 04/01/2022 (C)		2,045		1,915
Sabine Pass Liquefaction LLC
5.750%, 05/15/2024		3,390		3,750
5.625%, 03/01/2025		1,500		1,673
5.000%, 03/15/2027		1,045		1,160
Schlumberger Finance Canada
2.650%, 11/20/2022 (C)		647		657
Schlumberger Holdings
4.000%, 12/21/2025 (C)		660		714
3.900%, 05/17/2028 (C)		857		895
Schlumberger Investment
3.650%, 12/01/2023		100		106
3.300%, 09/14/2021 (C)		317		322
Shell International Finance BV
6.375%, 12/15/2038		660		1,013
4.550%, 08/12/2043		490		609
4.375%, 05/11/2045		990		1,224
4.125%, 05/11/2035		2,605		3,196
4.000%, 05/10/2046		170		198
3.750%, 09/12/2046		100		114
3.250%, 04/06/2050		1,260		1,343
2.750%, 04/06/2030		660		714
Sinopec Group Overseas Development 2014
4.375%, 04/10/2024 (C)		1,020		1,119
Spectra Energy Partners
3.500%, 03/15/2025		1,025		1,112
3.375%, 10/15/2026		140		148
Suncor Energy
3.100%, 05/15/2025		1,367		1,430
2.800%, 05/15/2023		1,699		1,741
Sunoco Logistics Partners Operations
5.350%, 05/15/2045		227		224
5.300%, 04/01/2044		493		486

SEI Institutional Investments Trust / Annual Report / May 31, 2020 163

SCHEDULE OF INVESTMENTS

May 31, 2020

Core Fixed Income Fund (Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
4.250%, 04/01/2024	$	130	$	136
4.000%, 10/01/2027		1,150		1,151
3.900%, 07/15/2026		250		252
TC PipeLines
3.900%, 05/25/2027		3,500		3,584
Tennessee Gas Pipeline LLC
8.375%, 06/15/2032		2,200		2,901
2.900%, 03/01/2030 (C)		4,388		4,464
Total Capital International
3.127%, 05/29/2050		1,009		1,021
TransCanada PipeLines
4.875%, 01/15/2026		201		233
4.625%, 03/01/2034		2,575		2,964
3.750%, 10/16/2023		1,633		1,754
Transcontinental Gas Pipe Line LLC
7.850%, 02/01/2026		1,390		1,764
3.950%, 05/15/2050 (C)		1,089		1,163
3.250%, 05/15/2030 (C)		680		724
Western Midstream Operating
4.050%, 02/01/2030		1,180		1,059
3.100%, 02/01/2025		330		307
2.161%, VAR ICE LIBOR USD 3 Month+0.850%, 01/13/2023		220		192
Williams
8.750%, 03/15/2032		1,284		1,719
7.875%, 09/01/2021		1,324		1,426
7.750%, 06/15/2031		339		421
7.500%, 01/15/2031		9		11
5.400%, 03/04/2044		636		701
5.100%, 09/15/2045		100		112
3.900%, 01/15/2025		1,954		2,091
3.600%, 03/15/2022		124		128
				288,830
Financials — 10.0%
ABN AMRO Bank
2.450%, 06/04/2020 (C)		340		340
Aegon
0.915%, VAR USD ICE Swap 11:00 NY 10 Yr+0.100%(D)		2,180		1,496
American Express
4.200%, 11/06/2025		250		288
4.050%, 12/03/2042		70		82
3.700%, 08/03/2023		1,305		1,407
3.400%, 02/27/2023		285		304
2.500%, 08/01/2022		3,890		4,037
2.500%, 07/30/2024		3,000		3,160
American Financial Group
5.250%, 04/02/2030		1,657		1,828
American International Group
6.250%, VAR ICE LIBOR USD 3 Month+2.056%, 03/15/2037		2,578		2,436

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
4.750%, 04/01/2048	$	1,526	$	1,766
4.500%, 07/16/2044		858		960
4.200%, 04/01/2028		963		1,072
3.900%, 04/01/2026		1,300		1,429
3.400%, 06/30/2030		1,453		1,529
2.500%, 06/30/2025		4,305		4,451
Ameriprise Financial
3.000%, 04/02/2025		1,082		1,165
Apollo Management Holdings
5.000%, 03/15/2048 (C)		1,540		1,713
4.400%, 05/27/2026 (C)		1,015		1,120
Athene Global Funding
3.000%, 07/01/2022 (C)		1,475		1,488
2.950%, 11/12/2026 (C)		3,705		3,692
Athene Holding
6.150%, 04/03/2030		2,020		2,184
4.125%, 01/12/2028		1,540		1,492
Avolon Holdings Funding
5.250%, 05/15/2024 (C)		185		156
5.125%, 10/01/2023 (C)		195		165
3.950%, 07/01/2024 (C)		535		442
2.875%, 02/15/2025 (C)		1,420		1,087
Banco Nacional de Comercio Exterior SNC
3.800%, VAR US Treas Yield Curve Rate T Note Const Mat 5 Yr+3.000%, 08/11/2026 (C)		1,390		1,341
Banco Santander
4.379%, 04/12/2028		600		656
3.848%, 04/12/2023		1,200		1,262
3.490%, 05/28/2030		400		409
2.746%, 05/28/2025		3,400		3,463
2.431%, VAR ICE LIBOR USD 3 Month+1.120%, 04/12/2023		400		390
Banco Santander Mexico Institucion de Banca Multiple Grupo Financiero Santand
5.375%, 04/17/2025 (C)		846		908
Bank of America
3.419%, VAR ICE LIBOR USD 3 Month+1.040%, 12/20/2028		5,624		6,122
3.366%, VAR ICE LIBOR USD 3 Month+0.810%, 01/23/2026		1,660		1,788
3.004%, VAR ICE LIBOR USD 3 Month+0.790%, 12/20/2023		9,740		10,168
2.592%, VAR United States Secured Overnight Financing Rate+2.150%, 04/29/2031		2,998		3,075
Bank of America MTN
5.000%, 01/21/2044		1,900		2,500
4.450%, 03/03/2026		5,035		5,652
4.330%, VAR ICE LIBOR USD 3 Month+1.520%, 03/15/2050		1,305		1,616
4.271%, VAR ICE LIBOR USD 3 Month+1.310%, 07/23/2029		3,640		4,208

164 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
4.250%, 10/22/2026	$	130	$	146
4.200%, 08/26/2024		2,720		3,001
4.183%, 11/25/2027		1,816		2,037
4.125%, 01/22/2024		215		237
4.100%, 07/24/2023		305		334
4.083%, 03/20/2051 (A)		8,820		10,446
4.000%, 04/01/2024		2,110		2,332
4.000%, 01/22/2025		2,815		3,075
3.970%, VAR ICE LIBOR USD 3 Month+1.070%, 03/05/2029		1,780		2,011
3.864%, VAR ICE LIBOR USD 3 Month+0.940%, 07/23/2024		1,225		1,325
3.593%, VAR ICE LIBOR USD 3 Month+1.370%, 07/21/2028		710		781
3.550%, VAR ICE LIBOR USD 3 Month+0.780%, 03/05/2024		1,310		1,391
3.500%, 04/19/2026		1,210		1,341
3.300%, 01/11/2023		3,643		3,856
3.194%, VAR ICE LIBOR USD 3 Month+1.180%, 07/23/2030		1,170		1,261
3.124%, VAR ICE LIBOR USD 3 Month+1.160%, 01/20/2023		2,162		2,234
3.093%, VAR ICE LIBOR USD 3 Month+1.090%, 10/01/2025		3,582		3,813
2.884%, VAR ICE LIBOR USD 3 Month+1.190%, 10/22/2030		1,480		1,556
2.625%, 04/19/2021		70		71
2.456%, VAR ICE LIBOR USD 3 Month+0.870%, 10/22/2025		6,148		6,396
2.289%, VAR ICE LIBOR USD 3 Month+1.180%, 10/21/2022		165		166
Bank of Montreal MTN
2.550%, 11/06/2022		200		209
1.850%, 05/01/2025		1,360		1,396
Bank of New York Mellon
3.550%, 09/23/2021		144		150
3.400%, 05/15/2024		3,235		3,529
Bank of New York Mellon MTN
3.650%, 02/04/2024		150		166
3.250%, 09/11/2024		270		294
3.250%, 05/16/2027		270		302
1.600%, 04/24/2025		410		424
Bank of Nova Scotia
4.900%, VAR US Treas Yield Curve Rate T Note Const Mat 5 Yr+4.551%(D)		765		754
2.000%, 11/15/2022		2,095		2,153
Banque Federative du Credit Mutuel MTN
2.200%, 07/20/2020 (C)		450		451
Barclays
5.088%, VAR ICE LIBOR USD 3 Month+3.054%, 06/20/2030		2,245		2,503

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Barclays MTN
4.972%, VAR ICE LIBOR USD 3 Month+1.902%, 05/16/2029	$	1,070	$	1,227
4.338%, VAR ICE LIBOR USD 3 Month+1.356%, 05/16/2024		1,285		1,370
Barclays Bank
1.700%, 05/12/2022		2,860		2,896
BBVA USA
3.875%, 04/10/2025		910		930
Berkshire Hathaway
3.750%, 08/15/2021		488		510
Berkshire Hathaway Finance
4.250%, 01/15/2049		1,260		1,581
4.200%, 08/15/2048		805		1,004
BGC Partners
3.750%, 10/01/2024		1,905		1,781
BNP Paribas
5.198%, VAR ICE LIBOR USD 3 Month+2.567%, 01/10/2030 (C)		1,220		1,461
4.705%, VAR ICE LIBOR USD 3 Month+2.235%, 01/10/2025 (C)		1,450		1,585
4.400%, 08/14/2028 (C)		1,420		1,622
3.375%, 01/09/2025 (C)		420		446
2.819%, VAR ICE LIBOR USD 3 Month+1.111%, 11/19/2025 (C)		3,727		3,826
BNP Paribas MTN
4.375%, VAR USD Swap Semi 30/360 5 Yr Curr+1.483%, 03/01/2033 (C)		380		417
3.052%, VAR United States Secured Overnight Financing Rate+1.507%, 01/13/2031 (C)		1,664		1,705
BPCE
5.150%, 07/21/2024 (C)		1,550		1,696
Brighthouse Financial
4.700%, 06/22/2047		729		638
Brookfield Finance
4.350%, 04/15/2030		1,364		1,525
Canadian Imperial Bank of Commerce
3.500%, 09/13/2023		2,505		2,722
Cantor Fitzgerald
4.875%, 05/01/2024 (C)		1,025		1,044
Capital One Financial
3.650%, 05/11/2027		1,304		1,360
2.600%, 05/11/2023		4,587		4,712
Charles Schwab
4.625%, 03/22/2030		1,184		1,453
3.250%, 05/22/2029		1,785		1,973
Chubb INA Holdings
3.350%, 05/03/2026		420		468
2.300%, 11/03/2020		310		312
Citadel
4.875%, 01/15/2027 (C)		1,240		1,260

SEI Institutional Investments Trust / Annual Report / May 31, 2020 165

SCHEDULE OF INVESTMENTS

May 31, 2020

Core Fixed Income Fund (Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Citibank
0.977%, VAR ICE LIBOR USD 3 Month+0.600%, 05/20/2022	$	4,745	$	4,722
Citigroup
8.125%, 07/15/2039		3,928		6,612
5.500%, 09/13/2025		1,370		1,599
5.316%, VAR United States Secured Overnight Financing Rate+4.548%, 03/26/2041		1,260		1,651
5.300%, 05/06/2044		255		321
4.750%, 05/18/2046		150		180
4.650%, 07/30/2045		1,140		1,394
4.650%, 07/23/2048		1,430		1,774
4.600%, 03/09/2026		2,785		3,120
4.500%, 01/14/2022		50		53
4.450%, 09/29/2027		1,380		1,536
4.412%, VAR United States Secured Overnight Financing Rate+3.914%, 03/31/2031		6,141		7,088
4.400%, 06/10/2025		2,040		2,250
4.300%, 11/20/2026		590		657
4.125%, 07/25/2028		260		285
3.887%, VAR ICE LIBOR USD 3 Month+1.563%, 01/10/2028		545		598
3.875%, 10/25/2023		1,491		1,617
3.700%, 01/12/2026		625		685
3.500%, 05/15/2023		930		981
3.352%, VAR ICE LIBOR USD 3 Month+0.897%, 04/24/2025		3,600		3,836
3.200%, 10/21/2026		1,272		1,357
3.142%, VAR ICE LIBOR USD 3 Month+0.722%, 01/24/2023		5,780		5,946
3.106%, VAR United States Secured Overnight Financing Rate+2.750%, 04/08/2026		7,973		8,386
2.976%, VAR United States Secured Overnight Financing Rate+1.422%, 11/05/2030		1,830		1,900
2.900%, 12/08/2021		2,075		2,132
2.572%, VAR United States Secured Overnight Financing Rate+2.107%, 06/03/2031		12,046		12,057
1.678%, VAR United States Secured Overnight Financing Rate+1.667%, 05/15/2024		800		807
CME Group
3.000%, 09/15/2022		400		424
Cooperatieve Rabobank UA
5.250%, 08/04/2045		380		493
4.625%, 12/01/2023		2,060		2,248
4.375%, 08/04/2025		1,580		1,745
Cooperatieve Rabobank UA MTN
3.875%, 02/08/2022		300		316

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Credit Agricole
2.375%, 01/22/2025 (C)	$	2,346	$	2,437
Credit Suisse AG/New York NY MTN
3.625%, 09/09/2024		1,360		1,486
Credit Suisse Group
4.207%, VAR ICE LIBOR USD 3 Month+1.240%, 06/12/2024 (C)		1,295		1,383
4.194%, VAR United States Secured Overnight Financing Rate+3.730%, 04/01/2031 (C)		1,490		1,652
3.574%, 01/09/2023 (C)		3,321		3,425
2.997%, VAR ICE LIBOR USD 3 Month+1.200%, 12/14/2023 (C)		1,203		1,240
Credit Suisse Group Funding Guernsey
4.875%, 05/15/2045		420		525
3.800%, 06/09/2023		1,084		1,151
Credit Suisse NY
2.950%, 04/09/2025		790		850
Danske Bank
5.375%, 01/12/2024 (C)		940		1,027
5.000%, 01/12/2022 (C)		2,677		2,804
3.244%, VAR ICE LIBOR USD 3 Month+1.591%, 12/20/2025 (C)		4,342		4,436
3.001%, VAR ICE LIBOR USD 3 Month+1.249%, 09/20/2022 (C)		3,817		3,855
Discover Bank
4.650%, 09/13/2028		710		775
4.200%, 08/08/2023		1,000		1,067
Equitable Holdings
3.900%, 04/20/2023		1,400		1,465
Farmers Exchange Capital
7.200%, 07/15/2048 (C)		1,788		2,190
Farmers Exchange Capital II
6.151%, VAR ICE LIBOR USD 3 Month+3.744%, 11/01/2053 (C)		4,120		4,926
Fifth Third Bank
2.875%, 10/01/2021		1,870		1,918
Goldman Sachs Capital II
4.000%, VAR ICE LIBOR USD 3 Month+0.768%(D)		595		505
Goldman Sachs Group
6.750%, 10/01/2037		2,723		3,801
6.250%, 02/01/2041		1,290		1,853
5.750%, 01/24/2022		3,125		3,364
5.250%, 07/27/2021		3,660		3,837
5.150%, 05/22/2045		1,870		2,310
4.750%, 10/21/2045		780		967
4.411%, VAR ICE LIBOR USD 3 Month+1.430%, 04/23/2039		475		547
4.250%, 10/21/2025		1,090		1,208
4.223%, VAR ICE LIBOR USD 3 Month+1.301%, 05/01/2029		500		563
3.850%, 01/26/2027		1,068		1,175

166 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
3.814%, VAR ICE LIBOR USD 3 Month+1.158%, 04/23/2029	$	100	$	110
3.800%, 03/15/2030		6,035		6,694
3.750%, 05/22/2025		500		543
3.750%, 02/25/2026		1,445		1,584
3.691%, VAR ICE LIBOR USD 3 Month+1.510%, 06/05/2028		965		1,057
3.625%, 01/22/2023		508		543
3.500%, 01/23/2025		150		161
3.500%, 04/01/2025		8,945		9,619
3.500%, 11/16/2026		5,040		5,433
3.272%, VAR ICE LIBOR USD 3 Month+1.201%, 09/29/2025		4,082		4,314
3.200%, 02/23/2023		670		705
2.908%, VAR ICE LIBOR USD 3 Month+1.053%, 06/05/2023		410		421
2.625%, 04/25/2021		3,500		3,557
2.600%, 02/07/2030		2,150		2,171
2.101%, VAR ICE LIBOR USD 3 Month+1.110%, 04/26/2022		225		225
1.562%, VAR ICE LIBOR USD 3 Month+1.170%, 11/15/2021		220		220
Goldman Sachs Group MTN
6.000%, 06/15/2020		2,795		2,800
4.800%, 07/08/2044		260		322
4.000%, 03/03/2024		277		303
2.905%, VAR ICE LIBOR USD 3 Month+0.990%, 07/24/2023		1,060		1,089
HSBC Bank PLC
7.650%, 05/01/2025		796		930
4.750%, 01/19/2021 (C)		250		256
4.125%, 08/12/2020 (C)		261		263
HSBC Bank USA
7.000%, 01/15/2039		510		749
4.875%, 08/24/2020		1,000		1,010
HSBC Holdings
5.100%, 04/05/2021		170		176
4.950%, 03/31/2030		785		927
4.583%, VAR ICE LIBOR USD 3 Month+1.535%, 06/19/2029		4,685		5,318
4.300%, 03/08/2026		5,405		6,051
4.250%, 03/14/2024		1,190		1,272
4.250%, 08/18/2025		1,290		1,387
4.041%, VAR ICE LIBOR USD 3 Month+1.546%, 03/13/2028		830		903
4.000%, 03/30/2022		100		105
3.973%, VAR ICE LIBOR USD 3 Month+1.610%, 05/22/2030		1,720		1,877
3.950%, VAR ICE LIBOR USD 3 Month+0.987%, 05/18/2024		675		722
3.600%, 05/25/2023		290		308
3.400%, 03/08/2021		360		367

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
3.262%, VAR ICE LIBOR USD 3 Month+1.055%, 03/13/2023	$	155	$	160
2.633%, VAR ICE LIBOR USD 3 Month+1.140%, 11/07/2025		295		303
2.099%, VAR United States Secured Overnight Financing Rate+1.929%, 06/04/2026		200		200
ING Bank
5.800%, 09/25/2023 (C)		202		222
Intercontinental Exchange
2.100%, 06/15/2030		820		827
Intesa Sanpaolo
3.375%, 01/12/2023 (C)		490		493
3.125%, 07/14/2022 (C)		1,420		1,426
Intesa Sanpaolo MTN
5.710%, 01/15/2026 (C)		1,260		1,296
5.017%, 06/26/2024 (C)		870		873
JPMorgan Chase
8.750%, 09/01/2030		1,725		2,525
6.400%, 05/15/2038		385		573
4.950%, 06/01/2045		300		390
4.500%, 01/24/2022		700		744
4.493%, VAR United States Secured Overnight Financing Rate+3.790%, 03/24/2031		5,725		6,802
4.452%, VAR ICE LIBOR USD 3 Month+1.330%, 12/05/2029		740		867
4.350%, 08/15/2021		340		356
4.250%, 10/01/2027		2,590		2,944
4.203%, VAR ICE LIBOR USD 3 Month+1.260%, 07/23/2029		940		1,076
4.125%, 12/15/2026		2,420		2,770
4.032%, VAR ICE LIBOR USD 3 Month+1.460%, 07/24/2048		725		852
4.023%, VAR ICE LIBOR USD 3 Month+1.000%, 12/05/2024		6,275		6,850
3.900%, 07/15/2025		1,635		1,833
3.897%, VAR ICE LIBOR USD 3 Month+1.220%, 01/23/2049		245		282
3.882%, VAR ICE LIBOR USD 3 Month+1.360%, 07/24/2038		215		246
3.875%, 09/10/2024		1,180		1,296
3.797%, VAR ICE LIBOR USD 3 Month+0.890%, 07/23/2024		2,010		2,160
3.625%, 05/13/2024		1,490		1,641
3.625%, 12/01/2027		1,000		1,092
3.207%, VAR ICE LIBOR USD 3 Month+0.695%, 04/01/2023		2,091		2,172
3.200%, 06/15/2026		1,925		2,101
3.109%, 04/22/2051 (A)		3,210		3,240
2.972%, 01/15/2023		165		170

SEI Institutional Investments Trust / Annual Report / May 31, 2020 167

SCHEDULE OF INVESTMENTS

May 31, 2020

Core Fixed Income Fund (Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
2.956%, VAR United States Secured Overnight Financing Rate+2.515%, 05/13/2031	$	4,069	$	4,199
2.950%, 10/01/2026		191		206
2.776%, VAR ICE LIBOR USD 3 Month+0.935%, 04/25/2023		220		227
2.700%, 05/18/2023		2,625		2,748
2.522%, VAR United States Secured Overnight Financing Rate+2.040%, 04/22/2031		4,230		4,318
2.301%, VAR United States Secured Overnight Financing Rate+1.160%, 10/15/2025		3,120		3,228
2.182%, VAR United States Secured Overnight Financing Rate+1.890%, 06/01/2028		1,974		1,988
2.083%, VAR United States Secured Overnight Financing Rate+1.850%, 04/22/2026		1,280		1,312
1.514%, VAR United States Secured Overnight Financing Rate+1.455%, 06/01/2024		8,708		8,776
1.240%, VAR ICE LIBOR USD 3 Month+0.550%, 02/01/2027		2,740		2,370
KKR Group Finance II LLC
5.500%, 02/01/2043 (C)		120		141
KKR Group Finance III LLC
5.125%, 06/01/2044 (C)		1,005		1,124
Landwirtschaftliche Rentenbank
0.500%, 05/27/2025		3,946		3,941
Lehman Brothers Holdings
6.500%, 12/31/2049 (E)		4,040		–
Lehman Brothers Holdings MTN
6.750%, 12/31/2049 (E)		10,370		–
Lehman Brothers Holdings Capital Trust VII MTN
5.857%, VAR ICE LIBOR USD 3 Month+0.840%(D)(E)		20,630		–
Lincoln National
3.050%, 01/15/2030		2,092		2,091
Lloyds Bank
3.500%, 05/14/2025		100		109
Lloyds Banking Group
4.375%, 03/22/2028		1,180		1,326
3.900%, 03/12/2024		2,530		2,718
3.870%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+3.500%, 07/09/2025		3,486		3,701
3.100%, 07/06/2021		2,610		2,665
2.907%, VAR ICE LIBOR USD 3 Month+0.810%, 11/07/2023		4,560		4,687
2.858%, VAR ICE LIBOR USD 3 Month+1.249%, 03/17/2023		3,000		3,059

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Macquarie Bank
3.624%, 06/03/2030 (C)	$	765	$	780
MassMutual Global Funding II
2.500%, 10/17/2022 (C)		261		272
2.250%, 07/01/2022 (C)		2,640		2,717
MDGH - GMTN BV MTN
2.875%, 11/07/2029 (C)		1,200		1,243
Mercury General
4.400%, 03/15/2027		1,720		1,822
MetLife
6.400%, 12/15/2036		1,400		1,623
Metropolitan Life Global Funding I
3.450%, 12/18/2026 (C)		2,865		3,219
2.950%, 04/09/2030 (C)		1,940		2,095
Morgan Stanley
3.737%, VAR ICE LIBOR USD 3 Month+0.847%, 04/24/2024		1,810		1,935
Morgan Stanley MTN
5.597%, 03/24/2051 (A)		3,605		5,186
5.500%, 07/24/2020		140		141
5.500%, 07/28/2021		200		211
4.431%, VAR ICE LIBOR USD 3 Month+1.628%, 01/23/2030		725		847
4.350%, 09/08/2026		235		265
4.100%, 05/22/2023		1,290		1,386
4.000%, 07/23/2025		580		649
3.875%, 04/29/2024		5,575		6,103
3.772%, VAR ICE LIBOR USD 3 Month+1.140%, 01/24/2029		280		312
3.750%, 02/25/2023		294		315
3.700%, 10/23/2024		370		407
3.622%, VAR United States Secured Overnight Financing Rate+3.120%, 04/01/2031		5,020		5,579
3.591%, VAR ICE LIBOR USD 3 Month+1.340%, 07/22/2028		270		297
3.125%, 07/27/2026		525		571
2.750%, 05/19/2022		2,391		2,482
2.720%, VAR United States Secured Overnight Financing Rate+1.152%, 07/22/2025		2,085		2,184
2.699%, VAR United States Secured Overnight Financing Rate+1.143%, 01/22/2031		2,070		2,136
2.188%, VAR United States Secured Overnight Financing Rate+1.990%, 04/28/2026		2,020		2,073
0.751%, VAR United States Secured Overnight Financing Rate+0.700%, 01/20/2023		2,505		2,453
National Securities Clearing
1.500%, 04/23/2025 (C)		6,290		6,375
1.200%, 04/23/2023 (C)		620		624

168 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Nationwide Building Society
4.363%, VAR ICE LIBOR USD 3 Month+1.392%, 08/01/2024 (C)	$	4,655	$	4,984
Nationwide Financial Services
5.375%, 03/25/2021 (C)		150		155
3.900%, 11/30/2049 (C)		1,542		1,511
Nationwide Mutual Insurance
4.350%, 04/30/2050 (C)		858		874
3.031%, VAR ICE LIBOR USD 3 Month+2.290%, 12/15/2024 (C)		4,407		4,350
New York Life Global Funding
2.875%, 04/10/2024 (C)		2,155		2,308
New York Life Insurance
6.750%, 11/15/2039 (C)		765		1,147
3.750%, 05/15/2050 (C)		1,300		1,463
Nomura Holdings
3.103%, 01/16/2030		3,194		3,221
2.648%, 01/16/2025		2,301		2,374
Nordea Bank Abp
4.875%, 05/13/2021 (C)		1,730		1,786
Northern Trust
2.375%, 08/02/2022		300		313
Northwestern Mutual Life Insurance
3.625%, 09/30/2059 (C)		2,550		2,767
Ohio National Financial Services
5.550%, 01/24/2030 (C)		1,155		1,081
Park Aerospace Holdings
5.500%, 02/15/2024 (C)		850		730
5.250%, 08/15/2022 (C)		2,475		2,184
4.500%, 03/15/2023 (C)		4,470		3,787
PNC Bank
3.800%, 07/25/2023		3,500		3,783
PNC Financial Services Group
3.500%, 01/23/2024		255		277
Prudential Financial MTN
4.350%, 02/25/2050		664		765
1.500%, 03/10/2026		2,445		2,462
Raymond James Financial
4.950%, 07/15/2046		1,525		1,762
4.650%, 04/01/2030		920		1,057
3.625%, 09/15/2026		205		221
Royal Bank of Canada
1.688%, 06/29/2085 (A)		860		638
Royal Bank of Canada MTN
3.200%, 04/30/2021		760		779
2.250%, 11/01/2024		170		178
2.150%, 10/26/2020		660		665
1.600%, 04/17/2023		1,170		1,195
Royal Bank of Scotland Group
6.100%, 06/10/2023		1,650		1,801
4.519%, VAR ICE LIBOR USD 3 Month+1.550%, 06/25/2024		820		879

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
4.445%, VAR ICE LIBOR USD 3 Month+1.871%, 05/08/2030	$	1,026	$	1,159
3.875%, 09/12/2023		1,340		1,420
3.754%, VAR US Treas Yield Curve Rate T Note Const Mat 5 Yr+2.100%, 11/01/2029		1,022		1,034
3.073%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.550%, 05/22/2028		1,028		1,053
2.359%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.150%, 05/22/2024		567		572
Santander Holdings USA
4.450%, 12/03/2021		2,480		2,588
3.450%, 06/02/2025		3,135		3,165
Santander UK Group Holdings
5.625%, 09/15/2045 (C)		210		246
2.875%, 08/05/2021		6,100		6,203
Scentre Group Trust 1
4.375%, 05/28/2030 (C)		1,135		1,176
3.625%, 01/28/2026 (C)		2,155		2,187
Societe Generale
2.625%, 10/16/2024 (C)		765		769
0.623%, VAR ICE LIBOR USD 6 Month+0.075%(D)		860		619
Societe Generale MTN
2.625%, 01/22/2025 (C)		3,768		3,789
Standard Chartered
5.700%, 03/26/2044 (C)		427		505
5.200%, 01/26/2024 (C)		410		437
4.644%, VAR US Treas Yield Curve Rate T Note Const Mat 5 Yr+3.850%, 04/01/2031 (C)		332		370
State Street
3.300%, 12/16/2024		310		342
3.152%, VAR United States Secured Overnight Financing Rate+2.650%, 03/30/2031 (C)		1,500		1,662
2.825%, VAR United States Secured Overnight Financing Rate+2.690%, 03/30/2023 (C)		1,654		1,710
Swedbank
1.300%, 06/02/2023 (C)		1,860		1,863
Synchrony Financial
2.850%, 07/25/2022		810		795
Teachers Insurance & Annuity Association of America
6.850%, 12/16/2039 (C)		148		223
4.900%, 09/15/2044 (C)		600		750
3.300%, 05/15/2050 (C)		3,000		3,055
Toronto-Dominion Bank MTN
3.250%, 06/11/2021		930		957
1.900%, 12/01/2022		1,690		1,744

SEI Institutional Investments Trust / Annual Report / May 31, 2020 169

SCHEDULE OF INVESTMENTS

May 31, 2020

Core Fixed Income Fund (Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Travelers
4.600%, 08/01/2043	$	50	$	65
Truist Bank
4.050%, 11/03/2025		1,000		1,136
3.800%, 10/30/2026		250		276
2.450%, 08/01/2022		250		259
2.250%, 03/11/2030		965		951
Truist Financial MTN
2.750%, 04/01/2022		375		387
2.200%, 03/16/2023		5,475		5,657
Trust Fibra Uno
6.390%, 01/15/2050 (C)		604		550
UBS
1.750%, 04/21/2022 (C)		1,310		1,331
UBS MTN
4.500%, 06/26/2048 (C)		200		269
UBS Group
4.253%, 03/23/2028 (C)		1,940		2,171
4.125%, 09/24/2025 (C)		1,010		1,123
3.491%, 05/23/2023 (C)		1,710		1,781
3.126%, VAR ICE LIBOR USD 3 Month+1.468%, 08/13/2030 (C)		630		665
2.859%, VAR ICE LIBOR USD 3 Month+0.954%, 08/15/2023 (C)		3,434		3,539
US Bancorp
2.400%, 07/30/2024		3,710		3,927
1.450%, 05/12/2025		1,610		1,649
US Bancorp MTN
3.600%, 09/11/2024		160		178
2.950%, 07/15/2022		497		518
US Bank
3.150%, 04/26/2021		750		767
USAA Capital
1.500%, 05/01/2023 (C)		150		153
Validus Holdings
8.875%, 01/26/2040		1,460		2,215
Wachovia Capital Trust III
5.570%, VAR ICE LIBOR USD 3 Month+0.930%(D)		4,442		4,428
WEA Finance LLC
3.750%, 09/17/2024 (C)		1,370		1,364
Wells Fargo
7.950%, 11/15/2029		925		1,186
5.950%, 12/15/2036		520		603
5.606%, 01/15/2044		700		925
5.375%, 11/02/2043		220		283
4.480%, 01/16/2024		392		433
3.069%, 01/24/2023		1,340		1,382
3.068%, VAR United States Secured Overnight Financing Rate+2.530%, 04/30/2041		4,125		4,183
3.000%, 10/23/2026		1,640		1,749

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
2.188%, VAR United States Secured Overnight Financing Rate+2.000%, 04/30/2026	$	3,865	$	3,921
Wells Fargo MTN
5.013%, 04/04/2051 (A)		16,595		21,688
4.900%, 11/17/2045		1,310		1,586
4.750%, 12/07/2046		2,365		2,789
4.650%, 11/04/2044		560		666
4.600%, 04/01/2021		500		516
4.478%, VAR ICE LIBOR USD 3 Month+3.770%, 04/04/2031		5,855		6,869
4.400%, 06/14/2046		220		249
4.300%, 07/22/2027		1,790		2,013
4.150%, 01/24/2029		1,450		1,651
3.750%, 01/24/2024		360		388
3.584%, VAR ICE LIBOR USD 3 Month+1.310%, 05/22/2028		2,075		2,250
3.500%, 03/08/2022		250		262
3.450%, 02/13/2023		685		721
3.196%, VAR ICE LIBOR USD 3 Month+1.170%, 06/17/2027		3,675		3,911
2.879%, VAR ICE LIBOR USD 3 Month+1.170%, 10/30/2030		3,925		4,077
2.572%, VAR ICE LIBOR USD 3 Month+1.000%, 02/11/2031		3,685		3,711
2.406%, VAR ICE LIBOR USD 3 Month+0.825%, 10/30/2025		2,570		2,632
2.393%, VAR United States Secured Overnight Financing Rate+2.100%, 06/02/2028		2,410		2,431
Westpac Banking
2.600%, 11/23/2020		780		788
				749,646
Health Care — 3.8%
Abbott Laboratories
4.900%, 11/30/2046		840		1,184
4.750%, 11/30/2036		440		584
3.750%, 11/30/2026		1,211		1,418
AbbVie
5.000%, 12/15/2021 (C)		2,423		2,550
4.875%, 11/14/2048		1,100		1,370
4.500%, 05/14/2035		845		998
4.450%, 05/14/2046		169		196
4.400%, 11/06/2042		2,350		2,706
4.250%, 11/14/2028		795		926
4.250%, 11/21/2049 (C)		9,679		11,119
4.050%, 11/21/2039 (C)		1,660		1,854
3.850%, 06/15/2024 (C)		1,000		1,093
3.800%, 03/15/2025 (C)		6,700		7,393
3.750%, 11/14/2023		329		358
3.600%, 05/14/2025		1,605		1,768
3.450%, 03/15/2022 (C)		470		489

170 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
3.250%, 10/01/2022 (C)	$	112	$	117
3.200%, 05/14/2026		145		157
3.200%, 11/21/2029 (C)		4,177		4,513
2.950%, 11/21/2026 (C)		1,253		1,345
2.900%, 11/06/2022		2,087		2,184
2.600%, 11/21/2024 (C)		5,008		5,271
2.300%, 11/21/2022 (C)		8,002		8,256
Advocate Health & Hospitals
2.211%, 06/15/2030		2,835		2,881
Aetna
3.875%, 08/15/2047		867		953
2.800%, 06/15/2023		3,648		3,815
Amgen
5.150%, 11/15/2041		630		833
4.663%, 06/15/2051		389		507
4.400%, 05/01/2045		3,590		4,478
3.625%, 05/22/2024		220		239
3.375%, 02/21/2050		642		690
3.150%, 02/21/2040		703		741
2.600%, 08/19/2026		2,000		2,130
2.300%, 02/25/2031		1,363		1,407
2.200%, 02/21/2027		2,899		3,014
Anthem
4.650%, 01/15/2043		1,250		1,548
4.625%, 05/15/2042		1,219		1,499
3.700%, 08/15/2021		290		299
3.650%, 12/01/2027		1,210		1,370
3.500%, 08/15/2024		1,950		2,133
3.350%, 12/01/2024		1,190		1,297
3.300%, 01/15/2023		133		141
3.125%, 05/15/2022		740		775
3.125%, 05/15/2050		682		698
2.950%, 12/01/2022		560		588
2.250%, 05/15/2030		1,696		1,742
AstraZeneca
3.500%, 08/17/2023		1,735		1,878
Baxalta
3.600%, 06/23/2022		870		915
Baxter International
3.950%, 04/01/2030 (C)		890		1,049
BayCare Health System
3.831%, 11/15/2050		2,765		3,244
Bayer US Finance LLC
3.375%, 10/08/2024 (C)		3,255		3,483
Becton Dickinson
4.685%, 12/15/2044		469		576
3.734%, 12/15/2024		1,630		1,791
3.363%, 06/06/2024		1,170		1,263
3.250%, 11/12/2020		1,600		1,615
2.823%, 05/20/2030		2,515		2,664
2.404%, 06/05/2020		2,091		2,091

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Biogen
5.200%, 09/15/2045	$	250	$	333
3.625%, 09/15/2022		815		870
3.150%, 05/01/2050		837		817
Bon Secours Mercy Health
3.464%, 06/01/2030		1,480		1,598
Bristol-Myers Squibb
5.000%, 08/15/2045 (C)		130		180
4.350%, 11/15/2047 (C)		309		400
4.250%, 10/26/2049 (C)		516		680
4.125%, 06/15/2039 (C)		159		201
3.900%, 02/20/2028 (C)		996		1,157
3.875%, 08/15/2025 (C)		1,915		2,174
3.550%, 08/15/2022 (C)		550		584
3.450%, 11/15/2027 (C)		926		1,057
3.400%, 07/26/2029 (C)		1,330		1,525
3.200%, 06/15/2026 (C)		2,467		2,763
2.900%, 07/26/2024 (C)		5,336		5,758
2.875%, 02/19/2021 (C)		623		634
2.750%, 02/15/2023 (C)		2,236		2,349
2.600%, 05/16/2022 (C)		2,258		2,350
2.250%, 08/15/2021 (C)		660		673
Cigna
4.900%, 12/15/2048		3,365		4,416
4.375%, 10/15/2028		1,443		1,694
4.125%, 11/15/2025		585		666
3.875%, 10/15/2047 (C)		1,361		1,534
3.750%, 07/15/2023		2,521		2,740
3.400%, 09/17/2021		1,992		2,061
3.400%, 03/01/2027 (C)		2,122		2,329
3.400%, 03/15/2050		566		609
3.250%, 04/15/2025 (C)		1,000		1,082
3.200%, 09/17/2020		750		755
3.050%, 10/15/2027 (C)		2,510		2,696
2.400%, 03/15/2030		2,865		2,960
CommonSpirit Health
4.350%, 11/01/2042		885		882
4.187%, 10/01/2049		1,205		1,189
CVS Health
5.125%, 07/20/2045		1,135		1,441
5.050%, 03/25/2048		9,435		12,101
4.780%, 03/25/2038		493		602
4.300%, 03/25/2028		6,345		7,253
4.250%, 04/01/2050		10		12
4.125%, 04/01/2040		240		277
4.100%, 03/25/2025		640		715
4.000%, 12/05/2023		935		1,019
3.875%, 07/20/2025		929		1,033
3.750%, 04/01/2030		1,835		2,051
3.700%, 03/09/2023		1,857		1,990
3.625%, 04/01/2027		2,710		2,982
3.500%, 07/20/2022		850		896

SEI Institutional Investments Trust / Annual Report / May 31, 2020 171

SCHEDULE OF INVESTMENTS

May 31, 2020

Core Fixed Income Fund (Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
3.375%, 08/12/2024	$	95	$	102
3.250%, 08/15/2029		1,560		1,680
3.000%, 08/15/2026		692		754
2.750%, 12/01/2022		230		240
2.625%, 08/15/2024		1,870		1,974
Danaher
3.350%, 09/15/2025		647		712
Dentsply Sirona
3.250%, 06/01/2030		1,045		1,070
DH Europe Finance II Sarl
3.400%, 11/15/2049		537		598
2.600%, 11/15/2029		2,207		2,321
2.200%, 11/15/2024		1,755		1,834
2.050%, 11/15/2022		1,025		1,056
Eli Lilly
2.250%, 05/15/2050		967		912
Gilead Sciences
4.750%, 03/01/2046		540		723
3.700%, 04/01/2024		1,540		1,706
3.650%, 03/01/2026		890		1,010
2.550%, 09/01/2020		210		211
GlaxoSmithKline Capital
3.000%, 06/01/2024		670		726
2.850%, 05/08/2022		50		52
HCA
5.250%, 04/15/2025		750		850
5.250%, 06/15/2049		2,905		3,424
5.125%, 06/15/2039		1,240		1,446
5.000%, 03/15/2024		2,635		2,903
Health Care Service, A Mutual Legal Reserve
2.200%, 06/01/2030 (C)		1,535		1,539
1.500%, 06/01/2025 (C)		1,380		1,386
Humana
4.950%, 10/01/2044		200		259
4.800%, 03/15/2047		50		64
4.500%, 04/01/2025		120		136
3.950%, 03/15/2027		860		965
3.850%, 10/01/2024		2,530		2,764
3.150%, 12/01/2022		190		199
2.900%, 12/15/2022		3,405		3,567
Johnson & Johnson
3.700%, 03/01/2046		970		1,202
Kaiser Foundation Hospitals
4.150%, 05/01/2047		70		87
Medtronic
4.625%, 03/15/2045		123		166
Merck
3.700%, 02/10/2045		447		544
Mylan NV
3.950%, 06/15/2026		1,115		1,213
Partners Healthcare System
3.342%, 07/01/2060		1,380		1,431

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
3.192%, 07/01/2049	$	245	$	249
Pfizer
4.000%, 12/15/2036		1,050		1,260
2.800%, 03/11/2022		617		643
2.700%, 05/28/2050		4,186		4,239
2.625%, 04/01/2030		2,390		2,612
2.550%, 05/28/2040		1,316		1,333
1.700%, 05/28/2030		2,983		2,998
0.800%, 05/28/2025		1,050		1,050
RWJ Barnabas Health
3.949%, 07/01/2046		2,445		2,653
Stryker
2.900%, 06/15/2050		969		975
1.950%, 06/15/2030		1,257		1,253
1.150%, 06/15/2025		1,383		1,383
Teva Pharmaceutical Finance
3.650%, 11/10/2021		184		182
Thermo Fisher Scientific
4.497%, 03/25/2030		2,869		3,505
UnitedHealth Group
6.625%, 11/15/2037		200		309
5.800%, 03/15/2036		560		791
4.625%, 07/15/2035		940		1,229
4.450%, 12/15/2048		140		184
4.250%, 06/15/2048		180		229
3.875%, 10/15/2020		870		874
3.875%, 12/15/2028		250		298
3.875%, 08/15/2059		1,477		1,780
3.750%, 07/15/2025		330		378
3.750%, 10/15/2047		554		657
3.700%, 12/15/2025		692		788
3.700%, 08/15/2049		1,445		1,708
3.500%, 06/15/2023		230		250
3.500%, 08/15/2039		219		253
3.375%, 11/15/2021		400		413
3.125%, 05/15/2060		572		601
2.900%, 05/15/2050		2,849		2,967
2.875%, 12/15/2021		450		466
2.875%, 03/15/2023		150		160
2.750%, 05/15/2040		2,435		2,538
2.700%, 07/15/2020		680		682
2.375%, 10/15/2022		100		104
2.375%, 08/15/2024		373		396
2.000%, 05/15/2030		2,311		2,383
1.250%, 01/15/2026		260		264
Wyeth LLC
6.450%, 02/01/2024		365		440
5.950%, 04/01/2037		320		465
Zimmer Biomet Holdings
3.700%, 03/19/2023		2,025		2,139

172 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
3.550%, 04/01/2025	$	225	$	242
				286,433
Industrials — 2.7%
3M
3.700%, 04/15/2050		1,440		1,745
3.250%, 08/26/2049		460		510
3.050%, 04/15/2030		511		571
2.375%, 08/26/2029		2,320		2,457
AerCap Ireland Capital DAC
5.000%, 10/01/2021		2,025		1,975
4.875%, 01/16/2024		635		558
4.625%, 07/01/2022		289		272
4.500%, 05/15/2021		3,340		3,255
4.450%, 04/03/2026		399		344
4.125%, 07/03/2023		1,935		1,724
3.950%, 02/01/2022		341		321
3.650%, 07/21/2027		1,120		937
3.500%, 05/26/2022		3,366		3,120
Air Lease
3.500%, 01/15/2022		1,000		957
3.250%, 03/01/2025		525		480
Air Lease MTN
2.300%, 02/01/2025		605		527
American Airlines, Pass-Through Trust, Ser 2011-1, Cl A
5.250%, 01/31/2021		33		27
American Airlines, Pass-Through Trust, Ser 2015-1, Cl A
3.375%, 05/01/2027		102		79
BAE Systems
4.750%, 10/11/2021 (C)		2,455		2,561
Boeing
7.250%, 06/15/2025		107		119
5.930%, 05/01/2060		700		811
5.805%, 05/01/2050		4,532		5,142
5.705%, 05/01/2040		910		1,000
5.150%, 05/01/2030		1,130		1,211
4.875%, 05/01/2025		2,290		2,431
4.508%, 05/01/2023		3,040		3,147
3.750%, 02/01/2050		380		331
3.250%, 02/01/2035		1,480		1,271
3.200%, 03/01/2029		720		680
3.100%, 05/01/2026		230		224
2.950%, 02/01/2030		1,048		980
2.800%, 03/01/2027		280		261
2.700%, 02/01/2027		2,153		2,005
Burlington Northern Santa Fe LLC
7.290%, 06/01/2036		200		298
4.550%, 09/01/2044		1,220		1,519
4.100%, 06/01/2021		449		461
3.650%, 09/01/2025		140		158

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
3.050%, 09/01/2022	$	300	$	315
3.050%, 02/15/2051		460		483
Canadian Pacific Railway
6.125%, 09/15/2115		34		51
Carrier Global
3.577%, 04/05/2050 (C)		390		346
3.377%, 04/05/2040 (C)		360		320
2.722%, 02/15/2030 (C)		1,010		961
2.493%, 02/15/2027 (C)		110		106
2.242%, 02/15/2025 (C)		2,030		2,025
1.923%, 02/15/2023 (C)		230		232
Caterpillar
4.300%, 05/15/2044		50		62
3.400%, 05/15/2024		445		489
Caterpillar Financial Services MTN
2.850%, 05/17/2024		370		400
CCL Industries
3.050%, 06/01/2030 (C)		1,530		1,537
Cintas No. 2
3.700%, 04/01/2027		590		661
2.900%, 04/01/2022		610		633
Continental Airlines Pass-Through Trust, Ser 2012-2, Cl A
4.000%, 10/29/2024		51		45
Continental Airlines, Pass-Through Trust, Ser 2000-1, Cl A
8.048%, 11/01/2020		–		–
Continental Airlines, Pass-Through Trust, Ser 2007-1
6.903%, 04/19/2022		14		12
Continental Airlines, Pass-Through Trust, Ser 2007-1, Cl A
5.983%, 04/19/2022		4,812		4,307
Continental Airlines, Pass-Through Trust, Ser 2010-1, Cl A
4.750%, 01/12/2021		65		59
Crowley Conro LLC
4.181%, 08/15/2043		885		1,115
CSX
4.750%, 11/15/2048		445		580
4.300%, 03/01/2048		82		101
2.400%, 02/15/2030		193		200
Deere
3.750%, 04/15/2050		2,660		3,219
3.100%, 04/15/2030		160		181
2.750%, 04/15/2025		1,344		1,457
Delta Air Lines Pass-Through Trust, Ser 2020- 1, Cl AA
2.000%, 06/10/2028		3,000		2,758
Delta Air Lines, Pass-Through Trust, Ser 2007-1, Cl A
6.821%, 08/10/2022		714		662

SEI Institutional Investments Trust / Annual Report / May 31, 2020 173

SCHEDULE OF INVESTMENTS

May 31, 2020

Core Fixed Income Fund (Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Eaton
7.625%, 04/01/2024	$	325	$	378
4.150%, 11/02/2042		530		627
4.000%, 11/02/2032		99		113
2.750%, 11/02/2022		1,740		1,819
Element Fleet Management
3.850%, 06/15/2025		1,323		1,323
Equifax
3.950%, 06/15/2023		3,015		3,207
2.600%, 12/15/2025		445		462
GE Capital Funding LLC
4.400%, 05/15/2030 (C)		1,990		2,063
3.450%, 05/15/2025 (C)		2,756		2,796
GE Capital International Funding Unlimited
4.418%, 11/15/2035		15,245		15,232
General Dynamics
4.250%, 04/01/2040		318		395
4.250%, 04/01/2050		2,450		3,196
3.625%, 04/01/2030		3,395		3,940
3.250%, 04/01/2025		805		891
General Electric
4.350%, 05/01/2050		410		400
4.250%, 05/01/2040		1,420		1,381
3.625%, 05/01/2030		6,139		6,070
3.450%, 05/01/2027		2,057		2,045
General Electric MTN
6.875%, 01/10/2039		1,546		1,860
6.750%, 03/15/2032		190		228
5.875%, 01/14/2038		577		644
3.450%, 05/15/2024		140		144
3.100%, 01/09/2023		224		231
0.872%, VAR ICE LIBOR USD 3 Month+0.480%, 08/15/2036		3,035		1,820
Honeywell International
1.950%, 06/01/2030		2,035		2,089
1.350%, 06/01/2025		510		519
Hutama Karya Persero MTN
3.750%, 05/11/2030 (C)		760		789
IHS Markit
5.000%, 11/01/2022 (C)		2,000		2,147
4.750%, 02/15/2025 (C)		1,000		1,089
4.750%, 08/01/2028		1,000		1,149
4.125%, 08/01/2023		228		245
ILFC E-Capital Trust II
3.570%, 12/21/2065 (A) (C)		1,200		540
International Lease Finance
8.625%, 01/15/2022		650		666
5.875%, 08/15/2022		485		489
JetBlue Pass Through Trust, Ser 2019-1, Cl AA
2.750%, 05/15/2032		163		148
John Deere Capital MTN
2.150%, 09/08/2022		145		150

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
1.750%, 03/09/2027	$	906	$	933
1.200%, 04/06/2023		1,510		1,530
L3Harris Technologies
5.054%, 04/27/2045		480		600
4.950%, 02/15/2021		537		545
4.854%, 04/27/2035		210		260
Lockheed Martin
3.550%, 01/15/2026		1,440		1,644
3.100%, 01/15/2023		110		118
Northrop Grumman
5.250%, 05/01/2050		5,635		8,153
5.150%, 05/01/2040		1,004		1,352
4.030%, 10/15/2047		1,459		1,772
3.850%, 04/15/2045		350		401
3.250%, 08/01/2023		1,870		2,022
3.250%, 01/15/2028		1,637		1,814
2.930%, 01/15/2025		2,111		2,287
2.550%, 10/15/2022		3,169		3,317
Otis Worldwide
2.565%, 02/15/2030 (C)		1,716		1,739
2.293%, 04/05/2027 (C)		360		367
2.056%, 04/05/2025 (C)		3,165		3,255
Parker-Hannifin
2.700%, 06/14/2024		830		868
Penske Truck Leasing LP
3.950%, 03/10/2025 (C)		225		240
Raytheon
3.150%, 12/15/2024		320		345
3.125%, 10/15/2020		720		727
Raytheon Technologies
5.400%, 05/01/2035		640		849
4.450%, 11/16/2038		861		1,043
4.125%, 11/16/2028		690		801
3.950%, 08/16/2025		3,819		4,363
3.650%, 08/16/2023		132		143
3.125%, 07/01/2050		1,290		1,361
2.250%, 07/01/2030		680		697
Republic Services
4.750%, 05/15/2023		215		239
2.500%, 08/15/2024		2,035		2,153
Union Pacific
4.300%, 03/01/2049		168		211
3.950%, 09/10/2028		3,055		3,546
3.839%, 03/20/2060		1,460		1,671
3.750%, 07/15/2025		530		596
3.750%, 02/05/2070		905		993
3.250%, 02/05/2050		4,148		4,409
3.150%, 03/01/2024		543		585
2.950%, 03/01/2022		1,136		1,184
2.400%, 02/05/2030		1,255		1,309
2.150%, 02/05/2027		1,287		1,350

174 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
United Parcel Service
5.300%, 04/01/2050	$	870	$	1,231
5.200%, 04/01/2040		525		698
2.350%, 05/16/2022		235		242
US Airways Pass-Through Trust, Ser 2012-1, Cl A
5.900%, 10/01/2024		28		24
US Airways Pass-Through Trust, Ser 2012-2, Cl A
4.625%, 06/03/2025		3,110		2,562
Waste Management
4.150%, 07/15/2049		440		540
4.000%, 07/15/2039		160		183
3.900%, 03/01/2035		39		47
3.500%, 05/15/2024		845		921
3.450%, 06/15/2029		230		255
3.200%, 06/15/2026		1,205		1,319
				198,885
Information Technology — 2.4%
Adobe
2.300%, 02/01/2030		4,498		4,804
Apple
4.650%, 02/23/2046		2,460		3,387
4.375%, 05/13/2045		820		1,071
4.250%, 02/09/2047		561		730
3.850%, 05/04/2043		850		1,042
3.450%, 05/06/2024		350		388
3.450%, 02/09/2045		156		180
3.200%, 05/13/2025		471		529
2.950%, 09/11/2049		132		144
2.750%, 01/13/2025		675		735
2.650%, 05/11/2050		911		941
2.450%, 08/04/2026		2,560		2,791
2.400%, 05/03/2023		95		101
2.150%, 02/09/2022		90		93
2.050%, 09/11/2026		2,058		2,199
2.000%, 11/13/2020		710		714
1.125%, 05/11/2025		1,310		1,332
0.750%, 05/11/2023		2,760		2,785
Applied Materials
1.750%, 06/01/2030		2,030		2,026
Avnet
4.875%, 12/01/2022		1,570		1,660
Broadcom
5.000%, 04/15/2030 (C)		857		950
4.700%, 04/15/2025 (C)		3,284		3,593
4.250%, 04/15/2026 (C)		1,100		1,177
4.150%, 11/15/2030 (C)		4,570		4,785
3.875%, 01/15/2027		1,555		1,638
3.625%, 01/15/2024		2,860		3,009
3.150%, 11/15/2025 (C)		7,658		7,950

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
3.125%, 10/15/2022 (C)	$	1,000	$	1,033
2.250%, 11/15/2023 (C)		1,110		1,124
Corning
5.450%, 11/15/2079		1,685		1,926
Dell International LLC
4.420%, 06/15/2021 (C)		4,785		4,875
Fiserv
4.200%, 10/01/2028		110		128
3.500%, 07/01/2029		1,183		1,306
3.200%, 07/01/2026		1,285		1,400
2.650%, 06/01/2030		1,785		1,844
Hewlett Packard Enterprise
4.650%, 10/01/2024		3,955		4,357
Intel
4.950%, 03/25/2060		460		664
4.750%, 03/25/2050		8,945		12,168
4.600%, 03/25/2040		796		1,036
4.100%, 05/19/2046		1,600		1,969
3.734%, 12/08/2047		119		140
3.300%, 10/01/2021		75		78
3.250%, 11/15/2049		1,510		1,672
3.100%, 07/29/2022		75		79
2.450%, 11/15/2029		759		814
International Business Machines
4.150%, 05/15/2039		490		583
3.300%, 05/15/2026		387		432
3.000%, 05/15/2024		2,340		2,531
KLA
3.300%, 03/01/2050		868		874
Lam Research
3.800%, 03/15/2025		150		169
3.125%, 06/15/2060		474		491
2.875%, 06/15/2050		1,154		1,174
1.900%, 06/15/2030		1,164		1,171
Leidos
4.375%, 05/15/2030 (C)		1,765		1,964
Marvell Technology Group
4.200%, 06/22/2023		1,800		1,903
Mastercard
3.850%, 03/26/2050		1,954		2,498
3.375%, 04/01/2024		720		797
3.350%, 03/26/2030		1,340		1,548
3.300%, 03/26/2027		659		747
Micron Technology
2.497%, 04/24/2023		2,679		2,751
Microsoft
4.450%, 11/03/2045		280		385
4.100%, 02/06/2037		1,276		1,622
4.000%, 02/12/2055		1,077		1,411
3.950%, 08/08/2056		340		445
3.750%, 02/12/2045		240		300
3.700%, 08/08/2046		620		772

SEI Institutional Investments Trust / Annual Report / May 31, 2020 175

SCHEDULE OF INVESTMENTS

May 31, 2020

Core Fixed Income Fund (Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
3.500%, 02/12/2035	$	2,164	$	2,629
3.450%, 08/08/2036		50		59
3.300%, 02/06/2027		1,570		1,803
2.875%, 02/06/2024		1,359		1,472
2.700%, 02/12/2025		360		394
2.400%, 08/08/2026		2,510		2,758
2.375%, 02/12/2022		50		52
2.375%, 05/01/2023		50		53
NVIDIA
3.700%, 04/01/2060		680		804
3.500%, 04/01/2040		1,654		1,880
3.500%, 04/01/2050		4,147		4,726
2.850%, 04/01/2030		4,945		5,420
NXP BV
4.300%, 06/18/2029 (C)		862		939
3.875%, 06/18/2026 (C)		2,271		2,448
3.400%, 05/01/2030 (C)		1,390		1,433
3.150%, 05/01/2027 (C)		1,099		1,125
2.700%, 05/01/2025 (C)		1,077		1,110
Oracle
4.300%, 07/08/2034		285		350
4.000%, 11/15/2047		987		1,159
3.900%, 05/15/2035 (F)		3,620		4,297
3.850%, 04/01/2060		1,086		1,244
3.800%, 11/15/2037		464		529
3.600%, 04/01/2040		1,815		2,009
2.950%, 11/15/2024		1,129		1,225
2.950%, 05/15/2025		695		756
2.950%, 04/01/2030		1,815		1,991
2.800%, 04/01/2027		1,967		2,130
2.625%, 02/15/2023		850		896
2.500%, 05/15/2022		335		347
PayPal Holdings
2.300%, 06/01/2030		5,500		5,688
1.650%, 06/01/2025		3,128		3,201
1.350%, 06/01/2023		2,397		2,435
QUALCOMM
2.900%, 05/20/2024		110		118
2.600%, 01/30/2023		1,700		1,784
salesforce.com
3.250%, 04/11/2023		740		796
Texas Instruments
4.150%, 05/15/2048		1,250		1,645
1.750%, 05/04/2030		440		452
1.375%, 03/12/2025		810		833
Visa
4.300%, 12/14/2045		810		1,071
3.150%, 12/14/2025		660		742
2.200%, 12/14/2020		480		484
1.900%, 04/15/2027		1,580		1,654

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
VMware
4.500%, 05/15/2025	$	685	$	740
				179,616
Materials — 0.9%
Air Liquide Finance
2.250%, 09/27/2023 (C)		1,215		1,266
Air Products and Chemicals
2.700%, 05/15/2040		329		341
Amcor Finance USA
4.500%, 05/15/2028		865		929
3.625%, 04/28/2026		2,000		2,111
Anglo American Capital
4.000%, 09/11/2027 (C)		280		287
3.625%, 09/11/2024 (C)		1,810		1,856
ArcelorMittal
6.125%, 06/01/2025		1,270		1,378
3.600%, 07/16/2024		1,540		1,523
Barrick Gold
5.250%, 04/01/2042		740		968
Barrick North America Finance LLC
5.750%, 05/01/2043		298		410
5.700%, 05/30/2041		1,257		1,669
BHP Billiton Finance USA
6.750%, VAR USD Swap Semi 30/360 5 Yr Curr+5.093%, 10/19/2075 (C)		1,610		1,846
5.000%, 09/30/2043		40		55
2.875%, 02/24/2022		79		82
Dow Chemical
4.800%, 05/15/2049		925		1,081
DuPont De Nemours
4.493%, 11/15/2025		4,813		5,459
4.205%, 11/15/2023		1,697		1,841
Equate Petrochemical MTN
4.250%, 11/03/2026 (C)		1,640		1,625
Georgia-Pacific LLC
2.300%, 04/30/2030 (C)		1,708		1,747
2.100%, 04/30/2027 (C)		1,044		1,063
1.750%, 09/30/2025 (C)		2,162		2,206
Glencore Funding LLC
4.125%, 05/30/2023 (C)		50		53
4.125%, 03/12/2024 (C)		70		74
4.000%, 03/27/2027 (C)		1,610		1,705
Industrias Penoles
4.150%, 09/12/2029 (C)		1,830		1,874
International Flavors & Fragrances
5.000%, 09/26/2048		2,955		3,325
International Paper
4.400%, 08/15/2047		638		712
Mosaic
5.625%, 11/15/2043		461		472
5.450%, 11/15/2033		94		96

176 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Nacional del Cobre de Chile
4.250%, 07/17/2042 (C)	$	1,790	$	1,919
3.625%, 08/01/2027 (C)		2,770		2,942
Newcrest Finance Pty
3.250%, 05/13/2030 (C)		1,140		1,193
Newmont
2.250%, 10/01/2030		1,026		1,017
Nucor
2.700%, 06/01/2030		688		700
2.000%, 06/01/2025		688		701
Nutrien
5.000%, 04/01/2049		996		1,224
2.950%, 05/13/2030		883		923
OCP
4.500%, 10/22/2025 (C)		1,860		1,855
Packaging Corp of America
3.000%, 12/15/2029		559		588
Southern Copper
5.250%, 11/08/2042		4,400		4,903
Suzano Austria GmbH
6.000%, 01/15/2029		2,540		2,676
Syngenta Finance
3.933%, 04/23/2021 (C)		370		371
Teck Resources
6.250%, 07/15/2041		550		555
Vale Overseas
6.875%, 11/21/2036		1,595		1,992
6.250%, 08/10/2026		2,140		2,447
Vulcan Materials
3.500%, 06/01/2030		1,660		1,729
WestRock RKT LLC
4.000%, 03/01/2023		330		343
WRKCo
4.900%, 03/15/2029		1,796		2,068
				68,200
Real Estate — 0.8%
Alexandria Real Estate Equities
4.900%, 12/15/2030		659		802
American Campus Communities Operating Partnership
3.750%, 04/15/2023		2,255		2,264
AvalonBay Communities MTN
4.350%, 04/15/2048		235		289
2.450%, 01/15/2031		2,490		2,561
Boston Properties
3.800%, 02/01/2024		2,000		2,132
3.400%, 06/21/2029		1,510		1,588
3.200%, 01/15/2025		105		110
2.900%, 03/15/2030		125		127
Camden Property Trust
2.800%, 05/15/2030		925		969

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
CC Holdings GS V LLC
3.849%, 04/15/2023	$	2,500	$	2,679
Crown Castle International
4.000%, 03/01/2027		320		358
3.400%, 02/15/2021		165		168
3.300%, 07/01/2030		1,849		1,994
CubeSmart
4.375%, 02/15/2029		650		708
CyrusOne
2.900%, 11/15/2024		1,985		1,995
Equinix
2.900%, 11/18/2026		1,806		1,907
2.625%, 11/18/2024		863		911
ERP Operating
4.625%, 12/15/2021		200		210
Federal Realty Investment Trust
3.950%, 01/15/2024		1,022		1,064
GLP Capital
5.750%, 06/01/2028		1,250		1,242
5.375%, 04/15/2026		1,415		1,415
5.300%, 01/15/2029		2,424		2,327
5.250%, 06/01/2025		1,250		1,256
4.000%, 01/15/2030		1,190		1,038
Healthcare Realty Trust
3.750%, 04/15/2023		2,375		2,385
Healthcare Trust of America Holdings
3.700%, 04/15/2023		2,000		2,048
3.500%, 08/01/2026		1,010		1,039
Healthpeak Properties
3.875%, 08/15/2024		4,926		5,257
Life Storage
3.875%, 12/15/2027		935		971
Mid-America Apartments
4.300%, 10/15/2023		658		687
4.000%, 11/15/2025		787		818
3.950%, 03/15/2029		646		714
3.750%, 06/15/2024		1,504		1,549
3.600%, 06/01/2027		95		101
Piedmont Operating Partnership
4.450%, 03/15/2024		125		125
Prologis
3.000%, 04/15/2050		255		256
Realty Income
3.250%, 01/15/2031		1,473		1,514
Regency Centers
3.700%, 06/15/2030		481		486
2.950%, 09/15/2029		1,397		1,342
Sabra Health Care
3.900%, 10/15/2029		1,335		1,127
Simon Property Group
2.450%, 09/13/2029		1,915		1,753
2.000%, 09/13/2024		750		726

SEI Institutional Investments Trust / Annual Report / May 31, 2020 177

SCHEDULE OF INVESTMENTS

May 31, 2020

Core Fixed Income Fund (Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
SL Green Realty
4.500%, 12/01/2022	$	500	$	506
Spirit Realty
4.450%, 09/15/2026		79		76
4.000%, 07/15/2029		374		339
3.400%, 01/15/2030		774		665
STORE Capital
4.625%, 03/15/2029		822		765
4.500%, 03/15/2028		2,418		2,274
Ventas Realty
4.750%, 11/15/2030		1,332		1,387
3.000%, 01/15/2030		1,500		1,387
Welltower
4.500%, 01/15/2024		183		192
				60,603
Utilities — 2.4%
Alabama Power
3.700%, 12/01/2047		2,745		3,099
3.450%, 10/01/2049		1,286		1,406
Alabama Power Capital Trust V
4.533%, VAR ICE LIBOR USD 3 Month+3.100%, 10/01/2042		100		100
Ameren
3.500%, 01/15/2031		309		344
Appalachian Power
4.500%, 03/01/2049		60		72
4.450%, 06/01/2045		1,600		1,882
Arizona Public Service
3.150%, 05/15/2025		1,618		1,766
Berkshire Hathaway Energy
6.125%, 04/01/2036		114		165
3.750%, 11/15/2023		488		535
Black Hills
3.875%, 10/15/2049		578		581
3.050%, 10/15/2029		2,078		2,112
Boston Gas
4.487%, 02/15/2042 (C)		140		165
CenterPoint Energy
3.600%, 11/01/2021		1,095		1,135
2.950%, 03/01/2030		609		642
2.500%, 09/01/2022		130		134
2.500%, 09/01/2024		1,400		1,452
CenterPoint Energy Resources
4.500%, 01/15/2021		246		249
4.100%, 09/01/2047		627		669
Comision Federal de Electricidad
4.875%, 01/15/2024 (C)		300		317
4.750%, 02/23/2027 (C)		1,410		1,473
Commonwealth Edison
3.400%, 09/01/2021		140		143

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Consolidated Edison of New York
4.650%, 12/01/2048	$	2,000	$	2,554
4.450%, 03/15/2044		2,375		2,877
3.950%, 04/01/2050		210		246
3.350%, 04/01/2030		260		289
Consumers Energy
2.500%, 05/01/2060		543		511
Delmarva Power & Light
3.500%, 11/15/2023		170		184
Dominion Energy
3.300%, 03/15/2025		300		324
3.071%, 08/15/2024		1,800		1,905
2.850%, 08/15/2026		835		880
2.450%, 01/15/2023 (C)		2,000		2,071
2.000%, 08/15/2021		904		916
DTE Electric
2.950%, 03/01/2050		1,414		1,468
DTE Energy
3.800%, 03/15/2027		1,304		1,403
2.950%, 03/01/2030		858		880
2.529%, 10/01/2024		2,918		3,015
Duke Energy
3.750%, 04/15/2024		135		148
3.550%, 09/15/2021		952		979
3.150%, 08/15/2027		850		928
2.650%, 09/01/2026		839		899
2.450%, 06/01/2030		1,061		1,092
2.400%, 08/15/2022		1,380		1,429
1.800%, 09/01/2021		1,354		1,370
Duke Energy Carolinas LLC
4.250%, 12/15/2041		1,000		1,218
4.000%, 09/30/2042		1,512		1,794
Duke Energy Florida LLC
3.850%, 11/15/2042		720		830
3.200%, 01/15/2027		1,600		1,763
Duke Energy Indiana LLC
2.750%, 04/01/2050		605		604
Duke Energy Ohio
2.125%, 06/01/2030		987		1,014
Duke Energy Progress LLC
4.150%, 12/01/2044		250		306
3.250%, 08/15/2025		2,000		2,224
2.800%, 05/15/2022		215		223
Duquesne Light Holdings
6.400%, 09/15/2020 (C)		3,525		3,582
Edison International
4.125%, 03/15/2028		4		4
Enel Finance International
4.625%, 09/14/2025 (C)		2,420		2,746
Entergy Texas
3.450%, 12/01/2027		1,625		1,754

178 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Evergy
5.292%, 06/15/2022	$	1,216	$	1,302
2.900%, 09/15/2029		1,192		1,252
2.450%, 09/15/2024		1,201		1,257
Evergy Kansas Central
3.450%, 04/15/2050		1,726		1,889
Evergy Metro
5.300%, 10/01/2041		250		323
2.250%, 06/01/2030		1,316		1,352
Eversource Energy
2.900%, 10/01/2024		3,730		3,987
Exelon
5.625%, 06/15/2035		1,720		2,253
4.700%, 04/15/2050		1,465		1,851
3.950%, 06/15/2025		1,395		1,560
2.850%, 06/15/2020		2,000		2,001
Exelon Generation LLC
3.250%, 06/01/2025		1,827		1,891
FirstEnergy
7.375%, 11/15/2031		4,905		7,203
4.250%, 03/15/2023		3,672		3,966
3.900%, 07/15/2027		2,514		2,808
2.850%, 07/15/2022		281		290
Florida Power & Light
3.950%, 03/01/2048		120		152
3.250%, 06/01/2024		455		497
Interstate Power & Light
3.500%, 09/30/2049		493		526
ITC Holdings
4.050%, 07/01/2023		2,075		2,224
2.700%, 11/15/2022		1,293		1,343
KCP&L Greater Missouri Operations
8.270%, 11/15/2021		2,894		3,137
KeySpan Gas East
2.742%, 08/15/2026 (C)		1,175		1,245
Metropolitan Edison
4.300%, 01/15/2029 (C)		1,015		1,180
4.000%, 04/15/2025 (C)		1,000		1,116
3.500%, 03/15/2023 (C)		5,050		5,287
MidAmerican Energy
4.800%, 09/15/2043		1,500		1,953
3.650%, 04/15/2029		1,330		1,577
3.650%, 08/01/2048		683		792
3.500%, 10/15/2024		100		110
3.100%, 05/01/2027		265		290
Mississippi Power
4.250%, 03/15/2042		947		1,034
3.950%, 03/30/2028		1,578		1,756
Monongahela Power
5.400%, 12/15/2043 (C)		2,000		2,764
National Fuel Gas
5.500%, 01/15/2026		344		349

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
NextEra Energy Capital Holdings
2.750%, 05/01/2025	$	2,112	$	2,265
2.403%, 09/01/2021		70		72
2.250%, 06/01/2030		2,054		2,103
NiSource
5.800%, 02/01/2042		471		627
3.600%, 05/01/2030		381		431
Oncor Electric Delivery LLC
2.750%, 05/15/2030 (C)		1,950		2,119
PECO Energy
4.150%, 10/01/2044		1,985		2,430
Pennsylvania Electric
3.250%, 03/15/2028 (C)		544		582
Perusahaan Listrik Negara MTN
6.150%, 05/21/2048 (C)		2,090		2,464
5.450%, 05/21/2028 (C)		1,030		1,144
4.125%, 05/15/2027 (C)		1,990		2,065
PPL Capital Funding
5.000%, 03/15/2044		861		1,025
4.125%, 04/15/2030		1,673		1,885
3.400%, 06/01/2023		185		194
3.100%, 05/15/2026		1,561		1,663
Progress Energy
6.000%, 12/01/2039		200		266
Public Service Electric and Gas MTN
3.700%, 05/01/2028		3,090		3,518
2.700%, 05/01/2050		1,429		1,431
Public Service of New Hampshire
3.500%, 11/01/2023		960		1,034
Sempra Energy
2.900%, 02/01/2023		1,240		1,290
Southern California Edison
4.650%, 10/01/2043		308		360
4.125%, 03/01/2048		1,048		1,203
2.850%, 08/01/2029		654		682
Southern California Gas
2.600%, 06/15/2026		368		395
2.550%, 02/01/2030		2,840		3,023
Southern Gas Capital
5.875%, 03/15/2041		430		559
3.250%, 06/15/2026		1,550		1,636
Southwestern Electric Power
2.750%, 10/01/2026		1,000		1,041
Southwestern Public Service
3.750%, 06/15/2049		2,000		2,284
Trans-Allegheny Interstate Line
3.850%, 06/01/2025 (C)		451		500
Union Electric
2.950%, 03/15/2030		3,120		3,423
Virginia Electric & Power
4.650%, 08/15/2043		1,205		1,533
3.450%, 02/15/2024		150		161

SEI Institutional Investments Trust / Annual Report / May 31, 2020 179

SCHEDULE OF INVESTMENTS

May 31, 2020

Core Fixed Income Fund (Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
2.950%, 01/15/2022	$	1,720	$	1,765
Vistra Operations LLC
4.300%, 07/15/2029 (C)		2,725		2,818
3.550%, 07/15/2024 (C)		1,790		1,830
				177,209
Total Corporate Obligations (Cost $2,462,500) ($ Thousands)				2,626,816
U.S. TREASURY OBLIGATIONS — 16.6%
U.S. Treasury Bills
1.527%, 07/23/2020 (B)		5,105		5,104
0.232%, 09/10/2020 (B)(F)		4,170		4,168
0.161%, 11/27/2020 (B)		6,915		6,909
0.151%, 10/15/2020 (B)		50,000		49,970
0.140%, 11/12/2020 (B)		100,000		99,924
0.140%, 10/20/2020 (B)		125,620		125,542
0.146%, 11/19/2020 (B)		8,130		8,123
U.S. Treasury Bonds
3.750%, 11/15/2043		2,030		3,021
3.000%, 02/15/2049		605		835
2.875%, 05/15/2043		25,407		33,168
2.750%, 11/15/2042		56,517		72,247
2.500%, 02/15/2045		12,315		15,188
2.375%, 11/15/2049		16,662		20,595
2.250%, 08/15/2049		15,130		18,196
2.000%, 02/15/2050		89,185		102,214
1.250%, 05/15/2050		64,742		62,294
1.125%, 05/15/2040		35,140		34,852
U.S. Treasury Inflation-Protected Securities
1.375%, 02/15/2044		4,220		5,651
1.000%, 02/15/2046		3,660		4,653
1.000%, 02/15/2048 (G)		8,761		11,343
1.000%, 02/15/2049 (F) (G)		21,879		27,923
0.750%, 02/15/2042		2,422		2,840
0.250%, 07/15/2029		23,693		25,383
0.250%, 02/15/2050 (G)		35,324		38,606
0.125%, 04/15/2025		18,017		18,598
U.S. Treasury Notes
2.875%, 11/30/2025		1,973		2,242
2.625%, 03/31/2025		6,674		7,415
2.500%, 02/28/2026		13,098		14,663
1.625%, 11/15/2022		46,565		48,217
0.625%, 03/31/2027		4,560		4,603
0.625%, 05/15/2030		60,599		60,469
0.500%, 03/31/2025		43,365		43,770
0.500%, 04/30/2027		17,479		17,493
0.500%, 05/31/2027		81,510		81,545
0.375%, 03/31/2022		6,656		6,681
0.375%, 04/30/2025		71,812		72,039
0.250%, 05/31/2025		55,155		55,011

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
U.S. TREASURY OBLIGATIONS (continued)
0.125%, 04/30/2022	$	1,017	$	1,016
0.125%, 05/31/2022		27,220		27,202
0.125%, 05/15/2023		461		460
Total U.S. Treasury Obligations (Cost $1,218,691) ($ Thousands)				1,240,173
ASSET-BACKED SECURITIES — 7.1%
Automotive — 1.3%
Ally Auto Receivables Trust, Ser 2018-1, Cl A3
2.350%, 06/15/2022		452		455
Ally Auto Receivables Trust, Ser 2019-3, Cl A4
1.960%, 12/16/2024		1,440		1,466
Avis Budget Rental Car Funding AESOP LLC, Ser 2017-1A, Cl A
3.070%, 09/20/2023 (C)		610		603
Avis Budget Rental Car Funding AESOP LLC, Ser 2019-3A, Cl A
2.360%, 03/20/2026 (C)		2,667		2,549
Avis Budget Rental Car Funding AESOP LLC, Ser 2020-1A, Cl A
2.330%, 08/20/2026 (C)		3,290		3,071
Bank of The West Auto Trust, Ser 2019-1, Cl A2
2.400%, 10/17/2022 (C)		889		894
CarMax Auto Owner Trust, Ser 2020-2, Cl A1
1.252%, 05/17/2021		2,762		2,766
Chesapeake Funding II LLC, Ser 2017-4A, Cl A1
2.120%, 11/15/2029 (C)		358		359
Chesapeake Funding II LLC, Ser 2018-1A, Cl B
3.450%, 04/15/2030 (C)		2,380		2,426
Chesapeake Funding II LLC, Ser 2019-1A, Cl A1
2.940%, 04/15/2031 (C)		1,571		1,584
Drive Auto Receivables Trust, Ser 2019-3, Cl A3
2.490%, 06/15/2023		2,675		2,687
Drive Auto Receivables Trust, Ser 2020-1, Cl A2
1.990%, 12/15/2022		1,575		1,580
Enterprise Fleet Financing LLC, Ser 2019-1, Cl A2
2.980%, 10/20/2024 (C)		912		924
Exeter Automobile Receivables Trust, Ser 2019-4A, Cl A
2.180%, 01/17/2023 (C)		1,077		1,080
Ford Credit Auto Owner Trust, Ser 2017-1, Cl A
2.620%, 08/15/2028 (C)		1,913		1,941

180 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Ford Credit Auto Owner Trust, Ser 2017-2, Cl A
2.360%, 03/15/2029 (C)	$	3,793	$	3,830
Ford Credit Auto Owner Trust, Ser 2017-B, Cl A4
1.870%, 09/15/2022		470		473
Ford Credit Auto Owner Trust, Ser 2018-1, Cl A
3.190%, 07/15/2031 (C)		5,844		6,118
Ford Credit Auto Owner Trust, Ser 2018-2, Cl A
3.470%, 01/15/2030 (C)		4,002		4,155
Ford Credit Auto Owner Trust, Ser 2018-A, Cl A3
3.030%, 11/15/2022		450		456
Ford Credit Auto Owner Trust, Ser 2019-C, Cl A2A
1.880%, 07/15/2022		442		445
Ford Credit Auto Owner Trust, Ser 2019- REV1, Cl A
3.520%, 07/15/2030 (C)		4,099		4,306
Ford Credit Auto Owner Trust, Ser 2020-A, Cl A2
1.030%, 10/15/2022		725		728
Ford Credit Auto Owner Trust, Ser 2020-A, Cl A3
1.040%, 08/15/2024		2,786		2,815
Ford Credit Auto Owner Trust, Ser 2020-A, Cl A4
1.350%, 07/15/2025		773		786
Ford Credit Auto Owner Trust, Ser 2020- REV1, Cl A
2.040%, 08/15/2031 (C)		6,986		7,013
Ford Credit Floorplan Master Owner Trust A, Ser 2018-4, Cl A
4.060%, 11/15/2030		2,740		2,749
GM Financial Consumer Automobile Receivables Trust, Ser 2020-1, Cl A2
1.830%, 01/17/2023		855		862
GM Financial Consumer Automobile Receivables Trust, Ser 2020-2, Cl A3
1.490%, 12/16/2024		1,193		1,217
GM Financial Consumer Automobile Receivables Trust, Ser 2020-2, Cl A4
1.740%, 08/18/2025		597		606
Hertz Fleet Lease Funding, Ser 2019-1, Cl D
3.440%, 01/10/2033 (C)		2,900		2,553
Hertz Vehicle Financing II, Ser 2018-1A, Cl A
3.290%, 02/25/2024 (C)		4,464		4,308
Honda Auto Receivables Owner Trust, Ser 2019-3, Cl A4
1.850%, 08/15/2025		1,160		1,187

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Honda Auto Receivables Owner Trust, Ser 2019-4, Cl A3
1.830%, 01/18/2024	$	1,725	$	1,764
Honda Auto Receivables Owner Trust, Ser 2020-2, Cl A2
0.740%, 11/15/2022		665		666
Honda Auto Receivables Owner Trust, Ser 2020-2, Cl A3
0.820%, 07/15/2024		5,060		5,083
Honda Auto Receivables Owner Trust, Ser 2020-2, Cl A4
1.090%, 10/15/2026		954		963
Hyundai Auto Receivables Trust, Ser 2019-B, Cl A3
1.940%, 02/15/2024		370		378
Hyundai Auto Receivables Trust, Ser 2020-A, Cl A1
1.198%, 05/17/2021		1,863		1,867
Nissan Auto Receivables Owner Trust, Ser 2017-A, Cl A4
2.110%, 05/15/2023		675		682
Prestige Auto Receivables Trust, Ser 2017-1A, Cl B
2.390%, 05/16/2022 (C)		788		789
Prestige Auto Receivables Trust, Ser 2018-1A, Cl A3
3.290%, 09/15/2022 (C)		512		514
Santander Drive Auto Receivables Trust, Ser 2020-1, Cl A3
2.030%, 02/15/2024		765		774
Santander Revolving Auto Loan Trust, Ser 2019-A, Cl A
2.510%, 01/26/2032 (C)		4,109		4,069
Tidewater Auto Receivables Trust, Ser 2020- AA, Cl A2
1.390%, 08/15/2024 (C)		1,070		1,063
Toyota Auto Loan Extended Note Trust, Ser 2019-1A, Cl A
2.560%, 11/25/2031 (C)		255		264
Toyota Auto Receivables Owner Trust, Ser 2016-D, Cl A4
1.420%, 01/15/2022		252		252
Toyota Auto Receivables Owner Trust, Ser 2019-C, Cl A3
1.910%, 09/15/2023		1,500		1,527
Toyota Auto Receivables Owner Trust, Ser 2019-D, Cl A2
1.920%, 07/15/2022		470		473
Toyota Auto Receivables Owner Trust, Ser 2019-D, Cl A3
1.920%, 01/16/2024		530		541

SEI Institutional Investments Trust / Annual Report / May 31, 2020 181

SCHEDULE OF INVESTMENTS

May 31, 2020

Core Fixed Income Fund (Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Toyota Auto Receivables Owner Trust, Ser 2020-A, Cl A2
1.670%, 11/15/2022	$	365	$	368
Toyota Auto Receivables Owner Trust, Ser 2020-B, Cl A3
1.360%, 08/15/2024		1,844		1,870
Volkswagen Auto Loan Enhanced Trust, Ser 2018-1, Cl A3
3.020%, 11/21/2022		555		565
Volkswagen Auto Loan Enhanced Trust, Ser 2020-1, Cl A3
0.980%, 11/20/2024		2,021		2,029
Volkswagen Auto Loan Enhanced Trust, Ser 2020-1, Cl A4
1.260%, 08/20/2026		758		763
				96,256
Credit Cards — 0.2%
Capital One Multi-Asset Execution Trust, Ser 2016-A7, Cl A7
0.694%, VAR ICE LIBOR USD 1 Month+0.510%, 09/16/2024		560		561
Capital One Multi-Asset Execution Trust, Ser 2017-A4, Cl A4
1.990%, 07/17/2023		700		703
Capital One Multi-Asset Execution Trust, Ser 2019-A1, Cl A1
2.840%, 12/15/2024		4,610		4,800
Citibank Credit Card Issuance Trust, Ser 2017-A5, Cl A5
0.793%, VAR ICE LIBOR USD 1 Month+0.620%, 04/22/2026		1,690		1,691
Citibank Credit Card Issuance Trust, Ser 2018-A1, Cl A1
2.490%, 01/20/2023		2,945		2,984
Citibank Credit Card Issuance Trust, Ser 2018-A2, Cl A2
0.501%, VAR ICE LIBOR USD 1 Month+0.330%, 01/20/2025		510		510
Citibank Credit Card Issuance Trust, Ser 2018-A6, Cl A6
3.210%, 12/07/2024		1,115		1,190
Discover Card Execution Note Trust, Ser 2019-A1, Cl A1
3.040%, 07/15/2024		1,115		1,161
				13,600
Mortgage Related Securities — 0.3%
Aames Mortgage Trust, Ser 2002-1, Cl A3
7.396%, 06/25/2032		25		25
ABFC Trust, Ser 2005-AQ1, Cl A4
4.639%, 01/25/2034		83		85

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Accredited Mortgage Loan Trust, Ser 2005-3, Cl M3
0.648%, VAR ICE LIBOR USD 1 Month+0.480%, 09/25/2035	$	7,222	$	6,765
Centex Home Equity Loan Trust, Ser 2005-A, Cl M1
0.888%, VAR ICE LIBOR USD 1 Month+0.720%, 01/25/2035		3,832		3,668
Centex Home Equity Loan Trust, Ser 2006-A, Cl AV4
0.418%, VAR ICE LIBOR USD 1 Month+0.250%, 06/25/2036		10		10
Delta Funding Home Equity Loan Trust, Ser 1999-3, Cl A1A
1.004%, VAR ICE LIBOR USD 1 Month+0.820%, 09/15/2029		222		210
GSAMP Trust, Ser 2006-HE2, Cl A3
0.428%, VAR ICE LIBOR USD 1 Month+0.260%, 03/25/2046		1,291		1,288
Master Asset-Backed Securities Trust, Ser 2006-WMC3, Cl A4
0.328%, VAR ICE LIBOR USD 1 Month+0.160%, 08/25/2036		818		347
Morgan Stanley Asset-Backed Securities Capital I Trust, Ser 2005-WMC3, Cl M4
1.098%, VAR ICE LIBOR USD 1 Month+0.930%, 03/25/2035		2,075		2,087
Morgan Stanley Mortgage Loan Trust, Ser 2007-3XS, Cl 2A3S
5.858%, 01/25/2047		15		8
RASC Trust, Ser 2005-KS9, Cl M5
0.798%, VAR ICE LIBOR USD 1 Month+0.630%, 10/25/2035		8,000		7,600
Soundview Home Loan Trust, Ser 2006- OPT3, Cl 2A3
0.338%, VAR ICE LIBOR USD 1 Month+0.170%, 06/25/2036		643		628
Structured Asset Securities Pass-Through Certificates, Ser 2002-AL1, Cl A2
3.450%, 02/25/2032		55		53
Wells Fargo Home Equity Asset-Backed Securities Trust, Ser 2004-2, Cl A33
1.168%, VAR ICE LIBOR USD 1 Month+1.000%, 10/25/2034		4,051		3,841
				26,615
Non-Agency Mortgage-Backed Obligations — 0.1%
CSAIL Commercial Mortgage Trust, Ser C19, Cl AS
2.971%, 03/15/2053		1,060		1,086
CSAIL Commercial Mortgage Trust, Ser C19, Cl C
3.735%, 03/15/2053 (A)		900		733

182 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
GS Mortgage Securities Trust, Ser GC47, Cl A5
2.377%, 05/12/2053	$	1,441	$	1,486
JPMBB Commercial Mortgage Securities Trust, Ser C26, Cl A4
3.494%, 01/15/2048		1,182		1,263
JPMBB Commercial Mortgage Securities Trust, Ser C29, Cl A4
3.611%, 05/15/2048		921		995
				5,563
Other Asset-Backed Securities — 5.2%
AccessLex Institute, Ser 2007-A, Cl A3
0.660%, VAR ICE LIBOR USD 3 Month+0.300%, 05/25/2036		3,442		3,126
ACIS CLO, Ser 2014-4A, Cl A
2.107%, VAR ICE LIBOR USD 3 Month+1.420%, 05/01/2026 (C)		49		48
ACIS CLO, Ser 2015-6A, Cl A1
2.277%, VAR ICE LIBOR USD 3 Month+1.590%, 05/01/2027 (C)		494		491
Allegro CLO V, Ser 2017-1A, Cl A
2.416%, VAR ICE LIBOR USD 3 Month+1.240%, 10/16/2030 (C)		3,100		3,020
American Tower Trust I, Ser 2013-13, Cl 2A
3.070%, 03/15/2048 (C)		700		716
AMMC CLO IX, Ser 2019-19A, Cl AR
2.359%, VAR ICE LIBOR USD 3 Month+1.140%, 10/16/2028 (C)		2,400		2,356
AMMC CLO XII, Ser 2017-12A, Cl AR
1.648%, VAR ICE LIBOR USD 3 Month+1.200%, 11/10/2030 (C)		750		730
Apidos CLO XXI, Ser 2018-21A, Cl A1R
2.065%, VAR ICE LIBOR USD 3 Month+0.930%, 07/18/2027 (C)		1,200		1,176
Applebee’s Funding LLC, Ser 2019-1A, Cl A2I
4.194%, 06/07/2049 (C)		2,000		1,632
ARES LII CLO, Ser 2019-52A, Cl B
2.948%, VAR ICE LIBOR USD 3 Month+1.850%, 04/22/2031 (C)		750		734
ARES XLVII CLO, Ser 2018-47A, Cl A1
2.139%, VAR ICE LIBOR USD 3 Month+0.920%, 04/15/2030 (C)		1,040		1,009
Ascentium Equipment Receivables, Ser 2019- 2A, Cl A3
2.190%, 11/10/2026 (C)		1,820		1,815
Atrium XII, Ser 2017-12A, Cl AR
1.928%, VAR ICE LIBOR USD 3 Month+0.830%, 04/22/2027 (C)		2,023		1,993
Ballyrock CLO, Ser 2018-1A, Cl A1
2.135%, VAR ICE LIBOR USD 3 Month+1.000%, 04/20/2031 (C)		500		482

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Barings BDC Static CLO, Ser 2019-1A, Cl A1
2.239%, VAR ICE LIBOR USD 3 Month+1.020%, 04/15/2027 (C)	$	934	$	919
Barings CLO, Ser 2017-IA, Cl AR
1.935%, VAR ICE LIBOR USD 3 Month+0.800%, 01/20/2028 (C)		3,659		3,609
BCC Funding XVI LLC, Ser 2019-1A, Cl A2
2.460%, 08/20/2024 (C)		4,020		4,042
BlueMountain CLO, Ser 2016-1A, Cl A1R
2.641%, VAR ICE LIBOR USD 3 Month+1.330%, 04/13/2027 (C)		420		418
BlueMountain CLO, Ser 2018-2A, Cl AR2
1.427%, VAR ICE LIBOR USD 3 Month+1.050%, 11/20/2028 (C)		1,000		978
BMW Floorplan Master Owner Trust, Ser 2018-1, Cl A1
3.150%, 05/15/2023 (C)		530		539
Brazos Education Loan Authority, Ser 2012-1, Cl A1
0.868%, VAR ICE LIBOR USD 1 Month+0.700%, 12/26/2035		1,579		1,541
Brazos Higher Education Authority, Ser 2010- 1, Cl A2
1.560%, VAR ICE LIBOR USD 3 Month+1.200%, 02/25/2035		4,835		4,684
Brazos Higher Education Authority, Ser 2011- 1, Cl A2
1.160%, VAR ICE LIBOR USD 3 Month+0.800%, 02/25/2030		584		574
Brazos Higher Education Authority, Ser 2011- 2, Cl A3
1.991%, VAR ICE LIBOR USD 3 Month+1.000%, 10/27/2036		3,520		3,394
California Street CLO IX, Ser 2019-9A, Cl AR2
3.163%, VAR ICE LIBOR USD 3 Month+1.320%, 07/16/2032 (C)		840		819
Carlyle Global Market Strategies CLO, Ser 2018-3RA, Cl A1A
2.041%, VAR ICE LIBOR USD 3 Month+1.050%, 07/27/2031 (C)		863		845
Carlyle US CLO, Ser 2017-2A, Cl A1B
2.355%, VAR ICE LIBOR USD 3 Month+1.220%, 07/20/2031 (C)		500		486
Catskill Park CLO, Ser 2017-1A, Cl A2
2.835%, VAR ICE LIBOR USD 3 Month+1.700%, 04/20/2029 (C)		1,500		1,458
CBAM, Ser 2017-1A, Cl A1
2.385%, VAR ICE LIBOR USD 3 Month+1.250%, 07/20/2030 (C)		750		736
Chase Funding Trust, Ser 2003-6, Cl 1A5
5.003%, 11/25/2034		177		183
Chase Funding Trust, Ser 2003-6, Cl 1A7
5.003%, 11/25/2034		175		180

SEI Institutional Investments Trust / Annual Report / May 31, 2020 183

SCHEDULE OF INVESTMENTS

May 31, 2020

Core Fixed Income Fund (Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Chase Issuance Trust, Ser 2016-A4
1.490%, 07/15/2022	$	175	$	175
CIT Education Loan Trust, Ser 2007-1, Cl A
1.306%, VAR ICE LIBOR USD 3 Month+0.090%, 03/25/2042 (C)		1,703		1,571
Citicorp Residential Mortgage Trust, Ser 2006-2, Cl A5
5.276%, 09/25/2036		3,781		3,840
Citicorp Residential Mortgage Trust, Ser 2007-1, Cl A5
5.253%, 03/25/2037		990		1,009
CNH Equipment Trust, Ser 2020-A, Cl A3
1.160%, 06/16/2025		2,247		2,251
CNH Equipment Trust, Ser 2020-A, Cl A4
1.510%, 04/15/2027		450		451
College Ave Student Loans LLC, Ser 2018-A, Cl A2
4.130%, 12/26/2047 (C)		748		807
College Ave Student Loans LLC, Ser 2019-A, Cl A2
3.280%, 12/28/2048 (C)		4,729		4,911
College Avenue Student Loans LLC, Ser 2017- A, Cl A1
1.818%, VAR ICE LIBOR USD 1 Month+1.650%, 11/26/2046 (C)		1,146		1,131
Commonbond Student Loan Trust, Ser 2018- BGS, Cl A1
3.560%, 09/25/2045 (C)		3,300		3,340
Commonbond Student Loan Trust, Ser 2018- CGS, Cl A1
3.870%, 02/25/2046 (C)		1,632		1,691
Community Funding CLO, Ser 2015-1A, Cl A
5.750%, 11/01/2027 (C)		2,944		3,124
COOF Securitization Trust, Ser 2014-1, Cl A, IO
2.716%, 06/25/2040 (A)(C)		241		22
Countrywide Asset-Backed Certificates Trust, Ser 2004-6, Cl 1A1
0.708%, VAR ICE LIBOR USD 1 Month+0.540%, 12/25/2034		2,874		2,660
Countrywide Asset-Backed Certificates Trust, Ser 2007-13, Cl 2A1
1.068%, VAR ICE LIBOR USD 1 Month+0.900%, 10/25/2047		321		295
Countrywide Asset-Backed Certificates, Ser 2006-15, Cl A3
4.553%, 10/25/2046 (A)		37		36
Countrywide Asset-Backed Certificates, Ser 2006-SD3, Cl A1
0.498%, VAR ICE LIBOR USD 1 Month+0.330%, 07/25/2036 (C)		72		67

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Countrywide Home Equity Loan Revolving Home Equity Loan Trust, Ser 2007-A, Cl A
0.304%, VAR ICE LIBOR USD 1 Month+0.120%, 04/15/2037	$	2,502	$	2,314
Countrywide Revolving Home Equity Loan Trust, Ser 2004-K, Cl 2A
0.484%, VAR ICE LIBOR USD 1 Month+0.300%, 02/15/2034		43		42
Credit-Based Asset Servicing & Securitization LLC, Ser 2003-CB3, Cl AF1
3.379%, 12/25/2032		34		34
Credit-Based Asset Servicing & Securitization LLC, Ser 2006-CB2, Cl AF2
3.288%, 12/25/2036		402		363
CSMC Trust, Ser 2017-RPL1, Cl A1
2.750%, 07/25/2057 (A)(C)		7,667		7,698
CVP CLO, Ser 2018-2A, Cl A
2.325%, VAR ICE LIBOR USD 3 Month+1.190%, 01/20/2031 (C)		1,500		1,435
Dell Equipment Finance Trust, Ser 2020-1, Cl A2
2.260%, 06/22/2022 (C)		985		990
Denali Capital CLO X LLC, Ser 2017-1A, Cl A1LR
2.041%, VAR ICE LIBOR USD 3 Month+1.050%, 10/26/2027 (C)		1,500		1,479
DRB Prime Student Loan Trust, Ser 2015-D, Cl A2
3.200%, 01/25/2040 (C)		431		436
Dryden 75 CLO, Ser 2019-75A, Cl AR
2.419%, VAR ICE LIBOR USD 3 Month+1.200%, 07/15/2030 (C)		1,260		1,236
Dryden XXV Senior Loan Fund, Ser 2017-25A, Cl ARR
2.119%, VAR ICE LIBOR USD 3 Month+0.900%, 10/15/2027 (C)		974		958
Dryden XXVI Senior Loan Fund, Ser 2018- 26A, Cl AR
2.119%, VAR ICE LIBOR USD 3 Month+0.900%, 04/15/2029 (C)		4,120		4,036
Earnest Student Loan Program, Ser 2016-D, Cl A2
2.720%, 01/25/2041 (C)		509		516
Educational Funding of the South, Ser 2011- 1, Cl A2
1.641%, VAR ICE LIBOR USD 3 Month+0.650%, 04/25/2035		1,063		1,038
EFS Volunteer No. 3 LLC, Ser 2012-1, Cl A3
1.168%, VAR ICE LIBOR USD 1 Month+1.000%, 04/25/2033 (C)		3,656		3,591
FNMA Grantor Trust, Ser 2017-T1, Cl A
2.898%, 06/25/2027		299		323

184 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Global SC Finance II SRL, Ser 2014-1A, Cl A2
3.090%, 07/17/2029 (C)	$	1,148	$	1,121
Golub Capital Partners CLO, Ser 2019-45A, Cl A
2.855%, VAR ICE LIBOR USD 3 Month+1.720%, 10/20/2031 (C)		1,500		1,419
Halcyon Loan Advisors Funding, Ser 2018- 2A, Cl AR
2.071%, VAR ICE LIBOR USD 3 Month+1.080%, 07/25/2027 (C)		682		674
Halsey Point CLO I, Ser 2019-1A, Cl A1A1
3.257%, VAR ICE LIBOR USD 3 Month+1.350%, 01/20/2033 (C)		2,290		2,227
Higher Education Funding I, Ser 2014-1, Cl A
1.410%, VAR ICE LIBOR USD 3 Month+1.050%, 05/25/2034 (C)		2,965		2,924
Hilton Grand Vacations Trust, Ser 2014-AA, Cl A
1.770%, 11/25/2026 (C)		2,715		2,695
Home Partners of America Trust, Ser 2019-2, Cl A
2.703%, 10/19/2039 (C)		3,826		3,890
HSI Asset Securitization Trust, Ser 2006- OPT1, Cl 2A4
0.468%, VAR ICE LIBOR USD 1 Month+0.300%, 12/25/2035		905		901
HSI Asset Securitization Trust, Ser 2006- OPT3, Cl 3A3
0.348%, VAR ICE LIBOR USD 1 Month+0.180%, 02/25/2036		325		323
Jamestown CLO IV, Ser 2017-4A, Cl A2R
2.569%, VAR ICE LIBOR USD 3 Month+1.350%, 07/15/2026 (C)		1,000		982
JFIN CLO, Ser 2017-2A, Cl A1AR
2.305%, VAR ICE LIBOR USD 3 Month+1.170%, 07/20/2026 (C)		261		258
JGWPT XXX LLC, Ser 2013-3A, Cl A
4.080%, 01/17/2073 (C)		1,523		1,626
JGWPT XXXII LLC, Ser 2014-2A, Cl A
3.610%, 01/17/2073 (C)		2,026		2,135
KGS-Alpha SBA COOF Trust, Ser 2012-A, Cl A, IO
0.657%, 08/25/2038 (A)(C)		1,185		24
KGS-Alpha SBA COOF Trust, Ser 2014-2, Cl A, IO
2.727%, 04/25/2040 (A)(C)		213		18
KKR CLO 16, Ser 2019-16, Cl A1R
2.385%, VAR ICE LIBOR USD 3 Month+1.250%, 01/20/2029 (C)		1,640		1,613
KKR CLO 16, Ser 2019-16, Cl A2R
2.935%, VAR ICE LIBOR USD 3 Month+1.800%, 01/20/2029 (C)		730		718

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
LCM Loan Income Fund I Income Note Issuer, Ser 2018-27A, Cl A1
2.256%, VAR ICE LIBOR USD 3 Month+1.080%, 07/16/2031 (C)	$	925	$	841
LCM XIII, Ser 2019-13A, Cl ARR
2.275%, VAR ICE LIBOR USD 3 Month+1.140%, 07/19/2027 (C)		2,485		2,445
LCM XIV, Ser 2018-14A, Cl AR
2.175%, VAR ICE LIBOR USD 3 Month+1.040%, 07/20/2031 (C)		1,000		966
LCM XVIII, Ser 2019-19A, Cl AR
2.459%, VAR ICE LIBOR USD 3 Month+1.240%, 07/15/2027 (C)		410		402
LCM XXI, Ser 2018-21A, Cl AR
2.015%, VAR ICE LIBOR USD 3 Month+0.880%, 04/20/2028 (C)		1,950		1,917
LCM XXIV, Ser 2017-24A, Cl A
2.445%, VAR ICE LIBOR USD 3 Month+1.310%, 03/20/2030 (C)		1,500		1,470
Madison Park Funding XXX, Ser 2018-30A, Cl A
1.969%, VAR ICE LIBOR USD 3 Month+0.750%, 04/15/2029 (C)		4,500		4,385
Marathon CLO XIII, Ser 2019-1A, Cl A1BL
3.219%, VAR ICE LIBOR USD 3 Month+2.000%, 04/15/2032 (C)		1,000		922
Mercedes-Benz Master Owner Trust, Ser 2019-AA, Cl A
0.534%, VAR ICE LIBOR USD 1 Month+0.350%, 05/15/2023 (C)		670		660
Mid-State Capital Trust, Ser 2004-1, Cl A
6.005%, 08/15/2037		197		209
Mid-State Capital Trust, Ser 2006-1, Cl A
5.787%, 10/15/2040 (C)		3,395		3,576
Mid-State Trust XI, Ser 2003-11, Cl A1
4.864%, 07/15/2038		1,643		1,735
Mill City Mortgage Trust, Ser 2015-2, Cl A2
3.000%, 09/25/2057 (A)(C)		2,129		2,149
MVW LLC, Ser 2019-2A, Cl A
2.220%, 10/20/2038 (C)		1,570		1,515
Myers Park CLO, Ser 2018-1A, Cl B1
2.735%, VAR ICE LIBOR USD 3 Month+1.600%, 10/20/2030 (C)		890		833
Navient Private Education Loan Trust, Ser 2016-AA, Cl A2B
2.334%, VAR ICE LIBOR USD 1 Month+2.150%, 12/15/2045 (C)		742		748
Navient Private Education Loan Trust, Ser 2018-BA, Cl A2A
3.610%, 12/15/2059 (C)		765		779
Navient Private Education Refi Loan Trust, Ser 2018-A, Cl A2
3.190%, 02/18/2042 (C)		793		800

SEI Institutional Investments Trust / Annual Report / May 31, 2020 185

SCHEDULE OF INVESTMENTS

May 31, 2020

Core Fixed Income Fund (Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Navient Private Education Refi Loan Trust, Ser 2018-CA, Cl A2
3.520%, 06/16/2042 (C)	$	858	$	872
Navient Private Education Refi Loan Trust, Ser 2018-DA, Cl A2A
4.000%, 12/15/2059 (C)		3,318		3,470
Navient Private Education Refi Loan Trust, Ser 2019-A, Cl A2A
3.420%, 01/15/2043 (C)		4,100		4,211
Navient Private Education Refi Loan Trust, Ser 2019-CA, Cl A2
3.130%, 02/15/2068 (C)		2,096		2,151
Navient Private Education Refi Loan Trust, Ser 2019-D, Cl A2A
3.010%, 12/15/2059 (C)		3,368		3,417
Navient Private Education Refi Loan Trust, Ser 2019-FA, Cl A2
2.600%, 08/15/2068 (C)		7,017		7,173
Navient Private Education Refi Loan Trust, Ser 2019-GA, Cl A
2.400%, 10/15/2068 (C)		3,489		3,536
Navient Private Education Refi Loan Trust, Ser 2020-A, Cl A2A
2.460%, 11/15/2068 (C)		1,884		1,874
Navient Private Education Refi Loan Trust, Ser 2020-A, Cl A2B
1.084%, VAR ICE LIBOR USD 1 Month+0.900%, 11/15/2068 (C)		1,634		1,531
Navient Private Education Refi Loan Trust, Ser 2020-BA, Cl A1
1.800%, 01/15/2069 (C)		748		750
Navient Private Education Refi Loan Trust, Ser 2020-BA, Cl A2
2.120%, 01/15/2069 (C)		1,473		1,456
Navient Private Education Refi Loan Trust, Ser 2020-CA, Cl A2A
2.150%, 11/15/2068 (C)		1,473		1,475
Navient Student Loan Trust, Ser 2014-1, Cl A3
0.678%, VAR ICE LIBOR USD 1 Month+0.510%, 06/25/2031		5,138		4,917
Navient Student Loan Trust, Ser 2014-2, Cl A
0.808%, VAR ICE LIBOR USD 1 Month+0.640%, 03/25/2083		4,001		3,800
Navient Student Loan Trust, Ser 2014-3, Cl A
0.788%, VAR ICE LIBOR USD 1 Month+0.620%, 03/25/2083		4,236		4,004
Navient Student Loan Trust, Ser 2014-4, Cl A
0.788%, VAR ICE LIBOR USD 1 Month+0.620%, 03/25/2083		2,904		2,736
Navient Student Loan Trust, Ser 2015-1, Cl A2
0.768%, VAR ICE LIBOR USD 1 Month+0.600%, 04/25/2040		1,182		1,123

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Navient Student Loan Trust, Ser 2016-1A, Cl A
0.868%, VAR ICE LIBOR USD 1 Month+0.700%, 02/25/2070 (C)	$	506	$	474
Navient Student Loan Trust, Ser 2016-3A, Cl A2
1.018%, VAR ICE LIBOR USD 1 Month+0.850%, 06/25/2065 (C)		213		213
Navient Student Loan Trust, Ser 2017-3A, Cl A3
1.218%, VAR ICE LIBOR USD 1 Month+1.050%, 07/26/2066 (C)		4,000		3,848
Navient Student Loan Trust, Ser 2018-EA, Cl A2
4.000%, 12/15/2059 (C)		2,181		2,240
Navient Student Loan Trust, Ser 2019-BA, Cl A2A
3.390%, 12/15/2059 (C)		2,612		2,688
Nelnet Student Loan Trust, Ser 2004-3, Cl A5
1.171%, VAR ICE LIBOR USD 3 Month+0.180%, 10/27/2036		1,110		1,082
Nelnet Student Loan Trust, Ser 2004-4, Cl A5
1.151%, VAR ICE LIBOR USD 3 Month+0.160%, 01/25/2037		2,200		2,107
Nelnet Student Loan Trust, Ser 2005-1, Cl A5
1.101%, VAR ICE LIBOR USD 3 Month+0.110%, 10/25/2033		7,216		6,740
Nelnet Student Loan Trust, Ser 2005-2, Cl A5
1.295%, VAR ICE LIBOR USD 3 Month+0.100%, 03/23/2037		6,428		6,070
Nelnet Student Loan Trust, Ser 2005-3, Cl A5
1.315%, VAR ICE LIBOR USD 3 Month+0.120%, 12/24/2035		5,553		5,299
Nelnet Student Loan Trust, Ser 2005-4, Cl A4
1.375%, VAR ICE LIBOR USD 3 Month+0.180%, 03/22/2032		837		773
Nelnet Student Loan Trust, Ser 2007-1, Cl A4
0.470%, VAR ICE LIBOR USD 3 Month+0.110%, 08/27/2036		3,390		3,157
Nelnet Student Loan Trust, Ser 2012-2A, Cl A
0.968%, VAR ICE LIBOR USD 1 Month+0.800%, 12/26/2033 (C)		799		784
Nelnet Student Loan Trust, Ser 2013-1A, Cl A
0.768%, VAR ICE LIBOR USD 1 Month+0.600%, 06/25/2041 (C)		1,183		1,097
Nelnet Student Loan Trust, Ser 2014-1A, Cl A
0.738%, VAR ICE LIBOR USD 1 Month+0.570%, 09/25/2041 (C)		697		665
Nelnet Student Loan Trust, Ser 2014-4A, Cl A2
1.118%, VAR ICE LIBOR USD 1 Month+0.950%, 11/25/2048 (C)		3,735		3,352

186 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Northstar, Education Finance Authority, Ser 2007-1, Cl A2
1.637%, VAR ICE LIBOR USD 3 Month+0.750%, 01/29/2046	$	41	$	41
Ocean Trails CLO IV, Ser 2013-4A, Cl AR
1.334%, VAR ICE LIBOR USD 3 Month+0.900%, 08/13/2025 (C)		205		205
Octagon Investment Partners 45, Ser 2019- 1A, Cl A
2.549%, VAR ICE LIBOR USD 3 Month+1.330%, 10/15/2032 (C)		1,500		1,469
Orange Lake Timeshare Trust, Ser 2019-A, Cl A
3.060%, 04/09/2038 (C)		1,883		1,812
Owl Rock CLO III, Ser 2020-3A, Cl A1L
2.969%, VAR ICE LIBOR USD 3 Month+1.800%, 04/20/2032 (C)		1,620		1,511
RASC Trust, Ser 2006-KS2, Cl M2
0.558%, VAR ICE LIBOR USD 1 Month+0.390%, 03/25/2036		3,625		3,417
Recette CLO, Ser 2017-1A, Cl AR
2.055%, VAR ICE LIBOR USD 3 Month+0.920%, 10/20/2027 (C)		510		501
RR 3, Ser 2018-3A, Cl A1R2
2.309%, VAR ICE LIBOR USD 3 Month+1.090%, 01/15/2030 (C)		1,100		1,073
SBA Small Business Investment, Ser 2018- 10B, Cl 1
3.548%, 09/10/2028		2,363		2,530
SBA Small Business Investment, Ser 2019- 10A, Cl 1
3.113%, 03/10/2029		1,111		1,186
Seven Sticks CLO, Ser 2018-1A, Cl A1R
2.269%, VAR ICE LIBOR USD 3 Month+1.050%, 07/15/2028 (C)		746		734
Sierra Timeshare Receivables Funding LLC, Ser 2019-3A, Cl A
2.340%, 08/20/2036 (C)		1,187		1,146
SLC Student Loan Trust, Ser 2008-1, Cl A4A
2.341%, VAR ICE LIBOR USD 3 Month+1.600%, 12/15/2032		1,172		1,153
SLM Student Loan EDC Repackaging Trust, Ser 2013-M1, Cl M1
3.500%, 10/28/2029 (C)		211		211
SLM Student Loan Trust, Ser 2003-1, Cl A5C
1.491%, VAR ICE LIBOR USD 3 Month+0.750%, 12/15/2032 (C)		1,116		1,017
SLM Student Loan Trust, Ser 2003-4, Cl A5D
1.491%, VAR ICE LIBOR USD 3 Month+0.750%, 03/15/2033 (C)		1,020		942
SLM Student Loan Trust, Ser 2003-7A, Cl A5A
1.941%, VAR ICE LIBOR USD 3 Month+1.200%, 12/15/2033 (C)		3,701		3,481

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Ser 2006-2, Cl A6
1.161%, VAR ICE LIBOR USD 3 Month+0.170%, 01/25/2041	$	3,531	$	3,300
SLM Student Loan Trust, Ser 2006-8, Cl A6
1.151%, VAR ICE LIBOR USD 3 Month+0.160%, 01/25/2041		4,250		3,877
SLM Student Loan Trust, Ser 2007-2, Cl A4
1.051%, VAR ICE LIBOR USD 3 Month+0.060%, 07/25/2022		2,332		2,180
SLM Student Loan Trust, Ser 2008-2, Cl B
2.191%, VAR ICE LIBOR USD 3 Month+1.200%, 01/25/2083		1,155		932
SLM Student Loan Trust, Ser 2008-3, Cl B
2.191%, VAR ICE LIBOR USD 3 Month+1.200%, 04/26/2083		1,155		921
SLM Student Loan Trust, Ser 2008-4, Cl B
2.841%, VAR ICE LIBOR USD 3 Month+1.850%, 04/25/2073		1,155		973
SLM Student Loan Trust, Ser 2008-5, Cl B
2.841%, VAR ICE LIBOR USD 3 Month+1.850%, 07/25/2073		1,155		1,032
SLM Student Loan Trust, Ser 2008-6, Cl A4
2.091%, VAR ICE LIBOR USD 3 Month+1.100%, 07/25/2023		5,032		4,738
SLM Student Loan Trust, Ser 2008-6, Cl B
2.841%, VAR ICE LIBOR USD 3 Month+1.850%, 07/26/2083		1,155		942
SLM Student Loan Trust, Ser 2008-7, Cl B
2.841%, VAR ICE LIBOR USD 3 Month+1.850%, 07/26/2083		1,155		1,066
SLM Student Loan Trust, Ser 2008-8, Cl B
3.241%, VAR ICE LIBOR USD 3 Month+2.250%, 10/25/2075		1,155		1,072
SLM Student Loan Trust, Ser 2008-9, Cl A
2.491%, VAR ICE LIBOR USD 3 Month+1.500%, 04/25/2023		3,573		3,492
SLM Student Loan Trust, Ser 2008-9, Cl B
3.241%, VAR ICE LIBOR USD 3 Month+2.250%, 10/25/2083		1,155		1,091
SLM Student Loan Trust, Ser 2010-1, Cl A
0.568%, VAR ICE LIBOR USD 1 Month+0.400%, 03/25/2025		138		127
SLM Student Loan Trust, Ser 2011-2, Cl A2
1.368%, VAR ICE LIBOR USD 1 Month+1.200%, 10/25/2034		495		480
SLM Student Loan Trust, Ser 2012-1, Cl A3
1.118%, VAR ICE LIBOR USD 1 Month+0.950%, 09/25/2028		3,649		3,444
SLM Student Loan Trust, Ser 2012-2, Cl A
0.868%, VAR ICE LIBOR USD 1 Month+0.700%, 01/25/2029		3,158		2,908

SEI Institutional Investments Trust / Annual Report / May 31, 2020 187

SCHEDULE OF INVESTMENTS

May 31, 2020

Core Fixed Income Fund (Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Ser 2012-6, Cl A3
0.918%, VAR ICE LIBOR USD 1 Month+0.750%, 05/26/2026	$	672	$	617
SLM Student Loan Trust, Ser 2014-3A, Cl A6A
1.541%, VAR ICE LIBOR USD 3 Month+0.550%, 10/25/2064 (C)		4,171		3,954
SMB Private Education Loan Trust, Ser 2015- A, Cl A2B
1.184%, VAR ICE LIBOR USD 1 Month+1.000%, 06/15/2027 (C)		783		777
SMB Private Education Loan Trust, Ser 2015- C, Cl A2B
1.584%, VAR ICE LIBOR USD 1 Month+1.400%, 07/15/2027 (C)		411		412
SMB Private Education Loan Trust, Ser 2016- A, Cl A2A
2.700%, 05/15/2031 (C)		2,129		2,139
SMB Private Education Loan Trust, Ser 2016- A, Cl A2B
1.684%, VAR ICE LIBOR USD 1 Month+1.500%, 05/15/2031 (C)		2,989		2,950
SMB Private Education Loan Trust, Ser 2016- B, Cl A2A
2.430%, 02/17/2032 (C)		1,041		1,055
SMB Private Education Loan Trust, Ser 2016- B, Cl A2B
1.634%, VAR ICE LIBOR USD 1 Month+1.450%, 02/17/2032 (C)		3,270		3,251
SMB Private Education Loan Trust, Ser 2016- C, Cl A2B
1.284%, VAR ICE LIBOR USD 1 Month+1.100%, 09/15/2034 (C)		1,135		1,118
SMB Private Education Loan Trust, Ser 2017- B, Cl A2A
2.820%, 10/15/2035 (C)		1,200		1,229
SMB Private Education Loan Trust, Ser 2018- C, Cl A2A
3.630%, 11/15/2035 (C)		1,362		1,416
SMB Private Education Loan Trust, Ser 2019- A, Cl A2A
3.440%, 07/15/2036 (C)		5,292		5,484
SoFi Consumer Loan Program LLC, Ser 2017- 4, Cl A
2.500%, 05/26/2026 (C)		279		279
SoFi Consumer Loan Program LLC, Ser 2017- 6, Cl A2
2.820%, 11/25/2026 (C)		211		212
SoFi Consumer Loan Program Trust, Ser 2018-1, Cl A2
3.140%, 02/25/2027 (C)		2,849		2,862
SoFi Consumer Loan Program Trust, Ser 2019-4, Cl A
2.450%, 08/25/2028 (C)		2,329		2,326

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
SoFi Professional Loan Program LLC, Ser 2016-A, Cl A2
2.760%, 12/26/2036 (C)	$	702	$	703
SoFi Professional Loan Program LLC, Ser 2016-D, Cl A1
1.118%, VAR ICE LIBOR USD 1 Month+0.950%, 01/25/2039 (C)		109		109
SoFi Professional Loan Program LLC, Ser 2016-E, Cl A1
1.018%, VAR ICE LIBOR USD 1 Month+0.850%, 07/25/2039 (C)		207		205
SoFi Professional Loan Program LLC, Ser 2016-E, Cl A2B
2.490%, 01/25/2036 (C)		255		258
SoFi Professional Loan Program LLC, Ser 2017-A, Cl A1
0.868%, VAR ICE LIBOR USD 1 Month+0.700%, 03/26/2040 (C)		221		219
SoFi Professional Loan Program LLC, Ser 2017-D, Cl A2FX
2.650%, 09/25/2040 (C)		184		188
SoFi Professional Loan Program LLC, Ser 2017-E, Cl A1
0.668%, VAR ICE LIBOR USD 1 Month+0.500%, 11/26/2040 (C)		140		139
SoFi Professional Loan Program LLC, Ser 2017-E, Cl A2B
2.720%, 11/26/2040 (C)		1,216		1,231
SoFi Professional Loan Program LLC, Ser 2018-A, Cl A2B
2.950%, 02/25/2042 (C)		1,038		1,049
SoFi Professional Loan Program Trust, Ser 2018-B, Cl A2FX
3.340%, 08/25/2047 (C)		3,215		3,306
SoFi Professional Loan Program Trust, Ser 2020-A, Cl A2FX
2.540%, 05/15/2046 (C)		3,545		3,637
SoFi Professional Loan Program Trust, Ser 2020-C, Cl AFX
1.950%, 02/15/2046 (C)		4,509		4,536
South Carolina Student Loan, Ser 2015-A, Cl A
1.668%, VAR ICE LIBOR USD 1 Month+1.500%, 01/25/2036		2,035		2,018
Structured Asset Investment Loan Trust, Ser 2004-8, Cl A2
0.718%, VAR ICE LIBOR USD 1 Month+0.550%, 09/25/2034		3,291		2,946
Structured Asset Securities Mortgage Loan Trust, Ser 2006-BC5, Cl A4
0.338%, VAR ICE LIBOR USD 1 Month+0.170%, 12/25/2036		5,974		5,663

188 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
TCI-Flatiron CLO, Ser 2019-1A, Cl AR
2.355%, VAR ICE LIBOR USD 3 Month+1.220%, 07/17/2028 (C)	$	500	$	493
TCI-Symphony CLO, Ser 2018-1A, Cl BR
2.961%, VAR ICE LIBOR USD 3 Month+1.650%, 10/13/2029 (C)		1,500		1,414
Towd Point Mortgage Trust, Ser 2015-5, Cl A1B
2.750%, 05/25/2055 (A)(C)		645		649
Towd Point Mortgage Trust, Ser 2018-2, Cl A1
3.250%, 03/25/2058 (A)(C)		1,350		1,394
Towd Point Mortgage Trust, Ser 2019-4, Cl A1
2.900%, 10/25/2059 (A)(C)		2,740		2,832
Towd Point Mortgage Trust, Ser 2019-MH1, Cl A1
3.000%, 11/25/2058 (A)(C)		1,379		1,411
Tralee CLO III, Ser 2017-3A, Cl AR
2.165%, VAR ICE LIBOR USD 3 Month+1.030%, 10/20/2027 (C)		1,096		1,085
Tralee CLO V, Ser 2018-5A, Cl B
2.835%, VAR ICE LIBOR USD 3 Month+1.700%, 10/20/2028 (C)		990		960
Tralee CLO VI, Ser 2019-6A, Cl AS
2.291%, VAR ICE LIBOR USD 3 Month+1.300%, 10/25/2032 (C)		1,760		1,756
U.S. Small Business Administration, Ser 2019-20D, Cl 1
2.980%, 04/01/2039		601		636
U.S. Small Business Administration, Ser 2019-25G, Cl 1
2.690%, 07/01/2044		601		639
Venture XXX CLO, Ser 2017-30A, Cl B
2.819%, VAR ICE LIBOR USD 3 Month+1.600%, 01/15/2031 (C)		2,000		1,905
Venture XXXII CLO, Ser 2018-32A, Cl A2A
2.205%, VAR ICE LIBOR USD 3 Month+1.070%, 07/18/2031 (C)		900		870
Verizon Owner Trust, Ser 2019-C, Cl A1A
1.940%, 04/22/2024		4,475		4,584
Verizon Owner Trust, Ser 2020-A, Cl A1A
1.850%, 07/22/2024		3,894		3,996
Voya CLO, Ser 2017-2A, Cl A2A
2.929%, VAR ICE LIBOR USD 3 Month+1.710%, 06/07/2030 (C)		1,000		975
Voya CLO, Ser 2018-3A, Cl A1A
2.369%, VAR ICE LIBOR USD 3 Month+1.150%, 10/15/2031 (C)		1,000		971
Wells Fargo Home Equity Asset-Backed Securities Trust, Ser 2006-2, Cl M2
0.458%, VAR ICE LIBOR USD 1 Month+0.290%, 07/25/2036		10,500		9,511

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Whitehorse XII, Ser 2018-12A, Cl A
2.469%, VAR ICE LIBOR USD 3 Month+1.250%, 10/15/2031 (C)	$	680	$	642
Zais CLO 13, Ser 2019-13A, Cl A1A
2.709%, VAR ICE LIBOR USD 3 Month+1.490%, 07/15/2032 (C)		3,440		3,317
Zais CLO 2, Ser 2017-2A, Cl A1BR
2.920%, 07/25/2026 (C)		417		416
Zais CLO 5, Ser 2016-2A, Cl A1
2.749%, VAR ICE LIBOR USD 3 Month+1.530%, 10/15/2028 (C)		992		977
				390,313
Total Asset-Backed Securities (Cost $538,502) ($ Thousands)				532,347
SOVEREIGN DEBT — 2.0%
Abu Dhabi Government International Bond
3.875%, 04/16/2050 (C)		4,219		4,804
2.500%, 10/11/2022 (C)		4,020		4,121
2.500%, 04/16/2025 (C)		3,681		3,822
Asian Development Bank MTN
0.625%, 04/07/2022		5,748		5,781
China Government Bond
3.310%, 11/30/2025	CNY	5,000		734
Colombia Government International Bond
5.625%, 02/26/2044	$	2,570		3,106
5.200%, 05/15/2049		3,300		3,883
5.000%, 06/15/2045		1,840		2,087
4.500%, 03/15/2029		910		1,002
Export-Import Bank of India
3.375%, 08/05/2026 (C)		1,410		1,450
Indonesia Government International Bond
5.875%, 01/15/2024 (C)		1,264		1,422
5.250%, 01/08/2047 (C)		1,210		1,491
5.125%, 01/15/2045 (C)		2,040		2,464
4.875%, 05/05/2021		500		514
4.750%, 07/18/2047 (C)		400		462
4.450%, 04/15/2070		1,125		1,248
3.850%, 07/18/2027 (C)		1,610		1,730
3.750%, 04/25/2022		500		516
Inter-American Development Bank MTN
0.875%, 04/03/2025		2,542		2,585
Israel Government AID Bond
5.500%, 09/18/2033		1,000		1,478
4.120%, 11/01/2024 (B)		1,000		963
3.487%, 02/15/2025 (B)		1,000		959
3.425%, 08/15/2025 (B)		1,000		955
Israel Government International Bond
4.500%, 04/03/2120		677		823
3.875%, 07/03/2050		1,855		2,120
2.750%, 07/03/2030		3,620		3,923

SEI Institutional Investments Trust / Annual Report / May 31, 2020 189

SCHEDULE OF INVESTMENTS

May 31, 2020

Core Fixed Income Fund (Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
SOVEREIGN DEBT (continued)
Japan Bank for International Cooperation
1.750%, 10/17/2024	$	1,894	$	1,972
Kazakhstan Government International Bond
4.875%, 10/14/2044 (C)		2,480		3,098
Kuwait International Government Bond
3.500%, 03/20/2027 (C)		1,810		1,995
Mexico Government International Bond
6.050%, 01/11/2040		4,408		5,345
5.000%, 04/27/2051		889		955
4.750%, 04/27/2032		1,480		1,602
4.750%, 03/08/2044		4,996		5,216
4.600%, 02/10/2048		608		627
4.500%, 04/22/2029		3,626		3,920
4.000%, 10/02/2023		810		858
3.900%, 04/27/2025		1,640		1,728
3.600%, 01/30/2025		3,190		3,337
3.250%, 04/16/2030		2,317		2,282
Panama Government International Bond
6.700%, 01/26/2036		1,830		2,546
4.500%, 05/15/2047		2,430		2,876
4.500%, 04/01/2056		830		979
4.300%, 04/29/2053		950		1,095
3.160%, 01/23/2030		110		115
Paraguay Government International Bond
5.400%, 03/30/2050 (C)		1,878		2,072
4.950%, 04/28/2031 (C)		1,129		1,214
Peruvian Government International Bond
6.550%, 03/14/2037		2,280		3,446
5.625%, 11/18/2050		2,400		3,731
2.783%, 01/23/2031		450		474
2.392%, 01/23/2026		774		800
Poland Government International Bond
4.000%, 01/22/2024		7,630		8,398
Qatar Government International Bond
4.817%, 03/14/2049 (C)		2,970		3,733
4.400%, 04/16/2050 (C)		2,635		3,132
4.000%, 03/14/2029 (C)		1,380		1,556
3.875%, 04/23/2023		2,870		3,057
3.750%, 04/16/2030 (C)		1,840		2,047
3.400%, 04/16/2025 (C)		2,588		2,763
Russian Foreign Bond - Eurobond
5.625%, 04/04/2042		7,000		9,568
Saudi Government International Bond MTN
2.875%, 03/04/2023 (C)		530		544
State of Israel
3.375%, 01/15/2050		548		579
Svensk Exportkredit MTN
0.750%, 04/06/2023		3,407		3,430
Uruguay Government International Bond
5.100%, 06/18/2050		2,630		3,222

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
SOVEREIGN DEBT (continued)
4.375%, 01/23/2031	$	3,280	$	3,739
Total Sovereign Debt (Cost $137,348) ($ Thousands)				152,494
MUNICIPAL BONDS — 0.5%
California — 0.1%
California State, Build America Project, GO
7.600%, 11/01/2040		275		489
California State, Build America Project, GO
Callable 06/29/2020 @ 100 7.950%, 03/01/2036		–		–
Los Angeles, Community College District, Build America Project, GO
6.750%, 08/01/2049		1,665		2,828
Regents of the University of California, Ser N, RB
3.256%, 05/15/2060		5,165		5,139
				8,456
Georgia — 0.1%
Georgia State, Municipal Electric Authority, Build America Project, RB
7.055%, 04/01/2057		161		220
6.637%, 04/01/2057		2,353		3,213
				3,433
Massachusetts — 0.1%
Commonwealth of Massachusetts, Ser C, GO
Callable 03/01/2030 @ 100 3.000%, 03/01/2049		3,250		3,461
Missouri — 0.0%
Missouri State, Health and Education Facilities, RB
Callable 02/15/2057 @ 100 3.652%, 08/15/2057		885		1,037
Missouri State, Health and Education Facilities, RB
Callable 11/15/2049 @ 100 3.229%, 05/15/2050		650		722
				1,759
Nevada — 0.0%
Clark County, Airport System Revenue, Build America Project, Ser C, RB
6.820%, 07/01/2045		1,170		1,659

190 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MUNICIPAL BONDS (continued)
New York — 0.1%
Metropolitan New York, Transportation Authority, Ser C2, RB
5.175%, 11/15/2049	$	1,685	$	1,836
New York & New Jersey, Port Authority, RB
4.458%, 10/01/2062		1,600		2,019
New York City, Build America Project, Ser F-1, GO
Callable 12/01/2020 @ 100 6.646%, 12/01/2031		2,000		2,023
New York State, Dormitory Authority, Ser A, RB
Callable 07/01/2030 @ 100 4.000%, 07/01/2050		1,945		2,105
New York State, Environmental Facilities, RB
Callable 06/15/2029 @ 100 4.000%, 06/15/2037		1,420		1,691
				9,674
Ohio — 0.0%
Ohio State University, Build America Project, Ser A, RB
4.800%, 06/01/2111		689		992
Oregon — 0.0%
Oregon State, GO
5.762%, 06/01/2023		1,690		1,817
Texas — 0.1%
North Texas, Tollway Authority, Build America Project, RB
6.718%, 01/01/2049		1,154		1,923
University of Texas System, Ser B, RB
Callable 02/15/2049 @ 100 2.439%, 08/15/2049		585		586
				2,509
Virginia — 0.0%
Virginia State, Housing Development Authority, Ser C, RB
6.000%, 06/25/2034		114		125
Total Municipal Bonds (Cost $29,778) ($ Thousands)				33,885
U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.4%
FHLB
0.180%, VAR United States Secured Overnight Financing Rate+0.120%, 10/07/2020		4,140		4,140

Description	Face Amount (Thousands)			Market Value     ($ Thousands)
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
FHLMC
2.375%, 01/13/2022	$	565		$	585
FNMA
2.625%, 09/06/2024		510			558
2.000%, 01/05/2022		70			72
0.625%, 04/22/2025		7,405			7,441
FNMA DN
0.160%, 01/15/2021 (B)		10,000			9,989
Resolution Funding Interest STRIP
1.313%, 01/15/2030 (B)		1,805			1,588
Resolution Funding Principal STRIP
1.322%, 04/15/2030 (B)		550			482
1.313%, 01/15/2030 (B)		740			651
Tennessee Valley Authority
0.750%, 05/15/2025		1,895			1,914
Tennessee Valley Authority Principal STRIP, PO
0.000%, 11/01/2025 (B)		1,000			949
Total U.S. Government Agency Obligations (Cost $28,013) ($ Thousands)					28,369
	Shares
CASH EQUIVALENT — 4.8%
SEI Daily Income Trust, Government Fund, Cl F
0.090%**†		360,499,950			360,500
Total Cash Equivalent (Cost $360,500) ($ Thousands)					360,500
Total Investments in Securities — 105.6% (Cost $7,622,849) ($ Thousands)				$	7,894,696
	Contracts
PURCHASED OPTIONS* — 0.0%
Total Purchased Options(H) (Cost $476) ($ Thousands)		1,568		$	467
PURCHASED SWAPTIONS* — 0.0%
Total Purchased Swaptions(I) (Cost $382) ($ Thousands)		16,220,000		$	2
WRITTEN SWAPTIONS* — 0.0%
Total Written Swaptions(I) (Premiums Received $1,013) ($ Thousands)		(182,960,000	)	$	–

SEI Institutional Investments Trust / Annual Report / May 31, 2020 191

SCHEDULE OF INVESTMENTS

May 31, 2020

Core Fixed Income Fund (Continued)

Description	Contracts			Market Value ($ Thousands)
WRITTEN OPTIONS* — 0.0%
Total Written Options(H) (Premiums Received $1,147) ($ Thousands)		(2,126	)	$	(798	)

A list of the exchange traded option contracts held by the Fund at May 31, 2020 is as follows:

Description	Number of Contracts			Notional Amount (Thousands)			Exercise Price		Expiration Date		Value (Thousands)
PURCHASED OPTIONS — 0.0%
Put Options
June 2020, U.S. 10 Year Future Option*		657		$	51,328		$	137.75		6/15/2020	$	52
July 2020, U.S. Bond Future Option*		127			22,654			175.50		6/29/2020		101
					73,982							153
Call Options
June 2020, U.S. 10 Year Future Option*		657			400,359			139.75		6/15/2020		133
July 2020, U.S. Bond Future Option*		127			22,654			179.50		6/29/2020		181
					423,013							314
Total Purchased Options				$	496,995						$	467
WRITTEN OPTIONS — 0.0%
Put Options
June 2020, U.S. 10 Year Future Option*		(219	)	$	(65,016	)		138.75		06/15/20	$	(65	)
July 2020, U.S. 5 Year Future Option*		(95	)		(11,934	)		125.25		06/29/20		(12	)
July 2020, U.S. Bond Future Option*		(364	)		(64,929	)		165.00		06/29/20		(29	)
July 2020, U.S. Bond Future Option*		(359	)		(64,037	)		171.00		06/29/20		(73	)
August 2020, U.S. Bond Future Option*		(85	)		(15,162	)		175.00		07/27/20		(106	)
					(221,078	)						(285	)
Call Options
July 2020, U.S. 10 Year Future Option*		(341	)		(47,420	)		143.50		06/29/20		(16	)
June 2020, U.S. 10 Year Future Option*		(219	)		(133,453	)		138.75		06/15/20		(133	)
August 2020, U.S. Bond Future Option*		(85	)		(15,162	)		180.00		07/27/20		(162	)
July 2020, U.S. Bond Future Option*		(359	)		(64,037	)		183.00		06/29/20		(202	)
					(260,072	)						(513	)
Total Written Options				$	(481,150	)					$	(798	)

A list of the open OTC swaption contracts held by the Fund at May 31, 2020, is as follows:

Description	Counterparty		Number of Contracts/ Notional Amount		Exercise Price		Expiration Date		Value (Thousands)
PURCHASED SWAPTIONS — 0.0%
Put Swaptions
Swaption 30 Year*		Morgan Stanley		6,250,000	$	1.91		08/19/2020	$	–
Swaption 5 Year*		Morgan Stanley		1,380,000	$	1.88		07/30/2020		1
Swaption 5 Year*		Morgan Stanley		4,150,000	$	1.88		07/30/2020		1
Swaption 5 Year*		Morgan Stanley		4,440,000	$	1.92		07/31/2020		–
Total Purchased Swaptions									$	2

192 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Counterparty		Number of Contracts/ Notional Amount			Exercise Price		Expiration Date		Value       (Thousands)
WRITTEN SWAPTIONS — 0.0%
Put Swaptions
Swaption 2 Year*		Morgan Stanley		(33,760,000	)		$0.62		06/05/2020	$	–
Swaption 30 Year*		Morgan Stanley		(31,270,000	)		$1.60		08/19/2020		–
Swaption 5 Year*		Morgan Stanley		(22,210,000	)		$1.60		08/04/2020		–
Swaption 5 Year*		Morgan Stanley		(33,760,000	)		$0.73		06/05/2020		–
Swaption 5 Year*		Morgan Stanley		(7,600,000	)		$1.55		07/30/2020		–
Swaption 5 Year*		Morgan Stanley		(22,800,000	)		$1.55		07/30/2020		–
Swaption CDX.NA.IG.34*		BNP Paribas		(31,560,000	)		$140.00		06/18/2025		–
Total Written Swaptions										$	–

A list of the open futures contracts held by the Fund at May 31, 2020 is as follows:

Type of Contract	Number of Contracts Long (Short)			Expiration Date		Notional Amount (Thousands)			Value       (Thousands)			Unrealized Appreciation   (Depreciation) (Thousands)
90-Day Euro$		(1,112	)		Dec-2021	$	(275,639	)	$	(277,374	)	$	(1,735	)
90-Day Euro$		1,773			Jun-2020		440,177			441,909			1,732
90-Day Euro$		(553	)		Mar-2021		(137,768	)		(137,946	)		(178	)
Euro-Bund		(170	)		Sep-2020		(32,743	)		(33,215	)		(23	)
Euro-Bund		(193	)		Jun-2020		(37,668	)		(37,024	)		597
U.S. 2-Year Treasury Note		(269	)		Oct-2020		(59,402	)		(59,407	)		(5	)
U.S. 5-Year Treasury Note		1,015			Oct-2020		127,312			127,509			197
U.S. 5-Year Treasury Note		(1,386	)		Oct-2020		(173,771	)		(174,116	)		(345	)
U.S. 10-Year Treasury Note		3,235			Sep-2020		448,846			449,867			1,021
U.S. Long Treasury Bond		892			Sep-2020		159,384			159,110			(274	)
U.S. Long Treasury Bond		(415	)		Sep-2020		(73,778	)		(74,025	)		(247	)
U.S. Ultra Long Treasury Bond		79			Sep-2020		17,088			17,224			136
U.S. Ultra Long Treasury Bond		410			Sep-2020		89,463			89,393			(70	)
Ultra 10-Year U.S. Treasury Note		(626	)		Sep-2020		(98,279	)		(98,487	)		(208	)
						$	393,222		$	393,418		$	598

A list of the open forward foreign currency contracts held by the Fund at May 31, 2020 is as follows:

Counterparty	Settlement Date			Currency to Deliver (Thousands)			Currency to Receive (Thousands)		Unrealized Appreciation (Depreciation) (Thousands)
BNP Paribas		07/16/20	EUR		5,657	USD		6,177	$	(120	)
BNP Paribas		07/16/20	CNH		9,709	USD		1,367		16
Citigroup		07/16/20	EUR		1,329	USD		1,457		(22	)
Citigroup		07/16/20	GBP		1,568	USD		1,947		8
Citigroup		07/16/20	USD		3,208	AUD		5,148		208
Citigroup		07/16/20	USD		10,605	BRL		55,697		(368	)
Goldman Sachs		07/16/20	USD		3,289	BRL		17,430		(86	)
Morgan Stanley		07/16/20	USD		13,904	CAD		19,600		280
									$	(84	)

SEI Institutional Investments Trust / Annual Report / May 31, 2020 193

SCHEDULE OF INVESTMENTS

May 31, 2020

Core Fixed Income Fund (Concluded)

A list of the open centrally cleared swap agreements held by the Fund at May 31, 2020 is as follows:

Credit Default Swap
Reference Entity/ Obligation	Buy/Sell Protection	(Pays)/Receives Rate	Payment Frequency	Termination Date	Notional Amount (Thousands)			Value (Thousands)		Upfront Payments/ Receipts (Thousands)			Net Unrealized Appreciation (Depreciation) (Thousands)
CDX.NA.IG.3406	Sell	1.00%	Quarterly	06/20/2025		(256,820	)	$	2,697	$	(600	)	$	3,297

Interest Rate Swaps
Fund Pays	Fund Receives		Payment Frequency	Termination Date		Currency	Notional Amount (Thousands)		Value (Thousands)			Upfront Payments/ Receipts (Thousands)			Net Unrealized Appreciation (Depreciation) (Thousands)
3-MONTH USD - LIBOR		0.06% FIXED	Semi-Annually		03/23/2022	USD		72,353	$	410			$10		$	400
3-MONTH USD - LIBOR		0.38%	Semi-Annually		08/31/2024	USD		48,574		147			17			130
LIBOR-BBA		0.07% FIXED	Semi-Annually		03/23/2025	USD		42,150		692			(33	)		725
1.55%		3-MONTH USD -LIBOR	Quarterly		06/30/2026	USD		134,183		(9,026	)		421			(9,447	)
1.52%		3-MONTH USD -LIBOR	Quarterly		07/31/2026	USD		58,613		(3,890	)		196			(4,086	)
1.65%		3-MONTH USD -LIBOR	Quarterly		11/15/2026	USD		6,000		(464	)		(22	)		(442	)
1.6%		3-MONTH USD -LIBOR	Quarterly		11/15/2026	USD		17,354		(1,286	)		9			(1,295	)
0.3%		ICAP US Federal Funds Rate	Annually		02/15/2027	USD		54,055		(307	)		162			(469	)
.75%		3-MONTH USD -LIBOR	Quarterly		02/15/2027	USD		46,577		(875	)		8			(883	)
.77%		3-MONTH USD -LIBOR	Semi-Annually		03/24/2027	USD		54,710		1,070			397			673
1.85%		3-MONTH USD -LIBOR	Quarterly		11/15/2044	USD		26,045		(5,538	)		51			(5,589	)
1.656%		3-MONTH USD -LIBOR	Quarterly		08/23/2049	USD		17,230		(3,341	)		(63	)		(3,278	)
0.9%		3-MONTH USD -LIBOR	Quarterly		03/17/2050	USD		6,235		60			7			53
0.79177%		3-MONTH USD -LIBOR	Quarterly		03/18/2050	USD		3,155		124			–			124
3-MONTH USD - LIBOR		0.81801%	Quarterly		03/19/2050	USD		3,185		102			–			102
									$	(22,122	)	$	1,160		$	(23,282	)

Percentages are based on Net Assets of $7,475,630 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2020.

^†  Investment in Affiliated Security (see Note 6).

(A) Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets.

(B) Zero coupon security. The rate shown on the Schedule of Investments is the security’s effective yield at the time of purchase.

(C) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On May 31, 2020, the value of these securities amounted to $1,044,592 ($ Thousands), representing 14.0% of the Net Assets of the Fund.

(D) Perpetual security with no stated maturity date.

(E) Security is in default on interest payment.

(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 swap contracts.

(H) Refer to table below for details on Options Contracts.

(I) Refer to table below for details on Swaption Contracts.

ACES — Alternative Credit Enhancement Securities

AID — Agency for International Development

ARM — Adjustable Rate Mortgage

AUD — Australian Dollar

BRL — Brazilian Real

CAD — Canadian Dollar

Cl — Class

CLO — Collateralized Loan Obligation

CMO — Collateralized Mortgage Obligation

CNH — Chinese Yuan Offshore

DAC — Designated Activity Company

DN — Discount Note

EUR — Euro

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

FREMF— Freddie Mac Multi-Family

GBP — British Pound Sterling

GNMA — Government National Mortgage Association

GO — General Obligation

ICE— Intercontinental Exchange

IO — Interest

Only — face amount represents notional amount.

JSC — Joint-Stock Company

LIBOR— London Interbank Offered Rate

LLC — Limited Liability Company

MTN — Medium Term Note

NCUA — National Credit Union Association

PLC — Public Limited Company

PO — Principal Only

RB — Revenue Bond

REMIC — Real Estate Mortgage Investment Conduit

Ser — Series

STRIPS — Separately Traded Registered Interest and Principal Securities

TBA — To Be Announced

USD — United States Dollar

VAR — Variable Rate

194 SEI Institutional Investments Trust / Annual Report / May 31, 2020

The following is a list of the level of inputs used as of May 31, 2020, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1         ($)		Level 2         ($)		Level 3         ($)		Total         ($)
Mortgage-Backed Securities		–		2,920,112		–		2,920,112
Corporate Obligations		–		2,626,816		–		2,626,816
U.S. Treasury Obligations		–		1,240,173		–		1,240,173
Asset-Backed Securities		–		532,347		–		532,347
Sovereign Debt		–		152,494		–		152,494
Municipal Bonds		–		33,885		–		33,885
U.S. Government Agency Obligations		–		28,369		–		28,369
Cash Equivalent		360,500		–		–		360,500
Total Investments in Securities		360,500		7,534,196		–		7,894,696

Other Financial Instruments	Level 1         ($)		Level 2         ($)			Level 3         ($)		Total         ($)
Purchased Options		467		–			–		467
Purchased Swaptions		–		2			–		2
Written Swaptions		–		–			–		–
Written Options		(798)		–			–		(798)
Futures Contracts*
Unrealized Appreciation		3,683		–			–		3,683
Unrealized Depreciation		(3,085)		–			–		(3,085)
Forwards Contracts*
Unrealized Appreciation		–		512			–		512
Unrealized Depreciation		–		(596)			–		(596)
Centrally Cleared Swaps
Credit Default Swaps*
Unrealized Appreciation		–		3,297			–		3,297
Interest Rate Swaps*
Unrealized Appreciation		–		2,207			–		2,207
Unrealized Depreciation		–		(25,489	)		–		(25,489	)
Total Other Financial Instruments		267		(20,067)			–		(19,800)

* Futures contracts, forward contracts and swaps are valued at the unrealized appreciation (depreciation) on the instrument.

For the year ended May 31, 2020, there were no transfers in or out of Level 3.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

The following is a summary of the Fund’s transactions with affiliates for the year ended May 31, 2020 ($ Thousands):

Security Description	Value 5/31/2019	Purchases at Cost	Proceeds from Sales	Realized Gain/ (Loss)	Change in Unrealized Appreciation/ (Depreciation)	Value 5/31/2020	Shares	Income	Capital Gains
SEI Daily Income Trust, Government Fund, Cl F	$ 143,681	$ 6,178,319	$ (5,961,500)	$ —	$ —	$ 360,500	360,499,950	$ 3,146	$ —

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, 2020 195

SCHEDULE OF INVESTMENTS

May 31, 2020

High Yield Bond Fund

Sector Weightings (Unaudited)^†:

^†Percentages are based on total investments.

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS — 79.2%
Communication Services — 16.0%
Altice Financing
7.500%, 05/15/2026 (A)	$	6,651	$	7,002
5.000%, 01/15/2028 (A)		4,350		4,387
Altice France
8.125%, 02/01/2027 (A)		1,647		1,812
Altice France Holding
10.500%, 05/15/2027 (A)		1,135		1,257
6.000%, 02/15/2028 (A)		4,998		4,860
AMC Entertainment Holdings
10.500%, 04/15/2025 (A)		2,885		2,539
6.125%, 05/15/2027		680		170
5.750%, 06/15/2025		600		156
AMC Networks
4.750%, 08/01/2025		4,903		4,940
CCO Holdings LLC
5.875%, 04/01/2024 (A)		3,211		3,311
5.750%, 02/15/2026 (A)		4,495		4,687
5.500%, 05/01/2026 (A)		5,140		5,436
5.125%, 05/01/2027 (A)		2,170		2,278
5.000%, 02/01/2028 (A)		5,165		5,410
4.750%, 03/01/2030 (A)		600		627
4.500%, 08/15/2030 (A)		740		768
CenturyLink
7.500%, 04/01/2024		1,480		1,628
6.875%, 01/15/2028		638		667
5.625%, 04/01/2025		325		335
5.125%, 12/15/2026 (A)		4,261		4,304
4.000%, 02/15/2027 (A)		843		841

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Cincinnati Bell
8.000%, 10/15/2025 (A)	$	4,955	$	5,116
7.000%, 07/15/2024 (A)		455		469
Cinemark USA
8.750%, 05/01/2025 (A)		191		199
5.125%, 12/15/2022		874		778
Clear Channel Worldwide Holdings
9.250%, 02/15/2024		8,963		8,227
5.125%, 08/15/2027 (A)		2,729		2,729
Cogent Communications Finance
5.625%, 04/15/2021 (A)		1,170		1,170
Consolidated Communications
6.500%, 10/01/2022		2,726		2,614
CSC Holdings LLC
10.875%, 10/15/2025 (A)		2,373		2,569
7.500%, 04/01/2028 (A)		3,735		4,146
6.750%, 11/15/2021		1,590		1,675
6.625%, 10/15/2025 (A)		400		418
6.500%, 02/01/2029 (A)		3,501		3,865
5.750%, 01/15/2030 (A)		3,039		3,191
5.500%, 05/15/2026 (A)		2,400		2,507
5.375%, 07/15/2023 (A)		905		918
Cumulus Media New Holdings
6.750%, 07/01/2026 (A)		5,330		4,439
Diamond Sports Group LLC
6.625%, 08/15/2027 (A)		5,245		3,163
5.375%, 08/15/2026 (A)		8,319		6,614
Digicel Group
6.750%, 03/01/2023 (A)		1,730		796
Digicel Group One
8.250%, 12/30/2022 (A)(B)		595		384
Digicel International Finance
13.000% cash/13.000% PIK, 12/31/2025 (A)		610		540
8.750%, 05/25/2024 (A)		2,567		2,464
8.000%, 12/31/2026 (A)		480		247
DISH DBS
7.750%, 07/01/2026		2,360		2,448
5.875%, 11/15/2024		5,429		5,360
5.000%, 03/15/2023		4,565		4,547
DKT Finance ApS
9.375%, 06/17/2023 (A)		2,964		2,979
Embarq
7.995%, 06/01/2036		282		301
Entercom Media
7.250%, 11/01/2024 (A)		1,445		1,163
6.500%, 05/01/2027 (A)		375		330
EW Scripps
5.125%, 05/15/2025 (A)		3,191		2,968
Frontier Communications
11.000%, 09/15/2025 (B)		1,520		532
10.500%, 09/15/2022 (B)		1,655		575

196 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
8.500%, 04/15/2020 (B)	$	216	$	69
8.500%, 04/01/2026 (A)(B)		3,615		3,470
8.000%, 04/01/2027 (A)(B)		2,549		2,622
7.125%, 01/15/2023 (B)		1,595		488
6.875%, 01/15/2025 (B)		4,255		1,298
GCI LLC
6.875%, 04/15/2025		260		270
6.625%, 06/15/2024 (A)		290		304
Getty Images
9.750%, 03/01/2027 (A)		2,935		2,621
Gogo Intermediate Holdings LLC
9.875%, 05/01/2024 (A)		1,059		982
Gray Television
7.000%, 05/15/2027 (A)		5,108		5,395
iHeartCommunications
8.375%, 05/01/2027 (J)		4,540		4,245
6.375%, 05/01/2026 (J)		154		162
5.250%, 08/15/2027 (A)(J)		2,652		2,598
4.750%, 01/15/2028 (A)(J)		1,347		1,292
Intelsat Connect Finance
9.500%, 02/15/2023 (A)(B)		785		196
Intelsat Jackson Holdings
9.750%, 07/15/2025 (A)(B)		5,152		3,040
8.500%, 10/15/2024 (A)(B)		3,082		1,757
5.500%, 08/01/2023 (B)		4,917		2,594
Intelsat Luxembourg
8.125%, 06/01/2023 (B)		1,010		53
LCPR Senior Secured Financing DAC
6.750%, 10/15/2027 (A)		5,916		6,155
Level 3 Financing
5.375%, 01/15/2024		550		557
5.375%, 05/01/2025		5,216		5,358
4.625%, 09/15/2027 (A)		2,269		2,325
Live Nation Entertainment
6.500%, 05/15/2027 (A)		1,709		1,815
5.625%, 03/15/2026 (A)		466		450
4.875%, 11/01/2024 (A)		5,675		5,420
4.750%, 10/15/2027 (A)		2,633		2,442
Match Group
4.125%, 08/01/2030 (A)		1,312		1,286
McClatchy
9.000%, 07/15/2026 (B)		5,635		5,480
McGraw-Hill Global Education Holdings LLC
7.875%, 05/15/2024 (A)		2,410		1,621
Meredith
6.875%, 02/01/2026		3,985		3,691
Midcontinent Communications
5.375%, 08/15/2027 (A)		1,042		1,063
Netflix
5.875%, 11/15/2028		863		982
5.375%, 11/15/2029 (A)		275		305
4.875%, 04/15/2028		1,862		1,988

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
4.875%, 06/15/2030 (A)	$	1,326	$	1,431
Nexstar Broadcasting
5.625%, 08/01/2024 (A)		3,136		3,199
5.625%, 07/15/2027 (A)		6,756		6,925
Photo Holdings Merger Sub
8.500%, 10/01/2026 (A)		1,788		1,621
Radiate Holdco LLC
6.875%, 02/15/2023 (A)		1,310		1,333
6.625%, 02/15/2025 (A)		4,569		4,681
Sable International Finance
5.750%, 09/07/2027 (A)		3,388		3,407
Salem Media Group
6.750%, 06/01/2024 (A)		5,855		4,860
Scripps Escrow
5.875%, 07/15/2027 (A)		1,868		1,775
SFR Group
7.375%, 05/01/2026 (A)		5,181		5,453
Sinclair Television Group
5.625%, 08/01/2024 (A)		2,349		2,325
5.500%, 03/01/2030 (A)		2,850		2,608
5.125%, 02/15/2027 (A)		6,812		6,338
Sirius XM Radio
5.500%, 07/01/2029 (A)		2,875		3,083
5.375%, 04/15/2025 (A)		1,320		1,354
5.375%, 07/15/2026 (A)		2,778		2,880
5.000%, 08/01/2027 (A)		1,427		1,491
4.625%, 07/15/2024 (A)		560		573
SoftBank Group
6.000%, VAR USD ICE Swap 11:00 NY 5 Yr+4.226%(C)		950		882
5.125%, 09/19/2027		799		789
Sprint
7.875%, 09/15/2023		2,793		3,170
7.625%, 02/15/2025		7,815		9,122
7.625%, 03/01/2026		2,559		3,058
7.250%, 09/15/2021		2,180		2,285
7.125%, 06/15/2024		4,935		5,595
Sprint Capital
8.750%, 03/15/2032		4,233		6,105
TEGNA
4.625%, 03/15/2028 (A)		2,684		2,550
Telecom Italia
5.303%, 05/30/2024 (A)		1,510		1,581
Telecom Italia Capital
6.375%, 11/15/2033		495		553
6.000%, 09/30/2034		2,699		2,908
Telenet Finance Luxembourg Notes Sarl
5.500%, 03/01/2028 (A)		1,200		1,248
Telesat Canada
6.500%, 10/15/2027 (A)		5,203		5,102
4.875%, 06/01/2027 (A)		4,113		4,103

SEI Institutional Investments Trust / Annual Report / May 31, 2020 197

SCHEDULE OF INVESTMENTS

May 31, 2020

High Yield Bond Fund(Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Terrier Media Buyer
8.875%, 12/15/2027 (A)	$	7,772	$	7,539
T-Mobile USA
6.500%, 01/15/2024		955		976
6.500%, 01/15/2026		2,195		2,317
6.375%, 03/01/2025		4,220		4,352
4.750%, 02/01/2028		5,620		5,971
4.375%, 04/15/2040 (A)		88		97
3.875%, 04/15/2030 (A)		750		812
3.750%, 04/15/2027 (A)		430		461
3.500%, 04/15/2025 (A)		159		170
Townsquare Media
6.500%, 04/01/2023 (A)		4,925		3,891
Trilogy International Partners LLC
8.875%, 05/01/2022 (A)		275		245
U.S. Cellular
6.700%, 12/15/2033		2,575		2,773
Univision Communications
9.500%, 05/01/2025 (A)		2,480		2,654
Urban One
7.375%, 04/15/2022 (A)		9,746		7,992
Videotron
5.375%, 06/15/2024 (A)		730		774
5.125%, 04/15/2027 (A)		955		1,004
Virgin Media Secured Finance
5.500%, 05/15/2029 (A)		1,983		2,082
Windstream Services LLC
9.000%, 06/30/2025 (A)(B)		3,334		167
Zayo Group Holdings
6.125%, 03/01/2028 (A)		2,536		2,504
4.000%, 03/01/2027 (A)		1,731		1,701
Ziggo BV
5.500%, 01/15/2027 (A)		2,630		2,766
				367,886
Consumer Discretionary — 13.1%
1011778 BC ULC / New Red Finance Inc
4.375%, 01/15/2028 (A)		2,528		2,484
Adelphia Communications (Escrow Security)
10.250%, 06/15/2011 (B)(D)		125		1
7.875%, 01/15/2009 (B)(D)		250		–
7.750%, 05/01/2009 (B)(D)		75		–
Adelphia Communications (Escrow Security), Ser B
9.500%, 02/15/2004 (B)(D)		25		–
Adient Global Holdings, Ltd.
4.875%, 08/15/2026 (A)		1,090		915
Adient US LLC
9.000%, 04/15/2025 (A)		768		819
7.000%, 05/15/2026 (A)		540		554
American Axle & Manufacturing
6.500%, 04/01/2027		1,580		1,477

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
6.250%, 04/01/2025	$	1,180	$	1,112
6.250%, 03/15/2026		630		586
American Builders & Contractors Supply
4.000%, 01/15/2028 (A)		1,323		1,330
American Greetings
8.750%, 04/15/2025 (A)		3,660		2,644
Aramark Services
5.000%, 02/01/2028 (A)		745		734
Arrow Bidco LLC
9.500%, 03/15/2024 (A)		1,358		862
Asbury Automotive Group
4.500%, 03/01/2028 (A)		1,037		983
Ashton Woods USA LLC
6.625%, 01/15/2028 (A)		2,588		2,226
Aventine (Escrow Security)
0.000%, 10/15/2049 (B)(D)(E)		2,600		–
Booking Holdings
4.500%, 04/13/2027		894		994
Boyd Gaming
8.625%, 06/01/2025 (A)		2,994		3,198
6.000%, 08/15/2026		530		515
4.750%, 12/01/2027 (A)		931		857
Boyne USA
7.250%, 05/01/2025 (A)		370		391
Brookfield Residential Properties
4.875%, 02/15/2030 (A)		1,081		919
Burlington Coat Factory Warehouse
6.250%, 04/15/2025 (A)		894		925
Caesars Resort Collection LLC
5.250%, 10/15/2025 (A)		2,655		2,363
Carnival
11.500%, 04/01/2023 (A)		7,223		7,691
Cedar Fair
5.500%, 05/01/2025 (A)		285		289
5.375%, 06/01/2024		2,845		2,703
5.250%, 07/15/2029 (A)		110		104
Cengage Learning
9.500%, 06/15/2024 (A)		5,695		3,844
Century Communities
6.750%, 06/01/2027		624		637
5.875%, 07/15/2025		1,771		1,784
Cirsa Finance International Sarl
7.875%, 12/20/2023 (A)		2,064		1,873
Claire’s Stores Inc (Escrow Security)
9.000%, 03/15/2019 (B)		1,480		–
Clarios Global
6.750%, 05/15/2025 (A)		1,805		1,873
Constellation Merger Sub
8.500%, 09/15/2025 (A)		853		589
Cooper-Standard Automotive
13.000%, 06/01/2024 (A)		520		530
5.625%, 11/15/2026 (A)		1,485		950

198 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Core & Main
6.125%, 08/15/2025 (A)	$	2,990	$	2,923
Core & Main Holdings
8.625% cash/9.375% PIK, 09/15/2024 (A)		1,995		1,905
CSC Holdings LLC
5.875%, 09/15/2022		152		160
Dana
5.375%, 11/15/2027		2,795		2,669
Dana Financing Luxembourg Sarl
6.500%, 06/01/2026 (A)		1,245		1,251
Delphi Technologies
5.000%, 10/01/2025 (A)		7,912		8,167
Diamond Resorts International
10.750%, 09/01/2024 (A)		3,680		2,604
eG Global Finance
8.500%, 10/30/2025 (A)		1,477		1,540
6.750%, 02/07/2025 (A)		5,815		5,886
Enterprise Development Authority
12.000%, 07/15/2024 (A)		2,271		2,232
ESH Hospitality
5.250%, 05/01/2025 (A)		540		525
4.625%, 10/01/2027 (A)		3,452		3,266
Expedia Group
7.000%, 05/01/2025 (A)		614		657
6.250%, 05/01/2025 (A)		1,171		1,251
Ferrellgas
10.000%, 04/15/2025 (A)		559		597
Fontainebleau Las Vegas
0.000%, 06/15/2015 (A)(B)(D)		3,481		–
Ford Motor
9.625%, 04/22/2030		745		827
9.000%, 04/22/2025		4,661		4,871
8.500%, 04/21/2023		5,080		5,258
Ford Motor Credit LLC
5.596%, 01/07/2022		1,101		1,098
5.584%, 03/18/2024		105		104
4.687%, 06/09/2025		945		905
4.542%, 08/01/2026		780		731
4.271%, 01/09/2027		485		441
4.140%, 02/15/2023		395		383
4.063%, 11/01/2024		376		353
3.813%, 10/12/2021		930		904
3.810%, 01/09/2024		225		211
3.350%, 11/01/2022		265		251
3.096%, 05/04/2023		448		420
3.087%, 01/09/2023		57		54
2.979%, 08/03/2022		1,105		1,055
2.191%, VAR ICE LIBOR USD 3 Month+0.880%, 10/12/2021		1,380		1,297
Ford Motor Credit LLC MTN
4.389%, 01/08/2026		210		197

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Gap
8.875%, 05/15/2027 (A)	$	445	$	466
8.625%, 05/15/2025 (A)		2,740		2,877
8.375%, 05/15/2023 (A)		1,629		1,731
General Motors
6.800%, 10/01/2027		2,079		2,374
6.125%, 10/01/2025		727		793
5.400%, 10/02/2023		901		950
Golden Nugget
8.750%, 10/01/2025 (A)		3,951		2,608
6.750%, 10/15/2024 (A)		1,562		1,261
GrubHub Holdings
5.500%, 07/01/2027 (A)		441		429
Guitar Center
13.000% cash/8.000% PIK, 04/15/2022 (A)		15,076		6,121
10.000%, 05/15/2022 (A)		95		95
Guitar Center Escrow Issuer
9.500%, 10/15/2021 (A)		1,065		788
Hanesbrands
5.375%, 05/15/2025 (A)		2,652		2,718
4.875%, 05/15/2026 (A)		370		375
4.625%, 05/15/2024 (A)		996		1,013
Hillman Group
6.375%, 07/15/2022 (A)		5,502		4,956
Hilton Domestic Operating
5.750%, 05/01/2028 (A)		171		177
5.375%, 05/01/2025 (A)		114		117
5.125%, 05/01/2026		1,165		1,168
Hilton Worldwide Finance LLC
4.875%, 04/01/2027		148		147
4.625%, 04/01/2025		187		186
Houghton Mifflin Harcourt Publishers
9.000%, 02/15/2025 (A)		4,870		4,334
Hyatt Hotels
5.750%, 04/23/2030		1,458		1,537
5.375%, 04/23/2025		1,017		1,064
IAA Spinco
5.500%, 06/15/2027 (A)		1,075		1,091
IHO Verwaltungs GmbH
6.375% cash/7.125% PIK, 05/15/2029 (A)		1,215		1,142
6.000% cash/6.750% PIK, 05/15/2027 (A)		1,315		1,289
Inn of the Mountain Gods Resort & Casino
9.250% cash/0% PIK, 11/30/2020 (D)		4,084		3,267
International Game Technology
6.500%, 02/15/2025 (A)		635		654
6.250%, 02/15/2022 (A)		1,341		1,369
6.250%, 01/15/2027 (A)		4,733		4,816
IRB Holding
7.000%, 06/15/2025 (A)		3,519		3,651

SEI Institutional Investments Trust / Annual Report / May 31, 2020 199

SCHEDULE OF INVESTMENTS

May 31, 2020

High Yield Bond Fund(Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
6.750%, 02/15/2026 (A)	$	8,127	$	7,609
JC Penney
6.375%, 10/15/2036 (B)		5,930		59
Kohl’s
9.500%, 05/15/2025		1,336		1,424
L Brands
7.500%, 06/15/2029		2,264		1,992
6.875%, 11/01/2035		75		62
6.750%, 07/01/2036		2,160		1,801
6.625%, 04/01/2021		1,693		1,685
5.625%, 02/15/2022		625		609
Liberty Interactive LLC
8.250%, 02/01/2030		5,274		4,880
Lions Gate Capital Holdings LLC
6.375%, 02/01/2024 (A)		3,370		3,400
Lithia Motors
4.625%, 12/15/2027 (A)		3,300		3,185
Macy’s
8.375%, 06/15/2025 (A)		2,827		2,855
Macy’s Retail Holdings
3.875%, 01/15/2022		549		488
Marriott International
5.750%, 05/01/2025		175		190
4.625%, 06/15/2030		202		206
Marriott Ownership Resorts
6.500%, 09/15/2026		920		913
6.125%, 09/15/2025 (A)		381		392
Mattamy Group
4.625%, 03/01/2030 (A)		2,872		2,642
Mattel
6.750%, 12/31/2025 (A)		1,920		2,002
5.875%, 12/15/2027 (A)		300		305
Melco Resorts Finance
5.250%, 04/26/2026		1,360		1,354
Men’s Wearhouse
7.000%, 07/01/2022		1,383		398
MGM Resorts International
6.750%, 05/01/2025		2,164		2,192
6.000%, 03/15/2023		2,515		2,521
5.750%, 06/15/2025		1,496		1,492
5.500%, 04/15/2027		712		692
Millennium (Escrow Security)
7.625%, 11/15/2026 (B)(D)		200		–
NCL
12.250%, 05/15/2024 (A)		1,170		1,255
Neiman Marcus Group LLC
14.000%, 04/25/2024 (A)(B)		1,220		281
8.750%, 10/15/2021 (A)(B)		1,360		751
8.750%, 10/25/2024 (A)(B)		1,946		49
8.000%, 10/15/2021 (A)(B)		1,475		815
8.000%, 10/25/2024 (A)(B)		2,671		67

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Newell Brands
5.875%, 04/01/2036	$	130	$	136
4.875%, 06/01/2025		751		779
4.700%, 04/01/2026		3,650		3,779
Nordstrom
8.750%, 05/15/2025 (A)		205		220
Panther BF Aggregator 2
8.500%, 05/15/2027 (A)		5,041		4,940
6.250%, 05/15/2026 (A)		4,470		4,537
Party City Holdings
6.625%, 08/01/2026 (A)		1,325		204
Penn National Gaming
5.625%, 01/15/2027 (A)		1,156		1,087
PetSmart
8.875%, 06/01/2025 (A)		370		367
7.125%, 03/15/2023 (A)		2,430		2,357
5.875%, 06/01/2025 (A)		1,805		1,805
QVC
4.750%, 02/15/2027		867		826
4.450%, 02/15/2025		1,640		1,562
Royal Caribbean Cruises
11.500%, 06/01/2025 (A)		733		777
10.875%, 06/01/2023 (A)		2,886		3,016
5.250%, 11/15/2022		2,493		2,069
Sabre GLBL
9.250%, 04/15/2025 (A)		697		748
Scientific Games International
8.250%, 03/15/2026 (A)		2,306		2,117
7.000%, 05/15/2028 (A)		1,355		1,192
5.000%, 10/15/2025 (A)		3,566		3,335
Service International
7.500%, 04/01/2027		867		962
5.125%, 06/01/2029		475		512
4.625%, 12/15/2027		970		1,021
Shea Homes
4.750%, 02/15/2028 (A)		1,081		1,005
Silversea Cruise Finance
7.250%, 02/01/2025 (A)		2,447		2,299
Six Flags Entertainment
5.500%, 04/15/2027 (A)		1,202		1,118
4.875%, 07/31/2024 (A)		3,202		3,010
Six Flags Theme Parks
7.000%, 07/01/2025 (A)		1,287		1,367
Speedway Motorsports LLC
4.875%, 11/01/2027 (A)		1,360		1,142
SRS Distribution
8.250%, 07/01/2026 (A)		2,316		2,241
Staples
10.750%, 04/15/2027 (A)		2,230		1,517
7.500%, 04/15/2026 (A)		2,528		2,208
Starbucks
2.550%, 11/15/2030		1,350		1,376

200 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Stars Group Holdings BV
7.000%, 07/15/2026 (A)	$	405	$	429
Station Casinos LLC
5.000%, 10/01/2025 (A)		1,148		1,032
4.500%, 02/15/2028 (A)		5,486		4,835
Sugarhouse HSP Gaming Prop Mezz
5.875%, 05/15/2025 (A)		4,870		4,432
Tempur Sealy International
5.625%, 10/15/2023		840		840
5.500%, 06/15/2026		825		827
Tenneco
5.375%, 12/15/2024		415		276
5.000%, 07/15/2026		1,987		1,013
Toll Brothers Finance
3.800%, 11/01/2029		1,135		1,111
Twin River Worldwide Holdings
6.750%, 06/01/2027 (A)		2,070		1,930
Vail Resorts
6.250%, 05/15/2025 (A)		224		235
Vista Outdoor
5.875%, 10/01/2023		1,605		1,517
William Carter
5.625%, 03/15/2027 (A)		340		347
Wolverine Escrow LLC
13.125%, 11/15/2027 (A)		375		236
9.000%, 11/15/2026 (A)		970		645
Wolverine World Wide
6.375%, 05/15/2025 (A)		901		939
5.000%, 09/01/2026 (A)		2,968		2,812
WW International
8.625%, 12/01/2025 (A)		5,346		5,573
Wynn Las Vegas LLC
5.500%, 03/01/2025 (A)		2,455		2,380
5.250%, 05/15/2027 (A)		1,085		1,006
4.250%, 05/30/2023 (A)		245		230
Wynn Resorts Finance LLC
7.750%, 04/15/2025 (A)		910		945
5.125%, 10/01/2029 (A)		514		494
Yum! Brands
7.750%, 04/01/2025 (A)		180		199
6.875%, 11/15/2037		1,840		1,932
5.350%, 11/01/2043		180		175
				300,900
Consumer Staples — 5.2%
Albertsons
5.875%, 02/15/2028 (A)		623		667
5.750%, 03/15/2025		605		622
4.875%, 02/15/2030 (A)		285		295
4.625%, 01/15/2027 (A)		3,217		3,265
3.500%, 02/15/2023 (A)		200		201

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Allied Universal Holdco LLC
9.750%, 07/15/2027 (A)	$	2,480	$	2,635
6.625%, 07/15/2026 (A)		1,354		1,422
Ashtead Capital
4.375%, 08/15/2027 (A)		385		389
4.000%, 05/01/2028 (A)		615		604
B&G Foods
5.250%, 04/01/2025		1,170		1,202
Capitol Investment Merger Sub 2 LLC
10.000%, 08/01/2024 (A)		5,315		5,036
Central Garden & Pet
6.125%, 11/15/2023		745		762
5.125%, 02/01/2028		1,515		1,550
Chobani LLC
7.500%, 04/15/2025 (A)		4,102		4,081
Clearwater Seafoods
6.875%, 05/01/2025 (A)		2,195		2,069
Cott Holdings
5.500%, 04/01/2025 (A)		3,509		3,539
Coty Inc
6.500%, 04/15/2026 (A)		375		310
Dole Food
7.250%, 06/15/2025 (A)		1,800		1,710
Edgewell Personal Care
5.500%, 06/01/2028 (A)		1,257		1,303
Energizer Holdings
7.750%, 01/15/2027 (A)		1,811		1,974
5.500%, 06/15/2025 (A)		670		686
GEMS MENASA Cayman
7.125%, 07/31/2026 (A)		2,187		1,994
Global A&T Electronics
8.500%, 01/12/2023		9,377		7,890
Herbalife Nutrition
7.875%, 09/01/2025 (A)		2,520		2,555
High Ridge Brands
8.875%, 03/15/2025 (A)(B)		800		8
JBS Investments II GmbH
7.000%, 01/15/2026 (A)		2,225		2,365
JBS USA LUX
5.875%, 07/15/2024 (A)		832		846
5.750%, 06/15/2025 (A)		135		138
5.500%, 01/15/2030 (A)		2,347		2,435
Kraft Heinz Foods
5.000%, 07/15/2035		6,092		6,558
4.875%, 02/15/2025 (A)		390		399
4.250%, 03/01/2031 (A)		1,126		1,196
3.875%, 05/15/2027 (A)		3,496		3,670
3.000%, 06/01/2026		3,236		3,236
Lamb Weston Holdings
4.875%, 11/01/2026 (A)		737		763
4.875%, 05/15/2028 (A)		218		228
4.625%, 11/01/2024 (A)		1,980		2,064

SEI Institutional Investments Trust / Annual Report / May 31, 2020 201

SCHEDULE OF INVESTMENTS

May 31, 2020

High Yield Bond Fund(Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
New Albertsons
8.700%, 05/01/2030	$	2,229	$	2,452
Performance Food Group
6.875%, 05/01/2025 (A)		80		84
5.500%, 10/15/2027 (A)		1,867		1,830
Pilgrim’s Pride
5.875%, 09/30/2027 (A)		4,235		4,404
Post Holdings
5.750%, 03/01/2027 (A)		1,792		1,868
5.625%, 01/15/2028 (A)		2,670		2,797
5.500%, 12/15/2029 (A)		857		896
4.625%, 04/15/2030 (A)		234		231
Prime Security Services Borrower LLC
5.750%, 04/15/2026 (A)		1,663		1,713
RegionalCare Hospital Partners Holdings
9.750%, 12/01/2026 (A)		526		569
Rite Aid
7.700%, 02/15/2027		1,035		792
7.500%, 07/01/2025 (A)		526		522
6.125%, 04/01/2023 (A)		3,944		3,668
Sigma Holdco BV
7.875%, 05/15/2026 (A)		5,155		5,284
Simmons Foods
5.750%, 11/01/2024 (A)		4,527		4,233
Sotheby’s
7.375%, 10/15/2027 (A)		2,263		2,059
Spectrum Brands
5.750%, 07/15/2025		745		767
5.000%, 10/01/2029 (A)		155		151
Sysco
5.950%, 04/01/2030		85		102
5.650%, 04/01/2025		120		137
Team Health Holdings
6.375%, 02/01/2025 (A)		1,922		1,066
TreeHouse Foods
6.000%, 02/15/2024 (A)		1,095		1,122
US Foods
6.250%, 04/15/2025 (A)		889		921
5.875%, 06/15/2024 (A)		1,545		1,495
Vector Group
10.500%, 11/01/2026 (A)		5,895		5,954
6.125%, 02/01/2025 (A)		695		679
Verscend Escrow
9.750%, 08/15/2026 (A)		1,782		1,916
West Street Merger Sub
6.375%, 09/01/2025 (A)		1,730		1,704
				120,083
Energy — 8.6%
Antero Midstream Partners
5.750%, 03/01/2027 (A)		1,336		1,052
5.750%, 01/15/2028 (A)		175		137

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
5.375%, 09/15/2024	$	525	$	438
Antero Resources
5.625%, 06/01/2023		1,065		618
5.125%, 12/01/2022		220		154
Apache
4.375%, 10/15/2028		451		400
3.250%, 04/15/2022		553		530
Archrock Partners
6.250%, 04/01/2028 (A)		3,469		3,291
Ascent Resources Utica Holdings LLC
7.000%, 11/01/2026 (A)		85		58
Baytex Energy
8.750%, 04/01/2027 (A)		600		303
Blue Racer Midstream LLC
6.125%, 11/15/2022 (A)		3,092		3,018
Buckeye Partners
4.500%, 03/01/2028 (A)		350		339
4.125%, 03/01/2025 (A)		350		343
4.125%, 12/01/2027		480		463
Calfrac Holdings
10.875%, 03/15/2026 (A)		1,171		234
8.500%, 06/15/2026 (A)		540		16
Callon Petroleum
8.250%, 07/15/2025		330		92
6.250%, 04/15/2023		445		144
Cheniere Corpus Christi Holdings LLC
5.875%, 03/31/2025		850		930
5.125%, 06/30/2027		2,202		2,383
Cheniere Energy Partners
5.625%, 10/01/2026		3,795		3,863
4.500%, 10/01/2029 (A)		7,080		6,921
Chesapeake Energy
11.500%, 01/01/2025 (A)		1,373		79
7.500%, 10/01/2026		4,075		61
7.000%, 10/01/2024		1,790		67
6.125%, 02/15/2021		2,501		69
Citgo Holding
9.250%, 08/01/2024 (A)		2,250		2,166
CITGO Petroleum
6.250%, 08/15/2022 (A)		3,651		3,578
CNX Midstream Partners
6.500%, 03/15/2026 (A)		3,645		3,290
CNX Resources
7.250%, 03/14/2027 (A)		4,035		3,813
Comstock Resources
7.500%, 05/15/2025 (A)		897		792
Crestwood Midstream Partners
6.250%, 04/01/2023		755		719
5.750%, 04/01/2025		2,905		2,702
5.625%, 05/01/2027 (A)		435		378
CVR Energy
5.750%, 02/15/2028 (A)		1,765		1,569

202 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
5.250%, 02/15/2025 (A)	$	1,325	$	1,192
DCP Midstream Operating
8.125%, 08/16/2030		2,495		2,495
5.375%, 07/15/2025		268		259
5.125%, 05/15/2029		896		815
Delek Logistics Partners
6.750%, 05/15/2025		1,462		1,411
Denbury Resources
9.250%, 03/31/2022 (A)		689		276
9.000%, 05/15/2021 (A)		995		418
Energy Transfer
5.500%, 06/01/2027		2,863		2,927
Energy Transfer Operating
5.250%, 04/15/2029		860		919
EnLink Midstream LLC
5.375%, 06/01/2029		6,561		5,079
EnLink Midstream Partners
4.850%, 07/15/2026		140		113
4.400%, 04/01/2024		620		498
4.150%, 06/01/2025		445		358
Enviva Partners
6.500%, 01/15/2026 (A)		895		946
EP Energy LLC
9.375%, 05/01/2020 (B)		1,728		–
9.375%, 05/01/2024 (A)(B)		1,774		2
8.000%, 11/29/2024 (A)(B)		395		4
8.000%, 02/15/2025 (A)(B)		1,159		1
7.750%, 05/15/2026 (A)(B)		2,335		304
6.375%, 06/15/2023 (B)		1,185		–
EQT Corp
7.000%, 02/01/2030		824		873
6.125%, 02/01/2025		4,047		4,136
Exterran Energy Solutions
8.125%, 05/01/2025		4,841		3,728
Extraction Oil & Gas
7.375%, 05/15/2024 (A)(B)		4,704		282
5.625%, 02/01/2026 (A)(B)		4,400		264
FTS International
6.250%, 05/01/2022		2,735		684
Genesis Energy
7.750%, 02/01/2028		373		349
6.500%, 10/01/2025		1,476		1,336
6.250%, 05/15/2026		70		62
Great Western Petroleum LLC
9.000%, 09/30/2021 (A)		2,974		1,874
Gulfport Energy
6.375%, 05/15/2025		311		155
6.375%, 01/15/2026		780		390
6.000%, 10/15/2024		470		275
Hess Midstream Operations
5.625%, 02/15/2026 (A)		2,331		2,249

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Hilcorp Energy I
6.250%, 11/01/2028 (A)	$	864	$	739
5.750%, 10/01/2025 (A)		1,497		1,321
5.000%, 12/01/2024 (A)		2,490		2,191
Holly Energy Partners
5.000%, 02/01/2028 (A)		295		291
Jupiter Resources
13.000%, 01/31/2024 (D)(L)		666		599
Laredo Petroleum
10.125%, 01/15/2028		2,278		1,561
9.500%, 01/15/2025		1,681		1,177
MEG Energy
7.125%, 02/01/2027 (A)		5,366		4,886
7.000%, 03/31/2024 (A)		278		268
6.500%, 01/15/2025 (A)		608		599
MPLX
1.899%, VAR ICE LIBOR USD 3 Month+0.900%, 09/09/2021		716		693
Nabors Industries
7.250%, 01/15/2026 (A)		245		140
5.750%, 02/01/2025		680		211
NGL Energy Partners
6.125%, 03/01/2025		3,297		2,308
Nine Energy Service
8.750%, 11/01/2023 (A)		2,270		864
Noble Holding International
8.950%, 04/01/2045		3,100		95
7.750%, 01/15/2024		2,751		55
Northern Oil and Gas
8.500% cash/9.500% PIK, 05/15/2023		2,638		2,215
Oasis Petroleum
6.875%, 01/15/2023		1,005		170
6.250%, 05/01/2026 (A)		455		73
Occidental Petroleum
6.450%, 09/15/2036		1,425		1,012
5.550%, 03/15/2026		1,905		1,619
4.625%, 06/15/2045		1,875		1,117
4.500%, 07/15/2044		155		93
4.400%, 04/15/2046		155		93
4.200%, 03/15/2048		437		250
4.100%, 02/01/2021		1,487		1,461
3.500%, 08/15/2029		355		241
3.400%, 04/15/2026		942		695
3.200%, 08/15/2026		4,558		3,326
3.125%, 02/15/2022		1,703		1,592
2.900%, 08/15/2024		429		341
2.700%, 08/15/2022		8,879		8,169
2.700%, 02/15/2023		1,954		1,676
Parkland
5.875%, 07/15/2027 (A)		3,410		3,410
Parsley Energy LLC
5.375%, 01/15/2025 (A)		3,087		3,033

SEI Institutional Investments Trust / Annual Report / May 31, 2020 203

SCHEDULE OF INVESTMENTS

May 31, 2020

High Yield Bond Fund(Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
5.250%, 08/15/2025 (A)	$	505	$	489
4.125%, 02/15/2028 (A)		836		778
PBF Holding LLC
9.250%, 05/15/2025 (A)		170		184
6.000%, 02/15/2028 (A)		325		273
PDC Energy
5.750%, 05/15/2026		3,280		3,030
Peabody Energy
6.375%, 03/31/2025 (A)		1,094		591
6.000%, 03/31/2022 (A)		550		374
Precision Drilling
7.750%, 12/15/2023		645		349
7.125%, 01/15/2026 (A)		325		163
6.500%, 12/15/2021		27		24
QEP Resources
5.625%, 03/01/2026		1,151		614
Range Resources
5.000%, 08/15/2022		2,545		2,380
5.000%, 03/15/2023		1,617		1,463
4.875%, 05/15/2025		1,252		1,047
Seven Generations Energy
5.375%, 09/30/2025 (A)		2,134		1,766
Seventy Seven Energy (Escrow Security)
6.500%, 07/15/2022 (B)(D)		395		–
Seventy Seven Operating LLC (Escrow Security)
6.625%, 11/15/2019 (B)(D)		2,787		–
Shelf Drilling Holdings
8.250%, 02/15/2025 (A)		2,813		1,245
SM Energy
6.625%, 01/15/2027		458		227
6.125%, 11/15/2022		520		312
5.625%, 06/01/2025		405		211
5.000%, 01/15/2024		2,328		1,257
Southwestern Energy
7.750%, 10/01/2027		2,335		2,168
7.500%, 04/01/2026		1,434		1,319
6.200%, 01/23/2025		1,320		1,186
Summit Midstream Holdings LLC
5.750%, 04/15/2025		1,914		828
5.500%, 08/15/2022		2,020		970
Sunoco
6.000%, 04/15/2027		680		698
5.875%, 03/15/2028		2,791		2,826
5.500%, 02/15/2026		2,500		2,512
Tallgrass Energy Partners
6.000%, 03/01/2027 (A)		2,745		2,525
Targa Resources Partners
6.875%, 01/15/2029		516		551
6.750%, 03/15/2024		1,195		1,215
6.500%, 07/15/2027		5,514		5,755
5.875%, 04/15/2026		685		695

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
5.000%, 01/15/2028	$	3,156	$	3,061
4.250%, 11/15/2023		350		342
Transocean
8.000%, 02/01/2027 (A)		3,285		1,774
7.500%, 01/15/2026 (A)		635		343
7.500%, 04/15/2031		3,713		1,114
7.250%, 11/01/2025 (A)		170		93
Transocean Guardian
5.875%, 01/15/2024 (A)		2,628		2,404
Transocean Pontus
6.125%, 08/01/2025 (A)		3,288		3,091
Transocean Poseidon
6.875%, 02/01/2027 (A)		2,269		2,042
USA Compression Partners
6.875%, 04/01/2026		3,315		3,191
Valaris
5.850%, 01/15/2044		3,185		318
5.400%, 12/01/2042		545		54
4.875%, 06/01/2022		790		79
Vine Oil & Gas
9.750%, 04/15/2023 (A)		4,395		3,000
W&T Offshore
9.750%, 11/01/2023 (A)		72		41
Western Midstream Operating
5.375%, 06/01/2021		1,314		1,308
4.050%, 02/01/2030		331		297
3.950%, 06/01/2025		405		377
3.100%, 02/01/2025		2,304		2,144
2.161%, VAR ICE LIBOR USD 3 Month+0.850%, 01/13/2023		500		437
Whiting Petroleum
6.625%, 01/15/2026 (B)		530		61
6.250%, 04/01/2023 (B)		610		68
5.750%, 03/15/2021 (B)		220		26
WPX Energy
8.250%, 08/01/2023		566		604
5.750%, 06/01/2026		1,026		1,026
5.250%, 10/15/2027		2,400		2,322
				197,910
Financials — 5.8%
Acrisure LLC
10.125%, 08/01/2026 (A)		1,156		1,217
8.125%, 02/15/2024 (A)		2,492		2,643
Advisor Group Holdings
10.750%, 08/01/2027 (A)		2,640		2,376
Air Methods
8.000%, 05/15/2025 (A)		4,945		3,165
Alliant Holdings Intermediate LLC
6.750%, 10/15/2027 (A)		3,257		3,322
Ally Financial
5.800%, 05/01/2025		1,738		1,909

204 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
5.750%, 11/20/2025	$	825	$	858
AmWINS Group
7.750%, 07/01/2026 (A)		891		956
Ardonagh Midco 3
8.625%, 07/15/2023 (A)		2,157		2,147
Ares Capital
4.250%, 03/01/2025		1,818		1,766
AssuredPartners
7.000%, 08/15/2025 (A)		5,794		5,678
Athene Holding
6.150%, 04/03/2030		1,749		1,891
Bank of America
5.875%, VAR ICE LIBOR USD 3 Month+2.931%(C)		1,301		1,326
Barclays
7.750%, VAR USD Swap Semi 30/360 5 Yr Curr+4.842%(C)		3,010		2,965
BGC Partners
3.750%, 10/01/2024		2,265		2,117
Brookfield Property
5.750%, 05/15/2026 (A)		3,811		2,896
Citigroup
5.950%, VAR ICE LIBOR USD 3 Month+3.905%(C)		85		87
5.000%, VAR United States Secured Overnight Financing Rate+3.813%(C)		2,624		2,457
Donnelley Financial Solutions
8.250%, 10/15/2024		935		916
E*TRADE Financial
5.875%, VAR ICE LIBOR USD 3 Month+4.435%(C)		1,298		1,330
5.300%, VAR ICE LIBOR USD 3 Month+3.160%(C)		872		807
Fidelity & Guaranty Life Holdings
5.500%, 05/01/2025 (A)		2,285		2,445
Freedom Mortgage
8.250%, 04/15/2025 (A)		7,565		6,998
8.125%, 11/15/2024 (A)		3,327		3,077
FS Energy & Power Fund
7.500%, 08/15/2023 (A)		3,465		2,772
HAT Holdings I LLC
6.000%, 04/15/2025 (A)		2,299		2,373
HUB International
7.000%, 05/01/2026 (A)		4,166		4,279
Hunt
6.250%, 02/15/2026 (A)		1,767		1,555
Intesa Sanpaolo MTN
5.710%, 01/15/2026 (A)		2,310		2,376
Issuer LLC
6.250%, 03/01/2028 (A)		5,258		4,882
Jefferies Finance LLC
6.250%, 06/03/2026 (A)		1,388		1,258

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
JPMorgan Chase
5.000%, VAR United States Secured Overnight Financing Rate+3.380%(C)	$	1,299	$	1,223
4.000%, VAR United States Secured Overnight Financing Rate+2.745%(C)		1,302		1,120
Ladder Capital Finance Holdings LLLP
5.875%, 08/01/2021 (A)		878		836
5.250%, 03/15/2022 (A)		4,732		4,424
5.250%, 10/01/2025 (A)		345		293
4.250%, 02/01/2027 (A)		2,675		2,234
Lloyds Banking Group
7.500%, VAR USD Swap Semi 30/360 5 Yr Curr+4.760%(C)		3,250		3,319
LPL Holdings
4.625%, 11/15/2027 (A)		5,436		5,320
MGM Growth Properties Operating Partnership
5.750%, 02/01/2027		357		374
5.625%, 05/01/2024		1,335		1,388
4.500%, 09/01/2026		2,214		2,180
4.500%, 01/15/2028		269		261
Nationstar Mortgage Holdings
9.125%, 07/15/2026 (A)		7,595		7,785
8.125%, 07/15/2023 (A)		1,455		1,484
6.000%, 01/15/2027 (A)		1,203		1,083
Navient
5.000%, 03/15/2027		1,097		938
NFP
8.000%, 07/15/2025 (A)		3,363		3,212
7.000%, 05/15/2025 (A)		450		467
Quicken Loans LLC
5.250%, 01/15/2028 (A)		2,371		2,393
Saracen Development LLC
11.000% cash/3.000% PIK, 10/15/2025 (A)(D)(L)		3,600		3,816
Springleaf Finance
8.875%, 06/01/2025		635		660
7.125%, 03/15/2026		4,410		4,344
6.875%, 03/15/2025		2,535		2,503
6.625%, 01/15/2028		500		477
6.125%, 03/15/2024		265		257
5.375%, 11/15/2029		1,193		1,058
Starwood Property Trust
4.750%, 03/15/2025		2,256		1,940
Voya Financial
4.700%, VAR ICE LIBOR USD 3 Month+2.084%, 01/23/2048		1,183		1,077
WeWork
7.875%, 05/01/2025 (A)		4,935		2,282
				133,592

SEI Institutional Investments Trust / Annual Report / May 31, 2020 205

SCHEDULE OF INVESTMENTS

May 31, 2020

High Yield Bond Fund(Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Health Care — 6.3%
Acadia Healthcare
5.625%, 02/15/2023	$	3,718	$	3,708
AHP Health Partners
9.750%, 07/15/2026 (A)		2,655		2,735
AMN Healthcare
4.625%, 10/01/2027 (A)		2,262		2,184
Avantor
9.000%, 10/01/2025 (A)		470		508
6.000%, 10/01/2024 (A)		1,005		1,055
Bausch Health
9.000%, 12/15/2025 (A)		3,430		3,760
7.000%, 03/15/2024 (A)		885		916
7.000%, 01/15/2028 (A)		480		504
6.500%, 03/15/2022 (A)		1,600		1,627
6.250%, 02/15/2029 (A)		6,159		6,328
6.125%, 04/15/2025 (A)		3,911		3,969
5.875%, 05/15/2023 (A)		17		17
5.250%, 01/30/2030 (A)		4,131		4,069
5.000%, 01/30/2028 (A)		1,771		1,711
Bausch Health Americas
9.250%, 04/01/2026 (A)		2,655		2,948
8.500%, 01/31/2027 (A)		1,291		1,411
Catalent Pharma Solutions
5.000%, 07/15/2027 (A)		726		744
Centene
5.375%, 06/01/2026 (A)		560		592
5.250%, 04/01/2025 (A)		2,385		2,455
4.625%, 12/15/2029		4,355		4,688
4.250%, 12/15/2027		1,033		1,079
3.375%, 02/15/2030		300		304
Charles River Laboratories International
4.250%, 05/01/2028 (A)		1,361		1,372
CHS
8.625%, 01/15/2024 (A)		740		744
DaVita
5.000%, 05/01/2025		1,564		1,605
4.625%, 06/01/2030 (A)		1,970		1,965
Encompass Health
5.750%, 11/01/2024		434		437
4.750%, 02/01/2030		2,257		2,290
4.500%, 02/01/2028		4,270		4,369
Endo Dac
6.000%, 07/15/2023 (A)		4,734		3,645
6.000%, 02/01/2025 (A)		1,058		772
Endo Finance LLC
5.750%, 01/15/2022 (A)		1,738		1,529
Envision Healthcare
8.750%, 10/15/2026 (A)		2,768		1,218
HCA
5.875%, 02/15/2026		7,520		8,418
5.875%, 02/01/2029		2,892		3,355

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
5.625%, 09/01/2028	$	1,370	$	1,570
5.375%, 02/01/2025		6,926		7,603
Hill-Rom Holdings
5.000%, 02/15/2025 (A)		1,214		1,247
4.375%, 09/15/2027 (A)		661		678
Hologic
4.375%, 10/15/2025 (A)		805		823
Horizon Therapeutics USA
5.500%, 08/01/2027 (A)		1,305		1,373
Immucor
11.125%, 02/15/2022 (A)		1,776		1,367
IQVIA
5.000%, 10/15/2026 (A)		2,320		2,418
Jaguar Holding II
5.000%, 06/15/2028 (A)		2,971		3,082
4.625%, 06/15/2025 (A)		152		157
LifePoint Health
6.750%, 04/15/2025 (A)		612		646
4.375%, 02/15/2027 (A)		5,269		5,085
Mallinckrodt International Finance
5.625%, 10/15/2023 (A)		850		187
5.500%, 04/15/2025 (A)		595		119
MEDNAX
6.250%, 01/15/2027 (A)		679		635
Molina Healthcare
4.875%, 06/15/2025 (A)		1,602		1,630
4.375%, 06/15/2028 (A)		1,960		1,980
MPH Acquisition Holdings LLC
7.125%, 06/01/2024 (A)		2,885		2,723
Ortho-Clinical Diagnostics
7.375%, 06/01/2025 (A)		640		654
7.250%, 02/01/2028 (A)		4,724		4,700
6.625%, 05/15/2022 (A)		1,919		1,921
Par Pharmaceutical
7.500%, 04/01/2027 (A)		3,193		3,253
Prestige Brands
6.375%, 03/01/2024 (A)		735		756
5.125%, 01/15/2028 (A)		185		188
Radiology Partners
9.250%, 02/01/2028 (A)		2,140		2,060
Select Medical
6.250%, 08/15/2026 (A)		1,336		1,386
Surgery Center Holdings
6.750%, 07/01/2025 (A)		1,404		1,285
Teleflex
4.250%, 06/01/2028 (A)		184		190
Tenet Healthcare
7.500%, 04/01/2025 (A)		270		294
7.000%, 08/01/2025		1,405		1,417
6.875%, 11/15/2031		335		307
6.750%, 06/15/2023		2,020		2,116
6.250%, 02/01/2027 (A)		2,873		2,959

206 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
5.125%, 05/01/2025	$	2,762	$	2,803
5.125%, 11/01/2027 (A)		815		844
4.875%, 01/01/2026 (A)		2,160		2,220
4.625%, 07/15/2024		2,095		2,121
4.625%, 09/01/2024 (A)		45		46
US Renal Care
10.625%, 07/15/2027 (A)		540		562
				144,436
Industrials — 9.6%
ACCO Brands
5.250%, 12/15/2024 (A)		740		744
ADT Security
4.875%, 07/15/2032 (A)		1,508		1,418
Advanced Drainage Systems
5.000%, 09/30/2027 (A)		608		608
Air Medical Group Holdings
6.375%, 05/15/2023 (A)		6,710		6,374
Allison Transmission
5.875%, 06/01/2029 (A)		355		359
5.000%, 10/01/2024 (A)		520		524
4.750%, 10/01/2027 (A)		1,894		1,837
American Airlines Group
5.000%, 06/01/2022 (A)		3,022		1,753
3.750%, 03/01/2025 (A)		876		427
American Woodmark
4.875%, 03/15/2026 (A)		815		793
ARD Finance
6.500% cash/0% PIK, 06/30/2027 (A)		697		689
Ardagh Packaging Finance
6.000%, 02/15/2025 (A)		2,535		2,613
5.250%, 04/30/2025 (A)		1,077		1,124
5.250%, 08/15/2027 (A)		3,375		3,325
ASGN
4.625%, 05/15/2028 (A)		1,796		1,715
Avis Budget Car Rental LLC
10.500%, 05/15/2025 (A)		785		873
6.375%, 04/01/2024 (A)		2,205		1,825
5.250%, 03/15/2025 (A)		470		374
Beacon Roofing Supply
4.875%, 11/01/2025 (A)		1,358		1,283
Boeing
5.040%, 05/01/2027		4,475		4,752
Bombardier
7.875%, 04/15/2027 (A)		2,070		1,232
7.500%, 12/01/2024 (A)		4,873		2,970
7.500%, 03/15/2025 (A)		1,155		702
6.000%, 10/15/2022 (A)		3,605		2,325
5.750%, 03/15/2022 (A)		1,520		1,011
Builders FirstSource
5.000%, 03/01/2030 (A)		1,297		1,200

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
BWAY Holding Co
7.250%, 04/15/2025 (A)	$	7,176	$	6,422
5.500%, 04/15/2024 (A)		940		933
BWX Technologies
5.375%, 07/15/2026 (A)		2,177		2,238
Cargo Aircraft Management
4.750%, 02/01/2028 (A)		2,964		2,961
Cascades
5.375%, 01/15/2028 (A)		452		459
5.125%, 01/15/2026 (A)		452		463
Cenveo (Escrow Security)
8.500%, 09/15/2022 (D)(L)		10,375		9
Clark Equipment
5.875%, 06/01/2025 (A)		1,813		1,870
Clean Harbors
4.875%, 07/15/2027 (A)		2,997		3,102
DAE Funding LLC
5.750%, 11/15/2023 (A)		3,940		3,477
Delta Air Lines
7.000%, 05/01/2025 (A)		3,089		3,192
3.625%, 03/15/2022		873		792
EnerSys
4.375%, 12/15/2027 (A)		892		874
EnPro Industries
5.750%, 10/15/2026		569		559
Flex Acquisition
7.875%, 07/15/2026 (A)		1,448		1,448
6.875%, 01/15/2025 (A)		2,500		2,522
Fortress Transportation & Infrastructure Investors LLC
6.750%, 03/15/2022 (A)		2,000		1,851
6.500%, 10/01/2025 (A)		845		708
GFL Environmental
8.500%, 05/01/2027 (A)		337		369
7.000%, 06/01/2026 (A)		3,040		3,200
5.125%, 12/15/2026 (A)		333		346
Granite US Holdings
11.000%, 10/01/2027 (A)		2,715		2,579
Griffon
5.750%, 03/01/2028		1,795		1,783
H&E Equipment Services
5.625%, 09/01/2025		4,526		4,423
Harsco
5.750%, 07/31/2027 (A)		766		750
Herc Holdings
5.500%, 07/15/2027 (A)		3,370		3,273
Hertz
7.625%, 06/01/2022 (A)(B)		285		123
7.125%, 08/01/2026 (A)(B)		715		120
6.000%, 01/15/2028 (A)(B)		520		87
5.500%, 10/15/2024 (A)(B)		1,573		263

SEI Institutional Investments Trust / Annual Report / May 31, 2020 207

SCHEDULE OF INVESTMENTS

May 31, 2020

High Yield Bond Fund(Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Howmet Aerospace
6.875%, 05/01/2025	$	195	$	207
5.900%, 02/01/2027		1,185		1,196
Icahn Enterprises
4.750%, 09/15/2024		5,480		5,302
James Hardie International Finance DAC
5.000%, 01/15/2028 (A)		2,268		2,333
4.750%, 01/15/2025 (A)		340		343
JELD-WEN
6.250%, 05/15/2025 (A)		200		206
4.875%, 12/15/2027 (A)		220		206
4.625%, 12/15/2025 (A)		560		531
Korn Ferry
4.625%, 12/15/2027 (A)		4,921		4,503
LABL Escrow Issuer LLC
10.500%, 07/15/2027 (A)		480		504
6.750%, 07/15/2026 (A)		640		667
LTF Merger Sub
8.500%, 06/15/2023 (A)		1,385		1,087
Masonite International
5.375%, 02/01/2028 (A)		2,904		2,933
Maxim Crane Works Holdings Capital LLC
10.125%, 08/01/2024 (A)		1,905		1,857
Moog
4.250%, 12/15/2027 (A)		2,212		2,110
New Enterprise Stone & Lime
10.125%, 04/01/2022 (A)		3,450		3,424
6.250%, 03/15/2026 (A)		2,960		2,871
Nielsen Finance LLC
5.000%, 04/15/2022 (A)		1,170		1,168
Nielsen Luxembourg
5.000%, 02/01/2025 (A)		1,363		1,368
PGT Innovations
6.750%, 08/01/2026 (A)		510		524
PowerTeam Services LLC
9.033%, 12/04/2025 (A)		780		789
RBS Global
4.875%, 12/15/2025 (A)		3,280		3,264
Remington Arms
0.000%, 12/31/2049 (D)		1,885		–
Reynolds Group Issuer
7.000%, 07/15/2024 (A)		903		908
4.719%, VAR ICE LIBOR USD 3 Month+3.500%, 07/15/2021 (A)		800		794
Sensata Technologies
5.625%, 11/01/2024 (A)		200		209
5.000%, 10/01/2025 (A)		1,960		2,033
4.375%, 02/15/2030 (A)		4,126		4,013
Sensata Technologies UK Financing
6.250%, 02/15/2026 (A)		1,895		1,994
Signature Aviation US Holdings
4.000%, 03/01/2028 (A)		7,005		6,217

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Southwest Airlines
5.250%, 05/04/2025	$	446	$	453
4.750%, 05/04/2023		890		903
Spirit AeroSystems
7.500%, 04/15/2025 (A)		440		438
SPX FLOW
5.875%, 08/15/2026 (A)		470		473
5.625%, 08/15/2024 (A)		310		313
Standard Industries
4.750%, 01/15/2028 (A)		1,295		1,303
Stericycle
5.375%, 07/15/2024 (A)		1,200		1,227
Stevens Holding
6.125%, 10/01/2026 (A)		370		383
Summit Materials LLC
5.125%, 06/01/2025 (A)		5,260		5,155
Teekay Offshore Partners
8.500%, 07/15/2023 (A)		2,817		2,514
Terex
5.625%, 02/01/2025 (A)		905		842
TransDigm
8.000%, 12/15/2025 (A)		1,060		1,145
6.375%, 06/15/2026		2,850		2,650
6.250%, 03/15/2026 (A)		9,074		9,278
5.500%, 11/15/2027 (A)		3,161		2,869
Trident Merger Sub
6.625%, 11/01/2025 (A)		2,914		2,593
Trident TPI Holdings
9.250%, 08/01/2024 (A)		2,845		2,774
TriMas
4.875%, 10/15/2025 (A)		375		372
Triumph Group
7.750%, 08/15/2025		670		435
6.250%, 09/15/2024 (A)		510		437
5.250%, 06/01/2022		175		143
Trivium Packaging Finance BV
8.500%, 08/15/2027 (A)		664		701
5.500%, 08/15/2026 (A)		976		1,024
Tutor Perini
6.875%, 05/01/2025 (A)		7,551		6,664
Uber Technologies
7.500%, 11/01/2023 (A)		4,932		5,012
7.500%, 05/15/2025 (A)		2,483		2,467
United Airlines Holdings
4.875%, 01/15/2025		1,675		1,173
4.250%, 10/01/2022		1,104		886
United Rentals North America
6.500%, 12/15/2026		1,110		1,186
5.875%, 09/15/2026		565		592
5.500%, 05/15/2027		1,095		1,162
4.875%, 01/15/2028		1,295		1,334
4.625%, 10/15/2025		825		839

208 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Univar Solutions USA
5.125%, 12/01/2027 (A)	$	449	$	455
Wabash National
5.500%, 10/01/2025 (A)		760		648
Weekley Homes LLC
6.625%, 08/15/2025		5,060		4,807
Welbilt
9.500%, 02/15/2024		770		693
WESCO Distribution
7.250%, 06/15/2028 (A)		1,073		1,065
7.125%, 06/15/2025 (A)		556		556
XPO Logistics
6.750%, 08/15/2024 (A)		3,070		3,193
6.500%, 06/15/2022 (A)		582		583
6.250%, 05/01/2025 (A)		275		287
6.125%, 09/01/2023 (A)		150		152
				219,786
Information Technology — 3.2%
ACI Worldwide
5.750%, 08/15/2026 (A)		667		689
Alliance Data Systems
4.750%, 12/15/2024 (A)		1,341		1,200
Anixter
6.000%, 12/01/2025		410		422
5.500%, 03/01/2023		410		415
Ascend Learning LLC
6.875%, 08/01/2025 (A)		928		922
Broadcom
4.750%, 04/15/2029 (A)		2,241		2,467
CA
4.700%, 03/15/2027		1,822		1,934
CDK Global
5.250%, 05/15/2029 (A)		313		319
CDW LLC
5.000%, 09/01/2025		914		945
4.250%, 04/01/2028		420		426
4.125%, 05/01/2025		323		330
Change Healthcare Holdings LLC
5.750%, 03/01/2025 (A)		1,909		1,906
CommScope
5.500%, 06/15/2024 (A)		1,396		1,372
CommScope Finance LLC
8.250%, 03/01/2027 (A)		2,653		2,766
6.000%, 03/01/2026 (A)		1,129		1,187
CommScope Technologies LLC
6.000%, 06/15/2025 (A)		7,145		6,947
Dell International LLC
6.200%, 07/15/2030 (A)		135		154
6.100%, 07/15/2027 (A)		135		152
6.020%, 06/15/2026 (A)		3,089		3,503
5.850%, 07/15/2025 (A)		722		808

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
5.300%, 10/01/2029 (A)	$	865	$	940
DXC Technology
4.750%, 04/15/2027		1,363		1,420
4.125%, 04/15/2025		224		234
Entegris
4.625%, 02/10/2026 (A)		895		913
4.375%, 04/15/2028 (A)		1,052		1,075
Gartner
5.125%, 04/01/2025 (A)		450		459
Genesys Telecommunications Laboratories
10.000%, 11/30/2024 (A)		3,640		3,877
Go Daddy Operating LLC
5.250%, 12/01/2027 (A)		3,383		3,556
MagnaChip Semiconductor
6.625%, 07/15/2021		555		549
Microchip Technology
4.250%, 09/01/2025 (A)		212		213
Monitronics International (Escrow Security)
9.125%, 04/01/2020 (B)(D)		10,706		–
MTS Systems
5.750%, 08/15/2027 (A)		225		202
NCR
8.125%, 04/15/2025 (A)		204		220
6.125%, 09/01/2029 (A)		735		732
5.750%, 09/01/2027 (A)		2,875		2,868
5.000%, 07/15/2022		2,588		2,590
Nuance Communications
5.625%, 12/15/2026		173		183
Open Text Holdings
4.125%, 02/15/2030 (A)		1,526		1,507
Plantronics
5.500%, 05/31/2023 (A)		150		115
Presidio Holdings
4.875%, 02/01/2027 (A)		2,466		2,448
PTC
4.000%, 02/15/2028 (A)		1,763		1,763
3.625%, 02/15/2025 (A)		262		263
Qorvo
4.375%, 10/15/2029 (A)		1,342		1,374
Rackspace Hosting
8.625%, 11/15/2024 (A)		2,260		2,356
Sabre Global
5.375%, 04/15/2023 (A)		1,448		1,368
5.250%, 11/15/2023 (A)		1,473		1,392
Science Applications International
4.875%, 04/01/2028 (A)		2,269		2,320
Seagate HDD Cayman
5.750%, 12/01/2034		1,300		1,378
Solera LLC
10.500%, 03/01/2024 (A)		524		533
SS&C Technologies
5.500%, 09/30/2027 (A)		1,845		1,938

SEI Institutional Investments Trust / Annual Report / May 31, 2020 209

SCHEDULE OF INVESTMENTS

May 31, 2020

High Yield Bond Fund(Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Tempo Acquisition LLC
6.750%, 06/01/2025 (A)	$	2,603	$	2,590
5.750%, 06/01/2025 (A)		136		142
ViaSat
5.625%, 09/15/2025 (A)		1,881		1,834
VMware
3.900%, 08/21/2027		1,164		1,227
				73,443
Materials — 7.6%
Alcoa Nederland Holding
7.000%, 09/30/2026 (A)		415		425
6.750%, 09/30/2024 (A)		960		974
Alcoa Nederland Holding BV
6.125%, 05/15/2028 (A)		1,927		1,880
Allegheny Technologies
5.875%, 12/01/2027		1,096		899
ArcelorMittal
4.250%, 07/16/2029		2,257		2,264
Arconic
6.125%, 02/15/2028 (A)		1,002		974
6.000%, 05/15/2025 (A)		1,039		1,076
Ashland LLC
6.875%, 05/15/2043		1,384		1,550
Atotech Alpha 2 BV
8.750% cash/9.500% PIK, 06/01/2023 (A)		2,870		2,870
Axalta Coating Systems LLC
4.875%, 08/15/2024 (A)		275		278
Baffinland Iron Mines
8.750%, 07/15/2026 (A)		7,155		6,639
Berry Global
4.500%, 02/15/2026 (A)		4,548		4,572
Berry Global (Escrow Security)
4.875%, 07/15/2026 (A)		2,932		3,065
Boart Longyear Management Pty
10.000% cash/12.000% PIK, 12/31/2022		3,251		2,764
CF Industries
5.150%, 03/15/2034		300		318
4.950%, 06/01/2043		1,740		1,838
Chemours
6.625%, 05/15/2023		1,360		1,363
5.375%, 05/15/2027		923		829
Clearwater Paper
5.375%, 02/01/2025 (A)		1,605		1,573
Cleveland-Cliffs
6.750%, 03/15/2026 (A)		2,775		2,525
4.875%, 01/15/2024 (A)		1,831		1,657
Compass Minerals International
6.750%, 12/01/2027 (A)		1,793		1,885

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Constellium
6.625%, 03/01/2025 (A)	$	594	$	604
5.875%, 02/15/2026 (A)		1,807		1,825
5.750%, 05/15/2024 (A)		1,398		1,404
Cornerstone Chemical
6.750%, 08/15/2024 (A)		8,923		7,495
Crown Americas LLC
4.750%, 02/01/2026		1,324		1,376
4.250%, 09/30/2026		3,277		3,359
CVR Partners
9.250%, 06/15/2023 (A)		2,755		2,603
Eldorado
9.500%, 06/01/2024 (A)		2,325		2,478
First Quantum Minerals
7.500%, 04/01/2025 (A)		4,625		4,197
7.250%, 05/15/2022 (A)		2,835		2,651
7.250%, 04/01/2023 (A)		963		891
6.875%, 03/01/2026 (A)		1,850		1,650
6.500%, 03/01/2024 (A)		3,400		3,066
FMG Resources August 2006 Pty
4.500%, 09/15/2027 (A)		1,729		1,744
Freeport-McMoRan
5.450%, 03/15/2043		5,756		5,689
5.400%, 11/14/2034		4,983		4,933
5.250%, 09/01/2029		1,735		1,783
4.550%, 11/14/2024		305		310
4.125%, 03/01/2028		1,805		1,750
3.875%, 03/15/2023		1,837		1,852
GCP Applied Technologies
5.500%, 04/15/2026 (A)		920		907
Greif
6.500%, 03/01/2027 (A)		580		581
Hecla Mining
7.250%, 02/15/2028		2,020		2,052
Hexion
7.875%, 07/15/2027 (A)		5,118		4,568
INEOS Group Holdings
5.625%, 08/01/2024 (A)		1,805		1,787
Innophos Holdings
9.375%, 02/15/2028 (A)		2,380		2,294
Kaiser Aluminum
4.625%, 03/01/2028 (A)		1,940		1,833
Kraton Polymers LLC
7.000%, 04/15/2025 (A)		3,149		3,149
LSB Industries
9.625%, 05/01/2023 (A)		5,935		5,876
Mineral Resources
8.125%, 05/01/2027 (A)		5,225		5,482
Mountain Province Diamonds
8.000%, 12/15/2022 (A)		4,345		2,205
New Gold
6.375%, 05/15/2025 (A)		1,695		1,648

210 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
New Gold
6.250%, 11/15/2022 (A)	$	3,217	$	3,228
Northwest Acquisitions ULC
7.125%, 11/01/2022 (A)(B)		3,290		33
NOVA Chemicals
5.250%, 06/01/2027 (A)		455		385
5.000%, 05/01/2025 (A)		3,127		2,768
4.875%, 06/01/2024 (A)		535		492
Novelis
5.875%, 09/30/2026 (A)		3,012		3,085
4.750%, 01/30/2030 (A)		1,703		1,622
OCI
6.625%, 04/15/2023 (A)		1,075		1,096
OI European Group BV
4.000%, 03/15/2023 (A)		3,396		3,354
Owens-Brockway Glass Container
6.625%, 05/13/2027 (A)		1,945		2,047
6.375%, 08/15/2025 (A)		815		854
5.875%, 08/15/2023 (A)		1,135		1,178
PQ
6.750%, 11/15/2022 (A)		615		627
Rain CII Carbon LLC
7.250%, 04/01/2025 (A)		9,350		8,509
Reichhold Industries
9.000%, 05/01/2018 (A)(B)(D)		1,056		–
Scotts Miracle-Gro
5.250%, 12/15/2026		165		171
4.500%, 10/15/2029		1,492		1,529
Sealed Air
4.000%, 12/01/2027 (A)		1,807		1,816
Silgan Holdings
4.125%, 02/01/2028 (A)		1,788		1,792
Starfruit Finco BV
8.000%, 10/01/2026 (A)		3,540		3,658
Taseko Mines
8.750%, 06/15/2022 (A)		1,814		1,034
Teck Resources
6.125%, 10/01/2035		471		487
Trinseo Materials Operating SCA
5.375%, 09/01/2025 (A)		975		931
Tronox
6.500%, 05/01/2025 (A)		1,244		1,281
6.500%, 04/15/2026 (A)		640		606
Tronox Finance
5.750%, 10/01/2025 (A)		1,969		1,841
U.S. Steel
12.000%, 06/01/2025 (A)		336		336
Valvoline
4.250%, 02/15/2030 (A)		275		274
Venator Finance Sarl
9.500%, 07/01/2025 (A)		1,371		1,378
5.750%, 07/15/2025 (A)		1,369		877

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Warrior Met Coal
8.000%, 11/01/2024 (A)	$	2,530	$	2,513
				176,062
Real Estate — 1.9%
CoreCivic
4.625%, 05/01/2023		595		577
Diversified Healthcare Trust
9.750%, 06/15/2025		4,121		4,193
Equinix
5.875%, 01/15/2026		1,045		1,095
GEO Group
5.875%, 10/15/2024		170		141
5.125%, 04/01/2023		3,500		3,071
Iron Mountain
5.250%, 03/15/2028 (A)		2,300		2,334
4.875%, 09/15/2027 (A)		2,933		2,948
4.875%, 09/15/2029 (A)		5,243		5,256
iStar
4.750%, 10/01/2024		903		813
4.250%, 08/01/2025		1,783		1,562
Lamar Media
4.875%, 01/15/2029 (A)		180		185
4.000%, 02/15/2030 (A)		877		844
3.750%, 02/15/2028 (A)		1,316		1,276
MPT Operating Partnership
4.625%, 08/01/2029		1,670		1,653
Outfront Media Capital LLC
6.250%, 06/15/2025 (A)		903		929
5.000%, 08/15/2027 (A)		766		746
Realogy Group LLC
4.875%, 06/01/2023 (A)		1,699		1,512
RHP Hotel Properties
5.000%, 04/15/2023		830		768
Ryman Hospitality Properties
4.750%, 10/15/2027 (A)		3,050		2,589
SBA Communications
4.875%, 09/01/2024		545		559
Service Properties Trust
4.950%, 02/15/2027		2,313		1,870
Uniti Group
8.250%, 10/15/2023		902		848
7.875%, 02/15/2025 (A)		1,313		1,334
7.125%, 12/15/2024 (A)		1,210		1,094
6.000%, 04/15/2023 (A)		3,670		3,587
VICI Properties
4.625%, 12/01/2029 (A)		715		713
4.250%, 12/01/2026 (A)		678		672
4.125%, 08/15/2030 (A)		1,251		1,207
3.750%, 02/15/2027 (A)		215		207

SEI Institutional Investments Trust / Annual Report / May 31, 2020 211

SCHEDULE OF INVESTMENTS

May 31, 2020

High Yield Bond Fund(Continued)

Description	Face Amount (Thousands)		Market Value     ($Thousands)
CORPORATE OBLIGATIONS (continued)
3.500%, 02/15/2025 (A)	$	90	$	87
				44,670
Utilities — 1.9%
AES
6.000%, 05/15/2026		125		132
5.500%, 04/15/2025		565		579
AmeriGas Partners
5.875%, 08/20/2026		235		249
5.500%, 05/20/2025		2,929		3,046
Calpine
5.250%, 06/01/2026 (A)		2,000		2,071
5.125%, 03/15/2028 (A)		1,002		1,017
4.500%, 02/15/2028 (A)		5,700		5,729
Consolidated Edison of New York
3.950%, 04/01/2050		1,452		1,703
NextEra Energy Operating Partners
4.250%, 07/15/2024 (A)		2,746		2,835
NRG Energy
7.250%, 05/15/2026		2,620		2,819
6.625%, 01/15/2027		286		305
5.250%, 06/15/2029 (A)		201		219
Rockpoint Gas Storage Canada
7.000%, 03/31/2023 (A)		1,677		1,438
Talen Energy Supply LLC
6.625%, 01/15/2028 (A)		2,680		2,628
TerraForm Power Operating LLC
4.750%, 01/15/2030 (A)		225		234
4.250%, 01/31/2023 (A)		3,153		3,208
Vistra Operations LLC
5.625%, 02/15/2027 (A)		2,568		2,729
5.500%, 09/01/2026 (A)		2,075		2,179
5.000%, 07/31/2027 (A)		4,350		4,551
4.300%, 07/15/2029 (A)		2,839		2,936
3.700%, 01/30/2027 (A)		3,392		3,445
				44,052
Total Corporate Obligations (Cost $1,935,623) ($ Thousands)				1,822,820
LOAN PARTICIPATIONS — 7.9%
Academy Ltd., Initial Term Loan, 1st Lien
5.000%, VAR LIBOR+4.000%, 07/01/2022 (F)		10,038		7,478
Adient US LLC, Initial Term Loan, 1st Lien
5.450%, 05/06/2024 (F)		880		831
AI Aqua Merger Sub, Inc., Term Loan B-1, 1st Lien
4.322%, 12/13/2023		2,291		2,182

Description	Face Amount (Thousands)		Market Value     ($Thousands)
LOAN PARTICIPATIONS (continued)
Air Medical Group Holdings, Inc., 2018 New Term Loan, 1st Lien
5.250%, VAR LIBOR+3.250%, 03/14/2025	$	1,788	$	1,706
Air Medical Group Holdings, Inc., 2018 Term Loan, 1st Lien
4.250%, VAR LIBOR+3.250%, 04/28/2022		844		817
Alvogen Pharma, Term Loan
0.000%, 12/31/2023		2,262		2,024
AMC Entertainment Holdings, Inc. (fka AMC Entertainment Inc.), Term B-1 Loan, 1st Lien
4.080%, VAR LIBOR+4.250%, 04/22/2026		125		95
American Gaming, Term Loan, 1st Lien
14.000%, 02/15/2024		1,340		1,340
American Tire Distributors, Inc., Initial Term Loan, 1st Lien
8.500%, VAR LIBOR+6.000%, 09/02/2024 (F)		5,076		3,079
American Tire Distributors, Initial Term Loan
8.950%, 09/02/2024		51		31
Ascend Learning, Term Loan, 1st Lien
4.000%, VAR LIBOR+3.250%, 07/12/2024		254		242
Asurion, LLC (fka Asurion Corporation), Second Lien Replacement B-2 Term Loan, 2nd Lien
6.674%, VAR LIBOR+0.500%, 08/04/2025		4,023		4,000
Banijay Group, Term Loan B, 1st Lien
0.000%, 03/04/2025 (F)		70		66
Bausch Health Companies Inc., Initial Term Loan, 1st Lien
3.171%, VAR LIBOR+3.000%, 06/02/2025		809		792
Big River Steel LLC, Closing Date Term Loan, 1st Lien
6.450%, VAR LIBOR+1.000%, 08/23/2023		2,322		2,113
Boardriders Inc., Initial Loan, 1st Lien
7.500%, VAR LIBOR+6.500%, 04/23/2024		3,269		2,117
0.000%, 04/23/2024		1		–
Buckeye Partners L.P., Initial Term Loan, 1st Lien
3.120%, 11/01/2026		365		354
BWay Holding Company , Initial Term Loan, 1st Lien
4.561%, VAR LIBOR+3.250%, 04/03/2024		2,071		1,884

212 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
LOAN PARTICIPATIONS (continued)
Carestream Health, Extended Loan, 2nd Lien
0.000%, 08/08/2023	$	3,105	$	2,329
Carestream Health, Inc., Extended Term
Loan, 2nd Lien
7.322%, VAR LIBOR+9.500%, 02/28/2021		2,148		1,976
Cengage Learning, Inc., 2016 Refinancing Term Loan, 1st Lien
5.250%, VAR LIBOR+3.750%, 06/07/2023		5,068		4,082
CenturyLink Inc., Term Loan B, 1st Lien
2.424%, 03/15/2027		254		244
Cenveo Corporation, Exit Term Loan
11.750%, 06/07/2023 (D)		2		2
Cenveo Corporation, Exit Term Loan, 1st Lien
10.500%, VAR LIBOR+9.000%, 06/07/2023 (D)		2,523		2,447
CityCenter Holdings, LLC , Term B Loan, 1st Lien
3.000%, VAR LIBOR+2.000%, 04/18/2024		962		900
Claire’s Stores, Term Loan B, 1st Lien
0.000%, 12/18/2026		2,047		1,556
ConvergeOne Holdings, Corp., Initial Term Loan
5.703%, 01/04/2026		6,227		5,036
Cornerstone OnDemand, Term Loan
5.348%, 04/22/2027		310		305
Coty Inc., Term Loan B, 1st Lien
2.472%, 04/07/2025		2,798		2,463
Diebold Nixdorf, Incorporated (f/k/a Diebold, Incorporated), Term A-1 Loan, 1st Lien
9.438%, VAR LIBOR+9.250%, 08/31/2022		3,061		2,926
East Valley Tourist Development Authority, Term Loan, 1st Lien
9.072%, VAR LIBOR+3.750%, 03/07/2022 (D)		3,868		3,250
Envision Healthcare Corporation, Initial Term Loan, 1st Lien
3.924%, VAR LIBOR+3.750%, 10/10/2025		5,702		3,709
Epic Crude Services, LP, Term Loan, 1st Lien
5.370%, VAR LIBOR+5.500%, 03/02/2026		2,990		2,235
EPIC Y-Grade Services, LP, Term Loan, 1st Lien
6.370%, VAR LIBOR+0.500%, 06/13/2024		3,695		2,657
eResearchTechnology, Inc., Initial Term Loan, 1st Lien
5.500%, VAR LIBOR+4.500%, 02/04/2027		2,073		2,018

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
LOAN PARTICIPATIONS (continued)
Foresight Energy LLC, Delayed Draw Loan
0.000%, 09/04/2020	$	130	$	104
Foresight Energy LLC, Initial Term Loan
0.000%, 09/04/2020		185		148
Foresight Energy LLC, Term Loan, 1st Lien
7.363%, VAR LIBOR+4.000%, 03/28/2022 (B)		2,013		81
0.000%, 09/11/2020		255		204
Frontier Communications Corporation, Term B-1 Loan, 1st Lien
5.350%, VAR LIBOR+3.750%, 06/15/2024		1,583		1,551
Gates Global LLC, Initial B-2 Dollar Term Loan, 1st Lien
3.750%, VAR Euribor+3.000%, 04/01/2024		863		826
GFL Environmental, Incremental Term Loan
4.000%, 05/30/2025 (G)		556		548
Go Wireless, Inc., Senior Lien Term Loan, None
7.500%, VAR FIXED+6.500%, 12/22/2024 (F)		484		355
Green Energy Partners/Stonewall LLC, Term B-1 Conversion Advances, 1st Lien
6.950%, VAR LIBOR+5.500%, 11/13/2021 (D)		721		591
Harland Clarke Holdings Corp. (fka Clarke American Corp.), Initial Term Loan, 1st Lien
5.750%, VAR Prime Rate by Country+4.250%, 11/03/2023		441		271
iHeartCommunications, Inc. (fka Clear Channel Communications, Inc.), New Term Loan, 1st Lien
3.174%, VAR LIBOR+3.000%, 05/01/2026		723		674
II-VI Inc., Term Loan B, 1st Lien
3.674%, 09/24/2026		1,821		1,751
Indivior Finance S.a r.l., 2017 Replacement USD Term Loan, 1st Lien
5.500%, VAR LIBOR+4.250%, 12/19/2022 (D)		873		751
Informatica LLC , Dollar 2020 Term Loan, 1st Lien
3.424%, VAR LIBOR+3.250%, 02/25/2027		149		142
Jaguar Holding Company I, LLC (fka Jaguar Holding Company I), 2018 Term Loan, 1st Lien
3.500%, VAR LIBOR+2.500%, 08/18/2022		1,043		1,038
JC Penney, Delay Draw Term Loan
0.000%, 11/15/2020 (F)		1,500		1,500

SEI Institutional Investments Trust / Annual Report / May 31, 2020 213

SCHEDULE OF INVESTMENTS

May 31, 2020

High Yield Bond Fund(Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
LOAN PARTICIPATIONS (continued)
JC Penney, Term Loan, 1st Lien
5.250%, VAR LIBOR+4.250%, 06/23/2023 (F)	$	5,057	$	1,760
Knight Engery Services
8.500%, 02/09/2024 (D)		73		–
Kronos Acquisition Intermediate Inc., Initial Loan, 1st Lien
5.000%, VAR LIBOR+4.000%, 05/15/2023		575		548
Kronos Incorporated, Initial Term Loan, 1st Lien
9.250%, 11/01/2024		1,104		1,092
Lanai Holdings II, Inc., Initial Term Loan, 1st Lien
5.750%, VAR LIBOR+4.750%, 08/29/2022		6,502		5,705
Lifescan Global Corporation, Initial Term Loan, 1st Lien
7.451%, 10/01/2024		54		46
Lifescan Global Corporation, Initial Term Loan, 2nd Lien
7.175%, VAR LIBOR+12.500%, 10/01/2024 (F)		9,303		7,917
Ligado Networks LLC (fka New LightSquared, LLC), Junior Loan, 2nd Lien
13.500%, VAR LIBOR+3.750%, 12/07/2020 (D)		222		89
Mashantucket (Western) Pequot Tribe, Term B Loan, 1st Lien
9.375%, VAR Euribor+3.250%, 06/30/2020 (D)		11,734		10,912
Mavenir Systems, Inc., Initial Term Loan, 1st Lien
7.000%, VAR LIBOR+3.250%, 05/08/2025 (D)		3,698		3,587
McGraw-Hill Global Education Holdings, LLC, Term B Loan, 1st Lien
5.450%, VAR LIBOR+5.750%, 05/04/2022		6,063		5,154
Medallion Midland, Term Loan B, 1st Lien
4.250%, VAR LIBOR+3.250%, 10/30/2024		1,996		1,669
Merrill Communications LLC Term Loan B (2019)
6.195%, 10/05/2026 (D)		2,507		2,357
Metroflag, Term Loan, 2nd Lien
14.000%, VAR LIBOR0.000%, 01/06/2009 (D)		325		–
MLN US HoldCo LLC, Term B Loan, 2nd Lien
4.830%, VAR LIBOR+8.750%, 11/30/2025		1,449		1,093

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
LOAN PARTICIPATIONS (continued)
Monitronics International Inc., Term Loan, 1st Lien
7.750%, 03/29/2024	$	4,048	$	2,804
Murray Energy, Term Loan
13.000%, 07/31/2020		420		206
Neiman Marcus Group LTD LLC, Cash Pay/PIK Extended Term Loan, 1st Lien
8.000%, VAR LIBOR+3.250%, 10/25/2023 (B)		2,002		401
Nestle Skin Health, Term Loan B
5.322%, 10/01/2026		1,397		1,336
New rue21, LLC, Term Loan, 1st Lien
12.500%, VAR LIBOR+6.000%, 09/22/2022		178		102
Nine West Holdings Inc., Term Loan
9.116%, 03/19/2024		1,178		982
Nouryon Finance B.V., Initial Dollar Term Loan, 1st Lien
3.222%, VAR LIBOR+3.000%, 10/01/2025		945		899
Panther BF Aggregator 2 L P, Initial Dollar Term Loan, 1st Lien
3.674%, VAR LIBOR+3.500%, 04/30/2026		1,144		1,087
Peak 10, Term Loan
4.950%, VAR LIBOR+7.250%, 08/01/2024		7,968		6,417
Petco Animal Supplies, Inc., Term Loan, 1st Lien
4.250%, VAR LIBOR+5.000%, 01/26/2023		1,465		1,010
PetSmart, Inc., Amended Loan, 1st Lien
5.000%, VAR LIBOR+3.000%, 03/11/2022		754		741
Plantronics, Inc., Initial Term B Loan, 1st Lien
2.674%, VAR LIBOR+2.500%, 07/02/2025		934		744
Plantronics, Term Loan B
3.459%, 07/02/2025		141		112
Rackspace Hosting, Inc., Term B Loan
4.000%, 11/03/2023 (G)		1,318		1,281
Red Lobster Management LLC, Initial Term Loan
6.250%, 07/28/2021 (D)(F)		3,413		2,730
Red Lobster Management LLC, Initial Term Loan, 1st Lien
6.250%, 07/28/2021		1		1
Refinitiv US Holdings Inc., Initial Dollar Term Loan, 1st Lien
3.424%, VAR LIBOR+3.250%, 10/01/2025		395		389

214 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
LOAN PARTICIPATIONS (continued)
Revlon Consumer Products Corporation, Initial Term B Loan, 1st Lien
4.950%, VAR LIBOR+3.500%, 09/07/2023	$	1,852	$	493
4.250%, VAR LIBOR+3.500%, 09/07/2023 (F)		6,190		1,646
Schenectady International Group, Inc., Initial Term Loan, 1st Lien
4.997%, VAR LIBOR+4.750%, 10/15/2025		3,271		3,026
4.924%, VAR LIBOR+4.750%, 10/15/2025		58		54
Shutterfly, Term Loan B, 1st Lien
7.450%, 09/25/2026		357		315
Sotera Health Holdings, LLC, Initial Term Loan, 1st Lien
5.500%, VAR LIBOR+4.500%, 12/11/2026		896		868
SP PF Buyer LLC, Term Loan, 1st Lien
4.674%, 12/22/2025		2,802		2,095
Staples, Inc., 2019 Refinancing New Term B-1 Loan, 1st Lien
5.687%, VAR LIBOR+5.000%, 04/16/2026		2,691		2,376
Steinway Musical Instruments, Term Loan B, 1st Lien
4.750%, VAR LIBOR+3.750%, 02/14/2025		1,420		1,315
Syniverse Holdings, Inc., Tranche C Term Loan , 1st Lien
6.873%, VAR LIBOR+3.000%, 03/09/2023		7,981		4,945
Team Health Holdings, Inc., Initial Term Loan, 1st Lien
3.750%, VAR LIBOR+6.000%, 02/06/2024		9,363		6,792
TGG TS Acquisition Company, Term B Loan, 1st Lien
6.668%, VAR LIBOR+6.500%, 12/14/2025		255		230
Titan Acquisition Limited, Initial Term Loan, 1st Lien
4.450%, VAR LIBOR+3.000%, 03/28/2025		1,958		1,767
T-Mobile USA, Inc., Assignment, 1st Lien
3.174%, 04/01/2027 (F)		1,015		1,015
Traverse Midstream Partners LLC, Advance, 1st Lien
5.000%, VAR LIBOR+4.000%, 09/27/2024		7,021		5,763
Twin River, Term Loan, 1st Lien
9.000%, 05/11/2026		1,091		1,094

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
LOAN PARTICIPATIONS (continued)
U.S. Renal Care, Inc., Initial Term Loan
5.188%, VAR LIBOR+4.250%, 06/26/2026	$	742	$	705
Vertiv Group Corporation, Term Loan B, 1st Lien
3.330%, 03/02/2027		230		220
Windstream Services, LLC (fka Windstream Corporation), Tranche B-6 Term Loan (2016), 1st Lien
8.250%, VAR Prime Rate by Country+4.250%, 03/29/2021 (F)		3,268		1,890
Woodford Express LLC, Term Loan B, 1st Lien
6.000%, VAR LIBOR+5.000%, 01/27/2025		2,194		1,309
Zayo Group Holdings Inc., Initial Dollar Term Loan, 1st Lien
3.174%, 03/09/2027		530		509
Total Loan Participations (Cost $213,707) ($ Thousands)				181,419
ASSET-BACKED SECURITIES — 7.7%
Other Asset-Backed Securities — 7.7%
Airplanes Pass-Through Trust, Ser 2001-1A, Cl A9
2.209%, VAR ICE LIBOR USD 1 Month+0.550%, 03/15/2019 (A) (D)(M)		835		31
Ares XXXIV CLO, Ser 2015-2A
0.000%, 04/17/2033 (A)(D)(G)		12,697		6,348
Ares XXXIV CLO, Ser 2020-2A, Cl FR
9.376%, VAR ICE LIBOR USD 3 Month+8.600%, 04/17/2033 (A)(D)		2,304		1,383
B&M CLO, Ser 2014-1A, Cl E
6.926%, VAR ICE LIBOR USD 3 Month+5.750%, 04/16/2026 (A)(D)		2,520		1,260
Battalion CLO IV, Ser 2013-4A
0.000%, 10/22/2025 (A)(D)(G)		1,560		–
Battalion CLO V, Ser 2014-5A
0.000%, 04/17/2026 (A)(D)(G)		3,445		62
Battalion CLO VII, Ser 2014-7A
0.000%, 07/17/2028 (A)(D)(G)		4,614		923
Battalion CLO VIII, Ser 2015-8A
0.000%, 07/18/2030 (A)(D)(G)(L)		4,378		1,620
Battalion CLO X, Ser 2016-10A
0.000%, 01/24/2029 (A)(D)(G)(L)		6,380		3,002
Battalion CLO XI, Ser 2017-11A
0.000%, 10/24/2029 (A)(D)(G)		10,431		6,571
Battalion CLO XII, Ser 2018-12A
0.000%, 05/17/2031 (A)(D)(G)		8,633		5,722

SEI Institutional Investments Trust / Annual Report / May 31, 2020 215

SCHEDULE OF INVESTMENTS

May 31, 2020

High Yield Bond Fund(Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Battalion CLO XIV, Ser 2019-14A
0.000%, 04/20/2032 (D)(G)	$	6,147	$	3,943
Battalion CLO XVI, Ser 2019-16A
0.000%, 12/19/2032 (A)(D)(G)		6,023		3,674
Benefit Street Partners CLO III, Ser 2013-IIIA
0.000%, 07/20/2029 (A)(D)(G)(L)		2,640		607
Benefit Street Partners CLO IV, 0.000% (D)(G)		4,862		729
Benefit Street Partners CLO IX, 0.000% (D)(G)		3,363		1,462
Benefit Street Partners CLO V, 0.000% (D)(G)		6,413		–
Benefit Street Partners CLO V, Ser 2018-5BA
0.000%, 04/20/2031 (D)(G)		10,301		3,709
Benefit Street Partners CLO VI, Ser 2015-VIA
0.000%, 10/18/2029 (A)(D)(G)		9,535		2,098
Benefit Street Partners CLO VII, Ser 2015-VIII
0.000%, 07/18/2027 (D)(G)		9,035		1,946
Benefit Street Partners CLO VIII
0.000%, 01/20/2031 (A)(D)(G)(L)		9,000		4,320
Benefit Street Partners CLO X, Ser 2016-10A
0.000%, 01/15/2029 (A)(D)(G)		8,928		2,053
Benefit Street Partners CLO XII, Ser 2017-12A
0.000%, 10/15/2030 (A)(D)(G)		10,091		3,431
Benefit Street Partners CLO XII, Ser 2017- 12A, Cl C
4.269%, VAR ICE LIBOR USD 3 Month+3.050%, 10/15/2030 (A)(D)		1,950		1,736
Benefit Street Partners CLO XIV, Ser 2018-14A
0.000%, 04/20/2031 (A)(D)(G)		6,857		2,629
Benefit Street Partners CLO XVIII, Ser 2019-18A
0.000%, 10/15/2032 (A)(D)(G)		6,048		3,145
Benefit Street Partners CLO, Warehouse Note
0.000%, (D)(H)		2,270		2,248
Cathedral Lake CLO III, Ser 2015-3A
0.000%, 01/15/2026 (A)(D)(G)		2,506		902
Cathedral Lake V, Ser 2018-5A
0.000%, 10/21/2030 (A)(D)(G)		5,673		2,383
CVP Cascade CLO-2, Ser 2014-2A, Cl D
5.935%, VAR ICE LIBOR USD 3 Month+4.800%, 07/18/2026 (A)(D)		2,337		1,145
CVP Cascade CLO-2, Ser 2014-2A, Cl E
6.935%, VAR ICE LIBOR USD 3 Month+5.800%, 07/18/2026 (A)(D)		2,579		1,032
Dryden 75 CLO, Ser 2019-75A
0.000%, 07/15/2030 (A)(D)(G)		5,115		2,967
Figueroa CLO, Ser 2013-2A
0.000%, 06/20/2027 (A)(D)(G)		3,046		12
Great Lakes CLO, Ser 2014-1A
0.000%, 10/15/2029 (A)(D)(G)		4,940		1,630
Great Lakes CLO, Ser 2015-1A
0.000%, 01/16/2030 (A)(D)(G)		6,015		1,805

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Great Lakes CLO, Ser 2017-1A, Cl ER
8.719%, VAR ICE LIBOR USD 3 Month+7.500%, 10/15/2029 (A)(D)	$	3,376	$	2,596
Great Lakes CLO, Ser 2017-1A, Cl FR
11.219%, VAR ICE LIBOR USD 3 Month+10.000%, 10/15/2029 (A)(D)		1,972		1,293
Great Lakes CLO, Ser 2018-1A, Cl ER
8.536%, VAR ICE LIBOR USD 3 Month+7.360%, 01/16/2030 (A)(D)		4,328		3,263
Great Lakes CLO, Ser 2018-1A, Cl FR
11.176%, VAR ICE LIBOR USD 3 Month+10.000%, 01/16/2030 (A)(D)		1,595		1,032
IVY Hill Middle Market Credit Fund XII, Ser 2017-12A
0.000%, 07/20/2029 (A)(D)(G)		1,149		883
IVY Hill Middle Market Credit Fund XII, Ser 2017-12A, Cl D
8.695%, VAR ICE LIBOR USD 3 Month+7.560%, 07/20/2029 (A)(D)		5,687		4,408
IVY Hill Middle Market Credit Fund XIV, Ser 2018-14A
0.000%, 04/18/2030 (A)(D)(G)		2,164		1,230
IVY Hill Middle Market Credit Fund XIV, Ser 2018-14A, Cl D
8.205%, VAR ICE LIBOR USD 3 Month+7.070%, 04/18/2030 (A)(D)		2,886		1,964
Lockwood Grove CLO, Ser 2014-1A
0.000%, 01/25/2030 (A)(D)(G)		4,865		1,703
Lockwood Grove CLO, Ser 2018-1A, Cl ERR
6.841%, VAR ICE LIBOR USD 3 Month+5.850%, 01/25/2030 (A)(D)		3,263		2,023
Neuberger Berman CLO XVI-S, Ser 2018-16SA
0.000%, 01/15/2028 (A)(D)(G)		1,563		768
Neuberger Berman CLO XXII, Ser 2016-22A
0.000%, 10/17/2030 (A)(D)(G)		5,235		2,251
Neuberger Berman CLO XXII, Ser 2016-22A, Cl F
0.100%, 10/17/2030 (A)(D)		161		32
Neuberger Berman Loan Advisers CLO 36, Ser 2020-36A, Cl INC
0.000%, 04/20/2033 (A)(D)(G)		1,780		1,335
Neuberger Berman Loan Advisers CLO 36, Ser 2020-36A, Cl SPIN
0.000%, 04/20/2033 (A)(D)(G)		23		21
NewStar Berkeley Fund CLO LLC, Ser 2016-1A
0.000%, 10/25/2028 (A)(D)(G)(L)		21,812		6,325
NewStar Berkeley Fund CLO LLC, Ser 2016- 1A, Cl E
8.741%, VAR ICE LIBOR USD 3 Month+7.750%, 10/25/2028 (A)(D)		15,428		10,831

216 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
NewStar Clarendon Fund CLO LLC, Ser 2015- 1A, Cl E
7.041%, VAR ICE LIBOR USD 3 Month+6.050%, 01/25/2027 (A)(D)(L)	$	4,470	$	3,321
NewStar Exeter Fund CLO, Ser 2015-1RA, Cl E
8.335%, VAR ICE LIBOR USD 3 Month+7.200%, 01/20/2027 (A)(D)		5,110		3,953
NewStar Fairfield Fund CLO, Ser 2015-2A
0.000%, 04/20/2030 (A)(D)(G)		9,028		4,322
NewStar Fairfield Fund CLO, Ser 2018-2A, Cl DN
8.515%, VAR ICE LIBOR USD 3 Month+7.380%, 04/20/2030 (A)(D)		4,200		2,467
OCP CLO, Ser 2017-14A
0.000%, 11/20/2030 (A)(D)(G)		3,012		1,295
Onex Credit Partners CLO, Warehouse Note
0.000%, (D)(H)		1,513		1,498
Shackleton CLO, Ser 2014-6A
0.000%, 07/17/2026 (A)(D)(G)		7,965		1
Shackleton CLO, Ser 2014-6RA
0.000%, 07/17/2028 (D)(G)		6,412		385
Shackleton CLO, Ser 2019-14A
0.000%, 07/20/2030 (A)(D)(G)		3,251		1,593
TCP Whitney CLO, Ser 2017-1I
0.000%, 08/20/2029 (D)(G)		13,119		10,140
TCW CLO, Ser 2017-1A
0.000%, 07/29/2029 (A)(D)(G)		7,377		4,426
TCW CLO, Ser 2018-1A
0.000%, 04/25/2031 (A)(D)(G)		5,509		3,145
TCW CLO, Ser 2019-2A
0.000%, 10/20/2032 (A)(D)(G)		5,959		4,052
TCW CLO, Warehouse Note, Ser 2020-1
0.000%, (D)(H)		8,139		6,186
Telos CLO, Ser 2018-5A, Cl BR
2.615%, VAR ICE LIBOR USD 3 Month+1.480%, 04/17/2028 (A)(D)		1,624		1,538
Venture 35 CLO, Ser 2018-35A
0.000%, 10/22/2031 (A)(D)(G)		15,819		6,248
Venture XXV CLO, Ser 2016-25A
0.000%, 04/20/2029 (A)(D)(G)		2,950		1,210
Venture XXVI CLO, Ser 2017-26A
0.000%, 01/20/2029 (A)(D)(G)		2,865		831
Venture XXVIII CLO, Ser 2017-28A
0.000%, 07/20/2030 (A)(D)(G)		5,750		2,817
Total Asset-Backed Securities (Cost $210,190) ($ Thousands)				177,914

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CONVERTIBLE BONDS — 0.9%
Air Canada CV to 65.1337
4.000%, 07/01/2025 (A)	$	400	$	411
Booking Holdings CV to 0.5301
0.750%, 05/01/2025 (A)		670		827
Burlington Stores CV 4.5418
2.250%, 04/15/2025 (A)		671		789
Callaway Golf CV to 56.7698
2.750%, 05/01/2026 (A)		223		246
Carnival CV to 100.0000
5.750%, 04/01/2023 (A)		873		1,433
CHC Group LLC CV to 125.0000
10.717%, 10/01/2020 (D)(I)		200		30
Cheniere Energy CV to 7.2265
4.250%, 03/15/2045		908		549
Chesapeake Energy CV to 116.7134
5.500%, 09/15/2026		180		6
DISH Network CV to 15.3429
3.375%, 08/15/2026		785		692
EQT CV to 66.6667
1.750%, 05/01/2026 (A)		445		487
Liberty Media CV to 16.7764
3.750%, 02/15/2030		7,219		4,800
Liberty Media CV to 22.9469
4.000%, 11/15/2029		2,182		1,457
MagnaChip Semiconductor CV to 121.1387
5.000%, 03/01/2021		500		704
MGIC Investment CV to 74.0741
9.000%, 04/01/2063 (A)		3,110		4,014
NextEra Energy Partners CV to 18.9170
1.500%, 09/15/2020 (A)		383		396
Oasis Petroleum CV 76.365
2.625%, 09/15/2023		180		18
Penn National Gaming CV to 45.7350
2.750%, 05/15/2026		226		352
Pioneer Natural Resources CV to 9.1098
0.250%, 05/15/2025 (A)		564		612
Snap CV to 46.1233
0.250%, 05/01/2025 (A)		445		486
Southwest Airlines CV to 25.9909
1.250%, 05/01/2025		890		1,001
Tutor Perini CV to 33.0579
2.875%, 06/15/2021		1,725		1,611
Total Convertible Bonds (Cost $20,523) ($ Thousands)				20,921
	Shares
COMMON STOCK — 0.9%
Amplify Energy Corp		110,885		122
Aquity Equity *(D)		89,545		940
Aspect Software CR1 *(D)		40,500		–
Aspect Software CR2 *(D)		16,397		–
ATD New Holdings *(D)		3,257		47

SEI Institutional Investments Trust / Annual Report / May 31, 2020 217

SCHEDULE OF INVESTMENTS

May 31, 2020

High Yield Bond Fund(Continued)

Description	Shares		Market Value     ($ Thousands)
COMMON STOCK (continued)
Battalion Oil *		6,488	$	38
Berry Corp		445,831		1,890
Cenveo Corp *		66,991		938
CHC Group LLC *		3,887		2
Claire’s Stores Inc, 0.000% *(D)(L)		858		472
Clear Channel Outdoor Holdings Inc, Cl A *		345,144		333
CUI Acquisition *(D)		3		–
Cumulus Media Inc, Cl A *		109,292		565
Global Aviation Holdings, Cl A *(D)		101,199		–
Gymboree *(D)		18,542		9
Gymboree Holding *(D)		52,848		26
Hexion Holdings *		194,188		1,167
iHeartMedia Inc (J)		35,187		306
iHeartMedia Inc, Cl A *(J)		119,604		1,041
Jupiter Resources *(D)		571,046		571
Knight Energy Services *(D)(K)		2,205		–
Medical Card Systems *(D)		395,653		–
Monitronics International *(D)(L)		385,168		3,767
Nine West		163,718		928
Parker Drilling *		143,734		941
Quad/Graphics Inc, Cl A		173		1
Reichhold Industries *(D)(L)		1,755		1,525
Remington Outdoor Company *(D)(L)		19,372		23
Rue 21 *		2,551		26
SandRidge Energy (Escrow Security) (D)		7,605,000		–
SandRidge Energy Inc *		10,878		17
TE Holdcorp *(D)		67,771		–
Titan Energy LLC *		22,243		1
UCI International *(D)(L)		39,275		844
VICI Properties Inc ‡		123,500		2,423
Vistra Energy Corp		46,760		956
Total Common Stock (Cost $47,743) ($ Thousands)				19,919
PREFERRED STOCK — 0.5%
2020 Mandatory Exchangeable Trust, 6.500%		901		971
ArcelorMittal, 5.500%		45,000		1,160
Claire’s Stores Inc, 0.000% *(D)(L)		601		1,052
Crestwood Equity Partners, 9.250% (I)		548,690		3,638
Danaher, 5.000%		902		937
FHLMC, 0.000% *		29,819		365
FNMA, 0.000% *		43,993		529
Ladenburg Thalmann Financial Services, 6.500%		99,400		1,630
MYT Holding, 10.000%		608,423		304
TE Holdcorp, 0.000% *(D)		118,617		–
Total Preferred Stock (Cost $12,416) ($ Thousands)				10,586

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MUNICIPAL BONDS — 0.3%
Connecticut — 0.1%
Mohegan Tribal Finance Authority, RB Callable 02/01/2023 @ 100
7.000%, 02/01/2045 (A)	$	2,940	$	2,705
Puerto Rico — 0.2%
Commonwealth of Puerto Rico, Ser A, GO
5.250%, 07/01/2023 (B)(D)		635		364
5.125%, 07/01/2037 (B)		465		263
5.000%, 07/01/2041 (B)		1,225		678
Puerto Rico, Electric Power Authority, Ser A, RB
5.000%, 07/01/2042 (B)(D)		230		135
Puerto Rico, Electric Power Authority, Ser AAA, RB
5.250%, 07/01/2025 (B)(D)		335		197
5.250%, 07/01/2027 (B)(D)		435		256
Puerto Rico, Electric Power Authority, Ser CCC, RB
5.250%, 07/01/2026 (B)		695		409
Puerto Rico, Electric Power Authority, Ser CCC, RB
5.250%, 07/01/2027 (B)(D)		570		336
Puerto Rico, Electric Power Authority, Ser NN, RB
5.500%, 07/01/2020 (B)(D)		690		408
Puerto Rico, Electric Power Authority, Ser TT, RB
5.000%, 07/01/2032 (B)(D)		425		249
Puerto Rico, Electric Power Authority, Ser WW, RB
5.500%, 07/01/2020 (B)(D)		285		168
5.500%, 07/01/2021 (B)(D)		285		169
5.500%, 07/01/2038 (B)(D)		135		80
5.250%, 07/01/2033 (B)(D)		190		112
Puerto Rico, Electric Power Authority, Ser XX, RB
5.250%, 07/01/2035 (B)		110		65
				3,889
Total Municipal Bonds (Cost $7,159) ($ Thousands)				6,594

218 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Number of Warrants		Market Value     ($ Thousands)
WARRANTS — 0.0%
Guitar Center Holdings, Expires 04/16/2025 Strike Price $– *(D)		29,435	$	–
iHeart Communications, Expires 05/01/2039 Strike Price $– *(D)(L)		24,100		193
Jack Cooper Holdings, Expires 04/26/2027 Strike Price $– *(D)		3,400		–
Lion Holdings, Expires 12/30/2027 Strike Price $– * (D)(L)		2,380		–
Remington Arms, Expires Strike Price $– *(D)(L)		19,534		3
SandRidge Energy, Expires 10/07/2022 Strike Price $41 *		14,900		–
SandRidge Energy, Expires 10/07/2022 Strike Price $42 *		6,273		–
Total Warrants (Cost $505) ($ Thousands)				196
	Shares
CASH EQUIVALENT — 1.7%
SEI Daily Income Trust, Government Fund, Cl F
0.090%**†		40,088,263		40,088
Total Cash Equivalent (Cost $40,088) ($ Thousands)				40,088
Total Investments in Securities — 99.1% (Cost $2,487,954) ($ Thousands)			$	2,280,457

SEI Institutional Investments Trust / Annual Report / May 31, 2020 219

SCHEDULE OF INVESTMENTS

May 31, 2020

High Yield Bond Fund(Concluded)

A list of open centrally cleared swap agreements held by the Fund at May 31, 2020 is as follows:

Credit Default Swaps
Reference Entity/ Obligation	Buy/Sell   Protection		(Pays)/   Receives Rate		Payment   Frequency		Termination Date		Notional Amount (Thousands)			Value (Thousands)			Upfront Payments/ Receipts (Thousands)			Net Unrealized Appreciation (Depreciation) (Thousands)
CDX.NA.HY.33 Index		Sell		5.00%		Quarterly		12/20/2024		(1,839	)	$	(35	)	$	(58	)	$	23
CDX.NA.HY.34 Index		Sell		5.00%		Quarterly		06/20/2025		(1,000	)		(19	)		2			(21	)
												$	(54	)	$	(56	)	$	2

Percentages are based on Net Assets of $2,300,321 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2020.

^†  Investment in Affiliated Security (see Note 6).

^‡  Real Estate Investment Trust.

(A) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On May 31, 2020, the value of these securities amounted to $1,429,526 ($ Thousands), representing 62.1% of the Net Assets of the Fund.

(B) Security is in default on interest payment.

(C) Perpetual security with no stated maturity date.

(D) Level 3 security in accordance with fair value hierarchy.

(E) Securities considered restricted. The total market value of such securities as of May 31, 2020 was $0 ($ Thousands) and represented 0.0% of the Net Assets of the Fund.

(F) Unsettled bank loan. Interest rate may not be available.

(G) Interest rate unavailable.

(H) Warehouse Note - Interest rate and maturity date are unavailable.

(I) Security is a Master Limited Partnership. At May 31, 2020, such securities amounted to $3,638 ($ Thousands), or 0.2% of the net assets (See Note 2).

(J) Security, or a portion thereof, is owned through a holding entity, Bamboo Temple, LLC.

(K) Security, or a portion thereof, is owned through a holding entity, Knights Energy Topco, LLC.

(L) Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of May 31, 2020 was $31,498 ($ Thousands) and represented 1.4% of the Net Assets of the Fund.

(M) Security, or a portion thereof, is owned through a holding entity, 717 AEP Leasing, LLC.

The following is a list of the level of inputs used as of May 31, 2020, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1     ($)		Level 2       ($)			Level 3     ($)(1)		Total       ($)
Corporate Obligations		–		1,813,412			9,408		1,822,820
Loan Participations		–		149,461			31,958		181,419
Asset-Backed Securities		–		–			177,914		177,914
Convertible Bonds		–		20,891			30		20,921
Common Stock		9,800		956			9,163		19,919
Preferred Stock		6,579		2,955			1,052		10,586
Municipal Bonds		–		4,120			2,474		6,594
Warrants		–		–			196		196
Cash Equivalent		40,088		–			–		40,088
Total Investments in Securities		56,467		1,991,795			232,195		2,280,457
Other Financial Instruments	Level 1 ($)		Level 2 ($)			Level 3 ($)		Total ($)
Centrally Cleared Swaps
Credit Default Swaps*
Unrealized Appreciation		–		23			–		23
Unrealized Depreciation		–		(21	)		–		(21	)
Total Other Financial Instruments		–		2			–		2

* Swap contracts are valued at the unrealized appreciation (depreciation) on the instrument.

Cl — Class

CLO — Collateralized Loan Obligation

CV — Convertible Security

DAC — Designated Activity Company

EURIBOR— Euro Interbank Offered Rate

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GO — General Obligation

ICE— Intercontinental Exchange

LIBOR— London Interbank Offered Rate

LLC — Limited Liability Company

LP — Limited Partnership

LLLP — Limited Liability Limited Partnership

Ltd. — Limited

PIK — Payment-In-Kind

Pty — Proprietary

RB — Revenue Bond

Ser — Series

ULC — Unlimited Liability Company

USD — United States Dollar

VAR — Variable Rate

220 SEI Institutional Investments Trust / Annual Report / May 31, 2020

The following table depicts purchases and transfers in and/or out of Level 3 investments during the period for investments held as of May 31, 2020 ($ Thousands).

	Investments in Corporate Obligations		Investments in Loan Participations		Investments in Asset-Backed Securities		Investments in Convertible Bonds		Investments in Common Stock		Investments in Preferred Stock		Investments in Municipal Bonds		Investments in Warrants
Balance as of May 31, 2019	$	6,027	$	21,610	$	251,387	$	60	$	9,183	$	1,956	$	7,104	$	–
Accrued discounts/premiums		83		(430)		355		19		–		–		–		–
Realized gain/(loss)		(197)		1,116		563		(88)		(324)		99		–		–
Change in unrealized appreciation/ (depreciation)		(246)		(2,578)		(68,823)		39		(3,633)		(133)		(266)		196
Purchases		6,142		1,706		47,084		–		6,400		–		–		–
Sales		(2,496)		(5,080)		(52,652)		–		(762)		(870)		–		–
Net transfer into Level 3		95		15,614		–		–		48		–		1,336		–
Net transfer out of Level 3		–		–		–		–		(1,749)		–		(5,700)		–
Ending Balance as of May 31, 2020	$	9,408	$	31,958	$	177,914	$	30	$	9,163	$	1,052	$	2,474	$	196
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date	$	(893)	$	(3,340)	$	(80,626)	$	(958)	$	(5,232)	$	33	$	(379)	$	196

(1) Of the $232,195 ($ Thousands) in Level 3 securities as of May 31, 2020, $8,191 ($ Thousands) or 0.4% of the Net Assets of the Fund are not valued via third party pricing vendors and broker quotes. If significant, the disclosure of the unobservable inputs and the interrelationships and sensitivity between these inputs are required for those Level 3 securities that are not valued by third party pricing vendors or broker quotes. The value of these securities is immaterial and no further disclosure is required.

For the year ended May 31, 2020, there were transfers between Level 2 and Level 3 assets and liabilities. The transfers were due to changes in the availability of observable inputs used to determine fair value.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The following is a summary of the Fund’s transactions with affiliates for the year ended May 31, 2020 ($ Thousands):

Security Description

Value 5/31/2019

Purchases at Cost

Proceeds from Sales

Realized Gain (Loss)

Change in Unrealized Appreciation (Depreciation)

Value 5/31/2020

Shares

Income

Capital Gains

SEI Daily Income Trust, Government Fund, Cl F

$ 88,777

$ 1,184,045

$ (1,232,734)

$ –

$ –

$ 40,088

40,088,263

$ 1,231

$ –

Amounts designated as “—” are either $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements

SEI Institutional Investments Trust / Annual Report / May 31, 2020 221

SCHEDULE OF INVESTMENTS

May 31, 2020

Long Duration Fund

Sector Weightings (Unaudited)^†:

^†Percentages based on total investments.

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS — 70.9%
Communication Services — 9.8%
America Movil
6.375%, 03/01/2035	$	305	$	437
6.125%, 03/30/2040		595		819
4.375%, 04/22/2049		820		969
AT&T
6.000%, 08/15/2040		2,225		2,877
5.700%, 03/01/2057		677		888
5.550%, 08/15/2041		885		1,110
5.450%, 03/01/2047		105		132
5.350%, 09/01/2040		200		249
5.250%, 03/01/2037		965		1,180
5.150%, 11/15/2046		560		685
5.150%, 02/15/2050		1,710		2,124
4.850%, 07/15/2045		505		579
4.800%, 06/15/2044		4,047		4,667
4.750%, 05/15/2046		365		425
4.650%, 06/01/2044		308		342
4.550%, 03/09/2049		400		455
4.500%, 05/15/2035		4,225		4,754
4.500%, 03/09/2048		629		713
4.350%, 06/15/2045		6,752		7,523
4.300%, 12/15/2042		300		332
3.850%, 06/01/2060		365		370
3.650%, 06/01/2051		624		632
CBS
3.700%, 06/01/2028		1,173		1,219
Charter Communications Operating LLC
6.484%, 10/23/2045		2,218		2,914
6.384%, 10/23/2035		2,280		2,986
5.375%, 05/01/2047		497		589
4.800%, 03/01/2050		790		880
3.700%, 04/01/2051		360		345

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Comcast
6.400%, 05/15/2038	$	794	$	1,162
4.950%, 10/15/2058		468		656
4.700%, 10/15/2048		4,292		5,594
4.600%, 10/15/2038		430		535
4.600%, 08/15/2045		835		1,058
4.250%, 01/15/2033		430		519
4.049%, 11/01/2052		1,626		1,946
4.000%, 03/01/2048		465		554
3.999%, 11/01/2049		863		1,021
3.969%, 11/01/2047		2,373		2,804
3.900%, 03/01/2038		1,375		1,605
3.750%, 04/01/2040		2,114		2,413
3.400%, 04/01/2030		315		357
2.800%, 01/15/2051		860		848
Cox Communications
4.700%, 12/15/2042 (A)		353		399
Deutsche Telekom International Finance
4.875%, 03/06/2042 (A)		695		830
Discovery Communications LLC
5.300%, 05/15/2049		375		426
5.200%, 09/20/2047		365		405
5.000%, 09/20/2037		665		729
4.875%, 04/01/2043		590		624
4.650%, 05/15/2050		540		577
Fox
5.576%, 01/25/2049		1,340		1,801
5.476%, 01/25/2039		755		970
Interpublic Group
5.400%, 10/01/2048		218		235
Koninklijke
8.375%, 10/01/2030		200		287
Level 3 Financing
3.875%, 11/15/2029 (A)		940		962
NBC Universal Media LLC
5.950%, 04/01/2041		686		991
Rogers Communications
5.000%, 03/15/2044		1,077		1,393
4.500%, 03/15/2043		257		303
SES GLOBAL Americas Holdings GP
5.300%, 03/25/2044 (A)		1,200		1,143
Sprint Spectrum LLC
5.152%, 03/20/2028 (A)		1,780		1,985
Telefonica Emisiones SAU
5.213%, 03/08/2047		420		510
Tencent Holdings MTN
4.525%, 04/11/2049 (A)		550		698
Time Warner Cable LLC
7.300%, 07/01/2038		475		634
6.750%, 06/15/2039		475		624
6.550%, 05/01/2037		1,005		1,284
5.875%, 11/15/2040		1,995		2,453

222 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
5.500%, 09/01/2041	$	2,935	$	3,467
4.500%, 09/15/2042		675		724
T-Mobile USA
4.500%, 04/15/2050 (A)		2,463		2,782
4.375%, 04/15/2040 (A)		650		718
Verizon Communications
5.250%, 03/16/2037		2,420		3,249
5.012%, 04/15/2049		335		465
5.012%, 08/21/2054		2,454		3,513
4.750%, 11/01/2041		495		651
4.672%, 03/15/2055		555		761
4.522%, 09/15/2048		1,339		1,748
4.500%, 08/10/2033		3,985		4,945
4.400%, 11/01/2034		900		1,106
4.272%, 01/15/2036		1,265		1,536
3.850%, 11/01/2042		355		417
ViacomCBS
5.850%, 09/01/2043		1,825		1,980
4.950%, 05/19/2050		1,043		1,073
4.850%, 12/15/2034		1,000		1,045
4.600%, 01/15/2045		310		300
Vodafone Group
5.250%, 05/30/2048		1,486		1,930
5.000%, 05/30/2038		1,245		1,529
4.875%, 06/19/2049		41		51
4.375%, 02/19/2043		865		979
4.250%, 09/17/2050		1,290		1,482
Walt Disney
7.625%, 11/30/2028		1		1
7.430%, 10/01/2026		775		1,020
6.550%, 03/15/2033		1,200		1,685
3.800%, 05/13/2060		155		177
3.600%, 01/13/2051		4,455		4,940
3.500%, 05/13/2040		550		605
2.750%, 09/01/2049		447		434
				127,843
Consumer Discretionary — 2.5%
Alibaba Group Holding Ltd
4.200%, 12/06/2047		815		978
Alimentation Couche-Tard
4.500%, 07/26/2047 (A)		1,075		1,086
3.800%, 01/25/2050 (A)		490		465
Amazon.com
4.950%, 12/05/2044		2,029		2,885
4.050%, 08/22/2047		951		1,253
Aptiv PLC
5.400%, 03/15/2049		904		877
BMW US Capital LLC
4.150%, 04/09/2030 (A)		475		532
Dollar General
4.125%, 04/03/2050		926		1,103

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Ford Motor
4.750%, 01/15/2043	$	540	$	413
General Motors
6.600%, 04/01/2036		330		353
6.250%, 10/02/2043		955		992
5.950%, 04/01/2049		735		758
Home Depot
4.250%, 04/01/2046		925		1,166
4.200%, 04/01/2043		460		572
3.900%, 06/15/2047		607		734
3.350%, 04/15/2050		1,941		2,199
3.300%, 04/15/2040		–		–
2.700%, 04/15/2030		720		787
Lowe’s
5.125%, 04/15/2050		772		1,045
4.550%, 04/05/2049		380		473
4.050%, 05/03/2047		735		844
3.700%, 04/15/2046		1,060		1,166
McDonald’s MTN
4.875%, 12/09/2045		95		120
4.600%, 05/26/2045		650		798
4.450%, 03/01/2047		1,535		1,876
4.450%, 09/01/2048		395		485
3.625%, 09/01/2049		785		855
3.600%, 07/01/2030		420		476
Newell Brands
6.000%, 04/01/2046		350		363
NIKE
3.375%, 03/27/2050		2,272		2,633
3.250%, 03/27/2040		655		734
2.850%, 03/27/2030		560		623
Starbucks
4.500%, 11/15/2048		310		361
4.450%, 08/15/2049		440		515
3.350%, 03/12/2050		1,181		1,145
TJX
3.875%, 04/15/2030		810		952
				32,617
Consumer Staples — 6.5%
Altria Group
5.950%, 02/14/2049		830		1,075
5.800%, 02/14/2039		115		140
5.375%, 01/31/2044		1,145		1,348
4.450%, 05/06/2050		415		450
Anheuser-Busch InBev Worldwide
5.550%, 01/23/2049		1,561		1,958
4.600%, 04/15/2048		890		991
4.600%, 06/01/2060		525		595
4.439%, 10/06/2048		2,122		2,320
4.375%, 04/15/2038		560		622
4.350%, 06/01/2040		591		660

SEI Institutional Investments Trust / Annual Report / May 31, 2020 223

SCHEDULE OF INVESTMENTS

May 31, 2020

Long Duration Fund(Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Anheuser-Busch LLC
4.900%, 02/01/2046	$	7,184	$	8,317
4.700%, 02/01/2036		6,300		7,186
Bacardi
5.300%, 05/15/2048 (A)		480		577
BAT Capital
5.282%, 04/02/2050		245		287
4.758%, 09/06/2049		630		688
4.540%, 08/15/2047		2,055		2,186
4.390%, 08/15/2037		2,285		2,414
Bayer US Finance II LLC
4.875%, 06/25/2048 (A)		383		483
4.400%, 07/15/2044 (A)		2,830		3,392
Bowdoin College
4.693%, 07/01/2112		131		143
Campbell Soup
4.800%, 03/15/2048		239		304
3.125%, 04/24/2050		225		223
Celgene
5.000%, 08/15/2045		270		358
Celgene Corp
4.550%, 02/20/2048		520		656
City of Hope
4.378%, 08/15/2048		650		776
Claremont Mckenna College
3.378%, 01/01/2050		1,055		1,042
Coca-Cola
4.200%, 03/25/2050		265		343
4.125%, 03/25/2040		230		288
2.600%, 06/01/2050		590		583
2.500%, 06/01/2040		690		696
Conagra Brands
5.400%, 11/01/2048		330		439
Constellation Brands
4.500%, 05/09/2047		550		619
4.100%, 02/15/2048		615		655
Costco Wholesale
1.600%, 04/20/2030		915		921
Diageo Capital
2.125%, 04/29/2032		215		218
Fomento Economico Mexicano
3.500%, 01/16/2050		780		792
General Mills
4.700%, 04/17/2048		235		310
Georgetown University
2.943%, 04/01/2050		400		373
Hershey
3.125%, 11/15/2049		444		485
Johns Hopkins University
2.813%, 01/01/2060		605		604
Keurig Dr Pepper
5.085%, 05/25/2048		265		344

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
4.985%, 05/25/2038	$	235	$	296
Kraft Heinz Foods
6.875%, 01/26/2039		865		1,056
5.200%, 07/15/2045		175		180
4.875%, 10/01/2049 (A)		605		601
4.375%, 06/01/2046		1,890		1,783
Kroger
5.400%, 01/15/2049		15		20
4.650%, 01/15/2048		994		1,232
4.450%, 02/01/2047		2,262		2,726
3.950%, 01/15/2050		895		1,006
Massachusetts Institute of Technology
5.600%, 07/01/2111		545		965
Molson Coors Brewing
4.200%, 07/15/2046		750		708
Mondelez International
4.625%, 05/07/2048		450		553
Nestle Holdings
4.000%, 09/24/2048 (A)		180		232
3.900%, 09/24/2038 (A)		815		991
New York and Presbyterian Hospital
3.563%, 08/01/2036		750		781
PepsiCo
3.625%, 03/19/2050		675		813
3.500%, 03/19/2040		390		467
3.450%, 10/06/2046		705		800
2.875%, 10/15/2049		105		111
Philip Morris International
4.500%, 03/20/2042		1,665		1,975
4.250%, 11/10/2044		230		271
4.125%, 03/04/2043		90		102
3.875%, 08/21/2042		795		871
Procter & Gamble
3.600%, 03/25/2050		1,380		1,733
3.550%, 03/25/2040		645		779
Reynolds American
5.850%, 08/15/2045		820		992
Tyson Foods
5.100%, 09/28/2048		545		698
University of Chicago
2.761%, 04/01/2045		440		447
University of Southern California
5.250%, 10/01/2111		1,340		2,081
2.805%, 10/01/2050		1,400		1,439
Walgreen
4.400%, 09/15/2042		475		482
Walgreens Boots Alliance
4.800%, 11/18/2044		1,235		1,323
Walmart
4.300%, 04/22/2044		231		301
4.050%, 06/29/2048		4,008		5,151
3.950%, 06/28/2038		675		833

224 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
3.625%, 12/15/2047	$	95	$	115
2.950%, 09/24/2049		777		859
William Marsh Rice University
2.598%, 05/15/2050		1,005		1,021
				83,655
Energy — 8.5%
BG Energy Capital
5.125%, 10/15/2041 (A)		405		510
BP Capital Markets America
3.633%, 04/06/2030		1,955		2,193
3.000%, 02/24/2050		1,390		1,359
Burlington Resources LLC
7.200%, 08/15/2031		20		28
5.950%, 10/15/2036		190		256
Canadian Natural Resources MTN
4.950%, 06/01/2047		350		371
Chevron
3.078%, 05/11/2050		1,731		1,874
Columbia Pipeline Group
5.800%, 06/01/2045		445		545
Concho Resources
4.875%, 10/01/2047		300		332
Conoco Funding
7.250%, 10/15/2031		370		501
ConocoPhillips
5.900%, 05/15/2038		1,628		2,225
4.300%, 11/15/2044		1,475		1,756
Devon Energy
5.600%, 07/15/2041		1,105		1,025
5.000%, 06/15/2045		60		53
4.750%, 05/15/2042		975		847
Ecopetrol
5.875%, 05/28/2045		1,167		1,214
El Paso Natural Gas
8.375%, 06/15/2032		300		413
Enbridge Energy Partners
5.500%, 09/15/2040		400		469
Energy Transfer Operating
6.125%, 12/15/2045		1,758		1,842
5.950%, 10/01/2043		1,590		1,628
5.300%, 04/15/2047		720		705
5.250%, 04/15/2029		155		166
5.150%, 02/01/2043		95		90
5.150%, 03/15/2045		200		192
5.000%, 05/15/2050		1,320		1,261
4.900%, 03/15/2035		1,000		975
3.750%, 05/15/2030		75		74
Eni
5.700%, 10/01/2040 (A)		740		782
Enterprise Products Operating LLC
6.650%, 10/15/2034		1,330		1,755

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
6.125%, 10/15/2039	$	420	$	520
5.700%, 02/15/2042		540		653
5.100%, 02/15/2045		600		688
4.950%, 10/15/2054		545		607
4.900%, 05/15/2046		1,790		2,073
4.850%, 03/15/2044		575		657
4.800%, 02/01/2049		305		358
4.250%, 02/15/2048		355		385
4.200%, 01/31/2050		265		286
EOG Resources
4.950%, 04/15/2050		884		1,152
4.375%, 04/15/2030		520		615
EQM Midstream Partners
6.500%, 07/15/2048		500		430
EQT
3.900%, 10/01/2027		405		355
Equinor
6.800%, 01/15/2028		115		149
3.950%, 05/15/2043		650		748
3.700%, 04/06/2050		930		1,047
3.625%, 04/06/2040		2,075		2,331
2.375%, 05/22/2030		540		557
Exxon Mobil
4.327%, 03/19/2050		1,985		2,478
4.227%, 03/19/2040		535		651
3.567%, 03/06/2045		590		652
3.452%, 04/15/2051		4,833		5,324
Halliburton
5.000%, 11/15/2045		35		35
Hess
5.600%, 02/15/2041		1,330		1,321
Kinder Morgan
5.550%, 06/01/2045		935		1,149
5.300%, 12/01/2034		3,131		3,602
Kinder Morgan Energy Partners
6.375%, 03/01/2041		1,036		1,293
5.800%, 03/15/2035		450		548
5.000%, 08/15/2042		700		791
Marathon Oil
5.200%, 06/01/2045		505		443
Marathon Petroleum
6.500%, 03/01/2041		523		614
Motiva Enterprises
6.850%, 01/15/2040 (A)		1,415		1,335
MPLX
5.500%, 02/15/2049		1,175		1,339
5.200%, 03/01/2047		165		177
4.500%, 04/15/2038		675		669
Noble Energy
5.250%, 11/15/2043		1,250		1,108
5.050%, 11/15/2044		325		280
4.950%, 08/15/2047		155		134

SEI Institutional Investments Trust / Annual Report / May 31, 2020 225

SCHEDULE OF INVESTMENTS

May 31, 2020

Long Duration Fund(Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
4.200%, 10/15/2049	$	95	$	77
Northern Natural Gas
4.300%, 01/15/2049 (A)		275		318
Occidental Petroleum
6.139%, 10/10/2036 (B)		5,628		2,392
4.500%, 07/15/2044		375		225
4.400%, 08/15/2049		200		118
4.300%, 08/15/2039		811		474
Petro-Canada
6.800%, 05/15/2038		520		643
Petroleos Mexicanos
7.690%, 01/23/2050 (A)		1,065		879
6.950%, 01/28/2060 (A)		382		295
6.350%, 02/12/2048		745		553
Petroleos Mexicanos MTN
6.750%, 09/21/2047		1,980		1,515
Phillips 66
5.875%, 05/01/2042		1,160		1,591
4.875%, 11/15/2044		1,205		1,500
Phillips 66 Partners
4.900%, 10/01/2046		1,059		1,115
Plains All American Pipeline
4.900%, 02/15/2045		500		466
Rockies Express Pipeline LLC
6.875%, 04/15/2040 (A)		1,135		1,099
Sabal Trail Transmission LLC
4.832%, 05/01/2048 (A)		725		808
4.682%, 05/01/2038 (A)		455		494
Sabine Pass Liquefaction LLC
4.500%, 05/15/2030 (A)		365		400
Saudi Arabian Oil MTN
4.375%, 04/16/2049 (A)		105		116
Shell International Finance BV
6.375%, 12/15/2038		1,577		2,420
5.500%, 03/25/2040		390		538
4.550%, 08/12/2043		1,615		2,007
4.375%, 05/11/2045		410		507
3.750%, 09/12/2046		545		619
3.250%, 04/06/2050		275		293
3.125%, 11/07/2049		435		450
2.375%, 11/07/2029		1,020		1,066
Southern Natural Gas
7.350%, 02/15/2031		1,223		1,557
Suncor Energy
6.500%, 06/15/2038		250		309
Sunoco Logistics Partners Operations
5.400%, 10/01/2047		2,905		2,886
5.350%, 05/15/2045		520		512
Tennessee Gas Pipeline
7.000%, 10/15/2028		1,362		1,679
Texas Eastern Transmission
7.000%, 07/15/2032		1,570		1,897

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
4.150%, 01/15/2048 (A)	$	715	$	720
Total Capital International
3.127%, 05/29/2050		1,720		1,740
TransCanada PipeLines
7.250%, 08/15/2038		1,070		1,505
4.875%, 05/15/2048		445		552
4.750%, 05/15/2038		780		909
4.625%, 03/01/2034		1,360		1,566
Transcanada Trust
5.875%, VAR ICE LIBOR USD 3 Month+4.640%, 08/15/2076		1,494		1,506
Transcontinental Gas Pipe Line LLC
5.400%, 08/15/2041		1,115		1,360
4.600%, 03/15/2048		536		633
4.450%, 08/01/2042		705		789
Valero Energy
10.500%, 03/15/2039		1,397		2,235
Williams
7.500%, 01/15/2031		395		482
5.100%, 09/15/2045		525		587
4.850%, 03/01/2048		10		11
Williams Partners
6.300%, 04/15/2040		550		664
				110,072
Financials — 10.7%
AIG SunAmerica Global Financing X
6.900%, 03/15/2032 (A)		2,042		2,879
Allstate
4.200%, 12/15/2046		195		241
American International Group
4.500%, 07/16/2044		1,815		2,030
3.875%, 01/15/2035		990		1,080
AXA Equitable Holdings
5.000%, 04/20/2048		909		937
Banco Santander
3.490%, 05/28/2030		265		271
Bank of America
6.110%, 01/29/2037		660		900
6.000%, 10/15/2036		2,950		4,104
Bank of America MTN
5.875%, 02/07/2042		2,445		3,530
4.330%, VAR ICE LIBOR USD 3 Month+1.520%, 03/15/2050		915		1,133
4.083%, 03/20/2051 (C)		515		610
4.078%, VAR ICE LIBOR USD 3 Month+1.320%, 04/23/2040		2,630		3,072
3.974%, VAR ICE LIBOR USD 3 Month+1.210%, 02/07/2030		440		500
2.884%, VAR ICE LIBOR USD 3 Month+1.190%, 10/22/2030		945		993

226 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Berkshire Hathaway
4.500%, 02/11/2043	$	758	$	996
Berkshire Hathaway Finance
4.400%, 05/15/2042		1,300		1,642
4.200%, 08/15/2048		1,660		2,071
Blackstone Holdings Finance LLC
6.250%, 08/15/2042 (A)		1,569		2,072
Brighthouse Financial
4.700%, 06/22/2047		876		766
Carlyle Holdings II Finance LLC
5.625%, 03/30/2043 (A)		1,263		1,427
Chubb INA Holdings
6.700%, 05/15/2036		627		896
Cincinnati Financial
6.920%, 05/15/2028		1,984		2,589
Citigroup
6.625%, 06/15/2032		1,075		1,420
4.750%, 05/18/2046		1,425		1,711
4.650%, 07/23/2048		735		912
4.281%, VAR ICE LIBOR USD 3 Month+1.839%, 04/24/2048		1,118		1,325
4.125%, 07/25/2028		2,030		2,227
2.976%, VAR United States Secured Overnight Financing Rate+1.422%, 11/05/2030		500		519
Commonwealth Bank of Australia MTN
3.743%, 09/12/2039 (A)		415		421
Cooperatieve Rabobank UA
5.250%, 08/04/2045		155		201
Credit Suisse Group
4.194%, VAR United States Secured Overnight Financing Rate+3.730%, 04/01/2031 (A)		450		499
Farmers Exchange Capital
7.200%, 07/15/2048 (A)		225		276
Farmers Exchange Capital II
6.151%, VAR ICE LIBOR USD 3 Month+3.744%, 11/01/2053 (A)		925		1,106
Farmers Exchange Capital III
5.454%, VAR ICE LIBOR USD 3 Month+3.454%, 10/15/2054 (A)		700		803
Fifth Third Bancorp
8.250%, 03/01/2038		286		428
First Republic Bank
4.625%, 02/13/2047		567		673
FMR
5.150%, 02/01/2043 (A)		540		674
Goldman Sachs Group
6.750%, 10/01/2037		1,570		2,191
6.250%, 02/01/2041		2,244		3,223
4.411%, VAR ICE LIBOR USD 3 Month+1.430%, 04/23/2039		615		708

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
4.017%, VAR ICE LIBOR USD 3 Month+1.373%, 10/31/2038	$	3,895	$	4,311
Goldman Sachs Group MTN
4.800%, 07/08/2044		1,009		1,249
Guardian Life Insurance Co of America
4.875%, 06/19/2064 (A)		1,210		1,516
Hartford Financial Services Group
6.625%, 03/30/2040		440		600
HSBC Bank USA
7.000%, 01/15/2039		485		712
HSBC Holdings
6.800%, 06/01/2038		1,067		1,476
6.500%, 09/15/2037		2,200		2,966
4.950%, 03/31/2030		230		272
JPMorgan Chase
6.400%, 05/15/2038		696		1,036
5.600%, 07/15/2041		1,296		1,829
4.032%, VAR ICE LIBOR USD 3 Month+1.460%, 07/24/2048		760		893
3.964%, VAR ICE LIBOR USD 3 Month+1.380%, 11/15/2048		1,465		1,715
3.897%, VAR ICE LIBOR USD 3 Month+1.220%, 01/23/2049		1,955		2,253
3.109%, 04/22/2051 (C)		970		979
3.109%, VAR United States Secured Overnight Financing Rate+2.460%, 04/22/2041		715		745
2.956%, VAR United States Secured Overnight Financing Rate+2.515%, 05/13/2031		420		433
2.739%, VAR United States Secured Overnight Financing Rate+1.510%, 10/15/2030		1,505		1,560
KKR Group Finance II LLC
5.500%, 02/01/2043 (A)		1,545		1,816
Liberty Mutual Group
3.951%, 10/15/2050 (A)		2,200		2,248
3.950%, 05/15/2060 (A)		590		597
Lincoln National
4.375%, 06/15/2050		833		900
Lloyds Banking Group
4.344%, 01/09/2048		391		434
3.574%, VAR ICE LIBOR USD 3 Month+1.205%, 11/07/2028		745		792
Markel
4.150%, 09/17/2050		1,635		1,679
Marsh & McLennan
4.750%, 03/15/2039		909		1,143
4.200%, 03/01/2048		720		867
Massachusetts Mutual Life Insurance
3.729%, 10/15/2070 (A)		528		502
3.375%, 04/15/2050 (A)		1,137		1,160

SEI Institutional Investments Trust / Annual Report / May 31, 2020 227

SCHEDULE OF INVESTMENTS

May 31, 2020

Long Duration Fund(Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
MetLife
5.875%, 02/06/2041	$	280	$	390
4.875%, 11/13/2043		795		1,010
4.721%, 12/15/2044		255		316
4.050%, 03/01/2045		1,481		1,697
Mitsubishi UFJ Financial Group
4.153%, 03/07/2039		340		390
Moody’s
4.875%, 12/17/2048		1,055		1,393
Morgan Stanley
4.375%, 01/22/2047		105		131
3.625%, 01/20/2027		370		410
Morgan Stanley MTN
6.375%, 07/24/2042		794		1,193
5.597%, 03/24/2051 (C)		135		194
4.300%, 01/27/2045		1,000		1,215
3.971%, VAR ICE LIBOR USD 3 Month+1.455%, 07/22/2038		545		623
2.699%, VAR United States Secured Overnight Financing Rate+1.143%, 01/22/2031		735		758
Nasdaq
3.250%, 04/28/2050		1,012		1,033
National Rural Utilities Cooperative Finance
4.300%, 03/15/2049		975		1,225
Nationwide Building Society
4.302%, VAR ICE LIBOR USD 3 Month+1.452%, 03/08/2029 (A)		410		456
Nationwide Financial Services
3.900%, 11/30/2049 (A)		495		485
Nationwide Mutual Insurance
4.950%, 04/22/2044 (A)		125		140
4.350%, 04/30/2050 (A)		861		877
New York Life Insurance
6.750%, 11/15/2039 (A)		845		1,267
5.875%, 05/15/2033 (A)		852		1,145
4.450%, 05/15/2069 (A)		950		1,164
3.750%, 05/15/2050 (A)		351		395
Northwestern Mutual Life Insurance
3.625%, 09/30/2059 (A)		1,008		1,094
PNC Bank
4.050%, 07/26/2028		1,540		1,769
PNC Financial Services Group
3.450%, 04/23/2029		650		732
Prudential Financial MTN
5.700%, 12/14/2036		1,357		1,786
Raymond James Financial
4.950%, 07/15/2046		935		1,081
S&P Global
3.250%, 12/01/2049		250		269

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Santander UK Group Holdings
3.823%, VAR ICE LIBOR USD 3 Month+1.400%, 11/03/2028	$	835	$	895
Teachers Insurance & Annuity Association of America
4.900%, 09/15/2044 (A)		510		638
4.270%, 05/15/2047 (A)		900		1,060
3.300%, 05/15/2050 (A)		1,000		1,018
Travelers
4.000%, 05/30/2047		665		814
Truist Bank
2.250%, 03/11/2030		400		394
Wells Fargo
5.850%, 02/01/2037		3,790		5,134
5.606%, 01/15/2044		380		502
3.900%, 05/01/2045		1,100		1,244
Wells Fargo MTN
5.013%, 04/04/2051 (C)		4,268		5,578
4.900%, 11/17/2045		365		442
4.750%, 12/07/2046		45		53
4.650%, 11/04/2044		1,370		1,630
4.400%, 06/14/2046		1,260		1,426
2.879%, VAR ICE LIBOR USD 3 Month+1.170%, 10/30/2030		455		473
Westpac Banking
4.421%, 07/24/2039		215		239
Willis North America
3.875%, 09/15/2049		710		759
XLIT
5.250%, 12/15/2043		587		787
				138,463
Health Care — 8.4%
Abbott Laboratories
4.900%, 11/30/2046		969		1,366
AbbVie
4.875%, 11/14/2048		905		1,127
4.850%, 06/15/2044 (A)		650		771
4.700%, 05/14/2045		1,485		1,775
4.550%, 03/15/2035 (A)		2,030		2,376
4.500%, 05/14/2035		1,795		2,120
4.450%, 05/14/2046		800		926
4.400%, 11/06/2042		1,699		1,957
4.250%, 11/21/2049 (A)		2,174		2,498
4.050%, 11/21/2039 (A)		450		503
Advocate Health & Hospitals
4.272%, 08/15/2048		921		1,138
Aetna
4.125%, 11/15/2042		550		606
3.875%, 08/15/2047		545		599
Alcon Finance
3.800%, 09/23/2049 (A)		750		817

228 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Amgen
4.950%, 10/01/2041	$	825	$	1,072
4.663%, 06/15/2051		1,650		2,150
4.400%, 05/01/2045		3,204		3,996
3.150%, 02/21/2040		886		934
Anthem
4.650%, 01/15/2043		140		173
4.550%, 03/01/2048		480		599
4.375%, 12/01/2047		3,107		3,778
3.700%, 09/15/2049		1,550		1,729
AstraZeneca
6.450%, 09/15/2037		1,721		2,581
BayCare Health System
3.831%, 11/15/2050		365		428
Bayer US Finance II LLC
4.625%, 06/25/2038 (A)		125		148
3.950%, 04/15/2045 (A)		500		548
Baylor Scott & White Holdings
4.185%, 11/15/2045		1,040		1,313
Becton Dickinson
3.794%, 05/20/2050		860		967
Biogen
5.200%, 09/15/2045		90		120
3.150%, 05/01/2050		370		361
Boston Scientific
4.550%, 03/01/2039		560		680
Bristol-Myers Squibb
4.550%, 02/20/2048 (A)		524		701
4.250%, 10/26/2049 (A)		1,490		1,963
Cigna
4.900%, 12/15/2048		100		131
4.800%, 08/15/2038		620		775
4.800%, 07/15/2046 (A)		1,804		2,250
3.875%, 10/15/2047 (A)		950		1,071
3.400%, 03/15/2050		740		796
3.200%, 03/15/2040		215		226
Cleveland Clinic Foundation
4.858%, 01/01/2114		570		812
CommonSpirit Health
4.187%, 10/01/2049		786		775
CVS Health
5.125%, 07/20/2045		1,071		1,359
5.050%, 03/25/2048		5,495		7,048
4.780%, 03/25/2038		2,680		3,272
4.250%, 04/01/2050		283		332
4.125%, 04/01/2040		595		687
Gilead Sciences
4.800%, 04/01/2044		858		1,134
4.750%, 03/01/2046		5		7
4.600%, 09/01/2035		1,080		1,423
4.500%, 02/01/2045		1,570		2,027

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
GlaxoSmithKline Capital
6.375%, 05/15/2038	$	590	$	891
Hartford HealthCare
5.746%, 04/01/2044		1,200		1,468
HCA
5.250%, 06/15/2049		1,890		2,228
Health Care Service, A Mutual Legal Reserve
3.200%, 06/01/2050 (A)		912		925
Humana
4.950%, 10/01/2044		740		957
3.950%, 08/15/2049		950		1,099
Johns Hopkins Health System
3.837%, 05/15/2046		555		656
Johnson & Johnson
3.400%, 01/15/2038		790		922
Kaiser Foundation Hospitals
4.875%, 04/01/2042		185		244
4.150%, 05/01/2047		590		731
3.266%, 11/01/2049		580		629
MedStar Health
3.626%, 08/15/2049		1,780		1,874
Medtronic
4.625%, 03/15/2045		419		564
4.375%, 03/15/2035		886		1,130
Memorial Health Services
3.447%, 11/01/2049		405		400
Memorial Sloan-Kettering Cancer Center
4.125%, 07/01/2052		325		405
Merck
4.150%, 05/18/2043		605		776
Mylan
5.250%, 06/15/2046		315		365
New York and Presbyterian Hospital
4.763%, 08/01/2116		309		360
3.954%, 08/01/2119		395		402
Northwell Healthcare
4.260%, 11/01/2047		390		408
NYU Langone Hospital
4.428%, 07/01/2042		2,030		2,203
3.380%, 07/01/2055		645		604
Partners Healthcare System
3.342%, 07/01/2060		2,125		2,204
3.192%, 07/01/2049		85		87
Pfizer
4.000%, 12/15/2036		1,010		1,212
2.700%, 05/28/2050		310		314
2.550%, 05/28/2040		170		172
Providence St. Joseph Health Obligated Group
3.744%, 10/01/2047		765		873
Stanford Health Care
3.795%, 11/15/2048		731		860

SEI Institutional Investments Trust / Annual Report / May 31, 2020 229

SCHEDULE OF INVESTMENTS

May 31, 2020

Long Duration Fund(Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Stryker
4.100%, 04/01/2043	$	805	$	941
2.900%, 06/15/2050		195		196
Thermo Fisher Scientific
4.100%, 08/15/2047		495		610
UnitedHealth Group
6.875%, 02/15/2038		885		1,397
6.625%, 11/15/2037		555		858
4.625%, 07/15/2035		730		955
4.450%, 12/15/2048		360		473
4.250%, 04/15/2047		1,075		1,349
4.200%, 01/15/2047		925		1,152
3.875%, 08/15/2059		345		416
3.700%, 08/15/2049		656		775
3.125%, 05/15/2060		1,290		1,356
2.900%, 05/15/2050		310		323
2.750%, 05/15/2040		245		255
Wyeth LLC
6.000%, 02/15/2036		1,800		2,561
5.950%, 04/01/2037		536		779
Zimmer Biomet Holdings
3.550%, 03/20/2030		960		1,018
Zoetis
4.450%, 08/20/2048		205		257
3.000%, 05/15/2050		270		280
				108,859
Industrials — 7.6%
3M
3.700%, 04/15/2050		1,087		1,317
3.250%, 08/26/2049		610		676
3.050%, 04/15/2030		135		151
AerCap Ireland Capital DAC
3.875%, 01/23/2028		695		574
Air Lease
3.250%, 10/01/2029		255		214
Air Lease MTN
3.000%, 02/01/2030		180		147
American Airlines, Pass-Through Trust, Ser 2011-1, Cl A
5.250%, 01/31/2021		2		1
BAE Systems Holdings
4.750%, 10/07/2044 (A)		828		967
BAE Systems PLC
5.800%, 10/11/2041 (A)		290		375
Boeing
5.930%, 05/01/2060		510		591
5.805%, 05/01/2050		4,280		4,856
5.705%, 05/01/2040		3,780		4,152
3.750%, 02/01/2050		420		366
Burlington Northern Santa Fe LLC
6.200%, 08/15/2036		1,650		2,298

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
6.150%, 05/01/2037	$	685	$	959
5.750%, 05/01/2040		185		257
5.050%, 03/01/2041		205		267
4.900%, 04/01/2044		130		168
4.400%, 03/15/2042		2,340		2,862
4.125%, 06/15/2047		800		956
3.050%, 02/15/2051		1,520		1,596
Canadian National Railway
6.200%, 06/01/2036		511		742
3.650%, 02/03/2048		575		679
2.450%, 05/01/2050		1,065		1,031
Canadian Pacific Railway
6.125%, 09/15/2115		2,512		3,779
Carrier Global
3.577%, 04/05/2050 (A)		1,080		959
3.377%, 04/05/2040 (A)		275		245
2.722%, 02/15/2030 (A)		70		67
Caterpillar
3.250%, 09/19/2049		355		394
3.250%, 04/09/2050		1,090		1,195
Continental Airlines, Pass-Through Trust, Ser 2007-1, Cl A
5.983%, 04/19/2022		3,588		3,212
Crane
4.200%, 03/15/2048		450		441
CSX
4.750%, 05/30/2042		1,420		1,766
Deere
3.750%, 04/15/2050		706		854
3.100%, 04/15/2030		230		261
Emerson Electric
2.750%, 10/15/2050		595		588
FedEx
5.250%, 05/15/2050		155		180
5.100%, 01/15/2044		275		307
4.950%, 10/17/2048		763		840
4.550%, 04/01/2046		2,273		2,352
4.400%, 01/15/2047		405		414
4.100%, 02/01/2045		275		266
4.050%, 02/15/2048		210		205
3.900%, 02/01/2035		700		747
GE Capital Funding LLC
4.400%, 05/15/2030 (A)		1,760		1,824
GE Capital International Funding Unlimited
4.418%, 11/15/2035		6,151		6,146
General Dynamics
4.250%, 04/01/2040		805		1,001
4.250%, 04/01/2050		265		346
General Electric
4.350%, 05/01/2050		545		532
4.250%, 05/01/2040		560		545

230 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
General Electric MTN
5.875%, 01/14/2038	$	4,135	$	4,615
0.872%, VAR ICE LIBOR USD 3 Month+0.480%, 08/15/2036		1,250		750
Ingersoll-Rand Global Holding
4.300%, 02/21/2048		380		420
Johnson Controls International
4.950%, 07/02/2064		225		268
Kansas City Southern
4.200%, 11/15/2069		453		473
Lockheed Martin
4.700%, 05/15/2046		2,114		2,881
4.070%, 12/15/2042		600		751
3.600%, 03/01/2035		1,085		1,307
Norfolk Southern
5.100%, 08/01/2118		910		1,171
4.800%, 08/15/2043		528		644
4.450%, 06/15/2045		632		775
4.050%, 08/15/2052		664		770
3.942%, 11/01/2047		646		755
3.155%, 05/15/2055 (A)		1,294		1,297
Northrop Grumman
5.250%, 05/01/2050		95		137
4.750%, 06/01/2043		1,275		1,642
4.030%, 10/15/2047		495		601
3.850%, 04/15/2045		1,100		1,262
Northwest Airlines, Pass-Through Trust, Ser 2001-1, Cl A1
7.041%, 04/01/2022		170		152
Otis Worldwide
3.362%, 02/15/2050 (A)		100		101
Parker-Hannifin
4.000%, 06/14/2049		450		508
Parker-Hannifin MTN
4.450%, 11/21/2044		405		468
Raytheon Technologies
4.625%, 11/16/2048		105		136
4.500%, 06/01/2042		2,200		2,698
3.750%, 11/01/2046		49		56
Rockwell Collins
4.350%, 04/15/2047		900		1,031
Snap-on
3.100%, 05/01/2050		816		814
TTX
4.600%, 02/01/2049 (A)		844		1,050
Union Pacific
4.500%, 09/10/2048		483		589
4.375%, 09/10/2038		485		581
3.839%, 03/20/2060 (A)		2,410		2,769
3.799%, 10/01/2051		555		647
3.750%, 02/05/2070		110		121
3.250%, 02/05/2050		2,356		2,504

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Union Pacific MTN
3.550%, 08/15/2039	$	620	$	683
United Airlines Pass-Through Trust, Ser 2019- 1, Cl AA
4.150%, 08/25/2031		409		382
United Parcel Service
3.750%, 11/15/2047		595		680
3.400%, 09/01/2049		385		420
United Technologies
5.700%, 04/15/2040		1,635		2,242
US Airways, Pass-Through Trust, Ser 2010-1, Cl A
6.250%, 04/22/2023		838		704
Waste Connections
3.050%, 04/01/2050		450		439
Waste Management
4.150%, 07/15/2049		615		755
3.900%, 03/01/2035		360		431
WW Grainger
4.600%, 06/15/2045		340		419
4.200%, 05/15/2047		797		904
				98,471
Information Technology — 5.2%
Activision Blizzard
4.500%, 06/15/2047		395		498
Apple
4.650%, 02/23/2046		1,489		2,050
4.500%, 02/23/2036		660		861
4.450%, 05/06/2044		765		1,006
4.375%, 05/13/2045 (E)		2,375		3,103
3.850%, 05/04/2043		145		178
3.850%, 08/04/2046		350		432
3.750%, 09/12/2047		400		487
3.450%, 02/09/2045		2,455		2,833
2.950%, 09/11/2049		350		381
Applied Materials
4.350%, 04/01/2047		598		776
Broadcom
4.300%, 11/15/2032 (A)		230		243
4.150%, 11/15/2030 (A)		105		110
Cisco Systems
5.900%, 02/15/2039		965		1,415
Corning
5.850%, 11/15/2068		1,753		2,151
5.450%, 11/15/2079		1,160		1,326
Deutsche Telekom
3.625%, 01/21/2050 (A)		690		747
Fiserv
4.400%, 07/01/2049		1,140		1,385
Intel
4.950%, 03/25/2060		500		722

SEI Institutional Investments Trust / Annual Report / May 31, 2020 231

SCHEDULE OF INVESTMENTS

May 31, 2020

Long Duration Fund(Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
4.750%, 03/25/2050	$	625	$	850
3.734%, 12/08/2047		1,615		1,899
3.250%, 11/15/2049		1,090		1,207
International Business Machines
2.950%, 05/15/2050		520		526
Juniper Networks
5.950%, 03/15/2041		1,526		1,821
KLA
5.000%, 03/15/2049		527		678
3.300%, 03/01/2050		347		349
Lam Research
2.875%, 06/15/2050		1,020		1,037
Mastercard
3.850%, 03/26/2050		2,268		2,899
3.650%, 06/01/2049		415		499
Microsoft
4.875%, 12/15/2043		2,422		3,490
4.500%, 10/01/2040		1,200		1,626
4.250%, 02/06/2047		1,654		2,244
4.100%, 02/06/2037		1,980		2,516
4.000%, 02/12/2055		1,809		2,370
3.950%, 08/08/2056		870		1,139
3.700%, 08/08/2046		1,805		2,249
3.450%, 08/08/2036		525		620
NVIDIA
3.700%, 04/01/2060		90		106
3.500%, 04/01/2040		670		762
3.500%, 04/01/2050		2,774		3,161
NXP BV
5.550%, 12/01/2028 (A)		355		421
Oracle
4.375%, 05/15/2055		1,260		1,596
4.300%, 07/08/2034		225		276
4.125%, 05/15/2045		1,430		1,694
4.000%, 07/15/2046		1,490		1,728
4.000%, 11/15/2047		590		693
3.900%, 05/15/2035		40		47
3.850%, 04/01/2060		90		103
3.800%, 11/15/2037		2,170		2,472
3.600%, 04/01/2040		960		1,063
3.600%, 04/01/2050		930		1,037
PayPal Holdings
3.250%, 06/01/2050		495		530
Texas Instruments
4.150%, 05/15/2048		704		926
Visa
4.300%, 12/14/2045		955		1,262
4.150%, 12/14/2035		505		652
2.700%, 04/15/2040		525		557
				67,809

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Materials — 1.0%
Air Products and Chemicals
2.700%, 05/15/2040	$	220	$	228
Amcor Finance USA
4.500%, 05/15/2028		490		527
Barrick Gold
5.250%, 04/01/2042		120		157
BHP Billiton Finance USA
5.000%, 09/30/2043		655		910
DowDuPont
5.419%, 11/15/2048		725		959
DuPont de Nemours
5.319%, 11/15/2038		985		1,251
FMC
4.500%, 10/01/2049		605		685
Glencore Finance Canada
6.000%, 11/15/2041 (A)		1,026		1,128
International Flavors & Fragrances
5.000%, 09/26/2048		1,175		1,322
International Paper
5.150%, 05/15/2046		695		826
LYB International Finance III LLC
4.200%, 10/15/2049		870		925
4.200%, 05/01/2050		1,446		1,527
Nacional del Cobre de Chile
3.700%, 01/30/2050 (A)		310		308
Newmont Goldcorp
6.250%, 10/01/2039		920		1,281
5.875%, 04/01/2035		185		248
Sherwin-Williams
3.300%, 05/15/2050		340		340
Southern Copper
5.875%, 04/23/2045		30		36
Vulcan Materials
4.500%, 06/15/2047		160		170
WRKCo
4.900%, 03/15/2029		170		196
4.200%, 06/01/2032		470		530
				13,554
Real Estate — 1.1%
AvalonBay Communities MTN
4.350%, 04/15/2048		80		98
Boston Properties
2.900%, 03/15/2030		325		330
CubeSmart
3.000%, 02/15/2030		425		419
CyrusOne
3.450%, 11/15/2029		1,920		1,897
GLP Capital
5.300%, 01/15/2029		965		927

232 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
HCP
6.750%, 02/01/2041	$	180	$	235
Healthcare Realty Trust
3.625%, 01/15/2028		700		701
Hospitality Properties Trust
4.375%, 02/15/2030		723		550
Hudson Pacific Properties
4.650%, 04/01/2029		390		400
3.250%, 01/15/2030		355		321
National Retail Properties
4.800%, 10/15/2048		335		329
3.100%, 04/15/2050		470		351
Regency Centers
4.650%, 03/15/2049		680		714
4.400%, 02/01/2047		385		388
Simon Property Group
6.750%, 02/01/2040		634		808
3.250%, 09/13/2049		475		385
Ventas Realty
5.700%, 09/30/2043		2,537		2,683
Welltower
5.125%, 03/15/2043		2,499		2,497
4.950%, 09/01/2048		722		739
				14,772
Utilities — 9.6%
AEP Transmission LLC
3.800%, 06/15/2049		405		475
Alabama Power
4.300%, 07/15/2048		745		912
4.150%, 08/15/2044		1,045		1,234
3.700%, 12/01/2047		1,546		1,745
American Water Capital
4.150%, 06/01/2049		485		590
3.750%, 09/01/2047		180		204
3.450%, 05/01/2050		1,450		1,593
Appalachian Power
4.500%, 03/01/2049		500		597
4.450%, 06/01/2045		650		765
3.700%, 05/01/2050		601		653
Baltimore Gas & Electric
5.200%, 06/15/2033		1,238		1,601
Berkshire Hathaway Energy
6.125%, 04/01/2036		4,966		7,183
Black Hills
4.350%, 05/01/2033		495		552
4.200%, 09/15/2046		500		513
Brooklyn Union Gas
4.273%, 03/15/2048 (A)		710		840
CenterPoint Energy Resources
6.250%, 02/01/2037		791		1,002

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Cleco Power
6.000%, 12/01/2040	$	750	$	948
Commonwealth Edison
4.350%, 11/15/2045		1,530		1,914
4.000%, 03/01/2048		690		827
3.700%, 03/01/2045		600		678
3.200%, 11/15/2049		445		476
3.000%, 03/01/2050		845		885
Connecticut Light & Power
4.000%, 04/01/2048		500		609
Consolidated Edison of New York
6.750%, 04/01/2038		525		775
6.300%, 08/15/2037		865		1,227
4.500%, 05/15/2058		750		932
4.450%, 03/15/2044		245		297
3.950%, 04/01/2050		1,571		1,843
3.850%, 06/15/2046		500		564
3.700%, 11/15/2059		600		659
Consumers Energy
3.100%, 08/15/2050		460		498
2.500%, 05/01/2060		300		282
Dominion Energy
5.250%, 08/01/2033		2,830		3,319
4.900%, 08/01/2041		1,785		2,114
DTE Electric
4.050%, 05/15/2048		480		592
Duke Energy Carolinas LLC
6.100%, 06/01/2037		1,690		2,376
6.000%, 01/15/2038		614		880
5.300%, 02/15/2040		1,880		2,558
4.250%, 12/15/2041		1,250		1,522
3.200%, 08/15/2049		20		22
Duke Energy Florida LLC
6.350%, 09/15/2037		450		650
Duke Energy Indiana LLC
6.350%, 08/15/2038		445		663
4.900%, 07/15/2043		750		993
3.750%, 05/15/2046		845		970
2.750%, 04/01/2050		422		421
Duke Energy Ohio
2.125%, 06/01/2030		315		323
Duke Energy Progress LLC
4.375%, 03/30/2044		2,345		2,917
Duquesne Light Holdings
5.900%, 12/01/2021 (A)		750		787
Electricite de France
6.000%, 01/22/2114 (A)		931		1,199
5.000%, 09/21/2048 (A)		730		911
4.950%, 10/13/2045 (A)		640		780
4.750%, 10/13/2035 (A)		245		309
Elm Road Generating Station Supercritical
5.848%, 01/19/2041 (A)		2,007		2,374

SEI Institutional Investments Trust / Annual Report / May 31, 2020 233

SCHEDULE OF INVESTMENTS

May 31, 2020

Long Duration Fund(Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Entergy
3.750%, 06/15/2050	$	504	$	549
Entergy Louisiana LLC
4.200%, 04/01/2050		795		1,003
Entergy Texas
3.550%, 09/30/2049		475		507
Exelon
4.950%, 06/15/2035		1,260		1,545
Exelon Generation LLC
5.600%, 06/15/2042		1,140		1,295
FirstEnergy
4.850%, 07/15/2047		360		454
FirstEnergy Transmission LLC
5.450%, 07/15/2044 (A)		1,200		1,524
Florida Power & Light
5.960%, 04/01/2039		980		1,465
5.690%, 03/01/2040		1,201		1,766
5.400%, 09/01/2035		2,315		3,278
3.990%, 03/01/2049		360		458
Georgia Power
4.300%, 03/15/2042		630		729
3.700%, 01/30/2050		1,595		1,763
Indianapolis Power & Light
6.050%, 10/01/2036 (A)		1,131		1,550
4.700%, 09/01/2045 (A)		425		520
Jersey Central Power & Light
6.400%, 05/15/2036		1,425		1,872
KCP&L Greater Missouri Operations
8.270%, 11/15/2021		2,600		2,819
KeySpan Gas East
5.819%, 04/01/2041 (A)		1,185		1,563
Massachusetts Electric
5.900%, 11/15/2039 (A)		476		645
MidAmerican Energy
4.800%, 09/15/2043		725		944
4.400%, 10/15/2044		950		1,191
4.250%, 05/01/2046		565		709
3.150%, 04/15/2050		1,180		1,267
MidAmerican Energy MTN
5.800%, 10/15/2036		425		582
Narragansett Electric
4.170%, 12/10/2042 (A)		1,320		1,469
NiSource
5.950%, 06/15/2041		545		723
Northern States Power
5.350%, 11/01/2039		2,095		2,862
3.400%, 08/15/2042		490		558
NSTAR Electric
4.400%, 03/01/2044		755		924
Oglethorpe Power
5.250%, 09/01/2050		1,051		1,206
5.050%, 10/01/2048		970		1,095

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Oncor Electric Delivery LLC
5.300%, 06/01/2042	$	1,880	$	2,613
5.250%, 09/30/2040		1,200		1,621
PacifiCorp
6.000%, 01/15/2039		555		782
PECO Energy
3.900%, 03/01/2048		520		629
Piedmont Natural Gas
4.650%, 08/01/2043		330		395
PPL Electric Utilities
4.150%, 06/15/2048		530		657
4.125%, 06/15/2044		1,012		1,221
Public Service Electric & Gas MTN
4.050%, 05/01/2048		480		596
Public Service of Colorado
6.500%, 08/01/2038		725		1,089
6.250%, 09/01/2037		750		1,114
4.050%, 09/15/2049		138		171
Puget Sound Energy
4.223%, 06/15/2048		880		1,081
San Diego Gas & Electric
3.320%, 04/15/2050		587		626
Sempra Energy
6.000%, 10/15/2039		865		1,146
3.800%, 02/01/2038		785		836
Southern California Edison
6.050%, 03/15/2039		665		867
3.900%, 03/15/2043		245		263
3.650%, 02/01/2050		120		126
Southern California Gas
3.750%, 09/15/2042		660		740
Southern Gas Capital
5.875%, 03/15/2041		1,568		2,037
4.400%, 06/01/2043		395		446
Southwestern Electric Power
6.200%, 03/15/2040		1,610		2,175
Southwestern Public Service
4.400%, 11/15/2048		550		678
Tampa Electric
4.300%, 06/15/2048		1,070		1,300
Virginia Electric & Power
4.450%, 02/15/2044		750		942
4.000%, 01/15/2043		450		537
Wisconsin Public Service
3.300%, 09/01/2049		175		187
				124,263
Total Corporate Obligations (Cost $795,390) ($ Thousands)				920,378

234 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
U.S. TREASURY OBLIGATIONS — 18.6%
U.S. Treasury Bills
0.232%, 09/10/2020 (B)(E)	$	2,477	$	2,476
0.151%, 11/12/2020 (B)		5,445		5,441
0.141%, 10/27/2020 (B)		2,405		2,403
0.140%, 10/20/2020 (B)		1,555		1,554
U.S. Treasury Bonds
4.500%, 05/15/2038		1,797		2,837
4.250%, 05/15/2039		405		627
3.750%, 08/15/2041		1,865		2,743
3.750%, 11/15/2043		2,840		4,227
3.625%, 08/15/2043		2,067		3,017
3.625%, 02/15/2044		7,656		11,210
3.500%, 02/15/2039		10,928		15,489
3.125%, 11/15/2041		2,455		3,319
3.125%, 02/15/2043		2,960		4,011
3.125%, 08/15/2044		4,405		6,009
3.000%, 11/15/2044		7,570		10,138
3.000%, 05/15/2045		7,660		10,285
3.000%, 05/15/2047		3,420		4,662
3.000%, 02/15/2048		6,936		9,498
2.875%, 05/15/2043		3,375		4,406
2.875%, 11/15/2046		4,080		5,428
2.750%, 08/15/2042		6,545		8,367
2.750%, 11/15/2042		7,740		9,894
2.750%, 11/15/2047		5,300		6,935
2.500%, 02/15/2045		1,285		1,585
2.500%, 05/15/2046		6,740		8,358
2.375%, 11/15/2049		3,540		4,375
2.250%, 08/15/2049		5,523		6,642
2.000%, 02/15/2050		52,320		59,964
1.250%, 05/15/2050		6,270		6,033
U.S. Treasury Inflation-Protected Securities
1.000%, 02/15/2049		3,777		4,820
U.S. Treasury Notes
0.625%, 05/15/2030		7,170		7,154
0.500%, 03/31/2025		80		81
U.S. Treasury STRIPS
3.127%, 08/15/2043 (B)		9,912		7,093
Total U.S. Treasury Obligations (Cost $210,564) ($ Thousands)				241,081
MUNICIPAL BONDS — 5.1%
California — 2.3%
Bay Area, Toll Authority, Build America Project, RB
6.263%, 04/01/2049		600		1,045
California State, Build America Project, GO
7.500%, 04/01/2034		3,425		5,506
Los Angeles, Community College District, Build America Project, GO
6.750%, 08/01/2049		590		1,002

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MUNICIPAL BONDS (continued)
Los Angeles, Department of Water & Power, Build America Project, RB
6.008%, 07/01/2039	$	3,000	$	4,044
Los Angeles, Unified School District, Build America Project, GO
5.750%, 07/01/2034		2,235		2,970
Los Angeles, Unified School District, Build America Project, Ser RY, GO
6.758%, 07/01/2034		1,360		1,934
Regents of the University of California, Ser H, RB
6.548%, 05/15/2048		1,430		2,187
Regents of the University of California, Ser N, RB
3.256%, 05/15/2060		1,710		1,701
Riverside County, Pension Obligation, RB
3.818%, 02/15/2038		345		371
San Francisco City & County Airport, Build America Project, Ser A, AMT, RB Callable 05/01/2029 @ 100
5.000%, 05/01/2049		710		823
San Francisco, Public Utilities Commission Water Revenue, Build America Project, Ser DE, RB
6.000%, 11/01/2040		3,805		5,295
State of California, Build America Project, GO
7.350%, 11/01/2039		1,645		2,693
University of California, Ser AD, RB
4.858%, 05/15/2112		825		1,114
University of California, Ser AP, RB
3.931%, 05/15/2045		475		554
				31,239
District of Columbia — 0.2%
District of Columbia, Water & Sewer Authority, RB
4.814%, 10/01/2114		1,505		2,046
Florida — 0.1%
City of Gainesville, Build America Project, RB
6.024%, 10/01/2040		650		910
Georgia — 0.1%
Georgia State, Municipal Electric Authority, Build America Project, RB
6.637%, 04/01/2057		619		845
Illinois — 0.3%
Greater Chicago, Metropolitan Water Reclamation District, GO
5.720%, 12/01/2038		1,480		2,089

SEI Institutional Investments Trust / Annual Report / May 31, 2020 235

SCHEDULE OF INVESTMENTS

May 31, 2020

Long Duration Fund(Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MUNICIPAL BONDS (continued)
Illinois State, Finance Authority, RB
Callable 06/01/2022 @ 100
4.000%, 06/01/2047	$	445	$	458
Illinois State, GO
5.100%, 06/01/2033		780		752
				3,299
Massachusetts — 0.0%
Commonwealth of Massachusetts, Ser C, GO
Callable 03/01/2030 @ 100
3.000%, 03/01/2048		415		443
Michigan — 0.2%
Michigan State University, Build America Project, RB
Callable 02/15/2030 @ 100
6.173%, 02/15/2050		2,000		2,479
Missouri — 0.1%
Missouri State, Health and Education Facilities, RB
Callable 02/15/2049 @ 100
3.652%, 08/15/2057		330		387
Missouri State, Joint Municipal Electric Utility Commission, Build America Project, Ser A, RB
6.890%, 01/01/2042		600		826
				1,213
New Jersey — 0.1%
New Jersey State, Turnpike Authority, Build America Project, RB
7.414%, 01/01/2040		60		98
New Jersey State, Turnpike Authority, Ser F, RB
3.729%, 01/01/2036		1,085		1,188
				1,286
New York — 1.0%
Metropolitan Transportation Authority, Build America Project, RB
6.548%, 11/15/2031		500		611
New York & New Jersey, Port Authority, RB
4.458%, 10/01/2062		950		1,199
New York City, Municipal Water Finance Authority, Build America Project, RB
5.440%, 06/15/2043		910		1,372
New York City, Transitional Finance Authority, Build America Project, RB
5.572%, 11/01/2038		885		1,200

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MUNICIPAL BONDS (continued)
New York City, Transitional Finance Authority, Future Tax Secured Revenue, Build America Project, RB
5.508%, 08/01/2037	$	1,000	$	1,372
New York City, Water & Sewer System, RB
Pre-Refunded @ 100
5.375%, 12/15/2020 (D)		395		406
New York City, Water & Sewer System, RB
Callable 12/15/2020 @ 100
5.375%, 06/15/2043		205		210
New York State, Dormitory Authority, Build America Project, RB
5.289%, 03/15/2033		1,550		1,849
New York State, Dormitory Authority, Build America Project, Ser D, RB
5.500%, 03/15/2030		2,645		3,219
New York State, Dormitory Authority, Ser F, RB
3.110%, 02/15/2039		1,215		1,284
New York State, Urban Development, RB
5.770%, 03/15/2039		1,470		1,812
				14,534
Ohio — 0.1%
JobsOhio Beverage System, Ser A, RB
2.833%, 01/01/2038		325		337
Ohio State University, Build America Project, GO
4.910%, 06/01/2040		535		733
Ohio State University, Build America Project, Ser A, RB
4.800%, 06/01/2111		115		165
Ohio State, Hospital Facilities Revenue Authority, Cleveland Clinic, RB
2.885%, 01/01/2032		950		988
				2,223
Texas — 0.6%
Grand Parkway, Transportation Corp, RB
5.184%, 10/01/2042		930		1,185
North Texas, Tollway Authority, Build America Project, RB
6.718%, 01/01/2049		490		817
Permanent University Fund - University of Texas, Ser A, RB
3.500%, 08/15/2050		1,090		1,342
Permanent University Fund - University of Texas, Ser S, RB
Callable 01/01/2047 @ 100
3.376%, 07/01/2047		560		672
Texas State, Private Activity Bond Surface Transportation, RB
3.922%, 12/31/2049		355		354

236 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MUNICIPAL BONDS (continued)
Texas State, Transportation Commission State Highway Fund, Ser B, RB
5.178%, 04/01/2030	$	815	$	1,038
University of Texas, RB
5.262%, 07/01/2039		575		815
				6,223
Total Municipal Bonds (Cost $56,108) ($ Thousands)				66,740
U.S. GOVERNMENT AGENCY OBLIGATIONS — 2.3%
FNMA, PO
0.000%, 05/15/2030 (B)		8,380		7,274
Residual Funding Corp
4.042%, 04/15/2030 (B)		18,175		15,925
Resolution Funding Principal STRIP
1.313%, 01/15/2030 (B)		550		484
Tennessee Valley Authority
5.250%, 09/15/2039		2,290		3,381
Tennessee Valley Authority, PO
0.000%, 01/15/2038 (B)		3,700		2,517
Total U.S. Government Agency Obligations (Cost $23,084) ($ Thousands)				29,581
MORTGAGE-BACKED SECURITIES — 1.1%
Agency Mortgage-Backed Obligations — 1.1%
FHLMC CMO, Ser 2004-2733, Cl ME
5.000%, 01/15/2034		93		107
FHLMC CMO, Ser 2004-2748, Cl ZT
5.500%, 02/15/2024		455		476
FHLMC CMO, Ser 2010-3756, Cl PZ
4.000%, 11/15/2040		7,307		8,201
FNMA CMO, Ser 2004-12, Cl ZX
6.000%, 03/25/2034		1,269		1,511
FNMA CMO, Ser 2004-80, Cl XZ
5.000%, 11/25/2034		673		802
FNMA CMO, Ser 2007-68, Cl SC, IO
6.532%, VAR LIBOR USD 1 Month+6.700%, 07/25/2037		20		5
GNMA ARM
3.875%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+1.500%, 06/20/2032		36		37
GNMA CMO, Ser 2009-8, Cl PS, IO
6.118%, VAR ICE LIBOR USD 1 Month+6.300%, 08/16/2038		50		5

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
GNMA CMO, Ser 2010-4, Cl NS, IO
6.208%, VAR LIBOR USD 1 Month+6.390%, 01/16/2040	$	76	$	16
GNMA CMO, Ser 2011-70, Cl BO, PO
0.000%, 05/20/2041 (B)		3,388		3,068
				14,228
Non-Agency Mortgage-Backed Obligations — 0.0%
DSLA Mortgage Loan Trust, Ser 2005-AR2, Cl 2A1A
0.382%, VAR ICE LIBOR USD 1 Month+0.210%, 03/19/2045		54		50
Harborview Mortgage Loan Trust, Ser 2004- 8, Cl 2A4A
0.972%, VAR ICE LIBOR USD 1 Month+0.800%, 11/19/2034		97		88
Indymac Index Mortgage Loan Trust, Ser 2004-AR12, Cl A1
0.948%, VAR ICE LIBOR USD 1 Month+0.780%, 12/25/2034		71		56
Indymac Index Mortgage Loan Trust, Ser 2004-AR5, Cl 2A1B
0.968%, VAR ICE LIBOR USD 1 Month+0.800%, 08/25/2034		32		27
Indymac Index Mortgage Loan Trust, Ser 2004-AR7, Cl A2
1.028%, VAR ICE LIBOR USD 1 Month+0.860%, 09/25/2034		14		12
RAMP Trust, Ser 2004-SL1, Cl A7
7.000%, 11/25/2031		12		13
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1
3.898%, 12/25/2034 (C)		20		19
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR2, Cl 2A21
0.498%, VAR ICE LIBOR USD 1 Month+0.330%, 01/25/2045		62		58
				323
Total Mortgage-Backed Securities (Cost $9,842) ($ Thousands)				14,551
SOVEREIGN DEBT — 1.0%
Chile Government International Bond
3.500%, 01/25/2050		2,075		2,220
Colombia Government International Bond
5.625%, 02/26/2044		595		719
3.000%, 01/30/2030		415		415
Israel Government AID Bond
5.500%, 09/18/2033		1,400		2,070

SEI Institutional Investments Trust / Annual Report / May 31, 2020 237

SCHEDULE OF INVESTMENTS

May 31, 2020

Long Duration Fund(Concluded)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
SOVEREIGN DEBT (continued)
Israel Government International Bond
3.875%, 07/03/2050	$	385	$	440
Mexico Government International Bond
5.750%, 10/12/2110		334		361
5.000%, 04/27/2051		1,690		1,815
4.750%, 04/27/2032		345		373
4.500%, 01/31/2050		1,620		1,669
3.250%, 04/16/2030		415		409
Minera Mexico
4.500%, 01/26/2050 (A)		315		302
Nacional del Cobre de Chile
4.375%, 02/05/2049 (A)		190		212
Panama Government International Bond
3.870%, 07/23/2060		335		366
Philippine Government International Bond
2.950%, 05/05/2045		400		415
Uruguay Government International Bond
5.100%, 06/18/2050		370		453
Total Sovereign Debt (Cost $10,296) ($ Thousands)				12,239

Description	Face Amount (Thousands)		Market Value ($ Thousands)
ASSET-BACKED SECURITY — 0.0%
Other Asset-Backed Securities — 0.0%
Citicorp Residential Mortgage Trust, Ser 2007-1, Cl A5
5.253%, 03/25/2037	$	180	$	183
Total Asset-Backed Security (Cost $141) ($ Thousands)				183
	Shares
CASH EQUIVALENT — 0.7%
SEI Daily Income Trust, Government Fund, Cl F
0.090%**†		9,302,602		9,303
Total Cash Equivalent (Cost $9,303) ($ Thousands)				9,303
Total Investments in Securities — 99.7% (Cost $1,115,476) ($ Thousands)			$	1,294,056

A list of the open futures contracts held by the Fund at May 31, 2020, is as follows:

Type of Contract	Number of Contracts Long/(Short)			Expiration Date		Notional Amount (Thousands)		Value (Thousands)		Unrealized Appreciation (Depreciation) (Thousands)
U.S. 10-Year Treasury Note		259			Sep-2020	$	35,973	$	36,017	$	44
U.S. Long Treasury Bond		(169	)		Sep-2020		(30,045)		(30,145)		(100	)
U.S. Ultra Long Treasury Bond		345			Sep-2020		75,312		75,221		(91	)
Ultra 10-Year U.S. Treasury Note		(272	)		Sep-2020		(42,634)		(42,793)		(159	)
						$	38,606	$	38,300	$	(306	)

Percentages are based on Net Assets of $1,297,733 ($ Thousands).

^**  The rate reported is the 7-day effective yield as of May 31, 2020.

^†  Investment in Affiliated Security (see Note 6).

(A) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On May 31, 2020, the value of these securities amounted to $95,534 ($ Thousands), representing 7.4% of the Net Assets of the Fund.

(B) Zero coupon security. The rate shown on the Schedule of Investments is the security’s effective yield at the time of purchase.

(C) Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets.

(D) Pre-Refunded Securities — The maturity date shown is the pre-refunded date.

(E) Security, or portion thereof, has been pledged as collateral on open futures contracts.

AID — Agency for International Development

ARM — Adjustable Rate Mortgage

Cl — Class CMO — Collateralized Mortgage Obligation

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GNMA — Government National Mortgage Association

GO — General Obligation

ICE— Intercontinental Exchange

IO — Interest

Only — face amount represents notional amount.

LIBOR— London Interbank Offered Rate

LLC — Limited Liability Company

Ltd. — Limited

MTN — Medium Term Note

PLC — Public Limited Company

PO — Principal Only

RB — Revenue Bond

Ser — Series

STRIPS — Separately Traded Registered Interest and Principal Securities

USD — United States Dollar

VAR — Variable Rate

238 SEI Institutional Investments Trust / Annual Report / May 31, 2020

The following is a list of the level of inputs used as of May 31, 2020, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Corporate Obligations		–		920,378		–		920,378
U.S. Treasury Obligations		–		241,081		–		241,081
Municipal Bonds		–		66,740		–		66,740
U.S. Government Agency Obligations		–		29,581		–		29,581
Mortgage-Backed Securities		–		14,551		–		14,551
Sovereign Debt		–		12,239		–		12,240
Asset-Backed Security		–		183		–		183
Cash Equivalent		9,303		–		–		9,303
Total Investments in Securities		9,303		1,284,753		–		1,294,056
Other Financial Instruments	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Futures Contracts*
Unrealized Appreciation		44		–		–		44
Unrealized Depreciation		(350)		–		–		(350)
Total Other Financial Instruments		(306)		–		–		(306)

*Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument.

For the year ended May 31, 2020, there were no transfers in or out of Level 3.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

The following is a summary of the Fund’s transactions with affiliates for the year ended May 31, 2020 ($ Thousands):

Security Description	Value at 5/31/2019	Purchases at Cost	Proceeds from Sales	Realized Gain/ (Loss)	Change in Unrealized Appreciation/ (Depreciation)	Value 5/31/2020	Shares	Income	Capital Gains
SEI Daily Income Trust, Government Fund, Cl F	$ 16,326	$ 607,664	$ (614,687)	$ –	$ –	$ 9,303	9,302,602	$ 258	$ –

The accompanying notes are an integral part of the financial statements.

Amounts designated as “—” are $0 or have been rounded to $0.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 239

SCHEDULE OF INVESTMENTS

May 31, 2020

Long Duration Credit Fund

 Sector Weightings (Unaudited)^†:

^†Percentages based on total investments.

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS — 90.2%
Communication Services — 6.8%
America Movil
6.125%, 03/30/2040	$	4,820	$	6,632
4.375%, 04/22/2049		4,735		5,597
AT&T
6.350%, 03/15/2040		3,070		4,086
4.650%, 06/01/2044		1,100		1,223
4.350%, 06/15/2045		2,919		3,252
4.300%, 12/15/2042		500		553
3.650%, 06/01/2051		1,675		1,698
3.500%, 06/01/2041		1,260		1,271
Charter Communications Operating LLC
6.834%, 10/23/2055		580		787
6.484%, 10/23/2045		535		703
4.800%, 03/01/2050		670		746
Comcast
6.950%, 08/15/2037		1,430		2,167
6.550%, 07/01/2039		295		445
6.500%, 11/15/2035		2,096		3,114
6.400%, 05/15/2038		2,237		3,273
6.400%, 03/01/2040		735		1,081
5.650%, 06/15/2035		4,445		6,277
4.950%, 10/15/2058		21,732		30,446
4.700%, 10/15/2048		9,145		11,919
4.650%, 07/15/2042		4,277		5,427
4.600%, 10/15/2038		5,065		6,299
4.600%, 08/15/2045		6,340		8,033
4.500%, 01/15/2043		6,015		7,449
4.250%, 01/15/2033		4,940		5,966
4.200%, 08/15/2034		18,230		22,144
4.049%, 11/01/2052		15,985		19,133
4.000%, 03/01/2048		1,180		1,406
3.999%, 11/01/2049		1,109		1,312
3.969%, 11/01/2047		5,555		6,565

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
3.900%, 03/01/2038	$	3,845	$	4,488
3.400%, 04/01/2030		940		1,065
3.400%, 07/15/2046		9,314		10,198
3.250%, 11/01/2039		350		384
Cox Communications
4.800%, 02/01/2035 (A)		1,400		1,696
4.700%, 12/15/2042 (A)		880		996
Discovery Communications LLC
6.350%, 06/01/2040		2		2
Level 3 Financing
3.875%, 11/15/2029 (A)		535		548
NBCUniversal Media LLC
6.400%, 04/30/2040		1,785		2,618
5.950%, 04/01/2041		3,575		5,164
4.450%, 01/15/2043		3,105		3,830
SES GLOBAL Americas Holdings GP
5.300%, 03/25/2044 (A)		1,550		1,476
Tencent Holdings MTN
3.925%, 01/19/2038 (A)		1,325		1,503
3.595%, 01/19/2028 (A)		1,455		1,575
3.240%, 06/03/2050 (A)		1,180		1,170
T-Mobile USA
4.500%, 04/15/2050 (A)		2,635		2,976
TWDC Enterprises 18
4.125%, 12/01/2041		1,945		2,245
TWDC Enterprises 18 MTN
4.125%, 06/01/2044		2,104		2,553
Verizon Communications
6.550%, 09/15/2043		1,505		2,293
5.250%, 03/16/2037		2,350		3,155
5.012%, 04/15/2049		780		1,083
4.862%, 08/21/2046		1,130		1,516
4.522%, 09/15/2048		3,080		4,020
3.850%, 11/01/2042		515		605
ViacomCBS
5.900%, 10/15/2040		40		44
4.950%, 05/19/2050		650		669
4.850%, 12/15/2034		300		314
Vodafone Group
4.875%, 06/19/2049		1,960		2,436
Walt Disney
6.650%, 11/15/2037		990		1,461
6.400%, 12/15/2035		4,053		5,971
4.750%, 09/15/2044		175		220
4.700%, 03/23/2050		1,123		1,453
4.625%, 03/23/2040		295		368
3.800%, 05/13/2060		485		553
3.600%, 01/13/2051		5,024		5,571
3.500%, 05/13/2040		1,745		1,919
2.750%, 09/01/2049		30,729		29,835
				276,977

240 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Consumer Discretionary — 3.1%
Alibaba Group Holding
4.400%, 12/06/2057	$	1,750	$	2,205
4.000%, 12/06/2037		1,583		1,822
Alibaba Group Holding Ltd
4.200%, 12/06/2047		4,017		4,820
Alimentation Couche-Tard
4.500%, 07/26/2047 (A)		900		909
3.800%, 01/25/2050 (A)		2,105		1,996
Amazon.com
4.250%, 08/22/2057		1,240		1,723
4.050%, 08/22/2047		8,774		11,563
3.875%, 08/22/2037		5,682		6,960
BMW US Capital LLC
4.150%, 04/09/2030 (A)		1,300		1,455
Grupo Televisa
6.625%, 01/15/2040		20		25
Home Depot
5.950%, 04/01/2041		1,980		2,933
4.500%, 12/06/2048		7,095		9,394
4.400%, 03/15/2045		5,825		7,482
4.250%, 04/01/2046		10,612		13,378
4.200%, 04/01/2043		3,495		4,349
3.900%, 06/15/2047		14,598		17,644
3.350%, 04/15/2050		2,635		2,985
3.300%, 04/15/2040		2,315		2,581
Kohl’s
5.550%, 07/17/2045		1,309		1,026
Lowe’s
4.050%, 05/03/2047		1,065		1,223
3.700%, 04/15/2046		1,285		1,413
McDonald’s MTN
3.625%, 09/01/2049		600		654
NIKE
3.625%, 05/01/2043		1,575		1,690
3.375%, 03/27/2050		3,165		3,669
3.250%, 03/27/2040		1,325		1,484
Starbucks
3.350%, 03/12/2050		900		873
Target
7.000%, 01/15/2038		440		703
6.500%, 10/15/2037		2,601		3,957
4.000%, 07/01/2042		3,351		4,201
3.625%, 04/15/2046		1,170		1,407
2.650%, 09/15/2030		3,535		3,850
Time Warner Cable LLC
5.875%, 11/15/2040		480		590
5.500%, 09/01/2041		600		709
4.500%, 09/15/2042		500		536
Time Warner Entertainment
8.375%, 07/15/2033		1,620		2,366

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
TJX
4.500%, 04/15/2050	$	1,820	$	2,316
				126,891
Consumer Staples — 7.0%
Altria Group
10.200%, 02/06/2039		2,501		4,108
9.950%, 11/10/2038		1,665		2,566
4.450%, 05/06/2050		1,010		1,094
4.250%, 08/09/2042		420		429
3.875%, 09/16/2046		1,300		1,266
Anheuser-Busch InBev Worldwide
8.200%, 01/15/2039		4,750		7,417
8.000%, 11/15/2039		3,076		4,714
4.600%, 04/15/2048		220		245
4.600%, 06/01/2060		795		900
4.375%, 04/15/2038		580		644
3.750%, 07/15/2042		320		327
Anheuser-Busch LLC
4.900%, 02/01/2046		4,421		5,119
Archer-Daniels-Midland
4.500%, 03/15/2049		2,106		2,760
BAT Capital
4.906%, 04/02/2030		3,240		3,706
4.540%, 08/15/2047		1,592		1,694
4.390%, 08/15/2037		9,840		10,394
Boston University
4.061%, 10/01/2048		1,800		2,203
Bowdoin College
4.693%, 07/01/2112		370		404
California Institute of Technology
4.321%, 08/01/2045		650		836
Claremont Mckenna College
3.378%, 01/01/2050		1,515		1,497
Coca-Cola
4.200%, 03/25/2050		1,625		2,104
4.125%, 03/25/2040		620		777
2.600%, 06/01/2050		2,590		2,561
2.500%, 06/01/2040		795		802
Coca-Cola Femsa
5.250%, 11/26/2043		3,070		3,841
Conagra Brands
5.400%, 11/01/2048		460		611
Diageo Capital
5.875%, 09/30/2036		485		674
2.125%, 04/29/2032		675		683
Emory University
2.969%, 09/01/2050		1,660		1,766
Estee Lauder
3.125%, 12/01/2049		3,155		3,315
Fomento Economico Mexicano
3.500%, 01/16/2050		1,540		1,565

SEI Institutional Investments Trust / Annual Report / May 31, 2020 241

SCHEDULE OF INVESTMENTS

May 31, 2020

Long Duration Credit Fund(Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Ford Foundation
3.859%, 06/01/2047	$	2,500	$	2,826
Georgetown University
5.215%, 10/01/2118		2,275		3,186
4.315%, 04/01/2049		2,190		2,620
2.943%, 04/01/2050		1,125		1,049
Hershey
3.125%, 11/15/2049		1,372		1,500
Johns Hopkins University
4.083%, 07/01/2053		2,000		2,454
2.813%, 01/01/2060		2,250		2,245
Kimberly-Clark
5.300%, 03/01/2041		555		770
3.900%, 05/04/2047		3,275		4,100
2.875%, 02/07/2050		1,695		1,812
Kraft Heinz Foods
7.125%, 08/01/2039 (A)		1,160		1,423
6.750%, 03/15/2032		575		712
5.200%, 07/15/2045		400		411
4.875%, 10/01/2049 (A)		470		467
4.375%, 06/01/2046		2,260		2,133
Kroger
5.400%, 01/15/2049		2,371		3,184
3.950%, 01/15/2050		710		798
Mars
4.200%, 04/01/2059 (A)		1,485		1,871
4.125%, 04/01/2054 (A)		1,385		1,700
3.950%, 04/01/2049 (A)		5,380		6,507
3.875%, 04/01/2039 (A)		1,650		1,932
3.600%, 04/01/2034 (A)		2,450		2,872
Massachusetts Institute of Technology
5.600%, 07/01/2111		3,400		6,020
3.959%, 07/01/2038		1,927		2,389
2.989%, 07/01/2050		2,320		2,714
Nestle Holdings
4.000%, 09/24/2048 (A)		1,560		2,008
3.900%, 09/24/2038 (A)		3,125		3,799
Northwestern University
3.688%, 12/01/2038		2,070		2,299
Novartis Capital
4.000%, 11/20/2045		3,935		4,986
2.750%, 08/14/2050		6,484		6,788
PepsiCo
4.250%, 10/22/2044		1,000		1,245
4.000%, 05/02/2047		4,609		5,641
3.625%, 03/19/2050		7,997		9,636
3.500%, 03/19/2040		1,990		2,385
3.450%, 10/06/2046		9,782		11,101
3.375%, 07/29/2049		1,635		1,871
3.000%, 08/25/2021		16		17
Philip Morris International
6.375%, 05/16/2038		420		614

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
4.875%, 11/15/2043	$	2,830	$	3,540
4.500%, 03/20/2042		5,390		6,394
4.125%, 03/04/2043		2,166		2,453
3.875%, 08/21/2042		1,235		1,354
President & Fellows of Harvard College
3.619%, 10/01/2037		400		469
2.517%, 10/15/2050		1,685		1,750
Princeton University
5.700%, 03/01/2039		1,399		2,114
Procter & Gamble
3.600%, 03/25/2050		5,296		6,651
3.550%, 03/25/2040		1,785		2,156
Reynolds American
8.125%, 05/01/2040		2,010		2,402
5.850%, 08/15/2045		1,815		2,196
University of Chicago
4.411%, 10/01/2044		715		767
4.003%, 10/01/2053		2,475		2,927
2.761%, 04/01/2045		5,270		5,347
University of Southern California
3.841%, 10/01/2047		1,580		1,922
3.028%, 10/01/2039		2,300		2,479
2.805%, 10/01/2050		925		951
Walmart
4.050%, 06/29/2048		30,766		39,540
3.950%, 06/28/2038		2,715		3,350
3.625%, 12/15/2047		5,280		6,390
2.950%, 09/24/2049		5,265		5,820
William Marsh Rice University
2.598%, 05/15/2050		935		950
				283,029
Energy — 5.4%
Baker Hughes LLC
4.080%, 12/15/2047		1,285		1,292
BG Energy Capital
5.125%, 10/15/2041 (A)		5,840		7,353
BP Capital Markets America
3.937%, 09/21/2028		2,890		3,293
3.000%, 02/24/2050		6,325		6,183
Burlington Resources LLC
5.950%, 10/15/2036		370		499
Chevron
3.078%, 05/11/2050		2,905		3,145
Colonial Enterprises
3.250%, 05/15/2030 (A)		2,830		2,994
Conoco Funding
6.950%, 04/15/2029		2,398		3,296
ConocoPhillips
6.500%, 02/01/2039		12,838		18,583
5.900%, 05/15/2038		2,400		3,280
4.300%, 11/15/2044		4,620		5,501

242 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Devon Financing
7.875%, 09/30/2031	$	1,315	$	1,408
Energy Transfer Operating
8.250%, 11/15/2029		95		121
6.250%, 04/15/2049		500		543
6.050%, 06/01/2041		1,460		1,539
5.300%, 04/15/2047		895		877
5.000%, 05/15/2050		1,650		1,577
4.900%, 03/15/2035		82		80
Eni
5.700%, 10/01/2040 (A)		2,285		2,413
EnLink Midstream Partners
5.050%, 04/01/2045		3,170		1,843
Enterprise Products Operating LLC
5.950%, 02/01/2041		670		807
3.950%, 01/31/2060		665		665
3.700%, 01/31/2051		55		56
EOG Resources
4.375%, 04/15/2030		1,645		1,946
3.900%, 04/01/2035		4,997		5,772
Equinor
5.100%, 08/17/2040		1,415		1,856
4.800%, 11/08/2043		2,284		2,920
3.700%, 04/06/2050		3,040		3,422
3.625%, 04/06/2040		4,265		4,792
2.375%, 05/22/2030		1,710		1,764
Exxon Mobil
4.327%, 03/19/2050		8,088		10,099
4.227%, 03/19/2040		3,480		4,236
3.567%, 03/06/2045		7,525		8,313
3.452%, 04/15/2051		12,440		13,704
2.995%, 08/16/2039		2,346		2,437
Hess
6.000%, 01/15/2040		3,630		3,608
Kinder Morgan
5.300%, 12/01/2034		500		575
Marathon Petroleum
5.000%, 09/15/2054		1,030		993
Motiva Enterprises
6.850%, 01/15/2040 (A)		4,340		4,096
MPLX
5.200%, 03/01/2047		740		794
4.500%, 04/15/2038		475		471
Noble Energy
6.000%, 03/01/2041		360		337
Northern Natural Gas
4.300%, 01/15/2049 (A)		1,530		1,770
Occidental Petroleum
4.525%, 10/10/2036 (B)		15,000		6,375
4.300%, 08/15/2039		462		270
Petroleos Mexicanos
7.690%, 01/23/2050 (A)		3,855		3,182

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
6.950%, 01/28/2060 (A)	$	260	$	200
Sabine Pass Liquefaction LLC
4.500%, 05/15/2030 (A)		1,160		1,272
Saudi Arabian Oil MTN
4.375%, 04/16/2049 (A)		315		349
Shell International Finance BV
6.375%, 12/15/2038		6,111		9,379
4.550%, 08/12/2043		6,820		8,476
4.375%, 05/11/2045		2,250		2,783
4.000%, 05/10/2046		4,330		5,043
3.750%, 09/12/2046		10,666		12,118
3.625%, 08/21/2042		2,250		2,519
3.250%, 04/06/2050		3,125		3,331
Southern Natural Gas
7.350%, 02/15/2031		730		930
Suncor Energy
5.950%, 12/01/2034		3,570		4,179
Suncor Energy Ventures
6.000%, 04/01/2042 (A)		2,375		2,522
Sunoco Logistics Partners Operations
5.400%, 10/01/2047		797		792
Tennessee Gas Pipeline LLC
8.375%, 06/15/2032		2,200		2,901
Total Capital International
3.127%, 05/29/2050		6,370		6,443
TransCanada PipeLines
7.250%, 08/15/2038		1,765		2,483
6.200%, 10/15/2037		525		688
4.625%, 03/01/2034		1,965		2,262
Williams Partners
6.300%, 04/15/2040		50		60
5.400%, 03/04/2044		1,000		1,101
				220,911
Financials — 19.5%
AIA Group MTN
4.875%, 03/11/2044 (A)		2,572		3,117
AIG SunAmerica Global Financing X
6.900%, 03/15/2032 (A)		5,175		7,296
Allstate
4.200%, 12/15/2046		2,525		3,122
3.850%, 08/10/2049		1,585		1,868
Apollo Management Holdings
5.000%, 03/15/2048 (A)		2,450		2,725
4.872%, 02/15/2029 (A)		1,825		2,179
Banco Santander
3.490%, 05/28/2030		835		853
3.306%, 06/27/2029		1,270		1,338
Bank of America
7.750%, 05/14/2038		1,275		2,041
6.110%, 01/29/2037		1,395		1,903
6.000%, 10/15/2036		2,905		4,042

SEI Institutional Investments Trust / Annual Report / May 31, 2020 243

SCHEDULE OF INVESTMENTS

May 31, 2020

Long Duration Credit Fund(Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Bank of America MTN
5.875%, 02/07/2042	$	12,048	$	17,396
5.000%, 01/21/2044		2,250		2,960
4.330%, VAR ICE LIBOR USD 3 Month+1.520%, 03/15/2050		13,005		16,101
4.244%, VAR ICE LIBOR USD 3 Month+1.814%, 04/24/2038		4,355		5,122
4.083%, 03/20/2051 (C)		5,045		5,975
4.078%, VAR ICE LIBOR USD 3 Month+1.320%, 04/23/2040		9,675		11,300
3.970%, VAR ICE LIBOR USD 3 Month+1.070%, 03/05/2029		15,085		17,046
2.884%, VAR ICE LIBOR USD 3 Month+1.190%, 10/22/2030		3,110		3,269
Berkshire Hathaway
4.500%, 02/11/2043		1,545		2,030
Berkshire Hathaway Finance
5.750%, 01/15/2040		1,875		2,701
4.400%, 05/15/2042		2,250		2,843
4.300%, 05/15/2043		2,215		2,793
4.250%, 01/15/2049		5,365		6,733
4.200%, 08/15/2048		5,170		6,449
Blackstone Holdings Finance LLC
6.250%, 08/15/2042 (A)		1,313		1,734
5.000%, 06/15/2044 (A)		3,050		3,625
Carlyle Holdings II Finance LLC
5.625%, 03/30/2043 (A)		3,818		4,313
Chubb INA Holdings
6.700%, 05/15/2036		4,870		6,958
4.350%, 11/03/2045		6,335		8,140
Cincinnati Financial
6.920%, 05/15/2028		2,518		3,286
6.125%, 11/01/2034		3,553		4,955
Citigroup
8.125%, 07/15/2039		4,070		6,851
6.125%, 08/25/2036		690		896
5.316%, VAR United States Secured Overnight Financing Rate+4.548%, 03/26/2041		3,995		5,234
4.650%, 07/30/2045		1,539		1,882
4.650%, 07/23/2048		13,488		16,737
4.281%, VAR ICE LIBOR USD 3 Month+1.839%, 04/24/2048		979		1,161
2.976%, VAR United States Secured Overnight Financing Rate+1.422%, 11/05/2030		1,400		1,454
Citigroup Capital III
7.625%, 12/01/2036		890		1,174
CME Group
4.150%, 06/15/2048		8,804		11,798
Commonwealth Bank of Australia
4.316%, 01/10/2048 (A)		2,536		2,804

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Commonwealth Bank of Australia MTN
3.743%, 09/12/2039 (A)	$	1,550	$	1,573
Credit Suisse Group
4.194%, VAR United States Secured Overnight Financing Rate+3.730%, 04/01/2031 (A)		1,390		1,541
Farmers Exchange Capital
7.200%, 07/15/2048 (A)		800		980
Farmers Exchange Capital II
6.151%, VAR ICE LIBOR USD 3 Month+3.744%, 11/01/2053 (A)		3,890		4,651
Farmers Exchange Capital III
5.454%, VAR ICE LIBOR USD 3 Month+3.454%, 10/15/2054 (A)		940		1,078
Fifth Third Bancorp
8.250%, 03/01/2038		1,795		2,684
FMR
5.150%, 02/01/2043 (A)		260		325
4.950%, 02/01/2033 (A)		250		313
Goldman Sachs Capital I
6.345%, 02/15/2034		3,245		4,348
Goldman Sachs Group
6.750%, 10/01/2037		2,760		3,853
6.450%, 05/01/2036		930		1,274
6.250%, 02/01/2041		6,718		9,649
4.411%, VAR ICE LIBOR USD 3 Month+1.430%, 04/23/2039		9,200		10,599
4.017%, VAR ICE LIBOR USD 3 Month+1.373%, 10/31/2038		8,775		9,711
3.800%, 03/15/2030		5,465		6,062
Goldman Sachs Group MTN
4.800%, 07/08/2044		9,388		11,619
Guardian Life Insurance Co of America
4.875%, 06/19/2064 (A)		3,710		4,648
3.700%, 01/22/2070 (A)		1,285		1,229
HSBC Bank PLC
7.650%, 05/01/2025		2,115		2,470
HSBC Bank USA
7.000%, 01/15/2039		5,690		8,354
HSBC Holdings
6.800%, 06/01/2038		6,819		9,433
6.500%, 09/15/2037		7,410		9,990
5.250%, 03/14/2044		7,240		8,918
4.950%, 03/31/2030		675		797
4.041%, VAR ICE LIBOR USD 3 Month+1.546%, 03/13/2028		2,195		2,388
Intercontinental Exchange
4.250%, 09/21/2048		6,740		8,242
3.000%, 06/15/2050		1,735		1,749
JPMorgan Chase
8.750%, 09/01/2030		1,075		1,574
6.400%, 05/15/2038		11,245		16,734
5.600%, 07/15/2041		6,115		8,629

244 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
5.500%, 10/15/2040	$	8,915	$	12,293
5.400%, 01/06/2042		7,960		10,891
4.260%, VAR ICE LIBOR USD 3 Month+1.580%, 02/22/2048		90		109
4.032%, VAR ICE LIBOR USD 3 Month+1.460%, 07/24/2048		5,095		5,986
3.964%, VAR ICE LIBOR USD 3 Month+1.380%, 11/15/2048		10,799		12,638
3.897%, VAR ICE LIBOR USD 3 Month+1.220%, 01/23/2049		13,405		15,448
3.882%, VAR ICE LIBOR USD 3 Month+1.360%, 07/24/2038		15,065		17,239
3.109%, 04/22/2051 (C)		2,500		2,524
2.956%, VAR United States Secured Overnight Financing Rate+2.515%, 05/13/2031		1,180		1,218
2.739%, VAR United States Secured Overnight Financing Rate+1.510%, 10/15/2030		700		726
KKR Group Finance II LLC
5.500%, 02/01/2043 (A)		2,248		2,642
KKR Group Finance III LLC
5.125%, 06/01/2044 (A)		3,627		4,057
Marsh & McLennan
4.900%, 03/15/2049		3,672		4,913
4.200%, 03/01/2048		1,585		1,909
2.250%, 11/15/2030		3,980		4,039
Massachusetts Mutual Life Insurance
4.900%, 04/01/2077 (A)		530		637
3.729%, 10/15/2070 (A)		1,975		1,879
3.375%, 04/15/2050 (A)		1,625		1,658
MetLife
5.875%, 02/06/2041		1,675		2,334
5.700%, 06/15/2035		9,789		13,558
4.875%, 11/13/2043		4,465		5,675
4.721%, 12/15/2044		4,355		5,398
Mitsubishi UFJ Financial Group
3.751%, 07/18/2039		5,415		5,954
Moody’s
4.875%, 12/17/2048		2,745		3,625
Morgan Stanley
4.457%, VAR ICE LIBOR USD 3 Month+1.431%, 04/22/2039		4,418		5,357
4.375%, 01/22/2047		700		874
Morgan Stanley MTN
6.375%, 07/24/2042		6,310		9,481
5.597%, 03/24/2051 (C)		5,840		8,402
4.300%, 01/27/2045		13,010		15,804
3.971%, VAR ICE LIBOR USD 3 Month+1.455%, 07/22/2038		9,715		11,103
2.699%, VAR United States Secured Overnight Financing Rate+1.143%, 01/22/2031		2,789		2,878

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
2.420%, VAR ICE LIBOR USD 3 Month+1.400%, 10/24/2023	$	1,485	$	1,489
Mutual of Omaha Insurance
4.297%, VAR ICE LIBOR USD 3 Month+2.640%, 07/15/2054 (A)		595		604
National Rural Utilities Cooperative Finance
4.400%, 11/01/2048		2,605		3,334
4.300%, 03/15/2049		4,493		5,647
4.023%, 11/01/2032		502		575
Nationwide Mutual Insurance
9.375%, 08/15/2039 (A)		1,260		1,989
4.950%, 04/22/2044 (A)		700		783
New York Life Insurance
6.750%, 11/15/2039 (A)		2,215		3,320
5.875%, 05/15/2033 (A)		4,447		5,979
3.750%, 05/15/2050 (A)		1,814		2,041
Northwestern Mutual Life Insurance
3.850%, 09/30/2047 (A)		4,798		5,436
3.625%, 09/30/2059 (A)		1,594		1,729
Pacific Life Insurance
4.300%, VAR ICE LIBOR USD 3 Month+2.796%, 10/24/2067 (A)		1,450		1,427
PNC Financial Services Group
3.450%, 04/23/2029		1,950		2,197
Prudential Financial
3.905%, 12/07/2047		2,135		2,272
Prudential Financial MTN
5.700%, 12/14/2036		5,584		7,349
Prudential Insurance of America
8.300%, 07/01/2025 (A)		1,000		1,288
Raymond James Financial
4.950%, 07/15/2046		1,250		1,445
S&P Global
3.250%, 12/01/2049		4,921		5,290
Securian Financial Group
4.800%, 04/15/2048 (A)		2,236		2,495
State Street
3.031%, VAR United States Secured Overnight Financing Rate+1.490%, 11/01/2034		4,335		4,574
Sumitomo Mitsui Financial Group
3.040%, 07/16/2029		1,530		1,625
Swiss Re Treasury US
4.250%, 12/06/2042 (A)		4,581		5,611
Teachers Insurance & Annuity Association of America
6.850%, 12/16/2039 (A)		1,100		1,660
4.900%, 09/15/2044 (A)		2,355		2,944
4.270%, 05/15/2047 (A)		6,613		7,789
3.300%, 05/15/2050 (A)		800		815
Travelers
5.350%, 11/01/2040		1,565		2,186

SEI Institutional Investments Trust / Annual Report / May 31, 2020 245

SCHEDULE OF INVESTMENTS

May 31, 2020

Long Duration Credit Fund(Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
4.100%, 03/04/2049	$	4,853	$	6,037
4.050%, 03/07/2048		1,800		2,232
4.000%, 05/30/2047		1,555		1,903
2.550%, 04/27/2050		7,870		7,765
Travelers MTN
6.250%, 06/15/2037		1,205		1,781
Truist Bank
2.250%, 03/11/2030		1,530		1,508
UBS MTN
4.500%, 06/26/2048 (A)		2,725		3,665
US Bancorp MTN
3.000%, 07/30/2029		8,690		9,413
Validus Holdings
8.875%, 01/26/2040		2,155		3,270
Wachovia
7.500%, 04/15/2035		440		621
WEA Finance LLC
4.625%, 09/20/2048 (A)		2,000		1,695
Wells Fargo
7.950%, 11/15/2029		695		891
6.600%, 01/15/2038		5,585		7,903
5.950%, 08/26/2036		4,720		6,354
5.950%, 12/15/2036		120		139
5.850%, 02/01/2037		14,498		19,638
5.606%, 01/15/2044		2,471		3,266
3.900%, 05/01/2045		7,954		8,998
3.068%, VAR United States Secured Overnight Financing Rate+2.530%, 04/30/2041		5,045		5,115
Wells Fargo MTN
5.013%, 04/04/2051 (C)		9,093		11,883
4.900%, 11/17/2045		2,215		2,681
4.750%, 12/07/2046		8,476		9,995
4.650%, 11/04/2044		4,100		4,877
4.400%, 06/14/2046		6,430		7,276
4.300%, 07/22/2027		1,207		1,357
4.150%, 01/24/2029		1,205		1,372
3.584%, VAR ICE LIBOR USD 3 Month+1.310%, 05/22/2028		7,617		8,261
2.879%, VAR ICE LIBOR USD 3 Month+1.170%, 10/30/2030		3,520		3,656
2.572%, VAR ICE LIBOR USD 3 Month+1.000%, 02/11/2031		1,030		1,037
Westpac Banking
4.421%, 07/24/2039		625		696
Willis North America
3.875%, 09/15/2049		575		615
XLIT
5.250%, 12/15/2043		805		1,080
				793,741

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Health Care — 11.7%
Abbott Laboratories
4.900%, 11/30/2046	$	4,245	$	5,983
AbbVie
4.875%, 11/14/2048		1,285		1,600
4.850%, 06/15/2044 (A)		625		741
4.450%, 05/14/2046		780		903
4.250%, 11/21/2049 (A)		1,820		2,091
Advocate Health & Hospitals
4.272%, 08/15/2048		2,717		3,357
Aetna
4.125%, 11/15/2042		1,480		1,631
Alcon Finance
3.800%, 09/23/2049 (A)		550		599
Allina Health System
4.805%, 11/15/2045		1,666		2,086
3.887%, 04/15/2049		2,554		2,717
Amgen
6.375%, 06/01/2037		720		1,047
4.400%, 05/01/2045		925		1,154
Anthem
4.650%, 08/15/2044		900		1,122
4.625%, 05/15/2042		300		369
4.375%, 12/01/2047		1,975		2,402
3.700%, 09/15/2049		70		78
Ascension Health
4.847%, 11/15/2053		520		699
3.945%, 11/15/2046		3,631		4,475
3.106%, 11/15/2039		2,975		3,184
AstraZeneca
4.375%, 11/16/2045		2,084		2,713
Baptist Health South Florida
4.342%, 11/15/2041		610		680
Barnabas Health
4.000%, 07/01/2028		2,240		2,454
BayCare Health System
3.831%, 11/15/2050		1,870		2,194
Bayer US Finance II LLC
4.875%, 06/25/2048 (A)		1,138		1,436
4.700%, 07/15/2064 (A)		3,530		3,957
4.625%, 06/25/2038 (A)		1,030		1,218
4.400%, 07/15/2044 (A)		2,685		3,219
3.950%, 04/15/2045 (A)		2,680		2,939
Baylor Scott & White Holdings
4.185%, 11/15/2045		2,636		3,328
2.650%, 11/15/2026		1,235		1,269
Becton Dickinson
3.794%, 05/20/2050		1,555		1,748
Bristol-Myers Squibb
5.000%, 08/15/2045 (A)		2,650		3,669
4.625%, 05/15/2044 (A)		780		1,043
4.550%, 02/20/2048 (A)		2,020		2,704

246 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
4.250%, 10/26/2049 (A)	$	13,504	$	17,792
Children’s Health Care
3.448%, 08/15/2049		815		840
Cigna
4.900%, 12/15/2048		1,385		1,818
4.800%, 08/15/2038		1,620		2,026
3.875%, 10/15/2047 (A)		1,300		1,465
3.400%, 03/15/2050		1,120		1,204
City of Hope
5.623%, 11/15/2043		850		1,156
Cleveland Clinic Foundation
4.858%, 01/01/2114		1,415		2,017
CommonSpirit Health
4.187%, 10/01/2049		2,925		2,886
3.817%, 10/01/2049		3,180		3,293
CVS Health
5.050%, 03/25/2048		4,485		5,752
4.780%, 03/25/2038		1,105		1,349
4.125%, 04/01/2040		720		832
Dartmouth-Hitchcock Health
4.178%, 08/01/2048		4,410		4,529
Duke University Health System
3.920%, 06/01/2047		3,825		4,704
Eli Lilly
4.150%, 03/15/2059		2,195		2,912
3.950%, 03/15/2049		5,145		6,506
Gilead Sciences
4.800%, 04/01/2044		6,810		8,997
4.750%, 03/01/2046		5,175		6,933
4.600%, 09/01/2035		2,760		3,635
4.500%, 02/01/2045		9,705		12,531
4.150%, 03/01/2047		2,690		3,394
4.000%, 09/01/2036		900		1,103
GlaxoSmithKline Capital
6.375%, 05/15/2038		10,704		16,163
3.875%, 05/15/2028		1,580		1,855
Hartford HealthCare
5.746%, 04/01/2044		2,130		2,606
HCA
5.250%, 06/15/2049		2,480		2,923
Health Care Service, A Mutual Legal Reserve
2.200%, 06/01/2030 (A)		1,845		1,850
Highmark
6.125%, 05/15/2041 (A)		550		720
4.750%, 05/15/2021 (A)		665		684
Humana
8.150%, 06/15/2038		1,510		2,229
4.625%, 12/01/2042		405		498
3.950%, 08/15/2049		500		579
Indiana University Health Obligated Group
3.970%, 11/01/2048		2,310		2,843

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Johns Hopkins Health System
3.837%, 05/15/2046	$	960	$	1,135
Johnson & Johnson
4.850%, 05/15/2041		5,652		7,999
3.700%, 03/01/2046		315		390
3.625%, 03/03/2037		8,735		10,440
3.500%, 01/15/2048		332		404
3.400%, 01/15/2038		5,750		6,709
2.900%, 01/15/2028		1,665		1,872
Kaiser Foundation Hospitals
4.150%, 05/01/2047		5,325		6,600
3.266%, 11/01/2049		1,510		1,637
MedStar Health
3.626%, 08/15/2049		2,530		2,663
Medtronic
4.625%, 03/15/2045		3,074		4,141
4.375%, 03/15/2035		3,080		3,930
Memorial Health Services
3.447%, 11/01/2049		3,490		3,450
Memorial Sloan-Kettering Cancer Center
4.125%, 07/01/2052		3,010		3,749
Merck
5.750%, 11/15/2036		1,200		1,688
4.150%, 05/18/2043		2,675		3,431
3.900%, 03/07/2039		4,865		6,035
3.700%, 02/10/2045		9,245		11,247
3.600%, 09/15/2042		1,780		2,137
3.400%, 03/07/2029		2,980		3,422
Mount Sinai Hospitals Group
3.737%, 07/01/2049		2,600		2,638
New York and Presbyterian Hospital
4.763%, 08/01/2116		1,705		1,987
4.063%, 08/01/2056		2,200		2,575
Northwell Healthcare
4.260%, 11/01/2047		790		828
NYU Langone Hospital
3.380%, 07/01/2055		1,785		1,670
NYU Langone Hospitals
5.750%, 07/01/2043		2,040		2,636
4.428%, 07/01/2042		2,150		2,333
4.368%, 07/01/2047		1,950		2,090
OhioHealth Corp
3.042%, 11/15/2050		2,445		2,555
Partners Healthcare System
3.765%, 07/01/2048		1,000		1,144
3.342%, 07/01/2060		2,015		2,090
3.192%, 07/01/2049		2,260		2,301
Pfizer
5.600%, 09/15/2040		808		1,175
4.400%, 05/15/2044		5,495		7,170
4.300%, 06/15/2043		2,640		3,364
4.200%, 09/15/2048		2,265		2,920

SEI Institutional Investments Trust / Annual Report / May 31, 2020 247

SCHEDULE OF INVESTMENTS

May 31, 2020

Long Duration Credit Fund(Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
4.100%, 09/15/2038	$	3,080	$	3,766
4.000%, 12/15/2036		8,351		10,023
4.000%, 03/15/2049		4,597		5,821
2.700%, 05/28/2050		2,200		2,228
2.550%, 05/28/2040		1,290		1,307
Pharmacia
6.600%, 12/01/2028		1,145		1,581
Providence St. Joseph Health Obligated Group
3.744%, 10/01/2047		1,640		1,871
2.532%, 10/01/2029		2,830		2,949
RWJ Barnabas Health
3.477%, 07/01/2049		535		534
Shands Teaching Hospital and Clinics
4.741%, 12/01/2042		1,750		1,803
Stanford Health Care
3.795%, 11/15/2048		7,132		8,389
Stryker
4.625%, 03/15/2046		315		411
4.100%, 04/01/2043		785		918
Trinity Health
4.125%, 12/01/2045		2,392		2,762
UnitedHealth Group
6.875%, 02/15/2038		1,125		1,776
6.625%, 11/15/2037		1,160		1,794
6.500%, 06/15/2037		1,360		2,068
5.950%, 02/15/2041		1,130		1,659
5.800%, 03/15/2036		325		459
5.700%, 10/15/2040		440		638
4.750%, 07/15/2045		7,215		9,682
4.625%, 07/15/2035		1,120		1,465
4.450%, 12/15/2048		16,159		21,212
4.375%, 03/15/2042		30		38
4.250%, 03/15/2043		906		1,125
4.250%, 04/15/2047		6,515		8,174
4.250%, 06/15/2048		3,185		4,055
4.200%, 01/15/2047		4,172		5,197
3.950%, 10/15/2042		1,085		1,299
3.875%, 08/15/2059		5		6
3.750%, 10/15/2047		1,146		1,358
3.700%, 08/15/2049		3,650		4,314
3.500%, 08/15/2039		4,660		5,377
3.125%, 05/15/2060		2,025		2,128
Willis-Knighton Medical Center
4.813%, 09/01/2048		2,165		2,652
Wyeth LLC
6.500%, 02/01/2034		2,385		3,623
5.950%, 04/01/2037		19,704		28,636
				477,086

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Industrials — 6.0%
3M
3.700%, 04/15/2050	$	1,095	$	1,327
3.250%, 08/26/2049		2,820		3,123
3M MTN
3.125%, 09/19/2046		1,905		2,039
Air Canada, Pass-Through Trust, Ser 2013-1, Cl A
4.125%, 05/15/2025 (A)		373		330
Air Lease
3.250%, 10/01/2029		380		318
Airbus
3.950%, 04/10/2047 (A)		2,500		2,409
American Airlines Pass-Through Trust, Ser 2016-2, Cl AA
3.200%, 06/15/2028		3,615		3,238
Boeing
5.930%, 05/01/2060		450		521
5.805%, 05/01/2050		6,195		7,029
5.150%, 05/01/2030		1,330		1,425
3.850%, 11/01/2048		1,135		975
Burlington Northern Santa Fe LLC
5.150%, 09/01/2043		1,615		2,160
4.900%, 04/01/2044		11,145		14,421
4.550%, 09/01/2044		5,365		6,680
4.450%, 03/15/2043		560		692
4.400%, 03/15/2042		2,825		3,455
4.150%, 04/01/2045		8,700		10,526
4.150%, 12/15/2048		265		325
4.125%, 06/15/2047		3,815		4,561
4.050%, 06/15/2048		5,305		6,393
Canadian National Railway
6.200%, 06/01/2036		6,570		9,534
4.500%, 11/07/2043		3,800		4,843
3.650%, 02/03/2048		1,000		1,180
3.200%, 08/02/2046		3,580		3,943
Canadian Pacific Railway
6.125%, 09/15/2115		1,405		2,114
Caterpillar
5.200%, 05/27/2041		395		545
4.750%, 05/15/2064		4,585		6,052
3.803%, 08/15/2042		4,360		5,170
Crane
4.200%, 03/15/2048		775		759
Deere
3.900%, 06/09/2042		3,695		4,529
3.750%, 04/15/2050		2,100		2,542
2.875%, 09/07/2049		3,855		4,010
Emerson Electric
2.750%, 10/15/2050		1,765		1,743
FedEx
4.950%, 10/17/2048		2,001		2,204

248 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
GE Capital Funding LLC
4.400%, 05/15/2030 (A)	$	1,450	$	1,503
GE Capital International Funding Unlimited
4.418%, 11/15/2035		12,762		12,751
General Dynamics
4.250%, 04/01/2040		1,325		1,647
4.250%, 04/01/2050		1,975		2,576
General Electric
4.350%, 05/01/2050		3,580		3,496
4.250%, 05/01/2040		2,290		2,227
General Electric MTN
5.875%, 01/14/2038		7,290		8,136
Honeywell International
2.800%, 06/01/2050		1,470		1,541
Lockheed Martin
4.700%, 05/15/2046		1,000		1,363
4.070%, 12/15/2042		4,755		5,955
2.800%, 06/15/2050		4,920		5,145
Norfolk Southern
5.100%, 08/01/2118		1,900		2,446
4.050%, 08/15/2052		1,976		2,293
Parker-Hannifin
4.100%, 03/01/2047		3,704		4,190
4.000%, 06/14/2049		2,310		2,609
Parker-Hannifin MTN
4.450%, 11/21/2044		1,755		2,029
Raytheon
4.700%, 12/15/2041		560		658
Raytheon Technologies
4.625%, 11/16/2048		785		1,016
4.500%, 06/01/2042		5,000		6,131
3.750%, 11/01/2046		1,039		1,177
3.125%, 07/01/2050		2,595		2,739
Rockwell Automation
4.200%, 03/01/2049		2,500		3,103
Snap-on
4.100%, 03/01/2048		3,640		4,148
3.100%, 05/01/2050		3,326		3,318
Stanley Black & Decker
5.200%, 09/01/2040		280		359
TTX
4.600%, 02/01/2049 (A)		3,542		4,407
Union Pacific
3.875%, 02/01/2055		730		838
3.839%, 03/20/2060 (A)		2,529		2,906
3.250%, 02/05/2050		2,050		2,179
United Airlines Pass-Through Trust, Ser 2019- 1, Cl AA
4.150%, 08/25/2031		1,329		1,242
United Parcel Service
7.620%, 04/01/2030		710		1,006
6.200%, 01/15/2038		3,152		4,611

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
5.300%, 04/01/2050	$	1,705	$	2,413
5.200%, 04/01/2040		425		565
3.625%, 10/01/2042		1,510		1,626
3.400%, 11/15/2046		3,925		4,243
3.400%, 09/01/2049		4,420		4,824
US Airways Pass-Through Trust, Ser 2012-1, Cl A
5.900%, 10/01/2024		1,378		1,176
Vinci
3.750%, 04/10/2029 (A)		1,475		1,661
Waste Connections
3.050%, 04/01/2050		675		659
WW Grainger
4.600%, 06/15/2045		1,328		1,637
4.200%, 05/15/2047		3,329		3,778
				243,442
Information Technology — 12.0%
Adobe
2.300%, 02/01/2030		5,360		5,725
Apple
4.650%, 02/23/2046		13,186		18,156
4.450%, 05/06/2044		780		1,025
4.375%, 05/13/2045		14,885		19,450
3.850%, 05/04/2043		5,245		6,431
3.850%, 08/04/2046		18,297		22,581
3.750%, 09/12/2047		7,535		9,175
3.750%, 11/13/2047		2,000		2,421
3.450%, 02/09/2045		9,090		10,489
2.900%, 09/12/2027		2,080		2,330
2.650%, 05/11/2050		1,585		1,637
Applied Materials
4.350%, 04/01/2047		3,599		4,669
2.750%, 06/01/2050		1,115		1,108
Cisco Systems
5.900%, 02/15/2039		5,785		8,483
5.500%, 01/15/2040		5,510		7,978
Dell International LLC
8.100%, 07/15/2036 (A)		2,785		3,377
Deutsche Telekom International Finance
9.250%, 06/01/2032		2,192		3,492
Fiserv
4.400%, 07/01/2049		500		608
Intel
4.950%, 03/25/2060		1,460		2,108
4.750%, 03/25/2050		3,455		4,700
4.600%, 03/25/2040		2,025		2,635
4.100%, 05/19/2046		3,052		3,757
4.100%, 05/11/2047		4,555		5,703
4.000%, 12/15/2032		165		204
3.734%, 12/08/2047		14,495		17,042
3.250%, 11/15/2049		3,825		4,234

SEI Institutional Investments Trust / Annual Report / May 31, 2020 249

SCHEDULE OF INVESTMENTS

May 31, 2020

Long Duration Credit Fund(Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
International Business Machines
4.250%, 05/15/2049	$	5,515	$	6,806
4.000%, 06/20/2042		2,730		3,187
Lam Research
2.875%, 06/15/2050		6,300		6,407
Mastercard
3.950%, 02/26/2048		1,505		1,885
3.850%, 03/26/2050		7,956		10,170
3.650%, 06/01/2049		2,340		2,814
3.350%, 03/26/2030		1,200		1,386
Microsoft
5.300%, 02/08/2041		3,915		5,780
5.200%, 06/01/2039		1,415		2,055
4.450%, 11/03/2045		2,765		3,799
4.100%, 02/06/2037		11,634		14,784
4.000%, 02/12/2055		15,738		20,619
3.750%, 02/12/2045		21,861		27,314
3.700%, 08/08/2046 (D)		35,133		43,774
3.500%, 02/12/2035		2,015		2,448
3.450%, 08/08/2036		10,635		12,554
2.400%, 08/08/2026		1,255		1,379
NVIDIA
3.700%, 04/01/2060		545		645
3.500%, 04/01/2040		3,775		4,291
3.500%, 04/01/2050		6,040		6,883
Oracle
6.500%, 04/15/2038		7,067		10,661
4.375%, 05/15/2055		3,515		4,453
4.300%, 07/08/2034		13,255		16,270
4.125%, 05/15/2045		13,250		15,692
4.000%, 07/15/2046		16,864		19,553
4.000%, 11/15/2047		5,425		6,369
3.900%, 05/15/2035		1,555		1,846
3.850%, 07/15/2036		445		516
3.850%, 04/01/2060		2,125		2,433
3.800%, 11/15/2037		12,330		14,046
3.600%, 04/01/2040		3,050		3,377
3.600%, 04/01/2050		2,010		2,241
2.950%, 04/01/2030		955		1,048
PayPal Holdings
3.250%, 06/01/2050		1,385		1,484
QUALCOMM
4.650%, 05/20/2035		3,305		4,250
4.300%, 05/20/2047		3,965		4,856
Texas Instruments
4.150%, 05/15/2048		7,787		10,247
3.875%, 03/15/2039		1,900		2,412
Visa
4.300%, 12/14/2045		10,685		14,122
4.150%, 12/14/2035		1,275		1,645

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
2.700%, 04/15/2040	$	1,090	$	1,157
				487,176
Materials — 0.9%
Air Liquide Finance
3.500%, 09/27/2046 (A)		1,855		2,093
Air Products and Chemicals
2.700%, 05/15/2040		695		721
BHP Billiton Finance USA
6.420%, 03/01/2026		1,400		1,765
5.000%, 09/30/2043		6,700		9,311
Ecolab
5.500%, 12/08/2041		3,257		4,320
Georgia-Pacific LLC
8.875%, 05/15/2031		375		591
7.250%, 06/01/2028		330		437
International Flavors & Fragrances
5.000%, 09/26/2048		1,585		1,784
International Paper
8.700%, 06/15/2038		1,000		1,550
Nacional del Cobre de Chile
3.700%, 01/30/2050 (A)		1,045		1,039
Rio Tinto Finance USA
5.200%, 11/02/2040		4,047		5,516
4.125%, 08/21/2042		3,100		3,791
Sherwin-Williams
3.300%, 05/15/2050		295		295
Vale
5.625%, 09/11/2042		840		928
Vale Canada
7.200%, 09/15/2032		310		371
Vale Overseas
6.875%, 11/21/2036		880		1,099
6.875%, 11/10/2039		400		501
				36,112
Real Estate — 0.9%
AvalonBay Communities MTN
4.350%, 04/15/2048		220		270
4.150%, 07/01/2047		1,200		1,440
Camden Property Trust
3.350%, 11/01/2049		2,110		2,131
Crown Castle Towers LLC
3.663%, 05/15/2025 (A)		2,925		3,107
CyrusOne
3.450%, 11/15/2029		2,800		2,766
ERP Operating
4.500%, 06/01/2045		1,450		1,797
4.000%, 08/01/2047		1,525		1,777
GLP Capital
5.300%, 01/15/2029		1,070		1,027

250 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Healthcare Realty Trust
2.400%, 03/15/2030	$	205	$	186
Nationwide Health Properties MTN
6.900%, 10/01/2037		1,600		1,831
Prologis
3.000%, 04/15/2050		1,725		1,732
2.250%, 04/15/2030		1,305		1,340
Realty Income
4.650%, 03/15/2047		2,655		3,181
Regency Centers
4.650%, 03/15/2049		1,751		1,837
4.400%, 02/01/2047		795		802
Simon Property Group
6.750%, 02/01/2040		3,865		4,926
4.250%, 11/30/2046		1,000		955
3.250%, 09/13/2049		4,320		3,503
Ventas Realty
5.700%, 09/30/2043		2,007		2,122
4.875%, 04/15/2049		245		234
Welltower
5.125%, 03/15/2043		1,085		1,084
4.950%, 09/01/2048		600		614
				38,662
Utilities — 16.9%
AEP Texas
4.150%, 05/01/2049		2,675		3,128
AEP Transmission LLC
4.000%, 12/01/2046		5,703		6,685
3.800%, 06/15/2049		2,525		2,963
3.650%, 04/01/2050		1,430		1,642
Alabama Power
5.200%, 06/01/2041		155		187
4.300%, 07/15/2048		2,300		2,815
4.150%, 08/15/2044		135		159
3.850%, 12/01/2042		6,767		7,840
Ameren Illinois
3.700%, 12/01/2047		6,045		6,888
American Water Capital
4.150%, 06/01/2049		1,800		2,188
3.750%, 09/01/2047		1,750		1,985
Appalachian Power
6.700%, 08/15/2037		50		66
5.800%, 10/01/2035		125		165
4.600%, 03/30/2021		70		71
4.500%, 03/01/2049		500		597
Arizona Public Service
5.050%, 09/01/2041		50		62
4.500%, 04/01/2042		12		14
4.350%, 11/15/2045		1,735		2,017
Atmos Energy
4.125%, 10/15/2044		4,005		4,817

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
4.125%, 03/15/2049	$	2,935	$	3,614
Avista
4.350%, 06/01/2048		1,735		2,117
Baltimore Gas & Electric
6.350%, 10/01/2036		125		174
5.200%, 06/15/2033		1,500		1,940
3.500%, 08/15/2046		4,230		4,586
Berkshire Hathaway Energy
6.125%, 04/01/2036		1,342		1,941
4.450%, 01/15/2049		4,810		6,080
4.250%, 10/15/2050 (A)		5,000		6,285
3.800%, 07/15/2048		9,670		11,161
Black Hills
4.200%, 09/15/2046		1,100		1,129
Boston Gas
4.487%, 02/15/2042 (A)		3,472		4,089
Brooklyn Union Gas
4.273%, 03/15/2048 (A)		2,050		2,426
CenterPoint Energy Houston Electric LLC
4.500%, 04/01/2044		500		627
4.250%, 02/01/2049		2,260		2,797
3.950%, 03/01/2048		500		595
CenterPoint Energy Resources
6.250%, 02/01/2037		1,095		1,388
4.500%, 01/15/2021		40		41
Cleco Power
6.000%, 12/01/2040		1,150		1,454
Commonwealth Edison
4.700%, 01/15/2044		6,023		7,801
4.600%, 08/15/2043		2,070		2,618
4.000%, 03/01/2048		3,260		3,906
4.000%, 03/01/2049		1,455		1,766
3.750%, 08/15/2047		6,715		7,812
3.700%, 03/01/2045		9,480		10,718
3.000%, 03/01/2050		2,530		2,650
Connecticut Light & Power
4.150%, 06/01/2045		3,775		4,616
4.000%, 04/01/2048		4,747		5,781
Consolidated Edison of New York
6.750%, 04/01/2038		1,915		2,827
6.200%, 06/15/2036		65		89
5.700%, 06/15/2040		40		54
5.500%, 12/01/2039		75		101
4.650%, 12/01/2048		2,060		2,631
4.625%, 12/01/2054		2,685		3,378
4.500%, 05/15/2058		750		933
4.450%, 03/15/2044		650		787
4.125%, 05/15/2049		1,620		1,928
4.000%, 11/15/2057		3,760		4,273
3.950%, 03/01/2043		5,840		6,656
3.875%, 06/15/2047		8,333		9,400
3.850%, 06/15/2046		5,517		6,223

SEI Institutional Investments Trust / Annual Report / May 31, 2020 251

SCHEDULE OF INVESTMENTS

May 31, 2020

Long Duration Credit Fund(Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
3.700%, 11/15/2059	$	2,350	$	2,580
Consumers Energy
4.350%, 04/15/2049		4,833		6,445
3.100%, 08/15/2050		830		898
2.500%, 05/01/2060		955		899
Consumers Energy Co
3.500%, 08/01/2051		2,660		3,147
Dominion Energy
5.250%, 08/01/2033		20		23
3.375%, 04/01/2030		2,120		2,326
Dominion Energy South Carolina
5.100%, 06/01/2065		1,640		2,298
DTE Electric
3.950%, 06/15/2042		80		91
3.900%, 06/01/2021		30		31
3.700%, 03/15/2045		5,515		6,293
Duke Energy Carolinas LLC
6.450%, 10/15/2032		110		153
6.100%, 06/01/2037		1,910		2,685
6.050%, 04/15/2038		2,035		2,936
6.000%, 01/15/2038		3,366		4,822
5.300%, 02/15/2040		6,605		8,987
4.250%, 12/15/2041		2,400		2,923
4.000%, 09/30/2042		13,440		15,946
3.875%, 03/15/2046		2,170		2,563
3.750%, 06/01/2045		200		231
3.700%, 12/01/2047		3,360		3,882
Duke Energy Florida LLC
6.400%, 06/15/2038		2,830		4,278
4.200%, 07/15/2048		1,030		1,296
3.400%, 10/01/2046		1,315		1,457
Duke Energy Florida Project Finance LLC
3.112%, 09/01/2036		4,425		4,734
Duke Energy Indiana LLC
6.450%, 04/01/2039		4,275		6,304
6.350%, 08/15/2038		2,760		4,115
4.900%, 07/15/2043		935		1,238
3.750%, 05/15/2046		1,750		2,010
3.250%, 10/01/2049		2,170		2,358
2.750%, 04/01/2050		1,882		1,880
Duke Energy Ohio
4.300%, 02/01/2049		2,120		2,628
2.125%, 06/01/2030		1,000		1,027
Duke Energy Progress LLC
4.375%, 03/30/2044		2,880		3,582
4.200%, 08/15/2045		4,300		5,306
4.150%, 12/01/2044		1,250		1,529
4.100%, 05/15/2042		530		635
4.100%, 03/15/2043		675		801
3.700%, 10/15/2046		650		745
3.600%, 09/15/2047		1,850		2,083

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Electricite de France
6.000%, 01/22/2114 (A)	$	3,862	$	4,973
5.000%, 09/21/2048 (A)		2,415		3,013
4.950%, 10/13/2045 (A)		1,770		2,158
Elm Road Generating Station Supercritical
5.848%, 01/19/2041 (A)		1,000		1,183
Entergy Louisiana LLC
4.200%, 09/01/2048		2,440		3,070
4.200%, 04/01/2050		2,290		2,888
4.000%, 03/15/2033		1,530		1,840
2.900%, 03/15/2051		330		337
Essential Utilities
4.276%, 05/01/2049		1,145		1,394
Evergy Kansas Central
3.450%, 04/15/2050		1,430		1,565
Evergy Metro
4.200%, 06/15/2047		500		606
4.200%, 03/15/2048		1,000		1,228
Exelon
4.950%, 06/15/2035		1,710		2,097
FirstEnergy
4.850%, 07/15/2047		35		44
Florida Power & Light
5.960%, 04/01/2039		2,495		3,731
5.690%, 03/01/2040		4,978		7,319
5.650%, 02/01/2037		1,000		1,382
4.050%, 06/01/2042		3,460		4,267
4.050%, 10/01/2044		2,715		3,361
3.990%, 03/01/2049		2,455		3,127
3.950%, 03/01/2048		4,055		5,125
3.800%, 12/15/2042		3,935		4,674
3.700%, 12/01/2047		600		722
3.150%, 10/01/2049		2,245		2,520
Georgia Power
4.300%, 03/15/2042		6,235		7,215
4.300%, 03/15/2043		2,945		3,398
3.700%, 01/30/2050		2,495		2,757
Gulf Power
4.550%, 10/01/2044		700		863
Idaho Power
4.200%, 03/01/2048		1,985		2,455
Indiana Michigan Power
4.550%, 03/15/2046		780		968
4.250%, 08/15/2048		1,315		1,577
Indianapolis Power & Light
4.700%, 09/01/2045 (A)		1,670		2,042
4.650%, 06/01/2043 (A)		4,065		4,912
International Transmission
4.625%, 08/15/2043		2,525		2,980
Jersey Central Power & Light
6.150%, 06/01/2037		775		984

252 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
John Sevier Combined Cycle Generation
4.626%, 01/15/2042	$	4,372	$	5,454
KeySpan Gas East
5.819%, 04/01/2041 (A)		2,117		2,792
MidAmerican Energy
4.800%, 09/15/2043		5,260		6,848
4.400%, 10/15/2044		7,455		9,343
4.250%, 05/01/2046		2,775		3,483
3.950%, 08/01/2047		2,020		2,409
3.650%, 08/01/2048		3,880		4,501
3.150%, 04/15/2050		2,880		3,092
MidAmerican Energy MTN
5.800%, 10/15/2036		635		870
5.750%, 11/01/2035		640		917
Narragansett Electric
4.170%, 12/10/2042 (A)		1,000		1,113
Niagara Mohawk Power
4.278%, 10/01/2034 (A)		3,769		4,479
4.119%, 11/28/2042 (A)		2,000		2,226
NiSource
5.950%, 06/15/2041		220		292
5.800%, 02/01/2042		900		1,199
3.600%, 05/01/2030		3,815		4,315
Northern States Power
6.250%, 06/01/2036		3,755		5,412
6.200%, 07/01/2037		6,850		10,178
3.600%, 05/15/2046		500		570
3.400%, 08/15/2042		464		529
Oglethorpe Power
5.375%, 11/01/2040		2,340		2,710
5.250%, 09/01/2050		755		866
4.250%, 04/01/2046		1,650		1,721
4.200%, 12/01/2042		3,540		3,709
Ohio Edison
8.250%, 10/15/2038		655		991
Oklahoma Gas & Electric
4.550%, 03/15/2044		1,395		1,603
Oncor Electric Delivery LLC
5.300%, 06/01/2042		1,470		2,043
5.250%, 09/30/2040		4,606		6,221
4.550%, 12/01/2041		4,500		5,770
4.100%, 11/15/2048		750		942
3.800%, 06/01/2049		4,925		5,855
3.700%, 05/15/2050 (A)		2,095		2,515
PacifiCorp
6.250%, 10/15/2037		3,360		4,799
6.000%, 01/15/2039		4,705		6,629
4.100%, 02/01/2042		2,510		2,916
3.300%, 03/15/2051		650		706
PECO Energy
4.800%, 10/15/2043		1,505		1,914
3.700%, 09/15/2047		290		344

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Pennsylvania Electric
6.150%, 10/01/2038	$	100	$	123
Piedmont Natural Gas
4.650%, 08/01/2043		1,330		1,594
3.640%, 11/01/2046		1,300		1,367
Potomac Electric Power
4.950%, 11/15/2043		950		1,120
PPL Electric Utilities
4.750%, 07/15/2043		3,600		4,593
4.125%, 06/15/2044		1,524		1,839
3.950%, 06/01/2047		3,715		4,394
Public Service Electric & Gas MTN
4.050%, 05/01/2048		2,176		2,700
4.000%, 06/01/2044		695		820
3.800%, 01/01/2043		2,000		2,343
3.800%, 03/01/2046		2,000		2,355
3.650%, 09/01/2042		1,550		1,788
3.600%, 12/01/2047		4,650		5,367
3.200%, 08/01/2049		4,150		4,592
Public Service of Colorado
6.250%, 09/01/2037		1,565		2,324
4.300%, 03/15/2044		1,740		2,145
4.050%, 09/15/2049		1,830		2,262
3.950%, 03/15/2043		5,415		6,127
3.200%, 03/01/2050		1,455		1,596
Public Service of New Hampshire
3.600%, 07/01/2049		2,180		2,508
Public Service of Oklahoma
4.400%, 02/01/2021		27		28
Puget Sound Energy
5.795%, 03/15/2040		130		179
4.223%, 06/15/2048		2,470		3,036
San Diego Gas & Electric
6.000%, 06/01/2026		340		422
4.100%, 06/15/2049		2,290		2,704
3.750%, 06/01/2047		2,380		2,638
3.320%, 04/15/2050		1,854		1,977
Sempra Energy
4.000%, 02/01/2048		1,085		1,217
Southern California Edison
5.950%, 02/01/2038		280		362
4.650%, 10/01/2043		2,685		3,140
4.125%, 03/01/2048		6,480		7,439
4.050%, 03/15/2042		5,355		5,952
4.000%, 04/01/2047		3,345		3,694
3.650%, 03/01/2028		3,165		3,496
3.650%, 02/01/2050		1,270		1,338
Southern California Gas
4.300%, 01/15/2049		1,515		1,888
4.125%, 06/01/2048		4,025		4,830
3.750%, 09/15/2042		2,755		3,088
2.550%, 02/01/2030		1,510		1,607

SEI Institutional Investments Trust / Annual Report / May 31, 2020 253

SCHEDULE OF INVESTMENTS

May 31, 2020

Long Duration Credit Fund(Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Southern Gas Capital
4.400%, 06/01/2043	$	665	$	751
3.950%, 10/01/2046		400		429
3.500%, 09/15/2021		68		69
Southwest Gas
3.800%, 09/29/2046		1,025		1,148
Southwestern Electric Power
6.200%, 03/15/2040		1,204		1,626
3.850%, 02/01/2048		3,505		3,712
Southwestern Public Service
4.500%, 08/15/2041		10,725		12,943
3.700%, 08/15/2047		5,160		5,706
Tampa Electric
4.350%, 05/15/2044		1,225		1,446
3.625%, 06/15/2050		3,945		4,494
Tucson Electric Power
4.850%, 12/01/2048		2,330		2,975
4.000%, 06/15/2050		1,230		1,405
Virginia Electric & Power
8.875%, 11/15/2038		1,962		3,357
6.350%, 11/30/2037		920		1,320
4.650%, 08/15/2043		4,010		5,101
4.600%, 12/01/2048		3,310		4,321
4.450%, 02/15/2044		6,250		7,850
4.000%, 01/15/2043		300		358
4.000%, 11/15/2046		1,720		2,046
Wisconsin Electric Power
3.650%, 12/15/2042		2,310		2,389
2.950%, 09/15/2021		3		3
Wisconsin Power & Light
4.100%, 10/15/2044		325		376
Wisconsin Power and Light
3.650%, 04/01/2050		640		723
Wisconsin Public Service
4.752%, 11/01/2044		1,725		2,138
Xcel Energy
4.800%, 09/15/2041		1,657		1,992
				686,567
Total Corporate Obligations (Cost $3,162,704) ($ Thousands)				3,670,594
MUNICIPAL BONDS — 6.6%
Alabama — 0.0%
Alabama State, Economic Settlement Authority, Ser B, RB
4.263%, 09/15/2032		1,010		1,137

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MUNICIPAL BONDS (continued)
California — 3.2%
Bay Area, Toll Authority, Build America Project, RB
6.263%, 04/01/2049	$	2,545	$	4,431
California State University, Ser B, RB
Callable 05/01/2047 @ 100 3.899%, 11/01/2047		2,375		2,763
California State, Build America Project, GO
7.625%, 03/01/2040		1,870		3,203
7.600%, 11/01/2040		410		729
7.550%, 04/01/2039		9,290		16,021
7.500%, 04/01/2034		17,085		27,468
7.300%, 10/01/2039		12,750		20,746
California State, GO
Callable 04/01/2028 @ 100 4.500%, 04/01/2033		2,000		2,327
East Bay, Municipal Utility District Water System Revenue, RB
5.874%, 06/01/2040		1,255		1,767
Los Angeles County, Metropolitan Transportation Authority, RB
5.735%, 06/01/2039		960		1,271
Los Angeles, Community College District, Build America Project, GO
6.750%, 08/01/2049		1,025		1,741
Los Angeles, Community College District, Ser D, GO
6.680%, 08/01/2036		500		765
Los Angeles, Department of Airports, RB
3.887%, 05/15/2038		1,430		1,518
Los Angeles, Department of Water & Power, RB
5.716%, 07/01/2039		1,510		2,233
Los Angeles, Department of Water & Power, Ser C, RB
5.516%, 07/01/2027		955		1,199
Los Angeles, Unified School District, Build America Project, GO
5.750%, 07/01/2034		2,235		2,970
Los Angeles, Unified School District, Build America Project, Ser RY, GO
6.758%, 07/01/2034		6,000		8,535
Los Angeles, Unified School District, GO
5.755%, 07/01/2029		1,000		1,248
Regents of the University of California Medical Center, Pooled Revenue, Ser N, RB
Callable 11/15/2049 @ 100 3.006%, 05/15/2050		2,005		1,938
Regents of the University of California, Ser N, RB
3.256%, 05/15/2060		1,995		1,985

254 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value   ($ Thousands)
MUNICIPAL BONDS (continued)
San Diego County, Water Authority, Build America Project, RB
6.138%, 05/01/2049	$	1,980	$	2,825
San Francisco City & County Airport, Build America Project, Ser A, AMT, RB
Callable 05/01/2029 @ 100 5.000%, 05/01/2049		1,050		1,217
San Francisco, Public Utilities Commission Water Revenue, Build America Project, Ser DE, RB
6.000%, 11/01/2040		1,000		1,391
San Jose, Redevelopment Agency, Ser A-T, TA
Callable 08/01/2027 @ 100 3.375%, 08/01/2034		1,250		1,275
Santa Clara Valley, Transportation Authority, Build America Project, RB
5.876%, 04/01/2032		1,000		1,264
University of California, RB
5.946%, 05/15/2045		3,000		4,309
5.770%, 05/15/2043		4,850		7,064
University of California, Ser AP, RB
3.931%, 05/15/2045		950		1,109
University of California, Ser AQ, RB
4.767%, 05/15/2115		2,701		3,595
University of California, Ser J, RB
4.131%, 05/15/2045		1,000		1,190
				130,097
District of Columbia — 0.0%
District of Columbia, Water & Sewer Authority, RB
4.814%, 10/01/2114		530		720
Georgia — 0.1%
Georgia State, Municipal Electric Authority, Build America Project, RB
7.055%, 04/01/2057		2,200		3,003
6.637%, 04/01/2057		983		1,342
				4,345
Illinois — 0.1%
Greater Chicago, Metropolitan Water Reclamation District, GO
5.720%, 12/01/2038		3,205		4,523
Kansas — 0.1%
Kansas State, Development Finance Authority, Ser H, RB
4.727%, 04/15/2037		2,310		2,733

Description	Face Amount (Thousands)		Market Value   ($ Thousands)
MUNICIPAL BONDS (continued)
Massachusetts — 0.2%
Commonwealth of Massachusetts, Ser C, GO
Callable 03/01/2030 @ 100 3.000%, 03/01/2048	$	620	$	661
Massachusetts State, Build America Project, GO
5.456%, 12/01/2039		4,085		5,597
				6,258
Michigan — 0.0%
Michigan State University, Build America Project, RB
Callable 02/15/2030 @ 100 6.173%, 02/15/2050		850		1,054
Missouri — 0.1%
Missouri State, Health & Educational Facilities Authority, RB
3.086%, 09/15/2051		1,555		1,654
Missouri State, Health & Educational Facilities Authority, Ser A, RB
3.685%, 02/15/2047		675		776
				2,430
New Jersey — 0.2%
New Jersey State, Turnpike Authority, Build America Project, RB
7.414%, 01/01/2040		2,895		4,716
New Jersey State, Turnpike Authority, Ser F, RB
3.729%, 01/01/2036		2,000		2,190
				6,906
New York — 1.1%
Metropolitan Transportation Authority, Build America Project, RB
6.548%, 11/15/2031		1,210		1,479
New York & New Jersey, Port Authority, RB
4.926%, 10/01/2051		245		330
4.458%, 10/01/2062		5,725		7,226
New York & New Jersey, Port Authority, Ser 181, RB
4.960%, 08/01/2046		500		649
New York & New Jersey, Port Authority, Ser 20, RB
4.229%, 10/15/2057		500		598
New York City, Build America Project, GO
5.985%, 12/01/2036		1,625		2,226
5.206%, 10/01/2031		750		913

SEI Institutional Investments Trust / Annual Report / May 31, 2020 255

SCHEDULE OF INVESTMENTS

May 31, 2020

Long Duration Credit Fund(Continued)

Description	Face Amount (Thousands)		Market Value   ($ Thousands)
MUNICIPAL BONDS (continued)
New York City, Municipal Water Finance Authority, Build America Project, RB
6.011%, 06/15/2042	$	750	$	1,162
5.882%, 06/15/2044		500		775
5.724%, 06/15/2042		3,720		5,776
5.440%, 06/15/2043		3,000		4,524
New York City, Transitional Finance Authority, Build America Project, RB
5.572%, 11/01/2038		900		1,220
New York City, Transitional Finance Authority, Future Tax Secured Revenue, RB
5.767%, 08/01/2036		3,585		4,634
5.508%, 08/01/2037		1,890		2,593
5.267%, 05/01/2027		1,000		1,222
New York State, Dormitory Authority, Build America Project, RB
5.289%, 03/15/2033		2,000		2,386
New York State, Dormitory Authority, Ser F, RB
3.110%, 02/15/2039		4,220		4,460
3.057%, 02/15/2034		265		287
New York State, Environmental Facilities, RB
Callable 06/15/2029 @ 100 4.000%, 06/15/2037		500		595
New York State, Urban Development, RB
5.770%, 03/15/2039		1,970		2,428
				45,483
Ohio — 0.2%
JobsOhio Beverage System, Ser A, RB
2.833%, 01/01/2038		460		477
Ohio State University, Build America Project, GO
4.910%, 06/01/2040		2,265		3,105
Ohio State University, Ser A, RB
4.048%, 12/01/2056		4,150		5,112
Ohio State, Hospital Facilities Revenue Authority, Cleveland Clinic, RB
3.700%, 01/01/2043		970		1,034
2.885%, 01/01/2032		295		307
				10,035
Pennsylvania — 0.1%
Commonwealth Financing Authority, Ser A, RB
4.144%, 06/01/2038		2,865		3,161
Texas — 1.0%
Dallas County, Hospital District, Build America Project, Ser C, GO
5.621%, 08/15/2044		2,000		2,817
Dallas, Ser A, RB
2.994%, 11/01/2038		4,095		3,873

Description	Face Amount (Thousands)		Market Value   ($ Thousands)
MUNICIPAL BONDS (continued)
Grand Parkway, Transportation Corp, RB
5.184%, 10/01/2042	$	1,350	$	1,721
Houston, GO
3.961%, 03/01/2047		1,500		1,767
North Texas, Tollway Authority, Build America Project, RB
6.718%, 01/01/2049		1,200		2,000
Permanent University Fund - University of Texas, Ser A, RB
3.500%, 08/15/2050		1,640		2,019
Permanent University Fund - University of Texas, Ser S, RB
Callable 01/01/2047 @ 100 3.376%, 07/01/2047		2,010		2,410
San Antonio, Electric & Gas Systems Revenue, RB
5.808%, 02/01/2041		3,800		5,476
Texas State, Build America Project, GO
5.517%, 04/01/2039		4,350		6,355
Texas State, Build America Project, Ser A, GO
4.631%, 04/01/2033		1,500		1,889
Texas State, Private Activity Bond Surface Transportation, RB
3.922%, 12/31/2049		1,050		1,047
Texas State, Transportation Commission State Highway Fund, Ser B, RB
5.178%, 04/01/2030		1,525		1,943
University of Texas, RB
5.262%, 07/01/2039		4,540		6,434
				39,751
Virginia — 0.0%
Virginia Commonwealth University, Health System Authority, Ser A, RB
4.956%, 01/01/2044		475		589
Washington — 0.2%
Washington State, Build America Project, GO
5.140%, 08/01/2040		4,495		6,116
5.040%, 08/01/2031		1,260		1,575
				7,691
Total Municipal Bonds (Cost $235,353) ($ Thousands)				266,913
U.S. TREASURY OBLIGATIONS — 1.9%
U.S. Treasury Bills
0.271%, 09/10/2020 (B)(D)		1,131		1,130
U.S. Treasury Bonds
2.375%, 11/15/2049		4,155		5,136
2.250%, 08/15/2049 (D)		14,305		17,203

256 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value   ($ Thousands)
U.S. TREASURY OBLIGATIONS (continued)
2.000%, 02/15/2050	$	14,885	$	17,060
1.250%, 05/15/2050		18,935		18,219
U.S. Treasury Inflation-Protected Securities
1.000%, 02/15/2049		4,588		5,856
U.S. Treasury Notes
0.625%, 05/15/2030		11,040		11,016
Total U.S. Treasury Obligations (Cost $72,802) ($ Thousands)				75,620
SOVEREIGN DEBT — 0.5%
Abu Dhabi Government International Bond
3.875%, 04/16/2050 (A)		1,100		1,252
3.125%, 09/30/2049 (A)		955		958
Chile Government International Bond
3.500%, 01/25/2050		10,725		11,476
Israel Government International Bond
4.500%, 04/03/2120		520		632
4.125%, 01/17/2048		1,490		1,790
3.875%, 07/03/2050		1,010		1,155
Mexico Government International Bond
5.000%, 04/27/2051		1,755		1,885
Qatar Government International Bond
4.400%, 04/16/2050 (A)		1,615		1,920
State of Israel
3.375%, 01/15/2050		225		237
Total Sovereign Debt (Cost $19,458) ($ Thousands)				21,305
ASSET-BACKED SECURITY — 0.1%
Other Asset-Backed Security — 0.1%
American Tower Trust I, Ser 2013-13, Cl 2A
3.070%, 03/15/2048 (A)		3,034		3,105
Total Asset-Backed Security (Cost $2,963) ($ Thousands)				3,105

Description	Shares		Market Value   ($ Thousands)
CASH EQUIVALENT — 0.6%
SEI Daily Income Trust, Government Fund, Cl F
0.090%**†		24,757,447	$	24,757
Total Cash Equivalent (Cost $24,757) ($ Thousands)				24,757
Total Investments in Securities — 99.9% (Cost $3,518,037) ($ Thousands)			$	4,062,294

SEI Institutional Investments Trust / Annual Report / May 31, 2020 257

SCHEDULE OF INVESTMENTS

May 31, 2020

Long Duration Credit Fund(Concluded)

A list of the open futures contracts held by the Fund at May 31, 2020, is as follows:

Type of Contract	Number of Contracts Long/(Short)			Expiration   Date		Notional Amount (Thousands)			Value (Thousands)			Unrealized Appreciation (Depreciation) (Thousands)
U.S. 10-Year Treasury Notes		739			Sep-2020	$	102,641		$	102,767		$	126
U.S. Long Treasury Bond		(266	)		Sep-2020		(47,289	)		(47,448	)		(159	)
U.S. Ultra Long Treasury Bond		(3	)		Sep-2020		(649	)		(654	)		(5	)
U.S. Ultra Long Treasury Bond		99			Sep-2020		21,513			21,585			72
U.S. Ultra Long Treasury Bond		(95	)		Sep-2020		(20,768	)		(20,713	)		55
Ultra 10-Year U.S. Treasury Notes		203			Sep-2020		31,881			31,938			57
Ultra 10-Year U.S. Treasury Notes		(220	)		Sep-2020		(34,550	)		(34,612	)		(62	)
						$	52,779		$	52,863		$	84

Percentages are based on Net Assets of $4,066,898 ($ Thousands).

** The rate reported is the 7-day effective yield as of May 31, 2020.

^†  Investment in Affiliated Security (see Note 6).

(A) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On May 31, 2020, the value of these securities amounted to $291,704 ($ Thousands), representing 7.2% of the Net Assets of the Fund.

(B) Zero coupon security. The rate shown on the Schedule of Investments is the security’s effective yield at the time of purchase.

(C) Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets.

(D) Security, or portion thereof, has been pledged as collateral on open futures contracts.

AMT — Alternative Minimum Tax

Cl — Class

GO — General Obligation

ICE— Intercontinental Exchange

LIBOR— London Interbank Offered Rate

LLC — Limited Liability Company

Ltd. — Limited

MTN — Medium Term Note

PLC — Public Limited Company

RB — Revenue Bond

Ser — Series

TA — Tax Allocation

USD — United States Dollar

VAR — Variable Rate

The following is a list of the level of inputs used as of May 31, 2020, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Corporate Obligations		–		3,670,594		–		3,670,594
Municipal Bonds		–		266,913		–		266,913
U.S. Treasury Obligations		–		75,620		–		75,620
Sovereign Debt		–		21,305		–		21,305
Asset-Backed Security		–		3,105		–		3,105
Cash Equivalent		24,757		–		–		24,757
Total Investments in Securities		24,757		4,037,537		–		4,062,294

Other Financial Instruments	Level 1 ($)			Level 2 ($)		Level 3 ($)		Total ($)
Futures Contracts*
Unrealized Appreciation		310			–		–		310
Unrealized Depreciation		(226	)		–		–		(226	)
Total Other Financial Instruments		84			–		–		84

*Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument.

For the year ended May 31, 2020, there were no transfers in or out of Level 3.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

The following is a summary of the Fund’s transactions with affiliates for the year ended May 31, 2020 ($ Thousands):

Security Description	Value 5/31/2019		Purchases at Cost		Proceeds from Sales			Realized Gain (Loss)	Change in Unrealized Appreciation (Depreciation)	Value 5/31/2020		Shares	Income		Capital Gains
SEI Daily Income Trust, Government Fund, Cl F		$52,203		$1,287,299		$(1,314,745	)	$—	$—		$24,757	24,757,447		$620	$—

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

258 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

May 31, 2020

Ultra Short Duration Bond Fund

 Sector Weightings (Unaudited)^†:

^†Percentages based on total investments

Description	Face Amount (Thousands)		Market Value   ($ Thousands)
CORPORATE OBLIGATIONS — 36.1%
Communication Services — 0.4%
AT&T Inc
2.305%, VAR ICE LIBOR USD 3 Month+0.930%, 06/30/2020	$	1,250	$	1,251
Comcast
1.763%, VAR ICE LIBOR USD 3 Month+0.330%, 10/01/2020		800		801
Fox
3.666%, 01/25/2022		120		125
				2,177
Consumer Discretionary — 1.7%
Daimler Finance North America LLC
0.808%, VAR ICE LIBOR USD 3 Month+0.450%, 02/22/2021 (A)		500		493
Ford Motor Credit LLC
3.157%, 08/04/2020		950		949
2.645%, VAR ICE LIBOR USD 3 Month+1.270%, 03/28/2022		750		683
General Motors
1.274%, VAR ICE LIBOR USD 3 Month+0.800%, 08/07/2020		969		963
Hyundai Capital America
2.292%, VAR ICE LIBOR USD 3 Month+0.940%, 07/08/2021 (A)		725		707
Marriott International
1.649%, VAR ICE LIBOR USD 3 Month+0.650%, 03/08/2021		575		559
0.950%, VAR ICE LIBOR USD 3 Month+0.600%, 12/01/2020		800		790

Description	Face Amount (Thousands)		Market Value   ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Nissan Motor Acceptance MTN
2.201%, VAR ICE LIBOR USD 3 Month+0.890%, 01/13/2022 (A)	$	1,000	$	915
1.765%, VAR ICE LIBOR USD 3 Month+0.390%, 09/28/2020 (A)		850		835
Toyota Motor Credit MTN
1.150%, 05/26/2022		825		829
VF
2.050%, 04/23/2022		850		868
Volkswagen Group of America Finance LLC
1.375%, VAR ICE LIBOR USD 3 Month+0.940%, 11/12/2021 (A)		1,150		1,132
				9,723
Consumer Staples — 1.8%
Anheuser-Busch InBev Finance
1.816%, VAR ICE LIBOR USD 3 Month+1.260%, 02/01/2021		800		804
BAT Capital
1.014%, VAR ICE LIBOR USD 3 Month+0.590%, 08/14/2020		2,200		2,200
BayCare Health System
2.460%, 11/15/2020		2,280		2,287
Bayer US Finance II LLC
3.500%, 06/25/2021 (A)		775		792
Cargill
1.375%, 07/23/2023 (A)		475		483
Conagra Brands
3.800%, 10/22/2021		575		598
ERAC USA Finance LLC, 171182
5.250%, 10/01/2020 (A)		1,198		1,211
Howard University
2.801%, 10/01/2023		575		588
2.638%, 10/01/2021		240		242
Kraft Heinz Foods
1.268%, VAR ICE LIBOR USD 3 Month+0.820%, 08/10/2022		850		833
Mondelez International
2.125%, 04/13/2023		130		134
OhioHealth
1.119%, 11/15/2021		455		455
				10,627
Energy — 2.9%
Enterprise Products Operating LLC
5.200%, 09/01/2020		1,400		1,416
Exxon Mobil
1.571%, 04/15/2023		2,695		2,770
Kinder Morgan
5.000%, 02/15/2021 (A)		2,000		2,035

SEI Institutional Investments Trust / Annual Report / May 31, 2020 259

SCHEDULE OF INVESTMENTS

May 31, 2020

Ultra Short Duration Bond Fund(Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
MPLX
2.099%, VAR ICE LIBOR USD 3 Month+1.100%, 09/09/2022	$	1,915	$	1,808
1.899%, VAR ICE LIBOR USD 3 Month+0.900%, 09/09/2021		345		334
Occidental Petroleum
2.600%, 08/13/2021		2,080		2,003
1.684%, VAR ICE LIBOR USD 3 Month+1.250%, 08/13/2021		400		382
1.398%, VAR ICE LIBOR USD 3 Month+0.950%, 02/08/2021		400		385
Phillips 66
3.700%, 04/06/2023		455		485
0.960%, VAR ICE LIBOR USD 3 Month+0.600%, 02/26/2021		665		663
Pioneer Natural Resource
3.450%, 01/15/2021		1,250		1,257
Sabine Pass Liquefaction LLC
5.625%, 02/01/2021		360		367
Saudi Arabian Oil MTN
2.750%, 04/16/2022 (A)		2,290		2,336
Schlumberger Finance Canada
2.200%, 11/20/2020 (A)		600		599
Valero Energy Corp
2.700%, 04/15/2023		375		388
				17,228
Financials — 21.7%
ABN AMRO Bank MTN
1.545%, VAR ICE LIBOR USD 3 Month+0.410%, 01/19/2021 (A)		950		951
AIG Global Funding
1.931%, VAR ICE LIBOR USD 3 Month+0.480%, 07/02/2020 (A)		1,200		1,201
Aon
2.200%, 11/15/2022		55		57
Assurant
2.482%, VAR ICE LIBOR USD 3 Month+1.250%, 03/26/2021		127		126
Banc of America Commercial Mortgage Securities Trust
2.723%, 07/15/2049		400		401
Bank of America
1.423%, VAR ICE LIBOR USD 3 Month+0.380%, 01/23/2022		1,200		1,194
Bank of America MTN
5.625%, 07/01/2020		2,800		2,812
2.295%, VAR ICE LIBOR USD 3 Month+1.160%, 01/20/2023		700		702
1.866%, VAR ICE LIBOR USD 3 Month+0.650%, 06/25/2022		1,900		1,891

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
1.486%, VAR United States Secured Overnight Financing Rate+1.460%, 05/19/2024	$	475	$	483
Bank of Montreal MTN
1.181%, VAR ICE LIBOR USD 3 Month+0.440%, 06/15/2020		2,265		2,265
0.837%, VAR United States Secured Overnight Financing Rate+0.680%, 03/10/2023		2,165		2,119
Bank of New York Mellon MTN
1.950%, 08/23/2022		375		387
Bank of Nova Scotia
1.639%, VAR ICE LIBOR USD 3 Month+0.640%, 03/07/2022		800		801
Banque Federative du Credit Mutuel
1.625%, VAR ICE LIBOR USD 3 Month+0.490%, 07/20/2020 (A)		875		877
Barclays Bank
1.700%, 05/12/2022		350		354
BBVA USA
1.498%, VAR ICE LIBOR USD 3 Month+0.730%, 06/11/2021		875		867
BPCE
2.650%, 02/03/2021		725		734
BPCE MTN
1.578%, VAR ICE LIBOR USD 3 Month+1.220%, 05/22/2022 (A)		675		674
Canadian Imperial Bank of Commerce
2.100%, 10/05/2020		1,705		1,715
0.871%, VAR ICE LIBOR USD 3 Month+0.315%, 02/02/2021		2,650		2,654
0.842%, VAR United States Secured Overnight Financing Rate+0.800%, 03/17/2023		700		685
Capital One Bank USA
2.014%, VAR United States Secured Overnight Financing Rate+0.616%, 01/27/2023		575		576
Capital One Financial
1.210%, VAR ICE LIBOR USD 3 Month+0.450%, 10/30/2020		725		725
Charles Schwab
0.694%, VAR ICE LIBOR USD 3 Month+0.320%, 05/21/2021		720		720
Citibank
1.284%, VAR ICE LIBOR USD 3 Month+0.500%, 06/12/2020		600		600
0.785%, VAR ICE LIBOR USD 3 Month+0.350%, 02/12/2021		1,000		1,001
Citigroup
2.650%, 10/26/2020		610		615
2.069%, VAR ICE LIBOR USD 3 Month+1.070%, 12/08/2021		595		597

260 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
0.926%, VAR United States Secured Overnight Financing Rate+0.870%, 11/04/2022	$	3,130	$	3,087
Citizens Bank
1.170%, VAR ICE LIBOR USD 3 Month+0.810%, 05/26/2022		1,250		1,242
1.144%, VAR ICE LIBOR USD 3 Month+0.720%, 02/14/2022		800		792
Cooperatieve Rabobank UA
3.125%, 04/26/2021		1,825		1,869
2.141%, VAR ICE LIBOR USD 3 Month+0.830%, 01/10/2022		1,350		1,360
1.421%, VAR ICE LIBOR USD 3 Month+0.430%, 04/26/2021		1,301		1,303
Credit Agricole MTN
1.866%, VAR ICE LIBOR USD 3 Month+0.970%, 06/10/2020 (A)		500		500
Credit Suisse Group Funding Guernsey
3.125%, 12/10/2020		1,175		1,189
Credit Suisse NY
2.100%, 11/12/2021		915		933
1.202%, VAR United States Secured Overnight Financing Rate+0.450%, 02/04/2022		3,165		3,126
Credit Suisse NY MTN
4.375%, 08/05/2020		725		730
Danske Bank
5.000%, 01/12/2022 (A)		850		890
3.001%, VAR ICE LIBOR USD 3 Month+1.249%, 09/20/2022 (A)		800		808
Deutsche Bank NY
2.700%, 07/13/2020		1,700		1,700
1.913%, VAR ICE LIBOR USD 3 Month+0.815%, 01/22/2021		750		737
DNB Bank
1.821%, VAR ICE LIBOR USD 3 Month+0.370%, 10/02/2020 (A)		875		877
Fifth Third Bank
1.431%, VAR ICE LIBOR USD 3 Month+0.440%, 07/26/2021		600		599
1.010%, VAR ICE LIBOR USD 3 Month+0.250%, 10/30/2020		1,250		1,250
Fifth Third Bank MTN
1.800%, 01/30/2023		250		255
Goldman Sachs Bank
3.200%, 06/05/2020		2,050		2,050
Goldman Sachs Group
5.750%, 01/24/2022		1,345		1,448
2.101%, VAR ICE LIBOR USD 3 Month+1.110%, 04/26/2022		900		901
1.941%, VAR ICE LIBOR USD 3 Month+1.200%, 09/15/2020		2,500		2,505

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
HSBC Holdings
1.434%, VAR ICE LIBOR USD 3 Month+0.650%, 09/11/2021	$	825	$	825
HSBC USA
2.750%, 08/07/2020		1,100		1,104
Jackson National Life Global Funding
2.250%, 04/29/2021 (A)		525		531
1.248%, VAR ICE LIBOR USD 3 Month+0.480%, 06/11/2021 (A)		1,620		1,613
JPMorgan Chase
4.500%, 01/24/2022		4,810		5,113
2.550%, 10/29/2020		950		957
2.046%, VAR ICE LIBOR USD 3 Month+1.205%, 10/29/2020		396		397
KeyBank
1.347%, VAR ICE LIBOR USD 3 Month+0.660%, 02/01/2022		2,250		2,239
1.168%, VAR ICE LIBOR USD 3 Month+0.810%, 11/22/2021		1,300		1,305
KeyCorp MTN
2.900%, 09/15/2020		2,400		2,416
Manufacturers & Traders Trust
1.261%, VAR ICE LIBOR USD 3 Month+0.270%, 01/25/2021		1,950		1,951
0.996%, VAR ICE LIBOR USD 3 Month+0.610%, 05/18/2022		1,250		1,241
Marsh & McLennan
3.500%, 12/29/2020		170		173
MassMutual Global Funding II
1.379%, VAR ICE LIBOR USD 3 Month+0.125%, 03/04/2021 (A)		1,000		998
Metropolitan Life Global Funding I MTN
0.616%, VAR United States Secured Overnight Financing Rate+0.570%, 01/13/2023 (A)		825		806
Mizuho Financial Group
0.990%, VAR ICE LIBOR USD 3 Month+0.630%, 05/25/2024		1,200		1,157
Morgan Stanley
2.315%, VAR ICE LIBOR USD 3 Month+1.180%, 01/20/2022		3,300		3,311
Morgan Stanley MTN
2.750%, 05/19/2022		2,170		2,252
0.751%, VAR United States Secured Overnight Financing Rate+0.700%, 01/20/2023		1,175		1,151
MUFG Union Bank
1.599%, VAR ICE LIBOR USD 3 Month+0.600%, 03/07/2022		1,750		1,736
National Australia Bank
1.875%, 12/13/2022		350		359
Nationwide Building Society
2.000%, 01/27/2023 (A)		600		613

SEI Institutional Investments Trust / Annual Report / May 31, 2020 261

SCHEDULE OF INVESTMENTS

May 31, 2020

Ultra Short Duration Bond Fund(Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
New York Life Global Funding
1.593%, VAR ICE LIBOR USD 3 Month+0.160%, 10/01/2020 (A)	$	860	$	861
PNC Bank
1.743%, VAR ICE LIBOR USD 3 Month0.000%, 02/24/2023		850		861
1.429%, VAR ICE LIBOR USD 3 Month+0.430%, 12/09/2022		700		690
0.685%, VAR ICE LIBOR USD 3 Month+0.325%, 02/24/2023		2,950		2,915
Regions Bank
0.934%, VAR ICE LIBOR USD 3 Month+0.500%, 08/13/2021		600		596
Royal Bank of Canada
2.100%, 10/14/2020		545		548
1.311%, 04/29/2022		2,500		2,501
Royal Bank of Canada MTN
1.150%, VAR ICE LIBOR USD 3 Month+0.390%, 04/30/2021		810		813
Santander UK
2.100%, 01/13/2023		360		370
0.970%, VAR ICE LIBOR USD 3 Month+0.620%, 06/01/2021		850		852
Standard Chartered
2.744%, VAR ICE LIBOR USD 3 Month+1.200%, 09/10/2022 (A)		780		784
State Street
2.825%, VAR United States Secured Overnight Financing Rate+2.690%, 03/30/2023 (A)		1,265		1,308
Svenska Handelsbanken MTN
3.350%, 05/24/2021		1,460		1,502
0.830%, VAR ICE LIBOR USD 3 Month+0.470%, 05/24/2021		850		852
Toronto-Dominion Bank MTN
1.198%, VAR ICE LIBOR USD 3 Month+0.430%, 06/11/2021		2,961		2,964
0.532%, VAR United States Secured Overnight Financing Rate+0.480%, 01/27/2023		2,055		2,010
Truist Financial MTN
1.311%, VAR ICE LIBOR USD 3 Month+0.570%, 06/15/2020		650		650
UBS
2.450%, 12/01/2020 (A)		1,700		1,715
1.750%, 04/21/2022 (A)		1,200		1,219
0.830%, VAR ICE LIBOR USD 3 Month+0.480%, 12/01/2020 (A)		1,000		1,002
UniCredit MTN
6.572%, 01/14/2022 (A)		515		537
US Bank
0.866%, VAR ICE LIBOR USD 3 Month+0.310%, 02/04/2021		1,800		1,798

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
USAA Capital
1.500%, 05/01/2023 (A)	$	890	$	906
Wells Fargo
2.500%, 03/04/2021		950		964
2.130%, VAR ICE LIBOR USD 3 Month+1.110%, 01/24/2023		700		699
2.016%, 07/26/2021		1,799		1,812
Wells Fargo MTN
2.600%, 07/22/2020		2,450		2,457
				125,369
Health Care — 2.9%
AbbVie
4.875%, 02/15/2021 (A)		1,800		1,838
1.024%, VAR ICE LIBOR USD 3 Month+0.650%, 11/21/2022 (A)		800		794
0.841%, VAR ICE LIBOR USD 3 Month+0.460%, 11/19/2021 (A)		2,165		2,152
Anthem
2.950%, 12/01/2022		925		972
2.500%, 11/21/2020		900		908
Becton Dickinson
2.250%, VAR ICE LIBOR USD 3 Month+0.875%, 12/29/2020		713		713
Bristol-Myers Squibb
3.250%, 02/20/2023 (A)		675		720
2.550%, 05/14/2021 (A)		1,600		1,633
Cardinal Health
1.511%, VAR ICE LIBOR USD 3 Month+0.770%, 06/15/2022		1,200		1,177
Cigna
3.200%, 09/17/2020		2,795		2,815
1.493%, VAR ICE LIBOR USD 3 Month+0.650%, 09/17/2021		600		597
CVS Health
1.719%, VAR ICE LIBOR USD 3 Month+0.720%, 03/09/2021		820		821
McKesson
3.650%, 11/30/2020		455		461
Sutter Health
2.286%, 08/15/2053		450		451
UnitedHealth Group
1.289%, VAR ICE LIBOR USD 3 Month+0.070%, 10/15/2020		800		800
				16,852
Industrials — 1.7%
Aviation Capital Group LLC
1.430%, VAR ICE LIBOR USD 3 Month+0.670%, 07/30/2021 (A)		945		876

262 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Caterpillar Financial Services MTN
1.279%, VAR ICE LIBOR USD 3 Month+0.280%, 09/07/2021	$	2,650	$	2,645
DAE Funding LLC
5.250%, 11/15/2021 (A)		850		799
Equifax
1.262%, VAR ICE LIBOR USD 3 Month+0.870%, 08/15/2021		735		726
GE Capital International Funding Unlimited
2.342%, 11/15/2020		800		805
Otis Worldwide
2.088%, VAR ICE LIBOR USD 3 Month+0.450%, 04/05/2023 (A)		3,165		3,123
PACCAR Financial MTN
0.708%, VAR ICE LIBOR USD 3 Month+0.260%, 05/10/2021		400		399
Penske Truck Leasing LP
3.650%, 07/29/2021 (A)		575		584
				9,957
Information Technology — 0.8%
Broadcom
3.125%, 04/15/2021 (A)		1,150		1,159
Hewlett Packard Enterprise
2.093%, VAR ICE LIBOR USD 3 Month+0.720%, 10/05/2021		600		593
1.464%, VAR ICE LIBOR USD 3 Month+0.680%, 03/12/2021		1,150		1,143
IBM Credit LLC
0.833%, VAR ICE LIBOR USD 3 Month+0.470%, 11/30/2020		1,670		1,673
				4,568
Materials — 0.2%
DuPont de Nemours
3.766%, 11/15/2020		695		705
International Flavors & Fragrances
3.400%, 09/25/2020		380		381
				1,086
Sovereign — 0.8%
Inter-American Development Bank
1.799%, VAR United States Secured Overnight Financing Rate+0.260%, 09/16/2022		2,300		2,290
Inter-American Development Bank MTN
1.419%, VAR ICE LIBOR USD 3 Month+0.200%, 07/15/2021		2,440		2,445
				4,735

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Utilities — 1.2%
American Electric Power
2.150%, 11/13/2020	$	750	$	754
Consolidated Edison of New York
1.616%, VAR ICE LIBOR USD 3 Month+0.400%, 06/25/2021		3,195		3,192
Dominion Energy
2.715%, 08/15/2021		155		157
2.450%, 01/15/2023 (A)		800		828
Duke Energy Progress LLC
1.179%, VAR ICE LIBOR USD 3 Month+0.180%, 09/08/2020		800		799
Duquesne Light Holdings
6.400%, 09/15/2020 (A)		1,575		1,601
				7,331
Total Corporate Obligations (Cost $209,771) ($ Thousands)				209,653
ASSET-BACKED SECURITIES — 27.0%
Automotive — 11.8%
American Credit Acceptance Receivables Trust, Ser 2019-2, Cl A
2.850%, 07/12/2022 (A)		90		90
American Credit Acceptance Receivables Trust, Ser 2019-3, Cl A
2.440%, 12/12/2022 (A)		374		375
American Credit Acceptance Receivables Trust, Ser 2019-4, Cl A
2.180%, 02/13/2023 (A)		537		539
American Credit Acceptance Receivables Trust, Ser 2020-1, Cl A
1.890%, 04/13/2023 (A)		561		563
AmeriCredit Automobile Receivables Trust, Ser 2016-2, Cl C
2.870%, 11/08/2021		174		174
ARI Fleet Lease Trust, Ser 2017-A, Cl A2
1.910%, 04/15/2026 (A)		23		23
ARI Fleet Lease Trust, Ser 2018-A, Cl A2
2.550%, 10/15/2026 (A)		94		94
ARI Fleet Lease Trust, Ser 2020-A, Cl A2
1.770%, 08/15/2028 (A)		865		867
Canadian Pacer Auto Receivables Trust, Ser 2020-1A, Cl A2A
1.770%, 11/21/2022 (A)		1,035		1,040
CarMax Auto Owner Trust, Ser 2017-1, Cl A3
1.980%, 11/15/2021		1,038		1,039
CarMax Auto Owner Trust, Ser 2018-3, Cl A2A
2.880%, 10/15/2021		46		46
Carmax Auto Owner Trust, Ser 2019-1, Cl A3
3.050%, 03/15/2024		1,050		1,082

SEI Institutional Investments Trust / Annual Report / May 31, 2020 263

SCHEDULE OF INVESTMENTS

May 31, 2020

Ultra Short Duration Bond Fund(Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
CarMax Auto Owner Trust, Ser 2019-2, Cl A2A
2.690%, 07/15/2022	$	322	$	324
CarMax Auto Owner Trust, Ser 2019-3, Cl A2A
2.210%, 12/15/2022		412		415
Carmax Auto Owner Trust, Ser 2019-4, Cl A2A
2.010%, 03/15/2023		2,185		2,201
CarMax Auto Owner Trust, Ser 2020-1, Cl A2
1.870%, 04/17/2023		780		788
Carvana Auto Receivables Trust, Ser 2019- 4A, Cl A2
2.200%, 07/15/2022 (A)		450		451
Chesapeake Funding II LLC, Ser 2017-2A, Cl A1
1.990%, 05/15/2029 (A)		115		115
Chesapeake Funding II LLC, Ser 2017-3A, Cl A1
1.910%, 08/15/2029 (A)		141		142
Chesapeake Funding II LLC, Ser 2017-3A, Cl A2
0.524%, VAR ICE LIBOR USD 1 Month+0.340%, 08/15/2029 (A)		370		369
Chesapeake Funding II LLC, Ser 2017-4A, Cl A1
2.120%, 11/15/2029 (A)		211		212
Chesapeake Funding II LLC, Ser 2017-4A, Cl A2
0.494%, VAR ICE LIBOR USD 1 Month+0.310%, 11/15/2029 (A)		863		860
Chesapeake Funding II LLC, Ser 2018-2A, Cl A2
0.554%, VAR ICE LIBOR USD 1 Month+0.370%, 08/15/2030 (A)		489		480
Chesapeake Funding II LLC, Ser 2018-3A, Cl A1
3.390%, 01/15/2031 (A)		531		544
Chesapeake Funding II LLC, Ser 2019-2A, Cl A1
1.950%, 09/15/2031 (A)		1,314		1,316
CIG Auto Receivables Trust, Ser 2017-1A, Cl A
2.710%, 05/15/2023 (A)		16		16
CPS Auto Receivables Trust, Ser 2019-B, Cl A
2.890%, 05/16/2022 (A)		103		103
CPS Auto Receivables Trust, Ser 2019-C, Cl A
2.550%, 09/15/2022 (A)		311		313
CPS Auto Receivables Trust, Ser 2019-D, Cl A
2.170%, 12/15/2022 (A)		386		387
CPS Auto Receivables Trust, Ser 2020-A, Cl A
2.090%, 05/15/2023 (A)		526		527
Credit Acceptance Auto Loan Trust, Ser 2017- 2A, Cl A
2.550%, 02/17/2026 (A)		50		50

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Credit Acceptance Auto Loan Trust, Ser 2017- 3A, Cl A
2.650%, 06/15/2026 (A)	$	373	$	373
Credit Acceptance Auto Loan Trust, Ser 2018- 1A, Cl A
3.010%, 02/16/2027 (A)		342		343
Credit Acceptance Auto Loan Trust, Ser 2019- 3A, Cl A
2.380%, 11/15/2028 (A)		500		496
Credit Acceptance Auto Loan Trust, Ser 2020- 1A, Cl A
2.010%, 02/15/2029 (A)		310		308
Drive Auto Receivables Trust, Ser 2017-3, Cl D
3.530%, 12/15/2023 (A)		976		987
Drive Auto Receivables Trust, Ser 2019-2, Cl A3
3.040%, 03/15/2023		280		281
Drive Auto Receivables Trust, Ser 2019-4, Cl A2A
2.320%, 06/15/2022		178		178
Drive Auto Receivables Trust, Ser 2019-4, Cl B
2.230%, 01/16/2024		870		874
Drive Auto Receivables Trust, Ser 2020-1, Cl A3
2.020%, 11/15/2023		535		539
DT Auto Owner Trust, Ser 2018-3A, Cl A
3.020%, 02/15/2022 (A)		80		80
DT Auto Owner Trust, Ser 2018-3A, Cl B
3.560%, 09/15/2022 (A)		975		983
DT Auto Owner Trust, Ser 2019-3A, Cl A
2.550%, 08/15/2022 (A)		269		270
DT Auto Owner Trust, Ser 2019-4A, Cl A
2.170%, 05/15/2023 (A)		1,575		1,582
DT Auto Owner Trust, Ser 2020-1A, Cl A
1.940%, 09/15/2023 (A)		337		338
Enterprise Fleet Financing LLC, Ser 2017-1, Cl A3
2.600%, 07/20/2022 (A)		793		794
Enterprise Fleet Financing LLC, Ser 2017-2, Cl A2
1.970%, 01/20/2023 (A)		5		5
Enterprise Fleet Financing LLC, Ser 2018-2, Cl A2
3.140%, 02/20/2024 (A)		1,009		1,018
Enterprise Fleet Financing LLC, Ser 2019-1, Cl A2
2.980%, 10/20/2024 (A)		973		986
Enterprise Fleet Financing LLC, Ser 2019-2, Cl A2
2.290%, 02/20/2025 (A)		781		785

264 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Enterprise Fleet Financing LLC, Ser 2020-1, Cl A1
1.690%, 02/22/2021 (A)	$	535	$	535
Exeter Automobile Receivables Trust, Ser 2019-1A, Cl A
3.200%, 04/15/2022 (A)		7		7
Exeter Automobile Receivables Trust, Ser 2019-3A, Cl A
2.590%, 09/15/2022 (A)		158		159
Exeter Automobile Receivables Trust, Ser 2019-4A, Cl A
2.180%, 01/17/2023 (A)		529		531
Exeter Automobile Receivables Trust, Ser 2019-4A, Cl B
2.300%, 12/15/2023 (A)		1,150		1,150
Exeter Automobile Receivables Trust, Ser 2020-1A, Cl A
2.050%, 06/15/2023 (A)		411		413
First Investors Auto Owner Trust, Ser 2019- 1A, Cl A
2.890%, 03/15/2024 (A)		156		157
First Investors Auto Owner Trust, Ser 2019- 2A, Cl A
2.210%, 09/16/2024 (A)		607		612
Flagship Credit Auto Trust, Ser 2018-3, Cl A
3.070%, 02/15/2023 (A)		175		176
Flagship Credit Auto Trust, Ser 2018-4, Cl A
3.410%, 05/15/2023 (A)		408		413
Flagship Credit Auto Trust, Ser 2019-1, Cl A
3.110%, 08/15/2023 (A)		217		220
Flagship Credit Auto Trust, Ser 2019-2, Cl A
2.830%, 10/16/2023 (A)		671		681
Flagship Credit Auto Trust, Ser 2019-4, Cl A
2.170%, 06/17/2024 (A)		612		616
Flagship Credit Auto Trust, Ser 2020-1, Cl A
1.900%, 08/15/2024 (A)		738		738
Ford Credit Auto Lease Trust, Ser 2019-B, Cl A2A
2.280%, 02/15/2022		588		591
Ford Credit Auto Lease Trust, Ser 2020-A, Cl A2
1.800%, 07/15/2022		520		524
Ford Credit Auto Owner Trust, Ser 2015-2, Cl A
2.440%, 01/15/2027 (A)		885		886
Ford Credit Auto Owner Trust, Ser 2016-1, Cl A
2.310%, 08/15/2027 (A)		3,200		3,224
Foursight Capital Automobile Receivables Trust, Ser 2020-1, Cl A2
1.970%, 09/15/2023 (A)		730		731

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
GLS Auto Receivables Issuer Trust, Ser 2019- 3A, Cl A
2.580%, 07/17/2023 (A)	$	453	$	457
GLS Auto Receivables Issuer Trust, Ser 2019- 4A, Cl A
2.470%, 11/15/2023 (A)		484		488
GLS Auto Receivables Issuer Trust, Ser 2020- 1A, Cl A
2.170%, 02/15/2024 (A)		597		598
GLS Auto Receivables Trust, Ser 2018-1A, Cl A
2.820%, 07/15/2022 (A)		157		158
GLS Auto Receivables Trust, Ser 2018-2A, Cl A
3.250%, 04/18/2022 (A)		50		50
GLS Auto Receivables Trust, Ser 2019-2A, Cl A
3.060%, 04/17/2023 (A)		365		369
GM Financial Automobile Leasing Trust, Ser 2019-3, Cl A3
2.030%, 06/20/2022		700		706
GM Financial Consumer Automobile Receivables Trust, Ser 2018-4, Cl A3
3.210%, 10/16/2023		900		923
Harley-Davidson Motorcycle Trust, Ser 2020- A, Cl A2A
1.830%, 01/17/2023		1,170		1,175
Hertz Fleet Lease Funding, Ser 2019-1, Cl A1
0.692%, VAR ICE LIBOR USD 1 Month+0.470%, 01/10/2033 (A)		876		876
Hertz Fleet Lease Funding, Ser 2019-1, Cl A2
2.700%, 01/10/2033 (A)		981		977
Honda Auto Receivables Owner Trust, Ser 2020-2, Cl A2
0.740%, 11/15/2022		220		220
Hyundai Auto Receivables Trust, Ser 2020-A, Cl A2
1.510%, 04/17/2023		1,275		1,287
Mercedes-Benz Auto Lease Trust, Ser 2019-A, Cl A3
3.100%, 11/15/2021		465		470
Mercedes-Benz Auto Lease Trust, Ser 2020- A, Cl A2
1.820%, 03/15/2022		295		296
Mercedes-Benz Auto Receivables Trust, Ser 2016-1, Cl A4
1.460%, 12/15/2022		568		569
Nissan Auto Lease Trust, Ser 2019-A, Cl A2
2.710%, 07/15/2021		318		320
Nissan Auto Lease Trust, Ser 2019-B, Cl A2A
2.270%, 10/15/2021		704		708
Nissan Auto Lease Trust, Ser 2020-A, Cl A2A
1.800%, 05/16/2022		680		685
Nissan Auto Receivables Owner Trust, Ser 2019-C, Cl A3
1.930%, 07/15/2024		573		587

SEI Institutional Investments Trust / Annual Report / May 31, 2020 265

SCHEDULE OF INVESTMENTS

May 31, 2020

Ultra Short Duration Bond Fund(Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Prestige Auto Receivables Trust, Ser 2019-1A, Cl A2
2.440%, 07/15/2022 (A)	$	559	$	561
Santander Consumer Auto Receivables Trust, Ser 2020-AA, Cl A
1.370%, 10/15/2024 (A)		600		600
Santander Drive Auto Receivables Trust, Ser 2016-3, Cl C
2.460%, 03/15/2022		103		103
Santander Retail Auto Lease Trust, Ser 2019- C, Cl A2A
1.890%, 09/20/2022 (A)		1,103		1,109
Securitized Term Auto Receivables Trust, Ser 2019-1A, Cl A3
2.986%, 02/27/2023 (A)		750		759
Tesla Auto Lease Trust, Ser 2018-B, Cl A
3.710%, 08/20/2021 (A)		1,459		1,482
Tesla Auto Lease Trust, Ser 2019-A, Cl A2
2.130%, 04/20/2022 (A)		2,275		2,290
Tidewater Auto Receivables Trust, Ser 2018- AA, Cl A2
3.120%, 07/15/2022 (A)		14		14
Tidewater Auto Receivables Trust, Ser 2020- AA, Cl A2
1.390%, 08/15/2024 (A)		1,700		1,689
Tidewater Auto Receivables Trust, Ser 2020- AA, Cl B
1.610%, 03/17/2025 (A)		1,005		977
Toyota Auto Receivables Owner Trust, Ser 2018-B, Cl A3
2.960%, 09/15/2022		295		300
Toyota Auto Receivables Owner Trust, Ser 2020-B, Cl A2
1.380%, 12/15/2022		740		745
United Auto Credit Securitization Trust, Ser 2019-1, Cl A
2.820%, 07/12/2021 (A)		122		123
Volkswagen Auto Lease Trust, Ser 2019-A, Cl A2A
2.000%, 03/21/2022		810		814
Volkswagen Auto Loan Enhanced Trust, Ser 2020-1, Cl A2A
0.930%, 12/20/2022		750		752
Westlake Automobile Receivables Trust, Ser 2017-2A, Cl D
3.280%, 12/15/2022 (A)		1,125		1,134
Westlake Automobile Receivables Trust, Ser 2019-2A, Cl A2B
0.654%, VAR ICE LIBOR USD 1 Month+0.470%, 02/15/2023 (A)		749		747
Westlake Automobile Receivables Trust, Ser 2019-3A, Cl A2
2.150%, 02/15/2023 (A)		720		723

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Westlake Automobile Receivables Trust, Ser 2019-3A, Cl B
2.410%, 10/15/2024 (A)	$	1,575	$	1,588
Wheels SPV 2 LLC, Ser 2018-1A, Cl A2
3.060%, 04/20/2027 (A)		110		110
World Omni Select Auto Trust, Ser 2018-1A, Cl B
3.680%, 07/15/2023 (A)		465		471
World Omni Select Auto Trust, Ser 2019-A, Cl A2A
2.060%, 08/15/2023		629		632
				68,771
Credit Cards — 2.2%
BA Credit Card Trust, Ser 2018-A1, Cl A1
2.700%, 07/17/2023		850		862
Capital One Multi-Asset Execution Trust, Ser 2016-A7, Cl A7
0.694%, VAR ICE LIBOR USD 1 Month+0.510%, 09/16/2024		1,250		1,253
Capital One Multi-Asset Execution Trust, Ser 2019-A2, Cl A2
1.720%, 08/15/2024		310		318
Chase Issuance Trust, Ser 2018-A1, Cl A1
0.384%, VAR ICE LIBOR USD 1 Month+0.200%, 04/17/2023		1,000		1,000
Evergreen Credit Card Trust, Ser 2019-2, Cl A
1.900%, 09/15/2024 (A)		535		536
Synchrony Card Funding LLC, Ser 2019-A1, Cl A
2.950%, 03/15/2025		1,690		1,732
Synchrony Credit Card Master Note Trust, Ser 2016-2, Cl A
2.210%, 05/15/2024		3,751		3,791
Synchrony Credit Card Master Note Trust, Ser 2018-1, Cl A
2.970%, 03/15/2024		710		719
Trillium Credit Card Trust II, Ser 2019-1A, Cl A
0.648%, VAR ICE LIBOR USD 1 Month+0.480%, 01/26/2024 (A)		1,100		1,100
Trillium Credit Card Trust II, Ser 2020-1A, Cl A
0.538%, VAR ICE LIBOR USD 1 Month+0.370%, 12/26/2024 (A)		1,065		1,060
				12,371
Mortgage Related Securities — 0.0%
Accredited Mortgage Loan Trust, Ser 2004-4, Cl A1A
0.848%, VAR ICE LIBOR USD 1 Month+0.680%, 01/25/2035		138		137

266 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Other Asset-Backed Securities — 13.0%
Ajax Mortgage Loan Trust, Ser 2017-B, Cl A
3.163%, 09/25/2056 (A)(B)	$	525	$	516
Ally Master Owner Trust, Ser 2018-2, Cl A
3.290%, 05/15/2023		1,055		1,075
Apidos CLO XII, Ser 2018-12A, Cl AR
2.299%, VAR ICE LIBOR USD 3 Month+1.080%, 04/15/2031 (A)		925		899
Atlas Senior Loan Fund IX LLC, Ser 2018-9A, Cl A
2.005%, VAR ICE LIBOR USD 3 Month+0.870%, 04/20/2028 (A)		1,366		1,341
Avant Loans Funding Trust, Ser 2019-A, Cl A
3.480%, 07/15/2022 (A)		157		156
Avant Loans Funding Trust, Ser 2019-B, Cl A
2.720%, 10/15/2026 (A)		507		503
Barings BDC Static CLO, Ser 2019-1A, Cl A1
2.239%, VAR ICE LIBOR USD 3 Month+1.020%, 04/15/2027 (A)		645		635
Bayview Opportunity Master Fund IVb Trust, Ser 2017-RT6, Cl A
3.500%, 10/28/2057 (A)(B)		459		465
BlueMountain CLO, Ser 2018-2A, Cl A1R
2.065%, VAR ICE LIBOR USD 3 Month+0.930%, 07/18/2027 (A)		1,267		1,239
Carlyle Global Market Strategies CLO, Ser 2017-2A, Cl AR
2.025%, VAR ICE LIBOR USD 3 Month+0.890%, 01/18/2029 (A)		335		328
Carlyle Global Market Strategies CLO, Ser 2018-1A, Cl A1R2
2.105%, VAR ICE LIBOR USD 3 Month+0.970%, 04/17/2031 (A)		998		960
Cloud Pass-Through Trust, Ser 2019-1A, Cl CLOU
3.554%, 12/05/2022 (A)(B)		801		812
CNH Equipment Trust, Ser 2019-C, Cl A2
1.990%, 03/15/2023		2,940		2,956
CNH Equipment Trust, Ser 2020-A, Cl A2
1.080%, 07/17/2023		1,070		1,070
Cole Park CLO, Ser 2018-1A, Cl AR
2.185%, VAR ICE LIBOR USD 3 Month+1.050%, 10/20/2028 (A)		1,150		1,130
Columbia Cent CLO, Ser 2018-27A, Cl A1
2.141%, VAR ICE LIBOR USD 3 Month+1.150%, 10/25/2028 (A)		720		708
Consumer Loan Underlying Bond CLUB Credit Trust, Ser 2020-P1, Cl A
2.260%, 03/15/2028 (A)		1,006		995

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Credit-Based Asset Servicing & Securitization LLC, Ser 2005-CB3, Cl M2
1.098%, VAR ICE LIBOR USD 1 Month+0.930%, 09/25/2034	$	152	$	151
Daimler Trucks Retail Trust, Ser 2019-1, Cl A2
2.770%, 04/15/2021 (A)		401		401
Dell Equipment Finance Trust, Ser 2019-1, Cl A2
2.780%, 08/23/2021 (A)		354		356
DLL LLC, Ser 2019-MT3, Cl A2
2.130%, 01/20/2022 (A)		1,125		1,131
GreatAmerica Leasing Receivables Funding LLC, Ser 2020-1, Cl A2
1.760%, 06/15/2022 (A)		915		916
HPEFS Equipment Trust, Ser 2019-1A, Cl A2
2.190%, 09/20/2029 (A)		1,968		1,977
HPEFS Equipment Trust, Ser 2020-1A, Cl A2
1.730%, 02/20/2030 (A)		490		490
John Deere Owner Trust, Ser 2019-B, Cl A2
2.280%, 05/16/2022		704		708
KKR CLO, Ser 2018-21, Cl A
2.219%, VAR ICE LIBOR USD 3 Month+1.000%, 04/15/2031 (A)		775		746
Kubota Credit Owner Trust, Ser 2020-1A, Cl A1
1.500%, 05/17/2021 (A)		299		299
Madison Park Funding XII, Ser 2017-12A, Cl AR
2.395%, VAR ICE LIBOR USD 3 Month+1.260%, 07/20/2026 (A)		71		71
Madison Park Funding XXX, Ser 2018-30A, Cl A
1.969%, VAR ICE LIBOR USD 3 Month+0.750%, 04/15/2029 (A)		1,350		1,315
Magnetite VII, Ser 2018-7A, Cl A1R2
2.019%, VAR ICE LIBOR USD 3 Month+0.800%, 01/15/2028 (A)		1,250		1,217
Magnetite VIII, Ser 2018-8A, Cl AR2
2.199%, VAR ICE LIBOR USD 3 Month+0.980%, 04/15/2031 (A)		685		668
Marlette Funding Trust, Ser 2018-4A, Cl A
3.710%, 12/15/2028 (A)		162		161
Marlette Funding Trust, Ser 2019-1A, Cl A
3.440%, 04/16/2029 (A)		586		580
Marlette Funding Trust, Ser 2019-2A, Cl A
3.130%, 07/16/2029 (A)		421		422
Marlette Funding Trust, Ser 2019-3A, Cl A
2.690%, 09/17/2029 (A)		491		490
Marlette Funding Trust, Ser 2019-4A, Cl A
2.390%, 12/17/2029 (A)		713		709
Marlette Funding Trust, Ser 2020-1A, Cl A
2.240%, 03/15/2030 (A)		263		262

SEI Institutional Investments Trust / Annual Report / May 31, 2020 267

SCHEDULE OF INVESTMENTS

May 31, 2020

Ultra Short Duration Bond Fund(Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Mercedes-Benz Master Owner Trust, Ser 2019-AA, Cl A
0.534%, VAR ICE LIBOR USD 1 Month+0.350%, 05/15/2023 (A)	$	1,405	$	1,384
MetLife Securitization Trust, Ser 2017-1A, Cl A
3.000%, 04/25/2055 (A)(B)		244		251
Mill City Mortgage Loan Trust, Ser 2017-3, Cl A1
2.750%, 01/25/2061 (A)(B)		462		470
Mill City Mortgage Trust, Ser 2015-2, Cl A2
3.000%, 09/25/2057 (A)(B)		450		454
MMAF Equipment Finance LLC, Ser 2017-AA, Cl A3
2.040%, 02/16/2022 (A)		124		124
MMAF Equipment Finance LLC, Ser 2019-B, Cl A2
2.070%, 10/12/2022 (A)		415		418
Morgan Stanley Capital 1 Trust, Ser 2012- STAR, Cl A1
2.084%, 08/05/2034 (A)		99		98
Nationstar HECM Loan Trust, Ser 2018-2A, Cl A
3.188%, 07/25/2028 (A)(B)		40		40
Nationstar HECM Loan Trust, Ser 2019-1A, Cl A
2.651%, 06/25/2029 (A)(B)		151		151
Nationstar HECM Loan Trust, Ser 2019-2A, Cl A
2.272%, 11/25/2029 (A)(B)		231		231
Navient Private Education Refi Loan Trust, Ser 2019-FA, Cl A1
2.180%, 08/15/2068 (A)		1,498		1,505
Navient Private Education Refi Loan Trust, Ser 2020-BA, Cl A1
1.800%, 01/15/2069 (A)		1,240		1,242
Navient Student Loan Trust, Ser 2018-1A, Cl A2
0.518%, VAR ICE LIBOR USD 1 Month+0.350%, 03/25/2067 (A)		647		641
Navient Student Loan Trust, Ser 2019-2A, Cl A1
0.438%, VAR ICE LIBOR USD 1 Month+0.270%, 02/27/2068 (A)		390		388
Navistar Financial Dealer Note Master Owner Trust II, Ser 2019-1, Cl A
0.808%, VAR ICE LIBOR USD 1 Month+0.640%, 05/25/2024 (A)		1,600		1,573
New Residential Advance Receivables Trust Advance Receivables Backed, Ser 2019- T5, Cl AT5
2.425%, 10/15/2051 (A)		575		570

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
New Residential Mortgage LLC, Ser 2018- FNT2, Cl A
3.790%, 07/25/2054 (A)	$	519	$	501
NextGear Floorplan Master Owner Trust, Ser 2017-2A, Cl A1
0.864%, VAR ICE LIBOR USD 1 Month+0.680%, 10/17/2022 (A)		1,530		1,517
NextGear Floorplan Master Owner Trust, Ser 2019-1A, Cl A1
0.834%, VAR ICE LIBOR USD 1 Month+0.650%, 02/15/2024 (A)		1,140		1,088
NextGear Floorplan Master Owner Trust, Ser 2020-1A, Cl A1
0.984%, VAR ICE LIBOR USD 1 Month+0.800%, 02/15/2025 (A)		1,830		1,701
Nissan Master Owner Trust Receivables, Ser 2019-A, Cl A
0.744%, VAR ICE LIBOR USD 1 Month+0.560%, 02/15/2024		1,075		1,059
NRZ Excess Spread-Collateralized Notes, Ser 2018-PLS1, Cl A
3.193%, 01/25/2023 (A)		361		362
NRZ Excess Spread-Collateralized Notes, Ser 2018-PLS2, Cl A
3.265%, 02/25/2023 (A)		227		228
NYCTL Trust, Ser 2018-A, Cl A
3.220%, 11/10/2031 (A)		372		374
NYCTL Trust, Ser 2019-A, Cl A
2.190%, 11/10/2032 (A)		496		498
Ocean Trails CLO IV, Ser 2013-4A, Cl AR
1.334%, VAR ICE LIBOR USD 3 Month+0.900%, 08/13/2025 (A)		47		47
OCP CLO, Ser 2017-8A, Cl A1R
1.985%, VAR ICE LIBOR USD 3 Month+0.850%, 04/17/2027 (A)		269		265
OnDeck Asset Securitization Trust II LLC, Ser 2019-1A, Cl A
2.650%, 11/18/2024 (A)		667		667
OneMain Financial Issuance Trust, Ser 2016- 1A, Cl B
4.570%, 02/20/2029 (A)		219		219
Onemain Financial Issuance Trust, Ser 2018- 1A, Cl A
3.300%, 03/14/2029 (A)		395		399
OneMain Financial Issuance Trust, Ser 2019- 1A, Cl A
3.480%, 02/14/2031 (A)		800		809
OZLM VII, Ser 2018-7RA, Cl A1R
2.145%, VAR ICE LIBOR USD 3 Month+1.010%, 07/17/2029 (A)		957		934
OZLM XII, Ser 2018-12A, Cl A1R
1.810%, VAR ICE LIBOR USD 3 Month+1.050%, 04/30/2027 (A)		650		641

268 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Palmer Square CLO, Ser 2018-3A, Cl A2
1.742%, VAR ICE LIBOR USD 3 Month+1.350%, 08/15/2026 (A)	$	820	$	797
PFS Financing, Ser 2017-BA, Cl A2
2.220%, 07/15/2022 (A)		500		500
PRPM LLC, Ser 2018-1A, Cl A1
3.750%, 04/25/2023 (A)(B)		267		256
Regional Management Issuance Trust, Ser 2018-1, Cl A
3.830%, 07/15/2027 (A)		470		461
Regional Management Issuance Trust, Ser 2019-1, Cl A
3.050%, 11/15/2028 (A)		175		164
RMF Buyout Issuance Trust, Ser 2019-1, Cl A
2.475%, 07/25/2029 (A)(B)		354		354
Shackleton CLO, Ser 2018-6RA, Cl A
2.155%, VAR ICE LIBOR USD 3 Month+1.020%, 07/17/2028 (A)		713		700
SLM Student Loan Trust, Ser 2007-6, Cl A4
1.371%, VAR ICE LIBOR USD 3 Month+0.380%, 10/25/2024		606		604
SLM Student Loan Trust, Ser 2011-1, Cl A1
0.688%, VAR ICE LIBOR USD 1 Month+0.520%, 03/25/2026		18		18
SMB Private Education Loan Trust, Ser 2020- A, Cl A1
1.114%, VAR ICE LIBOR USD 1 Month+0.300%, 03/15/2027 (A)		1,324		1,312
SoFi Consumer Loan Program LLC, Ser 2016- 2A, Cl A
3.090%, 10/27/2025 (A)		78		78
SoFi Consumer Loan Program LLC, Ser 2016- 3, Cl A
3.050%, 12/26/2025 (A)		74		74
SoFi Consumer Loan Program LLC, Ser 2017- 1, Cl A
3.280%, 01/26/2026 (A)		140		140
SoFi Consumer Loan Program Trust, Ser 2019-1, Cl A
3.240%, 02/25/2028 (A)		718		724
SoFi Consumer Loan Program Trust, Ser 2019-2, Cl A
3.010%, 04/25/2028 (A)		538		544
SoFi Consumer Loan Program Trust, Ser 2019-3, Cl A
2.900%, 05/25/2028 (A)		1,284		1,297
SoFi Consumer Loan Program Trust, Ser 2019-4, Cl A
2.450%, 08/25/2028 (A)		2,031		2,027
SoFi Consumer Loan Program Trust, Ser 2020-1, Cl A
2.020%, 01/25/2029 (A)		1,332		1,330

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
SoFi Professional Loan Program Trust, Ser 2020-A, Cl A1FX
2.060%, 05/15/2046 (A)	$	2,019	$	2,029
Springleaf Funding Trust, Ser 2016-AA, Cl A
2.900%, 11/15/2029 (A)		87		87
Symphony CLO XIV, Ser 2019-14A, Cl AR
2.261%, VAR ICE LIBOR USD 3 Month+0.950%, 07/14/2026 (A)		992		975
Towd Point Mortgage Trust, Ser 2015-2, Cl 2A11
3.000%, 11/25/2057 (A)(B)		169		169
Towd Point Mortgage Trust, Ser 2015-4, Cl A1B
2.750%, 04/25/2055 (A)(B)		90		91
Towd Point Mortgage Trust, Ser 2015-5, Cl A1B
2.750%, 05/25/2055 (A)(B)		100		101
Towd Point Mortgage Trust, Ser 2016-1, Cl A1B
2.750%, 02/25/2055 (A)(B)		100		101
Towd Point Mortgage Trust, Ser 2016-3, Cl A1
2.250%, 04/25/2056 (A)(B)		219		220
Towd Point Mortgage Trust, Ser 2016-4, Cl A1
2.250%, 07/25/2056 (A)(B)		367		369
Towd Point Mortgage Trust, Ser 2017-1, Cl A1
2.750%, 10/25/2056 (A)(B)		1,354		1,374
Towd Point Mortgage Trust, Ser 2017-2, Cl A1
2.750%, 04/25/2057 (A)(B)		1,303		1,322
Towd Point Mortgage Trust, Ser 2017-4, Cl A1
2.750%, 06/25/2057 (A)(B)		308		315
Towd Point Mortgage Trust, Ser 2017-5, Cl A1
0.768%, VAR ICE LIBOR USD 1 Month+0.600%, 02/25/2057 (A)		729		717
Towd Point Mortgage Trust, Ser 2017-6, Cl A1
2.750%, 10/25/2057 (A)(B)		247		253
Towd Point Mortgage Trust, Ser 2019-HY2, Cl A1
1.168%, VAR ICE LIBOR USD 1 Month+1.000%, 05/25/2058 (A)		507		499
Transportation Finance Equipment Trust, Ser 2019-1, Cl A2
1.900%, 01/24/2022 (A)		2,340		2,347
Tryon Park CLO, Ser 2018-1A, Cl A1SR
2.109%, VAR ICE LIBOR USD 3 Month+0.890%, 04/15/2029 (A)		1,210		1,182
Verizon Owner Trust, Ser 2017-2A, Cl B
2.220%, 12/20/2021 (A)		300		301
Verizon Owner Trust, Ser 2020-A, Cl A1A
1.850%, 07/22/2024		825		847
VOLT LXIV LLC, Ser 2017-NP11, Cl A1
3.375%, 10/25/2047 (A)		269		258

SEI Institutional Investments Trust / Annual Report / May 31, 2020 269

SCHEDULE OF INVESTMENTS

May 31, 2020

Ultra Short Duration Bond Fund(Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Voya CLO, Ser 2017-1A, Cl A1R
2.035%, VAR ICE LIBOR USD 3 Month+0.900%, 01/18/2029 (A)	$	420	$	412
Voya CLO, Ser 2017-3A, Cl A1R
1.711%, VAR ICE LIBOR USD 3 Month+0.720%, 07/25/2026 (A)		292		289
				75,345
Total Asset-Backed Securities (Cost $156,938) ($ Thousands)				156,624
MORTGAGE-BACKED SECURITIES — 14.2%
Agency Mortgage-Backed Obligations — 6.5%
FDIC Guaranteed Notes Trust, Ser 2010-S4, Cl A
1.736%, VAR LIBOR USD 1 Month+0.720%, 12/04/2020 (A)		810		810
FHLMC
2.500%, 08/01/2028		911		954
FHLMC ARM
4.215%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.020%, 02/01/2030		15		15
4.026%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+1.911%, 02/01/2022		2		2
FHLMC CMO, Ser 2010-3714, Cl TW
4.000%, 07/15/2020		60		60
FHLMC CMO, Ser 2010-3745, Cl GP
4.000%, 06/15/2039		639		649
FHLMC CMO, Ser 2011-3896, Cl PA
4.000%, 03/15/2040		164		168
FHLMC CMO, Ser 2011-3903, Cl QC
2.250%, 03/15/2041		217		220
FHLMC CMO, Ser 2012-4030, Cl AN
1.750%, 04/15/2027		934		949
FHLMC CMO, Ser 2013-4159, Cl LA
3.500%, 02/15/2040		1,241		1,276
FHLMC CMO, Ser 2013-4206, Cl CA
3.000%, 05/15/2037		702		709
FHLMC CMO, Ser 2014-4297, Cl CA
3.000%, 12/15/2030		894		919
FHLMC CMO, Ser 2014-4323, Cl GA
3.000%, 06/15/2040		422		429
FHLMC CMO, Ser 2014-4323, Cl CA
4.000%, 03/15/2040		148		151
FHLMC CMO, Ser 2014-4379, Cl CB
2.250%, 04/15/2033		1,095		1,127
FHLMC CMO, Ser 2014-4385, Cl Q
3.000%, 07/15/2039		1,308		1,338
FHLMC CMO, Ser 2014-4387, Cl DA
3.000%, 01/15/2032		782		810

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
FHLMC CMO, Ser 2014-4390, Cl NC
3.000%, 05/15/2039	$	617	$	631
FHLMC Multifamily Structured Pass Through Certificates, Ser K016, Cl A2
2.968%, 10/25/2021		605		620
FHLMC Multifamily Structured Pass Through Certificates, Ser K037, Cl A1
2.592%, 04/25/2023		1,533		1,575
FHLMC Multifamily Structured Pass Through Certificates, Ser KI03, Cl A
0.580%, VAR LIBOR USD 1 Month+0.250%, 02/25/2023		15		15
FHLMC Multifamily Structured Pass-Through Certificates, Ser K020, Cl A1
1.573%, 01/25/2022		97		98
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2018-SPI2, Cl M1
3.810%, 05/25/2048 (A)(B)		153		153
FNMA
6.000%, 01/01/2027 to 04/01/2040		161		186
5.500%, 12/01/2023 to 12/01/2024		382		396
5.000%, 02/01/2023 to 03/01/2025		91		97
3.500%, 09/01/2032		6,727		7,114
FNMA ARM
4.335%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.083%, 05/01/2028		1		1
4.298%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.325%, 11/01/2023		1		1
3.813%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.120%, 11/01/2025		1		1
3.724%, VAR ICE LIBOR USD 6 Month+1.820%, 09/01/2024		16		16
3.715%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.215%, 01/01/2029		5		5
3.638%, VAR ICE LIBOR USD 6 Month+1.773%, 09/01/2024		7		7
2.835%, VAR ICE LIBOR USD 6 Month+1.000%, 11/01/2021		–		–
FNMA CMO, Ser 1993-58, Cl H
5.500%, 04/25/2023		9		10
FNMA CMO, Ser 2001-33, Cl FA
0.618%, VAR ICE LIBOR USD 1 Month+0.450%, 07/25/2031		6		6
FNMA CMO, Ser 2002-64, Cl FG
0.432%, VAR ICE LIBOR USD 1 Month+0.250%, 10/18/2032		2		2
FNMA CMO, Ser 2011-18, Cl LA
4.000%, 08/25/2039		199		204

270 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
FNMA CMO, Ser 2011-24, Cl PC
4.000%, 10/25/2039	$	362	$	366
FNMA CMO, Ser 2011-87, Cl JA
3.000%, 06/25/2040		845		864
FNMA CMO, Ser 2012-6, Cl E
3.000%, 05/25/2037		1,117		1,131
FNMA CMO, Ser 2012-63, Cl FE
0.568%, VAR ICE LIBOR USD 1 Month+0.400%, 06/25/2038		122		122
FNMA CMO, Ser 2013-100, Cl CA
4.000%, 03/25/2039		161		164
FNMA CMO, Ser 2013-97, Cl KA
3.000%, 11/25/2031		126		132
FNMA CMO, Ser 2014-39, Cl AB
3.000%, 09/25/2039		173		173
FNMA REMICS CMO, Ser 2012-137, Cl UE
1.750%, 09/25/2041		602		609
FNMA REMICS CMO, Ser 2015-46, Cl BA
3.000%, 05/25/2041		759		782
FNMA, Ser 2012-M9, Cl A2
2.482%, 04/25/2022		270		276
FNMA, Ser 2017-M13, Cl FA
1.150%, VAR LIBOR USD 1 Month+0.400%, 10/25/2024		299		298
FNMA, Ser M4, Cl 1A2
2.976%, 04/25/2022 (B)		245		251
FREMF Mortgage Trust, Ser 2011-K12, Cl B
4.339%, 01/25/2046 (A)(B)		1,435		1,445
GNMA CMO, Ser 2010-151, Cl KA
3.000%, 09/16/2039		141		145
GNMA CMO, Ser 2010-81, Cl PM
3.750%, 04/20/2039		295		297
GNMA CMO, Ser 2011-158, Cl CA
3.000%, 10/20/2026		887		912
GNMA CMO, Ser 2012-7, Cl MD
3.500%, 11/20/2038		780		787
GNMA CMO, Ser 2013-124, Cl CP
2.500%, 06/20/2041		402		408
GNMA CMO, Ser 2013-190, Cl GA
2.500%, 11/20/2038		1,729		1,786
GNMA CMO, Ser 2015-119, Cl TG
1.800%, 05/20/2041		2,201		2,231
GNMA CMO, Ser 2015-56, Cl LB
1.500%, 04/16/2040		1,323		1,342
Mortgage-Linked Amortizing Notes, Ser 2012-1, Cl A10
2.060%, 01/15/2022		261		263

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
NCUA Guaranteed Notes CMO, Ser 2010-R1, Cl 1A
0.697%, VAR ICE LIBOR USD 1 Month+0.450%, 10/07/2020	$	1,103	$	1,101
				37,609
Non-Agency Mortgage-Backed Obligations — 7.7%
Angel Oak Mortgage Trust I LLC, Ser 2017-2, Cl A1
2.478%, 07/25/2047 (A)(B)		115		114
Angel Oak Mortgage Trust I LLC, Ser 2018-3, Cl A1
3.649%, 09/25/2048 (A)(B)		264		268
Angel Oak Mortgage Trust I LLC, Ser 2019-1, Cl A1
3.920%, 11/25/2048 (A)(B)		628		637
Angel Oak Mortgage Trust I LLC, Ser 2019-2, Cl A1
3.628%, 03/25/2049 (A)(B)		933		944
Angel Oak Mortgage Trust I LLC, Ser 2019-4, Cl A1
2.993%, 07/26/2049 (A)(B)		637		645
Angel Oak Mortgage Trust LLC, Ser 2017-1, Cl A1
2.810%, 01/25/2047 (A)(B)		16		16
Angel Oak Mortgage Trust LLC, Ser 2017-3, Cl A1
2.708%, 11/25/2047 (A)(B)		70		70
Angel Oak Mortgage Trust, Ser 2020-1, Cl A1
2.466%, 12/25/2059 (A)(B)		174		174
Arroyo Mortgage Trust, Ser 2019-3, Cl A1
2.962%, 10/25/2048 (A)(B)		548		554
BAMLL Commercial Mortgage Securities Trust, Ser 2018-DSNY, Cl A
1.034%, VAR LIBOR USD 1 Month+0.850%, 09/15/2034 (A)		1,150		1,069
Banc of America Mortgage Securities, Ser 2005-F, Cl 2A2
4.391%, 07/25/2035 (B)		87		81
Banc of America Mortgage Securities, Ser 2005-J, Cl 2A1
3.897%, 11/25/2035 (B)		11		10
BBCMS Mortgage Trust, Ser 2017-DELC, Cl A
1.034%, VAR LIBOR USD 1 Month+0.850%, 08/15/2036 (A)		1,250		1,175
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-3, Cl 2A1
3.863%, 06/25/2035 (B)		45		42
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-6, Cl 3A1
4.084%, 08/25/2035 (B)		92		88

SEI Institutional Investments Trust / Annual Report / May 31, 2020 271

SCHEDULE OF INVESTMENTS

May 31, 2020

Ultra Short Duration Bond Fund(Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
Bunker Hill Loan Depositary Trust, Ser 2019- 1, Cl A2
3.817%, 10/26/2048 (A)	$	921	$	934
Bunker Hill Loan Depositary Trust, Ser 2019- 1, Cl A1
3.613%, 10/26/2048 (A)		217		220
BWAY Mortgage Trust, Ser 2013-1515, Cl A1
2.809%, 03/10/2033 (A)		468		476
BX Commercial Mortgage Trust, Ser 2018- IND, Cl A
0.934%, VAR LIBOR USD 1 Month+0.750%, 11/15/2035 (A)		267		261
BX Commercial Mortgage Trust, Ser 2019- XL, Cl A
1.104%, VAR ICE LIBOR USD 1 Month+0.920%, 10/15/2036 (A)		955		936
BX Commercial Mortgage Trust, Ser 2019- XL, Cl B
1.264%, VAR ICE LIBOR USD 1 Month+1.080%, 10/15/2036 (A)		621		600
CGDBB Commercial Mortgage Trust, Ser 2017-BIOC, Cl A
0.974%, VAR LIBOR USD 1 Month+0.790%, 07/15/2032 (A)		457		448
CHC Commercial Mortgage Trust, Ser 2019- CHC, Cl A
1.304%, VAR ICE LIBOR USD 1 Month+1.120%, 06/15/2034 (A)		1,275		1,227
CHL Mortgage Pass-Through Trust, Ser 2004- 29, Cl 1A1
0.708%, VAR ICE LIBOR USD 1 Month+0.540%, 02/25/2035		16		14
CIM Trust, Ser 2017-7, Cl A
3.000%, 04/25/2057 (A)(B)		610		608
Citigroup Commercial Mortgage Trust, Ser 2019-SST2, Cl A
1.104%, VAR LIBOR USD 1 Month+0.920%, 12/15/2036 (A)		1,150		1,112
Citigroup Mortgage Loan Trust, Ser 2004- HYB3, Cl 1A
4.522%, 09/25/2034 (B)		15		14
Citigroup Mortgage Loan Trust, Ser 2006- AR2, Cl 1A1
3.940%, 03/25/2036 (B)		77		66
Citigroup Mortgage Loan Trust, Ser 2018- RP2, Cl A1
3.500%, 02/25/2058 (A)(B)		452		467
Citigroup Mortgage Loan Trust, Ser 2019- IMC1, Cl A1
2.720%, 07/25/2049 (A)(B)		228		227
COLT Mortgage Loan Trust, Ser 2018-2, Cl A1
3.470%, 07/27/2048 (A)(B)		247		249

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
COLT Mortgage Loan Trust, Ser 2018-3, Cl A1
3.692%, 10/26/2048 (A)(B)	$	582	$	590
COLT Mortgage Loan Trust, Ser 2018-4, Cl A1
4.006%, 12/28/2048 (A)(B)		446		452
COLT Mortgage Loan Trust, Ser 2019-1, Cl A1
3.705%, 03/25/2049 (A)(B)		186		187
COLT Mortgage Loan Trust, Ser 2019-3, Cl A1
2.764%, 08/25/2049 (A)(B)		180		180
COLT Mortgage Loan Trust, Ser 2020-1, Cl A1
2.488%, 02/25/2050 (A)(B)		548		552
COMM Mortgage Trust, Ser 2014-UBS5, Cl A2
3.031%, 09/10/2047		54		54
COMM Mortgage Trust, Ser CR22, Cl A2
2.856%, 03/10/2048		315		315
COMM Mortgage Trust, Ser CR23, Cl A2
2.852%, 05/10/2048		458		457
COMM Mortgage Trust, Ser CR27, Cl A2
2.223%, 10/10/2048		739		741
COMM Mortgage Trust, Ser LC17, Cl A2
3.164%, 10/10/2047		57		57
Credit Suisse Mortgage Capital Certificates, Ser 2019-ICE4, Cl B
1.414%, VAR LIBOR USD 1 Month+1.230%, 05/15/2036 (A)		1,620		1,567
Credit Suisse Mortgage Capital Certificates, Ser 2019-ICE4, Cl A
1.164%, VAR ICE LIBOR USD 1 Month+0.980%, 05/15/2036 (A)		745		728
Deephaven Residential Mortgage Trust, Ser 2017-1A, Cl A1
2.725%, 12/26/2046 (A)(B)		29		29
Deephaven Residential Mortgage Trust, Ser 2017-2A, Cl A1
2.453%, 06/25/2047 (A)(B)		86		85
Deephaven Residential Mortgage Trust, Ser 2017-3A, Cl A1
2.577%, 10/25/2047 (A)(B)		85		86
Deephaven Residential Mortgage Trust, Ser 2018-1A, Cl A1
2.976%, 12/25/2057 (A)(B)		159		160
Deephaven Residential Mortgage Trust, Ser 2018-2A, Cl A1
3.479%, 04/25/2058 (A)(B)		346		350
Deephaven Residential Mortgage Trust, Ser 2018-3A, Cl A1
3.789%, 08/25/2058 (A)(B)		424		429
Deephaven Residential Mortgage Trust, Ser 2019-3A, Cl A1
2.964%, 07/25/2059 (A)(B)		550		555
Deephaven Residential Mortgage Trust, Ser 2019-4A, Cl A1
2.791%, 10/25/2059 (A)(B)		570		570

272 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2014-DN2, Cl M2
1.818%, VAR ICE LIBOR USD 1 Month+1.650%, 04/25/2024	$	43	$	42
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-DNA3, Cl M2
3.018%, VAR ICE LIBOR USD 1 Month+2.850%, 04/25/2028		315		316
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-HQ1, Cl M3
3.968%, VAR ICE LIBOR USD 1 Month+3.800%, 03/25/2025		431		437
Finance of America Structured Securities Trust, Ser 2019-HB1, Cl A
3.279%, 04/25/2029 (A)(B)		213		213
Flagstar Mortgage Trust, Ser 2018-5, Cl A7
4.000%, 09/25/2048 (A)(B)		146		147
FNMA Connecticut Avenue Securities, Ser 2016-C03, Cl 2M2
6.068%, VAR ICE LIBOR USD 1 Month+5.900%, 10/25/2028		1,020		1,079
FNMA Connecticut Avenue Securities, Ser 2018-C03, Cl 1EA2
1.018%, VAR ICE LIBOR USD 1 Month+0.850%, 10/25/2030		927		901
GMAC Mortgage Loan Trust, Ser 2005-AR6, Cl 2A1
3.894%, 11/19/2035 (B)		134		119
GS Mortgage Securities Trust, Ser 2010-C2, Cl A1
3.849%, 12/10/2043 (A)		59		60
GS Mortgage Securities Trust, Ser 2017- 500K, Cl A
0.884%, VAR LIBOR USD 1 Month+0.700%, 07/15/2032 (A)		665		649
GSR Mortgage Loan Trust, Ser 2005-AR4, Cl 2A1
3.845%, 07/25/2035 (B)		146		109
GSR Mortgage Loan Trust, Ser 2007-AR2, Cl 1A1
3.723%, 05/25/2037 (B)		130		99
Impac CMB Trust, Ser 2004-9, Cl 1A1
0.928%, VAR ICE LIBOR USD 1 Month+0.760%, 01/25/2035		35		34
Impac CMB Trust, Ser 2005-2, Cl 1A1
0.688%, VAR ICE LIBOR USD 1 Month+0.520%, 04/25/2035		44		41
Impac CMB Trust, Ser 2005-3, Cl A1
0.648%, VAR ICE LIBOR USD 1 Month+0.480%, 08/25/2035		42		39
Impac CMB Trust, Ser 2005-5, Cl A1
0.808%, VAR ICE LIBOR USD 1 Month+0.640%, 08/25/2035		34		32

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
Impac CMB Trust, Ser 2005-8, Cl 1A
0.688%, VAR ICE LIBOR USD 1 Month+0.520%, 02/25/2036	$	113	$	105
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C29, Cl A2
2.921%, 05/15/2048		176		176
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2015-UES, Cl A
2.933%, 09/05/2032 (A)		1,350		1,339
JPMorgan Mortgage Trust, Ser 2005-A6, Cl 7A1
4.192%, 08/25/2035 (B)		46		41
JPMorgan Mortgage Trust, Ser 2007-A3, Cl 1A1
3.823%, 05/25/2037 (B)		78		68
JPMorgan Mortgage Trust, Ser 2014-1, Cl 2A5
3.500%, 01/25/2044 (A)(B)		167		166
JPMorgan Mortgage Trust, Ser 2018-7FRB, Cl A2
0.918%, VAR ICE LIBOR USD 1 Month+0.750%, 04/25/2046 (A)		447		429
KNDL Mortgage Trust, Ser 2019-KNSQ, Cl A
0.984%, VAR LIBOR USD 1 Month+0.800%, 05/15/2036 (A)		290		282
LSTAR Securities Investment, Ser 2019-4, Cl A1
1.673%, VAR ICE LIBOR USD 1 Month+1.500%, 05/01/2024 (A)		678		630
Merrill Lynch Mortgage Investors, Ser 2005- A3, Cl A1
0.438%, VAR ICE LIBOR USD 1 Month+0.270%, 04/25/2035		5		5
Merrill Lynch Mortgage-Backed Securities Trust, Ser 2007-3, Cl 2A1
3.899%, 06/25/2037 (B)		111		85
MFA Trust, Ser 2017-RPL1, Cl A1
2.588%, 02/25/2057 (A)(B)		125		125
Mill City Mortgage Loan Trust, Ser 2018-1, Cl A1
3.250%, 05/25/2062 (A)(B)		263		270
Mill City Mortgage Loan Trust, Ser 2018-2, Cl A1
3.500%, 05/25/2058 (A)(B)		833		861
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2014-C14, Cl A3
3.669%, 02/15/2047		1,149		1,158
Morgan Stanley Capital I Trust, Ser 2014- MP, Cl A
3.469%, 08/11/2033 (A)		930		951
MortgageIT Trust, Ser 2005-5, Cl A1
0.688%, VAR ICE LIBOR USD 1 Month+0.520%, 12/25/2035		117		109

SEI Institutional Investments Trust / Annual Report / May 31, 2020 273

SCHEDULE OF INVESTMENTS

May 31, 2020

Ultra Short Duration Bond Fund(Continued)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
MTRO Commercial Mortgage Trust, Ser 2019- TECH, Cl A
1.084%, VAR LIBOR USD 1 Month+0.900%, 12/15/2033 (A)	$	775	$	730
New Residential Mortgage LLC, Ser 2018- FNT1, Cl A
3.610%, 05/25/2023 (A)		688		684
New Residential Mortgage Loan Trust, Ser 2017-3A, Cl A1
4.000%, 04/25/2057 (A)(B)		311		329
New Residential Mortgage Loan Trust, Ser 2017-6A, Cl A1
4.000%, 08/27/2057 (A)(B)		728		766
New Residential Mortgage Loan Trust, Ser 2018-1A, Cl A1
4.000%, 09/25/2057 (A)(B)		337		350
OBX Trust, Ser 2018-1, Cl A2
0.818%, VAR ICE LIBOR USD 1 Month+0.650%, 06/25/2057 (A)		69		68
OBX Trust, Ser 2018-EXP2, Cl 2A1A
0.918%, VAR ICE LIBOR USD 1 Month+0.750%, 07/25/2058 (A)		474		468
OBX Trust, Ser 2019-INV1, Cl A8
4.000%, 11/25/2048 (A)(B)		427		430
Paragon Mortgages, Ser 2006-12A, Cl A2C
0.612%, VAR ICE LIBOR USD 3 Month+0.220%, 11/15/2038 (A)		106		99
Paragon Mortgages, Ser 2007-15A, Cl A2C
0.961%, VAR ICE LIBOR USD 3 Month+0.220%, 12/15/2039 (A)		244		229
Residential Funding Mortgage Securities, Ser 2007-SA3, Cl 2A1
5.036%, 07/27/2037 (B)		108		90
Residential Mortgage Loan Trust, Ser 2020- 1, Cl A1
2.376%, 02/25/2024 (A)(B)		314		310
RMF Buyout Issuance Trust, Ser 2020-1, Cl A
2.158%, 02/25/2030 (A)(B)		465		464
Sequoia Mortgage Trust, Ser 2004-12, Cl A1
0.711%, VAR ICE LIBOR USD 1 Month+0.540%, 01/20/2035		13		11
Sequoia Mortgage Trust, Ser 2017-CH2, Cl A10
4.000%, 12/25/2047 (A)(B)		602		609
Sequoia Mortgage Trust, Ser 2018-CH3, Cl A11
4.000%, 08/25/2048 (A)(B)		84		85
Sequoia Mortgage Trust, Ser 2018-CH3, Cl A1
4.500%, 08/25/2048 (A)(B)		354		368
SG Residential Mortgage Trust, Ser 2018-1, Cl A1
3.425%, 04/27/2048 (A)(B)		174		172

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
Spruce Hill Mortgage Loan Trust, Ser 2019- SH1, Cl A1
3.395%, 04/29/2049 (A)(B)	$	310	$	311
Starwood Mortgage Residential Trust, Ser 2020-1, Cl A1
2.275%, 02/25/2050 (A)(B)		610		610
Verus Securitization Trust, Ser 2018-2, Cl A1
3.677%, 06/01/2058 (A)(B)		396		401
Verus Securitization Trust, Ser 2019-2, Cl A1
3.211%, 05/25/2059 (A)(B)		390		392
Verus Securitization Trust, Ser 2020-1, Cl A1
2.417%, 01/25/2060 (A)(B)		285		286
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR2, Cl 1A1
3.693%, 03/25/2036 (B)		145		131
Wells Fargo Commercial Mortgage Trust, Ser 2012-LC5, Cl AS
3.539%, 10/15/2045		620		638
Wells Fargo Commercial Mortgage Trust, Ser NXS2, Cl A2
3.020%, 07/15/2058		738		746
Wells Fargo Commercial Mortgage Trust, Ser RC1, Cl A2
3.118%, 01/15/2060		855		873
Wells Fargo Mortgage Backed Securities Trust, Ser 2019-2, Cl A3
4.000%, 04/25/2049 (A)(B)		146		147
WFRBS Commercial Mortgage Trust, Ser 2013-UBS1, Cl A2
2.927%, 03/15/2046		9		9
WinWater Mortgage Loan Trust, Ser 2015-5, Cl A5
3.500%, 08/20/2045 (A)(B)		1,083		1,090
				44,903
Total Mortgage-Backed Securities (Cost $82,617) ($ Thousands)				82,512
U.S. TREASURY OBLIGATIONS — 8.4%
U.S. Treasury Bills
0.180%, 02/25/2021 (D)		8,500		8,489
0.170%, 11/03/2020 (D)		4,619		4,615
0.169%, 05/20/2021 (D)		8,550		8,534
0.165%, 04/22/2021 (D)		2,995		2,990
0.160%, 11/27/2020 (D)		10,000		9,992
U.S. Treasury Notes
1.750%, 09/30/2022		6,580		6,821
1.250%, 10/31/2021		7,020		7,125
Total U.S. Treasury Obligations (Cost $48,290) ($ Thousands)				48,566

274 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
MUNICIPAL BONDS — 3.1%
California — 0.6%
Bay Area, Toll Authority, RB
2.075%, 04/01/2021	$	2,440	$	2,454
California State, GO
Callable 10/01/2021 @ 100 1.110%, 04/01/2047 (C)		1,150		1,148
				3,602
Colorado — 0.4%
Colorado State, Housing and Finance Authority, RB
Callable 05/29/2020 @ 100 0.250%, 10/01/2051 (C)		2,280		2,280
New Jersey — 0.3%
Atlantic County, Improvement Authority, RB
3.250%, 06/17/2020		890		891
Jersey City, Ser A, GO
1.908%, 09/01/2020		720		721
				1,612
New York — 0.8%
New York City, Transitional Finance Authority, Future Tax Secured Revenue, Sub-Ser, RB
4.325%, 11/01/2021		1,965		2,042
Port Authority of New York & New Jersey, Ser 208, RB
2.667%, 09/15/2021		2,380		2,403
				4,445
North Dakota — 0.1%
North Dakota State, Housing Finance Agency, RB
0.250%, 01/01/2050		800		800
Texas — 0.9%
Central Texas, Turnpike System, Ser B, RB
1.980%, 08/15/2042 (C)		375		375
Dallas, Ser A
1.837%, 11/01/2020		2,530		2,528
Grand Parkway Transportation, Sub-Ser, RB
1.531%, 10/01/2020		2,565		2,566
				5,469
Total Municipal Bonds (Cost $18,177) ($ Thousands)				18,208
COMMERCIAL PAPER — 2.6%
Airbus
1.654%, 11/23/2020 (D)		3,100		3,095

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
COMMERCIAL PAPER (continued)
AT&T Inc
1.405%, 08/03/2020 (D)	$	4,000	$	3,994
Total Capital Canada Ltd
0.552%, 11/23/2020 (D)		4,650		4,636
Verizon Communications Inc
1.857%, 07/06/2020 (D)		3,650		3,648
Total Commercial Paper (Cost $15,347) ($ Thousands)				15,373
U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.3%
FFCB
1.900%, 06/24/2021		2,200		2,237
0.830%, 03/11/2021		1,565		1,565
0.530%, 01/18/2022		3,650		3,667
Total U.S. Government Agency Obligations (Cost $7,449) ($ Thousands)				7,469
SOVEREIGN DEBT — 0.7%
Province of Quebec Canada
2.375%, 01/31/2022		4,232		4,364
Total Sovereign Debt (Cost $4,294) ($ Thousands)				4,364
	Shares
CASH EQUIVALENT — 6.3%
SEI Daily Income Trust, Government Fund, Cl F
0.090%**†		36,670,494		36,670
Total Cash Equivalent (Cost $36,670) ($ Thousands)				36,670

SEI Institutional Investments Trust / Annual Report / May 31, 2020 275

SCHEDULE OF INVESTMENTS

May 31, 2020

Ultra Short Duration Bond Fund (Concluded)

Description	Face Amount (Thousands)		Market Value     ($ Thousands)
REPURCHASE AGREEMENT — 4.9%
BNP Paribas
0.070%, dated 05/29/2020, to be repurchased on 06/01/2020, repurchase price $28,200,165 (collateralized by various U.S. Government Agency, 2.342% - 4.500%, 10/01/2043 - 05/01/2050, ranging in par value from $1,040 - $22,376,024; with total market value of $28,764,000) (E)	$	28,200	$	28,200
Total Repurchase Agreement (Cost $28,200) ($ Thousands)				28,200
Total Investments in Securities — 104.6% (Cost $607,753) ($ Thousands)			$	607,639

A list of the open futures contracts held by the Fund at May 31, 2020, is as follows:

Type of Contract	Number of Contracts Long/(Short)			Expiration Date		Notional Amount (Thousands)			Value     (Thousands)			Unrealized Appreciation     (Depreciation) (Thousands)
U.S. 10-Year Treasury Note		(38	)		Sep-2020	$	(5,268	)	$	(5,284	)	$	(16)
U.S. 2-Year Treasury Note		154			Oct-2020		34,000			34,010			10
U.S. 5-Year Treasury Note		24			Oct-2020		3,009			3,015			6
U.S. Long Treasury Bond		(1	)		Sep-2020		(177	)		(178	)		(1)
						$	31,564		$	31,563		$	(1)

Percentages are based on Net Assets of $580,962 ($ Thousands).

** The rate reported is the 7-day effective yield as of May 31, 2020.

^†  Investment in Affiliated Security (see Note 6).

(A) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On May 31, 2020, the value of these securities amounted to $203,171 ($ Thousands), representing 35.0% of the Net Assets of the Fund.

(B) Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets.

(C) Variable or floating rate security, the interest rate of which adjusts periodically based on prevailing interest rates.

(D) Zero coupon security. The rate shown on the Schedule of Investments is the security’s effective yield at the time of purchase.

(E) Tri-Party Repurchase Agreement.

ARM — Adjustable Rate Mortgage

Cl — Class

CLO — Collateralized Loan Obligation

CMO — Collateralized Mortgage Obligation

FDIC — Federal Deposit Insurance Corporation

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

FREMF— Freddie Mac Multi-Family

GMAC — General Motors Acceptance Corporation

GNMA — Government National Mortgage Association

GO — General Obligation

ICE— Intercontinental Exchange

LIBOR— London Interbank Offered Rate

LLC — Limited Liability Company

MTN — Medium Term Note

NCUA — National Credit Union Association

RB — Revenue Bond

USD — United States Dollar

VAR — Variable Rate

The following is a list of the level of inputs used as of May 31, 2020, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Corporate Obligations		–		209,653		–		209,653
Asset-Backed Securities		–		156,624		–		156,624
Mortgage-Backed Securities		–		82,512		–		82,512
U.S. Treasury Obligations		–		48,566		–		48,566
Municipal Bonds		–		18,208		–		18,208
Commercial Paper		–		15,373		–		15,373
U.S. Government Agency Obligations		–		7,469		–		7,469
Sovereign Debt		–		4,364		–		4,364
Cash Equivalent		36,670		–		–		36,670
Repurchase Agreement		–		28,200		–		28,200
Total Investments in Securities		36,670		570,969		–		607,639

276 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Other Financial Instruments	Level 1 ($)			Level 2 ($)		Level 3 ($)		Total ($)
Futures Contracts*
Unrealized Appreciation		16			–		–		16
Unrealized Depreciation		(17	)		–		–		(17	)
Total Other Financial Instruments		(1	)		–		–		(1	)

* Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument.

For the year ended May 31, 2020, there were no transfers in or out of Level 3.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

The following is a summary of the Fund’s transactions with affiliates for the year ended May 31, 2020 ($ Thousands):

Security Description	Value 5/31/2019	Purchases at Cost	Proceeds from Sales	Realized Gain (Loss)	Change in Unrealized Appreciation (Depreciation)	Value 5/31/2020	Shares	Income	Capital Gains
SEI Daily Income Trust, Government Fund, Cl F	$2,371	$270,482	$(236,183)	$—	$—	$36,670	36,670,494	$48	$—

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, 2020 277

SCHEDULE OF INVESTMENTS

May 31, 2020

Emerging Markets Debt Fund

Sector Weightings (Unaudited)^†:

^†Percentages based on total investments.

	Face Amount			Market Value
Description	(Thousands)			($ Thousands)
GLOBAL BONDS — 95.5%
Albania — 0.0%
Albania Government International Bond
3.500%, 10/09/2025		EUR	579	$	651
Angola — 1.0%
Angola Via Avenir II BV MTN
9.713%, VAR ICE LIBOR USD 6 Month+7.500%, 07/01/2023		$	5,416		2,981
Angolan Government International Bond
9.500%, 11/12/2025			3,257		2,183
9.375%, 05/08/2048			8,407		5,019
9.375%, 05/08/2048 (A)			882		527
8.250%, 05/09/2028			4,630		2,858
Angolan Government International Bond MTN
9.125%, 11/26/2049 (A)			3,850		2,302
9.125%, 11/26/2049			1,429		855
8.000%, 11/26/2029 (A)			2,802		1,734
8.000%, 11/26/2029			2,138		1,323
Republic of Angola Via Avenir II BV MTN
6.388%, VAR ICE LIBOR USD 6 Month+4.500%, 12/07/2023			768		538
					20,320
Argentina — 1.5%
Adecoagro
6.000%, 09/21/2027 (A)			1,160		1,044
Argentine Republic Government International Bond
7.820%, 12/31/2033 (B)		EUR	24,824		11,563
7.820%, 12/31/2033 (B)			295		136
7.500%, 04/22/2026 (B)		$	8,456		3,235
7.125%, 06/28/2117 (B)			2,448		860
6.875%, 04/22/2021 (B)			4,316		1,770
6.875%, 01/26/2027 (B)			1,407		507
6.875%, 01/11/2048 (B)			2,983		1,074
6.625%, 07/06/2028 (B)			2,219		788
5.875%, 01/11/2028 (B)			1,342		486
5.625%, 01/26/2022 (B)			2,072		834
5.250%, 01/15/2028 (B)		EUR	200		74
5.000%, 01/15/2027 (B)			603		231

	Face Amount			Market Value
Description	(Thousands)			($ Thousands)
GLOBAL BONDS (continued)
4.625%, 01/11/2023 (B)		$	4,389	$	1,756
3.380%, 4.740%, 03/31/2029, 12/31/2038 (B)(C)		EUR	8,612		3,166
3.380%, 4.740%, 03/31/2029, 12/31/2038 (B)(C)			1,468		544
3.375%, 01/15/2023 (B)			990		413
Bonos De La Nacion Argentina En Moneda Dua
4.500%, 09/30/2020 (B)		$	2,162		901
Provincia de Buenos Aires
7.875%, 06/15/2027 (B)			454		163
5.375%, 01/20/2023 (B)		EUR	910		324
Provincia de Cordoba
7.125%, 06/10/2021 (A)(B)		$	709		319
Rio Energy
6.875%, 02/01/2025 (A)(B)			1,522		822
YPF MTN
63.188%, VAR 30-35d Argentina BADLAR Private Banks+4.000%, 07/07/2020 (B)			536		104
					31,114
Armenia — 0.1%
Republic of Armenia International Bond
3.950%, 09/26/2029			1,055		1,049
Azerbaijan — 1.1%
Azerbaijan International Bond
5.125%, 09/01/2029			2,772		2,876
4.750%, 03/18/2024			200		210
Southern Gas Corridor CJSC
6.875%, 03/24/2026 (A)			2,102		2,418
6.875%, 03/24/2026			7,900		9,086
State Oil of the Azerbaijan Republic
6.950%, 03/18/2030			3,691		4,151
State Oil of the Azerbaijan Republic MTN
4.750%, 03/13/2023			2,290		2,377
4.750%, 03/13/2023			1,279		1,328
					22,446
Bahrain — 0.6%
Bahrain Government International Bond
7.375%, 05/14/2030 (A)			1,667		1,767
7.000%, 10/12/2028			1,201		1,254
6.125%, 08/01/2023			849		873
5.625%, 09/30/2031 (A)			2,596		2,444
5.625%, 09/30/2031			400		377
CBB International Sukuk Programme SPC
6.250%, 11/14/2024 (A)			2,222		2,292
Oil and Gas Holding BSCC
8.375%, 11/07/2028			825		861
8.375%, 11/07/2028 (A)			810		846

278 SEI Institutional Investments Trust / Annual Report / May 31, 2020

	Face Amount		Market Value
Description	(Thousands)		($ Thousands)
GLOBAL BONDS (continued)
7.625%, 11/07/2024 (A)	$	1,142	$	1,181
				11,895
Belarus — 0.1%
Belarus Government International Bond
7.625%, 06/29/2027		385		411
6.875%, 02/28/2023 (A)		694		719
6.200%, 02/28/2030		505		496
				1,626
Belize — 0.0%
Belize Government International Bond
4.938%, –%, 02/20/2038, 02/20/2038 (C)		1,517		576
Benin — 0.1%
Benin Government International Bond
5.750%, 03/26/2026 (A)	EUR	1,840		1,811
Bermuda — 0.2%
Bermuda Government International Bond
4.750%, 02/15/2029	$	1,764		1,954
3.717%, 01/25/2027		2,093		2,192
				4,146
Brazil — 4.7%
Brazil Loan Trust 1
5.477%, 07/24/2023 (A)		1,655		1,676
Brazil Minas SPE via State of Minas Gerais
5.333%, 02/15/2028		1,692		1,694
5.333%, 02/15/2028		1,362		1,363
Brazil Notas do Tesouro Nacional, Ser B
6.000%, 05/15/2045	BRL	1,442		1,085
6.000%, 08/15/2050		1,619		1,223
Brazil Notas do Tesouro Nacional, Ser F
10.000%, 01/01/2021		5,149		989
10.000%, 01/01/2023		103,208		21,561
10.000%, 01/01/2025		53,006		11,342
10.000%, 01/01/2027		60,244		13,020
10.000%, 01/01/2029		51,577		11,273
10.000%, 01/01/2031		11,124		2,445
Brazilian Government International Bond
6.000%, 04/07/2026	$	499		559
5.000%, 01/27/2045		2,099		1,992
4.750%, 01/14/2050		1,863		1,709
4.625%, 01/13/2028		748		786
4.500%, 05/30/2029		3,678		3,770
Centrais Eletricas Brasileiras
4.625%, 02/04/2030 (A)		232		207
CSN Islands XI
6.750%, 01/28/2028 (A)		800		624
CSN Resources (A)
7.625%, 02/13/2023		767		658
7.625%, 04/17/2026		1,063		874

	Face Amount		Market Value
Description	(Thousands)		($ Thousands)
GLOBAL BONDS (continued)
Gol Finance
7.000%, 01/31/2025 (A)	$	1,322	$	608
JBS Investments II GmbH
5.750%, 01/15/2028 (A)		644		642
Minerva Luxembourg
6.500%, 09/20/2026 (A)		1,291		1,299
MV24 Capital BV
6.748%, 06/01/2034 (A)		458		425
Petrobras Global Finance BV
6.900%, 03/19/2049		3,160		3,139
6.750%, 06/03/2050		1,947		1,904
5.999%, 01/27/2028		382		385
5.750%, 02/01/2029		736		739
5.600%, 01/03/2031		3,830		3,787
5.093%, 01/15/2030		309		295
Rumo Luxembourg Sarl
7.375%, 02/09/2024		1,227		1,292
7.375%, 02/09/2024 (A)		605		637
Suzano Austria GmbH (A)
7.000%, 03/16/2047		572		621
6.000%, 01/15/2029		1,006		1,060
5.000%, 01/15/2030		687		675
Votorantim Cimentos International
7.250%, 04/05/2041		876		970
				97,328
Cameroon — 0.0%
Cameroon International Bond
9.500%, 11/19/2025 (A)		541		523
Canada — 0.0%
First Quantum Minerals
7.500%, 04/01/2025 (A)		540		490
Cayman Islands — 0.3%
Bioceanico Sovereign Certificate Ltd
2.505%, 06/05/2034 (D)		3,056		2,078
Neon Capital MTN
1.998%, 01/06/2028 (E)	JPY	457,784		3,187
				5,265
Chile — 1.8%
Banco de Credito e Inversiones
3.500%, 10/12/2027 (A)	$	1,691		1,741
Banco del Estado de Chile
2.704%, 01/09/2025 (A)		368		372
Bonos de la Tesoreria de la Republica en pesos
6.000%, 01/01/2043	CLP	2,240,000		4,251
4.700%, 09/01/2030 (A)		1,085,000		1,649
Cencosud
4.375%, 07/17/2027 (A)	$	2,283		2,276

SEI Institutional Investments Trust / Annual Report / May 31, 2020 279

SCHEDULE OF INVESTMENTS

May 31, 2020

Emerging Markets Debt Fund(Continued)

	Face Amount		Market Value
Description	(Thousands)		($ Thousands)
GLOBAL BONDS (continued)
Chile Government International Bond
3.860%, 06/21/2047	$	3,032	$	3,447
3.500%, 01/25/2050		2,732		2,923
2.550%, 01/27/2032		2,760		2,815
2.450%, 01/31/2031		5,130		5,220
Empresa de Transporte de Pasajeros Metro
3.650%, 05/07/2030 (A)		217		231
Empresa Nacional del Petroleo
3.750%, 08/05/2026		559		569
Nacional del Cobre de Chile
5.625%, 10/18/2043		629		805
4.500%, 09/16/2025 (A)		3,379		3,755
4.375%, 02/05/2049 (A)		2,159		2,402
3.750%, 01/15/2031 (A)		234		254
3.625%, 08/01/2027		500		531
3.625%, 08/01/2027 (A)		488		518
3.150%, 01/14/2030 (A)		1,222		1,260
3.000%, 09/30/2029 (A)		2,302		2,371
				37,390
China — 1.8%
Alibaba Group Holding Ltd
4.200%, 12/06/2047		456		547
Charming Light Investments Ltd MTN
4.375%, 12/21/2027		1,500		1,674
China Government Bond
3.130%, 11/21/2029	CNY	8,560		1,243
3.120%, 12/05/2026		12,100		1,743
2.940%, 10/17/2024		13,820		1,993
China Government International Bond
3.250%, 10/19/2023	$	3,122		3,363
1.990%, 04/09/2025	CNY	47,730		6,614
1.875%, 12/03/2022	$	979		1,006
China Minmetals Corp
4.450%, VAR US Treas Yield Curve Rate T Note Const Mat 3 Yr+6.070%, 11/13/2168		940		945
3.750%, VAR US Treas Yield Curve Rate T Note Const Mat 5 Yr+4.717%, 05/13/2169		3,389		3,372
Chinalco Capital Holdings Ltd
4.250%, 04/21/2022		900		903
4.100%, VAR US Treas Yield Curve Rate T Note Const Mat 5 Yr+5.788%, 03/11/2169		307		301
CNAC HK Finbridge Co Ltd
5.125%, 03/14/2028		900		1,008
4.625%, 03/14/2023		2		2
3.375%, 06/19/2024		230		235
Dianjian Haiyu Ltd
4.300%, 12/20/2168		205		207
Dianjian International Finance Ltd
4.600%, 07/19/2168 (E)		448		456

	Face Amount		Market Value
Description	(Thousands)		($ Thousands)
GLOBAL BONDS (continued)
ENN Clean Energy International Investment
7.500%, 02/27/2021	$	550	$	550
Huarong Finance 2017 Co Ltd
4.500%, VAR US Treas Yield Curve Rate T Note Const Mat 5 Yr+7.773%, 07/24/2168		2,161		2,177
Leader Goal International MTN
4.250%, 07/19/2168 (E)		263		266
Minmetals Bounteous Finance BVI
3.375%, VAR US Treas Yield Curve Rate T Note Const Mat 5 Yr+5.209%, 09/03/2168		1,080		1,063
Sinopec Group Overseas Development 2018
2.700%, 05/13/2030 (A)		2,346		2,408
2.500%, 08/08/2024		4,443		4,562
Tencent Holdings MTN
3.240%, 06/03/2050 (A)		620		615
Wanda Properties International
7.250%, 01/29/2024		608		554
				37,807
Colombia — 5.3%
Colombia Government International Bond
9.850%, 06/28/2027	COP	7,914,000		2,655
9.850%, 06/28/2027		994,000		333
8.125%, 05/21/2024	$	821		982
7.750%, 04/14/2021	COP	3,729,000		1,030
7.375%, 09/18/2037	$	734		1,004
6.125%, 01/18/2041		2,470		3,087
5.625%, 02/26/2044		3,055		3,692
5.200%, 05/15/2049		206		242
5.000%, 06/15/2045		3,565		4,043
4.375%, 03/21/2023	COP	4,586,000		1,217
4.000%, 02/26/2024	$	1,285		1,348
3.000%, 01/30/2030		7,093		7,093
Colombian TES
10.000%, 07/24/2024	COP	29,635,200		9,790
7.750%, 09/18/2030		19,555,800		5,912
7.500%, 08/26/2026		48,251,600		14,763
7.250%, 10/18/2034		15,738,100		4,546
7.000%, 05/04/2022		3,313,100		951
7.000%, 06/30/2032		19,592,000		5,592
6.250%, 11/26/2025		33,882,200		9,878
6.000%, 04/28/2028		61,021,400		16,940
5.750%, 11/03/2027		6,475,100		1,775
4.750%, 04/04/2035		1,645,600		1,445
Ecopetrol
6.875%, 04/29/2030	$	2,966		3,386
5.875%, 09/18/2023		810		877
5.875%, 05/28/2045		950		988
Emgesa ESP
8.750%, 01/25/2021	COP	940,000		257

280 SEI Institutional Investments Trust / Annual Report / May 31, 2020

	Face Amount		Market Value
Description	(Thousands)		($ Thousands)
GLOBAL BONDS (continued)
Empresas Publicas de Medellin ESP (A)
8.375%, 11/08/2027	COP	4,600,000	$	1,287
7.625%, 09/10/2024		2,224,000		617
7.625%, 09/10/2024		1,827,000		507
Financiera de Desarrollo Territorial Findeter
7.875%, 08/12/2024 (A)		1,408,000		401
7.875%, 08/12/2024		1,095,000		312
Geopark Ltd
6.500%, 09/21/2024 (A)	$	729		683
Grupo Aval
4.375%, 02/04/2030 (A)		1,083		985
Millicom International Cellular
6.250%, 03/25/2029 (A)		597		619
				109,237
Costa Rica — 0.6%
Costa Rica Government International Bond
7.158%, 03/12/2045		2,538		1,992
7.158%, 03/12/2045 (A)		1,875		1,472
7.158%, 03/12/2045		653		513
7.000%, 04/04/2044		1,860		1,451
7.000%, 04/04/2044		780		608
6.125%, 02/19/2031		3,851		3,139
5.625%, 04/30/2043 (A)		1,237		872
4.250%, 01/26/2023		1,883		1,666
Instituto Costarricense de Electricidad
6.375%, 05/15/2043		290		190
				11,903
Croatia — 0.1%
Croatia Government International Bond
6.625%, 07/14/2020		743		747
6.375%, 03/24/2021		320		331
2.750%, 01/27/2030	EUR	1,038		1,281
				2,359
Czech Republic — 1.8%
Czech Republic Government Bond
4.200%, 12/04/2036	CZK	27,430		1,679
2.750%, 07/23/2029		196,500		9,536
2.500%, 08/25/2028		61,450		2,890
2.400%, 09/17/2025		191,620		8,668
2.000%, 10/13/2033		49,830		2,343
1.250%, 02/14/2025		63,250		2,697
1.200%, 03/13/2031		47,520		2,029
1.000%, 06/26/2026		13,140		553
0.950%, 05/15/2030		137,340		5,771
				36,166
Dominican Republic — 1.3%
Dominican Republic Government Bond
11.250%, 02/05/2027	DOP	20,700		349
Dominican Republic International Bond
8.900%, 02/15/2023 (A)		61,250		938

	Face Amount		Market Value
Description	(Thousands)		($ Thousands)
GLOBAL BONDS (continued)
7.450%, 04/30/2044 (A)	$	1,087	$	1,069
7.450%, 04/30/2044		1,063		1,045
6.850%, 01/27/2045		3,863		3,612
6.850%, 01/27/2045 (A)		352		329
6.500%, 02/15/2048		6,158		5,542
6.400%, 06/05/2049		3,911		3,520
6.000%, 07/19/2028		939		904
5.875%, 01/30/2060		2,787		2,355
5.875%, 01/30/2060 (A)		2,723		2,301
5.500%, 01/27/2025		720		718
4.500%, 01/30/2030 (A)		4,810		4,185
				26,867
Ecuador — 0.9%
Ecuador Government International Bond
10.750%, 03/28/2022 (B)		5,214		2,333
10.750%, 01/31/2029 (A)(B)		7,001		2,538
10.650%, 01/31/2029 (B)		2,268		822
10.650%, 01/31/2029 (A)(B)		1,318		478
9.650%, 12/13/2026 (A)(B)		1,192		447
9.650%, 12/13/2026 (B)		800		300
9.625%, 06/02/2027 (B)		1,148		422
9.625%, 06/02/2027 (A)(B)		900		331
9.500%, 03/27/2030 (B)		6,755		2,541
9.500%, 03/27/2030 (A)(B)		1,766		664
8.875%, 10/23/2027 (A)(B)		2,424		888
8.875%, 10/23/2027 (B)		8,444		3,093
7.950%, 06/20/2024 (B)		1,417		595
7.875%, 03/27/2025 (B)		693		267
7.775%, 01/23/2028 (B)		4,981		1,743
7.775%, 01/23/2028 (A)(B)		1,997		699
Ecuador Social Bond Sarl
2.893%, 01/30/2035 (A)(D)		2,287		877
				19,038
Egypt — 2.3%
Egypt Government Bond
18.000%, 11/06/2028	EGP	44,214		3,361
17.700%, 08/07/2025		42,975		3,063
16.300%, 04/09/2024		21,507		1,436
16.100%, 05/07/2029		21,345		1,498
Egypt Government International Bond
8.875%, 05/29/2050 (A)	$	3,421		3,370
8.700%, 03/01/2049		820		799
8.700%, 03/01/2049 (A)		724		706
7.903%, 02/21/2048		825		760
7.903%, 02/21/2048 (A)		331		305
7.625%, 05/29/2032 (A)		7,907		7,750
7.625%, 05/29/2032		619		607
6.588%, 02/21/2028 (A)		1,135		1,101
5.750%, 05/29/2024 (A)		200		200
Egypt Government International Bond MTN
8.500%, 01/31/2047		5,792		5,615

SEI Institutional Investments Trust / Annual Report / May 31, 2020 281

SCHEDULE OF INVESTMENTS

May 31, 2020

Emerging Markets Debt Fund (Continued)

	Face Amount		Market Value
Description	(Thousands)		($ Thousands)
GLOBAL BONDS (continued)
8.150%, 11/20/2059	$	378	$	347
7.053%, 01/15/2032		4,506		4,258
6.375%, 04/11/2031 (A)	EUR	1,948		1,957
6.375%, 04/11/2031		1,746		1,754
6.125%, 01/31/2022 (A)	$	1,290		1,307
5.625%, 04/16/2030 (A)	EUR	1,850		1,816
5.625%, 04/16/2030		4,712		4,626
4.750%, 04/11/2025		633		669
4.750%, 04/16/2026		900		941
				48,246
El Salvador — 0.5%
El Salvador Government International Bond
8.250%, 04/10/2032 (A)	$	1,157		972
7.750%, 01/24/2023		3,531		3,178
7.650%, 06/15/2035		484		393
7.625%, 02/01/2041		885		706
7.125%, 01/20/2050		328		251
5.875%, 01/30/2025		1,909		1,599
Republic of El Salvador
8.625%, 02/28/2029		1,073		925
8.250%, 04/10/2032		3,166		2,659
				10,683
Ethiopia — 0.0%
Federal Democratic Republic of Ethiopia
6.625%, 12/11/2024 (A)		712		661
Gabon — 0.3%
Gabon Government International Bond
6.950%, 06/16/2025 (A)		4,295		3,786
6.950%, 06/16/2025		212		187
6.625%, 02/06/2031		809		675
6.625%, 02/06/2031 (A)		594		496
				5,144
Ghana — 1.4%
Ghana Government Bonds
24.750%, 07/19/2021	GHS	–		–
19.750%, 03/25/2024		7,745		1,350
19.000%, 11/02/2026		16,120		2,618
Ghana Government International Bond
10.750%, 10/14/2030	$	6,748		7,558
10.750%, 10/14/2030 (A)		68		76
8.950%, 03/26/2051 (A)		3,013		2,614
8.750%, 03/11/2061 (A)		652		564
8.750%, 03/11/2061		309		267
8.627%, 06/16/2049 (A)		731		632
8.125%, 03/26/2032 (A)		951		833
7.875%, 03/26/2027		1,781		1,666
7.875%, 03/26/2027 (A)		737		690
7.875%, 02/11/2035 (A)		2,663		2,283
7.875%, 02/11/2035		1,363		1,169
7.625%, 05/16/2029		2,000		1,775

	Face Amount		Market Value
Description	(Thousands)		($ Thousands)
GLOBAL BONDS (continued)
7.625%, 05/16/2029 (A)	$	897	$	796
6.375%, 02/11/2027 (A)		3,610		3,222
Kosmos Energy
7.125%, 04/04/2026 (A)		257		206
Tullow Oil
7.000%, 03/01/2025 (A)		1,075		605
				28,924
Guatemala — 0.1%
Comunicaciones Celulares Via Comcel Trust
6.875%, 02/06/2024 (A)		770		782
Guatemala Government Bond
6.125%, 06/01/2050		204		228
4.900%, 06/01/2030		1,874		1,972
				2,982
Honduras — 0.0%
Honduras Government International Bond
6.250%, 01/19/2027		479		504
Hong Kong — 0.1%
NWD
4.125%, 07/18/2029		1,026		989
Hungary — 1.7%
Hungary Government Bond
6.750%, 10/22/2028	HUF	762,430		3,386
5.500%, 06/24/2025		1,431,510		5,493
3.000%, 06/26/2024		286,840		981
3.000%, 10/27/2027		3,171,350		11,090
3.000%, 08/21/2030		360,610		1,277
2.750%, 12/22/2026		1,630,390		5,612
2.500%, 10/24/2024		679,490		2,285
Hungary Government International Bond
6.375%, 03/29/2021	$	3,664		3,815
Hungary Treasury Bills
0.000%, 10/21/2020 (D)	HUF	500,000		1,601
				35,540
India — 0.2%
Adani Electricity Mumbai
3.949%, 02/12/2030 (A)	$	720		662
Export-Import Bank of India MTN
3.250%, 01/15/2030 (A)		1,630		1,594
Network i2i
5.650%, VAR US Treas Yield Curve Rate T Note Const Mat 5 Yr+4.277%, 04/15/2169 (A)		425		417
Power Finance MTN
3.950%, 04/23/2030 (A)		786		736
Vedanta Resources
8.250%, 06/07/2021		1,220		851
				4,260

282 SEI Institutional Investments Trust / Annual Report / May 31, 2020

	Face Amount		Market Value
Description	(Thousands)		($ Thousands)
GLOBAL BONDS (continued)
Indonesia — 7.1%
Indonesia Asahan Aluminium Persero
6.757%, 11/15/2048	$	345	$	403
6.757%, 11/15/2048 (A)		322		376
6.530%, 11/15/2028 (A)		593		664
5.800%, 05/15/2050 (A)		1,663		1,783
5.710%, 11/15/2023 (A)		866		916
5.450%, 05/15/2030 (A)		1,158		1,238
4.750%, 05/15/2025 (A)		2,210		2,298
Indonesia Government International Bond
8.500%, 10/12/2035		3,353		5,146
8.500%, 10/12/2035		400		614
7.750%, 01/17/2038		3,240		4,805
5.250%, 01/08/2047 (A)		240		296
4.350%, 01/08/2027		1,210		1,337
4.100%, 04/24/2028		610		672
3.500%, 01/11/2028		1,942		2,053
2.850%, 02/14/2030		595		607
1.400%, 10/30/2031	EUR	550		554
0.900%, 02/14/2027		585		603
Indonesia Government International Bond MTN
5.250%, 01/17/2042	$	3,665		4,446
5.125%, 01/15/2045		280		338
4.625%, 04/15/2043		2,683		3,040
4.125%, 01/15/2025		2,537		2,738
Indonesia Treasury Bond
9.000%, 03/15/2029	IDR	89,762,000		6,715
8.750%, 05/15/2031		86,685,000		6,358
8.375%, 03/15/2024		105,878,000		7,626
8.375%, 09/15/2026		23,567,000		1,722
8.375%, 03/15/2034		113,708,000		8,041
8.375%, 04/15/2039		124,136,000		8,768
8.250%, 05/15/2029		149,620,000		10,794
8.250%, 06/15/2032		19,060,000		1,344
8.250%, 05/15/2036		117,376,000		8,227
8.125%, 05/15/2024		132,575,000		9,482
7.500%, 08/15/2032		45,947,000		3,053
7.500%, 06/15/2035		27,972,000		1,861
7.500%, 05/15/2038		80,596,000		5,294
7.500%, 04/15/2040		10,473,000		695
7.000%, 05/15/2022		36,771,000		2,557
7.000%, 05/15/2027		77,421,000		5,244
7.000%, 09/15/2030		65,354,000		4,357
6.625%, 05/15/2033		36,763,000		2,254
6.500%, 06/15/2025		62,793,000		4,231
6.125%, 05/15/2028		17,415,000		1,105
JPMorgan Chase Bank MTN (A)
8.375%, 04/19/2039		1,563,000		113
7.500%, 06/15/2035		28,592,000		1,902
Medco Bell Pte
6.375%, 01/30/2027 (A)	$	626		494

	Face Amount		Market Value
Description	(Thousands)		($ Thousands)
GLOBAL BONDS (continued)
Minejesa Capital BV
5.625%, 08/10/2037 (A)	$	138	$	139
Pertamina Persero MTN
6.450%, 05/30/2044		1,071		1,306
4.700%, 07/30/2049 (A)		327		338
3.650%, 07/30/2029 (A)		1,375		1,406
Perusahaan Listrik Negara
1.875%, 11/05/2031 (A)	EUR	943		916
Perusahaan Listrik Negara MTN
6.150%, 05/21/2048 (A)	$	1,015		1,197
6.150%, 05/21/2048		350		413
4.375%, 02/05/2050 (A)		355		348
Perusahaan Penerbit SBSN Indonesia III
4.325%, 05/28/2025		3,433		3,708
				146,935
Iraq — 0.0%
Iraq Government International Bond
5.800%, 01/15/2028		1,035		932
Israel — 0.6%
Bank Leumi Le-Israel
3.275%, VAR US Treas Yield Curve Rate T Note Const Mat 5 Yr+1.631%, 01/29/2031 (A)		592		560
Israel Government International Bond
4.500%, 04/03/2120		2,850		3,465
3.875%, 07/03/2050		5,627		6,433
2.750%, 07/03/2030		1,603		1,737
				12,195
Ivory Coast — 0.9%
Ivory Coast Government International Bond
6.875%, 10/17/2040	EUR	3,119		3,150
6.625%, 03/22/2048		2,113		2,058
6.625%, 03/22/2048		333		324
6.125%, 06/15/2033	$	849		798
6.125%, 06/15/2033 (A)		576		541
5.875%, 10/17/2031	EUR	2,558		2,582
5.875%, 10/17/2031 (A)		4,412		4,453
5.750%, 12/31/2032	$	2,430		2,290
5.750%, 12/31/2032		164		154
5.250%, 03/22/2030	EUR	947		945
5.125%, 06/15/2025		687		730
				18,025
Jamaica — 0.2%
Jamaica Government International Bond
7.875%, 07/28/2045	$	3,001		3,316
Jordan — 0.1%
Jordan Government International Bond
7.375%, 10/10/2047 (A)		1,497		1,381

SEI Institutional Investments Trust / Annual Report / May 31, 2020 283

SCHEDULE OF INVESTMENTS

May 31, 2020

Emerging Markets Debt Fund (Continued)

	Face Amount		Market Value
Description	(Thousands)		($ Thousands)
GLOBAL BONDS (continued)
7.375%, 10/10/2047	$	267	$	246
				1,627
Kazakhstan — 1.5%
Development Bank of Kazakhstan
4.125%, 12/10/2022		880		890
Kazakhstan Government International Bond
4.875%, 10/14/2044		1,273		1,590
Kazakhstan Government International Bond MTN
6.500%, 07/21/2045		480		695
KazMunayGas National JSC
6.375%, 10/24/2048 (A)		2,115		2,549
5.750%, 04/19/2047 (A)		5,257		5,917
5.375%, 04/24/2030 (A)		2,105		2,352
5.375%, 04/24/2030		1,605		1,793
5.375%, 04/24/2030		3,414		3,814
4.750%, 04/24/2025 (A)		2,299		2,424
3.875%, 04/19/2022		3,806		3,855
KazTransGas JSC
4.375%, 09/26/2027 (A)		4,370		4,401
4.375%, 09/26/2027		200		201
				30,481
Kenya — 0.5%
Kenya Government International Bond
8.250%, 02/28/2048		2,501		2,337
8.250%, 02/28/2048 (A)		982		918
8.000%, 05/22/2032		3,138		2,971
7.250%, 02/28/2028		759		719
7.000%, 05/22/2027		1,300		1,238
7.000%, 05/22/2027 (A)		910		867
6.875%, 06/24/2024		650		625
6.875%, 06/24/2024 (A)		569		547
				10,222
Kuwait — 0.1%
Kuwait International Government Bond
3.500%, 03/20/2027		894		986
2.750%, 03/20/2022		646		662
Meglobal Canada ULC MTN
5.875%, 05/18/2030		250		265
NBK Tier 1 Financing 2
4.500%, VAR USD Swap Semi 30/360 6 Yr Curr+2.832%, 05/27/2169 (A)		693		633
				2,546
Lebanon — 0.2%
Lebanon Government International Bond
8.250%, 05/17/2034 (B)		6,312		1,010
8.200%, 05/17/2033 (B)		3,557		569
6.750%, 11/29/2027 (B)		1,500		247
6.650%, 04/22/2024 (B)		2,000		330
6.000%, 01/27/2023 (B)		738		122

	Face Amount		Market Value
Description	(Thousands)		($ Thousands)
GLOBAL BONDS (continued)
Lebanon Government International Bond MTN
8.250%, 04/12/2021 (B)	$	1,415	$	240
7.000%, 03/20/2028 (B)		3,204		513
6.850%, 05/25/2029 (B)		522		83
6.600%, 11/27/2026 (B)		2,890		477
6.400%, 05/26/2023 (B)		1,000		165
6.100%, 10/04/2022 (B)		2,697		445
6.100%, 10/04/2022 (B)		1,143		189
				4,390
Malaysia — 5.3%
1MDB Energy
5.990%, 05/11/2022		3,000		3,045
1MDB Global Investments
4.400%, 03/09/2023		2,500		2,325
1MDB Global Investments Ltd
4.400%, 03/09/2023		10,100		9,394
Malaysia Government Bond
5.248%, 09/15/2028	MYR	1,050		284
4.935%, 09/30/2043		2,000		546
4.921%, 07/06/2048		3,873		1,060
4.893%, 06/08/2038		1,500		414
4.736%, 03/15/2046		1,052		275
4.392%, 04/15/2026		5,125		1,290
4.232%, 06/30/2031		2,000		510
4.181%, 07/15/2024		22		5
4.160%, 07/15/2021		3,713		874
4.059%, 09/30/2024		17,428		4,270
4.048%, 09/30/2021		900		212
3.955%, 09/15/2025		46,811		11,544
3.906%, 07/15/2026		22,578		5,556
3.899%, 11/16/2027		3,000		745
3.889%, 07/31/2020		700		161
3.885%, 08/15/2029		34,855		8,712
3.828%, 07/05/2034		250		62
3.800%, 08/17/2023		42,002		10,091
3.795%, 09/30/2022		4,800		1,143
3.757%, 04/20/2023		24,445		5,845
3.757%, 05/22/2040		1,100		265
3.733%, 06/15/2028		17,936		4,382
3.659%, 10/15/2020		36,980		8,556
3.620%, 11/30/2021		27,306		6,422
3.502%, 05/31/2027		4,550		1,105
3.480%, 03/15/2023		854		203
3.478%, 06/14/2024		7,635		1,827
3.418%, 08/15/2022		13,665		3,223
Malaysia Government Investment Issue
4.369%, 10/31/2028		2,000		511
4.070%, 09/30/2026		14,000		3,483
Malaysia Sukuk Global
3.179%, 04/27/2026	$	2,803		3,010

284 SEI Institutional Investments Trust / Annual Report / May 31, 2020

	Face Amount		Market Value
Description	(Thousands)		($ Thousands)
GLOBAL BONDS (continued)
Petronas Capital MTN
4.550%, 04/21/2050 (A)	$	778	$	940
4.500%, 03/18/2045		850		1,011
3.500%, 04/21/2030 (A)		4,910		5,380
				108,681
Mexico — 8.8%
America Movil
7.125%, 12/09/2024	MXN	23,310		1,079
Axtel
6.375%, 11/14/2024 (A)	$	704		707
Banco Mercantil del Norte (A)
7.500%, VAR US Treas Yield Curve Rate T Note Const Mat 10 Yr+5.470%, 09/27/2168		623		597
6.750%, VAR US Treas Yield Curve Rate T Note Const Mat 5 Yr+4.967%, 09/27/2168		798		754
Banco Nacional de Comercio Exterior SNC
3.800%, VAR US Treas Yield Curve Rate T Note Const Mat 5 Yr+3.000%, 08/11/2026 (A)		1,794		1,731
3.800%, VAR US Treas Yield Curve Rate T Note Const Mat 5 Yr+3.000%, 08/11/2026		176		170
Banco Santander Mexico Institucion de Banca Multiple Grupo Financiero Santand
5.375%, 04/17/2025 (A)		563		604
Cemex
5.450%, 11/19/2029 (A)		1,000		934
Cometa Energia
6.375%, 04/24/2035 (A)		756		747
Comision Federal de Electricidad
7.350%, 11/25/2025	MXN	52,305		2,224
5.750%, 02/14/2042 (A)	$	570		596
4.750%, 02/23/2027 (A)		684		715
Industrias Penoles
5.650%, 09/12/2049 (A)		491		511
Mexican Bonos
10.000%, 12/05/2024	MXN	336,242		17,957
8.500%, 05/31/2029		95,416		4,996
8.500%, 11/18/2038		83,666		4,402
8.000%, 11/07/2047		88,721		4,424
7.750%, 05/29/2031		133,022		6,644
7.750%, 11/23/2034		47,105		2,351
7.750%, 11/13/2042		112,118		5,427
7.500%, 06/03/2027		398,089		19,609
6.500%, 06/09/2022		186,400		8,642
5.750%, 03/05/2026		75,293		3,418
5.750%, 03/05/2026		6,037		274
Mexican Bonos, Ser M20
8.000%, 12/07/2023		132,620		6,509

	Face Amount		Market Value
Description	(Thousands)		($ Thousands)
GLOBAL BONDS (continued)
Mexican Udibonos
4.000%, 11/15/2040	MXN	50,288	$	2,551
4.000%, 11/03/2050		53,494		2,782
Mexico City Airport Trust
5.500%, 07/31/2047 (A)	$	1,068		911
Mexico Government International Bond
5.000%, 04/27/2051		741		796
4.750%, 04/27/2032		12,431		13,457
4.500%, 04/22/2029		4,370		4,724
Mexico Government International Bond MTN
6.050%, 01/11/2040		1,188		1,441
5.750%, 10/12/2110		2,660		2,879
Minera Mexico
4.500%, 01/26/2050 (A)		870		835
Petroleos Mexicanos
9.500%, 09/15/2027		215		210
7.690%, 01/23/2050 (A)		10,096		8,333
7.470%, 11/12/2026	MXN	260,354		9,097
7.190%, 09/12/2024		150,856		5,734
6.950%, 01/28/2060 (A)	$	4,469		3,448
6.840%, 01/23/2030		4,598		3,938
6.840%, 01/23/2030 (A)		3,652		3,128
6.625%, 06/15/2035		7,384		5,914
6.500%, 01/23/2029		2,349		2,009
6.500%, 01/23/2029 (A)		1,111		950
6.490%, 01/23/2027 (A)		515		453
5.950%, 01/28/2031		2,540		2,041
5.950%, 01/28/2031 (A)		3,762		3,022
5.625%, 01/23/2046		577		409
5.350%, 02/12/2028 (A)		1,626		1,325
4.500%, 01/23/2026		6,043		5,138
Petroleos Mexicanos MTN
6.750%, 09/21/2047		440		337
6.750%, 09/21/2047		238		182
				182,066
Mongolia — 0.4%
Development Bank of Mongolia LLC
7.250%, 10/23/2023 (A)		1,149		1,034
Mongolia Government International Bond
5.625%, 05/01/2023		3,124		2,952
Mongolia Government International Bond MTN
8.750%, 03/09/2024		2,696		2,703
5.125%, 12/05/2022		680		643
				7,332
Morocco — 0.0%
Morocco Government International Bond
1.500%, 11/27/2031	EUR	842		818

SEI Institutional Investments Trust / Annual Report / May 31, 2020 285

SCHEDULE OF INVESTMENTS

May 31, 2020

Emerging Markets Debt Fund (Continued)

	Face Amount		Market Value
Description	(Thousands)		($ Thousands)
GLOBAL BONDS (continued)
Mozambique — 0.2%
Mozambique International Bond
5.000%, 09/15/2031 (A)	$	4,200	$	3,361
Namibia — 0.0%
Namibia International Bond
5.250%, 10/29/2025		500		488
Nigeria — 1.0%
IHS Netherlands Holdco BV
8.000%, 09/18/2027 (A)		676		654
Nigeria Government International Bond
9.248%, 01/21/2049		1,374		1,258
8.747%, 01/21/2031 (A)		1,214		1,139
8.747%, 01/21/2031		3,542		3,322
7.875%, 02/16/2032		2,352		2,076
7.875%, 02/16/2032 (A)		1,083		956
7.696%, 02/23/2038		3,388		2,871
7.696%, 02/23/2038 (A)		852		722
7.143%, 02/23/2030 (A)		2,027		1,772
7.143%, 02/23/2030		1,065		931
Nigeria Government International Bond MTN
7.625%, 11/28/2047 (A)		895		738
6.500%, 11/28/2027 (A)		4,744		4,199
6.500%, 11/28/2027		470		416
				21,054
Oman — 0.7%
Oman Government International Bond
6.750%, 01/17/2048		9,813		7,387
6.750%, 01/17/2048 (A)		814		613
6.500%, 03/08/2047		1,345		1,011
5.625%, 01/17/2028 (A)		2,153		1,793
4.750%, 06/15/2026		1,402		1,160
3.625%, 06/15/2021		1,296		1,261
Oman Government International Bond MTN
4.875%, 02/01/2025 (A)		1,701		1,495
				14,720
Pakistan — 0.2%
Pakistan Government International Bond
8.250%, 09/30/2025 (A)		335		329
7.875%, 03/31/2036		285		262
6.875%, 12/05/2027 (A)		4,277		3,978
6.875%, 12/05/2027		270		251
				4,820
Panama — 0.9%
Aeropuerto Internacional de Tocumen
6.000%, 11/18/2048 (A)		942		972
5.625%, 05/18/2036		1,481		1,514
Cable Onda
4.500%, 01/30/2030 (A)		227		223

	Face Amount		Market Value
Description	(Thousands)		($ Thousands)
GLOBAL BONDS (continued)
Empresa de Transmision Electrica
5.125%, 05/02/2049 (A)	$	873	$	964
Panama Government International Bond
9.375%, 04/01/2029		1,120		1,638
8.125%, 04/28/2034		699		1,001
4.500%, 04/01/2056		7,582		8,939
4.000%, 09/22/2024		1,800		1,938
3.750%, 03/16/2025		820		879
3.160%, 01/23/2030		738		775
				18,843
Papua New Guinea — 0.2%
Papua New Guinea Government International Bond
8.375%, 10/04/2028 (A)		3,343		2,942
8.375%, 10/04/2028		1,930		1,698
				4,640
Paraguay — 0.2%
Paraguay Government International Bond
6.100%, 08/11/2044		1,150		1,344
5.400%, 03/30/2050		734		810
4.950%, 04/28/2031		1,286		1,382
				3,536
Peru — 3.6%
ABY Transmission Sur
6.875%, 04/30/2043 (A)		319		402
Fondo MIVIVIENDA
7.000%, 02/14/2024 (A)	PEN	5,422		1,742
Inkia Energy
5.875%, 11/09/2027 (A)	$	487		472
Kallpa Generacion SA
4.125%, 08/16/2027 (A)		875		860
Lima Metro Line 2 Finance
4.350%, 04/05/2036		349		365
Nexa Resources
5.375%, 05/04/2027 (A)		4,041		3,869
Peru Government Bond
8.200%, 08/12/2026	PEN	2,543		957
6.900%, 08/12/2037		4,088		1,455
6.150%, 08/12/2032 (A)		21,502		7,251
5.940%, 02/12/2029 (A)		5,691		1,907
5.350%, 08/12/2040 (A)		959		287
Peruvian Government International Bond
8.200%, 08/12/2026		6,280		2,364
8.200%, 08/12/2026		10,117		3,808
6.950%, 08/12/2031		49,734		17,811
6.950%, 08/12/2031		724		259
6.900%, 08/12/2037		9,203		3,275
6.850%, 02/12/2042		882		308
6.350%, 08/12/2028		5,599		1,927
5.700%, 08/12/2024 (A)		6,317		2,128
5.400%, 08/12/2034 (A)		6,215		1,949

286 SEI Institutional Investments Trust / Annual Report / May 31, 2020

	Face Amount		Market Value
Description	(Thousands)		($ Thousands)
GLOBAL BONDS (continued)
5.350%, 08/12/2040	PEN	9,743	$	2,913
2.844%, 06/20/2030	$	4,520		4,780
2.783%, 01/23/2031		1,710		1,801
2.392%, 01/23/2026		1,600		1,654
Petroleos del Peru
5.625%, 06/19/2047		3,233		3,656
5.625%, 06/19/2047 (A)		539		610
4.750%, 06/19/2032 (A)		1,695		1,836
4.750%, 06/19/2032		3,089		3,345
				73,991
Philippines — 0.5%
Philippine Government International Bond
4.000%, 01/15/2021		1,216		1,233
3.900%, 11/26/2022	PHP	52,000		1,021
3.750%, 01/14/2029	$	3,988		4,546
2.457%, 05/05/2030		2,380		2,493
				9,293
Poland — 2.4%
Poland Government Bond
5.750%, 04/25/2029	PLN	1,539		535
2.750%, 04/25/2028		24,978		7,023
2.750%, 10/25/2029		23,782		6,793
2.500%, 01/25/2023		19,697		5,206
2.500%, 04/25/2024		10,365		2,789
2.500%, 07/25/2026		43,613		11,940
2.500%, 07/25/2027		22,499		6,201
2.250%, 04/25/2022		13,392		3,473
1.577%, 07/25/2020 (D)		7,630		1,905
Poland Government International Bond
5.000%, 03/23/2022	$	4,202		4,500
				50,365
Qatar — 1.3%
Qatar Government International Bond
5.103%, 04/23/2048		1,483		1,933
5.103%, 04/23/2048 (A)		1,287		1,678
4.817%, 03/14/2049 (A)		1,067		1,341
4.817%, 03/14/2049		6,630		8,332
4.000%, 03/14/2029 (A)		2,588		2,918
4.000%, 03/14/2029		2,901		3,271
3.750%, 04/16/2030 (A)		6,497		7,228
3.750%, 04/16/2030		595		662
				27,363
Romania — 1.7%
Government of Romania
5.850%, 04/26/2023	RON	11,220		2,740
Government of Romania MTN
6.125%, 01/22/2044	$	450		563
Romania Government Bond
5.800%, 07/26/2027	RON	500		128
5.000%, 02/12/2029		13,440		3,294

	Face Amount		Market Value
Description	(Thousands)		($ Thousands)
GLOBAL BONDS (continued)
4.850%, 04/22/2026	RON	17,510	$	4,235
4.500%, 06/17/2024		20,300		4,803
4.400%, 09/25/2023		10,000		2,354
4.250%, 06/28/2023		3,930		920
4.000%, 10/27/2021		14,745		3,417
Romanian Government International Bond
5.125%, 06/15/2048	$	1,294		1,463
3.624%, 05/26/2030 (A)	EUR	582		681
Romanian Government International Bond MTN
4.625%, 04/03/2049		297		370
4.125%, 03/11/2039		2,571		3,050
3.375%, 02/08/2038		1,170		1,298
3.375%, 01/28/2050		2,537		2,701
3.375%, 01/28/2050 (A)		672		715
2.124%, 07/16/2031		316		323
2.000%, 01/28/2032		1,676		1,688
				34,743
Russia — 6.9%
Gazprom OAO Via Gaz Capital
5.150%, 02/11/2026 (A)	$	3,647		4,048
Gtlk Europe Capital DAC
4.949%, 02/18/2026		1,336		1,333
4.650%, 03/10/2027		797		778
GTLK Europe DAC
5.950%, 07/19/2021		640		657
Rusal Capital DAC
5.125%, 02/02/2022		1,280		1,270
Russian Federal Bond - OFZ
8.500%, 09/17/2031	RUB	176,075		3,096
8.150%, 02/03/2027		1,008,147		16,712
7.950%, 10/07/2026		1,032,135		16,841
7.750%, 09/16/2026		56,262		910
7.700%, 03/23/2033		575,666		9,602
7.700%, 03/16/2039		71,598		1,234
7.650%, 04/10/2030		44,276		729
7.250%, 05/10/2034		802,519		12,997
7.100%, 10/16/2024		231,567		3,557
7.050%, 01/19/2028		1,511,199		23,855
7.000%, 08/16/2023		334,052		5,041
6.900%, 05/23/2029		463,321		7,245
6.000%, 10/06/2027		95,220		1,410
Russian Foreign Bond - Eurobond
7.500%, 03/31/2030	$	3		3
5.875%, 09/16/2043		4,400		6,278
4.875%, 09/16/2023		600		663
4.750%, 05/27/2026		2,200		2,516
4.375%, 03/21/2029		9,200		10,623
4.250%, 06/23/2027		2,600		2,928
SCF Capital Designated Activity
5.375%, 06/16/2023 (A)		1,068		1,129

SEI Institutional Investments Trust / Annual Report / May 31, 2020 287

SCHEDULE OF INVESTMENTS

May 31, 2020

Emerging Markets Debt Fund (Continued)

	Face Amount		Market Value
Description	(Thousands)		($ Thousands)
GLOBAL BONDS (continued)
Serbia International Bond
3.125%, 05/15/2027 (A)	EUR	2,349	$	2,738
3.125%, 05/15/2027		451		526
Vnesheconombank Via VEB Finance
6.902%, 07/09/2020	$	1,635		1,644
6.800%, 11/22/2025 (A)		600		713
6.800%, 11/22/2025		240		285
				141,361
Saudi Arabia — 1.1%
Saudi Arabian Oil MTN
4.250%, 04/16/2039 (A)		1,669		1,815
4.250%, 04/16/2039		4,690		5,100
2.875%, 04/16/2024		901		933
Saudi Government International Bond
5.250%, 01/16/2050 (A)		75		91
Saudi Government International Bond MTN
5.000%, 04/17/2049		435		513
5.000%, 04/17/2049 (A)		243		287
4.500%, 10/26/2046		2,571		2,867
4.500%, 10/26/2046 (A)		669		746
4.500%, 04/22/2060 (A)		4,060		4,485
3.250%, 10/22/2030 (A)		5,123		5,308
2.750%, 02/03/2032 (A)		1,437		1,429
				23,574
Senegal — 0.1%
Senegal Government International Bond
6.750%, 03/13/2048		620		558
6.250%, 07/30/2024		1,417		1,411
				1,969
Serbia — 0.9%
Serbia International Bond
7.250%, 09/28/2021		630		670
7.250%, 09/28/2021		200		213
1.500%, 06/26/2029	EUR	5,894		6,146
Serbia Treasury Bonds
5.875%, 02/08/2028	RSD	250,390		2,794
4.500%, 01/11/2026		310,300		3,168
4.500%, 08/20/2032		236,320		2,456
3.750%, 01/17/2022		258,060		2,510
				17,957
South Africa — 4.3%
Eskom Holdings SOC Ltd
7.125%, 02/11/2025 (A)	$	2,642		2,366
7.125%, 02/11/2025		1,220		1,093
5.750%, 01/26/2021 (A)		2,475		2,351
5.750%, 01/26/2021		1,140		1,083
Eskom Holdings SOC Ltd MTN
8.450%, 08/10/2028 (A)		634		571
7.500%, 09/15/2033	ZAR	52,500		2,196
6.750%, 08/06/2023	$	3,067		2,815

	Face Amount		Market Value
Description	(Thousands)		($ Thousands)
GLOBAL BONDS (continued)
6.750%, 08/06/2023 (A)	$	1,503	$	1,379
6.350%, 08/10/2028 (A)		456		447
Liquid Telecommunications Financing PLC
8.500%, 07/13/2022 (A)		1,119		1,009
Republic of South Africa Government International Bond
5.750%, 09/30/2049		6,686		5,457
4.850%, 09/30/2029		2,082		1,900
SASOL Financing USA LLC
5.875%, 03/27/2024		661		554
South Africa Government Bond
10.500%, 12/21/2026	ZAR	211,307		13,661
9.000%, 01/31/2040		119,316		5,727
8.875%, 02/28/2035		23,765		1,192
8.750%, 01/31/2044		128,818		5,930
8.750%, 02/28/2048		256,200		11,844
8.500%, 01/31/2037		148,135		6,983
8.000%, 01/31/2030		13,702		730
7.750%, 02/28/2023		42,739		2,576
7.000%, 02/28/2031		117,754		5,615
6.500%, 02/28/2041		27,919		1,026
6.250%, 03/31/2036		96,771		3,734
South Africa Government International Bond
6.300%, 06/22/2048	$	2,533		2,250
5.875%, 09/16/2025		326		340
5.875%, 06/22/2030		1,269		1,233
5.650%, 09/27/2047		284		231
5.000%, 10/12/2046		475		375
4.850%, 09/27/2027		1,190		1,133
4.300%, 10/12/2028		456		409
Transnet SOC MTN
9.500%, 05/13/2021 (A)	ZAR	8,760		505
				88,715
South Korea — 0.3%
Export-Import Bank of Korea MTN
8.400%, 11/30/2021	IDR	35,600,000		2,432
Korea International Bond
2.500%, 06/19/2029	$	1,002		1,084
2.000%, 06/19/2024		1,574		1,632
				5,148
Spain — 0.1%
AI Candelaria Spain SLU
7.500%, 12/15/2028 (A)		1,825		1,776
Sri Lanka — 0.8%
Sri Lanka Government International Bond
7.850%, 03/14/2029		2,219		1,198
7.550%, 03/28/2030		2,273		1,227
6.850%, 03/14/2024		1,445		809
6.825%, 07/18/2026 (A)		1,612		887
6.825%, 07/18/2026		800		440

288 SEI Institutional Investments Trust / Annual Report / May 31, 2020

	Face Amount		Market Value
Description	(Thousands)		($ Thousands)
GLOBAL BONDS (continued)
6.750%, 04/18/2028 (A)	$	7,829	$	4,228
6.750%, 04/18/2028		2,069		1,117
6.350%, 06/28/2024		2,006		1,123
6.250%, 07/27/2021		2,202		1,542
6.200%, 05/11/2027		1,794		969
5.875%, 07/25/2022 (A)		628		380
5.750%, 04/18/2023		2,367		1,420
5.750%, 04/18/2023 (A)		1,952		1,171
				16,511
Supranational — 0.4%
African Export-Import Bank MTN
3.994%, 09/21/2029 (A)		543		519
Banque Ouest Africaine de Developpement (A)
5.000%, 07/27/2027		1,274		1,268
4.700%, 10/22/2031		934		891
European Investment Bank MTN
8.500%, 09/17/2024	ZAR	11,350		729
Inter-American Development Bank MTN
7.875%, 03/14/2023	IDR	73,150,000		5,080
				8,487
Thailand — 2.6%
Thailand Government Bond
5.670%, 03/13/2028	THB	3,000		127
4.875%, 06/22/2029		15,000		611
3.775%, 06/25/2032		316,175		12,470
3.650%, 06/20/2031		133,000		5,122
3.625%, 06/16/2023		34,000		1,164
3.400%, 06/17/2036		296,187		11,701
3.300%, 06/17/2038		69,414		2,760
2.875%, 12/17/2028		144,998		5,200
2.875%, 06/17/2046		4,865		178
2.400%, 12/17/2023		167,000		5,564
2.125%, 12/17/2026		25,000		842
1.600%, 12/17/2029		75,861		2,487
1.600%, 06/17/2035		75,336		2,430
1.450%, 12/17/2024		104,000		3,369
				54,025
Trinidad & Tobago — 0.1%
Trinidad & Tobago Government International Bond
4.375%, 01/16/2024	$	1,024		1,013
Tunisia — 0.2%
Banque Centrale de Tunisie International Bond
6.375%, 07/15/2026	EUR	642		615
5.750%, 01/30/2025	$	928		813
5.625%, 02/17/2024	EUR	2,510		2,453
				3,881

	Face Amount		Market Value
Description	(Thousands)		($ Thousands)
GLOBAL BONDS (continued)
Turkey — 2.5%
Export Credit Bank of Turkey (A)
8.250%, 01/24/2024	$	327	$	338
6.125%, 05/03/2024		831		801
5.375%, 10/24/2023		1,487		1,425
5.000%, 09/23/2021		674		675
Export Credit Bank of Turkey MTN
5.375%, 02/08/2021 (A)		1,206		1,211
Hazine Mustesarligi Varlik Kiralama
5.800%, 02/21/2022 (A)		2,936		2,943
QNB Finansbank
6.875%, 09/07/2024 (A)		898		909
TC Ziraat Bankasi MTN (A)
5.125%, 05/03/2022		561		552
4.750%, 04/29/2021		756		754
Turkey Government Bond
16.200%, 06/14/2023	TRY	10,974		1,846
12.200%, 01/18/2023		9,043		1,395
11.000%, 03/02/2022		41,144		6,176
10.700%, 08/17/2022		30,802		4,594
8.500%, 09/14/2022		5,781		828
3.000%, 08/02/2023		13,674		2,051
Turkey Government International Bond
7.625%, 04/26/2029	$	376		383
7.250%, 12/23/2023		3,871		3,964
6.875%, 03/17/2036		2,737		2,505
6.125%, 10/24/2028		2,391		2,236
6.000%, 01/14/2041		1,091		891
5.750%, 03/22/2024		600		586
5.750%, 05/11/2047		1,154		896
5.600%, 11/14/2024		1,100		1,059
5.250%, 03/13/2030		2,565		2,200
4.875%, 10/09/2026		847		765
4.875%, 04/16/2043		10,150		7,410
4.250%, 04/14/2026		699		619
Turkiye Garanti Bankasi
6.125%, VAR USD Swap Semi 30/360 5 Yr Curr+4.220%, 05/24/2027 (A)		998		908
Turkiye Sise ve Cam Fabrikalari AS
6.950%, 03/14/2026		725		720
Yapi ve Kredi Bankasi MTN
5.850%, 06/21/2024 (A)		632		608
				52,248
Ukraine — 3.1%
Government of Ukraine
7.750%, 09/01/2023		459		463
Metinvest BV
8.500%, 04/23/2026		900		798
7.750%, 10/17/2029 (A)		2,038		1,728
NAK Naftogaz Ukraine via Kondor Finance
7.625%, 11/08/2026 (A)		1,334		1,224
7.125%, 07/19/2024	EUR	970		1,007

SEI Institutional Investments Trust / Annual Report / May 31, 2020 289

SCHEDULE OF INVESTMENTS

May 31, 2020

Emerging Markets Debt Fund(Continued)

Description	Face Amount (Thousands)		Market Value ($ Thousands)
GLOBAL BONDS (continued)
Ukraine Government Bond
17.000%, 05/11/2022	UAH	99,987	$	4,013
16.000%, 08/11/2021		190,780		7,454
15.840%, 02/26/2025		92,615		3,863
Ukraine Government International Bond
15.700%, 01/20/2021 (A)		65,000		2,479
9.750%, 11/01/2028	$	5,450		5,846
8.994%, 02/01/2024 (A)		230		239
8.994%, 02/01/2024		1,724		1,794
7.750%, 09/01/2020		1,149		1,147
7.750%, 09/01/2021		2,011		2,027
7.750%, 09/01/2022		1,881		1,898
7.750%, 09/01/2025		200		201
7.750%, 09/01/2025 (A)		2,216		2,227
7.750%, 09/01/2026 (A)		6,817		6,799
7.750%, 09/01/2026		1,082		1,079
7.750%, 09/01/2027		924		912
7.375%, 09/25/2032		3,616		3,445
7.375%, 09/25/2032 (A)		188		179
6.750%, 06/20/2026 (A)	EUR	2,863		3,073
6.750%, 06/20/2026		1,790		1,921
4.375%, 01/27/2030 (A)		592		537
3.235%, 05/31/2040 (A)(E)	$	3,182		2,709
2.090%, 05/31/2040 (E)		4,170		3,551
Ukreximbank Via Biz Finance
9.625%, 04/27/2022 (A)		737		744
				63,357
United Arab Emirates — 2.0%
Abu Dhabi Crude Oil Pipeline LLC
4.600%, 11/02/2047		950		1,090
4.600%, 11/02/2047 (A)		3,870		4,442
3.650%, 11/02/2029 (A)		3,254		3,568
Abu Dhabi Government International Bond
4.125%, 10/11/2047 (A)		369		435
3.125%, 09/30/2049 (A)		4,955		4,969
3.125%, 09/30/2049		1,303		1,307
Abu Dhabi Government International Bond MTN
3.875%, 04/16/2050 (A)		1,361		1,550
3.875%, 04/16/2050		628		715
3.125%, 04/16/2030		2,015		2,163
3.125%, 04/16/2030 (A)		3,522		3,781
2.500%, 04/16/2025 (A)		4,918		5,106
Acwa Power Management And Investments One Ltd
5.950%, 12/15/2039 (A)		2,301		2,361
DP World MTN (A)
6.850%, 07/02/2037		572		668
5.625%, 09/25/2048		2,264		2,287
4.700%, 09/30/2049		817		745

Description	Face Amount (Thousands)			Market Value ($ Thousands)
GLOBAL BONDS (continued)
Emirate of Dubai Government International Bonds MTN
5.250%, 01/30/2043	$	670	$	710
MDGH - GMTN BV MTN (A)
4.500%, 11/07/2028		1,869		2,168
3.700%, 11/07/2049		970		1,005
2.875%, 11/07/2029		1,218		1,262
Sharjah Sukuk Program MTN
3.854%, 04/03/2026		1,037		1,095
				41,427
United Kingdom — 0.3%
Standard Chartered Bank MTN
8.250%, 05/17/2029 (A)	IDR	88,081,000		6,354
United States — 0.1%
JPMorgan Chase Bank MTN
7.000%, 09/18/2030 (A)(E)		35,462,000		2,364
Uruguay — 0.9%
Uruguay Government International Bond
9.875%, 06/20/2022	UYU	56,183		1,270
8.500%, 03/15/2028		11,391		234
5.100%, 06/18/2050	$	1,581		1,937
4.975%, 04/20/2055		946		1,150
4.375%, 10/27/2027		4,823		5,396
4.375%, 01/23/2031		7,488		8,536
				18,523
Uzbekistan — 0.1%
Uzbekistan Government Bond MTN
5.375%, 02/20/2029		1,359		1,473
4.750%, 02/20/2024		731		770
				2,243
Venezuela — 0.1%
Petroleos de Venezuela
9.750%, 05/17/2035 (B)		3,202		92
6.000%, 05/16/2024 (B)		16,821		484
6.000%, 05/16/2024 (B)		7,900		227
6.000%, 05/16/2024 (B)		1,777		51
6.000%, 11/15/2026 (B)		24,577		707
5.500%, 04/12/2037 (B)		1,620		47
5.375%, 04/12/2027 (B)		7,825		225
Venezuela Government International Bond
9.250%, 09/15/2027 (B)		3,400		195
9.250%, 05/07/2028 (B)		4,965		285
8.250%, 10/13/2024 (B)		4,151		239
7.750%, 10/13/2019 (B)		7,816		449
				3,001

290 SEI Institutional Investments Trust / Annual Report / May 31, 2020

	Face Amount		Market Value
Description	(Thousands)		($ Thousands)
GLOBAL BONDS (continued)
Vietnam — 0.0%
Mong Duong Finance Holdings BV
5.125%, 05/07/2029 (A)	$	950	$	931
Zambia — 0.1%
First Quantum Minerals
6.875%, 03/01/2026 (A)		542		483
Zambia Government International Bond (A)
8.500%, 04/14/2024		1,888		850
5.375%, 09/20/2022		2,950		1,331
				2,664
Total Global Bonds (Cost $2,108,760) ($ Thousands)				1,972,252
Total Investments in Securities — 95.5% (Cost $2,108,760) ($ Thousands)			$	1,972,252
	Contracts
PURCHASED OPTION* — 0.0%
Total Purchased Option(F) (Cost $376) ($ Thousands)		36,109,900	$	29

A list of the open exchange traded options contracts held by the Fund at May 31, 2020, is as follows:

			Notional Amount						Value
Description	Number of Contracts		(Thousands)		Exercise Price		Expiration Date		(Thousands)
PURCHASED OPTION — 0.0%
Call Options
September 2020, USD Call HKD Put*		36,109,900	$	2,901		$7.85		9/3/2020	$	29
Total Purchased Option			$	2,901					$	29

A list of the open futures contracts held by the Fund at May 31, 2020, is as follows:

											Unrealized
	Number of										Appreciation
	Contracts		Expiration		Notional Amount			Value			(Depreciation)
Type of Contract	Long (Short)		Date		(Thousands)			(Thousands)			(Thousands)
Euro-Bund		(113)		Jun-2020	$	(21,953	)	$	(21,677	)	$	204
Euro-Buxl		(23)		Jun-2020		(5,577	)		(5,425	)		110
Korea 10-Year Bond		6		Jun-2020		654			648			9
Korea 3-Year Bond		63		Jun-2020		5,706			5,705			27
R023 Bond Future		1,138		Aug-2020		6,443			7,052			123
R186 Bond Future		1,957		Aug-2020		11,153			12,759			741
R2032 Bond Future		845		Aug-2020		3,798			4,411			327
R2035 Bond Future		1,814		Aug-2020		8,265			9,455			577
R2037 Bond Future		520		Aug-2020		2,150			2,442			134
R208 Bond Future		93		Aug-2020		512			552			2
R213 Bond Future		543		Aug-2020		2,284			2,672			214
U.S. 10-Year Treasury Note		(16)		Sep-2020		(2,220	)		(2,225	)		(5	)

SEI Institutional Investments Trust / Annual Report / May 31, 2020 291

SCHEDULE OF INVESTMENTS

May 31, 2020

Emerging Markets Debt Fund (Continued)

											Unrealized
	Number of										Appreciation
	Contracts		Expiration		Notional Amount			Value			(Depreciation)
Type of Contract	Long (Short)		Date		(Thousands)			(Thousands)			(Thousands)
U.S. 10-Year Treasury Note		64		Sep-2020	$	8,889		$	8,900		$	11
U.S. Long Treasury Bond		(20)		Sep-2020		(3,568	)		(3,568	)		–
U.S. Ultra Long Treasury Bond		65		Sep-2020		14,298			14,172			(126	)
					$	30,834		$	35,873		$	2,348

A list of the open forward foreign currency contracts held by the Fund at May 31, 2020, is as follows:

									Unrealized
									Appreciation
				Currency to Deliver			Currency to Receive		(Depreciation)
Counterparty	Settlement Date			(Thousands)			(Thousands)		(Thousands)
Barclays PLC		06/17/20	USD		855	RUB		63,614	$	44
Barclays PLC		06/17/20	USD		1,200	IDR		19,069,795		100
Barclays PLC		06/17/20	USD		26,503	CNY		186,132		(481	)
Barclays PLC		06/17/20	MXN		76,129	USD		3,127		(306	)
Barclays PLC		06/17/20	TWD		392,744	USD		12,810		(288	)
Brown Brothers Harriman		06/01/20	EGP		5,854	USD		368		(2	)
Citigroup		06/02/20	BRL		22,361	USD		4,962		844
Citigroup		06/02/20	USD		5,623	BRL		31,656		206
Citigroup		06/02/20 - 08/04/20	USD		22,325	BRL		114,877		(1,200	)
Citigroup		06/03/20 - 06/17/20	USD		24,448	EUR		22,412		483
Citigroup		06/03/20	USD		1,584	EUR		1,414		(11	)
Citigroup		06/17/20	EUR		9,008	USD		10,154		133
Citigroup		06/03/20 - 07/07/20	EUR		26,130	USD		28,377		(696	)
Citigroup		01/27/21	EGP		15,886	USD		926		11
Citigroup		06/03/20 - 11/19/20	EGP		179,379	USD		10,949		(144	)
Citigroup		06/08/20	KRW		3,698,228	USD		3,067		79
Citigroup		06/17/20	USD		2,416	ZAR		44,430		100
Citigroup		06/09/20 - 09/16/20	USD		39,843	ZAR		674,595		(1,705	)
Citigroup		06/17/20	ZAR		67,820	USD		3,962		120
Citigroup		06/09/20 - 06/17/20	ZAR		211,841	USD		11,548		(454	)
Citigroup		06/17/20	USD		462	HUF		147,801		13
Citigroup		06/17/20	USD		811	CZK		20,011		16
Citigroup		06/17/20	USD		1,525	RON		6,583		(14	)
Citigroup		06/17/20	USD		1,634	PEN		5,833		64
Citigroup		06/17/20	USD		2,402	IDR		39,531,316		293
Citigroup		06/17/20	USD		4,549	ILS		16,606		193
Citigroup		06/17/20	USD		5,701	COP		22,712,392		408
Citigroup		06/17/20	USD		6,003	RUB		451,893		381
Citigroup		06/17/20	RON		6,192	USD		1,383		(38	)
Citigroup		06/17/20 - 08/31/20	USD		4,055	CNY		29,197		12
Citigroup		06/17/20 - 06/18/20	USD		8,402	CNY		59,560		(75	)
Citigroup		06/17/20	USD		708	PLN		2,927		23
Citigroup		06/17/20	USD		11,805	PLN		46,319		(235	)
Citigroup		06/17/20 - 08/06/20	USD		17,749	MXN		428,623		1,569
Citigroup		06/17/20	USD		18,760	CLP		15,662,969		695
Citigroup		06/17/20	CNY		20,038	USD		2,839		37
Citigroup		06/17/20	USD		21,089	THB		669,363		(45	)
Citigroup		06/17/20	TRY		24,855	USD		3,864		235
Citigroup		06/17/20	PLN		21,710	USD		5,701		279
Citigroup		06/17/20	PLN		11,704	USD		2,822		(102	)

292 SEI Institutional Investments Trust / Annual Report / May 31, 2020

									Unrealized
									Appreciation
				Currency to Deliver			Currency to Receive		(Depreciation)
Counterparty	Settlement Date			(Thousands)			(Thousands)		(Thousands)
Citigroup		06/17/20	TWD		40,555	USD		1,360	$	8
Citigroup		06/17/20	PEN		5,240	USD		1,529		4
Citigroup		06/17/20	PEN		53,153	USD		15,363		(107	)
Citigroup		06/17/20 - 06/19/20	THB		70,804	USD		2,187		(39	)
Citigroup		06/17/20	RUB		248,178	USD		3,335		(171	)
Citigroup		06/17/20	INR		517,318	USD		6,643		(189	)
Citigroup		06/17/20	HUF		396,974	USD		1,314		39
Citigroup		06/17/20	HUF		396,526	USD		1,215		(59	)
Citigroup		06/17/20	CLP		1,218,895	USD		1,417		(97	)
Citigroup		06/17/20	COP		18,108,923	USD		5,013		141
Citigroup		06/17/20	COP		4,998,006	USD		1,247		(98	)
Citigroup		06/17/20	IDR		25,589,254	USD		1,686		(59	)
Citigroup		06/25/20	JPY		325,669	USD		2,938		(86	)
Citigroup		07/06/20	RON		470	EUR		96		(1	)
Citigroup		07/06/20	EUR		918	RON		4,469		3
Citigroup		07/15/20 - 07/21/20	HUF		1,978,415	EUR		5,629		(90	)
Citigroup		07/21/20	EUR		1,019	CZK		27,571		6
Citigroup		08/06/20	MXN		27,322	USD		1,223		(1	)
Citigroup		08/21/20	PLN		6,539	EUR		1,446		(23	)
Citigroup		08/26/20	UGX		6,445,749	USD		1,615		(54	)
Citigroup		12/07/20	USD		521	UYU		21,270		(53	)
Goldman Sachs		06/02/20 - 09/02/20	USD		22,117	BRL		115,795		(846	)
Goldman Sachs		06/03/20	USD		169	EUR		151		(2	)
Goldman Sachs		06/05/20	USD		882	KZT		356,261		(17	)
Goldman Sachs		06/05/20	AUD		2,342	USD		1,508		(47	)
Goldman Sachs		06/05/20 - 06/17/20	USD		4,043	IDR		65,152,470		404
Goldman Sachs		06/08/20	USD		2,998	KRW		3,678,365		(27	)
Goldman Sachs		06/09/20 - 06/17/20	USD		8,540	ZAR		155,673		282
Goldman Sachs		06/09/20	USD		522	ZAR		9,093		(7	)
Goldman Sachs		06/17/20	USD		937	PEN		3,181		(11	)
Goldman Sachs		06/17/20 - 06/19/20	USD		1,642	THB		53,020		25
Goldman Sachs		06/17/20 - 07/03/20	EUR		2,943	USD		3,220		(55	)
Goldman Sachs		06/17/20	USD		4,123	RUB		306,794		210
Goldman Sachs		06/17/20	USD		4,127	CZK		96,936		(119	)
Goldman Sachs		06/17/20	USD		5,292	CLP		4,376,741		145
Goldman Sachs		06/17/20	USD		6,571	PLN		25,755		(138	)
Goldman Sachs		06/17/20	USD		8,467	COP		33,617,335		577
Goldman Sachs		06/17/20 - 08/06/20	USD		7,953	MXN		191,183		630
Goldman Sachs		06/17/20	USD		4,284	MXN		91,696		(149	)
Goldman Sachs		06/17/20 - 06/18/20	PEN		14,357	USD		4,224		45
Goldman Sachs		06/18/20	PEN		9,216	USD		2,644		(38	)
Goldman Sachs		06/17/20	ILS		8,269	USD		2,363		2
Goldman Sachs		06/17/20	ILS		16,051	USD		4,582		(2	)
Goldman Sachs		06/17/20	INR		69,093	USD		887		(25	)
Goldman Sachs		06/17/20	ZAR		80,080	USD		4,284		(252	)
Goldman Sachs		06/17/20 -06/19/20	THB		104,060	USD		3,181		(90	)
Goldman Sachs		06/17/20	RUB		763,965	USD		10,373		(419	)
Goldman Sachs		06/17/20	CLP		1,743,674	USD		2,180		14
Goldman Sachs		06/17/20	CLP		6,273,219	USD		7,714		(78	)
Goldman Sachs		06/17/20	COP		35,029,086	USD		8,778		(645	)

SEI Institutional Investments Trust / Annual Report / May 31, 2020 293

SCHEDULE OF INVESTMENTS

May 31, 2020

Emerging Markets Debt Fund (Continued)

									Unrealized
									Appreciation
				Currency to Deliver			Currency to Receive		(Depreciation)
Counterparty	Settlement Date			(Thousands)			(Thousands)		(Thousands)
Goldman Sachs		06/18/20 - 08/31/20	USD		5,449	CNY		39,214	$	13
Goldman Sachs		07/15/20	EUR		2,739	HUF		976,428		89
Goldman Sachs		07/21/20	EUR		2,833	CZK		77,897		69
Goldman Sachs		07/21/20	CZK		160,069	EUR		5,892		(64	)
Goldman Sachs		07/29/20	NGN		1,467,496	USD		3,800		142
Goldman Sachs		08/05/20 - 08/10/20	TRY		37,972	USD		5,094		(355	)
Goldman Sachs		08/06/20	MXN		26,793	USD		1,096		(104	)
Goldman Sachs		08/21/20	PLN		2,777	EUR		608		(16	)
Goldman Sachs		08/21/20	EUR		2,860	PLN		12,952		49
Goldman Sachs		11/19/20	EGP		31,867	USD		1,915		36
JPMorgan Chase Bank		06/02/20 - 07/02/20	BRL		60,531	USD		12,708		1,565
JPMorgan Chase Bank		06/03/20 - 06/25/20	USD		14,826	EUR		13,642		351
JPMorgan Chase Bank		06/03/20	USD		3,201	EUR		2,820		(64	)
JPMorgan Chase Bank		06/03/20	EUR		20,250	USD		22,633		107
JPMorgan Chase Bank		06/03/20 - 08/05/20	EUR		52,250	USD		56,612		(1,541	)
JPMorgan Chase Bank		06/05/20	USD		1,541	AUD		2,342		14
JPMorgan Chase Bank		06/05/20	USD		2,830	KZT		1,144,491		(54	)
JPMorgan Chase Bank		06/05/20	KZT		773,734	USD		1,940		63
JPMorgan Chase Bank		07/22/20 - 08/19/20	USD		8,742	ZAR		162,606		418
JPMorgan Chase Bank		06/09/20	USD		1,391	ZAR		24,187		(20	)
JPMorgan Chase Bank		08/19/20	ZAR		12,286	USD		698		7
JPMorgan Chase Bank		06/09/20 - 07/22/20	ZAR		332,510	USD		17,625		(1,170	)
JPMorgan Chase Bank		06/15/20	USD		663	PHP		33,604		1
JPMorgan Chase Bank		06/15/20 - 06/30/20	USD		3,539	MYR		15,437		20
JPMorgan Chase Bank		06/15/20 - 06/17/20	USD		7,404	IDR		118,136,923		653
JPMorgan Chase Bank		06/15/20 - 06/22/20	USD		11,318	CLP		9,380,752		334
JPMorgan Chase Bank		06/15/20 - 06/22/20	BRL		17,177	USD		2,986		(174	)
JPMorgan Chase Bank		06/15/20 - 06/22/20	PEN		24,651	USD		7,214		40
JPMorgan Chase Bank		06/22/20	PEN		8,051	USD		2,332		(11	)
JPMorgan Chase Bank		06/15/20 - 06/18/20	RUB		430,508	USD		5,799		(282	)
JPMorgan Chase Bank		06/15/20	KRW		7,238,047	USD		5,907		59
JPMorgan Chase Bank		06/16/20	COP		15,274,608	USD		3,851		(258	)
JPMorgan Chase Bank		06/17/20	USD		596	COP		2,388,178		46
JPMorgan Chase Bank		06/17/20	USD		1,562	ILS		5,743		78
JPMorgan Chase Bank		06/17/20	USD		3,389	CLP		2,804,118		94
JPMorgan Chase Bank		06/17/20	USD		476	CLP		382,620		(1	)
JPMorgan Chase Bank		06/17/20	USD		4,328	CZK		96,688		(330	)
JPMorgan Chase Bank		08/20/20	USD		3,110	PLN		13,164		178
JPMorgan Chase Bank		06/17/20	USD		3,523	PLN		13,765		(85	)
JPMorgan Chase Bank		06/17/20	USD		5,048	HUF		1,650,563		254
JPMorgan Chase Bank		06/17/20	USD		2,807	HUF		826,559		(152	)
JPMorgan Chase Bank		06/17/20 - 06/18/20	USD		8,451	KRW		10,229,864		(184	)
JPMorgan Chase Bank		06/17/20	CZK		93,167	USD		4,116		264
JPMorgan Chase Bank		06/17/20	CZK		13,330	USD		517		(34	)
JPMorgan Chase Bank		06/17/20	PHP		298,133	USD		5,786		(104	)
JPMorgan Chase Bank		06/17/20	HUF		598,880	USD		1,888		(36	)
JPMorgan Chase Bank		06/17/20	COP		50,719,273	USD		12,905		(739	)
JPMorgan Chase Bank		06/17/20 - 06/26/20	IDR		289,636,666	USD		19,287		(442	)
JPMorgan Chase Bank		06/18/20	USD		841	RUB		62,388		40
JPMorgan Chase Bank		06/18/20	PEN		1,844	USD		521		(16	)
JPMorgan Chase Bank		06/18/20	USD		3,151	PEN		11,232		117

294 SEI Institutional Investments Trust / Annual Report / May 31, 2020

									Unrealized
									Appreciation
				Currency to Deliver			Currency to Receive		(Depreciation)
Counterparty	Settlement Date			(Thousands)			(Thousands)		(Thousands)
JPMorgan Chase Bank		06/18/20	USD		3,582	TRY		25,638	$	161
JPMorgan Chase Bank		06/18/20 - 06/29/20	USD		8,013	BRL		46,060		459
JPMorgan Chase Bank		06/29/20	USD		3,821	BRL		20,204		(105	)
JPMorgan Chase Bank		06/19/20	USD		652	THB		21,025		9
JPMorgan Chase Bank		06/19/20	THB		75,435	USD		2,300		(72	)
JPMorgan Chase Bank		06/22/20	IDR		71,608,743	USD		4,772		(104	)
JPMorgan Chase Bank		07/02/20	USD		1,624	BRL		8,881		10
JPMorgan Chase Bank		07/03/20	AUD		2,342	USD		1,541		(13	)
JPMorgan Chase Bank		07/15/20 - 07/21/20	HUF		1,961,818	EUR		5,581		(90	)
JPMorgan Chase Bank		07/21/20	EUR		2,786	HUF		980,112		47
JPMorgan Chase Bank		07/21/20	CZK		35,668	EUR		1,326		—
JPMorgan Chase Bank		07/27/20	SGD		4,085	USD		2,862		(29	)
JPMorgan Chase Bank		07/28/20 - 08/20/20	USD		2,121	MXN		47,816		22
JPMorgan Chase Bank		08/13/20	TRY		29,560	USD		3,891		(341	)
JPMorgan Chase Bank		08/20/20	USD		5,990	RON		27,091		203
JPMorgan Chase Bank		08/20/20	RON		8,313	USD		1,874		(26	)
JPMorgan Chase Bank		08/21/20	EUR		10,199	PLN		46,448		241
JPMorgan Chase Bank		08/21/20	PLN		13,029	EUR		2,944		26
JPMorgan Chase Bank		08/26/20	USD		1,583	INR		121,282		7
JPMorgan Chase Bank		08/27/20	USD		826	UAH		21,250		169
JPMorgan Chase Bank		10/19/20	USD		240	UYU		9,000		(40	)
Merrill Lynch		06/17/20	USD		482	SGD		697		11
Merrill Lynch		06/17/20	USD		550	ILS		1,969		12
Merrill Lynch		06/17/20	USD		600	CZK		15,050		22
Merrill Lynch		06/17/20	ZAR		13,453	USD		759		(3	)
Standard Bank		06/02/20 - 09/02/20	USD		10,173	BRL		52,615		(516	)
Standard Bank		06/03/20 - 06/17/20	EUR		10,546	USD		11,559		(173	)
Standard Bank		07/03/20 - 07/07/20	USD		16,994	EUR		15,459		211
Standard Bank		06/03/20	USD		202	EUR		177		(4	)
Standard Bank		06/09/20	USD		1,626	ZAR		28,343		(20	)
Standard Bank		06/17/20	USD		399	TWD		11,806		(5	)
Standard Bank		06/17/20	USD		1,108	PHP		57,489		28
Standard Bank		06/17/20	USD		2,089	IDR		31,205,728		39
Standard Bank		06/17/20	USD		2,742	RUB		205,208		157
Standard Bank		06/17/20	USD		2,763	SGD		3,969		46
Standard Bank		06/17/20	SGD		23,939	USD		17,030		90
Standard Bank		06/17/20	SGD		2,665	USD		1,875		(11	)
Standard Bank		06/17/20 - 08/06/20	MXN		104,526	USD		4,673		(29	)
Standard Bank		06/17/20	INR		130,515	USD		1,687		(37	)
Standard Bank		06/17/20	TWD		50,619	USD		1,695		7
Standard Bank		06/17/20	TWD		153,390	USD		5,106		(9	)
Standard Bank		06/17/20	PHP		207,177	USD		4,017		(76	)
Standard Bank		08/03/20 - 11/02/20	NGN		1,352,655	USD		2,963		(322	)
Standard Bank		09/09/20 - 09/23/20	UGX		10,086,999	USD		2,480		(121	)
Standard Chartered		08/04/20	USD		439	BRL		2,456		12
Standard Chartered		06/02/20 - 07/02/20	USD		15,666	BRL		71,708		(2,464	)
Standard Chartered		06/05/20 - 06/22/20	IDR		69,625,494	USD		4,651		(97	)
Standard Chartered		06/15/20	USD		2,813	KRW		3,483,590		2
Standard Chartered		07/28/20	USD		3,327	KRW		4,096,450		(11	)
Standard Chartered		06/15/20 - 06/30/20	MYR		19,679	USD		4,572		34

SEI Institutional Investments Trust / Annual Report / May 31, 2020 295

SCHEDULE OF INVESTMENTS

May 31, 2020

Emerging Markets Debt Fund (Continued)

									Unrealized
									Appreciation
				Currency to Deliver			Currency to Receive		(Depreciation)
Counterparty	Settlement Date			(Thousands)			(Thousands)		(Thousands)
Standard Chartered		06/30/20	MYR		35,430	USD		8,095	$	(93	)
Standard Chartered		06/17/20	CLP		2,445,494	USD		3,030		(7	)
Standard Chartered		06/19/20	USD		3,386	THB		109,655		61
Standard Chartered		06/23/20	PHP		16,318	USD		319		(3	)
Standard Chartered		06/26/20	THB		97,561	USD		3,061		(6	)
Standard Chartered		07/02/20	BRL		4,413	USD		836		25
Standard Chartered		07/02/20	BRL		5,176	USD		948		(4	)
Standard Chartered		07/21/20	CZK		23,712	EUR		860		(24	)
Standard Chartered		07/27/20	USD		2,022	RUB		144,385		6
Standard Chartered		07/28/20 - 08/26/20	USD		3,588	INR		273,622		6
State Street		06/03/20 - 08/05/20	EUR		3,240	USD		3,547		(59	)
State Street		06/17/20	USD		1,740	CLP		1,492,525		114
State Street		07/15/20	EUR		2,787	HUF		995,892		97
State Street		08/06/20	MXN		14,854	USD		609		(56	)
									$	(4,788	)

A list of open centrally cleared swap agreements held by the Fund at May 31, 2020, is as follows:

Interest Rate Swaps
										Upfront		Net Unrealized
					Notional					Payments/		Appreciation
		Payment			Amount		Value			Receipts		(Depreciation)
Fund Pays	Fund Receives	Frequency	Termination Date	Currency	(Thousands)		(Thousands)			(Thousands)		(Thousands)
8.145%	28-DAY MXN -TIIE	Monthly	01/28/2021	MXN		197,867	$	(189	)	$	–	$	(189	)
1-DAY BRL - CETIP	.82%	Annually	01/02/2025	BRL		4,671		30			–		30
6-MONTH HUF - BUBOR	1.37%	Annually	02/17/2025	HUF		360,019		24			–		24
28-DAY MXN - TIIE	7.755%	Monthly	02/24/2025	MXN		30,000		149			–		149
5.081250%	INR - MIBOR	Semi-Annually	02/25/2025	INR		724,631		(399	)		–		(399	)
5.0975%	INR - MIBOR	Semi-Annually	02/26/2025	INR		362,315		(203	)		–		(203	)
28-DAY MXN - TIIE	6.62%	Monthly	03/21/2025	MXN		26,103		72			–		72
6-MONTH HUF - BUBOR	.725%	Annually	03/25/2025	HUF		387,151		(13	)		–		(13	)
28-DAY MXN - TIIE	6.45%	Monthly	04/01/2025	MXN		45,932		110			–		110
7D CHINA FIXING REPO RATES (CNRR007)	1.84%	Quarterly	05/26/2025	CNY		24,000		(1	)		–		(1	)
28-DAY MXN - TIIE	7.72%	Monthly	12/03/2026	MXN		16,200		90			–		90
28-DAY MXN - TIIE	8.155%	Monthly	12/28/2026	MXN		21,000		141			–		141
1-DAY BRL - CETIP	7.37%	Annually	01/04/2027	BRL		3,427		20			–		20
28-DAY MXN - TIIE	7.51%	Monthly	04/20/2027	MXN		11,913		61			–		61
1-DAY BRL - CETIP	6.455%	Annually	01/02/2025	BRL		4,989		21			–		21
2.969% FIXED	6-MONTH HUF -BUBOR	Semi-Annually	02/08/2029	HUF		600,000		(119	)		–		(119	)
5.915%	1-DAY COP- COLUMBIA IBR	Quarterly	05/15/2029	COP		6,500,000		(256	)		–		(256	)
5.37%	1-DAY COP- COLUMBIA IBR	Quarterly	06/21/2029	COP		3,800,000		(103	)		–		(103	)
3-MONTH ZAR - JIBAR	8.49%	Quarterly	07/18/2029	ZAR		60,000		(53	)		–		(53	)
6.9225%	28-DAY MXN - TIIE	Monthly	08/31/2029	MXN		58,394		(195	)		–		(195	)
6.82%	28-DAY MXN - TIIE	Monthly	09/10/2029	MXN		40,855		(122	)		–		(122	)
1-DAY-CLP - SINACOFI CHILE INTERBANK RATE AVG	3.045%	Semi-Annually	11/29/2029	CLP		369,742		(42	)		–		(42	)
1.805%	6-MONTH PZL - WIBOR	Semi-Annually	12/17/2029	PLN		15,600		(392	)		–		(392	)
1.81%	6-MONTH CZK - PRIBOR	Semi-Annually	01/17/2030	CZK		15,000		(76	)		–		(76	)
1.61%	6-MONTH HUF - BUBOR	Semi-Annually	01/17/2030	HUF		185,000		6			–		6
6-MONTH PLN - WIBOR	1.75%	Annually	02/26/2030	PLN		16,800		397			–		397
3-MONTH ZAR - JIBAR	.54%	Quarterly	02/28/2030	ZAR		29,979		(68	)		–		(68	)
1-DAY COP - COLUMBIA IBR	5.47%	Quarterly	03/11/2030	COP		1,499,197		(43	)		–		(43	)
5.4%	1-DAY COP- COLUMBIA IBR	Quarterly	03/11/2030	COP		2,559,198		(69	)		–		(69	)
5.81%	1-DAY COP- COLUMBIA IBR	Quarterly	04/03/2029	COP		7,450,804		(275	)		–		(275	)

296 SEI Institutional Investments Trust / Annual Report / May 31, 2020

										Upfront		Net Unrealized
					Notional					Payments/		Appreciation
		Payment			Amount		Value			Receipts		(Depreciation)
Fund Pays	Fund Receives	Frequency	Termination Date	Currency	(Thousands)		(Thousands)			(Thousands)		(Thousands)
5.45%	1-DAY COP-COLUMBIA IBR	Quarterly	03/12/2030	COP		2,279,681	$	(64	)	$	–	$	(64	)
1-DAY BRL - CETIP	6.77%	Annually	01/02/2025	BRL		5,570		34			–		34
.675%	6-MONTH CZK - PRIBOR	Semi-Annually	07/17/2024	CZK		28,223		(60	)		–		(60	)
8.09%	28-DAY MXN - TIIE	Monthly	01/28/2021	MXN		193,370		(182	)		–		(182	)
6-MONTH CZK - PRIBOR	2.1%	Annually	09/30/2021	CZK		206,802		168			–		168
6-MONTH CZK - PRIBOR	2.225%	Annually	11/11/2021	CZK		51,000		54			–		54
1-DAY COP - COLUMBIA IBR	4.9%	Annually	11/18/2021	COP		36,635,161		245			–		245
1-DAY COP - COLUMBIA IBR	4.81%	Annually	11/19/2021	COP		39,364,839		254			–		254
1.960%	1-DAY-CLP - SINACOFI CHILE INTERBANK RATE AVG	Semi-Annually	12/12/2021	CLP		3,489,141		(96	)		–		(96	)
1-DAY BRL - CETIP	5.89%	Annually	01/03/2022	BRL		36,997		275			–		275
28-DAY MXN - TIIE	7.705%	Monthly	01/21/2022	MXN		6,000		12			–		12
1.46%	6-MONTH CZK - PRIBOR	Semi-Annually	03/12/2022	CZK		421,033		(258	)		–		(258	)
28-DAY MXN - TIIE	6.745%	Monthly	06/23/2022	MXN		49,636		86			–		86
28-DAY MXN - TIIE	6.71%	Monthly	07/07/2022	MXN		45,683		79			–		79
1-DAY BRL - CETIP	6.77%	Annually	01/02/2023	BRL		8,540		90			–		90
1-DAY BRL - CETIP	5.49%	Annually	01/02/2023	BRL		28,195		154			–		154
6-MONTH HUF - BUBOR	0.81%	Annually	09/12/2024	HUF		100,000		(1	)		–		(1	)
1-DAY BRL - CETIP	9.255%	Annually	01/02/2023	BRL		2,474		50			–		50
1-DAY BRL - CETIP	6.475%	Annually	01/02/2023	BRL		21,609		206			–		206
1-DAY BRL - CETIP	5.25%	Annually	01/02/2023	BRL		15,387		69			–		69
1-DAY BRL - CETIP	6.61%	Annually	01/02/2023	BRL		6,301		63			–		63
1-DAY BRL - CETIP	6.23%	Annually	01/02/2023	BRL		7,534		63			–		63
28-DAY MXN - TIIE	5.55%	Monthly	04/13/2023	MXN		66,291		54			–		54
1-DAY BRL - CETIP	6.5%	Annually	01/02/2024	BRL		6,494		47			–		47
1-DAY BRL - CETIP	.56%	Annually	01/02/2024	BRL		26,364		57			–		57
1-DAY BRL - CETIP	5.7%	Annually	01/02/2024	BRL		12,439		41			–		41
1.9865%	6-MONTH PZL - WIBOR	Semi-Annually	03/25/2024	PLN		14,495		(216	)		–		(216	)
6-MONTH PLN - WIBOR	.63%	Annually	03/26/2024	PLN		4,262		9			–		9
6-MONTH PLN - WIBOR	.65%	Annually	03/26/2024	PLN		3,738		8			–		8
1.7%	6-MONTH CZK - PRIBOR	Semi-Annually	06/18/2024	CZK		195,000		(430	)		–		(430	)
.64%	6-MONTH CZK - PRIBOR	Semi-Annually	06/21/2024	CZK		30,000		(63	)		–		(63	)
1-DAY BRL - CETIP	11.475%	Annually	01/02/2023	BRL		7,562		211			–		211
4.98%	1-DAY COP- COLUMBIA IBR	Quarterly	04/23/2030	COP		1,595,236		(28	)		–		(28	)
							$	(566	)	$	–	$	(566	)

A list of open OTC swap agreements held by the Fund at May 31, 2020, is as follows:

Interest Rate Swaps

Net Unrealized

Notional

Upfront

Appreciation

Termination

Amount

Value

Payments

(Depreciation)

Counterparty

Fund Pays

Fund Receives

Payment Frequency

Date

Currency

(Thousands)

(Thousands)

(Thousands)

(Thousands)

Goldman Sachs

1-DAY BRL - CETIP

12.725%

Annually

01/04/2021

BRL

13,491

$

921

$

–

$

921

JPMorgan Chase

1-DAY BRL - CETIP

10.23%

Annually

01/04/2021

BRL

250

9

–

9

JPMorgan Chase

1-DAY BRL - CETIP

10.04%

Annually

01/04/2021

BRL

9,579

323

–

323

JPMorgan Chase

1-DAY BRL - CETIP

9.61%

Annually

01/04/2021

BRL

6,884

208

–

208

JPMorgan Chase

1-DAY BRL - CETIP

9.275%

Annually

01/04/2021

BRL

7,587

207

–

207

JPMorgan Chase

1-DAY BRL - CETIP

8.87%

Annually

01/04/2021

BRL

11,980

292

–

292

Goldman Sachs

28-DAY MXN - TIIE

5.370%

Monthly

03/17/2021

MXN

62,000

8

–

8

Goldman Sachs

3-MONTH MOSCOW PRIME OFFERED RATE - RUB

7.515%

Annually

06/10/2021

RUB

1,405,247

480

–

480

JPMorgan Chase

1.3775%

6-MONTH HUF - BUBOR

Semi-Annually

06/17/2021

HUF

875,267

(54

)

–

(54

)

Goldman Sachs

6-MONTH PLN - WIBOR

2.208%

Annually

11/16/2021

PLN

10,048

102

–

102

Citigroup

6-MONTH PLN - WIBOR

2.431%

Annually

12/14/2021

PLN

15,500

172

–

172

Goldman Sachs

3-MONTH MOSCOW PRIME OFFERED RATE - RUB

6.29%

Quarterly

12/14/2021

RUB

700,000

139

–

139

SEI Institutional Investments Trust / Annual Report / May 31, 2020 297

SCHEDULE OF INVESTMENTS

May 31, 2020

Emerging Markets Debt Fund (Concluded)

Net Unrealized

Notional

Upfront

Appreciation

Termination

Amount

Value

Payments

(Depreciation)

Counterparty

Fund Pays

Fund Receives

Payment Frequency

Date

Currency

(Thousands)

(Thousands)

(Thousands)

(Thousands)

Goldman Sachs

1.265%

6-MONTH HUF - BUBOR

Semi-Annually

01/10/2022

HUF

2,251,935

$

(97

)

$

–

$

(97

)

JPMorgan Chase

1.30%

6-MONTH HUF - BUBOR

Semi-Annually

04/06/2022

HUF

400,000

(15

)

–

(15

)

JPMorgan Chase

1-DAY-CLP - Sinacofi Chile Interbank Rate Avg

3.43%

Semi-Annually

05/10/2022

CLP

933,434

67

–

67

Goldman Sachs

28-DAY MXN - TIIE

5.900%

Monthly

09/12/2022

MXN

99,662

104

–

104

Goldman Sachs

6-MONTH HUF - BUBOR

0.8385%

Annually

09/21/2022

HUF

2,000,000

51

–

51

Goldman Sachs

1-DAY BRL - CETIP

11.985%

Annually

01/02/2023

BRL

3,000

305

–

305

Goldman Sachs

1-YEAR BRL-CDI

10.89%

Quarterly

01/03/2023

BRL

6,139

481

–

481

Goldman Sachs

3-MONTH MOSCOW PRIME OFFERED RATE - RUB

7.072%

Quarterly

04/02/2023

RUB

1,057,550

545

–

545

Goldman Sachs

7D CHINA FIXING REPO RATES

2.77%

Quarterly

07/05/2024

CNY

10,063

56

–

56

Goldman Sachs

7D CHINA FIXING REPO RATES

2.894%

Quarterly

10/14/2024

CNY

14,950

118

–

118

Goldman Sachs

28-DAY MXN - TIIE

6.355%

Monthly

05/21/2025

MXN

29,801

65

–

65

Goldman Sachs

28-DAY MXN - TIIE

6.205%

Monthly

12/08/2025

MXN

21,174

39

–

39

Goldman Sachs

28-DAY MXN - TIIE

6.165%

Monthly

03/05/2026

MXN

63,199

107

–

107

JPMorgan Chase

28-DAY MXN - TIIE

6.13%

Monthly

06/18/2026

MXN

47,000

74

–

74

Goldman Sachs

28-DAY MXN - TIIE

6.381%

Monthly

09/16/2026

MXN

35,000

75

–

75

$

4,782

$

–

$

4,782

Credit Default Swap

Upfront

Notional

Payments/

Net Unrealized

Buy/Sell

(Pays)/Receives

Payment

Termination

Amount

Value

Receipts

(Depreciation)

Counterparty

Reference Entity/ Obligation

Protection

Rate

Frequency

Date

(Thousands)

(Thousands)

(Thousands)

(Thousands)

JPMorgan Chase

Argentina Republic of Government

Sell

5.00%

Quarterly

06/20/2023

$

(2,769

)

$

(1,859

)

$

139

$

(1,999

)

Cross-Currency Swaps

Net Unrealized

Notional

Upfront

Appreciation

Payment

Termination

Amount

Value

Payment

(Depreciation)

Counterparty

Fund Pays

Fund Receives

Frequency

Date

Currency

(Thousands)

(Thousands)

(Thousands)

(Thousands)

JPMorgan Chase

3-MONTH USD - LIBOR

12.90%

Quarterly

10/07/2025

TRY

4,123

$

(136

)

$

–

$

(136

)

JPMorgan Chase

3-MONTH USD - LIBOR

11.065%

Quarterly

12/07/2025

TRY

3,047

40

–

40

$

(96

)

$

–

$

(96

)

Percentages are based on Net Assets of $2,064,146 ($ Thousands).

* Non-income producing security.

(A) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On May 31, 2020, the value of these securities amounted to $382,025 ($ Thousands), representing 18.5% of the Net Assets of the Fund.

(B) Security is in default on interest payment.

(C) Step Bonds – Represents the current rate, the step rate, the step date and the final maturity date.

(D) Zero coupon security. The rate shown on the Schedule of Investments is the security’s effective yield at the time of purchase.

(E) Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets.

(F) Refer to table below for details on Options Contracts.

AUD — Australian Dollar

BADLAR — Buenos Aires Deposits of Large Amount Rate

BRL — Brazilian Real

BUBOR — Budapest Interbank Offered Rate

CETIP — Central of Custody and Financial Settlement of Securities

CJSC — Closed Joint-Stock Company

CLP — Chilean Peso

CNY — Chinese Yuan Onshore

COP — Colombian Peso

CZK — Czech Koruna

DAC — Designated Activity Company

DOP — Dominican Peso

EGP — Egyptian Pound

EUR — Euro

GHS — Ghanaian Cedi

HKD — Hong Kong Dollar

HUF — Hungarian Forint

ICE — Intercontinental Exchange

IDR — Indonesian Rupiah

INR — Indian Rupee

ILS — Israeli New Sheckels

JIBAR — Johannesburg Interbank Average Rate

JPY — Japanese Yen

JSC — Joint-Stock Company

KRW — Korean Won

298 SEI Institutional Investments Trust / Annual Report / May 31, 2020

KZT — Kazakhstani Tenge

LIBOR — London Interbank Offered Rate

LLC — Limited Liability Company

Ltd. — Limited

MTN — Medium Term Note

MXN — Mexican Peso

MYR — Malaysian Ringgit

NGN — Nigerian Naira

PEN — Peruvian Nuevo Sol

PHP — Philippine Peso

PLC — Public Limited Company

PLN — Polish Zloty

PRIBOR — Prague Interbank Offered Rate

RON — Romanian Leu

RSD — Serbian Dinar

RUB — Russian Ruble

Ser — Series

SGD — Singapore Dollar

THB — Thai Bhat

TIIE — Interbank Equilibrium Interest Rate

TRY — Turkish Lira

TWD — Taiwan Dollar

UAH — Ukrainian Hryvnia

UGX — Uganda Dollar

USD — United States Dollar

UYU — Uruguay Dollar

VAR — Variable Rate

WIBOR — Warsaw Interbank Offered Rate

ZAR — South African Rand

The following is a list of the level of inputs used as of May 31, 2020, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

	Level 1			Level 2			Level 3		Total
Investments in Securities	($)			($)			($)		($)
Global Bonds		–			1,972,252			–		1,972,252
Total Investments in Securities		–			1,972,252			–		1,972,252
	Level 1			Level 2			Level 3		Total
Other Financial Instruments	($)			($)			($)		($)
Purchased Options		29			–			–		29
Futures Contracts*
Unrealized Appreciation		2,479			–			–		2,479
Unrealized Depreciation		(131	)		–			–		(131	)
Forwards Contracts*
Unrealized Appreciation		–			16,308			–		16,308
Unrealized Depreciation		–			(21,096	)		–		(21,096	)
Centrally Cleared Swaps
Interest Rate Swaps*
Unrealized Appreciation		–			3,450			–		3,450
Unrealized Depreciation		–			(4,016	)		–		(4,016	)
OTC Swaps
Interest Rate Swaps*
Unrealized Appreciation		–			4,948			–		4,948
Unrealized Depreciation		–			(166	)		–		(166	)
Credit Default Swaps*
Unrealized Depreciation		–			(1,999	)		–		(1,999	)
OTC Swaps
Cross-Currency Swaps*
Unrealized Appreciation		–			40			–		40
Unrealized Depreciation		–			(136	)		–		(136	)
Total Other Financial Instruments		2,377			(2,667	)		–		(290	)

*Futures contracts, forwards contracts and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument.

For the year ended May 31, 2020, there were no transfers in or out of Level 3.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

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, 2020 299

SCHEDULE OF INVESTMENTS

May 31, 2020

Real Return Fund

Sector Weightings (Unaudited)^†:

^†Percentages based on total investments.

Description	Face Amount (Thousands)		Market Value ($ Thousands)
U.S. TREASURY OBLIGATIONS — 99.2%
U.S. Treasury Inflation-Protected Securities
2.375%, 01/15/2025	$	14,496	$	16,408
0.625%, 07/15/2021		20,914		21,069
0.625%, 04/15/2023		21,337		21,869
0.625%, 01/15/2024		23,551		24,407
0.500%, 04/15/2024		16,156		16,709
0.375%, 07/15/2023		24,317		24,957
0.250%, 01/15/2025		22,812		23,552
0.125%, 01/15/2022		22,891		22,946
0.125%, 04/15/2022		23,497		23,544
0.125%, 07/15/2022		22,325		22,559
0.125%, 01/15/2023		24,504		24,746
0.125%, 07/15/2024		23,719		24,363
0.125%, 10/15/2024		17,386		17,897
0.125%, 04/15/2025		9,473		9,779
Total U.S. Treasury Obligations (Cost $288,861) ($ Thousands)				294,805
Total Investments in Securities — 99.2% (Cost $288,861) ($ Thousands)			$	294,805

Percentages are based on Net Assets of $297,237 ($ Thousands).

As of May 31, 2020, all of the Fund’s investments were considered Level 2, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP.

For the year ended May 31, 2020, there were no transfers in or out of Level 3.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.

300 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

May 31, 2020

Limited Duration Bond Fund

Sector Weightings (Unaudited)^†:

^†Percentages are based on total investments.

Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS — 30.9%
Communication Services — 0.4%
AT&T
2.300%, 06/01/2027	$	2,000	$	2,029
Comcast
3.400%, 04/01/2030		870		986
Sprint Spectrum LLC
4.738%, 03/20/2025 (A)		635		673
3.360%, 09/20/2021 (A)		1,193		1,198
T-Mobile USA
3.875%, 04/15/2030 (A)		770		833
				5,719
Consumer Discretionary — 1.0%
Alimentation Couche-Tard
3.550%, 07/26/2027 (A)		400		420
Daimler Finance North America LLC
1.292%, VAR ICE LIBOR USD 3 Month+0.900%, 02/15/2022 (A)		2,190		2,113
Ford Motor Credit LLC
5.750%, 02/01/2021		1,000		1,000
5.596%, 01/07/2022		1,450		1,446
3.813%, 10/12/2021		840		817
3.219%, 01/09/2022		1,150		1,107
3.157%, 08/04/2020		565		565
2.191%, VAR ICE LIBOR USD 3 Month+0.880%, 10/12/2021		500		470
1.636%, VAR ICE LIBOR USD 3 Month+1.080%, 08/03/2022		955		869
General Motors Financial
4.200%, 03/01/2021		1,000		1,010
4.200%, 11/06/2021		1,270		1,289
3.200%, 07/06/2021		445		445
3.150%, 06/30/2022		285		284

Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
NIKE
2.850%, 03/27/2030	$	965	$	1,074
				12,909
Consumer Staples — 1.3%
Anheuser-Busch InBev Worldwide
3.500%, 06/01/2030		975		1,071
BAT Capital
2.764%, 08/15/2022		2,109		2,173
BayCare Health System
2.560%, 11/15/2021		2,595		2,618
Bayer US Finance II LLC
3.875%, 12/15/2023 (A)		1,865		2,011
3.500%, 06/25/2021 (A)		1,500		1,533
Campbell Soup
1.371%, VAR ICE LIBOR USD 3 Month+0.630%, 03/15/2021		500		499
Conagra Brands
1.820%, VAR ICE LIBOR USD 3 Month+0.500%, 10/09/2020		1,100		1,099
Constellation Brands
1.092%, VAR ICE LIBOR USD 3 Month+0.700%, 11/15/2021		665		661
Fresenius Medical Care US Finance II
5.875%, 01/31/2022 (A)		540		573
Kraft Heinz Foods
4.000%, 06/15/2023		2,000		2,122
3.950%, 07/15/2025		1,140		1,196
				15,556
Energy — 2.6%
BP Capital Markets America
3.633%, 04/06/2030		770		864
Chevron
1.141%, 05/11/2023		4,605		4,692
Energy Transfer Partners
5.875%, 03/01/2022		250		263
Exxon Mobil
3.482%, 03/19/2030		2,080		2,352
1.571%, 04/15/2023		9,205		9,461
Kinder Morgan
5.000%, 02/15/2021 (A)		5,000		5,088
Petroleos Mexicanos
5.350%, 02/12/2028		1,200		978
Saudi Arabian Oil MTN
2.875%, 04/16/2024 (A)		9,270		9,599
				33,297
Financials — 19.4%
Avolon Holdings Funding
5.250%, 05/15/2024 (A)		30		25
3.625%, 05/01/2022 (A)		890		792

SEI Institutional Investments Trust / Annual Report / May 31, 2020 301

SCHEDULE OF INVESTMENTS

May 31, 2020

Limited Duration Bond Fund (Continued)

Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Bank of America
3.335%, VAR ICE LIBOR USD 3 Month+0.650%, 01/25/2023	$	1,000	$	1,040
3.004%, VAR ICE LIBOR USD 3 Month+0.790%, 12/20/2023		750		783
2.738%, VAR ICE LIBOR USD 3 Month+0.370%, 01/23/2022		1,455		1,470
Bank of America MTN
2.369%, VAR ICE LIBOR USD 3 Month+0.660%, 07/21/2021		2,515		2,518
2.328%, VAR ICE LIBOR USD 3 Month+0.630%, 10/01/2021		9,335		9,362
Bank of Montreal
1.750%, 06/15/2021 (A)		14,800		14,988
Bank of Montreal MTN
0.837%, VAR United States Secured Overnight Financing Rate+0.680%, 03/10/2023		1,970		1,928
Bank of New York Mellon MTN
1.600%, 04/24/2025		900		931
Bank of Nova Scotia
1.875%, 04/26/2021		13,050		13,221
Canadian Imperial Bank of Commerce
2.100%, 10/05/2020		7,360		7,405
Capital One Financial
3.450%, 04/30/2021		8,155		8,330
Citibank
3.400%, 07/23/2021		250		258
Citigroup
2.900%, 12/08/2021		9,200		9,452
2.312%, VAR United States Secured Overnight Financing Rate+0.867%, 11/04/2022		7,770		7,874
Citizens Bank
2.250%, 10/30/2020		6,550		6,587
Credit Suisse NY
2.800%, 04/08/2022		5,000		5,181
DNB Boligkreditt
2.500%, 03/28/2022 (A)		6,130		6,329
Fifth Third Bancorp
1.625%, 05/05/2023		6,855		6,983
Fifth Third Bank
2.200%, 10/30/2020		3,020		3,036
General Electric MTN
0.921%, VAR ICE LIBOR USD 3 Month+0.380%, 05/05/2026		350		299
Goldman Sachs Bank
3.200%, 06/05/2020		1,000		1,000
Goldman Sachs Group
5.250%, 07/27/2021		6,905		7,238
2.625%, 04/25/2021		5,135		5,219

Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Goldman Sachs Group MTN
2.905%, VAR ICE LIBOR USD 3 Month+0.990%, 07/24/2023	$	500	$	514
JPMorgan Chase
4.500%, 01/24/2022		460		489
3.250%, 09/23/2022		12,000		12,629
2.550%, 03/01/2021		4,036		4,091
2.522%, VAR United States Secured Overnight Financing Rate+2.040%, 04/22/2031		1,585		1,618
Lloyds Bank
6.375%, 01/21/2021		1,250		1,292
Lloyds Banking Group
3.870%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+3.500%, 07/09/2025		180		191
Metropolitan Life Global Funding I
2.950%, 04/09/2030 (A)		965		1,042
Morgan Stanley
5.750%, 01/25/2021		6,943		7,173
Morgan Stanley MTN
5.500%, 07/28/2021		1,800		1,895
2.625%, 11/17/2021		7,180		7,374
National Securities Clearing
1.200%, 04/23/2023 (A)		7,290		7,334
Nationwide Building Society MTN
3.622%, VAR ICE LIBOR USD 3 Month+1.181%, 04/26/2023 (A)		1,595		1,642
New York Life Global Funding
1.100%, 05/05/2023 (A)		4,710		4,766
New York Life Global Funding MTN
2.000%, 04/13/2021 (A)		1,000		1,015
Park Aerospace Holdings
5.250%, 08/15/2022 (A)		425		375
4.500%, 03/15/2023 (A)		460		389
3.625%, 03/15/2021 (A)		250		230
PNC Bank
0.685%, VAR ICE LIBOR USD 3 Month+0.325%, 02/24/2023		9,975		9,857
Principal Life Global Funding II
2.625%, 11/19/2020 (A)		7,170		7,223
Protective Life Global Funding
1.681%, VAR ICE LIBOR USD 3 Month+0.370%, 07/13/2020 (A)		2,090		2,092
Royal Bank of Canada
2.100%, 10/14/2020		5,000		5,030
Santander UK
3.571%, 01/10/2023		1,615		1,662
3.400%, 06/01/2021		585		601
State Street
2.825%, VAR United States Secured Overnight Financing Rate+2.690%, 03/30/2023 (A)		3,965		4,099

302 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Truist Bank
3.525%, VAR ICE LIBOR USD 3 Month+0.500%, 10/26/2021	$	4,500	$	4,542
Truist Financial
2.900%, 03/03/2021		4,995		5,076
Truist Financial MTN
2.200%, 03/16/2023		7,675		7,930
UBS
2.450%, 12/01/2020 (A)		6,840		6,901
US Bank
3.050%, 07/24/2020		2,160		2,164
USAA Capital
1.500%, 05/01/2023 (A)		3,080		3,136
Wells Fargo Bank
3.625%, 10/22/2021		1,000		1,038
3.325%, VAR ICE LIBOR USD 3 Month+0.490%, 07/23/2021		1,445		1,450
2.082%, VAR ICE LIBOR USD 3 Month+0.650%, 09/09/2022		1,225		1,240
Wells Fargo Bank MTN
2.625%, 07/22/2022		9,580		9,883
				250,232
Health Care — 1.8%
AbbVie
5.000%, 12/15/2021 (A)		500		526
3.750%, 11/14/2023		550		598
2.150%, 11/19/2021 (A)		8,775		8,931
Bristol-Myers Squibb
2.550%, 05/14/2021 (A)		6,760		6,901
Cigna
1.493%, VAR ICE LIBOR USD 3 Month+0.650%, 09/17/2021		1,000		995
Humana
3.850%, 10/01/2024		1,500		1,639
2.500%, 12/15/2020		855		863
Stanford Health Care
3.310%, 08/15/2030		965		1,080
Sutter Health
2.286%, 08/15/2053		1,000		1,001
				22,534
Industrials — 0.8%
AerCap Ireland Capital DAC
4.875%, 01/16/2024		580		510
3.950%, 02/01/2022		1,000		942
Air Lease
3.500%, 01/15/2022		690		660
American Airlines, Pass-Through Trust,
Ser 2011-1, Cl A 5.250%, 01/31/2021		404		333

Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
BAE Systems Holdings
2.850%, 12/15/2020 (A)	$	500	$	502
Delta Air Lines 2002-1 Class G-1 Pass Through Trust
6.718%, 01/02/2023		292		285
General Electric
3.625%, 05/01/2030		1,190		1,177
General Electric MTN
2.219%, VAR ICE LIBOR USD 3 Month+1.000%, 04/15/2023		2,000		1,912
IHS Markit
5.000%, 11/01/2022 (A)		1,500		1,610
3.625%, 05/01/2024		430		449
Ingersoll-Rand
9.000%, 08/15/2021		750		812
				9,192
Information Technology — 0.6%
Dell International LLC
4.420%, 06/15/2021 (A)		5,520		5,623
Mastercard
3.350%, 03/26/2030		610		705
NXP BV
4.625%, 06/15/2022 (A)		430		453
4.625%, 06/01/2023 (A)		620		669
4.125%, 06/01/2021 (A)		930		957
				8,407
Materials — 0.1%
Bemis
4.500%, 10/15/2021		1,590		1,634
Real Estate — 1.1%
Boston Properties
4.125%, 05/15/2021		1,000		1,021
Camden Property Trust
2.950%, 12/15/2022		1,490		1,530
CyrusOne
2.900%, 11/15/2024		1,430		1,437
Digital Realty Trust
3.950%, 07/01/2022		500		523
3.625%, 10/01/2022		460		477
Essex Portfolio
5.200%, 03/15/2021		1,000		1,016
GLP Capital
5.375%, 11/01/2023		2,803		2,810
Healthcare Realty Trust
3.750%, 04/15/2023		750		753
Healthpeak Properties
4.250%, 11/15/2023		105		110
3.150%, 08/01/2022		585		589

SEI Institutional Investments Trust / Annual Report / May 31, 2020 303

SCHEDULE OF INVESTMENTS

May 31, 2020

Limited Duration Bond Fund (Continued)

Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Highwoods Realty
3.200%, 06/15/2021	$	1,166	$	1,176
Kilroy Realty
3.450%, 12/15/2024		395		396
Kimco Realty
3.400%, 11/01/2022		1,350		1,394
Realty Income
3.250%, 10/15/2022		1,000		1,044
Welltower
3.750%, 03/15/2023		500		517
				14,793
Sovereign — 1.0%
Inter-American Development Bank MTN
1.750%, 09/14/2022		13,000		13,410
Utilities — 0.8%
Dominion Energy
3.300%, 03/15/2025		1,570		1,693
2.450%, 01/15/2023 (A)		500		518
LG&E & KU Energy LLC
3.750%, 11/15/2020		1,000		1,005
NextEra Energy Capital Holdings
1.036%, VAR ICE LIBOR USD 3 Month+0.480%, 05/04/2021		2,000		1,998
Oncor Electric Delivery LLC
5.750%, 09/30/2020		500		508
Sempra Energy
1.719%, VAR ICE LIBOR USD 3 Month+0.500%, 01/15/2021		3,955		3,937
				9,659
Total Corporate Obligations (Cost $391,094) ($ Thousands)				397,342
MORTGAGE-BACKED SECURITIES — 27.9%
Agency Mortgage-Backed Obligations — 19.0%
FHLMC
4.500%, 09/01/2026		708		755
4.000%, 03/01/2026		282		300
3.000%, 09/01/2029		4,774		5,038
2.500%, 09/01/2027 to 12/01/2027		22,699		23,817
FHLMC ARM
3.611%, VAR ICE LIBOR USD 12 Month+1.536%, 03/01/2037		55		58
FHLMC CMO, Ser 2004-2761, Cl FT
0.534%, VAR LIBOR USD 1 Month+0.350%, 12/15/2033		306		303
FHLMC CMO, Ser 2005-2922, Cl FE
0.434%, VAR LIBOR USD 1 Month+0.250%, 02/15/2035		953		949

Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
FHLMC CMO, Ser 2005-2990, Cl LK
0.554%, VAR LIBOR USD 1 Month+0.370%, 10/15/2034	$	1,254	$	1,253
FHLMC CMO, Ser 2005-3066, Cl PF
0.484%, VAR LIBOR USD 1 Month+0.300%, 04/15/2035		545		546
FHLMC CMO, Ser 2006-3102, Cl FB
0.484%, VAR LIBOR USD 1 Month+0.300%, 01/15/2036		701		700
FHLMC CMO, Ser 2006-3136, Cl KF
0.484%, VAR LIBOR USD 1 Month+0.300%, 04/15/2036		635		633
FHLMC CMO, Ser 2008-3419, Cl FA
0.754%, VAR LIBOR USD 1 Month+0.570%, 08/15/2037		106		106
FHLMC CMO, Ser 2009-3616, Cl FG
0.834%, VAR LIBOR USD 1 Month+0.650%, 03/15/2032		576		582
FHLMC CMO, Ser 2010-3747, Cl PA
4.000%, 04/15/2038		55		55
FHLMC CMO, Ser 2010-3762, Cl FP
0.634%, VAR LIBOR USD 1 Month+0.450%, 03/15/2040		156		156
FHLMC CMO, Ser 2010-3774, Cl EW
3.500%, 12/15/2025		548		576
FHLMC CMO, Ser 2011-3817, Cl MA
4.500%, 10/15/2037		802		815
FHLMC CMO, Ser 2011-3820, Cl DB
4.000%, 11/15/2038		1,205		1,244
FHLMC CMO, Ser 2011-3820, Cl GJ
3.500%, 12/15/2039		275		285
FHLMC CMO, Ser 2011-3867, Cl FN
0.534%, VAR LIBOR USD 1 Month+0.350%, 04/15/2040		197		197
FHLMC CMO, Ser 2011-3895, Cl FM
0.534%, VAR LIBOR USD 1 Month+0.350%, 12/15/2040		931		929
FHLMC CMO, Ser 2011-3940, Cl PF
0.534%, VAR LIBOR USD 1 Month+0.350%, 05/15/2040		1,276		1,274
FHLMC CMO, Ser 2011-3946, Cl FG
0.534%, VAR LIBOR USD 1 Month+0.350%, 10/15/2039		172		172
FHLMC CMO, Ser 2011-3960, Cl JF
0.634%, VAR LIBOR USD 1 Month+0.450%, 04/15/2041		397		397
FHLMC CMO, Ser 2012-4046, Cl PA
2.500%, 05/15/2027		687		710
FHLMC CMO, Ser 2012-4048, Cl GF
0.534%, VAR LIBOR USD 1 Month+0.350%, 10/15/2040		413		413

304 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
FHLMC CMO, Ser 2012-4094, Cl BF
0.584%, VAR LIBOR USD 1 Month+0.400%, 08/15/2032	$	874	$	872
FHLMC CMO, Ser 2012-4095, Cl FB
0.584%, VAR LIBOR USD 1 Month+0.400%, 04/15/2039		320		320
FHLMC CMO, Ser 2012-4102, Cl LF
0.434%, VAR LIBOR USD 1 Month+0.250%, 01/15/2040		273		273
FHLMC CMO, Ser 2012-4145, Cl UC
1.500%, 12/15/2027		4,484		4,550
FHLMC CMO, Ser 2013-4165, Cl TE
1.750%, 12/15/2042		435		441
FHLMC CMO, Ser 2013-4203, Cl DM
3.000%, 04/15/2033		449		475
FHLMC CMO, Ser 2013-4220, Cl KC
1.500%, 05/15/2032		2,401		2,446
FHLMC CMO, Ser 2013-4223, Cl LA
3.000%, 06/15/2040		1,843		1,889
FHLMC CMO, Ser 2013-4247, Cl AK
4.500%, 12/15/2042		292		309
FHLMC CMO, Ser 2013-4253, Cl PA
3.500%, 08/15/2041		748		769
FHLMC CMO, Ser 2013-4262, Cl AB
2.500%, 01/15/2031		1,246		1,239
FHLMC CMO, Ser 2014-4379, Cl CD
2.500%, 04/15/2033		654		673
FHLMC CMO, Ser 2014-4384, Cl LA
3.500%, 09/15/2040		861		886
FHLMC CMO, Ser 2014-4387, Cl JA
3.000%, 06/15/2040		1,522		1,538
FHLMC CMO, Ser 2015-4482, Cl CA
3.000%, 04/15/2034		744		783
FHLMC Multifamily Structured Pass Through Certificates,Ser KJ17, Cl A1
2.404%, 10/25/2024		413		423
FHLMC Multifamily Structured Pass Through Certificates, Ser KJ26, Cl A1
2.135%, 07/25/2025		4,432		4,566
FHLMC Multifamily Structured Pass Through Certificates,Ser KSMC, Cl A2
2.615%, 01/25/2023		1,500		1,568
FHLMC Multifamily Structured Pass-Through Certificates,Ser J22F, Cl A1
3.454%, 05/25/2023		385		394
FHLMC Multifamily Structured Pass-Through Certificates,Ser K018, Cl A2
2.789%, 01/25/2022		1,669		1,712
FHLMC Multifamily Structured Pass-Through Certificates,Ser K020, Cl A2
2.373%, 05/25/2022		900		925

Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
FHLMC Multifamily Structured Pass-Through Certificates,Ser K026, Cl A2
2.510%, 11/25/2022	$	4,708	$	4,893
FHLMC Multifamily Structured Pass-Through Certificates,Ser K027, Cl A2
2.637%, 01/25/2023		6,020		6,285
FHLMC Multifamily Structured Pass-Through Certificates,Ser K504, Cl A2
2.566%, 09/25/2020 (B)		385		385
FHLMC Multifamily Structured Pass-Through Certificates,Ser K715, Cl A2
2.856%, 01/25/2021		4,824		4,869
FHLMC Multifamily Structured Pass-Through Certificates,Ser K722, Cl A1
2.183%, 05/25/2022		3,919		3,999
FHLMC Multifamily Structured Pass-Through Certificates,Ser KJ08, Cl A2
2.356%, 08/25/2022		1,560		1,594
FHLMC Multifamily Structured Pass-Through Certificates,Ser KJ13, Cl A2
2.864%, 08/25/2022		1,141		1,181
FHLMC Multifamily Structured Pass-Through Certificates,Ser KJ24, Cl A1
2.283%, 05/25/2026		4,796		5,054
FHLMC Multifamily Structured Pass-Through Certificates,Ser Q004, Cl AFL
2.431%, VAR 12 Month Treas Avg+0.740%, 05/25/2044		976		975
FHLMC REMIC CMO, Ser 2015-4479, Cl HA
3.750%, 05/15/2039		2,822		2,942
FNMA
6.000%, 02/01/2023		563		586
4.500%, 05/01/2024		366		388
4.450%, 04/01/2021 (B)		124		125
4.342%, 06/01/2021 (B)		700		722
4.160%, 07/01/2021		2,695		2,765
3.795%, 12/01/2020 (B)		1,602		1,618
3.430%, 10/01/2023		1,361		1,453
3.000%, 10/01/2027		2,852		3,007
2.918%, 01/01/2026 (B)		2,046		2,219
2.500%, 12/01/2027 to 08/01/2031		10,059		10,554
2.240%, 12/01/2022		9,541		9,810
1.870%, 07/01/2021		1,672		1,694
FNMA ACES, Ser 2016-M11, Cl AL
2.944%, 07/25/2039		1,303		1,326
FNMA CMO, Ser 2004-94, Cl HF
0.468%, VAR LIBOR USD 1 Month+0.300%, 10/25/2034		192		193
FNMA CMO, Ser 2005-83, Cl FP
0.498%, VAR LIBOR USD 1 Month+0.330%, 10/25/2035		1,054		1,050

SEI Institutional Investments Trust / Annual Report / May 31, 2020 305

SCHEDULE OF INVESTMENTS

May 31, 2020

Limited Duration Bond Fund (Continued)

Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
FNMA CMO, Ser 2006-31, Cl FP
0.468%, VAR LIBOR USD 1 Month+0.300%, 05/25/2036	$	196	$	194
FNMA CMO, Ser 2006-56, Cl FE
0.598%, VAR LIBOR USD 1 Month+0.430%, 07/25/2036		893		893
FNMA CMO, Ser 2007-98, Cl FD
0.618%, VAR LIBOR USD 1 Month+0.450%, 06/25/2037		479		479
FNMA CMO, Ser 2008-24, Cl PF
0.818%, VAR LIBOR USD 1 Month+0.650%, 02/25/2038		315		318
FNMA CMO, Ser 2010-43, Cl VF
0.718%, VAR LIBOR USD 1 Month+0.550%, 05/25/2040		723		727
FNMA CMO, Ser 2011-115, Cl MB
2.500%, 11/25/2026		519		537
FNMA CMO, Ser 2011-87, Cl JA
3.000%, 06/25/2040		2,462		2,517
FNMA CMO, Ser 2011-M2, Cl A3
3.764%, 04/25/2021		2,038		2,066
FNMA CMO, Ser 2012-111, Cl NF
0.518%, VAR LIBOR USD 1 Month+0.350%, 05/25/2042		1,105		1,102
FNMA CMO, Ser 2012-121, Cl GA
1.750%, 08/25/2039		4,379		4,416
FNMA CMO, Ser 2012-20, Cl BD
2.000%, 01/25/2031		2,764		2,834
FNMA CMO, Ser 2012-54, Cl CF
0.868%, VAR LIBOR USD 1 Month+0.700%, 05/25/2042		472		475
FNMA CMO, Ser 2012-93, Cl GF
0.418%, VAR LIBOR USD 1 Month+0.250%, 07/25/2040		196		196
FNMA CMO, Ser 2012-98, Cl MA
2.000%, 08/25/2031		9,136		9,376
FNMA CMO, Ser 2013-104, Cl JA
3.000%, 12/25/2030		414		425
FNMA CMO, Ser 2013-116, Cl CB
2.500%, 04/25/2033		762		792
FNMA CMO, Ser 2013-135, Cl KM
2.500%, 03/25/2028		834		853
FNMA CMO, Ser 2013-53, Cl CL
3.000%, 06/25/2037		474		478
FNMA CMO, Ser 2013-55, Cl MK
2.000%, 12/25/2032		3,849		3,969
FNMA CMO, Ser 2013-6, Cl MC
2.000%, 02/25/2040		424		428
FNMA CMO, Ser 2013-85, Cl AG
2.500%, 08/25/2028		822		857
FNMA CMO, Ser 2014-30, Cl KD
2.500%, 05/25/2033		1,544		1,605

Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
FNMA CMO, Ser 2014-33, Cl AH
3.000%, 06/25/2029	$	746	$	777
FNMA CMO, Ser 2015-18, Cl HB
2.500%, 09/25/2041		2,096		2,138
FNMA CMO, Ser 2016-48, Cl UF
0.568%, VAR LIBOR USD 1 Month+0.400%, 08/25/2046		381		380
FNMA CMO, Ser 2020-10, Cl FA
0.668%, VAR ICE LIBOR USD 1 Month+0.500%, 03/25/2050		4,680		4,691
FNMA CMO, Ser 2020-9, Cl D
6.500%, 09/25/2027		3,830		4,117
FNMA REMIC CMO, Ser 2019-79, Cl FA
0.668%, VAR ICE LIBOR USD 1 Month+0.500%, 01/25/2050		1,089		1,092
FNMA TBA
3.000%, 06/25/2027 to 07/01/2042		4,480		4,706
2.500%, 07/01/2027 to 07/18/2168		14,475		15,046
FNMA, Ser 2010-M7, Cl FA
0.768%, VAR ICE LIBOR USD 1 Month+0.600%, 11/25/2020		11		11
FNMA, Ser 2010-M7, Cl A2
3.655%, 11/25/2020		59		60
FNMA, Ser 2012-M9, Cl A2
2.482%, 04/25/2022		1,228		1,253
FNMA, Ser 2014-M2, Cl ASV2
2.777%, 06/25/2021 (B)		504		508
FNMA, Ser 2016-M9, Cl FA
1.308%, VAR ICE LIBOR USD 1 Month+0.590%, 09/25/2023		812		810
FNMA, Ser 2017-M14, Cl A1
2.876%, 11/25/2027 (B)		1,590		1,727
FREMF Mortgage Trust, Ser 2011-K11, Cl B
4.418%, 12/25/2048 (A)(B)		3,518		3,538
FREMF Mortgage Trust, Ser 2011-K12, Cl B
4.339%, 01/25/2046 (A)(B)		5,605		5,644
GNMA
3.000%, 01/20/2027 to 02/20/2030		3,695		3,892
GNMA ARM
3.000%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+1.500%, 02/20/2041		178		185
GNMA CMO, Ser 2007-1, Cl F
0.471%, VAR LIBOR USD 1 Month+0.300%, 01/20/2037		665		663
GNMA CMO, Ser 2010-158, Cl HA
3.500%, 10/20/2039		357		369
GNMA CMO, Ser 2010-162, Cl PQ
4.500%, 06/16/2039		2		2
GNMA CMO, Ser 2010-98, Cl QF
0.571%, VAR LIBOR USD 1 Month+0.400%, 01/20/2040		1,324		1,325

306 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
GNMA CMO, Ser 2011-151, Cl BF
0.521%, VAR LIBOR USD 1 Month+0.350%, 04/20/2041	$	653	$	652
GNMA CMO, Ser 2012-77, Cl FM
0.852%, VAR LIBOR USD 1 Month+0.670%, 11/16/2039		1,089		1,097
GNMA CMO, Ser 2013-124, Cl CP
2.500%, 06/20/2041		1,117		1,134
GNMA CMO, Ser 2014-20, Cl MU
3.000%, 07/20/2042		6,233		6,524
GNMA CMO, Ser 2015-45, Cl AG
2.500%, 02/16/2041		2,474		2,537
GNMA, Ser 2008-92, Cl E
5.556%, 03/16/2044 (B)		807		835
GNMA, Ser 2010-159, Cl D
4.287%, 09/16/2044 (B)		1,610		1,642
GNMA, Ser 2013-12, Cl AB
1.826%, 11/16/2052		1,142		1,154
Mortgage-Linked Amortizing Notes, Ser 2012-1, Cl A10
2.060%, 01/15/2022		655		661
				243,708
Mortgage Related Securities — 0.9%
ABFC Trust, Ser 2005-HE2, Cl M3
0.948%, VAR ICE LIBOR USD 1 Month+0.780%, 06/25/2035		1,444		1,434
Aegis Asset-Backed Securities Trust, Ser 2005-5, Cl 2A
0.418%, VAR ICE LIBOR USD 1 Month+0.250%, 12/25/2035		444		442
Bear Stearns Asset Backed Securities I Trust, Ser 2005-HE11, Cl M2
0.843%, VAR ICE LIBOR USD 1 Month+0.675%, 11/25/2035		1,126		1,093
GSAA Trust, Ser 2005-10, Cl M4
0.818%, VAR ICE LIBOR USD 1 Month+0.650%, 06/25/2035		2,079		2,055
New Century Home Equity Loan Trust, Ser 2005-2, Cl M2
0.843%, VAR ICE LIBOR USD 1 Month+0.675%, 06/25/2035		57		57
New Century Home Equity Loan Trust, Ser 2005-4, Cl M2
0.678%, VAR ICE LIBOR USD 1 Month+0.510%, 09/25/2035		1,239		1,233
Option One Mortgage Loan Trust, Ser 2005-4, Cl M1
0.828%, VAR ICE LIBOR USD 1 Month+0.660%, 11/25/2035		1,005		1,000

Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
Option One Mortgage Loan Trust, Ser 2006-1, Cl 1A1
0.388%, VAR ICE LIBOR USD 1 Month+0.220%, 01/25/2036	$	402	$	396
RASC Trust, Ser 2006-KS6, Cl A4
0.418%, VAR ICE LIBOR USD 1 Month+0.250%, 08/25/2036		1,741		1,709
Terwin Mortgage Trust, Ser 2006-3, Cl 1A2
0.398%, VAR ICE LIBOR USD 1 Month+0.230%, 04/25/2037 (A)		911		898
				10,317
Non-Agency Mortgage-Backed Obligations — 8.0%
20 Times Square Trust, Ser 2018-20TS, Cl B
3.100%, 05/15/2035 (A)(B)		605		563
Agate Bay Mortgage Trust, Ser 2015-2, Cl A7
3.500%, 03/25/2045 (A)(B)		475		476
Agate Bay Mortgage Trust, Ser 2015-5, Cl A5
3.500%, 07/25/2045 (A)(B)		1,318		1,332
Americold LLC, Ser 2010-ARTA, Cl A1
3.847%, 01/14/2029 (A)		633		634
BBCMS Trust, Ser 2013-TYSN, Cl A2
3.756%, 09/05/2032 (A)		3,331		3,332
BBCMS Trust, Ser 2015-MSQ, Cl D
3.990%, 09/15/2032 (A)(B)		220		215
BCAP LLC Trust, Ser 2015-RR5, Cl 1A3
2.100%, 08/26/2036 (A)(B)		673		667
BENCHMARK Mortgage Trust, Ser 2018-B4, Cl A1
3.125%, 07/15/2051		567		580
BX Commercial Mortgage Trust, Ser 2018-IND, Cl A
0.934%, VAR ICE LIBOR USD 1 Month+0.750%, 11/15/2035 (A)		1,645		1,604
BX Commercial Mortgage Trust, Ser 2019-XL, Cl B
1.264%, VAR ICE LIBOR USD 1 Month+1.080%, 10/15/2036 (A)		2,489		2,405
BX Commercial Mortgage Trust, Ser 2020-BXLP, Cl A
0.984%, VAR ICE LIBOR USD 1 Month+0.800%, 12/15/2036 (A)		1,000		967
CHC Commercial Mortgage Trust, Ser 2019-CHC, Cl A
1.304%, VAR ICE LIBOR USD 1 Month+1.120%, 06/15/2034 (A)		2,949		2,839
Citigroup Commercial Mortgage Trust, Ser 2015-GC31, Cl AAB
3.431%, 06/10/2048		1,900		1,983
Citigroup Mortgage Loan Trust, Ser 2012-8, Cl 3A1
4.101%, 09/25/2037 (A)(B)		555		555

SEI Institutional Investments Trust / Annual Report / May 31, 2020 307

SCHEDULE OF INVESTMENTS

May 31, 2020

Limited Duration Bond Fund (Continued)

Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
COMM Mortgage Trust, Ser 2012-CR2, Cl A4
3.147%, 08/15/2045	$	1,000	$	1,027
COMM Mortgage Trust, Ser 2013-CR11, Cl ASB
3.660%, 08/10/2050		308		318
COMM Mortgage Trust, Ser 2013-LC6, Cl ASB
2.478%, 01/10/2046		1,370		1,383
COMM Mortgage Trust, Ser 2014-UBS5, Cl A2
3.031%, 09/10/2047		302		303
COMM Mortgage Trust, Ser 2014-UBS6, Cl ASB
3.387%, 12/10/2047		1,836		1,908
COMM Mortgage Trust, Ser 2015-LC23, Cl A1
1.811%, 10/10/2048		10		10
Commercial Mortgage Trust, Ser 2013-CR9, Cl ASB
3.834%, 07/10/2045		1,019		1,054
Core Mortgage Trust, Ser 2019-CORE, Cl A
1.064%, VAR ICE LIBOR USD 1 Month+0.880%, 12/15/2031 (A)		500		481
Credit Suisse Commercial Mortgage Securities, Ser 2019-SKLZ, Cl A
1.434%, VAR ICE LIBOR USD 1 Month+1.250%, 01/15/2034 (A)		2,925		2,747
Credit Suisse Mortgage Capital Certificates, Ser 2019-ICE4, Cl A
1.164%, VAR ICE LIBOR USD 1 Month+0.980%, 05/15/2036 (A)		2,925		2,857
Credit Suisse Mortgage Capital Certificates, Ser 2019-ICE4, Cl B
1.414%, VAR ICE LIBOR USD 1 Month+1.230%, 05/15/2036 (A)		5,520		5,340
CSMLT Trust, Ser 2015-1, Cl A3
3.500%, 05/25/2045 (A)(B)		541		542
DBCG Mortgage Trust, Ser 2017-BBG, Cl A
0.884%, VAR ICE LIBOR USD 1 Month+0.700%, 06/15/2034 (A)		2,400		2,328
DBRR Trust, Ser 2011-LC2, Cl A4A
4.537%, 07/12/2044 (A)(B)		1,748		1,769
DBUBS Mortgage Trust, Ser 2011-LC2A, Cl A1FL
1.548%, VAR ICE LIBOR USD 1 Month+1.350%, 07/12/2044 (A)		366		367
FHLMC Whole Loan Securities Trust, Ser 2017-SC02, Cl 2A1
3.500%, 05/25/2047		627		635
Flagstar Mortgage Trust, Ser 2018-4, Cl A4
4.000%, 07/25/2048 (A)(B)		274		275
Flagstar Mortgage Trust, Ser 2018-5, Cl A7
4.000%, 09/25/2048 (A)(B)		241		242
Gosforth Funding, Ser 2018-1A, Cl A1
0.810%, VAR ICE LIBOR USD 3 Month+0.450%, 08/25/2060 (A)		589		587

Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
GRACE Mortgage Trust, Ser 2014-GRCE, Cl B
3.520%, 06/10/2028 (A)	$	200	$	201
GRACE Mortgage Trust, Ser 2014-GRCE, Cl A
3.369%, 06/10/2028 (A)		1,000		1,011
GS Mortgage Securities II, Ser 2018-GS10, Cl A1
3.199%, 07/10/2051		1,261		1,295
GS Mortgage Securities Trust, Ser 2011-GC5, Cl A3
3.817%, 08/10/2044		1,408		1,418
GS Mortgage Securities Trust, Ser 2012-GC6, Cl A3
3.482%, 01/10/2045		558		569
GS Mortgage Securities Trust, Ser 2013-GC13, Cl AAB
3.719%, 07/10/2046 (B)		635		654
GS Mortgage Securities Trust, Ser 2013-GC14, Cl AAB
3.817%, 08/10/2046		815		841
GS Mortgage Securities Trust, Ser 2017-GS5, Cl A1
2.045%, 03/10/2050		669		669
GS Mortgage-Backed Securities Trust, Ser 2018-RPL1, Cl A1A
3.750%, 10/25/2057 (A)		1,673		1,740
HSI Asset Securitization Trust, Ser 2005-NC1, Cl M1
0.933%, VAR ICE LIBOR USD 1 Month+0.765%, 07/25/2035		784		797
JPMBB Commercial Mortgage Securities Trust, Ser 2013-C17, Cl ASB
3.705%, 01/15/2047		297		309
JPMBB Commercial Mortgage Securities Trust, Ser 2014-C21, Cl ASB
3.428%, 08/15/2047		863		892
JPMBB Commercial Mortgage Securities Trust, Ser 2014-C26, Cl ASB
3.288%, 01/15/2048		2,217		2,291
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2011-C5, Cl A3
4.171%, 08/15/2046		706		722
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2012-C8, Cl ASB
2.379%, 10/15/2045		768		776
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2013-LC11, Cl A5
2.960%, 04/15/2046		645		664
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2013-LC11, Cl ASB
2.554%, 04/15/2046		1,189		1,204
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2017-1, Cl A5
3.500%, 01/25/2047 (A)(B)		3,036		3,075

308 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description		Face Amount (Thousands)			Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
JPMorgan Mortgage Trust, Ser 2015-3, Cl A5
3.500%, 05/25/2045 (A)(B)	$		928	$		931
JPMorgan Mortgage Trust, Ser 2017-2, Cl A5
3.500%, 05/25/2047 (A)(B)			782			792
JPMorgan Mortgage Trust, Ser 2017-4, Cl A6
3.000%, 11/25/2048 (A)(B)			1,267			1,277
Merrill Lynch Mortgage Investors Trust, Ser 2004-A, Cl A1
0.628%, VAR ICE LIBOR USD 1 Month+0.460%, 04/25/2029			431			401
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C13, Cl ASB
3.557%, 11/15/2046			392			403
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C7, Cl A4
2.918%, 02/15/2046			830			851
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2014-C15, Cl A3
3.773%, 04/15/2047			375			400
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2015-C26, Cl ASB
3.323%, 10/15/2048			780			813
Morgan Stanley Capital Barclays Bank Trust, Ser 2016-MART, Cl A
2.200%, 09/13/2031 (A)			900			895
Morgan Stanley Capital I Trust, Ser 2011-C3, Cl A4
4.118%, 07/15/2049			1,207			1,230
Morgan Stanley Capital I Trust, Ser 2014-CPT, Cl A
3.350%, 07/13/2029 (A)			3,985			4,060
Morgan Stanley Capital I Trust, Ser 2014-MP, Cl A
3.469%, 08/11/2033 (A)			2,890			2,955
SBALR Commercial Mortgage Trust, Ser 2020-RR1, Cl A1
2.025%, 02/13/2053			1,398			1,387
Sequoia Mortgage Trust, Ser 2017-4, Cl A4
3.500%, 07/25/2047 (A)(B)			296			298
Sequoia Mortgage Trust, Ser 2017-CH1, Cl A11
3.500%, 08/25/2047 (A)(B)			700			705
Sequoia Mortgage Trust, Ser 2018-CH1, Cl A10
4.000%, 02/25/2048 (A)(B)			954			964
UBS Commercial Mortgage Trust, Ser 2018-C11, Cl A1
3.211%, 06/15/2051			421			430
UBS Commercial Mortgage Trust, Ser 2019-C16, Cl A1
2.739%, 04/15/2052			1,962			1,991
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C4, Cl A4
2.792%, 12/10/2045			2,500			2,532

Description		Face Amount (Thousands)			Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
VNDO Mortgage Trust, Ser 2012-6AVE, Cl A
2.996%, 11/15/2030 (A)	$		3,980	$		4,062
VNDO Mortgage Trust, Ser 2013-PENN, Cl A
3.808%, 12/13/2029 (A)			800			803
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR15, Cl A1A1
0.428%, VAR ICE LIBOR USD 1 Month+0.260%, 11/25/2045			1,575			1,462
Wells Fargo Commercial Mortgage Trust, Ser 2016-C33, Cl A2
2.785%, 03/15/2059			698			702
Wells Fargo Commercial Mortgage Trust, Ser 2016-C34, Cl A2
2.603%, 06/15/2049			2,155			2,165
Wells Fargo Commercial Mortgage Trust, Ser 2016-C35, Cl A2
2.495%, 07/15/2048			1,085			1,093
Wells Fargo Commercial Mortgage Trust, Ser 2016-C36, Cl A2
2.504%, 11/15/2059			770			776
Wells Fargo Commercial Mortgage Trust, Ser 2016-LC24, Cl A2
2.501%, 10/15/2049			919			923
Wells Fargo Commercial Mortgage Trust, Ser 2016-NXS5, Cl A2
2.711%, 01/15/2059			447			449
Wells Fargo Commercial Mortgage Trust, Ser 2020-C56, Cl A1
1.341%, 06/15/2053			2,065			2,065
Wells Fargo Mortgage Backed Securities Trust, Ser 2019-1, Cl A7
4.000%, 11/25/2048 (A)(B)			362			363
WFRBS Commercial Mortgage Trust, Ser 2013-C11, Cl A4
3.037%, 03/15/2045			1,750			1,802
WFRBS Commercial Mortgage Trust, Ser 2014-LC14, Cl A3FL
0.934%, VAR ICE LIBOR USD 1 Month+0.750%, 03/15/2047 (A)			1,369			1,367
						102,800
Total Mortgage-Backed Securities (Cost $353,215) ($ Thousands)						356,825
U.S. TREASURY OBLIGATIONS — 19.7%
U.S. Treasury Bills
1.542%, 07/16/2020 (C)			1,085			1,085
0.232%, 09/10/2020 (C) (D)			382			382
0.161%, 11/27/2020 (C)			1,000			999
0.151%, 11/12/2020 (C)			15,000			14,989
0.140%, 10/20/2020 (C)			28,090			28,072
0.140%, 11/19/2020 (C)			3,095			3,092

SEI Institutional Investments Trust / Annual Report / May 31, 2020 309

SCHEDULE OF INVESTMENTS

May 31, 2020

Limited Duration Bond Fund (Continued)

Description		Face Amount (Thousands)			Market Value ($ Thousands)
U.S. TREASURY OBLIGATIONS (continued)
U.S. Treasury Inflation-Protected Securities
0.625%, 04/15/2023	$		8,313	$		8,521
0.500%, 04/15/2024			22,792			23,572
0.125%, 01/15/2023			22,505			22,727
U.S. Treasury Notes
1.750%, 09/30/2022			72,275			74,921
1.375%, 10/15/2022			23,600			24,268
0.375%, 04/30/2025			21,480			21,548
0.125%, 04/30/2022			23,950			23,933
0.125%, 05/31/2022			5,190			5,186
Total U.S. Treasury Obligations (Cost $249,428) ($ Thousands)						253,295
ASSET-BACKED SECURITIES — 18.4%
Automotive — 5.6%
ARI Fleet Lease Trust, Ser 2020-A, Cl B
2.060%, 11/15/2028 (A)			1,075			1,026
CarMax Auto Owner Trust, Ser 2018-2, Cl A3
2.980%, 01/17/2023			999			1,014
CarMax Auto Owner Trust, Ser 2020-1, Cl A3
1.890%, 12/16/2024			2,510			2,579
Chesapeake Funding II LLC, Ser 2017-4A, Cl B
2.590%, 11/15/2029 (A)			4,395			4,319
Chesapeake Funding II LLC, Ser 2019-1A, Cl A1
2.940%, 04/15/2031 (A)			4,713			4,751
CPS Auto Receivables Trust, Ser 2019-B, Cl A
2.890%, 05/16/2022 (A)			752			754
Credit Acceptance Auto Loan Trust, Ser 2017-3A, Cl A
2.650%, 06/15/2026 (A)			919			921
Credit Acceptance Auto Loan Trust, Ser 2018-1A, Cl A
3.010%, 02/16/2027 (A)			863			866
Credit Acceptance Auto Loan Trust, Ser 2019-3A, Cl A
2.380%, 11/15/2028 (A)			2,350			2,333
Credit Acceptance Auto Loan Trust, Ser 2019-3A, Cl B
2.860%, 01/16/2029 (A)			500			493
Drive Auto Receivables Trust, Ser 2019-2, Cl A3
3.040%, 03/15/2023			2,344			2,354
Drive Auto Receivables Trust, Ser 2019-2, Cl B
3.170%, 11/15/2023			2,250			2,273
Drive Auto Receivables Trust, Ser 2019-4, Cl B
2.230%, 01/16/2024			3,825			3,843

Description		Face Amount (Thousands)			Market Value ($ Thousands)
ASSET-BACKED SECURITIES (continued)
DT Auto Owner Trust, Ser 2019-4A, Cl B
2.360%, 01/16/2024 (A)	$		3,260	$		3,289
Enterprise Fleet Financing LLC, Ser 2019-1, Cl A2
2.980%, 10/20/2024 (A)			1,224			1,241
First Investors Auto Owner Trust, Ser 2018-1A, Cl A2
3.220%, 01/17/2023 (A)			1,552			1,555
Ford Credit Auto Owner Trust, Ser 2017-2, Cl A
2.360%, 03/15/2029 (A)			4,385			4,427
GM Financial Automobile Leasing Trust, Ser 2018-3, Cl B
3.480%, 07/20/2022			2,105			2,134
GM Financial Consumer Automobile Receivables Trust, Ser 2018-1, Cl B
2.570%, 07/17/2023			1,400			1,425
GM Financial Consumer Automobile Receivables Trust, Ser 2018-4, Cl A3
3.210%, 10/16/2023			5,005			5,133
Harley-Davidson Motorcycle Trust, Ser 2020-A, Cl A3
1.870%, 10/15/2024			4,805			4,868
Prestige Auto Receivables Trust, Ser 2019-1A, Cl A2
2.440%, 07/15/2022 (A)			1,215			1,220
Santander Consumer Auto Receivables Trust, Ser 2020-AA, Cl A
1.370%, 10/15/2024 (A)			6,000			5,999
Tidewater Auto Receivables Trust, Ser 2018-AA, Cl A2
3.120%, 07/15/2022 (A)			71			72
Tidewater Auto Receivables Trust, Ser 2020-AA, Cl A2
1.390%, 08/15/2024 (A)			7,460			7,412
Tidewater Auto Receivables Trust, Ser 2020-AA, Cl B
1.610%, 03/17/2025 (A)			3,600			3,499
World Omni Select Auto Trust, Ser 2018-1A, Cl B
3.680%, 07/15/2023 (A)			1,660			1,680
						71,480
Credit Cards — 4.9%
American Express Credit Account Master Trust, Ser 2019-1, Cl A
2.870%, 10/15/2024			9,280			9,684
American Express Credit Account Master Trust, Ser 2019-2, Cl A
2.670%, 11/15/2024			6,400			6,659
Capital One Multi-Asset Execution Trust, Ser 2019-A1, Cl A1
2.840%, 12/15/2024			5,230			5,445

310 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description		Face Amount (Thousands)			Market Value ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Capital One Multi-Asset Execution Trust, Ser 2019-A2, Cl A2
1.720%, 08/15/2024	$		6,235	$		6,396
Citibank Credit Card Issuance Trust, Ser 2018-A1, Cl A1
2.490%, 01/20/2023			4,600			4,661
Citibank Credit Card Issuance Trust, Ser 2018-A6, Cl A6
3.210%, 12/07/2024			3,200			3,415
Discover Card Execution Note Trust, Ser 2019-A1, Cl A1
3.040%, 07/15/2024			4,615			4,806
Evergreen Credit Card Trust, Ser 2019-2, Cl A
1.900%, 09/15/2024 (A)			3,795			3,800
Synchrony Card Funding LLC, Ser 2019-A1, Cl A
2.950%, 03/15/2025			8,085			8,287
Synchrony Card Funding LLC, Ser 2019-A2, Cl A
2.340%, 06/15/2025			2,460			2,485
Synchrony Credit Card Master Note Trust, Ser 2016-2, Cl A
2.210%, 05/15/2024			7,946			8,030
						63,668
Other Asset-Backed Securities — 7.9%
Ameriquest Asset-Backed Pass-Through Certificates, Ser 2004-R12, Cl M1
1.023%, VAR ICE LIBOR USD 1 Month+0.855%, 01/25/2035			746			745
Ameriquest Asset-Backed Pass-Through Certificates, Ser 2004-R2, Cl A4
0.948%, VAR ICE LIBOR USD 1 Month+0.780%, 04/25/2034			429			426
Barings BDC Static CLO, Ser 2019-1A, Cl A1
2.239%, VAR ICE LIBOR USD 3 Month+1.020%, 04/15/2027 (A)			1,149			1,130
Barings CLO, Ser 2017-IA, Cl AR
1.935%, VAR ICE LIBOR USD 3 Month+0.800%, 01/20/2028 (A)			946			933
Barings CLO, Ser 2018-3A, Cl A1
2.085%, VAR ICE LIBOR USD 3 Month+0.950%, 07/20/2029 (A)			800			786
Bravo Mortgage Asset Trust, Ser 2006-1A, Cl A2
0.408%, VAR ICE LIBOR USD 1 Month+0.240%, 07/25/2036 (A)			394			390
Centex Home Equity, Ser 2006-A, Cl AV4
0.418%, VAR ICE LIBOR USD 1 Month+0.250%, 06/25/2036			1,086			1,084
CIT Mortgage Loan Trust, Ser 2007-1, Cl 1A
1.518%, VAR ICE LIBOR USD 1 Month+1.350%, 10/25/2037 (A)			672			664

Description		Face Amount (Thousands)			Market Value ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Citigroup Mortgage Loan Trust, Ser 2006- WFH3, Cl M1
0.458%, VAR ICE LIBOR USD 1 Month+0.290%, 10/25/2036	$		503	$		501
Citigroup Mortgage Loan Trust, Ser 2007- WFH3, Cl A3
0.418%, VAR ICE LIBOR USD 1 Month+0.250%, 06/25/2037			1,117			1,104
CNH Equipment Trust, Ser 2017-B, Cl A4
2.170%, 04/17/2023			1,275			1,286
CNH Equipment Trust, Ser 2020-A, Cl A3
1.160%, 06/16/2025			8,835			8,850
Countrywide Asset-Backed Certificates, Ser 2004-12, Cl MV4
1.593%, VAR ICE LIBOR USD 1 Month+1.425%, 03/25/2035			164			163
Countrywide Asset-Backed Certificates, Ser 2006-BC4, Cl 2A3
0.408%, VAR ICE LIBOR USD 1 Month+0.240%, 11/25/2036			3,092			2,949
Credit-Based Asset Servicing & Securitization LLC, Ser 2005-CB3, Cl M3
1.143%, VAR ICE LIBOR USD 1 Month+0.975%, 05/25/2035			1,000			954
Daimler Trucks Retail Trust, Ser 2019-1, Cl A2
2.770%, 04/15/2021 (A)			238			238
Dell Equipment Finance Trust, Ser 2019-1, Cl A2
2.780%, 08/23/2021 (A)			1,863			1,873
EFS Volunteer No. 3 LLC, Ser 2012-1, Cl A3
1.168%, VAR ICE LIBOR USD 1 Month+1.000%, 04/25/2033 (A)			636			624
Encore Credit Receivables Trust, Ser 2005-2, Cl M2
0.858%, VAR ICE LIBOR USD 1 Month+0.690%, 11/25/2035			231			233
Flatiron CLO, Ser 2017-1A, Cl AR
2.109%, VAR ICE LIBOR USD 3 Month+0.890%, 04/15/2027 (A)			719			711
Ford Credit Floorplan Master Owner Trust A, Ser 2017-3, Cl A
2.480%, 09/15/2024			6,690			6,680
HPEFS Equipment Trust, Ser 2019-1A, Cl B
2.320%, 09/20/2029 (A)			3,475			3,458
HSI Asset Securitization Trust, Ser 2006- OPT1, Cl M1
0.528%, VAR ICE LIBOR USD 1 Month+0.360%, 12/25/2035			3,168			2,977
JFIN CLO, Ser 2017-2A, Cl A1AR
2.305%, VAR ICE LIBOR USD 3 Month+1.170%, 07/20/2026 (A)			645			638

SEI Institutional Investments Trust / Annual Report / May 31, 2020 311

SCHEDULE OF INVESTMENTS

May 31, 2020

Limited Duration Bond Fund (Continued)

Description		Face Amount (Thousands)			Market Value ($ Thousands)
ASSET-BACKED SECURITIES (continued)
JPMorgan Mortgage Acquisition Trust, Ser 2007-CH3, Cl A4
0.378%, VAR ICE LIBOR USD 1 Month+0.210%, 03/25/2037	$		213	$		212
Kubota Credit Owner Trust, Ser 2020-1A, Cl A1
1.500%, 05/17/2021 (A)			1,178			1,181
Magnetite XVI, Ser 2018-16A, Cl AR
1.935%, VAR ICE LIBOR USD 3 Month+0.800%, 01/18/2028 (A)			745			733
Mill City Mortgage Trust, Ser 2015-2, Cl A2
3.000%, 09/25/2057 (A)(B)			2,518			2,541
Morgan Stanley Capital, Ser 2011-C1, Cl A4
5.033%, 09/15/2047			170			172
Nationstar HECM Loan Trust, Ser 2006-B, Cl AV4
0.448%, VAR ICE LIBOR USD 1 Month+0.280%, 09/25/2036			1,938			1,893
Navient Student Loan Trust, Ser 2015-2, Cl A3
0.738%, VAR ICE LIBOR USD 1 Month+0.570%, 11/26/2040			983			948
Navient Student Loan Trust, Ser 2016-3A, Cl A2
1.018%, VAR ICE LIBOR USD 1 Month+0.850%, 06/25/2065 (A)			156			156
Navient Student Loan Trust, Ser 2016-7A, Cl A
1.318%, VAR ICE LIBOR USD 1 Month+1.150%, 03/25/2066 (A)			1,956			1,910
Navient Student Loan Trust, Ser 2017-1A, Cl A2
0.918%, VAR ICE LIBOR USD 1 Month+0.750%, 07/26/2066 (A)			563			561
Navient Student Loan Trust, Ser 2017-2A, Cl A
1.218%, VAR ICE LIBOR USD 1 Month+1.050%, 12/27/2066 (A)			751			713
Navient Student Loan Trust, Ser 2017-3A, Cl A2
0.768%, VAR ICE LIBOR USD 1 Month+0.600%, 07/26/2066 (A)			1,832			1,816
Navient Student Loan Trust, Ser 2018-3A, Cl A2
0.588%, VAR ICE LIBOR USD 1 Month+0.420%, 03/25/2067 (A)			1,011			998
Nelnet Student Loan Trust, Ser 2012-5A, Cl A
0.768%, VAR ICE LIBOR USD 1 Month+0.600%, 10/27/2036 (A)			394			376
NextGear Floorplan Master Owner Trust, Ser 2017-2A, Cl A2
2.560%, 10/17/2022 (A)			1,065			1,062
NRZ Advance Receivables Trust, Ser 2019-T1, Cl AT1
2.590%, 07/15/2052 (A)			2,700			2,628

Description		Face Amount (Thousands)			Market Value ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Ocean Trails CLO IV, Ser 2013-4A, Cl AR
1.334%, VAR ICE LIBOR USD 3 Month+0.900%, 08/13/2025 (A)	$		329	$		328
Palmer Square CLO, Ser 2018-1A, Cl A1
2.165%, VAR ICE LIBOR USD 3 Month+1.030%, 04/18/2031 (A)			500			486
Palmer Square Loan Funding, Ser 2020-2A, Cl A1
2.109%, VAR ICE LIBOR USD 3 Month+1.000%, 04/20/2028 (A)			1,000			991
Park Place Securities Asset-Backed Pass- Through Certificates, Ser 2005-WCW3, Cl M1
0.648%, VAR ICE LIBOR USD 1 Month+0.480%, 08/25/2035			2,222			2,194
PFS Financing, Ser 2017-D, Cl A
2.400%, 10/17/2022 (A)			1,250			1,256
PFS Financing, Ser 2018-B, Cl A
2.890%, 02/15/2023 (A)			3,800			3,805
PHEAA Student Loan Trust, Ser 2016-1A, Cl A
1.318%, VAR ICE LIBOR USD 1 Month+1.150%, 09/25/2065 (A)			1,734			1,675
RAMP Series Trust, Ser 2006-RZ4, Cl A3
0.438%, VAR ICE LIBOR USD 1 Month+0.270%, 10/25/2036			1,579			1,541
SLC Student Loan Trust, Ser 2005-3, Cl A3
0.861%, VAR ICE LIBOR USD 3 Month+0.120%, 06/15/2029			1,352			1,330
SLC Student Loan Trust, Ser 2007-1, Cl A4
0.452%, VAR ICE LIBOR USD 3 Month+0.060%, 05/15/2029			1,160			1,120
SLM Student Loan Trust, Ser 2003-10A, Cl A3
1.211%, VAR ICE LIBOR USD 3 Month+0.470%, 12/15/2027 (A)			1,362			1,351
SLM Student Loan Trust, Ser 2003-11, Cl A6
1.291%, VAR ICE LIBOR USD 3 Month+0.550%, 12/15/2025 (A)			657			651
SLM Student Loan Trust, Ser 2004-1, Cl A4
1.251%, VAR ICE LIBOR USD 3 Month+0.260%, 10/27/2025			772			763
SLM Student Loan Trust, Ser 2005-4, Cl A3
1.111%, VAR ICE LIBOR USD 3 Month+0.120%, 01/25/2027			1,362			1,338
SLM Student Loan Trust, Ser 2005-5, Cl A4
1.131%, VAR ICE LIBOR USD 3 Month+0.140%, 10/25/2028			1,078			1,049
SLM Student Loan Trust, Ser 2006-5, Cl A5
1.101%, VAR ICE LIBOR USD 3 Month+0.110%, 01/25/2027			345			345
SLM Student Loan Trust, Ser 2006-8, Cl A5
1.101%, VAR ICE LIBOR USD 3 Month+0.110%, 01/27/2025			400			397

312 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description		Face Amount (Thousands)			Market Value ($ Thousands)
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Ser 2006-9, Cl A5
1.091%, VAR ICE LIBOR USD 3 Month+0.100%, 01/26/2026	$		332	$		331
SLM Student Loan Trust, Ser 2007-6, Cl A4
1.371%, VAR ICE LIBOR USD 3 Month+0.380%, 10/25/2024			1,001			997
SLM Student Loan Trust, Ser 2011-1, Cl A1
0.688%, VAR ICE LIBOR USD 1 Month+0.520%, 03/25/2026			42			42
SLM Student Loan Trust, Ser 2011-2, Cl A1
0.768%, VAR ICE LIBOR USD 1 Month+0.600%, 11/25/2027			483			482
SLM Student Loan Trust, Ser 2012-2, Cl A
0.868%, VAR ICE LIBOR USD 1 Month+0.700%, 01/25/2029			1,037			955
SLM Student Loan Trust, Ser 2013-2, Cl A
0.618%, VAR ICE LIBOR USD 1 Month+0.450%, 06/25/2043			1,281			1,204
SLM Student Loan Trust, Ser 2013-4, Cl A
0.718%, VAR ICE LIBOR USD 1 Month+0.550%, 06/25/2043			1,365			1,321
SoFi Consumer Loan Program Trust, Ser 2019-3, Cl A
2.900%, 05/25/2028 (A)			3,309			3,344
Structured Asset Investment Loan Trust, Ser 2004-10, Cl A7
1.228%, VAR ICE LIBOR USD 1 Month+1.060%, 11/25/2034			48			48
Structured Asset Investment Loan Trust, Ser 2005-3, Cl M2
0.828%, VAR ICE LIBOR USD 1 Month+0.660%, 04/25/2035			229			226
Structured Asset Investment Loan Trust, Ser 2005-HE2, Cl M1
0.888%, VAR ICE LIBOR USD 1 Month+0.720%, 07/25/2035			123			123
Structured Asset Securities Mortgage Loan Trust, Ser 2005-WF2, Cl M1
0.738%, VAR ICE LIBOR USD 1 Month+0.570%, 05/25/2035			597			577
Structured Asset Securities Mortgage Loan Trust, Ser 2006-WF3, Cl M1
0.418%, VAR ICE LIBOR USD 1 Month+0.250%, 09/25/2036			2,117			2,065
Towd Point Mortgage Trust, Ser 2019-HY2, Cl A1
1.168%, VAR ICE LIBOR USD 1 Month+1.000%, 05/25/2058 (A)			1,791			1,762
Transportation Finance Equipment Trust, Ser 2019-1, Cl A3
1.850%, 04/24/2023 (A)			5,095			5,103

Description		Face Amount (Thousands)			Market Value ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Treman Park CLO, Ser 2018-1A, Cl ARR
2.205%, VAR ICE LIBOR USD 3 Month+1.070%, 10/20/2028 (A)	$		1,100	$		1,081
Voya CLO, Ser 2018-2A, Cl AR
2.013%, VAR ICE LIBOR USD 3 Month+0.970%, 07/23/2027 (A)			3,000			2,950
Wells Fargo Home Equity Asset-Backed Securities Trust, Ser 2006-1, Cl M3
0.498%, VAR ICE LIBOR USD 1 Month+0.330%, 05/25/2036			1,978			1,859
						102,387
Total Asset-Backed Securities (Cost $237,286) ($ Thousands)						237,535
MUNICIPAL BONDS — 4.0%
Arizona — 0.3%
City of Phoenix, Civic Improvement, RB
2.107%, 07/01/2021			3,500			3,521
California — 1.6%
Bay Area, Toll Authority, RB
2.128%, 04/01/2022			4,525			4,584
2.075%, 04/01/2021			4,000			4,023
California State, Department of Water Resources, Power Supply Revenue, Ser P, RB
1.713%, 05/01/2021			5,844			5,905
Riverside County, Pension Obligation, RB
2.363%, 02/15/2023			2,855			2,901
San Francisco Bay Area, Rapid Transit District Sales Tax Revenue, Ser B, RB
2.537%, 07/01/2022			3,355			3,417
						20,830
Florida — 0.2%
Miami-Dade County, Aviation Revenue, Ser D, RB
2.124%, 10/01/2021			2,335			2,331
Hawaii — 0.2%
City & County Honolulu, Wastewater System Revenue, Ser A, RB
2.000%, 07/01/2022			3,000			3,057
New York — 0.5%
New York City, Transitional Finance Authority, Building Aid Revenue, RB
3.310%, 07/15/2022			5,195			5,411

SEI Institutional Investments Trust / Annual Report / May 31, 2020 313

SCHEDULE OF INVESTMENTS

May 31, 2020

Limited Duration Bond Fund (Concluded)

Description		Face Amount (Thousands)			Market Value ($ Thousands)
MUNICIPAL BONDS (continued)
New York City, Transitional Finance Authority, Future Tax Secured Revenue, Ser B-2, RB
2.310%, 11/01/2026	$		820	$		844
						6,255
Pennsylvania — 0.3%
Pennsylvania State University, Ser D, RB
1.353%, 09/01/2023			1,870			1,897
1.140%, 09/01/2022			2,515			2,539
						4,436
South Carolina — 0.3%
South Carolina State, Public Service Authority, Ser D, RB
2.388%, 12/01/2023			3,555			3,610
Texas — 0.5%
City of Houston Texas Utility System Revenue, Ser B, RB
3.428%, 05/15/2023			2,225			2,351
Dallas, Ser A, RB
1.939%, 11/01/2023			3,500			3,467
						5,818
Washington — 0.1%
Franklin County, Ser B, RB
1.980%, 09/01/2021			1,000			1,007
Total Municipal Bonds (Cost $50,419) ($ Thousands)						50,865
			Shares
CASH EQUIVALENT — 1.8%
SEI Daily Income Trust, Government Fund, Cl F
0.090%**†			23,059,569			23,060
Total Cash Equivalent (Cost $23,060) ($ Thousands)						23,060
Total Investments in Securities — 102.7% (Cost $1,304,502) ($ Thousands)					$	1,318,922

314 SEI Institutional Investments Trust / Annual Report / May 31, 2020

A list of the open futures contracts held by the Fund at May 31, 2020, is as follows:

Type of Contract	Number of Contracts Short			Expiration Date		Notional Amount (Thousands)				Value (Thousands)				Unrealized Depreciation (Thousands)
U.S. 5-Year Treasury Note		(54	)		Oct-2020		$	(6,772	)		$	(6,784	)		$	(12	)
Ultra 10-Year U.S. Treasury Note		(38	)		Sep-2020			(5,947	)			(5,978	)			(31	)
							$	(12,719	)		$	(12,762	)		$	(43	)

Percentages are based on Net Assets of $1,284,697 ($ Thousands).

^** The rate reported is the 7-day effective yield as of May 31, 2020.

^†  Investment in Affiliated Security (see Note 6).

(A) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On May 31, 2020, the value of these securities amounted to $282,375 ($ Thousands), representing 22.0% of the Net Assets of the Fund.

(B) Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets.

(C) Zero coupon security. The rate shown on the Schedule of Investments is the security’s effective yield at the time of purchase.

(D) Security, or portion thereof, has been pledged as collateral on open futures contracts.

ARM — Adjustable Rate Mortgage

Cl — Class

CLO — Collateralized Loan Obligation

CMO — Collateralized Mortgage Obligation

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

FREMF— Freddie Mac Multi-Family

GHC — Ghanaian cedi

GNMA — Government National Mortgage Association

ICE— Intercontinental Exchange

LIBOR— London Interbank Offered Rate

LLC — Limited Liability Company

L.P. — Limited Partnership

MTN — Medium Term Note

RB — Revenue Bond

SER — Series

TBA — To Be Announced

VAR — Variable Rate

The following is a list of the level of inputs used as of May 31, 2020, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1 ($)			Level 2 ($)		Level 3 ($)		Total ($)
Corporate Obligations		–			397,342		–		397,342
Mortgage-Backed Securities		–			356,825		–		356,825
U.S. Treasury Obligations		–			253,295		–		253,295
Asset-Backed Securities		–			237,535		–		237,535
Municipal Bonds		–			50,865		–		50,865
Cash Equivalent		23,060			–		–		23,060
Total Investments in Securities		23,060			1,295,862		–		1,318,922
Other Financial Instruments	Level 1 ($)			Level 2 ($)		Level 3 ($)		Total ($)
Futures Contracts*
Unrealized Depreciation		(43	)		–		–		(43	)
Total Other Financial Instruments		(43	)		–		–		(43	)

*Futures contracts are valued at the unrealized depreciation on the instruments.

For the year ended May 31, 2020, there were no transfers in or out of Level 3.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

The following is a summary of the Fund’s transactions with affiliates for the year ended May 31, 2020 ($ Thousands):

Security Description	Value at 5/31/2019		Purchases at Cost		Proceeds from Sales			Realized Gain/ (Loss)		Change in Unrealized Appreciation/ (Depreciation)		Value 5/31/2020		Shares		Income		Capital Gains
SEI Daily Income Trust, Government Fund, Cl F		$ 19,768		$ 1,229,139		$ (1,225,847	)		$ —		$ —		$ 23,060		23,059,569		$ 397		$ —

The accompanying notes are an integral part of the financial statements.

Amounts designated as “—” are $0 or have been rounded to $0.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 315

SCHEDULE OF INVESTMENTS

May 31, 2020

Intermediate Duration Credit Fund

Sector Weightings (Unaudited)^†:

^†Percentages are based on total investments.

		Face Amount		Market Value
Description		(Thousands)		($ Thousands)
CORPORATE OBLIGATIONS — 90.3%
Communication Services — 5.3%
America Movil
6.125%, 03/30/2040	$		645	$	888
4.375%, 04/22/2049			920		1,087
3.125%, 07/16/2022			12,265		12,614
AT&T
8.750%, 11/15/2031			1,150		1,698
6.800%, 05/15/2036			2,915		3,689
5.450%, 03/01/2047			535		674
4.550%, 03/09/2049			1,140		1,297
3.650%, 06/01/2051			3,085		3,126
3.400%, 05/15/2025			3,500		3,779
3.372%, 11/27/2022 (A)(B)			6,000		5,816
Charter Communications Operating LLC
4.908%, 07/23/2025			115		131
4.464%, 07/23/2022			50		53
Comcast
6.450%, 03/15/2037			2,279		3,332
5.650%, 06/15/2035			260		367
4.950%, 10/15/2058			2,370		3,320
4.700%, 10/15/2048			7,325		9,547
4.600%, 10/15/2038			3,025		3,762
4.200%, 08/15/2034			7,700		9,353
4.049%, 11/01/2052			1,800		2,154
3.969%, 11/01/2047			2,618		3,094
3.950%, 10/15/2025			4,090		4,684
3.900%, 03/01/2038			1,120		1,307
3.700%, 04/15/2024			2,135		2,358
3.600%, 03/01/2024			920		1,018
3.400%, 04/01/2030			4,400		4,987
3.400%, 07/15/2046			1,060		1,161
3.375%, 02/15/2025			8,100		8,985
3.375%, 08/15/2025			2,290		2,543
3.150%, 03/01/2026			3,250		3,596
3.150%, 02/15/2028			780		857
3.100%, 04/01/2025			1,870		2,043

		Face Amount		Market Value
Description		(Thousands)		($ Thousands)
CORPORATE OBLIGATIONS (continued)
Comcast Cable Communications Holdings
9.455%, 11/15/2022	$		3,850	$	4,684
Cox Communications
6.450%, 12/01/2036 (A)			2,610		3,377
Discovery Communications LLC
5.000%, 09/20/2037			945		1,036
2.950%, 03/20/2023			2,362		2,457
Fox
3.050%, 04/07/2025			755		806
NBCUniversal Media LLC
6.400%, 04/30/2040			2,555		3,747
5.950%, 04/01/2041			1,669		2,411
Sprint Spectrum LLC
5.152%, 03/20/2028 (A)			6,735		7,512
4.738%, 03/20/2025 (A)			6,525		6,917
3.360%, 09/20/2021 (A)			835		838
T-Mobile USA
3.500%, 04/15/2025 (A)			4,350		4,652
Verizon Communications
7.750%, 12/01/2030			1,750		2,641
5.012%, 04/15/2049			2,220		3,082
4.862%, 08/21/2046			990		1,328
4.522%, 09/15/2048			3,701		4,831
3.850%, 11/01/2042			555		652
ViacomCBS
6.875%, 04/30/2036			2,760		3,377
4.750%, 05/15/2025			3,700		4,076
Walt Disney
6.400%, 12/15/2035			2,266		3,339
3.800%, 05/13/2060			580		662
3.600%, 01/13/2051			2,550		2,828
2.750%, 09/01/2049			5,418		5,260
2.650%, 01/13/2031			3,190		3,394
					177,227
Consumer Discretionary — 3.7%
Air Canada Pass-Through Trust, Ser 2015-1, Cl A
3.600%, 03/15/2027 (A)			3,759		3,352
Alibaba Group Holding
2.800%, 06/06/2023			2,060		2,160
Amazon.com
3.875%, 08/22/2037			4,295		5,261
2.800%, 08/22/2024			2,800		3,044
American Honda Finance
1.950%, 05/20/2022			12,280		12,475
BMW US Capital LLC
4.150%, 04/09/2030 (A)			3,300		3,693
2.800%, 04/11/2026 (A)			3,630		3,741
Ferguson Finance
4.500%, 10/24/2028 (A)			2,266		2,468
3.250%, 06/02/2030 (A)			4,865		4,910

316 SEI Institutional Investments Trust / Annual Report / May 31, 2020

		Face Amount		Market Value
Description		(Thousands)		($ Thousands)
CORPORATE OBLIGATIONS (continued)
Ford Motor Credit LLC
4.271%, 01/09/2027	$		4,515	$	4,108
3.813%, 10/12/2021			6,270		6,098
General Motors Financial
3.550%, 07/08/2022			4,770		4,724
Home Depot
5.875%, 12/16/2036			3,889		5,651
4.500%, 12/06/2048			1,875		2,483
4.400%, 03/15/2045			840		1,079
3.900%, 06/15/2047			1,505		1,819
3.500%, 09/15/2056			2,895		3,301
3.350%, 09/15/2025			1,660		1,861
3.350%, 04/15/2050			735		833
3.300%, 04/15/2040			830		925
2.800%, 09/14/2027			3,120		3,519
2.700%, 04/15/2030			9,255		10,117
Kohl’s
9.500%, 05/15/2025			820		874
5.550%, 07/17/2045			4,905		3,844
McDonald’s MTN
3.600%, 07/01/2030			820		928
2.125%, 03/01/2030			2,900		2,936
NIKE
3.250%, 03/27/2040			750		840
NVR
3.950%, 09/15/2022			2,365		2,522
QVC
4.850%, 04/01/2024			1,060		1,033
Starbucks
2.000%, 03/12/2027			1,743		1,777
Target
6.500%, 10/15/2037			2,650		4,032
4.000%, 07/01/2042			1,700		2,131
2.650%, 09/15/2030			6,237		6,793
2.500%, 04/15/2026			1,810		1,976
Time Warner Cable LLC
6.550%, 05/01/2037			1,975		2,522
Volkswagen Group of America Finance LLC
2.700%, 09/26/2022 (A)			4,505		4,554
					124,384
Consumer Staples — 6.7%
Altria Group
9.950%, 11/10/2038			1,708		2,633
4.400%, 02/14/2026			1,645		1,881
3.400%, 05/06/2030			4,205		4,438
Anheuser-Busch InBev Worldwide
8.000%, 11/15/2039			7,315		11,209
4.750%, 01/23/2029			5,220		6,168
Anheuser-Busch LLC
4.700%, 02/01/2036			2,903		3,311

		Face Amount		Market Value
Description		(Thousands)		($ Thousands)
CORPORATE OBLIGATIONS (continued)
Archer-Daniels-Midland
4.500%, 03/15/2049	$		4,605	$	6,035
BAT Capital
4.906%, 04/02/2030			7,150		8,178
3.215%, 09/06/2026			4,675		4,867
2.764%, 08/15/2022			4,285		4,415
Bowdoin College
4.693%, 07/01/2112			378		413
Coca-Cola
2.500%, 06/01/2040			2,525		2,547
1.550%, 09/01/2021			4,015		4,075
Constellation Brands
4.400%, 11/15/2025			1,335		1,521
Costco Wholesale
1.600%, 04/20/2030			3,000		3,019
CVS Pass-Through Trust
8.353%, 07/10/2031 (A)			2,038		2,442
7.507%, 01/10/2032 (A)			1,411		1,661
6.036%, 12/10/2028			2,767		3,042
Diageo Capital
2.125%, 04/29/2032			775		784
Georgetown University
4.315%, 04/01/2049			2,360		2,823
Hershey
3.100%, 05/15/2021			4,805		4,934
2.300%, 08/15/2026			3,985		4,272
2.050%, 11/15/2024			4,400		4,616
Kellogg
2.100%, 06/01/2030			2,120		2,121
Kimberly-Clark
3.200%, 04/25/2029			5,080		5,790
Kroger
3.850%, 08/01/2023			2,700		2,934
Land O’ Lakes
6.000%, 11/15/2022 (A)			640		658
Mars
4.200%, 04/01/2059 (A)			1,520		1,915
3.600%, 04/01/2034 (A)			1,790		2,098
3.200%, 04/01/2030 (A)			2,435		2,762
2.700%, 04/01/2025 (A)			7,530		8,090
Massachusetts Institute of Technology
5.600%, 07/01/2111			3,235		5,728
Mondelez International
2.125%, 04/13/2023			1,515		1,565
Nestle Holdings
4.000%, 09/24/2048 (A)			1,455		1,872
3.500%, 09/24/2025 (A)			6,130		6,860
Northwestern University
3.662%, 12/01/2057			1,820		2,254
PepsiCo
3.625%, 03/19/2050			605		729
3.450%, 10/06/2046			2,386		2,708

SEI Institutional Investments Trust / Annual Report / May 31, 2020 317

SCHEDULE OF INVESTMENTS

May 31, 2020

Intermediate Duration Credit Fund (Continued)

		Face Amount		Market Value
Description		(Thousands)		($ Thousands)
CORPORATE OBLIGATIONS (continued)
3.375%, 07/29/2049	$		3,185	$	3,645
2.625%, 03/19/2027			2,075		2,270
2.375%, 10/06/2026			3,920		4,251
2.250%, 03/19/2025			6,935		7,405
1.625%, 05/01/2030			1,335		1,350
Philip Morris International
4.500%, 03/20/2042			2,350		2,788
4.375%, 11/15/2041			2,045		2,393
3.875%, 08/21/2042			3,460		3,792
2.500%, 11/02/2022			4,640		4,834
2.375%, 08/17/2022			3,045		3,158
Procter & Gamble
3.600%, 03/25/2050			265		333
3.550%, 03/25/2040			450		543
Reynolds American
8.125%, 05/01/2040			980		1,171
7.250%, 06/15/2037			2,395		3,105
4.450%, 06/12/2025			1,575		1,740
Unilever Capital
2.125%, 09/06/2029			2,840		2,968
University of Southern California
5.250%, 10/01/2111			3,250		5,047
Walmart
4.050%, 06/29/2048			5,284		6,791
3.250%, 07/08/2029			4,435		5,138
2.950%, 09/24/2049			3,905		4,317
2.550%, 04/11/2023			7,590		7,997
2.375%, 09/24/2029			6,015		6,523
2.350%, 12/15/2022			4,655		4,879
					223,806
Energy — 6.9%
Baker Hughes LLC
2.773%, 12/15/2022			2,370		2,454
BP Capital Markets
3.723%, 11/28/2028			2,159		2,429
3.279%, 09/19/2027			1,825		1,980
BP Capital Markets America
3.937%, 09/21/2028			2,205		2,512
3.216%, 11/28/2023			5,420		5,795
3.000%, 02/24/2050			4,530		4,428
2.520%, 09/19/2022			4,430		4,588
Cameron LNG LLC
2.902%, 07/15/2031 (A)			1,000		1,035
Cheniere Corpus Christi Holdings LLC
5.125%, 06/30/2027			2,120		2,295
Chevron
2.895%, 03/03/2024			4,000		4,312
2.236%, 05/11/2030			7,687		8,077
Colonial Enterprises
3.250%, 05/15/2030 (A)			3,325		3,518

		Face Amount		Market Value
Description		(Thousands)		($ Thousands)
CORPORATE OBLIGATIONS (continued)
ConocoPhillips
6.500%, 02/01/2039	$		3,065	$	4,437
1.292%, VAR ICE LIBOR USD 3 Month+0.900%, 05/15/2022			3,955		3,927
Diamondback Energy
4.750%, 05/31/2025			1,225		1,283
2.875%, 12/01/2024			1,675		1,628
Energy Transfer Operating
4.650%, 06/01/2021			2,982		3,031
2.900%, 05/15/2025			1,340		1,336
Eni
4.000%, 09/12/2023 (A)			6,800		7,199
Enterprise Products Operating LLC
3.900%, 02/15/2024			4,250		4,638
EOG Resources
4.375%, 04/15/2030			1,915		2,266
Equinor
3.700%, 04/06/2050			1,385		1,559
3.625%, 04/06/2040			1,385		1,556
2.875%, 04/06/2025			3,480		3,754
2.375%, 05/22/2030			2,035		2,099
1.750%, 01/22/2026			1,950		1,992
Exxon Mobil
4.327%, 03/19/2050			6,270		7,829
4.227%, 03/19/2040			4,140		5,039
3.452%, 04/15/2051			3,500		3,856
3.043%, 03/01/2026			1,985		2,199
2.995%, 08/16/2039			2,830		2,940
1.571%, 04/15/2023			6,890		7,082
Hess
6.000%, 01/15/2040			2,630		2,614
Kinder Morgan
5.550%, 06/01/2045			1,870		2,298
Lukoil International Finance BV
6.125%, 11/09/2020 (A)			340		347
Marathon Petroleum
4.700%, 05/01/2025			6,365		7,041
4.500%, 05/01/2023			9,085		9,671
MPLX
4.875%, 12/01/2024			1,660		1,759
4.800%, 02/15/2029			2,120		2,312
4.500%, 07/15/2023			1,350		1,418
2.099%, VAR ICE LIBOR USD 3 Month+1.100%, 09/09/2022			3,290		3,106
1.899%, VAR ICE LIBOR USD 3 Month+0.900%, 09/09/2021			3,290		3,184
Northern Natural Gas
4.250%, 06/01/2021 (A)			720		736
Occidental Petroleum
4.322%, 10/10/2036 (B)			11,000		4,675
Phillips 66
3.850%, 04/09/2025			935		1,029

318 SEI Institutional Investments Trust / Annual Report / May 31, 2020

		Face Amount		Market Value
Description		(Thousands)		($ Thousands)
CORPORATE OBLIGATIONS (continued)
Sabal Trail Transmission LLC
4.246%, 05/01/2028 (A)	$		3,415	$	3,688
Sabine Pass Liquefaction LLC
5.750%, 05/15/2024			1,775		1,963
5.000%, 03/15/2027			1,740		1,932
4.500%, 05/15/2030 (A)			1,355		1,486
Saudi Arabian Oil MTN
4.375%, 04/16/2049 (A)			355		393
2.750%, 04/16/2022 (A)			2,985		3,045
Schlumberger Holdings
3.900%, 05/17/2028 (A)			2,444		2,551
Shell International Finance BV
6.375%, 12/15/2038			1,465		2,248
4.125%, 05/11/2035			4,275		5,246
4.000%, 05/10/2046			3,115		3,628
3.750%, 09/12/2046			2,600		2,954
3.400%, 08/12/2023			5,525		5,980
2.500%, 09/12/2026			315		340
2.375%, 11/07/2029			2,715		2,837
Spectra Energy Partners
3.375%, 10/15/2026			1,835		1,937
Suncor Energy
3.100%, 05/15/2025			3,535		3,699
Suncor Energy Ventures
4.500%, 04/01/2022 (A)			1,950		1,971
Sunoco Logistics Partners Operations
4.400%, 04/01/2021			2,000		2,027
Tennessee Gas Pipeline LLC
8.375%, 06/15/2032			3,265		4,305
2.900%, 03/01/2030 (A)			4,230		4,303
Total Capital
3.883%, 10/11/2028			5,330		6,093
Total Capital International
3.127%, 05/29/2050			3,695		3,737
TransCanada PipeLines
3.750%, 10/16/2023			5,000		5,372
Valero Energy
2.850%, 04/15/2025			2,255		2,369
Williams Partners
5.800%, 11/15/2043			745		861
					228,228
Financials — 29.6%
AIA Group
3.600%, 04/09/2029 (A)			9,500		10,423
AIG SunAmerica Global Financing X
6.900%, 03/15/2032 (A)			1,436		2,025
American Express
3.700%, 11/05/2021			10,570		10,997
3.700%, 08/03/2023			4,810		5,186
2.500%, 08/01/2022			15,971		16,573
2.200%, 10/30/2020			1,730		1,740

		Face Amount		Market Value
Description		(Thousands)		($ Thousands)
CORPORATE OBLIGATIONS (continued)
Ameriprise Financial
4.000%, 10/15/2023	$		2,450	$	2,712
Apollo Management Holdings
5.000%, 03/15/2048 (A)			2,730		3,036
4.400%, 05/27/2026 (A)			1,140		1,258
4.000%, 05/30/2024 (A)			6,353		6,669
Athene Global Funding
3.000%, 07/01/2022 (A)			3,480		3,512
2.950%, 11/12/2026 (A)			4,485		4,469
Athene Holding
4.125%, 01/12/2028			1,160		1,124
AXA Equitable Holdings
3.900%, 04/20/2023			2,440		2,553
Banco Santander
3.125%, 02/23/2023			3,230		3,325
2.746%, 05/28/2025			3,905		3,977
2.706%, 06/27/2024			6,975		7,215
Banco Santander Mexico Institucion de Banca Multiple Grupo Financiero Santand
5.375%, 04/17/2025 (A)			3,880		4,165
Bank of America
6.000%, 10/15/2036			440		612
3.419%, VAR ICE LIBOR USD 3 Month+1.040%, 12/20/2028			70		76
3.366%, VAR ICE LIBOR USD 3 Month+0.810%, 01/23/2026			12,335		13,288
3.004%, VAR ICE LIBOR USD 3 Month+0.790%, 12/20/2023			6,152		6,423
Bank of America MTN
4.450%, 03/03/2026			900		1,010
4.330%, VAR ICE LIBOR USD 3 Month+1.520%, 03/15/2050			1,430		1,770
4.271%, VAR ICE LIBOR USD 3 Month+1.310%, 07/23/2029			9,960		11,514
4.183%, 11/25/2027			6,880		7,716
4.083%, 03/20/2051 (C)			8,395		9,943
4.000%, 01/22/2025			1,300		1,420
3.970%, VAR ICE LIBOR USD 3 Month+1.070%, 03/05/2029			1,195		1,350
3.705%, VAR ICE LIBOR USD 3 Month+1.512%, 04/24/2028			13,945		15,409
3.593%, VAR ICE LIBOR USD 3 Month+1.370%, 07/21/2028			55		61
3.458%, VAR ICE LIBOR USD 3 Month+0.970%, 03/15/2025			9,500		10,208
3.248%, 10/21/2027			3,990		4,361
2.884%, VAR ICE LIBOR USD 3 Month+1.190%, 10/22/2030			5,995		6,302
2.328%, VAR ICE LIBOR USD 3 Month+0.630%, 10/01/2021			4,405		4,418
Bank of Montreal MTN
3.300%, 02/05/2024			4,490		4,817
1.900%, 08/27/2021			4,875		4,958

SEI Institutional Investments Trust / Annual Report / May 31, 2020 319

SCHEDULE OF INVESTMENTS

May 31, 2020

Intermediate Duration Credit Fund (Continued)

		Face Amount			Market Value
Description		(Thousands)			($ Thousands)
CORPORATE OBLIGATIONS (continued)
Bank of New York Mellon MTN
3.450%, 08/11/2023	$		6,755	$		7,395
2.450%, 08/17/2026			645			695
Bank of Nova Scotia
4.900%, VAR US Treas Yield Curve Rate T Note Const Mat 5Yr+4.551%(D)			2,015			1,987
Barclays
4.610%, VAR ICE LIBOR USD 3 Month+1.400%, 02/15/2023			2,745			2,873
3.932%, VAR ICE LIBOR USD 3 Month+1.610%, 05/07/2025			4,330			4,605
Berkshire Hathaway
3.125%, 03/15/2026			1,978			2,211
Berkshire Hathaway Finance
4.250%, 01/15/2049			90			113
BGC Partners
3.750%, 10/01/2024			5,290			4,944
Blackstone Holdings Finance LLC
5.000%, 06/15/2044 (A)			738			877
4.750%, 02/15/2023 (A)			2,014			2,195
4.450%, 07/15/2045 (A)			1,534			1,659
3.150%, 10/02/2027 (A)			1,878			1,972
Cantor Fitzgerald
4.875%, 05/01/2024 (A)			4,000			4,074
Capital One Financial
3.650%, 05/11/2027			4,523			4,717
3.300%, 10/30/2024			4,618			4,805
Carlyle Finance Subsidiary LLC
3.500%, 09/19/2029 (A)			2,697			2,687
Carlyle Holdings Finance LLC
3.875%, 02/01/2023 (A)			861			911
CDP Financial
5.600%, 11/25/2039 (A)			700			1,041
Charles Schwab
4.450%, 07/22/2020			1,720			1,730
3.850%, 05/21/2025			5,445			6,190
2.650%, 01/25/2023			8,646			9,099
Chubb INA Holdings
4.350%, 11/03/2045			1,138			1,462
2.875%, 11/03/2022			1,965			2,062
Cincinnati Financial
6.125%, 11/01/2034			2,882			4,020
Citadel
4.875%, 01/15/2027 (A)			3,820			3,883
Citigroup
8.125%, 07/15/2039			3,699			6,227
5.500%, 09/13/2025			880			1,027
5.316%, VAR United States Secured Overnight Financing Rate+4.548%, 03/26/2041			4,970			6,511
4.650%, 07/23/2048			4,323			5,364

		Face Amount			Market Value
Description		(Thousands)			($ Thousands)
CORPORATE OBLIGATIONS (continued)
4.450%, 09/29/2027	$		180	$		200
4.281%, VAR ICE LIBOR USD 3 Month+1.839%, 04/24/2048			2,918			3,459
3.400%, 05/01/2026			6,375			6,914
2.900%, 12/08/2021			4,200			4,315
CME Group
4.150%, 06/15/2048			3,869			5,185
Cooperatieve Rabobank UA
4.625%, 12/01/2023			3,005			3,279
3.875%, 09/26/2023 (A)			3,000			3,254
2.092%, VAR ICE LIBOR USD 3 Month+0.860%, 09/26/2023 (A)			6,790			6,633
Credit Agricole MTN
3.750%, 04/24/2023 (A)			4,640			4,914
Credit Suisse Group
4.194%, VAR United States Secured Overnight Financing Rate+3.730%, 04/01/2031 (A)			1,640			1,818
Credit Suisse NY
3.000%, 10/29/2021			3,760			3,876
2.800%, 04/08/2022			6,340			6,570
European Bank for Reconstruction & Development MTN
2.125%, 03/07/2022			3,060			3,157
European Investment Bank
2.250%, 03/15/2022			3,695			3,826
1.375%, 06/15/2020			4,370			4,371
1.375%, 09/06/2022			2,790			2,858
Farmers Exchange Capital III
5.454%, VAR ICE LIBOR USD 3 Month+3.454%, 10/15/2054 (A)			1,640			1,881
Fifth Third Bancorp
2.550%, 05/05/2027			1,920			1,998
Fifth Third Bank
2.875%, 10/01/2021			3,570			3,661
First Republic Bank
2.500%, 06/06/2022			1,718			1,763
1.912%, VAR United States Secured Overnight Financing Rate+0.620%, 02/12/2024			2,800			2,824
Five Corners Funding Trust
4.419%, 11/15/2023 (A)			4,190			4,629
Goldman Sachs Capital I
6.345%, 02/15/2034			2,010			2,693
Goldman Sachs Group
6.750%, 10/01/2037			405			565
6.450%, 05/01/2036			630			863
4.411%, VAR ICE LIBOR USD 3 Month+1.430%, 04/23/2039			1,615			1,861
4.017%, VAR ICE LIBOR USD 3 Month+1.373%, 10/31/2038			140			155
3.850%, 01/26/2027			140			154
3.800%, 03/15/2030			5,130			5,691

320 SEI Institutional Investments Trust / Annual Report / May 31, 2020

		Face Amount			Market Value
Description		(Thousands)			($ Thousands)
CORPORATE OBLIGATIONS (continued)
3.500%, 01/23/2025	$		2,265	$		2,431
3.500%, 11/16/2026			4,613			4,972
3.272%, VAR ICE LIBOR USD 3 Month+1.2 01%, 09/29/2025			9,475			10,014
2.908%, VAR ICE LIBOR USD 3 Month+1.053%, 06/05/2023			1,045			1,074
2.876%, VAR ICE LIBOR USD 3 Month+0.821%, 10/31/2022			4,463			4,559
1.562%, VAR ICE LIBOR USD 3 Month+1.170%, 05/15/2026			1,125			1,105
Goldman Sachs Group MTN
4.800%, 07/08/2044			5,930			7,339
2.905%, VAR ICE LIBOR USD 3 Month+0.990%, 07/24/2023			4,145			4,258
HSBC Bank PLC
7.650%, 05/01/2025			2,880			3,364
HSBC Holdings
4.950%, 03/31/2030			2,285			2,699
4.041%, VAR ICE LIBOR USD 3 Month+1.546%, 03/13/2028			11,362			12,360
3.262%, VAR ICE LIBOR USD 3 Month+1.055%, 03/13/2023			8,800			9,081
ING Bank
5.800%, 09/25/2023 (A)			298			328
ING Groep
4.625%, 01/06/2026 (A)			3,445			3,968
4.100%, 10/02/2023			3,950			4,277
3.550%, 04/09/2024			4,460			4,759
Intercontinental Exchange
4.250%, 09/21/2048			4,417			5,402
3.000%, 06/15/2050			1,650			1,663
2.100%, 06/15/2030			2,950			2,975
International Bank for Reconstruction & Development MTN
1.625%, 03/09/2021			4,705			4,756
JPMorgan Chase
8.750%, 09/01/2030			1,291			1,890
6.400%, 05/15/2038			2,612			3,887
5.500%, 10/15/2040			1,000			1,379
4.260%, VAR ICE LIBOR USD 3 Month+1.580%, 02/22/2048			1,290			1,566
3.964%, VAR ICE LIBOR USD 3 Month+1.380%, 11/15/2048			50			59
3.960%, VAR ICE LIBOR USD 3 Month+1.245%, 01/29/2027			2,755			3,068
3.897%, VAR ICE LIBOR USD 3 Month+1.220%, 01/23/2049			4,840			5,578
3.875%, 09/10/2024			4,366			4,796
3.509%, VAR ICE LIBOR USD 3 Month+0.945%, 01/23/2029			15,247			16,651
3.250%, 09/23/2022			3,704			3,898
3.220%, VAR ICE LIBOR USD 3 Month+1.155%, 03/01/2025			2,275			2,440

		Face Amount			Market Value
Description		(Thousands)			($ Thousands)
CORPORATE OBLIGATIONS (continued)
3.200%, 01/25/2023	$		3,400	$		3,600
3.200%, 06/15/2026			15,720			17,153
2.739%, VAR United States Secured Overnight Financing Rate+1.510%, 10/15/2030			270			280
2.700%, 05/18/2023			3,815			3,994
2.522%, VAR United States Secured Overnight Financing Rate+2.040%, 04/22/2031			8,778			8,960
1.240%, VAR ICE LIBOR USD 3 Month+0.550%, 02/01/2027			1,630			1,410
KKR Group Finance III LLC
5.125%, 06/01/2044 (A)			4,703			5,260
Korea Development Bank MTN
1.750%, 02/18/2025			5,905			6,064
Kreditanstalt fuer Wiederaufbau
2.500%, 02/15/2022			24,730			25,655
2.125%, 01/17/2023			3,320			3,477
Lincoln National
3.400%, 01/15/2031			3,100			3,233
Lloyds Banking Group
2.438%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+1.000%, 02/05/2026			4,500			4,550
Macquarie Group
3.189%, VAR ICE LIBOR USD 3 Month+1.023%, 11/28/2023 (A)			7,108			7,315
Marsh & McLennan
2.250%, 11/15/2030			4,665			4,734
Massachusetts Mutual Life Insurance
3.375%, 04/15/2050 (A)			1,153			1,176
Mercury General
4.400%, 03/15/2027			4,805			5,089
MetLife
4.050%, 03/01/2045			1,250			1,432
3.000%, 03/01/2025			2,500			2,730
Metropolitan Life Global Funding I MTN
3.600%, 01/11/2024 (A)			5,765			6,274
2.400%, 06/17/2022 (A)			6,924			7,152
Mitsubishi UFJ Financial Group
3.195%, 07/18/2029			1,820			1,960
Morgan Stanley
3.625%, 01/20/2027			8,990			9,970
Morgan Stanley MTN
6.375%, 07/24/2042			2,080			3,125
5.597%, 03/24/2051 (C)			5,685			8,179
4.300%, 01/27/2045			4,450			5,406
4.100%, 05/22/2023			1,670			1,794
3.971%, VAR ICE LIBOR USD 3 Month+1.455%, 07/22/2038			1,840			2,103
3.875%, 04/29/2024			4,860			5,321
3.750%, 02/25/2023			12,947			13,859
2.500%, 04/21/2021			3,850			3,915

SEI Institutional Investments Trust / Annual Report / May 31, 2020 321

SCHEDULE OF INVESTMENTS

May 31, 2020

Intermediate Duration Credit Fund (Continued)

Description		Face Amount (Thousands)			Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
MUFG Americas Holdings
3.000%, 02/10/2025	$		2,975	$		3,130
MUFG Union Bank
3.150%, 04/01/2022			6,260			6,498
Mutual of Omaha Insurance
4.297%, VAR ICE LIBOR USD 3 Month+2.640%, 07/15/2054 (A)			1,475			1,496
Nasdaq
3.250%, 04/28/2050			1,435			1,465
National Rural Utilities Cooperative Finance
4.750%, VAR ICE LIBOR USD 3 Month+2.910%, 04/30/2043			2,056			2,051
4.400%, 11/01/2048			4,120			5,273
4.300%, 03/15/2049			2,558			3,215
4.023%, 11/01/2032			395			453
Nationwide Mutual Insurance
9.375%, 08/15/2039 (A)			1,360			2,147
4.350%, 04/30/2050 (A)			3,471			3,534
New York Life Global Funding
3.250%, 08/06/2021 (A)			5,090			5,256
New York Life Global Funding MTN
2.000%, 04/13/2021 (A)			5,000			5,073
New York Life Insurance
3.750%, 05/15/2050 (A)			1,420			1,598
Pacific Life Insurance
4.300%, VAR ICE LIBOR USD 3 Month+2.796%, 10/24/2067 (A)			1,455			1,432
Peachtree Corners Funding Trust
3.976%, 02/15/2025 (A)			4,431			4,713
PNC Bank
3.300%, 10/30/2024			1,840			2,005
PNC Financial Services Group
2.600%, 07/23/2026			7,740			8,356
Pricoa Global Funding I
3.450%, 09/01/2023 (A)			4,850			5,205
Principal Life Global Funding II
2.625%, 11/19/2020 (A)			3,038			3,060
2.375%, 11/21/2021 (A)			3,000			3,063
Prudential
3.125%, 04/14/2030			2,008			2,131
Prudential Financial MTN
5.700%, 12/14/2036			1,660			2,185
1.500%, 03/10/2026			4,945			4,979
Royal Bank of Scotland Group
3.498%, VAR ICE LIBOR USD 3 Month+1.480%, 05/15/2023			4,175			4,294
S&P Global
3.250%, 12/01/2049			3,755			4,037
Scentre Group Trust
1 4.375%, 05/28/2030 (A)			3,380			3,501
3.625%, 01/28/2026 (A)			4,545			4,612

Description		Face Amount (Thousands)			Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Securian Financial Group
4.800%, 04/15/2048 (A)	$		1,938	$		2,162
Standard Chartered
4.247%, VAR ICE LIBOR USD 3 Month+1.150%, 01/20/2023 (A)			4,602			4,758
State Street
3.031%, VAR United States Secured Overnight Financing Rate+1.490%, 11/01/2034			4,980			5,255
Sumitomo Mitsui Financial Group
3.040%, 07/16/2029			1,955			2,077
2.448%, 09/27/2024			2,750			2,850
Svenska Handelsbanken MTN
3.350%, 05/24/2021			2,200			2,263
Teachers Insurance & Annuity Association of America
4.900%, 09/15/2044 (A)			1,480			1,850
4.270%, 05/15/2047 (A)			1,190			1,402
Travelers
3.750%, 05/15/2046			1,505			1,762
2.550%, 04/27/2050			1,125			1,110
Truist Bank
4.050%, 11/03/2025			4,330			4,919
3.800%, 10/30/2026			1,780			1,963
3.200%, 04/01/2024			6,315			6,807
2.250%, 03/11/2030			1,620			1,597
Truist Financial
4.000%, 05/01/2025			7,740			8,676
Truist Financial MTN
3.050%, 06/20/2022			11,435			11,929
2.850%, 10/26/2024			2,365			2,525
UBS
2.450%, 12/01/2020 (A)			1,530			1,544
UBS MTN
4.500%, 06/26/2048 (A)			3,075			4,136
UBS Group Funding Switzerland
4.253%, 03/23/2028 (A)			1,425			1,595
4.125%, 09/24/2025 (A)			1,265			1,406
3.491%, 05/23/2023 (A)			3,885			4,046
US Bancorp
3.375%, 02/05/2024			5,740			6,255
US Bancorp MTN
3.000%, 07/30/2029			10,540			11,417
2.950%, 07/15/2022			2,110			2,201
Validus Holdings
8.875%, 01/26/2040			1,760			2,671
Wells Fargo
5.950%, 12/15/2036			975			1,131
5.606%, 01/15/2044			3,421			4,522
3.625%, 10/22/2021			9,605			9,968
3.069%, 01/24/2023			6,395			6,593

322 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description		Face Amount (Thousands)			Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
3.068%, VAR United States Secured Overnight Financing Rate+2.530%, 04/30/2041	$		6,170	$		6,256
3.000%, 04/22/2026			8,965			9,582
Wells Fargo MTN
5.013%, 04/04/2051 (C)			2,225			2,908
4.900%, 11/17/2045			1,415			1,713
4.750%, 12/07/2046			2,938			3,465
4.400%, 06/14/2046			3,520			3,983
4.300%, 07/22/2027			939			1,056
3.584%, VAR ICE LIBOR USD 3 Month+1.310%, 05/22/2028			6,541			7,094
3.196%, VAR ICE LIBOR USD 3 Month+1.170%, 06/17/2027			8,425			8,967
2.879%, VAR ICE LIBOR USD 3 Month+1.170%, 10/30/2030			4,300			4,466
2.393%, VAR United States Secured Overnight Financing Rate+2.100%, 06/02/2028			8,120			8,191
2.164%, VAR ICE LIBOR USD 3 Month+0.750%, 02/11/2026			6,755			6,841
WR Berkley
4.000%, 05/12/2050			3,015			3,100
						982,858
Health Care — 9.2%
Abbott Laboratories
2.950%, 03/15/2025			1,745			1,923
AbbVie
4.050%, 11/21/2039 (A)			2,490			2,781
3.600%, 05/14/2025			1,635			1,801
2.600%, 11/21/2024 (A)			2,045			2,153
2.150%, 11/19/2021 (A)			12,845			13,073
Advocate Health & Hospitals
4.272%, 08/15/2048			2,984			3,687
2.211%, 06/15/2030			3,670			3,730
Amgen
2.200%, 02/21/2027			2,325			2,417
Ascension Health
3.945%, 11/15/2046			4,194			5,169
3.106%, 11/15/2039			1,610			1,723
2.532%, 11/15/2029			3,500			3,685
AstraZeneca
3.375%, 11/16/2025			2,680			2,995
Baxter International
3.750%, 10/01/2025 (A)			3,835			4,327
Bayer US Finance II LLC
4.700%, 07/15/2064 (A)			3,685			4,131
4.375%, 12/15/2028 (A)			8,401			9,636
3.500%, 06/25/2021 (A)			5,000			5,109
Bayer US Finance LLC
3.375%, 10/08/2024 (A)			1,820			1,948

Description		Face Amount (Thousands)			Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Blue Cross & Blue Shield of Minnesota
3.790%, 05/01/2025 (A)	$		2,086	$		2,305
Bon Secours Mercy Health
3.464%, 06/01/2030			1,930			2,084
Bristol-Myers Squibb
5.000%, 08/15/2045 (A)			1,900			2,631
4.550%, 02/20/2048 (A)			255			341
3.400%, 07/26/2029 (A)			4,405			5,051
3.200%, 06/15/2026 (A)			1,355			1,518
2.900%, 07/26/2024 (A)			4,245			4,581
Cigna
4.125%, 11/15/2025			2,154			2,450
2.400%, 03/15/2030			2,655			2,743
CommonSpirit Health
4.350%, 11/01/2042			1,630			1,624
4.187%, 10/01/2049			2,815			2,777
CVS Health
4.100%, 03/25/2025			5,397			6,026
3.700%, 03/09/2023			8,125			8,707
3.000%, 08/15/2026			2,105			2,293
DH Europe Finance II Sarl
2.050%, 11/15/2022			3,635			3,744
Eli Lilly
3.375%, 03/15/2029			3,155			3,631
Gilead Sciences
4.800%, 04/01/2044			1,300			1,718
4.750%, 03/01/2046			1,625			2,177
4.000%, 09/01/2036			1,145			1,404
3.650%, 03/01/2026			815			925
3.250%, 09/01/2022			5,765			6,104
GlaxoSmithKline Capital
3.875%, 05/15/2028			2,040			2,395
2.875%, 06/01/2022			4,850			5,063
Health Care Service, A Mutual Legal Reserve
3.200%, 06/01/2050 (A)			3,025			3,068
2.200%, 06/01/2030 (A)			4,515			4,528
1.500%, 06/01/2025 (A)			4,585			4,605
Johnson & Johnson
2.900%, 01/15/2028			2,435			2,738
2.625%, 01/15/2025			1,660			1,812
Kaiser Foundation Hospitals
4.150%, 05/01/2047			2,830			3,508
3.150%, 05/01/2027			2,005			2,198
Medtronic
4.625%, 03/15/2045			931			1,254
4.375%, 03/15/2035			1,732			2,210
Memorial Health Services
3.447%, 11/01/2049			1,620			1,602
Merck
3.900%, 03/07/2039			2,865			3,554
3.600%, 09/15/2042			2,000			2,401
3.400%, 03/07/2029			2,385			2,739

SEI Institutional Investments Trust / Annual Report / May 31, 2020 323

SCHEDULE OF INVESTMENTS

May 31, 2020

Intermediate Duration Credit Fund (Continued)

Description		Face Amount (Thousands)			Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
2.750%, 02/10/2025	$		975	$		1,067
2.350%, 02/10/2022			3,630			3,748
New York and Presbyterian Hospital
4.763%, 08/01/2116			1,395			1,626
Northwell Healthcare
4.260%, 11/01/2047			1,915			2,006
Novartis Capital
3.000%, 11/20/2025			4,115			4,579
2.750%, 08/14/2050			5,016			5,251
Pfizer
4.000%, 03/15/2049			2,278			2,885
3.000%, 12/15/2026			2,065			2,352
2.800%, 03/11/2022			7,950			8,289
2.625%, 04/01/2030			9,926			10,846
2.550%, 05/28/2040			1,090			1,104
Pharmacia
6.600%, 12/01/2028			1,000			1,381
Providence St. Joseph Health Obligated Group
2.532%, 10/01/2029			9,800			10,212
Roche Holdings
2.625%, 05/15/2026 (A)			3,145			3,456
RWJ Barnabas Health
3.477%, 07/01/2049			4,000			3,990
SSM Health Care
3.688%, 06/01/2023			7,331			7,741
Stanford Health Care
3.310%, 08/15/2030			990			1,108
Stryker
1.950%, 06/15/2030			2,775			2,766
Thermo Fisher Scientific
4.133%, 03/25/2025			3,200			3,641
UnitedHealth Group
6.875%, 02/15/2038			2,300			3,631
6.500%, 06/15/2037			1,645			2,502
4.625%, 07/15/2035			5,090			6,657
4.200%, 01/15/2047			1,432			1,784
3.875%, 12/15/2028			1,835			2,187
3.850%, 06/15/2028			1,275			1,517
3.750%, 07/15/2025			3,700			4,233
3.700%, 12/15/2025			1,705			1,942
3.700%, 08/15/2049			420			496
3.500%, 02/15/2024			6,745			7,404
2.750%, 05/15/2040			2,040			2,126
2.375%, 10/15/2022			4,245			4,421
2.000%, 05/15/2030			2,300			2,372
Wyeth LLC
6.000%, 02/15/2036			1,400			1,992
5.950%, 04/01/2037			3,700			5,377
						305,486

Description		Face Amount (Thousands)			Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Industrials – 7.8%
Air Lease
3.875%, 07/03/2023	$		4,406	$		4,149
Airbus
3.950%, 04/10/2047 (A)			2,800			2,698
American Airlines Pass-Through Trust, Ser 2013-1, Cl A
4.000%, 07/15/2025			1,949			1,522
American Airlines Pass-Through Trust, Ser 2013-2, Cl A
4.950%, 01/15/2023			4,779			3,752
Aviation Capital Group LLC
2.875%, 01/20/2022 (A)			2,055			1,726
BAE Systems Holdings
3.800%, 10/07/2024 (A)			1,700			1,838
BAE Systems PLC
5.800%, 10/11/2041 (A)			1,940			2,509
3.400%, 04/15/2030 (A)			2,307			2,504
Boeing
5.805%, 05/01/2050			3,505			3,977
5.150%, 05/01/2030			8,840			9,473
3.100%, 05/01/2026			3,710			3,606
2.700%, 05/01/2022			3,420			3,439
1.875%, 06/15/2023			2,900			2,789
Burlington Northern Santa Fe LLC
6.150%, 05/01/2037			2,440			3,415
4.900%, 04/01/2044			2,563			3,316
4.550%, 09/01/2044			4,695			5,845
4.150%, 04/01/2045			2,905			3,515
4.150%, 12/15/2048			275			337
Caterpillar
3.803%, 08/15/2042			1,420			1,684
3.400%, 05/15/2024			3,050			3,348
Caterpillar Financial Services MTN
3.150%, 09/07/2021			3,340			3,445
2.950%, 02/26/2022			5,725			5,949
2.550%, 11/29/2022			8,075			8,444
CCL Industries
3.050%, 06/01/2030 (A)			3,435			3,451
Continental Airlines Pass-Through Trust, Ser 2012-1, Cl A
4.150%, 04/11/2024			2,609			2,402
Continental Airlines Pass-Through Trust, Ser 2012-2, Cl A
4.000%, 10/29/2024			3,522			3,118
CSX
3.350%, 09/15/2049			4,726			5,103
Deere
3.750%, 04/15/2050			205			248
3.100%, 04/15/2030			4,033			4,572

324 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description		Face Amount (Thousands)			Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Delta Air Lines Pass-Through Trust, Ser 2015-1, Cl A
3.875%, 07/30/2027	$		1,265	$		1,125
Delta Air Lines Pass-Through Trust, Ser 2019-1, Cl A
3.404%, 04/25/2024			2,800			2,424
Delta Air Lines Pass-Through Trust, Ser 2020-1, Cl AA
2.000%, 06/10/2028			3,200			2,942
Emerson Electric
1.800%, 10/15/2027			6,393			6,507
Equifax
3.100%, 05/15/2030			1,940			2,024
2.600%, 12/15/2025			1,885			1,958
GE Capital International Funding Unlimited
4.418%, 11/15/2035			12,002			11,992
General Dynamics
4.250%, 04/01/2040			880			1,094
4.250%, 04/01/2050			100			130
1.875%, 08/15/2023			2,495			2,593
General Electric
4.250%, 05/01/2040			2,505			2,436
3.625%, 05/01/2030			9,920			9,808
3.450%, 05/01/2027			2,025			2,013
John Deere Capital
3.650%, 10/12/2023			4,902			5,411
John Deere Capital MTN
3.450%, 06/07/2023			4,761			5,149
3.125%, 09/10/2021			2,670			2,750
2.950%, 04/01/2022			5,720			5,970
2.800%, 03/04/2021			1,850			1,882
2.800%, 07/18/2029			4,220			4,651
2.650%, 06/24/2024			4,525			4,837
2.650%, 06/10/2026			325			355
Lockheed Martin
2.800%, 06/15/2050			1,645			1,720
Mexico City Airport Trust
5.500%, 07/31/2047 (A)			2,475			2,112
Norfolk Southern
3.800%, 08/01/2028			3,180			3,613
Northrop Grumman
2.930%, 01/15/2025			4,590			4,973
PACCAR Financial MTN
1.650%, 08/11/2021			1,200			1,203
Penske Truck Leasing LP
4.000%, 07/15/2025 (A)			2,904			3,112
3.950%, 03/10/2025 (A)			2,752			2,930
3.450%, 07/01/2024 (A)			5,540			5,755
Raytheon
2.500%, 12/15/2022			6,237			6,472
Raytheon Technologies
4.500%, 06/01/2042			2,300			2,820

Description		Face Amount (Thousands)			Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Ryder System MTN
4.625%, 06/01/2025	$		4,800	$		5,209
Siemens Financieringsmaatschappij
2.900%, 05/27/2022 (A)			1,920			2,006
1.700%, 09/15/2021 (A)			3,930			3,985
SMBC Aviation Capital Finance DAC
3.000%, 07/15/2022 (A)			2,035			2,020
Snap-on
4.100%, 03/01/2048			570			650
3.100%, 05/01/2050			5,459			5,446
Southwest Airlines Pass-Through Trust, Ser 2007-1
6.150%, 08/01/2022			385			380
Textron
3.000%, 06/01/2030			2,125			2,027
TTX
4.600%, 02/01/2049 (A)			2,100			2,613
TTX MTN
3.600%, 01/15/2025 (A)			3,243			3,469
2.600%, 06/15/2020 (A)			2,620			2,621
United Airlines Pass-Through Trust, Ser 2016-1, Cl B
3.650%, 01/07/2026			2,026			1,335
United Airlines Pass-Through Trust, Ser 2018-1, Cl B
4.600%, 03/01/2026			1,159			771
United Airlines Pass-Through Trust, Ser 2019-1, Cl AA
4.150%, 08/25/2031			1,489			1,392
United Parcel Service
3.750%, 11/15/2047			3,396			3,883
US Airways Pass-Through Trust, Ser 2012-2, Cl A
4.625%, 06/03/2025			118			97
Verisk Analytics
3.625%, 05/15/2050			2,610			2,781
WW Grainger
4.200%, 05/15/2047			2,510			2,849
						258,469
Information Technology – 9.3%
Adobe
1.700%, 02/01/2023			12,255			12,665
Apple
4.650%, 02/23/2046			4,760			6,554
4.500%, 02/23/2036			2,385			3,113
4.375%, 05/13/2045			515			673
3.850%, 08/04/2046			7,140			8,812
3.350%, 02/09/2027			3,810			4,322
3.250%, 02/23/2026			19,690			22,209
3.000%, 02/09/2024			3,800			4,120
2.850%, 05/11/2024			1,055			1,142

SEI Institutional Investments Trust / Annual Report / May 31, 2020 325

SCHEDULE OF INVESTMENTS     

May 31, 2020

Intermediate Duration Credit Fund (Continued)

Description		Face Amount (Thousands)			Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
2.650%, 05/11/2050	$		3,395	$		3,506
Applied Materials
3.900%, 10/01/2025			3,155			3,620
2.750%, 06/01/2050			1,580			1,569
Broadcom
4.150%, 11/15/2030 (A)			970			1,016
3.150%, 11/15/2025 (A)			7,240			7,516
2.650%, 01/15/2023			3,066			3,163
Cisco Systems
5.900%, 02/15/2039			2,007			2,943
2.200%, 09/20/2023			4,055			4,311
Dell International LLC
8.100%, 07/15/2036 (A)			645			782
Genpact Luxembourg Sarl
3.700%, 04/01/2022			3,310			3,385
3.375%, 12/01/2024			3,580			3,697
Intel
4.950%, 03/25/2060			1,750			2,527
4.750%, 03/25/2050			2,220			3,020
4.600%, 03/25/2040			2,835			3,689
4.000%, 12/15/2032			4,300			5,307
3.734%, 12/08/2047			2,511			2,952
3.250%, 11/15/2049			3,045			3,371
2.875%, 05/11/2024			5,830			6,319
International Business Machines
4.150%, 05/15/2039			2,080			2,474
3.300%, 05/15/2026			1,805			2,013
Lam Research
1.900%, 06/15/2030			7,050			7,093
Leidos
4.375%, 05/15/2030 (A)			5,005			5,569
3.625%, 05/15/2025 (A)			1,095			1,175
Mastercard
3.850%, 03/26/2050			2,700			3,451
3.300%, 03/26/2027			2,560			2,904
2.950%, 06/01/2029			2,420			2,714
Microsoft
5.200%, 06/01/2039			2,378			3,453
4.100%, 02/06/2037			6,298			8,003
4.000%, 02/12/2055			1,100			1,441
3.750%, 02/12/2045			115			144
3.700%, 08/08/2046			9,099			11,337
3.500%, 02/12/2035			1,290			1,567
3.450%, 08/08/2036			115			136
2.875%, 02/06/2024			1,900			2,058
2.400%, 08/08/2026			11,215			12,321
2.000%, 08/08/2023			2,335			2,449
NVIDIA
2.850%, 04/01/2030			10,980			12,034
NXP BV
4.875%, 03/01/2024 (A)			3,252			3,595

Description		Face Amount (Thousands)			Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Oracle
4.300%, 07/08/2034	$		2,835	$		3,480
4.125%, 05/15/2045			325			385
4.000%, 07/15/2046			7,985			9,258
3.850%, 07/15/2036			470			545
3.800%, 11/15/2037			2,505			2,853
3.600%, 04/01/2040			6,995			7,744
2.950%, 05/15/2025			2,160			2,350
2.950%, 04/01/2030			9,310			10,213
2.650%, 07/15/2026			5,610			6,078
2.500%, 05/15/2022			4,700			4,864
2.400%, 09/15/2023			3,840			4,049
QUALCOMM
4.300%, 05/20/2047			2,978			3,648
2.600%, 01/30/2023			5,375			5,642
2.150%, 05/20/2030			4,190			4,303
Texas Instruments
4.150%, 05/15/2048			3,579			4,709
2.250%, 09/04/2029			15,700			16,679
1.375%, 03/12/2025			4,015			4,127
Visa
3.150%, 12/14/2025			385			433
2.700%, 04/15/2040			580			616
2.050%, 04/15/2030			1,964			2,056
VMware
4.500%, 05/15/2025			2,595			2,804
						309,070
Materials — 0.6%
Air Products and Chemicals
1.850%, 05/15/2027			2,860			2,953
BHP Billiton Finance USA
6.420%, 03/01/2026			1,510			1,904
5.000%, 09/30/2043			1,400			1,945
Ecolab
4.800%, 03/24/2030			1,068			1,334
Nacional del Cobre de Chile
4.250%, 07/17/2042 (A)			2,100			2,251
3.700%, 01/30/2050 (A)			1,200			1,193
Newcrest Finance Pty
3.250%, 05/13/2030 (A)			2,440			2,553
Praxair
3.200%, 01/30/2026			2,315			2,579
Rio Tinto Finance USA
5.200%, 11/02/2040			1,185			1,615
Vulcan Materials
3.500%, 06/01/2030			2,465			2,567
						20,894
Real Estate — 2.3%
AvalonBay Communities MTN
3.350%, 05/15/2027			2,980			3,212

326 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description		Face Amount (Thousands)			Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
2.950%, 05/11/2026	$		2,182	$		2,281
Boston Properties
4.500%, 12/01/2028			2,630			3,027
3.850%, 02/01/2023			5,430			5,769
Camden Property Trust
2.800%, 05/15/2030			2,500			2,619
Crown Castle Towers LLC
3.663%, 05/15/2025 (A)			3,600			3,824
Healthpeak Properties
4.250%, 11/15/2023			1,970			2,070
3.250%, 07/15/2026			1,940			1,970
Kimco Realty
3.300%, 02/01/2025			2,045			2,069
Newmark Group
6.125%, 11/15/2023			3,140			2,885
Prologis
2.250%, 04/15/2030			1,375			1,412
2.125%, 04/15/2027			3,225			3,335
Realty Income
3.250%, 10/15/2022			4,970			5,189
Regency Centers
4.650%, 03/15/2049			430			451
4.400%, 02/01/2047			1,885			1,901
Sabra Health Care
4.800%, 06/01/2024			940			916
3.900%, 10/15/2029			4,275			3,609
Simon Property Group
6.750%, 02/01/2040			470			599
4.250%, 11/30/2046			1,864			1,780
3.375%, 10/01/2024			5,488			5,601
3.250%, 09/13/2049			1,555			1,261
2.450%, 09/13/2029			5,620			5,144
Ventas Realty
4.400%, 01/15/2029			5,598			5,710
3.125%, 06/15/2023			1,595			1,611
Vornado Realty
3.500%, 01/15/2025			3,895			3,749
Welltower
4.950%, 09/01/2048			2,632			2,695
WP Carey
4.600%, 04/01/2024			2,670			2,825
						77,514
Utilities — 8.9%
AEP Texas
3.450%, 01/15/2050			2,695			2,840
Alabama Power
3.850%, 12/01/2042			600			695
3.700%, 12/01/2047			2,800			3,161
2.450%, 03/30/2022			2,545			2,628
Ameren Illinois
4.500%, 03/15/2049			7,005			9,222

Description		Face Amount (Thousands)			Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
2.700%, 09/01/2022	$		2,000	$		2,068
Atmos Energy
4.125%, 03/15/2049			3,445			4,242
Berkshire Hathaway Energy
4.250%, 10/15/2050 (A)			2,840			3,570
3.800%, 07/15/2048			1,065			1,229
3.250%, 04/15/2028			1,720			1,931
CenterPoint Energy Houston Electric LLC
4.500%, 04/01/2044			2,215			2,780
Cleco Corporate Holdings LLC
3.375%, 09/15/2029 (A)			1,620			1,604
CMS Energy
3.000%, 05/15/2026			4,285			4,572
Commonwealth Edison
4.700%, 01/15/2044			2,000			2,590
4.000%, 03/01/2048			3,635			4,356
3.200%, 11/15/2049			1,425			1,525
3.000%, 03/01/2050			2,940			3,079
2.550%, 06/15/2026			4,665			5,011
Consolidated Edison of New York
3.875%, 06/15/2047			3,000			3,384
3.800%, 05/15/2028			5,765			6,478
Consumers Energy Co
3.500%, 08/01/2051			450			532
Dominion Energy
3.375%, 04/01/2030			645			708
Dominion Energy South Carolina
4.600%, 06/15/2043			1,000			1,254
4.250%, 08/15/2028			5,318			6,048
Duke Energy Carolinas LLC
5.300%, 02/15/2040			1,700			2,313
3.900%, 06/15/2021			235			241
3.875%, 03/15/2046			3,800			4,488
3.350%, 05/15/2022			11,290			11,890
Duke Energy Florida LLC
3.100%, 08/15/2021			4,530			4,626
Duke Energy Indiana LLC
6.350%, 08/15/2038			340			507
4.900%, 07/15/2043			240			318
Duke Energy Ohio
2.125%, 06/01/2030			1,190			1,222
Duke Energy Progress LLC
4.200%, 08/15/2045			2,170			2,678
4.100%, 05/15/2042			966			1,158
3.000%, 09/15/2021			3,745			3,826
Electricite de France
4.950%, 10/13/2045 (A)			2,015			2,457
4.750%, 10/13/2035 (A)			900			1,136
Entergy Louisiana LLC
4.200%, 09/01/2048			4,565			5,744
Entergy Mississippi LLC
2.850%, 06/01/2028			3,670			3,863

SEI Institutional Investments Trust / Annual Report / May 31, 2020 327

SCHEDULE OF INVESTMENTS

May 31, 2020

Intermediate Duration Credit Fund (Continued)

Description		Face Amount (Thousands)			Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Essential Utilities
4.276%, 05/01/2049	$		1,175	$		1,430
3.566%, 05/01/2029			1,695			1,842
Evergy
5.292%, 06/15/2022			1,190			1,275
Eversource Energy
3.800%, 12/01/2023			2,905			3,176
2.900%, 10/01/2024			4,515			4,826
2.750%, 03/15/2022			1,270			1,310
Exelon
3.950%, 06/15/2025			1,846			2,064
Florida Power & Light
5.960%, 04/01/2039			140			209
5.690%, 03/01/2040			1,621			2,383
4.125%, 02/01/2042			3,395			4,241
2.850%, 04/01/2025			4,535			4,932
Georgia Power
4.300%, 03/15/2043			3,870			4,466
3.700%, 01/30/2050			2,920			3,227
Idaho Power
4.200%, 03/01/2048			2,315			2,863
Indiana Michigan Power
4.250%, 08/15/2048			525			629
Indianapolis Power & Light
4.700%, 09/01/2045 (A)			1,240			1,516
4.050%, 05/01/2046 (A)			60			67
Kentucky Utilities
5.125%, 11/01/2040			155			203
Korea Gas MTN
2.750%, 07/20/2022 (A)			4,490			4,635
MidAmerican Energy
3.150%, 04/15/2050			2,700			2,898
NextEra Energy Capital Holdings
3.500%, 04/01/2029			7,615			8,688
Niagara Mohawk Power
4.278%, 10/01/2034 (A)			1,959			2,328
3.508%, 10/01/2024 (A)			130			143
Northern States Power
7.125%, 07/01/2025			3,220			4,038
NSTAR Electric
3.250%, 05/15/2029			2,684			3,065
Oglethorpe Power
5.375%, 11/01/2040			1,435			1,662
4.250%, 04/01/2046			1,150			1,199
4.200%, 12/01/2042			170			178
Ohio Power
2.600%, 04/01/2030			3,565			3,784
Oncor Electric Delivery LLC
5.300%, 06/01/2042			3,055			4,246
3.750%, 04/01/2045			3,195			3,722
3.700%, 05/15/2050 (A)			770			924

Description		Face Amount (Thousands)			Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
PacifiCorp
6.250%, 10/15/2037	$		2,195	$		3,135
6.000%, 01/15/2039			4,275			6,023
2.950%, 06/01/2023			4,940			5,241
PPL Electric Utilities
4.150%, 06/15/2048			2,400			2,973
3.950%, 06/01/2047			1,802			2,131
Public Service Electric & Gas MTN
4.050%, 05/01/2048			2,792			3,465
3.700%, 05/01/2028			1,180			1,343
3.250%, 09/01/2023			1,450			1,563
Public Service of Colorado
6.250%, 09/01/2037			210			312
3.200%, 03/01/2050			1,575			1,728
Public Service of New Hampshire
3.600%, 07/01/2049			6,590			7,583
Public Service of Oklahoma
6.625%, 11/15/2037			960			1,304
San Diego Gas & Electric
4.500%, 08/15/2040			2,025			2,432
3.600%, 09/01/2023			1,224			1,309
3.320%, 04/15/2050			400			427
3.000%, 08/15/2021			3,840			3,929
Sempra Energy
4.000%, 02/01/2048			480			538
3.800%, 02/01/2038			1,160			1,235
3.400%, 02/01/2028			1,715			1,839
2.900%, 02/01/2023			4,129			4,296
Southern California Edison
3.875%, 06/01/2021			8,795			8,987
2.850%, 08/01/2029			2,555			2,664
Southern California Gas
5.125%, 11/15/2040			10			13
4.300%, 01/15/2049			1,045			1,302
3.750%, 09/15/2042			180			202
2.550%, 02/01/2030			4,515			4,806
Tampa Electric
3.625%, 06/15/2050			4,580			5,217
Union Electric
4.000%, 04/01/2048			1,970			2,359
2.950%, 03/15/2030			6,090			6,682
Wisconsin Power & Light
3.050%, 10/15/2027			2,300			2,496
Wisconsin Public Service
3.300%, 09/01/2049			2,405			2,569
						294,246
Total Corporate Obligations (Cost $2,779,440) ($ Thousands)						3,002,182

328 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description		Face Amount (Thousands)			Market Value ($ Thousands)
U.S. TREASURY OBLIGATIONS — 3.5%
U.S. Treasury Bonds
2.375%, 11/15/2049 (E)	$		370	$		457
2.000%, 02/15/2050			33,580			38,486
1.250%, 05/15/2050			6,505			6,259
U.S. Treasury Notes
0.625%, 03/31/2027			3,860			3,897
0.625%, 05/15/2030			17,800			17,762
0.500%, 03/15/2023			32,895			33,184
0.500%, 04/30/2027			3,910			3,913
0.375%, 04/30/2025			5,695			5,713
0.125%, 04/30/2022			8,238			8,232
Total U.S. Treasury Obligations (Cost $117,842) ($ Thousands)						117,903
MUNICIPAL BONDS — 2.2%
California — 0.7%
Bay Area, Toll Authority, Build America Project, Ser S1, RB
6.793%, 04/01/2030			1,132			1,408
Bay Area, Toll Authority, RB
2.574%, 04/01/2031			3,300			3,492
California State, Build America Project, GO
7.600%, 11/01/2040			560			996
7.550%, 04/01/2039			2,205			3,803
7.500%, 04/01/2034			5,125			8,240
Los Angeles, Unified School District, Build America Project, Ser RY, GO
6.758%, 07/01/2034			1,070			1,522
Regents of the University of California, Ser H, RB
6.548%, 05/15/2048			120			184
University of California, RB
5.770%, 05/15/2043			1,505			2,192
						21,837
Florida — 0.1%
Miami-Dade County, Aviation Revenue, Ser D, RB
1.917%, 10/01/2020			2,800			2,799
Georgia — 0.2%
Georgia State, Municipal Electric Authority, Build America Project, RB
7.055%, 04/01/2057			2,706			3,693
6.637%, 04/01/2057			2,411			3,292
						6,985

Description		Face Amount (Thousands)			Market Value ($ Thousands)
MUNICIPAL BONDS (continued)
Illinois — 0.1%
Greater Chicago, Metropolitan Water Reclamation District, GO
5.720%, 12/01/2038	$		2,580	$		3,641
Kansas — 0.0%
Kansas State, Development Finance Authority, Ser H, RB
4.727%, 04/15/2037			1,455			1,722
Massachusetts — 0.0%
Massachusetts State, Build America Project, GO
4.910%, 05/01/2029			100			121
Massachusetts State, Build America Project, RB
5.731%, 06/01/2040			80			106
						227
Michigan — 0.2%
Michigan State, Finance Authority, RB
3.084%, 12/01/2034			1,685			1,802
Michigan State, Finance Authority, RB Callable 03/01/2026 @ 100
2.671%, 09/01/2049 (C)			4,600			4,480
						6,282
New Jersey — 0.2%
New Jersey State, Transportation Trust Fund Authority, Ser C, RB
5.754%, 12/15/2028			2,300			2,602
New Jersey State, Turnpike Authority, Build America Project, RB
7.102%, 01/01/2041			2,500			3,968
						6,570
New York — 0.6%
New York & New Jersey, Port Authority, RB
4.926%, 10/01/2051			165			222
4.458%, 10/01/2062			195			246
New York & New Jersey, Port Authority, Ser 181, RB
4.960%, 08/01/2046			1,280			1,662
New York State, Dormitory Authority, Ser F, RB
3.110%, 02/15/2039			2,435			2,574
New York State, Thruway Authority, Ser M, RB
2.900%, 01/01/2035			4,150			4,125
New York State, Urban Development, RB
5.770%, 03/15/2039			8,225			10,138
						18,967

SEI Institutional Investments Trust / Annual Report / May 31, 2020 329

SCHEDULE OF INVESTMENTS

May 31, 2020

Intermediate Duration Credit Fund (Concluded)

Description	Face Amount (Thousands)		Market Value ($ Thousands)
MUNICIPAL BONDS (continued)
Texas — 0.1%
Grand Parkway, Transportation Corp, RB
5.184%, 10/01/2042	$	530	$	675
North Texas, Tollway Authority, Build America Project, RB
6.718%, 01/01/2049		810		1,350
Texas State, Build America Project, GO
5.517%, 04/01/2039		540		789
Texas State, Private Activity Bond Surface Transportation, RB
3.922%, 12/31/2049		1,120		1,117
				3,931
Total Municipal Bonds (Cost $67,284) ($ Thousands)				72,961
SOVEREIGN DEBT — 1.4%
Abu Dhabi Government International Bond MTN
3.875%, 04/16/2050 (A)		3,735		4,253
Chile Government International Bond
3.500%, 01/25/2050		6,515		6,971
Export-Import Bank of Korea
2.750%, 01/25/2022		3,320		3,418
Israel Government International Bond
3.875%, 07/03/2050		3,325		3,801
2.750%, 07/03/2030		4,000		4,335
Japan Bank for International Cooperation
1.750%, 01/23/2023		7,830		8,057
Province of Quebec Canada
6.350%, 01/30/2026		270		347
2.500%, 04/09/2024		8,670		9,306
Qatar Government International Bond
4.400%, 04/16/2050 (A)		3,640		4,327
Total Sovereign Debt (Cost $41,408) ($ Thousands)				44,815
ASSET-BACKED SECURITY — 0.1%
Other Asset-Backed Security — 0.1%
American Tower Trust I, Ser 2013-13, Cl 2A
3.070%, 03/15/2048 (A)		3,285		3,361
Total Asset-Backed Security (Cost $3,281) ($ Thousands)				3,361

Description	Shares		Market Value ($ Thousands)
CASH EQUIVALENT — 1.9%
SEI Daily Income Trust, Government Fund, Cl F
0.090%**†		63,112,236	$	63,112
Total Cash Equivalent (Cost $63,112) ($ Thousands)				63,112
Total Investments in Securities — 99.4% (Cost $3,072,367) ($ Thousands)			$	3,304,334

330 SEI Institutional Investments Trust / Annual Report / May 31, 2020

A list of the open futures contracts held by the Fund at May 31, 2020, is as follows:

Type of Contract	Number of Contracts Long/(Short)			Expiration Date		Notional Amount (Thousands)			Value (Thousands)			Unrealized Appreciation (Depreciation) (Thousands)
U.S. Long Treasury Bond		53			Sep-2020	$	9,426		$	9,454		$	28
Ultra 10-Year U.S. Treasury Notes		(146	)		Sep-2020		(22,911	)		(22,970	)		(59	)
						$	(13,485	)	$	(13,516	)	$	(31	)

        Percentages are based on Net Assets of $3,323,248 ($ Thousands).

** The rate reported is the 7-day effective yield as of May 31, 2020.

^†  Investment in Affiliated Security (see Note 6).

(A) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On May 31, 2020, the value of these securities amounted to $467,890 ($ Thousands), representing 14.1% of the Net Assets of the Fund.

(B) Zero coupon security. The rate shown on the Schedule of Investments is the security’s effective yield at the time of purchase.

(C) Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets.

(D) Perpetual security with no stated maturity date.

(E) Security, or a portion thereof, has been pledged as collateral on open futures contracts.

Cl — Class

DAC — Designated Activity Company

GO — General Obligation

ICE— Intercontinental Exchange

LIBOR— London Interbank Offered Rate

LLC — Limited Liability Company

LP — Limited Partnership

MTN — Medium Term Note

PLC — Public Limited Company

RB — Revenue Bond

Ser — Series

USD — United States Dollar

VAR — Variable Rate

The following is a list of the level of inputs used as of May 31, 2020, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Corporate Obligations		–		3,002,182		–		3,002,182
U.S. Treasury Obligations		–		117,903		–		117,903
Municipal Bonds		–		72,961		–		72,961
Sovereign Debt		–		44,815		–		44,815
Asset-Backed Security		–		3,361		–		3,361
Cash Equivalent		63,112		–		–		63,112
Total Investments in Securities		63,112		3,241,222		–		3,304,334

Other Financial Instruments	Level 1 ($)			Level 2 ($)		Level 3 ($)		Total ($)
Futures Contracts*
Unrealized Appreciation		28			–		–		28
Unrealized Depreciation		(59	)		–		–		(59	)
Total Other Financial Instruments		(31	)		–		–		(31	)

* Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument.

For the year ended May 31, 2020, there were no transfers in or out of Level 3.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The following is a summary of the Fund’s transactions with affiliates for the year ended May 31, 2020 ($ Thousands):

Security Description	Value 5/31/2019	Purchases at Cost	Proceeds from Sales	Realized Gain (Loss)	Change in Unrealized Appreciation (Depreciation)	Value 5/31/2020	Shares	Income	Capital Gains
SEI Daily Income Trust, Government Fund, Cl F	$42,290	$1,366,961	$(1,346,139)	$—	$—	$63,112	63,112,236	$679	$—

Amounts designated as “—” are either $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 331

CONSOLIDATED SUMMARY SCHEDULE OF INVESTMENTS

May 31, 2020

Dynamic Asset Allocation Fund

†Percentages are based on total investments.    

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
COMMON STOCK – 89.4%
Communication Services – 9.8%
Alphabet Inc, Cl A *		1.5	%		18,245	$	26,155
Alphabet Inc, Cl C *		1.5			18,222		26,038
AT&T Inc		0.8			444,519		13,718
Comcast Corp, Cl A		0.6			276,200		10,937
Facebook Inc, Cl A *		1.9			146,500		32,976
Netflix Inc *		0.7			26,700		11,207
Verizon Communications Inc		0.8			251,700		14,442
Walt Disney Co/The *		0.8			109,677		12,865
Other Securities		1.2					20,791
							169,129
Consumer Discretionary – 9.4%
Amazon.com Inc *		3.6			25,400		62,036
Home Depot Inc/The		1.0			66,432		16,507
McDonald’s Corp		0.5			45,800		8,533
NIKE Inc, Cl B		0.4			75,700		7,462
Other Securities		3.9					67,768
							162,306
Consumer Staples – 6.4%
Coca-Cola Co/The		0.6			234,600		10,951
Costco Wholesale Corp		0.5			26,900		8,298
PepsiCo Inc		0.6			84,862		11,164
Philip Morris International Inc		0.4			94,600		6,940
Procter & Gamble Co/The		1.0			151,736		17,589
Walmart Inc		0.6			86,265		10,702
Other Securities		2.7					44,271
							109,915
Energy – 2.6%
Chevron Corp		0.6			115,000		10,545
Exxon Mobil Corp		0.7			257,400		11,704
Other Securities		1.3					22,681
							44,930
Financials – 9.3%
Bank of America Corp		0.7			492,500		11,879
Berkshire Hathaway Inc, Cl B *		1.3			119,100		22,103
JPMorgan Chase & Co		1.1			190,900		18,577

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Other Securities		6.2	%			$	107,261
							159,820
Health Care – 13.6%
Abbott Laboratories		0.6			107,539		10,208
AbbVie Inc		0.6			107,253		9,939
Amgen Inc		0.5			36,100		8,292
Bristol-Myers Squibb Co		0.5			142,500		8,510
Eli Lilly and Co		0.4			51,367		7,857
Johnson & Johnson		1.4			160,200		23,830
Medtronic PLC		0.5			81,455		8,030
Merck & Co Inc		0.7			154,900		12,504
Pfizer Inc		0.7			336,696		12,858
Thermo Fisher Scientific Inc		0.5			24,400		8,520
UnitedHealth Group Inc		1.0			57,700		17,590
Other Securities		6.2					106,565
							234,703
Industrials – 7.1%
Union Pacific Corp		0.4			42,200		7,168
Other Securities		6.7					115,402
							122,570
Information Technology – 23.4%
Accenture PLC, Cl A		0.5			38,600		7,783
Adobe Inc *		0.7			29,400		11,366
Apple Inc		4.7			254,400		80,884
Broadcom Inc		0.4			24,093		7,018
Cisco Systems Inc		0.7			258,100		12,342
Intel Corp		1.0			264,700		16,658
Mastercard Inc, Cl A		0.9			54,000		16,248
Microsoft Corp		4.9			464,600		85,138
NVIDIA Corp		0.8			37,200		13,207
Oracle Corp		0.4			131,700		7,081
PayPal Holdings Inc *		0.6			71,400		11,068
salesforce.com *		0.6			53,900		9,421
Texas Instruments Inc		0.4			56,800		6,744
Visa Inc, Cl A		1.2			104,200		20,344
Other Securities		5.6					98,497
							403,799
Materials – 2.3%
Other Securities		2.3					39,243
Real Estate – 2.6%
American Tower Corp, Cl A ‡		0.4			26,947		6,957
Other Securities  ‡		2.2					36,826
							43,783
Utilities – 2.9%
NextEra Energy Inc		0.4			29,700		7,590

332 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Other Securities		2.5	%			$	42,428
							50,018
Total Common Stock
(Cost $729,894) ($ Thousands)							1,540,216
Total Investments in Securities — 89.4%
(Cost $729,894)($ Thousands)						$	1,540,216
					Contracts
PURCHASED OPTIONS*(A) – 0.1%
Total Purchased Options
(Premiums Paid $3,912) ($ Thousands)					499,177,270		2,039
PURCHASED SWAPTION*(B) – 0.6%
Total Purchased Swaption
(Premiums Paid $6,951) ($ Thousands)					2,550,870,000		11,124

A list of the open exchange traded options contracts held by the Fund at May 31, 2020, is as follows:

Description	Number of Contracts		Notional Amount (Thousands)		Exercise Price		Expiration Date		Value (Thousands)
PURCHASED OPTIONS — 0.1%
Call Options
August 20 Put EUR Call USD*		287,579,342	$	1,567,307		$1.09		8/07/2020	$	1,277
August 20 Put EUR Call USD*		211,597,928		1,142,629		1.08		8/27/2020		762
Total Purchased Options			$	2,709,936					$	2,039

SEI Institutional Investments Trust / Annual Report / May 31, 2020 333

CONSOLIDATED SUMMARY SCHEDULE OF INVESTMENTS

May 31, 2020

Dynamic Asset Allocation Fund (Concluded)

A list of the open OTC swaption contracts held by the Fund at May 31, 2020, is as follows:

Description	Counterparty		Number of Contracts/ Notional Amount		Exercise Price		Expiration Date		Value (Thousands)
PURCHASED SWAPTION — 0.6%
Call Swaptions
CMS One Look*		Bank of America Merill Lynch		2,550,870,000		$0.14		07/31/2021	$	11,124

A list of the open futures contracts held by the Fund at May 31, 2020, is as follows:

Type of Contract	Number of Contracts Long		Expiration Date		Notional Amount (Thousands)		Value (Thousands)		Unrealized Appreciation (Thousands)
S&P 500 Index E-MINI		972		Jun-2020	$	139,335	$	147,841	$	8,506

A list of the open forward foreign currency contracts held by the Fund at May 31, 2020, is as follows:

Counterparty	Settlement Date			Currency to Deliver (Thousands)			Currency to Receive (Thousands)		Unrealized Appreciation (Depreciation) (Thousands)
Bank of America		01/11/21	USD		12,288	SAR		46,228	$	—
Bank of America		01/11/21	USD		11,346	SAR		42,569		(30)
Bank of America		01/11/21	SAR		374,413	USD		99,774		250
Bank of America		01/11/21	SAR		38,684	USD		10,270		(13)
									$	207

A list of OTC swap agreements held by the fund at May 31, 2020, is as follows:

Total Return Swaps

Counterparty

Reference Entity/ Obligation

Fund Pays

Fund Receives

Payment Frequency

Termination Date

Currency

Notional Amount (Thousands)

Value (Thousands)

Upfront Payments/ Receipts (Thousands)

Net Unrealized Appreciation (Depreciation) (Thousands)

BNP Paribas^

Bloomberg Gold SubIndex Total Return

US T-BILL HIGH DISCOUNT RATE + 7 BPS

INDEX RETURN

Quarterly

03/17/2021

USD

(98,060)

$

13,599

$

–

$

13,599

BNP Paribas^

Bloomberg Gold SubIndex Total Return

US T-BILL HIGH DISCOUNT RATE + 7 BPS

INDEX RETURN

Quarterly

04/05/2021

USD

(73,855)

4,247

–

4,247

$

17,846

$

–

$

17,846

 * Non-income producing security.

 ‡ Real Estate Investment Trust.

Percentages are based on a Net Assets of $1,722,704 ($ Thousands).

(A) Refer to table below for details on Options Contracts.

(B) Refer to table below for details on Swaption Contracts.

 ^ Security, or a portion thereof, is held by the DAA Commodity Strategy Subsidiary, Ltd. as of May 31, 2020.

Cl — Class

Ltd. — Limited

MSCI — Morgan Stanley Capital International

NASDAQ – National Association of Securities Dealers and Automated Quotations

PLC — Public Limited Company

S&P— Standard & Poor’s

SAR— Saudi Riyal

USD — U.S. Dollar

334 SEI Institutional Investments Trust / Annual Report / May 31, 2020

The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.

The following is a list of the level of inputs used as of May 31, 2020, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Common Stock		1,540,216		–		–		1,540,216
Total Investments in Securities		1,540,216		–		–		1,540,216

Other Financial Instruments	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Purchased Options		2,039		–		–		2,039
Purchased Swaptions		–		11,124		–		11,124
Futures Contracts*
Unrealized Appreciation		8,506		–		–		8,506
Forwards Contracts*
Unrealized Appreciation		–		250		–		250
Unrealized Depreciation		–		(43)		–		(43)
OTC Swaps
Total Return Swaps*
Unrealized Appreciation		–		17,846		–		17,846
Total Other Financial Instruments		10,545		29,177		–		39,722

* Futures contracts, forwards contracts, and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument.

For the year ended May 31, 2020, there were no transfers in or out of Level 3.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

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, 2020 335

CONSOLIDATED SCHEDULE OF INVESTMENTS

May 31, 2020

Multi-Asset Real Return Fund

Sector Weightings (Unaudited)†:

†Percentages are based on total investments.

Description	Face Amount (Thousands)		Market Value ($ Thousands)
U.S. TREASURY OBLIGATIONS – 68.7%
U.S. Treasury Bills ^ (A)
1.480%, 12/03/2020	$	5,500	$	5,495
0.600%, 11/05/2020		46,500		46,466
0.139%, 02/25/2021		2,500		2,497
0.120%, 12/31/2020		4,500		4,495
U.S. Treasury Bonds
3.000%, 02/15/2049		5,660		7,812
U.S. Treasury Inflation-Protected Securities
2.375%, 01/15/2025		18,541		20,987
2.000%, 01/15/2026		15,066		17,181
0.625%, 07/15/2021 (G)		49,810		50,178
0.625%, 04/15/2023 (H)		40,885		41,905
0.625%, 01/15/2024 (G)		24,105		24,980
0.500%, 04/15/2024		6,069		6,277
0.375%, 07/15/2023 (G)		35,309		36,239
0.375%, 07/15/2025 (G)		97,179		101,809
0.250%, 01/15/2025		8,887		9,175
0.125%, 01/15/2022		11,661		11,688
0.125%, 04/15/2022 (G)		4,822		4,831
0.125%, 07/15/2022 (G)		29,096		29,402
0.125%, 01/15/2023		24,541		24,784
0.125%, 07/15/2024 (G)		23,638		24,280
0.125%, 10/15/2024 (G)		19,769		20,349
0.125%, 07/15/2026		19,908		20,738
U.S. Treasury Notes ^
0.430%, VAR US Treasury 3 Month Bill Money Market Yield+0.300%, 10/31/2021 (B)		5,300		5,318

Description	Face Amount (Thousands)		Market Value ($ Thousands)
U.S. TREASURY OBLIGATIONS (continued)
0.350%, VAR US Treasury 3 Month Bill Money Market Yield+0.220%, 07/31/2021 (B)	$	1,500	$	1,503
Total U.S. Treasury Obligations (Cost $507,616) ($ Thousands)				518,389
	Shares
COMMON STOCK – 28.9%
Communication Services – 2.2%
Activision Blizzard Inc		6,080		438
Alphabet Inc, Cl A *		1,309		1,877
Alphabet Inc, Cl C *		1,294		1,849
Anterix Inc *		100		5
AT&T Inc (C)		86,774		2,678
CenturyLink Inc		13,847		136
Cinemark Holdings Inc		2,300		35
Electronic Arts Inc *		2,081		256
Facebook Inc, Cl A *		10,388		2,338
GCI Liberty Inc *		1,300		90
IAC/interactivecorp *		200		54
Iridium Communications Inc *		800		18
Liberty Media Corp-Liberty Formula One, Cl C *		1,700		59
Live Nation Entertainment Inc *		700		34
Madison Square Garden Sports C, Cl A *		200		34
Netflix Inc *		3,258		1,368
Roku Inc, Cl A *		649		71
Shenandoah Telecommunications Co		500		26
Spok Holdings Inc		3,900		40
Spotify Technology SA *		800		145
Take-Two Interactive Software Inc *		700		95
Telephone and Data Systems Inc		1,478		30
T-Mobile US Inc *		4,052		405
Twitter Inc *		3,098		96
United States Cellular Corp *		600		19
Verizon Communications Inc		48,286		2,770
ViacomCBS Inc, Cl B		2,444		51
Vonage Holdings Corp *		4,800		46
Walt Disney Co/The		14,890		1,747
Zynga Inc, Cl A *		8,400		77
				16,887
Consumer Staples – 7.3%
Altria Group Inc (C)		53,206		2,078
Andersons Inc/The		1,800		23
Archer-Daniels-Midland Co		15,705		617
B&G Foods Inc, Cl A		2,371		55
BellRing Brands Inc, Cl A *		700		14
Beyond Meat Inc *		1,100		141
BJ’s Wholesale Club Holdings Inc *		3,200		115
Boston Beer Co Inc/The, Cl A *		150		85
Brown-Forman Corp, Cl A		1,099		65

336 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Brown-Forman Corp, Cl B		4,477	$	295
Bunge Ltd		4,344		170
Calavo Growers Inc		956		56
Cal-Maine Foods Inc		1,050		47
Campbell Soup Co		4,602		235
Casey’s General Stores Inc		1,003		160
Central Garden & Pet Co, Cl A *		1,500		51
Church & Dwight Co Inc		6,973		523
Clorox Co		3,691		761
Coca-Cola Co (C)		108,654		5,072
Coca-Cola Consolidated Inc		100		24
Colgate-Palmolive Co		24,188		1,750
Conagra Brands Inc		13,406		466
Constellation Brands Inc, Cl A		4,476		773
Costco Wholesale Corp (C)		12,732		3,927
Coty Inc, Cl A		5,168		19
Darling Ingredients Inc *		4,064		95
Edgewell Personal Care Co *		1,866		57
Energizer Holdings Inc		1,687		74
Estee Lauder Cos Inc/The, Cl A		6,032		1,191
Flowers Foods Inc		5,713		135
Fresh Del Monte Produce Inc		1,211		30
Freshpet Inc *		700		54
General Mills Inc		16,737		1,055
Grocery Outlet Holding Corp *		2,000		74
Hain Celestial Group Inc/The *		2,866		90
Herbalife Nutrition Ltd *		2,712		119
Hershey Co/The		4,099		556
Hormel Foods Corp		7,630		373
Hostess Brands Inc, Cl A *		3,430		41
Ingles Markets Inc, Cl A		447		19
Ingredion Inc		2,185		184
Inter Parfums Inc		900		42
J&J Snack Foods Corp		753		97
JM Smucker Co/The		3,027		345
John B Sanfilippo & Son Inc		400		35
Kellogg Co		6,817		445
Keurig Dr Pepper Inc (C)		6,695		187
Kimberly-Clark Corp		9,795		1,385
Kraft Heinz Co/The		17,544		535
Kroger Co/The		22,376		730
Lamb Weston Holdings Inc		4,509		271
Lancaster Colony Corp		1,450		223
McCormick & Co Inc/MD		3,371		590
Medifast Inc		400		41
Molson Coors Beverage Co, Cl B		5,424		206
Mondelez International Inc, Cl A		40,199		2,095
Monster Beverage Corp *		10,652		766
National Beverage Corp *		800		46
Nu Skin Enterprises Inc, Cl A		1,898		71
PepsiCo Inc (C)		39,566		5,205
Performance Food Group Co *		3,305		88

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Philip Morris International Inc (C)		44,041	$	3,231
Pilgrim’s Pride Corp *		1,222		25
Post Holdings Inc *		1,845		161
PriceSmart Inc		3,550		193
Procter & Gamble Co/The (C)		68,051		7,888
Reynolds Consumer Products Inc		1,300		43
Rite Aid Corp *		159		2
Sanderson Farms Inc		599		79
Seaboard Corp		25		73
Simply Good Foods Co/The *		1,900		32
SpartanNash Co		400		9
Spectrum Brands Holdings Inc		1,768		84
Sprouts Farmers Market Inc *		3,001		75
Sysco Corp		13,354		737
Tootsie Roll Industries Inc		3,521		125
TreeHouse Foods Inc *		1,953		103
Tyson Foods Inc, Cl A (C)		8,037		494
Universal Corp/VA		878		39
US Foods Holding Corp *		6,564		126
Vector Group Ltd		5,319		61
Village Super Market Inc, Cl A		1,700		41
Walgreens Boots Alliance Inc		21,802		936
Walmart Inc (C)		40,028		4,966
WD-40 Co		673		129
Weis Markets Inc		1,300		72
				54,796
Energy – 7.1%
Antero Midstream Corp		18,800		90
Antero Resources Corp *		10,353		31
Apache Corp		26,389		285
Apergy Corp *		8,200		74
Arch Resources Inc		1,100		36
Archrock Inc		8,900		57
Baker Hughes Co, Cl A		48,162		795
Berry Corp		1,700		7
Bonanza Creek Energy Inc *		1,200		20
Cabot Oil & Gas Corp, Cl A		24,148		479
Cactus Inc, Cl A		2,200		42
Cheniere Energy Inc *		15,090		669
Chevron Corp (C)		125,794		11,535
Cimarex Energy Co		8,162		215
CNX Resources Corp *		13,138		134
Concho Resources Inc		13,857		756
ConocoPhillips (C)		70,835		2,988
Continental Resources Inc/OK		7,906		97
CVR Energy Inc		2,300		47
Delek US Holdings Inc		5,357		105
Devon Energy Corp		27,465		297
DHT Holdings Inc		2,900		17
Diamondback Energy Inc		11,306		481
DMC Global Inc		200		6
Dril-Quip Inc *		3,212		98

SEI Institutional Investments Trust / Annual Report / May 31, 2020 337

CONSOLIDATED SCHEDULE OF INVESTMENTS

May 31, 2020

Multi-Asset Real Return Fund (Continued)

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
EOG Resources Inc		38,417	$	1,958
EQT Corp		16,009		214
Equitrans Midstream Corp		15,227		123
Exxon Mobil Corp (C)		279,568		12,712
Falcon Minerals Corp		2,900		7
Frank’s International NV *		12,500		28
Golar LNG Ltd		5,023		40
Halliburton Co		63,774		749
Helmerich & Payne Inc		8,039		162
Hess Corp		17,667		839
HollyFrontier Corp		10,747		338
International Seaways Inc		100		2
Kinder Morgan Inc		130,550		2,063
Kosmos Energy Ltd		27,816		51
Magnolia Oil & Gas Corp *		7,100		39
Marathon Oil Corp		56,228		300
Marathon Petroleum Corp (C)		44,109		1,550
Matador Resources Co *		12,500		98
Murphy Oil Corp		12,042		144
National Oilwell Varco Inc		29,549		368
NexTier Oilfield Solutions Inc *		23,100		67
Noble Energy Inc		34,175		298
Nordic American Tankers Ltd		4,800		22
Occidental Petroleum Corp		60,642		785
Oceaneering International Inc *		15,700		101
ONEOK Inc		29,946		1,099
Parsley Energy Inc, Cl A		23,042		211
Patterson-UTI Energy Inc		11,065		41
PBF Energy Inc, Cl A		8,771		93
PDC Energy Inc *		7,172		87
Phillips 66		29,082		2,276
Pioneer Natural Resources Co		10,984		1,006
ProPetro Holding Corp *		17,800		88
Range Resources Corp		16,971		102
Renewable Energy Group Inc *		2,300		65
REX American Resources Corp *		900		53
Schlumberger Ltd		98,888		1,826
Scorpio Tankers Inc		2,741		49
SEACOR Holdings Inc *		1,100		29
SFL Corp Ltd		5,800		58
SM Energy Co		11,300		40
Southwestern Energy Co *		41,378		125
Targa Resources Corp		17,054		305
Transocean Ltd *(C)		32,164		43
Valero Energy Corp (C)		28,136		1,875
Williams Cos Inc/The		80,139		1,637
World Fuel Services Corp		5,226		133
WPX Energy Inc *		29,330		166
				53,826
Health Care – 5.8%
Abbott Laboratories		16,259		1,543
AbbVie Inc		17,389		1,611

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
ABIOMED Inc *		426	$	95
Acadia Healthcare Co Inc *		1,145		33
ACADIA Pharmaceuticals Inc *		900		45
Acceleron Pharma Inc *		400		40
Adaptive Biotechnologies Corp *		100		4
Agilent Technologies Inc		3,244		286
Agios Pharmaceuticals Inc *		800		41
Alexion Pharmaceuticals Inc *		2,207		265
Align Technology Inc *		869		213
Alkermes PLC *		2,589		42
Alnylam Pharmaceuticals Inc *		1,199		162
Amedisys Inc *		200		38
AmerisourceBergen Corp, Cl A		1,438		137
Amgen Inc (C)		5,963		1,370
Amicus Therapeutics Inc *		3,207		40
Anthem Inc		2,481		730
Arena Pharmaceuticals Inc *		300		18
Arrowhead Pharmaceuticals Inc *		1,200		39
Atrion Corp		100		64
Avantor Inc *		2,500		47
Baxter International Inc (C)		4,959		446
Becton Dickinson and Co		2,676		661
Biogen Inc *		1,797		552
BioMarin Pharmaceutical Inc *		1,652		176
Bio-Rad Laboratories Inc, Cl A *		198		97
Bio-Techne Corp		450		119
BioTelemetry Inc *		1,700		80
Bluebird Bio Inc *		603		38
Blueprint Medicines Corp *		560		36
Boston Scientific Corp *		13,680		520
Bristol-Myers Squibb Co		22,649		1,353
Bruker Corp		1,100		48
Cardinal Health Inc		2,981		163
Cardiovascular Systems Inc *		1,500		58
Catalent Inc *		1,744		136
Centene Corp *		5,657		375
Cerner Corp		3,314		242
Change Healthcare Inc *		1,000		12
Charles River Laboratories International Inc *		447		80
Chemed Corp		150		72
Cigna Corp		3,630		716
CONMED Corp		400		29
Cooper Cos Inc/The		528		167
CorVel Corp *		200		14
CVS Health Corp		12,853		843
Danaher Corp		5,888		981
DaVita Inc *		762		62
DENTSPLY SIRONA Inc		2,748		128
DexCom Inc *		790		299
Edwards Lifesciences Corp *		1,960		440
Elanco Animal Health Inc *		4,600		99

338 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Shares		Market Value   ($ Thousands)
COMMON STOCK (continued)
Eli Lilly and Co		7,821		$	1,196
Emergent BioSolutions Inc *		500			42
Enanta Pharmaceuticals Inc *		1,000			52
Encompass Health Corp		1,222			90
Ensign Group Inc/The		1,421			62
Envista Holdings Corp *		1,600			34
Exact Sciences Corp *		1,461			125
Exelixis Inc *		3,899			96
FibroGen Inc *		1,314			44
Gilead Sciences Inc (C)		13,026			1,014
Global Blood Therapeutics Inc *		700			49
Globus Medical Inc, Cl A *		800			44
Haemonetics Corp *		672			74
Halozyme Therapeutics Inc *		1,332			32
HCA Healthcare Inc		2,657			284
HealthEquity Inc *		500			31
HealthStream Inc *		400			9
Henry Schein Inc *		1,403			85
Hill-Rom Holdings Inc		849			86
HMS Holdings Corp *		1,600			50
Hologic Inc *		2,720			144
Horizon Therapeutics Plc *		1,672			85
Humana Inc		1,260			517
ICU Medical Inc *		326			65
IDEXX Laboratories Inc *		750			232
Illumina Inc *		1,401			509
Immunomedics Inc *		2,256			76
Incyte Corp *		1,545			157
Innoviva Inc *		5,700			80
Insulet Corp *		622			117
Integer Holdings Corp *		400			32
Integra LifeSciences Holdings Corp *		672			35
Intuitive Surgical Inc *		1,119			649
Ionis Pharmaceuticals Inc *		1,224			69
Iovance Biotherapeutics Inc *		1,500			48
IQVIA Holdings Inc *		1,982			296
iRhythm Technologies Inc *		500			62
Ironwood Pharmaceuticals Inc, Cl A *		2,400			23
Jazz Pharmaceuticals PLC *		831			99
Johnson & Johnson (C)		24,794			3,688
Laboratory Corp of America Holdings *		1,110			195
LHC Group Inc *		300			49
Ligand Pharmaceuticals Inc *		222			23
LivaNova PLC *		543			29
Livongo Health Inc *		1,400			84
Luminex Corp		1,000			31
Magellan Health Inc *		600			45
Masimo Corp *		408			98
McKesson Corp		1,763			280
Medpace Holdings Inc *		300			28
Medtronic PLC		12,930			1,275
Merck & Co Inc		23,901			1,929

Description	Shares		Market Value   ($ Thousands)
COMMON STOCK (continued)
Merit Medical Systems Inc *		500		$	23
Mesa Laboratories Inc		400			106
Mettler-Toledo International Inc *		248			197
Moderna Inc *		2,200			135
Molina Healthcare Inc *		462			86
Momenta Pharmaceuticals Inc *		400			13
Mylan NV *		6,895			118
MyoKardia Inc *		1,000			102
National HealthCare Corp		1,800			121
Natus Medical Inc *		3,100			66
Nektar Therapeutics, Cl A *		2,316			50
Neogen Corp *		1,597			114
NeoGenomics Inc *		2,200			59
Neurocrine Biosciences Inc *		713			89
Nevro Corp *		100			13
Novocure Ltd *		1,000			67
NuVasive Inc *		500			30
Omnicell Inc *		550			37
Pacira BioSciences Inc *		700			31
Patterson Cos Inc		2,478			49
Penumbra Inc *		250			43
PerkinElmer Inc		1,248			125
Perrigo Co PLC		1,329			73
Pfizer Inc		53,010			2,024
Phibro Animal Health Corp, Cl A		3,100			81
PRA Health Sciences Inc *		802			83
Premier Inc, Cl A *		500			17
Prestige Consumer Healthcare Inc *		600			25
Providence Service Corp/The *		1,200			97
PTC Therapeutics Inc *		1,500			76
QIAGEN NV *		2,206			97
Quest Diagnostics Inc		1,441			170
Quidel Corp *		600			105
Reata Pharmaceuticals Inc, Cl A *		200			29
Regeneron Pharmaceuticals Inc *		793			486
Repligen Corp *		412			54
ResMed Inc		1,338			215
Sage Therapeutics Inc *		803			29
Sarepta Therapeutics Inc *		511			78
Seattle Genetics Inc *		1,048			165
STERIS PLC		900			149
Stryker Corp		3,413			668
Syneos Health Inc, Cl A *		427			26
Tandem Diabetes Care Inc *		400			33
Teladoc Health Inc *		600			104
Teleflex Inc		475			172
Thermo Fisher Scientific Inc		4,000			1,397
Ultragenyx Pharmaceutical Inc *		424			29
United Therapeutics Corp *		778			92
UnitedHealth Group Inc (C)		8,901			2,713
Universal Health Services Inc, Cl B		902			95
USANA Health Sciences Inc *		500			42

SEI Institutional Investments Trust / Annual Report / May 31, 2020 339

CONSOLIDATED SCHEDULE OF INVESTMENTS

May 31, 2020

Multi-Asset Real Return Fund (Continued)

Description	Shares		Market Value   ($ Thousands)
COMMON STOCK (continued)
Varex Imaging Corp *		3,300		$	62
Varian Medical Systems Inc *		1,198			145
Veeva Systems Inc, Cl A *		979			214
Vertex Pharmaceuticals Inc *		2,524			727
Waters Corp *		676			135
West Pharmaceutical Services Inc		749			162
Wright Medical Group NV *		1,423			42
Zimmer Biomet Holdings Inc		2,103			266
Zoetis Inc, Cl A		4,503			628
					43,932
Information Technology – 2.0%
Accenture PLC, Cl A		2,070			417
ACI Worldwide Inc *		4,700			130
Adobe Inc *		1,619			626
Amdocs Ltd		1,547			96
ANSYS Inc *		299			85
Aspen Technology Inc *		424			45
Atlassian Corp PLC, Cl A *		100			18
Autodesk Inc *		698			147
Automatic Data Processing Inc		1,462			214
Black Knight Inc *		300			23
Blackbaud Inc		800			47
Bottomline Technologies DE Inc *		2,300			116
Broadridge Financial Solutions Inc		300			36
Cadence Design Systems Inc *		818			75
CDK Global Inc		1,035			41
Citrix Systems Inc		200			30
Cognizant Technology Solutions Corp, Cl A		1,847			98
CommVault Systems Inc *		2,200			89
CSG Systems International Inc		2,500			118
DocuSign Inc, Cl A *		400			56
EPAM Systems Inc *		250			58
Euronet Worldwide Inc *		373			35
Fair Isaac Corp *		100			40
Fidelity National Information Services Inc		1,964			273
Fiserv Inc *		1,675			179
FleetCor Technologies Inc *		348			85
Fortinet Inc *		350			49
Gartner Inc *		400			49
Genpact Ltd		600			22
Global Payments Inc		991			178
Guidewire Software Inc *		400			41
International Business Machines Corp (C)		3,094			386
Intuit Inc		906			263
Jack Henry & Associates Inc		249			45
Leidos Holdings Inc		200			21
LogMeIn Inc		800			68
Manhattan Associates Inc *		1,500			133
ManTech International Corp/VA, Cl A		1,400			109
Mastercard Inc, Cl A		3,142			945
MAXIMUS Inc		500			36
Microsoft Corp (C)		26,449			4,847

Description	Shares		Market Value   ($ Thousands)
COMMON STOCK (continued)
MicroStrategy Inc, Cl A *		900		$	112
NortonLifeLock Inc		1,294			29
Nuance Communications Inc *		1,200			27
Oracle Corp		6,975			375
Palo Alto Networks Inc *		194			46
Paychex Inc		1,325			96
Paycom Software Inc *		200			59
PayPal Holdings Inc *		4,096			635
Progress Software Corp		3,000			121
Proofpoint Inc *		100			12
PTC Inc *		500			38
Qualys Inc *		900			104
RealPage Inc *		1,300			88
RingCentral Inc, Cl A *		100			27
salesforce.com Inc *		2,835			496
ServiceNow Inc *		587			228
Splunk Inc *		495			92
Square Inc, Cl A *		1,223			99
SS&C Technologies Holdings Inc		540			31
Synopsys Inc *		657			119
Teradata Corp *		1,100			23
Twilio Inc, Cl A *		300			59
Tyler Technologies Inc *		51			19
Verint Systems Inc *		500			23
Visa Inc, Cl A		6,223			1,215
VMware Inc, Cl A *		80			12
Western Union Co/The		2,688			54
WEX Inc *		200			30
Workday Inc, Cl A *		549			101
					14,739
Real Estate – 3.0%
Acadia Realty Trust ‡		3,573			42
Agree Realty Corp ‡		800			50
Alexander & Baldwin Inc ‡		2,532			29
Alexander’s Inc ‡		300			78
Alexandria Real Estate Equities Inc ‡		2,018			310
American Assets Trust Inc ‡		1,665			44
American Campus Communities Inc ‡		3,130			101
American Finance Trust Inc ‡		6,600			48
American Homes 4 Rent, Cl A ‡		4,406			111
American Tower Corp, Cl A ‡		8,308			2,145
Americold Realty Trust ‡		2,800			100
Apartment Investment and Management Co, Cl A ‡		2,947			109
Apple Hospitality Inc ‡		7,686			78
AvalonBay Communities Inc ‡		2,663			415
Boston Properties Inc ‡		3,216			276
Brandywine Realty Trust ‡		5,779			56
Brixmor Property Group Inc ‡		6,981			78
Brookfield Property Inc, Cl A ‡		3,100			32
Camden Property Trust ‡		2,007			184

340 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Shares		Market Value   ($ Thousands)
COMMON STOCK (continued)
CareTrust Inc ‡		2,400		$	45
CBRE Group Inc, Cl A *		6,789			299
Colony Capital Inc ‡		14,834			30
Columbia Property Trust Inc ‡		3,472			44
CoreCivic Inc ‡		3,873			47
CoreSite Realty Corp ‡		614			77
Corporate Office Properties Trust ‡		3,060			76
Cousins Properties Inc ‡		2,255			70
Crown Castle International Corp ‡		7,603			1,309
CubeSmart ‡		4,719			134
Cushman & Wakefield PLC *		1,100			11
CyrusOne Inc ‡		2,164			161
DiamondRock Hospitality Co ‡		6,558			39
Digital Realty Trust Inc ‡		4,908			705
Diversified Healthcare Trust ‡		6,456			23
Douglas Emmett Inc ‡		3,431			101
Duke Realty Corp ‡		7,369			254
Easterly Government Properties Inc ‡		1,825			46
EastGroup Properties Inc ‡		1,024			119
Empire State Realty Trust Inc, Cl A ‡		4,809			32
EPR Properties ‡		1,947			61
Equinix Inc ‡		1,559			1,088
Equity Commonwealth ‡		3,181			107
Equity LifeStyle Properties Inc ‡		2,860			178
Equity Residential ‡		7,183			435
Essex Property Trust Inc ‡		1,854			450
Extra Space Storage Inc ‡		2,385			231
Federal Realty Investment Trust ‡		1,721			138
First Industrial Realty Trust Inc ‡		2,170			82
Four Corners Property Trust Inc ‡		2,300			50
Franklin Street Properties Corp ‡		7,900			42
Gaming and Leisure Properties Inc ‡		3,964			137
GEO Group Inc/The ‡		3,953			47
Getty Realty Corp ‡		1,300			35
Gladstone Commercial Corp ‡		362			6
Global Net Lease Inc ‡		4,200			59
Hannon Armstrong Sustainable Infrastructure Capital Inc ‡		1,800			52
Healthcare Realty Trust Inc ‡		3,496			107
Healthcare Trust of America Inc, Cl A ‡		4,949			131
Healthpeak Properties Inc ‡		14,328			353
Highwoods Properties Inc ‡		2,749			105
Host Hotels & Resorts Inc ‡		14,506			173
Howard Hughes Corp/The *		891			45
Hudson Pacific Properties Inc ‡		3,418			83
Industrial Logistics Properties Trust ‡		1,400			26
Investors Real Estate Trust ‡		536			38
Invitation Homes Inc ‡		9,386			247
Iron Mountain Inc ‡		6,380			164
JBG SMITH Properties ‡		2,850			85
Jones Lang LaSalle Inc		1,095			112
Kennedy-Wilson Holdings Inc		4,115			58

Description	Shares		Market Value   ($ Thousands)
COMMON STOCK (continued)
Kilroy Realty Corp ‡		2,114		$	121
Kimco Realty Corp ‡		9,343			104
Kite Realty Group Trust ‡		3,300			32
Lamar Advertising Co, Cl A ‡		1,816			120
Lexington Realty Trust, Cl B ‡		16,619			162
Life Storage Inc ‡		783			76
LTC Properties Inc ‡		1,521			56
Macerich Co/The ‡		16,500			112
Mack-Cali Realty Corp ‡		2,976			45
Marcus & Millichap Inc *		600			17
Medical Properties Trust Inc ‡		8,642			156
Mid-America Apartment Communities Inc ‡		1,926			224
Monmouth Real Estate Investment Corp, Cl A ‡		2,527			33
National Health Investors Inc ‡		1,159			64
National Retail Properties Inc ‡		3,595			113
National Storage Affiliates Trust ‡		1,900			57
Office Properties Income Trust ‡		446			11
Omega Healthcare Investors Inc ‡		4,226			132
Outfront Media Inc ‡		4,125			58
Paramount Group Inc ‡		6,293			49
Park Hotels & Resorts Inc ‡		5,731			57
Pebblebrook Hotel Trust ‡		2,847			39
Physicians Realty Trust ‡		3,113			54
Piedmont Office Realty Trust Inc, Cl A ‡		3,834			64
PotlatchDeltic Corp ‡		1,759			60
Prologis Inc ‡		13,789			1,262
PS Business Parks Inc ‡		798			107
Public Storage ‡		2,830			574
QTS Realty Trust Inc, Cl A ‡		998			68
Rayonier Inc ‡		3,719			88
Realty Income Corp ‡		8,312			460
Redfin Corp *		669			20
Regency Centers Corp ‡		3,565			153
Retail Opportunity Investments Corp ‡		5,411			51
Retail Properties of America Inc, Cl A ‡		7,610			41
Rexford Industrial Realty Inc ‡		1,672			67
RLJ Lodging Trust ‡		4,589			47
Ryman Hospitality Properties Inc ‡		1,028			35
Sabra Health Care Inc ‡		5,075			68
Saul Centers Inc ‡		866			26
SBA Communications Corp, Cl A ‡		2,106			662
Service Properties Trust ‡		8,348			56
Simon Property Group Inc ‡		6,443			372
SITE Centers Corp ‡		4,565			26
SL Green Realty Corp ‡		2,174			92
Spirit Realty Capital Inc ‡		2,678			76
St Joe Co/The *		18,200			350
STAG Industrial Inc ‡		2,622			71
STORE Capital Corp ‡		4,545			88
Sun Communities Inc ‡		1,448			199
Sunstone Hotel Investors Inc ‡		5,594			49

SEI Institutional Investments Trust / Annual Report / May 31, 2020 341

CONSOLIDATED SCHEDULE OF INVESTMENTS

May 31, 2020

Multi-Asset Real Return Fund (Continued)

Description	Shares		Market Value   ($ Thousands)
COMMON STOCK (continued)
Tanger Factory Outlet Centers Inc ‡		15,300		$	94
Taubman Centers Inc ‡		1,665			69
Terreno Realty Corp ‡		1,022			52
UDR Inc ‡		6,266			232
Uniti Group Inc ‡		4,338			36
Universal Health Realty Income Trust ‡		400			37
Urban Edge Properties ‡		2,952			29
Ventas Inc ‡		7,194			251
VEREIT Inc ‡		21,553			118
VICI Properties Inc ‡		8,200			161
Vornado Realty Trust ‡		4,184			151
Washington Real Estate Investment Trust ‡		2,522			55
Weingarten Realty Investors ‡		3,199			57
Welltower Inc ‡		8,232			417
Weyerhaeuser Co ‡		21,462			433
WP Carey Inc ‡		3,321			199
Xenia Hotels & Resorts Inc ‡		2,172			20
					22,368
Utilities – 1.5%
AES Corp		8,558			107
ALLETE Inc		2,750			162
Alliant Energy Corp		2,942			145
Ameren Corp		2,887			216
American Electric Power Co Inc		5,096			434
American States Water Co		500			41
American Water Works Co Inc		869			110
Atmos Energy Corp		563			58
Avangrid Inc		1,900			85
Avista Corp		1,600			63
Black Hills Corp		1,300			80
California Water Service Group		1,300			61
CenterPoint Energy Inc		5,802			103
Chesapeake Utilities Corp		500			45
Clearway Energy Inc, Cl C		1,281			28
CMS Energy Corp		2,176			127
Consolidated Edison Inc		3,756			282
Dominion Energy Inc		8,651			735
DTE Energy Co		2,038			219
Duke Energy Corp		8,056			690
Edison International		3,987			232
El Paso Electric Co		1,200			82
Entergy Corp		2,199			224
Essential Utilities Inc		1,897			83
Evergy Inc		2,014			124
Eversource Energy		3,310			277
Exelon Corp		11,979			459
FirstEnergy Corp		5,634			238
Hawaiian Electric Industries Inc		2,550			101
IDACORP Inc		1,200			112
MDU Resources Group Inc		4,055			88
MGE Energy Inc		1,400			95
Middlesex Water Co		700			48

Description	Shares			Market Value   ($ Thousands)
COMMON STOCK (continued)
National Fuel Gas Co			1,463		$	61
New Jersey Resources Corp			1,828			64
NextEra Energy Inc			5,037			1,287
NiSource Inc			3,354			80
Northwest Natural Holding Co			600			38
NorthWestern Corp			1,299			78
NRG Energy Inc			2,795			101
OGE Energy Corp			3,410			107
ONE Gas Inc			1,106			93
Ormat Technologies Inc			800			58
Otter Tail Corp			1,700			73
PG&E Corp *			3,975			47
Pinnacle West Capital Corp			1,626			127
PNM Resources Inc			2,248			92
Portland General Electric Co			2,024			95
PPL Corp			11,590			324
Public Service Enterprise Group Inc			5,752			294
Sempra Energy			3,081			389
SJW Group			800			50
South Jersey Industries Inc			1,000			28
Southern Co/The			10,536			601
Southwest Gas Holdings Inc			1,024			78
Spire Inc			1,106			81
TerraForm Power Inc, Cl A			3,400			63
UGI Corp			2,653			84
Unitil Corp			500			24
Vistra Energy Corp			5,945			122
WEC Energy Group Inc			3,113			286
Xcel Energy Inc			5,508			358
						11,137
Total Common Stock (Cost $187,808) ($ Thousands)						217,685
	Face Amount (Thousands)
CORPORATE OBLIGATIONS – 13.0%
Communication Services – 1.4%
AT&T 4.125%, 02/17/2026		$	487			543
3.400%, 05/15/2025			2,468			2,665
Baidu 3.425%, 04/07/2030			201			213
CCO Holdings LLC 5.000%, 02/01/2028 (D)			599			627
4.000%, 03/01/2023 (D)			596			601
Cox Communications 2.950%, 06/30/2023 (D)			173			181
CSC Holdings LLC 6.750%, 11/15/2021			125			132
Diamond Sports Group LLC 5.375%, 08/15/2026 (D)			105			83

342 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)			Market Value   ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Fox
3.050%, 04/07/2025		$	48		$	51
Globo Comunicacao e Participacoes
4.875%, 01/22/2030 (D)			415			357
Tencent Holdings MTN
3.240%, 06/03/2050 (D)			412			408
1.810%, 01/26/2026 (D)			621			623
Verizon Communications Inc
4.862%, 08/21/2046			465			624
3.000%, 03/22/2027			241			262
ViacomCBS Inc
4.750%, 05/15/2025			611			673
3.500%, 01/15/2025			625			647
Vodafone Group
3.750%, 01/16/2024			1,694			1,842
						10,532
Consumer Discretionary – 0.9%
AutoNation
4.750%, 06/01/2030			474			494
BMW US Capital LLC
3.900%, 04/09/2025 (D)			537			580
Booking Holdings
4.100%, 04/13/2025			156			170
Expedia Group Inc
7.000%, 05/01/2025 (D)			213			228
6.250%, 05/01/2025 (D)			112			120
General Motors
6.800%, 10/01/2027			290			331
6.125%, 10/01/2025			37			40
General Motors Financial
5.200%, 03/20/2023			479			499
5.100%, 01/17/2024			936			974
International Game Technology PLC
6.250%, 02/15/2022 (D)			380			388
Marriott International Inc/MD
5.750%, 05/01/2025			67			73
McDonald’s Corp MTN
3.300%, 07/01/2025			317			350
Panther BF Aggregator 2
4.375%, 05/15/2026 (D)		EUR	161			173
Ross Stores Inc
4.700%, 04/15/2027		$	116			131
4.600%, 04/15/2025			309			345
Royal Caribbean Cruises
11.500%, 06/01/2025 (D)			559			593
10.875%, 06/01/2023 (D)			279			291
Time Warner Cable LLC
4.500%, 09/15/2042			245			263
4.125%, 02/15/2021			65			66
TJX Cos Inc/The
3.500%, 04/15/2025			152			169

Description	Face Amount (Thousands)			Market Value   ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Volkswagen Group of America Finance LLC
2.900%, 05/13/2022 (D)		$	462		$	470
						6,748
Consumer Staples – 0.6%
Albertsons
3.500%, 02/15/2023 (D)			873			877
Altria Group
3.400%, 05/06/2030			160			169
Anheuser-Busch InBev Worldwide
4.600%, 06/01/2060			435			493
BAT Capital
3.215%, 09/06/2026			971			1,011
BRF
3.950%, 05/22/2023			260			259
BRF GmbH
4.350%, 09/29/2026			200			190
Coca-Cola Co
2.950%, 03/25/2025			665			734
Coca-Cola Femsa
2.750%, 01/22/2030			347			356
Spectrum Brands
5.750%, 07/15/2025			685			705
Virgolino de Oliveira Finance
10.500%, 01/28/2018 (D)(E)			500			15
						4,809
Energy – 1.7%
Baker Hughes LLC
3.337%, 12/15/2027			569			591
BP Capital Markets America
3.194%, 04/06/2025			542			590
Cenovus Energy
4.250%, 04/15/2027			36			33
Energy Transfer Operating
5.200%, 02/01/2022			465			484
4.650%, 06/01/2021			85			86
4.500%, 04/15/2024			278			293
3.750%, 05/15/2030			964			950
Energy Transfer Partners
4.500%, 11/01/2023			72			76
Eni
4.250%, 05/09/2029 (D)			950			1,004
Equinor
2.875%, 04/06/2025			826			891
Exxon Mobil
2.992%, 03/19/2025			645			705
1.571%, 04/15/2023			840			863
Husky Energy
4.400%, 04/15/2029			1,107			1,047
Kinder Morgan Energy Partners
4.150%, 03/01/2022			48			50

SEI Institutional Investments Trust / Annual Report / May 31, 2020 343

CONSOLIDATED SCHEDULE OF INVESTMENTS

May 31, 2020

Multi-Asset Real Return Fund (Continued)

Description	Face Amount (Thousands)			Market Value   ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Marathon Petroleum Corp
5.125%, 03/01/2021		$	47		$	48
4.500%, 05/01/2023			676			720
ONEOK Inc
5.850%, 01/15/2026			347			383
4.000%, 07/13/2027			717			705
Petroleos Mexicanos
6.840%, 01/23/2030 (D)			198			169
Petroleos Mexicanos MTN
6.750%, 09/21/2047			410			314
Petronas Capital MTN
4.550%, 04/21/2050 (D)			538			650
Sabine Pass Liquefaction LLC
5.000%, 03/15/2027			486			540
Shell International Finance BV
2.375%, 04/06/2025			297			316
Sunoco
4.875%, 01/15/2023			586			595
Transocean Poseidon
6.875%, 02/01/2027 (D)			313			282
Valero Energy Corp
2.700%, 04/15/2023			479			496
Williams Cos Inc/The
3.900%, 01/15/2025			176			188
						13,069
Financials – 4.9%
ABN AMRO Bank
4.750%, 07/28/2025 (D)			200			216
AIB Group MTN
4.750%, 10/12/2023 (D)			325			344
4.263%, VAR ICE LIBOR USD 3 Month+1.874%, 04/10/2025 (D)			635			661
Alfa
5.250%, 03/25/2024 (D)			814			837
Alleghany
3.625%, 05/15/2030			784			817
American Express
4.026%, VAR ICE LIBOR USD 3 Month+3.285%(F)			364			304
Australia & New Zealand Banking Group
4.400%, 05/19/2026 (D)			400			437
Banco Santander
5.179%, 11/19/2025			400			442
Banco Santander Mexico Institucion de Banca Multiple Grupo Financiero Santand
5.375%, 04/17/2025 (D)			358			384
Bank of America MTN
3.950%, 04/21/2025			2,163			2,368
3.124%, VAR ICE LIBOR USD 3 Month+1.160%, 01/20/2023			1,225			1,266

Description	Face Amount (Thousands)			Market Value   ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Bank of New York Mellon
4.700%, VAR US Treas Yield Curve Rate T Note Const Mat 5 Yr+4.358%(F)		$	398		$	409
Bank of New York Mellon MTN
1.600%, 04/24/2025			327			338
Banque Federative du Credit Mutuel MTN
2.750%, 10/15/2020 (D)			475			479
Barclays
6.860%, VAR ICE LIBOR USD 6 Month+1.730%(D)(F)			106			128
3.684%, 01/10/2023			755			781
BNP Paribas MTN
4.375%, 05/12/2026 (D)			700			757
Capital One Financial
2.600%, 05/11/2023			398			409
Charles Schwab
5.375%, VAR US Treas Yield Curve Rate T Note Const Mat 5 Yr+4.971%(F)			359			380
CIT Group
5.250%, 03/07/2025			487			488
Citigroup
5.950%, VAR ICE LIBOR USD 3 Month+4.068%(F)			232			233
5.950%, VAR ICE LIBOR USD 3 Month+4.095%(F)			320			299
3.875%, 03/26/2025			1,128			1,215
3.106%, VAR United States Secured Overnight Financing Rate+2.750%, 04/08/2026			619			651
Commonwealth Bank of Australia
4.500%, 12/09/2025 (D)			402			451
Cooperatieve Rabobank UA
4.375%, 08/04/2025			425			470
Credit Agricole MTN
2.750%, 06/10/2020 (D)			400			400
Credit Suisse Group
7.500%, VAR USD Swap Semi 30/360 5 Yr Curr+4.600%(F)			749			770
6.375%, VAR US Treas Yield Curve Rate T Note Const Mat 5 Yr+4.822%(D) (F)			300			307
Credit Suisse Group Funding Guernsey
4.550%, 04/17/2026			375			425
Danske Bank
3.244%, VAR ICE LIBOR USD 3 Month+1.591%, 12/20/2025 (D)			577			590
Goldman Sachs Group
5.000%, VAR ICE LIBOR USD 3 Month+2.874%(F)			230			211
3.750%, 05/22/2025			1,890			2,053
3.500%, 04/01/2025			424			456

344 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)			Market Value   ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Goldman Sachs Group MTN
1.963%, VAR ICE LIBOR USD 3
Month+1.600%, 11/29/2023		$	660		$	664
HSBC Bank USA 4.875%, 08/24/2020			460			464
HSBC Holdings
4.292%, VAR ICE LIBOR USD 3
Month+1.348%, 09/12/2026			260			287
4.041%, VAR ICE LIBOR USD 3
Month+1.546%, 03/13/2028			592			644
ING Groep 6.875%, VAR USD Swap Semi 30/360 5
Yr Curr+5.124%(F)			725			745
3.550%, 04/09/2024			1,000			1,067
Intesa Sanpaolo MTN 5.017%, 06/26/2024 (D)			332			333
JPMorgan Chase 2.083%, VAR United States Secured
Overnight Financing Rate+1.850%, 04/22/2026			679			696
JPMorgan Chase MTN 2.295%, 08/15/2021			375			376
Lloyds Banking Group 3.870%, VAR US Treas Yield Curve Rate
T Note Const Mat 1 Yr+3.500%, 07/09/2025			827			878
MetLife 5.700%, 06/15/2035			65			90
Morgan Stanley 5.550%, VAR ICE LIBOR USD 3
Month+3.810%(F)			160			142
Morgan Stanley MTN 5.000%, 11/24/2025			154			177
4.350%, 09/08/2026			742			837
2.188%, VAR United States Secured
Overnight Financing Rate+1.990%, 04/28/2026			349			358
Nationwide Building Society 4.000%, 09/14/2026 (D)			510			538
Nationwide Financial Services 5.375%, 03/25/2021 (D)			320			330
Navient 6.625%, 07/26/2021			560			552
Navient MTN 7.250%, 01/25/2022			15			15
Royal Bank of Scotland Group 8.625%, VAR USD Swap Semi 30/360 5
Yr Curr+7.598%(F)			560			581
Santander Holdings USA 4.400%, 07/13/2027			466			491
SBA Tower Trust 3.156%, 10/08/2020 (D)			753			754

Description	Face Amount (Thousands)			Market Value   ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Standard Chartered 7.500%, VAR USD Swap Semi 30/360 5
Yr Curr+6.301%(F)		$	385		$	395
2.270%, VAR ICE LIBOR USD 3
Month+1.510%(D)(F)			400			316
State Street 2.901%, VAR United States Secured
Overnight Financing Rate+2.600%, 03/30/2026 (D)			61			66
Synchrony Financial 4.500%, 07/23/2025			931			939
UBS 1.750%, 04/21/2022 (D)			306			311
UBS Group Funding Switzerland 4.125%, 09/24/2025 (D)			1,391			1,547
US Bancorp 5.300%, VAR ICE LIBOR USD 3
Month+2.914%(F)			408			411
Voya Financial 5.650%, VAR ICE LIBOR USD 3
Month+3.580%, 05/15/2053			258			256
Wells Fargo 2.188%, VAR United States Secured
Overnight Financing Rate+2.000%, 04/30/2026			599			608
						36,644
Health Care – 0.5%
AbbVie Inc 4.875%, 11/14/2048			259			323
Baxalta 3.600%, 06/23/2022			222			233
Centene Corp 4.625%, 12/15/2029			182			196
4.250%, 12/15/2027			159			166
Cigna Corp 4.375%, 10/15/2028			384			451
4.125%, 11/15/2025			288			328
3.750%, 07/15/2023			152			165
CVS Health Corp 3.625%, 04/01/2027			141			155
Gilead Sciences 2.550%, 09/01/2020			1,159			1,165
Mylan NV 3.950%, 06/15/2026			478			520
Zimmer Biomet Holdings Inc 3.050%, 01/15/2026			153			161
						3,863
Industrials – 0.8%
AerCap Ireland Capital DAC 4.125%, 07/03/2023			249			222

SEI Institutional Investments Trust / Annual Report / May 31, 2020 345

CONSOLIDATED SCHEDULE OF INVESTMENTS

May 31, 2020

Multi-Asset Real Return Fund (Continued)

Description	Face Amount (Thousands)		Market Value   ($ Thousands)
CORPORATE OBLIGATIONS (continued)
3.300%, 01/23/2023	$	249	$	225
Air Lease 3.875%, 07/03/2023		71		67
Air Lease MTN 4.250%, 02/01/2024		305		290
3.750%, 06/01/2026		61		56
3.000%, 02/01/2030		41		33
Aviation Capital Group LLC 4.875%, 10/01/2025 (D)		84		64
3.875%, 05/01/2023 (D)		230		184
3.500%, 11/01/2027 (D)		67		46
2.875%, 01/20/2022 (D)		72		61
Embraer Netherlands Finance BV 5.400%, 02/01/2027		575		522
Empresa de Transporte de Pasajeros Metro 3.650%, 05/07/2030 (D)		200		213
FedEx 3.800%, 05/15/2025		163		179
GE Capital Funding LLC 3.450%, 05/15/2025 (D)		614		623
General Electric 3.450%, 05/01/2027		633		629
0.875%, 05/17/2025		EUR            910		942
Lima Metro Line 2 Finance 5.875%, 07/05/2034	$	256		294
4.350%, 04/05/2036 (D)		228		238
Odebrecht Finance 7.125%, 06/26/2042 (D)(E)		371		7
5.250%, 06/27/2029 (D)(E)		369		6
Rumo Luxembourg Sarl 5.875%, 01/18/2025 (D)		431		440
Southwest Airlines
4.750%, 05/04/2023		496		503
TransDigm 6.250%, 03/15/2026 (D)		448		458
				6,302
Information Technology — 0.9%
Analog Devices 2.950%, 04/01/2025		69		73
Broadcom 4.700%, 04/15/2025 (D)		239		261
4.250%, 04/15/2026 (D)		421		451
4.150%, 11/15/2030 (D)		818		856
4.110%, 09/15/2028 (D)		566		593
3.875%, 01/15/2027		413		435
Dell International LLC 6.020%, 06/15/2026 (D)		313		355
5.450%, 06/15/2023 (D)		128		137
Global Payments 4.000%, 06/01/2023		419		453

Description	Face Amount (Thousands)		Market Value   ($ Thousands)
CORPORATE OBLIGATIONS (continued)
KLA-Tencor 4.650%, 11/01/2024	$	691	$	779
Lam Research Corp 2.800%, 06/15/2021		437		447
Leidos Inc 2.950%, 05/15/2023 (D)		237		245
Mastercard Inc 3.300%, 03/26/2027		355		403
NXP BV 2.700%, 05/01/2025 (D)		103		106
Oracle Corp 2.500%, 04/01/2025		816		868
Seagate HDD Cayman 4.750%, 01/01/2025		168		179
				6,641
Materials — 0.8%
Alpek 4.250%, 09/18/2029 (D)		375		367
Braskem Netherlands Finance BV 4.500%, 01/31/2030 (D)		1,215		1,066
Celulosa Arauco y Constitucion 4.200%, 01/29/2030 (D)		404		407
DowDuPont 4.493%, 11/15/2025		710		805
4.205%, 11/15/2023		710		770
GUSAP III 4.250%, 01/21/2030 (D)		750		702
Indonesia Asahan Aluminium Persero 4.750%, 05/15/2025 (D)		330		343
Inversiones CMPC 4.375%, 05/15/2023		237		247
4.375%, 04/04/2027		711		746
Nacional del Cobre de Chile 3.750%, 01/15/2031 (D)		201		218
3.150%, 01/14/2030 (D)		485		500
				6,171
Real Estate — 0.1%
Host Hotels & Resorts 3.750%, 10/15/2023		13		13
Welltower Inc 4.000%, 06/01/2025		414		432
				445
Utilities — 0.4%
Colbun 3.150%, 03/06/2030 (D)		400		393
Enel Chile 4.875%, 06/12/2028		689		766
Florida Power & Light 2.850%, 04/01/2025		165		180

346 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value   ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Israel Electric
5.000%, 11/12/2024 (D)	$	581	$	641
Kentucky Utilities
3.300%, 06/01/2050		365		382
NextEra Energy Capital Holdings
2.750%, 05/01/2025		166		178
PacifiCorp
2.700%, 09/15/2030		205		220
Terraform Global Operating LLC
6.125%, 03/01/2026 (D)		175		172
				2,932
Total Corporate Obligations (Cost $95,119) ($ Thousands)				98,156
MORTGAGE-BACKED SECURITIES — 9.1%
Agency Mortgage-Backed Obligations — 0.7%
FHLMC CMO, Ser 2012-4116, Cl LS, IO
6.016%, VAR ICE LIBOR USD 1 Month+6.200%, 10/15/2042		1,457		344
FHLMC CMO, Ser 2016-4585, Cl DS, IO
5.816%, VAR ICE LIBOR USD 1 Month+6.000%, 05/15/2046		1,175		265
FHLMC CMO, Ser 2017-4693, Cl SL, IO
5.966%, VAR ICE LIBOR USD 1 Month+6.150%, 06/15/2047		1,902		407
FHLMC CMO, Ser 2017-4719, Cl JS, IO
5.966%, VAR ICE LIBOR USD 1 Month+6.150%, 09/15/2047		1,974		333
FHLMC CMO, Ser 2017-4727, Cl SA, IO
6.016%, VAR ICE LIBOR USD 1 Month+6.200%, 11/15/2047		2,135		410
FHLMC CMO, Ser 2020-4954, Cl SL, IO
5.866%, VAR ICE LIBOR USD 1 Month+6.050%, 02/25/2050		2,538		491
FNMA CMO, Ser 2011-131, Cl ST, IO
6.372%, VAR ICE LIBOR USD 1 Month+6.540%, 12/25/2041		904		196
FNMA CMO, Ser 2014-17, Cl SA, IO
5.882%, VAR ICE LIBOR USD 1 Month+6.050%, 04/25/2044		2,514		580
FNMA CMO, Ser 2014-78, Cl SE, IO
5.932%, VAR ICE LIBOR USD 1 Month+6.100%, 12/25/2044		1,661		325
FNMA CMO, Ser 2014-92, Cl SX, IO
5.932%, VAR ICE LIBOR USD 1 Month+6.100%, 01/25/2045		1,980		444
FNMA CMO, Ser 2016-77, Cl DS, IO
5.832%, VAR ICE LIBOR USD 1 Month+6.000%, 10/25/2046		1,618		316

Description	Face Amount (Thousands)		Market Value   ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
FNMA CMO, Ser 2017-62, Cl AS, IO
5.982%, VAR ICE LIBOR USD 1 Month+6.150%, 08/25/2047	$	1,925	$	368
FNMA CMO, Ser 2017-81, Cl SA, IO
6.032%, VAR ICE LIBOR USD 1 Month+6.200%, 10/25/2047		1,995		428
GNMA CMO, Ser 2017-122, Cl SA, IO
6.029%, VAR ICE LIBOR USD 1 Month+6.200%, 08/20/2047		1,478		292
				5,199
Non-Agency Mortgage-Backed Obligations — 8.4%
Alternative Loan Trust, Ser 2005-20CB, Cl 3A6
5.500%,07/25/2035		58		51
Alternative Loan Trust, Ser 2006-24CB, Cl A16
5.750%,08/25/2036		277		200
Alternative Loan Trust, Ser 2006-28CB, Cl A14
6.250%, 10/25/2036		206		154
Alternative Loan Trust, Ser 2006-J1, Cl 1A13
5.500%, 02/25/2036		135		120
Ashford Hospitality Trust, Ser 2018-ASHF, Cl A
1.714%, VAR ICE LIBOR USD 1 Month+0.900%, 04/15/2035 (D)		758		697
Ashford Hospitality Trust, Ser 2018-KEYS, Cl A
1.184%, VAR ICE LIBOR USD 1 Month+1.000%, 06/15/2035 (D)		1,000		901
BAMLL Commercial Mortgage Securities Trust, Ser 2013-WBRK, Cl D
3.534%,03/10/2037 (B)(D)		395		344
BAMLL Commercial Mortgage Securities Trust, Ser 2017-SCH, Cl AF
1.184%, VAR ICE LIBOR USD 1 Month+1.000%, 11/15/2033 (D)		1,535		1,417
Bellemeade Re, Ser 2018-2A, Cl M1B
1.518%, VAR ICE LIBOR USD 1 Month+1.350%, 08/25/2028 (D)		177		171
Bellemeade Re, Ser 2018-3A, Cl M1B
2.018%, VAR ICE LIBOR USD 1 Month+1.850%, 10/25/2028 (D)		391		376
Bellemeade Re, Ser 2019-1A, Cl M1B
1.918%, VAR ICE LIBOR USD 1 Month+1.750%, 03/25/2029 (D)		720		656
Bellemeade Re, Ser 2019-2A, Cl M1C
2.168%, VAR ICE LIBOR USD 1 Month+2.000%, 04/25/2029 (D)		516		480
Bellemeade Re, Ser 2019-3A, Cl M1B
1.768%, VAR ICE LIBOR USD 1 Month+1.600%, 07/25/2029 (D)		507		450

SEI Institutional Investments Trust / Annual Report / May 31, 2020 347

CONSOLIDATED SCHEDULE OF INVESTMENTS

May 31, 2020

Multi-Asset Real Return Fund (Continued)

Description	Face Amount (Thousands)		Market Value   ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
Bellemeade Re, Ser 2019-3A, Cl M1C
2.118%, VAR ICE LIBOR USD 1 Month+1.950%, 07/25/2029 (D)	$	366	$	284
Bellemeade Re, Ser 2019-4A, Cl M1B
2.168%, VAR ICE LIBOR USD 1 Month+2.000%, 10/25/2029 (D)		730		681
BFLD, Ser 2019-DPLO, Cl D
2.024%, VAR ICE LIBOR USD 1 Month+1.840%, 10/15/2034 (D)		364		307
BHMS, Ser 2018-ATLS, Cl A
1.434%, VAR ICE LIBOR USD 1 Month+1.250%, 07/15/2035 (D)		762		709
Braemar Hotels & Resorts Trust, Ser 2018-PRME, Cl A
1.634%, VAR ICE LIBOR USD 1 Month+0.820%, 06/15/2035 (D)		750		683
BX Trust, Ser 2018-EXCL, Cl A
1.271%, VAR ICE LIBOR USD 1 Month+1.088%, 09/15/2037 (D)		862		757
CFCRE Commercial Mortgage Trust, Ser 2016-C4, Cl A4
3.283%,05/10/2058		625		657
CGRBS Commercial Mortgage Trust, Ser 2013-VN05, Cl A
3.369%,03/13/2035 (D)		285		299
Chase Mortgage Finance Trust, Ser 2007-S5, Cl 1A17
6.000%,07/25/2037		95		69
Chase Mortgage Reference Notes, Ser 2019-CL1, Cl M3
2.268%, VAR ICE LIBOR USD 1 Month+2.100%, 04/25/2047 (D)		211		182
CHL Mortgage Pass-Through Trust, Ser 2006-10, Cl 1A8 6.000%,05/25/2036		135		103
CHL Mortgage Pass-Through Trust, Ser 2006-13, Cl 1A19
6.250%,09/25/2036		68		48
Citigroup Commercial Mortgage Trust, Ser 2013-GC11, Cl D
4.418%, 04/10/2046 (B)(D)		250		218
Citigroup Commercial Mortgage Trust, Ser 2015-GC27, Cl A5
3.137%, 02/10/2048		779		824
Citigroup Commercial Mortgage Trust, Ser 2015-GC35, Cl A4
3.818%, 11/10/2048		390		427
Citigroup Commercial Mortgage Trust, Ser 2016-GC36, Cl A5
3.616%,02/10/2049		950		1,030
CLNY Trust, Ser 2019-IKPR, Cl D
2.209%, VAR ICE LIBOR USD 1 Month+2.025%, 11/15/2038 (D)		750		554

Description	Face Amount (Thousands)		Market Value   ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
COMM Mortgage Trust, Ser 2010-C1, Cl D
5.855%, 07/10/2046 (B)(D)	$	690	$	656
COMM Mortgage Trust, Ser 2013-CR12, Cl A4
4.046%, 10/10/2046		920		978
COMM Mortgage Trust, Ser 2013-SFS, Cl A1
1.873%, 04/12/2035 (D)		537		527
COMM Mortgage Trust, Ser 2015-3BP, Cl A
3.178%, 02/10/2035 (D)		200		208
COMM Mortgage Trust, Ser 2015-CR24, Cl A5
3.696%, 08/10/2048		490		532
COMM Mortgage Trust, Ser 2015-DC1, Cl A5
3.350%, 02/10/2048		700		743
Connecticut Avenue Securities Trust, Ser 2018-R07, Cl 1M2
2.568%, VAR ICE LIBOR USD 1 Month+2.400%, 04/25/2031 (D)		398		391
Connecticut Avenue Securities Trust, Ser 2019-R02, Cl 1M2
2.468%, VAR ICE LIBOR USD 1 Month+2.300%, 08/25/2031 (D)		286		280
Connecticut Avenue Securities Trust, Ser 2019-R03, Cl 1M2
2.318%, VAR ICE LIBOR USD 1 Month+2.150%, 09/25/2031 (D)		146		143
Connecticut Avenue Securities Trust, Ser 2019-R04, Cl 2M2
2.268%, VAR ICE LIBOR USD 1 Month+2.100%, 06/25/2039 (D)		527		516
Connecticut Avenue Securities Trust, Ser 2019-R05, Cl 1M2
2.168%, VAR ICE LIBOR USD 1 Month+2.000%, 07/25/2039 (D)		321		315
Connecticut Avenue Securities Trust, Ser 2019-R06, Cl 2M2
2.268%, VAR ICE LIBOR USD 1 Month+2.100%, 09/25/2039 (D)		558		544
Connecticut Avenue Securities Trust, Ser 2019-R07, Cl 1M2
2.268%, VAR ICE LIBOR USD 1 Month+2.100%, 10/25/2039 (D)		975		919
CSAIL Commercial Mortgage Trust, Ser 2015 – C2, Cl A4
3.504%, 06/15/2057		421		449
CSAIL Commercial Mortgage Trust, Ser 2015 – C3, Cl A4
3.718%, 08/15/2048		401		432
CSAIL Commercial Mortgage Trust, Ser 2015 – C4, Cl A4
3.808%, 11/15/2048		1,070		1,143
DBWF Mortgage Trust, Ser 2018-GLKS, Cl A
1.748%, VAR ICE LIBOR USD 1 Month+1.030%, 12/19/2030 (D)		798		745

348 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
Deutsche Alt-A Securities Mortgage Loan Trust, Ser 2006-AR4, Cl A2
0.358%, VAR ICE LIBOR USD 1 Month+0.190%, 12/25/2036	$	184	$	86
Eagle Re, Ser 2018-1, Cl M1
1.868%, VAR ICE LIBOR USD 1 Month+1.700%, 11/25/2028 (D)		87		83
Eagle Re, Ser 2020-1, Cl M1A
1.068%, VAR ICE LIBOR USD 1 Month+0.900%, 01/25/2030 (D)		820		778
FHLMC STACR Remic Trust, Ser 2019-HQA4, Cl M1
0.938%, VAR ICE LIBOR USD 1 Month+0.770%, 11/25/2049 (D)		199		197
FHLMC STACR Remic Trust, Ser 2020-DNA1, Cl M2
1.868%, VAR ICE LIBOR USD 1 Month+1.700%, 01/25/2050 (D)		725		656
FHLMC STACR Remic Trust, Ser 2020-HQA2, Cl M1
1.268%, VAR ICE LIBOR USD 1 Month+1.100%, 03/25/2050 (D)		735		717
FHLMC STACR Trust, Ser 2019-DNA3, Cl M2
2.218%, VAR ICE LIBOR USD 1 Month+2.050%, 07/25/2049 (D)		70		67
FHLMC STACR Trust, Ser 2019-DNA4, Cl M2
2.118%, VAR ICE LIBOR USD 1 Month+1.950%, 10/25/2049 (D)		725		685
FHLMC STACR Trust, Ser 2019-FTR2, Cl M2
2.318%, VAR ICE LIBOR USD 1 Month+2.150%, 11/25/2048 (D)		403		349
FHLMC STACR Trust, Ser 2019-HQA3, Cl M2
2.018%, VAR ICE LIBOR USD 1 Month+1.850%, 09/25/2049 (D)		453		434
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-DNA1, Cl M3
3.468%, VAR ICE LIBOR USD 1 Month+3.300%, 10/25/2027		250		254
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-DNA2, Cl M3
4.068%, VAR ICE LIBOR USD 1 Month+3.900%, 12/25/2027		599		607
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2016-DNA2, Cl M3
4.818%, VAR ICE LIBOR USD 1 Month+4.650%, 10/25/2028		200		209
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2017-DNA1, Cl M2
3.418%, VAR ICE LIBOR USD 1 Month+3.250%, 07/25/2029		850		860

Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2017-DNA3, Cl M2
2.668%, VAR ICE LIBOR USD 1 Month+2.500%, 03/25/2030	$	705	$	705
FHLMC Structured Agency Credit Risk Debt Notes, Ser STACR 2013-DN1, Cl M2
7.318%, VAR ICE LIBOR USD 1 Month+7.150%, 07/25/2023		191		166
First Horizon Alternative Mortgage Securities Trust, Ser 2006-FA3, Cl A9
6.000%, 07/25/2036		56		40
FNMA Connecticut Avenue Securities, Ser 2014-C04, Cl 1M2
5.068%, VAR ICE LIBOR USD 1 Month+4.900%, 11/25/2024		328		339
FNMA Connecticut Avenue Securities, Ser 2015-C01, Cl 1M2
4.468%, VAR ICE LIBOR USD 1 Month+4.300%, 02/25/2025		626		598
FNMA Connecticut Avenue Securities, Ser 2015-C01, Cl 2M2
4.718%, VAR ICE LIBOR USD 1 Month+4.550%, 02/25/2025		147		147
FNMA Connecticut Avenue Securities, Ser 2015-C02, Cl 1M2
4.168%, VAR ICE LIBOR USD 1 Month+4.000%, 05/25/2025		387		366
FNMA Connecticut Avenue Securities, Ser 2015-C02, Cl 2M2
4.168%, VAR ICE LIBOR USD 1 Month+4.000%, 05/25/2025		170		168
FNMA Connecticut Avenue Securities, Ser 2015-C03, Cl 2M2
5.168%, VAR ICE LIBOR USD 1 Month+5.000%, 07/25/2025		304		308
FNMA Connecticut Avenue Securities, Ser 2015-C03, Cl 1M2
5.168%, VAR ICE LIBOR USD 1 Month+5.000%, 07/25/2025		388		387
FNMA Connecticut Avenue Securities, Ser 2015-C04, Cl 1M2
5.868%, VAR ICE LIBOR USD 1 Month+5.700%, 04/25/2028		125		132
FNMA Connecticut Avenue Securities, Ser 2015-C04, Cl 2M2
5.718%, VAR ICE LIBOR USD 1 Month+5.550%, 04/25/2028		351		369
FNMA Connecticut Avenue Securities, Ser 2016-C05, Cl 2M2
4.618%, VAR ICE LIBOR USD 1 Month+4.450%, 01/25/2029		693		713

SEI Institutional Investments Trust / Annual Report / May 31, 2020 349

CONSOLIDATED SCHEDULE OF INVESTMENTS

May 31, 2020

Multi-Asset Real Return Fund (Continued)

Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
FNMA Connecticut Avenue Securities, Ser 2016-C06, Cl 1M2
4.418%, VAR ICE LIBOR USD 1 Month+4.250%, 04/25/2029	$	252	$	260
FNMA Connecticut Avenue Securities, Ser 2016-C07, Cl 2M2
4.518%, VAR ICE LIBOR USD 1 Month+4.350%, 05/25/2029		617		632
FNMA Connecticut Avenue Securities, Ser 2017-C01, Cl 1M2
3.718%, VAR ICE LIBOR USD 1 Month+3.550%, 07/25/2029		633		641
FNMA Connecticut Avenue Securities, Ser 2017-C03, Cl 1M2
3.168%, VAR ICE LIBOR USD 1 Month+3.000%, 10/25/2029		450		451
GS Mortgage Securities Trust, Ser 2011-GC5, Cl D
5.389%,08/10/2044 (B)(D)		80		58
GS Mortgage Securities Trust, Ser 2013-G1, Cl A2
3.557%, 04/10/2031 (B)(D)		1,485		1,393
GS Mortgage Securities Trust, Ser 2013-G1, Cl A1
2.059%, 04/10/2031 (D)		78		78
GS Mortgage Securities Trust, Ser 2014-GC18, Cl D
4.989%, 01/10/2047 (B)(D)		431		343
GS Mortgage Securities Trust, Ser 2014-GC22, Cl A5
3.862%, 06/10/2047		767		823
GS Mortgage Securities Trust, Ser 2018-GS9, Cl A4
3.992%, 03/10/2051 (B)		1,400		1,577
GS Mortgage Securities Trust, Ser 2019-BOCA, Cl A
2.014%, VAR ICE LIBOR USD 1 Month+1.200%, 06/15/2038 (D)		1,039		970
GS Mortgage Securities Trust, Ser 2019-SMP, Cl A
1.334%, VAR ICE LIBOR USD 1 Month+1.150%, 08/15/2032 (D)		860		802
Home Re, Ser 2018-1, Cl M
1.768%, VAR ICE LIBOR USD 1 Month+1.600%, 10/25/2028 (D)		132		126
HomeBanc Mortgage Trust, Ser 2005-1, Cl A1
0.418%, VAR ICE LIBOR USD 1 Month+0.250%, 03/25/2035		49		41
JPMBB Commercial Mortgage Securities Trust, Ser 2014-C21, Cl A5
3.775%, 08/15/2047		955		1,029

Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
JPMBB Commercial Mortgage Securities Trust, Ser 2014-C22, Cl XA, IO
0.834%, 09/15/2047 (B)	$	16,330	$	469
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C30, Cl A5
3.822%, 07/15/2048		485		530
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C31, Cl A3
3.801%, 08/15/2048		845		928
JPMCC Commercial Mortgage Securities Trust, Ser 2017-JP7, Cl XA, IO
1.065%, 09/15/2050 (B)		6,865		359
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2012-C8, Cl AS
3.424%, 10/15/2045 (D)		1,200		1,194
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2014-C20, Cl A5
3.805%, 07/15/2047		900		965
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2020-NNN, Cl EFL
2.032%, VAR ICE LIBOR USD 1 Month+1.850%, 01/16/2037 (D)		116		105
LB-UBS Commercial Mortgage Trust, Ser 2006-C6, Cl AJ
5.452%, 09/15/2039 (B)		148		86
LSTAR Commercial Mortgage Trust, Ser 2016-4, Cl A2
2.579%, 03/10/2049 (D)		642		651
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2014-C16, Cl A5
3.892%,06/15/2047		950		1,016
Morgan Stanley Capital I Trust, Ser 2011-C1, Cl D
5.501%, 09/15/2047 (B)(D)		110		109
Morgan Stanley Capital I Trust, Ser 2015-XLF2, Cl SNMA
2.134%, VAR ICE LIBOR USD 1 Month+1.950%, 11/15/2026 (D)		114		109
Morgan Stanley Capital I Trust, Ser 2016-UB12, Cl A4
3.596%, 12/15/2049		755		823
Mortgage Insurance-Linked Notes, Ser 2019-1, Cl M1
2.068%, VAR ICE LIBOR USD 1 Month+1.900%, 11/26/2029 (D)		603		585
Mortgage Insurance-Linked Notes, Ser 2020-1, Cl M1A
1.118%, VAR ICE LIBOR USD 1 Month+0.950%, 02/25/2030 (D)		311		300
Natixis Commercial Mortgage Securities Trust, Ser 2018-850T, Cl A
0.967%, VAR ICE LIBOR USD 1 Month+0.784%, 07/15/2033 (D)		480		463

350 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
Natixis Commercial Mortgage Securities Trust, Ser 2019-MILE, Cl A
1.684%, VAR ICE LIBOR USD 1 Month+1.500%, 07/15/2036 (D)	$	346	$	329
Oaktown Re III, Ser 2019-1A, Cl M1B
2.118%, VAR ICE LIBOR USD 1 Month+1.950%, 07/25/2029 (D)		366		342
PMT Credit Risk Transfer Trust, Ser 2019-1R, Cl A
2.170%, VAR ICE LIBOR USD 1 Month+2.000%, 03/27/2024 (D)		275		269
PMT Credit Risk Transfer Trust, Ser 2019-2R, Cl A
2.920%, VAR ICE LIBOR USD 1 Month+2.750%, 05/27/2023 (D)		521		503
PMT Credit Risk Transfer Trust, Ser 2019-3R, Cl A
2.870%, VAR ICE LIBOR USD 1 Month+2.700%, 10/27/2022 (D)		188		185
PMT Credit Risk Transfer Trust, Ser 2020-1R, Cl A
2.520%, VAR ICE LIBOR USD 1 Month+2.350%, 02/27/2023 (D)		591		572
Radnor Re, Ser 2019-1, Cl M1B
2.118%, VAR ICE LIBOR USD 1 Month+1.950%, 02/25/2029 (D)		404		391
Radnor Re, Ser 2019-2, Cl M1B
1.918%, VAR ICE LIBOR USD 1 Month+1.750%, 06/25/2029 (D)		530		474
Starwood Retail Property Trust, Ser 2014—STAR, Cl A
1.654%, VAR ICE LIBOR USD 1 Month+1.470%, 11/15/2027 (D)		1,081		806
UBS Commercial Mortgage Trust, Ser 2017—C1, Cl A4
3.544%, 11/15/2050 (B)		1,070		1,173
UBS Commercial Mortgage Trust, Ser 2018—C10, Cl A4
4.313%, 05/15/2051		1,000		1,150
UBS Commercial Mortgage Trust, Ser 2018—C8, Cl A4
3.983%, 02/15/2051		855		960
UBS Commercial Mortgage Trust, Ser 2018—C9, Cl A4
4.117%, 03/15/2051 (B)		1,500		1,712
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C4, Cl A5
2.850%, 12/10/2045		194		198
Wells Fargo Commercial Mortgage Trust, Ser 2015-SG1, Cl C
4.464%, 09/15/2048 (B)		527		454

Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
Wells Fargo Commercial Mortgage Trust, Ser 2016-LC25, Cl C
4.418%, 12/15/2059 (B)	$	370	$	312
Wells Fargo Commercial Mortgage Trust, Ser 2016-NXS6, Cl C
4.314%, 11/15/2049 (B)		620		525
Wells Fargo Commercial Mortgage Trust, Ser 2018-C43, Cl A4
4.012%, 03/15/2051 (B)		750		850
Wells Fargo Commercial Mortgage Trust, Ser 2018-C48, Cl A5
4.302%, 01/15/2052		103		119
Wells Fargo Credit Risk Transfer Securities Trust, Ser 2015-WF1, Cl 2M2
5.668%, VAR ICE LIBOR USD 1 Month+5.500%, 11/25/2025 (D)		97		77
Wells Fargo Credit Risk Transfer Securities Trust, Ser 2015-WF1, Cl 1M2
5.418%, VAR ICE LIBOR USD 1 Month+5.250%, 11/25/2025 (D)		307		243
				63,350
Total Mortgage-Backed Securities (Cost $69,370) ($ Thousands)				68,549
U.S. GOVERNMENT AGENCY OBLIGATIONS ^ — 7.0%
FFCB
2.050%, 11/25/2025		2,800		2,812
1.150%, 04/09/2025		2,000		1,998
1.010%, 04/28/2025		1,300		1,300
1.000%, 06/30/2022		500		500
0.980%, 04/24/2024		1,000		1,000
0.950%, 04/08/2022		4,300		4,310
0.550%, VAR US Treasury 3 Month Bill Money Market Yield+0.420%, 11/07/2022		1,200		1,204
0.440%, VAR United States Secured Overnight Financing Rate+0.380%, 05/08/2023		6,000		5,996
0.400%, VAR US Treasury 3 Month Bill Money Market Yield+0.270%, 05/16/2022		1,500		1,503
0.370%, VAR United States Secured Overnight Financing Rate+0.310%, 11/07/2022		2,500		2,498
FHLB
2.400%, 01/21/2028		1,700		1,703
2.000%, 08/21/2024		1,500		1,504

SEI Institutional Investments Trust / Annual Report / May 31, 2020 351

CONSOLIDATED SCHEDULE OF INVESTMENTS

May 31, 2020

Multi-Asset Real Return Fund (Continued)

Description	Face Amount (Thousands)		Market Value ($ Thousands)
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
FHLMC
1.150%, 03/30/2022	$	2,000	$	2,001
1.125%, 10/07/2022		700		701
1.050%, 04/13/2022		1,500		1,501
0.375%, 05/05/2023		1,000		1,002
FHLMC MTN
1.800%, 01/13/2023		1,000		1,002
0.210%, VAR United States Secured Overnight Financing Rate+0.150%, 03/04/2022 (I)		2,000		1,999
0.190%, VAR United States Secured Overnight Financing Rate+0.130%, 08/05/2022		2,500		2,496
FNMA
0.625%, 04/22/2025		1,300		1,306
0.450%, VAR United States Secured Overnight Financing Rate+0.390%, 04/15/2022		2,100		2,108
0.420%, VAR United States Secured Overnight Financing Rate+0.360%, 01/20/2022		2,300		2,307
0.410%, VAR United States Secured Overnight Financing Rate+0.350%, 04/07/2022 (I)		3,800		3,811
0.380%, VAR United States Secured Overnight Financing Rate+0.320%, 10/22/2021		1,800		1,805
0.360%, VAR United States Secured Overnight Financing Rate+0.300%, 01/27/2022		1,700		1,704
0.250%, 05/22/2023		1,500		1,497
0.170%, VAR United States Secured Overnight Financing Rate+0.110%, 03/04/2022 (I)		1,000		998
Total U.S. Government Agency Obligations (Cost $52,492) ($ Thousands)				52,566
ASSET-BACKED SECURITIES — 2.6%
Automotive — 1.3%
Avis Budget Rental Car Funding AESOP LLC, Ser 2016-1A, Cl A
2.990%, 06/20/2022 (D)		438		433
Avis Budget Rental Car Funding AESOP LLC, Ser 2018-1A, Cl A
3.700%, 09/20/2024 (D)		1,000		988
Avis Budget Rental Car Funding AESOP LLC, Ser 2018-2A, Cl A
4.000%, 03/20/2025 (D)		1,100		1,087

Description	Face Amount (Thousands)		Market Value ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Exeter Automobile Receivables Trust, Ser 2016-1A, Cl D
8.200%, 02/15/2023 (D)	$	246	$	249
Exeter Automobile Receivables Trust, Ser 2019-3A, Cl B
2.580%, 08/15/2023 (D)		1,000		1,010
First Investors Auto Owner Trust, Ser 2020— 1A, Cl A
1.490%, 01/15/2025 (D)		625		630
Flagship Credit Auto Trust, Ser 2016-2, Cl D
8.560%, 11/15/2023 (D)		365		378
Flagship Credit Auto Trust, Ser 2016-4, Cl D
3.890%, 11/15/2022 (D)		375		379
Flagship Credit Auto Trust, Ser 2017-4, Cl A
2.070%, 04/15/2022 (D)		9		9
Flagship Credit Auto Trust, Ser 2018-3, Cl B
3.590%, 12/16/2024 (D)		705		720
Hertz Vehicle Financing II, Ser 2015-3A, Cl A
2.670%, 09/25/2021 (D)		390		377
Hertz Vehicle Financing II, Ser 2017-1A, Cl A
2.960%, 10/25/2021 (D)		760		733
Hertz Vehicle Financing II, Ser 2018-1A, Cl A
3.290%, 02/25/2024 (D)		1,220		1,177
Hertz Vehicle Financing II, Ser 2019-1A, Cl A
3.710%, 03/25/2023 (D)		955		912
Hertz Vehicle Financing II, Ser 2019-2A, Cl A
3.420%, 05/25/2025 (D)		600		569
				9,651
Credit Cards — 0.4%
World Financial Network Credit Card Master Trust, Ser 2018-A, Cl A
3.070%, 12/16/2024		1,435		1,448
World Financial Network Credit Card Master Trust, Ser 2018-B, Cl M
3.810%, 07/15/2025		715		718
World Financial Network Credit Card Master Trust, Ser 2019-B, Cl M
3.040%, 04/15/2026		830		829
				2,995
Other Asset-Backed Securities — 0.9%
Consumer Loan Underlying Bond Credit Trust, Ser 2018-P1, Cl A
3.390%, 07/15/2025 (D)		59		59
Dryden 77 CLO, Ser 2020-77A, Cl A
2.374%, VAR ICE LIBOR USD 3 Month+2.000%, 05/20/2031 (D)		500		500
Dryden 78 CLO, Ser 2020-78A, Cl C
3.217%, VAR ICE LIBOR USD 3 Month+1.950%, 04/17/2033 (D)		660		624

352 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Face Amount (Thousands)		Market Value ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Dryden 78 CLO, Ser 2020-78A, Cl D
4.267%, VAR ICE LIBOR USD 3 Month+3.000%, 04/17/2033 (D)	$	340	$	298
Elevation CLO, Ser 2020-11A, Cl C
3.523%, VAR ICE LIBOR USD 3 Month+2.200%, 04/15/2033 (D)		580		564
Goldentree Loan Management US CLO 7, Ser 2020-7A, Cl A
2.308%, VAR ICE LIBOR USD 3 Month+1.900%, 04/20/2031 (D)		733		736
Kayne CLO 7, Ser 2020-7A, Cl C
3.407%, VAR ICE LIBOR USD 3 Month+2.000%, 04/17/2033 (D)		300		280
Magnetite CLO, Ser 2020-26A, Cl A
1.949%, VAR ICE LIBOR USD 3 Month+1.750%, 07/15/2030 (D)		988		988
Marlette Funding Trust, Ser 2018-3A, Cl A
3.200%, 09/15/2028 (D)		57		57
Marlette Funding Trust, Ser 2018-4A, Cl A
3.710%, 12/15/2028 (D)		133		132
Marlette Funding Trust, Ser 2020-1A, Cl A
2.240%, 03/15/2030 (D)		198		197
OCP CLO, Ser 2020-18A, Cl A
2.053%, VAR ICE LIBOR USD 3 Month+1.800%, 04/20/2030 (D)		727		727
Prosper Marketplace Issuance Trust, Ser 2019-3A, Cl A
3.190%, 07/15/2025 (D)		219		217
SoFi Consumer Loan Program LLC, Ser 2016-2A, Cl A
3.090%, 10/27/2025 (D)		13		13
SoFi Consumer Loan Program LLC, Ser 2016-3, Cl A
3.050%, 12/26/2025 (D)		23		23
SoFi Consumer Loan Program LLC, Ser 2017-2, Cl A
3.280%, 02/25/2026 (D)		56		56
SoFi Consumer Loan Program LLC, Ser 2017-5, Cl A2
2.780%, 09/25/2026 (D)		373		373
SoFi Consumer Loan Program LLC, Ser 2017-6, Cl A2
2.820%, 11/25/2026 (D)		500		503
SoFi Consumer Loan Program Trust, Ser 2018-3, Cl A2
3.670%, 08/25/2027 (D)		409		405
Voya CLO, Ser 2019-1A, Cl DR
4.069%, VAR ICE LIBOR USD 3 Month+2.850%, 04/15/2031 (D)		265		241
				6,993
Total Asset-Backed Securities (Cost $19,893) ($ Thousands)				19,639

Description	Face Amount (Thousands)			Market Value ($ Thousands)
SOVEREIGN DEBT — 1.7%
Abu Dhabi Government International Bond MTN
3.875%, 04/16/2050 (D)		$               412		$	469
2.500%, 04/16/2025 (D)		468			486
Egypt Government International Bond MTN
6.125%, 01/31/2022 (D)		251			254
Israel Government International Bond
3.875%, 07/03/2050		495			566
Japanese Government CPI Linked Bond
0.100%, 03/10/2027		JPY        417,789			3,868
Malaysia Government International Bond
3.882%, 03/10/2022		MYR            5,183			1,228
Mexico Government International Bond
3.900%, 04/27/2025		$               550			579
Peruvian Government International Bond
2.392%, 01/23/2026		249			258
Qatar Government International Bond
3.400%, 04/16/2025 (D)		562			600
Saudi Government International Bond MTN
2.900%, 10/22/2025 (D)		810			845
South Africa Government International Bond
8.000%, 01/31/2030		ZAR          68,674			3,658
Total Sovereign Debt (Cost $12,355) ($ Thousands)					12,811
	Number of Rights
RIGHTS — 0.0%
Celgene Corp *‡‡		8,919			29
Total Rights (Cost $19) ($ Thousands)					29
Total Investments in Securities — 131.0% (Cost $944,672) ($ Thousands)				$	987,824
	Shares
COMMON STOCK SOLD SHORT— (13.8)%
Communication Services — (0.7)%
Altice USA Inc, Cl A *		(3,000	)		(77	)
Cable One Inc		(100	)		(189	)
Cardlytics Inc*		(600	)		(41	)
Charter Communications Inc, Cl A *		(2,000	)		(1,088	)
Comcast Corp, Cl A		(58,300	)		(2,309	)
Discovery Inc, Cl A *		(2,200	)		(48	)
Discovery Inc, Cl C *		(3,200	)		(63	)
DISH Network Corp, Cl A *		(3,100	)		(98	)
EverQuote Inc, Cl A *		(500	)		(27	)
Fox Corp		(3,701	)		(107	)

SEI Institutional Investments Trust / Annual Report / May 31, 2020 353

CONSOLIDATED SCHEDULE OF INVESTMENTS

May 31, 2020

Multi-Asset Real Return Fund (Continued)

Description	Shares			Market Value ($ Thousands)
COMMON STOCK SOLD SHORT (continued)
Interpublic Group of Cos Inc/The		(5,000	)	$	(86	)
Liberty Broadband Corp, Cl A *		(700	)		(94	)
Liberty Broadband Corp, Cl C *		(1,400	)		(191	)
Liberty Media Corp-Liberty SiriusXM, Cl C *		(1,900	)		(69	)
New York Times Co/The, Cl A		(2,000	)		(78	)
News Corp		(4,200	)		(52	)
News Corp, Cl A		(4,700	)		(58	)
Nexstar Media Group Inc, Cl A		(600	)		(50	)
Omnicom Group Inc		(2,400	)		(132	)
Sirius XM Holdings Inc		(18,200	)		(106	)
TechTarget Inc*		(2,700	)		(74	)
ViacomCBS Inc, Cl B		(8,300	)		(172	)
					(5,209	)
Consumer Discretionary — (9.1)%
1-800-Flowers.com Inc, Cl A *		(900	)		(20	)
Acushnet Holdings Corp		(600	)		(20	)
Adient PLC *		(8,229	)		(140	)
Adtalem Global Education Inc*		(1,353	)		(45	)
Advance Auto Parts Inc		(471	)		(66	)
Amazon.com Inc*		(2,158	)		(5,270	)
American Axle & Manufacturing Holdings Inc*		(11,643	)		(83	)
American Outdoor Brands Corp *		(3,800	)		(45	)
Aptiv PLC		(20,503	)		(1,545	)
Aramark		(7,758	)		(201	)
AutoZone Inc*		(189	)		(217	)
Best Buy Co Inc		(2,257	)		(176	)
Bloomin’ Brands Inc		(3,500	)		(40	)
Booking Holdings Inc*		(429	)		(703	)
BorgWarner Inc		(18,789	)		(604	)
Boyd Gaming Corp		(2,119	)		(45	)
Bright Horizons Family Solutions Inc*		(2,521	)		(282	)
Brunswick Corp/DE		(4,047	)		(223	)
Burlington Stores Inc*		(716	)		(150	)
Caesars Entertainment Corp *		(17,857	)		(203	)
Callaway Golf Co		(4,067	)		(62	)
Capri Holdings Ltd *		(6,510	)		(98	)
CarMax Inc*		(1,707	)		(150	)
Carnival Corp, Cl A		(12,089	)		(190	)
Carter’s Inc		(1,966	)		(169	)
Carvana Co, Cl A *		(800	)		(74	)
Cavco Industries Inc*		(400	)		(76	)
Century Communities Inc*		(2,100	)		(62	)
Chegg Inc*		(3,700	)		(226	)
Chipotle Mexican Grill Inc, Cl A *		(820	)		(823	)
Choice Hotels International Inc		(702	)		(57	)
Churchill Downs Inc		(954	)		(127	)
Columbia Sportswear Co		(1,248	)		(91	)
Cooper Tire & Rubber Co		(7,192	)		(185	)
Cooper-Standard Holdings Inc*		(4,500	)		(47	)
Cracker Barrel Old Country Store Inc		(294	)		(31	)

Description	Shares			Market Value ($ Thousands)
COMMON STOCK SOLD SHORT (continued)
Crocs Inc*		(3,700	)	$	(106	)
Dana Inc		(12,439	)		(157	)
Darden Restaurants Inc		(3,884	)		(299	)
Deckers Outdoor Corp *		(1,408	)		(257	)
Dollar General Corp		(2,435	)		(466	)
Dollar Tree Inc*		(1,773	)		(174	)
Domino’s Pizza Inc		(1,349	)		(521	)
Dorman Products Inc*		(3,448	)		(241	)
DR Horton Inc		(19,123	)		(1,058	)
Dunkin’ Brands Group Inc		(2,282	)		(146	)
eBay Inc		(8,750	)		(398	)
Eldorado Resorts Inc*		(2,107	)		(75	)
Etsy Inc*		(1,700	)		(138	)
Expedia Group Inc		(1,309	)		(104	)
Five Below Inc*		(500	)		(52	)
Floor & Decor Holdings Inc, Cl A *		(900	)		(47	)
Foot Locker Inc		(1,320	)		(37	)
Ford Motor Co		(302,899	)		(1,730	)
Fox Factory Holding Corp *		(2,878	)		(208	)
frontdoor Inc*		(2,000	)		(91	)
Garmin Ltd		(7,929	)		(715	)
General Motors Co		(99,049	)		(2,563	)
Gentex Corp		(26,096	)		(690	)
Gentherm Inc*		(4,354	)		(177	)
Genuine Parts Co		(2,042	)		(170	)
Goodyear Tire & Rubber Co/The		(25,398	)		(193	)
GoPro Inc, Cl A *		(8,151	)		(38	)
Graham Holdings Co, Cl B		(112	)		(40	)
Grand Canyon Education Inc*		(1,255	)		(122	)
Grubhub Inc*		(968	)		(55	)
H&R Block Inc		(2,903	)		(49	)
Hanesbrands Inc		(15,559	)		(153	)
Harley-Davidson Inc		(12,143	)		(259	)
Hasbro Inc		(6,199	)		(456	)
Helen of Troy Ltd *		(988	)		(180	)
Hilton Grand Vacations Inc*		(1,700	)		(37	)
Hilton Worldwide Holdings Inc		(9,578	)		(760	)
Home Depot Inc/The		(10,989	)		(2,730	)
Hyatt Hotels Corp, Cl A		(1,406	)		(77	)
Installed Building Products Inc*		(1,422	)		(91	)
International Game Technology PLC		(4,700	)		(40	)
iRobot Corp *		(1,553	)		(114	)
Jack in the Box Inc		(587	)		(39	)
Johnson Outdoors Inc, Cl A		(600	)		(47	)
K12 Inc*		(1,700	)		(42	)
KB Home		(4,723	)		(156	)
Kontoor Brands Inc		(2,113	)		(31	)
L Brands Inc		(2,933	)		(47	)
Las Vegas Sands Corp		(11,297	)		(542	)
Laureate Education Inc, Cl A *		(3,700	)		(36	)
La-Z-Boy Inc, Cl Z		(1,909	)		(49	)
LCI Industries		(2,613	)		(259	)

354 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Shares			Market Value ($ Thousands)
COMMON STOCK SOLD SHORT (continued)
Lear Corp		(5,761	)	$	(611	)
Leggett & Platt Inc		(5,912	)		(181	)
Lennar Corp, Cl A		(14,835	)		(897	)
Lennar Corp, Cl B		(601	)		(27	)
LGI Homes Inc *		(828	)		(69	)
Lifetime Brands Inc		(6,006	)		(34	)
LKQ Corp *		(4,852	)		(133	)
Lowe’s Cos Inc		(8,049	)		(1,049	)
Lululemon Athletica Inc *		(6,431	)		(1,930	)
M/I Homes Inc *		(2,500	)		(84	)
Malibu Boats Inc, Cl A *		(1,000	)		(47	)
Marriott International Inc/MD, Cl A		(9,256	)		(819	)
Marriott Vacations Worldwide Corp		(1,189	)		(107	)
Mattel Inc *		(17,887	)		(165	)
McDonald’s Corp		(22,859	)		(4,259	)
MDC Holdings Inc		(1,887	)		(64	)
Meritage Homes Corp *		(1,497	)		(104	)
MGM Resorts International		(14,648	)		(252	)
Modine Manufacturing Co *		(6,700	)		(36	)
Mohawk Industries Inc *		(2,677	)		(249	)
Motorcar Parts of America Inc *		(10,700	)		(169	)
Murphy USA Inc *		(100	)		(12	)
Newell Brands Inc		(17,439	)		(229	)
NIKE Inc, Cl B		(61,014	)		(6,015	)
Norwegian Cruise Line Holdings Ltd *		(6,153	)		(96	)
NVR Inc *		(191	)		(615	)
Ollie’s Bargain Outlet Holdings Inc *		(100	)		(9	)
O’Reilly Automotive Inc *		(639	)		(267	)
Oxford Industries Inc		(1,024	)		(44	)
Papa John’s International Inc		(400	)		(31	)
Penn National Gaming Inc *		(3,076	)		(101	)
Perdoceo Education Corp *		(3,100	)		(50	)
Planet Fitness Inc, Cl A *		(2,663	)		(172	)
Polaris Inc		(2,914	)		(255	)
Pool Corp		(250	)		(67	)
PulteGroup Inc		(14,248	)		(484	)
PVH Corp		(3,306	)		(150	)
Quotient Technology Inc *		(6,300	)		(44	)
Qurate Retail Inc *		(1,600	)		(13	)
Ralph Lauren Corp, Cl A		(2,160	)		(163	)
RealReal Inc/The *		(2,200	)		(30	)
RH *		(200	)		(43	)
Ross Stores Inc		(3,298	)		(320	)
Royal Caribbean Cruises		(5,275	)		(274	)
Rubicon Project Inc/The *		(4,400	)		(28	)
Scientific Games Corp, Cl A *		(3,400	)		(53	)
Service Corp International/US		(5,233	)		(206	)
ServiceMaster Global Holdings Inc *		(4,184	)		(138	)
Shake Shack Inc, Cl A *		(800	)		(44	)
Shutterstock Inc		(1,300	)		(49	)
Six Flags Entertainment Corp		(2,448	)		(56	)
Skechers USA Inc, Cl A *		(7,467	)		(234	)

Description	Shares			Market Value ($ Thousands)
COMMON STOCK SOLD SHORT (continued)
Skyline Champion Corp *		(2,200	)	$	(55	)
Sonos Inc *		(4,100	)		(45	)
Stamps.com Inc *		(300	)		(59	)
Standard Motor Products Inc		(9,205	)		(392	)
Starbucks Corp		(35,354	)		(2,757	)
Steven Madden Ltd		(4,061	)		(96	)
Stitch Fix Inc, Cl A *		(2,100	)		(49	)
Stoneridge Inc *		(4,122	)		(85	)
Strategic Education Inc		(689	)		(117	)
Tapestry Inc		(15,118	)		(206	)
Target Corp		(4,585	)		(561	)
Taylor Morrison Home Corp, Cl A *		(6,967	)		(135	)
Tempur Sealy International Inc *		(2,389	)		(156	)
Tenneco Inc, Cl A *		(12,756	)		(86	)
Tesla Inc *		(6,797	)		(5,675	)
Texas Roadhouse Inc, Cl A		(1,672	)		(87	)
Thor Industries Inc		(5,033	)		(434	)
Tiffany & Co		(1,209	)		(155	)
TJX Cos Inc/The		(11,550	)		(609	)
Toll Brothers Inc		(6,358	)		(205	)
TopBuild Corp *		(1,630	)		(187	)
Tractor Supply Co		(971	)		(118	)
TRI Pointe Group Inc *		(7,641	)		(109	)
Ulta Beauty Inc *		(433	)		(106	)
Under Armour Inc, Cl A *		(9,254	)		(81	)
Under Armour Inc, Cl C *		(9,414	)		(74	)
Vail Resorts Inc		(1,248	)		(248	)
VF Corp		(16,391	)		(920	)
Vista Outdoor Inc *		(3,900	)		(38	)
Visteon Corp *		(2,629	)		(189	)
Wayfair Inc, Cl A *		(624	)		(107	)
Wendy’s Co/The		(4,972	)		(106	)
Whirlpool Corp		(3,308	)		(403	)
Williams-Sonoma Inc		(1,571	)		(131	)
Wingstop Inc		(700	)		(85	)
Winnebago Industries Inc		(3,797	)		(207	)
Wolverine World Wide Inc		(3,526	)		(74	)
WW International Inc *		(1,300	)		(31	)
Wyndham Destinations Inc		(4,515	)		(144	)
Wyndham Hotels & Resorts Inc		(2,305	)		(106	)
Wynn Resorts Ltd		(2,991	)		(249	)
YETI Holdings Inc *		(2,900	)		(93	)
Yum China Holdings Inc		(11,596	)		(537	)
Yum! Brands Inc		(9,507	)		(853	)
					(68,546	)
Industrials — 0.0%
Enphase Energy Inc *		(1,000	)		(58	)
Information Technology — (2.4)%
Advanced Micro Devices Inc *		(6,854	)		(369	)

SEI Institutional Investments Trust / Annual Report / May 31, 2020 355

CONSOLIDATED SCHEDULE OF INVESTMENTS

May 31, 2020

Multi-Asset Real Return Fund (Continued)

Description	Shares			Market Value ($ Thousands)
COMMON STOCK SOLD SHORT (continued)
Amphenol Corp, Cl A		(2,299	)	$	(222	)
Analog Devices Inc		(2,315	)		(262	)
Anixter International Inc *		(100	)		(10	)
Apple Inc		(18,095	)		(5,753	)
Applied Materials Inc		(6,573	)		(369	)
Arista Networks Inc *		(556	)		(130	)
Arrow Electronics Inc *		(698	)		(48	)
Avid Technology Inc *		(6,300	)		(44	)
Broadcom Inc		(2,464	)		(718	)
Cabot Microelectronics Corp		(300	)		(43	)
CDW Corp/DE		(1,602	)		(178	)
Ciena Corp *		(1,000	)		(55	)
Cirrus Logic Inc *		(100	)		(7	)
Cisco Systems Inc		(26,917	)		(1,287	)
Cognex Corp		(1,000	)		(57	)
CommScope Holding Co Inc *		(2,119	)		(22	)
Corning Inc		(4,311	)		(98	)
Cree Inc *		(3,000	)		(158	)
Dell Technologies Inc, Cl C *		(1,944	)		(97	)
Entegris Inc		(500	)		(30	)
ePlus Inc *		(700	)		(52	)
F5 Networks Inc *		(303	)		(44	)
Hewlett Packard Enterprise Co		(12,564	)		(122	)
HP Inc		(12,811	)		(194	)
II-VI Inc *		(200	)		(10	)
Infinera Corp *		(6,900	)		(34	)
Inphi Corp *		(600	)		(75	)
Intel Corp		(26,623	)		(1,675	)
Jabil Inc		(1,478	)		(44	)
Juniper Networks Inc		(2,166	)		(53	)
KEMET Corp		(1,700	)		(46	)
Keysight Technologies Inc *		(1,147	)		(124	)
KLA Corp		(1,098	)		(193	)
Lam Research Corp		(1,070	)		(293	)
Lumentum Holdings Inc *		(600	)		(44	)
Marvell Technology Group Ltd		(3,964	)		(129	)
Maxim Integrated Products Inc		(1,454	)		(84	)
Microchip Technology Inc		(1,353	)		(130	)
Micron Technology Inc *		(6,979	)		(334	)
MKS Instruments Inc		(424	)		(45	)
Monolithic Power Systems Inc		(278	)		(58	)
Motorola Solutions Inc		(1,429	)		(193	)
NCR Corp *		(6,300	)		(114	)
NetApp Inc		(2,660	)		(119	)
Novanta Inc *		(100	)		(10	)
NVIDIA Corp		(3,652	)		(1,297	)
ON Semiconductor Corp *		(2,277	)		(38	)
PC Connection Inc		(1,000	)		(43	)
Pure Storage Inc, Cl A *		(2,200	)		(39	)
Qorvo Inc *		(794	)		(83	)
QUALCOMM Inc		(7,375	)		(597	)
ScanSource Inc*		(100	)		(2	)

Description	Shares			Market Value ($ Thousands)
COMMON STOCK SOLD SHORT (continued)
Skyworks Solutions Inc		(1,205	)	$	(143	)
Stratasys Ltd *		(3,100	)		(55	)
SYNNEX Corp		(500	)		(53	)
Tech Data Corp *		(611	)		(83	)
Teradyne Inc		(1,666	)		(112	)
Texas Instruments Inc		(5,682	)		(675	)
Trimble Inc *		(1,926	)		(75	)
Universal Display Corp		(378	)		(55	)
Viavi Solutions Inc *		(100	)		(1	)
Western Digital Corp		(1,983	)		(88	)
Xerox Holdings Corp		(2,901	)		(46	)
Xilinx Inc		(1,504	)		(138	)
Zebra Technologies Corp, Cl A *		(550	)		(144	)
					(17,943	)
Materials — (1.6)%
Air Products and Chemicals Inc		(3,739	)		(903	)
Albemarle Corp		(1,660	)		(127	)
Alcoa Corp *		(3,600	)		(33	)
AptarGroup Inc		(710	)		(79	)
Ashland Global Holdings Inc		(349	)		(23	)
Avery Dennison Corp		(1,032	)		(114	)
Axalta Coating Systems Ltd *		(2,573	)		(59	)
Ball Corp		(5,272	)		(376	)
Berry Global Group Inc *		(1,798	)		(81	)
Celanese Corp, Cl A		(1,471	)		(132	)
CF Industries Holdings Inc		(3,097	)		(91	)
Chemours Co		(3,100	)		(41	)
Cleveland-Cliffs Inc		(8,100	)		(42	)
Commercial Metals Co		(3,200	)		(55	)
Corteva Inc		(11,232	)		(307	)
Crown Holdings Inc *		(2,137	)		(140	)
Dow Inc		(11,365	)		(439	)
DuPont de Nemours Inc		(11,032	)		(560	)
Eagle Materials Inc		(158	)		(10	)
Eastman Chemical Co		(1,870	)		(127	)
Ecolab Inc		(4,980	)		(1,059	)
Element Solutions Inc *		(4,300	)		(47	)
FMC Corp		(1,967	)		(193	)
Freeport-McMoRan Inc, Cl B		(21,275	)		(193	)
Graphic Packaging Holding Co		(5,348	)		(77	)
Huntsman Corp		(3,581	)		(65	)
Ingevity Corp *		(1,900	)		(100	)
International Flavors & Fragrances Inc		(1,649	)		(220	)
International Paper Co		(5,881	)		(200	)
Linde PLC		(9,666	)		(1,956	)
Louisiana-Pacific Corp		(1,174	)		(28	)
LyondellBasell Industries NV, Cl A		(4,181	)		(267	)
Martin Marietta Materials Inc		(956	)		(184	)
Mosaic Co/The		(4,861	)		(59	)
Newmont Corp		(14,033	)		(820	)
Novagold Resources Inc *		(11,700	)		(112	)

356 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Shares			Market Value ($ Thousands)
COMMON STOCK SOLD SHORT (continued)
Nucor Corp		(3,767	)	$	(159	)
O-I Glass Inc, Cl I		(4,700	)		(36	)
Olin Corp		(2,068	)		(25	)
Packaging Corp of America		(1,398	)		(142	)
PolyOne Corp		(1,600	)		(40	)
PPG Industries Inc		(3,488	)		(355	)
Reliance Steel & Aluminum Co		(1,202	)		(117	)
Royal Gold Inc		(640	)		(85	)
RPM International Inc		(1,764	)		(132	)
Scotts Miracle-Gro Co/The, Cl A		(700	)		(100	)
Sealed Air Corp		(2,148	)		(69	)
Sherwin-Williams Co/The		(1,310	)		(778	)
Sonoco Products Co		(1,200	)		(62	)
Southern Copper Corp		(1,979	)		(72	)
Steel Dynamics Inc		(2,246	)		(60	)
Summit Materials Inc, Cl A *		(2,400	)		(36	)
United States Steel Corp		(900	)		(7	)
Valvoline Inc		(2,059	)		(38	)
Vulcan Materials Co		(2,128	)		(230	)
Westrock Co		(3,594	)		(101	)
WR Grace & Co		(577	)		(30	)
					(11,993	)
Total Common Stock Sold Short
(Proceeds $97,596) ($ Thousands)					(103,749	)
	Number of Rights
RIGHTS — 0.0%
United States — 0.0%
Liberty Media Corp-Liberty SiriusXM, Expires 06/10/2020 *		(178	)		(2	)
Total Rights
(Cost $—) ($ Thousands)					(2	)
Total Investments Sold Short — (13.8)%
(Proceeds $97,596) ($ Thousands)				$	(103,751	)
	Contracts
PURCHASED OPTIONS*^ — 0.1%
Total Purchased Options (J)
(Cost $642) ($ Thousands)		468		$	535
PURCHASED SWAPTIONS* — 0.1%
Total Purchased Swaptions (K)
(Cost $960) ($ Thousands)		26,065,000		$	500

Description	Contracts			Market Value ($ Thousands)
WRITTEN OPTIONS*^ — (0.0)%
Total Written Options (J)
(Premiums Received $278) ($ Thousands)		(598	)	$	(270	)
WRITTEN SWAPTIONS* — 0.0%
Total Written Swaptions (K)
(Premiums Received $854) ($ Thousands)		(24,389,000	)	$	(188	)

SEI Institutional Investments Trust / Annual Report / May 31, 2020 357

CONSOLIDATED SCHEDULE OF INVESTMENTS

May 31, 2020

Multi-Asset Real Return Fund (Continued)

A list of the open exchange traded options contracts held by the Fund at May 31, 2020, is as follows:

Description	Number of Contracts			Notional Amount (Thousands)			Exercise Price		Expiration Date		Value (Thousands)
PURCHASED OPTIONS *^— 0.1%
Put Options
August 2020, Crude Oil		55		$	1,971		$	25.00		08/01/2020	$	14
December 2020, Crude Oil		27			997			25.00		12/01/2020		22
July 2020, Gold Future		16			2,789			1,600.00		6/28/2020		2
September 2020, Crude Oil		110			3,982			30.00		09/01/2020		112
September 2020, HG Copper Future		18			11			2.20		8/29/2020		17
					9,750							167
Call Options
August 2020, Gold Future		10			1,752			1,475.00		7/31/2020		278
July 2020, Soybean Future		50			2,102			9.00		6/29/2020		4
July 2020, Wheat Future		50			1,286			6.00		6/29/2020		2
October 2020, Sugar		110			1,352			12.00		9/18/2020		48
September 2020, WTI Crude Oil		22			796			39.00		8/20/2020		36
					7,288							368
Total Purchased Options				$	17,038						$	535
WRITTEN OPTIONS *^— 0.0%
Put Options
August 2020, Crude Oil		(110	)	$	(3,942	)		20.00		06/28/2020	$	(16	)
July 2020, Lean Hogs		(33	)		(753	)		50.00		07/18/2020		(21	)
July 2020, Soybean Future		(50	)		(2,102	)		8.40		06/29/2020		(34	)
October 2020, Sugar		(110	)		(1,509	)		10.00		08/01/2020		(43	)
September 2020, Crude Oil		(110	)		(3,982	)		25.00		07/31/2020		(55	)
September 2020, HG Copper Future		(36	)		(22	)		2.00		08/29/2020		(13	)
September 2020, WTI Crude Oil		(22	)		(796	)		30.00		08/20/2020		(55	)
					(13,106	)						(237	)
Call Options
December 2020, Crude Oil		(27	)		(997	)		50.00		12/01/2020		(32	)
July 2020, Soybean Future		(50	)		(2,102	)		10.00		08/01/2020		(1	)
July 2020, Wheat Future		(50	)		(1,286	)		6.75		06/29/2020		–
					(4,385	)						(33	)
Total Written Options				$	(17,491	)					$	(270	)

A list of open OTC swaption contracts held by the Fund at May 31, 2020, is as follows:

Description	Counterparty		Number of Contracts/ Notional Amount		Exercise Price		Expiration Date		Value (Thousands)
PURCHASED SWAPTIONS *— 0.1%
Call Swaptions — 0.0%
Swaption 1 Year		Morgan Stanley		9,795,000	$	0.00		06/30/2020	$	8
Put Swaptions — 0.1%
Swaption 1 Year		Morgan Stanley		7,950,000	$	0.02		09/23/2020		144

358 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Description	Counterparty		Number of Contracts/ Notional Amount (continued)			Exercise Price (continued)		Expiration Date (continued)		Value (Thousands)
PURCHASED SWAPTIONS (continued)
Swaption 1 Year		Morgan Stanley		8,320,000			$1.02		10/28/2020	$	348
											492
Total Purchased Swaptions										$	500
			Number of Contracts/ Notional Amount			Exercise Price		Expiration Date		Value (Thousands)
WRITTEN SWAPTIONS *— 0.0%
Call Swaptions — 0.0%
Swaption 1 Year		Bank of America		(7,950,000	)		$0.00		10/28/2020	$	(31)
Swaption 1 Year		Bank of America		(8,119,000	)		$0.00		06/30/2020		(38)
Swaption 1 Year		Bank of America		(8,320,000	)		$0.52		09/23/2020		(119)
Total Written Swaptions										$	(188)

A list of the open futures contracts held by the Fund at May 31, 2020, is as follows:

Type of Contract	Number of Contracts Long (Short)			Expiration Date		Notional Amount (Thousands)			Value (Thousands)			Unrealized Appreciation (Depreciation) (Thousands)
Brent Crude^		10			Jun-2020	$	354		$	353		$	(1	)
Brent Crude^		229			Aug-2020		7,892			8,741			849
Brent Crude^		(100	)		Dec-2020		(3,728	)		(3,981	)		(253	)
Coffee C^		49			Jul-2020		2,210			1,770			(440	)
Copper^		116			Jul-2020		6,682			7,034			352
Corn^		169			Jul-2020		2,812			2,753			(59	)
Corn^		(19	)		Jul-2020		(298	)		(309	)		(11	)
Cotton No. 2^		26			Jul-2020		697			749			52
Cotton No. 2^		25			Jul-2020		723			720			(3	)
Cotton No. 2^		28			Dec-2020		807			805			(2	)
Feeder Cattle^		(5	)		Aug-2020		(335	)		(338	)		(3	)
Gasoline^		25			Jul-2020		852			1,132			280
Gasoline^		6			Sep-2020		236			275			39
Gold^		8			Jan-2021		1,315			1,413			98
Gold^		81			Aug-2020		13,905			14,189			284
Heating Oil^		21			Jul-2020		927			914			(13	)
Japanese 10-Year Government Bond E-MINI		(27	)		Jun-2020		(4,024	)		(3,814	)		61
KC HRW Wheat^		(40	)		Jul-2020		(891	)		(941	)		(50	)
KC HRW Wheat^		53			Jul-2020		1,295			1,247			(48	)
Lean Hogs^		30			Aug-2020		720			681			(39	)
Lean Hogs^		56			Jul-2020		1,371			1,277			(94	)
Live Cattle^		9			Sep-2020		357			359			2
Live Cattle^		65			Sep-2020		2,604			2,590			(14	)
LME Lead^		12			Jul-2020		502			500			(2	)
LME Lead^		48			Sep-2020		2,010			2,012			2
LME Nickel^		26			Jul-2020		1,845			1,918			73
LME Nickel^		20			Sep-2020		1,457			1,481			24
LME Primary Aluminum^		37			Jul-2020		1,386			1,420			34
LME Primary Aluminum^		35			Sep-2020		1,360			1,360			–
LME Zinc^		48			Jul-2020		2,306			2,384			78
LME Zinc^		73			Sep-2020		3,522			3,630			108
Low Sulphur Gasoil^		34			Jul-2020		1,103			1,002			(101	)
Low Sulphur Gasoil^		(4	)		Jul-2020		(112	)		(118	)		(6	)
Low Sulphur Gasoil^		(5	)		Sep-2020		(148	)		(156	)		(8	)
MSCI EAFE Index		(131	)		Jun-2020		(9,366	)		(11,303	)		(1,937	)

SEI Institutional Investments Trust / Annual Report / May 31, 2020 359

CONSOLIDATED SCHEDULE OF INVESTMENTS

May 31, 2020

Multi-Asset Real Return Fund (Continued)

Type of Contract	Number of Contracts Long (Short)			Expiration Date		Notional Amount (Thousands)			Value (Thousands)			Unrealized Appreciation (Depreciation) (Thousands)
Natural Gas^		49			Jan-2021	$	1,342		$	1,448		$	106
Natural Gas^		49			Feb-2021		1,277			1,371			94
Natural Gas^		(49	)		Mar-2021		(1,157	)		(1,231	)		(74	)
Natural Gas^		44			Aug-2020		931			875			(56	)
Natural Gas^		(49	)		Oct-2020		(1,124	)		(1,171	)		(47	)
Natural Gas^		338			Jun-2020		6,826			6,250			(576	)
NY Harbor ULSD^		(15	)		Jul-2020		(619	)		(653	)		(34	)
NY Harbor ULSD^		(3	)		Sep-2020		(138	)		(138	)		–
NYMEX Cocoa^		(53	)		Jul-2020		(1,280	)		(1,301	)		(21	)
Palladium^		(3	)		Oct-2020		(669	)		(592	)		77
Platinum^		51			Aug-2020		2,048			2,230			182
S&P 500 Index E-MINI		(148	)		Jun-2020		(17,821	)		(22,511	)		(4,690	)
Silver^		56			Aug-2020		4,394			5,180			786
Silver^		24			Jan-2021		1,976			2,241			265
Soybean^		22			Nov-2020		928			937			9
Soybean^		87			Jun-2020		3,723			3,657			(66	)
Soybean Meal^		(45	)		Jul-2020		(1,297	)		(1,274	)		23
Soybean Meal^		101			Jul-2020		2,996			2,860			(136	)
Soybean Oil^		139			Jul-2020		2,290			2,283			(7	)
Sugar No. 11^		311			Jul-2020		3,641			3,800			159
U.S. 2-Year Treasury Notes		89			Oct-2020		19,652			19,655			3
U.S. 5-Year Treasury Notes		(1,017	)		Oct-2020		(127,601	)		(127,761	)		(160	)
U.S. 10-Year Treasury Notes		(490	)		Sep-2020		(67,907	)		(68,141	)		(234	)
U.S. Ultra Long Treasury Bonds		(25	)		Sep-2020		(5,476	)		(5,451	)		25
Ultra 10-Year U.S. Treasury Notes		37			Sep-2020		5,792			5,821			29
Wheat^		90			Jul-2020		2,325			2,343			18
Wheat^		91			Jul-2020		2,497			2,369			(128	)
WTI Crude Oil^		100			Dec-2020		3,383			3,716			333
WTI Crude Oil^		77			Nov-2020		2,695			2,843			148
WTI Crude Oil^		(39	)		Jun-2020		(976	)		(1,384	)		(408	)
WTI Crude Oil^		15			Aug-2020		425			543			118
WTI Crude Oil^		(22	)		Aug-2020		(661	)		(796	)		(135	)
						$	(115,237	)	$	(120,233	)	$	(5,145	)

A list of the open forward foreign currency contracts held by the Fund at May 31, 2020, is as follows:

Counterparty	Settlement Date			Currency to Deliver (Thousands)			Currency to Receive (Thousands)		Unrealized Appreciation (Depreciation) (Thousands)
Brown Brothers Harriman		06/05/20	JPY		8	USD		—	$	—
Brown Brothers Harriman		06/10/20	USD		13	EUR		11		—
Brown Brothers Harriman		06/10/20	EUR		894	USD		974		(20	)
Brown Brothers Harriman		07/17/20	ZAR		9,950	USD		565		4
Brown Brothers Harriman		07/17/20	ZAR		6,388	USD		345		(16	)
Citigroup		06/05/20	JPY		781,891	USD		7,185		(74	)
Goldman Sachs		08/06/20	CAD		3,807	USD		2,745		(10	)
Goldman Sachs		08/13/20	MYR		5,373	USD		1,309		69
HSBC		07/17/20	ZAR		18,252	USD		977		(54	)
JPMorgan Chase		07/17/20	ZAR		28,285	USD		1,529		(68	)

360 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Counterparty	Settlement Date			Currency to Deliver (Thousands)			Currency to Receive (Thousands)		Unrealized Appreciation (Depreciation) (Thousands)
RBS		06/05/20	USD		3,347	JPY		360,350	$	(2)
									$	(171)

A list of the open centrally cleared swap agreements held by the Fund at May 31, 2020, is as follows:

Credit Default Swaps
Reference Entity/Obligation	Buy/Sell Protection		(Pays)/ Receives Rate		Payment Frequency		Termination Date		Notional Amount (Thousands)		Value (Thousands)		Upfront Payments/ Receipts (Thousands)		Net Unrealized Appreciation (Depreciation) (Thousands)
CDX.NAIGS.34V1		Buy		1.00%		Quarterly		06/20/2025		117,970	$	(1,239)	$	728	$	(1,967)
China 550113		Buy		1.00%		Quarterly		06/20/2025		20,500		(451)		(491)		40
											$	(1,690)	$	237	$	(1,927)

Interest Rate Swaps
Fund Pays	Fund Receives	Payment Frequency	Termination Date		Currency		Notional Amount (Thousands)		Value (Thousands)		Upfront Payments/ Receipts (Thousands)		Net Unrealized Appreciation (Depreciation) (Thousands)
2.403%	3-MONTH USD - LIBOR	Quarterly		04/02/2021		USD		8,250	$	(153)	$	–	$	(153)
2.631%	3-MONTH USD - LIBOR	Quarterly		11/10/2035		USD		1,300		(354)		–		(354)
0.08%	6-MONTH JPY - LIBOR	Semi-Annually		12/13/2029		JPY		1,590,990		146		–		146
3-MONTH USD - LIBOR	1.7635%	Quarterly		12/13/2029		USD		2,760		(314)		–		(314)
1.593%	3-MONTH USD - LIBOR	Quarterly		09/27/2029		USD		2,440		(220)		–		(220)
2.1495%	3-MONTH USD - LIBOR	Quarterly		06/04/2029		USD		5,145		(751)		–		(751)
2.3545	3-MONTH USD - LIBOR	Quarterly		07/12/2027		USD		720		(99)		–		(99)
2.44	3-MONTH USD - LIBOR	Quarterly		04/04/2027		USD		3,640		(489)		–		(489)
1.67	3-MONTH USD - LIBOR	Quarterly		11/09/2026		USD		1,230		(96)		–		(96)
2.21	3-MONTH CAD - CDOR	Semi-Annually		01/14/2050		CAD		7,583		(1,130)		–		(1,130)
1.66	3-MONTH USD - LIBOR	Quarterly		11/08/2026		USD		1,040		(81)		–		(81)
2.293%	3-MONTH USD - LIBOR	Quarterly		08/04/2025		USD		1,833		(195)		–		(195)
2.4875%	3-MONTH USD - LIBOR	Quarterly		06/09/2025		USD		1,240		(144)		–		(144)
1.9905	3-MONTH USD - LIBOR	Quarterly		04/21/2025		USD		2,040		(163)		–		(163)
0.9575	3-MONTH CAD - CDOR	Semi-Annually		03/24/2025		CAD		27,036		196		–		196
1.95%	3-MONTH CAD - CDOR	Semi-Annually		01/14/2025		CAD		35,812		1,453		–		1,453
3-MONTH SEK - STIBOR	-0.165%	Annually		08/30/2024		SEK		170,000		(235)		–		(235)
2.2875%	3-MONTH USD - LIBOR	Quarterly		05/24/2021		USD		7,210		(141)		–		(141)
3-MONTH USD - LIBOR	2.51%	Quarterly		04/18/2021		USD		1,930		(39)		–		(39)
1.487	3-MONTH USD - LIBOR	Quarterly		10/04/2026		USD		7,010		(457)		–		(457)
1.093%	3-MONTH USD - LIBOR	Quarterly		03/20/2050		USD		6,160		(264)		–		(264)
									$	(3,530)	$	–	$	(3,530)

A list of the open OTC swap agreements held by the Fund at May 31, 2020 is as follows:

	Credit Default Swaps
Counterparty	Reference Entity/ Obligation	Buy/Sell Protection	(Pays)/Receives Rate	Payment Frequency	Termination Date	Notional Amount (Thousands)			Value (Thousands)			Upfront Payments/ Receipts (Thousands)			Net Unrealized Appreciation (Depreciation) (Thousands)
Credit Suisse	CMBX.NA.A.6 Index	Sell	2.00%	Monthly	05/11/2063	$	(1,125	)	$	(184	)	$	(25	)	$	(159	)
Citigroup	CMBX.NA.BB.6 Index	Sell	5.00%	Monthly	05/11/2063		(1,266	)		(640	)		(202	)		(438	)
Citigroup	CMBX.NA.BB.6 Index	Sell	5.00%	Monthly	05/11/2063		(143	)		(72	)		(23	)		(49	)
Citigroup	CMBX.NA.BB.6 Index	Sell	5.00%	Monthly	05/11/2063		(16	)		(9	)		(3	)		(6	)
Citigroup	CMBX.NA.BB.6 Index	Sell	5.00%	Monthly	05/11/2063		(25	)		(13	)		(4	)		(9	)

SEI Institutional Investments Trust / Annual Report / May 31, 2020 361

CONSOLIDATED SCHEDULE OF INVESTMENTS

May 31, 2020

Multi-Asset Real Return Fund (Continued)

Counterparty	Reference Entity/ Obligation	Buy/Sell Protection	(Pays)/ Receives Rate	Payment Frequency	Termination Date	Notional Amount (Thousands)	Value (Thousands)			Upfront Payments/ Receipts (Thousands)			Net Unrealized Appreciation (Depreciation) (Thousands)
Citigroup	CMBX.NA.BB.6 Index	Sell	5.00%	Monthly	05/11/2063	$(276)	$	(140	)	$	(43	)	$	(97	)
Citigroup	CMBX.NA.BB.6 Index	Sell	5.00%	Monthly	05/11/2063	(138)		(70	)		(21	)		(49	)
Deutsche Bank	CMBX.NA.BBB.6 Index	Sell	3.00%	Monthly	05/11/2063	(528)		(176	)		(41	)		(135	)
Credit Suisse	CMBX.NA.BBB.6 Index	Sell	3.00%	Monthly	12/31/2049	(162)		(54	)		(11	)		(43	)
Credit Suisse	CMBX.NA.BBB.6 Index	Sell	3.00%	Quarterly	05/11/2063	(900)		(301	)		(41	)		(260	)
Credit Suisse	CMBX.NA.BBB.6 Index	Sell	3.00%	Monthly	05/11/2063	(778)		(260	)		(52	)		(208	)
Deutsche Bank	CMBX.NA.BBB.6 Index	Sell	3.00%	Monthly	12/31/2049	(29)		(10	)		(2	)		(8	)
Deutsche Bank	CMBX.NA.BBB.6 Index	Sell	3.00%	Monthly	12/31/2049	(172)		(58	)		(21	)		(37	)
Goldman Sachs	CMBX.NA.BBB.6 Index	Sell	3.00%	Monthly	05/11/2063	(565)		(188	)		(41	)		(147	)
Goldman Sachs	CMBX.NA.BBB.6 Index	Sell	3.00%	Monthly	12/31/2049	(217)		(73	)		(14	)		(59	)
Goldman Sachs	CMBX.NA.BBB.6 Index	Sell	3.00%	Quarterly	05/11/2063	(1,000)		(331	)		(131	)		(200	)
JPMorgan Chase	CMBX.NA.BBB.6 Index	Sell	3.00%	Monthly	05/11/2063	(143)		(48	)		(14	)		(34	)
Goldman Sachs	CMBX.NA.BBB.6 Index	Sell	3.00%	Monthly	05/11/2063	(166)		(55	)		(14	)		(41	)
Citigroup	CMBX.NA.BBB.6 Index	Sell	3.00%	Monthly	05/11/2063	(118)		(40	)		(12	)		(28	)
Citigroup	CMBX.NA.BBB.6 Index	Sell	3.00%	Monthly	05/11/2063	(223)		(74	)		(29	)		(45	)
Citigroup	CMBX.NA.BBB.6 Index	Sell	3.00%	Monthly	05/11/2063	(148)		(49	)		(22	)		(27	)
Goldman Sachs	CMBX.NA.BBB.6 Index	Sell	3.00%	Monthly	05/11/2063	(16)		(5	)		(2	)		(3	)
Citigroup	CMBX.NA.BBB.6 Index	Sell	3.00%	Monthly	05/11/2063	(33)		(11	)		(5	)		(6	)
Citigroup	CMBX.NA.BBB.6 Index	Sell	3.00%	Monthly	05/11/2063	(165)		(55	)		(22	)		(33	)
Credit Suisse	CMBX.NA.BBB.6 Index	Sell	3.00%	Monthly	05/11/2063	(552)		(184	)		(35	)		(149	)
Goldman Sachs	CMBX.NA.BBB.6 Index	Sell	3.00%	Monthly	05/11/2063	(254)		(85	)		(42	)		(43	)
Goldman Sachs	CMBX.NA.BBB.6 Index	Sell	3.00%	Monthly	05/11/2063	(163)		(55	)		(25	)		(30	)
Credit Suisse	CMBX.NA.BBB.6 Index	Sell	3.00%	Monthly	05/11/2063	(965)		(322	)		(141	)		(181	)
Credit Suisse	CMBX.NA.BBB.6 Index	Sell	3.00%	Monthly	05/11/2063	(243)		(81	)		(36	)		(45	)
Deutsche Bank	CMBX.NA.BBB.6 Index	Sell	3.00%	Monthly	05/11/2063	(28)		(9	)		(3	)		(6	)
Deutsche Bank	CMBX.NA.BBB.6 Index	Sell	3.00%	Monthly	05/11/2063	(100)		(33	)		(11	)		(22	)
Deutsche Bank	CMBX.NA.BBB.6 Index	Sell	3.00%	Monthly	05/11/2063	(100)		(33	)		(11	)		(22	)
Deutsche Bank	CMBX.NA.BBB.6 Index	Sell	3.00%	Monthly	05/11/2063	(284)		(95	)		(30	)		(65	)
JPMorgan Chase	CMBX.NA.BBB.6 Index	Sell	3.00%	Monthly	05/11/2063	(34)		(11	)		(3	)		(8	)
Goldman Sachs	CMBX.NA.BBB.6 Index	Sell	3.00%	Monthly	05/11/2063	(750)		(250	)		(59	)		(191	)
Goldman Sachs	CMBX.NA.BBB.6 Index	Sell	3.00%	Monthly	05/11/2063	(14)		(4	)		(1	)		(3	)
Goldman Sachs	CMBX.NA.BBB.6 Index	Sell	3.00%	Monthly	05/11/2063	(28)		(10	)		(3	)		(7	)
Goldman Sachs	CMBX.NA.BBB.6 Index	Sell	3.00%	Monthly	05/11/2063	(28)		(10	)		(3	)		(7	)
Goldman Sachs	CMBX.NA.BBB.6 Index	Sell	3.00%	Quarterly	05/11/2063	(55)		(18	)		(6	)		(12	)
Goldman Sachs	CMBX.NA.BBB.6 Index	Sell	3.00%	Monthly	05/11/2063	(289)		(97	)		(39	)		(58	)
Goldman Sachs	CMBX.NA.BBB.6 Index	Sell	3.00%	Monthly	05/11/2063	(638)		(213	)		(73	)		(140	)
Goldman Sachs	CMBX.NA.BBB.6 Index	Sell	3.00%	Monthly	05/11/2063	(190)		(63	)		(20	)		(43	)
Goldman Sachs	CMBX.NA.BBB.6 Index	Sell	3.00%	Monthly	05/11/2063	(182)		(60	)		(29	)		(31	)
Citigroup	CMBX.NA.BBB.6 Index	Sell	3.00%	Monthly	05/11/2063	(226)		(75	)		(33	)		(42	)
Goldman Sachs	CMBX.NA.BBB-.6 Index	Sell	3.00%	Monthly	05/11/2063	(20)		(7	)		(3	)		(4	)
Citigroup	CMBX.NA.BBB-.6 Index	Sell	3.00%	Monthly	05/11/2063	(509)		(170	)		(58	)		(112	)
Citigroup	CMBX.NA.BBB-.6 Index	Sell	3.00%	Monthly	05/11/2063	(711)		(238	)		(79	)		(159	)
Citigroup	CMBX.NA.BBB-.6 Index	Sell	3.00%	Monthly	05/11/2063	(1,018)		(340	)		(113	)		(227	)
Credit Suisse	CMBX.NA.BBB-.6 Index	Sell	3.00%	Monthly	05/11/2063	(4)		(1	)		—			(1	)
Citigroup	CMBX.NA.BBB-.6 Index	Sell	3.00%	Monthly	05/11/2063	(711)		(237	)		(77	)		(160	)
Citigroup	CMBX.NA.BBB-.6 Index	Sell	3.00%	Monthly	05/11/2063	(967)		(323	)		(103	)		(220	)
Citigroup	CMBX.NA.BBB-.6 Index	Sell	3.00%	Monthly	05/11/2063	(761)		(254	)		(81	)		(173	)
Citigroup	CMBX.NA.BBB-.6 Index	Sell	3.00%	Quarterly	05/11/2063	(282)		(93	)		(30	)		(63	)
Citigroup	CMBX.NA.BBB-.6 Index	Sell	3.00%	Quarterly	05/11/2063	(257)		(85	)		(32	)		(53	)
Citigroup	CMBX.NA.BBB-.6 Index	Sell	3.00%	Quarterly	05/11/2063	(224)		(74	)		(28	)		(46	)
Citigroup	CMBX.NA.BBB-.6 Index	Sell	3.00%	Quarterly	05/11/2063	(360)		(119	)		(45	)		(74	)
Citigroup	CMBX.NA.BBB-.6 Index	Sell	3.00%	Monthly	05/11/2063	(150)		(50	)		(18	)		(32	)
Citigroup	CMBX.NA.BBB-.6 Index	Sell	3.00%	Monthly	05/11/2063	(500)		(167	)		(60	)		(107	)
Credit Suisse	CMBX.NA.BBB-.6 Index	Sell	3.00%	Monthly	05/11/2063	(108)		(36	)		(13	)		(23	)
Citigroup	CMBX.NA.BBB-.6 Index	Sell	3.00%	Monthly	05/11/2063	(53)		(18	)		(7	)		(11	)
Citigroup	CMBX.NA.BBB-.6 Index	Sell	3.00%	Monthly	05/11/2063	(253)		(85	)		(33	)		(52	)

362 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Counterparty	Reference Entity/ Obligation		Buy/Sell Protection		(Pays)/Receives Rate		Payment Frequency		Termination Date		Notional Amount (Thousands)			Value (Thousands)			Upfront Payments/ Receipts (Thousands)			Net Unrealized Appreciation (Depreciation) (Thousands)
JPMorgan Chase		CMBX.NA.BBB-.6 Index		Sell		3.00%		Monthly		05/11/2063	$	(185	)	$	(62	)	$	(23	)	$	(39	)
JPMorgan Chase		CMBX.NA.BBB-.6 Index		Sell		3.00%		Monthly		05/11/2063		(535	)		(179	)		(65	)		(114	)
JPMorgan Chase		CMBX.NA.BBB-.6 Index		Sell		3.00%		Quarterly		05/11/2063		(91	)		(30	)		(11	)		(19	)
Citigroup		CMBX.NA.BBB-.6 Index		Sell		3.00%		Monthly		05/11/2063		(355	)		(118	)		(40	)		(78	)
JPMorgan Chase		CMBX.NA.BBB-.6 Index		Sell		3.00%		Monthly		05/11/2063		(35	)		(12	)		(3	)		(9	)
Citigroup		CMBX.NA.BBB-.9 Index		Buy		3.00%		Monthly		09/17/2058		1,018			263			76			187
Citigroup		CMBX.NA.BBB-.9 Index		Buy		3.00%		Monthly		09/17/2058		1,018			263			73			190
Citigroup		CMBX.NA.BBB-.9 Index		Buy		3.00%		Monthly		09/17/2058		1,255			324			87			237
Citigroup		CMBX.NA.BBB-.9 Index		Buy		3.00%		Quarterly		09/17/2058		264			68			18			50
Citigroup		CMBX.NA.BBB-.9 Index		Buy		3.00%		Quarterly		09/17/2058		265			68			18			50
Citigroup		CMBX.NA.BBB-.9 Index		Buy		3.00%		Monthly		09/17/2058		251			65			17			48
Citigroup		CMBX.NA.BBB-.9 Index		Buy		3.00%		Monthly		09/17/2058		509			131			40			91
Citigroup		CMBX-BB-524973		Sell		5.00%		Monthly		05/11/2063		(900	)		(456	)		(128	)		(328	)
														$	(6,596	)	$	(2,119	)	$	(4,477	)

Total Return Swaps ^

Counterparty

Reference Entity/ Obligation

Fund Pays

Fund Receives

Payment Frequency

Termination Date

Currency

Notional Amount (Thousands)

Value (Thousands)

Upfront Payments/ Receipts (Thousands)

Net Unrealized Appreciation (Depreciation) (Thousands)

Macquarie Bank Limited

Bloomberg Commodity Index 2 Month Total Return

US T-BILL HIGH DISCOUNT RATE + 16.5 BPS

Index Return

Monthly

06/25/2020

USD

833

$

4

$

–

$

4

Macquarie Bank Limited

Bloomberg Commodity Index Total Return

US T-BILL HIGH DISCOUNT RATE + 9 BPS

Index Return

Monthly

06/25/2020

USD

10,243

30

–

30

Macquarie Bank Limited

Macquarie Commodity Product 25 1E

0.33%

Index Return

Monthly

06/06/2020

USD

1,727

–

–

–

Merrill Lynch

Bloomberg Commodity Index 2 Month Total Return

US T-BILL HIGH DISCOUNT RATE + 12 BPS

Index Return

Monthly

06/25/2020

USD

1,358

6

–

6

Merrill Lynch

Bloomberg Commodity Index Total Return

US T-BILL HIGH DISCOUNT RATE + 11 BPS

Index Return

Monthly

06/25/2020

USD

9,756

28

–

28

Merrill Lynch

BOFA Merrill Lynch Commodity MLBXCS3E Excess

3-Month U.S. Treasury rate plus 20 BPS

Index Return

Monthly

06/06/2020

USD

2,321

–

–

–

Societe Generale

Bloomberg Commodity Index 2 Month Total Return

US T-BILL HIGH DISCOUNT RATE + 14 BPS

Index Return

Monthly

06/25/2020

USD

1,480

6

–

6

Societe Generale

Bloomberg Commodity Index Total Return

US T-BILL HIGH DISCOUNT RATE + 11 BPS

Index Return

Monthly

06/25/2020

USD

5,972

17

–

17

Societe Generale

Societe Generale Commodity Custom Alpha 061

0.35%

Index Return

Monthly

06/06/2020

USD

2,217

–

–

–

$

91

$

–

$

91

As of May 31, 2020, the Reverse Repurchase Agreements held by the Fund are listed below:

Principal Amount ($ Thousands)	Counterparty	Rate			Maturity		Value ($ Thousands)
$(14,430)	Chase Securities		0.14	%		Open Ended	$	(14,430	)
(48,290)	Chase Securities		0.11	%		Open Ended		(48,290	)
(13,515)	HSBC		0.15	%		Open Ended		(13,515	)
(163,008)	HSBC		0.13	%		Open Ended		(163,008	)
							$	(239,243	)

Percentages are based on Net Assets of $754,191 ($ Thousands).

* Non-income producing security.

^ Security, or a portion thereof, is held by the MARR Commodity Strategy Subsidiary, Ltd. as of May 31, 2020.

^‡  Real Estate Investment Trust.

^‡‡  Expiration date not available.

(A) Zero coupon security. The rate shown on the Schedule of Investments is the security’s effective yield at the time of purchase.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 363

CONSOLIDATED SCHEDULE OF INVESTMENTS

May 31, 2020

Multi-Asset Real Return Fund (Concluded)

(B) Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets.

(C) Security, or a portion thereof, has been pledged as collateral on securities sold short.

(D) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On May 31, 2020, the value of these securities amounted to $79,549 ($ Thousands), representing 10.5% of the Net Assets of the Fund.

(E) Security is in default on interest payment.

(F) Perpetual security with no stated maturity date.

(G) Security, or a portion thereof, has been pledged as collateral on reverse repurchase agreements.

(H) Security, or a portion thereof, has been pledged as collateral on swap contracts.

(I) Security, or a portion thereof, has been pledged as collateral on futures contracts.

(J) Refer to table below for details on Options Contracts.

(K) Refer to table below for details on Swaption Contracts.

BPS — Basis Points

CAD — Canadian Dollar

CDOR — Canadian Dollar Offered Rate

Cl — Class

CMBX — Commercial Mortgage-Backed Index

CMO — Collateralized Mortgage Obligation

CPI — Consumer Price Index

EAFE — Europe, Australasia and Far East

EUR — Euro

FFCB — Federal Farm Credit Bank

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GNMA — Government National Mortgage Association

HRW — Hard Red Winter

ICE— Intercontinental Exchange

IO — Interest Only — face amount represents notional amount.

JPY — Japanese Yen

LIBOR— London Interbank Offered Rate

LLC — Limited Liability Company

LME — London Metal Exchange

Ltd. — Limited

MSCI — Morgan Stanley Capital International

MTN — Medium Term Note

MYR — Malaysian Ringgit

NYMEX — New York Mercantile Exchange

PLC — Public Limited Company

S&P— Standard & Poor’s

SEK — Swedish Krona

Ser — Series

STIBOR— Stockholm Interbank Offered Rate

ULSD — Ultra-Low Sulfur Diesel

USD — U.S. Dollar

VAR — Variable Rate

ZAR — South African Rand

The following is a list of the level of inputs used as of May 31, 2020, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1 ($)			Level 2 ($)			Level 3 ($)		Total ($)
U.S. Treasury Obligations		–			518,389			–		518,389
Common Stock		217,685			–			–		217,685
Corporate Obligations		–			98,156			–		98,156
Mortgage-Backed Securities		–			68,549			–		68,549
U.S. Government Agency Obligations		–			52,566			–		52,566
Asset-Backed Securities		–			19,639			–		19,639
Sovereign Debt		–			12,811			–		12,811
Rights		29			–			–		29
Total Investments in Securities		217,714			770,110			–		987,824
Securities Sold Short
Common Stock		(103,749	)		–			–		(103,749	)
Rights		(2	)		–			–		(2	)
Total Securities Sold Short		(103,751	)		–			–		(103,751	)
Other Financial Instruments	Level 1 ($)			Level 2 ($)			Level 3 ($)		Total ($)
Purchased Options		535			–			–		535
Written Options		(270	)		–			–		(270	)
Purchased Swaptions		–			500			–		500
Written Swaptions		–			(188	)		–		(188	)
Futures Contracts*
Unrealized Appreciation		4,711			–			–		4,711
Unrealized Depreciation		(9,856	)		–			–		(9,856	)
Forwards Contracts*
Unrealized Appreciation		–			73			–		73
Unrealized Depreciation		–			(244	)		–		(244	)
Centrally Cleared Swaps
Credit Default Swaps*
Unrealized Appreciation		–			40			–		40
Unrealized Depreciation		–			(1,967	)		–		(1,967	)
Interest Rate Swaps*
Unrealized Appreciation		–			1,795			–		1,795
Unrealized Depreciation		–			(5,325	)		–		(5,325	)
OTC Swaps
Credit Default Swaps*
Unrealized Appreciation		–			853			–		853
Unrealized Depreciation		–			(5,330	)		–		(5,330	)
Total Return Swaps*
Unrealized Appreciation		–			91			–		91
Reverse Repurchase Agreements		–			(239,243	)		–		(239,243	)
Total Other Financial Instruments		(4,880	)		(248,945	)		–		(253,825	)

* Futures contracts, forwards contracts and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument.

For the year ended May 31, 2020, there were no transfers in or out of Level 3.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

364 SEI Institutional Investments Trust / Annual Report / May 31, 2020

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STATEMENTS OF ASSETS AND LIABILITIES ($ Thousands)

May 31, 2020

	Large Cap Fund		Large Cap Disciplined Equity Fund
Assets:
Investments, at value †	$	916,288*	$	1,346,580*
Affiliated investments, at value ††		40,837		59,737
Cash and cash equivalents		–		–
Cash pledged as collateral on futures contracts		558		2,748
Receivable for fund shares sold		11,125		2,669
Receivable for investment securities sold		4,801		23,209
Dividends and interest receivable		2,113		2,633
Foreign tax reclaim receivable		21		4
Receivable for variation margin		14		29
Prepaid expenses		6		10
Total Assets		975,763		1,437,619
Liabilities:
Payable upon return on securities loaned		28,639		22,573
Payable for investment securities purchased		3,882		9,023
Payable for fund shares redeemed		2,001		25,720
Payable for variation margin		2		–
Payable to custodian		–		–
Foreign currency payable to custodian, at value †††		–		–
Investment advisory fees payable		120		182
Trustees fees payable		5		8
CCO fees payable		2		3
Accrued expense payable		26		41
Total Liabilities		34,677		57,550
Net Assets	$	941,086	$	1,380,069
† Cost of investments	$	764,988	$	1,092,699
†† Cost of affiliated investments		40,826		59,733
††† Cost of foreign currency		–		–
* Includes market value of securities on loan		27,635		21,852
Net Assets:
Paid-in Capital — (unlimited authorization — no par value)	$	785,839	$	1,166,137
Total distributable earnings (loss)		155,247		213,932
Net Assets	$	941,086	$	1,380,069
Net Asset Value, Offering and Redemption Price Per Share — Class A		$13.95		$9.71
		($941,085,979 ÷		($1,380,069,317 ÷
		67,466,720 shares)		142,191,217 shares)

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

366 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Large Cap Index Fund		S&P 500 Index Fund		Extended Market Index Fund			Small Cap Fund			Small Cap II Fund		Small/Mid Cap Equity Fund		U.S. Equity Factor Allocation Fund
	$        1,739,693*	$	4,192,647*	$	1,173,355*		$	225,032*		$	304,263*	$	842,374*	$	734,987
	34,509		115,887		156,890			22,201			49,633		189,993		15,622
	16		40		–			1			–		1,133		3,392
	906		6,744		453			–			–		1,328		1,492
	2,817		41,025		10,714			128			346		1,144		286
	467		14,254		1,830			2,560			1,401		2,961		–
	2,937		7,608		846			178			284		908		1,511
	–		17		–			–			–		–		8
	13		110		–			–			–		–		21
	10		26		7			1			2		6		4
	1,781,368		4,378,358		1,344,095			250,101			355,929		1,039,847		757,323
	27,279		49,583		154,986			19,349			40,664		140,755		–
	363		1,966		–			1,157			2,152		9,196		–
	2,958		48,425		12,054			607			46		10,442		1,099
	6		–		39			–			–		120		–
	–		–		153			–			–		–		–
	–		–		2			–			–		–		–
	14		35		29			80			105		278		–
	10		24		6			1			2		5		4
	4		10		3			1			1		2		2
	270		695		159			6			9		27		23
	30,904		100,738		167,431			21,201			42,979		160,825		1,128
	$         1,750,464	$	4,277,620	$	1,176,664		$	228,900		$	312,950	$	879,022	$	756,195
	$            710,215	$	2,648,940	$	1,010,491		$	226,355		$	294,287	$	810,657	$	678,433
	34,250		115,872		156,330			22,193			49,614		189,940		15,622
	–		–		(2	)		–			–		–		–
	26,859		47,805		153,105			18,751			39,801		136,369		–
	$            710,142	$	2,701,411	$	1,006,442		$	236,010		$	341,552	$	858,646	$	706,625
	1,040,322		1,576,209		170,222			(7,110	)		(28,602)		20,376		49,570
	$         1,750,464	$	4,277,620	$	1,176,664		$	228,900		$	312,950	$	879,022	$	756,195
	$163.61		$16.13		$14.47			$11.91			$8.95		$9.23		$10.67
	($1,750,463,558 ÷		($4,277,620,486 ÷		($1,176,663,977 ÷			($228,899,715 ÷			($312,950,115 ÷		($879,021,752 ÷		($756,195,294 ÷
	10,698,823 shares)		265,216,215 shares)		81,314,492 shares)			19,213,451 shares	)		34,949,867 shares)		95,215,272 shares)		70,865,638 shares)

SEI Institutional Investments Trust / Annual Report / May 31, 2020 367

STATEMENTS OF ASSETS AND LIABILITIES ($ Thousands)

May 31, 2020

	U.S. Managed Volatility Fund			Global Managed Volatility Fund
Assets:
Investments, at value †	$	1,188,888	*	$	2,670,279
Affiliated investments, at value ††		58,886			36,578
Repurchase agreements†		–			–
Cash and cash equivalents		5			4,320
Cash pledged as collateral on swap contracts		–			–
Cash pledged as collateral on futures contracts		2,160			2,603
Cash pledged as collateral on forward foreign currency contracts		–			–
Foreign currency, at value †††		174			7,107
Receivable for fund shares sold		5,418			14,751
Dividends and interest receivable		3,444			9,155
Receivable for variation margin		24			26
Foreign tax reclaim receivable		3			4,048
Receivable for investment securities sold		–			209
Unrealized gain on forward foreign currency contracts		–			22
Unrealized gain on foreign spot currency contracts		–			–
Options purchased, at value †††††		–			–
Swaptions purchased, at value ††††† †		–			–
Due from broker		–			–
Prepaid expenses		7			16
Total Assets		1,259,009			2,749,114
Liabilities:
Payable upon return on securities loaned		19,820			–
Payable for fund shares redeemed		22,284			4,600
Payable for investment securities purchased		–			–
Income distribution payable		–			–
Options written, at value †††††		–			–
Payable for variation margin		–			172
Unrealized loss on foreign currency spot contracts		–			–
Unrealized loss on forward foreign currency contracts		–			4,910
Investment advisory fees payable		181			492
Trustees fees payable		7			15
CCO fees payable		3			7
Unfunded bank loans		–			–
Accrued expense payable		34			93
Accrued foreign capital gains tax on appreciated securities		–			–
Total Liabilities		42,329			10,289
Net Assets	$	1,216,680		$	2,738,825
† Cost of investments	$	1,036,720		$	2,671,048
†† Cost of affiliated investments		58,881			36,578
††† Cost of foreign currency		171			7,040
††††† Cost (Premiums received)		–			–
†††††† Cost (Premiums received)		–			–
* Includes market value of securities on loan		20,402			–
Net Assets:
Paid-in Capital — (unlimited authorization — no par value)	$	1,090,397		$	2,729,920
Total distributable earnings (loss)		126,283			8,905
Net Assets	$	1,216,680		$	2,738,825
Net Asset Value, Offering and Redemption Price Per Share — Class A		$12.17			$10.88
		($1,216,679,793 ÷			($2,738,824,779 ÷
		99,967,525 shares)			251,633,603 shares)

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

368 SEI Institutional Investments Trust / Annual Report / May 31, 2020

World Equity Ex-US Fund		Screened World Equity Ex-US Fund		World Select Equity Fund		Emerging Markets Equity Fund		Opportunistic Income Fund		Core Fixed Income Fund		High Yield Bond Fund
	$        7,736,341*		$          96,494		$        438,756		$        965,533		$      940,615		$      7,534,196		$      2,240,369
	229,403		1,456		3,966		18,307		62,317		360,500		40,088
	–		–		–		–		1,800		–		–
	216,146		2,492		8,703		16,625		2,539		911		379
	–		–		–		–		–		11,490		788
	20,533		211		13,497		2,635		90		25		–
	2,790		–		5,800		–		–		–		–
	24,921		233		591		3,711		–		1,489		2
	23,426		5		–		3,828		3,017		36,188		5,024
	18,749		228		1,868		2,038		2,628		30,956		33,019
	–		–		589		352		10		4,158		3
	16,731		225		887		23		12		495		119
	19,904		74		30,756		2,896		33,651		788,152		26,608
	1,650		–		1,617		–		–		512		–
	27		–		439		–		–		–		–
	–		–		92		–		–		467		–
	–		–		–		–		–		2		–
	–		–		–		–		–		2,228		–
	49		1		3		6		7		43		15
	8,310,670		101,419		507,564		1,015,954		1,046,686		8,771,812		2,346,414
	73,189		–		–		–		–		–		–
	75,596		6		25,031		4,468		21,348		22,514		12,683
	37,200		156		3,492		1,502		49,585		1,267,071		32,479
	–		–		–		–		–		708		338
	–		–		–		–		–		798		–
	2,568		22		799		–		17		3,632		–
	43		–		344		2		–		–		–
	4,398		27		1,341		–		–		596		–
	1,936		21		122		458		184		598		508
	45		1		3		6		6		42		13
	20		–		1		3		2		19		6
	–		–		–		–		48		–		–
	361		19		90		221		30		204		66
	–		–		45		531		–		–		–
	195,356		252		31,268		7,191		71,220		1,296,182		46,093
	$        8,115,314		$          101,167		$        476,296		$        1,008,763		$        975,466		$      7,475,630		$      2,300,321
	$        6,965,583		$            86,201		$        462,616		$           922,174		$        978,285		$      7,262,349		$      2,447,866
	229,360		1,456		3,966		18,307		62,317		360,500		40,088
	24,836		232		592		3,727		–		1,410		–
	–		–		68		–		–		(671)		–
	–		–		–		–		–		(631)		–
	69,779		–		–		–		–		–		–
	$        7,564,665		$            97,992		$        575,457		$        1,051,143		$     1,034,769		$      7,018,622		$      2,767,988
	550,649		3,175		(99,161)		(42,380)		(59,303)		457,008		(467,667)
	$        8,115,314		$          101,167		$        476,296		$        1,008,763		$        975,466		$      7,475,630		$      2,300,321
	$11.67		$10.05		$8.69		$8.37		$7.87		$10.96		$7.74
	($8,115,313,746 ÷		($101,167,179 ÷		($476,295,880 ÷		($1,008,762,607 ÷		($975,466,133 ÷		($7,475,630,434 ÷		($2,300,321,287 ÷
	695,273,716 shares)		10,066,527 shares)		54,811,733 shares)		120,582,071 shares)		123,970,462 shares)		682,232,793 shares)		297,323,690 shares)

SEI Institutional Investments Trust / Annual Report / May 31, 2020 369

STATEMENTS OF ASSETS AND LIABILITIES / CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES

($ Thousands)

May 31, 2020

	Long Duration Fund		Long Duration Credit Fund
Assets:
Investments, at value †	$	1,284,753	$	4,037,537
Affiliated investments, at value ††		9,303		24,757
Repurchase agreements†		–		–
Cash and cash equivalents		58		159
Deposits from counterparty		–		–
Restricted cash		–		–
Cash pledged as collateral on swap contracts		–		–
Cash pledged as collateral on futures contracts		583		560
Foreign currency, at value †††		–		–
Receivable for fund shares sold		–		358
Dividends and interest receivable		9,952		36,742
Receivable for investment securities sold		5,017		4,881
Receivable for variation margin		979		729
Foreign tax reclaim receivable		48		699
Unrealized gain on forward foreign currency contracts		–		–
Unrealized gain on foreign spot currency contracts		–		–
Swap contracts, at value ††††		–		–
Options purchased, at value †††††		–		–
Swaptions purchased, at value ††††† †		–		–
Prepaid expenses		8		24
Total Assets		1,310,701		4,106,446
Liabilities:
Payable for investment securities purchased		11,897		9,175
Payable for variation margin		443		804
Payable for fund shares redeemed		438		28,976
Payable for securities sold short@		–		–
Income distribution payable		–		–
Swap contracts, at value ††††		–		–
Options written, at value †††††		–		–
Swaptions written, at value ††††† †		–		–
Reverse repurchase agreements		–		–
Payable to custodian		–		–
Deposits due to counterparty		–		–
Unrealized loss on foreign currency spot contracts		–		–
Unrealized loss on forward foreign currency contracts		–		–
Investment advisory fees payable		140		442
Trustees fees payable		7		23
CCO fees payable		3		10
Accrued expense payable		40		118
Total Liabilities		12,968		39,548
Net Assets	$	1,297,733	$	4,066,898
† Cost of investments	$	1,106,173	$	3,493,280
†† Cost of affiliated investments		9,303		24,757
††† Cost of foreign currency		–		–
†††† Cost (Premiums received)		–		–
††††† Cost (Premiums received)		–		–
†††††† Cost (Premiums received)		–		–
@Proceeds from securities sold short		–		–
Net Assets:
Paid-in Capital — (unlimited authorization — no par value)	$	1,061,858	$	3,416,330
Total distributable earnings (loss)		235,875		650,568
Net Assets	$	1,297,733	$	4,066,898
Net Asset Value, Offering and Redemption Price Per Share — Class A		$9.57		$11.90
		($1,297,732,825 ÷		($4,066,898,302 ÷
		135,651,235 shares)		341,666,928 shares)

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

370 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Ultra Short Duration Bond Fund			Emerging Markets Debt Fund			Real Return Fund			Limited Duration Bond Fund		Intermediate Duration Credit Fund		Dynamic Asset Allocation Fund		Multi-Asset Real Return Fund
	$	542,769	$	1,972,252		$	294,805		$	1,295,862	$	3,241,222	$	1,540,216	$	987,824
		36,670		–			–			23,060		63,112		–		–
		28,200		–			–			–		–		–		–
		–		65,280			592			–		155		137,611		101,630
		–		1,507			–			–		–		–		–
		–		–			–			–		–		–		2,170
		–		9,228			–			–		–		–		4,398
		99		3,639			–			–		–		11,100		11,182
		–		13,794			–			–		–		–		54
		20,668		3,945			1,525			20,811		30,399		4,570		2,591
		1,348		33,251			372			3,915		23,030		2,815		2,657
		24		78,635			–			17,328		22,661		15,119		747
		19		339			–			–		70		235		2,011
		27		–			–			64		–		47		21
		–		16,308			–			–		–		250		73
		–		415			–			–		–		–		–
		–		4,988			–			–		–		17,846		1,273
		–		29			–			–		–		2,039		535
		–		–			–			–		–		11,124		500
		3		12			2			8		17		12		5
		629,827		2,203,622			297,296			1,361,048		3,380,666		1,742,984		1,117,671
		35,459		99,432			–			44,333		56,807		752		2,946
		17		246			–			43		119		–		1,273
		12,832		15,243			48			31,787		19		19,338		6,237
		–		–			–			–		–		–		103,751
		13		–			–			32		–		–		–
		–		2,161			–			–		–		–		7,778
		–		–			–			–		–		–		270
		–		–			–			–		–		–		188
		–		–			–			–		–		–		239,243
		486		408			–			10		–		–		–
		–		–			–			–		–		–		1,303
		–		35			–			–		–		–		3
		–		21,096			–			–		–		43		244
		41		616			–			98		357		86		115
		3		11			2			7		19		10		4
		1		5			1			3		8		4		2
		13		223			8			38		89		47		123
		48,865		139,476			59			76,351		57,418		20,280		363,480
	$	580,962	$	2,064,146		$	297,237		$	1,284,697	$	3,323,248	$	1,722,704	$	754,191
	$	571,083	$	2,108,760		$	288,861		$	1,281,442	$	3,009,255	$	729,894	$	944,672
		36,670		–			–			23,060		63,112		–		–
		–		13,774			–			–		–		–		55
		–		139			–			–		–		–		(2,119	)
		–		376			–			–		–		3,912		364
		–		–			–			–		–		6,951		106
		–		–			–			–		–		–		97,596
	$	585,066	$	2,296,827		$	298,175		$	1,264,686	$	3,053,336	$	750,365	$	929,502
		(4,104)		(232,681	)		(938	)		20,011		269,912		972,339		(175,311)
	$	580,962	$	2,064,146		$	297,237		$	1,284,697	$	3,323,248	$	1,722,704	$	754,191
		$9.99		$9.37			$9.68			$10.13		$10.88		$19.41		$7.36
		($580,961,667 ÷		($2,064,146,390 ÷			($297,237,056 ÷			($1,284,697,067 ÷		($3,323,247,798 ÷		($1,722,703,577 ÷		($754,190,734 ÷
		58,180,052 shares)		220,216,006 shares)			30,713,160 shares)			126,774,797 shares)		305,422,778 shares)		88,771,552 shares)		102,494,515 shares)

SEI Institutional Investments Trust / Annual Report / May 31, 2020 371

STATEMENTS OF OPERATIONS ($ Thousands)

For the year ended May 31, 2020

	Large Cap Fund		Large Cap Disciplined       Equity Fund
Investment Income:
Dividends	$	22,118	$	33,857
Income from affiliated investments(1)		387		887
Interest income		5		17
Security lending income — net(1)(2)		125		–
Less: foreign taxes withheld		(172)		(131)
Total Investment Income		22,463		34,630
Expenses:
Investment advisory fees		4,094		6,908
Administration fees		512		864
Trustees’ fees		21		28
Chief compliance officer fees		5		9
Custodian/wire agent fees		41		67
Professional fees		38		61
Registration fees		16		28
Printing fees		7		11
Licensing fees		–		–
Other expenses		64		109
Total Expenses		4,798		8,085
Less:
Waiver of investment advisory fees		(2,456)		(4,145)
Waiver of administration fees		(512)		(864)
Fees paid indirectly(1)		–		–
Net Expenses		1,830		3,076
Net Investment Income		20,633		31,554
Net Realized Gain (Loss) on:
Investments		46,200		67,865
Affiliated investments		1		1
Futures contracts		839		2,799
Foreign forward currency contracts		–		–
Net Change in Unrealized Appreciation (Depreciation) on:
Investments		6,281		68,779
Affiliated investments		10		7
Futures contracts		358		534
Foreign currency translation of other assets and liabilities denominated in foreign currencies		–		2
Foreign forward currency contracts		–		–
Net Increase (Decrease) in Net Assets Resulting from Operations	$	74,322	$	171,541

(1) See Note 6 in the Notes to Financial Statements.

(2) Income is from the investment of collateral in an affiliated security.

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

372 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Large Cap           Index Fund		S&P 500 Index       Fund			Extended       Market Index       Fund			Small Cap Fund			Small Cap II       Fund			Small/Mid Cap       Equity Fund			U.S. Equity       Factor       Allocation Fund
$	30,998	$	85,484		$	14,487		$	3,813		$	4,044		$	16,126		$	15,926
	379		1,453			253			111			182			683			85
	16		14			10			1			–			1			46
	72		56			895			89			225			705			–
	(9)		(32	)		(9	)		(3	)		(12	)		(42	)		–
	31,456		86,975			15,636			4,011			4,439			17,473			16,057
	825		1,314			1,337			1,622			2,123			6,902			1,963
	825		2,191			557			125			163			531			393
	34		91			23			5			7			22			16
	9		26			6			1			2			6			4
	70		179			46			10			13			44			20
	63		158			41			9			12			37			29
	21		52			12			4			5			16			9
	12		31			8			2			2			7			5
	–		909			–			–			–			–			–
	208		273			168			16			20			68			50
	2,067		5,224			2,198			1,794			2,347			7,633			2,489
	(660)		(876	)		(1,003	)		(549	)		(751	)		(2,761	)		(1,963	)
	(825)		(2,191	)		(557	)		(125	)		(163	)		(531	)		(393	)
	–		–			–			–			(1	)		–			–
	582		2,157			638			1,120			1,432			4,341			133
	30,874		84,818			14,998			2,891			3,007			13,132			15,924
	133,937		89,426			40,761			5,879			(20,037	)		31,536			794
	3		3			6			1			–			2			–
	818		(4,910	)		(825	)		(103	)		648			504			1,712
	–		–			–			–			–			–			–
	51,473		419,687			(4,399	)		(19,080	)		6,124			(23,019	)		45,254
	38		21			197			8			19			57			–
	2,262		13,767			1,675			56			31			360			3,060
	–		–			–			–			–			–			–
	–		–			–			–			–			–			–
$	219,405	$	602,812		$	52,413		$	(10,348	)	$	(10,208	)	$	22,572		$	66,744

SEI Institutional Investments Trust / Annual Report / May 31, 2020 373

STATEMENTS OF OPERATIONS ($ Thousands)

For the year ended May 31, 2020

		U.S. Managed Volatility Fund				Global Managed Volatility Fund			World Equity Ex-US   Fund
Investment Income:
Dividends	$		33,172		$		78,577		$	185,695
Income from affiliated investments(1)			491				923			2,903
Interest income			12				172			2,840
Security lending income — net(1)(2)			6				–			3,723
Less: foreign taxes withheld			(248	)			(4,513	)		(16,733)
Total Investment Income			33,433				75,159			178,428
Expenses:
Investment advisory fees			8,128				17,422			46,717
Administration fees			625				1,340			4,247
Trustees’ fees			26				55			176
Chief compliance officer fees			7				16			48
Custodian/wire agent fees			50				178			854
Professional fees			46				100			311
Registration fees			16				32			107
Printing fees			9				20			59
Other expenses			77				165			534
Total Expenses			8,984				19,328			53,053
Less:
Waiver of investment advisory fees			(5,877	)			(11,525	)		(22,600)
Waiver of administration fees			(625	)			(1,340	)		(4,247)
Fees paid indirectly(1)			–				–			(80)
Net Expenses			2,482				6,463			26,126
Net Investment Income			30,951				68,696			152,302
Net Realized Gain (Loss) on:
Investments			(6,063	)			(9,925	)		(107,329)
Affiliated investments			–				–			37
Futures contracts			(1,449	)			4,501			(1,743	)
Foreign currency transactions			19				288			(1,991)
Foreign forward currency contracts			(8	)			15,008			4,554
Purchased and written options			–				–			–
Purchased and written swaptions			–				–			–
Swap contracts			–				–			–
Net Change in Unrealized Appreciation (Depreciation) on:
Investments			(23,414	)			(92,818	)		(11,873)
Affiliated investments			5				–			26
Futures contracts			992				2,901			8,373
Purchased and written options			–				–			–
Purchased and written swaptions			–				–			–
Swap contracts			–				–			–
Foreign capital gains tax on appreciated securities			–				–			223
Foreign currency translation of other assets and liabilities denominated in foreign currencies			9				234			328
Foreign forward currency contracts			–				(3,874	)		(3,889)
Net Increase (Decrease) in Net Assets Resulting from Operations	$		1,042			$	(14,989	)	$	39,018

(1) See Note 6 in the Notes to Financial Statements.

(2) Income is from the investment of collateral in an affiliated security.

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

374 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Screened World   Equity Ex-US Fund		World Select Equity Fund			Emerging Markets Equity Fund			Opportunistic Income Fund			Core Fixed Income Fund			High Yield Bond Fund
$	2,479	$	17,362		$	26,580		$	–		$	–		$	1,799
	22		141			468			492			3,146			1,231
	10		123			284			47,291			210,548			167,726
	–		–			–			–			–			–
	(238)		(1,248	)		(2,452	)		–			–			(15	)
	2,273		16,378			24,880			47,783			213,694			170,741
	668		3,507			11,143			5,327			22,204			12,323
	51		319			531			592			3,471			1,264
	2		13			22			24			151			51
	1		3			6			6			43			14
	94		442			784			47			317			102
	4		23			40			44			285			93
	1		12			13			18			85			34
	1		3			7			8			55			17
	5		52			84			74			445			157
	827		4,374			12,630			6,140			27,056			14,055
	(415)		(1,685	)		(5,377	)		(2,745	)		(14,803	)		(5,498	)
	(51)		(319	)		(531	)		(592	)		(3,471	)		(1,264	)
	–		–			–			–			–			–
	361		2,370			6,722			2,803			8,782			7,293
	1,912		14,008			18,158			44,980			204,912			163,448
	(4,601)		(50,386	)		(48,706	)		(8,733	)		335,184			(59,413	)
	–		–			–			–			–			–
	(202)		7,167			1,595			(1,376	)		98,852			–
	(23)		3,588			(634	)		(8	)		(95	)		(7	)
	3		(1,577	)		–			–			(6,044	)		–
	–		(3,003	)		–			–			5,543			–
	–		–			–			–			29			–
	–		–			–			–			(37,153	)		(2,841	)
	3,661		32,145			(24,029	)		(38,776	)		110,987			(177,183	)
	–		–			–			–			–			–
	78		(2,077	)		1,462			175			(8,153	)		–
	–		80			–			–			(468	)		–
	–		–			–			–			633			–
	–		–			–			–			(8,681	)		(364	)
	–		–			(110	)		–			–			–
	–		(44	)		(26	)		6			93			3
	(27)		1,092			–			–			324			–
$	801	$	993		$	(52,290	)	$	(3,732	)	$	695,963		$	(76,357	)

SEI Institutional Investments Trust / Annual Report / May 31, 2020 375

STATEMENTS OF OPERATIONS / CONSOLIDATED STATEMENTS OF OPERATIONS ($ Thousands)

For the year ended May 31, 2020

	Long Duration Fund			Long Duration Credit Fund			Ultra Short Duration Bond Fund
Investment Income:
Dividends	$	–		$	–		$	–
Income from affiliated investments(1)		258			620			48
Interest income		50,439			147,179			12,107
Less: foreign taxes withheld		(10	)		–			–
Total Investment Income		50,687			147,799			12,155
Expenses:
Investment advisory fees		4,237			12,388			697
Administration fees		706			2,065			232
Trustees’ fees		28			83			9
Chief compliance officer fees		8			23			3
Professional fees		53			158			18
Custodian/wire agent fees		53			170			19
Registration fees		19			48			6
Printing fees		11			31			3
Interest expense on reverse repurchase agreements		–			–			–
Dividend expense on securities sold short		–			–			–
Other expenses		85			253			28
Total Expenses		5,200			15,219			1,015
Less:
Waiver of investment advisory fees		(2,401	)		(7,020	)		(232	)
Waiver of administration fees		(706	)		(2,065	)		(232	)
Net Expenses		2,093			6,134			551
Net Investment Income		48,594			141,665			11,604
Net Realized Gain (Loss) on:
Investments		136,568			174,031			604
Securities sold short		–			–			–
Futures contracts		14,130			7,194			223
Foreign currency transactions		–			–			–
Foreign forward currency contracts		–			–			–
Purchased and written options		–			–			–
Swap contracts		–			–			–
Net Change in Unrealized Appreciation (Depreciation) on:
Investments		66,968			358,623			(1,485	)
Securities sold short		–			–			–
Futures contracts		(2,610	)		889			18
Purchased and written options		–			–			–
Purchased and written swaptions		–			–			–
Swap contracts		–			–			–
Foreign currency translation of other assets and liabilities denominated in foreign currencies		–			–			–
Foreign forward currency contracts		–			–			–
Net Increase (Decrease) in Net Assets Resulting from Operations	$	263,650		$	682,402		$	10,964

(1) See Note 6 in the Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

376 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Emerging Markets Debt Fund			Real Return Fund			Limited Duration Bond Fund			Intermediate Duration Credit Fund			Dynamic Asset Allocation Fund			Multi-Asset Real Return Fund
$	–		$	–		$	–		$	–		$	38,562		$	6,842
	–			–			397			679			–			–
	126,778			5,789			33,586			96,803			332			21,012
	(1,997	)		–			–			–			(631	)		–
	124,781			5,789			33,983			97,482			38,263			27,854
	18,719			652			3,466			7,731			12,048			4,890
	1,101			148			693			1,546			1,004			445
	45			6			28			63			41			18
	12			2			7			18			11			5
	82			12			53			121			75			36
	829			6			56			127			44			33
	28			3			18			37			30			11
	16			2			10			23			13			6
	–			–			–			–			–			3,632
	–			–			–			–			–			2,385
	163			19			85			186			130			62
	20,995			850			4,416			9,852			13,396			11,523
	(10,642	)		(652	)		(2,218	)		(3,711	)		(10,843	)		(3,290	)
	(1,101	)		(148	)		(693	)		(1,546	)		(1,004	)		(445	)
	9,252			50			1,505			4,595			1,549			7,788
	115,529			5,739			32,478			92,887			36,714			20,066
	8,985			(390	)		12,488			74,996			364,322			(20,676	)
	–			–			–			–			–			(10,737	)
	(445	)		–			1,728			(1,260	)		(53,068	)		(31,720	)
	(59,096	)		–			–			–			388			(1,481	)
	(12,806	)		–			–			–			15,469			1,521
	–			–			–			–			(91	)		(81	)
	4,133			–			–			–			(6,129	)		3,805
	(39,315	)		4,459			8,145			159,388			(142,088	)		19,447
	–			–			–			–			–			(7,482	)
	3,427			–			(512	)		179			22,725			873
	(347	)		–			–			–			(1,873	)		(250	)
	–			–			–			–			1,937			206
	856			–			–			–			20,814			(8,283	)
	(1,214	)		–			–			–			–			6
	(1,294	)		–			–			–			(12,148	)		(264	)
$	18,413		$	9,808		$	54,327		$	326,190		$	246,972		$	(35,050	)

SEI Institutional Investments Trust / Annual Report / May 31, 2020 377

STATEMENTS OF CHANGES IN NET ASSETS ($ Thousands)

For the years ended May 31,

	Large Cap Fund						Large Cap Disciplined Equity Fund
	06/01/19 to 05/31/20			06/01/18 to 05/31/19			06/01/19 to 05/31/20			06/01/18 to 05/31/19
Operations:
Net investment income	$	20,633		$	25,120		$	31,554		$	46,425
Net realized gain (loss) from investments, securities sold short, futures contracts, options, swaptions and swap contracts		47,040			138,009			70,665			269,448
Net realized loss on foreign currency transactions and forward currency contracts		—			—			—			(48	)
Net change in unrealized appreciation (depreciation) on investments, securities sold short, futures contracts, options and swap contracts		6,649			(135,328	)		69,320			(288,969	)
Net change in unrealized appreciation (depreciation) on foreign currency transactions and foreign forward currency contracts		—			—			2			(1	)
Net Increase (Decrease) in Net Assets Resulting from Operations		74,322			27,801			171,541			26,855
Distributions:
Class A		(110,934	)		(298,894	)		(216,133	)		(568,095	)
Total Distributions		(110,934	)		(298,894	)		(216,133	)		(568,095	)
Capital Share Transactions:(1)
Class A:
Proceeds from shares issued		118,737			190,034			107,747			227,198
Reinvestment of dividends & distributions		110,081			294,237			210,412			556,494
Cost of shares redeemed		(341,250	)		(491,440	)		(896,549	)		(1,273,358	)
Net Increase (Decrease) from Class A Transactions		(112,432	)		(7,169	)		(578,390	)		(489,666	)
Net Increase (Decrease) in Net Assets		(149,044	)		(278,262	)		(622,982	)		(1,030,906	)
Net Assets
Beginning of Year or Period		1,090,130			1,368,392			2,003,051			3,033,957
End of Year or Period	$	941,086		$	1,090,130		$	1,380,069		$	2,003,051

(1) See Note 7 in the Notes to Financial Statements for additional information.

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

378 SEI Institutional Investments Trust / Annual Report / May 31, 2020

	Large Cap Index Fund								S&P 500 Index Fund								Extended Market Index Fund								Small Cap Fund								Small Cap II Fund
	06/01/19 to 05/31/20				06/01/18 to 05/31/19				06/01/19 to 05/31/20				06/01/18 to 05/31/19				06/01/19 to 05/31/20				06/01/18 to 05/31/19				06/01/19 to 05/31/20				06/01/18 to 05/31/19				06/01/19 to 05/31/20				06/01/18 to 05/31/19
$		30,874		$		40,203		$		84,818		$		91,478		$		14,998		$		14,745		$		2,891		$		3,526		$		3,007		$		2,924
		134,758				209,358				84,519				97,650				39,942				31,506				5,777				26,979				(19,389	)			31,597
		—				—				—				—				—				—				—				—				—				—
		53,773				(185,586	)			433,475				(36,679	)			(2,527	)			(79,351	)			(19,016	)			(54,821	)			6,174				(64,974	)
		—				—				—				—				—				—				—				—				—				—
		219,405				63,975				602,812				152,449				52,413				(33,100	)			(10,348	)			(24,316	)			(10,208	)			(30,453	)
		(279,415	)			(282,875	)			(148,745	)			(179,565	)			(47,496	)			(52,969	)			(15,719	)			(62,204	)			(17,082	)			(70,490	)
		(279,415	)			(282,875	)			(148,745	)			(179,565	)			(47,496	)			(52,969	)			(15,719	)			(62,204	)			(17,082	)			(70,490	)
		409,306				230,861				1,564,221				730,147				443,373				226,995				40,161				41,054				67,651				38,687
		270,466				276,634				145,170				175,363				46,311				51,653				14,930				60,568				16,795				69,933
		(505,335	)			(642,175	)			(1,861,520	)			(1,160,884	)			(255,773	)			(250,878	)			(67,136	)			(123,697	)			(81,319	)			(112,849	)
		174,437				(134,680	)			(152,129	)			(255,374	)			233,911				27,770				(12,045	)			(22,075	)			3,127				(4,229	)
		114,427				(353,580	)			301,938				(282,490	)			238,828				(58,299	)			(38,112	)			(108,595	)			(24,163	)			(105,172	)
		1,636,037				1,989,617				3,975,682				4,258,172				937,836				996,135				267,012				375,607				337,113				442,285
$		1,750,464		$		1,636,037		$		4,277,620		$		3,975,682		$		1,176,664		$		937,836		$		228,900		$		267,012		$		312,950		$		337,113

SEI Institutional Investments Trust / Annual Report / May 31, 2020 379

STATEMENTS OF CHANGES IN NET ASSETS ($ Thousands)

For the years ended May 31,

	Small/Mid Cap Equity Fund						U.S. Equity Factor Allocation Fund						U.S. Managed Volatility Fund
	06/01/19 to 05/31/20			06/01/18 to 05/31/19			06/01/19 to 05/31/20			06/01/18 to 05/31/19			06/01/19 to 05/31/20			06/01/18 to 05/31/19
Operations:
Net investment income	$	13,132		$	16,686		$	15,924		$	12,549		$	30,951		$	33,332
Net realized gain (loss) from investments, securities sold short, futures contracts, options, swaptions and swap contracts		32,042			137,305			2,506			(13,932	)		(7,512	)		62,523
Net realized gain (loss) on foreign currency transactions and forward currency contracts		—			—			—			—			11			(37	)
Net change in unrealized appreciation (depreciation) on investments, securities sold short, futures contracts, options and swap contracts		(22,602	)		(242,167	)		48,314			8,801			(22,417	)		(1,448	)
Net change in unrealized appreciation (depreciation) on foreign currency transactions and foreign forward currency contracts		—			—			—			—			9			(4	)
Net change in foreign capital gains tax on appreciated securities		—			—			—			—			—			—
Net Increase (Decrease) in Net Assets Resulting from Operations		22,572			(88,176	)		66,744			7,418			1,042			94,366
Distributions:
Class A		(77,127	)		(244,007	)		(17,282	)		(9,556	)		(80,536	)		(198,964	)
Total Distributions		(77,127	)		(244,007	)		(17,282	)		(9,556	)		(80,536	)		(198,964	)
Capital Share Transactions:
Class A:
Proceeds from shares issued		143,384			156,446			70,322			672,232			338,375			193,514
Reinvestment of dividends & distributions		75,572			240,805			16,547			8,956			78,150			194,425
Cost of shares redeemed		(463,911	)		(483,364	)		(253,316	)		(61,420	)		(301,924	)		(389,215	)
Net Increase (Decrease) from Class A Transactions		(244,955	)		(86,113	)		(166,447	)		619,768			114,601			(1,276	)
Net Increase (Decrease) in Net Assets		(299,510	)		(418,296	)		(116,985	)		617,630			35,107			(105,874	)
Net Assets
Beginning of Year or Period		1,178,532			1,596,828			873,180			255,550			1,181,573			1,287,447
End of Year or Period	$	879,022		$	1,178,532		$	756,195		$	873,180		$	1,216,680		$	1,181,573

(1) See Note 7 in the Notes to Financial Statements for additional information.

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

380 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Global Managed Volatility Fund						World Equity Ex-US Fund						Screened World Equity Ex-US Fund						World Select Equity Fund
06/01/19 to 05/31/20			06/01/18 to 05/31/19			06/01/19 to 05/31/20			06/01/18 to 05/31/19			06/01/19 to 05/31/20			06/01/18 to 05/31/19			06/01/19 to 05/31/20			06/01/18 to 05/31/19
$	68,696		$	66,719		$	152,302		$	186,161		$	1,912		$	2,408		$	14,008		$	24,834
	(5,424	)		50,912			(109,035	)		(109,071	)		(4,803	)		(1,234	)		(46,222	)		(4,736	)
	15,296			28,387			2,563			(979	)		(20	)		(47	)		2,011			3,076
	(89,917	)		(70,000	)		(3,474	)		(671,134	)		3,739			(7,900	)		30,148			(124,893	)
	(3,640	)		(1,271	)		(3,561	)		(700	)		(27	)		3			1,048			461
	—			—			223			—			—			—			—			—
	(14,989	)		74,747			39,018			(595,723	)		801			(6,770	)		993			(101,258	)
	(130,679	)		(159,072	)		(222,407	)		(405,015	)		(3,025	)		(3,880	)		(23,564	)		(97,067	)
	(130,679	)		(159,072	)		(222,407	)		(405,015	)		(3,025	)		(3,880	)		(23,564	)		(97,067	)
	754,519			687,183			1,256,886			1,686,023			9,100			14,429			62,075			79,145
	126,013			156,801			216,678			396,443			1,716			2,316			23,564			97,067
	(486,870	)		(525,606	)		(1,502,133	)		(1,313,479	)		(6,394	)		(18,708	)		(571,949	)		(231,805	)
	393,662			318,378			(28,569	)		768,987			4,422			(1,963	)		(486,310	)		(55,593	)
	247,994			234,053			(211,958	)		(231,751	)		2,198			(12,613	)		(508,881	)		(253,918	)
	2,490,831			2,256,778			8,327,272			8,559,023			98,969			111,582			985,177			1,239,095
$	2,738,825		$	2,490,831		$	8,115,314		$	8,327,272		$	101,167		$	98,969		$	476,296		$	985,177

SEI Institutional Investments Trust / Annual Report / May 31, 2020 381

STATEMENTS OF CHANGES IN NET ASSETS ($ Thousands)

For the years ended May 31,

	Emerging Markets Equity Fund						Opportunistic Income Fund						Core Fixed Income Fund
	06/01/19 to 05/31/20			06/01/18 to 05/31/19			06/01/19 to 05/31/20			06/01/18 to 05/31/19			06/01/19 to 05/31/20			06/01/18 to 05/31/19
Operations:
Net investment income	$	18,158		$	19,161		$	44,980		$	67,296		$	204,912		$	215,238
Net realized gain (loss) from investments, securities sold short, futures contracts, options, swaptions and swap contracts		(47,111	)		(34,648	)		(10,109	)		(5,476	)		402,455			28,797
Net realized gain (loss) on foreign currency transactions and forward currency contracts		(634	)		(413	)		(8	)		(11	)		(6,139	)		405
Net change in unrealized appreciation (depreciation) on investments,securities sold short, futures contracts, options, swaptions and swap contracts		(22,567	)		(102,197	)		(38,601	)		(2,622	)		94,318			191,638
Net change in unrealized appreciation (depreciation) on foreign currency transactions and foreign forward currency contracts		(26	)		1			6			(4	)		417			(1,840	)
Net change in foreign capital gains tax on appreciated securities		(110	)		626			—			—			—			—
Net Increase (Decrease) in Net Assets Resulting from Operations		(52,290	)		(117,470	)		(3,732	)		59,183			695,963			434,238
Distributions:
Class A		(21,069	)		(96,859	)		(50,855	)		(60,320	)		(296,077	)		(222,818	)
Total Distributions		(21,069	)		(96,859	)		(50,855	)		(60,320	)		(296,077	)		(222,818	)
Capital Share Transactions:
Class A:
Proceeds from shares issued		267,987			205,947			106,467			137,059			1,712,793	†		1,200,405
Reinvestment of dividends & distributions		20,086			91,781			49,450			58,833			286,522			218,178
Cost of shares redeemed		(213,856	)		(169,788	)		(514,785	)		(656,423	)		(1,975,916	)		(1,163,992	)
Net Increase (Decrease) from Class A Transactions		74,217			127,940			(358,868	)		(460,531	)		23,399			254,591
Net Increase (Decrease) in Net Assets		858			(86,389	)		(413,455	)		(461,668	)		423,285			466,011
Net Assets
Beginning of Year or Period		1,007,905			1,094,294			1,388,921			1,850,589			7,052,345			6,586,334
End of Year or Period	$	1,008,763		$	1,007,905		$	975,466		$	1,388,921		$	7,475,630		$	7,052,345

^† Includes subscriptions as a result of an in-kind transfer of securities (see Note 11).

(1) See Note 7 in the Notes to Financial Statements for additional information.

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

382 SEI Institutional Investments Trust / Annual Report / May 31, 2020

High Yield Bond Fund						Long Duration Fund						Long Duration Credit Fund						Ultra Short Duration Bond Fund
06/01/19 to 05/31/20			06/01/18 to 05/31/19			06/01/19 to 05/31/20			06/01/18 to 05/31/19			06/01/19 to 05/31/20			06/01/18 to 05/31/19			06/01/19 to 05/31/20			06/01/18 to 05/31/19
	$    163,448		$	178,106		$	48,594		$	71,672		$	141,665		$	156,520		$	11,604		$	12,725
	(62,254	)		(34,916	)		150,698			(188	)		181,225			(52,733	)		827			(258)
	(7	)		(13	)		—			—			—			—			—			—
	(177,547	)		(1,111	)		64,358			71,356			359,512			237,764			(1,467	)		1,676
	3			—			—			—			—			—			—			—
	—			—			—			—			—			—			—			—
	(76,357	)		142,066			263,650			142,840			682,402			341,551			10,964			14,143
	(184,908	)		(197,603	)		(113,633	)		(83,879	)		(153,072	)		(162,348	)		(11,653	)		(12,835)
	(184,908	)		(197,603	)		(113,633	)		(83,879	)		(153,072	)		(162,348	)		(11,653	)		(12,835)
	316,490			272,396			81,546			384,971			403,108			604,892			284,602			179,104
	180,534			193,449			113,613			81,257			153,024			161,203			11,573			12,767
	(616,948	)		(632,297	)		(475,260	)		(1,062,789	)		(987,123	)		(833,448	)		(160,843	)		(229,757)
	(119,924	)		(166,452	)		(280,101	)		(596,561	)		(430,991	)		(67,353	)		135,332			(37,886)
	(381,189	)		(221,989	)		(130,084	)		(537,600	)		98,339			111,850			134,643			(36,578)
	2,681,510			2,903,499			1,427,817			1,965,417			3,968,559			3,856,709			446,319			482,897
$	2,300,321		$	2,681,510		$	1,297,733		$	1,427,817		$	4,066,898		$	3,968,559		$	580,962		$	446,319

SEI Institutional Investments Trust / Annual Report / May 31, 2020 383

STATEMENTS OF CHANGES IN NET ASSETS / CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS

($ Thousands)

For the years ended May 31,

	Emerging Markets Debt Fund						Real Return Fund
	06/01/19 to 05/31/20			06/01/18 to 05/31/19			06/01/19 to 05/31/20			06/01/18 to 05/31/19
Operations:
Net investment income	$	115,529		$	136,854		$	5,739		$	5,439
Net realized gain (loss) from investments, securities sold short, futures contracts, options,swaptions and swap contracts		12,673			(53,613	)		(390	)		(1,028	)
Net realized gain (loss) on foreign currency transactions and forward currency contracts		(71,902	)		(82,157	)		—			—
Net change in unrealized appreciation (depreciation) on investments, securities sold short,futures contracts, options and swap contracts		(35,379	)		35,868			4,459			3,222
Net change in unrealized appreciation (depreciation) on foreign currency transactions and foreign forward currency contracts		(2,508	)		1,336			—			—
Net Increase (Decrease) in Net Assets Resulting from Operations		18,413			38,288			9,808			7,633
Distributions:
Class A		(75,714	)		(36,600	)		(7,386	)		(4,593	)
Total Distributions		(75,714	)		(36,600	)		(7,386	)		(4,593	)
Capital Share Transactions:
Class A:
Proceeds from shares issued		313,438			384,983			97,438			151,446
Reinvestment of dividends & distributions		73,796			35,575			6,671			4,572
Cost of shares redeemed		(511,053	)		(454,289	)		(91,098	)		(48,097	)
Net Increase (Decrease) from Class A Transactions		(123,819	)		(33,731	)		13,011			107,921
Net Increase (Decrease) in Net Assets		(181,120	)		(32,043	)		15,433			110,961
Net Assets
Beginning of Year or Period		2,245,266			2,277,309			281,804			170,843
End of Year or Period	$	2,064,146		$	2,245,266		$	297,237		$	281,804

(1) See Note 7 in the Notes to Financial Statements for additional information.

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

384 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Limited Duration Bond Fund						Intermediate Duration Credit Fund						Dynamic Asset Allocation Fund						Multi-Asset Real Return Fund
	06/01/19 to 05/31/20			06/01/18 to 05/31/19			06/01/19 to 05/31/20			06/01/18 to 05/31/19			06/01/19 to 05/31/20			06/01/18 to 05/31/19			06/01/19 to 05/31/20			06/01/18 to 05/31/19
$	32,478		$	39,214		$	92,887		$	92,727		$	36,714		$	48,587		$	20,066		$	21,749
	14,216			(391	)		73,736			(14,555	)		305,034			26,088			(59,409	)		(43,974	)
	—			—			—			—			15,857			6,229			40			590
	7,633			14,973			159,567			121,576			(98,485	)		(72,524	)		4,511			21,872
	—			—			—			—			(12,148	)		13,040			(258	)		(478	)
	54,327			53,796			326,190			199,748			246,972			21,420			(35,050	)		(241	)
	(32,944	)		(39,239	)		(92,984	)		(92,910	)		(242,435	)		(40,805	)		(19,163	)		(31,060	)
	(32,944	)		(39,239	)		(92,984	)		(92,910	)		(242,435	)		(40,805	)		(19,163	)		(31,060	)
	287,161			388,978			509,067			844,728			198,962			169,372			142,862			142,578
	32,164			38,477			92,935			91,963			234,959			39,502			18,449			28,948
	(589,958	)		(305,675	)		(566,218	)		(664,466	)		(1,007,562	)		(401,046	)		(264,427	)		(208,614	)
	(270,633	)		121,780			35,784			272,225			(573,641	)		(192,172	)		(103,116	)		(37,088	)
	(249,250	)		136,337			268,990			379,063			(569,104	)		(211,557	)		(157,329	)		(68,389	)
	1,533,947			1,397,610			3,054,258			2,675,195			2,291,808			2,503,365			911,520			979,909
$	1,284,697		$	1,533,947		$	3,323,248		$	3,054,258		$	1,722,704		$	2,291,808		$	754,191		$	911,520

SEI Institutional Investments Trust / Annual Report / May 31, 2020 385

CONSOLIDATED STATEMENT OF CASH FLOWS ($ Thousands)

For the year ended May 31, 2020

Multi-Asset Real Return Fund
Cash Flows from Operating Activities:
Net Decrease in Net Assets from Operations	$	(35,050)
Adjustments to Reconcile Net Increase in Net Assets Resulting from Operations to Net Cash Provided by Operating Activities:
Purchase of investment securities		(1,022,157)
Proceeds from disposition of investment securities		1,120,378
Purchased options/swaptions and purchases to cover written options/swaptions		(804)
Proceeds from sale of options/swaptions and expired options/swaptions		488
Purchases to cover securities sold short		(63,734)
Proceeds from securities sold short		32,473
Amortization (Accretion of Market Discount)		(7,840	)
Net Realized Gain (Loss) on:
Investments		20,676
Options/Swaptions		81
Securities sold short		10,737
Net Change in Unrealized (Appreciation) Depreciation on:
Investments		(19,447)
Options/Swaptions		44
Securities sold short		7,482
Changes in Assets:
Cash pledged as collateral on futures contracts		(4,267	)
Cash pledged as collateral on swap contracts		(2,969	)
Cash pledged as collateral on foreign forward currency contracts		280
Dividends and interest receivable		(17)
Receivable for investment securities sold		11,885
Receivable for variation margin		368
Unrealized gain on forward foreign currency contracts		165
Swap contracts, at value		(1,009	)
Prepaid expenses		1
Changes in Liabilities:
Payable for investment securities purchased		(9,788)
Payable for variation margin		(3,216	)
Swap contracts, at value		4,997
Unrealized gain on forward foreign currency contracts		99
Unrealized gain on spot currency contracts		3
Investment advisory fees payable		(25)
CCO fees payable		1
Due to broker		(103	)
Accrued expenses payable		(443	)
Net Cash Provided by Operating Activities		39,289
Cash Flows from Financing Activities
Reverse repurchase agreements		49,845
Proceeds from shares issued		150,690
Distributions from net investment income		(714)
Cost of shares redeemed		(264,060)
Net Cash Used in Financing Activities		(64,239)
Net Change in Cash, Restricted Cash, and Foreign Currency		(24,950)
Cash, Restricted Cash, and Foreign Currency at Beginning of Year	$	128,804
Cash, Restricted Cash, and Foreign Currency at End of Year	$	103,854
Supplemental Disclosure of Cash Flow Information
Interest paid	$	3,632

The accompanying notes are an integral part of the financial statements.

386 SEI Institutional Investments Trust / Annual Report / May 31, 2020

FINANCIAL HIGHLIGHTS

For the years or period ended May 31,

For a share outstanding throughout each period

	Net Asset Value, Beginning of Period		Net Investment Income (Loss)(1)		Net Realized and Unrealized Gains (Losses) on Investments(1)			Total from Operations			Dividends from Net Investment Income		Distributions from Net Realized Capital Gains		Total Dividends and Distributions			Net Asset Value, End of Period		Total Return†			Net Assets End of Period ($ Thousands)		Ratio of Net Expenses to Average Net Assets			Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Including Waivers)			Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers)			Ratio of Net Investment Income (Loss) to Average Net Assets			Portfolio Turnover Rate†
Large Cap Fund
Class A
2020	$	14.73	$	0.30	$	0.66		$	0.96			$  (0.29)		$  (1.45)	$	(1.74	)	$	13.95		5.78	%	$	941,086		0.18	%		0.18	%		0.47	%		2.02	%		76	%
2019		18.93		0.32		(0.28	)		0.04			(0.31)		(3.93)		(4.24	)		14.73		1.49			1,090,130		0.19			0.19			0.47			1.87			102
2018		20.42		0.33		2.63			2.96			(0.39)		(4.06)		(4.45	)		18.93		15.00			1,368,392		0.20			0.20			0.47			1.64			68
2017		18.90		0.29		2.19			2.48			(0.25)		(0.71)		(0.96	)		20.42		13.44			2,019,282		0.20			0.20			0.47			1.49			97
2016		22.89		0.33		(0.96	)		(0.63	)		(0.32)		(3.04)		(3.36	)		18.90		(2.41	)		2,086,522		0.20	(2)		0.20	(2)		0.47	(2)		1.60			73
Large Cap Disciplined Equity Fund
Class A
2020	$	10.27	$	0.19	$	0.65		$	0.84			$  (0.26)		$  (1.14)	$	(1.40	)	$	9.71		7.23	%	$	1,380,069		0.18	%		0.18	%		0.47	%		1.83	%		139	%
2019		13.58		0.22		(0.39	)		(0.17	)		(0.22)		(2.92)		(3.14	)		10.27		(0.14	)		2,003,051		0.19			0.19			0.47			1.80			125
2018		13.87		0.24		1.43			1.67			(0.25)		(1.71)		(1.96	)		13.58		12.43			3,033,957		0.19			0.19			0.47			1.71			134
2017		12.57		0.23		1.75			1.98			(0.24)		(0.44)		(0.68	)		13.87		16.23			3,715,731		0.19			0.19			0.47			1.74			104
2016		14.38		0.24		(0.14	)		0.10			(0.25)		(1.66)		(1.91	)		12.57		1.34			3,592,226		0.19	(2)		0.19	(2)		0.47	(2)		1.82			102
Large Cap Index Fund
Class A
2020	$	173.92	$	3.26	$	19.13		$	22.39			$  (3.34)		$  (29.36)	$	(32.70	)	$	163.61		12.48	%	$	1,750,464		0.04	%		0.04	%		0.13	%		1.87	%		32	%
2019		200.41		4.18		0.70			4.88			(4.27)		(27.10)		(31.37	)		173.92		3.43			1,636,037		0.04			0.04			0.13			2.19			16
2018		182.82		3.63		22.56			26.19			(4.13)		(4.47)		(8.60	)		200.41		14.53			1,989,617		0.03			0.03			0.12			1.87			16
2017		160.22		3.30		24.18			27.48			(2.83)		(2.05)		(4.88	)		182.82		17.44			2,354,169		0.03			0.03			0.24			1.94			12
2016		169.36		3.26		(2.45	)		0.81			(3.32)		(6.63)		(9.95	)		160.22		0.76			2,061,670		0.03	(2)		0.03	(2)		0.25	(2)		2.06			18
S&P 500 Index Fund
Class A
2020	$	14.78	$	0.31	$	1.57		$	1.88			$  (0.31)		$  (0.22)	$	(0.53	)	$	16.13		12.77	%	$	4,277,620		0.05	%		0.05	%		0.12	%		1.94	%		34	%
2019		14.92		0.34		0.19			0.53			(0.34)		(0.33)		(0.67	)		14.78		3.77			3,975,682		0.05			0.05			0.12			2.23			21
2018		13.39		0.28		1.62			1.90			(0.30)		(0.07)		(0.37	)		14.92		14.36			4,258,172		0.05			0.05			0.12			1.92			25
2017		11.60		0.24		1.76			2.00			(0.21)		—		(0.21	)		13.39		17.42			4,100,863		0.06			0.06			0.12			1.98			8
2016		11.69		0.24		(0.06	)		0.18			(0.24)		(0.03)		(0.27	)		11.60		1.66			3,384,560		0.05	(2)		0.05	(2)		0.12	(2)		2.11			13
Extended Market Index Fund
Class A
2020	$	14.52	$	0.20	$	0.39		$	0.59			$  (0.20)		$  (0.44)	$	(0.64	)	$	14.47		3.88	%	$	1,176,664		0.06	%		0.06	%		0.20	%		1.35	%		56	%
2019		15.94		0.23		(0.80	)		(0.57	)		(0.23)		(0.62)		(0.85	)		14.52		(3.29	)		937,836		0.06			0.06			0.20			1.51			46
2018		14.16		0.19		2.39			2.58			(0.21)		(0.59)		(0.80	)		15.94		18.58			996,135		0.06			0.06			0.20			1.27			64
2017		12.30		0.19		2.13			2.32			(0.19)		(0.27)		(0.46	)		14.16		19.03			917,907		0.06			0.06			0.19			1.43			20
2016		13.69		0.18		(0.98	)		(0.80	)		(0.18)		(0.41)		(0.59	)		12.30		(5.66	)		714,258		0.07	(2)		0.07	(2)		0.20	(2)		1.49			27
Small Cap Fund
Class A
2020	$	13.66	$	0.16	$	(0.99	)	$	(0.83	)		$  (0.19)		$  (0.73)	$	(0.92	)	$	11.91		(7.04	)%	$	228,900		0.45	%		0.45	%		0.72	%		1.16	%		127	%
2019		18.76		0.18		(1.81	)		(1.63	)		(0.16)		(3.31)		(3.47	)		13.66		(7.71	)		267,012		0.44			0.44			0.72			1.09			109
2018		17.83		0.12		2.64			2.76			(0.12)		(1.71)		(1.83	)		18.76		16.30			375,607		0.43			0.43			0.72			0.68			115
2017		15.99		0.13		2.33			2.46			(0.15)		(0.47)		(0.62	)		17.83		15.40			513,528		0.44			0.44			0.72			0.77			114
2016		19.06		0.17		(1.18	)		(1.01	)		(0.19)		(1.87)		(2.06	)		15.99		(4.99	)		502,222		0.46	(2)		0.46	(2)		0.72	(2)		0.99			115

^†  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) Per share net investment income and net realized and unrealized gains (losses) calculated using average shares.

(2) The expense ratio includes proxy expenses outside the cap.

Amounts designated as “—” are $0.

The accompanying notes are an integral part of the financial statements.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 387

FINANCIAL HIGHLIGHTS

For the years or period ended May 31,

For a share outstanding throughout each period

	Net Asset Value, Beginning of Period		Net Investment Income (Loss)(1)		Net Realized and Unrealized Gains (Losses) on Investments(1)			Total from Operations			Dividends from Net Investment Income		Distributions from Net Realized Capital Gains		Total Dividends and Distributions			Net Asset Value, End of Period		Total Return†			Net Assets End of Period ($ Thousands)		Ratio of Net Expenses to Average Net Assets			Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Including Waivers)			Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers)			Ratio of Net Investment Income (Loss) to Average Net Assets			Portfolio Turnover Rate†
Small Cap II Fund
Class A
2020	$	9.93	$	0.09	$	(0.54	)	$	(0.45	)		$    (0.10)		$  (0.43)	$	(0.53	)	$	8.95		(5.20	)%	$	312,950		0.44	%		0.44	%		0.72	%		0.92	%		136	%
2019		13.22		0.09		(1.14	)		(1.05	)		(0.08)		(2.16)		(2.24	)		9.93		(6.98	)		337,113		0.43			0.43			0.72			0.73			129
2018		12.65		0.08		2.27			2.35			(0.08)		(1.70)		(1.78	)		13.22		19.97			442,285		0.42			0.42			0.72			0.60			127
2017		11.14		0.07		1.52			1.59			(0.08)		—^		(0.08	)		12.65		14.27			462,730		0.43			0.43			0.72			0.61			111
2016		12.95		0.08		(0.89	)		(0.81	)		(0.08)		(0.92)		(1.00	)		11.14		(6.07	)		455,742		0.45	(2)		0.45	(2)		0.72	(2)		0.70			134
Small/Mid Cap Equity Fund
Class A
2020	$	10.27	$	0.13	$	(0.43	)	$	(0.30	)		$    (0.11)		$  (0.63)	$	(0.74	)	$	9.23		(3.80	)%	$	879,022		0.41	%		0.41	%		0.72	%		1.24	%		111	%
2019		13.63		0.14		(1.17	)		(1.03	)		(0.10)		(2.23)		(2.33	)		10.27		(6.58	)		1,178,532		0.42			0.42			0.72			1.18			116
2018		13.19		0.10		1.97			2.07			(0.14)		(1.49)		(1.63	)		13.63		16.52			1,596,828		0.42			0.42			0.72			0.76			107
2017		11.98		0.10		1.75			1.85			(0.11)		(0.53)		(0.64	)		13.19		15.53			1,730,233		0.44			0.44			0.72			0.80			84
2016		14.89		0.12		(0.99	)		(0.87	)		(0.13)		(1.91)		(2.04	)		11.98		(5.33	)		1,642,784		0.46	(2)		0.46	(2)		0.72	(2)		0.93			104
U.S. Equity Factor Allocation Fund
Class A
2020	$	10.18	$	0.22	$	0.51		$	0.73			$    (0.24)		$  —	$	(0.24	)	$	10.67		7.21	%	$	756,195		0.02	%		0.02	%		0.32	%		2.03	%		39	%
2019		10.17		0.23		(0.05	)		0.18			(0.17)		—		(0.17)			10.18		1.74			873,180		0.02			0.02			0.32			2.18			43
2018(3)		10.00		0.03		0.14			0.17			—		—		—			10.17		1.70			255,550		0.04			0.04			0.34			2.66			–
U.S. Managed Volatility Fund
Class A
2020	$	13.01	$	0.33	$	(0.29	)	$	0.04			$    (0.31)		$  (0.57)	$	(0.88	)	$	12.17		(0.31	)%	$	1,216,680		0.20	%		0.20	%		0.72	%		2.48	%		58	%
2019		14.34		0.36		0.56			0.92			(0.36)		(1.89)		(2.25	)		13.01		7.10			1,181,573		0.20			0.20			0.72			2.56			39
2018		14.83		0.34		0.82			1.16			(0.39)		(1.26)		(1.65	)		14.34		7.81			1,287,447		0.23			0.23			0.72			2.31			58
2017		13.92		0.34		1.54			1.88			(0.30)		(0.67)		(0.97	)		14.83		13.93			1,481,081		0.24			0.24			0.72			2.38			40
2016		14.64		0.34		0.13			0.47			(0.35)		(0.84)		(1.19	)		13.92		3.71			1,524,568		0.24	(2)		0.24	(2)		0.72	(2)		2.47			62
Global Managed Volatility Fund
Class A
2020	$	11.53	$	0.30	$	(0.35	)	$	(0.05	)		$    (0.40)		$  (0.20)	$	(0.60	)	$	10.88		(1.08	)%	$	2,738,825		0.24	%		0.24	%		0.72	%		2.57	%		47	%
2019		12.05		0.35		(0.02	)		0.33			(0.44)		(0.41)		(0.85	)		11.53		3.14			2,490,831		0.24			0.24			0.72			2.88			42
2018		11.72		0.32		0.55			0.87			(0.27)		(0.27)		(0.54	)		12.05		7.41			2,256,778		0.24			0.24			0.72			2.68			37
2017		10.78		0.31		1.10			1.41			(0.26)		(0.21)		(0.47	)		11.72		13.50			1,633,683		0.25			0.25			0.73			2.80			36
2016(4)		10.00		0.12		0.66			0.78			—		—		—			10.78		7.80			1,061,014		0.26	(2)		0.26	(2)		0.73	(2)		3.34			42
World Equity Ex-US Fund
Class A
2020	$	12.08	$	0.22	$	(0.30	)	$	(0.08	)		$    (0.33)		$    —	$	(0.33	)	$	11.67		(1.00	)%	$	8,115,314		0.31	%		0.31	%		0.62	%		1.80	%		92	%
2019		13.78		0.29		(1.35	)		(1.06	)		(0.28)		(0.36)		(0.64	)		12.08		(7.34	)		8,327,272		0.31			0.31			0.62			2.25			75
2018		12.63		0.28		1.19			1.47			(0.28)		(0.04)		(0.32	)		13.78		11.60			8,559,023		0.32			0.32			0.62			2.03			75
2017		10.80		0.25		1.80			2.05			(0.22)		—		(0.22	)		12.63		19.28			8,174,354		0.32			0.32			0.62			2.20			71
2016		12.68		0.23		(1.83	)		(1.60	)		(0.23)		(0.05)		(0.28	)		10.80		(12.60	)		6,923,937		0.33	(2)		0.33	(2)		0.63	(2)		2.11			50

^†  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.

^ Amount represents less than $0.005.

(1) Per share net investment income and net realized and unrealized gains (losses) calculated using average shares.

(2) The expense ratio includes proxy expenses outside the cap.

(3) Commenced operations on April 26, 2018. All ratios for the period have been annualized.

(4) Commenced operations on January 29, 2016. All ratios for the period have been annualized.

Amounts designated as “—” are $0.

The accompanying notes are an integral part of the financial statements.

388 SEI Institutional Investments Trust / Annual Report / May 31, 2020

FINANCIAL HIGHLIGHTS

For the years or period ended May 31,

For a share outstanding throughout each period

	Net Asset Value, Beginning of Period		Net Investment Income (Loss)(1)		Net Realized and Unrealized Gains (Losses) on Investments(1)			Total from Operations			Dividends from Net Investment Income			Distributions from Net Realized Capital Gains		Total Dividends and Distributions			Net Asset Value, End of Period		Total Return†			Net Assets End of Period ($ Thousands)		Ratio of Net Expenses to Average Net Assets			Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Including Waivers)			Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers)			Ratio of Net Investment Income (Loss) to Average Net Assets			Portfolio Turnover Rate†
Screened World Equity Ex-US Fund
Class A
2020	$	10.31	$	0.22	$	(0.16	)	$	0.06			$    (0.32)	(2)		$    —	$	(0.32	)	$	10.05		0.17	%	$	101,167		0.35	%		0.35	%		0.81	%		2.03	%		77	%
2019		11.48		0.24		(1.03	)		(0.79	)		(0.21)			(0.17)		(0.38	)		10.31		(6.57	)		98,969		0.33			0.33			0.79			2.22			52
2018		10.36		0.22		1.15			1.37			(0.25)			—		(0.25	)		11.48		13.24			111,582		0.36			0.36			0.80			1.95			56
2017		8.50		0.19		1.82			2.01			(0.15)			—		(0.15	)		10.36		23.99			105,426		0.35			0.35			0.79			2.03			52
2016		9.52		0.17		(1.01	)		(0.84	)		(0.18)			—		(0.18	)		8.50		(8.78	)		82,836		0.35	(3)		0.35	(3)		0.79	(3)		2.01			41
World Select Equity Fund
Class A
2020	$	9.38	$	0.21	$	(0.51	)	$	(0.30	)		$    (0.39)			$    —	$	(0.39	)	$	8.69		(3.86	)%	$	476,296		0.37	%		0.37	%		0.69	%		2.20	%		66	%
2019		11.30		0.23		(1.26	)		(1.03	)		(0.31)			(0.58)		(0.89	)		9.38		(8.81	)		985,177		0.31			0.31			0.65			2.18			93
2018(4)		10.00		0.18		1.30			1.48			(0.08)			(0.10)		(0.18	)		11.30		14.88			1,239,095		0.30			0.30			0.63			1.82			68
Emerging Markets Equity Fund
Class A
2020	$	8.99	$	0.16	$	(0.59	)	$	(0.43	)		$    (0.19)			$    —	$	(0.19	)	$	8.37		(5.14	)%	$	1,008,763		0.63	%		0.63	%		1.19	%		1.71	%		59	%
2019		11.21		0.19		(1.43	)		(1.24	)		(0.19)			(0.79)		(0.98	)		8.99		(10.59	)		1,007,905		0.66			0.66			1.20			1.91			59
2018		10.25		0.19		1.08			1.27			(0.22)			(0.09)		(0.31	)		11.21		12.37			1,094,294		0.63			0.63			1.17			1.70			97
2017		8.61		0.14		1.69			1.83			(0.19)			—		(0.19	)		10.25		21.62			1,250,465		0.65			0.65			1.19			1.51			84
2016		10.01		0.14		(1.40	)		(1.26	)		(0.12)			(0.02)		(0.14	)		8.61		(12.53	)		935,399		0.70	(3)		0.70	(3)		1.24	(3)		1.67			105
Opportunistic Income Fund
Class A
2020	$	8.24	$	0.31	$	(0.33	)	$	(0.02	)		$    (0.35)			$    —	$	(0.35	)	$	7.87		(0.22	)%	$	975,466		0.24	%		0.24	%		0.52	%		3.81	%		36	%
2019		8.23		0.34		(0.03	)		0.31			(0.30)			—		(0.30	)		8.24		3.90			1,388,921		0.24			0.24			0.52			4.14			26
2018		8.29		0.27		—			0.27			(0.33)			—		(0.33	)		8.23		3.36			1,850,589		0.24			0.24			0.52			3.25			45
2017		8.11		0.23		0.14			0.37			(0.19)			—		(0.19	)		8.29		4.57			2,204,029		0.26			0.26			0.52			2.83			37
2016		8.25		0.22		(0.15	)		0.07			(0.21)			—		(0.21	)		8.11		0.93			2,129,669		0.26	(3)		0.26	(3)		0.52	(3)		2.67			35
Core Fixed Income Fund
Class A
2020	$	10.35	$	0.29	$	0.74		$	1.03			$    (0.31)			$  (0.11)	$	(0.42	)	$	10.96		10.18	%	$	7,475,630		0.12	%		0.12	%		0.37	%		2.77	%		369	%
2019		10.03		0.33		0.33			0.66			(0.34)			—		(0.34	)		10.35		6.72			7,052,345		0.12			0.12			0.37			3.26			368
2018		10.31		0.27		(0.25	)		0.02			(0.30)			—		(0.30	)		10.03		0.18			6,586,334		0.12			0.12			0.37			2.67			388
2017		10.44		0.27		(0.02	)		0.25			(0.27)			(0.11)		(0.38	)		10.31		2.51			5,771,305		0.12			0.12			0.37			2.57			343
2016		10.62		0.28		0.02			0.30			(0.28)			(0.20)		(0.48	)		10.44		2.97			5,264,859		0.13	(3)		0.13	(3)		0.37	(3)		2.66			364
High Yield Bond Fund
Class A
2020	$	8.65	$	0.54	$	(0.84	)	$	(0.30	)		$    (0.54)			$  (0.07)	$	(0.61	)	$	7.74		(3.73	)%	$	2,300,321		0.29	%		0.29	%		0.56	%		6.48	%		80	%
2019		8.81		0.55		(0.10	)		0.45			(0.55)			(0.06)		(0.61	)		8.65		5.32			2,681,510		0.29			0.29			0.56			6.31			60
2018		9.13		0.57		(0.25	)		0.32			(0.56)			(0.08)		(0.64	)		8.81		3.59			2,903,499		0.29			0.29			0.55			6.29			59
2017		8.53		0.59		0.66			1.25			(0.58)			(0.07)		(0.65	)		9.13		15.05			2,940,816		0.30			0.30			0.55			6.61			65
2016		9.41		0.58		(0.81	)		(0.23	)		(0.58)			(0.07)		(0.65	)		8.53		(2.17	)		2,639,919		0.30	(3)		0.30	(3)		0.56	(3)		6.81			50

^†  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) Per share net investment income and net realized and unrealized gains (losses) calculated using average shares.

(2) Includes a return of capital of $0.06 per share.

(3) The expense ratio includes proxy expenses outside the cap.

(4) Commenced operations on June 30, 2017. All ratios for the period have been annualized.

Amounts designated as “—” are $0.

The accompanying notes are an integral part of the financial statements.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 389

FINANCIAL HIGHLIGHTS

For the years or period ended May 31,

For a share outstanding throughout each period

	Net Asset Value, Beginning of Period		Net Investment Income (Loss)(1)		Net Realized and Unrealized Gains (Losses) on Investments(1)			Total from Operations			Dividends from Net Investment Income		Distributions from Net Realized Capital Gains		Total Dividends and Distributions			Net Asset Value, End of Period		Total Return†			Net Assets End of Period ($ Thousands)		Ratio of Net Expenses to Average Net Assets			Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Including Waivers)			Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers)			Ratio of Net Investment Income (Loss) to Average Net Assets			Portfolio Turnover Rate†
Long Duration Fund
Class A
2020	$	8.59	$	0.31	$	1.41		$	1.72			$  (0.31)		$  (0.43)	$	(0.74	)	$	9.57		20.85	%	$	1,297,733		0.15	%		0.15	%		0.37	%		3.46	%		109	%
2019		8.17		0.33		0.47			0.80			(0.33)		(0.05)		(0.38	)		8.59		10.21			1,427,817		0.15			0.15			0.37			4.05			102
2018		8.47		0.33		(0.24	)		0.09			(0.33)		(0.06)		(0.39	)		8.17		0.92			1,965,417		0.15			0.15			0.37			3.88			104
2017		8.68		0.34		0.02			0.36			(0.34)		(0.23)		(0.57	)		8.47		4.41			2,160,286		0.15			0.15			0.37			3.94			76
2016		8.92		0.36		0.14			0.50			(0.36)		(0.38)		(0.74	)		8.68		6.19			2,775,237		0.15	(2)		0.15	(2)		0.37	(2)		4.23			72
Long Duration Credit Fund
Class A
2020	$	10.42	$	0.39	$	1.51		$	1.90			$  (0.39)		$  (0.03)	$	(0.42	)	$	11.90		18.47	%	$	4,066,898		0.15	%		0.15	%		0.37	%		3.44	%		74	%
2019		9.92		0.39		0.51			0.90			(0.39)		(0.01)		(0.40	)		10.42		9.50			3,968,559		0.15			0.15			0.37			4.03			77
2018		10.31		0.39		(0.32	)		0.07			(0.39)		(0.07)		(0.46	)		9.92		0.64			3,856,709		0.15			0.15			0.37			3.81			79
2017		10.26		0.40		0.07			0.47			(0.40)		(0.02)		(0.42	)		10.31		4.63			3,612,106		0.15			0.15			0.37			3.87			68
2016		10.18		0.41		0.30			0.71			(0.41)		(0.22)		(0.63	)		10.26		7.37			3,333,806		0.15	(2)		0.15	(2)		0.37	(2)		4.15			74
Ultra Short Duration Bond Fund
Class A
2020	$	10.00	$	0.25	$	(0.01	)	$	0.24			$  (0.25)		$    —	$	(0.25	)	$	9.99		2.45	%	$	580,962		0.12	%		0.12	%		0.22	%		2.50	%		81	%
2019		9.97		0.27		0.04			0.31			(0.28)		—		(0.28	)		10.00		3.12			446,319		0.12			0.12			0.22			2.74			75
2018		10.00		0.19		(0.02	)		0.17			(0.20)		—		(0.20	)		9.97		1.70			482,897		0.12			0.12			0.22			1.94			90
2017		9.98		0.14		0.03			0.17			(0.15)		—		(0.15	)		10.00		1.76			486,747		0.12			0.12			0.22			1.42			93
2016		10.01		0.11		(0.01	)		0.10			(0.13)		—		(0.13	)		9.98		1.01			535,629		0.12	(2)		0.12	(2)		0.22	(2)		1.08			103
Emerging Markets Debt Fund
Class A
2020	$	9.66	$	0.51	$	(0.46	)	$	0.05			$  (0.34)		$    —	$	(0.34	)	$	9.37		0.28	%	$	2,064,146		0.42	%		0.42	%		0.96	%		5.25	%		90	%
2019		9.66		0.57		(0.41	)		0.16			(0.16)		—		(0.16	)		9.66		1.63			2,245,266		0.42			0.42			0.95			6.11			96
2018		10.17		0.61		(0.46	)		0.15			(0.66)		—		(0.66	)		9.66		1.22			2,277,309		0.42			0.42			0.94			5.87			83
2017		9.39		0.58		0.53			1.11			(0.33)		—		(0.33	)		10.17		12.19			2,211,664		0.43			0.43			0.94			5.89			82
2016		9.65		0.56		(0.73	)		(0.17	)		(0.09)		—		(0.09	)		9.39		(1.77	)		1,935,751		0.43	(2)		0.43	(2)		0.95	(2)		6.19			77
Real Return Fund
Class A
2020	$	9.60	$	0.19	$	0.13		$	0.32			$  (0.24)		$    —	$	(0.24	)	$	9.68		3.44	%	$	297,237		0.02	%		0.02	%		0.29	%		1.94	%		49	%
2019		9.51		0.20		0.06			0.26			(0.17)		—		(0.17	)		9.60		2.83			281,804		0.02			0.02			0.29			2.15			40
2018		9.65		0.22		(0.18	)		0.04			(0.18)		—		(0.18	)		9.51		0.48			170,843		0.08	(3)		0.08	(3)		0.29	(3)		2.27			55
2017		9.64		0.21		(0.04	)		0.17			(0.16)		—		(0.16	)		9.65		1.76			160,138		0.08			0.08			0.29			2.17			47
2016		9.59		0.08		(0.03	)		0.05			—		—		—			9.64		0.52			149,972		0.08	(2)		0.08	(2)		0.29	(2)		0.87			80

^†  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) Per share net investment income and net realized and unrealized gains (losses) calculated using average shares.

(2) The expense ratio includes proxy expenses outside the cap.

(3) The expense ratio includes interest expense on reverse repurchase agreements and dividend expense on securities sold short. Had this expense been excluded, the ratios would have been 0.08%, 0.08% and 0.29%, respectively.

Amounts designated as “—” are $0.

The accompanying notes are an integral part of the financial statements.

390 SEI Institutional Investments Trust / Annual Report / May 31, 2020

FINANCIAL HIGHLIGHTS / CONSOLIDATED FINANCIAL HIGHLIGHTS

For the years or period ended May 31,

For a share outstanding throughout each period

	Net Asset Value, Beginning of Period		Net Investment Income (Loss)(1)		Net Realized and Unrealized Gains (Losses) on Investments(1)			Total from Operations			Dividends from Net Investment Income		Distributions from Net Realized Capital Gains		Total Dividends and Distributions			Net Asset Value, End of Period		Total Return†			Net Assets End of Period ($ Thousands)		Ratio of Net Expenses to Average Net Assets			Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Including Waivers)			Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers)			Ratio of Net Investment Income (Loss) to Average Net Assets			Portfolio Turnover Rate†
Limited Duration Bond Fund
Class A
2020	$	9.96	$	0.23	$	0.18		$	0.41			$  (0.24)		$    —	$	(0.24	)	$	10.13		4.14	%	$	1,284,697		0.11	%		0.11	%		0.32	%		2.35	%		146	%
2019		9.87		0.26		0.09			0.35			(0.26)		—		(0.26	)		9.96		3.59			1,533,947		0.11			0.11			0.32			2.63			155
2018		9.97		0.18		(0.10	)		0.08			(0.18)		—		(0.18	)		9.87		0.81			1,397,610		0.11			0.11			0.32			1.79			150
2017		10.00		0.14		(0.02	)		0.12			(0.15)		—^		(0.15	)		9.97		1.21			1,347,212		0.11			0.11			0.32			1.42			92
2016		10.01		0.12		0.01			0.13			(0.13)		(0.01)		(0.14	)		10.00		1.26			1,156,258		0.12			0.12			0.32			1.25			134
Intermediate Duration Credit Fund
Class A
2020	$	10.10	$	0.32	$	0.78		$	1.10			$  (0.32)		$    —	$	(0.32	)	$	10.88		10.99	%	$	3,323,248		0.15	%		0.15	%		0.32	%		3.01	%		134	%
2019		9.75		0.32		0.35			0.67			(0.32)		—		(0.32	)		10.10		7.00			3,054,258		0.15			0.15			0.32			3.25			122
2018		10.02		0.29		(0.27	)		0.02			(0.29)		—		(0.29	)		9.75		0.14			2,675,195		0.15			0.15			0.32			2.87			155
2017		9.96		0.27		0.06			0.33			(0.27)		—		(0.27	)		10.02		3.38			1,688,561		0.15			0.15			0.32			2.72			151
2016		9.82		0.26		0.14			0.40			(0.26)		—		(0.26	)		9.96		4.16			1,440,434		0.15			0.15			0.32			2.66			181
Dynamic Asset Allocation Fund
Class A
2020	$	19.62	$	0.37	$	2.02		$	2.39			$  (0.61)		$  (1.99)	$	(2.60	)	$	19.41		11.85	%	$	1,722,704		0.08	%		0.08	%		0.67	%		1.83	%		10	%
2019		19.83		0.40		(0.27	)		0.13			(0.13)		(0.21)		(0.34	)		19.62		0.75			2,291,808		0.08			0.08			0.67			1.98			5
2018		18.57		0.36		1.65			2.01			(0.50)		(0.25)		(0.75	)		19.83		10.83			2,503,365		0.07			0.07			0.66			1.85			12
2017		15.83		0.34		2.67			3.01			(0.27)		—		(0.27	)		18.57		19.17			2,474,189		0.08			0.08			0.66			2.00			8
2016		16.97		0.33		(0.41	)		(0.08	)		(0.91)		(0.15)		(1.06	)		15.83		(0.32	)		2,079,154		0.08			0.08			0.67			2.08			12
Multi-Asset Real Return Fund
Class A
2020	$	7.78	$	0.17	$	(0.42	)	$	(0.25	)		$  (0.17)		$    —	$	(0.17	)	$	7.36		(3.38	)%	$	754,191		0.88	%(2)		0.88	%(2)		1.30	%(2)		2.26	%		53	%
2019		8.06		0.19		(0.20	)		(0.01	)		(0.27)		—		(0.27	)		7.78		0.03			911,520		1.00	(3)		1.00	(3)		1.43	(3)		2.36			22
2018		8.07		0.18		(0.06	)		0.12			(0.13)		—		(0.13	)		8.06		1.45			979,909		0.72	(2)		0.72	(2)		1.14	(2)		2.23			22
2017		8.28		0.17		(0.24	)		(0.07	)		(0.14)		—		(0.14	)		8.07		(0.85	)		766,218		0.53	(4)		0.53	(4)		0.90	(4)		2.02			58
2016		8.64		0.10		(0.38	)		(0.28	)		(0.08)		—		(0.08	)		8.28		(3.19	)		733,029		0.54	(5)		0.54	(5)		0.90	(5)		1.17			91

† 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.

^ Amount represents less than $0.005.

(1) Per share net investment income and net realized and unrealized gains (losses) calculated using average shares.

(2) The expense ratio includes interest expense on reverse repurchase agreements and dividend expense on securities sold short. Had this expense been excluded, the ratios would have been 0.20%, 0.20% and 0.62%, respectively.

(3) The expense ratio includes interest expense on reverse repurchase agreements and dividend expense on securities sold short. Had this expense been excluded, the ratios would have been 0.19%, 0.19% and 0.62%, respectively.

(4) The expense ratio includes interest expense on reverse repurchase agreements and dividend expense on securities sold short. Had this expense been excluded, the ratios would have been 0.25%, 0.25% and 0.62%, respectively (5) The expense ratio includes interest expense on reverse repurchase agreements and dividend expense on securities sold short. Had this expense been excluded, the ratios would have been 0.31%, 0.31% and 0.67%, respectively.

Amounts designated as “—” are $0.

The accompanying notes are an integral part of the financial statements.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 391

NOTES TO FINANCIAL STATEMENTS / CONSOLIDATED NOTES TO FINANCIAL STATEMENTS

May 31, 2020

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 with 27 registered funds: Large Cap, Large Cap Disciplined Equity, Large Cap Index, S&P 500 Index, Extended Market Index, Small Cap, Small Cap II, Small/Mid Cap Equity, U.S. Equity Factor Allocation, U.S. Managed Volatility, Global Managed Volatility, World Equity Ex-US, Screened World Equity Ex-US, World Select Equity, Emerging Markets Equity, Opportunistic Income, Core Fixed Income, High Yield Bond, Long Duration, Long Duration Credit, Ultra Short Duration Bond, Emerging Markets Debt, Real Return, Limited Duration Bond, Intermediate Duration Credit, Dynamic Asset Allocation and Multi-Asset Real Return (each a “Fund,” collectively, the “Funds”) each of which are diversified Funds with the exception of the Emerging Markets Debt and Multi-Asset Real Return Funds. The Trust is registered to offer Class A shares of all Funds. The assets of each Fund are segregated, and a shareholder’s interest is limited to the Fund in which shares are held. The Trust’s prospectus provides a description of each Fund’s investment goals, principal strategies and risks.

The DAA Commodity Strategy Subsidiary, Ltd. and the MARR Commodity Strategy Subsidiary, Ltd. (the “Subsidiaries”) are wholly-owned subsidiaries of the Dynamic Asset Allocation and Multi-Asset Real Return Funds, respectively. The Subsidiaries are organized under the laws of the Cayman Islands as an exempt limited company. Information regarding the Dynamic Asset Allocation and Multi-Asset Real Return Funds and their respective subsidiary has been consolidated on the Consolidated Summary Schedule of Investments, Consolidated Schedule of Investments, Consolidated Statements of Assets and Liabilities, Consolidated Statements of Operations, Consolidated Statements of Changes in Net Assets, Consolidated Statement of Cash Flows of Multi-Asset Real Return Fund and Consolidated Financial Highlights.

2. SIGNIFICANT ACCOUNTING POLICIES

The following are significant accounting policies, which are consistently followed in the preparation of its financial statements by the Funds. The Funds are investment companies that apply the accounting and reporting guidance issued in Topic 946 by the U.S. Financial Accounting Standards Board (“FASB”).

Use of Estimates — The preparation of financial statements, in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities as of 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 (other than securities traded on National Association of Securities Dealers Automated Quotations (“NASDAQ”) or as otherwise noted below) are valued at the last quoted sale price on an exchange or market (foreign or domestic) on which the securities are traded, or, if there is no such reported sale, at the most recent quoted bid price. The Funds value securities traded on NASDAQ at the NASDAQ Official Closing Price. If available, debt securities, swaps (which are not centrally cleared), bank loans or collateralized debt obligations (including collateralized loan obligations), such as those held by the Funds, are priced based upon valuations provided by independent, third-party pricing agents. 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. Redeemable securities issued by open-end investment companies are valued at the investment company’s applicable net asset value, with the exception of ETFs, which are priced as equity securities. The prices of foreign securities are reported in local currency and converted to U.S. dollars using currency exchange rates. If a security’s price cannot be obtained, as noted above, the Funds will value the securities using a bid price from at least one independent broker. If such prices are not readily available or cannot be valued using the methodologies described above, the Funds will value the security using the Funds’ Fair Value Pricing Policies and Procedures (“Fair Value Procedures”), as described below.

On the first day a new debt security purchase is recorded, if a price is not available from a third-party pricing agent or an independent broker, the security may be valued at its purchase price. Each day thereafter, the debt security will be valued according to the Funds’ Fair Value Procedures until a price from an independent source can be secured. Securities held by a Fund with remaining maturities of 60 days or less may be valued by the amortized cost method, which involves valuing

392 SEI Institutional Investments Trust / Annual Report / May 31, 2020

a security at its cost on the date of purchase and thereafter (absent unusual circumstances) assuming a constant amortization to maturity of any discount or premium, regardless of the impact of fluctuations in general market rates of interest on the value of the instrument. While this method provides certainty in valuation, it may result in periods during which value, as determined by this method, is higher or lower than the price a Fund would receive if it sold the instrument. Further, the value of securities in the Fund can be expected to vary inversely with changes in prevailing interest rates. Should existing credit, liquidity or interest rate conditions in the relevant markets and issuer-specific circumstances suggest that amortized cost does not approximate fair value, then the amortized cost method may not be used.

Options and warrants are valued at the last quoted sales price. If there is no such reported sale on the valuation date, long positions are valued at the most recent bid price, and short positions are valued at the most recent ask price.

Futures and swaps cleared through a central clearing house (“centrally cleared swaps”) are valued at the settlement price established each day by the board of exchange on which they are traded. The daily settlement prices for financial futures and centrally cleared swaps are provided by an independent source. On days when there is excessive volume, market volatility or the future or centrally cleared swap does not end trading by the time a Fund calculates its Net Asset Value (“NAV”), the settlement price may not be available at the time at which the Fund calculates its NAV. On such days, the best available price (which is typically the last sales price) may be used to value a Fund’s futures or centrally cleared swaps position.

Foreign currency forward contracts are valued at the current day’s interpolated foreign exchange rate, as calculated using the current day’s spot rate, and the thirty, sixty, ninety and one-hundred eighty day forward rates provided by an independent source.

Prices for most securities held by a Fund are provided daily by third-party independent pricing agents. SEI Investments Management Corporation (“SIMC”) or a Sub-Adviser (“Sub-Adviser”), as applicable, reasonably believes that prices provided by independent pricing agents are reliable. However, there can be no assurance that such pricing service’s prices will be reliable. SIMC or a Sub-Adviser, as applicable, will continuously monitor the reliability of prices obtained from any pricing service and shall promptly notify the Funds’ administrator if it believes that a particular pricing service is no longer a reliable source of prices. The Funds’ administrator, in turn, will notify the Fair Value Pricing Committee

(the “Committee”) if it receives such notification from SIMC or a Sub-Adviser, as applicable, or if the Funds’ administrator reasonably believes that a particular pricing service is no longer a reliable source for prices.

The Funds’ Fair Value Procedures provide that any change in a primary pricing agent or a pricing methodology requires prior approval by the Board of Trustees (“Board”) or its designated sub-committee. However, when the change would not materially affect valuation of a Fund’s net assets or involve a material departure in pricing methodology from that of the Fund’s existing pricing agent or pricing methodology, approval may be obtained at the next regularly scheduled meeting of the Board.

Securities for which market prices are not readily available, for which market prices are determined to be unreliable, or which cannot be valued using the methodologies described above are valued in accordance with the Fair Value Procedures established by the Board. The Funds’ Fair Value Procedures are implemented through the Committee designated by the Board. The Committee is currently composed of two members of the Board, as well as representatives from SIMC and its affiliates. Some of the more common reasons that may necessitate that a security be valued using Fair Value Procedures include: (i) the security’s trading has been halted or suspended, (ii) the security has been delisted from a national exchange, (iii) the security’s primary trading market is temporarily closed at a time when under normal conditions it would be open, or (iv) 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. Examples of factors the Committee may consider include: (i) the facts giving rise to the need to fair value, (ii) the last trade price, (iii) the performance of the market or the issuer’s industry, (iv) the liquidity of the security, (v) the size of the holding in a Fund, or (vi) any other appropriate information.

The determination of a security’s fair value price often involves the consideration of a number of subjective factors, and is therefore subject to the unavoidable risk that the value assigned to a security may be higher or lower than the security’s value would be if a reliable market quotation for the security was readily available.

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 NAV. The closing prices of such securities may no longer reflect their market value at the time a Fund calculates NAV if an event that

SEI Institutional Investments Trust / Annual Report / May 31, 2020 393

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May 31, 2020

could materially affect the value of those securities (a “Significant Event”), including substantial fluctuations in domestic or foreign markets or occurrences not tied directly to the securities markets, such as natural disasters, armed conflicts or significant governmental actions, has occurred between the time of the security’s last close and the time that the Fund calculates NAV. A Fund may invest in securities that are primarily listed on foreign exchanges that trade on weekends or other days when the Fund does not price its shares. As a result, the NAV of the Fund’s shares may change on days when shareholders will not be able to purchase or redeem Fund shares.

A Significant Event may relate to a single issuer or to an entire market sector. If SIMC or a Sub-Adviser 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 Funds calculate NAV, it may request that a Committee meeting be called. In addition, the Funds use several processes, with respect to certain securities to monitor the pricing data supplied by various sources, including price comparisons and price movements. Any identified discrepancies are researched and subject to the procedures described above.

The U.S. Managed Volatility, Global Managed Volatility, World Equity Ex-US, Screened World Equity Ex-US, World Select Equity, Emerging Markets Equity, Opportunistic Income, Core Fixed Income, High Yield Bond, Emerging Markets Debt and Multi-Asset Real Return Funds that hold international securities also use a third-party fair valuation vendor. The vendor provides a fair value for foreign securities held by the 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 will value the non-U.S. securities in their portfolios that exceed the applicable “confidence interval” based upon the adjusted prices provided by the fair valuation vendor.

In accordance with U.S. GAAP, fair value is defined as the price that a Fund would receive upon selling an investment in an orderly transaction to an independent

buyer in the principal or most advantageous market of the investment. A three tier hierarchy has been established to maximize the use of observable and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing an asset. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability based on the best information available in the circumstances.

The three-tier hierarchy of inputs is summarized in the three broad Levels listed below:

Level 1 — quoted prices in active markets for identical investments

Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risks, etc.)

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

Investments are classified within the level of the lowest significant input considered in determining fair value. Investments classified within Level 3 whose fair value measurement considers several inputs may include Level 1 or Level 2 inputs as components of the overall fair value measurement.

Debt securities are valued in accordance with the evaluated bid price supplied by the pricing service and generally categorized as Level 2 in the hierarchy. Other securities that are categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, warrants, swaps and forward contracts. The Fund may use a systematic fair valuation model provided by an independent pricing service to value foreign equity securities in order to adjust for stale pricing, which may occur between the close of certain foreign exchanges and the New York Stock Exchange. These are generally categorized as Level 2 in the hierarchy.

When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. For certain collateralized debt obligations, corporate

394 SEI Institutional Investments Trust / Annual Report / May 31, 2020

obligations, mortgage backed securities, auction rate preferred securities and loan participations where observable inputs are limited, assumptions about market activity and risk are used and are categorized as Level 3 in the hierarchy.

The valuation techniques used by the Funds to measure fair value during the year ended May 31, 2020 maximized the use of observable inputs and minimized the use of unobservable inputs. For details of the investment classification, reference the Summary Schedules of Investments/Schedules of Investments.

For the year ended May 31, 2020, there have been no significant changes to the Trust’s fair valuation methodologies.

Security Transactions and Investment Income — Security transactions are recorded on the trade date. Costs used in determining net realized capital gains and losses on the sale of securities are on the basis of specific identification. Dividend income and expense is recognized on the ex-dividend date, and interest income and expense is recognized using the accrual basis of accounting. Income from payment-in-kind securities is recorded daily based on the effective interest method of accrual.

Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Trust estimates the components of distributions received that may be considered nontaxable distributions or capital gain distributions.

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. Consent fees and amendment income received from Bank Loans is recorded as interest income in the accompanying Statement of Operations.

For Treasury Inflation-Protected Securities, the principal amount is adjusted daily to keep pace with inflation. Interest is accrued based on the adjusted principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to interest in the accompanying Statements of Operations. Such adjustments may have a significant impact on a Fund’s distributions.

Cash and Cash Equivalents — Idle cash and currency balances may be swept into various overnight sweep accounts and are classified as cash and cash equivalents on the Statement of Assets and Liabilities/ Consolidated Statement of Assets and Liabilities and

Consolidated Statement of Cash Flows. These amounts, at times, may exceed United States federally insured limits. Amounts swept are available on the next business day.

Cash Equivalents, as shown on the Summary Schedule of Investments or Schedule of Investments, are classified as Investments on the Statements of Assets and Liabilities.

Repurchase Agreements — Securities pledged as collateral for repurchase agreements are held by each Fund’s custodian bank until the repurchase date of the repurchase agreement. The Funds may also invest in tri-party repurchase agreements. Securities held as collateral for tri-party repurchase agreements are maintained by the broker’s custodian bank in a segregated account until the repurchase date of the repurchase agreement. Provisions of the repurchase agreements and the Trust’s policies require that the market value of the collateral, including accrued interest thereon, is sufficient in the event of default by the counterparty. If the counterparty defaults and the value of the collateral declines, or if the counterparty enters into an insolvency proceeding, realization of the collateral by the Funds may be delayed or limited.

Reverse Repurchase Agreements — To the extent consistent with its Investment Objective and Strategies, a Fund may enter into 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. Assets are then segregated to cover the requirements to repurchase the assets. 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, a Fund’s use of the proceeds under the reverse repurchase agreement may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the obligation to repurchase the securities. Refer to each Fund’s Schedule of Investments, Summary Schedule of Investments, Consolidated Summary Schedule of Investments or Consolidated Schedule of Investments for details regarding open reverse repurchase agreements as of May 31, 2020, if applicable.

Expenses — Expenses that are directly related to a Fund are charged directly to that Fund. Other operating expenses of the Funds are prorated to the Funds on the basis of relative net assets.

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May 31, 2020

Commodity-Linked Investments — To the extent consistent with its Investment Objective and Strategies, the Dynamic Asset Allocation and Multi-Asset Real Return Funds may invest in commodity investments to provide exposure to the investment returns of the commodities markets. Commodity investments include notes with interest payments that are tied to an underlying commodity or commodity index, ETFs or other exchange-traded products that are tied to the performance of a commodity or commodity index or other types of commodities or commodity indices. The Dynamic Asset Allocation and Multi-Asset Real Return Funds may also invest in equity securities of issuers in commodity-related industries.

The Dynamic Asset Allocation and Multi-Asset Real Return Funds may also seek to gain exposure to the commodity markets, in whole or in part, through investments in a wholly owned Subsidiary. The Subsidiary, unlike the Fund, may invest to a significant extent directly in commodities and in equity-linked securities and commodity-linked derivative instruments, including options, futures contracts, swaps, options on futures contracts and commodity-linked structured notes. The Subsidiary may also invest in other instruments in which the Fund is permitted to invest, either as investments or to serve as margin or collateral for its derivative positions. A Fund may invest up to 25% of its total assets in its Subsidiary.

In order for a Fund to qualify as a regulated investment company under Subchapter M of the Code, the Fund must derive at least 90% of its gross income each taxable year from qualifying income. The status of certain commodity-linked derivative instruments as qualifying income has been addressed in Revenue Ruling 2006-1 and Revenue Ruling 2006-31 which provide that income from certain commodity-linked derivative instruments in which the Fund invests will not be considered qualifying income. To the extent the Dynamic Asset Allocation and Multi-Asset Real Return Funds invest in such instruments directly, each Fund will seek to restrict its income from commodity-linked derivative instruments that do not generate qualifying income, such as commodity-linked swaps, to a maximum of 10% of its gross income (when combined with its other investments that produce non-qualifying income).

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 that is due to changes in the foreign exchange rates from that which is due to changes in market prices of investments.

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 — To the extent consistent with its Investment Objective and Strategies, a Fund may enter into forward foreign currency contracts as hedges against either specific transactions, fund positions or anticipated fund positions. A Fund may also engage in currency transactions to enhance that Fund’s returns. All commitments are marked-to-market daily at the applicable foreign exchange rate, and any resulting unrealized gains or losses are recorded currently. A Fund realizes 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.

A Fund 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 Statements of Assets and Liabilities or Consolidated Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments, Summary Schedule of Investments, Consolidated Schedule of Investments or Consolidated Summary Schedule of Investments for details regarding open forward foreign currency contracts as of May 31, 2020, if applicable.

Futures Contracts — To the extent consistent with its Investment Objective and Strategies, a Fund may use futures contracts for tactical hedging purposes as well as to enhance the Fund’s returns. In addition, fixed income funds will utilize futures contracts to help manage duration and yield curve exposure. These Funds’ investments in futures contracts are designed to enable the Funds to more closely approximate the performance of their benchmark indices. 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 gains or losses are incurred. When contracts are closed, the Funds record a realized gain

396 SEI Institutional Investments Trust / Annual Report / May 31, 2020

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, futures contracts involve the risk that a 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 Statements of Assets and Liabilities or Consolidated Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments, Summary Schedule of Investments, Consolidated Summary Schedule of Investments or Consolidated Schedule of Investments for details regarding open futures contracts as of May 31, 2020, if applicable.

Master Limited Partnerships — Investments in units of master limited partnerships (“MLPs”) involve risks that differ from an investment in common stock. Holders of the units of master limited partnerships have more limited control and limited rights to vote on matters affecting the partnership. There are also certain tax risks associated with an investment in units of master limited partnerships. In addition, conflicts of interest may exist between common unit holders, subordinated unit holders and the general partner of a master limited partnership, including a conflict arising as a result of incentive distribution payments. The benefit a Fund derives from investment in MLP units is largely dependent on the MLPs being treated as partnerships and not as corporations for federal income tax purposes. If an MLP were classified as a corporation for federal income tax purposes, there would be reduction in the after-tax return to a Fund of distributions from the MLP, likely causing a reduction in the value of a Fund’s shares. MLP entities are typically focused in the energy, natural resources and real estate sectors of the economy. A downturn in the energy, natural resources or real estate sectors of the economy could have an adverse impact on a Fund. At times, the performance of securities of companies in the energy, natural resources and real estate sectors of the economy may lag the performance of other sectors or the broader market as a whole. Refer to each Fund’s Schedule of Investments or Consolidated Summary Schedule of Investments for details regarding Master Limited Partnerships, if applicable.

Options/Swaptions Writing/Purchasing — To the extent consistent with its Investment Objective and Strategies, a Fund may invest in financial options/swaptions

contracts for the purpose of hedging its existing portfolio securities, or securities that a Fund intends to purchase, against fluctuations in fair market value caused by changes in prevailing market interest rates. A Fund may also invest in financial option/swaption contracts to enhance its returns. When the 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 World Select Equity, Core Fixed Income, Dynamic Asset Allocation and Multi-Asset Real Return Funds had options/swaption contracts as of May 31, 2020, as disclosed in the Funds’ Schedule of Investments or Consolidated Summary Schedule of Investments.

The risk in writing a call option/swaption is a Fund may give up the opportunity for profit if the market price of the security increases. The risk in writing a put option/swaption is a Fund may incur a loss if the market price of the security decreases and the option/swaption is exercised. The risk in purchasing an option/swaption is a Fund may pay a premium whether or not the option/swaption is exercised. The Funds also have the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. Option/swaption contracts also involve the risk that they may not work as intended due to unanticipated developments in market conditions or other causes.

Finally, the risk exists that losses on written options could exceed amounts disclosed on the Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments or Consolidated Summary Schedule of Investments for details regarding open option/swaption contracts as of May 31, 2020, if applicable.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 397

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May 31, 2020

Securities Sold Short—To the extent consistent with its Investment Objective and Strategies, a Fund may engage in short sales. Short sales are transactions under which a Fund sells a security it does not own. To complete such a transaction, a Fund must borrow the security to make delivery to the buyer. A 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 a Fund. Until the security is replaced, a Fund is required to pay the lender amounts equal to any dividends or interest that accrue during the period of the loan. Dividends and interest are shown as an expense for financial reporting purposes. To borrow the security, a Fund also may be required to pay a premium, which would decrease proceeds of the security sold. The proceeds of the short sale are retained by the broker, to the extent necessary to meet margin requirements, until the short position is closed out. A gain, limited to the price at which a Fund sold the security short, or a loss, unlimited in size, will be recognized upon the close of a short sale.

Until a Fund closes its short position or replaces the borrowed security, the Fund will: (i) earmark on the books of the Fund or place in a segregated account cash or liquid securities at such a level that the amount earmarked or deposited in the segregated account plus the amount deposited with the broker as collateral will equal the current value of the security sold short; or (ii) otherwise “cover” the Fund’s short position as required by the 1940 Act. Refer to each Fund’s Schedule of Investments, Summary Schedule of Investments, Consolidated Summary Schedule of Investments or Consolidated Schedule of Investments for details regarding securities sold short as of May 31, 2020, if applicable.

Swap Agreements — To the extent consistent with its Investment Objective and Strategies, a Fund may invest in swap contracts as an efficient means to synthetically obtain exposure to securities or baskets of securities and to manage a Fund’s interest rate duration and yield curve exposure. Swap contracts may also be used to mitigate a Fund’s overall level of risk and/or a Fund’s risk to particular types of securities, currencies or market segments. Interest rate swaps may further be used to manage a Fund’s yield spread sensitivity. A Fund may buy credit default swaps in an attempt to manage credit risk where a Fund has credit exposure to an issuer, and a Fund may sell credit default swaps to more efficiently gain credit exposure to a security or basket of securities. 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. Swap agreements are privately negotiated in the over-the-counter market (“OTC swaps”) or may be executed in a multilateral or other trade facility platform, such as a registered commodities exchange (“Centrally Cleared swaps”). 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. Credit-default swaps involve periodic payments by a Fund or counterparty 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 recovery rate used to settle the contracts. The recovery rate is a function of how many credit default swap investors wish to deliver the security or receive the security. The recovery rate is determined through an auction process. Total return swaps allow an investor to benefit from the cash flow without ever actually owning the underlying security. The receiver must pay any decline in value to the payer at the end of the total return swap. However, the investor does not need to make a payment if there is no decline in price. Payments can be made on various indices, bonds (i.e. mortgage backed securities, bank debt and corporate), loans or commodities. The value of a total return swap is equal to the change in value of the underlying asset versus the accrued income payment based on LIBOR or some other form of indices on the notional amount. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal to manage a Fund’s exposure to interest rates. Payments received or made are recorded as realized gains or loss. A Fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. Risk of loss may exceed amounts recognized on the Statements of Assets and Liabilities or Consolidated Statements of Assets and Liabilities. Interest rate swap contracts outstanding at period end, if any, are listed after a Fund’s portfolio. In connection with swap agreements securities may be set aside as collateral by a Fund’s custodian.

Swaps are marked-to-market daily based upon quotations from market makers and the resulting

398 SEI Institutional Investments Trust / Annual Report / May 31, 2020

changes in market values, if any, are recorded as an unrealized gain or loss on the Statements of Operations or Consolidated Statements of Operations. Net payments of interest are recorded as realized gains or losses. Daily changes in valuation of Centrally Cleared swaps, if any, are recorded as a receivable or payable for the change in value as appropriate (“variation margin”) on the Statements of Assets and Liabilities or Consolidated Statements of Assets and Liabilities.

Entering into swap agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Statements of Assets and Liabilities or Consolidated Statements 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.

This risk is mitigated by having a master netting arrangement between a Fund and the counterparty and by having the counterparty post collateral to cover a Fund’s exposure to the counterparty. See Note 3 for further details. Refer to each Fund’s Schedule of Investments, Summary Schedule of Investments, Consolidated Summary Schedule of Investments or Consolidated Schedule of Investments for details regarding open swap agreements as of May 31, 2020, if applicable.

Forward Treasury Commitments — To the extent consistent with its Investment Objective and Strategies, a Fund may invest in commitments to purchase U.S. Treasury securities on an extended settlement basis. Such transactions involve the commitment to purchase a security with payment and delivery taking place in the future, sometimes a month or more after the transaction date. The Funds account for such transactions as purchases and sales and record an unrealized gain or loss each day equal to the difference between the cost of the purchase commitment and the current market value. Realized gains or losses are recorded upon closure or settlement of such commitments. No interest is earned prior to settlement of the transaction. These instruments are subject to market fluctuation due to changes in interest rates and the market value at the time of settlement could be higher or lower than the purchase price. A Fund may incur losses due to changes in the value of the underlying treasury securities from interest rate fluctuations or as a result of counterparty nonperformance.

Delayed Delivery Transactions — To the extent consistent with its Investment Objective and Strategies, a Fund 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 Funds may dispose of or renegotiate a delayed delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a capital gain or loss. When 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.

Participation Notes (P-Notes) — To the extent consistent with its Investment Objective and Strategies, a Fund may acquire P-Notes issued by participating banks or broker-dealers. P-Notes are participation interest notes that are designed to offer a return linked to a particular underlying equity, debt, currency or market. The P-Notes in which the Fund may invest will typically have a maturity of one year. When purchasing a P-Note, the posting of margin is not required because the full cost of the P-Note (plus commission) is paid at the time of purchase. When the P-Note matures, the issuer will pay to, or receive from, the purchaser the difference between the minimal value of the underlying instrument at the time of purchase and that instrument’s value at maturity. Investments in P-Notes involve the same risks associated with a direct investment in the underlying foreign companies of foreign securities markets that they seek to replicate.

In addition, there can be no assurance that the trading price of P-Notes will equal the underlying value of the foreign companies or foreign securities markets that they seek to replicate. The holder of a participation note that is linked to a particular underlying security is entitled to receive any dividends paid in connection with an underlying security or instrument. However, the holder of a participation note does not receive voting rights as it would if it directly owned the underlying security or instrument. P-Notes are generally traded over-the-counter. P-Notes constitute general unsecured contractual obligations of the banks or broker-dealers that issue them and the counterparty. There is also counterparty risk associated with these investments because the Fund is relying on the creditworthiness of such counterparty and has no rights under a participation note against the issuer of the underlying

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May 31, 2020

security. In addition, the Fund will incur transaction costs as a result of investments in P-Notes.

Loan Participations and Brady Bonds — To the extent consistent with its Investment Objective and Strategies, a Fund may invest in Loan Participations. Loan Participations include fixed and floating rate loans that are privately negotiated between a corporate borrower and one or more financial institutions, including, but not limited to, term loans, revolvers, and other instruments issued in the bank loan market. Each Fund may acquire interests in loans directly (by way of assignment from the selling institution) or indirectly (by way of the purchase of a participation interest from the selling institution). Under a bank loan assignment, a Fund generally will succeed to all the rights and obligations of an assigning lending institution and becomes a lender under the loan agreement with the relevant borrower in connection with that loan. Under bank loan participation, the Fund generally will have a contractual relationship only with the lender, not with the relevant borrower. As a result, a Fund generally will have the right to receive payments of principal, interest, and any fees to which it is entitled only from the lender selling the participation and only upon receipt by the lender of the payments from the relevant borrower. The Fund may not directly benefit from the collateral supporting the debt obligation in which it has purchased the participation. As a result, a Fund will assume the credit risk of both the borrower and the institution selling the participation to the Fund. The interest rate indicated in the Fund’s Schedule of Investments is the rate in effect at May 31, 2020. Pursuant to the terms of certain loan agreements, the Funds may hold unfunded commitments in loan participations which are disclosed on the Statement of Assets and Liabilities. Unfunded commitments represent the remaining obligation of the Fund to the borrower. At any point in time, up to the maturity date of the issue, the borrower may demand the unfunded portion. Unfunded amounts, if any, are marked to market and any unrealized gains or losses are recorded in the Statement of Assets and Liabilities. The Funds disclosed consent fees and amendment income in the Statement of Operations as “Interest income”.

Certain debt obligations, customarily referred to as “Brady Bonds,” are created through the exchange of existing commercial bank loans to foreign entities for new obligations in connection with debt restructuring under a plan introduced by former U.S. Secretary of the Treasury Nicholas F. Brady. Brady Bonds have only been issued since 1989, and, accordingly, do not have a long payment history. They are issued by governments

that may have previously defaulted on the loans being restructured by the Brady Bonds, so they are subject to the risk of default by the issuer. They may be fully or partially collateralized or uncollateralized and issued in various currencies.

Collateralized Debt Obligations — To the extent consistent with its Investment Objective and Strategies, a Fund 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.

Dividends and Distributions to Shareholders — Dividends from net investment income are declared and paid to shareholders quarterly for the Large Cap, Large Cap Disciplined Equity, Large Cap Index, S&P 500 Index, Extended Market Index, Small Cap, Small Cap II, Small/Mid Cap Equity, U.S. Equity Factor Allocation, U.S. Managed Volatility, Opportunistic Income, Emerging Markets Debt and Real Return Funds; declared daily and paid monthly for the Core Fixed Income, High Yield Bond, Long Duration, Long Duration Credit, Ultra Short Duration Bond and Intermediate Duration Credit Funds; declared and paid at least annually for the Global Managed Volatility, World Equity Ex-US, Screened World Equity Ex-US, World Select Equity, Emerging Markets Equity, Limited Duration Bond, Dynamic Asset Allocation and Multi-Asset Real Return Funds. Dividends and distributions are recorded on the ex-dividend date. Any net realized capital gains will be distributed at least annually by the Funds.

Illiquid Securities — A security is considered illiquid if it cannot be sold or disposed of in the ordinary course of business within seven days or less for its approximate carrying value on the books of a Fund. Valuations of illiquid securities may differ significantly from the values that would have been used had an active market value for these securities existed.

Restricted Securities — As of May 31, 2020, the following Fund owned private placement investments that were purchased through private offerings or acquired through initial public offerings and cannot be sold without prior

400 SEI Institutional Investments Trust / Annual Report / May 31, 2020

registration under the Securities Act of 1933 or pursuant to an exemption therefrom. In addition, this Fund has generally agreed to further restrictions on the disposition of certain holdings as set forth in various agreements entered into in connection with the purchase of these private placement investments. The acquisition dates of these investments, the enforceable right to acquire these private placement investments, along with the cost and values at May 31, 2020, were as follows:

Face Amount

Acquisition

Right to

Cost

Market Value

% of Net

($ Thousands)

Date

Acquire Date

($ Thousands)

($ Thousands)

Assets

High Yield Bond Fund

Aventine (Escrow Security)

2,600

11/30/2010

11/30/2010

$0

$0

0.00%

Investments in Real Estate Investment Trusts (“REITs”) — With respect to the Funds, with the exception of the World Equity Ex-US, Screened World Equity Ex-US and Real Return Funds, 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.

Investment in Subsidiary — The Dynamic Asset Allocation and Multi-Asset Real Return Funds may invest in their own Subsidiary. By investing in its Subsidiary, each Fund is indirectly exposed to the risks associated with the Subsidiary’s investments. The commodity-related instruments held by a Subsidiary are generally similar to those that are permitted to be held by the applicable Fund and are subject to the same risks that apply to similar investments if held directly by the Fund. A Subsidiary, however, is not registered under the 1940 Act and will not be subject to all of the investor protections of the 1940 Act. Thus, the Dynamic Asset Allocation and Multi-Asset Real Return Funds, as investors in their own Subsidiary, will not have all of the protections offered to investors in registered investment companies.

However, each Fund wholly owns and controls its respective Subsidiary, and the Funds and the Subsidiaries are all managed by SIMC, making it unlikely that the Subsidiary will take action contrary to the interests of the applicable Fund or its shareholders. While a Subsidiary has its own Board of Directors (“Board”) that is responsible for overseeing the operations of such Subsidiary, the respective Fund’s Board has oversight responsibility for the investment activities of the Fund, including its investment in the respective Subsidiary, and the Fund’s role as the sole shareholder of such Subsidiary. It is not currently expected that shares of the Subsidiary will be sold or offered to investors other than the respective Fund.

Changes in the laws of the United States and/or the Cayman Islands or governmental interpretation of such laws, under which the Fund and the Subsidiary, respectively, are organized, could result in the inability of the Fund and/or its respective Subsidiary to operate as intended and could negatively affect the Fund and its shareholders. For example, Cayman Islands law does not currently impose any income, corporate or capital gains tax, estate duty, inheritance tax, gift tax or withholding tax on the Subsidiaries. If Cayman Islands law changes such that the Subsidiaries must pay Cayman Islands governmental authority taxes, Fund shareholders would likely suffer decreased investment return.

3. CREDIT DERIVATIVES

A Fund may use credit default swaps to reduce risk where a Fund has exposure to the issuer, or to take an active long or short position with respect to the likelihood of an event of default. The reference obligation of the swap can be a single issuer, a “basket” of issuers, or an index. The underlying referenced assets are corporate debt, sovereign debt and asset backed securities.

The buyer of a credit default swap is generally obligated to pay the seller a periodic stream of payments over the term of the contract in return for a contingent payment upon the occurrence of a credit event with respect to an underlying reference obligation. Generally, a credit event for corporate or sovereign reference obligations means bankruptcy, failure to pay, obligation acceleration, repudiation/moratorium or restructuring. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down.

If a Fund is a seller of protection, and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will generally either (i) pay to the buyer an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations, or underlying securities comprising a referenced index or (ii) pay a net settlement amount in the form of cash or securities equal

SEI Institutional Investments Trust / Annual Report / May 31, 2020 401

NOTES TO FINANCIAL STATEMENTS / CONSOLIDATED NOTES TO FINANCIAL STATEMENTS (Continued)

May 31, 2020

to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising a referenced index.

If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash

or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.

As of May 31, 2020, the Multi-Asset Real Return Fund is the buyer (“receiving protection”) on a total notional amount of $143.1 million. Additionally, the Core Fixed Income, High Yield Bond, Emerging Markets Debt and Multi-Asset Real Return Funds are the sellers (“providing protection”) on a total notional amount of $256.8 million, $2.8 million, $2.8 million and $22.5 million, respectively. The notional amounts of the swaps are not recorded in the financial statements; however the notional amounts approximate the maximum potential amount of future payments that the Fund could be required to make if the Fund was the seller of protection and a credit event were to occur. Those credit default swaps (“CDS”) for which the Fund is providing protection at balance sheet date are summarized as follows:

Core Fixed Income Fund
Written Credit Derivative Contracts	Single Name CDS				CDS Index
Reference Asset	Corp US$		Sovereign US$		ABS US$		Corp US$		Total
Fair value of written credit derivatives	$	—	$	—	$	—	$	2,683,184	$	2,683,184
Maximum potential amount of future payments		—		—		—		256,820,000		256,820,000
Recourse provisions with the third parties any amounts paid under the credit derivative (including any purchased credit protection)(1)		—		—		—		—		—
Collateral held by the Fund or other third parties which the Fund can obtain upon occurrence of triggering event		—		—		—		—		—

(1) Potential recoveries would include purchased credit derivatives to the extent they offset written credit derivatives which have an identical underlying, or a netting arrangement or credit support annex with the counterparty. There may be other potential recoveries from recourse provisions where agreements cover multiple derivative arrangements but those amounts have not been included.

Maximum Potential Amount of Future Payments by Contract Term

	0-6 Months		6-12 Months		1-5 Years		5-10 Years		>10 Years		Total
Current credit spread* on underlying (in basis points)
0-100	$	—	$	—	$	—	$	256,820,000	$	—	$	256,820,000
Greater than 100		—		—		—		—		—		—
Total	$	—	$	—	$	—	$	256,820,000	$	—	$	256,820,000

* The credit spread on the underlying asset is generally indicative of the current status of the underlying risk of the Fund having to perform. The spread also reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into a contract. Higher credit spreads with a shorter contract term is indicative of a higher likelihood of performance by the Fund.

High Yield Bond Fund
Written Credit Derivative Contracts	Single Name CDS				CDS Index
Reference Asset	Corp US$		Sovereign US$		ABS US$		Corp US$		Total
Fair value of written credit derivatives	$	—	$	—	$	—	$	(54,496)	$	(54,496)
Maximum potential amount of future payments		—		—		—		2,839,000		2,839,000
Recourse provisions with the third parties any amounts paid under the credit derivative (including any purchased credit protection)(1)		—		—		—		—		—
Collateral held by the Fund or other third parties which the Fund can obtain upon occurrence of triggering event		—		—		—		—		—

(1) Potential recoveries would include purchased credit derivatives to the extent they offset written credit derivatives which have an identical underlying, or a netting arrangement or credit support annex with the counterparty. There may be other potential recoveries from recourse provisions where agreements cover multiple derivative arrangements but those amounts have not been included.

Maximum Potential Amount of Future Payments by Contract Term

	0-6 Months	6-12 Months	1-5 Years	5-10 Years	>10 Years	Total
Current credit spread* on underlying (in basis points)

402 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Maximum Potential Amount of Future Payments by Contract Term

0-100	$	—	$	—	$	—	$	—	$	—	$	—
101-200		—		—		—		—		—		—
201-300		—		—		—		—		—		—
301-400		—		—		—		—		—		—
Greater than 400		—		—		1,839,000		1,000,000		—		2,839,000
Total	$	—	$	—	$	1,839,000	$	1,000,000	$	—	$	2,839,000

* The credit spread on the underlying asset is generally indicative of the current status of the underlying risk of the Fund having to perform. The spread also reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into a contract. Higher credit spreads with a shorter contract term is indicative of a higher likelihood of performance by the Fund.

Emerging Markets Debt
Written Credit Derivative Contracts	Single Name CDS				CDS Index
Reference Asset	Corp US$		Sovereign US$		ABS US$		Corp US$		Total
Fair value of written credit derivatives	$	—	$	(1,887,498)	$	—	$	—	$	(1,887,498)
Maximum potential amount of future payments		—		2,768,900		—		—		2,768,900
Recourse provisions with the third parties any amounts paid under the credit derivative (including any purchased credit protection)(1)		—		—		—		—		—
Collateral held by the Fund or other third parties which the Fund can obtain upon occurrence of triggering event		—		—		—		—		—

(1) Potential recoveries would include purchased credit derivatives to the extent they offset written credit derivatives which have an identical underlying, or a netting arrangement or credit support annex with the counterparty. There may be other potential recoveries from recourse provisions where agreements cover multiple derivative arrangements but those amounts have not been included.

Maximum Potential Amount of Future Payments by Contract Term

	0-6 Months		6-12 Months		1-5 Years		5-10 Years		>10 Years		Total
Current credit spread* on underlying (in basis points)
0-100	$	—	$	—	$	—	$	—	$	—	$	—
101-200		—		—		—		—		—		—
201-300		—		—		—		—		—		—
301-400		—		—		—		—		—		—
Greater than 400		—		—		2,768,900		—		—		2,768,900
Total	$	—	$	—	$	2,768,900	$	—	$	—	$	2,768,900

* The credit spread on the underlying asset is generally indicative of the current status of the underlying risk of the Fund having to perform. The spread also reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into a contract. Higher credit spreads with a shorter contract term is indicative of a higher likelihood of performance by the Fund.

Multi-Asset Real Return Fund
Written Credit Derivative Contracts	Single Name CDS				CDS Index
Reference Asset	Corp US$		Sovereign US$		ABS US$		Corp US$		Total
Fair value of written credit derivatives	$	—	$	—	$	(7,798,631)	$	—	$	(7,798,631)
Maximum potential amount of future payments		—		—		22,464,000		—		22,464,000
Recourse provisions with the third parties any amounts paid under the credit derivative (including any purchased credit protection)(1)		—		—		—		—		—
Collateral held by the Fund or other third parties which the Fund can obtain upon occurrence of triggering event		—		—		—		—		—

(1) Potential recoveries would include purchased credit derivatives to the extent they offset written credit derivatives which have an identical underlying, or a netting arrangement or credit support annex with the counterparty. There may be other potential recoveries from recourse provisions where agreements cover multiple derivative arrangements but those amounts have not been included.

Maximum Potential Amount of Future Payments by Contract Term

	0-6 Months	6-12 Months	1-5 Years	5-10 Years	>10 Years	Total
Current credit spread* on underlying (in basis points)

SEI Institutional Investments Trust / Annual Report / May 31, 2020 403

NOTES TO FINANCIAL STATEMENTS / CONSOLIDATED NOTES TO FINANCIAL STATEMENTS (Continued)

May 31, 2020

Maximum Potential Amount of Future Payments by Contract Term

0-100	$	—	$	—	$	—	$	—	$	—	$	—
101-200		—		—		—		—		—		—
201-300		—		—		—		—		—		—
301-400		—		—		—		—		—		—
Greater than 400		—		—		—		—		22,464,000		22,464,000
Total	$	—	$	—	$	—	$	—	$	22,464,000	$	22,464,000

* The credit spread on the underlying asset is generally indicative of the current status of the underlying risk of the Fund having to perform. The spread also reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into a contract. Higher credit spreads with a shorter contract term is indicative of a higher likelihood of performance by the Fund.

The credit spread disclosed above for each reference obligation where the Fund is the seller of protection is a representation of the current payment/performance risk of the swap.

4. DERIVATIVE TRANSACTIONS

The following tables include only Funds that had exposure to more than one type of risk on derivatives held throughout the year. For Funds that held derivatives throughout the period with only one type of risk exposure, additional information can be found on the Schedule of Investments, Consolidated Summary Schedule of Investments or Consolidated Schedule of Investments and the Statements of Operations or Consolidated Statements of Operations.

The fair value of derivative instruments as of May 31, 2020 was as follows ($ Thousands):

	Asset Derivatives			Liability Derivatives
	Statements of Assets and Liabilities/ Consolidated Statement of Assets and Liabilities Location	Fair Value		Statements of Assets and Liabilities/ Consolidated Statement of Assets and Liabilities Location	Fair Value
U.S. Managed Volatility Fund
Equity contracts	Net Assets — Unrealized appreciation on futures contracts	$	988*	Net Assets — Unrealized depreciation on futures contracts	$	—*
Foreign exchange contracts	Unrealized gain on forward foreign currency contracts		—	Unrealized loss on forward foreign currency contracts		—
Total derivatives not accounted for as hedging instruments		$	988		$	—
Global Managed Volatility Fund
Equity contracts	Net Assets — Unrealized appreciation on futures contracts	$	1,588*	Net Assets — Unrealized depreciation on futures contracts	$	—*
Foreign exchange contracts	Unrealized gain on forward foreign currency contracts		22	Unrealized loss on forward foreign currency contracts		4,910
Total derivatives not accounted for as hedging instruments		$	1,610		$	4,910
World Equity Ex-US Fund
Equity contracts	Net Assets — Unrealized appreciation on futures contracts	$	5,143*	Net Assets — Unrealized depreciation on futures contracts	$	—*
Foreign exchange contracts	Unrealized gain on forward foreign currency contracts		1,650	Unrealized loss on forward foreign currency contracts		4,398
Total derivatives not accounted for as hedging instruments		$	6,793		$	4,398

404 SEI Institutional Investments Trust / Annual Report / May 31, 2020

	Asset Derivatives			Liability Derivatives
	Statements of Assets and Liabilities/ Consolidated Statement of Assets and Liabilities Location	Fair Value		Statements of Assets and Liabilities/ Consolidated Statement of Assets and Liabilities Location	Fair Value
Screened World Select Equity Ex-US Fund
Equity contracts	Net Assets — Unrealized appreciation on futures contracts	$	47*	Net Assets — Unrealized depreciation on futures contracts	$	7*
Foreign exchange contracts	Unrealized gain on forward foreign currency contracts		—	Unrealized loss on forward foreign currency contracts		27
Total derivatives not accounted for as hedging instruments		$	47		$	34
World Select Equity Fund
Equity contracts	Net Assets — Unrealized appreciation on futures contracts	$	7,942*	Net Assets — Unrealized depreciation on futures contracts	$	5,429*
Foreign exchange contracts	Unrealized gain on forward foreign currency contracts		1,617	Unrealized loss on forward foreign currency contracts		1,341
	Options purchased, at value		92	Options written, at value		—
Total derivatives not accounted for as hedging instruments		$	9,651		$	6,770
Core Fixed Income Fund
Interest rate contracts	Net Assets — Unrealized appreciation on futures contracts	$	3,683*	Net Assets — Unrealized depreciation on futures contracts	$	3,085*
	Net Assets — Unrealized appreciation on swap contracts		2,207†	Net Assets — Unrealized depreciation on swap contracts		25,489†
	Options purchased, at value		467	Options written, at value		798
	Swaptions purchased, at value		2	Swaptions written, at value		—
Credit contracts	Net Assets — Unrealized appreciation on swap contracts		3,297†	Net Assets — Unrealized depreciation on swap contracts		—†
Foreign exchange contracts	Unrealized gain on forward foreign currency contracts		512	Unrealized loss on forward foreign currency contracts		596
Total derivatives not accounted for as hedging instruments		$	10,168		$	29,968
High Yield Bond Fund
Credit contracts	Net Assets — Unrealized appreciation on swap contracts	$	23†	Net Assets — Unrealized depreciation on swap contracts	$	21†
Total derivatives not accounted for as hedging instruments		$	23		$	21
Emerging Markets Debt Fund
Interest rate contracts	Net Assets — Unrealized appreciation on swaps contracts	$	8,398†	Net Assets — Unrealized depreciation on swap contracts	$	4,182†
	Net Assets — Unrealized appreciation on future contracts		2,479*	Net Assets — Unrealized depreciation on future contracts		131*
Credit contracts	Net Assets — Unrealized appreciation on swap contracts		—†	Net Assets — Unrealized depreciation on swap contracts		1,999†
Foreign exchange contracts	Unrealized gain on forward foreign currency contracts		16,308	Unrealized loss on forward foreign currency contracts		21,096
	Net Assets — Unrealized appreciation on swap contracts		40	Net Assets — Unrealized depreciation on swap contracts		136†
	Options purchased, at value		29	Options written, at value		—
Total derivatives not accounted for as hedging instruments		$	27,254		$	27,544

SEI Institutional Investments Trust / Annual Report / May 31, 2020 405

NOTES TO FINANCIAL STATEMENTS / CONSOLIDATED NOTES TO FINANCIAL STATEMENTS (Continued)

May 31, 2020

	Asset Derivatives			Liability Derivatives
	Statements of Assets and Liabilities/ Consolidated Statement of Assets and Liabilities Location	Fair Value		Statements of Assets and Liabilities/ Consolidated Statement of Assets and Liabilities Location	Fair Value
Dynamic Asset Allocation Fund
Interest rate contracts	Swaptions purchased, at value	$	11,124	Swaptions written, at value	$	—
Commodity contracts	Net Assets — Unrealized appreciation			Net Assets — Unrealized depreciation
	on swap contracts		17,846†	on swap contracts		†
Equity contracts	Net Assets — Unrealized appreciation			Net Assets — Unrealized depreciation
	on futures contracts		8,506*	on futures contracts		—*
Foreign exchange contracts	Unrealized gain on forward foreign			Unrealized loss on forward foreign
	currency contracts		250	currency contracts		43
	Options purchased, at value		2,039	Options written, at value		—
Total derivatives not accounted for as hedging instruments		$	39,765		$	43
Multi-Asset Real Return Fund
Interest rate contracts	Net Assets — Unrealized appreciation			Net Assets — Unrealized depreciation
	on futures contracts	$	118*	on futures contracts	$	394*
	Net Assets — Unrealized appreciation			Net Assets — Unrealized depreciation
	on swap contracts		1,795†	on swap contracts		5,325†
	Swaptions purchased, at value		500	Swaptions written, at value		188
Equity contracts	Net Assets — Unrealized appreciation			Net Assets — Unrealized depreciation
	on futures contracts		—*	on futures contracts		6,627*
Credit contracts	Net Assets — Unrealized appreciation			Net Assets — Unrealized depreciation
	on swaps contracts		893†	on swaps contracts		7,297†
Commodity contracts	Net Assets — Unrealized appreciation			Net Assets — Unrealized depreciation
	on futures contracts		4,593*	on futures contracts		2,835*
	Net Assets — Unrealized appreciation			Net Assets — Unrealized depreciation
	on swap contracts		91†	on swap contracts		—†
	Options purchased, at value		535	Options written, at value		270
Foreign exchange contracts	Unrealized gain on forward foreign			Unrealized loss on forward foreign
	currency contracts		73	currency contracts		244
Total derivatives not accounted for as hedging instruments		$	8,598		$	23,180

* Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedules of Investments, Consolidated Summary Schedule of Investments or Consolidated Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities or Consolidated Statements of Assets and Liabilities.

† Includes cumulative appreciation/depreciation of swap contracts as reported in the Schedules of Investments, Consolidated Summary Schedule of Investments or Consolidated Schedule of Investments. Market Value is reported within the Statements of Assets and Liabilities or Consolidated Statements of Assets and Liabilities for swap contracts that have paid premiums.

The effect of derivative instruments on the Statements of Operations or Consolidated Statements of Operations for the year ended May 31, 2020.

Amount of realized gain or (loss) on derivatives recognized in income ($ Thousands):

Derivatives Not Accounted for as Hedging Instruments	Swaptions		Options		Futures		Forward Currency Contracts		Swaps		Total
U.S. Managed Volatility Fund
Foreign exchange contracts		$—		$—		$—		$(8)		$—		$(8)
Equity contracts		—		—		(1,449)		—		—		(1,449)
Total		$—		$—		$(1,449)		$(8)		$—		$(1,457)
Global Managed Volatility Fund
Foreign exchange contracts		$—		$—		$—		$15,008		$—		$15,008
Equity contracts		—		—		4,501		—		—		4,501
Total		$—		$—		$4,501		$15,008		$—		$19,509

406 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Derivatives Not Accounted for as Hedging Instruments	Swaptions		Options		Futures		Forward  Currency  Contracts		Swaps		Total
World Equity Ex-US Fund
Foreign exchange contracts		$—		$—		$—		$4,554		$—		$4,554
Equity contracts		—		—		(1,743)		—		—		(1,743)
Total		$—		$—		$(1,743)		$4,554		$—		$2,811
Screened World Select Equity Ex-US Fund
Interest rate contracts		$—		$—		$—		$3		$—		$3
Equity contracts		—		—		(202)		—		—		(202)
Total		$—		$—		$(202)		$3		$—		$(199)
World Select Equity Fund
Foreign exchange contracts		$—		$(3,003)		$—		$(1,577)		$—		$(4,580)
Equity contracts		—		—		7,167		—		—		7,167
Total		$—		$(3,003)		$7,167		$(1,577)		$—		$2,587
Core Fixed Income Fund
Interest rate contracts		$29		$5,543		$98,852		$—		$(37,905)		$66,519
Foreign exchange contracts		—		—		—		(6,044)		—		(6,044)
Credit contracts		—		—		—		—		752		752
Total		$29		$5,543		$98,852		$(6,044)		$(37,153)		$61,227
High Yield Bond Fund
Credit contracts		$—		$—		$—		$—		$(2,841)		$(2,841)
Total		$—		$—		$—		$—		$(2,841)		$(2,841)
Emerging Markets Debt Fund
Interest rate contracts		$—		$—		$(445)		$—		$4,851		$4,406
Foreign exchange contracts		—		—		—		(12,806)		(819)		(13,625)
Credit contracts		—		—		—		—		101		101
Total		$—		$—		$(445)		$(12,806)		$4,133		$(9,118)
Dynamic Asset Allocation Fund
Interest rate contracts		$—		$—		$—		$—		$(5,871)		$(5,871)
Foreign exchange contracts		—		(91)		—		15,469		—		15,378
Equity contracts		—		—		(53,068)		—		—		(53,068)
Total		$—		$(91)		$(53,068)		$15,469		$(5,871)		$(43,561)
Multi-Asset Real Return Fund
Interest rate contracts		$—		$—		$(11,314)		$—		$582		$(10,732)
Foreign exchange contracts		—		—		—		1,521		—		1,521
Credit contracts		—		—		—		—		3,084		3,084
Equity contracts		—		—		5,228		—		—		5,228
Commodity contracts		—		(81)		(25,634)		—		139		(25,576)
Total		$—		$(81)		$(31,720)		$1,521		$3,805		$(26,475)
Change in unrealized appreciation or (depreciation) on derivatives recognized in income ($ Thousands):
Derivatives Not Accounted for as Hedging Instruments	Swaptions		Options		Futures		Forward  Currency  Contracts		Swaps		Total
U.S. Managed Volatility Fund
Equity contracts		$—		$—		$992		$—		$—		$992
Total		$—		$—		$992		$—		$—		$992
Global Managed Volatility Fund
Foreign exchange contracts		$—		$—		$—		$(3,874)		$—		$(3,874)
Equity contracts		—		—		2,901		—		—		2,901
Total		$—		$—		$2,901		$(3,874)		$—		$(973)
World Equity Ex-US Fund
Foreign exchange contracts		$—		$—		$—		$(3,889)		$—		$(3,889)
Equity contracts		—		—		8,373		—		—		8,373
Total		$—		$—		$8,373		$(3,889)		$—		$4,484
Screened World Select Equity Ex-US Fund
Foreign exchange contracts		$—		$—		$—		$(27)		$—		$(27)
Equity contracts		—		—		78		—		—		78
Total		$—		$—		$78		$(27)		$—		$51

SEI Institutional Investments Trust / Annual Report / May 31, 2020 407

NOTES TO FINANCIAL STATEMENTS / CONSOLIDATED NOTES TO FINANCIAL STATEMENTS (Continued)

May 31, 2020

Derivatives Not Accounted for as Hedging Instruments	Swaptions		Options		Futures		Forward  Currency  Contracts		Swaps		Total
World Select Equity Fund
Foreign exchange contracts		$—		$80		$—		$1,092		$—		$1,172
Equity contracts		—		—		(2,077)		—		—		(2,077)
Total		$—		$80		$(2,077)		$1,092		$—		$(905)
Core Fixed Income Fund
Interest rate contracts		$381		$(468)		$(8,153)		$—		$(12,373)		$(20,613)
Foreign exchange contracts		—		—		—		324		—		324
Credit contracts		252		—		—		—		3,692		3,944
Total		$633		$(468)		$(8,153)		$324		$(8,681)		$(16,345)
High Yield Bond Fund
Interest rate contracts		$—		$—		$—		$—		$178		$178
Credit contracts		—		—		—		—		(542)		(542)
Total		$—		$—		$—		$—		$(364)		$(364)
Emerging Markets Debt Fund
Interest rate contracts		$—		$(347)		$3,427		$—		$856		$3,936
Foreign exchange contracts		—		—		—		(1,294)		—		(1,294)
Credit contracts		—		—		—		—		—		—
Total		$—		$(347)		$3,427		$(1,294)		$856		$2,642
Dynamic Asset Allocation Fund
Foreign exchange contracts		$—		$(1,873)		$—		$(12,148)		$—		$(14,021)
Equity contracts		1,937		—		22,725		—		—		24,662
Commodity contracts		—		—		—		—		20,814		20,814
Total		$1,937		$(1,873)		$22,725		$(12,148)		$20,814		$31,455
Multi-Asset Real Return Fund
Interest rate contracts		$206		$—		$900		$—		$(2,841)		$(1,894)
Foreign exchange contracts		—		—		—		(264)		—		(264)
Credit contracts		—		—		—		—		(6,308)		(6,308)
Equity contracts		—		—		(7,178)		—		—		(7,178)
Commodity contracts		—		(250)		7,151		—		866		7,926
Total		$206		$(250)		$873		$(264)		$(8,283)		$(7,718)

The following table discloses the volume of the Funds’ futures contracts, option contracts, forward foreign currency contracts and swap contracts activity during the year ended May 31, 2020 ($ Thousands):

			Large Cap Disciplined						Extended Market
	Large Cap Fund		Equity Fund		Large Cap Index Fund		S&P 500 Index Fund		Index Fund
Futures Contracts:
Equity Contracts
Average Notional Balance Long	$	10,714	$	23,077	$	22,039	$	98,624	$	11,871
Ending Notional Balance Long		16,049		13,042		9,413		72,411		4,238
					Small/Mid Cap Equity		U.S. Equity Factor		U.S. Managed
	Small Cap Fund		Small Cap II Fund		Fund		Allocation Fund		Volatility Fund
Futures Contracts:
Equity Contracts
Average Notional Balance Long	$	1,001	$	1,723	$	6,910	$	7,746	$	18,604
Ending Notional Balance Long		–		209		4,299		13,834		11,484

408 SEI Institutional Investments Trust / Annual Report / May 31, 2020

	Global Managed		World Equity Ex-US		Screened World Equity		World Select Equity
	Volatility Fund		Fund		Ex-US Fund		Fund
Futures Contracts:
Equity Contracts
Average Notional Balance Long	$	29,111	$	167,346	$	1,598	$	87,211
Average Notional Balance Short		–		–		–		67,498
Ending Notional Balance Long		31,325		121,152		1,298		73,721
Ending Notional Balance Short		–		–		–		48,684
Forward Foreign Currency Contracts:
Average Notional Balance Long		601,298		199,955		266		452,560
Average Notional Balance Short		601,829		199,615		273		452,887
Ending Notional Balance Long		514,209		297,876		1,066		362,247
Ending Notional Balance Short		519,096		300,624		1,092		361,960
Options:
Currency
Average Notional Balance Long†		–		–		–		61
Ending Notional Balance Long†		–		–		–		68
	Emerging Markets		Opportunistic Income		Core Fixed Income
	Equity Fund		Fund		Fund		High Yield Bond Fund
Futures Contracts:
Equity Contracts
Average Notional Balance Long	$	25,563	$	–	$	–	$	–
Ending Notional Balance Long		20,237		–		–		–
Interest Contracts
Average Notional Balance Long		–		3,580		1,894,921		–
Average Notional Balance Short		–		28,294		963,207		–
Ending Notional Balance Long		–		3,473		1,282,270		–
Ending Notional Balance Short		–		33,179		889,048		–
Forward Foreign Currency Contracts:
Average Notional Balance Long		–		–		59,998		–
Average Notional Balance Short		–		–		61,586		–
Ending Notional Balance Long		–		–		41,989		–
Ending Notional Balance Short		–		–		42,073		–
Swaps:
Credit Contracts
Average Notional Balance Long		–		–		–		14,621
Average Notional Balance Short		–		–		174,410		10,029
Ending Notional Balance Short		–		–		256,820		2,839
Interest Contracts
Average Notional Balance		–		–		699,621		–
Ending Notional Balance		–		–		590,419		–
Options:
Interest
Average Notional Balance Long†		–		–		1,512		–
Average Notional Balance Short†		–		–		1,998		–
Ending Notional Balance Long†		–		–		858		–
Ending Notional Balance Short†		–		–		2,160		–

SEI Institutional Investments Trust / Annual Report / May 31, 2020 409

NOTES TO FINANCIAL STATEMENTS / CONSOLIDATED NOTES TO FINANCIAL STATEMENTS (Continued)

May 31, 2020

			Long Duration Credit		Ultra Short Duration		Emerging Markets
	Long Duration Fund		Fund		Bond Fund		Debt Fund
Futures Contracts:
Equity Contracts
Average Notional Balance Long	$	–	$	–	$	21,689	$	–
Average Notional Balance Short		–		–		5,225		–
Ending Notional Balance Long		–		–		37,008		–
Ending Notional Balance Short		–		–		5,445		–
Interest Contracts
Average Notional Balance Long		222,695		496,184		–		81,343
Average Notional Balance Short		100,823		247,799		–		37,279
Ending Notional Balance Long		111,285		156,035		–		64,153
Ending Notional Balance Short		72,679		103,256		–		33,318
Forward Foreign Currency Contracts:
Average Notional Balance Long		–		–		–		1,265,824
Average Notional Balance Short		–		–		–		1,269,711
Ending Notional Balance Long		–		–		–		1,099,645
Ending Notional Balance Short		–		–		–		1,104,066
Swaps:
Credit Contracts
Average Notional Balance Short		–		–		–		4,469
Ending Notional Balance Short		–		–		–		2,769
Interest Contracts
Average Notional Balance		–		–		–		331,208
Ending Notional Balance		–		–		–		286,808
Foreign Exchange Contracts
Average Notional Balance Long		–		–		–		3,054
Average Notional Balance Short		–		–		–		2,839
Ending Notional Balance Long		–		–		–		3,585
Ending Notional Balance Short		–		–		–		3,005
Options:
Currency
Average Notional Balance Long†		–		–		–		376
Ending Notional Balance Long†		–		–		–		376
	Limited Duration		Intermediate Duration		Dynamic Asset		Multi-Asset Real
	Bond Fund		Credit Fund		Allocation Fund		Return Fund
Futures Contracts:
Commodity Contracts
Average Notional Balance Long	$	–	$	–	$	–	$	121,189
Average Notional Balance Short		–		–		–		16,742
Ending Notional Balance Long		–		–		–		104,947
Ending Notional Balance Short		–		–		–		13,433
Equity Contracts
Average Notional Balance Long		–		–		81,557		–
Average Notional Balance Short		–		–		41,569		36,985
Ending Notional Balance Short		–		–		139,335		27,186
Interest Contracts
Average Notional Balance Long		69,332		3,405		–		16,461
Average Notional Balance Short		4,326		15,011		–		145,824
Ending Notional Balance Long		–		9,426		–		25,445
Ending Notional Balance Short		12,720		22,911		–		205,008
Forward Foreign Currency Contracts:
Average Notional Balance Long		–		–		749,322		33,838
Average Notional Balance Short		–		–		751,519		33,742
Ending Notional Balance Long		–		–		133,442		19,551
Ending Notional Balance Short		–		–		133,648		19,725

410 SEI Institutional Investments Trust / Annual Report / May 31, 2020

	Limited Duration		Intermediate Duration		Dynamic Asset		Multi-Asset Real
	Bond Fund		Credit Fund		Allocation Fund		Return Fund
Swaps:
Total Return Basket Swaps
Average Notional Balance Long		–		–		43,091		–
Ending Notional Balance Long		–		–		171,915		–
Total Return Contracts
Average Notional Balance Long		–		–		–		38,381
Ending Notional Balance Long		–		–		–		36,191
Credit Contracts
Average Notional Balance Long		–		–		–		75,155
Average Notional Balance Short		–		–		–		21,548
Ending Notional Balance Long		–		–		–		143,050
Ending Notional Balance Short		–		–		–		22,464
Interest Contracts
Average Notional Balance		–		–		–		240,613
Ending Notional Balance		–		–		–		1,885,369
Options:
Commodity
Average Notional Balance Long†		–		–		–		412
Average Notional Balance Short†		–		–		–		174
Ending Notional Balance Long†		–		–		–		642
Ending Notional Balance Short†		–		–		–		278
Equity
Average Notional Balance Long†		–		–		316		–
Interest
Average Notional Balance Long†		–		–		642,931		240
Average Notional Balance Short†		–		–		–		214
Ending Notional Balance Long†		–		–		2,550,870		960
Ending Notional Balance Short†		–		–		–		854
Currency
Average Notional Balance Long†		–		–		1,956		–
Ending Notional Balance Long†		–		–		3,912		–

^† Represents cost.

A Fund is subject to various netting arrangements with select counterparties (“Master Agreements”). Master Agreements govern the terms of certain transactions, and reduce the counterparty risk associated with relevant transactions by specifying credit protection mechanisms and providing standardization that improves legal certainty. Since different types of transactions have different mechanics and are sometimes traded out of different legal entities of a particular counterparty organization, each type of transaction may be covered by a different Master Agreement, resulting in the need for multiple agreements with a single counterparty. As the Master Agreements are specific to unique operations of different asset types, they allow a Fund to close out and net its total exposure to a specific counterparty entity in the event of a default with respect to all the transactions governed under a single agreement with a specific counterparty entity.

Master Agreements can also help limit counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under the Master Agreements, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral already in place) governed under the relevant Master Agreement with a counterparty in a given account exceeds a specified threshold, which typically ranges from zero to $250,000 depending on the counterparty and the type of Master Agreement. United States Treasury Securities and U.S. dollar cash are generally the preferred forms of collateral. Securities and cash pledged as collateral are reflected as assets on the Statements of Assets and Liabilities/Consolidated Statements of Assets and Liabilities as either a component of investments at value (securities) or deposits due from counterparties (cash). Cash collateral received is not typically held in a segregated account and as such is reflected as a liability on the

SEI Institutional Investments Trust / Annual Report / May 31, 2020 411

NOTES TO FINANCIAL STATEMENTS / CONSOLIDATED NOTES TO FINANCIAL STATEMENTS (Continued)

May 31, 2020

Statements of Assets and Liabilities/Consolidated Statements of Assets and Liabilities as deposits due to counterparties. The market value of any securities received as collateral is not reflected as a component of net asset value. A Fund’s overall exposure to counterparty risk can change substantially within a short period, as it is affected by each transaction subject to the relevant Master Agreement.

Customer Account Agreements and related addendums govern exchange traded derivatives transactions such as futures, options on futures, and centrally cleared

swaps. Exchange traded derivative transactions require posting of initial margin as determined by each relevant clearing agency which is segregated at a broker account registered with the Commodities Futures Trading Commission (“CFTC”), or the applicable regulator. In the US, counterparty risk is significantly reduced as creditors of the futures broker do not have claim to Fund assets in the segregated account. Additionally, portability of exposure in the event of default further reduces risk to the Funds. Variation margin, or changes in market value, are exchanged daily, but may not be netted between futures and cleared OTC derivatives.

The following is a summary of the market value and variation margin of exchange-traded or centrally cleared financial derivative instruments of the Funds as of May 31, 2020 ($ Thousands):

			Financial Derivative Assets								Financial Derivative Liabilities
	Market Value		Variation Margin Asset						Market Value		Variation Margin Liability
	Purchased				Swap				Written				Swap
Fund	Options		Futures		Agreements		Total		Options		Futures		Agreements		Total
Large Cap Fund		$ —		$ 14		$ —		$ 14		$ —		$ 2		$ —		$ 2
Large Cap Disciplined Equity Fund		—		29		—		29		—		—		—		—
Large Cap Index Fund		—		13		—		13		—		6		—		6
S&P 500 Index Fund		—		110		—		110		—		—		—		—
Extended Market Index Fund		—		—		—		—		—		39		—		39
Small Cap II Fund		—		—		—		—		—		—		—		—
Small/Mid Cap Equity Fund		—		—		—		—		—		120		—		120
U.S. Equity Factor Allocation Fund		—		21		—		21		—		—		—		—
U.S. Managed Volatility Fund		—		24		—		24		—		—		—		—
Global Managed Volatility Fund		—		26		—		26		—		172		—		172
World Equity Ex-US Fund		—		—		—		—		—		2,568		—		2,568
Screened World Equity Ex-US Fund		—		—		—		—		—		22		—		22
World Select Equity Fund		92		589		—		681		—		799		—		799
Emerging Markets Equity Fund		—		352		—		352		—		—		—		—
Opportunistic Income Fund		—		10		—		10		—		17		—		17
Core Fixed Income Fund		467		3,854		304		4,625		798		1,645		1,987		4,430
High Yield Bond Fund		—		—		3		3		—		—		—		—
Long Duration Fund		—		979		—		979		—		443		—		443
Long Duration Credit Fund		—		729		—		729		—		804		—		804
Ultra Short Duration Bond Fund		—		19		—		19		—		17		—		17
Emerging Markets Debt Fund		—		—		399		399		—		—		246		246
Limited Duration Bond Fund		—		—		—		—		—		43		—		43
Intermediate Duration Credit Fund		—		70		—		70		—		119		—		119
Dynamic Asset Allocation Fund		2,039		235		—		2,274		—		—		—		—
Multi-Asset Real Return Fund		535		1,864		147		2,546		270		1,029		244		1,543

Securities with an aggregate market value of $341,996 ($ Thousands) have been pledged and $117,640 ($ Thousands) in cash has been pledged as collateral for exchange-traded and centrally cleared derivative instruments as of May 31, 2020.

412 SEI Institutional Investments Trust / Annual Report / May 31, 2020

The table below summarizes the collateral pledged by Fund:

	Securities at Aggregate Market Value ($ Thousands)		Cash ($ Thousands)		Total ($ Thousands)
Large Cap Fund		$–		$558		$558
Large Cap Disciplined Equity Fund		120		2,748		2,868
Large Cap Index Fund		–		906		906
S&P 500 Index Fund		–		6,744		6,744
Extended Market Index Fund		–		453		453
Small/Mid Cap Equity Fund		–		1,328		1,328
U.S. Equity Factor Allocation Fund		–		1,492		1,492
U.S. Managed Volatility Fund		–		2,160		2,160
Global Managed Volatility Fund		–		2,603		2,603
World Equity Ex-US Fund		–		23,323		23,323
Screened World Equity Ex-US Fund		–		211		211
World Select Equity Fund		–		19,297		19,297
Emerging Markets Equity Fund		–		2,635		2,635
Opportunistic Income Fund		342		90		432
Core Fixed Income Fund		37,451		11,515		48,966
High Yield Bond Fund		–		788		788
Long Duration Fund		3,110		583		3,693
Long Duration Credit Fund		4,479		560		5,039
Ultra Short Duration Bond Fund		–		99		99
Emerging Markets Debt Fund		–		12,867		12,867
Limited Duration Bond Fund		358		–		358
Intermediate Duration Credit Fund		457		–		457
Dynamic Asset Allocation Fund		–		11,100		11,100
Multi-Asset Real Return Fund		302,133		15,580		317,713
Total		$348,450		$117,640		$466,090

International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (“ISDA Master Agreements”) govern OTC financial derivative transactions entered into by a Fund and select counterparties. ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions under the applicable ISDA Master Agreement.

Any election to terminate early could be material to the financial statements. In limited circumstances, the ISDA Master Agreement may contain additional provisions that add additional counterparty protection beyond coverage of existing daily exposure if the counterparty has a decline in credit quality below a predefined level. These amounts, if any, may be segregated with a third party custodian.

The following is a summary by derivative type of the market value of OTC financial derivative instruments and collateral (received) pledged as of May 31, 2020 ($ Thousands):

	Financial Derivative Assets								Financial Derivative Liabilities
Global Managed Volatility Fund	Forward Foreign Currency Contracts		Purchased Options and Swaptions		Swap Agreements		Total Over the Counter		Forward Foreign Currency Contracts		Written Options and Swaptions		Swap Agreements		Reverse Repurchase Agreements		Total Over the Counter		Net Market Value of OTC Derivatives		Collateral (Received) Pledged(1)		Net Exposures(2)
Brown Brothers Harriman		$  22		$  —		$  —		$  22		$  4,910		$  —		$  —		$  —		$  4,910		$(4,888)		$ —		$(4,888)
Total Over the Counter		$  22		$  —		$  —		$  22		$  4,910		$  —		$  —		$  —		$  4,910
	Financial Derivative Assets								Financial Derivative Liabilities
World Equity Ex-US Fund	Forward Foreign Currency Contracts		Purchased Options and Swaptions		Swap Agreements		Total Over the Counter		Forward Foreign Currency Contracts		Written Options and Swaptions		Swap Agreements		Reverse Repurchase Agreements		Total Over the Counter		Net Market Value of OTC Derivatives		Collateral (Received) Pledged(1)		Net Exposures(2)
Barclays PLC		$   417		$  —		$  —		$  417		$  180		$  —		$  —		$  —		$  180		$ 237		$ —		$ 237
Citigroup		571		—		—		571		456		—		—		—		456		115		—		115
Credit Suisse		—		—		—		—		21		—		—		—		21		(21)		—		(21)
HSBC		95		—		—		95		—		—		—		—		—		95		—		95
Morgan Stanley		181		—		—		181		3,527		—		—		—		3,527		(3,346)		2,790		(556)
RBS		386		—		—		386		214		—		—		—		214		172		—		172
Total Over the Counter		$  1,650		$  —		$  —		$  1,650		$  4,398		$  —		$  —		$  —		$  4,398

SEI Institutional Investments Trust / Annual Report / May 31, 2020 413

NOTES TO FINANCIAL STATEMENTS / CONSOLIDATED NOTES TO FINANCIAL STATEMENTS (Continued)

May 31, 2020

	Financial Derivative Assets								Financial Derivative Liabilities
Screened World Select Equity Ex-US Fund	Forward Foreign Currency Contracts		Purchased Options and Swaptions		Swap Agreements		Total Over the Counter		Forward Foreign Currency Contracts		Written Options and Swaptions		Swap Agreements		Reverse Repurchase Agreements		Total Over the Counter		Net Market Value of OTC Derivatives		Collateral (Received) Pledged(1)		Net Exposures(2)
Brown Brothers Harriman		$  —		$  —		$  —		$  —		$  27		$  —		$  —		$  —		$  27		$(27)		$ —		$ (27)
Total Over the Counter		$  —		$  —		$  —		$  —		$  27		$  —		$  —		$  —		$  27
	Financial Derivative Assets								Financial Derivative Liabilities
World Select Equity Fund	Forward Foreign Currency Contracts		Purchased Options and Swaptions		Swap Agreements		Total Over the Counter		Forward Foreign Currency Contracts		Written Options and Swaptions		Swap Agreements		Reverse Repurchase Agreements		Total Over the Counter		Net Market Value of OTC Derivatives		Collateral (Received) Pledged(1)		Net Exposures(2)
Brown Brothers Harriman		$  1,617		$  —		$  —		$  1,617		$  1,341		$  —		$  —		$  —		$  1,341		$ 276		$ —		$ 276
Total Over the Counter		$  1,617		$  —		$  —		$  1,617		$  1,341		$  —		$  —		$  —		$  1,341
	Financial Derivative Assets								Financial Derivative Liabilities
Core Fixed Income Fund	Forward Foreign Currency Contracts		Purchased Options and Swaptions		Swap Agreements		Total Over the Counter		Forward Foreign Currency Contracts		Written Options and Swaptions		Swap Agreements		Reverse Repurchase Agreements		Total Over the Counter		Net Market Value of OTC Derivatives		Collateral (Received) Pledged(1)		Net Exposures(2)
BNP Paribas		$  16		$  —		$  —		$   16		$   120		$  —		$  —		$  —		$  120		$ (104)		$ —		$ (104)
Citigroup		216		—		—		216		390		—		—		—		390		(174)		—		(174)
Goldman Sachs		—		—		—		—		86		—		—		—		86		(86)		—		(86)
Morgan Stanley		280		2		—		282		—		—		—		—		—		282		—		282
Total Over the Counter		$  512		$   2		$  —		$   514		$   596		$  —		$  —		$  —		$  596
	Financial Derivative Assets								Financial Derivative Liabilities
Emerging Markets Debt Fund	Forward Foreign Currency Contracts		Purchased Options and Swaptions		Swap Agreements		Total Over the Counter		Forward Foreign Currency Contracts		Written Options and Swaptions		Swap Agreements		Reverse Repurchase Agreements		Total Over the Counter		Net Market Value of OTC Derivatives		Collateral (Received) Pledged(1)		Net Exposures(2)
Barclays PLC		$  144		$  —		$  —		$  144		$  1,074		$  —		$  —		$  —		$  1,074		$ (930)		$ 930		$ —
Brown Brothers Harriman		—		—		—		—		2		—		—		—		2		(2)		—		(2)
Citigroup		6,396		—		172		6,568		5,847		—		—		—		5,847		721		—		721
Goldman Sachs		2,732		—		3,596		6,328		3,506		—		97		—		3,603		2,725		—		2,725
JPMorgan Chase Bank		6,056		—		1,220		7,276		6,517		—		2,064		—		8,581		(1,305)		1,305		—
Merrill Lynch		46		—		—		46		3		—		—		—		3		43		—		43
Standard Bank		578		—		—		578		1,323		—		—		—		1,323		(745)		—		(745)
Standard Chartered		145		—		—		145		2,709		—		—		—		2,709		(2,564)		2,564		—
State Street		211		—		—		211		115		—		—		—		115		96		—		96
Total Over the Counter		$  16,308		$  —		$  4,988		$  21,296		$  21,096		$  —		$  2,161		$  —		$  23,257
	Financial Derivative Assets								Financial Derivative Liabilities
Dynamic Asset Allocation Fund	Forward Foreign Currency Contracts		Purchased Options and Swaptions		Swap Agreements		Total Over the Counter		Forward Foreign Currency Contracts		Written Options and Swaptions		Swap Agreements		Reverse Repurchase Agreements		Total Over the Counter		Net Market Value of OTC Derivatives		Collateral (Received) Pledged(1)		Net Exposures(2)
Bank of America		$   250		$  11,124		$  —		$  11,374		$  43		$  —		$  —		$  —		$  43		$ 11,331		$ —		$ 11,331
BNP Paribas		—		—		17,846		17,846		—		—		—		—		—		17,846		—		17,846
Total Over the Counter		$   250		$  11,124		$  17,846		$  29,220		$  43		$  —		$  —		$  —		$  43
	Financial Derivative Assets								Financial Derivative Liabilities
Multi-Asset Real Return Fund	Forward Foreign Currency Contracts		Purchased Options and Swaptions		Swap Agreements		Total Over the Counter		Forward Foreign Currency Contracts		Written Options and Swaptions		Swap Agreements		Reverse Repurchase Agreements		Total Over the Counter		Net Market Value of OTC Derivatives		Collateral (Received) Pledged(1)		Net Exposures(2)
Bank of America		$  —		$  —		$  —		$  —		$  —		$ 188		$  —		$  —		$ 188		$  (188)		$  —		$  (188)
Brown Brothers Harriman		4		—		—		4		36		—		—		—		36		(32)		32		—
Chase Securities		—		—		—		—		—		—		—		62,720		62,720		(62,720)		—		(62,720)
Citigroup		—		—		853		853		74		—		2,724		—		2,798		(1,945)		—		(1,945)
Credit Suisse		—		—		—		—		—		—		1,069		—		1,069		(1,069)		—		(1,069)

414 SEI Institutional Investments Trust / Annual Report / May 31, 2020

	Financial Derivative Assets								Financial Derivative Liabilities
Multi-Asset Real Return Fund	Forward Foreign Currency Contracts		Purchased Options and Swaptions		Swap Agreements		Total Over the Counter		Forward Foreign Currency Contracts		Written Options and Swaptions		Swap Agreements		Reverse Repurchase Agreements		Total Over the Counter		Net Market Value of OTC Derivatives		Collateral (Received) Pledged(1)		Net Exposures(2)
Deutsche Bank		—		—		—		—		—		—		295		—		295		(295)		—		(295)
Goldman Sachs		69		—		—		69		10		—		1,019		—		1,029		(960)		—		(960)
HSBC		—		—		—		—		54		—		—		176,523		176,577		(176,577)		—		(176,577)
JPMorgan Chase		—		—		—		—		68		—		223		—		291		(291)		—		(291)
Macquarie Bank Limited		—		—		34		34		—		—		—		—		—		34		—		34
Merrill Lynch		—		—		34		34		—		—		—		—		—		34		—		34
Morgan Stanley		—		500		—		500		—		—		—		—		—		500		(500)		—
RBS		—		—		—		—		2		—		—		—		2		(2)		—		(2)
Societe Generale		—		—		23		23		—		—		—		—		—		23		—		23
Total Over the Counter		$  73		$  500		$  944		$  1,517		$  244		$  188		$  5,330		$  239,243		$  245,005

(1) Excess collateral pledged is not shown for financial reporting purposes.

(2) Net Exposures represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity.

5. BASIS FOR CONSOLIDATION FOR THE DYNAMIC ASSET ALLOCATION AND MULTI-ASSET REAL RETURN FUNDS

The Consolidated Summary Schedule of Investments, Consolidated Schedule of Investments, Consolidated Statements of Assets and Liabilities, Consolidated Statements of Operations, Consolidated Statements of Changes in Net Assets, Consolidated Statement of Cash Flows, and the Consolidated Financial Highlights of the Dynamic Asset Allocation and Multi-Asset Real Return Funds include the accounts of their respective Subsidiaries. All intercompany accounts and transactions have been eliminated in consolidation for the Funds. The Subsidiaries have a fiscal year end of May 31 for financial statement consolidation purposes and a nonconforming tax year end of April 30.

The Subsidiaries are classified as controlled foreign corporations under the Internal Revenue Code of 1986 (“IRC”). The Subsidiaries taxable income is included in the calculation of the Funds’ taxable income. Net losses of the Subsidiaries are not deductible by the Funds either in the current period or carried forward to future periods.

The Dynamic Asset Allocation and Multi-Asset Real Return Funds may invest up to 25% of their total assets in their respective Subsidiary.

A summary of the Funds’ investments in the Subsidiaries are as follows:

	Inception Date of Subsidiary		Subsidiary Net Assets at May 31, 2020 ($ Thousands)		% of Total Net Assets at May 31, 2020
Dynamic Asset Allocation Commodity Strategy Subsidiary, Ltd.		January 28, 2014		$143,093		8.31%
Multi-Asset Real Return Commodity Strategy Subsidiary, Ltd.		June 27, 2013		$130,492		17.30%

6. INVESTMENT ADVISORY, ADMINISTRATION AND DISTRIBUTION AGREEMENTS, INVESTMENT SUBADVISORY AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

Investment Advisory, Administration and Distribution Agreements — SEI Investments Global Funds Services (the “Administrator”) serves as administrator to the Funds. The Administrator provides certain administrative and shareholder servicing for an annual fee of 0.05% of the average daily net assets of each Fund. For the year ended May 31, 2020, the Administrator has voluntarily agreed to waive all of its fee. The Funds’ Administrator may discontinue all or part of these voluntary waiver at any time.

SIMC serves as investment adviser (the “Adviser”) to each Fund. In connection with serving as 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 plans to voluntarily waive a portion of its fees in order to keep investment advisory fees at a specified level. The Funds’ Adviser may discontinue all or part of these voluntary waivers at any time.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 415

NOTES TO FINANCIAL STATEMENTS / CONSOLIDATED NOTES TO FINANCIAL STATEMENTS (Continued)

May 31, 2020

Accordingly, the advisory fee and voluntary expense limitations for each Fund are as follows:

	Advisory Fees		Investment Advisory Fees After Fee Waivers
Large Cap Fund		0.40%		0.16%
Large Cap Disciplined Equity Fund		0.40		0.16
Large Cap Index Fund		0.05		0.01
S&P 500 Index Fund		0.03		0.01
Extended Market Index Fund		0.12		0.03
Small Cap Fund		0.65		0.43
Small Cap II Fund		0.65		0.42
Small/Mid Cap Equity Fund		0.65		0.39
U.S. Equity Factor Allocation Fund		0.25		0.00
U.S. Managed Volatility Fund		0.65		0.18
Global Managed Volatility Fund		0.65		0.22
World Equity Ex-US Fund		0.55		0.28
Screened World Equity Ex-US Fund		0.65		0.25
World Select Equity Fund		0.55		0.29
Emerging Markets Equity Fund(1)		1.05		0.54
Opportunistic Income Fund		0.45		0.22
Core Fixed Income Fund		0.30		0.10
High Yield Bond Fund		0.4875		0.27
Long Duration Fund		0.30		0.13
Long Duration Credit Fund		0.30		0.13
Ultra Short Duration Bond Fund		0.15		0.10
Emerging Markets Debt Fund		0.85		0.37
Real Return Fund		0.22		0.00
Limited Duration Bond Fund		0.25		0.09
Intermediate Duration Credit Fund		0.25		0.13
Dynamic Asset Allocation Fund		0.60		0.06
Multi-Asset Real Return Fund		0.55		0.18

(1) Effective September 30, 2019, SIMC, the Fund’s investment adviser, has contractually agreed to waive or reduce its management fee for a period of one year as necessary to keep the management fee paid by the Fund during the fiscal year from exceeding 0.95%. This fee waiver agreement shall remain in effect until September 30, 2020 and, unless earlier terminated, shall be automatically renewed for successive one-year periods thereafter. The agreement may be amended or terminated only with the consent of the Board of Trustees.

As of May 31, 2020, 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

AJO, LP

Coho Partners, Ltd.

Fred Alger Management, Inc.

LSV Asset Management*

Mar Vista Investment Partners, LLC

Schafer Cullen Capital Management, Inc.

Large Cap Disciplined Equity Fund

AJO, L.P.

Ceredex Value Advisors, LLC

Coho Partners, Ltd.

Mackenzie Investments Corporation

QMA, LLC

Large Cap Index Fund

SSGA Funds Management, Inc.

S&P 500 Index Fund

SSGA Funds Management, Inc.

Extended Market Index Fund

SSGA Funds Management, Inc.

Small Cap Fund

Axiom International Investors, LLC

EAM Investors, LLC

Falcon Point Capital, LLC

Los Angeles Capital Management and Equity Research,

Inc.

LSV Asset Management*

Martingale Asset Management L.P.

Small Cap II Fund

ArrowMark Colorado Holdings, LLC

Copeland Capital Management, LLC

EAM Investors, LLC

LMCG Investments, LLC

Los Angeles Capital Management and Equity Research,

Inc.

Snow Capital Management, L.P.

Small/Mid Cap Equity Fund

361 Capital, LLC

ArrowMark Colorado Holdings, LLC

Axiom International Investors, LLC

Cardinal Capital Management, LLC

Copeland Capital Management, LLC

LSV Asset Management*

U.S. Managed Volatility Fund

LSV Asset Management*

Wells Capital Management, Inc.

Global Managed Volatility Fund

Acadian Asset Management, LLC

LSV Asset Management*

Wells Capital Management, Inc.

World Equity Ex-US Fund

Acadian Asset Management, LLC

AllianceBernstein, L.P.

Baillie Gifford Overseas Ltd.

J O Hambro Capital Management Limited

McKinley Capital Management, LLC

Wells Capital Management, Inc.

Screened World Equity Ex-US Fund

Acadian Asset Management LLC

Baillie Gifford Overseas Ltd.

McKinley Capital Management, LLC

Wells Capital Management, Inc.

World Select Equity Fund

AS Trigon Asset Management

Fiera Capital Inc.

Fondmaeglerselskabet Maj Invest A/S

INTECH Investment Management LLC

416 SEI Institutional Investments Trust / Annual Report / May 31, 2020

LSV Asset Management*

Mackenzie Investments

Metropole Gestion SA

Poplar Forest Capital LLC

Rhicon Currency Management Pte Ltd.

Sompo Japan Nipponkoa Asset Management Co., Ltd.

Towle & Co.

Emerging Markets Equity Fund

AllianceBernstein L.P.

Causeway Capital Management LLC

J O Hambro Capital Management Limited

KBI Global Investors (North America) Ltd.

RWC Asset Advisor (US) LLC

WCM Investment Management

Opportunistic Income Fund

Ares Management, LLC

Manulife Investment Management (US), LLC

Schroder Investment Management North America, Inc.

Wellington Management Company, LLP

Core Fixed Income Fund

Jennison Associates LLC

MetLife Investment Management, LLC

Metropolitan West Asset Management, LLC

Wells Capital Management, Inc.

Western Asset Management Company

Wester Asset Management Company Limited

High Yield Bond Fund

Ares Management, LLC

Benefit Street Partners, LLC

Brigade Capital Management, LP

J.P. Morgan Investment Management, Inc.

T. Rowe Price Associates, Inc.

Long Duration Fund

Income Research & Management

Jennison Associates LLC

Legal & General Investment Management Americas, Inc.

Metropolitan West Asset Management LLC

Long Duration Credit Fund

Income Research & Management

Jennison Associates LLC

Legal & General Investment Management America, Inc.

MetLife Investment Management, LLC

Metropolitan West Asset Management LLC

Ultra Short Duration Bond Fund

MetLife Investment Management, LLC

Wellington Management Company, LLP

Emerging Markets Debt Fund

Colchester Global Investors Limited

Marathon Asset Management L.P.

Ninety One UK Limited

Neuberger Berman Investment Advisers, LLC

Stone Harbor Investment Partners, L.P.

Limited Duration Bond Fund

MetLife Investment Management, LLC

Metropolitan West Asset Management LLC

Intermediate Duration Credit Fund

Income Research & Management

Legal & General Investment Management America, Inc.

MetLife Investment Management, LLC

Dynamic Asset Allocation Fund

SSGA Funds Management, Inc.

Multi-Asset Real Return Fund

AllianceBernstein L.P.

Columbia Management Investments

Credit Suisse Asset Management, LLC

QS Investors, LLC

* Affiliated

SEI Investments Distribution Co. (the “Distributor”), a wholly owned subsidiary of SEI Investments Company (“SEI”), serves as each Fund’s Distributor pursuant to a Distribution Agreement with the Trust.

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, 2020, were as follows ($ Thousands):

U.S. Equity Factor Allocation Fund	93
World Select Equity Fund	20

Payments to Affiliates — Certain officers and/or trustees of the Trust are also officers and/or Directors of the Distributor, the Adviser and/or the Administrator. The Trust pays each unaffiliated Trustee an annual fee for attendance at quarterly and interim meetings. Compensation of officers and affiliated Trustees of the Trust is paid by the Distributor or Administrator.

A portion of the services provided by the Chief Compliance Officer (“CCO”) and his staff, whom are employees of the Administrator, are paid for by the Trust as incurred. The services include regulatory oversight of the Trust’s Adviser, sub-advisers and service providers as required by SEC regulations.

LSV Asset Management (partially-owned subsidiary of SIMC) serves as a sub-adviser to the Large Cap, Small Cap, Small/Mid Cap Equity, U.S. Managed Volatility, Global Managed Volatility and Intermediate Duration Credit Funds. For this service, LSV Asset Management is entitled to receive a fee from SIMC. Such fees for the year ended May 31, 2020, were as follows ($ Thousands):

Large Cap Fund $ 355

SEI Institutional Investments Trust / Annual Report / May 31, 2020 417

NOTES TO FINANCIAL STATEMENTS / CONSOLIDATED NOTES TO FINANCIAL STATEMENTS (Continued)

May 31, 2020

Small Cap Fund	371
Small/Mid Cap Equity Fund	1,111
Global Managed Volatility Fund	3,310
U.S. Managed Volatility Fund	1,789
World Select Equity Fund	129

Fees Paid Indirectly — The Funds may direct certain fund trades to the Distributor who pays a portion of each Fund’s expenses. Accordingly, the expenses reduced, which were used to pay third party expenses, can be found on the Statements of Operations or Consolidated Statement of Operations and the effect on each Fund’s expense ratio, as a percentage of each Fund’s average daily net assets for the year ended May 31, 2020, can be found on the Financial Highlights or Consolidated Financial Highlights.

Investment in Affiliated Security — The Funds may invest in the SEI Daily Income Trust (“SDIT”) Government Fund, an affiliated money market fund to manage excess cash or to serve as margin or collateral for derivative positions. Additionally, the Funds may invest the cash collateral from the securities lending program in the SEI Liquidity Fund, L.P.

A Fund may purchase companies with which it is affiliated to the extent these companies are represented in its benchmark index.

Interfund Lending — The SEC has granted an exemption that permits the Trust to participate in an interfund lending program (“The Program”) with existing or future

investment companies registered under the 1940 Act that are advised by SIMC (the “SEI Funds”). The Program allows the SEI Funds to lend money to and borrow money from each other for temporary or emergency purposes. Participation in The Program is voluntary for both borrowing and lending funds.

Interfund loans may be made only when the rate of interest to be charged is more favorable to the lending fund than an investment in overnight repurchase agreements (“Repo Rate”), and more favorable to the borrowing fund than the rate of interest that would be charged by a bank for short-term borrowings (“Bank Loan Rate”). The Bank Loan Rate will be determined using a formula annually reviewed by the SEI Funds’ Board of Trustees. The interest rate imposed on inter-fund loans is the average of the Repo Rate and the Bank Loan Rate.

During the year ended May 31, 2020, the Trust borrowed from SEI Institutional Managed Trust, Long Duration Credit Fund. The amount borrowed, interest paid on the borrowing and the corresponding interest rate were as follows ($ Thousands):

Fund	Date		Amount Borrowed		Interest Paid		Rate
Long Duration Credit Fund		3/20/2020		$6,250,000		$191		1.10%

At May 31, 2020, the Trust had no outstanding borrowings.

7. CAPITAL SHARE TRANSACTIONS

Capital share transactions for the Funds were as follows (Thousands):

	Large Cap Fund						Large Cap Disciplined Equity Fund						Large Cap Index Fund						S&P 500 Index Fund
	6/1/2019 to 5/31/2020			6/1/2018 to 5/31/2019			6/1/2019 to 5/31/2020			6/1/2018 to 5/31/2019			6/1/2019 to 5/31/2020			6/1/2018 to 5/31/2019			6/1/2019 to 5/31/2020			6/1/2018 to 5/31/2019
Class A:
Shares Issued		8,333			11,152			11,247			19,510			2,492			1,213			99,518			48,473
Shares Issued in Lieu of Dividends and Distributions		7,268			20,723			19,706			55,692			1,589			1,655			9,053			12,171
Shares Redeemed		(22,129	)		(30,186	)		(83,861	)		(103,456	)		(2,789	)		(3,389	)		(112,404	)		(76,938	)
Total Increase (Decrease) in Net Assets Derived from Class A Transactions		(6,528	)		1,689			(52,908	)		(28,254	)		1,292			(521	)		(3,833	)		(16,294	)
	Extended Market Index Fund						Small Cap Fund						Small Cap II Fund						Small/Mid Cap Equity Fund
	6/1/2019 to 5/31/2020			6/1/2018 to 5/31/2019			6/1/2019 to 5/31/2020			6/1/2018 to 5/31/2019			6/1/2019 to 5/31/2020			6/1/2018 to 5/31/2019			6/1/2019 to 5/31/2020			6/1/2018 to 5/31/2019
Class A:
Shares Issued		30,732			14,879			3,402			2,457			7,323			3,415			16,185			12,969
Shares Issued in Lieu of Dividends and Distributions		3,050			3,703			1,067			4,613			1,625			7,369			7,102			24,522
Shares Redeemed		(17,062	)		(16,491	)		(4,799	)		(7,553	)		(7,934	)		(10,293	)		(42,836	)		(39,901	)
Total Increase (Decrease) in Net Assets Derived from Class A Transactions		16,720			2,091			(330	)		(483	)		1,014			491			(19,549	)		(2,410	)

418 SEI Institutional Investments Trust / Annual Report / May 31, 2020

	U.S. Equity Factor Allocation Fund						U.S. Managed Volatility Fund						Global Managed Volatility Fund						World Equity Ex-US Fund
	6/1/2019 to 5/31/2020			6/1/2018 to 5/31/2019			6/1/2019 to 5/31/2020			6/1/2018 to 5/31/2019			6/1/2019 to 5/31/2020			6/1/2018 to 5/31/2019			6/1/2019 to 5/31/2020			6/1/2018 to 5/31/2019
Class A:
Shares Issued		6,875			65,721			25,783			13,680			66,064			58,552			108,154			137,216
Shares Issued in Lieu of Dividends and Distributions		1,565			884			5,791			15,196			10,106			14,165			16,182			34,987
Shares Redeemed		(23,348	)		(5,954	)		(22,403	)		(27,874	)		(40,527	)		(44,054	)		(118,366	)		(104,014	)
Total Increase (Decrease) in Net Assets Derived from Class A Transactions		(14,908	)		60,651			9,171			1,002			35,643			28,663			5,970			68,189
	Screened World Equity Ex-US Fund						World Select Equity Fund						Emerging Markets Equity Fund						Opportunistic Income Fund
	6/1/2019 to 5/31/2020			6/1/2018 to 5/31/2019			6/1/2019 to 5/31/2020			6/1/2018 to 5/31/2019			6/1/2019 to 5/31/2020			6/1/2018 to 5/31/2019			6/1/2019 to 5/31/2020			6/1/2018 to 5/31/2019
Class A:
Shares Issued		915			1,396			7,611			8,205			30,204			21,718			13,099			16,715
Shares Issued in Lieu of Dividends and Distributions		149			241			2,286			10,571			2,023			10,554			6,172			7,210
Shares Redeemed		(595	)		(1,761	)		(60,153	)		(23,361	)		(23,703	)		(17,820	)		(63,916	)		(80,038	)
Total Increase (Decrease) in Net Assets Derived from Class A Transactions		469			(124	)		(50,256	)		(4,585	)		8,524			14,452			(44,645	)		(56,113	)
	Core Fixed Income Fund						High Yield Bond Fund						Long Duration Fund						Long Duration Credit Fund
	6/1/2019 to 5/31/2020			6/1/2018 to 5/31/2019			6/1/2019 to 5/31/2020			6/1/2018 to 5/31/2019			6/1/2019 to 5/31/2020			6/1/2018 to 5/31/2019			6/1/2019 to 5/31/2020			6/1/2018 to 5/31/2019
Class A:
Shares Issued		160,830	†		119,337			38,424			31,311			8,898			48,306			34,641			61,447
Shares Issued in Lieu of Dividends and Distributions		27,006			21,747			21,532			22,357			12,603			10,139			13,470			16,457
Shares Redeemed		(187,134	)		(116,431	)		(72,748	)		(72,997	)		(52,117	)		(132,696	)		(87,404	)		(85,717	)
Total Increase (Decrease) in Net Assets Derived from Class A Transactions		702			24,653			(12,792	)		(19,329	)		(30,616	)		(74,251	)		(39,293	)		(7,813	)
	Ultra Short Duration Bond Fund						Emerging Markets Debt Fund						Real Return Fund						Limited Duration Bond Fund
	6/1/2019 to 5/31/2020			6/1/2018 to 5/31/2019			6/1/2019 to 5/31/2020			6/1/2018 to 5/31/2019			6/1/2019 to 5/31/2020			6/1/2018 to 5/31/2019			6/1/2019 to 5/31/2020			6/1/2018 to 5/31/2019
Class A:
Shares Issued		28,567			17,984			32,675			41,207			10,154			16,015			28,664			39,439
Shares Issued in Lieu of Dividends and Distributions		1,160			1,281			7,325			3,730			699			487			3,212			3,893
Shares Redeemed		(16,196	)		(23,065	)		(52,289	)		(48,257	)		(9,504	)		(5,100	)		(59,045	)		(30,958	)
Total Increase (Decrease) in Net Assets Derived from Class A Transactions		13,531			(3,800	)		(12,289	)		(3,320	)		1,349			11,402			(27,169	)		12,374
	Intermediate Duration Credit Fund						Dynamic Asset Allocation Fund						Multi-Asset Real Return Fund
	6/1/2019 to 5/31/2020			6/1/2018 to 5/31/2019			6/1/2019 to 5/31/2020			6/1/2018 to 5/31/2019			6/1/2019 to 5/31/2020			6/1/2018 to 5/31/2019
Class A:
Shares Issued		48,596			86,774			10,494			8,555			18,326			18,097
Shares Issued in Lieu of Dividends and Distributions		8,802			9,426			11,538			2,153			2,347			3,834
Shares Redeemed		(54,319	)		(68,334	)		(50,072	)		(20,120	)		(35,354	)		(26,271	)
Total Increase (Decrease) in Net Assets Derived from Class A Transactions		3,079			27,866			(28,040	)		(9,412	)		(14,681	)		(4,340	)

^† Includes subscriptions as a result of an in-kind transfer of securities (see Note 11).

8. 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, 2020, were as follows:

	U.S. Gov’t ($ Thousands)		Other ($ Thousands)		Total ($ Thousands)
Large Cap Fund
Purchases	$	—	$	765,963	$	765,963
Sales		—		948,026		948,026
Large Cap Disciplined Equity Fund
Purchases		—		2,333,723		2,333,723
Sales		—		3,113,311		3,113,311

SEI Institutional Investments Trust / Annual Report / May 31, 2020 419

NOTES TO FINANCIAL STATEMENTS / CONSOLIDATED NOTES TO FINANCIAL STATEMENTS (Continued)

May 31, 2020

	U.S. Gov’t		Other		Total
	($ Thousands)		($ Thousands)		($ Thousands)
Large Cap Index Fund
Purchases		—		525,288		525,288
Sales		—		569,106		569,106
S&P 500 Index Fund
Purchases		—		1,434,887		1,434,887
Sales		—		1,587,412		1,587,412
Extended Market Index Fund
Purchases		—		973,782		973,782
Sales		—		679,903		679,903
Small Cap Fund
Purchases		—		332,550		332,550
Sales		—		351,141		351,141
Small Cap II Fund
Purchases		—		489,363		489,363
Sales		—		501,361		501,361
Small/Mid Cap Equity Fund
Purchases		—		1,275,235		1,275,235
Sales		—		1,547,812		1,547,812
U.S. Equity Factor Allocation Fund
Purchases		—		303,228		303,228
Sales		—		474,616		474,616
U.S. Managed Volatility Fund
Purchases		—		769,200		769,200
Sales		—		695,232		695,232
Global Managed Volatility Fund
Purchases		—		1,567,202		1,567,202
Sales		—		1,207,450		1,207,450
World Equity Ex-US Fund
Purchases		—		7,578,954		7,578,954
Sales		—		7,716,757		7,716,757
Screened World Equity Ex-US Fund
Purchases		—		78,779		78,779
Sales		—		75,802		75,802
World Select Equity Fund
Purchases		—		405,137		405,137
Sales		—		889,324		889,324
Emerging Markets Equity Fund
Purchases		—		699,465		699,465
Sales		—		584,715		584,715
Opportunistic Income Fund(1)
Purchases		53,296		216,380		269,676
Sales		80,047		445,100		525,147
Core Fixed Income Fund
Purchases		23,910,799		3,092,560		27,003,359
Sales		24,555,994		2,694,924		27,250,918
High Yield Bond Fund
Purchases		1,141		1,729,975		1,731,116
Sales		1,116		1,811,252		1,812,368
Long Duration Fund
Purchases		1,092,327		401,313		1,493,640
Sales		1,296,576		492,343		1,788,919
Long Duration Credit Fund
Purchases		1,732,706		1,261,579		2,994,285
Sales		1,897,115		1,440,218		3,337,333
Ultra Short Duration Bond Fund
Purchases		86,410		181,208		267,618
Sales		57,365		182,813		240,178
Emerging Markets Debt Fund
Purchases		4,522		1,786,805		1,791,327

	U.S. Gov’t		Other		Total
	($ Thousands)		($ Thousands)		($ Thousands)
Sales		7,918		1,780,577		1,788,495
Real Return Fund
Purchases		151,233		—		151,233
Sales		145,511		—		145,511
Limited Duration Bond Fund
Purchases		1,349,678		506,176		1,855,854
Sales		1,309,677		652,172		1,961,849
Intermediate Duration Credit Fund
Purchases		2,419,898		1,660,439		4,080,337
Sales		2,553,022		1,492,482		4,045,504
Dynamic Asset Allocation Fund
Purchases		—		187,774		187,774
Sales		—		1,076,352		1,076,352
Multi-Asset Real Return Fund
Purchases		320,946		175,454		496,400
Sales		374,072		196,749		570,821

(1) Includes 17a-7 related transactions of $(51) (thousands).

9. FEDERAL TAX INFORMATION

It is each Fund’s intention to qualify for or 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.

The Dynamic Asset Allocation and Multi-Asset Real Return Funds have each requested private letter rulings from the Internal Revenue Service (“IRS”) concluding that the income generated from their investment in their respective Subsidiaries, each of which invests in commodity-linked derivatives, will be “qualifying income” for regulated investment company (“RIC”) qualification purposes, regardless of whether actual distributions are made to the Funds by the respective Subsidiary.

In July 2011, the IRS suspended the issuance of private letter rulings regarding the investment by RICs into controlled foreign corporations which principally invest in commodities, such as the Subsidiaries, indicating that it was reconsidering its policies surrounding the issuance of these rulings. The Dynamic Asset Allocation and Multi-Asset Real Return Funds have secured an opinion of counsel based on customary representations that actual distributions made to the Funds should be treated as “qualifying income”. The Treasury released a proposed regulation in October of 2016 stating that income inclusion from a controlled foreign corporation is treated as dividends i.e. qualifying income only to the extent that the Funds received cash distributions from the subsidiary. The distribution requirement is consistent with the Funds’ policy. The Treasury released a final regulation in March 2019 reversing its position on the proposed regulation by removing the cash distribution requirement. As a conservative measure, the

420 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Funds will continue to follow their existing distribution policy.

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 U.S. GAAP. 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 or distributable earnings (loss), as appropriate, in the period that the differences arise.

The permanent differences primarily consist of foreign currency translation, reclassification of long term capital gain distribution on REITs, investments in publicly traded partnerships, investments in PFICs, paydown gain/

loss on mortgage and asset-backed securities and investments in swaps and distribution reclassification. The permanent differences that are credited or charged to paid-in capital and distributable earnings (accumulated loss) as of May 31, 2020 are primarily related to distribution in excess of net investment income.

	Distributable Earnings (Accumulated Loss) ($ Thousands)		Paid-in- Capital ($ Thousands)
Screened World Equity Ex-US Fund		$528		$(528)

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, were as follows:

		Ordinary Income ($ Thousands)	Long-term Capital Gain ($ Thousands)	Distributions ($ Thousands)	Total ($ Thousands)
Large Cap Fund
	2020	$        27,498	$        83,436	$        —	$        110,934
	2019	83,505	215,389	—	298,894
Large Cap Disciplined Equity Fund
	2020	31,591	184,542	—	216,133
	2019	108,507	459,588	—	568,095
Large Cap Index Fund
	2020	34,032	245,383	—	279,415
	2019	45,210	237,665	—	282,875
S&P 500 Index Fund
	2020	94,971	53,774	—	148,745
	2019	92,740	86,825	—	179,565
Extended Market Index Fund
	2020	16,646	30,850	—	47,496
	2019	22,120	30,849	—	52,969
Small Cap Fund
	2020	3,445	12,274	—	15,719
	2019	16,389	45,815	—	62,204
Small Cap II Fund
	2020	3,438	13,644	—	17,082
	2019	17,362	53,128	—	70,490
Small/Mid Cap Equity Fund
	2020	10,942	66,185	—	77,127
	2019	48,058	195,949	—	244,007
U.S. Equity Factor Allocation Fund
	2020	17,282	—	—	17,282
	2019	9,556	—	—	9,556
U.S. Managed Volatility Fund
	2020	30,031	50,505	—	80,536
	2019	52,640	146,324	—	198,964
Global Managed Volatility Fund
	2020	90,508	40,171	—	130,679
	2019	95,851	63,221	—	159,072
World Equity Ex-US Fund
	2020	222,407	—	—	222,407
	2019	181,960	223,055	—	405,015

SEI Institutional Investments Trust / Annual Report / May 31, 2020 421

NOTES TO FINANCIAL STATEMENTS / CONSOLIDATED NOTES TO FINANCIAL STATEMENTS (Continued)

May 31, 2020

		Ordinary Income ($ Thousands)	Long-term Capital Gain ($ Thousands)	Distributions ($ Thousands)	Total ($ Thousands)
Screened World Equity Ex-US Fund
	2020	$        3,025	$        —	$        —	$        3,025
	2019	3,880	—	—	3,880
World Select Equity Fund
	2020	23,564	—	—	23,564
	2019	68,984	28,083	—	97,067
Emerging Markets Equity Fund
	2020	21,069	—	—	21,069
	2019	41,349	55,510	—	96,859
Opportunistic Income Fund
	2020	50,855	—	—	50,855
	2019	60,320	—	—	60,320
Core Fixed Income Fund
	2020	296,077	—	—	296,077
	2019	222,818	—	—	222,818
High Yield Bond Fund
	2020	184,908	—	—	184,908
	2019	197,603	—	—	197,603
Long Duration Fund
	2020	89,826	23,807	—	113,633
	2019	77,501	6,378	—	83,879
Long Duration Credit Fund
	2020	153,072	—	—	153,072
	2019	159,278	3,070	—	162,348
Ultra Short Duration Bond Fund
	2020	11,653	—	—	11,653
	2019	12,835	—	—	12,835
Emerging Markets Debt Fund
	2020	75,714	—	—	75,714
	2019	36,600	—	—	36,600
Real Return Fund
	2020	7,386	—	—	7,386
	2019	4,593	—	—	4,593
Limited Duration Bond Fund
	2020	32,944	—	—	32,944
	2019	39,239	—	—	39,239
Intermediate Duration Credit Fund
	2020	92,984	—	—	92,984
	2019	92,910	—	—	92,910
Dynamic Asset Allocation Fund
	2020	58,738	183,697	—	242,435
	2019	15,590	25,215	—	40,805
Multi-Asset Real Return Fund
	2020	19,163	—	—	19,163
	2019	31,060	—	—	31,060

422 SEI Institutional Investments Trust / Annual Report /May 31, 2020

As of May 31, 2020, the components of distributable earnings (accumulated losses) were as follows:

																				Total
																				Distributable
	Undistributed		Undistributed		Capital			Post-			Late Year			Unrealized			Other			Earnings
	Ordinary		Long-Term		Loss			October			Ordinary			Appreciation			Temporary			(Accumulated
	Income		Capital Gain		Carryforwards			Losses			Losses			(Depreciation)			Differences			Losses)
	($ Thousands)		($  Thousands)		($ Thousands)			($ Thousands)			($ Thousands)			($ Thousands)			($ Thousands)			($ Thousands)
Large Cap Fund	$	2,924	$	24,914	$	—		$	(9,359)		$	—		$	136,770		$	(2)		$	155,247
Large Cap Disciplined Equity Fund		—		3,509		—			—			—			210,429			(6	)		213,932
Large Cap Index Fund		5,881		21,791		—			—			—			1,012,652			(2	)		1,040,322
S&P 500 Index Fund		48,879		73,160		—			—			—			1,454,170			—			1,576,209
Extended Market Index Fund		4,877		28,047		—			—			—			137,294			4			170,222
Small Cap Fund		535		—		—			(2,391	)		—			(5,254	)		—			(7,110	)
Small Cap II Fund		321		—		(8,024	)		(18,798	)		—			(2,101	)		—			(28,602	)
Small/Mid Cap Equity Fund		2,766		8,595		—			—			—			9,015			—			20,376
U.S. Equity Factor Allocation Fund		2,061		—		(381	)		(3,392	)		—			51,282			—			49,570
U.S. Managed Volatility Fund		2,991		—		—			(23,586	)		—			146,878			—			126,283
Global Managed Volatility Fund		38,115		—		—			(21,946	)		—			(7,262	)		(2	)		8,905
World Equity Ex-US Fund		62,621		—		(87,587	)		(80,409	)		—			656,024			—			550,649
Screened World Equity Ex-US Fund		—		—		(563	)		(5,232	)		(191	)		9,161			—			3,175
World Select Equity Fund		6,458		—		(43,841	)		(20,772	)		—			(41,006	)		—			(99,161	)
Emerging Markets Equity Fund		6,479		—		(52,910	)		(26,593	)		—			30,643			1			(42,380	)
Opportunistic Income Fund		12,832		—		(23,836	)		(12,358	)		—			(35,748	)		(193	)		(59,303	)
Core Fixed Income Fund		211,315		42,349		—			—			—			244,740			(41,396	)		457,008
High Yield Bond Fund		36,816		—		(125,226	)		(39,148	)		—			(326,830	)		(13,279	)		(467,667	)
Long Duration Fund		78,188		17,444		—			—			—			175,037			(34,794	)		235,875
Long Duration Credit Fund		100,712		26,893		—			—			—			537,739			(14,776	)		650,568
Ultra Short Duration Bond Fund		546		—		(3,728	)		—			—			(114	)		(808	)		(4,104	)
Emerging Markets Debt Fund		—		—		(30,875	)		(2,214	)		(10,938	)		(153,990	)		(34,664	)		(232,681	)
Real Return Fund		391		—		(5,658	)		(129	)		—			5,516			(1,058	)		(938	)
Limited Duration Bond Fund		7,212		—		—			—			—			14,376			(1,577	)		20,011
Intermediate Duration Credit Fund		40,856		—		—			—			—			229,496			(440	)		269,912
Dynamic Asset Allocation Fund		16,987		160,631		—			—			—			794,721			—			972,339
Multi-Asset Real Return Fund		3,734		—		(45,198	)		—			—			(122,791	)		(11,056	)		(175,311	)

Post-October losses represent losses realized on investment transactions from November 1, 2019 through May 31, 2020 that, in accordance with Federal income tax regulations, the Funds may elect to defer and treat as having arisen in the following fiscal year. Other temporary differences are primarily consist of straddle loss deferrals and dividend payable.

During the year ended May 31, 2020, the U.S. Equity Factor Allocation Fund, Core Fixed Income Fund, Long Duration Credit Fund, Ultra Short Duration Bond Fund, Intermediate Duration Credit Fund, Real Return Fund, and Limited Duration Bond Fund utilized capital loss carryforwards to offset capital gains of $10,796 ($ Thousands), $32,004 ($ Thousands), $19,451 ($ Thousands), $665 ($ Thousands), $29,086 ($ Thousands), $22 ($ Thousands), and $7,618 ($ Thousands), respectively.

The Funds have capital losses carried forward as follows:

	Short-Term		Long-Term
	Loss		Loss		Total*
	($ Thousands)		($ Thousands)		($ Thousands)
Small Cap II Fund		8,024		–		8,024
U.S. Equity Factor Allocation Fund		381		–		381
World Equity Ex-US Fund		87,587		–		87,587
Screened World Equity Ex-US Fund		563		–		563
World Select Equity Fund		35,224		8,617		43,841
Emerging Markets Equity Fund		44,248		8,662		52,910
Opportunistic Income Fund		759		23,077		23,836
High Yield Bond Fund		3,263		121,963		125,226
Ultra Short Duration Bond Fund		951		2,777		3,728
Emerging Markets Debt Fund		21,210		9,665		30,875
Real Return Fund		525		5,133		5,658
Multi-Asset Real Return Fund		21,796		23,402		45,198

*This table should be used in conjunction with the capital loss carryforwards table.

For Federal income tax purposes, the cost of investments owned at May 31, 2020, and the net realized gains or losses on investments sold for the period

SEI Institutional Investments Trust / Annual Report / May 31, 2020 423

NOTES TO FINANCIAL STATEMENTS / CONSOLIDATED NOTES TO FINANCIAL STATEMENTS (Continued)

May 31, 2020

were not materially different from amounts reported for financial reporting purposes. These differences are primarily due to investments in partnerships, passive foreign investment companies, defaulted bond and 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, 2020, was as follows:

	Federal Tax Cost ($ Thousands)		Appreciated Securities ($ Thousands)		Depreciated Securities ($ Thousands)			Net Unrealized Appreciation (Depreciation) ($ Thousands)
Large Cap Fund	$	820,354	$	209,548	$	(72,778	)	$	136,770
Large Cap Disciplined Equity Fund		1,195,893		292,540		(82,111	)		210,429
Large Cap Index Fund		761,550		1,073,022		(60,370	)		1,012,652
S&P 500 Index Fund		2,854,364		1,754,396		(300,226	)		1,454,170
Extended Market Index Fund		1,192,951		339,303		(202,009	)		137,294
Small Cap Fund		252,487		34,158		(39,412	)		(5,254	)
Small Cap II Fund		355,996		48,802		(50,903	)		(2,101	)
Small/Mid Cap Equity Fund		1,023,351		143,290		(134,275	)		9,015
U.S. Equity Factor Allocation Fund		699,326		110,190		(58,908	)		51,282
U.S. Managed Volatility Fund		1,100,899		221,083		(74,205	)		146,878
Global Managed Volatility Fund		2,714,252		241,140		(248,402	)		(7,262	)
World Equity Ex-US Fund		7,312,711		1,225,010		(568,986	)		656,024
Screened World Equity Ex-US Fund		88,791		16,462		(7,301	)		9,161
World Select Equity Fund		481,320		42,005		(83,011	)		(41,006	)
Emerging Markets Equity Fund		952,620		174,404		(143,761	)		30,643
Opportunistic Income Fund		1,040,481		7,987		(43,735	)		(35,748	)
Core Fixed Income Fund		7,630,677		328,766		(84,026	)		244,740
High Yield Bond Fund		2,607,292		82,210		(409,040	)		(326,830	)
Long Duration Fund		1,119,019		184,782		(9,745	)		175,037
Long Duration Credit Fund		3,524,555		555,865		(18,126	)		537,739
Ultra Short Duration Bond Fund		607,753		2,620		(2,734	)		(114	)
Emerging Markets Debt Fund		2,127,374		66,667		(220,657	)		(153,990	)
Real Return Fund		289,288		5,943		(427	)		5,516
Limited Duration Bond Fund		1,304,545		18,650		(4,274	)		14,376
Intermediate Duration Credit Fund		3,074,838		246,708		(17,212	)		229,496
Dynamic Asset Allocation Fund		771,641		1,092,778		(298,057	)		794,721

	Federal Tax Cost ($ Thousands)		Appreciated Securities ($ Thousands)		Depreciated Securities ($ Thousands)			Net Unrealized Appreciation (Depreciation) ($ Thousands)
Multi-Asset Real Return Fund	$	1,096,608	$	67,683	$	(190,474	)	$	(122,791	)

Management has analyzed the Funds’ tax positions taken on Federal income tax returns for all open tax years and has concluded that as of May 31, 2020, no provision for income tax would be required in the Funds’ financial statements. The Funds’ Federal and state income and Federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

10. CONCENTRATION/RISKS

In the normal course of business, the Trust enters into contracts that provide general indemnifications by the Trust to the counterparty to the contract. The Trust’s maximum exposure under these arrangements is dependent on future claims that may be made against the Trust and, therefore, cannot be estimated; however, Management believes that, based on experience, the risk of loss from such claims is considered remote.

The market values of the Core Fixed Income, High Yield Bond, Long Duration, Long Duration Credit, Ultra Short Duration Bond, Limited Duration Bond, Intermediate Duration Credit and Multi-Asset Real Return Funds’ investments will 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 World Equity Ex-US, Screened World Equity Ex-US, World Select Equity, Emerging Markets Equity 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.

The following descriptions provide additional information about some of the risks of investing in the Funds:

American Depositary Receipts (ADRs) Risk — ADRs are certificates evidencing ownership of shares of a foreign

424 SEI Institutional Investments Trust / Annual Report / May 31, 2020

issuer that are issued by depositary banks and generally trade on an established market. ADRs are subject to many of the risks associated with investing directly in foreign securities, including, among other things, political, social and economic developments abroad, currency movements and different legal, regulatory and tax environments.

Asset-Backed Securities Risk — Payment of principal and interest on asset-backed securities is dependent largely on the cash flows generated by the assets backing the securities. Securitization trusts generally do not have any assets or sources of funds other than receivables and related property they own, and asset-backed securities are generally not insured or guaranteed by the related sponsor or any other entity. Asset-backed securities may be more illiquid than more conventional types of fixed income securities that the Fund may acquire.

Bank Loans Risk — With respect to bank loans, the Fund will assume the credit risk of both the borrower and the lender that is selling the participation. The Fund may also have difficulty disposing of bank loans because, in certain cases, the market for such instruments is not highly liquid.

Below Investment Grade Securities (Junk Bonds)

Risk — Fixed income securities rated below investment grade (junk bonds) involve greater risks of default or downgrade and are generally more volatile than investment grade securities because the prospect for repayment of principal and interest of many of these securities is speculative. Because these securities typically offer a higher rate of return to compensate investors for these risks, they are sometimes referred to as “high yield bonds,” but there is no guarantee that an investment in these securities will result in a high rate of return.

Collateralized Debt Obligations (CDOs) and

Collateralized Loan Obligations (CLOs) Risk — CDOs and CLOs are securities backed by an underlying portfolio of debt and loan obligations, respectively. CDOs and CLOs issue classes or “tranches” that vary in risk and yield and may experience substantial losses due to actual defaults, decrease in market value due to collateral defaults and removal of subordinate tranches, market anticipation of defaults and investor aversion to CDO and CLO securities as a class. The risks of investing in CDOs and CLOs depend largely on the tranche invested in and the type of the underlying debts and loans in the tranche of the CDO or CLO, respectively, in which the Fund invests. CDOs and CLOs also carry risks including, but not limited to, interest rate risk and credit risk, which are described below. For example, a liquidity crisis in the global credit markets could cause substantial

fluctuations in prices for leveraged loans and high-yield debt securities and limited liquidity for such instruments. When the Fund invests in CDOs or CLOs, in addition to directly bearing the expenses associated with its own operations, it may bear a pro rata portion of the CDO’s or CLO’s expenses.

Commercial Paper Risk — Commercial paper is a short-term obligation with a maturity generally ranging from one to 270 days and is issued by U.S. or foreign companies or other entities in order to finance their current operations. Such investments are unsecured and usually discounted from their value at maturity. The value of commercial paper may be affected by changes in the credit rating or financial condition of the issuing entities and will tend to fall when interest rates rise and rise when interest rates fall. Asset-backed commercial paper may be issued by structured investment vehicles or other conduits that are organized to issue the commercial paper and to purchase trade receivables or other financial assets. The repayment of asset-backed commercial paper depends primarily on the cash collections received from such an issuer’s underlying asset portfolio and the issuer’s ability to issue new asset-backed commercial paper.

Commodity Investments and Derivatives Risk — Commodity investments and derivatives may be more volatile and less liquid than direct investments in the underlying commodities themselves. Commodity related equity returns can also be affected by the issuer’s financial structure or the performance of unrelated businesses. The value of a commodity investment or a derivative investment in commodities is typically based upon the price movements of a physical commodity, a commodity futures contract or commodity index or some other readily measurable economic variable that is dependent upon changes in the value of commodities or the commodities markets. The value of these securities will rise or fall in response to changes in the underlying commodity or related benchmark or investment, changes in interest rates or factors affecting a particular industry or commodity, such as natural disasters, weather and U.S. and international economic, political and regulatory developments.

Commodity-Linked Securities Risk — Investments in commodity-linked securities may be more volatile and less liquid than direct investments in the underlying commodities themselves. Commodity-related equity returns can also be affected by the issuer’s financial structure or the performance of unrelated businesses.

Convertible and Preferred Securities Risk — Convertible and preferred securities have many of the same characteristics as stocks, including many of the same risks. In addition, convertible bonds may be

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more sensitive to changes in interest rates than stocks. Convertible bonds may also have credit ratings below investment grade, meaning that they carry a higher risk of failure by the issuer to pay principal and/or interest when due.

Corporate Fixed Income Securities Risk — Corporate fixed income securities respond to economic developments, especially changes in interest rates, as well as perceptions of the creditworthiness and business prospects of individual issuers.

Credit Risk — The risk that the issuer of a security or the counterparty to a contract will default or otherwise become unable to honor a financial obligation.

Currency Risk — Currency risk is the risk that foreign currencies will decline in value relative to the U.S. dollar or, in the case of hedging positions, that the U.S. dollar will decline in value relative to the currency hedged. Due to the Fund’s active positions in currencies, it will be subject to the risk that currency exchange rates may fluctuate in response to, among other things, changes in interest rates, intervention (or failure to intervene) by U.S. or foreign governments, central banks or supranational entities, or by the imposition of currency controls or other political developments in the United States or abroad.

Depositary Receipts Risk — Depositary receipts, such as American Depositary Receipts, are certificates evidencing ownership of shares of a foreign issuer that are issued by depositary banks and generally trade on an established market. Depositary receipts are subject to many of the risks associated with investing directly in foreign securities, including, among other things, political, social and economic developments abroad, currency movements and different legal, regulatory and tax environments.

Derivatives Risk — The Fund’s use of futures contracts and swaps is subject to leverage risk, correlation risk, liquidity risk and market risk. Leverage risk and liquidity risk are described below. Many over-the-counter (OTC) derivative instruments will not have liquidity beyond the counterparty to the instrument. Market risk is the risk that the market value of an investment may move up and down, sometimes rapidly and unpredictably. Correlation risk is the risk that changes in the value of the derivative may not correlate perfectly with the underlying asset, rate or index. The Fund’s use of swaps is also subject to credit risk and valuation risk. Credit risk is described above. Valuation risk is the risk that the derivative may be difficult to value and/or valued incorrectly. Each of these risks could cause the Fund to lose more than the principal amount invested in a derivative instrument. Some derivatives have the potential for unlimited loss, regardless of the size of the Fund’s initial investment.

The other parties to certain derivative contracts present the same types of credit risk as issuers of fixed income securities. The Fund’s use of derivatives may also increase the amount of taxes payable by shareholders. Both U.S. and non-U.S. regulators are in the process of adopting and implementing regulations governing derivatives markets, the ultimate impact of which remains unclear.

Duration Risk — The longer-term securities in which the Fund may invest are more volatile. A portfolio with a longer average portfolio duration is more sensitive to changes in interest rates than a portfolio with a shorter average portfolio duration.

Economic Risks of Global Health Events — Global health events and pandemics, such as COVID-19, have the ability to affect—quickly, drastically and substantially the economies of many nations, states, individual companies and the markets in general and can cause disruptions that cannot necessarily be foreseen. The spread of COVID-19 around the world in 2020 resulted in a substantial number of nations implementing social distancing measures, quarantines, and the shutdown of non-essential businesses and governmental services. Further, it has caused significant volatility in U.S. and international markets. The impact of the outbreak may be short term or may last for an extended period of time.

Equity Market Risk — The risk that the market value of a security may move up and down, sometimes rapidly and unpredictably. Market risk may affect a single issuer, an industry, a sector or the equity or bond market as a whole.

Exchange-Traded Funds (ETFs) Risk — The risks of owning shares of an ETF generally reflect the risks of owning the underlying securities the ETF is designed to track, although lack of liquidity in an ETF could result in its value being more volatile than the underlying portfolio securities. When the Fund invests in an ETF, in addition to directly bearing the expenses associated with its own operations, it will bear a pro rata portion of the ETF’s expenses.

Exchange-Traded Notes Risk — The value of an ETN is subject to the credit risk of the issuer. There may not be an active trading market available for some ETNs. Additionally, trading of ETNs may be halted or the ETN may be delisted by the listing exchange.

Extension Risk — The risk that rising interest rates may extend the duration of a fixed income security, typically reducing the security’s value.

Fixed Income Market Risk — The prices of the Fund’s fixed income securities respond to economic developments, particularly interest rate changes, as well as to perceptions about the creditworthiness of

426 SEI Institutional Investments Trust / Annual Report / May 31, 2020

individual issuers, including governments and their agencies. Generally, the Fund’s fixed income securities will decrease in value if interest rates rise and vice versa. In a low interest rate environment, risks associated with rising rates are heightened. Declines in dealer market-making capacity as a result of structural or regulatory changes could decrease liquidity and/or increase volatility in the fixed income markets. In the case of foreign securities, price fluctuations will reflect international economic and political events, as well as changes in currency valuations relative to the U.S. dollar. In response to these events, the Fund’s value may fluctuate and/or the Fund may experience increased redemptions from shareholders, which may impact the Fund’s liquidity or force the Fund to sell securities into a declining or illiquid market.

Foreign Investment/Emerging and Frontier Markets Risk — The risk that non-U.S. securities may be subject to additional price volatility, illiquidity and decreases in value due to, among other things, political, social and economic developments abroad, government ownership or control of portions of the private sector or certain companies, trade barriers and currency movements, exchange controls and managed adjustments in relative currency values, and different or new and unsettled securities and tax markets, laws and regulations. These additional risks may be heightened with respect to emerging market countries because political turmoil and rapid changes in economic conditions are more likely to occur in these countries. These risks may be magnified further with respect to “frontier market countries,” which are a subset of emerging market countries with even smaller national economies.

Foreign Issuer Risk — The risk that issuers in foreign countries face political and economic events unique to those countries. These events will not necessarily affect the U.S. economy or similar issuer located in the U.S.

Foreign Sovereign Debt Securities Risk — The risks that (i) the governmental entity that controls the repayment of sovereign debt may not be willing or able to repay the principal and/or interest when it becomes due, because of factors such as debt service burden, political constraints, cash flow problems and other national economic factors; (ii) governments may default on their debt securities, which may require holders of such securities to participate in debt rescheduling or additional lending to defaulting governments; and (iii) there is no bankruptcy proceeding by which defaulted sovereign debt may be collected in whole or in part.

Inflation Protected Securities Risk — The value of inflation protected securities, including TIPS, generally will fluctuate in response to changes in “real” interest rates, generally decreasing when real interest rates

rise and increasing when real interest rates fall. Real interest rates represent nominal (or stated) interest rates reduced by the expected impact of inflation. In addition, interest payments on inflation-indexed securities will generally vary up or down along with the rate of inflation.

Interest Rate Risk — The risk that a rise in interest rates will cause a fall in the value of fixed income securities, including U.S. Government securities, in which a Fund invests. A low interest rate environment may present greater interest rate risk, because there may be a greater likelihood of rates increasing and rates may increase more rapidly.

Investment Company Risk — When the Fund invests in an investment company, including closed-end funds and ETFs, in addition to directly bearing the expenses associated with its own operations, it will bear a pro rata portion of the investment company’s expenses. Further, while the risks of owning shares of an investment company generally reflect the risks of owning the underlying investments of the investment company, the Fund may be subject to additional or different risks than if the Fund had invested directly in the underlying investments. For example, the lack of liquidity in an ETF could result in its value being more volatile than that of the underlying portfolio securities. Closed-end investment companies issue a fixed number of shares that trade on a stock exchange or over-the-counter at a premium or a discount to their net asset value. As a result, a closed-end fund’s share price fluctuates based on what another investor is willing to pay rather than on the market value of the securities in the fund.

Investment in the Subsidiary Risk — The Subsidiary is not registered under the Investment Company Act of 1940, as amended (“the 1940 Act”), and, unless otherwise noted in this prospectus, is not subject to all of the investor protections of the 1940 Act. Thus, the Fund, as an investor in the Subsidiary, will not have all of the protections offered to investors in registered investment companies. In addition, changes in the laws of the United States and/or the Cayman Islands, under which the Fund and the Subsidiary, respectively, are organized, could result in the inability of the Fund and/or the Subsidiary to operate as intended and could negatively affect the Fund and its shareholders.

Investment Style Risk — The risk that large capitalization securities may underperform other segments of the equity markets or the equity markets as a whole.

Large Capitalization Risk — The risk that larger, more established companies may be unable to respond quickly to new competitive challenges such as changes in technology and consumer tastes. Larger companies

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May 31, 2020

also may not be able to attain the high growth rates of successful smaller companies.

Leverage Risk — The Funds’ use of derivatives may result in the Funds’ total investment exposure substantially exceeding the value of its portfolio securities and the Funds’ investment returns depending substantially on the performance of securities that the Funds may not directly own. The use of leverage can amplify the effects of market volatility on the Funds’ share price and may also cause the Funds to liquidate portfolio positions when it would not be advantageous to do so in order to satisfy its obligations. The Funds’ use of leverage may result in a heightened risk of investment loss.

Liquidity Risk — The risk that certain securities may be difficult or impossible to sell at the time and the price that the Fund would like. The Fund may have to lower the price of the security, sell other securities instead or forego an investment opportunity, any of which could have a negative effect on Fund management or performance.

Market Risk — The risk that the market value of a security may move up and down, sometimes rapidly and unpredictably. Market risk may affect a single issuer, an industry, a sector or the equity market as a whole.

Mortgage-Backed Securities Risk — Mortgage-backed securities are affected significantly by the rate of prepayments and modifications of the mortgage loans backing those securities, as well as by other factors such as borrower defaults, delinquencies, realized or liquidation losses and other shortfalls. Mortgage-backed securities are particularly sensitive to prepayment risk, which is described below, given that the term to maturity for mortgage loans is generally substantially longer than the expected lives of those securities; however, the timing and amount of prepayments cannot be accurately predicted. The timing of changes in the rate of prepayments of the mortgage loans may significantly affect the Fund’s actual yield to maturity on any mortgage-backed securities, even if the average rate of principal payments is consistent with the Fund’s expectation. Along with prepayment risk, mortgage-backed securities are significantly affected by interest rate risk, which is described above. In a low interest rate environment, mortgage loan prepayments would generally be expected to increase due to factors such as refinancings and loan modifications at lower interest rates. In contrast, if prevailing interest rates rise, prepayments of mortgage loans would generally be expected to decline and therefore extend the weighted

average lives of mortgage-backed securities held or acquired by the Fund.

Mortgage Dollar Rolls Risk — Mortgage dollar rolls are transactions in which the Fund sells securities (usually mortgage-backed securities) and simultaneously contracts to repurchase substantially similar, but not identical, securities on a specified future date. If the broker-dealer to whom the Fund sells the security becomes insolvent, the Fund’s right to repurchase the security may be restricted. Other risks involved in entering into mortgage dollar rolls include the risk that the value of the security may change adversely over the term of the mortgage dollar roll and that the security the Fund is required to repurchase may be worth less than the security that the Fund originally held.

Municipal Securities Risk — Municipal securities, like other fixed income securities, rise and fall in value in response to economic and market factors, primarily changes in interest rates, and actual or perceived credit quality. Rising interest rates will generally cause municipal securities to decline in value. Longer-term securities respond more sharply to interest rate changes than do shorter-term securities. A municipal security will also lose value if, due to rating downgrades or other factors, there are concerns about the issuer’s current or future ability to make principal or interest payments. State and local governments rely on taxes and, to some extent, revenues from private projects financed by municipal securities, to pay interest and principal on municipal debt. Poor statewide or local economic results or changing political sentiments may reduce tax revenues and increase the expenses of municipal issuers, making it more difficult for them to meet their obligations. Actual or perceived erosion of the creditworthiness of municipal issuers may reduce the value of the Fund’s holdings. As a result, the Fund will be more susceptible to factors that adversely affect issuers of municipal obligations than a mutual fund that does not have as great a concentration in municipal obligations.

Non-Diversified Risk — The Emerging Markets Debt and Multi-Asset Real Return Funds are non-diversified, which means that they may invest in the securities of relatively few issuers. As a result, the Funds may be more susceptible to a single adverse economic or political occurrence affecting one or more of these issuers and may experience increased volatility due to its investments in those securities.

Opportunity Risk — The risk of missing out on an investment opportunity because the assets necessary to take advantage of it are tied up in other investments.

Participation Notes (P-Notes) Risk — P-Notes are participation interest notes that are issued by banks or broker-dealers and are designed to offer a return

428 SEI Institutional Investments Trust / Annual Report / May 31, 2020

linked to a particular underlying equity, debt, currency or market. When purchasing a P-Note, the posting of margin is not required because the full cost of the P-Note (plus commission) is paid at the time of purchase. When the P-Note matures, the issuer will pay to, or receive from, the purchaser the difference between the minimal value of the underlying instrument at the time of purchase and that instrument’s value at maturity. Investments in P-Notes involve the same risks associated with a direct investment in the underlying foreign companies or foreign securities markets that they seek to replicate.

Portfolio Turnover Risk — Due to its investment strategy, the Fund may buy and sell securities frequently. This may result in higher transaction costs and additional capital gains tax liabilities, which may affect the Fund’s performance.

Prepayment Risk — The risk that, in a declining interest rate environment, fixed income securities with stated interest rates may have the principal paid earlier than expected, requiring the Fund to invest the proceeds at generally lower interest rates.

Private Placements Risk — Investment in privately placed securities may be less liquid than in publicly traded securities. Although these securities may be resold in privately negotiated transactions, the prices realized from these sales could be less than those originally paid by the Fund or less than what may be considered the fair value of such securities. Further, companies whose securities are not publicly traded may not be subject to the disclosure and other investor protection requirements that might be applicable if their securities were publicly traded.

Quantitative Investing Risk — A quantitative investment style generally involves the use of computers to implement a systematic or rules-based approach to selecting investments based on specific measurable factors. Due to the significant role technology plays in such strategies, they carry the risk of unintended or unrecognized issues or flaws in the design, coding, implementation or maintenance of the computer programs or technology used in the development and implementation of the quantitative strategy.

Real Estate Industry Risk — Securities of companies principally engaged in the real estate industry may be subject to the risks associated with direct ownership of real estate. Risks commonly associated with the direct ownership of real estate include fluctuations in the value of underlying properties, defaults by borrowers or tenants, changes in interest rates and risks related to general or local economic conditions.

Redemption Risk — The Funds may experience periods of heavy redemptions that could cause the Funds to

liquidate its assets at inopportune times or at a loss or depressed value, particularly during periods of declining or illiquid markets.

REITs Risk — REITs are trusts that invest primarily in commercial real estate or real estate-related loans. The Fund’s investments in REITs will be subject to the risks associated with the direct ownership of real estate. Risks commonly associated with the direct ownership of real estate include fluctuations in the value of underlying properties, defaults by borrowers or tenants, changes in interest rates and risks related to general or local economic conditions. Some REITs may have limited diversification and may be subject to risks inherent in financing a limited number of properties.

Repurchase Agreement Risk — Although repurchase agreement transactions must be fully collateralized at all times, they generally create leverage and involve some counterparty risk to the Fund whereby a defaulting counterparty could delay or prevent the Fund’s recovery of collateral.

Sampling Risk — The Fund may not fully replicate the benchmark index and may hold securities not included in the index. As a result, the Fund may not track the return of its benchmark index as well as it would have if the Fund purchased all of the securities in its benchmark index.

Short Sales Risk — A short sale involves the sale of a security that the Fund does not own in the expectation of purchasing the same security (or a security exchangeable therefore) at a later date at a lower price. Short sales expose the Fund to the risk that it will be required to buy the security sold short (also known as “covering” the short position) at a time when the security has appreciated in value, thus resulting in a loss to the Fund. Investment in short sales may also cause the Fund to incur expenses related to borrowing securities. Reinvesting proceeds received from short selling may create leverage, which can amplify the effects of market volatility on the Fund’s share price. In addition, shorting a future contract may require posting only a margin that may amount to less than the notional exposure of the contract. Such a practice may exacerbate the loss in a case of adverse price action.

Small and Medium Capitalization Risk — The small and medium capitalization companies in which the Fund may invest may be more vulnerable to adverse business or economic events than larger, more established companies. In particular, small and medium capitalization companies may have limited product lines, markets and financial resources and may depend upon a relatively small management group. Therefore, small and medium capitalization stocks may be more volatile than those of larger companies. Small and medium capitalization

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May 31, 2020

stocks may be traded over-the-counter or listed on an exchange.

Social Investment Criteria Risk — The Fund’s portfolio is subject to certain social investment criteria. As a result, the Sub-Advisers may avoid purchasing certain securities for social reasons when it is otherwise economically advantageous to purchase those securities or may sell certain securities for social reasons when it is otherwise economically advantageous to hold those securities. In general, the application of the Fund’s social investment criteria may affect the Fund’s exposure to certain industries, sectors and geographic areas, which may affect the financial performance of the Fund, positively or negatively, depending on whether these industries or sectors are in or out of favor.

Tax Risk — The Fund may gain most of its exposure to the commodities markets through its investment in the Subsidiary, which invests in commodity investments and derivative instruments. To the extent the Fund invests in such instruments directly, it will seek to restrict its income from commodity-linked derivative instruments that do not generate qualifying income, such as commodity-linked swaps, to a maximum of 10% of its gross income (when combined with its other investments that produce non-qualifying income) to comply with certain qualifying income tests necessary for the Fund to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. The tax treatment of certain commodity-linked derivative instruments may be affected by future regulatory or legislative changes that could affect the character, timing and/or amount of the Fund’s taxable income or gains and distributions.

Tracking Error Risk — The risk that the Fund’s performance may vary substantially from the performance of the benchmark index it tracks as a result of cash flows, Fund expenses, imperfect correlation between the Fund’s investments and the index’s components and other factors.

U.S. Government Securities Risk — Although U.S. Government securities are considered to be among the safest investments, they are not guaranteed against price movements due to changing interest rates. Obligations issued by some U.S. Government agencies are backed by the U.S. Treasury, while others are backed solely by the ability of the agency to borrow from the U.S. Treasury or by the agency’s own resources.

Warrants Risk — Warrants are instruments that entitle the holder to buy an equity security at a specific price for a specific period of time. Warrants may be more speculative than other types of investments. The price of a warrant may be more volatile than the price of its underlying security, and a warrant may offer greater

potential for capital appreciation as well as capital loss. A warrant ceases to have value if it is not exercised prior to its expiration date.

Please refer to each Fund’s current prospectus for additional disclosure regarding the risks associated with investing in the Funds. The foregoing is not intended to be a complete discussion of the risks associated with the investment strategies of the Funds.

11. IN-KIND TRANSFERS OF SECURITIES

During the year ended May 31, 2020, the Core Fixed Income Fund issued/(redeemed) shares of beneficial interest in exchange for securities. These securities were transferred at their current value on the date of such transactions.

	Shares Issued (Thousands)		Value ($ Thousands)		Gain ($ Thousands)
Core Fixed Income Fund
04/30/2020		49,845	$	55,437	$	—

12. SECURITIES LENDING

To the extent consistent with its Investment Objective and Strategies, a 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 Adviser, sub-adviser or their affiliates unless it has applied for and received specific authority to do so from the SEC. Loans of portfolio securities will be fully collateralized by cash. Collateral will be maintained in an amount equal to at least 100% of the current market value of the loaned securities by marking-to-market daily, although the borrower will be required to deliver collateral between 102% and 105% of the market value of borrowed securities for domestic and foreign securities, respectively. However, due to market fluctuations during the day, the value of securities loaned on a particular day may, during the course of the day, exceed the value of collateral. On each business day, the amount of collateral is adjusted based on the prior day’s market fluctuations and the current day’s lending activity.

Income from lending activity is determined by the amount of interest earned on collateral, less any amounts payable to the borrowers of the securities and the lending agent. Lending securities involves certain risks, including the risk that the Fund may be delayed or prevented from recovering the collateral if the borrower fails to return the securities.

430 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Cash collateral received in connection with securities lending is invested in short-term investments by the lending agent. These investments may include the SEI Liquidity Fund, L.P., and the Fund bears all of the gains and losses on such investment. There is no guarantee that these investments will not lose value.

The following is a summary of securities lending agreements held by certain Funds which would be subject to offset as of May 31, 2020 ($ Thousands):

Fund	Securities Loaned at Value		Cash Collateral Received(1)		Net Amount
Large Cap Fund		$27,635		$27,635		$-
Large Cap Disciplined Equity Fund		21,852		21,852		-
Large Cap Index Fund		26,859		26,859		-
S&P 500 Index Fund		47,805		47,805		-
Extended Market Index Fund		153,105		153,105		-
Small Cap Fund		18,751		18,751		-
Small Cap II Fund		39,801		39,801		-
Small/Mid Cap Equity Fund		136,369		136,369		-
U.S. Managed Volatility Fund		20,402		20,402		-
World Equity Ex-US Fund		69,779		69,779		-

⁽¹⁾  Excess collateral received in connection with the above securities lending transactions is not shown for financial reporting purposes. See each Fund’s Summary Schedule of Investments or Schedule of Investments for the total collateral received.

13. CONCENTRATION OF SHAREHOLDERS

SEI Private Trust Company (“SPTC”) and SIMC are subsidiaries of SEI Investments Company. As of May 31, 2020, SPTC held of record the following:

Fund	% Held
Large Cap Fund		47.47%
Large Cap Disciplined Equity Fund		60.50%
Large Cap Index Fund		62.14%
S&P 500 Index Fund		64.74%
Extended Market Index Fund		67.51%
Small Cap Fund		41.78%
Small Cap II Fund		37.19%
Small/Mid Cap Equity Fund		54.65%
U.S. Equity Factor Allocation Fund		71.49%
U.S. Managed Volatility Fund		48.14%
Global Managed Volatility Fund		52.25%
World Equity Ex-US Fund		60.62%
Screened World Equity Ex-US Fund		100.00%
World Select Equity Fund		79.25%
Emerging Markets Equity Fund		57.45%
Opportunistic Income Fund		70.66%
Core Fixed Income Fund		59.99%
High Yield Bond Fund		54.09%
Long Duration Fund		72.09%
Long Duration Credit Fund		36.23%
Ultra Short Duration Bond Fund		54.52%
Emerging Markets Debt Fund		58.29%
Real Return Fund		67.92%
Limited Duration Bond Fund		63.26%
Intermediate Duration Credit Fund		56.74%
Dynamic Asset Allocation Fund		64.53%
Multi-Asset Real Return Fund		59.69%

SPTC is not a direct service provider to the Funds. However, SPTC performs a key role in the comprehensive investment solution that SEI provides to investors. SPTC holds the vast majority of shares in the Funds as custodian for shareholders that are clients of the advisors and financial planners. SPTC maintains accounts at SEI Institutional Transfer Agency (“SITA”), and operates in an omnibus fund account environment.

14. REGULATORY MATTERS

In July 2017, the Financial Conduct Authority, the United Kingdom’s financial regulatory body, announced that after 2021 it will cease its active encouragement of banks to provide the quotations needed to sustain LIBOR. That announcement suggests that LIBOR very likely will cease to be published after that time. Various financial industry groups have begun planning for that transition, whether through marketwide protocols, fallback contractual provisions, bespoke negotiations or amendments or otherwise, but there are obstacles to converting certain securities and transactions to a new benchmark. Transition planning is at an early stage, and neither the effect of the transition process nor its ultimate success can yet be known. The transition process might lead to increased volatility and illiquidity in markets for instruments whose terms currently include LIBOR. It could also lead to a reduction in the value of some LIBOR-based investments and reduce the effectiveness of new hedges placed against existing LIBOR-based investments. While some LIBOR-based instruments may contemplate a scenario where LIBOR is no longer available by providing for an alternative rate-setting methodology and/or increased costs for certain LIBOR-related instruments or financing transactions, not all may have such provisions and there may be significant uncertainty regarding the effectiveness of any such alternative methodologies, resulting in prolonged adverse market conditions for the Fund. Because the usefulness of LIBOR as a benchmark could deteriorate during the transition period, these effects could occur prior to the end of 2021. There also remains uncertainty and risk regarding the willingness and ability of issuers to include enhanced provisions in new and existing contracts or instruments. All of the aforementioned may adversely affect the Fund’s performance or NAV.

15. NEW ACCOUNTING PRONOUNCEMENTS

In August 2018, the FASB issued Accounting Standards Update (“ASU”) 2018-13, Fair Value Measurement (Topic 820). The new guidance includes additions and modifications to disclosures requirements for fair value measurements. For public entities, the amendments are effective for financial statements issued for fiscal

SEI Institutional Investments Trust / Annual Report / May 31, 2020 431

NOTES TO FINANCIAL STATEMENTS / CONSOLIDATED NOTES TO FINANCIAL STATEMENTS (Concluded)

May 31, 2020

years beginning after December 15, 2019, and interim periods within those fiscal years. Management elected to early adopt the removal and modifications of certain disclosures and delay the adoption of additional disclosures until the effective date.

16. SUBSEQUENT EVENTS

Management has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date the financial statements were issued. Based on this evaluation, no disclosure and/or adjustments were required to the financial statements as of May 31, 2020.

432 SEI Institutional Investments Trust / Annual Report / May 31, 2020

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders of the Funds and Board of Trustees

SEI Institutional Investments Trust:

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities of the Large Cap Fund, Large Cap Disciplined Equity Fund, Large Cap Index Fund, S&P 500 Index Fund, Extended Market Index Fund, Small Cap Fund, Small Cap II Fund, Small/Mid Cap Equity Fund, U.S. Equity Factor Allocation Fund, U.S. Managed Volatility Fund, Global Managed Volatility Fund, World Equity Ex-US Fund, Screened World Equity Ex-US Fund, World Select Equity Fund and Emerging Markets Equity Fund, including the summary schedules of investments, and the statements of assets and liabilities of the Opportunistic Income Fund, Core Fixed Income Fund, High Yield Bond Fund, Long Duration Fund, Long Duration Credit Fund, Ultra Short Duration Bond Fund, Emerging Markets Debt Fund, Real Return Fund, Limited Duration Bond Fund and Intermediate Duration Credit Fund (twenty-five of the twenty-seven funds comprising the SEI Institutional Investments Trust (the Trust)), including the schedules of investments, as of May 31, 2020, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years or periods presented therein. We have also audited the accompanying consolidated statement of assets and liabilities, including the consolidated summary schedule of investments, of the Dynamic Asset Allocation Fund, and the consolidated statement of assets and liabilities, including the consolidated schedule of investments, of the Multi-Asset Real Return Fund (two of the twenty-seven funds comprising the Trust) (the twenty-seven funds collectively, the “Funds”), as of May 31, 2020, and the related consolidated statements of operations for the year then ended, the consolidated statements of changes in net assets for each of the years in the two-year period then ended, the consolidated statement of cash flows for the year then ended for the Multi-Asset Real Return Fund, and the related notes (collectively, the consolidated financial statements) and the consolidated financial highlights for each of the years in the five-year period then ended. In our opinion, the financial statements and consolidated financial statements and financial highlights and consolidated financial highlights present fairly, in all material respects, the financial position of the Funds as of May 31, 2020, the results of their operations for the year then ended, the changes in their net assets for each of the years in the two-year period then ended, the consolidated cash flows for the Multi-Asset Real Return Fund for the year then ended, and the financial highlights and consolidated financial highlights for each of the years or periods presented therein, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements and consolidated financial statements and financial highlights and consolidated financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and consolidated financial statements and financial highlights and consolidated financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of May 31, 2020, by correspondence with custodians, transfer agents, and brokers or by other appropriate auditing procedures when replies from brokers were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and consolidated financial statements and financial highlights and consolidated financial highlights. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more SEI Funds investment companies since 2005.

Philadelphia, Pennsylvania

July 30, 2020

SEI Institutional Investments Trust / Annual Report / May 31, 2020 433

TRUSTEES AND OFFICERS OF THE TRUST (Unaudited)

The following chart lists Trustees and Officers as of May 31, 2020.

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 positions 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.

Name, Address, and Age	Position(s) Held with Trusts	Term of Office and Length of Time Served1	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen by Trustee2	Other Directorships Held by Trustee
INTERESTED TRUSTEES
Robert A. Nesher One Freedom Valley Drive Oaks, PA 19456 73 yrs. old	Chairman of the Board of Trustees*	since 1995	Currently performs various services on behalf of SEI for which Mr. Nesher is compensated.	98	President and Director of SEI Structured Credit Fund, LP. Director of SEI Global Master Fund plc, SEI Global Assets Fund plc, SEI Global Investments Fund plc, SEI Investments—Global Funds Services, Limited, SEI Investments Global, Limited, SEI Investments (Europe) Ltd., SEI Multi-Strategy Funds PLC, SEI Global Nominee Ltd and SEI Investments—Unit Trust Management (UK) Limited. President, Director and Chief Executive Officer of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Trustee of SEI Liquid Asset Trust from 1989 to 2016. Vice Chairman of O’Connor EQUUS (closed-end investment company) from 2014 to 2016. Vice Chairman of Winton Series Trust from 2014 to 2017. Vice Chairman of The Advisors’ Inner Circle Fund III and Winton Diversified Opportunities Fund (closed-end investment company) from 2014 to 2018. Vice Chairman of Gallery Trust, Schroder Series Trust and Schroder Global Series Trust from 2015 to 2018. Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, and the KP Funds. President, Chief Executive Officer and Trustee of SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust, Adviser Managed Trust, The New Covenant Funds and SEI Catholic Values Trust.
William M. Doran One Freedom Valley Drive Oaks, PA 19456 80 yrs. old	Trustee*	since 1995	Self-employed consultant since 2003. Partner, Morgan, Lewis & Bockius LLP (law firm) from 1976 to 2003, Counsel to the Trust, SEI, SIMC, the Administrator and the Distributor.	98	Director of SEI since 1974; Secretary of SEI since 1978. Director of SEI Investments Distribution Co. since 2003. Director of SEI Investments—Global Funds Services, Limited, SEI Investments Global, Limited, SEI Investments (Europe), Limited, SEI Investments (Asia) Limited, SEI Global Nominee Ltd. and SEI Investments—Unit Trust Management (UK) Limited. Trustee of SEI Liquid Asset Trust from 1982 to 2016. Trustee of O’Connor EQUUS from 2014 to 2016. Director of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Trustee of Winton Series Trust from 2014 to 2017. Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II and Bishop Street Funds from 1991 to 2018. Trustee of The KP Funds from 2013 to 2018. Trustee of Winton Diversified Opportunities Fund from 2014 to 2018. Trustee of The Advisors’ Inner Circle Fund III, Gallery Trust, SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust, Adviser Managed Trust, New Covenant Funds, Schroder Series Trust, Schroder Global Series Trust and SEI Catholic Values Trust.
TRUSTEES
George J. Sullivan Jr. One Freedom Valley Drive, Oaks, PA 19456 77 yrs. old	Trustee	since 1996	Retired since January 2012. Self-Employed Consultant, Newfound Consultants Inc. April 1997-December 2011.	98	Member of the independent review committee for SEI’s Canadian-registered mutual funds from 2011 to 2017. Director of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Trustee of SEI Liquid Asset Trust from 1996 to 2016. Trustee/Director of State Street Navigator Securities Lending Trust from 1996 to 2017. Trustee/Director of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, SEI Structured Credit Fund, LP, SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust, Adviser Managed Trust, New Covenant Funds, The KP Funds and SEI Catholic Values Trust.

* Messrs. Nesher and Doran are Trustees who may be deemed as “interested” persons of the Trust as that term is defined in the 1940 Act by virtue of their affiliation with SIMC and the Trust’s Distributor.

1 Each trustee shall hold office during the lifetime of this Trust until the election and qualification of his or her successor, or until he or she sooner dies, resigns or is removed in accordance with the Trust’s Declaration of Trust.

2 The Fund Complex includes the following Trusts: SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Investments Trust, Adviser Managed Trust, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust, New Covenant Funds and SEI Catholic Values Trust.

434 SEI Institutional Investments Trust / Annual Report / May 31, 2020

Name Address, and Age	Position(s) Held with Trusts	Term of Office and Length of Time Served1	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen by Trustee2	Other Directorships Held by Trustee
TRUSTEES (continued)
Nina Lesavoy One Freedom Valley Drive, Oaks, PA 19456 62 yrs. old	Trustee	since 2003	Founder and Managing Director, Avec Capital (strategic fundraising firm) since 2008. Managing Director, Cue Capital (strategic fundraising firm) from March 2002-March 2008.	98	Director of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Trustee of SEI Liquid Asset Trust from 2003 to 2016. Trustee/Director of SEI Structured Credit Fund, L.P., SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust, New Covenant Funds, Adviser Managed Trust and SEI Catholic Values Trust.
James M. Williams One Freedom Valley Drive, Oaks, PA 19456 72 yrs. old	Trustee	since 2004	Vice President and Chief Investment Officer, J. Paul Getty Trust, Non-Profit Foundation for Visual Arts, since December 2002. President, Harbor Capital Advisors and Harbor Mutual Funds, 2000-2002. Manager, Pension Asset Management, Ford Motor Company, 1997-1999.	98	Director of SEI Alpha Strategy Portfolios, LP from 2007 to 2013, Trustee of SEI Liquid Asset Trust from 2004 to 2016. Trustee/Director of Ariel Mutual Funds, SEI Structured Credit Fund, LP, SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, New Covenant Funds, SEI Insurance Products Trust, Adviser Managed Trust and SEI Catholic Values Trust.
Mitchell A. Johnson One Freedom Valley Drive, Oaks, PA 19456 78 yrs. old	Trustee	since 2007	Retired Private Investor since 1994.	98	Director, Federal Agricultural Mortgage Corporation (Farmer Mac) since 1997. Director of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Trustee of SEI Liquid Asset Trust from 2007 to 2016. Trustee of the Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust, Adviser Managed Trust, The KP Funds, New Covenant Funds and SEI Catholic Values Trust.
Hubert L. Harris, Jr. One Freedom Valley Drive, Oaks, PA 19456 76 yrs. old	Trustee	since 2008	Retired since December 2005. Owner of Harris Plantation, Inc. since 1995. Chief Executive Officer of Harris CAPM, a consulting asset and property management entity. Chief Executive Officer, INVESCO North America, August 2003-December 2005. Chief Executive Officer and Chair of the Board of Directors, AMVESCAP Retirement, Inc., January 1998- August 2003.	98	Director of AMVESCAP PLC from 1993-2004. Served as a director of a bank holding company, 2003-2009. Director, Aaron’s Inc., 2012-present. President and CEO of Oasis Ornamentals LLC since 2011. Member of the Board of Councilors of the Carter Center (nonprofit corporation) and served on the board of other non-profit organizations. Director of SEI Alpha Strategy Portfolios, LP from 2008 to 2013. Trustee of Liquid Asset Trust from 2008 to 2016. Trustee of SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust, New Covenant Funds, Adviser Managed Trust and SEI Catholic Values Trust.
Susan C. Cote One Freedom Valley Drive Oaks, PA 19456 65 yrs. old	Trustee	since 2016	Retired since July 2015. Treasurer and Chair of Finance, Investment and Audit Committee of the New York Women’s Foundation from 2009 to 2017. Americas Director of Asset Management, Ernst & Young LLP from 2006-2013. Global Asset Management Assurance Leader, Ernst & Young LLP from 2006- 2015. Partner Ernst & Young LLP from 1997-2015. Prudential, 1983-1997.Member of the Ernst & Young LLP Retirement Investment Committee.	98	Trustee of SEI Tax Exempt Trust, SEI Daily Income Trust, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Asset Allocation Trust, SEI Institutional Investments Trust, SEI Insurance Products Trust, New Covenant Funds, Adviser Managed Trust and SEI Catholic Values Trust.
James B. Taylor One Freedom Valley Drive Oaks, PA 19456 69 yrs. old	Trustee	since 2018	Retired since December 2017. Chief Investment Officer at Georgia Teach Foundation from 2008 to 2017. Chief Investment Officer at Delta Air Lines from 1983 to 2007. Member of the Investment Committee at the Institute of Electrical and Electronic Engineers from 1999 to 2004. President, Vice President and Treasurer at Southern Benefits Conference from 1998 to 2000.	98	Trustee of SEI Daily Income Trust, SEI Tax Exempt Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Asset Allocation Trust, Adviser Managed Trust, New Covenant Funds, SEI Insurance Products Trust and SEI Catholic Values Trust.
Christine Reynolds One Freedom Valley Drive Oaks, PA 19456 61 years old	Trustee	since 2019	Retired since December 2016. Executive Vice President, Fidelity Investments from 2014-2016. President, Fidelity Pricing and Cash Management Services and Chief Financial Officer of Fidelity Funds from 2008-2014. Chief Operating Officer, Fidelity Pricing and Cash Management Services from 2007-2018. President and Treasurer, Fidelity Funds from 2004-2007. Anti-Money Laundering Officer, Fidelity Funds in 2004. Executive Vice President, Fidelity Funds from 2002-2004. Audit Partner, PricewaterhouseCoopers from 1992-2002.	98	Trustee of SEI Daily Income Trust, SEI Tax Exempt Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Asset Allocation Trust, Adviser Managed Trust, New Covenant Funds, SEI Insurance Products Trust and SEI Catholic Values Trust.

1 Each trustee shall hold office during the lifetime of this Trust until the election and qualification of his or her successor, or until he or she sooner dies, resigns or is removed in accordance with the Trust’s Declaration of Trust.

2 The Fund Complex includes the following Trusts: SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Investments Trust, Adviser Managed Trust, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust, New Covenant Funds and SEI Catholic Values Trust.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 435

TRUSTEES AND OFFICERS OF THE TRUST (Unaudited) (Concluded)

Name Address, and Age	Position(s) Held with Trusts	Term of Office and Length of Time Served1	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen by Trustee2	Other Directorships Held by Trustee
OFFICERS
Robert A. Nesher One Freedom Valley Drive, Oaks, PA 19456 73 yrs. old	President and CEO	since 2005	Currently performs various services on behalf of SEI for which Mr. Nesher is compensated.	N/A	N/A
Peter Rodriguez One Freedom Valley Drive Oaks, PA 19456 58 yrs. old	Controller and Chief Financial Officer	since 2020	Director, Fund Accounting, SEI Investments Global Funds Services since April 2020 and previously from March 2011 to March 2015; Director, Financial Reporting from June 2017 to March 2020. Director, Centralized Operations from March 2015 to June 2017.	N/A	N/A
Glenn R. Kurdziel One Freedom Valley Drive Oaks, PA 19456 46 yrs. old	Assistant Controller	since 2017	Assistant Controller, Funds Accounting, SEI Investments Global Funds Services (March 2017); Senior Manager, Funds Accounting, SEI Investments Global Funds Services since 2005.	N/A	N/A
Russell Emery One Freedom Valley Drive Oaks, PA 19456 57 yrs. old	Chief Compliance Officer	since 2006	Chief Compliance Officer of SEI Daily Income Trust, SEI Institutional Investments Trust, SEI Institutional Managed Trust, SEI Asset Allocation Trust, SEI Institutional International Trust, SEI Tax Exempt Trust, The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II and Bishop Street Funds since March 2006. Chief Compliance Officer of SEI Liquid Asset Trust from 2006 to 2016. Chief Compliance Officer of SEI Structured Credit Fund, LP June 2007. Chief Compliance Officer of Adviser Managed Trust since December 2010. Chief Compliance Officer of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Chief Compliance Officer of New Covenant Funds since February 2012.Chief Compliance Officer of SEI Insurance Products Trust and The KP Funds since 2013. Chief Compliance Officer of New Covenant Funds since February 2012. Chief Compliance Officer of O’Connor EQUUS from 2014 to 2016. Chief Compliance Officer of The Advisors’ Inner Circle Fund III, Winton Series Trust and Winton Diversified Opportunities Fund since 2014. Chief Compliance Officer of SEI Catholic Values Trust and Gallery Trust since 2015.	N/A	N/A
Timothy D. Barto One Freedom Valley Drive Oaks, PA 19456 52 yrs. old	Vice President and Secretary	since 2002	Vice President and Secretary of SEI Institutional Transfer Agent, Inc. since 2009. General Counsel and Secretary of SIMC and the Administrator since 2004. Vice President of SIMC and the Administrator since 1999. Vice President and Assistant Secretary of SEI since 2001.	N/A	N/A
Aaron Buser One Freedom Valley Drive, Oaks, PA 19456 49 yrs. old	Vice President and Assistant Secretary	since 2008	Vice President and Assistant Secretary of SEI Institutional Transfer Agent, Inc. since 2009. Vice President and Assistant Secretary of SIMC since 2008. Attorney, Drinker Biddle & Reath, LLP (law firm), May 2005 - October 2008.	N/A	N/A
David F. McCann One Freedom Valley Drive, Oaks, PA 19456 44 yrs. old	Vice President and Assistant Secretary	since 2009	Vice President and Assistant Secretary of SEI Institutional Transfer Agent, Inc. since 2009. Vice President and Assistant Secretary of SIMC since 2008. Attorney, Drinker Biddle & Reath, LLP (law firm), May 2005 - October 2008.	N/A	N/A
Stephen G. MacRae One Freedom Valley Drive, Oaks, PA 19456 52 yrs. old	Vice President	since 2012	Director of Global Investment Product Management, January 2004 - to present.	N/A	N/A
Bridget E. Sudall One Freedom Valley Drive Oaks, PA 19456 39 yrs. old	Anti-Money Laundering Compliance Officer and Privacy Officer	since 2015	Anti-Money Laundering Compliance Officer and Privacy Officer (since 2015), Senior Associate and AML Officer, Morgan Stanley Alternative Investment Partners, April 2011-March 2015, Investor Services Team Lead, Morgan Stanley Alternative Investment Partners, July 2007-April 2011.	N/A	N/A

1 Each trustee shall hold office during the lifetime of this Trust until the election and qualification of his or her successor, or until he or she sooner dies, resigns or is removed in accordance with the Trust’s Declaration of Trust.

2 The Fund Complex includes the following Trusts: SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Investments Trust, Adviser Managed Trust, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust, New Covenant Funds and SEI Catholic Values Trust.

436 SEI Institutional Investments Trust / Annual Report / May 31, 2020

DISCLOSURE OF FUND EXPENSES (Unaudited)

May 31, 2020

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 (December 1, 2019 through May 31, 2020).

The table on this 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 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) for the period 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 “Expenses 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 may not apply to your specific investment.

	Beginning Account Value 12/1/19		Ending Account Value 5/31/20	Annualized Expense Ratios			Expenses Paid During Period *
Large Cap Fund
Actual Fund Return
Class A Shares	$	1,000.00	$927.60		0.18	%		$0.87
Hypothetical 5% Return
Class A Shares	$	1,000.00	$1,024.10		0.18	%		$0.91
Large Cap Disciplined Equity Fund
Actual Fund Return
Class A Shares	$	1,000.00	$934.40		0.18	%		$0.87
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	$978.00		0.03	%		$0.15
Hypothetical 5% Return
Class A Shares	$	1,000.00	$1,024.85		0.03	%		$0.15
S&P 500 Index Fund
Actual Fund Return
Class A Shares	$	1,000.00	$978.70		0.05	%		$0.25
Hypothetical 5% Return
Class A Shares	$	1,000.00	$1,024.75		0.05	%		$0.25

	Beginning Account Value 12/1/19		Ending Account Value 5/31/20	Annualized Expense Ratios			Expenses Paid During Period *
Extended Market Index Fund
Actual Fund Return
Class A Shares		$1,000.00	$927.10		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	$839.30		0.45	%		$2.07
Hypothetical 5% Return
Class A Shares		$1,000.00	$1,022.75		0.45	%		$2.28
Small Cap II Fund
Actual Fund Return
Class A Shares		$1,000.00	$863.10		0.44	%		$2.04
Hypothetical 5% Return
Class A Shares		$1,000.00	$1,022.81		0.44	%		$2.21
Small/Mid Cap Equity Fund
Actual Fund Return
Class A Shares		$1,000.00	$858.20		0.41	%		$1.90
Hypothetical 5% Return
Class A Shares		$1,000.00	$1,022.95		0.41	%		$2.07

SEI Institutional Investments Trust / Annual Report / May 31, 2020 437

DISCLOSURE OF FUND EXPENSES (Unaudited) (Concluded)

May 31, 2020

	Beginning Account Value 12/1/19		Ending Account Value 5/31/20	Annualized Expense Ratios			Expenses Paid During Period *
U.S. Equity Factor Allocation Fund
Actual Fund Return
Class A Shares	$	1,000.00	$941.00		0.02	%		$0.10
Hypothetical 5% Return
Class A Shares	$	1,000.00	$1,024.90		0.02	%		$0.10
U.S. Managed Volatility Fund
Actual Fund Return
Class A Shares	$	1,000.00	$887.70		0.20	%		$0.94
Hypothetical 5% Return
Class A Shares	$	1,000.00	$1,024.00		0.20	%		$1.01
Global Managed Volatility Fund
Actual Fund Return
Class A Shares	$	1,000.00	$893.10		0.24	%		$1.14
Hypothetical 5% Return
Class A Shares	$	1,000.00	$1,023.80		0.24	%		$1.21
World Equity Ex-US Fund
Actual Fund Return
Class A Shares	$	1,000.00	$908.10		0.31	%		$1.50
Hypothetical 5% Return
Class A Shares	$	1,000.00	$1,023.43		0.31	%		$1.59
Screened World Equity Ex-US Fund
Actual Fund Return
Class A Shares	$	1,000.00	$913.10		0.38	%		$1.83
Hypothetical 5% Return
Class A Shares	$	1,000.00	$1,023.08		0.38	%		$1.94
World Select Equity Fund
Actual Fund Return
Class A Shares	$	1,000.00	$867.10		0.41	%		$1.91
Hypothetical 5% Return
Class A Shares	$	1,000.00	$1,022.95		0.41	%		$2.07
Emerging Markets Equity Fund
Actual Fund Return
Class A Shares	$	1,000.00	$896.70		0.64	%		$3.03
Hypothetical 5% Return
Class A Shares	$	1,000.00	$1,021.80		0.64	%		$3.23
Opportunistic Income Fund
Actual Fund Return
Class A Shares	$	1,000.00	$980.00		0.24	%		$1.19
Hypothetical 5% Return
Class A Shares	$	1,000.00	$1,023.80		0.24	%		$1.21
Core Fixed Income Fund
Actual Fund Return
Class A Shares	$	1,000.00	$1,058.50		0.12	%		$0.62
Hypothetical 5% Return
Class A Shares	$	1,000.00	$1,024.40		0.12	%		$0.61
High Yield Bond Fund
Actual Fund Return
Class A Shares	$	1,000.00	$962.70		0.29	%		$1.42
Hypothetical 5% Return
Class A Shares	$	1,000.00	$1,023.55		0.29	%		$1.47

	Beginning Account Value 12/1/19		Ending Account Value 5/31/20	Annualized Expense Ratios			Expenses Paid During Period *
Long Duration Fund
Actual Fund Return
Class A Shares	$	1,000.00	$1,096.70		0.15	%		$0.79
Hypothetical 5% Return
Class A Shares	$	1,000.00	$1,024.25		0.15	%		$0.76
Long Duration Credit Fund
Actual Fund Return
Class A Shares	$	1,000.00	$1,074.30		0.15	%		$0.78
Hypothetical 5% Return
Class A Shares	$	1,000.00	$1,024.25		0.15	%		$0.76
Ultra Short Duration Bond Fund
Actual Fund Return
Class A Shares	$	1,000.00	$1,010.00		0.12	%		$0.60
Hypothetical 5% Return
Class A Shares	$	1,000.00	$1,024.40		0.12	%		$0.61
Emerging Markets Debt Fund
Actual Fund Return
Class A Shares	$	1,000.00	$954.30		0.44	%		$2.13
Hypothetical 5% Return
Class A Shares	$	1,000.00	$1,022.82		0.44	%		$2.21
Real Return Fund
Actual Fund Return
Class A Shares	$	1,000.00	$1,021.20		0.02	%		$0.10
Hypothetical 5% Return
Class A Shares	$	1,000.00	$1,024.90		0.02	%		$0.10
Limited Duration Bond Fund
Actual Fund Return
Class A Shares	$	1,000.00	$1,025.70		0.11	%		$0.56
Hypothetical 5% Return
Class A Shares	$	1,000.00	$1,024.45		0.11	%		$0.56
Intermediate Duration Credit Fund
Actual Fund Return
Class A Shares	$	1,000.00	$1,050.50		0.15	%		$0.77
Hypothetical 5% Return
Class A Shares	$	1,000.00	$1,024.25		0.15	%		$0.76
Dynamic Asset Allocation Fund
Actual Fund Return
Class A Shares	$	1,000.00	$987.20		0.08	%		$0.40
Hypothetical 5% Return
Class A Shares	$	1,000.00	$1,024.60		0.08	%		$0.40
Multi-Asset Real Return Fund
Actual Fund Return
Class A Shares	$	1,000.00	$953.90		0.75	%		$3.66
Hypothetical 5% Return
Class A Shares	$	1,000.00	$1,021.25		0.75	%		$3.79

* Expenses are equal to the Fund’s annualized expense ratio, including dividend expense, if applicable, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period shown).

438 SEI Institutional Investments Trust / Annual Report / May 31, 2020

REVIEW OF LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited)

Pursuant to Rule 22e-4 under the 1940 Act, the Trust, on behalf of the Funds, has adopted a liquidity risk management program (the “Program”) to govern the Trust’s approach to managing liquidity risk. The Program is overseen by the SIMC Liquidity Risk Oversight Committee, and the Program’s principal objectives include assessing, managing and periodically reviewing each Fund’s liquidity risk, based on factors specific to the circumstances of the Fund.

At a meeting of the Board held on March 24, 2020, the Trustees received a report from the SIMC Liquidity Risk Oversight Committee addressing the operations of the Program and assessing its adequacy and effectiveness of implementation. The SIMC Liquidity Risk Oversight Committee determined, and reported to the Board, that the Program is reasonably designed to assess and manage each Fund’s liquidity risk and has operated adequately and effectively to manage each Fund’s liquidity risk since the Program was implemented on December 1, 2018. The SIMC Liquidity Risk Oversight Committee reported that during the period covered by the report, there were no liquidity events that impacted the Funds or their ability to timely meet redemptions without dilution to existing shareholders. The SIMC Liquidity Risk Oversight Committee further noted that no material changes have been made to the Program since its implementation.

There can be no assurance that the Program will achieve its objectives in the future. Please refer to the prospectus for more information regarding a Fund’s exposure to liquidity risk and other principal risks to which an investment in the Funds may be subject.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 439

BOARD OF TRUSTEES CONSIDERATIONS IN APPROVING THE ADVISORY AND SUB-ADVISORY AGREEMENT (Unaudited)

SEI Institutional Investments Trust (the “Trust”) and SEI Investments Management Corporation (“SIMC”) have entered into an investment advisory agreement (the “Advisory Agreement”), pursuant to which SIMC provides investment advisory services to the series of the Trust (the “Funds”). Pursuant to separate sub-advisory agreements with SIMC (the “Sub-Advisory Agreements” and, together with the Advisory Agreement, the “Investment Advisory Agreements”), and under the supervision of SIMC and the Trust’s Board of Trustees (each member, a “Trustee” and, collectively, the “Trustees” or the “Board”), the sub-advisers (each, a “Sub-Adviser” and collectively, the “Sub-Advisers”) provide security selection and certain other advisory services with respect to all or a discrete portion of the assets of the Funds. The Sub-Advisers are also responsible for managing their employees who provide services to the 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 a Fund’s Investment Advisory Agreements be specifically approved by the vote of a majority of the outstanding shareholders of the Funds and 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 such purpose. In addition, the 1940 Act requires that the continuation or renewal of any Investment Advisory Agreement be approved at least annually (after an initial period of up to two years), which also requires the vote of a majority of the Board, including a majority of the Independent Trustees. In the case of the initial approval of a Sub-Advisory Agreement, only the approval of a majority of the Board, including a majority of the Independent Trustees, is required, pursuant to an exemptive order that has been granted to the Trust by the Securities and Exchange Commission. In connection with their consideration of such initial approvals and renewals, 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 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 Board calls and holds meetings each year to consider whether to approve new and/or renew existing 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 and the services provided pursuant to the Investment Advisory Agreements. The Board also receives data from third parties. This information is provided 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 counsel 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 sessions outside the presence of Fund management and participate in question and answer sessions with representatives of SIMC and the Sub-Advisers.

Specifically, during the course of the Trust’s fiscal year, the Board requested and received written materials from SIMC and the Sub-Advisers regarding: (i) the quality of SIMC’s and the Sub-Advisers’ investment management and other services; (ii) SIMC’s and the Sub-Advisers’ investment management personnel; (iii) SIMC’s and the Sub-Advisers’ operations and financial condition; (iv) SIMC’s and the Sub-Advisers’ brokerage practices (including any soft dollar arrangements) and investment strategies; (v) the level of the advisory fees that SIMC charges the Funds and the level of the sub-advisory fees that SIMC pays the Sub-Advisers, compared with fees each charge to comparable accounts; (vi) the advisory fees charged by SIMC and the Funds’ overall fees and operating expenses compared with peer groups of mutual funds prepared by Broadridge, an independent provider of investment company data; (vii) the level of SIMC’s and the Sub-Advisers’ profitability from their Fund-related operations; (viii) SIMC’s and the Sub-Advisers’ compliance program, including a description of material compliance matters and material compliance violations; (ix) SIMC’s potential economies of scale; (x) SIMC’s and the Sub-Advisers’ policies on and compliance procedures for personal securities transactions; (xi) SIMC’s and the Sub-Advisers’ expertise and resources in domestic and/or international financial markets; and (xii) the Funds’ performance over various periods of time compared with peer groups of mutual funds prepared by Broadridge and the Funds’ benchmark indexes.

440 SEI Institutional Investments Trust / Annual Report / May 31, 2020

At the March 23-25, 2020 meeting of the Board, the Trustees, including a majority of the Independent Trustees, approved the renewal of the Advisory Agreement. Also, each Sub-Advisory Agreement was either initially approved or, if the Sub-Advisory Agreement was already in effect (unless operating under an initial two-year term), renewed at meetings of the Board held during the course of the Trust’s fiscal year on June 25-26, 2019, September 10-11, 2019, December 3-4, 2019 and March 23-25, 2020. In each case, the Board’s approval (or renewal) was based on its consideration and evaluation of the factors described above, as discussed at the meetings and at prior meetings. The following discusses some, but not all, of the factors that were considered by the Board in connection with its assessment of the Investment Advisory Agreements.

Nature, Extent and Quality of Services. The Board 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 each Sub-Adviser’s personnel, experience, track record and compliance program. Following evaluation, the Board concluded that, within the context of its full deliberations, the nature, extent and quality of services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds were sufficient to support the renewal of the Investment Advisory Agreements. In addition to advisory services, the Board considered the nature and quality of certain administrative, transfer agency and other non-investment advisory services provided to the Funds by SIMC and/or its affiliates.

Performance. In determining whether to renew SIMC’s Advisory Agreement, the Trustees considered the Funds’ performance relative to their peer groups and appropriate indexes/benchmarks. The Trustees reviewed performance information for each Fund, noting that they receive performance reports that permit them to monitor each Fund’s performance at board meetings throughout the year. As part of this review, the Trustees considered the composition of each peer group and selection criteria. In assessing Fund performance, the Trustees considered a report compiled by Broadridge, an independent third-party that was engaged to prepare an assessment of the Funds in connection with the renewal of the Advisory Agreement (the “Broadridge Report”). The Broadridge Report included metrics on risk analysis, volatility versus total return, net total return and performance consistency for the Funds and a universe of comparable funds. Based on the materials considered and discussed at the meetings, the Trustees found Fund performance satisfactory, or, where performance was materially below the benchmark and/or peer group, the Trustees were satisfied with the reasons provided to explain such performance. In connection with the approval or renewal of Sub-Advisory Agreements, the Board considered the performance of the Sub-Adviser relative to appropriate indexes/benchmarks. Following evaluation, the Board concluded that, within the context of its full deliberations, the performance of the Funds was sufficient to support renewal of SIMC’s Advisory Agreement, and the performance of each Sub-Adviser was sufficient to support approval or renewal of the Sub-Advisory Agreement.

Fees. 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 ratios in comparison to those of the Funds’ respective peer groups. In assessing Fund expenses, the Trustees considered the information in the Broadridge Report, which included various metrics related to fund expenses, including, but not limited to, contractual management fees at various asset levels, actual management fees (including transfer agent expenses), and actual total expenses for the Funds and a universe of comparable funds. Based on the materials considered and discussion at the meetings, the Trustees further determined that fees were either shown to be below the peer average in the comparative fee analysis, or that there was a reasonable basis for the fee level. The Trustees also considered the effects of SIMC’s and its affiliates voluntary waivers of management and other fees to prevent total Fund operating expenses from exceeding certain amounts, as well as SIMC’s contractual waiver of its management fee with respect to the Emerging Markets Equity Fund to prevent total Fund operating expenses from exceeding specified caps, and concluded that SIMC, through waivers, has maintained the Funds’ net operating expenses at competitive levels for its distribution channels. In determining the appropriateness of fees, the Board also took into consideration the impact of fees incurred indirectly by the Funds as a result of investments into underlying funds, including funds from which SIMC or its affiliates earn fees. The Board also took into consideration compensation earned from the Funds by SIMC or its affiliates for non-advisory services, such as administration, transfer agency, shareholder services or brokerage, and considered whether SIMC and its affiliates may have realized other benefits from their relationship with the Funds, such as any research and brokerage services received under soft dollar arrangements. When considering fees paid to Sub-Advisers, the Board took into account the fact that the Sub-Advisers are compensated by SIMC and not by the Funds directly, and that such compensation with respect to any unaffiliated Sub-Adviser reflects an arms-length negotiation between the Sub-Adviser and SIMC.

SEI Institutional Investments Trust / Annual Report / May 31, 2020 441

BOARD OF TRUSTEES CONSIDERATIONS IN APPROVING THE ADVISORY AND SUB-ADVISORY AGREEMENT (Unaudited) (Concluded)

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. The Board also considered whether the Sub-Advisers and their affiliates may have realized other benefits from their relationship with the Funds, such as any research and brokerage services received under soft dollar arrangements.

Profitability. With regard to profitability, the Trustees considered compensation flowing to SIMC and the Sub-Advisers and their affiliates, directly or indirectly. The Trustees considered whether the levels of compensation and profitability were reasonable. As with the fee levels, when considering the profitability of the Sub-Advisers, the Board took into account the fact that compensation with respect to any unaffiliated Sub-Adviser reflects an arms-length negotiation between the Sub-Adviser and SIMC. In connection with the approval or renewal of each Sub-Advisory Agreement, the Board also took into consideration the impact that the fees paid to the Sub-Adviser have on SIMC’s advisory fee margin and profitability. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the profitability of each of SIMC and the Sub-Advisers is reasonable and supported renewal of the Investment Advisory Agreements.

Economies of Scale. With respect to the Advisory Agreement, the Trustees considered whether any economies of scale were being realized by SIMC and its affiliates and, if so, whether the benefits of such economies of scale 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. The Trustees recognized that economies of scale are difficult to identify and quantify and are rarely identifiable on a fund-by-fund basis. Based on this evaluation, the Board determined that the fees were reasonable in light of the information that was provided by SIMC with respect to economies of scale.

Based on the Trustees’ deliberation and their evaluation of the information described above, the Board, including all of the Independent Trustees, with the assistance of Fund counsel and Independent Trustees’ counsel, unanimously approved the approval or renewal, as applicable, 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 its deliberations, the Board did not identify any particular factor (or conclusion with respect thereto) or single piece of information that was all-important, controlling or determinative of its decision, but considered all of the factors together, and each Trustee may have attributed different weights to the various factors (and conclusions with respect thereto) and information.

442 SEI Institutional Investments Trust / Annual Report / May 31, 2020

NOTICE TO SHAREHOLDERS (Unaudited)

For shareholders who do not have a May 31, 2020 taxable year end, this notice is for informational purposes only. For shareholders with a May 31, 2020 taxable year end, please consult your tax adviser as to the pertinence of this notice.

For the fiscal year ended May 31, 2020, the Funds are designating long term and qualifying dividend income with regard to distributions paid during the year as follows:

Fund	(A) Long Term Capital Gains Distributions (Tax Basis)	(B) Return of Capital (Tax Basis)	(C) Ordinary Income Distributions (Tax Basis)	Total Distributions (Tax Basis)	(D) Dividends Qualifying for Corporate Dividends Rec. Deduction(1)
Large Cap Fund	75.21%	0.00%	24.79%	100.00%	65.54%
Large Cap Disciplined Equity Fund	85.38%	0.00%	14.62%	100.00%	91.72%
Large Cap Index Fund	87.82%	0.00%	12.18%	100.00%	77.31%
S&P 500 Index Fund	36.15%	0.00%	63.85%	100.00%	51.71%
Extended Market Index Fund	64.95%	0.00%	35.05%	100.00%	26.74%
Small Cap Fund	78.08%	0.00%	21.92%	100.00%	50.63%
Small Cap II Fund	79.87%	0.00%	20.13%	100.00%	64.69%
Small/Mid Cap Equity Fund	85.81%	0.00%	14.19%	100.00%	67.57%
U.S. Equity Factor Allocation Fund	0.00%	0.00%	100.00%	100.00%	80.79%
U.S. Managed Volatility Fund	62.71%	0.00%	37.29%	100.00%	82.24%
Global Managed Volatility Fund	30.74%	0.00%	69.26%	100.00%	30.08%
World Equity Ex-US Fund	0.00%	0.00%	100.00%	100.00%	0.00%
Screened World Equity Ex-US Fund	0.00%	0.00%	100.00%	100.00%	0.00%
World Select Equity Fund	0.00%	0.00%	100.00%	100.00%	33.04%
Emerging Markets Equity Fund	0.00%	0.00%	100.00%	100.00%	0.06%
Opportunistic Income Fund	0.00%	0.00%	100.00%	100.00%	0.00%
Core Fixed Income Fund	0.00%	0.00%	100.00%	100.00%	0.00%
High Yield Bond Fund	0.00%	0.00%	100.00%	100.00%	0.00%
Long Duration Fund	20.77%	0.00%	79.23%	100.00%	0.00%
Long Duration Credit Fund	0.00%	0.00%	100.00%	100.00%	0.00%
Ultra Short Duration Bond Fund	0.00%	0.00%	100.00%	100.00%	0.00%
Emerging Markets Debt Fund	0.00%	0.00%	100.00%	100.00%	0.00%
Real Return Fund	0.00%	0.00%	100.00%	100.00%	0.00%
Limited Duration Bond Fund	0.00%	0.00%	100.00%	100.00%	0.00%
Intermediate Duration Credit Fund	0.00%	0.00%	100.00%	100.00%	0.00%
Dynamic Asset Allocation Fund	75.77%	0.00%	24.23%	100.00%	83.28%
Multi-Asset Real Return Fund	0.00%	0.00%	100.00%	100.00%	20.66%

SEI Institutional Investments Trust / Annual Report / May 31, 2020 443

NOTICE TO SHAREHOLDERS (Unaudited) (Concluded)

Fund	(E) Qualifying Dividend Income (15% Tax Rate for QDI)(2)	(F) U.S. Government Interest(3)	Interest Related Dividends(4)	Short-Term Capital Gain Dividends(5)	Qualifying Business Income Deduction(6)
Large Cap Fund	71.71%	0.00%	0.02%	100.00%	3.65%
Large Cap Disciplined Equity Fund	94.82%	0.01%	0.00%	0.00%	4.74%
Large Cap Index Fund	80.45%	0.01%	0.01%	100.00%	4.49%
S&P 500 Index Fund	54.16%	0.01%	0.95%	100.00%	2.97%
Extended Market Index Fund	30.98%	0.02%	1.05%	100.00%	17.29%
Small Cap Fund	52.06%	0.00%	0.00%	100.00%	17.92%
Small Cap II Fund	66.18%	0.00%	3.21%	0.00%	5.63%
Small/Mid Cap Equity Fund	70.79%	0.00%	3.77%	0.00%	11.31%
U.S. Equity Factor Allocation Fund	83.21%	0.00%	0.65%	0.00%	3.60%
U.S. Managed Volatility Fund	88.97%	0.00%	0.00%	100.00%	4.36%
Global Managed Volatility Fund	67.68%	0.00%	0.59%	100.00%	3.63%
World Equity Ex-US Fund	75.97%	0.00%	0.00%	0.00%	0.24%
Screened World Equity Ex-US Fund	97.42%	0.00%	0.00%	0.00%	0.00%
World Select Equity Fund	91.33%	0.00%	0.00%	0.00%	0.24%
Emerging Markets Equity Fund	55.11%	0.00%	1.69%	0.00%	10.41%
Opportunistic Income Fund	0.00%	0.68%	90.76%	0.00%	0.00%
Core Fixed Income Fund	0.00%	9.16%	48.02%	100.00%	0.00%
High Yield Bond Fund	0.00%	0.00%	85.20%	0.00%	0.00%
Long Duration Fund	0.00%	9.72%	4.58%	100.00%	0.00%
Long Duration Credit Fund	0.00%	2.42%	58.42%	100.00%	0.00%
Ultra Short Duration Bond Fund	0.00%	2.89%	84.71%	0.00%	0.00%
Emerging Markets Debt Fund	0.00%	0.03%	93.86%	0.00%	0.00%
Real Return Fund	0.00%	72.21%	0.45%	0.00%	0.00%
Limited Duration Bond Fund	0.00%	16.39%	13.44%	0.00%	0.00%
Intermediate Duration Credit Fund	0.00%	3.61%	63.12%	0.00%	0.00%
Dynamic Asset Allocation Fund	83.50%	0.00%	0.00%	0.00%	0.00%
Multi-Asset Real Return Fund	20.74%	0.00%	0.00%	0.00%	0.00%

The Funds intend to pass through foreign tax credit to shareholders. For the fiscal year ended May 31, 2020, the amount of foreign source income and foreign tax credit are as follows:

Fund	Foreign Source Income	Foreign Tax Credit Pass Through
Screened World Equity Ex-US Fund	$2,288,648	$234,854
World Equity Ex-US Fund	158,938,736	15,066,221
Emerging Markets Equity Fund	21,354,125	2,447,615

(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” 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, 2020. Complete information will be computed and reported in conjunction with your 2020 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. With the exception of The Real Return Fund, 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” is reflected as a percentage of ordinary income distribution. Interest related dividends are exempted from U.S. withholding tax when paid to foreign investors.

(5) The percentage in this column represents the amount of “Short Term Capital Gain Dividend” is reflected as a percentage of short term capital gain distribution that is exempted from U.S. withholding tax when paid to foreign investors.

(6) The percentage in this column represents that amount of ordinary dividend income that qualifed for 20% Business Income Deduction.

Items (A), (B) and (C) are based on the percentage of each Fund’s total distribution.

Items (D) and (E) are based on the percentage of ordinary income distributions of each Fund.

Item (F) 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.

444 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SEI Institutional Investments Trust / Annual Report / May 31, 2020

Robert A. Nesher, Chairman

Trustees

William M. Doran

George J. Sullivan, Jr.

Nina Lesavoy

James M. Williams

Mitchell A. Johnson

Hubert L. Harris, Jr.

Susan C. Cote

James B. Taylor

Christine Reynolds

Officers

Robert A. Nesher

President and Chief Executive Officer

Peter A. Rodriguez

Controller and Chief Financial Officer

Glenn R. Kurdziel

Assistant Controller

Russell Emery

Chief Compliance Officer

Timothy D. Barto

Vice President, Secretary

Aaron Buser

Vice President, Assistant Secretary

David F. McCann

Vice President, Assistant Secretary

Stephen G. MacRae

Vice President

Bridget E. Sudall

Anti-Money Laundering Compliance Officer

Privacy 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)

1 Freedom Valley Drive, P.O. Box 1100, Oaks, PA 19456

SEI-F-140 (5/20)

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, principal accounting officer or controller, 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 three audit committee financial experts serving on the audit committee.

(a) (2) The audit committee financial experts are Susan Cote, George J. Sullivan, Jr. and Hubert L. Harris. Ms. Cote and Messrs. Sullivan and Harris are 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 Registrant.

KPMG billed the Registrant aggregate fees for services rendered to the Registrant for the fiscal years 2020 and 2019 as follows:

		Fiscal Year 2020			Fiscal Year 2019
		All fees and services to the Registrant that were pre-approved	All fees and services to service affiliates that were pre-approved	All other fees and services to service affiliates that did not require pre-approval	All fees and services to the Registrant that were pre-approved	All fees and services to service affiliates that were pre-approved	All other fees and services to service affiliates that did not require pre-approval
(a)	Audit Fees(1)	$1,037,095	$0	N/A	$1,019,780	$0	N/A
(b)	Audit-Related Fees	$0	$0	$0	$0	$0	$0
(c)	Tax Fees	$0	$0	$0	$0	$0	$0
(d)	All Other Fees(2)	$0	$346,022	$0	$0	$273,762	$0

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.

(2) See Item 4 (g) for a description of the services comprising the fees disclosed under this category.

(e)(1) The Registrant’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 Registrant may be pre-approved. In any instance where services require pre-approval, the Audit Committee will consider whether such services are consistent with SEC’s rules on auditor independence and whether the provision of such services would compromise the auditor’s independence.

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.

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 has delegated specific pre-approval authority to either the Audit Committee Chair or financial experts, 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. The Audit Committee will annually review and pre-approve the services that may be provided by the independent auditor during the following twelve months without obtaining specific pre-approval from the Audit Committee.

The Audit Committee will be informed by the CFO on a quarterly basis of all services rendered by the independent auditor.

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 (or the manner of their determination) 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 Year 2020		Fiscal Year   2019
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 2020 and 2019 were $346,002 and $273,762, respectively. Non-audit fees consist of a service organization controls report review of fund accounting and administration operations and an attestation report in accordance with Rule 17Ad-13.

(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. Investments

(a) The Schedules of Investments in securities of unaffiliated issuers as of the close of the reporting period for the Large Cap Fund, Large Cap Disciplined Equity Fund, Large Cap Index Fund, S&P 500 Index Fund, Extended Market Index Fund, Small Cap Fund, Small Cap II Fund, Small/Mid Cap Equity Fund, U.S Equity Factor Allocation Fund, U.S. Managed Volatility Fund, Global Managed Volatility Fund, World Equity Ex-US Fund, Screened World Equity Ex-US Fund, World Select Equity Fund, Emerging Markets Equity Fund, and the Consolidated Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period for the Dynamic Asset Allocation Fund are listed below. The Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period for the Opportunistic Income Fund, Core Fixed Income Fund, High Yield Bond Fund, Long Duration Fund, Long Duration Credit Fund, Ultra Short Duration Bond Fund, Emerging Markets Debt Fund, Real Return Fund, Limited Duration Bond Fund and Intermediate Duration Credit Fund and the Consolidated Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period for the Multi-Asset Real Return Fund are included as part of the report to shareholders filed under Item 1 of this form.

SCHEDULE OF INVESTMENTS

Large Cap Fund

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK — 97.4%
Communication Services — 6.7%
Activision Blizzard Inc		32,679	$	2,352
Alphabet Inc, Cl A *		1,692		2,425
Alphabet Inc, Cl C *		8,265		11,810
AT&T Inc		246,400		7,604
BCE Inc (A)		108,730		4,509
Cable One Inc		949		1,791
Comcast Corp, Cl A		138,327		5,478
Electronic Arts Inc *		18,690		2,297
Facebook Inc, Cl A *		48,064		10,819
Netflix Inc *		2,377		998
News Corp, Cl A		20,908		256
Omnicom Group Inc (A)		58,007		3,178
Take-Two Interactive Software Inc *		9,756		1,328
TEGNA Inc		82,100		962
Verizon Communications Inc		112,500		6,455
ViacomCBS Inc, Cl B (A)		29,156		605
Zynga Inc, Cl A *		27,615		253
				63,120
Consumer Discretionary — 11.6%
Alibaba Group Holding Ltd ADR *		21,659		4,492
Amazon.com Inc *		10,068		24,590
American Eagle Outfitters Inc (A)		75,600		693
Aptiv PLC		3,742		282
Best Buy Co Inc		23,944		1,870
Big Lots Inc (A)		17,400		674
Brunswick Corp/DE		2,010		111
CarMax Inc *		329		29
Carter’s Inc		32,876		2,824
Cooper Tire & Rubber Co		32,100		826
Dillard’s Inc, Cl A (A)		15,300		459
Dollar General Corp		38,403		7,355
Domino’s Pizza Inc		736		284
DR Horton Inc		36,914		2,041
eBay Inc		29,900		1,362
Etsy Inc *		9,378		759
Foot Locker Inc		44,000		1,219
Ford Motor Co		204,000		1,165
Garmin Ltd		835		75
General Motors Co		70,000		1,812
Gentex Corp		29,319		775
Genuine Parts Co		55,855		4,659
Goodyear Tire & Rubber Co/The		77,400		589
Harley-Davidson Inc (A)		25,500		544
Home Depot Inc/The		10,891		2,706
KB Home		37,600		1,244
Kohl’s Corp (A)		29,500		567
Lear Corp		11,600		1,230
Lowe’s Cos Inc		99,209		12,932
Macy’s Inc (A)		53,200		338
MercadoLibre Inc *		648		552
NIKE Inc, Cl B		39,616		3,905

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
O’Reilly Automotive Inc *		6,605	$	2,756
Pinterest Inc, Cl A *		30,641		622
Pool Corp		3,067		825
PulteGroup Inc		49,100		1,668
Ross Stores Inc		53,871		5,223
Royal Caribbean Cruises Ltd (A)		9,200		477
Starbucks Corp		36,151		2,819
Target Corp		66,400		8,123
Whirlpool Corp (A)		17,400		2,120
Wingstop Inc		6,773		826
Wyndham Destinations Inc		31,800		1,011
				109,433
Consumer Staples — 8.1%
Altria Group Inc		88,915		3,472
Coca-Cola Co/The		49,572		2,314
Colgate-Palmolive Co		37,596		2,719
Conagra Brands Inc		111,633		3,884
Darling Ingredients Inc *		42,914		1,000
Diageo PLC ADR (A)		26,035		3,661
JM Smucker Co/The		49,139		5,598
Kimberly-Clark Corp		32,100		4,540
Kroger Co/The		270,693		8,830
Molson Coors Beverage Co, Cl B (A)		24,900		945
Mondelez International Inc, Cl A		47,813		2,492
PepsiCo Inc		25,267		3,324
Philip Morris International Inc		126,852		9,306
Procter & Gamble Co/The		29,712		3,444
Sysco Corp		38,717		2,136
Tyson Foods Inc, Cl A		33,000		2,028
Unilever NV		217,681		11,215
US Foods Holding Corp *		27,349		524
Walgreens Boots Alliance Inc		111,160		4,773
				76,205
Energy — 2.2%
Chevron Corp		87,983		8,068
ConocoPhillips		77,815		3,282
Devon Energy Corp		81,200		878
Exxon Mobil Corp		58,280		2,650
Marathon Petroleum Corp		39,000		1,370
Phillips 66		28,400		2,223
Valero Energy Corp		37,200		2,479
				20,950
Financials — 14.3%
Aflac Inc		101,949		3,718
Allstate Corp/The		25,800		2,524
Ally Financial Inc		77,000		1,343
Ameriprise Financial Inc		23,000		3,222
Annaly Capital Management Inc ‡		121,900		751
Bank of America Corp		275,500		6,645
Berkshire Hathaway Inc, Cl B *		53,402		9,910
BlackRock Inc, Cl A		1,473		779

1 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Large Cap Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Capital One Financial Corp		17,000	$	1,157
Charles Schwab Corp/The		98,862		3,550
Chubb Ltd		37,710		4,598
CIT Group Inc		44,100		800
Citigroup Inc		132,275		6,337
Citizens Financial Group Inc		80,300		1,935
CME Group Inc, Cl A		2,110		385
CNA Financial Corp		13,500		408
Discover Financial Services		26,700		1,269
Everest Re Group Ltd		6,100		1,210
Fifth Third Bancorp		64,200		1,245
First Republic Bank/CA		56,480		6,109
Goldman Sachs Group Inc/The		7,900		1,552
Hartford Financial Services Group Inc/The		25,500		976
Intercontinental Exchange Inc		40,173		3,907
JPMorgan Chase & Co		106,630		10,376
KeyCorp		74,100		878
Lincoln National Corp		49,300		1,870
Markel Corp *		6,712		6,024
Marsh & McLennan Cos Inc		40,914		4,334
MetLife Inc		30,300		1,091
MGIC Investment Corp		82,300		676
Moody’s Corp		20,532		5,490
Morgan Stanley		157,409		6,957
Morningstar Inc		3,518		539
MSCI Inc, Cl A		3,937		1,295
Nasdaq Inc		2,413		286
Navient Corp		86,700		645
PNC Financial Services Group Inc/The		9,500		1,083
Principal Financial Group Inc		29,162		1,126
Progressive Corp/The		26,506		2,059
Prudential Financial Inc		27,400		1,670
Radian Group Inc		52,200		829
Regions Financial Corp		194,400		2,199
S&P Global Inc		13,624		4,428
Starwood Property Trust Inc ‡		43,400		576
State Street Corp		96,057		5,856
Tradeweb Markets Inc, Cl A		7,266		479
Travelers Cos Inc/The		20,235		2,165
Truist Financial Corp		89,670		3,298
Unum Group		38,400		582
US Bancorp		70,630		2,512
Wells Fargo & Co		28,000		741
				134,394
Health Care — 17.3%
Abbott Laboratories		25,131		2,385
AbbVie Inc		23,800		2,205
ACADIA Pharmaceuticals Inc *(A)		17,746		882
Alexion Pharmaceuticals Inc *		16,610		1,992
Alnylam Pharmaceuticals Inc *		5,641		763
AmerisourceBergen Corp, Cl A		45,202		4,310
Amgen Inc		38,079		8,747

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Baxter International Inc		949	$	85
Biogen Inc *		7,900		2,426
Bio-Rad Laboratories Inc, Cl A *		196		96
Boston Scientific Corp *		75,104		2,853
Bristol-Myers Squibb Co		67,210		4,014
Cardinal Health Inc		30,439		1,665
Chemed Corp		4,447		2,128
CVS Health Corp		123,757		8,115
Danaher Corp		23,437		3,905
DaVita Inc *		10,937		886
DexCom Inc *		1,785		675
Eli Lilly and Co		33,630		5,144
Gilead Sciences Inc		23,500		1,829
Guardant Health Inc *		2,751		249
GW Pharmaceuticals PLC ADR *(A)		4,454		546
HCA Healthcare Inc		25,000		2,672
Hologic Inc *		26,868		1,424
Humana Inc		5,977		2,454
Johnson & Johnson		135,109		20,097
Laboratory Corp of America Holdings *		5,500		964
Masimo Corp *		1,737		417
McKesson Corp		18,700		2,967
Medpace Holdings Inc *		7,377		685
Medtronic PLC		39,771		3,921
Merck & Co Inc		177,588		14,335
Mettler-Toledo International Inc *		4,411		3,507
Momenta Pharmaceuticals Inc *		35,321		1,112
Novartis AG ADR		58,341		5,101
Perrigo Co PLC		69,317		3,797
Pfizer Inc		337,684		12,896
Quest Diagnostics Inc		46,569		5,508
Regeneron Pharmaceuticals Inc *		2,600		1,593
Teleflex Inc		17,195		6,239
Thermo Fisher Scientific Inc		9,306		3,250
UnitedHealth Group Inc		27,565		8,403
Universal Health Services Inc, Cl B		11,400		1,202
Vertex Pharmaceuticals Inc *		5,252		1,512
West Pharmaceutical Services Inc		10,736		2,319
				162,275
Industrials — 8.9%
3M Co		47,074		7,364
AECOM *		8,236		319
AGCO Corp		18,700		1,033
Allison Transmission Holdings Inc, Cl A		40,300		1,520
American Airlines Group Inc (A)		42,100		442
AMETEK Inc		11,198		1,027
Caterpillar Inc		10,100		1,213
Cintas Corp		5,417		1,343
CoStar Group Inc *		1,021		671
Cummins Inc		18,900		3,205
Curtiss-Wright Corp		10,355		1,039
Delta Air Lines Inc (A)		40,300		1,016

2 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Large Cap Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Expeditors International of Washington Inc		22,079	$	1,686
Exponent Inc		10,687		793
Fortive Corp		67,173		4,096
General Dynamics Corp		20,521		3,013
Honeywell International Inc		35,749		5,214
Hubbell Inc, Cl B		538		66
Huntington Ingalls Industries Inc		4,000		800
Illinois Tool Works Inc		14,265		2,460
Johnson Controls International plc		125,235		3,934
Kansas City Southern		6,036		909
ManpowerGroup Inc		18,000		1,245
Masco Corp		28,985		1,352
Old Dominion Freight Line Inc		6,950		1,189
Oshkosh Corp		20,000		1,436
Pentair PLC		17,551		687
Pitney Bowes Inc (A)		85,200		202
Raytheon Technologies Corp		75,700		4,884
Regal Beloit Corp		2,342		186
Republic Services Inc, Cl A		26,782		2,289
Roper Technologies Inc		13,948		5,493
Siemens AG ADR		65,100		3,580
Simpson Manufacturing Co Inc		4,970		398
Stanley Black & Decker Inc		17,595		2,207
Tetra Tech Inc		3,303		261
Textron Inc		41,500		1,285
Trane Technologies PLC		3,212		290
TransDigm Group Inc		5,834		2,478
TransUnion		6,766		584
Trinity Industries Inc (A)		58,500		1,168
Uber Technologies Inc *		38,542		1,400
Union Pacific Corp		8,129		1,381
United Airlines Holdings Inc *(A)		32,900		923
United Rentals Inc *(A)		8,900		1,236
Werner Enterprises Inc (A)		14,312		661
WW Grainger Inc		12,279		3,802
				83,780
Information Technology — 19.7%
Adobe Inc *		27,195		10,514
Advanced Micro Devices Inc *		27,807		1,496
Akamai Technologies Inc *		4,114		435
Amdocs Ltd		10,998		685
Amphenol Corp, Cl A		28,677		2,769
Apple Inc		56,766		18,048
Applied Materials Inc		111,694		6,275
Arrow Electronics Inc *		14,515		1,003
Avalara Inc *		4,338		464
Booz Allen Hamilton Holding Corp, Cl A		6,643		530
Brooks Automation Inc		2,320		93
CACI International Inc, Cl A *		1,265		317
Cadence Design Systems Inc *		16,622		1,517
Cisco Systems Inc		156,455		7,482
Citrix Systems Inc		2,713		402

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Corning Inc		24,680	$	562
Crowdstrike Holdings Inc, Cl A *		7,868		691
DXC Technology Co		28,400		404
Entegris Inc		20,430		1,223
F5 Networks Inc *		3,054		443
Fidelity National Information Services Inc		29,503		4,096
Fiserv Inc *		15,599		1,665
Flex Ltd *		20,814		202
Global Payments Inc		15,691		2,816
Hewlett Packard Enterprise Co		108,400		1,052
HP Inc		77,800		1,178
Intel Corp		263,574		16,587
International Business Machines Corp		10,700		1,336
Intuit Inc		32,657		9,481
Jabil Inc		11,409		341
Juniper Networks Inc		8,296		201
Lam Research Corp		7,451		2,039
Leidos Holdings Inc		21,177		2,230
ManTech International Corp/VA, Cl A		1,858		144
Maxim Integrated Products Inc		3,210		185
Microchip Technology Inc (A)		82,446		7,916
Micron Technology Inc *		25,916		1,242
Microsoft Corp		157,707		28,900
NCR Corp *		29,400		531
NVIDIA Corp		16,139		5,730
NXP Semiconductors NV		22,316		2,145
ON Semiconductor Corp *		40,100		661
Oracle Corp		44,800		2,409
Palo Alto Networks Inc *		1,684		396
PayPal Holdings Inc *		24,344		3,774
salesforce.com *		36,175		6,323
SAP SE ADR		51,730		6,627
Seagate Technology PLC		27,700		1,469
Semtech Corp *		8,125		432
Switch Inc, Cl A (A)		14,316		274
Synopsys Inc *		13,788		2,494
Teradyne Inc		2,007		135
VeriSign Inc *		4,450		975
Visa Inc, Cl A		57,370		11,201
Vishay Intertechnology Inc		46,100		750
Western Union Co/The (A)		49,400		989
Xerox Holdings Corp		46,300		735
				185,014
Materials — 2.9%
Air Products and Chemicals Inc		3,157		763
Ardagh Group SA, Cl A		10,025		121
Ball Corp		10,497		748
Celanese Corp, Cl A		14,200		1,277
Chemours Co/The (A)		46,300		607
Domtar Corp		24,000		490
Dow Inc		48,000		1,853
Eastman Chemical Co		33,800		2,301

3 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Large Cap Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Ecolab Inc		13,364	$	2,841
Huntsman Corp		95,000		1,724
International Paper Co		23,200		790
Linde PLC		14,702		2,975
LyondellBasell Industries NV, Cl A		28,700		1,830
O-I Glass Inc, Cl I		65,000		498
Reliance Steel & Aluminum Co		15,300		1,484
RPM International Inc		38,005		2,842
Sherwin-Williams Co/The		3,446		2,046
Steel Dynamics Inc		48,300		1,283
Westrock Co		40,000		1,122
				27,595
Real Estate — 2.8%
American Tower Corp, Cl A ‡		20,154		5,203
Boston Properties Inc ‡		269		23
Brixmor Property Group Inc ‡		56,000		625
CoreSite Realty Corp ‡		6,762		844
Crown Castle International Corp ‡		13,636		2,348
CyrusOne Inc ‡		792		59
Duke Realty Corp ‡		63,703		2,196
First Industrial Realty Trust Inc ‡		11,721		444
Gaming and Leisure Properties Inc ‡		41,300		1,426
Healthpeak Properties Inc ‡		128,075		3,156
Lexington Realty Trust, Cl B ‡		66,500		646
QTS Realty Trust Inc, Cl A ‡		27,680		1,899
Rexford Industrial Realty Inc ‡		40,089		1,596
SBA Communications Corp, Cl A ‡		1,191		374
Service Properties Trust ‡		37,100		250
Terreno Realty Corp ‡		9,528		488
VEREIT Inc ‡		167,100		916
Welltower Inc ‡		67,355		3,413
Xenia Hotels & Resorts Inc ‡		42,100		379
				26,285
Utilities — 2.9%
Alliant Energy Corp		16,836		831

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Avista Corp		17,401	$	682
Duke Energy Corp		41,500		3,554
Entergy Corp		5,589		569
Evergy Inc		45,400		2,801
Exelon Corp		85,000		3,256
IDACORP Inc		7,609		709
MDU Resources Group Inc		86,850		1,890
NextEra Energy Inc		29,370		7,506
Pinnacle West Capital Corp		14,511		1,130
Public Service Enterprise Group Inc		55,600		2,838
UGI Corp		19,250		613
Vistra Energy Corp		42,000		858
				27,237
Total Common Stock (Cost $764,988) ($ Thousands)				916,288
AFFILIATED PARTNERSHIP — 3.0%
SEI Liquidity Fund, L.P.
0.290% **†(B)		28,633,236		28,649
Total Affiliated Partnership (Cost $28,638) ($ Thousands)				28,649
CASH EQUIVALENT — 1.3%
SEI Daily Income Trust, Government Fund, Cl F
0.090% **†		12,187,680		12,188
Total Cash Equivalent (Cost $12,188) ($ Thousands)				12,188
Total Investments in Securities — 101.7% (Cost $805,814) ($ Thousands)			$	957,125

A list of the open futures contracts held by the Fund at May 31, 2020, is as follows:

Type of Contract	Number of Contracts Long		Expiration Date		Notional Amount (Thousands)		Value (Thousands)		Unrealized Appreciation (Thousands)
S&P 500 Index E-MINI		100		Jun-2020	$	15,001	$	15,210	$	209
S&P Mid Cap 400 Index E-MINI		6		Jun-2020		1,048		1,057		9
					$	16,049	$	16,267	$	218

Percentages are based on Net Assets of $941,086 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2020.

† Investment in Affiliated Security (See Note 6).

‡ Real Estate Investment Trust.

(A) Certain securities or partial positions of certain securities are on loan at May 31, 2020 (See Note 12). The total market value of securities on loan at May 31, 2020 was $27,635 ($ Thousands).

(B) This security was purchased with cash collateral held from securities on loan (See Note 12). The total market value of such securities as of May 31, 2020 was $28,649 ($ Thousands).

4 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Large Cap Fund (Concluded)

May 31, 2020

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

Ltd. — Limited

PLC — Public Limited Company

S&P— Standard & Poor’s

The following is a list of the level of inputs used as of May 31, 2020, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Common Stock		916,288		—		—		916,288
Affiliated Partnership		—		28,649		—		28,649
Cash Equivalent		12,188		—		—		12,188
Total Investments in Securities		928,476		28,649		—		957,125

Other Financial Instruments	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Futures Contracts *
Unrealized Appreciation		218		—		—		218
Total Other Financial Instruments		218		—		—		218

* Futures contracts are valued at the unrealized appreciation on the instrument.

For the year ended May 31, 2020, there were no transfers in or out of Level 3.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The following is a summary of the Fund’s transactions with affiliates for the year ended May 31, 2020 ($ Thousands):

Security Description	Value 5/31/2019			Purchases at Cost			Proceeds from Sales				Realized Gain			Change in Unrealized Appreciation			Value 5/31/2020			Shares		Income			Capital Gains
SEI Liquidity Fund, L.P.		$	26,526		$	176,700		$	(174,588	)		$	1		$	10		$	28,649		28,633,236		$	125		$	—
SEI Daily Income Trust, Government Fund, Cl F			94,077			380,836			(462,725	)			—			—			12,188		12,187,680			387			—
Totals		$	120,603		$	557,536		$	(637,313	)		$	1		$	10		$	40,837				$	512		$	—

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

5 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Large Cap Disciplined Equity Fund

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK — 97.6%
Communication Services — 8.7%
Activision Blizzard Inc		92,265	$	6,641
Alphabet Inc, Cl A *		14,536		20,838
Alphabet Inc, Cl C *		4,761		6,803
Altice USA Inc, Cl A *		86,800		2,232
AT&T Inc		243,000		7,499
Cable One Inc		2,377		4,485
CenturyLink Inc		232,100		2,282
Charter Communications Inc, Cl A *		6,600		3,590
Comcast Corp, Cl A		31,800		1,259
Electronic Arts Inc *		49,736		6,112
Facebook Inc, Cl A *		105,056		23,647
Interpublic Group of Cos Inc/The (A)		192,351		3,291
Netflix Inc *		6,900		2,896
News Corp, Cl A		56,090		687
Omnicom Group Inc (A)		70,986		3,889
Take-Two Interactive Software Inc *		24,432		3,327
TripAdvisor Inc *		40,675		784
Verizon Communications Inc		290,616		16,676
ViacomCBS Inc, Cl B (A)		100,849		2,092
Zynga Inc, Cl A *		158,646		1,452
				120,482
Consumer Discretionary — 9.5%
Advance Auto Parts Inc		33,819		4,712
Amazon.com Inc *		15,289		37,341
Asbury Automotive Group Inc *		4,100		296
AutoNation Inc *		32,200		1,271
Booking Holdings Inc *		3,600		5,902
BorgWarner Inc (A)		170,906		5,495
Brunswick Corp/DE		18,759		1,032
Dollar General Corp		48,947		9,374
Domino’s Pizza Inc		1,831		707
DR Horton Inc		59,719		3,302
eBay Inc		99,200		4,518
Etsy Inc *		18,972		1,536
Expedia Group Inc *		3,000		238
frontdoor Inc *		5,569		254
Garmin Ltd		3,804		343
General Motors Co *		202,400		5,238
Gentex Corp		63,945		1,691
Home Depot Inc/The		40,245		10,000
LKQ Corp *		128,500		3,529
Lowe’s Cos Inc		112,424		14,654
M/I Homes Inc *		24,300		814
Marriott Vacations Worldwide Corp *		7,900		710
McDonald’s Corp		19,900		3,708
Murphy USA Inc *		1,100		128
Pool Corp		4,737		1,274
Ross Stores Inc *		61,432		5,956
Sonic Automotive Inc, Cl A		20,800		547
Target Corp		50,800		6,214

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Zumiez Inc *		8,100	$	197
				130,981
Consumer Staples — 7.4%
Altria Group Inc		270,173		10,550
Archer-Daniels-Midland Co		34,300		1,348
Bunge Ltd		14,800		578
Coca-Cola Co/The		243,143		11,350
Conagra Brands Inc		129,331		4,499
Costco Wholesale Corp		4,071		1,256
Coty Inc, Cl A *(A)		203,100		737
General Mills Inc		40,100		2,528
Herbalife Nutrition Ltd *		48,600		2,131
JM Smucker Co/The		31,652		3,606
Kellogg Co		93,266		6,091
Keurig Dr Pepper Inc (A)		101,000		2,820
Kimberly-Clark Corp		9,100		1,287
Kroger Co/The		200,867		6,552
Mondelez International Inc, Cl A		70,034		3,650
PepsiCo Inc		28,753		3,782
Philip Morris International Inc		57,792		4,240
Pilgrim’s Pride Corp *		15,700		325
Procter & Gamble Co/The		150,636		17,462
Sysco Corp		42,966		2,370
Tyson Foods Inc, Cl A		46,700		2,869
Unilever NV		80,534		4,149
Walgreens Boots Alliance Inc		64,800		2,783
Walmart Inc		37,100		4,603
				101,566
Energy — 2.1%
Cabot Oil & Gas Corp, Cl A		15,478		307
Chevron Corp		146,112		13,398
Devon Energy Corp		40,700		440
Diamondback Energy Inc		33,700		1,435
EOG Resources Inc		10,900		556
Exxon Mobil Corp		51,100		2,324
HollyFrontier Corp		14,000		440
Kinder Morgan Inc		166,700		2,634
Marathon Petroleum Corp		112,785		3,963
Phillips 66		38,045		2,978
TechnipFMC PLC		91,000		673
World Fuel Services Corp		12,000		306
				29,454
Financials — 10.4%
Affiliated Managers Group Inc		21,800		1,452
Aflac Inc		93,222		3,400
Allstate Corp/The		46,334		4,532
American Equity Investment Life Holding Co		8,100		176
American International Group Inc		241,149		7,249
Ameriprise Financial Inc		20,400		2,857
Bank of America Corp		656,587		15,837
Bank of New York Mellon Corp/The		40,700		1,513

1 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Large Cap Disciplined Equity Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
BankUnited Inc		22,500	$	416
Berkshire Hathaway Inc, Cl B *		44,079		8,180
BlackRock Inc, Cl A		5,169		2,732
Capital One Financial Corp		25,300		1,722
Cboe Global Markets Inc		20,100		2,140
Chubb Ltd		9,300		1,134
CIT Group Inc		20,400		370
Citigroup Inc		162,800		7,800
Comerica Inc		66,700		2,425
Discover Financial Services		28,500		1,354
Essent Group Ltd		35,179		1,163
Evercore Inc, Cl A		13,900		766
Fidelity National Financial Inc		50,500		1,611
First BanCorp/Puerto Rico		5,600		30
First Hawaiian Inc		30,741		530
Hancock Whitney Corp		12,400		268
Hanover Insurance Group Inc/The		3,129		314
Hilltop Holdings Inc		3,600		67
Intercontinental Exchange Inc		50,426		4,904
JPMorgan Chase & Co		24,602		2,394
KeyCorp		124,200		1,472
Ladder Capital Corp, Cl A ‡		20,490		163
Lincoln National Corp		31,700		1,202
LPL Financial Holdings Inc		3,800		271
MarketAxess Holdings Inc		532		271
Marsh & McLennan Cos Inc		60,125		6,368
MetLife Inc		128,700		4,634
MGIC Investment Corp		174,200		1,430
Morningstar Inc		5,221		800
MSCI Inc, Cl A		9,644		3,171
Nasdaq Inc		5,535		656
Old Republic International Corp		42,300		659
OneMain Holdings Inc, Cl A		1,700		40
PacWest Bancorp		75,700		1,310
Popular Inc		49,800		1,967
Primerica Inc		1,618		184
Principal Financial Group Inc		48,039		1,855
Radian Group Inc		67,900		1,078
Regions Financial Corp		307,300		3,476
S&P Global Inc		5,102		1,658
Starwood Property Trust Inc ‡		18,300		243
State Street Corp		82,209		5,011
Sterling Bancorp/DE		14,700		181
Synchrony Financial		84,000		1,711
Synovus Financial Corp		95,600		1,835
TPG RE Finance Trust Inc		83,000		615
Travelers Cos Inc/The		21,200		2,268
Unum Group		64,600		979
Voya Financial Inc		38,503		1,735
Wells Fargo & Co		385,349		10,200
Western Alliance Bancorp		29,700		1,134

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Willis Towers Watson PLC		37,141	$	7,536
				143,449
Health Care — 18.4%
Abbott Laboratories		164,321		15,597
AbbVie Inc		73,500		6,811
Agilent Technologies Inc		53,314		4,699
Alexion Pharmaceuticals Inc *		24,200		2,902
Alnylam Pharmaceuticals Inc *		17,520		2,370
AmerisourceBergen Corp, Cl A		52,323		4,989
Amgen Inc		56,479		12,973
Anthem Inc		13,400		3,941
Baxter International Inc		13,714		1,234
Becton Dickinson and Co		58,094		14,345
Biogen Inc *		13,054		4,009
Bio-Rad Laboratories Inc, Cl A *		1,183		581
Bristol-Myers Squibb Co		121,168		7,236
Cardinal Health Inc		1,120		61
Chemed Corp		6,588		3,152
Cigna Corp		35,600		7,025
CVS Health Corp		143,519		9,411
Danaher Corp		3,900		650
DaVita Inc *		21,366		1,730
DENTSPLY SIRONA Inc		26,800		1,247
Edwards Lifesciences Corp *		13,200		2,966
Eli Lilly and Co		39,706		6,073
Gilead Sciences Inc		49,100		3,821
HCA Healthcare Inc *		21,300		2,277
Hologic Inc *		50,038		2,652
Humana Inc		31,817		13,066
IQVIA Holdings Inc *		23,000		3,439
Jazz Pharmaceuticals PLC *		16,600		1,981
Johnson & Johnson		99,404		14,786
Masimo Corp *		5,629		1,352
Medtronic PLC		130,536		12,868
Merck & Co Inc		373,414		30,142
Mylan NV *		32,200		550
Pfizer Inc		222,733		8,506
Premier Inc, Cl A *		10,600		369
Regeneron Pharmaceuticals Inc *		2,044		1,253
STERIS PLC		2,100		348
Thermo Fisher Scientific Inc		13,308		4,647
UnitedHealth Group Inc		58,191		17,740
Vertex Pharmaceuticals Inc *		7,700		2,217
West Pharmaceutical Services Inc		15,457		3,339
Zimmer Biomet Holdings Inc		89,737		11,337
Zoetis Inc, Cl A		23,400		3,262
				253,954
Industrials — 8.9%
3M Co		36,491		5,709
Acuity Brands Inc		7,700		663
ADT Inc		118,900		842

2 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Large Cap Disciplined Equity Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Advanced Drainage Systems Inc		4,600	$	204
AECOM *		25,348		983
Allison Transmission Holdings Inc, Cl A		46,100		1,739
Altra Industrial Motion Corp		19,600		608
American Woodmark Corp *		2,400		151
AMETEK Inc		85,345		7,827
Atkore International Group Inc *		48,000		1,288
Barrett Business Services Inc		4,600		233
BMC Stock Holdings Inc *		40,200		1,052
BWX Technologies Inc		2,311		145
Carrier Global Corp *		40,400		827
Crane Co		22,100		1,231
CSX Corp		15,100		1,081
Curtiss-Wright Corp		18,506		1,856
Deere & Co		1,500		228
Delta Air Lines Inc *		9,800		247
Dover Corp		5,114		497
EMCOR Group Inc		10,700		680
Expeditors International of Washington Inc		41,795		3,192
Gates Industrial Corp PLC *		40,500		407
General Dynamics Corp		15,900		2,335
General Electric Co		278,700		1,831
GMS Inc *		28,100		576
Honeywell International Inc		83,944		12,243
Howmet Aerospace Inc *		62,800		821
Hubbell Inc, Cl B		3,567		437
Huntington Ingalls Industries Inc		967		193
Illinois Tool Works Inc		41,343		7,130
Johnson Controls International plc		39,100		1,228
Kansas City Southern		19,132		2,880
Kforce Inc		9,300		281
L3Harris Technologies Inc		48,249		9,623
Lockheed Martin Corp		9,200		3,574
Lydall Inc *		9,300		101
Masco Corp		60,074		2,802
Mueller Industries Inc		7,500		201
Nielsen Holdings PLC		45,700		635
Northrop Grumman Corp		15,000		5,028
Old Dominion Freight Line Inc		16,727		2,862
Oshkosh Corp		10,500		754
Otis Worldwide Corp		6,250		329
Owens Corning		42,700		2,242
PACCAR Inc		2,200		162
Pentair PLC		37,064		1,451
Quanta Services Inc		12,400		458
Raytheon Technologies Corp		33,900		2,187
Republic Services Inc, Cl A		63,325		5,412
Rexnord Corp		45,900		1,382
SkyWest Inc *		5,000		160
SPX Corp *		9,800		392
Standex International Corp		3,300		175
Stanley Black & Decker Inc		61,121		7,668

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Trane Technologies PLC		8,880	$	801
TransUnion		49,709		4,289
UFP Industries Inc		34,800		1,591
Union Pacific Corp		12,100		2,055
Univar Solutions Inc *		24,900		384
WW Grainger Inc		14,206		4,398
				122,761
Information Technology — 22.1%
Accenture PLC, Cl A		24,900		5,020
Adobe Inc *		10,502		4,060
Advanced Micro Devices Inc *		36,474		1,962
Akamai Technologies Inc *		17,434		1,845
Alliance Data Systems Corp		5,600		259
Amdocs Ltd		19,603		1,220
Apple Inc		151,303		48,105
Applied Materials Inc		130,153		7,312
Arrow Electronics Inc *		24,875		1,718
Autodesk Inc *		15,100		3,177
Booz Allen Hamilton Holding Corp, Cl A		50,341		4,015
Broadcom Inc		13,000		3,787
CACI International Inc, Cl A *		9,999		2,508
Cadence Design Systems Inc *		39,151		3,574
CDW Corp/DE		1,758		195
Cisco Systems Inc		197,500		9,445
Citrix Systems Inc		9,706		1,438
Cognizant Technology Solutions Corp, Cl A		61,400		3,254
Cornerstone OnDemand Inc *		9,300		359
DXC Technology Co *		130,700		1,857
Entegris Inc		31,165		1,866
F5 Networks Inc *		12,875		1,866
Fair Isaac Corp *		4,900		1,973
Fortinet Inc *		1,400		195
Global Payments Inc		18,066		3,243
GoDaddy Inc, Cl A *		1,600		124
Hewlett Packard Enterprise Co		229,900		2,232
Intel Corp		200,191		12,598
International Business Machines Corp		27,300		3,410
Intuit Inc		28,716		8,337
Jabil Inc		85,934		2,571
Jack Henry & Associates Inc		1,000		181
Juniper Networks Inc		29,586		718
KBR Inc		29,700		696
Lam Research Corp		18,403		5,036
Leidos Holdings Inc		61,939		6,522
Mastercard Inc, Cl A		4,000		1,204
Microchip Technology Inc (A)		46,206		4,437
Micron Technology Inc *		77,122		3,695
Microsoft Corp		357,599		65,530
Motorola Solutions Inc		57,404		7,768
NortonLifeLock Inc		4,958		113
NVIDIA Corp		33,548		11,910
Oracle Corp		152,174		8,182

3 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Large Cap Disciplined Equity Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
PayPal Holdings Inc *		9,200	$	1,426
Qorvo Inc *		467		49
QUALCOMM Inc		195,563		15,817
SS&C Technologies Holdings Inc		9,400		544
Switch Inc, Cl A (A)		80,081		1,530
Synopsys Inc *		20,005		3,619
Teradyne Inc		4,143		278
VeriSign Inc *		9,134		2,000
Visa Inc, Cl A		23,700		4,627
VMware Inc, Cl A *		16,700		2,610
Western Digital Corp *		8,100		360
Xerox Holdings Corp		109,500		1,739
Xilinx Inc		114,981		10,573
				304,689
Materials — 2.5%
Air Products and Chemicals Inc		34,345		8,299
Arconic Corp *		31,175		451
Ardagh Group SA, Cl A		42,657		514
Ashland Global Holdings Inc		1,885		127
Avery Dennison Corp		63,164		6,990
Corteva Inc		90,600		2,474
Dow Inc		66,800		2,578
DuPont de Nemours Inc		37,900		1,923
Eastman Chemical Co		17,100		1,164
Ecolab Inc		19,757		4,200
LyondellBasell Industries NV, Cl A		23,700		1,511
Nucor Corp		20,400		862
Reliance Steel & Aluminum Co		3,059		297
RPM International Inc		6,510		487
Scotts Miracle-Gro Co/The, Cl A		918		131
Sherwin-Williams Co/The		2,000		1,188
Silgan Holdings Inc		5,106		171
Steel Dynamics Inc		15,100		401
Westrock Co		6,500		182
				33,950
Real Estate — 3.7%
Alexandria Real Estate Equities Inc ‡		30,474		4,684
American Homes 4 Rent, Cl A ‡		154,495		3,899
American Tower Corp, Cl A ‡		477		123
Apple Hospitality REIT Inc *‡		23,000		235
Boston Properties Inc ‡		7,382		635
CBRE Group Inc, Cl A *		3,396		149
Columbia Property Trust Inc ‡		33,000		420
CoreCivic Inc ‡		39,200		472
CoreSite Realty Corp ‡		18,419		2,299
Corporate Office Properties Trust ‡		17,405		435
Crown Castle International Corp ‡		74,186		12,772
CyrusOne Inc ‡		15,170		1,128
Digital Realty Trust Inc ‡		4,100		589
Duke Realty Corp ‡		95,417		3,290
Equinix Inc ‡		638		445

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Equity LifeStyle Properties Inc ‡		13,647	$	850
First Industrial Realty Trust Inc ‡		13,700		519
Franklin Street Properties Corp ‡		22,900		122
Gaming and Leisure Properties Inc ‡		131,400		4,539
Invitation Homes Inc ‡		80,800		2,125
Lamar Advertising Co, Cl A ‡		5,800		384
Medical Properties Trust Inc ‡		262,237		4,741
MGM Growth Properties LLC, Cl A ‡		7,900		219
Prologis Inc ‡		34,600		3,166
Regency Centers Corp ‡		9,000		385
Retail Properties of America Inc, Cl A *‡		74,100		402
SBA Communications Corp, Cl A ‡		5,231		1,643
Service Properties Trust ‡		20,900		141
Spirit Realty Capital Inc ‡		32,600		927
				51,738
Utilities — 3.9%
AES Corp/The		82,600		1,032
Alliant Energy Corp		43,690		2,157
American Electric Power Co Inc		64,319		5,483
Clearway Energy Inc, Cl C		41,900		918
Dominion Energy Inc		15,500		1,318
Duke Energy Corp		31,500		2,697
Entergy Corp		36,341		3,700
Exelon Corp		116,700		4,471
IDACORP Inc		16,441		1,533
National Fuel Gas Co		8,300		348
NextEra Energy Inc		46,507		11,885
NRG Energy Inc		15,400		555
OGE Energy Corp		5,900		185
Pinnacle West Capital Corp		30,951		2,411
PPL Corp		140,000		3,912
Public Service Enterprise Group Inc		37,800		1,929
Sempra Energy		21,300		2,690
Southern Co/The		46,000		2,625
UGI Corp		62,900		2,003
Vistra Energy Corp		77,500		1,584
				53,436
Total Common Stock (Cost $1,092,579) ($ Thousands)				1,346,460
	Face Amount (Thousands)
U.S. TREASURY OBLIGATION — 0.0%
U.S. Treasury Bill
0.000%, 06/18/2020 (B)	$	120		120
Total U.S. Treasury Obligation (Cost $120) ($ Thousands)				120

4 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Large Cap Disciplined Equity Fund (Concluded)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
AFFILIATED PARTNERSHIP — 1.6%
SEI Liquidity Fund, L.P.
0.290% **†(C)		22,568,868	$	22,577
Total Affiliated Partnership (Cost $22,573) ($ Thousands)				22,577

Description	Shares		Market Value ($ Thousands)
CASH EQUIVALENT — 2.7%
SEI Daily Income Trust, Government Fund, Cl F
0.090% **†		37,159,794	$	37,160
Total Cash Equivalent (Cost $37,160) ($ Thousands)				37,160
Total Investments in Securities — 101.9% (Cost $1,152,432) ($ Thousands)			$	1,406,317

A list of the open futures contracts held by the Fund at May 31, 2020, is as follows:

Type of Contract	Number of Contracts Long	Expiration Date	Notional Amount (Thousands)		Value (Thousands)		Unrealized Appreciation (Thousands)
S&P 500 Index E-MINI	88	Jun-2020	$	13,042	$	13,385	$	343

Percentages are based on a Net Assets of $1,380,069 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2020.

‡ Real Estate Investment Trust.

† Investment in Affiliated Security (see Note 6).

(A) Certain securities or partial positions of certain securities are on loan at May 31, 2020 (see Note 12). The total market value of securities on loan at May 31, 2020, was $21,852 ($ Thousands).

(B) Security, or portion thereof, has been pledged as collateral on open futures contracts.

(C) This security was purchased with cash collateral held from securities on loan (see Note 12). The total market value of such securities as of May 31, 2020 was $22,577 ($ Thousands).

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

Ltd. — Limited

MSCI — Morgan Stanley Capital International

PLC — Public Limited Company

REIT — Real Estate investment Trust

S&P— Standard & Poor’s

SPX — Standard & Poor’s 500 Index

The following is a list of the level of inputs used as of May 31, 2020, in valuing the Fund’s investments carried at value ($ Thousands):

Investments in Securities	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Common Stock		1,346,460		—		—		1,346,460
U.S. Treasury Obligation		—		120		—		120
Affiliated Partnership		—		22,577		—		22,577
Cash Equivalent		37,160		—		—		37,160
Total Investments in Securities		1,383,620		22,697		—		1,406,317

Other Financial Instruments	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Futures Contracts *
Unrealized Appreciation		343		—		—		343
Total Other Financial Instruments		343		—		—		343

* Futures contracts are valued at the unrealized appreciation on the instrument.

For the year ended May 31, 2020, there were no transfers in or out of Level 3.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The following is a summary of the Fund’s transactions with affiliates for the year ended May 31, 2020 ($ Thousands):

Security Description	Value 5/31/2019			Purchases at Cost			Proceeds from Sales				Realized Gain			Change in Unrealized Appreciation			Value 5/31/2020			Shares		Income			Capital Gains
SEI Liquidity Fund, L.P.		$	56,762		$	293,068		$	(327,261	)		$	1		$	7		$	22,577		22,568,868		$	—		$	—
SEI Daily Income Trust, Government Fund, Cl F			72,385			941,013			(976,238	)			—			—			37,160		37,159,794			887			—
Totals		$	129,147		$	1,234,081		$	(1,303,499	)		$	1		$	7		$	59,737				$	887		$	—

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

5 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Large Cap Index Fund

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK — 99.4%
Communication Services — 10.4%
Activision Blizzard Inc		47,956	$	3,452
Alphabet Inc, Cl A *		18,729		26,848
Alphabet Inc, Cl C *		18,799		26,862
Altice USA Inc, Cl A *		18,500		476
AMC Networks Inc, Cl A *		2,185		62
AT&T Inc		458,485		14,149
Cable One Inc		257		485
CenturyLink Inc (A)		62,106		611
Charter Communications Inc, Cl A *		9,497		5,166
Cinemark Holdings Inc *		8,100		122
Comcast Corp, Cl A		283,350		11,221
Discovery Inc, Cl A *(A)		8,000		174
Discovery Inc, Cl C *		23,300		456
DISH Network Corp, Cl A *		15,226		482
Electronic Arts Inc *		17,365		2,134
Facebook Inc, Cl A *		149,600		33,674
Fox Corp		31,527		916
GCI Liberty Inc *		4,949		342
IAC/interactivecorp *		4,532		1,225
Interpublic Group of Cos Inc/The		23,275		398
John Wiley & Sons Inc, Cl A		3,842		154
Liberty Broadband Corp, Cl A *		1,280		172
Liberty Broadband Corp, Cl C *		7,008		957
Liberty Media Corp-Liberty Formula One, Cl A *		1,600		54
Liberty Media Corp-Liberty Formula One, Cl C *		12,200		423
Liberty Media Corp-Liberty SiriusXM, Cl A *		4,020		147
Liberty Media Corp-Liberty SiriusXM, Cl C *		8,540		312
Lions Gate Entertainment Corp, Cl A *(A)		4,900		39
Lions Gate Entertainment Corp, Cl B *		10,883		82
Live Nation Entertainment Inc *		7,300		359
Madison Square Garden Entertainment Corp *		1,086		86
Madison Square Garden Sports C, Cl A *		1,086		185
Match Group Inc *(A)		3,400		303
Netflix Inc *		26,500		11,123
New York Times Co/The, Cl A		8,800		345
News Corp		10,800		132
News Corp, Cl A		25,546		313
Nexstar Media Group Inc, Cl A		2,400		200
Omnicom Group Inc (A)		12,744		698
Roku Inc, Cl A *(A)		4,600		504
Sinclair Broadcast Group Inc, Cl A		3,000		56
Sirius XM Holdings Inc (A)		79,600		463
Spotify Technology SA *		8,100		1,466
Take-Two Interactive Software Inc *		7,300		994
Telephone and Data Systems Inc		4,280		88
T-Mobile US Inc *		23,898		2,391
TripAdvisor Inc *		5,767		111
Twitter Inc *		45,560		1,411

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
United States Cellular Corp *		831	$	25
Verizon Communications Inc		259,776		14,906
ViacomCBS Inc		715		18
ViacomCBS Inc, Cl B (A)		38,786		804
Walt Disney Co/The *		109,750		12,874
World Wrestling Entertainment Inc, Cl A		2,200		102
Zillow Group Inc, Cl A *		2,643		153
Zillow Group Inc, Cl C *(A)		8,286		481
Zynga Inc, Cl A *		50,500		462
				182,648
Consumer Discretionary — 10.9%
Advance Auto Parts Inc		3,508		489
Amazon.com Inc *		26,189		63,963
Aptiv PLC *		16,900		1,273
Aramark		15,300		396
AutoNation Inc *		3,032		120
AutoZone Inc *		1,507		1,730
Best Buy Co Inc		13,347		1,042
Booking Holdings Inc *		2,632		4,315
BorgWarner Inc (A)		12,764		410
Bright Horizons Family Solutions Inc *		3,600		403
Brunswick Corp/DE		6,800		374
Burlington Stores Inc *		3,700		776
Caesars Entertainment Corp *		28,200		321
Capri Holdings Ltd *		7,300		110
CarMax Inc *		9,760		859
Carnival Corp, Cl A *(A)		23,300		367
Carter’s Inc *		3,300		283
Carvana Co, Cl A *(A)		1,900		177
Chipotle Mexican Grill Inc, Cl A *		1,619		1,625
Choice Hotels International Inc *		1,884		152
Columbia Sportswear Co *		2,300		168
Darden Restaurants Inc *		9,122		701
Dick’s Sporting Goods Inc *		1,858		67
Dollar General Corp		16,200		3,102
Dollar Tree Inc *		15,234		1,491
Domino’s Pizza Inc		2,400		926
DR Horton Inc		20,368		1,126
Dunkin’ Brands Group Inc *		5,500		351
eBay Inc		48,411		2,205
Etsy Inc *		6,700		543
Expedia Group Inc *		7,822		622
Extended Stay America Inc		7,600		87
Five Below Inc *		3,000		314
Floor & Decor Holdings Inc, Cl A *		4,800		250
Foot Locker Inc *		5,869		163
Ford Motor Co *		253,284		1,446
frontdoor Inc *		4,700		215
Gap Inc/The		15,021		134
Garmin Ltd		8,700		784
General Motors Co *		79,600		2,060
Gentex Corp		12,864		340

1 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Large Cap Index Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Genuine Parts Co		9,511	$	793
Goodyear Tire & Rubber Co/The *		15,552		118
Graham Holdings Co, Cl B		157		56
Grand Canyon Education Inc *		2,300		224
Grubhub Inc *(A)		4,800		272
H&R Block Inc		11,725		199
Hanesbrands Inc (A)		19,972		197
Harley-Davidson Inc		10,003		213
Hasbro Inc		7,067		520
Hilton Grand Vacations Inc *		5,170		111
Hilton Worldwide Holdings Inc *		16,633		1,319
Home Depot Inc/The		68,415		17,000
Hyatt Hotels Corp, Cl A *(A)		2,600		143
International Game Technology PLC		8,400		71
Kohl’s Corp *		10,319		198
L Brands Inc *		11,357		184
Las Vegas Sands Corp *		21,893		1,050
Lear Corp *		3,600		382
Leggett & Platt Inc		7,212		221
Lennar Corp, Cl A		16,790		1,015
Lennar Corp, Cl B		1,713		77
LKQ Corp *		18,400		505
Lowe’s Cos Inc		48,710		6,349
Lululemon Athletica Inc *		7,600		2,281
Macy’s Inc *(A)		18,430		117
Marriott International Inc/MD, Cl A *		16,294		1,442
Mattel Inc *(A)		19,842		183
McDonald’s Corp		47,580		8,865
MGM Resorts International (A)		29,739		511
Mohawk Industries Inc *		2,766		258
Newell Brands Inc (A)		27,193		358
NIKE Inc, Cl B		74,068		7,302
Nordstrom Inc *(A)		6,912		112
Norwegian Cruise Line Holdings Ltd *		12,400		194
NVR Inc *		184		593
Ollie’s Bargain Outlet Holdings Inc *		2,800		256
O’Reilly Automotive Inc *		4,740		1,978
Penske Automotive Group Inc *		1,800		64
Planet Fitness Inc, Cl A *		4,700		304
Polaris Inc		4,700		410
Pool Corp		2,500		673
PulteGroup Inc		12,945		440
PVH Corp *		3,300		150
Qurate Retail Inc *		28,230		232
Ralph Lauren Corp, Cl A *		3,180		240
Ross Stores Inc *		22,676		2,199
Royal Caribbean Cruises Ltd *(A)		10,000		519
Service Corp International/US		10,894		430
ServiceMaster Global Holdings Inc *		6,200		204
Six Flags Entertainment Corp *		3,500		80
Skechers USA Inc, Cl A *		8,500		266
Starbucks Corp		74,312		5,796

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Tapestry Inc *		13,967	$	190
Target Corp		30,985		3,790
Tempur Sealy International Inc *		1,700		111
Tesla Inc *		9,137		7,629
Thor Industries Inc (A)		3,300		284
Tiffany & Co		7,125		913
TJX Cos Inc/The *		76,816		4,053
Toll Brothers Inc		8,751		283
Tractor Supply Co		7,400		903
Ulta Beauty Inc *		3,152		769
Under Armour Inc, Cl A *		10,700		94
Under Armour Inc, Cl C *		8,821		69
Urban Outfitters Inc *		3,820		65
Vail Resorts Inc *		2,100		416
VF Corp		19,968		1,120
Wayfair Inc, Cl A *(A)		3,800		652
Wendy’s Co/The		13,075		278
Whirlpool Corp (A)		3,716		453
Williams-Sonoma Inc (A)		5,162		430
Wyndham Destinations Inc		4,768		152
Wyndham Hotels & Resorts Inc		5,768		265
Wynn Resorts Ltd *		5,196		433
Yum China Holdings Inc *		21,148		980
Yum! Brands Inc		19,548		1,754
				190,040
Consumer Staples — 6.6%
Altria Group Inc		117,940		4,606
Archer-Daniels-Midland Co		34,479		1,355
Beyond Meat Inc *(A)		2,700		346
Brown-Forman Corp, Cl A		2,200		131
Brown-Forman Corp, Cl B		9,817		647
Bunge Ltd		8,800		343
Campbell Soup Co (A)		8,978		458
Casey’s General Stores Inc		1,900		303
Church & Dwight Co Inc		15,314		1,150
Clorox Co/The		8,103		1,671
Coca-Cola Co/The		241,040		11,252
Colgate-Palmolive Co		53,050		3,837
Conagra Brands Inc		28,376		987
Constellation Brands Inc, Cl A		10,431		1,801
Costco Wholesale Corp		27,681		8,539
Coty Inc, Cl A *		14,922		54
Energizer Holdings Inc (A)		2,941		129
Estee Lauder Cos Inc/The, Cl A *		13,808		2,727
Flowers Foods Inc		10,325		244
General Mills Inc		38,492		2,426
Grocery Outlet Holding Corp *		6,700		247
Hain Celestial Group Inc/The *		3,300		104
Herbalife Nutrition Ltd *		6,500		285
Hershey Co/The		9,298		1,261
Hormel Foods Corp (A)		16,756		818
Ingredion Inc		4,100		345

2 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Large Cap Index Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
JM Smucker Co/The		6,311	$	719
Kellogg Co		15,403		1,006
Keurig Dr Pepper Inc (A)		13,500		377
Kimberly-Clark Corp		21,618		3,058
Kraft Heinz Co/The		39,402		1,201
Kroger Co/The		48,646		1,587
Lamb Weston Holdings Inc		8,362		502
McCormick & Co Inc/MD		7,693		1,347
Molson Coors Beverage Co, Cl B *(A)		11,962		454
Mondelez International Inc, Cl A		89,606		4,670
Monster Beverage Corp *		22,987		1,653
Nu Skin Enterprises Inc, Cl A		3,900		145
PepsiCo Inc		88,052		11,583
Philip Morris International Inc		98,168		7,202
Pilgrim’s Pride Corp *		400		8
Post Holdings Inc *		3,800		331
Procter & Gamble Co/The		152,654		17,696
Reynolds Consumer Products Inc		5,200		174
Seaboard Corp		16		47
Spectrum Brands Holdings Inc		2,918		138
Sprouts Farmers Market Inc *		9,000		226
Sysco Corp		28,348		1,564
TreeHouse Foods Inc *		3,000		158
Tyson Foods Inc, Cl A		18,565		1,141
US Foods Holding Corp *		13,000		249
Walgreens Boots Alliance Inc		47,825		2,054
Walmart Inc		87,379		10,840
				116,196
Energy — 2.8%
Antero Midstream Corp		10,700		51
Antero Resources Corp *		18,400		55
Apache Corp (A)		21,559		233
Apergy Corp *		1,828		17
Baker Hughes Co, Cl A		38,040		628
Cabot Oil & Gas Corp, Cl A		23,700		470
Centennial Resource Development Inc/DE, Cl A *		11,100		11
Cheniere Energy Inc *		13,600		603
Chesapeake Energy Corp *(A)		306		4
Chevron Corp		119,902		10,995
Cimarex Energy Co		6,900		181
Concho Resources Inc		13,424		732
ConocoPhillips		69,276		2,922
Continental Resources Inc/OK *(A)		5,300		65
Devon Energy Corp		20,413		221
Diamondback Energy Inc		8,717		371
EOG Resources Inc		35,090		1,789
EQT Corp *		11,619		155
Equitrans Midstream Corp (A)		16,495		133
Exxon Mobil Corp		266,138		12,101
Halliburton Co		51,036		600
Helmerich & Payne Inc		6,550		132

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Hess Corp (A)		18,512	$	879
HollyFrontier Corp		7,026		221
Kinder Morgan Inc		125,122		1,977
Kosmos Energy Ltd *		17,200		31
Marathon Oil Corp *		48,376		258
Marathon Petroleum Corp		38,419		1,350
Murphy Oil Corp (A)		5,354		64
National Oilwell Varco Inc *		23,180		289
Noble Energy Inc		24,324		212
Occidental Petroleum Corp (A)		61,319		794
ONEOK Inc		24,558		901
Parsley Energy Inc, Cl A		17,300		158
Patterson-UTI Energy Inc		13,832		51
PBF Energy Inc, Cl A *		6,900		73
Phillips 66		28,388		2,222
Pioneer Natural Resources Co		10,844		993
Range Resources Corp *(A)		20,614		124
Schlumberger Ltd		82,255		1,519
Targa Resources Corp		14,800		265
Transocean Ltd *(A)		33,900		45
Valero Energy Corp		26,736		1,782
Williams Cos Inc/The		80,496		1,645
WPX Energy Inc *		23,648		134
				48,456
Financials — 10.5%
Affiliated Managers Group Inc		3,220		215
Aflac Inc		46,812		1,707
AGNC Investment Corp ‡		34,059		441
Alleghany Corp *		999		513
Allstate Corp/The		20,325		1,988
Ally Financial Inc		23,500		410
American Express Co		41,834		3,977
American Financial Group Inc/OH		4,114		248
American International Group Inc		56,223		1,690
American National Insurance Co		822		62
Ameriprise Financial Inc		7,680		1,076
Annaly Capital Management Inc ‡		86,211		531
Aon PLC, Cl A		14,544		2,864
Arch Capital Group Ltd *		22,600		638
Arthur J Gallagher & Co		11,104		1,047
Associated Banc-Corp		7,284		102
Assurant Inc		4,193		430
Assured Guaranty Ltd		4,700		122
Athene Holding Ltd, Cl A *		9,400		272
Axis Capital Holdings Ltd		4,800		180
Bank of America Corp		502,463		12,119
Bank of Hawaii Corp		2,282		147
Bank of New York Mellon Corp/The		51,309		1,907
Bank OZK		6,400		144
BankUnited Inc		5,700		105
Berkshire Hathaway Inc, Cl B *		122,600		22,752
BGC Partners Inc, Cl A		22,900		59

3 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Large Cap Index Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
BlackRock Inc, Cl A		9,185	$	4,856
BOK Financial Corp		2,475		126
Brighthouse Financial Inc *		7,728		230
Brown & Brown Inc		13,948		561
Capital One Financial Corp		27,725		1,886
Cboe Global Markets Inc		6,600		703
Charles Schwab Corp/The		72,985		2,621
Chimera Investment Corp ‡(A)		8,380		70
Chubb Ltd		28,491		3,474
Cincinnati Financial Corp		8,986		530
CIT Group Inc		5,103		93
Citigroup Inc		132,904		6,367
Citizens Financial Group Inc		26,700		643
CME Group Inc, Cl A		22,370		4,085
CNA Financial Corp		3,100		94
Comerica Inc		8,953		325
Commerce Bancshares Inc/MO		7,191		458
Credit Acceptance Corp *(A)		500		185
Cullen/Frost Bankers Inc (A)		3,568		271
Discover Financial Services		18,889		897
E*TRADE Financial Corp		12,300		560
East West Bancorp Inc		9,000		315
Eaton Vance Corp		6,010		217
Equitable Holdings Inc		26,200		501
Erie Indemnity Co, Cl A		1,419		256
Evercore Inc, Cl A		3,100		171
Everest Re Group Ltd		2,500		496
FactSet Research Systems Inc		2,300		707
Fidelity National Financial Inc		15,152		483
Fifth Third Bancorp		43,082		835
First American Financial Corp		6,900		348
First Citizens BancShares Inc/NC, Cl A		500		193
First Hawaiian Inc		8,000		138
First Horizon National Corp		21,756		203
First Republic Bank/CA		10,700		1,157
FNB Corp/PA		17,100		127
Franklin Resources Inc (A)		19,649		371
Globe Life Inc		6,487		500
Goldman Sachs Group Inc/The		20,175		3,964
Hanover Insurance Group Inc/The		2,493		250
Hartford Financial Services Group Inc/The		23,710		908
Huntington Bancshares Inc/OH		55,134		490
Interactive Brokers Group Inc, Cl A		5,600		237
Intercontinental Exchange Inc		34,800		3,384
Invesco Ltd		16,800		134
Janus Henderson Group PLC		8,300		179
Jefferies Financial Group Inc		16,706		245
JPMorgan Chase & Co		195,534		19,027
Kemper Corp		3,300		209
KeyCorp		59,751		708
Lazard Ltd, Cl A (B)		6,900		185
Legg Mason Inc		4,781		238

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
LendingTree Inc *(A)		400	$	104
Lincoln National Corp		11,688		443
Loews Corp		15,936		530
LPL Financial Holdings Inc		4,800		343
M&T Bank Corp		8,557		904
Markel Corp *		790		709
MarketAxess Holdings Inc		2,500		1,271
Marsh & McLennan Cos Inc		32,165		3,407
Mercury General Corp		2,396		96
MetLife Inc		50,109		1,804
MFA Financial Inc *‡		33,700		57
MGIC Investment Corp		18,900		155
Moody’s Corp		10,527		2,815
Morgan Stanley		73,978		3,270
Morningstar Inc		1,000		153
MSCI Inc, Cl A		5,300		1,743
Nasdaq Inc		7,000		829
Navient Corp		10,214		76
New Residential Investment Corp ‡		24,100		173
New York Community Bancorp Inc (A)		33,272		334
Northern Trust Corp		11,505		909
Old Republic International Corp		17,490		273
OneMain Holdings Inc, Cl A		4,700		110
PacWest Bancorp		8,200		142
People’s United Financial Inc (A)		24,934		285
Pinnacle Financial Partners Inc		4,100		163
PNC Financial Services Group Inc/The		27,422		3,127
Popular Inc		5,853		231
Primerica Inc		2,300		261
Principal Financial Group Inc		16,308		630
Progressive Corp/The		36,880		2,865
Prosperity Bancshares Inc		6,000		392
Prudential Financial Inc		23,663		1,443
Raymond James Financial Inc		7,221		500
Regions Financial Corp		59,487		673
Reinsurance Group of America Inc, Cl A		4,699		426
RenaissanceRe Holdings Ltd		2,600		436
S&P Global Inc		15,556		5,056
Santander Consumer USA Holdings Inc (A)		4,900		81
SEI Investments Co †		6,742		366
Signature Bank/New York NY		3,100		319
SLM Corp		25,914		196
Starwood Property Trust Inc ‡		14,100		187
State Street Corp		23,079		1,407
Sterling Bancorp/DE		9,300		114
SVB Financial Group *		3,200		687
Synchrony Financial		36,018		734
Synovus Financial Corp		7,896		152
T Rowe Price Group Inc		14,130		1,708
TCF Financial Corp		7,076		205
TD Ameritrade Holding Corp		16,145		602
Texas Capital Bancshares Inc *		3,800		102

4 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Large Cap Index Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
TFS Financial Corp		6,200	$	96
Travelers Cos Inc/The		15,375		1,645
Truist Financial Corp		84,963		3,125
Two Harbors Investment Corp ‡		15,900		72
Umpqua Holdings Corp		15,800		180
Unum Group		11,905		180
US Bancorp		88,197		3,136
Virtu Financial Inc, Cl A		2,600		62
Voya Financial Inc		8,500		383
Webster Financial Corp		5,600		158
Wells Fargo & Co		235,566		6,236
Western Alliance Bancorp		6,500		248
White Mountains Insurance Group Ltd		179		164
Willis Towers Watson PLC		8,300		1,684
Wintrust Financial Corp		2,000		85
WR Berkley Corp		8,121		471
Zions Bancorp NA		7,802		257
				184,137
Health Care — 15.0%
Abbott Laboratories		108,637		10,312
AbbVie Inc		111,401		10,324
ABIOMED Inc *		2,800		627
Acadia Healthcare Co Inc *		7,100		203
Adaptive Biotechnologies Corp *		5,800		224
Agilent Technologies Inc		19,064		1,680
Agios Pharmaceuticals Inc *		3,700		191
Alexion Pharmaceuticals Inc *		13,700		1,643
Align Technology Inc *		4,600		1,130
Alkermes PLC *		9,200		150
Alnylam Pharmaceuticals Inc *		6,300		852
AmerisourceBergen Corp, Cl A		8,624		822
Amgen Inc		36,958		8,489
Anthem Inc		16,031		4,715
Avantor Inc *		14,100		267
Baxter International Inc		30,615		2,756
Becton Dickinson and Co		16,870		4,166
Biogen Inc *		11,000		3,378
BioMarin Pharmaceutical Inc *		10,600		1,129
Bio-Rad Laboratories Inc, Cl A *		1,300		639
Bio-Techne Corp		2,541		673
Bluebird Bio Inc *		3,800		242
Boston Scientific Corp *		88,039		3,345
Bristol-Myers Squibb Co		147,519		8,810
Bruker Corp		5,700		247
Cantel Medical Corp *		2,800		118
Cardinal Health Inc		17,329		948
Catalent Inc *		9,800		762
Centene Corp *		36,858		2,442
Cerner Corp		18,796		1,370
Change Healthcare Inc *		20,808		260
Charles River Laboratories International Inc *		3,143		565

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Chemed Corp		1,100	$	526
Cigna Corp		23,102		4,558
Cooper Cos Inc/The		2,904		920
Covetrus Inc *		3,907		60
CVS Health Corp		81,699		5,357
Danaher Corp		38,802		6,465
DaVita Inc *		6,885		557
DENTSPLY SIRONA Inc		13,366		622
DexCom Inc *		5,800		2,194
Edwards Lifesciences Corp *		13,228		2,973
Elanco Animal Health Inc *		28,137		602
Eli Lilly and Co		53,671		8,209
Encompass Health Corp		5,800		425
Envista Holdings Corp *		8,100		171
Exact Sciences Corp *(A)		8,700		747
Exelixis Inc *		21,900		541
Gilead Sciences Inc		80,134		6,237
Guardant Health Inc *		1,700		154
HCA Healthcare Inc *		17,300		1,849
Henry Schein Inc *(A)		8,868		538
Hill-Rom Holdings Inc		4,124		419
Hologic Inc *		17,600		933
Horizon Therapeutics Plc *		9,700		492
Humana Inc		8,475		3,480
ICU Medical Inc *		1,200		240
IDEXX Laboratories Inc *		5,104		1,577
Illumina Inc *		9,305		3,378
Incyte Corp *		12,100		1,233
Insulet Corp *		3,300		622
Integra LifeSciences Holdings Corp *		3,000		156
Intuitive Surgical Inc *		7,271		4,217
Ionis Pharmaceuticals Inc *		8,300		467
IQVIA Holdings Inc *		10,613		1,587
Jazz Pharmaceuticals PLC *		3,100		370
Johnson & Johnson		166,409		24,753
Laboratory Corp of America Holdings *		5,690		998
Masimo Corp *		3,100		745
McKesson Corp		10,370		1,645
MEDNAX Inc *		5,500		86
Medtronic PLC		84,726		8,352
Merck & Co Inc		160,043		12,919
Mettler-Toledo International Inc *		1,436		1,142
Moderna Inc *(A)		12,300		756
Molina Healthcare Inc *		3,400		632
Mylan NV *		30,819		526
Nektar Therapeutics, Cl A *		8,700		189
Neurocrine Biosciences Inc *		5,400		674
Penumbra Inc *(A)		2,300		397
PerkinElmer Inc		6,534		656
Perrigo Co PLC		7,800		427
Pfizer Inc		349,522		13,348
PPD Inc *		7,700		210

5 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Large Cap Index Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
PRA Health Sciences Inc *		3,900	$	404
Premier Inc, Cl A *		4,400		153
QIAGEN NV *		14,740		645
Quest Diagnostics Inc		8,244		975
Regeneron Pharmaceuticals Inc *		5,800		3,554
ResMed Inc		9,182		1,477
Sage Therapeutics Inc *		3,100		111
Sarepta Therapeutics Inc *(A)		3,900		594
Seattle Genetics Inc *		6,700		1,053
STERIS PLC		4,900		813
Stryker Corp		21,704		4,248
Teleflex Inc		2,740		994
Thermo Fisher Scientific Inc		25,225		8,808
United Therapeutics Corp *		2,400		283
UnitedHealth Group Inc		59,320		18,084
Universal Health Services Inc, Cl B *		4,876		514
Varian Medical Systems Inc *		5,630		683
Veeva Systems Inc, Cl A *		8,500		1,860
Vertex Pharmaceuticals Inc *		16,400		4,723
Waters Corp *		3,946		789
West Pharmaceutical Services Inc		4,400		951
Zimmer Biomet Holdings Inc		12,225		1,544
Zoetis Inc, Cl A		30,244		4,216
				262,286
Industrials — 8.3%
3M Co		35,233		5,512
Acuity Brands Inc		1,900		164
ADT Inc		6,700		47
AECOM *		10,116		392
AGCO Corp		3,700		204
Air Lease Corp, Cl A		5,300		160
Alaska Air Group Inc *		5,900		202
Allegion plc		5,766		575
Allison Transmission Holdings Inc, Cl A		6,300		238
AMERCO *		600		194
American Airlines Group Inc *(A)		23,000		242
AMETEK Inc		14,828		1,360
AO Smith Corp		7,600		361
Armstrong World Industries Inc		2,900		219
Boeing Co/The *		33,391		4,870
BWX Technologies Inc		6,750		422
Carlisle Cos Inc		3,566		427
Carrier Global Corp *		51,078		1,046
Caterpillar Inc		33,888		4,071
CH Robinson Worldwide Inc (A)		8,986		729
Cintas Corp		5,557		1,378
Clean Harbors Inc *		3,400		202
Colfax Corp *		4,700		132
Copa Holdings SA, Cl A *		1,300		57
Copart Inc *		13,536		1,210
CoreLogic Inc/United States		4,584		227
CoStar Group Inc *		2,200		1,445

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Crane Co		2,600	$	145
CSX Corp		46,796		3,350
Cummins Inc		9,012		1,528
Curtiss-Wright Corp		2,000		201
Deere & Co		17,119		2,604
Delta Air Lines Inc *(A)		34,400		867
Donaldson Co Inc		7,844		372
Dover Corp		8,357		813
Eaton Corp PLC		26,416		2,243
Emerson Electric Co		39,210		2,393
Equifax Inc		6,956		1,068
Expeditors International of Washington Inc		11,348		867
Fastenal Co		38,048		1,570
FedEx Corp		15,344		2,003
Flowserve Corp		8,100		211
Fluor Corp *		10,208		119
Fortive Corp		17,253		1,052
Fortune Brands Home & Security Inc		8,420		513
Gates Industrial Corp PLC *		2,800		28
General Dynamics Corp		16,272		2,389
General Electric Co		546,106		3,588
Graco Inc		11,272		543
GrafTech International Ltd		3,700		25
HD Supply Holdings Inc *		10,800		342
HEICO Corp		2,210		223
HEICO Corp, Cl A		3,821		321
Hexcel Corp *		5,600		203
Honeywell International Inc		45,190		6,591
Howmet Aerospace Inc *		23,267		304
Hubbell Inc, Cl B		3,792		464
Huntington Ingalls Industries Inc		2,437		487
IAA Inc *		8,100		332
IDEX Corp		4,293		684
IHS Markit Ltd		23,700		1,646
Illinois Tool Works Inc		20,280		3,498
Ingersoll Rand Inc *		23,365		659
ITT Inc		5,051		291
Jacobs Engineering Group Inc		7,984		671
JB Hunt Transport Services Inc		4,852		581
JetBlue Airways Corp *		11,900		120
Johnson Controls International plc		49,266		1,547
Kansas City Southern		5,900		888
KAR Auction Services Inc *		8,100		116
Kirby Corp *		3,500		179
Knight-Swift Transportation Holdings Inc, Cl A (A)		6,900		287
L3Harris Technologies Inc		14,034		2,799
Landstar System Inc		2,365		275
Lennox International Inc		2,100		449
Lincoln Electric Holdings Inc		3,800		312
Lockheed Martin Corp		15,573		6,049
Lyft Inc, Cl A *(A)		10,800		338

6 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Large Cap Index Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Macquarie Infrastructure Corp *		4,500	$	128
ManpowerGroup Inc		2,984		206
Masco Corp		16,079		750
Middleby Corp/The *		2,600		177
MSC Industrial Direct Co Inc, Cl A		2,720		189
Nielsen Holdings PLC		23,200		322
Nordson Corp		3,100		584
Norfolk Southern Corp		16,433		2,930
Northrop Grumman Corp		9,878		3,311
nVent Electric PLC		7,173		131
Old Dominion Freight Line Inc		6,000		1,027
Oshkosh Corp		4,359		313
Otis Worldwide Corp		25,539		1,345
Owens Corning		6,200		326
PACCAR Inc		20,370		1,505
Parker-Hannifin Corp		8,404		1,512
Pentair PLC		8,873		347
Quanta Services Inc		11,100		410
Raytheon Technologies Corp		92,562		5,972
Regal Beloit Corp		2,500		199
Republic Services Inc, Cl A		12,442		1,063
Resideo Technologies Inc *		8,898		63
Robert Half International Inc		7,376		374
Rockwell Automation Inc		6,904		1,492
Rollins Inc		9,225		386
Roper Technologies Inc		6,600		2,599
Ryder System Inc		2,706		93
Schneider National Inc, Cl B		3,000		73
Sensata Technologies Holding PLC *		10,100		360
Snap-on Inc (A)		3,791		492
Southwest Airlines Co *		30,120		967
Spirit AeroSystems Holdings Inc, Cl A		4,800		104
Stanley Black & Decker Inc		9,193		1,153
Stericycle Inc *		5,926		325
Teledyne Technologies Inc *		2,400		898
Textron Inc		13,422		416
Timken Co/The		3,769		160
Toro Co/The		6,340		451
Trane Technologies PLC		15,400		1,389
TransDigm Group Inc *		2,993		1,271
TransUnion		11,200		966
Trinity Industries Inc		4,800		96
Uber Technologies Inc *		60,800		2,208
Union Pacific Corp		43,632		7,411
United Airlines Holdings Inc *(A)		19,400		544
United Parcel Service Inc, Cl B		43,941		4,381
United Rentals Inc *		5,300		736
Univar Solutions Inc *		10,400		161
Valmont Industries Inc		800		91
Verisk Analytics Inc, Cl A		10,300		1,779
Waste Management Inc		26,894		2,871
Watsco Inc (A)		1,900		338

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
WESCO International Inc *		2,500	$	83
Westinghouse Air Brake Technologies Corp		12,137		741
Woodward Inc		3,000		206
WW Grainger Inc		2,887		894
XPO Logistics Inc *(A)		4,900		386
Xylem Inc/NY		11,802		783
				145,722
Information Technology — 25.8%
2U Inc *		4,100		149
Accenture PLC, Cl A		40,000		8,065
Adobe Inc *		30,302		11,715
Advanced Micro Devices Inc *		65,200		3,508
Akamai Technologies Inc *		9,718		1,028
Alliance Data Systems Corp		2,612		121
Alteryx Inc, Cl A *(A)		2,400		345
Amdocs Ltd		8,500		529
Amphenol Corp, Cl A		17,484		1,688
Analog Devices Inc		23,379		2,641
Anaplan Inc *		4,300		197
ANSYS Inc *		5,400		1,528
Apple Inc		258,225		82,100
Applied Materials Inc		58,455		3,284
Arista Networks Inc *		3,700		864
Arrow Electronics Inc *		4,689		324
Aspen Technology Inc *		3,800		401
Atlassian Corp PLC, Cl A *		7,500		1,390
Autodesk Inc *		14,037		2,953
Automatic Data Processing Inc		27,492		4,027
Avalara Inc *		2,100		225
Avnet Inc		3,810		104
Black Knight Inc *		9,700		747
Booz Allen Hamilton Holding Corp, Cl A		8,600		686
Broadcom Inc		24,432		7,116
Broadridge Financial Solutions Inc		7,573		917
CACI International Inc, Cl A *		1,300		326
Cadence Design Systems Inc *		18,463		1,685
CDK Global Inc		7,597		299
CDW Corp/DE		8,700		965
Cerence Inc *		2,712		81
Ceridian HCM Holding Inc *(A)		5,700		393
Ciena Corp *		8,600		475
Cisco Systems Inc		269,427		12,884
Citrix Systems Inc		7,387		1,094
Cognex Corp		9,200		522
Cognizant Technology Solutions Corp, Cl A		35,276		1,870
Coherent Inc *		1,900		276
CommScope Holding Co Inc *		13,300		137
Corning Inc		49,358		1,125
Coupa Software Inc *		4,200		956
Cree Inc *		5,800		306
Dell Technologies Inc, Cl C *		9,142		454
DocuSign Inc, Cl A *		10,300		1,439

7 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Large Cap Index Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Dolby Laboratories Inc, Cl A		2,643	$	160
Dropbox Inc, Cl A *		11,400		257
DXC Technology Co *		15,736		224
Dynatrace Inc *		6,500		250
EchoStar Corp, Cl A *		3,332		104
Elastic NV *		4,100		352
Entegris Inc		7,300		437
EPAM Systems Inc *		3,500		807
Euronet Worldwide Inc *		2,400		227
F5 Networks Inc *		3,638		527
Fair Isaac Corp *		1,700		684
Fidelity National Information Services Inc		38,448		5,338
FireEye Inc *		6,400		80
First Solar Inc *		5,100		238
Fiserv Inc *		35,674		3,809
FleetCor Technologies Inc *		5,500		1,341
FLIR Systems Inc		9,700		448
Fortinet Inc *		8,400		1,169
Gartner Inc *		5,100		621
Genpact Ltd		14,000		503
Global Payments Inc		18,952		3,402
GoDaddy Inc, Cl A *		10,600		819
Guidewire Software Inc *		5,700		585
Hewlett Packard Enterprise Co		79,670		773
HP Inc		93,370		1,414
HubSpot Inc *		2,200		440
Intel Corp		268,658		16,907
International Business Machines Corp		55,698		6,957
Intuit Inc		15,752		4,573
IPG Photonics Corp *		2,700		420
Jabil Inc		9,274		277
Jack Henry & Associates Inc		4,400		796
Juniper Networks Inc		22,925		556
Keysight Technologies Inc *		10,932		1,182
KLA Corp		10,109		1,779
Lam Research Corp		9,152		2,505
Leidos Holdings Inc		8,873		934
Littelfuse Inc		1,000		162
LogMeIn Inc *		3,500		297
Manhattan Associates Inc *		5,100		451
Marvell Technology Group Ltd		44,502		1,452
Mastercard Inc, Cl A		55,700		16,760
Maxim Integrated Products Inc		15,800		911
Medallia Inc *		6,000		170
Microchip Technology Inc (A)		15,215		1,461
Micron Technology Inc *		70,016		3,354
Microsoft Corp		473,800		86,824
MKS Instruments Inc		3,200		338
MongoDB Inc, Cl A *(A)		2,500		580
Monolithic Power Systems Inc		2,400		503
Motorola Solutions Inc		10,414		1,409
National Instruments Corp		6,604		256

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
NCR Corp *		5,189	$	94
NetApp Inc		12,555		559
New Relic Inc *		2,400		159
NortonLifeLock Inc		34,548		787
Nuance Communications Inc *		18,100		414
Nutanix Inc, Cl A *		8,200		197
NVIDIA Corp		36,656		13,014
Okta Inc, Cl A *		6,100		1,193
ON Semiconductor Corp *		22,400		369
Oracle Corp		126,120		6,781
PagerDuty Inc *		300		8
Palo Alto Networks Inc *		6,200		1,459
Paychex Inc		20,807		1,504
Paycom Software Inc *		3,300		981
Paylocity Holding Corp *		1,600		208
PayPal Holdings Inc *		73,711		11,426
Pegasystems Inc		2,900		276
Pluralsight Inc, Cl A *		3,400		71
Proofpoint Inc *		2,800		326
PTC Inc *		6,300		481
Pure Storage Inc, Cl A *		12,600		222
Qorvo Inc *		7,200		754
QUALCOMM Inc		71,859		5,812
RealPage Inc *		5,400		366
RingCentral Inc, Cl A *		4,400		1,207
Sabre Corp *		12,900		90
salesforce.com Inc *		52,984		9,261
ServiceNow Inc *		11,800		4,578
Skyworks Solutions Inc		10,100		1,197
Smartsheet Inc, Cl A *		4,400		254
SolarWinds Corp *		1,600		29
Splunk Inc *		10,000		1,858
Square Inc, Cl A *		22,400		1,816
SS&C Technologies Holdings Inc		13,100		758
Switch Inc, Cl A		2,400		46
SYNNEX Corp *		2,200		235
Synopsys Inc *		9,282		1,679
Teradata Corp *		7,889		169
Teradyne Inc		10,463		701
Texas Instruments Inc		58,908		6,995
Trade Desk Inc/The, Cl A *(A)		2,700		841
Trimble Inc *		15,728		615
Twilio Inc, Cl A *		8,100		1,601
Tyler Technologies Inc *		2,300		863
Ubiquiti Inc		500		92
Universal Display Corp		2,400		352
VeriSign Inc *		6,285		1,376
ViaSat Inc *		3,000		126
Visa Inc, Cl A		107,400		20,969
VMware Inc, Cl A *(A)		4,500		703
Western Digital Corp *		18,096		803
Western Union Co/The (A)		25,228		505

8 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Large Cap Index Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
WEX Inc *		2,600	$	385
Workday Inc, Cl A *		10,600		1,944
Xerox Holdings Corp		7,999		127
Xilinx Inc		14,757		1,357
Zebra Technologies Corp, Cl A *		3,125		817
Zendesk Inc *		7,600		652
Zscaler Inc *(A)		3,300		324
				451,548
Materials — 2.6%
Air Products and Chemicals Inc		13,894		3,357
Albemarle Corp (A)		6,973		534
Alcoa Corp *		9,188		85
AptarGroup Inc		3,500		390
Arconic Corp *		5,816		84
Ardagh Group SA, Cl A		1,200		14
Ashland Global Holdings Inc		3,376		227
Avery Dennison Corp		4,710		521
Axalta Coating Systems Ltd *		8,800		203
Ball Corp		19,400		1,382
Berry Global Group Inc *		8,500		382
Cabot Corp		4,273		153
Celanese Corp, Cl A		7,283		655
CF Industries Holdings Inc		12,630		371
Chemours Co/The		12,700		166
Corteva Inc		46,676		1,275
Crown Holdings Inc *		8,251		540
Domtar Corp *		2,300		47
Dow Inc		48,176		1,860
DuPont de Nemours Inc		47,576		2,413
Eagle Materials Inc *		2,100		140
Eastman Chemical Co		9,928		676
Ecolab Inc		16,008		3,403
Element Solutions Inc *		16,800		183
FMC Corp		7,620		750
Freeport-McMoRan Inc, Cl B *		97,324		883
Graphic Packaging Holding Co		15,300		221
Huntsman Corp		8,729		158
International Flavors & Fragrances Inc (A)		6,291		838
International Paper Co		23,055		785
Linde PLC		33,725		6,824
LyondellBasell Industries NV, Cl A		15,460		986
Martin Marietta Materials Inc		3,663		704
Mosaic Co/The		22,478		272
NewMarket Corp		300		131
Newmont Corp		51,833		3,031
Nucor Corp		17,890		756
O-I Glass Inc, Cl I *		8,891		68
Olin Corp		12,700		153
Packaging Corp of America		5,499		558
PPG Industries Inc		15,246		1,550
Reliance Steel & Aluminum Co		3,700		359
Royal Gold Inc		4,600		613

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
RPM International Inc		7,669	$	573
Scotts Miracle-Gro Co/The, Cl A		3,206		457
Sealed Air Corp		8,568		275
Sherwin-Williams Co/The		5,237		3,110
Silgan Holdings Inc		3,808		127
Sonoco Products Co		5,746		298
Southern Copper Corp		5,768		209
Steel Dynamics Inc		11,900		316
United States Steel Corp (A)		7,983		64
Valvoline Inc		11,204		206
Vulcan Materials Co		7,757		840
Westlake Chemical Corp		2,000		95
Westrock Co		17,345		487
WR Grace & Co		2,000		104
				45,862
Real Estate — 3.3%
Alexandria Real Estate Equities Inc ‡		7,600		1,168
American Campus Communities Inc ‡		8,000		258
American Homes 4 Rent, Cl A ‡		16,800		424
American Tower Corp, Cl A ‡		27,822		7,183
Americold Realty Trust ‡		10,500		375
Apartment Investment and Management Co, Cl A ‡		9,503		350
Apple Hospitality REIT Inc *‡		6,900		71
AvalonBay Communities Inc ‡		8,341		1,301
Boston Properties Inc ‡		9,584		824
Brandywine Realty Trust ‡		15,600		151
Brixmor Property Group Inc *‡		17,300		193
Brookfield Property REIT Inc, Cl A ‡(A)		6,465		67
Camden Property Trust ‡		5,847		535
CBRE Group Inc, Cl A *		19,617		863
Colony Capital Inc *‡		21,023		42
Columbia Property Trust Inc ‡		4,000		51
CoreSite Realty Corp ‡		2,100		262
Corporate Office Properties Trust ‡		4,600		115
Cousins Properties Inc ‡		7,900		246
Crown Castle International Corp ‡		26,196		4,510
CubeSmart ‡		10,700		305
CyrusOne Inc ‡		6,900		513
Digital Realty Trust Inc ‡		15,796		2,268
Douglas Emmett Inc ‡		9,200		270
Duke Realty Corp ‡		24,309		838
Empire State Realty Trust Inc, Cl A ‡		12,600		84
EPR Properties *‡		4,500		142
Equinix Inc ‡		5,442		3,797
Equity Commonwealth *‡		8,825		297
Equity LifeStyle Properties Inc ‡		12,100		754
Equity Residential ‡		21,877		1,325
Essex Property Trust Inc ‡		3,854		936
Extra Space Storage Inc ‡		7,500		726
Federal Realty Investment Trust ‡		3,996		319
Gaming and Leisure Properties Inc ‡		12,491		431

9 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Large Cap Index Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Healthcare Trust of America Inc, Cl A ‡		11,800	$	312
Healthpeak Properties Inc ‡		33,474		825
Highwoods Properties Inc ‡		5,400		207
Host Hotels & Resorts Inc ‡		43,040		514
Howard Hughes Corp/The *		2,773		141
Hudson Pacific Properties Inc ‡		9,100		220
Invitation Homes Inc ‡		31,400		826
Iron Mountain Inc ‡(A)		19,403		500
JBG SMITH Properties ‡		8,518		253
Jones Lang LaSalle Inc *		3,300		338
Kilroy Realty Corp ‡		7,700		440
Kimco Realty Corp *‡		22,344		248
Lamar Advertising Co, Cl A ‡		4,740		314
Life Storage Inc ‡		3,100		302
Macerich Co/The ‡(A)		7,511		51
Medical Properties Trust Inc ‡		34,900		631
Mid-America Apartment Communities Inc ‡		6,950		809
National Retail Properties Inc ‡		9,300		292
Omega Healthcare Investors Inc ‡		11,700		364
Outfront Media Inc *‡		6,580		92
Paramount Group Inc ‡		11,600		89
Park Hotels & Resorts Inc *‡		14,488		143
Prologis Inc ‡		46,244		4,231
Public Storage ‡		8,868		1,798
Rayonier Inc ‡		7,504		178
Realty Income Corp ‡		21,200		1,173
Regency Centers Corp ‡		9,658		413
Retail Properties of America Inc, Cl A *‡		14,900		81
SBA Communications Corp, Cl A ‡		7,200		2,262
Service Properties Trust ‡		9,166		62
Simon Property Group Inc ‡		18,281		1,055
SITE Centers Corp *‡		3,400		19
SL Green Realty Corp ‡		5,268		222
Spirit Realty Capital Inc ‡		4,120		117
STORE Capital Corp ‡		10,600		205
Sun Communities Inc ‡		6,000		823
Taubman Centers Inc ‡		3,300		136
UDR Inc ‡		16,093		595
Ventas Inc ‡		21,192		741
VEREIT Inc ‡		63,400		347
VICI Properties Inc ‡		25,200		494
Vornado Realty Trust ‡(A)		9,936		360
Weingarten Realty Investors ‡		6,767		121
Welltower Inc ‡		26,483		1,342
Weyerhaeuser Co *‡		43,446		877
WP Carey Inc ‡		9,700		581
				58,138
Utilities — 3.2%
AES Corp/The		37,624		470
Alliant Energy Corp		15,952		787
Ameren Corp		14,490		1,083
American Electric Power Co Inc		31,350		2,673

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
American Water Works Co Inc		11,600	$	1,473
Atmos Energy Corp		7,991		821
Avangrid Inc		3,094		138
CenterPoint Energy Inc		30,115		535
CMS Energy Corp		17,642		1,033
Consolidated Edison Inc		21,316		1,600
Dominion Energy Inc		51,870		4,410
DTE Energy Co		12,064		1,298
Duke Energy Corp		46,016		3,940
Edison International		22,679		1,318
Entergy Corp		12,898		1,313
Essential Utilities Inc		12,046		527
Evergy Inc		13,149		811
Eversource Energy		20,808		1,742
Exelon Corp		61,776		2,367
FirstEnergy Corp		34,827		1,472
Hawaiian Electric Industries Inc		7,546		298
IDACORP Inc		2,700		252
MDU Resources Group Inc		10,421		227
National Fuel Gas Co		4,789		201
NextEra Energy Inc		30,873		7,890
NiSource Inc		23,421		558
NRG Energy Inc		15,100		544
OGE Energy Corp		10,036		314
PG&E Corp *		31,618		375
Pinnacle West Capital Corp		6,992		545
PPL Corp		50,026		1,398
Public Service Enterprise Group Inc		32,452		1,656
Sempra Energy		18,023		2,277
Southern Co/The		65,803		3,755
UGI Corp		11,725		373
Vistra Energy Corp		25,100		513
WEC Energy Group Inc		20,157		1,849
Xcel Energy Inc		33,481		2,177
				55,013
Total Common Stock (Cost $710,331) ($ Thousands)				1,740,046
	Number of Rights
RIGHT — 0.0%
Liberty Media Corp-Liberty SiriusXM, Expires 06/10/2020 *(A)		1,179		13
Total Right (Cost $—) ($ Thousands)				13

10 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Large Cap Index Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
AFFILIATED PARTNERSHIP — 1.6%
SEI Liquidity Fund, L.P.
0.290% **†(C)		27,278,859	$	27,289
Total Affiliated Partnership (Cost $27,280) ($ Thousands)				27,289
CASH EQUIVALENT — 0.4%
SEI Daily Income Trust, Government Fund, Cl F
0.090% **†		6,854,089		6,854
Total Cash Equivalent (Cost $6,854) ($ Thousands)				6,854
Total Investments in Securities — 101.4% (Cost $744,465) ($ Thousands)			$	1,774,202

A list of the open futures contracts held by the Fund at May 31, 2020, is as follows:

Type of Contract	Number of Contracts Long		Expiration Date	Notional Amount (Thousands)		Value (Thousands)		Unrealized Appreciation (Thousands)
S&P 500 Index E-MINI		68	Jun-2020	$	8,570	$	10,343	$	1,773
S&P Mid Cap 400 Index E-MINI		6	Jun-2020		843		1,057		214
				$	9,413	$	11,400	$	1,987

Percentages are based on a Net Assets of $1,750,464 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2020.

‡ Real Estate Investment Trust.

† Investment in Affiliated Security (see Note 6).

(A) Certain securities or partial positions of certain securities are on loan at May 31, 2020 (see Note 12). The total market value of securities on loan at May 31, 2020, was $26,859 ($ Thousands).

(B) Security is a Master Limited Partnership. At May 31, 2020, such securities amounted to $185 ($ Thousands), or 0.0% of Net Assets of the Fund (see Note 2).

(C) This security was purchased with cash collateral held from securities on loan (see Note 12). The total market value of such securities as of May 31, 2020 was $27,289 ($ Thousands).

Cl — Class

L.P. — Limited Partnership

PLC — Public Limited Company

S&P — Standard & Poor’s

The following is a list of the level of inputs used as of May 31, 2020, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Common Stock		1,740,046		—		—		1,740,046
Right		13		—		—		13
Affiliated Partnership		—		27,289		—		27,289
Cash Equivalent		6,854		—		—		6,854
Total Investments in Securities		1,746,913		27,289		—		1,774,202

Other Financial Instruments	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Futures Contracts *
Unrealized Appreciation		1,987		—		—		1,987
Total Other Financial Instruments		1,987		—		—		1,987

* Futures contracts are valued at the unrealized appreciation on the instrument.

For the year ended May 31, 2020, there were no transfers in or out of Level 3.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

11 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Large Cap Index Fund (Concluded)

May 31, 2020

The following is a summary of the Fund’s transactions with affiliates for the year ended May 31, 2020 ($ Thousands):

Security Description	Value 5/31/2019			Purchases at Cost			Proceeds from Sales				Realized Gain			Change in Unrealized Appreciation			Value 5/31/2020			Shares		Income			Capital Gains
SEI Investment Co.		$	339		$	—		$	—			$	—		$	27		$	366		6,742		$	5		$	—
SEI Liquidity Fund, L.P.			20,606			179,531			(172,862	)			3			11			27,289		27,278,859			72			—
SEI Daily Income Trust, Government Fund, Cl F			32,626			472,705			(498,477	)			—			—			6,854		6,854,089			374			—
Totals		$	53,571		$	652,236		$	(671,339	)		$	3		$	38		$	34,509				$	451		$	—

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

12 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

S&P 500 Index Fund

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK — 98.0%
Communication Services — 10.7%
Activision Blizzard Inc		126,700	$	9,120
Alphabet Inc, Cl A *		49,641		71,161
Alphabet Inc, Cl C *		49,563		70,822
AT&T Inc		1,208,891		37,306
CenturyLink Inc (A)		160,274		1,576
Charter Communications Inc, Cl A *		26,100		14,198
Comcast Corp, Cl A		753,648		29,844
Discovery Inc, Cl A *(A)		24,700		537
Discovery Inc, Cl C *		53,645		1,051
DISH Network Corp, Cl A *		41,368		1,309
Electronic Arts Inc *		48,900		6,009
Facebook Inc, Cl A *		398,478		89,693
Fox Corp		83,257		2,419
Interpublic Group of Cos Inc/The (A)		62,100		1,063
Live Nation Entertainment Inc *		22,000		1,082
Netflix Inc *		72,479		30,422
News Corp		19,000		233
News Corp, Cl A		60,583		742
Omnicom Group Inc (A)		35,400		1,940
Take-Two Interactive Software Inc *		19,200		2,614
T-Mobile US Inc *		63,700		6,373
Twitter Inc *		130,300		4,035
Verizon Communications Inc		684,452		39,274
ViacomCBS Inc, Cl B (A)		88,781		1,841
Walt Disney Co/The *		298,219		34,981
				459,645
Consumer Discretionary — 10.3%
Advance Auto Parts Inc		11,300		1,574
Amazon.com Inc *		68,960		168,426
Aptiv PLC *		42,400		3,195
AutoZone Inc *		3,945		4,528
Best Buy Co Inc		37,287		2,912
Booking Holdings Inc *		6,884		11,286
BorgWarner Inc (A)		32,200		1,035
CarMax Inc *		27,200		2,395
Carnival Corp, Cl A *(A)		75,100		1,182
Chipotle Mexican Grill Inc, Cl A *		4,220		4,237
Darden Restaurants Inc *		21,395		1,644
Dollar General Corp		42,100		8,063
Dollar Tree Inc *		39,369		3,853
Domino’s Pizza Inc		6,300		2,431
DR Horton Inc		55,291		3,058
eBay Inc		128,183		5,837
Expedia Group Inc *		22,795		1,812
Ford Motor Co *		656,243		3,747
Gap Inc/The (A)		33,200		296
Garmin Ltd		23,495		2,119
General Motors Co *		210,487		5,447
Genuine Parts Co		23,900		1,993
H&R Block Inc (A)		30,491		518
Hanesbrands Inc (A)		56,400		556

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Harley-Davidson Inc (A)		24,100	$	514
Hasbro Inc		20,595		1,514
Hilton Worldwide Holdings Inc *		47,400		3,759
Home Depot Inc/The		180,587		44,872
Kohl’s Corp *(A)		24,391		469
L Brands Inc *(A)		39,900		646
Las Vegas Sands Corp *		56,100		2,689
Leggett & Platt Inc		20,495		627
Lennar Corp, Cl A		46,091		2,787
LKQ Corp *		49,600		1,362
Lowe’s Cos Inc		126,887		16,540
Marriott International Inc/MD, Cl A *		45,536		4,030
McDonald’s Corp		124,987		23,288
MGM Resorts International (A)		83,200		1,429
Mohawk Industries Inc *		9,300		867
Newell Brands Inc (A)		59,490		782
NIKE Inc, Cl B		206,682		20,375
Nordstrom Inc *(A)		16,695		269
Norwegian Cruise Line Holdings Ltd *(A)		38,800		608
NVR Inc *		570		1,836
O’Reilly Automotive Inc *		12,400		5,174
PulteGroup Inc		41,383		1,406
PVH Corp *		11,600		527
Ralph Lauren Corp, Cl A *		7,795		589
Ross Stores Inc *		60,500		5,866
Royal Caribbean Cruises Ltd *(A)		27,800		1,442
Starbucks Corp		195,782		15,269
Tapestry Inc *		43,091		586
Target Corp		83,891		10,262
Tiffany & Co		17,795		2,280
TJX Cos Inc/The *		200,482		10,577
Tractor Supply Co		19,600		2,392
Ulta Beauty Inc *		9,300		2,269
Under Armour Inc, Cl A *		27,295		239
Under Armour Inc, Cl C *		30,332		238
VF Corp		54,291		3,046
Whirlpool Corp (A)		10,200		1,243
Wynn Resorts Ltd *		15,700		1,307
Yum! Brands Inc		49,700		4,460
				440,579
Consumer Staples — 7.0%
Altria Group Inc		309,483		12,085
Archer-Daniels-Midland Co		92,291		3,628
Brown-Forman Corp, Cl B		29,890		1,971
Campbell Soup Co		27,191		1,386
Church & Dwight Co Inc		40,800		3,063
Clorox Co/The		21,000		4,331
Coca-Cola Co/The		640,157		29,883
Colgate-Palmolive Co		141,891		10,263
Conagra Brands Inc		82,487		2,870
Constellation Brands Inc, Cl A		27,600		4,767
Costco Wholesale Corp		73,300		22,611

1 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

S&P 500 Index Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Coty Inc, Cl A *		46,121	$	167
Estee Lauder Cos Inc/The, Cl A *		36,700		7,247
General Mills Inc		101,196		6,379
Hershey Co/The		25,000		3,392
Hormel Foods Corp (A)		47,192		2,304
JM Smucker Co/The		19,395		2,210
Kellogg Co		41,100		2,684
Kimberly-Clark Corp		57,196		8,090
Kraft Heinz Co/The		101,791		3,102
Kroger Co/The		133,982		4,370
Lamb Weston Holdings Inc		25,300		1,520
McCormick & Co Inc/MD		20,595		3,607
Molson Coors Beverage Co, Cl B *(A)		30,095		1,142
Mondelez International Inc, Cl A		239,678		12,492
Monster Beverage Corp *		63,731		4,583
PepsiCo Inc		231,478		30,451
Philip Morris International Inc		258,078		18,933
Procter & Gamble Co/The		412,767		47,848
Sysco Corp		85,700		4,727
Tyson Foods Inc, Cl A		49,087		3,016
Walgreens Boots Alliance Inc		124,787		5,358
Walmart Inc		235,483		29,214
				299,694
Energy — 2.9%
Apache Corp		58,700		633
Baker Hughes Co, Cl A		105,900		1,748
Cabot Oil & Gas Corp, Cl A		70,787		1,404
Chevron Corp		313,878		28,783
Concho Resources Inc		33,200		1,810
ConocoPhillips		181,483		7,655
Devon Energy Corp		60,400		653
Diamondback Energy Inc		26,000		1,107
EOG Resources Inc		97,591		4,974
Exxon Mobil Corp		700,000		31,829
Halliburton Co		143,391		1,685
Hess Corp (A)		42,800		2,032
HollyFrontier Corp		23,200		730
Kinder Morgan Inc		326,183		5,154
Marathon Oil Corp *		124,800		666
Marathon Petroleum Corp		108,211		3,803
National Oilwell Varco Inc *		60,200		751
Noble Energy Inc		74,600		651
Occidental Petroleum Corp (A)		147,224		1,907
ONEOK Inc		68,291		2,506
Phillips 66		73,196		5,728
Pioneer Natural Resources Co		27,096		2,482
Schlumberger Ltd		232,666		4,297
TechnipFMC PLC		65,600		485
Valero Energy Corp		68,800		4,585

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Williams Cos Inc/The		202,196	$	4,131
				122,189
Financials — 10.2%
Aflac Inc		123,182		4,492
Allstate Corp/The		54,200		5,301
American Express Co		110,987		10,552
American International Group Inc		142,778		4,292
Ameriprise Financial Inc		20,700		2,899
Aon PLC, Cl A		38,600		7,602
Arthur J Gallagher & Co		30,800		2,904
Assurant Inc		9,495		974
Bank of America Corp		1,339,483		32,308
Bank of New York Mellon Corp/The		140,387		5,218
Berkshire Hathaway Inc, Cl B *		323,828		60,096
BlackRock Inc, Cl A		25,196		13,320
Capital One Financial Corp		78,096		5,314
Cboe Global Markets Inc		18,300		1,948
Charles Schwab Corp/The		188,291		6,762
Chubb Ltd		74,747		9,115
Cincinnati Financial Corp		25,396		1,497
Citigroup Inc		362,057		17,346
Citizens Financial Group Inc		70,900		1,709
CME Group Inc, Cl A		59,195		10,809
Comerica Inc		22,491		818
Discover Financial Services		51,500		2,447
E*TRADE Financial Corp		36,591		1,666
Everest Re Group Ltd		6,600		1,309
Fifth Third Bancorp		115,800		2,245
First Republic Bank/CA		28,000		3,029
Franklin Resources Inc (A)		43,495		821
Globe Life Inc		17,346		1,336
Goldman Sachs Group Inc/The		52,691		10,353
Hartford Financial Services Group Inc/The		59,100		2,263
Huntington Bancshares Inc/OH		167,661		1,490
Intercontinental Exchange Inc		91,800		8,928
Invesco Ltd (A)		58,100		463
JPMorgan Chase & Co		519,257		50,529
KeyCorp		160,900		1,907
Lincoln National Corp		32,000		1,214
Loews Corp		41,187		1,369
M&T Bank Corp		22,423		2,369
MarketAxess Holdings Inc		6,300		3,204
Marsh & McLennan Cos Inc		83,191		8,812
MetLife Inc		131,287		4,728
Moody’s Corp		26,700		7,140
Morgan Stanley		192,700		8,517
MSCI Inc, Cl A		14,200		4,670
Nasdaq Inc		18,800		2,227
Northern Trust Corp		35,896		2,836
People’s United Financial Inc (A)		69,300		793
PNC Financial Services Group Inc/The		73,091		8,335
Principal Financial Group Inc		41,891		1,618

2 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

S&P 500 Index Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Progressive Corp/The		97,583	$	7,580
Prudential Financial Inc		65,900		4,017
Raymond James Financial Inc		20,000		1,386
Regions Financial Corp		157,300		1,779
S&P Global Inc		40,400		13,131
State Street Corp		60,900		3,712
SVB Financial Group *		8,400		1,804
Synchrony Financial		92,721		1,889
T Rowe Price Group Inc		39,200		4,739
Travelers Cos Inc/The		43,196		4,621
Truist Financial Corp		223,892		8,235
Unum Group		32,191		488
US Bancorp		237,283		8,438
Wells Fargo & Co		638,248		16,894
Willis Towers Watson PLC		21,545		4,371
WR Berkley Corp		23,500		1,362
Zions Bancorp NA (A)		26,600		875
				437,215
Health Care — 14.9%
Abbott Laboratories		293,348		27,845
AbbVie Inc		292,613		27,116
ABIOMED Inc *		7,300		1,635
Agilent Technologies Inc		51,691		4,556
Alexion Pharmaceuticals Inc *		36,700		4,400
Align Technology Inc *		12,000		2,947
AmerisourceBergen Corp, Cl A		25,596		2,440
Amgen Inc		98,391		22,600
Anthem Inc		41,996		12,351
Baxter International Inc		85,229		7,671
Becton Dickinson and Co		48,839		12,060
Biogen Inc *		29,900		9,182
Boston Scientific Corp *		229,800		8,730
Bristol-Myers Squibb Co		388,370		23,193
Cardinal Health Inc		49,596		2,712
Centene Corp *		96,064		6,364
Cerner Corp		52,300		3,813
Cigna Corp		61,907		12,216
Cooper Cos Inc/The		8,200		2,599
CVS Health Corp		215,257		14,114
Danaher Corp		104,300		17,377
DaVita Inc *		15,695		1,271
DENTSPLY SIRONA Inc		36,291		1,688
DexCom Inc *		15,200		5,750
Edwards Lifesciences Corp *		34,800		7,820
Eli Lilly and Co		140,145		21,435
Gilead Sciences Inc		209,778		16,327
HCA Healthcare Inc *		44,295		4,735
Henry Schein Inc *(A)		23,800		1,445
Hologic Inc *		44,200		2,343
Humana Inc		21,896		8,992
IDEXX Laboratories Inc *		14,300		4,417
Illumina Inc *		24,300		8,822

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Incyte Corp *		29,200	$	2,976
Intuitive Surgical Inc *		19,100		11,079
IQVIA Holdings Inc *		30,200		4,516
Johnson & Johnson		436,470		64,925
Laboratory Corp of America Holdings *		16,000		2,805
McKesson Corp		26,560		4,214
Medtronic PLC		222,361		21,920
Merck & Co Inc		421,270		34,005
Mettler-Toledo International Inc *		4,000		3,180
Mylan NV *		83,196		1,420
PerkinElmer Inc		18,300		1,839
Perrigo Co PLC		21,796		1,195
Pfizer Inc		915,735		34,972
Quest Diagnostics Inc		22,200		2,626
Regeneron Pharmaceuticals Inc *		16,800		10,295
ResMed Inc		24,200		3,892
STERIS PLC		14,400		2,389
Stryker Corp		53,496		10,471
Teleflex Inc		7,600		2,758
Thermo Fisher Scientific Inc		66,491		23,218
UnitedHealth Group Inc		156,787		47,797
Universal Health Services Inc, Cl B *		13,000		1,371
Varian Medical Systems Inc *		14,995		1,820
Vertex Pharmaceuticals Inc *		42,500		12,238
Waters Corp *		10,500		2,098
West Pharmaceutical Services Inc		12,400		2,679
Zimmer Biomet Holdings Inc		34,595		4,371
Zoetis Inc, Cl A		78,900		10,998
				639,033
Industrials — 7.8%
3M Co		95,291		14,907
Alaska Air Group Inc *		19,200		656
Allegion plc		14,996		1,495
American Airlines Group Inc *(A)		60,791		638
AMETEK Inc		38,000		3,485
AO Smith Corp		21,400		1,017
Boeing Co/The *		88,991		12,979
Carrier Global Corp *		133,485		2,732
Caterpillar Inc		91,391		10,979
CH Robinson Worldwide Inc (A)		22,095		1,793
Cintas Corp		13,895		3,445
Copart Inc *		33,800		3,021
CSX Corp		128,278		9,182
Cummins Inc		25,596		4,341
Deere & Co		52,496		7,986
Delta Air Lines Inc *		94,387		2,380
Dover Corp		24,300		2,363
Eaton Corp PLC		69,195		5,875
Emerson Electric Co		101,891		6,217
Equifax Inc		20,095		3,086
Expeditors International of Washington Inc		27,891		2,130
Fastenal Co		95,582		3,944

3 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

S&P 500 Index Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
FedEx Corp		40,100	$	5,235
Flowserve Corp		20,400		532
Fortive Corp		48,925		2,983
Fortune Brands Home & Security Inc		22,600		1,378
General Dynamics Corp		39,196		5,755
General Electric Co		1,443,688		9,485
Honeywell International Inc		118,487		17,281
Howmet Aerospace Inc *		60,466		791
Huntington Ingalls Industries Inc		7,100		1,419
IDEX Corp		12,500		1,992
IHS Markit Ltd		67,400		4,682
Illinois Tool Works Inc		48,795		8,415
Ingersoll Rand Inc *		56,127		1,583
Jacobs Engineering Group Inc		21,996		1,848
JB Hunt Transport Services Inc		13,800		1,651
Johnson Controls International plc		129,546		4,069
Kansas City Southern		16,800		2,529
L3Harris Technologies Inc		36,860		7,352
Lockheed Martin Corp		41,156		15,987
Masco Corp		46,900		2,188
Nielsen Holdings PLC		55,500		771
Norfolk Southern Corp		43,496		7,755
Northrop Grumman Corp		25,896		8,680
Old Dominion Freight Line Inc		16,200		2,772
Otis Worldwide Corp		67,192		3,538
PACCAR Inc		57,700		4,262
Parker-Hannifin Corp		21,100		3,797
Pentair PLC		26,200		1,026
Quanta Services Inc		22,200		820
Raytheon Technologies Corp		243,408		15,705
Republic Services Inc, Cl A		35,000		2,991
Robert Half International Inc		18,295		928
Rockwell Automation Inc		19,096		4,128
Rollins Inc		22,000		920
Roper Technologies Inc		17,400		6,852
Snap-on Inc (A)		8,900		1,154
Southwest Airlines Co *		86,687		2,783
Stanley Black & Decker Inc		25,295		3,173
Textron Inc		36,591		1,133
Trane Technologies PLC		40,296		3,635
TransDigm Group Inc *		8,200		3,484
Union Pacific Corp		115,187		19,566
United Airlines Holdings Inc *(A)		40,000		1,122
United Parcel Service Inc, Cl B		115,887		11,555
United Rentals Inc *		12,200		1,694
Verisk Analytics Inc, Cl A		27,500		4,749
Waste Management Inc		64,300		6,864
Westinghouse Air Brake Technologies Corp		29,753		1,817
WW Grainger Inc		7,200		2,229

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Xylem Inc/NY		29,300	$	1,944
				333,653
Information Technology — 25.7%
Accenture PLC, Cl A		105,396		21,250
Adobe Inc *		80,095		30,965
Advanced Micro Devices Inc *		194,500		10,464
Akamai Technologies Inc *		27,296		2,888
Alliance Data Systems Corp		6,400		296
Amphenol Corp, Cl A		49,691		4,798
Analog Devices Inc		60,606		6,845
ANSYS Inc *		14,400		4,075
Apple Inc		691,846		219,965
Applied Materials Inc		152,300		8,556
Arista Networks Inc *		9,000		2,101
Autodesk Inc *		36,300		7,637
Automatic Data Processing Inc		71,591		10,487
Broadcom Inc		65,759		19,154
Broadridge Financial Solutions Inc		18,800		2,277
Cadence Design Systems Inc *		46,800		4,272
CDW Corp/DE		23,600		2,617
Cisco Systems Inc		701,943		33,567
Citrix Systems Inc		19,100		2,829
Cognizant Technology Solutions Corp, Cl A		91,595		4,855
Corning Inc		127,670		2,910
DXC Technology Co *		39,952		568
F5 Networks Inc *		9,900		1,435
Fidelity National Information Services Inc		101,900		14,147
Fiserv Inc *		94,500		10,090
FleetCor Technologies Inc *		14,300		3,486
FLIR Systems Inc		23,600		1,090
Fortinet Inc *		23,300		3,243
Gartner Inc *		14,700		1,789
Global Payments Inc		50,172		9,005
Hewlett Packard Enterprise Co		219,474		2,131
HP Inc		248,374		3,760
Intel Corp		719,952		45,307
International Business Machines Corp		146,851		18,342
Intuit Inc		43,300		12,571
IPG Photonics Corp *		5,500		855
Jack Henry & Associates Inc		13,000		2,351
Juniper Networks Inc		54,200		1,315
Keysight Technologies Inc *		31,200		3,374
KLA Corp		26,500		4,663
Lam Research Corp		23,895		6,539
Leidos Holdings Inc		21,700		2,285
Mastercard Inc, Cl A		146,947		44,215
Maxim Integrated Products Inc		45,900		2,647
Microchip Technology Inc (A)		39,796		3,821
Micron Technology Inc *		182,500		8,744
Microsoft Corp		1,263,604		231,555
Motorola Solutions Inc		28,688		3,882
NetApp Inc		37,491		1,670

4 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

S&P 500 Index Fund (Continued)

May 31, 2020

	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
NortonLifeLock Inc		94,700	$	2,157
NVIDIA Corp		101,583		36,064
Oracle Corp		359,365		19,323
Paychex Inc		53,287		3,852
Paycom Software Inc *		8,100		2,408
PayPal Holdings Inc *		194,883		30,209
Qorvo Inc *		19,200		2,011
QUALCOMM Inc		188,978		15,284
salesforce.com Inc *		146,991		25,693
Seagate Technology PLC		37,600		1,994
ServiceNow Inc *		31,400		12,181
Skyworks Solutions Inc		27,996		3,319
Synopsys Inc *		24,700		4,468
TE Connectivity Ltd		56,191		4,566
Texas Instruments Inc		155,083		18,415
VeriSign Inc *		17,200		3,767
Visa Inc, Cl A		283,370		55,325
Western Digital Corp *		50,431		2,238
Western Union Co/The (A)		67,878		1,359
Xerox Holdings Corp		29,050		461
Xilinx Inc		41,900		3,853
Zebra Technologies Corp, Cl A *		8,900		2,326
				1,098,961
Materials — 2.5%
Air Products and Chemicals Inc		36,500		8,820
Albemarle Corp (A)		17,100		1,309
Amcor PLC (A)		264,662		2,702
Avery Dennison Corp		13,500		1,494
Ball Corp		54,992		3,919
Celanese Corp, Cl A		19,800		1,780
CF Industries Holdings Inc		34,700		1,019
Corteva Inc		123,831		3,382
Dow Inc		124,365		4,801
DuPont de Nemours Inc		121,931		6,186
Eastman Chemical Co		22,096		1,504
Ecolab Inc		42,096		8,949
FMC Corp		21,200		2,086
Freeport-McMoRan Inc, Cl B *		237,800		2,157
International Flavors & Fragrances Inc (A)		17,500		2,331
International Paper Co		65,496		2,230
Linde PLC		89,060		18,020
LyondellBasell Industries NV, Cl A		43,456		2,771
Martin Marietta Materials Inc		10,100		1,940
Mosaic Co/The		54,591		660
Newmont Corp		135,083		7,898
Nucor Corp		49,587		2,096
Packaging Corp of America		15,300		1,552
PPG Industries Inc		39,800		4,046
Sealed Air Corp		24,100		774
Sherwin-Williams Co/The		13,600		8,076
Vulcan Materials Co		22,400		2,426

	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Westrock Co		44,982	$	1,262
				106,190
Real Estate — 2.8%
Alexandria Real Estate Equities Inc ‡		20,400		3,136
American Tower Corp, Cl A ‡		73,500		18,975
Apartment Investment and Management Co, Cl A ‡		23,211		856
AvalonBay Communities Inc ‡		23,500		3,666
Boston Properties Inc ‡		23,500		2,021
CBRE Group Inc, Cl A *		54,891		2,414
Crown Castle International Corp ‡		68,896		11,861
Digital Realty Trust Inc ‡(A)		43,800		6,288
Duke Realty Corp ‡		61,500		2,120
Equinix Inc ‡		14,457		10,086
Equity Residential ‡		58,696		3,555
Essex Property Trust Inc ‡		11,000		2,670
Extra Space Storage Inc ‡		22,000		2,128
Federal Realty Investment Trust ‡		11,000		879
Healthpeak Properties Inc ‡		82,700		2,038
Host Hotels & Resorts Inc ‡		115,674		1,381
Iron Mountain Inc ‡(A)		46,001		1,185
Kimco Realty Corp *‡		65,887		732
Mid-America Apartment Communities Inc ‡		19,100		2,222
Prologis Inc ‡		122,799		11,236
Public Storage ‡		25,095		5,088
Realty Income Corp ‡		57,600		3,186
Regency Centers Corp ‡		27,000		1,155
SBA Communications Corp, Cl A ‡		18,800		5,906
Simon Property Group Inc ‡		51,696		2,983
SL Green Realty Corp ‡(A)		12,700		535
UDR Inc ‡		47,500		1,757
Ventas Inc ‡		60,800		2,125
Vornado Realty Trust ‡		25,196		912
Welltower Inc ‡		68,200		3,456
Weyerhaeuser Co *‡		122,345		2,470
				119,022
Utilities — 3.2%
AES Corp/The		115,200		1,439
Alliant Energy Corp		41,200		2,034
Ameren Corp		40,891		3,056
American Electric Power Co Inc		81,300		6,931
American Water Works Co Inc		30,100		3,823
Atmos Energy Corp		20,000		2,056
CenterPoint Energy Inc		80,983		1,440
CMS Energy Corp		47,091		2,758
Consolidated Edison Inc		55,700		4,181
Dominion Energy Inc		136,885		11,637
DTE Energy Co		31,800		3,421
Duke Energy Corp		120,691		10,335
Edison International		60,396		3,510
Entergy Corp		33,100		3,370

5 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

S&P 500 Index Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Evergy Inc		38,600	$	2,381
Eversource Energy		54,300		4,545
Exelon Corp		162,691		6,233
FirstEnergy Corp		90,087		3,807
NextEra Energy Inc		80,900		20,675
NiSource Inc		64,687		1,541
NRG Energy Inc		40,987		1,477
Pinnacle West Capital Corp		19,500		1,519
PPL Corp		127,600		3,565
Public Service Enterprise Group Inc		84,900		4,333
Sempra Energy		47,195		5,961
Southern Co/The		173,300		9,890
WEC Energy Group Inc		52,831		4,846
Xcel Energy Inc		87,683		5,702
				136,466
Total Common Stock (Cost $2,648,940) ($ Thousands)				4,192,647

Description	Shares		Market Value ($ Thousands)
AFFILIATED PARTNERSHIP — 1.2%
SEI Liquidity Fund, L.P.
0.290% **†(B)		49,581,792	$	49,600
Total Affiliated Partnership (Cost $49,585) ($ Thousands)				49,600
CASH EQUIVALENT — 1.5%
SEI Daily Income Trust, Government Fund, Cl F
0.090%**†		66,287,481		66,287
Total Cash Equivalent (Cost $66,287) ($ Thousands)				66,287
Total Investments in Securities — 100.7% (Cost $2,764,812) ($ Thousands)			$	4,308,534

A list of the open futures contracts held by the Fund at May 31, 2020, is as follows:

Type of Contract	Number of Contracts Long		Expiration Date		Notional Amount (Thousands)		Value (Thousands)		Unrealized Appreciation (Thousands)
S&P 500 Index E-MINI		562		Jun-2020	$	72,411	$	85,480	$	13,069

Percentages are based on a Net Assets of $4,277,620 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2020.

‡ Real Estate Investment Trust.

† Investment in Affiliated Security (see Note 6).

(A) Certain securities or partial positions of certain securities are on loan at May 31, 2020 (see Note 12). The total market value of securities on loan at May 31, 2020, was $47,805 ($ Thousands).

(B) This security was purchased with cash collateral held from securities on loan (see Note 12). The total market value of such securities as of May 31, 2020 was $49,600 ($ Thousands).

Cl — Class

L.P. — Limited Partnership

PLC — Public Limited Company

S&P — Standard & Poor’s

The following is a list of the level of inputs used as of May 31, 2020, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Common Stock		4,192,647		—		—		4,192,647
Affiliated Partnership		—		49,600		—		49,600
Cash Equivalent		66,287		—		—		66,287
Total Investments in Securities		4,258,934		49,600		—		4,308,534

Other Financial Instruments	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Futures Contracts*
Unrealized Appreciation		13,069		—		—		13,069
Total Other Financial Instruments		13,069		—		—		13,069

* Futures contracts are valued at the unrealized appreciation on the instrument.

For the year ended May 31, 2020, there were no transfers in or out of Level 3.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

6 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

S&P 500 Index Fund (Concluded)

May 31, 2020

The following is a summary of the Fund’s transactions with affiliates for the year ended May 31, 2020 ($ Thousands):

Security Description	Value 5/31/2019			Purchases at Cost			Proceeds from Sales				Realized Gain			Change in Unrealized Appreciation			Value 5/31/2020			Shares		Income			Capital Gains
SEI Liquidity Fund, L.P.		$	25,367		$	237,087		$	(212,878	)		$	3		$	21		$	49,600		49,581,792		$	56		$	—
SEI Daily Income Trust, Government Fund, Cl F			99,297			1,382,368			(1,415,378	)			—			—			66,287		66,287,481			1,453			—
Totals		$	124,664		$	1,619,455		$	(1,628,256	)		$	3		$	21		$	115,887				$	1,509		$	—

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

7 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Extended Market Index Fund

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK — 99.9%
Communication Services — 4.7%
Altice USA Inc, Cl A *		79,400	$	2,042
AMC Networks Inc, Cl A *(A)		9,160		259
Anterix Inc *		2,000		107
ATN International Inc		2,267		135
Boingo Wireless Inc *		9,200		126
Boston Omaha Corp, Cl A *		4,300		70
Cable One Inc		1,100		2,076
Cardlytics Inc *		3,200		218
Cargurus Inc, Cl A *		18,900		491
Cars.com Inc *(A)		15,200		94
Central European Media Enterprises Ltd, Cl A *		23,106		93
Cincinnati Bell Inc *		16,504		243
Cinemark Holdings Inc *		26,640		400
Clear Channel Outdoor Holdings Inc, Cl A *		6,796		7
Cogent Communications Holdings Inc		10,804		827
comScore Inc *		20,100		76
Consolidated Communications Holdings Inc *		13,612		83
Cumulus Media Inc, Cl A *		5,700		29
DHI Group Inc *		16,900		45
Entercom Communications Corp, Cl A *		30,782		51
Entravision Communications Corp, Cl A		14,200		21
Eventbrite Inc, Cl A *		10,500		91
EverQuote Inc, Cl A *		2,900		156
EW Scripps Co/The, Cl A		13,896		120
Fluent Inc *		18,300		37
Gannett Co Inc *(A)		32,987		43
GCI Liberty Inc *		26,047		1,802
Gogo Inc *(A)		13,900		29
Gray Television Inc *		21,200		296
Groupon Inc, Cl A *		109,141		139
Hemisphere Media Group Inc, Cl A *		3,500		34
Houghton Mifflin Harcourt Co *		18,000		28
IAC/interactivecorp *		19,321		5,224
IDT Corp, Cl B *		5,700		36
Iridium Communications Inc *(A)		24,246		558
John Wiley & Sons Inc, Cl A		11,872		477
Lands’ End Inc *		4,362		27
Leaf Group Ltd *		4,200		11
Lee Enterprises Inc *		12,900		14
Liberty Broadband Corp, Cl A *		6,883		927
Liberty Broadband Corp, Cl C *		27,268		3,725
Liberty Latin America Ltd, Cl A *		8,300		83
Liberty Latin America Ltd, Cl C *		26,500		254
Liberty Media Corp-Liberty Formula One, Cl A *		7,308		247
Liberty Media Corp-Liberty Formula One, Cl C *		52,542		1,821
Liberty Media Corp-Liberty SiriusXM, Cl A *		23,235		848

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Liberty Media Corp-Liberty SiriusXM, Cl C *(A)		44,170	$	1,611
Lions Gate Entertainment Corp, Cl A *(A)		9,155		73
Lions Gate Entertainment Corp, Cl B *		32,975		248
Liquidity Services Inc *		2,222		13
LiveXLive Media Inc *		5,200		15
Loral Space & Communications Inc *		2,700		51
Madison Square Garden Entertainment Corp *		4,979		395
Madison Square Garden Sports C, Cl A *		4,979		850
Marchex Inc, Cl B *		8,600		13
Match Group Inc *(A)		14,600		1,300
Maxar Technologies Inc (A)		18,800		283
MDC Partners Inc, Cl A *		8,576		11
Meet Group Inc/The *		24,500		151
Meredith Corp *		9,244		138
MSG Networks Inc *(A)		11,940		148
National CineMedia Inc		15,007		41
New York Times Co/The, Cl A		40,882		1,604
Nexstar Media Group Inc, Cl A		12,344		1,028
Ooma Inc *		6,900		87
ORBCOMM Inc *		12,086		33
Overstock.com Inc *(A)		8,400		154
QuinStreet Inc *		9,586		97
Quotient Technology Inc *		21,000		146
RealReal Inc/The *		17,400		233
RigNet Inc *		1,441		1
Roku Inc, Cl A *(A)		22,300		2,442
Rubicon Project Inc/The *		34,238		215
Saga Communications Inc, Cl A		593		16
Scholastic Corp		8,067		237
Shenandoah Telecommunications Co		12,404		653
Shutterstock Inc		5,797		220
Sinclair Broadcast Group Inc, Cl A (A)		15,611		292
Sirius XM Holdings Inc (A)		359,981		2,095
Spok Holdings Inc		4,132		42
Spotify Technology SA *		33,900		6,134
Stamps.com Inc *		4,155		823
Stitch Fix Inc, Cl A *(A)		10,100		234
TechTarget Inc *		4,700		129
TEGNA Inc		58,900		691
Telephone and Data Systems Inc		24,555		503
Travelzoo *		1,300		8
Tribune Publishing Co		4,100		39
TripAdvisor Inc *(A)		25,200		486
TrueCar Inc *		32,300		87
United States Cellular Corp *		2,952		93
Upwork Inc *		14,200		177
Value Line Inc		300		9
Vonage Holdings Corp *		54,520		525
WideOpenWest Inc *		5,500		36
World Wrestling Entertainment Inc, Cl A (A)		10,534		487

1 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Extended Market Index Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Yelp Inc, Cl A *		17,198	$	374
Zillow Group Inc, Cl A *		15,091		875
Zillow Group Inc, Cl C *(A)		33,382		1,936
Zynga Inc, Cl A *		226,274		2,070
				55,172
Consumer Discretionary — 12.6%
1-800-Flowers.com Inc, Cl A *		7,300		162
Aaron’s Inc (A)		19,316		713
Abercrombie & Fitch Co, Cl A *		14,600		170
Acushnet Holdings Corp (A)		8,600		287
Adient PLC *		23,000		391
Adtalem Global Education Inc *		12,881		431
Allegiant Travel Co, Cl A *(A)		3,350		357
AMC Entertainment Holdings Inc, Cl A (A)		11,994		62
American Axle & Manufacturing Holdings Inc *		26,798		191
American Eagle Outfitters Inc (A)		39,222		359
American Outdoor Brands Corp *		12,383		146
American Public Education Inc *		2,727		86
America’s Car-Mart Inc/TX *		1,750		139
Aramark		66,600		1,724
Asbury Automotive Group Inc *		4,498		325
Ascena Retail Group Inc *(A)		1,686		3
At Home Group Inc *(A)		8,700		41
AutoNation Inc *		13,200		521
Barnes & Noble Education Inc *		5,894		9
Bassett Furniture Industries Inc		2,700		17
BBX Capital Corp, Cl A *		12,600		23
Beacon Roofing Supply Inc *		13,170		324
Beazer Homes USA Inc *		7,161		70
Bed Bath & Beyond Inc *(A)		31,600		230
Big Lots Inc (A)		8,446		327
Biglari Holdings Inc, Cl B *		182		11
BJ’s Restaurants Inc *		4,642		101
Bloomin’ Brands Inc *		21,550		246
Blue Bird Corp *		4,392		63
Bluegreen Vacations Corp *		1,700		7
BlueLinx Holdings Inc *(A)		1,700		12
Boot Barn Holdings Inc *		7,200		155
Boyd Gaming Corp *		20,645		441
Bright Horizons Family Solutions Inc *		15,335		1,716
Brinker International Inc *(A)		8,482		223
Brunswick Corp/DE		20,383		1,121
Buckle Inc/The *(A)		8,851		125
Burlington Stores Inc *		17,100		3,585
Caesars Entertainment Corp *		154,408		1,759
Caleres Inc		8,576		62
Callaway Golf Co (A)		21,906		336
Camping World Holdings Inc, Cl A (A)		7,000		148
Capri Holdings Ltd *		37,700		567
Carriage Services Inc, Cl A		6,006		112
Carrols Restaurant Group Inc *		7,900		34

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Carter’s Inc *		10,970	$	942
Carvana Co, Cl A *(A)		11,100		1,032
Cato Corp/The, Cl A *		6,296		61
Cavco Industries Inc *		2,231		424
Century Casinos Inc *		4,000		22
Century Communities Inc *		7,800		230
Cheesecake Factory Inc/The *(A)		9,323		200
Chegg Inc *		29,700		1,814
Chico’s FAS Inc *		26,951		36
Children’s Place Inc/The *(A)		3,433		143
Choice Hotels International Inc *		7,977		645
Churchill Downs Inc		8,631		1,145
Chuy’s Holdings Inc *		2,335		37
Citi Trends Inc *		3,097		50
Clarus Corp *		5,111		54
Collectors Universe Inc		3,900		87
Columbia Sportswear Co *(A)		8,344		610
Commercial Vehicle Group Inc *		1,600		4
CompX International Inc		400		6
Conn’s Inc *		3,909		28
Container Store Group Inc/The *		1,600		5
Cooper Tire & Rubber Co		13,832		356
Cooper-Standard Holdings Inc *		3,300		35
Core-Mark Holding Co Inc		12,836		359
Cracker Barrel Old Country Store Inc *(A)		5,744		615
Crocs Inc *		15,803		453
Culp Inc		2,861		22
Dana Inc *		35,698		451
Dave & Buster’s Entertainment Inc *(A)		8,500		112
Deckers Outdoor Corp *		6,904		1,260
Del Taco Restaurants Inc *		4,500		27
Delta Apparel Inc *		1,500		18
Denny’s Corp *		14,463		157
Designer Brands Inc, Cl A *		12,192		75
Dick’s Sporting Goods Inc *		14,835		535
Dillard’s Inc, Cl A (A)		2,562		77
Dine Brands Global Inc *		4,372		198
Dorman Products Inc *		6,740		471
Douglas Dynamics Inc		6,122		224
Drive Shack Inc *		5,800		10
Duluth Holdings Inc, Cl B *(A)		2,900		13
Dunkin’ Brands Group Inc *		22,130		1,413
El Pollo Loco Holdings Inc *(A)		3,900		54
Eldorado Resorts Inc *(A)		15,600		553
Eros International PLC *(A)		5,900		19
Escalade Inc		2,500		25
Ethan Allen Interiors Inc *		5,276		60
Etsy Inc *		31,400		2,543
Everi Holdings Inc *		12,900		80
Express Inc *		14,962		29
Extended Stay America Inc		42,200		485
Fiesta Restaurant Group Inc *		2,905		24

2 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Extended Market Index Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Five Below Inc *		14,705	$	1,539
Flexsteel Industries Inc		1,700		17
Floor & Decor Holdings Inc, Cl A *		16,900		879
Foot Locker Inc *		25,200		698
Fossil Group Inc *		8,500		26
Fox Factory Holding Corp *(A)		9,700		700
frontdoor Inc *		20,950		956
Funko Inc, Cl A *(A)		4,400		25
Gaia Inc, Cl A *		2,200		17
GameStop Corp, Cl A *(A)		21,400		87
Genesco Inc *		4,069		75
Gentex Corp		64,090		1,695
Gentherm Inc *		7,748		315
G-III Apparel Group Ltd *		10,906		113
GNC Holdings Inc, Cl A *(A)		13,278		10
Golden Entertainment Inc *		2,100		26
Goodyear Tire & Rubber Co/The *		55,400		422
Graham Holdings Co, Cl B		1,100		394
Grand Canyon Education Inc *		12,215		1,192
Green Brick Partners Inc *		6,200		66
Greenlane Holdings Inc, Cl A *		2,400		8
Group 1 Automotive Inc *		4,735		298
Grubhub Inc *(A)		24,700		1,402
Guess? Inc		11,317		108
Hamilton Beach Brands Holding Co, Cl A		2,010		19
Haverty Furniture Cos Inc		4,363		76
Helen of Troy Ltd *		6,748		1,228
Hibbett Sports Inc *		4,012		78
Hilton Grand Vacations Inc *		20,470		441
Hooker Furniture Corp		2,700		44
Hudson Ltd, Cl A *		7,500		38
Hyatt Hotels Corp, Cl A *(A)		10,427		574
IMAX Corp *		11,800		149
Installed Building Products Inc *		5,200		334
International Game Technology PLC		21,600		182
iRobot Corp *(A)		6,402		472
J Alexander’s Holdings Inc *		2,756		12
J Jill Inc *(A)		4,100		3
Jack in the Box Inc *		6,621		444
Johnson Outdoors Inc, Cl A		700		54
K12 Inc *		12,688		312
KB Home		20,485		678
Kontoor Brands Inc *(A)		11,600		170
Kura Sushi USA Inc, Cl A *		800		12
Laureate Education Inc, Cl A *		28,100		273
La-Z-Boy Inc, Cl Z		12,226		314
LCI Industries		5,749		569
Lear Corp *		15,471		1,641
LGI Homes Inc *(A)		4,500		375
Liberty Media Corp-Liberty Braves, Cl A *		1,803		41
Liberty Media Corp-Liberty Braves, Cl C *		10,465		230
Liberty TripAdvisor Holdings Inc, Cl A *		13,392		32

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Lifetime Brands Inc		3,300	$	19
Lindblad Expeditions Holdings Inc *		4,100		32
Lithia Motors Inc, Cl A		5,289		638
Lovesac Co/The *(A)		2,200		40
Lululemon Athletica Inc *		30,800		9,243
Lumber Liquidators Holdings Inc *		4,026		40
M/I Homes Inc *		5,394		181
Macy’s Inc *(A)		79,400		505
Malibu Boats Inc, Cl A *		4,600		217
Marcus Corp/The *		4,061		55
Marine Products Corp		1,800		20
MarineMax Inc *		3,996		76
Marriott Vacations Worldwide Corp *		10,572		950
MasterCraft Boat Holdings Inc *		5,000		74
Mattel Inc *(A)		93,600		862
MDC Holdings Inc		11,615		395
Meritage Homes Corp *		9,311		647
Michaels Cos Inc/The *(A)		22,100		85
Modine Manufacturing Co *		9,874		53
Monarch Casino & Resort Inc *		3,500		141
Monro Inc (A)		9,328		514
Motorcar Parts of America Inc *(A)		3,700		59
Movado Group Inc *		2,720		29
Nathan’s Famous Inc		900		50
National Vision Holdings Inc *		22,300		597
Noodles & Co, Cl A *		11,000		64
Office Depot Inc *		145,147		359
Ollie’s Bargain Outlet Holdings Inc *(A)		13,200		1,207
OneSpaWorld Holdings Ltd *		12,400		81
Oxford Industries Inc		4,254		181
Papa John’s International Inc (A)		5,342		416
Party City Holdco Inc *(A)		10,300		13
Penn National Gaming Inc *(A)		30,573		1,003
Penske Automotive Group Inc *(A)		10,488		375
Perdoceo Education Corp *		16,254		265
PetMed Express Inc (A)		3,796		137
Planet Fitness Inc, Cl A *		22,200		1,435
Polaris Inc		14,807		1,293
Pool Corp		10,070		2,709
Potbelly Corp *		5,900		12
Purple Innovation Inc, Cl A *		1,900		27
Qurate Retail Inc *		105,522		869
RCI Hospitality Holdings Inc		2,800		41
Reading International Inc, Cl A *		3,800		13
Red Lion Hotels Corp *		5,800		10
Red Robin Gourmet Burgers Inc *		2,967		41
Red Rock Resorts Inc, Cl A *		18,400		254
Regis Corp *		6,527		69
Rent-A-Center Inc/TX, Cl A		13,040		332
RH *(A)		4,111		892
Rocky Brands Inc		2,500		52
RTW Retailwinds Inc *		7,300		3

3 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Extended Market Index Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Ruth’s Hospitality Group Inc *		5,172	$	42
Sally Beauty Holdings Inc *(A)		30,691		400
Scientific Games Corp, Cl A *		14,862		234
SeaWorld Entertainment Inc *(A)		10,500		190
Service Corp International/US		46,589		1,837
ServiceMaster Global Holdings Inc *		36,600		1,204
Shake Shack Inc, Cl A *(A)		8,700		483
Shoe Carnival Inc		2,076		54
Signet Jewelers Ltd *(A)		11,400		120
Six Flags Entertainment Corp *		19,758		454
Skechers USA Inc, Cl A *		35,646		1,116
Skyline Champion Corp *		12,400		308
Sleep Number Corp *(A)		6,909		215
Sonic Automotive Inc, Cl A		5,064		133
Sonos Inc *		18,600		202
Sportsman’s Warehouse Holdings Inc *		5,400		60
Standard Motor Products Inc *		5,766		245
Steven Madden Ltd *		23,251		547
Strategic Education Inc		5,787		982
Superior Group of Cos Inc		2,000		20
Tailored Brands Inc *(A)		10,068		13
Target Hospitality Corp *		12,300		29
Taylor Morrison Home Corp, Cl A *		32,360		626
Tempur Sealy International Inc *(A)		10,823		706
Tenneco Inc, Cl A *		11,263		76
Tesla Inc *		37,479		31,295
Texas Roadhouse Inc, Cl A *		17,866		926
Thor Industries Inc (A)		13,090		1,128
Tilly’s Inc, Cl A *		10,343		53
Toll Brothers Inc		29,639		958
TopBuild Corp *		9,100		1,044
TRI Pointe Group Inc *		35,373		507
Tupperware Brands Corp *		8,524		28
Twin River Worldwide Holdings Inc *		5,528		116
Unifi Inc *		2,480		34
Universal Electronics Inc *		3,887		176
Urban Outfitters Inc *		20,500		347
Vail Resorts Inc *		10,612		2,105
Vera Bradley Inc *		2,470		13
Vince Holding Corp *		700		4
Vista Outdoor Inc *		12,288		119
Visteon Corp *		6,465		466
Waitr Holdings Inc *		19,000		47
Wayfair Inc, Cl A *(A)		16,300		2,796
Wendy’s Co/The		51,075		1,086
Weyco Group Inc		263		5
Williams-Sonoma Inc (A)		20,937		1,742
Wingstop Inc		8,100		988
Winmark Corp		391		56
Winnebago Industries Inc		7,235		394
Wolverine World Wide Inc		20,896		438
World Fuel Services Corp		18,841		480

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
WW International Inc *		12,174	$	291
Wyndham Destinations Inc		23,200		738
Wyndham Hotels & Resorts Inc		22,800		1,047
YETI Holdings Inc *(A)		16,300		523
Yum China Holdings Inc *		94,200		4,365
Zumiez Inc *(A)		3,903		95
				148,504
Consumer Staples — 3.0%
22nd Century Group Inc *(A)		22,300		18
Alico Inc		143		5
Andersons Inc/The		8,999		117
Avis Budget Group Inc *(A)		13,960		301
B&G Foods Inc, Cl A (A)		16,611		386
BellRing Brands Inc, Cl A *		9,500		191
Beyond Meat Inc *(A)		11,900		1,527
BG Staffing Inc		3,400		35
BJ’s Wholesale Club Holdings Inc *		28,500		1,026
Boston Beer Co Inc/The, Cl A *(A)		2,283		1,289
Bridgford Foods Corp *		400		6
BrightView Holdings Inc *		4,800		66
Brink’s Co/The		13,706		550
Bunge Ltd		36,543		1,426
CAI International Inc *		5,072		95
Calavo Growers Inc (A)		4,426		259
Cal-Maine Foods Inc *		8,128		362
Casey’s General Stores Inc		9,659		1,543
CBIZ Inc *		11,445		259
Celsius Holdings Inc *(A)		6,900		64
Central Garden & Pet Co, Cl A *		12,129		421
Chefs’ Warehouse Inc/The *		6,121		91
Cimpress PLC *(A)		5,099		460
Coca-Cola Consolidated Inc		1,189		289
Craft Brew Alliance Inc *		1,600		24
Darling Ingredients Inc *		44,357		1,034
Deluxe Corp		10,154		237
Edgewell Personal Care Co *		13,345		406
elf Beauty Inc *		10,000		171
Emerald Holding Inc *		5,700		13
Energizer Holdings Inc (A)		17,545		770
Farmer Bros Co *		900		7
Flowers Foods Inc		52,008		1,227
Fresh Del Monte Produce Inc		8,981		224
Freshpet Inc *		9,500		733
Grocery Outlet Holding Corp *		16,300		600
Hain Celestial Group Inc/The *		20,360		641
Herbalife Nutrition Ltd *		25,744		1,129
HF Foods Group Inc *(A)		3,000		21
Hostess Brands Inc, Cl A *		31,800		384
Ingles Markets Inc, Cl A		3,545		151
Ingredion Inc		17,765		1,496
Inter Parfums Inc *		3,806		177
J&J Snack Foods Corp		4,364		561

4 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Extended Market Index Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
John B Sanfilippo & Son Inc		2,619	$	228
Keurig Dr Pepper Inc (A)		63,400		1,770
Lancaster Colony Corp		5,329		818
Landec Corp *		4,693		50
Lifevantage Corp *		4,700		72
Limoneira Co		6,495		87
Medifast Inc (A)		2,964		303
MGP Ingredients Inc (A)		2,300		86
National Beverage Corp *(A)		2,352		134
Natural Grocers by Vitamin Cottage Inc		1,085		16
Nature’s Sunshine Products Inc *		437		4
New Age Beverages Corp *(A)		25,800		39
Nu Skin Enterprises Inc, Cl A		12,705		472
Performance Food Group Co *		32,100		855
Pilgrim’s Pride Corp *		14,207		294
Post Holdings Inc *		16,369		1,425
PriceSmart Inc		5,423		295
Pyxus International Inc *(A)		2,800		8
Revlon Inc, Cl A *(A)		2,920		30
Reynolds Consumer Products Inc		11,600		387
Rite Aid Corp *(A)		13,411		176
Rosetta Stone Inc *		5,200		97
Sanderson Farms Inc		4,741		626
Seaboard Corp		57		168
SEACOR Marine Holdings Inc *		3,391		5
Seneca Foods Corp, Cl A *		2,462		90
Simply Good Foods Co/The *		21,200		361
SpartanNash Co		7,336		157
Spectrum Brands Holdings Inc		13,087		619
Sprouts Farmers Market Inc *		30,400		764
Tootsie Roll Industries Inc (A)		3,508		125
TreeHouse Foods Inc *		13,309		701
Turning Point Brands Inc		1,500		36
United Natural Foods Inc *(A)		17,098		335
Universal Corp/VA		7,345		323
US Foods Holding Corp *		59,000		1,129
USANA Health Sciences Inc *		3,432		291
Vector Group Ltd (A)		30,491		348
Village Super Market Inc, Cl A		1,962		47
WD-40 Co (A)		3,386		650
Weis Markets Inc		1,704		95
Youngevity International Inc *		2,100		4
				35,312
Energy — 1.6%
Abraxas Petroleum Corp *(A)		16,494		3
Amplify Energy Corp *		3,100		3
Antero Midstream Corp		69,200		331
Antero Resources Corp *		49,200		147
Apergy Corp *(A)		19,400		176
Arch Resources Inc *(A)		3,500		115
Archrock Inc		29,383		187
Berry Corp *		10,500		45

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Bonanza Creek Energy Inc *		4,100	$	69
Brigham Minerals Inc, Cl A		5,600		74
California Resources Corp *(A)		12,800		17
Callon Petroleum Co *(A)		104,175		70
Centennial Resource Development Inc/DE, Cl A *		38,500		39
Chaparral Energy Inc, Cl A *(A)		7,500		4
Cheniere Energy Inc *		60,465		2,682
Chesapeake Energy Corp *(A)		1,452		19
Cimarex Energy Co		24,000		631
Clean Energy Fuels Corp *		20,388		43
CNX Resources Corp *		53,300		543
Comstock Resources Inc *		3,700		20
CONSOL Energy Inc *		5,075		35
Continental Resources Inc/OK *(A)		20,396		249
CVR Energy Inc		7,097		145
Delek US Holdings Inc (A)		17,446		343
Denbury Resources Inc *(A)		96,500		21
DHT Holdings Inc		28,800		171
DMC Global Inc *(A)		3,400		97
Dorian LPG Ltd *		6,747		55
Dril-Quip Inc *		10,587		322
Earthstone Energy Inc, Cl A *		8,700		26
EQT Corp *		65,400		872
Equitrans Midstream Corp (A)		47,100		381
Era Group Inc *		2,093		11
Evolution Petroleum Corp		4,027		10
Exterran Corp *		7,541		48
Extraction Oil & Gas Inc *(A)		24,500		7
Falcon Minerals Corp		13,800		34
Forum Energy Technologies Inc *(A)		20,705		6
Frank’s International NV *		20,900		47
FTS International Inc *		215		1
Geospace Technologies Corp *		4,400		35
Goodrich Petroleum Corp *		2,200		18
Green Plains Inc *		7,690		66
Gulfport Energy Corp *		33,781		51
Hallador Energy Co *		4,900		3
Helix Energy Solutions Group Inc *		29,969		101
Helmerich & Payne Inc		28,000		564
HighPoint Resources Corp *		19,564		5
Independence Contract Drilling Inc *		510		3
KLX Energy Services Holdings Inc *		3,786		6
Kosmos Energy Ltd *		81,275		148
Laredo Petroleum Inc *		29,589		25
Liberty Oilfield Services Inc, Cl A *		10,800		56
Magnolia Oil & Gas Corp *		24,700		137
Mammoth Energy Services Inc *		2,721		3
Matador Resources Co *(A)		25,400		199
Matrix Service Co *		4,781		53
Montage Resources Corp *		253		2
MRC Global Inc *		18,112		107

5 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Extended Market Index Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Murphy Oil Corp (A)		36,100	$	431
Murphy USA Inc *		7,900		917
Nabors Industries Ltd *(A)		1,391		52
NACCO Industries Inc, Cl A		1,005		26
National Energy Services Reunited Corp *		11,400		65
Natural Gas Services Group Inc *		3,044		19
NCS Multistage Holdings Inc *		100		—
Newpark Resources Inc *		18,020		36
NextDecade Corp *(A)		3,000		5
NexTier Oilfield Solutions Inc *		37,639		109
Nine Energy Service Inc *		1,500		3
Noble Corp plc *(A)		51,900		7
Northern Oil and Gas Inc *		49,800		39
NOW Inc *		21,600		161
Oasis Petroleum Inc *(A)		74,597		34
Oceaneering International Inc *		20,846		134
Oil States International Inc *		16,699		71
Pacific Drilling SA *(A)		9,900		4
Panhandle Oil and Gas Inc, Cl A		3,182		13
Par Pacific Holdings Inc *		6,786		63
Parsley Energy Inc, Cl A		71,423		653
Patterson-UTI Energy Inc		44,122		163
PBF Energy Inc, Cl A *		28,477		302
PDC Energy Inc *		24,377		297
Peabody Energy Corp *		15,500		49
Penn Virginia Corp *		2,900		25
Plug Power Inc *(A)		85,900		362
PrimeEnergy Resources Corp *		100		8
ProPetro Holding Corp *		16,000		79
QEP Resources Inc *		66,700		57
Range Resources Corp *(A)		64,000		383
Renewable Energy Group Inc *(A)		10,100		287
REX American Resources Corp *		1,300		76
Ring Energy Inc *(A)		10,100		12
Rosehill Resources Inc, Cl A *(A)		2,500		1
RPC Inc *(A)		10,999		35
SandRidge Energy Inc *		7,100		11
Scorpio Tankers Inc (A)		10,813		192
SEACOR Holdings Inc *		3,374		90
Seadrill Ltd *(A)		24,100		11
Select Energy Services Inc, Cl A *		12,200		72
SFL Corp Ltd		19,676		195
SilverBow Resources Inc *		1,700		6
SM Energy Co (A)		30,013		106
Smart Sand Inc *(A)		4,700		5
Solaris Oilfield Infrastructure Inc, Cl A		5,400		37
Southwestern Energy Co *(A)		160,600		483
Sunnova Energy International Inc *		12,100		182
Sunrun Inc *		26,600		444
Talos Energy Inc *		4,900		60
Targa Resources Corp		56,259		1,007
Tellurian Inc *(A)		21,300		21

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
TerraForm Power Inc, Cl A		20,876	$	384
TETRA Technologies Inc *		16,405		5
Thermon Group Holdings Inc *		6,882		110
Transocean Ltd *(A)		138,034		183
US Silica Holdings Inc *		15,626		46
US Well Services Inc *(A)		4,800		2
Vivint Solar Inc *(A)		15,000		113
W&T Offshore Inc *		15,938		42
Whiting Petroleum Corp *(A)		21,540		15
WPX Energy Inc *		98,000		556
				19,037
Financials — 13.2%
1st Constitution Bancorp		2,100		27
1st Source Corp		4,158		144
ACNB Corp		900		22
Affiliated Managers Group Inc		13,500		899
AG Mortgage Investment Trust Inc *‡(A)		9,988		25
AGNC Investment Corp ‡		142,621		1,846
Alerus Financial Corp		700		13
Alleghany Corp *		3,667		1,882
Allegiance Bancshares Inc		5,500		141
Ally Financial Inc		99,700		1,739
Altus Midstream Co, Cl A *(A)		12,100		8
Amalgamated Bank, Cl A		5,800		65
Ambac Financial Group Inc *		12,500		168
Amerant Bancorp Inc, Cl A *		7,100		93
American Equity Investment Life Holding Co		25,378		550
American Financial Group Inc/OH		19,753		1,190
American National Bankshares Inc		4,106		102
American National Insurance Co		2,231		168
Ameris Bancorp		15,162		367
AMERISAFE Inc		5,433		333
Ames National Corp		1,097		22
Annaly Capital Management Inc ‡		375,059		2,310
Anworth Mortgage Asset Corp		20,368		30
Apollo Commercial Real Estate Finance Inc		36,619		301
Arch Capital Group Ltd *		100,008		2,822
Ardmore Shipping Corp *		2,100		12
Ares Commercial Real Estate Corp		4,800		36
Ares Management Corp, Cl A		18,700		706
Argo Group International Holdings Ltd		8,416		258
Arlington Asset Investment Corp, Cl A *		3,412		8
ARMOUR Residential Inc ‡		14,724		115
Arrow Financial Corp		2,318		68
Artisan Partners Asset Management Inc, Cl A		15,200		440
Assetmark Financial Holdings Inc *		3,900		104
Associated Banc-Corp		37,536		526
Associated Capital Group Inc		500		21
Assured Guaranty Ltd		23,287		604
Athene Holding Ltd, Cl A *		38,000		1,098
Atlantic Capital Bancshares Inc *		4,300		49
Atlantic Union Bankshares Corp		18,982		439

6 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Extended Market Index Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Axis Capital Holdings Ltd		22,668	$	851
Axos Financial Inc *(A)		15,136		330
B Riley Financial Inc		6,900		133
Banc of California Inc		8,800		96
BancFirst Corp		3,650		139
Banco Latinoamericano de Comercio Exterior SA, Cl E		5,312		63
Bancorp Inc/The *		10,004		88
BancorpSouth Bank		25,582		569
Bank First Corp (A)		1,900		118
Bank of Commerce Holdings		5,900		45
Bank of Hawaii Corp (A)		11,024		709
Bank of Marin Bancorp		3,614		122
Bank of NT Butterfield & Son Ltd/The		14,600		357
Bank of Princeton/The		1,400		29
Bank OZK (A)		28,970		652
Bank7 Corp		900		9
BankFinancial Corp		4,897		44
BankUnited Inc		27,496		508
Bankwell Financial Group Inc		300		4
Banner Corp		8,151		306
Bar Harbor Bankshares		2,850		56
Baycom Corp *		2,800		37
BCB Bancorp Inc		4,800		46
Benefytt Technologies Inc, Cl A *(A)		2,300		45
Berkshire Hills Bancorp Inc		9,991		108
BGC Partners Inc, Cl A		77,936		201
Blackstone Mortgage Trust Inc, Cl A ‡(A)		35,500		837
Blucora Inc *		10,529		128
BOK Financial Corp (A)		7,682		391
Boston Private Financial Holdings Inc		17,215		118
Bridge Bancorp Inc		3,412		73
Bridgewater Bancshares Inc *		6,100		64
Brighthouse Financial Inc *		26,900		799
Brightsphere Investment Group Inc		15,300		128
Brookline Bancorp Inc		21,974		204
Brown & Brown Inc		61,752		2,482
BRP Group Inc, Cl A *		3,600		45
Bryn Mawr Bank Corp		4,522		126
Business First Bancshares Inc		1,800		26
Byline Bancorp Inc		3,200		39
C&F Financial Corp		300		11
Cactus Inc, Cl A		12,400		237
Cadence BanCorp, Cl A		32,314		261
Cambridge Bancorp		700		41
Camden National Corp		3,058		103
Cannae Holdings Inc *		17,462		643
Capital Bancorp Inc *		1,900		22
Capital City Bank Group Inc		2,861		58
Capitol Federal Financial Inc		33,387		391
Capstar Financial Holdings Inc		6,400		74
Capstead Mortgage Corp ‡		18,718		95

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Carter Bank & Trust *		7,100	$	50
Cathay General Bancorp		18,715		509
CBTX Inc		3,600		74
CenterState Bank Corp		34,708		548
Central Pacific Financial Corp		6,810		110
Central Valley Community Bancorp		1,500		23
Century Bancorp Inc/MA, Cl A		300		23
Chemung Financial Corp		900		23
Cherry Hill Mortgage Investment Corp		5,814		50
Chimera Investment Corp ‡(A)		44,565		370
CIT Group Inc		26,761		485
Citizens & Northern Corp		1,840		35
Citizens Inc/TX, Cl A *(A)		7,833		48
City Holding Co		3,885		244
Civista Bancshares Inc		1,900		29
CNA Financial Corp		8,975		271
CNB Financial Corp/PA		2,048		36
CNO Financial Group Inc		36,525		524
Coastal Financial Corp/WA *		1,900		24
Codorus Valley Bancorp Inc		1,944		26
Cohen & Steers Inc		5,536		352
Colony Bankcorp Inc		1,800		23
Colony Credit Real Estate Inc *‡		16,100		80
Columbia Banking System Inc		18,229		444
Columbia Financial Inc *		14,900		210
Commerce Bancshares Inc/MO (A)		27,027		1,722
Community Bank System Inc		13,851		823
Community Bankers Trust Corp		7,400		42
Community Financial Corp/The		1,200		28
Community Trust Bancorp Inc		3,393		111
ConnectOne Bancorp Inc		6,383		94
Cowen Inc, Cl A		8,030		105
Crawford & Co, Cl A		5,700		34
Credit Acceptance Corp *(A)		2,812		1,040
CrossFirst Bankshares Inc *		11,500		112
CryoPort Inc *(A)		10,500		258
Cullen/Frost Bankers Inc (A)		15,305		1,163
Curo Group Holdings Corp		2,300		15
Customers Bancorp Inc *		7,470		83
CVB Financial Corp		36,579		714
Diamond Hill Investment Group Inc *		554		58
Diamond S Shipping Inc *		8,600		94
Dime Community Bancshares Inc		5,583		81
Donegal Group Inc, Cl A		2,500		36
Dynex Capital Inc		5,597		72
Eagle Bancorp Inc		8,906		288
East West Bancorp Inc		38,766		1,355
Eaton Vance Corp		26,025		938
eHealth Inc *		5,874		766
Elevate Credit Inc *		5,400		9
Ellington Financial Inc		8,300		85
Employers Holdings Inc		7,074		211

7 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Extended Market Index Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Encore Capital Group Inc *(A)		7,975	$	253
Enova International Inc *		10,266		145
Enstar Group Ltd *		2,751		392
Enterprise Bancorp Inc/MA		1,148		26
Enterprise Financial Services Corp		6,749		198
Equitable Holdings Inc		110,200		2,106
Equity Bancshares Inc, Cl A *		5,300		86
Erie Indemnity Co, Cl A (A)		6,687		1,205
Esquire Financial Holdings Inc *		1,500		26
ESSA Bancorp Inc		2,300		33
Essent Group Ltd		23,600		780
Evans Bancorp Inc		1,700		42
Evercore Inc, Cl A		11,176		616
Exantas Capital Corp *‡		7,276		15
EZCORP Inc, Cl A *		7,457		38
FactSet Research Systems Inc		9,786		3,009
Farmers & Merchants Bancorp Inc/Archbold OH		1,800		39
Farmers National Banc Corp		4,900		58
FB Financial Corp		3,100		73
FBL Financial Group Inc, Cl A		1,682		60
Federal Agricultural Mortgage Corp, Cl C		1,988		127
Federated Hermes Inc, Cl B		27,170		601
FedNat Holding Co		1,300		16
FGL Holdings (A)		35,400		295
Fidelity D&D Bancorp Inc		700		27
Fidelity National Financial Inc		69,658		2,222
Financial Institutions Inc		3,243		57
First American Financial Corp		27,272		1,377
First Bancorp Inc/The		3,052		63
First BanCorp/Puerto Rico		55,116		301
First Bancorp/Southern Pines NC		6,545		166
First Bancshares Inc/The		7,100		150
First Bank/Hamilton NJ		5,700		43
First Busey Corp		12,392		222
First Business Financial Services Inc		1,000		17
First Capital Inc		1,100		68
First Choice Bancorp		2,600		37
First Citizens BancShares Inc/NC, Cl A		1,991		767
First Commonwealth Financial Corp		22,901		187
First Community Bankshares Inc		4,442		95
First Defiance Financial Corp		8,976		149
First Financial Bancorp		29,133		387
First Financial Bankshares Inc (A)		34,812		1,067
First Financial Corp/IN		4,012		141
First Financial Northwest Inc		1,900		19
First Foundation Inc		10,600		158
First Guaranty Bancshares Inc		1,200		14
First Hawaiian Inc		37,800		652
First Horizon National Corp (A)		84,857		793
First Internet Bancorp		1,100		18
First Interstate BancSystem Inc, Cl A		8,791		275

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
First Merchants Corp		14,018	$	393
First Mid Bancshares Inc		2,100		53
First Midwest Bancorp Inc/IL		27,242		355
First Northwest Bancorp		3,500		47
First of Long Island Corp/The		4,995		76
FirstCash Inc		11,120		776
Flagstar Bancorp Inc		7,500		220
Fluidigm Corp *		18,053		79
Flushing Financial Corp		6,070		69
FNB Corp/PA		89,689		665
FNCB Bancorp Inc		4,100		23
Focus Financial Partners Inc, Cl A *(A)		6,500		181
Franklin Financial Network Inc		2,800		69
Franklin Financial Services Corp		1,000		25
FS Bancorp Inc		1,300		55
Fulton Financial Corp		46,712		524
FVCBankcorp Inc *		5,300		59
GAIN Capital Holdings Inc (A)		5,300		33
GAMCO Investors Inc, Cl A		1,931		25
GasLog Ltd		8,650		30
Genworth Financial Inc, Cl A *		124,800		381
German American Bancorp Inc		7,066		219
Glacier Bancorp Inc		23,580		971
Global Indemnity Ltd		1,002		24
Golar LNG Ltd *(A)		22,402		178
Goosehead Insurance Inc, Cl A *(A)		3,800		228
GoPro Inc, Cl A *(A)		21,400		101
Granite Point Mortgage Trust Inc *		10,941		54
Great Ajax Corp		3,002		25
Great Southern Bancorp Inc		2,499		101
Great Western Bancorp Inc		14,800		211
Green Dot Corp, Cl A *		11,255		430
Greene County Bancorp Inc		800		18
Greenhill & Co Inc		2,071		21
Greenlight Capital Re Ltd, Cl A *		6,409		46
Guaranty Bancshares Inc/TX		3,000		76
GWG Holdings Inc *		400		3
Hallmark Financial Services Inc *		2,900		7
Hamilton Lane Inc, Cl A		5,300		388
Hancock Whitney Corp		20,614		446
Hanmi Financial Corp		5,678		51
Hanover Insurance Group Inc/The		9,417		945
HarborOne Bancorp Inc *		7,720		62
Hawthorn Bancshares Inc		1,400		28
HBT Financial Inc		2,200		28
HCI Group Inc (A)		1,115		50
Heartland Financial USA Inc		7,775		249
Heritage Commerce Corp		17,800		145
Heritage Financial Corp/WA		8,071		153
Heritage Insurance Holdings Inc		3,800		48
Hilltop Holdings Inc		17,038		318
Hingham Institution For Savings The		300		49

8 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Extended Market Index Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Home Bancorp Inc		1,200	$	29
Home BancShares Inc/AR		39,032		565
HomeStreet Inc		4,372		104
HomeTrust Bancshares Inc		4,102		63
Hope Bancorp Inc		26,995		256
Horace Mann Educators Corp		9,814		358
Horizon Bancorp Inc/IN		11,625		119
Houlihan Lokey Inc, Cl A		11,600		702
Howard Bancorp Inc *		2,500		26
IBERIABANK Corp		14,684		623
Independence Holding Co		1,700		49
Independent Bank Corp		9,286		645
Independent Bank Corp/MI		5,400		75
Independent Bank Group Inc (A)		8,402		318
Interactive Brokers Group Inc, Cl A (A)		20,827		882
International Bancshares Corp		14,350		442
International Seaways Inc		5,366		122
INTL. FCStone Inc *		3,268		167
IntriCon Corp *		1,200		17
Invesco Mortgage Capital Inc (A)		37,071		103
Investar Holding Corp		1,700		22
Investors Bancorp Inc		66,043		573
Investors Title Co		400		50
James River Group Holdings Ltd		7,200		278
Janus Henderson Group PLC		40,100		865
Jefferies Financial Group Inc		68,400		1,002
Kearny Financial Corp/MD		17,129		147
Kemper Corp		16,873		1,070
Kinsale Capital Group Inc		5,400		806
KKR Real Estate Finance Trust Inc		5,800		94
Ladder Capital Corp, Cl A ‡		26,162		208
Lakeland Bancorp Inc		14,893		165
Lakeland Financial Corp		7,557		323
Lazard Ltd, Cl A (A)(B)		28,031		753
LCNB Corp		2,500		37
Legacy Housing Corp *		1,400		18
Legg Mason Inc		22,900		1,141
LendingClub Corp *		17,800		95
LendingTree Inc *(A)		2,100		546
Level One Bancorp Inc		1,200		23
Live Oak Bancshares Inc		6,500		88
LPL Financial Holdings Inc		21,562		1,539
Luther Burbank Corp		4,422		45
Macatawa Bank Corp		5,200		38
Mackinac Financial Corp		2,200		23
MainStreet Bancshares Inc *		1,700		23
Malvern Bancorp Inc *		2,700		32
Markel Corp *		3,533		3,171
Marlin Business Services Corp		1,822		14
MBIA Inc *		21,782		154
Mercantile Bank Corp		3,557		82
Merchants Bancorp/IN		3,100		53

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Mercury General Corp		7,878	$	317
Meridian Bancorp Inc		12,127		140
Meta Financial Group Inc		9,100		165
Metrocity Bankshares Inc		3,800		44
Metropolitan Bank Holding Corp *		1,300		36
MFA Financial Inc *‡		112,497		190
MGIC Investment Corp		96,418		792
Mid Penn Bancorp Inc		2,400		45
Midland States Bancorp Inc		5,600		84
MidWestOne Financial Group Inc		2,369		45
MMA Capital Holdings Inc *		1,200		30
Moelis & Co, Cl A		11,200		377
Morningstar Inc		5,420		831
Mr Cooper Group Inc *		15,771		176
MVB Financial Corp		3,200		45
National Bank Holdings Corp, Cl A		7,500		197
National Bankshares Inc		1,036		32
National General Holdings Corp		18,000		365
National Western Life Group Inc, Cl A		510		100
Navient Corp		48,100		358
NBT Bancorp Inc		12,208		382
Nelnet Inc, Cl A		4,531		223
New Residential Investment Corp ‡		113,950		817
New York Community Bancorp Inc (A)		120,539		1,211
New York Mortgage Trust Inc *‡		117,838		245
NI Holdings Inc *		2,300		34
Nicolet Bankshares Inc *		2,000		112
NMI Holdings Inc, Cl A *		16,800		258
Nordic American Tankers Ltd (A)		28,877		132
Northeast Bank		2,600		45
Northfield Bancorp Inc		8,705		95
Northrim BanCorp Inc		1,300		30
Northwest Bancshares Inc		25,179		251
Norwood Financial Corp		2,000		49
Oak Valley Bancorp		1,600		22
OceanFirst Financial Corp		12,468		208
Ocwen Financial Corp *		20,161		15
OFG Bancorp		10,925		133
Ohio Valley Banc Corp		1,000		25
Old National Bancorp/IN		44,294		602
Old Republic International Corp		75,544		1,178
Old Second Bancorp Inc		8,600		66
On Deck Capital Inc *		11,400		9
OneMain Holdings Inc, Cl A		16,100		376
OP Bancorp		3,200		20
Oportun Financial Corp *		1,700		16
Oppenheimer Holdings Inc, Cl A		2,164		46
Opus Bank		7,400		144
Orchid Island Capital Inc, Cl A ‡		20,900		87
Origin Bancorp Inc		6,200		129
Orrstown Financial Services Inc		3,700		50
Overseas Shipholding Group Inc, Cl A *		8,900		20

9 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Extended Market Index Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Pacific Mercantile Bancorp *		4,700	$	18
Pacific Premier Bancorp Inc (A)		13,976		302
PacWest Bancorp		32,912		570
Palomar Holdings Inc, Cl A *		5,700		424
Park National Corp		3,905		292
Parke Bancorp Inc		1,636		23
PCB Bancorp		4,600		41
PCSB Financial Corp		4,700		63
PDL Community Bancorp *		2,000		18
Peapack-Gladstone Financial Corp		6,154		116
Penns Woods Bancorp Inc		978		21
PennyMac Financial Services Inc		7,300		245
PennyMac Mortgage Investment Trust ‡		22,663		250
Peoples Bancorp Inc/OH		3,010		68
Peoples Bancorp of North Carolina Inc		1,100		19
Peoples Financial Services Corp		900		30
People’s Utah Bancorp		2,500		62
Pinnacle Financial Partners Inc		20,427		814
Pioneer Bancorp Inc/NY *		2,700		26
Piper Sandler Cos		3,277		195
PJT Partners Inc		6,000		328
Popular Inc		22,956		907
Powell Industries Inc		1,364		36
PRA Group Inc *		11,858		405
Preferred Bank/Los Angeles CA		3,037		114
Premier Financial Bancorp Inc		625		8
Primerica Inc		11,129		1,265
ProAssurance Corp		15,225		210
ProSight Global Inc *		2,100		19
Prosperity Bancshares Inc		24,335		1,591
Protective Insurance Corp		1,481		20
Provident Bancorp Inc		2,100		18
Provident Financial Holdings Inc		1,400		18
Provident Financial Services Inc		16,579		216
Prudential Bancorp Inc		2,100		26
Pzena Investment Management Inc, Cl A		6,300		26
QCR Holdings Inc		4,800		146
Radian Group Inc		49,948		793
RBB Bancorp		2,600		33
Ready Capital Corp		6,294		37
Red River Bancshares Inc		1,200		48
Redwood Trust Inc ‡		30,105		161
Regional Management Corp *		2,800		44
Reinsurance Group of America Inc, Cl A		16,616		1,508
Reliant Bancorp Inc		1,900		27
RenaissanceRe Holdings Ltd		11,506		1,931
Renasant Corp		13,160		317
Republic Bancorp Inc/KY, Cl A		1,298		42
Republic First Bancorp Inc *		9,800		23
Richmond Mutual BanCorp Inc		4,500		50
Riverview Bancorp Inc		5,100		25
RLI Corp (A)		10,682		843

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
S&T Bancorp Inc		8,332	$	185
Safeguard Scientifics Inc *		3,396		21
Safety Insurance Group Inc		4,031		307
Sandy Spring Bancorp Inc		8,510		206
Santander Consumer USA Holdings Inc (A)		26,600		440
SB One Bancorp		2,800		48
Sculptor Capital Management Inc, Cl A *(B)		5,700		71
Seacoast Banking Corp of Florida *		12,398		270
SEI Investments Co †		33,719		1,828
Select Bancorp Inc *		5,700		43
Select Interior Concepts Inc, Cl A *		8,800		28
Selective Insurance Group Inc		16,284		854
ServisFirst Bancshares Inc (A)		12,700		443
Shore Bancshares Inc		3,000		30
Siebert Financial Corp *		1,800		12
Sierra Bancorp		2,978		56
Signature Bank/New York NY		14,170		1,458
Silvercrest Asset Management Group Inc, Cl A		2,100		24
Silvergate Capital Corp, Cl A *		800		12
Simmons First National Corp, Cl A		23,248		399
SLM Corp		114,400		867
SmartFinancial Inc		2,200		34
South Plains Financial Inc		2,400		32
South State Corp		9,721		511
Southern First Bancshares Inc *		1,491		43
Southern Missouri Bancorp Inc		1,900		46
Southern National Bancorp of Virginia Inc		6,000		60
Southside Bancshares Inc		8,762		247
Spirit of Texas Bancshares Inc *		4,600		55
Starwood Property Trust Inc ‡		74,280		985
State Auto Financial Corp		3,690		74
Sterling Bancorp Inc/MI		4,000		11
Sterling Bancorp/DE		50,815		625
Stewart Information Services Corp		6,841		211
Stifel Financial Corp		18,182		867
Stock Yards Bancorp Inc		4,702		160
Stoneridge Inc *		5,930		122
Sturm Ruger & Co Inc		3,542		221
Summit Financial Group Inc		1,700		29
Synovus Financial Corp		36,392		698
TCF Financial Corp		41,280		1,194
TD Ameritrade Holding Corp		69,973		2,608
Teekay Corp *(A)		18,654		55
Teekay Tankers Ltd, Cl A *		8,152		142
Territorial Bancorp Inc		773		20
Texas Capital Bancshares Inc *		12,723		340
TFS Financial Corp		12,343		190
Third Point Reinsurance Ltd *		17,500		129
Tidewater Inc *		9,800		47
Timberland Bancorp Inc/WA		2,400		43
Tiptree Inc		9,700		59

10 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Extended Market Index Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Tompkins Financial Corp		3,905	$	251
Towne Bank/Portsmouth VA		19,567		369
TPG RE Finance Trust Inc		14,400		107
TriCo Bancshares		6,909		196
TriState Capital Holdings Inc *		6,500		97
Triumph Bancorp Inc *		4,500		110
Trupanion Inc *(A)		6,500		196
TrustCo Bank Corp NY		21,626		136
Trustmark Corp		18,939		451
Two Harbors Investment Corp ‡		64,742		293
UMB Financial Corp		12,745		654
Umpqua Holdings Corp		60,931		694
Union Bankshares Inc/Morrisville VT		400		8
United Bankshares Inc/WV		34,056		990
United Community Banks Inc/GA		23,374		457
United Fire Group Inc		6,771		182
United Insurance Holdings Corp		1,900		15
United Security Bancshares/Fresno CA		3,200		20
Unity Bancorp Inc		2,800		40
Universal Insurance Holdings Inc		9,000		161
Univest Financial Corp		8,915		147
Valley National Bancorp		105,168		839
Veritex Holdings Inc		12,539		220
Virtu Financial Inc, Cl A		14,400		343
Virtus Investment Partners Inc		1,300		121
Voya Financial Inc		35,800		1,613
Waddell & Reed Financial Inc, Cl A (A)		16,402		214
Walker & Dunlop Inc		7,523		305
Washington Federal Inc		21,736		562
Washington Trust Bancorp Inc		3,870		124
Waterstone Financial Inc		4,000		60
Watford Holdings Ltd *		5,900		87
Webster Financial Corp		22,551		638
WesBanco Inc		16,609		356
West BanCorp Inc		3,785		67
Westamerica BanCorp (A)		6,155		363
Western Alliance Bancorp		22,961		876
Western Asset Mortgage Capital Corp *‡		18,144		36
Western New England Bancorp Inc		5,000		26
Westwood Holdings Group Inc *		1,828		32
White Mountains Insurance Group Ltd		862		789
Wintrust Financial Corp		16,049		680
WisdomTree Investments Inc		33,875		101
World Acceptance Corp *		1,676		111
WSFS Financial Corp		12,143		336
ZAGG Inc *		3,700		11
				154,600
Health Care — 16.1%
1Life Healthcare Inc *(A)		4,700		152
89bio Inc *(A)		700		18
Abeona Therapeutics Inc *		7,000		23
Acadia Healthcare Co Inc *		20,587		589

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
ACADIA Pharmaceuticals Inc *(A)		29,900	$	1,485
Accelerate Diagnostics Inc *(A)		4,900		41
Acceleron Pharma Inc *		11,400		1,127
Accuray Inc *		14,863		31
AcelRx Pharmaceuticals Inc *		29,100		40
Acer Therapeutics Inc *		1,200		4
Aclaris Therapeutics Inc *		4,000		6
Acorda Therapeutics Inc *		9,642		7
Adamas Pharmaceuticals Inc *		3,000		8
Adaptive Biotechnologies Corp *		16,300		631
Addus HomeCare Corp *		3,600		356
ADMA Biologics Inc *		15,400		51
Aduro Biotech Inc *		7,800		26
Adverum Biotechnologies Inc *		13,700		283
Aeglea BioTherapeutics Inc *		9,300		82
Aerie Pharmaceuticals Inc *(A)		11,900		167
Affimed NV *		19,500		64
Agenus Inc *		16,000		60
AgeX Therapeutics Inc *(A)		1,960		2
Agios Pharmaceuticals Inc *		15,600		807
Aimmune Therapeutics Inc *(A)		10,300		171
Akcea Therapeutics Inc *(A)		3,800		57
Akebia Therapeutics Inc *		25,985		302
Akero Therapeutics Inc *		1,200		31
Albireo Pharma Inc *		1,800		48
Aldeyra Therapeutics Inc *		5,500		27
Alector Inc *(A)		9,400		307
Alkermes PLC *		42,953		703
Allakos Inc *(A)		5,000		325
Allogene Therapeutics Inc *(A)		9,700		467
Allscripts Healthcare Solutions Inc *		37,453		237
Alnylam Pharmaceuticals Inc *		27,889		3,773
Alphatec Holdings Inc *		12,300		55
AMAG Pharmaceuticals Inc *(A)		6,003		46
Amedisys Inc *		7,771		1,492
American Renal Associates Holdings Inc *		1,700		11
Amicus Therapeutics Inc *		69,900		872
AMN Healthcare Services Inc *		12,309		546
Amneal Pharmaceuticals Inc *		40,788		199
Amphastar Pharmaceuticals Inc *		7,300		136
AnaptysBio Inc *		4,800		92
Anavex Life Sciences Corp *		10,300		42
AngioDynamics Inc *		7,370		75
ANI Pharmaceuticals Inc *		2,500		78
Anika Therapeutics Inc *		3,070		103
Antares Pharma Inc *		41,800		120
Apellis Pharmaceuticals Inc *		16,300		549
Apollo Medical Holdings Inc *		1,500		28
Applied Therapeutics Inc *		1,500		68
Aprea Therapeutics Inc *		1,600		43
Apyx Medical Corp *		14,200		63
Arcus Biosciences Inc *		7,700		241

11 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Extended Market Index Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Arcutis Biotherapeutics Inc *		2,500	$	84
Ardelyx Inc *		16,000		117
Arena Pharmaceuticals Inc *		12,865		769
Arrowhead Pharmaceuticals Inc *		27,300		880
Arvinas Inc *(A)		5,700		190
Assembly Biosciences Inc *		8,400		164
Assertio Holdings Inc *		11,355		11
Atara Biotherapeutics Inc *		9,300		107
Athenex Inc *(A)		14,700		160
Athersys Inc *(A)		50,000		146
Atreca Inc, Cl A *(A)		7,200		133
AtriCure Inc *		9,320		446
Atrion Corp		330		212
Avalon GloboCare Corp *(A)		5,200		8
Avanos Medical Inc *		12,200		355
Avantor Inc *		84,700		1,607
Avid Bioservices Inc *		18,600		109
Avrobio Inc *		4,600		93
Axcella Health Inc *		1,900		11
Axogen Inc *		6,100		59
Axonics Modulation Technologies Inc *(A)		3,400		125
Axsome Therapeutics Inc *(A)		6,500		500
Baudax Bio Inc *(A)		3,560		15
Beam Therapeutics Inc *		3,000		77
Beyondspring Inc *		4,400		75
BioCryst Pharmaceuticals Inc *		30,100		135
BioDelivery Sciences International Inc *		27,900		133
Biohaven Pharmaceutical Holding Co Ltd *(A)		10,100		631
BioLife Solutions Inc *		1,700		28
BioMarin Pharmaceutical Inc *		46,446		4,949
Bio-Rad Laboratories Inc, Cl A *		5,553		2,728
BioSig Technologies Inc *(A)		3,800		36
BioSpecifics Technologies Corp *		1,400		87
Bio-Techne Corp		9,925		2,628
BioTelemetry Inc *		9,800		462
Bioxcel Therapeutics Inc *		1,700		79
Black Diamond Therapeutics Inc *(A)		2,900		113
Bluebird Bio Inc *(A)		15,800		1,005
Blueprint Medicines Corp *		13,700		892
Bridgebio Pharma Inc *(A)		18,200		534
Brookdale Senior Living Inc, Cl A *		37,509		137
Bruker Corp		27,932		1,209
Cabaletta Bio Inc *		1,600		14
Calithera Biosciences Inc *		22,500		131
Calyxt Inc *		2,200		10
Cantel Medical Corp *		8,877		374
Cara Therapeutics Inc *(A)		9,400		149
Cardiovascular Systems Inc *		8,225		318
CareDx Inc *		9,700		312
CASI Pharmaceuticals Inc *		9,300		25
Castle Biosciences Inc *		4,000		154

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Castlight Health Inc, Cl B *		24,900	$	20
Catalent Inc *		40,300		3,133
Catalyst Pharmaceuticals Inc *		23,400		101
Catasys Inc *(A)		1,700		34
cbdMD Inc *(A)		2,500		4
Celcuity Inc *		1,400		14
Cellular Biomedicine Group Inc *		4,200		58
CEL-SCI Corp *(A)		9,900		132
Cerecor Inc *		5,300		17
Cerus Corp *		43,897		273
Change Healthcare Inc *		53,800		671
Charles River Laboratories International Inc *		12,706		2,283
Checkpoint Therapeutics Inc *		5,900		13
Chemed Corp		4,145		1,983
ChemoCentryx Inc *		11,600		724
Chiasma Inc *		11,600		73
Chimerix Inc *		7,900		25
ChromaDex Corp *		9,900		48
Clovis Oncology Inc *(A)		9,766		68
Codexis Inc *		11,400		142
Coherus Biosciences Inc *(A)		14,800		276
Collegium Pharmaceutical Inc *		6,400		141
Community Health Systems Inc *		21,729		68
Concert Pharmaceuticals Inc *		3,900		41
Conformis Inc *		25,000		25
CONMED Corp		6,608		485
Constellation Pharmaceuticals Inc *		5,000		178
Corbus Pharmaceuticals Holdings Inc *(A)		9,600		72
Corcept Therapeutics Inc *(A)		25,200		382
CorMedix Inc *		8,600		38
Cortexyme Inc *(A)		2,700		124
CorVel Corp *		2,334		158
Covetrus Inc *(A)		21,700		332
Crinetics Pharmaceuticals Inc *		4,300		70
Cross Country Healthcare Inc *		9,179		56
CryoLife Inc *		8,545		194
Cue Biopharma Inc *		6,900		191
Cutera Inc *		2,900		39
Cyclerion Therapeutics Inc *		2,425		10
Cymabay Therapeutics Inc *(A)		11,300		42
Cytokinetics Inc *		15,800		327
CytomX Therapeutics Inc *		15,800		140
CytoSorbents Corp *(A)		5,500		56
Deciphera Pharmaceuticals Inc *		5,700		334
Denali Therapeutics Inc *(A)		13,600		378
Dicerna Pharmaceuticals Inc *		12,000		259
Dynavax Technologies Corp, Cl A *(A)		25,489		156
Eagle Pharmaceuticals Inc/DE *		2,700		138
Editas Medicine Inc *(A)		12,300		333
Eidos Therapeutics Inc *(A)		3,100		152
Eiger BioPharmaceuticals Inc *		1,700		21

12 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Extended Market Index Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Elanco Animal Health Inc *		104,100	$	2,229
ElectroCore Inc *		3,100		3
Eloxx Pharmaceuticals Inc *		4,100		14
Emergent BioSolutions Inc *		11,784		984
Enanta Pharmaceuticals Inc *		4,700		242
Encompass Health Corp		26,141		1,915
Endo International PLC *(A)		64,300		248
Enochian Biosciences Inc *(A)		3,300		12
Ensign Group Inc/The		12,936		566
Envista Holdings Corp *		40,300		852
Enzo Biochem Inc *		10,000		29
Epizyme Inc *(A)		19,800		347
Esperion Therapeutics Inc *(A)		6,200		263
Evelo Biosciences Inc *(A)		3,300		14
Evofem Biosciences Inc *(A)		7,034		38
Evolent Health Inc, Cl A *		14,800		131
Evolus Inc *(A)		4,600		21
Exact Sciences Corp *(A)		36,680		3,150
Exagen Inc *		800		9
Exelixis Inc *		79,200		1,957
EyePoint Pharmaceuticals Inc *		15,200		13
Fate Therapeutics Inc *		14,700		477
FibroGen Inc *		19,500		652
Five Prime Therapeutics Inc *		5,300		28
Flexion Therapeutics Inc *		6,800		78
Frequency Therapeutics Inc *(A)		1,400		26
Fulcrum Therapeutics Inc *		1,100		22
G1 Therapeutics Inc *(A)		8,400		143
Galectin Therapeutics Inc *(A)		9,600		29
Galera Therapeutics Inc *		400		4
Genesis Healthcare Inc, Cl A *		2,900		3
GenMark Diagnostics Inc *		10,100		96
Geron Corp *		23,970		39
Glaukos Corp *(A)		8,949		349
Global Blood Therapeutics Inc *(A)		15,001		1,049
Globus Medical Inc, Cl A *		20,400		1,115
GlycoMimetics Inc *		6,500		18
Gossamer Bio Inc *		10,600		129
Gritstone Oncology Inc *(A)		9,800		63
Guardant Health Inc *(A)		10,100		913
Haemonetics Corp *		13,347		1,464
Halozyme Therapeutics Inc *		32,458		788
Hanger Inc *		10,000		184
Harpoon Therapeutics Inc *		1,800		39
Health Catalyst Inc *		6,500		176
HealthEquity Inc *		18,600		1,153
HealthStream Inc *		5,964		136
Heron Therapeutics Inc *(A)		25,100		457
Heska Corp *		1,500		132
Hill-Rom Holdings Inc		17,701		1,800
HMS Holdings Corp *		24,931		779
Homology Medicines Inc *		9,200		131

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Hookipa Pharma Inc *		2,400	$	26
Horizon Therapeutics Plc *		49,300		2,501
ICU Medical Inc *		5,127		1,023
IGM Biosciences Inc *(A)		1,200		78
ImmunoGen Inc *		54,752		256
Immunomedics Inc *(A)		51,557		1,732
Innoviva Inc *		14,009		196
Inogen Inc *		4,900		186
Inovalon Holdings Inc, Cl A *(A)		18,000		339
Inovio Pharmaceuticals Inc *(A)		27,400		404
Insmed Inc *		23,000		559
Inspire Medical Systems Inc *		2,800		228
Insulet Corp *		15,521		2,927
Integer Holdings Corp *		8,530		675
Integra LifeSciences Holdings Corp *		19,304		1,006
Intellia Therapeutics Inc *(A)		9,600		168
Intercept Pharmaceuticals Inc *(A)		5,876		425
Intersect ENT Inc *		9,600		107
Intra-Cellular Therapies Inc, Cl A *		12,600		263
Invacare Corp *		6,889		42
Invitae Corp *		20,100		338
Ionis Pharmaceuticals Inc *		33,794		1,900
Iovance Biotherapeutics Inc *		28,800		924
iRadimed Corp *		1,100		26
iRhythm Technologies Inc *		7,000		870
Ironwood Pharmaceuticals Inc, Cl A *		44,054		429
Jazz Pharmaceuticals PLC *		14,700		1,754
Joint Corp/The *		5,500		83
Jounce Therapeutics Inc *		1,600		9
Kadmon Holdings Inc *		44,600		198
Kala Pharmaceuticals Inc *		5,400		66
Kaleido Biosciences Inc *(A)		2,700		19
KalVista Pharmaceuticals Inc *		4,700		53
Karuna Therapeutics Inc *(A)		3,200		300
Karyopharm Therapeutics Inc *		16,200		300
Kezar Life Sciences Inc *		4,800		23
Kindred Biosciences Inc *		4,400		19
Kiniksa Pharmaceuticals Ltd, Cl A *		3,400		71
Kodiak Sciences Inc *(A)		7,800		504
Krystal Biotech Inc *		3,100		159
Kura Oncology Inc *		11,800		202
La Jolla Pharmaceutical Co *		3,000		14
Lannett Co Inc *		5,200		40
Lantheus Holdings Inc *		7,300		100
LeMaitre Vascular Inc		3,200		86
Lexicon Pharmaceuticals Inc *		9,305		18
LHC Group Inc *		8,047		1,308
Ligand Pharmaceuticals Inc *(A)		3,928		399
Lineage Cell Therapeutics Inc *		19,600		17
Liquidia Technologies Inc *		3,200		30
LivaNova PLC *		12,000		642
Livongo Health Inc *(A)		12,500		749

13 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Extended Market Index Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
LogicBio Therapeutics Inc *		2,000	$	14
Luminex Corp		10,255		320
MacroGenics Inc *		12,600		242
Madrigal Pharmaceuticals Inc *(A)		1,900		220
Magellan Health Inc *		5,740		430
Magenta Therapeutics Inc *		7,300		65
Mallinckrodt PLC *(A)		16,100		46
MannKind Corp *(A)		26,900		41
Marinus Pharmaceuticals Inc *		3,800		10
Marker Therapeutics Inc *(A)		11,600		26
Masimo Corp *		12,393		2,977
MediciNova Inc *		5,900		32
MEDNAX Inc *(A)		21,156		328
Medpace Holdings Inc *		7,700		715
MEI Pharma Inc *		16,900		62
MeiraGTx Holdings plc *		4,500		67
Menlo Therapeutics Inc *		3,700		9
Meridian Bioscience Inc *		14,341		222
Merit Medical Systems Inc *		15,075		678
Mersana Therapeutics Inc *		8,600		195
Mesa Laboratories Inc (A)		900		238
Millendo Therapeutics Inc *		2,300		6
Minerva Neurosciences Inc *		3,700		14
Mirati Therapeutics Inc *(A)		7,200		714
Mirum Pharmaceuticals Inc *		600		10
Misonix Inc *		1,900		26
Moderna Inc *(A)		58,700		3,610
Molecular Templates Inc *		6,300		98
Molina Healthcare Inc *		15,936		2,961
Momenta Pharmaceuticals Inc *		30,554		962
Morphic Holding Inc *		1,200		25
Mustang Bio Inc *		6,700		25
MyoKardia Inc *		12,300		1,258
Myriad Genetics Inc *		16,326		237
NanoString Technologies Inc *		8,500		260
Natera Inc *		16,500		724
National HealthCare Corp		2,994		201
National Research Corp, Cl A		3,212		182
Natus Medical Inc *		10,158		217
Nektar Therapeutics, Cl A *(A)		45,500		987
Neogen Corp *		13,906		990
NeoGenomics Inc *		26,000		694
Neurocrine Biosciences Inc *		23,900		2,982
Neuronetics Inc *		3,200		6
Nevro Corp *(A)		8,200		1,030
NextCure Inc *		3,400		106
NextGen Healthcare Inc *		11,815		122
NGM Biopharmaceuticals Inc *		5,800		114
Novavax Inc *(A)		9,462		436
Novocure Ltd *		21,600		1,456
NuVasive Inc *		14,278		865
Ocular Therapeutix Inc *(A)		18,400		130

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Odonate Therapeutics Inc *		3,000	$	98
Omeros Corp *(A)		16,700		249
Omnicell Inc *		11,212		750
Oncocyte Corp *		5,200		14
OPKO Health Inc *(A)		115,484		263
OptimizeRx Corp *		5,900		67
Optinose Inc *		3,100		13
Option Care Health Inc *		5,427		82
OraSure Technologies Inc *		19,539		284
Organogenesis Holdings Inc, Cl A *		2,600		11
Orthofix Medical Inc *		3,940		134
OrthoPediatrics Corp *		1,900		88
Osmotica Pharmaceuticals PLC *		1,900		11
Owens & Minor Inc		20,939		166
Oyster Point Pharma Inc *		1,400		40
Pacific Biosciences of California Inc *		30,100		106
Pacira BioSciences Inc *		10,545		463
Palatin Technologies Inc *(A)		79,700		40
Paratek Pharmaceuticals Inc *		3,300		15
Patterson Cos Inc (A)		19,700		388
PDL BioPharma Inc *		31,600		103
Pennant Group Inc/The *		6,468		165
Penumbra Inc *(A)		8,400		1,448
Personalis Inc *		2,100		25
PetIQ Inc, Cl A *(A)		4,700		144
Pfenex Inc *		6,900		50
PhaseBio Pharmaceuticals Inc *		3,300		20
Phathom Pharmaceuticals Inc *(A)		2,600		110
Phibro Animal Health Corp, Cl A		3,700		97
Phreesia Inc *		8,900		261
Pieris Pharmaceuticals Inc *		12,800		46
PolarityTE Inc *		1,700		2
Portola Pharmaceuticals Inc, Cl A *(A)		17,400		312
PPD Inc *(A)		16,600		452
PRA Health Sciences Inc *		16,700		1,728
Precigen Inc *(A)		11,400		25
Precision BioSciences Inc *		8,600		60
Premier Inc, Cl A *		17,800		619
Prestige Consumer Healthcare Inc *		14,179		598
Prevail Therapeutics Inc *		1,800		30
Principia Biopharma Inc *		4,200		268
Progenics Pharmaceuticals Inc *		35,596		151
Progyny Inc *		2,800		70
Protagonist Therapeutics Inc *		7,400		122
Prothena Corp PLC *		7,600		81
Providence Service Corp/The *		2,458		198
PTC Therapeutics Inc *		15,600		791
Pulse Biosciences Inc *		1,900		17
Puma Biotechnology Inc *		6,700		68
QIAGEN NV *		57,783		2,530
Quanterix Corp *		3,200		88
Quidel Corp *		9,112		1,595

14 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Extended Market Index Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
R1 RCM Inc *		24,700	$	262
Radius Health Inc *		11,400		144
RadNet Inc *		11,000		187
Reata Pharmaceuticals Inc, Cl A *(A)		6,200		901
Recro Pharma Inc *		8,300		38
REGENXBIO Inc *		9,300		350
Repligen Corp *		13,922		1,823
Replimune Group Inc *		4,100		77
resTORbio Inc *		3,700		8
Retrophin Inc *		13,800		216
Revance Therapeutics Inc *		13,500		282
REVOLUTION Medicines Inc *		3,400		104
Rhythm Pharmaceuticals Inc *		7,500		145
Rigel Pharmaceuticals Inc *		43,059		84
Rocket Pharmaceuticals Inc *		9,800		184
Rockwell Medical Inc *		10,000		21
RTI Surgical Holdings Inc *		6,918		19
Rubius Therapeutics Inc *(A)		4,600		30
Sage Therapeutics Inc *		11,800		422
Sangamo Therapeutics Inc *(A)		28,370		317
Sarepta Therapeutics Inc *(A)		18,700		2,847
Satsuma Pharmaceuticals Inc *		1,100		29
Savara Inc *		4,800		12
Scholar Rock Holding Corp *		5,200		96
Schrodinger Inc/United States *(A)		3,300		226
SeaSpine Holdings Corp *		3,900		42
Seattle Genetics Inc *		30,300		4,763
Select Medical Holdings Corp *		31,965		516
Senseonics Holdings Inc *(A)		12,800		6
Seres Therapeutics Inc *		3,300		18
Shockwave Medical Inc *(A)		6,100		268
SI-BONE Inc *		5,900		103
Sientra Inc *		4,500		17
SIGA Technologies Inc *		10,000		60
Silk Road Medical Inc *(A)		5,200		199
Simulations Plus Inc		3,900		198
Solid Biosciences Inc *		1,700		5
Soliton Inc *		1,300		13
Sorrento Therapeutics Inc *(A)		39,300		198
Spectrum Pharmaceuticals Inc *		31,879		94
Spero Therapeutics Inc *		3,110		37
SpringWorks Therapeutics Inc *		2,500		95
STAAR Surgical Co *		10,678		414
Stemline Therapeutics Inc *		8,200		97
Stoke Therapeutics Inc *		3,000		83
Strongbridge Biopharma PLC *		8,700		30
Supernus Pharmaceuticals Inc *		10,600		256
Surgery Partners Inc *		3,500		47
Surmodics Inc *		2,444		90
Sutro Biopharma Inc *		2,600		26
Syndax Pharmaceuticals Inc *		3,000		49
Syneos Health Inc, Cl A *		17,000		1,037

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Synlogic Inc *(A)		3,800	$	10
Syros Pharmaceuticals Inc *		12,700		124
Tabula Rasa HealthCare Inc *(A)		5,000		267
Tactile Systems Technology Inc *		4,900		237
Tandem Diabetes Care Inc *		15,100		1,256
TCR2 Therapeutics Inc *		3,900		39
Teladoc Health Inc *(A)		18,600		3,238
Tenet Healthcare Corp *		24,200		527
TG Therapeutics Inc *		22,100		412
TherapeuticsMD Inc *(A)		60,600		68
Theravance Biopharma Inc *(A)		12,845		324
Tivity Health Inc *(A)		9,768		104
Tocagen Inc *		5,100		6
TransEnterix Inc *		2,308		1
Translate Bio Inc *		8,400		174
TransMedics Group Inc *		2,300		30
Tricida Inc *		5,700		153
Triple-S Management Corp, Cl B *		5,850		117
Turning Point Therapeutics Inc *(A)		6,600		457
Twist Bioscience Corp *		6,100		231
Tyme Technologies Inc *(A)		25,200		39
Ultragenyx Pharmaceutical Inc *(A)		14,200		972
United Therapeutics Corp *		11,564		1,364
UNITY Biotechnology Inc *(A)		5,800		47
UroGen Pharma Ltd *(A)		5,300		124
US Physical Therapy Inc (A)		2,726		202
Utah Medical Products Inc		1,300		129
Vanda Pharmaceuticals Inc *		15,600		183
Vapotherm Inc *		3,600		96
Varex Imaging Corp *		11,900		223
VBI Vaccines Inc *		36,900		80
Veeva Systems Inc, Cl A *		34,200		7,485
Veracyte Inc *		11,400		284
Vericel Corp *		11,200		161
Verrica Pharmaceuticals Inc *		4,500		52
Viela Bio Inc *(A)		1,300		61
ViewRay Inc *		11,600		20
Viking Therapeutics Inc *		21,500		154
Vir Biotechnology Inc *		1,700		58
Voyager Therapeutics Inc *		6,900		83
WaVe Life Sciences Ltd *		4,000		41
Wright Medical Group NV *(A)		32,378		957
X4 Pharmaceuticals Inc *		4,100		35
XBiotech Inc *		4,339		61
Xencor Inc *		13,500		408
Xeris Pharmaceuticals Inc *		7,900		41
Y-mAbs Therapeutics Inc *		6,400		244
ZIOPHARM Oncology Inc *(A)		64,346		190
Zogenix Inc *		10,300		300
Zynerba Pharmaceuticals Inc *(A)		8,200		43

15 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Extended Market Index Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Zynex Inc *(A)		3,800	$	74
				189,937
Industrials — 12.6%
AAON Inc (A)		10,850		588
AAR Corp		7,429		150
ABM Industries Inc		17,055		524
Acacia Research Corp *		8,749		23
ACCO Brands Corp		25,729		159
Acuity Brands Inc		10,900		939
ADT Inc (A)		31,200		221
Advanced Disposal Services Inc, Cl A *		20,700		645
Advanced Drainage Systems Inc		12,600		559
AECOM *		40,248		1,560
Aegion Corp, Cl A *		8,903		134
Aerojet Rocketdyne Holdings Inc *		19,679		863
AeroVironment Inc *		5,825		413
AGCO Corp		17,023		940
Air Lease Corp, Cl A (A)		25,331		763
Air Transport Services Group Inc *		16,236		350
Alamo Group Inc		2,135		221
Albany International Corp, Cl A		6,898		416
Allied Motion Technologies Inc		1,300		47
Allison Transmission Holdings Inc, Cl A		26,876		1,014
Altra Industrial Motion Corp		15,289		474
AMERCO *		2,200		709
Ameresco Inc, Cl A *		8,079		173
American Superconductor Corp *		7,200		52
American Woodmark Corp *		3,984		250
Apogee Enterprises Inc		6,011		124
Applied Industrial Technologies Inc		11,061		642
ArcBest Corp		5,590		125
Arcosa Inc		12,613		481
Argan Inc		2,979		110
Armstrong Flooring Inc *		6,267		21
Armstrong World Industries Inc		12,577		948
ASGN Inc *		12,369		762
Astec Industries Inc		6,263		266
Astronics Corp *		3,874		35
Astronics Corp, Cl B *		2,395		22
Atkore International Group Inc *		11,500		309
Atlas Air Worldwide Holdings Inc *		4,769		186
Axon Enterprise Inc *(A)		15,469		1,175
AZZ Inc		7,396		234
Barnes Group Inc		11,852		448
Barrett Business Services Inc		1,634		83
Bloom Energy Corp, Cl A *(A)		15,400		124
BMC Stock Holdings Inc *		16,900		442
Brady Corp, Cl A		13,427		686
Briggs & Stratton Corp *(A)		7,149		12
Builders FirstSource Inc *		28,170		586
BWX Technologies Inc		25,324		1,584
Caesarstone Ltd *(A)		4,600		51

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Carlisle Cos Inc		14,577	$	1,747
Casella Waste Systems Inc, Cl A *		12,091		616
CECO Environmental Corp *		5,647		30
Chart Industries Inc *		10,972		431
CIRCOR International Inc *		3,715		60
Clean Harbors Inc *		14,176		842
Colfax Corp *(A)		24,689		693
Columbus McKinnon Corp/NY		5,065		154
Comfort Systems USA Inc		9,691		359
Concrete Pumping Holdings Inc *		3,900		13
Construction Partners Inc, Cl A *		4,200		74
Copa Holdings SA, Cl A *(A)		9,428		413
CoreLogic Inc/United States		21,883		1,084
Cornerstone Building Brands Inc *		6,048		33
Costamare Inc		18,000		83
CoStar Group Inc *		9,263		6,084
Covanta Holding Corp		27,058		243
Covenant Transportation Group Inc, Cl A *		3,300		42
CRA International Inc		2,105		85
Crane Co		13,829		771
CSW Industrials Inc		4,000		286
Curtiss-Wright Corp		11,478		1,151
Daseke Inc *		7,700		21
Donaldson Co Inc		33,546		1,592
Ducommun Inc *		3,700		119
DXP Enterprises Inc/TX *		4,162		73
Dycom Industries Inc *(A)		8,107		341
Eagle Bulk Shipping Inc *(A)		9,200		16
Eastern Co/The		1,300		24
Echo Global Logistics Inc *		9,286		192
EMCOR Group Inc		13,587		863
Encore Wire Corp		4,403		213
Energous Corp *(A)		3,000		6
Energy Recovery Inc *		10,200		78
Enerpac Tool Group Corp, Cl A		14,842		266
EnerSys		11,983		758
Ennis Inc		5,288		94
EnPro Industries Inc		4,868		219
ESCO Technologies Inc		7,077		585
EVI Industries Inc *		1,100		22
Evoqua Water Technologies Corp *		17,200		324
Exponent Inc		14,272		1,060
Federal Signal Corp		15,647		456
Fluor Corp *		31,200		362
Forrester Research Inc *		1,564		49
Forward Air Corp		7,418		369
Foundation Building Materials Inc *		5,300		71
Franklin Covey Co *		3,304		70
Franklin Electric Co Inc		11,781		598
FTI Consulting Inc *		9,868		1,189
Gates Industrial Corp PLC *		8,400		84
GATX Corp (A)		9,652		606

16 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Extended Market Index Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Genco Shipping & Trading Ltd		3,700	$	17
Gencor Industries Inc *		2,200		26
Generac Holdings Inc *		16,145		1,796
General Finance Corp *		2,800		17
Gibraltar Industries Inc *		8,760		386
GMS Inc *		8,200		168
Gorman-Rupp Co/The		4,077		125
GP Strategies Corp *		2,500		20
Graco Inc		43,305		2,088
GrafTech International Ltd		11,400		78
Graham Corp		796		9
Granite Construction Inc		12,634		222
Great Lakes Dredge & Dock Corp *		17,880		166
Greenbrier Cos Inc/The		7,123		151
Griffon Corp		9,137		153
H&E Equipment Services Inc		7,525		129
Harsco Corp *		20,828		232
Hawaiian Holdings Inc *		12,480		180
HD Supply Holdings Inc *		41,200		1,306
Healthcare Services Group Inc (A)		20,939		501
Heartland Express Inc		9,772		214
HEICO Corp		11,718		1,181
HEICO Corp, Cl A		20,782		1,745
Heidrick & Struggles International Inc		6,752		150
Helios Technologies Inc		6,577		235
Herc Holdings Inc *		5,667		161
Heritage-Crystal Clean Inc *		5,100		86
Herman Miller Inc *		13,443		309
Hexcel Corp *		23,698		858
Hillenbrand Inc		18,380		473
HNI Corp		11,249		286
Hub Group Inc, Cl A *		7,862		368
Hubbell Inc, Cl B		14,389		1,761
Hurco Cos Inc		1,235		39
Huron Consulting Group Inc *		5,411		250
Hyster-Yale Materials Handling Inc		2,002		73
IAA Inc *		32,929		1,350
ICF International Inc		4,768		313
IES Holdings Inc *		3,000		70
InnerWorkings Inc *		7,387		9
Insperity Inc		8,924		463
Insteel Industries Inc		2,941		52
Interface Inc, Cl A		14,045		119
ITT Inc		23,563		1,360
JELD-WEN Holding Inc *		17,800		243
JetBlue Airways Corp *(A)		71,981		725
John Bean Technologies Corp		8,631		709
Kadant Inc		2,725		264
Kaman Corp		6,573		263
KAR Auction Services Inc *		31,829		457
Kelly Services Inc, Cl A *		6,795		102
Kennametal Inc		23,214		644

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Kforce Inc		4,537	$	137
Kimball International Inc, Cl B		7,025		79
Kirby Corp *		14,326		735
Knight-Swift Transportation Holdings Inc, Cl A (A)		33,227		1,383
Knoll Inc		11,763		124
Korn Ferry		14,558		441
Kratos Defense & Security Solutions Inc *		20,816		386
Landstar System Inc		10,544		1,226
Lawson Products Inc/DE *		1,800		56
LB Foster Co, Cl A *		1,900		23
Lennox International Inc		9,229		1,974
Lincoln Electric Holdings Inc		15,933		1,309
Lindsay Corp		3,427		322
Luxfer Holdings PLC		7,600		106
Lydall Inc *		3,632		39
Lyft Inc, Cl A *(A)		51,800		1,619
Macquarie Infrastructure Corp *		20,700		588
Manitowoc Co Inc/The *		5,987		56
ManpowerGroup Inc		15,856		1,096
Marten Transport Ltd		9,553		244
Masonite International Corp *		5,500		365
MasTec Inc *(A)		17,162		672
Matson Inc		11,152		319
Matthews International Corp, Cl A		6,813		141
Mayville Engineering Co Inc *		1,500		9
McGrath RentCorp		5,948		332
Mercury Systems Inc *		13,823		1,235
Meritor Inc *		17,795		363
Mesa Air Group Inc *		7,700		25
Middleby Corp/The *(A)		15,125		1,030
Miller Industries Inc/TN		2,311		68
Mistras Group Inc *		2,697		11
Mobile Mini Inc		11,883		381
Moog Inc, Cl A *		7,824		425
MSA Safety Inc		9,444		1,123
MSC Industrial Direct Co Inc, Cl A		12,103		839
Mueller Industries Inc		14,508		389
Mueller Water Products Inc, Cl A		41,012		383
MYR Group Inc *		4,079		117
National Presto Industries Inc		1,091		98
Navistar International Corp *		12,791		322
NL Industries Inc		2,000		6
NN Inc *		5,587		25
Nordson Corp		15,112		2,846
Northwest Pipe Co *		2,600		65
NV5 Global Inc *(A)		2,700		127
nVent Electric PLC		41,800		766
Omega Flex Inc		600		61
Oshkosh Corp		18,217		1,308
Owens Corning		28,860		1,515
PAM Transportation Services Inc *		500		17

17 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Extended Market Index Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Park Aerospace Corp		5,082	$	62
Park-Ohio Holdings Corp *		1,118		16
Patrick Industries Inc		5,225		271
PGT Innovations Inc *		16,500		225
Preformed Line Products Co		90		4
Primoris Services Corp		13,047		218
Proto Labs Inc *(A)		7,199		910
Quad/Graphics Inc, Cl A *		6,862		20
Quanex Building Products Corp		6,965		86
Radiant Logistics Inc *		12,400		49
Raven Industries Inc		8,655		186
RBC Bearings Inc *		6,595		928
Regal Beloit Corp		10,225		813
Resideo Technologies Inc *		31,100		220
Resources Connection Inc		9,581		105
REV Group Inc *		8,400		51
Rexnord Corp		26,526		798
RR Donnelley & Sons Co *		13,219		14
Rush Enterprises Inc, Cl A		7,399		308
Rush Enterprises Inc, Cl B		1,800		66
Ryder System Inc		12,400		425
Safe Bulkers Inc *		12,300		13
Saia Inc *		6,592		715
Schneider National Inc, Cl B		15,600		377
Scorpio Bulkers Inc		1,591		28
Sensata Technologies Holding PLC *		41,700		1,487
Simpson Manufacturing Co Inc		12,243		980
SiteOne Landscape Supply Inc *(A)		11,100		1,180
SkyWest Inc *		11,322		363
SP Plus Corp *		7,098		145
Spartan Motors Inc		6,500		111
Spirit AeroSystems Holdings Inc, Cl A		28,275		613
Spirit Airlines Inc *(A)		15,547		201
SPX Corp *		10,194		408
SPX FLOW Inc *		12,694		439
Standex International Corp		2,429		128
Steelcase Inc, Cl A		22,857		265
Stericycle Inc *		22,100		1,212
Sterling Construction Co Inc *		8,700		79
Systemax Inc		1,400		29
Team Inc *		5,757		28
Teledyne Technologies Inc *		9,337		3,493
Tennant Co		4,638		297
Terex Corp *		14,170		223
Tetra Tech Inc		14,542		1,147
Textainer Group Holdings Ltd *		12,553		103
Timken Co/The		18,709		796
Titan International Inc		10,772		13
Titan Machinery Inc *		3,312		35
Toro Co/The		28,200		2,004
TPI Composites Inc *		7,500		156
Transcat Inc *		3,400		85

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
TransUnion		48,500	$	4,185
Trex Co Inc *(A)		15,580		1,871
TriMas Corp *		9,876		234
TriNet Group Inc *		11,900		639
Trinity Industries Inc (A)		24,042		480
Triton International Ltd/Bermuda		14,384		439
Triumph Group Inc *		13,296		100
TrueBlue Inc *		8,328		129
Tutor Perini Corp *		8,051		85
Twin Disc Inc *		3,100		17
Uber Technologies Inc *		247,900		9,004
UFP Industries Inc		14,065		643
UniFirst Corp/MA		3,640		654
Univar Solutions Inc *		47,550		735
Universal Logistics Holdings Inc *		700		10
US Ecology Inc *		6,440		217
US Xpress Enterprises Inc, Cl A *		5,300		27
Valmont Industries Inc		5,914		674
Vectrus Inc *		3,679		202
Veritiv Corp *		2,000		25
Viad Corp *		4,271		78
Vicor Corp *		5,400		329
VSE Corp		2,000		52
Wabash National Corp		11,741		112
Watsco Inc (A)		8,559		1,523
Watts Water Technologies Inc, Cl A		7,056		587
Welbilt Inc *		29,950		182
Werner Enterprises Inc (A)		11,890		550
WESCO International Inc *		10,366		345
Willdan Group Inc *		1,300		32
Willis Lease Finance Corp *		1,000		21
WillScot Corp, Cl A *		14,000		187
Woodward Inc		14,942		1,025
XPO Logistics Inc *(A)		24,390		1,922
YRC Worldwide Inc *		4,500		7
				148,335
Information Technology — 21.8%
2U Inc *		13,000		474
3D Systems Corp *(A)		28,047		207
8x8 Inc *		27,614		401
A10 Networks Inc *		9,800		67
Acacia Communications Inc *		9,900		668
ACI Worldwide Inc *		29,612		817
Adesto Technologies Corp *		6,800		82
ADTRAN Inc		9,897		113
Advanced Energy Industries Inc *		10,719		716
Agilysys Inc *		5,200		100
Airgain Inc *		2,200		20
Akoustis Technologies Inc *(A)		8,400		62
Alarm.com Holdings Inc *(A)		10,400		492
Alpha & Omega Semiconductor Ltd *		5,600		59
Altair Engineering Inc, Cl A *(A)		8,800		344

18 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Extended Market Index Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Alteryx Inc, Cl A *(A)		11,500	$	1,655
Ambarella Inc *		9,200		522
Amdocs Ltd		34,968		2,177
American Software Inc/GA, Cl A		8,672		169
Amkor Technology Inc *		20,913		221
Anaplan Inc *		23,800		1,093
Anixter International Inc *		8,341		798
Appfolio Inc, Cl A *(A)		4,400		697
Appian Corp, Cl A *(A)		7,900		450
Applied Optoelectronics Inc *(A)		3,800		34
Arlo Technologies Inc *		13,252		29
Arrow Electronics Inc *		21,625		1,494
Aspen Technology Inc *		17,967		1,898
AstroNova Inc *		1,600		10
Atlassian Corp PLC, Cl A *		31,200		5,781
Avalara Inc *		12,000		1,285
Avaya Holdings Corp *		26,700		390
Avid Technology Inc *		5,000		35
Avnet Inc		27,599		752
Axcelis Technologies Inc *		9,350		251
AXT Inc *		6,600		35
Badger Meter Inc (A)		7,424		454
Bandwidth Inc, Cl A *(A)		3,900		432
Bel Fuse Inc, Cl B		888		8
Belden Inc (A)		11,723		399
Benchmark Electronics Inc		9,930		210
Benefitfocus Inc *		5,300		67
Bill.com Holdings Inc *(A)		2,400		167
Black Knight Inc *		37,637		2,897
Blackbaud Inc *		11,955		701
Blackline Inc *		11,200		832
Booz Allen Hamilton Holding Corp, Cl A		35,665		2,845
Bottomline Technologies DE Inc *		12,471		631
Box Inc, Cl A *		40,700		813
Brightcove Inc *		6,800		55
Brooks Automation Inc		20,203		808
Cabot Microelectronics Corp		7,805		1,131
CACI International Inc, Cl A *		6,232		1,563
CalAmp Corp *		8,156		63
Calix Inc *		7,545		106
Cambium Networks Corp *		1,000		4
Cardtronics PLC *		8,885		215
Casa Systems Inc *		2,800		12
Cass Information Systems Inc		3,154		127
CDK Global Inc		32,500		1,278
Cerence Inc *(A)		8,110		243
Ceridian HCM Holding Inc *(A)		24,800		1,708
CEVA Inc *		7,338		253
ChannelAdvisor Corp *		2,700		38
Ciena Corp *		40,386		2,232
Cirrus Logic Inc *		15,595		1,130
Clearfield Inc *		1,400		19

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Cloudera Inc *(A)		57,968	$	594
Coda Octopus Group Inc *		1,100		6
Cognex Corp		43,116		2,446
Coherent Inc *		6,553		952
Cohu Inc *		12,236		184
CommScope Holding Co Inc *		48,900		504
CommVault Systems Inc *		11,784		477
Computer Programs and Systems Inc		1,702		38
Comtech Telecommunications Corp		4,332		77
Conduent Inc *		38,300		92
Cornerstone OnDemand Inc *		13,499		522
Coupa Software Inc *		16,600		3,777
Cree Inc *		28,823		1,519
CSG Systems International Inc		9,117		432
CTS Corp		10,445		223
Cubic Corp		7,189		296
Daily Journal Corp *		300		84
Daktronics Inc *		4,580		19
DASAN Zhone Solutions Inc *		1,900		14
Dell Technologies Inc, Cl C *		40,072		1,989
Diebold Nixdorf Inc *		14,133		68
Digi International Inc *		3,401		38
Digimarc Corp *		2,076		36
Digital Turbine Inc *		25,500		164
Diodes Inc *		10,642		518
DocuSign Inc, Cl A *		41,100		5,743
Dolby Laboratories Inc, Cl A		16,904		1,027
Domo Inc, Cl B *		3,200		81
Donnelley Financial Solutions Inc *		4,957		40
Dropbox Inc, Cl A *		56,600		1,277
DSP Group Inc *		7,900		142
Dynatrace Inc *		32,200		1,239
Ebix Inc (A)		4,825		108
EchoStar Corp, Cl A *		13,503		421
eGain Corp *		4,900		51
Elastic NV *		14,100		1,211
Endurance International Group Holdings Inc *		9,100		33
Enphase Energy Inc *		23,100		1,344
Entegris Inc		36,008		2,156
Envestnet Inc *		12,052		875
EPAM Systems Inc *		13,500		3,114
ePlus Inc *		3,288		242
Euronet Worldwide Inc *		13,388		1,268
Everbridge Inc *		8,300		1,214
EVERTEC Inc		15,100		440
Evo Payments Inc, Cl A *		10,400		230
Exela Technologies Inc *		9,100		3
ExlService Holdings Inc *		8,023		491
Extreme Networks Inc *		31,687		105
Fabrinet *		9,515		608
Fair Isaac Corp *		7,491		3,016

19 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Extended Market Index Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
FARO Technologies Inc *		4,508	$	254
FireEye Inc *		48,700		608
First Solar Inc *(A)		22,300		1,040
Fitbit Inc, Cl A *(A)		58,100		368
Five9 Inc *		15,900		1,657
ForeScout Technologies Inc *		12,400		293
FormFactor Inc *		18,019		454
Genpact Ltd		47,550		1,710
Glu Mobile Inc *		25,600		255
GoDaddy Inc, Cl A *		45,200		3,492
GSI Technology Inc *		3,800		29
GTT Communications Inc *(A)		9,500		76
GTY Technology Holdings Inc *		11,200		42
Guidewire Software Inc *		21,769		2,233
Hackett Group Inc/The		3,300		45
Harmonic Inc *		30,794		166
HubSpot Inc *		10,900		2,179
I3 Verticals Inc, Cl A *		3,600		104
Ichor Holdings Ltd *		4,100		93
Ideanomics Inc *(A)		12,000		5
II-VI Inc *(A)		24,539		1,166
Immersion Corp *		3,567		24
Impinj Inc *		3,600		93
Infinera Corp *(A)		49,184		245
Information Services Group Inc *		8,600		15
Inphi Corp *		11,562		1,453
Inseego Corp *(A)		11,400		121
Insight Enterprises Inc *		9,198		471
Inspired Entertainment Inc *		2,100		6
Intelligent Systems Corp *		2,700		86
InterDigital Inc		9,130		502
International Money Express Inc *		4,600		51
Iteris Inc *		12,600		61
Itron Inc *		9,611		619
J2 Global Inc *		12,557		983
Jabil Inc		40,300		1,206
KBR Inc		38,745		909
KEMET Corp		16,400		443
Kimball Electronics Inc *		9,293		132
Knowles Corp *		20,300		305
KVH Industries Inc *		1,997		18
Lattice Semiconductor Corp *		35,062		872
Limelight Networks Inc *		28,100		139
Littelfuse Inc		6,431		1,045
LivePerson Inc *(A)		15,791		591
LiveRamp Holdings Inc *		18,574		937
LogMeIn Inc *		11,813		1,003
Lumentum Holdings Inc *		19,670		1,442
MACOM Technology Solutions Holdings Inc *		12,425		394
Majesco *		1,800		13
Manhattan Associates Inc *		17,280		1,528
ManTech International Corp/VA, Cl A		7,622		593

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Marvell Technology Group Ltd		172,457	$	5,626
MAXIMUS Inc		16,916		1,218
MaxLinear Inc, Cl A *		15,544		269
Medallia Inc *		16,500		467
Medallion Financial Corp *		5,000		12
Methode Electronics Inc		8,684		272
MicroStrategy Inc, Cl A *		2,353		293
Mitek Systems Inc *		5,800		54
MKS Instruments Inc		14,423		1,523
MobileIron Inc *		27,900		126
Model N Inc *		7,600		244
MongoDB Inc, Cl A *(A)		11,200		2,600
Monolithic Power Systems Inc		11,151		2,339
MTS Systems Corp *		4,389		77
Napco Security Technologies Inc *		4,200		95
National Instruments Corp		32,567		1,261
NCR Corp *		35,383		639
NeoPhotonics Corp *		7,500		65
NETGEAR Inc *		6,692		172
NetScout Systems Inc *		19,058		524
New Relic Inc *		13,900		919
NIC Inc		17,522		422
nLight Inc *		6,800		147
Novanta Inc *		9,162		941
Nuance Communications Inc *		75,981		1,738
Nutanix Inc, Cl A *		47,100		1,133
NVE Corp		694		42
Okta Inc, Cl A *		27,200		5,320
ON Semiconductor Corp *		108,100		1,783
OneSpan Inc *		10,754		219
Onto Innovation Inc *		13,472		419
OSI Systems Inc *		5,168		392
PagerDuty Inc *		10,100		268
Palo Alto Networks Inc *		24,733		5,819
PAR Technology Corp *(A)		4,100		103
Pareteum Corp *(A)		38,800		17
Parsons Corp *		5,100		207
Paylocity Holding Corp *		9,300		1,209
Paysign Inc *(A)		10,100		73
PC Connection Inc		2,231		97
PDF Solutions Inc *		4,653		79
Pegasystems Inc		10,436		993
Perficient Inc *		9,000		306
Perspecta Inc		38,300		849
Photronics Inc *		13,129		157
Phunware Inc *(A)		7,400		10
Ping Identity Holding Corp *		3,300		93
Pitney Bowes Inc (A)		39,400		93
Plantronics Inc *(A)		7,169		93
PlayAGS Inc *		8,100		42
Plexus Corp *		6,928		445
Pluralsight Inc, Cl A *(A)		14,300		298

20 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Extended Market Index Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Power Integrations Inc		6,789	$	736
PRGX Global Inc *		4,900		19
Priority Technology Holdings Inc *		1,600		3
Progress Software Corp		11,658		471
Proofpoint Inc *		14,700		1,709
PROS Holdings Inc *		7,599		296
PTC Inc *		27,490		2,100
Pure Storage Inc, Cl A *		64,100		1,129
Q2 Holdings Inc *		11,600		958
QAD Inc, Cl A		2,900		132
Qualys Inc *(A)		9,100		1,049
Rambus Inc *		29,910		465
Rapid7 Inc *		12,400		606
RealPage Inc *		21,246		1,441
Ribbon Communications Inc *		13,520		59
Rimini Street Inc *		4,900		23
RingCentral Inc, Cl A *		19,400		5,320
Rogers Corp *		5,193		562
Sabre Corp *		65,600		457
Sailpoint Technologies Holdings Inc *		20,200		461
Sanmina Corp *		16,966		451
ScanSource Inc *		7,196		177
Science Applications International Corp		15,576		1,371
SecureWorks Corp, Cl A *		2,000		27
Semtech Corp *		18,175		967
SharpSpring Inc *		2,500		25
ShotSpotter Inc *		1,400		33
Silicon Laboratories Inc *		11,782		1,103
SMART Global Holdings Inc *		4,500		120
Smartsheet Inc, Cl A *		23,300		1,343
SolarWinds Corp *		12,100		221
Sonim Technologies Inc *(A)		2,400		2
Splunk Inc *		40,684		7,561
Sprout Social Inc, Cl A *(A)		400		11
SPS Commerce Inc *		8,458		576
Square Inc, Cl A *		89,700		7,273
SS&C Technologies Holdings Inc		57,918		3,353
StarTek Inc *		4,000		17
Stratasys Ltd *(A)		14,169		253
SunPower Corp, Cl A *(A)		17,136		124
SVMK Inc *		20,000		403
Switch Inc, Cl A (A)		15,700		300
Sykes Enterprises Inc *		11,411		311
Synaptics Inc *(A)		8,687		554
Synchronoss Technologies Inc *		14,400		39
SYNNEX Corp *		10,281		1,096
Tech Data Corp *		9,565		1,303
Telenav Inc *		3,400		17
Tenable Holdings Inc *		9,400		294
Teradata Corp *(A)		30,900		662
Teradyne Inc		43,700		2,929
TESSCO Technologies Inc *		1,600		9

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
TiVo Corp *		27,958	$	170
Trade Desk Inc/The, Cl A *(A)		10,300		3,209
Trimble Inc *		66,220		2,591
TTEC Holdings Inc		3,427		145
TTM Technologies Inc *		30,687		355
Tucows Inc, Cl A *(A)		1,800		108
Twilio Inc, Cl A *		31,916		6,307
Tyler Technologies Inc *		9,787		3,673
Ubiquiti Inc		2,400		443
Ultra Clean Holdings Inc *		11,052		229
Unisys Corp *		16,883		192
Universal Display Corp		10,808		1,584
Upland Software Inc *		5,700		197
Varonis Systems Inc *		8,400		709
Veeco Instruments Inc *		9,910		116
Verint Systems Inc *		17,950		832
Verra Mobility Corp, Cl A *		30,500		333
ViaSat Inc *(A)		16,256		683
Viavi Solutions Inc *		57,400		665
VirnetX Holding Corp *		20,442		136
Virtusa Corp *		6,949		209
Vishay Intertechnology Inc		38,117		620
Vishay Precision Group Inc *		3,164		75
VMware Inc, Cl A *(A)		20,117		3,144
Vocera Communications Inc *		6,142		121
WEX Inc *		11,476		1,699
Workday Inc, Cl A *		43,189		7,922
Workiva Inc, Cl A *		10,700		477
Wrap Technologies Inc *		2,000		13
Xperi Corp		9,930		137
Yext Inc *(A)		21,600		341
Zendesk Inc *		29,400		2,521
Zix Corp *		11,213		75
Zscaler Inc *(A)		17,700		1,736
Zuora Inc, Cl A *		20,500		246
				255,492
Materials — 3.9%
Advanced Emissions Solutions Inc *		7,300		37
AdvanSix Inc *		5,900		70
Alcoa Corp *		46,200		426
Allegheny Technologies Inc *		32,100		279
American Vanguard Corp		8,099		108
Amyris Inc *(A)		14,400		54
AptarGroup Inc		16,866		1,879
Arconic Corp *		24,700		357
Ardagh Group SA, Cl A		5,500		66
Ashland Global Holdings Inc		15,308		1,028
Axalta Coating Systems Ltd *		55,900		1,292
Balchem Corp		8,588		864
Berry Global Group Inc *		35,241		1,583
Boise Cascade Co		10,770		367
Cabot Corp		14,632		523

21 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Extended Market Index Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Carpenter Technology Corp		11,501	$	269
Century Aluminum Co *		8,259		49
Chase Corp		2,200		219
Chemours Co/The (A)		40,500		531
Clearwater Paper Corp *		2,951		86
Cleveland-Cliffs Inc *(A)		95,860		500
Coeur Mining Inc *		54,061		311
Commercial Metals Co		33,141		569
Compass Minerals International Inc		8,640		416
Contura Energy Inc *		4,800		18
Covia Holdings Corp *		7,520		4
Crown Holdings Inc *		34,335		2,247
Domtar Corp *		14,050		286
Eagle Materials Inc *		10,383		693
Element Solutions Inc *		52,100		567
Energy Fuels Inc/Canada *(A)		30,500		52
Ferro Corp *		16,305		196
Flotek Industries Inc *		10,196		10
Forterra Inc *		5,600		49
FutureFuel Corp		3,876		51
GCP Applied Technologies Inc *		13,824		278
Gold Resource Corp		12,400		48
Graphic Packaging Holding Co		77,917		1,127
Greif Inc, Cl A		7,219		245
Greif Inc, Cl B		1,300		50
Hawkins Inc		1,773		76
Haynes International Inc		2,823		64
HB Fuller Co		13,033		490
Hecla Mining Co		129,768		431
Huntsman Corp		58,424		1,060
Ingevity Corp *		10,100		532
Innospec Inc		6,113		471
Intrepid Potash Inc *		19,600		24
Kaiser Aluminum Corp		4,854		348
Koppers Holdings Inc *		4,473		74
Kraton Corp *		7,080		108
Kronos Worldwide Inc		3,484		34
Livent Corp *(A)		39,700		268
Louisiana-Pacific Corp		30,142		712
LSB Industries Inc *		2,939		3
Marrone Bio Innovations Inc *(A)		12,500		13
Materion Corp		5,074		266
Minerals Technologies Inc		8,924		440
Myers Industries Inc		7,018		96
Neenah Inc		3,393		172
NewMarket Corp		1,697		740
Novagold Resources Inc *		64,300		615
O-I Glass Inc, Cl I *		36,900		283
Oil-Dri Corp of America		1,010		36
Olin Corp		40,616		489
Olympic Steel Inc		1,927		21
Orion Engineered Carbons SA *		14,400		159

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
PH Glatfelter Co		15,471	$	238
PolyOne Corp		23,032		571
PQ Group Holdings Inc *		12,200		153
Quaker Chemical Corp (A)		3,434		587
Ramaco Resources Inc *		2,000		5
Rayonier Advanced Materials Inc *		9,817		21
Reliance Steel & Aluminum Co		17,238		1,672
Royal Gold Inc		17,302		2,305
RPM International Inc		33,588		2,512
Ryerson Holding Corp *		1,400		7
Schnitzer Steel Industries Inc, Cl A		4,656		73
Schweitzer-Mauduit International Inc		8,338		253
Scotts Miracle-Gro Co/The, Cl A		10,659		1,520
Sensient Technologies Corp		12,235		613
Silgan Holdings Inc		20,060		671
Sonoco Products Co		26,521		1,374
Southern Copper Corp (A)		22,929		832
Steel Dynamics Inc		55,037		1,462
Stepan Co		5,925		576
Summit Materials Inc, Cl A *		28,906		439
SunCoke Energy Inc		14,846		51
Synalloy Corp *		2,000		19
TimkenSteel Corp *		7,904		28
Trecora Resources *		2,517		16
Tredegar Corp		5,341		82
Trinseo SA		8,600		177
Tronox Holdings PLC		19,200		127
UFP Technologies Inc *		1,800		81
United States Lime & Minerals Inc		400		30
United States Steel Corp (A)		39,400		317
Uranium Energy Corp *(A)		51,500		54
US Concrete Inc *		3,000		63
Valhi Inc		7,000		5
Valvoline Inc		52,036		955
Verso Corp		6,500		93
Warrior Met Coal Inc		12,600		177
Westlake Chemical Corp (A)		9,110		435
Worthington Industries Inc		10,202		305
WR Grace & Co		14,224		743
				45,471
Real Estate — 7.7%
Acadia Realty Trust *‡		20,139		236
Agree Realty Corp ‡(A)		10,347		649
Alexander & Baldwin Inc *‡		16,191		185
Alexander’s Inc ‡		488		127
Altisource Portfolio Solutions SA *		1,700		24
American Assets Trust Inc ‡		12,491		327
American Campus Communities Inc ‡		36,962		1,194
American Finance Trust Inc ‡(A)		26,200		192
American Homes 4 Rent, Cl A ‡		65,000		1,641
American Realty Investors Inc *		600		5
Americold Realty Trust ‡		50,500		1,803

22 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Extended Market Index Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Apple Hospitality Inc *‡		52,500	$	536
Armada Hoffler Properties Inc *‡		13,800		119
Ashford Hospitality Trust Inc *‡		14,971		10
Bluerock Residential Growth Inc, Cl A ‡		5,800		37
Braemar Hotels & Resorts Inc *‡		4,381		15
Brandywine Realty Trust ‡		44,739		432
Brixmor Property Group Inc *‡		75,600		844
Brookfield Property Inc, Cl A ‡(A)		18,900		196
BRT Apartments Corp ‡		2,400		27
Camden Property Trust ‡		24,538		2,247
CareTrust Inc ‡		27,353		510
CatchMark Timber Trust Inc, Cl A ‡		7,800		61
CBL & Associates Properties Inc *‡		33,182		10
Cedar Realty Trust Inc ‡		18,338		14
Chatham Lodging Trust *‡		13,735		93
CIM Commercial Trust Corp ‡		300		3
City Office Inc ‡		11,000		102
Clipper Realty Inc ‡		3,500		26
Colony Capital Inc *‡		109,394		220
Columbia Property Trust Inc ‡		30,000		382
Community Healthcare Trust Inc ‡		3,900		142
CoreCivic Inc ‡		30,902		372
CorEnergy Infrastructure Trust Inc ‡		2,140		21
CorePoint Lodging Inc *‡		8,250		33
CoreSite Realty Corp ‡		10,073		1,257
Corporate Office Properties Trust ‡		29,030		725
Cousins Properties Inc ‡		39,045		1,215
CTO Realty Growth Inc		500		21
CubeSmart ‡		51,222		1,458
Cushman & Wakefield PLC *(A)		29,800		305
CyrusOne Inc ‡		29,829		2,217
DiamondRock Hospitality Co *‡		51,907		311
Diversified Healthcare Trust ‡		55,107		197
Douglas Emmett Inc ‡		45,285		1,330
Easterly Government Properties Inc ‡		20,800		521
EastGroup Properties Inc ‡		10,285		1,196
Empire State Realty Trust Inc, Cl A ‡		36,700		243
EPR Properties *‡		18,751		592
Equity Commonwealth *‡		32,844		1,107
Equity LifeStyle Properties Inc ‡		45,364		2,826
Essential Properties Realty Trust Inc ‡		26,500		361
eXp World Holdings Inc *		5,000		53
Farmland Partners Inc ‡		9,000		62
First Industrial Realty Trust Inc ‡		33,653		1,275
Forestar Group Inc *		1,067		16
Four Corners Property Trust Inc ‡		20,819		450
Franklin Street Properties Corp ‡		35,996		192
Front Yard Residential Corp *‡		11,300		85
FRP Holdings Inc *		838		33
Gaming and Leisure Properties Inc ‡		50,915		1,759
GEO Group Inc/The ‡		30,685		368
Getty Realty Corp ‡		9,189		245

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Gladstone Commercial Corp ‡		8,919	$	160
Gladstone Land Corp ‡		6,000		87
Global Medical Inc ‡		8,900		95
Global Net Lease Inc ‡		27,233		382
Griffin Industrial Realty Inc		200		8
Hannon Armstrong Sustainable Infrastructure Capital Inc ‡(A)		14,500		421
Healthcare Realty Trust Inc ‡		35,455		1,088
Healthcare Trust of America Inc, Cl A ‡		57,050		1,510
Hersha Hospitality Trust, Cl A *‡		9,019		45
Highwoods Properties Inc ‡		27,568		1,055
Howard Hughes Corp/The *		9,817		497
Hudson Pacific Properties Inc ‡		38,970		942
Independence Realty Trust Inc ‡		20,300		201
Industrial Logistics Properties Trust ‡		18,209		341
Innovative Industrial Properties Inc, Cl A ‡(A)		4,800		392
Investors Real Estate Trust ‡		2,403		170
Invitation Homes Inc ‡		139,581		3,671
iStar Inc ‡		16,418		179
JBG SMITH Properties ‡		32,900		978
Jernigan Capital Inc ‡		3,300		40
Jones Lang LaSalle Inc *		12,847		1,316
Kennedy-Wilson Holdings Inc		31,129		436
Kilroy Realty Corp ‡		27,443		1,568
Kite Realty Group Trust ‡		21,955		213
Lamar Advertising Co, Cl A ‡		21,297		1,412
Lexington Realty Trust, Cl B ‡		63,190		614
Life Storage Inc ‡		12,393		1,208
LTC Properties Inc ‡		11,617		428
Macerich Co/The ‡(A)		33,800		230
Mack-Cali Realty Corp ‡		25,767		392
Marcus & Millichap Inc *		5,100		141
Maui Land & Pineapple Co Inc *		1,600		17
Medical Properties Trust Inc ‡		134,662		2,435
Monmouth Real Estate Investment Corp, Cl A ‡		28,846		374
National Health Investors Inc ‡		10,564		586
National Retail Properties Inc ‡		45,943		1,442
National Storage Affiliates Trust ‡		15,200		456
New Senior Investment Group Inc ‡		16,600		48
Newmark Group Inc, Cl A		30,905		131
NexPoint Residential Trust Inc ‡		4,900		157
Office Properties Income Trust ‡		12,691		321
Omega Healthcare Investors Inc ‡		59,657		1,858
One Liberty Properties Inc ‡		2,524		40
Outfront Media Inc *‡		41,409		581
Paramount Group Inc ‡		56,800		438
Park Hotels & Resorts Inc *‡		56,259		553
Pebblebrook Hotel Trust ‡(A)		32,325		442
Pennsylvania Real Estate Investment Trust ‡(A)		13,699		15
Physicians Realty Trust ‡		51,400		888

23 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Extended Market Index Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Piedmont Office Realty Trust Inc, Cl A ‡		33,066	$	552
PotlatchDeltic Corp ‡		15,412		524
Preferred Apartment Communities Inc, Cl A ‡		11,600		81
PS Business Parks Inc ‡		4,928		659
QTS Realty Trust Inc, Cl A ‡		15,500		1,063
Rafael Holdings Inc, Cl B *‡		4,000		69
Rayonier Inc ‡		35,353		840
RE/MAX Holdings Inc, Cl A		3,200		90
Realogy Holdings Corp *		24,502		148
Redfin Corp *(A)		21,800		654
Retail Opportunity Investments Corp *‡		29,259		275
Retail Properties of America Inc, Cl A *‡		48,903		265
Retail Value Inc ‡		3,148		36
Rexford Industrial Realty Inc ‡		30,100		1,198
RLJ Lodging Trust ‡		40,154		414
RMR Group Inc/The, Cl A		4,170		112
RPT Realty *‡		16,337		94
Ryman Hospitality Properties Inc ‡		11,360		388
Sabra Health Care Inc ‡		55,720		750
Safehold Inc ‡		3,200		175
Saul Centers Inc ‡		2,144		65
Seritage Growth Properties *‡(A)		7,500		59
Service Properties Trust ‡		38,741		262
SITE Centers Corp *‡		36,607		208
Spirit Realty Capital Inc ‡		24,913		708
St Joe Co/The *		8,100		156
STAG Industrial Inc ‡		40,256		1,083
STORE Capital Corp ‡		54,300		1,050
Stratus Properties Inc *		1,900		32
Summit Hotel Properties Inc *‡(A)		29,129		182
Sun Communities Inc ‡		23,621		3,241
Sunstone Hotel Investors Inc *‡		59,738		529
Tanger Factory Outlet Centers Inc *‡(A)		23,549		145
Taubman Centers Inc ‡		14,487		599
Tejon Ranch Co *		6,376		91
Terreno Realty Corp ‡		17,963		920
Transcontinental Realty Investors Inc *		300		6
UMH Properties Inc ‡		11,000		137
Uniti Group Inc ‡		43,760		361
Universal Health Realty Income Trust ‡		3,116		291
Urban Edge Properties *‡		29,600		289
Urstadt Biddle Properties Inc, Cl A ‡		6,156		79
VEREIT Inc ‡		284,100		1,557
VICI Properties Inc ‡		121,800		2,390
Washington Prime Group Inc *‡(A)		37,502		24
Washington Real Estate Investment Trust ‡		20,713		454
Weingarten Realty Investors ‡		34,868		623
Whitestone, Cl B ‡		7,077		44
WP Carey Inc ‡		44,800		2,684

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Xenia Hotels & Resorts Inc *‡		25,700	$	231
				91,144
Utilities — 2.7%
ALLETE Inc		13,970		820
American States Water Co		9,874		810
Artesian Resources Corp, Cl A		2,184		77
Atlantic Power Corp *		12,421		26
Avangrid Inc		16,150		718
Avista Corp		16,652		652
Black Hills Corp		15,502		957
Cadiz Inc *(A)		4,300		48
California Water Service Group		13,541		636
Charah Solutions Inc *		2,200		4
Chesapeake Utilities Corp		3,815		345
Clearway Energy Inc, Cl A		7,000		142
Clearway Energy Inc, Cl C		23,400		513
Consolidated Water Co Ltd		3,000		45
El Paso Electric Co		10,536		716
Essential Utilities Inc		56,637		2,478
Genie Energy Ltd, Cl B		3,400		29
Global Water Resources Inc		2,800		30
Hawaiian Electric Industries Inc		28,958		1,143
IDACORP Inc		13,424		1,252
MDU Resources Group Inc		53,332		1,161
MGE Energy Inc		9,714		660
Middlesex Water Co		4,001		272
National Fuel Gas Co (A)		21,288		893
New Jersey Resources Corp		24,694		867
Northwest Natural Holding Co		7,776		499
NorthWestern Corp		13,746		826
OGE Energy Corp		52,976		1,659
ONE Gas Inc		13,900		1,167
Ormat Technologies Inc (A)		9,934		723
Otter Tail Corp		9,546		410
PG&E Corp *		140,900		1,671
PICO Holdings Inc *		4,621		39
PNM Resources Inc (A)		21,617		882
Portland General Electric Co		24,000		1,131
Pure Cycle Corp *		5,900		60
RGC Resources Inc		3,412		90
SJW Group		7,664		482
South Jersey Industries Inc (A)		25,896		734
Southwest Gas Holdings Inc		14,641		1,112
Spark Energy Inc, Cl A		2,000		16
Spire Inc		13,303		970
UGI Corp		55,896		1,780
Unitil Corp		3,058		147
Vistra Energy Corp		113,068		2,311

24 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Extended Market Index Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
York Water Co/The		2,352	$	104
				32,107
Total Common Stock (Cost $1,011,829) ($ Thousands)				1,175,111
	Number of Rights
RIGHTS — 0.0%
Liberty Media Corp-Liberty SiriusXM, Expires 06/10/2020 *(A)		6,151		67
Corium International CVR ‡‡		6,300		3
NewStar Financial Inc CVR ‡‡(C)		3,393		2
Media General Inc CVR ‡‡(C)		20,200		—
Tobira Therapeutics CVR ‡‡(C)		2,300		—

Description	Number of Rights		Market Value ($ Thousands)
RIGHTS (continued)
Pulse Bioscience, Expires 6/8/2020		1,900	$	—
Total Rights (Cost $3) ($ Thousands)				72
	Shares
AFFILIATED PARTNERSHIP — 13.2%
SEI Liquidity Fund, L.P.
0.290% **†(D)		154,983,797		155,062
Total Affiliated Partnership (Cost $154,989) ($ Thousands)				155,062
Total Investments in Securities — 113.1% (Cost $1,166,821) ($ Thousands)			$	1,330,245

A list of the open futures contracts held by the Fund at May 31, 2020 is as follows:

Type of Contract	Number of Contracts Long	Expiration Date	Notional Amount (Thousands)		Value (Thousands)		Unrealized Appreciation (Thousands)
Russell 2000 Index E-MINI	31	Jun-2020	$	1,850	$	2,159	$	309
S&P Mid Cap 400 Index E-MINI	17	Jun-2020		2,388		2,996		608
			$	4,238	$	5,155	$	917

Percentages are based on Net Assets of $1,176,664 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2020.

† Investment in Affiliated Security (see Note 5).

‡ Real Estate Investment Trust.

‡‡ Expiration date not available.

(A) Certain securities or partial positions of certain securities are on loan at May 31, 2020 (See Note 12). The total market value of securities on loan at May 31, 2020 was $153,105 ($ Thousands).

(B) Security is a Master Limited Partnership. At May 31, 2020, such securities amounted to $824 ($ Thousands), or 0.1% of the net assets (See Note 2).

(C) Level 3 security in accordance with fair value hierarchy.

(D) This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of May 31, 2020 was $155,062 ($ Thousands).

Cl — Class

CVR — Contingent Value Rights

L.P. — Limited Partnership

Ltd. — Limited

PLC — Public Limited Company

S&P— Standard & Poor’s

SPX — Standard & Poor’s 500 Index

The following is a list of the level of inputs used as of May 31, 2020, in valuing the Fund’s investments and other financial instruments carried a value ($ Thousands):

Investments in Securities	Level 1 ($)		Level 2 ($)		Level 3  ($)(1)		Total ($)
Common Stock		1,175,111		—		—		1,175,111
Rights		70		—		2		72
Affiliated Partnership		—		155,062		—		155,062
Total Investments in Securities		1,175,181		155,062		2		1,330,245

25 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Extended Market Index Fund (Concluded)

May 31, 2020

Other Financial Instruments	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Futures Contracts*
Unrealized Appreciation		917		—		—		917
Total Other Financial Instruments		917		—		—		917

(1) A reconciliation of Level 3 instruments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the year in relation to the net assets. Management has concluded that Level 3 investments are not material in relation to net assets.

* Futures contracts are value at the unrealized appreciation on the instrument.

For the year ended May 31, 2020, there were no transfers in or out of Level 3.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

The following is a summary of the Fund’s transactions with affiliates for the year ended May 31, 2020 ($ Thousands):

Security Description	Value 5/31/2019			Purchases at Cost			Proceeds from Sales				Realized Gain			Change in Unrealized Appreciation			Value 5/31/2020			Shares		Income			Capital Gains
SEI Investments Co		$	1,287		$	564		$	(145	)		$	—		$	122		$	1,828		33,719		$	19		$	—
SEI Liquidity Fund, L.P.			84,352			522,798			(452,169	)			6			75			155,062		154,983,797			895			—
SEI Daily Income Trust, Government Fund, Cl F			16,298			382,549			(398,847	)			—			—			—		—			234			—
Totals		$	101,937		$	905,911		$	(851,161	)		$	6		$	197		$	156,890				$	1,148		$	—

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

26 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Small Cap Fund

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK — 98.3%
Communication Services — 2.3%
AMC Networks Inc, Cl A *(A)		9,100	$	257
Anterix Inc *		3,970		213
Bandwidth Inc, Cl A *		3,012		334
Boingo Wireless Inc *		23,863		327
Boston Omaha Corp, Cl A *		1,400		23
Cable One Inc		190		359
Cars.com Inc *		15,600		96
Cogent Communications Holdings		2,400		184
Consolidated Communications Holdings Inc *		13,730		83
DHI Group Inc *		37,500		100
Entercom Communications Corp, Cl A		80,910		135
EverQuote Inc, Cl A *		15,446		833
Liberty TripAdvisor Holdings Inc, Cl A *		27,714		66
Meet Group Inc/The *		41,500		256
National CineMedia Inc		30,283		83
Ooma Inc *		10,880		136
QuinStreet Inc *		13,930		141
Rosetta Stone Inc *		2,700		50
Shenandoah Telecommunications Co		2,961		156
TechTarget Inc *		4,890		134
TrueCar Inc *		22,480		61
Vonage Holdings Corp *		56,047		540
WideOpenWest Inc *		57,700		376
Zynga Inc, Cl A *		27,105		248
				5,191
Consumer Discretionary — 9.3%
1-800-Flowers.com Inc, Cl A *		4,300		95
Aaron’s Inc		4,300		159
American Axle & Manufacturing Holdings Inc *		46,000		327
American Outdoor Brands Corp *		17,870		211
American Public Education Inc *		11,425		359
America’s Car-Mart Inc/TX *		3,980		317
Asbury Automotive Group Inc *		1,600		116
AutoNation Inc *		1,300		51
Beazer Homes USA Inc *		8,000		79
Big Lots Inc (A)		7,300		283
BJ’s Restaurants Inc		9,382		204
Bloomin’ Brands Inc		13,118		150
Bright Horizons Family Solutions Inc *		3,445		385
Brinker International Inc		15,092		397
Caleres Inc		6,850		49
Callaway Golf Co		10,959		168
Camping World Holdings Inc, Cl A (A)		8,099		171
Carriage Services Inc, Cl A		14,389		269
Cato Corp/The, Cl A		20,710		201
Chegg Inc *		4,079		249
Chico’s FAS Inc		23,760		32
Chuy’s Holdings Inc *		10,600		169
Cooper Tire & Rubber Co		9,600		247

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Cooper-Standard Holdings Inc *		1,400	$	15
Dana Inc		35,100		444
Darden Restaurants Inc		2,134		164
Dave & Buster’s Entertainment Inc (A)		9,600		127
Delta Apparel Inc *		4,938		61
Denny’s Corp *		4,710		51
Domino’s Pizza Inc		900		347
DraftKings Inc, Cl A *(A)		5,758		229
Dunkin’ Brands Group Inc		1,877		120
El Pollo Loco Holdings Inc *		20,100		279
Eldorado Resorts Inc *(A)		8,800		312
Ethan Allen Interiors Inc		34,700		392
Etsy Inc *		1,994		161
Everi Holdings Inc *		28,722		178
Fiesta Restaurant Group Inc *		9,380		77
Genesco Inc *		16,110		298
G-III Apparel Group Ltd *		14,700		152
Golden Entertainment Inc *		7,690		94
Green Brick Partners Inc *		16,580		177
Group 1 Automotive Inc (A)		9,200		579
H&R Block Inc		11,100		189
Hanesbrands Inc (A)		36,700		362
Haverty Furniture Cos Inc (A)		23,340		404
Helen of Troy Ltd *		1,600		291
Hibbett Sports Inc *(A)		27,120		524
Houghton Mifflin Harcourt Co *		20,139		31
Hudson Ltd, Cl A *		8,625		43
Jack in the Box Inc		4,634		311
Johnson Outdoors Inc, Cl A		990		77
Lands’ End Inc *		13,710		86
La-Z-Boy Inc, Cl Z		11,100		285
Lithia Motors Inc, Cl A		3,452		416
M/I Homes Inc *		10,000		335
MDC Holdings Inc		13,600		462
Meritage Homes Corp *		6,200		431
Michaels Cos Inc/The *		13,980		54
Modine Manufacturing Co *		38,410		205
Murphy USA Inc *		500		58
Noodles & Co, Cl A *		14,310		84
Nordstrom Inc		11,400		184
NVR Inc *		100		322
Office Depot Inc		130,200		322
Ollie’s Bargain Outlet Holdings Inc *		2,387		218
Papa John’s International Inc		2,051		160
Peloton Interactive Inc, Cl A *		4,191		177
Penn National Gaming Inc *(A)		7,282		239
Planet Fitness Inc, Cl A *		4,275		276
Pool Corp		1,500		403
Potbelly Corp *		27,032		57
Regis Corp *		7,000		74
Rent-A-Center Inc/TX, Cl A		6,100		155
Ruth’s Hospitality Group Inc		5,800		47

1 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Small Cap Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Sally Beauty Holdings Inc *(A)		39,300	$	512
Service Corp International/US		700		28
Shoe Carnival Inc		7,200		187
Signet Jewelers Ltd (A)		12,600		133
Sleep Number Corp *(A)		8,400		262
Sonic Automotive Inc, Cl A		10,800		284
Sportsman’s Warehouse Holdings Inc *		26,304		294
Stamps.com Inc *		790		157
Sturm Ruger & Co Inc		2,100		131
Tenneco Inc, Cl A *		9,830		66
Tilly’s Inc, Cl A		29,250		150
TopBuild Corp *		9,865		1,131
Tupperware Brands Corp (A)		9,000		29
Universal Electronics Inc *		1,650		75
Vera Bradley Inc *		14,030		74
Vista Outdoor Inc *		15,620		152
Weyco Group Inc		4,200		78
Williams-Sonoma Inc (A)		9,385		781
Wingstop Inc		1,681		205
Winmark Corp		703		101
Zumiez Inc *		6,200		151
				21,208
Consumer Staples — 4.6%
BJ’s Wholesale Club Holdings Inc *		5,176		186
Boston Beer Co Inc/The, Cl A *		570		322
Bunge Ltd		6,800		265
Casey’s General Stores Inc		1,600		256
Celsius Holdings Inc *(A)		20,495		190
Central Garden & Pet Co, Cl A *		13,090		472
Chefs’ Warehouse Inc/The *		3,530		52
Coca-Cola Consolidated Inc		400		97
Edgewell Personal Care Co *		3,400		104
Flowers Foods Inc		12,800		302
Fresh Del Monte Produce Inc		3,000		75
Freshpet Inc *		20,389		1,574
Grocery Outlet Holding Corp *		4,600		169
Hain Celestial Group Inc/The *		4,853		153
Hostess Brands Inc, Cl A *		8,700		105
Ingles Markets Inc, Cl A		10,210		435
Ingredion Inc		10,300		868
J&J Snack Foods Corp		1,200		154
John B Sanfilippo & Son Inc		2,100		183
Lamb Weston Holdings Inc		3,800		228
Lancaster Colony Corp		1,300		200
Landec Corp *		7,410		79
Lifevantage Corp *		24,519		375
Natural Grocers by Vitamin Cottage Inc		23,550		339
Performance Food Group Co *		4,600		123
Pilgrim’s Pride Corp *		1,700		35
Post Holdings Inc *		2,900		252
Seaboard Corp		12		35
Seneca Foods Corp, Cl A *		800		29

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
SpartanNash Co		30,680	$	657
Sprouts Farmers Market Inc *		23,028		579
Tootsie Roll Industries Inc		1,806		64
United Natural Foods Inc *		6,650		130
Universal Corp/VA		10,800		476
Village Super Market Inc, Cl A (A)		14,380		344
WD-40 Co (A)		3,416		655
Weis Markets Inc		1,000		56
				10,618
Energy — 1.7%
Arch Resources Inc (A)		6,200		204
Berry Corp		24,000		102
Bonanza Creek Energy Inc *		16,588		280
Callon Petroleum Co *(A)		40,600		27
Clean Energy Fuels Corp *		30,760		64
Contura Energy Inc *		16,808		65
Delek US Holdings Inc (A)		19,200		378
Denbury Resources Inc *(A)		103,900		22
DHT Holdings Inc		32,000		190
DMC Global Inc		3,190		91
Dorian LPG Ltd *		7,600		62
GasLog Ltd		14,290		49
Green Plains Inc		9,110		78
Laredo Petroleum *		12,600		11
Liberty Oilfield Services Inc, Cl A		18,410		95
National Energy Services Reunited Corp *		12,730		72
NexTier Oilfield Solutions Inc *		38,845		113
Nordic American Tankers Ltd		10,320		47
Oceaneering International Inc *		9,330		60
Oil States International Inc *		23,250		99
PBF Energy Inc, Cl A		19,200		204
PDC Energy Inc *		10,159		124
Peabody Energy Corp		18,970		60
Select Energy Services Inc, Cl A *		16,540		98
Solaris Oilfield Infrastructure Inc, Cl A		9,710		67
Southwestern Energy Co *(A)		110,400		332
Talos Energy Inc *		13,520		164
Tidewater Inc *		7,500		36
VAALCO Energy Inc *		68,300		68
W&T Offshore Inc *(A)		110,710		289
World Fuel Services Corp		16,800		428
				3,979
Financials — 16.9%
1st Source Corp		1,500		52
AG Mortgage Investment Trust Inc ‡(A)		19,100		47
Alleghany Corp		450		231
Amalgamated Bank, Cl A		11,876		133
American Equity Investment Life Holding Co		21,000		456
American Financial Group Inc/OH		3,000		181
American National Insurance Co		4,600		346
Ameris Bancorp		4,753		115

2 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Small Cap Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
AMERISAFE Inc		2,990	$	184
Anworth Mortgage Asset Corp		75,030		110
Apollo Commercial Real Estate Finance Inc		18,100		149
Apollo Investment Corp		21,366		216
Arbor Realty Trust Inc ‡(A)		22,000		185
Ares Commercial Real Estate Corp		20,770		155
Arrow Financial Corp		1,100		32
Ashford Inc *		166		1
Associated Banc-Corp		38,000		532
Assurant Inc		2,400		246
Assured Guaranty Ltd		11,200		290
Atlantic Capital Bancshares Inc *		8,585		98
Axis Capital Holdings Ltd		2,300		86
B Riley Financial Inc		3,933		76
Banco Latinoamericano de Comercio Exterior SA, Cl E		5,220		62
Bancorp Inc/The *		18,160		160
Bank of Marin Bancorp		6,370		214
BankUnited Inc		19,100		353
Berkshire Hills Bancorp Inc		10,300		111
BlackRock Capital Investment Corp		44,000		119
Bridgewater Bancshares Inc *		8,803		92
Brightsphere Investment Group Inc		36,000		301
Brookline Bancorp Inc		7,000		65
Brown & Brown Inc		1,900		76
Cadence BanCorp, Cl A		10,295		83
Camden National Corp		11,800		396
Capital Bancorp Inc *		4,277		49
Capital City Bank Group Inc		1,600		33
Capstead Mortgage Corp ‡		17,340		88
Carter Bank & Trust		12,674		89
Cathay General Bancorp		18,900		514
Central Pacific Financial Corp		10,100		163
Cherry Hill Mortgage Investment Corp		8,974		77
CIT Group Inc		14,700		267
CNB Financial Corp/PA		1,100		20
CNO Financial Group Inc		57,500		825
Community Trust Bancorp Inc		8,600		282
Crawford & Co, Cl A		16,010		96
Curo Group Holdings Corp		9,980		67
Customers Bancorp Inc *		18,940		210
Diamond Hill Investment Group Inc		300		32
Dime Community Bancshares Inc		10,820		156
Donegal Group Inc, Cl A		7,748		110
Dynex Capital Inc		23,603		304
Employers Holdings Inc		2,700		81
Enova International Inc *		7,360		104
Erie Indemnity Co, Cl A		900		162
ESSA Bancorp Inc		4,036		58
Everest Re Group Ltd		1,300		258
Exantas Capital Corp ‡		59,890		120
EZCORP Inc, Cl A *		33,680		174

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
FactSet Research Systems Inc		300	$	92
Farmers National Banc Corp		12,810		151
FB Financial Corp		4,400		104
Federal Agricultural Mortgage Corp, Cl C		8,600		552
Federated Hermes Inc, Cl B		21,200		469
Financial Institutions Inc		10,210		181
First American Financial Corp		4,900		247
First Bancorp/Southern Pines NC		2,800		71
First Bancshares Inc/The		3,060		65
First Busey Corp		15,900		285
First Business Financial Services Inc		9,400		156
First Citizens BancShares Inc/NC, Cl A		400		154
First Commonwealth Financial Corp		44,900		367
First Community Bankshares Inc		10,560		226
First Defiance Financial Corp		4,754		79
First Financial Bankshares Inc (A)		14,845		455
First Financial Corp/IN		4,160		146
First Horizon National Corp (A)		58,600		548
First of Long Island Corp/The		6,225		95
Flagstar Bancorp Inc		11,300		331
Flushing Financial Corp		22,021		250
FNB Corp/PA		59,300		439
FS KKR Capital Corp (A)		87,800		326
Fulton Financial Corp		25,500		286
Goosehead Insurance Inc, Cl A *(A)		2,827		169
Granite Point Mortgage Trust Inc		8,120		40
Great Southern Bancorp Inc		1,100		45
Great Western Bancorp Inc		17,500		249
Greenhill & Co Inc		6,960		69
Greenlight Capital Re Ltd, Cl A *		9,630		70
Hamilton Lane Inc, Cl A		14,780		1,081
Hancock Whitney Corp		16,700		361
Hanmi Financial Corp		27,120		245
Hanover Insurance Group Inc/The		2,300		231
HarborOne Bancorp Inc *		37,270		297
HBT Financial Inc		13,070		166
HCI Group Inc		5,980		268
Heritage Commerce Corp		10,036		82
Heritage Insurance Holdings Inc		24,860		312
Hilltop Holdings Inc		17,000		318
Home Bancorp Inc		800		19
Home BancShares Inc/AR		11,637		168
HomeStreet Inc		2,600		62
HomeTrust Bancshares Inc		8,990		139
Hope Bancorp Inc		59,400		564
Houlihan Lokey Inc, Cl A		3,109		188
IBERIABANK Corp		8,900		377
Independent Bank Corp/MI		32,360		447
International Bancshares Corp		20,500		631
Invesco Mortgage Capital Inc (A)		26,500		73
Kinsale Capital Group Inc		10,060		1,502
KKR Real Estate Finance Trust Inc		2,900		47

3 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Small Cap Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Ladder Capital Corp, Cl A ‡		9,600	$	76
Lakeland Bancorp Inc		20,700		230
Macatawa Bank Corp		17,975		133
Mercantile Bank Corp		15,140		347
Merchants Bancorp/IN		1,500		26
Mercury General Corp		2,300		93
Meridian Bancorp Inc		5,000		58
Midland States Bancorp Inc		2,300		34
MidWestOne Financial Group Inc		1,400		27
Morningstar Inc		1,400		215
National General Holdings Corp		24,564		499
New Mountain Finance Corp		22,600		215
New York Mortgage Trust Inc ‡		57,400		119
Nicolet Bankshares Inc *		1,830		102
NMI Holdings Inc, Cl A *		8,867		136
Northwest Bancshares Inc		7,400		74
OceanFirst Financial Corp		4,800		80
OFG Bancorp		21,400		260
Old National Bancorp/IN		14,400		196
Old Republic International Corp		13,300		207
On Deck Capital Inc *		66,074		49
Oportun Financial Corp *		2,400		23
Oppenheimer Holdings Inc, Cl A		5,510		117
Palomar Holdings Inc, Cl A *		15,700		1,168
Park National Corp		1,100		82
PCSB Financial Corp		12,060		161
Peapack-Gladstone Financial Corp		7,024		132
PennantPark Investment Corp		55,400		182
PennyMac Mortgage Investment Trust ‡		16,000		176
Peoples Bancorp Inc/OH		17,070		384
People’s United Financial Inc		16,087		184
People’s Utah Bancorp		1,300		32
PJT Partners Inc		3,270		179
Popular Inc		14,800		584
Prospect Capital Corp		67,000		340
Provident Bancorp Inc		8,263		70
Provident Financial Services Inc		6,300		82
Pzena Investment Management Inc, Cl A		16,390		67
QCR Holdings Inc		1,500		46
RBB Bancorp		9,850		126
Ready Capital Corp		12,354		73
Regional Management Corp *		11,372		180
Reinsurance Group of America Inc, Cl A		2,200		200
RenaissanceRe Holdings Ltd		1,800		302
Republic Bancorp Inc/KY, Cl A		8,000		256
Richmond Mutual BanCorp Inc		6,291		70
Safeguard Scientifics Inc		31,040		196
Safety Insurance Group Inc		1,200		91
Sandy Spring Bancorp Inc		2,800		68
Selective Insurance Group Inc		2,200		115
Sierra Bancorp		1,600		30
Simmons First National Corp, Cl A		23,100		396

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Southern National Bancorp of Virginia Inc		2,400	$	24
Spirit of Texas Bancshares Inc *		1,600		19
Stewart Information Services Corp		2,200		68
Stifel Financial Corp		9,355		446
Synovus Financial Corp		24,400		468
TCF Financial Corp		12,400		359
Towne Bank/Portsmouth VA		2,800		53
TPG Specialty Lending Inc		29,800		548
TriCo Bancshares		4,370		124
TriState Capital Holdings Inc *		6,000		90
TrustCo Bank Corp NY		9,700		61
United Community Banks Inc/GA		21,540		421
United Fire Group Inc		2,000		54
Universal Insurance Holdings Inc (A)		11,400		204
Univest Financial Corp		22,860		376
Walker & Dunlop Inc		10,400		421
Washington Trust Bancorp Inc		1,300		42
Waterstone Financial Inc		28,410		423
Westwood Holdings Group Inc		5,330		95
White Mountains Insurance Group Ltd		200		183
Wintrust Financial Corp		4,117		174
WisdomTree Investments Inc		19,210		57
WSFS Financial Corp		1,800		50
				38,635
Health Care — 19.7%
ACADIA Pharmaceuticals Inc *		4,924		245
Acceleron Pharma Inc *		2,953		292
Accuray Inc *		33,613		71
Addus HomeCare Corp *		4,995		494
Aduro Biotech Inc *		17,360		57
Adverum Biotechnologies Inc *		7,125		147
Affimed NV *		69,530		229
Agenus Inc *		90,873		339
Akebia Therapeutics Inc *		10,565		123
Albireo Pharma Inc *		3,000		80
Allogene Therapeutics Inc *(A)		2,845		137
Amedisys Inc *		830		159
AMN Healthcare Services Inc *		3,038		135
Amphastar Pharmaceuticals Inc *		3,800		71
AnaptysBio Inc *		4,180		80
AngioDynamics Inc *		17,000		174
ANI Pharmaceuticals Inc *		900		28
Anika Therapeutics Inc *		10,480		351
Antares Pharma Inc *		40,480		116
Arcus Biosciences Inc *		5,895		185
Assembly Biosciences Inc *		3,300		64
Athersys Inc *(A)		—		—
Atreca Inc, Cl A *		4,361		81
AtriCure Inc *		18,980		907
Atrion Corp		200		128
Avid Bioservices Inc *		49,170		287
Axsome Therapeutics Inc *(A)		1,780		137

4 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Small Cap Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Beyondspring Inc *		1,700	$	29
BioCryst Pharmaceuticals Inc *		47,362		213
BioDelivery Sciences International Inc *		91,340		437
Biohaven Pharmaceutical Holding Co Ltd *		3,005		188
Bio-Rad Laboratories Inc, Cl A *		700		344
BioSpecifics Technologies Corp *		6,491		404
Bio-Techne Corp		1,000		265
Bruker Corp		1,000		43
Cabaletta Bio Inc *		2,080		18
Calithera Biosciences Inc *		20,180		117
Cardiovascular Systems Inc *		12,149		470
Castle Biosciences Inc *		5,237		201
Catalent Inc *		4,000		311
Catalyst Pharmaceuticals Inc *		74,150		320
Catasys Inc *(A)		—		—
Cellular Biomedicine Group Inc *		1,700		23
Cerecor Inc *		25,570		83
Charles River Laboratories International Inc *		1,348		242
Chembio Diagnostics Inc *		12,501		120
Chemed Corp		700		335
ChemoCentryx Inc *		3,362		210
Chiasma Inc *		22,735		142
Community Health Systems Inc *		14,760		46
Computer Programs and Systems Inc		6,800		150
CONMED Corp		2,100		154
Corcept Therapeutics Inc *(A)		22,700		344
CorVel Corp *		900		61
Cross Country Healthcare Inc *		15,700		95
CryoLife Inc *		3,500		80
CryoPort Inc *(A)		32,530		799
Cue Biopharma Inc *		6,400		177
Cutera Inc *		12,420		165
Cytokinetics Inc *		6,749		140
CytomX Therapeutics Inc *		13,710		121
CytoSorbents Corp *(A)		14,203		145
Eagle Pharmaceuticals Inc/DE *		2,530		130
Eidos Therapeutics Inc *		1,200		59
Eiger BioPharmaceuticals Inc *		11,012		133
Emergent BioSolutions Inc *		2,543		212
Encompass Health Corp		4,900		359
Ensign Group Inc/The		9,935		434
Enzo Biochem Inc *		26,220		75
Evolent Health Inc, Cl A *		15,050		134
Exelixis Inc *		5,970		148
Fate Therapeutics Inc *		5,124		166
Flexion Therapeutics Inc *		23,660		270
Fulcrum Therapeutics Inc *		3,701		74
G1 Therapeutics Inc *		25,590		434
GenMark Diagnostics Inc *		13,977		133
Globus Medical Inc, Cl A *		3,800		208
Gritstone Oncology Inc *		3,500		23

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Haemonetics Corp *		8,240	$	904
Halozyme Therapeutics Inc *		8,699		211
Hanger Inc *		4,230		78
Harpoon Therapeutics Inc *		1,470		32
HealthEquity Inc *		9,622		596
HealthStream Inc *		6,450		147
Heska Corp *		2,450		215
Hill-Rom Holdings Inc		3,000		305
Homology Medicines Inc *		2,800		40
Horizon Therapeutics Plc *		3,594		182
iCAD Inc *		13,125		154
Immunomedics Inc *(A)		31,854		1,070
Innoviva Inc *		43,200		604
Inovalon Holdings Inc, Cl A *		6,400		120
Inspire Medical Systems Inc *		1,745		142
Insulet Corp *(A)		2,804		529
Integer Holdings Corp *		2,000		158
Integra LifeSciences Holdings Corp *		3,400		177
Intersect ENT Inc *		4,820		54
Invacare Corp		13,670		84
Iovance Biotherapeutics Inc *		7,425		238
iRhythm Technologies Inc *		1,922		239
Jazz Pharmaceuticals PLC *		2,400		286
Joint Corp/The *		7,600		115
Jounce Therapeutics Inc *		20,060		108
Kala Pharmaceuticals Inc *		14,257		176
Karuna Therapeutics Inc *(A)		1,354		127
Karyopharm Therapeutics Inc *		6,548		121
Kindred Biosciences Inc *		14,101		60
Kiniksa Pharmaceuticals Ltd, Cl A *		4,030		84
Kura Oncology Inc *		22,250		380
Lannett Co Inc *(A)		15,700		120
Lantheus Holdings Inc *		26,780		368
LeMaitre Vascular Inc		7,240		195
LHC Group Inc *		2,960		481
Ligand Pharmaceuticals Inc *(A)		2,984		303
Livongo Health Inc *(A)		4,711		282
Luminex Corp		8,033		250
Marinus Pharmaceuticals Inc *		37,625		96
Masimo Corp *		7,005		1,683
MEDNAX Inc *(A)		27,000		420
MeiraGTx Holdings plc *		11,570		172
Meridian Bioscience Inc *		26,350		407
Mersana Therapeutics Inc *		7,700		174
Mesa Laboratories Inc		300		79
Momenta Pharmaceuticals Inc *		6,227		196
Mustang Bio Inc *		21,461		80
MyoKardia Inc *		1,660		170
Natera Inc *		4,132		181
National HealthCare Corp		1,400		94
National Research Corp, Cl A		1,100		62
Natus Medical Inc *		4,300		92

5 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Small Cap Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Neogen Corp *		1,200	$	85
NeoGenomics Inc *		14,621		390
Neurocrine Biosciences Inc *		100		12
Nevro Corp *		877		110
NextGen Healthcare Inc *		5,200		54
Novavax Inc *(A)		3,703		170
NuVasive Inc *		3,300		200
Omnicell Inc *		1,300		87
OraSure Technologies Inc *		14,822		216
Orthofix Medical Inc *		2,200		75
OrthoPediatrics Corp *(A)		2,381		110
Owens & Minor Inc		47,940		380
Pacific Biosciences of California Inc *		11,850		42
Patterson Cos Inc (A)		13,500		266
Perrigo Co PLC		1,500		82
Personalis Inc *		11,680		138
Pfenex Inc *		51,210		374
Phibro Animal Health Corp, Cl A		2,300		60
Pieris Pharmaceuticals Inc *		27,487		99
PRA Health Sciences Inc *		1,430		148
Precision BioSciences Inc *		8,492		60
Prestige Consumer Healthcare Inc *		16,779		708
Prevail Therapeutics Inc *		4,350		73
Principia Biopharma Inc *		2,460		157
Progyny Inc *		18,700		467
Protagonist Therapeutics Inc *		10,249		169
Prothena Corp PLC *		8,480		91
Providence Service Corp/The *		1,100		89
Puma Biotechnology Inc *		9,730		99
Quidel Corp *		7,831		1,370
R1 RCM Inc *		38,217		405
Recro Pharma Inc *		20,740		94
Repligen Corp *		13,093		1,715
Retrophin Inc *		4,200		66
Revance Therapeutics Inc *		4,500		94
Rhythm Pharmaceuticals Inc *		3,200		62
Rigel Pharmaceuticals Inc *		161,680		316
Scholar Rock Holding Corp *		11,350		209
SeaSpine Holdings Corp *		17,729		189
Seattle Genetics Inc *		900		141
Select Medical Holdings Corp *		20,000		323
Sientra Inc *		19,940		77
SIGA Technologies Inc *		33,733		202
Simulations Plus Inc		2,700		137
Spectrum Pharmaceuticals Inc *		19,990		59
Spero Therapeutics Inc *		8,080		96
STERIS PLC		2,500		415
Surgery Partners Inc *		7,370		99
Surmodics Inc *		2,810		104
Sutro Biopharma Inc *		5,000		50
Syndax Pharmaceuticals Inc *		11,680		189
Synlogic Inc *		25,920		65

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Syros Pharmaceuticals Inc *		15,540	$	152
Tandem Diabetes Care Inc *		3,346		278
Teladoc Health Inc *(A)		4,417		769
Tenet Healthcare Corp *		10,000		218
TG Therapeutics Inc *		8,310		155
Translate Bio Inc *		4,100		85
Twist Bioscience Corp *		2,300		87
United Therapeutics Corp *		4,800		566
UNITY Biotechnology Inc *		4,100		34
Utah Medical Products Inc		400		40
Vapotherm Inc *		34,052		907
Varex Imaging Corp *		3,500		66
Veracyte Inc *		9,923		247
Vericel Corp *(A)		31,602		454
Verrica Pharmaceuticals Inc *		8,256		95
Voyager Therapeutics Inc *		16,740		203
WaVe Life Sciences Ltd *		2,800		29
West Pharmaceutical Services Inc		2,000		432
Y-mAbs Therapeutics Inc *		2,200		84
				45,131
Industrials — 15.0%
ACCO Brands Corp		49,600		307
Advanced Disposal Services Inc, Cl A *		3,900		122
Air Lease Corp, Cl A		10,400		313
Air Transport Services Group Inc *		9,265		200
Alamo Group Inc		540		56
Alaska Air Group Inc		3,400		116
American Superconductor Corp *		20,037		145
American Woodmark Corp *		4,300		270
Apogee Enterprises Inc		6,500		134
Applied Industrial Technologies Inc		1,500		87
ArcBest Corp		9,000		202
Arcosa Inc		1,600		61
ASGN Inc *		4,185		258
Atkore International Group Inc *		20,100		539
Atlas Air Worldwide Holdings Inc *		7,700		301
Avis Budget Group Inc *(A)		10,900		235
Barrett Business Services Inc		800		41
Blue Bird Corp *		6,917		99
BMC Stock Holdings Inc *		10,190		267
Briggs & Stratton Corp (A)		21,100		35
BrightView Holdings Inc *		13,477		184
Brink’s Co/The		6,009		241
Builders FirstSource Inc *		21,300		443
CAI International Inc *		7,215		136
Casella Waste Systems Inc, Cl A *		3,999		204
CBIZ Inc *		6,400		145
CECO Environmental Corp *		14,178		75
Clean Harbors Inc *		3,200		190
Covenant Transportation Group Inc, Cl A *		5,320		67
CRA International Inc		17,652		713
Crane Co		3,900		217

6 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Small Cap Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
CSW Industrials Inc		2,800	$	200
Curtiss-Wright Corp		2,100		211
Deluxe Corp		7,700		180
Ducommun Inc *		8,545		275
DXP Enterprises Inc/TX *		9,490		167
Dycom Industries Inc *		2,810		118
Echo Global Logistics Inc *		6,380		132
EMCOR Group Inc		3,500		222
Energy Recovery Inc *		32,921		253
Ennis Inc		31,680		564
Enphase Energy Inc *		3,487		203
Exponent Inc		21,715		1,612
Federal Signal Corp		18,120		528
Forrester Research Inc *		1,800		57
Fortress Transportation and Infrastructure Investors LLC (B)		28,240		318
Franklin Covey Co *		8,580		183
FTI Consulting Inc *		2,300		277
Generac Holdings Inc *		15,598		1,736
Gibraltar Industries Inc *		2,080		92
GMS Inc *		10,500		215
Gorman-Rupp Co/The		3,340		102
Great Lakes Dredge & Dock Corp *		30,500		283
H&E Equipment Services Inc		2,780		48
Hawaiian Holdings Inc (A)		22,200		320
Heartland Express Inc		4,300		94
Heidrick & Struggles International Inc		13,430		298
Heritage-Crystal Clean Inc *		5,770		98
Herman Miller Inc		13,400		308
Hubbell Inc, Cl B		1,200		147
Huntington Ingalls Industries Inc		1,400		280
Huron Consulting Group Inc *		2,200		102
Hyster-Yale Materials Handling Inc		1,750		64
ICF International Inc		7,227		474
IES Holdings Inc *		1,200		28
Interface Inc, Cl A		27,300		232
JetBlue Airways Corp *(A)		30,300		305
John Bean Technologies Corp		4,955		407
Kadant Inc		600		58
Kelly Services Inc, Cl A		23,000		345
Kforce Inc		10,800		326
Kimball International Inc, Cl B		13,340		149
Knoll Inc		18,300		193
Landstar System Inc		2,100		244
Macquarie Infrastructure Corp		6,100		173
MasTec Inc *(A)		9,570		375
Mercury Systems Inc *		16,880		1,508
Meritor Inc *		24,400		497
Miller Industries Inc/TN		6,027		179
MRC Global Inc *		25,970		154
MSA Safety Inc		8,828		1,050
MYR Group Inc *		10,620		306

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
National Presto Industries Inc		500	$	45
Northwest Pipe Co *		10,930		274
Park Aerospace Corp		21,290		258
Park-Ohio Holdings Corp		7,900		115
Patrick Industries Inc		7,000		363
PICO Holdings Inc *		1,000		8
Pitney Bowes Inc		24,650		58
Plug Power Inc *(A)		29,746		125
Powell Industries Inc		12,220		325
Primoris Services Corp		4,500		75
Proto Labs Inc *		1,549		196
Quad/Graphics Inc, Cl A		35,449		101
Quanex Building Products Corp		28,896		358
RBC Bearings Inc *		5,155		725
Resources Connection Inc		31,100		342
Rush Enterprises Inc, Cl A		3,400		142
Saia Inc *		3,046		330
Scorpio Bulkers Inc		2,576		45
SkyWest Inc		8,900		285
SP Plus Corp *		3,860		79
Spartan Motors Inc		14,643		250
Standex International Corp		1,200		63
Steelcase Inc, Cl A		15,500		179
Sterling Construction Co Inc *		7,340		66
Systemax Inc		1,700		36
Teledyne Technologies Inc *		1,100		412
Terex Corp		13,200		208
Tetra Tech Inc		3,700		292
Textainer Group Holdings Ltd *		12,060		99
Trex Co Inc *(A)		15,542		1,867
TriMas Corp *		4,400		104
Triton International Ltd/Bermuda		17,600		537
TrueBlue Inc *		2,800		43
Tutor Perini Corp *		8,163		86
UniFirst Corp/MA		900		162
Universal Logistics Holdings Inc		23,750		353
Upwork Inc *		10,793		134
US Ecology Inc		1,900		64
Vectrus Inc *		4,000		220
Veritiv Corp *		6,390		80
Wabash National Corp (A)		43,230		413
Watts Water Technologies Inc, Cl A		1,732		144
Werner Enterprises Inc		4,136		191
WESCO International Inc *		13,100		436
Willdan Group Inc *		2,990		73
WillScot Corp, Cl A *		24,545		327
Woodward		2,700		185
				34,366
Information Technology — 16.8%
2U Inc *		4,631		169
A10 Networks Inc *		31,450		214
ACM Research Inc, Cl A *		2,910		174

7 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Small Cap Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Agilysys Inc *		20,500	$	394
Amdocs Ltd		5,200		324
American Software Inc/GA, Cl A		26,400		514
Amkor Technology Inc *		36,100		382
Aspen Technology Inc *		2,200		232
Avalara Inc *		15,100		1,617
Avid Technology Inc *		20,590		145
Bel Fuse Inc, Cl B		10,088		95
Benchmark Electronics Inc		17,900		379
Bill.com Holdings Inc *(A)		1,987		138
Blackline Inc *		2,707		201
Box Inc, Cl A *		15,836		316
Brightcove Inc *		32,912		264
Calix Inc *		12,032		170
Casa Systems Inc *		22,796		99
Cass Information Systems Inc		1,900		77
CDK Global Inc		2,500		98
Cerence Inc *		5,085		152
ChannelAdvisor Corp *		3,300		46
Ciena Corp *		15,698		867
Cloudflare Inc, Cl A *		6,968		203
comScore Inc *		17,460		66
Comtech Telecommunications Corp		18,430		328
Conduent Inc *		41,080		98
Cornerstone OnDemand Inc *		3,785		146
CSG Systems International Inc		15,200		720
Diebold Nixdorf Inc *		18,340		88
Digi International Inc *		7,936		88
Digital Turbine Inc *		52,850		339
Diodes Inc *		12,700		618
DocuSign Inc, Cl A *		1,000		140
Dolby Laboratories Inc, Cl A		500		30
DSP Group Inc *		20,100		362
Dynatrace Inc *		6,245		240
Ebix Inc		6,628		149
EchoStar Corp, Cl A *		4,500		140
eGain Corp *		14,760		154
Endurance International Group Holdings Inc *		21,920		79
Entegris Inc		2,285		137
EPAM Systems Inc *		600		138
Euronet Worldwide Inc *		2,495		236
Everbridge Inc *		9,370		1,370
EVERTEC Inc		5,400		157
Evo Payments Inc, Cl A *		3,700		82
ExlService Holdings Inc *		3,940		241
Fair Isaac Corp *		1,000		403
Fastly Inc, Cl A *		5,235		226
FireEye Inc *		21,900		273
Five9 Inc *		5,206		542
FLIR Systems Inc		2,900		134
FormFactor Inc *		4,705		118

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Genpact Ltd		9,300	$	334
GSI Technology Inc *		12,001		90
Hackett Group Inc/The		26,900		371
Harmonic Inc *		16,560		89
I3 Verticals Inc, Cl A *		1,700		49
II-VI Inc *(A)		11,569		550
Impinj Inc *		16,740		433
Inphi Corp *		1,847		232
Inseego Corp *(A)		13,137		140
Insight Enterprises Inc *		8,600		441
Intelligent Systems Corp *		900		29
International Money Express Inc *		17,860		197
J2 Global Inc		3,600		282
KEMET Corp		24,900		673
Kulicke & Soffa Industries Inc		5,000		112
Lattice Semiconductor Corp *		8,016		199
Leidos Holdings Inc		3,500		369
Limelight Networks Inc *		93,489		462
LivePerson Inc *(A)		18,055		676
ManTech International Corp/VA, Cl A		2,400		187
MAXIMUS Inc		7,501		540
Methode Electronics Inc		21,900		687
MicroStrategy Inc, Cl A *		900		112
Mitek Systems Inc *		24,864		232
MobileIron Inc *		17,128		77
Model N Inc *		3,700		119
Monolithic Power Systems Inc		9,188		1,927
Napco Security Technologies Inc *		8,031		182
National Instruments Corp		4,000		155
NeoPhotonics Corp *		41,070		356
NIC Inc		8,900		214
nLight Inc *		4,410		95
Nova Measuring Instruments Ltd *		13,110		625
Novanta Inc *		7,580		779
Nuance Communications Inc *		11,353		260
NVE Corp		500		30
OSI Systems Inc *		1,100		83
PC Connection Inc		2,200		95
PDF Solutions Inc *		9,800		167
Pegasystems Inc		1,290		123
Perficient Inc *		14,390		490
Photronics Inc *		6,900		83
Power Integrations Inc		3,158		342
Progress Software Corp		4,100		166
Proofpoint Inc *		1,838		214
QAD Inc, Cl A		3,410		156
Qualys Inc *		1,825		210
Rambus Inc *		9,500		148
Ribbon Communications Inc *		16,690		73
RingCentral Inc, Cl A *		4,870		1,336
Sanmina Corp *		14,000		373
ScanSource Inc *		9,300		229

8 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Small Cap Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Science Applications International Corp		2,500	$	220
Silicon Laboratories Inc *		9,360		877
SMART Global Holdings Inc *		7,700		206
Smartsheet Inc, Cl A *		2,960		171
SPS Commerce Inc *		5,472		373
Switch Inc, Cl A (A)		33,804		646
Sykes Enterprises Inc *		16,400		447
Telenav Inc *		42,380		210
TTEC Holdings Inc		1,600		68
TTM Technologies Inc *		18,900		219
Tucows Inc, Cl A *		1,000		60
Tyler Technologies Inc *		1,100		413
Upland Software Inc *		1,200		41
Veeco Instruments Inc *		10,306		121
Verint Systems Inc *		1,800		83
Viavi Solutions Inc *		94,655		1,097
Vishay Intertechnology Inc		23,300		379
Vishay Precision Group Inc *		6,500		154
WNS Holdings Ltd ADR *		9,080		439
Xperi Corp		17,200		237
Zix Corp *		37,990		255
Zscaler Inc *(A)		1,630		160
				38,581
Materials — 3.4%
AdvanSix Inc *		13,000		154
Alamos Gold Inc, Cl A		19,472		158
American Vanguard Corp		5,780		77
Balchem Corp		2,300		232
Boise Cascade Co		800		27
Cabot Corp		9,000		321
Century Aluminum Co *		32,130		192
Clearwater Paper Corp *		2,770		80
Cleveland-Cliffs Inc (A)		53,900		281
Commercial Metals Co		13,900		239
Domtar Corp		7,600		155
Flotek Industries Inc *		49,070		48
Forterra Inc *		30,850		272
Greif Inc, Cl A		21,600		734
Hawkins Inc		1,400		60
Koppers Holdings Inc *		14,490		240
Kronos Worldwide Inc (A)		12,500		122
Materion Corp		2,100		110
Myers Industries Inc		24,327		331
Neenah Inc		1,110		56
NewMarket Corp		500		218
Novagold Resources Inc *		34,815		333
O-I Glass Inc, Cl I		19,700		151
PH Glatfelter Co		3,270		50
Rayonier Advanced Materials Inc		1,100		2
Resolute Forest Products Inc *		48,200		90
Royal Gold Inc		3,000		400
Ryerson Holding Corp *		11,752		59

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Schnitzer Steel Industries Inc, Cl A		26,320	$	413
Schweitzer-Mauduit International Inc		8,200		249
Scotts Miracle-Gro Co/The, Cl A		1,249		178
Silgan Holdings Inc		18,660		624
SunCoke Energy Inc		21,620		74
Tredegar Corp		28,680		439
Trinseo SA		11,200		230
UFP Technologies Inc *		800		36
Verso Corp		20,540		295
				7,730
Real Estate — 5.5%
Alexander’s Inc ‡		200		52
American Assets Trust Inc ‡		3,700		97
Americold Realty Trust ‡		13,205		472
Armada Hoffler Properties Inc ‡		6,700		58
Ashford Hospitality Trust Inc ‡		51,500		36
Braemar Hotels & Resorts Inc ‡		28,000		95
Camden Property Trust ‡		3,200		293
CatchMark Timber Trust Inc, Cl A ‡		12,910		101
CBL & Associates Properties Inc ‡(A)		25,200		8
Cedar Realty Trust Inc ‡(A)		133,100		99
Chatham Lodging Trust ‡		19,300		130
City Office REIT Inc ‡		6,300		58
Community Healthcare Trust Inc ‡		700		26
CoreCivic Inc ‡		22,000		265
CorEnergy Infrastructure Trust Inc ‡		14,670		147
CorePoint Lodging Inc ‡		10,180		40
CTO Realty Growth Inc		1,273		53
DiamondRock Hospitality Co ‡		31,700		190
Douglas Emmett Inc ‡		7,300		214
EastGroup Properties Inc ‡		2,100		244
Equity Commonwealth ‡		8,400		283
Equity LifeStyle Properties Inc ‡		6,000		374
Franklin Street Properties Corp ‡		45,400		242
Getty Realty Corp ‡		4,300		114
Gladstone Commercial Corp ‡		14,630		262
Gladstone Land Corp ‡		9,326		135
Global Medical REIT Inc ‡		14,840		159
Global Net Lease Inc ‡		18,300		257
Healthcare Realty Trust Inc ‡		2,000		61
Hersha Hospitality Trust, Cl A ‡		11,300		57
Highwoods Properties Inc ‡		2,200		84
Independence Realty Trust Inc ‡		9,700		96
Industrial Logistics Properties Trust ‡		22,400		420
Investors Real Estate Trust ‡		1,440		102
Kite Realty Group Trust ‡		34,700		337
Life Storage Inc ‡		2,300		224
LTC Properties Inc ‡		3,500		129
Medical Properties Trust Inc ‡		16,054		290
Monmouth Real Estate Investment Corp, Cl A ‡		9,300		121
National Storage Affiliates Trust ‡		5,200		156

9 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Small Cap Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
NexPoint Residential Trust Inc ‡		2,000	$	64
Office Properties Income Trust ‡		17,700		448
One Liberty Properties Inc ‡		2,100		33
Outfront Media Inc ‡		34,100		479
Paramount Group Inc ‡		12,500		96
Piedmont Office Realty Trust Inc, Cl A ‡		21,300		355
Preferred Apartment Communities Inc, Cl A ‡		15,000		105
PS Business Parks Inc ‡		1,500		200
QTS Realty Trust Inc, Cl A ‡		2,988		205
RE/MAX Holdings Inc, Cl A		10,200		286
Realogy Holdings Corp (A)		16,700		101
Redfin Corp *		6,413		192
Retail Value Inc ‡		7,754		90
Rexford Industrial Realty Inc ‡		24,635		981
RMR Group Inc/The, Cl A		1,800		49
Sabra Health Care ‡		13,200		178
Safehold Inc ‡		1,200		66
Saul Centers Inc ‡		1,400		43
Seritage Growth Properties ‡		3,130		25
Service Properties Trust ‡		21,900		148
SITE Centers Corp ‡		30,000		170
Spirit Realty Capital Inc ‡		2,900		82
Summit Hotel Properties Inc ‡(A)		39,900		249
Sun Communities Inc ‡		2,700		370
Tanger Factory Outlet Centers Inc ‡(A)		17,600		108
Tejon Ranch Co *		5,600		80
Terreno Realty Corp ‡		500		26
UMH Properties Inc ‡		8,430		105
Uniti Group Inc ‡		49,300		407
Universal Health Realty Income Trust ‡		1,300		121
Urstadt Biddle Properties Inc, Cl A ‡		4,300		55
Whitestone REIT, Cl B ‡		4,000		25
				12,523
Utilities — 3.1%
ALLETE Inc		3,400		200
American States Water Co		1,800		148
Artesian Resources Corp, Cl A		4,150		146
Atlantic Power Corp *		100,260		211
Atmos Energy Corp		3,200		329
Black Hills Corp		4,100		253
Chesapeake Utilities Corp		1,500		136
Consolidated Water Co Ltd		18,340		272
Genie Energy Ltd, Cl B		31,950		275
Hawaiian Electric Industries Inc		6,900		272
IDACORP Inc		2,800		261
MDU Resources Group Inc		20,800		453
Middlesex Water Co		1,700		115
National Fuel Gas Co (A)		24,500		1,028
NorthWestern Corp		3,800		228
NRG Energy Inc		7,800		281
OGE Energy Corp		4,600		144
ONE Gas Inc		3,400		285

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Ormat Technologies Inc		3,300	$	240
Pinnacle West Capital Corp		3,900		304
PNM Resources Inc		1,000		41
Portland General Electric Co		6,000		283
Pure Cycle Corp *		33,692		342
Southwest Gas Holdings Inc		1,400		106
Spark Energy Inc, Cl A		4,670		38
Spire Inc		3,700		270
UGI Corp		2,200		70
Unitil Corp		3,340		161
Vistra Energy Corp		2,700		55
York Water Co/The		2,770		123
				7,070
Total Common Stock (Cost $226,355) ($ Thousands)				225,032
	Number of Rights
RIGHTS — 0.0%
Media General Inc CVR ‡‡(C)		1,155		—
Total Rights (Cost $—) ($ Thousands)				—
	Shares
AFFILIATED PARTNERSHIP — 8.5%
SEI Liquidity Fund, L.P.
0.290% **†(D)		19,346,823		19,356
Total Affiliated Partnership (Cost $19,348) ($ Thousands)				19,356
CASH EQUIVALENT — 1.2%
SEI Daily Income Trust, Government Fund, Cl F
0.090% **†		2,844,686		2,845
Total Cash Equivalent (Cost $2,845) ($ Thousands)				2,845
Total Investments in Securities — 108.0% (Cost $248,548) ($ Thousands)			$	247,233

Percentages are based on Net Assets of $228,900 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2020.

† Investment in Affiliated Security (See Note 6).

‡ Real Estate Investment Trust.

‡‡ Expiration date not available.

(A) Certain securities or partial positions of certain securities are on loan at May 31, 2020 (See Note 12). The total market value of securities on loan at May 31, 2020 was $18,751 ($ Thousands).

10 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Small Cap Fund (Concluded)

May 31, 2020

(B) Security is a Master Limited Partnership. At May 31, 2020, such securities amounted to $318 ($ Thousands), or 0.1% of the net assets (See Note 2).

(C) Level 3 security in accordance with fair value hierarchy.

(D) This security was purchased with cash collateral held from securities on loan (See Note 12). The total market value of such securities as of May 31, 2020 was $19,356 ($ Thousands).

ADR — American Depositary Receipt

Cl — Class

CVR — Contingent Value Rights

LLC — Limited Liability Company

L.P. — Limited Partnership

Ltd. — Limited

PLC — Public Limited Company

REIT — Real Estate investment Trust

The following is a list of the level of inputs used as of May 31, 2020, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1 ($)		Level 2 ($)		Level 3  ($)(1)		Total ($)
Common Stock		225,032		—		—		225,032
Rights		—		—		–^		—
Affiliated Partnership		—		19,356		—		19,356
Cash Equivalent		2,845		—		—		2,845
Total Investments in Securities		227,877		19,356		—		247,233

(1) A reconciliation of Level 3 instruments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. Management has concluded that Level 3 investments are not material in relation to net assets.

^ Securities round to an amount less than $500.

For the year ended May 31, 2020, there were no transfers in or out of Level 3.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

The following is a summary of the Fund’s transactions with affiliates for the year ended May 31, 2020 ($ Thousands):

Security Description	Value 5/31/2019			Purchases at Cost			Proceeds from Sales				Realized Gain			Change in Unrealized Appreciation			Value 5/31/2020			Shares		Income			Capital Gains
SEI Liquidity Fund, L.P.		$	20,292		$	96,977		$	(97,922	)		$	1		$	8		$	19,356		19,346,823		$	89		$	—
SEI Daily Income Trust, Government Fund, Cl F			11,271			106,847			(115,273	)			—			—			2,845		2,844,686			111			—
Totals		$	31,563		$	203,824		$	(213,195	)		$	1		$	8		$	22,201				$	200		$	—

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

11 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Small Cap II Fund

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK — 97.2%
Communication Services — 2.6%
Anterix Inc *		6,158	$	330
Bandwidth Inc, Cl A *(A)		3,701		410
Boingo Wireless Inc *		13,970		191
Cable One Inc		479		904
Cars.com Inc *		19,890		123
Cinemark Holdings Inc		17,759		267
Cogent Communications Holdings Inc		20,658		1,581
comScore Inc *		22,620		85
Consolidated Communications Holdings Inc *		18,570		113
Entercom Communications Corp, Cl A		33,310		56
Eventbrite Inc, Cl A *(A)		25,140		217
EverQuote Inc, Cl A *(A)		8,274		446
Liberty TripAdvisor Holdings Inc, Cl A *		36,087		86
National CineMedia Inc		39,357		108
Nexstar Media Group Inc, Cl A		20,442		1,703
Ooma Inc *		10,810		136
QuinStreet Inc *		17,700		179
Shenandoah Telecommunications Co		6,356		334
TechTarget Inc *		8,751		241
TrueCar Inc *		27,960		75
Zynga Inc, Cl A *		58,687		537
				8,122
Consumer Discretionary — 13.8%
Aaron’s Inc		20,887		771
American Axle & Manufacturing Holdings Inc *		16,520		117
American Eagle Outfitters Inc (A)		195,779		1,793
American Outdoor Brands Corp *		22,750		269
American Public Education Inc *		14,852		467
America’s Car-Mart Inc/TX *		4,270		340
Beazer Homes USA Inc *		10,700		105
BJ’s Restaurants Inc		18,130		394
Bloomin’ Brands Inc (A)		280,583		3,201
Brinker International Inc		58,046		1,530
Brunswick Corp/DE		7,252		399
Caleres Inc		8,610		62
Callaway Golf Co (A)		60,557		928
Camping World Holdings Inc, Cl A (A)		17,381		368
Carriage Services Inc, Cl A		14,932		280
Carter’s Inc		12,409		1,066
Cato Corp/The, Cl A		23,010		223
Cheesecake Factory Inc/The (A)		86,570		1,859
Chegg Inc *		8,810		538
Chico’s FAS Inc		26,270		36
Chuy’s Holdings Inc *		16,125		258
Clarus Corp		20,241		213
Cooper-Standard Holdings Inc *		9,665		101
Core-Mark Holding Co Inc		32,857		919
Darden Restaurants Inc		4,609		354
Dave & Buster’s Entertainment Inc (A)		198,418		2,617

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Delta Apparel Inc *		6,214	$	76
Denny’s Corp *		6,150		67
Dick’s Sporting Goods Inc		34,035		1,227
Domino’s Pizza Inc		2,510		968
DraftKings Inc, Cl A *(A)		12,359		491
Dunkin’ Brands Group Inc		4,028		257
El Pollo Loco Holdings Inc *		25,560		354
Eldorado Resorts Inc *(A)		13,125		465
Ethan Allen Interiors Inc		22,140		250
Etsy Inc *		4,307		349
Everi Holdings Inc *		14,000		87
Fiesta Restaurant Group Inc *		11,640		96
Fox Factory Holding Corp *		2,387		172
Genesco Inc *		7,880		146
Golden Entertainment Inc *		9,730		119
Grand Canyon Education Inc *		2,740		267
Green Brick Partners Inc *		21,160		226
Haverty Furniture Cos Inc		6,290		109
Hibbett Sports Inc *		14,570		282
Houghton Mifflin Harcourt Co *		26,139		40
Hudson Ltd, Cl A *		11,167		56
Johnson Outdoors Inc, Cl A		1,040		81
Lands’ End Inc *		17,160		108
Malibu Boats Inc, Cl A *		3,748		177
Michaels Cos Inc/The *		16,310		63
Modine Manufacturing Co *		371,385		1,987
Monro Inc (A)		12,962		714
Murphy USA Inc *		16,507		1,916
Noodles & Co, Cl A *		18,720		110
Ollie’s Bargain Outlet Holdings Inc *(A)		5,154		471
Oxford Industries Inc (A)		7,783		332
Papa John’s International Inc (A)		4,402		343
Peloton Interactive Inc, Cl A *		8,996		380
Penn National Gaming Inc *(A)		15,628		513
PlayAGS Inc *		48,701		254
Pool Corp		3,682		991
Potbelly Corp *		34,762		73
PulteGroup Inc		17,042		579
Regis Corp *		8,710		92
Ruth’s Hospitality Group Inc		7,170		58
Sally Beauty Holdings Inc *(A)		65,051		848
Shutterstock Inc		7,289		276
Signet Jewelers Ltd		9,770		103
Skechers USA Inc, Cl A *		32,688		1,024
Sportsman’s Warehouse Holdings Inc *		48,123		538
Stamps.com Inc *		1,709		339
Steven Madden Ltd		13,004		306
Tenneco Inc, Cl A *		11,610		78
Texas Roadhouse Inc, Cl A		6,312		327
Tilly’s Inc, Cl A		37,200		190
Tractor Supply Co		7,762		947
Universal Electronics Inc *		1,740		79

1 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Small Cap II Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Urban Outfitters Inc *		74,565	$	1,263
Vera Bradley Inc *		18,700		98
Vista Outdoor Inc *		57,851		562
Weyco Group Inc		5,330		99
Williams-Sonoma Inc (A)		4,261		355
Wingstop Inc		3,609		440
Winmark Corp		674		97
YETI Holdings Inc *(A)		13,555		435
Zumiez Inc *		8,060		196
				43,154
Consumer Staples — 6.2%
Andersons Inc/The		21,179		275
BJ’s Wholesale Club Holdings Inc *		37,401		1,346
Boston Beer Co Inc/The, Cl A *(A)		1,017		574
Calavo Growers Inc (A)		12,853		752
Cal-Maine Foods Inc		14,700		655
Casey’s General Stores Inc		5,320		850
Celsius Holdings Inc *(A)		43,986		408
Central Garden & Pet Co, Cl A *		12,030		441
Chefs’ Warehouse Inc/The *		4,360		65
Church & Dwight Co Inc		11,791		885
Darling Ingredients Inc *		84,317		1,965
Freshpet Inc *		7,695		594
Hain Celestial Group Inc/The *		39,174		1,233
Hostess Brands Inc, Cl A *		71,345		862
Ingles Markets Inc, Cl A		1,270		54
J&J Snack Foods Corp		6,286		809
John B Sanfilippo & Son Inc		1,140		99
Lamb Weston Holdings Inc		6,943		417
Landec Corp *		5,620		60
Lifevantage Corp *		31,642		484
Medifast Inc (A)		7,655		783
MGP Ingredients Inc (A)		12,600		473
Natural Grocers by Vitamin Cottage Inc		30,320		437
Pilgrim’s Pride Corp *		57,782		1,195
Sanderson Farms Inc		6,322		835
SpartanNash Co		10,060		215
Spectrum Brands Holdings Inc		10,009		474
Sprouts Farmers Market Inc *		13,667		343
TreeHouse Foods Inc *		28,261		1,490
United Natural Foods Inc *		8,850		173
Village Super Market Inc, Cl A		6,780		162
				19,408
Energy — 2.1%
Berry Corp		27,960		119
Bonanza Creek Energy Inc *		5,217		88
Cabot Oil & Gas Corp, Cl A		71,913		1,427
Cimarex Energy Co		46,916		1,233
Clean Energy Fuels Corp *		42,160		88
Contura Energy Inc *		21,435		82
Delek US Holdings Inc (A)		18,980		373

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
DMC Global Inc (A)		14,878	$	425
Dorian LPG Ltd *		10,120		83
Evolution Petroleum Corp		45,697		112
GasLog Ltd		18,610		64
Green Plains Inc		11,670		100
Liberty Oilfield Services Inc, Cl A		21,270		110
National Energy Services Reunited Corp *		16,050		91
NCS Multistage Holdings Inc *		59,209		31
NexTier Oilfield Solutions Inc *		47,342		137
Nordic American Tankers Ltd		11,740		54
Oceaneering International Inc *		10,950		70
Oil States International Inc *		28,790		122
Parsley Energy Inc, Cl A		21,847		200
PDC Energy Inc *		7,433		91
Peabody Energy Corp		24,590		77
Phillips 66 Partners LP (B)		12,989		580
RigNet Inc *		42,899		42
Select Energy Services Inc, Cl A *		50,755		301
Solaris Oilfield Infrastructure Inc, Cl A		11,800		82
Talos Energy Inc *		17,020		207
Tidewater Inc *		9,700		46
W&T Offshore Inc *		50,820		133
				6,568
Financials — 15.6%
Affiliated Managers Group Inc		5,827		388
Amalgamated Bank, Cl A		13,720		154
American Equity Investment Life Holding Co		123,130		2,671
AMERISAFE Inc		1,460		90
Anworth Mortgage Asset Corp		96,150		140
Ares Commercial Real Estate Corp		26,020		194
Atlantic Capital Bancshares Inc *		11,071		126
B Riley Financial Inc		5,224		100
Banco Latinoamericano de Comercio Exterior SA, Cl E		6,740		79
Bancorp Inc/The *		24,384		215
Bank of Marin Bancorp		6,490		218
Bank of NT Butterfield & Son Ltd/The		35,098		857
Bank OZK (A)		31,734		714
BankUnited Inc		130,833		2,418
Benefytt Technologies Inc, Cl A *(A)		22,298		438
Blackstone Mortgage Trust Inc, Cl A ‡(A)		39,713		937
Bridgewater Bancshares Inc *		11,187		117
Capital Bancorp Inc *		5,473		62
Capstead Mortgage Corp ‡		18,250		92
Carter Bank & Trust		12,723		90
Central Pacific Financial Corp		9,730		157
Cherry Hill Mortgage Investment Corp		10,723		93
CNO Financial Group Inc		173,400		2,488
Cohen & Steers Inc		17,342		1,102
Crawford & Co, Cl A		24,180		146
Curo Group Holdings Corp		12,570		84
Customers Bancorp Inc *		7,680		85

2 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Small Cap II Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Dime Community Bancshares Inc		5,820	$	84
Discover Financial Services		15,888		755
Donegal Group Inc, Cl A		10,560		150
Dynex Capital Inc (A)		52,362		673
Enova International Inc *		7,760		110
ESSA Bancorp Inc		5,750		83
Exantas Capital Corp ‡		40,610		81
EZCORP Inc, Cl A *		42,500		219
FactSet Research Systems Inc		3,407		1,048
Farmers National Banc Corp		13,160		155
First Bancshares Inc/The		1,360		29
First Commonwealth Financial Corp		149,129		1,220
First Community Bankshares Inc		11,860		253
First Financial Corp/IN		3,860		135
First Horizon National Corp (A)		181,290		1,695
First of Long Island Corp/The		8,291		127
Flushing Financial Corp		17,020		193
FNB Corp/PA		386,286		2,862
Foley Trasimene Acquisition Corp *		27,657		283
Globe Life Inc		9,153		705
Goosehead Insurance Inc, Cl A *(A)		6,102		366
Granite Point Mortgage Trust Inc		9,290		46
Great Western Bancorp Inc		70,170		999
Greenhill & Co Inc		8,850		88
Greenlight Capital Re Ltd, Cl A *		12,610		91
Hanmi Financial Corp		8,160		74
Hanover Insurance Group Inc/The		3,454		347
HarborOne Bancorp Inc *		45,950		366
HBT Financial Inc		16,370		208
HCI Group Inc		6,520		292
Hercules Capital (A)		89,740		1,000
Heritage Commerce Corp		9,157		74
Heritage Insurance Holdings Inc		11,840		148
Home BancShares Inc/AR		45,995		666
HomeTrust Bancshares Inc		9,480		146
Houlihan Lokey Inc, Cl A		6,713		406
IBERIABANK Corp		19,259		817
Independent Bank Corp/MI		5,620		78
Kemper Corp		10,651		675
Kinsale Capital Group Inc		2,522		377
Lincoln National Corp		30,602		1,161
Macatawa Bank Corp		23,766		176
MarketAxess Holdings Inc		1,949		991
Mercantile Bank Corp		4,473		103
MGIC Investment Corp		74,705		613
Morningstar Inc		1,811		278
National General Holdings Corp		120,095		2,438
Nicolet Bankshares Inc *		1,090		61
NMI Holdings Inc, Cl A *		19,030		292
OFG Bancorp		71,015		863
On Deck Capital Inc *		79,974		60
Oportun Financial Corp *		3,130		30

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Oppenheimer Holdings Inc, Cl A		7,320	$	155
Palomar Holdings Inc, Cl A *		5,641		420
PCSB Financial Corp		12,810		171
Peapack-Gladstone Financial Corp		8,958		169
PennantPark Investment Corp		41,248		135
Peoples Bancorp Inc/OH		18,930		425
Pinnacle Financial Partners Inc		6,917		276
PJT Partners Inc		1,110		61
Prosperity Bancshares Inc		11,684		764
Provident Bancorp Inc		10,665		91
Pzena Investment Management Inc, Cl A		19,866		81
RBB Bancorp		12,920		166
Ready Capital Corp		16,158		95
Regional Management Corp *		4,249		67
Richmond Mutual BanCorp Inc		8,117		90
Safeguard Scientifics Inc		35,402		224
Sterling Bancorp/DE		88,365		1,087
TriCo Bancshares		1,870		53
TriState Capital Holdings Inc *		7,680		115
Umpqua Holdings Corp		222,251		2,531
Univest Financial Corp		60,025		987
Waterstone Financial Inc		30,410		453
Western Alliance Bancorp		8,695		332
Westwood Holdings Group Inc		5,410		96
WisdomTree Investments Inc		107,830		322
				48,811
Health Care — 18.0%
ACADIA Pharmaceuticals Inc *(A)		10,633		528
Accelerate Diagnostics Inc *(A)		8,451		71
Acceleron Pharma Inc *		5,313		525
Accuray Inc *		42,740		90
Adaptive Biotechnologies Corp *		4,247		164
Aduro Biotech Inc *		22,270		73
Adverum Biotechnologies Inc *		15,390		318
Affimed NV *		89,520		294
Agenus Inc *		116,530		435
Akebia Therapeutics Inc *		22,816		266
Albireo Pharma Inc *		13,485		361
Allogene Therapeutics Inc *(A)		6,105		294
Amedisys Inc *		1,781		342
AMN Healthcare Services Inc *		12,540		556
AnaptysBio Inc *		5,570		106
AngioDynamics Inc *		16,169		165
Anika Therapeutics Inc *		13,520		453
Antares Pharma Inc *		50,750		146
Arcus Biosciences Inc *		8,143		255
Argenx SE ADR *		1,436		315
Arvinas Inc *		3,686		123
Assembly Biosciences Inc *		3,470		68
Atreca Inc, Cl A *		5,651		104
AtriCure Inc *		8,179		391
Atrion Corp		100		64

3 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Small Cap II Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Avid Bioservices Inc *		62,680	$	366
Axogen Inc *		18,645		181
Axsome Therapeutics Inc *(A)		3,845		296
BioCryst Pharmaceuticals Inc *(A)		81,676		367
BioDelivery Sciences International Inc *		100,740		482
Biohaven Pharmaceutical Holding Co Ltd *(A)		6,450		403
BioSpecifics Technologies Corp *		7,536		469
BioTelemetry Inc *(A)		14,882		702
Cabaletta Bio Inc *		4,130		35
Calithera Biosciences Inc *		26,050		152
Cantel Medical Corp (A)		15,206		640
Cardiovascular Systems Inc *		4,718		183
CareDx Inc *		12,171		391
Castle Biosciences Inc *		14,058		540
Catalyst Pharmaceuticals Inc *		95,100		410
Cerecor Inc *		34,650		112
Charles River Laboratories International Inc *		2,050		368
Chembio Diagnostics Inc *(A)		26,820		258
Chemed Corp		2,199		1,052
ChemoCentryx Inc *		7,260		453
Chiasma Inc *		29,285		183
Community Health Systems Inc *		19,440		61
Computer Programs and Systems Inc		14,746		326
Cross Country Healthcare Inc *		20,480		124
CryoLife Inc *		7,281		166
Cue Biopharma Inc *		8,310		230
Cutera Inc *		15,850		210
Cytokinetics Inc *		14,577		302
CytomX Therapeutics Inc *		11,270		100
CytoSorbents Corp *(A)		30,662		313
DBV Technologies SA ADR *		25,967		126
Deciphera Pharmaceuticals Inc *		4,216		247
Eagle Pharmaceuticals Inc/DE *		1,610		83
Eiger BioPharmaceuticals Inc *		14,249		172
Emergent BioSolutions Inc *		5,490		458
Encompass Health Corp		12,437		911
Endologix Inc *(A)		32,696		24
Ensign Group Inc/The		23,448		1,025
Envista Holdings Corp *		57,174		1,209
Enzo Biochem Inc *		31,280		89
Evolent Health Inc, Cl A *		19,760		175
Exelixis Inc *		12,893		319
Fate Therapeutics Inc *		10,999		357
Flexion Therapeutics Inc *		29,747		340
Fulcrum Therapeutics Inc *		4,907		98
G1 Therapeutics Inc *		32,520		552
GenMark Diagnostics Inc *		30,186		286
Halozyme Therapeutics Inc *		18,786		456
Hanger Inc *		4,460		82
Harpoon Therapeutics Inc *		2,160		47

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
HealthEquity Inc *		2,414	$	150
HealthStream Inc *		2,150		49
Heron Therapeutics Inc *(A)		13,951		254
Heska Corp *		2,370		208
Horizon Therapeutics Plc *		7,763		394
iCAD Inc *		28,347		333
Immunomedics Inc *(A)		25,330		851
Inspire Medical Systems Inc *		3,769		307
Insulet Corp *		1,417		267
Integra LifeSciences Holdings Corp *		35,077		1,828
Intersect ENT Inc *		7,300		81
Invacare Corp		17,940		111
Iovance Biotherapeutics Inc *		16,076		516
iRhythm Technologies Inc *		4,126		513
Joint Corp/The *		9,670		146
Jounce Therapeutics Inc *		26,200		141
Kala Pharmaceuticals Inc *(A)		30,828		380
Karuna Therapeutics Inc *(A)		2,906		273
Karyopharm Therapeutics Inc *		14,143		262
Kindred Biosciences Inc *		18,146		78
Kiniksa Pharmaceuticals Ltd, Cl A *(A)		9,995		209
Kodiak Sciences Inc *(A)		3,473		224
Kura Oncology Inc *		21,480		367
Lantheus Holdings Inc *		21,210		291
LeMaitre Vascular Inc		5,840		157
Liquidia Technologies Inc *(A)		32,486		300
Livongo Health Inc *(A)		10,171		610
Luminex Corp		27,717		864
Lyra Therapeutics Inc *		6,234		99
Magellan Health Inc *		10,957		822
Marinus Pharmaceuticals Inc *		45,287		115
Masimo Corp *		1,113		267
MEDNAX Inc *(A)		25,245		392
MeiraGTx Holdings plc *		13,743		204
Meridian Bioscience Inc *		33,900		524
Merit Medical Systems Inc *		14,136		636
Mersana Therapeutics Inc *		10,230		232
Momenta Pharmaceuticals Inc *		13,481		424
Mustang Bio Inc *		27,967		104
MyoKardia Inc *		3,563		364
Natera Inc *		8,926		391
Nevro Corp *(A)		3,381		425
NextCure Inc *		4,516		141
Novavax Inc *		7,949		366
NuVasive Inc *		12,164		737
OraSure Technologies Inc *		25,436		370
Orchard Therapeutics plc ADR *		16,107		153
ORIC Pharmaceuticals Inc *(A)		6,452		187
Owens & Minor Inc		60,350		479
Pacific Biosciences of California Inc *		20,200		71
Personalis Inc *		15,320		181
Pfenex Inc *		49,190		360

4 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Small Cap II Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Pieris Pharmaceuticals Inc *		36,568	$	132
Precision BioSciences Inc *		24,896		175
Prestige Consumer Healthcare Inc *		27,068		1,142
Prevail Therapeutics Inc *		5,960		99
Principia Biopharma Inc *		5,280		337
Protagonist Therapeutics Inc *		13,429		222
Prothena Corp PLC *		11,320		121
Puma Biotechnology Inc *		12,560		128
Quest Diagnostics Inc		7,718		913
Quidel Corp *		5,007		876
Recro Pharma Inc *		26,310		119
Repligen Corp *		4,042		529
ResMed Inc		6,477		1,042
Revance Therapeutics Inc *(A)		11,896		249
Rigel Pharmaceuticals Inc *		206,610		404
Scholar Rock Holding Corp *		14,410		265
Sientra Inc *		25,710		100
SIGA Technologies Inc *		34,601		207
Silk Road Medical Inc *(A)		3,150		121
Spectrum Pharmaceuticals Inc *		26,270		77
Spero Therapeutics Inc *		10,270		121
SpringWorks Therapeutics Inc *(A)		5,056		192
STERIS PLC		6,339		1,052
Surgery Partners Inc *		9,650		129
Surmodics Inc *		3,790		140
Sutro Biopharma Inc *		6,560		66
Syndax Pharmaceuticals Inc *		15,570		252
Syneos Health Inc, Cl A *		8,142		497
Synlogic Inc *		33,570		84
Syros Pharmaceuticals Inc *		20,330		199
Tandem Diabetes Care Inc *		7,245		602
TCR2 Therapeutics Inc *(A)		16,955		171
Teladoc Health Inc *(A)		4,282		745
TG Therapeutics Inc *(A)		17,948		335
US Physical Therapy Inc		8,041		596
Vapotherm Inc *		18,485		492
Veracyte Inc *		13,625		340
Vericel Corp *		24,460		352
Verrica Pharmaceuticals Inc *		10,559		121
Viela Bio Inc *(A)		3,500		164
Viking Therapeutics Inc *(A)		31,931		228
Vocera Communications Inc *		12,402		243
Voyager Therapeutics Inc *		21,300		258
Xeris Pharmaceuticals Inc *		31,005		159
				56,442
Industrials — 14.2%
ABM Industries Inc		15,955		490
AECOM *		18,819		730
Alamo Group Inc		560		58
Altra Industrial Motion Corp		20,656		640
American Superconductor Corp *		25,823		187
Atlas Air Worldwide Holdings Inc *		32,409		1,266

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Blue Bird Corp *		9,025	$	130
BWX Technologies Inc		35,468		2,219
CAI International Inc *		9,443		178
Casella Waste Systems Inc, Cl A *		6,262		319
CECO Environmental Corp *		19,210		102
Cimpress PLC *(A)		3,666		330
CIRCOR International Inc *		14,551		234
Clean Harbors Inc *		24,121		1,433
Covenant Transportation Group Inc, Cl A *		7,140		90
CRA International Inc		10,128		409
CSW Industrials Inc		1,370		98
Ducommun Inc *		8,170		263
DXP Enterprises Inc/TX *		11,960		211
Echo Global Logistics Inc *		28,141		583
EMCOR Group Inc		6,185		393
Energy Recovery Inc *		42,701		328
Enerpac Tool Group Corp, Cl A		22,547		404
Ennis Inc		23,530		419
EnPro Industries Inc		11,508		519
Exponent Inc		8,010		595
Forrester Research Inc *		10,541		331
Forward Air Corp (A)		4,358		217
Franklin Covey Co *		9,200		196
Generac Holdings Inc *		8,494		945
Gibraltar Industries Inc *		2,200		97
Gorman-Rupp Co/The		2,890		89
Graham Corp		13,531		155
Great Lakes Dredge & Dock Corp *		23,170		215
H&E Equipment Services Inc		2,930		50
Harsco Corp *		40,443		451
Heartland Express Inc		9,926		217
HEICO Corp		6,751		680
Heidrick & Struggles International Inc		16,910		375
Heritage-Crystal Clean Inc *		43,010		729
Hexcel Corp		12,777		462
Hillenbrand Inc		11,207		288
Hudson Technologies Inc *(A)		95,821		85
Huntington Ingalls Industries Inc		3,441		688
Huron Consulting Group Inc *		18,453		854
InnerWorkings Inc *		183,246		218
ITT Inc		19,138		1,104
JetBlue Airways Corp *(A)		164,485		1,656
John Bean Technologies Corp		5,813		478
Kelly Services Inc, Cl A		20,736		311
Kennametal Inc		6,690		186
Kimball International Inc, Cl B		17,280		193
Kirby Corp *		9,271		475
Korn Ferry		20,353		616
Landstar System Inc		5,653		657
Masonite International Corp *		8,086		537
Matson Inc		7,540		215
Middleby Corp/The *(A)		4,654		317

5 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Small Cap II Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Miller Industries Inc/TN		6,199	$	184
MRC Global Inc *		33,770		200
MSC Industrial Direct Co Inc, Cl A		12,199		846
MYR Group Inc *		10,520		303
Nordson Corp		6,194		1,167
Northwest Pipe Co *		13,960		350
Park Aerospace Corp		26,999		327
PICO Holdings Inc *		1,610		13
Pitney Bowes Inc		32,740		77
Plug Power Inc *(A)		63,817		269
Powell Industries Inc		14,110		375
Proto Labs Inc *		3,326		420
Quad/Graphics Inc, Cl A		18,100		52
Quanex Building Products Corp		30,005		372
Regal Beloit Corp		8,995		715
Resources Connection Inc		33,200		365
Ritchie Bros Auctioneers Inc		15,344		664
Ryder System Inc		19,592		671
Saia Inc *		3,270		355
Scorpio Bulkers Inc		3,450		60
Snap-on Inc (A)		5,211		676
SP Plus Corp *		14,241		290
Spartan Motors Inc		19,581		334
SPX FLOW Inc *		8,634		299
Standex International Corp		11,369		602
Sterling Construction Co Inc *		9,250		84
Team Inc *(A)		61,367		303
Tennant Co		7,088		453
Tetra Tech Inc		13,226		1,044
Textainer Group Holdings Ltd *		15,610		128
Toro Co/The		10,471		744
Trex Co Inc *(A)		4,769		573
TriNet Group Inc *		16,365		879
TrueBlue Inc *		26,079		403
Tutor Perini Corp *		10,944		115
Universal Logistics Holdings Inc		10,600		158
Vectrus Inc *		4,770		262
Veritiv Corp *		8,143		101
Wabash National Corp		30,940		295
Werner Enterprises Inc (A)		8,957		414
WESCO International Inc *		54,725		1,822
Willdan Group Inc *		3,970		97
				44,576
Information Technology — 14.5%
2U Inc *		29,283		1,068
A10 Networks Inc *		33,080		225
ACM Research Inc, Cl A *(A)		6,246		373
Actua Corp *(C)(D)		39,640		2
Agilysys Inc *		22,420		431
American Software Inc/GA, Cl A		36,096		702
Asure Software Inc *(A)		24,114		149
Avid Technology Inc *		26,610		188

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Badger Meter Inc (A)		13,607	$	833
Belden Inc		7,752		264
Benefitfocus Inc *		49,985		636
Bill.com Holdings Inc *(A)		4,292		299
Blackline Inc *		5,847		434
Brightcove Inc *		35,827		288
Broadridge Financial Solutions Inc		7,434		900
Cabot Microelectronics Corp		7,044		1,020
CACI International Inc, Cl A *		5,695		1,428
Calix Inc *		25,986		366
Casa Systems Inc *		29,305		127
Cerence Inc *		15,382		460
ChannelAdvisor Corp *		17,075		238
Ciena Corp *		7,122		394
Cloudflare Inc, Cl A *		15,051		438
Cognex Corp		15,824		898
Comtech Telecommunications Corp		9,690		173
Conduent Inc *		53,450		128
CTS Corp		5,528		118
Diebold Nixdorf Inc *		23,260		111
Digi International Inc *		10,190		113
Digital Turbine Inc *		56,890		365
Diodes Inc *		13,989		680
DSP Group Inc *		22,370		403
Dynatrace Inc *		13,521		520
eGain Corp *		15,730		164
Endurance International Group Holdings Inc *		27,110		97
Enphase Energy Inc *(A)		7,481		435
Entegris Inc		4,935		295
Everbridge Inc *		2,694		394
ExlService Holdings Inc *		19,646		1,202
Fastly Inc, Cl A *(A)		11,307		488
Five9 Inc *		4,251		443
FLIR Systems Inc		6,223		287
FormFactor Inc *		10,156		256
GSI Technology Inc *		16,504		124
Hackett Group Inc/The		29,390		405
Harmonic Inc *		21,890		118
II-VI Inc *(A)		20,953		996
Impinj Inc *		18,960		490
Inphi Corp *		3,965		498
Inseego Corp *(A)		28,374		301
International Money Express Inc *		20,080		221
Jack Henry & Associates Inc		5,187		938
Lattice Semiconductor Corp *		17,313		431
Limelight Networks Inc *		634		3
Littelfuse Inc		4,451		723
LogMeIn Inc		7,617		647
MACOM Technology Solutions Holdings Inc *		45,205		1,435
ManTech International Corp/VA, Cl A		26,966		2,096
MAXIMUS Inc		11,450		825

6 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Small Cap II Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Mimecast Ltd *		4,785	$	200
Mitek Systems Inc *		26,537		248
MobileIron Inc *		23,401		106
Model N Inc *		6,665		214
Monolithic Power Systems Inc		1,704		357
Napco Security Technologies Inc *		10,228		232
NCR Corp *		90,575		1,635
NeoPhotonics Corp *		53,410		463
nLight Inc *		6,130		132
Nuance Communications Inc *		16,205		371
PDF Solutions Inc *		12,780		218
Pegasystems Inc		2,785		265
Ping Identity Holding Corp *		5,499		156
Pluralsight Inc, Cl A *(A)		27,013		563
Power Integrations Inc		12,171		1,319
QAD Inc, Cl A		6,976		319
Qualys Inc *(A)		3,943		455
Ribbon Communications Inc *		21,900		96
Semtech Corp *		8,119		432
Smartsheet Inc, Cl A *		6,392		369
SPS Commerce Inc *		5,520		376
Super Micro Computer Inc *		101,331		2,631
SVMK Inc *		13,625		275
Switch Inc, Cl A (A)		17,822		341
Telenav Inc *		53,710		266
Universal Display Corp		5,307		778
Upland Software Inc *		4,317		149
Veeco Instruments Inc *		12,045		141
Viavi Solutions Inc *		89,043		1,032
Virtusa Corp *		32,676		983
Workiva Inc, Cl A *		2,069		92
Zix Corp *		49,520		333
Zscaler Inc *(A)		3,498		343
Zuora Inc, Cl A *		19,364		233
				45,207
Materials — 4.6%
American Vanguard Corp		8,000		106
B2Gold Corp (A)		194,135		1,064
Cabot Corp		7,399		264
Century Aluminum Co *		135,385		807
Clearwater Paper Corp *		3,550		103
Commercial Metals Co		142,450		2,445
Domtar Corp		18,920		386
Flotek Industries Inc *		61,090		60
Forterra Inc *		38,330		338
Gold Resource Corp (A)		113,510		443
HB Fuller Co		14,097		530
Ingevity Corp *		7,410		390
Koppers Holdings Inc *		6,950		115
Livent Corp *(A)		68,874		464
Myers Industries Inc		25,357		345
Neenah Inc		1,170		59

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Novagold Resources Inc *		26,378	$	252
O-I Glass Inc, Cl I		42,289		324
Olin Corp		35,275		424
PH Glatfelter Co		3,440		53
Quaker Chemical Corp		5,083		868
Ranpak Holdings Corp, Cl A *(A)		61,574		461
Ryerson Holding Corp *		14,881		74
Schnitzer Steel Industries Inc, Cl A		10,350		163
Scotts Miracle-Gro Co/The, Cl A		2,682		382
Sensient Technologies Corp		6,439		323
Silgan Holdings Inc		29,548		988
SunCoke Energy Inc		28,600		98
Tredegar Corp		3,130		48
Valvoline Inc		44,012		808
Verso Corp		26,860		386
WR Grace & Co		16,791		877
				14,448
Real Estate — 2.6%
Alexandria Real Estate Equities Inc ‡		6,194		952
Americold Realty Trust ‡		24,968		892
CatchMark Timber Trust Inc, Cl A ‡		8,860		70
Columbia Property Trust Inc ‡		53,680		683
CorEnergy Infrastructure Trust Inc ‡		4,540		45
CorePoint Lodging Inc ‡		13,380		53
Corporate Office Properties Trust ‡		35,809		894
CTO Realty Growth Inc		1,660		69
Gladstone Commercial Corp ‡		12,040		216
Gladstone Land Corp ‡		12,145		176
Global Medical REIT Inc ‡		13,420		144
Jernigan Capital Inc ‡(A)		12,811		155
Kennedy-Wilson Holdings Inc		50,436		707
Lexington Realty Trust, Cl B ‡		52,300		508
NexPoint Residential Trust Inc ‡		20,085		642
QTS Realty Trust Inc, Cl A ‡		9,760		670
RE/MAX Holdings Inc, Cl A		12,820		359
Redfin Corp *(A)		13,765		413
Retail Value Inc ‡		9,853		114
Seritage Growth Properties ‡		4,530		36
Tejon Ranch Co *		7,490		107
UMH Properties Inc ‡		5,530		69
				7,974
Utilities — 3.0%
Algonquin Power & Utilities Corp		77,175		1,080
American States Water Co		9,508		780
American Water Works Co Inc		7,934		1,008
Artesian Resources Corp, Cl A		3,900		137
Atlantic Power Corp *		130,930		275
Black Hills Corp		9,311		575
Consolidated Water Co Ltd		23,240		345
Genie Energy Ltd, Cl B		40,020		345

7 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Small Cap II Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Hawaiian Electric Industries Inc		10,767	$	425
IDACORP Inc		9,705		905
Portland General Electric Co		29,398		1,385
Pure Cycle Corp *		43,418		441
Spark Energy Inc, Cl A		8,640		71
Spire Inc		11,356		828
UGI Corp		25,546		813
Unitil Corp		1,190		57
York Water Co/The		1,130		50
				9,520
Total Common Stock (Cost $294,242) ($ Thousands)				304,230
	Number of Warrants
WARRANT — 0.0%
Ranpak Holdings Corp, Expires 06/06/2024 Strike Price $11.50 *		35,296		33
Total Warrant (Cost $45) ($ Thousands)				33
	Number of Rights
RIGHTS — 0.0%
Media General Inc CVR *‡‡(D)		3,306		—
Total Rights (Cost $—) ($ Thousands)				—
	Shares
AFFILIATED PARTNERSHIP — 13.0%
SEI Liquidity Fund, L.P.
0.290% **†(E)		40,658,516		40,682
Total Affiliated Partnership (Cost $40,663) ($ Thousands)				40,682
CASH EQUIVALENT — 2.9%
SEI Daily Income Trust, Government Fund, Cl F
0.090% **†		8,950,818		8,951
Total Cash Equivalent (Cost $8,951) ($ Thousands)				8,951
Total Investments in Securities — 113.1% (Cost $343,901) ($ Thousands)			$	353,896

8 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Small Cap II Fund (Concluded)

May 31, 2020

A list of open futures contracts held by the Fund at May 31, 2020, is as follows:

Type of Contract	Number of Contracts Long		Expiration Date		Notional Amount (Thousands)		Value (Thousands)		Unrealized Appreciation (Depreciation) (Thousands)
Russell 2000 Index E-MINI		3		Jun-2020	$	209	$	209	$	—

Percentages are based on Net Assets of $312,950 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2020.

† Investment in Affiliated Security (see Note 6).

‡ Real Estate Investment Trust.

‡‡ Expiration date not available.

(A) Certain securities or partial positions of certain securities are on loan at May 31, 2020 (See Note 12). The total market value of securities on loan at May 31, 2020 was $39,801 ($ Thousands).

(B) Security is a Master Limited Partnership. At May 31, 2020, such securities amounted to $580 ($ Thousands), or 0.2% of Net Assets of the Fund (See Note 2).

(C) Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of May 31, 2020 was $2 ($ Thousands) and represented 0.0% of the Net Assets of the Fund.

(D) Level 3 security in accordance with fair value hierarchy.

(E) This security was purchased with cash collateral held from securities on loan (See Note 12). The total market value of such securities as of May 31, 2020 was $40,682 ($ Thousands).

ADR — American Depositary Receipt

Cl — Class

CVR — Contingent Value Rights

L.P. — Limited Partnership

Ltd. — Limited

PLC — Public Limited Company

SPX — Standard & Poor’s 500 Index

The following is a list of the level of inputs used as of May 31, 2020, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1 ($)		Level 2 ($)		Level 3  ($)(1)		Total ($)
Common Stock		304,228		—		2		304,230
Warrant		—		33		—		33
Rights		—		—		—		—
Affiliated Partnership		—		40,682		—		40,682
Cash Equivalent		8,951		—		—		8,951
Total Investments in Securities		313,179		40,715		2		353,896

Other Financial Instruments	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Futures Contracts*
Unrealized Appreciation		—		—		—		—
Total Other Financial Instruments		—		—		—		—

(1) A reconciliation of Level 3 instruments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. Management has concluded that Level 3 investments are not material in relation to net assets.

* Futures contracts are valued at the unrealized appreciation on the instrument.

For the year ended May 31, 2020, there were no transfers in or out of Level 3.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

The following is a summary of the Fund’s transactions with affiliates for the year ended May 31, 2020 ($ Thousands):

Security Description	Value 5/31/2019			Purchases at Cost			Proceeds from Sales				Realized Gain/(Loss)			Change in Unrealized Appreciation			Value 5/31/2020			Shares		Income			Capital Gains
SEI Liquidity Fund, L.P.		$	44,446		$	175,200		$	(178,983	)		$	—		$	19		$	40,682		40,658,516		$	225		$	—
SEI Daily Income Trust, Government Fund, Cl F			10,903			152,141			(154,093	)			—			—			8,951		8,950,818			182			—
Totals		$	55,349		$	327,341		$	(333,076	)		$	—		$	19		$	49,633				$	407		$	—

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

9 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Small/Mid Cap Equity Fund

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK — 95.8%
Communication Services — 2.9%
AMC Networks Inc, Cl A *(A)		33,600	$	950
Bandwidth Inc, Cl A *(A)		6,408		710
Cable One Inc		1,830		3,453
Cargurus Inc, Cl A *		21,008		546
Cars.com Inc *(A)		51,100		315
CenturyLink Inc (A)		68,600		674
Cinemark Holdings Inc *		64,742		973
Cogent Communications Holdings Inc		44,052		3,371
Entercom Communications Corp, Cl A *(A)		173,700		290
EverQuote Inc, Cl A *(A)		52,844		2,849
IAC/interactivecorp *		6,421		1,736
Nexstar Media Group Inc, Cl A		88,087		7,339
TEGNA Inc		72,400		849
ViacomCBS Inc, Cl B (A)		56,500		1,172
				25,227
Consumer Discretionary — 9.9%
Aaron’s Inc		79,774		2,944
Adient PLC *		38,300		652
American Axle & Manufacturing Holdings Inc *		90,600		644
American Eagle Outfitters Inc (A)		63,000		577
Big Lots Inc (A)		32,600		1,263
Bloomin’ Brands Inc *		41,998		479
BorgWarner Inc (A)		34,400		1,106
Bright Horizons Family Solutions Inc *		3,540		396
Brinker International Inc *(A)		15,900		419
Brunswick Corp/DE		27,691		1,523
Capri Holdings Ltd *		31,200		469
Carter’s Inc *		16,022		1,376
Cooper Tire & Rubber Co		27,500		708
Cooper-Standard Holdings Inc *		7,200		76
Core-Mark Holding Co Inc		131,644		3,683
Deckers Outdoor Corp *		5,335		974
Dick’s Sporting Goods Inc *		38,000		1,370
Dillard’s Inc, Cl A (A)		20,600		618
Domino’s Pizza Inc		9,581		3,697
El Pollo Loco Holdings Inc *(A)		48,500		673
Ethan Allen Interiors Inc *(A)		42,200		477
Foot Locker Inc *		47,100		1,305
Fox Factory Holding Corp *(A)		18,741		1,351
frontdoor Inc *		37,489		1,711
Goodyear Tire & Rubber Co/The *		69,900		532
Grand Canyon Education Inc *		9,990		975
Group 1 Automotive Inc *(A)		22,327		1,405
Hanesbrands Inc (A)		244,567		2,411
Harley-Davidson Inc (A)		42,300		903
Haverty Furniture Cos Inc (A)		52,200		903
Installed Building Products Inc *		14,509		933
Kohl’s Corp *(A)		36,700		706
Lear Corp *		9,400		997
Lithia Motors Inc, Cl A		33,529		4,043

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Malibu Boats Inc, Cl A *		22,900	$	1,079
MDC Holdings Inc		30,600		1,040
Monro Inc (A)		48,852		2,692
Murphy USA Inc *		5,810		675
Office Depot Inc *		437,200		1,080
Perdoceo Education Corp *		51,621		840
PetMed Express Inc (A)		18,000		650
Pinterest Inc, Cl A *		132,256		2,684
Planet Fitness Inc, Cl A *		14,500		937
Polaris Inc		10,700		935
Pool Corp		14,058		3,782
PulteGroup Inc		40,500		1,376
PVH Corp *(A)		21,600		982
Sally Beauty Holdings Inc *(A)		209,144		2,727
Scientific Games Corp, Cl A *(A)		56,600		890
Shutterstock Inc (A)		23,316		884
Skechers USA Inc, Cl A *		89,780		2,812
Sonic Automotive Inc, Cl A		38,500		1,012
Sportsman’s Warehouse Holdings Inc *		94,286		1,053
Strategic Education Inc		4,157		705
Taylor Morrison Home Corp, Cl A *		38,159		738
Toll Brothers Inc		48,700		1,574
TopBuild Corp *		33,455		3,837
Tractor Supply Co		29,635		3,616
TRI Pointe Group Inc *		49,000		702
Wendy’s Co/The		34,076		724
Whirlpool Corp (A)		14,500		1,766
Williams-Sonoma Inc (A)		11,200		932
Wyndham Destinations Inc		40,500		1,288
Zumiez Inc *(A)		24,830		605
				86,916
Consumer Staples — 4.1%
B&G Foods Inc, Cl A (A)		30,416		706
Calavo Growers Inc (A)		48,975		2,866
Casey’s General Stores Inc		20,257		3,236
Church & Dwight Co Inc		44,466		3,338
Freshpet Inc *		57,090		4,406
Hostess Brands Inc, Cl A *		328,572		3,968
Ingles Markets Inc, Cl A (A)		23,000		980
Ingredion Inc		18,200		1,533
J&J Snack Foods Corp		23,944		3,080
JM Smucker Co/The		15,400		1,755
Lamb Weston Holdings Inc		26,512		1,592
Molson Coors Beverage Co, Cl B *(A)		33,900		1,287
National Beverage Corp *(A)		15,505		883
Performance Food Group Co *		18,780		500
PriceSmart Inc		11,035		600
SpartanNash Co		79,900		1,711
Universal Corp/VA		23,000		1,013
WD-40 Co (A)		9,548		1,832

1 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Small/Mid Cap Equity Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Weis Markets Inc		12,900	$	719
				36,005
Energy — 1.7%
Arch Resources Inc *(A)		16,200		534
Cabot Oil & Gas Corp, Cl A		170,317		3,379
DHT Holdings Inc		90,400		537
Dorian LPG Ltd *		65,864		541
HollyFrontier Corp		49,200		1,547
Parsley Energy Inc, Cl A		133,106		1,217
PBF Energy Inc, Cl A *		33,200		352
Phillips 66 Partners LP (B)		52,530		2,347
Rattler Midstream LP (B)		132,575		1,115
Renewable Energy Group Inc *(A)		28,422		809
Southwestern Energy Co *(A)		270,000		813
Viper Energy Partners LP (B)		86,563		908
W&T Offshore Inc *(A)		185,500		484
				14,583
Financials — 12.7%
AG Mortgage Investment Trust Inc *‡(A)		61,500		151
Ally Financial Inc		58,900		1,027
American Equity Investment Life Holding Co		56,636		1,229
American Financial Group Inc/OH		10,000		602
Ameriprise Financial Inc		9,800		1,373
Annaly Capital Management Inc ‡		114,200		704
Ares Capital Corp		35,800		528
Ashford Inc *		239		2
Associated Banc-Corp		124,500		1,744
Assured Guaranty Ltd		37,800		980
Banco Latinoamericano de Comercio Exterior SA, Cl E		30,600		361
Bank OZK (A)		143,288		3,223
BankUnited Inc		37,100		686
BGC Partners Inc, Cl A		746,751		1,923
Brightsphere Investment Group Inc		84,000		701
Chimera Investment Corp ‡(A)		61,200		509
CIT Group Inc		56,500		1,025
Citizens Financial Group Inc		47,600		1,147
CNA Financial Corp		24,700		747
CNO Financial Group Inc		79,400		1,139
Cohen & Steers Inc (A)		68,404		4,347
Columbia Banking System Inc		120,480		2,935
Discover Financial Services		62,551		2,972
Donnelley Financial Solutions Inc *		5,407		44
eHealth Inc *		4,385		572
Encore Capital Group Inc *(A)		23,168		736
Everest Re Group Ltd		4,800		952
FactSet Research Systems Inc		12,833		3,946
Federated Hermes Inc, Cl B		28,600		633
Fifth Third Bancorp		54,100		1,049
First American Financial Corp		20,100		1,015
First Defiance Financial Corp		30,600		508

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
First Financial Bankshares Inc (A)		50,340	$	1,542
First Horizon National Corp (A)		156,900		1,467
First Merchants Corp		50,219		1,409
Flagstar Bancorp Inc		22,890		671
Flushing Financial Corp		36,700		416
FNB Corp/PA		102,600		760
Focus Financial Partners Inc, Cl A *(A)		31,145		867
FS KKR Capital Corp (A)		129,900		482
Fulton Financial Corp		52,100		584
Globe Life Inc		33,551		2,584
Hamilton Lane Inc, Cl A		50,050		3,662
Hancock Whitney Corp		29,700		642
Hanmi Financial Corp		43,000		388
Heartland Financial USA Inc		17,074		547
Hilltop Holdings Inc		32,173		601
Home BancShares Inc/AR		174,403		2,524
Investors Bancorp Inc		65,149		566
KeyCorp		78,400		929
Kinsale Capital Group Inc		27,420		4,094
Lazard Ltd, Cl A (A)(B)		22,300		599
Lincoln National Corp		33,400		1,267
LPL Financial Holdings Inc		19,880		1,419
MarketAxess Holdings Inc		7,441		3,784
Meta Financial Group Inc		7,300		132
MFA Financial Inc *‡(A)		165,000		279
MGIC Investment Corp		111,400		915
Morningstar Inc		6,923		1,061
Mr Cooper Group Inc *		63,869		712
National General Holdings Corp		67,700		1,374
Navient Corp		92,300		687
Oaktree Specialty Lending Corp		218,200		988
OFG Bancorp		42,300		514
Pacific Premier Bancorp Inc		28,600		618
PacWest Bancorp		183,236		3,172
Palomar Holdings, Cl A *		44,400		3,304
PennyMac Financial Services Inc		21,972		738
Popular Inc		29,100		1,149
PRA Group Inc *		20,763		708
Preferred Bank/Los Angeles CA		31,666		1,190
Prospect Capital Corp		159,000		806
Prosperity Bancshares Inc		42,707		2,793
Radian Group Inc		36,065		573
Regions Financial Corp		142,400		1,611
Reinsurance Group of America Inc, Cl A		8,100		735
Republic Bancorp Inc/KY, Cl A		23,300		747
ServisFirst Bancshares Inc (A)		22,600		788
Starwood Property Trust Inc ‡		234,555		3,110
Stifel Financial Corp		31,720		1,513
Synovus Financial Corp		32,000		614
TCF Financial Corp		20,800		602
United Community Banks Inc/GA		73,080		1,429
Universal Insurance Holdings Inc (A)		27,000		482

2 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Small/Mid Cap Equity Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Unum Group		68,500	$	1,038
Valley National Bancorp		79,762		637
Veritex Holdings Inc		30,400		533
Voya Financial Inc		24,900		1,122
Walker & Dunlop Inc		11,213		454
Westamerica BanCorp (A)		12,465		735
WisdomTree Investments Inc		275,362		823
Zions Bancorp NA (A)		54,400		1,790
				111,790
Health Care — 15.6%
ABIOMED Inc *		6,136		1,374
Addus HomeCare Corp *		22,301		2,207
Agios Pharmaceuticals Inc *		15,745		815
Amphastar Pharmaceuticals Inc *		34,500		643
Arvinas Inc *(A)		17,000		566
Athenex Inc *(A)		62,272		677
AtriCure Inc *		40,590		1,941
Axogen Inc *		63,337		614
BioTelemetry Inc *		63,599		3,001
Cantel Medical Corp *(A)		58,090		2,444
Cerus Corp *(A)		119,000		740
Change Healthcare Inc *		183,262		2,287
Chemed Corp		10,314		4,935
Clovis Oncology Inc *		100,000		692
Collegium Pharmaceutical Inc *(A)		35,600		785
Cooper Cos Inc/The		4,276		1,355
CryoPort Inc *(A)		84,705		2,081
CytomX Therapeutics Inc *		75,900		672
DaVita Inc *		15,100		1,223
DBV Technologies SA ADR *		78,698		382
Deciphera Pharmaceuticals Inc *		15,928		933
Dicerna Pharmaceuticals Inc *		41,300		891
Encompass Health Corp		47,015		3,444
Endologix Inc *(A)		108,804		80
Ensign Group Inc/The		135,753		5,935
Epizyme Inc *		35,600		625
Esperion Therapeutics Inc *		16,900		716
Exact Sciences Corp *(A)		9,822		844
Five Star Senior Living Inc *		10,272		38
G1 Therapeutics Inc *(A)		44,600		757
Global Blood Therapeutics Inc *(A)		8,690		608
Haemonetics Corp *		21,575		2,366
Halozyme Therapeutics Inc *		38,125		925
Health Catalyst Inc *(A)		22,233		603
HealthEquity Inc *		33,431		2,072
Heron Therapeutics Inc *(A)		61,573		1,122
Heska Corp *(A)		8,200		721
Hologic Inc *		24,843		1,317
Immunomedics Inc *(A)		118,658		3,986
Innoviva Inc *(A)		147,800		2,065
Insulet Corp *(A)		7,279		1,373
Integer Holdings Corp *		9,756		772

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Integra LifeSciences Holdings Corp *		9,661	$	503
Jazz Pharmaceuticals PLC *		18,400		2,196
Kodiak Sciences Inc *(A)		14,063		909
Lannett Co Inc *(A)		35,947		275
Lantheus Holdings Inc *		79,057		1,085
Ligand Pharmaceuticals Inc *(A)		44,119		4,481
Luminex Corp		88,580		2,760
Masimo Corp *		18,275		4,389
MEDNAX Inc *(A)		120,446		1,870
Merit Medical Systems Inc *(A)		53,638		2,413
Molina Healthcare Inc *		8,000		1,487
Neurocrine Biosciences Inc *		9,229		1,151
Nevro Corp *(A)		4,935		620
NuVasive Inc *		11,684		708
Pacira BioSciences Inc *		17,622		774
PRA Health Sciences Inc *		4,855		503
Precision BioSciences Inc *		26,912		189
Prestige Consumer Healthcare Inc *		15,591		658
Progyny Inc *(A)		63,420		1,583
Quest Diagnostics Inc		30,527		3,611
Quidel Corp *		35,910		6,284
REGENXBIO Inc *		15,900		599
Repligen Corp *		39,742		5,205
ResMed Inc		25,416		4,087
Retrophin Inc *		40,900		642
Revance Therapeutics Inc *(A)		36,161		756
Select Medical Holdings Corp *		30,998		500
STERIS PLC		46,624		7,734
Syneos Health Inc, Cl A *		96,093		5,861
Teladoc Health Inc *(A)		8,260		1,438
Tenet Healthcare Corp *		37,200		809
Theravance Biopharma Inc *(A)		30,800		778
United Therapeutics Corp *		8,800		1,038
Universal Health Services Inc, Cl B *		13,300		1,402
US Physical Therapy Inc (A)		31,305		2,321
Vapotherm Inc *		79,525		2,118
Viking Therapeutics Inc *(A)		88,634		634
Xencor Inc *		20,000		605
Zynex Inc *(A)		38,561		748
				137,351
Industrials — 17.6%
AAON Inc (A)		11,500		623
ABM Industries Inc		63,461		1,950
AeroVironment Inc *		9,813		695
AGCO Corp		20,900		1,154
Air Transport Services Group Inc *		65,213		1,405
Allison Transmission Holdings Inc, Cl A		26,500		1,000
Apogee Enterprises Inc		31,100		642
Applied Industrial Technologies Inc		12,272		712
ArcBest Corp		28,600		640
ASGN Inc *		12,300		758
Atlas Air Worldwide Holdings Inc *		20,470		800

3 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Small/Mid Cap Equity Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
BMC Stock Holdings Inc *		28,386	$	743
Builders FirstSource Inc *		34,270		713
BWX Technologies Inc		123,403		7,721
CBIZ Inc *		25,858		586
CH Robinson Worldwide Inc (A)		12,164		987
Chart Industries Inc *		20,612		809
Cimpress PLC *(A)		12,276		1,106
Clean Harbors Inc *		31,075		1,846
Colfax Corp *(A)		151,396		4,248
Deluxe Corp		35,400		826
Ennis Inc		45,100		803
Enphase Energy Inc *(A)		15,996		931
Exponent Inc		97,116		7,210
Federal Signal Corp		61,455		1,791
Forward Air Corp		18,611		925
Foundation Building Materials Inc *		50,000		666
FTI Consulting Inc *		4,856		585
Generac Holdings Inc *		46,770		5,204
Heartland Express Inc		37,503		821
HEICO Corp (A)		25,755		2,595
Huntington Ingalls Industries Inc		21,374		4,272
IAA Inc *		84,983		3,484
Interface Inc, Cl A		58,235		494
JetBlue Airways Corp *(A)		108,000		1,088
John Bean Technologies Corp		39,294		3,228
Kaman Corp		60,285		2,411
KAR Auction Services Inc *		204,750		2,938
Kennametal Inc		24,414		677
Kirby Corp *		39,480		2,025
Landstar System Inc		20,603		2,395
ManpowerGroup Inc		17,800		1,231
MasTec Inc *(A)		28,998		1,135
Matson Inc		23,728		678
Mercury Systems Inc *		67,772		6,055
Meritor Inc *		72,100		1,469
Middleby Corp/The *(A)		26,218		1,785
MSA Safety Inc		21,458		2,552
MSC Industrial Direct Co Inc, Cl A		43,507		3,017
Navistar International Corp *		39,235		986
Nordson Corp		24,396		4,595
Oshkosh Corp		21,800		1,566
Owens Corning		24,100		1,265
Patrick Industries Inc		16,441		853
Pitney Bowes Inc (A)		103,400		245
Quad/Graphics Inc, Cl A *		53,700		153
Quanta Services Inc		31,700		1,171
RBC Bearings Inc *(A)		17,480		2,459
Regal Beloit Corp		15,000		1,193
Ritchie Bros Auctioneers Inc		65,584		2,838
Ryder System Inc		74,829		2,564
Sensata Technologies Holding PLC *		60,041		2,140
SiteOne Landscape Supply Inc *(A)		7,324		779

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
SkyWest Inc *		26,700	$	856
Snap-on Inc (A)		32,030		4,154
Spartan Motors Inc		50,704		866
SPX Corp *		16,800		672
Steelcase Inc, Cl A		69,700		807
Teledyne Technologies Inc *		8,437		3,156
Tennant Co		20,407		1,305
Terex Corp *		34,900		549
Tetra Tech Inc		47,928		3,782
Textron Inc		28,200		873
Timken Co/The		22,300		949
Toro Co/The		38,331		2,724
Trex Co Inc *(A)		45,180		5,427
TriNet Group Inc *		87,355		4,694
Trinity Industries Inc (A)		159,993		3,195
Triton International Ltd/Bermuda		42,600		1,299
Tutor Perini Corp *		67,700		711
United Rentals Inc *(A)		15,300		2,125
Vectrus Inc *		12,800		703
Wabash National Corp (A)		57,200		546
Woodward Inc		8,457		580
				155,209
Information Technology — 17.4%
2U Inc *(A)		75,556		2,756
ACI Worldwide Inc *		268,205		7,397
Alarm.com Holdings Inc *(A)		12,856		608
Amdocs Ltd		17,500		1,090
Amkor Technology Inc *		159,161		1,684
Arrow Electronics Inc *		15,300		1,057
Avalara Inc *		51,200		5,481
Badger Meter Inc (A)		52,020		3,183
Belden Inc (A)		39,544		1,346
Box Inc, Cl A *		43,700		873
Broadridge Financial Solutions Inc		28,269		3,423
Cabot Microelectronics Corp		25,311		3,667
CACI International Inc, Cl A *		3,507		879
Calix Inc *		56,200		792
CDK Global Inc		25,600		1,006
ChannelAdvisor Corp *		37,143		518
Ciena Corp *		34,500		1,906
Cirrus Logic Inc *		17,268		1,252
Cloudera Inc *(A)		80,689		827
Cognex Corp		58,002		3,291
Digital Turbine Inc *		121,485		780
Diodes Inc *		22,400		1,090
Dolby Laboratories Inc, Cl A		17,335		1,053
Ebix Inc (A)		31,800		713
ePlus Inc *		9,550		704
Euronet Worldwide Inc *		14,437		1,368
Everbridge Inc *		27,535		4,027
FireEye Inc *		114,898		1,434
FormFactor Inc *		27,600		695

4 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Small/Mid Cap Equity Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Gartner Inc *		9,456	$	1,151
Inseego Corp *(A)		61,100		649
Insight Enterprises Inc *(A)		26,900		1,379
InterDigital Inc		11,600		638
Itron Inc *		22,957		1,479
J2 Global Inc *		85,991		6,733
Jabil Inc		59,600		1,783
Jack Henry & Associates Inc		19,738		3,570
Littelfuse Inc		15,708		2,552
LivePerson Inc *(A)		61,230		2,293
LogMeIn Inc *		23,517		1,997
Lumentum Holdings Inc *		7,537		553
ManTech International Corp/VA, Cl A		38,229		2,972
MAXIMUS Inc		43,388		3,125
Model N Inc *		27,553		885
Monolithic Power Systems Inc		24,075		5,050
NCR Corp *		36,300		655
NeoPhotonics Corp *		67,800		588
New Relic Inc *		18,509		1,224
Nova Measuring Instruments Ltd *		44,460		2,121
Novanta Inc *		25,710		2,641
Nuance Communications Inc *		131,276		3,004
ON Semiconductor Corp *		210,655		3,474
OSI Systems Inc *(A)		7,130		540
Pluralsight Inc, Cl A *(A)		110,684		2,306
Power Integrations Inc		36,360		3,940
Proofpoint Inc *		8,518		990
Qualys Inc *(A)		5,866		676
RingCentral Inc, Cl A *		16,515		4,529
Sanmina Corp *		32,000		851
Science Applications International Corp		7,700		678
Seagate Technology PLC		31,500		1,671
Silicon Laboratories Inc *		31,745		2,973
Silicon Motion Technology Corp ADR		93,847		4,230
SolarWinds Corp *(A)		128,555		2,351
SS&C Technologies Holdings Inc		13,309		771
Switch Inc, Cl A (A)		21,655		414
SYNNEX Corp *		9,965		1,063
Tenable Holdings Inc *		23,900		747
Teradyne Inc		16,000		1,072
Trimble Inc *		29,407		1,150
TTEC Holdings Inc		16,178		685
TTM Technologies Inc *		68,500		792
Ultra Clean Holdings Inc *		36,731		761
Universal Display Corp		20,080		2,944
Verint Systems Inc *		66,085		3,064
Viavi Solutions Inc *		273,005		3,164
Vishay Intertechnology Inc		33,690		548
Western Union Co/The (A)		51,600		1,033
Wix.com Ltd *		2,831		629
WNS Holdings Ltd ADR *		30,785		1,488
Workiva Inc, Cl A *		17,587		783

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Xerox Holdings Corp		43,900	$	697
				152,956
Materials — 4.5%
Ashland Global Holdings Inc		43,013		2,889
Axalta Coating Systems Ltd *		91,903		2,124
Cabot Corp		41,400		1,479
Chemours Co (A)		52,200		684
Clearwater Paper Corp *		26,500		768
Cleveland-Cliffs Inc *(A)		86,900		454
Commercial Metals Co		48,230		828
Domtar Corp *		36,200		738
Eastman Chemical Co		28,800		1,961
FMC Corp		73,699		7,253
Forterra Inc *(A)		56,474		498
Graphic Packaging Holding Co		47,377		685
Huntsman Corp		90,700		1,646
Kraton Corp *		46,400		708
Minerals Technologies Inc		15,200		749
O-I Glass Inc, Cl I *		95,900		734
Quaker Chemical Corp (A)		20,081		3,431
Reliance Steel & Aluminum Co		12,800		1,241
Schweitzer-Mauduit International Inc		20,200		614
Silgan Holdings Inc		184,932		6,184
Steel Dynamics Inc		69,300		1,841
Trinseo SA		32,100		661
Westrock Co		55,000		1,543
				39,713
Real Estate — 6.7%
Alexandria Real Estate Equities Inc ‡		24,532		3,771
Americold Realty Trust ‡		138,939		4,962
Ashford Hospitality Trust Inc *‡		134,100		93
Braemar Hotels & Resorts Inc *‡		3,000		10
Brandywine Realty Trust ‡		80,600		778
Brixmor Property Group Inc *‡		115,600		1,290
Chatham Lodging Trust *‡		53,400		360
City Office REIT Inc ‡		72,700		675
Community Healthcare Trust Inc ‡		17,800		648
CoreCivic Inc ‡		62,100		747
DiamondRock Hospitality Co *‡		122,500		734
Diversified Healthcare Trust ‡		151,600		543
EastGroup Properties Inc ‡		6,814		792
Franklin Street Properties Corp ‡		150,900		806
Gaming and Leisure Properties Inc ‡		156,003		5,388
GEO Group Inc/The ‡		38,900		466
Gladstone Commercial Corp ‡		42,300		758
Global Medical REIT Inc ‡		60,566		649
Hannon Armstrong Sustainable Infrastructure Capital Inc ‡(A)		24,431		709
Healthcare Realty Trust Inc ‡		21,700		666
Howard Hughes Corp/The *		44,356		2,247
Industrial Logistics Properties Trust ‡		35,900		673

5 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Small/Mid Cap Equity Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Innovative Industrial Properties Inc, Cl A ‡(A)		7,977	$	652
Invitation Homes Inc ‡		55,919		1,471
Kennedy-Wilson Holdings Inc		187,556		2,630
Kite Realty Group Trust ‡(A)		70,700		686
Lexington Realty Trust, Cl B ‡		111,400		1,083
Medical Properties Trust Inc ‡		343,023		6,202
National Storage Affiliates Trust ‡		23,666		710
Newmark Group Inc, Cl A		169,175		719
NexPoint Residential Trust Inc ‡		76,710		2,453
Office Properties Income Trust ‡		45,400		1,148
Omega Healthcare Investors Inc ‡		29,900		931
Outfront Media Inc *‡		85,200		1,196
Paramount Group Inc ‡		94,700		730
Piedmont Office Realty Trust Inc, Cl A ‡		55,300		922
QTS Realty Trust Inc, Cl A ‡		12,628		866
Redfin Corp *(A)		29,277		878
Retail Properties of America Inc, Cl A *‡		96,000		520
Retail Value Inc ‡		6,050		70
Rexford Industrial Realty Inc ‡		100,846		4,014
RPT Realty *‡		65,300		377
Sabra Health Care Inc ‡		60,000		808
Service Properties Trust ‡		48,500		327
SITE Centers Corp *‡		56,700		321
Tanger Factory Outlet Centers Inc *‡(A)		58,900		362
VEREIT Inc ‡		162,400		890
Xenia Hotels & Resorts Inc *‡		46,100		415
				59,146
Utilities — 2.7%
AES Corp		48,100		601
Algonquin Power & Utilities Corp (A)		295,168		4,132
American States Water Co		44,356		3,638
American Water Works Co Inc		31,052		3,944
Chesapeake Utilities Corp		8,725		788
Clearway Energy Inc, Cl C		43,427		952
National Fuel Gas Co (A)		28,600		1,200
NRG Energy Inc		45,700		1,647
PNM Resources Inc (A)		15,400		629
Southwest Gas		9,180		697
TerraForm Power Inc, Cl A		35,900		660
UGI Corp		98,725		3,143
Vistra Energy Corp		70,800		1,447
				23,478
Total Common Stock (Cost $810,657) ($ Thousands)				842,374

Description	Shares		Market Value ($ Thousands)
AFFILIATED PARTNERSHIP — 16.0%
SEI Liquidity Fund, L.P.
0.290% **†(C)		140,737,690	$	140,805
Total Affiliated Partnership (Cost $140,752) ($ Thousands)				140,805
CASH EQUIVALENT — 5.6%
SEI Daily Income Trust, Government Fund, Cl F
0.090%**†		49,188,496		49,188
Total Cash Equivalent (Cost $49,188) ($ Thousands)				49,188
Total Investments in Securities —117.4% (Cost $1,000,597) ($ Thousands)			$	1,032,367

6 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Small/Mid Cap Equity Fund (Concluded)

May 31, 2020

A list of open futures contracts held by the Fund at May 31, 2020, is as follows:

Type of Contract	Number of Contracts Long		Expiration Date		Notional Amount (Thousands)		Value (Thousands)		Unrealized Appreciation (Thousands)
Russell 2000 Index E-MINI		34		Jun-2020	$	2,185	$	2,368	$	183
S&P Mid Cap 400 Index E-MINI		13		Jun-2020		2,114		2,291		177
					$	4,299	$	4,659	$	360

Percentages are based on Net Assets of $879,022 ($ Thousands).

* Non-income producing security.

** Rate shown is the 7-day effective yield as of May 31, 2020.

† Investment in Affiliated Security (See Note 6).

‡ Real Estate Investment Trust.

(A) Certain securities or partial positions of certain securities are on loan at May 31, 2020 (See Note 12). The total market value of securities on loan at May 31, 2020 was $136,369 ($ Thousands).

(B) Security is a Master Limited Partnership. At May 31, 2020, such securities amounted to $4,969 ($ Thousands), or 0.6% of Net Assets (See Note 2).

(C) This security was purchased with cash collateral held from securities on loan (See Note 12). The total market value of such securities as of May 31, 2020 was $140,805 ($ Thousands).

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

Ltd. — Limited

PLC — Public Limited Company

REIT — Real Estate investment Trust

S&P— Standard & Poor’s

SPX — Standard & Poor’s 500 Index

The following is a list of the level of inputs used as of May 31, 2020, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Common Stock		842,374		—		—		842,374
Affiliated Partnership		—		140,805		—		140,805
Cash Equivalent		49,188		—		—		49,188
Total Investments in Securities		891,562		140,805		—		1,032,367

Other Financial Instruments	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Futures Contracts*
Unrealized Appreciation		360		—		—		360
Total Other Financial Instruments		360		—		—		360

* Futures contracts are valued at the unrealized appreciation on the instrument.

For the year ended May 31, 2020, there were no transfers in or out of Level 3.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

The following is a summary of the Fund’s transactions with affiliates for the year ended May 31, 2020 ($ Thousands):

Security Description	Value 5/31/2019			Purchases at Cost			Proceeds from Sales				Realized Gain			Change in Unrealized Appreciation			Value 5/31/2020			Shares		Income			Capital Gains
SEI Liquidity Fund, L.P.		$	115,595		$	508,617		$	(483,466	)		$	2		$	57		$	140,805		140,737,690		$	705		$	—
SEI Daily Income Trust, Government Fund, Cl F			78,961			416,485			(446,258	)			—			—			49,188		49,188,496			683			—
Totals		$	194,556		$	925,102		$	(929,724	)		$	2		$	57		$	189,993				$	1,388		$	—

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

7 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

U.S. Equity Factor Allocation Fund

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK — 97.2%
Communication Services — 7.2%
Alphabet Inc, Cl A *		6,380	$	9,146
Alphabet Inc, Cl C *		6,713		9,592
AT&T Inc		200,913		6,200
Cardlytics Inc *		549		37
Cargurus Inc, Cl A *		7,119		185
Central European Media Enterprises Ltd, Cl A *		12,531		50
CenturyLink Inc		19,048		187
Cogent Communications Holdings Inc		5,915		453
Comcast Corp, Cl A		51,321		2,032
EverQuote Inc, Cl A *		1,260		68
Facebook Inc, Cl A *		38,732		8,718
FactSet Research Systems Inc		3,020		929
IAC/interactivecorp *		6,541		1,769
John Wiley & Sons Inc, Cl A		10,620		427
Liberty Latin America Ltd, Cl A *		6,692		67
Liberty Latin America Ltd, Cl C *		16,381		157
Liberty Media Corp-Liberty SiriusXM, Cl A *		6,907		252
Liberty Media Corp-Liberty SiriusXM, Cl C *		12,679		462
Match Group Inc *		5,767		514
News Corp		32,414		397
News Corp, Cl A		97,800		1,198
Omnicom Group Inc		75,169		4,119
Scholastic Corp		5,818		171
Sirius XM Holdings Inc		112,037		652
Stamps.com Inc *		800		159
TechTarget Inc *		3,277		90
TripAdvisor Inc *		28,151		543
Verizon Communications Inc		81,338		4,667
Yelp Inc, Cl A *		26,915		585
Zynga Inc, Cl A *		123,070		1,126
				54,952
Consumer Discretionary — 10.7%
Acushnet Holdings Corp		5,087		170
Amazon.com Inc *		4,445		10,856
American Public Education Inc *		2,659		84
AutoZone Inc *		2,403		2,758
Best Buy Co Inc		74,076		5,785
Booking Holdings Inc *		1,854		3,039
Bright Horizons Family Solutions Inc *		2,279		255
Buckle Inc/The *		4,180		59
Cato Corp/The, Cl A *		467		5
Crocs Inc *		8,883		254
Deckers Outdoor Corp *		11,489		2,097
Dick’s Sporting Goods Inc *		9,041		326
Domino’s Pizza Inc		1,584		611
eBay Inc		245,364		11,174
Ethan Allen Interiors Inc *		1,953		22
Expedia Group Inc *		35,939		2,856
Garmin Ltd		25,447		2,295
General Motors Co *		25,504		660

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Genesco Inc *		2,079	$	38
Genuine Parts Co		2,662		222
Graham Holdings Co, Cl B		1,129		404
Group 1 Automotive Inc *		2,524		159
H&R Block Inc		28,749		489
Haverty Furniture Cos Inc		1,674		29
Hibbett Sports Inc *		2,238		43
Home Depot Inc/The		7,580		1,883
Hyatt Hotels Corp, Cl A *		3,387		187
Johnson Outdoors Inc, Cl A		731		57
K12 Inc *		7,966		196
KB Home		3,549		117
Laureate Education Inc, Cl A *		30,332		295
Lennar Corp, Cl A		7,490		453
Lithia Motors Inc, Cl A		333		40
Lululemon Athletica Inc *		10,026		3,009
McDonald’s Corp		7,162		1,334
Meritage Homes Corp *		13,792		959
NIKE Inc, Cl B		14,668		1,446
NVR Inc *		244		786
Office Depot Inc *		54,600		135
Perdoceo Education Corp *		22,097		360
PetMed Express Inc		2,850		103
Pool Corp		3,095		833
PulteGroup Inc		104,770		3,559
Ralph Lauren Corp, Cl A *		4,311		326
Rent-A-Center Inc/TX, Cl A		19,402		494
RH *		2,407		522
Ross Stores Inc *		21,507		2,085
Shoe Carnival Inc		1,351		35
Signet Jewelers Ltd *		3,066		32
Sleep Number Corp *		3,551		111
Sonic Automotive Inc, Cl A		3,462		91
Starbucks Corp		20,398		1,591
Steven Madden Ltd *		22,622		532
Target Corp		43,001		5,260
Taylor Morrison Home Corp, Cl A *		15,144		293
Tesla Inc *		1,080		902
TJX Cos Inc/The *		29,484		1,556
Toll Brothers Inc		21,727		702
TopBuild Corp *		4,859		557
TRI Pointe Group Inc *		37,262		534
Universal Electronics Inc *		1,932		87
Williams-Sonoma Inc		9,736		810
Wingstop Inc		4,294		524
Winmark Corp		353		51
World Fuel Services Corp		4,053		103
Yum China Holdings Inc *		32,553		1,509
Yum! Brands Inc		16,575		1,486

1 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

U.S. Equity Factor Allocation Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Zumiez Inc *		2,860	$	70
				80,705
Consumer Staples — 8.9%
BellRing Brands Inc, Cl A *		5,733		115
Boston Beer Co Inc/The, Cl A *		1,178		665
Bunge Ltd		37,262		1,454
Church & Dwight Co Inc		13,907		1,044
Clorox Co/The		8,700		1,794
Colgate-Palmolive Co		19,958		1,444
Costco Wholesale Corp		5,922		1,827
Deluxe Corp		9,803		229
elf Beauty Inc *		3,779		65
Estee Lauder Cos Inc/The, Cl A *		28,108		5,551
Flowers Foods Inc		42,221		996
Freshpet Inc *		4,002		309
General Mills Inc		6,868		433
Hain Celestial Group Inc/The *		4,650		146
Hershey Co/The		17,111		2,322
Hostess Brands Inc, Cl A *		26,940		325
Ingles Markets Inc, Cl A		1,869		80
Ingredion Inc		1,679		141
J&J Snack Foods Corp		1,050		135
Kellogg Co		19,609		1,280
Keurig Dr Pepper Inc		17,651		493
Kimberly-Clark Corp		9,652		1,365
Kroger Co/The		49,400		1,611
Medifast Inc		2,998		307
Monster Beverage Corp *		46,238		3,325
Nu Skin Enterprises Inc, Cl A		13,237		492
PepsiCo Inc		34,193		4,498
Performance Food Group Co *		10,993		293
Philip Morris International Inc		52,306		3,837
Procter & Gamble Co/The		119,762		13,883
SpartanNash Co		5,250		112
Sprouts Farmers Market Inc *		17,300		435
Sysco Corp		42,012		2,317
Tyson Foods Inc, Cl A		3,210		197
Universal Corp/VA		2,302		101
USANA Health Sciences Inc *		5,237		444
Vector Group Ltd		16,665		191
Walgreens Boots Alliance Inc		33,900		1,456
Walmart Inc		91,548		11,357
WD-40 Co		1,129		217
Weis Markets Inc		1,994		111
				67,397
Energy — 1.8%
Arch Resources Inc *		2,762		91
Chevron Corp		13,623		1,249
ConocoPhillips		156,603		6,606
CVR Energy Inc		1,542		31
DHT Holdings Inc		12,700		75

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Dorian LPG Ltd *		3,964	$	33
EOG Resources Inc		5,902		301
Exxon Mobil Corp		23,186		1,054
Helix Energy Solutions Group Inc *		20,067		67
HollyFrontier Corp		20,313		639
Murphy USA Inc *		7,508		872
Phillips 66		29,008		2,270
SFL Corp Ltd		11,900		118
WPX Energy Inc *		7,476		43
				13,449
Financials — 11.0%
Aflac Inc		25,298		923
AGNC Investment Corp ‡		44,238		572
Alleghany Corp *		1,161		596
Allstate Corp/The		15,871		1,552
American International Group Inc		23,030		692
Arch Capital Group Ltd *		32,543		918
Artisan Partners Asset Management Inc, Cl A		17,182		498
Associated Banc-Corp		41,915		587
Axis Capital Holdings Ltd		20,696		777
Bank of America Corp		6,649		160
Bank of New York Mellon Corp/The		72,764		2,705
BGC Partners Inc, Cl A		80,911		208
Bridge Bancorp Inc		2,332		50
Cactus Inc, Cl A		5,468		104
Cannae Holdings Inc *		9,723		358
Capitol Federal Financial Inc		10,779		125
CBTX Inc		2,575		53
Citigroup Inc		198,070		9,490
Cohen & Steers Inc		3,194		203
Columbia Financial Inc *		7,518		106
Cowen Inc, Cl A		2,773		36
Customers Bancorp Inc *		7,780		86
Diamond Hill Investment Group Inc *		195		20
Encore Capital Group Inc *		1,214		39
Equitable Holdings Inc		53,548		1,023
Everest Re Group Ltd		3,184		632
Federated Hermes Inc, Cl B		37,605		833
FGL Holdings		29,833		249
Fidelity National Financial Inc		30,213		964
Fifth Third Bancorp		158,267		3,069
Financial Institutions Inc		1,638		29
First Hawaiian Inc		19,006		328
Flagstar Bancorp Inc		6,970		204
Flushing Financial Corp		2,726		31
Focus Financial Partners Inc, Cl A *		4,500		125
Gentex Corp		17,736		469
Hanover Insurance Group Inc/The		3,129		314
Hartford Financial Services Group Inc/The		26,601		1,019
Hilltop Holdings Inc		18,806		352
HomeStreet Inc		8,231		196
INTL. FCStone Inc *		1,100		56

2 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

U.S. Equity Factor Allocation Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Investors Bancorp Inc		61,209	$	531
JPMorgan Chase & Co		29,305		2,852
Kemper Corp		1,838		117
Legg Mason Inc		33,591		1,674
Loews Corp		20,280		674
LPL Financial Holdings Inc		11,674		833
MetLife Inc		124,109		4,469
Metropolitan Bank Holding Corp *		927		26
MFA Financial Inc *‡		64,693		109
MGIC Investment Corp		30,494		250
Mr Cooper Group Inc *		10,937		122
Navient Corp		24,762		184
New York Community Bancorp Inc		66,636		670
OneMain Holdings Inc, Cl A		9,367		219
Opus Bank		3,150		61
PennyMac Financial Services Inc		3,572		120
PJT Partners Inc		3,300		181
Powell Industries Inc		1,283		34
PRA Group Inc *		6,527		223
Preferred Bank/Los Angeles CA		1,995		75
Principal Financial Group Inc		71,838		2,774
Progressive Corp/The		6,985		543
Prosperity Bancshares Inc		1,200		78
Prudential Financial Inc		48,978		2,986
QCR Holdings Inc		2,121		64
Radian Group Inc		29,220		464
Reinsurance Group of America Inc, Cl A		6,326		574
RenaissanceRe Holdings Ltd		1,844		310
S&P Global Inc		9,651		3,137
Signature Bank/New York NY		5,619		578
SLM Corp		175,392		1,330
Southern National Bancorp of Virginia Inc		2,799		28
State Street Corp		28,248		1,722
Stewart Information Services Corp		6,308		194
Synchrony Financial		166,065		3,383
T Rowe Price Group Inc		92,918		11,234
Third Point Reinsurance Ltd *		13,161		97
Travelers Cos Inc/The		10,085		1,079
Unum Group		17,830		270
Virtu Financial Inc, Cl A		7,500		179
Voya Financial Inc		36,179		1,630
Waddell & Reed Financial Inc, Cl A		17,048		222
Washington Federal Inc		6,255		162
Wells Fargo & Co		192,620		5,099
White Mountains Insurance Group Ltd		269		246
WR Berkley Corp		11,807		684
				83,242
Health Care — 15.3%
AbbVie Inc		11,329		1,050
Accuray Inc *		12,676		27
Agilent Technologies Inc		17,271		1,522
Alexion Pharmaceuticals Inc *		7,647		917

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Align Technology Inc *		1,185	$	292
AmerisourceBergen Corp, Cl A		40,261		3,838
Amgen Inc		39,384		9,047
Antares Pharma Inc *		23,360		67
Baxter International Inc		110,131		9,913
BioDelivery Sciences International Inc *		12,046		58
Biogen Inc *		17,520		5,380
Bristol-Myers Squibb Co		116,023		6,929
Bruker Corp		326		14
Cardinal Health Inc		90,361		4,942
Centene Corp *		4,875		323
Cerner Corp		19,412		1,415
Chemed Corp		1,288		616
Corcept Therapeutics Inc *		4,201		64
CVS Health Corp		11,253		738
DaVita Inc *		19,899		1,611
Edwards Lifesciences Corp *		444		100
Eli Lilly and Co		3,802		582
Gilead Sciences Inc		46,255		3,600
Haemonetics Corp *		7,415		813
Humana Inc		2,550		1,047
IDEXX Laboratories Inc *		1,892		584
Incyte Corp *		816		83
Innoviva Inc *		8,150		114
Inovalon Holdings Inc, Cl A *		10,491		197
Ironwood Pharmaceuticals Inc, Cl A *		16,541		161
Jazz Pharmaceuticals PLC *		11,126		1,327
Johnson & Johnson		55,753		8,293
Laboratory Corp of America Holdings *		7,324		1,284
McKesson Corp		52,713		8,364
Medpace Holdings Inc *		3,953		367
Medtronic PLC		50,657		4,994
Merck & Co Inc		144,526		11,666
Moderna Inc *		1,050		65
National HealthCare Corp		1,367		92
Novocure Ltd *		5,387		363
Pacira BioSciences Inc *		1,500		66
Penumbra Inc *		2,301		397
Pfizer Inc		180,408		6,890
Quidel Corp *		1,900		333
Regeneron Pharmaceuticals Inc *		359		220
Retrophin Inc *		6,050		95
STAAR Surgical Co *		3,050		118
Surmodics Inc *		1,900		70
Tactile Systems Technology Inc *		1,821		88
Triple-S Management Corp, Cl B *		2,742		55
United Therapeutics Corp *		350		41
UnitedHealth Group Inc		24,474		7,461
Varian Medical Systems Inc *		13,966		1,695
Vertex Pharmaceuticals Inc *		11,399		3,282
Waters Corp *		5,824		1,164
Zimmer Biomet Holdings Inc		2,069		261

3 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

U.S. Equity Factor Allocation Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Zoetis Inc, Cl A		3,533	$	492
				115,587
Industrials — 9.4%
3M Co		8,978		1,405
Aerojet Rocketdyne Holdings Inc *		18,245		800
Allison Transmission Holdings Inc, Cl A		3,294		124
ArcBest Corp		5,349		120
Arcosa Inc		3,271		125
Armstrong World Industries Inc		1,753		132
Atkore International Group Inc *		6,657		179
Barrett Business Services Inc		1,290		65
BMC Stock Holdings Inc *		27,324		715
Brady Corp, Cl A		19,212		982
Carlisle Cos Inc		12,119		1,453
CH Robinson Worldwide Inc		11,057		897
Cintas Corp		6,868		1,703
Copa Holdings SA, Cl A *		780		34
Copart Inc *		11,036		986
Costamare Inc		7,078		33
CRA International Inc		1,092		44
CSW Industrials Inc		3,347		239
Cummins Inc		586		100
EMCOR Group Inc		14,604		928
Emerson Electric Co		40,348		2,462
Ennis Inc		6,170		110
Evoqua Water Technologies Corp *		11,100		209
Expeditors International of Washington Inc		66,607		5,087
FTI Consulting Inc *		6,383		769
Generac Holdings Inc *		8,632		960
GMS Inc *		4,606		94
Great Lakes Dredge & Dock Corp *		15,841		147
HEICO Corp		2,692		271
HEICO Corp, Cl A		4,038		339
Herman Miller Inc *		22,889		527
Honeywell International Inc		36,762		5,362
Howmet Aerospace Inc *		55,913		731
Hubbell Inc, Cl B		4,404		539
IDEX Corp		5,697		908
IHS Markit Ltd		24,380		1,693
Illinois Tool Works Inc		9,374		1,617
Johnson Controls International plc		42,398		1,332
Kaman Corp		2,290		92
Kforce Inc		5,451		165
Kimball International Inc, Cl B		9,140		102
L3Harris Technologies Inc		7,848		1,565
Landstar System Inc		10,070		1,171
Lennox International Inc		1,207		258
Lockheed Martin Corp		6,530		2,536
ManpowerGroup Inc		15,405		1,065
Masonite International Corp *		3,347		222
MasTec Inc *		1,358		53
Northrop Grumman Corp		6,330		2,122

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Northwest Pipe Co *		1,394	$	35
Otis Worldwide Corp		11,184		589
PACCAR Inc		106,726		7,883
PGT Innovations Inc *		8,300		113
Raytheon Technologies Corp		69,925		4,512
Republic Services Inc, Cl A		17,469		1,493
Robert Half International Inc		30,460		1,546
Rockwell Automation Inc		5,112		1,105
Schneider National Inc, Cl B		14,991		362
Simpson Manufacturing Co Inc		13,689		1,096
Snap-on Inc		4,174		541
Southwest Airlines Co *		60,532		1,943
Spartan Motors Inc		4,851		83
SPX Corp *		6,301		252
Steelcase Inc, Cl A		30,421		352
Tennant Co		2,596		166
Toro Co/The		7,697		547
TPI Composites Inc *		4,250		88
TransUnion		7,774		671
TriNet Group Inc *		11,798		634
TrueBlue Inc *		5,076		78
UniFirst Corp/MA		5,084		914
United Airlines Holdings Inc *		10,113		284
Vectrus Inc *		4,618		254
Waste Management Inc		13,971		1,491
WW Grainger Inc		987		306
				70,910
Information Technology — 26.1%
Acacia Communications Inc *		1,141		77
Accenture PLC, Cl A		37,014		7,463
Adobe Inc *		3,500		1,353
Agilysys Inc *		2,982		57
Amdocs Ltd		26,105		1,625
Amkor Technology Inc *		7,351		78
Amphenol Corp, Cl A		11,323		1,093
Apple Inc		80,781		25,683
Applied Materials Inc		9,801		551
Arrow Electronics Inc *		15,458		1,069
Aspen Technology Inc *		951		100
Automatic Data Processing Inc		7,671		1,124
Avnet Inc		25,598		697
Benchmark Electronics Inc		3,076		65
Booz Allen Hamilton Holding Corp, Cl A		11,195		893
Cadence Design Systems Inc *		17,447		1,593
Calix Inc *		6,800		96
Cardtronics PLC *		5,293		128
ChannelAdvisor Corp *		3,708		52
Ciena Corp *		22,363		1,236
Cirrus Logic Inc *		3,907		283
Cisco Systems Inc		225,991		10,807
Citrix Systems Inc		10,299		1,525
Cloudera Inc *		36,150		371

4 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

U.S. Equity Factor Allocation Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Cognizant Technology Solutions Corp, Cl A		107,037	$	5,673
CSG Systems International Inc		8,787		416
Digital Turbine Inc *		11,159		72
Dolby Laboratories Inc, Cl A		16,148		981
Dropbox Inc, Cl A *		30,720		693
EchoStar Corp, Cl A *		13,316		415
Enphase Energy Inc *		9,984		581
EVERTEC Inc		8,632		251
Fortinet Inc *		19,342		2,692
Genpact Ltd		15,291		550
GoDaddy Inc, Cl A *		5,894		455
Hackett Group Inc/The		2,767		38
Hewlett Packard Enterprise Co		65,023		631
HP Inc		382,398		5,789
Intel Corp		199,043		12,526
International Business Machines Corp		19,153		2,392
Intuit Inc		34,022		9,877
Itron Inc *		4,922		317
Jabil Inc		42,043		1,258
Jack Henry & Associates Inc		6,275		1,135
Keysight Technologies Inc *		17,673		1,911
KLA Corp		1,774		312
Lam Research Corp		16,511		4,519
Lattice Semiconductor Corp *		16,318		406
Leidos Holdings Inc		13,538		1,425
Mastercard Inc, Cl A		9,511		2,862
MAXIMUS Inc		2,648		191
Micron Technology Inc *		22,330		1,070
Microsoft Corp		208,590		38,224
Motorola Solutions Inc		8,242		1,115
National Instruments Corp		2,578		100
NeoPhotonics Corp *		5,750		50
NetApp Inc		41,936		1,868
NIC Inc		12,495		301
NortonLifeLock Inc		163,471		3,724
Oracle Corp		194,198		10,442
OSI Systems Inc *		2,377		180
PayPal Holdings Inc *		19,824		3,073
PC Connection Inc		904		39
Perficient Inc *		4,599		157
Qorvo Inc *		16,849		1,765
QUALCOMM Inc		2,860		231
Qualys Inc *		3,971		458
Science Applications International Corp		1,150		101
SPS Commerce Inc *		4,795		327
Sykes Enterprises Inc *		8,005		218
Synaptics Inc *		4,880		311
Tech Data Corp *		9,220		1,256
Teradyne Inc		24,285		1,628
Texas Instruments Inc		6,069		721
TTEC Holdings Inc		2,068		88
Ultra Clean Holdings Inc *		5,500		114

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Veeva Systems Inc, Cl A *		3,538	$	774
VeriSign Inc *		9,002		1,971
VirnetX Holding Corp *		8,950		59
Visa Inc, Cl A		34,663		6,768
Western Union Co/The		146,012		2,923
Xerox Holdings Corp		43,570		692
Zebra Technologies Corp, Cl A *		1,029		269
				197,404
Materials — 2.7%
Air Products and Chemicals Inc		4,610		1,114
Arconic Corp *		13,965		202
Avery Dennison Corp		6,528		723
Axalta Coating Systems Ltd *		29,769		688
Ball Corp		14,433		1,029
Boise Cascade Co		2,268		77
Commercial Metals Co		5,840		100
Ecolab Inc		6,411		1,363
FMC Corp		420		41
Graphic Packaging Holding Co		23,662		342
Innospec Inc		3,491		269
Linde PLC		11,855		2,399
NewMarket Corp		2,240		977
Newmont Corp		12,950		757
Nucor Corp		38,902		1,644
PolyOne Corp		24,803		615
PPG Industries Inc		37,769		3,840
PQ Group Holdings Inc *		3,027		38
Reliance Steel & Aluminum Co		26,591		2,579
Scotts Miracle-Gro Co/The, Cl A		2,017		288
Sensient Technologies Corp		3,413		171
Silgan Holdings Inc		6,337		212
Sonoco Products Co		7,207		373
Stepan Co		4,633		450
Warrior Met Coal Inc		10,388		146
WR Grace & Co		2,163		113
				20,550
Real Estate — 2.8%
Alexandria Real Estate Equities Inc ‡		5,957		916
American Homes 4 Rent, Cl A ‡		25,163		635
Apartment Investment and Management
Co, Cl A ‡		20,475		755
Brandywine Realty Trust ‡		17,595		170
CBRE Group Inc, Cl A *		2,385		105
CorEnergy Infrastructure Trust Inc ‡		3,200		32
Duke Realty Corp ‡		12,495		431
Easterly Government Properties Inc ‡		10,723		269
EastGroup Properties Inc ‡		4,373		508
Equity Commonwealth *‡		24,901		839
Essential Properties Realty Trust Inc ‡		5,130		70
First Industrial Realty Trust Inc ‡		2,968		112
Healthcare Trust of America Inc, Cl A ‡		5,779		153

5 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

U.S. Equity Factor Allocation Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Innovative Industrial Properties Inc, Cl A ‡		735	$	60
Investors Real Estate Trust ‡		1,680		119
Invitation Homes Inc ‡		77,634		2,042
Jones Lang LaSalle Inc *		3,855		395
Lexington Realty Trust, Cl B ‡		32,993		321
Medical Properties Trust Inc ‡		97,605		1,765
Mid-America Apartment Communities Inc ‡		2,148		250
National Storage Affiliates Trust ‡		8,547		256
New Senior Investment Group Inc ‡		12,088		35
Newmark Group Inc, Cl A		11,665		50
Paramount Group Inc ‡		49,696		383
Piedmont Office Realty Trust Inc, Cl A ‡		14,917		249
Prologis Inc ‡		63,761		5,834
Public Storage ‡		391		79
Realty Income Corp ‡		1,836		101
RMR Group Inc/The, Cl A		2,341		63
Safehold Inc ‡		1,416		78
SBA Communications Corp, Cl A ‡		178		56
SL Green Realty Corp ‡		1,953		82
Spirit Realty Capital Inc ‡		41,669		1,185
STAG Industrial Inc ‡		11,650		313
STORE Capital Corp ‡		11,837		229
VEREIT Inc ‡		284,102		1,558
Weingarten Realty Investors ‡		461		8
Welltower Inc ‡		11,417		578
				21,084
Utilities — 1.3%
AES Corp/The		44,612		557
Evergy Inc		4,518		279
Exelon Corp		128,766		4,933
NRG Energy Inc		12,200		440
Portland General Electric Co		18,556		874
Sempra Energy		18,650		2,355
Vistra Energy Corp		11,192		229
				9,667
Total Common Stock (Cost $678,421) ($ Thousands)				734,947
	Number of Rights
RIGHTS — 0.0%
Liberty Media Corp-Liberty SiriusXM, Expires 06/10/2020 *		1,856		20
Celgene Corp *‡‡		5,903		20
Total Rights (Cost $12) ($ Thousands)				40

Description	Shares		Market Value ($ Thousands)
CASH EQUIVALENT — 2.1%
SEI Daily Income Trust, Government Fund,
Cl F 0.090% **†		15,622,058	$	15,622
Total Cash Equivalent (Cost $15,622) ($ Thousands)				15,622
Total Investments in Securities — 99.3% (Cost $694,055) ($ Thousands)			$	750,609

6 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

U.S. Equity Factor Allocation Fund (Concluded)

May 31, 2020

A list of the open futures contracts held by the Fund at May 31, 2020, is as follows:

Type of Contract	Number of Contracts Long	Expiration Date		Notional Amount (Thousands)		Value (Thousands)		Unrealized Appreciation (Thousands)
S&P 500 Index E-MINI	108		Jun-2020	$	13,834	$	16,427	$	2,593

Percentages are based on Net Assets of $756,195 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2020.

† Investment in Affiliated Security (see Note 6).

‡ Real Estate Investment Trust.

‡‡ Expiration date not available.

Cl — Class

Ltd. — Limited

PLC — Public Limited Company

S&P— Standard & Poor’s

The following is a list of the level of inputs used as of May 31, 2020, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Common Stock		734,947		—		—		734,947
Rights		40		—		—		40
Cash Equivalent		15,622		—		—		15,622
Total Investments in Securities		750,609		—		—		750,609

Other Financial Instruments	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Futures Contracts *
Unrealized Appreciation		2,593		—		—		2,593
Total Other Financial Instruments		2,593		—		—		2,593

*Futures contracts are valued at the unrealized appreciation on the instrument.

For the year ended May 31, 2020, there were no transfers in or out of Level 3.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The following is a summary of the Fund’s transactions with affiliates for the year ended May 31, 2020 ($ Thousands):

Security Description	Value 5/31/2019			Purchases at Cost			Proceeds from Sales				Realized Gain/(Loss)			Change in Unrealized Appreciation/(Depreciation)			Value 5/31/2020			Shares		Income			Capital Gains
SEI Daily Income Trust, Government Fund, Cl F		$	24,467		$	218,510		$	(227,355	)		$	—		$	—		$	15,622		15,622,058		$	85		$	—

Amounts designated as “—” are either $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

7 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

U.S. Managed Volatility Fund

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK — 97.7%
Communication Services — 9.9%
Activision Blizzard Inc		68,413	$	4,924
Anterix Inc *		3,425		184
AT&T Inc		727,100		22,438
Bandwidth Inc, Cl A *(A)		2,930		325
BCE Inc		57,600		2,385
Cable One Inc		1,296		2,446
Cargurus Inc, Cl A *		11,467		298
China Mobile Ltd ADR		87,300		3,070
Cogeco Communications Inc		13,400		997
Cogent Communications Holdings Inc		3,813		292
Comcast Corp, Cl A		370,400		14,668
Discovery Inc, Cl C *		61,415		1,203
Electronic Arts Inc *		39,774		4,887
EverQuote Inc, Cl A *		3,666		198
Glu Mobile Inc *		27,754		277
Hemisphere Media Group Inc, Cl A *		839		8
John Wiley & Sons Inc, Cl A		41,347		1,662
Madison Square Garden Sports C, Cl A *		6,952		1,186
MSG Networks Inc *(A)		18,949		235
New York Times Co/The, Cl A		79,796		3,130
Nippon Telegraph & Telephone Corp ADR		173,800		3,951
Omnicom Group Inc		116,900		6,405
Ooma Inc *		5,136		64
Shenandoah Telecommunications Co		4,845		255
SK Telecom Co Ltd ADR		172,800		3,326
Spok Holdings Inc		7,330		75
Spotify Technology SA *		17,923		3,243
Take-Two Interactive Software Inc *		37,654		5,127
TechTarget Inc *		8,552		235
TrueCar Inc *		31,934		86
Verizon Communications Inc		565,460		32,446
				120,026
Consumer Discretionary — 9.7%
1-800-Flowers.com Inc, Cl A *		2,064		46
Amazon.com Inc *		1,167		2,850
AutoZone Inc *		12,200		14,004
Bright Horizons Family Solutions Inc *		12,020		1,345
Canadian Tire Corp Ltd, Cl A		51,400		4,374
Core-Mark Holding Co Inc		10,602		297
Dollar General Corp		30,024		5,750
Dollar Tree Inc *		15,372		1,504
Domino’s Pizza Inc		13,334		5,145
DR Horton Inc		79,400		4,391
eBay Inc		192,900		8,785
Ford Motor Co		642,400		3,668
frontdoor Inc *		69,876		3,190
Garmin Ltd		25,859		2,332
Gentex Corp		72,495		1,917
Graham Holdings Co, Cl B		421		151
Grand Canyon Education Inc *		47,212		4,607
K12 Inc *		7,866		194

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Lululemon Athletica Inc *		15,160	$	4,549
Murphy USA Inc *		2,734		317
NIKE Inc, Cl B		48,072		4,739
Ollie’s Bargain Outlet Holdings Inc *(A)		50,287		4,599
Perdoceo Education Corp *		6,775		110
PetMed Express Inc (A)		6,806		246
PulteGroup Inc		84,400		2,867
Shutterstock Inc		7,271		276
Stamps.com Inc *		1,182		234
Standard Motor Products Inc		2,733		116
Sturm Ruger & Co Inc		5,283		329
Target Corp		223,900		27,389
Tesla Inc *		1,957		1,634
Toyota Motor Corp ADR		48,000		6,048
				118,003
Consumer Staples — 17.2%
Altria Group Inc		286,097		11,172
B&G Foods Inc, Cl A (A)		8,098		188
BJ’s Wholesale Club Holdings Inc *		12,749		459
Boston Beer Co Inc/The, Cl A *		654		369
Calavo Growers Inc		5,105		299
Cal-Maine Foods Inc		6,977		311
Campbell Soup Co		81,087		4,134
Casey’s General Stores Inc		17,003		2,716
Celsius Holdings Inc *(A)		6,424		60
Central Garden & Pet Co, Cl A *		989		36
Church & Dwight Co Inc		56,959		4,276
Clorox Co		23,222		4,790
Coca-Cola Co		101,382		4,732
Coca-Cola Consolidated Inc		1,128		275
Colgate-Palmolive Co		63,534		4,595
Costco Wholesale Corp		14,956		4,613
elf Beauty Inc *		25,197		432
Flowers Foods Inc		195,312		4,607
General Mills Inc		206,897		13,043
Hain Celestial Group Inc/The *		18,043		568
Hershey Co/The		38,133		5,174
Hormel Foods Corp		116,894		5,708
Hostess Brands Inc, Cl A *		37,904		458
Ingredion Inc		46,100		3,883
J&J Snack Foods Corp		2,499		321
JM Smucker Co/The		153,919		17,536
John B Sanfilippo & Son Inc		4,178		363
Kellogg Co		123,098		8,040
Keurig Dr Pepper Inc		145,840		4,072
Kimberly-Clark Corp		61,851		8,748
Kraft Heinz Co/The		165,500		5,043
Kroger Co/The		563,260		18,374
Lancaster Colony Corp		1,808		277
McCormick & Co Inc/MD		33,204		5,816
MGP Ingredients Inc (A)		6,190		232
Mondelez International Inc, Cl A		113,332		5,907

1 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

U.S. Managed Volatility Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Monster Beverage Corp *		78,990	$	5,680
National Beverage Corp *(A)		5,154		294
Natural Grocers by Vitamin Cottage Inc		5,162		74
PepsiCo Inc		41,318		5,435
PriceSmart Inc		4,826		262
Procter & Gamble Co/The		43,086		4,995
Simply Good Foods Co/The *		15,143		258
SpartanNash Co		15,322		328
Sprouts Farmers Market Inc *		64,377		1,618
Sysco Corp		60,300		3,326
Tootsie Roll Industries Inc (A)		9,514		339
Tyson Foods Inc, Cl A		223,400		13,726
Universal Corp/VA		7,484		330
Walgreens Boots Alliance Inc		85,300		3,663
Walmart Inc		136,438		16,926
WD-40 Co (A)		1,863		357
Weis Markets Inc		6,870		383
				209,621
Energy — 1.1%
Cabot Oil & Gas Corp, Cl A		4,974		99
NACCO Industries Inc, Cl A		624		16
Phillips 66		97,000		7,591
Valero Energy Corp		82,400		5,491
				13,197
Financials — 11.9%
Aflac Inc		258,600		9,431
Allstate Corp/The		177,400		17,351
American Financial Group Inc/OH		159,888		9,632
American National Insurance Co		12,423		934
Annaly Capital Management Inc ‡		1,122,200		6,913
Assured Guaranty Ltd		99,900		2,590
Bank of NT Butterfield & Son Ltd/The		6,486		158
Berkshire Hathaway Inc, Cl B *		116,400		21,601
Bridgewater Bancshares Inc *		2,748		29
Canadian Imperial Bank of Commerce		79,400		5,072
Capitol Federal Financial Inc		21,608		253
Cboe Global Markets Inc (A)		34,132		3,634
CNA Financial Corp		111,800		3,380
Columbia Financial Inc *		6,492		92
Commerce Bancshares Inc/MO		14,621		932
Community Bank System Inc		3,257		194
Community Bankers Trust Corp		12,396		70
Crawford & Co, Cl A		4,403		26
Employers Holdings Inc		5,079		152
Erie Indemnity Co, Cl A		1,716		309
Everest Re Group Ltd		29,900		5,932
First Financial Bankshares Inc		8,016		246
Globe Life Inc		17,966		1,384
Goosehead Insurance Inc, Cl A *		4,401		264
HarborOne Bancorp Inc *		35,768		285
Hartford Financial Services Group Inc/The		104,800		4,013

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
HomeTrust Bancshares Inc		2,482	$	38
Horace Mann Educators Corp		8,194		299
Houlihan Lokey Inc, Cl A		3,208		194
Investors Bancorp Inc		423,000		3,672
JPMorgan Chase & Co		57,600		5,605
Kearny Financial Corp/MD		12,056		103
Kinsale Capital Group Inc		2,569		384
KKR Real Estate Finance Trust Inc		14,400		233
Loblaw Cos Ltd		76,100		3,752
Macatawa Bank Corp		1,014		7
MarketAxess Holdings Inc		7,915		4,025
Mercury General Corp		8,863		357
Morningstar Inc		4,731		725
National Bank Holdings Corp, Cl A		7,929		209
National Bank of Canada		122,700		5,323
National General Holdings Corp		11,780		239
Nicolet Bankshares Inc *		814		45
Northeast Bank		7,494		129
Orrstown Financial Services Inc		1,329		18
PCSB Financial Corp		17,506		234
Progressive Corp/The		36,081		2,803
Reinsurance Group of America Inc, Cl A		28,600		2,595
RenaissanceRe Holdings Ltd		4,068		683
RLI Corp		4,249		335
Safeguard Scientifics Inc		3,191		20
Safety Insurance Group Inc		3,728		284
Starwood Property Trust Inc ‡		265,500		3,521
Stewart Information Services Corp		8,915		275
TFS Financial Corp		27,666		426
Timberland Bancorp Inc/WA		4,768		86
Trupanion Inc *(A)		9,020		272
Unity Bancorp Inc		2,057		29
US Bancorp		158,300		5,629
Virtu Financial Inc, Cl A		97,078		2,315
Wells Fargo & Co		138,100		3,656
White Mountains Insurance Group Ltd		1,071		981
				144,378
Health Care — 15.4%
AbbVie Inc		71,100		6,589
ADMA Biologics Inc *		46,544		153
Agenus Inc *		22,288		83
Alexion Pharmaceuticals Inc *		13,324		1,598
Allscripts Healthcare Solutions Inc *		6,996		44
Amgen Inc		42,200		9,693
AMN Healthcare Services Inc *		6,952		308
Amphastar Pharmaceuticals Inc *		12,121		226
ANI Pharmaceuticals Inc *		730		23
Anika Therapeutics Inc *		922		31
Arvinas Inc *		710		24
Baxter International Inc		28,674		2,581
BioDelivery Sciences International Inc *		9,895		47
Bio-Rad Laboratories Inc, Cl A *		11,798		5,797

2 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

U.S. Managed Volatility Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
BioSpecifics Technologies Corp *		1,102	$	68
Bristol-Myers Squibb Co		251,900		15,043
Chemed Corp		5,395		2,582
Constellation Pharmaceuticals Inc *		537		19
Corcept Therapeutics Inc *		16,405		248
CryoPort Inc *(A)		3,479		85
Cutera Inc *		1,721		23
CVS Health Corp		168,830		11,070
Enzo Biochem Inc *		20,418		58
GenMark Diagnostics Inc *		17,719		168
Gilead Sciences Inc		132,300		10,297
Globus Medical Inc, Cl A *		7,222		395
Haemonetics Corp *		3,266		358
Halozyme Therapeutics Inc *		785		19
HCA Healthcare Inc		37,200		3,977
HealthStream Inc *		7,186		164
HMS Holdings Corp *		9,203		288
Incyte Corp *		37,186		3,790
Johnson & Johnson		200,847		29,876
Joint Corp/The *		8,310		126
Kala Pharmaceuticals Inc *(A)		9,665		119
Kiniksa Pharmaceuticals Ltd, Cl A *		2,275		47
Kura Oncology Inc *		8,289		142
LeMaitre Vascular Inc		8,353		225
Luminex Corp		4,961		155
Masimo Corp *		10,713		2,573
Merck & Co Inc		388,855		31,388
Mettler-Toledo International Inc *		2,985		2,373
National HealthCare Corp		1,687		113
Neogen Corp *		3,622		258
Omnicell Inc *		3,071		205
Orthofix Medical Inc *		3,420		117
Pfizer Inc		564,422		21,555
Phibro Animal Health Corp, Cl A		12,263		321
Premier Inc, Cl A *		112,012		3,897
Prestige Consumer Healthcare Inc *		7,592		320
Regeneron Pharmaceuticals Inc *		8,800		5,393
SeaSpine Holdings Corp *		9,673		103
SIGA Technologies Inc *		15,267		91
Simulations Plus Inc		4,906		249
Translate Bio Inc *		2,299		48
Universal Health Services Inc, Cl B		38,900		4,102
USANA Health Sciences Inc *		4,143		351
Vapotherm Inc *		2,483		66
Waters Corp *		1,221		244
West Pharmaceutical Services Inc		34,133		7,374
XBiotech Inc *		7,494		105
				187,785
Industrials — 7.8%
Acacia Research Corp *		10,898		28
Allegion plc		1,241		124
Allison Transmission Holdings Inc, Cl A		179,500		6,771

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
BWX Technologies Inc		14,359	$	898
Carlisle Cos Inc		20,827		2,496
Carrier Global Corp *		59,100		1,210
CH Robinson Worldwide Inc		41,986		3,406
CoStar Group Inc *		6,602		4,336
CSW Industrials Inc		3,305		237
Cummins Inc		33,700		5,715
Curtiss-Wright Corp		16,364		1,641
Energy Recovery Inc *		7,116		55
Expeditors International of Washington Inc		23,581		1,801
Exponent Inc		10,182		756
Fastenal Co		77,521		3,199
Federal Signal Corp		9,613		280
Forward Air Corp		1,989		99
FTI Consulting Inc *		3,076		371
Gencor Industries Inc *		2,685		32
General Dynamics Corp		35,700		5,242
Graco Inc		13,674		659
Heartland Express Inc		11,533		253
Heidrick & Struggles International Inc		1,370		30
Huntington Ingalls Industries Inc		27,000		5,397
IHS Markit Ltd		38,275		2,659
Lindsay Corp		1,656		156
Marten Transport Ltd		8,613		220
Miller Industries Inc/TN		3,172		94
Old Dominion Freight Line Inc		15,980		2,734
Otis Worldwide Corp		29,550		1,556
Proto Labs Inc *(A)		2,679		338
Raytheon Technologies Corp		174,672		11,270
Republic Services Inc, Cl A		113,716		9,718
Resources Connection Inc		6,582		72
Robert Half International Inc		31,911		1,619
Schneider National Inc, Cl B		2,779		67
Snap-on Inc		34,600		4,487
Spartan Motors Inc		8,449		144
Toro Co/The		63,373		4,504
Waste Management Inc		72,800		7,771
Watsco Inc		11,567		2,058
Werner Enterprises Inc		7,324		339
				94,842
Information Technology — 14.3%
Agilysys Inc *		9,855		190
Amdocs Ltd		334,955		20,854
American Software Inc/GA, Cl A		1,117		22
Apple Inc		27,800		8,839
Atlassian Corp PLC, Cl A *		21,924		4,063
Black Knight Inc *		22,655		1,744
Blackline Inc *		4,589		341
Box Inc, Cl A *		18,948		379
CACI International Inc, Cl A *		21,400		5,367
Canon Inc ADR (A)		94,900		1,948
CDK Global Inc		26,240		1,031

3 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

U.S. Managed Volatility Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
CEVA Inc *		3,378	$	116
Cisco Systems Inc		371,300		17,756
Citrix Systems Inc		3,771		559
CommVault Systems Inc *		5,957		241
CSG Systems International Inc		110,476		5,231
Digital Turbine Inc *		15,588		100
DocuSign Inc, Cl A *		31,038		4,337
Dolby Laboratories Inc, Cl A		3,011		183
F5 Networks Inc *		45,333		6,570
Five9 Inc *		3,112		324
Hackett Group Inc/The		11,677		161
Intel Corp		435,600		27,412
Intelligent Systems Corp *		2,151		69
International Business Machines Corp		119,900		14,976
J2 Global Inc		3,517		275
Jack Henry & Associates Inc		17,405		3,148
MAXIMUS Inc		4,099		295
MicroStrategy Inc, Cl A *		1,960		244
Mitek Systems Inc *		27,800		259
MobileIron Inc *		26,812		121
Motorola Solutions Inc		22,300		3,018
Napco Security Technologies Inc *		7,864		179
National Instruments Corp		42,370		1,641
NeoPhotonics Corp *		25,977		225
NETGEAR Inc *		11,304		291
NIC Inc		12,510		301
Oracle Corp		441,400		23,734
PC Connection Inc		6,279		272
Progress Software Corp		7,786		315
Qualys Inc *		2,914		336
ShotSpotter Inc *		2,595		60
SPS Commerce Inc *		3,248		221
Telenav Inc *		11,304		56
Teradata Corp *		2,877		62
Tyler Technologies Inc *		5,077		1,905
ViaSat Inc *		7,531		316
Western Union Co/The		525,400		10,518
Zscaler Inc *(A)		34,116		3,346
				173,951
Materials — 2.3%
AptarGroup Inc		35,498		3,954
Balchem Corp		4,567		460
Gold Resource Corp		39,528		154
Hawkins Inc		523		22
Hecla Mining Co		31,117		103
Linde PLC		26,183		5,298
Materion Corp		4,518		237
Neenah Inc		2,437		123
NewMarket Corp		813		355
Newmont Corp		25,324		1,481
Royal Gold Inc		29,281		3,900
Sealed Air Corp		95,500		3,066

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Sensient Technologies Corp		10,252	$	514
Silgan Holdings Inc		147,800		4,942
Sonoco Products Co		65,410		3,389
				27,998
Real Estate — 2.4%
Brandywine Realty Trust ‡		270,500		2,610
CBRE Group Inc, Cl A *		17,136		754
Equity Commonwealth ‡		32,593		1,098
Gaming and Leisure Properties Inc ‡		125,500		4,335
Iron Mountain Inc ‡(A)		160,400		4,132
Maui Land & Pineapple Co Inc *		1,950		21
National Health Investors Inc ‡		47,900		2,658
Omega Healthcare Investors Inc ‡		88,100		2,743
Piedmont Office Realty Trust Inc, Cl A ‡		226,600		3,780
PS Business Parks Inc ‡		2,324		311
Retail Properties of America Inc, Cl A ‡		248,400		1,346
Rexford Industrial Realty Inc ‡		7,376		294
Safehold Inc ‡		866		48
St Joe Co/The *		5,414		104
Tejon Ranch Co *		2,815		40
Terreno Realty Corp ‡		5,378		275
VEREIT Inc ‡		914,100		5,009
				29,558
Utilities — 5.7%
ALLETE Inc		7,467		439
American Electric Power Co Inc		49,900		4,254
American States Water Co		3,497		287
Artesian Resources Corp, Cl A		401		14
Atlantic Power Corp *		55,839		117
Avista Corp		6,876		269
Cadiz Inc *(A)		9,277		103
Chesapeake Utilities Corp		2,752		249
DTE Energy Co		66,600		7,164
Edison International		118,100		6,863
Entergy Corp		150,600		15,334
Exelon Corp		476,400		18,251
FirstEnergy Corp		98,200		4,150
Genie Energy Ltd, Cl B		5,965		51
Hawaiian Electric Industries Inc		76,653		3,025
MGE Energy Inc		3,907		265
Northwest Natural Holding Co		1,651		106
ONE Gas Inc		2,247		189
Ormat Technologies Inc		5,047		367
Pinnacle West Capital Corp		21,144		1,647
Portland General Electric Co		6,562		309
Public Service Enterprise Group Inc		105,700		5,395
Pure Cycle Corp *		2,700		27
Southwest Gas Holdings Inc		1,351		103
Spire Inc		3,731		272

4 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

U.S. Managed Volatility Fund (Concluded)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Unitil Corp		5,787	$	279
				69,529
Total Common Stock (Cost $1,036,720) ($ Thousands)				1,188,888
AFFILIATED PARTNERSHIP — 1.7%
SEI Liquidity Fund, L.P. 0.290% **†(B)		19,816,001		19,825
Total Affiliated Partnership (Cost $19,820) ($ Thousands)				19,825

Description	Shares		Market Value ($ Thousands)
CASH EQUIVALENT — 3.2%
SEI Daily Income Trust, Government Fund, Cl F
0.090% **†		39,060,785	$	39,061
Total Cash Equivalent (Cost $39,061) ($ Thousands)				39,061
Total Investments in Securities — 102.6% (Cost $1,095,601) ($ Thousands)			$	1,247,774

A list of the open futures contracts held by the Fund at May 31, 2020, is as follows:

Type of Contract	Number of Contracts Long		Expiration Date		Notional Amount (Thousands)		Value (Thousands)		Unrealized Appreciation (Thousands)
S&P 500 Index E-MINI		82		Jun-2020	$	11,484	$	12,472	$	988

Percentages are based on Net Assets of $1,216,680 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2020.

† Investment in Affiliated Security (See Note 6).

‡ Real Estate Investment Trust.

(A) Certain securities or partial positions of certain securities are on loan at May 31, 2020 (See Note 12). The total market value of securities on loan at May 31, 2020 was $20,402 ($ Thousands). (B) This security was purchased with cash collateral held from securities on loan (See Note 12). The total market value of such securities as of May 31, 2020 was $19,825 ($ Thousands).

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

Ltd. — Limited

PLC — Public Limited Company

S&P— Standard & Poor’s

The following is a list of the level of inputs used as of May 31, 2020 , in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Investments in Securities
Common Stock		1,188,888		—		—		1,188,888
Affiliated Partnership		—		19,825		—		19,825
Cash Equivalent		39,061		—		—		39,061
Total Investments in Securities		1,227,949		19,825		—		1,247,774

	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Other Financial Instruments
Futures Contracts *
Unrealized Appreciation		988		—		—		988
Total Other Financial Instruments		988		—		—		988

* Futures contracts are valued at the unrealized appreciation on the instrument.

For the year ended May 31, 2020, there were no transfers in or out of Level 3.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

The following is a summary of the Fund’s transactions with affiliates for the year ended May 31, 2020 ($ Thousands):

Security Description	Value 5/31/2019			Purchases at Cost			Proceeds from Sales				Realized Gain/(Loss)			Change in Unrealized Appreciation			Value 5/31/2020			Shares		Income			Capital Gains
SEI Liquidity Fund, L.P.		$	—		$	30,140		$	(10,320	)		$	—		$	5		$	19,825		19,816,001		$	6		$	—
SEI Daily Income Trust, Government Fund, Cl F			9,926			478,335			(449,200	)			—			—			39,061		39,060,785			491			—
Totals		$	9,926		$	508,475		$	(459,520	)		$	—		$	5		$	58,886				$	497		$	—

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

5 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Global Managed Volatility Fund

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK — 97.4%
Australia — 1.6%
AGL Energy Ltd		1,205,000	$	13,406
Coca-Cola Amatil Ltd		706,000		4,105
Coles Group Ltd		634,333		6,468
Computershare Ltd		97,951		852
Dacian Gold Ltd *		30,706		9
Evolution Mining Ltd		300,524		1,217
Mirvac Group ‡		2,693,100		4,201
Newcrest Mining Ltd		502,843		10,207
Northern Star Resources Ltd		41,849		411
Regis Resources Ltd		416,968		1,494
Telstra Corp Ltd		804,697		1,731
Westgold Resources Ltd *		154,637		240
Woolworths Group Ltd		7,288		171
				44,512
Austria — 0.1%
Agrana Beteiligungs AG		7,360		143
Flughafen Wien AG		4,508		140
Oberbank AG		175		16
Telekom Austria AG, Cl A		38,558		278
Verbund AG, Cl A		18,293		815
Vienna Insurance Group AG Wiener Versicherung Gruppe *		2,613		55
				1,447
Belgium — 0.3%
Ageas SA/NV		124,693		4,254
Colruyt SA		55,842		3,378
				7,632
Canada — 3.5%
Argonaut Gold Inc *		20,600		28
Atco Ltd/Canada, Cl I		61,451		1,725
B2Gold Corp		382,472		2,100
Bank of Montreal		93,993		4,619
Bank of Nova Scotia/The		106,000		4,231
Barrick Gold Corp		127,800		3,061
BCE Inc		74,600		3,089
Canadian Tire Corp Ltd, Cl A		83,400		7,097
Canadian Utilities Ltd, Cl A		63,988		1,530
Centerra Gold Inc		353,500		3,573
Constellation Software Inc/Canada		1,800		2,038
Dundee Precious Metals Inc		151,300		820
Franco-Nevada Corp		24,000		3,356
George Weston Ltd		42,713		3,073
Great-West Lifeco Inc		172,100		2,791
Hydro One Ltd		132,800		2,563
Kinross Gold Corp *		201,800		1,307
Loblaw Cos Ltd		143,100		7,057
Metro Inc/CN, Cl A		50,600		2,102
National Bank of Canada		172,600		7,487
OceanaGold Corp *		209,603		425
Osisko Gold Royalties Ltd		215,182		2,127

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Power Corp of Canada		246,540	$	3,997
Quebecor Inc, Cl B		16,100		353
Rogers Communications Inc, Cl B		38,496		1,607
Roxgold Inc *		257,974		237
SSR Mining Inc *		149,476		2,864
TELUS Corp		631,600		10,903
Teranga Gold Corp *		9,744		76
Torex Gold Resources Inc *		127,986		1,759
Toronto-Dominion Bank/The		168,700		7,199
Yamana Gold Inc		147,729		796
				95,990
Denmark — 0.5%
Carlsberg A/S, Cl B		60,779		7,860
Coloplast A/S, Cl B		36,500		6,128
Jeudan A/S		1,320		52
Schouw & Co A/S		1,433		117
				14,157
Finland — 0.1%
Aspo Oyj		27		—
Elisa Oyj, Cl A		14,451		906
Kesko Oyj, Cl B		19,616		332
Olvi Oyj, Cl A		1,167		53
Orion Oyj, Cl B		46,662		2,497
				3,788
France — 2.1%
BioMerieux		14,830		2,130
Boiron SA		56		2
Carrefour SA		7,957		121
Cie des Alpes		1,545		33
Danone SA		73,448		5,029
Engie SA		604,300		7,149
Eutelsat Communications SA		162,579		1,620
Fountaine Pajot SA		345		24
Orange SA		380,107		4,585
Sanofi		226,200		22,024
SEB SA		7,121		977
Societe BIC SA		77,200		4,112
TOTAL SA		133,400		4,990
Veolia Environnement SA		210,136		4,601
				57,397
Germany — 1.5%
Allianz SE		24,800		4,492
Bayerische Motoren Werke AG		45,600		2,668
Beiersdorf AG		14,750		1,546
Deutsche Telekom AG		992,497		15,649
Fraport AG Frankfurt Airport Services Worldwide		60,300		2,993
Knorr-Bremse AG		23,061		2,442
McKesson Europe AG		1,563		45
METRO AG		53,745		502

1 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Global Managed Volatility Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen		30,500	$	6,941
Siemens Healthineers AG		50,402		2,605
Talanx AG		60,400		2,126
Wuestenrot & Wuerttembergische AG		9,300		170
				42,179
Hong Kong — 1.0%
Chevalier International Holdings Ltd		14,000		17
Chinney Investments Ltd		88,000		18
CK Hutchison Holdings Ltd		449,500		2,749
CK Infrastructure Holdings Ltd		333,425		1,665
CLP Holdings Ltd		671,680		6,582
Fountain SET Holdings Ltd		386,000		51
HK Electric Investments & HK Electric Investments Ltd		3,589,021		3,556
HKT Trust & HKT Ltd		4,444,686		6,319
Langham Hospitality Investments and Langham Hospitality Investments Ltd		450,500		59
MTR Corp Ltd		150,343		721
Paliburg Holdings Ltd		104,000		27
PCCW Ltd		598,000		328
Power Assets Holdings Ltd		334,587		1,863
Regal Hotels International Holdings Ltd		98,000		42
Sun Hung Kai Properties Ltd		239,000		2,744
Wing Tai Properties		18,000		9
Yue Yuen Industrial Holdings Ltd		509,522		730
				27,480
Ireland — 0.0%
Jazz Pharmaceuticals PLC *		5,354		639
Israel — 1.1%
Adgar Investment and Development Ltd		26,376		39
Alony Hetz Properties & Investments Ltd		36,340		415
Amot Investments Ltd		76,566		404
Bank Hapoalim BM		57,073		351
Bank Leumi Le-Israel BM		1,313,081		6,962
Bayside Land Corp		1,541		868
Big Shopping Centers Ltd		1,034		73
Brack Capital Properties NV *		782		58
Carasso Motors Ltd		5,883		17
Check Point Software Technologies Ltd *		47,253		5,182
Elbit Systems Ltd		8,921		1,244
Freshmarket Ltd		9,465		31
Isracard Ltd		2		—
Isras Investment Co Ltd		143		25
Malam - Team Ltd		731		146
Mediterranean Towers Ltd *		82,120		169
Mizrahi Tefahot Bank Ltd		519,081		10,194
Neto ME Holdings Ltd		1,148		61
Nice Ltd *		3,421		620
Rami Levy Chain Stores Hashikma Marketing 2006 Ltd		13,597		850

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Shufersal Ltd		230,781	$	1,552
Strauss Group Ltd		34,839		975
Summit Real Estate Holdings Ltd		11,665		133
				30,369
Italy — 0.9%
A2A SpA		1,020,552		1,416
ACEA SpA		4,161		81
Enel SpA		2,169,324		16,652
Hera SpA		692,174		2,656
Iren SpA		885,046		2,201
Orsero SpA *		7,913		45
				23,051
Japan — 9.5%
ABC-Mart Inc		17,900		1,088
Advantest Corp		31,500		1,555
Aeon Co Ltd		17,700		392
Aeon Hokkaido Corp		18,800		136
Ahjikan Co Ltd		5,308		37
Alpen Co Ltd		8,600		141
Anabuki Kosan Inc		1,600		26
Aozora Bank Ltd		85,300		1,585
Araya Industrial Co Ltd		3,800		40
Astellas Pharma Inc		792,200		14,078
Atsugi Co Ltd		21,950		126
Belc Co Ltd		1,000		62
Biofermin Pharmaceutical Co Ltd		1,300		28
Can Do Co Ltd		20,916		365
Canon Inc		243,300		5,011
C’BON COSMETICS Co Ltd		3,200		64
Choushimaru Co Ltd		14,500		155
Chubu Electric Power Co Inc		71,800		967
Chugai Pharmaceutical Co Ltd		5,800		855
Chugoku Electric Power Co Inc/The		164,508		2,260
Chukyo Bank Ltd/The		371		7
Cosmos Pharmaceutical Corp		12,400		1,781
Create Medic Co Ltd		3,300		30
Create SD Holdings Co Ltd		3,200		101
Daiohs Corp		2,700		28
DCM Holdings Co Ltd		125,300		1,303
DyDo Group Holdings Inc		16,496		808
Earth Corp		4,000		264
Ebara Foods Industry Inc		1,700		35
Eco’s Co Ltd/Japan		1,500		27
EDION Corp		4,100		38
ESTELLE Holdings Co Ltd		6,000		33
Fujicco Co Ltd		2,000		37
FUJIFILM Holdings Corp		116,500		5,386
Fujitsu Ltd		21,600		2,225
Fujiya Co Ltd		9,400		190
Hakudo Co Ltd		2,100		28
Hankyu Hanshin REIT Inc ‡		213		269

2 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Global Managed Volatility Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Heiwado Co Ltd		3,700	$	66
Hitachi Ltd		525		17
ITOCHU Corp		440,400		9,443
Itochu-Shokuhin Co Ltd		953		41
Itoham Yonekyu Holdings Inc		8,000		50
Japan Airlines Co Ltd		217,500		4,274
Japan Post Bank Co Ltd		209,400		1,730
Japan Post Holdings Co Ltd		888,400		6,466
Japan Tobacco Inc		614,200		12,186
Japan Wool Textile Co Ltd/The		2,900		27
J-Oil Mills Inc		700		28
JXTG Holdings		1,100,600		4,232
Kakiyasu Honten Co Ltd		7,053		171
Kameda Seika Co Ltd		1,300		65
Kato Sangyo Co Ltd		16,200		567
KDDI Corp		821,200		23,904
Keiyo Co Ltd		14,748		89
Kewpie Corp		4,200		82
KFC Holdings Japan Ltd		12,063		297
King Jim Co Ltd		7,400		65
Kohnan Shoji Co Ltd		150,054		4,380
Kuraray Co Ltd		165,400		1,738
Kyokuyo Co Ltd		12,700		318
KYORIN Holdings Inc		24,100		521
Kyushu Electric Power Co Inc		115,900		964
Lawson Inc		9,900		548
Life Corp		3,100		97
Lion Corp		43,900		1,004
McDonald’s Holdings Co Japan Ltd		15,700		835
Medipal Holdings Corp		78,800		1,563
Ministop Co Ltd		6,400		90
Miyoshi Oil & Fat Co Ltd		10,700		116
Mizuho Financial Group Inc		10,695,600		13,353
Mochida Pharmaceutical Co Ltd		14,000		543
Mori Trust Sogo Reit Inc ‡		484		606
Morozoff Ltd		700		39
MS&AD Insurance Group Holdings Inc		37,300		1,096
Natori Co Ltd		1,800		29
Nintendo Co Ltd		2,600		1,051
Nippon Beet Sugar Manufacturing Co Ltd		3,000		47
Nippon Flour Mills Co Ltd		207,242		3,139
Nippon Kanzai Co Ltd		5,894		101
Nippon Telegraph & Telephone Corp		1,162,600		26,374
Nisshin Oillio Group Ltd/The		2,249		72
Nissui Pharmaceutical Co Ltd		8,900		104
NJS Co Ltd		3,200		53
NTT DOCOMO Inc		489,942		13,422
Ohsho Food Service Corp		2,095		122
Okinawa Cellular Telephone Co		3,311		128
Okinawa Electric Power Co Inc/The		38,903		729
Okuwa Co Ltd		5,300		75
Oracle Corp Japan		51,954		6,067

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
OUG Holdings Inc		3,500	$	87
Premier Investment Corp ‡		111		126
San-A Co Ltd, Cl A		2,900		116
Secom Co Ltd		22,900		1,984
Sekisui Chemical Co Ltd		254,100		3,550
Senko Group Holdings Co Ltd		429,100		3,425
Seven & i Holdings Co Ltd		48,900		1,673
SG Holdings Co Ltd		79,300		2,587
Showa Sangyo Co Ltd		6,600		202
SKY Perfect JSAT Holdings Inc		387,500		1,579
Softbank Corp		1,405,700		17,823
SRS Holdings Co Ltd		14,041		120
Starts Proceed Investment Corp ‡		114		210
Sugi Holdings Co Ltd		19,100		1,234
Sumitomo Mitsui Financial Group Inc		93,600		2,710
Sundrug Co Ltd		101,800		3,430
Takihyo Co Ltd		2,800		45
Teijin Ltd		327,300		5,359
Ten Allied Co Ltd *		6,400		23
Toho Holdings Co Ltd		20,900		417
Tohoku Electric Power Co Inc		101,900		1,056
Tokyo Electric Power Co Holdings Inc *		547,300		1,844
Toyo Suisan Kaisha Ltd		29,400		1,536
Toyota Motor Corp		163,300		10,239
Tsukada Global Holdings Inc		6,700		26
Tsuruha Holdings Inc		40,800		6,029
Unicafe Inc		9,700		87
United Super Markets Holdings Inc		11,400		119
Valor Holdings Co Ltd		6,700		132
Vital KSK Holdings Inc		32,600		323
WDI Corp		1,600		23
Welcia Holdings Co Ltd		51,600		4,335
Wowow Inc		3,276		78
XYMAX REIT Investment Corp ‡		30		28
Yamaguchi Financial Group Inc		365,000		2,182
Yamazaki Baking Co Ltd		31,800		570
Yaoko Co Ltd		4,600		301
Zaoh Co Ltd		2,000		27
				260,320
Netherlands — 1.3%
Adyen NV *		1,846		2,429
Koninklijke Ahold Delhaize NV		1,011,866		25,674
NN Group NV		137,300		4,241
Signify NV		78,500		1,679
				34,023
New Zealand — 0.6%
a2 Milk Co Ltd *		94,053		1,107
Argosy Property Ltd ‡		410,444		292
Chorus Ltd		49,675		234
Contact Energy Ltd		525,466		2,021
EBOS Group Ltd		14,634		199

3 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Global Managed Volatility Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Fisher & Paykel Healthcare Corp Ltd		198,704	$	3,689
Fletcher Building Ltd		127,762		278
Genesis Energy Ltd		435,580		769
Goodman Property Trust ‡		794,879		1,083
Infratil Ltd		9,843		29
Investore Property Ltd ‡		188		—
Kiwi Property Group Ltd ‡		987,261		624
Mainfreight Ltd		17,296		426
Mercury NZ Ltd		462,321		1,331
Property for Industry Ltd ‡		114,564		172
Sanford Ltd/NZ		8,999		38
Spark New Zealand Ltd		1,416,197		3,876
Stride Property Group		116,528		115
Trustpower Ltd		12,723		55
Vital Healthcare Property Trust ‡		18,286		28
				16,366
Norway — 0.7%
Orkla ASA		1,384,689		12,442
Sparebanken More		209		6
Telenor ASA		434,824		6,594
				19,042
Portugal — 0.0%
Jeronimo Martins SGPS SA *		12,386		212
Novabase SGPS SA		8,381		31
REN - Redes Energeticas Nacionais SGPS SA		264,138		711
Sonae SGPS SA		192,338		143
				1,097
Singapore — 0.9%
CapitaLand Mall Trust ‡		2,377,079		3,414
DBS Group Holdings Ltd		330,900		4,558
Frasers Hospitality Trust ‡		76,500		25
Oversea-Chinese Banking Corp Ltd		704,300		4,261
Sheng Siong Group Ltd		1,166,733		1,296
Singapore Exchange Ltd		165,600		970
SPH REIT ‡		684,386		402
United Overseas Bank Ltd		616,700		8,508
				23,434
Spain — 0.8%
Ebro Foods SA		103,099		2,158
Endesa SA		340,317		8,082
Iberdrola SA		1,127,050		12,146
				22,386
Sweden — 0.8%
Axfood AB		251,027		5,624
ICA Gruppen AB *		301,709		14,169
Swedish Match AB		15,802		1,096
				20,889
Switzerland — 4.6%
Allreal Holding AG		11,443		2,218

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Barry Callebaut AG		1,027	$	2,065
Basellandschaftliche Kantonalbank		74		68
BKW AG		9,657		770
Chocoladefabriken Lindt & Spruengli AG		400		3,414
Crealogix Holding AG		301		29
EMS-Chemie Holding AG		3,565		2,637
Helvetia Holding AG		36,500		3,235
Intershop Holding AG		291		164
Investis Holding SA		813		72
Mobimo Holding AG *		967		275
Nestle SA		76,921		8,316
Novartis AG		283,952		24,541
Novavest Real Estate AG *		1,207		56
Orior AG		2,343		180
PSP Swiss Property AG		19,986		2,270
Roche Holding AG		121,074		41,929
Schindler Holding AG		7,314		1,698
Sonova Holding AG		6,939		1,520
Swiss Life Holding AG		21,654		7,605
Swiss Prime Site AG		3,953		368
Swiss Re AG		60,500		4,101
Swisscom AG		20,029		10,420
TX Group AG		1,293		94
Zurich Insurance Group AG		24,400		7,861
				125,906
United Kingdom — 3.8%
3i Group PLC		396,800		4,047
AEW UK REIT PLC ‡		71,930		59
Amino Technologies PLC		28,544		51
BAE Systems PLC		1,526,300		9,363
BP PLC		1,196,500		4,523
Britvic PLC		453,173		4,025
BT Group PLC, Cl A		2,303,600		3,311
Coca-Cola HBC AG		2,236		56
Diageo PLC		193,957		6,691
Empiric Student Property PLC ‡		35,437		27
GCP Student Living PLC ‡		81,560		140
GlaxoSmithKline PLC		968,800		20,024
Hummingbird Resources PLC *		82,842		30
Imperial Brands PLC		682,300		12,370
J Sainsbury PLC		1,582,630		3,796
Kingfisher PLC		307,146		737
National Grid PLC		552,454		6,325
Pan African Resources PLC		144,024		27
Reckitt Benckiser Group PLC		10,677		954
ScS Group PLC		12,552		23
Secure Income REIT Plc ‡		18,333		57
Standard Life Investment Property Income Trust Ltd ‡		32,928		27
Tate & Lyle PLC		1,054,895		8,782
Tesco PLC		1,239,126		3,497
Unilever PLC		136,221		7,295

4 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Global Managed Volatility Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Wm Morrison Supermarkets PLC		3,560,692	$	8,219
				104,456
United States — 61.7%
Communication Services — 5.9%
Activision Blizzard Inc		61,266		4,410
Alphabet Inc, Cl A *		1,411		2,023
Alphabet Inc, Cl C *		1,506		2,152
AT&T Inc		1,302,443		40,193
ATN International Inc		4,525		269
BCE Inc		228,183		9,463
Comcast Corp, Cl A		734,265		29,077
Discovery Inc, Cl C *		108,467		2,125
Electronic Arts Inc *		2,403		295
Facebook Inc, Cl A *		12,748		2,869
Fox Corp		18,493		532
GCI Liberty Inc *		14,751		1,021
Interpublic Group of Cos Inc/The		64,345		1,101
John Wiley & Sons Inc, Cl A		47,026		1,890
Liberty Media Corp-Liberty Braves, Cl C *		13,061		287
Marcus Corp/The		18,438		249
MSG Networks Inc *		7,779		96
News Corp, Cl A		245,218		3,004
Omnicom Group Inc		88,629		4,856
Reading International Inc, Cl A *		2,200		8
Scholastic Corp		48,941		1,439
Take-Two Interactive Software Inc *		31,420		4,278
Telephone and Data Systems Inc		67,700		1,387
T-Mobile US Inc *		48,439		4,846
Verizon Communications Inc		775,980		44,526
				162,396
Consumer Discretionary — 4.5%
Acushnet Holdings Corp		41,388		1,383
American Public Education Inc *		1,875		59
America’s Car-Mart Inc/TX *		4,410		351
AutoZone Inc		11,900		13,660
Carriage Services Inc, Cl A		1,940		36
Columbia Sportswear Co		56,201		4,106
Deckers Outdoor Corp *		11,726		2,140
Dick’s Sporting Goods Inc		6,628		239
Dollar General Corp		46,087		8,826
Dollar Tree Inc *		50,308		4,924
Domino’s Pizza Inc		11,868		4,579
DR Horton Inc		101,300		5,602
eBay Inc		276,235		12,580
Ford Motor Co		403,300		2,303
General Motors Co		153,400		3,970
Genuine Parts Co		45,461		3,792
Graham Holdings Co, Cl B		2,139		766
Haverty Furniture Cos Inc		8,342		144
Johnson Outdoors Inc, Cl A		2,723		211
K12 Inc *		9,767		240

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
LKQ Corp *		30,557	$	839
Murphy USA Inc *		439		51
Perdoceo Education Corp *		21,574		351
PulteGroup Inc		203,800		6,923
Sally Beauty Holdings Inc *		235,100		3,066
Service Corp International/US		79,778		3,146
Target Corp		309,342		37,842
Wolverine World Wide Inc		3,682		77
				122,206
Consumer Staples — 9.6%
Altria Group Inc		321,200		12,543
Archer-Daniels-Midland Co		36,457		1,433
Campbell Soup Co		102,291		5,215
Casey’s General Stores Inc		17,140		2,738
Church & Dwight Co Inc		64,450		4,838
Clorox Co/The		52,371		10,802
Coca-Cola Co/The		249,613		11,652
Colgate-Palmolive Co		146,361		10,586
Costco Wholesale Corp		49,984		15,419
Darling Ingredients Inc *		3,558		83
Flowers Foods Inc		35,266		832
General Mills Inc		340,505		21,465
Herbalife Nutrition Ltd *		3,334		146
Hershey Co/The		8,079		1,096
Hormel Foods Corp		78,512		3,834
Ingredion Inc		82,179		6,922
Inter Parfums Inc		5,210		242
J&J Snack Foods Corp		12,322		1,585
JM Smucker Co/The		142,217		16,203
John B Sanfilippo & Son Inc		13,699		1,191
Kellogg Co		163,200		10,659
Kimberly-Clark Corp		111,353		15,750
Kroger Co/The		761,043		24,825
Lancaster Colony Corp		9,258		1,421
Molson Coors Beverage Co, Cl B		118,300		4,491
PepsiCo Inc		63,410		8,342
Procter & Gamble Co/The		70,380		8,158
Sprouts Farmers Market Inc *		41,476		1,042
Tyson Foods Inc, Cl A		190,700		11,717
Walgreens Boots Alliance Inc		380,989		16,360
Walmart Inc		237,154		29,421
WD-40 Co		14,216		2,727
				263,738
Energy — 0.5%
Phillips 66		103,300		8,084
Valero Energy Corp		72,200		4,811
				12,895
Financials — 7.6%
1st Source Corp		3,670		127
Aflac Inc		197,364		7,198
Allstate Corp/The		218,900		21,411

5 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Global Managed Volatility Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
American Financial Group Inc/OH		95,263	$	5,739
Annaly Capital Management Inc ‡		540,500		3,330
Arbor Realty Trust Inc ‡		345,900		2,913
Ares Capital Corp		210,500		3,105
Associated Banc-Corp		64,455		903
Axis Capital Holdings Ltd		125,400		4,708
BancFirst Corp		4,704		179
Bancorp Inc/The *		6,598		58
Bank of America Corp		136,830		3,300
Bank of Hawaii Corp		21,410		1,377
Bank of Marin Bancorp		926		31
BankFinancial Corp		18,693		170
Bankwell Financial Group Inc		909		13
Banner Corp		13,495		507
Baycom Corp *		3,168		42
Berkshire Hathaway Inc, Cl B *		124,621		23,127
BlackRock TCP Capital Corp		93,438		953
BOK Financial Corp		8,934		455
Boston Private Financial Holdings Inc		5,839		40
Bridge Bancorp Inc		3,623		77
Bridgewater Bancshares Inc *		6,175		64
Brookline Bancorp Inc		18,922		176
Bryn Mawr Bank Corp		4,802		133
Camden National Corp		2,985		100
Capitol Federal Financial Inc		34,733		407
Carter Bank & Trust		4,661		33
Cathay General Bancorp		18,544		504
Cboe Global Markets Inc		45,506		4,845
CBTX Inc		4,594		94
Central Pacific Financial Corp		50,110		807
Chimera Investment Corp ‡		284,400		2,363
CIT Group Inc		30,550		554
CNA Financial Corp		19,680		595
Columbia Banking System Inc		4,579		112
Columbia Financial Inc *		24,073		339
Commerce Bancshares Inc/MO		27,488		1,752
Community Trust Bancorp Inc		1,332		44
ConnectOne Bancorp Inc		14,413		211
CVB Financial Corp		14,884		290
Employers Holdings Inc		8,248		247
Enterprise Financial Services Corp		2,867		84
Erie Indemnity Co, Cl A		8,592		1,549
Everest Re Group Ltd		31,133		6,177
Farmers National Banc Corp		1,592		19
Fidus Investment Corp		16,832		161
Fifth Third Bancorp		63,709		1,235
Financial Institutions Inc		5,314		94
First Bancorp/Southern Pines NC		4,462		113
First Busey Corp		8,440		151
First Choice Bancorp		1,028		14
First Commonwealth Financial Corp		20,867		171
First Defiance Financial Corp		10,154		169

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
First Hawaiian Inc		21,742	$	375
First Interstate BancSystem Inc, Cl A		7,604		238
First Merchants Corp		1,625		46
First of Long Island Corp/The		5,099		78
Flagstar Bancorp Inc		32,995		967
FNB Corp/PA		46,527		345
Fulton Financial Corp		7,446		84
Globe Life Inc		74,303		5,723
Great Southern Bancorp Inc		3,590		146
HarborOne Bancorp Inc *		80,255		640
Hartford Financial Services Group Inc/The		209,700		8,029
Hilltop Holdings Inc		21,042		393
HomeStreet Inc		1,919		46
HomeTrust Bancshares Inc		15,505		239
Hope Bancorp Inc		15,729		149
Independent Bank Corp/MI		24,528		339
Investors Bancorp Inc		5,924		51
JPMorgan Chase & Co		118,431		11,525
Kearny Financial Corp/MD		50,693		434
Lakeland Bancorp Inc		26,136		290
Lakeland Financial Corp		6,854		293
Lincoln National Corp		151,236		5,736
Loews Corp		61,541		2,046
Macatawa Bank Corp		2,501		19
Mercantile Bank Corp		3,028		69
Meridian Bancorp Inc		30,904		356
MetLife Inc		136,866		4,929
Metropolitan Bank Holding Corp *		644		18
National Bank Holdings Corp, Cl A		14,404		379
National Western Life Group Inc, Cl A		150		29
NBT Bancorp Inc		2,347		74
New Mountain Finance Corp		1,132		11
Northfield Bancorp Inc		23,001		251
Northwest Bancshares Inc		123,928		1,234
Oaktree Strategic Income Corp		199		1
OceanFirst Financial Corp		3,449		58
Old National Bancorp/IN		19,090		259
Old Second Bancorp Inc		7,759		60
PCB Bancorp		1,470		13
PCSB Financial Corp		8,024		107
Peoples Bancorp Inc/OH		12,877		289
PNC Financial Services Group Inc/The		38,500		4,391
Preferred Bank/Los Angeles CA		3,789		142
Progressive Corp/The		26,496		2,058
Provident Financial Holdings Inc		9,453		122
Provident Financial Services Inc		40,232		524
Prudential Financial Inc		83,273		5,076
QCR Holdings Inc		2,100		64
Radian Group Inc		57,979		921
Reinsurance Group of America Inc, Cl A		63,594		5,771
RenaissanceRe Holdings Ltd		24,894		4,179
Sandy Spring Bancorp Inc		3,440		83

6 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Global Managed Volatility Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Sierra Bancorp		899	$	17
Solar Capital Ltd		9,799		165
Solar Senior Capital Ltd		6,117		78
Southside Bancshares Inc		1,147		32
Starwood Property Trust Inc ‡		211,700		2,807
Stellus Capital Investment Corp		100		1
Stock Yards Bancorp Inc		5,059		172
TCG BDC Inc		10,095		90
Territorial Bancorp Inc		2,474		63
TPG Specialty Lending Inc		23,637		435
Travelers Cos Inc/The		66,600		7,125
TriCo Bancshares		4,291		122
TriState Capital Holdings Inc *		5,952		89
TrustCo Bank Corp NY		30,117		190
Trustmark Corp		44,240		1,052
Two Harbors Investment Corp ‡		222,800		1,007
UMB Financial Corp		3,331		171
Umpqua Holdings Corp		105,386		1,200
United Community Banks Inc/GA		15,757		308
Univest Financial Corp		10,754		177
US Bancorp		150,185		5,341
Voya Financial Inc		78,873		3,553
Washington Federal Inc		59,161		1,530
Washington Trust Bancorp Inc		2,184		70
Waterstone Financial Inc		85,537		1,275
Wells Fargo & Co		204,500		5,413
Westamerica BanCorp		6,717		396
Zions Bancorp NA		26,439		870
				206,818
Health Care — 12.7%
Amgen Inc		103,177		23,700
AMN Healthcare Services Inc *		1,860		83
AngioDynamics Inc *		3,451		35
Anika Therapeutics Inc *		2,936		98
Anthem Inc		28,108		8,267
Becton Dickinson and Co		15,329		3,785
Biogen Inc *		24,256		7,449
Bio-Rad Laboratories Inc, Cl A *		13,037		6,405
Bristol-Myers Squibb Co		274,095		16,369
Bruker Corp		11,302		489
Cerner Corp		94,827		6,913
Chemed Corp		26,986		12,913
Computer Programs and Systems Inc		18,023		399
CONMED Corp		1,718		126
CVS Health Corp		40,673		2,667
Danaher Corp		73,455		12,238
DaVita Inc *		37,833		3,063
Enanta Pharmaceuticals Inc *		2,487		128
Encompass Health Corp		105,391		7,720
Gilead Sciences Inc		195,378		15,206
Hanger Inc *		11,780		216
HCA Healthcare Inc		135,654		14,501

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
HealthStream Inc *		8,152	$	186
Henry Schein Inc *		48,329		2,935
Hill-Rom Holdings Inc		8,257		840
Hologic Inc *		7,781		412
Humana Inc		18,055		7,414
IDEXX Laboratories Inc *		3,746		1,157
Integer Holdings Corp *		1,755		139
Johnson & Johnson		307,401		45,726
Laboratory Corp of America Holdings *		8,687		1,523
Luminex Corp		21,286		663
Masimo Corp *		16,179		3,886
Medtronic PLC		151,721		14,957
Merck & Co Inc		425,618		34,356
Mettler-Toledo International Inc *		4,681		3,721
National HealthCare Corp		17,703		1,187
NextGen Healthcare Inc *		1,109		11
NuVasive Inc *		7,958		482
Orthofix Medical Inc *		18,249		622
Pfizer Inc		880,732		33,635
Phibro Animal Health Corp, Cl A		15,960		418
Prestige Consumer Healthcare Inc *		49,788		2,101
Quest Diagnostics Inc		50,234		5,942
Regeneron Pharmaceuticals Inc *		11,296		6,922
Select Medical Holdings Corp *		39,564		639
STERIS PLC		19,318		3,205
Taro Pharmaceutical Industries Ltd *		7,891		538
United Therapeutics Corp *		14,400		1,699
UnitedHealth Group Inc		2,011		613
Universal Health Services Inc, Cl B		139,930		14,756
USANA Health Sciences Inc *		37,440		3,172
Varian Medical Systems Inc *		13,708		1,664
Vertex Pharmaceuticals Inc *		21,702		6,249
West Pharmaceutical Services Inc		15,992		3,455
				347,995
Industrials — 4.6%
Allison Transmission Holdings Inc, Cl A		162,700		6,137
Brady Corp, Cl A		38,074		1,947
Carrier Global Corp *		50,300		1,030
CBIZ Inc *		4,361		99
CECO Environmental Corp *		3,149		17
CH Robinson Worldwide Inc		55,298		4,486
Cintas Corp		9,234		2,290
EMCOR Group Inc		8,317		529
Ennis Inc		26,011		463
Expeditors International of Washington Inc		55,665		4,251
General Dynamics Corp		61,300		9,001
HD Supply Holdings Inc *		179,600		5,695
Herman Miller Inc		35,937		827
HNI Corp		14,506		369
Huron Consulting Group Inc *		1,388		64
Kforce Inc		2,169		66
Knoll Inc		3,525		37

7 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Global Managed Volatility Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Lockheed Martin Corp		39,023	$	15,158
McGrath RentCorp		10,172		567
Northrop Grumman Corp		47,842		16,037
Otis Worldwide Corp		25,150		1,324
Raytheon Technologies Corp		190,621		12,299
Regal Beloit Corp		4,891		389
Republic Services Inc, Cl A		161,679		13,817
Resources Connection Inc		10,816		119
Robert Half International Inc		16,494		837
Rollins Inc		104,067		4,350
Steelcase Inc, Cl A		38,604		447
TrueBlue Inc *		33,877		524
United Parcel Service Inc, Cl B		45,083		4,495
Waste Management Inc		175,369		18,721
				126,392
Information Technology — 10.0%
Accenture PLC, Cl A		3,920		790
ADTRAN Inc		20,602		235
Advanced Micro Devices Inc *		19,757		1,063
Agilysys Inc *		3,072		59
Akamai Technologies Inc *		2,320		245
Amdocs Ltd		472,097		29,393
Apple Inc		13,059		4,152
Benchmark Electronics Inc		3,467		73
Booz Allen Hamilton Holding Corp, Cl A		39,830		3,177
CACI International Inc, Cl A *		57,116		14,324
Calix Inc *		37,320		526
CDK Global Inc		136,000		5,346
Ciena Corp *		59,545		3,290
Cisco Systems Inc		600,651		28,723
Citrix Systems Inc		112,624		16,682
Cognizant Technology Solutions Corp, Cl A		151,900		8,051
CommVault Systems Inc *		19,478		788
Comtech Telecommunications Corp		6,535		116
Cornerstone OnDemand Inc *		9,536		369
CSG Systems International Inc		65,098		3,082
DocuSign Inc, Cl A *		22,387		3,128
Dropbox Inc, Cl A *		12,189		275
DSP Group Inc *		2,459		44
EchoStar Corp, Cl A *		41,188		1,283
F5 Networks Inc *		34,137		4,947
Genpact Ltd		67,352		2,421
Intel Corp		397,800		25,034
InterDigital Inc		3,776		208
International Business Machines Corp		165,800		20,708
Intuit Inc		8,861		2,573
J2 Global Inc		15,098		1,182
Juniper Networks Inc		341,579		8,287
ManTech International Corp/VA, Cl A		2,321		180
MAXIMUS Inc		26,731		1,925
Microsoft Corp		56,650		10,381
MicroStrategy Inc, Cl A *		3,423		426

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Model N Inc *		3,377	$	108
Motorola Solutions Inc		22,243		3,010
NetScout Systems Inc *		44,489		1,222
NortonLifeLock Inc		152,062		3,464
Nuance Communications Inc *		37,169		850
Oracle Corp		636,224		34,210
Paychex Inc		20,424		1,476
Progress Software Corp		42,298		1,709
QAD Inc, Cl A		1,919		88
Radware Ltd *		16,101		384
Ribbon Communications Inc *		6,144		27
ScanSource Inc *		6,117		151
Silicom Ltd *		859		29
SPS Commerce Inc *		11,312		771
SS&C Technologies Holdings Inc		10,004		579
Sykes Enterprises Inc *		95,054		2,591
Synopsys Inc *		5,200		941
Teradyne Inc		66,982		4,489
VeriSign Inc *		19,657		4,305
Viavi Solutions Inc *		111,510		1,292
Western Union Co/The		434,910		8,707
				273,889
Materials — 1.2%
Kaiser Aluminum Corp		21,973		1,577
Materion Corp		38,447		2,018
Newmont Corp		105,427		6,164
Reliance Steel & Aluminum Co		62,551		6,067
Royal Gold Inc		36,557		4,869
Sealed Air Corp		220,200		7,068
Silgan Holdings Inc		176,983		5,918
				33,681
Real Estate — 0.9%
Brandywine Realty Trust ‡		425,400		4,105
CTO Realty Growth Inc		625		26
Gaming and Leisure Properties Inc ‡		139,300		4,811
National Health Investors Inc ‡		106,100		5,888
Piedmont Office Realty Trust Inc, Cl A ‡		192,900		3,218
VEREIT Inc ‡		1,157,900		6,345
				24,393
Utilities — 4.2%
ALLETE Inc		8,102		476
Alliant Energy Corp		96,570		4,767
American Electric Power Co Inc		45,477		3,877
Atlantica Sustainable Infrastructure PLC		3,753		98
Avista Corp		28,592		1,120
Black Hills Corp		13,634		841
CenterPoint Energy Inc		227,587		4,047
Consolidated Edison Inc		71,021		5,331
Entergy Corp		123,800		12,605
Evergy Inc		12,222		754
Exelon Corp		608,060		23,295

8 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Global Managed Volatility Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
FirstEnergy Corp		342,500	$	14,474
Hawaiian Electric Industries Inc		114,206		4,507
IDACORP Inc		19,844		1,850
MDU Resources Group Inc		119,156		2,593
National Fuel Gas Co		166,500		6,988
NextEra Energy Inc		8,129		2,077
NorthWestern Corp		44,859		2,697
Otter Tail Corp		3,124		134
Portland General Electric Co		72,577		3,419
Public Service Enterprise Group Inc		262,900		13,418
Southern Co/The		40,488		2,311
Star Group LP (A)		3,247		26
Unitil Corp		8,105		390
Xcel Energy Inc		60,725		3,949
				116,044
				1,690,447
Total Common Stock (Cost $2,668,023) ($ Thousands)				2,667,007

Description	Shares		Market Value ($ Thousands)
PREFERRED STOCK — 0.1%
Germany — 0.1%
Henkel AG & Co KGaA (B)		36,644	$	3,272
Total Preferred Stock (Cost $3,025) ($ Thousands)				3,272
CASH EQUIVALENT — 1.3%
SEI Daily Income Trust, Government Fund, Cl F
0.090% **†		36,577,903		36,578
Total Cash Equivalent (Cost $36,578) ($ Thousands)				36,578
Total Investments — 98.8% (Cost $2,707,626) ($ Thousands)			$	2,706,857

A list of the open futures contracts held by the Fund at May 31, 2020, is as follows:

Type of Contract	Number of Contracts Long	Expiration Date	Notional Amount (Thousands)		Value (Thousands)		Unrealized Appreciation (Thousands)
Euro STOXX 50	133	Jun-2020	$	4,182	$	4,506	$	245
FTSE 100 Index	28	Jun-2020		2,055		2,098		46
Hang Seng Index	3	Jul-2020		438		441		2
S&P 500 Index E-MINI	146	Jun-2020		21,140		22,207		1,067
SPI 200 Index	12	Jun-2020		1,066		1,145		58
TOPIX Index	18	Jun-2020		2,444		2,605		171
			$	31,325	$	33,002	$	1,589

A list of the open forward foreign currency contracts held by the Fund at May 31, 2020, is as follows:

Counterparty	Settlement Date		Currency to Deliver (Thousands)			Currency to Receive (Thousands)			Unrealized Appreciation (Depreciation) (Thousands)
Brown Brothers Harriman		06/25/20		USD	33		SEK	315	$	1
Brown Brothers Harriman		06/25/20		USD	42		DKK	283		1
Brown Brothers Harriman		06/25/20		USD	83		SGD	118		—
Brown Brothers Harriman		06/25/20		USD	103		NOK	1,018		2
Brown Brothers Harriman		06/25/20		USD	170		NZD	274		(1	)
Brown Brothers Harriman		06/25/20		USD	397		AUD	596		(1	)
Brown Brothers Harriman		06/25/20		USD	489		CHF	474		5
Brown Brothers Harriman		06/25/20		USD	669		EUR	608		8
Brown Brothers Harriman		06/25/20		USD	718		CAD	991		(1	)
Brown Brothers Harriman		06/25/20		USD	90		GBP	74		1
Brown Brothers Harriman		06/25/20		USD	637		GBP	515		—
Brown Brothers Harriman		06/25/20		USD	852		JPY	91,521		(2	)
Brown Brothers Harriman		06/25/20		NZD	85		USD	53		—

9 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Global Managed Volatility Fund (Continued)

May 31, 2020

Brown Brothers Harriman	06/25/20	NZD	15,278	USD	9,341		(115	)
Brown Brothers Harriman	06/25/20	SGD	21,668	USD	15,284		(50	)
Brown Brothers Harriman	06/25/20	AUD	151	USD	101		—
Brown Brothers Harriman	06/25/20	AUD	33,769	USD	22,185		(225	)
Brown Brothers Harriman	06/25/20	GBP	46,874	USD	57,262		(682	)
Brown Brothers Harriman	06/25/20	DKK	46,988	USD	6,897		(120	)
Brown Brothers Harriman	06/25/20	CHF	63,466	USD	65,411		(724	)
Brown Brothers Harriman	06/25/20	CAD	705	USD	512		2
Brown Brothers Harriman	06/25/20	CAD	71,720	USD	51,443		(458	)
Brown Brothers Harriman	06/25/20	NOK	99,805	USD	10,014		(260	)
Brown Brothers Harriman	06/25/20	EUR	101,709	USD	111,336		(1,844	)
Brown Brothers Harriman	06/25/20	SEK	104,157	USD	10,809		(256	)
Brown Brothers Harriman	06/25/20	JPY	339,672	USD	3,157		2
Brown Brothers Harriman	06/25/20	JPY	13,909,181	USD	129,012		(156	)
Brown Brothers Harriman	06/26/20	USD	84	HKD	654		—
Brown Brothers Harriman	06/26/20	HKD	131,320	USD	16,920		(15	)
						$	(4,888	)

Percentages are based on a Net Assets of $2,738,825 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2020.

‡ Real Estate Investment Trust.

† Investment in Affiliated Security (see Note 6).

(A) Security is a Master Limited Partnership. At May 31, 2020, such securities amounted to $26 ($ Thousands), or 0.0% of Net Assets of the Fund (See Note 2).

(B) There is currently no rate available.

AUD — Australian Dollar

CAD — Canadian Dollar

CHF — Swiss Franc

Cl — Class

DKK — Danish Krone

EUR — Euro

FTSE— Financial Times Stock Exchange

GBP — British Pound Sterling

HKD — Hong Kong Dollar

JPY — Japanese Yen

L.P. — Limited Partnership

Ltd. — Limited

NOK — Norwegian Krone

NZD — New Zealand Dollar

PLC — Public Limited Company

REIT — Real Estate investment Trust

S&P— Standard & Poor’s

SEK — Swedish Krona

SGD — Singapore Dollar

SPI — Share Price Index

TOPIX — Tokyo Price Index

USD — United States Dollar

The following is a list of the level of inputs used as of May 31, 2020, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Common Stock		2,640,928		26,079		—		2,667,007
Preferred Stock		3,272		—		—		3,272
Cash Equivalent		36,578		—		—		36,578
Total Investments in Securities		2,680,778		26,079		—		2,706,857

Other Financial Instruments	Level 1 ($)		Level 2 ($)			Level 3 ($)		Total ($)
Futures Contracts*
Unrealized Appreciation		1,589		—			—		1,589
Forwards Contracts*
Unrealized Appreciation		—		22			—		22
Unrealized Depreciation		—		(4,910	)		—		(4,910	)
Total Other Financial Instruments		1,589		(4,888	)		—		(3,299	)

* Futures contracts and forwards contracts are valued at the unrealized appreciation (depreciation) on the instrument.

For the year ended May 31, 2020, there were no transfers in or out of Level 3.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

10 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Global Managed Volatility Fund (Concluded)

May 31, 2020

The following is a summary of the Fund’s transactions with affiliates for the year ended May 31, 2020 ($ Thousands):

Security Description	Value 5/31/2019			Purchases at Cost			Proceeds from Sales				Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Value 5/31/2020			Shares		Income			Capital Gains
SEI Daily Income Trust, Government Fund, Cl F		$	30,361		$	670,737		$	(664,520	)		$	—		$	—		$	36,578		36,577,903		$	923		$	—

Amounts designated as “—” are either $0 or have been rounded to $0.    

The accompanying notes are an integral part of the financial statements.    

11 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

World Equity Ex-US Fund

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK — 95.2%
Argentina — 0.6%
MercadoLibre Inc *		58,666	$	49,964
Australia — 4.6%
a2 Milk Co Ltd *		4,779,582		56,188
Aristocrat Leisure Ltd		866,365		14,791
ASX Ltd		755,615		44,229
BGP Holdings (A)*		239,898		—
BlueScope Steel Ltd		4,013,344		29,385
Brambles Ltd		142,347		1,100
Cochlear Ltd		118,063		15,126
CSL Ltd		90,616		16,615
Evolution Mining Ltd		781,325		3,164
Fortescue Metals Group Ltd		2,513,549		23,192
Macquarie Group Ltd		78,410		5,724
Mineral Resources Ltd		246,499		3,078
Newcrest Mining Ltd (A)		2,823,351		57,311
Northern Star Resources Ltd		2,443,570		24,006
Orora Ltd		741,973		1,305
OZ Minerals Ltd		140,290		877
Perseus Mining *		1,169,018		1,005
Qantas Airways Ltd		13,484,986		35,716
QBE Insurance Group Ltd		76,570		449
Regis Resources Ltd		517,516		1,855
Rio Tinto Ltd		52,984		3,285
South32 Ltd		6,799,838		8,621
Suncorp Group Ltd		4,133,820		25,327
Technology One		120,019		728
				373,077
Austria — 0.0%
Raiffeisen Bank International AG		81,545		1,500
Belgium — 0.4%
Colruyt SA		17,504		1,059
KBC Group NV		465,801		24,388
Umicore SA		240,512		10,659
				36,106
Brazil — 0.9%
B3 SA - Brasil Bolsa Balcao		4,585,631		38,510
EDP - Energias do Brasil SA		234,596		766
IRB Brasil Resseguros S/A		1,177,325		1,751
Linx SA		7,248,842		27,028
Porto Seguro SA		55,488		475
YDUQS Part		1,580,400		8,293
				76,823
Canada — 3.5%
Agnico Eagle Mines Ltd		301,280		19,201
Bank of Montreal		254,300		12,496
BRP Inc		171,967		5,932
Cogeco Communications Inc		25,155		1,871
Constellation Software Inc/Canada		32,791		37,131
Empire Co Ltd, Cl A		331,600		7,476

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Enghouse Systems Ltd		34,400	$	1,489
Fairfax Financial Holdings Ltd		29,955		8,289
First Quantum Minerals Ltd		842,850		4,921
Home Capital Group Inc, Cl B *		645,300		8,866
iA Financial Corp Inc		89,501		2,847
Lundin Mining Corp		8,585,779		39,382
Manulife Financial Corp		969,900		11,999
Open Text Corp		413,498		17,112
Power Corp of Canada		111,581		1,809
Quebecor Inc, Cl B		707,120		15,486
Ritchie Bros Auctioneers Inc		211,622		9,157
Stantec Inc		36,000		1,083
Sun Life Financial Inc		320,200		10,941
Tencent Music Entertainment Group ADR *		954,905		12,338
TMX Group Ltd		540,854		54,003
				283,829
Chile — 0.1%
Enel Americas SA ADR (B)		561,510		4,166
Enel Chile SA ADR		67,815		252
				4,418
China — 3.4%
Alibaba Group Holding Ltd ADR *		134,005		27,792
Baidu Inc ADR *		99,346		10,585
Bank of Communications Co Ltd, Cl H		4,065,000		2,465
China Communications Services Corp Ltd, Cl H		3,178,000		2,103
China Conch Venture Holdings Ltd		862,500		3,872
China Construction Bank Corp, Cl H		8,210,000		6,451
China Minsheng Banking, Cl H		760,025		528
China Mobile Ltd		2,375,500		16,580
China National Building Material Co Ltd, Cl H		3,026,000		3,397
China Railway Group Ltd, Cl H		1,016,000		555
China Telecom Corp Ltd, Cl H		9,116,000		3,023
Fujian Sunner Development, Cl A		5,335,706		19,377
Hollysys Automation Technologies Ltd		1,107,170		13,829
LONGi Green Energy Technology Co Ltd, Cl A		1,102,900		5,002
Midea Group Co Ltd, Cl A		5,298,084		43,760
Momo Inc ADR		1,771,989		34,377
Oppein Home Group, Cl A		1,430,300		24,232
PICC Property & Casualty Co Ltd		26,096,000		22,591
Ping An Insurance Group Co of China Ltd, Cl H		1,005,000		9,919
Vipshop Holdings Ltd ADR *		575,549		9,980
Weichai Power Co Ltd, Cl H		8,078,000		13,986
				274,404
Denmark — 3.2%
Chr Hansen Holding A/S		110,903		10,745
Coloplast A/S, Cl B		32,730		5,495
DSV PANALPINA A/S		216,890		22,917
Genmab A/S *		23,470		7,215
GN Store Nord A/S		108,073		5,834

1 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

World Equity Ex-US Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
H Lundbeck A/S		128,547	$	4,938
ISS		46,967		780
Novo Nordisk A/S, Cl B		814,223		53,010
Novozymes A/S, Cl B		300,525		16,433
Orsted A/S		437,872		51,415
Pandora A/S		443,823		22,103
Royal Unibrew A/S		53,670		4,301
Vestas Wind Systems A/S		528,675		53,951
				259,137
Finland — 0.5%
Kone Oyj, Cl B		320,060		21,461
Neste Oyj		171,790		6,940
Nokia Oyj		444,724		1,764
Orion Oyj, Cl B		226,267		12,106
Outotec (B)		198,989		1,022
Sanoma Oyj		27,718		269
				43,562
France — 5.9%
Airbus SE		470,214		29,656
Alstom SA		595,980		25,086
Atos SE		341,760		25,782
BNP Paribas SA		332,777		11,940
Cie de Saint-Gobain		1,465,272		47,381
Criteo SA ADR *		113,015		1,158
Danone SA		181,833		12,451
Edenred		494,504		20,671
Euronext NV		501,514		46,246
Faurecia SE		667,493		25,734
Ipsen SA		25,635		2,016
Legrand SA		152,514		10,399
L’Oreal SA		147,574		42,992
Orange SA		6,554,104		79,065
Peugeot SA		2,294,613		32,684
Remy Cointreau (B)		27,665		3,287
Sanofi		489,267		47,637
Ubisoft Entertainment SA *		183,322		14,205
				478,390
Germany — 6.5%
Allianz SE		273,616		49,555
Aroundtown SA		5,008,276		27,532
Bayer AG		27,416		1,852
Deutsche Boerse AG		498,118		81,948
E.ON SE		1,111,440		11,752
Evonik Industries AG		992,946		24,465
METRO AG		1,148,353		10,725
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen		218,453		49,717
Rheinmetall AG		527,868		42,840
SAP SE		934,718		118,009
Scout24 AG		463,137		35,418
Siemens AG		190,536		20,883

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
TAG Immobilien AG		28,561	$	663
TeamViewer *		1,094,107		55,685
				531,044
Greece — 0.2%
Hellenic Telecommunications Organization SA		690,180		9,719
OPAP SA		474,390		4,433
				14,152
Hong Kong — 5.9%
AIA Group Ltd		3,679,000		29,831
Alibaba Group Holding *		2,101,544		52,681
Alibaba Health Information Technology *		1,650,000		3,866
Anhui Conch Cement Co Ltd, Cl H		4,715,000		35,312
Chaoda Modern Agriculture Holdings Ltd *		52,790		—
China Aoyuan Group Ltd		4,679,046		4,962
China Lesso Group Holdings Ltd		2,430,000		2,935
China Resources Cement Holdings Ltd		6,416,000		8,054
China Resources Gas Group Ltd		2,984,000		16,266
China Unicom Hong Kong Ltd		542,000		314
CITIC Ltd		757,000		719
CK Asset Holdings Ltd		171,000		930
CNOOC Ltd		3,619,000		4,029
Country Garden Services Holdings Co Ltd *		1,816,283		8,506
Dongyue Group Ltd		4,653,000		1,849
Ever Sunshine Lifestyle Services Group		544,000		853
Greentown China Holdings		487,637		486
Guangzhou Automobile Group Co Ltd, Cl H		15,072,000		12,387
Hengan International Group Co Ltd		381,000		3,111
Hong Kong Exchanges & Clearing Ltd		1,889,381		65,864
Hongkong Land Holdings Ltd		183,200		689
Industrial & Commercial Bank of China Ltd, Cl H		33,473,000		21,593
Kingboard Holdings Ltd		388,500		937
Lee & Man Paper Manufacturing Ltd		2,233,243		1,202
Logan Property Holdings Co Ltd		2,733,368		4,070
Meituan Dianping, Cl B *		621,500		11,763
NetDragon Websoft Holdings Ltd		423,000		1,050
Nine Dragons Paper Holdings Ltd		4,495,000		3,932
Ping An Healthcare and Technology Co Ltd *		1,598,700		21,059
Poly Property Group Co Ltd		1,700,819		542
Powerlong Real Estate Holdings		970,000		538
Road King Infrastructure Ltd		268,064		348
Ronshine China Holdings		580,193		518
Samsonite International		2,633,100		2,493
Shanghai Pharmaceuticals Holding Co Ltd, Cl H		19,701,200		31,162
Shimao Property Holdings Ltd		476,000		1,977
Swire Pacific Ltd, Cl A		146,000		757
Tencent Holdings Ltd		590,500		31,266
Tingyi Cayman Islands Holding Corp		1,142,000		1,963
Vinda International Holdings		641,000		1,948

2 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

World Equity Ex-US Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
WH Group Ltd		33,606,000	$	28,962
Xinyi Glass Holdings Ltd		26,520,000		28,056
Yuexiu Property Co Ltd		5,429,954		974
Zhongsheng Group Holdings Ltd		3,397,061		17,443
Zoomlion Heavy Industry Science and Technology Co Ltd		9,239,924		7,570
				475,767
Hungary — 0.1%
MOL Hungarian Oil & Gas PLC		241,006		1,525
OTP Bank Nyrt		278,015		9,259
				10,784
India — 0.7%
HDFC Bank Ltd ADR		196,260		8,210
Housing Development Finance Corp Ltd		772,227		16,941
Tech Mahindra Ltd		4,723,278		33,134
				58,285
Ireland — 1.5%
Bank of Ireland Group PLC		4,936,745		8,880
CRH PLC		423,183		13,712
ICON PLC *		438,973		73,945
Ryanair Holdings PLC ADR *		299,739		21,512
				118,049
Israel — 1.7%
Bank Hapoalim BM		3,887,522		23,925
Bank Leumi Le-Israel BM		5,695,591		30,197
Bezeq Israeli Telecommunication		446,198		382
Check Point Software Technologies Ltd *(B)		499,395		54,768
Isracard		18		—
Israel Discount Bank Ltd, Cl A		1,633,489		5,195
Mizrahi Tefahot Bank Ltd		163,849		3,218
Nice Ltd *		20,658		3,743
Nice Ltd ADR *(B)		78,977		14,701
				136,129
Italy — 1.7%
A2A SpA		1,036,025		1,438
Assicurazioni Generali SpA *		145,109		2,015
Azimut Holding		29,413		488
Banca Generali *		38,911		1,054
Banca Mediolanum SpA		188,866		1,258
Enel SpA		4,654,069		35,726
Hera SpA		1,981,725		7,605
Leonardo SpA		500,214		3,116
Mediobanca Banca di Credito Finanziario SpA		2,604,430		16,907
Moncler SpA		114,460		4,259
Prysmian SpA		2,414,500		51,419
Recordati SpA		228,585		10,405
Saras SpA		1,530,139		1,370
				137,060

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Japan — 14.4%
Alps Alpine Co Ltd		1,375,700	$	16,626
Anritsu Corp		2,089,700		41,179
Capcom Co Ltd		284,600		10,052
Dai Nippon Printing Co Ltd		39,100		889
Daifuku Co Ltd		68,600		5,336
Dai-ichi Life Holdings Inc		37,600		490
Daikin Industries Ltd		35,900		5,281
Daito Trust Construction Co Ltd		109,700		11,593
Daiwa House Industry Co Ltd		561,900		13,949
Daiwa Securities Group Inc		10,410,200		43,164
Denso Corp		315,200		12,086
FANUC Corp		90,000		16,052
Fuji Electric Co Ltd		917,000		24,505
Fujitsu Ltd		244,700		25,212
Goldcrest Co Ltd		53,353		781
Haseko Corp		76,100		928
Hitachi Ltd		1,196,900		38,384
Japan Exchange Group Inc		1,361,600		29,283
Japan Post Holdings Co Ltd		76,900		560
JXTG Holdings Inc		6,817,100		26,215
Kao Corp		617,700		49,578
KDDI Corp		736,800		21,447
Kobayashi Pharmaceutical Co Ltd		440,474		39,249
Konami Holdings Corp		66,700		2,343
Medipal Holdings Corp		214,200		4,249
Mitsubishi UFJ Financial Group Inc		9,454,800		38,983
Mitsui & Co Ltd		428,400		6,503
Mixi Inc		219,600		3,571
Morinaga		273,000		11,720
MS&AD Insurance Group Holdings Inc		25,900		761
Nichirei		659,600		18,582
Nidec Corp		319,900		19,663
Nihon Unisys Ltd		155,300		4,800
Nintendo Co Ltd		100,000		40,414
Nippon Telegraph & Telephone Corp		1,630,000		36,977
Nissan Tokyo Sales Holdings Co Ltd		86,600		187
Nisshin Oillio Group Ltd/The		39,500		1,261
NKSJ Holdings		56,100		1,995
NTT DOCOMO Inc		557,300		15,268
Olympus Corp		400,300		6,954
ORIX Corp		1,124,100		14,910
Panasonic Corp		547,200		4,891
PeptiDream Inc *		911,000		40,884
Rakuten Inc		5,203,792		47,143
Recruit Holdings Co Ltd		1,529,900		52,684
Resona Holdings Inc		285,900		1,029
SBI Holdings Inc/Japan		2,247,704		48,173
SCREEN Holdings Co Ltd		301,000		13,480
Secom Co Ltd		38,500		3,335
Sekisui House		648,572		12,356
SG Holdings Co Ltd		743,100		24,245

3 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

World Equity Ex-US Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Shimano Inc		100,900	$	18,553
SMC Corp/Japan		45,200		22,811
Sony Corp		314,000		20,035
Suzuken Co Ltd/Aichi Japan		41,390		1,504
Takeda Pharmaceutical Co Ltd		1,407,100		54,738
Terumo Corp		1,228,300		48,227
TIS Inc		842,800		17,969
Toho Holdings Co Ltd		74,000		1,477
Tokio Marine Holdings Inc		197,500		8,557
Tokyo Electric Power Co Holdings Inc *		2,099,200		7,073
Tokyo Electron Ltd		20,600		4,111
Toppan Printing Co Ltd		117,900		2,017
Tosoh Corp		1,831,000		25,459
Toyota Tsusho Corp		405,600		10,278
UT Group Co Ltd		1,002,300		18,793
Zenkoku Hosho Co Ltd		18,000		693
				1,172,495
Malaysia — 0.1%
CIMB Group Holdings Bhd		9,246,266		8,018
Hong Leong Financial Group Bhd		123,020		379
Tenaga Nasional Bhd		262,048		679
				9,076
Mexico — 0.0%
Grupo Aeroportuario del Centro Norte SAB de CV, Cl B *		320,626		1,415
Orbia Advance		548,278		798
Qualitas Controladora SAB de CV		227,007		913
				3,126
Netherlands — 5.8%
Adyen NV *		3,270		4,303
Aegon NV		774,540		2,072
AerCap Holdings NV *		948,280		30,573
Akzo Nobel NV		66,930		5,480
ASML Holding NV		71,669		23,354
ASR Nederland NV		283,755		7,796
EXOR NV		345,768		18,639
Galapagos NV *		36,896		7,525
Heineken Holding NV		237,296		19,559
IMCD NV		131,420		12,399
Koninklijke Ahold Delhaize NV		2,404,083		60,998
Koninklijke DSM NV		346,124		44,295
Koninklijke KPN NV		3,814,467		9,351
Koninklijke Philips NV		1,496,833		67,915
NN Group NV		1,721,624		53,181
OCI NV *		1,619,186		18,281
Prosus *		78,736		6,534
Randstad NV		148,311		6,224
Royal Dutch Shell PLC, Cl A		2,089,787		32,967
Takeaway.com *		91,323		9,910
TKH Group		20,123		711
Unilever NV		57,954		2,997

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
VEON Ltd ADR		558,830	$	833
Wolters Kluwer NV		261,735		20,869
				466,766
New Zealand — 0.0%
Fisher & Paykel Healthcare Corp Ltd		200,693		3,726
Norway — 0.8%
DNB ASA *		3,624,957		49,302
Salmar ASA		362,450		16,302
				65,604
Panama — 0.1%
Copa Holdings SA, Cl A		136,500		5,987
Peru — 0.1%
Credicorp Ltd		58,230		8,025
Poland — 0.0%
Dino Polska SA *		60,220		2,746
Portugal — 0.4%
EDP - Energias de Portugal SA		7,223,120		33,930
Jeronimo Martins SGPS SA *		61,186		1,047
				34,977
Russia — 1.1%
Magnit PJSC GDR		541,425		6,172
MMC Norilsk Nickel PJSC ADR		505,681		15,843
Mobile TeleSystems PJSC ADR		3,526,443		31,350
Sberbank of Russia PJSC ADR		741,926		8,384
Tatneft PJSC ADR		100,520		4,523
X5 Retail Group NV GDR		819,850		24,071
				90,343
Saudi Arabia — 0.1%
Al Hassan Ghazi Ibrahim Shaker *		122,562		269
Dar Al Arkan Real Estate Development *		1,372,971		2,509
Mobile Telecommunications Saudi Arabia *		442,688		1,271
Saudi Ground Services		130,726		992
				5,041
Singapore — 0.7%
Jardine Cycle & Carriage Ltd		92,300		1,427
Keppel Corp Ltd		8,946,500		37,409
Singapore Exchange Ltd		870,000		5,097
United Overseas Bank Ltd		608,702		8,398
Venture Corp Ltd		48,700		527
				52,858
South Africa — 0.3%
Discovery Ltd		1,636,944		9,123
Investec PLC (B)		365,384		647
Momentum Metropolitan Holdings		1,003,395		981
Naspers Ltd, Cl N		78,736		12,453
Telkom SA SOC Ltd		649,721		660
				23,864

4 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

World Equity Ex-US Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
South Korea — 5.7%
BNK Financial Group Inc		547,622	$	2,246
CJ		3,825		284
Coway Co Ltd		718,351		38,631
Daelim Industrial		64,253		4,789
DGB Financial Group Inc		154,853		658
Doosan Infracore Co Ltd *		185,739		780
GS Engineering & Construction Corp		25,431		586
Hana Financial Group Inc		2,120,869		50,948
Hanwha Aerospace Co Ltd *		72,254		1,418
KB Financial Group Inc		901,720		24,756
Kia Motors Corp		510,764		14,125
KT		30,562		601
KT Corp ADR		718,938		7,002
LG Display Co Ltd		606,423		4,995
LG Electronics Inc		237,021		11,349
LG Uplus Corp		203,689		2,163
NAVER Corp		70,617		12,887
NHN Corp *		23,347		1,646
Samsung Electronics Co Ltd		3,882,442		158,940
Samsung Engineering Co Ltd *		131,651		1,286
Samsung SDI Co Ltd		25,150		7,290
Samsung Securities Co Ltd		74,149		1,673
SK Hynix Inc		1,141,667		75,131
SK Telecom Co Ltd		199,491		34,793
				458,977
Spain — 1.4%
Amadeus IT Group SA, Cl A		267,170		13,950
Bankinter SA		1,609,763		6,824
Grifols SA		262,780		8,219
Grifols SA ADR		171,725		3,251
Industria de Diseno Textil SA		466,018		12,985
Repsol SA		2,606,072		24,264
Siemens Gamesa Renewable Energy SA *		2,771,585		46,661
				116,154
Sweden — 1.2%
Atlas Copco AB, Cl A		134,820		5,285
Atlas Copco AB, Cl B		576,185		20,323
Betsson AB		277,327		1,921
Epiroc AB, Cl B		1,166,800		12,996
Essity AB, Cl B		371,453		12,258
Evolution Gaming Group AB		61,040		3,602
Hennes & Mauritz AB, Cl B		435,029		6,566
ICA Gruppen AB *		31,756		1,491
Kinnevik		117,509		2,957
NCC, Cl B		39,732		628
Skanska AB, Cl B		50,519		1,009
SKF AB, Cl B		47,710		875
Swedish Match AB		332,317		23,062
Volvo AB, Cl B		253,901		3,592
				96,565

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Switzerland — 5.4%
Adecco Group AG		31,001	$	1,472
China Everbright Bank		6,082,550		3,243
Cie Financiere Richemont SA		177,192		10,306
Credit Suisse Group AG *		447,884		4,088
Geberit AG		12,490		6,076
Idorsia Ltd *		1,500,902		45,650
Kuehne + Nagel International AG		95,113		13,702
LafargeHolcim Ltd		913,323		37,780
Lonza Group AG		10,700		5,252
Nestle SA		493,614		53,364
Novartis AG		1,041,254		89,992
Roche Holding AG		405,759		140,518
Swiss Life Holding AG		44,817		15,740
Temenos AG		45,629		6,968
				434,151
Taiwan — 3.0%
ASROCK		361,000		1,695
Asustek Computer Inc		101,000		708
AU Optronics Corp		2,181,000		551
Chicony Electronics Co Ltd		173,000		495
Compal Electronics Inc		2,062,000		1,312
Ennoconn Corp *		51,000		328
Eva Airways Corp		1,841,974		675
FocalTech Systems *		1,063,000		1,075
General Interface Solution Holding Ltd		234,000		885
Holtek Semiconductor Inc		272,000		583
Hon Hai Precision Industry Co Ltd		5,349,000		13,504
Huaku Development Co Ltd		226,000		714
Innolux Corp, Cl A		16,327,544		3,382
International Games System Co Ltd		135,000		2,518
Inventec Corp		1,558,000		1,266
Kindom Development		1,822,131		1,790
Lite-On Technology Corp		1,226,000		1,964
MediaTek Inc		3,513,137		54,174
O-TA Precision Industry Co Ltd		669,000		901
Parade Technologies Ltd		378,000		10,827
Pegatron Corp		2,741,000		5,888
Pou Chen Corp		2,886,000		2,841
Powertech Technology Inc		310,000		1,001
Primax Electronics Ltd		200,000		309
Radiant Opto-Electronics Corp		290,000		995
Realtek Semiconductor Corp		2,019,000		17,383
Simplo Technology Co Ltd *		701,368		7,226
Synnex Technology International		836,000		1,236
Taiwan Business Bank		7,849,620		2,771
Taiwan Semiconductor Manufacturing Co Ltd		3,397,000		33,036
Taiwan Semiconductor Manufacturing Co
Ltd ADR		733,594		36,922
Taiwan Surface Mounting Technology Corp		277,000		1,056
TPK Holding Co Ltd		616,000		870
Wistron Corp		6,581,000		6,269

5 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

World Equity Ex-US Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Yuanta Financial Holding Co Ltd		20,255,215	$	10,963
Zhen Ding Technology Holding Ltd		3,462,000		13,779
				241,892
Thailand — 0.3%
PTT Exploration & Production PCL		988,300		2,610
Siam Commercial Bank PCL/The		9,212,300		21,431
Thanachart Capital PCL		707,300		811
				24,852
Turkey — 0.3%
Akbank T.A.S.		775,191		647
Haci Omer Sabanci Holding AS		1,115,278		1,357
KOC Holding AS		1,019,651		2,413
Tekfen Holding *		1,865,798		3,832
Trakya Cam Sanayii AS		2,285,865		1,079
Turkiye Garanti Bankasi AS		1,612,441		1,848
Turkiye Halk Bankasi AS		4,588,678		3,578
Turkiye Is Bankasi AS, Cl C		4,782,985		3,471
Turkiye Vakiflar Bankasi TAO, Cl D		5,642,370		3,846
Vestel Elektronik Sanayi *		232,342		483
Yapi ve Kredi Bankasi AS *		7,755,529		2,638
				25,192
United Arab Emirates — 0.0%
Emaar Properties PJSC		1,341,119		912
United Kingdom — 7.9%
3i Group PLC		187,534		1,913
Aggreko		133,533		776
Ashtead Group PLC		812,100		24,026
AstraZeneca PLC		46,630		4,946
Avast PLC		3,954,620		24,592
BAE Systems PLC		2,798,966		17,170
Barratt Developments PLC		478,659		2,941
Bellway		12,696		403
BHP Group PLC		285,920		5,589
Blue Prism Group plc *(B)		1,407,050		22,509
boohoo Group PLC *		3,001,533		14,365
British American Tobacco PLC		1,118,882		44,119
Burberry Group PLC		503,661		9,312
Centrica PLC		1,099,365		496
ConvaTec Group		5,997,657		15,038
Drax Group PLC		339,397		883
Dunelm Group PLC		59,904		790
Evraz PLC		701,652		2,450
Experian PLC		885,028		30,779
Ferrexpo PLC		2,429,432		5,283
Fresnillo PLC		2,039,891		19,827
GlaxoSmithKline PLC		1,552,400		32,086
Greencore Group PLC		10,613,527		17,753
Greggs PLC		70,543		1,612
GVC Holdings PLC		3,147,050		30,845
Hargreaves Lansdown PLC		798,149		18,092

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Inchcape PLC		349,408	$	2,162
Indivior PLC *		1,184,750		904
International Consolidated Airlines Group SA		1,018,144		2,876
Investec PLC		510,216		920
JD Sports Fashion PLC		550,517		4,481
John Wood Group PLC		11,325,378		26,918
Just Eat Takeaway *		131,798		14,257
Just Group		311,466		202
Kingfisher PLC		8,955,349		21,501
Kingspan Group PLC		329,359		20,351
Legal & General Group PLC		3,007,323		7,380
London Stock Exchange Group PLC		81,465		8,087
Man Group PLC/Jersey		6,683,453		11,766
Melrose Industries PLC		14,599,108		20,783
Ninety One *(B)		337,765		835
Pagegroup PLC		161,362		744
Persimmon		41,056		1,164
Prudential PLC		1,271,016		16,452
QinetiQ Group PLC		613,423		2,237
Rio Tinto PLC		358,400		19,110
Rio Tinto PLC ADR		38,828		2,094
Royal Dutch Shell PLC, Cl A		365,389		5,688
Royal Mail PLC		582,076		1,257
Smiths Group PLC		3,295,342		53,227
SSP Group Plc		413,602		1,427
St James’s Place PLC		602,641		6,845
Taylor Wimpey PLC		1,308,124		2,322
Tesco PLC		8,551,310		24,136
Vistry Group PLC		50,917		481
Vodafone Group PLC		189,512		312
Wizz Air Holdings *		271,987		11,029
				640,543
United States — 4.7%
Accenture PLC, Cl A		222,569		44,874
Aptiv PLC		699,892		52,737
Atlassian Corp PLC, Cl A *		348,761		64,626
Berry Global Group Inc *		882,475		39,632
Gentex Corp		1,276,672		33,755
IHS Markit Ltd		645,390		44,829
Medtronic PLC		406,156		40,039
Nomad Foods Ltd *		559,860		11,858
NXP Semiconductors NV		163,832		15,744
Sensata Technologies Holding PLC *		204,907		7,305
Spotify Technology SA *		101,499		18,364
XP, Cl A *		6,555		199
Yum China Holdings Inc		137,980		6,394
				380,356

6 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

World Equity Ex-US Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Total Common Stock (Cost $6,949,778) ($ Thousands)			$	7,726,708
PREFERRED STOCK — 0.1%
Brazil — 0.1%
Itau Unibanco Holding SA ADR (C)		1,058,537		4,499
Germany — 0.0%
Henkel AG & Co KGaA (C)		16,826		1,502
Spain — 0.0%
Grifols SA (C)		189,594		3,632
Total Preferred Stock (Cost $15,805) ($ Thousands)				9,633

Description	Shares		Market Value ($ Thousands)
AFFILIATED PARTNERSHIP — 0.9%
SEI Liquidity Fund, L.P.
0.290% **†(D)		73,212,117	$	73,249
Total Affiliated Partnership (Cost $73,206) ($ Thousands)				73,249
CASH EQUIVALENT — 2.0%
SEI Daily Income Trust, Government Fund, Cl F
0.090%**†		156,153,670		156,154
Total Cash Equivalent (Cost $156,154) ($ Thousands)				156,154
Total Investments in Securities — 98.2% (Cost $7,194,943) ($ Thousands)			$	7,965,744

A list of the open futures contracts held by the Fund at May 31, 2020, is as follows:

Type of Contract	Number of Contracts Long (Short)		Expiration Date		Notional Amount (Thousands)		Value (Thousands)		Unrealized Appreciation (Thousands)
Euro STOXX 50		1,059		Jun-2020	$	33,127	$	35,881	$	1,930
FTSE 100 Index		197		Jun-2020		14,487		14,760		348
Hang Seng Index		147		Jul-2020		21,532		21,591		47
S&P TSX 60 Index		119		Jun-2020		15,252		15,767		341
SPI 200 Index		122		Jun-2020		10,710		11,639		694
TOPIX Index		191		Jun-2020		26,044		27,639		1,783
					$	121,152	$	127,277	$	5,143

A list of the open forward foreign currency contracts held by the Fund at May 31, 2020, is as follows:

Counterparty	Settlement Date		Currency to Deliver (Thousands)			Currency to Receive (Thousands)			Unrealized Appreciation (Depreciation) (Thousands)
Barclays PLC		06/15/20		USD	2,750		EUR	2,516	$	49
Barclays PLC		06/15/20		USD	2,502		EUR	2,238		(12	)
Barclays PLC		06/15/20		EUR	5,864		USD	6,356		(168	)
Barclays PLC		08/13/20		KRW	36,460,652		USD	29,891		368
Citigroup		06/15/20		EUR	4,836		USD	5,421		42
Citigroup		06/15/20-09/14/20		EUR	14,136		USD	15,390		(351	)
Citigroup		06/15/20-09/14/20		USD	11,541		EUR	10,631		308
Citigroup		06/15/20		USD	16,662		EUR	14,882		(105	)
Citigroup		08/13/20		KRW	28,230,325		USD	23,079		221
Credit Suisse		06/15/20		EUR	1,628		USD	1,791		(21	)
HSBC		06/15/20		USD	4,249		EUR	3,904		95
Morgan Stanley		06/15/20		EUR	3,209		USD	3,593		23
Morgan Stanley		06/15/20-09/14/20		EUR	121,099		USD	131,360		(3,527	)
Morgan Stanley		09/14/20		USD	9,929		EUR	9,049		158
RBS		06/15/20		USD	13,691		EUR	12,653		386

7 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

World Equity Ex-US Fund (Continued)

May 31, 2020

Counterparty	Settlement Date		Currency to Deliver (Thousands)			Currency to Receive (Thousands)			Unrealized Appreciation (Depreciation) (Thousands)
RBS		06/15/20-09/14/20		EUR	17,074		USD	18,792	$	(214	)
									$	(2,748	)

Percentages are based on Net Assets of $8,115,314 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2020.

† Investment in Affiliated Security (see Note 6).

(A) Level 3 security in accordance with fair value hierarchy.

(B) Certain securities or partial positions of certain securities are on loan at May 31, 2020 (See Note 12). The total market value of securities on loan at May 31, 2020 was $69,779 ($ Thousands). (C) There is currently no rate available.

(D) This security was purchased with cash collateral held from securities on loan (See Note 12). The total market value of such securities as of May 31, 2020 was $73,249 ($ Thousands).

ADR — American Depositary Receipt

Cl — Class

EUR — Euro

FTSE — Financial Times Stock Exchange

GDR — Global Depositary Receipt

KRW — Korean Won

L.P. — Limited Partnership

Ltd. — Limited

PJSC — Public Joint-Stock Company

PLC — Public Limited Company

S&P — Standard & Poor’s

SPI — Share Price Index

TOPIX — Tokyo Price Index

TSX — Toronto Stock Exchange

USD — U.S. Dollar

8 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

World Equity Ex-US Fund (Concluded)

May 31, 2020

The following is a list of the level of inputs used as of May 31, 2020, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1 ($)		Level 2 ($)		Level 3  ($)(1)		Total ($)
Common Stock		7,063,190		663,518		—		7,726,708
Preferred Stock		6,001		3,632		—		9,633
Affiliated Partnership		—		73,249		—		73,249
Cash Equivalent		156,154		—		—		156,154
Total Investments in Securities		7,225,345		740,399		—		7,965,744

Other Financial Instruments	Level 1 ($)		Level 2 ($)			Level 3 ($)		Total ($)
Futures Contracts*
Unrealized Appreciation		5,143		—			—		5,143
Forwards Contracts*
Unrealized Appreciation		—		1,650			—		1,650
Unrealized Depreciation		—		(4,398	)		—		(4,398	)
Total Other Financial Instruments		5,143		(2,748	)		—		2,395

(1) A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. Management has concluded that Level 3 investments are not material in relation to net assets.

* Futures contracts and forward contracts are valued at the unrealized appreciation (depreciation) on the instrument.

For the year ended May 31, 2020, there were no transfers in or out of Level 3.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

The following is a summary of the Fund’s transactions with affiliates for the year ended May 31, 2020 ($ Thousands):

Security Description	Value 5/31/2019			Purchases at Cost			Proceeds from Sales				Realized Gain/ (Loss)			Change in Unrealized Appreciation/ (Depreciation)			Value 5/31/2020			Shares		Income			Capital Gains
SEI Liquidity Fund, L.P.		$	308,147		$	1,388,793		$	(1,623,754	)		$	37		$	26		$	73,249		73,212,117		$	3,723		$	—
SEI Daily Income Trust, Government Fund, Cl F			296,413			1,065,364			(1,205,623	)			—			—			156,154		156,153,670			2,903			—
Totals		$	604,560		$	2,454,157		$	(2,829,377	)		$	37		$	26		$	229,403				$	6,626		$	—

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

9 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Screened World Equity Ex-US Fund

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK — 95.1%
Argentina — 1.2%
MercadoLibre Inc *		1,426	$	1,215
Australia — 4.1%
a2 Milk Co Ltd *		24,021		283
Aristocrat Leisure Ltd		22,897		391
BGP Holdings *(A)		4,500		—
BHP Group Ltd		8,813		203
BlueScope Steel Ltd		30,042		220
BSA Ltd		49,489		8
Champion Iron *		13,677		25
Cochlear Ltd		2,114		271
CSL Ltd		2,222		407
Fortescue Metals Group Ltd		69,392		640
Macquarie Group Ltd		2,430		177
Midway Ltd		9,210		6
Newcrest Mining Ltd		10,705		217
Northern Star Resources Ltd		11,210		110
OM Holdings Ltd		41,402		11
Qantas Airways Ltd		130,096		345
Rio Tinto Ltd		5,392		334
RPMGlobal Holdings Ltd *		27,391		18
Sandfire Resources NL		6,052		18
Saracen Mineral Holdings Ltd *		76,962		261
South32 Ltd		138,298		175
Tribune Resources Ltd		2,562		13
				4,133
Austria — 0.3%
Kapsch TrafficCom AG		3,299		64
S IMMO AG		8,330		157
Strabag SE		889		27
				248
Belgium — 0.3%
AGFA-Gevaert NV *		4,552		18
Umicore SA		5,816		258
				276
Brazil — 0.0%
Porto Seguro SA		4,700		40
Canada — 3.5%
Absolute Software Corp		40,000		385
Bank of Montreal		200		10
BRP Inc		5,352		185
Cogeco Inc		1,831		114
Constellation Software Inc/Canada		752		852
Corus Entertainment Inc, Cl B		2,817		6
Fairfax Financial Holdings Ltd		735		203
Home Capital Group Inc, Cl B *		10,000		138
Lundin Mining Corp		114,600		526
Manulife Financial Corp		26,300		325
Points International Ltd *		6,320		46
Real Matters Inc *		14,000		240

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Ritchie Bros Auctioneers Inc		5,120	$	222
Sun Life Financial Inc		800		27
Tencent Music Entertainment Group ADR *		23,414		303
				3,582
Chile — 0.1%
Enel Americas SA ADR		18,384		136
China — 3.8%
Alibaba Group Holding Ltd ADR *		3,649		757
Bank of Communications Co Ltd, Cl H		105,000		64
China Conch Venture Holdings Ltd		27,000		121
China Construction Bank Corp, Cl H		632,000		496
China Mobile Ltd		79,500		555
Hollysys Automation Technologies Ltd		14,339		179
Jiangnan Group Ltd *		411,228		16
Leju Holdings Ltd ADR *		9,831		16
LONGi Green Energy Technology Co Ltd, Cl A		13,700		62
Midea Group Co Ltd, Cl A		66,200		547
NetEase Inc ADR		53		20
Oppein Home Group, Cl A		17,800		301
PICC Property & Casualty Co Ltd		106,000		92
Ping An Insurance Group Co of China Ltd, Cl H		24,500		242
Vipshop Holdings Ltd ADR *		20,991		364
Weichai Power Co Ltd, Cl H		28,000		49
				3,881
Denmark — 3.1%
Chr Hansen Holding A/S		2,713		263
Coloplast A/S, Cl B		2,222		373
DSV PANALPINA A/S		5,699		602
Genmab A/S *		730		224
North Media AS		3,882		31
Novo Nordisk A/S, Cl B		14,355		935
Novozymes A/S, Cl B		7,395		404
Royal Unibrew A/S		1,670		134
Sparekassen Sjaelland-Fyn AS		589		7
TCM Group A/S *		686		11
Vestas Wind Systems A/S		1,430		146
				3,130
Finland — 0.9%
Alma Media Oyj		2,090		19
Digia Oyj		1,726		9
Harvia Oyj		2,645		31
Kone Oyj, Cl B		7,677		515
Marimekko Oyj *		892		27
Neste Oyj		5,350		216
Oriola Oyj		1,404		3
Orion Oyj, Cl B		1,287		69
Rapala VMC Oyj		5,629		18
Scanfil Oyj		3,934		22
				929

1 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Screened World Equity Ex-US Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
France — 4.2%
BNP Paribas SA		18,225	$	654
Burelle SA		67		41
Cie de Saint-Gobain		16,456		532
Criteo SA ADR *		4,451		46
Danone SA		4,470		306
Edenred		11,872		496
Focus Home Interactive SA		673		17
Guerbet		1,548		60
IDI SCA		368		16
Legrand SA		3,736		255
Peugeot SA		15,425		220
Remy Cointreau		850		101
Sanofi		7,685		748
Seche Environnement SA		325		12
Somfy SA		392		38
TOTAL SA		3,900		146
Ubisoft Entertainment SA *		5,722		443
Vetoquinol SA		206		13
Virbac SA *		258		55
				4,199
Germany — 6.3%
Allianz SE		3,406		617
Bayer AG		4,577		309
Centrotec SE		4,974		81
Deutsche Boerse AG		5,483		902
E.ON SE		34,570		366
Eckert & Ziegler Strahlen- und Medizintechnik AG		1,512		238
GFT Technologies		6,451		70
Init Innovation In Traffic Systems		384		12
METRO AG		16,412		153
Muenchener Rueckversicherungs- Gesellschaft AG in Muenchen		3,028		689
Paul Hartmann *		32		11
Rheinmetall AG		6,577		534
SAP SE		12,167		1,536
Scout24 AG		11,370		869
Surteco Group SE		32		1
USU Software AG		1,041		21
				6,409
Greece — 0.7%
Athens Water Supply & Sewage Co SA		9,621		76
Hellenic Telecommunications Organization SA		21,480		303
Motor Oil Hellas Corinth Refineries SA		9,096		152
OPAP SA		14,770		138
				669
Hong Kong — 6.4%
361 Degrees International Ltd		81,000		11
AIA Group Ltd		95,400		773

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Alibaba Group Holding *		35,056	$	879
Alibaba Health Information Technology *		52,000		122
Build King Holdings Ltd		380,000		34
Chaowei Power Holdings Ltd		229,000		72
China Overseas Grand Oceans Group Ltd		159,000		85
China Resources Cement Holdings Ltd		120,000		151
China South City Holdings Ltd		872,000		80
CITIC Ltd		262,000		249
Country Garden Services Holdings Co Ltd *		55,319		259
CRCC High-Tech Equipment Corp Ltd, Cl H		105,500		15
FIH Mobile		336,000		39
FSE Services Group Ltd		38,000		15
Guangnan Holdings Ltd		80,000		7
Guolian Securities Co Ltd, Cl H		19,429		7
Henan Jinma Energy Co Ltd, Cl H		96,000		34
Hi Sun Technology China *		81,000		8
Hong Kong Exchanges & Clearing Ltd		12,900		450
Hopefluent Group Holdings Ltd		38,000		7
Industrial & Commercial Bank of China Ltd, Cl H		730,000		471
Lee & Man Paper Manufacturing Ltd		131,000		70
Left Field Printing Group		9,386		—
Lion Rock Group Ltd		150,180		15
Meituan Dianping, Cl B *		15,300		290
Modern Land China Co Ltd		98,000		13
PAX Global Technology		137,000		53
Ping An Healthcare and Technology Co Ltd *		39,300		518
Samsonite International		47,700		45
Shandong Chenming Paper Holdings, Cl H		366,000		133
Shanghai Pharmaceuticals Holding Co Ltd, Cl H		127,800		202
Tencent Holdings Ltd		15,700		831
Texwinca Holdings		162,000		21
Time Watch Investments Ltd		292,000		32
West China Cement Ltd		574,000		107
Xinyi Glass Holdings Ltd		356,000		377
Zhengzhou Coal Mining Machinery Group Co Ltd, Cl H		25,000		9
Zhong An Group Ltd *		651,000		19
				6,503
Hungary — 0.2%
OTP Bank Nyrt		5,290		176
India — 1.4%
DB		9,510		8
eClerx Services		2,734		14
Ganesha Ecosphere Ltd		5,398		12
HDFC Bank Ltd ADR		6,100		255
Housing Development Finance Corp Ltd		18,959		416
ION Exchange India		5,361		44
Jindal Stainless *		39,906		14
NIIT		76,135		90

2 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Screened World Equity Ex-US Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Redington India Ltd		20,240	$	23
Tech Mahindra Ltd		68,095		478
Welspun		88,147		70
				1,424
Indonesia — 0.1%
Adira Dinamika Multi Finance Tbk PT		25,000		11
Global Mediacom *		1,171,000		15
Hexindo Adiperkasa Tbk PT		41,100		8
Mandala Multifinance Tbk PT		328,200		19
Mitrabara Adiperdana Tbk PT		183,234		20
Panin Financial Tbk PT *		2,005,600		23
				96
Ireland — 1.5%
CRH PLC		10,325		335
ICON PLC *		3,669		618
Ryanair Holdings PLC ADR *		7,361		528
				1,481
Israel — 1.3%
Check Point Software Technologies Ltd *		7,914		868
Israel Discount Bank Ltd ADR		1,349		43
Isramco Negev 2		354,596		39
Kamada Ltd *		1,326		10
Nice Ltd ADR *		1,529		284
Norstar Holdings Inc		3,576		36
				1,280
Italy — 1.4%
Assicurazioni Generali SpA *		17,803		247
Digital Bros *		2,304		58
Enel SpA		40,010		307
Intesa Sanpaolo SpA		15,288		27
Moncler SpA		3,560		133
Prysmian SpA		29,785		634
Servizi Italia SpA		6,330		18
				1,424
Japan — 12.3%
Ainavo Holdings Co Ltd		5,700		42
Aiphone Co Ltd		2,400		35
Alps Alpine Co Ltd		18,300		221
Daifuku Co Ltd		2,100		163
Dai-ichi Life Holdings Inc		23,800		310
Daikin Industries Ltd		1,100		162
Daiwa Securities Group Inc		129,800		538
Denso Corp		7,800		299
Eisai Co Ltd		1,600		125
FANUC Corp		2,400		428
Fujii Sangyo Corp		1,000		12
Fujitsu Ltd		5,600		577
Himacs Ltd		300		6
Hitachi Ltd		16,300		523
Hokuriku Gas Co Ltd		700		20

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Japan Exchange Group Inc		35,500	$	763
Kanefusa Corp		2,300		13
Kao Corp		2,300		185
KDDI Corp		29,100		847
Koike Sanso Kogyo Co Ltd		400		8
Marubeni Corp		31,600		153
MS&AD Insurance Group Holdings Inc		12,500		367
Nichiha		1,500		33
Nidec Corp		7,800		479
Nintendo Co Ltd		1,600		646
Nippon Telegraph & Telephone Corp		22,340		507
NJS Co Ltd		1,900		32
NTT DOCOMO Inc		20,800		570
Okinawa Cellular Telephone Co		700		27
Olympus Corp		12,500		217
Panasonic Corp		32,500		291
Recruit Holdings Co Ltd		3,800		131
Sankyo Frontier Co Ltd		648		21
Shimano Inc		2,400		441
SHL-Japan Ltd		400		8
SMC Corp/Japan		1,100		555
Softbank Corp		13,700		174
Sony Corp		8,100		517
St. Marc Holdings		2,400		42
Sumitomo Mitsui Financial Group Inc		14,600		423
Takeda Pharmaceutical Co Ltd		16,200		630
Techno Medica Co Ltd		1,100		19
Tokio Marine Holdings Inc		13,500		585
Toyota Tsusho Corp		10,100		256
Tsubakimoto Kogyo Co Ltd		2,700		82
				12,483
Malaysia — 0.5%
AFFIN Bank Bhd *		33,500		12
Allianz Malaysia Bhd		19,700		64
CIMB Group Holdings Bhd		140,200		122
Kenanga Investment Bank Bhd		298,800		39
Lii Hen Industries BHD		85,748		43
Magni-Tech Industries Bhd		111,733		51
Mah Sing Group Bhd		772,900		83
Malaysian Pacific Industries Bhd		6,369		16
MKH Bhd		110,100		28
				458
Mexico — 0.1%
Bio Pappel SAB de CV *		16,386		12
Cia Minera Autlan SAB de CV *		12,516		4
Credito Real SAB de CV SOFOM ER *		12,390		7
Kimberly-Clark de Mexico SAB de CV ADR		3,342		26
				49
Netherlands — 6.9%
Adyen NV *		100		132
AFC Ajax NV		1,789		28

3 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Screened World Equity Ex-US Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Akzo Nobel NV		2,080	$	170
Amsterdam Commodities NV		1,721		36
ASML Holding NV		2,658		866
EXOR NV		7,882		425
Galapagos NV *		899		183
Heineken Holding NV		4,526		373
IMCD NV		3,208		303
Just Eat Takeaway *		2,224		241
Koninklijke Ahold Delhaize NV		21,858		555
Koninklijke Philips NV		28,645		1,300
NN Group NV		27,410		846
OCI NV *		19,928		225
Prosus *		1,924		160
SNS Reaal *(A)		1,762		—
Unilever NV		9,806		507
Wolters Kluwer NV		8,440		673
				7,023
New Zealand — 0.3%
Eroad Ltd *		3,566		5
Fisher & Paykel Healthcare Corp Ltd		5,590		104
Meridian Energy Ltd		16,821		49
NZX Ltd		12,056		11
Pushpay Holdings Ltd *		17,561		83
				252
Norway — 0.7%
DNB ASA *		47,577		647
SpareBank 1 BV		4,160		15
Sparebanken Sor		1,278		13
Yara International		204		7
				682
Panama — 0.2%
Copa Holdings SA, Cl A		3,399		149
Peru — 0.2%
Credicorp Ltd		1,444		199
Empresa Siderurgica del Peru SAA		50,198		11
				210
Philippines — 0.0%
LT Group Inc		88,800		14
Semirara Mining & Power, Cl A		88,400		19
				33
Poland — 0.2%
Amica SA *		2,424		64
ComArch SA		299		15
Dino Polska SA *		1,870		85
Lubelski Wegiel Bogdanka SA		8,950		44
Zespol Elektrowni Patnow Adamow Konin SA *		7,804		15
				223

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Portugal — 0.1%
NOS SGPS SA *		24,134	$	99
Qatar — 0.1%
Ooredoo QPSC		78,390		136
Russia — 1.2%
Magnit PJSC GDR		13,228		151
MMC Norilsk Nickel PJSC ADR		11,942		376
Mobile TeleSystems PJSC ADR		43,999		391
Sberbank of Russia PJSC ADR		22,376		253
				1,171
Singapore — 1.7%
Boustead Singapore Ltd		75,900		33
China Aviation Oil Singapore Corp Ltd		30,900		24
DBS Group Holdings Ltd		24,500		338
Delfi		43,100		25
Dutech Holdings Ltd		31,100		6
Hong Leong Finance Ltd		11,276		18
Hour Glass Ltd/The		38,000		17
Jardine Cycle & Carriage Ltd		16,200		251
Keppel Corp Ltd		122,000		510
Penguin International Ltd		60,800		21
Riverstone Holdings Ltd/Singapore		29,404		46
Sing Investments & Finance Ltd		21,700		18
Singapore Exchange Ltd		27,000		158
Sinostar PEC Holdings Ltd *		89,447		9
Stamford Land Corp Ltd		129,900		32
Sunningdale Tech Ltd		29,700		21
Tiong Seng Holdings Ltd *		7,037		1
United Overseas Bank Ltd		14,874		205
				1,733
South Africa — 0.6%
Afrimat		7,082		12
Combined Motor Holdings Ltd		9,481		5
Discovery Ltd		40,099		224
Metair Investments Ltd *		19,199		15
MiX Telematics Ltd ADR		4,409		38
Naspers Ltd, Cl N		1,944		307
				601
South Korea — 5.1%
Aekyung Petrochemical		12,329		69
Coway Co Ltd		8,955		482
Fursys Inc		377		9
Hana Financial Group Inc		25,172		605
Kia Motors Corp		5,960		165
Kortek		4,081		31
LG Electronics Inc		6,623		317
LG Hausys		2,513		138
LG International		11,692		148
Maeil Holdings Co Ltd		3,735		27
NAVER Corp		1,764		322

4 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Screened World Equity Ex-US Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Nice Information & Telecommunication		2,932	$	68
RedcapTour Co Ltd		2,075		22
Samsung Electronics GDR		529		542
Samsung Electronics Co Ltd		38,828		1,590
Samsung SDI Co Ltd		780		226
SK Hynix Inc		6,279		413
Tongyang Life Insurance		12,866		30
				5,204
Spain — 1.2%
Amadeus IT Group SA, Cl A		6,559		342
Bankinter SA		39,881		169
Cia de Distribucion Integral Logista Holdings SA		6,568		121
Grifols SA		6,505		204
Grifols SA ADR		4,342		82
Industria de Diseno Textil SA		11,197		312
				1,230
Sweden — 2.3%
Atlas Copco AB, Cl A		4,190		164
Atlas Copco AB, Cl B		15,075		532
Corem Property Group AB, Cl B		6,583		13
Doro AB		2,733		10
Epiroc AB, Cl B		28,967		323
Essity AB, Cl B		9,847		325
Evolution Gaming Group AB		1,900		112
Hennes & Mauritz AB, Cl B		11,232		169
Kambi Group *		2,077		37
Medcap AB *		3,537		59
Swedish Match AB		8,970		622
				2,366
Switzerland — 6.2%
China Everbright Bank		188,840		101
Cie Financiere Richemont SA		4,351		253
CPH Chemie & Papier Holding AG		219		17
Geberit AG		390		190
Kuehne + Nagel International AG		2,304		332
LafargeHolcim Ltd		12,368		512
Lastminute.com NV *		670		14
Lonza Group AG		330		162
Nestle SA		13,901		1,503
Novartis AG		19,854		1,716
Roche Holding AG		3,665		1,269
Temenos AG		1,117		170
				6,239
Taiwan — 2.3%
Coretronic		68,000		70
Elitegroup Computer Systems		37,000		14
Eson Precision Ind Co Ltd		57,000		59
Hon Hai Precision Industry Co Ltd		181,000		457
Hsing TA Cement Co		14,600		9

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
IEI Integration		48,000	$	63
Taiwan Semiconductor Manufacturing Co Ltd		37,000		360
Taiwan Semiconductor Manufacturing Co Ltd ADR		17,558		884
TOPBI International Holdings Ltd		5,380		10
Wistron Corp		118,000		112
X-Legend Entertainment		27,000		56
Yuanta Financial Holding Co Ltd		354,000		192
				2,286
Thailand — 0.5%
Bangkok Life Assurance		75,300		35
PTT Exploration & Production PCL		124,200		328
Siam Commercial Bank PCL/The		76,800		179
				542
Turkey — 1.0%
Akbank T.A.S.		22,859		19
Aksigorta AS		57,243		53
AvivaSA Emeklilik ve Hayat AS		25,715		50
Coca-Cola Icecek AS		39,202		233
Haci Omer Sabanci Holding AS		200,106		244
KOC Holding AS		50,741		120
Tofas Turk Otomobil Fabrikasi AS		5,325		17
Turk Traktor ve Ziraat Makineleri AS		10,087		90
Turkiye Garanti Bankasi AS		189,897		218
				1,044
United Kingdom — 8.2%
AstraZeneca PLC		1,450		154
Barclays PLC		66,635		95
BHP Group PLC		8,900		174
boohoo Group PLC *		79,665		381
British American Tobacco PLC		8,060		318
Burberry Group PLC		12,369		229
Computacenter PLC		1,190		24
Dart Group PLC		1,666		18
Evraz PLC		34,681		121
Exillon Energy PLC *		4,819		3
Experian PLC		23,529		818
Ferrexpo PLC		16,544		36
Fiat Chrysler Automobiles NV		4,000		35
Franchise Brands plc		8,431		11
Fresnillo PLC		28,582		278
Gem Diamonds Ltd *		19,498		7
Greencore Group PLC		139,950		234
H&T Group PLC		4,868		18
Hargreaves Lansdown PLC		19,601		445
Impellam Group PLC		3,091		10
Indivior PLC *		17,994		13
International Personal Finance		22,565		12
John Wood Group PLC		145,285		345
Judges Scientific PLC		1,706		118
Just Eat Takeaway *		3,218		348

5 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Screened World Equity Ex-US Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Just Group		154,296	$	100
Kingfisher PLC		124,367		299
Kingspan Group PLC		8,141		503
Legal & General Group PLC		82,614		203
London Stock Exchange Group PLC		4,727		469
Man Group PLC/Jersey		100,673		177
Melrose Industries PLC		217,530		310
Motorpoint group		2,937		9
Nexus Infrastructure PLC		2,969		7
NWF Group PLC		12,655		31
Pagegroup PLC		2,389		11
Prudential PLC		33,624		435
Reach PLC		23,572		24
Rio Tinto PLC		8,789		469
Robert Walters PLC		2,187		9
Smiths Group PLC		45,858		740
St James’s Place PLC		15,031		171
Team17 Group PLC *		11,281		78
Unilever PLC		217		11
Vertu Motors PLC		30,896		12
				8,313
United States — 2.4%
Atlantica Yield plc		4,869		127
Atlassian Corp PLC, Cl A *		2,146		398
Berry Global Group Inc *		9,052		407
Colliers International Group Inc		267		14
Gentex Corp		14,271		378
Nomad Foods Ltd *		7,580		160
Resolute Forest Products Inc *		29,125		54
Sensata Technologies Holding PLC *		4,346		155
Spotify Technology SA *		3,177		575
Yum China Holdings Inc		4,300		199
				2,467
Total Common Stock (Cost $85,737) ($ Thousands)				96,224
PREFERRED STOCK — 0.3%
Brazil — 0.1%
Itau Unibanco Holding SA ADR (B)		25,817		110
Germany — 0.1%
Draegerwerk AG & Co KGaA *		254		20
KSB SE & Co KGaA (B)		237		53
				73
Spain — 0.1%
Grifols SA (B)		4,538		87
Total Preferred Stock (Cost $464) ($ Thousands)				270

Description	Shares		Market Value ($ Thousands)
CASH EQUIVALENT — 1.4%
SEI Daily Income Trust, Government Fund, Cl F
0.090% **†		1,455,753	$	1,456
Total Cash Equivalent (Cost $1,456) ($ Thousands)				1,456
Total Investments in Securities — 96.8% (Cost $87,657) ($ Thousands)			$	97,950

6 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Screened World Equity Ex-US Fund (Concluded)

May 31, 2020

A list of the open futures contracts held by the Fund at May 31, 2020, is as follows:

Type of Contract	Number of Contracts Long		Expiration Date		Notional Amount (Thousands)		Value (Thousands)		Unrealized Appreciation (Depreciation) (Thousands)
Euro STOXX 50		13		Jun-2020	$	401	$	440	$	30
FTSE 100 Index		2		Jun-2020		143		150		6
Hang Seng Index		2		Jul-2020		300		294		(6	)
S&P TSX 60 Index		1		Jun-2020		133		132		(1	)
SPI 200 Index		2		Jun-2020		182		191		6
TOPIX Index		1		Jun-2020		139		145		5
					$	1,298	$	1,352	$	40

A list of the open forward foreign currency contracts held by the Fund at May 31, 2020, is as follows:

Counterparty	Settlement Date		Currency to Deliver (Thousands)			Currency to Receive (Thousands)			Unrealized (Depreciation) (Thousands)
Brown Brothers Harriman		06/09/20		EUR	982		USD	1,066	$	(27	)

Percentages are based on Net Assets of $101,167 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2020.

† Investment in Affiliated Security (see Note 6).

(A) Level 3 security in accordance with fair value hierarchy.

(B) There is currently no rate available.

ADR — American Depositary Receipt

Cl — Class

EUR — Euro

FTSE — Financial Times Stock Exchange

GDR — Global Depositary Receipt

Ltd. — Limited

PJSC — Public Joint-Stock Company

PLC — Public Limited Company

S&P — Standard & Poor’s

SPI — Share Price Index

TOPIX — Tokyo Price Index

TSX — Toronto Stock Exchange

USD — U.S. Dollar

The following is a list of the level of inputs used as of May 31, 2020, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1 ($)			Level 2 ($)			Level 3 ($)(1)		Total ($)
Common Stock		96,224			—			—		96,224
Preferred Stock		270			—			—		270
Cash Equivalent		1,456			—			—		1,456
Total Investments in Securities		97,950			—			—		97,950
Other Financial Instruments	Level 1 ($)			Level 2 ($)			Level 3 ($)		Total ($)
Futures Contracts*
Unrealized Appreciation		47			—			—		47
Unrealized Depreciation		(7	)		—			—		(7	)
Forwards Contracts*
Unrealized Depreciation		—			(27	)		—		(27	)
Total Other Financial Instruments		40			(27	)		—		13

(1) A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. Management has concluded that Level 3 investments are not material in relation to net assets.

* Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument.

For the year ended May 31, 2020, there were no transfers in or out of Level 3.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The following is a summary of the Fund’s transactions with affiliates for the year ended May 31, 2020 ($ Thousands):

Security Description	Value 5/31/2019			Purchases at Cost			Proceeds from Sales				Realized Gain/(Loss)			Change in Unrealized Appreciation/(Depreciation)			Value 5/31/2020			Shares		Income			Capital Gains
SEI Daily Income Trust, Government Fund, Cl F		$	2,276		$	12,975		$	(13,795	)		$	—		$	—		$	1,456		1,455,753		$	22		$	—

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

7 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

World Select Equity Fund

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK — 91.9%
Argentina — 0.0%
Banco Macro SA ADR *		5,200	$	89
Australia — 0.4%
AGL Energy Ltd		32,700		364
APA Group		13,156		102
Brambles Ltd		26,556		205
Coles Group Ltd		23,280		237
Fortescue Metals Group Ltd		49,513		457
JB Hi-Fi Ltd		2,527		62
Kogan.com Ltd		1,079		8
Magellan Financial Group Ltd		1,406		55
Silver Lake Resources Ltd *		16,599		24
Telstra Corp Ltd		59,674		128
Treasury Wine Estates Ltd		9,364		60
Wesfarmers Ltd		1,600		43
Woolworths Group Ltd		4,103		96
				1,841
Austria — 0.2%
IMMOFINANZ AG *		10,191		191
Raiffeisen Bank International AG		21,526		396
Vienna Insurance Group AG Wiener Versicherung Gruppe *		6,500		137
				724
Belgium — 0.1%
Ageas SA/NV		6,100		208
D’ieteren SA/NV		513		31
Orange Belgium SA		759		12
				251
Brazil — 0.5%
B3 SA—Brasil Bolsa Balcao		2,500		21
Banco BTG Pactual SA		1,100		10
Banco do Brasil SA		3,600		20
Cia de Saneamento Basico do Estado de Sao Paulo		2,300		23
Cia de Saneamento do Parana		102,300		520
Construtora Tenda SA		7,300		33
Cosan SA *		3,322		39
Direcional Engenharia SA		146,081		257
Embraer SA ADR *		400		2
Enauta Participacoes SA		26,200		49
Even Construtora e Incorporadora SA		73,554		95
Hapvida Participacoes e Investimentos SA		2,500		26
JBS SA		22,144		90
Localiza Rent a Car SA		700		5
Magazine Luiza SA		12,544		149
Marfrig Global Foods SA *		13,471		33
Petrobras Distribuidora SA		12,294		49
Qualicorp Consultoria e Corretora de Seguros SA		4,634		21
Smiles Fidelidade SA		80,817		181

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Sul America SA		2,100	$	17
TOTVS SA		16,684		62
Tupy SA *		43,900		124
Vale SA ADR, Cl B		37,300		364
WEG SA		9,710		74
				2,264
Canada — 1.6%
Alimentation Couche-Tard Inc, Cl B		85,488		2,666
AltaGas Ltd		1,401		15
BlackBerry Ltd *		4,057		19
Canadian Imperial Bank of Commerce		3,100		198
Canadian National Railway Co		19,591		1,681
Canadian Natural Resources Ltd		2,757		50
Canadian Tire Corp Ltd, Cl A		5,400		460
Cogeco Communications Inc		326		24
Cogeco Inc		147		9
DREAM Unlimited Corp, Cl A		1,345		8
Element Fleet Management Corp		6,349		45
Empire Co Ltd, Cl A		3,990		90
Enbridge Inc		10,293		333
Gibson Energy Inc		3,071		47
Loblaw Cos Ltd		4,100		202
Lululemon Athletica Inc *		2,538		762
Manulife Financial Corp		17,882		221
Nutrien Ltd		3,495		119
Real Matters Inc *		1,601		28
Richelieu Hardware Ltd		1,062		22
Shaw Communications Inc, Cl B		4,816		81
Stantec Inc		2,489		75
Sun Life Financial Inc		1,637		56
TELUS Corp		14,100		243
Toronto-Dominion Bank/The		3,200		136
				7,590
China — 2.6%
58.com Inc ADR *		361		17
Alibaba Group Holding Ltd ADR *		11,165		2,315
Anhui Conch Cement Co Ltd, Cl A		1,135		9
Autohome Inc ADR		214		16
Bank of Communications Co Ltd, Cl H		296,000		179
BOE Technology Group Co Ltd, Cl A *		48,900		16
Chacha Food Co Ltd, Cl A *		6,900		56
Changchun High & New Technology Industry Group Inc, Cl A *		5,170		482
China Construction Bank Corp, Cl H		1,536,000		1,207
China Medical System Holdings Ltd		12,000		14
China Mobile Ltd		147,500		1,030
China National Building Material Co Ltd, Cl H		622,000		698
China National Chemical Engineering Co Ltd, Cl A		33,990		26
China Oilfield Services Ltd, Cl H		15,961		14
China Telecom Corp Ltd, Cl H		848,000		281

1 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

World Select Equity Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Dashang Co Ltd, Cl A		137,365	$	472
Gansu Qilianshan Cement Group Co Ltd, Cl A		25,300		57
G-bits Network Technology Xiamen Co Ltd, Cl A		100		6
Gigadevice Semiconductor Beijing Inc, Cl A		180		5
GoerTek Inc, Cl A		4,000		12
Guangzhou R&F Properties Co Ltd		126,400		156
Henan Lingrui Pharmaceutical Co, Cl A		94,000		110
Henan Shuanghui Investment & Development Co Ltd, Cl A *		2,400		13
Hengli Petrochemical Co Ltd, Cl A		5,800		11
Hexindai Inc ADR *		13,329		15
JD.com Inc ADR *		11,044		600
Jiangsu Hengli Hydraulic Co Ltd, Cl A		1,000		10
Kingdee International Software Group Co Ltd		8,000		14
Li Ning Co Ltd		42,335		142
LONGi Green Energy Technology Co Ltd, Cl A		1,900		9
Luxshare Precision Industry Co Ltd, Cl A		6,800		42
Ming Yang Smart Energy Group Ltd, Cl A		11,600		19
Momo Inc ADR		824		16
Muyuan Foodstuff Co Ltd, Cl A		1,700		29
NetEase Inc ADR		2,500		957
New Hope Liuhe Co Ltd, Cl A		2,528		10
New Oriental Education & Technology Group Inc ADR *		151		18
PICC Property & Casualty Co Ltd		232,000		201
Ping An Insurance Group Co of China Ltd, Cl H		78,500		775
Sailun Group Co Ltd, Cl A *		102,700		54
Sangfor Technologies Inc, Cl A		500		13
Sany Heavy Industry Co Ltd, Cl A		122,717		315
SF Holding Co Ltd, Cl A		15,500		99
Shaanxi Coal Industry Co Ltd, Cl A		100,300		101
Shandong Gold Mining Co Ltd, Cl A		2,600		14
Shanxi Xinghuacun Fen Wine Factory Co Ltd, Cl A		500		9
Shenzhen Goodix Technology Co Ltd, Cl A		500		15
Sinopharm Group Co Ltd, Cl H		6,000		15
Sohu.com Ltd ADR *		5,600		38
Sun Art Retail Group Ltd		10,500		16
Tahoe Group Co Ltd, Cl A		307,925		177
TAL Education Group ADR *		612		35
Vipshop Holdings Ltd ADR *		25,607		444
Weichai Power Co Ltd, Cl H		412,753		715
Wens Foodstuffs Group Co Ltd		100		–
Wuhu Sanqi Interactive Entertainment Network Technology Group Co Ltd, Cl A		24,600		117
Wuliangye Yibin Co Ltd, Cl A		4,300		89
Xinyuan Real Estate Co Ltd ADR		18,900		47
Yealink Network Technology Corp Ltd, Cl A		600		8
Zhaojin Mining Industry Co Ltd		13,500		17

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
ZTO Express Cayman Inc ADR		806	$	26
				12,423
Croatia — 0.1%
Atlantic Grupa dd		1,250		227
Hrvatski Telekom dd *		12,500		309
				536
Czech Republic — 0.2%
Central European Media Enterprises Ltd, Cl A *		70,000		286
CEZ AS		15,115		297
Komercni banka as		13,696		294
Moneta Money Bank AS		7,992		18
Philip Morris CR AS		70		38
				933
Denmark — 0.2%
Novo Nordisk A/S, Cl B		11,030		718
Pandora A/S		890		44
Scandinavian Tobacco Group A/S		26,000		391
				1,153
Egypt — 0.0%
Eastern Co SAE		153,515		121
Oriental Weavers *		134,205		44
				165
Estonia — 0.0%
Tallink Grupp AS		236,206		215
Finland — 0.5%
Elisa Oyj, Cl A		2,171		136
Metsa Board Oyj		4,309		31
Nokia Oyj		523,429		2,076
Tokmanni Group Corp		1,046		14
UPM-Kymmene Oyj		2,396		69
Uponor Oyj		1,074		14
				2,340
France — 3.3%
Alstom SA		2,696		114
Atos SE		10,933		825
AXA SA *		73,836		1,345
BNP Paribas SA		55,926		2,007
Bureau Veritas SA		36,291		738
Capgemini SE		10,307		1,056
Carrefour SA		102,652		1,559
CGG SA *		13,138		14
Cie de Saint-Gobain		43,433		1,404
Credit Agricole SA		3,900		34
Danone SA		4,639		318
Electricite de France SA		2,647		23
Engie SA		9,088		108
Gaztransport Et Technigaz SA		456		34
Ingenico Group SA		253		35

2 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

World Select Equity Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Publicis Groupe SA		36,738	$	1,043
Sanofi		24,256		2,362
Societe BIC SA		3,400		181
Societe Generale SA		60,631		892
Suez SA		3,710		42
TOTAL SA		40,970		1,532
Ubisoft Entertainment SA *		538		42
Veolia Environnement SA		3,433		75
				15,783
Germany — 2.6%
Allianz SE		24,861		4,503
BASF SE		12,908		699
Bayerische Motoren Werke AG		17,971		1,052
Continental AG *		9,681		952
Covestro AG		21,965		813
Delivery Hero SE *		483		46
Draegerwerk AG & Co KGaA *		110		7
E.ON SE		15,939		169
Eckert & Ziegler Strahlen- und Medizintechnik AG		151		24
Fraport AG Frankfurt Airport Services Worldwide		1,600		79
Hannover Rueck SE		1,784		287
HelloFresh SE *		3,549		144
HOCHTIEF AG		2,500		220
Hornbach Holding AG & Co KGaA		207		15
MTU Aero Engines AG *		21,145		3,408
Muenchener Rueckversicherungs— Gesellschaft AG in Muenchen		400		91
RWE AG		2,060		68
Varta AG *		309		32
				12,609
Greece — 0.1%
Aegean Airlines SA		28,041		134
Fourlis Holdings SA		22,206		96
JUMBO SA		12,000		218
				448
Hong Kong — 1.9%
Agile Group Holdings Ltd		14,000		14
A-Living Services Co Ltd, Cl H		9,830		53
Anhui Conch Cement Co Ltd, Cl H		138,430		1,037
ANTA Sports Products Ltd		2,000		18
ASM Pacific Technology Ltd		3,100		28
Bank of China Ltd, Cl H		2,158,000		788
Beijing Capital Land Ltd, Cl H		44,683		8
BOC Aviation Ltd		3,400		19
BOC Hong Kong Holdings Ltd		42,500		118
Bosideng International Holdings Ltd		65,872		17
China Aoyuan Group Ltd		93,000		99
China Cinda Asset Management Co Ltd, Cl H		133,000		24
China Everbright International Ltd		67,000		34

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
China Hongqiao Group Ltd		33,500	$	15
China Lesso Group Holdings Ltd		13,000		16
China Overseas Grand Oceans Group Ltd		34,056		18
China Resources Cement Holdings Ltd		56,330		71
China Resources Gas Group Ltd		2,000		11
China Resources Power Holdings Co Ltd		170,000		197
China State Construction International Holdings Ltd		28,000		17
China Yuhua Education Corp Ltd		26,867		26
CITIC Ltd		589,000		559
CK Asset Holdings Ltd		2,500		14
CK Hutchison Holdings Ltd		7,000		43
CK Infrastructure Holdings Ltd		7,500		37
Country Garden Services Holdings Co Ltd *		42,627		200
Dali Foods Group Co Ltd		30,500		19
Far East Horizon Ltd		29,000		26
Guangdong Investment Ltd		8,000		16
Hang Seng Bank Ltd		1,700		26
Hengan International Group Co Ltd		22,000		180
HK Electric Investments & HK Electric Investments Ltd		36,000		36
Hong Kong Exchanges & Clearing Ltd		2,000		70
Industrial & Commercial Bank of China Ltd, Cl H		1,057,002		682
Jardine Matheson Holdings Ltd		400		16
Kerry Properties Ltd		10,000		24
Kingboard Laminates Holdings Ltd		19,000		16
KWG Group Holdings Ltd		12,000		17
Lenovo Group Ltd		62,000		34
Longfor Group Holdings Ltd		4,000		18
NetDragon Websoft Holdings Ltd		52,666		131
New World Development Co Ltd		20,000		20
Nine Dragons Paper Holdings Ltd		19,000		17
PCCW Ltd		41,000		22
People’s Insurance Co Group of China Ltd/ The, Cl H		206,000		62
Power Assets Holdings Ltd		24,000		133
Sands China Ltd		4,400		17
Shenzhen Expressway Co Ltd, Cl H		138,000		139
Shenzhen International Holdings Ltd		10,000		17
Shimao Property Holdings Ltd		4,000		17
Sino-Ocean Group Holding Ltd		67,500		15
Sinotruk Hong Kong Ltd		9,000		22
Sun Hung Kai Properties Ltd		5,000		57
Sunny Optical Technology Group Co Ltd		1,000		13
Swire Pacific Ltd, Cl A		3,500		18
Swire Properties Ltd		6,000		13
Tencent Holdings Ltd		42,790		2,266
Tingyi Cayman Islands Holding Corp		312,000		536
Uni-President China Holdings Ltd		18,000		19
VTech Holdings Ltd		3,279		20
Xinyi Solar Holdings Ltd		24,000		17

3 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

World Select Equity Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Yanzhou Coal Mining Co Ltd, Cl H		38,000	$	29
YiChang HEC ChangJiang Pharmaceutical Co Ltd, Cl H		90,600		321
Yihai International Holding Ltd		912		8
Yuexiu Property Co Ltd		88,000		16
Zhongsheng Group Holdings Ltd		10,008		51
Zoomlion Heavy Industry Science and Technology Co Ltd		618,400		507
				9,164
Hungary — 0.3%
Magyar Telekom Telecommunications PLC *		621,632		785
MOL Hungarian Oil & Gas PLC		35,000		222
Richter Gedeon Nyrt		9,900		216
				1,223
India — 1.0%
Avenue Supermarts Ltd, Cl A *		2,709		81
Bharat Petroleum Corp Ltd		1,256		6
Biocon Ltd		9,433		44
Coromandel International Ltd *		802		7
Dr Reddy’s Laboratories Ltd		7,856		423
Granules India Ltd		46,878		106
HCL Technologies Ltd		104,530		761
HDFC Asset Management Co Ltd		949		32
Indiabulls Housing Finance Ltd		195,345		316
Infosys Ltd		4,587		42
Jindal Saw Ltd		64,607		39
Jubilant Foodworks Ltd		784		17
Larsen & Toubro Ltd		1,578		19
Nestle India Ltd		554		129
NMDC Ltd		347,606		373
Oil & Natural Gas Corp Ltd		424,656		467
Oil India Ltd		81,789		92
Petronet LNG Ltd		88,980		297
Power Finance Corp Ltd		467,394		465
Power Grid Corp of India Ltd		7,560		16
REC Ltd		422,391		495
Redington India Ltd		73,848		85
Tata Consultancy Services Ltd		2,776		72
Tata Motors Ltd *		120,041		138
Tech Mahindra Ltd		2,438		17
Titan Co Ltd		4,076		48
Vedanta Ltd		44,405		54
Welspun Corp Ltd		36,944		29
				4,670
Indonesia — 0.2%
Adaro Energy Tbk PT		2,302,800		173
Bank Negara Indonesia Persero Tbk PT		207,000		54
Bank Pembangunan Daerah Jawa Timur Tbk PT		805,100		27
Charoen Pokphand Indonesia Tbk PT		60,303		24
Gudang Garam Tbk PT		57,000		190

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Indofood Sukses Makmur Tbk PT		173,000	$	68
Indosat Tbk PT *		488,200		68
Matahari Department Store Tbk PT		749,784		74
Media Nusantara Citra Tbk PT		1,099,000		64
Tower Bersama Infrastructure Tbk PT		228,673		17
Unilever Indonesia Tbk PT		107,484		57
				816
Ireland — 0.0%
Flutter Entertainment PLC		230		29
Israel — 0.0%
Bank Hapoalim BM		2,799		17
Bank Leumi Le-Israel BM		21,797		116
Mizrahi Tefahot Bank Ltd		1,328		26
				159
Italy — 1.0%
Assicurazioni Generali SpA *		16,837		234
Enel SpA		224,786		1,725
Hera SpA		41,200		158
Intesa Sanpaolo SpA		989,648		1,709
Poste Italiane SpA		4,440		39
Sesa SpA		172		10
UniCredit SpA		103,521		883
				4,758
Japan — 14.7%
Advantest Corp		3,962		196
AEON Investment Corp ‡		160		169
AGC Inc/Japan		18,300		518
Aichi Steel Corp		4,500		127
Aoyama Trading Co Ltd		28,000		213
Aozora Bank Ltd		12,100		225
ARTERIA Networks Corp		493		9
Asahi Group Holdings Ltd		67,167		2,530
Bandai Namco Holdings Inc		253		14
BayCurrent Consulting Inc		270		19
Canon Inc		6,300		130
Central Japan Railway Co		14,300		2,447
Chugai Pharmaceutical Co Ltd		3,029		447
Citizen Watch Co Ltd		179,100		640
CKD Corp		406		7
Cosel Co Ltd		12,800		111
Credit Saison Co Ltd		96,400		1,148
Cybozu Inc		506		13
Daibiru Corp		38,100		371
Daido Steel Co Ltd		3,600		123
Dai-ichi Life Holdings Inc		101,000		1,315
Daito Trust Construction Co Ltd		26,601		2,811
DCM Holdings Co Ltd		18,900		196
DIC Corp		7,300		191
East Japan Railway Co		27,500		2,157
Eizo Corp		9,100		340

4 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

World Select Equity Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Exedy Corp		19,200	$	309
FANUC Corp		11,300		2,015
Fuji Media Holdings Inc		45,900		461
FUJIFILM Holdings Corp		2,700		125
Fujitsu Ltd		2,056		212
Furukawa Co Ltd		5,300		55
Fuso Chemical Co Ltd		420		16
Hachijuni Bank Ltd/The		36,500		135
Hiroshima Bank Ltd/The		45,900		215
Hitachi Ltd		2,600		83
Hokuetsu Corp		73,400		277
Honda Motor Co Ltd		94,100		2,432
Inpex Corp		4,200		29
IR Japan Holdings Ltd		133		12
ITOCHU Corp		5,700		122
Itochu Enex Co Ltd		27,200		218
Iyo Bank Ltd/The		18,300		104
J Front Retailing Co Ltd		31,200		265
Japan Airlines Co Ltd		14,200		279
Japan Lifeline Co Ltd		56,000		755
Japan Tobacco Inc		114,100		2,264
JFE Holdings Inc		114,800		844
JGC Holdings Corp		117,100		1,260
JM Holdings Co Ltd		221		6
Kajima Corp		91,800		1,041
Kandenko Co Ltd		16,100		147
KDDI Corp		28,900		841
Komatsu Ltd		33,200		672
Komeri Co Ltd		16,500		407
K’s Holdings Corp		73,100		936
Kuraray Co Ltd		45,900		482
Lasertec Corp		1,454		119
Life Corp		339		11
LIXIL VIVA Corp		477		11
Macnica Fuji Electronics Holdings Inc		958		15
Mazda Motor Corp		119,400		764
Mercari Inc *		600		18
Miraca Holdings Inc		18,300		426
Mitsubishi Corp		8,800		205
Mitsubishi Estate Co Ltd		126,500		2,011
Mitsubishi Heavy Industries Ltd		17,400		450
Mitsubishi UFJ Financial Group Inc		214,600		885
Mitsubishi UFJ Lease & Finance Co Ltd		88,800		434
Mizuho Financial Group Inc		262,900		328
NEC Networks & System Integration Corp		1,607		30
NH Foods Ltd		17,400		643
Nippon Express Co Ltd		7,200		370
Nippon Soda Co Ltd		4,800		133
Nippon Steel Corp		144,700		1,333
Nippon Telegraph & Telephone Corp		204,708		4,644
Nippon Television Holdings Inc		82,000		947
Nippon Yusen KK		75,900		1,094

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Nishi-Nippon Financial Holdings Inc		16,000	$	110
Nissan Motor Co Ltd		183,600		683
Nitto Boseki Co Ltd		449		25
NOK Corp		60,700		777
Nomura Holdings Inc		499,500		2,146
Nomura Real Estate Holdings Inc		19,000		352
Nomura Research Institute Ltd		726		19
North Pacific Bank Ltd		50,900		96
NSK Ltd		17,400		127
NTT DOCOMO Inc		3,200		88
Obayashi Corp		55,100		510
Okuwa Co Ltd		587		8
Oracle Corp Japan		703		82
Organo Corp		133		7
ORIX Corp		14,000		186
Osaka Gas Co Ltd		43,600		871
Persol Holdings Co Ltd		113,500		1,501
San-Ai Oil Co Ltd		1,264		13
SBI Holdings Inc/Japan		700		15
Seiko Epson Corp		107,600		1,212
Seven & i Holdings Co Ltd		15,700		537
Shimachu Co Ltd		20,600		560
Shimizu Corp		8,400		71
Sumitomo Corp		2,900		35
Sumitomo Electric Industries Ltd		161,600		1,882
Sumitomo Mitsui Financial Group Inc		60,800		1,760
Sumitomo Mitsui Trust Holdings Inc		50,500		1,486
Sumitomo Rubber Industries Ltd		22,900		233
Takashimaya Co Ltd		45,000		432
Takeda Pharmaceutical Co Ltd		1,100		43
Teijin Ltd		18,100		296
Tocalo Co Ltd		1,359		13
Toho Holdings Co Ltd		35,300		705
Tokyo Ohka Kogyo Co Ltd		249		12
Toray Industries Inc		61,000		297
Torii Pharmaceutical Co Ltd		267		8
Toyota Motor Corp		2,600		163
UACJ Corp		3,700		68
United Arrows Ltd		6,100		105
Welcia Holdings Co Ltd		1,053		88
West Japan Railway Co		1,000		65
Xebio Holdings Co Ltd		37,000		320
Yamada Denki Co Ltd		313,100		1,523
Yamaha Motor Co Ltd		36,700		530
Yamato Holdings Co Ltd		74,000		1,638
				70,055
Luxembourg — 0.2%
Trinseo SA		50,730		1,044
Malaysia — 0.1%
AMMB Holdings Bhd		24,300		18
Carlsberg Brewery Malaysia Bhd		2,906		19

5 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

World Select Equity Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Hong Leong Bank Bhd		5,700	$	18
MBM Resources BHD		17,100		12
MISC Bhd		10,100		19
Nestle Malaysia Bhd		1,074		34
Petronas Dagangan Bhd		4,500		24
RHB Bank Bhd		164,900		181
Tenaga Nasional Bhd		26,600		69
				394
Mexico — 0.2%
Alpek SAB de CV, Cl A		178,900		126
Banco del Bajio SA *		4,165		4
Grupo Financiero Banorte SAB de CV, Cl O		137,800		421
Kimberly-Clark de Mexico SAB de CV, Cl A		32,255		50
Nemak SAB de CV		77,400		17
Qualitas Controladora SAB de CV		57,824		233
Wal-Mart de Mexico SAB de CV		3,229		8
				859
Netherlands — 0.9%
Altice Europe NV *		3,336		13
ArcelorMittal SA		124,053		1,188
ASM International NV		336		39
CNH Industrial NV		156,317		961
Koninklijke Ahold Delhaize NV		23,138		587
NN Group NV		5,900		182
Royal Dutch Shell PLC, Cl A		71,112		1,122
Unilever NV		2,729		141
				4,233
New Zealand — 0.0%
Z Energy Ltd		47,600		83
Nigeria — 0.0%
Zenith Bank PLC		3,483,946		152
Norway — 0.1%
Austevoll Seafood ASA *		21,700		165
Europris ASA		3,090		13
Fjordkraft Holding ASA		1,539		13
Selvaag Bolig ASA		1,266		7
Telenor ASA		3,934		60
				258
Peru — 0.0%
Credicorp Ltd		99		14
Philippines — 0.1%
DMCI Holdings Inc		1,824,900		142
First Gen Corp *		39,400		16
First Philippine Holdings Corp		30,570		33
Globe Telecom Inc		3,607		163
LT Group Inc		219,978		34
PLDT Inc		11,113		280
				668

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Poland — 1.1%
Alior Bank SA *		29,642	$	106
Bank Handlowy w Warszawie SA		37,721		348
Bank Polska Kasa Opieki SA		72,017		945
Budimex SA		220		12
CCC SA		33,703		407
Eurocash SA *		6,317		29
getBACK SA *		158,863		–
Globe Trade Centre SA *		60,626		102
Grupa Kety SA		3,398		288
Grupa Lotos SA		8,980		134
PLAY Communications SA		21,634		154
Powszechna Kasa Oszczednosci Bank Polski SA		232,641		1,296
Powszechny Zaklad Ubezpieczen SA		140,082		1,044
Stalexport Autostrady SA		217,207		157
				5,022
Portugal — 0.0%
EDP - Energias de Portugal SA		20,628		97
Qatar — 0.0%
Qatar Islamic Bank SAQ		5,333		23
Romania — 0.3%
BRD-Groupe Societe Generale SA		152,118		417
Fondul Proprietatea SA		2,100,069		598
OMV Petrom SA		6,779,528		536
				1,551
Russia — 0.9%
Detsky Mir PJSC		162,500		228
Gazprom PJSC		60,000		170
Gazprom PJSC ADR		2,853		16
Inter RAO UES PJSC		729,920		51
Lenta Plc GDR		8,409		18
Magnit PJSC		3,591		190
Magnitogorsk Iron & Steel Works PJSC		47,100		27
MMC Norilsk Nickel PJSC		5,264		1,647
Mobile TeleSystems PJSC ADR		2,193		19
Rosneft Oil Co PJSC GDR		40,000		208
Sberbank of Russia PJSC		218,000		619
Sberbank of Russia PJSC ADR		1,717		20
United Co RUSAL PLC		1,064,140		419
X5 Retail Group NV GDR		14,423		424
				4,056
Saudi Arabia — 0.2%
Abdullah Al Othaim Markets Co		2,731		83
Bank Al-Jazira		47,165		141
Etihad Etisalat Co *		76,655		531
Qassim Cement Co/The		3,739		49
Samba Financial Group		3,212		20

6 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

World Select Equity Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Saudia Dairy & Foodstuff Co		3,332	$	146
				970
Singapore — 0.3%
Best World International Ltd		24,994		24
CapitaLand Mall Trust ‡		63,600		91
DBS Group Holdings Ltd		12,900		178
Flex Ltd *		90,600		880
Sheng Siong Group Ltd		14,441		16
Singapore Telecommunications Ltd		115,700		204
United Overseas Bank Ltd		7,700		106
Venture Corp Ltd		4,500		49
				1,548
Slovenia — 0.4%
Krka dd Novo mesto		8,705		771
Luka Koper		21,153		426
Telekom Slovenije DD		10,347		527
				1,724
South Africa — 0.3%
Anglo American Platinum Ltd		2,016		127
Astral Foods Ltd		1,028		9
Clicks Group Ltd		1,060		14
DataTec Ltd		50,707		74
Exxaro Resources Ltd		3,167		22
Impala Platinum Holdings Ltd		55,632		369
Investec Ltd		29,805		51
Mediclinic International PLC		24,761		83
Motus Holdings Ltd		48,644		76
MTN Group Ltd		5,532		17
Netcare Ltd		36,646		30
Northam Platinum Ltd *		6,460		40
Old Mutual Ltd		659,481		420
Sibanye Stillwater Ltd *		3,400		6
Truworths International Ltd		71,448		127
				1,465
South Korea — 2.5%
Aekyung Petrochemical Co Ltd		2,799		16
Avaco Co Ltd		12,329		82
Chongkundang Holdings Corp		2,916		281
CJ CheilJedang Corp		1,267		304
CKD Bio Corp		5,342		132
Coway Co Ltd		773		42
DHP Korea Co Ltd		6,232		38
DongKook Pharmaceutical Co Ltd		2,072		161
Hite Jinro Co Ltd		3,062		89
Huvitz Co Ltd		2,136		13
Hyundai Mobis Co Ltd		4,198		671
Hyundai Motor Co		3,425		271
iMarketKorea Inc		2,407		21
INTOPS Co Ltd		14,045		117
JB Financial Group Co Ltd		26,736		103

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Kakao Corp		127	$	27
Kia Motors Corp		24,679		682
KIWOOM Securities Co Ltd		2,119		135
Korea Investment Holdings Co Ltd		385		16
Korea Zinc Co Ltd		61		19
KT Skylife Co Ltd		17,154		111
KT&G Corp		9,732		659
LG Electronics Inc		3,981		191
LG Innotek Co Ltd		308		37
MegaStudyEdu Co Ltd		1,409		45
NAVER Corp		464		85
Nice Information & Telecommunication Inc		3,867		90
POSCO ADR		17,606		650
Samsung Electronics Co Ltd		37,592		1,539
Samsung Electronics Co Ltd GDR		3,676		3,762
Samyang Foods Co Ltd		1,179		113
Shinhan Financial Group Co Ltd		1,254		30
SK Hynix Inc		10,985		723
SK Telecom Co Ltd		1,700		296
Tovis Co Ltd		21,617		120
Yuhan Corp		349		15
				11,686
Spain — 0.5%
Banco Santander SA		679,463		1,540
Ebro Foods SA		13,300		278
Endesa SA		7,200		171
Ferrovial SA		5,981		2
Industria de Diseno Textil SA		657		18
Pharma Mar SA *		3,350		23
Siemens Gamesa Renewable Energy SA *		1,391		23
Telefonica SA		10,526		50
Viscofan SA		873		58
				2,163
Sweden — 0.9%
Atlas Copco AB, Cl A		3,757		147
Autoliv Inc		13,000		814
Axfood AB		1,342		30
Evolution Gaming Group AB		2,157		127
Fortnox AB		838		23
Hennes & Mauritz AB, Cl B		8,078		122
Kinnevik AB		2,007		51
Mycronic AB *		1,467		26
Sandvik AB		68,576		1,135
Skanska AB, Cl B		6,964		139
SKF AB, Cl B		77,352		1,419
Swedish Match AB		4,220		293
Tele2 AB, Cl B		7,344		98
				4,424
Switzerland — 0.9%
Adecco Group AG		1,942		92
Chocoladefabriken Lindt & Spruengli AG		2		17

7 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

World Select Equity Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Credit Suisse Group AG *		136,948	$	1,250
Kuehne + Nagel International AG		669		96
LEM Holding SA		22		31
Novartis AG		2,539		220
Partners Group Holding AG		242		200
Roche Holding AG		3,714		1,286
Swatch Group AG/The, Cl B		3,248		649
Swiss Life Holding AG		735		258
				4,099
Taiwan — 1.7%
Accton Technology Corp		8,818		71
Asustek Computer Inc		2,000		14
Basso Industry Corp		10,000		14
Cathay Financial Holding Co Ltd		31,000		41
Chailease Holding Co Ltd		13,000		50
Chicony Electronics Co Ltd		17,558		50
China Development Financial Holding Corp		75,000		23
Chunghwa Telecom Co Ltd		4,000		15
Eastech Holding Ltd		14,000		12
Eson Precision Ind Co Ltd		76,492		79
Fubon Financial Holding Co Ltd		543,000		767
Greatek Electronics Inc		22,000		33
Highwealth Construction Corp		10,000		15
Hon Hai Precision Industry Co Ltd		30,000		76
IEI Integration Corp		37,000		48
Innolux Corp, Cl A		213,000		44
International Games System Co Ltd		10,000		187
Kinsus Interconnect Technology		85,000		136
Lung Yen Life Service Corp *		10,000		19
momo.com Inc		8,066		153
Nan Ya Plastics Corp		8,000		17
Nang Kuang Pharmaceutical Co Ltd *		53,000		75
Novatek Microelectronics Corp		102,000		696
Pegatron Corp		88,027		189
Pixart Imaging Inc *		2,726		15
Pou Chen Corp		204,000		201
Powertech Technology Inc		5,000		16
Quanta Computer Inc		21,000		49
Realtek Semiconductor Corp		103,130		888
SCI Pharmtech Inc		76,100		350
SinoPac Financial Holdings Co Ltd		573,000		225
Taiwan Business Bank		487,000		172
Taiwan Cement Corp		15,000		21
Taiwan Semiconductor Manufacturing Co Ltd		196,999		1,916
TOPBI International Holdings Ltd		79,000		152
United Integrated Services Co Ltd		22,000		154
United Microelectronics Corp		1,523,000		784
Universal Vision Biotechnology Co Ltd		10,000		47
Walsin Lihwa Corp		210,000		97
Wistron Corp		44,483		42
Wiwynn Corp *		1,684		45

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Yuanta Financial Holding Co Ltd		476,000	$	258
				8,256
Thailand — 0.1%
Bangkok Bank PCL		44,900		154
BTS Group Holdings PCL		42,000		16
Carabao Group PCL		4,788		14
Kiatnakin Bank PCL		109,100		146
Prima Marine PCL		395,300		83
PTT Exploration & Production PCL		7,500		20
Sansiri PCL		904,300		22
Srisawad Corp PCL		9,100		16
TPI Polene Power PCL		1,003,000		127
				598
Turkey — 0.4%
Arcelik AS		155,459		359
BIM Birlesik Magazalar AS		12,749		122
Coca-Cola Icecek AS		30,298		180
Emlak Konut Gayrimenkul Yatirim Ortakligi AS		1,160,000		250
Enerjisa Enerji AS		5,986		7
Haci Omer Sabanci Holding AS		49,099		60
Koza Altin Isletmeleri AS *		1,047		11
Tupras Turkiye Petrol Rafinerileri AS		11,500		145
Turk Traktor ve Ziraat Makineleri AS		58,745		526
				1,660
United Arab Emirates — 0.1%
Dubai Islamic Bank PJSC		26,509		26
Emaar Development PJSC		139,859		74
Emaar Properties PJSC		584,985		398
First Abu Dhabi Bank PJSC		7,072		21
				519
United Kingdom — 4.1%
Ashmore Group PLC		8,225		43
AstraZeneca PLC		15,169		1,609
BAE Systems PLC		53,600		329
boohoo Group PLC *		14,686		70
BP PLC		465,445		1,759
British American Tobacco PLC		5,400		213
CNH Industrial NV		126,301		766
Coca-Cola HBC AG		2,156		54
Dart Group PLC		1,919		21
Dunelm Group PLC		3,665		48
Frasers Group PLC *		4,300		16
Frontier Developments PLC *		376		10
Future PLC		1,774		30
Games Workshop Group PLC		755		74
GlaxoSmithKline PLC		76,062		1,572
Globaltrans Investment PLC GDR		71,000		393
Greggs PLC		1,926		44
GVC Holdings PLC		3,345		33

8 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

World Select Equity Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Halyk Savings Bank of Kazakhstan JSC GDR *		22,265	$	235
Imperial Brands PLC		17,690		321
Informa PLC		108,510		610
International Consolidated Airlines Group SA		149,472		422
International Personal Finance PLC		180,000		94
Kainos Group PLC		1,359		14
LSR Group PJSC GDR		17,618		29
M&G PLC		13,861		24
MD Medical Group Investments PLC GDR *		43,000		188
Meggitt PLC		177,721		609
Next PLC		38,927		2,341
Nova Ljubljanska Banka dd GDR		17,800		154
Pearson PLC		212,385		1,217
Persimmon PLC		263		7
Pets at Home Group Plc		2,121		6
Reckitt Benckiser Group PLC		2,539		227
Rightmove PLC		23,230		168
Rio Tinto PLC		34,407		1,835
Smiths Group PLC		53,074		857
Smurfit Kappa Group PLC		679		22
Softcat PLC		2,802		40
Spirent Communications PLC		10,034		31
Standard Life Aberdeen PLC		9,057		29
Stock Spirits Group PLC		126,680		380
Tate & Lyle PLC		33,300		277
Telecom Plus PLC		830		15
Unilever PLC		1,493		80
Vodafone Group PLC		547,450		900
Wm Morrison Supermarkets PLC		69,300		160
WPP PLC		126,123		954
				19,330
United States — 44.2%
Communication Services — 2.4%
Alphabet Inc, Cl A *		1,372		1,967
AMC Networks Inc, Cl A *		3,900		110
AT&T Inc		130,862		4,038
CenturyLink Inc		172,234		1,693
Comcast Corp, Cl A		15,900		629
Electronic Arts Inc *		217		27
EverQuote Inc, Cl A *		147		8
FactSet Research Systems Inc		2,637		811
Live Nation Entertainment Inc *		25		1
Stamps.com Inc *		354		70
Take-Two Interactive Software Inc *		1,291		176
Verizon Communications Inc		16,200		930
ViacomCBS Inc, Cl B		48,500		1,006
Zillow Group Inc, Cl C *		672		39
				11,505
Consumer Discretionary — 7.7%
Adient PLC *		74,450		1,266
Advance Auto Parts Inc		21,300		2,967

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Allison Transmission Holdings Inc, Cl A		8,000	$	302
Amazon.com Inc *		372		908
AutoZone Inc *		4,360		5,005
Best Buy Co Inc		4,607		360
BMC Stock Holdings Inc *		1,407		37
Buckle Inc/The		619		9
Carnival Corp, Cl A		60,582		953
Chipotle Mexican Grill Inc, Cl A *		318		319
Crocs Inc *		601		17
Dana Inc		118,660		1,500
Darden Restaurants Inc		1,740		134
Domino’s Pizza Inc		125		48
DR Horton Inc		4,400		243
eBay Inc		7,433		338
Foot Locker Inc		30,140		835
Ford Motor Co		27,700		158
Gap Inc/The		64,930		578
Garmin Ltd		1,095		99
General Motors Co		69,554		1,800
Goodyear Tire & Rubber Co/The		137,970		1,050
Group 1 Automotive Inc		14,710		926
Hasbro Inc		1,726		127
Las Vegas Sands Corp		785		38
Lowe’s Cos Inc		25,584		3,335
M/I Homes Inc *		29,070		973
McDonald’s Corp		788		147
Newell Brands Inc		116,089		1,527
NIKE Inc, Cl B		11,928		1,176
NVR Inc *		61		196
O’Reilly Automotive Inc *		2,041		852
Perdoceo Education Corp *		1,001		16
PetMed Express Inc		496		18
PulteGroup Inc		3,905		133
Ralph Lauren Corp, Cl A		318		24
Rent-A-Center Inc/TX, Cl A		1,644		42
RH *		355		77
Royal Caribbean Cruises Ltd		1,601		83
Sleep Number Corp *		670		21
Sonic Automotive Inc, Cl A		30,004		788
Tapestry Inc		62,000		843
Target Corp		14,030		1,716
Taylor Morrison Home Corp, Cl A *		82,970		1,604
TJX Cos Inc/The		22,302		1,177
Tractor Supply Co		5,520		673
Vail Resorts Inc		312		62
VF Corp		928		52
Whirlpool Corp		9,677		1,179
Winnebago Industries Inc		604		33
World Fuel Services Corp		1,435		37
WW International Inc *		956		23
Wynn Resorts Ltd		417		35
				36,859

9 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

World Select Equity Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Consumer Staples — 2.9%
Altria Group Inc		7,900	$	308
Archer-Daniels-Midland Co		8,851		348
Boston Beer Co Inc/The, Cl A *		74		42
Colgate-Palmolive Co		12,077		874
Conagra Brands Inc		68,188		2,372
CoStar Group Inc *		159		104
Dairy Farm International Holdings Ltd		3,400		14
elf Beauty Inc *		427		7
General Mills Inc		10,035		633
Hain Celestial Group Inc/The *		1,023		32
Hershey Co/The		692		94
JM Smucker Co/The		4,300		490
Kellogg Co		7,664		501
Kimberly-Clark Corp		3,453		488
Kraft Heinz Co/The		9,837		300
Kroger Co/The		95,954		3,130
Monster Beverage Corp *		1,004		72
PepsiCo Inc		11,351		1,493
Performance Food Group Co *		1,535		41
Procter & Gamble Co/The		3,544		411
Rite Aid Corp *		914		12
SpartanNash Co		839		18
Sysco Corp		16,858		930
Tyson Foods Inc, Cl A		3,100		191
Walgreens Boots Alliance Inc		4,377		188
Walmart Inc		6,442		799
				13,892
Energy — 1.4%
Baker Hughes Co, Cl A		101,900		1,682
Geopark Ltd		3,600		31
HollyFrontier Corp		25,560		804
Murphy Oil Corp		102,700		1,227
Murphy USA Inc *		613		71
Noble Energy Inc		139,000		1,214
PBF Energy Inc, Cl A		100,370		1,066
Phillips 66		2,700		211
Renewable Energy Group Inc *		744		21
Valero Energy Corp		4,343		289
Williams Cos Inc/The		856		18
				6,634
Financials — 8.8%
Aflac Inc		116,101		4,234
Allstate Corp/The		5,400		528
Ally Financial Inc		147,580		2,574
American Express Co		32,041		3,046
American Financial Group Inc/OH		2,500		151
American International Group Inc		54,500		1,638
Annaly Capital Management Inc ‡		24,700		152
Artisan Partners Asset Management Inc, Cl A		1,112		32
Axis Capital Holdings Ltd		4,400		165

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Bank of America Corp		83,500	$	2,014
Berkshire Hathaway Inc, Cl B *		2,800		520
Blackstone Group Inc/The, Cl A		5,045		286
CME Group Inc, Cl A		5,991		1,094
Cohen & Steers Inc		517		33
E *TRADE Financial Corp		47,300		2,154
Equitable Holdings Inc		128,398		2,454
Everest Re Group Ltd		1,000		198
Federated Hermes Inc, Cl B		2,072		46
Fidelity National Financial Inc		1,347		43
Gentex Corp		96,729		2,558
Goldman Sachs Group Inc/The		16,560		3,254
Hartford Financial Services Group Inc/The		4,700		180
Investors Bancorp Inc		23,800		207
JPMorgan Chase & Co		2,400		234
Lincoln National Corp		37,000		1,403
Moody’s Corp		9,853		2,635
MSCI Inc, Cl A		5,179		1,703
PRA Group Inc *		806		27
Progressive Corp/The		37,739		2,932
S&P Global Inc		1,499		487
Starwood Property Trust Inc ‡		8,500		113
Synchrony Financial		6,058		123
T Rowe Price Group Inc		2,528		306
TopBuild Corp *		683		78
Travelers Cos Inc/The		1,800		193
US Bancorp		82,182		2,922
Victory Capital Holdings Inc, Cl A		422		7
Wells Fargo & Co		47,200		1,249
				41,973
Health Care — 6.2%
AbbVie Inc		5,941		551
Align Technology Inc *		228		56
Amedisys Inc *		288		55
AmerisourceBergen Corp, Cl A		34,700		3,308
Amgen Inc		2,200		505
Becton Dickinson and Co		6,122		1,512
Biogen Inc *		371		114
BioMarin Pharmaceutical Inc *		194		21
Bristol-Myers Squibb Co		22,735		1,358
Cardinal Health Inc		4,026		220
Chemed Corp		363		174
CVS Health Corp		47,500		3,115
DaVita Inc *		1,839		149
DexCom Inc *		779		295
Eli Lilly and Co		20,346		3,112
Gilead Sciences Inc		3,900		304
HCA Healthcare Inc		1,200		128
Humana Inc		33		13
IDEXX Laboratories Inc *		948		293
Johnson & Johnson		15,434		2,296
Karyopharm Therapeutics Inc *		972		18

10 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

World Select Equity Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
McKesson Corp		2,474	$	393
Medpace Holdings Inc *		538		50
Merck & Co Inc		49,744		4,015
Mettler-Toledo International Inc *		1,089		866
Mylan NV *		2,063		35
National Research Corp, Cl A		130		7
Pfizer Inc		13,700		523
Quidel Corp *		619		108
ResMed Inc		2,336		376
Seattle Genetics Inc *		93		14
UnitedHealth Group Inc		15,728		4,795
USANA Health Sciences Inc *		304		26
Varian Medical Systems Inc *		6,336		769
Vertex Pharmaceuticals Inc *		515		148
Zoetis Inc, Cl A		130		18
				29,740
Industrials — 4.9%
3M Co		1,291		202
AAON Inc		772		42
AAR Corp		11,290		228
Advanced Drainage Systems Inc		967		43
Alaska Air Group Inc		14,700		503
Atlas Air Worldwide Holdings Inc *		57,190		2,234
Brady Corp, Cl A		1,154		59
Builders FirstSource Inc *		2,436		51
Carrier Global Corp *		29,537		605
Cintas Corp		222		55
Copart Inc *		2,851		255
Fastenal Co		4,938		204
Fluor Corp		97,630		1,134
FTI Consulting Inc *		779		94
Generac Holdings Inc *		1,459		162
General Dynamics Corp		1,700		250
Graco Inc		19,424		936
Greenbrier Cos Inc/The		36,750		780
HD Supply Holdings Inc *		4,800		152
Howmet Aerospace Inc		10,420		136
Johnson Controls International plc		3,946		124
Lockheed Martin Corp		750		291
Manitowoc Co Inc/The *		91,750		858
Meritor Inc *		67,830		1,382
Middleby Corp/The *		7,865		536
Nielsen Holdings PLC		5,211		72
Northrop Grumman Corp		500		168
Old Dominion Freight Line Inc		394		67
Otis Worldwide Corp		13,428		707
Parker-Hannifin Corp		20,989		3,777
Raytheon Technologies Corp		4,903		316
Robert Half International Inc		20,171		1,023
Saia Inc *		520		56
Snap-on Inc		118		15
Spartan Motors Inc		675		12

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Stanley Black & Decker Inc		7,500	$	941
TransDigm Group Inc		344		146
Union Pacific Corp		20,694		3,515
United Parcel Service Inc, Cl B		3,440		343
Wabash National Corp		83,370		796
WW Grainger Inc		815		252
				23,522
Information Technology — 6.7%
Accenture PLC, Cl A		177		36
Advanced Micro Devices Inc *		7,349		395
Akamai Technologies Inc *		498		53
Amdocs Ltd		8,700		542
Amkor Technology Inc *		2,059		22
Analog Devices Inc		9,950		1,124
Apple Inc		4,185		1,331
Broadcom Inc		170		49
CACI International Inc, Cl A *		1,568		393
Cadence Design Systems Inc *		2,649		242
Cardtronics PLC *		796		19
CDK Global Inc		3,600		141
CDW Corp/DE		335		37
Ciena Corp *		1,140		63
Cisco Systems Inc		30,665		1,466
Citrix Systems Inc		144		21
Cognizant Technology Solutions Corp, Cl A		4,100		217
Corning Inc		8,474		193
Dell Technologies Inc, Cl C *		20,340		1,010
DocuSign Inc, Cl A *		547		76
DXC Technology Co		123,330		1,753
Enphase Energy Inc *		1,903		111
Fair Isaac Corp *		550		221
Fortinet Inc *		334		46
Glu Mobile Inc *		2,038		20
HP Inc		23,724		359
Intel Corp		72,649		4,572
International Business Machines Corp		31,985		3,995
Intuit Inc		1,423		413
Juniper Networks Inc		7,700		187
Keysight Technologies Inc *		2,062		223
KLA Corp		194		34
Lam Research Corp		919		251
Lattice Semiconductor Corp *		2,631		65
Leidos Holdings Inc		3,007		317
Mastercard Inc, Cl A		7,154		2,153
Maxim Integrated Products Inc		904		52
Microsoft Corp		12,503		2,291
NetApp Inc		1,279		57
NortonLifeLock Inc		8,732		199
Okta Inc, Cl A *		146		29
Oracle Corp		39,681		2,134
Palo Alto Networks Inc *		349		82
Paycom Software Inc *		70		21

11 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

World Select Equity Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Perficient Inc *		670	$	23
QUALCOMM Inc		37,086		3,000
RingCentral Inc, Cl A *		296		81
Seagate Technology PLC		8,217		436
Snap Inc, Cl A *		1,307		25
SolarEdge Technologies Inc *		183		26
Splunk Inc *		835		155
Synaptics Inc *		555		35
Tech Data Corp *		459		63
Teradyne Inc		3,556		238
TTEC Holdings Inc		376		16
Twilio Inc, Cl A *		266		53
VeriSign Inc *		788		173
Western Digital Corp		205		9
Western Union Co/The		23,633		473
Xilinx Inc		193		18
				31,839
Materials — 2.3%
AdvanSix Inc *		82,730		980
Commercial Metals Co		2,347		40
Dow Inc		953		37
Ecolab Inc		4,184		889
Huntsman Corp		72,780		1,321
Linde PLC		5,249		1,062
Nucor Corp		22,300		942
Packaging Corp of America		24,008		2,435
Reliance Steel & Aluminum Co		12,342		1,197
Scotts Miracle-Gro Co/The, Cl A		389		56
Sealed Air Corp		6,400		205
Sherwin-Williams Co/The		2,676		1,589
Silgan Holdings Inc		6,400		214
				10,967
Real Estate — 0.3%
Brandywine Realty Trust ‡		10,000		96
Brixmor Property Group Inc ‡		77,500		865
Medical Properties Trust Inc ‡		2,377		43
Mid-America Apartment Communities Inc ‡		168		20
National Health Investors Inc ‡		1,500		83
VEREIT Inc ‡		14,000		77
				1,184
Utilities — 0.5%
Edison International		2,882		168
Entergy Corp		4,797		488
Evergy Inc		3,000		185
Exelon Corp		14,800		567
FirstEnergy Corp		7,308		309
Public Service Enterprise Group Inc		7,100		362
Sempra Energy		857		108
				2,187

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Vietnam — 0.0%
Digiworld Corp		29,590	$	34
Total Common Stock (Cost $460,881) ($ Thousands)				437,470
PREFERRED STOCK — 0.3%
Brazil — 0.1%
Banco do Estado do Rio Grande do Sul SA (A)		210,001		490
Germany — 0.0%
Draegerwerk AG & Co KGaA *		148		12
Russia — 0.2%
Bashneft PJSC (A)		7,092		143
Surgutneftegas PJSC (A)		1,275,728		639
				782
Total Preferred Stock (Cost $1,735) ($ Thousands)				1,284
	Number of Rights
RIGHTS — 0.0%
Brazil — 0.0%
Natura & Co Holding SA, Expires 06/17/2020		1		—
United States — 0.0%
Liberty Media Corp-Liberty SiriusXM, Expires 06/10/2020		144		2
Total Rights (Cost $—) ($ Thousands)				2
	Shares
CASH EQUIVALENT — 0.8%
SEI Daily Income Trust, Government Fund, Cl F
0.090% **†		3,966,317		3,966
Total Cash Equivalent (Cost $3,966) ($ Thousands)				3,966
Total Investments in Securities — 93.0% (Cost $466,582) ($ Thousands)			$	442,722
	Contracts
PURCHASED OPTION * — 0.0%
Total Purchased Option (B) (Cost $68) ($ Thousands)		12,440,095	$	92

12 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

World Select Equity Fund (Continued)

May 31, 2020

A list of the open centrally cleared options contracts held by the Fund at May 31, 2020, is as follows:

Description	Number of Contracts		Notional Amount (Thousands)		Exercise Price		Expiration Date		Value (Thousands)
PURCHASED OPTION — 0.0%
Call Options
June 2020, NZD Call JPY Put *		12,440,095	$	92	$	66.30		6/2/2020	$	92
Total Purchased Option			$	92					$	92

A list of the open futures contracts held by the Fund at May 31, 2020, is as follows:    

Type of Contract	Number of Contracts Long (Short)			Expiration Date		Notional Amount (Thousands)			Value (Thousands)			Unrealized Appreciation (Depreciation) (Thousands)
Euro STOXX 50		151			Jun-2020	$	4,981		$	5,116		$	70
FTSE 100 Index		24			Jun-2020		1,806			1,798			(17	)
Hang Seng Index		24			Jul-2020		3,513			3,525			10
MSCI Emerging Markets		(473	)		Jun-2020		(20,426	)		(22,063	)		(1,637	)
MSCI Singapore Index		55			Jul-2020		1,111			1,121			1
OMX Stockholm 30		60			Jun-2020		963			1,037			42
S&P 500 Index E-MINI		365			Jun-2020		48,962			55,517			6,555
S&P TSX 60 Index		64			Jun-2020		7,743			8,480			656
SPI 200 Index		59			Jun-2020		4,642			5,629			608
TOPIX Index		(220	)		Jun-2020		(28,258	)		(31,836	)		(3,775	)
						$	25,037		$	28,324		$	2,513

A list of the open forward foreign currency contracts held by the Fund at May 31, 2020, is as follows:

Counterparty	Settlement Date			Currency to Deliver (Thousands)			Currency to Receive (Thousands)		Unrealized Appreciation (Depreciation) (Thousands)
Brown Brothers Harriman		06/25/20	USD		451	NZD		737	$	5
Brown Brothers Harriman		06/25/20	USD		25	NZD		40		—
Brown Brothers Harriman		06/25/20	NZD		6	USD		3		—
Brown Brothers Harriman		06/25/20	NZD		488	USD		299		(3	)
Brown Brothers Harriman		06/25/20	USD		772	NOK		7,695		20
Brown Brothers Harriman		06/25/20	USD		2	NOK		17		—
Brown Brothers Harriman		06/25/20	SGD		979	USD		691		(2	)
Brown Brothers Harriman		06/25/20	USD		1,843	SGD		2,613		6
Brown Brothers Harriman		06/25/20	NOK		322	USD		33		—
Brown Brothers Harriman		06/25/20	NOK		2,002	USD		201		(5	)
Brown Brothers Harriman		06/25/20	USD		3,204	DKK		21,817		54
Brown Brothers Harriman		06/25/20	AUD		70	USD		47		—
Brown Brothers Harriman		06/25/20	AUD		3,634	USD		2,391		(21	)
Brown Brothers Harriman		06/25/20	USD		4,256	SEK		40,967		96
Brown Brothers Harriman		06/25/20	CHF		6,114	USD		6,310		(60	)
Brown Brothers Harriman		06/25/20	DKK		8,306	USD		1,222		(19	)
Brown Brothers Harriman		06/25/20	USD		8,610	AUD		13,106		87
Brown Brothers Harriman		06/25/20	USD		527	AUD		792		(2	)
Brown Brothers Harriman		06/25/20	CAD		224	USD		163		1
Brown Brothers Harriman		06/25/20	CAD		9,101	USD		6,533		(53	)
Brown Brothers Harriman		06/25/20	USD		13,912	CAD		19,390		119
Brown Brothers Harriman		06/25/20	USD		569	CAD		783		(2	)
Brown Brothers Harriman		06/25/20	USD		16,390	CHF		15,899		177

13 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

World Select Equity Fund (Continued)

May 31, 2020

Counterparty	Settlement Date			Currency to Deliver (Thousands)			Currency to Receive (Thousands)		Unrealized Appreciation (Depreciation) (Thousands)
Brown Brothers Harriman		06/25/20	GBP		1,510	USD		1,867	$	—
Brown Brothers Harriman		06/25/20	GBP		15,600	USD		19,057		(228	)
Brown Brothers Harriman		06/25/20	USD		23,292	GBP		19,059		268
Brown Brothers Harriman		06/25/20	USD		606	GBP		490		—
Brown Brothers Harriman		06/25/20	SEK		30,891	USD		3,212		(70	)
Brown Brothers Harriman		06/25/20	USD		37,916	JPY		4,087,693		43
Brown Brothers Harriman		06/25/20	USD		7,672	JPY		825,321		(8	)
Brown Brothers Harriman		06/25/20	EUR		46,540	USD		51,016		(772	)
Brown Brothers Harriman		06/25/20	USD		46,682	EUR		42,612		734
Brown Brothers Harriman		06/25/20	JPY		234,269	USD		2,177		2
Brown Brothers Harriman		06/25/20	JPY		8,973,370	USD		83,233		(95	)
Brown Brothers Harriman		06/26/20	USD		5,904	HKD		45,824		5
Brown Brothers Harriman		06/26/20	HKD		6,330	USD		816		(1	)
									$	276

Percentages are based on Net Assets of $476,296 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2020.

† Investment in Affiliated Security (see Note 6).

‡ Real Estate Investment Trust.

(A) There is currently no rate available.

(B) Refer to table below for details on Options Contracts.

ADR — American Depositary Receipt

AUD — Australian Dollar

CAD — Canadian Dollar

CHF — Swiss Franc

Cl — Class

DKK — Danish Krone

EUR — Euro

FTSE — Financial Times and Stock Exchange

GBP — British Pound Sterling

GDR — Global Depositary Receipt

HKD — Hong Kong Dollar

JPY — Japanese Yen

JSC — Joint-Stock Company

Ltd. — Limited

MSCI — Morgan Stanley Capital International

NOK — Norwegian Krone

NZD — New Zealand Dollar

OMX — Offset Market Exchange

PJSC — Public Joint-Stock Company

PLC — Public Limited Company

S&P — Standard & Poor’s

SGD — Singapore Dollar

SEK — Swedish Krona

SPI — Share Price Index

TOPIX — Tokyo Price Index

TSX — Toronto Stock Exchange

USD — United States Dollar

The following is a list of the level of inputs used as of May 31, 2020, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Common Stock		422,215		15,255		—		437,470
Preferred Stock		1,141		143		—		1,284
Rights		2		—		—		2
Cash Equivalent		3,966		—		—		3,966
Total Investments in Securities		427,324		15,398		—		442,722

Other Financial Instruments	Level 1 ($)			Level 2 ($)			Level 3 ($)		Total ($)
Purchased Options		92			—			—		92
Futures Contracts *
Unrealized Appreciation		7,942			—			—		7,942
Unrealized Depreciation		(5,429	)		—			—		(5,429	)
Forwards Contracts *
Unrealized Appreciation		—			1,617			—		1,617
Unrealized Depreciation		—			(1,341	)		—		(1,341	)
Total Other Financial Instruments		2,605			276			—		2,881

* Futures contracts and forwards contracts are valued at the unrealized appreciation (depreciation) on the instrument.

For the year ended May 31, 2020, there were no transfers in or out of Level 3.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The following is a summary of the Fund’s transactions with affiliates for the year ended May 31, 2020 ($ Thousands):

Security Description	Value 5/31/2019			Purchases at Cost			Proceeds from Sales				Realized Gain/ (Loss)			Change in Unrealized Appreciation/(Depreciation)			Value 5/31/2020			Shares		Income			Capital Gains
SEI Daily Income Trust, Government Fund, Cl F		$	13,998		$	206,482		$	(216,514	)		$	—		$	—		$	3,966		3,966,317		$	141		$	—

14 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

World Select Equity Fund (Concluded)

May 31, 2020

Amounts designated as “—” are either $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

15 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Emerging Markets Equity Fund

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK — 92.9%
Argentina — 1.5%
Cablevision Holding SA GDR		76,426	$	265
Corp America Airports SA *		266,076		652
Globant SA *		24,949		3,498
Grupo Financiero Galicia SA ADR *		93,627		750
Grupo Supervielle SA ADR		279,898		552
IRSA Propiedades Comerciales SA ADR		1,698		10
MercadoLibre Inc *		11,413		9,720
				15,447
Austria — 0.1%
IMMOFINANZ *		33,962		636
Bangladesh — 0.3%
BRAC Bank Ltd *(A)		5,607,501		2,103
GrameenPhone Ltd (A)		143,460		403
Square Pharmaceuticals Ltd (A)		514,486		1,044
				3,550
Brazil — 3.6%
Ambev SA		529,600		1,217
Banco do Brasil SA		505,454		2,830
Banco Santander Brasil SA		275,000		1,275
CCR SA		325,100		883
Cia Brasileira de Distribuicao		105,510		1,204
Cia de Saneamento Basico do Estado de Sao Paulo		67,700		673
Cosan SA *		138,100		1,632
CPFL Energia *		146,800		863
Cyrela Brazil Realty SA Empreendimentos e Participacoes		188,800		586
Engie Brasil Energia SA		37,000		288
Gerdau SA ADR		342,527		856
Hapvida Participacoes e Investimentos SA		233,300		2,374
Hypera SA		149,900		900
JBS SA		785,100		3,173
Locaweb Servicos de Internet *		141,348		670
Lojas Renner SA		278,260		1,973
Minerva SA/Brazil *		248,768		603
Movida Participacoes SA		372,407		775
Notre Dame Intermedica Participacoes SA		266,800		3,070
Petrobras Distribuidora		140,600		565
Petroleo Brasileiro ADR, Cl A		135,100		1,019
Porto Seguro SA		71,305		610
Qualicorp Consultoria e Corretora de Seguros SA		134,500		594
Sul America SA		160,100		1,318
Telefonica Brasil SA ADR		153,500		1,346
TOTVS SA		234,094		867
Vale SA ADR, Cl B		327,552		3,197
Via Varejo SA *		120,600		275
YDUQS Part		167,600		879
				36,515

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Canada — 0.5%
Dundee Precious Metals Inc		231,450	$	1,254
First Quantum Minerals Ltd		329,908		1,926
Gran Tierra Energy Inc *		1,180,670		295
Parex Resources Inc *		107,490		1,204
				4,679
Chile — 0.7%
Enel Chile		12,052,165		898
Parque Arauco SA		205,192		344
Plaza SA		136,870		190
SMU SA		4,073,721		683
Sociedad Quimica y Minera de Chile SA ADR		139,176		3,392
Vina Concha y Toro SA		877,180		1,253
				6,760
China — 14.0%
Alibaba Group Holding Ltd ADR *		155,781		32,307
Autobio Diagnostics Co Ltd, Cl A *		120,284		2,457
Baidu Inc ADR *		29,100		3,101
By-health Co Ltd, Cl A		733,800		1,922
Changzhou Xingyu Automotive Lighting Systems, Cl A *		56,500		861
China Communications Construction Co Ltd, Cl H		1,656,000		1,053
China Construction Bank Corp, Cl H		20,569,000		16,161
China International Travel Service Corp Ltd, Cl A		261,067		3,699
China Medical System Holdings Ltd		1,421,000		1,619
China Mobile Ltd		316,000		2,206
China Mobile Ltd ADR		75,609		2,658
China Petroleum & Chemical Corp ADR		15,920		757
China Petroleum & Chemical Corp, Cl H		3,846,000		1,781
China Railway Construction Corp Ltd, Cl H		1,261,000		1,127
Chongqing Fuling Zhacai Group, Cl A		115,500		585
Chongqing Zhifei Biological Products Co Ltd, Cl A		241,500		2,832
Country Garden Holdings Co Ltd		1,282,000		1,585
Daqin Railway Co Ltd, Cl A		971,045		927
Dongfeng Motor Group Co Ltd, Cl H		1,220,000		765
Focus Media Information Technology, Cl A		1,142,600		790
Focus Media Information Technology Co Ltd, Cl A		689,200		476
Fosun International Ltd		1,121,500		1,440
Hangzhou Robam Appliances Co Ltd, Cl A		409,684		1,951
HLA, Cl A *		1,274,400		1,086
Huaxin Cement, Cl A *		178,700		621
Inner Mongolia Yili Industrial Group Co Ltd, Cl A *		518,073		2,063
JD.com Inc ADR *		103,700		5,634
Kweichow Moutai Co Ltd, Cl A		24,875		4,757
Momo Inc ADR		57,700		1,120
NetEase Inc ADR		20,975		8,031

1 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Emerging Markets Equity Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
New Oriental Education & Technology Group Inc ADR *		26,665	$	3,199
Ping An Insurance Group Co of China Ltd, Cl A		50,600		501
Ping An Insurance Group Co of China Ltd, Cl H		1,082,000		10,679
Shenzhou International Group Holdings Ltd		410,000		4,874
Sinopharm Group Co Ltd, Cl H		1,202,800		2,958
Skshu Paint, Cl A *		52,646		856
Vipshop Holdings Ltd ADR *		120,000		2,081
Wuhu Sanqi Interactive Entertainment Network Technology Group Co Ltd, Cl A		523,300		2,490
Wuliangye Yibin, Cl A		168,715		3,499
Zhejiang Expressway Co Ltd, Cl H		3,470,000		2,440
Zhejiang Weixing New Building Materials, Cl A		652,700		1,093
				141,042
Colombia — 0.3%
Bancolombia SA ADR, Cl R		43,650		1,129
Canacol Energy Ltd		430,406		1,247
CEMEX Latam Holdings SA *		443,998		186
Corp Financiera Colombiana SA *		679		5
Grupo Nutresa SA		108,440		647
				3,214
Czech Republic — 0.1%
Moneta Money Bank		353,106		782
Egypt — 0.5%
Cleopatra Hospital *		2,000,000		640
Commercial International Bank Egypt SAE		548,749		2,170
Commercial International Bank Egypt SAE GDR		86,231		330
Credit Agricole Egypt SAE		559,780		882
Egyptian Financial Group-Hermes Holding Co		578,660		392
Palm Hills Developments SAE *		14,824,649		1,007
				5,421
Germany — 0.2%
Delivery Hero SE *		23,010		2,206
Ghana — 0.0%
Scancom PLC		1,623,950		154
Greece — 0.6%
JUMBO SA		94,665		1,718
Motor Oil Hellas Corinth Refineries SA		55,464		925
National Bank of Greece SA *		1,334,437		1,795
OPAP SA		162,028		1,514
				5,952
Hong Kong — 12.5%
Agile Group Holdings Ltd		618,000		635
Agricultural Bank of China Ltd, Cl H		6,185,000		2,498
AIA Group Ltd		838,840		6,802

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Anhui Conch Cement Co Ltd, Cl H		1,104,000	$	8,268
ANTA Sports Products Ltd		252,758		2,253
BAIC Motor Corp Ltd, Cl H		4,681,500		1,885
Bank of China Ltd, Cl H		11,749,000		4,290
Beijing Enterprises Holdings Ltd		639,500		2,124
Bosideng International Holdings Ltd		2,724,000		699
China Education Group Holdings		766,000		1,324
China Lesso Group Holdings Ltd		917,000		1,107
China Mengniu Dairy Co Ltd		853,000		3,048
China Overseas Grand Oceans Group Ltd		2,565,000		1,363
China Overseas Property Holdings Ltd		1,865,000		2,110
China Yongda Automobiles Services Holdings		1,110,000		1,149
China Yuhua Education		2,190,000		2,136
CITIC Ltd		520,000		494
CNOOC Ltd		4,926,000		5,485
Geely Automobile Holdings Ltd		763,000		1,044
Industrial & Commercial Bank of China Ltd, Cl H		11,835,000		7,634
Kingboard Laminates Holdings Ltd		1,274,500		1,110
KWG Group Holdings Ltd		1,673,000		2,335
Lenovo Group Ltd		1,736,000		943
Livzon Pharmaceutical Group, Cl H		319,400		1,284
Logan Property Holdings Co Ltd		2,534,000		3,773
Lonking Holdings Ltd		3,937,000		1,326
Luye Pharma Group Ltd		787,000		393
Nissin Foods Co Ltd		1,652,000		1,371
Sany Heavy Equipment International Holdings		2,317,000		1,127
Shandong Weigao Group Medical Polymer, Cl H		916,000		1,602
Shanghai Pharmaceuticals Holding Co Ltd, Cl H		545,800		863
Shenzhen Expressway, Cl H		924,000		935
Shimao Property Holdings Ltd		554,000		2,302
Sinotruk Hong Kong Ltd		569,500		1,383
SITC International Holdings Co Ltd		1,202,000		1,135
Sunac China Holdings Ltd		315,000		1,319
Techtronic Industries Co Ltd		377,000		3,244
Tencent Holdings Ltd		535,281		28,342
TravelSky Technology Ltd, Cl H		1,630,000		3,272
Vinda International Holdings		627,000		1,905
WuXi AppTec Co Ltd, Cl H		428,820		4,537
Zhongsheng Group Holdings Ltd		945,000		4,852
				125,701
Hungary — 0.5%
Magyar Telekom Telecommunications PLC *		387,640		489
OTP Bank Nyrt		14,490		483
Richter Gedeon Nyrt		178,146		3,896
				4,868
India — 7.0%
Asian Paints Ltd		70,260		1,564

2 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Emerging Markets Equity Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Aurobindo Pharma Ltd		131,298	$	1,295
Avenue Supermarts, Cl A *		69,035		2,072
Bata India Ltd		66,710		1,169
Crompton Greaves Consumer Electricals Ltd		416,205		1,235
Divi’s Laboratories		118,620		3,749
Dixon Technologies India		17,822		1,149
Dr Lal PathLabs		71,869		1,457
Dr Reddy’s Laboratories Ltd		36,039		1,940
Godrej Properties Ltd *		90,054		820
HCL Technologies Ltd		249,673		1,817
HDFC Bank Ltd ADR		143,162		5,988
Hero MotoCorp Ltd		36,725		1,147
Hindalco Industries Ltd		811,564		1,490
Hindustan Unilever Ltd		212,903		5,793
ICICI Bank Ltd ADR		248,881		2,165
Info Edge India Ltd		44,852		1,592
Infosys ADR		259,900		2,365
Infosys Ltd		307,592		2,811
Ipca Laboratories Ltd		112,406		2,222
ITC Ltd *		2,417,145		6,308
Jubilant Foodworks Ltd		48,556		1,064
Larsen & Toubro Ltd		37,022		456
Multi Commodity Exchange of India Ltd		64,213		1,128
Power Grid Corp of India Ltd		219,912		458
REC Ltd		684,348		802
Reliance Industries Ltd		237,059		4,591
State Bank of India *		390,140		832
Tata Consultancy Services Ltd		51,855		1,353
UPL Ltd *		358,015		1,922
Varun Beverages Ltd		132,159		1,104
WNS Holdings Ltd ADR *		112,936		5,459
Zee Entertainment Enterprises		516,660		1,254
				70,571
Indonesia — 1.5%
Ace Hardware Indonesia Tbk PT *		11,419,200		1,215
Bank Central Asia Tbk PT		1,851,200		3,288
Bank Negara Indonesia Persero Tbk PT		1,302,000		342
Bank Rakyat Indonesia Persero		5,681,900		1,147
Link Net Tbk PT *		1,632,500		269
Malindo Feedmill Tbk PT		3,961,500		137
Matahari Department Store Tbk PT		1,558,800		155
Media Nusantara Citra Tbk PT		5,650,200		329
Medikaloka Hermina Tbk PT *		11,480,000		2,475
Merdeka Copper Gold *		11,676,000		1,039
Pakuwon Jati Tbk PT		63,452,684		1,572
Pan Brothers Tbk PT		3,957,400		72
Tiga Pilar Sejahtera Food Tbk *		6,565,800		75
Ultrajaya Milk Industry & Trading Co Tbk PT		31,400,000		3,267
				15,382
Ivory Coast — 0.1%
Sonatel SA		32,578		745

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Kenya — 0.6%
ARM Cement Ltd *		10	$	—
East African Breweries Ltd		1,191,844		1,808
Equity Group Holdings PLC/Kenya		7,653,143		2,526
Safaricom PLC		5,706,820		1,525
				5,859
Kuwait — 0.8%
Mobile Telecommunications Co KSC		1,022,933		1,752
National Bank of Kuwait SAKP		2,397,461		6,026
				7,778
Malaysia — 0.6%
Malayan Banking Bhd		901,069		1,554
RHB Bank Bhd		1,804,300		1,980
Serba Dinamik Holdings Bhd		2,472,550		916
Top Glove Corp Bhd		388,000		1,187
				5,637
Mauritius — 0.0%
MCB Group Ltd		100,910		584
Mexico — 2.1%
Arca Continental SAB de CV		99,800		447
Bolsa Mexicana de Valores		424,900		821
Fibra Uno Administracion ‡		372,600		286
Genomma Lab Internacional SAB de CV, Cl B *		1,792,134		1,655
Gruma SAB de CV, Cl B		30,940		307
Grupo Aeroportuario del Centro Norte SAB de CV, Cl B *		431,849		1,906
Grupo Aeroportuario del Sureste SAB de CV ADR		18,631		1,931
Grupo Aeroportuario del Sureste SAB de CV, Cl B		27,585		287
Grupo Financiero Banorte SAB de CV, Cl O		643,461		1,964
Grupo Mexico SAB de CV, Ser B		595,200		1,285
Industrias Penoles		44,260		419
Infraestructura Energetica Nova		77,500		221
Inmobiliaria Vesta		763,100		1,045
Kimberly-Clark de Mexico SAB de CV, Cl A		448,200		699
Promotora y Operadora de Infraestructura *		158,649		1,201
Qualitas Controladora SAB de CV		162,300		653
Regional SAB de CV		346,173		967
Wal-Mart de Mexico SAB de CV		1,960,500		4,917
				21,011
Morocco — 0.3%
Attijariwafa Bank		18,750		662
Label Vie		4,956		1,490
Societe d’Exploitation des Ports		38,140		730
				2,882
Nigeria — 0.4%
SEPLAT Petroleum Development Co Plc		734,571		905

3 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Emerging Markets Equity Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Zenith Bank PLC		63,514,510	$	2,777
				3,682
Oman — 0.0%
Bank Muscat SAOG		367,181		330
Pakistan — 0.2%
United Bank Ltd/Pakistan		3,224,955		1,904
Panama — 0.1%
Copa Holdings SA, Cl A		28,129		1,234
Peru — 1.1%
Alicorp SAA *		512,528		1,164
Cementos Pacasmayo SAA		531,678		735
Credicorp Ltd		57,596		7,938
Ferreycorp SAA		1,298,960		544
InRetail Peru Corp		11,790		362
				10,743
Philippines — 2.7%
AllHome *		17,413,000		1,844
Alliance Global Group Inc *		7,105,210		842
Ayala Corp		303,969		4,489
Ayala Land Inc		3,760,900		2,377
Bank of the Philippine Islands		1,531,460		2,006
BDO Unibank Inc		1,103,724		2,189
Cebu Air Inc		670,040		477
East West Banking Corp *		2,254,500		271
Emperador Inc		5,808,500		899
Globe Telecom		26,270		1,191
Jollibee Foods		416,000		893
Puregold Price Club Inc		1,438,303		1,307
Robinsons Land Corp		11,904,032		3,476
Robinsons Retail Holdings Inc		1,824,690		2,440
Security Bank Corp		93,130		150
Universal Robina		344,390		891
Wilcon Depot Inc		5,100,300		1,532
				27,274
Poland — 0.7%
Asseco Poland		31,520		575
Bank Polska Kasa Opieki SA		38,344		503
Dino Polska SA *		30,282		1,381
Grupa Lotos SA		33,885		504
Kernel Holding SA		152,020		1,566
Polski Koncern Naftowy ORLEN SA		39,004		650
Powszechny Zaklad Ubezpieczen SA		198,328		1,478
				6,657
Qatar — 0.1%
Qatar National Bank QPSC		135,844		660
Qatar Navigation QSC		178,580		284
				944

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Romania — 0.2%
Banca Transilvania SA		4,060,245	$	1,903
BRD-Groupe Societe Generale SA		151,840		417
				2,320
Russia — 4.0%
Gazprom PJSC ADR		722,254		4,012
LUKOIL PJSC ADR		117,093		8,747
Mail.Ru Group GDR *		97,090		1,747
MMC Norilsk Nickel PJSC ADR		138,101		4,341
Mobile TeleSystems PJSC ADR		236,051		2,098
Moscow Exchange MICEX-RTS PJSC *		1,769,690		2,863
QIWI plc ADR		35,381		493
Sberbank of Russia PJSC ADR		615,166		6,995
X5 Retail Group NV GDR		24,445		718
Yandex NV, Cl A *		197,184		7,933
				39,947
Saudi Arabia — 0.5%
Al Rajhi Bank		101,179		1,510
Mobile Telecommunications Saudi Arabia *		409,741		1,176
Saudi Arabian Fertilizer		53,797		1,085
Saudi Telecom		60,310		1,612
				5,383
Singapore — 0.3%
First Resources Ltd		1,352,670		1,302
Thai Beverage PCL		2,975,570		1,326
				2,628
South Africa — 1.9%
Absa Group Ltd		133,836		616
AngloGold Ashanti Ltd ADR		35,572		874
Bidvest Group Ltd/The		32,894		283
Capitec Bank Holdings Ltd		37,645		1,806
Clicks Group Ltd		160,513		2,119
Dis-Chemical Pharmacies		367,840		386
Exxaro Resources Ltd		97,774		687
Impala Platinum Holdings Ltd		117,285		779
Mr Price Group		275,351		2,030
Naspers Ltd, Cl N		19,397		3,068
Ninety One *		163,888		405
Northam Platinum Ltd *		148,307		922
Old Mutual		1,177,643		750
RMB Holdings Ltd		457,942		1,376
Sibanye Stillwater Ltd *		659,773		1,212
SPAR Group Ltd/The		42,515		422
Standard Bank Group Ltd		280,092		1,614
Woolworths Holdings		166,081		273
				19,622
South Korea — 8.6%
BGF retail		9,200		1,240
CJ ENM		37,416		3,656
D&C Media *		27,582		569

4 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Emerging Markets Equity Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Daelim Industrial		15,828	$	1,180
DB HiTek		31,875		736
Doosan Fuel Cell *		30,572		369
Douzone Bizon Co Ltd		65,947		6,390
Duk San Neolux Co Ltd *		73,488		1,890
Ecopro		41,999		827
F&F		8,126		653
Fila Holdings		6,859		213
GS Holdings		60,648		1,846
Hana Financial Group Inc		111,087		2,669
Hanwha Corp		38,929		632
Hugel Inc *		4,583		1,367
Hyundai Department Store Co Ltd		10,002		517
Hyundai Marine & Fire Insurance Co Ltd		29,585		579
Iljin Materials Co Ltd		30,820		1,161
Kangwon Land Inc		59,186		1,156
KB Financial Group Inc		119,370		3,277
Kia Motors Corp		79,939		2,211
Koh Young Technology Inc		33,725		2,541
LG Corp		56,938		2,901
LG Electronics Inc		18,109		867
MegaStudyEdu Co Ltd		36,565		1,156
NAVER Corp		7,494		1,368
NCSoft Corp		10,347		6,600
NICE Information Service		56,719		833
POSCO		9,623		1,407
POSCO ADR		36,724		1,356
Samsung Electronics Co Ltd		594,548		24,340
SK Hynix Inc		55,830		3,674
SK Telecom Co Ltd		19,261		3,359
SKCKOLONPI		35,633		906
Webcash		12,728		579
WONIK IPS Co Ltd		56,583		1,485
				86,510
Sri Lanka — 0.2%
Commercial Bank of Ceylon PLC		446,443		151
Hatton National Bank PLC		590,120		322
Hemas Holdings PLC		716,430		239
John Keells Holdings PLC		1,938,965		1,146
				1,858
Taiwan — 11.7%
Accton Technology Corp		707,000		5,687
Advanced Ceramic X *		65,000		677
Airtac International Group		159,000		2,727
Asia Cement Corp		2,610,000		3,786
ASMedia Technology Inc		69,000		2,608
ASPEED Technology Inc		34,000		1,755
Catcher Technology Co Ltd		349,000		2,534
Chailease Holding Co Ltd		1,035,047		4,016
Chicony Power Technology Co Ltd		408,000		911
Chief Telecom *		80,000		1,088

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Delta Electronics Inc		367,000	$	1,687
Elan Microelectronics Corp		316,000		1,052
FLEXium Interconnect Inc		248,000		896
Fubon Financial Holding Co Ltd		3,015,000		4,258
Hiwin Technologies Corp		131,000		1,337
Hon Hai Precision Industry Co Ltd		1,313,912		3,317
Kaori Heat Treatment *		285,000		701
Kindom Development		970,000		953
King Yuan Electronics		899,000		901
King’s Town Bank Co Ltd		657,000		680
Largan Precision		13,000		1,660
Lite-On Technology Corp		926,862		1,485
Macronix International		1,094,000		1,170
MediaTek Inc		222,357		3,429
Merida Industry Co Ltd		267,000		1,600
Micro-Star International Co Ltd		533,000		1,793
momo.com		73,000		1,386
Nan Liu Enterprise		89,000		723
Novatek Microelectronics Corp		279,000		1,905
Parade Technologies Ltd		80,000		2,291
Pegatron Corp		705,000		1,515
Powertech Technology Inc		1,167,000		3,770
Poya International		19,000		366
Realtek Semiconductor Corp		223,000		1,920
Silergy Corp		121,947		6,580
Sitronix Technology Corp		111,000		562
TaiDoc Technology *		121,000		1,181
Taiwan Semiconductor Manufacturing Co Ltd		844,000		8,208
Taiwan Semiconductor Manufacturing Co Ltd ADR		540,447		27,201
Tong Hsing Electronic Industries Ltd		295,000		1,302
Unimicron Technology Corp		582,000		777
United Microelectronics Corp		2,488,000		1,280
Universal Microwave Technology Inc		2		—
Universal Vision Biotechnology		104,000		492
Voltronic Power Technology		57,000		1,454
Win Semiconductors		113,000		967
Yuanta Financial Holding Co Ltd		3,485,000		1,886
				118,474
Thailand — 2.9%
Advanced Info Service PCL		412,400		2,496
Airports of Thailand		1,065,600		2,077
Bangkok Dusit Medical Services PCL, Cl F		3,399,500		2,404
Central Retail		445,633		539
Charoen Pokphand Foods PCL		2,096,600		2,076
Com7 PCL		1,245,600		960
CP ALL PCL		1,536,000		3,404
Home Product Center PCL		12,288,445		5,717
Mega Lifesciences		560,900		604
Minor International PCL NVDR		2,665,857		1,559
PTT PCL		1,298,400		1,449
Srisawad Corp PCL		588,630		1,055

5 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Emerging Markets Equity Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Thanachart Capital PCL		662,498	$	760
Tisco Financial Group PCL		541,600		1,277
TOA Paint Thailand PCL		2,976,900		3,299
				29,676
Turkey — 0.8%
Ford Otomotiv Sanayi AS		49,486		449
MLP Saglik Hizmetleri AS, Cl B *		564,281		1,384
Soda Sanayii		823,909		681
Sok Marketler Ticaret *		498,283		854
Tekfen Holding *		279,120		573
Turkcell Iletisim Hizmetleri AS		1,430,150		2,969
Ulker Biskuvi Sanayi *		286,390		991
				7,901
United Arab Emirates — 1.0%
Aldar Properties PJSC		6,663,767		3,139
DP World		46,986		740
Dubai Islamic Bank PJSC		2,377,511		2,301
Emaar Development PJSC		5,237,801		2,770
Emaar Properties PJSC		2,434,882		1,656
				10,606
United Kingdom — 3.7%
ADES International Holding PLC *		40,990		410
Avast PLC		167,612		1,042
Bank of Georgia Group		12,460		143
Energean Oil & Gas PLC *		122,815		818
Georgia Capital *		10,196		58
Halyk Savings Bank of Kazakhstan JSC GDR *		580,735		6,122
Hochschild Mining		484,558		1,199
KAZ Minerals PLC		400,318		2,344
MHP SE GDR		81,450		489
NAC Kazatomprom JSC GDR		356,840		5,210
Network International Holdings PLC		1,007,812		5,789
Nova Ljubljanska Banka dd GDR *		256,982		2,224
Polymetal International PLC		27,388		551
Polyus PJSC GDR		9,749		806
SEPLAT Petroleum Development Co Plc		294,006		208
TBC Bank Group PLC		14,830		152
TCS Group Holding GDR		41,382		718
Tullow Oil PLC		1,090,179		301
Vivo Energy PLC		4,204,849		3,998
Wizz Air Holdings *		120,184		4,873
				37,455
United States — 1.2%
EPAM Systems Inc *		19,145		4,416
Intercorp Financial Services Inc		113,097		2,803
Livent Corp *		146,607		988
Southern Copper Corp		19,014		690
XP, Cl A *		45,253		1,374
Yum China Holdings Inc		46,500		2,155
				12,426

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Vietnam — 2.2%
Binh Minh Plastics JSC		295,980	$	607
FPT Corp		670,203		1,380
Gemadept		487,470		410
Ho Chi Minh City Development Joint Stock Commercial Bank *		1,889,350		1,964
Hoa Phat Group JSC *		1,761,435		2,073
Military Commercial Joint Stock Bank *		5,679,699		4,196
Refrigeration Electrical Engineering Corp		61,290		82
Vietnam Dairy Products JSC		923,314		4,561
Vietnam Prosperity JSC Bank *		1,987,341		1,993
Vietnam Technological & Commercial Joint Stock Bank *		2,493,570		2,217
Vincom Retail JSC *		2,186,159		2,582
Vinhomes JSC		181,607		598
				22,663
Total Common Stock (Cost $896,981) ($ Thousands)				937,613
	Number of Warrants
WARRANTS — 1.4%
India — 0.1%
Voltas, Expires 05/28/2020 *		159,533		1,006
Luxembourg — 0.2%
Emirates NBD PJSC, Expires 01/03/2022 *		833,488		1,937
Thailand — 0.0%
Minor International PCL, Expires 09/30/2021 *		159,221		9
Minor International PCL, Expires 09/30/2021 *		40,200		2
				11
United States — 1.0%
FPT Corp, Expires 03/31/2021 *		2,586,533		5,274
Shandong Pharmaceutical Glass Co Ltd, Expires 02/19/2020 *		732,732		4,715
				9,989
Vietnam — 0.1%
Mobile World Investment, Expires 03/31/2021 *		370,086		1,331

6 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Emerging Markets Equity Fund (Continued)

May 31, 2020

Description	Number of Warrants		Market Value ($ Thousands)
WARRANTS (continued)
Total Warrants (Cost $9,670) ($ Thousands)			$	14,274
	Shares
PREFERRED STOCK — 1.2%
Brazil — 0.6%
Banco Bradesco SA (B)		264,015		916
Centrais Eletricas Brasileiras SA *(B)		68,900		390
Cia Energetica de Minas Gerais (B)		103,200		203
Cia Paranaense de Energia (B)		75,700		890
Itausa - Investimentos Itau SA (B)		1,742,917		2,859
Lojas Americanas (B)		45,300		235
Petroleo Brasileiro SA (B)		228,200		837
				6,330
Chile — 0.1%
Embotelladora Andina (B)		215,173		514
Colombia — 0.3%
Banco Davivienda SA (B)		413,304		2,727
South Korea — 0.2%
LG Household & Health Care (B)		824		476
Samsung Electronics Co Ltd (B)		54,209		1,875
				2,351
Total Preferred Stock (Cost $14,009) ($ Thousands)				11,922
EXCHANGE TRADED FUND — 0.2%
United States — 0.2%
iShares Core MSCI Emerging Markets		37,250		1,678
Total Exchange Traded Fund (Cost $1,514) ($ Thousands)				1,678
	Number of Rights
RIGHTS — 0.0%
India — 0.0%
Reliance Industries Ltd *‡‡		15,803		46
Total Rights (Cost $—) ($ Thousands)				46

Description	Shares		Market Value ($ Thousands)
CASH EQUIVALENT — 1.8%
SEI Daily Income Trust, Government Fund, Cl F
0.090% **†		18,307,221	$	18,307
Total Cash Equivalent (Cost $18,307) ($ Thousands)				18,307
Total Investments in Securities — 97.5% (Cost $940,481) ($ Thousands)			$	983,840

7 SEI Institutional Investments Trust / Annual Report / May 31, 2020

SCHEDULE OF INVESTMENTS

Emerging Markets Equity Fund (Concluded)

May 31, 2020

A list of the open futures contracts held by the Fund at May 31, 2020, is as follows:

Type of Contract	Number of Contracts Long		Expiration Date		Notional Amount (Thousands)		Value (Thousands)		Unrealized Appreciation (Thousands)
MSCI Emerging Markets		440		Jun-2020	$	20,237	$	20,524	$	287

Percentages are based on Net Assets of $1,008,763 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2020.

‡ Real Estate Investment Trust.

† Investment in Affiliated Security (see Note 6).

‡‡ Expiration date not available.

(A) Level 3 security in accordance with fair value hierarchy.

(B) There is currently no rate available.

ADR — American Depositary Receipt

Cl — Class

GDR — Global Depositary Receipt

JSC — Joint-Stock Company

Ltd. — Limited

MSCI — Morgan Stanley Capital International

NVDR — Non-Voting Depositary Receipt

PCL — Public Company Limited

PJSC — Public Joint-Stock Company

PLC — Public Limited Company

Ser — Series

The following is a list of the level of inputs used as of November 30, 2019, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands).

Investments in Securities	Level 1 ($)		Level 2 ($)		Level 3 ($)(1)		Total ($)
Common Stock		758,552		175,511		3,550		937,613
Warrants		11,926		2,348		—		14,274
Preferred Stock		11,446		476		—		11,922
Exchange Traded Fund		1,678		—		—		1,678
Rights		46		—		—		46
Cash Equivalent		18,307		—		—		18,307
Total Investments in Securities		801,955		178,335		3,550		983,840

Other Financial Instruments	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Futures Contracts *
Unrealized Appreciation		287		—		—		287
Total Other Financial Instruments		287		—		—		287

(1) A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. Management has concluded that Level 3 investments are not material in relation to net assets.

* Futures contracts are valued at the unrealized appreciation on the instrument.

For the year ended May 31, 2020, there were transfers in or out of Level 3.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

The following is a summary the of Fund’s transactions with affiliates for the year ended May 31, 2020 ($ Thousands).

Security Description	Value 5/31/2019			Purchases at Cost			Proceeds from Sales				Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Value 5/31/2020			Shares		Dividend Income			Capital Gains
SEI Daily Income Trust, Government Fund, Cl F		$	51,118		$	256,626		$	(289,437	)		$	—		$	—		$	18,307		18,307,221		$	468		$	—

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

8 SEI Institutional Investments Trust / Annual Report / May 31, 2020

CONSOLIDATED SCHEDULE OF INVESTMENTS

Dynamic Asset Allocation Fund

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK — 89.4%
Communication Services — 9.8%
Activision Blizzard Inc		47,100	$	3,390
Alphabet Inc, Cl A *		18,245		26,155
Alphabet Inc, Cl C *		18,222		26,038
AT&T Inc		444,519		13,718
CenturyLink Inc		61,715		607
Charter Communications Inc, Cl A *		9,500		5,168
Comcast Corp, Cl A		276,200		10,937
Discovery Inc, Cl A *		9,900		215
Discovery Inc, Cl C *		20,419		400
DISH Network Corp, Cl A *		16,101		510
Electronic Arts Inc *		17,700		2,175
Facebook Inc, Cl A *		146,500		32,976
Fox Corp		32,066		931
Interpublic Group of Cos Inc/The		23,400		400
Live Nation Entertainment Inc *		8,400		413
Netflix Inc *		26,700		11,207
News Corp		8,900		109
News Corp, Cl A		24,400		299
Omnicom Group Inc		13,500		740
Take-Two Interactive Software Inc *		7,000		953
T-Mobile US Inc *		23,300		2,331
Twitter Inc *		47,300		1,465
Verizon Communications Inc		251,700		14,442
ViacomCBS Inc, Cl B		33,040		685
Walt Disney Co/The *		109,677		12,865
				169,129
Consumer Discretionary — 9.4%
Advance Auto Parts Inc		4,200		585
Amazon.com Inc *		25,400		62,036
Aptiv PLC *		15,300		1,153
AutoZone Inc *		1,400		1,607
Best Buy Co Inc		14,100		1,101
Booking Holdings Inc *		2,500		4,099
BorgWarner Inc		13,000		418
CarMax Inc *		10,100		889
Carnival Corp, Cl A *		28,200		444
Chipotle Mexican Grill Inc, Cl A *		1,500		1,506
Darden Restaurants Inc *		8,000		615
Dollar General Corp		15,600		2,988
Dollar Tree Inc *		14,284		1,398
Domino’s Pizza Inc		2,400		926
DR Horton Inc		20,200		1,117
eBay Inc		46,200		2,104
Expedia Group Inc *		8,800		699
Ford Motor Co *		236,900		1,353
Gap Inc/The		15,000		133
Garmin Ltd		8,900		802
General Motors Co *		76,000		1,967
Genuine Parts Co		8,951		747
H&R Block Inc		11,400		194
Hanesbrands Inc		21,500		212

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Harley-Davidson Inc		9,700	$	207
Hasbro Inc		7,600		559
Hilton Worldwide Holdings Inc *		17,300		1,372
Home Depot Inc/The		66,432		16,507
Kohl’s Corp *		10,700		206
L Brands Inc *		14,700		238
Las Vegas Sands Corp *		20,300		973
Leggett & Platt Inc		8,600		263
Lennar Corp, Cl A		17,300		1,046
LKQ Corp *		18,700		513
Lowe’s Cos Inc		46,569		6,070
Marriott International Inc/MD, Cl A *		16,520		1,462
McDonald’s Corp		45,800		8,533
MGM Resorts International		31,300		538
Mohawk Industries Inc *		3,528		329
Newell Brands Inc		22,799		300
NIKE Inc, Cl B		75,700		7,462
Nordstrom Inc *		7,500		121
Norwegian Cruise Line Holdings Ltd *		14,500		227
NVR Inc *		210		677
O’Reilly Automotive Inc *		4,600		1,919
PulteGroup Inc		15,500		527
PVH Corp *		4,900		223
Ralph Lauren Corp, Cl A *		3,300		249
Ross Stores Inc *		21,900		2,123
Royal Caribbean Cruises Ltd *		10,500		545
Starbucks Corp		71,700		5,592
Tapestry Inc *		16,400		223
Target Corp		30,700		3,756
Tiffany & Co		6,700		858
TJX Cos Inc/The *		74,300		3,920
Tractor Supply Co		7,300		891
Ulta Beauty Inc *		3,500		854
Under Armour Inc, Cl A *		13,300		116
Under Armour Inc, Cl C *		13,436		106
VF Corp		19,724		1,106
Whirlpool Corp		3,700		451
Wynn Resorts Ltd *		5,900		491
Yum! Brands Inc		18,500		1,660
				162,306
Consumer Staples — 6.4%
Altria Group Inc		113,400		4,428
Archer-Daniels-Midland Co		33,800		1,329
Brown-Forman Corp, Cl B		11,325		747
Campbell Soup Co		10,400		530
Church & Dwight Co Inc		14,700		1,103
Clorox Co/The		7,700		1,588
Coca-Cola Co/The		234,600		10,951
Colgate-Palmolive Co		52,500		3,797
Conagra Brands Inc		30,200		1,051
Constellation Brands Inc, Cl A		10,200		1,761
Costco Wholesale Corp		26,900		8,298

1 SEI Institutional Investments Trust / Annual Report / May 31, 2020

CONSOLIDATED SCHEDULE OF INVESTMENTS

Dynamic Asset Allocation Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Coty Inc, Cl A *		18,650	$	68
Estee Lauder Cos Inc/The, Cl A *		13,600		2,686
General Mills Inc		36,900		2,326
Hershey Co/The		8,900		1,208
Hormel Foods Corp		17,300		845
JM Smucker Co/The		7,082		807
Kellogg Co		15,500		1,013
Kimberly-Clark Corp		21,000		2,970
Kraft Heinz Co/The		38,566		1,175
Kroger Co/The		48,400		1,579
Lamb Weston Holdings Inc		9,000		541
McCormick & Co Inc/MD		7,400		1,296
Molson Coors Beverage Co, Cl B *		11,500		437
Mondelez International Inc, Cl A		87,400		4,555
Monster Beverage Corp *		23,420		1,684
PepsiCo Inc		84,862		11,164
Philip Morris International Inc		94,600		6,940
Procter & Gamble Co/The		151,736		17,589
Sysco Corp		31,100		1,715
Tyson Foods Inc, Cl A		17,700		1,087
Walgreens Boots Alliance Inc		45,300		1,945
Walmart Inc		86,265		10,702
				109,915
Energy — 2.6%
Apache Corp		22,200		240
Baker Hughes Co, Cl A		39,700		655
Cabot Oil & Gas Corp, Cl A		24,600		488
Chevron Corp		115,000		10,545
Concho Resources Inc		12,600		687
ConocoPhillips		67,200		2,835
Devon Energy Corp		21,600		233
Diamondback Energy Inc		9,700		413
EOG Resources Inc		35,500		1,809
Exxon Mobil Corp		257,400		11,704
Halliburton Co		52,000		611
Hess Corp		15,500		736
HollyFrontier Corp		8,800		277
Kinder Morgan Inc		117,677		1,859
Marathon Oil Corp *		47,100		252
Marathon Petroleum Corp		40,111		1,410
National Oilwell Varco Inc *		24,300		303
Noble Energy Inc		28,400		248
Occidental Petroleum Corp		54,928		711
ONEOK Inc		25,300		928
Phillips 66		26,900		2,105
Pioneer Natural Resources Co		10,300		944
Schlumberger Ltd		84,437		1,560
TechnipFMC PLC		28,500		211
Valero Energy Corp		25,100		1,673

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Williams Cos Inc/The		73,100	$	1,493
				44,930
Financials — 9.3%
Aflac Inc		44,800		1,634
Allstate Corp/The		19,600		1,917
American Express Co		40,700		3,869
American International Group Inc		53,000		1,593
Ameriprise Financial Inc		7,800		1,093
Aon PLC, Cl A		14,300		2,816
Arthur J Gallagher & Co		11,600		1,094
Assurant Inc		3,700		380
Bank of America Corp		492,500		11,879
Bank of New York Mellon Corp/The		50,700		1,884
Berkshire Hathaway Inc, Cl B *		119,100		22,103
BlackRock Inc, Cl A		9,241		4,885
Capital One Financial Corp		28,700		1,953
Cboe Global Markets Inc		6,800		724
Charles Schwab Corp/The		69,900		2,510
Chubb Ltd		27,726		3,381
Cincinnati Financial Corp		9,400		554
Citigroup Inc		132,700		6,358
Citizens Financial Group Inc		26,700		643
CME Group Inc, Cl A		21,700		3,962
Comerica Inc		8,700		316
Discover Financial Services		19,400		922
E*TRADE Financial Corp		13,900		633
Everest Re Group Ltd		2,500		496
Fifth Third Bancorp		43,800		849
First Republic Bank/CA		10,100		1,092
Franklin Resources Inc		17,500		330
Globe Life Inc		6,100		470
Goldman Sachs Group Inc/The		19,300		3,792
Hartford Financial Services Group Inc/The		22,450		860
Huntington Bancshares Inc/OH		65,000		578
Intercontinental Exchange Inc		33,745		3,282
Invesco Ltd		24,400		194
JPMorgan Chase & Co		190,900		18,577
KeyCorp		61,399		728
Lincoln National Corp		12,000		455
Loews Corp		16,100		535
M&T Bank Corp		8,221		869
MarketAxess Holdings Inc		2,300		1,170
Marsh & McLennan Cos Inc		30,900		3,273
MetLife Inc		47,700		1,718
Moody’s Corp		9,847		2,633
Morgan Stanley		71,300		3,152
MSCI Inc, Cl A		5,200		1,710
Nasdaq Inc		7,100		841
Northern Trust Corp		13,200		1,043
People’s United Financial Inc		28,500		326
PNC Financial Services Group Inc/The		26,800		3,056
Principal Financial Group Inc		15,800		610

2 SEI Institutional Investments Trust / Annual Report / May 31, 2020

CONSOLIDATED SCHEDULE OF INVESTMENTS

Dynamic Asset Allocation Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Progressive Corp/The		35,800	$	2,781
Prudential Financial Inc		24,500		1,493
Raymond James Financial Inc		7,600		527
Regions Financial Corp		59,300		671
S&P Global Inc		14,800		4,810
SVB Financial Group *		3,200		687
Synchrony Financial		34,711		707
T Rowe Price Group Inc		14,400		1,741
Travelers Cos Inc/The		15,700		1,680
Truist Financial Corp		82,082		3,019
Unum Group		13,500		204
US Bancorp		87,100		3,097
Wells Fargo & Co		233,900		6,191
Willis Towers Watson PLC		7,895		1,602
WR Berkley Corp		8,900		516
Zions Bancorp NA		10,700		352
				159,820
Health Care — 13.6%
Abbott Laboratories		107,539		10,208
AbbVie Inc		107,253		9,939
ABIOMED Inc *		2,800		627
Agilent Technologies Inc		18,900		1,666
Alexion Pharmaceuticals Inc *		13,500		1,619
Align Technology Inc *		4,400		1,081
AmerisourceBergen Corp, Cl A		9,361		892
Amgen Inc		36,100		8,292
Anthem Inc		15,400		4,529
Baxter International Inc		30,938		2,785
Becton Dickinson and Co		18,037		4,454
Biogen Inc *		10,900		3,347
Boston Scientific Corp *		84,500		3,210
Bristol-Myers Squibb Co		142,500		8,510
Cardinal Health Inc		18,200		995
Centene Corp *		35,630		2,360
Cerner Corp		19,100		1,392
Cigna Corp		22,681		4,475
Cooper Cos Inc/The		3,000		951
CVS Health Corp		79,043		5,183
Danaher Corp		38,200		6,365
DaVita Inc *		5,500		445
DENTSPLY SIRONA Inc		13,700		637
DexCom Inc *		5,600		2,119
Edwards Lifesciences Corp *		12,800		2,876
Eli Lilly and Co		51,367		7,857
Gilead Sciences Inc		76,856		5,982
HCA Healthcare Inc *		16,200		1,732
Henry Schein Inc *		9,000		546
Hologic Inc *		16,000		848
Humana Inc		8,000		3,285
IDEXX Laboratories Inc *		5,300		1,637
Illumina Inc *		8,900		3,231
Incyte Corp *		11,100		1,131

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Intuitive Surgical Inc *		7,000	$	4,060
IQVIA Holdings Inc *		11,100		1,660
Johnson & Johnson		160,200		23,830
Laboratory Corp of America Holdings *		5,854		1,026
McKesson Corp		9,936		1,577
Medtronic PLC		81,455		8,030
Merck & Co Inc		154,900		12,504
Mettler-Toledo International Inc *		1,500		1,193
Mylan NV *		31,800		543
PerkinElmer Inc		6,900		693
Perrigo Co PLC		8,600		471
Pfizer Inc		336,696		12,858
Quest Diagnostics Inc		8,300		982
Regeneron Pharmaceuticals Inc *		6,100		3,738
ResMed Inc		8,700		1,399
STERIS PLC		5,200		863
Stryker Corp		19,500		3,817
Teleflex Inc		2,800		1,016
Thermo Fisher Scientific Inc		24,400		8,520
UnitedHealth Group Inc		57,700		17,590
Universal Health Services Inc, Cl B *		4,900		517
Varian Medical Systems Inc *		5,600		680
Vertex Pharmaceuticals Inc *		15,600		4,492
Waters Corp *		4,000		799
West Pharmaceutical Services Inc		4,600		994
Zimmer Biomet Holdings Inc		12,500		1,579
Zoetis Inc, Cl A		29,167		4,066
				234,703
Industrials — 7.1%
3M Co		34,900		5,460
Alaska Air Group Inc *		7,100		243
Allegion plc		5,733		572
American Airlines Group Inc *		23,700		249
AMETEK Inc		13,800		1,266
AO Smith Corp		8,200		390
Boeing Co/The *		32,500		4,740
Carrier Global Corp *		48,679		996
Caterpillar Inc		33,500		4,024
CH Robinson Worldwide Inc		8,400		682
Cintas Corp		5,100		1,265
Copart Inc *		12,700		1,135
CSX Corp		47,700		3,414
Cummins Inc		9,200		1,560
Deere & Co		19,300		2,936
Delta Air Lines Inc *		35,800		903
Dover Corp		9,000		875
Eaton Corp PLC		25,001		2,123
Emerson Electric Co		36,900		2,252
Equifax Inc		7,500		1,152
Expeditors International of Washington Inc		10,200		779
Fastenal Co		34,900		1,440
FedEx Corp		14,549		1,900

3 SEI Institutional Investments Trust / Annual Report / May 31, 2020

CONSOLIDATED SCHEDULE OF INVESTMENTS

Dynamic Asset Allocation Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Flowserve Corp		8,400	$	219
Fortive Corp		17,724		1,081
Fortune Brands Home & Security Inc		8,800		536
General Dynamics Corp		14,200		2,085
General Electric Co		535,392		3,518
Honeywell International Inc		43,400		6,330
Howmet Aerospace Inc *		25,166		329
Huntington Ingalls Industries Inc		2,500		500
IDEX Corp		4,700		749
IHS Markit Ltd		24,500		1,702
Illinois Tool Works Inc		17,856		3,079
Ingersoll Rand Inc *		21,230		599
Jacobs Engineering Group Inc		8,400		706
JB Hunt Transport Services Inc		5,200		622
Johnson Controls International plc		47,003		1,476
Kansas City Southern		6,000		903
L3Harris Technologies Inc		13,510		2,695
Lockheed Martin Corp		15,124		5,875
Masco Corp		17,500		816
Nielsen Holdings PLC		21,100		293
Norfolk Southern Corp		16,000		2,853
Northrop Grumman Corp		9,500		3,184
Old Dominion Freight Line Inc		5,700		975
Otis Worldwide Corp		24,689		1,300
PACCAR Inc		21,100		1,558
Parker-Hannifin Corp		7,700		1,386
Pentair PLC		10,546		413
Quanta Services Inc		9,000		332
Raytheon Technologies Corp		89,171		5,753
Republic Services Inc, Cl A		12,700		1,085
Robert Half International Inc		7,000		355
Rockwell Automation Inc		7,000		1,513
Rollins Inc		8,550		357
Roper Technologies Inc		6,400		2,520
Snap-on Inc		3,300		428
Southwest Airlines Co *		29,800		957
Stanley Black & Decker Inc		9,400		1,179
Textron Inc		13,900		430
Trane Technologies PLC		14,400		1,299
TransDigm Group Inc *		3,000		1,274
Union Pacific Corp		42,200		7,168
United Airlines Holdings Inc *		13,300		373
United Parcel Service Inc, Cl B		42,500		4,238
United Rentals Inc *		4,600		639
Verisk Analytics Inc, Cl A		10,000		1,727
Waste Management Inc		23,900		2,551
Westinghouse Air Brake Technologies Corp		11,172		682
WW Grainger Inc		2,700		836
Xylem Inc/NY		11,100		736
				122,570
Information Technology — 23.4%
Accenture PLC, Cl A		38,600		7,783

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Adobe Inc *		29,400	$	11,366
Advanced Micro Devices Inc *		71,700		3,857
Akamai Technologies Inc *		9,700		1,026
Alliance Data Systems Corp		2,300		107
Amphenol Corp, Cl A		18,100		1,748
Analog Devices Inc		22,536		2,545
ANSYS Inc *		5,200		1,472
Apple Inc		254,400		80,884
Applied Materials Inc		56,600		3,180
Arista Networks Inc *		3,400		794
Autodesk Inc *		13,500		2,840
Automatic Data Processing Inc		26,500		3,882
Broadcom Inc		24,093		7,018
Broadridge Financial Solutions Inc		7,100		860
Cadence Design Systems Inc *		16,900		1,543
CDW Corp/DE		8,900		987
Cisco Systems Inc		258,100		12,342
Citrix Systems Inc		6,900		1,022
Cognizant Technology Solutions Corp, Cl A		33,100		1,754
Corning Inc		47,800		1,089
DXC Technology Co *		15,238		217
F5 Networks Inc *		3,800		551
Fidelity National Information Services Inc		37,300		5,178
Fiserv Inc *		34,600		3,694
FleetCor Technologies Inc *		5,200		1,268
FLIR Systems Inc		8,000		370
Fortinet Inc *		8,800		1,225
Gartner Inc *		5,500		669
Global Payments Inc		18,372		3,298
Hewlett Packard Enterprise Co		80,400		781
HP Inc		90,400		1,369
Intel Corp		264,700		16,658
International Business Machines Corp		53,858		6,727
Intuit Inc		15,800		4,587
IPG Photonics Corp *		2,100		326
Jack Henry & Associates Inc		4,800		868
Juniper Networks Inc		20,400		495
Keysight Technologies Inc *		11,300		1,222
KLA Corp		9,723		1,711
Lam Research Corp		8,787		2,405
Leidos Holdings Inc		8,100		853
Mastercard Inc, Cl A		54,000		16,248
Maxim Integrated Products Inc		16,800		969
Microchip Technology Inc		14,400		1,383
Micron Technology Inc *		67,800		3,248
Microsoft Corp		464,600		85,138
Motorola Solutions Inc		10,467		1,416
NetApp Inc		14,400		641
NortonLifeLock Inc		35,800		815
NVIDIA Corp		37,200		13,207
Oracle Corp		131,700		7,081
Paychex Inc		19,500		1,409

4 SEI Institutional Investments Trust / Annual Report / May 31, 2020

CONSOLIDATED SCHEDULE OF INVESTMENTS

Dynamic Asset Allocation Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Paycom Software Inc *		2,900	$	862
PayPal Holdings Inc *		71,400		11,068
Qorvo Inc *		7,200		754
QUALCOMM Inc		69,400		5,613
salesforce.com *		53,900		9,421
Seagate Technology PLC		14,300		758
ServiceNow Inc *		11,400		4,422
Skyworks Solutions Inc		10,200		1,209
Synopsys Inc *		9,100		1,646
TE Connectivity Ltd		20,400		1,657
Texas Instruments Inc		56,800		6,744
VeriSign Inc *		6,300		1,380
Visa Inc, Cl A		104,200		20,344
Western Digital Corp *		18,403		817
Western Union Co/The		25,800		517
Xerox Holdings Corp		12,075		192
Xilinx Inc		15,300		1,407
Zebra Technologies Corp, Cl A *		3,300		862
				403,799
Materials — 2.3%
Air Products and Chemicals Inc		13,500		3,262
Albemarle Corp		6,400		490
Amcor PLC		100,388		1,025
Avery Dennison Corp		5,100		565
Ball Corp		19,900		1,418
Celanese Corp, Cl A		7,600		683
CF Industries Holdings Inc		13,200		388
Corteva Inc		45,005		1,229
Dow Inc		45,271		1,748
DuPont de Nemours Inc		44,805		2,273
Eastman Chemical Co		8,300		565
Ecolab Inc		15,400		3,274
FMC Corp		8,000		787
Freeport-McMoRan Inc, Cl B *		89,600		813
International Flavors & Fragrances Inc		6,600		879
International Paper Co		24,300		827
Linde PLC		32,641		6,605
LyondellBasell Industries NV, Cl A		15,700		1,001
Martin Marietta Materials Inc		3,900		749
Mosaic Co/The		22,900		277
Newmont Corp		50,200		2,935
Nucor Corp		18,700		790
Packaging Corp of America		5,800		588
PPG Industries Inc		14,400		1,464
Sealed Air Corp		10,100		324
Sherwin-Williams Co/The		4,975		2,954
Vulcan Materials Co		8,200		888
Westrock Co		15,741		442
				39,243
Real Estate — 2.6%
Alexandria Real Estate Equities Inc ‡		7,400		1,138

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
American Tower Corp, Cl A ‡		26,947	$	6,957
Apartment Investment and Management Co, Cl A ‡		8,907		328
AvalonBay Communities Inc ‡		8,500		1,326
Boston Properties Inc ‡		8,800		757
CBRE Group Inc, Cl A *		20,900		919
Crown Castle International Corp ‡		25,200		4,338
Digital Realty Trust Inc ‡		16,100		2,311
Duke Realty Corp ‡		22,800		786
Equinix Inc ‡		5,257		3,667
Equity Residential ‡		21,200		1,284
Essex Property Trust Inc ‡		4,100		995
Extra Space Storage Inc ‡		8,000		774
Federal Realty Investment Trust ‡		4,300		344
Four Corners Property Trust Inc ‡		1		—
Healthpeak Properties Inc ‡		30,200		744
Host Hotels & Resorts Inc ‡		44,085		526
Iron Mountain Inc ‡		17,571		453
Kimco Realty Corp *‡		26,600		296
Mid-America Apartment Communities Inc ‡		7,100		826
Prologis Inc ‡		45,198		4,136
Public Storage ‡		9,100		1,845
Realty Income Corp ‡		21,100		1,167
Regency Centers Corp ‡		10,200		437
SBA Communications Corp, Cl A ‡		6,800		2,136
Simon Property Group Inc ‡		18,400		1,062
SL Green Realty Corp ‡		5,400		228
UDR Inc ‡		18,300		677
Ventas Inc ‡		22,700		793
Vornado Realty Trust ‡		10,000		362
Welltower Inc ‡		24,400		1,236
Weyerhaeuser Co *‡		46,327		935
				43,783
Utilities — 2.9%
AES Corp/The		41,800		522
Alliant Energy Corp		14,900		735
Ameren Corp		15,300		1,143
American Electric Power Co Inc		30,200		2,574
American Water Works Co Inc		11,100		1,410
Atmos Energy Corp		7,400		761
CenterPoint Energy Inc		31,600		562
CMS Energy Corp		17,700		1,037
Consolidated Edison Inc		20,500		1,539
Dominion Energy Inc		49,932		4,245
DTE Energy Co		11,600		1,248
Duke Energy Corp		44,630		3,822
Edison International		22,200		1,290
Entergy Corp		12,100		1,232
Evergy Inc		13,999		864
Eversource Energy		19,900		1,666
Exelon Corp		58,800		2,253
FirstEnergy Corp		32,900		1,390

5 SEI Institutional Investments Trust / Annual Report / May 31, 2020

CONSOLIDATED SCHEDULE OF INVESTMENTS

Dynamic Asset Allocation Fund (Continued)

May 31, 2020

Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
NextEra Energy Inc		29,700	$	7,590
NiSource Inc		23,000		548
NRG Energy Inc		15,300		551
Pinnacle West Capital Corp		6,900		537
PPL Corp		46,200		1,291
Public Service Enterprise Group Inc		30,800		1,572
Sempra Energy		17,100		2,160
Southern Co/The		63,600		3,630
WEC Energy Group Inc		19,462		1,785
Xcel Energy Inc		31,700		2,061
				50,018
Total Common Stock (Cost $729,894) ($ Thousands)				1,540,216
Total Investments in Securities — 89.4% (Cost $729,894) ($ Thousands)			$	1,540,216

Description	Shares		Market Value ($ Thousands)
PURCHASED OPTIONS *(A) — 0.1%
Total Purchased Options (Cost $3,912) ($ Thousands)		499,177,270	$	2,039
PURCHASED SWAPTION *(B) — 0.6%
Total Purchased Swaption (Cost $6,951) ($ Thousands)		2,550,870,000	$	11,124

A list of the exchange traded options contracts held by the Fund at May 31, 2020, is as follows:

Description	Number of Contracts		Notional Amount (Thousands)		Exercise Price		Expiration Date		Value (Thousands)
PURCHASED OPTIONS — 0.1%
Call Options
August 20 Put EUR Call USD *		287,579,342	$	1,567,307	$	1.09		8/07/2020	$	1,277
August 20 Put EUR Call USD *		211,597,928		1,142,629		1.08		8/27/2020		762
Total Purchased Options			$	2,709,936					$	2,039

A list of the open OTC swaption contracts held by the Fund at May 31, 2020, is as follows:

Description	Counterparty		Number of Contracts/ Notional Amount		Exercise Price		Expiration Date		Value (Thousands)
PURCHASED SWAPTION — 0.6%
Call Swaptions
CMS One Look *		Bank of America Merill Lynch		2,550,870,000	$	0.14		07/31/2021	$	11,124

A list of the open futures contracts held by the Fund at May 31, 2020, is as follows:

Type of Contract	Number of Contracts Long		Expiration Date		Notional Amount (Thousands)		Value (Thousands)		Unrealized Appreciation (Thousands)
S&P 500 Index E-MINI ^		972		Jun-2020	$	139,335	$	147,841	$	8,506

6 SEI Institutional Investments Trust / Annual Report / May 31, 2020

CONSOLIDATED SCHEDULE OF INVESTMENTS

Dynamic Asset Allocation Fund (Concluded)

May 31, 2020

A list of the open forward foreign currency contracts held by the Fund at May 31, 2020, is as follows:

Counterparty	Settlement Date			Currency to Deliver (Thousands)			Currency to Receive (Thousands)		Unrealized Appreciation (Depreciation) (Thousands)
Bank of America		01/11/21	USD		12,288	SAR		46,228	$	—
Bank of America		01/11/21	USD		11,346	SAR		42,569		(30	)
Bank of America		01/11/21	SAR		374,413	USD		99,774		250
Bank of America		01/11/21	SAR		38,684	USD		10,270		(13	)
									$	207

A list of OTC swap agreements held by the fund at May 31, 2020, is as follows:

Total Return Swaps
Counterparty	Reference Entity/ Obligation	Fund Pays	Fund Receives	Payment Frequency	Termination Date		Currency		Notional Amount (Thousands)			Value (Thousands)		Upfront Payments/ Receipts (Thousands)		Net Unrealized Appreciation (Thousands)
BNP Paribas ^	Bloomberg Gold SubIndex Total Return	US T-BILL HIGH DISCOUNT RATE + 7 BPS	INDEX RETURN	Quarterly		03/17/2021		USD		(98,060	)	$	13,599	$	—	$	13,599
BNP Paribas ^	Bloomberg Gold SubIndex Total Return	US T-BILL HIGH DISCOUNT RATE + 7 BPS	INDEX RETURN	Quarterly		04/05/2021		USD		(73,855	)		4,247		—		4,247
												$	17,846	$	—	$	17,846

Percentages are based on Net Assets of $1,722,704 ($ Thousands).

* Non-income producing security.

‡ Real Estate Investment Trust.

(A) Refer to table below for details on Options Contracts.

(B) Refer to table below for details on Swaption Contracts.

^ Security, or a portion thereof, is held by the DAA Commodity Strategy Subsidiary, Ltd. As of May 31, 2020.

Cl — Class

Ltd. — Limited

MSCI — Morgan Stanley Capital International

NASDAQ – National Association of Securities Dealers and Automated Quotations

PLC — Public Limited Company

S&P— Standard & Poor’s

SAR— Saudi Riyal

USD — U.S. Dollar

The following is a list of the level of inputs used as of May 31, 2020, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Common Stock		1,540,216		—		—		1,540,216
Total Investments in Securities		1,540,216		—		—		1,540,216

Other Financial Instruments	Level 1 ($)		Level 2 ($)			Level 3 ($)		Total ($)
Purchased Options		2,039		—			—		2,039
Purchased Swaptions		—		11,124			—		11,124
Futures Contracts *
Unrealized Appreciation		8,506		—			—		8,506
Forwards Contracts *
Unrealized Appreciation		—		250			—		250
Unrealized Depreciation		—		(43	)		—		(43	)
OTC Swaps
Total Return Swaps *
Unrealized Appreciation		—		17,846			—		17,846
Total Other Financial Instruments		10,545		29,177			—		39,722

* Futures contracts, forwards contracts, and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument.

For the year ended May 31, 2020, there were no transfers in or out of Level 3.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

7 SEI Institutional Investments Trust / Annual Report / May 31, 2020

KPMG LLP

1601 Market Street

Philadelphia, PA 19103-2499

Report of Independent Registered Public Accounting Firm

To the Shareholders of the Funds and Board of Trustees

SEI Institutional Investments Trust:

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities of the Large Cap Fund, Large Cap Disciplined Equity Fund, Large Cap Index Fund, S&P 500 Index Fund, Extended Market Index Fund, Small Cap Fund, Small Cap II Fund, Small/Mid Cap Equity Fund, U.S. Equity Factor Allocation Fund, U.S. Managed Volatility Fund, Global Managed Volatility Fund, World Equity Ex-US Fund, Screened World Equity Ex-US Fund, World Select Equity Fund and Emerging Markets Equity Fund, including the summary schedules of investments, and the statements of assets and liabilities of the Opportunistic Income Fund, Core Fixed Income Fund, High Yield Bond Fund, Long Duration Fund, Long Duration Credit Fund, Ultra Short Duration Bond Fund, Emerging Markets Debt Fund, Real Return Fund, Limited Duration Bond Fund and Intermediate Duration Credit Fund (twenty-five of the twenty-seven funds comprising the SEI Institutional Investments Trust (the Trust)), including the schedules of investments, as of May 31, 2020, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years or periods presented therein. We have also audited the accompanying consolidated statement of assets and liabilities, including the consolidated summary schedule of investments, of the Dynamic Asset Allocation Fund, and the consolidated statement of assets and liabilities, including the consolidated schedule of investments, of the Multi-Asset Real Return Fund (two of the twenty-seven funds comprising the Trust) (the twenty-seven funds collectively, the “Funds”), as of May 31, 2020, and the related consolidated statements of operations for the year then ended, the consolidated statements of changes in net assets for each of the years in the two-year period then ended, the consolidated statement of cash flows for the year then ended for the Multi-Asset Real Return Fund, and the related notes (collectively, the consolidated financial statements) and the consolidated financial highlights for each of the years in the five-year period then ended. The financial statements and consolidated financial statements and financial highlights and consolidated financial highlights, are included in Item 1 of this Form N-CSR and the schedules of investments of the Large Cap Fund, Large Cap Disciplined Equity Fund, Large Cap Index Fund, S&P 500 Index Fund, Extended Market Index Fund, Small Cap Fund, Small Cap II Fund, Small/Mid Cap Equity Fund, U.S. Equity Factor Allocation Fund, U.S. Managed Volatility Fund, Global Managed Volatility Fund, World Equity Ex-US Fund, Screened World Equity Ex-US Fund, World Select Equity Fund and Emerging Markets Equity Fund and the consolidated schedule of investments of the Dynamic Asset Allocation Fund, as of May 31, 2020 are included in Item 6 of this Form N-CSR. In our opinion, the financial statements and consolidated financial statements and financial highlights and consolidated financial highlights present fairly, in all material respects, the financial position of the Funds as of May 31, 2020, the results of their operations for the year then ended, the changes in their net assets for each of the years in the two-year period then ended, the consolidated cash flows for the Multi-Asset Real Return Fund for the year then ended, and the financial highlights and consolidated financial highlights for each of the years or periods presented therein, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements and consolidated financial statements and financial highlights and consolidated financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and consolidated financial statements and financial highlights and consolidated financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of May 31, 2020, by correspondence with custodians, transfer agents, and brokers or by other appropriate auditing procedures when replies from brokers were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and consolidated financial statements and financial highlights and consolidated financial highlights. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more SEI Funds investment companies since 2005.

Philadelphia, Pennsylvania

July 30, 2020

(b) In accordance with Section 13(c) of the Investment Company Act of 1940 the Screened World Equity Ex-US Fund did not hold any divested securities during the fiscal year ended May 31, 2020.

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.

There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees (the “Board”). The Registrant has a standing Governance Committee (the “Committee”) currently consisting of the Independent Trustees. The Committee is responsible for evaluating and recommending nominees for election to the Board. Pursuant to the Committee’s Charter, adopted on June 18, 2004, as amended, the Committee will review all shareholder recommendations for nominations to fill vacancies on the Board if such recommendations are submitted in writing and addressed to the Committee at the Registrant’s office.

Item 11. Controls and Procedures.

(a) The Registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”) are effective based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 as of a date within 90 days of the filing date of this report.

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable.

Item 13. 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, are filed herewith.

(b) Officer certifications as required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, 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.

	SEI Institutional Investments Trust
By	/s/ Robert A. Nesher
	Robert A. Nesher
	President & CEO

Date: August 7, 2020

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	/s/ Robert A. Nesher
	Robert A. Nesher
	President & CEO
Date: August 7, 2020
By	/s/ Peter Rodriguez
	Peter Rodriguez
	Controller & CFO
Date: August 7, 2020

EX-99.CODE

Financial Officer Code of Ethics

1. Introduction

The reputation and integrity of the Trusts identified in Appendix I of this Manual (each a “Trust” and, collectively, the “Trusts”) are valuable assets that are vital to the each Trust’s success. The Trusts’ senior financial officers (“SFOs”) are responsible for conducting the Trusts’ business in a manner that demonstrates a commitment to the highest standards of integrity. The Trusts’ SFOs include the principal executive officer, the principal financial officer, comptroller or principal accounting officer, and any person who performs a similar function.

The Sarbanes-Oxley Act of 2002 (the “Act”) effected sweeping corporate disclosure and financial reporting reform on public companies, including mutual funds, to address corporate malfeasance and assure investors that the companies in which the investors invest are accurately and completely disclosing financial information. Under the Act, all public companies (including the Trusts) must either have a code of ethics for their SFOs, or disclose why the company does not have a code of ethics. The Act was intended to foster corporate environments which encourage employees to question and report unethical and potentially illegal business practices. Each Trust has chosen to adopt this Financial Officer Code of Ethics (the “Code”) to encourage the Trust’s SFOs to act in a manner consistent with the highest principles of ethical conduct.

2. Purposes of the Code

The purposes of this Code are:

a) To promote honest and ethical conduct by each Trust’s SFOs, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;

b) To assist each Trust’s SFOs in recognizing and avoiding conflicts of interest, including disclosing to an appropriate person any material transaction or relationship that reasonably could be expected to give rise to such a conflict;

c) To promote full, fair, accurate, timely, and understandable disclosure in reports and documents that the Trusts file with, or submit to, the SEC and in other public communications made by the Trusts;

d) To promote compliance with applicable laws, rules, and regulations;

e) To encourage the prompt internal reporting to an appropriate person of violations of this Code; and

f) To establish accountability for adherence to this Code.

3. Questions about this Code

Each Trust’s compliance officer designated to oversee compliance with the Trust’s Code of Ethics adopted pursuant to Rule 17j-1 shall serve as Compliance Officer for the implementation and administration of this Code. You should direct your questions about this Code to the Compliance Officer.

4. Conduct Guidelines

Each Trust has adopted the following guidelines under which the Trust’s SFOs must perform their official duties and conduct the business affairs of the Trust.

a) Ethical and honest conduct is of paramount importance. Each Trust’s SFOs must act with honesty and integrity and avoid violations of this Code, including the avoidance of actual or apparent conflicts of interest with the Trust in personal and professional relationships.

b) SFOs must disclose material transactions or relationships. Each Trust’s SFOs must disclose to the Compliance Officer any actual or apparent conflicts of interest the SFO may have with the Trust that reasonably could be expected to give rise to any violations of this Code. Such conflicts of interest may arise as a result of material transactions or business or personal relationships to which the SFO may be a party. If it is not possible to disclose the matter to the Compliance Officer, the matter should be disclosed to the Trust’s Chief Financial Officer, Chief Executive Officer or another appropriate person. In addition to disclosing any actual or apparent conflicts of interest in which an SFO is personally involved, the Trusts’ SFOs have an obligation to report any other actual or apparent conflicts which the SFOs discover or of which the SFOs otherwise become aware. If you are unsure whether a particular fact pattern gives rise to a conflict of interest, or whether a particular transaction or relationship is “material,” you should bring the matter to the attention of the Compliance Officer.

c) Standards for quality of information shared with service providers of the Trusts. Each Trust’s SFOs must at all times seek to provide information to the Trust’s service providers (adviser, administrator, outside auditor, outside counsel, custodian, etc.) that is accurate, complete, objective, relevant, timely, and understandable.

d) Standards for quality of information included in periodic reports. Each Trust’s SFOs must at all times endeavor to ensure full, fair, timely, accurate, and understandable disclosure in the Trust’s periodic reports.

e) Compliance with laws. Each Trust’s SFOs must comply with the federal securities laws and other laws and rules applicable to the Trusts, such as the Internal Revenue Code.

f) Standard of care. Each Trust’s SFOs must at all times act in good faith and with due care, competence, and diligence, without misrepresenting material facts or allowing your independent judgment to be subordinated. Each Trust’s SFOs must conduct the affairs of the Trust in a responsible manner, consistent with this Code.

g) Confidentiality of information. Each Trust’s SFOs must respect and protect the confidentiality of information acquired in the course of their professional duties, except when authorized by the Trust to disclose this information or where disclosure is otherwise legally mandated. You may not use confidential information acquired in the course of your work for personal advantage.

h) Sharing of information and educational standards. Each Trust’s SFOs should share information with relevant parties to keep these parties informed of the business affairs of the Trust, as appropriate, and to maintain skills important and relevant to the Trust’s needs.

i) Promote ethical conduct. Each Trust’s SFOs at all times should proactively promote ethical behavior among peers in the SFOs work environment.

j) Standards for recordkeeping. Each Trust’s SFOs at all times must endeavor to ensure that the Trust’s financial books and records are thoroughly and accurately maintained to the best of the SFOs knowledge in a manner consistent with applicable laws and this Code.

5. Waivers of this Code

You may request a waiver of a provision of this Code by submitting your request in writing to the Compliance Officer for appropriate review. For example, if a family member works for a service provider that prepares a Trust’s financial statements, you may have a potential conflict of interest in reviewing those statements and should seek a waiver of this Code to review the work. An executive officer of each Trust, or another appropriate person (such as a designated Board or Audit Committee member), will decide whether to grant a waiver. All waivers of this code must be disclosed to the applicable Trust’s shareholders and the Board of Trustees to the extent required by SEC rules.

6. Affirmation of the Code

Upon adoption of the Code, each Trust’s SFOs must affirm in writing that the SFO has received, has read, and understands the Code, and annually thereafter must affirm that they have complied with the requirements of the Code. To the extent necessary, each Trust’s Compliance Officer will provide guidance on the conduct required by this Code and the manner in which violations or suspected violations must be reported and waivers must be requested.

7. Reporting Violations

In the event that an SFO discovers or, in good faith, suspects a violation of this Code, the SFO must immediately report the violation or suspected violation to the Compliance Officer. The Compliance Officer, in his discretion, may consult with another member of the Trust’s senior management or the Board in determining how to address the suspected violation. For example, a Code violation may occur when a periodic report or financial statement of a Trust omits a material fact, or is technically accurate but, in the view of the SFO, is written in a way that obscures the report’s or financial statement’s meaning.

SFOs who report violations or suspected violations in good faith will not be subject to retaliation of any kind. Reported violations will be investigated and addressed promptly and will be treated as confidential to the extent possible.

8. Violations of the Code

Dishonest or unethical conduct or conduct that is illegal will constitute a violation of this Code, regardless of whether this Code specifically refers to such particular conduct. A violation of this Code may result in disciplinary action, up to and including removal as an SFO of the Trust. A variety of laws apply to the Trusts and their operations, including the Securities Act of 1933, the Investment Company Act of 1940, state laws relating to duties owed by Trust officers, and criminal laws. The Trusts will report any suspected criminal violations to the appropriate authorities, and will investigate, address, and report, as appropriate, non-criminal violations.

APPENDIX I: TRUSTS

1. SEI Funds

● SEI Tax Exempt Trust

● SEI Daily Income Trust

● SEI Institutional Managed Trust

o Accumulation Commodity Strategy Subsidiary Ltd.

o Dynamic Commodity Strategy Subsidiary Ltd.

o Inflation Commodity Strategy Subsidiary Ltd.

● SEI Institutional International Trust

● SEI Asset Allocation Trust

● SEI Institutional Investments Trust

o DAA Commodity Strategy Subsidiary Ltd.

o MARR Commodity Strategy Subsidiary Ltd.

● SEI Insurance Products Trust

● SEI Catholic Values Trust

2. Adviser Managed Trust

3. New Covenant Funds

EX-99.CERT

CERTIFICATION

Pursuant to Section 302

of the Sarbanes-Oxley Act of 2002

I, Robert A. Nesher, certify that:

1. I have reviewed this report on Form N-CSR of SEI Institutional Investments Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report;

4. The Registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the Registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

(d) Disclosed in this report any change in the Registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting; and

5. The Registrant’s other certifying officer(s) and I have disclosed to the Registrant’s auditors and the audit committee of the Registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrant’s ability to record, process, summarize, and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrant’s internal control over financial reporting.

Date: August 7, 2020

/s/ Robert A. Nesher

Robert A. Nesher

President & CEO

CERTIFICATION

Pursuant to Section 302

of the Sarbanes-Oxley Act of 2002

I, Peter Rodriguez certify that:

1. I have reviewed this report on Form N-CSR of SEI Institutional Investments Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report;

4. The Registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the Registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

(d) Disclosed in this report any change in the Registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting; and

5. The Registrant’s other certifying officer(s) and I have disclosed to the Registrant’s auditors and the audit committee of the Registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrant’s ability to record, process, summarize, and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrant’s internal control over financial reporting.

Date: August 7, 2020

/s/ Peter Rodriguez

Peter Rodriguez

Controller & CFO

EX-99.906CERT

CERTIFICATION

Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906

of the Sarbanes-Oxley Act of 2002

The undersigned, the President and Chief Executive Officer of SEI Institutional Investments Trust (the “Trust”), with respect to the Trust’s Report on Form N-CSR for the period ended May 31, 2020 as filed with the Securities and Exchange Commission, hereby certifies, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that, to the best of my knowledge:

1. such Report fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2. the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Trust.

Dated: August 7, 2020

/s/ Robert A. Nesher

Robert A. Nesher

President & CEO

CERTIFICATION

Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906

of the Sarbanes-Oxley Act of 2002

The undersigned, the Controller and Chief Financial Officer of SEI Institutional Investments Trust (the “Trust”), with respect to the Trust’s Report on Form N-CSR for the period ended May 31, 2020 as filed with the Securities and Exchange Commission, hereby certifies, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that, to the best of my knowledge:

1. such Report fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2. the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Trust.

Dated: August 7, 2020

/s/ Peter Rodriguez

Peter Rodriguez

Controller & CFO