N-CSRS 1 siitcombsar11_04.txt SEI INSTITUTIONAL INVESTMENT TRUST SAR 11_04 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) -------- 2 Oliver St. Boston, MA 02109 (Address of principal executive offices) (Zip code) SEI Investments 1 Freedom Valley Drive Oaks, PA 19456 (Name and address of agent for service) REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: 1-800-342-5734 DATE OF FISCAL YEAR END: MAY 31, 2005 DATE OF REPORTING PERIOD: NOVEMBER 30, 2004 ITEM 1. REPORTS TO STOCKHOLDERS. [BACKGROUND GRAPHIC OMITTED] SEI INVESTMENTS Semi-Annual Report as of November 30, 2004 (Unaudited) SEI INSTITUTIONAL INVESTMENTS TRUST Large Cap Fund Large Cap Disciplined Equity Fund Large Cap Index Fund Small Cap Fund Small/Mid Cap Equity Fund Core Fixed Income Fund Long Duration Bond Fund Extended Duration Bond Fund International Equity Fund TABLE OF CONTENTS ------------------------------------------------------------ Statements of Net Assets/Schedules of Investments 1 ------------------------------------------------------------ Statements of Assets and Liabilities 81 ------------------------------------------------------------ Statements of Operations 82 ------------------------------------------------------------ Statements of Changes in Net Assets 84 ------------------------------------------------------------ Financial Highlights 87 ------------------------------------------------------------ Notes to Financial Statements 89 ------------------------------------------------------------ Disclosure of Fund Expenses 99 ------------------------------------------------------------ Shareholder Voting Results 101 ------------------------------------------------------------ The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q within sixty days after the end of the period. The Trust's Forms N-Q are available on the Commission's website at http://www.sec.gov, and may be reviewed and copied at the Commission's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities, as well as information relating to how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, is available (i) without charge, upon request, by calling 1-800-DIAL-SEI; and (ii) on the Commission's website at http://www.sec.gov. -------------------------------------------------------------------------------- STATEMENT OF NET ASSETS (Unaudited) LARGE CAP FUND November 30, 2004 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)**: [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] 25.3% Financials 14.9% Consumer Discretionary 13.6% Information Technology 9.9% Industrials 9.4% Health Care 7.2% Consumer Staples 6.8% Energy 3.9% Short-Term Investments 2.9% Telecommunication Services 2.3% Materials 2.2% Utilities 1.4% Asset-Backed Securities 0.2% U.S. Treasury Obligations ** Percentages based on total investments. -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- COMMON STOCK -- 96.7% CONSUMER DISCRETIONARY -- 16.1% Aeropostale* 16,000 $ 456 Autoliv 73,933 3,456 Autonation* 47,500 880 Barnes & Noble* 23,900 647 Bed Bath & Beyond* 104,900 4,188 Black & Decker 15,600 1,312 BorgWarner 22,600 1,131 Brunswick 11,300 552 Carmax (B)* 43,398 1,209 Centex 18,574 975 Clear Channel Communications 215,080 7,244 Comcast, Cl A* 64,680 1,943 Comcast, Special Cl A (B)* 54,996 1,631 Dana 85,100 1,391 Darden Restaurants 7,900 215 Delphi 202,300 1,821 Dollar Tree Stores* 28,868 803 DR Horton (B) 90,222 3,177 Eastman Kodak 47,100 1,541 eBay (B)* 235,482 26,480 EchoStar Communications, Cl A* 254,801 8,355 Family Dollar Stores 71,604 2,098 Federated Department Stores 52,783 2,892 Ford Motor (B) 212,200 3,009 Fortune Brands 10,000 785 GameStop, Cl B* 10,154 215 Gannett 44,100 3,638 General Motors (B) 72,161 2,785 Harrah's Entertainment (B) 51,834 3,183 Hasbro 41,300 786 Home Depot 223,098 9,314 International Game Technology (B) 180,000 6,363 Interpublic Group (B)* 37,300 463 JC Penney 58,200 2,246 Johnson Controls 17,600 1,081 Jones Apparel Group 35,000 1,243 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- KB Home 9,800 $ 861 Kmart Holding (B)* 11,800 1,213 Knight-Ridder 12,300 837 Kohl's* 199,096 9,190 Lamar Advertising, Cl A* 37,021 1,460 Lennar, Cl A (B) 51,274 2,304 Liberty Media International, Cl A* 162,628 7,003 Liberty Media, Cl A* 118,147 1,220 Limited 193,038 4,718 Lowe's 185,715 10,276 Magna International, Cl A 4,600 364 Marriott International, Cl A 238,248 13,544 May Department Stores 22,395 630 Maytag (B) 25,200 506 McDonald's 567,400 17,442 McGraw-Hill 83,470 7,323 McLeodUSA, Cl A (B) (F)* 92,300 -- MGM Mirage* 90,000 5,247 Nordstrom 7,800 341 NVR (B)* 3,300 2,280 OfficeMax 8,540 258 Omnicom Group 46,353 3,755 Petsmart (B) 57,700 1,977 Polaris Industries (B) 17,300 1,140 Pulte Homes (B) 9,500 525 RadioShack 5,500 174 Saks 44,800 623 Sears Roebuck 14,200 739 Sherwin-Williams 62,832 2,802 Stanley Works 74,019 3,461 Staples 300,000 9,573 Starwood Hotels & Resorts Worldwide 27,801 1,454 Station Casinos 13,000 741 Target 136,000 6,966 Timberland, Cl A* 16,100 1,020 Time Warner (B)* 866,137 15,339 Univision Communications, Cl A (B)* 138,225 4,161 Valassis Communications* 44,086 1,497 VF 38,000 2,052 Viacom, Cl B 225,500 7,825 Walt Disney 356,426 9,581 Wendy's International 32,800 1,170 Whirlpool 13,200 852 XM Satellite Radio Holdings, Cl A (B)* 302,900 11,180 Zale* 38,400 1,123 ----------- 286,255 ----------- CONSUMER STAPLES -- 7.8% Adolph Coors, Cl B 11,900 891 Albertson's (B) 75,000 1,898 Altria Group (B) 274,771 15,797 Archer-Daniels-Midland 203,600 4,316 Avon Products 84,062 3,156 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 1 -------------------------------------------------------------------------------- STATEMENT OF NET ASSETS (Unaudited) LARGE CAP FUND (Continued) November 30, 2004 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- BJ's Wholesale Club (B)* 27,900 $ 828 Clorox 16,400 904 Coca-Cola 83,405 3,279 Coca-Cola Enterprises 52,576 1,094 Colgate-Palmolive 72,087 3,315 ConAgra Foods 35,300 955 Costco Wholesale (B) 62,500 3,038 CVS 59,600 2,704 Dean Foods (B)* 23,600 747 Energizer Holdings (B)* 81,786 3,819 General Mills 31,486 1,432 Gillette 365,903 15,913 Kellogg 37,000 1,617 Kimberly-Clark 68,600 4,364 Kroger* 120,100 1,943 Pepsi Bottling Group 67,700 1,897 PepsiAmericas 39,500 834 PepsiCo 234,598 11,709 Procter & Gamble 219,310 11,729 Reynolds American (B) 31,500 2,382 Rite Aid* 111,400 409 Safeway* 48,572 936 Sara Lee 58,500 1,374 Supervalu 87,100 2,751 Tyson Foods, Cl A 60,000 983 UST 28,800 1,268 Wal-Mart Stores 380,886 19,829 Walgreen 190,000 7,254 Wm. Wrigley Jr 48,249 3,320 ----------- 138,685 ----------- ENERGY -- 7.3% Amerada Hess (B) 34,400 3,056 Anadarko Petroleum 20,300 1,413 Burlington Resources 67,500 3,133 ChevronTexaco 416,236 22,727 ConocoPhillips 265,213 24,132 Devon Energy 34,800 1,441 El Paso* 92,431 965 Exxon Mobil 985,137 50,488 Marathon Oil 54,253 2,140 Nabors Industries (B)* 4,700 244 Newfield Exploration* 14,700 924 Noble Energy 8,287 529 Occidental Petroleum 51,641 3,109 Petrokazakhstan, Cl A 29,000 1,218 Schlumberger 102,015 6,695 Sunoco 12,200 1,007 Unocal 47,223 2,174 Western Gas Resources 16,600 515 Williams 102,000 1,700 XTO Energy 62,275 2,264 ----------- 129,874 ----------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- FINANCIALS -- 21.7% A.G. Edwards 34,800 $ 1,361 ACE 3,600 145 Aflac 8,700 327 Allstate 94,049 4,749 AMBAC Financial Group 14,793 1,203 American Express (B) 84,200 4,691 American International Group 306,367 19,408 AmSouth Bancorp 63,770 1,654 Archstone-Smith Trust+ 13,700 500 Astoria Financial 31,674 1,314 Bank of America 775,918 35,902 Bank of Hawaii 30,900 1,500 Bank of New York 17,975 592 BB&T (B) 27,433 1,165 Bear Stearns 21,300 2,078 Capital One Financial (B) 35,400 2,782 CBL & Associates Properties+ 7,900 579 Charles Schwab 977,241 10,535 Chicago Mercantile Exchange (B) 25,000 4,893 Chubb (B) 55,616 4,238 CIT Group 26,400 1,129 Citigroup 893,733 39,995 Comerica 54,991 3,382 Commerce Bancorp (B) 15,200 950 Countrywide Financial 76,200 2,531 Doral Financial 7,200 334 Eaton Vance 23,600 1,132 Equity Office Properties Trust+ 142,652 3,916 Equity Residential+ 46,300 1,561 Fannie Mae 91,974 6,319 Fidelity National Financial 43,134 1,850 First American 64,615 2,129 First Horizon National 44,069 1,926 Franklin Resources (B) 85,100 5,585 Freddie Mac 121,194 8,273 Fremont General 24,300 578 Friedman Billings Ramsey Group, Cl A (B)+ 80,000 1,530 General Growth Properties+ 64,900 2,227 Genworth Financial, Cl A (B) 19,900 523 Golden West Financial 10,610 1,265 Goldman Sachs Group 192,658 20,183 Hartford Financial Services Group 48,975 3,134 Hibernia, Cl A 53,540 1,548 Huntington Bancshares 86,473 2,098 Independence Community Bank 41,953 1,782 IndyMac Bancorp 22,200 721 IPC Holdings 10,100 430 Jefferson-Pilot 62,883 3,093 JPMorgan Chase 463,409 17,447 Keycorp 129,118 4,298 Legg Mason 10,350 705 -------------------------------------------------------------------------------- 2 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Lehman Brothers Holdings 82,761 $ 6,934 Lincoln National 102,800 4,731 Loews 17,800 1,244 Marshall & Ilsley 21,600 900 MBIA (B) 59,361 3,559 MBNA 279,633 7,427 Merrill Lynch 94,162 5,246 Metlife 147,000 5,733 Moody's 139,764 11,286 Morgan Stanley 104,127 5,284 National City (B) 217,696 8,072 Nationwide Financial Services, Cl A 14,700 552 Northern Trust 150,000 7,056 Old Republic International 27,000 675 Plum Creek Timber+ 50,100 1,854 PMI Group 36,600 1,507 PNC Financial Services Group 88,786 4,830 Popular 73,204 1,940 Principal Financial Group 57,900 2,182 Progressive 12,300 1,119 Prudential Financial 25,200 1,234 Radian Group (B) 19,300 989 Raymond James Financial 15,000 444 Regions Financial (B) 56,566 1,979 Safeco (B) 21,300 1,032 St. Joe 17,900 982 St. Paul Travelers 81,316 2,966 Stancorp Financial Group 14,800 1,170 State Street 60,423 2,692 SunTrust Banks 71,566 5,103 T Rowe Price Group 29,000 1,716 Torchmark 33,600 1,845 US Bancorp 237,520 7,038 Wachovia 288,160 14,912 Washington Mutual 100,024 4,072 Webster Financial (B) 32,991 1,651 Wells Fargo 136,309 8,420 Willis Group Holdings 31,724 1,201 XL Capital, Cl A 10,158 765 Zions Bancorporation 16,100 1,071 ----------- 385,603 ----------- HEALTH CARE -- 10.2% Advanced Medical Optics* 48,000 1,996 Aetna 12,000 1,422 Alcon 7,108 530 Allergan 115,000 8,453 AmerisourceBergen 22,700 1,338 Amgen* 200,175 12,019 Applera - Applied Biosystems Group 85,849 1,760 Bausch & Lomb 12,300 724 Beckman Coulter (B) 50,000 3,273 Becton Dickinson 33,500 1,835 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Boston Scientific* 142,400 $ 4,957 Bristol-Myers Squibb 173,645 4,081 Cardinal Health 12,800 669 Caremark Rx* 180,911 6,469 Celgene (B)* 53,000 1,453 Cigna 28,200 1,975 Eli Lilly 132,822 7,083 Fisher Scientific International* 32,500 1,838 Genentech* 371,240 17,912 Genzyme* 44,800 2,509 Gilead Sciences* 50,000 1,723 Guidant 40,611 2,633 HCA (B) 17,262 680 Humana* 86,400 2,144 Johnson & Johnson 172,462 10,403 Laboratory of America Holdings* 42,000 2,014 McKesson 36,800 1,087 Medtronic 429,842 20,654 Merck 191,423 5,364 PerkinElmer 122,383 2,610 Pfizer 605,799 16,823 UnitedHealth Group 8,000 663 VCA Antech* 80,000 1,485 WellPoint (B)* 9,500 963 WellPoint Health Networks* 108,954 13,630 Wyeth 188,009 7,496 Zimmer Holdings* 110,000 8,976 ----------- 181,644 ----------- INDUSTRIALS -- 10.7% 3M 55,588 4,424 Apollo Group, Cl A (B)* 37,600 2,997 Boeing (B) 78,400 4,200 Brink's 3,300 127 Burlington Northern Santa Fe 185,166 8,340 Caterpillar 65,454 5,992 Cendant (B) 455,751 10,332 Cintas 123,350 5,516 Cooper Industries, Cl A 29,200 1,936 CSX 29,649 1,131 Cummins 11,100 884 Deere 57,900 4,153 Deluxe 34,800 1,376 Eaton 53,324 3,594 Emerson Electric 19,379 1,295 Expeditors International Washington 150,000 7,989 Fastenal 61,823 3,781 General Dynamics 32,300 3,500 General Electric 1,370,300 48,454 Goodrich 32,145 1,021 Graco 7,000 256 HNI 22,100 937 Honeywell International 96,528 3,410 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 3 -------------------------------------------------------------------------------- STATEMENT OF NET ASSETS (Unaudited) LARGE CAP FUND (Continued) November 30, 2004 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Hubbell, Cl B 14,450 $ 702 Illinois Tool Works 37,700 3,552 L-3 Communications Holdings 12,800 953 Lockheed Martin 43,100 2,622 Masco 114,112 4,025 Norfolk Southern 42,782 1,469 Northrop Grumman 86,600 4,878 Paccar 14,400 1,125 Parker Hannifin 5,721 428 Raytheon 34,200 1,380 Rockwell Automation 42,400 2,006 Rockwell Collins 47,000 1,873 RR Donnelley & Sons 46,816 1,624 Ryder System 6,200 333 SPX (B) 32,200 1,324 Teekay Shipping 26,200 1,395 Textron 30,862 2,241 Tyco International 110,300 3,747 United Parcel Service, Cl B 222,741 18,744 United Technologies 33,000 3,220 Viad 500 12 Weight Watchers International (B)* 160,000 6,344 ----------- 189,642 ----------- INFORMATION TECHNOLOGY -- 14.8% Activision* 74,300 1,168 Adobe Systems 22,000 1,332 Advanced Micro Devices (B)* 65,000 1,383 Arrow Electronics (B)* 35,065 860 ATI Technologies* 98,000 1,901 Autodesk (B) 39,700 2,597 Automatic Data Processing 38,140 1,737 Avnet* 63,500 1,168 Cisco Systems* 755,899 14,143 Cognizant Technology Solutions, Cl A* 31,000 1,182 Comverse Technology (B)* 86,000 1,829 Convergys* 54,400 809 Cypress Semiconductor* 10,900 107 Dell* 354,370 14,359 Earthlink* 16,100 175 Electronic Arts (B)* 43,472 2,126 Electronic Data Systems 23,800 534 EMC* 333,376 4,474 First Data 638,144 26,221 Fiserv* 145,339 5,597 Flextronics International (B)* 46,315 665 Google, Cl A (B)* 10,500 1,922 Harris 17,000 1,125 Hewlett-Packard 454,045 9,081 Ingram Micro, Cl A* 127,085 2,445 Intel 618,151 13,816 International Business Machines 106,903 10,075 Intuit* 135,000 5,648 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Juniper Networks (B)* 64,500 $ 1,776 Lexmark International, Cl A* 72,000 6,113 Linear Technology (B) 204,033 7,786 Lucent Technologies (B)* 222,693 875 Marvell Technology Group (B)* 61,000 1,956 Maxim Integrated Products 66,600 2,728 McAfee* 1,300 38 Microsoft 1,258,659 33,745 Motorola 40,500 780 NCR* 31,500 1,882 Oracle* 164,300 2,080 Paychex 550,372 18,250 Plantronics 7,100 292 Qualcomm 672,174 27,976 Research In Motion* 13,300 1,183 Reynolds & Reynolds, Cl A (B) 9,100 216 Sabre Holdings, Cl A 75,437 1,741 Sandisk (B)* 250,000 5,645 Sanmina-SCI* 45,339 400 Sina* 42,000 1,551 Solectron* 150,400 940 Sun Microsystems* 396,700 2,202 Symantec* 40,200 2,565 Tech Data* 13,516 613 Tektronix 14,500 455 Trimble Navigation (B)* 72,550 2,290 Unisys* 61,700 709 Xerox (B)* 74,500 1,141 Yahoo! (B)* 164,146 6,175 ----------- 262,582 ----------- MATERIALS -- 2.6% Agrium 64,800 1,204 Alcan 17,307 883 Ball 23,600 1,056 Dow Chemical 57,745 2,914 E.I. Du Pont de Nemours 27,365 1,240 Eastman Chemical (B) 39,753 2,162 Engelhard 32,000 956 Georgia-Pacific 39,649 1,452 International Paper 50,337 2,090 Louisiana-Pacific 90,800 2,222 Lubrizol 49,003 1,693 Martin Marietta Materials 15,183 763 MeadWestvaco 18,200 612 Monsanto (B) 45,300 2,085 Nucor (B) 102,700 5,433 Phelps Dodge 6,600 641 PPG Industries 47,549 3,208 Praxair 200,000 8,980 Rohm & Haas 26,600 1,173 Sigma-Aldrich 7,300 436 Sonoco Products 21,583 614 -------------------------------------------------------------------------------- 4 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Temple-Inland 8,467 $ 504 United States Steel (B) 25,700 1,346 Weyerhaeuser (B) 21,400 1,412 ----------- 45,079 ----------- TELECOMMUNICATION SERVICES -- 3.1% Alltel 49,600 2,812 AT&T (B) 175,600 3,213 BellSouth 393,317 10,549 CenturyTel 28,900 951 Crown Castle International (B)* 112,807 1,904 Nokia ADR (B)* 416,076 6,728 SBC Communications 456,044 11,478 Sprint (B)* 43,836 1,000 Telephone & Data Systems 5,300 411 Verizon Communications 362,737 14,956 Western Wireless, Cl A* 61,000 1,647 ----------- 55,649 ----------- UTILITIES -- 2.4% American Electric Power (B) 31,994 1,093 Centerpoint Energy 72,000 804 Constellation Energy Group 102,699 4,488 DTE Energy (B) 19,887 873 Duke Energy (B) 49,700 1,256 Edison International 129,408 4,128 Energy East 17,200 433 Entergy 20,299 1,316 Exelon 57,600 2,402 FirstEnergy 28,800 1,216 FPL Group (B) 7,900 556 KeySpan 22,800 901 National Fuel Gas (B) 20,441 576 Northeast Utilities 181,817 3,315 NSTAR 35,100 1,778 Oneok 113,822 3,178 Pepco Holdings 43,300 924 PG&E* 14,800 492 Pinnacle West Capital 31,500 1,392 PPL 12,003 624 Progress Energy (B) 27,100 1,190 Sempra Energy (B) 83,200 3,077 Texas Genco Holdings 22,900 1,073 TXU (B) 49,800 3,128 WGL Holdings 17,224 522 Wisconsin Energy 5,795 193 Xcel Energy (B) 111,800 2,019 ----------- 42,947 ----------- Total Common Stock (Cost $1,601,250) ($ Thousands) 1,717,960 ----------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- CORPORATE OBLIGATIONS (C)(E) -- 3.8% FINANCIALS -- 3.7% Allstate Life Global Funding MTN 2.090%, 11/14/05 $ 882 $ 882 Belford Funding MTN 2.140%, 02/02/05 3,526 3,526 Bradford & Bingley 2.196%, 01/07/05 2,222 2,221 CCN Bluegrass 2.207%, 08/18/05 2,645 2,645 CIT Group 1.870%, 12/01/04 2,116 2,116 Countrywide Home Loans MTN, Ser L 2.435%, 02/23/05 1,023 1,023 Countrywide Home Loans MTN, Ser M 2.471%, 08/26/05 1,058 1,058 2.429%, 05/20/05 705 705 2.030%, 06/23/05 1,411 1,410 Five Finance MTN 2.150%, 09/22/05 5,007 5,005 Harrier Finance Funding MTN, Ser 1 1.886%, 06/15/05 3,068 3,067 Irish Life & Permanent MTN, Ser X 2.155%, 12/22/05 3,279 3,279 Lakeside Funding 2.276%, 12/08/04 4,504 4,504 Liberty Light US Capital 2.075%, 01/14/05 1,763 1,763 2.070%, 02/09/05 1,763 1,763 Morgan Stanley, Ser EXL 2.039%, 12/04/05 705 705 Nationwide Building Society 1.953%, 10/28/05 1,763 1,763 Pacific Life Global Funding 2.090%, 11/14/05 2,645 2,645 Premium Asset Trust 2.170%, 12/15/05 4,937 4,937 SLM MTN, Cl X 2.150%, 12/20/05 6,171 6,171 Saturn Ventures 2.143%, 02/07/05 1,763 1,763 Sigma Finance MTN 1.989%, 01/04/05 2,116 2,116 U.S. Trust 2.212%, 09/12/05 3,526 3,526 Washington Mutual Bank 2.310%, 08/18/05 3,526 3,526 White Pine Finance 2.096%, 03/11/05 882 882 2.026%, 11/01/05 1,552 1,551 ----------- 64,552 ----------- -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 5 -------------------------------------------------------------------------------- STATEMENT OF NET ASSETS (Unaudited) LARGE CAP FUND (Concluded) November 30, 2004 -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- INDUSTRIALS -- 0.1% Caterpillar MTN, Ser F 2.180%, 07/11/05 $ 1,763 $ 1,763 ----------- Total Corporate Obligations (Cost $66,315) ($ Thousands) 66,315 ----------- COMMERCIAL PAPER (C)(D) -- 2.1% FINANCIALS -- 2.1% Broadhollow Funding 2.111%, 12/06/04 2,645 2,644 CPI Funding 2.121%, 12/10/04 3,403 3,401 Golden Fish 2.307%, 01/18/05 2,124 2,118 2.172%, 12/17/04 1,030 1,029 2.162%, 12/14/04 1,240 1,239 2.031%, 12/08/04 603 602 Harwood Street Funding 2.137%, 12/15/04 5,452 5,448 Household Finance 2.142%, 12/15/04 4,408 4,404 Laguna 2.141%, 12/10/04 1,411 1,410 2.140%, 12/03/04 1,763 1,763 Main Street Warehouse 2.131%, 12/07/04 705 705 2.131%, 12/08/04 705 705 2.131%, 12/09/04 3,526 3,525 Thornburg Mortgage Capital 2.152%, 12/15/04 3,526 3,524 2.151%, 12/07/04 1,234 1,234 2.150%, 12/03/04 3,174 3,173 ----------- Total Commercial Paper (Cost $36,924) ($ Thousands) 36,924 ----------- CASH EQUIVALENTS -- 2.0% Bear Stearns Master Notes (C) 3,526,316 3,526 First Union Cash Management Program 822,608 823 SEI Daily Income Trust, Prime Obligation Fund, Cl A++ 32,007,049 32,007 ----------- Total Cash Equivalents (Cost $36,356) ($ Thousands) 36,356 ----------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- ASSET-BACKED SECURITIES (C) -- 1.6% AUTOMOTIVE -- 0.1% Drivetime Auto Owner Trust 2.148%, 11/15/05 (E) $ 744 $ 744 1.640%, 07/15/05 279 279 ----------- 1,023 ----------- MORTGAGE RELATED SECURITIES (E) -- 1.5% Aire Valley Mortgages 2.140%, 09/20/05 2,257 2,257 Blue Heron Funding 2.211%, 02/23/05 3,526 3,526 2.170%, 03/18/05 1,587 1,587 Cheyne High Grade 2.280%, 11/10/05 2,028 2,028 Commodore 1.970%, 12/12/38 1,058 1,058 Davis Square Funding 2.091%, 04/06/05 1,763 1,763 2.091%, 05/06/05 1,763 1,763 Duke Funding 2.115%, 04/08/05 1,763 1,763 Harwood 2.190%, 09/20/05 4,478 4,478 Orchid Structured Finance 2.410%, 05/18/05 3,870 3,870 RMAC 2.090%, 06/12/05 1,587 1,587 Whitehawk CDO Funding 1.710%, 06/15/05 882 882 ----------- 26,562 ----------- Total Asset-Backed Securities (Cost $27,585) ($ Thousands) 27,585 ----------- U.S. TREASURY OBLIGATION -- 0.3% U.S. Treasury Bills (A) 1.775%, 02/24/05 4,000 3,980 ----------- Total U.S. Treasury Obligation (Cost $3,984) ($ Thousands) 3,980 ----------- -------------------------------------------------------------------------------- 6 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS (C) -- 2.1% Barclays 2.070%, dated 11/30/04, to be repurchased on 12/01/04, repurchase price $7,809,651 (collateralized by various U.S. Government Obligations, ranging in par value $360,742- $5,289,474, 1.625%-7.000%, 04/15/05-03/15/10; with total market value $7,965,547) $ 7,809 $ 7,809 Lehman Brothers 2.070%, dated 11/30/04, to be repurchased on 12/01/04, repurchase price $2,292,237 (collateralized by various U.S. Government Obligations, ranging in par value $75,463- $155,934, 0.000%-6.700%, 09/13/05-08/15/27; with total market value $2,338,016) 2,292 2,292 UBS Paine Webber 2.070%, dated 11/30/04, to be repurchased on 12/01/04, repurchase price $28,917,451 (collateralized by various U.S. Government Obligations, ranging in par value $408,524- $1,763,158, 0.000%-5.002%, 12/17/04-11/15/29; with total market value $29,494,211) 28,916 28,916 ----------- Total Repurchase Agreements (Cost $39,017) ($ Thousands) 39,017 ----------- Total Investments -- 108.6% (Cost $1,811,431) ($ Thousands) 1,928,137 ----------- OTHER ASSETS AND LIABILITIES -- (8.6)% Payable upon Return on Securities Loaned (173,367) Payable for Capital Shares Redeemed (23,868) Payable for Investment Securities Purchased (10,768) Investment Advisory Fees Payable (374) Trustees' Fees Payable (6) Other Assets and Liabilities, Net 56,416 ----------- Total Other Assets and Liabilities (151,967) ----------- Net Assets -- 100.0% $ 1,776,170 =========== -------------------------------------------------------------------------------- Value Description ($ Thousands) -------------------------------------------------------------------------------- NET ASSETS: Paid-in-Capital (unlimited authorization -- no par value) $ 2,030,094 Undistributed net investment income 8,300 Accumulated net realized loss on investments and futures contracts (379,211) Net unrealized appreciation on investments 116,706 Net unrealized appreciation on futures contracts 281 ----------- Net Assets $ 1,776,170 =========== Net Asset Value, Offering and Redemption Price Per Share -- Class A ($1,776,137,474 / 116,358,838 shares) $15.26 ====== Net Asset Value, Offering and Redemption Price Per Share -- Class T ($32,598 / 2,147 shares) $15.19 ====== * Non-income producing security. + Real Estate Investment Trust ++ See Note 3 in Notes to Financial Statements. (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. The rate reported is the effective yield at time of purchase. (B) This security or a partial position of this security is on loan at November 30, 2004 (see Note 9). The total value of securities on loan at November 30, 2004 was $167,850,545. (C) This security was purchased with cash collateral held from securities lending (see Note 9). The total value of such securities as of November 30, 2004 was $173,367,448. (D) The rate reported is the effective yield at time of purchase. (E) Variable Rate Security -- The rate reported on the Statement of Net Assets is the rate in effect as of November 30, 2004. (F) Security considered illiquid. The total value of such securities as of November 30, 2004 was $0 and represented 0.00% of Net Assets. ADR -- American Depository Receipt Cl -- Class MTN -- Medium Term Note Ser -- Series Amounts designated as "--" are zero or have been rounded to zero. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 7 -------------------------------------------------------------------------------- STATEMENT OF NET ASSETS (Unaudited) LARGE CAP DISCIPLINED EQUITY FUND November 30, 2004 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)**: [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] 22.4% Financials 14.2% Information Technology 11.7% Health Care 11.2% Industrials 10.4% Consumer Discretionary 9.2% Consumer Staples 7.5% Energy 4.0% Short-Term Investments 3.1% Materials 2.6% Telecommunication Services 2.2% Utilities 1.3% Asset Backed 0.2% U.S. Treasury Obligations ** Percentages based on total investments. -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- COMMON STOCK -- 97.3% CONSUMER DISCRETIONARY -- 11.3% Amazon.Com (B)* 8,232 $ 327 American Axle & Manufacturing Holdings 22,897 668 Autoliv 40,579 1,897 Autozone (B)* 120,018 10,274 Barnes & Noble* 33,476 907 Bed Bath & Beyond* 26,041 1,040 Best Buy 25,403 1,432 Black & Decker 91,402 7,686 Blyth 1,448 42 Brinker International* 39,356 1,343 Brunswick 73,766 3,601 Carnival (B) 118,233 6,268 CEC Entertainment* 9,650 393 Centex 81,027 4,252 Circuit City Stores 43,700 681 Claire's Stores 18,215 371 Clear Channel Communications 155,800 5,247 Coach* 45,000 2,243 Comcast, Cl A* 102,818 3,089 Cooper Tire & Rubber 5,100 104 Dana 90,228 1,475 Darden Restaurants 361,632 9,858 Dillard's, Cl A 22,600 569 Dollar General (B) 147,727 2,918 Eastman Kodak 23,500 769 eBay (B)* 72,421 8,144 Electronics Boutique Holdings* 7,200 280 Federated Department Stores 266,983 14,631 Ford Motor (B) 975,757 13,836 Fortune Brands 47,610 3,736 Fox Entertainment Group, Cl A* 121,128 3,561 GameStop, Cl B* 13,650 290 Gannett 64,644 5,333 Gap 173,377 3,788 General Motors (B) 65,956 2,545 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Genuine Parts 60,125 $ 2,610 Goodyear Tire & Rubber (B)* 166,510 2,101 GTECH Holdings 69,597 1,681 Harley-Davidson 9,600 555 Harman International Industries 43,132 5,299 Harrah's Entertainment (B) 79,604 4,888 Hasbro 56,177 1,069 Hearst-Argyle Television 2,281 59 Hilton Hotels 5,118 106 Home Depot 882,358 36,838 International Game Technology (B) 91,306 3,228 JC Penney 433,905 16,749 Johnson Controls 44,939 2,759 Jones Apparel Group 105,100 3,734 KB Home 16,284 1,431 Kmart Holding* 6,900 710 Knight-Ridder 300 20 Leggett & Platt 14,000 418 Liberty Media, Cl A* 71,300 737 Limited 127,900 3,126 Liz Claiborne 25,700 1,056 Lowe's (B) 167,943 9,292 Marvel Enterprises* 10,300 190 May Department Stores 226,685 6,374 McDonald's 305,932 9,404 McGraw-Hill 86,252 7,567 Meredith 19,939 1,051 Michaels Stores 10,154 278 Nike, Cl B 20,044 1,697 Nordstrom 73,613 3,221 NVR (B)* 6,030 4,166 OfficeMax 12,400 375 Overstock.com* 3,300 235 Pacific Sunwear of California 99,200 2,203 Petco Animal Supplies* 1,111 40 Pulte Homes (B) 30,458 1,683 RadioShack 50,707 1,601 Reebok International 33,600 1,306 Regal Entertainment Group, Cl A 31,637 659 Rent-A-Center* 15,020 383 Ruby Tuesday 4,400 121 Sherwin-Williams 35,009 1,561 Snap-On 6,400 202 Standard-Pacific 15,300 857 Stanley Works 46,800 2,188 Staples 4,815 154 Starbucks (B)* 128,604 7,235 Starwood Hotels & Resorts Worldwide 22,363 1,169 Target 79,422 4,068 Time Warner* 1,485,363 26,306 Toys "R" Us* 9,200 178 VF 18,248 985 -------------------------------------------------------------------------------- 8 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Viacom, Cl B 165,979 $ 5,759 Visteon 36,500 309 Walt Disney (B) 904,220 24,305 Wendy's International 9,851 351 Whirlpool 50,798 3,279 Yankee Candle* 28,800 877 Yum! Brands 9,509 432 ----------- 344,833 ----------- CONSUMER STAPLES -- 9.9% Adolph Coors, Cl B 18,900 1,416 Alberto-Culver 6,042 280 Albertson's (B) 32,634 826 Altria Group (B) 425,618 24,469 Anheuser-Busch 350,571 17,560 Archer-Daniels-Midland 808,971 17,150 Avon Products 42,642 1,601 Brown-Forman, Cl B 1,756 84 Clorox 76,353 4,208 Coca-Cola 695,233 27,330 Coca-Cola Enterprises 193,257 4,020 Colgate-Palmolive 162,909 7,492 ConAgra Foods 39,100 1,058 Costco Wholesale (B) 71,509 3,475 CVS 22,100 1,003 Del Monte Foods* 21,600 234 Gillette 420,457 18,286 Hershey Foods 13,066 677 HJ Heinz 6,900 256 Kellogg 38,435 1,680 Kimberly-Clark 119,794 7,620 Kroger* 147,454 2,386 McCormick 9,600 350 Pepsi Bottling Group (B) 374,822 10,502 PepsiAmericas 5,822 123 PepsiCo 355,275 17,732 Pilgrim's Pride (B) 39,179 1,312 Procter & Gamble 400,567 21,422 Reynolds American (B) 120,375 9,104 Safeway* 51,200 987 Sara Lee 492,917 11,574 Smithfield Foods* 11,000 319 Supervalu 282,173 8,914 Sysco (B) 41,400 1,439 Tyson Foods, Cl A 201,577 3,304 UST (B) 248,387 10,936 Wal-Mart Stores 1,121,241 58,372 Walgreen 50,003 1,909 Wild Oats Markets* 8,000 57 Wm. Wrigley Jr 40,423 2,781 ----------- 304,248 ----------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- ENERGY -- 8.2% Amerada Hess (B) 48,800 $ 4,336 Anadarko Petroleum 133,421 9,286 Apache 133,284 7,205 Ashland (B) 36,927 2,184 Atwood Oceanics* 2,700 142 Baker Hughes (B) 179,609 7,962 BJ Services (B)* 12,900 654 Burlington Resources 42,448 1,970 CARBO Ceramics 3,200 249 ChevronTexaco 534,148 29,164 ConocoPhillips 365,130 33,223 Devon Energy 156,877 6,498 Diamond Offshore Drilling 36,700 1,375 EOG Resources (B) 17,700 1,329 Exxon Mobil 1,459,308 74,790 Halliburton 71,530 2,958 Kerr-McGee 11,767 732 Kinder Morgan 2,934 203 Marathon Oil (B) 246,811 9,734 Maverick Tube* 6,000 190 Noble* 9,800 475 Occidental Petroleum 332,590 20,025 Overseas Shipholding Group 3,275 215 Pogo Producing 35,005 1,768 Premcor* 6,277 280 Schlumberger 152,934 10,037 Sunoco 43,395 3,583 Todco* 4,400 77 Transocean* 23,200 934 Unit* 4,700 186 Universal Compression Holdings* 5,500 205 Unocal 15,700 723 Valero Energy (B) 347,397 16,255 Varco International (B)* 11,568 344 Williams (B) 18,200 303 ----------- 249,594 ----------- FINANCIALS -- 19.3% ACE (B) 270,000 10,913 Aflac 24,756 931 Allstate 420,768 21,249 American Capital Strategies (B) 8,925 285 American Express 149,546 8,331 American Financial Group 10,900 343 American International Group 785,422 49,756 AmSouth Bancorp 8,000 207 AON 15,900 336 Astoria Financial 3,082 128 Bank of America 1,414,858 65,465 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 9 -------------------------------------------------------------------------------- STATEMENT OF NET ASSETS (Unaudited) LARGE CAP DISCIPLINED EQUITY FUND (Continued) November 30, 2004 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Bank of New York 1,925 $ 63 BB&T (B) 77,300 3,281 Bear Stearns 11,350 1,108 Capital One Financial (B) 23,421 1,840 CapitalSource* 18,100 420 Chubb 8,300 633 Cincinnati Financial 3,855 173 CIT Group 22,923 980 Citigroup 1,851,382 82,849 Comerica 24,000 1,476 Countrywide Financial 470,870 15,638 Everest Re Group 18,663 1,573 Fannie Mae (B) 283,141 19,452 Federated Investors, Cl B 157,478 4,633 Fidelity National Financial 33,080 1,419 Fifth Third Bancorp 48,616 2,448 Franklin Resources 19,009 1,248 Freddie Mac 284,657 19,431 General Growth Properties+ 17,300 594 Genworth Financial, Cl A 33,500 881 Golden West Financial 21,171 2,524 Goldman Sachs Group (B) 167,223 17,518 Hartford Financial Services Group 39,864 2,551 HCC Insurance Holdings 16,221 538 Health Care+ 5,636 200 Huntington Bancshares 32,309 784 Independence Community Bank 6,947 295 Infinity Property & Casualty 12,400 459 JPMorgan Chase 784,104 29,521 Keycorp 74,065 2,466 LandAmerica Financial Group 4,200 224 Lehman Brothers Holdings 66,532 5,574 Lincoln National 24,557 1,130 Loews 39,000 2,726 Marsh & McLennan 37,485 1,072 Marshall & Ilsley 15,000 625 MBNA 353,955 9,401 Mellon Financial 12,075 353 Merrill Lynch 251,455 14,009 Metlife 79,609 3,105 MGIC Investment 27,300 1,856 Moody's 10,235 826 Morgan Stanley 420,562 21,344 National City 391,287 14,509 Nationwide Financial Services, Cl A 3,443 129 New York Community Bancorp 8,000 158 North Fork Bancorporation 41,437 1,193 Pan Pacific Retail Properties+ 3,083 183 Plum Creek Timber+ 4,500 166 PNC Financial Services Group 197,629 10,751 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Popular 7,477 $ 198 Progressive 16,524 1,504 Providian Financial* 46,400 745 Prudential Financial 7,349 360 Safeco (B) 60,774 2,946 Simon Property Group+ 59,679 3,705 SLM 23,300 1,192 St. Paul Travelers 23,480 857 State Street 1,000 45 SunTrust Banks 53,300 3,800 T Rowe Price Group 27,364 1,619 Torchmark 27,969 1,536 UnumProvident 154,400 2,404 US Bancorp 990,305 29,343 Wachovia 636,983 32,964 Washington Mutual 399,518 16,264 Wells Fargo 412,572 25,485 WR Berkley 22,772 1,033 XL Capital, Cl A 5,300 399 ----------- 590,673 ----------- HEALTH CARE -- 12.6% Abbott Laboratories 101,216 4,247 Aetna 35,012 4,149 American Pharmaceutical Partners* 1 -- AmerisourceBergen (B) 43,046 2,537 Amgen* 182,154 10,936 Applera - Applied Biosystems Group 34,000 697 Bausch & Lomb 56,910 3,351 Baxter International 5,200 165 Becton Dickinson 337,447 18,485 Biogen Idec (B)* 46,800 2,746 Biomet 29,800 1,426 Biosite* 3,300 184 Boston Scientific* 146,032 5,083 Bristol-Myers Squibb 169,713 3,988 Cardinal Health 171,760 8,980 Caremark Rx* 21,500 769 Celgene* 8,208 225 Cephalon* 13,906 661 Cigna 33,766 2,364 Coventry Health Care* 41,584 2,064 CR Bard 65,293 3,912 Edwards Lifesciences* 10,300 387 Eli Lilly 85,653 4,568 Express Scripts* 28,532 2,053 First Horizon Pharmaceutical* 19,900 389 Fisher Scientific International* 36,500 2,064 Forest Laboratories* 189,025 7,366 Genentech* 91,335 4,407 -------------------------------------------------------------------------------- 10 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Gilead Sciences* 12,070 $ 416 Guidant 39,867 2,585 HCA (B) 37,400 1,474 Hospira* 6,131 198 Humana* 93,058 2,310 Idexx Laboratories* 6,500 335 IMS Health 59,403 1,341 Invitrogen* 10,900 659 Johnson & Johnson 1,147,143 69,196 Kensey Nash* 3,400 106 Kindred Healthcare* 3,100 85 King Pharmaceuticals* 3,640 45 Laboratory of America Holdings* 9,800 470 Manor Care (B) 31,760 1,094 McKesson 55,146 1,630 Medco Health Solutions* 60,524 2,283 Medicis Pharmaceutical, Cl A 8,000 294 Medtronic 394,317 18,947 Merck 892,851 25,018 Millipore (B)* 48,617 2,369 Nu Skin Enterprises, Cl A 12,100 272 PerkinElmer 86,315 1,841 Pfizer 2,366,438 65,716 Pharmion* 8,000 339 Quest Diagnostics 11,900 1,116 Schering-Plough 47,700 851 Select Medical 7,700 134 St. Jude Medical* 38,644 1,474 Stryker 60,487 2,661 Thermo Electron* 81,964 2,479 United Therapeutics* 18,100 797 UnitedHealth Group 334,264 27,694 USANA Health Sciences* 19,500 579 Varian Medical Systems* 47,459 1,997 Ventana Medical Systems* 8,200 490 Waters* 47,801 2,230 Watson Pharmaceuticals* 11,900 346 WellPoint* 24,862 2,519 WellPoint Health Networks* 135,089 16,900 Wyeth 529,312 21,104 Zimmer Holdings* 63,295 5,165 ----------- 385,762 ----------- INDUSTRIALS -- 12.0% 3M 287,811 22,907 Accenture, Cl A* 240,821 6,247 AGCO* 7,255 158 Alexander & Baldwin 2,896 122 American Standard (B)* 65,500 2,550 Apollo Group, Cl A (B)* 102,649 8,181 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Avery Dennison 11,200 $ 657 Boeing 131,918 7,067 Burlington Northern Santa Fe 226,831 10,216 Career Education* 3,753 146 Caterpillar 138,395 12,670 Cendant 936,375 21,228 Cintas 1,700 76 Cooper Industries, Cl A 55,343 3,670 Crane 5,553 168 Cummins 14,460 1,151 Danaher (B) 17,140 975 Deere 172,492 12,373 Deluxe 255,333 10,096 Eaton 64,379 4,339 Emerson Electric 84,523 5,648 Equifax 168,908 4,665 FedEx 154,369 14,670 General Dynamics 75,876 8,222 General Electric 2,080,139 73,554 Goodrich 93,893 2,981 H&R Block (B) 220,558 10,521 Honeywell International 92,153 3,256 Illinois Tool Works 45,821 4,318 Ingersoll-Rand, Cl A 46,885 3,489 ITT Industries 3,162 269 JB Hunt Transport Services 24,966 1,004 Lockheed Martin 214,587 13,055 Masco 139,691 4,927 Navistar International* 9,899 407 Norfolk Southern 93,765 3,219 Northrop Grumman 164,317 9,256 Paccar 55,309 4,320 Parker Hannifin 28,863 2,159 Raytheon 17,300 698 Reliance Steel & Aluminum 8,900 355 Robert Half International 4,984 135 Rockwell Automation 59,331 2,806 Rockwell Collins 74,733 2,979 RR Donnelley & Sons 31,900 1,107 Ryder System (B) 108,461 5,818 Southwest Airlines (B) 118,514 1,864 Swift Transportation* 5,600 109 Textron 41,200 2,992 Tyco International 762,160 25,890 Union Pacific 12,012 762 United Defense Industries* 27,848 1,261 United Parcel Service, Cl B (B) 169,706 14,281 United Technologies 106,095 10,353 W.W. Grainger 11,246 696 ----------- 367,043 ----------- -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 11 -------------------------------------------------------------------------------- STATEMENT OF NET ASSETS (Unaudited) LARGE CAP DISCIPLINED EQUITY FUND (Continued) November 30, 2004 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- INFORMATION TECHNOLOGY -- 15.4% 3Com* 192,647 $ 855 Adobe Systems 112,044 6,785 Advanced Micro Devices (B)* 62,862 1,338 Affiliated Computer Services, Cl A* 97,857 5,791 Agilent Technologies* 88,576 2,027 Amphenol, Cl A* 19,700 692 Andrew* 9,400 133 Apple Computer* 27,465 1,842 Applied Materials* 8,538 142 Autodesk (B) 126,614 8,282 Automatic Data Processing 45,053 2,051 Avaya (B)* 204,240 3,354 BMC Software (B)* 112,418 2,089 Broadcom, Cl A* 33,203 1,080 Cabot Microelectronics* 23,400 865 Cisco Systems (B)* 2,600,834 48,662 Citrix Systems* 23,100 545 Computer Associates International 33,657 1,028 Computer Sciences (B)* 62,378 3,375 Convergys* 131,189 1,951 Corning (B)* 301,500 3,793 Cree* 62,700 2,243 Dell* 446,767 18,103 Earthlink* 43,500 472 Electronic Arts (B)* 17,006 832 EMC* 1,070,383 14,365 First Data 75,203 3,090 Google, Cl A (B)* 5,541 1,014 Harris 39,603 2,621 Hewlett-Packard 1,064,080 21,282 Ingram Micro, Cl A* 11,420 220 Intel 1,651,235 36,905 International Business Machines 583,348 54,975 Internet Security Systems* 14,800 358 Intuit* 124,816 5,222 Lexmark International, Cl A* 16,430 1,395 Linear Technology 121,260 4,627 Lucent Technologies (B)* 326,587 1,283 Maxim Integrated Products 32,300 1,323 Mercury Interactive* 3,200 146 Micron Technology (B)* 623,649 6,910 Microsoft (B) 2,430,418 65,159 Motorola 1,371,468 26,414 National Semiconductor* 50,478 780 NCR* 61,000 3,644 Network Appliance* 80,400 2,425 Nvidia (B)* 115,525 2,210 Oracle* 1,100,156 13,928 Paychex 12,000 398 Pegasus Solutions* 11,400 133 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Peoplesoft (B)* 21,697 $ 512 Polycom* 55,293 1,263 Qualcomm 357,987 14,899 Sabre Holdings, Cl A 188,452 4,349 Sanmina-SCI* 89,931 794 Scientific-Atlanta 98,608 2,921 Siebel Systems (B)* 36,901 372 Sigmatel* 21,200 759 Skyworks Solutions* 32,600 324 Sun Microsystems* 761,315 4,225 Sungard Data Systems* 138,621 3,675 Symantec* 62,717 4,002 Symbol Technologies 3,709 56 Synopsys* 50,663 893 Tech Data* 9,600 436 Tektronix 41,444 1,300 Texas Instruments 830,017 20,070 Unisys* 32,715 376 VeriSign* 44,279 1,457 Wind River Systems* 13,100 158 Xerox (B)* 257,766 3,949 Yahoo! (B)* 369,489 13,900 ----------- 469,847 ----------- MATERIALS -- 3.4% Alcoa 44,682 1,518 Allegheny Technologies 49,300 1,085 Ball 62,840 2,811 Bemis 24,100 671 Dow Chemical 480,070 24,229 E.I. Du Pont de Nemours 106,741 4,837 Eastman Chemical 111,540 6,066 Ecolab 10,426 365 Engelhard 12,771 382 Freeport-McMoRan Copper & Gold, Cl B (B) 23,635 925 Georgia-Pacific (B) 342,270 12,531 Great Lakes Chemical 5,000 146 Hercules* 10,200 152 International Flavors & Fragrances 38,408 1,556 Louisiana-Pacific 266,649 6,525 MacDermid 3,400 125 MeadWestvaco 11,170 376 Monsanto 105,870 4,872 Mosaic* 26,500 461 Newmont Mining 5,576 264 Nucor (B) 129,164 6,833 OM Group* 9,400 289 Pactiv* 41,141 1,022 Phelps Dodge (B) 105,119 10,210 PPG Industries 18,015 1,215 -------------------------------------------------------------------------------- 12 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Praxair 5,280 $ 237 Sigma-Aldrich 22,275 1,330 Temple-Inland 28,300 1,686 United States Steel (B) 158,652 8,307 Valspar 18,573 896 Vulcan Materials 2,200 114 Weyerhaeuser 8,900 587 Worthington Industries 43,000 925 ----------- 103,548 ----------- TELECOMMUNICATION SERVICES -- 2.8% Alltel 28,900 1,638 Amdocs* 58,922 1,523 AT&T (B) 223,536 4,091 BellSouth 610,391 16,371 CenturyTel 84,100 2,769 Citizens Communications 37,900 542 Nextel Communications, Cl A* 536,949 15,281 SBC Communications (B) 344,195 8,663 Sprint (B)* 224,957 5,131 Verizon Communications 748,798 30,873 Western Wireless, Cl A* 9,400 254 ----------- 87,136 ----------- UTILITIES -- 2.4% AES* 5,600 68 Allegheny Energy (B)* 64,800 1,240 American Electric Power 2,800 96 CMS Energy* 78,800 804 Constellation Energy Group 97,837 4,275 Dominion Resources 17,700 1,159 DTE Energy (B) 15,700 689 Duke Energy (B) 6,800 172 Edison International (B) 418,737 13,358 Energy East 4,959 125 Entergy 87,600 5,678 Exelon 324,512 13,535 FirstEnergy 22,600 954 FPL Group 2,300 162 NiSource 93,978 2,048 NSTAR 4,876 247 PG&E* 201,505 6,702 Pinnacle West Capital 3,300 146 Progress Energy 52,300 2,296 Sempra Energy (B) 76,890 2,843 Southern 20,940 687 TXU (B) 230,511 14,481 Xcel Energy (B) 96,941 1,751 ----------- 73,516 ----------- Total Common Stock (Cost $2,747,830) ($ Thousands) 2,976,200 ----------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- CORPORATE OBLIGATIONS (C)(E) -- 3.2% FINANCIALS -- 3.1% Allstate Life Global Funding MTN 2.090%, 11/14/05 $ 1,313 $ 1,313 Belford Funding MTN 2.140%, 02/02/05 5,253 5,253 Bradford & Bingley 2.196%, 01/07/05 3,309 3,309 CCN Bluegrass 2.207%, 08/18/05 3,940 3,940 CIT Group 1.870%, 12/01/04 3,152 3,152 Countrywide Home Loans MTN, Ser L 2.435%, 02/23/05 1,523 1,523 Countrywide Home Loans MTN, Ser M 2.471%, 08/26/05 1,576 1,576 2.429%, 05/20/05 1,051 1,051 2.030%, 06/23/05 2,101 2,101 Five Finance MTN 2.150%, 09/22/05 7,459 7,456 Harrier Finance Funding MTN, Ser 1 1.886%, 06/15/05 4,570 4,569 Irish Life & Permanent MTN, Ser X 2.155%, 12/22/05 4,885 4,885 Lakeside Funding 2.276%, 12/08/04 6,709 6,709 Liberty Light US Capital 2.075%, 01/14/05 2,627 2,627 2.070%, 02/09/05 2,627 2,626 Morgan Stanley, Ser EXL 2.039%, 12/04/05 1,051 1,051 Nationwide Building Society 1.953%, 10/28/05 2,627 2,627 Pacific Life Global Funding 2.090%, 11/14/05 3,940 3,940 Premium Asset Trust 2.170%, 12/15/05 7,354 7,354 SLM MTN, Cl X 2.150%, 12/20/05 9,193 9,193 Saturn Ventures 2.143%, 02/07/05 2,627 2,626 Sigma Finance MTN 1.989%, 01/04/05 3,152 3,152 U.S. Trust 2.212%, 09/12/05 5,253 5,253 Washington Mutual Bank 2.310%, 08/18/05 5,253 5,253 White Pine Finance 2.096%, 03/11/05 1,313 1,313 2.026%, 11/01/05 2,311 2,311 ----------- 96,163 ----------- -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 13 -------------------------------------------------------------------------------- STATEMENT OF NET ASSETS (Unaudited) LARGE CAP DISCIPLINED EQUITY FUND (Concluded) November 30, 2004 -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- INDUSTRIALS -- 0.1% Caterpillar MTN, Ser F 2.180%, 07/11/05 $ 2,626 $ 2,626 ----------- Total Corporate Obligations (Cost $98,789) ($ Thousands) 98,789 ----------- CASH EQUIVALENTS -- 2.4% Bear Stearns Master Notes (C) 5,253,132 5,253 First Union Cash Management Program 1,190,696 1,191 SEI Daily Income Trust, Prime Obligation Fund, Cl A++ 68,243,612 68,244 ----------- Total Cash Equivalents (Cost $74,688) ($ Thousands) 74,688 ----------- COMMERCIAL PAPER (C)(D) -- 1.8% FINANCIALS -- 1.8% Broadhollow Funding 2.111%, 12/06/04 3,940 3,939 CPI Funding 2.121%, 12/10/04 5,070 5,067 Golden Fish 2.307%, 01/18/05 3,165 3,155 2.172%, 12/17/04 1,535 1,533 2.162%, 12/14/04 1,848 1,846 2.031%, 12/08/04 898 897 Harwood Street Funding 2.137%, 12/15/04 8,122 8,116 Household Finance 2.142%, 12/15/04 6,566 6,561 Laguna 2.141%, 12/10/04 2,101 2,100 2.140%, 12/03/04 2,627 2,626 Main Street Warehouse 2.131%, 12/07/04 1,051 1,050 2.131%, 12/08/04 1,051 1,050 2.131%, 12/09/04 5,253 5,251 Thornburg Mortgage Capital 2.152%, 12/15/04 5,253 5,249 2.151%, 12/07/04 1,839 1,838 2.150%, 12/03/04 4,728 4,727 ----------- Total Commercial Paper (Cost $55,005) ($ Thousands) 55,005 ----------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- ASSET-BACKED SECURITIES (C) -- 1.3% AUTOMOTIVE -- 0.0% Drivetime Auto Owner Trust 2.148%, 11/15/05 (E) $ 1,110 $ 1,110 1.640%, 07/15/05 415 415 ----------- 1,525 ----------- MORTGAGE RELATED SECURITIES (E) -- 1.3% Aire Valley Mortgages 2.140%, 09/20/05 3,362 3,362 Blue Heron Funding 2.211%, 02/23/05 5,253 5,253 2.170%, 03/18/05 2,364 2,364 Cheyne High Grade 2.280%, 11/10/05 3,020 3,020 Commodore 1.970%, 12/12/38 1,576 1,576 Davis Square Funding 2.091%, 04/06/05 2,627 2,627 2.091%, 05/06/05 2,627 2,627 Duke Funding 2.115%, 04/08/05 2,627 2,627 Harwood 2.190%, 09/20/05 6,671 6,671 Orchid Structured Finance 2.410%, 05/18/05 5,764 5,764 RMAC 2.090%, 06/12/05 2,364 2,364 Whitehawk CDO Funding 1.710%, 06/15/05 1,313 1,313 ----------- 39,568 ----------- Total Asset-Backed Securities (Cost $41,093) ($ Thousands) 41,093 ----------- U.S. TREASURY OBLIGATIONS -- 0.3% U.S. Treasury Bills (A) 1.821%, 02/24/05 6,775 6,741 1.686%, 12/23/04 450 449 1.654%, 12/16/04 300 300 ----------- Total U.S. Treasury Obligations (Cost $7,496) ($ Thousands) 7,490 ----------- -------------------------------------------------------------------------------- 14 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS (C) -- 1.9% Barclays 2.070%, dated 11/30/04, to be repurchased on 12/01/04, repurchase price $11,633,993 (collateralized by various U.S. Government Obligations, ranging in par value $537,395- $7,879,698, 1.625%-7.000%, 04/15/05-03/15/10; with total market value $11,866,230) $11,633 $ 11,633 Lehman Brothers 2.070%, dated 11/30/04, to be repurchased on 12/01/04, repurchase price $3,414,732 (collateralized by various U.S. Government Obligations, ranging in par value $112,417- $232,294, 0.000%-6.700%, 09/13/05-08/15/27; with total market value $3,482,928) 3,415 3,415 UBS Paine Webber 2.070%, dated 11/30/04, to be repurchased on 12/01/04, repurchase price $43,078,160 (collateralized by various U.S. Government Obligations, ranging in par value $608,575- $2,626,566, 0.000%-5.002%, 12/17/04-11/15/29; with total market value $43,937,357) 43,076 43,076 ----------- Total Repurchase Agreements (Cost $58,124) ($ Thousands) 58,124 ----------- Total Investments -- 108.2% (Cost $3,083,025) ($ Thousands) 3,311,389 ----------- OTHER ASSETS AND LIABILITIES -- (8.2)% Payable upon Return on Securities Loaned (258,264) Payable for Investment Securities Purchased (30,077) Payable for Capital Shares Redeemed (6,340) Investment Advisory Fees Payable (715) Trustees' Fees Payable (10) Other Assets and Liabilities, Net 44,529 ----------- Total Other Assets and Liabilities (250,877) ----------- Net Assets -- 100.0% $ 3,060,512 =========== -------------------------------------------------------------------------------- Value Description ($ Thousands) -------------------------------------------------------------------------------- NET ASSETS: Paid-in-Capital (unlimited authorization -- no par value) $ 2,823,074 Undistributed net investment income 14,110 Accumulated net realized loss on investments and futures contracts (8,689) Net unrealized appreciation on investments 228,364 Net unrealized appreciation on futures contracts 3,653 ----------- Net Assets $ 3,060,512 =========== Net Asset Value, Offering and Redemption Price Per Share -- Class A ($3,060,511,781 / 25,930,567 shares) $118.03 ======= * Non-income producing security. + Real Estate Investment Trust ++ See Note 3 in Notes to Financial Statements. (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. The rate reported is the effective yield at time of purchase. (B) This security or a partial position of this security is on loan at November 30, 2004 (see Note 9). The total value of securities on loan at November 30, 2004 was $250,660,640. (C) This security was purchased with cash collateral held from securities lending (see Note 9). The total value of such securities as of November 30, 2004 was $258,264,487. (D) The rate reported is the effective yield at time of purchase. (E) Variable Rate Security -- The rate reported on the Statement of Net Assets is the rate in effect as of November 30, 2004. Cl -- Class MTN -- Medium Term Note Ser -- Series Amounts designated as "--" are zero or have been rounded to zero. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 15 -------------------------------------------------------------------------------- STATEMENT OF NET ASSETS (Unaudited) LARGE CAP INDEX FUND November 30, 2004 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)**: [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] 25.9% Financials 13.7% Information Technology 11.0% Health Care 10.5% Consumer Discretionary 9.5% Industrials 7.8% Consumer Staples 6.1% Energy 4.9% Short-Term Investments 2.8% Materials 2.8% Utilities 2.7% Telecommunication Services 2.1% Asset-Backed Securities 0.2% U.S. Treasury Obligations ** Percentages based on total investments. -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- COMMON STOCK -- 98.4% CONSUMER DISCRETIONARY -- 12.2% 7-Eleven* 577 $ 14 Abercrombie & Fitch, Cl A 2,544 116 Advance Auto Parts* 1,992 82 Amazon.Com (B)* 7,726 307 American Axle & Manufacturing Holdings 1,157 34 American Eagle Outfitters* 1,425 60 AnnTaylor Stores* 1,847 41 Applebees International (B) 2,175 56 Autoliv 2,483 116 Autonation* 4,490 83 Autozone* 1,448 124 Barnes & Noble* 1,422 38 Bed Bath & Beyond* 7,817 312 Belo, Cl A 2,660 67 Best Buy 7,000 395 Big Lots* 2,988 35 Black & Decker 2,069 174 Blockbuster, Cl A 4,725 40 Borders Group 2,009 46 BorgWarner 1,422 71 Brinker International* 2,310 79 Brunswick 2,484 121 Cabela's, Cl A (B)* 211 5 Cablevision Systems, Cl A* 4,492 96 Caesars Entertainment* 8,228 155 Carmax* 2,619 73 Centex 3,293 173 Cheesecake Factory (B)* 1,364 67 Chico's FAS (B)* 2,402 93 Choice Hotels International 522 27 Circuit City Stores 5,249 82 Citadel Broadcasting* 1,300 20 Claire's Stores 2,327 47 Clear Channel Communications 13,090 441 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Coach* 4,881 $ 243 Columbia Sportswear (B)* 438 25 Comcast, Cl A* 56,092 1,685 COX Communications, Cl A* 6,039 209 COX Radio, Cl A* 916 15 Dana 4,058 66 Darden Restaurants 4,118 112 Delphi 12,843 116 Dex Media* 1,263 30 Dillard's, Cl A 1,675 42 DIRECTV Group* 16,929 271 Dollar General 7,622 151 Dollar Tree Stores* 2,874 80 Dow Jones 1,547 66 DR Horton (B) 6,037 213 E.W. Scripps, Cl A 1,628 76 Eastman Kodak 7,608 249 eBay (B)* 13,599 1,529 EchoStar Communications, Cl A* 6,024 198 Entercom Communications* 982 35 Family Dollar Stores 3,872 113 Federated Department Stores 4,687 257 Foot Locker 4,012 104 Ford Motor (B) 46,381 658 Fortune Brands 3,804 299 Fossil* 1,098 30 Fox Entertainment Group, Cl A* 5,016 147 Gannett 6,734 555 Gap 16,416 359 Gemstar-TV Guide International* 6,756 37 General Motors (B) 12,081 466 Gentex (B) 1,966 64 Genuine Parts 4,645 202 Getty Images (B)* 1,183 69 GTECH Holdings 3,078 74 Harley-Davidson 7,699 445 Harman International Industries 1,568 193 Harrah's Entertainment (B) 2,977 183 Harte-Hanks 1,489 38 Hasbro 3,967 75 Hearst-Argyle Television 863 22 Hilton Hotels 9,927 205 Home Depot 58,756 2,453 Hovnanian Enterprises, Cl A (B)* 932 38 IAC/InterActive* 8,786 217 International Game Technology (B) 9,239 327 International Speedway, Cl A 912 45 Interpublic Group (B)* 11,236 139 JC Penney 6,457 249 John Wiley & Sons, Cl A 1,242 41 Johnson Controls 5,030 309 Jones Apparel Group 3,394 121 KB Home 944 83 -------------------------------------------------------------------------------- 16 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Kmart Holding (B)* 1,211 $ 125 Knight-Ridder 2,106 143 Kohl's* 7,820 361 Lamar Advertising, Cl A* 2,140 84 Lear 1,825 106 Lee Enterprises 1,187 57 Leggett & Platt 5,136 153 Lennar, Cl A (B) 3,522 158 Liberty Media International, Cl A (B)* 4,326 186 Liberty Media, Cl A* 71,072 734 Limited (B) 10,976 268 Liz Claiborne 2,982 122 Lowe's (B) 20,576 1,138 Mandalay Resort Group 1,809 126 Marriott International, Cl A 5,104 290 Marvel Enterprises (B)* 1,806 33 Mattel 11,237 213 May Department Stores 7,707 217 Maytag (B) 2,001 40 McClatchy, Cl A 474 33 McDonald's 32,946 1,013 McGraw-Hill 5,058 444 MDC Holdings 628 48 Media General, Cl A 601 37 Meredith 966 51 Metro-Goldwyn-Mayer 1,609 19 MGM Mirage* 1,577 92 Michaels Stores 3,502 96 Mohawk Industries* 1,339 117 MSC Industrial Direct, Cl A 844 30 Neiman-Marcus Group, Cl A 1,125 73 New York Times, Cl A 3,902 160 Newell Rubbermaid 7,103 164 Nike, Cl B 4,254 360 Nordstrom 2,901 127 NTL* 1,782 124 NVR (B)* 140 97 O'Reilly Automotive (B)* 1,253 55 Office Depot* 8,267 136 OfficeMax 2,305 70 Omnicom Group 4,997 405 Outback Steakhouse 1,717 74 Pacific Sunwear of California 2,085 46 Petco Animal Supplies* 1,125 41 Petsmart (B) 3,701 127 Pier 1 Imports 2,316 42 Polaris Industries 1,080 71 Polo Ralph Lauren 1,046 41 Pulte Homes (B) 2,808 155 Radio One, Cl D* 2,020 28 RadioShack 4,223 133 Reebok International 1,387 54 Regal Entertainment Group, Cl A 1,188 25 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Regis 1,185 $ 53 Rent-A-Center* 1,780 45 Ross Stores 4,063 109 Ruby Tuesday 1,765 49 Ryland Group 603 61 Saks 3,536 49 Sears Roebuck 5,639 293 Sherwin-Williams 3,073 137 Sirius Satellite Radio (B)* 32,524 216 Snap-On 1,491 47 Standard-Pacific 917 51 Stanley Works 1,822 85 Staples 12,961 414 Starbucks (B)* 10,455 588 Starwood Hotels & Resorts Worldwide 5,376 281 Station Casinos 1,118 64 Talbots 413 12 Target 23,899 1,224 Tiffany (B) 3,781 116 Timberland, Cl A* 573 36 Time Warner (B)* 114,922 2,035 TJX 13,146 309 Toll Brothers* 1,292 66 Toys "R" Us* 5,492 106 Tribune 6,584 286 TRW Automotive Holdings* 600 13 UnitedGlobalCom, Cl A* 9,177 76 Univision Communications, Cl A (B)* 6,130 184 Urban Outfitters* 1,200 51 VF 2,274 123 Viacom, Cl B 39,369 1,366 Walt Disney 53,735 1,444 Washington Post, Cl B 147 138 Wendy's International 2,927 104 Westwood One* 1,983 44 Whirlpool 1,830 118 Williams-Sonoma (B)* 2,421 89 Wynn Resorts (B)* 862 50 XM Satellite Radio Holdings, Cl A (B)* 4,125 152 Yum! Brands 7,660 348 --------- 37,892 --------- CONSUMER STAPLES -- 9.0% Adolph Coors, Cl B 695 52 Alberto-Culver 1,824 84 Albertson's (B) 9,553 242 Altria Group (B) 53,759 3,091 Anheuser-Busch 21,164 1,060 Aramark, Cl B 2,678 70 Archer-Daniels-Midland 15,137 321 Avon Products 12,317 462 BJ's Wholesale Club* 1,872 56 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 17 -------------------------------------------------------------------------------- STATEMENT OF NET ASSETS (Unaudited) LARGE CAP INDEX FUND (Continued) November 30, 2004 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Brown-Forman, Cl B 1,464 $ 70 Campbell Soup 6,139 175 Church & Dwight 1,632 51 Clorox 3,979 219 Coca-Cola 55,270 2,173 Coca-Cola Enterprises 6,205 129 Colgate-Palmolive 13,903 639 ConAgra Foods 13,955 378 Constellation Brands, Cl A* 2,334 104 Costco Wholesale (B) 12,105 588 CVS 10,492 476 Dean Foods* 3,878 123 Del Monte Foods* 4,825 52 Energizer Holdings (B)* 2,140 100 Estee Lauder, Cl A 2,877 126 General Mills 7,551 344 Gillette 26,259 1,142 Hershey Foods 4,592 238 HJ Heinz 9,171 341 Hormel Foods 1,939 59 JM Smucker 1,457 66 Kellogg 6,460 282 Kimberly-Clark 13,203 840 Kraft Foods, Cl A (B) 6,921 237 Kroger* 19,195 311 Loews--Carolina Group 1,511 44 McCormick 3,539 129 NBTY* 1,511 39 Pepsi Bottling Group 4,098 115 PepsiAmericas 1,912 40 PepsiCo 44,732 2,233 Pilgrim's Pride (B) 351 12 Procter & Gamble 67,394 3,604 Reynolds American (B) 3,976 301 Rite Aid* 11,114 41 Safeway* 11,832 228 Sara Lee 20,615 484 Smithfield Foods* 2,275 66 Supervalu 3,646 115 Sysco (B) 16,864 586 Tootsie Roll Industries 607 19 Tyson Foods, Cl A 5,884 96 UST (B) 4,283 189 Wal-Mart Stores (B) 67,240 3,501 Walgreen 26,805 1,023 Whole Foods Market 1,593 145 Wm. Wrigley Jr 4,159 286 --------- 27,997 --------- ENERGY -- 7.0% Amerada Hess 2,035 181 Anadarko Petroleum 6,652 463 Apache 8,589 464 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Ashland 1,813 $ 107 Baker Hughes (B) 8,675 385 BJ Services (B)* 4,171 211 Burlington Resources 10,349 480 Chesapeake Energy (B) 6,852 123 ChevronTexaco 56,099 3,063 ConocoPhillips 17,962 1,634 Cooper Cameron* 1,400 73 Devon Energy 12,510 518 Diamond Offshore Drilling (B) 1,595 60 El Paso* 16,754 175 ENSCO International 3,882 122 EOG Resources 3,098 233 Exxon Mobil 171,547 8,792 FMC Technologies* 1,780 59 Grant Prideco* 3,347 72 Halliburton 11,624 481 Kerr-McGee (B) 3,520 219 Kinder Morgan 2,554 177 Marathon Oil 8,991 355 Murphy Oil (B) 2,151 184 National-Oilwell (B)* 2,235 81 Newfield Exploration* 1,681 106 Noble Energy 1,480 94 NRG Energy* 2,069 66 Occidental Petroleum 10,315 621 Patina Oil & Gas 1,902 63 Patterson-UTI Energy (B) 4,357 87 Pioneer Natural Resources 3,851 136 Pogo Producing 1,669 84 Premcor* 1,048 47 Pride International (B)* 2,881 56 Rowan (B)* 2,759 71 Smith International (B)* 2,698 163 Sunoco 2,019 167 Tidewater 1,642 56 Unocal 6,981 321 Valero Energy 6,819 319 Varco International* 2,589 77 Western Gas Resources 1,449 45 Williams 14,784 246 XTO Energy 6,794 247 --------- 21,784 --------- FINANCIALS -- 21.1% A.G. Edwards 2,109 82 Aflac 13,274 499 Alleghany* 126 36 Allied Capital (B) 3,486 96 Allmerica Financial* 1,453 47 Allstate 18,377 928 AMB Property+ 2,144 86 AMBAC Financial Group 2,812 229 -------------------------------------------------------------------------------- 18 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- American Capital Strategies (B) 2,343 $ 75 American Express (B) 29,553 1,646 American Financial Group 915 29 American International Group 60,246 3,817 American National Insurance 222 23 AmeriCredit* 4,028 84 Ameritrade Holding* 6,243 87 AmSouth Bancorp 9,148 237 Annaly Mortgage Management (B)+ 3,111 62 AON 8,174 173 Apartment Investment & Management, Cl A+ 2,441 89 Archstone-Smith Trust+ 5,064 185 Arden Realty+ 1,731 62 Arthur J Gallagher 2,468 76 Associated Banc (B) 3,432 114 Assurant 2,000 60 Astoria Financial 2,028 84 AvalonBay Communities+ 1,840 131 Bank of America 106,927 4,948 Bank of Hawaii 1,456 71 Bank of New York 20,495 674 Banknorth Group 4,453 160 BB&T (B) 14,626 621 Bear Stearns 2,782 271 BlackRock, Cl A 485 36 BOK Financial* 475 23 Boston Properties+ 2,183 131 BRE Properties, Cl A+ 1,320 54 Brown & Brown 1,412 57 Camden Property Trust+ 1,056 52 Capital One Financial 6,256 492 CapitalSource (B)* 1,787 41 Capitol Federal Financial 527 19 Catellus Development+ 2,709 85 CBL & Associates Properties+ 603 44 Centerpoint Properties Trust+ 1,166 55 Charles Schwab 25,889 279 Chicago Mercantile Exchange (B) 882 173 Chubb 5,013 382 Cincinnati Financial 3,963 178 CIT Group 5,626 241 Citigroup 135,629 6,069 City National 1,098 75 CNA Financial* 745 19 Colonial BancGroup (B) 3,647 77 Comerica 4,587 282 Commerce Bancorp (B) 1,769 111 Commerce Bancshares 1,663 81 Compass Bancshares 3,162 147 Conseco* 3,877 74 Countrywide Financial 14,586 484 Crescent Real Estate Equity+ 2,004 36 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Cullen/Frost Bankers 1,409 $ 68 Developers Diversified Realty+ 2,668 115 Doral Financial 2,226 103 Duke Realty+ 3,658 126 E*Trade Financial* 9,392 130 Eaton Vance 1,849 89 Equity Office Properties Trust+ 10,500 288 Equity Residential+ 7,276 245 Erie Indemnity, Cl A 747 39 Fannie Mae (B) 25,384 1,744 Federal Realty Investment Trust+ 1,375 69 Federated Investors, Cl B 2,158 63 Fidelity National Financial 4,159 178 Fifth Third Bancorp 12,665 638 First American 2,055 68 First Horizon National 3,312 145 First Marblehead* 405 23 FirstMerit (B) 2,232 61 Forest City Enterprises, Cl A 784 42 Franklin Resources 4,146 272 Freddie Mac 18,020 1,230 Fremont General 1,743 41 Friedman Billings Ramsey Group, Cl A+ 3,635 70 Fulton Financial 3,197 72 General Growth Properties+ 5,798 199 Genworth Financial, Cl A (B) 3,700 97 Golden West Financial 3,294 393 Goldman Sachs Group 8,556 896 Hartford Financial Services Group (B) 7,709 493 HCC Insurance Holdings 1,735 58 Health Care Property Investors+ 3,489 94 Health Care+ 1,383 49 Hibernia, Cl A 3,985 115 Hospitality Properties Trust (B)+ 1,766 79 Host Marriott+* 8,936 140 HRPT Properties Trust+ 4,641 56 Hudson City Bancorp 1,681 68 Hudson United Bancorp 1,222 50 Huntington Bancshares 5,924 144 Independence Community Bank 2,152 91 IndyMac Bancorp 1,599 52 Instinet Group* 3,479 21 International Bancshares 949 38 Investors Financial Services 1,755 77 iStar Financial+ 2,954 130 Janus Capital Group 6,120 101 Jefferies Group 1,357 55 Jefferson-Pilot 3,722 183 JPMorgan Chase 93,418 3,517 Keycorp 10,685 356 Kimco Realty+ 2,503 142 Legg Mason 2,570 175 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 19 -------------------------------------------------------------------------------- STATEMENT OF NET ASSETS (Unaudited) LARGE CAP INDEX FUND (Continued) November 30, 2004 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Lehman Brothers Holdings 7,301 $ 612 Leucadia National* 1,397 88 Liberty Property Trust (B)+ 2,155 88 Lincoln National 4,520 208 Loews 3,944 276 M&T Bank 2,007 212 Macerich+ 1,544 94 Mack-Cali Realty+ 1,598 70 Markel* 228 73 Marsh & McLennan 13,665 391 Marshall & Ilsley 5,768 240 MBIA (B) 3,746 225 MBNA 29,691 789 Mellon Financial 11,050 323 Mercantile Bankshares 2,024 104 Mercury General 696 39 Merrill Lynch 25,086 1,398 Metlife 10,615 414 MGIC Investment (B) 2,558 174 Mills+ 1,412 84 MoneyGram International* 2,406 51 Moody's 3,333 269 Morgan Stanley 28,783 1,461 National City 15,514 575 Nationwide Financial Services, Cl A 1,461 55 New Plan Excel Realty Trust+ 2,695 71 New York Community Bancorp (B) 6,826 135 NewAlliance Bancshares* 2,493 37 North Fork Bancorporation 11,317 326 Northern Trust 5,067 238 Nuveen Investments, Cl A 499 18 Odyssey Re Holdings (B) 384 9 Old Republic International 4,791 120 Pan Pacific Retail Properties+ 1,011 60 Peoples Bank Bridgeport 1,059 42 Plum Creek Timber+ 4,889 181 PMI Group 2,456 101 PNC Financial Services Group 7,350 400 Popular 6,886 182 Principal Financial Group 8,302 313 Progressive 5,286 481 Prologis 4,693 189 Protective Life 1,809 76 Providian Financial* 7,745 124 Prudential Financial 13,916 681 Public Storage+ 2,106 112 Radian Group 2,526 129 Raymond James Financial 1,719 51 Rayonier+ 1,342 64 Reckson Associates Realty+ 2,091 68 Regency Centers+ 1,590 83 Regions Financial 12,135 425 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Reinsurance Group of America 799 $ 37 Safeco (B) 3,390 164 SEI Investments (F) 1,723 67 Shurgard Storage Centers, Cl A+ 1,246 52 Simon Property Group+ 4,383 272 Sky Financial Group 2,605 75 SL Green Realty+ 1,032 59 SLM (B) 11,578 592 South Financial Group 1,800 57 Sovereign Bancorp 8,880 194 St. Joe 1,444 79 St. Paul Travelers 17,588 642 Stancorp Financial Group 796 63 State Street 8,755 390 Student Loan 102 18 SunTrust Banks 8,641 616 Synovus Financial 8,099 219 T Rowe Price Group 2,809 166 TCF Financial 3,626 112 Thornburg Mortgage (B)+ 2,443 70 Torchmark 2,971 163 Transatlantic Holdings 655 38 Trizec Properties+ 2,349 39 UCBH Holdings 1,211 55 UnionBanCal 1,447 89 United Dominion Realty Trust+ 3,249 75 Unitrin 1,260 60 UnumProvident (B) 7,743 121 US Bancorp 49,630 1,471 Valley National Bancorp 2,559 72 Ventas+ 2,210 60 Vornado Realty Trust+ 2,520 185 W Holding 1,967 43 Wachovia 42,212 2,184 Waddell & Reed Financial, Cl A 2,170 49 Washington Federal 2,058 56 Washington Mutual 22,777 927 Webster Financial 1,323 66 Weingarten Realty Investors+ 1,911 78 Wells Fargo 44,231 2,732 Wesco Financial 41 16 Westcorp 532 22 WFS Financial* 207 10 Whitney Holding 1,014 47 Wilmington Trust 1,663 60 WR Berkley 1,828 83 Zions Bancorporation 2,312 154 --------- 65,295 --------- HEALTH CARE -- 12.7% Abbott Laboratories 40,853 1,714 Accredo Health (B)* 1,167 32 Aetna 4,023 477 -------------------------------------------------------------------------------- 20 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Affymetrix (B)* 1,499 $ 51 Allergan 3,413 251 American Pharmaceutical Partners (B)* 436 13 AmerisourceBergen 2,903 171 Amgen* 33,948 2,038 Amylin Pharmaceuticals (B)* 2,423 49 Andrx* 1,901 34 Applera - Applied Biosystems Group 5,435 111 Barr Pharmaceuticals* 2,257 88 Bausch & Lomb 1,368 81 Baxter International 16,151 511 Beckman Coulter 1,626 106 Becton Dickinson 6,696 367 Biogen Idec* 8,868 520 Biomet 6,620 317 Boston Scientific* 17,274 601 Bristol-Myers Squibb (B) 50,888 1,196 Cardinal Health 11,352 593 Caremark Rx* 12,248 438 Celgene* 4,264 117 Cephalon (B)* 1,448 69 Charles River Laboratories International* 1,575 74 Chiron (B)* 2,933 95 Cigna 3,530 247 Community Health Systems* 1,724 48 Cooper 866 60 Covance* 1,658 65 Coventry Health Care* 2,379 118 CR Bard 2,696 161 Cytyc* 2,903 78 Dade Behring Holdings* 1,121 60 DaVita* 2,577 86 Dentsply International 2,108 111 Edwards Lifesciences* 1,507 57 Eli Lilly 25,521 1,361 Endo Pharmaceuticals Holdings* 1,297 27 Eon Labs* 765 21 Express Scripts* 1,763 127 Eyetech Pharmaceuticals* 216 9 Fisher Scientific International* 2,905 164 Forest Laboratories* 9,593 374 Gen-Probe* 1,327 53 Genentech* 11,579 559 Genzyme* 5,897 330 Gilead Sciences* 11,170 385 Guidant 8,277 537 HCA (B) 12,123 478 Health Management Associates, Cl A (B) 6,414 142 Health Net* 2,930 80 Henry Schein* 1,146 75 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Hillenbrand Industries 1,424 $ 78 Hospira* 4,189 135 Humana* 4,363 108 ICOS* 1,404 34 Idexx Laboratories* 949 49 ImClone Systems* 1,697 72 IMS Health 6,068 137 Inamed* 954 51 Invitrogen (B)* 1,370 83 IVAX* 4,803 75 Johnson & Johnson 77,844 4,696 Kinetic Concepts* 685 43 King Pharmaceuticals* 6,419 80 Laboratory of America Holdings* 3,653 175 Lincare Holdings (B)* 2,570 99 Manor Care (B) 2,420 83 Martek Biosciences* 700 27 McKesson 7,559 223 Medco Health Solutions* 7,034 265 Medicis Pharmaceutical, Cl A 1,472 54 Medimmune* 6,431 171 Medtronic 31,744 1,525 Merck 58,415 1,637 Mettler Toledo International* 1,136 59 MGI Pharma* 1,916 52 Millennium Pharmaceuticals* 7,816 99 Millipore* 1,286 63 Mylan Laboratories (B) 6,905 125 Nektar Therapeutics* 1,996 37 Neurocrine Biosciences* 952 44 Omnicare 2,725 88 OSI Pharmaceuticals* 1,361 65 Pacificare Health Systems* 2,216 107 Patterson (B)* 3,282 134 PerkinElmer 3,334 71 Pfizer 200,107 5,557 Pharmaceutical Product Development* 1,323 56 Protein Design Labs* 2,430 44 Quest Diagnostics 2,167 203 Renal Care Group* 1,843 61 Resmed* 900 45 Respironics (B)* 920 51 Schering-Plough 38,457 686 Sepracor (B)* 2,824 126 St. Jude Medical* 9,170 350 Stryker 7,560 333 Tenet Healthcare* 12,466 135 Thermo Electron* 4,263 129 Triad Hospitals* 1,951 72 UnitedHealth Group 17,482 1,448 Universal Health Services, Cl B 1,333 61 Varian Medical Systems* 3,630 153 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 21 -------------------------------------------------------------------------------- STATEMENT OF NET ASSETS (Unaudited) LARGE CAP INDEX FUND (Continued) November 30, 2004 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- VCA Antech* 1,747 $ 32 Waters* 3,083 144 Watson Pharmaceuticals* 2,792 81 WellChoice* 540 26 WellPoint (B)* 3,667 372 WellPoint Health Networks* 4,107 514 Wyeth 34,912 1,392 Zimmer Holdings* 6,368 520 --------- 39,362 --------- INDUSTRIALS -- 10.8% 3M 20,484 1,630 Adesa* 2,372 47 AGCO* 2,394 52 Alliant Techsystems* 971 64 Allied Waste Industries (B)* 7,205 65 American Power Conversion 4,535 96 American Standard* 4,948 193 Ametek 1,765 58 AMR (B)* 4,400 40 Apollo Group, Cl A (B)* 4,000 319 Avery Dennison 2,860 168 BearingPoint* 3,976 35 Boeing (B) 22,067 1,182 Briggs & Stratton 1,268 50 Brink's 1,538 59 Burlington Northern Santa Fe 9,799 441 Career Education* 2,595 101 Carlisle 833 50 Caterpillar 8,939 818 Cendant 26,901 610 CH Robinson Worldwide 2,184 117 ChoicePoint* 2,271 100 Cintas 3,301 148 CNF 1,323 62 Copart* 1,813 39 Corinthian Colleges (B)* 2,548 44 Corporate Executive Board 979 66 Crane 1,288 39 CSX 5,553 212 Cummins 1,102 88 Danaher (B) 6,164 351 Deere 6,573 471 Deluxe 1,372 54 DeVry* 1,480 25 Donaldson 1,972 61 Dover 5,400 218 Dun & Bradstreet* 1,915 114 Eaton 3,992 269 Education Management* 1,856 61 Emerson Electric 11,115 743 Equifax 3,306 91 Expeditors International Washington 2,792 149 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Fastenal 1,599 $ 98 FedEx 7,807 742 Fluor (B) 2,175 113 General Dynamics 5,251 569 General Electric 276,852 9,789 Goodrich 3,015 96 Graco 1,824 67 H&R Block (B) 4,288 205 Harsco 1,136 60 Herman Miller 1,893 46 Hewitt Associates, Cl A* 963 29 HNI 1,500 64 Honeywell International 22,630 800 Hubbell, Cl B 1,592 77 Hughes Supply 1,823 60 IKON Office Solutions 3,176 36 Illinois Tool Works 6,981 658 Iron Mountain* 2,868 86 ITT Educational Services (B)* 1,221 58 ITT Industries 2,400 204 Jacobs Engineering Group* 1,431 66 JB Hunt Transport Services 1,460 59 JetBlue Airways (B)* 2,396 58 L-3 Communications Holdings 2,756 205 Lafarge North America 839 42 Laureate Education* 989 39 Lockheed Martin 9,884 601 Manpower 2,420 117 Masco 11,412 402 Monster Worldwide (B)* 2,581 73 Navistar International (B)* 1,607 66 Norfolk Southern 10,376 356 Northrop Grumman 9,476 534 Oshkosh Truck 949 60 Paccar 4,642 363 Pall 3,258 88 Parker Hannifin 3,097 232 Pentair 2,555 102 Pitney Bowes 6,007 263 Precision Castparts 1,655 107 Raytheon 11,760 474 Republic Services 4,142 130 Robert Half International 3,862 104 Rockwell Automation 4,817 228 Rockwell Collins 4,585 183 Roper Industries 1,000 62 RR Donnelley & Sons 5,623 195 Ryder System 1,706 91 Service International* 9,307 66 ServiceMaster 7,440 98 Sirva* 500 10 Southwest Airlines 20,561 323 SPX (B) 2,065 85 Steelcase, Cl A 1,403 19 -------------------------------------------------------------------------------- 22 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Stericycle* 1,113 $ 46 Teleflex 940 47 Textron 3,149 229 Timken 1,729 45 Union Pacific 6,847 434 United Defense Industries* 1,250 57 United Parcel Service, Cl B 14,959 1,259 United Technologies 13,455 1,313 Viad 526 13 W.W. Grainger 1,972 122 Waste Management 15,137 451 Weight Watchers International (B)* 1,046 41 Yellow Roadway (B)* 1,278 68 --------- 33,483 --------- INFORMATION TECHNOLOGY -- 15.9% 3Com* 10,696 47 Activision* 3,608 57 Acxiom (B) 2,006 51 ADC Telecommunications* 20,774 49 Adobe Systems 6,314 382 Adtran 1,731 39 Advanced Fibre Communication* 2,396 39 Advanced Micro Devices (B)* 9,365 199 Affiliated Computer Services, Cl A* 3,182 188 Agere Systems, Cl B (B)* 46,141 63 Agilent Technologies* 12,499 286 Akamai Technologies* 2,918 38 Alliance Data Systems (B)* 1,210 52 Altera* 9,953 226 American Tower, Cl A (B)* 5,568 101 Amkor Technology* 2,401 13 Amphenol, Cl A* 1,808 63 Analog Devices 9,929 367 Andrew* 4,379 62 Apple Computer* 9,925 665 Applied Materials* 44,415 739 Applied Micro Circuits* 7,514 28 Arrow Electronics* 2,989 73 Ask Jeeves* 1,596 41 Atmel* 10,166 36 Autodesk 3,130 205 Automatic Data Processing 15,426 702 Avaya (B)* 10,383 170 Avid Technology* 872 50 Avnet* 3,029 56 Avocent* 1,366 52 AVX 1,424 18 BEA Systems (B)* 9,519 77 BMC Software* 5,759 107 Broadcom, Cl A* 6,607 215 Cadence Design Systems (B)* 7,207 99 CDW 1,653 109 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Ceridian* 3,775 $ 71 Certegy 1,663 57 Checkfree* 2,154 80 Ciena* 14,989 38 Cisco Systems* 177,257 3,316 Citrix Systems* 4,450 105 Cognizant Technology Solutions, Cl A* 3,479 133 Computer Associates International (B) 12,331 376 Computer Sciences* 4,870 263 Compuware* 10,463 60 Comverse Technology (B)* 5,089 108 Conexant Systems* 11,207 22 Convergys* 3,669 55 Corning (B)* 36,224 456 Cree (B)* 1,922 69 Cypress Semiconductor* 3,108 31 Dell* 66,354 2,689 Diebold 1,922 102 DST Systems (B)* 1,913 93 Electronic Arts (B)* 7,791 381 Electronic Data Systems 13,217 297 EMC* 63,271 849 Fair Isaac 1,942 64 Fairchild Semiconductor International* 3,040 46 First Data 22,820 938 Fiserv* 5,048 194 Flir Systems* 888 50 Foundry Networks* 3,169 42 Freescale Semiconductor (B)* 3,591 63 Global Payments 777 43 Google, Cl A (B)* 500 91 Harris 1,720 114 Hewlett-Packard 79,919 1,598 Ingram Micro, Cl A (B)* 3,159 61 Integrated Circuit Systems* 1,909 45 Intel (B) 169,584 3,790 International Business Machines 44,191 4,165 International Rectifier* 1,804 76 Intersil, Cl A 3,810 61 Intuit* 4,572 191 Jabil Circuit* 4,261 107 Jack Henry & Associates 1,946 38 JDS Uniphase (B)* 36,420 115 Juniper Networks (B)* 14,013 386 Kla-Tencor (B)* 5,095 230 Lam Research (B)* 3,525 92 Lexmark International, Cl A* 3,437 292 Linear Technology 8,186 312 LSI Logic* 10,368 55 Lucent Technologies (B)* 113,222 445 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 23 -------------------------------------------------------------------------------- STATEMENT OF NET ASSETS (Unaudited) LARGE CAP INDEX FUND (Continued) November 30, 2004 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Macromedia* 1,831 $ 52 Maxim Integrated Products 8,507 348 Maxtor* 6,334 24 McAfee* 4,210 122 MEMC Electronic Materials* 1,738 18 Mercury Interactive (B)* 2,194 100 Microchip Technology 5,556 157 Micron Technology (B)* 14,971 166 Microsoft 240,643 6,452 Molex (B) 3,534 97 Motorola (B) 61,349 1,182 National Instruments 1,436 41 National Semiconductor* 9,599 148 NAVTEQ* 1,100 47 NCR* 2,487 149 NetFlix (B)* 800 9 Network Appliance* 8,087 244 Novell (B)* 10,248 63 Novellus Systems* 3,630 98 Nvidia (B)* 4,266 82 Oracle* 98,857 1,252 Paychex 8,753 290 Peoplesoft (B)* 8,603 203 Pixar* 643 58 Plantronics 1,277 53 PMC - Sierra (B)* 4,905 54 Polycom* 2,531 58 QLogic* 2,442 84 Qualcomm 42,444 1,767 Rambus* 2,168 50 Red Hat (B)* 4,349 63 Reynolds & Reynolds, Cl A 1,637 39 Sabre Holdings, Cl A 3,580 83 Sandisk (B)* 4,142 94 Sanmina-SCI* 14,017 124 Scientific-Atlanta 4,049 120 Semtech* 2,053 42 Siebel Systems* 11,132 112 Silicon Laboratories* 981 30 Solectron* 24,097 151 Spectrasite* 1,049 61 Storage Technology* 2,870 84 Sun Microsystems* 87,857 488 Sungard Data Systems* 7,724 205 Sybase* 2,689 46 Symantec* 8,119 518 Symbol Technologies 6,355 96 Synopsys* 3,901 69 Tech Data* 1,550 70 Tektronix 2,433 76 Tellabs* 10,726 92 Teradyne* 5,201 89 Texas Instruments 45,299 1,095 TIBCO Software* 5,516 63 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Total System Services 969 $ 25 Unisys* 8,532 98 Utstarcom (B)* 2,346 46 VeriSign* 6,410 211 Veritas Software* 11,356 249 Vishay Intertechnology (B)* 3,873 57 WebMD (B)* 7,875 57 Western Digital* 5,568 54 Xerox (B)* 21,191 325 Xilinx 8,958 280 Yahoo! (B)* 29,956 1,127 Zebra Technologies, Cl A* 1,467 74 --------- 49,100 --------- MATERIALS -- 3.2% Air Products & Chemicals 5,915 339 Alcoa 22,901 778 Arch Coal 1,693 65 Ball 2,898 130 Bemis 2,774 77 Bowater 1,478 60 Cabot 1,673 63 Consol Energy 2,360 101 Dow Chemical 24,504 1,237 E.I. Du Pont de Nemours 26,179 1,186 Eastman Chemical 1,983 108 Ecolab 4,921 172 Engelhard 3,190 95 Florida Rock Industries 765 43 Freeport-McMoRan Copper & Gold, Cl B (B) 4,027 157 Georgia-Pacific 6,619 242 International Flavors & Fragrances 2,222 90 International Paper (B) 12,790 531 International Steel Group* 400 16 Louisiana-Pacific 2,846 70 Lubrizol 1,801 62 Lyondell Chemical (B) 5,227 147 Martin Marietta Materials 1,252 63 Massey Energy (B) 2,013 71 MeadWestvaco 5,375 181 Monsanto 6,902 318 Newmont Mining 10,618 503 Nucor (B) 4,138 219 Owens-Illinois* 2,757 58 Packaging of America 1,499 34 Pactiv* 4,132 103 Peabody Energy 1,714 142 Phelps Dodge 2,483 241 PPG Industries 4,543 306 Praxair 8,463 380 Rohm & Haas 4,141 183 RPM International 2,969 55 -------------------------------------------------------------------------------- 24 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Scotts, Cl A* 527 $ 36 Sealed Air (B)* 2,268 117 Sigma-Aldrich 1,862 111 Smurfit-Stone Container* 6,703 120 Sonoco Products 2,612 74 Southern Peru Copper (B) 409 19 Temple-Inland 1,450 86 United States Steel (B) 2,914 153 Valspar 1,332 64 Vulcan Materials 2,717 141 Weyerhaeuser 6,237 412 Worthington Industries 1,629 35 --------- 9,994 --------- TELECOMMUNICATION SERVICES -- 3.2% Alltel 8,128 461 AT&T (B) 21,000 384 BellSouth 48,020 1,288 CenturyTel 3,729 123 Citizens Communications 9,015 129 Crown Castle International* 5,018 85 IDT, Cl B* 1,749 27 Level 3 Communications (B)* 18,416 63 Nextel Communications, Cl A* 26,830 764 Nextel Partners, Cl A* 3,299 60 NII Holdings* 1,510 65 Qwest Communications International* 39,623 158 SBC Communications 86,781 2,184 Sprint (B)* 37,291 851 Telephone & Data Systems 1,319 102 US Cellular* 431 19 Verizon Communications (B) 72,617 2,994 West* 498 17 Western Wireless, Cl A* 2,261 61 --------- 9,835 --------- UTILITIES -- 3.3% AES* 16,479 202 AGL Resources 2,059 68 Allegheny Energy (B)* 3,760 72 Allete 790 29 Alliant Energy 2,940 80 Ameren (B) 5,158 250 American Electric Power (B) 10,456 357 Aqua America 2,565 61 Centerpoint Energy 7,329 82 Cinergy (B) 4,785 198 Consolidated Edison 6,383 280 Constellation Energy Group 4,362 191 Dominion Resources 8,600 563 DPL (B) 3,209 77 DTE Energy (B) 4,492 197 -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Duke Energy (B) 24,123 $ 610 Dynegy, Cl A* 7,511 42 Edison International 8,642 276 Energy East 3,734 94 Entergy 6,082 394 Equitable Resources 1,656 99 Exelon 17,272 720 FirstEnergy 8,590 363 FPL Group (B) 4,884 343 Great Plains Energy 2,050 61 Hawaiian Electric Industries (B) 2,146 61 KeySpan 4,141 164 MDU Resources Group 3,121 85 National Fuel Gas 1,921 54 NiSource 7,037 153 Northeast Utilities 3,407 62 NSTAR 1,408 71 OGE Energy 2,268 59 Oneok 2,696 75 Pepco Holdings (B) 5,073 108 PG&E* 10,548 351 Pinnacle West Capital 2,464 109 PPL 5,013 260 Progress Energy (B) 6,527 287 Public Service Enterprise Group (B) 6,149 271 Puget Energy 2,661 63 Questar 2,199 112 Reliant Energy* 7,672 91 SCANA (B) 2,987 114 Sempra Energy (B) 5,455 202 Southern (B) 19,441 637 TECO Energy 5,438 81 Texas Genco Holdings 440 21 TXU (B) 7,742 486 UGI 1,376 56 Vectren 1,991 52 Westar Energy 2,292 51 Wisconsin Energy 3,140 104 WPS Resources 1,002 48 Xcel Energy (B) 10,627 192 --------- 10,189 --------- Total Common Stock (Cost $252,894) ($ Thousands) 304,931 --------- CORPORATE OBLIGATIONS (C)(E) -- 5.9% FINANCIALS -- 5.7% Allstate Life Global Funding MTN 2.090%, 11/14/05 $ 242 242 Belford Funding MTN 2.140%, 02/02/05 967 967 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 25 -------------------------------------------------------------------------------- STATEMENT OF NET ASSETS (Unaudited) LARGE CAP INDEX FUND (Concluded) November 30, 2004 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Bradford & Bingley 2.196%, 01/07/05 $ 609 $ 609 CCN Bluegrass 2.207%, 08/18/05 725 725 CIT Group 1.870%, 12/01/04 580 580 Countrywide Home Loans MTN, Ser L 2.435%, 02/23/05 280 280 Countrywide Home Loans MTN, Ser M 2.471%, 08/26/05 290 290 2.429%, 05/20/05 193 193 2.030%, 06/23/05 387 387 Five Finance MTN 2.150%, 09/22/05 1,373 1,372 Harrier Finance Funding MTN, Ser 1 1.886%, 06/15/05 841 841 Irish Life & Permanent MTN, Ser X 2.155%, 12/22/05 899 899 Lakeside Funding 2.276%, 12/08/04 1,235 1,235 Liberty Light US Capital 2.075%, 01/14/05 483 483 2.070%, 02/09/05 483 483 Morgan Stanley, Ser EXL 2.039%, 12/04/05 193 193 Nationwide Building Society 1.953%, 10/28/05 483 483 Pacific Life Global Funding 2.090%, 11/14/05 725 725 Premium Asset Trust 2.170%, 12/15/05 1,354 1,354 SLM MTN, Cl X 2.150%, 12/20/05 1,692 1,692 Saturn Ventures 2.143%, 02/07/05 483 483 Sigma Finance MTN 1.989%, 01/04/05 580 580 U.S. Trust 2.212%, 09/12/05 967 967 Washington Mutual Bank 2.310%, 08/18/05 967 967 White Pine Finance 2.096%, 03/11/05 242 242 2.026%, 11/01/05 425 425 --------- 17,697 --------- INDUSTRIALS -- 0.2% Caterpillar MTN, Ser F 2.180%, 07/11/05 483 483 --------- Total Corporate Obligations (Cost $18,180) ($ Thousands) 18,180 --------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- COMMERCIAL PAPER (C)(D) -- 3.3% FINANCIALS -- 3.3% Broadhollow Funding 2.111%, 12/06/04 $ 725 $ 725 CPI Funding 2.121%, 12/10/04 933 933 Golden Fish 2.307%, 01/18/05 582 581 2.172%, 12/17/04 282 282 2.162%, 12/14/04 340 340 2.031%, 12/08/04 165 165 Harwood Street Funding 2.137%, 12/15/04 1,495 1,493 Household Finance 2.142%, 12/15/04 1,208 1,207 Laguna 2.141%, 12/10/04 387 387 2.140%, 12/03/04 483 483 Main Street Warehouse 2.131%, 12/07/04 193 193 2.131%, 12/08/04 193 193 2.131%, 12/09/04 967 966 Thornburg Mortgage Capital 2.152%, 12/15/04 967 966 2.151%, 12/07/04 338 338 2.150%, 12/03/04 870 870 Total Commercial Paper (Cost $10,122) ($ Thousands) 10,122 --------- ASSET-BACKED SECURITIES (C) -- 2.4% AUTOMOTIVE -- 0.1% Drivetime Auto Owner Trust 2.148%, 11/15/05 (E) 204 204 1.640%, 07/15/05 76 76 --------- 280 --------- MORTGAGE RELATED SECURITIES (E) -- 2.3% Aire Valley Mortgages 2.140%, 09/20/05 619 619 Blue Heron Funding 2.211%, 02/23/05 967 967 2.170%, 03/18/05 435 435 Cheyne High Grade 2.280%, 11/10/05 556 556 Commodore 1.970%, 12/12/38 290 290 Davis Square Funding 2.091%, 04/06/05 483 483 2.091%, 05/06/05 483 483 -------------------------------------------------------------------------------- 26 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Duke Funding 2.115%, 04/08/05 $ 483 $ 483 Harwood 2.190%, 09/20/05 1,228 1,228 Orchid Structured Finance 2.410%, 05/18/05 1,061 1,061 RMAC 2.090%, 06/12/05 435 435 Whitehawk CDO Funding 1.710%, 06/15/05 242 242 --------- 7,282 --------- Total Asset-Backed Securities (Cost $7,562) ($ Thousands) 7,562 --------- CASH EQUIVALENTS -- 2.2% Bear Stearns Master Notes (C) 966,707 967 SEI Daily Income Trust, Prime Obligation Fund, Cl A++ 5,961,896 5,962 --------- Total Cash Equivalents (Cost $6,929) ($ Thousands) 6,929 --------- U.S. TREASURY OBLIGATION -- 0.2% U.S. Treasury Bills (A) 1.652%, 12/23/04 655 654 --------- Total U.S. Treasury Obligation (Cost $654) ($ Thousands) 654 --------- REPURCHASE AGREEMENTS (C) -- 3.5% Barclays 2.070%, dated 11/30/04, to be repurchased on 12/01/04, repurchase price $2,140,944 (collateralized by various U.S. Government Obligations, ranging in par value $98,894- $1,450,060, 1.625%-7.000%, 04/15/05-03/15/10; with total market value $2,183,681) 2,141 2,141 Lehman Brothers 2.070%, dated 11/30/04, to be repurchased on 12/01/04, repurchase price $628,396 (collateralized by various U.S. Government Obligations, ranging in par value $20,688- $42,748, 0.000%-6.700%, 09/13/05-08/15/27; with total market value $640,945) 628 628 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- UBS Paine Webber 2.070%, dated 11/30/04, to be repurchased on 12/01/04, repurchase price $7,927,453 (collateralized by various U.S. Government Obligations, ranging in par value $111,993- $483,353, 0.000%-5.002%, 12/17/04-11/15/29; with total market value $8,085,567) $ 7,927 $ 7,927 --------- Total Repurchase Agreements (Cost $10,696) ($ Thousands) 10,696 --------- Total Investments -- 115.9% (Cost $307,037) ($ Thousands) 359,074 --------- OTHER ASSETS AND LIABILITIES -- (15.9)% Payable upon Return on Securities Loaned (47,527) Payable for Capital Shares Redeemed (2,816) Payable for Investment Securities Purchased (871) Investment Advisory Fees Payable (28) Trustees' Fees Payable (1) Other Assets and Liabilities, Net 2,103 --------- Total Other Assets and Liabilities (49,140) --------- Net Assets -- 100.0% $ 309,934 ========= NET ASSETS: Paid-in-Capital (unlimited authorization -- no par value) 256,693 Undistributed net investment income 1,590 Accumulated net realized loss on investments and futures contracts (729) Net unrealized appreciation on investments 52,037 Net unrealized appreciation on futures contracts 343 --------- Net Assets $ 309,934 ========= Net Asset Value, Offering and Redemption Price Per Share -- Class A ($309,933,965 / 2,976,774 shares) $104.12 ======= * Non-income producing security. + Real Estate Investment Trust ++ See Note 3 in Notes to Financial Statements. (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. The rate reported is the effective yield at time of purchase. (B) This security or a partial position of this security is on loan at November 30, 2004 (see Note 9). The total value of securities on loan at November 30, 2004 was $45,803,865. (C) This security was purchased with cash collateral held from securities lending (see Note 9). The total value of such securities as of November 30, 2004 was $47,527,090. (D) The rate reported is the effective yield at time of purchase. (E) Variable Rate Security -- The rate reported on the Statement of Net Assets is the rate in effect as of November 30, 2004. (F) The Fund may purchase securities of certain companies with which it is affiliated to the extent these companies are represented in its Index. Cl -- Class MTN -- Medium Term Note Ser -- Series The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 27 -------------------------------------------------------------------------------- STATEMENT OF NET ASSETS (Unaudited) SMALL CAP FUND November 30, 2004 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)**: [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] 25.0% Financials 15.0% Information Technology 13.6% Consumer Discretionary 12.9% Industrials 11.0% Health Care 6.7% Short-Term Investments 4.7% Energy 3.9% Materials 2.3% Asset-Backed Securities 2.0% Utilities 1.8% Consumer Staples 0.5% Telecommunication Services 0.4% Exchange Traded Fund 0.2% U.S. Treasury Obligations 0.0% Warrants 0.0% Rights ** Percentages based on total investments. -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- COMMON STOCK -- 95.6% CONSUMER DISCRETIONARY -- 15.9% 1-800 Contacts* 118,000 $ 2,418 7-Eleven* 76,100 1,796 Aaron Rents 34,100 827 Abercrombie & Fitch, Cl A 27,100 1,234 Advo 166,405 5,842 Alliance Gaming (B)* 103,400 1,250 America's Car Mart* 107,000 3,927 American Axle & Manufacturing Holdings 22,790 665 American Greetings, Cl A (B)* 114,420 3,046 AnnTaylor Stores* 39,500 867 Arctic Cat 71,800 1,918 ArvinMeritor 157,400 3,455 Aztar* 42,640 1,442 Bandag 22,900 1,142 Belo, Cl A 39,170 988 BJ's Restaurants* 26,500 396 Blue Nile (B)* 33,900 874 Bluegreen* 34,870 554 BorgWarner 12,600 631 Brinker International* 16,360 558 Brown Shoe 84,100 2,399 Buffalo Wild Wings* 13,200 437 Build-A-Bear Workshop* 72,200 2,121 Cache* 42,400 700 California Pizza Kitchen* 31,180 781 Carmike Cinemas* 30,800 1,153 Carter's* 97,600 3,426 Cato, Cl A 81,200 2,166 CellStar (B)* 152,900 558 Charming Shoppes* 177,400 1,659 Cheesecake Factory (B)* 44,600 2,180 Christopher & Banks 91,000 1,795 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Coach* 77,400 $ 3,858 Cooper Tire & Rubber 99,300 2,028 Cost Plus (B)* 94,400 3,000 CSK Auto* 85,040 1,305 Ctrip.com International, ADR (B)* 45,110 2,180 Cumulus Media, Cl A* 73,100 1,117 Dick's Sporting Goods (B)* 66,365 2,389 Dillard's, Cl A 74,200 1,868 Dollar Thrifty Automotive Group* 70,500 1,896 Dress Barn* 14,143 243 Electronics Boutique Holdings (B)* 32,500 1,266 Ethan Allen Interiors 67,700 2,671 Fairmont Hotels & Resorts 84,500 2,621 Fleetwood Enterprises* 157,700 2,137 Foot Locker 59,840 1,555 Four Seasons Hotels 25,700 1,812 Fred's (B) 36,500 633 Furniture Brands International 121,100 2,942 GameStop, Cl A (B)* 94,900 2,001 Gaylord Entertainment (B)* 54,000 1,903 Gildan Activewear, Cl A* 55,900 1,742 Global Signal+* 51,800 1,505 Group 1 Automotive* 41,200 1,216 GSI Commerce* 47,700 722 Guitar Center (B)* 42,500 2,056 Handleman 205,847 4,364 Hibbett Sporting Goods* 175,175 4,339 Hollinger International, Cl A 50,000 936 Hollywood Entertainment* 170,900 2,169 HOT Topic* 251,250 4,113 Ihop 5,400 229 Imax* 50,310 418 Jakks Pacific (B)* 31,030 578 Jarden (B)* 129,455 4,967 Jo-Ann Stores* 67,100 1,847 K2 (B)* 108,900 1,838 Kellwood 185,930 6,472 Kenneth Cole Productions, Cl A 66,200 1,954 Kerzner International* 27,500 1,567 Kimball International, Cl B 77,535 1,155 La-Z-Boy 59,600 915 Landry's Restaurants 69,520 2,054 Leapfrog Enterprises (B)* 73,100 1,023 Liberty 28,510 1,243 Lin TV, Cl A* 187,900 3,386 Lions Gate Entertainment* 468,590 5,037 Lone Star Steakhouse & Saloon 58,200 1,571 Marvel Enterprises (B)* 108,600 2,001 MDC Holdings 29,800 2,256 Mediacom Communications, Cl A (B)* 231,200 1,207 Men's Wearhouse* 33,830 1,071 -------------------------------------------------------------------------------- 28 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Meritage Homes* 31,800 $ 2,976 Movie Gallery (B) 214,740 3,743 MSC Industrial Direct, Cl A 92,635 3,300 MTR Gaming Group* 143,000 1,439 National Presto Industries 13,550 615 Nautilus Group (B) 26,170 570 Nexstar Broadcasting Group, Cl A* 110,400 922 O'Charleys* 36,300 690 O'Reilly Automotive (B)* 30,600 1,332 Panera Bread, Cl A (B)* 84,600 3,379 Papa John's International (B)* 33,800 1,202 Parkervision (B)* 127,600 951 Payless Shoesource (B)* 194,700 2,274 PEP Boys-Manny Moe & Jack 43,400 684 PF Chang's China Bistro (B)* 12,800 720 Phillips-Van Heusen 97,900 2,673 Pier 1 Imports 56,500 1,031 Polo Ralph Lauren 40,600 1,599 Pulitzer 19,400 1,234 Quiksilver (B)* 130,200 3,860 Rare Hospitality International* 75,700 2,268 Red Robin Gourmet Burgers* 46,800 2,403 Reebok International (B) 24,720 961 Regis 121,001 5,403 Rent-A-Center* 48,800 1,244 Ruby Tuesday 17,300 477 Ryan's Restaurant Group* 132,000 2,016 Ryland Group 31,200 3,162 Saks (B) 69,800 971 Scholastic* 32,600 1,074 Sharper Image* 34,740 666 Sonic* 76,250 2,224 Sonic Automotive 72,100 1,790 Sports Authority* 43,700 1,246 Standard Motor Products 51,400 801 Standard-Pacific 29,100 1,630 Starwood Hotels & Resorts Worldwide (B) 85,800 4,486 Superior Essex* 51,800 868 Superior Industries International (B) 115,200 3,254 Texas Roadhouse* 7,500 190 Theglobe.com* 855,300 412 Timberland, Cl A (B)* 24,850 1,574 Titan International (B) 13,000 162 Too* 26,100 663 Tower Automotive (B)* 208,000 374 Tractor Supply* 34,300 1,088 Unifi* 91,300 340 Urban Outfitters (B)* 89,700 3,812 Valassis Communications (B)* 59,810 2,031 Value Line 13,000 520 Visteon 135,400 1,145 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- West Marine (B)* 53,700 $ 1,240 World Wrestling Entertainment 89,700 1,076 Yankee Candle* 54,300 1,654 Zale* 139,400 4,077 ----------- 251,077 ----------- CONSUMER STAPLES -- 2.2% Adolph Coors, Cl B 29,700 2,225 BJ's Wholesale Club (B)* 101,400 3,011 Bunge 22,400 1,181 Casey's General Stores 60,260 1,167 Chattem* 54,900 1,988 Chiquita Brands International* 19,300 382 Columbia Laboratories (B)* 36,200 70 Corn Products International 55,700 3,031 Del Monte Foods* 163,400 1,773 Delta & Pine Land 34,500 921 Gold Kist* 126,000 1,762 Hain Celestial Group* 74,800 1,453 Interstate Bakeries (B) 126,500 736 NBTY* 103,800 2,705 Pathmark Stores* 183,595 1,012 PepsiAmericas 55,100 1,163 Pilgrim's Pride (B) 27,600 925 Ralcorp Holdings* 48,700 2,006 Tyson Foods, Cl A 36,800 603 United Natural Foods (B)* 130,930 3,683 Universal* 49,200 2,395 ----------- 34,192 ----------- ENERGY -- 5.6% Atlas America (B)* 28,460 903 Atwood Oceanics* 10,800 566 Brigham Exploration* 18,400 172 Cabot Oil & Gas 78,100 3,778 Cal Dive International* 61,400 2,644 CARBO Ceramics 14,195 1,103 Cimarex Energy* 54,600 2,194 Core Laboratories* 36,500 860 Denbury Resources* 148,300 4,293 Encore Acquisition* 29,500 1,039 Energy Partners* 55,100 1,067 Forest Oil (B)* 178,100 6,061 Holly 76,200 2,147 Hydril* 26,595 1,248 Input/Output (B)* 39,000 342 KCS Energy* 50,100 718 Key Energy Services* 173,700 2,175 Magnum Hunter Resources* 326,500 4,375 Meridian Resource* 46,900 320 NATCO Group, Cl A* 64,806 550 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 29 -------------------------------------------------------------------------------- STATEMENT OF NET ASSETS (Unaudited) SMALL CAP FUND (Continued) November 30, 2004 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- National-Oilwell (B)* 29,100 $ 1,053 Patina Oil & Gas 43,000 1,428 Penn Virginia 64,500 2,803 Pioneer Natural Resources 64,540 2,272 Plains Exploration & Production* 256,620 7,193 Pride International (B)* 47,500 929 Range Resources (B) 164,400 3,410 Remington Oil & Gas* 20,100 582 SEMCO Energy 120,600 584 Spinnaker Exploration* 21,600 783 St. Mary Land & Exploration (B) 67,900 2,919 Stone Energy* 147,000 7,053 Superior Energy Services* 54,200 796 Swift Energy (B)* 195,350 5,927 Syntroleum (B)* 168,300 1,166 Tesoro Petroleum* 109,600 3,630 Tetra Technologies* 55,050 1,673 Veritas DGC* 16,300 381 Vintage Petroleum 140,860 3,416 W-H Energy Services* 74,500 1,703 Whiting Petroleum* 43,800 1,491 ----------- 87,747 ----------- FINANCIALS -- 19.2% Acadia Realty Trust+ 106,200 1,609 Affiliated Managers Group (B)* 89,600 5,679 Agree Realty+ 23,000 692 Allmerica Financial* 61,100 1,989 AMB Property+ 114,600 4,578 American Home Mortgage Investment+* 46,800 1,532 AmerUs Group 57,700 2,514 Apartment Investment & Management, Cl A+ 90,500 3,291 Arbor Realty Trust+* 72,130 1,702 Arch Capital Group* 29,000 1,130 Archstone-Smith Trust (B)+ 95,257 3,477 Aspen Insurance Holdings* 38,500 953 AvalonBay Communities (B)+ 60,300 4,287 Bancorpsouth 91,650 2,278 Bank Mutual 95,440 1,177 Bank of the Ozarks 12,300 439 Bedford Property Investors+ 32,900 918 Brandywine Realty Trust+ 65,300 1,858 Brookline Bancorp 89,900 1,456 Camden Property Trust (B)+ 74,800 3,667 Capital Southwest 16,700 1,316 CapitalSource (B)* 140,600 3,262 Cardinal Financial* 101,320 1,015 Cascade Bancorp 56,662 1,235 CBL & Associates Properties+ 23,920 1,753 Central Pacific Financial 40,545 1,355 CNA Surety* 39,900 521 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Colonial BancGroup (B) 120,500 $ 2,558 Commerce Group 49,500 2,940 Commercial Capital Bancorp 211,866 5,055 Commercial Federal 65,000 1,893 Community Bank System 34,400 953 Corixa (B)* 325,500 1,221 Corporate Office Properties Trust+ 96,100 2,670 Crescent Real Estate Equity (B)+ 87,800 1,589 Delphi Financial Group, Cl A 97,101 4,511 Donegal Group, Cl A 44,850 964 Downey Financial 64,500 3,724 E*Trade Financial* 646,900 8,966 Eagle Hospitality Properties Trust+* 73,800 705 Encore Capital Group* 77,600 1,946 Equity Residential+ 142,800 4,814 Essex Property Trust+ 21,300 1,715 Euronet Worldwide* 75,000 1,845 FBL Financial Group, Cl A 32,784 932 Federal Realty Investment Trust+ 90,000 4,514 First American 93,900 3,094 First Cash Financial Services* 93,200 2,427 First Citizens Bancshares, Cl A 6,046 823 First Community Bancorp 23,300 979 First Indiana 56,850 1,317 First Marblehead* 21,900 1,243 First Niagara Financial Group 134,600 1,944 First Republic Bank 33,400 1,716 FirstFed Financial* 51,700 2,720 FirstMerit (B) 41,860 1,146 Flagstar Bancorp 104,900 2,286 Flushing Financial 56,300 1,196 Fpic Insurance Group (B)* 47,500 1,569 Friedman Billings Ramsey Group, Cl A (B)+ 165,900 3,172 Gables Residential Trust+ 24,900 888 GATX 133,500 3,930 Glacier Bancorp 12,600 436 Gold Banc 131,500 1,967 Greater Bay Bancorp 90,400 2,626 Greenhill* 40,800 1,110 HCC Insurance Holdings 45,700 1,515 Hilb Rogal & Hobbs (B) 138,200 4,794 Horace Mann Educators 49,870 948 Host Marriott+* 155,200 2,430 HRPT Properties Trust (B)+ 165,100 1,996 Hub International 85,500 1,471 Huron Consulting Group* 94,700 2,003 Independence Community Bank 48,600 2,065 IndyMac Bancorp 52,700 1,712 IPC Holdings 35,100 1,494 Irwin Financial 49,700 1,323 Jackson Hewitt Tax Service* 67,300 1,453 Jones Lang LaSalle* 22,800 819 -------------------------------------------------------------------------------- 30 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Kansas City Life Insurance 27,500 $ 1,360 KNBT Bancorp* 94,300 1,614 Knight Trading Group, Cl A (B)* 114,620 1,308 LandAmerica Financial Group 51,300 2,739 Macerich+ 85,100 5,169 Mack-Cali Realty+ 82,500 3,609 Max Re Capital 27,500 524 Medallion Financial 28,660 269 Medical Properties Trust+* 108,000 1,080 MFA Mortgage Investments+ 120,700 1,103 Montpelier Re Holdings (B) 41,600 1,536 Nara Bancorp 67,825 1,408 National Health Investors+ 13,800 400 NBT Bancorp 88,200 2,239 NCRIC Group* 27,940 269 New Century Financial (B)+ 32,200 2,037 New Plan Excel Realty Trust+ 69,300 1,835 NewAlliance Bancshares* 146,013 2,195 NorthStar Realty Finance+* 70,600 646 Novastar Financial+ (B) 24,900 1,095 Odyssey Re Holdings (B) 56,300 1,360 One Liberty Properties+ 53,700 1,033 Oriental Financial Group 67,800 2,056 PFF Bancorp 37,460 1,693 Placer Sierra Bancshares* 69,200 1,615 Platinum Underwriters Holdings 104,600 3,118 PMI Group (B) 30,740 1,266 Post Properties+ 53,000 1,807 Presidential Life 67,100 1,121 Primus Guaranty* 24,900 357 ProAssurance (B)* 74,925 2,926 Provident Bankshares 54,131 1,989 Public Storage+ 65,300 3,486 PXRE Group 61,140 1,475 Rainier Pacific Financial Group 65,030 1,167 RAIT Investment Trust+ 110,200 3,086 Reckson Associates Realty+ 136,100 4,407 Redwood Trust+ 25,500 1,485 Regency Centers+ 48,800 2,538 RenaissanceRe Holdings 20,000 1,007 Saxon Capital+* 74,100 1,682 Scottish RE Group 22,600 520 Shurgard Storage Centers, Cl A+ 85,000 3,517 Silicon Valley Bancshares (B)* 142,800 5,995 Simon Property Group+ 73,800 4,582 Sky Financial Group 64,300 1,862 SL Green Realty+ 90,560 5,219 Sterling Financial* 82,205 3,284 Stewart Information Services 111,200 4,854 Sunstone Hotel Investors+* 93,900 1,716 Taubman Centers+ 60,500 1,779 TierOne 55,200 1,370 Trammell Crow* 44,400 759 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Trizec Properties+ 154,700 $ 2,548 Trustmark 55,800 1,719 U-Store-It Trust+* 90,800 1,549 UCBH Holdings 51,260 2,324 UMB Financial 35,370 1,981 United PanAm Financial* 71,806 1,425 Washington Federal 104,900 2,829 WesBanco 33,400 1,056 Westcorp 100,600 4,253 Winston Hotels+ 145,060 1,651 World Acceptance* 16,600 428 WR Berkley 28,900 1,311 Zenith National Insurance (B) 37,500 1,724 ----------- 303,174 ----------- HEALTH CARE -- 12.8% Abgenix* 152,400 1,547 Accelrys* 142,100 890 Advanced Medical Optics (B)* 78,060 3,246 Align Technology* 260,600 2,755 Alkermes (B)* 109,400 1,509 Alliance Imaging* 150,000 1,410 Alpharma, Cl A (B) 103,300 1,716 American Healthways (B)* 98,095 3,271 American Medical Systems Holdings* 57,415 2,191 Amsurg* 61,000 1,568 Animas (B)* 38,500 624 Applera--Celera Genomics Group* 292,100 4,113 Apria Healthcare Group* 70,900 2,174 Ariad Pharmaceuticals* 238,100 1,374 Arqule* 37,100 206 Array Biopharma* 90,300 755 Aspect Medical Systems* 70,300 1,715 Axonyx (B)* 129,200 951 Beverly Enterprises* 200,700 1,740 Bio-Rad Laboratories, Cl A* 54,000 3,062 Biosite (B)* 41,500 2,311 Cardiodynamics International* 98,600 451 Cell Genesys (B)* 378,000 2,775 Community Health Systems (B)* 68,100 1,883 Conceptus (B)* 77,800 695 Cooper (B) 51,955 3,612 Corgentech (B)* 45,800 834 Cross Country Healthcare* 58,100 1,031 Crucell ADR (B)* 150,100 1,831 Cubist Pharmaceuticals* 308,300 3,700 CV Therapeutics (B)* 305,300 6,619 Cyberonics (B)* 49,400 917 deCODE Genetics (B)* 128,900 838 Dendreon (B)* 303,600 2,978 Depomed (B)* 156,000 727 Diamondrock Hospitality* 122,500 1,225 Digene* 64,800 1,567 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 31 -------------------------------------------------------------------------------- STATEMENT OF NET ASSETS (Unaudited) SMALL CAP FUND (Continued) November 30, 2004 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Discovery Laboratories* 105,200 $ 734 DJ Orthopedics* 109,390 2,206 Dov Pharmaceutical (B)* 68,100 1,261 Dyax* 152,700 1,211 Encysive Pharmaceuticals* 243,000 2,637 EPIX Pharmaceuticals* 89,400 1,573 Exact Sciences* 168,600 583 Exelixis* 151,718 1,361 First Horizon Pharmaceutical (B)* 54,500 1,066 Gen-Probe* 37,100 1,480 Genencor International* 71,700 1,162 Genitope* 59,000 931 Genta (B)* 313,300 407 Guilford Pharmaceuticals (B)* 168,500 950 Health Net* 115,900 3,155 HealthTronics* 91,500 683 Henry Schein* 11,300 737 Human Genome Sciences (B)* 131,300 1,444 Icoria* 492,303 197 Immucor* 66,450 2,136 Impax Laboratories* 126,500 1,584 Incyte (B)* 222,900 2,289 Inspire Pharmaceuticals* 109,900 1,968 Isis Pharmaceuticals (B)* 387,500 1,829 Isolagen (B)* 157,100 1,192 Kosan Biosciences* 140,300 904 La Jolla Pharmaceutical (B)* 395,400 557 LifePoint Hospitals* 85,200 3,134 Ligand Pharmaceuticals, Cl B (B)* 67,600 757 Magellan Health Services* 24,500 873 Medarex (B)* 436,100 4,753 Medcath (B)* 78,800 1,712 Medicis Pharmaceutical, Cl A 98,500 3,624 Mettler Toledo International* 32,330 1,668 MGI Pharma* 73,100 1,973 Myriad Genetics (B)* 49,000 943 Nabi Biopharmaceuticals* 129,600 1,866 National Dentex* 63,670 1,662 NeighborCare* 1,800 51 Nektar Therapeutics (B)* 362,700 6,777 NitroMed (B)* 73,000 1,526 North American Scientific* 94,600 426 Nu Skin Enterprises, Cl A 63,800 1,434 NuVasive* 51,900 493 Nuvelo* 35,100 342 Ocular Sciences* 42,200 2,039 Odyssey HealthCare* 72,900 973 OraSure Technologies* 165,000 1,181 Orthologic* 194,100 1,112 Owens & Minor 38,170 1,059 Pacificare Health Systems (B)* 58,700 2,841 Pain Therapeutics (B)* 270,800 2,039 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- PainCare Holdings (B)* 235,700 $ 684 Par Pharmaceutical (B)* 43,200 1,705 Parexel International* 47,000 970 PerkinElmer 112,100 2,391 Pharmaceutical Product Development* 52,500 2,211 Pharmacopeia Drug Discovery* 93,729 542 Pharmion* 46,900 1,986 PolyMedica 63,400 2,254 Pozen* 129,500 899 Protein Design Labs* 137,100 2,484 Res-Care* 57,760 866 Rigel Pharmaceuticals (B)* 53,400 1,336 Rotech Healthcare* 48,000 1,212 Salix Pharmaceuticals* 83,400 1,263 SFBC International (B)* 49,465 1,921 Sola International* 132,300 2,858 SonoSite (B)* 42,100 1,257 Sybron Dental Specialties* 131,760 4,511 Symbion* 56,200 1,077 Taro Pharmaceuticals Industries* 31,800 943 Telik* 151,621 2,897 Third Wave Technologies* 431,600 3,479 Transgenomic* 178,235 217 Transkaryotic Therapies* 84,600 1,930 Triad Hospitals* 25,270 927 United Therapeutics (B)* 58,800 2,588 Universal Health Services, Cl B 14,880 677 Varian* 46,300 1,734 Vasogen* 92,700 444 Viasys Healthcare* 64,800 1,207 Vicuron Pharmaceuticals* 11,500 202 Viropharma (B)* 165,900 469 Vnus Medical Technologies* 42,900 643 ----------- 203,090 ----------- INDUSTRIALS -- 14.9% Active Power* 98,800 450 Actuant, Cl A* 32,300 1,519 Acuity Brands (B) 43,400 1,277 Adesa* 64,600 1,289 Advisory Board* 68,700 2,448 AGCO (B)* 81,100 1,767 Albany International, Cl A 34,250 1,146 Alliant Techsystems* 21,800 1,436 AO Smith 86,340 2,595 Applied Industrial Technologies 75,300 3,136 Arkansas Best 9,200 397 Arlington Tankers* 34,100 783 Armor Holdings* 35,900 1,550 Banta 123,390 5,491 -------------------------------------------------------------------------------- 32 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Beacon Roofing Supply* 70,200 $ 1,283 BearingPoint* 430,600 3,746 Blount International* 155,680 2,714 Briggs & Stratton 145,930 5,723 Brink's 95,500 3,687 Calgon Carbon 132,500 1,239 Cascade 46,700 1,499 CDI 59,300 1,146 Ceradyne (B)* 45,385 2,242 Charles River Associates (B)* 82,200 3,546 Chicago Bridge & Iron 42,900 1,660 CIRCOR International 53,780 1,121 CNH Global 87,240 1,635 Corinthian Colleges (B)* 93,000 1,621 Corporate Executive Board 30,496 2,046 CoStar Group* 22,600 990 Courier 26,040 1,317 CPI Aerostructures* 75,700 780 DiamondCluster International* 99,300 1,214 Duratek* 34,100 785 Dynamex* 58,520 1,177 Eagle Materials 14,600 1,144 EDO 47,400 1,444 Education Management (B)* 43,000 1,425 EMCOR Group* 27,700 1,280 Engineered Support Systems (B) 32,800 1,804 ESCO Technologies* 18,655 1,366 FTI Consulting (B)* 73,100 1,474 GenCorp (B) 18,300 308 General Cable* 120,500 1,639 General Maritime (B)* 49,860 2,266 Genlyte Group* 14,500 1,162 Gevity HR 61,500 1,089 Global Power Equipment Group (B)* 38,600 335 GrafTech International (B)* 201,200 1,919 Griffon* 64,300 1,613 Grupo TMM ADR, Ser A* 155,100 541 Harsco 56,000 2,976 Herley Industries* 19,300 397 IKON Office Solutions 177,300 2,000 Infospace (B)* 42,900 1,900 Innovative Solutions & Support* 57,645 1,765 Insituform Technologies, Cl A* 55,500 1,295 Integrated Electrical Services (B)* 191,260 578 Intermagnetics General* 51,270 1,511 Intersections* 86,100 1,550 Ionics* 7,100 307 iPayment* 83,350 3,204 Iron Mountain* 48,150 1,451 John H. Harland 40,400 1,427 Joy Global 89,240 3,631 Kadant* 45,020 912 Kansas City Southern* 135,690 2,308 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Kaydon 74,810 $ 2,430 Kennametal 15,800 811 Kirby* 55,800 2,540 Knight Transportation* 89,150 2,149 Labor Ready (B)* 92,700 1,472 Laidlaw International* 145,700 2,754 Laureate Education* 74,000 2,915 Learning Tree International* 32,600 428 Lennox International 39,000 702 Levitt, Cl A* 32,800 843 LSI Industries 70,463 700 M/I Homes 88,600 4,006 Manitowoc 43,600 1,628 Mcgrath Rentcorp 9,900 418 Medical Staffing Network Holdings (B)* 98,000 844 Mercury Computer Systems* 54,500 1,717 Milacron (B)* 263,248 787 Mine Safety Appliances 31,065 1,472 Moog, Cl A* 28,942 1,216 MTC Technologies* 10,900 335 Mueller Industries 17,800 547 Navigant Consulting* 175,300 4,093 Navistar International (B)* 48,800 2,008 Old Dominion Freight Line* 27,500 862 Orbital Sciences (B)* 72,500 943 Oshkosh Truck 26,100 1,640 Pall 92,300 2,500 Princeton Review* 99,700 592 Quality Distribution* 40,590 329 Quanta Services (B)* 261,300 2,015 Regal-Beloit 60,590 1,709 Resources Connection* 44,800 2,032 Ritchie Brothers Auctioneers 52,000 1,555 Robbins & Myers 56,210 1,357 Rofin-Sinar Technologies* 60,220 2,349 Ryder System (B) 94,800 5,085 School Specialty* 63,110 2,398 SCS Transportation* 16,410 347 Simpson Manufacturing 86,200 2,896 Sirva* 36,900 734 Source Interlink* 77,450 1,011 Sourcecorp* 63,900 1,063 Stewart Enterprises, Cl A* 268,900 1,995 Strayer Education 37,900 4,074 Surebeam, Cl A (B)* 513,125 4 Sypris Solutions 77,100 1,254 Tecumseh Products, Cl A 29,500 1,351 Teledyne Technologies (B)* 49,300 1,464 Terex* 32,500 1,490 Tetra Tech* 157,180 2,395 Timken 56,700 1,474 Toro 24,700 1,791 Unifirst 39,900 1,103 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 33 -------------------------------------------------------------------------------- STATEMENT OF NET ASSETS (Unaudited) SMALL CAP FUND (Continued) November 30, 2004 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- United Rentals* 227,500 $ 4,065 United Stationers* 17,300 828 Universal Display* 36,200 353 Universal Forest Products 80,900 3,492 URS* 20,400 613 USF 91,300 3,375 Valmont Industries 38,800 968 Ventiv Health* 71,680 1,388 Walter Industries (B) 189,600 4,774 Washington Group International* 119,200 4,649 Watson Wyatt Holdings 85,400 2,277 WCI Communities* 107,900 2,764 Westinghouse Air Brake Technologies 64,600 1,329 Woodward Governor 29,300 2,135 York International 47,800 1,762 ----------- 235,875 ----------- INFORMATION TECHNOLOGY -- 17.5% Adaptec* 168,600 1,315 Advanced Digital Information* 115,900 1,064 Aeroflex* 124,900 1,530 Agile Software (B)* 240,500 2,011 Akamai Technologies (B)* 129,300 1,674 Alliance Semiconductor* 133,200 466 Altera (B)* 27,500 624 Ansys* 40,340 1,238 aQuantive (B)* 298,300 2,592 Arris Group* 280,800 1,598 Ascential Software* 196,400 2,685 Ask Jeeves (B)* 61,100 1,579 Asyst Technologies* 248,300 1,033 ATMI (B)* 92,359 2,126 Audible* 57,400 1,605 August Technology* 110,300 932 Avnet* 44,620 821 BakBone Software* 390,500 355 BEI Technologies 29,080 853 Belden CDT* 44,610 1,035 BISYS Group (B)* 173,980 2,785 Black Box 12,400 529 Blackbaud* 82,200 1,027 Blackboard (B)* 97,400 1,490 Borland Software* 21,600 253 Brocade Communications Systems* 173,610 1,203 Brooks Automation* 266,400 4,089 Cabot Microelectronics (B)* 16,800 621 Checkpoint Systems* 90,500 1,671 Cognex 56,264 1,452 Coherent* 57,030 1,648 Concur Technologies* 64,900 610 Corillian* 785,800 4,565 Credence Systems (B)* 572,720 4,376 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- CSG Systems International* 55,800 $ 1,014 Cymer (B)* 142,200 4,326 Digimarc (B)* 298,400 2,748 Digitas* 220,800 1,813 DoubleClick (B)* 334,500 2,509 Dupont Photomasks* 12,810 338 E.piphany* 136,800 618 Earthlink* 346,100 3,752 Electroglas (B)* 62,700 204 Emulex (B)* 107,700 1,523 Exar* 66,100 924 F5 Networks* 75,650 3,257 Fairchild Semiconductor International* 139,300 2,131 Faro Technologies* 54,610 1,485 FEI (B)* 215,400 4,607 Gartner, Cl A* 92,900 1,106 Genesis Microchip* 304,500 4,966 Harmonic* 128,900 1,002 Harris Interactive* 71,400 474 Homestore* 500,200 1,301 Hutchinson Technology (B)* 83,200 2,726 Hyperion Solutions* 22,200 995 Identix* 158,100 1,254 Immersion (B)* 462,248 2,478 InFocus* 102,300 685 Ingram Micro, Cl A (B)* 93,400 1,797 InPhonic* 16,500 421 Integrated Circuit Systems* 44,200 1,045 International Rectifier (B)* 56,200 2,380 Internet Security Systems* 49,400 1,196 Interwoven* 87,100 845 Iomega* 238,800 1,087 Itron* 88,500 1,916 iVillage* 248,900 1,181 Jack Henry & Associates 148,300 2,859 JDA Software Group* 92,000 1,207 Jupitermedia* 173,900 2,916 Kanbay International* 106,000 3,045 Keynote Systems* 103,200 1,314 KFX (B)* 143,500 2,161 Komag* 112,900 1,891 Kulicke & Soffa Industries (B)* 50,002 374 Lattice Semiconductor (B)* 941,500 5,026 Lawson Software* 68,300 422 Leadis Technology (B)* 90,200 877 Lionbridge Technologies* 151,800 836 LivePerson* 151,800 401 Macrovision* 57,100 1,516 Manhattan Associates* 91,900 2,233 Matrixone* 303,600 2,007 MAXIMUS (B)* 99,500 3,117 -------------------------------------------------------------------------------- 34 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Maxtor* 359,700 $ 1,374 Mentor Graphics* 103,800 1,303 Merix* 84,700 922 Methode Electronics 167,550 2,212 Micromuse* 279,000 1,467 MKS Instruments* 21,200 360 Motive* 54,700 697 Mykrolis* 170,300 2,088 Navarre* 90,115 1,535 Newport* 58,800 726 Nvidia (B)* 22,900 438 O2Micro International* 199,500 2,414 Onyx Software* 110,249 363 Open Solutions* 37,100 981 Openwave Systems (B)* 66,400 875 OSI Systems (B)* 100,600 2,185 Packeteer* 80,000 1,040 Parametric Technology* 157,530 922 Pegasus Solutions* 56,100 656 Performance Technologies* 77,110 550 Photronics* 110,700 2,086 Pinnacle Systems* 591,300 3,087 Pixelworks* 510,300 5,741 PLX Technology* 187,000 1,685 Polycom (B)* 420,700 9,609 Pomeroy IT Solutions* 96,610 1,320 Power Integrations* 74,400 1,468 ProQuest* 79,400 2,148 Quantum* 548,600 1,569 Radisys* 122,000 1,719 RADWARE* 30,400 772 Redback Networks (B)* 98,800 474 Remec (B)* 133,800 807 Richardson Electronics 124,610 1,389 Roxio* 41,600 389 RSA Security* 28,900 611 Rudolph Technologies (B)* 158,000 2,528 Sapient* 18,800 149 ScanSoft (B)* 463,400 1,691 Secure Computing* 176,400 1,838 Semtech* 78,400 1,605 Sigmatel (B)* 66,300 2,372 Silicon Image* 149,540 2,512 Silicon Storage Technology* 310,300 2,160 SimpleTech* 149,500 743 Sina (B)* 47,000 1,735 Sipex* 50,600 278 Sirf Technology Holdings* 161,100 2,041 Skyworks Solutions* 809,055 8,034 Sonus Networks* 60,100 397 Spatialight (B)* 134,000 1,202 SRA International, Cl A* 39,300 2,281 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- SS&C Technologies 101,500 $ 2,273 STATS ChipPAC ADR (B)* 194,223 1,090 Storage Technology* 59,600 1,737 Stratasys (B)* 74,100 2,393 SupportSoft* 150,000 762 Sybase* 175,300 3,020 SYKES Enterprises* 134,600 909 Synaptics* 140,455 5,393 Synopsys* 49,790 878 Tessera Technologies (B)* 64,900 2,307 THQ* 29,910 642 TIBCO Software (B)* 218,700 2,515 TradeStation Group* 194,200 1,441 Transaction Systems Architects, Cl A* 31,600 648 Trident Microsystems* 12,400 193 Triquint Semiconductor* 756,400 3,275 Trizetto Group* 124,400 881 TTM Technologies* 60,300 626 Ultra Clean Holdings* 142,338 750 Ultratech* 16,100 277 Unisys* 166,900 1,918 United Online* 64,600 689 Utstarcom (B)* 67,200 1,313 Verint Systems* 37,225 1,531 WatchGuard Technologies* 23,600 97 Wavecom ADR* 95,337 670 WebEx Communications (B)* 25,000 593 webMethods (B)* 151,500 930 Western Digital* 208,500 2,037 ----------- 277,097 ----------- MATERIALS -- 4.6% Airgas 67,800 1,802 Albemarle (B) 110,600 4,406 Aptargroup 51,540 2,708 Arch Coal 93,700 3,579 Carpenter Technology (B) 42,265 2,470 Constar International* 74,498 447 Crown Holdings* 274,200 3,510 Cytec Industries 133,900 6,509 Ferro 62,600 1,432 Georgia Gulf (B) 36,835 2,121 H.B. Fuller 35,900 1,027 Headwaters (B)* 43,000 1,377 Hercules (B)* 121,700 1,813 Jacuzzi Brands* 441,800 4,126 Massey Energy (B) 44,500 1,563 Mosaic (B)* 54,700 951 NewMarket* 54,849 1,053 Northgate Minerals* 847,500 1,466 NS Group* 47,100 1,044 Olin 116,430 2,642 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 35 -------------------------------------------------------------------------------- STATEMENT OF NET ASSETS (Unaudited) SMALL CAP FUND (Continued) November 30, 2004 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- OM Group* 57,700 $ 1,774 Packaging of America 50,900 1,171 Quanex 39,900 2,354 Rock-Tenn, Cl A 71,600 1,156 Schweitzer-Mauduit International 88,558 3,061 Silgan Holdings 66,975 3,637 Steel Dynamics (B) 139,100 5,638 Symyx Technologies (B)* 121,400 3,828 Wheeling-Pittsburgh (B)* 113,700 4,159 ----------- 72,824 ----------- TELECOMMUNICATION SERVICES -- 0.6% Alamosa Holdings (B)* 146,220 1,594 Alvarion* 117,300 1,721 Aspect Communications* 90,000 977 AudioCodes (B)* 117,910 1,733 Boston Communications Group* 60,900 542 General Communication, Cl A* 121,608 1,245 IDT* 26,300 386 IDT, Cl B* 31,700 487 Talk America Holdings (B)* 55,500 351 ----------- 9,036 ----------- UTILITIES -- 2.3% AGL Resources 125,610 4,169 Allete 18,366 669 Aquila (B)* 86,400 302 Avista 106,200 1,890 Black Hills 51,900 1,594 Cascade Natural Gas 31,820 680 Centerpoint Energy 47,500 530 Cleco 30,100 596 CMS Energy (B)* 130,000 1,326 El Paso Electric* 75,400 1,353 Energen 35,900 2,077 Idacorp 34,410 1,109 NUI (B) 80,200 1,099 Oneok 109,200 3,049 Pico Holdings* 81,158 1,673 PNM Resources 217,350 5,529 UGI (B) 87,300 3,543 UIL Holdings 44,400 2,374 Westar Energy 71,060 1,574 WGL Holdings 22,210 673 Wisconsin Energy 38,450 1,279 ----------- 37,088 ----------- Total Common Stock (Cost $1,307,468) ($ Thousands) 1,511,200 ----------- EXCHANGE TRADED FUNDS -- 0.5% iShares Russell 2000 Index Fund (B)* 54,941 6,971 Midcap SPDR Trusts Ser 1* 11,200 1,310 ----------- Total Exchange Traded Funds (Cost $7,413) ($ Thousands) 8,281 ----------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Number of Warrants WARRANTS -- 0.0% Theglobe.com, Expires 05/05/09 (E) (F)* 450,000 $ 173 Washington Mutual (D)* 302,461 48 ----------- Total Warrants (Cost $266) ($ Thousands) 221 ----------- Number of Rights RIGHTS -- 0.0% Bank United (I)* 27,200 -- ----------- Total Rights (Cost $4) ($ Thousands) -- ----------- CORPORATE OBLIGATIONS (C)(H) -- 6.6% FINANCIALS -- 6.4% Allstate Life Global Funding MTN 2.090%, 11/14/05 $ 1,381 1,381 Belford Funding MTN 2.140%, 02/02/05 5,526 5,526 Bradford & Bingley 2.196%, 01/07/05 3,481 3,481 CCN Bluegrass 2.207%, 08/18/05 4,144 4,144 CIT Group 1.870%, 12/01/04 3,316 3,316 Countrywide Home Loans MTN, Ser L 2.435%, 02/23/05 1,602 1,602 Countrywide Home Loans MTN, Ser M 2.471%, 08/26/05 1,658 1,658 2.429%, 05/20/05 1,105 1,105 2.030%, 06/23/05 2,210 2,210 Five Finance MTN 2.150%, 09/22/05 7,847 7,843 Harrier Finance Funding MTN, Ser 1 1.886%, 06/15/05 4,807 4,806 Irish Life & Permanent MTN, Ser X 2.155%, 12/22/05 5,139 5,138 Lakeside Funding 2.276%, 12/08/04 7,058 7,058 Liberty Light US Capital 2.075%, 01/14/05 2,763 2,763 2.070%, 02/09/05 2,763 2,763 Morgan Stanley, Ser EXL 2.039%, 12/04/05 1,105 1,105 Nationwide Building Society 1.953%, 10/28/05 2,763 2,763 Pacific Life Global Funding 2.090%, 11/14/05 4,144 4,144 -------------------------------------------------------------------------------- 36 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Premium Asset Trust 2.170%, 12/15/05 $ 7,736 $ 7,736 SLM MTN, Cl X 2.150%, 12/20/05 9,670 9,670 Saturn Ventures 2.143%, 02/07/05 2,763 2,763 Sigma Finance MTN 1.989%, 01/04/05 3,315 3,315 U.S. Trust 2.212%, 09/12/05 5,526 5,526 Washington Mutual Bank 2.310%, 08/18/05 5,526 5,526 White Pine Finance 2.096%, 03/11/05 1,381 1,381 2.026%, 11/01/05 2,431 2,431 ----------- 101,154 ----------- INDUSTRIALS -- 0.2% Caterpillar MTN, Ser F 2.180%, 07/11/05 2,763 2,763 ----------- Total Corporate Obligations (Cost $103,917) ($ Thousands) 103,917 ----------- COMMERCIAL PAPER (C)(G) -- 3.7% FINANCIALS -- 3.7% Broadhollow Funding 2.111%, 12/06/04 4,144 4,143 CPI Funding 2.121%, 12/10/04 5,333 5,330 Golden Fish 2.307%, 01/18/05 3,329 3,319 2.172%, 12/17/04 1,615 1,613 2.162%, 12/14/04 1,944 1,942 2.031%, 12/08/04 944 944 Harwood Street Funding 2.137%, 12/15/04 8,544 8,537 Household Finance 2.142%, 12/15/04 6,907 6,901 Laguna 2.141%, 12/10/04 2,210 2,209 2.140%, 12/03/04 2,763 2,762 Main Street Warehouse 2.131%, 12/07/04 1,105 1,105 2.131%, 12/08/04 1,105 1,105 2.131%, 12/09/04 5,526 5,523 Thornburg Mortgage Capital 2.152%, 12/15/04 5,526 5,521 2.151%, 12/07/04 1,934 1,933 2.150%, 12/03/04 4,973 4,973 ----------- Total Commercial Paper (Cost $57,860) ($ Thousands) 57,860 ----------- -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- ASSET-BACKED SECURITIES (C) -- 2.7% AUTOMOTIVE -- 0.1% Drivetime Auto Owner Trust 2.148%, 11/15/05 (H) $ 1,167 $ 1,167 1.640%, 07/15/05 437 437 ----------- 1,604 ----------- MORTGAGE RELATED SECURITIES (H) -- 2.6% Aire Valley Mortgages 2.140%, 09/20/05 3,536 3,536 Blue Heron Funding 2.211%, 02/23/05 5,526 5,526 2.170%, 03/18/05 2,486 2,486 Cheyne High Grade 2.280%, 11/10/05 3,177 3,177 Commodore 1.970%, 12/12/38 1,658 1,658 Davis Square Funding 2.091%, 04/06/05 2,763 2,763 2.091%, 05/06/05 2,763 2,763 Duke Funding 2.115%, 04/08/05 2,763 2,763 Harwood 2.190%, 09/20/05 7,018 7,018 Orchid Structured Finance 2.410%, 05/18/05 6,064 6,064 RMAC 2.090%, 06/12/05 2,487 2,487 Whitehawk CDO Funding 1.710%, 06/15/05 1,381 1,381 ----------- 41,622 ----------- Total Asset-Backed Securities (Cost $43,226) ($ Thousands) 43,226 ----------- CASH EQUIVALENTS -- 4.0% Bear Stearns Master Notes (C) 5,525,787 5,526 First Union Cash Management Program 6,635,411 6,635 SEI Daily Income Trust, Prime Obligation Fund, Cl A++ 51,129,579 51,130 ----------- Total Cash Equivalents (Cost $63,291) ($ Thousands) 63,291 ----------- U.S. TREASURY OBLIGATION -- 0.2% U.S. Treasury Bills (A) 1.864%, 02/24/05 2,750 2,736 ----------- Total U.S. Treasury Obligation (Cost $2,739) ($ Thousands) 2,736 ----------- -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 37 -------------------------------------------------------------------------------- STATEMENT OF NET ASSETS (Unaudited) SMALL CAP FUND (Concluded) November 30, 2004 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS (C) -- 3.9% Barclays 2.070%, dated 11/30/04, to be repurchased on 12/01/04, repurchase price $12,237,836 (collateralized by various U.S. Government Obligations, ranging in par value $565,288- $8,288,681, 1.625%-7.000%, 04/15/05-03/15/10; with total market value $12,482,127) $12,237 $ 12,237 Lehman Brothers 2.070%, dated 11/30/04, to be repurchased on 12/01/04, repurchase price $3,591,968 (collateralized by various U.S. Government Obligations, ranging in par value $118,252- $244,350, 0.000%-6.700%, 09/13/05-08/15/27; with total market value $3,663,704) 3,592 3,592 UBS Paine Webber 2.070%, dated 11/30/04, to be repurchased on 12/01/04, repurchase price $45,314,060 (collateralized by various U.S. Government Obligations, ranging in par value $640,162- $2,762,894, 0.000%-5.002%, 12/17/04-11/15/29; with total market value $46,217,852) 45,311 45,311 ----------- Total Repurchase Agreements (Cost $61,140) ($ Thousands) 61,140 ----------- Total Investments -- 117.2% (Cost $1,647,324) ($ Thousands) 1,851,872 ----------- OTHER ASSETS AND LIABILITIES -- (17.2)% Payable upon Return on Securities Loaned (271,669) Payable for Investment Securities Purchased (7,863) Payable for Capital Shares Redeemed (5,241) Investment Advisory Fees Payable (668) Trustees' Fees Payable (6) Other Assets and Liabilities, Net 13,765 ----------- Total Other Assets and Liabilities (271,682) ----------- Net Assets -- 100.0% $ 1,580,190 =========== -------------------------------------------------------------------------------- Value Description ($ Thousands) -------------------------------------------------------------------------------- NET ASSETS: Paid-in-Capital (unlimited authorization -- no par value) $ 1,196,488 Undistributed net investment income 1,225 Accumulated net realized gain on investments and futures contracts 174,035 Net unrealized appreciation on investments 204,548 Net unrealized appreciation on futures contracts 3,894 ----------- Net Assets $ 1,580,190 =========== Net Asset Value, Offering and Redemption Price Per Share -- Class A ($1,579,998,444 / 97,689,436 shares) $16.17 ====== Net Asset Value, Offering and Redemption Price Per Share -- Class T ($191,670 / 11,910 shares) $16.09 ====== * Non-income producing security. + Real Estate Investment Trust ++ See Note 3 in Notes to Financial Statements. (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. The rate reported is the effective yield at time of purchase. (B) This security or a partial position of this security is on loan at November 30, 2004 (see Note 9). The total value of securities on loan at November 30, 2004 was $261,424,762. (C) This security was purchased with cash collateral held from securities lending (see Note 9). The total value of such securities as of November 30, 2004 was $271,669,275. (D) This warrant represents a potential distribution settlement in a legal claim and does not have a strike price or expiration date. (E) Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total value of such securities as of November 30, 2004 was $48,394 and represented 0.00% of Net Assets. (F) Securities considered illiquid. The total value of such securities as of November 30, 2004 was $48,394 and represented 0.00% of Net Assets. (G) The rate reported is the effective yield at time of purchase. (H) Variable Rate Security -- The rate reported on the Statement of Net Assets is the rate in effect as of November 30, 2004. (I) This security was issued for possible settlement of pending litigation and does not have an expiration date. ADR -- American Depository Receipt Cl -- Class MTN -- Medium Term Note Ser -- Series SPDR -- Standard & Poor's Depositary Receipts Amounts designated as "--" are zero or have been rounded to zero. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 38 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- SMALL/MID CAP EQUITY FUND November 30, 2004 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)**: [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] 27.1% Financials 14.1% Consumer Discretionary 13.7% Information Technology 11.6% Health Care 9.9% Industrials 6.7% Short-Term Investments 5.0% Materials 3.8% Energy 2.6% Utilities 2.4% Consumer Staples 2.3% Asset-Backed Securities 0.7% Telecommunication Services 0.1% U.S. Treasury Obligations 0.0% Warrants 0.0% Exchange Traded Fund ** Percentages based on total investments. -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- COMMON STOCK -- 93.5% CONSUMER DISCRETIONARY -- 16.0% 1-800 Contacts* 24,000 $ 492 Abercrombie & Fitch, Cl A 6,100 278 America's Car Mart* 23,453 861 American Axle & Manufacturing Holdings 7,300 213 American Eagle Outfitters* 23,500 982 American Greetings, Cl A* 14,400 383 American Woodmark 1,000 40 Ameristar Casinos 3,900 157 AnnTaylor Stores* 54,550 1,197 Arctic Cat 13,900 371 Autoliv 46,200 2,159 Autonation (B)* 29,500 546 Barnes & Noble* 20,100 544 Black & Decker 13,900 1,169 Bluegreen* 6,900 110 Borders Group 35,800 815 BorgWarner 18,000 901 Brown Shoe 7,600 217 Brunswick 38,600 1,884 Cache* 39,788 657 Carter's* 22,900 804 Catalina Marketing 6,000 169 Cato, Cl A 28,400 758 CEC Entertainment* 21,937 893 Charming Shoppes* 118,915 1,112 Cheesecake Factory (B)* 26,100 1,276 Chico's FAS (B)* 11,027 426 CKE Restaurants* 7,400 93 Claire's Stores 27,500 560 Coach* 38,300 1,909 Columbia Sportswear (B)* 13,800 785 Comfort Systems USA* 54,965 396 Cooper Tire & Rubber 25,800 527 Cost Plus* 17,000 540 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Cumulus Media, Cl A* 47,900 $ 732 Design Within Reach* 51,700 845 Dick's Sporting Goods (B)* 10,697 385 Dillard's, Cl A 34,600 871 Dollar Thrifty Automotive Group* 21,600 581 DreamWorks Animation, Cl A* 5,700 211 Eagle Materials 12,673 958 Electronics Boutique Holdings (B)* 10,800 421 Entravision Communications, Cl A* 9,800 80 Ethan Allen Interiors 16,300 643 Fairmont Hotels & Resorts 25,700 797 Federated Department Stores 23,500 1,288 Fleetwood Enterprises* 90,100 1,221 Four Seasons Hotels 14,900 1,050 GameStop, Cl A (B)* 29,500 622 GameStop, Cl B* 6,540 139 Gentex 21,900 708 Getty Images (B)* 15,600 909 Gildan Activewear, Cl A* 18,500 576 Goodyear Tire & Rubber (B)* 40,100 506 Gray Television 31,766 476 Group 1 Automotive* 12,800 378 GSI Commerce* 19,400 293 Handleman 115,000 2,438 Harman International Industries 9,800 1,204 Hasbro 34,700 660 HOT Topic* 23,148 379 Insight Communications, Cl A* 5,400 46 Insight Enterprises* 31,275 633 Jack in the Box* 33,700 1,273 Jakks Pacific (B)* 12,200 227 Jarden* 44,600 1,711 Jo-Ann Stores* 1,800 49 Journal Communications, Cl A 6,600 116 K2 (B)* 60,900 1,028 KB Home (B) 10,600 932 Kerzner International (B)* 29,510 1,681 Lear 7,100 412 Lin TV, Cl A* 28,500 514 Lions Gate Entertainment* 143,724 1,545 Lone Star Steakhouse & Saloon 31,544 851 Mandalay Resort Group 9,400 655 Maytag (B) 24,200 486 Media General, Cl A 5,515 343 Mediacom Communications, Cl A (B)* 56,200 293 Meredith 10,700 564 Modine Manufacturing 11,950 384 Movie Gallery (B) 8,000 139 MSC Industrial Direct, Cl A 23,500 837 MTR Gaming Group* 63,000 634 Nautilus Group 12,700 277 New York* 10,400 242 Nexstar Broadcasting Group, Cl A* 23,400 195 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 39 -------------------------------------------------------------------------------- STATEMENT OF NET ASSETS (Unaudited) SMALL/MID CAP EQUITY FUND (Continued) November 30, 2004 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Noble International 1,800 $ 35 NVR (B)* 1,400 967 O'Reilly Automotive (B)* 9,500 414 Pacific Sunwear of California 49,200 1,093 Panera Bread, Cl A (B)* 13,400 535 Parkervision (B)* 22,900 171 Party City* 1,500 19 PDI* 1,600 37 Penn National Gaming* 13,411 708 Petsmart (B) 41,700 1,429 PF Chang's China Bistro (B)* 30,000 1,687 Phillips-Van Heusen 11,795 322 Pinnacle Entertainment (B)* 69,317 1,260 Polo Ralph Lauren 48,800 1,922 PTEK Holdings* 26,300 277 Pulitzer 13,500 859 RC2* 2,100 66 Reader's Digest Association 20,600 295 Reebok International 15,653 609 Regis 40,300 1,799 Rent-A-Center* 13,000 331 Royal Caribbean Cruises (B) 17,900 890 Ryland Group 14,400 1,459 Saks 41,400 576 ShopKo Stores (B)* 13,500 241 Sonic* 29,400 858 Sports Authority* 30,500 870 Stage Stores* 3,700 152 Standard Motor Products 16,200 253 Standard-Pacific 9,000 504 Stanley Works 21,500 1,005 Starwood Hotels & Resorts Worldwide 26,000 1,360 Stein Mart* 5,500 91 Technical Olympic USA 19,900 487 Tenneco Automotive* 16,400 254 Texas Roadhouse* 3,000 76 Theglobe.com* 154,900 75 Thomas Nelson 5,000 123 Timberland, Cl A* 8,100 513 TRW Automotive Holdings* 20,280 429 Tupperware (B) 14,600 273 United Auto Group 6,400 182 UnitedGlobalCom, Cl A* 65,222 543 Urban Outfitters* 12,100 514 Value Line 6,900 276 Warnaco Group* 29,380 584 WESCO International* 10,200 287 West Marine* 15,440 357 Whirlpool 7,400 478 Williams-Sonoma (B)* 59,900 2,193 Wynn Resorts (B)* 19,500 1,133 XM Satellite Radio Holdings, Cl A (B)* 32,000 1,181 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Yankee Candle* 21,500 $ 655 Zale* 54,310 1,589 --------- 94,958 --------- CONSUMER STAPLES -- 2.7% Adolph Coors, Cl B 12,900 966 BJ's Wholesale Club* 8,900 264 Bunge 21,900 1,155 Chattem* 3,700 134 Corn Products International 16,900 920 Dean Foods* 25,800 817 Del Monte Foods* 80,700 876 Energizer Holdings (B)* 36,100 1,686 Gold Kist* 40,000 559 Interstate Bakeries (B) 14,200 83 JM Smucker 8,600 391 Loews--Carolina Group 11,400 335 Longs Drug Stores 31,600 844 McCormick & Schmick's Seafood Restaurants* 40,519 670 Nash Finch 2,400 89 NBTY* 36,800 959 PepsiAmericas 32,400 684 Pilgrim's Pride (B) 29,100 975 Ralcorp Holdings* 32,800 1,351 Rayovac* 6,500 193 Ruddick 3,500 76 Sanderson Farms 4,800 179 Supervalu 29,100 919 Tyson Foods, Cl A 44,100 723 Vector Group (B) 5,300 87 --------- 15,935 --------- ENERGY -- 4.3% Ashland 22,100 1,307 BJ Services (B)* 19,019 964 Brigham Exploration* 41,450 388 Cabot Oil & Gas 12,900 624 Cal Dive International* 8,300 357 Callon Petroleum* 3,700 52 CARBO Ceramics 1,400 109 Chesapeake Energy (B) 15,500 279 Denbury Resources* 23,000 666 Encore Acquisition* 11,000 387 ENSCO International 7,900 247 EOG Resources 9,300 698 Forest Oil (B)* 13,900 473 Giant Industries* 9,100 255 Houston Exploration* 11,300 677 Magnum Hunter Resources* 272,325 3,649 National-Oilwell (B)* 22,197 804 Oil States International* 4,200 86 Patina Oil & Gas 43,300 1,438 -------------------------------------------------------------------------------- 40 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Patterson-UTI Energy (B) 35,300 $ 706 Penn Virginia 13,100 569 Petroleum Development* 12,500 514 Plains Exploration & Production* 24,327 682 Pride International (B)* 12,000 235 RPC 2,800 76 Smith International (B)* 6,500 394 Spinnaker Exploration* 21,203 769 Stone Energy* 19,600 940 Sunoco 14,800 1,222 Superior Energy Services* 13,700 201 Swift Energy* 49,400 1,499 Syntroleum (B)* 55,100 382 Tesoro Petroleum (B)* 41,400 1,371 Ultra Petroleum* 2,800 147 Unit* 18,556 735 Veritas DGC* 17,100 400 Vintage Petroleum 26,900 652 Weatherford International* 13,861 740 --------- 25,694 --------- FINANCIALS -- 21.3% Aames Investment (B)+* 23,000 251 Acadia Realty Trust+ 34,400 521 Accredited Home Lenders* 16,600 713 ACE Cash Express* 4,300 115 Advanta, Cl B 47,589 1,136 Affiliated Managers Group (B)* 52,812 3,347 Allmerica Financial* 40,700 1,325 AMB Property+ 34,900 1,394 Amcore Financial 23,875 777 American Financial Group 20,100 633 American Home Mortgage Investment+* 29,700 972 AmerUs Group 34,196 1,490 Anthracite Capital+ 1,200 14 Apartment Investment & Management, Cl A+ 27,500 1,000 Arbor Realty Trust+* 2,800 66 Archipelago Holdings* 17,830 397 Archstone-Smith Trust+ 29,100 1,062 Ashford Hospitality Trust+ 61,220 606 Asset Acceptance Capital* 1,100 23 Associated Banc (B) 8,400 279 Astoria Financial 22,600 938 AvalonBay Communities+ 18,800 1,337 Bank of Hawaii 29,000 1,408 Banknorth Group 23,900 860 Bedford Property Investors+ 1,900 53 Brandywine Realty Trust+ 44,277 1,260 Calamos Asset Management, Cl A (B)* 10,800 256 Camden Property Trust (B)+ 22,800 1,118 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Capital Crossing Bank* 1,400 $ 37 Capital Trust, Cl A+ 1,800 59 CapitalSource (B)* 40,750 945 Center Financial 1,200 25 Chemical Financial 19,464 816 City Holding 21,854 807 City National 18,400 1,259 Colonial BancGroup (B) 30,700 652 Colonial Properties Trust+ 3,800 150 Columbia Banking System 1,050 27 Commerce Bancorp (B) 5,300 331 Commerce Bancshares 14,280 698 Commercial Federal 44,586 1,299 Community Bank System 13,200 366 CompuCredit (B)* 20,900 501 Corporate Office Properties Trust+ 61,111 1,698 CRT Properties+ 2,800 69 Cullen/Frost Bankers 18,800 901 Delphi Financial Group, Cl A 18,558 862 Dime Community Bancshares 39,929 733 Downey Financial 13,500 779 E*Trade Financial* 250,800 3,476 East-West Bancorp 16,900 701 Eaton Vance 11,300 542 Entertainment Properties Trust+ 2,500 107 Equity Inns+ 5,000 52 Equity Residential+ 43,500 1,466 Essex Property Trust+ 6,500 523 Federal Agricultural Mortgage* 2,300 52 Federal Realty Investment Trust+ 27,200 1,364 FelCor Lodging Trust+* 8,900 115 Fidelity National Financial 34,400 1,475 First American 21,400 705 First Financial Bankshares 400 17 First Industrial Realty Trust 5,800 231 First Marblehead* 6,600 375 First Potomac Realty Trust+ 17,985 413 First Republic Bank 10,800 555 FirstFed Financial* 18,735 986 FirstMerit 27,055 740 Forest City Enterprises, Cl A 6,947 373 Fremont General 15,200 362 Friedman Billings Ramsey Group, Cl A+ 100,100 1,914 Frontier Financial 400 16 Gables Residential Trust+ 7,500 268 Gold Banc 72,000 1,077 Greater Bay Bancorp (B) 35,938 1,044 HCC Insurance Holdings 32,700 1,084 Hibernia, Cl A 44,800 1,296 Highland Hospitality+* 66,867 753 Highwoods Properties+ 33,337 862 Horace Mann Educators 39,700 754 Hospitality Properties Trust (B)+ 13,100 589 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 41 -------------------------------------------------------------------------------- STATEMENT OF NET ASSETS (Unaudited) SMALL/MID CAP EQUITY FUND (Continued) November 30, 2004 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Host Marriott+* 84,400 $ 1,322 HRPT Properties Trust (B)+ 107,600 1,301 Hudson United Bancorp 3,300 134 Huntington Bancshares 41,100 997 Huron Consulting Group* 48,800 1,032 IMPAC Mortgage Holdings+ 17,400 408 Independence Community Bank 11,400 484 IndyMac Bancorp 41,900 1,361 Innkeepers USA Trust+ 11,500 155 Instinet Group* 175,155 1,049 Investment Technology Group* 38,965 653 Investors Financial Services 7,000 307 Irwin Financial 11,600 309 Itla Capital* 500 27 Jackson Hewitt Tax Service (B)* 33,600 725 Kansas City Life Insurance 11,000 544 Kilroy Realty+ 2,200 89 KNBT Bancorp* 26,000 445 Knight Trading Group, Cl A* 68,045 776 LandAmerica Financial Group 5,400 288 LaSalle Hotel Properties+ 3,800 117 LTC Properties+ 5,500 104 Macerich+ 28,200 1,713 Mack-Cali Realty+ 26,300 1,150 MAF Bancorp 14,517 666 Marlin Business Services* 60,432 1,030 Medical Properties Trust+* 34,000 340 Mercury General 7,100 403 Meristar Hospitality+* 102,013 694 MFA Mortgage Investments+ 41,100 376 Mid-America Apartment Communities+ 2,700 107 Mid-State Bancshares 800 24 Mills+ 3,800 226 Montpelier Re Holdings (B) 21,600 798 National Health Investors+ 2,600 75 Navigators Group* 18,995 537 Nelnet, Cl A* 4,300 104 New Century Financial+ 18,300 1,158 New Plan Excel Realty Trust+ 21,100 559 NewAlliance Bancshares* 28,200 424 Newcastle Investment+ 5,800 182 Novastar Financial (B)+ 15,500 682 Ocwen Financial (B)* 12,500 117 Odyssey Re Holdings 27,205 657 Ohio Casualty* 38,416 825 Omega Healthcare Investors+ 8,800 110 One Liberty Properties+ 16,800 323 Online Resources* 126,793 894 Oriental Financial Group 30,700 931 PartnerRe Holdings 24,200 1,481 Pennsylvania Real Estate Investment Trust+ 7,800 318 PFF Bancorp 13,600 615 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Philadelphia Consolidated Holding* 2,100 $ 143 Piper Jaffray* 13,447 619 Platinum Underwriters Holdings 16,410 489 Popular 34,400 912 Post Properties+ 16,200 552 Presidential Life 23,200 388 Prosperity Bancshares 1,600 45 Protective Life 9,300 389 Provident Bankshares (B) 37,477 1,377 Providian Financial* 26,100 419 Public Storage+ 20,000 1,068 R & G Financial, Cl B 7,200 279 RAIT Investment Trust+ 3,200 90 Ramco-Gershenson Properties+ 18,814 572 Raymond James Financial 44,575 1,319 Reckson Associates Realty+ 31,700 1,026 Regency Centers+ 14,900 775 Reinsurance Group of America 6,600 306 RenaissanceRe Holdings 22,300 1,123 RLI 18,931 788 Selective Insurance Group 2,100 94 Senior Housing Properties Trust+ 12,500 246 Shurgard Storage Centers, Cl A+ 26,400 1,092 Signature Bank* 25,785 810 Silicon Valley Bancshares* 15,600 655 Simon Property Group+ 22,500 1,397 Sky Financial Group 26,785 776 SL Green Realty+ 24,800 1,429 Sovereign Bancorp 123,881 2,707 Stancorp Financial Group 900 71 Sterling Financial* 24,600 983 Stewart Information Services 15,200 663 Summit Properties+ 22,103 704 Sunstone Hotel Investors (B)+* 48,600 888 Susquehanna Bancshares 16,928 440 Taubman Centers (B)+ 18,400 541 Thornburg Mortgage+ 4,600 131 TierOne 16,100 399 Triad Guaranty* 10,261 616 Trizec Properties+ 62,100 1,023 Trustmark 22,435 691 U-Store-It Trust* 48,100 821 UICI* 16,000 534 United Fire & Casualty 700 47 Universal American Financial* 59,589 795 Urstadt Biddle Properties, Cl A+ 3,700 62 Virginia Commerce Bancorp* 18,900 539 W Holding 7,400 163 Washington Federal 37,200 1,003 Westamerica Bancorporation 6,000 349 Westcorp 3,700 156 Whitney Holding 19,616 905 Wilshire Bancorp* 4,600 150 Winston Hotels+ 6,500 74 -------------------------------------------------------------------------------- 42 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Wintrust Financial 3,400 $ 203 World Acceptance* 2,700 70 Zenith National Insurance (B) 16,500 758 --------- 126,462 --------- HEALTH CARE -- 13.1% Abgenix* 98,200 997 Accredo Health (B)* 37,700 1,021 Affymetrix (B)* 5,800 197 Albany Molecular Research* 7,500 80 Alderwoods Group* 3,400 36 Align Technology* 7,600 80 Alpharma, Cl A 52,600 874 America Service Group* 1,600 40 AMERIGROUP* 20,731 1,430 Amsurg* 19,250 495 Amylin Pharmaceuticals (B)* 33,800 689 Andrx* 44,795 797 Animas (B)* 32,100 520 Applera - Applied Biosystems Group 37,700 773 Applera--Celera Genomics Group* 38,000 535 Apria Healthcare Group* 63,500 1,948 Ariad Pharmaceuticals* 78,500 453 Array Biopharma* 38,000 318 Aspect Medical Systems* 29,000 708 Axonyx (B)* 88,896 654 Barr Pharmaceuticals* 70,300 2,745 Bausch & Lomb 16,800 989 Bio-Rad Laboratories, Cl A* 13,100 743 Bioenvision (B)* 86,300 889 Biosite (B)* 12,800 713 Cephalon (B)* 42,500 2,020 Cerner* 11,400 601 Charles River Laboratories International* 3,400 159 Community Health Systems* 24,300 672 Conmed* 3,400 98 Cooper 5,979 416 Covance* 15,056 594 Coventry Health Care* 10,250 509 CTI Molecular Imaging* 5,400 72 Cubist Pharmaceuticals* 89,600 1,075 CV Therapeutics (B)* 172,900 3,748 Cypress Bioscience* 4,500 52 Dade Behring Holdings* 16,758 900 Dendreon (B)* 97,600 957 Dendrite International* 3,100 53 Depomed (B)* 74,500 347 Diamondrock Hospitality* 38,700 387 Discovery Laboratories* 35,042 245 DJ Orthopedics* 28,700 579 Dov Pharmaceutical (B)* 33,636 623 Encysive Pharmaceuticals* 77,200 838 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Endo Pharmaceuticals Holdings* 43,500 $ 891 Endologix* 90,500 585 Eon Labs* 2,300 62 Exelixis* 33,900 304 Express Scripts* 7,900 568 Fisher Scientific International* 39,200 2,216 Flamel Technologies ADR* 31,700 665 Gen-Probe* 4,900 195 Genitope* 23,600 372 Genta (B)* 86,000 112 GenVec* 189,845 368 Hillenbrand Industries 4,700 258 Human Genome Sciences (B)* 74,000 814 ICOS* 500 12 Idenix Pharmaceuticals* 1,800 26 Idexx Laboratories* 2,100 108 IDX Systems* 28,000 983 II-VI* 3,100 134 Immucor* 29,800 958 Immunicon* 52,142 415 Incyte (B)* 82,000 842 Inspire Pharmaceuticals* 24,000 430 InterMune* 39,900 495 Invacare 11,695 591 Invitrogen (B)* 13,700 829 Kensey Nash* 4,800 150 Kindred Healthcare* 6,800 186 King Pharmaceuticals* 28,000 349 Kos Pharmaceuticals* 3,900 166 Laboratory of America Holdings* 19,500 935 LifePoint Hospitals* 18,100 666 Ligand Pharmaceuticals, Cl B (B)* 95,900 1,074 Manor Care (B) 14,500 500 Medcath* 23,300 506 Medical Action Industries* 1,200 24 Medicis Pharmaceutical, Cl A 53,800 1,979 Mettler Toledo International* 8,300 428 MGI Pharma* 24,000 648 Millipore* 3,200 156 MTS Systems 2,100 64 Mylan Laboratories (B) 45,600 828 Nektar Therapeutics* 94,869 1,773 Neurometrix (B)* 63,900 540 Nu Skin Enterprises, Cl A 42,900 964 Nutraceutical International* 3,500 56 NuVasive* 59,748 568 Option Care (B) 2,600 45 Orthovita* 83,265 321 Par Pharmaceutical* 30,600 1,207 Parexel International* 2,500 52 PerkinElmer 42,300 902 Perrigo 3,800 69 Pharmaceutical Product Development* 12,600 531 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 43 -------------------------------------------------------------------------------- STATEMENT OF NET ASSETS (Unaudited) SMALL/MID CAP EQUITY FUND (Continued) November 30, 2004 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Pharmion* 13,000 $ 550 Pharmos (B)* 188,323 753 PolyMedica 19,500 693 Pozen* 47,100 327 Protein Design Labs* 46,100 835 Quest Diagnostics 7,356 690 Regeneron Pharmaceuticals* 7,000 65 RehabCare Group* 4,700 124 Respironics (B)* 2,000 111 Rigel Pharmaceuticals (B)* 20,600 515 Rotech Healthcare* 15,000 379 Salix Pharmaceuticals* 33,800 512 Select Medical 20,500 358 Serologicals* 5,200 121 SFBC International* 11,536 448 Sierra Health Services* 9,200 512 Sunrise Senior Living (B)* 11,900 511 SurModics (B)* 13,100 394 Sybron Dental Specialties* 47,230 1,617 Techne* 3,600 134 Telik* 32,300 617 Third Wave Technologies* 6,800 55 Triad Hospitals* 25,000 917 Trimeris (B)* 81,500 1,011 United Therapeutics* 3,500 154 Universal Health Services, Cl B 15,454 703 USANA Health Sciences (B)* 4,500 134 Varian* 300 11 Ventana Medical Systems* 500 30 Vertex Pharmaceuticals* 14,400 153 Vicuron Pharmaceuticals* 7,200 127 Watson Pharmaceuticals* 60,600 1,760 West Pharmaceutical Services 3,400 79 --------- 77,989 --------- INDUSTRIALS -- 11.2% Actuant, Cl A (B)* 32,275 1,518 Acuity Brands 33,230 978 Advisory Board* 7,000 249 AGCO (B)* 26,000 567 Alaska Air Group* 13,500 422 Alliant Techsystems* 6,700 441 Ametek 29,210 955 Arlington Tankers* 11,100 255 Armor Holdings* 10,000 432 Banta 28,560 1,271 BE Aerospace* 56,481 598 Blount International* 34,600 603 Briggs & Stratton 38,600 1,514 Bright Horizons Family Solutions* 13,000 816 Brink's 28,500 1,100 Chicago Bridge & Iron (NY Shares) 14,700 569 CNF 10,678 499 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Coinstar* 4,200 $ 109 Consolidated Graphics* 2,300 109 Corinthian Colleges (B)* 29,500 514 Corporate Executive Board 26,398 1,771 Cummins 26,900 2,142 Curtiss-Wright 8,477 505 Deluxe 12,400 490 Duratek* 2,300 53 Dycom Industries* 9,090 265 EDO 15,500 472 Education Management* 62,700 2,078 Engineered Support Systems (B) 10,800 594 Esterline Technologies* 6,900 246 ExpressJet Holdings* 64,400 751 Flowserve (B)* 9,500 240 Forrester Research* 29,499 481 Genessee & Wyoming, Cl A* 16,744 462 Goodrich 35,200 1,118 GrafTech International* 82,700 789 Greg Manning Auctions (B)* 3,200 37 Griffon (B)* 39,500 991 Herman Miller 37,600 924 HUB Group, Cl A* 17,460 759 Hubbell, Cl B 5,100 248 infoUSA* 3,400 37 Integrated Electrical Services (B)* 38,300 116 Iron Mountain* 15,500 467 ITT Educational Services (B)* 21,000 1,002 JB Hunt Transport Services 9,000 362 John H. Harland 24,300 858 Kennametal 12,990 666 Labor Ready* 48,169 765 Laidlaw International* 98,400 1,860 Laureate Education* 25,760 1,015 Lennox International 26,000 468 M/I Homes 12,000 542 Mcgrath Rentcorp 3,200 135 Mercury Computer Systems* 17,000 535 Mesa Air Group (B)* 14,900 105 Molecular Devices* 5,600 118 Monster Worldwide (B)* 33,200 936 MTC Technologies* 3,500 108 National Financial Partners 15,580 541 Navigant Consulting* 22,300 521 NCO Group* 3,500 88 Nordson 3,400 129 Northwest Airlines* 42,867 439 Oshkosh Truck 17,500 1,099 Overnite 18,284 646 Paccar (B) 13,700 1,070 Pacer International* 17,766 347 Pinnacle Airlines* 4,100 51 Power-One* 27,200 250 Quality Systems* 700 43 -------------------------------------------------------------------------------- 44 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- R.H. Donnelley* 18,474 $ 1,010 RailAmerica* 4,600 59 Resources Connection* 18,100 821 Ritchie Brothers Auctioneers 16,600 496 Roper Industries 1,100 68 Ryder System (B) 37,200 1,995 Senomyx (B)* 106,200 1,051 Service International* 80,000 565 Sirva* 29,867 594 Skywest 17,300 329 Sourcecorp* 11,600 193 SPX (B) 21,400 880 Stewart Enterprises, Cl A* 92,284 685 Strayer Education 4,500 484 Swift Transportation (B)* 7,300 142 Sypris Solutions 19,100 311 TeleTech Holdings* 7,100 69 Terex* 19,300 885 Timken 70,130 1,823 TNS* 3,700 82 United Defense Industries* 1,200 54 United Rentals* 53,600 958 United Stationers* 14,005 671 Universal Forest Products 11,600 501 USF 8,000 296 UTI Worldwide 11,600 800 Wabash National* 17,460 434 Walter Industries (B) 68,400 1,722 Washington Group International* 47,900 1,868 Watts Water Technologies, Cl A 23,163 709 Werner Enterprises 23,745 534 Westinghouse Air Brake Technologies 27,896 574 Yellow Roadway (B)* 2,700 143 York International 15,000 553 --------- 66,613 --------- INFORMATION TECHNOLOGY -- 15.5% Acxiom (B) 12,400 314 Adaptec* 55,500 433 ADE* 2,800 52 Advanced Micro Devices (B)* 16,500 351 Aeroflex* 49,731 609 Agilysys 8,300 137 Akamai Technologies (B)* 42,600 552 Altera* 9,000 204 American Tower, Cl A (B)* 23,900 433 AMIS Holdings* 14,500 220 Amkor Technology* 50,900 280 Amphenol, Cl A* 38,200 1,341 answerthink* 80,208 362 aQuantive* 86,000 747 Arris Group* 133,695 761 Ask Jeeves (B)* 25,200 651 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Aspen Technology (B)* 61,300 $ 354 Asyst Technologies* 80,500 335 ATI Technologies* 12,700 246 ATMI (B)* 37,032 852 Audible* 28,700 802 Avid Technology* 1,400 80 Avocent* 35,000 1,328 Axcelis Technologies* 52,100 380 BEI Technologies 2,900 85 BindView Development* 153,665 545 BISYS Group* 34,200 548 Black Box 14,900 636 Blackbaud* 25,900 324 Blackboard* 2,800 43 BMC Software* 22,700 422 Brooks Automation* 84,700 1,300 C-COR* 67,600 605 CCC Information Services Group* 2,200 46 Certegy 22,400 771 Checkfree (B)* 37,600 1,393 Citrix Systems* 43,300 1,022 CNET Networks* 22,300 208 Cogent* 4,100 138 Cognex 6,848 177 Cognizant Technology Solutions, Cl A* 27,800 1,060 Comverse Technology (B)* 28,800 613 Conexant Systems* 140,600 280 Convergys* 42,800 636 Credence Systems* 70,500 539 Cree (B)* 51,000 1,825 CSG Systems International* 13,900 253 Cyberoptics* 2,800 39 Cymer (B)* 35,588 1,083 Cypress Semiconductor* 95,239 938 Digitas* 66,000 542 Diodes* 3,300 82 DoubleClick* 122,100 916 E.piphany* 15,600 71 Earthlink* 47,800 518 Emulex (B)* 39,100 553 Exar* 27,119 379 F5 Networks* 27,200 1,171 Fairchild Semiconductor International* 48,115 736 FEI* 62,800 1,343 Filenet* 14,180 380 Foundry Networks* 53,200 710 Global Imaging Systems* 5,000 187 Global Payments 2,400 132 Harris 2,700 179 Hutchinson Technology (B)* 26,100 855 Hyperion Solutions* 6,000 269 Identix* 27,900 221 Informatica* 28,720 224 Ingram Micro, Cl A (B)* 101,200 1,947 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 45 -------------------------------------------------------------------------------- STATEMENT OF NET ASSETS (Unaudited) SMALL/MID CAP EQUITY FUND (Continued) November 30, 2004 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Integrated Device Technology* 48,740 $ 553 Inter-Tel 19,235 545 International Rectifier (B)* 18,100 766 Intersil, Cl A 12,900 208 Iomega* 74,500 339 Itron* 28,500 617 Jack Henry & Associates 45,500 877 JDA Software Group* 29,000 380 Kanbay International* 42,211 1,213 KFX (B)* 48,000 723 Komag* 46,700 782 Lam Research (B)* 41,400 1,077 Lattice Semiconductor* 288,300 1,539 Leadis Technology (B)* 21,200 206 Lionbridge Technologies* 80,500 444 Littelfuse* 5,600 219 LSI Logic* 85,700 453 Macromedia* 5,400 154 Macrovision* 18,700 496 Manhattan Associates* 21,400 520 Matrixone* 47,274 312 MAXIMUS* 34,800 1,090 Maxtor* 113,300 433 MEMC Electronic Materials* 42,100 448 Mentor Graphics* 52,300 656 Mercury Interactive (B)* 23,400 1,067 Micrel* 67,300 719 Micromuse* 143,640 755 Micros Systems* 2,000 147 MicroStrategy, Cl A* 600 39 MPS Group* 74,466 838 NCR* 2,800 167 NetIQ* 50,070 614 Novellus Systems* 38,600 1,040 O2Micro International* 48,100 582 Omnivision Technologies (B)* 5,200 93 Openwave Systems (B)* 26,600 351 OSI Systems (B)* 31,800 691 Parametric Technology* 75,284 440 Paxar* 43,600 1,009 Per-Se Technologies* 4,100 57 Photronics* 34,653 653 Pixar (B)* 8,900 807 Pixelworks* 175,000 1,969 Plantronics 12,700 523 PMC - Sierra (B)* 70,500 778 Polycom* 118,900 2,716 Portalplayer* 5,800 169 Progress Software* 5,400 123 ProQuest* 8,600 233 QAD* 2,100 17 RADVision (B)* 38,899 519 Red Hat (B)* 74,900 1,085 Remec (B)* 42,100 254 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- RF Micro Devices* 161,900 $ 1,127 RSA Security* 11,700 247 S1* 1,400 13 Sabre Holdings, Cl A 32,200 743 SafeNet* 18,300 653 ScanSoft (B)* 151,800 554 Semtech* 31,717 649 Serena Software (B)* 5,300 110 Sigmatel* 33,618 1,203 Silicon Image* 6,900 116 SimpleTech* 45,900 228 Sina (B)* 20,195 746 Sirf Technology Holdings* 53,100 673 Skyworks Solutions* 21,400 212 Sonus Networks* 24,340 161 Spatialight (B)* 49,000 440 Spectrasite* 7,500 435 SRA International, Cl A* 16,576 962 Standard Microsystems* 22,142 544 Storage Technology* 24,700 720 Stratasys (B)* 29,701 959 Sybase* 54,000 930 Synaptics* 11,000 422 Synopsys* 14,800 261 Tech Data* 29,700 1,348 Teradyne (B)* 71,200 1,215 THQ* 19,400 416 TIBCO Software* 42,700 491 Transact Technologies* 1,100 25 Transaction Systems Architects, Cl A* 4,500 92 TTM Technologies* 58,400 606 Ultratech* 17,128 295 Unisys* 27,900 321 United Online* 30,600 326 WebEx Communications* 10,100 240 Western Digital* 82,800 809 Zebra Technologies, Cl A* 12,634 635 --------- 92,200 --------- MATERIALS -- 5.6% Airgas 51,331 1,364 Amcol International 28,925 584 Aptargroup 13,000 683 Arch Coal 34,500 1,318 Bemis 29,700 827 Brush Engineered Materials* 30,688 598 Buckeye Technologies* 4,800 59 Century Aluminum* 47,037 1,205 Commercial Metals 10,050 456 Cytec Industries 49,068 2,385 Eastman Chemical 41,500 2,257 Ferro 17,400 398 Florida Rock Industries 8,266 465 -------------------------------------------------------------------------------- 46 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- FMC* 15,600 $ 773 Glatfelter 53,525 770 Greif, Cl A 16,400 793 Headwaters (B)* 14,100 452 Hercules* 52,432 781 Jacuzzi Brands* 46,000 430 Louisiana-Pacific 68,300 1,671 Lubrizol 22,900 791 Massey Energy (B) 29,680 1,042 NCI Building Systems* 4,300 160 Northgate Minerals* 219,500 380 NS Group* 15,700 348 Olin 30,200 685 OM Group* 9,500 292 Owens-Illinois* 17,100 358 Packaging of America 50,963 1,172 Peabody Energy 23,000 1,909 Perini* 6,800 102 Quanex 10,900 643 RPM International 34,500 638 Schweitzer-Mauduit International 13,300 460 Silgan Holdings 1,200 65 Sonoco Products 29,800 848 Steel Dynamics (B) 25,627 1,039 Texas Industries 6,490 389 United States Steel (B) 18,600 974 USG (B)* 25,700 841 Wausau-Mosinee Paper 5,700 102 WCA Waste* 69,270 710 Wheeling-Pittsburgh (B)* 33,100 1,211 --------- 33,428 --------- TELECOMMUNICATION SERVICES -- 0.8% Amdocs* 17,600 455 Aspect Communications* 16,700 181 Brightpoint* 56,330 1,076 CenturyTel 31,400 1,034 Citizens Communications 4,400 63 General Communication, Cl A* 84,400 864 Golden Telecom (B) 2,300 70 Novatel Wireless* 1,000 21 Talk America Holdings (B)* 41,300 261 West* 2,100 73 Western Wireless, Cl A (B)* 14,200 383 --------- 4,481 --------- UTILITIES -- 3.0% AGL Resources 21,915 727 Allete 15,393 560 Alliant Energy 7,200 197 Avista 32,400 577 Centerpoint Energy 101,900 1,137 Cleco 9,100 180 -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Constellation Energy Group 14,400 $ 629 Duquesne Light Holdings (B) 31,200 550 El Paso Electric* 10,100 181 Energen 37,589 2,175 Idacorp 2,600 84 National Fuel Gas 5,000 141 New Jersey Resources 10,308 449 Northeast Utilities 29,800 543 OGE Energy 8,200 212 Oneok 63,557 1,775 Pepco Holdings (B) 12,900 275 PNM Resources 15,750 401 PPL 15,800 821 Reliant Energy* 97,400 1,157 Sempra Energy (B) 15,000 555 Southwest Gas 2,000 51 UGI 37,213 1,510 UIL Holdings 8,100 433 Vectren 16,434 430 Westar Energy 24,200 536 Wisconsin Energy 38,600 1,284 --------- 17,570 --------- Total Common Stock (Cost $492,996) ($ Thousands) 555,330 --------- EXCHANGE TRADED FUND -- 0.0% Midcap SPDR Trusts Ser 1* 1,200 140 --------- Total Exchange Traded Fund (Cost $139) ($ Thousands) 140 --------- Number of Warrants WARRANTS -- 0.0% Theglobe.com, Expires 05/05/09 (F) (G)* 85,000 33 --------- Total Warrants (Cost $41) ($ Thousands) 33 --------- CORPORATE OBLIGATIONS (C)(E) -- 6.2% FINANCIALS -- 6.0% Allstate Life Global Funding MTN 2.090%, 11/14/05 $ 487 487 Belford Funding MTN 2.140%, 02/02/05 1,949 1,949 Bradford & Bingley 2.196%, 01/07/05 1,228 1,228 CCN Bluegrass 2.207%, 08/18/05 1,462 1,462 CIT Group 1.870%, 12/01/04 1,170 1,170 Countrywide Home Loans MTN, Ser L 2.435%, 02/23/05 565 565 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 47 -------------------------------------------------------------------------------- STATEMENT OF NET ASSETS (Unaudited) SMALL/MID CAP EQUITY FUND (Concluded) November 30, 2004 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Countrywide Home Loans MTN, Ser M 2.471%, 08/26/05 $ 585 $ 585 2.429%, 05/20/05 390 390 2.030%, 06/23/05 780 780 Five Finance MTN 2.150%, 09/22/05 2,768 2,767 Harrier Finance Funding MTN, Ser 1 1.886%, 06/15/05 1,696 1,696 Irish Life & Permanent MTN, Ser X 2.155%, 12/22/05 1,813 1,813 Lakeside Funding 2.276%, 12/08/04 2,490 2,490 Liberty Light US Capital 2.075%, 01/14/05 975 975 2.070%, 02/09/05 975 975 Morgan Stanley, Ser EXL 2.039%, 12/04/05 390 390 Nationwide Building Society 1.953%, 10/28/05 975 975 Pacific Life Global Funding 2.090%, 11/14/05 1,462 1,462 Premium Asset Trust 2.170%, 12/15/05 2,729 2,729 SLM MTN, Cl X 2.150%, 12/20/05 3,411 3,411 Saturn Ventures 2.143%, 02/07/05 975 975 Sigma Finance MTN 1.989%, 01/04/05 1,170 1,170 U.S. Trust 2.212%, 09/12/05 1,949 1,949 Washington Mutual Bank 2.310%, 08/18/05 1,949 1,949 White Pine Finance 2.096%, 03/11/05 487 487 2.026%, 11/01/05 858 857 --------- 35,686 --------- INDUSTRIALS -- 0.2% Caterpillar MTN, Ser F 2.180%, 07/11/05 975 975 --------- Total Corporate Obligations (Cost $36,661) ($ Thousands) 36,661 --------- COMMERCIAL PAPER (C)(D) -- 3.4% FINANCIALS -- 3.4% Broadhollow Funding 2.111%, 12/06/04 1,462 1,462 CPI Funding 2.121%, 12/10/04 1,881 1,880 Golden Fish 2.307%, 01/18/05 1,174 1,171 2.172%, 12/17/04 570 569 2.162%, 12/14/04 686 685 2.031%, 12/08/04 333 333 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Harwood Street Funding 2.137%, 12/15/04 $ 3,014 $ 3,012 Household Finance 2.142%, 12/15/04 2,437 2,435 Laguna 2.141%, 12/10/04 780 779 2.140%, 12/03/04 975 975 Main Street Warehouse 2.131%, 12/07/04 390 390 2.131%, 12/08/04 390 390 2.131%, 12/09/04 1,949 1,948 Thornburg Mortgage Capital 2.152%, 12/15/04 1,949 1,948 2.151%, 12/07/04 682 682 2.150%, 12/03/04 1,754 1,754 --------- Total Commercial Paper (Cost $20,413) ($ Thousands) 20,413 --------- ASSET-BACKED SECURITIES (C) -- 2.6% AUTOMOTIVE -- 0.1% Drivetime Auto Owner Trust 2.148%, 11/15/05 (E) 412 412 1.640%, 07/15/05 154 154 --------- 566 --------- MORTGAGE RELATED SECURITIES (E) -- 2.5% Aire Valley Mortgages 2.140%, 09/20/05 1,248 1,248 Blue Heron Funding 2.211%, 02/23/05 1,949 1,949 2.170%, 03/18/05 877 877 Cheyne High Grade 2.280%, 11/10/05 1,121 1,121 Commodore 1.970%, 12/12/38 585 585 Davis Square Funding 2.091%, 04/06/05 975 975 2.091%, 05/06/05 975 975 Duke Funding 2.115%, 04/08/05 975 975 Harwood 2.190%, 09/20/05 2,476 2,476 Orchid Structured Finance 2.410%, 05/18/05 2,139 2,139 RMAC 2.090%, 06/12/05 877 877 Whitehawk CDO Funding 1.710%, 06/15/05 487 487 --------- 14,684 --------- Total Asset-Backed Securities (Cost $15,250) ($ Thousands) 15,250 --------- -------------------------------------------------------------------------------- 48 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- CASH EQUIVALENTS -- 4.0% Bear Stearns Master Notes (C) 1,949,437 $ 1,949 SEI Daily Income Trust, Prime Obligation Fund, Cl A++ 21,737,825 21,738 --------- Total Cash Equivalents (Cost $23,687) ($ Thousands) 23,687 --------- U.S. TREASURY OBLIGATION -- 0.2% U.S. Treasury Bills (A) 1.755%, 02/24/05 $ 955 950 --------- Total U.S. Treasury Obligation (Cost $951) ($ Thousands) 950 --------- REPURCHASE AGREEMENTS (C) -- 3.6% Barclays 2.070%, dated 11/30/04, to be repurchased on 12/01/04, repurchase price $4,317,375 (collateralized by various U.S. Government Obligations, ranging in par value $199,427- $2,924,156, 1.625%-7.000%, 04/15/05-03/15/10; with total market value $4,403,558) 4,317 4,317 Lehman Brothers 2.070%, dated 11/30/04, to be repurchased on 12/01/04, repurchase price $1,267,207 (collateralized by various U.S. Government Obligations, ranging in par value $41,718- $86,204, 0.000%-6.700%, 09/13/05-08/15/27; with total market value $1,292,515) 1,267 1,267 UBS Paine Webber 2.070%, dated 11/30/04, to be repurchased on 12/01/04, repurchase price $15,986,306 (collateralized by various U.S. Government Obligations, ranging in par value $199,427- $2,924,156, 0.000%-5.002%, 12/17/04-11/15/29; with total market value $16,305,154) 15,985 15,985 --------- Total Repurchase Agreements (Cost $21,569) ($ Thousands) 21,569 --------- Total Investments -- 113.5% (Cost $611,707) ($ Thousands) 674,033 --------- -------------------------------------------------------------------------------- Value Description ($ Thousands) -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES -- (13.5)% Payable Upon Return on Securities Loaned $ (95,842) Payable for Capital Shares Redeemed (3,465) Payable for Investment Securities Purchased (1,950) Investment Advisory Fees Payable (271) Trustees' Fees Payable (2) Other Assets and Liabilities, Net 21,185 --------- Total Other Assets and Liabilities (80,345) --------- Net Assets -- 100.0% $ 593,688 ========= NET ASSETS: Paid-in-Capital (unlimited authorization -- no par value) 524,065 Undistributed net investment income 391 Accumulated net realized gain on investments and futures contracts 5,968 Net unrealized appreciation on investments 62,326 Net unrealized appreciation on futures contracts 938 --------- Net Assets $ 593,688 ========= Net Asset Value, Offering and Redemption Price Per Share -- Class A ($593,688,495 / 4,993,551 shares) $118.89 ======= * Non-income producing security. + Real Estate Investment Trust ++ See Note 3 in Notes to Financial Statements. (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. The rate reported is the effective yield at time of purchase. (B) This security or a partial position of this security is on loan at November 30, 2004 (see Note 9). The total value of securities on loan at November 30, 2004 was $92,439,936. (C) This security was purchased with cash collateral held from securities lending (see Note 9). The total value of such securities as of November 30, 2004 was $95,841,958. (D) The rate reported is the effective yield at time of purchase. (E) Variable Rate Security -- The rate reported on the Statement of Net Assets is the rate in effect as of November 30, 2004. (F) Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total value of such securities as of November 30, 2004 was $32,583 and represented 0.00% of Net Assets. (G) Securities considered illiquid. The total value of such securities as of November 30, 2004 was $32,583 and represented 0.00% of Net Assets. ADR -- American Depositary Receipt Cl -- Class MTN -- Medium Term Note NY -- New York Ser -- Series SPDR -- Standard & Poor's Depositary Receipts The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 49 -------------------------------------------------------------------------------- SCHEDULE OF INVESTMENTS (Unaudited) CORE FIXED INCOME FUND November 30, 2004 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)**: [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] 20.8% Financials 20.3% U.S. Treasury Obligations 18.5% Asset-Backed Securities 11.9% Short-Term Investments 11.6% U.S. Gov't Mortgage Backed 8.2% U.S. Gov't Obligations 2.0% Industrials 1.4% Utilities 1.3% Consumer Discretionary 1.0% Telecommunication Services 1.0% Energy 0.9% Regional Agencies 0.5% Consumer Staples 0.3% Health Care 0.1% Materials 0.1% Foreign Bonds 0.1% Information Technology 0.0% Municipal Bond 0.0% Certificate of Deposit 0.0% Options 0.0% Exchange Traded Fund ** Percentages based on total investments. -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- CORPORATE OBLIGATIONS -- 31.6% CONSUMER DISCRETIONARY -- 1.8% COX Communications 7.875%, 08/15/09 $ 440 $ 494 7.125%, 10/01/12 1,265 1,391 5.500%, 10/01/15 215 209 4.625%, 06/01/13 330 307 Comcast 7.050%, 03/15/33 (K) 1,185 1,315 6.500%, 01/15/15 1,380 1,496 5.500%, 03/15/11 (K) 1,830 1,908 Comcast Cable Communications 8.375%, 03/15/13 2,265 2,744 6.750%, 01/30/11 5,950 6,600 6.375%, 01/30/06 360 373 Continental Cablevision 9.000%, 09/01/08 710 823 8.300%, 05/15/06 875 933 DaimlerChrysler 7.450%, 03/01/27 705 758 7.300%, 01/15/12 1,995 2,242 6.500%, 11/15/13 3,370 3,598 Ford Motor 7.450%, 07/16/31 (K) 4,389 4,268 6.375%, 02/01/29 5,500 4,813 General Motors (K) 8.375%, 07/15/33 5,040 5,130 Liberty Media 5.700%, 05/15/13 705 706 3.380%, 09/17/06 (F) 5,190 5,257 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Limited 5.250%, 11/01/14 $ 1,200 $ 1,178 News America 7.300%, 04/30/28 475 533 7.280%, 06/30/28 725 811 5.300%, 12/15/14 950 949 News America Holdings 7.750%, 01/20/24 395 459 TCI Communications 7.875%, 02/15/26 565 672 TCI Communications MTN (G) 8.350%, 02/15/05 1,775 1,795 Target 5.875%, 03/01/12 2,435 2,629 4.000%, 06/15/13 355 337 Time Warner 8.375%, 07/15/33 2,050 2,561 8.180%, 08/15/07 500 556 7.700%, 05/01/32 5,900 6,987 7.625%, 04/15/31 335 393 7.570%, 02/01/24 1,630 1,874 6.875%, 05/01/12 350 393 Viacom 5.625%, 08/15/12 550 581 ----------- 68,073 ----------- CONSUMER STAPLES -- 0.7% Albertsons 8.000%, 05/01/31 405 491 Altria Group 7.750%, 01/15/27 1,765 1,933 7.000%, 11/04/13 1,770 1,890 Duty Free International (H) (I) (J) 7.000%, 07/15/04 2,335 23 General Mills 6.000%, 02/15/12 815 873 5.125%, 02/15/07 800 825 Kellogg (K) 2.875%, 06/01/08 2,085 2,016 Kraft Foods 6.250%, 06/01/12 395 429 5.250%, 10/01/13 740 750 Kroger 7.500%, 04/01/31 710 826 Nabisco 7.550%, 06/15/15 2,675 3,190 6.375%, 02/01/05 2,665 2,678 Philip Morris Capital 7.500%, 07/16/09 1,155 1,253 RJ Reynolds Tobacco Holdings, Ser B 7.875%, 05/15/09 1,630 1,712 7.750%, 05/15/06 3,760 3,939 -------------------------------------------------------------------------------- 50 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Safeway 4.950%, 08/16/10 $ 615 $ 620 Sara Lee 6.250%, 09/15/11 835 919 3.875%, 06/15/13 530 497 ----------- 24,864 ----------- ENERGY -- 1.3% Alberta Energy 7.375%, 11/01/31 810 947 Amerada Hess 7.300%, 08/15/31 315 342 Anadarko Finance, Ser B 7.500%, 05/01/31 2,383 2,875 Apache 6.250%, 04/15/12 945 1,043 BP Canada Finance 3.625%, 01/15/09 2,740 2,696 Centerpoint Energy Resources, Ser B 7.875%, 04/01/13 470 552 Conoco 6.950%, 04/15/29 4,995 5,719 Conoco Funding 7.250%, 10/15/31 885 1,050 6.350%, 10/15/11 1,540 1,708 ConocoPhillips 5.900%, 10/15/32 835 847 4.750%, 10/15/12 2,310 2,330 Consolidated Natural Gas, Ser A 5.000%, 03/01/14 625 618 Devon Energy 7.950%, 04/15/32 3,725 4,648 Devon Financing 7.875%, 09/30/31 1,240 1,527 El Paso 6.950%, 06/01/28 2,250 1,879 El Paso MTN (K) 7.800%, 08/01/31 2,100 1,932 7.750%, 01/15/32 3,375 3,105 Encana 6.500%, 08/15/34 500 532 Enterprise Products Operations (C) 5.600%, 10/15/14 655 653 4.000%, 10/15/07 800 796 Enterprise Products Operations, Ser B 6.875%, 03/01/33 1,165 1,199 Kerr-Mcgee 7.875%, 09/15/31 480 573 6.950%, 07/01/24 800 864 Occidental Petroleum 6.750%, 01/15/12 1,145 1,286 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Pemex Master Trust 7.375%, 12/15/14 $ 585 $ 638 Pioneer Natural Resources 5.875%, 07/15/16 540 559 Tengizchevroil (C) 6.124%, 11/15/14 990 985 Valero Energy 6.875%, 04/15/12 805 906 XTO Energy 7.500%, 04/15/12 630 731 6.250%, 04/15/13 3,195 3,463 YPF Sociedad Anonima MTN, Ser A 7.750%, 08/27/07 3,000 3,255 ----------- 50,258 ----------- FINANCIALS -- 20.3% ASIF Global Finance (C) 3.900%, 10/22/08 4,700 4,672 3.850%, 11/26/07 1,000 1,001 Ace INA Holdings 5.875%, 06/15/14 510 512 Allstate Financial Global Funding (C) 6.150%, 02/01/06 1,800 1,861 Allstate Life Global Funding MTN (F) (L) 2.090%, 11/14/05 5,335 5,335 American Express 4.375%, 07/30/09 1,100 1,112 American Express Bank (F) 2.220%, 11/21/07 3,825 3,823 Apache Finance Canada 4.375%, 05/15/15 2,980 2,820 Arch Capital Group 7.350%, 05/01/34 4,525 4,685 Archstone-Smith Operating Trust 5.625%, 08/15/14 975 997 Aspen Insurance Holdings (C) 6.000%, 08/15/14 770 763 Associates 6.250%, 11/01/08 895 969 Bank One 7.875%, 08/01/10 4,440 5,156 6.000%, 08/01/08 1,000 1,068 3.700%, 01/15/08 3,850 3,841 Bank of America 7.400%, 01/15/11 (K) 3,875 4,475 6.250%, 04/15/12 1,370 1,499 5.875%, 02/15/09 2,355 2,520 5.250%, 12/01/15 955 960 4.375%, 12/01/10 810 808 3.875%, 01/15/08 4,255 4,280 Bankamerica Capital (F) 2.640%, 01/15/27 1,400 1,351 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 51 -------------------------------------------------------------------------------- SCHEDULE OF INVESTMENTS (Unaudited) CORE FIXED INCOME FUND (Continued) November 30, 2004 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Banponce Trust I, Ser A 8.327%, 02/01/27 $ 2,410 $ 2,621 Belford Funding MTN (F) (L) 2.140%, 02/02/05 21,340 21,340 Berkshire Hathaway (C) 3.400%, 07/02/07 2,935 2,926 Boeing Capital 6.500%, 02/15/12 340 378 6.100%, 03/01/11 660 713 5.800%, 01/15/13 315 335 Bradford & Bingley (F) (L) 2.196%, 01/07/05 13,444 13,442 CCN Bluegrass (F) (L) 2.207%, 08/18/05 16,005 16,005 CIT Group (F) (L) 1.870%, 12/01/04 12,804 12,804 Capital One Bank 6.700%, 05/15/08 1,000 1,081 6.500%, 06/13/13 585 631 5.125%, 02/15/14 285 281 4.875%, 05/15/08 4,520 4,632 Chase Capital Funding, Ser C (F) 2.340%, 03/01/27 840 790 Chase Capital, Ser B (F) 2.660%, 02/01/27 500 468 Citicorp 7.750%, 06/15/06 (B) 2,800 2,989 7.200%, 06/15/07 740 802 Citifinancial 6.250%, 01/01/08 1,350 1,439 Citigroup 6.500%, 01/18/11 1,120 1,243 6.200%, 03/15/09 300 326 5.625%, 08/27/12 780 826 5.500%, 08/09/06 865 897 5.000%, 03/06/07 915 945 5.000%, 09/15/14 (C) 1,266 1,257 3.625%, 02/09/09 11,645 11,487 3.500%, 02/01/08 1,510 1,500 2.000%, 06/09/09 (F) 2,425 2,431 Colonial Realty MTN 6.980%, 09/26/05 5,300 5,417 Countrywide Home Loans MTN, Ser L 2.875%, 02/15/07 2,440 2,395 2.435%, 02/23/05 (F) (L) 6,189 6,188 Countrywide Home Loans MTN, Ser M (F) (L) 2.471%, 08/26/05 6,402 6,402 2.429%, 05/20/05 4,268 4,268 2.030%, 06/23/05 8,536 8,535 Credit Suisse First Boston USA 4.625%, 01/15/08 2,005 2,054 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Danske Bank (C) (F) 5.914%, 12/29/49 $ 4,000 $ 4,193 Developers Diversified Realty MTN 7.000%, 03/19/07 1,100 1,172 Dryden Investor Trust (C) (H) 7.157%, 07/23/08 3,101 3,282 EOP Operating 7.250%, 06/15/28 630 695 4.750%, 03/15/14 1,915 1,831 Eksportsfinans MTN 3.375%, 01/15/08 4,950 4,918 Equity One 3.875%, 04/15/09 420 404 Equity Residential Properties Trust 6.625%, 03/15/12 1,705 1,870 Farmers Exchange Capital (C) 7.200%, 07/15/48 2,550 2,531 7.050%, 07/15/28 1,563 1,551 Farmers Insurance Exchange (C) 8.625%, 05/01/24 4,518 5,230 Five Finance MTN (F) (L) 2.150%, 09/22/05 30,303 30,291 Ford Motor Credit 7.875%, 06/15/10 9,665 10,563 7.500%, 03/15/05 250 253 7.375%, 02/01/11 3,400 3,638 7.250%, 10/25/11 (K) 5,446 5,782 7.000%, 10/01/13 1,125 1,174 6.875%, 02/01/06 3,750 3,875 Ford Motor Credit MTN 7.750%, 02/15/07 4,435 4,773 GE Capital Franchise MTN 6.860%, 06/15/07 1,100 1,195 General Electric Capital MTN, Ser A 5.450%, 01/15/13 1,260 1,317 4.750%, 09/15/14 1,220 1,200 4.250%, 01/15/08 7,010 7,104 3.750%, 12/15/09 3,270 3,199 3.600%, 10/15/08 4,170 4,111 3.450%, 07/16/07 1,030 1,026 2.219%, 07/28/08 (F) 5,275 5,267 General Motors Acceptance 8.000%, 11/01/31 5,742 5,754 7.250%, 03/02/11 (K) 4,205 4,384 6.875%, 09/15/11 10,558 10,769 6.750%, 12/01/14 1,150 1,134 6.125%, 09/15/06 465 478 6.125%, 02/01/07 270 278 5.625%, 05/15/09 (K) 1,130 1,125 4.560%, 12/01/14 (F) 1,375 1,360 Goldman Sachs Group 6.600%, 01/15/12 2,630 2,916 5.000%, 10/01/14 3,207 3,154 -------------------------------------------------------------------------------- 52 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Greenpoint Financial 3.200%, 06/06/08 $ 2,140 $ 2,084 HBOS Treasury Services (C) 3.600%, 08/15/07 1,020 1,020 HSBC Bank 3.875%, 09/15/09 3,625 3,570 1.980%, 09/21/07 (F) 2,575 2,575 HSBC Finance 6.750%, 05/15/11 155 173 Harrier Finance Funding MTN, Ser 1 (F) (L) 1.886%, 06/15/05 18,566 18,561 Healthcare Realty Trust 5.125%, 04/01/14 1,650 1,601 Household Finance 8.000%, 07/15/10 2,330 2,728 7.000%, 05/15/12 3,125 3,545 6.375%, 11/27/12 365 401 5.875%, 02/01/09 2,675 2,849 4.125%, 12/15/08 (K) 3,605 3,605 4.125%, 11/16/09 870 860 Irish Life & Permanent MTN, Ser X (F) (L) 2.155%, 12/22/05 19,846 19,843 Istar Financial, Ser B 4.875%, 01/15/09 405 409 JP Morgan Capital Trust II 7.950%, 02/01/27 180 195 JP Morgan Chase 6.750%, 02/01/11 2,183 2,434 5.750%, 01/02/13 (K) 3,670 3,850 5.250%, 05/30/07 375 390 5.125%, 09/15/14 4,225 4,208 4.000%, 02/01/08 1,225 1,230 3.625%, 05/01/08 1,315 1,303 Korea Development Bank 4.250%, 11/13/07 560 566 Lakeside Funding (F) (L) 2.276%, 12/08/04 27,255 27,255 Lehman Brothers 7.000%, 02/01/08 2,765 3,010 Liberty Light US Capital (F) (L) 2.075%, 01/14/05 10,670 10,670 2.070%, 02/09/05 10,670 10,669 Loews 7.000%, 10/15/23 1,950 1,962 MBNA America Bank 4.625%, 08/03/09 930 942 Marsh & Mclennan 6.250%, 03/15/12 1,790 1,831 Massmutual Global Funding II (C) 2.550%, 07/15/08 2,570 2,453 Merrill Lynch 7.430%, 09/01/22 22 23 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Merrill Lynch MTN, Ser B 3.375%, 09/14/07 $ 1,650 $ 1,637 Merrill Lynch MTN, Ser C 5.000%, 01/15/15 860 846 4.125%, 09/10/09 1,510 1,497 Met Life Global Funding (C) 4.750%, 06/20/07 800 819 4.250%, 07/30/09 750 749 Monumental Global Funding II (C) 4.375%, 07/30/09 1,575 1,575 Morgan Stanley 5.300%, 03/01/13 2,500 2,550 4.750%, 04/01/14 2,238 2,158 Morgan Stanley, Ser EXL (F) (L) 2.039%, 12/04/05 4,268 4,268 NB Capital Trust IV 8.250%, 04/15/27 4,655 5,077 National City Bank 3.375%, 10/15/07 2,110 2,094 3.300%, 05/15/07 700 698 NationsBank Capital Trust (F) 2.620%, 01/15/27 5,080 4,862 Nationwide Building Society 3.500%, 07/31/07 (C) 2,700 2,686 1.953%, 10/28/05 (F) (L) 10,670 10,671 Nationwide Mutual Insurance (C) 8.250%, 12/01/31 2,000 2,387 6.600%, 04/15/34 (K) 5,263 5,078 New York Life Global Funding (C) 3.875%, 01/15/09 2,550 2,519 Odyssey Re Holdings 7.650%, 11/01/13 3,620 3,926 PNC Funding 5.250%, 11/15/15 945 946 Pacific Life Global Funding (F) (L) 2.090%, 11/14/05 16,005 16,005 Permanent Financing PLC, Ser 2A (F) 4.200%, 06/10/07 10,800 10,907 Premium Asset Trust (F) (L) 2.170%, 12/15/05 29,876 29,876 Prime Property Funding (C) 5.600%, 06/15/11 3,380 3,479 Progress Capital Holdings MTN 6.750%, 12/10/07 3,000 3,267 Protective Life MTN 3.700%, 11/24/08 1,500 1,488 RBS Capital Trust I (F) 4.709%, 12/29/49 570 547 Rabobank Capital (C) (F) 5.260%, 12/29/49 500 505 Rouse 5.375%, 11/26/13 1,315 1,240 3.625%, 03/15/09 705 657 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 53 -------------------------------------------------------------------------------- SCHEDULE OF INVESTMENTS (Unaudited) CORE FIXED INCOME FUND (Continued) November 30, 2004 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Royal Bank of Scotland 5.000%, 11/12/13 $ 495 $ 498 Royal Bank of Scotland Group PLC, Ser 2 8.817%, 03/31/49 3,875 3,948 SLM MTN, Cl X (F) (L) 2.150%, 12/20/05 37,345 37,345 SLM MTN 3.625%, 03/17/08 1,735 1,719 SLM MTN, Ser A 5.000%, 10/01/13 1,521 1,518 Saturn Ventures (F) (L) 2.143%, 02/07/05 10,670 10,670 Sigma Finance MTN (F) (L) 1.989%, 01/04/05 12,804 12,804 Simon Property Group 4.900%, 01/30/14 645 624 SunTrust Bank 4.000%, 10/15/08 1,390 1,396 3.625%, 10/15/07 2,105 2,096 1.910%, 06/02/09 (F) 1,350 1,350 TIAA Global Markets (C) 3.875%, 01/22/08 1,625 1,632 Toyota Motor Credit 2.875%, 08/01/08 1,970 1,908 U.S. Trust (F) (L) 2.212%, 09/12/05 21,340 21,340 UBS Preferred Funding Trust I (F) 8.622%, 10/29/49 410 493 US Bancorp MTN, Ser N 3.950%, 08/23/07 250 251 3.125%, 03/15/08 1,520 1,488 US Bank 2.870%, 02/01/07 720 713 2.400%, 03/12/07 1,425 1,395 2.036%, 10/01/07 (F) 5,475 5,472 USAA Capital MTN, Ser B (C) 4.000%, 12/10/07 1,500 1,515 Wachovia 6.300%, 04/15/28 (F) 1,520 1,628 4.800%, 11/01/14 1,525 1,494 3.625%, 02/17/09 975 959 Washington Mutual 4.000%, 01/15/09 1,825 1,809 Washington Mutual Bank 5.125%, 01/15/15 685 670 2.310%, 08/18/05 (F) (L) 21,340 21,340 Wells Fargo 7.800%, 06/15/10 (F) 450 461 5.000%, 11/15/14 (K) 2,935 2,924 4.538%, 06/25/34 (F) 8,612 8,454 Western & Southern Financial (C) 5.750%, 07/15/33 105 100 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Westfield Capital (C) 4.375%, 11/15/10 $ 3,900 $ 3,823 White Pine Finance (F) (L) 2.096%, 03/11/05 5,335 5,334 2.026%, 11/01/05 9,390 9,387 XL Capital 6.375%, 11/15/24 705 706 Zions Bancorp 6.000%, 09/15/15 1,105 1,163 ----------- 770,409 ----------- HEALTH CARE -- 0.3% Boston Scientific 5.450%, 06/15/14 640 657 Bristol-Myers Squibb 6.875%, 08/01/97 425 470 5.750%, 10/01/11 2,510 2,660 HCA (K) 5.750%, 03/15/14 6,320 6,052 Merck 4.375%, 02/15/13 1,225 1,179 Tenet Healthcare (K) 7.375%, 02/01/13 221 215 Wyeth 6.950%, 03/15/11 570 636 6.500%, 02/01/34 220 229 6.450%, 02/01/24 705 730 ----------- 12,828 ----------- INDUSTRIALS -- 2.6% Air 2 US (C) 8.027%, 10/01/19 4,313 3,658 America West Airlines, Ser 99-1 7.930%, 01/02/19 5,934 6,409 American Airlines, Ser 01-2 (K) 7.858%, 10/01/11 2,000 2,061 American Airlines, Ser 99-1 (K) 7.024%, 10/15/09 2,320 2,367 Burlington North Santa Fe 7.290%, 06/01/36 1,010 1,200 Canadian National Railways 7.375%, 10/15/31 1,370 1,642 6.900%, 07/15/28 150 167 Caterpillar MTN, Ser F (F) (L) 2.180%, 07/11/05 10,670 10,670 Citicorp Lease 7.220%, 06/15/05 3,941 4,025 Continental Airlines, Ser 00-1 8.048%, 11/01/20 943 928 Continental Airlines, Ser 00-2 7.707%, 04/02/21 2,043 2,001 7.487%, 10/02/10 1,270 1,266 -------------------------------------------------------------------------------- 54 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Continental Airlines, Ser 02-1 6.563%, 02/15/12 $ 1,400 $ 1,500 Continental Airlines, Ser 971A 7.461%, 04/01/15 304 293 Continental Airlines, Ser 974A (K) 6.900%, 01/02/18 5,617 5,503 Continental Airlines, Ser 99-2 (K) 7.256%, 03/15/20 944 940 Delta Airlines, Ser 02-1, Cl G-1 6.718%, 01/02/23 4,455 4,632 Delta Airlines, Ser 02-1, Cl G-2 6.417%, 07/02/12 3,740 3,895 Delta Airlines, Ser 2001-1, Cl A2 (K) 7.111%, 09/18/11 480 463 Delta Airlines, Ser 2000-1, Cl A2 (K) 7.570%, 11/18/10 1,720 1,646 Eastman Kodak 7.250%, 11/15/13 1,685 1,816 General Electric 5.000%, 02/01/13 2,085 2,117 HCA 6.375%, 01/15/15 895 887 Hughes Supply (C) 5.500%, 10/15/14 500 487 Lockheed Martin (K) 8.500%, 12/01/29 2,720 3,621 Norfolk Southern 7.050%, 05/01/37 1,140 1,302 Northrop Grumman (K) 7.750%, 02/15/31 590 731 Northwest Airlines, Ser 2001-1, Cl A-1 (K) 7.041%, 04/01/22 1,832 1,811 Ohana Military LLC, Ser 04I 6.193%, 04/01/49 750 769 Raytheon 6.000%, 12/15/10 18 19 5.500%, 11/15/12 40 42 5.375%, 04/01/13 405 418 4.500%, 11/15/07 208 213 TXU (C) 5.550%, 11/15/14 1,555 1,531 4.800%, 11/15/09 2,500 2,495 Tyco International Group 7.000%, 06/15/28 1,775 2,004 6.875%, 01/15/29 5,420 6,080 6.375%, 10/15/11 (K) 5,390 5,928 6.000%, 11/15/13 1,945 2,094 US Airways, Cl B (H) (I) 7.500%, 04/15/08 3,348 -- United Technologies 6.500%, 06/01/09 1,670 1,835 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Waste Management 7.375%, 05/15/29 $ 895 $ 1,020 7.125%, 12/15/17 4,840 5,499 7.100%, 08/01/26 1,375 1,517 ----------- 99,502 ----------- INFORMATION TECHNOLOGY -- 0.1% Electronic Data Systems (K) 7.125%, 10/15/09 2,380 2,558 ----------- MATERIALS -- 0.2% Codelco (C) 4.750%, 10/15/14 900 867 International Paper 5.500%, 01/15/14 2,265 2,309 Lubrizol 5.500%, 10/01/14 680 671 MeadWestavaco (K) 6.850%, 04/01/12 1,070 1,200 Weyerhaeuser 7.375%, 03/15/32 850 983 6.750%, 03/15/12 760 852 ----------- 6,882 ----------- REGIONAL AGENCIES -- 1.2% Aid-Israel 5.500%, 09/18/23 5,950 6,081 Quebec Province 5.000%, 07/17/09 990 1,028 Russian Federation (G) 5.000%, 03/31/30 11,210 11,197 United Mexican States 8.375%, 01/14/11 6,140 7,153 8.125%, 12/30/19 405 463 United Mexican States MTN 6.375%, 01/16/13 2,130 2,226 United Mexican States MTN, Ser A 8.000%, 09/24/22 2,290 2,553 7.500%, 04/08/33 13,369 13,931 6.750%, 09/27/34 425 404 ----------- 45,036 ----------- TELECOMMUNICATION SERVICES -- 1.3% AT&T Wireless Services 8.125%, 05/01/12 1,255 1,502 7.350%, 03/01/06 2,000 2,099 BellSouth 6.550%, 06/15/34 450 472 4.750%, 11/15/12 1,300 1,289 4.200%, 09/15/09 920 916 British Telecommunications PLC 8.375%, 12/15/10 1,310 1,560 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 55 -------------------------------------------------------------------------------- SCHEDULE OF INVESTMENTS (Unaudited) CORE FIXED INCOME FUND (Continued) November 30, 2004 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Deutsche Telekom International 8.750%, 06/15/30 $ 2,046 $ 2,627 5.250%, 07/22/13 2,135 2,165 France Telecom 8.500%, 03/01/11 1,796 2,131 7.950%, 03/01/06 1,265 1,334 New England Telephone & Telegraph 7.875%, 11/15/29 1,175 1,388 New Jersey Bell Telephone 7.850%, 11/15/29 740 871 SBC Communications 6.450%, 06/15/34 255 263 5.100%, 09/15/14 1,850 1,833 4.125%, 09/15/09 410 406 Sprint Capital 8.750%, 03/15/32 475 612 8.375%, 03/15/12 1,900 2,295 7.625%, 01/30/11 760 876 7.125%, 01/30/06 2,300 2,400 6.000%, 01/15/07 1,570 1,644 4.780%, 08/17/06 (G) 9,025 9,205 Telecom Italia Capital 6.000%, 09/30/34 (C) 1,775 1,689 5.250%, 11/15/13 1,900 1,898 4.950%, 09/30/14 (C) 1,645 1,589 4.000%, 01/15/10 (C) 500 486 Telefonica Europe 7.750%, 09/15/10 775 902 Verizon Global Funding 7.750%, 12/01/30 575 691 7.250%, 12/01/10 800 914 6.875%, 06/15/12 465 525 Verizon Maryland 5.125%, 06/15/33 315 271 Verizon Maryland, Ser A 6.125%, 03/01/12 70 75 Verizon New Jersey, Ser A 5.875%, 01/17/12 325 343 Verizon New York, Ser A 6.875%, 04/01/12 1,435 1,587 Verizon Pennsylvania, Ser A 5.650%, 11/15/11 45 47 Vodafone Group 5.000%, 12/16/13 955 958 ----------- 49,863 ----------- UTILITIES -- 1.8% American Electric Power, Ser C 5.375%, 03/15/10 535 556 Arizona Public Services 8.000%, 12/30/15 890 985 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Cleveland Electric Illumination 5.650%, 12/15/13 $ 330 $ 338 Cogentrix Energy (C) 8.750%, 10/15/08 6,200 7,182 Conectiv MTN, Ser A 6.730%, 06/01/06 710 714 Dominion Resources 5.700%, 09/17/12 (K) 3,690 3,853 4.125%, 02/15/08 250 251 Dominion Resources, Ser D 5.125%, 12/15/09 1,525 1,569 Duke Energy 6.250%, 01/15/12 1,210 1,308 5.625%, 11/30/12 1,405 1,463 El Paso Electric, Ser E 9.400%, 05/01/11 2,315 2,573 Exelon 6.750%, 05/01/11 310 344 FPL Energy (C) 6.639%, 06/20/23 5,501 5,790 FirstEnergy, Ser A 5.500%, 11/15/06 2,050 2,115 FirstEnergy, Ser B 6.450%, 11/15/11 1,225 1,316 FirstEnergy, Ser C 7.375%, 11/15/31 7,035 7,782 Hydro-Quebec, Ser JL 6.300%, 05/11/11 1,050 1,160 Ohio Edison 5.450%, 05/01/15 200 199 Oncor Electric Delivery 6.375%, 01/15/15 460 501 Pacific Gas & Electric 6.050%, 03/01/34 5,070 5,110 2.720%, 04/03/06 (F) 932 933 Pinnacle West Capital (F) 2.960%, 11/01/05 2,800 2,800 Power Contract Financing (C) 5.200%, 02/01/06 3,777 3,817 Progress Energy 7.750%, 03/01/31 1,810 2,113 Public Service 7.875%, 10/01/12 805 966 SP Powerassets (C) 5.000%, 10/22/13 150 151 Sonat 7.625%, 07/15/11 2,880 2,930 Southern California Edison 8.000%, 02/15/07 2,145 2,346 TXU Energy 7.000%, 03/15/13 460 509 2.838%, 01/17/06 (C) (F) 1,510 1,513 Virginia Electric & Power, Ser A 5.750%, 03/31/06 1,325 1,366 -------------------------------------------------------------------------------- 56 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Williams 8.750%, 03/15/32 $ 2,840 $ 3,280 7.750%, 06/15/31 740 775 Williams, Ser A (K) 7.500%, 01/15/31 310 321 ----------- 68,929 ----------- Total Corporate Obligations (Cost $1,181,384) ($ Thousands) 1,199,202 ----------- U.S. TREASURY OBLIGATIONS -- 26.9% U.S. Treasury Bonds 12.000%, 08/15/13 (K) 7,480 9,671 10.375%, 11/15/12 (K) 11,540 13,813 8.875%, 08/15/17 (K) 3,800 5,323 8.750%, 05/15/17 (K) 29,260 40,543 8.500%, 02/15/20 (K) 7,325 10,182 8.125%, 08/15/19 (K) 21,263 28,599 7.125%, 02/15/23 4,842 6,063 6.750%, 08/15/26 (K) 15,420 18,820 6.250%, 08/15/23 (K) 9,585 10,998 6.250%, 05/15/30 300 350 6.125%, 11/15/27 (K) 25,627 29,228 6.000%, 02/15/26 (K) 10,725 12,017 5.500%, 08/15/28 (K) 3,590 3,791 5.375%, 02/15/31 (K) 107,704 113,358 4.250%, 01/15/10 (D) (K) 2,561 2,977 3.875%, 04/15/29 (D) 7,005 9,254 3.625%, 04/15/28 (D) (K) 29,460 37,247 3.375%, 01/15/07 to 01/15/12 (D) 1,935 2,079 2.375%, 01/15/25 (D) (K) 23,939 24,790 0.875%, 04/15/10 (D) 15,852 15,714 U.S. Treasury Notes 6.500%, 10/15/06 (K) 330 351 5.750%, 08/15/10 970 1,064 4.750%, 05/15/14 (K) 1,450 1,495 4.250%, 08/15/13 to 11/15/14 (K) 57,439 57,083 4.000%, 06/15/09 (K) 25,810 26,195 3.625%, 07/15/09 (K) 540 539 3.500%, 08/15/09 to 11/15/09 (K) 74,616 73,984 3.375%, 10/15/09 (K) 45,735 45,086 3.250%, 08/15/08 (K) 17,750 17,631 3.125%, 09/15/08 to 10/15/08 (K) 2,340 2,311 3.000%, 11/15/07 (K) 128,275 127,313 2.750%, 08/15/07 (K) 6,500 6,423 2.500%, 09/30/06 (K) 85,013 84,292 2.500%, 05/31/06 to 10/31/06 68,797 68,230 2.375%, 08/31/06 10,554 10,451 2.000%, 07/15/14 (D) (K) 39,922 40,855 1.875%, 07/15/13 (D) (K) 4,734 4,836 1.625%, 02/28/06 (K) 47,089 46,431 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- U.S. Treasury STRIPS (A) (K) 5.753%, 11/15/21 $ 23,570 $ 9,741 5.486%, 02/15/23 10,290 3,956 ----------- Total U.S. Treasury Obligations (Cost $1,012,627) ($ Thousands) 1,023,084 ----------- ASSET-BACKED SECURITIES -- 24.8% AUTOMOTIVE -- 2.2% AESOP Funding, Ser 1998-1, Cl A 6.140%, 05/20/06 2,500 2,525 AESOP Funding, Ser 2003-4A, Cl A1 (F) 2.370%, 08/20/07 12,000 12,004 Americredit Automobile Receivables Trust, Ser 2002-1, Cl A3 4.230%, 10/06/06 1,393 1,396 Americredit Automobile Receivables Trust, Ser 2002-A, Cl A3 (F) 2.261%, 10/12/06 1,014 1,014 Americredit Automobile Receivables Trust, Ser 2003-BX, Cl A2A 1.550%, 11/06/06 523 523 Capital Auto Receivables Asset Trust, Ser 2002-2, Cl A4 4.500%, 10/15/07 9,315 9,385 Capital Auto Receivables Asset Trust, Ser 2002-3, Cl A3 3.580%, 10/16/06 10,225 10,275 Capital Auto Receivables Asset Trust, Ser 2004-1, Cl A3 2.000%, 11/15/07 3,251 3,204 Chase Manhattan Auto Owner Trust, Ser 2004-A, Cl A3 2.080%, 05/15/08 3,790 3,741 Chesapeake Funding, Ser 2003-1, Cl A1 (F) 2.311%, 08/07/08 11,000 11,007 DaimlerChrysler Auto Trust, Ser 2004-B, Cl A3 3.180%, 09/08/08 2,041 2,040 DaimlerChrysler Master Owner Trust, Ser 2002-A, Cl A (F) 2.160%, 05/15/07 3,180 3,180 Drivetime Auto Owner Trust (L) 2.100%, 07/15/05 1,687 1,687 Drivetime Auto Owner Trust (F) (L) 2.148%, 11/15/05 4,506 4,506 Drivetime Auto Owner Trust, Ser 2003-B, Cl A2 1.347%, 04/17/06 1,109 1,106 Ford Credit Auto Owner Trust, Ser 2002-D, Cl A4B (F) 2.220%, 11/15/06 13,000 13,008 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 57 -------------------------------------------------------------------------------- SCHEDULE OF INVESTMENTS (Unaudited) CORE FIXED INCOME FUND (Continued) November 30, 2004 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- USAA Auto Owner Trust, Ser 2004-3, Cl A3 3.160%, 02/17/09 $ 1,145 $ 1,140 Whole Auto Loan Trust, Ser 2003-1, Cl A4 2.580%, 03/15/10 1,417 1,397 Whole Auto Loan Trust, Ser 2004-1, Cl A4 3.260%, 03/15/11 1,782 1,764 ----------- 84,902 ----------- CREDIT CARDS -- 3.0% American Express Credit Account Master, Ser 2004-3, Cl A 4.350%, 12/15/11 1,339 1,358 Chase Credit Card Master Trust, Ser 2001-1, Cl A 2.240%, 06/16/08 10,550 10,566 Chase Issuance Trust, Ser 2004-A9, Cl A9 3.220%, 06/15/10 7,925 7,828 Citibank Credit Card Issuance Trust, Ser 2000-A1, Cl A1 6.900%, 10/15/07 7,175 7,418 Citibank Credit Card Issuance Trust, Ser 2000-A3, Cl A3 6.875%, 11/16/09 2,273 2,478 Citibank Credit Card Issuance Trust, Ser 2002-A5, Cl A5 (F) 1.920%, 09/17/07 21,915 21,917 Citibank Credit Card Issuance Trust, Ser 2003-A10, Cl A10 4.750%, 12/10/15 2,515 2,509 Citibank Credit Card Issuance Trust, Ser 2003-A6, Cl A6 2.900%, 05/17/10 8,130 7,902 Citibank Credit Card Issuance Trust, Ser 2004-A1, Cl A1 2.550%, 01/20/09 11,612 11,412 Citibank Credit Card Issuance Trust, Ser 2004-A4, Cl A4 3.200%, 08/24/09 9,950 9,852 Citibank OMNI Master Trust, Ser 2002-4, Cl A (F) 2.230%, 08/18/09 8,639 8,645 MBNA Credit Card Master Note Trust, Ser 2003-A6, Cl A6 2.750%, 10/15/10 5,750 5,565 MBNA Credit Card Master Note Trust, Ser 2004-A4, Cl A4 2.700%, 09/15/09 7,075 6,954 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Metris Master Trust, Ser 2000-1, Cl A (F) 2.440%, 08/20/08 $ 5,414 $ 5,405 Metris Master Trust, Ser 2000-3, Cl A (F) 2.400%, 09/21/09 2,455 2,449 Metris Master Trust, Ser 2004-2, Cl A 2.200%, 10/20/10 1,485 1,485 Providian Gateway Master Trust, Ser 2004-FA, Cl A 3.650%, 11/15/11 1,680 1,662 ----------- 115,405 ----------- MORTGAGE RELATED SECURITIES -- 19.0% ABS Home Equity Loan Trust, Ser 2001-HE3, Cl A1 (F) 2.370%, 11/15/31 1,197 1,198 AFC Home Equity Loan Trust, Ser 2000-1, Cl 2A (F) 2.420%, 03/25/30 8,115 8,094 ARSI, Ser 2004-W5, Cl AF1 (F) 2.290%, 04/25/34 4,395 4,395 Advanta Mortgage Loan Trust, Ser 1998-3, Cl A2 (F) 2.480%, 09/25/28 431 432 Aire Valley Mortgages (F) (L) 2.140%, 09/20/05 13,658 13,658 Ameriquest Mortgage Securities, Ser 2004-R12, Cl A3 2.630%, 01/25/35 854 854 Amortizing Residential Collateral Trust CMO, Ser 2002-BC1, Cl A (F) 2.520%, 01/25/32 2,175 2,178 Asset Securitization, Ser 1996-D2, Cl A1 6.920%, 02/14/29 6,462 6,687 Banc of America Commercial Mortgage, Ser 2004-5, Cl A3 4.561%, 11/10/41 5,370 5,397 Bank of America Mortgage Securities, Ser 2003-1, Cl 2A4 5.000%, 02/25/18 7,146 7,188 Bank of America Mortgage Securities, Ser 2004-5, Cl 4A1 5.000%, 06/25/19 3,016 3,049 Bank of America Mortgage Securities, Ser 2004-6, Cl 4A1 5.000%, 07/25/19 3,275 3,231 BankBoston Home Equity Loan Trust, Ser 1998-2, Cl A5 6.140%, 02/25/19 4 4 -------------------------------------------------------------------------------- 58 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Bear Stearns Asset-Backed Securities, Ser 2001-A, Cl AI4 6.820%, 02/15/31 $ 3,684 $ 3,770 Blue Heron Funding (F) (L) 2.211%, 02/23/05 21,340 21,340 2.170%, 03/18/05 9,603 9,603 CDC Mortgage Capital Trust, Ser 2003-HE2, Cl A (F) 2.530%, 10/25/33 5,613 5,614 CIGNA CBO, Ser 1996-1, Cl A2 6.460%, 11/15/08 7,370 7,554 CSFB, Ser 1997-C2, Cl AX IO (F) 1.359%, 01/17/35 25,630 750 CSFB, Ser 1998-C2, Cl A2 6.300%, 11/11/30 5,490 5,924 CSFB, Ser 2001-MH29, Cl A 5.600%, 09/25/31 1,809 1,798 Chase Commercial Mortgage Securities, Ser 2000-1, Cl A2 7.757%, 04/15/32 2,390 2,706 Chase Funding Mortgage Loan, Ser 2002-1, Cl 2A2 (F) 2.430%, 03/25/32 4,148 4,156 Chase Funding Net Interest Margin, Ser 2003-C1A, Cl NOTE 6.750%, 03/27/36 200 201 Cheyne High Grade (F) (L) 2.280%, 11/10/05 12,271 12,271 Citi Group Home Equity Loan Trust, Ser 2002-1, Cl AF4 5.970%, 03/25/29 5,914 5,957 Commercial Mortgage Pass-through Certificate, Ser 2004-LB4A, Cl A2 4.049%, 10/15/37 2,676 2,655 Commercial Mortgage, Ser 2000-C1, Cl A2 7.416%, 08/15/33 3,990 4,521 Commodore (F) (L) 1.970%, 12/12/38 6,402 6,402 Conseco Finance Home Loan Trust, Ser 2000-E, Cl M1 8.130%, 08/15/31 5,600 5,613 Conseco Finance Securitization, Ser 2000-4, Cl A5 7.970%, 05/01/32 2,800 2,291 Conseco Finance Securitization, Ser 2000-4, Cl A6 8.310%, 05/01/32 950 798 Conseco Finance, Ser 2001-A, Cl IIB1 10.300%, 03/15/32 2,800 2,984 Contimortgage Home Equity Loan Trust, Ser 1997-3, Cl A9 7.120%, 08/15/28 471 477 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Contimortgage Home Equity Loan Trust, Ser 1997-5, Cl A6 6.870%, 03/15/24 $ 794 $ 817 Contimortgage Home Equity Loan, Ser 1997-2, Cl A9 7.090%, 04/15/28 358 369 Countrywide Alternative Loan Trust, Ser 2004-27CB, Cl A1 6.000%, 12/25/34 7,300 7,478 Countrywide Alternative Loan Trust, Ser 2004-2CB, Cl 4A1 5.000%, 03/25/19 3,604 3,514 Countrywide Alternative Loan Trust, Ser 2004-J1, Cl 1A1 6.000%, 02/25/34 2,412 2,448 Countrywide Alternative Loan Trust, Ser 2004-J6, Cl 2A1 6.500%, 11/25/31 10,182 10,516 Countrywide Asset-Backed Certificates, Ser 2001-BC3, Cl A (F) 2.420%, 12/25/31 308 308 Countrywide Asset-Backed Certificates, Ser 2003-C2, Cl 2A1 (F) 2.480%, 06/25/33 10,942 10,944 Countrywide Asset-Backed Certificates, Ser 2004-11, Cl A2 2.561%, 03/25/33 1,488 1,488 Countrywide Asset-Backed Certificates, Ser 2004-3N, Cl NOTE (F) 2.380%, 05/25/09 4,503 4,503 Countrywide Asset-Backed Certificates, Ser 2004-6, Cl 2A2 2.500%, 08/25/32 1,192 1,192 Countrywide Home Equity Loan Trust, Ser 1999-A, Cl CTFS (F) 2.420%, 04/15/25 2,144 2,145 Countrywide Home Equity Loan Trust, Ser 2001-A, Cl A (F) 2.340%, 04/15/27 3,903 3,901 Countrywide Home Equity Loan Trust, Ser 2004-K, Cl A2 2.400%, 02/15/34 10,603 10,603 Criimi Mae Commercial Mortgage, Ser 1998-C1, Cl A2 7.000%, 06/02/33 4,200 4,514 DLJ Commercial Mortgage, Ser 1999-CG1, Cl A1B 6.460%, 03/10/32 3,175 3,461 DLJ Commercial Mortgage, Ser 1999-CG2, Cl A1B 7.300%, 06/10/32 3,600 4,045 DSLA Mortgage Loan Trust, Ser 2004-AR1, Cl A2A 2.540%, 09/19/44 11,951 11,977 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 59 -------------------------------------------------------------------------------- SCHEDULE OF INVESTMENTS (Unaudited) CORE FIXED INCOME FUND (Continued) November 30, 2004 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- DSLA Mortgage Loan Trust, Ser 2004-AR2, Cl A2B 2.530%, 11/19/44 $ 14,951 $ 14,951 Davis Square Funding (F) (L) 2.091%, 04/06/05 10,670 10,670 2.091%, 05/06/05 10,670 10,670 Delta Funding Home Equity Loan, Ser 1999-3, Cl A1A (F) 2.510%, 09/15/29 1,179 1,182 Deutsche Mortgage & Asset Receiving, Ser 1998-C1, CL A2 6.538%, 06/15/31 9,357 9,966 Duke Funding (F) (L) 2.115%, 04/08/05 10,670 10,670 EMC Mortgage Loan Trust, Ser 2002-AA, Cl A1 (F) 2.650%, 05/25/39 3,220 3,229 EQCC Trust, Ser 2002-1, Cl 2A (F) 2.480%, 11/25/31 1,571 1,574 Equity One, Ser 2002-2, Cl AF3 5.773%, 10/25/32 6,571 6,704 Equivantage Home Equity Loan Trust, Ser 1997-2, Cl A3 (F) 7.775%, 07/25/28 791 789 First Horizon, Ser 2004-HE2, Cl A (F) 2.400%, 02/25/34 9,586 9,569 First Union-Lehman Brothers, 1997-C2, Cl IO (F) 1.431%, 11/18/29 1,371 64 First Union National Bank, Ser 2000-C2, Cl A2 7.202%, 10/15/32 1,930 2,199 Fleet Home Equity Trust, Ser 2001-1, Cl A (F) 2.350%, 05/20/31 457 455 GE Capital Commercial Mortgage, Ser 2004-C2, Cl A1 3.111%, 03/10/40 454 447 GE Capital Mortgage Services, Ser 1997-HE3, Cl A6 6.720%, 10/25/27 1,601 1,598 GMAC Commercial Mortgage Securities, Ser 1999-C2, Cl A2 6.945%, 09/15/33 4,100 4,539 GMAC Commercial Mortgage Securities, Ser 1999-C3, Cl A2 7.179%, 08/15/36 5,017 5,600 GMAC Commercial Mortgage Securities, Ser 2000-C2, Cl A2 7.455%, 08/16/33 5,180 5,941 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- GMAC Commercial Mortgage Securities, Ser 2003-FL1A, Cl A (F) 2.451%, 03/11/15 $ 698 $ 698 GMAC Mortgage Corporation Loan Trust, Ser 2004-HE5, Cl A1 2.321%, 09/25/34 10,500 10,500 GMAC Mortgage Corporation Loan Trust, Ser 2004-HE5, Cl A2 3.685%, 09/25/34 854 851 Green Tree Financial, Ser 1996-5, Cl A6 7.750%, 07/15/27 1,631 1,763 Green Tree Financial, Ser 1998-6, Cl A6 6.270%, 06/01/30 1,296 1,329 Greenwich Capital Commercial Funding, Ser 2004-GG1, Cl A7 5.317%, 06/10/36 2,685 2,767 GS Mortgage Securities, Ser 2004-C1, Cl A1 3.659%, 10/10/28 589 581 GSAMP Trust, Ser 2003-SEA, Cl A1 (F) 2.580%, 02/25/33 6,818 6,828 GSAMP Trust, Ser 2004-AHL, Cl A2B 2.531%, 08/25/34 823 822 Harborview Mortgage Loan Trust, Ser 2004-8, Cl 2A4A 2.530%, 11/19/34 12,099 12,099 Harwood (L) (F) 2.190%, 09/20/05 27,102 27,102 IMPAC CMB Trust, CMO, Ser 2002-2, Cl A1 (F) 2.460%, 08/25/32 3,082 3,083 IMPAC CMB Trust, Ser 2002-5, Cl A1 (F) 2.550%, 07/25/32 4,136 4,141 IMPAC CMB Trust, Ser 2003-12, Cl A1 (F) 2.560%, 12/25/33 8,787 8,785 JP Morgan Chase Commercial Mortgage, Ser 1997-C5, Cl X, IO (F) 1.475%, 09/15/29 5,426 226 JP Morgan Chase Commercial Mortgage, Ser 2001-CIBC, Cl A3 6.260%, 03/15/33 5,735 6,281 JP Morgan Chase Commercial Mortgage, Ser 2004-LN2, Cl A1 4.475%, 07/15/41 14 14 JP Morgan Mortgage Trust, Ser 2004-A5, Cl 4A4 4.928%, 12/25/34 11,500 11,451 Lehman Brothers, Ser 1998-C4, Cl A1B 6.210%, 10/15/35 6,512 6,990 Lehman Brothers, Ser 2000-C4, Cl A2 7.370%, 08/15/26 6,965 7,945 -------------------------------------------------------------------------------- 60 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- MLCC Mortgage Investors, Ser 2004-B, Cl A3 3.645%, 05/25/29 $ 5,744 $ 5,867 Master Adjustable Rate Mortgages Trust, Ser 2004-1, Cl 2A1 3.554%, 01/25/34 9,465 9,406 Master Adjustable Rate Mortgages Trust, Ser 2004-13, Cl 3A7A 3.787%, 12/21/34 11,650 11,417 Master Alternative Loans Trust, Ser 2004-4, Cl 1A1 5.500%, 05/25/34 4,610 4,567 Mellon Residential Funding, Ser 2001-HEIL, Cl A4 6.615%, 02/25/21 3,915 3,997 Merrill Lynch Mortgage Investors, Ser 1996-C2, Cl A3 6.960%, 11/21/28 3,515 3,678 Merrill Lynch Mortgage Investors, Ser 1998-C1, Cl A1 6.310%, 11/15/26 598 611 Merrill Lynch Mortgage Investors, Ser 2002-NC1, Cl A1 (F) 2.500%, 05/25/33 215 215 Merrill Lynch Mortgage Investors, Ser 2003-WMC1, Cl A2 (F) 2.540%, 11/25/33 8,562 8,573 Merrill Lynch Mortgage Trust, Ser 2004-BPC1, Cl A1 3.585%, 10/12/41 1,317 1,310 Mesa Trust Asset-Backed Certificates, Ser 2002-3, Cl A, IO (F) (H) 5.000%, 04/18/05 2,669 47 Metropolitan Asset Funding, Ser 1997-B, Cl A1D 7.130%, 03/20/12 1,115 1,113 Metropolitan Asset Funding, Ser 1998-A, Cl A4 (C) 6.981%, 01/20/26 80 80 Mid-State Trust, Ser 11, Cl A1 4.864%, 07/15/38 4,576 4,465 Money Store SBA Loan Trust, Ser 1999-1, Cl A (F) 2.800%, 07/15/25 424 421 Morgan Stanley Capital I, Ser 2004-T13, Cl A2 3.940%, 09/13/45 2,158 2,121 Morgan Stanley, Ser 2003-NC8, Cl A2 (F) 2.540%, 09/25/33 5,763 5,778 Nomura Asset Securities, Ser 1996-MD5, Cl A1B 7.120%, 04/13/39 3,000 3,144 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Nomura Asset Securities, Ser 1998-D6, Cl A1B 6.590%, 03/15/30 $ 2,055 $ 2,226 Novastar Home, Ser 1998-2, Cl A2 (F) 2.260%, 08/25/28 591 591 Oakwood Mortgage Investors, Ser 2002-C, Cl A, IO (H) 6.000%, 08/15/10 9,684 1,870 Oncor Electric Delivery Transition Bond, Ser 2003-1, Cl A2 4.030%, 02/15/12 3,130 3,142 Option One Mortgage Loan Trust, Ser 2001-4, Cl A (F) 2.480%, 01/25/32 1,587 1,588 Orchid Structured Finance (F) (L) 2.410%, 05/18/05 23,417 23,417 Origen Manufactured Housing, Ser 2002-A, Cl A1 (F) 2.340%, 05/15/32 131 131 RMAC (F) (L) 2.090%, 06/12/05 9,603 9,603 Renaissance Home Equity Loan Trust, Ser 2004-3, Cl AF-2 3.574%, 11/25/34 7,000 6,939 Residential Accredit Loan, Ser 1997-QS8, Cl A10 7.500%, 08/25/27 46 46 Residential Asset Mortgage Products, Ser 2003-RS3, Cl AII 2.540%, 04/25/33 1,526 1,527 Residential Asset Mortgage Products, Ser 2003-RZ4, Cl A1 2.330%, 06/25/24 2,147 2,147 Residential Asset Mortgage Products, Ser 2004-SL1, Cl A8 6.500%, 11/25/31 6,221 6,376 Residential Asset Mortgage Products, Ser 2004-SL3, Cl A2 6.500%, 12/25/31 8,470 8,732 Residential Asset Mortgage, Ser 2002-RS5, Cl AI5 5.410%, 09/25/32 10,000 10,193 Residential Asset Mortgage, Ser 2002-RS6, Cl AI5 5.650%, 11/25/32 6,000 6,183 Residential Asset Securities, Ser 2002-KS7, Cl A2 (F) 2.550%, 11/25/32 7,090 7,100 Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1 5.274%, 11/25/34 11,200 11,357 Residential Funding Mortgage Securities, Ser 2000-HI1, Cl AI7 8.290%, 02/25/25 7,263 7,494 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 61 -------------------------------------------------------------------------------- SCHEDULE OF INVESTMENTS (Unaudited) CORE FIXED INCOME FUND (Continued) November 30, 2004 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Ryland Mortgage Securities, CMO, Ser 1994-7A, Cl A2 7.000%, 08/25/25 $ 98 $ 98 SASC, Ser 2003-AL2, Cl A 3.357%, 01/25/31 3,916 3,630 Salomon Brothers Mortgage Securities, Ser 2000-C3, Cl A2 6.592%, 12/18/33 4,190 4,619 Salomon Brothers Mortgage Securities, Ser 2002-KEY2, Cl A1 3.222%, 03/18/36 632 630 Start, Ser 2003-1 1.620%, 01/21/10 6,122 6,122 Start, Ser 2003-2 (C) (F) 2.030%, 01/21/09 7,209 7,207 Structured Asset Investment Loan Trust, Ser 2003-BC7, Cl 1A1 (F) 2.310%, 07/25/33 1,188 1,188 Structured Asset Securities, Ser 2002-26, Cl 1A4 5.300%, 01/25/33 858 856 Terwin Mortgage Trust, Ser 2004-9HE, Cl A2 (F) 2.340%, 09/25/34 13,363 13,372 UBS Paine Webber Commercial Mortgage Trust, Ser 2003-C5, Cl A2 3.478%, 07/15/27 1,332 1,312 UBS Paine Webber Commercial Mortgage Trust, Ser 2004-C6, Cl A3 4.547%, 08/15/29 1,029 1,032 UBS Paine Webber Commercial Mortgage Trust, Ser 2004-C8, Cl A2 4.201%, 12/15/29 1,424 1,422 Wachovia Bank Commercial Mortgage Trust, Ser 2004-C15, Cl A3 4.502%, 10/15/41 2,501 2,509 Washington Mutual Mortgage, Ser 2003-MS1, Cl 1A 5.000%, 02/25/18 2,541 2,555 Washington Mutual Mortgage, Ser 2003-MS2, Cl 3A1 5.000%, 03/25/18 8,521 8,569 Washington Mutual, Ser 2002-AR18, Cl A (F) 4.150%, 01/25/33 5,205 5,209 Washington Mutual, Ser 2004-AR10, Cl A2A (F) 2.188%, 07/25/44 10,143 10,119 Wells Fargo, Ser 2003-3, Cl 1A21 5.250%, 04/25/33 3,990 4,018 Whitehawk CDO Funding (F) (L) 1.710%, 06/15/05 5,335 5,335 ----------- 720,320 ----------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- OTHER ASSET-BACKED SECURITIES -- 0.6% Embarcadero Aircraft, Ser 2000-A, Cl A1 (F) 2.580%, 08/15/25 $ 4,800 $ 2,400 SLM Student Loan Trust, Ser 2003-4, Cl A2 1.920%, 12/17/12 10,079 10,077 SLM Student Loan Trust, Ser 2004-9, Cl A1 1.970%, 10/25/09 10,350 10,340 Structured Asset Investment Loan Trust, Ser 2004-10, Cl A8 2.441%, 11/25/34 1,208 1,208 ----------- 24,025 ----------- Total Asset-Backed Securities (Cost $949,635) ($ Thousands) 944,652 ----------- U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 15.4% FHLMC 9.750%, 10/01/14 34 36 9.000%, 12/01/05 1 1 8.500%, 09/01/08 to 04/01/09 221 233 7.500%, 11/01/17 to 06/01/32 2,392 2,562 7.000%, 11/01/15 to 06/01/32 2,925 3,098 6.500%, 10/01/16 to 05/01/18 7,513 7,943 6.000%, 03/01/11 to 12/01/33 3,569 3,712 5.500%, 09/01/13 to 04/01/34 32,526 33,213 5.000%, 01/01/11 to 12/13/34 60,222 60,686 4.500%, 04/01/19 to 12/16/19 55 64 4.000%, 05/01/19 to 01/01/34 5,660 5,178 3.125%, 02/01/37 7,746 7,733 FHLMC TBA 8.000%, 12/01/33 1,600 1,728 6.000%, 12/16/19 to 12/13/34 5,100 5,374 5.500%, 12/16/19 to 12/13/34 3,400 3,532 FNMA 8.000%, 04/01/08 to 07/01/31 2,156 2,312 7.500%, 06/01/27 to 04/01/31 35 37 7.410%, 04/01/10 545 615 7.095%, 12/01/09 790 876 7.000%, 03/01/09 to 07/01/32 11,212 11,875 6.500%, 12/01/12 to 04/01/34 20,760 21,847 6.000%, 03/01/11 to 09/01/34 26,597 27,632 5.500%, 05/01/13 to 12/13/34 20,355 20,977 5.000%, 08/01/11 to 03/01/34 36,771 36,480 4.500%, 06/01/18 to 12/13/19 4,602 4,466 4.000%, 08/01/10 to 11/01/33 11,794 11,529 -------------------------------------------------------------------------------- 62 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- FNMA TBA 7.500%, 12/01/33 $ 1,400 $ 1,499 7.000%, 12/01/33 24,100 25,561 6.500%, 12/13/34 to 12/25/34 18,402 19,304 6.000%, 12/01/18 to 12/13/34 77,896 81,013 5.000%, 12/16/19 to 12/25/34 39,697 40,099 4.320%, 12/25/34 793 794 4.000%, 12/16/19 4,500 4,372 GNMA 9.500%, 12/15/20 40 46 7.000%, 12/15/28 to 02/15/33 8,759 9,320 6.500%, 06/15/11 to 02/15/32 4,110 4,342 6.000%, 03/15/14 to 10/20/34 19,120 19,831 5.500%, 04/15/14 to 02/15/34 22,315 22,789 3.750%, 05/20/34 8,868 8,755 GNMA TBA 7.000%, 12/01/31 10,600 11,269 6.500%, 12/20/34 199 210 6.000%, 12/01/33 to 12/20/34 26,390 27,281 5.000%, 12/01/33 37,000 36,769 ----------- Total U.S. Government Mortgage-Backed Obligations (Cost $583,048) ($ Thousands) 586,993 ----------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 11.0% FHLB 3.625%, 11/14/08 100 100 2.875%, 05/22/06 11,800 11,770 1.930%, 12/01/04 (A) 8,000 8,000 FHLMC 6.625%, 09/15/09 18,903 21,053 5.000%, 07/15/14 5,958 6,082 4.625%, 05/28/13 (K) 2,450 2,418 4.500%, 12/16/10 (K) 11,535 11,484 4.125%, 02/24/11 (K) 6,580 6,442 3.875%, 11/10/08 to 01/12/09 (K) 14,660 14,653 3.750%, 08/03/07 (K) 7,577 7,581 3.500%, 04/01/08 (K) 3,300 3,273 2.220%, 02/03/05 (A) 7,614 7,584 2.090%, 12/07/04 14,920 14,920 1.829%, 12/27/04 (A) 3,995 3,990 FHLMC CMO, Ser 1, Cl Z 9.300%, 04/15/19 70 70 FHLMC CMO, Ser 1081, Cl K 7.000%, 05/15/21 1,391 1,395 FHLMC CMO, Ser 1101, Cl M 6.950%, 07/15/21 815 818 FHLMC CMO, Ser 1611, Cl Z 6.500%, 11/15/23 8,474 8,965 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- FHLMC CMO, Ser 1983, Cl Z 6.500%, 12/15/23 $ 1,902 $ 1,963 FHLMC CMO, Ser 2043, Cl CJ 6.500%, 04/15/28 5,956 6,231 FHLMC CMO, Ser 2389, Cl CD 6.000%, 03/15/16 7,500 7,730 FHLMC CMO, Ser 2480, Cl QJ 6.000%, 02/15/30 1,680 1,690 FHLMC CMO, Ser 2544, Cl IW, IO 5.500%, 03/15/26 4,400 487 FHLMC CMO, Ser 2579, Cl PI, IO 5.500%, 03/15/27 4,480 326 FHLMC CMO, Ser 2581, Cl HV 4.500%, 02/15/17 1,421 1,433 FHLMC CMO, Ser 2588, Cl IG, IO 5.500%, 03/15/32 8,321 1,198 FHLMC CMO, Ser 2621, Cl LJ, IO 5.500%, 12/15/26 3,249 419 FHLMC CMO, Ser 2625, Cl IO, IO 5.000%, 12/15/31 3,384 501 FHLMC CMO, Ser 2631, Cl IJ, IO 5.000%, 10/15/26 2,150 402 FHLMC CMO, Ser 2731, Cl PK 3.500%, 05/15/26 6,987 6,932 FHLMC CMO, Ser 2733, Cl ME 5.000%, 01/15/34 6,302 5,913 FHLMC CMO, Ser 2736, Cl DB 3.300%, 11/15/26 4,289 4,218 FHLMC CMO, Ser 2791, Cl VD 5.000%, 02/15/21 746 720 FHLMC CMO, Ser 2791, Cl Vl 5.000%, 02/15/21 807 782 FHLMC CMO, Ser 2791, Cl VJ 5.000%, 02/15/21 883 855 FHLMC CMO, Ser 2801, Cl EH 4.500%, 11/15/16 4,751 4,788 FHLMC CMO, Ser 2807, Cl ND 5.500%, 04/15/29 2,224 2,282 FHLMC CMO, Ser 2809, Cl HX, IO 6.000%, 10/15/24 5,577 648 FHLMC CMO, Ser 2820, Cl PE 5.500%, 03/15/30 2,111 2,165 FHLMC CMO, Ser 2825, Cl PM 5.500%, 03/15/30 6,261 6,411 FHLMC CMO, Ser 2832, Cl PD 5.500%, 09/15/29 1,858 1,902 FHLMC CMO, Ser 2835, Cl NE 5.500%, 06/15/29 942 966 FHLMC CMO, Ser 2849, Cl PD 5.500%, 03/15/30 1,161 1,189 FHLMC CMO, Ser 2858, Cl JM 5.500%, 03/15/30 3,202 3,270 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 63 -------------------------------------------------------------------------------- SCHEDULE OF INVESTMENTS (Unaudited) CORE FIXED INCOME FUND (Continued) November 30, 2004 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- FHLMC CMO, Ser 2859, Cl PD 5.500%, 04/15/30 $ 1,138 $ 1,165 FHLMC CMO, Ser 2864, Cl NA 5.500%, 01/15/31 5,400 5,560 FHLMC, Ser 2542, Cl ES 5.000%, 12/15/17 3,680 3,679 FHLMC, Ser 2591, Cl PN 3.750%, 02/15/30 737 703 FHLMC, Ser 2631, Cl MT 3.500%, 01/15/22 3,506 3,475 FHLMC, Ser 2804, Cl EC 5.500%, 06/15/33 1,019 1,028 FHLMC, Ser 2808, Cl PE 5.500%, 01/15/29 1,098 1,126 FHLMC, Ser 2833, Cl JD 5.500%, 09/15/29 647 661 FHLMC, Ser 2845, Cl PI 5.500%, 02/15/32 7,857 882 FHLMC, Ser 2860, Cl CM 4.500%, 10/15/17 2,139 2,153 FHLMC, Ser 2873, Cl PD 5.500%, 12/15/30 1,913 1,955 FHLMC, Ser 2876, Cl PE 5.500%, 04/15/30 1,288 1,317 FHLMC, Ser 2878, Cl QE 5.500%, 04/15/30 894 914 FNMA 7.125%, 03/15/07 to 06/15/10 (K) 27,881 31,215 6.625%, 10/15/07 15,217 16,517 3.530%, 10/19/07 4,645 4,617 3.125%, 03/16/09 (K) 3,090 2,990 2.710%, 01/30/07 16,675 16,480 2.350%, 04/05/07 (A) (K) 8,070 7,894 2.252%, 02/16/05 (A) (K) 6,140 6,111 2.144%, 01/03/05 (A) 14,920 14,890 2.037%, 04/01/05 (B) 4,710 4,673 1.750%, 06/16/06 960 941 1.670%, 12/20/04 (A) 14,500 14,484 1.489%, 11/29/06 (A) (G) 7,552 7,567 FNMA CMO, Ser 1990-58, Cl J 7.000%, 05/25/20 FNMA CMO, Ser 1999-11, Cl Z 5.500%, 03/25/29 5,895 5,843 FNMA CMO, Ser 2002-22, Cl PE 6.500%, 11/25/30 2,030 2,060 FNMA CMO, Ser 2002-65, Cl TP 7.000%, 03/25/31 1,328 1,350 FNMA CMO, Ser 2002-82, Cl XJ 4.500%, 09/25/12 1,625 1,637 FNMA CMO, Ser 2002-94, Cl BJ, IO 5.500%, 04/25/16 1,400 129 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- FNMA CMO, Ser 2003-13, Cl GA 4.500%, 06/25/32 $ 3,770 $ 3,791 FNMA CMO, Ser 2003-16, Cl KA 6.000%, 04/25/30 309 310 FNMA CMO, Ser 2003-24, Cl PA 4.500%, 11/25/09 6,900 6,947 FNMA CMO, Ser 2003-32, Cl KA 5.000%, 07/25/13 830 840 FNMA CMO, Ser 2003-41, Cl YN 4.000%, 05/25/17 1,854 1,861 FNMA CMO, Ser 2003-79, Cl KA 3.750%, 05/25/11 1,865 1,870 FNMA CMO, Ser 2003-87, Cl TJ 4.500%, 09/25/18 2,475 2,366 FNMA CMO, Ser 2003-92, Cl KQ 3.500%, 06/25/23 4,485 4,441 FNMA CMO, Ser 342, Cl 2, IO 6.000%, 09/01/33 5,457 1,173 FNMA, Ser 2001-60, Cl JZ 6.000%, 03/25/31 1,281 1,303 FNMA, Ser 2002-55, Cl H 6.000%, 08/25/29 340 341 FNMA, Ser 2003-35, Cl BC 5.000%, 05/25/18 1,750 1,751 FNMA, Ser 2003-46, Cl PW 4.500%, 11/25/27 4,199 4,141 FNMA, Ser 2003-65, Cl NA 3.500%, 09/25/31 1,525 1,463 FNMA, Ser 2003-69, Cl GJ 3.500%, 12/25/31 1,496 1,440 FNMA, Ser 2004-89, Cl AQ 4.500%, 12/25/24 1,568 1,434 FNMA, Ser 2004-95, Cl VB 5.000%, 01/25/35 453 436 FNMA, Ser 2004-96, Cl QC 5.500%, 08/25/34 1,662 1,684 GNMA CMO, Ser 2001-18, Cl WH (F) 22.680%, 04/20/31 724 851 GNMA CMO, Ser 2002-51, Cl SG (F) 23.226%, 04/20/31 633 776 GNMA CMO, Ser 2003-58, Cl LG, IO 5.500%, 05/17/29 3,000 684 GNMA CMO, Ser 2004-54, Cl LE 5.500%, 08/20/33 2,510 2,536 GNMA, Ser 2003-82, Cl IO, IO 5.500%, 03/20/29 9,587 1,248 GNMA, Ser 2004-75, Cl NE 5.500%, 01/20/31 774 789 GNMA, Ser 2004-87, Cl LI, IO 5.000%, 12/20/28 11,740 1,271 SLMA 3.660%, 04/01/09 4,050 4,068 -------------------------------------------------------------------------------- 64 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Small Business Administration, Ser 2003-P10A, Cl 1 (F) 4.524%, 02/10/13 $ 4,567 $ 4,537 TVA 7.125%, 05/01/30 3,440 4,188 ----------- Total U.S. Government Agency Obligations (Cost $418,064) ($ Thousands) 418,575 ----------- COMMERCIAL PAPER (A) -- 6.5% FINANCIALS -- 6.4% Broadhollow Funding (L) 2.111%, 12/06/04 16,005 16,000 CPI Funding (L) 2.121%, 12/10/04 20,595 20,584 DaimlerChrysler 2.100%, 01/28/05 14,655 14,595 Golden Fish (L) 2.307%, 01/18/05 12,856 12,817 2.172%, 12/17/04 6,235 6,229 2.162%, 12/14/04 7,506 7,500 2.031%, 12/08/04 3,647 3,645 HBOS Treasury Services PLC 2.051%, 01/26/05 5,000 4,984 Harwood Street Funding (L) 2.137%, 12/15/04 32,995 32,968 Household Finance (L) 2.142%, 12/15/04 26,675 26,653 Laguna (L) 2.141%, 12/10/04 8,536 8,531 2.140%, 12/03/04 10,670 10,669 Main Street Warehouse (L) 2.131%, 12/07/04 4,268 4,267 2.131%, 12/08/04 4,268 4,266 2.131%, 12/09/04 21,340 21,330 Thornburg Mortgage Capital (L) 2.152%, 12/15/04 21,340 21,322 2.151%, 12/07/04 7,469 7,466 2.150%, 12/03/04 19,206 19,204 ----------- 243,030 ----------- INDUSTRIALS -- 0.1% Hertz 2.401%, 03/24/05 2,860 2,858 ----------- Total Commercial Paper (Cost $245,900) ($ Thousands) 245,888 ----------- -------------------------------------------------------------------------------- Shares/Contracts/Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- CASH EQUIVALENTS -- 0.9% Bear Stearns Master Notes (L) 21,340,052 $ 21,340 Evergreen Select Money Market Fund 597,107 597 SEI Daily Income Trust, Prime Obligation Fund, Cl A+ 12,056,293 12,056 ----------- Total Cash Equivalents (Cost $33,993) ($ Thousands) 33,993 ----------- FOREIGN BONDS -- 0.7% Bundesobligation (C) 3.250%, 04/17/09 $ 20,095 27,034 ----------- Total Foreign Bonds (Cost $26,369) ($ Thousands) 27,034 ----------- MUNICIPAL BOND -- 0.0% California State, Department of Water, Ser E, RB 3.975%, 05/01/05 1,125 1,130 Los Angeles County, California Taxable Pension Obligation, Ser D, RB, MBIA (E) 7.725%, 06/30/10 650 497 ----------- Total Municipal Bond (Cost $1,544) ($ Thousands) 1,627 ----------- CERTIFICATES OF DEPOSIT -- 0.0% SunTrust Bank 4.415%, 06/15/09 1,285 1,295 ----------- Total Certificates of Deposit (Cost $1,285) ($ Thousands) 1,295 ----------- COMMON STOCK -- 0.0% MCI* 61,970 1,169 ----------- Total Common Stock (Cost $1,662) ($ Thousands) 1,169 ----------- OPTIONS -- 0.0% 90 Days Euro Futures Call Expires 9/19/05, Strike Price $96 152 262 November 2004 Fed Fund Futures Call, Expires 11/30/04, Strike Price $98.125 213 2 ----------- Total Options (Cost $308) ($ Thousands) 264 ----------- -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 65 -------------------------------------------------------------------------------- SCHEDULE OF INVESTMENTS (Unaudited) CORE FIXED INCOME FUND (Concluded) November 30, 2004 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS -- 14.9% Barclays 2.070%, dated 11/30/04, to be repurchased on 12/01/04, repurchase price $47,261,330 (collateralized by various U.S. Government Obligations, ranging in par value $2,183,087- $32,010,079, 1.625%-7.000%, 04/15/05-03/15/10; with total market value $48,204,759)(L) $ 47,259 $ 47,259 Countrywide 2.030%, dated 11/30/04, to be repurchased on 12/01/04, repurchase price $209,011,785 (collateralized by U.S. Government Obligations, ranging in par value $10,410,000-$50,000,000, 3.710%-6.000%,05/24/07-09/10/24; with total market value $213,180,000) 209,000 209,000 Lehman Brothers 2.070%, dated 11/30/04, to be repurchased on 12/01/04, repurchase price $13,871,832 (collateralized by various U.S. Government Obligations, ranging in par value $456,677- $943,657, 0.000%-6.700%, 09/13/05-08/15/27; with total market value $14,148,868)(L) 13,871 13,871 Nomura 2.050%, dated 11/30/04, to be repurchased on 12/01/04, repurchase price $120,406,856 (collateralized by various U.S Government Obligations, ranging in par value $20,535,000- $50,000,000, 2.288%-4.450%, 06/17/2010-08/27/2010; with total market value $122,862,006) 120,400 120,400 UBS Paine Webber 2.070%, dated 11/30/04, to be repurchased on 12/01/04, repurchase price $174,998,492 (collateralized by various U.S. Government Obligations, ranging in par value $2,472,245- $10,670,026, 0.000%-5.002%, 12/17/04-11/15/29; with total market value $178,488,846)(L) 174,988 174,988 ----------- Total Repurchase Agreements (Cost $565,518) ($ Thousands) 565,518 ----------- Total Investments -- 132.7% (Cost $5,021,337) ($ Thousands) $ 5,049,294 ----------- -------------------------------------------------------------------------------- Market Value Description Contracts ($ Thousands) -------------------------------------------------------------------------------- WRITTEN OPTIONS -- 0.0% January 2005 Ten Year Treasury Note Call, Expires 12/23/04, Strike Price $113 (44) $ (3) January 2005 Ten Year Treasury Note Put, Expires 12/23/04, Strike Price $110 (44) (19) March 2005 Ten Year Treasury Note Call, Expires 02/18/05, Strike Price $113 (131) (57) March 2005 Ten Year Treasury Note Call, Expires 02/18/05, Strike Price $114 (323) (76) March 2005 Ten Year Treasury Note Call, Expires 02/18/05, Strike Price $115 (227) (28) March 2005 Ten Year Treasury Note Put, Expires 02/18/05 Strike Price $108 (136) (57) March 2005 Ten Year Treasury Note Put, Expires 02/18/05, Strike Price $109 (135) (87) March 2005 Long Bond Call, Expires 02/18/05, Strike Price $116 (93) (22) March 2005 Long Bond Put, Expires 02/18/05, Strike Price $104 (93) (28) ----------- Total Written Options (Premium Received $(855)) ($ Thousands) $ (377) ----------- -------------------------------------------------------------------------------- 66 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Description -------------------------------------------------------------------------------- Percentages are based on Net Assets of $3,805,456,262. * Non-income producing security. + See Note 3 in Notes to Financial Statements. (A) The rate reflected is the effective yield at time of purchase. (B) Security, or portion thereof, has been pledged as collateral on open futures contracts. The rate reported is the effective yield at time of purchase. (C) Security sold within the terms of a private placement memorandum, exempt from registration under section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors". These securities have been determined to be liquid under guidelines established by the Board of Directors. (D) Treasury Inflation Index Notes (E) Zero Coupon Bond -- The rate reported on the Schedule of Investments is the effective yield at time of purchase. (F) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of November 30, 2004. (G) Step Bonds -- The rate reflected on the Schedule of Investments is the effective yield on November 30, 2004. The coupon on a step bond changes on a specified date. (H) Securities considered illiquid. The total value of such securities as of November 30, 2004 was $5,222,576 and represented 0.14% of Net Assets. (I) Security in default on interest payments. (J) Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total value of such securities as of November 30, 2004 was $23,347 and represented 0.00% of Net Assets. (K) This security or a partial position of this security is on loan at November 30, 2004 (see Note 9). The total value of securities on loan at November 30, 2004 was $1,009,483,458. (L) This security was purchased with cash collateral held from securities lending. The total value of such securities as of November 30, 2004 was $1,049,160,301. (See Note 9). Cl -- Class CMO -- Collateralized Mortgage Obligation FHLB -- Federal Home Loan Bank FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GNMA -- Government National Mortgage Association IO -- Interest Only Security LLC -- Limited Liability Company MBIA -- Municipal Bond Insurance Association MTN -- Medium Term Note PLC -- Public Limited Company RB -- Revenue Bond Ser -- Series SLMA -- Student Loan Marketing Association STRIPS -- Separately Traded Registered Interest and Principal Securities TBA -- To Be Announced TVA -- Tennessee Valley Authority Amounts designated as "--" are zero or have been rounded to zero. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 67 -------------------------------------------------------------------------------- SCHEDULE OF INVESTMENTS (Unaudited) LONG DURATION BOND FUND November 30, 2004 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)*: [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] 66.1% Financials 6.1% Energy 5.1% U.S Government Agency Obligations 4.6% U.S. Treasury Obligations 4.0% Information Technology 4.0% Industrials 2.8% Consumer Discretionary 2.3% Asset-Backed Securities 2.2% Short-Term Investments 1.5% Utilities 1.2% Materials 0.1% Health Care * Percentages based on total investments. -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- CORPORATE OBLIGATIONS -- 54.7% CONSUMER DISCRETIONARY -- 1.8% Ford Motor 8.900%, 01/15/32 $ 27 $ 30 7.450%, 07/16/31 190 185 General Motors 8.375%, 07/15/33 342 348 Rockwell Automation 5.200%, 01/15/98 136 114 ------- 677 ------- ENERGY -- 3.9% British Transco Finance 6.625%, 06/01/18 68 76 Conoco 6.950%, 04/15/29 770 882 Suncor Energy 7.150%, 02/01/32 258 302 Trans-Canada Pipelines 5.600%, 03/31/34 82 79 Trans-Canada Pipelines MTN 7.060%, 10/14/25 110 126 ------- 1,465 ------- FINANCIALS -- 42.1% Abbey National 8.963%, 12/29/49 758 1,031 Aetna 7.625%, 08/15/26 50 59 Allstate 5.350%, 06/01/33 129 119 American General Capital 8.500%, 07/01/30 231 304 Bank of America (A) 8.070%, 12/31/26 1,267 1,371 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- BankBoston Capital Trust I, Ser B 8.250%, 12/15/26 $ 145 $ 159 Bear Stearns 5.700%, 11/15/14 121 127 Citigroup 5.875%, 02/22/33 1,633 1,625 Credit Suisse First Boston 7.125%, 07/15/32 57 67 5.125%, 01/15/14 332 335 Farmers Insurance Exchange Capital (A) 6.000%, 08/01/14 165 163 First Union National Bank 6.500%, 12/01/28 61 65 GE Global Insurance 6.450%, 03/01/19 1,465 1,513 Genworth Financial 6.500%, 06/15/34 181 192 Goldman Sachs Group 6.345%, 02/15/34 978 989 HBOS Capital Funding (A) (B) 6.071%, 06/30/49 30 32 HSBC Capital Funding (A) 10.176%, 06/30/30 680 1,028 HSBC Capital Trust (A) 8.380%, 05/15/27 9 10 Household Finance 7.625%, 05/17/32 82 100 JPMorgan Chase 5.250%, 05/01/15 1,253 1,252 Lehman Brothers Holdings MTN, Ser G 4.800%, 03/13/14 253 247 Lincoln National 4.750%, 02/15/14 129 124 Lion Connecticut Holding 7.250%, 08/15/23 12 13 Merrill Lynch 6.500%, 07/15/18 716 776 Met Life Insurance (A) 7.800%, 11/01/25 18 22 Metlife 6.375%, 06/15/34 235 245 Morgan Stanley 7.250%, 04/01/32 58 68 4.750%, 04/01/14 320 309 NBD Bank 8.250%, 11/01/24 72 90 National Archives Facility Trust 8.500%, 09/01/19 286 349 National Rural Utilities MTN, Ser C 8.000%, 03/01/32 320 407 Nationwide Mutual Insurance (A) 6.600%, 04/15/34 305 294 -------------------------------------------------------------------------------- 68 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Prudential Financial MTN, Ser B 5.750%, 07/15/33 $ 264 $ 253 Royal Bank of Scotland 7.648%, 08/31/49 681 818 SLM MTN 5.625%, 08/01/33 446 429 US Bank 4.800%, 04/15/15 37 36 Wachovia 5.250%, 08/01/14 726 735 ------- 15,756 ------- HEALTH CARE -- 0.0% Becton Dickinson 7.000%, 08/01/27 18 21 ------- INDUSTRIALS -- 2.6% American West Airlines, Ser 01-1 7.100%, 04/02/21 188 197 Boeing 8.750%, 09/15/31 49 67 Caterpillar 7.300%, 05/01/31 192 234 Continental Airlines, Ser 00-2 7.707%, 04/02/21 181 178 Deere 6.550%, 10/01/28 148 165 Delta Airlines, Ser 02-1, Cl G-1 6.718%, 01/02/23 43 45 Northwest Airlines, Ser 00-1 8.072%, 10/01/19 39 42 United Technologies 6.700%, 08/01/28 25 28 ------- 956 ------- MATERIALS -- 0.7% Dow Chemical 7.375%, 11/01/29 239 280 ------- INFORMATION TECHNOLOGY -- 2.6% International Business Machines 7.125%, 12/01/96 833 963 ------- UTILITIES -- 1.0% Duke Energy 5.300%, 10/01/15 195 197 Florida Power & Light 5.650%, 02/01/35 81 81 South Carolina Electric & Gas 5.800%, 01/15/33 69 70 ------- 348 ------- Total Corporate Obligations (Cost $20,323) ($ Thousands) 20,466 ------- -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 3.3% FHLMC 5.200%, 12/20/04 $ 128 $ 128 FHLMC, Ser 2748, Cl ZT 5.500%, 02/15/24 75 72 FNMA (C) 2.230%, 02/16/05 148 147 2.100%, 01/05/05 435 434 FNMA, Ser 2003-122, Cl ZQ 6.000%, 12/25/33 100 102 FNMA, Ser 2004-12, Cl ZX 6.000%, 03/25/34 108 107 FNMA, Ser 2004-31, Cl MZ 4.250%, 05/25/34 103 75 FNMA, Ser 2004-80 Cl XZ 5.000%, 11/25/34 201 150 ------- Total U.S. Government Agency Obligations (Cost $1,197) ($ Thousands) 1,215 ------- U.S. TREASURY OBLIGATION -- 2.9% U.S. Treasury Bonds 8.125%, 08/15/19 813 1,093 ------- Total U.S. Treasury Obligation (Cost $1,106) ($ Thousands) 1,093 ------- ASSET-BACKED SECURITIES -- 1.5% MORTGAGE RELATED SECURITIES -- 1.5% Chase Funding Mortgage Loan, Ser 2001-4, Cl 2M2 (B) 3.580%, 11/25/31 550 554 ------- Total Asset-Backed Securities (Cost $552) ($ Thousands) 554 ------- CASH EQUIVALENT -- 1.4% SEI Daily Income Trust, Prime Obligation Fund, Cl A+ 517,873 518 ------- Total Cash Equivalent (Cost $518) ($ Thousands) 518 ------- Total Investments -- 63.8% (Cost $23,696) ($ Thousands) $23,846 ======= -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 69 -------------------------------------------------------------------------------- SCHEDULE OF INVESTMENTS (Unaudited) LONG DURATION BOND FUND (Concluded) November 30, 2004 -------------------------------------------------------------------------------- Description -------------------------------------------------------------------------------- Percentages are based on Net Assets of $37,388,204. + See Note 3 in Notes to Financial Statements. (A) Security sold within the terms of a private placement memorandum, exempt from registration under section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors". These securities have been determined to be liquid under guidelines established by the Board of Directors. (B) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of November 30, 2004. (C) The rate reported is the effective yield at time of purchase. Cl -- Class FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association MTN -- Medium Term Note Ser -- Series The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 70 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- EXTENDED DURATION BOND FUND November 30, 2004 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)*: [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] 44.4% Financials 31.2% U.S. Treasury Obligations 5.1% Energy 4.3% Industrials 3.2% U.S Gov't Obligations 3.1% Asset-Backed Securities 2.7% Information Technology 2.2% Short-Term Investments 1.9% Consumer Discretionary 0.9% Utilities 0.8% Materials 0.2% Health Care * Percentages based on total investments. -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- CORPORATE OBLIGATIONS -- 56.5% CONSUMER DISCRETIONARY -- 1.8% Ford Motor 8.900%, 01/15/32 $ 116 $ 128 7.450%, 07/16/31 102 99 General Motors 8.375%, 07/15/33 338 344 Rockwell Automation 5.200%, 01/15/98 164 138 ------- 709 ------- ENERGY -- 4.8% British Transco Finance 6.625%, 06/01/18 312 346 Conoco 6.950%, 04/15/29 805 922 Suncor Energy 7.150%, 02/01/32 272 319 Trans-Canada Pipelines 5.600%, 03/31/34 368 356 ------- 1,943 ------- FINANCIALS -- 41.6% Abbey National 8.963%, 12/29/49 802 1,090 Allstate 5.350%, 06/01/33 141 130 American General Capital 8.500%, 07/01/30 246 323 Bank of America (A) 8.070%, 12/31/26 828 896 BankBoston Capital Trust I, Ser B 8.250%, 12/15/26 655 718 Bear Stearns 5.700%, 11/15/14 123 129 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Citigroup 5.875%, 02/22/33 $ 1,722 $ 1,714 Credit Suisse First Boston 7.125%, 07/15/32 249 291 5.125%, 01/15/14 135 136 Farmers Insurance Exchange Capital (A) 6.000%, 08/01/14 170 168 First Union National Bank 6.500%, 12/01/28 273 292 GE Global Insurance 6.450%, 03/01/19 1,535 1,585 Genworth Financial 6.500%, 06/15/34 190 202 Goldman Sachs Group 6.345%, 02/15/34 1,022 1,033 HBOS Capital Funding (A) (B) 6.071%, 06/30/49 135 143 HSBC Capital Funding (A) (B) 10.176%, 06/30/30 467 706 HSBC Capital Trust (A) 8.380%, 05/15/27 41 45 Household Finance 7.625%, 05/17/32 367 448 JPMorgan Chase 5.250%, 05/01/15 1,024 1,023 Lehman Brothers Holdings MTN, Ser G 4.800%, 03/13/14 274 268 Lincoln National 4.750%, 02/15/14 131 126 Lion Connecticut Holding 7.250%, 08/15/23 52 58 Merrill Lynch 6.500%, 07/15/18 753 816 Met Life Insurance (A) 7.800%, 11/01/25 82 99 Metlife 6.375%, 06/15/34 165 172 Morgan Stanley 7.250%, 04/01/32 262 307 4.750%, 04/01/14 108 104 NBD Bank 8.250%, 11/01/24 328 412 National Archives Facility Trust 8.500%, 09/01/19 338 412 National Rural Utilities MTN, Ser C 8.000%, 03/01/32 334 424 Nationwide Mutual Insurance (A) 6.600%, 04/15/34 315 304 Prudential Financial MTN, Ser B 5.750%, 07/15/33 276 265 Royal Bank of Scotland 7.648%, 08/31/49 704 846 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 71 -------------------------------------------------------------------------------- SCHEDULE OF INVESTMENTS (Unaudited) EXTENDED DURATION BOND FUND (Concluded) November 30, 2004 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- SLM MTN 5.625%, 08/01/33 $ 461 $ 444 US Bank 4.800%, 04/15/15 163 159 Wachovia 5.250%, 08/01/14 540 547 ------- 16,835 ------- HEALTH CARE -- 0.2% Becton Dickinson 7.000%, 08/01/27 82 94 ------- INDUSTRIALS -- 4.0% American West Airlines, Ser 01-1 7.100%, 04/02/21 193 203 Boeing 8.750%, 09/15/31 221 302 Caterpillar 7.300%, 05/01/31 203 247 Continental Airlines, Ser 00-2 7.707%, 04/02/21 181 177 Deere 6.550%, 10/01/28 152 170 Delta Airlines, Ser 02-1, Cl G-1 6.718%, 01/02/23 196 204 Northwest Airlines, Ser 00-1 8.072%, 10/01/19 172 188 United Technologies 6.700%, 08/01/28 115 130 ------- 1,621 ------- INFORMATION TECHNOLOGY -- 2.5% International Business Machines 7.125%, 12/01/96 874 1,011 ------- MATERIALS -- 0.7% Dow Chemical 7.375%, 11/01/29 251 294 ------- UTILITIES -- 0.9% Duke Energy 5.300%, 10/01/15 205 208 Florida Power & Light 5.650%, 02/01/35 82 82 South Carolina Electric & Gas 5.800%, 01/15/33 62 63 ------- 353 ------- Total Corporate Obligations (Cost $22,470) ($ Thousands) 22,860 ------- -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS -- 29.3% U.S. Treasury Bills (C) (D) 1.962%, 12/23/04 $2,130 $ 2,127 U.S. Treasury Bonds Forward Commitments 6.125%, 11/15/27 8,090 9,223 5.375%, 02/15/31 470 494 ------- Total U.S. Treasury Obligations (Cost $11,781) ($ Thousands) 11,844 ------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 3.0% FHLMC, Ser 2748, Cl ZT 5.500%, 02/15/24 318 305 FNMA, Ser 2003-122, Cl ZQ 6.000%, 12/25/33 433 441 FNMA, Ser 2004-12, Cl ZX 6.000%, 03/25/34 394 390 FNMA, Ser 2004-80 Cl XZ 5.000%, 11/25/34 110 82 ------- Total U.S. Government Agency Obligations (Cost $1,116) ($ Thousands) 1,218 ------- ASSET-BACKED SECURITIES -- 2.9% MORTGAGE RELATED SECURITIES -- 2.9% Chase Funding Mortgage Loan, Ser 2001-4, Cl 2M2 (B) 3.580%, 11/25/31 620 625 EQCC Home Equity Loan Trust, Ser 1999-2, Cl A4f 6.753%, 08/25/27 534 545 ------- 1,170 ------- Total Asset-Backed Securities (Cost $1,168) ($ Thousands) 1,170 ------- CASH EQUIVALENT -- 2.1% SEI Daily Income Trust, Prime Obligation Fund, Cl A+ 833,218 833 ------- Total Cash Equivalent (Cost $833) ($ Thousands) 833 ------- Total Investments -- 93.8% (Cost $37,368) ($ Thousands) $37,925 ======= -------------------------------------------------------------------------------- 72 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Description -------------------------------------------------------------------------------- Percentages are based on Net Assets of $40,436,378. + See Note 3 in Notes to Financial Statements. (A) Security sold within the terms of a private placement memorandum, exempt from registration under section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors". These securities have been determined to be liquid under guidelines established by the Board of Directors. (B) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of November 30, 2004. (C) The rate reflected is the effective yield at time of purchase. (D) Security, or portion of this security, has been pledged as collateral on open swap contracts. Cl -- Class FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association MTN -- Medium Term Note Ser -- Series The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 73 -------------------------------------------------------------------------------- STATEMENT OF NET ASSETS (Unaudited) INTERNATIONAL EQUITY FUND November 30, 2004 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)**: [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] 28.6% Financials 11.7% Consumer Discretionary 9.5% Telecommunication Services 9.2% Industrials 7.9% Energy 7.8% Consumer Staples 6.4% Health Care 6.4% Materials 6.3% Short-term Investments 3.5% Information Technology 2.5% Utilities 0.2% Foreign Convertible Bonds 0.0% U.S Treasury Obligations ** Percentages based on total investments. -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- COMMON STOCK -- 98.1% AUSTRALIA -- 2.8% Amcor 183,600 $ 1,056 Australia & New Zealand Banking Group 72,235 1,124 BHP Billiton 1,188,800 14,251 BlueScope Steel 220,000 1,439 Brambles Industries 82,400 451 Foster's Group 152,531 639 Insurance Australia Group 281,000 1,273 National Australia Bank 446,284 9,716 Newcrest Mining 381,630 5,176 Promina Group 177,900 687 QBE Insurance Group (B) 524,049 5,672 Rinker Group 177,704 1,324 Telstra 1,073,186 4,105 Wesfarmers 27,600 818 WMC Resources 98,500 551 Woolworths 107,700 1,254 ----------- 49,536 ----------- AUSTRIA -- 0.5% Erste Bank der Oesterreichischen Sparkassen 30,800 1,567 OMV (B) 10,300 2,717 Telekom Austria 264,019 4,491 ----------- 8,775 ----------- BELGIUM -- 0.8% Belgacom 8,400 335 Delhaize Group 51,600 3,964 Fortis* 106,104 2,797 InBev 114,200 4,192 KBC Bancassurance Holding 31,800 2,369 UCB 15,100 781 ----------- 14,438 ----------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- BRAZIL -- 0.1% Cia de Saneamento Basico do Estado de Sao Paulo* 6,170,000 $ 331 Cia Vale do Rio Doce ADR* 35,400 878 Gerdau ADR* 31,300 570 Uniao de Bancos Brasileiros GDR* 23,300 652 ----------- 2,431 ----------- CANADA -- 2.1% Abitibi-Consolidated 97,700 657 Alcan 143,800 7,311 ATI Technologies* 109,800 2,130 Bank of Nova Scotia 121,800 3,831 Bombardier, Cl B 65,300 126 Cameco 12,300 1,210 Great-West Lifeco 42,200 916 Inco* 59,800 2,253 Manulife Financial 89,400 4,004 PetroKazakhstan* 74,200 3,117 Research In Motion* 32,000 2,847 Royal Bank of Canada 56,156 2,947 TELUS 38,500 985 Thomson 111,400 3,856 ----------- 36,190 ----------- CHINA -- 0.2% China Petroleum & Chemical 1,106,000 473 China Telecom 8,410,000 3,109 ----------- 3,582 ----------- DENMARK -- 0.5% Danske Bank 62,800 1,876 Novo-Nordisk* 110,600 5,876 TDC* 31,000 1,272 ----------- 9,024 ----------- FINLAND -- 0.5% Kesko (B)* 88,400 2,055 Nokia* 376,311 6,122 UPM-Kymmene* 39,800 896 ----------- 9,073 ----------- FRANCE -- 10.5% Accor 45,700 1,947 Air Liquide* 18,126 3,134 Assurances Generales de France 131,400 9,038 AXA (B) 409,000 9,578 BNP Paribas 161,895 11,253 Bouygues (B)* 233,960 10,062 Carrefour* 21,300 1,012 Cie Generale D'Optique Essilor International* 21,500 1,469 Credit Agricole (B) 97,618 2,891 -------------------------------------------------------------------------------- 74 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Dassault Systemes (B)* 141,000 $ 7,307 France Telecom* 639,868 20,095 Groupe Danone* 128,200 11,424 L'Oreal 21,800 1,576 Lagardere S.C.A.* 82,000 5,852 Publicis Groupe (B) 155,000 5,123 Renault* 91,926 7,520 Sanofi-Aventis* 3,750 282 Sanofi-Aventis* 389,215 29,304 Schneider Electric 32,100 2,229 Societe Generale* 77,091 7,444 Total (B) 117,710 25,766 Vinci 39,885 4,938 Vivendi Universal (B)* 161,900 4,777 ----------- 184,021 ----------- GERMANY -- 7.1% Allianz* 23,800 2,974 BASF* 130,000 8,749 Bayer 75,132 2,381 Bayerische Hypo-und Vereinsbank* 411,100 9,163 Bayerische Motoren Werke* 101,625 4,292 Celesio* 35,100 2,694 Continental* 67,000 4,083 DaimlerChrysler* 174,924 7,823 Deutsche Bank* 16,400 1,389 Deutsche Boerse* 31,287 1,852 Deutsche Telekom* 487,088 10,345 E.ON* 61,900 5,210 Hannover Rueckversicherung* 1,300 47 HeidelbergCement (B)* 45,900 2,615 Infineon Technologies (B)* 482,800 5,345 Linde (B)* 38,674 2,362 MAN* 62,700 2,375 Merck KGaA* 31,300 1,813 Metro* 97,170 4,887 Muenchener Rueckversicherungs* 37,054 4,203 SAP* 34,900 6,236 SAP ADR 68,100 3,030 Siemens (B)* 325,317 26,050 ThyssenKrupp (B)* 49,000 1,055 TUI (B)* 20,400 454 Volkswagen* 47,200 2,130 ----------- 123,557 ----------- HONG KONG -- 0.5% CNOOC 5,417,000 3,083 Esprit Holdings 166,000 914 Hang Lung Properties 1,145,000 1,789 Hang Seng Bank 61,000 847 Li & Fung 1,104,000 1,846 Swire Pacific, Cl A 91,000 731 ----------- 9,210 ----------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- HUNGARY -- 0.1% Mol Magyar Olaj - es Gazipari 20,000 $ 1,349 ----------- INDIA -- 0.2% Canara Bank 100,000 393 ICICI Bank 94,730 724 Infosys Technologies ADR (B)* 17,000 1,223 Punjab National Bank 46,000 361 ----------- 2,701 ----------- IRELAND -- 0.8% Anglo Irish Bank 253,840 5,751 CRH 84,228 2,127 Depfa Bank 118,000 1,929 Elan ADR (B)* 162,300 4,285 ----------- 14,092 ----------- ISRAEL -- 0.0% Bank Hapoalim* 280,300 819 ----------- ITALY -- 3.5% Banca Popolare di Milano* 269,005 2,188 Enel (B) 1,000,800 8,925 ENI-Ente Nazionale Idrocarburi 808,182 19,839 Sanpaolo IMI 581,300 7,981 Telecom Italia* 1,134,114 4,348 Telecom Italia RNC* 3,913,245 10,792 UniCredito Italiano* 1,300,527 7,173 ----------- 61,246 ----------- JAPAN -- 21.2% Advantest 15,200 1,136 Aeon 168,200 2,845 Aiful 24,850 2,828 Asatsu-DK 34,300 1,004 Bank of Yokohama 487,000 3,079 Canon 444,341 22,305 Central Japan Railway 79 646 Chubu Electric Power 13,800 322 Dai Nippon Printing 554,000 8,289 Daito Trust Construction 21,700 984 Daiwa House Industry 110,000 1,184 Daiwa Securities Group 80,000 548 eAccess (B)* 3,215 3,103 East Japan Railway 535 2,946 Fanuc 34,400 2,152 Fast Retailing 34,800 2,624 Fuji Photo Film (B) 253,300 8,920 Fuji Television Network 396 840 Furukawa Electric* 227,000 1,128 Hirose Electric 25,000 2,653 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 75 -------------------------------------------------------------------------------- STATEMENT OF NET ASSETS (Unaudited) INTERNATIONAL EQUITY FUND (Continued) November 30, 2004 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Hitachi 2,283,000 $ 14,814 Honda Motor 85,300 4,091 Hoya 11,300 1,178 Index (B) 920 2,246 Isetan 154,300 1,803 Ito-Yokado 171,000 6,787 Itochu* 405,000 1,840 Japan Airlines System (B)* 332,000 943 Japan Tobacco 298 2,826 JFE Holdings (B) 190,100 5,474 Kansai Electric Power 426,700 8,302 Kao 238,000 5,742 Keyence 3,200 725 Kobe Steel 564,000 861 Komatsu 1,724,000 11,757 Konica Minolta Holdings 148,000 1,903 Kyocera 119,400 8,421 Lawson 66,200 2,389 Matsushita Electric Industrial 721,000 10,738 Millea Holdings 1,038 14,642 Mitsubishi 157,100 1,991 Mitsubishi Estate 627,000 7,106 Mitsubishi Heavy Industries 140,000 402 Mitsubishi Tokyo Financial Group 1,106 10,490 Mitsui 22,000 191 Mitsui Fudosan 178,000 2,083 Mitsui OSK Lines 661,000 4,109 Mitsui Sumitomo Insurance 539,000 4,761 Murata Manufacturing 23,300 1,219 NEC 836,000 4,627 Nidec 10,600 1,248 Nikko Cordial 211,000 1,055 Nikon 44,000 489 Nintendo 16,400 1,975 Nippon Electric Glass 38,000 991 Nippon Meat Packers 129,000 1,673 Nippon Mining Holdings 350,000 1,750 Nippon Telegraph & Telephone 771 3,465 Nissan Motor 1,397,701 14,753 Nitto Denko 20,400 1,064 Nomura Holdings 336,000 4,730 OJI Paper 43,000 246 Oriental Land 88,000 5,693 ORIX 103,200 13,152 Osaka Gas 551,000 1,683 Promise 45,900 3,215 Ricoh 33,000 586 Rohm 54,400 5,202 Sankyo 152,100 2,981 Sanyo Shinpan Finance 26,400 1,703 Sega Sammy Holdings (B)* 36,600 1,940 Sekisui House 181,000 2,002 Shimamura 10,000 745 Shionogi 94,000 1,269 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- SMC 17,500 $ 1,934 Softbank (B) 17,600 870 Sompo Japan Insurance 82,000 787 Sony (B) 257,200 9,383 Sumitomo 127,000 1,072 Sumitomo Chemical 317,000 1,582 Sumitomo Forestry 120,000 1,060 Sumitomo Heavy Industries* 378,000 1,239 Sumitomo Mitsui Financial Group (B) 2,355 16,380 Suzuki Motor 132,000 2,387 Takeda Pharmaceutical 56,000 2,757 Tanabe Seiyaku 68,000 652 TDK 11,000 791 Tokyo Electric Power 107,600 2,575 Tokyo Electron 49,300 2,719 Tokyo Gas (B) 1,400,000 5,625 Toyota Motor 244,100 9,166 Trend Micro 72,200 3,793 UFJ Holdings (B)* 1,452 7,712 Uni-Charm 18,800 872 UNY 66,000 715 Yahoo Japan (B)* 106 489 Yamada Denki 27,200 1,170 Yamanouchi Pharmaceutical 140,100 5,125 Yamato Transport 148,100 2,114 ----------- 370,576 ----------- LUXEMBOURG -- 0.4% Arcelor* 268,920 5,922 SES GLOBAL FDR 70,400 824 ----------- 6,746 ----------- MEXICO -- 0.4% America Movil, Ser L ADR (B)* 140,735 6,574 Telefonos de Mexico, Ser L ADR* 23,200 812 ----------- 7,386 ----------- NETHERLANDS -- 7.1% ABN AMRO Holding* 876,823 21,536 Aegon* 305,748 3,779 Akzo Nobel* 111,972 4,631 ASML Holding (B)* 36,500 560 CSM* 87,438 2,487 Heineken* 112,012 3,543 Heineken Holding, Cl A* 52,843 1,518 ING Groep* 655,828 18,043 Koninklijke Philips Electronics* 60,900 1,570 Reed Elsevier 18,300 245 Royal Dutch Petroleum* 569,937 32,647 Royal Dutch Petroleum (NY Shares)* 37,200 2,130 Royal KPN* 918,598 7,972 -------------------------------------------------------------------------------- 76 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Royal Numico* 16,400 $ 584 TPG (B)* 238,700 6,256 Unilever* 219,282 13,788 VNU* 81,902 2,471 ----------- 123,760 ----------- NEW ZEALAND -- 0.4% Telecom 1,513,457 6,549 ----------- NORWAY -- 1.3% DNB 117,200 1,106 Norsk Hydro 133,000 10,897 Norske Skogindustrier* 40,100 852 Statoil* 294,900 4,673 Tandberg (B)* 386,400 4,388 Yara International* 20,900 269 ----------- 22,185 ----------- PORTUGAL -- 0.3% Portugal Telecom* 374,900 4,434 ----------- SINGAPORE -- 0.6% Flextronics International* 145,400 2,087 Singapore Telecommunications 5,155,354 7,465 United Overseas Bank 87,000 723 ----------- 10,275 ----------- SOUTH AFRICA -- 0.4% ABSA Group 95,800 1,163 Sanlam (B) 421,700 880 Sasol 193,500 3,857 Telkom (B) 30,700 524 ----------- 6,424 ----------- SOUTH KOREA -- 1.1% Honam Petrochemical 6,200 298 Hyundai Motor 17,600 866 Industrial Bank of Korea 47,100 346 INI Steel 37,600 495 Kookmin Bank* 9,600 365 Nong Shim 1,300 278 POSCO 4,200 783 Samsung Electronics 3,250 1,347 Samsung Electronics GDR (B) (D)* 63,776 13,074 Samsung Electronics GDR (EUR) (D)* 100 21 Shinhan Financial Group 36,200 758 ----------- 18,631 ----------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- SPAIN -- 4.6% ACS Actividades* 235,285 $ 4,941 Altadis 55,100 2,250 Banco Bilbao Vizcaya Argentaria (B) 714,100 11,749 Banco Santander Central Hispano (B) 1,292,500 15,529 Endesa (B)* 54,000 1,163 Iberdrola* 45,000 1,057 Inditex* 106,700 3,123 Repsol (B)* 459,700 11,205 Sogecable (B)* 103,400 4,386 Telefonica* 1,412,778 24,823 ----------- 80,226 ----------- SWEDEN -- 1.9% Assa Abloy, Cl B* 56,200 873 ForeningsSparbanken 58,000 1,426 Nordea* 378,160 3,709 SKF, Cl B 56,375 2,396 Svenska Cellulosa, Cl B 53,500 2,226 Telefonaktiebolaget LM Ericsson* 773,000 2,573 Telefonaktiebolaget LM Ericsson ADR (B)* 216,400 7,196 Volvo, Cl B 310,600 12,670 ----------- 33,069 ----------- SWITZERLAND -- 7.8% ABB (B)* 71,078 440 Adecco* 13,675 683 Ciba Specialty Chemicals* 10,740 776 Compagnie Financiere Richemont, Cl A* 159,488 4,857 Credit Suisse Group (B)* 264,897 10,348 Holcim* 182,555 10,476 Micronas Semiconductor Hold* 5,900 255 Nestle 80,989 20,818 Novartis* 624,124 29,947 Roche Holding* 94,974 10,016 Serono, Cl B (B)* 1,106 713 STMicroelectronics* 82,700 1,662 Swiss Reinsurance (B)* 72,858 4,876 Swisscom* 13,597 5,344 Syngenta* 25,817 2,734 Synthes* 9,400 1,019 UBS* 325,394 26,337 Xstrata 282,300 5,013 ----------- 136,314 ----------- -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 77 -------------------------------------------------------------------------------- STATEMENT OF NET ASSETS (Unaudited) INTERNATIONAL EQUITY FUND (Continued) November 30, 2004 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- TAIWAN -- 0.5% China Steel 574,000 $ 632 Chunghwa Telecom ADR (B)* 158,857 3,312 Compal Electronics 1,312,000 1,258 HON HAI Precision Industry GDR (B)* 139,150 1,122 Taiwan Semiconductor Manufacturing 486,000 713 Taiwan Semiconductor Manufacturing ADR* 277,776 2,214 ----------- 9,251 ----------- THAILAND -- 0.0% PTT* 101,300 434 ----------- TURKEY -- 0.0% Ford Otomotiv Sanayi 67,750,000 473 ----------- UNITED KINGDOM -- 19.9% Allied Domecq 965,755 9,544 ARM Holdings (B) 163,500 322 AstraZeneca 123,500 4,828 AstraZeneca (SEK)* 156,468 6,150 Aviva 314,900 3,488 BAA 144,825 1,611 BAE Systems 173,795 815 Barclays 2,149,141 22,184 BG Group* 464,800 3,225 BHP Billiton 937,771 10,970 BOC Group 303,194 5,425 BP (B) 2,885,379 29,452 Brambles Industries 88,600 442 British American Tobacco 639,002 10,737 BT Group 1,194,700 4,442 Bunzl 294,326 2,512 Cadbury Schweppes 1,873,895 16,728 Carnival* 75,400 4,214 Centrica 368,100 1,743 Diageo (B) 225,900 3,161 DX Services* 97,487 563 GlaxoSmithKline 794,390 16,718 GUS (B) 421,182 7,036 Hays (B) 1,949,742 4,510 HBOS 347,800 4,870 HSBC Holdings 906,900 15,446 Imperial Tobacco Group 430,683 11,221 Intercontinental Hotels Group 168,500 2,147 ITV* 915,356 1,920 J Sainsbury* 363,925 1,817 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Mitchells & Butlers 319,300 $ 1,848 mmO2* 2,024,700 4,422 National Grid Transco 1,401,322 12,824 Pearson 369,500 4,337 Persimmon 147,700 1,746 Prudential 655,026 5,227 Punch Taverns 200,000 2,302 Reckitt Benckiser 447,120 13,187 Reed Elsevier 1,205,339 11,071 Rentokil Initial 724,099 1,965 Rexam 106,172 917 Rio Tinto 259,400 7,601 Rolls-Royce Group* 643,798 3,240 Rolls-Royce Group, Cl B* 21,779,566 44 Royal Bank of Scotland Group 326,518 10,036 Shell Transport & Trading 290,500 2,443 Signet Group* 2,300,000 4,605 Smiths Group (B) 105,320 1,541 Standard Chartered 136,900 2,621 Taylor Woodrow 218,200 968 Trinity Mirror 65,700 782 Unilever (B)* 426,700 3,907 Vodafone Group (B) 13,633,645 37,006 Whitbread 141,800 2,163 Wimpey George 230,300 1,574 Wolseley 138,980 2,394 ----------- 349,012 ----------- Total Common Stock (Cost $1,412,476) ($ Thousands) 1,715,789 ----------- PREFERRED STOCK -- 0.4% AUSTRALIA -- 0.0% News* 41,218 724 ----------- BRAZIL -- 0.2% Braskem* 10,570,000 460 Cia Vale do Rio Doce ADR* 36,000 747 Petroleo Brasileiro* 30,000 1,025 Suzano Bahia Sul Papel e Celulose* 64,000 288 Usinas Siderurgicas de Minas Gerais* 19,600 396 ----------- 2,916 ----------- GERMANY -- 0.2% Porsche* 6,781 4,323 ----------- Total Preferred Stock (Cost $6,389) ($ Thousands) 7,963 ----------- -------------------------------------------------------------------------------- 78 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- FOREIGN CONVERTIBLE BONDS -- 0.2% Credit Suisse Group CV to 32.3311 Shares (CHF) 6.000%, 12/23/05 $ 341 $ 385 SMFG Finance CV to 9.6154 Shares (JPY) 2.250%, 07/11/05 144,000 3,204 ----------- Total Foreign Convertible Bonds (Cost $1,748) ($ Thousands) 3,589 ----------- CORPORATE OBLIGATIONS (C)(F) -- 7.1% FINANCIALS -- 7.1% Allstate Life Global Funding MTN 2.090%, 11/14/05 9,652 9,652 Blue Heron Funding, Ser 6A,Cl 1 2.170%, 05/18/05 9,192 9,192 CCN Independence IV 2.170%, 07/15/05 6,894 6,894 CIT Group 2.136%, 07/29/05 5,237 5,252 Countrywide Home Loans 2.040%, 06/23/05 9,652 9,650 Harwood Street Funding I, Ser 2004-1A, Cl Note 2.190%, 09/20/05 6,894 6,894 K2 1.887%, 12/12/05 2,758 2,756 Morgan Stanley, Ser EXL 2.039%, 12/04/05 6,894 6,894 RMAC, Ser 2004-NS2A, Cl A1 2.080%, 06/12/05 9,280 9,280 SLM MTN, Cl X 2.150%, 12/20/05 11,490 11,490 Saturn Ventures 2.143%, 02/07/05 8,273 8,273 Sigma Finance MTN 1.989%, 01/04/05 9,652 9,651 Wachovia Auto Owner Trust, Ser 2004-A, Cl A1 2.440%, 06/20/05 1,904 1,904 Washington Mutual Bank 2.310%, 08/18/05 8,273 8,273 White Pine Finance 2.096%, 03/11/05 9,652 9,650 Whitehawk CDO Funding, Ser 2004-1A, Cl AMMA 1.710%, 03/15/05 8,273 8,273 ----------- Total Corporate Obligations (Cost $123,978) ($ Thousands) 123,978 ----------- -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- COMMERCIAL PAPER (C) (E) -- 2.3% FINANCIALS -- 2.3% Broadhollow Funding 2.150%, 12/03/04 $ 2,758 $ 2,758 CPI Funding 2.121%, 12/10/04 9,192 9,187 Golden Fish 2.398%, 01/18/05 13,844 13,800 Thornburg Mortgage Capital 2.325%, 01/05/05 13,788 13,757 ----------- Total Commercial Paper (Cost $39,502) ($ Thousands) 39,502 ----------- CASH EQUIVALENTS -- 0.6% UNITED STATES -- 0.6% Bear Stearns Master Notes (C) 9,192,156 9,192 SEI Daily Income Trust, Prime Obligation Fund, Cl A+ 625,923 626 ----------- Total Cash Equivalents (Cost $9,818) ($ Thousands) 9,818 ----------- U.S. TREASURY OBLIGATION -- 0.0% U.S. Treasury Bills (A) 1.794%, 02/24/05 400 398 ----------- Total U.S. Treasury Obligation (Cost $398) ($ Thousands) 398 ----------- REPURCHASE AGREEMENT -- 6.7% Barclays 2.070%, dated 11/30/04, to be repurchased on 12/01/04, repurchase price $117,800,576 (collateralized by various U.S. Government Obligations, ranging in par value $4,327,207- $45,960,780, 0.000%-5.125%, 12/17/04-05/21/09; with total market value $120,150,443)(C) 117,794 117,794 ----------- Total Repurchase Agreement (Cost $117,794) ($ Thousands) 117,794 ----------- Total Investments -- 115.4% (Cost $1,712,103) ($ Thousands) 2,018,831 ----------- -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 79 -------------------------------------------------------------------------------- STATEMENT OF NET ASSETS (Unaudited) INTERNATIONAL EQUITY FUND (Concluded) November 30, 2004 -------------------------------------------------------------------------------- Value Description ($ Thousands) -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES -- (15.4)% Payable upon Return on Securities Loaned $ (290,466) Payable for Capital Shares Redeemed (12,371) Payable for Investment Securities Purchased (4,412) Investment Advisory Fees Payable (533) Trustees' Fees Payable (6) Other Assets and Liabilities, Net 38,510 ----------- Total Other Assets and Liabilities -- (15.4)% (269,278) ----------- Net Assets -- 100.0% $ 1,749,553 =========== NET ASSETS: Paid-in-Capital -- (unlimited authorization -- no par value) 1,637,174 Undistributed net investment income 29,184 Accumulated net realized loss on investments and futures contracts (223,717) Net unrealized appreciation on investments 306,728 Net unrealized appreciation on futures contracts 52 Net unrealized appreciation on forward foreign currency contracts,foreign currencies and translation of other assets and liabilities denominated in foreign currencies 132 ----------- Net Assets $ 1,749,553 =========== Net Asset Value, Offering and Redemption Price Per Share -- Class A ($1,749,553,024 / 155,493,193 shares) $11.25 ====== * Non-Income Producing Security + See Note 3 in Notes to Financial Statements (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. The rate reported is the effective yield at time of purchase. (B) This security or a partial position of this security is on loan at November 30, 2004 (see Note 9) The total value of securities on loan at November 30, 2004 was $275,944,694. (C) This security was purchased with cash collateral held from securities lending. The total value of such securities as of November 30, 2004 was $290,465,783. (See Note 9) (D) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. (E) The rate reported is the effective yield at time of purchase. (F) Variable Rate Security -- The rate reported on the Statement of Net Assets is the rate in effect as of November 30, 2004. ADR -- American Depositary Receipt CHF -- Swiss Franc Cl -- Class CV -- Convertible EUR -- Euro FDR -- Fiduciary Depositary Receipt GDR -- Global Depositary Receipt JPY -- Japanese Yen MTN -- Medium Term Note NY -- New York SEK -- Swedish Krona Ser -- Series The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 80 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- STATEMENTS OF ASSETS AND LIABILITIES ($ Thousands) November 30, 2004 (Unaudited)
------------------------------------------------------------------------------------------------------------------------------------ CORE FIXED EXTENDED INCOME LONG DURATION DURATION FUND BOND FUND BOND FUND ------------------------------------------------------------------------------------------------------------------------------------ ASSETS: Investments at value (Cost $4,455,819, $23,696 and $37,368, respectively) $4,483,776 $23,846 $37,925 Repurchase agreements (Cost $565,518, $0 and $0, respectively) 565,518 -- -- Cash 1,101 -- -- Foreign currency, at value (Cost $1, $0 and $0, respectively) 1 -- -- Receivable for investment securities sold 314,627 12,127 10,514 Receivable for capital shares sold 32,535 894 -- Unrealized gain on forward foreign currency contracts 14 -- -- Dividends and interest receivable 26,791 555 1,101 Unrealized gain on swap contracts -- -- 656 Other assets 372 -- -- ------------------------------------------------------------------------------------------------------------------------------------ Total Assets 5,424,735 37,422 50,196 ------------------------------------------------------------------------------------------------------------------------------------ LIABILITIES: Payable upon return on securities loaned 1,049,160 -- -- Payable for investment securities purchased 560,168 -- 9,653 Payable for capital shares redeemed 7,758 27 100 Income distribution payable 164 -- -- Options written, at fair value (premiums received $855, $0 and $0, respectively) 377 -- -- Unrealized loss on forward foreign currency contracts 1,096 -- -- Investment advisory fees payable 387 4 5 Trustees' fees payable 14 -- -- Accrued expense payable 155 3 2 ------------------------------------------------------------------------------------------------------------------------------------ Total Liabilities 1,619,279 34 9,760 ------------------------------------------------------------------------------------------------------------------------------------ Total Net Assets $3,805,456 $37,388 $40,436 ------------------------------------------------------------------------------------------------------------------------------------ NET ASSETS: Paid in Capital (unlimited authorization ---- no par value) $3,738,826 $36,650 $39,194 Undistributed net investment income 250 -- -- Accumulated net realized gain on investments, options, futures contracts and swap contracts 38,697 588 29 Net unrealized appreciation on investments and options 28,435 150 557 Net unrealized depreciation on futures contracts (836) -- -- Net unrealized appreciation on swap contracts -- -- 656 Net unrealized appreciation on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies 84 -- -- ------------------------------------------------------------------------------------------------------------------------------------ Total Net Assets -- 100.0% $3,805,456 $37,388 $40,436 ------------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Offering and Redemption Price Per Share -- Class A ($3,805,456,262 / 366,597,608 shares), ($37,388,204 / 3,672,455 shares) and ($40,436,378 / 3,872,585 shares), respectively $10.38 $10.18 $10.44 ====================================================================================================================================
Amounts designated as "--" are zero or have been rounded to zero. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 81 -------------------------------------------------------------------------------- STATEMENTS OF OPERATIONS ($ Thousands) For the six-month period ended November 30, 2004 (Unaudited)
--------------------------------------------------------------------------------------------------------- LARGE CAP DISCIPLINED LARGE CAP LARGE CAP EQUITY INDEX FUND FUND FUND --------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Dividends $ 18,255 $ 29,416 $ 3,297 Dividends from Affiliated Registered Investment Company 225 100 11 Interest 265 506 54 Security Lending Income -- Net 51 53 -- Less: Foreign Taxes Withheld (8) (1) -- --------------------------------------------------------------------------------------------------------- Total Investment Income 18,788 30,074 3,362 --------------------------------------------------------------------------------------------------------- EXPENSES: Investment Advisory Fees 3,465 5,325 249 Administration Fees 433 666 74 Shareholder Service Fees* 1 -- -- Custodian fees/Wire agent 90 57 11 Professional Fees 37 47 6 Printing Fees 17 19 3 Trustees Fees 15 15 2 Registration Fees -- 46 1 Litigation Fees (See Note 10) -- -- -- Other Expenses 26 33 7 --------------------------------------------------------------------------------------------------------- Total Expenses 4,084 6,208 353 --------------------------------------------------------------------------------------------------------- Less, Waiver of: Investment Advisory Fees (1,378) (1,255) (81) Administration Fees (433) (666) (73) --------------------------------------------------------------------------------------------------------- Net Expenses 2,273 4,287 199 --------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME 16,515 25,787 3,163 --------------------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net Realized Gain (Loss) on: Investments 17,001 (18,203) 43 Future Contracts 2,253 (297) 195 Written Options -- -- -- Swap Contracts -- -- -- Foreign Currency Transactions -- -- -- Net Change in Unrealized Appreciation (Depreciation) on: Investments 72,119 167,908 14,275 Future Contracts 465 3,292 215 Written Options -- -- -- Swap Contracts -- -- -- Foreign Currency and Translation of Other Assets and Liabilities Denominated iForeign Currencies -- -- -- --------------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $108,353 $178,487 $17,891 ---------------------------------------------------------------------------------------------------------
* Fees are incurred at the Class T level only. Amounts designated as "--" are zero or have been rounded to zero. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 82 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 --------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------ SMALL/MID CORE FIXED SMALL CAP CAP EQUITY INCOME FUND FUND FUND ------------------------------------------------------------------------------------------------------ INVESTMENT INCOME Dividends $ 6,588 $ 2,298 $ 36 Dividends from Affiliated Registered Investment Company 347 142 285 Interest 378 154 68,512 Security Lending Income -- Net 245 63 406 Less: Foreign Taxes Withheld (6) (4) -- ------------------------------------------------------------------------------------------------------ Total Investment Income 7,552 2,653 69,239 ------------------------------------------------------------------------------------------------------ EXPENSES: Investment Advisory Fees 4,413 1,551 5,326 Administration Fees 339 119 888 Shareholder Service Fees* 1 -- -- Custodian fees/Wire agent 50 13 121 Professional Fees 28 9 34 Printing Fees 12 4 28 Trustees Fees 10 3 23 Registration Fees -- 8 13 Litigation Fees (See Note 10) -- -- 39 Other Expenses 20 9 122 ------------------------------------------------------------------------------------------------------ Total Expenses 4,873 1,716 6,594 ------------------------------------------------------------------------------------------------------ Less, Waiver of: Investment Advisory Fees (847) (80) (3,049) Administration Fees (339) (119) (888) ------------------------------------------------------------------------------------------------------ Net Expenses 3,687 1,517 2,657 ------------------------------------------------------------------------------------------------------ NET INVESTMENT INCOME 3,865 1,136 66,582 ------------------------------------------------------------------------------------------------------ NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net Realized Gain (Loss) on: Investments 22,607 2,912 28,948 Future Contracts 1,591 847 1,771 Written Options -- -- 2,760 Swap Contracts -- -- -- Foreign Currency Transactions -- -- 357 Net Change in Unrealized Appreciation (Depreciation) on: Investments 121,334 52,517 31,565 Future Contracts 3,336 (55) (212) Written Options -- -- (654) Swap Contracts -- -- -- Foreign Currency and Translation of Other Assets and Liabilities Denominated iForeign Currencies -- -- 84 ------------------------------------------------------------------------------------------------------ NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $152,733 $57,357 $131,201 ------------------------------------------------------------------------------------------------------ ---------------------------------------------------------------------------------------------------- LONG EXTENDED DURATION DURATION INTERNATIONAL BOND BOND EQUITY FUND FUND FUND ---------------------------------------------------------------------------------------------------- INVESTMENT INCOME Dividends $ -- $ -- $ 15,129 Dividends from Affiliated Registered Investment Company 5 7 120 Interest 678 915 -- Security Lending Income -- Net -- -- 991 Less: Foreign Taxes Withheld -- -- (1,767) ---------------------------------------------------------------------------------------------------- Total Investment Income 683 922 14,473 ---------------------------------------------------------------------------------------------------- EXPENSES: Investment Advisory Fees 38 51 3,885 Administration Fees 6 9 385 Shareholder Service Fees* -- -- -- Custodian fees/Wire agent 2 3 119 Professional Fees -- 1 28 Printing Fees -- 1 12 Trustees Fees -- -- 10 Registration Fees 1 1 -- Litigation Fees (See Note 10) -- -- -- Other Expenses 4 4 28 ---------------------------------------------------------------------------------------------------- Total Expenses 51 70 4,467 ---------------------------------------------------------------------------------------------------- Less, Waiver of: Investment Advisory Fees (20) (26) (612) Administration Fees (6) (9) (385) ---------------------------------------------------------------------------------------------------- Net Expenses 25 35 3,470 ---------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME 658 887 11,003 ---------------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net Realized Gain (Loss) on: Investments 607 505 29,726 Future Contracts -- -- (617) Written Options -- -- -- Swap Contracts -- 276 -- Foreign Currency Transactions -- -- 895 Net Change in Unrealized Appreciation (Depreciation) on: Investments 279 1,200 145,469 Future Contracts -- -- 642 Written Options -- -- -- Swap Contracts -- 1,205 -- Foreign Currency and Translation of Other Assets and Liabilities Denominated iForeign Currencies -- -- 175 ---------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $1,544 $4,073 $187,293 ----------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 83 -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS ($ Thousands) For the periods ended November 30, 2004 (Unaudited) and May 31, 2004
------------------------------------------------------------------------------------------------------------------------------ LARGE CAP DISCIPLINED LARGE CAP FUND EQUITY FUND(2) ------------------------------------------------------------------------------------------------------------------------------ 6/1/04 6/1/03 6/1/04 8/28/03 to 11/30/04 to 5/31/04 to 11/30/04 to 5/31/04 ------------------------------------------------------------------------------------------------------------------------------ OPERATIONS: Net Investment Income $ 16,515 $ 34,019 $ 25,787 $ 11,424 Net Realized Gain (Loss) from Investments, Written Options, Futures Contracts and Swap Contracts 19,254 380,926(4) (18,500) 12,121 Net Realized Gain on Foreign Currency Transactions -- -- -- -- Net Change in Unrealized Appreciation (Depreciation) on Investments, Written Options, Futures Contracts and Swap Contracts 72,584 64,021 171,200 60,817 Net Change in Unrealized Appreciation on Foreign Currencies, and Translation of Other Assets and Liabilities Denominated in Foreign Currency -- -- -- -- ------------------------------------------------------------------------------------------------------------------------------ Net Increase in Net Assets Resulting from Operations 108,353 478,966 178,487 84,362 ------------------------------------------------------------------------------------------------------------------------------ DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income Class A (11,742) (37,006) (16,363) (6,738) Class T (5) (2) -- -- Net Realized Gains Class A -- -- -- (2,310) Class T -- -- -- -- ------------------------------------------------------------------------------------------------------------------------------ Total Dividends and Distributions (11,747) (37,008) (16,363) (9,048) ------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS:(1) CLASS A: Proceeds from Shares Issued 127,329 1,040,314(6) 742,031(6) 2,321,249(6) Reinvestment of Dividends & Distributions 11,348 36,168 16,305 9,027 Cost of Shares Redeemed (246,991) (2,739,017)(7) (144,989) (120,549) ------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets Derived from Class A Transactions (108,314) (1,662,535) 613,347 2,209,727 ------------------------------------------------------------------------------------------------------------------------------ CLASS T: Proceeds from Shares Issued 1,475 1 -- -- Reinvestment of Dividends & Distributions 5 2 -- -- Cost of Shares Redeemed (1,483) (221) -- -- ------------------------------------------------------------------------------------------------------------------------------ Decrease in Net Assets Derived from Class T Transactions (3) (218) -- -- ------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets Derived from Capital Share Transactions (108,317) (1,662,753) 613,347 2,209,727 ------------------------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Net Assets (11,711) (1,220,795) 775,471 2,285,041 ------------------------------------------------------------------------------------------------------------------------------ NET ASSETS: BEGINNING OF PERIOD 1,787,881 3,008,676 2,285,041 -- ------------------------------------------------------------------------------------------------------------------------------ END OF PERIOD $1,776,170 $ 1,787,881 $3,060,512 $2,285,041 ============================================================================================================================== Undistributed Net Investment Income Included in Net Assets at Period End $ 8,300 $ 3,532 $ 14,110 $ 4,686 ==============================================================================================================================
(1) See Note 4 in the Notes to Financial Statements for additional information. (2) The Large Cap Disciplined Equity Fund commenced operations on August 28, 2003. (3) The Small/Mid Cap Equity Fund commenced operations on December 15, 2003. (4) Includes realized gain of $48,900 due to in-kind redemption (see note 8). (5) Includes realized gain of $17,934 due to in-kind redemption (see note 8). (6) Includes subscriptions as a result of in-kind transfers of securities (see note 8). (7) Includes redemptions as a result of in-kind transfers of securities (see note 8). Amounts designated as "--" are zero or have been rounded to zero. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 84 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 --------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------- LARGE CAP INDEX FUND SMALL CAP FUND ------------------------------------------------------------------------------------------------------------------------------- 6/1/04 6/1/03 6/1/04 6/1/03 to 11/30/04 to 5/31/04 to 11/30/04 to 5/31/04 ------------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income $ 3,163 $ 3,964 $ 3,865 $ 5,983 Net Realized Gain (Loss) from Investments, Written Options, Futures Contracts and Swap Contracts 238 (223) 24,198 322,159(5) Net Realized Gain on Foreign Currency Transactions -- -- -- -- Net Change in Unrealized Appreciation (Depreciation) on Investments, Written Options, Futures Contracts and Swap Contracts 14,490 37,832 124,670 22,724 Net Change in Unrealized Appreciation on Foreign Currencies, and Translation of Other Assets and Liabilities Denominated in Foreign Currency -- -- -- -- ------------------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets Resulting from Operations 17,891 41,573 152,733 350,866 ------------------------------------------------------------------------------------------------------------------------------- DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income Class A (2,274) (3,562) (2,802) (6,425) Class T -- -- -- -- Net Realized Gains Class A -- (533) -- (45,512) Class T -- -- -- (8) ------------------------------------------------------------------------------------------------------------------------------- Total Dividends and Distributions (2,274) (4,095) (2,802) (51,945) ------------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS:(1) CLASS A: Proceeds from Shares Issued 27,270 228,588(6) 189,060 394,135(6) Reinvestment of Dividends & Distributions 2,264 4,076 2,682 49,709 Cost of Shares Redeemed (19,928) (128,043) (70,900) (627,395)(7) ------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Class A Transactions 9,606 104,621 120,842 (183,551) ------------------------------------------------------------------------------------------------------------------------------- CLASS T: Proceeds from Shares Issued -- -- 527 -- Reinvestment of Dividends & Distributions -- -- -- 8 Cost of Shares Redeemed -- -- (570) (39) ------------------------------------------------------------------------------------------------------------------------------- Decrease in Net Assets Derived from Class T Transactions -- -- (43) (31) ------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Capital Share Transactions 9,606 104,621 120,799 (183,582) ------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets 25,223 142,099 270,730 115,339 ------------------------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF PERIOD 284,711 142,612 1,309,460 1,194,121 ------------------------------------------------------------------------------------------------------------------------------- END OF PERIOD $309,934 $ 284,711 $1,580,190 $1,309,460 =============================================================================================================================== Undistributed Net Investment Income Included in Net Assets at Period End $ 1,590 $ 701 $ 1,225 $ 162 =============================================================================================================================== ------------------------------------------------------------------------------------------------------------------------------ SMALL/MID CAP CORE FIXED EQUITY FUND(3) INCOME FUND ------------------------------------------------------------------------------------------------------------------------------ 6/1/04 12/15/03 6/1/04 6/1/03 to 11/30/04 to 5/31/04 to 11/30/04 to 5/31/04 ------------------------------------------------------------------------------------------------------------------------------ OPERATIONS: Net Investment Income $ 1,136 $ 662 $ 66,582 $ 102,842 Net Realized Gain (Loss) from Investments, Written Options, Futures Contracts and Swap Contracts 3,759 2,209 33,479 41,186 Net Realized Gain on Foreign Currency Transactions -- -- 357 -- Net Change in Unrealized Appreciation (Depreciation) on Investments, Written Options, Futures Contracts and Swap Contracts 52,462 10,802 30,699 (104,786) Net Change in Unrealized Appreciation on Foreign Currencies, and Translation of Other Assets and Liabilities Denominated in Foreign Currency -- -- 84 -- ------------------------------------------------------------------------------------------------------------------------------ Net Increase in Net Assets Resulting from Operations 57,357 13,673 131,201 39,242 ------------------------------------------------------------------------------------------------------------------------------ DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income Class A (1,088) (319) (68,606) (107,988) Class T -- -- -- -- Net Realized Gains Class A -- -- -- (38,012) Class T -- -- -- -- ------------------------------------------------------------------------------------------------------------------------------ Total Dividends and Distributions (1,088) (319) (68,606) (146,000) ------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS:(1) CLASS A: Proceeds from Shares Issued 139,157(6) 438,036(6) 877,866 1,559,032 Reinvestment of Dividends & Distributions 1,084 318 67,513 143,168 Cost of Shares Redeemed (26,590) (27,940) (277,391) (951,937) ------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets Derived from Class A Transactions 113,651 410,414 667,988 750,263 ------------------------------------------------------------------------------------------------------------------------------ CLASS T: Proceeds from Shares Issued -- -- -- -- Reinvestment of Dividends & Distributions -- -- -- -- Cost of Shares Redeemed -- -- -- -- ------------------------------------------------------------------------------------------------------------------------------ Decrease in Net Assets Derived from Class T Transactions -- -- -- -- ------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets Derived from Capital Share Transactions 113,651 410,414 667,988 750,263 ------------------------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Net Assets 169,920 423,768 730,583 643,505 ------------------------------------------------------------------------------------------------------------------------------ NET ASSETS: BEGINNING OF PERIOD 423,768 -- 3,074,873 2,431,368 ------------------------------------------------------------------------------------------------------------------------------ END OF PERIOD $593,688 $423,768 $3,805,456 $3,074,873 ============================================================================================================================== Undistributed Net Investment Income Included in Net Assets at Period End $ 391 $ 343 $ 250 $ 554 ==============================================================================================================================
-------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 85 -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS ($ Thousands) For the periods ended November 30, 2004 (Unaudited) and May 31, 2004
----------------------------------------------------------------------------------------------------------------------------------- LONG EXTENDED DURATION DURATION INTERNATIONAL BOND FUND(2) BOND FUND(3) EQUITY FUND ----------------------------------------------------------------------------------------------------------------------------------- 6/1/04 4/21/04 6/1/04 4/21/04 6/1/04 6/1/03 to 11/30/04 to 5/31/04 to 11/30/04 to 5/31/04 to 11/30/04 to 5/31/04 ----------------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income $ 658 $ 33 $ 887 $ 151 $ 11,003 $ 25,849 Net Realized Gain (Loss) from Investments, Written Options, Futures Contracts and Swap Contracts 607 (19) 781 (116) 29,109 120,683 Net Realized Gain on Foreign Currency Transactions -- -- -- -- 895 -- Net Change in Unrealized Appreciation (Depreciation) on Investments, Written Options, Futures Contracts and Swap Contracts 279 (129) 2,405 (1,192) 146,111 222,071 Net Change in Unrealized Appreciation (Depreciation) on Foreign Currencies, and Translation of Other Assets and Liabilities Denominated in Foreign Currency -- -- -- -- 175 (76) ----------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations 1,544 (115) 4,073 (1,157) 187,293 368,527 ----------------------------------------------------------------------------------------------------------------------------------- DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income Class A (658) (33) (1,437) (237) -- (23,331) Net Realized Gains Class A -- -- -- -- -- -- ----------------------------------------------------------------------------------------------------------------------------------- Total Dividends and Distributions (658) (33) (1,437) (237) -- (23,331) ----------------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS:(1) CLASS A: Proceeds from Shares Issued 30,373 6,432 9,740 28,944 305,388 413,693 Reinvestment of Dividends & Distributions 657 33 1,434 237 -- 22,998 Cost of Shares Redeemed (845) -- (1,161) -- (134,204) (566,908) ----------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Class A Transactions 30,185 6,465 10,013 29,181 171,184 (130,217) ----------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Capital Share Transactions 30,185 6,465 10,013 29,181 171,184 (130,217) ----------------------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets 31,071 6,317 12,649 27,787 358,477 214,979 ----------------------------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF PERIOD 6,317 -- 27,787 -- 1,391,076 1,176,097 ----------------------------------------------------------------------------------------------------------------------------------- END OF PERIOD $37,388 $6,317 $40,436 $27,787 $1,749,553 $1,391,076 =================================================================================================================================== Undistributed Net Investment Income Included in Net Assets at Period End $ -- $ -- $ -- $ 23 $ 28,289 $ 17,286 ===================================================================================================================================
(1) See Note 4 in the Notes to Financial Statements for additional information. (2) The Long Duration Bond Fund commenced operations on April 21, 2004. (3) The Extended Duration Bond Fund commenced operations on April 21, 2004. Amounts designated as "--" are zero or have been rounded to zero. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 86 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS For the period ended November 30, 2004 (Unaudited) and the periods ended May 31, For a share outstanding throughout each period
---------------------------------------------------------------------------------------------------------------------------------- Net Realized and Distributions Net Asset Net Unrealized Dividends from Value, Investment Gains Total from Net Realized Beginning Income (Losses) on from Investment Capital of Period (Loss) Securities Operations Income Gains ---------------------------------------------------------------------------------------------------------------------------------- LARGE CAP FUND Class A 2004* $ 14.47 $ 0.14(6) $ 0.75(6) $ 0.89 $(0.10) $ -- 2004 12.41 0.18(6) 2.09(6) 2.27 (0.21) -- 2003 13.82 0.16(6) (1.41)(6) (1.25) (0.16) -- 2002 16.31 0.15 (2.48) (2.33) (0.16) -- 2001 19.48 0.17 (2.35) (2.18) (0.17) (0.82) 2000 18.82 0.20 1.48 1.68 (0.19) (0.83) Class T 2004* $ 14.49 $ 0.07(6) $ 0.68(6) $ 0.75 $(0.05) $ -- 2004 12.45 0.11(6) 2.06(6) 2.17 (0.13) -- 2003(1) 11.43 0.04(6) 1.02(6) 1.06 (0.04) -- LARGE CAP DISCIPLINED EQUITY FUND Class A 2004* $111.81 $ 1.08(6) $ 5.83(6) $ 6.91 $(0.69) $ -- 2004(2)++ 100.00 0.66(6) 12.51(6) 13.17 (0.54) (0.82) LARGE CAP INDEX FUND Class A 2004* $ 99.12 $ 1.07(6) $ 4.70(6) $ 5.77 $(0.77) $ -- 2004++ 84.90 1.50(6) 14.28(6) 15.78 (1.37) (0.19) 2003++ 93.40 1.10 (8.50)(7) (7.40) (1.10) -- 2002(3)++ 100.00 0.20 (6.80) (6.60) -- -- SMALL CAP FUND Class A 2004* $ 14.70 $ 0.04(6) $ 1.46(6) $ 1.50 $(0.03) $ -- 2004 11.60 0.06(6) 3.59(6) 3.65 (0.07) (0.48) 2003 12.53 0.07(6) (0.94)(6) (0.87) (0.06) -- 2002 13.02 0.06 (0.45) (0.39) (0.07) (0.03) 2001 13.66 0.08 0.96 1.04 (0.09) (1.59) 2000 11.35 0.09 2.30 2.39 (0.08) -- Class T 2004* $ 14.65 $ 0.01(6) $ 1.44(6) $ 1.45 $(0.01) $ -- 2004 11.57 (0.01)(6) 3.58(6) 3.57 (0.01) (0.48) 2003(4) 10.47 0.01(6) 1.11(6) 1.12 (0.02) -- SMALL/MID CAP EQUITY FUND Class A 2004* $107.03 $ 0.26(6) $11.85(6) $12.11 $(0.25) $ -- 2004(5) 100.00 0.22(6) 6.93(6) 7.15 (0.12) -- ---------------------------------------------------------------------------------------------------------------------------------- Ratio of Net Total Ratio of Net Investment Dividends Net Asset Net Assets Expenses Income and Value, End Total End of Period to Average to Average Distributions of Period Return+ ($ Thousands) Net Assets Net Assets ---------------------------------------------------------------------------------------------------------------------------------- LARGE CAP FUND Class A 2004* $(0.10) $ 15.26 6.17% $1,776,137 0.26% 1.90% 2004 (0.21) 14.47 18.37 1,787,850 0.26 1.34 2003 (0.16) 12.41 (8.98) 3,008,463 0.26 1.39 2002 (0.16) 13.82 (14.36) 2,938,135 0.26 1.03 2001 (0.99) 16.31 (11.54) 3,451,673 0.26 0.98 2000 (1.02) 19.48 9.10 3,184,226 0.26 1.12 Class T 2004* $(0.05) $ 15.19 5.20% $ 33 0.81% 1.00% 2004 (0.13) 14.49 17.51 31 0.81 0.76 2003(1) (0.04) 12.45 9.28 213 0.81 0.66 LARGE CAP DISCIPLINED EQUITY FUND Class A 2004* $(0.69) $118.03 6.21% $3,060,512 0.32% 1.93% 2004(2)++ (1.36) 111.81 13.23 2,285,041 0.33 1.33 LARGE CAP INDEX FUND Class A 2004* $(0.77) $104.12 5.86% $ 309,934 0.13% 2.15% 2004++ (1.56) 99.12 18.71 284,711 0.16 1.58 2003++ (1.10) 84.90 (7.79) 142,612 0.20 1.67 2002(3)++ -- 93.40 (6.60) 39,763 0.20 1.30 SMALL CAP FUND Class A 2004* $(0.03) $ 16.17 10.22% $1,579,998 0.54% 0.57% 2004 (0.55) 14.70 31.76 1,309,254 0.54 0.45 2003 (0.06) 11.60 (6.83) 1,193,935 0.54 0.67 2002 (0.10) 12.53 (2.99) 1,102,199 0.54 0.54 2001 (1.68) 13.02 8.39 857,278 0.54 0.63 2000 (0.08) 13.66 21.06 774,284 0.53 0.73 Class T 2004* $(0.01) $ 16.09 9.88% $ 192 1.09% 0.09% 2004 (0.49) 14.65 31.07 206 1.09 (0.10) 2003(4) (0.02) 11.57 10.69 186 1.09 0.10 SMALL/MID CAP EQUITY FUND Class A 2004* $(0.25) $118.89 11.34% $ 593,688 0.63% 0.47% 2004(5) (0.12) 107.03 7.15 423,768 0.65 0.45 --------------------------------------------------------------- Ratio of Expenses to Average Net Assets Portfolio (Excluding Turnover Waivers) Rate --------------------------------------------------------------- LARGE CAP FUND Class A 2004* 0.47% 22% 2004 0.48 109 2003 0.47 51 2002 0.47 65 2001 0.48 107 2000 0.48 64 Class T 2004* 1.02% 22% 2004 1.03 109 2003(1) 1.02 51 LARGE CAP DISCIPLINED EQUITY FUND Class A 2004* 0.47% 35% 2004(2)++ 0.47 67 LARGE CAP INDEX FUND Class A 2004* 0.24% 4% 2004++ 0.24 6 2003++ 0.25 12 2002(3)++ 0.39 1 SMALL CAP FUND Class A 2004* 0.72% 47% 2004 0.72 135 2003 0.72 97 2002 0.71 115 2001 0.73 154 2000 0.73 159 Class T 2004* 1.27% 47% 2004 1.27 135 2003(4) 1.27 97 SMALL/MID CAP EQUITY FUND Class A 2004* 0.72% 53% 2004(5) 0.73 51
* For the six-month period ended November 30, 2004 (Unaudited). All ratios for the period have been annualized. + Returns are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of Fund shares. ++ Per share amounts have been adjusted for a 10 to 1 reverse stock split paid to shareholders of record on November 26, 2003. (1) Commenced operations on December 13, 2002. All ratios for the period have been annualized. (2) Commenced operations on August 28, 2003. All ratios for the period have been annualized. (3) Commenced operations on April 1, 2002. All ratios for the period have been annualized. (4) Commenced operations on November 26, 2002. All ratios for the period have been annualized. (5) Commenced operations on December 15, 2003. All ratios for the period have been annualized. (6) Per share net investment income and net realized and unrealized gains/(losses) calculated using average shares. (7) The amount shown for the year ended May 31, 2003 for a share outstanding throughout the period does not accord with the aggregate net gains on investments for that period because of the sales and repurchase of Fund shares in relation to fluctuating market value of the investments of the Fund. Amounts designated as "--" are zero or have been rounded to zero. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 87 -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS For the period ended November 30, 2004 (Unaudited) and the periods ended May 31, For a share outstanding throughout each period
--------------------------------------------------------------------------------------------------------------------------- Net Realized and Distributions Net Asset Unrealized Dividends from Value, Net Gains Total from Net Realized Beginning Investment (Losses) on from Investment Capital of Period Income Securities Operations Income Gains --------------------------------------------------------------------------------------------------------------------------- CORE FIXED INCOME FUND Class A 2004* $10.19 $0.19(2) $ 0.20(2) $ 0.39 $(0.20) $ -- 2004 10.61 0.38(2) (0.26)(2) 0.12 (0.40) (0.14) 2003 10.27 0.50 0.60 1.10 (0.50) (0.26) 2002 10.49 0.54 0.06 0.60 (0.54) (0.28) 2001 9.82 0.66 0.67 1.33 (0.66) -- 2000 10.22 0.61 (0.40) 0.21 (0.61) -- LONG DURATION BOND FUND Class A 2004* $ 9.77 $0.26(2) $ 0.41(2) $ 0.67 $(0.26) $ -- 2004(1) 10.00 0.05(2) (0.23)(2) (0.18) (0.05) -- EXTENDED DURATION BOND FUND Class A 2004* $ 9.53 $0.27(2) $ 1.08(2) $ 1.35 $(0.44) $ -- 2004(1) 10.00 0.05(2) (0.44)(2) (0.39) (0.08) -- INTERNATIONAL EQUITY FUND Class A 2004* $10.06 $0.07(2) $ 1.12(2) $ 1.19 $ -- $ -- 2004 7.76 0.18(2) 2.28(2) 2.46 (0.16) -- 2003 9.21 0.13 (1.46) (1.33) (0.12) -- 2002 10.34 0.11 (1.14) (1.03) (0.10) -- 2001 13.61 0.17 (2.56) (2.39) (0.16) (0.72) 2000 11.58 0.24 2.40 2.64 (0.14) (0.47) ------------------------------------------------------------------------------------------------------------------------------- Ratio of Net Total Ratio of Net Investment Dividends Net Asset Net Assets Expenses Income and Value, End Total End of Period to Average to Average Distributions of Period Return+ ($ Thousands) Net Assets Net Assets ------------------------------------------------------------------------------------------------------------------------------- CORE FIXED INCOME FUND Class A 2004* $(0.20) $10.38 3.85% $3,805,456 0.15% 3.74% 2004 (0.54) 10.19 1.13 3,074,873 0.19** 3.62 2003 (0.76) 10.61 11.10 2,431,368 0.18 4.79 2002 (0.82) 10.27 6.43 2,354,581 0.18 5.67 2001 (0.66) 10.49 13.92 2,131,474 0.18 6.47 2000 (0.61) 9.82 2.07 1,999,815 0.18 6.20 LONG DURATION BOND FUND Class A 2004* $(0.26) $10.18 6.94% $ 37,388 0.20% 5.13% 2004(1) (0.05) 9.77 (1.78) 6,317 0.20 5.02 EXTENDED DURATION BOND FUND Class A 2004* $(0.44) $10.44 14.24% $ 40,436 0.20% 5.17% 2004(1) (0.08) 9.53 (3.88) 27,787 0.20 5.17 INTERNATIONAL EQUITY FUND Class A 2004* $ -- $11.25 11.83% $1,749,553 0.45% 1.43% 2004 (0.16) 10.06 31.73 1,391,076 0.48 1.92 2003 (0.12) 7.76 (14.43) 1,176,097 0.48 1.85 2002 (0.10) 9.21 (9.93) 1,259,408 0.48 1.30 2001 (0.88) 10.34 (18.21) 1,190,830 0.48 1.68 2000 (0.61) 13.61 22.82 1,186,706 0.43 1.08 --------------------------------------------------------- Ratio of Expenses to Average Net Assets Portfolio (Excluding Turnover Waivers) Rate --------------------------------------------------------- CORE FIXED INCOME FUND Class A 2004* 0.37% 280% 2004 0.38 532 2003 0.37 436 2002 0.36 365 2001 0.37 399 2000 0.40 383 LONG DURATION BOND FUND Class A 2004* 0.41% 233% 2004(1) 0.57 31 EXTENDED DURATION BOND FUND Class A 2004* 0.40% 118% 2004(1) 0.44 42 INTERNATIONAL EQUITY FUND Class A 2004* 0.58% 17% 2004 0.65 80 2003 0.68 58 2002 0.66 84 2001 0.67 71 2000 0.64 74
* For the six-month period ended November 30, 2004 (Unaudited). All ratios for the period have been annualized. ** The expense ratio includes the litigation fees paid. Had these fees been excluded the ratio would have been 0.18%. + Returns are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of Fund shares. ++ Per share amounts have been adjusted for a 10 to 1 reverse stock split paid to shareholders of record on November 26, 2003. (1) Commenced operations on April 21, 2004. All ratios for the period have been annualized. (2) Per share net investment income and net realized and unrealized gains/(losses) calculated using average shares. Amounts designated as "--" are zero or have been rounded to zero. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 88 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS NOVEMBER 30, 2004 NOTES TO FINANCIAL STATEMENTS (Unaudited) 1. ORGANIZATION SEI Institutional Investments Trust (the "Trust") was organized as a Massachusetts business trust under a Declaration of Trust dated March 1, 1995. The Trust commenced operations on June 14, 1996. The Trust is registered under the Investment Company Act of 1940, as amended, as an open-end investment company currently offering nine Funds: The Large Cap, Large Cap Disciplined Equity, Large Cap Index, Small Cap, Small/Mid Cap Equity, Core Fixed Income, Long Duration Bond, Extended Duration Bond, and International Equity Funds (each a "Fund", collectively, the "Funds") are each diversified Funds. The Trust is registered to offer Class A shares of the Large Cap, Large Cap Disciplined Equity, Large Cap Index, Small Cap, Small/Mid Cap Equity, Core Fixed Income, Long Duration Bond, Extended Duration Bond and International Equity Funds, and Class T shares of Large Cap and Small Cap Funds. The assets of each Fund are aggregated, and a shareholder's interest is limited to the Fund in which shares are held. The Fund's prospectus provides a description of each Fund's investment objectives, policies, and strategies. On March 9, 2004 and June 17, 2004, respectively, the Board of Trustees of the Funds approved the creation of the Global Equity and World Equity Ex-US Funds. As of November 30, 2004 these Funds had not yet commenced operations. 2. SIGNIFICANT ACCOUNTING POLICIES The following is a summary of the significant accounting policies followed by the Funds. USE OF ESTIMATES -- The preparation of financial statements, in conformity with accounting principles generally accepted in the United States of America, requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets at the date of the financial statements and the reported results of operations during the reporting period. Actual results could differ from those estimates. SECURITY VALUATION -- Securities listed on a securities exchange, market or automated quotation system for which quotations are readily available (except for securities traded on NASDAQ) are valued at the last quoted sale price on the primary exchange or market (foreign or domestic) on which they are traded, or, if there is no such reported sale, at the most recent quoted bid price. For securities traded on NASDAQ, the NASDAQ Official Closing Price will be used. If available, debt securities 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. Debt obligations with remaining maturities of sixty days or less may be valued at their amortized cost, which approximates market value. The prices for foreign securities are reported in local currency and converted to U.S. dollars using currency exchange rates. Prices for most securities held in the Funds are provided daily by recognized independent pricing agents. If a security price cannot be obtained from an independent, third-party pricing agent, the Funds seek to obtain a bid price from at least one independent broker. Securities for which market prices are not "readily available" are valued in accordance with Fair Value Procedures established by the Funds' Board of Trustees. The Funds' Fair Value Procedures are implemented through a Fair Value Committee (the "Committee") designated by the Funds' Board of Trustees. Some of the more common reasons that may necessitate that a security be valued using Fair Value Procedures include: the security's trading has been halted or suspended; the security has been de-listed from a national exchange; the security's primary trading market is temporarily closed at a time when under normal conditions it would be open; or the security's primary pricing source is not able or willing to provide a price. When a security is valued in accordance with the Fair Value Procedures, the Committee will determine the value after taking into consideration relevant information reasonably available to the Committee. For securities that principally trade on a foreign market or exchange, a significant gap in time can exist between the time of a particular security's last trade and the time at which a Fund calculates its net asset value. The closing prices of such securities may no longer reflect their market value at the time the Fund calculates net asset value if an event that could materially affect the value of those securities (a "Significant Event") has occurred between the time of the security's last close and the time that the Fund calculates net asset value. A Significant Event may relate to a single issuer or to an entire market sector. If the adviser or sub-adviser of a Fund becomes aware of a Significant Event that has occurred with respect to a security or group of securities after the closing of the exchange or market on -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 89 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) NOVEMBER 30, 2004 which the security or securities principally trade, but before the time at which the Fund calculates net asset value, it may request that a Fair Value Committee Meeting be called. In addition, the Funds' administrator monitors price movements among certain selected indices, securities and/or baskets of securities that may be an indicator that the closing prices received earlier from foreign exchanges or markets may not reflect market value at the time the Fund calculates net asset value. If price movements in a monitored index or security exceed levels established by the administrator, the administrator notifies the adviser or sub-adviser for any Fund holding the relevant securities that such limits have been exceeded. In such event, the adviser or sub-adviser makes the determination whether a Fair Value Committee Meeting should be called based on the information provided. The International Equity Fund also uses a third-party fair valuation vendor. The vendor provides a fair value for foreign securities held by this Fund 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, the International Equity Fund will value the non-U.S. securities in its fund that exceed the applicable "confidence interval" based upon the adjusted prices provided by the fair valuation vendor. SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Security transactions are recorded on the trade date. Cost used in determining net realized capital gains and losses on the sale of securities are on the basis of specific identification. Dividend income is recognized on the ex-dividend date, and interest income is recognized using the accrual basis of accounting. REPURCHASE AGREEMENTS -- Securities pledged as collateral for repurchase agreements are held by each Fund's custodian bank until maturity of the repurchase agreement. Provisions of the repurchase agreements and the Trust's policies ensure 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. COMPENSATING BALANCES -- Large Cap, Large Cap Disciplined Equity, Large Cap Index, Small Cap, Small/Mid Cap Equity, Core Fixed Income, Long Duration Bond and Extended Duration Bond Funds with cash overdrafts in excess of $100,000 are required to leave 112% in compensating balances with Wachovia Bank NA, the custodian of the Trust, on the following day. Funds with positive cash balances in excess of $100,000 are allowed to overdraw 90% of the balance with Wachovia Bank NA on the following day. DISCOUNT AND PREMIUM AMORTIZATION -- All amortization is calculated using the effective interest method over the holding period of the security. Amortization of premiums and discounts is included in interest income. EXPENSES -- Expenses that are directly related to one of the Funds are charged directly to that Fund. Other operating expenses of the Funds are prorated to the Funds on the basis of relative net assets. CLASSES -- Class-specific expenses are borne by that class of shares. Income, expenses, realized and unrealized gains/losses and non class-specific expenses are allocated to the respective classes on the basis of relative daily net assets. FOREIGN CURRENCY TRANSLATION -- The books and records of the International Equity Fund 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 International Equity Fund does not isolate that portion of gains and losses on investments in equity securities that is due to changes in the foreign exchange rates from that which is due to changes in market prices of equity securities. The International Equity Fund reports certain foreign-currency-related transactions as components of realized gains for financial reporting purposes, whereas such components are treated as ordinary income for Federal income tax purposes. FORWARD FOREIGN CURRENCY CONTRACTS -- The International Equity Fund may enter into forward foreign currency contracts as hedges against either specific transactions, fund positions or anticipated fund positions. The aggregate principal amounts of the contracts are not recorded as the Fund does not intend to hold the contracts to maturity. All commitments are "marked-to-market" daily at the applicable foreign exchange rate, -------------------------------------------------------------------------------- 90 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- and any resulting unrealized gains or losses are recorded currently. The International Equity 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. At the period ended November 30, 2004 the International Equity Fund did not have any forward foreign currency contracts outstanding. FUTURES CONTRACTS -- Each of the funds utilized futures contracts during the period ended November 30, 2004 with the exception of the Extended and Long Duration Bond Funds. The Large Cap, Large Cap Disciplined Equity, Large Cap Index, Small Cap, Small/Mid Cap Equity and International Equity Funds' investment in index futures contracts is designed to enable the Funds to more closely approximate the performance of their benchmark indices. The Core Fixed Income Fund's use of futures contracts is primarily for tactical hedging purposes. Initial margin deposits of cash or securities are made upon entering into futures contracts. The contracts are marked to market daily and the resulting changes in value are accounted for as unrealized gains and losses. Variation margin payments are paid or received, depending upon whether unrealized losses or gains are incurred. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the amount invested in the contract. Risks related to futures contracts include the possibility that there may not be a liquid market for the contracts, that changes in the values of the contract may not directly correlate with changes in the values of the underlying securities, and that the counterparty to a contract may default on its obligation to perform. The following Funds had long (short) futures contracts open as of November 30, 2004:
---------------------------------------------------------------------------------------------------- Number Contract Unrealized Contract of Value Gain (Loss) Description Contracts ($ Thousands) Expiration ($ Thousands) ---------------------------------------------------------------------------------------------------- LARGE CAP FUND S&P 400 Index E-Mini 68 $ 4,336 12/17/04 $ 50 S&P 500 Composite Index 140 41,094 12/17/04 231 ------- 281 ------- LARGE CAP DISCIPLINED EQUITY FUND S&P 500 Composite Index 315 92,460 12/17/04 3,653 ------- LARGE CAP INDEX FUND S&P 500 Index E-Mini 131 7,690 12/17/04 343 ------- SMALL CAP FUND Russell 2000 Index E-Mini 576 36,527 12/17/04 3,894 -------
---------------------------------------------------------------------------------------------------- Number Contract Unrealized Contract of Value Gain (Loss) Description Contracts ($ Thousands) Expiration ($ Thousands) ---------------------------------------------------------------------------------------------------- SMALL/MID CAP EQUITY FUND S&P 400 Index E-Mini 157 10,011 12/17/04 $ 317 Russell 2000 Index E-Mini 231 14,649 12/17/04 621 ------- 938 ------- CORE FIXED INCOME FUND 90 Day Euro$ 479 $ 116,289 03/16/05 100 90 Day Euro$ 701 169,309 09/21/05 59 90 Day Euro$ 71 17,086 03/15/06 (43) U.S. 5 Year Note 438 48,057 12/22/04 (217) U.S. 5 Year Note 1,329 144,633 03/23/05 (207) U.S. 10 Year Agency Note (283) (31,541) 12/22/04 83 U.S. 10 Year Agency Note 127 14,065 03/23/05 (17) U.S. Long Treasury Bond (487) (54,103) 12/22/04 (675) U.S. Long Treasury Bond (43) (4,735) 03/23/05 81 ------- (836) ------- INTERNATIONAL EQUITY FUND J Euro Stoxx 60 2,293 12/19/04 62 FTSE 100 Index 21 1,890 12/19/04 26 Hang Seng Index 2 181 12/30/04 1 SPI 200 Index 6 457 12/19/04 27 Topix Index 14 1,492 12/14/04 (64) ------- 52 -------
OPTION WRITING/PURCHASING -- The Core Fixed Income Fund invests in financial options contracts for the purpose of hedging its existing portfolio securities, or securities that the Fund intends to purchase, against fluctuations in fair market value caused by changes in prevailing market interest rates. The Large Cap, Large Cap Disciplined Equity, Large Cap Index, Small Cap, Long Duration Bond, Extended Duration Bond and International Equity Funds also may invest in financial options contracts. When a Fund writes or purchases an option, 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 written or purchased. Premiums received or paid from writing or purchasing options 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 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. Written options transactions entered into during the period ended November 30, 2004 are summarized as follows: -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 91 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) NOVEMBER 30, 2004 -------------------------------------------------------------------------------- CORE FIXED INCOME FUND -------------------------------------------------------------------------------- Premium Number of Contracts ($ Thousands) -------------------------------------------------------------------------------- Balance at beginning of year 2,820 $ 3,263 Written 2,626 2,115 Expired (1,416) (1,513) Exercised -- -- Closing Buys (2,804) (3,010) -------------------------------------------------------------------------------- Balance at end of year 1,226 $ 855 ================================================================================ SWAP AGREEMENTS -- A swap agreement is a two-party contract under which an agreement is made to exchange returns from predetermined investments or instruments, including a particular interest rate, foreign currency, or "basket" of securities representing a particular index. The gross returns to be exchanged or "swapped" between the parties are calculated based on a "notional amount", which, each business day, is valued to determine each party's obligation under the contract. Fluctuations in market values are reflected as unrealized gains or losses during the term of the contract. Risks could arise from entering into swap agreements from the potential inability of counterparties to meet the terms of their contracts, and from the potential inability to enter into a closing transaction. It is possible that developments in the swaps market could affect a fund's ability to terminate existing swap agreements or to realize amounts to be received under such agreements. The contracts are marked to market daily and the resulting changes in market values are reflected as unrealized gains and losses. The accrued interest receivable and payable are recorded daily and accounted for as realized gains and losses. The Extended Duration Bond Fund had the following Swap Agreements open as of November 30, 2004: Net Unrealized Notional Depreciation Description Amount ($ Thousands) -------------------------------------------------------------------------------- Receive at fixed rate of 4.855% and pay at floating rate based on 3 month LIBOR (Counter Party: Credit Suisse First Boston) 3,850 $(103) Receive at fixed rate of 5.689% and pay at floating rate based on 3 month LIBOR (Counter Party: Deutsche Bank) 10,000 467 Receive at fixed rate of 5.694% and pay at floating rate based on 3 month LIBOR (Counter Party: Credit Suisse First Boston) 13,300 632 Receive at fixed rate of 5.134% and pay at floating rate based on 3 month LIBOR (Counter Party: Credit Suisse First Boston) 9,230 (340) -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Total $ 656 ================================================================================ LIBOR -- London InterBank Offering Rate DELAYED DELIVERY TRANSACTIONS -- The Core Fixed Income 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 delayed delivery purchases are outstanding, the Fund will set aside, and maintain until the settlement date in a segregated account, liquid assets in an amount sufficient to meet the purchase price. When purchasing a security on a delayed delivery basis, the Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. The Fund may dispose of or renegotiate a delayed delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a capital gain or loss. When the Fund has sold a security on a delayed delivery basis, the Fund does not participate in future gains and losses with respect to the security. ILLIQUID SECURITIES -- A security is considered illiquid if it cannot be sold or disposed of in the ordinary course of business within seven days or less for its approximate carrying value on the books of the Funds. Valuations of illiquid securities may differ significantly from the values that would have been used had an active market value for these securities existed. DISTRIBUTIONS TO SHAREHOLDERS -- Distributions from net investment income are declared and paid to shareholders quarterly for the Large Cap, Large Cap Disciplined Equity, Large Cap Index, Small Cap and the Small/Mid Cap Equity Funds; declared daily and paid monthly for the Core Fixed Income, Long Duration Bond and the Extended Duration Bond Funds; and declared and paid at least annually for the International Equity Fund. Dividends and distributions are recorded on the ex-dividend date. 3. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES ADMINISTRATION AGREEMENT --The Trust and SEI Investments Fund Management (the "Administrator") are parties to an Amended and Restated Administration and Transfer Agency Agreement dated December 10, 2003 under which the Administrator provides administrative and shareholder servicing for an annual fee of 0.05% of the average daily net assets of each Fund. For the six months ended November 30, 2004, and until further notice, the Administrator has voluntarily agreed to waive all of its fee. DISTRIBUTION AGREEMENT --The Trust and SEI Investments Distribution Co. (the "Distributor") are parties to an Amended and Restated Distribution Agreement dated September 16, 2002 pursuant to which the Distributor provides distribution-related services to the Trust. The Distributor is not currently entitled to any fee for performing these services. The Trust has also adopted a shareholder service plan and agreement (the "Service Plan") and an administrative services plan and agreement (the "Administrative Service Plan") for the Class T shares of the Funds. -------------------------------------------------------------------------------- 92 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- Under the Service Plan, the Distributor may perform, or may compensate other service providers for performing, the following shareholder services: (i) maintaining client accounts; (ii) arranging for bank wires; (iii) responding to client inquiries concerning services provided by the Distributor or any other service provider; (iv) assisting clients in changing dividend options, account designations and addresses; and (v) responding to client inquiries concerning their investments in Class T shares of the Funds. Under the Service Plan, the Distributor may retain as a profit any difference between the fee it receives and the amount it pays to third parties. Under the Service Plan, the Distributor is entitled to a fee, calculated daily and paid monthly as a percentage of average daily net assets attributable to Class T Shares, of up to 0.25% annually. Under the Administrative Service Plan, the Distributor may perform, or may compensate other service providers for performing, the following administrative services: (i) providing sub-accounting with respect to Class T shares beneficially owned by clients; (ii) providing information periodically to clients showing their positions in Class T shares; (iii) forwarding shareholder communications from the Trust; (iv) processing purchase, exchange and redemption requests from clients and placing such orders with the Fund or its service providers; (v) processing dividend payments; and (vi) providing such other similar services as the Funds may reasonably request, to the extent the service provider is permitted to do so under applicable laws or regulations. Under the Administrative Service Plan, the Distributor is entitled to a fee, calculated daily and paid monthly, as a percentage of average daily net assets attributable to Class T Shares, of up to 0.30% annually. INVESTMENT ADVISORY AGREEMENT -- SEI Investments Management Corporation ("SIMC") serves as investment adviser (the "Adviser") to each Fund. In connection with serving as investment adviser, SIMC is entitled to a fee that is calculated daily and paid monthly based on the average daily net assets of each Fund. SIMC has voluntarily agreed to waive a portion of its fee so that the total annual expenses of each Fund will not exceed certain voluntary expense limitations adopted by SIMC. These waivers may be terminated at any time. Accordingly, the advisory fee and voluntary expense limitations for each Fund are as follows: -------------------------------------------------------------------------------- Advisory Voluntary Expense Fees Limitations -------------------------------------------------------------------------------- Large Cap Fund Class A 0.400% 0.260% Large Cap Fund Class T 0.400 0.810 Large Cap Disciplined Equity Fund Class A 0.400 0.300 Large Cap Index Fund Class A 0.170 0.120 -------------------------------------------------------------------------------- Advisory Voluntary Expense Fees Limitations -------------------------------------------------------------------------------- Small Cap Fund Class A 0.650 0.540 Small Cap Fund Class T 0.650 1.090 Small/Mid Cap Equity Fund Class A 0.650 0.600 Core Fixed Income Fund Class A 0.300 0.140 Long Duration Bond Fund Class A 0.300 0.200 Extended Duration Bond Fund Class A 0.300 0.200 International Equity Fund Class A 0.505 0.400 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: -------------------------------------------------------------------------------- Currently Managing Date of a Portion of Fund Investment Sub-Adviser Agreement (Y/N) -------------------------------------------------------------------------------- LARGE CAP FUND Alliance Capital Management, L.P. 10/02/00 Y Aronson + Johnson + Ortiz 07/01/03 Y Franklin Portfolio Associates 07/01/03 Y Goldman Sachs Asset Management 01/24/03 Y LSV Asset Management 06/14/96 Y McKinley Capital Management, Inc. 06/26/02 Y Montag & Caldwell, Inc. 03/12/02 Y Peregrine Capital Management 12/07/00 Y Transamerica Investment Management, LLC 09/17/01 Y LARGE CAP DISCIPLINED EQUITY FUND Analytic Investors, Inc. 07/01/03 Y Barclays Global Fund Advisors 07/16/03 Y Enhanced Investment Technologies, LLC (Intech) 08/28/03 Y Quantitative Management Associates LLC 07/01/03 Y LARGE CAP INDEX FUND Barclays Global Fund Advisors 03/19/02 Y SMALL CAP FUND Artisan Partners Limited Partnership 03/26/99 Y BlackRock Advisors, Inc. 07/01/03 Y Lee Munder Investments Ltd. 12/09/02 Y David J. Greene and Company, LLC 08/14/01 Y Delaware Management Company 07/01/03 Y LSV Asset Management 03/28/97 Y McKinley Capital Management, Inc. 09/20/00 Y Martingale Asset Management, L.P. 12/09/02 N Mazama Capital Management, Inc. 12/13/99 Y Security Capital Research and Management 05/14/02 Y Wellington Management Company 03/14/02 Y SMALL/MID CAP EQUITY FUND Artisan Partners Limited Partnership 11/05/03 N BlackRock Advisors, Inc. 07/01/03 Y Delaware Management Company 07/01/03 Y Integrity Asset Management, LLC 05/18/04 Y Lee Munder Investments Ltd. 12/15/03 Y LSV Asset Management 12/15/03 Y Martingale Asset Management, L.P. 12/09/03 Y Mazama Capital Management, Inc. 07/01/03 Y Security Capital Research and Management 07/01/03 Y Wellington Management Company LLP 12/15/03 Y -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 93 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) NOVEMBER 30, 2004 -------------------------------------------------------------------------------- Currently Managing Date of a Portion of Fund Investment Sub-Adviser Agreement (Y/N) -------------------------------------------------------------------------------- CORE FIXED INCOME FUND BlackRock Advisors, Inc. 06/14/96 Y Metropolitan West Asset Management, LLC 06/26/02 Y Wells Capital Management, Inc. 09/30/03 Y Western Asset Management Company 06/14/96 Y LONG DURATION BOND FUND Metropolitan West Asset Management, LLC 03/31/04 Y EXTENDED DURATION BOND FUND Metropolitan West Asset Management, LLC 03/31/04 Y INTERNATIONAL EQUITY FUND Alliance Capital Management, L.P. 07/01/03 Y Capital Guardian Trust Company 06/29/98 Y Fisher Investments, Inc. 07/01/03 Y McKinley Capital Management 07/01/03 Y Morgan Stanley Investment Management, Limited 12/01/03 Y During the fiscal year ended May 31, 2004, the Small/Mid Cap Equity Fund was reimbursed by the Adviser for losses incurred of $720 due to the short position of shares in a specific company in excess of the amount permitted under applicable Securities and Exchange Commission ("SEC") rules. This amount is included in net realized gain/loss on the statement of operations and statement of changes. The reimbursement has no impact on the Fund's total return. OTHER --The Distribution Agreement between the Distributor and the Trust provides that the Distributor may receive compensation on fund transactions effected for the Trust in accordance with the SEC rules. Accordingly, it is expected that fund transactions may result in brokerage commissions being paid to the Distributor. The SEC rules require that such commissions not exceed usual and customary commissions. Such commissions for the period ended November 30, 2004 were as follows ($Thousands): Large Cap Fund $186 Small Cap Fund 264 Small/Mid Cap Equity Fund 101 International Equity Fund 263 ---- $814 ==== Certain officers and/or trustees of the Trust are also officers of the Administrator or the Adviser. The Trust pays each unaffiliated Trustee an annual fee for attendance at quarterly, interim and committee meetings. Compensation of officers and affiliated Trustees of the Trust is paid by the Adviser or Administrator. LSV Asset Management (partially-owned subsidiary of SIMC) serves as a sub-adviser to the Large Cap, Small Cap and Small/Mid Cap Equity Funds. For this service LSV Asset Management is entitled to receive a fee from SIMC. Such fees for the period ended November 30, 2004 were as follows ($ Thousands): Large Cap Fund $141 Small Cap Fund 476 Small/Mid Cap Equity Fund 150 ---- $767 ==== INVESTMENT IN AFFILIATED REGISTERED INVESTMENT COMPANY -- Pursuant to an exemptive order issued by the Securities and Exchange Commission, the Funds may invest in the SEI money market funds, provided that investments in the money market funds do not exceed 25% of the investing Fund's total assets. -------------------------------------------------------------------------------- 94 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- 4. CAPITAL SHARE TRANSACTIONS Capital Share Transactions for the Funds were as follows (Thousands):
--------------------------------------------------------------------------------------------------------------------------- LARGE CAP DISCIPLINED LARGE CAP LARGE CAP FUND EQUITY FUND(3) INDEX FUND --------------------------------------------------------------------------------------------------------------------------- 6/1/04 6/1/04 6/1/04 to 11/30/04 6/1/03 to 11/30/04 6/1/03 to 11/30/04 6/1/03 (Unaudited) to 5/31/04 (Unaudited) to 5/31/04 (Unaudited) to 5/31/04 --------------------------------------------------------------------------------------------------------------------------- Class A: Shares Issued 8,840 76,149(1) 6,645(1) 21,739(1) 282 14,425(1) Shares Issued in Lieu of Dividends and Distributions 777 2,690 145 103 23 181 Shares Redeemed (16,855) (197,701)(2) (1,297) (1,404) (200) (3,082) Effect of Reverse Stock Split -- -- -- -- -- (25,450) --------------------------------------------------------------------------------------------------------------------------- Total Class A Transactions (7,238) (118,862) 5,493 20,438 105 (13,926) --------------------------------------------------------------------------------------------------------------------------- Class T: Shares Issued 103 -- -- -- -- -- Shares Issued in Lieu of Dividends and Distributions -- -- -- -- -- -- Shares Redeemed (103) (15) -- -- -- -- --------------------------------------------------------------------------------------------------------------------------- Total Class T Transactions -- (15) -- -- -- -- --------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Capital Shares (7,238) (118,877) 5,493 20,438 105 (13,926) =========================================================================================================================== --------------------------------------------------------------- SMALL CAP FUND --------------------------------------------------------------- 6/1/04 to 11/30/04 6/1/03 (Unaudited) to 5/31/04 --------------------------------------------------------------- Class A: Shares Issued 13,274 28,179(1) Shares Issued in Lieu of Dividends and Distributions 179 3,557 Shares Redeemed (4,850) (45,613)(2) Effect of Reverse Stock Split -- -- --------------------------------------------------------------- Total Class A Transactions 8,603 (13,877) --------------------------------------------------------------- Class T: Shares Issued 37 -- Shares Issued in Lieu of Dividends and Distributions -- 1 Shares Redeemed (39) (3) --------------------------------------------------------------- Total Class T Transactions (2) (2) --------------------------------------------------------------- Net Increase (Decrease) in Capital Shares 8,601 (13,879) ===============================================================
--------------------------------------------------------------------------------------------------------------------- LONG SMALL/MID CAP CORE FIXED DURATION EQUITY FUND(4) INCOME FUND BOND FUND(5) --------------------------------------------------------------------------------------------------------------------- 6/1/04 6/1/04 6/1/04 to 11/30/04 6/1/03 to 11/30/04 6/1/03 to 11/30/04 6/1/03 (Unaudited) to 5/31/04 (Unaudited) to 5/31/04 (Unaudited) to 5/31/04 --------------------------------------------------------------------------------------------------------------------- Class A: Shares Issued 1,271(1) 4,221(1) 85,063 150,267 3,045 643 Shares Issued in Lieu of Dividends and Distributions 10 3 6,511 13,849 64 4 Shares Redeemed (246) (265) (26,876) (91,277) (83) -- --------------------------------------------------------------------------------------------------------------------- Total Class A Transactions 1,035 3,959 64,698 72,839 3,026 647 --------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Capital Shares 1,035 3,959 64,698 72,839 3,026 647 --------------------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------ EXTENDED DURATION INTERNATIONAL BOND FUND(6) EQUITY FUND ------------------------------------------------------------------------------------------ 6/1/04 6/1/04 to 11/30/04 6/1/03 to 11/30/04 6/1/03 (Unaudited) to 5/31/04 (Unaudited) to 5/31/04 ------------------------------------------------------------------------------------------ Class A: Shares Issued 931 2,891 30,172 45,477 Shares Issued in Lieu of Dividends and Distributions 138 25 -- 2,393 Shares Redeemed (112) -- (12,986) (61,144) ------------------------------------------------------------------------------------------ Total Class A Transactions 957 2,916 17,186 (13,274) ------------------------------------------------------------------------------------------ Net Increase (Decrease) in Capital Shares 957 2,916 17,186 (13,274) ------------------------------------------------------------------------------------------
(1) Includes subscriptions as a result of in-kind transfers of securities (see note 8). (2) Includes redemptions as a result of in-kind transfers of securities (see note 8). (3) The Large Cap Disciplined Equity Fund commenced operations on August 28, 2003. (4) The Small/Mid Cap Equity Fund commenced operations on December 15, 2003. (5) The Long Duration Bond Fund commenced operations on April 21, 2004. (6) The Extended Duration Bond Fund commenced operations on April 21, 2004. Amounts designated as "--" are zero or have been rounded to zero. -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 95 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) NOVEMBER 30, 2004 5. INVESTMENT TRANSACTIONS The cost of security purchases and proceeds from the sale and maturities of securities other than temporary cash investments, during the period ended November 30, 2004, was as follows:
------------------------------------------------------------------------------------ U.S. Gov't Other Total ($ Thousands) ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------------ LARGE CAP FUND Purchases $-- $ 376,704 $ 376,704 Sales -- 473,512 473,512 LARGE CAP DISCIPLINED EQUITY FUND Purchases -- 1,513,187 1,513,187 Sales -- 905,086 905,086 LARGE CAP INDEX Purchases -- 24,901 24,901 Sales -- 12,236 12,236 SMALL CAP FUND Purchases -- 721,751 721,751 Sales -- 617,421 617,421 SMALL/MID CAP EQUITY FUND Purchases -- 350,389 350,389 Sales -- 246,091 246,091 CORE FIXED INCOME FUND Purchases 8,361,280 745,548 9,106,828 Sales and Maturities 8,212,646 464,882 8,677,528 LONG DURATION BOND FUND Purchases 39,226 23,577 62,803 Sales and Maturities 38,949 8,589 47,538 EXTENDED DURATION BOND FUND Purchases 18,647 25,659 44,306 Sales and Maturities 21,676 21,707 43,383 INTERNATIONAL EQUITY FUND Purchases -- 473,922 473,922 Sales -- 252,110 252,110
6. FEDERAL TAX INFORMATION It is each Fund's intention to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code and distribute all of its taxable income (including net capital gains). Accordingly, no provision for Federal income taxes is required. Dividends from net investment income and distributions from net realized capital gains are determined in accordance with U.S. Federal income tax regulations, which may differ from those amounts determined under accounting principles generally accepted in the United States of America. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital, undistributed net investment income or accumulated net realized gain, as appropriate, in the period that the differences arise. The tax character of dividends and distributions paid during the last two years or periods were as follows: -------------------------------------------------------------------------------- Ordinary Long-term Income Capital Gain Total ($ Thousands) ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Large Cap Fund 2004 $ 37,008 $ -- $ 37,008 2003 37,071 -- 37,071 Large Cap Disciplined Equity Fund 2004 8,522 526 9,048 Large Cap Index Fund 2004 4,083 12 4,095 2003 856 -- 856 Small Cap Fund 2004 33,561 18,384 51,945 2003 6,233 -- 6,233 Small/Mid Cap Equity Fund 2004 319 -- 319 Core Fixed Income Fund 2004 143,425 2,575 146,000 2003 139,496 28,024 167,520 Long Duration Bond Fund 2004 33 -- 33 Extended Duration Bond Fund 2004 237 -- 237 International Equity Fund 2004 23,331 -- 23,331 2003 17,101 -- 17,101 -------------------------------------------------------------------------------- 96 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- As of May 31, 2004, the components of Distributable Earnings/(Accumulated Losses) were as follows:
----------------------------------------------------------------------------------------------------------------------------- Undistributed Accumulated Capital Post Unrealized Ordinary Long-Term Loss October Appreciation Income Capital Gain Carryforwards Losses (Depreciation) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ----------------------------------------------------------------------------------------------------------------------------- Large Cap Fund $ 3,513 $ -- $ (336,353) $ -- $ (17,690) Large Cap Disciplined Equity Fund 25,831 2,187 -- -- 47,296 Large Cap Index Fund 1,010 -- -- -- 36,614 Small Cap Fund 85,215 80,426 -- -- 68,130 Small/Mid Cap Equity Fund 4,861 -- -- -- 8,493 Core Fixed Income Fund 10,173 8,493 -- -- (5,014) Long Duration Bond Fund 29 -- (16) -- (132) Extended Duration Bond Fund 239 -- (213) -- (1,204) International Equity Fund 22,054 -- (234,714) -- 137,743 ----------------------------------------------------------------------------- Other Total Temporary Distributable Earnings/ Differences (Accumulated Losses) ($ Thousands) ($ Thousands) ----------------------------------------------------------------------------- Large Cap Fund $ -- $(350,530) Large Cap Disciplined Equity Fund -- 75,314 Large Cap Index Fund -- 37,624 Small Cap Fund -- 233,771 Small/Mid Cap Equity Fund -- 13,354 Core Fixed Income Fund (9,617) 4,035 Long Duration Bond Fund (29) (148) Extended Duration Bond Fund (216) (1,394) International Equity Fund 3 (74,914)
Post-October losses represent losses realized on investment transactions from November 1, 2003 through May 31, 2004 that, in accordance with Federal income tax regulations, the Funds defer and treat as having arisen in the following fiscal year. For Federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains as follows: -------------------------------------------------------------------------------- Total Capital Loss Expires Expires Expires Carryforwards 2012 2011 2010 5/31/04 ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Large Cap Fund $ -- $305,268 $ 31,085 $336,353 Long Duration Bond Fund 16 -- -- 16 Extended Duration Bond Fund 213 -- -- 213 International Equity Fund -- 93,799 140,915 234,714 During the period ended May 31, 2004, the Large Cap, Small Cap and International Equity Funds utilized $206,010,406, $71,613,554 and $32,071,347 of capital loss carryforwards, respectively, to offset capital gains. The aggregate gross unrealized appreciation and depreciation on investments, held by the Funds at November 30, 2004, were as follows: -------------------------------------------------------------------------------- Net Appreciated Depreciated Unrealized Securities Securities Appreciation ($ Thousands) ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Large Cap Fund $213,040 $(96,334) $116,706 Large Cap Disciplined Equity Fund 311,978 (83,614) 228,364 Large Cap Index 61,149 (9,112) 52,037 Small Cap Fund 303,479 (98,931) 204,548 Small/Mid Cap Fund 78,805 (16,479) 62,326 Core Fixed Income Fund 53,258 (25,301) 27,957 Long Duration Bond Fund 299 (149) 150 Extended Duration Bond Fund 37,037 (36,480) 557 International Equity Fund 333,601 (26,873) 306,728 7. CONCENTRATION/RISKS In the normal course of business, the Funds enter into contracts that provide general indemnifications. The Funds' maximum exposure under these arrangements is dependent on future claims that may be made against the Funds and, therefore, cannot be estimated; however, based on experience, the risk of loss from such claims is considered remote. The market values of the Core Fixed Income, Long Duration Bond and Extended Duration Bond 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 International Equity Fund invests in securities of foreign issuers in various countries. These investments may involve certain considerations and risks not typically associated with investments in the United States, as a result of, among other factors, the possibility of future political and economic developments and the level of governmental supervision and regulation of securities markets in the respective countries. 8. IN-KIND TRANSFERS OF SECURITIES During the period ended November 30, 2004, the Large Cap Disciplined Equity and Small/Mid Cap Funds issued shares of beneficial interest in exchange for securities. The securities were transferred at their current value on the date of transaction. -------------------------------------------------------------------------------- Shares Issued Value -------------------------------------------------------------------------------- Large Cap Disciplined Equity Fund 06/29/04 791,663 $ 89,822,081 07/13/04 1,239,955 137,721,803 09/23/04 72,121 7,980,872 Small/Mid Cap Fund 06/29/04 139,224 15,180,964 07/13/04 257,166 27,023,049 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 97 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (Unaudited) (Concluded) NOVEMBER 30, 2004 During the year ended May 31, 2004, the Large Cap, Large Cap Disciplined Equity, Large Cap Index, Small Cap and Small/Mid Cap Equity Funds issued (redeemed) shares of beneficial interest in exchange for portfolio assets. The securities were transferred at their current value on the date of transaction.
-------------------------------------------------------------------------------------------------- Shares Issued (Redeemed) Value Gain (Loss) -------------------------------------------------------------------------------------------------- Large Cap Fund 07/31/03 2,994,469 $ 38,209,430 $ -- 08/19/03 (10,589,035) (136,386,776) 25,009,866 09/18/03 (10,513,539) (138,673,573) 23,890,363 Large Cap Disciplined Equity Fund 08/28/03 18,232,037 182,320,373 -- 09/30/03 7,252,991 72,529,909 -- 12/17/03 689,877 73,941,000 -- 04/21/04 164,825 18,500,000 -- Large Cap Index Fund 07/31/03 11,044,112 96,525,540 -- Small Cap Fund 09/26/03 (7,191,278) (92,767,488) 17,933,583 01/15/04 9,609,013 145,000,000 -- Small/Mid Cap Equity Fund 12/17/03 463,668 46,594,000 --
9. SECURITIES LENDING Each Fund may lend portfolio securities to brokers, dealers and other financial organizations that meet capital and other credit requirements or other criteria established by the Trust's Board of Trustees. These loans may not exceed 33 1/3% of the total asset value of the Fund (including the loan collateral). No Fund will lend portfolio securities to its investment adviser, sub-adviser or their affiliates unless it has applied for and received specific authority to do so from the SEC. Loans of portfolio securities will be fully collateralized by cash, letters of credit or U.S. Government securities, and the collateral will be maintained in an amount equal to at least 100% of the current market value of the loaned securities by marking to market daily, although the borrower will be required to deliver collateral of 102% and 105% of the market value of borrowed securities for domestic and foreign securities, respectively. Although the risk of lending is mitigated by the collateral, the Fund could experience a delay in recovering its securities and a possible loss of income or value if the borrower fails to return them. 10. LITIGATION The Core Fixed Income Fund has participated as a plaintiff bondholder, along with other institutional bondholders, in litigation against Duty Free International, British Airport Authority and other defendants relating to Notes issued by Duty Free International which are held by the Fund. British Airport Authority is the former parent company of Duty Free International. During 2003, the plaintiffs in that action reached a settlement with all defendants with the exception of British Airport Authority. Under that settlement, Duty Free International paid the plaintiffs $4,310,636 which is approximately 70% of the par value of the bonds. The settlement also contained provisions for the issuance of a $10 million Note by Duty Free International to the bondholders, subject to certain conditions. The litigation proceeded to jury trial against British Airport Authority in December, 2003, and the jury found against the plaintiffs on all counts. Plaintiffs are currently pursuing an appeal. The Core Fixed Income Fund is bearing its portion of the legal expenses associated with this litigation over and above the expense caps of the Fund. 11. OTHER On November 30, 2004, number of shareholders below held the following percentage of the outstanding shares of the Funds. -------------------------------------------------------------------------------- Number of % of Outstanding Shareholders Shares -------------------------------------------------------------------------------- Large Cap Fund Class A 2 81.06% Large Cap Fund Class T 1 100.00 Large Cap Disciplined Equity Fund Class A 1 67.63 Large Cap Index Fund Class A 1 99.55 Small Cap Class A 3 52.87 Small Cap Class T 1 100.00 Small/Mid Cap Equity Fund Class A 1 61.05 Core Fixed Income Fund Class A 1 65.18 Long Duration Bond Fund Class A 2 97.60 Extended Duration Bond Fund Class A 2 100.00 International Equity Fund Class A 1 71.18 These shareholders are comprised of omnibus accounts, which are held on the behalf of several individual shareholders. 12. SUBSEQUENT INFORMATION At a meeting held on December 9, 2004, the Board of Trustees of SEI Institutional Investments Trust approved the change of the Long Duration Bond and Extended Duration Bond Funds' names to the Long Duration Fund and Extended Duration Fund, respectively. Accordingly, effective on or about January 21, 2005, the name of the Long Duration Bond Fund will be changed to the Long Duration Fund and the name of the Extended Duration Bond Fund will be changed to the Extended Duration Fund. -------------------------------------------------------------------------------- 98 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- DISCLOSURE OF FUND EXPENSES (Unaudited) All mutual funds have operating expenses. As a shareholder of a fund, your investment is affected by these ongoing costs, which include (among others) costs for portfolio management, administrative services, and shareholder reports like this one. It is important for you to understand the impact of these costs on your investment returns. Operating expenses such as these are deducted from the fund's gross income and directly reduce your final investment return. These expenses are expressed as a percentage of the fund's average net assets; this percentage is known as the fund's expense ratio. The following examples use the expense ratio and are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The table on the next page illustrates your fund's costs in two ways: o ACTUAL FUND RETURN. This section helps you to estimate the actual expenses after fee waivers that your fund incurred over the period. The "Expenses Paid During Period" column shows the actual dollar expense cost incurred by a $1,000 investment in the fund, and the "Ending Account Value" number is derived from deducting that expense cost from the fund's gross investment return. You can use this information, together with the actual amount you invested in the fund, to estimate the expenses you paid over that period. Simply divide your actual starting account value by $1,000 to arrive at a ratio (for example, an $8,600 account value divided by $1,000 = $8.6), then multiply that ratio by the number shown for your fund under "Expenses Paid During Period." o HYPOTHETICAL 5% RETURN. This section helps you compare your fund's costs with those of other mutual funds. It assumes that the fund had an annual 5% return before expenses during the year, but that the expense ratio (Column 3) is unchanged. This example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to make this 5% calculation. You can assess your fund's comparative cost by comparing the hypothetical result for your fund in the "Expense Paid During Period" column with those that appear in the same charts in the shareholder reports for other funds. NOTE: Because the return is set at 5% for comparison purposes -- NOT your fund's actual return -- the account values shown do not apply to your specific investment. -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 99 -------------------------------------------------------------------------------- DISCLOSURE OF FUND EXPENSES (Unaudited) (Concluded) BEGINNING ENDING EXPENSE ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 5/31/04 11/30/04 RATIOS PERIOD* -------------------------------------------------------------------------------- LARGE CAP FUND -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,061.70 0.26% $1.34 Class T Shares 1,000.00 1,052.00 0.81 4.17 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,023.76 0.26% $1.32 Class T Shares 1,000.00 1,021.01 0.81 4.10 -------------------------------------------------------------------------------- LARGE CAP DISCIPLINED EQUITY FUND -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,062.10 0.32% $1.65 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,023.46 0.32% $1.62 -------------------------------------------------------------------------------- LARGE CAP INDEX FUND -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,058.60 0.13% $0.67 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,024.42 0.13% $0.66 -------------------------------------------------------------------------------- SMALL CAP FUND -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,102.20 0.54% $2.85 Class T Shares 1,000.00 1,098.80 1.09 5.73 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,022.36 0.54% $2.74 Class T Shares 1,000.00 1,019.60 1.09 5.52 -------------------------------------------------------------------------------- SMALL/MID CAP EQUITY FUND -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,113.40 0.63% $3.34 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,021.91 0.63% $3.19 BEGINNING ENDING EXPENSE ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 5/31/04 11/30/04 RATIOS PERIOD* -------------------------------------------------------------------------------- CORE FIXED INCOME FUND -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,038.50 0.15% $0.77 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,024.32 0.15% $0.76 -------------------------------------------------------------------------------- LONG DURATION BOND FUND -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,069.40 0.20% $1.04 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,024.07 0.20% $1.01 -------------------------------------------------------------------------------- EXTENDED DURATION BOND FUND -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,142.40 0.20% $1.07 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,024.07 0.20% $1.01 -------------------------------------------------------------------------------- INTERNATIONAL EQUITY FUND -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,010.80 0.45% $2.27 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,022.81 0.45% $2.28 -------------------------------------------------------------------------------- *Expenses are equal to the Fund's annualized expense ratio multiplied by the average account value over the period, multiplied by 183/365 (to reflect one-half year period shown). -------------------------------------------------------------------------------- 100 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- SHAREHOLDER VOTING RESULTS (Unaudited) At a special meeting held on October 27, 2004, the shareholders of the SEI Institutional Investments Trust voted on the proposals listed below. The results of the voting were as follows: PROPOSAL 1: To elect Trustees of the Trust % OF NUMBER OF OUTSTANDING % OF SHARES SHARES SHARES PRESENT --------- ----------- ----------- Rosemarie B. Greco Affirmative 482,445,113.044 67.685% 100.000% Withhold .000 .000% .000% TOTAL 482,445,113.044 67.685% 100.000% Nina Lesavoy Affirmative 482,445,113.044 67.685% 100.000% Withhold .000 .000% .000% TOTAL 482,445,113.044 67.685% 100.000% James M. Williams Affirmative 482,445,113.044 67.685% 100.000% Withhold .000 .000% .000% TOTAL 482,445,113.044 67.685% 100.000% PROPOSAL 2: To approve eliminating or reclassifying certain fundamental policies and restrictions for all Funds. % OF NUMBER OF OUTSTANDING % OF SHARES SHARES SHARES PRESENT --------- ----------- ----------- LARGE CAP FUND 2(a) Fundamental Policy Regarding Diversification Affirmative 76,848,098.151 65.253% 100.000% Against .000 .000% .000% Abstain .000 .000% .000% TOTAL 76,848,098.151 65.253% 100.000% 2(b) Fundamental Policy Regarding Concentration Affirmative 76,848,098.151 65.253% 100.000% Against .000 .000% .000% Abstain .000 .000% .000% TOTAL 76,848,098.151 65.253% 100.000% % OF NUMBER OF OUTSTANDING % OF SHARES SHARES SHARES PRESENT --------- ----------- ----------- 2(c) Fundamental Policies Regarding Borrowing and Senior Securities Affirmative 76,848,098.151 65.253% 100.000% Against .000 .000% .000% Abstain .000 .000% .000% TOTAL 76,848,098.151 65.253% 100.000% 2(d) Fundamental Policy Regarding Lending Affirmative 76,848,098.151 65.253% 100.000% Against .000 .000% .000% Abstain .000 .000% .000% TOTAL 76,848,098.151 65.253% 100.000% 2(e) Fundamental Policy Regarding Purchase of Real Estate and Commodities Affirmative 76,848,098.151 65.253% 100.000% Against .000 .000% .000% Abstain .000 .000% .000% TOTAL 76,848,098.151 65.253% 100.000% 2(f) Fundamental Policy Regarding Underwriting of Securities Affirmative 76,848,098.151 65.253% 100.000% Against .000 .000% .000% Abstain .000 .000% .000% TOTAL 76,848,098.151 65.253% 100.000% 2(g) Fundamental Policy Regarding Investments in Oil and Gas Affirmative 76,848,098.151 65.253% 100.000% Against .000 .000% .000% Abstain .000 .000% .000% TOTAL 76,848,098.151 65.253% 100.000% 2(h) Fundamental Policy Making all Investment Limitations in Prospectus Fundamental Affirmative 76,848,098.151 65.253% 100.000% Against .000 .000% .000% Abstain .000 .000% .000% TOTAL 76,848,098.151 65.253% 100.000% -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 101 -------------------------------------------------------------------------------- SHAREHOLDER VOTING RESULTS (Unaudited) (Continued) % OF NUMBER OF OUTSTANDING % OF SHARES SHARES SHARES PRESENT --------- ----------- ----------- 2(i) Fundamental Policy Requiring That At Least 65% of a Fund's Assets be Invested in Particular Types of Securities Affirmative 76,848,098.151 65.253% 100.000% Against .000 .000% .000% Abstain .000 .000% .000% TOTAL 76,848,098.151 65.253% 100.000% LARGE CAP DISCIPLINED EQUITY FUND 2(a) Fundamental Policy Regarding Diversification Affirmative 15,613,199.304 67.608% 98.230% Against 281,268.000 1.218% 1.770% Abstain .000 .000% .000% TOTAL 15,894,467.304 68.826% 100.000% 2(b) Fundamental Policy Regarding Concentration Affirmative 15,414,471.304 66.747% 96.980% Against 479,996.000 2.079% 3.020% Abstain .000 .000% .000% TOTAL 15,894,467.304 68.826% 100.000% 2(c) Fundamental Policies Regarding Borrowing and Senior Securities Affirmative 15,414,471.304 66.747% 96.980% Against 479,996.000 2.079% 3.020% Abstain .000 .000% .000% TOTAL 15,894,467.304 68.826% 100.000% 2(d) Fundamental Policy Regarding Lending Affirmative 15,414,471.304 66.747% 96.980% Against 479,996.000 2.079% 3.020% Abstain .000 .000% .000% TOTAL 15,894,467.304 68.826% 100.000% 2(e) Fundamental Policy Regarding Purchase of Real Estate and Commodities Affirmative 15,414,471.304 66.747% 96.980% Against 479,996.000 2.079% 3.020% Abstain .000 .000% .000% TOTAL 15,894,467.304 68.826% 100.000% % OF NUMBER OF OUTSTANDING % OF SHARES SHARES SHARES PRESENT --------- ----------- ----------- 2(f) Fundamental Policy Regarding Underwriting of Securities Affirmative 15,414,471.304 66.747% 96.980% Against 479,996.000 2.079% 3.020% Abstain .000 .000% .000% TOTAL 15,894,467.304 68.826% 100.000% LARGE CAP INDEX FUND 2(a) Fundamental Policy Regarding Diversification Affirmative 2,464,113.000 85.715% 100.000% Against .000 .000% .000% Abstain .000 .000% .000% TOTAL 2,464,113.000 85.715% 100.000% 2(b) Fundamental Policy Regarding Concentration Affirmative 2,464,113.000 85.715% 100.000% Against .000 .000% .000% Abstain .000 .000% .000% TOTAL 2,464,113.000 85.715% 100.000% 2(c) Fundamental Policies Regarding Borrowing and Senior Securities Affirmative 2,464,113.000 85.715% 100.000% Against .000 .000% .000% Abstain .000 .000% .000% TOTAL 2,464,113.000 85.715% 100.000% 2(d) Fundamental Policy Regarding Lending Affirmative 2,464,113.000 85.715% 100.000% Against .000 .000% .000% Abstain .000 .000% .000% TOTAL 2,464,113.000 85.715% 100.000% 2(e) Fundamental Policy Regarding Purchase of Real Estate and Commodities Affirmative 2,464,113.000 85.715% 100.000% Against .000 .000% .000% Abstain .000 .000% .000% TOTAL 2,464,113.000 85.715% 100.000% -------------------------------------------------------------------------------- 102 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- % OF NUMBER OF OUTSTANDING % OF SHARES SHARES SHARES PRESENT --------- ----------- ----------- 2(f) Fundamental Policy Regarding Underwriting of Securities Affirmative 2,464,113.000 85.715% 100.000% Against .000 .000% .000% Abstain .000 .000% .000% TOTAL 2,464,113.000 85.715% 100.000% SMALL CAP FUND 2(a) Fundamental Policy Regarding Diversification Affirmative 60,674,126.882 68.905% 92.915% Against 4,626,801.457 5.254% 7.085% Abstain .000 .000% .000% TOTAL 65,300,928.339 74.159% 100.000% 2(b) Fundamental Policy Regarding Concentration Affirmative 60,674,126.882 68.905% 92.915% Against 4,626,801.457 5.254% 7.085% Abstain .000 .000% .000% TOTAL 65,300,928.339 74.159% 100.000% 2(c) Fundamental Policies Regarding Borrowing and Senior Securities Affirmative 60,674,126.882 68.905% 92.915% Against 4,626,801.457 5.254% 7.085% Abstain .000 .000% .000% TOTAL 65,300,928.339 74.159% 100.000% 2(d) Fundamental Policy Regarding Lending Affirmative 60,674,126.882 68.905% 92.915% Against 4,626,801.457 5.254% 7.085% Abstain .000 .000% .000% TOTAL 65,300,928.339 74.159% 100.000% 2(e) Fundamental Policy Regarding Purchase of Real Estate and Commodities Affirmative 60,672,753.882 68.903% 92.913% Against 4,628,174.457 5.256% 7.087% Abstain .000 .000% .000% TOTAL 65,300,928.339 74.159% 100.000% % OF NUMBER OF OUTSTANDING % OF SHARES SHARES SHARES PRESENT --------- ----------- ----------- 2(f) Fundamental Policy Regarding Underwriting of Securities Affirmative 60,674,126.882 68.905% 92.915% Against 4,626,801.457 5.254% 7.085% Abstain .000 .000% .000% TOTAL 65,300,928.339 74.159% 100.000% 2(g) Fundamental Policy Regarding Investments in Oil and Gas Affirmative 60,672,753.882 68.903% 92.913% Against 4,628,174.457 5.256% 7.087% Abstain .000 .000% .000% TOTAL 65,300,928.339 74.159% 100.000% 2(h) Fundamental Policy Making all Investment Limitations in Prospectus Fundamental Affirmative 60,674,126.882 68.905% 92.915% Against 4,626,801.457 5.254% 7.085% Abstain .000 .000% .000% TOTAL 65,300,928.339 74.159% 100.000% 2(i) Fundamental Policy Requiring That At Least 65% of a Fund's Assets be Invested in Particular Types of Securities Affirmative 60,674,126.882 68.905% 92.915% Against 4,626,801.457 5.254% 7.085% Abstain .000 .000% .000% TOTAL 65,300,928.339 74.159% 100.000% SMALL/MID CAP EQUITY FUND 2(a) Fundamental Policy Regarding Diversification Affirmative 2,970,367.656 66.765% 98.351% Against 49,792.000 1.119% 1.649% Abstain .000 .000% .000% TOTAL 3,020,159.656 67.884% 100.000% 2(b) Fundamental Policy Regarding Concentration Affirmative 2,916,000.656 65.543% 96.551% Against 104,159.000 2.341% 3.449% Abstain .000 .000% .000% TOTAL 3,020,159.656 67.884% 100.000% -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 103 -------------------------------------------------------------------------------- SHAREHOLDER VOTING RESULTS (Unaudited) (Continued) % OF NUMBER OF OUTSTANDING % OF SHARES SHARES SHARES PRESENT --------- ----------- ----------- 2(c) Fundamental Policies Regarding Borrowing and Senior Securities Affirmative 2,916,000.656 65.543% 96.551% Against 104,159.000 2.341% 3.449% Abstain .000 .000% .000% TOTAL 3,020,159.656 67.884% 100.000% 2(d) Fundamental Policy Regarding Lending Affirmative 2,916,000.656 65.543% 96.551% Against 104,159.000 2.341% 3.449% Abstain .000 .000% .000% TOTAL 3,020,159.656 67.884% 100.000% 2(e) Fundamental Policy Regarding Purchase of Real Estate and Commodities Affirmative 2,916,000.656 65.543% 96.551% Against 104,159.000 2.341% 3.449% Abstain .000 .000% .000% TOTAL 3,020,159.656 67.884% 100.000% 2(f) Fundamental Policy Regarding Underwriting of Securities Affirmative 2,916,000.656 65.543% 96.551% Against 104,159.000 2.341% 3.449% Abstain .000 .000% .000% TOTAL 3,020,159.656 67.884% 100.000% CORE FIXED INCOME FUND 2(a) Fundamental Policy Regarding Diversification Affirmative 218,283,962.078 67.358% 95.540% Against 10,190,388.524 3.144% 4.460% Abstain .000 .000% .000% TOTAL 228,474,350.602 70.502% 100.000% 2(b) Fundamental Policy Regarding Concentration Affirmative 218,266,419.078 67.352% 95.532% Against 10,207,931.524 3.150% 4.468% Abstain .000 .000% .000% TOTAL 228,474,350.602 70.502% 100.000% % OF NUMBER OF OUTSTANDING % OF SHARES SHARES SHARES PRESENT --------- ----------- ----------- 2(c) Fundamental Policies Regarding Borrowing and Senior Securities Affirmative 218,266,419.078 67.352% 95.532% Against 10,207,931.524 3.150% 4.468% Abstain .000 .000% .000% TOTAL 228,474,350.602 70.502% 100.000% 2(d) Fundamental Policy Regarding Lending Affirmative 218,266,419.078 67.352% 95.532% Against 10,207,931.524 3.150% 4.468% Abstain .000 .000% .000% TOTAL 228,474,350.602 70.502% 100.000% 2(e) Fundamental Policy Regarding Purchase of Real Estate and Commodities Affirmative 218,266,419.078 67.352% 95.532% Against 10,207,931.524 3.150% 4.468% Abstain .000 .000% .000% TOTAL 228,474,350.602 70.502% 100.000% 2(f) Fundamental Policy Regarding Underwriting of Securities Affirmative 218,283,962.078 67.358% 95.540% Against 10,190,388.524 3.144% 4.460% Abstain .000 .000% .000% TOTAL 228,474,350.602 70.502% 100.000% 2(g) Fundamental Policy Regarding Investments in Oil and Gas Affirmative 218,266,419.078 67.352% 95.532% Against 10,207,931.524 3.150% 4.468% Abstain .000 .000% .000% TOTAL 228,474,350.602 70.502% 100.000% 2(h) Fundamental Policy Making all Investment Limitations in Prospectus Fundamental Affirmative 218,266,419.078 67.352% 95.532% Against 10,207,931.524 3.150% 4.468% Abstain .000 .000% .000% TOTAL 228,474,350.602 70.502% 100.000% -------------------------------------------------------------------------------- 104 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- % OF NUMBER OF OUTSTANDING % OF SHARES SHARES SHARES PRESENT --------- ----------- ----------- 2(i) Fundamental Policy Requiring That At Least 65% of a Fund's Assets be Invested in Particular Types of Securities Affirmative 222,171,563.361 68.557% 97.241% Against 6,302,787.241 1.945% 2.759% Abstain .000 .000% .000% TOTAL 228,474,350.602 70.502% 100.000% LONG DURATION BOND FUND 2(a) Fundamental Policy Regarding Diversification Affirmative 3,284,167.000 99.907% 100.000% Against .000 .000% .000% Abstain .000 .000% .000% TOTAL 3,284,167.000 99.907% 100.000% 2(b) Fundamental Policy Regarding Concentration (FAILED) Affirmative 652,929.000 19.863% 19.881% Against 2,631,238.000 80.044% 80.119% Abstain .000 .000% .000% TOTAL 3,284,167.000 99.907% 100.000% 2(c) Fundamental Policies Regarding Borrowing and Senior Securities (FAILED) Affirmative 652,929.000 19.863% 19.881% Against 2,631,238.000 80.044% 80.119% Abstain .000 .000% .000% 2(d) Fundamental Policy Regarding Lending (FAILED) Affirmative 652,929.000 19.863% 19.881% Against 2,631,238.000 80.044% 80.119% Abstain .000 .000% .000% TOTAL 3,284,167.000 99.907% 100.000% 2(e) Fundamental Policy Regarding Purchase of Real Estate and Commodities (FAILED) Affirmative 652,929.000 19.863% 19.881% Against 2,631,238.000 80.044% 80.119% Abstain .000 .000% .000% TOTAL 3,284,167.000 99.907% 100.000% % OF NUMBER OF OUTSTANDING % OF SHARES SHARES SHARES PRESENT --------- ----------- ----------- 2(f) Fundamental Policy Regarding Underwriting of Securities Affirmative 3,284,167.000 99.907% 100.000% Against .000 .000% .000% Abstain .000 .000% .000% TOTAL 3,284,167.000 99.907% 100.000% EXTENDED DURATION BOND FUND 2(a) Fundamental Policy Regarding Diversification Affirmative 3,345,163.000 99.324% 100.000% Against .000 .000% .000% Abstain .000 .000% .000% TOTAL 3,345,163.000 99.324% 100.000% 2(b) Fundamental Policy Regarding Concentration Affirmative 2,957,265.000 87.806% 88.404% Against 387,898.000 11.518% 11.596% Abstain .000 .000% .000% TOTAL 3,345,163.000 99.324% 100.000% 2(c) Fundamental Policies Regarding Borrowing and Senior Securities Affirmative 2,957,265.000 87.806% 88.404% Against 387,898.000 11.518% 11.596% Abstain .000 .000% .000% TOTAL 3,345,163.000 99.324% 100.000% 2(d) Fundamental Policy Regarding Lending Affirmative 2,957,265.000 87.806% 88.404% Against 387,898.000 11.518% 11.596% Abstain .000 .000% .000% TOTAL 3,345,163.000 99.324% 100.000% 2(e) Fundamental Policy Regarding Purchase of Real Estate and Commodities Affirmative 2,957,265.000 87.806% 88.404% Against 387,898.000 11.518% 11.596% Abstain .000 .000% .000% TOTAL 3,345,163.000 99.324% 100.000% -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 105 -------------------------------------------------------------------------------- SHAREHOLDER VOTING RESULTS (Unaudited) (Concluded) % OF NUMBER OF OUTSTANDING % OF SHARES SHARES SHARES PRESENT --------- ----------- ----------- 2(f) Fundamental Policy Regarding Underwriting of Securities Affirmative 3,345,163.000 99.324% 100.000% Against .000 .000% .000% Abstain .000 .000% .000% TOTAL 3,345,163.000 99.324% 100.000% INTERNATIONAL EQUITY FUND 2(a) Fundamental Policy Regarding Diversification Affirmative 105,828,058.504 72.577% 89.547% Against 5,598,451.507 3.840% 4.737% Abstain 6,754,901.000 4.632% 5.716% TOTAL 118,181,411.011 81.049% 100.000% 2(b) Fundamental Policy Regarding Concentration Affirmative 104,959,255.504 71.981% 88.812% Against 6,467,254.507 4.436% 5.472% Abstain 6,754,901.000 4.632% 5.716% TOTAL 118,181,411.011 81.049% 100.000% 2(c) Fundamental Policies Regarding Borrowing and Senior Securities Affirmative 104,959,255.504 71.981% 88.812% Against 6,467,254.507 4.436% 5.472% Abstain 6,754,901.000 4.632% 5.716% TOTAL 118,181,411.011 81.049% 100.000% 2(d) Fundamental Policy Regarding Lending Affirmative 104,959,255.504 71.981% 88.812% Against 6,467,254.507 4.436% 5.472% Abstain 6,754,901.000 4.632% 5.716% TOTAL 118,181,411.011 81.049% 100.000% 2(e) Fundamental Policy Regarding Purchase of Real Estate and Commodities Affirmative 104,959,255.504 71.981% 88.812% Against 6,467,254.507 4.436% 5.472% Abstain 6,754,901.000 4.632% 5.716% TOTAL 118,181,411.011 81.049% 100.000% % OF NUMBER OF OUTSTANDING % OF SHARES SHARES SHARES PRESENT --------- ----------- ----------- 2(f) Fundamental Policy Regarding Underwriting of Securities Affirmative 104,959,255.504 71.981% 88.812% Against 6,467,254.507 4.436% 5.472% Abstain 6,754,901.000 4.632% 5.716% TOTAL 118,181,411.011 81.049% 100.000% 2(g) Fundamental Policy Regarding Investments in Oil and Gas Affirmative 104,959,255.504 71.981% 88.812% Against 6,467,254.507 4.436% 5.472% Abstain 6,754,901.000 4.632% 5.716% TOTAL 118,181,411.011 81.049% 100.000% 2(h) Fundamental Policy Making all Investment Limitations in Prospectus Fundamental Affirmative 104,959,255.504 71.981% 88.812% Against 6,467,254.507 4.436% 5.472% Abstain 6,754,901.000 4.632% 5.716% TOTAL 118,181,411.011 81.049% 100.000% 2(i) Fundamental Policy Requiring That At Least 65% of a Fund's Assets be Invested in Particular Types of Securities Affirmative 104,959,255.504 71.981% 88.812% Against 6,467,254.507 4.436% 5.472% Abstain 6,754,901.000 4.632% 5.716% TOTAL 118,181,411.011 81.049% 100.000% -------------------------------------------------------------------------------- 106 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 -------------------------------------------------------------------------------- NOTES -------------------------------------------------------------------------------- NOTES -------------------------------------------------------------------------------- SEI INSTITUTIONAL INVESTMENTS TRUST SEMI-ANNUAL REPORT NOVEMBER 30, 2004 Robert A. Nesher, CHAIRMAN TRUSTEES William M. Doran F. Wendell Gooch Rosemarie B. Greco Nina Lesavoy James M. Storey George J. Sullivan, Jr. James M. Williams OFFICERS Edward D. Loughlin PRESIDENT AND CHIEF EXECUTIVE OFFICER Peter (Pedro) A. Rodriguez CONTROLLER AND CHIEF FINANCIAL OFFICER Timothy D. Barto VICE PRESIDENT, SECRETARY John J. McCue VICE PRESIDENT Sofia A. Rosala VICE PRESIDENT, ASSISTANT SECRETARY Philip T. Masterson VICE PRESIDENT, ASSISTANT SECRETARY John J. Munera VICE PRESIDENT, ASSISTANT SECRETARY Thomas D. Jones, III CHIEF COMPLIANCE OFFICER INVESTMENT ADVISER SEI Investments Management Corporation ADMINISTRATOR SEI Investments Fund Management DISTRIBUTOR SEI Investments Distribution Co. LEGAL COUNSEL Morgan, Lewis & Bockius LLP INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM PricewaterhouseCoopers 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) [BACKGROUND GRAPHIC OMITTED] SEI INVESTMENTS SEI Investments Distribution Co. Oaks, PA 19456 1 800-DIAL-SEI (1 800 342 5734) SEI-F-120 (11/04) ITEM 2. CODE OF ETHICS. Not applicable for semi-annual report. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not applicable for semi-annual report. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable for semi-annual report. ITEMS 5. AUDIT COMMITTEE OF LISTED REGISTRANTS Not applicable to open-end investment management companies. ITEM 6. SCHEDULE OF INVESTMENTS. Not applicable. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable to open-end investment management companies. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. Effective for closed-end management investment companies for fiscal years ending on or after December 31, 2005 ITEM 9. PURCHASERS OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. The Trust has a standing Nominating Committee (the "Committee") currently consisting of the Independent Trustees. The Committee is responsible for evaluating and recommending nominees for election to the Trust's Board of Trustees (the "Board"). Pursuant to the Committee's Charter, adopted on June 18, 2004, the Committee will review all shareholder recommendations for nominations to fill vacancies on the Board if such recommendations are submitted in writing and addressed to the Committee at the Trust's office. ITEM 11. CONTROLS AND PROCEDURES. (a) The certifying officers, whose certifications are included herewith, have evaluated the registrant's disclosure controls and procedures within 90 days of the filing date of this report. Based on their evaluation, the certifying officers have concluded that the registrant's disclosure controls and procedures are adequately designed, and are operating effectively to ensure, that information required to be disclosed by the registrant in the reports it files or submits under the Securities Exchange Act of 1934 is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms. (b) There were no significant changes in the registrant's internal control over financial reporting that occurred during the registrant's last fiscal half-year that have materially affected, or are reasonably likely to materially affect, the registrants internal control over financial reporting. ITEMS 12. EXHIBITS. (a)(1) Not applicable for semi-annual report. (a)(2) A separate certification for the principal executive officer and the principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed herewith. (b) Officer certifications as required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing as an Exhibit. -------------------------------------------------------------------------------- SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) SEI Institutional Investments Trust By (Signature and Title)* /s/ Edward D. Loughlin ---------------------- Edward D. Loughlin Chief Executive Officer Date: January 21, 2005 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title)* /s/ Edward D. Loughlin ---------------------- Edward D. Loughlin Chief Executive Officer Date: January 21, 2005 By (Signature and Title)* /s/ Peter (Pedro) A. Rodriguez ------------------------------ Peter (Pedro) A. Rodriguez Chief Financial Officer Date January 21, 2005 * Print the name and title of each signing officer under his or her signature.