N-CSRS 1 siitcombsar11_06.txt SIIT COMB SAR 11_06 UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 -------- FORM N-CSRS -------- 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) -------- C/O CT CORPORATION 101 FEDERAL ST. BOSTON, MA 02110 (Address of principal executive offices) (Zip code) C/O CT CORPORATION 101 FEDERAL ST. BOSTON, MA 02110 (Name and address of agent for service) REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: 1-800-342-5734 DATE OF FISCAL YEAR END: MAY 31, 2007 DATE OF REPORTING PERIOD: NOVEMBER 30, 2006 ITEM 1. REPORTS TO STOCKHOLDERS. SEI New ways. New answers.(R) -------------------------------------------------------------------------------- SEI Institutional Investments Trust -------------------------------------------------------------------------------- Semi-Annual Report as of November 30, 2006 -------------------------------------------------------------------------------- Large Cap Fund Large Cap Disciplined Equity Fund Large Cap Diversified Alpha Fund Large Cap Index Fund Small Cap Fund Small/Mid Cap Equity Fund Core Fixed Income Fund Long Duration Fund Extended Duration Fund High Yield Bond Fund International Equity Fund World Equity Ex-US Fund Emerging Markets Debt Fund TABLE OF CONTENTS ----------------------------------------------------------------------------- Schedules of Investments 1 ----------------------------------------------------------------------------- Statements of Assets and Liabilities 192 ----------------------------------------------------------------------------- Statements of Operations 194 ----------------------------------------------------------------------------- Statements of Changes in Net Assets 196 ----------------------------------------------------------------------------- Financial Highlights 200 ----------------------------------------------------------------------------- Notes to Financial Statements 202 ----------------------------------------------------------------------------- Disclosure of Fund Expenses 215 ----------------------------------------------------------------------------- Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements 218 ----------------------------------------------------------------------------- The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q within sixty days after the end of the period. The Trust's Forms N-Q are available on the Commission's website at http://www.sec.gov, and may be reviewed and copied at the Commission's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities, as well as information relating to how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, is available (i) without charge, upon request, by calling 1-800-DIAL-SEI; and (ii) on the Commission's website at http://www.sec.gov. SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Fund November 30, 2006 -------------------------------------------------------------------------------- [Bar Chart Omitted] Plot points as follows: SECTOR WEIGHTINGS++: 24.7% Financials 14.3% Information Technology 11.3% Health Care 10.4% Consumer Discretionary 9.0% Energy 8.0% Consumer Staples 7.6% Industrials 4.5% Short-Term Investments 3.0% Telecommunication Services 2.7% Materials 2.4% Utilities 0.6%Commercial Paper 0.4% Asset-Backed Securities 0.4% U.S. Treasury Obligation 0.3% Master Notes 0.2% Collateralized Debt Obligations 0.2% Certificate of Deposit 0.0% Warrants ++Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 9). -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- COMMON STOCK -- 94.1% CONSUMER DISCRETIONARY -- 11.0% Abercrombie & Fitch, Cl A 300 $ 20 Advance Auto Parts 75 3 Aeropostale* 1,900 57 American Eagle Outfitters 4,100 185 AnnTaylor Stores* 4,751 164 Autoliv 22,800 1,336 Autonation* 3,852 79 Autozone* 1,187 135 Barnes & Noble 8,300 332 Best Buy 11,200 616 Borders Group 11,300 259 BorgWarner 7,400 428 Brinker International 24,311 1,105 Cablevision Systems, Cl A (B) 6,826 189 Carmax* 1,900 88 CBS, Cl B 45,269 1,347 Circuit City Stores 6,200 155 Claire's Stores 2,400 77 Clear Channel Communications 2,625 92 Coach* 17,873 772 Comcast, Cl A (B)* 75,462 3,053 DaimlerChrysler 1,400 82 Darden Restaurants 12,555 504 Dick's Sporting Goods* 500 27 Dillard's, Cl A (B) 6,800 242 DIRECTV Group (B)* 76,400 1,738 Discovery Holding, Cl A* 5,600 86 Dollar Tree Stores* 5,200 156 Dow Jones (B) 3,000 108 E.W. Scripps, Cl A 303 15 Eastman Kodak (B) 12,600 328 EchoStar Communications, Cl A (B)* 2,343 84 Expedia* 2,900 53 Family Dollar Stores 18,400 513 Federated Department Stores 9,276 390 Foot Locker 10,300 236 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Ford Motor 23,100 $ 188 Fortune Brands 19,124 1,547 FTD Group* 3,100 54 GameStop, Cl A* 600 34 Gannett (B) 8,297 494 Gap (B) 12,200 228 General Motors (B) 16,261 475 Genuine Parts 5,058 237 Goodyear Tire & Rubber (B)* 17,700 298 Gymboree* 1,600 64 Harley-Davidson 2,700 199 Harman International Industries 300 31 Harrah's Entertainment 9,050 712 Hasbro 44,100 1,180 Hilton Hotels 3,430 113 Home Depot 18,342 696 IAC/InterActive (B)* 22,259 812 Idearc 5,746 158 International Game Technology 90,622 3,967 Interpublic Group (B)* 15,200 182 ITT Educational Services (B)* 4,900 336 JC Penney 16,043 1,241 Johnson Controls 7,472 608 Jones Apparel Group 21,274 715 KB Home 3,500 181 Kohl's* 28,953 2,015 Lamar Advertising, Cl A (B)* 16,834 1,016 Las Vegas Sands* 700 64 Leggett & Platt 3,800 90 Lennar, Cl A (B) 4,700 247 Liberty Global, Cl A* 4,474 121 Liberty Media Holding-Capital, Ser A* 5,510 484 Liberty Media Holding-Interactive, Cl A* 6,800 155 Limited Brands 17,500 555 Live Nation 1,127 24 Liz Claiborne 1,700 73 Lowe's (B) 77,720 2,344 Marriott International, Cl A 1,388 63 Mattel 32,800 720 McDonald's 61,245 2,570 McGraw-Hill 69,757 4,649 Meredith 900 49 MGM Mirage 65,000 3,495 Newell Rubbermaid 11,939 340 News, Cl A* 25,239 520 Nike, Cl B 665 66 NTL 3,230 78 Nutri/System (B)* 2,100 145 Office Depot* 10,484 397 OfficeMax 4,300 202 Omnicom Group 2,630 269 Polo Ralph Lauren 822 64 Pool (B) 13,400 549 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 1 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Priceline.com* 1,900 $ 75 Pulte Homes 1,800 61 Ross Stores 7,100 220 Saks 8,700 178 Sally Beauty Holdings* 1,600 15 Sears Holdings* 480 82 Shaw Communications, Cl B 18,600 578 Sherwin-Williams 3,425 214 Snap-On 2,817 134 Stanley Works (B) 4,800 245 Staples 155,000 3,948 Starbucks* 51,852 1,830 Starwood Hotels & Resorts Worldwide 2,300 148 Steven Madden* 2,030 75 Target 37,384 2,172 Thor Industries 1,600 72 Tim Hortons 6,693 207 Time Warner 174,163 3,508 TJX 8,200 225 Tribune 17,150 545 Univision Communications, Cl A* 6,500 231 VF 10,359 812 Viacom, Cl B* 37,499 1,407 Walt Disney 17,399 575 Warner Music Group 1,100 28 Washington Post, Cl B 100 73 Weight Watchers International (B) 53,000 2,594 Wendy's International (B) 6,438 210 Whirlpool 6,029 514 Williams-Sonoma 23,040 731 Wyndham Worldwide* 5,840 185 Wynn Resorts (B) 1,600 141 XM Satellite Radio Holdings, Cl A (B)* 30,400 439 Yum! Brands 13,550 829 -------- 74,469 -------- CONSUMER STAPLES -- 8.4% Alberto-Culver 1,500 30 Altria Group 50,764 4,275 Anheuser-Busch 15,679 745 Archer-Daniels-Midland 39,689 1,393 Avon Products 4,700 153 Brown-Forman, Cl B 3,988 277 Bunge (B) 2,100 148 Campbell Soup 6,545 249 Chattem (B)* 5,000 244 Chiquita Brands International 7,100 102 Church & Dwight 700 29 Clorox 3,819 244 Coca-Cola 55,001 2,576 Coca-Cola Enterprises 44,733 915 Colgate-Palmolive 40,626 2,643 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- ConAgra Foods 42,200 $ 1,085 Constellation Brands, Cl A* 900 25 Corn Products International 4,300 156 Costco Wholesale 28,180 1,473 CVS 1,100 32 Dean Foods* 5,433 233 Del Monte Foods 12,161 137 Energizer Holdings (B)* 2,200 145 Estee Lauder, Cl A 15,700 648 General Mills 21,146 1,183 Hansen Natural* 3,100 87 Hershey 17,352 919 HJ Heinz 9,907 440 Hormel Foods 3,839 145 JM Smucker 1,000 48 Kellogg 4,082 203 Kimberly-Clark 22,354 1,486 Kraft Foods, Cl A (B) 19,907 698 Kroger 50,422 1,082 Loews - Carolina 4,259 266 McCormick 5,681 220 Molson Coors Brewing, Cl B 7,100 505 Peet's Coffee & Tea* 500 13 Pepsi Bottling Group 5,939 186 PepsiAmericas 17,948 374 PepsiCo 79,757 4,943 Prestige Brands Holdings* 2,700 32 Procter & Gamble 162,668 10,214 Reynolds American (B) 28,960 1,860 Safeway 20,276 625 Sara Lee 12,700 211 Supervalu 13,021 446 Sysco 4,124 148 Tyson Foods, Cl A (B) 15,400 245 UST (B) 4,900 274 Wal-Mart Stores (B) 127,008 5,855 Walgreen 132,806 5,377 Whole Foods Market 278 14 WM Wrigley Jr. (B) 25,466 1,335 -------- 57,391 -------- ENERGY -- 9.4% Anadarko Petroleum 19,566 966 Apache 104 7 Arch Coal 702 25 Baker Hughes 69,531 5,106 BJ Services 20,503 692 BP ADR 1,200 82 Cameron International (B)* 4,129 224 Chesapeake Energy (B) 18,800 640 Chevron (B) 102,998 7,449 ConocoPhillips 77,371 5,207 Devon Energy 22,690 1,665 -------------------------------------------------------------------------------- 2 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Diamond Offshore Drilling 281 $ 22 Exxon Mobil 258,235 19,835 FMC Technologies* 3,500 210 Frontier Oil 2,700 85 Halliburton 67,434 2,275 Hess (B) 16,353 822 Holly 10,000 540 Kinder Morgan 1,374 144 Marathon Oil 32,444 3,062 Nabors Industries (B)* 9,700 327 Noble Energy 6,274 336 Occidental Petroleum 26,110 1,314 Oceaneering International* 1,400 61 Overseas Shipholding Group 900 52 Patterson-UTI Energy 7,100 197 Petro-Canada 11,800 533 Schlumberger 85,436 5,851 Smith International 507 22 Suncor Energy 36,832 2,910 Sunoco 6,511 444 Superior Energy Services* 900 29 Tetra Technologies* 2,000 52 Tidewater (B) 15,000 830 Transocean* 1,800 140 Valero Energy 22,120 1,218 Weatherford International* 17,270 776 XTO Energy 210 11 -------- 64,161 -------- FINANCIALS -- 22.0% A.G. Edwards 4,396 254 Affiliated Managers Group (B)* 1,936 198 Affordable Residential Communities+ (B)* 13,000 146 Aflac 7,440 328 Allied Capital (B) 5,267 162 Allstate 38,860 2,467 AMB Property+ 200 12 AMBAC Financial Group 4,300 368 American Capital Strategies 1,746 79 American Express 56,392 3,311 American Financial Group 4,499 235 American International Group 105,720 7,434 AmeriCredit* 8,800 206 Ameriprise Financial 7,658 414 Annaly Capital Management+ 8,700 122 Anthracite Capital+ 1,294 16 AON 20,261 723 Apartment Investment & Management, Cl A+ 743 43 Archstone-Smith Trust+ 1,701 102 Arthur J Gallagher 2,222 65 Assurant (B) 17,407 957 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Astoria Financial 19,033 $ 569 AvalonBay Communities+ 2,014 268 Bank of America 201,309 10,841 Bank of Hawaii 443 23 Bank of New York 21,300 757 BB&T 24,534 1,055 Bear Stearns 8,545 1,303 BlackRock, Cl A 1,214 174 Boston Properties+ 894 105 BRE Properties, Cl A+ 3,000 194 Brookfield Asset Management 10,900 520 Brown & Brown 6,101 177 Camden Property Trust+ 1,807 144 Capital One Financial (B) 3,748 292 CapitalSource+ 6,200 169 CB Richard Ellis Group, Cl A* 12,600 415 Charles Schwab 106,552 1,954 Chicago Mercantile Exchange Holdings 7,807 4,181 Chubb 18,560 961 Cincinnati Financial 1,600 71 CIT Group 20,948 1,090 Citigroup 260,563 12,921 CNA Financial* 9,002 347 Colonial BancGroup 6,500 159 Comerica 29,497 1,718 Commerce Bancorp (B) 5,884 205 Commerce Bancshares 2,829 137 Compass Bancshares 2,107 120 Conseco* 7,646 152 Countrywide Financial 22,651 900 Credicorp 300 12 Cullen/Frost Bankers 3,300 180 Duke Realty+ 2,800 122 E*Trade Financial* 900 22 East West Bancorp 2,900 103 Eaton Vance 1,500 48 Equity Office Properties Trust+ (B) 5,623 271 Equity Residential+ 4,843 258 Erie Indemnity, Cl A 529 30 Essex Property Trust+ 1,300 172 Fannie Mae 22,714 1,295 Federal Realty Investment Trust+ 380 32 Federated Investors, Cl B 1,572 52 Fidelity National Title Group, Cl A 2,900 66 Fifth Third Bancorp 100 4 First American 3,400 131 First Cash Financial Services* 11,500 235 First Horizon National (B) 422 17 First Marblehead (B) 1,700 127 Forest City Enterprises, Cl A 4,052 236 Franklin Resources 8,671 926 Freddie Mac 74,030 4,972 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 3 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Fulton Financial 503 $ 8 Genworth Financial, Cl A 16,800 551 Goldman Sachs Group 12,464 2,428 Hanover Insurance Group 236 11 Hartford Financial Services Group 13,750 1,179 HCC Insurance Holdings 4,169 126 Horace Mann Educators 5,700 115 Hospitality Properties Trust+ (B) 3,684 185 Host Hotels & Resorts+ (B) 5,674 143 HRPT Properties Trust+ 2,000 25 Hudson City Bancorp 19,600 260 Huntington Bancshares 12,273 298 IndyMac Bancorp 15,100 694 IntercontinentalExchange* 40,400 3,969 Investors Financial Services 2,000 80 iStar Financial+ 1,200 56 Janus Capital Group (B) 11,200 227 Jefferies Group 5,600 162 JER Investors Trust+* 7,200 143 Jones Lang LaSalle* 11,800 1,074 JPMorgan Chase (B) 175,505 8,122 Keycorp 53,033 1,915 Kilroy Realty+ 300 25 KKR Financial+* 7,500 201 LandAmerica Financial Group 500 31 Legg Mason 18,565 1,770 Lehman Brothers Holdings 31,600 2,328 Leucadia National 10,200 281 Lincoln National 13,707 872 Loews 42,347 1,691 Luminent Mortgage Capital+ 13,100 135 M&T Bank 2,530 300 Mack-Cali Realty+ 400 22 Markel* 29 13 Marsh & McLennan 9,425 296 Marshall & Ilsley 1,472 67 MBIA (B) 9,500 662 Mellon Financial 9,800 394 Mercantile Bankshares 2,174 99 Merrill Lynch 68,728 6,009 Metlife 9,590 563 MGIC Investment 13,862 803 Moody's 56,059 3,895 Morgan Stanley 51,732 3,940 National City (B) 72,264 2,609 Nationwide Financial Services, Cl A 11,200 582 New Century Financial+ 2,200 79 New York Community Bancorp 14,449 234 North Fork Bancorporation 4,700 132 Northern Trust 4,865 277 Nuveen Investments, Cl A 3,800 189 Old Republic International 20,600 465 Peoples Bank 1,014 45 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Philadelphia Consolidated Holding* 700 $ 31 PMI Group 19,400 840 PNC Financial Services Group 23,743 1,678 Principal Financial Group 15,700 907 Progressive 15,264 344 Prologis+ 1,136 74 Protective Life 314 15 Prudential Financial 2,300 187 Public Storage+ 1,877 181 Radian Group 22,064 1,174 Ramco-Gershenson Properties+ 4,686 173 Raymond James Financial 4,400 139 Rayonier+ 700 29 Realogy* 7,300 190 Reckson Associates Realty+ 3,800 184 Regions Financial 43,687 1,601 Reinsurance Group of America 8,000 441 Resource Capital+ 2,800 46 Safeco 15,962 967 SeaBright Insurance Holdings* 4,400 70 Simon Property Group+ 851 87 SL Green Realty+ 2,122 287 SLM 4,077 187 St. Paul Travelers 61,034 3,162 Stancorp Financial Group 2,800 127 State Street 5,701 354 SunTrust Banks 22,802 1,862 Synovus Financial 1,703 51 T Rowe Price Group 5,632 244 TCF Financial 900 24 TD Ameritrade Holding 267 5 TD Banknorth 1,052 34 Torchmark 4,445 281 Transatlantic Holdings 301 19 UnionBanCal 6,300 363 United Dominion Realty Trust+ 2,930 98 UnumProvident (B) 6,950 142 US Bancorp 85,752 2,885 Valley National Bancorp (B) 7,100 184 Vornado Realty Trust+ 765 96 Wachovia 96,814 5,246 Washington Federal 1,700 40 Washington Mutual (B) 56,860 2,484 Wells Fargo 44,546 1,570 Whitney Holding 4,700 151 Wilmington Trust 2,787 116 WR Berkley 9,141 321 XL Capital, Cl A 2,458 175 Zions Bancorporation 2,851 223 -------- 149,744 -------- -------------------------------------------------------------------------------- 4 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- HEALTH CARE -- 11.9% Abbott Laboratories 25,108 $ 1,172 Advanced Medical Optics* 1,700 60 Aetna 10,662 440 Alcon 1,408 154 Allergan 37,487 4,370 AmerisourceBergen 19,342 890 Amgen* 54,652 3,880 Amylin Pharmaceuticals* 300 12 Applera - Applied Biosystems Group 8,130 296 Barr Pharmaceuticals* 5,348 273 Baxter International 18,581 831 Becton Dickinson 14,297 1,025 Biogen Idec* 7,629 399 Biomet 600 23 Bristol-Myers Squibb 11,713 291 C.R. Bard 1,700 140 Cardinal Health 14,084 910 Caremark Rx 40,917 1,935 Celgene (B)* 29,296 1,633 Cephalon* 3,138 235 Cerner (B)* 4,700 226 Charles River Laboratories International* 4,100 171 Cigna 9,048 1,141 Community Health Systems* 196 7 Covance* 1,788 107 Coventry Health Care* 165 8 Cytyc* 10,900 286 Dade Behring Holdings 3,700 140 DaVita* 1,226 65 Dentsply International 2,400 77 Edwards Lifesciences* 1,000 46 Eli Lilly 36,237 1,942 Emdeon (B)* 9,300 110 Endo Pharmaceuticals Holdings* 638 17 Express Scripts* 9,645 658 Forest Laboratories* 15,772 768 Genentech* 91,492 7,479 Gilead Sciences* 4,929 325 Health Management Associates, Cl A 1,587 33 Health Net* 2,817 130 Henry Schein* 2,623 135 Hillenbrand Industries (B) 3,900 226 Hospira* 1,788 59 Humana* 3,203 173 Idexx Laboratories (B)* 5,716 484 ImClone Systems (B)* 7,000 209 IMS Health 4,123 113 Invitrogen* 310 17 Johnson & Johnson 42,804 2,821 King Pharmaceuticals (B)* 43,384 717 Laboratory of America Holdings (B) 8,679 614 LifePoint Hospitals* 2,400 83 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Lincare Holdings (B)* 15,790 $ 595 Manor Care 4,187 199 McKesson 9,317 460 Medco Health Solutions 20,073 1,008 Medimmune (B)* 46,084 1,506 Medtronic 46,720 2,436 Mentor 3,800 190 Merck 93,724 4,172 Millipore* 309 21 Mylan Laboratories (B) 10,413 211 Omnicare 2,255 90 Pediatrix Medical Group* 500 24 PerkinElmer 2,100 46 Pfizer 362,079 9,954 Pharmaceutical Product Development 3,818 121 Quest Diagnostics 2,659 141 Resmed* 932 47 Schering-Plough 5,868 129 Sierra Health Services* 2,800 98 St. Jude Medical* 56,390 2,102 Stryker (B) 55,826 2,895 Techne* 1,810 97 Tenet Healthcare* 19,500 138 Thermo Electron (B)* 41,333 1,812 Triad Hospitals* 500 21 UnitedHealth Group 102,807 5,046 Universal Health Services, Cl B 2,181 120 Varian Medical Systems (B)* 2,987 147 VCA Antech* 5,958 192 Vertex Pharmaceuticals* 100 4 WellCare Health Plans* 2,200 142 WellPoint* 8,260 625 Wyeth 54,144 2,614 Zimmer Holdings* 68,626 5,007 -------- 80,766 -------- INDUSTRIALS -- 8.0% 3M 14,986 1,221 Acuity Brands 5,200 274 Adesa 1,000 26 AGCO* 1,900 59 Allied Waste Industries* 6,800 86 American Power Conversion 900 27 American Standard 3,700 166 AMR* 3,416 109 Applied Industrial Technologies 2,400 68 Aramark, Cl B 7,154 239 Arkansas Best 200 8 Armor Holdings* 4,259 241 Avery Dennison 2,701 182 Avis Budget Group 2,920 60 Baldor Electric 1,000 35 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 5 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Boeing 4,530 $ 401 Brink's 3,000 168 Burlington Northern Santa Fe 7,585 570 Carlisle 2,200 180 Caterpillar 20,067 1,245 Ceradyne (B)* 1,700 90 CH Robinson Worldwide 8,687 382 Chart Industries* 2,000 30 ChoicePoint* 1,907 70 Con-way 9,388 433 Continental Airlines, Cl B* 2,200 89 Copart* 1,800 54 Corporate Executive Board 2,222 210 Corrections of America* 3,900 177 Covanta Holding* 3,400 75 Crane 3,400 130 CSX 27,388 982 Cummins 5,100 612 Danaher 2,630 192 Deere 10,000 960 Donaldson 1,000 35 Dover 10,464 526 Dun & Bradstreet* 907 75 Eaton 16,291 1,256 Emerson Electric 22,211 1,926 Equifax 1,540 59 Expeditors International Washington (B) 80,514 3,642 Fastenal 3,200 115 FedEx 4,800 554 Gardner Denver* 11,800 451 General Dynamics 3,686 276 General Electric 318,743 11,245 Graco 1,100 46 Harsco 1,100 86 Herman Miller 10,804 379 HNI 1,900 89 Honeywell International 43,518 1,870 Hubbell, Cl B 500 26 Illinois Tool Works 1,000 47 Ingersoll-Rand, Cl A 17,561 685 ITT Industries 1,460 79 Jacobs Engineering Group* 910 76 JB Hunt Transport Services 1,100 24 John H. Harland 2,600 111 Kennametal 200 12 L-3 Communications Holdings 1,500 123 Laidlaw International* 12,100 352 Landstar System 100 5 Lincoln Electric Holdings 400 24 Lockheed Martin 17,885 1,618 Manitowoc 2,600 157 Manpower 3,600 256 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Masco (B) 28,300 $ 812 MSC Industrial Direct, Cl A 700 27 Navistar International (B)* 9,800 314 Norfolk Southern 3,087 152 Northrop Grumman 40,975 2,742 Oshkosh Truck 4,700 226 Paccar (B) 16,948 1,107 Parker Hannifin 6,900 576 Pitney Bowes 807 37 Precision Castparts 2,525 191 Raytheon 18,788 959 Republic Services 1,009 42 Robert Half International 4,200 162 Rockwell Automation 2,400 156 Rockwell Collins 4,732 285 Roper Industries 752 39 RR Donnelley & Sons 2,780 98 Ryder System 7,300 381 Southwest Airlines 32,000 503 SPX 3,829 234 Stericycle* 1,501 109 Teleflex 2,800 181 Terex* 1,300 73 Textron 1,600 156 Thomas & Betts* 12,268 636 Timken 8,600 256 Toro 1,700 76 Trinity Industries 1,200 45 UAL* 900 37 Union Pacific 6,681 605 United Parcel Service, Cl B 59,508 4,637 United Rentals (B)* 10,000 251 United Technologies 25,579 1,651 US Airways Group* 500 28 Waste Management 11,500 421 WESCO International* 300 20 WW Grainger 2,036 147 YRC Worldwide* 214 8 -------- 54,456 -------- INFORMATION TECHNOLOGY -- 15.0% Acxiom 2,300 57 Adobe Systems* 2,832 114 Agere Systems* 17,829 319 Agilent Technologies* 22,287 710 Akamai Technologies* 5,694 278 Alliance Data Systems* 3,600 233 Amphenol, Cl A 2,430 166 Analog Devices 6,100 198 Apple Computer* 21,617 1,982 Applied Materials (B) 39,540 711 Arrow Electronics* 7,365 234 -------------------------------------------------------------------------------- 6 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- ATMI* 3,800 $ 124 Automatic Data Processing 14,446 697 Avaya* 4,907 63 Avnet* 16,600 411 BEA Systems* 15,900 219 BMC Software* 9,321 303 Broadcom, Cl A* 1,037 34 Brocade Communications Systems* 7,800 72 Cadence Design Systems (B)* 17,497 322 CDW 16 1 Ceridian* 7,158 175 Cisco Systems* 135,940 3,654 Citrix Systems* 3,597 103 Cognizant Technology Solutions, Cl A* 1,900 155 Computer Sciences* 13,900 726 Convergys* 20,300 490 Dell* 33,898 923 Diebold 4,100 189 DSP Group* 2,000 43 DST Systems* 2,922 182 eBay* 135,000 4,367 Electronic Arts* 29,156 1,628 Electronic Data Systems 9,900 269 EMC* 83,484 1,094 Factset Research Systems 500 26 Fair Isaac 3,600 150 Fidelity National Information Services 5,151 206 First Data 75,192 1,899 Fiserv* 21,227 1,085 Global Payments 2,274 104 Google, Cl A* 19,530 9,470 Harris 4,902 206 Hewlett-Packard 147,205 5,809 Ingram Micro, Cl A* 8,200 167 Integrated Device Technology* 8,900 147 Intel 41,346 883 International Business Machines 27,576 2,535 Intersil, Cl A 367 9 Intuit* 113,592 3,576 Iron Mountain* 680 29 Itron* 2,200 106 Lam Research* 5,867 309 Lexmark International, Cl A (B)* 11,700 807 Linear Technology (B) 45,071 1,449 LSI Logic* 23,600 252 Mastercard, Cl A 600 61 MEMC Electronic Materials* 3,854 153 Mettler Toledo International* 1,565 121 Micron Technology 8,887 130 Microsoft 220,084 6,455 MicroStrategy, Cl A* 2,270 269 Molex 8,400 269 MoneyGram International 2,100 64 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Motorola 78,584 $ 1,742 MTS Systems 400 15 National Instruments 1,600 47 NCR* 3,000 129 Network Appliance (B)* 11,674 458 Novellus Systems (B)* 32,009 999 Nvidia* 9,230 341 Oracle* 29,211 556 Paychex 132,943 5,239 QLogic* 17,318 385 Qualcomm 262,546 9,607 Rambus* 2,900 65 Red Hat* 6,690 116 Research In Motion* 47,200 6,553 Sabre Holdings, Cl A 16,900 464 SanDisk* 68,465 3,040 Sanmina-SCI* 34,739 129 Seagate Technology 150,000 3,864 Solectron* 51,000 170 Sybase* 2,692 64 Symantec* 2,840 60 Symbol Technologies 6,000 89 Synopsys* 26,509 677 Tech Data (B)* 7,916 331 Tektronix 5,300 162 Texas Instruments 27,343 808 Trimble Navigation* 1,300 62 Vishay Intertechnology (B)* 34,200 448 Western Digital* 33,714 692 Western Union 189,692 4,325 Xerox* 27,079 447 Xilinx 8,600 230 Yahoo! (B)* 72,981 1,970 -------- 102,276 -------- MATERIALS -- 2.8% Air Products & Chemicals 1,100 76 Airgas 700 30 Albemarle 2,300 160 Alcan 2,400 115 Alcoa 41,700 1,300 Allegheny Technologies 1,700 152 Ashland 2,900 196 Ball 600 26 Bemis 14,400 491 Cabot 400 16 Carpenter Technology 500 53 Commercial Metals 500 15 Cytec Industries 1,900 101 Dow Chemical 61,140 2,446 E.I. du Pont de Nemours 11,865 557 Eagle Materials 2,000 86 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 7 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Eastman Chemical (B) 6,500 $ 386 Ecolab 7,033 312 FMC 300 21 Freeport-McMoRan Copper & Gold, Cl B 200 13 Hercules 5,400 101 International Flavors & Fragrances 3,300 155 International Paper 7,700 255 Lubrizol 12,203 578 Lyondell Chemical 4,300 106 MeadWestvaco 12,600 372 Monsanto 1,892 91 Newmont Mining 9,800 460 Nucor 22,600 1,353 OM Group* 6,000 282 Pactiv* 23,700 816 Phelps Dodge 6,600 812 PPG Industries 13,899 894 Praxair 56,551 3,529 Rohm & Haas 10,600 554 Sealed Air 780 46 Sigma-Aldrich 614 47 Smurfit-Stone Container (B)* 25,400 273 Sonoco Products 4,116 152 Steel Dynamics 12,000 390 Temple-Inland 1,045 41 Titanium Metals* 900 29 United States Steel 3,400 254 Valspar 15,000 420 Vulcan Materials 4,100 364 Wheeling-Pittsburgh* 2,400 42 -------- 18,968 -------- TELECOMMUNICATION SERVICES -- 3.1% Alltel 3,335 189 American Tower, Cl A* 34,337 1,300 AT&T (B) 232,402 7,881 BellSouth 73,890 3,295 CenturyTel 26,929 1,146 Citizens Communications 10,018 142 Crown Castle International (B)* 50,254 1,732 Embarq 99 5 Leap Wireless International* 900 51 Sprint Nextel 84,898 1,656 Verizon Communications 112,095 3,917 Windstream 2,000 28 -------- 21,342 -------- UTILITIES -- 2.5% AES* 4,400 103 Allegheny Energy* 2,922 130 Alliant Energy 13,500 525 Ameren 900 49 American Electric Power 49,831 2,069 -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- CenterPoint Energy 22,500 $ 368 CMS Energy (B)* 11,000 178 Constellation Energy Group 3,199 219 Dominion Resources 3,552 287 DPL 219 6 DTE Energy (B) 20,987 988 Duke Energy 925 29 Edison International 15,832 728 Energen 9,700 440 Energy East 17,800 435 Entergy 4,599 420 Exelon 2,454 149 FirstEnergy 26,303 1,574 Great Plains Energy 1,600 51 Hawaiian Electric Industries 900 24 KeySpan 7,000 287 MDU Resources Group 3,421 90 Mirant* 2,700 82 National Fuel Gas (B) 8,900 337 NiSource 1,000 25 Northeast Utilities 2,400 67 NRG Energy* 12,443 708 NSTAR 1,300 46 OGE Energy 4,200 165 Oneok 3,300 143 Pepco Holdings 38,800 994 PG&E 25,819 1,186 Pinnacle West Capital 15,900 785 PPL 12,765 464 Progress Energy (B) 2,600 124 Public Service Enterprise Group 4,720 317 Puget Energy 330 8 Questar 274 24 Reliant Energy* 7,400 99 SCANA 281 12 Sempra Energy 3,889 212 Southern 339 12 Southern Union 500 14 TXU 19,775 1,135 UGI 7,900 223 Wisconsin Energy 4,700 220 Xcel Energy (B) 21,245 488 -------- 17,039 -------- Total Common Stock (Cost $524,866) ($ Thousands) 640,612 -------- CORPORATE OBLIGATIONS (C) -- 4.0% FINANCIALS -- 4.0% Allstate Life Global Funding II MTN (E) (F) 5.360%, 12/17/07 $ 424 424 -------------------------------------------------------------------------------- 8 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- American General Finance (E) (F) 5.350%, 12/17/07 $1,336 $ 1,336 Bear Stearns EXL (E) 5.360%, 12/17/07 1,640 1,640 Countrywide Financial MTN (E) 5.448%, 10/31/07 1,935 1,935 Dekabank (E) (F) 5.394%, 11/20/07 1,705 1,705 Irish Life & Permanent MTN, Ser X (E) (F) 5.360%, 12/21/07 1,226 1,226 Islandsbanki (E) (F) 5.370%, 04/06/07 2,166 2,166 Jackson National Life Funding (E) (F) 5.320%, 12/03/07 2,027 2,027 Kaupthing Bank MTN (E) (F) 5.380%, 03/20/07 2,304 2,304 Landsbanki Islands (E) (F) 5.400%, 03/16/07 1,751 1,751 Morgan Stanley EXL (E) 5.380%, 01/04/08 323 323 Morgan Stanley EXL, Ser S (E) 5.340%, 12/05/07 461 461 Natexis Banques (E) (F) 5.300%, 12/17/07 899 898 Nationwide Building Society (E) (F) 5.424%, 10/26/07 507 507 5.350%, 12/07/07 922 922 Nordbank (E) (F) 5.350%, 12/24/07 1,567 1,567 Northern Rock (E) (F) 5.360%, 12/03/07 949 949 Pacific Life Global Funding (E) (F) 5.370%, 12/13/07 691 691 Premium Asset Trust, Ser 2004-10 (E) (F) 5.360%, 12/17/07 1,290 1,290 SLM EXL, Ser S (E) (F) 5.320%, 12/17/07 1,014 1,014 Skandinav Enskilda Bank (E) (F) 5.320%, 12/18/07 1,014 1,014 Stanfield Victoria MTN (F) 5.445%, 06/11/07 922 921 -------- Total Corporate Obligations (Cost $27,071) ($ Thousands) 27,071 -------- COMMERCIAL PAPER (C) (D) -- 0.9% FINANCIALS -- 0.9% Broadhollow Funding 5.305%, 12/07/06 516 516 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)/Shares ($ Thousands) -------------------------------------------------------------------------------- KKR Pacific Funding Trust 5.345%, 12/27/06 $ 922 $ 918 5.305%, 01/02/07 461 458 Ocala Funding LLC 5.320%, 12/18/06 461 460 5.320%, 01/26/07 461 457 Rhineland Funding Capital 5.385%, 01/25/07 581 576 5.364%, 12/27/06 461 459 5.364%, 02/13/07 456 451 5.313%, 12/12/06 303 303 Witherspoon Funding Limited 5.329%, 12/15/06 461 460 Witherspoon Funding, Ser 2004-1A 5.330%, 03/15/07 795 795 -------- Total Commercial Paper (Cost $5,853) ($ Thousands) 5,853 -------- CASH EQUIVALENTS -- 3.2% Evergreen Select Money Market Fund Institutional Class, 5.230%** 1,033,668 1,034 SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.300%** 20,702,975 20,703 -------- Total Cash Equivalents (Cost $21,737) ($ Thousands) 21,737 -------- ASSET-BACKED SECURITIES (C) (E) (F) -- 0.4% MORTGAGE RELATED SECURITIES -- 0.4% Commodore, Ser 2003-2A, Cl A1MM 5.470%, 12/12/38 424 424 Duke Funding, Ser 2004-6B, Cl A1S1 5.440%, 10/09/07 691 691 Newcastle CDO, Ser 2005-6A, Cl IM1 5.340%, 04/24/07 184 184 Park Place Securities NIM Trust, Ser 2004-MM1, Cl MM1 5.350%, 02/26/07 274 274 Saturn Ventures II 5.380%, 02/07/07 742 742 TIAA Real Estate CDO, Ser 2003 1A, Cl A1MM 5.350%, 09/28/07 686 686 -------- Total Asset-Backed Securities (Cost $3,001) ($ Thousands) 3,001 -------- -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 9 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Fund (Concluded) November 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATION (A) (D) -- 0.4% U.S. Treasury Bill 4.900%, 02/22/07 $3,060 $ 3,025 -------- Total U.S. Treasury Obligation (Cost $3,025) ($ Thousands) 3,025 -------- MASTER NOTE (C) (D) -- 0.3% Bank of America 5.383%, 12/01/45 2,304 2,304 -------- Total Master Note (Cost $2,304) ($ Thousands) 2,304 -------- CERTIFICATES OF DEPOSIT (C) -- 0.3% Barclays Bank (E) 5.330%, 06/11/07 461 461 CC USA MTN (F) 5.379%, 06/18/07 921 921 U.S. Trust of New York (E) 5.316%, 03/13/07 369 369 -------- Total Certificates of Deposit (Cost $1,751) ($ Thousands) 1,751 -------- Number of Warrants --------- WARRANTS -- 0.0% Lucent Technologies, Expires 12/10/07* 758 -- -------- Total Warrants (Cost $--) ($ Thousands) -- -------- REPURCHASE AGREEMENTS (C) (G) -- 1.5% ABN Amro 5.300%, dated 11/30/06, to be repurchased on 12/01/06, repurchase price $3,686,922 (collateralized by U.S. Government obligations, ranging in par value $46,080-$1,382,392, 0.000%- 6.000%, 03/01/07-07/01/36, total market value $3,760,107) 3,686 3,686 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Barclays 5.300%, dated 11/30/06, to be repurchased on 12/01/06, repurchase price $784,595 (collateralized by various U.S. Government obligations, ranging in par value $17,188- $244,407, 2.750%-5.700%, 12/15/06-05/27/15; with total market value $800,182) $ 784 $ 784 Deutsche Bank 5.300%, dated 11/30/06, to be repurchased on 12/01/06, repurchase price $313,776 (collateralized by various U.S. Government obligations, ranging in par value $87,459- $237,219, 0.000%-5.800%, 05/01/07-01/27/20; with total market value $320,026) 314 314 Lehman Brothers 5.300%, dated 11/30/06, to be repurchased on 12/01/06, repurchase price $5,709,393 (collateralized by various U.S. Government obligations, ranging in par value $42,255- $7,123,753, 3.085%-8.625%, 12/21/07-01/15/30; with total market value $5,822,758) 5,709 5,709 -------- Total Repurchase Agreements (Cost $10,493) ($ Thousands) 10,493 -------- Total Investments -- 105.1% (Cost $600,101) ($ Thousands) $715,847 ======== A summary of the open future contracts held by the Fund at November 30, 2006, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED TYPE OF NUMBER OF EXPIRATION APPRECIATION CONTRACT CONTRACTS DATE ($ THOUSANDS) -------------------------------------------------------------------------------- S&P Mid 400 Index E-Mini 48 Dec-2006 $ 92 S&P 500 Composite Index 75 Dec-2006 400 ==== $492 ==== -------------------------------------------------------------------------------- 10 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- Description -------------------------------------------------------------------------------- Percentages are based on Net Assets of $681,033 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of November 30, 2006. + Real Estate Investments Trust (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. (B) This security or a partial position of this security is on loan at November 30, 2006 (See Note 9). The total value of securities on loan at November 30, 2006 was $49,038 ($ Thousands). (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, 2006 was $50,473 ($ Thousands). (D) The rate reported is the effective yield at time of purchase. (E) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of November 30, 2006. (F) Securities sold within terms of a p of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (G) Tri-Party Repurchase Agreement ADR -- American Depositary Receipt CDO -- Collateralized Debt Obligation Cl -- Class EXL -- Extendable Maturity LLC -- Limited Liability Company MTN -- Medium Term Note NIM -- Net Interest Margin 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, 2006 11 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Disciplined Equity Fund November 30, 2006 -------------------------------------------------------------------------------- [Bar Chart Omitted] Plot points as follows: SECTOR WEIGHTINGS++: 20.4% Financials 10.0% Information Technology 8.7% Asset-Backed Securities 8.7% Health Care 8.5% Industrials 7.1% Energy 6.7% Consumer Staples 6.5% Consumer Discretionary 6.1% Short-Term Investments 4.6% U.S. Government Mortgage-Backed Obligations 3.5% Commercial Paper 2.3% Materials 2.3% Utilities 2.1% Telecommunication Services 0.6% U.S. Treasury Obligations 1.2% U.S. Government Agency Obligations 0.3% Master Note 0.2% Certificate of Deposit 0.2% Collaterized Debt Obligations 0.0% Purchased Options ++Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 9). -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- COMMON STOCK -- 76.8% CONSUMER DISCRETIONARY -- 7.0% Amazon.com* 7,500 $ 303 Autonation (B)* 215,745 4,447 Autozone* 5,900 670 Bed Bath & Beyond* 9,900 384 Best Buy (B) 191,804 10,544 Big Lots (B)* 95,200 2,124 Brinker International 50,900 2,314 Cablevision Systems, Cl A (B) 190,694 5,296 CBS, Cl B 219,240 6,522 Centex 5,900 327 Circuit City Stores (B) 190,361 4,751 Coach* 281,500 12,164 Comcast, Cl A (B)* 599,581 24,259 Darden Restaurants 98,200 3,943 Dillard's, Cl A (B) 59,500 2,116 DIRECTV Group (B)* 989,797 22,518 DR Horton 18,300 488 Eastman Kodak 101,824 2,650 EchoStar Communications, Cl A (B)* 483,643 17,416 Family Dollar Stores 85,900 2,396 Federated Department Stores 200,126 8,423 Fortune Brands 3,200 259 Fossil (B)* 10,200 214 Gannett 5,500 327 Gap 22,800 427 General Motors (B) 586,191 17,134 Genuine Parts (B) 12,200 572 Gymboree* 39,000 1,552 Harley-Davidson (B) 86,200 6,359 Harman International Industries 2,400 249 Harrah's Entertainment 10,157 799 Hasbro 12,600 337 Hilton Hotels 43,418 1,425 Home Depot 357,391 13,570 IAC/InterActive (B)* 78,600 2,868 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Idearc (B) 42,073 $ 1,159 International Game Technology (B) 124,400 5,446 JC Penney 250,500 19,374 Johnson Controls 73,041 5,940 Jones Apparel Group 144,600 4,859 KB Home 5,000 259 Kohl's (B)* 206,700 14,386 Lennar, Cl A 7,200 378 Limited Brands 103,000 3,264 Liz Claiborne 42,500 1,817 Lowe's 377,064 11,372 Marriott International, Cl A (B) 544,694 24,593 Mattel 83,100 1,824 McDonald's 524,832 22,027 McGraw-Hill 42,400 2,826 Newell Rubbermaid 36,600 1,043 News, Cl A* 351,400 7,239 Nordstrom 129,026 6,325 Office Depot* 582,385 22,049 OfficeMax 106,820 5,028 Omnicom Group 8,700 889 Pool (B) 39,500 1,618 Pulte Homes 13,300 449 Sally Beauty Holdings* 5,500 51 Sears Holdings (B)* 55,100 9,451 Sherwin-Williams 34,500 2,158 Snap-On 23,100 1,097 Staples 20,600 525 Starbucks* 320,008 11,293 Starwood Hotels & Resorts Worldwide 48,900 3,138 Target 120,262 6,986 Time Warner 563,428 11,347 TJX 307,958 8,444 United Auto Group 46,005 1,080 Univision Communications, Cl A (B)* 110,800 3,943 VF 165,795 12,997 Viacom, Cl B* 248,200 9,310 Walt Disney (B) 767,231 25,357 Wendy's International (B) 101,600 3,309 Whirlpool 12,501 1,066 Yum! Brands 155,400 9,509 ---------- 465,372 ---------- CONSUMER STAPLES -- 7.3% Altria Group 824,519 69,433 Anheuser-Busch 129,625 6,158 Archer-Daniels-Midland 1,244,465 43,681 Avon Products 10,800 353 Brown-Forman, Cl B 65,900 4,577 Campbell Soup 86,700 3,301 Chiquita Brands International (B) 80,400 1,150 Clorox 100 6 -------------------------------------------------------------------------------- 12 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Coca-Cola 681,587 $ 31,919 Coca-Cola Enterprises 222,343 4,547 Colgate-Palmolive 183,522 11,938 ConAgra Foods 99,200 2,549 Costco Wholesale (B) 32,200 1,683 CVS (B) 356,155 10,247 Dean Foods (B)* 179,883 7,703 General Mills 38,400 2,148 HJ Heinz 136,800 6,081 Kellogg (B) 22,500 1,120 Kimberly-Clark 274,298 18,233 Kroger 1,295,964 27,811 Loews - Carolina 189,573 11,824 McCormick 20,200 782 Pepsi Bottling Group 157,129 4,921 PepsiCo 530,358 32,866 Procter & Gamble 1,125,457 70,667 Reynolds American (B) 317,100 20,370 Safeway 300,200 9,249 Sysco (B) 34,952 1,253 USANA Health Sciences* 5,500 266 UST (B) 70,600 3,952 Wal-Mart Stores 1,483,192 68,375 Walgreen 129,603 5,248 ---------- 484,411 ---------- ENERGY -- 7.7% Anadarko Petroleum 179,364 8,853 Apache 16,500 1,154 Baker Hughes 252,928 18,572 BJ Services 239,100 8,074 Chesapeake Energy (B) 256,300 8,722 Chevron 1,124,885 81,352 ConocoPhillips 925,001 62,253 Devon Energy 34,124 2,504 El Paso 37,300 545 EOG Resources 13,300 938 Exxon Mobil 2,441,430 187,526 Halliburton 345,428 11,655 Hess (B) 18,000 905 Kinder Morgan 16,034 1,683 Marathon Oil 273,912 25,852 Murphy Oil 4,200 228 Nabors Industries (B)* 249,030 8,407 National Oilwell Varco* 7,900 525 Noble 5,500 425 Occidental Petroleum 338,477 17,039 Peabody Energy 30,300 1,394 Rowan 6,500 234 Schlumberger 398,068 27,260 Smith International (B) 13,400 568 Sunoco (B) 82,758 5,641 Tidewater (B) 44,300 2,451 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Transocean (B)* 80,300 $ 6,259 Valero Energy 304,700 16,780 Weatherford International (B)* 79,900 3,588 XTO Energy 16,900 855 ---------- 512,242 ---------- FINANCIALS -- 18.0% A.G. Edwards (B) 97,798 5,658 ACE 145,043 8,244 Allstate 317,247 20,139 AMBAC Financial Group 15,200 1,302 American Express 263,617 15,480 American Home Mortgage Investment+ (B) 33,100 1,171 American International Group 547,316 38,487 AmeriCredit* 11,200 263 Ameriprise Financial 63,736 3,448 AON (B) 271,134 9,674 Apartment Investment & Management, Cl A+ 83,100 4,790 Archstone-Smith Trust+ 142,700 8,559 Ashford Hospitality Trust+ (B) 58,500 768 Bank of America 2,439,951 131,391 Bank of New York 81,500 2,896 BB&T 97,900 4,211 Bear Stearns (B) 80,411 12,261 Boston Properties+ (B) 67,100 7,854 Capital One Financial (B) 27,900 2,173 CB Richard Ellis Group, Cl A* 29,200 962 Charles Schwab 248,900 4,565 Chicago Mercantile Exchange Holdings 18,400 9,855 Chubb 266,700 13,804 Cincinnati Financial 9,600 425 CIT Group 28,900 1,503 Citigroup 2,578,789 127,882 CNA Financial* 20,373 784 Comerica 61,500 3,582 Commerce Bancorp (B) 3,900 136 Compass Bancshares 47,000 2,686 Countrywide Financial 207,184 8,229 E*Trade Financial* 201,000 4,838 Equity Office Properties Trust+ (B) 53,100 2,559 Equity Residential+ 102,400 5,454 Fannie Mae 347,723 19,831 Federated Investors, Cl B 6,800 226 FelCor Lodging Trust+ 8,500 187 Fieldstone Investment+ 8,600 48 First Cash Financial Services* 30,400 621 Franklin Resources 64,409 6,875 Freddie Mac 53,617 3,601 Genworth Financial, Cl A 76,400 2,506 Goldman Sachs Group 194,303 37,850 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 13 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Disciplined Equity Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Hartford Financial Services Group 226,861 $ 19,456 Hospitality Properties Trust+ (B) 9,500 477 Host Hotels & Resorts+ (B) 843,446 21,272 JPMorgan Chase (B) 2,105,443 97,440 Keycorp 161,500 5,830 Kimco Realty+ 117,600 5,454 KKR Financial+ (B)* 74,400 1,991 Legg Mason 6,500 620 Lehman Brothers Holdings 331,384 24,413 Lincoln National (B) 34,092 2,168 Loews 834,573 33,316 Luminent Mortgage Capital+ 25,200 260 M&T Bank 8,200 973 Marshall & Ilsley 5,900 270 MBIA 5,600 390 Mellon Financial 36,000 1,448 Merrill Lynch 708,657 61,958 Metlife (B) 694,881 40,810 MGIC Investment 114,400 6,631 Moody's 209,170 14,533 Morgan Stanley 446,069 33,973 National City (B) 159,616 5,762 Newcastle Investment+ 12,700 380 North Fork Bancorporation 19,679 552 Northern Trust 18,600 1,059 PMI Group 16,800 728 PNC Financial Services Group 172,077 12,164 Principal Financial Group 47,800 2,760 Progressive 44,696 1,008 Prologis+ 70,800 4,614 Prudential Financial 154,500 12,589 Public Storage+ (B) 150,874 14,526 Radian Group 4,000 213 Regions Financial 229,667 8,417 Safeco 122,251 7,405 Simon Property Group+ 54,781 5,587 SLM 76,800 3,520 Sovereign Bancorp 12,285 307 Spirit Finance+ 23,900 292 St. Paul Travelers 314,200 16,279 State Street 36,800 2,286 SunTrust Banks 66,400 5,422 Synovus Financial 7,700 231 T Rowe Price Group 157,328 6,817 Torchmark 9,200 582 Transatlantic Holdings 2,630 163 UnumProvident 10,800 221 US Bancorp 827,721 27,845 Vornado Realty Trust+ (B) 45,900 5,788 Wachovia 1,080,787 58,568 Washington Mutual (B) 778,208 33,992 Wells Fargo 1,138,801 40,131 WR Berkley (B) 228,354 8,017 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Zions Bancorporation 16,900 $ 1,322 ---------- 1,201,008 ---------- HEALTH CARE -- 9.4% Abbott Laboratories 394,416 18,403 Aetna 196,088 8,100 Allergan 28,400 3,311 AmerisourceBergen 482,864 22,207 Amgen* 238,903 16,962 Applera - Applied Biosystems Group 163,700 5,965 Barr Pharmaceuticals* 5,100 261 Baxter International 224,428 10,041 Becton Dickinson 149,100 10,693 Biogen Idec* 59,700 3,120 Biomet 7,200 272 Bristol-Myers Squibb 142,447 3,537 C.R. Bard 30,404 2,502 Cardinal Health 495,561 32,023 Caremark Rx 275,796 13,045 Celgene* 58,900 3,283 Cigna 36,109 4,552 Coventry Health Care* 12,750 614 Cytyc* 9,600 252 Eli Lilly 321,319 17,220 Express Scripts* 284,855 19,427 Forest Laboratories* 35,100 1,709 Genentech* 95,917 7,841 Genzyme* 6,200 399 Gilead Sciences* 150,900 9,953 Health Net* 148,245 6,840 Henry Schein (B)* 54,684 2,818 Hospira* 1,800 59 Humana (B)* 433,842 23,471 Idexx Laboratories* 3,300 279 IMS Health 28,300 777 Johnson & Johnson 1,644,895 108,415 King Pharmaceuticals (B)* 201,100 3,324 Laboratory of America Holdings (B) 78,500 5,558 Lincare Holdings (B)* 48,100 1,812 Manor Care (B) 74,300 3,531 McKesson 543,695 26,859 Medco Health Solutions 507,376 25,475 Medtronic 112,149 5,846 Merck 666,994 29,688 Millipore (B)* 8,500 582 Mylan Laboratories (B) 9,700 197 PerkinElmer 28,300 613 Pfizer (B) 2,291,628 62,997 Quest Diagnostics (B) 27,300 1,452 Schering-Plough 135,800 2,989 St. Jude Medical* 10,100 376 Stryker 11,800 612 -------------------------------------------------------------------------------- 14 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Thermo Electron* 233,700 $ 10,243 UnitedHealth Group 420,522 20,639 Waters* 80,300 4,018 WellPoint* 217,896 16,488 Wyeth 939,037 45,337 Zimmer Holdings* 9,500 693 ---------- 627,680 ---------- INDUSTRIALS -- 9.2% 3M 176,744 14,398 Acuity Brands 26,100 1,375 Allied Waste Industries (B)* 196,600 2,493 American Power Conversion 16,500 501 American Standard 8,200 367 AMR* 243,377 7,778 Avery Dennison 3,400 229 Boeing 611,266 54,115 Burlington Northern Santa Fe 158,700 11,928 Caterpillar 755,528 46,865 Ceradyne* 35,200 1,859 Cintas 5,100 215 Con-way 7,100 327 Cooper Industries, Cl A 40,443 3,698 CSX 243,300 8,725 Cummins 55,960 6,711 Danaher (B) 25,600 1,872 Deere 20,900 2,006 Dover 119,100 5,991 Eaton 34,400 2,652 Emerson Electric 217,715 18,876 FedEx (B) 121,065 13,975 Flowserve (B)* 41,284 2,223 Fluor (B) 41,828 3,642 Gardner Denver* 43,400 1,660 General Dynamics 92,600 6,930 General Electric 3,071,823 108,374 Goodrich 6,200 279 Herman Miller 50,800 1,784 Honeywell International 996,326 42,822 Illinois Tool Works 25,800 1,218 Ingersoll-Rand, Cl A 209,566 8,175 ITT Industries 4,100 221 Jacobs Engineering Group* 97,527 8,180 John H. Harland 5,300 227 L-3 Communications Holdings 89,900 7,394 Lockheed Martin 297,733 26,930 Masco 20,000 574 Monster Worldwide* 30,100 1,314 NCI Building Systems* 7,800 430 Norfolk Southern 203,000 9,998 Northrop Grumman 246,748 16,515 Paccar (B) 112,213 7,327 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Parker Hannifin 5,800 $ 484 Raytheon 153,800 7,850 Regal-Beloit 8,900 455 Robert Half International 12,984 501 Rockwell Automation 88,362 5,751 Rockwell Collins 32,600 1,967 RR Donnelley & Sons 73,800 2,603 Ryder System (B) 83,800 4,372 Southwest Airlines 177,000 2,781 Terex (B)* 155,074 8,687 Textron 79,800 7,776 Thomas & Betts* 22,900 1,188 Tyco International 1,374,453 41,632 Union Pacific 269,822 24,424 United Parcel Service, Cl B 217,250 16,928 United Technologies 324,344 20,930 Waste Management 118,700 4,346 WW Grainger 3,000 217 ---------- 616,065 ---------- INFORMATION TECHNOLOGY -- 11.0% Adobe Systems* 11,700 470 Advanced Micro Devices* 76,262 1,645 Agere Systems* 43,942 787 Agilent Technologies* 335,800 10,692 Altera* 14,500 288 Analog Devices 126,100 4,101 Apple Computer* 177,730 16,294 Applied Materials (B) 566,600 10,187 Ariba (B)* 99,400 751 Arrow Electronics* 525,785 16,699 ATMI (B)* 63,700 2,071 Autodesk* 7,600 313 Automatic Data Processing 230,453 11,115 Avaya* 16,300 208 Avnet* 350,122 8,680 Avocent* 29,600 1,029 BMC Software (B)* 229,500 7,473 Broadcom, Cl A* 16,250 533 CA 15,600 339 Cadence Design Systems* 41,000 754 Ciena* 27,300 686 Cisco Systems* 1,175,280 31,592 Citrix Systems* 141,700 4,072 Cognizant Technology Solutions, Cl A* 20,500 1,672 Computer Sciences* 60,100 3,137 Convergys* 121,800 2,938 Corning* 530,200 11,431 DealerTrack Holdings* 13,900 380 Dell* 200,876 5,472 Digital Insight* 15,300 584 Electronic Arts* 6,600 369 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 15 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Disciplined Equity Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Electronic Data Systems 749,049 $ 20,329 EMC* 339,700 4,453 Fidelity National Information Services 18,900 754 First Data 34,403 869 Fiserv* 190,400 9,731 Freescale Semiconductor, Cl B (B)* 331,969 13,256 Google, Cl A (B)* 88,286 42,812 Hewlett-Packard 1,910,438 75,386 Ingram Micro, Cl A* 284,047 5,789 Intel 695,085 14,840 Internap Network Services* 24,500 477 International Business Machines 966,142 88,808 Interwoven* 15,700 222 Intuit* 122,400 3,853 Itron (B)* 21,700 1,041 Jabil Circuit* 12,000 340 Juniper Networks* 18,800 400 Kla-Tencor 4,000 207 Lam Research* 5,600 295 Lexmark International, Cl A (B)* 94,400 6,512 LSI Logic* 19,500 208 Lucent Technologies* 147,400 376 Maxim Integrated Products 8,700 274 MEMC Electronic Materials* 4,500 179 Micron Technology (B) 272,200 3,974 Microsoft 2,951,418 86,565 MicroStrategy, Cl A (B)* 47,100 5,580 Molex 117,900 3,773 Motorola 1,721,048 38,156 National Semiconductor 23,978 580 NCR* 406,530 17,444 Network Appliance (B)* 114,800 4,501 Novellus Systems (B)* 274,600 8,573 Nvidia (B)* 312,200 11,548 Oracle* 1,320,116 25,148 Parametric Technology* 19,000 368 Paychex 10,600 418 QLogic* 213,600 4,753 Qualcomm 624,252 22,841 RealNetworks (B)* 28,800 331 Sabre Holdings, Cl A 36,900 1,012 SanDisk (B)* 27,300 1,212 SonicWALL* 129,700 1,303 Symantec (B)* 75,000 1,590 Symbol Technologies 109,000 1,615 Synopsys* 13,600 347 Tech Data (B)* 35,452 1,483 Technitrol 1,600 44 Tektronix 21,000 642 Tellabs* 129,900 1,304 Texas Instruments 351,961 10,400 Travelzoo (B)* 61,600 1,907 Valueclick (B)* 72,900 1,813 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- VeriSign* 200 $ 5 Vishay Intertechnology* 15,900 208 Websense (B)* 84,700 2,164 Western Digital* 15,400 316 Western Union 46,603 1,063 Xerox (B)* 687,309 11,341 Xilinx 300,600 8,056 Yahoo! (B)* 13,710 370 ---------- 730,921 ---------- MATERIALS -- 2.5% Air Products & Chemicals 9,800 678 Alcoa 27,300 851 Allegheny Technologies 89,200 7,997 Ashland 153,147 10,354 Bemis 31,600 1,079 Celanese, Ser A 676,667 14,887 Chaparral Steel* 16,300 758 Crown Holdings* 252,828 5,208 Dow Chemical 274,600 10,987 E.I. du Pont de Nemours 253,487 11,896 Eagle Materials 4,500 193 Eastman Chemical 11,400 677 Ecolab (B) 82,800 3,672 Freeport-McMoRan Copper & Gold, Cl B (B) 242,946 15,274 Hercules 81,000 1,509 Huntsman* 176,799 3,078 International Flavors & Fragrances 19,300 909 International Paper (B) 36,702 1,215 Monsanto 249,220 11,980 Newmont Mining 126,000 5,911 Nucor 227,000 13,586 Pactiv* 103,300 3,559 Phelps Dodge 125,500 15,436 PPG Industries 3,700 238 Praxair 11,580 723 Rohm & Haas 6,200 324 Sigma-Aldrich 4,000 304 Temple-Inland 167,000 6,530 United States Steel 56,000 4,188 Valhi 2,299 61 Vulcan Materials (B) 133,480 11,842 Weyerhaeuser 3,900 252 Wheeling-Pittsburgh* 12,600 222 ---------- 166,378 ---------- TELECOMMUNICATION SERVICES -- 2.3% Alltel 104,000 5,901 AT&T (B) 1,678,238 56,909 BellSouth 683,682 30,485 CenturyTel 123,900 5,272 -------------------------------------------------------------------------------- 16 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Citizens Communications (B) 46,400 $ 657 Qwest Communications International (B)* 1,721,547 13,239 Sprint Nextel 144,784 2,825 Telephone & Data Systems 50,417 2,605 US Cellular* 66,682 4,489 Verizon Communications 881,180 30,788 Windstream 53,813 750 ---------- 153,920 ---------- UTILITIES -- 2.4% AES (B)* 517,008 12,082 Allegheny Energy* 275,500 12,221 Ameren (B) 46,700 2,555 American Electric Power 254,100 10,548 CMS Energy (B)* 34,500 559 Consolidated Edison 4,400 212 Constellation Energy Group 4,300 295 Dominion Resources 40,700 3,286 Duke Energy 115,500 3,664 Edison International 365,379 16,800 Entergy 4,300 393 Exelon (B) 231,382 14,052 FirstEnergy 142,200 8,509 FPL Group 8,900 474 KeySpan 27,900 1,145 Peoples Energy 7,200 312 PG&E (B) 85,704 3,936 Pinnacle West Capital (B) 22,000 1,086 PPL 8,600 313 Public Service Enterprise Group (B) 168,683 11,339 Sempra Energy 81,630 4,449 Southern 4,800 174 TXU 923,435 52,996 Xcel Energy 14,200 326 ---------- 161,726 ---------- Total Common Stock (Cost $4,405,536) ($ Thousands) 5,119,723 ---------- ASSET-BACKED SECURITIES -- 9.5% MORTGAGE RELATED SECURITIES -- 9.5% Aames Mortgage Investment Trust, Ser 2005-4, Cl B2 (E) 8.070%, 12/12/06 $ 1,040 933 Ace Securities, Ser 2003-NC1, Cl M1 (E) 6.100%, 12/25/06 3,600 3,618 Ace Securities, Ser 2003-OP1, Cl M1 (E) 6.020%, 12/26/06 1,500 1,507 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Ace Securities, Ser 2005-HE7, Cl A1B2 (E) 5.620%, 12/27/06 $ 3,419 $ 3,421 Adjustable Rate Mortgage NIM Trust, Ser 2005-4, Cl A (A) 5.500%, 12/27/35 737 734 Adjustable Rate Mortgage Trust, Ser 2005-3, Cl 1A2 (E) 4.610%, 12/25/06 594 598 Aegis Asset-Backed Securities Trust, Ser 2003-3, Cl M1 (E) 6.020%, 12/25/06 317 318 American Home Mortgage Assets, Ser 2006-3, Cl M5 (E) 5.940%, 10/25/46 1,200 1,200 American Home Mortgage Investment Trust, Ser 2005-1, Cl 6A (E) 5.294%, 12/25/06 17,201 17,160 American Home Mortgage Investment Trust, Ser 2006-1, Cl 2A3 (E) 5.100%, 12/25/06 7,194 7,115 Ameriquest Mortgage Securities, Ser 2003-2, Cl M1 (E) 6.220%, 12/25/06 2,373 2,380 Argent Securities, Ser 2003-W5, Cl M1 (E) 6.020%, 12/25/06 1,000 1,011 Argent Securities, Ser 2003-W9, Cl M1 (E) 6.010%, 12/26/06 2,059 2,070 Asset-Backed Funding Certificates, Ser 2004-OPT5, Cl M1 (E) 6.070%, 12/14/06 1,000 1,003 Asset-Backed Funding NIM Trust, Ser 2005-HE2A, Cl N1 (A) 6.000%, 07/26/35 836 833 Asset-Backed Funding NIM Trust, Ser 2005-WMC1, Cl N1 (A) 5.900%, 07/26/35 190 189 Asset-Backed Securities Home Equity Loan Trust, Ser 2003-HE5, Cl M1 (E) 6.070%, 12/15/06 2,828 2,841 Asset-Backed Securities Home Equity Loan Trust, Ser 2003-HE5, Cl M2 (E) 7.220%, 12/15/06 1,600 1,616 Asset-Backed Securities Home Equity, Ser 2003-HE7, Cl M2 (E) 7.080%, 12/15/06 1,250 1,268 Banc of America Commercial Mortgage, Ser 2006-2, Cl A1 5.611%, 12/01/06 4,604 4,674 Bear Stearns Asset-Backed Securities, Ser 2006-PC1N, Cl A1 (A) 5.500%, 12/25/35 282 282 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 17 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Disciplined Equity Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Citifinancial Mortgage Securities, Ser 2004-1, Cl AF2 (H) 2.645%, 12/01/06 $ 2,949 $ 2,867 Citigroup Mortgage Loan Trust, Ser 2005-HE4, Cl A2C (E) 5.590%, 12/27/06 8,916 8,929 Commodore, Ser 2003-2A, Cl A1MM (A) (C) (E) 5.470%, 12/12/38 3,867 3,867 Countrywide Alternative Loan Trust, Ser 2004-33, Cl 1A1 (E) 4.999%, 12/01/06 4,831 4,881 Countrywide Alternative Loan Trust, Ser 2005-69, Cl M3 (E) 6.470%, 12/27/06 1,325 1,344 Countrywide Alternative Loan Trust, Ser 2005-IM1, Cl M3 (E) 7.320%, 12/27/06 1,551 1,551 Countrywide Alternative Loan Trust, Ser 2006-OA11, Cl M3 (E) 5.750%, 12/30/06 2,800 2,799 Countrywide Alternative Loan Trust, Ser 2006-OA16, Cl M5 (E) 5.870%, 08/25/36 1,205 1,204 Countrywide Asset-Backed Certificates, Ser 2003-2, Cl M2 (E) 6.970%, 12/26/06 954 967 Countrywide Asset-Backed Certificates, Ser 2004-9, Cl AF3 (E) 3.854%, 10/25/30 857 853 Countrywide Asset-Backed Certificates, Ser 2005-13N, Cl NOTE (A) 6.000%, 11/25/36 352 350 Countrywide Asset-Backed Certificates, Ser 2005-7, Cl MV8 (E) 6.770%, 12/27/06 1,350 1,366 Countrywide Asset-Backed Certificates, Ser 2006-S1, Cl A2 5.549%, 08/25/21 8,750 8,742 Countrywide Home Equity Loan Trust, Ser 2006-D, Cl 2A (E) 5.520%, 12/30/06 11,453 11,453 Countrywide Home Loans, Ser 2004-22, Cl A1 (E) 5.090%, 12/01/06 2,183 2,180 Countrywide Home Loans, Ser 2005-HY10, Cl 1A1 (E) 5.283%, 12/01/06 5,136 5,177 Countrywide Home Loans, Ser 2005-HYB9, Cl 1A1 (E) 5.150%, 12/01/06 3,076 3,071 Countrywide Home Loans, Ser 2005-HYB9, Cl 1A2 (E) 5.150%, 12/01/06 615 614 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Countrywide Home Loans, Ser 2006-OA4, Cl M4 (E) 6.140%, 12/27/06 $ 1,615 $ 1,643 Countrywide Home Loans, Ser 2006-OA4, Cl M5 (E) 6.190%, 12/27/06 1,100 1,109 Countrywide Home Loans, Ser 2006-OA5, Cl 1M4 (E) 6.370%, 12/27/06 3,168 3,184 Credit-Based Asset Servicing and Securities, Ser 2005-CB8, Cl AF1B (H) 5.451%, 12/25/06 8,018 7,984 DSLA Mortgage Loan Trust, Ser 2004-AR2, Cl B2 (E) 6.520%, 11/19/44 1,785 1,785 Duke Funding, Ser 2004-6B, Cl A1S1 (A) (C) (E) 5.440%, 10/09/07 6,305 6,305 FBR Securitization Trust, Ser 2005-2, Cl M10 (E) 7.570%, 12/28/06 600 505 FBR Securitization Trust, Ser 2005-4, Cl M11 (E) 7.320%, 12/27/06 1,265 1,203 FBR Securitization Trust, Ser 2005-4, Cl M12 (E) 7.320%, 12/27/06 600 594 FBR Securitization Trust, Ser 2005-5, Cl M12 (E) 7.570%, 12/27/06 755 732 First Franklin Mortgage Loan Asset, Ser 2003-FF4, Cl M3 (E) 7.220%, 12/27/06 1,031 1,033 First Franklin Mortgage Loan Asset, Ser 2005-FF8A, Cl N1 (A) 6.500%, 09/25/35 1,268 1,260 First Franklin Mortgage Loan Asset, Ser 2005-FFH4, Cl N1 (A) 5.682%, 12/25/35 314 312 First Franklin Mortgage Loan Asset-Backed Securities, Ser 2005-FF10, Cl A4 (E) 5.640%, 12/25/06 25,000 25,064 First Franklin Mortgage Loan Asset-Backed Securities, Ser 2005-FF9, Cl A3 (E) 5.600%, 12/25/06 13,000 13,027 First Franklin Mortgage Loan, Ser 2003-FF5, Cl M6 (E) 8.820%, 12/25/06 1,930 1,950 First Horizon Alternative Mortgage Trust, Ser 2005-AA3, Cl 3A1 (E) 5.372%, 12/01/06 1,203 1,207 -------------------------------------------------------------------------------- 18 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- First Horizon Alternative Mortgage Trust, Ser 2006-AA6, Cl 2A1 (E) 5.750%, 12/01/06 $ 27,809 $ 27,962 First Horizon Asset Securities, Ser 2006-AR3, Cl 1A1 (E) 5.915%, 12/01/06 7,605 7,631 GE-WMC Mortgage Securities NIM Trust, Ser 2005-2A, Cl N1 (A) 5.500%, 01/25/36 129 129 GMAC Mortgage Loan Trust, Ser 2006-HE1, Cl A (E) 5.530%, 12/25/06 21,800 21,805 GS Mortgage Securities, Ser 2006-GG6, Cl AM (E) 5.622%, 04/10/38 21,000 21,692 GSAA Home Equity Trust, Ser 2006-3N, Cl N1 (A) 5.750%, 03/25/36 304 303 GSAA Home Equity Trust, Ser NI, Cl M9 (A) 6.500%, 10/25/35 1,986 1,994 GSAMP Trust, Ser 2005-WM2N, Cl N (A) 5.500%, 11/25/35 866 857 HSI Asset Securitization Trust, Ser 2005-I1, Cl 2A3 (E) 5.610%, 12/27/06 17,700 17,743 HSI Asset Securitization Trust, Ser 2005-NC1, Cl 2A4 (E) 5.640%, 12/25/06 3,347 3,348 Holmes Financing, Ser 2006-10A, Cl 1C (E) 5.738%, 01/16/07 3,250 3,250 Home Equity Asset Trust, Ser 2003-4, Cl M2 (E) 7.220%, 12/25/06 2,085 2,093 Home Equity Asset Trust, Ser 2004-6N, Cl A (A) 5.250%, 01/27/35 1,213 1,195 Home Equity Asset Trust, Ser 2004-7N, Cl A (A) 4.500%, 02/27/35 1,618 1,591 Home Equity Asset Trust, Ser 2005-5N, Cl A (A) 5.500%, 12/27/35 1,689 1,649 Home Equity Asset Trust, Ser 2005-6N, Cl A (A) 6.000%, 01/27/36 650 640 Home Equity Asset Trust, Ser 2005-7N, Cl A (A) 6.500%, 02/27/36 930 922 Home Equity Asset Trust, Ser 2006-1N, Cl 1A (A) 6.500%, 05/27/36 581 577 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Home Equity Mortgage Trust, Ser 2006-5, Cl A1 (H) 5.500%, 01/25/37 $ 21,549 $ 21,569 IMPAC CMB Trust, Ser 2004-10, Cl 4M1 (E) 5.920%, 03/25/35 2,543 2,553 IMPAC NIM Trust, Ser 2006-1, Cl N (A) 6.000%, 03/25/36 513 513 Impac Secured Assets CMO Owners Trust, Ser 2006-3, Cl A4 (E) 5.414%, 12/27/06 18,872 18,875 Indymac Index Mortgage Loan Trust, Ser 2005-AR2, Cl 1A1 (E) 4.909%, 12/01/06 1,364 1,381 Indymac Index Mortgage Loan Trust, Ser 2006-AR12, Cl M2 (E) 5.870%, 09/25/46 1,270 1,266 Indymac Index Mortgage Loan Trust, Ser 2006-AR2, Cl M6 (E) 7.070%, 04/25/46 1,325 1,346 Indymac Index Mortgage Loan Trust, Ser 2006-AR2, Cl M9 (E) 7.070%, 12/25/06 1,150 977 Indymac Index Mortgage Loan Trust, Ser 2006-AR4, Cl M4 (E) 6.020%, 12/25/06 940 944 JPMorgan Mortgage Acquisition, Ser 2006-RM1, Cl A2 (E) 5.400%, 12/27/06 4,587 4,587 JPMorgan Mortgage Acquistion, Ser 2006-WF1, Cl A1B (E) 5.092%, 12/31/06 7,838 7,838 Lehman XS NIM Trust, Ser 2005-5N, Cl A (A) 7.000%, 11/28/35 995 991 Lehman XS Trust, Ser 2005-5N, Cl M3 (E) 6.320%, 12/25/06 2,424 2,455 Lehman XS Trust, Ser 2005-5N, Cl M4 (E) 7.070%, 12/31/06 3,000 2,916 Lehman XS Trust, Ser 2005-7N, Cl M51 (E) 6.570%, 12/25/35 620 629 Lehman XS Trust, Ser 2005-7N, Cl M7I (E) 7.070%, 12/27/06 1,350 1,301 Lehman XS Trust, Ser 2005-9N, Cl M4 (E) 6.720%, 12/30/06 936 960 Lehman XS Trust, Ser 2005-9N, Cl M6 (E) 7.070%, 12/30/06 2,300 2,315 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 19 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Disciplined Equity Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Lehman XS Trust, Ser 2006-11, Cl M10 (E) 7.320%, 12/25/06 $ 1,145 $ 940 Lehman XS Trust, Ser 2006-12N, Cl M4 (E) 5.870%, 08/25/46 1,475 1,475 Lehman XS Trust, Ser 2006-12N, Cl M5 (E) 5.920%, 08/25/46 815 815 Lehman XS Trust, Ser 2006-2N, Cl M5 (E) 6.470%, 12/27/06 1,221 1,238 Long Beach Asset Holdings, Ser 2005-WL1, Cl N1 (A) 5.193%, 06/25/45 728 724 Long Beach Asset Holdings, Ser 2006-2, Cl N1 (A) 5.780%, 04/25/46 411 408 Long Beach Mortgage Loan Trust, Ser 2006-WL1, Cl 1A3 (E) 5.650%, 12/27/06 3,846 3,857 Master Asset-Backed Securities NIM Trust, Ser 2006-CI13, Cl N1 (A) 7.000%, 12/25/35 1,359 1,322 Master Asset-Backed Securities Trust, Ser 2002-OPT1, Cl M1 (E) 6.470%, 12/27/06 607 608 Master Asset-Backed Securities Trust, Ser 2003-WMC2, Cl M1 (E) 6.020%, 12/27/06 1,512 1,512 Merrill Lynch Mortgage Investors, Ser 2005-AR1N, Cl N1 (A) 5.000%, 06/25/36 1,583 1,570 Merrill Lynch Mortgage Investors, Ser 2005-NCB, Cl A1A (E) 5.451%, 12/01/06 2,717 2,705 Merrill Lynch Mortgage Investors, Ser 2006-1, Cl 1A (E) 5.350%, 02/25/36 12,725 12,618 Merrill Lynch Mortgage Investors, Ser 2006-MLN1, Cl A2A (E) 5.394%, 12/29/06 5,431 5,431 Merrill Lynch Mortgage Investors, Ser 2006-RM4, Cl A2A (E) 5.400%, 12/27/06 8,309 8,308 Morgan Stanley Capital I, Ser 2003-NC10, Cl M1 (E) 6.000%, 12/27/06 2,483 2,491 Morgan Stanley Capital I, Ser 2003-NC10, Cl M2 (E) 7.120%, 12/26/06 2,050 2,062 Morgan Stanley Capital I, Ser 2003-NC8, Cl M3 (E) 7.420%, 12/25/06 475 480 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Morgan Stanley Dean Witter Capital I, Ser 2003-NC1, Cl M2 (E) 7.370%, 12/27/06 $ 2,520 $ 2,524 Morgan Stanley Dean Witter Capital I, Ser 2003-NC4, Cl M2 (E) 7.320%, 12/25/06 931 932 National Collegiate Student Loan Trust, Ser 2003-3, Cl C (E) 5.819%, 12/28/06 5,650 5,650 New Century Home Equity Loan Trust, Ser 2004-A, Cl AII3 (E) 4.450%, 12/01/06 2,877 2,859 Newcastle CDO, Ser 2005-6A, Cl IM1 (A) (C) (E) 5.340%, 04/24/07 1,681 1,681 Option One Mortgage Loan Trust, Ser 2003-5, Cl M1 (E) 5.970%, 12/23/06 1,800 1,806 Option One Mortgage Loan Trust, Ser 2006-1, Cl M10 (A) (E) 7.820%, 12/27/06 200 174 Option One Mortgage Loan Trust, Ser 2006-1, Cl M11 (A) (E) 7.820%, 12/27/06 410 390 Option One Mortgage Securities, Ser 2005-3A, Cl N1 (A) 5.438%, 08/26/35 858 854 Ownit Mortgage Loan Asset-Backed Securities Trust, Ser 2006-1, Cl AF1 (H) 5.424%, 12/25/36 10,817 10,763 Ownit Mortgage Loan NIM Trust, Ser 2005-4N, Cl N1 (A) 5.000%, 08/25/36 3,494 3,455 Ownit Mortgage Loan NIM Trust, Ser 2005-5A, Cl N1 (A) 5.500%, 10/25/36 295 293 Park Place Securities NIM Trust, Ser 2004-MM1, Cl MM1 (C) (E) 5.350%, 02/26/07 2,497 2,497 People's Financial Realty Mortgage Security, Ser 2006-1, Cl B1 (E) 7.820%, 12/03/06 1,315 1,290 Residential Accredit Loans, Ser 2006-Q01, Cl 2A3 (E) 5.720%, 12/27/06 2,137 2,142 Residential Accredit Loans, Ser 2006-Q04, Cl N1 (A) 6.048%, 04/25/46 1,168 1,163 Residential Accredit Loans, Ser 2006-Q06, Cl M5 (E) 5.820%, 12/29/06 2,000 1,992 Residential Asset Mortgage Products, Ser 2006-RZ4, Cl A1 (A) (E) 5.410%, 12/25/06 13,838 13,837 -------------------------------------------------------------------------------- 20 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Residential Asset Mortgage Products, Ser 2006-RZ4, Cl M9 (A) (E) 7.475%, 12/25/06 $ 670 $ 666 Residential Asset Securities, Ser 2003-KS4, Cl AI4 3.490%, 02/25/31 2,944 2,929 Residential Asset Securities, Ser 2005-KS8, Cl A3 (E) 5.580%, 08/25/35 1,375 1,378 Residential Asset Securitization Trust, Ser 2004-IP2, Cl 3A1 (E) 5.274%, 12/25/06 10,484 10,534 Resmae Mortgage Loan Trust, Ser 2006-1, Cl A2A (A) (E) 5.420%, 12/25/06 6,799 6,798 Resmae Mortgage Loan Trust, Ser 2006-1, Cl A2B (A) (E) 5.470%, 12/25/06 5,900 5,901 SB Finance NIM Trust, Ser 2005-HE3, Cl 2N1 (A) 5.000%, 06/25/35 1,897 1,882 SB Finance NIM Trust, Ser 2005-HE3, Cl N1 (A) 4.750%, 09/25/35 2,504 2,483 SB Finance NIM Trust, Ser 2006-KS4N, Cl N1 (A) 7.500%, 06/25/36 650 649 SLM Student Loan Trust, Ser 2006-C, Cl C (E) 5.754%, 12/28/06 5,400 5,341 Saco I Trust, Ser 2005-10, Cl 2A1 (E) 5.580%, 12/30/06 8,276 8,291 Saco I Trust, Ser 2005-9, Cl A1 (E) 5.570%, 12/27/06 9,341 9,343 Saco I Trust, Ser 2005-WM3, Cl A1 (E) 5.580%, 12/27/06 7,708 7,710 Sail NIM Notes, Ser 2004-2A, Cl A (A) 5.500%, 03/27/34 1,166 406 Sail NIM Notes, Ser 2005-11A, Cl A (A) 7.500%, 01/27/36 1,089 708 Sasco NIM Trust, Ser 2005-WF3A, Cl A (A) 4.750%, 07/27/35 189 188 Saturn Ventures II (A) (C) (E) 5.380%, 02/07/07 6,769 6,769 Sharps SP I LLC NIM Trust, Ser 2005-HE3N, Cl N (A) 5.000%, 05/25/35 928 927 Sharps SP I LLC NIM Trust, Ser 2005-HE5N, Cl A1 (A) 5.800%, 08/25/35 2,067 1,943 Sharps SP I LLC NIM Trust, Ser 2005-WF1N, Cl NA (A) 6.150%, 05/25/35 1,469 1,447 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Soundview Home Equity Loan Trust, Ser 2005-OPT4, Cl M8 (E) 7.820%, 12/25/06 $ 850 $ 772 Soundview NIM Trust, Ser 2005-OPT4, Cl N1 (A) 5.682%, 12/25/35 120 119 Structured Adjustable Rate Mortgage Loan, Ser 2005-16XS, Cl M2 (E) 6.220%, 12/25/06 2,841 2,860 Structured Asset Investment Loan, Ser 2003-BC4, Cl M2 (E) 8.320%, 12/25/06 400 401 Structured Asset Investment Loan, Ser 2005-4, Cl M11 (E) 7.820%, 12/25/06 1,040 972 Structured Asset Mortgage Investments, Ser 2006-AR1, Cl B4 (E) 6.270%, 12/27/06 785 793 Structured Asset Mortgage Investments, Ser 2006-AR1, Cl B5 (E) 6.370%, 12/27/06 515 521 Structured Asset Securities, Ser 2004-19XS, Cl A2 (H) 4.370%, 12/01/06 3,076 3,045 Structured Asset Securities, Ser 2005-NC1, Cl A2 (H) 3.920%, 02/25/35 1,310 1,303 TIAA Real Estate CDO, Ser 2003 1A, Cl A1MM (A) (C) (E) 5.350%, 09/28/07 6,251 6,251 Terwin Mortgage Trust, Ser 2006-2HGS, Cl A1 (A) (E) 4.500%, 03/25/37 22,901 22,688 Terwin Mortgage Trust, Ser 2006-2HGS, Cl AX (A) (E) 20.000%, 03/25/37 1,297 110 Terwin Mortgage Trust, Ser 2006-2HGS, Cl B1 (A) (E) 6.100%, 12/25/06 1,670 1,680 Terwin Mortgage Trust, Ser 2006-4SL, Cl A1 (A) (E) 4.500%, 05/25/37 22,205 22,011 Terwin Mortgage Trust, Ser 2006-4SL, Cl AX (A) (E) 20.000%, 05/25/37 4,853 327 Terwin Mortgage Trust, Ser 2006-HF1, Cl A1A (A) (E) 4.500%, 02/25/37 4,977 4,945 Wachovia Mortgage Loan Trust LLC, Ser 2005-B, Cl 1A2 (E) 4.957%, 12/01/06 778 779 Wells Fargo Home Equity Trust, Ser 2004-2, Cl A12 (E) 3.450%, 06/25/19 5,680 5,649 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 21 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Disciplined Equity Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Wells Fargo Home Equity Trust, Ser 2004-2, Cl M8A (A) (E) 8.330%, 12/28/06 $ 1,200 $ 1,184 ---------- Total Asset-Backed Securities (Cost $630,320) ($ Thousands) 630,249 ---------- U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 5.0% FHLMC (J) 4.000%, 05/01/21 5,098 4,848 FHLMC ARM 5.815%, 02/01/36 8,462 8,545 5.572%, 10/01/35 1,794 1,795 FNMA 5.500%, 06/01/20-05/01/21 33,628 33,820 FNMA ARM 5.581%, 05/01/36 12,475 12,565 5.524%, 01/01/36 2,537 2,546 5.504%, 05/01/36 4,827 4,858 FNMA TBA 6.500%, 01/01/32 7,000 7,140 6.000%, 12/01/18 21,000 21,374 5.500%, 12/01/20 137,000 137,728 5.000%, 12/01/18 48,000 47,550 GNMA ARM 5.000%, 02/20/35-03/20/35 (J) 1,892 1,898 4.875%, 11/20/30 698 698 4.750%, 02/20/32 879 877 4.500%, 08/20/32-03/20/36 (J) 3,443 3,453 4.375%, 06/20/23-06/20/33 1,429 1,436 4.250%, 04/20/34 495 490 4.000%, 06/20/35-05/20/36 (J) 17,045 16,982 3.750%, 12/20/33-03/20/34 19,670 19,358 3.500%, 10/20/35-11/20/35 3,005 2,958 3.000%, 04/20/35 1,155 1,136 ---------- Total U.S. Government Mortgage-Backed Obligations (Cost $329,740) ($ Thousands) 332,055 ---------- CORPORATE OBLIGATIONS -- 4.6% CONSUMER DISCRETIONARY -- 0.1% COX Communications 4.625%, 06/01/13 2,035 1,938 Comcast 5.300%, 01/15/14 2,545 2,519 Omnicon Group 5.900%, 04/15/16 1,130 1,162 Time Warner 6.875%, 05/01/12 2,035 2,173 ---------- 7,792 ---------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- ENERGY -- 0.0% Kinder Morgan Energy Partners 5.000%, 12/15/13 $ 2,035 $ 1,960 ---------- FINANCIALS -- 4.3% Allstate Life Global Funding II MTN (A) (C) (E) 5.360%, 12/17/07 3,867 3,867 American General Finance (A) (C) (E) 5.350%, 12/17/07 12,189 12,188 Bear Stearns EXL (C) (E) 5.360%, 12/17/07 14,963 14,963 CIT Group 5.000%, 02/13/14 2,715 2,656 Countrywide Financial MTN (C) (E) 5.448%, 10/31/07 17,653 17,653 Credit Suisse First Boston USA 6.500%, 01/15/12 1,355 1,438 Dekabank (A) (C) (E) 5.394%, 11/20/07 15,551 15,550 Genworth Financial 5.750%, 06/15/14 2,035 2,107 Goldman Sachs Group 5.500%, 11/15/14 4,070 4,124 Household Finance 6.375%, 10/15/11 2,035 2,147 Irish Life & Permanent MTN, Ser X (A) (C) (E) 5.360%, 12/21/07 11,180 11,179 Islandsbanki (A) (C) (E) 5.370%, 04/06/07 19,755 19,755 JPMorgan Chase 5.125%, 09/15/14 2,035 2,022 Jackson National Life Funding (A) (C) (E) 5.320%, 12/03/07 18,494 18,494 Kaupthing Bank MTN (A) (C) (E) 5.380%, 03/20/07 21,016 21,016 Landsbanki Islands (A) (C) (E) 5.400%, 03/16/07 15,972 15,972 Lehman Brothers Holdings MTN 5.500%, 04/04/16 2,035 2,061 Merrill Lynch 6.050%, 05/16/16 2,050 2,153 Morgan Stanley 4.750%, 04/01/14 2,035 1,969 Morgan Stanley EXL (C) (E) 5.380%, 01/04/08 2,942 2,942 Morgan Stanley EXL, Ser S (C) (E) 5.340%, 12/05/07 4,203 4,203 Natexis Banques (A) (C) (E) 5.300%, 12/17/07 8,196 8,195 -------------------------------------------------------------------------------- 22 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Nationwide Building Society (A) (C) (E) 5.424%, 10/26/07 $ 4,623 $ 4,624 5.350%, 12/07/07 8,406 8,406 Nordbank (A) (C) (E) 5.350%, 12/24/07 14,291 14,289 Northern Rock (A) (C) (E) 5.360%, 12/03/07 8,658 8,658 Pacific Life Global Funding (A) (C) (E) 5.370%, 12/13/07 6,305 6,305 Premium Asset Trust, Ser 2004-10 (A) (C) (E) 5.360%, 12/17/07 11,769 11,769 Residential Capital 6.875%, 06/30/15 335 358 6.500%, 04/17/13 3,180 3,299 6.000%, 02/22/11 900 912 SLM EXL, Ser S (A) (C) (E) 5.320%, 12/17/07 9,247 9,247 Shinsei Finance Cayman (A) (E) 6.418%, 01/29/49 2,235 2,271 Simon Property Group+ 5.750%, 12/01/15 1,355 1,402 5.600%, 09/01/11 1,150 1,171 Skandinav Enskilda Bank (A) (C) (E) 5.320%, 12/18/07 9,247 9,246 Stanfield Victoria MTN (A) (C) 5.445%, 06/11/07 8,406 8,406 Wachovia 5.300%, 10/15/11 4,220 4,263 4.875%, 02/15/14 1,355 1,326 Washington Mutual Preferred Funding (A) (E) 6.534%, 03/15/49 2,500 2,479 istar Financial, Ser 1+ 5.875%, 03/15/16 1,355 1,365 ---------- 286,450 ---------- HEALTH CARE -- 0.1% Aetna 5.750%, 06/15/11 2,035 2,082 Teva Pharmaceutical Finance 5.550%, 02/01/16 2,035 2,029 Wellpoint 6.800%, 08/01/12 1,355 1,455 ---------- 5,566 ---------- INDUSTRIALS -- 0.0% Lafarge 6.150%, 07/15/11 1,245 1,286 ---------- -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES -- 0.0% Embarq 6.738%, 06/01/13 $ 1,015 $ 1,055 ---------- UTILITIES -- 0.1% Dominion Resources 4.750%, 12/15/10 1,355 1,336 Exelon Generation 6.950%, 06/15/11 2,035 2,164 ---------- 3,500 ---------- Total Corporate Obligations (Cost $305,387) ($ Thousands) 307,609 ---------- CASH EQUIVALENTS -- 5.2% First Union Cash Management Program, 5.221%** 2,355,769 2,356 SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.300%** 345,625,844 345,626 UBS Margin Deposit 138,126 138 ---------- Total Cash Equivalents (Cost $348,120) ($ Thousands) 348,120 ---------- COMMERCIAL PAPER (D) -- 4.1% FINANCIALS -- 4.1% AIG Fund 5.240%, 12/08/06 20,000 19,980 Bank of America 5.240%, 12/01/06 30,000 30,000 Bank of America Commercial 5.240%, 12/04/06 10,000 9,996 Broadhollow Funding (C) 5.305%, 12/07/06 4,707 4,703 Dreyfus Financial 5.245%, 12/01/06 25,000 25,000 GE Capital 4.850%, 12/01/06 15,000 15,000 HSBC Funding 5.230%, 12/05/06 30,000 29,983 KKR Pacific Funding Trust (C) 5.345%, 12/27/06 8,406 8,374 5.305%, 01/02/07 4,203 4,183 Morgan Stanley Dean Witter 5.250%, 12/07/06 20,000 19,982 5.250%, 12/11/06 30,000 29,956 Ocala Funding LLC (C) 5.320%, 12/18/06 4,203 4,193 5.320%, 01/26/07 4,203 4,168 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 23 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Disciplined Equity Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Prudential 5.220%, 12/01/06 $ 10,000 $ 10,000 Rhineland Funding Capital (C) 5.385%, 01/25/07 5,296 5,253 5.364%, 12/27/06 4,203 4,187 5.364%, 02/13/07 4,161 4,116 5.313%, 12/12/06 2,767 2,762 Toyota 5.230%, 12/13/06 15,000 14,974 UBS Finance 5.290%, 12/01/06 10,000 10,000 Witherspoon Funding Limited (C) 5.329%, 12/15/06 4,203 4,194 Witherspoon Funding, Ser 2004-1A (C) 5.330%, 03/15/07 7,255 7,255 ---------- Total Commercial Paper (Cost $268,259) ($ Thousands) 268,259 ---------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 1.3% FHLMC CMO STRIPS, Ser 232, Cl IO, IO 5.000%, 08/01/35 8,706 1,960 FHLMC CMO STRIPS, Ser 233, Cl 12, IO 5.000%, 09/15/35 5,495 1,328 FHLMC CMO STRIPS, Ser 233, Cl 6, IO 4.500%, 08/15/35 827 206 FHLMC (I) 5.125%, 02/06/07 27,000 26,742 5.180%, 03/30/07 2,750 2,704 1.150%, 07/02/07 600 582 0.000%, 02/28/07 4,200 4,147 FNMA CMO STRIPS, Ser 359, Cl 6, IO 5.000%, 11/01/35 1,298 287 FNMA CMO STRIPS, Ser 360, Cl 2, IO 5.000%, 08/01/35 109,268 24,613 FNMA CMO STRIPS, Ser 365, Cl 2, IO 5.000%, 03/01/36 3,705 841 FNMA CMO STRIPS, Ser 365, Cl 4, IO 5.000%, 04/01/36 4,441 988 FNMA CMO STRIPS, Ser 369, Cl 1, IO 5.000%, 10/01/36 1,988 459 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)/Shares/Contracts ($ Thousands) -------------------------------------------------------------------------------- FNMA (I) 5.145%, 03/30/07 $ 2,000 $ 1,966 5.235%, 07/02/07 22,000 21,350 ---------- Total U.S. Government Agency Obligations (Cost $91,232) ($ Thousands) 88,173 ---------- U.S. TREASURY OBLIGATIONS -- 0.7% U.S. Treasury Bills (D) (G) 4.872%, 12/14/06 350 349 4.880%, 02/22/07 15,938 15,758 U.S. Treasury Bond 2.375%, 04/15/11 29,562 29,725 ---------- Total U.S. Treasury Obligations (Cost $45,686) ($ Thousands) 45,832 ---------- MASTER NOTE (C) (D) -- 0.3% Bank of America 5.383%, 12/01/45 21,015 21,015 ---------- Total Master Note (Cost $21,015) ($ Thousands) 21,015 ---------- CERTIFICATES OF DEPOSIT (C) -- 0.2% Barclays Bank (E) 5.330%, 06/11/07 4,203 4,203 CC USA MTN (A) 5.379%, 06/18/07 8,406 8,406 U.S. Trust of New York (E) 5.316%, 03/13/07 3,363 3,363 ---------- Total Certificates of Deposit (Cost $15,972) ($ Thousands) 15,972 ---------- PREFERRED/CONVERTIBLE STOCKS -- 0.0% Home Ownership Funding (A) (F) (H)* 3,900 728 ---------- Total Preferred/Convertible Stocks (Cost $1,061) ($ Thousands) 728 ---------- PURCHASED OPTIONS -- 0.0% 120 Day Euro Futures Call, Expires 12/16/06, Strike Price $95 550 481 ---------- Total Purchased Options (Cost $429) ($ Thousands) 481 ---------- -------------------------------------------------------------------------------- 24 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS (C) (K) -- 1.4% ABN Amro 5.300%, dated 11/30/06, to be repurchased on 12/01/06, repurchase price $33,629,814 (collateralized by various U.S. Government obligations, ranging in par value $420,311- $12,609,324, 0.000%-6.000%, 03/01/07-07/01/36; with total market value $34,297,361) $ 33,625 $33,625 Barclays 5.300%, dated 11/30/06, to be repurchased on 12/01/06, repurchase price $7,156,593 (collateralized by various U.S. Government obligations, ranging in par value $156,776- $2,229,328, 2.750%-5.700%, 12/15/06-05/27/15; with total market value $7,298,763) 7,156 7,156 Deutsche Bank 5.300%, dated 11/30/06, to be repurchased on 12/01/06, repurchase price $2,862,065 (collateralized by various U.S. Government obligations, ranging in par value $797,750- $2,163,760, 0.000%-5.800%, 05/01/07-01/27/20; with total market value $2,919,079) 2,862 2,862 Lehman Brothers 5.300%, dated 11/30/06, to be repurchased on 12/01/06, repurchase price $52,077,533 (collateralized by various U.S. Government obligations, ranging in par value $4,585,000- $772,981,000, 3.085%-8.625%, 12/21/07-01/15/30; with total market value $53,111,576) 52,070 52,070 ---------- Total Repurchase Agreements (Cost $95,713) ($ Thousands) 95,713 ---------- Total Investments -- 109.1% (Cost $6,558,470) ($ Thousands) $7,273,929 ---------- -------------------------------------------------------------------------------- Market Value Description Contracts ($ Thousands) -------------------------------------------------------------------------------- WRITTEN OPTION -- 0.0% December 2006 120 Day Euro Futures Call, Expires 12/15/06, Strike Price $95 (550) $ (588) ---------- Total Written Option (Premium Received $(386)) ($ Thousands) $ (588) ---------- A summary of the open future contracts held by the Fund at November 30, 2006, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED APPRECIATION TYPE OF NUMBER OF EXPIRATION (DEPRECIATION) CONTRACT CONTRACTS DATE ($ THOUSANDS) -------------------------------------------------------------------------------- 3 Month Euro Bond (120) Mar-2007 $ 28 3 Month Euro Euribor (82) Mar-2007 12 10-Year UK Gilt (78) Mar-2007 (24) 90-Day Euro$ (474) Mar-2007 356 90-Day Euro$ (321) Mar-2008 (304) 90-Day Euro$ (276) Mar-2009 (301) 90-Day Euro$ (222) Mar-2010 (271) 90-Day Euro$ (66) Mar-2011 (85) 90-Day Euro$ (27) Jun-2007 (1) 90-Day Euro$ (276) Jun-2008 (239) 90-Day Euro$ (276) Jun-2009 (299) 90-Day Euro$ (185) Jun-2010 (203) 90-Day Euro$ 5 Jun-2011 5 90-Day Euro$ (223) Sep-2007 (47) 90-Day Euro$ (271) Sep-2008 (248) 90-Day Euro$ (276) Sep-2009 (304) 90-Day Euro$ (145) Sep-2010 (130) 90-Day Euro$ 10 Sep-2011 9 90-Day Euro$ 936 Dec-2006 102 90-Day Euro$ (321) Dec-2007 (240) 90-Day Euro$ (276) Dec-2008 (305) 90-Day Euro$ (284) Dec-2009 (309) 90-Day Euro$ (66) Dec-2010 (87) Amsterdam Exchange Index 18 Dec-2006 (83) Australia 10-Year Bond (112) Dec-2006 (124) Canada 10-Year Bond 147 Feb-2007 93 CAC40 10 Euro 33 Dec-2006 (68) DAX Index 11 Dec-2006 117 Euro-Bobl 56 Dec-2006 5 Euro-Bund (14) Dec-2006 (88) FTSE 100 Index 9 Dec-2006 24 Japan 10-Year Bond 15 Dec-2006 113 S&P 500 Composite Index 815 Mar-2007 586 S&P 500 Composite Index 3,610 Dec-2006 72,922 S&P 500 Index E-Mini 49 Dec-2006 165 S&P/MIB Index 11 Dec-2006 146 S&P/TSE 60 Index 19 Dec-2006 201 SPI 200 Index 21 Dec-2006 139 Topix Index (5) Dec-2006 (19) U.S. 10-Year Note 47 Mar-2007 (2) U.S. 2-Year Note 131 Mar-2007 41 U.S. 5-Year Note 27 Dec-2006 14 U.S. 5-Year Note 493 Mar-2007 187 U.S. Long Treasury Bond 27 Dec-2006 34 U.S. Long Treasury Bond (27) Dec-2006 (38) U.S. Long Treasury Bond 18 Mar-2007 31 ------- $71,511 ======= -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 25 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Disciplined Equity Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- A summary of the outstanding forward foreign currency contracts held by the Fund at November 30, 2006 is as follows, (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED CURRENCY TO CURRENCY TO APPRECIATION MATURITY DELIVER RECEIVE (DEPRECIATION) DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- 12/20/06 AUD 825 USD 615 $(36) 12/20/06 CAD 350 USD 316 10 12/20/06 CHF 9,950 USD 7,955 (365) 12/20/06 EUR 4,500 USD 5,670 (299) 12/20/06 JPY 1,130,000 USD 9,648 (145) 12/20/06 NOK 23,500 USD 3,586 (234) 12/20/06 NZD 3,000 USD 1,978 (73) 12/20/06 SEK 4,000 USD 552 (33) 12/20/06 USD 5,987 AUD 7,950 286 12/20/06 USD 2,324 CAD 2,600 (46) 12/20/06 USD 6,188 CHF 7,450 41 12/20/06 USD 6,640 EUR 5,200 258 12/20/06 USD 4,700 GBP 2,500 218 12/20/06 USD 995 NOK 6,500 62 12/20/06 USD 6,181 NZD 9,225 127 12/20/06 USD 761 SEK 5,500 43 ------ $(186) ====== A summary of the outstanding Total Return Swap agreements held by the Fund at November 30, 2006, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- Fund receives payment on the monthly reset spread from Banc of America -- CMBS IG 10YR Index plus 22.5 basis points times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period, and pays if the return on the spread depreciates over the payment period. (Counter Party: Bank of America) 05/01/07 $70,000 $ (70) Fund receives payment on the monthly reset spread from Banc of America -- CMBS AAA 10YR Index plus 10 basis points times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period, and pays if the return on the spread depreciates over the payment period. (Counter Party: Bank of America) 05/31/07 60,000 -- Fund receives payment on the monthly reset spread from Banc of America -- CMBS AAA 10YR Index plus 7.5 basis points times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period, and pays if the return on the spread depreciates over the payment period. (Counter Party: Bank of America) 12/01/06 60,000 (76) Fund receives payment on the monthly reset spread from Banc of America -- CMBS AAA 10YR Index plus 10 basis points times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period, and pays if the return on the spread depreciates over the payment period. (Counter Party: Wachovia Bank) 03/31/07 40,000 (49) Fund receives payment on the monthly reset spread from Lehman Brothers -- CMBS AAA 8.5+ Index plus 12.5 basis points times the notional amount. Fund receivespayment if the return on the spread appreciates over the payment period, and pays if the return on the spread depreciates over the payment period. (Counter Party: JPMorgan Chase) 05/01/07 40,000 (61) Fund receives payment on the monthly reset spread from Lehman Brothers -- CMBS AAA 8.5+ Index plus 12.5 basis points times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period, and pays if the return on the spread depreciates over the payment period. (Counter Party: Wachovia Bank) 06/01/07 90,000 -- -------------------------------------------------------------------------------- UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- Fund receives payment on the monthly reset spread from Lehman Brothers -- CMBS AAA 8.5+ Index less 5 basis points times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period, and pays if the return on the spread depreciates over the payment period. (Counter Party: Wachovia Bank) 12/01/06 $40,000 $ (63) Fund receives payment on the monthly reset spread from Lehman Brothers -- CMBS AAA 8.5+ Index less 7.5 basis points times the notional amount. Fund receives payment if the return on the spreadappreciates over the payment period, and pays if the return on the spread depreciates over the payment period. (Counter Party: Wachovia Bank) 12/01/06 50,000 (78) Fund receives payment on the monthly reset spread from Lehman Brothers -- CMBS AAA 8.5+ Index plus 10 basis points times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period, and pays if the return on the spread depreciates over the payment period. (Counter Party: Wachovia Bank) 05/01/07 60,000 (103) ----- $(500) ===== A summary of the outstanding Credit Default Swap agreements held by the Fund at November 30, 2006, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- Fund pays quarterly payment of 0.0875%(0.350% per annum) times notional amount of, Alcan Inc 4.875%, 09/15/12. Upon a defined credit event, the fund will receive the notional amount and deliverthe defined obligation. (Counter Party: Bank of America) 12/20/13 $ 4,375 $ 2 Fund pays quarterly payment of 0.1375%(0.550% per annum) times notional amount of, Black & Decker Corp 7.125%, 06/01/11. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/11 4,375 (2) Fund pays quarterly payment of 0.1113%(0.445% per annum) times notional amount of, Darden Restaurants Inc. 7.125%, 02/01/16. Upon a defined credit event, the fund will receive the notional amount and deliver thedefined obligation. (Counter Party: Bank of America) 12/20/11 4,250 (4) Fund pays quarterly payment of 0.1063% (0.425% per annum) times notional amount of, Eastman Chemical Co. 7.600%, 02/01/27. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/11 4,250 (5) Fund pays quarterly payment of 0.2950%(1.180% per annum) times notional amount of, Gap Inc. 9.000%, 12/15/08.Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/11 4,375 7 Fund pays quarterly payment of 0.0975% (0.390% per annum) times notional amount of, Johnson Controls Inc. 7.125%, 07/15/17. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/13 4,375 (9) Fund pays quarterly payment of 0.1188% (0.475% per annum) times notional amount of, Ltd. Brands Inc. 6.125%, 12/01/12. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/11 4,250 (1) -------------------------------------------------------------------------------- 26 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- Fund pays quarterly payment of 0.1825% (0.730% per annum) times notional amount of, Masco Corp. 5.875%, 07/15/12. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/13 $ 4,250 $ (7) Fund pays quarterly payment of 0.0875% (0.350% per annum) times notional amount of, MGIC Investment Corp. 6.000%, 03/15/07. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/13 4,375 (8) Fund pays quarterly payment of 0.1188% (0.475% per annum) times notional amount of, MeadWestvaco 6.850%, 04/01/12. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/11 4,250 5 Fund pays quarterly payment of 0.0550% (0.220% per annum) times notional amount of, Nucor Corp. 4.875%, 10/01/12. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/11 4,375 (6) Fund pays quarterly payment of 0.0875% (0.350% per annum) times notional amount of, PMI Group Inc. 6.000%, 09/15/16. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/13 4,375 (6) Fund pays quarterly payment of 0.0875% (0.350% per annum) times notional amount of, Radian Group Inc. 7.750%, 06/01/11. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/13 4,375 (6) Fund pays quarterly payment of 0.0475% (0.190% per annum) times notional amount of, TJX Cos Inc 7.450%, 12/15/09. Upon a defined credit event, the fund will eceive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/11 4,250 (2) Fund pays quarterly payment of 0.1125% (0.450% per annum) times notional amount of, Wayerhaeuser Co. 6.750%, 03/15/12. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/11 4,375 8 Fund pays quarterly payment of 0.0850% (0.340% per annum) times notional amount of, Agrium Inc. 8.250%, 02/15/11. Upon a defined credit event, the fund willreceive the notional amount and deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/11 4,250 (1) Fund pays quarterly payment of 0.1150% (0.460% per annum) times notional amount of, Autotzone Inc 5.875%, 10/15/12. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/11 4,375 (1) Fund pays quarterly payment of 0.1375% (0.550% per annum) times notional amount of, Black & Decker Corp. 7.125%, 06/01/11. Upon a defined credit event, the fund will receive the notional amountand deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/11 4,375 (2) Fund pays quarterly payment of 0.0650% (0.260% per annum) times notional amount of, Dow Chemical Co. 6.000%, 10/01/12. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/13 4,375 (11) Fund pays quarterly payment of 0.2950% (1.180% per annum) times notional amount of, Gap Inc. 9.800%, 12/15/08. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/11 4,250 7 -------------------------------------------------------------------------------- UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- Fund pays quarterly payment of 0.0975% (0.390% per annum) times notionalamount of, Hasbro Inc 2.750%, 12/01/21. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/11 $ 4,250 $ (5) Fund pays quarterly payment of 0.1925% (0.770% per annum) times notional amount of, Jones Apparel Group Inc. 5.125%, 11/15/14. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/11 4,250 (5) Fund pays quarterly payment of 0.0700% (0.280% per annum) times notional amount of, Nordstrom Inc 6.950%, 03/15/28. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/13 4,375 (2) Fund pays quarterly payment of 0.0675% (0.270% per annum) times notional amount of, Southwest Airlines Co. 6.500%, 03/01/12. Upon a defined credit event, the fund will receive the notional amountand deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/11 4,250 5 Fund pays quarterly payment of 0.1125% (0.450% per annum) times notional amount of, Lubrizol Corp. 7.250%, 06/15/25. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/11 4,375 (6) Fund pays quarterly payment of 0.0875% (0.350% per annum) times notional amount of, MGIC Investment Corp. 6.000%, 03/15/07. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/13 4,375 (8) Fund pays quarterly payment of 0.0550% (0.220% per annum) times notional amount of, Nucor Corp. 4.875%, 10/01/12. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/11 4,375 (7) Fund pays quarterly payment of 0.0875% (0.350% per annum) times notional amount of, PMI Group Inc. 6.000%, 09/15/16. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/13 4,375 (6) Fund pays quarterly payment of 0.0500% (0.200% per annum) times notional amount of, PPG Industries Inc 7.050%, 08/15/09. Upon a defined credit event,the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/11 4,250 (5) Fund pays quarterly payment of 0.0975% (0.390% per annum) times notional amount of, Radian Group Inc 7.750%, 06/01/11. Upon a defined credit event,the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/13 4,250 (5) Fund pays quarterly payment of 0.0845% (0.340% per annum) times notional amount of, Whirlpool Corp. 7.750%, 07/15/16. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/11 4,250 -- Fund pays quarterly payment of 0.0700% (0.280% per annum) times notional amount of, Nordstrom Inc. 6.950%, 03/15/28. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Merrill Lynch) 12/20/13 4,375 (2) Fund pays quarterly payment of 0.0325% (0.130% per annum) times notional amount of, Lowe's Cos Inc. 8.250%, 06/01/10. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Merrill Lynch) 12/20/11 4,250 5 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 27 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Disciplined Equity Fund (Concluded) November 30, 2006 -------------------------------------------------------------------------------- UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- Fund pays quarterly payment of 0.0675% (0.270% per annum) times notional amount of, Southwest Airlines Co. 6.500%, 03/01/12. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Merrill Lynch) 12/20/11 $ 4,375 $ 5 Fund pays quarterly payment of 0.1125% (0.450% per annum) times notional amount of, Lubrizol Corp. 7.250%,06/15/25. Upon a defined credit event,the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Merrill Lynch) 12/20/11 4,375 (6) Fund pays quarterly payment of 0.2250% (0.900% per annum) times notional amount of, MDZ Holdings Inc 5.500%, 05/15/13. Upon a defined credit event, the fund will receive the notional amountand deliver the defined obligation. (Counter Party: Merrill Lynch) 12/20/11 4,250 (2) Fund pays quarterly payment of 0.1725% (0.690% per annum) times notional amount of, RR Donnelley & Sons Co. 4.950%, 04/01/14. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Merrill Lynch) 12/20/11 4,250 1 Fund receives quarterly payment of 0.1000% (0.400% per annum) times notionalamount of, CDX.NA.IG Series 7 index . Upon a defined credit event, the fund will receive the notional amount and deliverthe defined obligation. (Counter Party: Bank of America) 12/20/11 79,300 177 Fund receives quarterly payment of 0.1000% (0.400% per annum) times notional amount of, CDX.NA.IG Series 7 index . Upon a defined credit event, the fund will receive the notional amount and deliverthe defined obligation. (Counter Party: Merrill Lynch) 12/20/11 79,300 177 ---- $269 ==== Percentages are based on Net Assets of $6,667,961 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of November 30, 2006. + Real Estate Investments Trust (A) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (B) This security or a partial position of this security is on loan at November 30, 2006 (See Note 9). The total value of securities on loan at November 30, 2006 was $449,388 ($Thousands). (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, 2006 was $460,385 ($Thousands). (D) The rate reported is the effective yield at time of purchase. (E) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of November 30, 2006. (F) Securities considered illiquid. The total value of such securities as of November 30, 2006 was $728 ($ Thousands), representing 0.00% of the Fund's net assets. (G) Security, or a portion thereof, has been pledged as collateral on open future contracts and written options. (H) Step Bonds -- The rate reflected on the Schedule of Investments is the effective yield on November 30, 2006. The coupon on a step bond changes on a specified date. (I) Zero Coupon Bond -- The rate reported on the Schedule of Investments is the effective yield at time of purchase. (J) -Security, or portion of this security, has been pledged as collateral on open swap contracts. (K) Tri-Party Repurchase Agreement ARM -- Adjustable Rate Mortgage AUD -- Australian Dollar CAD -- Canadian Dollar CDO -- Collateralized Debt Obligation Cl -- Class CMO -- Collateralized Mortgage Obligation CHF -- Swiss Franc EUR -- Euro EXL -- Extendable Maturity FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GBP -- British Pound Sterling GNMA -- Government National Mortgage Association IO -- Interest Only JPY -- Japanese Yen LLC -- Limited Liability Company MTN -- Medium Term Note NIM -- Net Interest Margin NOK -- Norwegian Krone NZD -- New Zealand Dollar SEK -- Swedish Krona Ser -- Series STRIPS -- Separately Traded Registered Interest and Principal Securities TBA -- To Be Announced TIPS -- Treasury Inflated Protection Securities USD -- U.S. Dollar Amounts designated as "--" are zero or have been rounded to zero. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 28 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 Large Cap Diversified Alpha Fund November 30, 2006 -------------------------------------------------------------------------------- [Bar Chart Omitted] Plot points as follows: SECTOR WEIGHTINGS++: 17.0% Financials 15.0% Information Technology 11.4% Consumer Discretionary 11.1% Health Care 9.7% Industrials 6.7% Consumer Staples 6.5% Energy 6.4% Asset-Backed Securities 4.7% Short-Term Investments 3.1% Materials 3.0% U.S. Government Mortgage-Backed Obligations 2.1% Telecommunication Services 2.0% Utilities 1.0% U.S. Government Obligations 0.3% U.S. Treasury Obligations ++Percentages based on total investments. -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- COMMON STOCK -- 88.0% CONSUMER DISCRETIONARY -- 11.8% Abercrombie & Fitch, Cl A (B) 4,900 $ 330 Advance Auto Parts 5,900 210 Aeropostale* 11,300 342 Amazon.com* 2,148 87 American Eagle Outfitters (B) 13,000 587 AnnTaylor Stores* (B) 16,100 555 Autoliv (B) 8,700 510 Autonation* 2,628 54 Autozone* 700 80 Best Buy 5,000 275 Big Lots* 17,900 399 BorgWarner 200 12 Bright Horizons Family Solutions* 2,300 85 Brinker International (B) 13,400 609 Cablevision Systems, Cl A 17,041 473 Carmax* 1,400 65 Casual Male Retail Group* 3,900 55 CBS, Cl B (B) 15,200 452 Chico's FAS* 8,500 202 Circuit City Stores 13,815 345 Claire's Stores 1,400 45 Clear Channel Communications 2,009 71 Coach* (B) 24,900 1,076 Coldwater Creek* 400 10 Comcast, Cl A* (B) 49,250 1,993 Darden Restaurants (B) 10,100 406 Dick's Sporting Goods* 300 16 Dillard's, Cl A 8,200 292 DIRECTV Group* (B) 75,894 1,727 Discovery Holding, Cl A* 3,700 57 Dollar Tree Stores* 10,400 312 Dover Downs Gaming & Entertainment 4,950 66 Dow Jones 1,800 65 DSW, Cl A* 400 15 E.W. Scripps, Cl A 200 10 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Eastman Kodak 18,514 $ 482 EchoStar Communications, Cl A* 13,411 483 Expedia* 4,400 80 Family Dollar Stores 10,800 301 Federated Department Stores 8,500 358 Foot Locker 11,329 259 Ford Motor 32,340 263 GameStop, Cl A* 400 22 Gannett 1,400 83 Gap 1,500 28 General Motors (B) 30,773 899 Genuine Parts 3,000 141 Goodyear Tire & Rubber* 15,316 258 Gymboree* 7,800 310 Harley-Davidson 5,200 384 Harman International Industries 1,300 135 Harrah's Entertainment 712 56 Hasbro 17,000 455 Hilton Hotels 2,000 66 Home Depot (B) 4,600 175 IAC/InterActive* (B) 13,600 496 Idearc (B) 665 18 International Game Technology 50,400 2,207 Interpublic Group* 9,422 113 ITT Educational Services* (B) 12,100 830 Jackson Hewitt Tax Service 2,100 76 JC Penney (B) 11,300 874 Johnson Controls 4,600 374 Jones Apparel Group (B) 17,600 591 Kohl's* (B) 15,800 1,100 Lamar Advertising, Cl A* 1,400 84 Las Vegas Sands* 500 46 Leggett & Platt 4,900 117 Liberty Global, Cl A* 2,800 76 Liberty Media Holding-Capital, Ser A* 5,930 521 Liberty Media Holding-Interactive, Cl A* 6,250 142 Limited Brands 2,200 70 Liz Claiborne 1,800 77 Lowe's (B) 4,200 127 Marriott International, Cl A 12,589 568 Marvel Entertainment* 2,400 67 Mattel 20,000 439 McDonald's (B) 12,500 525 McGraw-Hill (B) 9,700 646 Men's Wearhouse* 1,200 46 Meredith 500 27 Meritage Homes* 1,800 87 MGM Mirage 36,000 1,936 Mohawk Industries* 600 46 Newell Rubbermaid 7,200 205 News, Cl A* 19,500 402 Nike, Cl B 400 40 Nordstrom (B) 4,200 206 NTL 1,857 45 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 29 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Diversified Alpha Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Nutri/System* 3,900 $ 269 Office Depot* 9,500 360 OfficeMax 3,232 152 Omnicom Group 1,600 163 Polo Ralph Lauren 2,700 211 Pool (B) 8,500 348 Rent-A-Center* 1,100 30 Rogers Communications, Cl B (B) 4,000 245 Ross Stores 8,500 263 Saks 1,800 37 Sally Beauty Holdings* 800 7 Sears Holdings* 300 51 Shaw Communications, Cl B (B) 10,900 339 Sherwin-Williams 1,800 113 Snap-On 1,600 76 Staples 82,000 2,089 Starbucks* 6,500 229 Steven Madden* 1,850 68 Target 1,878 109 Thor Industries 1,400 63 Tim Hortons 1,564 48 Time Warner (B) 50,200 1,011 TJX (B) 29,553 810 Tribune 700 22 TRW Automotive Holdings* 1,180 29 Tupperware Brands 1,200 25 Univision Communications, Cl A* 3,900 139 VF 6,707 526 Viacom, Cl B* (B) 11,700 439 Walt Disney (B) 50,164 1,658 Warner Music Group 800 20 Weight Watchers International 32,000 1,566 Wendy's International 1,700 55 Whirlpool 5,414 462 Wyndham Worldwide* 118 4 Wynn Resorts 900 79 Yum! Brands (B) 9,300 569 -------- 43,034 -------- CONSUMER STAPLES -- 7.0% Alberto-Culver 900 18 Altria Group (B) 10,500 884 Anheuser-Busch 12,876 612 Archer-Daniels-Midland (B) 39,533 1,388 Avon Products 5,119 167 BJ's Wholesale Club* 1,200 39 Brown-Forman, Cl B 2,500 174 Campbell Soup 4,200 160 Chattem* 4,100 200 Church & Dwight 2,300 96 Clorox 3,292 211 Coca-Cola (B) 24,900 1,166 Coca-Cola Enterprises 14,800 303 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Colgate-Palmolive 5,461 $ 355 ConAgra Foods 11,500 296 Constellation Brands, Cl A* 1,467 41 Corn Products International 5,500 200 Costco Wholesale (B) 4,946 259 CVS 4,032 116 Dean Foods* 14,009 600 Del Monte Foods 6,700 76 Energizer Holdings* (B) 5,300 350 Estee Lauder, Cl A (B) 9,066 374 General Mills 7,700 431 Hansen Natural* 2,100 59 Herbalife* 1,500 58 Hershey 100 5 HJ Heinz 5,500 244 Hormel Foods 3,878 147 JM Smucker 1,100 53 Kellogg 2,500 124 Kimberly-Clark 5,100 339 Kraft Foods, Cl A 5,200 182 Kroger (B) 77,645 1,666 Loews - Carolina (B) 20,738 1,293 McCormick 3,500 136 Molson Coors Brewing, Cl B 1,200 85 Pepsi Bottling Group 6,900 216 PepsiAmericas 1,800 38 PepsiCo (B) 16,000 992 Playtex Products* 1,700 25 Procter & Gamble (B) 54,588 3,428 Reynolds American (B) 16,100 1,034 Rite Aid* 20,036 95 Safeway 22,373 689 Smithfield Foods* 3,466 91 Supervalu 973 33 Sysco 2,700 97 Tyson Foods, Cl A 1,559 25 USANA Health Sciences* 1,000 48 UST 3,000 168 Wal-Mart Stores (B) 69,627 3,210 Walgreen 55,731 2,257 -------- 25,353 -------- ENERGY -- 6.7% Anadarko Petroleum 3,900 192 Apache 200 14 Arch Coal 200 7 Baker Hughes (B) 8,600 631 BJ Services (B) 12,700 429 Cameron International* 2,500 136 Chesapeake Energy (B) 12,900 439 Chevron (B) 45,042 3,257 Complete Production Services* 3,300 73 ConocoPhillips (B) 19,417 1,307 -------------------------------------------------------------------------------- 30 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Devon Energy (B) 7,100 $ 521 Diamond Offshore Drilling 300 23 Edge Petroleum* 1,700 34 El Paso 1,546 23 EnCana (B) 8,200 428 Exxon Mobil (B) 121,271 9,315 FMC Technologies* 2,100 126 Frontier Oil 3,846 122 Halliburton 5,476 185 Hess (B) 19,555 983 Holly 8,100 437 Kinder Morgan 800 84 Marathon Oil (B) 15,566 1,469 Nabors Industries* 4,400 149 Occidental Petroleum 5,200 262 Oceaneering International* 700 30 Overseas Shipholding Group 1,300 75 Patterson-UTI Energy (B) 15,600 432 Petro-Canada 3,400 154 Schlumberger 1,300 89 SEACOR Holdings* 1,300 122 Smith International 200 8 Sunoco 2,875 196 Superior Energy Services* 5,400 176 Tesoro 8,077 569 Tetra Technologies* 1,000 26 Tidewater (B) 14,000 775 Valero Energy 18,417 1,014 XTO Energy (B) 4,600 233 -------- 24,545 -------- FINANCIALS -- 17.6% A.G. Edwards 10,956 634 Affiliated Managers Group* 1,100 112 Affordable Residential Communities+* 3,200 36 Aflac 4,500 199 Allied Capital 3,200 98 Allstate (B) 14,100 895 AMB Property+ 100 6 AMBAC Financial Group 2,600 223 American Capital Strategies 1,100 50 American Express 3,900 229 American Financial Group 10,332 539 American International Group 15,644 1,100 AmeriCredit* (B) 14,500 340 Ameriprise Financial 4,200 227 Annaly Capital Management+ 19,300 270 Anthracite Capital+ 400 5 AON (B) 31,558 1,126 Apartment Investment & Management, Cl A+ 400 23 Archstone-Smith Trust+ 1,100 66 Arthur J Gallagher 900 26 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Ashford Hospitality Trust+ 900 $ 12 Assurant 3,300 181 Astoria Financial 400 12 AvalonBay Communities+ 3,942 525 Bank of America (B) 52,436 2,824 Bank of Hawaii 300 15 Bank of New York 5,200 185 BB&T 4,200 181 Bear Stearns (B) 4,100 625 BlackRock, Cl A 700 100 BOK Financial 37 2 Boston Properties+ 600 70 Brandywine Realty Trust+ 100 4 BRE Properties, Cl A+ 1,800 116 Brookfield Asset Management 2,100 100 Brown & Brown 3,300 96 Camden Property Trust+ 1,100 88 Capital One Financial 2,700 210 CapitalSource+ 3,500 95 CB Richard Ellis Group, Cl A* (B) 6,700 221 Charles Schwab 3,400 62 Chicago Mercantile Exchange Holdings 4,400 2,357 Chubb 3,600 186 Cincinnati Financial 1,000 44 CIT Group 3,700 192 Citigroup (B) 87,054 4,317 CNA Financial* 1,300 50 Colonial BancGroup 3,600 88 Comerica (B) 12,600 734 Commerce Bancorp 3,700 129 Commerce Bancshares 1,555 76 Compass Bancshares 1,200 69 Conseco* 4,500 90 Countrywide Financial 17,400 691 Credicorp 2,800 112 Cullen/Frost Bankers 1,900 104 Duke Realty+ 1,800 78 E*Trade Financial* 4,460 107 East West Bancorp 1,800 64 Eaton Vance 900 29 Equity Office Properties Trust+ 1,485 72 Equity Residential+ 2,900 154 Erie Indemnity, Cl A 300 17 Essex Property Trust+ 800 106 Everest Re Group 200 20 Fannie Mae (B) 18,812 1,073 Federal Realty Investment Trust+ 300 26 Federated Investors, Cl B 600 20 Fidelity National Title Group, Cl A 1,757 40 Fifth Third Bancorp 100 4 First Cash Financial Services* 9,400 192 First Horizon National 400 16 First Marblehead (B) 6,900 516 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 31 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Diversified Alpha Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Forest City Enterprises, Cl A 2,300 $ 134 Franklin Resources 3,700 395 Freddie Mac 600 40 Fulton Financial 1,820 30 Genworth Financial, Cl A 3,300 108 Goldman Sachs Group (B) 10,700 2,084 Hanover Insurance Group 6,200 294 Hartford Financial Services Group 2,000 172 HCC Insurance Holdings 2,500 75 Hospitality Properties Trust+ 2,500 125 Host Hotels & Resorts+ (B) 26,977 680 HRPT Properties Trust+ 2,400 30 Hudson City Bancorp 11,800 157 IndyMac Bancorp (B) 7,300 335 IntercontinentalExchange* 21,300 2,093 Investors Financial Services 1,100 44 iStar Financial+ 5,700 267 Janus Capital Group 6,200 126 Jefferies Group 3,000 87 JER Investors Trust+* 4,100 81 Jones Lang LaSalle* (B) 7,400 673 JPMorgan Chase (B) 93,438 4,324 Keycorp 7,900 285 Kilroy Realty+ 200 16 Kimco Realty+ 200 9 KKR Financial+* 1,500 40 LandAmerica Financial Group 400 24 Legg Mason 800 76 Lehman Brothers Holdings (B) 17,700 1,304 Leucadia National 5,900 163 Lincoln National 800 51 Loews (B) 37,063 1,480 Luminent Mortgage Capital+ 2,100 22 M&T Bank 1,500 178 Mack-Cali Realty+ 300 16 Markel* 114 51 Marsh & McLennan 7,033 221 Marshall & Ilsley 700 32 Mellon Financial 5,900 237 Mercantile Bankshares 1,200 55 Mercury General 272 15 Merrill Lynch (B) 27,381 2,394 Metlife (B) 15,289 898 MGIC Investment 5,700 330 Moody's (B) 35,800 2,487 Morgan Stanley (B) 29,490 2,246 National City (B) 23,900 863 Nationwide Financial Services, Cl A 800 42 New Century Financial+ 2,100 76 New York Community Bancorp 8,700 141 Newcastle Investment+ 4,000 120 North Fork Bancorporation 2,400 67 Northern Trust 2,900 165 Nuveen Investments, Cl A 2,100 104 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Old Republic International 6,900 $ 156 Peoples Bank 700 31 Philadelphia Consolidated Holding* 400 18 PMI Group (B) 16,900 732 PNC Financial Services Group 6,097 431 Principal Financial Group 5,300 306 Progressive 8,800 198 Prologis+ 800 52 Protective Life 100 5 Prudential Financial 1,500 122 Public Storage+ 1,092 105 Radian Group (B) 17,000 905 Ramco-Gershenson Properties+ 1,800 67 Raymond James Financial 7,169 226 Rayonier+ 9,158 382 Reckson Associates Realty+ 2,400 116 Regions Financial 10,744 394 Reinsurance Group of America 1,100 61 Safeco (B) 13,944 845 SL Green Realty+ 1,400 189 SLM 2,200 101 St. Paul Travelers (B) 15,675 812 Stancorp Financial Group 1,400 64 State Street 3,400 211 SunTrust Banks (B) 9,600 784 Synovus Financial 1,100 33 T Rowe Price Group 3,400 147 Taubman Centers+ 1,626 80 TCF Financial 200 5 TD Banknorth 600 19 Thornburg Mortgage+ 1,200 30 Torchmark 2,800 177 Transatlantic Holdings 1,518 94 UnionBanCal 400 23 United Dominion Realty Trust+ 1,900 64 US Bancorp (B) 25,200 848 Valley National Bancorp 4,010 104 Vornado Realty Trust+ 400 50 Wachovia (B) 25,297 1,371 Washington Federal 1,000 23 Washington Mutual (B) 30,735 1,342 Wells Fargo (B) 30,710 1,082 Whitney Holding 3,900 126 Wilmington Trust 1,700 71 WR Berkley 17,722 622 Zions Bancorporation 1,600 125 -------- 64,012 -------- HEALTH CARE -- 11.6% Abbott Laboratories 7,200 336 Advanced Medical Optics* 2,600 91 Aetna (B) 19,000 785 Allergan 20,600 2,402 -------------------------------------------------------------------------------- 32 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- AmerisourceBergen (B) 25,477 $ 1,172 Amgen* (B) 19,059 1,353 Amylin Pharmaceuticals* 400 16 Applera - Applied Biosystems Group 4,900 179 Barr Pharmaceuticals* 3,100 158 Baxter International (B) 14,692 657 Becton Dickinson (B) 8,400 602 Biogen Idec* 10,600 554 Biomet 200 8 Bristol-Myers Squibb 6,800 169 C.R. Bard 1,100 90 Cardinal Health (B) 35,267 2,279 Caremark Rx (B) 15,093 714 Celgene* 2,600 145 Cephalon* 1,800 135 Cerner* 3,900 187 Charles River Laboratories International* 8,200 342 Cigna 3,379 426 Community Health Systems* 100 3 Covance* 1,100 66 Coventry Health Care* 3,300 159 Cytyc* (B) 13,900 364 DaVita* 700 37 Dentsply International 1,400 45 Edwards Lifesciences* (B) 600 27 Eli Lilly (B) 10,200 547 Emdeon* 6,000 71 Endo Pharmaceuticals Holdings* 400 11 Express Scripts* (B) 10,571 721 Forest Laboratories* (B) 15,600 760 Genentech* (B) 35,059 2,866 Gilead Sciences* 1,900 125 Health Management Associates, Cl A 900 18 Health Net* 11,376 525 Henry Schein* 6,357 328 Hillenbrand Industries 2,300 133 Hospira* 800 26 Humana* 9,886 535 Idexx Laboratories* (B) 6,700 567 ImClone Systems* 7,000 209 Immucor* 400 11 IMS Health 2,700 74 Johnson & Johnson (B) 50,122 3,304 King Pharmaceuticals* 18,500 306 Laboratory of America Holdings (B) 8,300 588 LifePoint Hospitals* 400 14 Lincare Holdings* (B) 10,300 388 Manor Care 2,600 124 McKesson (B) 33,180 1,639 Medco Health Solutions (B) 32,576 1,636 Medimmune* 500 16 Medtronic 4,600 240 Mentor 3,700 185 Merck (B) 20,500 912 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Millipore* 200 $ 14 Mylan Laboratories (B) 14,200 288 Omnicare 1,200 48 PDL BioPharma* 9,700 220 Pediatrix Medical Group* 200 10 PerkinElmer 4,600 100 Pfizer (B) 132,253 3,636 Pharmaceutical Product Development 1,800 57 Quest Diagnostics 1,700 90 Resmed* 600 30 Schering-Plough 3,500 77 Sierra Health Services* 1,600 56 Stryker 700 36 Techne* 1,300 70 Tenet Healthcare* 15,904 113 Thermo Electron* 9,300 408 Triad Hospitals* 500 21 United Therapeutics* 3,100 180 UnitedHealth Group 55,500 2,724 Universal Health Services, Cl B 1,200 66 Varian Medical Systems* 1,900 93 VCA Antech* 3,500 113 Vertex Pharmaceuticals* 200 9 Waters* 400 20 WebMD Health, Cl A* 425 15 WellCare Health Plans* 1,300 84 WellPoint* 4,000 303 Wyeth (B) 20,867 1,007 Zimmer Holdings* 25,900 1,890 -------- 42,158 -------- INDUSTRIALS -- 10.1% 3M 2,300 187 Acuity Brands 2,600 137 Adesa 500 13 AGCO* 1,600 50 Allied Waste Industries* 4,900 62 American Power Conversion 700 21 American Standard 700 31 AMR* 13,692 438 Applied Industrial Technologies 1,750 50 Aramark, Cl B 6,928 231 Armor Holdings* 3,100 175 Avery Dennison 900 61 Boeing (B) 17,412 1,542 Brink's 1,800 101 Burlington Northern Santa Fe 7,600 571 Canadian National Railway (B) 4,800 226 Carlisle 3,971 325 Caterpillar (B) 28,022 1,738 CH Robinson Worldwide 4,728 208 ChoicePoint* 800 29 Con-way 5,700 263 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 33 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Diversified Alpha Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Continental Airlines, Cl B* 1,476 $ 60 Copart* 1,100 33 Corporate Executive Board 1,300 123 Corrections of America* 2,200 100 Covanta Holding* 2,000 44 Crane 2,000 76 CSX 17,186 616 Cummins 2,000 240 Danaher 1,500 110 Deere 1,700 163 Donaldson 700 25 Dover 6,700 337 Dun & Bradstreet* (B) 3,700 304 Eaton 4,400 339 Emerson Electric 6,300 546 Equifax 900 34 Expeditors International Washington 43,800 1,982 Fastenal 1,900 68 FedEx 2,800 323 Flowserve* 10,990 592 Fluor (B) 9,805 854 Gardner Denver* (B) 11,400 436 General Dynamics 2,200 165 General Electric (B) 79,200 2,794 Graco 800 33 H&E Equipment Services* 2,500 61 Harsco 700 55 Herman Miller (B) 17,900 628 Honeywell International (B) 55,011 2,364 Hubbell, Cl B 200 11 Illinois Tool Works 500 24 Ingersoll-Rand, Cl A 13,600 531 ITT Industries 800 43 Jacobs Engineering Group* (B) 9,423 790 JB Hunt Transport Services 4,100 90 John H. Harland 400 17 Kennametal 100 6 L-3 Communications Holdings 2,600 214 Laidlaw International* 6,400 186 Landstar System 100 5 Lennox International 3,932 115 Lincoln Electric Holdings 200 12 Lockheed Martin (B) 12,443 1,126 Manitowoc 1,600 96 Manpower 2,200 156 Masco 3,200 92 MSC Industrial Direct, Cl A 200 8 Norfolk Southern 16,300 803 Northrop Grumman (B) 20,958 1,403 Oshkosh Truck 2,600 125 Paccar 7,200 470 Parker Hannifin (B) 10,520 878 Pitney Bowes 500 23 Precision Castparts 1,500 113 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Raytheon (B) 13,254 $ 677 Republic Services 900 37 Robert Half International 10,600 409 Rockwell Automation 2,400 156 Rockwell Collins 1,100 66 Roper Industries 200 10 RR Donnelley & Sons 900 32 Ryder System (B) 9,483 495 Southwest Airlines 22,400 352 Spherion* 1,500 11 SPX 600 37 Stericycle* 800 58 Teleflex 3,500 226 Terex* 5,776 324 Textron 2,400 234 Thomas & Betts* (B) 8,800 456 Timken (B) 9,294 276 Toro 1,200 54 Trinity Industries 6,500 246 Tyco International (B) 20,930 634 UAL* 4,175 169 Union Pacific 7,307 661 United Parcel Service, Cl B 33,700 2,626 United Rentals* 368 9 United Technologies 4,000 258 URS* 1,900 84 US Airways Group* 300 17 USG* 1,247 70 Waste Management 5,800 212 WESCO International* 4,293 287 WW Grainger 1,100 80 YRC Worldwide* 3,659 142 -------- 36,706 -------- INFORMATION TECHNOLOGY -- 15.7% Acxiom 1,600 40 ADC Telecommunications* 3,400 47 Adobe Systems* 1,700 68 Advanced Energy Industries* 4,400 76 Agere Systems* 37,958 680 Agilent Technologies* (B) 13,400 427 Akamai Technologies* 3,600 176 Alliance Data Systems* 4,800 311 Amphenol, Cl A 1,600 109 Analog Devices 6,400 208 Anixter International* 1,500 88 Apple Computer* 1,500 138 Applied Materials (B) 30,500 548 Ariba* 600 5 Arrow Electronics* (B) 28,779 914 ATMI* 7,900 257 Automatic Data Processing (B) 12,200 588 Avaya* 15,500 198 -------------------------------------------------------------------------------- 34 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Avnet* 33,284 $ 825 Avocent* 5,600 195 BEA Systems* 9,400 129 BMC Software* (B) 14,600 475 Broadcom, Cl A* 800 26 Cadence Design Systems* (B) 20,200 371 CDW 3,600 254 Ceridian* 4,300 105 Cisco Systems* (B) 75,900 2,040 Citrix Systems* 2,200 63 Cognizant Technology Solutions, Cl A* 1,100 90 Computer Sciences* 12,217 638 Convergys* 15,500 374 Dell* 4,074 111 Diebold 6,100 281 Digital Insight* 1,600 61 DST Systems* 4,910 306 eBay* 75,000 2,426 Electronic Data Systems (B) 28,825 782 Factset Research Systems 300 16 Fair Isaac 6,000 250 Fidelity National Information Services 3,044 122 First Data 4,100 104 Fiserv* (B) 11,700 598 Global Payments 5,600 257 Google, Cl A* 6,655 3,227 Harris 6,300 265 Hewlett-Packard (B) 86,622 3,418 Ingram Micro, Cl A* 19,991 407 Integrated Device Technology* 5,900 97 Intel 49,347 1,054 International Business Machines (B) 39,687 3,648 Intersil, Cl A 200 5 Intuit* (B) 75,300 2,370 Iron Mountain* 400 17 Itron* 3,300 158 Lam Research* 6,200 326 Lexmark International, Cl A* (B) 10,400 717 Linear Technology 1,800 58 LoJack* 700 11 Mastercard, Cl A 1,900 193 MEMC Electronic Materials* (B) 9,900 394 Mettler Toledo International* 1,000 77 Micron Technology 18,787 274 Microsoft (B) 134,000 3,930 MicroStrategy, Cl A* (B) 3,500 415 Molex 5,100 163 MoneyGram International 5,400 165 Motorola (B) 25,571 567 MTS Systems 900 35 National Instruments 1,100 32 NCR* 5,781 248 Network Appliance* 13,500 529 Novellus Systems* (B) 19,900 621 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Nvidia* 1,900 $ 70 Oracle* 33,300 634 Paychex 49,400 1,947 Polycom* 10,000 288 QLogic* 30,900 688 Qualcomm (B) 92,900 3,399 Rambus* 1,600 36 Red Hat* 3,500 61 Research In Motion* 10,700 1,486 Sabre Holdings, Cl A 3,800 104 SanDisk* 40,400 1,794 Seagate Technology 82,000 2,112 SonicWALL* 8,500 85 Sybase* 600 14 Symantec* 1,800 38 Symbol Technologies 4,100 61 Synopsys* (B) 22,900 585 Tech Data* 9,553 400 Tektronix 3,000 92 Texas Instruments (B) 30,258 894 Travelzoo* 3,700 115 Trimble Navigation* 700 34 Valueclick* 800 20 VeriSign* 7,561 197 Websense* 6,100 156 Western Digital* 17,194 353 Western Union 68,993 1,573 Xerox* 16,122 266 Xilinx 13,700 367 -------- 57,067 -------- MATERIALS -- 3.3% Air Products & Chemicals 700 48 Airgas 300 13 Albemarle 1,400 98 Alcoa (B) 20,600 642 Allegheny Technologies 1,000 90 Ashland 10,821 732 Ball 300 13 Bemis 4,100 140 Cabot 200 8 Carpenter Technology 400 43 Celanese, Ser A 25,104 552 Commercial Metals 461 13 Crown Holdings* 18,412 379 Cytec Industries 1,100 59 Dow Chemical (B) 18,900 756 E.I. du Pont de Nemours 2,200 103 Eagle Materials 4,900 211 Eastman Chemical 603 36 Ecolab 4,000 177 FMC 200 14 Freeport-McMoRan Copper & Gold, Cl B 2,198 138 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 35 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Diversified Alpha Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Hercules 3,914 $ 73 Huntsman* 30,898 538 International Flavors & Fragrances 2,100 99 International Paper 4,500 149 Lyondell Chemical 9,000 222 Methanex 9,700 240 Monsanto 1,300 63 Nalco Holding* 2,075 41 Newmont Mining (B) 8,100 380 Nucor (B) 11,400 682 Owens-Illinois* (B) 28,127 532 Packaging of America 100 2 Pactiv* (B) 15,900 548 Phelps Dodge 3,133 385 PPG Industries 1,500 96 Praxair 30,300 1,891 Rohm & Haas 1,800 94 RPM International 300 6 Sealed Air 400 24 Sigma-Aldrich 400 30 Smurfit-Stone Container* 4,700 50 Sonoco Products 2,500 93 Steel Dynamics 7,800 254 Temple-Inland 7,900 309 Titanium Metals* 300 10 United States Steel (B) 3,800 284 Valhi 677 18 Valspar 2,000 56 Vulcan Materials (B) 4,200 373 Wheeling-Pittsburgh* 700 12 -------- 11,819 -------- TELECOMMUNICATION SERVICES -- 2.2% Alltel (B) 9,700 550 American Tower, Cl A* 2,100 80 AT&T (B) 51,187 1,736 Bell Aliant Regional Regional Communications Income Fund (Canada) 254 6 BellSouth 27,295 1,217 CenturyTel (B) 21,300 906 Citizens Communications 23,600 334 Crown Castle International* 3,700 128 Embarq 125 7 Leap Wireless International* 600 34 Qwest Communications International* 49,671 382 Sprint Nextel (B) 9,550 186 Telephone & Data Systems 13,893 718 US Cellular* 11,495 774 Verizon Communications (B) 29,300 1,024 Windstream 1,250 17 -------- 8,099 -------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- UTILITIES -- 2.0% AES* 5,968 $ 139 Allegheny Energy* 1,700 75 Alliant Energy 2,700 105 Ameren 5,000 274 American Electric Power (B) 8,300 345 Atmos Energy 400 13 CMS Energy* 13,002 211 Dominion Resources 700 56 DPL 6,955 194 Duke Energy 724 23 Edison International (B) 18,213 837 Energen (B) 7,600 345 Energy East 1,500 37 Entergy 1,300 119 Exelon (B) 8,600 522 FirstEnergy (B) 7,400 443 Great Plains Energy 1,100 35 Hawaiian Electric Industries 300 8 KeySpan 4,000 164 MDU Resources Group 2,050 54 Mirant* 1,400 43 National Fuel Gas 1,700 64 NiSource 800 20 Northeast Utilities 1,600 45 NRG Energy* 12,993 740 NSTAR 800 28 OGE Energy 2,600 102 Oneok 2,100 91 Pepco Holdings 400 10 PG&E (B) 10,400 478 PPL 100 4 Public Service Enterprise Group 9,069 610 Puget Energy 100 2 Reliant Energy* 4,500 60 SCANA 200 8 Sempra Energy 4,300 234 Southern 300 11 Southern Union 4,600 129 TXU (B) 9,274 532 UGI 6,416 181 Xcel Energy 1,700 39 -------- 7,430 -------- Total Common Stock (Cost $302,774) ($ Thousands) 320,223 -------- CASH EQUIVALENT -- 5.0% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.300%**++ 18,054,424 18,054 -------- Total Cash Equivalent (Cost $18,054) ($ Thousands) 18,054 -------- -------------------------------------------------------------------------------- 36 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 3.2% FNMA 5.500%, 01/01/21-02/01/21 $1,908 $ 1,919 FNMA ARM 5.581%, 05/01/36 288 290 FNMA TBA 6.000%, 12/01/18 2,000 2,036 5.500%, 12/01/20 3,000 3,016 5.000%, 12/01/18 3,100 3,071 GNMA ARM 5.000%, 08/20/36 249 248 4.500%, 01/20/34-01/20/36 894 894 -------- Total U.S. Government Mortgage-Backed Obligations (Cost $11,380) ($ Thousands) 11,474 -------- ASSET-BACKED SECURITIES -- 6.7% MORTGAGE RELATED SECURITIES -- 6.7% Aames Mortgage Investment Trust, Ser 2005-4, Cl B2 8.070%, 10/25/35 40 36 Ace Securities, Ser 2003-OP1, Cl M1 (D) 6.020%, 12/26/06 250 251 American Home Mortgage Investment Trust, Ser 2006-1, Cl 2A3 (D) 5.100%, 12/25/06 270 267 Argent Securities, Ser 2003-W9, Cl M1 (D) 6.010%, 12/26/06 215 216 Asset-Backed Securities Home Equity Loan Trust, Ser 2003-HE5, Cl M2 (D) 7.220%, 12/15/06 35 35 Asset-Backed Securities Home Equity, Ser 2003-HE7, Cl M2 (D) 7.080%, 12/15/06 25 25 Bear Stearns Asset-Backed Securities, Ser 2006-PC1N, Cl A1 (E) 5.500%, 12/25/35 10 10 Bear Stearns Mortgage Funding Trust, Ser 2006-SL5, Cl 1A (D) 5.500%, 12/26/06 570 570 Carrington Mortgage Loan Trust, Ser 2005-NC3, Cl A1B (D) 5.480%, 12/27/06 885 885 Citigroup Mortgage Loan Trust, Ser 2006-FX1, Cl A1 (D) 5.480%, 12/31/06 247 247 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Countrywide Alternative Loan Trust, Ser 2004-33, Cl 1A1 (D) 4.999%, 12/01/06 $ 187 $ 189 Countrywide Alternative Loan Trust, Ser 2005-69, Cl M3 (D) 6.470%, 12/27/06 30 30 Countrywide Asset-Backed Certificates, Ser 2005-7, Cl MV8 (D) 6.770%, 12/27/06 50 51 Countrywide Asset-Backed Certificates, Ser 2006-S1, Cl A2 5.549%, 08/25/21 267 267 Countrywide Asset-backed Certificates, Ser 2004-5, Cl 3A (D) 5.550%, 12/27/06 402 402 Countrywide Home Equity Loan Trust, Ser 2006-D, Cl 2A (D) 5.520%, 12/30/06 229 229 Countrywide Home Loans, Ser 2006-OA5, Cl 1M4 (D) 6.370%, 12/27/06 50 50 DSLA Mortgage Loan Trust, Ser 2006-AR1, Cl M4 (D) 6.060%, 12/19/06 49 49 DSLA Mortgage Loan Trust, Ser 2006-AR1, Cl M5 (D) 6.130%, 12/19/06 30 30 DSLA Mortgage Loan Trust, Ser 2006-AR1, Cl M7 (D) 7.070%, 12/19/06 30 30 DSLA Mortgage Loan Trust, Ser 2006-AR2, Cl M4 (D) 5.920%, 12/19/06 60 60 FBR Securitization Trust, Ser 2005-4, Cl M11 (D) 7.320%, 12/27/06 25 24 First Franklin Mortgage Loan, Ser 2003-FF5, Cl M6 (D) 8.820%, 12/25/06 40 40 First Franklin Mortgage Loan, Ser 2005-FF4, Cl 2A3 (D) 5.540%, 12/25/06 200 200 First Franklin Mortgage Loan, Ser 2006-FFA, Cl A3 5.440%, 12/25/06 1,235 1,235 First Franklin Mortgage Loan, Ser 2006-FFB, Cl A2 (D) 5.450%, 12/26/06 460 460 First Horizon Alternative Mortgage Trust, Ser 2006-AA6, Cl 2A1 (D) 5.750%, 12/01/06 959 964 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 37 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Diversified Alpha Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- First Horizon Asset Securities, Ser 2006-AR1, Cl 2A1 (D) 5.892%, 12/01/06 $ 1,705 $ 1,730 GMAC Mortgage Loan Trust, Ser 2006-HE1, Cl A (D) 5.530%, 12/25/06 500 500 GS Mortgage Securities, Ser 2006-GG6, Cl AM (D) 5.622%, 04/10/38 500 517 GSAA Home Equity Trust, Ser 2006-3N, Cl N1 (E) 5.750%, 03/25/36 10 10 Harborview Mortgage Loan Trust, Ser 2004-7, Cl 2A1 (D) 3.379%, 12/01/06 1,315 1,316 Hasco NIM Trust, Ser 2006-OP2A, Cl A (E) 5.856%, 01/26/36 18 18 Holmes Financing, Ser 2006-10A, Cl 1C (D) (E) 5.738%, 01/16/2007 100 100 Home Equity Asset Trust, Ser 2003-4, Cl M2 (D) 7.220%, 12/25/06 50 50 Home Equity Asset Trust, Ser 2005-9N, Cl A (E) 6.500%, 05/27/36 33 33 Home Equity Asset Trust, Ser 2006-1N, Cl 1A (E) 6.500%, 05/27/36 20 20 Home Equity Asset Trust, Ser 2006-4, Cl 2A1 (D) 5.380%, 12/01/06 1,026 1,027 Home Equity Mortgage Trust, Ser 2006-5, Cl A1 (F) 5.500%, 01/25/37 1,739 1,741 Impac CMB Trust, Ser 2004-10, Cl 4M1 (D) 5.920%, 03/25/35 54 54 Impac NIM Trust, Ser 2006-1, Cl N (E) 6.000%, 03/25/36 12 12 Impac Secured Assets CMO Owners Trust, Ser 2006-3, Cl A4 (D) 5.414%, 12/27/06 484 484 Impac Secured Assets CMO Owners Trust, Ser 2006-4, Cl A2A (D) 5.400%, 12/16/06 1,110 1,110 Indymac Index Mortgage Loan Trust, Ser 2006-AR11, Cl 4A1 (D) 5.857%, 12/01/06 689 689 Indymac Index Mortgage Loan Trust, Ser 2006-AR2, Cl M1 (D) 5.770%, 12/27/06 250 251 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Indymac Index Mortgage Loan Trust, Ser 2006-AR2, Cl M6 (D) 7.070%, 04/25/46 $ 42 $ 43 Indymac Index Mortgage Loan Trust, Ser 2006-AR2, Cl M9 (D) 7.070%, 12/25/06 50 42 Indymac Index Mortgage Loan Trust, Ser 2006-AR4, Cl M4 (D) 6.020%, 12/25/06 30 30 Indymac Index Mortgage Loan Trust, Ser 2006-AR6, Cl M7 (D) 6.870%, 12/25/06 40 40 Indymac Index Mortgage Loan Trust, Ser 2006-AR8, Cl M5 (D) 5.870%, 12/26/06 50 50 JPMorgan Mortgage Acquisition, Ser 2006-RM1, Cl A2 (D) 5.400%, 12/27/06 229 229 JPMorgan Mortgage Acquistion, Ser 2006-WF1, Cl A1B (D) 5.092%, 12/31/06 636 636 Lehman XS Trust, Ser 2005-5N, Cl M3 (D) 6.320%, 12/25/06 70 71 Lehman XS Trust, Ser 2005-7N, Cl M3II 6.470%, 12/27/06 50 50 Lehman XS Trust, Ser 2006-10N, Cl 1M5 (D) 5.850%, 07/25/46 48 48 Lehman XS Trust, Ser 2006-11, Cl M10 (D) 7.320%, 12/25/06 35 29 Lehman XS Trust, Ser 2006-12N, Cl M4 (D) 5.870%, 08/25/46 45 45 Lehman XS Trust, Ser 2006-12N, Cl M5 (D) 5.920%, 08/25/46 25 25 Lehman XS Trust, Ser 2006-19, Cl A1 (D) 5.420%, 12/25/06 620 620 Long Beach Asset Holdings, Ser 2006-2, Cl N1 (E) 5.780%, 04/25/46 14 14 Master Asset-Backed Securities Trust, Ser 2002-OPT1, Cl M1 (D) 6.470%, 12/27/06 67 68 Master Asset-Backed Securities Trust, Ser 2006-AB1, Cl A1 (D) 5.460%, 12/27/06 181 181 Merrill Lynch Mortgage Investors, Ser 2003-HE1, M2 (D) 6.970%, 12/25/06 25 25 -------------------------------------------------------------------------------- 38 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Merrill Lynch Mortgage Investors, Ser 2005-A8, Cl A1B1 (D) 5.250%, 12/25/06 $ 281 $ 279 Merrill Lynch Mortgage Investors, Ser 2006-MLN1, Cl A2A (D) 5.394%, 12/29/06 520 519 Merrill Lynch Mortgage Investors, Ser 2006-RM4, Cl A2A (D) 5.400%, 12/27/06 538 538 Morgan Stanley Capital I, Ser 2003-NC10, Cl M2 (D) 7.120%, 12/26/06 25 25 Morgan Stanley Dean Witter Capital I, Ser 2002-AM3, Cl M1 (D) 6.270%, 12/25/06 500 501 National Collegiate Student Loan Trust, Ser 2003-3, Cl C (D) 5.819%, 12/28/06 200 200 National Collegiate Student Loan Trust, Ser 2004-2, Cl C (D) 6.120%, 12/25/06 250 257 New Century Home Equity Loan Trust, Ser 2003-B, Cl M1 (D) 5.970%, 12/27/06 87 88 New Century Home Equity Loan Trust, Ser 2005-A, Cl A2 (D) 4.461%, 12/25/06 188 187 Option One Mortgage Loan Trust, Ser 2003-5, Cl M1 (D) 5.970%, 12/23/06 100 100 Park Place Securities, Ser 2005-WHQ2, Cl A2C (D) 5.550%, 12/28/06 400 400 Residential Asset Mortgage Products, Ser 2006-RZ4, Cl A1 (D) 5.410%, 12/25/06 486 486 Residential Asset Securitization Trust, Ser 2004-IP2, Cl 3A1 (D) 5.274%, 12/25/06 431 434 Resmae Mortgage Loan Trust, Ser 2006-1, Cl A2A (D) (E) 5.420%, 12/25/06 174 174 Resmae Mortgage Loan Trust, Ser 2006-1, Cl A2B (D) (E) 5.470%, 12/25/06 100 100 SB Finance NIM Trust, Ser 2005-HE3, Cl N1 (E) 4.750%, 09/25/35 20 20 SB Finance NIM Trust, Ser 2006-KS4N, Cl N1 (E) 7.500%, 06/25/36 17 17 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Sail NIM Notes, Ser 2006-BC1A, Cl A (E) 7.000%, 03/27/36 $ 39 $ 36 Structured Asset Securities, Ser 2006-GEL4, Cl A1 (D) (E) 5.440%, 12/27/06 1,000 1,000 Terwin Mortgage Trust, Ser 2006-2HGS, Cl B1 (D) (E) 6.100%, 12/25/06 35 35 Terwin Mortgage Trust, Ser 2006-6, Cl A1 (D) 4.500%, 07/25/37 191 189 -------- Total Asset-Backed Securities (Cost $24,275) ($ Thousands) 24,345 -------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 1.0% FHLMC CMO STRIPS, Ser 232, Cl IO, IO 5.000%, 08/01/35 537 121 FHLMC (C) 5.250%, 01/16/07 (A) 500 497 5.180%, 02/06/07 (A) 1,150 1,139 5.180%, 03/30/07 700 688 FNMA CMO STRIPS, Ser 360, Cl 2, IO 5.000%, 08/01/35 2,985 673 FNMA (C) 5.180%, 03/30/07 700 688 -------- Total U.S. Government Agency Obligations (Cost $3,904) ($ Thousands) 3,806 -------- CORPORATE OBLIGATIONS -- 0.3% CONSUMER DISCRETIONARY -- 0.1% COX Communications 4.625%, 06/01/13 40 38 Comcast 5.300%, 01/15/14 50 49 Omnicon Group 5.900%, 04/15/16 20 21 Time Warner 6.875%, 05/01/12 40 43 -------- 151 -------- ENERGY -- 0.0% Kinder Morgan Energy Partners 5.000%, 12/15/13 40 38 -------- FINANCIALS -- 0.2% CIT Group 5.000%, 02/13/14 55 54 Credit Suisse First Boston USA 6.500%, 01/15/12 25 27 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 39 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Diversified Alpha Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Genworth Financial 5.750%, 06/15/14 $ 40 $ 41 Goldman Sachs Group 5.500%, 11/15/14 80 81 Household Finance 6.375%, 10/15/11 40 42 JPMorgan Chase 5.125%, 09/15/14 40 40 Lehman Brothers Holdings MTN 5.500%, 04/04/16 40 40 Morgan Stanley 4.750%, 04/01/14 40 39 Residential Capital 6.500%, 04/17/13 75 78 Simon Property Group 5.750%, 12/01/15 25 26 5.600%, 09/01/11 35 36 Wachovia 5.300%, 10/15/11 170 172 4.875%, 02/15/14 25 24 istar Financial, Ser 1+ 5.875%, 03/15/16 25 25 -------- 725 -------- HEALTH CARE -- 0.0% Aetna 5.750%, 06/15/11 40 41 Teva Pharmaceutical Finance 5.550%, 02/01/16 40 40 Wellpoint 6.800%, 08/01/12 25 27 -------- 108 -------- INDUSTRIALS -- 0.0% Lafarge 6.150%, 07/15/11 25 26 -------- TELECOMMUNICATION SERVICES -- 0.0% Embarq 6.738%, 06/01/13 20 21 -------- UTILITIES -- 0.0% Dominion Resources 4.750%, 12/15/10 25 25 Exelon Generation 6.950%, 06/15/11 40 42 -------- 67 -------- Total Corporate Obligations (Cost $1,094) ($ Thousands) 1,136 -------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)/Shares ($ Thousands) -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS -- 0.3% U.S. Treasury Bill (A) 4.880%, 02/22/07 $ 352 $ 348 U.S. Treasury Bond 2.375%, 04/15/11 921 926 Total U.S. Treasury Obligations (Cost $1,270) ($ Thousands) 1,274 -------- Total Investments -- 104.5% (Cost $362,751) ($ Thousands) $380,312 ======== COMMON STOCK SOLD SHORT -- (9.1)% CONSUMER DISCRETIONARY -- (2.5)% Amazon.com* (8,400) (339) Boyd Gaming (8,300) (352) Career Education* (4,245) (107) Coldwater Creek* (1,700) (43) Corinthian Colleges* (16,500) (213) CTC Media* (1,100) (25) Dick's Sporting Goods* (4,300) (231) Discovery Holding, Cl A* (53,588) (822) DR Horton (1,400) (37) Eastman Kodak (13,100) (341) Gentex (58,310) (966) Hearst-Argyle Television (7,435) (188) Hilton Hotels (6,500) (213) International Speedway, Cl A (138) (7) Interpublic Group (15,600) (187) Laureate Education* (6,400) (333) Lennar, Cl A (2,300) (121) Liberty Global, Cl A* (6,583) (178) Liberty Media Holding-Capital, Ser A* (1,108) (97) Liberty Media Interactive, Cl A* (6,143) (140) MDC Holdings (5,624) (321) News (5,300) (109) NTL (1,456) (35) O'Reilly Automotive* (19,300) (611) Quiksilver* (20,700) (301) RH Donnelley (225) (14) Scientific Games, Cl A* (21,600) (627) Standard Pacific (9,377) (241) Starwood Hotels & Resorts Worldwide (700) (45) Tiffany (10,722) (412) Tractor Supply* (6,700) (319) Urban Outfitters* (26,000) (579) XM Satellite Radio, Cl A* (35,233) (509) -------- (9,063) -------- -------------------------------------------------------------------------------- 40 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- CONSUMER STAPLES -- (0.0)% Hansen Natural* (661) $ (19) Whole Foods Market (2,076) (101) WM Wrigley Jr. (249) (13) -------- (133) -------- ENERGY -- (1.3)% Arch Coal (17,200) (617) Cameco (13,200) (502) Cheniere Energy* (4,000) (123) Consol Energy (800) (29) Denbury Resources* (737) (22) Dresser-Rand Group* (11,900) (288) Enbridge (6,000) (212) Foundation Coal Holdings (2,500) (93) Massey Energy (6,300) (173) Quicksilver Resources* (11,717) (496) Rowan (10,100) (364) Southwestern Energy (21,700) (914) Tetra Technologies* (4,700) (121) Todco* (8,300) (332) Ultra Petroleum* (5,200) (280) W&T Offshore (5,100) (177) -------- (4,743) -------- FINANCIALS -- (0.8)% Arthur J. Gallegher (3,200) (94) Astoria Financial (1,800) (54) Chicago Mercantile Exchange Holdings (124) (66) Commerce Bancorp (5,000) (174) Hudson City Bancorp (80,051) (1,062) Leucadia National (2,742) (76) Marsh & McLennan (1,300) (41) New Century Financial+ (8,064) (291) New York Community Bancorp (2,058) (33) Peoples Bank (9,300) (415) Popular (9,700) (172) T Rowe Price Group (2,200) (95) Valley National Bancorp (7,900) (205) Vornado Realty Trust+ (100) (12) -------- (2,790) -------- HEALTH CARE -- (1.1)% Abraxis Bioscience* (2,777) (74) Affymetrix* (13,300) (337) Amylin Pharmaceuticals* (12,909) (516) Bausch & Lomb (3,500) (169) Biomet (6,800) (257) Boston Scientific* (20,995) (332) Brookdale Senior Living (3,227) (147) Cooper (3,800) (205) -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Davita* (2,100) $ (112) Endo Pharmaceutical Holdings* (9,500) (258) Millennium Pharmaceuticals* (8,227) (93) Omnicare (5,500) (218) Patterson* (1,900) (71) Qiagen* (6,800) (99) Respironics* (7,100) (256) Tenet Healthcare* (39,600) (281) Vertex Pharmaceuticals* (9,000) (399) -------- (3,824) -------- INDUSTRIALS -- (0.7)% Belden CDT (500) (20) CH Robinson Worldwide (1,900) (83) Copart* (216) (6) Corporate Executive Board (1,130) (107) Covanta Holdings* (5,200) (115) DRS Technologies (4,601) (229) Expeditors International Washington (3,400) (154) GATX (7,400) (342) Pall (8,100) (254) Southwest Airlines (19,404) (305) Stericycle* (5,203) (377) UTI Worldwide (12,900) (384) -------- (2,376) -------- INFORMATION TECHNOLOGY -- (2.1)% Activision* (13,500) (230) Alliance Data Systems* (5,000) (324) Autodesk (3,700) (152) Avid Technology* (8,600) (335) Broadcom, Cl A* (9,800) (322) CACI International, Cl A* (5,800) (347) Ciena* (13,665) (344) Citrix Systems* (7,500) (216) Cognizant Technology Solutions* (326) (27) eBay* (9,900) (320) Fair Isaac (6,222) (259) JDS Uniphase* (7,362) (136) Juniper Networks* (18,343) (390) Mastercard, Cl A (3,442) (350) Maxim Integrated Products (6,200) (195) NAVTEQ* (12,982) (464) Novell* (13,500) (85) Paychex (10,984) (433) PMC - Sierra* (67,721) (515) Rambus* (28,460) (635) Red Hat* (12,818) (223) Salesforce.com* (12,487) (487) SanDisk* (4,769) (212) Silicon Laboratories* (9,338) (301) Symantec* (4,211) (89) Unisys* (22,500) (162) -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 41 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Diversified Alpha Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Verifone Holdings* (4,500) $ (152) -------- (7,705) -------- MATERIALS -- (0.4)% Eagle Materials (439) (19) Ivanhoe Mines* (32,100) (296) Louisiana-Pacific (34,685) (732) Mosaic (19,100) (407) Potash of Saskatchewan (1,100) (155) -------- (1,609) -------- TELECOMMUNICATION SERVICES -- (0.1)% NeuStar, Cl A* (11,100) (369) SBA Communications, Cl A* (4,035) (114) -------- (483) -------- UTILITIES -- (0.1)% Aqua America (12,740) (305) -------- Total Common Stock Sold Short (Proceeds $(31,335)) ($ Thousands) (33,031) -------- A summary of the open future contracts held by the Fund at November 30, 2006, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED APPRECIATION TYPE OF NUMBER OF EXPIRATION (DEPRECIATION) CONTRACT CONTRACTS DATE ($ THOUSANDS) -------------------------------------------------------------------------------- 90-Day Euro$ (9) Mar-2007 $2 90-Day Euro$ (9) Mar-2008 (10) 90-Day Euro$ (7) Mar-2009 (9) 90-Day Euro$ (7) Mar-2010 (8) 90-Day Euro$ (5) Mar-2011 (5) 90-Day Euro$ (20) Jun-2007 (7) 90-Day Euro$ (9) Jun-2008 (10) 90-Day Euro$ (7) Jun-2009 (9) 90-Day Euro$ (7) Jun-2010 (8) 90-Day Euro$ (6) Sep-2007 (2) 90-Day Euro$ (9) Sep-2008 (10) 90-Day Euro$ (7) Sep-2009 (8) 90-Day Euro$ (7) Sep-2010 (8) 90-Day Euro$ 43 Dec-2006 (6) 90-Day Euro$ (9) Dec-2007 (8) 90-Day Euro$ (7) Dec-2008 (9) 90-Day Euro$ (7) Dec-2009 (8) 90-Day Euro$ (7) Dec-2010 (8) Euro-Bund (2) Dec-2006 (3) S&P 500 Composite Index 233 Dec-2006 2,380 S&P 500 Composite Index 33 Mar-2007 24 U.S. 10-Year Note 10 Mar-2007 6 U.S. 2-Year Note 6 Mar-2007 2 U.S. Long Treasury Bond 4 Dec-2006 3 ------ $2,281 ====== A summary of the outstanding Total Return Swap agreements held by the Fund at November 30, 2006, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- Fund receives payment on the monthly reset spread from -- CMBS IG 10YR Index plus 22.5 basis points times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period, and pays if the return on the spread depreciates over the payment period. (Counter Party: Bank of America) 05/01/07 $30,000 $ (3) Fund receives payment on the monthly reset spread from Banc of America -- CMBS AAA 10YR Index times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period, and pays if the return on the spread depreciates over the payment period. (Counter Party: Bank of America) 03/01/07 50,000 (6) Fund receives payment on the monthly reset spread from Banc of America -- CMBS AAA 10YR Index plus 10 basis points times the notional amount. Fund receives payment if the return on the spreadappreciates over the payment period, and pays if the return on the spread depreciates over the payment period. (Counter Party: Wachovia Bank) 05/01/07 50,000 (7) Fund receives payment on the monthly reset spread from Lehman Brothers -- CMBS AAA 10YR Index plus 10 basis points times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period, and pays if the return on the spread depreciates over the payment period. (Counter Party: Bank of America) 02/28/07 25,000 (3) ---- $(19) ==== A summary of the outstanding Credit Default Swap agreements held by the Fund at November 30, 2006, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- The Fund pays quarterly payment of 0.0875% (0.350% per annum) times notional amount of, Alcan Inc 4.875%, 09/15/12. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/13 $ 250 $ -- The Fund pays quarterly payment of 0.1375%(0.550% per annum) times notional amount of, Black & Decker Corp 7.125%, 06/01/11. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/11 250 -- The Fund pays quarterly payment of 0.1113% (0.445% per annum) times notional amount of, Darden Restaurants Inc. 7.125%, 02/01/16. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/11 250 -- The Fund pays quarterly payment of 0.1063% (0.425% per annum) times notional amount of, Eastman Chemical Co. 7.600%, 02/01/27. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/11 250 -- The Fund pays quarterly payment of 0.2950% (1.180% per annum) times notional amount of, Gap Inc. The 9.000%, 12/15/08. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/11 250 -- The Fund pays quarterly payment of 0.0975% (0.390% per annum) times notional amount of, Johnson Controls Inc. 7.125%,07/15/17. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/13 250 (1) -------------------------------------------------------------------------------- 42 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- The Fund pays quarterly payment of 0.1188% (0.475% per annum) times notional amount of, Ltd. Brands Inc. 6.125%, 12/01/12. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/11 $ 250 $ -- The Fund pays quarterly payment of 0.1825% (0.730% per annum) times notional amount of, Masco Corp. 5.875%, 07/15/12. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/13 250 (1) The Fund pays quarterly payment of 0.0875% (0.350% per annum) times notional amount of, MGIC Investment Corp. 6.000%,03/15/07. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/13 250 (1) The Fund pays quarterly payment of 0.1188% (0.475% per annum) times notional amount of, MeadWestvaco 6.850%, 04/01/12. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/11 250 -- The Fund pays quarterly payment of 0.0550% (0.220% per annum) times notionalamount of, Nucor Corp. 4.875%, 10/01/12. Upon a defined credit event, the fund will receive the notional amount and deliverthe defined obligation. (Counter Party: Bank of America) 12/20/11 250 -- The Fund pays quarterly payment of 0.0875%(0.350% per annum) times notional amount of, PMI Group Inc. The 6.000%, 09/15/16. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/13 250 -- The Fund pays quarterly payment of 0.0875% (0.350% per annum) times notionalamount of, Radian Group Inc. 7.750%,06/01/11. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/13 250 -- The Fund pays quarterly payment of 0.0475% (0.190% per annum) times notional amount of, TJX Cos Inc 7.450%, 12/15/09. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/11 250 -- The Fund pays quarterly payment of 0.1125% (0.450% per annum) times notional amount of, Wayerhaeuser Co. 6.750%, 03/15/12. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/11 250 -- The Fund pays quarterly payment of 0.0850% (0.340% per annum) times notional amount of, Agrium Inc. 8.250%, 02/15/11. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/11 250 -- The Fund pays quarterly payment of 0.1150% (0.460% per annum) times notional amount of, Autotzone Inc 5.875%, 10/15/12. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/11 250 -- The Fund pays quarterly payment of 0.1375% (0.550% per annum) times notionalamount of, Black & Decker Corp. 7.125%,06/01/11. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/11 250 -- The Fund pays quarterly payment of 0.0650% (0.260% per annum) times notionalamount of, Dow Chemical Co. The 6.000%, 10/01/12. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/13 250 (1) -------------------------------------------------------------------------------- UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- The Fund pays quarterly payment of 0.2950% (1.180% per annum) times notional amount of, Gap Inc. The 9.800%, 12/15/08.Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/11 $ 250 $ -- The Fund pays quarterly payment of 0.0975% (0.390% per annum) times notional amount of, Hasbro Inc 2.750%, 12/01/21. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/11 250 -- The Fund pays quarterly payment of 0.1925% (0.770% per annum) times notional amount of, Jones Apparel Group Inc. 5.125%, 11/15/14. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/11 250 -- The Fund pays quarterly payment of 0.0700% (0.280% per annum) times notional amount of, Nordstrom Inc 6.950%, 03/15/28. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/13 250 -- The Fund pays quarterly payment of 0.0675% (0.270% per annum) times notional amount of, Southwest Airlines Co. 6.500%, 03/01/12. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/11 250 -- The Fund pays quarterly payment of 0.1125% (0.450% per annum) times notional amount of, Lubrizol Corp. 7.250%, 06/15/25. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/11 250 -- The Fund pays quarterly payment of 0.0875% (0.350% per annum) times notional amount of, MGIC Investment Corp. 6.000%, 03/15/07. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/13 250 (1) The Fund pays quarterly payment of 0.0550% (0.220% per annum) times notional amount of, Nucor Corp. 4.875%, 10/01/12. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/11 250 -- The Fund pays quarterly payment of 0.0875% (0.350% per annum) times notional amount of, PMI Group Inc. 6.000%, 09/15/16. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/13 250 -- The Fund pays quarterly payment of 0.0500% (0.200% per annum) times notional amount of, PPG Industries Inc 7.050%, 08/15/09. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/11 250 -- The Fund pays quarterly payment of 0.0975% (0.390% per annum) times notional amount of, Radian Group Inc 7.750%06/01/11. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/13 250 -- The Fund pays quarterly payment of 0.0845% (0.340% per annum) times notional amount of, Whirlpool Corp. 7.750%, 07/15/16. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/11 250 -- The Fund pays quarterly payment of 0.0700% (0.280% per annum) times notional amount of, Nordstrom Inc. 6.950%, 03/15/28. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Merrill Lynch) 12/20/13 250 -- -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 43 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Diversified Alpha Fund (Concluded) November 30, 2006 -------------------------------------------------------------------------------- UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- The Fund pays quarterly payment of 0.0325% (0.130% per annum) times notional amount of, Lowe's Cos Inc. 8.250%, 06/01/10. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Merrill Lynch) 12/20/11 $ 250 $ -- The Fund pays quarterly payment of 0.0675% (0.270% per annum) times notional amount of, Southwest Airlines Co. 6.500%, 03/01/12. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Merrill Lynch) 12/20/11 250 -- The Fund pays quarterly payment of 0.1125% (0.450% per annum) times notional amount of, Lubrizol Corp. 7.250%, 06/15/25. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Merrill Lynch) 12/20/11 250 -- The Fund pays quarterly payment of 0.2250%(0.900% per annum) times notionalamount of, MDZ Holdings Inc 5.500%, 05/15/13. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Merrill Lynch) 12/20/11 250 -- The Fund pays quarterly payment of 0.1725% (0.690% per annum) times notional amount of, RR Donnelley & Sons Co. 4.950%, 04/01/14. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Merrill Lynch) 12/20/11 250 -- The Fund receives quarterly payment of 0.1000% (0.400% per annum) times notional amount of, CDX.NA.IG Series 7 index. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/11 4,600 10 The Fund receives quarterly payment of 0.1000% (0.400% per annum) times notional amount of, CDX.NA.IG Series 7 index. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Merrill Lynch) 12/20/11 4,600 10 ---- $ 15 ==== Percentages are based on Net Assets of $363,764 ($ Thousands) * Non-income producing security. ** Rate shown is the 7-day effective yield as of November 30, 2006. + Real Estate Investments Trust (A) Security, or portion thereof, has been pledged as collateral on open futures contracts and written options. (B) All or a portion of this security is held as collateral for securities sold short. (C) Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase. (D) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of November 30, 2006. (E) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (F) Step Bonds -- The rate reflected on the Schedule of Investments is the effective yield on November 30, 2006. The coupon on a step bond changes on a specified date. ARM -- Adjustable Rate Mortgage CDO -- Collateralized Debt Obligation Cl -- Class -------------------------------------------------------------------------------- DESCRIPTION -------------------------------------------------------------------------------- CMO -- Collateralized Mortgage Obligation EXL -- Extendable Maturity FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GMNA -- Government National Mortgage Association IO -- Interest Only MTN -- Medium Term Note NIM -- Net Interest Margin Ser -- Series STRIPS -- Separately Traded Registered Interest and Principal Securities TBA -- To Be Announced Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 44 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Index Fund November 30, 2006 -------------------------------------------------------------------------------- [Bar Chart Omitted] Plot points as follows: SECTOR WEIGHTINGS++: 24.0% Financials 14.0% Information Technology 11.0% Health Care 10.2% Consumer Discretionary 9.7% Industrials 8.4% Energy 7.7% Consumer Staples 3.5% Utilities 3.2% Short-Term Investments 3.1% Telecommunication Services 2.9% Materials 0.7% Commercial Paper 0.5% Asset-Backed Securities 0.4% Master Note 0.3% Certificate of Deposit 0.2% Collaterized Debt Obligations 0.2% U.S. Treasury Obligation ++Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 9). -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- COMMON STOCK -- 97.7% CONSUMER DISCRETIONARY -- 11.1% Abercrombie & Fitch, Cl A 2,402 $ 162 Advance Auto Parts 2,808 100 Amazon.com (B)* 7,989 322 American Eagle Outfitters 3,114 141 AnnTaylor Stores* 1,847 64 Apollo Group, Cl A (B)* 3,664 142 Autoliv 2,218 130 Autonation* 4,132 85 Autozone* 1,407 160 Barnes & Noble 1,138 46 Beazer Homes USA 1,037 47 Bed Bath & Beyond* 7,415 287 Best Buy 10,347 569 Black & Decker 2,068 178 BorgWarner 1,441 83 Boyd Gaming 1,051 44 Brinker International 2,322 106 Brunswick 2,533 82 Cablevision Systems, Cl A (B) 5,442 151 Career Education* 2,459 62 Carmax* 2,680 124 CBS, Cl B 17,369 517 Centex 3,056 169 Cheesecake Factory* 2,046 57 Chico's FAS* 4,616 110 Choice Hotels International 884 40 Circuit City Stores 4,985 124 Claire's Stores 2,327 74 Clear Channel Communications 13,235 465 Clear Channel Outdoor Holdings, Cl A* 700 18 Coach* 9,967 431 Coldwater Creek* 1,700 43 Comcast, Cl A (B)* 50,817 2,056 CTC Media 1,100 25 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Darden Restaurants 3,922 $ 157 Dick's Sporting Goods (B)* 829 44 Dillard's, Cl A (B) 1,675 60 DIRECTV Group (B)* 21,158 481 Discovery Holding, Cl A* 7,242 111 Dollar General 7,831 122 Dollar Tree Stores* 2,553 77 Dow Jones (B) 1,377 50 DR Horton 7,968 212 DreamWorks Animation SKG, Cl A* 934 27 E.W. Scripps, Cl A 2,072 101 Eastman Kodak (B) 7,767 202 EchoStar Communications, Cl A (B)* 5,262 189 Expedia* 5,551 101 Family Dollar Stores 4,262 119 Federated Department Stores 14,530 612 Foot Locker 3,769 86 Ford Motor 48,024 390 Fortune Brands 3,820 309 GameStop, Cl A (B)* 1,800 101 Gannett 6,259 372 Gap 14,559 273 General Motors (B) 12,581 368 Gentex 3,932 65 Genuine Parts 4,471 210 Getty Images* 1,519 66 Goodyear Tire & Rubber (B)* 4,352 73 H&R Block 8,525 205 Hanesbrands 2,643 64 Harley-Davidson (B) 6,903 509 Harman International Industries 1,768 184 Harrah's Entertainment 4,875 384 Harte-Hanks 1,489 39 Hasbro 4,467 119 Hearst-Argyle Television 863 22 Hilton Hotels 10,024 329 Home Depot 55,215 2,096 IAC/InterActive (B)* 4,364 159 Idearc 3,955 109 International Game Technology 8,743 383 International Speedway, Cl A 912 47 Interpublic Group (B)* 11,275 135 ITT Educational Services (B)* 1,221 84 Jarden (B)* 1,300 48 JC Penney 6,151 476 John Wiley & Sons, Cl A 1,242 49 Johnson Controls 5,015 408 Jones Apparel Group 3,053 103 KB Home 2,080 107 Kohl's* 8,519 593 Lamar Advertising, Cl A (B)* 2,140 129 Las Vegas Sands* 3,693 338 Laureate Education (B)* 1,231 64 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 45 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Index Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Leggett & Platt 4,519 $ 107 Lennar, Cl A (B) 3,530 185 Liberty Global, Cl A* 11,796 318 Liberty Media Holding-Capital, Ser A* 3,689 324 Liberty Media Holding- Interactive, Cl A* 18,447 420 Limited Brands 8,757 277 Liz Claiborne 2,661 114 Lowe's 40,410 1,219 Marriott International, Cl A 8,950 404 Mattel 10,442 229 McClatchy, Cl A 1,417 59 McDonald's 31,980 1,342 McGraw-Hill 9,439 629 MDC Holdings 816 47 Meredith 758 41 MGM Mirage 2,992 161 Mohawk Industries (B)* 1,366 106 New York Times, Cl A (B) 3,524 85 Newell Rubbermaid 7,365 210 News, Cl A (B)* 59,885 1,234 Nike, Cl B 5,124 507 Nordstrom 6,012 295 NTL 7,620 184 Nutri/System (B)* 900 62 NVR* 124 74 O'Reilly Automotive (B)* 2,740 87 Office Depot* 7,389 280 OfficeMax 1,974 93 Omnicom Group 4,522 462 OSI Restaurant Partners 1,602 63 Panera Bread, Cl A* 662 38 Penn National Gaming* 1,689 62 PetSmart 3,773 112 Polo Ralph Lauren 1,480 116 Pool (B) 1,292 53 Pulte Homes 5,418 183 R.H. Donnelley 1,261 78 RadioShack* 3,171 56 Regal Entertainment Group, Cl A (B) 1,188 25 Ross Stores 3,471 108 Ryland Group 1,075 57 Saks 3,306 68 Sally Beauty Holdings* 1,887 17 Scientific Games, Cl A* 1,466 43 Sears Holdings (B)* 2,228 382 Service International 6,994 69 ServiceMaster 6,982 90 Sherwin-Williams 3,037 190 Sirius Satellite Radio (B)* 38,952 166 Snap-On 1,491 71 Standard-Pacific 1,539 39 Stanley Works 2,109 108 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Staples 18,864 $ 480 Starbucks (B)* 19,906 702 Starwood Hotels & Resorts Worldwide 5,584 358 Station Casinos (B) 1,219 83 Target 22,585 1,312 Thor Industries 1,000 45 Tiffany (B) 3,825 147 Tim Hortons 4,986 154 Time Warner 103,937 2,093 TJX 12,054 330 Toll Brothers (B)* 3,351 108 Tractor Supply* 1,000 48 Tribune 4,900 156 TRW Automotive Holdings* 993 25 United Auto Group 1,200 28 Univision Communications, Cl A* 5,611 200 Urban Outfitters* 2,720 61 VF 2,417 189 Viacom, Cl B* 16,469 618 Walt Disney 57,184 1,890 Warner Music Group 2,562 65 Washington Post, Cl B 128 94 Weight Watchers International 1,062 52 Wendy's International 3,313 108 Whirlpool 1,887 161 Williams-Sonoma 2,662 84 Wyndham Worldwide* 5,068 161 Wynn Resorts (B) 1,196 105 XM Satellite Radio Holdings, Cl A (B)* 7,837 113 Yum! Brands 7,124 436 -------- 41,530 -------- CONSUMER STAPLES -- 8.4% Alberto-Culver 1,887 38 Altria Group 54,468 4,587 Anheuser-Busch 20,079 954 Archer-Daniels-Midland 16,979 596 Avon Products 11,806 385 BJ's Wholesale Club* 1,872 60 Brown-Forman, Cl B 1,675 116 Campbell Soup 6,178 235 Church & Dwight 1,632 68 Clorox 3,903 250 Coca-Cola 53,120 2,488 Coca-Cola Enterprises 7,715 158 Colgate-Palmolive 13,375 870 ConAgra Foods 13,386 344 Constellation Brands, Cl A* 5,131 144 Corn Products International 2,100 76 Costco Wholesale 12,181 637 CVS (B) 21,546 620 Dean Foods* 3,787 162 -------------------------------------------------------------------------------- 46 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Del Monte Foods 5,258 $ 59 Energizer Holdings (B)* 1,441 95 Estee Lauder, Cl A 3,154 130 General Mills 9,396 526 Hansen Natural* 1,600 45 Hershey 4,598 244 HJ Heinz 8,837 393 Hormel Foods 1,939 73 JM Smucker 1,355 65 Kellogg 6,303 314 Kimberly-Clark 11,918 792 Kraft Foods, Cl A (B) 5,340 187 Kroger 18,673 401 Loews - Carolina 2,393 149 McCormick 3,593 139 Molson Coors Brewing, Cl B 1,231 88 Pepsi Bottling Group 3,682 115 PepsiAmericas 1,494 31 PepsiCo 43,137 2,673 Procter & Gamble 85,677 5,380 Reynolds American (B) 4,610 296 Rite Aid* 13,001 62 Safeway 11,820 364 Sara Lee 19,951 331 Smithfield Foods (B)* 2,775 73 Supervalu 5,189 178 Sysco (B) 16,348 586 Tyson Foods, Cl A 5,465 87 UST (B) 4,169 233 Wal-Mart Stores 64,179 2,959 Walgreen 26,225 1,062 Whole Foods Market (B) 3,852 188 WM Wrigley Jr. 6,200 325 -------- 31,431 -------- ENERGY -- 9.0% Anadarko Petroleum 11,840 584 Apache 8,759 613 Arch Coal 3,912 140 Baker Hughes 9,001 661 BJ Services 7,788 263 Cabot Oil & Gas 1,400 87 Cameron International* 3,022 164 Cheniere Energy* 1,500 46 Chesapeake Energy (B) 9,966 339 Chevron 57,802 4,180 Cimarex Energy 2,300 86 CNX Gas* 500 14 ConocoPhillips 43,076 2,899 Consol Energy 4,744 174 Denbury Resources (B)* 2,824 83 Devon Energy 11,613 852 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Diamond Offshore Drilling (B) 1,509 $ 117 Dresser-Rand Group* 734 18 El Paso 17,803 260 ENSCO International 4,123 214 EOG Resources 6,345 448 Exxon Mobil 157,612 12,106 FMC Technologies* 1,780 107 Forest Oil* 1,314 47 Foundation Coal Holdings 1,300 48 Frontier Oil 3,000 95 Global Industries* 2,500 36 Grant Prideco* 3,427 150 Halliburton 26,812 905 Helix Energy Solutions Group* 2,200 81 Helmerich & Payne 2,550 68 Hess (B) 6,312 317 Holly 1,300 70 Kinder Morgan 2,797 294 Marathon Oil 9,588 905 Massey Energy 1,961 54 Murphy Oil 4,854 263 National Oilwell Varco* 4,692 312 Newfield Exploration* 3,299 164 Noble Energy 4,662 249 Occidental Petroleum 22,254 1,120 Oceaneering International* 1,500 65 Overseas Shipholding Group 727 42 Patterson-UTI Energy 4,432 123 Peabody Energy 6,974 321 Pioneer Natural Resources 3,544 154 Plains Exploration & Production* 1,947 92 Pogo Producing 1,470 78 Pride International* 4,129 133 Quicksilver Resources (B)* 1,401 59 Range Resources 3,439 107 Rowan 2,686 97 SEACOR Holdings* 600 56 Smith International (B) 5,731 243 Southwestern Energy* 4,488 189 St. Mary Land & Exploration 1,600 64 Sunoco 3,456 236 Superior Energy Services* 2,200 72 Tesoro 1,773 125 Tetra Technologies* 2,000 52 Tidewater 1,570 87 Todco* 1,700 68 Unit* 1,127 58 Valero Energy 16,236 894 W&T Offshore 400 14 Williams 15,646 434 XTO Energy 9,411 476 -------- 33,972 -------- -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 47 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Index Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- FINANCIALS -- 21.4% A.G. Edwards 2,057 $ 119 Affiliated Managers Group (B)* 833 85 Aflac 12,956 572 Alleghany (B)* 130 45 Allied Capital (B) 3,464 106 Allstate 16,525 1,049 AMB Property+ 2,244 137 AMBAC Financial Group 2,768 237 American Capital Strategies (B) 3,621 164 American Express 28,234 1,658 American Financial Group 1,343 70 American International Group 57,476 4,042 American National Insurance 422 48 AmeriCredit (B)* 3,572 84 Ameriprise Financial 5,600 303 Annaly Capital Management+ 5,211 73 AON 8,150 291 Apartment Investment & Management, Cl A+ 2,484 143 Archstone-Smith Trust+ 5,540 332 Arthur J Gallagher 2,304 67 Associated Banc 3,384 112 Assurant 3,293 181 Astoria Financial 2,314 69 AvalonBay Communities+ (B) 1,989 265 BancorpSouth 2,200 57 Bank of America 119,123 6,415 Bank of Hawaii 1,382 71 Bank of New York 19,752 702 BB&T 14,106 607 Bear Stearns 3,074 469 BlackRock, Cl A 485 70 BOK Financial 475 26 Boston Properties+ 2,984 349 Brandywine Realty Trust+ (B) 2,500 88 BRE Properties, Cl A+ 1,320 85 Brown & Brown 2,824 82 Camden Property Trust+ 1,447 115 Capital One Financial (B) 7,951 619 CapitalSource+ (B) 2,582 70 Capitol Federal Financial 527 20 CB Richard Ellis Group, Cl A* 5,117 169 CBL & Associates Properties+ 1,906 82 CBOT Holdings, Cl A* 1,400 223 Charles Schwab 27,585 506 Chicago Mercantile Exchange Holdings 905 485 Chubb 10,718 555 Cincinnati Financial 3,986 177 CIT Group 5,124 267 Citigroup 129,445 6,419 City National 1,038 70 CNA Financial* 700 27 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Colonial BancGroup 3,954 $ 96 Colonial Properties Trust+ 1,300 64 Comerica 4,253 248 Commerce Bancorp 4,854 169 Commerce Bancshares 1,715 83 Compass Bancshares 3,337 191 Conseco* 3,877 77 Countrywide Financial (B) 16,075 639 Cullen/Frost Bankers 1,368 75 Developers Diversified Realty+ (B) 2,953 191 Duke Realty+ 3,409 148 E*Trade Financial* 11,138 268 East West Bancorp 1,488 53 Eaton Vance 2,810 90 Equity Office Properties Trust+ (B) 9,594 462 Equity Residential+ (B) 7,787 415 Erie Indemnity, Cl A 1,119 63 Essex Property Trust+ 569 75 Fannie Mae 25,233 1,439 Federal Realty Investment Trust+ 1,296 110 Federated Investors, Cl B 2,158 72 Fidelity National Title Group, Cl A 5,904 134 Fifth Third Bancorp 12,682 500 First American 2,484 96 First Citizens Bancshares, Cl A 200 40 First Horizon National (B) 3,229 129 First Marblehead (B) 799 60 Forest City Enterprises, Cl A 1,742 101 Franklin Resources 4,403 470 Freddie Mac 18,007 1,209 Fulton Financial 4,195 68 General Growth Properties+ 4,440 244 Genworth Financial, Cl A 11,992 393 Global Signal+ 308 17 Goldman Sachs Group 9,975 1,943 Hanover Insurance Group 1,293 61 Hartford Financial Services Group 8,010 687 HCC Insurance Holdings 2,841 86 Health Care Property Investors+ (B) 3,474 126 Health Care+ 1,383 58 Hospitality Properties Trust+ 1,766 89 Host Hotels & Resorts+ (B) 13,600 343 HRPT Properties Trust+ 5,102 64 Hudson City Bancorp 15,428 205 Huntington Bancshares 6,189 150 IndyMac Bancorp 1,599 73 IntercontinentalExchange* 500 49 Investment Technology Group* 1,200 45 Investors Financial Services 1,755 70 iStar Financial+ 2,895 135 Janus Capital Group (B) 5,665 115 Jefferies Group 2,914 84 Jones Lang LaSalle* 1,000 91 -------------------------------------------------------------------------------- 48 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- JPMorgan Chase 90,722 $ 4,199 Keycorp 10,595 382 Kilroy Realty+ 900 74 Kimco Realty+ 5,644 262 Legg Mason 3,281 313 Lehman Brothers Holdings 13,894 1,024 Leucadia National (B) 4,220 116 Liberty Property Trust+ (B) 2,306 118 Lincoln National 7,388 470 Loews 11,418 456 M&T Bank 1,983 235 Macerich+ 1,868 160 Mack-Cali Realty+ 1,598 87 Markel* 250 112 Marsh & McLennan 14,165 445 Marshall & Ilsley 6,660 305 MBIA 3,559 248 Mellon Financial 10,863 437 Mercantile Bankshares 3,148 144 Mercury General 696 37 Merrill Lynch 24,049 2,103 Metlife 12,038 707 MGIC Investment 2,315 134 Moody's 6,427 447 Morgan Stanley 27,878 2,123 Nasdaq Stock Market* 2,600 104 National City (B) 15,176 548 Nationwide Financial Services, Cl A 1,461 76 Nelnet, Cl A* 363 10 New Century Financial+ (B) 1,221 44 New Plan Excel Realty Trust+ 2,695 77 New York Community Bancorp (B) 8,172 132 North Fork Bancorporation 12,932 363 Northern Trust 5,705 325 Nuveen Investments, Cl A 1,948 97 NYSE Group (B)* 4,100 410 Old Republic International 5,890 133 Peoples Bank 1,588 71 Philadelphia Consolidated Holding* 1,248 56 Plum Creek Timber+ 5,021 187 PMI Group 2,343 101 PNC Financial Services Group 7,686 543 Popular 7,230 128 Principal Financial Group 7,318 423 Progressive 20,580 464 Prologis+ 6,288 410 Protective Life 1,809 85 Prudential Financial 12,763 1,040 Public Storage+ 3,168 305 Radian Group 2,198 117 Raymond James Financial 2,421 76 Rayonier+ 1,903 79 Realogy* 5,874 153 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Reckson Associates Realty+ 2,092 $ 101 Regency Centers+ 1,708 135 Regions Financial 19,287 707 Reinsurance Group of America 799 44 Safeco 3,035 184 SEI (H) 1,521 89 Simon Property Group+ 5,852 597 Sky Financial Group 2,865 71 SL Green Realty+ 1,151 156 SLM 10,914 500 South Financial Group 1,800 47 Sovereign Bancorp (B) 10,558 264 St. Joe (B) 1,861 104 St. Paul Travelers 18,044 935 Stancorp Financial Group 1,442 65 State Street 8,804 547 Student Loan 102 21 SunTrust Banks 9,446 771 Synovus Financial 6,872 206 T Rowe Price Group 7,080 307 Taubman Centers+ 1,500 74 TCF Financial 3,201 84 TD Ameritrade Holding 8,645 152 TD Banknorth 2,528 81 Thornburg Mortgage+ (B) 3,341 84 Torchmark 2,650 168 Transatlantic Holdings 655 41 UnionBanCal 1,397 80 United Dominion Realty Trust+ 3,319 111 Unitrin 1,260 62 UnumProvident (B) 8,905 182 US Bancorp 46,343 1,559 Valley National Bancorp 2,865 74 Ventas+ 2,544 99 Vornado Realty Trust+ 3,110 392 Wachovia 49,164 2,664 Washington Federal 2,263 53 Washington Mutual (B) 25,027 1,093 Webster Financial 1,346 64 Weingarten Realty Investors+ (B) 2,067 99 Wells Fargo 87,686 3,090 Wesco Financial 41 20 Whitney Holding 1,557 50 Wilmington Trust 1,692 70 WR Berkley 4,214 148 Zions Bancorporation 2,802 219 -------- 80,399 -------- HEALTH CARE -- 11.9% Abbott Laboratories 39,776 1,856 Abraxis BioScience* 563 15 Advanced Medical Optics* 1,627 57 Aetna 14,734 609 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 49 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Index Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Allergan 3,948 $ 460 AmerisourceBergen 5,462 251 Amgen* 30,767 2,184 Amylin Pharmaceuticals (B)* 3,000 120 Applera - Applied Biosystems Group 4,694 171 Barr Pharmaceuticals* 2,682 137 Bausch & Lomb 1,330 64 Baxter International 16,975 759 Beckman Coulter 1,512 90 Becton Dickinson 6,544 469 Biogen Idec* 9,114 476 Biomet 6,690 253 Boston Scientific* 31,839 504 Bristol-Myers Squibb (B) 51,213 1,272 Brookdale Senior Living 700 32 C.R. Bard 2,685 221 Cardinal Health 11,029 713 Caremark Rx 11,620 550 Celgene* 9,192 512 Cephalon (B)* 1,648 123 Cerner* 1,574 76 Charles River Laboratories International* 1,843 77 Cigna 2,885 364 Community Health Systems* 2,362 83 Cooper 1,104 60 Covance* 1,336 80 Coventry Health Care* 4,162 200 Cytyc* 2,903 76 Dade Behring Holdings 2,242 85 DaVita* 2,708 144 Dentsply International 3,998 128 Edwards Lifesciences* 1,507 69 Eli Lilly 25,561 1,370 Emdeon (B)* 6,956 82 Endo Pharmaceuticals Holdings* 3,697 100 Express Scripts* 2,961 202 Forest Laboratories* 8,673 422 Gen-Probe* 1,327 65 Genentech (B)* 12,085 988 Genzyme* 6,853 441 Gilead Sciences* 11,775 776 Health Management Associates, Cl A 6,222 128 Health Net* 3,002 139 Henry Schein* 2,284 118 Hillenbrand Industries 1,524 88 Hospira* 4,081 134 Humana* 4,375 237 Idexx Laboratories* 826 70 ImClone Systems (B)* 1,728 52 IMS Health 5,061 139 Intuitive Surgical (B)* 1,000 102 Invitrogen (B)* 1,290 71 Johnson & Johnson 77,309 5,095 Kinetic Concepts* 1,213 44 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- King Pharmaceuticals* 6,226 $ 103 Kos Pharmaceuticals* 304 24 Laboratory of America Holdings (B) 3,211 227 LifePoint Hospitals* 1,376 48 Lincare Holdings* 2,327 88 Manor Care 1,994 95 McKesson 8,066 398 Medco Health Solutions 8,010 402 Medimmune (B)* 6,294 206 Medtronic 31,485 1,641 Merck 56,940 2,534 Millennium Pharmaceuticals* 7,816 88 Millipore* 1,486 102 Mylan Laboratories 5,419 110 Omnicare 3,131 124 Patterson (B)* 3,583 133 PDL BioPharma* 2,731 62 Pediatrix Medical Group* 1,400 67 PerkinElmer 3,334 72 Pfizer 191,255 5,258 Pharmaceutical Product Development 2,484 78 Quest Diagnostics 4,144 220 Resmed* 2,155 108 Respironics* 1,840 66 Schering-Plough 38,409 845 Sepracor (B)* 2,861 160 Sierra Health Services* 1,734 61 St. Jude Medical* 9,446 352 Stryker 7,904 410 Techne* 941 51 Tenet Healthcare (B)* 11,494 81 Thermo Electron (B)* 10,825 474 Triad Hospitals* 2,163 92 UnitedHealth Group 35,129 1,724 Universal Health Services, Cl B 1,088 60 Varian Medical Systems (B)* 3,530 174 VCA Antech* 2,039 66 Vertex Pharmaceuticals* 3,100 137 Waters* 2,772 139 Watson Pharmaceuticals* 2,518 65 WellCare Health Plans* 900 58 WellPoint* 16,631 1,258 Wyeth 35,040 1,692 Zimmer Holdings* 6,525 476 -------- 44,832 -------- INDUSTRIALS -- 10.4% 3M 19,646 1,600 Adesa 2,372 63 AGCO (B)* 2,500 78 Alexander & Baldwin 1,082 48 Alliant Techsystems* 936 72 -------------------------------------------------------------------------------- 50 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Allied Waste Industries (B)* 6,933 $ 88 American Power Conversion 4,451 135 American Standard 4,572 205 Ametek 2,648 86 AMR* 5,486 175 Aramark, Cl B 3,288 110 Armor Holdings* 800 45 Avery Dennison 2,610 176 Avis Budget Group 2,784 57 Boeing 20,791 1,841 Brink's 1,300 73 Burlington Northern Santa Fe 9,498 714 Carlisle 833 68 Caterpillar 17,388 1,079 CH Robinson Worldwide 4,486 197 ChoicePoint* 2,297 84 Cintas 3,657 154 Con-way 1,323 61 Continental Airlines, Cl B (B)* 2,400 98 Copart* 1,813 55 Corporate Executive Board 1,096 104 Corrections of America* 1,650 75 Covanta Holding* 3,200 71 Crane 1,500 57 CSX 11,432 410 Cummins 1,378 165 Danaher (B) 6,151 450 Deere 6,209 596 Donaldson 1,972 69 Dover 5,457 274 DRS Technologies 1,100 55 Dun & Bradstreet* 1,656 136 Eaton 3,826 295 Emerson Electric 10,660 924 Equifax 3,456 131 Expeditors International Washington 5,748 260 Fastenal 3,262 117 FedEx 7,944 917 Flowserve* 1,600 86 Fluor 2,304 201 Gardner Denver* 1,500 57 GATX 1,300 60 General Dynamics 10,472 784 General Electric 270,923 9,558 Goodrich 3,192 144 Graco 1,824 76 Harsco 1,035 81 HNI 1,322 62 Honeywell International 21,490 924 Hubbell, Cl B 1,592 83 IDEX 1,262 61 Illinois Tool Works 13,180 622 ITT Industries 4,702 254 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Jacobs Engineering Group* 1,451 $ 122 JB Hunt Transport Services 2,972 65 JLG Industries 3,000 84 Joy Global 3,133 138 Kansas City Southern (B)* 2,100 57 Kennametal 1,100 67 Kirby* 1,500 54 L-3 Communications Holdings 3,177 261 Laidlaw International* 2,505 73 Landstar System 1,465 66 Lennox International 1,700 50 Lincoln Electric Holdings 1,200 73 Lockheed Martin 9,529 862 Manitowoc 1,700 102 Manpower 2,284 162 Masco (B) 10,709 307 Monster Worldwide* 3,118 136 MSC Industrial Direct, Cl A 1,120 44 Norfolk Southern 10,733 529 Northrop Grumman 8,878 594 Oshkosh Truck 1,759 84 Paccar 6,580 430 Pall 3,145 99 Parker Hannifin 3,103 259 Pentair 2,461 78 Pitney Bowes 5,785 267 Precision Castparts 3,546 268 Quanta Services* 3,400 62 Raytheon 11,568 590 Republic Services 3,349 139 Robert Half International 4,176 161 Rockwell Automation 4,504 293 Rockwell Collins 4,362 263 Roper Industries 2,200 113 RR Donnelley & Sons 5,677 200 Ryder System 1,506 79 Shaw Group* 2,200 66 Southwest Airlines 21,320 335 SPX 1,511 92 Steelcase, Cl A 1,475 26 Stericycle* 1,113 81 Swift Transportation* 996 28 Teleflex 940 61 Terex (B)* 2,748 154 Textron 3,461 337 Thomas & Betts* 1,467 76 Timken 1,960 58 Toro 1,060 48 Trinity Industries 2,200 83 UAL* 2,700 110 Union Pacific 7,108 643 United Parcel Service, Cl B 16,741 1,304 United Rentals* 1,800 45 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 51 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Index Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- United Technologies 26,366 $ 1,701 URS* 1,400 62 US Airways Group (B)* 1,700 96 USG (B)* 2,098 117 Walter Industries (B) 1,200 58 Waste Management 14,094 516 WESCO International* 1,300 87 WW Grainger 2,081 151 YRC Worldwide* 1,308 51 -------- 39,138 -------- INFORMATION TECHNOLOGY -- 15.1% Activision (B)* 6,878 117 Acxiom 2,400 60 ADC Telecommunications* 2,967 41 Adobe Systems* 15,502 622 Advanced Micro Devices* 12,634 273 Affiliated Computer Services, Cl A* 2,947 149 Agere Systems* 4,614 83 Agilent Technologies* 10,964 349 Akamai Technologies (B)* 4,118 201 Alliance Data Systems (B)* 2,112 137 Altera* 9,073 180 Amphenol, Cl A 2,246 153 Analog Devices 9,712 316 Apple Computer* 22,123 2,028 Applied Materials 36,455 655 Arrow Electronics* 2,989 95 Atmel* 12,000 61 Autodesk* 5,937 244 Automatic Data Processing 14,992 723 Avaya* 12,515 160 Avnet* 3,010 75 AVX 1,424 22 BEA Systems* 9,807 135 BMC Software (B)* 5,789 189 Broadcom, Cl A* 11,968 393 CA (B) 11,238 244 Cadence Design Systems* 7,263 134 CDW (B) 1,422 100 Ceridian* 3,775 93 CheckFree* 2,072 87 Ciena* 2,314 58 Cisco Systems* 159,327 4,283 Citrix Systems* 4,587 132 Cognizant Technology Solutions, Cl A* 3,644 297 Computer Sciences* 4,464 233 Compuware* 10,351 87 Comverse Technology* 5,014 98 Convergys* 3,669 89 Corning* 40,358 870 Cree (B)* 1,922 38 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Cypress Semiconductor* 3,900 $ 68 Dell* 60,143 1,638 Diebold 1,629 75 Dolby Laboratories, Cl A* 843 24 DST Systems* 1,395 87 eBay* 30,611 990 Electronic Arts* 7,965 445 Electronic Data Systems 13,342 362 EMC* 61,364 804 F5 Networks* 919 69 Factset Research Systems 1,200 63 Fair Isaac 1,626 68 Fairchild Semiconductor International* 3,400 56 Fidelity National Information Services 4,828 193 First Data 20,328 513 Fiserv* 4,469 228 Freescale Semiconductor, Cl B* 10,702 427 Global Payments 1,634 75 Google, Cl A* 5,408 2,622 Harris 3,589 151 Hewitt Associates, Cl A* 1,063 27 Hewlett-Packard 73,101 2,885 Ingram Micro, Cl A* 3,223 66 Integrated Device Technology* 5,600 92 Intel 151,758 3,240 International Business Machines 40,498 3,723 International Rectifier* 1,755 70 Intersil, Cl A 3,861 96 Intuit* 9,086 286 Iron Mountain* 2,909 125 Jabil Circuit* 4,874 138 JDS Uniphase (B)* 5,140 95 Juniper Networks (B)* 14,825 316 Kla-Tencor 5,109 264 Lam Research* 3,591 189 Lexmark International, Cl A (B)* 2,686 185 Linear Technology 7,857 253 LSI Logic* 10,182 109 Mastercard, Cl A (B) 1,700 173 Maxim Integrated Products 8,324 262 McAfee* 4,373 128 MEMC Electronic Materials* 3,638 145 Mettler Toledo International* 1,136 88 Microchip Technology 5,622 192 Micron Technology 19,416 283 Microsoft 231,100 6,778 Molex 3,570 114 MoneyGram International 2,400 73 Motorola 64,334 1,426 National Instruments 1,436 42 National Semiconductor 8,656 209 NAVTEQ (B)* 2,269 81 -------------------------------------------------------------------------------- 52 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- NCR* 4,789 $ 206 Network Appliance (B)* 9,955 390 Novell* 8,426 53 Novellus Systems (B)* 3,077 96 Nvidia* 9,304 344 Oracle* 103,567 1,971 Paychex 8,807 347 PMC - Sierra (B)* 5,800 44 QLogic* 4,180 93 Qualcomm 43,650 1,597 Rambus* 2,500 56 Red Hat (B)* 5,327 93 Sabre Holdings, Cl A 3,351 92 Salesforce.com* 2,038 79 SanDisk* 5,143 228 Sanmina-SCI* 11,865 44 Silicon Laboratories (B)* 1,400 45 Solectron* 22,315 74 Spansion, Cl A* 1,700 25 Sun Microsystems* 90,377 490 Symantec (B)* 26,048 552 Symbol Technologies 6,324 94 Synopsys* 3,882 99 Tech Data (B)* 1,550 65 Tektronix 1,979 60 Tellabs* 11,889 119 Teradyne (B)* 4,963 74 Texas Instruments 40,508 1,197 Total System Services 969 25 Trimble Navigation* 1,307 63 Unisys (B)* 8,532 62 VeriFone Holdings* 900 30 VeriSign* 6,585 172 Vishay Intertechnology* 4,350 57 Western Digital* 5,530 113 Western Union 20,328 463 Xerox* 25,551 422 Xilinx 8,757 235 Yahoo! (B)* 36,581 987 Zebra Technologies, Cl A* 1,825 64 -------- 56,735 -------- MATERIALS -- 3.2% Air Products & Chemicals 5,994 414 Airgas 1,515 64 Albemarle 1,072 75 Alcoa 22,602 705 Allegheny Technologies 2,597 233 Ashland 1,676 113 Ball 2,675 114 Bemis 2,774 95 Cabot 1,673 69 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Carpenter Technology 700 $ 75 Celanese, Ser A 1,483 33 Chemtura 5,354 52 Commercial Metals 3,400 99 Crown Holdings* 4,151 86 Cytec Industries 981 52 Dow Chemical 24,970 999 E.I. du Pont de Nemours 23,992 1,126 Eagle Materials 1,400 60 Eastman Chemical 2,142 127 Ecolab 4,691 208 Florida Rock Industries 1,170 53 FMC 930 66 Freeport-McMoRan Copper & Gold, Cl B 4,889 307 Huntsman* 2,929 51 International Flavors & Fragrances 2,391 113 International Paper 11,755 389 Louisiana-Pacific 2,846 60 Lubrizol 1,734 82 Lyondell Chemical 6,009 148 Martin Marietta Materials 1,163 115 MeadWestvaco 4,458 132 Monsanto 14,050 675 Mosaic* 3,578 76 Nalco Holding* 2,517 50 Newmont Mining 11,033 518 Nucor 8,290 496 Owens-Illinois* 3,491 66 Packaging of America 1,899 43 Pactiv* 3,483 120 Phelps Dodge 5,358 659 PPG Industries 4,323 278 Praxair 8,525 532 Reliance Steel & Aluminum 1,800 69 Rohm & Haas 4,153 217 RPM International 2,969 60 Scotts Miracle-Gro, Cl A 1,100 54 Sealed Air 2,034 121 Sigma-Aldrich 1,774 135 Smurfit-Stone Container (B)* 6,145 66 Sonoco Products 2,646 98 Southern Copper (B) 416 23 Steel Dynamics 2,800 91 Temple-Inland 2,775 108 Titanium Metals* 2,100 67 United States Steel (B) 3,183 238 Valhi 122 3 Valspar 2,664 75 Vulcan Materials 2,611 232 Weyerhaeuser 6,526 422 -------- 11,907 -------- -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 53 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Index Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES -- 3.4% Alltel 10,095 $ 573 American Tower, Cl A* 11,022 417 AT&T (B) 101,480 3,441 BellSouth 47,195 2,104 CenturyTel 3,201 136 Citizens Communications (B) 8,255 117 Crown Castle International* 5,473 189 Embarq 3,932 202 Leap Wireless International* 1,200 68 Level 3 Communications (B)* 29,600 158 NeuStar, Cl A* 1,700 57 NII Holdings* 3,720 242 Qwest Communications International (B)* 41,496 319 SBA Communications, Cl A* 2,900 82 Sprint Nextel 75,444 1,472 Telephone & Data Systems 2,902 150 US Cellular* 431 29 Verizon Communications 76,115 2,660 Windstream 11,147 155 -------- 12,571 -------- UTILITIES -- 3.8% AES* 17,324 405 AGL Resources 1,947 75 Allegheny Energy* 4,166 185 Alliant Energy 2,976 116 Ameren (B) 5,290 289 American Electric Power 10,450 434 Aqua America 3,177 76 Atmos Energy 1,991 65 CenterPoint Energy 8,015 131 CMS Energy (B)* 5,542 90 Consolidated Edison 6,516 314 Constellation Energy Group 4,658 320 Dominion Resources 9,156 739 DPL 3,246 91 DTE Energy (B) 4,764 224 Duke Energy 32,119 1,019 Dynegy, Cl A* 8,911 61 Edison International 8,579 394 Energen 1,837 83 Energy East 3,567 87 Entergy 5,498 502 Equitable Resources 2,966 129 Exelon 17,329 1,052 FirstEnergy 8,481 507 FPL Group 10,473 558 Great Plains Energy 1,871 59 Hawaiian Electric Industries 2,146 58 KeySpan 4,653 191 -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- MDU Resources Group 4,621 $ 122 Mirant (B)* 7,661 233 National Fuel Gas (B) 2,089 79 NiSource (B) 7,421 183 Northeast Utilities 3,907 110 NRG Energy* 3,600 205 NSTAR 2,928 103 OGE Energy 2,268 89 Oneok (B) 3,029 131 Pepco Holdings 4,944 127 PG&E 9,218 423 Pinnacle West Capital 2,592 128 PPL 9,726 354 Progress Energy (B) 6,661 318 Public Service Enterprise Group 6,426 432 Puget Energy 2,661 66 Questar 2,273 196 Reliant Energy* 7,859 105 SCANA 3,020 125 Sempra Energy 6,923 377 Sierra Pacific Resources* 5,600 92 Southern (B) 19,203 696 Southern Union 2,268 64 TECO Energy 5,000 85 TXU 11,838 679 UGI 2,550 72 Vectren 1,991 57 Wisconsin Energy 2,949 138 WPS Resources 1,002 52 Xcel Energy (B) 10,581 243 -------- 14,338 -------- Total Common Stock (Cost $254,433) ($ Thousands) 366,853 -------- CORPORATE OBLIGATIONS (C) -- 4.6% FINANCIALS -- 4.6% Allstate Life Global Funding II MTN (E) (F) 5.360%, 12/17/07 $ 270 270 American General Finance (E) (F) 5.350%, 12/17/07 852 852 Bear Stearns EXL (E) 5.360%, 12/17/07 1,046 1,046 Countrywide Financial MTN (E) 5.448%, 10/31/07 1,234 1,234 Dekabank (E) (F) 5.394%, 11/20/07 1,087 1,087 Irish Life & Permanent MTN, Ser X (E) (F) 5.360%, 12/21/07 781 781 -------------------------------------------------------------------------------- 54 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)/Shares ($ Thousands) -------------------------------------------------------------------------------- Islandsbanki (E) (F) 5.370%, 04/06/07 $1,380 $ 1,380 Jackson National Life Funding (E) (F) 5.320%, 12/03/07 1,292 1,292 Kaupthing Bank MTN (E) (F) 5.380%, 03/20/07 1,469 1,469 Landsbanki Islands (E) (F) 5.400%, 03/16/07 1,116 1,116 Morgan Stanley EXL (E) 5.380%, 01/04/08 206 206 Morgan Stanley EXL, Ser S (E) 5.340%, 12/05/07 294 294 Natexis Banques (E) (F) 5.300%, 12/17/07 573 573 Nationwide Building Society (E) (F) 5.424%, 10/26/07 323 323 5.350%, 12/07/07 587 587 Nordbank (E) (F) 5.350%, 12/24/07 999 998 Northern Rock (E) (F) 5.360%, 12/03/07 605 605 Pacific Life Global Funding (E) (F) 5.370%, 12/13/07 441 441 Premium Asset Trust, Ser 2004-10 (E) (F) 5.360%, 12/17/07 822 822 SLM EXL, Ser S (E) (F) 5.320%, 12/17/07 646 646 Skandinav Enskilda Bank (E) (F) 5.320%, 12/18/07 646 646 Stanfield Victoria MTN (F) 5.445%, 06/11/07 587 587 -------- Total Corporate Obligations (Cost $17,255) ($ Thousands) 17,255 -------- CASH EQUIVALENT -- 1.7% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.300%** 6,301,197 6,301 -------- Total Cash Equivalent (Cost $6,301) ($ Thousands) 6,301 -------- COMMERCIAL PAPER (C) (D) -- 0.9% FINANCIALS -- 0.9% Broadhollow Funding 5.305%, 12/07/06 329 329 KKR Pacific Funding Trust 5.345%, 12/27/06 587 585 5.305%, 01/02/07 294 292 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Ocala Funding LLC 5.320%, 12/18/06 $ 294 $ 293 5.320%, 01/26/07 294 291 Rhineland Funding Capital 5.385%, 01/25/07 370 367 5.364%, 12/27/06 294 293 5.364%, 02/13/07 291 288 5.313%, 12/12/06 193 193 Witherspoon Funding Limited 5.329%, 12/15/06 294 293 Witherspoon Funding, Ser 2004-1A 5.330%, 03/15/07 507 507 -------- Total Commercial Paper (Cost $3,731) ($ Thousands) 3,731 -------- ASSET-BACKED SECURITIES (C) (E) -- 0.5% MORTGAGE RELATED SECURITIES -- 0.5% Commodore, Ser 2003-2A, Cl A1MM 5.470%, 12/12/38 270 270 Duke Funding, Ser 2004-6B, Cl A1S1 5.440%, 10/09/07 441 441 Newcastle CDO, Ser 2005-6A, Cl IM1 5.340%, 04/24/07 117 117 Park Place Securities NIM Trust, Ser 2004-MM1, Cl MM1 5.350%, 02/26/07 175 175 Saturn Ventures II 5.380%, 02/07/07 473 473 TIAA Real Estate CDO, Ser 2003 1A, Cl A1MM 5.350%, 09/28/07 437 437 -------- Total Asset-Backed Securities (Cost $1,913) ($ Thousands) 1,913 -------- CERTIFICATES OF DEPOSIT (C) -- 0.3% Barclays Bank (E) 5.330%, 06/11/07 294 294 CC USA MTN 5.379%, 06/18/07 587 587 U.S. Trust of New York (E) 5.316%, 03/13/07 235 235 -------- Total Certificates of Deposit (Cost $1,116) ($ Thousands) 1,116 -------- -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 55 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Index Fund (Concluded) November 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- MASTER NOTE (C) (D) -- 0.4% Bank of America 5.383%, 12/01/45 $1,469 $ 1,469 -------- Total Master Note (Cost $1,469) ($ Thousands) 1,469 -------- U.S. TREASURY OBLIGATION (A) (D) -- 0.2% U.S. Treasury Bill 4.853%, 12/07/06 755 754 -------- Total U.S. Treasury Obligation (Cost $754) ($ Thousands) 754 -------- REPURCHASE AGREEMENTS (C) (G) -- 1.8% ABN Amro 5.300%, dated 11/30/06, to be repurchased on 12/01/06, repurchase price $2,350,086 (collateralized by various U.S. Government obligations, ranging in par value $29,372- $881,152, 0.000%-6.000%, 03/01/07-07/01/36; with total market value $2,396,735) 2,350 2,350 Barclays 5.300%, dated 11/30/06, to be repurchased on 12/01/06, repurchase price $500,110 (collateralized by various U.S. Government obligations, ranging in par value $10,956- $155,788, 2.750%-5.700%, 12/15/06-05/27/15; with total market value $510,045) 500 500 Deutsche Bank 5.300%, dated 11/30/06, to be repurchased on 12/01/06, repurchase price $200,004 (collateralized by various U.S. Government obligations, ranging in par value $55,748- $151,206, 0.000%-5.800%, 05/01/07-01/27/20; with total market value $203,988) 200 200 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Lehman Brothers 5.300%, dated 11/30/06, to be repurchased on 12/01/06, repurchase price $3,639,231 (collateralized by various U.S. Government obligations, ranging in par value $26,934-$4,540,760, 3.085%-8.625%, 12/21/07-01/15/30; with total market value $3,711,491) $3,639 $ 3,639 -------- Total Repurchase Agreements (Cost $6,689) ($ Thousands) 6,689 -------- Total Investments -- 108.1% (Cost $293,661) ($ Thousands) $406,081 ======== A summary of the open future contracts held by the Fund at November 30, 2006, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED APPRECIATION TYPE OF NUMBER OF EXPIRATION (DEPRECIATION) CONTRACT CONTRACTS DATE ($ THOUSANDS) -------------------------------------------------------------------------------- S&P 500 Index E-Mini 124 Dec-2006 $481 ==== Percentages are based on Net Assets of $375,556 ($ Thousands) * Non-income producing security. ** Rate shown is the 7-day effective yield as of November 30, 2006. + Real Estate Investments Trust (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. (B) This security or a partial position of this security is on loan at November 30, 2006 (See Note 9). The total value of securities on loan at November 30, 2006 was $31,399 ($ Thousands). (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, 2006 was $32,173 ($ Thousands). (D) The rate reported is the effective yield at time of purchase. (E) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of November 30, 2006. (F) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (G) Tri-Party Repurchase Agreement (H) The Fund may purchase securities of certain companies with which it is affiliated to the extent these companies are represented in its benchmark Index. CDO -- Collateralized Debt Obligation Cl -- Class EXL -- Extendable Maturity LLC -- Limited Liability Company MTN -- Medium Term Note NIM -- Net Interest Margin Ser -- Series The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 56 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 Small Cap Fund November 30, 2006 -------------------------------------------------------------------------------- [Bar Chart Omitted] Plot points as follows: SECTOR WEIGHTINGS++: 26.4% Financials 16.7% Information Technology 11.4% Industrials 10.8% Consumer Discretionary 8.6% Health Care 6.9% Short-Term Investments 5.3% Energy 3.9% Materials 2.3% Utilities 2.1% Consumer Staples 1.6% Commercial Paper 1.1% Asset-Backed Securities 0.8% Master Note 0.7% Telecommunication Services 0.6% Certificate of Deposit 0.4% Collateralized Debt Obligations 0.3% Exchange Traded Funds 0.1% U.S. Treasury Obligations 0.0% Warrants ++Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 9). -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- COMMON STOCK -- 96.2% CONSUMER DISCRETIONARY -- 13.2% 1-800 Contacts (B)* 33,600 $ 543 1-800-FLOWERS.COM, Cl A* 60,100 338 AC Moore Arts & Crafts* 5,820 124 Advance Auto Parts 24,300 865 Aftermarket Technology* 95,639 1,857 Amazon.com* 73,645 2,971 America's Car-Mart (B)* 9,400 106 American Axle & Manufacturing Holdings (B) 76,650 1,403 American Greetings, Cl A 131,147 3,123 Applebee's International (B) 77,996 1,774 Arctic Cat 68,600 1,136 ArvinMeritor 296,977 5,141 Asbury Automotive Group 22,658 533 Audiovox, Cl A* 9,956 138 Bally Technologies (B)* 40,924 804 Bandag (B) 21,900 968 Belo, Cl A 41,824 761 Big 5 Sporting Goods 28,632 701 Big Lots* 75,215 1,678 BJ's Restaurants (B)* 77,500 1,609 Blockbuster, Cl A* 164,761 867 Blue Nile (B)* 38,800 1,300 Bluegreen* 11,499 156 Blyth 25,900 658 Bob Evans Farms 29,426 1,000 Bon-Ton Stores 32,053 1,198 Books-A-Million 29,652 622 Borders Group 95,381 2,184 Bright Horizons Family Solutions* 32,386 1,190 Brinker International 28,190 1,282 Brown Shoe 89,133 4,228 Building Material Holding (B) 4,300 106 Cablevision Systems, Cl A 21,934 609 Cache* 2,687 66 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Capella Education* 7,600 $ 192 Carter's (B)* 50,900 1,403 Casual Male Retail Group* 8,403 118 Cato, Cl A 89,664 2,129 CBRL Group 38,400 1,647 CEC Entertainment* 12,800 510 Champion Enterprises* 58,880 551 Charlotte Russe Holding* 26,083 787 Charming Shoppes (B)* 139,600 1,889 Charter Communications* 33,803 100 Cheesecake Factory* 16,400 454 Chipotle Mexican Grill, Cl A (B)* 40,100 2,324 Citadel Broadcasting 44,000 418 Claire's Stores 17,592 561 Coach* 93,000 4,019 Cooper Tire & Rubber (B) 38,442 509 Corinthian Colleges* 92,700 1,196 Courier 15,285 587 CPI 2,566 107 CROCS (B)* 102,800 4,415 CSK Auto (B)* 176,649 2,941 Ctrip.com International ADR (B) 28,695 1,593 Dana (B) 280,200 460 Deckers Outdoor* 6,613 369 Dick's Sporting Goods (B)* 16,083 863 Directed Electronics* 64,145 928 Dover Downs Gaming & Entertainment (B) 35,227 471 Dress Barn (B)* 67,037 1,624 DSW, Cl A* 9,676 371 DXP Enterprises* 7,320 211 Eddie Bauer Holdings* 310,700 2,843 Entercom Communications 47,748 1,287 Ethan Allen Interiors 50,100 1,778 Finish Line, Cl A 41,498 578 Focus Media Holding ADR* 25,871 1,844 FTD Group* 22,896 401 Furniture Brands International (B) 160,600 2,766 Gaiam, Cl A* 101,200 1,384 GameStop, Cl A (B)* 29,700 1,665 Gaylord Entertainment (B)* 2,335 114 Genesco (B)* 39,900 1,529 Getty Images* 5,883 257 Gildan Activewear* 31,400 1,732 Gray Television 210,200 1,320 Group 1 Automotive (B) 91,169 4,649 GSI Commerce (B)* 117,093 1,917 Guess?* 26,255 1,632 Guitar Center* 51,800 2,275 Gymboree (B)* 117,050 4,659 Handleman (B) 59,100 466 Harris Interactive* 14,321 69 Hartmarx* 4,379 29 Haverty Furniture 26,863 374 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 57 SCHEDULE OF INVESTMENTS (Unaudited) Small Cap Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Hibbett Sporting Goods* 110,458 $ 3,482 HOT Topic (B)* 211,800 2,828 Interface, Cl A* 68,098 1,012 Interstate Hotels & Resorts* 56,526 441 ITT Educational Services* 1,871 128 Jack in the Box* 34,800 2,140 Jackson Hewitt Tax Service 55,887 2,022 Jakks Pacific (B)* 67,800 1,481 Jarden (B)* 81,809 3,025 Jo-Ann Stores (B)* 98,247 1,938 Journal Communications, Cl A 129,600 1,534 Journal Register* 8,503 66 K2* 178,733 2,416 Kellwood 69,255 2,164 Kimball International, Cl B 32,463 779 La-Z-Boy (B) 43,142 508 Lakeland Industries* 55,600 776 Landry's Restaurants (B) 32,825 927 Laureate Education (B)* 16,011 832 Leapfrog Enterprises (B)* 88,000 790 Lear 2,949 91 Libbey 75,300 879 Life Time Fitness* 41,400 2,041 Lifetime Brands 69,200 1,391 Lin TV, Cl A* 114,700 1,038 Lithia Motors, Cl A 4,400 114 LKQ (B)* 70,826 1,621 Lodgenet Entertainment* 39,311 930 Luby's* 13,563 149 M/I Homes (B) 3,700 138 Magna Entertainment, Cl A* 25,595 113 Maidenform Brands* 54,165 1,036 MarineMax (B)* 71,399 1,918 Marvel Entertainment (B)* 82,000 2,304 McCormick & Schmick's Seafood Restaurants* 64,952 1,629 MDC Partners, Cl A* 355,900 2,527 Media General, Cl A 24,000 887 Men's Wearhouse* 14,574 558 Meritage Homes (B)* 31,149 1,513 Modine Manufacturing 58,082 1,429 Monarch Casino & Resort* 14,600 344 Morgans Hotel Group* 21,392 313 Morningstar* 14,197 636 Mothers Work* 17,694 726 Movie Gallery (B) 49,300 140 NetFlix* 53,652 1,576 New Frontier Media* 73,920 663 New Oriental Education & Technology Group ADR* 9,874 315 New York* 59,213 767 Noble International 11,348 215 Nutri/System (B)* 63,210 4,365 O'Charleys* 12,253 246 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- OfficeMax 14,551 $ 685 Orient-Express Hotels, Cl A 34,200 1,464 Outdoor Channel Holdings (B)* 146,000 1,878 Pacific Sunwear of California* 43,430 855 Papa John's International* 17,826 553 Payless Shoesource* 108,924 3,397 Perry Ellis International* 33,803 1,283 PF Chang's China Bistro (B)* 10,345 373 Phillips-Van Heusen 66,220 3,267 Pier 1 Imports (B) 161,400 1,073 Pinnacle Entertainment* 39,600 1,287 Pool (B) 22,047 903 Pre-Paid Legal Services 10,610 440 Priceline.com (B)* 52,860 2,087 Princeton Review* 123,900 657 ProQuest* 57,200 792 Quiksilver (B)* 531,600 7,735 RadioShack* 71,700 1,257 RCN* 27,800 836 Regal Entertainment Group, Cl A (B) 60,800 1,265 Regis 76,470 2,930 Rent-A-Center* 92,870 2,539 Restoration Hardware* 58,624 501 Retail Ventures* 59,507 1,132 RRSat Global Communications* 62,000 727 Ruby Tuesday (B) 45,800 1,236 Ryland Group (B) 27,900 1,472 Saks 61,900 1,270 Sauer-Danfoss 5,814 180 Scholastic (B)* 69,261 2,308 Shiloh Industries* 3,199 53 Shoe Carnival* 14,592 393 Shuffle Master (B)* 55,095 1,716 Shutterfly (B)* 55,200 846 Sirius Satellite Radio* 52,200 222 Sonic (B)* 115,120 2,703 Sonic Automotive 116,200 3,316 Sotheby's Holdings, Cl A (B)* 43,490 1,352 Source Interlink* 24,900 222 Stamps.com* 7,279 114 Standard Motor Products 15,635 215 Standard-Pacific 88,709 2,276 Stanley Furniture 4,428 98 Starwood Hotels & Resorts Worldwide 75,700 4,858 Steinway Musical Instruments* 3,300 96 Steven Madden* 25,320 931 Stewart Enterprises, Cl A 49,904 319 Sunterra* 21,901 228 Superior Industries International (B) 36,900 728 Talbots 26,121 651 Tempur-Pedic International (B)* 108,100 2,279 Tenneco* 65,237 1,538 Tim Hortons 8,335 257 Timberland, Cl A* 53,600 1,675 -------------------------------------------------------------------------------- 58 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Town Sports International Holdings* 14,300 $ 233 Tractor Supply (B)* 20,500 976 Tuesday Morning (B) 33,600 591 Tween Brands (B)* 20,000 838 Under Armour, Cl A (B)* 117,762 5,525 Unifirst 61,700 2,561 Vail Resorts* 32,866 1,447 Valassis Communications (B)* 50,400 779 Valuevision Media, Cl A* 12,370 164 Vertrue (B)* 6,800 260 VistaPrint* 19,369 645 Visteon (B)* 108,300 871 Volcom* 51,500 1,669 Warnaco Group* 45,513 1,180 WCI Communities* 4,300 80 West Marine* 5,424 94 Westwood One 123,700 815 WMS Industries (B)* 52,500 1,826 Wolverine World Wide 38,930 1,131 World Wrestling Entertainment 29,200 465 Xerium Technologies 17,100 174 Yankee Candle 16,900 576 Yum! Brands 1,500 92 Zale (B)* 80,696 2,483 Zumiez (B)* 26,200 805 ---------- 273,003 ---------- CONSUMER STAPLES -- 2.6% Alliance One International* 68,626 445 Andersons 15,412 635 BJ's Wholesale Club* 98,900 3,194 Casey's General Stores 38,952 970 Central Garden & Pet* 14,219 742 Chiquita Brands International (B) 121,688 1,740 Coca-Cola Bottling 2,040 129 ConAgra Foods 3,827 98 Corn Products International 33,175 1,205 Del Monte Foods 85,100 961 Delta & Pine Land 7,000 284 Energizer Holdings* 2,200 145 Gold Kist* 49,400 979 Hain Celestial Group* 108,680 3,265 Inter Parfums 2,964 60 J&J Snack Foods 19,863 760 JM Smucker 17,717 852 Lancaster Colony 46,800 2,000 Lance 93,800 1,793 Longs Drug Stores 75,180 3,089 Mannatech (B) 49,100 733 MGP Ingredients (B) 36,200 790 Molson Coors Brewing, Cl B 31,700 2,253 Nash Finch (B) 29,875 790 NBTY* 74,527 2,709 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Nu Skin Enterprises, Cl A 55,159 $ 1,058 Pantry* 46,155 2,263 Pathmark Stores* 141,033 1,592 Performance Food Group (B)* 24,350 659 Physicians Formula Holdings* 62,400 1,142 Pilgrim's Pride (B) 49,325 1,259 Playtex Products* 12,457 185 Premium Standard Farms 19,803 376 Ralcorp Holdings* 52,389 2,653 Sanderson Farms (B) 57,300 1,584 Smart & Final* 47,098 851 Spartan Stores 98,600 2,074 Spectrum Brands* 75,172 665 Susser Holdings* 24,700 490 Tyson Foods, Cl A 54,495 866 United Natural Foods (B)* 36,975 1,310 Universal (B) 64,320 2,995 Weis Markets 41,200 1,665 Wild Oats Markets* 7,640 116 ---------- 54,424 ---------- ENERGY -- 6.5% Allis-Chalmers Energy (B)* 26,647 562 Arch Coal 9,296 334 Arena Resources* 5,000 219 Arlington Tankers* 74,500 1,706 Atlas America (B)* 20,372 990 Atwood Oceanics* 61,000 3,024 Aurora Oil & Gas* 190,800 653 Aventine Renewable Energy Holdings (B)* 38,300 977 BA Energy (Canada)* 119,000 990 Basic Energy Services* 157,300 3,975 Berry Petroleum, Cl A (B) 43,170 1,414 Bois d'Arc Energy (B)* 3,700 56 Bronco Drilling* 159,500 3,082 Cabot Oil & Gas 30,650 1,904 Callon Petroleum* 33,107 534 CARBO Ceramics (B) 65,600 2,552 Carrizo Oil & Gas* 25,864 861 Cimarex Energy (B) 52,700 1,982 Clayton Williams Energy* 34,584 1,366 Complete Production Services* 171,600 3,777 Compton Petroleum (Canada)* 85,300 902 Comstock Resources (B)* 60,500 1,846 Core Laboratories* 17,740 1,569 Delek US Holdings 62,300 1,062 Denbury Resources (B)* 27,694 813 Dresser-Rand Group* 43,200 1,046 Dril-Quip (B)* 50,555 2,140 Encore Acquisition* 86,250 2,343 Endeavour International* 128,400 295 Energy Partners (B)* 24,100 586 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 59 SCHEDULE OF INVESTMENTS (Unaudited) Small Cap Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Evergreen Energy (B)* 104,900 $ 923 EXCO Resources* 59,877 879 Forest Oil* 46,000 1,635 Foundation Coal Holdings 58,210 2,160 Gasco Energy* 85,700 228 GeoMet* 74,100 775 Giant Industries* 11,312 872 Global Industries* 95,100 1,358 GlobalSantaFe 5,000 300 Goodrich Petroleum (B)* 26,600 1,169 Harvest Natural Resources* 25,191 258 Helix Energy Solutions Group* 33,733 1,241 Hercules Offshore* 128,239 4,369 Holly (B) 28,513 1,540 Hornbeck Offshore Services (B)* 22,411 846 Houston Exploration* 22,537 1,265 Hydril* 24,832 1,879 Infinity Bio-Energy* 396,781 2,115 Input/Output (B)* 324,000 3,515 Lone Star Technologies* 35,100 1,841 Lufkin Industries 7,200 421 Mariner Energy* 76,200 1,596 Massey Energy 16,400 451 Matrix Service (B)* 49,100 785 Meridian Resource* 58,353 207 Na Oil Sands (Canada) (F) (H)* 245,500 2,580 NATCO Group, Cl A* 32,612 1,124 Natural Gas Services Group (B)* 85,200 1,335 Newpark Resources* 288,106 1,772 Noble 1,836 142 NS Group* 11,305 748 Oceaneering International* 20,200 881 Oilsands Quest (B)* 360,100 1,955 OMI 45,800 1,070 OPTI (Canada)* 169,000 2,920 Pacific Ethanol* 20,100 381 Parallel Petroleum* 36,833 727 Parker Drilling* 97,000 934 Petroquest Energy* 72,247 906 Pioneer Natural Resources 16,000 697 Plains Exploration & Production* 11,046 520 Rentech (B)* 414,300 1,665 Rosetta Resources (B)* 106,000 1,992 Rowan 1,871 67 RPC 78,400 1,764 St. Mary Land & Exploration 62,800 2,517 Stone Energy* 63,700 2,486 Superior Energy Services* 61,048 1,988 Swift Energy (B)* 112,301 5,740 SXR Uranium One (Canada)* 164,375 2,116 Synenco Energy (Canada) (F) (H)* 27,419 402 Synenco Energy (Canada)* 24,000 352 Synenco Energy, Cl A (Canada)* 103,200 1,514 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Tesoro 22,341 $ 1,574 Tetra Technologies (B)* 45,427 1,174 Union Drilling* 70,600 984 Universal Compression Holdings* 32,052 2,018 Uranium Resources* 174,700 1,198 USEC 54,597 680 Vaalco Energy* 134,400 1,128 VeraSun Energy (B)* 97,600 2,468 Veritas DGC* 13,765 1,076 W-H Energy Services* 41,131 1,964 Western Refining (B)* 32,600 923 World Fuel Services 55,035 2,669 ---------- 135,339 ---------- FINANCIALS -- 20.6% Acadia Realty Trust+ 66,500 1,728 Accredited Home Lenders Holding (B)* 39,623 1,174 Advance America Cash Advance Centers 56,800 804 Advanta, Cl B 33,750 1,540 Affiliated Managers Group (B)* 41,847 4,273 Affirmative Insurance Holdings 6,600 106 AMB Property+ 42,100 2,579 AmCOMP* 42,600 460 Amcore Financial 26,337 839 American Equity Investment Life Holding 188,838 2,455 American Home Mortgage Investment+ (B) 133,218 4,712 American Physicians Capital* 6,262 250 Ameris Bancorp 4,100 114 Amerisafe* 216,542 2,958 Amtrust Financial Services* 48,500 378 Anchor Bancorp Wisconsin 7,995 229 Annaly Capital Management+ (B) 220,401 3,081 Anthracite Capital+ 164,567 2,085 Anworth Mortgage Asset+ 226,804 2,141 Arbor Realty Trust+ 62,310 1,760 Archstone-Smith Trust+ 69,557 4,172 Argonaut Group* 29,993 1,016 Aspen Insurance Holdings 75,900 2,046 Asset Acceptance Capital* 20,100 335 Assured Guaranty 118,614 3,066 Asta Funding (B) 38,312 1,261 AvalonBay Communities+ (B) 41,400 5,510 BancFirst 8,794 468 BancorpSouth 120,900 3,149 Bank Mutual 188,786 2,288 Bank of the Ozarks (B) 11,900 390 BankAtlantic Bancorp, Cl A 94,131 1,230 Bankunited Financial, Cl A 99,999 2,550 Berkshire Hills Bancorp 16,200 546 BFC Financial, Cl A* 2,000 13 -------------------------------------------------------------------------------- 60 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- BioMed Realty Trust+ 51,969 $ 1,569 Boston Private Financial Holdings (B) 51,600 1,401 Brandywine Realty Trust+ (B) 77,900 2,738 BRE Properties, Cl A+ 29,000 1,875 Calamos Asset Management, Cl A 24,501 673 Camden Property Trust+ 45,300 3,612 Canaccord Capital (Canada) 144,200 2,109 Capital Crossing Bank* 2,422 71 Capital Lease Funding+ 110,100 1,325 Capital Southwest 3,300 427 Capital Trust, Cl A+ 21,300 950 Cardinal Financial 56,752 565 Cascade Bancorp (B) 42,870 1,297 Cash America International 53,307 2,353 Cathay General Bancorp (B) 24,900 856 CB Richard Ellis Group, Cl A* 53,888 1,775 CBRE Realty Finance+* 48,600 785 Cedar Shopping Centers+ 33,304 607 Center Financial 18,000 404 Central Pacific Financial 67,329 2,523 Chemical Financial 54,900 1,793 Chicago Mercantile Exchange Holdings 1,334 715 Citizens Banking (B) 99,347 2,666 City Bank 3,900 209 City Holding 16,200 640 Clark 42,569 698 CNA Surety* 38,100 760 CoBiz 5,300 123 Colonial Properties Trust+ 6,600 323 Columbia Bancorp 3,400 86 Columbia Banking System 19,316 650 Commerce Group 67,400 2,056 Community Bancorp* 18,785 571 Community Bank System 40,000 962 Community Trust Bancorp 19,594 792 Compass Diversified Trust 5,700 97 CompuCredit (B)* 38,543 1,452 Corporate Office Properties Trust+ (B) 103,500 5,145 Corus Bankshares (B) 134,236 3,008 Cousins Properties+ 13,800 501 Cowen Group* 44,190 748 Crawford, Cl B 23,924 173 Darwin Professional Underwriter* 35,400 831 Dearborn Bancorp* 36,520 774 Delphi Financial Group, Cl A 83,600 3,386 DiamondRock Hospitality+ 100,400 1,777 Dime Community Bancshares 73,250 1,031 Direct General 61,940 1,016 Dollar Financial* 63,000 1,843 Doral Financial 62,350 253 Douglas Emmett+* 132,400 3,482 Downey Financial 27,487 2,001 Dundee+ 10,500 335 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Dundee (Canada)+ 54,300 $ 1,733 Dundee Wealth Management (Canada) 120,110 1,298 Eagle Hospitality Properties Trust+ 45,500 429 Eaton Vance 39,968 1,275 Education Realty Trust+ 119,095 1,873 eHealth (B)* 12,500 280 EMC Insurance Group 7,826 270 Encore Capital Group* 9,287 129 Endurance Specialty Holdings 50,076 1,879 Entertainment Properties Trust+ 25,514 1,549 Equity Inns+ 51,863 844 Equity Office Properties Trust+ (B) 101,700 4,902 Equity One+ 54,574 1,489 Equity Residential+ (B) 79,200 4,218 Essex Property Trust+ 18,500 2,443 Evercore Partners, Cl A* 22,300 823 Extra Space Storage+ 137,200 2,527 Ezcorp, Cl A* 17,091 799 FBL Financial Group, Cl A 26,800 1,056 Federal Agricultural Mortgage, Cl C 70,064 1,828 Federal Realty Investment Trust+ 43,400 3,697 FelCor Lodging Trust+ 117,106 2,578 Financial Federal 38,980 1,080 First American 50,700 1,958 First Bancorp Puerto Rico 37,455 375 First Cash Financial Services* 185,756 3,795 First Financial Bancorp 71,586 1,188 First Financial Holdings 3,800 143 First Industrial Realty Trust+ (B) 33,000 1,658 First Merchants 34,800 928 First Mercury Financial* 46,700 985 First Midwest Bancorp 71,368 2,658 First Niagara Financial Group 90,300 1,298 First Place Financial 3,096 75 First Regional Bancorp* 11,303 380 First Republic Bank 37,250 1,494 FirstFed Financial (B)* 73,524 4,781 FirstMerit 77,105 1,827 Flagstar Bancorp 82,300 1,239 Flushing Financial 53,800 915 FNB 25,342 454 Fpic Insurance Group (B)* 29,200 1,132 Fremont General 15,540 264 Frontier Financial 7,125 214 GAMCO Investors, Cl A 19,600 765 GFI Group* 16,300 922 Glacier Bancorp 35,388 1,258 Gluskin Sheff + Associates (Canada) 70,500 957 Gluskin Sheff + Associates (Canada)* 29,700 403 GMP Capital Trust (Canada)* 24,900 470 Gramercy Capital+ 20,700 580 Greater Bay Bancorp 126,458 3,255 Greenhill (B) 45,800 3,193 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 61 SCHEDULE OF INVESTMENTS (Unaudited) Small Cap Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Grubb & Ellis Realty Advisors* 314,500 $ 1,918 Hallmark Financial Services* 3,240 32 Hancock Holding 2,270 122 Hanmi Financial 32,442 708 Hanover Insurance Group 44,036 2,086 Harbor Florida Bancshares 4,728 206 HCC Insurance Holdings (B) 29,750 898 Health Care Property Investors+ (B) 81,300 2,949 Health Care+ 23,783 997 Heritage Commerce* 3,500 91 Hersha Hospitality Trust+ 170,200 1,964 Highbury Financial (B)* 29,100 172 Highbury Financial Units* 118,000 1,115 Highland Hospitality+ 49,814 706 Hilb Rogal & Hobbs 60,100 2,500 Horace Mann Educators 50,179 1,015 Horizon Financial 4,625 114 Housevalues (B)* 56,000 301 HRPT Properties Trust+ 184,100 2,314 Hub International 37,300 1,138 IMPAC Mortgage Holdings+ (B) 109,241 1,072 IndyMac Bancorp 18,400 845 Innkeepers USA Trust+ 226,776 3,628 International Bancshares 17,683 547 Intervest Bancshares (B)* 25,042 873 Investment Technology Group* 32,500 1,219 IPC Holdings 12,800 399 Irwin Financial 110,088 2,425 ITLA Capital 2,473 131 Jones Lang LaSalle* 8,796 800 Kansas City Life Insurance 14,200 732 KBW* 45,800 1,220 KKR Financial+* 20,400 546 Knight Capital Group, Cl A* 16,174 285 Lakeland Financial 2,800 70 LandAmerica Financial Group 33,612 2,054 LaSalle Hotel Properties+ 1,957 86 Longview Fibre+ 8,871 185 LTC Properties+ 44,356 1,225 Luminent Mortgage Capital+ 321,800 3,321 Macatawa Bank 5,344 118 Macerich+ 36,700 3,137 Mack-Cali Realty+ 56,700 3,098 MAF Bancorp 75,050 3,301 Marlin Business Services* 34,600 750 Marsh & McLennan 45,499 1,430 Max Re Capital 31,300 751 Medical Properties Trust+ 66,000 980 MFA Mortgage Investments+ 318,100 2,475 Midwest Banc Holdings (B) 62,700 1,461 Mid-State Bancshares 18,982 690 MortgageIT Holdings+ 10,272 149 Move* 340,100 1,884 Nara Bancorp 87,178 1,768 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Nasdaq Stock Market* 51,900 $ 2,084 National Financial Partners 10,056 456 National Health Investors+ 7,072 237 National Retail Properties+ 36,000 859 Nationwide Financial Services, Cl A 19,699 1,024 Nationwide Health Properties+ 9,604 284 Navigators Group* 23,854 1,104 NBT Bancorp 76,300 1,888 NewAlliance Bancshares 106,812 1,746 Newcastle Investment+ 15,373 460 NNN Realty Ad* 169,500 1,695 NorthStar Realty Finance+* 115,137 1,827 Novastar Financial+ (B) 22,300 680 Ocwen Financial* 8,439 127 Odyssey Re Holdings (B) 44,100 1,555 Ohio Casualty 71,900 2,100 Old National Bancorp 113,700 2,135 Omega Healthcare Investors+ 9,800 174 optionsXpress Holdings (B)* 59,000 1,701 Pacific Capital Bancorp 3,698 121 Penson Worldwide* 5,500 123 PFF Bancorp 65,790 2,171 Pico Holdings* 30,058 955 Piper Jaffray (B)* 48,269 3,141 Platinum Underwriters Holdings 151,424 4,608 PMA Capital, Cl A* 44,091 391 PMI Group 19,500 845 Portfolio Recovery Associates (B)* 66,600 3,040 Post Properties+ 64,000 3,062 Preferred Bank 12,400 706 Premierwest Bancorp 4,835 75 Presidential Life 56,300 1,261 Privatebancorp 18,100 726 ProAssurance* 33,863 1,735 Prologis+ 59,600 3,884 Prosperity Bancshares 2,400 81 Provident Bankshares 26,566 980 PS Business Parks+ 29,700 2,116 Public Storage+ (B) 44,524 4,287 R & G Financial, Cl B 54,375 404 Rainier Pacific Financial Group 17,510 337 RAIT Investment Trust+ (B) 126,000 4,200 RenaissanceRe Holdings 14,800 871 RLI 11,788 652 Safety Insurance Group 40,412 2,117 Santander BanCorp 43,665 788 Security Capital Assurance 27,300 691 Selective Insurance Group 22,515 1,250 Shore Bancshares (B) 2,800 81 Sierra Bancorp 1,800 55 Signature Bank (B)* 90,624 2,914 Simon Property Group+ 51,900 5,293 SL Green Realty+ (B) 25,800 3,489 Smithtown Bancorp (B) 4,000 110 -------------------------------------------------------------------------------- 62 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- South Financial Group 92,240 $ 2,397 Southwest Bancorp 16,229 433 Sterling Bancorp 13,822 257 Sterling Financial, Pennsylvania Shares 3,850 89 Sterling Financial, Washington Shares (B) 117,790 3,952 Stewart Information Services (B) 92,213 3,602 Strategic Hotels & Resorts+ 122,900 2,673 Suffolk Bancorp 3,100 113 Sunstone Hotel Investors+ 48,500 1,352 Susquehanna Bancshares 58,400 1,615 SVB Financial Group (B)* 71,300 3,385 SWS Group 22,434 726 Synergy Financial Group 64,700 1,042 Taubman Centers+ 33,700 1,667 Taylor Capital Group 29,055 1,066 TD Ameritrade Holding 67,662 1,188 TD Banknorth 53,317 1,716 Technology Investment Capital 45,700 732 Thomas Weisel Partners Group (B)* 113,800 2,426 TierOne 23,101 721 Tower Group 42,455 1,398 TradeStation Group (B)* 173,700 2,534 Trammell Crow* 65,110 3,210 Triad Guaranty* 12,886 693 Trico Bancshares 3,700 100 Trustmark 38,332 1,250 UCBH Holdings 132,890 2,241 UMB Financial 46,480 1,710 Umpqua Holdings 44,854 1,347 UnionBanCal 14,701 846 United America Indemnity, Cl A* 32,723 821 United Bankshares 33,700 1,300 United Fire & Casualty 84,445 2,981 United Security Bancshares/Fresno 800 20 UnumProvident 22,664 464 Vineyard National Bancorp 4,600 99 Virginia Commerce Bancorp (B)* 18,400 358 Virginia Financial Group 3,050 84 W Holding 14,400 88 Waddell & Reed Financial, Cl A 6,600 165 Washington Federal 72,280 1,680 Washington Real Estate Investment Trust+ 18,850 808 Weingarten Realty Investors+ (B) 42,400 2,023 WesBanco 44,700 1,459 West Coast Bancorp 3,000 103 Whitney Holding 27,163 875 Wilshire Bancorp 39,975 764 Winston Hotels+ 48,743 662 Winthrop Realty Trust+ 142,200 912 Wintrust Financial 20,800 991 World Acceptance (B)* 62,508 2,837 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- WR Berkley 32,000 $ 1,124 WSFS Financial 25,394 1,640 Zenith National Insurance 55,695 2,571 ---------- 425,088 ---------- HEALTH CARE -- 10.4% Abaxis* 33,110 639 Abraxis BioScience* 16,575 445 Accelrys* 138,400 839 Adams Respiratory Therapeutics (B)* 10,931 430 Advanced Magnetics* 22,717 1,266 Affymetrix (B)* 149,206 3,775 Albany Molecular Research* 50,923 565 Align Technology (B)* 61,400 806 Alkermes* 211,895 3,217 Alliance Imaging* 302,978 1,806 Alpharma, Cl A 94,157 2,062 America Service Group* 29,700 473 American Dental Partners* 4,250 75 AMERIGROUP* 27,944 955 AMN Healthcare Services* 81,075 2,250 Amsurg (B)* 114,997 2,361 Analogic 22,156 1,172 Anesiva* 63,700 422 Applera - Celera Genomics Group* 157,800 2,264 Apria Healthcare Group* 109,232 2,728 Arena Pharmaceuticals (B)* 78,800 1,017 Ariad Pharmaceuticals (B)* 246,300 1,323 Array Biopharma* 80,600 1,062 Arrow International 28,463 994 Arthrocare* 30,060 1,253 Axcan Pharma* 88,207 1,310 Bio-Rad Laboratories, Cl A* 13,620 1,075 Bio-Reference Labs* 24,186 588 Biogen Idec* 13,200 690 Biosite (B)* 52,184 2,548 Bradley Pharmaceuticals (B)* 41,770 880 Cambrex 102,503 2,262 Cardiome Pharma* 54,900 637 Cell Genesys (B)* 277,200 1,076 Chemed 38,183 1,429 CNS 17,981 671 Combinatorx (B)* 45,900 416 Community Health Systems* 40,900 1,431 Computer Programs & Systems 32,433 1,168 Conceptus (B)* 81,800 1,876 Conmed (B)* 100,500 2,224 Cooper (B) 40,100 2,164 Cross Country Healthcare* 95,400 1,894 Cubist Pharmaceuticals (B)* 249,050 5,071 Cutera* 32,807 923 CV Therapeutics (B)* 560,841 6,719 Cynosure* 90,636 1,524 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 63 SCHEDULE OF INVESTMENTS (Unaudited) Small Cap Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Cypress Bioscience* 104,037 $ 901 Dade Behring Holdings 7,000 265 Datascope 33,808 1,145 DexCom* 63,700 717 Digene (B)* 86,065 4,398 Dionex* 5,443 313 Discovery Laboratories (B)* 87,400 185 Diversa* 19,900 226 DJO (B)* 68,875 2,929 Durect* 64,700 303 Eclipsys* 21,842 462 Emisphere Technologies (B)* 41,700 226 Encysive Pharmaceuticals (B)* 301,400 1,820 Enzon Pharmaceuticals (B)* 88,769 739 eResearch Technology* 48,203 309 Exelixis (B)* 223,718 1,928 Five Star Quality Care (B)* 203,811 2,073 Flamel Technologies ADR (B)* 23,000 643 Genesis HealthCare* 11,965 554 Genzyme* 18,822 1,212 Greatbatch (B)* 46,698 1,215 Haemonetics* 17,537 794 Health Net* 20,100 927 HealthSpring* 149,600 2,889 HealthTronics (B)* 86,874 584 Healthways* 10,095 464 Hologic (B)* 46,585 2,331 Home Diagnostics* 104,600 1,224 Hooper Holmes 143,500 482 Human Genome Sciences (B)* 189,408 2,371 ICU Medical* 12,024 486 Illumina (B)* 200 8 Immucor* 70,509 1,897 Incyte (B)* 346,300 1,815 InterMune (B)* 26,089 558 Inverness Medical Innovations* 38,396 1,498 Ista Pharmaceuticals (B)* 156,900 1,006 Kendle International* 41,193 1,443 Keryx Biopharmaceuticals* 97,700 1,348 Kindred Healthcare* 14,150 364 Kos Pharmaceuticals* 4,143 322 Landauer 4,142 225 Lemaitre Vascular* 65,200 379 Lexicon Genetics* 42,100 156 LHC Group* 2,475 68 Lifecell (B)* 30,994 676 LifePoint Hospitals* 46,539 1,615 Luminex* 28,100 360 Magellan Health Services* 23,600 1,038 Medarex (B)* 406,900 5,489 Medcath* 32,481 841 Medical Action Industries* 4,097 129 Medical Staffing Network Holdings* 81,400 476 Medicines* 37,402 1,068 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Medicis Pharmaceutical, Cl A 43,725 $ 1,613 Mentor (B) 37,600 1,878 Merge Technologies* 54,904 334 Meridian Bioscience 12,723 310 Merit Medical Systems* 5,502 88 Metabolix* 88,600 1,488 MGI Pharma (B)* 78,600 1,491 Micrus Endovascular* 129,800 2,554 Millennium Pharmaceuticals* 7,720 87 Molecular Devices* 35,820 756 Molina Healthcare* 20,773 706 Myriad Genetics (B)* 130,807 3,977 Nastech Pharmaceutical (B)* 154,200 2,874 National Dentex* 26,800 478 Nektar Therapeutics (B)* 46,500 768 Neurocrine Biosciences (B)* 36,300 335 Northfield Laboratories* 8,300 127 Noven Pharmaceuticals (B)* 72,400 1,717 Odyssey HealthCare* 174,653 2,162 Omnicell* 10,944 206 Option Care 135,878 1,913 OraSure Technologies (B)* 69,303 597 Orthofix International* 13,839 602 Owens & Minor 62,608 1,943 Pain Therapeutics (B)* 123,800 1,060 Par Pharmaceutical* 52,270 1,031 Parexel International* 4,699 130 PDL BioPharma (B)* 94,900 2,155 Penwest Pharmaceuticals (B)* 61,396 1,055 Per-Se Technologies (B)* 63,000 1,737 Perrigo 42,224 707 Pharmacopeia Drug Discovery* 75,429 309 PharmaNet Development Group* 32,127 731 Phase Forward* 49,345 738 PolyMedica (B) 60,800 2,406 Pozen* 23,000 378 PRA International (B)* 8,691 252 Profarma Distribuidora de Productos Farmaceuticos (Brazil)* 81,300 1,035 Progenics Pharmaceuticals* 16,900 463 Providence Service* 54,990 1,469 PSS World Medical* 87,360 1,829 Psychiatric Solutions* 64,995 2,365 Quidel* 18,200 248 Radiation Therapy Services (B)* 11,748 386 Regeneron Pharmaceuticals* 45,950 988 Res-Care* 62,028 1,141 Respironics* 11,826 426 Rigel Pharmaceuticals* 96,300 1,058 Savient Pharmaceuticals* 45,552 532 Sciele Pharma (B)* 39,600 895 Senomyx (B)* 19,392 261 SonoSite* 6,800 217 Spectranetics* 52,822 576 -------------------------------------------------------------------------------- 64 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- STERIS 44,657 $ 1,149 SuperGen (B)* 166,878 793 SurModics (B)* 43,556 1,471 Symbion* 101,200 1,796 Symmetry Medical* 31,320 426 Taro Pharmaceuticals Industries* 107,700 1,080 Telik (B)* 237,200 4,035 Tenet Healthcare* 24,938 177 Tercica (B)* 124,300 612 Theravance* 32,909 1,030 Triad Hospitals* 14,032 597 Trimeris (B)* 11,300 130 United Surgical Partners International (B)* 19,746 503 United Therapeutics (B)* 70,907 4,128 Universal Health Services, Cl B 6,786 375 Valeant Pharmaceuticals International 17,127 288 Varian* 35,275 1,555 Ventana Medical Systems* 34,767 1,463 Viropharma* 43,800 675 Vital Images* 1,822 59 WellCare Health Plans* 13,478 870 West Pharmaceutical Services 76,634 3,763 Zoll Medical (B)* 29,782 1,544 ---------- 214,770 ---------- INDUSTRIALS -- 14.0% ABX Air (B)* 91,965 582 ACCO Brands* 20,900 531 Accuride* 40,900 461 Active Power (B)* 155,600 417 Actuant, Cl A 23,877 1,291 Acuity Brands 68,430 3,604 Adesa 64,400 1,701 Advisory Board* 52,728 2,925 AGCO (B)* 104,406 3,261 Airtran Holdings* 16,104 200 Alaska Air Group* 54,574 2,245 Albany International, Cl A 86,379 2,695 Amerco* 19,612 1,703 American Commercial Lines (B)* 54,673 3,791 American Reprographics* 32,860 1,027 American Science & Engineering (B)* 17,000 1,078 American Woodmark (B) 64,370 2,510 Ameron International 10,485 789 AMR* 3,500 112 AO Smith 55,280 1,978 Apogee Enterprises 101,030 1,733 Applied Industrial Technologies 34,350 978 Aries Maritime Transport 78,900 774 Arkansas Best 31,895 1,209 Armor Holdings* 29,000 1,640 Astec Industries* 26,900 916 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- ASV* 12,891 $ 193 Atlas Air Worldwide Holdings* 11,100 470 AZZ* 1,488 63 Banta 26,087 945 Basin Water (B)* 108,000 756 BE Aerospace (B)* 197,447 5,175 Belden CDT 26,304 1,047 Blount International (B)* 110,900 1,303 Briggs & Stratton 25,443 689 Brink's 44,400 2,493 Bucyrus International, Cl A 27,512 1,175 Builders FirstSource (B)* 32,000 532 C&D Technologies 10,656 41 Canadian Solar (B)* 103,700 1,253 Casella Waste Systems, Cl A* 15,514 169 CBIZ* 6,826 48 CDI 13,600 354 Cenveo* 25,302 503 Ceradyne (B)* 61,759 3,262 Chart Industries* 52,900 781 Chicago Bridge & Iron (B) 62,726 1,818 CIRCOR International 27,030 993 Clean Harbors* 16,053 686 Columbus McKinnon* 14,966 348 Comfort Systems USA 189,159 2,552 Commercial Vehicle Group* 38,300 896 COMSYS IT Partners* 16,400 302 Con-way 38,221 1,763 Consolidated Graphics* 32,657 1,910 Continental Airlines, Cl B (B)* 75,512 3,069 Copart* 36,300 1,097 Corrections of America* 29,337 1,333 CRA International* 29,726 1,535 Cubic 50,122 1,113 Curtiss-Wright 36,350 1,292 Danaos (B)* 22,800 511 Deluxe 71,800 1,768 Diamond Management & Technology Consultants (B)* 101,500 1,132 Dynamic Materials (B) 94,600 2,724 DynCorp International, Cl A* 84,200 1,103 EGL* 5,883 188 Electro Rent* 10,071 152 EMCOR Group* 42,383 2,529 Encore Wire* 4,695 116 EnerSys* 7,180 120 EnPro Industries (B)* 36,700 1,280 ESCO Technologies (B)* 35,700 1,582 Esterline Technologies* 17,881 696 Evergreen Solar (B)* 62,900 581 Exponent* 300 5 ExpressJet Holdings* 128,692 1,017 Federal Signal 76,239 1,237 First Consulting Group* 82,800 1,030 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 65 SCHEDULE OF INVESTMENTS (Unaudited) Small Cap Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- First Solar* 37,000 $ 1,047 Flanders (B)* 147,026 1,454 Flint Energy Services (Canada)* 26,500 1,415 Flowserve (B)* 24,500 1,319 Foster Wheeler* 21,111 1,140 Freightcar America (B) 56,773 3,128 Frontier Airlines Holdings* 7,439 61 FTI Consulting* 46,700 1,255 Gardner Denver* 122,042 4,667 GATX 24,676 1,140 General Cable* 102,390 4,352 Genesee & Wyoming, Cl A* 23,625 635 Genlyte Group* 29,365 2,492 Geo Group* 55,657 2,090 Goodman Global* 48,396 775 GrafTech International (B)* 307,360 2,075 Granite Construction 44,090 2,275 Greenbrier 4,216 156 Griffon (B)* 57,005 1,359 Grupo Aeroportuario del Sureste ADR 40,500 1,785 Grupo TMM ADR, Cl A* 98,400 276 H&E Equipment Services* 47,000 1,138 Heico 28,693 864 Hexcel (B)* 130,500 2,336 HUB Group, Cl A* 127,197 3,630 Hudson Highland Group* 61,763 1,102 ICF International* 125,300 2,179 ICT Group* 4,100 137 IHS, Cl A* 41,835 1,550 IKON Office Solutions 268,047 4,334 Infrasource Services* 34,003 735 Innerworkings* 67,945 1,136 Innovative Solutions & Support* 1 -- Insituform Technologies, Cl A (B)* 31,524 811 Ionatron* 100 -- Jacobs Engineering Group* 4,884 410 JB Hunt Transport Services 29,248 640 JetBlue Airways* 28,800 393 John H. Harland 78,997 3,387 K&F Industries Holdings* 28,500 594 Kadant* 43,204 1,021 Kansas City Southern (B)* 87,935 2,379 Kaydon 80,023 3,197 Kelly Services, Cl A 14,451 421 Kenexa (B)* 49,618 1,531 Kennametal 14,599 892 Kforce* 28,851 384 Kirby* 53,692 1,935 Knight Transportation (B) 93,975 1,656 Knoll* 116,900 2,433 Korn/Ferry International* 39,300 916 Laidlaw International* 23,872 693 Lamson & Sessions (B)* 73,200 1,574 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Lennox International 49,254 $ 1,440 Lincoln Electric Holdings 51,300 3,122 Lydall* 19,333 203 Macquarie Infrastructure* 14,900 483 Marten Transport* 46,200 846 McGrath Rentcorp 7,451 235 Mesa Air Group (B)* 124,800 1,020 Milacron (B)* 243,848 180 Mine Safety Appliances 7,058 255 Moog, Cl A* 26,152 957 MSC Industrial Direct, Cl A 14,900 580 Mueller Industries 23,484 801 NACCO Industries, Cl A 4,245 633 Navigant Consulting (B)* 111,300 2,120 Navistar International (B)* 170,842 5,465 NCI Building Systems (B)* 86,045 4,748 Nordson 12,700 613 Omega Navigation Enterprises 13,800 217 On Assignment* 4,201 46 Orbital Sciences* 78,751 1,427 Pacer International* 8,131 244 Pall 75,900 2,382 PAM Transportation Services* 7,800 187 Perini* 63,017 2,049 PGT (B)* 15,100 173 Pike Electric* 30,100 472 Power-One* 52,200 382 PW Eagle* 13,904 475 Quanta Services (B)* 138,099 2,531 RailAmerica* 52,100 831 Railpower Technologies (Canada)* 123,400 61 RBC Bearings* 47,045 1,367 Regal-Beloit 41,702 2,132 Republic Airways Holdings* 21,200 366 Robbins & Myers 50,253 2,150 Ryder System 63,700 3,323 Saia* 37,542 931 School Specialty (B)* 40,734 1,509 Seaspan* 48,500 1,071 Shaw Group* 22,433 671 Simpson Manufacturing (B) 66,900 2,072 SIRVA* 39,178 149 Skywest 84,038 2,121 Spherion* 189,477 1,364 Standard Parking* 3,000 113 Standard Register 30,402 378 Stanley (B)* 20,800 349 Superior Essex* 33,245 1,177 TAL International Group 85,900 2,139 Taleo, Cl A* 67,486 876 Tecumseh Products, Cl A (B)* 77,000 1,248 Teledyne Technologies* 51,552 2,072 Tennant 16,252 472 Terex (B)* 21,400 1,199 -------------------------------------------------------------------------------- 66 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Tetra Tech* 146,095 $ 2,549 Titan International 16,615 316 Tredegar 9,837 196 UAP Holding 33,000 792 United Industrial 11,900 582 United Rentals (B)* 101,900 2,554 United Stationers* 59,576 2,763 Universal Forest Products (B) 62,902 2,934 Universal Truckload Services* 41,000 977 URS* 60,939 2,691 US Xpress Enterprises, Cl A (B)* 47,212 823 Valmont Industries 8,917 528 Volt Information Sciences* 10,622 496 Wabash National 75,600 1,111 Wabtec 128,141 4,209 Walter Industries 26,100 1,255 Washington Group International* 58,887 3,461 Waste Connections (B)* 57,815 2,333 Waste Industries USA 2,900 87 Watson Wyatt Worldwide, Cl A 159,866 7,418 WESCO International* 11,464 767 Williams Scotsman International* 122,078 2,435 Woodward Governor 58,400 2,230 World Air Holdings* 47,100 401 YRC Worldwide (B)* 42,300 1,639 ---------- 289,159 ---------- INFORMATION TECHNOLOGY -- 20.4% 24/7 Real Media (B)* 233,200 2,034 Actel* 53,949 1,007 Acxiom 13,842 345 Adaptec* 440,548 1,921 ADC Telecommunications* 86,524 1,193 Advanced Energy Industries* 111,351 1,919 Advent Software (B)* 35,500 1,298 Aeroflex* 264,970 3,196 Agilysys 85,910 1,316 Akamai Technologies (B)* 81,092 3,963 Alliance Semiconductor* 116,600 436 Allot Communications* 62,035 723 Altera* 129,100 2,568 Altiris* 58,601 1,453 AMIS Holdings* 45,651 493 Amkor Technology (B)* 317,900 3,249 Anadigics (B)* 106,112 1,024 Andrew* 152,684 1,522 Anixter International* 19,517 1,144 Ansoft* 72,705 2,010 Ansys* 5,648 265 aQuantive (B)* 191,257 4,571 Ariba* 9,800 74 Arris Group* 245,047 2,923 Art Technology Group* 597,417 1,410 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Aspen Technology (B)* 117,238 $ 1,143 Asyst Technologies* 447,658 2,950 Atmel* 141,379 715 ATMI* 20,020 651 Avanex (B)* 237,800 473 Avid Technology (B)* 20,735 808 Avnet (B)* 60,534 1,501 Avocent (B)* 39,254 1,365 Axcelis Technologies* 38,304 245 Axesstel* 250,041 528 BearingPoint (B)* 170,800 1,431 Bel Fuse, Cl B (B) 4,500 165 Bell Microproducts* 56,030 385 BISYS Group* 96,299 1,155 Black Box 65,645 2,811 Blackbaud 26,596 686 Blackboard* 29,844 851 Bookham* 29,577 119 Borland Software* 39,200 207 Brightpoint* 74,117 1,024 Brocade Communications Systems (B)* 584,002 5,402 Brooks Automation (B)* 309,832 4,328 C-COR* 20,799 208 Cabot Microelectronics* 1,804 57 CACI International, Cl A* 30,130 1,803 Captaris* 27,970 204 Checkpoint Systems* 35,137 674 Chordiant Software* 145,690 446 Ciber* 312,379 2,168 Cirrus Logic* 54,359 379 Citrix Systems* 26,745 769 CMGI* 314,174 430 CNET Networks (B)* 270,400 2,450 Cogent (B)* 113,100 1,281 Coherent (B)* 63,692 2,058 Cohu 4,288 85 Color Kinetics* 32,300 637 CommScope* 101,558 3,064 Commvault Systems* 95,600 1,908 Comtech Group (B)* 77,185 1,253 Comtech Telecommunications* 21,070 748 Concur Technologies (B)* 31,378 481 Conexant Systems* 255,700 557 Covansys* 2,581 59 CPI International* 66,800 936 Cray* 33,623 382 Credence Systems* 186,067 715 Cree (B)* 96,200 1,904 CSG Systems International (B)* 168,108 4,662 CTS 69,600 1,063 Cymer (B)* 44,594 2,107 Cypress Semiconductor* 76,218 1,325 DealerTrack Holdings* 136,492 3,730 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 67 SCHEDULE OF INVESTMENTS (Unaudited) Small Cap Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Digimarc* 136,600 $ 1,231 Digital Insight* 68,200 2,603 Digital River* 2,687 158 Digitas* 5,239 57 Diodes (B)* 73,163 3,024 Ditech Networks* 32,370 227 Dycom Industries (B)* 70,200 1,426 Earthlink (B)* 364,300 2,372 EFJ* 140,000 784 Electronics for Imaging* 131,273 3,216 Emergis (Canada)* 373,200 1,716 Emulex* 185,374 3,869 Entegris* 131,392 1,401 EPIQ Systems* 73,692 1,151 Euronet Worldwide (B)* 133,308 4,414 Extreme Networks* 109,737 438 F5 Networks* 9,499 711 Factset Research Systems 22,300 1,179 Fairchild Semiconductor International* 94,445 1,541 Finisar (B)* 406,400 1,557 Flir Systems (B)* 59,675 1,922 Formfactor* 33,257 1,242 Forrester Research* 11,660 328 Foundry Networks* 149,300 2,136 Gateway* 52,038 99 Genesis Microchip* 7,617 76 Gevity HR (B) 23,100 505 Global Imaging Systems* 46,976 1,001 Harmonic* 47,705 379 Heartland Payment Systems (B)* 31,700 900 Hewitt Associates, Cl A* 18,956 481 Hittite Microwave* 30,945 1,209 Hutchinson Technology (B)* 89,000 2,121 Hyperion Solutions* 50,100 1,842 i2 Technologies (B)* 120,094 2,320 Ikanos Communications* 69,200 623 Imation 86,836 4,021 Immersion (B)* 460,648 3,234 InFocus* 111,700 281 Informatica (B)* 69,800 841 infoUSA 59,279 720 Insight Enterprises* 2,100 42 Interdigital Communications (B)* 63,200 2,019 Intermec* 9,151 232 Internap Network Services (B)* 26,527 516 International DisplayWorks* 317,600 1,998 International Rectifier* 4,388 176 Interwoven* 22,438 318 Intevac* 56,927 1,554 Itron (B)* 79,312 3,806 j2 Global Communications (B)* 45,840 1,280 JDA Software Group* 138,700 1,983 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Juniper Networks* 52,600 $ 1,120 Jupitermedia (B)* 279,700 1,787 Keane* 97,200 1,205 Keynote Systems* 89,600 929 Knot* 33,900 935 Komag (B)* 104,135 4,111 Kulicke & Soffa Industries* 90,787 744 Lattice Semiconductor* 729,500 4,953 Lawson Software (B)* 531,550 3,955 LeCroy (B)* 71,700 808 Lightbridge* 127,015 1,677 Lionbridge Technologies* 388,500 2,222 Liquidity Services* 45,200 819 Littelfuse* 31,313 979 LoJack* 86,733 1,317 LoopNet* 37,439 539 LTX* 466,227 2,429 Macrovision* 4,764 132 Magma Design Automation (B)* 160,400 1,437 Manhattan Associates* 129,034 3,742 Mantech International, Cl A* 11,667 423 Marchex, Cl B (B)* 309,500 4,237 Mastec* 175,883 1,984 MAXIMUS 56,048 1,640 McAfee* 14,800 432 McData, Cl A* 304,926 1,912 Measurement Specialties* 17,700 428 Mentor Graphics* 84,294 1,425 Mercury Computer Systems* 24,100 315 Methode Electronics 118,908 1,333 Mettler Toledo International* 17,878 1,384 Microsemi (B)* 181,459 3,747 MicroStrategy, Cl A (B)* 25,561 3,028 MKS Instruments (B)* 69,042 1,437 MoneyGram International 25,400 775 Monolithic Power Systems* 18,063 192 MPS Group* 29,504 442 MTS Systems 14,999 575 Neoware* 126,000 1,407 Net 1 UEPS Technologies (B)* 40,199 964 Netlogic Microsystems (B)* 32,418 691 Novatel* 17,461 720 Nuance Communications (B)* 209,397 2,146 Occam Networks* 25,300 404 Omnivision Technologies (B)* 88,100 1,435 ON Semiconductor (B)* 252,900 1,629 Online Resources (B)* 73,700 785 Open Text* 13,500 256 Openwave Systems* 25,581 215 Opsware* 19,000 166 Orbotech* 78,000 1,993 OSI Systems (B)* 92,000 1,747 Palm (B)* 140,000 1,961 Parametric Technology* 164,504 3,185 -------------------------------------------------------------------------------- 68 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Park Electrochemical 5,281 $ 171 Parkervision (B)* 121,000 1,231 Parkervision* 33,000 336 Paxar* 102,119 2,180 Perficient* 25,539 446 Perot Systems, Cl A (B)* 212,103 3,334 Photon Dynamics* 12,283 136 Photronics* 152,135 2,399 Pixelworks* 362,900 904 Planar Systems* 24,846 249 Plantronics 46,096 968 Plexus* 44,011 1,063 PLX Technology (B)* 217,095 2,937 PMC - Sierra (B)* 308,300 2,346 Polycom (B)* 415,658 11,988 Power Integrations* 41,988 1,170 PowerDsine* 80,200 896 Powerwave Technologies (B)* 381,516 2,446 Presstek (B)* 125,014 751 Quantum* 991,500 2,340 Quest Software* 15,923 228 Rackable Systems (B)* 111,946 3,986 RADWARE* 33,500 499 Radyne* 20,300 203 RealNetworks (B)* 98,800 1,136 Red Hat (B)* 274,200 4,771 RF Micro Devices (B)* 807,700 6,227 Richardson Electronics 48,824 488 Rofin-Sinar Technologies* 2,958 172 Rogers* 20,006 1,390 Rudolph Technologies* 126,000 2,020 SafeNet* 38,250 890 Seachange International* 230,400 1,986 Seagate Technology 48,952 1,261 Secure Computing* 150,997 980 Sigma Designs (B)* 38,048 995 Silicon Storage Technology* 77,295 356 Sina* 9,577 270 Sirf Technology Holdings (B)* 90,600 2,769 Skyworks Solutions* 1,229,349 8,925 Smith Micro Software (B)* 66,790 1,069 Solectron* 1,367,600 4,554 Sonus Networks (B)* 161,429 1,014 Spatialight (B)* 145,433 253 Spatialight (H)* 88,000 139 SRA International, Cl A* 9,527 278 Standard Microsystems* 40,471 1,290 Startek 1,000 14 STATS ChipPAC ADR (B)* 116,323 978 Stratasys (B)* 22,147 667 Sun Microsystems* 226,742 1,229 Sunpower, Cl A (B)* 15,190 567 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Supertex* 24,142 $ 1,133 Sybase (B)* 162,029 3,879 SYKES Enterprises* 80,328 1,384 Symmetricom (B)* 153,000 1,342 SYNNEX* 69,358 1,575 Synopsys* 48,887 1,249 TAC Acquisition* 342,500 1,908 Talx 2,334 58 Technitrol 31,261 859 Tekelec (B)* 147,214 2,370 Tessera Technologies* 42,800 1,621 THQ (B)* 167,764 5,461 TIBCO Software* 609,400 5,674 TNS* 1,500 26 Trident Microsystems (B)* 72,800 1,527 Triquint Semiconductor* 655,500 3,304 Tyler Technologies* 21,168 306 Ultra Clean Holdings* 42,838 571 Ultratech (B)* 64,700 843 Unisys (B)* 278,500 2,008 United Online (B) 321,336 4,316 Universal Display (B)* 58,800 725 Utstarcom (B)* 135,569 1,204 Valueclick (B)* 52,991 1,318 Varian Semiconductor Equipment Associates (B)* 69,377 2,756 Vasco Data Security International (B)* 67,872 799 Veeco Instruments* 43,012 808 VeriFone Holdings (B)* 141,575 4,780 Verint Systems* 6,259 214 VeriSign* 35,753 934 Wavecom ADR* 53,137 748 WebEx Communications (B)* 64,695 2,323 webMethods* 12,402 88 Websense* 17,115 437 WidePoint* 313,500 712 Wind River Systems* 351,400 3,763 Wright Express* 87,880 2,712 Zoran* 108,528 1,618 Zygo* 36,200 596 ---------- 421,920 ---------- MATERIALS -- 4.8% ADA-ES (B)* 27,700 460 AEP Industries* 5,750 296 Airgas 28,428 1,210 AK Steel Holding* 116,013 1,913 AM Castle 6,192 164 Aptargroup 54,027 3,310 Arch Chemicals 34,568 1,137 Bemis 25,495 870 Bowater 11,807 257 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 69 SCHEDULE OF INVESTMENTS (Unaudited) Small Cap Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Brush Engineered Materials* 53,913 $ 1,910 Buckeye Technologies* 182,297 2,140 Carpenter Technology 20,521 2,192 Century Aluminum* 29,154 1,243 Chemtura 95,853 928 Cleveland-Cliffs (B) 58,000 2,786 Commercial Metals 34,317 997 Constar International* 84,198 602 Crown Holdings* 44,600 919 Cytec Industries 50,600 2,699 Ferro 38,250 798 First Quantum Minerals (Canada) 52,900 2,771 FMC 17,106 1,212 Grande Cache Coal (Canada)* 217,700 151 Greif, Cl A 48,381 4,797 H.B. Fuller 57,760 1,506 Headwaters* 59,443 1,422 Hecla Mining* 61,500 429 Hercules 253,730 4,727 Innospec 1,409 60 MacDermid 37,500 1,224 Metal Management 46,728 1,713 Methanex 40,800 1,011 Myers Industries 133,880 2,164 Neenah Paper 70,177 2,397 NewMarket* 26,672 1,674 Olin 119,837 2,005 Olympic Steel (B)* 8,000 208 OM Group (B)* 50,600 2,381 Omnova Solutions* 80,600 385 Pioneer* 21,221 573 PolyOne* 92,493 710 Quanex 99,764 3,702 Rock-Tenn, Cl A 158,791 4,002 RTI International Metals* 1,260 95 Ryerson (B) 60,500 1,347 Schnitzer Steel Industries, Cl A 117,499 4,796 Schweitzer-Mauduit International 76,965 1,908 Sensient Technologies 77,800 1,854 Sherritt International (Canada)* 153,200 1,662 Silgan Holdings 107,590 4,641 Spartech 59,311 1,775 Steel Dynamics (B) 120,800 3,928 Symyx Technologies (B)* 121,875 2,664 Texas Industries (B) 41,795 2,853 Wellman 141,300 497 Westlake Chemical 17,600 576 Wheeling-Pittsburgh* 102,100 1,795 ---------- 98,446 ---------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES -- 0.9% Boston Communications Group* 14,208 $ 29 Broadwing* 811 12 Cbeyond (B)* 31,199 1,025 Centennial Communications* 44,200 288 Cincinnati Bell* 342,689 1,549 Citizens Communications 52,909 750 Commonwealth Telephone Enterprises 13,426 559 Consolidated Communications Holdings 19,642 364 CT Communications 29,833 608 Dobson Communications, Cl A* 26,190 227 Fairpoint Communications 144,300 2,665 Golden Telecom 30,300 1,230 IDT* 27,700 374 IDT, Cl B (B)* 28,200 365 NeuStar, Cl A (B)* 31,415 1,045 NTELOS Holdings* 7,700 121 Orckit Communications* 74,300 848 Premiere Global Services* 71,000 579 Qwest Communications International* 32,557 250 SBA Communications, Cl A (B)* 118,582 3,364 Syniverse Holdings* 52,100 722 Talk America Holdings* 21,466 171 Time Warner Telecom, Cl A (B)* 42,800 781 USA Mobility 27,800 677 ---------- 18,603 ---------- UTILITIES -- 2.8% AGL Resources 34,006 1,306 Allete 50,609 2,360 Atmos Energy 39,881 1,307 Avista 98,189 2,644 Black Hills 70,339 2,512 Cascade Natural Gas 12,916 333 CenterPoint Energy 118,500 1,937 Cleco 89,978 2,306 CMS Energy (B)* 111,800 1,812 El Paso Electric 57,000 1,416 Empire District Electric 51,226 1,231 Energen 15,956 724 Great Plains Energy 15,600 493 Hawaiian Electric Industries 15,400 417 Idacorp 43,473 1,738 ITC Holdings* 15,100 593 Laclede Group 25,500 933 New Jersey Resources 68,057 3,522 Northwest Natural Gas 26,383 1,088 Oneok (B) 48,546 2,099 Ormat Technologies (B) 80,200 2,955 Peoples Energy 44,699 1,939 PNM Resources 185,952 5,709 -------------------------------------------------------------------------------- 70 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Portland General Electric (B) 35,000 $ 973 Reliant Energy* 62,003 832 SCANA 3,890 161 SEMCO Energy* 78,100 485 SJW 3,800 133 South Jersey Industries 19,798 660 Southern Union 71,300 1,999 Southwest Gas 31,245 1,173 UGI 20,200 569 UIL Holdings 39,000 1,676 Unisource Energy 16,858 619 Vectren 51,110 1,459 Westar Energy 98,932 2,631 WGL Holdings 45,280 1,497 Wisconsin Energy 17,168 803 ---------- 57,044 ---------- Total Common Stock (Cost $1,698,080) ($ Thousands) 1,987,796 ---------- CORPORATE OBLIGATIONS (C) -- 11.8% FINANCIALS -- 11.8% Allstate Life Global Funding II MTN (A) (E) 5.360%, 12/17/07 $ 3,815 3,815 American General Finance (A) (E) 5.350%, 12/17/07 12,027 12,027 Bear Stearns EXL (E) 5.360%, 12/17/07 14,764 14,764 Countrywide Financial MTN (E) 5.448%, 10/31/07 17,419 17,419 Dekabank (A) (E) 5.394%, 11/20/07 15,345 15,344 Irish Life & Permanent MTN, Ser X (A) (E) 5.360%, 12/21/07 11,032 11,031 Islandsbanki (A) (E) 5.370%, 04/06/07 19,492 19,492 Jackson National Life Funding (A) (E) 5.320%, 12/03/07 18,248 18,248 Kaupthing Bank MTN (A) 5.380%, 03/20/07 20,736 20,736 Landsbanki Islands (A) (E) 5.400%, 03/16/07 15,760 15,760 Morgan Stanley EXL (E) 5.380%, 01/04/08 2,903 2,903 Morgan Stanley EXL, Ser S (E) 5.340%, 12/05/07 4,147 4,147 Natexis Banques (A) (E) 5.300%, 12/17/07 8,087 8,086 Nationwide Building Society (A) (E) 5.424%, 10/26/07 4,562 4,562 5.350%, 12/07/07 8,295 8,295 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Nordbank (A) (E) 5.350%, 12/24/07 $14,101 $ 14,100 Northern Rock (A) (E) 5.360%, 12/03/07 8,543 8,543 Pacific Life Global Funding (A) (E) 5.370%, 12/13/07 6,221 6,221 Premium Asset Trust, Ser 2004-10 (A) (E) 5.360%, 12/17/07 11,612 11,612 SLM EXL, Ser S (A) (E) 5.320%, 12/17/07 9,124 9,124 Skandinav Enskilda Bank (A) (E) 5.320%, 12/18/07 9,124 9,124 Stanfield Victoria MTN (A) 5.445%, 06/11/07 8,295 8,294 ---------- Total Corporate Obligations (Cost $243,647) ($ Thousands) 243,647 ---------- CASH EQUIVALENT -- 3.9% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.300%** 80,876,956 80,877 ---------- Total Cash Equivalent (Cost $80,877) ($ Thousands) 80,877 ---------- COMMERCIAL PAPER (C) (D) -- 2.5% FINANCIALS -- 2.5% Broadhollow Funding 5.305%, 12/07/06 4,645 4,641 KKR Pacific Funding Trust 5.345%, 12/27/06 8,295 8,263 5.305%, 01/02/07 4,147 4,127 Ocala Funding LLC 5.320%, 12/18/06 4,147 4,137 5.320%, 01/26/07 4,147 4,113 Rhineland Funding Capital 5.385%, 01/25/07 5,226 5,183 5.364%, 12/27/06 4,147 4,131 5.364%, 02/13/07 4,106 4,061 5.313%, 12/12/06 2,730 2,726 Witherspoon Funding Limited 5.329%, 12/15/06 4,147 4,139 Witherspoon Funding, Ser 2004-1A (E) 5.330%, 03/15/07 7,158 7,158 ---------- Total Commercial Paper (Cost $52,679) ($ Thousands) 52,679 ---------- -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 71 SCHEDULE OF INVESTMENTS (Unaudited) Small Cap Fund (Concluded) November 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)/Shares ($ Thousands) -------------------------------------------------------------------------------- ASSET-BACKED SECURITIES (A) (C) (E) -- 1.3% MORTGAGE RELATED SECURITIES -- 1.3% Commodore, Ser 2003-2A, Cl A1MM 5.470%, 12/12/38 $ 3,816 $ 3,816 Duke Funding, Ser 2004-6B, Cl A1S1 5.440%, 10/09/07 6,221 6,221 Newcastle CDO, Ser 2005-6A, Cl IM1 5.340%, 04/24/07 1,659 1,659 Park Place Securities NIM Trust, Ser 2004-MM1, Cl MM1 5.350%, 02/26/07 2,464 2,464 Saturn Ventures II 5.380%, 02/07/07 6,679 6,679 TIAA Real Estate CDO, Ser 2003 1A, Cl A1MM 5.350%, 09/28/07 6,168 6,168 ---------- Total Asset-Backed Securities (Cost $27,007) ($ Thousands) 27,007 ---------- MASTER NOTE (C) (D) -- 1.0% Bank of America 5.383%, 12/01/45 20,736 20,736 ---------- Total Master Note (Cost $20,736) ($ Thousands) 20,736 ---------- CERTIFICATES OF DEPOSIT (C) -- 0.8% Barclays Bank (E) 5.330%, 06/11/07 4,147 4,147 CC USA MTN (A) 5.379%, 06/18/07 8,295 8,295 U.S. Trust of New York (E) 5.316%, 03/13/07 3,318 3,318 ---------- Total Certificates of Deposit (Cost $15,760) ($ Thousands) 15,760 ---------- EXCHANGE TRADED FUNDS -- 0.4% iShares Russell 2000 Index Fund (B) 34,424 2,684 iShares Russell 2000 Value Index Fund 50,000 3,985 iShares S&P SmallCap 600 Value Index Fund 6,334 477 NASDAQ 100 Index Tracking Stock (B) 11,733 517 ---------- Total Exchange Traded Funds (Cost $6,749) ($ Thousands) 7,663 ---------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands ($ Thousands) -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATION (D) (J) -- 0.1% U.S. Treasury Bill 4.880%, 02/22/07 $ 1,720 $ 1,701 ---------- Total U.S. Treasury Obligation (Cost $1,701) ($ Thousands) 1,701 ---------- Number of Warrants ---------- WARRANTS -- 0.0% Infinity Bio-Energy, Expires 05/23/10* 793,562 381 Parkervision (F) (G) (H) (I)* 15,750 51 TAC Acquisition, Expires 06/28/10* 685,000 178 Washington Mutual, Expires 12/26/50* 266,261 42 ---------- Total Warrants (Cost $631) ($ Thousands) 652 ---------- REPURCHASE AGREEMENTS (C) (K) -- 4.6% ABN Amro 5.300%, dated 11/30/06, to be repurchased on 12/01/06, repurchase price $33,183,186 (collateralized by various U.S. Government obligations, ranging in par value $414,729- $12,441,863, 0.000%-6.000%, 03/01/07-07/01/36; with total market value $33,841,868) $33,178 $ 33,178 Barclays 5.300%, dated 11/30/06, to be repurchased on 12/01/06, repurchase price $7,061,548 (collateralized by various U.S. Government obligations, ranging in par value $154,694- $2,199,721, 2.750%-5.700%, 12/15/06-05/27/15; with total market value $7,201,831) 7,061 7,061 Deutsche Bank 5.300%, dated 11/30/06, to be repurchased on 12/01/06, repurchase price $2,824,055 (collateralized by various U.S. Government obligations, ranging in par value $787,155- $2,135,024, 0.000%-5.800%, 05/01/07-01/27/20; with total market value $2,880,311) 2,824 2,824 -------------------------------------------------------------------------------- 72 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Lehman Brothers 5.300%, dated 11/30/06, to be repurchased on 12/01/06, repurchase price $51,385,906 (collateralized by various U.S. Government obligations, ranging in par value $380,306- $64,115,492, 3.085%-8.625%, 12/21/07-01/15/30; with total market value $52,406,217) $51,378 $ 51,378 ---------- Total Repurchase Agreements (Cost $94,441) ($ Thousands) 94,441 ---------- Total Investments -- 122.6% (Cost $2,242,308) ($ Thousands) $2,532,959 ========== A summary of the open future contracts held by the Fund at November 30, 2006, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED TYPE OF NUMBER OF EXPIRATION APPRECIATION CONTRACT CONTRACTS DATE ($ THOUSANDS) -------------------------------------------------------------------------------- Russell 2000 Index E-Mini 524 Dec-2006 $3,055 ====== Percentages are based on Net Assets of $2,066,967 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of November 30, 2006. + Real Estate Investments Trust (A) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (B) This security or a partial position of this security is on loan at November 30, 2006 (See Note 9). The total value of securities on loan at November 30, 2006 was $439,023 ($ Thousands). (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, 2006 was $454,271 ($ Thousands). (D) The rate reported is the effective yield at time of purchase. (E) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of November 30, 2006. (F) Securities considered illiquid. The total value of such securities as of November 30, 2006 was $3,172 ($ Thousands) and represents 0.15% of Net Assets. (G) Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total value of such securities as of November 30, 2006 was $51 ($ Thousands) and represented 0.00% of Net Assets. (H) This security considered restricted. The total value of such securities as of November 30, 2006 was $3,172 ($ Thousands) and represents 0.15% of Net Assets. (I) This warrant does not have a strike price or expiration date. (J) Security, or portion thereof, has been pledged as collateral on open futures contracts. (K) Tri-Party Repurchase Agreement. ADR -- American Depositary Receipt CDO -- Collateralized Debt Obligation Cl -- Class -------------------------------------------------------------------------------- Description -------------------------------------------------------------------------------- EXL -- Extendable Maturity LLC -- Limited Liability Company MTN -- Medium Term Note NIM -- Net Interest Margin Ser -- Series Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 73 SCHEDULE OF INVESTMENTS (Unaudited) Small/Mid Cap Fund November 30, 2006 -------------------------------------------------------------------------------- [Bar Chart Omitted] Plot points as follows: SECTOR WEIGHTINGS++: 26.6% Financials 14.9% Information Technology 11.3% Industrials 10.8% Consumer Discretionary 8.4% Health Care 8.0% Short-Term Investments 4.8% Energy 4.2% Materials 3.2% Utilities 2.3% Consumer Staples 1.6% Commercial Paper 1.0% Asset-Backed Securities 1.0% Telecommunication Services 0.8% Master Note 0.6% Certificate of Deposit 0.4% Collateralized Debt Obligations 0.1% U.S. Treasury Obligations 0.0% Warrants ++Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 9). -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- COMMON STOCK -- 94.0% CONSUMER DISCRETIONARY -- 13.0% Abercrombie & Fitch, Cl A 9,994 $ 674 Advance Auto Parts 35,700 1,271 Amazon.com* 26,005 1,049 American Eagle Outfitters 25,861 1,168 American Greetings, Cl A (B) 25,200 600 Amerigon* 37,148 317 AnnTaylor Stores* 24,076 831 Arctic Cat 50,400 835 ArvinMeritor 10,117 175 Autoliv 52,483 3,076 Autonation (B)* 26,050 537 Barnes & Noble 33,665 1,347 Belo, Cl A 42,900 781 Benihana, Cl A* 26,393 739 Big Lots* 78,977 1,762 Black & Decker 10,400 893 Blockbuster, Cl A* 68,104 358 Blyth 1,800 46 Bon-Ton Stores 13,836 517 Books-A-Million (B) 27,480 577 Borders Group 109,900 2,517 BorgWarner 11,400 659 Boyd Gaming 8,519 361 Brinker International 71,168 3,236 Brown Shoe 57,199 2,714 Cablevision Systems, Cl A 70,257 1,951 Carter's (B)* 61,048 1,682 Cato, Cl A 58,500 1,389 CBRL Group 21,400 918 CEC Entertainment* 1,350 54 Centex 7,988 442 Champion Enterprises* 70,254 657 Charlotte Russe Holding* 19,591 591 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Charming Shoppes (B)* 123,911 $ 1,677 Chipotle Mexican Grill, Cl A (B)* 38,800 2,248 Circuit City Stores (B) 67,500 1,685 Citadel Broadcasting 31,000 295 CKX* 46,700 571 Coach* 54,900 2,372 Coldwater Creek (B)* 25,992 654 Columbia Sportswear* 1,400 82 Corinthian Colleges* 5,400 70 CROCS (B)* 77,000 3,307 CSK Auto* 37,000 616 Deckers Outdoor (B)* 4,200 234 Dick's Sporting Goods (B)* 18,220 977 Dillard's, Cl A (B) 40,000 1,423 Directed Electronics* 6,800 98 Dollar Tree Stores (B)* 81,545 2,447 Dover Downs Gaming & Entertainment (B) 9,600 128 Dress Barn (B)* 27,300 661 DXP Enterprises* 1,585 46 Eastman Kodak 16,857 439 Eddie Bauer Holdings* 247,700 2,266 Entercom Communications 52,171 1,406 Focus Media Holding ADR* 29,375 2,094 Foot Locker 42,348 970 Ford Motor 7,257 59 FTD Group* 7,100 124 Furniture Brands International (B) 48,500 835 GameStop, Cl A (B)* 28,900 1,620 Gentex 42,395 702 Getty Images* 5,360 234 Gildan Activewear* 25,200 1,390 Goodyear Tire & Rubber (B)* 154,800 2,608 Gray Television 200,400 1,258 Group 1 Automotive (B) 37,255 1,900 GSI Commerce (B)* 94,268 1,543 Gymboree* 68,535 2,728 Handleman (B) 21,700 171 Harman International Industries 30,071 3,123 Harris Interactive* 63,187 303 Hasbro 115,316 3,085 Haverty Furniture 40,123 559 Hibbett Sporting Goods* 97,620 3,077 HOT Topic* 72,700 971 IAC/InterActive* 21,480 784 International Speedway, Cl A 3,465 180 ITT Educational Services (B)* 17,052 1,169 Jack in the Box* 29,920 1,840 Jackson Hewitt Tax Service 49,909 1,806 Jarden (B)* 82,941 3,067 Jo-Ann Stores* 1,700 34 John Wiley & Sons, Cl A 9,910 394 Jones Apparel Group 140,149 4,709 Jos. A. Bank Clothiers* 441 13 -------------------------------------------------------------------------------- 74 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- K2 (B)* 78,533 $ 1,062 KB Home (B) 18,900 977 Kellwood 34,124 1,066 Kimball International, Cl B 15,894 381 Knology* 30,410 304 Landry's Restaurants (B) 42,913 1,212 Laureate Education (B)* 45,744 2,377 Lear (B) 7,100 220 Life Time Fitness* 27,300 1,346 Lin TV, Cl A* 114,500 1,036 Liz Claiborne 700 30 LKQ (B)* 24,597 563 Lodgenet Entertainment* 44,506 1,053 Maidenform Brands* 10,000 191 Martha Stewart Living Omnimedia, Cl A (B)* 53,300 1,106 Marvel Entertainment (B)* 44,200 1,242 Mattel 61,300 1,346 Morningstar* 29,183 1,307 Mothers Work* 20,119 825 New York* 72,474 939 Noble International 3,800 72 Nutri/System (B)* 31,800 2,196 O'Charleys* 15,555 313 OfficeMax 59,208 2,787 Orient-Express Hotels, Cl A 44,600 1,909 Panera Bread, Cl A (B)* 11,400 655 Payless Shoesource* 128,314 4,002 Penn National Gaming* 36,600 1,353 Perry Ellis International* 42,878 1,627 PetSmart 20,787 615 PF Chang's China Bistro (B)* 30,418 1,098 Pinnacle Entertainment (B)* 43,300 1,408 Polo Ralph Lauren 29,900 2,338 Pool (B) 27,529 1,128 Quiksilver (B)* 257,000 3,739 R.H. Donnelley 45,081 2,795 RCN* 27,400 824 Regal Entertainment Group, Cl A (B) 149,600 3,113 Regis 25,500 977 Rent-A-Center* 81,895 2,239 Ryland Group (B) 18,700 986 Saks 105,789 2,171 Sauer-Danfoss 29,114 901 Scholastic* 29,263 975 Shuffle Master (B)* 47,200 1,470 Sirius Satellite Radio* 35,869 153 Snap-On 24,486 1,163 Sonic (B)* 63,200 1,484 Sonic Automotive 33,900 967 Sotheby's Holdings, Cl A* 2,200 68 Source Interlink* 5,566 50 Standard Motor Products 49,133 677 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Standard-Pacific 101,679 $ 2,609 Starwood Hotels & Resorts Worldwide 62,800 4,030 Steinway Musical Instruments* 2,200 64 Strayer Education 2,500 275 Stride Rite 54,000 844 Sunterra* 88,866 924 Talbots 34,141 851 Technical Olympic USA (B) 38,400 358 Tempur-Pedic International (B)* 51,000 1,075 Tiffany 59,903 2,302 Tim Hortons 8,913 275 Timberland, Cl A* 48,000 1,500 Town Sports International Holdings* 77,327 1,258 Trans World Entertainment* 48,100 326 TRW Automotive Holdings* 38,219 949 Tupperware Brands 29,200 620 Under Armour, Cl A (B)* 69,600 3,266 United Auto Group (B) 24,500 575 Urban Outfitters* 28,100 626 Valuevision Media, Cl A* 3,100 41 Vertrue (B)* 3,000 115 VF 13,700 1,074 VistaPrint (B)* 21,877 729 Volcom (B)* 49,700 1,611 Warnaco Group* 11,180 290 Weight Watchers International 78,300 3,832 West Marine* 12,357 214 Wet Seal, Cl A (B)* 76,000 552 Weyco Group 500 12 Whirlpool 21,994 1,876 Williams-Sonoma 7,006 222 Wynn Resorts (B) 15,500 1,362 Xerium Technologies 7,300 74 Yankee Candle 22,600 770 ---------- 202,113 ---------- CONSUMER STAPLES -- 2.8% Alliance One International* 121,063 785 Andersons 5,377 222 Avon Products 31,263 1,020 BJ's Wholesale Club* 57,800 1,867 Bunge 2,372 167 Central Garden & Pet* 5,154 269 Chattem (B)* 1,300 63 Clorox 15,305 980 Corn Products International 14,063 511 Del Monte Foods 96,500 1,089 Energizer Holdings (B)* 25,902 1,712 Hain Celestial Group* 103,800 3,118 Herbalife* 28,188 1,098 Imperial Sugar* 1,026 24 Lance 82,300 1,574 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 75 SCHEDULE OF INVESTMENTS (Unaudited) Small/Mid Cap Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Loews - Carolina 62,871 $ 3,921 Longs Drug Stores 40,465 1,663 Mannatech (B) 9,200 137 MGP Ingredients (B) 11,400 249 Molson Coors Brewing, Cl B 30,457 2,165 Nash Finch (B) 29,994 793 NBTY* 76,677 2,787 Pantry* 6,700 328 PepsiAmericas 72,700 1,515 Pilgrim's Pride (B) 86,633 2,211 Ralcorp Holdings (B)* 38,800 1,965 Reddy Ice Holdings 25,463 631 Smart & Final* 3,700 67 Smithfield Foods (B)* 62,486 1,648 Spectrum Brands* 21,455 190 Supervalu 175,200 6,002 Tyson Foods, Cl A 63,284 1,006 UST 29,143 1,631 ---------- 43,408 ---------- ENERGY -- 5.7% Allis-Chalmers Energy* 3,920 83 Arch Coal 19,060 684 Arlington Tankers* 52,200 1,195 BA Energy (Canada)* 80,500 670 Basic Energy Services* 61,100 1,544 Bois d'Arc Energy (B)* 2,300 35 Bronco Drilling (B)* 89,400 1,727 Cabot Oil & Gas 27,250 1,693 Cameron International (B)* 60,456 3,284 Carrizo Oil & Gas* 21,812 726 Clayton Williams Energy* 16,400 648 Complete Production Services* 71,800 1,580 Compton Petroleum (Canada)* 62,300 659 Comstock Resources* 30,900 943 Consol Energy 33,902 1,245 Delek US Holdings 47,300 806 Denbury Resources (B)* 24,972 733 Dresser-Rand Group* 38,633 935 Encore Acquisition* 65,200 1,771 Evergreen Energy (B)* 76,600 674 EXCO Resources* 37,100 545 FMC Technologies* 39,100 2,346 Foundation Coal Holdings 27,500 1,021 Gasco Energy* 50,500 134 Grant Prideco* 91,100 3,992 Harvest Natural Resources* 5,400 55 Helix Energy Solutions Group (B)* 158,311 5,823 Hercules Offshore (B)* 41,200 1,404 Hess 5,330 268 Holly 25,516 1,378 Hornbeck Offshore Services* 7,059 266 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Houston Exploration* 19,251 $ 1,080 Infinity Bio-Energy* 258,407 1,377 Input/Output (B)* 38,529 418 Lufkin Industries 8,400 491 Massey Energy 5,853 161 Matrix Service (B)* 15,000 240 Meridian Resource* 73,498 261 Na Oil Sands (Canada) (F) (H)* 160,000 1,681 NATCO Group, Cl A* 45,340 1,563 Newfield Exploration* 29,798 1,483 NS Group* 16,400 1,085 Oilsands Quest (B)* 251,500 1,366 OPTI (Canada)* 124,900 2,158 Parallel Petroleum* 39,882 788 Parker Drilling* 18,350 177 Patterson-UTI Energy 35,824 993 Petroquest Energy* 87,906 1,102 Pioneer Natural Resources 53,412 2,326 Plains Exploration & Production* 14,900 702 Range Resources 82,000 2,549 Rentech (B)* 307,800 1,237 Rowan 23,770 856 SEACOR Holdings (B)* 20,700 1,949 Southwestern Energy (B)* 62,779 2,645 St. Mary Land & Exploration 20,200 810 Stone Energy* 15,700 613 Sunoco (B) 36,200 2,467 Superior Energy Services* 54,338 1,770 Swift Energy (B)* 38,700 1,978 SXR Uranium One (Canada)* 139,586 1,797 Synenco Energy (Canada) (F) (H)* 12,051 177 Synenco Energy (Canada)* 16,100 236 Synenco Energy, Cl A (Canada)* 87,500 1,283 Tesoro 48,265 3,400 Tetra Technologies (B)* 102,264 2,643 Tidewater (B) 13,200 730 Trico Marine Services* 500 18 Universal Compression Holdings* 9,619 606 USEC 41,595 518 Vaalco Energy (B)* 29,200 245 VeraSun Energy (B)* 62,700 1,586 Veritas DGC* 1,919 150 W&T Offshore 4,200 146 Western Refining (B)* 26,200 742 ---------- 89,470 ---------- FINANCIALS -- 20.8% A.G. Edwards 44,954 2,601 Acadia Realty Trust+ 44,500 1,156 Advance America Cash Advance Centers 7,000 99 Advanta, Cl B 35,600 1,624 -------------------------------------------------------------------------------- 76 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Affiliated Managers Group (B)* 75,764 $ 7,736 Affirmative Insurance Holdings 6,700 108 Alexandria Real Estate Equities+ (B) 13,400 1,381 AllianceBernstein Holding 1,304 100 AMB Property+ 34,500 2,114 AmCOMP* 159,000 1,717 American Financial Group 101,919 5,321 American Home Mortgage Investment+ (B) 156,976 5,552 American Physicians Capital* 6,133 245 AmeriCredit (B)* 59,400 1,393 Ameris Bancorp 1,900 53 Amvescap ADR 50,500 1,092 Anchor Bancorp Wisconsin 8,462 243 Annaly Capital Management+ 125,325 1,752 Anthracite Capital+ 113,771 1,441 Anworth Mortgage Asset+ 68,300 645 Arch Capital Group* 24,462 1,634 Archstone-Smith Trust+ 57,900 3,473 Argonaut Group* 4,800 163 Aspen Insurance Holdings (B) 56,400 1,520 Associated Banc 43,801 1,456 Assurant 35,133 1,931 Asta Funding (B) 14,500 477 Astoria Financial 30,300 906 AvalonBay Communities+ (B) 34,400 4,578 BancFirst 1,600 85 Bank of Hawaii 15,900 821 Bank of the Ozarks (B) 2,600 85 Bankunited Financial, Cl A (B) 89,486 2,282 BFC Financial, Cl A* 1,400 9 BioMed Realty Trust+ (B) 43,863 1,325 BlackRock, Cl A 4,542 651 Boston Private Financial Holdings (B) 52,000 1,412 Brandywine Realty Trust+ (B) 64,800 2,278 BRE Properties, Cl A+ 23,800 1,538 Calamos Asset Management, Cl A 47,033 1,292 Camden Property Trust+ 52,750 4,206 Canaccord Capital (Canada) 108,900 1,592 Capital of the West 5,591 179 Capital Trust, Cl A+ 7,600 339 CapitalSource+ (B) 111,253 3,028 Cascade Bancorp (B) 1,625 49 Cash America International 48,635 2,147 CB Richard Ellis Group, Cl A* 13,789 454 Cedar Shopping Centers+ 13,701 250 Center Financial 5,500 124 Central Pacific Financial 51,518 1,930 Chemical Financial 29,400 960 Chicago Mercantile Exchange Holdings 1,617 866 Citizens Banking 50,400 1,353 City Bank 11,384 609 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- City National 35,700 $ 2,421 Colonial BancGroup 91,300 2,228 Columbia Banking System 8,300 279 Commerce Bancshares 24,045 1,168 Commerce Group 23,185 707 Community Bancorp* 18,224 554 Community Bank System (B) 30,000 721 CompuCredit (B)* 49,899 1,879 Corporate Office Properties Trust+ (B) 91,800 4,563 Corus Bankshares (B) 106,489 2,386 Crawford, Cl B 3,500 25 Cullen/Frost Bankers 12,400 676 DiamondRock Hospitality+ 35,300 625 Dime Community Bancshares 93,547 1,316 Dollar Financial* 48,500 1,419 Doral Financial 170,024 689 Douglas Emmett+* 108,500 2,854 Downey Financial 42,273 3,077 Dundee (Canada)+ 42,200 1,347 Dundee Wealth Management (Canada) 93,300 1,009 E*Trade Financial* 197,600 4,756 East West Bancorp 56,700 2,019 Eaton Vance 78,122 2,492 EMC Insurance Group 14,200 490 Encore Capital Group* 3,400 47 Endurance Specialty Holdings (B) 48,927 1,836 Entertainment Properties Trust+ 23,403 1,421 Equity Inns+ 18,900 308 Equity Office Properties Trust+ (B) 83,400 4,020 Equity Residential+ (B) 63,800 3,398 Essex Property Trust+ (B) 15,200 2,007 Extra Space Storage+ 112,900 2,080 Ezcorp, Cl A* 4,900 229 Federal Realty Investment Trust+ 30,500 2,598 Federated Investors, Cl B 39,051 1,296 FelCor Lodging Trust+ (B) 47,700 1,050 Financial Federal 18,800 521 First Cash Financial Services* 128,235 2,620 First Financial Holdings 1,600 60 First Horizon National 34,700 1,383 First Industrial Realty Trust+ (B) 7,100 357 First Marblehead 4,688 351 First Mercury Financial* 46,400 979 First Midwest Bancorp 20,500 764 First Niagara Financial Group 181,000 2,601 First Regional Bancorp* 3,000 101 First Republic Bank 33,600 1,348 FirstFed Financial (B)* 64,470 4,192 FNB (Virginia) 600 23 Forest City Enterprises, Cl A 37,700 2,196 Fremont General (B) 31,200 531 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 77 SCHEDULE OF INVESTMENTS (Unaudited) Small/Mid Cap Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Friedman Billings Ramsey Group, Cl A+ (B) 61,700 $ 483 Frontier Financial (B) 10,000 300 Gluskin Sheff + Associates (Canada)* 74,400 1,009 GMP Capital* 13,300 251 GMP Capital Trust (Canada)* 6,500 123 Gramercy Capital+ 6,600 185 Great Southern Bancorp 1,200 35 Greene County Bancshares 1,600 62 Greenhill (B) 34,400 2,398 Grubb & Ellis Realty Advisors* 200,000 1,220 Hanmi Financial 15,200 332 Hanover Insurance Group 53,976 2,557 Harbor Florida Bancshares 600 26 HCC Insurance Holdings (B) 32,750 989 Health Care Property Investors+ (B) 66,600 2,416 Hersha Hospitality Trust+ 143,900 1,661 Highbury Financial (B)* 28,400 168 Highbury Financial Units* 63,600 601 Highland Hospitality+ 36,600 519 Highwoods Properties+ 19,200 783 Home Bancshares 39,500 877 Horace Mann Educators 70,000 1,415 Hospitality Properties Trust+ (B) 89,071 4,470 Host Hotels & Resorts+ (B) 81,900 2,066 HRPT Properties Trust+ 169,700 2,133 Huntington Bancshares 85,200 2,071 IMPAC Mortgage Holdings+ (B) 59,700 586 IndyMac Bancorp 76,147 3,499 Innkeepers USA Trust+ 44,000 704 Intervest Bancshares* 5,300 185 Investment Technology Group* 28,100 1,054 Irwin Financial 33,700 742 iStar Financial+ 31,614 1,479 ITLA Capital 4,199 223 Jefferies Group 67,200 1,948 Jones Lang LaSalle* 5,332 485 Kansas City Life Insurance 16,000 825 KBW (B)* 50,400 1,342 Knight Capital Group, Cl A* 37,089 653 LandAmerica Financial Group 24,700 1,509 LaSalle Hotel Properties+ 31,600 1,394 Legg Mason 1,522 145 Longview Fibre+ 10,675 222 LTC Properties+ 5,500 152 Macerich+ 45,500 3,889 Mack-Cali Realty+ 45,800 2,503 MAF Bancorp 3,504 154 Marsh & McLennan 49,586 1,558 MCG Capital 117,600 2,298 Medical Properties Trust+ 6,000 89 MetroCorp Bancshares 1,000 22 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- MFA Mortgage Investments+ 145,900 $ 1,135 MGIC Investment 39,720 2,302 Mid-State Bancshares 6,000 218 Move* 256,300 1,420 Nara Bancorp 10,600 215 Nasdaq Stock Market* 50,500 2,028 National Financial Partners 400 18 National Retail Properties+ (B) 8,600 205 Nationwide Financial Services, Cl A (B) 68,294 3,551 Navigators Group* 7,809 361 New York Community Bancorp 192,715 3,114 Newcastle Investment+ 12,174 365 NNN Realty Ad* 135,000 1,350 Nuveen Investments, Cl A 56,200 2,789 Nymex Holdings (B)* 10,303 1,191 Ocwen Financial* 49,867 751 Odyssey Re Holdings 29,004 1,023 Old National Bancorp 50,500 948 Omega Healthcare Investors+ 30,600 542 OneBeacon Insurance Group* 24,100 663 Pacific Capital Bancorp 3,826 125 Penson Worldwide* 3,900 88 Peoples Bancorp 1,710 49 PFF Bancorp 35,000 1,155 Philadelphia Consolidated Holding (B)* 19,300 860 Piper Jaffray* 49,321 3,209 Platinum Underwriters Holdings 82,310 2,505 PMI Group 25,604 1,109 Portfolio Recovery Associates (B)* 55,900 2,552 Post Properties+ 48,400 2,315 Preferred Bank 3,600 205 Premierwest Bancorp 2,520 39 Presidential Life (B) 20,700 463 Prologis+ 48,900 3,187 Prosperity Bancshares 1,600 54 PS Business Parks+ 7,300 520 Public Storage+ (B) 36,654 3,529 Radian Group 34,500 1,836 RAIT Investment Trust+ (B) 35,900 1,197 Reinsurance Group of America (B) 15,500 855 Safeco (B) 33,800 2,047 Safety Insurance Group 17,377 910 Selective Insurance Group 2,100 117 Sierra Bancorp 1,000 31 Signature Bank* 9,200 296 Simon Property Group+ (B) 42,800 4,365 SL Green Realty+ (B) 21,300 2,881 Smithtown Bancorp (B) 1,300 36 South Financial Group 70,292 1,827 Southwest Bancorp 4,996 133 St. Joe 42,171 2,361 Stancorp Financial Group 22,500 1,022 -------------------------------------------------------------------------------- 78 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Sterling Bancorp 2,300 $ 43 Sterling Financial, Washington Shares 43,052 1,444 Stewart Information Services 13,600 531 Strategic Hotels & Resorts+ (B) 101,000 2,197 Suffolk Bancorp 1,500 54 Sunstone Hotel Investors+ 30,400 848 SVB Financial Group (B)* 50,000 2,374 T Rowe Price Group 4,844 210 Taubman Centers+ (B) 27,800 1,375 Taylor Capital Group 12,646 464 TCF Financial 156,185 4,080 TD Ameritrade Holding 34,699 609 TD Banknorth 68,315 2,198 TierOne 12,722 397 Trammell Crow* 6,398 315 Transatlantic Holdings 2,598 161 Triad Guaranty* 18,170 978 Trico Bancshares 6,700 181 Trustmark 54,300 1,771 UCBH Holdings 44,873 757 Umpqua Holdings (B) 30,300 910 United Bankshares 38,400 1,481 United Fire & Casualty 32,817 1,158 United PanAm Financial* 1,100 13 United Security Bancshares/Fresno 600 15 Unitrin 37,200 1,820 Universal American Financial* 80,100 1,502 UnumProvident (B) 111,403 2,282 Vineyard National Bancorp 1,300 28 Waddell & Reed Financial, Cl A 21,500 536 Washington Federal 38,162 887 Washington Trust Bancorp 4,139 116 Webster Financial 21,446 1,024 Weingarten Realty Investors+ (B) 35,100 1,675 Westamerica Bancorporation 25,561 1,266 Whitney Holding 7,000 226 Wilshire Bancorp 7,800 149 Winston Hotels+ (B) 79,600 1,081 Winthrop Realty Trust+ 113,000 724 Wintrust Financial 27,200 1,295 World Acceptance (B)* 23,447 1,064 WSFS Financial 1,400 90 Zenith National Insurance 18,200 840 ---------- 324,438 ---------- HEALTH CARE -- 10.1% Abaxis* 16,923 327 Abraxis BioScience* 27,445 736 Adams Respiratory Therapeutics (B)* 5,802 228 Advanced Magnetics* 25,781 1,436 Advanced Medical Optics* 3,100 109 Affymetrix (B)* 107,812 2,728 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Air Methods* 8,331 $ 219 Albany Molecular Research (B)* 66,638 740 Alkermes (B)* 174,465 2,648 Alpharma, Cl A 59,954 1,313 American Dental Partners* 5,869 104 American Medical Systems Holdings* 16,391 282 AMERIGROUP* 51,624 1,765 Amsurg* 74,826 1,536 Amylin Pharmaceuticals* 3,262 130 Analogic 2,380 126 Applera - Celera Genomics Group* 75,200 1,079 Apria Healthcare Group (B)* 70,400 1,758 Arena Pharmaceuticals (B)* 59,500 768 Ariad Pharmaceuticals (B)* 196,600 1,056 Array Biopharma* 64,200 846 Arrow International 32,517 1,136 Axcan Pharma* 115,057 1,709 Bausch & Lomb 8,299 402 Beckman Coulter 6,665 396 Bio-Reference Labs* 8,023 195 Biogen Idec* 6,811 356 Biosite (B)* 35,500 1,733 Cardiome Pharma* 53,100 616 Cephalon (B)* 87,047 6,516 Cerner (B)* 31,600 1,519 Chemed 12,227 458 Community Health Systems* 92,888 3,251 Computer Programs & Systems 36,594 1,317 Cooper (B) 19,500 1,052 Corvel* 9,315 533 Covance (B)* 19,672 1,178 Cubist Pharmaceuticals* 98,000 1,995 CV Therapeutics (B)* 262,531 3,145 Cynosure* 82,179 1,381 Cytyc (B)* 70,490 1,848 Dade Behring Holdings 91,114 3,450 DaVita* 20,200 1,075 Dendreon (B)* 63,100 271 Dentsply International 20,736 662 Depomed (B)* 115,800 391 DJO* 44,700 1,901 Eclipsys* 8,700 184 Edwards Lifesciences* 17,695 811 Emdeon (B)* 132,300 1,568 Encysive Pharmaceuticals (B)* 194,300 1,174 Endo Pharmaceuticals Holdings* 98,851 2,680 Enzon Pharmaceuticals (B)* 85,445 712 eResearch Technology (B)* 161,400 1,036 Exelixis* 137,300 1,184 Express Scripts* 34,100 2,326 Gen-Probe* 5,305 259 Genzyme* 13,700 882 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 79 SCHEDULE OF INVESTMENTS (Unaudited) Small/Mid Cap Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Greatbatch (B)* 10,654 $ 277 HealthSpring* 101,800 1,966 HealthTronics (B)* 11,400 77 Hillenbrand Industries (B) 3,700 214 Hologic (B)* 66,688 3,336 Human Genome Sciences (B)* 192,067 2,405 ICU Medical (B)* 18,170 734 Idexx Laboratories (B)* 6,423 544 ImClone Systems (B)* 13,000 389 Immucor* 63,813 1,717 IMS Health 19,430 534 Incyte (B)* 204,000 1,069 Inverness Medical Innovations* 12,000 468 Invitrogen (B)* 44,664 2,457 Kendle International* 1,700 60 Kindred Healthcare* 38,480 990 Kinetic Concepts* 46,900 1,702 King Pharmaceuticals (B)* 217,200 3,590 Lifecell (B)* 40,900 892 Lincare Holdings* 34,100 1,285 Luminex* 14,700 188 Magellan Health Services* 42,100 1,852 Manor Care 53,300 2,533 Matria Healthcare* 5,511 161 Medarex* 303,000 4,087 Medcath* 19,312 500 Medicis Pharmaceutical, Cl A 9,259 341 Mentor (B) 28,600 1,429 Merge Technologies* 67,519 411 Meridian Bioscience 8,464 206 Metabasis Therapeutics* 13,939 105 MGI Pharma (B)* 75,800 1,438 Micrus Endovascular* 143,100 2,816 Millennium Pharmaceuticals* 28,799 324 Molecular Devices* 6,600 139 Molina Healthcare* 9,551 325 Mylan Laboratories 4,500 91 Nastech Pharmaceutical (B)* 145,600 2,714 Nighthawk Radiology Holdings (B)* 24,400 530 Noven Pharmaceuticals* 57,605 1,366 Odyssey HealthCare* 107,970 1,337 Omnicare 12,600 500 Omnicell* 11,190 210 Option Care 56,500 796 Pain Therapeutics (B)* 43,300 371 Par Pharmaceutical* 6,897 136 PDL BioPharma (B)* 106,800 2,425 Penwest Pharmaceuticals (B)* 69,707 1,198 PerkinElmer 60,600 1,313 Perrigo 36,758 616 PharmaNet Development Group* 17,633 401 Phase Forward (B)* 56,373 843 PolyMedica (B) 42,800 1,694 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Pozen* 19,900 $ 327 PRA International* 2,200 64 Profarma Distribuidora de Productos Farmaceuticos (Brazil)* 64,700 824 Progenics Pharmaceuticals* 9,500 260 Quidel* 31,106 423 Resmed* 8,557 428 Respironics* 23,771 857 Rigel Pharmaceuticals* 101,700 1,118 Savient Pharmaceuticals* 55,669 650 Sciele Pharma (B)* 115,500 2,611 SuperGen (B)* 189,289 899 SurModics (B)* 12,800 432 Symbion* 68,500 1,216 Techne (B)* 27,281 1,467 Telik (B)* 198,300 3,373 Tenet Healthcare* 83,795 594 Theravance* 37,203 1,164 United Therapeutics (B)* 54,700 3,185 Universal Health Services, Cl B 12,513 691 Valeant Pharmaceuticals International 13,592 228 Vertex Pharmaceuticals* 8,400 372 Viropharma* 30,700 473 Waters* 10,028 502 Watson Pharmaceuticals* 41,895 1,075 WellCare Health Plans* 18,421 1,189 West Pharmaceutical Services 49,615 2,436 Zoll Medical* 22,152 1,149 ---------- 157,345 ---------- INDUSTRIALS -- 13.5% AAR* 38,800 1,032 ABX Air* 12,027 76 ACCO Brands* 16,400 416 Actuant, Cl A 8,785 475 Acuity Brands 57,072 3,006 Advisory Board* 22,753 1,262 AGCO (B)* 87,007 2,717 Alaska Air Group* 91,819 3,777 Albany International, Cl A 32,746 1,022 Alexander & Baldwin 8,412 371 Alliant Techsystems* 25,375 1,962 Allied Waste Industries (B)* 73,600 933 Amerco* 9,638 837 American Commercial Lines (B)* 32,903 2,281 American Power Conversion 17,930 544 American Science & Engineering (B)* 4,100 260 American Woodmark (B) 45,174 1,761 Ametek 52,541 1,713 AMR* 17,349 554 AO Smith 50,457 1,806 Aries Maritime Transport 95,800 940 Arkansas Best 20,367 772 -------------------------------------------------------------------------------- 80 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Armor Holdings* 23,000 $ 1,301 ASV* 2,500 37 Badger Meter 5,311 138 BE Aerospace* 66,413 1,741 Blount International* 70,700 831 Brink's 53,800 3,020 Bucyrus International, Cl A 30,750 1,313 Builders FirstSource (B)* 19,300 321 C&D Technologies 18,640 72 Central Parking 40,761 744 Cenveo* 13,833 275 Chicago Bridge & Iron (B) 71,150 2,062 Clean Harbors* 560 24 Columbus McKinnon* 13,390 311 Comfort Systems USA 36,378 491 COMSYS IT Partners* 5,000 92 Con-way 33,749 1,557 Consolidated Graphics (B)* 13,700 801 Continental Airlines, Cl B (B)* 63,397 2,576 Copart* 44,100 1,332 Corporate Executive Board (B) 26,300 2,489 Corrections of America (B)* 44,931 2,042 Covanta Holding* 6,778 150 Cummins 25,646 3,075 Curtiss-Wright 68,402 2,432 Deere 5,158 495 Deluxe 12,400 305 Dun & Bradstreet* 27,166 2,234 Dynamic Materials 82,800 2,385 DynCorp International, Cl A (B)* 65,000 852 EMCOR Group* 41,186 2,458 Energy Conversion Devices (B)* 18,800 718 EnerSys* 4,147 69 EnPro Industries* 28,500 994 Equifax 38,739 1,472 Essex* 59,100 1,407 ExpressJet Holdings* 191,092 1,510 Flint Energy Services (Canada)* 21,000 1,121 Fluor 1,936 169 Foster Wheeler* 46,459 2,508 Freightcar America (B) 26,500 1,460 Gardner Denver* 74,230 2,839 GATX 18,072 835 General Cable* 43,413 1,845 General Electric 12,148 429 Genlyte Group (B)* 24,571 2,085 Geo Group* 10,869 408 Global Cash Access* 143,000 2,292 Goodrich 42,903 1,931 GrafTech International (B)* 273,100 1,843 Granite Construction 72,808 3,757 Griffon (B)* 24,600 586 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Grupo Aeroportuario del Sureste ADR 36,200 $ 1,596 H&E Equipment Services (B)* 36,400 882 Herman Miller 64,700 2,272 Hertz Global Holdings* 82,300 1,317 Honeywell International 7,140 307 Hudson Highland Group* 9,507 170 Huron Consulting Group* 7,100 292 ICF International* 80,766 1,405 IKON Office Solutions 249,753 4,039 Infrasource Services* 38,840 839 Innerworkings* 76,467 1,279 Jacobs Engineering Group* 33,012 2,769 JB Hunt Transport Services (B) 63,900 1,399 John H. Harland 33,800 1,449 Joy Global 156,550 6,873 Kaman 9,779 226 KBR (B)* 36,500 808 Kenexa (B)* 23,418 722 Kennametal 57,236 3,496 Kforce* 8,768 117 Kirby* 52,411 1,889 Knoll* 87,500 1,821 Ladish* 8,619 291 Lamson & Sessions (B)* 39,500 849 Landstar System 2,700 122 Lennox International 30,900 904 Lincoln Electric Holdings 8,184 498 Manpower 11,949 848 McGrath Rentcorp 4,300 135 Monster Worldwide* 36,900 1,611 Moog, Cl A* 36,740 1,344 MSC Industrial Direct, Cl A 39,200 1,525 Mueller Industries (B) 39,900 1,361 NACCO Industries, Cl A 1,951 291 Navistar International* 11,974 383 NCI Building Systems* 22,800 1,258 Oshkosh Truck 20,690 993 Pacer International* 4,412 132 PAM Transportation Services* 4,600 110 Pentair 7,328 233 Perini* 14,171 461 Quanta Services* 111,395 2,042 RailAmerica* 7,500 120 Railpower Technologies (Canada)* 38,900 19 Regal-Beloit 54,479 2,786 Republic Services 56,100 2,327 Robbins & Myers 28,674 1,227 Robert Half International 57,300 2,211 Roper Industries 43,600 2,237 Ryder System 44,393 2,316 Saia* 30,084 746 SAIC* 21,100 400 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 81 SCHEDULE OF INVESTMENTS (Unaudited) Small/Mid Cap Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Sequa, Cl A* 546 $ 62 Shaw Group* 31,929 954 Simpson Manufacturing (B) 31,400 972 SIRVA* 8,235 31 Sitel* 23,880 99 Skywest 1,900 48 Spirit Aerosystems Holdings* 60,558 1,765 SPX 36,700 2,243 Standard Parking* 7,314 277 Standard Register 24,122 300 Stanley (B)* 24,634 413 Steelcase, Cl A 51,564 913 Stericycle* 3,105 225 Sun Hydraulics 200 4 Superior Essex* 14,578 516 Swift Transportation* 25,200 715 TAL International Group 69,500 1,731 Teleflex 18,296 1,182 Terex (B)* 22,400 1,255 Thomas & Betts* 25,400 1,317 Timken 10,900 324 UAL* 7,252 294 United Industrial (B) 3,300 161 United Rentals (B)* 105,100 2,634 United Stationers* 34,635 1,606 United Technologies 9,831 634 Universal Forest Products (B) 13,500 630 URS* 58,059 2,564 USG* 6,800 379 UTI Worldwide 65,800 1,961 Valley National Gases 700 18 Volt Information Sciences* 25,655 1,197 Wabtec 114,610 3,765 Walter Industries 50,450 2,426 Washington Group International (B)* 62,732 3,687 Waste Connections* 27,404 1,106 Watson Wyatt Worldwide, Cl A 33,600 1,559 WESCO International* 38,700 2,589 Williams Scotsman International* 92,935 1,854 Woodward Governor 52,900 2,020 YRC Worldwide (B)* 40,500 1,569 ---------- 210,497 ---------- INFORMATION TECHNOLOGY -- 17.9% 24/7 Real Media (B)* 176,800 1,542 Actel* 12,826 239 Activision (B)* 187,580 3,198 Acxiom 2,370 59 Adaptec* 342,400 1,493 ADC Telecommunications* 59,372 819 Advanced Energy Industries (B)* 40,000 689 Advanced Micro Devices* 6,170 133 Advent Software (B)* 33,900 1,239 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Agere Systems* 94,400 $ 1,692 Agilent Technologies* 3,247 103 Akamai Technologies (B)* 97,741 4,777 Altera (B)* 273,700 5,444 Altiris* 2,100 52 Amdocs* 98,200 3,786 AMIS Holdings* 25,301 273 Amkor Technology (B)* 141,228 1,443 Andrew* 292,202 2,913 Anixter International* 2,534 149 aQuantive (B)* 161,810 3,867 Ariba* 7,300 55 Arris Group* 94,426 1,127 Art Technology Group* 630,005 1,487 Aspen Technology (B)* 82,024 800 Asyst Technologies* 259,196 1,708 ATMI* 22,619 735 Avaya* 269,200 3,440 Avid Technology (B)* 23,498 916 Avnet* 158,090 3,919 Avocent* 1,032 36 AVX 62,833 976 Baidu.com ADR (B)* 6,306 730 Benchmark Electronics* 5,516 134 Black Box 24,000 1,028 Blackbaud 13,548 349 Blackboard (B)* 70,004 1,995 BMC Software (B)* 70,600 2,299 Brightpoint* 126,971 1,753 Broadcom, Cl A* 11,442 376 Brooks Automation (B)* 199,900 2,793 CA 1,900 41 CACI International, Cl A* 34,374 2,057 Carrier Access* 55,721 348 Ceridian* 7,400 181 CheckFree (B)* 81,843 3,422 Checkpoint Systems* 33,659 646 Cirrus Logic* 59,198 413 Citrix Systems* 66,860 1,922 CNET Networks (B)* 204,100 1,849 Cogent (B)* 102,900 1,166 Cohu 2,000 40 CommScope* 40,724 1,229 Concur Technologies (B)* 44,342 680 Convergys* 171,200 4,129 CPI International* 3,600 50 Credence Systems* 242,222 930 Cree (B)* 74,964 1,484 CSG Systems International (B)* 116,960 3,243 CTS 105,359 1,610 Cymer (B)* 81,120 3,833 Cypress Semiconductor* 120,649 2,098 DealerTrack Holdings* 49,499 1,353 -------------------------------------------------------------------------------- 82 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Digimarc* 41,300 $ 372 Digital Insight* 5,600 214 Diodes* 18,337 758 Earthlink (B)* 72,600 473 EFJ* 91,300 511 Electronics for Imaging* 92,078 2,256 Emergis (Canada)* 242,600 1,115 Emulex* 40,000 835 EPIQ Systems (B)* 70,352 1,099 eSpeed, Cl A* 6,900 65 Euronet Worldwide* 29,693 983 Extreme Networks* 41,403 165 F5 Networks* 31,771 2,377 Factset Research Systems 8,700 460 Fair Isaac 34,197 1,423 FEI* 6,900 168 Flextronics International* 363,600 4,090 Flir Systems* 14,325 461 Forrester Research* 14,128 397 Foundry Networks* 103,700 1,484 Global Imaging Systems* 19,700 420 Global Payments 40,600 1,859 Greenfield Online* 36,220 460 Hewitt Associates, Cl A* 74,072 1,881 Hutchinson Technology (B)* 78,300 1,866 Hyperion Solutions* 25,150 925 i2 Technologies (B)* 78,818 1,522 Ikanos Communications* 5,100 46 Imation 69,357 3,212 Informatica (B)* 66,500 801 infoUSA 11,600 141 Ingram Micro, Cl A* 24,229 494 Integrated Device Technology (B)* 99,098 1,635 Integrated Silicon Solutions* 16,456 102 Interdigital Communications (B)* 57,300 1,831 Intermec* 7,753 197 Internap Network Services (B)* 43,872 853 International Rectifier* 3,689 148 Intersil, Cl A 49,100 1,216 Interwoven* 65,427 927 Intevac* 45,849 1,251 Itron (B)* 32,594 1,564 Jack Henry & Associates 31,500 689 JDA Software Group* 110,600 1,582 Juniper Networks* 72,521 1,544 Jupitermedia (B)* 185,300 1,184 Komag (B)* 76,888 3,036 Kulicke & Soffa Industries* 5,500 45 L-1 Identity Solutions (B)* 20,641 346 Lattice Semiconductor* 333,100 2,262 Lawson Software* 231,459 1,722 Lexmark International, Cl A* 40,043 2,762 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Lightbridge* 114,970 $ 1,518 Littelfuse (B)* 12,900 404 LoJack* 3,900 59 LoopNet* 42,523 612 LSI Logic* 162,300 1,730 Magma Design Automation* 9,800 88 Manhattan Associates* 15,100 438 Mastec* 66,696 752 Mattson Technology* 11,800 112 MAXIMUS 38,600 1,129 McAfee* 29,273 855 McData, Cl A* 170,350 1,068 Mentor Graphics* 101,297 1,713 Methode Electronics 18,245 205 Mettler Toledo International* 39,599 3,066 Micros Systems* 19,235 979 Microsemi (B)* 134,200 2,771 MicroStrategy, Cl A (B)* 6,271 743 MKS Instruments (B)* 84,630 1,761 Monolithic Power Systems* 24,936 266 MTS Systems 6,113 234 Napco Security Systems* 1 -- National Semiconductor 1,500 36 NCR* 45,400 1,948 Net 1 UEPS Technologies (B)* 45,767 1,097 Novatel* 19,734 814 Novellus Systems (B)* 33,117 1,034 Nuance Communications (B)* 129,200 1,324 Omnivision Technologies (B)* 42,100 686 ON Semiconductor (B)* 161,700 1,041 OSI Systems (B)* 77,300 1,468 Palm* 75,500 1,058 Parametric Technology* 94,311 1,826 Parkervision (B)* 47,500 483 Parkervision* 58,000 590 Paxar* 28,928 618 Perot Systems, Cl A* 236,092 3,711 Photronics* 49,199 776 Pixelworks* 146,300 364 Plexus* 43,941 1,061 PMC - Sierra (B)* 253,300 1,928 Polycom (B)* 305,848 8,821 Power Integrations* 47,544 1,325 Presstek* 6,900 41 Rackable Systems (B)* 82,217 2,928 Radyne* 12,500 125 RealNetworks (B)* 70,700 813 Red Hat (B)* 204,900 3,565 RF Micro Devices (B)* 439,700 3,390 Sabre Holdings, Cl A 174,834 4,796 Salesforce.com (B)* 33,400 1,303 Sanmina-SCI* 79,621 295 Satyam Computer Services ADR (B) 73,100 1,707 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 83 SCHEDULE OF INVESTMENTS (Unaudited) Small/Mid Cap Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Seachange International* 80,500 $ 694 Sigma Designs (B)* 42,989 1,124 Silicon Storage Technology* 212,319 979 SkillSoft ADR* 133,063 832 Skyworks Solutions* 374,671 2,720 Solectron* 669,600 2,230 Sonic Solutions* 39,500 622 Sonus Networks (B)* 183,235 1,151 Spatialight (B)* 126,367 220 Spatialight (H)* 59,000 93 Standard Microsystems* 3,064 98 Stratasys (B)* 25,194 758 Sun Microsystems* 259,709 1,408 Sunpower, Cl A (B)* 53,066 1,980 Sybase (B)* 132,058 3,161 Synchronoss Technologies (B)* 66,462 994 SYNNEX* 48,085 1,092 Synopsys (B)* 101,608 2,596 Syntel 58,745 1,734 TAC Acquisition* 181,100 1,009 Tech Data* 25,834 1,080 Technitrol 13,200 363 Tektronix 1,085 33 Tellabs* 166,300 1,670 Teradyne (B)* 62,597 933 THQ (B)* 92,300 3,004 TIBCO Software* 394,800 3,676 Total System Services 2,138 56 Trident Microsystems (B)* 85,519 1,794 Unisys* 23,498 169 United Online (B) 189,200 2,541 Valueclick* 59,871 1,489 Veeco Instruments* 24,400 458 VeriSign* 81,113 2,118 Vishay Intertechnology* 97,000 1,271 WebEx Communications (B)* 35,425 1,272 Websense* 7,200 184 Western Digital (B)* 165,700 3,400 Wind River Systems* 257,600 2,759 Wright Express (B)* 42,200 1,302 X-Rite 1,762 21 Zoran* 41,547 619 ---------- 278,701 ---------- MATERIALS -- 5.1% Airgas 87,527 3,724 AK Steel Holding* 68,242 1,125 Albemarle 26,379 1,840 Allegheny Technologies 31,600 2,833 Aptargroup 19,200 1,176 Ashland (B) 26,813 1,813 Balchem 63,500 1,648 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Bowater 20,388 $ 444 Buckeye Technologies* 103,542 1,216 Cabot 29,991 1,234 Carpenter Technology 13,592 1,452 Celanese, Ser A 101,100 2,224 Century Aluminum (B)* 14,093 601 Chaparral Steel* 19,678 915 Cleveland-Cliffs (B) 45,800 2,200 Commercial Metals 123,286 3,581 Crown Holdings* 125,400 2,583 Eagle Materials (B) 9,400 404 Eastman Chemical (B) 33,100 1,966 First Quantum Minerals (Canada) 42,000 2,200 FMC 35,120 2,489 Grande Cache Coal (Canada)* 214,600 148 Greif, Cl A 39,128 3,880 Headwaters* 57,809 1,383 Hercules 84,900 1,582 Innospec 10,365 441 Louisiana-Pacific 28,600 603 Lubrizol 48,100 2,277 Material Sciences* 4,561 55 MeadWestvaco (B) 58,400 1,723 Metal Management 8,575 314 Myers Industries 3,100 50 Neenah Paper 21,959 750 NewMarket* 2,591 163 Olympic Steel* 2,740 71 Omnova Solutions* 3,800 18 Owens-Illinois (B)* 22,000 416 Packaging of America 6,800 153 Pioneer* 7,000 189 PolyOne* 206,400 1,585 Pope & Talbot* 7,500 38 Quaker Chemical 2,234 47 Quanex 21,900 813 Reliance Steel & Aluminum 43,600 1,678 Rock-Tenn, Cl A 73,053 1,841 RPM International 38,400 775 RTI International Metals* 1,042 79 Schnitzer Steel Industries, Cl A 51,196 2,090 Schweitzer-Mauduit International 16,400 407 Sensient Technologies 24,800 591 Sherritt International (Canada)* 114,600 1,243 Silgan Holdings 7,366 318 Sonoco Products 57,700 2,134 Spartech 45,346 1,357 Steel Dynamics (B) 42,200 1,372 Symyx Technologies* 91,388 1,998 Temple-Inland 15,400 602 Texas Industries (B) 45,398 3,098 United States Steel 41,000 3,066 Wausau Paper 18,709 280 -------------------------------------------------------------------------------- 84 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Wellman 75,500 $ 266 Wheeling-Pittsburgh (B)* 80,800 1,421 ---------- 78,983 ---------- TELECOMMUNICATION SERVICES -- 1.2% Cbeyond (B)* 35,346 1,161 Centennial Communications* 20,400 133 CenturyTel 83,742 3,563 Citizens Communications 63,509 900 Commonwealth Telephone Enterprises 23,900 996 Consolidated Communications Holdings 5,869 109 CT Communications 45,502 927 Dobson Communications, Cl A (B)* 227,600 1,969 Fairpoint Communications 120,500 2,226 Golden Telecom 13,000 528 Level 3 Communications (B)* 324,709 1,734 Premiere Global Services* 34,800 284 Qwest Communications International* 146,978 1,130 SBA Communications, Cl A* 66,271 1,880 Syniverse Holdings* 18,600 257 Talk America Holdings* 18,679 149 ---------- 17,946 ---------- UTILITIES -- 3.9% AES* 8,503 199 AGL Resources 95,497 3,668 Alliant Energy 86,418 3,362 Avista 28,900 778 Black Hills 89,117 3,182 CenterPoint Energy 66,000 1,079 El Paso Electric 7,200 179 Empire District Electric 21,398 514 Energen 44,384 2,013 Equitable Resources 21,976 953 Laclede Group 9,400 344 MDU Resources Group 76,200 2,007 New Jersey Resources 36,673 1,898 Nicor (B) 36,200 1,794 Northeast Utilities 11,671 327 NRG Energy (B)* 38,300 2,180 OGE Energy 59,944 2,351 Oneok 48,005 2,076 Ormat Technologies (B) 56,800 2,093 Peoples Energy 27,273 1,183 Pepco Holdings 73,300 1,879 Pinnacle West Capital (B) 76,015 3,751 PNM Resources 93,510 2,871 Progress Energy 19,344 924 Puget Energy 106,032 2,634 Reliant Energy* 114,709 1,539 -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- SCANA 37,444 $ 1,545 Sempra Energy 13,400 730 South Jersey Industries 933 31 Southern Union 29,800 835 Southwest Gas 5,959 224 TECO Energy 9,148 155 UGI (B) 90,331 2,546 Unisource Energy (B) 10,517 386 Vectren 46,041 1,315 Westar Energy 86,928 2,311 WGL Holdings 60,500 2,000 Wisconsin Energy 48,850 2,285 ---------- 60,141 ---------- Total Common Stock (Cost $1,279,404) ($ Thousands) 1,463,042 ---------- CORPORATE OBLIGATIONS (C) -- 11.1% FINANCIALS -- 11.1% Allstate Life Global Funding II MTN (A) (E) 5.360%, 12/17/07 $ 2,712 2,712 American General Finance (A) (E) 5.350%, 12/17/07 8,548 8,547 Bear Stearns EXL (E) 5.360%, 12/17/07 10,493 10,493 Countrywide Financial MTN (E) 5.448%, 10/31/07 12,379 12,379 Dekabank (A) (E) 5.394%, 11/20/07 10,906 10,905 Irish Life & Permanent MTN, Ser X (A) (E) 5.360%, 12/21/07 7,840 7,840 Islandsbanki (A) (E) 5.370%, 04/06/07 13,853 13,853 Jackson National Life Funding (A) (E) 5.320%, 12/03/07 12,969 12,969 Kaupthing Bank MTN (A) (E) 5.380%, 03/20/07 14,737 14,737 Landsbanki Islands (A) (E) 5.400%, 03/16/07 11,200 11,200 Morgan Stanley EXL (E) 5.380%, 01/04/08 2,063 2,063 Morgan Stanley EXL, Ser S (E) 5.340%, 12/05/07 2,947 2,947 Natexis Banques (A) (E) 5.300%, 12/17/07 5,748 5,747 Nationwide Building Society (A) (E) 5.424%, 10/26/07 3,242 3,242 5.350%, 12/07/07 5,895 5,895 Nordbank (A) (E) 5.350%, 12/24/07 10,021 10,020 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 85 SCHEDULE OF INVESTMENTS (Unaudited) Small/Mid Cap Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)/Shares ($ Thousands) -------------------------------------------------------------------------------- Northern Rock (A) (E) 5.360%, 12/03/07 $ 6,072 $ 6,072 Pacific Life Global Funding (A) 5.370%, 12/13/07 4,421 4,421 Premium Asset Trust, Ser 2004-10 (A) (E) 5.360%, 12/17/07 8,253 8,253 SLM EXL, Ser S (A) (E) 5.320%, 12/17/07 6,484 6,484 Skandinav Enskilda Bank (A) (E) 5.320%, 12/18/07 6,484 6,484 Stanfield Victoria MTN (A) 5.445%, 06/11/07 5,895 5,895 ---------- Total Corporate Obligations (Cost $173,158) ($ Thousands) 173,158 ---------- CASH EQUIVALENT -- 5.4% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.300%** 83,345,821 83,346 ---------- Total Cash Equivalent (Cost $83,346) ($ Thousands) 83,346 ---------- COMMERCIAL PAPER (C) (D) -- 2.4% FINANCIALS -- 2.4% Broadhollow Funding 5.305%, 12/07/06 3,301 3,298 KKR Pacific Funding Trust 5.345%, 12/27/06 5,895 5,872 5.305%, 01/02/07 2,947 2,934 Ocala Funding LLC 5.320%, 12/18/06 2,947 2,940 5.320%, 01/26/07 2,947 2,923 Rhineland Funding Capital 5.385%, 01/25/07 3,714 3,684 5.364%, 12/27/06 2,947 2,936 5.364%, 02/13/07 2,918 2,886 5.313%, 12/12/06 1,940 1,937 Witherspoon Funding Limited 5.329%, 12/15/06 2,947 2,941 Witherspoon Funding, Ser 2004-1A (E) 5.330%, 03/15/07 5,088 5,088 ---------- Total Commercial Paper (Cost $37,439) ($ Thousands) 37,439 ---------- ASSET-BACKED SECURITIES (A) (C) (E) -- 1.2% MORTGAGE RELATED SECURITIES -- 1.2% Commodore, Ser 2003-2A, Cl A1MM 5.470%, 12/12/38 2,712 2,712 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Duke Funding, Ser 2004-6B, Cl A1S1 5.440%, 10/09/07 $ 4,421 $ 4,421 Newcastle CDO, Ser 2005-6A, Cl IM1 5.340%, 04/24/07 1,179 1,179 Park Place Securities NIM Trust, Ser 2004-MM1, Cl MM1 5.350%, 02/26/07 1,751 1,751 Saturn Ventures II 5.380%, 02/07/07 4,747 4,747 TIAA Real Estate CDO, Ser 2003 1A, Cl A1MM 5.350%, 09/28/07 4,384 4,384 ---------- Total Asset-Backed Securities (Cost $19,194) ($ Thousands) 19,194 ---------- MASTER NOTE (C) (D) -- 1.0% Bank of America 5.383%, 12/01/45 14,737 14,737 ---------- Total Master Note (Cost $14,737) ($ Thousands) 14,737 ---------- CERTIFICATES OF DEPOSIT (C) -- 0.7% Barclays Bank (E) 5.330%, 06/11/07 2,947 2,947 CC USA MTN (A) 5.379%, 06/18/07 5,895 5,895 U.S. Trust of New York (E) 5.316%, 03/13/07 2,358 2,358 ---------- Total Certificates of Deposit (Cost $11,200) ($ Thousands) 11,200 ---------- U.S. TREASURY OBLIGATION (D) (J) -- 0.2% U.S. Treasury Bill 4.880%, 02/22/07 2,645 2,615 ---------- Total U.S. Treasury Obligation (Cost $2,615) ($ Thousands) 2,615 ---------- Number of Warrants ---------- WARRANTS -- 0.0% Infinity Bio-Energy, Expires 05/23/10* 516,814 248 Parkervision (F) (G) (H) (I)* 20,750 67 TAC Acquisition, Expires 06/28/10* 362,200 94 ---------- Total Warrants (Cost $366) ($ Thousands) 409 ---------- -------------------------------------------------------------------------------- 86 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS (C) (K) -- 4.3% ABN Amro 5.300%, dated 11/30/06, to be repurchased on 12/01/06, repurchase price $23,582,968 (collateralized by various U.S. Government obligations, ranging in par value $294,744- $8,842,311, 0.000%-6.000%, 03/01/07-07/01/36; with total market value $24,051,086) $23,579 $23,579 Barclays 5.300%, dated 11/30/06, to be repurchased on 12/01/06, repurchase price $5,018,573 (collateralized by various U.S. Government obligations, ranging in par value $109,939- $1,563,321, 2.750%-5.700%, 12/15/06-05/27/15; with total market value $5,118,271) 5,018 5,018 Deutsche Bank 5.300%, dated 11/30/06, to be repurchased on 12/01/06, repurchase price $2,007,028 (collateralized by various U.S. Government obligations, ranging in par value $559,424- $1,517,341, 0.000%-5.800%, 05/01/07-01/27/20; with total market value $2,047,009) 2,007 2,007 Lehman Brothers 5.300%, dated 11/30/06, to be repurchased on 12/01/06, repurchase price $36,519,463 (collateralized by various U.S. Government obligations, ranging in par value $270,280- $45,566,256, 3.085%-8.625%, 12/21/07-01/15/30; with total market value $37,244,588) 36,514 36,514 ---------- Total Repurchase Agreements (Cost $67,118) ($ Thousands) 67,118 ---------- Total Investments -- 120.3% (Cost $1,688,577) ($ Thousands) $1,872,258 ========== A summary of the open future contracts held by the Fund at November 30, 2006, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED TYPE OF NUMBER OF EXPIRATION APPRECIATION CONTRACT CONTRACTS DATE ($ THOUSANDS) -------------------------------------------------------------------------------- Russell 2000 Index E-Mini 505 Dec-2006 $2,148 S&P Mid 400 Index E-Mini 448 Dec-2006 1,763 ------ $3,911 ====== Percentages are based on Net Assets of $1,555,865 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of November 30, 2006. + Real Estate Investments Trust (A) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (B) This security or a partial position of this security is on loan at November 30, 2006 (See Note 9). The total value of securities on loan at November 30, 2006 was $313,892 ($ Thousands). (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, 2006 was $322,846 ($ Thousands). (D) The rate reported is the effective yield at time of purchase. (E) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of November 30, 2006. (F) Securities considered illiquid. The total value of such securities as of November 30, 2006 was $2,018 ($ Thousands) and represents 0.13% of Net Assets. (G) Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total value of such securities as of November 30, 2006 was $67 ($ Thousands) and represents 0.00% of Net Assets. (H) This security considered restricted. The total value of such securities as of November 30, 2006 was $2,018 ($ Thousands) and represents 0.13% of Net Assets. (I) This warrant does not have a strike price or expiration date. (J) Security, or portion thereof, has been pledged as collateral on open futures contracts. (K) Tri-Party Repurchase Agreement. ADR -- American Depositary Receipt CDO -- Collateralized Debt Obligation Cl -- Class EXL -- Extendable Maturity LLC -- Limited Liability Company MTN -- Medium Term Note NIM -- Net Interest Margin Ser -- Series Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 87 SCHEDULE OF INVESTMENTS (Unaudited) Core Fixed Income Fund November 30, 2006 -------------------------------------------------------------------------------- [Bar Chart Omitted] Plot Points as follows: SECTOR WEIGHTINGS 23.1% U.S. Government Mortgage Backed 17.6% Asset-Backed Securities 16.6% Financials 14.1% U.S. Treasury Obligations 10.6% Short-Term Investments 7.0% U.S. Government Agency Obligations 2.7 Commercial Paper 1.6% Energy 1.1% Industrials 1.0% Telecommunication Services 1.0% Utilities 0.8% Sovereign Bonds 0.8% Consumer Discretionary 0.7% Master Note 0.5% Certificates of Deposit 0.3% Consumer Staples 0.2% Health Care 0.2% Materials 0.1% Municipal Bonds ++Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 9). -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- CORPORATE OBLIGATIONS -- 31.9% CONSUMER DISCRETIONARY -- 1.1% COX Communications 7.875%, 08/15/09 $ 440 $ 468 Clear Channel Communications 4.250%, 05/15/09 1,040 1,012 Clear Channel Communications (J) 6.250%, 03/15/11 2,740 2,658 Comcast 9.000%, 09/01/08 710 755 6.500%, 01/15/15 3,635 3,843 6.500%, 01/15/17 1,825 1,934 5.650%, 06/15/35 600 564 5.900%, 03/15/16 (J) 2,700 2,750 Comcast Cable Communications 8.375%, 03/15/13 4,025 4,632 6.750%, 01/30/11 5,950 6,297 DaimlerChrysler 8.500%, 01/18/31 910 1,112 7.300%, 01/15/12 1,995 2,138 6.500%, 11/15/13 1,195 1,243 DaimlerChrysler MTN 5.750%, 09/08/11 2,110 2,122 Ford Motor 9.980%, 02/15/47 3,000 2,677 7.500%, 08/01/26r (J) 2,100 1,649 7.450%, 07/16/31r (J) 2,770 2,192 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- General Motors (J) 8.375%, 07/15/33 $ 2,940 $ 2,679 News America 6.400%, 12/15/35 1,805 1,844 6.200%, 12/15/34 1,815 1,810 Target (J) 4.000%, 06/15/13 355 334 Time Warner 7.700%, 05/01/32 4,185 4,845 6.875%, 05/01/12 350 374 Time Warner Entertainment 8.375%, 07/15/33 3,160 3,923 Tulane University of Louisiana (C) (F) 6.205%, 02/15/07 1,822 1,822 Viacom 5.750%, 04/30/11 3,865 3,897 -------- 59,574 -------- CONSUMER STAPLES -- 0.3% Altria Group 7.750%, 01/15/27 1,765 2,204 7.000%, 11/04/13 3,450 3,805 Diageo Capital 5.500%, 09/30/16 2,870 2,882 Kraft Foods (J) 5.625%, 11/01/11 1,760 1,797 5.250%, 10/01/13 1,875 1,879 Mohawk 5.750%, 01/15/11 3,500 3,523 Philip Morris Capital 7.500%, 07/16/09 1,155 1,208 Reynolds American (C) (J) 7.875%, 05/15/09 1,630 1,705 -------- 19,003 -------- ENERGY -- 2.2% Anadarko Finance, Ser B 7.500%, 05/01/31 5,363 6,340 6.750%, 05/01/11 2,885 3,053 Anadarko Petroleum 6.450%, 09/15/36 5,490 5,815 5.790%, 12/15/06 4,650 4,668 Andarko Petroleum 5.950%, 09/15/16 2,470 2,534 BP Canada Finance 3.625%, 01/15/09 2,740 2,671 Cameron Highway Oil Pipe, Ser A 5.860%, 12/15/17 848 849 Canadian Natural Resources 6.500%, 02/15/37 1,145 1,185 -------------------------------------------------------------------------------- 88 SEI Institutional Investments Trust/Semi-Annual Report/November 30,2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Conoco Funding 7.250%, 10/15/31 $ 885 $ 1,078 6.950%, 04/15/29 7,425 8,704 6.350%, 10/15/11 430 454 ConocoPhillips 5.900%, 10/15/32 (J) 1,150 1,210 4.750%, 10/15/12 880 869 Devon Energy 7.950%, 04/15/32 3,835 4,826 Devon Financing 6.875%, 09/30/11 2,385 2,550 Duke Capital LLC 8.000%, 10/01/19 675 801 7.500%, 10/01/09 2,075 2,193 5.500%, 03/01/14 1,140 1,143 EMP Nacional del Petrole (C) 6.750%, 11/15/12 171 182 4.875%, 03/15/14 892 856 El Paso 6.950%, 06/01/28 2,250 2,174 El Paso MTN (J) 7.800%, 08/01/31 2,100 2,226 7.750%, 01/15/32 3,375 3,578 Encana 6.500%, 08/15/34 1,031 1,101 Energy Transfer Partners 5.650%, 08/01/12 1,740 1,754 GAZ Capital (C) 6.212%, 11/22/16 7,738 7,727 Hess 7.300%, 08/15/31 6,761 7,751 ITC Holdings (C) 6.375%, 09/30/36 1,071 1,107 5.875%, 09/30/16 1,060 1,071 Kansas Gas & Electric 5.647%, 03/29/21 2,750 2,747 Kinder Morgan Energy Partners 7.125%, 03/15/12 1,760 1,881 5.000%, 12/15/13 1,190 1,146 Mantis Reef II (C) 4.799%, 11/03/09 1,095 1,075 Nevada Power, Ser M 5.950%, 03/15/16 2,450 2,486 Pemex Project Funding Master Trust 7.375%, 12/15/14 980 1,083 6.690%, 12/15/06 (C) (F) 1,411 1,447 6.625%, 06/15/35 (C) 2,909 2,982 6.625%, 06/15/35 (J) 1,535 1,573 Petrobras International Finance 6.125%, 10/06/16 3,790 3,809 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Petroleum Export (C) 5.265%, 06/15/11 $ 687 $ 672 4.623%, 06/15/10 460 455 Plains (C) 6.650%, 01/15/37 1,120 1,175 6.125%, 01/15/17 2,235 2,288 Ras Laffan (C) 6.332%, 09/30/27 2,050 2,156 Ras Laffan LNG II (C) 5.298%, 09/30/20 879 860 Sonat 7.625%, 07/15/11 2,880 2,988 Southern Power, Ser E 6.375%, 11/15/36 1,144 1,164 Williams 8.750%, 03/15/32 2,840 3,188 7.750%, 06/15/31 740 770 Williams, Ser A (J) 7.500%, 01/15/31 310 319 XTO Energy 7.500%, 04/15/12 1,320 1,449 YPF Sociedad Anonima MTN, Ser A 7.750%, 08/27/07 3,000 3,034 -------- 121,217 -------- FINANCIALS -- 22.6% ABX Financing (C) 6.350%, 10/15/36 5,200 5,328 ACE (J) 6.700%, 05/15/36 1,365 1,527 ASIF Global Financing XIX (C) 4.900%, 01/17/13 450 444 Aegon (F) 5.413%, 01/15/07 1,711 1,463 Aiful (C) 5.000%, 08/10/10 2,620 2,565 4.450%, 02/16/10 2,216 2,136 Allied Capital 6.625%, 07/15/11 4,660 4,784 Allied World Assurance 7.500%, 08/01/16 2,000 2,192 Allstate Life Global Funding II MTN (F) (K) 5.360%, 12/17/07 9,543 9,543 American Express Travel (C) 5.250%, 11/21/11 5,260 5,309 American General Finance (C) (F) (K) 5.350%, 12/17/07 30,083 30,081 American International Group 5.600%, 10/18/16 1,130 1,161 4.700%, 10/01/10 (C) 2,750 2,723 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30,2006 89 SCHEDULE OF INVESTMENTS (Unaudited) Core Fixed Income Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Apache Finance Canada 4.375%, 05/15/15 $ 2,410 $ 2,257 Australia & New Zealand Banking Group (F) 5.400%, 10/29/49 1,590 1,376 BAC Capital Trust XI 6.625%, 05/23/36 2,235 2,477 BNP Paribas (F) 5.445%, 03/23/07 1,080 922 Banco Mercantile (C) (F) 6.135%, 10/13/16 1,607 1,629 Banco Santander Chile 7.375%, 07/18/12 659 725 Bank One 7.875%, 08/01/10 4,440 4,858 Bank of America 7.400%, 01/15/11 3,300 3,594 5.375%, 06/15/14 1,760 1,788 4.250%, 10/01/10 1,470 1,435 Bank of Ireland (F) 5.688%, 12/05/06 780 677 Bank of Nova Scotia (F) 5.625%, 02/23/07 640 550 Bank of Scotland (F) 5.563%, 11/29/49 330 282 Bankamerica Capital II 8.000%, 12/15/26 402 418 Banponce Trust I, Ser A 8.327%, 02/01/27 2,410 2,516 Barclays Bank (F) 5.750%, 01/02/07 370 322 Bear Stearns EXL (F) (K) 5.360%, 12/17/07 36,929 36,929 Boeing Capital (J) 6.500%, 02/15/12 340 363 5.800%, 01/15/13 315 328 Capital One Bank 4.875%, 05/15/08 2,750 2,738 Capital One Financial 8.750%, 02/01/07 3,806 3,825 6.150%, 09/01/16 1,715 1,799 5.500%, 06/01/15 840 849 Capital One III 7.686%, 08/15/36 965 1,120 Chase Capital I, Ser A 7.670%, 12/01/26 4,101 4,261 Chuo Mitsui Trust & Banking (C) (F) 5.506%, 12/15/49 1,681 1,631 Cigna 6.150%, 11/15/36 1,620 1,658 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Citigroup 5.850%, 08/02/16 $ 2,310 $ 2,423 5.100%, 09/29/11 2,310 2,323 4.125%, 02/22/10 (J) 6,820 6,657 3.625%, 02/09/09 5,910 5,746 Citigroup Capital II 7.750%, 12/01/36 873 903 Corp Andina de Fomento 5.125%, 05/05/15 678 662 Countrywide Financial MTN (F) (K) 5.448%, 10/31/07 43,568 43,568 Countrywide Home Loans MTN, Ser L 2.875%, 02/15/07 2,440 2,428 Credit Suisse First Boston (F) 5.500%, 12/19/06 565 482 Credit Suisse First Boston London (C) (F) (L) 0.000%, 12/24/06 11,540 10,419 Credit Suisse USA (J) 5.850%, 08/16/16 905 949 5.500%, 08/16/11 4,030 4,106 Dekabank (F) (K) 5.394%, 11/20/07 38,381 38,378 Den Norske Bank (F) 5.688%, 02/18/07 110 94 5.563%, 02/27/07 650 549 Deutsche Bank Capital Funding Trust (C) (F) (J) 5.628%, 01/19/49 7,789 7,733 Developers Divers Realty MTN+ 7.000%, 03/19/07 1,100 1,105 Developers Divers Realty+ 5.375%, 10/15/12 2,555 2,562 Dresdner Funding Trust I (C) 8.151%, 06/30/31 1,379 1,712 Dryden Investor Trust (C) (H) 7.157%, 07/23/08 1,889 1,918 EOP Operating 4.750%, 03/15/14 1,585 1,571 Eksportfinans 5.500%, 05/25/16 4,250 4,458 Eksportfinans, Ser G MTN 5.125%, 10/26/11 1,078 1,091 Equity One+ 3.875%, 04/15/09 7,100 6,856 Farmers Exchange Capital (C) 7.200%, 07/15/48 3,900 4,054 7.050%, 07/15/28 1,563 1,676 Farmers Insurance Exchange (C) 8.625%, 05/01/24 4,518 5,541 -------------------------------------------------------------------------------- 90 SEI Institutional Investments Trust/Semi-Annual Report/November 30,2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- First Chicago NBD Institutional Capital A (C) 7.950%, 12/01/26 $ 187 $ 194 First Industrial 7.600%, 07/15/28 3,400 3,905 First Industrial MTN 7.500%, 12/01/17 2,765 3,138 Ford Motor Credit 7.875%, 06/15/10 7,200 7,233 7.375%, 10/28/09 15,740 15,714 7.250%, 10/25/11 329 321 7.000%, 10/01/13 8,075 7,745 6.625%, 06/16/08 10,480 10,422 Ford Motor Credit MTN 7.750%, 02/15/07 4,435 4,443 Fund American 5.875%, 05/15/13 1,354 1,364 GE Capital Franchise MTN+ 6.860%, 06/15/07 1,100 1,108 GE Global Insurance 7.000%, 02/15/26 1,300 1,485 GMAC 6.125%, 01/22/08 415 415 General Electric Capital MTN 5.375%, 10/20/16 1,545 1,571 General Electric Capital MTN, Ser A 6.750%, 03/15/32 1,140 1,347 6.000%, 06/15/12 4,750 4,971 3.750%, 12/15/09 3,732 3,610 General Motors Acceptance 8.000%, 11/01/31 2,567 2,877 7.750%, 01/19/10 2,370 2,481 7.600%, 12/25/06 (F) 15,205 15,845 7.250%, 03/02/11 2,755 2,868 6.875%, 09/15/11 1,283 1,321 6.750%, 12/01/14 2,655 2,722 6.324%, 01/18/07 (F) 3,340 3,346 6.125%, 08/28/07 9,860 9,856 5.625%, 05/15/09 7,680 7,632 Glitnir Bank 6.693%, 06/15/16 (F) 4,480 4,673 6.330%, 07/28/11 (C) 2,440 2,532 Goldman Sachs Group 6.600%, 01/15/12 (J) 2,630 2,805 6.450%, 05/01/36 1,160 1,244 5.950%, 01/15/27 2,235 2,268 5.350%, 01/15/16 1,245 1,247 5.125%, 01/15/15 4,190 4,144 Great Western Finance Trust II, Ser A 8.206%, 02/01/27 494 516 HBOS (C) (F) 5.375%, 11/29/49 2,198 2,195 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- HBOS Treasury Services (C) 5.000%, 11/21/11 $ 6,300 $ 6,327 HSBC Bank (F) 5.875%, 12/19/06 1,210 1,041 5.663%, 12/11/06 2,320 1,949 HSBC Finance 8.000%, 07/15/10 2,330 2,554 7.000%, 05/15/12 1,975 2,149 6.375%, 11/27/12 365 388 4.750%, 04/15/10 (J) 7,485 7,411 HSBC Holdings 6.500%, 05/02/36 1,625 1,802 HVB Funding Trust III (C) 9.000%, 10/22/31 1,180 1,581 Hartford Financial Services Group (J) 5.500%, 10/15/16 2,765 2,813 Highwoods Realty+ 7.500%, 04/15/18 3,888 4,406 7.125%, 02/01/08 3,803 3,869 ILFC E-Capital Trust II 6.250%, 12/21/65 1,090 1,122 International Lease Finance MTN 5.590%, 02/24/07 (F) 1,725 1,731 5.450%, 03/24/11 3,650 3,693 5.400%, 02/15/12 2,795 2,828 Irish Life & Permanent MTN, Ser X (F) (K) 5.360%, 12/21/07 27,593 27,591 Islandsbanki (C) (F) (K) 5.370%, 04/06/07 48,755 48,755 JPMC Capital XVIII, Ser R 6.950%, 08/17/36 2,085 2,311 JPMorgan 8.750%, 02/28/07 2,751 2,682 JPMorgan Capital Trust I 7.540%, 01/15/27 697 723 JPMorgan Capital Trust II 7.950%, 02/01/27 180 187 JPMorgan Chase 5.750%, 01/02/13 3,670 3,783 5.600%, 06/01/11 (J) 4,220 4,315 5.150%, 10/01/15 400 397 5.125%, 09/15/14 2,075 2,062 Jackson National Life Funding (C) (F) (K) 5.320%, 12/03/07 45,643 45,643 Kaup Bank 6.600%, 12/28/15 3,000 2,860 Kaupthing Bank (C) 7.125%, 05/19/16 12,000 12,865 5.750%, 10/04/11 1,120 1,126 5.372%, 01/12/07 6,870 6,907 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30,2006 91 SCHEDULE OF INVESTMENTS (Unaudited) Core Fixed Income Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Kaupthing Bank MTN (F) (K) 5.380%, 03/20/07 $ 51,867 $ 51,867 Korea Development Bank 4.250%, 11/13/07 560 555 Landsbanki Islands (C) 6.100%, 08/25/11 6,520 6,680 Landsbanki Islands (C) (F) (K) 5.400%, 03/16/07 39,419 39,419 Lazard Group 7.125%, 05/15/15 2,465 2,595 Lehman Brothers Holdings 7.000%, 02/01/08 2,765 2,821 5.750%, 01/03/17 1,645 1,685 Lehman Brothers Holdings MTN 5.750%, 07/18/11 (J) 4,000 4,108 5.750%, 05/17/13 3,435 3,530 Lehman Brothers Holdings MTN, Ser H (F) (M) 0.000%, 11/30/10 3,736 3,424 0.000%, 06/20/16 4,940 4,991 Lehman Brothers Holdings MTN (F) 11.000%, 11/07/16 5,269 5,327 Liberty Mutual Group (C) (J) 7.500%, 08/15/36 1,939 2,190 Liberty Property+ 7.750%, 04/15/09 1,026 1,079 6.375%, 08/15/12 350 369 Lloyds TSB Bank, Ser 1 (F) 5.750%, 05/14/07 430 377 Lloyds TSB Bank, Ser 2 (F) 5.563%, 02/21/07 110 95 Lloyds TSB Bank, Ser 3 (F) 5.560%, 02/28/07 1,430 1,227 M&I Capital Trust, Cl A 7.650%, 12/01/26 1,513 1,568 MUFG Capital Finance (F) 6.346%, 07/25/49 3,555 3,655 Mangrove Bay Passthru Trust (C) (F) 6.102%, 07/15/33 2,095 2,072 Mellon Capital I, Ser A 7.720%, 12/01/26 827 860 Merrill Lynch 7.430%, 09/01/22 5 5 6.220%, 09/15/26 1,400 1,474 6.050%, 05/16/16 4,460 4,684 Merrill Lynch MTN, Ser B 3.375%, 09/14/07 1,650 1,627 Merrill Lynch MTN, Ser C 4.250%, 02/08/10 2,085 2,036 Mizuho Finance 8.375%, 04/27/09 315 335 8.375%, 12/29/49 530 563 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Morgan Stanley 5.375%, 10/15/15 (J) $ 2,915 $ 2,930 4.750%, 04/01/14 2,270 2,196 Morgan Stanley EXL (F) (K) 5.380%, 01/04/08 7,261 7,261 Morgan Stanley EXL, Ser S (F) (K) 5.340%, 12/05/07 10,373 10,373 Morgan Stanley MTN 6.250%, 08/09/26 (J) 1,175 1,258 5.625%, 01/09/12 2,840 2,906 NB Capital Trust IV 8.250%, 04/15/27 4,865 5,087 Natexis Banques (C) (F) (K) 5.300%, 12/17/07 20,228 20,226 National Australia Bank (F) 5.556%, 04/09/07 740 638 5.400%, 04/09/07 140 121 National Capital Trust II (C) (F) 5.486%, 12/17/06 3,207 3,150 National Westminster Bank (F) 5.500%, 02/27/07 140 120 National Westminster Bank, Ser B (F) 5.688%, 01/09/07 570 491 Nationwide Building Society (C) (F) (K) 5.424%, 10/26/07 11,411 11,411 5.350%, 12/07/07 20,747 20,747 Nationwide Mutual Insurance (C) 8.250%, 12/01/31 2,000 2,514 6.600%, 04/15/34 5,263 5,343 Nordbank (C) (F) (K) 5.350%, 12/24/07 35,269 35,266 North Front Pass-Through Trust (C) (F) 5.810%, 12/15/06 5,291 5,291 Northern Rock (C) (F) (K) 5.360%, 12/03/07 21,369 21,369 Odyssey Re Holdings 6.875%, 05/01/15 2,900 2,986 Odyssey Re Holdings (J) 7.650%, 11/01/13 1,460 1,564 PF Export Receivables Master Trust (C) 6.436%, 06/01/15 1,632 1,665 PNC Funding 5.250%, 11/15/15 2,755 2,749 PPL Montana 8.903%, 07/02/20 123 137 Pacific Life Global Funding (C) (F) (K) 5.370%, 12/13/07 15,560 15,560 Paribas, Ser 1986 (F) 5.563%, 12/11/06 693 595 -------------------------------------------------------------------------------- 92 SEI Institutional Investments Trust/Semi-Annual Report/November 30,2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Pemex Finance 9.690%, 08/15/09 $ 1,375 $ 1,491 Power Receivables Financial 6.290%, 01/01/12 3,856 3,896 6.290%, 01/01/12 (C) 1,218 1,231 Premium Asset Trust, Ser 2004-10 (C) (F) (K) 5.360%, 12/17/07 29,045 29,045 Prime Property Funding (C) 5.600%, 06/15/11 3,380 3,417 Prologis+ 5.500%, 04/01/12 2,360 2,378 5.250%, 11/15/10 835 836 Prologis Trust+ 5.625%, 11/15/16 1,695 1,709 RBS Capital Trust III (F) 5.512%, 03/30/07 267 266 Rabobank Capital Fund Trust II (C) (F) 5.260%, 12/29/49 1,089 1,079 Rabobank Capital Fund Trust III (C) (F) 5.254%, 12/31/06 1,221 1,197 Residential Capital 6.500%, 04/17/13 6,580 6,826 6.125%, 11/21/08 6,980 7,059 Residential Capital (F) 6.742%, 12/29/06 1,770 1,780 Resona Bank (C) (F) (J) 5.850%, 09/29/49 1,375 1,361 Resona Preferred Global Securities (C) (F) 7.191%, 07/30/49 2,590 2,746 Royal Bank of Canada (F) 5.578%, 12/21/06 1,010 892 Royal Bank of Scotland Group 5.750%, 12/11/06 (F) 2,440 2,082 5.000%, 10/01/14 2,285 2,252 SLM EXL, Ser S (F) (K) 5.320%, 12/17/07 22,821 22,821 SLM, Ser CPI (F) 4.940%, 12/01/06 4,180 4,063 Shinsei Finance Cayman (C) (F) 6.418%, 01/29/49 4,560 4,634 Simon Property Group+ 5.750%, 05/01/12 2,200 2,253 5.600%, 09/01/11 (J) 2,965 3,018 4.875%, 03/18/10 1,058 1,051 Skandinav Enskilda Bank (F) (K) 5.320%, 12/18/07 22,821 22,820 Societe Generale (F) 5.429%, 05/26/07 680 585 4.656%, 05/26/07 40 34 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Spieker Properties+ 7.650%, 12/15/10 $ 1,910 $ 2,102 Standard Chartered I (F) 5.563%, 01/16/07 1,840 1,518 Standard Chartered II (F) 5.530%, 05/07/07 2,720 2,264 Standard Chartered IV (F) 5.730%, 01/06/07 290 239 Stanfield Victoria MTN (K) 5.445%, 06/11/07 20,747 20,745 Stingray Pass-Through Trust (C) 5.902%, 01/12/15 4,300 3,956 Sumitomo Mitsui Banking 8.150%, 08/01/08 113 118 8.150%, 08/29/49 951 990 Suntrust (F) 6.100%, 12/06/06 5,450 5,448 TNK-BP Finance (C) (J) 7.500%, 07/18/16 3,750 3,963 Toll Road Investment Partners II (C) (E) 5.455%, 02/15/45 5,520 711 Toyota Motor Credit 2.875%, 08/01/08 1,970 1,901 Twin Reefs Pass-Through (C) (F) 6.320%, 12/10/06 900 901 UFJ Finance Aruba 8.750%, 08/13/49 160 169 8.750%, 11/29/49 1,060 1,120 US Bancorp MTN, Ser N 3.125%, 03/15/08 1,520 1,479 Ventas Realty 6.750%, 04/01/17 1,645 1,680 Wachovia 5.300%, 10/15/11 4,430 4,475 5.250%, 08/01/14 5,340 5,327 4.875%, 02/15/14 2,290 2,240 Wachovia Capital Trust III (F) 5.800%, 03/15/11 3,181 3,224 Washington Mutual 5.777%, 12/01/06 1,000 1,004 4.000%, 01/15/09 1,363 1,334 Washington Mutual Bank 5.650%, 08/15/14 2,290 2,325 Washington+ 5.350%, 05/01/15 695 691 Wells Fargo 5.000%, 11/15/14 1,635 1,615 Wells Fargo Capital 5.950%, 12/15/36 480 483 Westfield Capital (C) 4.375%, 11/15/10 3,900 3,790 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30,2006 93 SCHEDULE OF INVESTMENTS (Unaudited) Core Fixed Income Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Westfield Group 5.700%, 10/01/16 $ 3,705 $ 3,766 5.400%, 10/01/12 6,365 6,410 Westpac Banking (F) 5.525%, 03/30/07 690 588 Westpac Capital Trust IV (C) (F) 5.256%, 12/29/49 1,281 1,239 Woodbourne Pass-Through Trust (C) (F) 6.445%, 12/08/06 2,500 2,528 Woori Bank (C) (F) 6.125%, 05/03/16 1,201 1,242 ZFS Finance USA Trust II (C) (F) (J) 6.450%, 12/15/65 3,350 3,446 Zions Bancorp 5.500%, 11/16/15 1,740 1,741 Zurich Capital Trust I (C) 8.376%, 06/01/37 8,350 8,765 ----------- 1,231,507 ----------- HEALTH CARE -- 0.3% Aetna 6.625%, 06/15/36 800 885 Boston Scientific 7.000%, 11/15/35 786 815 Bristol-Myers Squibb 5.875%, 11/15/36 2,260 2,307 HCA 5.750%, 03/15/14 6,320 5,166 Tenet Healthcare 7.375%, 02/01/13 221 202 Teva Pharmaceutical Finance LLC 6.150%, 02/01/36 1,130 1,137 Wellpoint 5.850%, 01/15/36 1,830 1,840 Wyeth 5.500%, 02/15/16 3,335 3,390 ----------- 15,742 ----------- INDUSTRIALS -- 1.5% Air 2 US (C) 8.027%, 10/01/19 3,246 3,344 America West Airlines, Ser 1999-1 7.930%, 01/02/19 5,111 5,507 American Airlines, Ser 1999-1 (J) 7.024%, 10/15/09 2,320 2,413 Canadian National Railway 6.200%, 06/01/36 1,815 1,993 Cedar Brakes I LLC (C) 8.500%, 02/15/14 1,588 1,731 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Cedar Brakes II LLC (C) 9.875%, 09/01/13 $ 2,961 $ 3,307 Codelco 6.150%, 10/24/36 1,810 1,899 Continental Airlines, Ser 02-1 6.563%, 02/15/12 1,400 1,465 Continental Airlines, Ser 1999-2 7.256%, 03/15/20 1,482 1,584 Continental Airlines, Ser 971A 7.461%, 04/01/15 2,400 2,436 Continental Airlines, Ser 974A 6.900%, 01/02/18 5,660 5,914 Continental Airlines, Ser AMBC 6.236%, 03/15/20 2,402 2,476 Corning 5.250%, 08/15/36 1,180 1,306 D R Horton 5.625%, 09/15/14 996 971 Dominion Resources 5.600%, 11/15/16 989 998 Eastman Kodak (J) 7.250%, 11/15/13 2,445 2,450 Electronic Data Systems 7.125%, 10/15/09 2,990 3,135 Enterprise Products Operations, Ser B 5.600%, 10/15/14 1,100 1,095 Norfolk Southern 7.050%, 05/01/37 1,850 2,221 Northwest Airlines, Cl 1A-1 (I) 7.041%, 04/01/22 1,483 1,485 Stauffer Chemical (E) 5.833%, 04/15/18 860 461 5.704%, 04/15/17 350 198 5.202%, 04/15/10 300 252 Tyco International Group 7.000%, 06/15/28 1,875 2,178 6.875%, 01/15/29 (J) 6,490 7,450 6.375%, 10/15/11 7,650 8,075 6.000%, 11/15/13 1,945 2,036 United Technologies 6.500%, 06/01/09 1,670 1,727 5.400%, 05/01/35 670 673 Waste Management 7.375%, 05/15/29 895 1,042 7.125%, 12/15/17 4,840 5,433 7.100%, 08/01/26 1,375 1,538 Xerox 6.400%, 03/15/16 1,266 1,317 ----------- 80,110 ----------- -------------------------------------------------------------------------------- 94 SEI Institutional Investments Trust/Semi-Annual Report/November 30,2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- MATERIALS -- 0.2% Codelco (C) 4.750%, 10/15/14 $ 900 $ 868 International Paper 5.850%, 10/30/12 3,595 3,727 Vale Overseas 8.250%, 01/17/34 (J) 1,430 1,697 6.875%, 11/21/36 5,815 5,952 6.250%, 01/23/17 570 576 Weyerhaeuser (J) 6.750%, 03/15/12 410 433 ----------- 13,253 ----------- SOVEREIGN -- 0.9% Cia Brasileira De Bebida 8.750%, 09/15/13 1,241 1,450 Ontario Province 5.000%, 10/18/11 3,855 3,891 Province of Quebec 7.500%, 09/15/29 1,140 1,493 Quebec Province 5.125%, 11/14/16 3,390 3,426 Republic of Chile 7.125%, 01/11/12 1,115 1,214 Russian Federation Registered (G) 5.000%, 03/31/30 11,705 13,293 State of Israel 5.500%, 11/09/16 2,790 2,813 Taqa Abu Dhabi National 6.500%, 10/27/36 26 28 5.875%, 10/27/16 931 955 United Mexican States 5.625%, 01/15/17 1,770 1,780 United Mexican States MTN 8.300%, 08/15/31 1,940 2,493 United Mexican States MTN, Ser A 7.500%, 04/08/33 9,596 11,381 6.750%, 09/27/34 (J) 1,225 1,338 5.875%, 01/15/14 1,455 1,496 Xstrata Finance Canada (C) (J) 5.500%, 11/16/11 3,790 3,817 ----------- 50,868 ----------- TELECOMMUNICATION SERVICES -- 1.4% AT&T 7.300%, 12/15/06 1,350 1,478 6.800%, 05/15/36 (J) 1,155 1,263 6.150%, 09/15/34 1,510 1,532 5.100%, 09/15/14 6,135 6,019 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- America Movil 6.375%, 03/01/35 $ 1,125 $ 1,111 BellSouth 6.000%, 11/15/34 1,870 1,852 4.750%, 11/15/12 190 185 British Telecommunications PLC 8.875%, 12/15/30 960 1,354 8.375%, 12/15/10 1,310 1,476 Deutsche Telekom International Finance 8.250%, 06/15/30 570 723 5.750%, 03/23/16 (J) 4,495 4,504 Koninklije 8.000%, 10/01/10 5,100 5,557 New Cingular Wireless Services 8.125%, 05/01/12 3,150 3,581 Sprint Capital 8.750%, 03/15/32 1,805 2,260 8.375%, 03/15/12 8,065 9,086 6.875%, 11/15/28 427 445 6.125%, 11/15/08 2,715 2,758 6.000%, 01/15/07 4,700 4,700 Sprint Nextel 6.000%, 12/01/16 5,120 5,120 Telecom Italia Capital 6.000%, 09/30/34 1,390 1,299 5.250%, 11/15/13 580 560 5.250%, 10/01/15 370 350 4.950%, 09/30/14 1,320 1,238 Telefonica Emisiones Sau 6.421%, 06/20/16 2,110 2,205 5.984%, 06/20/11 5,395 5,540 Telefonos de Mexico 5.500%, 01/27/15 100 98 4.750%, 01/27/10 1,140 1,124 Verizon Communications 5.550%, 02/15/16 2,195 2,215 5.350%, 02/15/11 1,790 1,808 Verizon Global Funding 7.375%, 09/01/12 1,730 1,916 6.875%, 06/15/12 465 503 Verizon Wireless Capital 5.375%, 12/15/06 3,035 3,035 ----------- 76,895 ----------- UTILITIES -- 1.4% Allegheny Energy Supply (C) 8.250%, 04/15/12 1,635 1,786 Arizona Public Services 8.000%, 12/30/15 829 921 Baltimore Gas & Electric 6.350%, 10/01/36 10 11 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30,2006 95 SCHEDULE OF INVESTMENTS (Unaudited) Core Fixed Income Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Cleveland Electric Illumination 5.650%, 12/15/13 $ 330 $ 334 Cogentrix Energy (C) 8.750%, 10/15/08 6,200 6,644 Commonwealth Edison, Ser 104 5.950%, 08/15/16 1,066 1,097 DPL 6.875%, 09/01/11 4,165 4,422 Dominion Resources 5.700%, 09/17/12 3,560 3,642 4.750%, 12/15/10 740 729 4.125%, 02/15/08 250 247 Dominion Resources, Ser D 5.125%, 12/15/09 850 850 Duke Energy 6.250%, 01/15/12 460 483 5.625%, 11/30/12 525 540 Empresa Nacional Electric 8.625%, 08/01/15 1,342 1,595 Exelon (J) 5.625%, 06/15/35 4,860 4,735 Exelon Generation 6.950%, 06/15/11 1,115 1,186 FPL Energy American Wind (C) 6.639%, 06/20/23 4,783 4,980 FirstEnergy, Ser B (J) 6.450%, 11/15/11 2,290 2,413 FirstEnergy, Ser C 7.375%, 11/15/31 6,190 7,301 Hydro-Quebec, Ser JL 6.300%, 05/11/11 1,050 1,106 Indiana Michigan Power 6.050%, 03/15/37 1,525 1,548 Oncor Electric Delivery 6.375%, 01/15/15 1,245 1,302 PSE&G Power 7.750%, 04/15/11 1,995 2,175 5.000%, 04/01/14 1,140 1,103 Pacific Gas & Electric 6.050%, 03/01/34 4,135 4,309 Power Contract Financing (C) 6.256%, 02/01/10 589 593 Progress Energy 6.850%, 04/15/12 4,520 4,864 Public Service 7.875%, 10/01/12 2,400 2,722 Southern Capital Trust I 8.190%, 02/01/37 1,160 1,211 Swepco Capital Trust I (F) 5.250%, 10/01/43 4,465 4,437 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- TXU Energy 7.000%, 03/15/13 $ 460 $ 487 TXU, Ser P 5.550%, 11/15/14 370 356 TXU, Ser R (J) 6.550%, 11/15/34 4,705 4,541 ----------- 74,670 ----------- Total Corporate Obligations (Cost $1,709,630) ($ Thousands) 1,742,839 ----------- U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 31.2% FHLMC 9.750%, 10/01/14 8 8 8.500%, 09/01/08 to 04/01/09 34 34 7.500%, 11/01/17 to 06/01/32 1,218 1,266 7.000%, 12/01/06 to 06/01/32 1,506 1,555 6.500%, 10/01/16 to 10/01/36 39,037 39,863 6.000%, 01/01/13 to 12/01/33 9,210 9,349 5.500%, 09/01/13 to 06/01/36 26,821 26,955 5.000%, 04/01/20 to 09/01/35 71,409 70,448 4.992%, 05/01/35 1,344 1,330 4.500%, 02/01/19 to 08/01/35 79,754 77,331 4.000%, 03/01/19 to 10/01/33 8,747 8,255 FHLMC ARM 5.702%, 03/01/36 1,932 1,933 5.601%, 05/01/36 15,248 15,302 5.150%, 01/01/36 8,167 8,107 5.095%, 02/01/36 7,163 7,090 FHLMC TBA 6.000%, 12/15/18 to 01/01/19 40,664 41,345 5.000%, 12/01/35 7,900 7,720 4.000%, 01/15/19 7,295 6,934 FNMA 8.000%, 04/01/08 to 07/01/31 752 789 7.000%, 03/01/09 to 04/01/32 3,891 4,007 6.500%, 05/01/17 to 12/01/34 3,851 3,946 6.000%, 04/01/17 to 07/01/36 24,939 25,229 5.500%, 04/01/14 to 11/01/36 191,798 191,633 5.000%, 06/01/18 to 11/01/34 113,998 112,260 4.653%, 10/01/12 1,145 1,131 4.508%, 04/01/09 1,677 1,658 4.500%, 06/01/18 to 02/01/35 14,725 14,206 4.330%, 11/01/11 1,478 1,435 4.000%, 09/01/18 to 12/01/20 41,519 39,600 -------------------------------------------------------------------------------- 96 SEI Institutional Investments Trust/Semi-Annual Report/November 30,2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- FNMA ARM 6.780%, 12/01/06 $ 3,050 $ 3,144 6.778%, 12/01/06 3,111 3,207 6.774%, 12/01/06 3,184 3,283 6.764%, 12/01/06 3,117 3,213 6.444%, 07/01/36 4,344 4,450 6.288%, 11/01/35 3,241 3,341 5.928%, 09/01/36 8,579 8,692 5.835%, 07/01/46 38 39 5.662%, 06/01/36 2,071 2,087 5.645%, 02/01/36 13,858 13,924 5.504%, 06/01/36 1,488 1,498 5.298%, 04/01/36 2,448 2,446 5.070%, 07/01/35 3,079 3,059 4.868%, 09/01/35 1,505 1,488 FNMA TBA 6.500%, 01/01/32 to 12/13/34 113,018 115,299 6.000%, 01/01/20 to 12/01/34 75,032 75,811 5.500%, 12/01/20 to 12/01/35 128,685 128,540 5.000%, 12/01/18 to 01/01/35 367,857 359,770 4.500%, 11/15/35 3,600 3,424 GNMA 9.500%, 12/15/20 22 24 7.000%, 04/15/26 to 09/15/34 7,819 8,090 6.500%, 06/15/11 to 12/01/36 76,478 78,426 6.000%, 03/15/14 to 02/15/35 71,443 72,686 5.500%, 04/15/14 to 10/20/34 7,965 7,967 5.000%, 05/15/33 to 11/15/35 49,607 48,844 GNMA ARM 3.750%, 12/01/06 5,920 5,811 GNMA TBA 6.500%, 01/01/34 10,400 10,692 6.000%, 12/01/33 to 12/19/36 34,223 34,745 ----------- Total U.S. Government Mortgage-Backed Obligations (Cost $1,714,717) ($ Thousands) 1,724,719 ----------- ASSET-BACKED SECURITIES -- 24.2% AUTOMOTIVE -- 1.2% AmeriCredit Automobile Receivables Trust, Ser 2003-DM, Cl A4 2.840%, 08/06/10 2,782 2,750 AmeriCredit Automobile Receivables Trust, Ser 2004-1, Cl C 4.220%, 07/06/09 50 50 AmeriCredit Automobile Receivables Trust, Ser 2006-AF, Cl A2 5.610%, 12/07/06 135 136 Capital Auto Receivables Asset Trust, Ser 2004-1, Cl A3 2.000%, 11/15/07 154 154 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Capital Auto Receivables Asset Trust, Ser 2004-2, Cl A2 3.350%, 02/15/08 $ 489 $ 487 Capital Auto Receivables Asset Trust, Ser 2006-1, Cl A3 5.030%, 10/15/09 5,478 5,471 Capital One Prime Auto Receivables Trust, Ser 2006-1, Cl A3 4.990%, 09/15/10 2,627 2,627 Capital One Prime Auto Receivables, Ser 2006-1, Cl A4 5.010%, 11/15/11 96 96 Carmax Auto Owner Trust, Ser 2006-2, Cl A3 5.150%, 02/15/11 4,312 4,327 Chase Manhattan Auto Owner Trust, Ser 2004-A, Cl A3 2.080%, 05/15/08 135 135 DaimlerChrysler Auto Trust, Ser 2006-A, Cl A4 5.010%, 01/08/11 29 29 DaimlerChrysler Auto Trust, Ser 2006-D, Cl A4 4.940%, 02/08/12 2,283 2,282 Ford Credit Auto Owner Trust, Ser 2005-A, Cl A3 3.480%, 11/15/08 7,133 7,086 Ford Credit Auto Owner Trust, Ser 2005-B, Cl A3 4.170%, 01/15/09 1,304 1,297 Franklin Auto Trust, Ser 2005-1, Cl A2 4.840%, 09/22/08 294 293 Honda Auto Receivables Owner Trust, Ser 2004-2, Cl A3 3.300%, 06/16/08 2,429 2,415 Honda Auto Receivables Owner Trust, Ser 2006-2, Cl A3 5.300%, 07/21/10 118 119 Household Automotive Trust, Ser 2006-2, Cl A2 5.610%, 06/17/09 207 207 Hyundai Auto Receivables Trust, Ser 2005-A, Cl A4 4.180%, 02/15/12 1,463 1,436 Nissan Auto Lease Trust, Ser 2005-A, Cl A2 4.610%, 01/15/08 375 374 Nissan Auto Lease Trust, Ser 2006-A, Cl A3 5.110%, 03/15/10 3,701 3,710 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30,2006 97 SCHEDULE OF INVESTMENTS (Unaudited) Core Fixed Income Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Nissan Auto Receivables Owner Trust, Ser 2006-A, Cl A3 4.740%, 09/15/09 $ 229 $ 228 Nissan Auto Receivables Owner Trust, Ser 2006-B, Cl A3 5.160%, 02/15/10 1,176 1,177 Nissan Auto Receivables Owner Trust, Ser 2006-C, Cl A2 5.520%, 01/15/09 95 95 Triad Auto Receivables Owner Trust, Ser 2006-B, Cl A4 5.520%, 12/12/06 1,086 1,103 Triad Automobile Receivables Owner Trust, Ser 2003-B, Cl A4 3.200%, 12/13/10 833 820 USAA Auto Owner Trust, Ser 2004-3, Cl A3 3.160%, 02/17/09 838 832 USAA Auto Owner Trust, Ser 2005-1, Cl A3 3.900%, 07/15/09 508 504 USAA Auto Owner Trust, Ser 2005-3, Cl A2 4.520%, 06/16/08 782 781 USAA Auto Owner Trust, Ser 2006-1, Cl A3 5.010%, 09/15/10 1,249 1,249 USAA Auto Owner Trust, Ser 2006-3, Cl A4 5.360%, 06/15/12 1,832 1,859 Volkswagen Auto Lease Trust, Ser 2006-A, Cl A2 5.550%, 11/20/08 2,250 2,258 WFS Financial Owner Trust, Ser 2003-1, Cl A4 2.740%, 09/20/10 274 274 WFS Financial Owner Trust, Ser 2003-3, Cl A4 3.250%, 05/20/11 1,169 1,155 WFS Financial Owner Trust, Ser 2003-4, Cl A4 3.150%, 05/20/11 2,359 2,330 WFS Financial Owner Trust, Ser 2004-1, Cl A4 2.810%, 08/22/11 918 902 WFS Financial Owner Trust, Ser 2005-3, Cl A3A 4.250%, 06/17/10 832 827 Wachovia Auto Loan Owner Trust, Ser 2006-2A, Cl A3 (C) 5.230%, 08/22/11 5,309 5,334 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Wachovia Auto Owner Trust, Ser 2004-A, Cl A4 3.660%, 12/29/06 $ 4,285 $ 4,238 Wachovia Auto Owner Trust, Ser 2005-B, Cl A2 4.820%, 02/20/09 2,806 2,802 Wachovia Auto Owner Trust, Ser 2006-1, Cl A3 (C) 5.100%, 07/20/11 2,303 2,309 ----------- 66,558 ----------- CREDIT CARDS -- 0.5% Capital One Master Trust, Ser 1998-1, Cl A 6.310%, 06/15/11 166 169 Capital One Multi-Asset Execution Trust, Ser 2005-A2, Cl A2 4.050%, 02/15/11 159 157 Chase Issuance Trust, Ser 2004-A9, Cl A9 3.220%, 06/15/10 3,314 3,261 Citibank Credit Card Issuance Trust, Ser 2000-A3, Cl A3 6.875%, 11/16/09 1,399 1,421 Citibank Credit Card Issuance Trust, Ser 2004-A4, Cl A4 3.200%, 08/24/09 8,821 8,694 Citibank Credit Card Issuance Trust, Ser 2006-A2, Cl A2 4.850%, 02/10/11 199 199 Citibank Credit Card Master Trust, Ser 1998-2, Cl A 6.050%, 01/15/10 74 75 Household Credit Card Master Trust, Ser 2006-1, Cl A 5.100%, 06/15/12 2,547 2,564 MBNA Credit Card Master Note Trust, Ser 2004-A4, Cl A4 2.700%, 09/15/09 7,075 7,011 MBNA Master Credit Card Trust, Ser 2000-L, Cl A 6.500%, 04/15/10 2,167 2,197 ----------- 25,748 ----------- MORTGAGE RELATED SECURITIES -- 22.3% ABS Home Equity Loan Trust, Ser 2001-HE3, Cl A1 (F) 5.860%, 12/15/06 504 504 AFC Home Equity Loan Trust, Ser 2000-1, Cl 2A (F) 5.560%, 12/25/06 4,508 4,518 -------------------------------------------------------------------------------- 98 SEI Institutional Investments Trust/Semi-Annual Report/November 30,2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Ace Securities, Ser 2006-SI3, Cl A1 (F) 5.420%, 12/25/06 $ 14,510 $ 14,511 Adjustable Rate Mortgage Trust, Ser 2005-8, Cl 4A11 (F) 5.442%, 12/01/06 13,445 13,353 American Home Mortgage Investment Trust, Ser 2005-4, Cl 1A3 (F) 5.760%, 12/25/06 1,530 1,541 Amortizing Residential Collateral Trust CMO, Ser 2002-BC1, Cl A (F) 5.660%, 12/25/06 829 831 Asset Securitization, Ser 1996-D2, Cl A1 6.920%, 02/14/29 268 269 Banc of America Alternative Loan Trust, Ser 2004-5, Cl 4A1 5.000%, 06/25/19 1,991 1,978 Banc of America Alternative Loan Trust, Ser 2004-6, Cl 4A1 5.000%, 07/25/19 2,312 2,293 Banc of America Alternative Loan Trust, Ser 2006-4, Cl 4CB1 6.500%, 05/25/36 327 332 Banc of America Commercial Mortgage Securities 6.291%, 10/25/36 2,854 2,888 Banc of America Commercial Mortgage Securities, Ser 2002-PB2, Cl A4 6.186%, 06/11/35 80 84 Banc of America Commercial Mortgage Securities, Ser 2002-PB2, Cl B 6.309%, 06/11/35 1,075 1,136 Banc of America Commercial Mortgage Securities, Ser 2003-1, Cl 2A4 5.000%, 02/25/18 4,639 4,567 Banc of America Commercial Mortgage Securities, Ser 2003-1, Cl A1 3.878%, 09/11/36 7,889 7,667 Banc of America Commercial Mortgage Securities, Ser 2003-1, Cl A2 4.648%, 12/01/06 1,262 1,237 Banc of America Commercial Mortgage Securities, Ser 2003-3, Cl A1 5.685%, 12/01/06 67 68 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Banc of America Commercial Mortgage Securities, Ser 2004-1, Cl A3 4.429%, 11/10/39 $ 30 $ 29 Banc of America Commercial Mortgage Securities, Ser 2004-1, Cl A4 4.760%, 11/10/39 1,360 1,333 Banc of America Commercial Mortgage Securities, Ser 2004-6, Cl A3 4.512%, 12/10/42 5,620 5,492 Banc of America Commercial Mortgage Securities, Ser 2005-2, Cl A3 4.611%, 07/10/43 172 170 Banc of America Commercial Mortgage Securities, Ser 2005-3, Cl A4 4.668%, 07/10/43 12,400 12,027 Banc of America Commercial Mortgage Securities, Ser 2005-5, Cl A4 (F) 5.115%, 10/10/45 1,190 1,189 Banc of America Commercial Mortgage Securities, Ser 2006-3, Cl A4 (F) 5.889%, 07/10/44 4,516 4,765 Banc of America Commercial Mortgage Securities, Ser 2006-4, Cl A1 5.363%, 05/10/11 78 79 Banc of America Commercial Mortgage Securities, Ser 2006-6, Cl A1 5.226%, 12/10/16 110 112 Banc of America Commercial Mortgage Securities, Ser 2006-4, Cl A4 5.634%, 07/10/46 15,000 15,555 Banc of America Commercial Mortgage Securities, Ser 2006-6, Cl A2 5.309%, 12/10/16 100 101 Banc of America Commercial Mortgage Securities, Ser 2006-6, Cl AM 5.390%, 12/10/16 5,711 5,805 Banc of America Funding, Ser 2005-B, Cl 2A1 (F) 5.112%, 12/01/06 6,650 6,638 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30,2006 99 SCHEDULE OF INVESTMENTS (Unaudited) Core Fixed Income Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Banc of America Funding, Ser 2006-D, Cl 5A1 (F) 5.864%, 12/01/06 $ 1,650 $ 1,646 Bank of America Alternative Loan Trust, Ser 2006-7, Cl A3 (F) 5.913%, 10/25/36 2,029 2,048 Bank of America Alternative Loan Trust, Ser 2006-8, Cl 3A1 (F) 6.291%, 12/01/06 2,822 2,862 Bear Stearns Commercial Mortgage Securities, Ser 2003-T10, Cl A2 4.740%, 12/01/06 4,560 4,484 Bear Stearns Commercial Mortgage Securities, Ser 2004-ESA, Cl C 4.937%, 05/14/16 5,548 5,546 Bear Stearns Commercial Mortgage Securities, Ser 2004-PWR5, Cl A3 4.565%, 07/11/42 115 113 Bear Stearns Commercial Mortgage Securities, Ser 2004-T16, Cl A3 4.030%, 02/13/46 100 97 Bear Stearns Commercial Mortgage Securities, Ser 2004-WPR6, Cl A6 (J) 4.825%, 11/11/41 5,995 5,882 Bear Stearns Commercial Mortgage Securities, Ser 2005-T18, Cl A4 (F) 4.933%, 12/01/06 2,463 2,434 Bear Stearns Commercial Mortgage Securities, Ser 2006-PW11, Cl A4 (F) 5.458%, 12/01/06 2,907 2,997 Bear Stearns Commercial Mortgage Securities, Ser 2006-PW13, Cl A1 5.294%, 09/11/41 49 50 Bear Stearns Commercial Mortgage Securities, Ser 2006-T22, Cl A1 (F) 5.415%, 12/01/06 335 338 Bear Stearns Commercial Mortgage Securities, Ser 2006-T24, Cl A2 5.478%, 10/12/41 5,532 5,636 Bear Stearns Commercial Mortgage Securities, Ser 2006-T24, Cl A4 5.537%, 10/12/41 1,647 1,697 Bear Stearns, Ser 2006-AC1, Cl 1A1 (G) 5.750%, 12/01/06 3,738 3,732 Bear Sterns Trust, Ser 2006-6, Cl 2A1 (F) 6.000%, 12/01/06 2,392 2,419 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- CIGNA CBO, Ser 1996-1, Cl A2 (C) (G) (H) 6.460%, 11/15/08 $ 4,064 $ 4,067 CS First Boston Mortgage Securities, Ser 8, Cl 1A2 5.250%, 12/01/06 5,415 5,354 Capital One Multi-Asset Execution Trust, Ser 2003-C4, Cl C4 6.000%, 08/15/13 2,751 2,836 Capital One Multi-Asset Execution Trust, Ser 2003-A4, Cl A4 3.650%, 07/15/11 72 70 Chase Funding Mortgage Loan, Ser 2002-1, Cl 2A2 (F) 5.820%, 12/25/06 2,216 2,217 Chase Manhattan Commercial Mortgage Trust, Ser 99-C2, Cl A2 7.546%, 11/17/32 340 358 Chase Mortgage Finance, Ser 2005-A1, Cl 1A1 (F) 5.415%, 12/01/06 2,819 2,799 Chase Mortgage Finance, Ser 2005-A1, Cl 2A3 (F) 5.250%, 12/01/06 13,166 13,102 Citicorp Residential Mortgage Securities, Ser 2006-1, Cl A2 (G) 5.682%, 07/25/36 2,150 2,161 Citigroup Commercial Mortgage Trust, Ser 2005-C3, Cl A2 4.639%, 05/15/43 140 138 Citigroup Commercial Mortgage Trust, Ser 2006-C4, Cl A1 (F) 5.703%, 12/31/49 154 157 Citigroup Commericial Mortgage Trust, Ser 2006-C5, Cl A4 5.431%, 10/15/49 5,933 6,058 Citigroup Mortgage Loan Trust, Ser 2006-AR3, Cl 1A1A 5.952%, 12/01/06 608 612 Citigroup/Deutsche Bank Commercial Mortgage, Ser 2006-CD3, Cl AAB 5.608%, 10/15/48 1,876 1,929 Commercial Mortgage Pass-Through Certificate, Ser 1999-1, Cl E (F) 7.224%, 12/01/06 3,424 3,542 Commercial Mortgage Pass-Through Certificate, Ser 2000-C1, Cl C 7.706%, 08/15/33 637 690 Commercial Mortgage Pass-Through Certificate, Ser 2005-C6, Cl A3 5.144%, 12/10/06 12,600 12,627 -------------------------------------------------------------------------------- 100 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Commercial Mortgage Pass Through Certificate, Ser 2004-LB3A, Cl B (F) 5.281%, 12/01/06 $ 1,335 $ 1,350 Commodore, Ser 2003-2A, Cl A1MM (F) (K) 5.470%, 12/12/38 9,543 9,543 Conseco Finance Home Loan Trust, Ser 2000-E, Cl M1 8.130%, 08/15/31 4,203 4,337 Conseco Finance Securitization, Ser 2000-4, Cl A6 8.310%, 05/01/32 950 802 Contimortgage Home Equity Loan Trust, Ser 1997-2, Cl A9 7.090%, 04/15/28 81 80 Contimortgage Home Equity Loan Trust, Ser 1997-5, Cl A6 6.870%, 03/15/24 232 230 Countrywide Alternative Loan Trust, Ser 2004-27CB, Cl A1 6.000%, 12/25/34 3,818 3,838 Countrywide Alternative Loan Trust, Ser 2004-J1, Cl 1A1 6.000%, 02/25/34 1,020 1,017 Countrywide Alternative Loan Trust, Ser 2004-J6, Cl 2A1 6.500%, 11/25/31 3,831 3,936 Countrywide Alternative Loan Trust, Ser 2005-27, Cl 2A1 (F) 6.014%, 12/01/06 6,549 6,584 Countrywide Alternative Loan Trust, Ser 2005-27, Cl 3A2 (F) 5.760%, 12/01/06 3,317 3,317 Countrywide Alternative Loan Trust, Ser 2005-56, Cl 4A1 (F) 5.630%, 12/25/06 13,978 14,022 Countrywide Alternative Loan Trust, Ser 2005-59, Cl 1A1 (F) 5.660%, 12/20/06 16,328 16,387 Countrywide Alternative Loan Trust, Ser 2005-59, Cl 2X, IO (E) (H) 1.601%, 12/01/06 38,727 1,470 Countrywide Alternative Loan Trust, Ser 2005-72, Cl A1 (F) 5.590%, 12/27/06 6,664 6,669 Countrywide Alternative Loan Trust, Ser 2006-0A11, Cl A4 (F) 5.510%, 12/25/06 15,817 15,789 Countrywide Alternative Loan Trust, Ser 2006-7CB, Cl 1A9 6.000%, 05/25/36 623 630 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Countrywide Alternative Loan Trust, Ser 2006-OA14, Cl 1A2 4.826%, 12/01/06 $ 1,485 $ 1,485 Countrywide Alternative Loan Trust, Ser 2006-OA2, Cl X1P (H) 1.030%, 05/20/46 52,500 2,514 Countrywide Alternative Loan Trust, Ser 2009-32CB, Cl A19 6.000%, 12/01/06 1,836 1,831 Countrywide Asset-Backed Certificates, Ser 2001-BC3, Cl A (F) 5.800%, 12/25/06 117 117 Countrywide Asset-Backed Certificates, Ser 2003-C2, Cl 2A1 (F) 5.620%, 12/25/06 115 115 Countrywide Asset-Backed Certificates, Ser 2005-11, Cl AF1 (F) 5.500%, 12/25/06 5,666 5,667 Countrywide Asset-Backed Certificates, Ser 2005-16, Cl 2AF2 (F) 5.382%, 12/01/06 2,614 2,612 Countrywide Asset-Backed Certificates, Ser 2005-BC4, Cl 2A1 (F) 5.440%, 12/27/06 429 429 Countrywide Asset-Backed Certificates, Ser 2006-15, Cl A2 5.683%, 10/25/36 1,529 1,536 Countrywide Asset-Backed Certificates, Ser 2006-15, Cl A3 5.689%, 10/25/36 208 210 Countrywide Asset-Backed Certificates, Ser 2006-S1, Cl A2 5.549%, 08/25/21 4,132 4,128 Countrywide Home Equity Loan Trust, Ser 2004-K, Cl A2 (F) 5.620%, 12/15/06 2,388 2,392 Countrywide Home Equity Loan Trust, Ser 2005-F, Cl 2A (F) 5.560%, 12/15/06 10,026 10,031 Countrywide Home Equity Loan Trust, Ser 2005-H, Cl 2A (F) 5.560%, 12/15/06 8,753 8,766 Countrywide Home Loans, Ser 2005-R3, Cl AF (F) 5.720%, 12/25/06 13,156 13,225 Credit Suisse First Boston Mortgage Securities, Ser 1998-C2, Cl A2 6.300%, 11/15/30 3,514 3,577 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 101 SCHEDULE OF INVESTMENTS (Unaudited) Core Fixed Income Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Credit Suisse First Boston Mortgage Securities, Ser 2001-MH29, Cl A (G) 5.600%, 09/25/31 $ 1,098 $ 1,083 Credit Suisse First Boston Mortgage Securities, Ser 2002-CKN2, Cl A3 6.133%, 04/15/37 4,789 5,022 Credit Suisse First Boston Mortgage Securities, Ser 2002-CKP1, Cl A3 6.439%, 12/15/35 2,156 2,292 Credit Suisse First Boston Mortgage Securities, Ser 2002-CKS4, Cl A2 5.183%, 11/15/36 20,026 20,141 Credit Suisse First Boston Mortgage Securities, Ser 2002-CP3, Cl A3 5.603%, 07/15/35 2,899 2,978 Credit Suisse First Boston Mortgage Securities, Ser 2003-C4, Cl A4 (F) 5.137%, 08/15/36 1,905 1,912 Credit Suisse First Boston Mortgage Securities, Ser 2003-CK2, Cl A4 4.801%, 03/15/36 119 117 Credit Suisse First Boston Mortgage Securities, Ser 2004-C1, Cl A3 4.321%, 01/15/37 78 76 Credit Suisse First Boston Mortgage Securities, Ser 2004-C2, Cl A1 3.819%, 05/15/36 11,446 11,035 Credit Suisse First Boston Mortgage Securities, Ser 2004-C5, Cl A4 4.829%, 12/15/06 2,157 2,117 Credit Suisse Mortgage Capital, Ser 2006-C3, Cl A1 4.991%, 06/15/38 145 145 Criimi Mae Commercial Mortgage, Ser 1998-C1, Cl A2 (C) 7.000%, 06/02/33 2,110 2,127 DLJ Commercial Mortgage, Ser 1999-CG2, Cl A1B 7.300%, 06/10/32 3,600 3,765 DSLA Mortgage Loan Trust, Ser 2004-AR2, Cl A2B (F) 5.720%, 12/19/06 6,523 6,554 Delta Funding Home Equity Loan, Ser 1999-3, Cl A1A (F) 5.730%, 12/15/06 432 433 Deutsche Mortgage and Asset Receivables, Ser 1998-C1, Cl A2 6.538%, 06/15/31 4,695 4,736 Duke Funding, Ser 2004-6B, Cl A1S1 (C) (F) (K) 5.440%, 10/09/07 15,560 15,560 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- EMC Mortgage Loan Trust, Ser 2002-AA, Cl A1 (C) (F) 5.790%, 12/25/06 $ 1,536 $ 1,544 EQCC Trust, Ser 2002-1, Cl 2A (F) 5.620%, 12/25/06 228 228 Equivantage Home Equity Loan Trust, Ser 1997-2, Cl A3 (G) 7.775%, 12/01/06 501 499 First Horizon Trust, Ser 2006-HE2, Cl A 5.450%, 12/25/06 1,000 1,000 First Horizon, Ser 2004-HE2, Cl A (F) 5.540%, 12/25/06 2,422 2,424 First Union National Bank, Ser 2001-C4, Cl B 6.417%, 12/12/33 926 981 Fleet Home Equity Trust, Ser 2001-1, Cl A (F) 5.530%, 12/01/06 230 230 GE Capital Commercial Mortgage, Ser 2001-3, Cl A1 5.560%, 06/10/38 119 121 GE Capital Commercial Mortgage, Ser 2002-2A, Cl A3 5.349%, 08/11/36 4,264 4,330 GE Capital Commercial Mortgage, Ser 2002-3A, Cl A2 4.996%, 12/10/37 23,360 23,374 GE Capital Commercial Mortgage, Ser 2003-C2, Cl A4 5.145%, 07/10/37 6,394 6,428 GE Capital Commercial Mortgage, Ser 2004-C3, Cl A4 (F) 5.190%, 12/01/06 2,979 2,997 GE Capital Commercial Mortgage, Ser 2005-C4, Cl A3A (F) 5.511%, 12/01/06 14,000 14,249 GE Capital Mortgage Services, Ser 1997-HE3, Cl A6 6.720%, 10/25/27 192 191 GMAC Commercial Mortgage Securities, Ser 2000-C2, Cl A2 7.455%, 08/16/33 3,335 3,560 GMAC Commercial Mortgage Securities, Ser 2002-C3, Cl A2 4.930%, 07/10/39 963 959 GMAC Commercial Mortgage Securities, Ser 2003-C2, Cl B (F) 5.473%, 12/01/06 2,363 2,422 GMAC Commercial Mortgage Securities, Ser 2004-C1, Cl A1 3.118%, 03/10/38 691 674 -------------------------------------------------------------------------------- 102 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- GMAC Commercial Mortgage Securities, Ser 2004-C2, Cl A1 3.896%, 08/10/38 $ 296 $ 290 GMAC Commercial Mortgage Securities, Ser 2003-C3, Cl A4 5.023%, 04/10/40 4,288 4,276 GMAC Mortgage Corporation Loan Trust, Ser 2004-J4, Cl A1 5.500%, 12/01/06 1,132 1,129 GMAC Mortgage Loan Trust, Ser 2004-HE4, Cl A1 (F) 5.604%, 12/25/06 9,349 9,363 GS Mortgage Securities, Ser 1998-1, Cl A (C) 8.000%, 09/19/27 8 9 GS Mortgage Securities, Ser 1998-GLII, Cl A2 6.562%, 04/13/31 6,639 6,730 GS Mortgage Securities, Ser 2005-GG4, Cl AABA 4.680%, 07/10/39 5,800 5,693 GS Mortgage Securities, Ser 2006-C1, Cl B 6.970%, 10/18/30 878 902 GSAMP Trust, Ser 2003-SEA, Cl A1 (F) 5.720%, 12/25/06 3,252 3,270 GSMPS Mortgage, Ser 2006-RP2, Cl 1AF1 (C) (F) 5.726%, 12/25/06 2,902 2,899 Great America Leasing Receivables, Ser 2006-1, Cl A3 (C) 5.340%, 01/15/10 2,517 2,527 Green Tree Financial, Ser 1996-5, Cl A6 7.750%, 07/15/27 1,067 1,119 Greenwich Capital Commercial Funding, Ser 2005-GG5 Cl A2 5.117%, 04/10/37 260 261 Greenwich Capital Commercial Funding, Ser 2006-GG7, Cl A2 (F) 6.010%, 11/10/11 150 156 Harborview Mortgage Loan Trust, Ser 2005-01, Cl X, IO (E) (H) 1.263%, 12/01/06 31,889 703 Harborview Mortgage Loan Trust, Ser 2005-10, Cl X, IO (F) (H) 1.117%, 12/01/06 38,700 1,028 Harborview Mortgage Loan Trust, Ser 2005-12, Cl X2B, IO (F) (H) 0.849%, 12/01/06 35,684 998 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Heller Financial Commercial Mortgage, Ser 1999-PH1, Cl C (F) 7.054%, 12/15/06 $ 239 $ 248 IMPAC CMB Trust, Ser 2003-12, Cl A1 (G) 6.080%, 12/25/06 1,684 1,685 Indymac Index Mortgage Loan Trust, Ser 2004-AR12, Cl AX2, IO (E) (H) 0.930%, 12/01/06 31,533 719 JPMorgan Chase Commercial Mortgage Securities, Ser 2006-CB17, Cl A4 5.524%, 12/01/06 5,108 5,190 JPMorgan Chase Commercial Mortgage, Ser 2002-C2, Cl A2 5.050%, 12/12/34 5,996 5,992 JPMorgan Chase Commercial Mortgage, Ser 2002-CIB5, Cl A2 5.161%, 10/12/37 1,137 1,144 JPMorgan Chase Commercial Mortgage, Ser 2003-CB7, Cl A4 (F) 4.879%, 12/12/06 4,037 3,991 JPMorgan Chase Commercial Mortgage, Ser 2003-ML1A, Cl A2 4.767%, 03/12/39 5,138 5,056 JPMorgan Chase Commercial Mortgage, Ser 2004-C3, Cl A1 4.200%, 07/12/35 87 85 JPMorgan Chase Commercial Mortgage, Ser 2004-C3, Cl A2 4.223%, 01/15/42 12,948 12,683 JPMorgan Chase Commercial Mortgage, Ser 2004-C3, Cl A4 4.657%, 01/15/42 4,000 3,905 JPMorgan Chase Commercial Mortgage, Ser 2005-CB11, Cl A4 5.335%, 12/11/06 6,616 6,706 JPMorgan Chase Commercial Mortgage, Ser 2005-CB12, Cl A4 4.895%, 09/12/37 530 522 JPMorgan Chase Commercial Mortgage, Ser 2005-LDP4, Cl A4 (F) 4.918%, 12/01/06 6,200 6,108 JPMorgan Chase Commercial Mortgage, Ser 2006-CB16, Cl A1 5.338%, 05/12/45 39 40 JPMorgan Chase Commercial Mortgage, Ser 2006-LDP7, Cl A1 (F) 5.834%, 12/01/06 76 77 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 103 SCHEDULE OF INVESTMENTS (Unaudited) Core Fixed Income Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- JPMorgan Chase Commercial Mortgage, Ser 2006-LDP7, Cl A2 (F) 5.862%, 12/01/06 $ 160 $ 166 JPMorgan Chase Commercial Mortgage, Ser 2006-LDP8, Cl A2 5.289%, 05/15/45 90 91 JPMorgan Mortgage Trust, Ser 2004-A5, Cl 4A2 (F) 4.850%, 12/25/34 7,421 7,337 JPMorgan Mortgage Trust, Ser 2004-A5, Cl 4A4 (F) 4.849%, 12/01/06 11,500 11,423 JPMorgan Mortgage Trust, Ser 2005-A3, Cl 11A2 (F) 4.511%, 12/25/06 13,065 12,515 JPMorgan Mortgage Trust, Ser 2005-A8, Cl 1A1 (F) 5.410%, 12/01/06 4,037 4,009 JPMorgan Mortgage Trust, Ser 2006-A2, Cl 2A2 (F) 5.773%, 12/01/06 13,400 13,655 JPMorgan Mortgage Trust, Ser 2006-A3, Cl 3A4 (F) 5.768%, 12/01/06 14,500 14,779 LB Commercial Conduit Mortgage Trust, Ser 1999-C2, Cl A1 7.105%, 10/15/32 141 141 LB Commercial Conduit Mortgage Trust, Ser 1999-C2, Cl B 7.425%, 10/15/32 371 394 LB-UBS Commercial Mortgage Trust, Ser 2000-C5, Cl A2 5.594%, 06/15/31 16,225 16,665 LB-UBS Commercial Mortgage Trust, Ser 2003-C7, Cl A4 (F) 4.931%, 09/15/35 3,337 3,315 LB-UBS Commercial Mortgage Trust, Ser 2003-C8, Cl A4 5.124%, 11/15/32 16,549 16,625 LB-UBS Commercial Mortgage Trust, Ser 2004-C4, Cl A2 4.567%, 12/11/06 510 505 LB-UBS Commercial Mortgage Trust, Ser 2004-C8, Cl A4 4.510%, 12/11/06 360 352 LB-UBS Commercial Mortgage Trust, Ser 2005-C2, Cl A4 4.998%, 04/15/30 123 123 LB-UBS Commercial Mortgage Trust, Ser 2005-C5, Cl A2 4.885%, 09/15/40 180 180 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- LB-UBS Commercial Mortgage Trust, Ser 2006-C4, Cl A1 5.741%, 06/15/32 $ 146 $ 149 LB-UBS Commercial Mortgage Trust, Ser 2006-C7, Cl D (F) 5.496%, 11/15/38 593 602 LB-UBS Commercial Mortgage Trust, Ser 2009-C7, Cl A3 5.347%, 11/15/38 6,844 6,953 Lehman XS Trust, Ser 2005-5N, Cl 1A1 (F) 5.620%, 12/01/06 11,240 11,275 Lehman XS Trust, Ser 2005-7N, Cl 1A1B (F) 5.620%, 12/25/06 7,453 7,485 Long Beach Mortgage Loan Trust, Ser 2006-4, Cl 2A1 (F) 5.370%, 12/25/06 11,842 11,842 MLCC Mortgage Investors, Ser 2004-B, Cl A3 (F) 6.537%, 12/01/06 1,702 1,736 Master Adjustable Rate Mortgages Trust, Ser 2004-13, Cl 3A7A (F) 3.787%, 12/01/06 11,650 11,356 Master Alternative Loans Trust, Ser 2004-4, Cl 1A1 5.500%, 05/25/34 3,454 3,439 Master Asset-Backed Securities Trust, Ser 2004-OPT2, Cl A2 (F) 5.670%, 12/26/06 134 134 Master Asset-Backed Securities Trust, Ser 2005-AB1, Cl A1B (G) 5.143%, 12/01/06 1,285 1,278 Master Reperforming Loan Trust, Ser 2005-1, Cl 1A1 (C) 6.000%, 08/25/34 5,836 5,868 Master Reperforming Loan Trust, Ser 2006-1, Cl 1A1F (F) 5.680%, 12/25/06 2,543 2,534 Master Seasoned Securities Trust, Ser 2005-2, Cl 2A1 (F) 5.720%, 12/25/06 1,429 1,431 Merrill Lynch Mortgage Investors, Ser 2004-A1, Cl 4A (F) 5.347%, 12/01/06 8,641 8,623 Merrill Lynch Mortgage Investors, Ser 2005-SD1, Cl A1 (F) 5.500%, 12/25/06 443 443 Merrill Lynch Mortgage Investors, Ser 2006-WMC2, Cl A2B (G) 5.464%, 12/01/06 699 699 -------------------------------------------------------------------------------- 104 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Merrill Lynch Mortgage Investors, Ser 2006-WMC2, Cl A2D (G) 5.895%, 12/25/06 $ 5,789 $ 5,903 Merrill Lynch Mortgage Trust, Ser 2002-MW1, Cl A4 5.619%, 07/12/34 5,203 5,344 Merrill Lynch Mortgage Trust, Ser 2004-KEY2, Cl A4 (F) 4.864%, 08/12/39 3,479 3,420 Merrill Lynch Mortgage Trust, Ser 2004-MKB1, Cl A3 (F) 4.892%, 02/12/42 151 150 Merrill Lynch Mortgage Trust, Ser 2005-MCP1, Cl A4 (F) 4.747%, 06/12/43 4,080 3,977 Merrill Lynch, Ser 2006-3, Cl A1 (F) 4.711%, 07/12/46 79 78 Merrill Lynch Countrywide Commercial Mortgage Trust, Ser 2006-1, Cl A2 (F) 5.440%, 12/01/06 150 152 Metropolitan Asset Funding, Ser 1997-B, Cl A1D (C) 7.130%, 03/20/12 237 236 Mid-State Trust, Ser 11, Cl A1 4.864%, 07/15/38 3,540 3,437 Morgan Stanley Capital I, Ser 2003-IQ6, Cl A 4.970%, 12/01/06 2,273 2,255 Morgan Stanley Capital I, Ser 2003-T11, Cl A4 5.150%, 06/13/41 4,594 4,618 Morgan Stanley Capital I, Ser 2004-HQ4, Cl A2 3.920%, 04/14/40 957 942 Morgan Stanley Capital I, Ser 2005-HQ5, Cl A3 5.007%, 01/14/42 110 110 Morgan Stanley Capital I, Ser 2005-HQ5, Cl AAB 5.037%, 01/14/42 1,346 1,345 Morgan Stanley Capital I, Ser 2005-HQ6, Cl A4A 4.989%, 08/13/42 4,630 4,589 Morgan Stanley Capital I, Ser 2006-HQ8, Cl A1 5.124%, 03/12/44 771 773 Morgan Stanley Capital I, Ser 2006-HQ9, Cl A1 5.490%, 07/20/44 215 218 Morgan Stanley Capital I, Ser 2006-HQ10, Cl A1 5.131%, 12/01/06 340 341 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Morgan Stanley Capital I, Ser 2006-HQ10, Cl A2 5.283%, 11/12/41 $ 2,822 $ 2,850 Morgan Stanley Capital I, Ser 2006-T23, Cl A2 (F) 5.914%, 12/01/06 200 206 Morgan Stanley Capital, Ser 2003-IQ5 Cl A4 5.010%, 12/01/06 3,770 3,758 Morgan Stanley Dean Witter Capital, Ser 2000-LIF2, Cl A2 7.200%, 10/15/33 5,075 5,375 Morgan Stanley Dean Witter Capital, Ser 2000-LIFE, Cl A2 7.570%, 11/15/36 3,309 3,507 Morgan Stanley Dean Witter Capital, Ser 2002-IQ3, Cl A4 5.080%, 12/01/06 6,633 6,644 Morgan Stanley Dean Witter Capital, Ser 2003-HQ2, Cl A1 4.180%, 03/12/35 303 295 Nationslink Funding, Ser 1999-1, Cl 2 6.316%, 01/20/31 6,095 6,196 New Century Home Equity Loan Trust, Ser 2005-B, Cl A2A (F) 5.440%, 12/25/06 4,120 4,120 Newcastle CDO, Ser 2005-6A, Cl IM1 (F) (K) 5.340%, 04/24/07 4,149 4,149 Nomura Asset Securities, Ser 1998-D6, Cl A1C 6.690%, 03/15/30 166 178 Northstar Education Finance, Ser 2005-1, Cl A5 4.740%, 10/30/45 2,388 2,368 Novastar Home Equity Loan, Ser 1998-2, Cl A2 (F) 5.555%, 12/25/06 277 277 Oakwood Mortgage Investors, Ser 2002-C, Cl A, IO (H) 6.000%, 08/15/10 7,334 1,093 Oncor Electric Delivery Transition Bond, Ser 2003-1, Cl A2 4.030%, 02/15/12 3,130 3,083 Option One Mortgage Loan Trust, Ser 2001-4, Cl A (F) 5.920%, 12/25/06 595 595 Origen Manufactured Housing, Ser 2002-A, Cl A1 (F) 5.560%, 12/15/06 83 83 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 105 SCHEDULE OF INVESTMENTS (Unaudited) Core Fixed Income Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Ownit Mortgage Loan Asset-Backed Securities Trust, Ser 2006-1, Cl AF1 (G) 5.424%, 12/25/36 $ 1,149 $ 1,143 Park Place Securities NIM Trust, Ser 2004-MM1, Cl MM1 (F) (K) 5.350%, 02/26/07 6,164 6,164 Public Service New Hampshire Funding, Ser 2001-1, Cl A3 6.480%, 05/01/15 1,866 1,989 RAAC, Ser, 2005-SP1, Cl 2A2 5.250%, 12/01/06 808 800 Renaissance Home Equity Loan Trust, Ser 2005-3, Cl AF2 (G) 4.723%, 12/01/06 1,000 993 Renaissance Home Equity Loan Trust, Ser 2006-1, Cl AF3 (G) 5.608%, 12/01/06 998 999 Residential Asset Securitization Trust, Ser 2006-A10, Cl A5 6.500%, 12/01/06 1,267 1,292 Residential Accredit Loans, Ser QO8, Cl 1A1A (F) 5.410%, 12/25/06 21,171 21,171 Residential Asset Mortgage Products, Ser 2003-RS3, Cl AII (F) 5.680%, 12/25/06 235 235 Residential Asset Mortgage Products, Ser 2004-SL1, Cl A8 6.500%, 11/25/31 2,760 2,782 Residential Asset Mortgage Products, Ser 2004-SL3, Cl A2 6.500%, 12/25/31 4,581 4,638 Residential Asset Securities, Ser 2002-KS7, Cl A2 (F) 5.690%, 12/25/06 1,500 1,500 Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1 (F) 5.242%, 12/01/06 4,595 4,609 Residential Funding Mortgage Securities, Ser 2000-HI1, Cl AI7 (G) 8.290%, 02/25/25 2,944 2,966 Residential Funding Mortgage Securities, Ser 2005-HS1, Cl AI1 (F) 5.440%, 12/25/06 8,421 8,396 Saturn Ventures II (F) (K) 5.380%, 02/07/07 16,706 16,706 Securitized Asset-Backed Receivables LLC, Ser 2005-FR4, Cl A3 (F) 5.520%, 12/25/06 3,536 3,538 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Start, Ser 2003-1, Cl X (F) 4.130%, 01/21/07 $ 4,554 $ 4,531 Start, Ser 2003-2, Cl X (F) 4.600%, 01/21/07 1,981 1,981 Structured Adjustable Rate Mortgage Loan, Ser 2005-19XS, Cl 1A1 (F) 5.640%, 12/26/06 14,150 14,208 TIAA Real Estate CDO, Ser 2003 1A, Cl A1MM (F) (K) 5.350%, 09/28/07 15,428 15,428 TMS SBA Loan Trust, Ser 1999-1, Cl A (F) 6.050%, 12/15/06 221 220 Terwin Mortgage Trust, Ser 2005-9HGS, Cl A1 (C) (F) 4.000%, 12/01/06 4,619 4,566 Thornburg Mortgage Securities Trust, Ser 2005-3, Cl 2A1 (F) 5.570%, 12/25/06 15,222 15,220 Thornburg Mortgage Securities Trust, Ser 2005-4, Cl A4 (F) 5.520%, 12/25/06 19,410 19,393 Thornburg Mortgage Securities Trust, Ser 2006-1, Cl A3 (F) 5.490%, 12/01/06 25,712 25,673 Triad Auto Receivables Owner Trust, Ser 2006-C, Cl A3 5.260%, 11/14/11 1,931 1,941 Vendee Mortgage Trust, Ser 1994-1, Cl 2ZB 6.500%, 12/01/06 6,485 6,747 WMALT Mortgage Pass Through, Ser 2006-AR4, Cl DA (F) 5.402%, 12/01/06 5,591 5,602 WMALT Mortgage Pass-Through Certificates, Ser 2006-7, Cl A3 (G) 6.081%, 12/01/06 987 999 WMALT Mortgage Pass-Through Certificates, Ser 2006-8, Cl A3A (G) 5.764%, 10/25/36 915 915 WMALT Mortgage Pass-Through Certificates, Ser 2006-AR7, Cl A1A 5.352%, 12/01/06 2,978 2,982 WMALT Mortgage Pass-Through Certificates, Ser 2006-AR7, Cl A1B 5.352%, 12/01/06 1,687 1,687 Wachovia Bank Commercial Mortgage Trust, Ser 2002-C1A, Cl A4 6.287%, 04/15/34 2,587 2,735 -------------------------------------------------------------------------------- 106 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Wachovia Bank Commercial Mortgage Trust, Ser 2002-C2, Cl A4 4.980%, 11/15/34 $ 2,061 $ 2,055 Wachovia Bank Commercial Mortgage Trust, Ser 2003-C6, Cl A3 4.957%, 08/15/35 4,490 4,476 Wachovia Bank Commercial Mortgage Trust, Ser 2003-C6, Cl A4 5.125%, 08/15/35 3,233 3,242 Wachovia Bank Commercial Mortgage Trust, Ser 2003-C8, Cl A3 4.445%, 11/15/35 949 931 Wachovia Bank Commercial Mortgage Trust, Ser 2003-C9, Cl A4 5.012%, 12/15/35 993 988 Wachovia Bank Commercial Mortgage Trust, Ser 2003-C9, Cl B 5.109%, 12/01/06 593 593 Wachovia Bank Commercial Mortgage Trust, Ser 2004-C10, Cl A4 4.748%, 02/15/41 4,260 4,170 Wachovia Bank Commercial Mortgage Trust, Ser 2004-C11, Cl B 5.306%, 12/01/06 1,483 1,493 Wachovia Bank Commercial Mortgage Trust, Ser 2004-C15, Cl A4 4.803%, 10/15/41 2,844 2,784 Wachovia Bank Commercial Mortgage Trust, Ser 2005 C-22, Cl A4 (F) 5.441%, 12/01/06 2,775 2,814 Wachovia Bank Commercial Mortgage Trust, Ser 2005-C20, Cl A4 (F) 5.285%, 12/01/06 280 282 Wachovia Bank Commercial Mortgage Trust, Ser 2006-C26, Cl A1 5.726%, 06/15/45 143 145 Wachovia Bank Commercial Mortgage Trust, Ser 2006-C26, Cl A2 5.935%, 06/15/45 150 155 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Wachovia Bank Commericial Mortgage Trust, Ser 2006-C28, Cl A4 (F) 5.572%, 10/15/48 $ 2,693 $ 2,777 Washington Mutual Mortgage, Ser 2003-MS1, Cl 1A 5.000%, 02/25/18 1,627 1,599 Washington Mutual Mortgage, Ser 2003-MS2, Cl 3A1 5.000%, 03/25/18 5,680 5,588 Washington Mutual, Ser 2002-AR18, Cl A (F) 4.124%, 12/01/06 2,753 2,729 Washington Mutual, Ser 2005-AR13, Cl A1A1 (F) 5.620%, 12/25/06 9,533 9,582 Washington Mutual, Ser 2005-AR15, Cl A1A2 (F) 5.610%, 12/25/06 13,852 13,906 Washington Mutual, Ser 2005-AR16, Cl 1A4A (F) 5.121%, 12/25/06 13,585 13,572 Washington Mutual, Ser 2005-AR19, Cl A1A2 (F) 5.620%, 12/25/06 15,090 15,138 Washington Mutual, Ser 2006-1, Cl 3A2 5.750%, 02/25/36 6,745 6,811 Washington Mutual, Ser 2006-AR1, Cl 1A1B (F) 5.633%, 12/01/06 5,825 5,828 Washington Mutual, Ser 2006-AR14, Cl 1A4 (F) 5.668%, 12/01/06 884 886 Washington Mutual, Ser 2006-AR15, Cl 1A 5.504%, 12/01/06 1,651 1,651 Washington Mutual, Ser 2006-AR15, Cl 1A1B 5.504%, 12/01/06 2,913 2,912 Washington Mutual, Ser 2006-AR15, Cl 2A1B 5.777%, 12/01/06 2,952 2,959 Washington Mutual, Ser 2006-AR16, Cl 2A4 (F) 5.668%, 12/25/36 673 671 Washington Mutual, Ser 2006-AR17, Cl 1A1B (F) 5.568%, 12/01/06 1,000 999 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR18, Cl 1A1 (F) 6.000%, 12/01/06 2,216 2,224 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 107 SCHEDULE OF INVESTMENTS (Unaudited) Core Fixed Income Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Wells Fargo Mortgage-Backed Securities, Ser 2005-AR10, Cl 2A14 (F) 4.109%, 12/01/06 $ 1,500 $ 1,471 Wells Fargo Mortgage-Backed Securities, Ser 2006-7, Cl 3A1 6.000%, 12/01/06 872 877 Wells Fargo Mortgage Backed Securities, Ser 2006-AR19, Cl A1 (F) 5.690%, 12/01/06 4,559 4,511 Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-S, Cl A7 (F) 3.540%, 12/01/06 280 274 Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-14, Cl 2A1 5.500%, 12/01/06 1,337 1,317 Wells Fargo Mortgage-Backed Securities, Ser 2005-AR16, Cl 7A1 5.256%, 12/01/06 4,144 4,075 Wells Fargo, Ser 2004-H, Cl A-1 (F) 4.527%, 12/01/06 6,558 6,429 Wells Fargo, Ser 2005-AR14, Cl A1 (F) 5.388%, 12/01/06 1,522 1,500 Zuni Mortgage Loan Trust, Ser 2006-0A1, Cl A1 (F) 5.460%, 12/25/06 16,018 15,994 ---------- 1,218,158 ---------- OTHER ASSET-BACKED SECURITIES -- 0.2% Caterpillar Financial Asset Trust, Ser 2006-A, Cl A2 5.590%, 02/25/09 88 88 Credit-Based Asset Servicing, Ser 2006-CB2, Cl AF2 (G) 5.501%, 12/25/36 1,999 1,999 Embarcadero Aircraft, Ser 2000-A, Cl A1 (C) (F) 5.800%, 12/15/06 4,465 3,751 Equity One Asset-Backed Securities, Ser 2003-2, Cl M1 5.050%, 09/25/33 1,050 1,037 MSDWCC Heloc Trust, Ser 2005-1, Cl A (F) 5.510%, 12/25/06 960 961 ---------- 7,836 ---------- Total Asset-Backed Securities (Cost $1,315,788) ($ Thousands) 1,318,300 ----------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS -- 19.3% Canada T-Bill (A) 5.244%, 12/15/06 $ 2,270 $ 2,265 U.S. Treasury Bill (A) (B) 5.018%, 01/18/07 706 701 U.S. Treasury Bonds 8.875%, 02/15/19 (J) 7,358 10,287 8.125%, 08/15/19 (J) 6,344 8,483 7.500%, 11/15/16 (J) 7,437 9,213 7.125%, 02/15/23 (J) 4,442 5,676 6.250%, 08/15/23 to 05/15/30 (J) 51,718 61,823 6.000%, 02/15/26 (J) 4,500 5,252 5.375%, 02/15/31 (J) 8,635 9,573 4.500%, 02/15/36 (J) 81,068 80,264 3.875%, 04/15/29 (D) 1,903 2,506 3.625%, 04/15/28 (D) (J) 29,138 36,774 2.375%, 01/15/25 (D) (J) 17,156 17,740 2.000%, 01/15/16 (D) 2,439 2,406 2.000%, 01/15/26 (D) (J) 624 611 U.S. Treasury Notes 5.125%, 06/30/08 455 458 5.125%, 05/15/16 (J) 9,752 10,241 5.000%, 07/31/08 110 111 4.875%, 10/31/08 (D) (J) 12,506 12,561 4.875%, 05/31/08 to 08/15/16 (J) 324,531 330,400 4.625%, 11/15/16 (D) (J) 41,068 41,607 4.625%, 11/15/09 (D) 4,000 4,013 4.625%, 10/31/11 (J) 14,572 14,682 4.500%, 09/30/11 (D) (J) 5,000 5,010 4.500%, 02/15/09 to 11/15/15 (J) 14,540 14,551 4.375%, 11/15/08 to 12/15/10 (J) 32,670 32,559 4.250%, 08/15/13 to 08/15/15 (J) 64,106 63,252 4.000%, 06/15/09 to 04/15/10 (J) 27,180 26,845 3.875%, 09/15/10 370 363 3.375%, 01/15/12 (D) 263 278 3.750%, 05/15/08 (J) 9,730 9,602 3.500%, 12/15/09 to 02/15/10 (J) 37,140 36,091 3.375%, 02/15/08 to 10/15/09 (J) 79,139 77,224 2.375%, 04/15/11 (D) (J) 30,646 30,815 2.000%, 07/15/14 (D) (J) 9,376 9,261 1.875%, 07/15/15 (D) (J) 33,910 33,155 U.S. Treasury STRIPS (A) 5.740%, 11/15/21 23,570 11,697 4.840%, 02/15/36 9,462 2,572 4.691%, 05/15/16 3,425 2,240 4.316%, 08/15/09 9,974 8,836 United States Treasury TIPS (A) (J) 2.500%, 07/15/16 21,254 21,894 ---------- Total U.S. Treasury Obligations (Cost $1,031,420) ($ Thousands) 1,053,892 ---------- -------------------------------------------------------------------------------- 108 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 10.1% FFCB (J) 5.375%, 07/18/11 $ 2,305 $ 2,366 FHLB 5.625%, 06/13/16 2,535 2,656 5.375%, 08/19/11 1,270 1,305 5.100%, 03/06/08 (J) 2,275 2,280 4.875%, 11/18/11 (J) 6,900 6,946 4.375%, 09/17/10 3,000 2,966 3.625%, 11/14/08 (J) 100 98 FHLB CMO, Ser 2015, Cl A 5.460%, 11/27/15 25,150 25,150 FHLMC 6.875%, 09/15/10 (J) 6,520 7,004 5.750%, 06/27/16 2,514 2,661 5.625%, 03/15/11 to 11/23/35 (J) 11,570 11,750 5.500%, 06/12/08 10,840 10,840 5.150%, 01/24/11 (J) 7,236 7,226 5.125%, 04/18/08 (J) 2,411 2,420 4.875%, 02/17/09 (J) 5,251 5,265 4.750%, 11/03/09 (J) 5,000 5,005 4.000%, 08/17/07 (J) 2,330 2,312 FHLMC CMO, Ser 1, Cl Z 9.300%, 04/15/19 43 45 FHLMC CMO, Ser 1081, Cl K 7.000%, 05/15/21 745 744 FHLMC CMO, Ser 1101, Cl M 6.950%, 07/15/21 405 405 FHLMC CMO, Ser 1611, Cl Z 6.500%, 11/15/23 9,647 10,067 FHLMC CMO, Ser 1983, Cl Z 6.500%, 12/15/23 1,399 1,451 FHLMC CMO, Ser 2043, Cl CJ 6.500%, 04/15/28 3,333 3,415 FHLMC CMO, Ser 2389, Cl CD 6.000%, 03/15/16 3,397 3,418 FHLMC CMO, Ser 2542, Cl ES 5.000%, 12/15/17 3,680 3,634 FHLMC CMO, Ser 2544, Cl IW, IO 5.500%, 03/15/26 2,231 94 FHLMC CMO, Ser 2579, Cl DA 4.000%, 12/01/06 6,606 6,266 FHLMC CMO, Ser 2579, Cl PI, IO 5.500%, 03/15/27 840 22 FHLMC CMO, Ser 2631, Cl MT 3.500%, 01/15/22 5,009 4,947 FHLMC CMO, Ser 2645, Cl MK 3.500%, 07/15/22 2,358 2,322 FHLMC CMO, Ser 2733, Cl ME 5.000%, 01/15/34 6,302 6,044 FHLMC CMO, Ser 2736, Cl DB 3.300%, 11/15/26 8,213 7,962 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- FHLMC CMO, Ser 2809, Cl HX, IO 6.000%, 10/15/24 $ 2,795 $ 117 FHLMC CMO, Ser 2890, Cl AP 3.750%, 12/15/11 4,176 4,079 FHLMC CMO, Ser 2945, Cl SA (F) 2.718%, 12/15/06 7,247 6,941 FHLMC CMO, Ser 2975, Cl EA 5.000%, 12/01/06 2,089 2,081 FHLMC CMO, Ser 3000, Cl PA 3.900%, 01/15/23 4,177 4,073 FHLMC CMO, Ser 3014, Cl NA 4.500%, 11/15/25 8,454 8,374 FHLMC CMO, Ser 3017, Cl TA 4.500%, 08/15/35 3,837 3,752 FHLMC CMO, Ser 3019, Cl VM 5.000%, 08/15/16 2,191 2,177 FHLMC CMO, Ser 3020, Cl MA 5.500%, 04/15/27 5,764 5,806 FHLMC CMO, Ser 3026, Cl GJ 4.500%, 02/15/29 3,044 3,004 FHLMC CMO, Ser 3035, Cl DM 5.500%, 11/15/25 2,845 2,861 FHLMC CMO, Ser 3086, Cl PA 5.500%, 05/15/26 5,891 5,928 FHLMC CMO, Ser 3135, Cl JA 6.000%, 09/15/27 5,966 6,050 FHLMC CMO, Ser 3151, Cl LA 6.000%, 11/15/27 6,227 6,308 FHLMC CMO, Ser 3164, Cl NA 6.000%, 12/01/06 13,239 13,419 FHLMC CMO, Ser 3176, Cl HA 6.000%, 02/15/28 6,386 6,477 FHLMC CMO, Ser 3178, Cl MA 6.000%, 10/15/26 22,370 22,665 FHLMC CMO, Ser 3184, Cl LA 6.000%, 03/15/28 9,671 9,808 FHLMC CMO, Ser 3192, Cl GA 6.000%, 03/15/27 5,236 5,303 FHLMC CMO, Ser 3203, Cl VA 5.000%, 12/01/06 2,735 2,714 FHLMC MTN 5.750%, 05/11/11 450 451 FHLMC, Ser 1663, Cl ZB 6.750%, 12/01/06 1,706 1,758 FHLMC, Ser 2623, Cl AJ 4.500%, 12/01/06 2,531 2,471 FHLMC, Ser 2825, Cl QN 5.500%, 09/15/32 10,896 10,896 FHLMC, Ser 2841, Cl BD 4.000%, 12/01/06 186 180 FHLMC, Ser 3159, Cl PA 6.000%, 12/01/06 8,339 8,447 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 109 SCHEDULE OF INVESTMENTS (Unaudited) Core Fixed Income Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- FHLMC, Ser 3172, Cl PA 6.000%, 12/01/06 $ 7,678 $ 7,775 FHLMC, Ser 3174, Cl CA 5.500%, 12/01/06 3,736 3,758 FHLMC, Ser 3174, Cl PX 5.000%, 12/01/06 2,480 2,463 FHLMC, Ser 3192, Cl GB 6.000%, 12/01/06 8,756 8,902 FHLMC, Ser 3203, Cl VC 5.000%, 12/01/06 4,213 4,174 FHLMC, Ser 3215, Cl QA 6.000%, 06/15/27 4,889 4,962 FHLMC, Ser 3221, Cl VA 5.000%, 12/01/06 3,115 3,092 FNMA 7.250%, 01/15/10 (J) 11,270 12,080 7.125%, 06/15/10 (J) 7,100 7,650 6.000%, 05/15/11 (J) 6,900 7,252 5.600%, 03/29/11 3,792 3,793 5.250%, 08/01/12 to 09/15/16 9,626 9,841 5.197%, 06/25/07 (E) 4,220 4,099 5.125%, 04/15/11 3,000 3,048 5.000%, 10/15/11 3,168 3,207 FNMA CMO, Ser 1999-11, Cl Z 5.500%, 03/25/29 4,640 4,618 FNMA CMO, Ser 2001-60, Cl JZ 6.000%, 03/25/31 317 316 FNMA CMO, Ser 2002-94, Cl BJ, IO 5.500%, 04/25/16 575 36 FNMA CMO, Ser 2002-T11, Cl A 4.768%, 04/25/12 368 367 FNMA CMO, Ser 2003-113, Cl PN 3.500%, 02/25/13 1,528 1,500 FNMA CMO, Ser 2003-76, Cl DE 4.000%, 09/25/31 11,436 10,881 FNMA CMO, Ser 2003-84, Cl GD 4.500%, 12/01/06 3,146 3,068 FNMA CMO, Ser 2003-T1, Cl A 3.807%, 11/25/12 1,132 1,096 FNMA CMO, Ser 2004-88, Cl HA 6.500%, 07/25/34 2,537 2,607 FNMA CMO, Ser 2005-38, Cl CD 5.000%, 06/25/19 2,919 2,902 FNMA CMO, Ser 2005-57, Cl EG (F) 5.620%, 12/25/06 3,937 3,941 FNMA CMO, Ser 2005-63, Cl HA 5.000%, 04/25/23 4,354 4,316 FNMA CMO, Ser 2005-69, Cl JM 4.500%, 08/25/25 4,654 4,375 FNMA CMO, Ser 2005-77, Cl BX 4.500%, 07/25/28 485 480 FNMA CMO, Ser 2005-92, Cl NM 3.500%, 04/25/13 1,616 1,588 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- FNMA CMO, Ser 2006-18, Cl PA 5.500%, 01/25/26 $ 3,551 $ 3,572 FNMA CMO, Ser 2006-29, Cl PA 5.500%, 08/25/26 9,494 9,545 FNMA CMO, Ser 2006-31, Cl PA 5.500%, 11/25/26 3,497 3,518 FNMA CMO, Ser 2006-41, Cl MA 5.500%, 04/25/24 3,579 3,595 FNMA CMO, Ser 2006-55, Cl PA 6.000%, 05/25/26 5,529 5,585 FNMA CMO, Ser 2006-80, Cl PD 6.000%, 12/01/06 2,450 2,498 FNMA CMO, Ser 34, Cl QJ 4.500%, 01/25/16 6,496 6,405 FNMA CMO, Ser 45, Cl BA 4.500%, 11/25/14 239 237 FNMA, Ser 2003-15, Cl CH 4.000%, 12/01/06 1,907 1,856 FNMA, Ser 2003-16, Cl PN 4.500%, 12/01/06 2,196 2,163 FNMA, Ser 2003-33, Cl CH 4.000%, 12/01/06 2,616 2,536 FNMA, Ser 2005-30, Cl GE 5.500%, 12/01/06 4,722 4,710 FNMA, Ser 2005-63, Cl PA 5.500%, 12/01/06 5,949 5,961 FNMA, Ser 2006-34, Cl PA 6.000%, 12/01/06 6,888 6,961 FNMA, Ser 2006-52, Cl PM 5.500%, 12/01/06 11,785 11,865 FNMA, Ser 2006-53, Cl BW 6.000%, 12/01/06 2,612 2,650 FNMA, Ser 2006-53, Cl PA 5.500%, 12/25/26 1,079 1,086 FNMA, Ser 2006-80, Cl PB 6.000%, 12/01/06 7,330 7,421 FNMA, Ser G93-39, Cl ZQ 6.500%, 12/01/06 1,835 1,900 FNMA, Ser G93-41, Cl Z 7.000%, 12/01/06 2,382 2,500 GNMA CMO, Ser 2001-18, Cl WH (F) 7.840%, 12/20/06 300 330 GNMA CMO, Ser 2002-51, Cl SG (F) 9.446%, 12/20/06 271 306 GNMA CMO, Ser 2003-58, Cl LG, IO 5.500%, 05/17/29 3,000 267 GNMA CMO, Ser 2003-82, Cl IO, IO 5.500%, 03/20/29 4,421 289 GNMA CMO, Ser 2004-80, Cl IP, IO 5.500%, 07/20/34 7,823 650 GNMA CMO, Ser 2004-87, Cl LI, IO 5.000%, 12/20/28 7,414 537 -------------------------------------------------------------------------------- 110 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- GNMA CMO, Ser 2006-3, Cl A 4.212%, 01/16/28 $ 961 $ 943 GNMA CMO, Ser 32, Cl A 5.079%, 01/16/30 2,405 2,408 GNMA CMO, Ser 8, Cl A 3.942%, 08/16/25 1,393 1,363 GNMA, Ser 2003-86, Cl ZK 5.000%, 10/20/33 10,105 9,457 ----------- Total U.S. Government Agency Obligations Cost $523,314) ($ Thousands) 526,527 ----------- COMMERCIAL PAPER (A) -- 3.7% FINANCIALS -- 3.7% Alcoa 1.270%, 12/13/02 7,590 7,545 5.303%, 12/11/06 9,440 9,426 Broadhollow Funding (K) 5.305%, 12/07/06 11,618 11,608 DaimlerChrysler 5.576%, 12/19/06 10,530 10,501 GE Capital 5.230%, 12/11/06 6,325 6,316 KKR Pacific Funding Trust (K) 5.345%, 12/27/06 20,747 20,667 5.305%, 01/02/07 10,373 10,324 National Rural 5.273%, 12/08/06 5,985 5,979 Ocala Funding LLC (K) 5.320%, 12/18/06 10,373 10,347 5.320%, 01/26/07 10,373 10,287 Rabusa 5.301%, 12/01/06 24,396 24,396 Rhineland Funding Capital (K) 5.385%, 01/25/07 13,070 12,964 5.364%, 12/27/06 10,373 10,334 5.364%, 02/13/07 10,270 10,157 5.313%, 12/12/06 6,829 6,818 Socnam 5.301%, 12/01/06 5,041 5,041 Witherspoon Funding Limited (K) 5.329%, 12/15/06 10,373 10,352 Witherspoon Funding, Ser 2004-1A (K) 5.330%, 03/15/07 17,905 17,905 ----------- Total Commercial Paper (Cost $200,967) ($ Thousands) 200,967 ----------- ------------------------------------------------------------------------------- Face Amount Market Value Description Shares/($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- CASH EQUIVALENTS -- 1.8% Evergreen Select Money Market Fund, Institutional Class, 5.230%* 416,002 $ 416 SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.300%* 98,248,976 98,249 ----------- Total Cash Equivalents (Cost $98,665) ($ Thousands) 98,665 ---------- MASTER NOTE (A) (K) -- 0.9% Bank of America 5.383%, 12/01/45 $ 51,867 51,867 ----------- Total Master Note (Cost $51,867) ($ Thousands) 51,867 ----------- CERTIFICATES OF DEPOSIT (K) -- 0.7% Barclays Bank (F) 5.330%, 06/11/07 10,373 10,373 CC USA MTN (C) 5.379%, 06/18/07 20,747 20,747 U.S. Trust of New York (F) 5.316%, 03/13/07 8,299 8,299 ----------- Total Certificates of Deposit (Cost $39,419) ($ Thousands) 39,419 ----------- FOREIGN BONDS -- 0.2% Canadian Government 4.000%, 12/01/31 1,161 1,517 Deutsche Bundesrepublik 3.750%, 01/04/15 6,750 9,007 ----------- Total Foreign Bonds (Cost $9,914) ($ Thousands) 10,524 ----------- PREFERRED STOCK -- 0.2% Aegon 6.375% 78 2,007 6.236% (F) 27 691 Bank of America, Ser E 5.718% (F) 112 2,824 Merrill Lynch 6.375% 79 2,054 Metlife 6.500% 87 2,264 ----------- Total Preferred Stock (Cost $9,593) ($ Thousands) 9,840 ----------- -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 111 SCHEDULE OF INVESTMENTS (Unaudited) Core Fixed Income Fund (Continued) November 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- MUNICIPAL BONDS -- 0.1% Michigan, Tobacco Settlement Finance, Ser A 7.309%, 06/01/36 $ 2,400 $ 2,504 San Diego,Tobacco Settlement Asset Backed, RB 7.125%, 06/01/32 1,336 1,400 ----------- Total Municipal Bonds (Cost $3,770) ($ Thousands) 3,904 ----------- REPURCHASE AGREEMENTS (N) -- 12.8% ABN Amro 5.300%, dated 11/30/06, to be repurchased on 12/01/06, repurchase price $82,998,716 (collateralized by U.S. Government Obligations, ranging in par value $1,037,331- $31,119,937, 0.000%-6.000%, 03/01/07-07/01/36, total market value $84,646,229) (K) 82,986 82,986 Barclays 5.300%, dated 11/30/06, to be repurchased on 12/01/06, repurchase price $17,662,542 (collateralized by U.S. Government Obligations, ranging in par value $386,925- $5,502,005, 2.750%-5.700%, 12/15/06-05/27/15, total market value $18,013,421) (K) 17,660 17,660 Deutsche Bank 5.300%, dated 11/30/06, to be repurchased on price $7,063,606 (collateralized by U.S. Government Obligations, ranging in par value $1,938,855- $5,340,181, 0.000%-5.800%, 05/01/07-01/27/20, total market value $7,204,316) (K) 7,063 7,063 Deutsche Bank 5.260%, dated 11/30/06, to be repurchased on 12/01/06, repurchase price $460,667,299 (collateralized by U.S. Government Obligations, ranging in par value $18,170,000- $50,000,000, 5.100% total market value $469,812,000) 460,600 460,600 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)/Contracts ($ Thousands) -------------------------------------------------------------------------------- Lehman Brothers 5.300%, dated 11/30/06, to be repurchased on 12/01/06, repurchase price $128,527,869 (collateralized by U.S. Government Obligations, ranging in par value $951,233- $160,367,467, 3.08 total market value $131,079,899)(K) $128,509 $ 128,509 ---------- Total Repurchase Agreements (Cost $696,818) ($ Thousands) 696,818 ---------- Total Investments -- 137.1% (Cost $7,405,882) ($ Thousands) $7,478,281 ========== WRITTEN OPTIONS -- 0.0% U.S. Ten Year Treasury Note Call, Expires 03/23/07, Strike Price: $110 (700) (383) U.S. Long Treasury Bond Put, Expires 02/23/07, Strike Price: $109 (188) (18) U.S. Long Treasury Bond Put, Expires 02/23/07, Strike Price: $112 (108) (52) ----------- Total Written Options (Premiums Received $(557)) ($ Thousands) $ (453) ----------- A summary of the open futures contracts held by the Fund at November 30, 2006, is as follows: (see Note 2 in Notes to Financial Statements) ---------------------------------------------------------------------- UNREALIZED APPRECIATION TYPE OF NUMBER OF EXPIRATION (DEPRECIATION) CONTRACT CONTRACTS DATE ($ THOUSANDS) ---------------------------------------------------------------------- 90-Day Euro$ 472 Mar-2007 $ 2,663 90-Day Euro$ (155) Mar-2008 (270) 90-Day Euro$ 278 Jun-2007 16 90-Day Euro$ 1,219 Sep-2007 539 90-Day Euro$ 2,217 Dec-2006 (2,377) 90-Day Euro$ (1,697) Dec-2007 (523) U.S. 10-Year Note 720 Dec-2006 816 U.S. 10-Year Note 665 Mar-2007 307 U.S. 2-Year Note 266 Dec-2006 80 U.S. 2-Year Note 648 Mar-2007 223 U.S. 5-Year Note 256 Dec-2006 89 U.S. 5-Year Note 1,248 Mar-2007 753 U.S. Long Treasury Bond 93 Mar-2007 (11) ------- $ 2,305 ======= -------------------------------------------------------------------------------- 112 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 A summary of the outstanding forward foreign currency contracts held by the Fund at November 30, 2006, is as follows (see Note 2 in Notes to Financial Statements): ------------------------------------------------------------------ UNREALIZED CURRENCY TO CURRENCY TO APPRECIATION MATURITY DELIVER RECEIVE (DEPRECIATION) DATE (THOUSANDS) ($ THOUSANDS) ($ THOUSANDS) ------------------------------------------------------------------ 2/7/07 CAD 6,242 USD 5,544 $ 65 2/7/07 EUR 6,809 USD 8,583 (472) 2/7/07 USD 21,956 EUR 17,070 745 2/7/07 USD 19,647 JPY 2,316,816 580 ----- $ 918 ===== A summary of the outstanding Credit Default Swap agreements held by the Fund at November 30, 2006, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- NOTIONAL NET UNREALIZED EXPIRATION AMOUNT DEPRECIATION DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- Fund receives quarterly payment of 0.675% (0.270% per annum) times notional amount of ConocoPhillips, 4.750%, 10/15/12. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counterparty: Morgan Stanley & Co.) 09/20/12 $1,620 $ 8 Fund receives semi-annual payment of 0.950% (1.900% per annum) times notional amount of GSAMPTrust, Ser 2005-HE1, Cl B2, 5.014%, 02/02/13. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation.(Counterparty: Citibank) 11/25/34 600 (2) Fund receives semi-annual payment of 0.950% (1.900% per annum)times notional amount of ACE -Securities, Ser 2004-RM2, Cl B1, 5.014%, 01/25/35. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counterparty: Citibank) 01/25/35 600 (2) Fund receives semi-annual payment of 1.675% (3.350% per annum) times notional amount of Aegis Asset-Backed Securities Trust, Ser 2004-5, Cl B3, 6.814%, 12/25/34. Upon a defined credit event Fund paysnotional amount and takes receipt of a defined deliverable obligation. (Counterparty: Citibank) 12/25/34 600 (9) Fund receives semi-annual payment of 1.025% (2.050% per annum) times notional amount of Ameriquest Mortgage Securities, Ser 2004-R6,Cl M3, 5.464%, 07/25/34. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counterparty: Citibank) 07/25/34 600 (3) Fund receives semi-annual payment of 0.975% (1.950% per annum) times notional amount of CDC Mortgage Capital Trust, Ser 2004-HE3, Cl B2, 5.264%, 11/25/34. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counterparty: Citibank) 11/25/34 600 (2) Fund receives semi-annual payment of 0.975% (1.950% per annum) times notional amount of Countrywide Asset-Backed Certificates, Ser 2004-12, Cl MV8, 5.114%, 11/25/34. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counterparty: Citibank) 05/25/34 600 (2) Fund receives semi-annual payment of 1.025% (2.050% per annum)times notional amount of Countrywide Asset-Backed Certificates, Ser 2004-6, Cl M8, 5.514%, 05/25/34. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counterparty: Citibank) 05/25/34 600 (3) -------------------------------------------------------------------------------- NOTIONAL NET UNREALIZED EXPIRATION AMOUNT DEPRECIATION DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- Fund receives semi-annual payment of 1.000% (2.000% per annum) times notional amount of Countrywide Asset-Backed Certificates, Ser 2004-ECC2, Cl M8, 5.464%, 06/25/34. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counterparty: Citibank) 06/25/34 $1,000 $ (3) Fund receives semi-annual payment of 1.500% (3.000% per annum) times notional amount of Countrywide Asset-Backed Certificates, Ser 2004-ECC1, Cl B, 4.814%, 01/25/34. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counterparty: Citibank) 02/25/34 1,000 (4) Fund receives semi-annual payment of 0.975% (1.950% per annum) times notional amount of Home Equity Asset Trust, Ser 2004-8, Cl B3, 6.414%, 03/25/35. Upona defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counterparty: Citibank) 03/25/35 600 (6) Fund receives semi-annual paymentof 1.015% (2.030% per annum) times notional amount of Long Beach Mortgage Loan Trust, Ser 2004-2, Cl M6, 5.564%, 06/25/34 . Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counterparty: Citibank) 06/25/34 600 (2) Fund receives semi-annual payment of 1.050% (2.100% per annum) times notional amount of Master Asset Backed Securities Trust, Ser 2004-WMC2, Cl M5, 5.714%, 04/25/34. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counterparty: Citibank) 06/25/34 600 (2) Fund receives semi-annual payment of 1.025% (2.050% per annum) times notional amount of Morgan Stanley ABS Equity I, Ser 2004-HE6, Cl B2, 5.264%, 08/25/34. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counterparty: Citibank) 08/25/34 600 (2) Fund receives semi-annual payment of 1.035% (2.070% per annum) times notional amount of Morgan Stanley ABS Equity I, Ser 2004-NC5, Cl B2, 5.564%, 05/25/34. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counterparty: Citibank) 05/25/34 600 (2) Fund receives semi-annual payment of 1.450% (2.900% per annum) times notional amount of New Century Home Equity Loan Trust, Ser 2004-4, Cl M9, 6.014%, 02/25/35. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counterparty: Citibank) 02/25/35 1,000 (8) Fund receives semi-annual payment of 0.950% (1.900% per annum) times notional amount of Residential Asset Securities, Ser 2004-KS10,Cl M5, 5.164%, 11/25/34.Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counterparty: Citibank) 11/25/34 600 (1) ----- $(45) ===== -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 113 SCHEDULE OF INVESTMENTS (Unaudited) Core Fixed Income Fund (Continued) November 30, 2006 ------------------------------------------------------------------------------- Description ------------------------------------------------------------------------------- Percentages are based on Net Assets of $5,456,262 ($ Thousands). * Rate shown is the 7-day effective yield as of November 30, 2006. + Real Estate Investment Trust (A) The rate reported is the effective yield at time of purchase. (B) Security, or portion thereof, has been pledged as collateral on open futures contracts and swap contracts. (C) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (D) Treasury Inflation Index Notes (E) Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase. (F) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of November 30, 2006. (G) Step Bonds -- The rate reflected on the Schedule of Investments is the effective yield on November 30, 2006. 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, 2006 was $13,807 ($ Thousands) and represented 0.25% of Net Assets. (I) Security in default on interest payments. (J) This security or a partial position of this security is on loan at November 30, 2006 (see Note 9). The total value of securities on loan at November 30, 2006 was $1,100,042 ($Thousands). (K) This security was purchased with cash collateral held from securities lending (see Note 9). The total value of such securities as of November 30, 2006 was $1,136,235 ($ Thousands). (L) The note accrues 9.65% annual coupon for any day that the 3-year swap rate exceeds the 1-year swap rate by 22 or more basis points. (M) The note accrues 12.50% annual coupon for any day that the 5-year swap rate exceeds the 2-year swap rate by 30 or more basis points. (N) Tri-Party Repurchase Agreement ARM -- Adjustable Rate Mortgage CAD -- Canadian Dollar CDO -- Collateralized Debt Obligation Cl -- Class CMO -- Collateralized Mortgage Obligation EXL -- Extendable Maturity EUR -- Euro FFCB -- Federal Farm Credit Bank FHLB -- Federal Home Loan Bank FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GNMA -- Government National Mortgage Association IO -- Interest Only JPY -- Japanese Yen LLC -- Limited Liability Company MTN -- Medium Term Note NIM -- Net Interest Margin PLC -- Public Limited Company RB -- Revenue Bond SBA -- Small Business Administration Ser -- Series STRIPS -- Separately Traded Registered Interest and Principal Securities TBA -- To Be Announced TIPS -- Treasury Inflated Protection Securities USD -- U.S. Dollar -------------------------------------------------------------------------------- 114 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 Long Duration Fund November 30, 2006 -------------------------------------------------------------------------------- [Bar Chart Omitted] Plot points as follows: SECTOR WEIGHTINGS++: 39.9% Asset-Backed Securities 16.1% Financials 10.9% Commercial Paper 10.5% U.S. Government Mortgage-Backed Obligations 8.5% U.S Government Agency Obligations 7.2% U.S. Treasury Obligations 1.9% Short-Term Investments 1.7% Utilities 1.6% Consumer Discretionary 1.2% Industrials 0.5% Telecommunication Services ++Percentages based on total investments. ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- ASSET-BACKED SECURITIES -- 42.4% MORTGAGE RELATED SECURITIES -- 42.4% Amortizing Residential Collateral Trust, Ser 2002-BC4, Cl M2 (B) 6.470%, 12/25/06 $ 185 $ 188 Asset-Backed Securities Home Equity Loan Trust, Ser 2003-HE4, Cl M2 (B) 7.320%, 12/15/06 1,805 1,813 Aviation Capital Group Trust, Ser 2003-2A, Cl G2 (B) 6.120%, 12/20/06 633 641 Bayview Financial Acquisition Trust, Ser 2005-A, Cl A1 (A) (B) 5.820%, 12/28/06 2,100 2,100 Bayview Financial Acquisition Trust, Ser 2005-B, Cl 1A1 (B) 4.440%, 12/01/06 78 78 Bayview Financial Revolving Mortgage Loan Trust, Ser 2005-E, Cl A1 (A) (B) 5.820%, 12/28/06 2,400 2,410 Chase Funding Mortgage Loan Asset-Backed, Ser 2000-3, Cl IA5 (B) 7.898%, 12/25/06 1,445 1,440 Citigroup Mortgage Loan Trust, Ser 2003-1, Cl WA2 6.500%, 06/25/31 109 110 Citigroup Mortgage Loan Trust, Ser 2004-2, Cl 2A1 (A) 6.500%, 08/25/18 369 371 Continental Airlines, Ser 2002-1, Cl G1 (B) 5.824%, 02/15/07 106 106 Countrywide Alternative Loan Trust, Ser 2005-16, Cl A5 (B) 5.600%, 12/25/06 928 929 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- Countrywide Alternative Loan Trust, Ser 2005-27, Cl 1A2 (B) 6.064%, 12/25/06 $ 1,794 $ 1,793 Countrywide Alternative Loan Trust, Ser 2005-27, Cl 2A1 (B) 6.014%, 12/01/06 873 878 Countrywide Alternative Loan Trust, Ser 2005-27, Cl 3A2 (B) 5.760%, 12/01/06 193 193 Countrywide Alternative Loan Trust, Ser 2005-51, Cl 2A2A (B) 5.610%, 12/20/06 1,001 1,005 Countrywide Alternative Loan Trust, Ser 2005-59, Cl 1A1 (B) 5.660%, 12/20/06 1,523 1,528 Countrywide Alternative Loan Trust, Ser 2005-59, Cl 2X, IO (B) (E) 1.601%, 12/01/06 6,089 231 Countrywide Alternative Loan Trust, Ser 2005-61, Cl 2A1 (B) 5.600%, 12/25/06 846 848 Countrywide Alternative Loan Trust, Ser 2005-72, Cl A1 (B) 5.590%, 12/27/06 1,398 1,399 Countrywide Alternative Loan Trust, Ser 2006-OA11, Cl N1 (A) 6.000%, 09/25/46 1,035 1,031 Countrywide Alternative Loan Trust, Ser 2006-OA2, Cl X1P (E) 1.030%, 05/20/46 10,520 504 Countrywide Asset-Backed Certificates, Ser 2003-BC1, Cl M1 (B) 6.240%, 12/25/06 908 908 Countrywide Asset-Backed Certificates, Ser 2004-12, Cl 2AV2 (B) 5.600%, 12/25/06 498 498 Countrywide Asset-Backed Certificates, Ser 2004-13, Cl AV2 (B) 5.580%, 12/27/06 857 857 Countrywide Asset-Backed Certificates, Ser 2005-13, Cl AF1 (B) 5.450%, 12/27/06 1,002 1,002 Countrywide Home Equity Loan Trust, Ser 2005-M, Cl A2 (B) 5.440%, 12/15/06 1,520 1,520 Countrywide Home Loans, Ser 5, Cl 1A1 (B) 5.640%, 03/25/35 431 432 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 115 SCHEDULE OF INVESTMENTS (Unaudited) Long Duration Fund (Continued) November 30, 2006 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- Credit-Based Asset Servicing and Securities, Ser 2005-CB5, Cl AF1 (B) 5.460%, 12/25/06 $ 796 $ 796 DSLA Mortgage Loan Trust, Ser 2004-AR1, Cl A2A (B) 5.730%, 12/19/06 216 216 DSLA Mortgage Loan Trust, Ser 2005-AR2, Cl 2A1A (B) 5.530%, 12/19/06 755 756 DSLA Mortgage Loan Trust, Ser AR4, Cl 2A1A (B) 5.580%, 12/21/06 862 865 First Franklin Mortgage Loan Asset, Ser 2005-FF2, Cl A2B (B) 5.500%, 12/27/06 3,250 3,252 First Franklin Mortgage Loan Asset, Ser 2005-FFH4, Cl N1 (A) 5.682%, 12/25/35 602 598 Fremont Home Loan Trust, Ser 2004-4, Cl 2A2 (B) 5.600%, 12/25/06 163 163 GMAC Mortgage Loan Trust, Ser 2000-HE2, Cl A1 (B) 5.540%, 12/25/06 955 956 GSAMP Trust, Ser 2005-HE4, Cl A2A (B) 5.440%, 12/27/06 531 531 GSR Mortgage Loan Trust, Ser 2005-HEL1, Cl M2 (B) 6.050%, 12/29/06 1,700 1,705 Greenpoint Mortgage Funding Trust, Ser 2005-HE2, Cl A1 (B) 5.520%, 12/15/06 193 193 Harborview Mortgage Loan Trust, Ser 2004-8, Cl 2A4A (B) 5.720%, 12/19/06 1,153 1,156 Harborview Mortgage Loan Trust, Ser 2005-01, Cl X, IO (B) (E) 1.263%, 12/01/06 2,761 61 Harborview Mortgage Loan Trust, Ser 2005-10, Cl X, IO (B) (E) 1.117%, 12/01/06 4,757 126 Harborview Mortgage Loan Trust, Ser 2005-11, Cl 2A1A (B) 5.630%, 12/19/06 1,329 1,332 Harborview Mortgage Loan Trust, Ser 2005-12, Cl X2B, IO (B) (E) 0.849%, 12/01/06 4,866 136 Harborview Mortgage Loan Trust, Ser 2006-1, Cl X1, IO (B) (E) 1.446%, 03/19/37 11,000 528 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- Home Equity Asset Trust, Ser 2005-5, Cl 2A1 (B) 5.430%, 12/25/06 $ 433 $ 433 Home Equity Mortgage Trust, Ser 2005-1, Cl A1 (B) 5.520%, 12/25/06 11 11 Home Equity Mortgage Trust, Ser 2006-1, Cl A1B (B) 5.450%, 12/27/06 1,846 1,846 Indymac Home Equity Loan Asset-Backed Trust, Ser 2002-A, Cl M1 (B) 6.070%, 12/27/06 1,575 1,576 Indymac Index Mortgage Loan Trust, Ser 2004-AR12, Cl A1 (B) 5.710%, 12/25/06 870 872 Indymac Index Mortgage Loan Trust, Ser 2004-AR12, Cl AX2, IO (B) (E) 0.930%, 12/01/06 2,673 61 Indymac Index Mortgage Loan Trust, Ser 2004-AR5, Cl 2A1B (B) 5.720%, 12/27/06 1,010 1,012 Indymac Index Mortgage Loan Trust, Ser 2004-AR6, Cl 6A1 (B) 5.458%, 12/01/06 305 306 Indymac Index Mortgage Loan Trust, Ser 2004-AR7, Cl A2 (B) 5.750%, 12/25/06 279 280 Indymac Index Mortgage Loan Trust, Ser 2004-AR8, Cl 2A2A (B) 5.720%, 12/27/06 211 212 Indymac Index Mortgage Loan Trust, Ser 2005-AR18, Cl 2A1A (B) 5.630%, 12/25/06 2,121 2,125 Irwin Home Equity, Ser 2003-A, Cl M2 (B) 7.470%, 12/27/06 475 478 Lehman XS Trust, Ser 2006-12N, Cl A1A1 (B) 5.400%, 12/25/06 1,361 1,361 Long Beach Asset Holdings, Ser 2006-9, Cl N1 (A) 6.250%, 10/25/46 1,700 1,696 Master Alternative Loans Trust, Ser 2003-3, Class 2A1 8.500%, 05/25/33 304 307 Master Seasoned Securities Trust, Ser 2005-1, Cl 4A1 (B) 5.827%, 12/25/06 564 572 Merrill Lynch Mortgage Investors, Ser 2006-WMC1, Cl A2B (B) 5.460%, 12/27/06 2,750 2,750 Mid-State Trust, Ser 2004-1, Cl B 8.900%, 08/15/37 499 524 -------------------------------------------------------------------------------- 116 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- Morgan Stanley Capital I, Ser 2002-HE3, Cl M1 (B) 6.420%, 12/26/06 $ 2,000 $ 2,015 Morgan Stanley Capital I, Ser 2004-NC2, Cl M2 (B) 6.520%, 12/26/06 1,500 1,516 Nomura Asset Acceptance, Ser 2006-S1, Cl A1 (B) 5.460%, 12/25/06 1,759 1,759 Renaissance NIM Trust, Ser 2005-2, Cl N (A) 5.193%, 07/25/35 101 101 Residential Asset Mortgage Products, Ser 2004-RS11, Cl A2 (B) 5.590%, 12/25/06 539 540 Residential Asset Securities, Ser 2005-KS8, Cl A1 (B) 5.430%, 12/27/06 860 860 Residential Funding Mortgage Securities II, Ser 2006-HSA2, Cl AI1 (B) 5.430%, 12/27/06 2,034 2,034 Residential Funding Mortgage Securities, Ser 1999-HI8, Cl AI7 7.970%, 11/25/29 394 393 Saxon Asset Securities Trust, Ser 2004-3, Cl A3 (B) 5.660%, 12/26/06 158 158 Saxon Asset Securities Trust, Ser 2005-1, Cl M1 (B) 5.850%, 12/25/06 1,795 1,796 Soundview Home Equity Loan Trust, Ser 2006-1, Cl A2 (B) 5.460%, 12/27/06 2,470 2,470 Soundview NIM Trust, Ser 2005-OPT4, Cl N1 5.682%, 12/25/35 240 239 Specialty Underwriting & Residential Finance, Ser AB1, Cl A1A (B) 5.410%, 12/25/06 383 383 Structured Asset Investment Loan Trust, Ser 2005-HE3, Cl A3 (B) 5.440%, 12/27/06 927 927 Structured Asset Mortgage Investments, Ser 2006-AR1, Cl 3A1 (B) 5.550%, 12/28/06 2,190 2,193 Terwin Mortgage Trust, Ser 2005-11, Cl 1A1A (B) 4.500%, 12/25/06 330 329 Terwin Mortgage Trust, Ser 2005-14HE, Cl AF1 (B) 5.460%, 12/27/06 921 921 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- Terwin Mortgage Trust, Ser 2006-8, Cl 2A1 (A) (B) 4.500%, 08/25/37 $ 1,514 $ 1,503 Washington Mutual, Ser 2000-1, Cl M2 (B) 6.120%, 12/25/06 694 695 Washington Mutual, Ser 2004-AR10, Cl A2A (B) 5.625%, 12/25/06 65 65 Washington Mutual, Ser 2004-AR12, Cl A4A (B) 5.625%, 12/25/06 141 141 Washington Mutual, Ser 2005-AR1, Cl A2A2 (B) 5.570%, 12/25/06 520 521 Washington Mutual, Ser 2005-AR2, Cl 2A21 (B) 5.650%, 12/25/06 792 795 Washington Mutual, Ser 2005-AR2, Cl 2A22 (B) 5.540%, 12/25/06 267 268 Washington Mutual, Ser 2005-AR6, Cl 2AB1 (B) 5.510%, 12/25/06 333 333 -------- Total Asset-Backed Securities (Cost $77,622) ($ Thousands) 77,560 -------- CORPORATE OBLIGATIONS -- 22.4% CONSUMER DISCRETIONARY -- 1.7% Comcast (B) 5.674%, 01/16/07 825 827 DaimlerChrysler (B) 5.640%, 12/07/06 1,375 1,375 General Motors 8.375%, 07/15/33 153 140 Johnson Controls (B) 5.604%, 01/17/07 786 787 -------- 3,129 -------- FINANCIALS -- 17.1% Bank of America, Ser A (A) 8.070%, 12/31/26 1,667 1,736 BankBoston Capital Trust I, Ser B 8.250%, 12/15/26 145 151 Barrick Gold Finance 5.800%, 11/15/34 897 858 Capital One Financial MTN (B) 5.670%, 12/11/06 1,000 1,003 Corestates Capital Trust I (A) 8.000%, 12/15/26 1,000 1,040 Countrywide Financial (B) 5.618%, 02/05/07 200 200 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 117 SCHEDULE OF INVESTMENTS (Unaudited) Long Duration Fund (Continued) November 30, 2006 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- Countrywide Home Loans MTN, Ser E 6.935%, 07/16/07 $ 690 $ 696 Credit Suisse First Boston London (A) (B) (F) 0.000%, 03/24/10 1,271 1,148 Deutsche Bank Capital Funding Trust (A) (B) 5.628%, 01/19/49 2,182 2,166 Deutsche Bank Luxembourg (A) 6.825%, 12/28/07 281 286 EOP Operating (B) 5.972%, 01/03/07 510 516 Farmers Insurance Exchange (A) 8.625%, 05/01/24 160 196 First Chicago NBD Institutional Capital A (A) 7.950%, 12/01/26 500 520 Ford Motor Credit 8.371%, 02/02/07 (B) 475 481 7.000%, 10/01/13 865 830 6.625%, 06/16/08 240 239 General Motors Acceptance (B) 7.600%, 12/25/06 938 977 Goldman Sachs Group 5.350%, 01/15/16 2,270 2,273 HSBC Capital Trust II (A) 8.380%, 05/15/27 9 9 JPMorgan 8.750%, 02/28/07 455 444 Keycorp Institutional Capital, Ser B 8.250%, 12/15/26 1,500 1,563 Lehman Brothers Holdings MTN (B) 5.594%, 01/18/07 730 731 Lehman Brothers Holdings MTN, Ser H (B) (G) 0.000%, 11/30/10 528 484 Meridian Funding (A) (B) 5.570%, 01/06/07 174 174 Nationwide Mutual Insurance (A) 6.600%, 04/15/34 305 310 Pemex Finance 8.020%, 05/15/07 150 151 Popular North America (B) 5.740%, 12/12/06 735 737 Power Receivables Financial (A) 6.290%, 01/01/12 376 380 Providian Capital I (A) 9.525%, 02/01/27 1,715 1,804 Residential Capital (B) 6.742%, 12/29/06 380 382 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- Rosyln Bancorp 5.750%, 11/15/07 $ 900 $ 895 Simon Property Group+ 5.750%, 05/01/12 870 891 Spieker Properties+ 7.650%, 12/15/10 360 396 7.250%, 05/01/09 400 420 State Street Institutional Capital, Cl B (A) 8.035%, 03/15/27 1,368 1,430 Swiss Capital (A) 6.854%, 05/29/49 1,300 1,384 Toyota Motor Credit MTN (B) 8.000%, 04/24/07 1,395 1,384 Zurich Capital Trust I (A) 8.376%, 06/01/37 1,863 1,956 -------- 31,241 -------- INDUSTRIALS -- 1.3% America West Airlines, Ser 01-1 7.100%, 04/02/21 174 184 American Airlines, Ser AMBC 3.857%, 07/09/10 221 209 Cedar Brakes II LLC (A) 9.875%, 09/01/13 782 874 Continental Airlines, Ser AMBC 6.236%, 03/15/20 99 102 Oracle (A) (B) 5.603%, 01/17/07 909 910 -------- 2,279 -------- TELECOMMUNICATION SERVICES -- 0.5% New England Telephone & Telegraph 7.650%, 06/15/07 900 910 -------- UTILITIES -- 1.8% Entergy Gulf States (B) 5.800%, 02/15/07 525 524 Power Contract Financing (A) 6.256%, 02/01/10 1,064 1,073 Progress Energy Florida, Cl A (B) 5.774%, 12/13/06 1,000 1,002 Sempra Energy 4.621%, 05/17/07 525 523 Sempra Energy (B) 5.845%, 02/21/07 190 190 -------- 3,312 -------- Total Corporate Obligations (Cost $40,826) ($ Thousands) 40,871 -------- -------------------------------------------------------------------------------- 118 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 11.1% FHLMC 7.000%, 01/01/33 $ 455 $ 471 6.500%, 08/01/29 738 748 3.143%, 05/01/34 2,130 2,125 FHLMC ARM 6.339%, 12/01/06 761 778 6.218%, 01/01/33 701 720 4.107%, 08/01/34 1,390 1,397 3.878%, 01/01/34 1,736 1,766 3.422%, 08/01/34 1,827 1,829 3.267%, 04/01/34 1,487 1,484 3.129%, 04/01/34 (C) 1,371 1,365 FNMA 7.000%, 04/01/34 545 560 5.500%, 10/01/17 to 02/01/18 425 427 3.876%, 04/01/35 1,230 1,223 FNMA ARM 6.351%, 01/01/33 (C) 645 656 6.089%, 07/01/33 (C) 655 664 5.697%, 06/01/33 1,977 1,997 4.672%, 08/01/34 1,418 1,422 GNMA ARM 5.375%, 06/20/32 737 741 -------- Total U.S. Government Mortgage-Backed Obligations (Cost $20,179) ($ Thousands) 20,373 -------- COMMERCIAL PAPER -- 11.6% FINANCIALS -- 11.6% Alcoa 5.260%, 12/22/06 1,005 1,002 Chariot 5.270%, 12/22/06 3,625 3,614 GE Capital 5.230%, 12/11/06 2,935 2,931 Kittyhawk Funding 5.260%, 12/20/06 3,630 3,620 National Rural Utilities 5.250%, 12/15/06 4,315 4,306 Ranger Funding 5.270%, 12/21/06 3,135 3,126 Yorktown 5.260%, 12/20/06 2,685 2,677 -------- Total Commercial Paper (Cost $21,276) ($ Thousands) 21,276 -------- ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 9.0% FHLMC 5.500%, 06/12/08 $ 1,815 $ 1,815 FHLMC CMO, Ser 2006-4, Cl WE 4.500%, 02/25/36 3,050 2,755 FHLMC CMO, Ser 2748, Cl ZT 5.500%, 02/15/24 84 82 FHLMC (D) 5.180%, 12/26/06 3,740 3,727 5.170%, 12/18/06 5,215 5,202 FNMA CMO, Ser 2001-13, Cl SA 6.072%, 12/25/06 64 64 FNMA CMO, Ser 2001-48, Cl PD 6.500%, 06/25/20 371 374 FNMA CMO, Ser 2003-122, Cl ZQ 6.000%, 12/25/33 111 117 FNMA CMO, Ser 2003-33, Cl PC 4.500%, 03/25/27 176 175 FNMA CMO, Ser 2004-12, Cl ZX 6.000%, 03/25/34 120 125 FNMA CMO, Ser 2004-31, Cl MZ 4.250%, 05/25/34 111 85 FNMA CMO, Ser 2004-80, Cl XZ 5.000%, 11/25/34 220 187 GNMA CMO, Ser 2003-112, Cl SG (B) 1.170%, 12/16/06 185 134 GNMA, Ser 2003-86, Cl ZK 5.000%, 10/20/33 1,742 1,630 -------- Total U.S. Government Agency Obligations (Cost $16,174) ($ Thousands) 16,472 -------- U.S. TREASURY OBLIGATIONS -- 7.7% U.S. Treasury Bill (C) (D) 5.013%, 01/18/07 1,605 1,595 U.S. Treasury Bond Forward Commitments 6.250%, 08/15/23 10,500 12,413 -------- Total U.S. Treasury Obligations (Cost $13,779) ($ Thousands) 14,008 -------- CASH EQUIVALENT -- 2.1% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.300%* 3,781,931 3,782 -------- Total Cash Equivalent (Cost $3,782) ($ Thousands) 3,782 -------- Total Investments -- 106.3% (Cost $193,638) ($ Thousands) $194,342 ======== -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 119 SCHEDULE OF INVESTMENTS (Unaudited) Long Duration Fund (Continued) November 30, 2006 A summary of the outstanding Interest Rate Swap agreements held by the Fund at November 30, 2006, is a follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- Receive fixed rate of 4.582% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: Deutsche Bank) 09/02/20 $15,710 (685) Receive fixed rate of 4.85% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: Salomon Brothers) 08/02/20 14,965 (48) Receive fixed rate of 5.00% and pay floating rate, rate based on 3 Month LIBOR. Counterparty: Salomon Brothers) 01/04/21 54,565 648 Receive fixed rate of 5.064% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: Salomon Brothers) 03/02/16 11,060 106 Receive fixed rate of 5.183% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: Credit Suisse First Boston) 11/02/20 28,025 497 Receive fixed rate of 5.3912% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: Credit Suisse First Boston) 04/04/16 5,980 208 Receive fixed rate of 4.916% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: Deutsche Bank) 04/04/20 27,035 (254) Receive fixed rate of 5.280% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: Barclays Capital) 09/05/16 3,690 99 Receive fixed rate of 5.728% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: Credit Suisse First Boston) 07/05/16 4,400 331 ----- $ 902 ===== ------------------------------------------------------------------------------- Description ------------------------------------------------------------------------------- Percentages are based on Net Assets of $182,849 ($ Thousands). * Rate shown is the 7-day effective yield as of November 30, 2006. + Real Estate Investment Trust (A) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (B) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of November 30, 2006. (C) Security, or portion of this security, has been pledged as collateral on open swap contracts. (D) The rate reported is the effective yield at time of purchase. (E) Securities considered illiquid. The total value of such securities as of November 30, 2006 was $2,114 ($ Thousands) and represented 1.16% of Net Assets. (F) The note accrues 9.65% annual coupon for any day that the 3-year swap rate exceeds the 1-year swap rate by 22 or more basis points. (G) The note accrues 12.50% annual coupon for any day that the 5-year swap rate exceeds the 2-year swap rate by 30 or more basis points. ARM -- Adjustable Rate Mortgage Cl -- Class CMO -- Collateralized Mortgage Obligation FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GNMA -- Government National Mortgage Association IO -- Interest Only LIBOR -- London InterBank Offering Rate LLC -- Limited Liability Company MTN -- Medium Term Note NIM -- Net Interest Rate Margin Ser -- Series The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 120 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 Extended Duration Fund November 30, 2006 -------------------------------------------------------------------------------- [Bar Chart Omitted] Plot points as follows: SECTOR WEIGHTINGS++: 36.6% Asset-Backed Securities 15.7% Financials 12.5% Commercial Paper 10.9% U.S. Government Agency Obligations 8.3% U.S. Treasury Obligations 7.9% U.S. Government Mortgage Backed Obligations 2.4% Industrials 2.2% Short-Term Investments 1.7% Utilities 1.2% Consumer Discretionary 0.6% Telecommunication Services ++Percentages based on total investments. ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- ASSET-BACKED SECURITIES -- 32.9% MORTGAGE RELATED SECURITIES -- 32.9% Amortizing Residential Collateral Trust, Ser 2002-BC4, Cl M2 (B) 6.470%, 12/25/06 $ 157 $ 159 Asset-Backed Securities Home Equity Loan Trust, Ser 2003-HE4, Cl M2 (B) 7.320%, 12/15/06 2,927 2,939 Aviation Capital Group Trust, Ser 2003-2A, Cl G2 (B) 6.120%, 12/20/06 1,323 1,340 Bayview Financial Acquisition Trust, Ser 2005-A, Cl A1 (A) (B) 5.820%, 12/28/06 2,700 2,700 Bayview Financial Acquisition Trust, Ser 2005-B, Cl 1A1 (B) 4.440%, 12/01/06 156 156 Bayview Financial Revolving Mortgage Loan Trust, Ser 2005-E, Cl A1 (A) (B) 5.820%, 12/28/06 3,200 3,214 Chase Funding Mortgage Loan Asset-Backed, Ser 2000-3, Cl IA5 (B) 7.898%, 12/25/06 1,533 1,527 Citigroup Mortgage Loan Trust, Ser 2003-1, Cl WA2 6.500%, 06/25/31 194 196 Citigroup Mortgage Loan Trust, Ser 2004-2, Cl 2A1 (A) 6.500%, 08/25/18 335 337 Continental Airlines, Ser 2002-1, Cl G1 (B) 5.824%, 02/15/07 371 372 Countrywide Alternative Loan Trust, Ser 2005-27, Cl 2A1 (B) 6.014%, 12/01/06 1,811 1,820 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- Countrywide Alternative Loan Trust, Ser 2005-27, Cl 3A2 (B) 5.760%, 12/01/06 $ 358 $ 358 Countrywide Alternative Loan Trust, Ser 2005-59, Cl 1A1 (B) 5.660%, 12/20/06 2,453 2,462 Countrywide Alternative Loan Trust, Ser 2005-59, Cl 2X, IO (B) (E) 1.601%, 12/01/06 8,026 305 Countrywide Alternative Loan Trust, Ser 2005-61, Cl 2A1 (B) 5.600%, 12/25/06 1,101 1,103 Countrywide Alternative Loan Trust, Ser 2005-72, Cl A1 (B) 5.590%, 12/27/06 2,297 2,299 Countrywide Alternative Loan Trust, Ser 2006-OA11, Cl N1 (A) 6.000%, 09/25/46 1,450 1,443 Countrywide Alternative Loan Trust, Ser 2006-OA2, Cl X1P (E) 1.030%, 05/20/46 13,510 647 Countrywide Asset-Backed Certificates, Ser 2003-BC1, Cl M1 (B) 6.240%, 12/25/06 1,736 1,738 Countrywide Asset-Backed Certificates, Ser 2004-12, Cl 2AV2 (B) 5.600%, 12/25/06 653 653 Countrywide Asset-Backed Certificates, Ser 2004-13, Cl AV2 (B) 5.580%, 12/27/06 1,142 1,143 Countrywide Asset-Backed Certificates, Ser 2005-13, Cl AF1 (B) 5.450%, 12/27/06 1,502 1,503 Countrywide Home Equity Loan Trust, Ser 2005-M, Cl A2 (B) 5.440%, 12/15/06 1,843 1,842 Credit-Based Asset Servicing and Securities, Ser 2005-CB5, Cl AF1 (B) 5.460%, 12/25/06 1,298 1,298 DSLA Mortgage Loan Trust, Ser 2004-AR1, Cl A2A (B) 5.730%, 12/19/06 241 242 DSLA Mortgage Loan Trust, Ser AR4, Cl 2A1A (B) 5.580%, 12/21/06 1,387 1,391 Equifirst Mortgage Loan Trust, Ser 2004-3, Cl A1 (B) 5.650%, 12/27/06 739 740 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 121 SCHEDULE OF INVESTMENTS (Unaudited) Extended Duration Fund (Continued) November 30, 2006 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- First Franklin Mortgage Loan Asset, Ser 2005-FF2, Cl A2B (B) 5.500%, 12/27/06 $ 4,000 $ 4,002 First Franklin Mortgage Loan Asset, Ser 2005-FFH4, Cl N1 (A) 5.682%, 12/25/35 739 735 Fremont Home Loan Trust, Ser 2004-4, Cl 2A2 (B) 5.600%, 12/25/06 475 475 GMAC Mortgage Loan Trust, Ser 2000-HE2, Cl A1 (B) 5.540%, 12/25/06 1,301 1,302 GSR Mortgage Loan Trust, Ser 2005-HEL1, Cl M2 (B) 6.050%, 12/29/06 2,400 2,408 Green Tree Home Equity Loan Trust, Ser 1999-D, Cl M2 8.880%, 09/15/30 2,191 2,194 Greenpoint Mortgage Funding Trust, Ser 2005-HE2, Cl A1 (B) 5.520%, 12/15/06 471 471 Harborview Mortgage Loan Trust, Ser 10, Cl 2A1A (B) 5.630%, 12/21/06 1,497 1,501 Harborview Mortgage Loan Trust, Ser 2004-8, Cl 2A4A (B) 5.720%, 12/19/06 1,569 1,574 Harborview Mortgage Loan Trust, Ser 2005-01, Cl X, IO (B) (E) 1.263%, 12/01/06 2,810 62 Harborview Mortgage Loan Trust, Ser 2005-10, Cl X, IO (B) (E) 1.117%, 12/01/06 7,272 193 Harborview Mortgage Loan Trust, Ser 2005-12, Cl X2B, IO (B) (E) 0.849%, 12/01/06 8,110 227 Harborview Mortgage Loan Trust, Ser 2006-1, Cl X1, IO (B) (E) 1.446%, 03/19/37 13,000 624 Hasco NIM Trust, Ser 2006-FF11, Cl A 6.168%, 08/26/36 1,741 1,739 Home Equity Asset Trust, Ser 2005-5, Cl 2A1 (B) 5.430%, 12/25/06 703 703 Home Equity Mortgage Trust, Ser 2005-1, Cl A1 (B) 5.520%, 12/25/06 19 19 Indymac Home Equity Loan Asset-Backed Trust, Ser 2002-A, Cl M1 (B) 6.070%, 12/27/06 2,050 2,051 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- Indymac Index Mortgage Loan Trust, Ser 2004-AR12, Cl A1 (B) (E) 5.710%, 12/25/06 $ 895 $ 897 Indymac Index Mortgage Loan Trust, Ser 2004-AR12, Cl AX2, IO (B) 0.930%, 12/01/06 5,024 115 Indymac Index Mortgage Loan Trust, Ser 2004-AR5, Cl 2A1B (B) 5.720%, 12/27/06 1,294 1,297 Indymac Index Mortgage Loan Trust, Ser 2004-AR6, Cl 6A1 (B) 5.458%, 12/01/06 263 263 Indymac Index Mortgage Loan Trust, Ser 2004-AR7, Cl A2 (B) 5.750%, 12/25/06 380 382 Indymac Index Mortgage Loan Trust, Ser 2004-AR8, Cl 2A2A (B) 5.720%, 12/27/06 295 297 Indymac Index Mortgage Loan Trust, Ser 2005,AR18, Cl 2A1B (B) 6.100%, 12/25/06 742 749 Indymac Index Mortgage Loan Trust, Ser 2005-AR18, Cl 2A1A (B) 5.630%, 12/25/06 2,828 2,833 Indymac Residential Asset Backed Trust, Ser 2006-A, Cl A2 (B) 5.470%, 12/25/06 2,350 2,351 Irwin Home Equity, Ser 2003-A, Cl M2 (B) 7.470%, 12/27/06 525 528 Lehman XS Trust, Ser 2006-12N, Cl A1A1 (B) 5.400%, 12/25/06 1,814 1,815 Long Beach Asset Holdings, Ser 2006-8, Cl N1 6.048%, 10/25/46 3,596 3,596 Long Beach Asset Holdings, Ser 2006-9, Cl N1 6.250%, 10/25/46 2,499 2,495 Master Alternative Loans Trust, Ser 2003-3, Class 2A1 8.500%, 05/25/33 253 256 Master Seasoned Securities Trust, Ser 2005-1, Cl 4A1 (B) 5.827%, 12/25/06 1,225 1,243 Mid-State Trust, Ser 2004-1, Cl B 8.900%, 08/15/37 413 434 Morgan Stanley Capital I, Ser 2002-HE3, Cl M1 (B) 6.420%, 12/26/06 3,000 3,022 Nomura Asset Acceptance, Ser 2006-S4, Cl AIO, IO (B) 10.000%, 08/25/36 12,500 1,337 -------------------------------------------------------------------------------- 122 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- People's Choice Home Loan Securities Trust, Ser 2005-1, Cl 1A2 (B) 5.590%, 12/25/06 $ 1,179 $ 1,180 Renaissance NIM Trust, Ser 2005-2, Cl N (A) 5.193%, 07/25/35 203 202 Residential Asset Mortgage Products, Ser 2004-RS11, Cl A2 (B) 5.590%, 12/25/06 1,602 1,606 Residential Asset Securities, Ser 2004-KS11, Cl AI2 (B) 5.590%, 12/27/06 1,079 1,081 Residential Funding Mortgage Securities, Ser 1999-HI8, Cl AI7 7.970%, 11/25/29 322 321 Saco I Trust, Ser 2006-8, Cl AIO, IO 5.500%, 06/25/36 32,975 1,493 Saxon Asset Securities Trust, Ser 2004-3, Cl A3 (B) 5.660%, 12/26/06 792 792 Saxon Asset Securities Trust, Ser 2005-1, Cl M1 (B) 5.850%, 12/25/06 2,925 2,927 Specialty Underwriting & Residential Finance, Ser 2004-BC3, Cl A2B (B) 5.630%, 12/26/06 503 504 Specialty Underwriting & Residential Finance, Ser AB1, Cl A1A (B) 5.410%, 12/25/06 613 613 Structured Asset Investment Loan Trust, Ser 2005-HE3, Cl A3 (B) 5.440%, 12/27/06 927 927 Structured Asset Mortgage Investments, Ser 2006-AR1, Cl 3A1 (B) 5.550%, 12/28/06 3,355 3,358 Superior Wholesale Inventory Financing Trust, Ser 2004-A9, Cl A, (B) 5.370%, 12/17/06 3,500 3,499 Terwin Mortgage Trust, Ser 2005-11, Cl 1A1A (A) (B) 4.500%, 12/25/06 550 548 Terwin Mortgage Trust, Ser 2006-8, Cl 2A1 (A) (B) 4.500%, 08/25/37 2,103 2,088 UCFC Home Equity Loan, Ser 1998-D, Cl MF1 6.905%, 04/15/30 345 344 Washington Mutual, Ser 2000-1, Cl M2 (B) 6.120%, 12/25/06 610 611 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- Washington Mutual, Ser 2003-AR6, Cl A1 (B) 4.338%, 12/01/06 $ 1,647 $ 1,643 Washington Mutual, Ser 2004-AR12, Cl A4A (B) 5.625%, 12/25/06 442 442 Washington Mutual, Ser 2004-AR3, Cl A2 4.243%, 06/25/34 1,153 1,138 Washington Mutual, Ser 2005-AR1, Cl A2A2 (B) 5.570%, 12/25/06 764 766 Washington Mutual, Ser 2005-AR2, Cl 2A21 (B) 5.650%, 12/25/06 1,241 1,245 Washington Mutual, Ser 2005-AR2, Cl 2A22 (B) 5.540%, 12/25/06 231 232 Washington Mutual, Ser 2005-AR6, Cl 2AB1 (B) 5.510%, 12/25/06 283 283 Washington Mutual, Ser 2006-AR9, Cl 1XPP, IO (E) (F) 0.338%, 12/01/06 153,000 1,499 ---------- Total Asset-Backed Securities (Cost $107,466) ($ Thousands) 107,459 ---------- CORPORATE OBLIGATIONS -- 19.5% CONSUMER DISCRETIONARY -- 1.1% Comcast (B) 5.674%, 01/16/07 1,100 1,102 DaimlerChrysler (B) 5.640%, 12/07/06 855 855 General Motors 8.375%, 07/15/33 561 511 Johnson Controls (B) 5.604%, 01/17/07 1,049 1,051 ---------- 3,519 ---------- FINANCIALS -- 14.2% Bank of America, Ser A (A) 8.070%, 12/31/26 3,428 3,569 BankBoston Capital Trust I, Ser B 8.250%, 12/15/26 655 683 Barrick Gold Finance 5.800%, 11/15/34 1,263 1,208 Capital One Financial MTN 5.670%, 12/11/06 1,000 1,003 Countrywide Financial (B) 5.618%, 02/05/07 1,200 1,203 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 123 SCHEDULE OF INVESTMENTS (Unaudited) Extended Duration Fund (Continued) November 30, 2006 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- Countrywide Home Loans MTN, Ser E 6.935%, 07/16/07 $ 597 $ 602 Credit Suisse First Boston London (A) (B) (G) 0.000%, 03/24/10 1,988 1,795 Deutsche Bank Capital Funding Trust (A) (B) 5.628%, 01/19/49 2,913 2,892 Deutsche Bank Luxembourg (A) 6.825%, 12/28/07 304 309 EOP Operating (B) 5.972%, 01/03/07 430 435 Farmers Insurance Exchange (A) 8.625%, 05/01/24 175 215 First Chicago NBD Institutional Capital A (A) 7.950%, 12/01/26 750 779 First Union Institutional Capital I 8.040%, 12/01/26 1,250 1,301 Ford Motor Credit 7.000%, 10/01/13 1,682 1,613 6.625%, 06/16/08 500 497 Ford Motor Credit (B) 8.371%, 02/02/07 750 760 General Motors Acceptance (B) 7.600%, 12/25/06 982 1,023 Goldman Sachs Group 5.350%, 01/15/16 3,000 3,004 HSBC Capital Trust II (A) 8.380%, 05/15/27 41 43 JPMorgan 8.750%, 02/28/07 691 674 Keycorp Institutional Capital, Ser B 8.250%, 12/15/26 2,000 2,085 Lehman Brothers Holdings MTN (B) 5.594%, 01/18/07 990 992 Lehman Brothers Holdings MTN, Ser H (B) (H) 0.000%, 11/30/10 861 789 Meridian Funding (A) (B) 5.570%, 01/06/07 194 194 Nationwide Mutual Insurance (A) 6.600%, 04/15/34 522 530 Pemex Finance 8.020%, 05/15/07 288 289 Popular North America (B) 5.740%, 12/12/06 1,200 1,203 Power Receivables Financial (A) 6.290%, 01/01/12 301 304 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- Providian Capital I (A) 9.525%, 02/01/27 $ 2,210 $ 2,325 Residential Capital (B) 6.742%, 12/29/06 1,100 1,106 Rosyln Bancorp 5.750%, 11/15/07 1,400 1,392 Simon Property Group 5.750%, 05/01/12 1,130 1,157 Spieker Properties 7.650%, 12/15/10 660 727 7.250%, 05/01/09 500 525 State Street Institutional Capital, Cl B (B) 8.035%, 03/15/27 1,824 1,907 Swiss Capital (A) 6.854%, 05/29/49 1,700 1,810 Toyota Motor Credit MTN 8.000%, 04/24/07 2,041 2,026 Woodbourne Pass-Through Trust (A) (B) 6.445%, 12/08/06 700 708 Zurich Capital Trust I (A) 8.376%, 06/01/37 2,430 2,551 --------- 46,228 --------- INDUSTRIALS -- 2.1% America West Airlines, Ser 01-1 7.100%, 04/02/21 179 189 American Airlines, Ser AMBC 3.857%, 07/09/10 2,407 2,281 Cedar Brakes II LLC (A) 9.875%, 09/01/13 1,017 1,135 Continental Airlines, Ser AMBC 6.236%, 03/15/20 125 129 Oracle (A) (B) 5.603%, 01/17/07 1,214 1,216 Viacom 5.740%, 12/16/06 2,000 2,001 --------- 6,951 --------- TELECOMMUNICATION SERVICES -- 0.6% New England Telephone & Telegraph 7.650%, 06/15/07 1,786 1,807 --------- UTILITIES -- 1.5% Entergy Gulf States (B) 5.800%, 02/15/07 560 559 Power Contract Financing (A) 6.256%, 02/01/10 1,438 1,450 Progress Energy Florida, Cl A (B) 5.774%, 12/13/06 1,700 1,703 -------------------------------------------------------------------------------- 124 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- Sempra Energy 5.845%, 02/21/07 (B) $ 870 $ 871 4.621%, 05/17/07 450 449 -------- 5,032 -------- Total Corporate Obligations (Cost $63,418) ($ Thousands) 63,537 -------- COMMERCIAL PAPER -- 11.2% FINANCIALS -- 11.2% Alcoa 5.270%, 12/05/06 3,155 3,153 5.260%, 12/22/06 1,860 1,854 CAFCO LLC 0.000%, 12/06/06 5,280 5,276 CRC Funding 5.250%, 12/06/06 5,225 5,221 Chariot 5.270%, 12/22/06 5,380 5,364 GE Capital 5.230%, 12/11/06 5,380 5,372 National Rural Utilities 5.250%, 12/15/06 4,945 4,935 Ranger Funding 5.270%, 12/21/06 5,480 5,464 -------- Total Commercial Paper (Cost $36,639) ($ Thousands) 36,639 -------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 9.8% FHLMC 5.500%, 06/12/08 3,010 3,010 FHLMC CMO, Ser 2006-4, Cl WE 4.500%, 02/25/36 4,000 3,614 FHLMC CMO, Ser 2748, Cl ZT 5.500%, 02/15/24 355 349 FHLMC (D) 5.180%, 12/26/06 8,870 8,838 5.170%, 12/18/06 12,225 12,195 FNMA CMO, Ser 2001-13, Cl SA (B) 6.072%, 12/25/06 55 55 FNMA CMO, Ser 2001-48, Cl PD 6.500%, 06/25/20 321 323 FNMA CMO, Ser 2003-122, Cl ZQ 6.000%, 12/25/33 483 508 FNMA CMO, Ser 2003-33, Cl PC 4.500%, 03/25/27 150 149 FNMA CMO, Ser 2004-12, Cl ZX 6.000%, 03/25/34 440 457 FNMA CMO, Ser 2004-80, Cl XZ 5.000%, 11/25/34 120 102 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)/Shares ($ Thousands) ------------------------------------------------------------------------------- GNMA CMO, Ser 2003-112, Cl SG (B) 1.170%, 12/16/06 $ 157 $ 114 GNMA, Ser 2003-86, Cl ZK 5.000%, 10/20/33 2,381 2,228 --------- Total U.S. Government Agency Obligations (Cost $31,444) ($ Thousands) 31,942 --------- U.S. TREASURY OBLIGATIONS -- 7.5% U.S. Treasury Bill (C) (D) 5.013%, 01/18/07 4,205 4,178 U.S. Treasury Bond Forward Commitments 6.250%, 08/15/23 17,080 20,191 --------- Total U.S. Treasury Obligations (Cost $23,806) ($ Thousands) 24,369 --------- U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 7.2% FHLMC 6.500%, 08/01/29 639 647 FHLMC ARM 6.218%, 01/01/33 1,152 1,183 4.107%, 08/01/34 1,868 1,877 3.422%, 08/01/34 2,761 2,763 3.267%, 04/01/34 1,911 1,909 3.143%, 05/01/34 2,766 2,760 3.129%, 04/01/34 (C) 1,537 1,531 FNMA 7.000%, 04/01/34 461 473 5.500%, 10/01/17 to 02/01/18 359 360 4.672%, 08/01/34 1,814 1,820 3.876%, 04/01/35 1,457 1,448 FNMA ARM 6.351%, 01/01/33 (C) 1,048 1,066 6.089%, 07/01/33 (C) 655 665 5.697%, 06/01/33 2,542 2,568 5.127%, 11/01/33 2,275 2,303 -------- Total U.S. Government Mortgage-Backed Obligations (Cost $23,117) ($ Thousands) 23,373 -------- CASH EQUIVALENT -- 1.9% SEI Daily Income Trust, Prime Obligation Fund,Cl A, 5.300%* 6,333,039 6,333 -------- Total Cash Equivalent (Cost $6,333) ($ Thousands) 6,333 -------- Total Investments -- 90.0% (Cost $292,223) ($ Thousands) $293,652 ======== -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 125 SCHEDULE OF INVESTMENTS (Unaudited) Extended Duration Fund (Concluded) November 30, 2006 A summary of the outstanding Interest Rate Swap agreements held by the Fund at November 30, 2006, is a follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- Receive fixed rate of 4.65% and pay floating rate rate based on 3 Month LIBOR. (Counterparty: Credit Suisse First Boston) 09/02/25 $21,350 $(1,084) Receive fixed rate of 4.8825% and pay floating rate rate based on 3 Month LIBOR. (Counterparty: Barclays Capital) 09/19/25 20,000 (435) Receive fixed rate of 4.986% and pay floating rate rate based on 3 Month LIBOR. (Counterparty: Deutsche Bank) 10/04/25 17,630 (156) Receive fixed rate of 5.0475% and pay floating rate rate based on 3 Month LIBOR. (Counterparty: Salomon Brothers) 01/04/26 59,690 651 Receive fixed rate of 5.064% and pay floating rate rate based on 3 Month LIBOR. (Counterparty: Credit Suisse First Boston) 03/02/16 35,640 343 Receive fixed rate of 5.1425% and pay floating rate rate based on 3 Month LIBOR. (Counterparty: Deutsche Bank) 01/07/25 21,660 507 Receive fixed rate of 5.144% and pay floating rate rate based on 3 Month LIBOR. (Counterparty: Salomon Brothers) 02/02/26 28,000 650 Receive fixed rate of 5.216% and pay floating rate rate based on 3 Month LIBOR. (Counterparty: Barclays Capital) 04/04/25 49,000 952 Receive fixed rate of 5.216% and pay floating rate rate based on 3 Month LIBOR. (Counterparty: Credit Suisse First Boston) 04/04/25 50,000 971 Receive fixed rate of 5.216% and pay floating rate rate based on 3 Month LIBOR. (Counterparty: Deutsche Bank) 04/04/25 43,000 836 Receive fixed rate of 5.212% and pay floating rate rate based on 3 Month LIBOR. (Counterparty: Barclays Capital) 12/02/25 11,830 375 Receive fixed rate of 5.244% and pay floating rate rate based on 3 Month LIBOR. (Counterparty: Barclays Capital) 11/03/25 51,820 1,187 Receive fixed rate of 5.243% and pay floating rate rate based on 3 Month LIBOR. (Counterparty: Salomon Brothers) 11/03/25 51,820 1,181 Receive fixed rate of 4.934% and pay floating rate, rate based on 3 month LIBOR, (Counterparty:Credit Suisse First Boston) 12/04/16 13,245 (2) Receive fixed rate of 5.390% and pay floating rate, rate based on 3 month LIBOR, (Counterparty:Barclay Capital) 09/05/26 22,460 949 Receive fixed rate of 5.060% and pay floating rate, rate based on 3 month LIBOR, (Counterparty: JPMorgan Chase) 12/04/26 28,410 (7) Receive fixed rate of 5.060% and pay floating rate, rate based on 3 month LIBOR, (Counterparty:Lehman Brothers) 12/04/26 65,000 (15) Receive fixed rate of 5.807% and pay floating rate, rate b Credit Suisse First Boston) 07/05/26 6,065 655 Receive fixed rate of 5.289% and pay floating rate, rate based on 3 month LIBOR, (Counterparty: Salomon Brothers) 10/03/26 25,615 728 Receive fixed rate of 5.652% and pay floating rate, rate based on 3 month LIBOR, (Counterparty: Salomon Brothers) 08/02/26 14,135 1,243 -------- $ 9,529 ======== -------------------------------------------------------------------------------- DESCRIPTION -------------------------------------------------------------------------------- Percentages are based on Net Assets of $326,182 * Rate shown is the 7-day effective yield as of November 30, 2006. ** Non-income producing security. + Real Estate Investment Trust (A) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (B) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of November 30, 2006. (C) Security, or portion of this security, has been pledged as collateral on open swap contracts. (D) The rate reported is the effective yield at time of purchase. (E) Securities considered illiquid. The total value of such securities as of November 30, 2006 was $4,454 ($ Thousands) and represented 1.37% of Net Assets. (F) Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase. (G) The note accrues 9.65% annual coupon for any day that the 3-year swap rate exceeds the 1-year swap rate by 22 or more basis points. (H) The note accrues 12.50% annual coupon for any day that the 5-year swap rate exceeds the 2-year swap rate by 30 or more basis points. ARM -- Adjustable Rate Mortgage Cl -- Class CMO -- Collateralized Mortgage Obligation FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GNMA -- Government National Mortgage Association IO -- Interest Only LIBOR -- London InterBank Offering Rate LLC -- Limited Liability Company MTN -- Medium Term Note NIM -- Net Interest Margin Ser -- Series The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 126 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 High Yield Bond Fund November 30, 2006 -------------------------------------------------------------------------------- [Bar Chart Omitted] Plot points as follows: SECTOR WEIGHTINGS++: 20.2% Consumer Discretionary 17.9% Financials 10.2% Industrials 9.8% Materials 8.8% Telecommunication Services 7.4% Energy 7.0% Short-Term Investments 4.9% Health Care 3.2% Information Technology 2.7% Utilities 1.8% Commercial Paper 1.8% Consumer Staples 1.3% Asset Backed Securities 1.1% Collateralized Debt Obligations 0.6% Preferred Stock 0.5% Master Note 0.4% Certificates of Deposit 0.2% Common Stock 0.2% Convertible Bonds 0.0% U.S. Government Obligations 0.0% U.S. Treasury Obligations 0.0% Preferred Convertible Stock ++Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 9). ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- CORPORATE OBLIGATIONS -- 88.0% CONSUMER DISCRETIONARY -- 22.1% 155 E Tropicana LLC 8.750%, 04/01/12 $ 819 $ 682 AEP Industries 7.875%, 03/15/13 745 752 AMF Bowling Worldwide 10.000%, 03/01/10 800 831 Acco Brands 7.625%, 08/15/15 1,875 1,840 Adelphia Communications (C) 10.250%, 11/01/10 175 147 Adelphia Communications (C) (F) 7.875%, 05/01/09 275 232 Adelphia Communications, Ser B (C) 7.750%, 01/15/09 450 385 Adesa 7.625%, 06/15/12 475 471 American Greetings 7.375%, 06/01/16 700 716 American Tower 7.500%, 05/01/12 100 103 Amscan Holdings 8.750%, 05/01/14 1,200 1,152 Arvinmeritor 8.750%, 03/01/12 610 616 Asbury Automotive 9.000%, 06/15/12 1,778 1,845 Ashtead Capital 9.000%, 08/15/16 865 926 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- Autonation (A) (D) 7.374%, 01/15/07 $ 680 $ 694 Avis 7.750%, 05/15/16 1,350 1,301 7.625%, 05/15/14 100 97 7.874%, 02/15/07 (A) (D) 1,065 1,025 Aztar (F) 7.875%, 06/15/14 2,117 2,286 Barrington Broadcasting 10.500%, 08/15/14 325 323 Boyd Gaming 7.750%, 12/15/12 650 670 7.125%, 02/01/16 2,050 2,029 6.750%, 04/15/14 975 966 Broder Brothers, Ser B 11.250%, 10/15/10 1,200 1,164 Brookstone 12.000%, 10/15/12 595 576 Brown Shoe 8.750%, 05/01/12 1,050 1,105 Burlington (A) (F) 11.125%, 04/15/14 550 546 CBD Media Holdings 9.250%, 07/15/12 (F) 525 533 8.625%, 06/01/11 275 279 CCH I Holdings LLC 13.500%, 01/15/14 (B) (F) 375 352 11.000%, 10/01/15 9,302 9,116 CCH II LLC 10.250%, 09/15/10 3,646 3,810 CCH II LLC, Ser B 10.250%, 09/15/10 525 547 CCM Merger (A) (F) 8.000%, 08/01/13 2,050 1,978 CCO Holdings LLC 8.750%, 11/15/13 2,115 2,168 CSC Holdings 7.875%, 12/15/07 175 178 7.250%, 07/15/08 225 228 CSC Holdings, Ser B 8.125%, 08/15/09 275 284 Cablevision Systems, Ser B 8.000%, 04/15/12 1,395 1,371 9.870%, 04/03/07 (D) 1,350 1,414 Caesars Entertainment 8.875%, 09/15/08 400 419 7.875%, 03/15/10 600 616 Canwest Media 8.000%, 09/15/12 575 594 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 127 SCHEDULE OF INVESTMENTS (Unaudited) High Yield Bond Fund (Continued) November 30, 2006 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- Charter Communications Holdings (A) 8.375%, 04/30/14 $ 677 $ 703 Cinemark (B) 9.426%, 03/15/14 650 533 Collins & Aikman Floorcovering, Ser B 9.750%, 02/15/10 375 382 Cornell 10.750%, 07/01/12 475 513 Corrections of America 6.750%, 01/31/14 785 791 6.250%, 03/15/13 2,838 2,795 Couche-Tard US 7.500%, 12/15/13 125 128 Del Laboratories 10.371%, 01/28/07 (D) 300 312 8.000%, 02/01/12 1,480 1,362 Denny's (F) 10.000%, 10/01/12 575 603 Dex Media 8.141%, 11/15/13 (B) 1,750 1,549 8.000%, 11/15/13 950 969 Dex Media East 12.125%, 11/15/12 480 532 9.875%, 11/15/09 871 915 Direct TV 8.375%, 03/15/13 470 488 Directv Holdings 6.375%, 06/15/15 2,390 2,306 Echostar DBS 7.125%, 02/01/16 1,685 1,672 7.000%, 10/01/13 225 224 6.625%, 10/01/14 1,115 1,082 6.375%, 10/01/11 300 298 El Dorado Casino Shreveport PIK (F) 10.000%, 08/01/12 1,050 997 Elizabeth Arden 7.750%, 01/15/14 925 920 Eye Care Centers of America 10.750%, 02/15/15 300 327 Federal-Mogul (C) 8.370%, 11/15/01 300 202 7.750%, 07/01/06 (F) 125 83 7.500%, 07/01/04 200 133 7.500%, 01/15/09 300 200 7.375%, 01/15/06 150 100 Festival Fun Park LLC 10.875%, 04/15/14 3,049 3,026 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- Ford Motor 9.500%, 09/15/11 (F) $ 75 $ 74 9.215%, 09/15/21 25 22 8.900%, 01/15/32 450 409 8.875%, 01/15/22 50 44 7.450%, 07/16/31 (F) 1,844 1,459 6.500%, 08/01/18 390 300 French Lick Resorts (A) (F) 10.750%, 04/15/14 3,027 2,861 Gamestop (F) 8.000%, 10/01/12 1,976 2,060 General Motors 8.375%, 07/15/33 (F) 1,139 1,038 8.250%, 07/15/23 602 549 7.700%, 04/15/16 (F) 851 787 Goodyear Tire & Rubber 8.625%, 12/01/11 (A) 790 802 7.857%, 08/15/11 (F) 1,500 1,474 Gregg Appliances 9.000%, 02/01/13 2,363 2,239 Group 1 Automotive 8.250%, 08/15/13 475 486 Harrahs Operating 8.000%, 02/01/11 625 645 Harry & David Operations 9.000%, 03/01/13 3,150 3,040 Herbst Gaming 8.125%, 06/01/12 2,764 2,819 7.000%, 11/15/14 700 672 Hertz (A) 10.500%, 01/01/16 (F) 1,629 1,776 8.875%, 01/01/14 2,337 2,425 Houghton Mifflin 9.875%, 02/01/13 650 710 Hydrochem Industrial (A) 9.250%, 02/15/13 875 868 Idearc (A) 8.000%, 11/15/16 4,065 4,131 Inn of the Mountain Gods (F) 12.000%, 11/15/10 500 532 Isle of Capri Casinos 9.000%, 03/15/12 775 811 7.000%, 03/01/14 1,375 1,346 Jacuzzi Brands 9.625%, 07/01/10 1,050 1,121 Jo-Ann Stores (F) 7.500%, 03/01/12 300 269 Kabel Deutschland 10.625%, 07/01/14 2,420 2,668 -------------------------------------------------------------------------------- 128 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- LBI Media (B) 8.381%, 10/15/13 $ 625 $ 528 Lamar Media 7.250%, 01/01/13 325 327 6.625%, 08/15/15 125 122 Lazydays RV Center 11.750%, 05/15/12 1,749 1,657 Leslie's Poolmart 7.750%, 02/01/13 150 149 Levi Strauss 10.122%, 01/01/07 (D) 1,225 1,262 8.875%, 04/01/16 312 323 Lin Televison, Ser B 6.500%, 05/15/13 900 855 Lodgenet Entertainment 9.500%, 06/15/13 650 695 MGM Mirage 8.375%, 02/01/11 2,050 2,132 6.875%, 04/01/16 825 799 6.750%, 04/01/13 1,655 1,630 5.875%, 02/27/14 2,350 2,197 Majestic Star Casino LLC 9.500%, 10/15/10 1,100 1,136 Majestic Star II 9.750%, 01/15/11 1,425 1,325 Mandalay Resort Group 9.375%, 02/15/10 525 558 7.625%, 07/15/13 430 422 Mediacom Broadband LLC 8.500%, 10/15/15 300 300 Mediacom LLC (F) 9.500%, 01/15/13 2,970 3,052 Metaldyne (F) 10.000%, 11/01/13 1,348 1,449 Mohegan Tribal Gaming 7.125%, 08/15/14 100 101 6.875%, 02/15/15 1,300 1,290 6.125%, 02/15/13 25 25 Momentive Performance (A) 11.500%, 12/01/16 3,230 3,190 9.750%, 12/01/14 2,155 2,160 NPC International 9.500%, 05/01/14 225 226 Neiman Marcus Group 10.375%, 10/15/15 (F) 1,647 1,822 9.000%, 10/15/15 250 271 Nexstar Finance 7.000%, 01/15/14 275 256 Nexstar Holdings LLC (B) 11.025%, 04/01/13 1,255 1,092 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- O'Charley's 9.000%, 11/01/13 $ 817 $ 858 Pantry 7.750%, 02/15/14 625 630 Penhall International 12.000%, 08/01/14 970 1,048 Penn National Gaming 6.750%, 03/01/15 1,440 1,415 Perry Ellis International, Ser B 8.875%, 09/15/13 2,064 2,069 Petro Stopping Centers 9.000%, 02/15/12 225 231 Phillips Van-Heusen 8.125%, 05/01/13 375 396 7.250%, 02/15/11 75 77 Pinnacle Entertainment 8.250%, 03/15/12 1,484 1,514 Pokagon Gaming Authority 10.375%, 06/15/14 525 570 Polypore International (B) (F) 8.807%, 10/01/12 925 731 Primedia 8.875%, 05/15/11 400 394 Quebecor Media 7.750%, 03/15/16 1,025 1,038 Quicksilver 6.875%, 04/15/15 275 268 RH Donnelley 10.875%, 12/15/12 415 452 RH Donnelley, Ser A-1 6.875%, 01/15/13 1,575 1,508 RH Donnelley, Ser A-2 6.875%, 01/15/13 2,225 2,130 RH Donnelley, Ser A-3 8.875%, 01/15/16 1,375 1,444 RJ Tower (C) (F) 12.000%, 06/01/13 900 171 Rental Service (A) 9.500%, 12/01/14 4,200 4,252 Riddell Bell Holdings 8.375%, 10/01/12 2,040 2,020 Rite Aid 7.125%, 01/15/07 600 600 SGS International 12.000%, 12/15/13 1,650 1,699 Sally Holdings (A) 10.500%, 11/15/16 1,960 2,011 9.250%, 11/15/14 2,130 2,178 Sealy Mattress 8.250%, 06/15/14 1,635 1,698 Seneca Gaming 7.250%, 05/01/12 225 225 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 129 SCHEDULE OF INVESTMENTS (Unaudited) High Yield Bond Fund (Continued) November 30, 2006 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- Service 8.000%, 06/15/17 (A) $ 1,225 $ 1,219 6.750%, 04/01/16 750 737 6.500%, 03/15/08 2,033 2,036 Simmons (B) 10.000%, 12/15/14 2,005 1,524 Sinclair Broadcast Group (A) (B) 4.875%, 07/15/18 400 362 Sonic Automotive, Ser B 8.625%, 08/15/13 2,580 2,632 Spectrum Brands 7.375%, 02/01/15 650 548 Stanadyne Holdings (B) 17.770%, 02/15/15 1,500 1,020 Stanadyne, Ser 1 10.000%, 08/15/14 475 482 Starwood Hotels & Resorts 7.375%, 05/01/07 675 679 Station Casinos 7.750%, 08/15/16 400 411 6.875%, 03/01/16 2,975 2,774 6.625%, 03/15/18 2,025 1,842 Steinway Musical Instruments (A) 7.000%, 03/01/14 3,615 3,516 Stewart Enterprises 6.250%, 02/15/13 1,110 1,057 Sun Media 7.625%, 02/15/13 890 903 Superior Essex Com & Essex Group 9.000%, 04/15/12 600 624 Tenneco Automotive (F) 8.625%, 11/15/14 4,134 4,196 Town Sports International (B) 10.162%, 02/01/14 1,704 1,419 Travelport 11.875%, 09/01/16 (F) 3,685 3,621 9.994%, 12/01/06 (D) 1,444 1,401 9.875%, 09/01/14 (F) 1,706 1,685 Turning Stone Casino Entertainment (A) 9.125%, 12/15/10 1,200 1,233 Turning Stone Resort Casinos 9.125%, 09/15/14 325 332 United Auto Group 7.750%, 12/15/16 900 900 United Components 9.375%, 06/15/13 630 646 United Rentals North America 7.750%, 11/15/13 687 687 6.500%, 02/15/12 2,740 2,685 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- Universal City Florida 10.121%, 02/01/07 (D) $ 4,573 $ 4,699 8.375%, 05/01/10 175 178 Vail Resorts 6.750%, 02/15/14 1,115 1,107 Vertis 9.750%, 04/01/09 455 466 Vicorp Restaurants 10.500%, 04/15/11 500 482 Videotron 6.875%, 01/15/14 2,480 2,474 Visant Holding (B) 9.293%, 12/01/13 4,784 4,138 Visteon (F) 7.000%, 03/10/14 265 232 Wynn Las Vegas LLC 6.625%, 12/01/14 2,614 2,575 ---------- 230,449 ---------- CONSUMER STAPLES -- 1.9% B&G Foods Holding 8.000%, 10/01/11 500 505 Carrols 9.000%, 01/15/13 1,100 1,111 Constellation Brands 7.250%, 09/01/16 1,880 1,925 Dean Foods 7.000%, 06/01/16 1,550 1,583 Del Monte 6.750%, 02/15/15 632 622 Dole Foods (F) 8.875%, 03/15/11 1,850 1,792 Fleming (C) 10.125%, 04/01/08 1,050 152 9.250%, 06/15/10 200 29 Jean Coutu Group 8.500%, 08/01/14 (F) 300 300 7.625%, 08/01/12 250 262 NBTY 7.125%, 10/01/15 2,462 2,400 Natural Beef Pack 10.500%, 08/01/11 1,213 1,268 Playtex Products 9.375%, 06/01/11 1,235 1,287 Reynolds American 6.500%, 06/01/07 1,650 1,651 Rite Aid 9.250%, 06/01/13 (F) 375 362 7.700%, 02/15/27 150 120 6.875%, 08/15/13 (F) 100 85 6.875%, 12/15/28 (F) 350 262 -------------------------------------------------------------------------------- 130 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- Stater Brothers Holdings 8.890%, 12/15/06 (D) $ 1,859 $ 1,873 8.125%, 06/15/12 (F) 1,340 1,353 UNIFI (A) 11.500%, 05/15/14 325 312 Visant Holding (F) 8.750%, 12/01/13 1,000 1,026 ---------- 20,280 ---------- ENERGY -- 8.1% Allis-Chalmers Energy (A) 9.000%, 01/15/14 4,063 4,063 Atlas Pipeline Partners (F) 8.125%, 12/15/15 350 359 Baytex Energy 9.625%, 07/15/10 525 546 Brigham Exploration 9.625%, 05/01/14 100 99 Capano Energy LLC 8.125%, 03/01/16 175 180 Chaparral Energy 8.500%, 12/01/15 1,738 1,738 Chesapeake Energy 7.750%, 01/15/15 (F) 2,591 2,685 7.500%, 06/15/14 719 742 7.000%, 08/15/14 851 855 6.875%, 01/15/16 2,298 2,301 6.500%, 08/15/17 2,800 2,674 6.375%, 06/15/15 50 49 Clayton William Energy 7.750%, 08/01/13 1,689 1,554 Colorado Interstate Gas 5.950%, 03/15/15 250 245 Complete Product Services (A) 8.000%, 12/15/16 1,135 1,152 Compton Pet Finance 7.625%, 12/01/13 475 451 Comstock Resources 6.875%, 03/01/12 50 48 Denbury Resources 7.500%, 04/01/13 1,250 1,269 7.500%, 12/15/15 (F) 1,075 1,091 El Paso 9.625%, 05/15/12 1,894 2,126 7.750%, 07/15/11 450 466 7.625%, 08/16/07 380 385 7.625%, 09/01/08 (F) 341 348 7.420%, 02/15/37 750 748 7.000%, 05/15/11 (F) 575 587 6.750%, 05/15/09 300 303 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- El Paso MTN 8.050%, 10/15/30 (F) $ 375 $ 402 7.800%, 08/01/31 150 159 7.375%, 12/15/12 (F) 450 462 El Paso Natural Gas 8.375%, 06/15/32 300 361 El Paso Production Holdings 7.750%, 06/01/13 2,265 2,347 Encore Acquisition 7.250%, 12/01/17 375 364 6.000%, 07/15/15 275 250 Energy Partners 8.750%, 08/01/10 601 615 Forest Oil 8.000%, 12/15/11 1,025 1,066 Giant Industries 8.000%, 05/15/14 575 623 Grant Prideco, Ser B 6.125%, 08/15/15 300 288 Hanover Compressor 9.000%, 06/01/14 1,010 1,083 7.500%, 04/15/13 600 602 Hanover Equipment Trust, Ser 2001 B 8.750%, 09/01/11 3,675 3,831 Hilcorp Energy 10.500%, 09/01/10 (A) 4,405 4,730 9.000%, 06/01/16 675 710 Holly Energy Partners 6.250%, 03/01/15 600 569 Inergy Finance 6.875%, 12/15/14 575 558 Mariner Energy 7.500%, 04/15/13 371 359 Markwest Energy 8.500%, 07/15/16 1,150 1,161 Markwest Energy, Ser B 6.875%, 11/01/14 1,400 1,316 Massey Energy 6.875%, 12/15/13 413 384 Newfield Exploration 6.625%, 04/15/16 635 633 Northwest Pipeline 7.000%, 06/15/16 225 236 Pacific Energy 6.250%, 09/15/15 100 100 Parker Drilling 10.150%, 12/01/06 (D) 3,022 3,086 9.625%, 10/01/13 639 700 Peabody Energy 7.375%, 11/01/16 2,690 2,828 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 131 SCHEDULE OF INVESTMENTS (Unaudited) High Yield Bond Fund (Continued) November 30, 2006 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- Peabody Energy, Ser B 6.875%, 03/15/13 $ 100 $ 101 Petrohawk Energy 9.125%, 07/15/13 1,065 1,109 Pogo Producing 7.875%, 05/01/13 (F) 700 717 6.875%, 10/01/17 200 192 Pogo Producing, Ser B 8.250%, 04/15/11 1,072 1,104 Pride International 7.375%, 07/15/14 1,391 1,443 Quicksilver Resources 7.125%, 04/01/16 1,400 1,344 Range Resources 7.500%, 05/15/16 625 641 6.375%, 03/15/15 350 340 SESI (A) 6.875%, 06/01/14 950 950 Sabine Pass LNG (A) 7.500%, 11/30/16 2,928 2,932 7.250%, 11/30/13 2,008 2,005 Semgroup 8.750%, 11/15/15 385 389 Sierra Pacific Resources 8.625%, 03/15/14 450 486 Sonat 7.625%, 07/15/11 2,700 2,801 Stone Energy 8.250%, 12/15/11 1,300 1,284 Teco Energy (D) 7.371%, 02/01/07 1,211 1,238 Tesoro 6.625%, 11/01/15 475 470 Transcont Gas Pipe 6.400%, 04/15/16 150 152 United Refining 10.500%, 08/15/12 3,587 3,730 Veneco 8.750%, 12/15/11 650 642 Whiting Petroleum 7.000%, 02/01/14 590 590 Williams 8.125%, 03/15/12 505 543 7.750%, 06/15/31 475 494 7.625%, 07/15/19 500 530 6.375%, 10/01/10 (A) 725 727 Williams, Ser A (F) 7.500%, 01/15/31 425 438 Williams Partners 7.500%, 06/15/11 240 245 ---------- 84,524 ---------- ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- FINANCIALS -- 12.9% AAC Group Holding (B) 2.700%, 10/01/12 $ 430 $ 368 AAC Group Holding PIK 12.750%, 10/01/12 250 265 Ace Cash Express 10.250%, 10/01/14 675 682 Alamosa Delaware 11.000%, 07/31/10 60 65 8.500%, 01/31/12 2,790 2,964 Allstate Life Global Funding II MTN (A) (D) (G) 5.360%, 12/17/07 968 968 American General Finance (A) (D) (G) 5.350%, 12/17/07 3,053 3,053 Arch Western Finance 6.750%, 07/01/13 2,160 2,117 Bear Stearns EXL (D) (G) 5.360%, 12/17/07 3,747 3,747 Beazer Homes USA 6.875%, 07/15/15 430 415 Cardtronics 9.250%, 08/15/13 150 157 Choctaw Resort Development Entity (A) 7.250%, 11/15/19 993 990 Countrywide Financial MTN (D) (G) 5.448%, 10/31/07 4,421 4,421 Crystal US Holdings, Ser B (B) 8.642%, 10/01/14 600 507 Dekabank (A) (D) (G) 5.394%, 11/20/07 3,895 3,895 Dow Jones CDX HY, Ser 6-T1 8.625%, 06/29/11 4,000 4,175 FTI Consulting 7.625%, 06/15/13 350 361 Felcor Lodging (A) 7.275%, 04/30/07 200 200 Ford Motor Credit 9.824%, 01/17/07 (D) 3,340 3,535 9.750%, 09/15/10 1,538 1,633 7.375%, 10/28/09 2,565 2,561 7.375%, 02/01/11 (F) 650 642 7.250%, 10/25/11 2,375 2,320 7.000%, 10/01/13 4,062 3,896 6.944%, 01/18/07 (D) 680 655 6.625%, 06/16/08 950 945 -------------------------------------------------------------------------------- 132 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- General Motors Acceptance 8.000%, 11/01/31 (F) $ 5,239 $ 5,872 7.600%, 12/25/06 (D) 622 648 7.000%, 02/01/12 100 103 6.875%, 08/28/12 4,010 4,132 6.750%, 12/01/14 (F) 3,210 3,292 H-Lines Finance Holding (B) 9.741%, 04/01/13 775 716 Host Marriott+ 7.125%, 11/01/13 575 587 Host Marriott, Ser M+ 7.000%, 08/15/12 375 381 Host Marriott, Ser O+ 6.375%, 03/15/15 575 566 Host Marriott, Ser Q+ 6.750%, 06/01/16 1,225 1,230 Hughes Network Systems (A) 9.500%, 04/15/14 1,496 1,552 Innophos Investments PIK 13.370%, 02/16/07 2,299 2,403 Ipayment (A) 9.750%, 05/15/14 500 511 Irish Life & Permanent MTN, Ser X (A) (D) (G) 5.360%, 12/21/07 2,800 2,800 Islandsbanki (A) (D) (G) 5.370%, 04/06/07 4,948 4,948 Jackson National Life Funding (A) (D) (G) 5.320%, 12/03/07 4,632 4,632 K&F Acquisition 7.750%, 11/15/14 500 511 Kaupthing Bank MTN (D) (G) 5.380%, 03/20/07 5,263 5,263 Landsbanki Islands (A) (D) (G) 5.400%, 03/16/07 4,000 4,000 Lehman Brothers Holdings, MTN 11.000%, 11/07/16 1,170 1,183 Medimedia USA (A) 11.375%, 11/15/14 600 622 Morgan Stanley EXL (D) (G) 5.380%, 01/04/08 737 737 Morgan Stanley EXL, Ser S (D) (G) 5.340%, 12/05/07 1,053 1,053 Natexis Banques (A) (D) (G) 5.300%, 12/17/07 2,053 2,052 Nationwide Building Society (A) (D) (G) 5.424%, 10/26/07 1,158 1,158 5.350%, 12/07/07 2,105 2,105 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- Nielsen Finance LLC 10.000%, 08/01/14 $ 2,550 $ 2,697 4.464%, 08/01/16 (B) (F) 1,100 718 Noble Group (A) 6.625%, 03/17/15 975 886 Nordbank (A) (D) (G) 5.350%, 12/24/07 3,579 3,579 Northern Rock (A) (D) (G) 5.360%, 12/03/07 2,168 2,168 Omega Healthcare Investors+ 7.000%, 01/15/16 825 822 PXRE Capital Trust 1 8.850%, 02/01/27 775 771 Pacific Life Global Funding (A) (D) (G) 5.370%, 12/13/07 1,579 1,579 Premium Asset Trust, Ser 2004-10 (A) (D) (G) 5.360%, 12/17/07 2,947 2,947 Residential Capital (D) 7.204%, 04/17/09 1,250 1,254 Rouse+ (A) 6.750%, 05/01/13 2,155 2,194 SLM EXL, Ser S (A) (D) (G) 5.320%, 12/17/07 2,316 2,316 Senior Housing+ 7.875%, 04/15/15 645 666 Skandinav Enskilda Bank (A) (D) (G) 5.320%, 12/18/07 2,316 2,316 Stanfield Victoria MTN (G) 5.445%, 06/11/07 2,105 2,105 TFS Acquisition (D) 12.871%, 02/01/07 375 375 Trains HY, Ser 2006-1 7.548%, 05/01/16 3,500 3,546 Trustreet Properties+ 7.500%, 04/01/15 925 999 UGS 10.000%, 06/01/12 500 545 Universal City Development 11.750%, 04/01/10 950 1,020 Ventas Realty+ 8.750%, 05/01/09 150 159 7.125%, 06/01/15 500 520 6.625%, 10/15/14 375 382 WMG Holdings (B) 8.726%, 12/15/14 2,235 1,777 ---------- 134,935 ---------- -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 133 SCHEDULE OF INVESTMENTS (Unaudited) High Yield Bond Fund (Continued) November 30, 2006 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- HEALTH CARE -- 5.4% Accellent 10.500%, 12/01/13 $ 467 $ 474 Ameripath 10.500%, 04/01/13 1,145 1,237 Bio-Rad Laboratories 7.500%, 08/15/13 175 180 6.125%, 12/15/14 775 740 Biovail 7.875%, 04/01/10 3,053 3,076 CRC Health 10.750%, 02/01/16 1,600 1,708 Concentra Operating 9.500%, 08/15/10 300 315 Encore Medical Finance (A) 11.750%, 11/15/14 1,125 1,105 Fresenius Medical Capital Trust II 7.875%, 02/01/08 381 390 Fresenius Medical Capital Trust IV 7.875%, 06/15/11 1,215 1,270 Genesis Healthcare 8.000%, 10/15/13 1,225 1,277 HCA 9.625%, 11/15/16 (A) (F) 4,215 4,415 9.250%, 11/15/16 (A) 10,858 11,333 9.125%, 11/15/14 (A) (F) 1,202 1,253 8.750%, 09/01/10 455 471 6.750%, 07/15/13 555 488 6.500%, 02/15/16 (F) 1,950 1,614 Healthsouth (F) 10.750%, 06/15/16 2,200 2,343 Iasis Healthcare 8.750%, 06/15/14 1,175 1,169 Insight Health Services (D) (F) 10.621%, 12/22/06 775 639 Kinetic Concepts 7.375%, 05/15/13 275 279 Leiner Health Products 11.000%, 06/01/12 150 152 MQ Associates (B) (F) 40.084%, 08/15/12 179 45 Medcath Holdings 9.875%, 07/15/12 75 81 Medquest, Ser B (F) 11.875%, 08/15/12 1,506 1,220 Norcross Safety Products, Ser B 9.875%, 08/15/11 1,225 1,305 Res-Care 7.750%, 10/15/13 625 630 Select Medical 11.113%, 03/29/07 75 62 7.625%, 02/01/15 2,825 2,359 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- Tenet Healthcare 9.875%, 07/01/14 $ 1,200 $ 1,203 9.250%, 02/01/15 3,559 3,488 Triad Hospitals 7.000%, 11/15/13 2,125 2,130 US Oncology Holdings 10.750%, 08/15/14 5,039 5,568 10.675%, 03/15/07 (D) 1,928 1,981 9.000%, 08/15/12 375 393 ---------- 56,393 ---------- INDUSTRIALS -- 11.1% AGY Holdings (A) 11.000%, 11/15/14 875 875 ALH Finance 8.500%, 01/15/13 2,565 2,514 Acih (A) (B) (F) 18.743%, 12/15/12 1,225 784 Ahern Rentals 9.250%, 08/15/13 775 806 Ainsworth Lumber 9.122%, 12/30/06 (D) (F) 2,150 1,817 7.250%, 10/01/12 2,321 1,834 6.750%, 03/15/14 2,560 1,911 Air 2 US (A) 8.027%, 10/01/19 689 710 Alliant Techsystems 6.750%, 04/01/16 350 346 Allied Waste North America 7.250%, 03/15/15 385 385 6.125%, 02/15/14 695 659 Allied Waste North America, Ser B 8.500%, 12/01/08 3,675 3,877 7.375%, 04/15/14 385 385 7.125%, 05/15/16 50 50 5.750%, 02/15/11 350 340 American Airlines 7.379%, 05/23/16 122 117 Ames True Temper (D) 9.374%, 01/15/07 1,220 1,226 Amsted Industries (A) 10.250%, 10/15/11 900 958 Armstrong Holdings (C) 7.450%, 05/15/29 525 367 Associated Materials (B) (F) 14.696%, 03/01/14 1,925 1,232 Baker & Taylor 11.500%, 07/01/13 1,075 1,076 Basell (A) 8.375%, 08/15/15 810 829 -------------------------------------------------------------------------------- 134 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- Beazer Homes USA 6.500%, 11/15/13 $ 1,300 $ 1,251 Bombardier (A) (F) 8.000%, 11/15/14 740 744 Buhrmann US 8.250%, 07/01/14 1,650 1,636 7.875%, 03/01/15 600 579 Builders Firstsource (D) 9.624%, 02/16/07 2,840 2,783 Chart Industries (A) 9.125%, 10/15/15 325 340 Continental Airlines, Ser 971A 7.461%, 04/01/15 1,251 1,270 Continental Airlines, Ser 982A 6.410%, 04/15/07 127 127 Continental Airlines, Ser RJ04 (F) 9.558%, 09/01/19 823 893 Corrections Corp of America 7.500%, 05/01/11 544 559 Covalence Specialty Mate (A) 10.250%, 03/01/16 355 341 D R Horton 5.625%, 09/15/14 1,080 1,053 DRS Technologies 7.625%, 02/01/18 (F) 925 953 6.875%, 11/01/13 150 151 6.625%, 02/01/16 775 781 Dayton Superior 13.000%, 06/15/09 3,943 4,002 Delta Air Lines (F) 8.300%, 12/15/29 875 521 Delta Air Lines, Ser 2002-1, Cl C (C) 7.779%, 01/02/12 901 899 Dex Media West, Ser B 9.875%, 08/15/13 1,950 2,125 Education Management (A) (F) 10.250%, 06/01/16 1,750 1,846 Fastentech 11.500%, 05/01/11 1,509 1,566 Goodman Global Holdings 7.875%, 12/15/12 800 772 Greenbrier 8.375%, 05/15/15 848 861 Griffin Coal Mining (A) (F) 9.500%, 12/01/16 1,950 1,965 Gulfmark Offshore 7.750%, 07/15/14 1,304 1,333 Harvest Operations 7.875%, 10/15/11 750 712 Horizon Lines LLC 9.000%, 11/01/12 800 838 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- Host Hotels and Resorts (A) 6.875%, 11/01/14 $ 650 $ 658 Indalex Holding (A) 11.500%, 02/01/14 1,239 1,292 Interface 9.500%, 02/01/14 275 286 Interline Brands 8.125%, 06/15/14 320 329 Iron Mountain 8.750%, 07/15/18 250 267 8.625%, 04/01/13 613 633 7.750%, 01/15/15 660 673 6.625%, 01/01/16 1,490 1,419 J.B. Poindexter 8.750%, 03/15/14 150 128 K Hovnanian Enterprises 6.250%, 01/15/16 900 835 K Hovonanian Enterprises (F) 7.500%, 05/15/16 450 449 L-3 Communications 6.125%, 07/15/13 1,186 1,174 5.875%, 01/15/15 4,222 4,095 L-3 Communications, Cl B 6.375%, 10/15/15 726 721 Language Line 11.125%, 06/15/12 250 254 Maax (F) 9.750%, 06/15/12 1,050 892 Magnachip Semiconductor (F) 8.000%, 12/15/14 450 299 Meritage Homes 7.000%, 05/01/14 1,450 1,399 6.250%, 03/15/15 750 694 Michaels Stores (A) 11.375%, 11/01/16 (F) 1,875 1,922 10.000%, 11/01/14 3,077 3,142 Millar Western Forest 7.750%, 11/15/13 1,832 1,594 Mobile Services Group 9.750%, 08/01/14 325 338 Monitronics International 11.750%, 09/01/10 1,371 1,354 NCL 10.625%, 01/15/07 475 474 NTK Holdings 5.183%, 03/01/14 175 121 Nebraska Book 8.625%, 03/15/12 250 239 Nortek 8.500%, 09/01/14 600 579 North American Energy Partner 8.750%, 12/01/11 350 349 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 135 SCHEDULE OF INVESTMENTS (Unaudited) High Yield Bond Fund (Continued) November 30, 2006 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- Northwest Airlines 10.000%, 02/01/09 (C) (F) $ 350 $ 292 8.875%, 06/01/06 (F) 500 419 7.875%, 03/15/08 25 21 7.625%, 11/15/23 150 125 Nutro Products (A) (D) 9.400%, 04/15/07 950 978 PHI (A) 7.125%, 04/15/13 125 120 Park-Ohio Industries 8.375%, 11/15/14 1,425 1,290 Ply Gem 9.000%, 02/15/12 300 247 9.000%, 02/15/12 1,350 1,110 Primedia 8.000%, 05/15/13 250 234 Propex Frabics 10.000%, 12/01/12 325 288 Quality Distributors 9.000%, 11/15/10 800 778 Quebecor World Capital 8.750%, 03/15/16 1,025 994 RBS Global & Rexnord 11.750%, 08/01/16 450 474 Rainbow National Services LLC (A) 10.375%, 09/01/14 (F) 475 527 8.750%, 09/01/12 1,210 1,270 Service 7.700%, 04/15/09 360 371 7.625%, 10/01/18 652 681 7.375%, 10/01/14 1,398 1,454 Ship Finance International MTN 8.500%, 12/15/13 2,304 2,275 Southern States Coop (A) 10.500%, 11/01/10 1,516 1,592 Spectrum Brands 8.500%, 10/01/13 1,750 1,566 Stanley-Martin 9.750%, 08/15/15 1,321 997 Sunstate Equipment 10.500%, 04/01/13 795 843 Super Value 7.500%, 11/15/14 800 821 TRW Automotive 9.375%, 02/15/13 1,495 1,603 Tech Olympic USA (F) 10.375%, 07/01/12 2,316 2,029 9.000%, 07/01/10 450 436 8.250%, 04/01/11 210 198 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- Tembec Industries 8.625%, 06/30/09 (F) $ 1,150 $ 739 7.750%, 03/15/12 250 140 Tempur Pedic 10.250%, 08/15/10 675 729 Terex 9.250%, 07/15/11 475 498 7.375%, 01/15/14 1,349 1,369 Terra Capital 12.875%, 10/15/08 1,437 1,606 Thermadyne Holdings (F) 9.250%, 02/01/14 250 232 UCAR Finance 10.250%, 02/15/12 1,700 1,793 US Concrete 8.375%, 04/01/14 575 558 United Air Lines 9.125%, 01/15/12 (C) 625 5 9.020%, 04/19/12 763 454 United Air Lines, Ser A (C) 10.670%, 05/01/04 325 2 Vanguard Health Holdings II 9.000%, 10/01/14 1,850 1,850 Visant 7.625%, 10/01/12 1,425 1,439 ---------- 116,055 ---------- INFORMATION TECHNOLOGY -- 3.3% Activant Solutions (A) 9.500%, 05/01/16 3,150 2,945 Advanced Micro Devices 7.750%, 11/01/12 925 948 Amkor Technologies 7.750%, 05/15/13 125 117 Celestica 7.875%, 07/01/11 655 657 Compagnie Generale de Geophysique 7.500%, 05/15/15 900 902 Conexant Systems (A) (D) 9.123%, 02/13/07 125 126 FTI Consulting 7.750%, 10/01/16 800 828 Freescale Semiconductor (A) 10.125%, 12/15/16 1,185 1,198 9.244%, 03/15/07 (D) 250 249 8.875%, 12/15/14 2,465 2,471 Freescale Semiconductor, PIK (A) 9.125%, 12/15/14 3,480 3,480 Magnachip Semiconductor 8.640%, 12/15/06 (D) 150 134 6.875%, 12/15/11 (F) 525 449 -------------------------------------------------------------------------------- 136 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- NXP (A) 9.500%, 10/15/15 (F) $ 4,870 $ 4,998 7.875%, 10/15/14 2,315 2,379 SS&C Technologies 11.750%, 12/01/13 930 1,000 Seitel 11.750%, 07/15/11 425 529 Serena Sofware 10.375%, 03/15/16 400 424 Smart Modular (D) 10.872%, 01/01/07 760 806 Solutia (C) 11.250%, 07/15/09 875 871 Stoneridge 11.500%, 05/01/12 2,119 2,140 Sungard Data Systems 10.250%, 08/15/15 3,605 3,821 9.973%, 08/15/13 (D) 675 701 UGS Capital PIK 10.000%, 12/15/06 1,565 1,651 Viasystems 10.500%, 01/15/11 375 375 ---------- 34,199 ---------- MATERIALS -- 10.7% AK Steel 7.875%, 02/15/09 (F) 1,550 1,550 7.750%, 06/15/12 10,146 10,095 Abitibi Consolidated 8.850%, 08/01/30 50 41 8.550%, 08/01/10 1,329 1,278 8.375%, 04/01/15 (F) 1,200 1,044 Appleton Papers 8.125%, 06/15/11 425 427 Appleton Papers, Ser B 9.750%, 06/15/14 975 975 Ball 6.875%, 12/15/12 475 483 6.625%, 03/15/18 550 542 Berry Plastics 8.875%, 09/15/14 1,525 1,538 Boise Cascade LLC (D) 8.249%, 01/15/07 450 451 Bowater 9.500%, 10/15/12 475 481 Bway 10.000%, 10/15/10 650 681 Cascades 7.250%, 02/15/13 625 622 Catalyst Paper 7.375%, 03/01/14 338 317 Catalyst Paper, Ser D 8.625%, 06/15/11 1,515 1,530 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- Consolidated Containers (B) (F) 0.000%, 06/15/09 $ 525 $ 525 Crown Americas 7.750%, 11/15/15 1,736 1,784 Crown Cork & Seal 8.000%, 04/15/23 2,025 1,974 Domtar 7.125%, 08/15/15 725 694 Equistar Chemical 10.625%, 05/01/11 1,452 1,550 10.125%, 09/01/08 2,800 2,975 FMG Finance 10.625%, 09/01/16 (F) 1,910 1,924 10.000%, 09/01/13 350 344 Freeport-McMoRan 10.125%, 02/01/10 1,059 1,117 Georgia Gulf (F) 7.125%, 12/15/13 300 264 Georgia-Pacific 8.125%, 05/15/11 650 681 8.000%, 01/15/24 650 666 7.700%, 06/15/15 1,575 1,614 Gibraltar Industries, Ser B 8.000%, 12/01/15 1,676 1,642 Graham Packaging 9.875%, 10/15/14 1,570 1,554 Huntsman 5.000%, 02/16/08 1 23 Huntsman International 7.875%, 11/13/14 555 558 Huntsman International LLC 9.875%, 03/01/09 102 105 Huntsman LLC 11.625%, 10/15/10 799 883 11.500%, 07/15/12 2,991 3,380 Ineos Group Holdings PLC (A) (F) 8.500%, 02/15/16 4,955 4,782 Innophos 9.625%, 08/15/14 500 501 Intertape Polymer 8.500%, 08/01/14 250 230 Jarden 9.750%, 05/01/12 1,345 1,422 Jefferson Smurfit 7.500%, 06/01/13 690 637 Lyondell Chemical 10.875%, 05/01/09 1,401 1,429 10.500%, 06/01/13 1,445 1,590 8.250%, 09/15/16 (F) 2,650 2,756 8.000%, 09/15/14 1,117 1,152 Massey Energy (F) 6.625%, 11/15/10 7,591 7,629 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 137 SCHEDULE OF INVESTMENTS (Unaudited) High Yield Bond Fund (Continued) November 30, 2006 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- Metals USA 11.125%, 12/01/15 $ 3,142 $ 3,480 Methanex 6.000%, 08/15/15 175 169 Mosaic 7.625%, 12/01/16 200 205 7.375%, 12/01/14 325 330 Mosaic Global Holdings 7.300%, 01/15/28 325 296 Nalco 8.875%, 11/15/13 (F) 1,125 1,190 7.750%, 11/15/11 2,524 2,574 Newark Group 9.750%, 03/15/14 700 700 Nova Chemicals (D) 8.502%, 04/30/07 966 968 Novelis (A) 8.250%, 02/15/07 955 917 Owens-Brockway Glass 8.875%, 02/15/09 175 179 8.250%, 05/15/13 3,000 3,090 6.750%, 12/01/14 (F) 1,200 1,158 Owens-Illinois 8.100%, 05/15/07 150 151 7.350%, 05/15/08 2,150 2,150 P H Glatfelter (A) 7.125%, 05/01/16 1,425 1,425 PNA Group 10.750%, 09/01/16 2,975 3,079 Packaging Dynamics (A) 10.000%, 05/01/16 2,995 3,010 Polyone 10.625%, 05/15/10 (F) 2,000 2,140 8.875%, 05/01/12 1,150 1,166 Reichold Industries 9.000%, 08/15/14 1,696 1,662 Rockwood Specialties Group 7.500%, 11/15/14 745 751 Ryerson Tull 8.250%, 12/15/11 2,226 2,204 Smurfit-Stone Container 9.750%, 02/01/11 2,215 2,284 Solo Cup (F) 8.500%, 02/15/14 950 798 Solutia 7.375%, 10/15/27 (C) 175 155 6.720%, 10/15/37 75 66 Steel Dynamics 9.500%, 03/15/09 755 779 9.500%, 03/15/09 1,762 1,817 Stelco (D) 10.870%, 03/31/16 400 420 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- Verso Paper Holdings 9.125%, 08/01/14 $ 2,519 $ 2,620 9.121%, 02/01/07 (D) 963 982 ---------- 111,355 ---------- TELECOMMUNICATION SERVICES -- 9.6% American Cellular, Ser B 10.000%, 08/01/11 2,475 2,611 American Tower 7.125%, 10/15/12 1,676 1,714 Centennial Communications 11.122%, 01/01/07 (D) 100 105 10.750%, 12/15/08 421 422 10.125%, 06/15/13 3,750 4,031 10.000%, 01/01/13 (F) 750 784 8.125%, 02/01/14 2,300 2,317 Cincinnati Bell 8.375%, 01/15/14 (F) 400 409 7.250%, 07/15/13 75 77 Citizens Communications 9.250%, 05/15/11 875 968 6.250%, 01/15/13 525 514 Consolidated Communication Holdings 9.750%, 04/01/12 1,383 1,473 Cricket Communications I (A) (F) 9.375%, 11/01/14 4,830 4,939 Digicel 9.250%, 09/01/12 1,805 1,913 Dobson Cellular Systems 9.875%, 11/01/12 200 217 8.375%, 11/01/11 (A) 500 521 Dobson Communications 9.624%, 01/15/07 (D) 935 953 8.875%, 10/01/13 550 554 Embarq 7.082%, 06/01/16 200 207 GCI 7.250%, 02/15/14 400 392 Hawaiian Telecom Communications (F) 12.500%, 05/01/15 775 808 Hawaiian Telecom Communications, Ser B 10.889%, 05/01/13 (D) (I) 575 578 9.750%, 05/01/13 (F) 600 606 Horizon PCS 11.375%, 07/15/12 1,405 1,560 IPCS 11.500%, 05/01/12 125 139 IWO Holdings (D) 9.124%, 01/15/12 250 255 -------------------------------------------------------------------------------- 138 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- Insight Communications (B) 12.250%, 02/15/11 $ 400 $ 420 Intelsat 6.500%, 11/01/13 950 797 Intelsat Bermuda 11.250%, 06/15/16 2,475 2,713 9.250%, 06/15/16 1,137 1,217 Intelsat Sub Holding (F) 10.484%, 01/15/07 (D) 2,025 2,050 8.625%, 01/15/15 800 831 Level 3 Communications (F) 11.500%, 03/01/10 300 312 Level 3 Financing 10.750%, 10/15/11 2,375 2,526 9.250%, 11/01/14 (A) (F) 6,280 6,351 Lucent Technologies 6.450%, 03/15/29 1,375 1,237 MetroPCS Wireless (A) 9.250%, 11/01/14 3,435 3,491 NTL Cable PLC 9.125%, 08/15/16 350 370 8.750%, 04/15/14 550 575 Nordic Telephone (A) (F) 8.875%, 05/01/16 2,350 2,485 Nortel Networks (D) 9.624%, 01/15/07 150 156 Panamsat 9.000%, 06/15/16 600 631 Primus Telecommunications 12.750%, 10/15/09 25 18 8.000%, 01/15/14 (F) 1,525 900 Qwest 8.875%, 03/15/12 4,170 4,644 8.640%, 12/15/06 (D) 1,964 2,128 7.875%, 09/01/11 600 640 7.625%, 06/15/15 688 734 7.500%, 10/01/14 1,355 1,440 7.250%, 09/15/25 625 641 7.250%, 10/15/35 1,025 1,017 6.875%, 09/15/33 375 363 Qwest Communications International 8.874%, 02/11/07 (D) 3,420 3,458 7.250%, 02/15/11 125 128 Qwest Communications International, Ser B (F) 7.500%, 02/15/14 825 850 Rogers Wireless 8.515%, 12/15/06 (D) 2,289 2,335 8.000%, 12/15/12 725 768 7.250%, 12/15/12 225 237 6.375%, 03/01/14 2,705 2,715 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- Rural Cellular 8.250%, 03/15/12 $ 945 $ 980 Securus Technologies (F) 11.000%, 09/01/11 250 229 Syniverse Technologies, Ser B 7.750%, 08/15/13 125 122 Telenet Group Holdings (A) (B) 9.584%, 06/15/14 950 848 Triton (F) 8.500%, 06/01/13 1,225 1,182 US Lec (D) 13.870%, 04/01/07 2,300 2,441 US Unwired, Ser B 10.000%, 06/15/12 400 440 Ubiquitel 9.875%, 03/01/11 1,010 1,091 Valor Telecom Enterprises 7.750%, 02/15/15 75 80 West (A) 11.000%, 10/15/16 1,250 1,242 9.500%, 10/15/14 (F) 3,685 3,653 Wind Acquisitions Finance (A) 10.750%, 12/01/15 2,075 2,340 Windstream 8.625%, 08/01/16 3,765 4,099 8.125%, 08/01/13 185 200 Zeus Special Sub (B) 9.123%, 02/01/15 3,750 2,841 ---------- 100,033 ---------- UTILITIES -- 2.9% AES 9.375%, 09/15/10 750 816 9.000%, 05/15/15 600 644 8.875%, 02/15/11 1,220 1,316 Aquila 9.000%, 11/15/21 871 885 8.000%, 03/01/23 3,515 3,572 CMS Energy 7.500%, 01/15/09 240 248 Calpine Generating (C) 14.370%, 04/01/07 1,725 1,846 Midwest Generation LLC 8.750%, 05/01/34 790 857 Mirant (C) 5.750%, 07/15/07 750 11 Mirant Americas 9.125%, 05/01/31 (F) 1,022 1,070 8.500%, 10/01/21 3,933 3,933 8.300%, 05/01/11 325 330 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 139 SCHEDULE OF INVESTMENTS (Unaudited) High Yield Bond Fund (Continued) November 30, 2006 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- Mirant North America 7.375%, 12/31/13 $ 2,020 $ 2,045 NRG Energy 7.375%, 02/01/16 3,375 3,375 7.375%, 01/15/17 3,330 3,322 7.250%, 02/01/14 1,500 1,500 Northwest Pipeline (A) 8.125%, 03/01/10 200 207 Pacific Energy Partners 7.125%, 06/15/14 200 207 Reliant Energy 9.250%, 07/15/10 2,300 2,418 Sierra Pacific Resources 7.803%, 06/15/12 425 448 Sonat 7.000%, 02/01/18 400 393 Southern Natural Gas 8.875%, 03/15/10 350 368 Tenaska Alabama (A) 7.000%, 06/30/21 796 791 ---------- 30,602 ---------- Total Corporate Obligations (Cost $906,894) ($ Thousands) 918,825 ---------- CASH EQUIVALENT -- 5.3% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.300%** 55,248,568 55,249 ---------- Total Cash Equivalent (Cost $55,249) ($ Thousands) 55,249 ---------- LOAN PARTICIPATIONS -- 4.8% FINANCIALS -- 4.8% American Cellular 7.630%, 08/08/13 63 62 7.580%, 08/08/13 (D) (I) 250 249 0.000%, 08/08/13 188 -- American Cellular, Tranche B 7.600%, 08/08/13 500 497 Amkor Technology (D) 9.898%, 10/27/10 1,000 1,033 CCFC (D) 11.320%, 08/26/09 2,231 2,359 Cebridge, 2nd Lien (D) 11.371%, 05/05/14 3,639 3,605 Cebridge, 2nd Lien PIK 0.000%, 05/05/14 103 103 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)/Shares ($ Thousands) ------------------------------------------------------------------------------- Century Cable Bank, Ser B (D) (I) 10.250%, 06/30/09 $ 525 $ 513 Cooper Standard (D) 7.875%, 12/23/11 2,729 2,727 Delphi (D) 13.750%, 01/11/07 1,925 1,991 Frontier Vision (D) 9.775%, 06/30/09 1,175 1,162 Georgia Pacific, Ser B (D) 7.485%, 02/14/13 424 424 Georgia Pacific, Ser C (D) 8.390%, 02/14/14 325 326 8.300%, 12/23/12 1,500 1,503 HCA, Ser B 8.086%, 11/15/14 1,000 1,006 Hawkeye Renewables, 1st Lien 9.320%, 06/30/12 1,000 966 Idearc, Ser B 0.000%, 11/15/14 2,500 2,511 KGen Partners (D) (I) 7.992%, 08/15/11 2,487 2,481 LSP General Finance (D) 8.999%, 04/13/13 2,500 2,525 Level 3 (D) 8.398%, 12/01/11 500 505 Michaels's Stores 8.375%, 10/30/13 225 225 Murray (D) 14.085%, 01/31/11 1,990 2,089 Murray Bank, 2nd Lien (D) 14.835%, 01/31/11 451 473 Murray Bank, 3rd Lein (D 15.750%, 07/28/11 2,000 2,040 NRG Energy (STRIPS) (D) 7.350%, 02/01/13 1,997 2,005 Nielsen Finance 8.190%, 08/09/13 700 703 Northwest Air Dip Bank (D) 7.820%, 08/21/08 1,500 1,507 Plygem, 2nd Lien 0.000%, 11/02/11 225 228 Rental Services 8.870%, 11/30/13 1,500 1,510 Targa Resources, Lot 2 7.617%, 10/05/07 2,000 1,999 United Airlines (D) 9.120%, 02/01/12 1,088 1,099 United Airlines Delayed Draw Bank (D) 9.040%, 02/01/12 530 536 -------------------------------------------------------------------------------- 140 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- United Airlines Tranche B (D) 9.120%, 02/01/12 $ 2,625 $ 2,651 Venoco, 2nd Lien (D) 10.000%, 04/26/11 4,750 4,774 Wide Open West, 1st Lien (D) 10.400%, 04/28/13 500 504 Wide Open West, 2nd Lien 10.400%, 04/28/13 1,250 1,261 ---------- Total Loan Participations (Cost $50,102) ($ Thousands) 50,152 ---------- COMMERCIAL PAPER (H) -- 2.3% FINANCIALS -- 2.3% Broadhollow Funding (G) 5.305%, 12/07/06 1,179 1,178 Diamler Chrysler 4.982%, 12/11/06 5,625 5,617 KKR Pacific Funding Trust (G) 5.345%, 12/27/06 2,105 2,097 5.305%, 01/02/07 1,053 1,048 Kitty Hawk 5.054%, 12/20/06 1,475 1,471 National Rural Utilities 4.259%, 12/07/06 3,120 3,117 Ocala Funding LLC (G) 5.320%, 12/18/06 1,053 1,050 5.320%, 01/26/07 1,053 1,044 Rhineland Funding Capital (G) 5.385%, 01/25/07 1,326 1,315 5.364%, 12/27/06 1,053 1,049 5.364%, 02/13/07 1,042 1,031 5.313%, 12/12/06 693 692 Witherspoon Funding Limited (G) 5.329%, 12/15/06 1,053 1,050 Witherspoon Funding, Ser 2004-1A (G) 5.330%, 03/15/07 1,817 1,817 ---------- Total Commercial Paper (Cost $23,575) ($ Thousands) 23,576 ---------- COLLATERALIZED LOAN OBLIGATIONS -- 1.7% FINANCIALS -- 1.6% Ares VR, Ser 2006-1A, Cl SUB (A) 0.000%,02/24/18 3,500 3,150 Capitalsource Advisors, Ser 2006-1A, Cl SUB (A) 0.000%,08/27/20 2,900 2,782 De Meer Middle Market, Ser 2006-1A, Cl INC 0.000%, 10/20/18 2,000 1,940 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- ING Investment Management II (A) 0.000%, 08/01/20 $ 5 $ 4,800 Lightpoint, Ser 2006-4A, Cl IN (A) 0.000%, 04/15/18 2,000 1,772 Stanfield Vayron, Ser 2006-1A, Cl SUB 0.000%, 07/15/18 2,000 2,000 ---------- 16,444 ---------- INFORMATION TECHNOLOGY -- 0.1% Marathon, Ser 2005-2A, Cl INC (A) 0.000%, 12/20/19 1,500 1,470 ---------- Total Collateralized Loan Obligations (Cost $17,096) ($ Thousands) 17,914 ---------- ASSET-BACKED SECURITIES -- 1.2% MORTGAGE RELATED SECURITIES -- 1.2% Commodore, Ser 2003-2A, Cl A1MM (D) (G) 5.470%, 12/12/38 968 968 Countrywide Alternative Loan Trust, Ser 2006-OA9, Cl X1P (E) (I) 0.598%, 07/20/46 34,300 1,796 Duke Funding, Ser 2004-6B, Cl A1S1 (D) (G) 5.440%, 10/09/07 1,579 1,579 Harborview Mortgage Loan Trust, Ser 2006-4 Class X1 IO (D) 1.740%, 12/01/06 34,609 1,687 Newcastle CDO, Ser 2005-6A, Cl IM1 (D) (G) 5.340%, 04/24/07 421 421 Park Place Securities NIM Trust, Ser 2004-MM1, Cl MM1 (D) (G) 5.350%, 02/26/07 626 626 Saturn Ventures II (D) (G) 5.380%, 02/07/07 1,695 1,695 TIAA Real Estate CDO, Ser 2003 1A, Cl A1MM (D) (G) 5.350%, 09/28/07 1,566 1,566 Washington Mutual, Ser 2006-AR5, Cl X, IO (E) 0.052%, 06/25/46 192,028 1,925 ---------- Total Asset-Backed Securities (Cost $12,484) ($ Thousands) 12,263 ---------- -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 141 SCHEDULE OF INVESTMENTS (Unaudited) High Yield Bond Fund (Continued) November 30, 2006 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)/Shares ($ Thousands) ------------------------------------------------------------------------------- COLLATERALIZED DEBT OBLIGATIONS -- 1.5% FINANCIALS -- 1.5% Carlyle High Yield Partners, Ser 2006-8A, Cl N (E) 0.000%, 05/21/21 $ 3,000 $ 2,850 Connecticut Valley Structured Credit, Ser 2006-3A, Cl NOTE, (A) 0.000%, 03/23/23 1,200 1,176 Peritus I, (J) 0.000%, 03/23/23 3,000 750 Peritus I, Ser 2005-1A, Cl C (A) (I) 9.000%, 05/24/15 11,385 10,771 ---------- Total Collateralized Debt Obligations (Cost $15,638) ($ Thousands) 15,547 ---------- PREFERRED STOCK -- 0.7% CIFC Funding, Ser 2006-I, 0.000%* 2,000,000 2,000 General Nutrition Center, Ser A PIK, 12.000%* 850 1,266 Rockwall Investors, 0.000%* 3,000,000 3,000 Rural Cellular PIK, 12.250% (F)* 375 421 Rural Cellular, Ser B PIK, 11.375%* 325 405 ---------- Total Preferred Stock (Cost $6,363) ($ Thousands) 7,092 ---------- MASTER NOTE (G) (H) -- 0.5% Bank of America 5.383%, 12/01/45 5,263 5,264 ---------- Total Master Note (Cost $5,264) ($ Thousands) 5,264 ---------- CERTIFICATES OF DEPOSIT (G) -- 0.4% Barclays Bank (D) 5.330%, 06/11/07 1,053 1,053 CC USA MTN (A) 5.379%, 06/18/07 2,105 2,105 U.S. Trust of New York (D) 5.316%, 03/13/07 842 842 ---------- Total Certificates of Deposit (Cost $4,000) ($ Thousands) 4,000 ---------- PREFERRED/CONVERTIBLE STOCK -- 0.0% Adelphia Communications, Ser B PIK 25,000 21 ---------- Total Preferred/Convertible Stock (Cost $16) ($ Thousands) 21 ---------- ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)/Shares ($ Thousands) ------------------------------------------------------------------------------- CONVERTIBLE BONDS -- 0.2% Amkor Technology CV to 17.4398 (F) 5.000%, 03/15/07 $ 700 $ 695 Flextronics CV to 64.4122 1.000%, 08/01/10 465 450 Mirant CV to 14.7167 (C) (F) 0.000%, 06/15/21 1,950 29 SCI Systems CV to 17.7841 3.000%, 03/15/07 725 718 ---------- Total Convertible Bonds (Cost $1,947) ($ Thousands) 1,892 ---------- COMMON STOCK -- 0.2% Core-Mark Holding (F)* 12,075 392 Huntsman* 7,595 132 Mirant (F)* 16,529 503 Owens Corning (F)* 28,431 882 UAL (F)* 8,481 344 ---------- Total Common Stock (Cost $2,314) ($ Thousands) 2,253 ---------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.0% FINANCIAL SERVICES -- 0.0% FHLMC CMO, Ser 2596, Cl IJ, IO 5.000%, 01/15/17 2,530 230 FHLMC CMO, Ser 2696, Cl NI, IO 5.500%, 03/15/23 217 2 FNMA CMO, Ser 2003-37, Cl IG, IO 5.500%, 05/25/32 756 107 ---------- Total U.S. Government Agency Obligations (Cost $415) ($ Thousands) 339 ---------- U.S. TREASURY OBLIGATION (H) (J) -- 0.0% U.S. Treasury Bill 5.018%, 01/18/07 60 60 ---------- Total U.S. Treasury Obligation (Cost $60) ($ Thousands) 60 ---------- REPURCHASE AGREEMENTS (G) (K) -- 2.3% ABN Amro 5.300%, dated 11/30/06, to be repurchased on 12/01/06, repurchase price $8,442,624 (collateralized by U.S. Government Obligations, ranging in par value $1,037,331-$31,119,937, 0.000%- 6.000%, 03/01/07-07/01/36, total market value $8,589,812) 8,421 8,421 -------------------------------------------------------------------------------- 142 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- Barclays 5.300%, dated 11/30/06, to be repurchased on 12/01/06, repurchase price $1,792,377 (collateralized by U.S. Government Obligations, ranging in par value $386,925-$5,502,005, 2.750%-5.700%, 12/15/06- 05/27/15, total market value $1,827,983) $ 1,792 $ 1,792 Deutsche Bank 5.300%, dated 11/30/06, to be repurchased on 12/01/06, repurchase price $716,807 (collateralized by U.S. Government Obligations, ranging in par value $1,938,855-$5,340,181, 0.000%-5.800%, 05/01/07- 01/27/20, total market value $731,087) 717 717 Lehman Brothers 5.300%, dated 11/30/06, to be repurchased on 12/01/06, repurchase price $13,042,876 (collateralized by U.S. Government Obligations, ranging in par value $951,233-$160,367,467, 3.085%-6.300%, 12/21/07- 01/15/30, total market value $13,301,853) 13,041 13,041 ---------- Total Repurchase Agreements (Cost $23,971) ($ Thousands) 23,971 ---------- Total Investments -- 109.1% (Cost $1,125,388) ($ Thousands) $1,138,418 ========== A summary of the open future contracts held by the Fund at November 30, 2006, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED TYPE OF NUMBER OF EXPIRATION APPRECIATION CONTRACT CONTRACTS DATE ($ THOUSANDS) -------------------------------------------------------------------------------- U.S. 2-Year Note 130 Mar-2007 $ 43 ===== ------------------------------------------------------------------------------- Description ------------------------------------------------------------------------------- Percentages are based on Net Assets of $1,043,059 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of November 30, 2006. + Real Estate Investment Trust (A) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." (B) Step Bonds -- The rate reflected on the Schedule of Investments is the effective yield on November 30, 2006. The coupon on a step bond changes on a specified date. (C) Security in default on interest payments. (D) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of November 30, 2006. (E) Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase. (F) This security or a partial position of this security is on loan at November 30, 2006 (see Note 9). The total value of securities on loan at May 31, 2006 was $107,812 ($ Thousands). (G) This security was purchased with cash collateral held from securities lending (see Note 9). The total value of such securities as of November 30, 2006 was $115,304 ($ Thousands). (H) The rate reported is the effective yield at time of purchase. (I) Securities considered illiquid. The total value of such securities as of November 30, 2006 was $13,895 ($Thousands) and represented 1.33% of Net Assets. (J) Security, or portion thereof, has been pledged as collateral on open futures contracts. (K) Tri-Party Repurchase Agreement Cl -- Class CDO -- Collateralized Debt Obligation CMO -- Collateralized Mortgage Obligation CV -- Convertible Security EXL -- Extendable Maturity FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association IO -- Interest Only LLC -- Limited Liability Company LP -- Limited Partnership MTN -- Medium Term Note PCS -- Personal Communications Service PIK -- Payment in Kind PLC -- Public Limited Company Ser -- Series STRIPS -- Separately Traded Registered Interest and Principal Securities. Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 143 SCHEDULE OF INVESTMENTS (Unaudited) International Equity Fund November 30, 2006 -------------------------------------------------------------------------------- [Bar Chart Omitted] Plot points as follows: SECTOR WEIGHTINGS++: 29.1% Financials 10.6% Consumer Discretionary 9.1% Industrials 8.4% Basic Materials 5.8% Asset-Backed Securities 5.4% Energy 4.9% Information Technology 4.7% Health Care 4.6% Consumer Staples 4.6% U.S. Government Agency Mortgage-Backed Securities 4.1% Telecommunication Services 3.0% Utilities 1.6% Short-Term Investments 1.0% U.S. Treasury Obligations 0.8% Commercial Paper 0.7% Exchange Traded Funds 0.6% U.S. Government Agency Obligations 0.4% Equity-Linked Warrants 0.3% Certificates of Deposit 0.3% Master Note ++Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 9). ------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------------------------- COMMON STOCK -- 89.1% AUSTRALIA -- 2.9% ABB Grain 22,800 $ 125 Amcor 167,281 983 AMP 372,550 2,791 APN News & Media 69,267 317 Australia & New Zealand Banking Group 126,345 2,838 Babcock & Brown (B) 41,503 813 BHP Billiton 67,170 1,391 Billabong International 60,600 766 BlueScope Steel 124,000 783 Brambles Industries (B) 90,209 919 Caltex Australia 10,600 185 Challenger Financial Services Group (B) 187,182 585 Cochlear 14,517 645 Commonwealth Bank of Australia 57,989 2,171 Foster's Group 203,931 1,077 GPT Group 25,489 104 Insurance Australia Group 166,158 758 IOOF Holdings 4,400 37 Leighton Holdings 18,800 303 Lend Lease 49,408 683 Lion Nathan 25,900 165 Macquarie Airports (B) 1,147,974 3,217 Macquarie Bank 16,077 924 Macquarie Infrastructure Group 528,922 1,466 Mayne Pharma 121,438 395 Mirvac Group 165,148 691 National Australia Bank 55,600 1,720 OneSteel 64,638 225 Pacific Brands 145,201 305 PaperlinX 78,600 246 ------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------------------------- Promina Group 151,517 $ 784 Qantas Airways 386,453 1,510 QBE Insurance Group 358,903 7,336 Rinker Group 120,430 1,773 Rio Tinto 39,373 2,306 Santos 202,589 1,647 Specialty Fashion Group 12,000 15 St George Bank 17,800 459 Suncorp-Metway (B) 32,407 523 Sunland Group 55,100 141 TABCORP Holdings 40,100 516 Telstra 336,906 1,003 Telstra (B) 20,060 33 Toll Holdings 67,155 892 Westpac Banking 19,547 377 Woolworths 232,738 4,042 Zinifex 39,900 536 ---------- 51,521 ---------- AUSTRIA -- 0.6% Agrana Beteiligungs 3,500 343 Boehler-Uddeholm 10,788 685 Conwert Immobilien Invest* 16,500 358 Erste Bank der Oesterreichischen Sparkassen 8,878 647 OMV 35,300 1,895 Raiffeisen International Bank Holding (B) 3,784 445 Telekom Austria 73,200 1,941 Voestalpine 91,500 4,540 ---------- 10,854 ---------- BELGIUM -- 1.0% AGFA-Gevaert 17,000 404 Belgacom (B) 30,237 1,296 Cofinimmo+ 184 37 Compagnie Maritime Belge 2,461 97 D'ieteren 179 60 Delhaize Group (B) 15,088 1,201 Dexia 68,594 1,873 Fortis 85,300 3,481 Fortis (Netherlands Line) 112,930 4,608 InBev 13,711 901 KBC Groep 10,800 1,216 Mobistar 15,007 1,261 Omega Pharma 10,800 747 Solvay (B) 836 119 UCB (B) 14,717 935 ---------- 18,236 ---------- BERMUDA -- 0.0% Frontline (B) 19,800 706 ---------- -------------------------------------------------------------------------------- 144 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 ------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------------------------- BRAZIL -- 0.1% Gerdau ADR 38,925 $ 613 Uniao de Bancos Brasileiros ADR 7,200 610 ---------- 1,223 ---------- CANADA -- 2.2% Abitibi-Consolidated (B) 60,800 141 Alcan 59,800 2,868 Bombardier, Cl B* 158,300 527 Cameco 53,531 2,028 Canadian Natural Resources 44,100 2,390 EnCana 20,400 1,060 Gerdau Ameristeel 86,800 863 Kinross Gold* 264,350 3,319 LionOre Mining International* 136,600 1,409 Manulife Financial (B) 16,500 545 Methanex 27,600 683 Nexen 27,325 1,496 Potash Saskatchewan (B) 19,500 2,748 Research In Motion* 18,400 2,554 Rogers Communications, Cl B 90,500 5,545 Suncor Energy (B) 16,100 1,269 Teck Cominco, Cl B (B) 97,250 7,328 TELUS 16,773 807 Toronto-Dominion Bank (B) 12,100 710 ---------- 38,290 ---------- CHINA -- 0.1% China Petroleum & Chemical, Cl H 1,106,000 874 Foxconn International Holdings (B)* 420,000 1,269 Industrial & Commercial Bank of China 538,000 273 ---------- 2,416 ---------- DENMARK -- 0.4% AP Moller - Maersk 54 506 Carlsberg, Cl B 8,731 833 Danske Bank (B) 68,398 2,992 DSV 4,000 708 East Asiatic 2,250 132 Novo-Nordisk, Cl B 16,650 1,286 Sydbank 19,906 848 Topdanmark* 1,949 311 ---------- 7,616 ---------- FINLAND -- 1.0% Fortum 153,350 4,486 Huhtamaki 17,100 321 Kemira 19,200 405 Metso 5,900 272 Neste Oil 55,000 1,773 Nokia 165,132 3,325 ------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------------------------- Nokia ADR 4,200 $ 85 OKO Bank, Cl A 55,900 902 Outokumpu 39,788 1,334 Sampo, Cl A 33,800 854 Stora Enso, Cl R 31,200 487 Tietoenator 13,500 385 UPM-Kymmene 119,100 2,968 ---------- 17,597 ---------- FRANCE -- 10.6% Accor 11,386 829 Air France-KLM 111,568 4,456 Air Liquide 3,165 717 Alstom* 22,400 2,605 Arkema* 4,593 229 Assurances Generales de France 40,070 5,944 Atos Origin* 600 34 AXA (B) 171,064 6,485 BNP Paribas 151,179 16,302 Bouygues 66,757 3,967 Business Objects 20,000 772 Capgemini 98,085 5,983 Carrefour 10,400 651 Casino Guichard Perrachon 36,069 3,294 Christian Dior 11,200 1,178 Cie de Saint-Gobain 81,180 6,483 Cie Generale d'Optique Essilor International 5,022 540 Ciments Francais 4,100 766 Club Mediterranee* 1,274 72 CNP Assurances (B) 20,400 2,138 Compagnie Generale des Etablissements Michelin, Cl B 37,817 3,288 Credit Agricole 231,828 9,824 Dassault Systemes (B) 8,055 440 Faurecia 2,114 144 Financiere de L'Odet 552 217 France Telecom 123,170 3,200 Gaz de France (B) 15,749 680 Groupe Danone 49,273 7,589 L'Oreal 12,429 1,254 Lafarge 36,705 5,337 Neopost 6,100 785 Nexans 3,400 364 Nexity 1,328 90 PagesJaunes Groupe 14,600 297 Peugeot 18,600 1,161 PPR 14,400 2,199 Provimi 7,371 342 Renault 67,454 8,092 Safran 32,500 699 Sanofi-Aventis 170,105 14,950 Sanofi-Aventis (Germany Line)* 822 72 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 145 SCHEDULE OF INVESTMENTS (Unaudited) International Equity Fund (Continued) November 30, 2006 ------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------------------------- Schneider Electric 31,329 $ 3,395 SCOR (B) 911,120 2,609 Societe Generale 78,919 13,233 Societe Television Francaise 1 63,400 2,348 Sodexho Alliance 13,500 791 Suez (B)* 73,543 3,534 Thales 24,400 1,167 Total (B) 245,375 17,418 Vallourec 15,474 4,160 Veolia Environnement 20,800 1,378 Vinci (B) 50,520 6,352 Vivendi 189,629 7,302 ---------- 188,156 ---------- GERMANY -- 6.7% Allianz 39,683 7,730 Altana (B) 17,489 1,021 BASF 72,656 6,711 Bayer 219,616 11,333 Bayerische Motoren Werke 39,200 2,165 Commerzbank 157,020 5,655 Continental 46,148 5,246 DaimlerChrysler (B) 125,123 7,271 Deutsche Bank 55,393 7,150 Deutsche Boerse 8,149 1,365 Deutsche Lufthansa 222,600 5,547 Deutsche Post (B) 118,244 3,527 E.ON 82,836 10,647 Fresenius Medical Care 30,830 4,141 GEA Group 27,900 554 Heidelberger Druckmaschinen 10,400 452 Hypo Real Estate Holding 70,200 4,089 Infineon Technologies* 89,000 1,142 MAN 23,900 2,281 Muenchener Rueckversicherungs (B) 55,888 9,112 Puma Rudolf Dassler Sport 2,100 761 RWE 37,233 4,225 Salzgitter 6,900 830 SAP 10,387 2,173 Siemens (B) 41,070 3,913 Suedzucker 62,035 1,516 ThyssenKrupp 91,984 3,553 TUI (B) 86,200 1,821 Volkswagen (B) 22,340 2,436 Wincor Nixdorf* 1,607 231 ---------- 118,598 ---------- GREECE -- 0.3% Alpha Bank 6,690 209 Coca Cola Hellenic Bottling 25,810 944 Hellenic Telecommunications Organization 44,140 1,284 ------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------------------------- National Bank of Greece 17,350 $ 796 OPAP 43,800 1,649 Piraeus Bank 1 -- Titan Cement 6,730 365 ---------- 5,247 ---------- HONG KONG -- 2.3% ASM Pacific Technology 35,000 192 Bank of East Asia 763,900 4,120 BOC Hong Kong Holdings 1,079,700 2,601 Cathay Pacific Airways 141,000 335 Cheung Kong Holdings 75,000 886 China Mobile Hong Kong 602,500 5,066 China Netcom Group 328,000 654 CLP Holdings 185,000 1,228 Esprit Holdings 41,000 425 eSun Holdings* 8,000 8 Hang Lung Group 80,000 204 Hang Lung Properties 850,400 1,891 Henderson Land Development 380,600 2,119 Hong Kong & China Gas 176,000 389 Hong Kong Exchanges and Clearing 288,500 2,544 Hongkong & Shanghai Hotels 129,500 200 HongKong Electric Holdings 27,000 127 Hopewell Holdings 119,000 396 Hopson Development Holdings 46,000 113 Hysan Development 856,800 2,264 Jardine Strategic Holdings 3,000 35 Kerry Properties 76,500 309 Kingboard Chemical Holdings (B) 79,000 318 Li & Fung 659,200 1,915 New World Development 1,329,000 2,430 NWS Holdings 88,000 201 Shangri-La Asia 1,007,500 2,591 Sino Land (B) 1,547,410 2,905 Sun Hung Kai Properties 56,800 643 Swire Pacific, Cl A 191,600 2,025 Techtronic Industries 500,800 671 Vtech Holdings 38,000 239 Wharf Holdings 54,000 189 Wheelock 121,000 221 ---------- 40,454 ---------- HUNGARY -- 0.1% MOL Hungarian Oil & Gas 7,600 856 ---------- INDIA -- 0.1% Canara Bank 100,000 666 Punjab National Bank 46,000 560 ---------- 1,226 ---------- -------------------------------------------------------------------------------- 146 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 ------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------------------------- IRELAND -- 0.3% Allied Irish Banks 69,300 $ 1,934 Bank of Ireland 11,056 237 CRH 50,121 1,890 Depfa Bank 41,500 754 Dragon Oil* 120,894 428 Experian Group 9,933 115 Fyffes 35,854 78 ---------- 5,436 ---------- ISRAEL -- 0.1% Bank Hapoalim 280,300 1,352 Teva Pharmaceutical Industries ADR 12,600 404 ---------- 1,756 ---------- ITALY -- 3.8% Alitalia* 304,000 343 Arnoldo Mondadori Editore 40,000 402 Banca Intesa 229,852 1,625 Banca Popolare dell'Emilia Romagna 3,253 75 Banca Popolare di Milano 149,020 2,416 Banche Popolari Unite (B) 162,605 4,302 Banco Popolare di Verona e Novara 128,446 3,613 Beni Stabili 46,644 65 Buzzi Unicem 50,900 1,368 Capitalia 386,885 3,564 Enel 20,110 206 ENI (B) 372,167 12,195 Fiat (B) 450,730 8,371 Fiat RNC 83,710 1,489 Finmeccanica 98,800 2,453 Fondiaria-Sai 68,366 3,146 IFIL - Investments 395,443 3,124 Italcementi 60,498 1,642 Lottomatica 17,400 685 Pirelli & C 2,374,767 2,295 Sanpaolo IMI 118,600 2,625 Snam Rete Gas 143,700 795 Telecom Italia Media (B) 645,520 314 Telecom Italia RNC 545,807 1,451 UniCredito Italiano 952,991 8,236 ---------- 66,800 ---------- JAPAN -- 19.3% 77 Bank 131,300 881 ADEKA 10,900 107 Advantest 23,000 1,205 Aeon* 97,200 2,294 Aeon Credit Service 40,500 793 Aisin Seiki 21,800 688 All Nippon Airways* 12,000 44 ------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------------------------- Alps Electric 11,600 $ 113 Amada 64,000 650 Aoyama Trading 8,300 234 Asahi Breweries 23,700 342 Asahi Diamond Industrial 8,000 56 Asahi Kasei 182,200 1,177 Astellas Pharma 5,300 232 Autobacs Seven 4,700 171 Bank of Yokohama 16,100 123 BML 2,400 50 Bridgestone 46,000 1,008 Canon 163,201 8,636 Cawachi 1,700 47 Chiyoda 15,000 284 Chugoku Bank 6,000 79 Citizen Watch 47,400 356 Coca-Cola West Holdings 44,600 945 COMSYS Holdings 24,000 239 CSK Holdings 19,200 838 Dai Nippon Printing 45,000 675 Daicel Chemical Industries 44,000 307 Daiichi Sankyo 44,900 1,382 Daimaru 5,700 73 Dainippon Screen Manufacturing 103,600 913 Daiwa House Industry 23,000 404 Daiwa Securities Group 82,000 941 Denso 26,200 995 Dentsu 300 825 East Japan Railway 170 1,194 EDION 22,900 334 Eighteenth Bank 9,000 46 Elpida Memory* 19,000 927 FamilyMart 19,700 540 Fanuc 22,100 2,016 Fast Retailing 9,100 803 Fuji Fire & Marine Insurance* 52,000 208 Fuji Heavy Industries 83,000 431 Fuji Photo Film 108,300 4,317 Fuji Soft 4,600 111 Fujikura 122,000 1,076 Fujitsu 124,000 1,014 Fukuyama Transporting 30,000 107 Goodwill Group (B) 1,500 1,336 Gunze 40,000 207 Hankyu Holdings (B) 78,000 486 Heiwa 12,200 153 Hirose Electric 5,700 670 HIS 3,600 87 Hitachi 418,100 2,487 Hitachi Cable 466,000 2,401 Hitachi High-Technologies 14,400 421 Hitachi Metals 38,000 406 Hokkaido Electric Power 53,900 1,328 Hokkoku Bank 2,000 8 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 147 SCHEDULE OF INVESTMENTS (Unaudited) International Equity Fund (Continued) November 30, 2006 ------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------------------------- Honda Motor 185,900 $ 6,590 Hoya 19,100 753 Ibiden 10,700 537 Idemitsu Kosan (B) 4,800 511 Inpex Holdings 66 569 Itochu 301,100 2,434 Itochu Techno-Science 15,000 905 Japan Airport Terminal 10,600 120 Japan Steel Works (B) 474,800 3,506 Japan Tobacco 1,460 6,476 JFE Holdings (B) 159,500 7,364 Joyo Bank 15,000 85 JS Group 67,000 1,341 Kamigumi 29,000 241 Kansai Electric Power 37,000 925 Kao 34,500 931 Kato Sangyo 1,500 18 Kawasaki Heavy Industries 24,000 86 Kawasaki Kisen Kaisha 10,000 72 KDDI 223 1,492 Keyence 1,900 437 Kirin Brewery 15,000 212 Kobe Steel 622,300 1,921 Komatsu 100,000 1,820 Komori 61,900 1,177 Konica Minolta Holdings 51,000 741 Kubota 77,000 678 Kuraray 74,200 844 Kyocera 4,000 361 Kyushu Electric Power 70,400 1,790 Leopalace21 83,500 2,809 Mabuchi Motor 14,900 877 Maeda* 21,000 74 Makita (B) 48,900 1,412 Marubeni 134,000 682 Maruichi Steel Tube 9,500 238 Matsushita Electric Industrial 46,000 897 Millea Holdings 24,000 863 Mitsubishi 253,800 4,740 Mitsubishi Chemical Holdings 347,500 2,115 Mitsubishi Electric 46,000 419 Mitsubishi Estate 317,900 7,861 Mitsubishi Gas Chemical 69,000 674 Mitsubishi Heavy Industries 453,900 1,974 Mitsubishi UFJ Financial Group 826 10,564 Mitsubishi UFJ Securities 51,000 605 Mitsui (B) 153,700 2,100 Mitsui Chemicals 476,000 3,544 Mitsui Mining & Smelting 72,000 342 Mitsui OSK Lines (B) 379,000 3,477 Mitsui Sumitomo Insurance 87,000 1,074 Mitsui Trust Holdings 9,000 96 Mitsumi Electric (B) 61,800 1,074 Mizuho Financial Group 806 5,938 ------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------------------------- Murata Manufacturing 8,080 $ 552 Nagase* 16,000 188 Nankai Electric Railway* 56,000 202 Nanto Bank 14,000 70 NEC 135,000 646 Net One Systems 600 887 NGK Spark Plug 53,100 971 Nichirei 12,000 69 Nikko Cordial 58,000 717 Nikon (B) 146,300 3,023 Nintendo 18,660 4,453 Nippo* 7,000 51 Nippon Electric Glass 74,800 1,627 Nippon Express 56,000 303 Nippon Light Metal (B) 34,000 83 Nippon Mining Holdings 378,900 2,768 Nippon Oil 70,000 498 Nippon Paper Group 600 2,231 Nippon Sheet Glass (B) 559,500 2,487 Nippon Steel 697,000 3,134 Nippon Telegraph & Telephone 1,495 7,575 Nippon Yusen Kabushiki Kaisha 20,000 140 Nissan Diesl Motor* 33,000 111 Nissan Motor* 371,960 4,541 Nissan Shatai 17,000 87 Nisshin Seifun Group 47,500 469 Nitto Denko 29,200 1,411 Nomura Holdings 23,000 404 Nomura Research Institute 5,900 842 NSK 72,000 639 NTT Data 335 1,686 NTT DoCoMo 780 1,194 NTT Urban Development 35 306 Obayashi 262,000 1,654 Obic 4,000 834 Odakyu Electric Railway (B) 81,800 534 Okasan Holdings 22,000 153 Oki Electric Industry (B) 1,406,100 3,234 Ono Pharmaceutical* 11,700 598 Orient* 91,000 173 ORIX 37,110 10,172 Osaka Gas 109,000 393 PanaHome 15,000 108 Park24 (B) 59,800 814 Rakuten 1,900 864 Ricoh 101,000 1,921 Rohm 5,600 517 Round One 200 688 Ryohin Keikaku 11,600 899 Sankyo 19,700 1,010 Santen Pharmaceutical 3,500 101 Sanwa Shutter 22,000 127 Sanyo Electric* 163,000 234 Sega Sammy Holdings 17,600 444 Seikagaku 1,000 10 -------------------------------------------------------------------------------- 148 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 ------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------------------------- Seiko Epson (B) 55,300 $ 1,348 Seino Transportation 230,000 2,291 Sekisui Chemical 252,800 2,138 Sekisui House 42,000 636 Sharp 166,000 2,797 Shimamura 5,200 606 Shin-Etsu Chemical 22,700 1,502 Shinko Securities 99,000 380 Shinsei Bank 228,000 1,352 Shizuoka Bank 84,400 864 SMC 14,700 2,020 Softbank (B) 254,700 5,340 Sojitz* 86,800 269 Sompo Japan Insurance 110,200 1,405 Sony (B) 77,600 3,073 Stanley Electric (B) 28,100 584 Sumco 23,000 1,730 Sumitomo 191,000 2,682 Sumitomo Bakelite 24,000 170 Sumitomo Chemical 196,000 1,318 Sumitomo Heavy Industries 279,000 2,760 Sumitomo Metal Industries 370,600 1,423 Sumitomo Metal Mining 101,000 1,322 Sumitomo Mitsui Financial Group 1,150 12,131 Sumitomo Realty & Development 52,000 1,659 Suruga Bank 67,400 895 Suzuken 38,200 1,354 Suzuki Motor 102,400 2,940 T&D Holdings 18,100 1,319 Taiheiyo Cement 37,000 148 Taisho Pharmaceutical 34,000 617 Taiyo Nippon Sanso 96,100 858 Taiyo Yuden (B) 150,100 2,528 Takeda Pharmaceutical 69,300 4,530 Takefuji 15,820 633 Tanabe Seiyaku (B) 101,600 1,294 TDK 5,800 444 Teijin 171,000 1,107 THK 33,500 869 TIS 98,800 2,379 TKC* 3,300 58 Toda 193,700 844 Tokushima Bank 5,000 31 Tokyo Dome 21,000 85 Tokyo Electric Power 247,300 7,719 Tokyo Electron 50,400 3,896 Tokyo Gas (B) 386,100 1,916 Tokyo Style 75,000 816 Tokyu 125,400 827 Tokyu Community 600 19 Toppan Printing 141,700 1,523 Toshiba (B) 504,400 3,232 Toyo Seikan Kaisha 117,600 1,939 Toyoda Gosei 36,600 832 ------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------------------------- Toyota Auto Body 12,000 $ 214 Toyota Motor 232,600 14,118 Trend Micro 30,000 908 TV Asahi 106 204 UNY 50,000 604 Ushio 24,600 492 USS 18,280 1,163 Valor 5,500 72 West Japan Railway 170 778 Yahoo! Japan (B) 2,246 886 Yamada Denki 17,370 1,648 Yamaguchi Financial Group* 6,000 65 Yamaha 31,700 663 Yamaha Motor 41,200 1,133 Yamato Transport 83,400 1,279 Yamazaki Baking (B) 13,000 127 Yaskawa Electric (B) 80,000 881 ---------- 343,141 ---------- LUXEMBOURG -- 0.1% Colt Telecom Group* 28,085 74 SES Global FDR 81,800 1,366 SES Global FDR (Paris Exchange) 36,186 607 ---------- 2,047 ---------- MEXICO -- 0.6% America Movil ADR, Ser L 156,905 6,977 Fomento Economico Mexicano ADR 42,440 4,467 ---------- 11,444 ---------- NETHERLANDS -- 5.0% ABN AMRO Holding 252,848 7,612 Aegon 308,773 5,603 Akzo Nobel 108,190 6,208 ASML Holding* 31,600 786 Buhrmann 107,000 1,506 CSM 6,801 253 European Aeronautic Defense and Space (B) 48,610 1,431 Fugro 12,954 600 Heineken 39,089 1,907 Heineken Holding 27,136 1,118 ING Groep 477,007 20,354 Koninklijke Ahold* 274,133 2,747 Koninklijke DSM 39,706 1,894 Koninklijke Philips Electronics 157,900 5,879 Koninklijke Wessanen 25,000 332 Mittal Steel 96,625 3,983 Randstad Holdings 4,927 316 Reed Elsevier 36,657 618 Royal Dutch Shell, Cl A (B) 228,144 8,063 Royal Dutch Shell, Cl A (GBP) (B) 78,872 2,793 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 149 SCHEDULE OF INVESTMENTS (Unaudited) International Equity Fund (Continued) November 30, 2006 ------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------------------------- Royal Dutch Shell, Cl B 137,750 $ 4,923 Royal KPN 281,210 3,858 Unilever 87,844 2,321 Vedior 120,400 2,300 Wolters Kluwer* 58,400 1,637 ---------- 89,042 ---------- NEW ZEALAND -- 0.2% Auckland International Airport 174,700 258 Fisher & Paykel Appliances Holdings (B) 288,000 807 Telecom of New Zealand 564,605 1,774 ---------- 2,839 ---------- NORWAY -- 0.8% DnB 149,065 2,026 Norsk Hydro 90,165 2,233 Norske Skogindustrier 46,928 781 Orkla 32,319 1,813 PAN Fish* 909,900 799 ProSafe 11,100 756 Statoil 51,800 1,438 Tandberg Television (B)* 72,800 816 Telenor 86,300 1,482 TGS Nopec Geophysical* 53,460 1,037 Yara International 30,937 644 ---------- 13,825 ---------- PORTUGAL -- 0.5% Banco Comercial Portugues 1,057,550 3,589 Banco Espirito Santo 63,384 1,084 Portugal Telecom 171,900 2,215 PT Multimedia Servicos de Telecomunicacoes e Multi 13,807 177 Sonae 1,146,300 2,279 ---------- 9,344 ---------- RUSSIA -- 0.3% OAO Gazprom ADR 96,650 4,514 ---------- SINGAPORE -- 1.0% DBS Group Holdings 425,700 5,803 Flextronics International* 107,100 1,205 Jardine Cycle & Carriage 27,000 247 Kim Eng Holdings 98,000 93 SembCorp Industries 111,000 267 Singapore Airlines 223,918 2,282 Singapore Exchange 232,800 808 Singapore Petroleum 34,000 98 Singapore Post 1,111,900 751 Singapore Telecommunications 2,174,950 4,066 United Industrial 193,000 230 ------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------------------------- United Overseas Bank 115,100 $ 1,390 UOL Group 184,000 537 ---------- 17,777 ---------- SOUTH AFRICA -- 0.3% ABSA Group 40,100 630 Harmony Gold Mining* 94,100 1,590 Sanlam 379,530 941 Sasol 84,276 2,954 ---------- 6,115 ---------- SOUTH KOREA -- 0.9% Honam Petrochemical 12,900 880 Industrial Bank of Korea 26,750 486 INI Steel 29,790 1,112 Kookmin Bank 17,670 1,377 POSCO 4,200 1,320 Samsung Electronics 8,120 5,574 Samsung Electronics GDR (F) 4,492 1,536 Shinhan Financial Group 90,300 4,397 ---------- 16,682 ---------- SPAIN -- 3.4% Acciona 399 73 Acerinox (B) 22,266 609 Actividades Construcciones y Servicios (B) 120,027 6,711 Altadis 44,940 2,252 Antena 3 de Television (B) 34,500 823 Banco Bilbao Vizcaya Argentaria (B) 351,765 8,510 Banco Popular Espanol 146,546 2,578 Banco Sabadell 26,800 1,067 Banco Santander Central Hispano 635,390 11,547 Ebro Puleva 112,179 2,647 Enagas 11,900 298 Endesa (B) 69,346 3,225 Gamesa Corp Tecnologica 31,900 841 Gas Natural SDG 66,800 2,727 Iberdrola (B) 12,573 558 Iberia Lineas Aereas de Espana 708,000 2,487 Inditex 26,879 1,363 Indra Sistemas 32,700 796 Repsol 191,891 6,893 Sol Melia 25,200 495 Telefonica (B) 239,268 4,849 ---------- 61,349 ---------- SWEDEN -- 1.5% Alfa Laval 19,800 769 Assa Abloy, Cl B 30,700 625 Atlas Copco, Cl A (B) 176,830 5,208 -------------------------------------------------------------------------------- 150 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 ------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------------------------- Axfood 21,900 $ 824 Billerud 47,500 819 Boliden* 7,754 187 Electrolux, Cl B 40,000 751 Elekta, Ser B 35,100 768 Eniro 60,600 766 Kungsleden 57,600 804 Lundin Petroleum (B)* 66,300 708 Scania, Cl B (B)* 14,400 983 Skandinaviska Enskilda Banken, Cl A 46,630 1,370 SKF, Cl B 52,000 851 Ssab Svenskt Stal, Cl A 4,180 88 Svenska Cellulosa, Cl B 31,637 1,552 Svenska Handelsbanken, Cl A 17,837 481 Swedish Match 57,131 1,013 Telefonaktiebolaget LM Ericsson, Cl B 286,215 1,109 TeliaSonera 302,471 2,288 Trelleborg, Cl B 19,000 411 Volvo, Cl B 62,745 4,081 ---------- 26,456 ---------- SWITZERLAND -- 5.6% ABB (B) 125,877 2,033 Adecco 12,613 836 Bobst Group 2,482 117 Bucher Industries 134 14 Clariant 37,000 520 Compagnie Financiere Richemont, Cl A 64,631 3,482 Credit Suisse Group 240,282 15,894 Elektrizitaets-Gesellschaft Laufenburg 420 412 Energiedienst Holding 500 219 Geberit 324 470 Helvetia Holding 1,320 420 Holcim 51,609 4,631 Motor Columbus 75 495 Nestle (B) 18,302 6,462 Novartis 278,676 16,248 OC Oerlikon 5,600 2,384 Petroplus Holdings* 5,176 302 Phonak Holding 4,202 314 PSP Swiss Property 13,800 763 Rieter Holding 1,429 716 Roche Holding 70,995 12,830 Romande Energie Holding 340 393 Straumann Holding 3,100 774 Swatch Group 5,233 223 Swiss Life Holding 3,440 847 Swiss Reinsurance 70,393 6,011 Swisscom 4,339 1,590 ------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------------------------- UBS 141,006 $ 8,480 Xstrata 104,050 4,667 Zurich Financial Services 27,456 7,139 ---------- 99,686 ---------- TAIWAN -- 0.2% Chunghwa Telecom ADR 461 9 Compal Electronics 1,027,482 942 HON HAI Precision Industry GDR 40,595 581 Taiwan Semiconductor Manufacturing 525,602 1,062 Taiwan Semiconductor Manufacturing ADR (B) 157,875 1,697 ---------- 4,291 ---------- THAILAND -- 0.0% PTT 101,300 649 ---------- UNITED KINGDOM -- 16.8% 3i Group 112,062 2,147 Acergy* 152,450 2,989 Alliance Boots 1 -- Amvescap 268,600 2,906 Anglo American 151,611 7,044 Antofagasta 33,703 318 ARM Holdings 84,487 199 AstraZeneca 157,599 9,145 AstraZeneca (SEK) 55,554 3,216 Aviva 671,387 10,400 BAE Systems 880,500 6,703 Balfour Beatty 21,462 176 Barclays 818,196 10,952 Barratt Developments 91,496 1,988 Bellway 86,465 2,481 Berkeley Group Holdings 21,800 696 BHP Billiton 348,958 6,624 Bovis Homes Group 11,695 233 BP 1,301,343 14,693 Brambles Industries 125,817 1,279 Brit Insurance Holdings 46,000 274 British Airways* 440,203 4,267 British American Tobacco 134,643 3,811 British Land 91,628 2,745 Brixton 196,416 2,106 BT Group 91,085 509 Burberry Group 53,400 632 Cadbury Schweppes 47,399 488 Carnival 27,245 1,326 Carphone Warehouse Group 72,000 383 Cattles 275,500 2,184 Close Brothers Group 106,200 2,056 Compass Group 607,600 3,430 Cookson Group 188,899 2,203 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 151 SCHEDULE OF INVESTMENTS (Unaudited) International Equity Fund (Continued) November 30, 2006 ------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------------------------- Corus Group 61,600 $ 607 Diageo 229,775 4,414 Drax Group* 1 -- DSG International 484,100 1,857 Emap 15,330 256 Enterprise Inns 171,407 4,144 Firstgroup 13,388 145 Friends Provident 873,000 3,572 Gallaher Group 6,080 114 GKN 143,523 824 GlaxoSmithKline 495,214 13,160 Group 4 Securicor 172,200 575 Hammerson 6,718 191 Hanson 50,180 720 Hays 95,230 280 HBOS 668,809 13,695 HSBC Holdings 511,753 9,442 Imperial Chemical Industries 55,500 454 Imperial Tobacco Group 19,082 701 Inchcape 252,415 2,481 Intercontinental Hotels Group -- -- International Power 42,878 286 Investec 62,000 737 ITV 290,500 639 J Sainsbury 784,990 6,161 Kazakhmys 42,800 978 Kesa Electricals 85,200 597 Kingfisher 117,800 563 Ladbrokes 60,615 481 Legal & General Group 906,710 2,702 Lloyds TSB Group 174,881 1,859 London Stock Exchange Group 24,078 619 Man Group 217,300 2,026 Marks & Spencer Group 379,000 5,092 Michael Page International 120,289 965 Mitchells & Butlers 141,473 1,864 National Grid 139,243 1,883 Next 17,116 599 Old Mutual 471,000 1,538 Pearson 42,545 628 Persimmon 54,340 1,561 Prudential 178,400 2,318 Punch Taverns 70,018 1,589 Reckitt Benckiser 17,363 773 Reed Elsevier (B) 227,630 2,489 Reuters Group 236,800 2,108 Rio Tinto (B) 186,777 9,975 Royal & Sun Alliance Insurance Group 621,028 1,796 Royal Bank of Scotland Group 728,458 26,394 SABMiller 146,815 3,070 Scottish & Newcastle 348,143 3,698 Scottish & Southern Energy 56,085 1,605 Scottish Power 358,215 5,320 Severn Trent 29,600 851 ------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands)(1) ($ Thousands) ------------------------------------------------------------------------------- Smith & Nephew 63,900 $ 606 Stagecoach Group 67,541 189 Standard Chartered 76,932 2,208 Stolt-Nielsen 25,917 791 Tate & Lyle 5,517 86 Taylor Woodrow 537,610 4,129 Tesco 156,200 1,202 Travis Perkins 58,200 1,986 Trinity Mirror 18,178 182 Unilever (B) 125,517 3,365 United Business Media 19,083 263 United Utilities 30,001 445 Vodafone Group 5,940,513 15,717 Whitbread 1 -- William Hill 102,300 1,260 Wimpey George 150,788 1,640 Wolseley 64,800 1,517 WPP Group 23,106 307 Yell Group 107,300 1,214 ---------- 299,106 ---------- Total Common Stock (Cost $1,276,975) ($ Thousands) 1,585,295 ---------- ASSET-BACKED SECURITIES -- 6.4% MORTGAGE RELATED SECURITIES -- 6.4% ACE Securities, Ser 2003-NC1, Cl M (D) 6.100%, 12/25/06 $ 600 603 ACE Securities, Ser 2003-OP1, Cl M1 (D) 6.020%, 12/26/06 250 251 Aames Mortgage Investment Trust, Ser 2005-4, Cl B2 (D) 8.070%, 12/12/06 110 99 American Home Mortgage Investment Trust, Ser 2004-3, Cl 2A (D) 3.590%, 10/25/34 818 816 American Home Mortgage Investment Trust, Ser 2005-1, Cl 6A (D) 5.294%, 12/25/06 5,416 5,403 American Home Mortgage Investment Trust, Ser 2005-4, Cl 5A (D) 5.350%, 12/25/06 1,960 1,962 American Home Mortgage Investment Trust, Ser 2006-1, Cl 2A3 (D) 5.100%, 12/25/06 1,439 1,423 -------------------------------------------------------------------------------- 152 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(1) ($ Thousands) ------------------------------------------------------------------------------- Ameriquest Mortgage Securities, Ser 2003-2, Cl M1 (D) 6.220%, 12/25/06 $ 380 $ 381 Argent Securities, Ser 2003-W5, Cl M1 (D) 6.020%, 12/25/06 250 253 Argent Securities, Ser 2003-W9, Cl M1 (D) 6.010%, 12/26/06 343 345 Asset-Backed Securities Home Equity Loan Trust, Ser 2003-HE5, Cl M1 (D) 6.070%, 12/15/06 456 458 Asset-Backed Securities Home Equity Loan Trust, Ser 2003-HE7, Cl M2 (D) 7.080%, 12/15/06 205 208 Banc of America Commercial Mortgage, Ser 2006-2, Cl A1 5.611%, 12/01/06 828 840 Banc of America Funding, Ser 2006-A, Cl 2A2 (D) 5.485%, 12/01/06 214 214 Banc of America Mortgage Securities, Ser 2004-10, Cl 2A1 5.000%, 12/25/19 656 645 Basic Asset Backed Securities Trust, Ser 2006-1, Cl A1 (D) 5.400%, 12/25/06 2,680 2,680 Bear Stearns NIM Trust, Ser 2005-AQ2N, Cl A1 (F) 5.500%, 09/25/35 27 27 Centex Home Equity, Ser 2004-D, Cl AV4 (D) 5.630%, 12/25/06 647 647 Chase Funding Mortgage Loan, Ser 2003-1, Cl 1A4 4.119%, 02/25/29 452 449 Chase Funding Mortgage Loan, Ser 2004-2, Cl 1A3 4.209%, 09/25/26 815 810 Commodore, Ser 2003-2A, Cl A1MM (C) (D) (F) 5.470%, 12/12/38 1,277 1,277 Countrywide Alternative Loan Trust, Ser 2004-33, Cl 1A1 (D) 4.999%, 12/01/06 861 870 Countrywide Alternative Loan Trust, Ser 2005-69, Cl M3 (D) 6.470%, 12/27/06 225 228 Countrywide Alternative Loan Trust, Ser 2005-IM1, Cl M3 (D) 7.320%, 12/27/06 338 338 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(1) ($ Thousands) ------------------------------------------------------------------------------- Countrywide Alternative Loan Trust, Ser 2006-0A11, Cl M3 (D) 5.750%, 12/30/06 $ 456 $ 456 Countrywide Asset-Backed Certificates, Ser 2003-5, Cl MV2 (D) 6.920%, 01/25/34 267 269 Countrywide Asset-Backed Certificates, Ser 2004-11, Cl A2 (D) 5.700%, 12/25/06 394 394 Countrywide Asset-Backed Certificates, Ser 2005-15, Cl 1AF1 (D) 5.460%, 12/25/06 843 843 Countrywide Asset-Backed Certificates, Ser 2006-IM1, Cl A1 (D) 5.410%, 12/27/06 1,423 1,423 Countrywide Home Equity Loan Trust, Ser 2006-D, Cl 2A (D) 5.520%, 12/30/06 3,036 3,036 Countrywide Home Loans, Ser 2004-22, Cl A1 (D) 5.090%, 12/01/06 660 659 Countrywide Home Loans, Ser 2006-HYB1, Cl 1A1 (D) 5.398%, 12/20/06 1,125 1,126 Countrywide Home Loans, Ser 2006-HYB2, Cl 1A1 (D) 5.152%, 12/20/06 1,984 1,979 Credit Suisse Asset-Backed Mortgage Trust, Ser 2006-1, Cl A1B (D) 5.540%, 12/26/06 929 930 DLSA Mortgage Loan Trust, Ser 2006-AR1, Cl M4 (D) 6.060%, 12/19/06 221 222 DSLA Mortgage Loan Trust, Ser 2004-AR4, Cl B1 (D) 5.920%, 12/19/06 345 348 DSLA Mortgage Loan Trust, Ser 2006-AR1, Cl M5 (D) 6.130%, 12/19/06 140 141 DSLA Mortgage Loan Trust, Ser 2006-AR1, Cl M7 (D) 7.070%, 12/19/06 140 141 Deustche Alternatives Securities Mortgage Loan Trust, Ser 2006-AB3, Cl A1 (D) 6.250%, 06/30/36 1,637 1,637 Duke Funding, Ser 2004-6B, Cl A1S1 (C) (D) (F) 5.440%, 10/09/07 2,081 2,081 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 153 SCHEDULE OF INVESTMENTS (Unaudited) International Equity Fund (Continued) November 30, 2006 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(1) ($ Thousands) ------------------------------------------------------------------------------- First Franklin Mortgage Loan Asset, Ser 2004-FF10, Cl A2 (D) 5.720%, 12/26/06 $ 270 $ 271 First Franklin Mortgage Loan Asset, Ser 2005-FF4, Cl 2A3 (D) 5.540%, 12/25/06 1,800 1,801 First Franklin Mortgage Loan Asset, Ser 2005-FFH3, Cl 2A1 (D) 5.450%, 12/26/06 120 120 First Horizon Alternative Mortgage Trust, Ser 2006-AA6, Cl 2A1 (D) 5.750%, 12/01/06 4,795 4,821 First Horizon Mortgage Pass- Through Trust, Ser 2006-AR3, Cl 1A1 (D) 5.915%, 12/01/06 982 985 GMAC Mortgage Loan Trust, Ser 2006-HE1, Cl A (D) 5.530%, 12/25/06 4,900 4,901 GSAA Home Equity NIM Trust, Ser 2006-2, Cl 2A1 (D) 5.420%, 12/27/06 4,279 4,279 GSAA Home Equity NIM Trust, Ser 2006-3N, Cl N1 (F) 5.750%, 03/25/36 51 51 GSAA Home Equity NIM Trust, Ser 2006-HE3N, Cl N1 (F) 5.500%, 05/25/36 91 91 Greenpoint Mortgage Funding Trust, Ser 2006-AR1, Cl M3 (D) 5.890%, 12/27/06 300 301 HSI Asset Securitization Trust, Ser 2005-NC2, Cl M2A1 (D) 5.450%, 12/25/06 608 608 Home Equity Asset NIM Trust, Ser 2003-4, Cl M2 (D) 7.220%, 12/25/06 355 356 Home Equity Asset NIM Trust, Ser 2006-1N, Cl A (F) 6.500%, 05/27/36 99 98 Impac NIM Trust, Ser 2006-1, Cl N (F) 6.000%, 03/25/36 87 87 Indymac Mortgage Loan Trust, Ser 2004-AR11, Cl 4A1 (D) 5.857%, 12/01/06 1,896 1,896 Indymac Mortgage Loan Trust, Ser 2004-AR6, Cl 1A (D) 5.469%, 12/01/06 272 279 Lehman Mortgage Trust, Ser 2006-4, Cl 4A1 6.000%, 08/25/21 3,425 3,476 Lehman XS Trust, Ser 2005-5N, Cl M4 (D) 7.070%, 12/31/06 525 510 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(1) ($ Thousands) ------------------------------------------------------------------------------- Lehman XS Trust, Ser 2005-7N, Cl M51 (D) 6.570%, 12/25/35 $ 120 $ 122 Lehman XS Trust, Ser 2005-7N, Cl M71 (D) 7.070%, 12/27/06 300 289 Lehman XS Trust, Ser 2005-9N, Cl M4 (D) 6.720%, 12/30/06 170 174 Master Adjustable Rate Mortgages, Ser 2004-6, Cl 2A1 (D) 3.859%, 07/25/34 3,782 3,754 Master Asset Backed Securities Trust, Ser 2002-OPT1, Cl M1 (D) 6.470%, 12/27/06 108 108 Master Asset Backed Securities Trust, Ser 2006-AB1, Cl A1 (D) 5.460%, 12/27/06 3,392 3,392 Merrill Lynch Mortgage Investors Trust, Ser 2003-HE1, Cl M2 (D) 6.970%, 12/25/06 150 150 Merrill Lynch Mortgage Investors Trust, Ser 2005-HE2, Cl A2A (D) 5.430%, 12/27/06 407 407 Merrill Lynch Mortgage Trust, Ser 2006-1, Cl 1A1 (D) 5.350%, 02/25/36 2,091 2,073 Morgan Stanley, Ser 2003-NC10, Cl M1 (D) 6.000%, 12/27/06 573 575 New Century Home Equity Loan Trust, Ser 2004-A, Cl AII3 (D) 4.450%, 12/01/06 959 953 New Century Home Equity Loan Trust, Ser 2005-A, Cl A2 (G) 4.461%, 12/25/06 2,259 2,240 New Century Home Equity Loan Trust, Ser 2005-B, Cl A2A (D) 5.440%, 12/25/06 903 903 Newcastle CDO Limited, Ser 2005-6A, Cl IM1 (C) (D) (F) 5.340%, 04/24/07 555 555 Nomura Asset Acceptance, Ser 2004-R1, Cl A1 (F) 6.500%, 03/25/34 404 414 Nomura Asset Acceptance, Ser 2004-R2, Cl A1 (D) (F) 6.500%, 10/25/34 480 491 Option One Mortgage Loan Trust, Ser 2003-5, Cl M1 (D) 5.970%, 12/23/06 400 401 Option One Mortgage Loan Trust, Ser 2006-1, Cl M10 (D) (F) 7.820%, 12/27/06 60 52 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 154 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(1) ($ Thousands) ------------------------------------------------------------------------------- Option One Mortgage Loan Trust, Ser 2006-1, Cl M11 (D) (F) 7.820%, 12/27/06 $ 140 $ 133 Ownit Mortgage Loan, Ser 2006-1, Cl AF1 (G) 5.424%, 12/25/36 1,248 1,242 Park Place Securities NIM Trust, Ser 2004-MM1, Cl AM6 (C) (D) 5.350%, 02/26/07 825 824 Renaissance Home Equity Loan Trust, Ser 2004-2, Cl AF3 (G) 4.464%, 07/25/34 997 993 Residential Accredit Loans, Ser 2005-Q05, Cl M3 (D) 6.120%, 12/25/06 399 405 Residential Accredit Loans, Ser 2005-QA3, Cl NB2 (D) 5.267%, 12/25/06 1,764 1,771 Residential Accredit Loans, Ser 2006-Q01, Cl 2A3 (D) 5.720%, 12/27/06 486 487 Residential Asset Mortgage Products, Ser 2003-RS11, Cl MII1 (D) 6.050%, 12/25/06 124 124 Residential Asset Mortgage Products, Ser 2006-RZ1, Cl A1 (D) 5.400%, 12/27/06 5,022 5,023 Residential Asset Securities, Ser 2005-KS11, Cl AI1 (D) 5.400%, 12/27/06 1,449 1,449 Residential Asset Securities, Ser 2006-EMX2, Cl A1 (D) 5.400%, 12/27/06 1,882 1,882 Residential Asset Securities, Ser 2006-KS2, Cl A1 (D) 5.390%, 12/27/06 3,122 3,122 Residential Asset Securitization Trust, Ser 2004-IP2, Cl 3A1 (D) 5.274%, 12/25/06 1,769 1,777 Resmae Mortgage Loan Trust, Ser 2006-1, Cl A2A (D) (F) 5.420%, 12/25/06 1,569 1,569 Resmae Mortgage Loan Trust, Ser 2006-1, Cl A2B (D) (F) 5.470%, 12/25/06 1,400 1,400 SB Finance NIM Trust, Ser 2006-KS4N, Cl N1 (F) 7.500%, 06/25/36 106 106 Saturn Ventures II (C) (D) 5.380%, 02/07/07 2,235 2,235 Sharps SP I LLC NIM Trust, Ser 2005-HE3N, Cl N (F) 5.000%, 05/25/35 210 210 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(1) ($ Thousands) ------------------------------------------------------------------------------- Structured Adjustable Rate Mortgage Loan, Ser 2005-16 XS, Cl M2 (D) 6.220%, 12/25/06 $ 200 $ 201 Structured Asset Investment Loan Trust, Ser 2005-1, Cl A4 (D) (F) 5.550%, 12/25/06 826 827 Structured Asset Investment Loan Trust, Ser 2005-8, Cl A2 (D) 5.450%, 12/25/06 427 427 Structured Asset Securities, Ser 2005-NC1, Cl A2 (G) 3.920%, 02/25/35 154 153 Structured Asset Securities, Ser 2005-WF1, Cl A2 (D) 5.520%, 12/25/06 736 737 TIAA Real Estate, Ser 2003-1A, Cl A1 (C) (D) (F) 5.350%, 09/28/07 2,064 2,064 Terwin Mortgage Trust, Ser 2006-5, Cl 1A2A (D) (F) 5.410%, 12/26/06 4,293 4,293 Terwin Mortgage Trust, Ser 2006-6, Cl 2A1 (D) 4.500%, 06/25/36 733 727 Wells Fargo Home Equity Trust, Ser 2004-2, Cl A12 (D) 3.450%, 06/25/19 650 646 Wells Fargo Mortgage Backed Securities Trust, Ser 2004-I, Cl B1 (D) 3.365%, 12/01/06 261 261 ---------- Total Asset-Backed Securities (Cost $113,708) ($ Thousands) 113,984 ---------- CORPORATE OBLIGATIONS -- 5.3% CONSUMER DISCRETIONARY -- 0.1% Comcast 5.300%, 01/15/14 530 525 Cox Communications 4.625%, 06/01/13 425 405 Omnicon Group 5.900%, 04/15/16 235 241 Time Warner 6.875%, 05/01/12 425 454 ---------- 1,625 ---------- -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 155 SCHEDULE OF INVESTMENTS (Unaudited) International Equity Fund (Continued) November 30, 2006 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(1) ($ Thousands) ------------------------------------------------------------------------------- ENERGY -- 0.1% Andarko Petroleum 5.950%, 09/15/16 $ -- $ -- Dominion Resources 4.750%, 12/15/10 285 281 Exelon Generation 6.950%, 06/15/11 425 452 Kinder Morgan Energy Partners 5.000%, 12/15/13 425 409 ---------- 1,142 ---------- FINANCIALS -- 5.1% Aetna 5.750%, 06/15/11 425 435 Allstate Life Global Funding II MTN (C) (D) (F) 5.360%, 12/17/07 1,277 1,277 American General Finance (C) (D) (F) 5.350%, 12/17/07 4,024 4,024 Bear Stearns EXL (C) (D) 5.360%, 12/17/07 4,940 4,940 Cit Group 5.000%, 02/13/14 565 553 Countrywide Financial MTN, Ser A (C) (D) 5.448%, 10/31/07 5,828 5,828 Credit Suisse First Boston USA 6.500%, 01/15/12 285 303 Dekabank (C) (D) (F) 5.394%, 11/20/07 5,134 5,134 Genworth Financial 5.750%, 06/15/14 425 440 Glitnir Bank (C) (D) (F) 5.370%, 04/06/07 6,522 6,522 Goldman Sachs 5.500%, 11/15/14 845 856 HSBC Finance 6.375%, 10/15/11 425 448 Irish Life & Permanent MTN, Ser X (C) (D) (F) 5.360%, 12/21/07 3,691 3,691 Istar Financial+ 5.875%, 03/15/16 285 287 JPMorgan Chase 5.125%, 09/15/14 425 422 Jackson National Life Funding (C) (D) (F) 5.320%, 12/03/07 6,106 6,106 Kaupthing Bank MTN (C) (D) (F) 5.380%, 03/20/07 6,938 6,938 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(1) ($ Thousands) ------------------------------------------------------------------------------- Landsbanki Islands (C) (D) (F) 5.400%, 03/16/07 $ 5,273 $ 5,273 Lehman Brothers Holdings 5.500%, 04/04/16 425 430 Merrill Lynch 6.050%, 05/16/16 425 446 Morgan Stanley 4.750%, 04/01/14 425 411 Morgan Stanley EXL (C) (D) 5.380%, 01/04/08 971 971 Morgan Stanley EXL, Ser S (C) (D) 5.340%, 12/05/07 1,388 1,388 Natexis Banques (C) (D) (F) 5.300%, 12/17/07 2,706 2,706 Nationwide Building Society (C) (D) (F) 5.424%, 10/26/07 1,526 1,526 5.350%, 12/07/07 2,775 2,775 Nordbank (C) (D) (F) 5.350%, 12/24/07 4,718 4,718 Northern Rock (C) (D) (F) 5.360%, 12/03/07 2,858 2,858 Pacific Life Global Funding (C) (D) (F) 5.370%, 12/13/07 2,081 2,081 Premium Asset Trust, Ser 2004-10 (C) (D) (F) 5.360%, 12/17/07 3,885 3,885 Residential Capital 6.875%, 06/30/15 75 80 6.500%, 04/17/13 1,115 1,157 6.000%, 02/22/11 200 203 SLM EXL, Ser S (C) (D) (F) 5.320%, 12/17/07 3,053 3,053 Shinsei Finance Cayman (D) (F) 6.418%, 01/29/49 490 498 Simon Property Group 5.750%, 12/01/15 285 295 5.600%, 09/01/11 240 244 Skandinav Enskilda Bank (C) (D) (F) 5.320%, 12/18/07 3,053 3,053 Stanfield Victoria MTN (C) 5.445%, 06/11/07 2,775 2,775 Wachovia 5.300%, 10/15/11 745 753 4.875%, 02/15/14 285 279 Washington Mutual Preferred Funding (D) (F) 6.534%, 03/15/49 500 496 ---------- 90,558 ---------- -------------------------------------------------------------------------------- 156 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(1) ($ Thousands) ------------------------------------------------------------------------------- HEALTH CARE -- 0.0% Teva Pharmaceutical 5.550%, 02/01/16 $ 425 $ 424 Wellpoint 6.800%, 08/01/12 285 306 ---------- 730 ---------- INDUSTRIALS -- 0.0% Lafarge 6.150%, 07/15/11 255 263 ---------- TELECOMMUNICATION SERVICES -- 0.0% Embarq 6.738%, 06/01/13 210 218 ---------- Total Corporate Obligations (Cost $94,055) ($ Thousands) 94,536 ---------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS -- 5.2% FHLMC ARM (I) 5.572%, 10/01/35 693 693 FNMA ARM (I) 5.524%, 01/01/36 736 739 FNMA 15 Year TBA 6.000%, 12/01/18 23,000 23,410 5.500%, 12/01/20 - 07/01/21 24,142 24,260 5.000%, 12/01/18 - 07/01/21 31,000 30,670 FNMA 30 Year TBA 6.500%, 01/01/32 4,000 4,080 GNMA ARM 5.625%, 02/20/34 866 867 5.500%, 12/30/06 - 05/20/34 1,606 1,616 5.250%, 08/20/34 262 262 4.500%, 07/20/35 - 06/20/36 1,368 1,372 4.500%, 03/20/36 (I) 572 572 4.000%, 06/20/35 - 02/20/36 (I) 1,175 1,174 3.750%, 12/20/33 2,406 2,367 ---------- Total U.S. Government Agency Mortgage-Backed Obligations (Cost $91,595) ($ Thousands) 92,082 ---------- ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(1)/Shares ($ Thousands) ------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS (E) -- 1.1% U.S. Treasury Bills (A) 5.033%, 12/28/06 $ 2,900 $ 2,889 4.948%, 12/21/06 550 548 4.942%, 02/22/07 2,698 2,668 4.919%, 01/18/07 3,850 3,825 4.770%, 12/14/06 100 100 U.S. Treasury Inflationary Index Notes 3.875%, 04/15/29 135 177 2.375%, 04/15/11 10,095 10,151 ---------- Total U.S. Treasury Obligations (Cost $20,303) ($ Thousands) 20,358 ---------- COMMERCIAL PAPER (C)(E)-- 1.0% FINANCIALS -- 1.0% Broadhollow Funding 5.305%, 12/07/06 1,554 1,553 KKR Pacific Funding Trust 5.345%, 12/27/06 2,775 2,765 5.305%, 01/02/07 1,388 1,381 Ocala Funding LLC 5.320%, 12/18/06 1,388 1,384 5.320%, 01/26/07 1,388 1,376 Rhineland Funding Capital 5.385%, 01/25/07 1,748 1,734 5.364%, 12/27/06 1,388 1,382 5.364%, 02/13/07 1,374 1,359 5.313%, 12/12/06 914 912 Witherspoon CDO Funding 5.330%, 03/15/07 2,395 2,395 Witherspoon CDO Funding Limited 5.329%, 12/15/06 1,388 1,385 ---------- Total Commercial Paper (Cost $17,626) ($ Thousands) 17,626 ---------- CASH EQUIVALENT -- 0.8% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.300% ** 14,248,370 14,248 ---------- Total Cash Equivalent (Cost $14,248) ($ Thousands) 14,248 ---------- -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 157 SCHEDULE OF INVESTMENTS (Unaudited) International Equity Fund (Continued) November 30, 2006 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(1)/Shares ($ Thousands) ------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.7% FHLMC CMO STRIPS, Ser 232, Cl IO, IO 5.000%, 08/01/35 $ 2,811 $ 633 FHLMC CMO STRIPS, Ser 233, Cl 12, IO 5.000%, 09/15/35 1,519 367 FHLMC DN (H) 5.213%, 02/06/07 5,300 5,249 5.204%, 04/17/07 75 74 5.180%, 03/30/07 150 147 FNMA CMO STRIPS, Ser 2006-10, Cl FD (D) 5.670%, 12/25/06 1,900 1,902 FNMA CMO STRIPS, Ser 359, Cl 6, IO 5.000%, 11/01/35 548 121 FNMA CMO STRIPS, Ser 360, Cl 2, IO 5.000%, 08/01/35 8,772 1,976 FNMA (H) 6.030%, 02/02/95 400 396 5.394%, 12/06/06 100 100 5.235%, 07/02/07 175 170 5.205%, 03/30/07 350 344 5.160%, 02/07/07 650 644 4.680%, 06/01/99 25 24 Total U.S. Government Agency Obligations (Cost $12,304) ($ Thousands) 12,147 ---------- EQUITY LINKED WARRANTS -- 0.4% TAIWAN -- 0.3% HON HAI Precision Industry* 696,360 5,065 ---------- THAILAND -- 0.1% High Tech Computer* 113,444 2,621 ---------- Total Equity Linked Warrants (Cost $4,601) ($ Thousands) 7,686 ---------- MASTER NOTE (C) (E) -- 0.4% Bank of America 5.383%, 12/01/45 6,938 6,938 ---------- Total Master Note (Cost $6,938) ($ Thousands) 6,938 ---------- ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)(1)/Shares ($ Thousands) ------------------------------------------------------------------------------- PREFERRED STOCK -- 0.3% BRAZIL -- 0.1% Petroleo Brasileiro 78,200 $ 1,653 Usinas Siderurgicas de Minas Gerais, Cl A 29,000 978 ---------- 2,631 ---------- GERMANY -- 0.2% Porsche 288 335 ProSiebenSat.1 Media 73,500 2,220 Volkswagen 3,380 235 ---------- 2,790 ---------- UNITED KINGDOM -- 0.0% Scottish Power, Cl B 1 -- ---------- Total Preferred Stock (Cost $3,421) ($ Thousands) 5,421 ---------- CERTIFICATES OF DEPOSIT (C) -- 0.3% Barclays Bank (D) 5.330%, 06/11/07 $ 1,388 1,388 CC USA MTN (F) 5.379%, 06/18/07 2,775 2,775 US Trust Company New York (D) 5.316%, 03/13/07 1,110 1,110 ---------- Total Certificates of Deposit (Cost $5,273) ($ Thousands) 5,273 ---------- EXCHANGE TRADED FUND -- 0.0% UNITED STATES -- 0.0% iShares MSCI EAFE Index Fund* 3,300 239 ---------- Total Exchange Traded Fund (Cost $237) ($ Thousands) 239 ---------- Number of Rights --------- RIGHTS -- 0.0% FRANCE -- 0.0% Arkema, Expires 06/29/06* -- -- Scor, Expires 11/29/06 (B) 911 109 ---------- 109 ---------- HONG KONG -- 0.0% Kingboard Laminate Entitlement, Expires 12/07/06 4 -- Total Rights (Cost $0) ($ Thousands) 109 ---------- -------------------------------------------------------------------------------- 158 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 ------------------------------------------------------------------------------- Contracts/ Market Value Description Face Amount ($ Thousands)(1) ($ Thousands) ------------------------------------------------------------------------------- PURCHASED OPTION -- 0.0% 120 Day Euro Futures Call, Expires 12/16/06, Strike Price $95 90 $ 79 ---------- Total Purchased Option (Cost $70) ($ Thousands) 79 ---------- REPURCHASE AGREEMENTS (C) (J) -- 1.8% ABN Amro 5.300%, dated 11/30/06, to be repurchased on 12/01/06, repurchase price $11,102,754 (collateralized by U.S. Government Obligations, ranging in par value $138,764- $4,162,920, 0.000%-6.000%, 03/01/07-07/01/36, total market value $11,323,142) $11,101 11,101 Barclays Capital 5.300%, dated 11/30/06, to be repurchased on 12/01/06, repurchase price $2,362,721 (collateralized by U.S. Government Obligations, ranging in par value $51,759- $736,004, 2.750%-5.700%, 12/15/06-05/27/15, total market value $2,409,659) 2,362 2,362 Deutsche Bank 5.300%, dated 11/30/06, to be repurchased on 12/01/06, repurchase price $944,900 (collateralized by U.S. Government Obligations, ranging in par value $263,374- $714,357, 0.000%-5.800%, 05/01/07-01/27/20, total market value $963,723) 945 945 Lehman Brothers 5.300%, dated 11/30/06, to be repurchased on 12/01/06, repurchase price $17,193,197 (collateralized by U.S. Government Obligations, ranging in par value $4,585,000- $772,981,000, 3.085%-6.300%, 12/15/06-05/27/15, total market value $17,534,582) 17,191 17,191 ---------- Total Repurchase Agreements (Cost $31,599) ($ Thousands) 31,599 ---------- Total Investments -- 112.8% (Cost $1,692,953) ($ Thousands) $2,007,620 ========== ------------------------------------------------------------------------------- Market Value Description Contracts ($ Thousands) ------------------------------------------------------------------------------- WRITTEN OPTION -- 0.0% 120 Day Euro Futures Call, Expires 12/15/06, Strike Price $95 (90) $ (96) ---------- Total Written Option (Premium Received $(63)) ($ Thousands) $ (96) ---------- A summary of the open futures contracts held by the Fund at November 30, 2006, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED APPRECIATION TYPE OF NUMBER OF EXPIRATION (DEPRECIATION) CONTRACT CONTRACTS DATE ($ THOUSANDS) -------------------------------------------------------------------------------- 90-Day Euro$ (58) Mar-2007 $ (2) 90-Day Euro$ (58) Mar-2008 (64) 90-Day Euro$ (44) Mar-2009 (62) 90-Day Euro$ (43) Mar-2010 (60) 90-Day Euro$ (34) Mar-2011 (57) 90-Day Euro$ (80) Jun-2007 (45) 90-Day Euro$ (53) Jun-2008 (60) 90-Day Euro$ (44) Jun-2009 (61) 90-Day Euro$ (47) Jun-2010 (67) 90-Day Euro$ 2 Jun-2011 2 90-Day Euro$ (58) Sep-2007 (40) 90-Day Euro$ (55) Sep-2008 (67) 90-Day Euro$ (44) Sep-2009 (62) 90-Day Euro$ (47) Sep-2010 (67) 90-Day Euro$ 4 Sep-2011 3 90-Day Euro$ (36) Dec-2006 12 90-Day Euro$ (58) Dec-2007 (54) 90-Day Euro$ (44) Dec-2008 (63) 90-Day Euro$ (44) Dec-2009 (61) 90-Day Euro$ (42) Dec-2010 (65) Amsterdam Exchange Index 52 Dec-2006 (260) CAC40 10 Euro 184 Dec-2006 (408) DAX Index 54 Dec-2006 662 DJ Euro Stoxx 50 Index 227 Dec-2006 367 Euro-Bund (24) Dec-2006 (37) FTSE 100 Index 338 Dec-2006 824 Hang Seng Index 25 Dec-2006 17 Ibex 35 Index 30 Dec-2006 (127) MSCI Singapore Index 28 Dec-2006 13 Nikkei 225 Index 7 Dec-2006 -- OMX Index 414 Dec-2006 (261) S&P/MIB Index 27 Dec-2006 325 SPI 200 Index 93 Dec-2006 760 Topix Index 263 Dec-2006 (739) U.S. 10-Year Note (4) Mar-2007 (2) U.S. 5-Year Note 27 Dec-2006 5 U.S. 5-Year Note (130) Mar-2007 (50) U.S. Long Treasury Bond (10) Dec-2006 (8) ----- $ 141 ===== -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 159 SCHEDULE OF INVESTMENTS (Unaudited) International Equity Fund (Continued) November 30, 2006 A summary of the outstanding forward foreign currency contracts held by the Fund at November 30, 2006, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED CURRENCY TO CURRENCY TO APPRECIATION MATURITY DELIVER RECEIVE (DEPRECIATION) DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- 12/20/06 USD 40,197 EUR 31,039 $ 977 12/20/06 USD 2,009 HKD 15,631 1 12/20/06 USD 186 NZD 277 4 12/20/06 USD 3,069 SEK 21,486 76 12/20/06 USD 1,083 SGD 1,681 9 12/20/06-12/21/06 USD 48,457 AUD 63,167 1,379 12/20/06-12/21/06 USD 6,613 DKK 38,479 235 12/20/06-12/21/06 USD 51,756 GBP 27,214 1,777 12/20/06-12/21/06 USD 7,187 NOK 46,318 341 12/20/06-4/24/07 USD 67,220 CHF 82,991 2,407 12/20/06-4/24/07 USD 84,193 JPY 9,753,980 772 12/21/06 CAD 39,455 USD 34,516 (57) 12/21/06 EUR 5,299 USD 6,785 (244) 12/21/06 HKD 41,001 USD 5,272 (3) 12/21/06 MXP 109,846 USD 10,064 83 12/21/06 ZAR 39,632 USD 5,433 (82) 12/21/06-2/21/07 GBP 6,384 JPY 1,406,000 (337) 12/21/06-4/24/07 CHF 40,000 GBP 17,129 84 12/21/06-4/24/07 CHF 44,900 USD 36,350 (1,425) 12/21/06-4/24/07 GBP 10,804 CHF 25,100 (130) 12/21/06-4/24/07 JPY 5,674,000 USD 49,077 (545) 12/21/06-5/22/07 JPY 3,764,000 GBP 17,195 883 12/21/06-5/22/07 JPY 5,680,000 NZD 75,142 1,274 12/21/06-5/22/07 NZD 49,988 JPY 3,788,000 (757) ------- $ 6,722 ======= A summary of outstanding swap agreements held by the Fund at November 30, 2006, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- TOTAL RETURN SWAPS -------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- Fund receives payment on the monthly reset spread from Banc of America -- CMBS IG 10YR Index plus 22.5 basis points times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period, and pays if the return on the spread depreciates over the payment period. (Counter Party: Bank of America) 05/01/07 $ 50,000 $ (5) Fund receives payment on the monthly reset spread from Banc of America -- CMBS AAA 10YR Index plus 10 basis points times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period, and pays if the return on the spread depreciates over the payment period. (Counter Party: Bank of America) 02/01/07 250,000 (31) Fund receives payment on the monthly reset spread from Banc of America -- CMBS AAA 10YR Index times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period, and pays if the return on the spread depreciates over the payment period. (Counter Party: Bank of America) 03/01/07 160,000 (22) Fund receives payment on the monthly reset spread from Banc of America -- CMBS AAA 10YR Index plus 7.5 basis points times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period, and pays if the return on the spread depreciates over the payment period. (Counter Party: JPMorgan Chase) 03/31/07 120,000 (15) Fund receives payment on the monthly reset spread from Lehman Brothers -- CMBS AAA 10YR Index plus 7.5 basis points times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period, and pays if the return on the spread depreciates over the payment period. (Counter Party: Wachovia Bank) 02/28/07 130,000 (15) -------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- Fund receives payment on the monthly reset spread from Swiss Market Index -- TRS 3M CHF Libor plus 27 basis points times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period, and pays if the return on the spread depreciates over the payment period. (Counter Party: JPMorgan Chase) 01/12/07 $ 8,400 $(156) ----- $(244) ===== -------------------------------------------------------------------------------- CREDIT DEFAULT SWAPS -------------------------------------------------------------------------------- Fund receives payment of 0.54% per annum times the notional amount of the ABX.HE.A Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counter Party: JPMorgan Chase) 07/25/45 $ 12,500 $ (1) The Fund pays quarterly payment of 0.0875% (0.350% per annum) times notional amount of, Alcan Inc 4.875%, 09/15/12. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/13 750 -- The Fund pays quarterly payment of 0.1375% (0.550% per annum) times notional amount of, Black & Decker Corp 7.125%, 06/01/11. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/11 750 -- The Fund pays quarterly payment of 0.1113% (0.445% per annum) times notional amount of, Darden Restaurants Inc. 7.125%, 02/01/16. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/11 750 (1) The Fund pays quarterly payment of 0.1063% (0.425% per annum) times notional amount of, Eastman Chemical Co. 7.600%, 02/01/27. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/11 750 (1) The Fund pays quarterly payment of 0.2950% (1.180% per annum) times notional amount of, Gap Inc. 9.000%, 12/15/08. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/11 750 1 The Fund pays quarterly payment of 0.0975% (0.390% per annum) times notional amount of, Johnson Controls Inc. 7.125%, 07/15/17. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/13 750 (2) The Fund pays quarterly payment of 0.1188% (0.475% per annum) times notional amount of, Ltd. Brands Inc. 6.125%, 12/01/12. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/11 750 -- The Fund pays quarterly payment of 0.1825% (0.730% per annum) times notional amount of, Masco Corp. 5.875%, 07/15/12. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/13 750 (1) The Fund pays quarterly payment of 0.0875% (0.350% per annum) times notional amount of, MGIC Investment Corp. 6.000%, 03/15/07. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/13 750 (1) The Fund pays quarterly payment of 0.1188% (0.475% per annum) times notional amount of, MeadWestvaco 6.850%, 04/01/12. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/11 750 1 -------------------------------------------------------------------------------- 160 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- The Fund pays quarterly payment of 0.0550% (0.220% per annum) times notional amount of, Nucor Corp. 4.875%, 10/01/12. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/11 $ 750 $ (1) The Fund pays quarterly payment of 0.0875% (0.350% per annum) times notional amount of, PMI Group Inc. 6.000%, 09/15/16. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/13 750 (1) The Fund pays quarterly payment of 0.0875% (0.350% per annum) times notional amount of, Radian Group Inc. 7.750%, 06/01/11. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/13 750 (1) The Fund pays quarterly payment of 0.0475% (0.190% per annum) times notional amount of, TJX Cos Inc 7.450%, 12/15/09. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/11 750 (1) The Fund pays quarterly payment of 0.1125% (0.450% per annum) times notional amount of, Wayerhaeuser Co. 6.750%, 03/15/12. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/11 750 1 The Fund pays quarterly payment of 0.0850% (0.340% per annum) times notional amount of, Agrium Inc. 8.250%, 02/15/11. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/11 750 -- The Fund pays quarterly payment of 0.1150% (0.460% per annum) times notional amount of, Autotzone Inc 5.875%, 10/15/12. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/11 750 -- The Fund pays quarterly payment of 0.1375% (0.550% per annum) times notional amount of, Black & Decker Corp. 7.125%, 06/01/11. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/11 750 (1) The Fund pays quarterly payment of 0.0650% (0.260% per annum) times notional amount of, Dow Chemical Co. 6.000%, 10/01/12. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/13 750 (2) The Fund pays quarterly payment of 0.2950% (1.180% per annum) times notional amount of, Gap Inc. The 9.800%, 12/15/08. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/11 750 1 The Fund pays quarterly payment of 0.0975% (0.390% per annum) times notional amount of, Hasbro Inc 2.750%, 12/01/21. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/11 750 (1) The Fund pays quarterly payment of 0.1925% (0.770% per annum) times notional amount of, Jones Apparel Group Inc. 5.125%, 11/15/14. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/11 750 (1) The Fund pays quarterly payment of 0.0700% (0.280% per annum) times notional amount of, Nordstrom Inc 6.950%, 03/15/28. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/13 750 -- -------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- The Fund pays quarterly payment of 0.0675% (0.270% per annum) times notional amount of, Southwest Airlines Co. 6.500%, 03/01/12. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/11 $ 750 $ 1 The Fund pays quarterly payment of 0.1125% (0.450% per annum) times notional amount of, Lubrizol Corp. 7.250%, 06/15/25. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/11 750 (1) The Fund pays quarterly payment of 0.0875% (0.350% per annum) times notional amount of, MGIC Investment Corp. 6.000%, 03/15/07. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/13 750 (1) The Fund pays quarterly payment of 0.0550% (0.220% per annum) times notional amount of, Nucor Corp. 4.875%, 10/01/12. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/11 750 (1) The Fund pays quarterly payment of 0.0875% (0.350% per annum) times notional amount of, PMI Group Inc. 6.000%, 09/15/16. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/13 750 (1) The Fund pays quarterly payment of 0.0500% (0.200% per annum) times notional amount of, PPG Industries Inc 7.050%, 08/15/09. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/11 750 (1) The Fund pays quarterly payment of 0.0975% (0.390% per annum) times notional amount of, Radian Group Inc 7.750%, 06/01/11. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/13 750 (1) The Fund pays quarterly payment of 0.0845% (0.340% per annum) times notional amount of, Whirlpool Corp. 7.750%, 07/15/16. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JPMorgan Chase) 12/20/11 750 -- The Fund pays quarterly payment of 0.0700% (0.280% per annum) times notional amount of, Nordstrom Inc. 6.950%, 03/15/28. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Merrill Lynch) 12/20/13 750 -- The Fund pays quarterly payment of 0.0325% (0.130% per annum) times notional amount of, Lowe's Cos Inc. 8.250%, 06/01/10. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Merrill Lynch) 12/20/11 750 1 The Fund pays quarterly payment of 0.0675% (0.270% per annum) times notional amount of, Southwest Airlines Co. 6.500%, 03/01/12. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Merrill Lynch) 12/20/11 750 1 The Fund pays quarterly payment of 0.1125% (0.450% per annum) times notional amount of, Lubrizol Corp. 7.250%, 06/15/25. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Merrill Lynch) 12/20/11 750 (1) The Fund pays quarterly payment of 0.2250% (0.900% per annum) times notional amount of, MDZ Holdings Inc 5.500%, 05/15/13. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Merrill Lynch) 12/20/11 750 (1) -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 161 SCHEDULE OF INVESTMENTS (Unaudited) International Equity Fund (Concluded) November 30, 2006 -------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- The Fund pays quarterly payment of 0.1725% (0.690% per annum) times notional amount of, RR Donnelley & Sons Co. 4.950%, 04/01/14. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Merrill Lynch) 12/20/11 $ 750 $ -- The Fund receives quarterly payment of 0.1000% (0.400% per annum) times notional amount of, CDX.NA.IG Series 7 index. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/11 13,800 31 The Fund receives quarterly payment of 0.1000% (0.400% per annum) times notional amount of, CDX.NA.IG Series 7 index. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Merrill Lynch) 12/20/11 13,800 31 ----- $ 45 ===== Percentages are based on Net Assets of $1,780,087 ($ Thousands). * Non-Income Producing Security ** Rate shown is the 7-day effective yield as of November 30, 2006. + Real Estate Investments Trust (1) In U.S. dollars unless otherwise indicated. (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. (B) This security or a partial position of this security is on loan at November 30, 2006 (See Note 9). The total value of securities on loan at November 30, 2006 was $148,835 ($ Thousands). (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, 2006 was $151,994 ($ Thousands). (D) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of November 30, 2006. (E) The rate reported is the effective yield at time of purchase. (F) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (G) Step Bonds -- The rate reflected on the Schedule of Investments is the effective yield on November 30, 2006. The coupon on a step bond changes on a specified date. (H) Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase. (I) Security, or portion of this security, has been pledged as collateral on open swap contracts. (J) Tri-Party Repurchase Agreement. (K) Security, or a poriton of this security, has been pledged as collateral on reverse repurchase agreements. ADR -- American Depositary Receipt ARM -- Adjustable Rate Mortgage AUD -- Australian Dollar CAD -- Canadian Dollar CDO -- Collateralized Debt Obligation CHF -- Swiss Franc Cl -- Class CMO -- Collateralized Mortgage Obligation DKK -- Danish Krone EUR -- Euro EXL -- Extendable Maturity FDR -- Fiduciary Depositary Receipt FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GBP -- British Pound Sterling GDR -- Global Depositary Receipt HKD -- Hong Kong Dollar IO -- Interest Only JPY -- Japanese Yen LIBOR -- London InterBank Offering Rate LLC -- Limited Liability Company -------------------------------------------------------------------------------- DESCRIPTION -------------------------------------------------------------------------------- MTN -- Medium Term Note MXP -- Mexican Peso NIM -- Net Interest Margin NOK -- Norwegian Krone NZD -- New Zealand Dollar SDR -- Swedish Depositary Receipt SEK -- Swedish Krona Ser -- Series SGD -- Singapore Dollar STRIPS -- Separately Traded Registered Interest and Principal Securities TBA -- To Be Announced USD -- U.S. Dollar ZAR -- South African Rand Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 162 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 World Equity Ex-US Fund November 30, 2006 -------------------------------------------------------------------------------- [Bar Chart Omitted] Plot points as follows: SECTOR WEIGHTINGS++: 25.3% Financials 8.7% Consumer Discretionary 8.2% Basic Materials 8.2% Industrials 6.8% Asset-Backed Securities 6.4% U.S. Government Agency Mortgage-Backed Securities 6.1% Energy 5.2% Telecommunication Services 5.0% Information Technology 4.4% Consumer Staples 3.9% Health Care 2.9% Utilities 2.7% Short-Term Investments 2.3% Exchange Traded Funds 1.3% Commercial Paper 0.9% U.S. Government Agency Obligations 0.8% U.S. Treasury Obligations 0.4% Equity-Linked Warrants 0.3% Master Note 0.2% Certificates of Deposit ++Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 9). ------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------------------------- COMMON STOCK -- 82.2% AUSTRALIA -- 2.3% ABB Grain 15,600 $ 86 Amcor 100,043 588 AMP 317,700 2,380 Australia & New Zealand Banking Group 88,500 1,988 Babcock & Brown (B) 20,379 399 BHP Billiton 63,291 1,310 BlueScope Steel 75,000 474 Brambles Industries (B) 10,314 105 Caltex Australia 11,500 201 Challenger Financial Services Group (B) 153,730 481 Cochlear 5,079 226 Commonwealth Bank of Australia 43,330 1,622 ConnectEast Group 27,400 32 Foster's Group 117,367 620 Insurance Australia Group 145,209 663 IOOF Holdings 7,200 61 Lend Lease 25,341 350 Lion Nathan 14,000 89 Macquarie Airports (B) 772,250 2,164 Macquarie Bank 14,389 827 Macquarie Infrastructure Group 24,040 67 Mayne Pharma 86,400 281 Mirvac Group 71,656 300 National Australia Bank 76,637 2,370 OneSteel 38,820 135 Pacific Brands 105,586 222 PaperlinX 53,500 167 Port Bouvard 1,300 5 Promina Group 155,706 805 Qantas Airways 242,095 946 QBE Insurance Group 246,976 5,048 ------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------------------------- Rinker Group 75,801 $ 1,116 Rio Tinto (B) 16,920 991 Santos 159,762 1,299 Specialty Fashion Group 21,900 28 St George Bank 800 21 Straits Resources 8,700 23 Suncorp-Metway (B) 21,627 349 Sunland Group 27,300 70 Sydney Roads Group* -- -- TABCORP Holdings 26,400 340 Telstra 244,040 726 Telstra (B) 51,000 84 Toll Holdings 35,600 473 Westpac Banking 24,098 464 Woolworths 127,929 2,222 Zinifex 142,500 1,916 ---------- 35,134 ---------- AUSTRIA -- 0.3% Boehler-Uddeholm 1,772 112 Erste Bank der Oesterreichischen Sparkassen 6,590 480 OMV 22,400 1,203 Raiffeisen International Bank Holding (B) 2,869 338 Voestalpine (B) 57,600 2,858 ---------- 4,991 ---------- BELGIUM -- 0.8% AGFA-Gevaert 7,000 166 Belgacom (B) 17,780 762 Compagnie Maritime Belge 2,461 97 D'ieteren 53 18 Delhaize Group 7,100 565 Dexia 43,966 1,201 Fortis 94,088 3,840 Fortis (Netherlands Line) 68,261 2,785 KBC Groep 4,200 473 Mobistar 2,764 233 Solvay (B) 6,963 992 UCB (B) 10,743 682 ---------- 11,814 ---------- BERMUDA -- 0.0% Frontline 11,500 410 ---------- BRAZIL -- 1.1% Cia Brasileira de Distribuicao Grupo Pao de Acucar ADR 80,587 2,500 Cia de Saneamento Basico do Estado de Sao Paulo 1,320,000 159 Cia Vale do Rio Doce ADR (B) 101,895 2,829 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 163 SCHEDULE OF INVESTMENTS (Unaudited) World Equity Ex-US Fund (Continued) November 30, 2006 ------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------------------------- Gerdau ADR 53,325 $ 840 Petroleo Brasileiro ADR 23,724 2,234 Santos-Brasil* 65,276 707 Tim Participacoes ADR 82,357 2,803 Uniao de Bancos Brasileiros ADR 33,930 2,873 Vivo Participacoes ADR (B) 525,996 2,051 ---------- 16,996 ---------- CANADA -- 4.5% Abitibi-Consolidated 23,200 54 Alcan 61,300 2,940 Algoma Steel* 9,000 275 Alimentation Couche Tard 37,438 829 Angiotech Pharmaceuticals* 9,110 80 ARC Energy Trust 14,387 291 Aspreva Pharmaceuticals* 3,000 60 Atco 5,600 229 AUR Resources 8,500 181 Bank of Montreal 14,800 886 Bank of Nova Scotia 35,300 1,606 Barrick Gold 30,547 959 Barrick Gold (USD) 18,900 594 Bombardier, Cl B* 121,500 404 CAE 11,500 105 Cameco 41,469 1,571 Canaccord Capital 4,200 61 Canadian Imperial Bank of Commerce 15,000 1,178 Canadian National Railway 28,500 1,338 Canadian Natural Resources 38,170 2,069 Canadian Pacific Railway 5,200 289 Canadian Tire, Cl A 6,200 394 Canadian Utilities 5,700 223 CanWest Global Communications* 14,190 129 Cascades 6,700 82 CCL Industries 2,800 71 Celestica* 50,700 460 CGI Group, Cl A* 29,900 207 Corus Entertainment 2,000 72 Dundee* 2,400 109 Eldorado Gold* 95,300 542 EnCana 44,000 2,287 Fairfax Financial Holdings 2,700 495 Finning International 18,000 704 Flint Energy Services* 1,700 91 George Weston 5,500 344 Husky Energy 33,400 2,292 Imperial Oil 5,200 195 Industrial Alliance Insurance and Financial Servic 6,700 211 Inmet Mining 4,600 258 IPSCO 16,737 1,707 Kinross Gold* 257,650 3,235 ------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------------------------- Linamar 7,100 $ 85 LionOre Mining International* 116,500 1,202 Manulife Financial 21,700 717 Methanex 23,400 579 Metro, Cl A 35,900 1,131 MI Developments, Cl A 4,700 171 National Bank of Canada 29,600 1,643 Nexen 29,421 1,611 Nortel Networks* 277,700 593 Onex 2,200 54 Open Text* 25,300 476 Petro-Canada 66,300 2,989 Potash Saskatchewan 14,000 1,973 QLT* 7,500 64 Research In Motion* 16,550 2,298 Rogers Communications, Cl B 94,175 5,770 Royal Bank of Canada 79,200 3,695 Shaw Communications, Cl B 23,600 732 Shoppers Drug Mart 25,200 1,094 Sobeys 5,500 189 Sun Life Financial 46,500 1,985 Suncor Energy 11,000 867 Talisman Energy 49,400 829 Teck Cominco, Cl B 90,200 6,797 TELUS 31,000 1,492 Thomson 3,900 166 Toronto-Dominion Bank 7,300 428 Transcontinental 7,500 147 Trican Well Service 7,617 152 ---------- 70,036 ---------- CHILE -- 0.2% Empresa Nacional de Electricidad ADR (B) 73,000 2,532 ---------- CHINA -- 1.0% China Petroleum & Chemical, Cl H 4,318,000 3,414 China Shipping Development 2,168,000 2,545 China Telecom 5,041,000 2,320 Foxconn International Holdings (B)* 432,000 1,305 Industrial & Commercial Bank of China 352,000 179 PetroChina 2,274,000 2,894 Tencent Holdings* 57,000 157 Yanzhou Coal Mining 2,750,000 1,955 ---------- 14,769 ---------- COLOMBIA -- 0.1% BanColombia ADR 52,051 1,565 ---------- -------------------------------------------------------------------------------- 164 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 ------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------------------------- CZECH REPUBLIC -- 0.1% Telefonica 02 GDR (B) 102,952 $ 2,296 ---------- DENMARK -- 0.3% AP Moller - Maersk 38 356 Carlsberg, Cl B 4,419 422 Danske Bank (B) 40,746 1,782 East Asiatic 4,925 289 Novo-Nordisk, Cl B 15,700 1,213 Sydbank 10,600 451 Topdanmark* 2,201 352 ---------- 4,865 ---------- FINLAND -- 0.8% Fortum 130,950 3,831 Kemira 13,600 287 Metso 2,400 111 Neste Oil 41,550 1,339 Nokia 113,168 2,279 OKO Bank, Cl A 14,400 232 Outokumpu 38,312 1,285 Sampo, Cl A 68,400 1,729 Stora Enso, Cl R 50,400 786 UPM-Kymmene (B) 45,700 1,139 ---------- 13,018 ---------- FRANCE -- 8.3% Accor 7,275 529 Air France-KLM 77,158 3,082 Air Liquide 2,933 664 Alstom* 13,700 1,594 Arkema* 629 31 Assurances Generales de France 34,210 5,074 AXA 103,577 3,927 BNP Paribas 101,214 10,914 Bouygues (B) 47,037 2,795 Capgemini 90,150 5,499 Carrefour 6,900 432 Casino Guichard Perrachon 21,836 1,994 Christian Dior 7,500 789 Cie de Saint-Gobain 50,092 4,001 Cie Generale d'Optique EssilorInternational 3,640 391 Club Mediterranee* 4,100 233 CNP Assurances 17,776 1,863 Compagnie Generale de Geophysique* 1,600 319 Compagnie Generale des Etablissements Michelin, Cl B 49,340 4,290 Credit Agricole 137,123 5,811 Dassault Systemes 7,848 428 Financiere de L'Odet 600 236 ------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------------------------- France Telecom 105,900 $ 2,751 Gaz de France (B) 20,334 879 Groupe Danone 40,298 6,207 L'Oreal 12,405 1,251 Lafarge 22,739 3,307 M6-Metropole Television 13,900 476 Nexity 531 36 PagesJaunes Groupe (B) 12,870 262 Peugeot 12,200 761 PPR 8,500 1,298 Renault 51,724 6,205 Safran 18,900 407 Sanofi-Aventis 119,984 10,545 Schneider Electric 19,137 2,074 SCOR (B) 576,867 1,652 Societe Generale 48,632 8,155 Societe Television Francaise 1 37,400 1,385 Sodexho Alliance 9,100 533 Suez (B)* 40,333 1,938 Thales 17,900 856 Thomson 10,800 200 Total (B) 115,485 8,197 Vallourec 11,775 3,165 Veolia Environnement 16,027 1,062 Vinci (B) 43,115 5,421 Vivendi 107,435 4,137 ---------- 128,056 ---------- GERMANY -- 5.3% Allianz 26,730 5,207 Altana (B) 7,070 413 BASF 30,515 2,818 Bayer 159,049 8,208 Bayerische Motoren Werke 22,900 1,265 Commerzbank 139,382 5,020 Continental 36,610 4,162 DaimlerChrysler 84,081 4,886 Deutsche Bank 35,629 4,599 Deutsche Lufthansa 152,100 3,790 Deutsche Post 69,800 2,082 E.ON 56,264 7,231 Epcos* 7,500 136 Fresenius Medical Care 26,460 3,554 GEA Group 19,000 377 Heidelberger Druckmaschinen 2,600 113 Hypo Real Estate Holding 53,950 3,142 Infineon Technologies* 57,500 738 Lanxess* 8,100 428 MAN 14,197 1,355 Merck KGaA 4,700 516 Muenchener Rueckversicherungs (B) 40,722 6,639 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 165 SCHEDULE OF INVESTMENTS (Unaudited) World Equity Ex-US Fund (Continued) November 30, 2006 ------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------------------------- RWE 26,010 $ 2,952 Salzgitter 8,100 974 SAP 7,995 1,673 SAP ADR 1,200 63 Siemens (B) 26,906 2,563 Suedzucker 42,907 1,049 ThyssenKrupp 67,841 2,620 TUI (B) 64,800 1,369 Volkswagen (B) 16,205 1,767 Wincor Nixdorf* 865 124 ---------- 81,833 ---------- GREECE -- 0.2% Alpha Bank 5,184 162 Coca Cola Hellenic Bottling 16,240 594 Folli - Follie 1,530 57 Hellenic Telecommunications Organization 29,800 867 National Bank of Greece 3,810 175 OPAP 16,140 607 Piraeus Bank 1 -- Titan Cement 4,280 232 ---------- 2,694 ---------- HONG KONG -- 2.5% ASM Pacific Technology 118,000 646 Bank of East Asia 470,900 2,540 BOC Hong Kong Holdings 474,900 1,144 Cathay Pacific Airways 291,000 692 Cheung Kong Holdings 98,000 1,158 China Merchants Bank 83,233 160 China Mobile Hong Kong 882,500 7,420 China Netcom Group 266,000 530 China Overseas Land & Investment 2,422,000 2,650 CLP Holdings 78,500 521 Cosco Pacific (B) 1,044,000 2,303 Esprit Holdings 19,000 197 eSun Holdings* 17,000 18 Hang Lung Group 50,000 127 Hang Lung Properties 542,500 1,207 Henderson Land Development 224,400 1,249 Hong Kong & China Gas 134,000 296 Hong Kong Exchanges and Clearing 158,700 1,400 HongKong Electric Holdings 67,500 318 Hopewell Holdings 80,000 266 Hysan Development 505,200 1,335 Kerry Properties 50,500 204 Kingboard Chemical Holdings (B) 83,500 337 Li & Fung 479,400 1,393 New World Development 738,700 1,350 NWS Holdings 20,000 46 Orient Overseas International 108,000 684 ------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------------------------- Shangri-La Asia 594,200 $ 1,528 Shun Tak Holdings 294,000 461 Sino Land (B) 1,188,498 2,231 Sun Hung Kai Properties 77,200 874 Swire Pacific, Cl A 143,900 1,521 Techtronic Industries 291,200 390 Vtech Holdings 27,000 170 Wharf Holdings 20,000 70 Wheelock 7,000 13 Wing Lung Bank 13,700 132 Yue Yuen Industrial Holdings* 139,500 441 ---------- 38,022 ---------- HUNGARY -- 0.2% Gedeon Richter 8,825 1,824 MOL Hungarian Oil & Gas 5,400 609 ---------- 2,433 ---------- INDIA -- 1.1% Bharti Televentures* 255,718 3,602 Indian Overseas Bank 65,400 173 Infosys Technologies 66,916 3,262 ITC 470,708 1,942 Maruti Udyog 104,348 2,158 Siemens India 102,397 2,582 State Bank of India GDR 9,020 636 Tata Motors 122,621 2,219 ---------- 16,574 ---------- INDONESIA -- 0.2% Bank Rakyat Indonesia 955,500 558 Telekomunikasi Indonesia 2,447,800 2,644 ---------- 3,202 ---------- IRELAND -- 0.2% Allied Irish Banks 42,500 1,186 Bank of Ireland 4,543 97 CRH 28,047 1,058 Depfa Bank 26,400 480 Kerry Group, Cl A 13,600 329 ---------- 3,150 ---------- ISRAEL -- 0.2% Bank Hapoalim 395,654 1,909 Bank Leumi Le-Israel 22,900 92 Bezeq Israeli Telecommunication 933,956 1,477 Mizrahi Tefahot Bank 25,300 185 Teva Pharmaceutical Industries ADR 5,800 186 ---------- 3,849 ---------- -------------------------------------------------------------------------------- 166 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 ------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------------------------- ITALY -- 3.0% Alitalia* 204,000 $ 230 Banca Intesa 172,935 1,223 Banca Popolare di Milano 81,600 1,323 Banche Popolari Unite (B) 83,520 2,210 Banco Popolare di Verona e Novara 70,128 1,973 Beni Stabili 172,600 240 Buzzi Unicem 15,100 406 Capitalia 236,601 2,180 Enel 8,262 84 ENI (B) 236,491 7,749 Fiat (B) 317,898 5,904 Fiat RNC 71,220 1,267 Finmeccanica 77,900 1,934 Fondiaria-Sai 41,600 1,914 IFIL - Investments 398,900 3,151 Italcementi 77,365 2,100 Lottomatica 11,700 460 Pirelli & C 1,357,443 1,312 Sanpaolo IMI 70,100 1,552 Snam Rete Gas 83,600 463 Telecom Italia 139,400 423 Telecom Italia RNC 334,306 888 UniCredito Italiano 801,337 6,926 ---------- 45,912 ---------- JAPAN -- 14.5% 77 Bank 114,500 768 Advantest 12,000 629 Aeon* 64,300 1,518 Aisin Seiki 13,600 429 All Nippon Airways* 71,000 261 Alps Electric 14,200 138 Amada 30,000 305 Aoyama Trading 5,000 141 Asahi Breweries 27,300 394 Asahi Diamond Industrial 6,000 42 Asahi Kasei 181,400 1,172 Astellas Pharma 21,300 932 Autobacs Seven 3,000 109 Bank of Yokohama 12,900 99 BML 1,000 21 Canon 94,000 4,974 Cawachi 1,800 50 Central Glass 1,000 6 Chiyoda 13,000 250 Chugoku Bank 4,000 53 Chukyo Bank 12,000 36 Citizen Watch 29,800 224 COMSYS Holdings 16,000 160 Cosmos Initia 10,000 57 CSK Holdings 12,300 537 Dai Nippon Printing 36,000 540 ------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------------------------- Daicel Chemical Industries 30,000 $ 209 Daimaru 5,300 68 Dainippon Ink and Chemicals 61,000 236 Dainippon Screen Manufacturing 66,600 587 Daiwa House Industry 14,000 246 Daiwa Securities Group 53,000 608 Denso 17,500 664 Dentsu 200 550 East Japan Railway 134 941 Ebara 33,000 124 EDION 55,600 811 Eighteenth Bank 11,000 56 Elpida Memory* 9,300 454 FamilyMart 13,500 370 Fanuc 16,800 1,532 Fuji Heavy Industries 54,000 281 Fuji Machine Mfg 3,400 67 Fuji Photo Film 68,500 2,730 Fujikura 28,000 247 Fujitsu 81,000 663 Gunze 18,000 93 Hankyu Holdings (B) 49,000 305 Higashi-Nippon Bank 12,000 52 Hirose Electric 2,200 259 HIS 2,400 58 Hitachi 219,900 1,308 Hitachi Cable 267,600 1,379 Hitachi Construction Machinery 4,700 112 Hitachi High-Technologies 8,500 248 Hitachi Information Systems 1,400 30 Hitachi Metals 16,000 171 Hokkaido Electric Power 43,500 1,072 Hokkoku Bank 4,000 17 Honda Motor 124,700 4,421 Hoya 14,400 568 Ibiden 3,300 165 Idemitsu Kosan (B) 2,900 308 Inpex Holdings 111 957 Itochu 83,000 671 Japan Airport Terminal 6,700 76 Japan Steel Works (B) 409,700 3,025 Japan Tobacco 926 4,107 JFE Holdings (B) 107,900 4,982 Joyo Bank 20,000 114 JS Group 33,700 675 Kajima (B) 27,000 128 Kamigumi 11,000 91 Kansai Electric Power 20,000 500 Kao 16,300 440 Kato Sangyo 2,700 33 Katokichi 69,700 515 Kawasaki Heavy Industries 84,000 299 Kawasaki Kisen Kaisha 18,000 129 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 167 SCHEDULE OF INVESTMENTS (Unaudited) World Equity Ex-US Fund (Continued) November 30, 2006 ------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------------------------- KDDI 130 $ 870 Keyence 1,600 368 Kirin Brewery 37,000 522 Kobe Steel 572,700 1,768 Komatsu 63,000 1,147 Komori 38,200 727 Konica Minolta Holdings 33,500 487 Kubota 60,000 529 Kuraray 47,800 544 Kyocera 10,900 985 Kyowa Hakko Kogyo 33,000 260 Kyushu Electric Power 37,900 963 Leopalace21 51,600 1,736 Mabuchi Motor 9,600 565 Maeda* 12,000 42 Makita 25,500 736 Marubeni 80,000 407 Matsushita Electric Industrial 65,000 1,267 Matsushita Electric Works 20,000 225 Mediceo Paltac Holdings 3,100 59 Millea Holdings 23,300 838 Mitsubishi 137,000 2,559 Mitsubishi Chemical Holdings 219,000 1,333 Mitsubishi Electric 43,000 392 Mitsubishi Estate 255,150 6,310 Mitsubishi Gas Chemical 28,000 273 Mitsubishi Heavy Industries 297,100 1,292 Mitsubishi UFJ Financial Group 623 7,968 Mitsubishi UFJ Securities 33,000 391 Mitsui (B) 186,300 2,545 Mitsui Chemicals 330,200 2,458 Mitsui Mining & Smelting 47,000 223 Mitsui OSK Lines (B) 335,000 3,073 Mitsui Sumitomo Insurance 57,000 704 Mitsui Trust Holdings 26,000 276 Mitsumi Electric 38,000 660 Mizuho Financial Group 551 4,059 Murata Manufacturing 2,200 150 Nagase* 10,000 118 Namco Bandai Holdings 20,100 305 NEC 103,000 492 NGK Spark Plug 17,900 327 Nikko Cordial 37,000 457 Nikon (B) 88,700 1,833 Nintendo 13,600 3,246 Nippo* 10,000 73 Nippon Electric Glass 39,400 857 Nippon Express 5,000 27 Nippon Konpo Unyu Soko 6,000 69 Nippon Light Metal (B) 28,000 68 Nippon Mining Holdings 294,100 2,149 Nippon Oil 124,000 882 Nippon Paper Group 400 1,487 Nippon Sheet Glass 173,000 769 ------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------------------------- Nippon Steel 388,000 $ 1,744 Nippon Telegraph & Telephone 965 4,889 Nippon Yusen Kabushiki Kaisha 32,000 224 Nissan Motor 319,400 3,899 Nissan Shatai 13,000 67 Nisshin Seifun Group 32,300 319 Nitto Denko 19,400 938 Nomura Holdings 18,000 316 Nomura Research Institute 3,800 542 NSK 32,000 284 NTT Data 201 1,011 NTT DoCoMo 315 482 NTT Urban Development 19 166 Obayashi 168,000 1,060 Odakyu Electric Railway (B) 38,200 249 Oita Bank 1,000 7 Okasan Holdings 16,000 112 Oki Electric Industry (B) 777,300 1,788 Ono Pharmaceutical* 7,500 383 Orient* 50,000 95 ORIX 24,370 6,680 Osaka Gas 128,000 462 Rengo 48,000 290 Ricoh 80,000 1,522 Rohm 3,400 314 Royal Holdings 3,000 41 Sankyo 13,800 708 Sanwa Shutter 8,000 46 Seikagaku 4,100 40 Seiko Epson 21,400 522 Seino Transportation 133,500 1,330 Sekisui Chemical 154,900 1,310 Sharp 152,000 2,561 Shimachu 18,700 504 Shimamura 4,800 559 Shin-Etsu Chemical 14,100 933 Shinko Securities 58,000 223 Shinsei Bank 180,000 1,068 Shizuoka Bank 50,800 520 Sintokogio 6,000 78 SMC 10,300 1,415 Softbank (B) 173,100 3,629 Sojitz* 55,400 172 Sompo Japan Insurance 67,800 865 Sony 45,000 1,782 Stanley Electric (B) 7,800 162 Sumco 14,300 1,076 Sumitomo 129,100 1,813 Sumitomo Bakelite 34,000 240 Sumitomo Chemical 129,000 868 Sumitomo Heavy Industries 181,000 1,790 Sumitomo Metal Industries 495,400 1,902 Sumitomo Metal Mining 59,000 772 Sumitomo Mitsui Financial Group 806 8,502 -------------------------------------------------------------------------------- 168 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 ------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------------------------- Sumitomo Realty & Development 41,000 $ 1,308 Sumitomo Wiring Systems 5,000 104 Suzuken 24,900 883 Suzuki Motor 69,800 2,004 T&D Holdings 11,500 838 Tachihi Enterprise* 1,000 37 Taiheiyo Cement 33,000 132 Taiyo Yuden 91,900 1,548 Takeda Pharmaceutical 59,400 3,883 Tanabe Seiyaku (B) 73,200 932 TDK 4,000 306 Teijin 117,000 758 TIS 60,500 1,457 Toda 124,600 543 Tokyo Electric Power 125,500 3,917 Tokyo Electron 29,600 2,288 Tokyo Gas (B) 304,900 1,513 Tokyo Style 48,200 524 Tokyu 96,600 637 Toppan Printing 89,300 960 Toshiba (B) 342,600 2,195 Towa Real Estate Development* 7,500 38 Toyo Seikan Kaisha 72,000 1,187 Toyota Auto Body 7,700 137 Toyota Motor 143,800 8,728 Trend Micro 13,700 415 Trusco Nakayama 2,400 48 Uniden 20,000 149 UNY 78,000 943 Ushio 15,900 318 USS 1,950 124 West Japan Railway 100 457 Yahoo! Japan (B) 1,511 596 Yamada Denki 13,570 1,287 Yamaha 15,900 333 Yamaha Motor 21,500 591 Yamato Kogyo 5,100 127 Yamato Transport 49,700 762 Yamazaki Baking (B) 57,000 556 Yaskawa Electric (B) 71,000 781 ---------- 223,085 ---------- KAZAKHSTAN -- 0.0% Kazkommertsbank* 37,970 664 ---------- LUXEMBOURG -- 0.2% SES Global FDR 38,100 636 SES Global FDR (Paris Exchange) 31,763 532 Tenaris ADR 56,000 2,633 ---------- 3,801 ---------- MALAYSIA -- 0.5% IOI 513,100 2,680 ------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------------------------- Resorts World 641,000 $ 2,339 Tenaga Nasional 687,100 2,089 ---------- 7,108 ---------- MEXICO -- 1.1% America Movil ADR, Ser L 114,720 5,101 Consorcio ARA 405,593 2,388 Fomento Economico Mexicano ADR (B) 36,700 3,863 Grupo Famsa* 156,589 571 Grupo Financiero Banorte 632,989 2,358 Grupo Televisa ADR* 101,100 2,657 ---------- 16,938 ---------- NETHERLANDS -- 4.2% ABN AMRO Holding 177,108 5,332 Aegon 185,273 3,362 Akzo Nobel 85,740 4,920 ASM International* 12,200 256 ASML Holding* 18,400 458 Buhrmann 16,800 236 Corio+ 1,297 97 CSM 3,153 117 European Aeronautic Defense and Space 66,030 1,944 Fugro 6,312 292 Heineken 26,374 1,287 Heineken Holding 12,498 515 ING Groep 308,490 13,163 Koninklijke Ahold* 156,869 1,572 Koninklijke BAM Groep* 50,300 915 Koninklijke DSM 28,660 1,367 Koninklijke Philips Electronics 94,300 3,511 Mittal Steel 66,580 2,745 Randstad Holdings 1,090 70 Reed Elsevier 71,857 1,212 Royal Dutch Shell, Cl A (B) 187,693 6,633 Royal Dutch Shell, Cl A (GBP) (B) 36,555 1,294 Royal Dutch Shell, Cl B 144,458 5,163 Royal KPN 160,311 2,199 TNT 10,900 459 Unilever 109,835 2,902 Vedior 71,000 1,356 Wolters Kluwer* 20,400 572 ---------- 63,949 ---------- NEW ZEALAND -- 0.1% Fisher & Paykel Appliances Holdings 167,500 469 Telecom of New Zealand (B) 348,041 1,094 ---------- 1,563 ---------- -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 169 SCHEDULE OF INVESTMENTS (Unaudited) World Equity Ex-US Fund (Continued) November 30, 2006 ------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------------------------- NORWAY -- 0.4% DnB 77,083 $ 1,047 Norsk Hydro 72,453 1,794 Norske Skogindustrier 31,642 527 Orkla 29,131 1,634 ProSafe 6,400 436 Telenor 26,300 452 TGS Nopec Geophysical* 6,804 132 Yara International 12,263 255 ---------- 6,277 ---------- PHILIPPINES -- 0.0% SM Investments 89,500 550 ---------- PORTUGAL -- 0.4% Banco Comercial Portugues 600,481 2,038 Banco Espirito Santo 41,839 715 Cimpor Cimentos de Portugal 59,900 459 Portugal Telecom 101,400 1,307 Sonae 676,000 1,344 ---------- 5,863 ---------- RUSSIA -- 1.5% Cherkizovo Group GDR* 46,359 695 LUKOIL ADR 25,616 2,280 MMC Norilsk Nickel ADR 15,645 2,358 Mobile Telesystems ADR 58,600 2,819 Novolipetsk Steel GDR (B) 65,891 1,522 OAO Gazprom ADR 82,430 3,849 Polyus Gold* 8,573 431 Polyus Gold ADR (B)* 24,771 1,245 Rosneft Oil GDR* 238,788 2,154 Sberbank GDR 13,520 3,488 Surgutneftegaz ADR (B) 28,401 1,967 ---------- 22,808 ---------- SINGAPORE -- 0.8% DBS Group Holdings 270,900 3,693 Flextronics International* 38,300 431 Jardine Cycle & Carriage 11,000 101 Kim Eng Holdings 68,000 64 Neptune Orient Lines 340,000 468 SembCorp Industries 84,000 202 Singapore Airlines 191,537 1,952 Singapore Petroleum 83,000 240 Singapore Post 646,600 436 Singapore Telecommunications 1,485,850 2,777 United Industrial 133,000 159 United Overseas Bank 90,700 1,095 UOL Group 42,000 123 ---------- 11,741 ---------- ------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------------------------- SOUTH AFRICA -- 0.6% ABSA Group 24,000 $ 377 Barloworld 104,510 2,148 Sanlam 1,068,410 2,650 Sappi (B) 163,598 2,633 Sasol 47,617 1,669 Standard Bank Group 16,100 197 Tiger Brands 6,816 148 ---------- 9,822 ---------- SOUTH KOREA -- 1.8% Daewoo Shipbuilding & Marine Engineering 82,260 2,620 Honam Petrochemical 6,000 409 Hyundai Development 43,250 2,690 Hyundai Mobis 2,150 200 Hyundai Motor 23,030 1,744 Industrial Bank of Korea 10,680 194 Kookmin Bank 5,900 460 Kookmin Bank ADR* 32,883 2,573 POSCO 1,900 597 Samsung Electronics 9,305 6,388 Samsung Electronics GDR 5,214 1,783 Samsung Fire & Marine Insurance 12,729 2,041 Shinhan Financial Group 85,100 4,143 Shinsegae 3,723 2,392 ---------- 28,234 ---------- SPAIN -- 2.8% Acerinox (B) 8,176 224 Actividades Construcciones y Servicios 117,293 6,558 Altadis 10,800 541 Antena 3 de Television 20,100 479 Banco Bilbao Vizcaya Argentaria (B) 239,685 5,798 Banco Popular Espanol 99,528 1,751 Banco Santander Central Hispano 441,426 8,022 Corp Financiera Alba 6,100 438 Ebro Puleva 74,984 1,769 Endesa (B) 63,479 2,952 Gamesa Corp Tecnologica 18,500 488 Gas Natural SDG 67,900 2,772 Iberdrola (B) 14,339 637 Iberia Lineas Aereas de Espana 417,500 1,467 Inditex 5,265 267 Repsol 176,556 6,342 Sol Melia 18,200 357 Telefonica 150,422 3,049 ---------- 43,911 ---------- -------------------------------------------------------------------------------- 170 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 ------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------------------------- SWEDEN -- 1.2% Alfa Laval 11,500 $ 446 Assa Abloy, Cl B 19,200 391 Atlas Copco, Cl A 146,600 4,318 Axfood 12,800 482 Billerud 27,600 476 Boliden* 5,137 124 Elekta, Ser B 20,400 446 Kungsleden 33,500 468 Lundin Petroleum* 38,600 412 Nordea Bank 93,000 1,313 Sandvik 17,715 228 Scania, Cl B* 6,800 464 Skandinaviska Enskilda Banken, Cl A 21,170 622 Ssab Svenskt Stal, Cl B 47,600 943 Svenska Cellulosa, Cl B 36,163 1,773 Svenska Handelsbanken, Cl A 9,963 269 Swedish Match 50,669 898 Telefonaktiebolaget LM Ericsson, Cl B 200,600 777 TeliaSonera 199,829 1,511 Volvo, Cl B 32,755 2,131 ---------- 18,492 ---------- SWITZERLAND -- 4.4% ABB (B) 16,116 260 Adecco 8,703 577 Banque Cantonale Vaudoise 400 171 Barry Callebaut* 600 307 Bucher Industries 2,200 235 Ciba Specialty Chemicals 5,100 332 Clariant 23,700 333 Compagnie Financiere Richemont, Cl A 47,858 2,579 Credit Suisse Group 141,335 9,349 Geberit 474 688 Helvetia Holding 800 254 Holcim 40,054 3,594 Nestle 11,735 4,143 Novartis 192,752 11,238 OC Oerlikon 3,300 1,405 Petroplus Holdings* 3,408 199 Phonak Holding 1,027 77 PSP Swiss Property 8,000 442 Rieter Holding 723 362 Roche Holding 54,475 9,844 STMicroelectronics* 2,000 36 Straumann Holding 1,800 450 Swatch Group 2,150 92 Swiss Life Holding 2,200 542 Swiss Reinsurance 65,535 5,596 ------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------------------------- Swisscom 4,172 $ 1,529 UBS 95,003 5,713 Xstrata 62,663 2,810 Zurich Financial Services 15,792 4,106 ---------- 67,263 ---------- TAIWAN -- 1.4% Advanced Semiconductor Engineering* 2,277,873 2,615 AU Optronics 348,140 467 China Steel 611,000 619 Chinatrust Financial Holding 3,057,600 2,605 Compal Electronics 1,592,267 1,460 HON HAI Precision Industry 424,215 3,083 HON HAI Precision Industry GDR 26,454 383 MediaTek 208,000 2,125 Quanta Computer 306,985 534 Siliconware Precision Industries 427,507 693 Taiwan Semiconductor Manufacturing 192,399 389 Taiwan Semiconductor Manufacturing ADR (B) 362,511 3,897 United Microelectronics 3,284,276 2,144 ---------- 21,014 ---------- THAILAND -- 0.2% Advanced Info Service 607,600 1,396 PTT 34,400 221 PTT (Foreign) 336,300 2,156 ---------- 3,773 ---------- TURKEY -- 0.4% Ford Otomotiv Sanayi 10,320 80 Haci Omer Sabanci Holding 578,748 2,251 Turkcell Iletisim Hizmet 264,126 1,236 Turkiye Is Bankasi 543,341 2,262 ---------- 5,829 ---------- UNITED KINGDOM -- 13.0% 3i Group 66,893 1,282 Acergy* 130,150 2,552 Alliance Boots 1 -- Amvescap 105,500 1,141 Anglo American 144,465 6,712 Antofagasta 64,200 606 ARM Holdings 63,141 149 AstraZeneca 107,587 6,243 AstraZeneca (SEK) 27,350 1,583 Aviva 418,033 6,475 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 171 SCHEDULE OF INVESTMENTS (Unaudited) World Equity Ex-US Fund (Continued) November 30, 2006 ------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------------------------- BAE Systems 619,900 $ 4,719 Balfour Beatty 8,818 72 Barclays 561,687 7,519 Barratt Developments 67,191 1,460 Bellway 49,690 1,426 Berkeley Group Holdings 14,974 478 BHP Billiton 317,509 6,027 Bovis Homes Group 15,614 311 BP 902,245 10,187 Brambles Industries 65,335 664 Brit Insurance Holdings 33,800 202 British Airways* 229,589 2,225 British American Tobacco 74,844 2,118 British Energy Group* 39,500 360 British Land 71,779 2,150 Brixton 115,400 1,237 BT Group 518,754 2,900 Burberry Group 29,400 348 Cadbury Schweppes 33,625 346 Carnival 21,916 1,067 Cattles 162,600 1,289 Charter* 18,700 319 Close Brothers Group 62,700 1,214 Compass Group 374,800 2,116 Cookson Group 109,501 1,277 Corus Group 39,000 384 De La Rue 26,800 338 Diageo 192,360 3,695 DSG International 285,800 1,096 Emap 6,700 112 Enterprise Inns 71,846 1,737 Firstgroup 5,500 59 Friends Provident 274,800 1,124 Gallaher Group 2,657 50 GKN 74,300 426 GlaxoSmithKline 291,661 7,751 Greene King 49,700 1,011 Hammerson 20,862 593 Hanson 25,657 368 Hays 41,626 123 HBOS 421,301 8,627 HSBC Holdings 452,019 8,340 ICAP 34,800 313 Imperial Chemical Industries 66,958 548 Imperial Tobacco Group 8,340 307 Inchcape 133,947 1,317 Intercontinental Hotels Group 20,725 415 Intermediate Capital Group* 6,700 208 International Power 13,258 88 Investec 36,550 434 ITV 160,000 352 J Sainsbury 392,926 3,084 Kazakhmys 28,500 651 ------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------------------------- Kesa Electricals 46,900 $ 329 Kingfisher 78,600 376 Ladbrokes 15,248 121 Land Securities Group 9,845 412 Legal & General Group 577,720 1,722 Lloyds TSB Group 158,966 1,690 LogicaCMG 121,700 422 Man Group 128,300 1,196 Marks & Spencer Group 323,400 4,345 Michael Page International 77,801 624 Millennium & Copthorne Hotels 27,100 313 Mitchells & Butlers 122,551 1,615 National Grid 106,028 1,434 Next 19,116 669 Old Mutual 304,400 994 Pearson 19,537 288 Persimmon 58,731 1,687 Prudential 137,000 1,780 Punch Taverns 44,480 1,009 Reckitt Benckiser 13,042 580 Reed Elsevier (B) 76,505 837 Resolution 58,671 733 Reuters Group 139,800 1,244 Rio Tinto 152,940 8,168 Royal & Sun Alliance Insurance Group 386,408 1,117 Royal Bank of Scotland Group 343,481 12,445 SABMiller 91,053 1,904 Scottish & Newcastle 197,666 2,100 Scottish & Southern Energy 37,740 1,080 Scottish Power 305,138 4,532 Shire* 32,400 649 Smith & Nephew 42,700 405 Stagecoach Group 20,015 56 Standard Chartered 54,707 1,570 Stolt-Nielsen 14,900 455 Tate & Lyle 40,300 631 Taylor Woodrow 86,401 664 Tesco 104,600 805 Travis Perkins 34,300 1,171 Unilever (B) 93,812 2,515 United Utilities 4,503 67 Vodafone Group 3,827,592 10,126 William Hill 50,300 619 Wimpey George 86,232 938 Wolseley 16,960 397 WPP Group 10,099 134 Yell Group 52,700 596 ---------- 199,889 ---------- Total Common Stock (Cost $1,078,818) ($ Thousands) 1,266,725 ---------- -------------------------------------------------------------------------------- 172 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 SCHEDULE OF INVESTMENTS (Unaudited) World Equity Ex-US Fund (Continued) November 30, 2006 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousand)(1) ($ Thousands) ------------------------------------------------------------------------------- ASSET-BACKED SECURITIES -- 7.5% MORTGAGE RELATED SECURITIES -- 7.5% ACE Securities, Ser 2003-NC1, Cl M (D) 6.100%, 12/25/06 $ 650 $ 653 ACE Securities, Ser 2003-OP1, Cl M1 (D) 6.020%, 12/26/06 300 301 Aames Mortgage Investment Trust, Ser 2005-4, Cl B2 (D) 8.070%, 12/12/06 150 135 Aegis Asset Backed Securities Trust, Ser 2003-3, Cl M1 (D) 6.020%, 12/25/06 69 69 American Home Mortgage Investment Trust, Ser 2004-3, Cl 2A (D) 3.590%, 10/25/34 862 859 American Home Mortgage Investment Trust, Ser 2005-1, Cl 6A (D) 5.294%, 12/25/06 6,035 6,020 American Home Mortgage Investment Trust, Ser 2005-4, Cl 5A (D) 5.350%, 12/25/06 1,960 1,962 American Home Mortgage Investment Trust, Ser 2006-1, Cl 2A3 (D) 5.100%, 12/25/06 1,439 1,423 Ameriquest Mortgage Securities, Ser 2003-2, Cl M1 (D) 6.220%, 12/25/06 475 476 Argent Securities, Ser 2003-W5, Cl M1 (D) 6.020%, 12/25/06 250 253 Argent Securities, Ser 2003-W9, Cl M1 (D) 6.010%, 12/26/06 369 371 Asset Backed Funding Certificates, Ser 2005-AQ1, Cl A1B (G) 4.250%, 12/25/06 -- -- Asset-Backed Securities Home Equity Loan Trust, Ser 2003-HE5, Cl M1 (D) 6.070%, 12/15/06 456 458 Asset-Backed Securities Home Equity Loan Trust, Ser 2003-HE7, Cl M2 (D) 7.080%, 12/15/06 205 208 Banc of America Commercial Mortgage, Ser 2006-2, Cl A1 5.611%, 12/01/06 1,065 1,082 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousand)(1) ($ Thousands) ------------------------------------------------------------------------------- Banc of America Funding, Ser 2006-A, Cl 2A2 (D) 5.485%, 12/01/06 $ 214 $ 214 Basic Asset Backed Securities Trust, Ser 2006-1, Cl A1 (D) 5.400%, 12/25/06 2,670 2,670 Bear Stearns NIM Trust, Ser 2005-AQ2N, Cl A1 (F) 5.500%, 09/25/35 27 27 Centex Home Equity, Ser 2004-D, Cl AV4 (D) 5.630%, 12/25/06 -- -- Chase Funding Mortgage Loan, Ser 2003-1, Cl 1A4 4.119%, 02/25/29 508 506 Chase Funding Mortgage Loan, Ser 2004-2, Cl 1A3 4.209%, 09/25/26 1,003 997 Commodore, Ser 2003-2A, Cl A1MM (C) (D) (F) 5.470%, 12/12/38 828 828 Countrywide Alternative Loan Trust, Ser 2004-33, Cl 1A1 (D) 4.999%, 12/01/06 1,123 1,135 Countrywide Alternative Loan Trust, Ser 2005-69, Cl M3 (D) 6.470%, 12/27/06 220 223 Countrywide Alternative Loan Trust, Ser 2005-IM1, Cl M3 (D) 7.320%, 12/27/06 380 380 Countrywide Alternative Loan Trust, Ser 2006-0A11, Cl M3 (D) 5.750%, 12/30/06 450 450 Countrywide Asset-Backed Certificates, Ser 2003-5, Cl MV2 (D) 6.920%, 01/25/34 303 304 Countrywide Asset-Backed Certificates, Ser 2004-11, Cl A2 (D) 5.700%, 12/25/06 431 431 Countrywide Asset-Backed Certificates, Ser 2005-15, Cl 1AF1 (D) 5.460%, 12/25/06 903 904 Countrywide Asset-Backed Certificates, Ser 2006-IM1, Cl A1 (D) 5.410%, 12/27/06 1,281 1,281 Countrywide Home Equity Loan Trust, Ser 2006-D, Cl 2A (D) 5.520%, 12/30/06 3,293 3,293 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 173 SCHEDULE OF INVESTMENTS (Unaudited) World Equity Ex-US Fund (Continued) November 30, 2006 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousand)(1) ($ Thousands) ------------------------------------------------------------------------------- Countrywide Home Loans, Ser 2004-22, Cl A1 (D) 5.090%, 12/01/06 $ 711 $ 710 Countrywide Home Loans, Ser 2006-HYB2, Cl 1A1 (D) 5.152%, 12/20/06 2,208 2,202 Credit Suisse Asset-Backed Mortgage Trust, Ser 2006-1, Cl A1B (D) 5.540%, 12/26/06 867 868 DLSA Mortgage Loan Trust, Ser 2006-AR1, Cl M4 (D) 6.060%, 12/19/06 250 251 DSLA Mortgage Loan Trust, Ser 2004-AR4, Cl B1 (D) 5.920%, 12/19/06 335 338 DSLA Mortgage Loan Trust, Ser 2006-AR1, Cl M5 (D) 6.130%, 12/19/06 150 151 DSLA Mortgage Loan Trust, Ser 2006-AR1, Cl M7 (D) 7.070%, 12/19/06 150 151 Deustche Alternatives Securities Mortgage Loan Trust, Ser 2006-AB3, Cl A1 (D) 6.250%, 06/30/36 1,637 1,637 Duke Funding, Ser 2004-6B, Cl A1S1 (C) (D) (F) 5.440%, 10/09/07 1,350 1,350 First Franklin Mortgage Loan Asset, Ser 2004-FF10, Cl A2 (D) 5.720%, 12/26/06 300 301 First Franklin Mortgage Loan Asset, Ser 2005-FF4, Cl 2A3 (D) 5.540%, 12/25/06 2,000 2,001 First Franklin Mortgage Loan Asset, Ser 2005-FFA, Cl A2A (D) 5.430%, 12/25/06 -- -- First Franklin Mortgage Loan Asset, Ser 2005-FFH3, Cl 2A1 (D) 5.450%, 12/26/06 133 133 First Horizon Alternative Mortgage Trust, Ser 2006-AA6, Cl 2A1 (D) 5.750%, 12/01/06 6,713 6,749 First Horizon Mortgage Pass- Through Trust, Ser 2006-AR3, Cl 1A1 (D) 5.915%, 12/01/06 1,901 1,908 GMAC Mortgage Loan Trust, Ser 2006-HE1, Cl A (D) 5.530%, 12/25/06 5,400 5,401 GSAA Home Equity NIM Trust, Ser 2006-2, Cl 2A1 (D) 5.420%, 12/27/06 4,569 4,569 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousand)(1) ($ Thousands) ------------------------------------------------------------------------------- GSAA Home Equity NIM Trust, Ser 2006-3N, Cl N1 (F) 5.750%, 03/25/36 $ 55 $ 55 GSAA Home Equity NIM Trust, Ser 2006-HE3N, Cl N1 (F) 5.500%, 05/25/36 88 88 Greenpoint Mortgage Funding Trust, Ser 2006-AR1, Cl M3 (D) 5.890%, 12/27/06 350 352 HSI Asset Securitization Trust, Ser 2005-NC2, Cl M2A1 (D) 5.450%, 12/25/06 684 684 Home Equity Asset NIM Trust, Ser 2003-4, Cl M2 (D) 7.220%, 12/25/06 350 351 Home Equity Asset NIM Trust, Ser 2006-1N, Cl A (F) 6.500%, 05/27/36 90 90 Impac NIM Trust, Ser 2006-1, Cl N (F) 6.000%, 03/25/36 85 85 Indymac Mortgage Loan Trust, Ser 2004-AR11, Cl 4A1 (D) 5.857%, 12/01/06 2,413 2,413 Indymac Mortgage Loan Trust, Ser 2004-AR6, Cl 1A (D) 5.469%, 12/01/06 301 309 Irwin Home Equity, Ser 2005-1, Cl 2A1 (D) 5.460%, 12/25/06 454 454 Lehman Mortgage Trust, Ser 2006-4, Cl 4A1 6.000%, 08/25/21 4,186 4,248 Lehman XS Trust, Ser 2005-5N, Cl M4 (D) 7.070%, 12/31/06 575 559 Lehman XS Trust, Ser 2005-7N, Cl M71 (D) 7.070%, 12/27/06 335 323 Master Adjustable Rate Mortgages, Ser 2004-6, Cl 2A1 (D) 3.859%, 07/25/34 4,727 4,692 Master Asset Backed Securities Trust, Ser 2002-OPT1, Cl M1 (D) 6.470%, 12/27/06 108 108 Master Asset Backed Securities Trust, Ser 2006-AB1, Cl A1 (D) 5.460%, 12/27/06 3,474 3,475 Merrill Lynch Mortgage Investors Trust, Ser 2003-HE1, Cl M2 (D) 6.970%, 12/25/06 190 190 Merrill Lynch Mortgage Investors Trust, Ser 2005-HE2, Cl A2A (D) 5.430%, 12/27/06 455 455 -------------------------------------------------------------------------------- 174 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousand)(1) ($ Thousands) ------------------------------------------------------------------------------- Merrill Lynch Mortgage Trust, Ser 2006-1, Cl 1A1 (D) 5.350%, 02/25/36 $ 2,363 $ 2,343 Morgan Stanley, Ser 2003-NC10, Cl M1 (D) 6.000%, 12/27/06 621 623 New Century Home Equity Loan Trust, Ser 2004-A, Cl AII3 (D) 4.450%, 12/01/06 1,023 1,016 New Century Home Equity Loan Trust, Ser 2005-A, Cl A2 (G) 4.461%, 12/25/06 2,259 2,240 New Century Home Equity Loan Trust, Ser 2005-B, Cl A2A (D) 5.440%, 12/25/06 1,018 1,019 Newcastle CDO Limited, Ser 2005-6A, Cl IM1 (C) (D) (F) 5.340%, 04/24/07 360 359 Nomura Asset Acceptance, Ser 2004-R1, Cl A1 (F) 6.500%, 03/25/34 404 414 Nomura Asset Acceptance, Ser 2004-R2, Cl A1 (D) (F) 6.500%, 10/25/34 480 491 Option One Mortgage Loan Trust, Ser 2003-5, Cl M1 (D) 5.970%, 12/23/06 400 401 Option One Mortgage Loan Trust, Ser 2006-1, Cl M10 (D) (F) 7.820%, 12/27/06 70 61 Option One Mortgage Loan Trust, Ser 2006-1, Cl M11 (D) (F) 7.820%, 12/27/06 150 144 Park Place Securities NIM Trust, Ser 2004-MM1, Cl AM6 (C) (D) 5.350%, 02/26/07 535 534 Renaissance Home Equity Loan Trust, Ser 2004-2, Cl AF3 (G) 4.464%, 07/25/34 1,102 1,096 Residential Accredit Loans, Ser 2005-Q05, Cl M3 (D) 6.120%, 12/25/06 349 355 Residential Accredit Loans, Ser 2005-QA3, Cl NB2 (D) 5.267%, 12/25/06 1,919 1,926 Residential Accredit Loans, Ser 2006-Q01, Cl 2A3 (D) 5.720%, 12/27/06 486 487 Residential Asset Mortgage Products, Ser 2003-RS11, Cl MII1 (D) 6.050%, 12/25/06 124 124 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousand)(1) ($ Thousands) ------------------------------------------------------------------------------- Residential Asset Mortgage Products, Ser 2006-RZ1, Cl A1 (D) 5.400%, 12/27/06 $ 5,590 $ 5,592 Residential Asset Securities, Ser 2006-EMX2, Cl A1 (D) 5.400%, 12/27/06 1,833 1,833 Residential Asset Securities, Ser 2006-KS2, Cl A1 (D) 5.390%, 12/27/06 3,125 3,125 Residential Asset Securitization Trust, Ser 2004-IP2, Cl 3A1 (D) 5.274%, 12/25/06 1,769 1,777 Resmae Mortgage Loan Trust, Ser 2006-1, Cl A2A (D) (F) 5.420%, 12/25/06 1,743 1,743 Resmae Mortgage Loan Trust, Ser 2006-1, Cl A2B (D) (F) 5.470%, 12/25/06 1,500 1,500 SB Finance NIM Trust, Ser 2006-KS4N, Cl N1 (F) 7.500%, 06/25/36 90 90 Saturn Ventures II (C) (D) 5.380%, 02/07/07 1,449 1,449 Securtized Asset-Backed Receivables Trust, Ser 2005-OP1, Cl A2B (D) 5.500%, 12/25/06 37 38 Sharps SP I LLC NIM Trust, Ser 2005-HE3N, Cl N (F) 5.000%, 05/25/35 220 220 Structured Adjustable Rate Mortgage Loan, Ser 2005-16 XS, Cl M2 (D) 6.220%, 12/25/06 205 206 Structured Asset Investment Loan Trust, Ser 2005-1, Cl A4 (D) (F) 5.550%, 12/25/06 930 930 Structured Asset Investment Loan Trust, Ser 2005-8, Cl A2 (D) 5.450%, 12/25/06 480 480 Structured Asset Securities, Ser 2005-NC1, Cl A2 (G) 3.920%, 02/25/35 179 178 TIAA Real Estate, Ser 2003-1A, Cl A1 (C) (D) (F) 5.350%, 09/28/07 1,338 1,338 Terwin Mortgage Trust, Ser 2006-5, Cl 1A2A (D) (F) 5.410%, 12/26/06 4,215 4,215 Terwin Mortgage Trust, Ser 2006-6, Cl 2A1 (D) 4.500%, 06/25/36 644 640 Wells Fargo Home Equity Trust, Ser 2004-2, Cl A12 (D) 3.450%, 06/25/19 698 694 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 175 SCHEDULE OF INVESTMENTS (Unaudited) World Equity Ex-US Fund (Continued) November 30, 2006 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousand)(1) ($ Thousands) ------------------------------------------------------------------------------- Wells Fargo Mortgage Backed Securities Trust, Ser 2004-I, Cl B1 (D) 3.365%, 12/01/06 $ 261 $ 261 ---------- Total Asset-Backed Securities (Cost $115,205) ($ Thousands) 115,506 ---------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS -- 7.1% FHLMC ARM (J) 5.572%, 10/01/35 793 794 FNMA ARM 5.524%, 01/01/36 736 739 FNMA 15 Year TBA 6.000%, 12/01/18 22,000 22,392 5.500%, 12/01/20 28,844 28,998 5.500%, 02/01/21 976 982 5.500%, 06/01/21 47 47 5.500%, 07/01/21 25 25 5.000%, 12/01/18 27,000 26,747 FNMA 30 Year TBA 6.500%, 01/01/32 21,000 21,420 GNMA ARM 5.625%, 02/20/34 541 542 5.500%, 12/30/06 665 667 5.250%, 08/20/34 (J) 262 262 5.000%, 01/20/33 - 04/20/34 1,535 1,536 4.500%, 08/20/34 - 06/20/36 2,214 2,210 4.000%, 02/20/35 (J) 426 421 3.750%, 12/20/33 2,500 2,459 ---------- Total U.S. Government Agency Mortgage-Backed Obligations (Cost $109,789) ($ Thousands) 110,241 ---------- CORPORATE OBLIGATIONS -- 4.3% CONSUMER DISCRETIONARY -- 0.1% Comcast 5.300%, 01/15/14 520 515 Cox Communications 4.625%, 06/01/13 415 395 Omnicon Group 5.900%, 04/15/16 230 237 Time Warner 6.875%, 05/01/12 415 443 ---------- 1,590 ---------- ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousand)(1) ($ Thousands) ------------------------------------------------------------------------------- ENERGY -- 0.1% Dominion Resources 4.750%, 12/15/10 $ 280 $ 276 Exelon Generation 6.950%, 06/15/11 415 441 Kinder Morgan Energy Partners 5.000%, 12/15/13 415 400 ---------- 1,117 ---------- FINANCIALS -- 4.0% Aetna 5.750%, 06/15/11 415 425 Allstate Life Global Funding II MTN (C) (D) (F) 5.360%, 12/17/07 828 828 American General Finance (C) (D) (F) 5.350%, 12/17/07 2,609 2,609 Bear Stearns EXL (C) (D) 5.360%, 12/17/07 3,203 3,203 Cit Group 5.000%, 02/13/14 555 543 Countrywide Financial MTN, Ser A (C) (D) 5.448%, 10/31/07 3,779 3,779 Credit Suisse First Boston USA 6.500%, 01/15/12 280 297 Dekabank (C) (D) (F) 5.394%, 11/20/07 3,329 3,329 Genworth Financial 5.750%, 06/15/14 415 430 Glitnir Bank (C) (D) (F) 5.370%, 04/06/07 4,229 4,229 Goldman Sachs 5.500%, 11/15/14 835 846 HSBC Finance 6.375%, 10/15/11 415 438 Irish Life & Permanent MTN, Ser X (C) (D) (F) 5.360%, 12/21/07 2,393 2,393 Istar Financial 5.875%, 03/15/16 280 282 JPMorgan Chase 5.125%, 09/15/14 415 412 Jackson National Life Funding (C) (D) (F) 5.320%, 12/03/07 3,959 3,959 Kaupthing Bank MTN (C) (D) (F) 5.380%, 03/20/07 4,499 4,499 Landsbanki Islands (C) (D) (F) 5.400%, 03/16/07 3,419 3,419 Lehman Brothers Holdings 5.500%, 04/04/16 415 420 -------------------------------------------------------------------------------- 176 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousand)(1) ($ Thousands) ------------------------------------------------------------------------------- Merrill Lynch 6.050%, 05/16/16 $ 415 $ 436 Morgan Stanley 4.750%, 04/01/14 415 401 Morgan Stanley EXL (C) (D) 5.380%, 01/04/08 630 630 Morgan Stanley EXL, Ser S (C) (D) 5.340%, 12/05/07 900 900 Natexis Banques (C) (D) (F) 5.300%, 12/17/07 1,754 1,754 Nationwide Building Society (C) (D) (F) 5.424%, 10/26/07 990 990 5.350%, 12/07/07 1,800 1,800 Nordbank (C) (D) (F) 5.350%, 12/24/07 3,059 3,059 Northern Rock (C) (D) (F) 5.360%, 12/03/07 1,853 1,853 Pacific Life Global Funding (C) (D) (F) 5.370%, 12/13/07 1,350 1,350 Premium Asset Trust, Ser 2004-10 (C) (D) (F) 5.360%, 12/17/07 2,519 2,519 Residential Capital 6.875%, 06/30/15 80 85 6.500%, 04/17/13 1,095 1,136 6.000%, 02/22/11 220 223 SLM EXL, Ser S (C) (D) (F) 5.320%, 12/17/07 1,979 1,979 Shinsei Finance Cayman (D) (F) 6.418%, 01/29/49 545 554 Simon Property Group 5.750%, 12/01/15 280 290 5.600%, 09/01/11 300 305 Skandinav Enskilda Bank (C) (D) (F) 5.320%, 12/18/07 1,979 1,979 Stanfield Victoria MTN (C) 5.445%, 06/11/07 1,799 1,799 Wachovia 5.300%, 10/15/11 965 975 4.875%, 02/15/14 280 274 Washington Mutual Preferred Funding (D) (F) 6.534%, 03/15/49 600 595 ---------- 62,226 ---------- HEALTH CARE -- 0.1% Teva Pharmaceutical 5.550%, 02/01/16 415 414 Wellpoint 6.800%, 08/01/12 280 300 ---------- 714 ---------- ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousand)(1) ($ Thousands) ------------------------------------------------------------------------------- INDUSTRIALS -- 0.0% Lafarge 6.150%, 07/15/11 $ 250 $ 258 ---------- TELECOMMUNICATION SERVICES -- 0.0% Embarq 6.738%, 06/01/13 205 213 ---------- Total Corporate Obligations (Cost $65,642) ($ Thousands) 66,118 ---------- COMMERCIAL PAPER (E) -- 1.5% FINANCIALS -- 1.5% Broadhollow Funding (C) 5.305%, 12/07/06 1,008 1,007 KKR Pacific Funding Trust (C) 5.345%, 12/27/06 1,799 1,793 5.305%, 01/02/07 900 895 ML Finance De Disc 5.240%, 12/12/06 5,000 4,992 Ocala Funding LLC (C) 5.320%, 12/18/06 900 898 5.320%, 01/26/07 900 892 Rhineland Funding Capital (C) 5.385%, 01/25/07 1,134 1,124 5.364%, 12/27/06 900 896 5.364%, 02/13/07 891 881 5.313%, 12/12/06 592 591 UBS Finance (Delaware) 5.250%, 12/12/06 7,000 6,989 Witherspoon CDO Funding (C) (D) 5.330%, 03/15/07 1,553 1,553 Witherspoon CDO Funding Limited (C) 5.329%, 12/15/06 900 898 ---------- Total Commercial Paper (Cost $23,409) ($ Thousands) 23,409 ---------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 1.0% FHLMC CMO STRIPS, Ser 232, Cl 10, IO 5.000%, 08/01/35 3,624 816 FHLMC CMO STRIPS, Ser 233, Cl 12, IO 5.000%, 09/15/35 1,614 390 FHLMC (H) 5.340%, 01/23/07 350 347 5.250%, 01/16/07 1,575 1,565 5.213%, 02/06/07 5,300 5,249 5.204%, 04/17/07 75 74 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 177 SCHEDULE OF INVESTMENTS (Unaudited) World Equity Ex-US Fund (Continued) November 30, 2006 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousand)(1)/Shares ($ Thousands) ------------------------------------------------------------------------------- FNMA CMO STRIPS, Ser 2006-10, Cl FD (D) 5.670%, 12/25/06 $ 2,138 $ 2,139 FNMA CMO STRIPS, Ser 359, Cl 6, IO 5.000%, 11/01/35 639 141 FNMA CMO STRIPS, Ser 360, Cl 2, IO 5.000%, 08/01/35 10,609 2,390 FNMA (H) 6.030%, 02/02/95 70 69 5.394%, 12/06/06 700 699 5.205%, 03/30/07 95 93 5.160%, 02/07/07 150 149 4.680%, 06/01/99 650 634 ---------- Total U.S. Government Agency Obligations (Cost $14,951) ($ Thousands) 14,755 ---------- PREFERRED STOCK -- 0.7% AUSTRALIA -- 0.0% News 2,988 62 ---------- BRAZIL -- 0.4% Cia Energetica de Minas Gerais 50,585,515 2,286 Petroleo Brasileiro 52,000 1,099 Tam 85,942 2,417 Usinas Siderurgicas de Minas Gerais, Cl A 21,400 722 ---------- 6,524 ---------- GERMANY -- 0.2% Henkel KGaA* 3,200 458 Porsche 525 610 ProSiebenSat.1 Media 43,400 1,311 Volkswagen 1,412 98 ---------- 2,477 ---------- ITALY -- 0.0% Unipol* 22,347 69 ---------- SOUTH KOREA -- 0.1% Hyundai Motor (Second Preferred)* 9,150 397 Samsung Electronics 1,000 538 ---------- 935 ---------- UNITED KINGDOM -- 0.0% Scottish Power, Cl B 8,033 55 ---------- Total Preferred Stock (Cost $7,284) ($ Thousands) 10,122 ---------- ------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousand)(1) ($ Thousands) ------------------------------------------------------------------------------- EXCHANGE TRADED FUNDS -- 2.6% iShares MSCI Emerging Markets Index Fund* 364,562 $ 40,029 iUnits S&P/TSX 60 Index Fund 700 45 ---------- Total Exchange Traded Funds (Cost $36,045) ($ Thousands) 40,074 ---------- CASH EQUIVALENT -- 1.7% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.300% ** 25,718,834 25,719 ---------- Total Cash Equivalent (Cost $25,719) ($ Thousands) 25,719 ---------- U.S. TREASURY OBLIGATIONS (E) -- 0.9% U.S. Treasury Bills (A) 5.033%, 12/28/06 $ 1,100 1,096 4.971%, 12/21/06 75 75 4.942%, 02/22/07 2,423 2,395 4.914%, 01/18/07 2,150 2,136 4.770%, 12/14/06 50 50 U.S. Treasury Inflationary Index Notes 2.375%, 04/15/11 7,480 7,521 ---------- Total U.S. Treasury Obligations (Cost $13,236) ($ Thousands) 13,273 ---------- EQUITY LINKED WARRANTS -- 0.4% TAIWAN -- 0.3% HON HAI Precision Industry* 594 4,321 ---------- THAILAND -- 0.1% High Tech Computer* 97 2,242 ---------- Total Equity Linked Warrants (Cost $4,231) ($ Thousands) 6,563 ---------- -------------------------------------------------------------------------------- 178 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousand)(1)/Contracts ($ Thousands) ------------------------------------------------------------------------------- MASTER NOTE (C) (E) -- 0.3% Bank of America 5.383%, 12/01/45 $ 4,499 $ 4,499 ---------- Total Master Note (Cost $4,499) ($ Thousands) 4,499 ---------- CERTIFICATES OF DEPOSIT (C) -- 0.2% Barclays Bank (D) 5.330%, 06/11/07 900 900 CC USA MTN (F) 5.379%, 06/18/07 1,799 1,799 US Trust Company New York (D) 5.316%, 03/13/07 720 720 ---------- Total Certificates of Deposit (Cost $3,419) ($ Thousands) 3,419 ---------- PURCHASED OPTION -- 0.0% 120 Day Euro Futures Call, Expires 12/16/06, Strike Price $95 100 87 ---------- Total Purchased Option (Cost $78) ($ Thousands) 87 ---------- Number of Rights --------- RIGHTS -- 0.0% FRANCE -- 0.0% Scor, Expires 11/29/06 (B) 577 69 ---------- HONG KONG -- 0.0% Kingboard Laminate Entitlement, Expires 12/07/06 4 -- ---------- Total Rights (Cost $--) ($ Thousands) 69 ---------- REPURCHASE AGREEMENTS (C) (I) -- 1.3% ABN Amro 5.300%, dated 11/30/06, to be repurchased on 12/01/06, repurchase price $7,198,936 (collateralized by U.S. GovernmentObligations, ranging in par value $89,973- $2,699,204, 0.000%-6.000%, 03/01/07-07/01/36, total market value $7,341,834) 7,198 7,198 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousand)(1)/Contracts ($ Thousands) ------------------------------------------------------------------------------- Barclays Capital 5.300%, dated 11/30/06, to be repurchased on 12/01/06, repurchase price $1,531,970 (collateralized by U.S. Government Obligations, ranging in par value $33,560- $477,219, 2.750%-5.700%, 12/15/06-05/27/15, total market value $1,562,403) $ 1,532 $ 1,532 Deutsche Bank 5.300%, dated 11/30/06, to be repurchased on 12/01/06, repurchase price $612,665 (collateralized by U.S. Government Obligations, ranging in par value $170,770- $463,183, 0.000%-5.800%, 05/01/07-01/27/20, total market value $624,870) 613 613 Lehman Brothers 5.300%, dated 11/30/06, to be repurchased on 12/01/06, repurchase price $11,147,931 (collateralized by U.S. Government Obligations, ranging in par value $82,506- $13,909,555, 3.085%-6.300%, 12/21/07-01/15/30,total market value $11,369,283) 11,146 11,146 ---------- Total Repurchase Agreements (Cost $20,489) ($ Thousands) 20,489 ---------- Total Investments -- 111.7% (Cost $1,522,814) ($ Thousands) $1,721,068 ========== WRITTEN OPTION -- 0.0% 120 Day Euro Futures Call, Expires 12/15/06, Strike Price $95 (100) (107) ---------- Total Written Option (Premium Received $(70)) ($ Thousands) $ (107) ---------- -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 179 SCHEDULE OF INVESTMENTS (Unaudited) World Equity Ex-US Fund (Continued) November 30, 2006 ------------------------------------------------------------------------------- A summary of the open futures contracts held by the Fund at November 30, 2006, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED APPRECIATION TYPE OF NUMBER OF EXPIRATION (DEPRECIATION) CONTRACT CONTRACTS DATE ($ THOUSANDS) -------------------------------------------------------------------------------- 90-Day Euro$ (60) Mar-2007 $ -- 90-Day Euro$ (60) Mar-2008 (64) 90-Day Euro$ (46) Mar-2009 (62) 90-Day Euro$ (46) Mar-2010 (61) 90-Day Euro$ (39) Mar-2011 (62) 90-Day Euro$ (82) Jun-2007 (45) 90-Day Euro$ (55) Jun-2008 (60) 90-Day Euro$ (46) Jun-2009 (61) 90-Day Euro$ (49) Jun-2010 (66) 90-Day Euro$ (7) Jun-2011 (10) 90-Day Euro$ (60) Sep-2007 (38) 90-Day Euro$ (57) Sep-2008 (67) 90-Day Euro$ (46) Sep-2009 (62) 90-Day Euro$ (51) Sep-2010 (69) 90-Day Euro$ 4 Sep-2011 4 90-Day Euro$ (38) Dec-2006 13 90-Day Euro$ (60) Dec-2007 (54) 90-Day Euro$ (46) Dec-2008 (63) 90-Day Euro$ (46) Dec-2009 (62) 90-Day Euro$ (50) Dec-2010 (73) Amsterdam Exchange Index 68 Dec-2006 (321) CAC40 10 Euro 220 Dec-2006 (252) DAX Index 71 Dec-2006 822 DJ Euro Stoxx 50 Index 252 Dec-2006 511 Euro-Bund (24) Dec-2006 (37) FTSE 100 Index 413 Dec-2006 985 Hang Seng Index 39 Dec-2006 9 Ibex 35 Index 39 Dec-2006 (158) MSCI Singapore Index 37 Dec-2006 16 Nikkei 225 Index 4 Dec-2006 (3) OMX Index 549 Dec-2006 (326) S&P/MIB Index 35 Dec-2006 376 S&P/TSE 60 Index 161 Dec-2006 1,786 SPI 200 Index 137 Dec-2006 998 Topix Index 335 Dec-2006 (800) U.S. 10-Year Note 23 Mar-2007 10 U.S. 2-Year Note (6) Mar-2007 (2) U.S. 5-Year Note 27 Dec-2006 5 U.S. 5-Year Note (188) Mar-2007 (72) U.S. Long Treasury Bond (8) Dec-2006 (6) ------ $2,579 ====== A summary of the outstanding forward foreign currency contracts held by the Fund at November 30, 2006, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED CURRENCY TO CURRENCY TO APPRECIATION MATURITY DELIVER RECEIVE (DEPRECIATION) DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- 12/20/06 USD 11,135 CAD 12,695 $ (12) 12/20/06 USD 1,282 DKK 7,367 29 12/20/06 USD 52,763 EUR 40,699 1,224 12/20/06 USD 2,702 HKD 21,023 2 12/20/06 USD 1,388 NOK 8,850 50 12/20/06 USD 232 NZD 345 4 12/20/06 USD 4,249 SEK 29,679 94 12/20/06 USD 1,427 SGD 2,213 11 12/21/06 EUR 22,792 USD 29,185 (1,050) 12/21/06 HKD 90,819 USD 11,677 (6) 12/21/06 MXP 57,519 USD 5,270 44 12/21/06 USD 4,609 ZAR 33,616 69 12/20/06-12/21/06 USD 29,346 AUD 38,173 771 12/20/06-12/21/06 USD 69,081 GBP 36,305 2,334 12/21/06-2/21/07 GBP 3,523 JPY 776,000 (186) 12/21/06-4/24/07 CHF 21,800 GBP 9,336 42 12/21/06-4/24/07 CHF 24,400 USD 19,754 (774) -------------------------------------------------------------------------------- UNREALIZED CURRENCY TO CURRENCY TO APPRECIATION MATURITY DELIVER RECEIVE (DEPRECIATION) DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- 12/21/06-4/24/07 GBP 5,897 CHF 13,700 $ (71) 12/21/06-4/24/07 JPY 3,126,000 USD 27,038 (309) 12/21/06-4/24/07 USD 43,755 CHF 53,968 1,498 12/21/06-4/24/07 USD 62,633 JPY 7,251,334 447 12/21/06-5/22/07 JPY 2,076,000 GBP 9,483 506 12/21/06-5/22/07 JPY 3,128,000 NZD 41,381 687 12/21/06-5/22/07 NZD 27,528 JPY 2,086,000 (417) ------- $ 4,987 ======= A summary of the outstanding swap agreements held by the Fund at November 30, 2006, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- TOTAL RETURN SWAPS -------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- Fund receives payment on the monthly reset spread from Banc of America -- CMBS IG 10YR Index plus 22.5 basis points times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period, and pays if the return on the spread depreciates over the payment period. (Counter Party: Bank of America) 05/01/07 $ 60,000 $ (6) Fund receives payment on the monthly reset spread from Banc of America -- CMBS AAA 10YR Index plus 10 basis points times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period, and pays if the return on the spread depreciates over the payment period. (Counter Party: Bank of America) 02/01/07 250,000 (31) Fund receives payment on the monthly reset spread from Banc of America -- CMBS AAA 10YR Index plus 12.5 basis points times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period, and pays if the return on the spread depreciates over the payment period. (Counter Party: Bank of America) 02/28/07 100,000 (13) Fund receives payment on the monthly reset spread from Banc of America -- CMBS AAA 10YR Index times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period, and pays if the return on the spread depreciates over the payment period. (Counter Party: Bank of America) 03/01/07 180,000 (24) Fund receives payment on the monthly reset spread from Banc of America -- CMBS AAA 10YR Index plus 7.5 basis points times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period, and pays if the return on the spread depreciates over the payment period. (Counter Party: JPMorgan Chase) 03/31/07 150,000 (20) Fund receives payment on the monthly reset spread from Lehman Brothers -- CMBS AAA 8.5+ Index plus 12.5 basis points times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period, and pays if the return on the spread depreciate over the payment period. (Counter Party: Wachovia Bank) 06/01/07 90,000 -- Fund receives payment on the monthly reset spread from Lehman Brothers -- CMBS AAA 10YR Index plus 7.5 basis points times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period, and pays if the return on the spread depreciates over the payment period. (Counter Party: Wachovia Bank) 02/28/07 170,000 (20) -------------------------------------------------------------------------------- 180 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- Fund receives payment on the monthly reset spread from Swiss Market Index -- TRS 3M CHF Libor plus 27 basis points times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period, and pays if the return on the spread depreciates over the payment period. Counter Party: JPMorgan Chase) 01/17/07 $ 9,619 $ (88) ----- $(202) ===== -------------------------------------------------------------------------------- CREDIT DEFAULT SWAP -------------------------------------------------------------------------------- Fund receives payment of 0.54% per annum times the notional amount of the ABX.HE.A Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counter Party: JPMorgan Chase) 07/25/45 $ 12,500 $ (1) The Fund pays quarterly payment of 0.0875% (0.350% per annum) times notional amount of, Alcan Inc 4.875%, 09/15/12. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/13 1,000 -- The Fund pays quarterly payment of 0.1375% (0.550% per annum) times notional amount of, Black & Decker Corp 7.125%, 06/01/11. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/11 1,000 -- The Fund pays quarterly payment of 0.1113% (0.445% per annum) times notional amount of, Darden Restaurants Inc. 7.125%, 02/01/16. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/11 1,000 (1) The Fund pays quarterly payment of 0.1063% (0.425% per annum) times notional amount of, Eastman Chemical Co. 7.600%, 02/01/27. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/11 1,000 (1) The Fund pays quarterly payment of 0.2950% (1.180% per annum) times notional amount of, Gap Inc. 9.000%, 12/15/08. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/11 1,000 1 The Fund pays quarterly payment of 0.0975% (0.390% per annum) times notional amount of, Johnson Controls Inc. 7.125%, 07/15/17. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/13 1,000 (2) The Fund pays quarterly payment of 0.1188% (0.475% per annum) times notional amount of, Ltd. Brands Inc. 6.125%, 12/01/12. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/11 1,000 -- The Fund pays quarterly payment of 0.1825% (0.730% per annum) times notional amount of, Masco Corp. 5.875%, 07/15/12. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/13 1,000 (2) The Fund pays quarterly payment of 0.0875% (0.350% per annum) times notional amount of, MGIC Investment Corp. 6.000%, 03/15/07. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/13 1,000 (2) The Fund pays quarterly payment of 0.1188% (0.475% per annum) times notional amount of, MeadWestvaco 6.850%, 04/01/12. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/11 1,000 1 -------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- The Fund pays quarterly payment of 0.0550% (0.220% per annum) times notional amount of, Nucor Corp. 4.875%, 10/01/12. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/11 $ 1,000 $ (2) The Fund pays quarterly payment of 0.0875% (0.350% per annum) times notional amount of, PMI Group Inc. 6.000%, 09/15/16. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/13 1,000 (1) The Fund pays quarterly payment of 0.0875% (0.350% per annum) times notional amount of, Radian Group Inc. 7.750%, 06/01/11. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/13 1,000 (1) The Fund pays quarterly payment of 0.0475% (0.190% per annum) times notional amount of, TJX Cos Inc 7.450%, 12/15/09. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/11 1,000 (1) The Fund pays quarterly payment of 0.1125% (0.450% per annum) times notional amount of, Wayerhaeuser Co. 6.750%, 03/15/12. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/11 1,000 2 The Fund pays quarterly payment of 0.0850% (0.340% per annum) times notional amount of, Agrium Inc. 8.250%, 02/15/11. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JP Morgan) 12/20/11 1,000 -- The Fund pays quarterly payment of 0.1150% (0.460% per annum) times notional amount of, Autotzone Inc 5.875%, 10/15/12. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JP Morgan) 12/20/11 1,000 -- The Fund pays quarterly payment of 0.1375% (0.550% per annum) times notional amount of, Black & Decker Corp. 7.125%, 06/01/11. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JP Morgan) 12/20/11 1,000 (1) The Fund pays quarterly payment of 0.0650% (0.260% per annum) times notional amount of, Dow Chemical Co. 6.000%, 10/01/12. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JP Morgan) 12/20/13 1,000 (3) The Fund pays quarterly payment of 0.2950% (1.180% per annum) times notional amount of, Gap Inc. 9.800%, 12/15/08. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JP Morgan) 12/20/11 1,000 1 The Fund pays quarterly payment of 0.0975% (0.390% per annum) times notional amount of, Hasbro Inc 2.750%, 12/01/21. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JP Morgan) 12/20/11 1,000 (1) The Fund pays quarterly payment of 0.1925% (0.770% per annum) times notional amount of, Jones Apparel Group Inc. 5.125%, 11/15/14. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JP Morgan) 12/20/11 1,000 (1) The Fund pays quarterly payment of 0.0700% (0.280% per annum) times notional amount of, Nordstrom Inc 6.950%, 03/15/28. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JP Morgan) 12/20/13 1,000 -- -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 181 SCHEDULE OF INVESTMENTS (Unaudited) World Equity Ex-US Fund (Concluded) November 30, 2006 ------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- The Fund pays quarterly payment of 0.0675% (0.270% per annum) times notional amount of, Southwest Airlines Co. 6.500%, 03/01/12. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JP Morgan) 12/20/11 $ 1,000 $ 1 The Fund pays quarterly payment of 0.1125% (0.450% per annum) times notional mount of, Lubrizol Corp. 7.250%, 06/15/25. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. Counter Party: JP Morgan) 12/20/11 1,000 (1) The Fund pays quarterly payment of 0.0875% (0.350% per annum) times notional amount of, MGIC Investment Corp. 6.000%, 03/15/07. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JP Morgan) 12/20/13 1,000 (2) The Fund pays quarterly payment of 0.0550% (0.220% per annum) times notional amount of, Nucor Corp. 4.875%, 10/01/12. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JP Morgan) 12/20/11 1,000 (1) The Fund pays quarterly payment of 0.0875% (0.350% per annum) times notional amount of, PMI Group Inc. 6.000%, 09/15/16. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JP Morgan) 12/20/13 1,000 (1) The Fund pays quarterly payment of 0.0500% (0.200% per annum) times notional amount of, PPG Industries Inc 7.050%, 08/15/09. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JP Morgan) 12/20/11 1,000 (1) The Fund pays quarterly payment of 0.0975% (0.390% per annum) times notional amount of, Radian Group Inc 7.750%, 06/01/11. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JP Morgan) 12/20/13 1,000 (1) The Fund pays quarterly payment of 0.0845% (0.340% per annum) times notional amount of, Whirlpool Corp. 7.750%, 07/15/16. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: JP Morgan) 12/20/11 1,000 -- The Fund pays quarterly payment of 0.0700% (0.280% per annum) times notional amount of, Nordstrom Inc. 6.950%, 03/15/28. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Merrill Lynch) 12/20/13 1,000 -- The Fund pays quarterly payment of 0.0325% (0.130% per annum) times notional amount of, Lowe's Cos Inc. 8.250%, 06/01/10. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Merrill Lynch) 12/20/11 1,000 1 The Fund pays quarterly payment of 0.0675% (0.270% per annum) times notional amount of, Southwest Airlines Co. 6.500%, 03/01/12. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Merrill Lynch) 12/20/11 1,000 1 The Fund pays quarterly payment of 0.1125% (0.450% per annum) times notional amount of, Lubrizol Corp. 7.250%, 06/15/25. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Merrill Lynch) 12/20/11 1,000 (1) The Fund pays quarterly payment of 0.2250% (0.900% per annum) times notional amount of, MDZ Holdings Inc 5.500%, 05/15/13. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Merrill Lynch) 12/20/11 1,000 (1) -------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- The Fund pays quarterly payment of 0.1725% (0.690% per annum) times notional amount of, RR Donnelley & Sons Co. 4.950%, 04/01/14. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Merrill Lynch) 12/20/11 $ 1,000 $ -- The Fund receives quarterly payment of 0.1000% (0.400% per annum) times notional amount of, CDX.NA.IG Series 7 index. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Bank of America) 12/20/11 18,400 41 The Fund receives quarterly payment of 0.1000% (0.400% per annum) times notional amount of, CDX.NA.IG Series 7 index. Upon a defined credit event, the fund will receive the notional amount and deliver the defined obligation. (Counter Party: Merrill Lynch) 12/20/11 18,400 41 ----- $ 61 ===== Percentages are based on Net Assets of $1,540,778 ($ Thousands). * Non-Income Producing Security ** Rate shown is the 7-day effective yield as of November 30, 2006. + Real Estate Investments Trust (1) In U.S. dollars unless otherwise indicated. (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. (B) This security or a partial position of this security is on loan at November 30, 2006 (See Note 9). The total value of securities on loan at November 30, 2006 was $94,320 ($ Thousands). (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, 2006 was $98,552 ($ Thousands). (D) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of November 30, 2006. (F) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (E) The rate reported is the effective yield at time of purchase. (G) Step Bonds -- The rate reflected on the Schedule of Investments is the effective yield on November 30, 2006. The coupon on a step bond changes on a specified date. (H) Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase. (I) Tri-Party Repurchase Agreement (J) Security, or portion of this security, has been pledged as collateral on open swap contracts. The rate reported on the Schedule of Investments is the effective yield at time of purchase. (K) Security, or a poriton of this security, has been pledged as collateral on reverse repurchase agreements. ADR -- American Depositary Receipt ARM -- Adjustable Rate Mortgage AUD -- Australian Dollar CAD -- Canadian Dollar CDO -- Collateralized Debt Obligation CHF -- Swiss Franc Cl -- Class CMO -- Collateralized Mortgage Obligation DKK -- Danish Krone EUR -- Euro EXL -- Extendable Maturity -------------------------------------------------------------------------------- 182 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- DESCRIPTION -------------------------------------------------------------------------------- FDR -- Fiduciary Depositary Receipt FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GBP -- British Pound Sterling GDR -- Global Depositary Receipt GNMA -- Government National Mortgage Association HKD -- Hong Kong Dollar IO -- Interest Only JPY -- Japanese Yen LLC -- Limited Liability Company MTN -- Medium Term Note MXP -- Mexican Peso NIM -- Net Interest Margin NOK -- Norwegian Krone NVDR -- Non-Voting Depositary Receipt NZD -- New Zealand Dollar SDR -- Swedish Depositary Receipt SEK -- Swedish Krona Ser -- Series SGD -- Singapore Dollar STRIPS -- Separately Traded Registered Interest and Principal Securities TBA -- To Be Announced USD -- U.S. Dollar ZAR -- South African Rand Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 183 SCHEDULE OF INVESTMENTS (Unaudited) Emerging Markets Debt Fund November 30, 2006 -------------------------------------------------------------------------------- [Bar Chart Omitted] Plot points as follows: SECTOR WEIGHTINGS++: 85.9% Government 5.0% Financials 3.1% Deposits to Counterparty as Collateral for Swap Contracts 1.6% Energy 1.0% Short-Term Investments 1.0% Basic Materials 0.5% Commercial Paper 0.5% Industrials 0.4% Asset-Backed Securities 0.3% Telecommunication Services 0.3% Utilities 0.2% Certificates of Deposit 0.2% Master Note ++Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 9). ------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) ------------------------------------------------------------------------------- GLOBAL BONDS -- 90.1% ARGENTINA -- 7.3% Cia Transporte Energia (H) 9.000%, 12/15/15 255 $ 254 Province Del Neuquen (A) 8.656%, 10/18/14 230 236 Province of Buenos Aires 9.375%, 09/14/18 440 447 2.000%, 05/15/35 (H) 800 394 Province of Mendoza 5.500%, 09/04/18 113 95 Republic of Argentina 10.250%, 01/26/07 (I) EUR 850 352 9.000%, 06/20/03 (I) EUR 3,000 1,173 9.000%, 11/19/08 (I) EUR 1,000 197 9.000%, 05/29/09 (I) EUR 1,375 548 8.500%, 07/01/04 (I) EUR 4,300 1,699 8.280%, 12/31/33 (C) 14,334 14,592 8.125%, 04/21/08 (I) EUR 3,000 1,194 7.820%, 12/31/33 EUR 210 277 5.589%, 08/03/12 (B) 13,875 9,900 1.330%, 12/31/38 (H) 17,380 8,647 0.000%, 12/31/33 (B) 3,550 1,613 0.000%, 12/15/35 (B) 3,315 427 Republic of Argentina MTN, Ser E 10.000%, 01/07/05 (I) EUR 1,650 698 9.250%, 07/20/04 (I) EUR 2,100 842 8.750%, 02/04/49 (I) EUR 5,000 2,078 8.000%, 10/30/09 (I) EUR 2,000 393 7.000%, 03/18/49 (I) EUR 2,300 930 Republic of Argentina, Ser F 0.000%, 10/15/04 (I) EUR 1,425 317 Transportadora Gas Norte (H) 6.500%, 12/31/12 85 80 -------- 47,383 -------- ------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) ------------------------------------------------------------------------------- BOSNIA-HERZEGOVINA -- 0.1% Republic of Bosnia & Herzegovina, Ser B (E) 0.000%, 12/11/17 EUR 2,000 $ 922 BRAZIL -- 11.7% Federal Republic of Brazil 12.500%, 01/05/16 BRL 10,300 5,023 12.500%, 01/05/22 BRL 19,537 9,595 11.000%, 08/17/40 22,625 30,091 10.125%, 05/15/27 2,000 2,776 8.750%, 02/04/25 12,605 15,467 8.250%, 01/20/34 2,250 2,708 8.000%, 01/15/18 5,895 6,576 7.125%, 01/20/37 2,980 3,166 -------- 75,402 -------- CAYMAN ISLANDS -- 0.9% Blue City Investments 13.750%, 11/07/13 500 497 Vale Overseas 6.875%, 11/21/36 2,785 2,851 6.250%, 01/11/16 2,580 2,608 6.250%, 01/23/17 70 71 -------- 6,027 -------- CHILE -- 0.3% Codelco 5.500%, 10/15/13 575 582 Republic of Chile 5.500%, 01/15/13 1,550 1,581 -------- 2,163 -------- CHINA -- 0.6% People's Republic of China 4.750%, 10/29/13 4,105 4,074 -------- COLOMBIA -- 5.0% Republic of Colombia 12.000%, 10/22/15 COP 7,104,000 3,575 11.750%, 03/01/10 COP 5,120,000 2,388 11.750%, 02/25/20 4,953 7,083 10.750%, 01/15/13 (C) 2,775 3,424 10.375%, 01/28/33 2,485 3,479 8.125%, 05/21/24 7,605 8,601 7.375%, 01/27/17 2,585 2,751 7.375%, 09/18/37 830 865 7.175%, 02/16/07 (B) 225 232 -------- 32,398 -------- -------------------------------------------------------------------------------- 184 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 ------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) ------------------------------------------------------------------------------- CYPRUS -- 0.3% Springvale Holdings (B) 11.389%, 09/07/07 1,000 $ 1,000 Teorema Holding 9.000%, 10/27/08 600 600 -------- 1,600 -------- DOMINICAN REPUBLIC -- 0.2% Republic of Dominican Republic 8.625%, 04/20/27 1,000 1,135 -------- ECUADOR -- 1.9% Republic of Ecuador Registered 10.000%, 02/15/07 (H) 3,450 3,243 9.375%, 12/15/15 9,020 9,020 -------- 12,263 -------- EL SALVADOR -- 2.5% Republic of El Salvador 8.250%, 04/10/32 5,290 6,295 7.750%, 01/24/23 1,815 2,075 7.650%, 06/15/35 6,674 7,475 -------- 15,845 -------- INDONESIA -- 2.9% Indonesia Treasury Bond 12.000%, 09/15/11 IDR 27,130,000 3,153 Indosat Finance 7.125%, 06/22/12 1,000 1,007 Republic of Indonesia 8.500%, 10/12/35 1,260 1,511 8.500%, 10/12/35 (A) 1,800 2,182 7.500%, 01/15/16 1,140 1,234 7.500%, 01/15/16 (A) (C) 2,200 2,395 7.250%, 04/20/15 (A) 3,120 3,308 6.875%, 03/09/17 1,100 1,148 6.750%, 03/10/14 2,960 3,064 -------- 19,002 -------- IRAQ -- 0.8% Republic of Iraq 5.800%, 01/15/28 8,150 5,396 -------- IRELAND -- 0.1% Dal Capital (Vneshtorgbk) 7.000%, 04/13/09 RUB 18,000 696 -------- ------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) ------------------------------------------------------------------------------- LUXEMBOURG -- 1.2% Gaz Capital for Gazprom Registered 9.625%, 03/01/13 1,000 $ 1,191 8.625%, 04/28/34 4,150 5,318 Gazprom OAO 9.625%, 03/01/13 100 119 Kuznetski (Bank of Moscow) (H) 7.500%, 11/25/15 700 721 RSHB Captl 7.175%, 05/16/13 250 264 -------- 7,613 -------- MALAYSIA -- 0.7% Government of Malaysia 7.500%, 07/15/11 3,805 4,182 Petronas Capital 7.875%, 05/22/22 175 218 -------- 4,400 -------- MEXICO -- 5.6% Mexican Bonos 9.000%, 12/20/12 MXP 14,040 1,357 8.000%, 12/17/15 MXP 28,000 2,583 8.000%, 12/07/23 MXP 76,138 6,947 Pemex Project Funding Master Trust 9.500%, 09/15/27 (A) 1,800 2,417 7.375%, 12/15/14 530 586 United Mexican States 11.500%, 05/15/26 200 323 8.125%, 12/30/19 5,575 6,827 7.500%, 04/08/33 3,965 4,702 6.625%, 03/03/15 560 601 0.006%, 05/08/17 EUR 5,000 5 United Mexican States MTN 8.300%, 08/15/31 5,140 6,605 8.000%, 09/24/22 1,500 1,835 6.375%, 01/16/13 1,317 1,389 -------- 36,177 -------- NETHERLANDS -- 0.5% Kazkommerts International (A) 7.875%, 04/07/14 265 276 7.500%, 11/29/16 400 395 Majapahti Holding (A) 7.750%, 10/17/16 1,300 1,380 7.250%, 10/17/11 885 909 -------- 2,960 -------- -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 185 SCHEDULE OF INVESTMENTS (Unaudited) Emerging Markets Debt Fund (Continued) November 30, 2006 ------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) ------------------------------------------------------------------------------- NIGERIA -- 0.2% TuranAlem Finance 8.500%, 02/10/15 280 $ 290 8.000%, 03/24/14 450 456 7.875%, 06/02/10 (A) 680 701 -------- 1,447 -------- PAKISTAN -- 0.3% Pakistan Mobile Communications (A) 8.625%, 11/13/13 650 673 Republic of Pakistan 7.875%, 03/31/36 320 333 7.125%, 03/31/16 (A) 1,150 1,202 -------- 2,208 -------- PANAMA -- 1.9% Republic of Panama 9.375%, 04/01/29 650 866 8.875%, 09/30/27 3,875 4,931 7.250%, 03/15/15 (C) 3,625 3,906 6.700%, 01/26/36 2,715 2,787 -------- 12,490 -------- PERU -- 2.9% Republic of Peru 9.875%, 02/06/15 405 508 8.750%, 11/21/33 (C) 1,080 1,390 8.375%, 05/03/16 1,000 1,167 7.350%, 07/21/25 (C) 8,955 9,873 Republic of Peru FLIRB, Ser 20YR (B) 5.000%, 03/07/07 5,832 5,774 -------- 18,712 -------- PHILIPPINES -- 6.9% National Power 9.625%, 05/15/28 800 996 6.875%, 11/02/16 (A) 870 876 Republic of Philippines 10.625%, 03/16/25 5,650 7,966 9.500%, 10/21/24 (C) 200 257 9.500%, 02/02/30 15,200 19,912 9.375%, 01/18/17 1,100 1,345 8.250%, 01/15/14 575 642 8.000%, 01/15/16 660 739 7.750%, 01/14/31 8,021 8,913 7.500%, 09/25/24 2,984 3,223 -------- 44,869 -------- ------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) ------------------------------------------------------------------------------- POLAND -- 0.3% Government of Poland 5.250%, 01/15/14 2,120 $ 2,150 -------- RUSSIA -- 11.4% Kazan Orgsintez 9.250%, 10/30/11 450 454 Russian Federation Registered 12.750%, 06/24/28 5,800 10,579 8.625%, 05/05/11 930 923 8.250%, 03/31/10 817 857 5.000%, 03/31/07 (H) 1,800 2,044 5.000%, 03/31/30 (H) 51,595 58,596 -------- 73,453 -------- SOUTH AFRICA -- 1.2% Republic of South Africa 7.375%, 04/25/12 (C) 555 603 6.500%, 06/02/14 6,935 7,329 -------- 7,932 -------- SUPRA-NATIONAL -- 0.3% European Investment Bank 10.000%, 01/28/11 3,630 2,011 -------- THAILAND -- 0.4% Bangkok Land 3.125%, 03/31/01 5,300 2,389 -------- TUNISIA -- 0.4% Banque Centrale de Tunisie 8.250%, 09/19/27 420 525 7.375%, 04/25/12 1,910 2,070 -------- 2,595 -------- TURKEY -- 6.8% Republic of Turkey 11.875%, 01/15/30 5,025 7,650 9.500%, 01/15/14 4,295 4,982 8.000%, 02/14/34 1,500 1,607 7.375%, 02/05/25 7,510 7,587 7.250%, 03/15/15 6,070 6,256 7.000%, 09/26/16 1,200 1,212 7.000%, 06/05/20 1,900 1,895 6.875%, 03/17/36 7,550 7,116 0.000%, 07/16/08 4,700 2,308 0.000%, 01/19/11 5,650 3,590 -------- 44,203 -------- -------------------------------------------------------------------------------- 186 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 ------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) ------------------------------------------------------------------------------- UKRAINE -- 2.1% Government of Ukraine (A) 6.580%, 11/21/16 4,705 $ 4,698 Government of Ukraine Registered 7.650%, 06/11/13 2,350 2,534 7.650%, 06/11/13 (C) 900 970 6.875%, 03/04/11 (A) 3,825 3,927 6.625%, 03/04/11 900 925 Naftogaz Ukrainy 8.125%, 09/30/09 600 578 -------- 13,632 -------- UNITED KINGDOM -- 0.2% Credit Suisse First Boston International (Export/ Import - Ukraine) 6.800%, 10/04/12 400 390 Credit Suisse First Boston for the City of Kiev 8.000%, 11/06/15 750 776 -------- 1,166 -------- UNITED STATES -- 0.2% UBS Jersey Branch (A) (B) 0.000%, 11/01/13 1,180 1,117 URUGUAY -- 3.9% Republic of Uruguay 9.250%, 05/17/17 4,450 5,351 8.000%, 11/18/22 5,445 6,071 7.625%, 03/21/36 3,175 3,381 7.500%, 03/15/15 3,625 3,897 5.000%, 09/14/18 73,750 3,257 Republic of Uruguay PIK 7.875%, 01/15/33 2,660 2,913 -------- 24,870 -------- VENEZUELA -- 8.1% Government of Venezuela 13.625%, 08/15/18 1,200 1,794 10.750%, 09/19/13 6,775 8,340 9.375%, 01/13/34 2,300 2,930 9.250%, 09/15/27 18,670 23,319 8.500%, 10/08/14 5,450 6,077 7.650%, 04/21/25 675 712 6.000%, 12/09/20 1,040 950 5.750%, 02/26/16 5,900 5,509 5.750%, 02/26/16 2,800 2,613 -------- 52,244 -------- Total Global Bonds (Cost $557,635) ($ Thousands) 582,944 -------- ------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) ------------------------------------------------------------------------------- DEPOSIT WITH COUNTERPARTY AS COLLATERAL FOR SWAP CONTRACTS (G) -- 3.0% UNITED STATES -- 3.0% Deposits with Citigroup as Collateral for Swap Contracts Outstanding 400,000 $ 400 Deposits with Citigroup as Collateral for Swap Contracts Outstanding 400,000 400 Deposits with Citigroup as Collateral for Swap Contracts Outstanding 1,310,000 1,310 Deposits with Credit Suisse First Boston as Collateral for Swap Contracts Outstanding 600,000 600 Deposits with Credit Suisse First Boston as Collateral for Swap Contracts Outstanding 940,000 940 Deposits with Credit Suisse First Boston as Collateral for Swap Contracts Outstanding 940,000 940 Deposits with Credit Suisse First Boston as Collateral for Swap Contracts Outstanding 2,400,000 2,400 Deposits with Deutsche Bank as Collateral for Swap Contracts Outstanding 3,970,000 3,970 Deposits with JPMorgan Chase as Collateral for Swap Contracts Outstanding 2,992,000 2,992 Deposits with JPMorgan Chase as Collateral for Swap Contracts Outstanding 1,047,000 1,047 Deposits with Merrill Lynch as Collateral for Swap Contracts Outstanding 243,000 243 Deposits with Standard Bank as Collateral for Swap Contracts Outstanding 103,000 103 Deposits with Standard Bank as Collateral for Swap Contracts Outstanding 72,000 72 Deposits with Standard Chartered Bank as Collateral for Swap Contracts Outstanding 1,969,000 1,969 Deposits with Standard Chartered Bank as Collateral for Swap Contracts Outstanding 1,166,000 1,166 Deposits with Standard Chartered Bank as Collateral for Swap Contracts Outstanding 806,000 806 -------- Total Deposit with Counterparty as Collateral for Swap Contracts (Cost $19,358) ($ Thousands) 19,358 -------- -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 187 SCHEDULE OF INVESTMENTS (Unaudited) Emerging Markets Debt Fund (Continued) November 30, 2006 ------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) ------------------------------------------------------------------------------- CORPORATE OBLIGATIONS (D) -- 2.5% UNITED STATES -- 2.5% Allstate Life Global Funding II MTN (A) (B) 5.360%, 12/17/07 $ 253 $ 253 American General Finance (A) (B) 5.350%, 12/17/07 797 797 Bear Stearns EXL (B) 5.360%, 12/17/07 978 978 Countrywide Financial MTN, Ser A (B) 5.448%, 10/31/07 1,154 1,154 Dekabank (A) (B) 5.394%, 11/20/07 1,017 1,017 Glitnir Bank (A) (B) 5.370%, 04/06/07 1,292 1,292 Irish Life & Permanent MTN, Ser X (A) (B) 5.360%, 12/21/07 731 731 Jackson National Life Funding (A) (B) 5.320%, 12/03/07 1,209 1,209 Kaupthing Bank MTN (A) (B) 5.380%, 03/20/07 1,374 1,374 Landsbanki Islands (A) (B) 5.400%, 03/16/07 1,044 1,044 Morgan Stanley EXL (B) 5.380%, 01/04/08 192 192 Morgan Stanley EXL, Ser S (B) 5.340%, 12/05/07 275 275 Natexis Banques (A) (B) 5.300%, 12/17/07 536 536 Nationwide Building Society (A) (B) 5.424%, 10/26/07 302 302 5.350%, 12/07/07 550 550 Nordbank (A) (B) 5.350%, 12/24/07 934 934 Northern Rock (A) (B) 5.360%, 12/03/07 566 566 Pacific Life Global Funding (A) (B) 5.370%, 12/13/07 412 412 Premium Asset Trust, Ser 2004-10 (A) (B) 5.360%, 12/17/07 770 770 SLM EXL, Ser S (B) 5.320%, 12/17/07 605 605 Skandinav Enskilda Bank (A) (B) 5.320%, 12/18/07 605 605 Stanfield Victoria MTN (D) 5.445%, 06/11/07 550 550 -------- Total Corporate Obligations (Cost $16,145) ($ Thousands) 16,146 -------- ------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) ------------------------------------------------------------------------------- COMMERCIAL PAPER (D) (E) -- 0.6% UNITED STATES -- 0.6% Broadhollow Funding 5.305%, 12/07/06 $ 308 $ 307 KKR Pacific Funding Trust 5.345%, 12/27/06 550 548 5.305%, 01/02/07 275 273 Ocala Funding LLC 5.320%, 12/18/06 275 274 5.320%, 01/26/07 275 273 Rhineland Funding Capital 5.385%, 01/25/07 346 343 5.364%, 12/27/06 275 274 5.364%, 02/13/07 272 269 5.313%, 12/12/06 181 181 Witherspoon CDO Funding 5.330%, 03/15/07 474 474 Witherspoon CDO Funding Limited 5.329%, 12/15/06 275 274 -------- Total Commercial Paper (Cost $3,490) ($ Thousands) 3,490 -------- ASSET-BACKED SECURITIES (A) (B) (D) -- 0.2% UNITED STATES -- 0.2% Commodore, Ser 2003-2A, Cl A1MM 5.470%, 12/12/38 253 253 Duke Funding, Ser 2004-6B, Cl A1S1 5.440%, 10/09/07 412 412 Newcastle CDO Limited, Ser 2005-6A, Cl IM1 5.340%, 04/24/07 110 110 Park Place Securities NIM Trust, Ser 2004-MM1, Cl AM6 5.350%, 02/26/07 163 163 Saturn Ventures II 5.380%, 02/07/07 443 443 TIAA Real Estate, Ser 2003-1A, Cl A1 5.350%, 09/28/07 409 409 -------- Total Asset-Backed Securities (Cost $1,790) ($ Thousands) 1,790 -------- MASTER NOTE (D) (E) -- 0.2% Bank of America 5.383%, 12/01/45 1,374 1,374 -------- Total Master Note (Cost $1,374) ($ Thousands) 1,374 -------- -------------------------------------------------------------------------------- 188 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 ------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) ------------------------------------------------------------------------------- CERTIFICATES OF DEPOSIT (D) -- 0.2% UNITED STATES -- 0.2% Barclays Bank (B) 5.330%, 06/11/07 $ 275 $ 275 CC USA MTN (A) 5.379%, 06/18/07 549 549 US Trust Company New York (B) 5.316%, 03/13/07 220 220 -------- Total Certificates of Deposit (Cost $1,044) ($ Thousands) 1,044 -------- LOAN PARTICIPATIONS -- 0.0% NIGERIA -- 0.0% PPMC GTEE Note (J) (K) 0.000%, 04/15/07 180 180 -------- Total Loan Participations (Cost $180) ($ Thousands) 180 -------- EURODOLLAR -- 0.0% BERMUDA -- 0.0% Renaissance Securities Trust, Ser 1, Tranche 2, MTN 8.750%, 11/17/09 100 100 -------- Total Eurodollar(Cost $100) ($ Thousands) 100 -------- REPURCHASE AGREEMENTS (D) (F) -- 1.0% ABN Amro 5.300%, dated 11/30/06, to be repurchased on 12/01/06, repurchase price $2,198,915 (collateralized by U.S. Government Obligations, ranging in par value $27,482- $824,472, 0.000%-6.000%, 03/01/07-07/01/36, total market value $2,242,563) 2,199 2,199 Barclays Capital 5.300%, dated 11/30/06, to be repurchased on 12/01/06, repurchase price $467,940 (collateralized by U.S. Government Obligations, ranging in par value $10,251- $145,767, 2.750%-5.700%, 12/15/06-05/27/15, total market value $477,236) 468 468 ------------------------------------------------------------------------------- Face Amount Market Value Description (Thousands)(1) ($ Thousands) ------------------------------------------------------------------------------- Deutsche Bank 5.300%, dated 11/30/06, to be repurchased on 12/01/06, repurchase price $187,139 (collateralized by U.S. Government Obligations, ranging in par value $52,162- $141,479, 0.000%-5.800%, 05/01/07-01/27/20, total market value $190,867) $ 187 $ 187 Lehman Brothers 5.300%, dated 11/30/06, to be repurchased on 12/01/06, repurchase price $3,405,135 (collateralized by U.S. Government Obligations, ranging in par value $25,201- $4,248,673, 3.085%-6.300%, 12/21/07-01/15/30, total market value $3,472,747) 3,405 3,405 -------- Total Repurchase Agreements (Cost $6,259) ($ Thousands) 6,259 -------- Total Investments -- 97.8% (Cost $607,375) ($ Thousands) $632,685 ======== -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 189 SCHEDULE OF INVESTMENTS (Unaudited) Emerging Markets Debt Fund (Concluded) November 30, 2006 ------------------------------------------------------------------------------- A summary of the open futures contracts held by the Fund at November 30, 2006, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED APPRECIATION TYPE OF NUMBER OF EXPIRATION (DEPRECIATION) CONTRACT CONTRACTS DATE ($ THOUSANDS) -------------------------------------------------------------------------------- U.S. Long Treasury Bond (37) Mar-2007 $(30) ==== -------------------------------------------------------------------------------- A summary of the outstanding forward foreign currency contracts held by the Fund at November 30, 2006, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED CURRENCY TO CURRENCY TO APPRECIATION MATURITY DELIVER RECEIVE (DEPRECIATION) DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- 12/4/06 BRL 6,027 USD 2,800 $ 21 12/4/06-1/3/07 USD 8,025 BRL 17,392 (18) 12/7/06-12/22/06 USD 1,400 PHP 70,231 15 12/15/06 TRY 3,700 USD 2,518 (20) 12/15/06 USD 2,507 TRY 3,700 31 12/18/06 PLZ 12,041 USD 3,851 (335) 12/18/06 USD 11,977 PLZ 36,690 775 12/22/06 PHP 70,231 USD 1,408 (7) 1/10/07-3/12/07 USD 300 NGN 38,544 -- 1/16/07-3/22/07 USD 6,623 RUB 179,431 217 1/18/07-2/22/07 USD 11,151 MXP 121,562 (129) 1/23/07-2/22/07 EUR 9,086 USD 11,516 (557) 1/25/07 USD 7,063 ZAR 52,697 245 1/25/07 ZAR 10,602 USD 1,471 1 ---- $239 ==== A summary of the outstanding swap agreements held by the Fund at November 30, 2006, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- TOTAL RETURN SWAPS -------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- Fund receives payment at maturity on the Brazilian CDI Index times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period, and pays if the return on the spread depreciates over the payment period. (Counterparty: Merrill Lynch) 08/15/10 $ 400 $ 18 Fund receives payment at maturity on the Brazilian CDI Index times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period, and pays if the return on the spread depreciates over the payment period. (Counterparty: JP Morgan Chase) 05/15/11 1,577 22 Fund receives payment at maturity on the Brazilian CDI Index times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period, and pays if the return on the spread depreciates over the payment period. (Counterparty: JP Morgan Chase) 08/15/10 4,450 158 Fund receives payment at maturity on the Nigerian NGN Index times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period, and pays if the return on the spread depreciates over the payment period. (Counterparty: Citigroup) 02/02/07 28,621 19 Fund receives payment at maturity on the Nigerian NGN Index times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period, and pays if the return on the spread depreciates over the payment period. (Counterparty: Standard Charter Bank) 05/04/07 162,942 63 -------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- Fund receives payment at maturity on the Nigerian NGN Index times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period, and pays if the return on the spread depreciates over the payment period. (Counterparty: Standard Charter Bank) 05/15/07 $ 113,696 $ 53 Fund receives payment at maturity on the Nigerian NGN Index times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period, and pays if the return on the spread depreciates over the payment period. (Counterparty: Standard Charter Bank) 02/06/07 14,760 10 Fund receives payment at maturity on the Nigerian NGN Index times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period, and pays if the return on the spread depreciates over the payment period. (Counterparty: Standard Bank) 04/08/07 277,075 134 Fund receives payment at maturity on the Nigerian NGN Index times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period, and pays if the return on the spread depreciates over the payment period. (Counterparty: Citigroup) 05/08/07 182,003 51 Fund receives payment at maturity on the Zambian ZMK Index times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period, and pays if the return on the spread depreciates over the payment period. (Counterparty: Citigroup) 12/26/06 1,626,116 (5) Fund receives payment at maturity on 16.75% of the Nigerian Treasury Bond NGN times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period, and pays if the return on the spread depreciates over the payment period. (Counterparty: Standard Charter Bank) 12/16/08 9,152 8 ---- $531 ==== -------------------------------------------------------------------------------- CREDIT DEFAULT SWAP -------------------------------------------------------------------------------- Fund receives semi-annual payment of 0.800% (1.600% per annum) times the notional amount of JSC Gazprom, 8.625%, 04/28/34. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Credit Suisse First Boston) 08/20/16 $ 600 $ 7 Fund receives semi-annual payment on the notional amount of Naftogaz Ukrainy, 8.125%, 09/30/09. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Credit Suisse First Boston) 12/20/07 940 -- Fund receives semi-annual payment on the notional amount of Naftogaz Ukrainy, 8.125%, 09/30/09. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Credit Suisse First Boston) 12/20/08 940 -- Fund receives semi-annual payment on the notional amount of Naftogaz Ukrainy, 8.125%, 09/30/09. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Credit Suisse First Boston) 12/20/08 2,400 -- Fund receives semi-annual payment of 0.355% (0.710% per annum) times the notional amount of Russian Federation Registered, 5.000%, 03/31/30. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Deutsche Bank) 01/20/16 3,970 80 ---- $ 87 ==== -------------------------------------------------------------------------------- 190 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 ------------------------------------------------------------------------------- Description ------------------------------------------------------------------------------- Percentages are based on Net Assets of $646,792 ($ Thousands). * Non-Income Producing Security (1) In U.S. dollars unless otherwise indicated. (A) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (B) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of November 30, 2006. (C) This security or a partial position of this security is on loan at November 30, 2006 (see Note 9). The total value of securities on loan at November 30, 2006 was $28,622 ($ Thousands). (D) This security was purchased with cash collateral held from securities lending (see Note 9). The total value of such securities as of November 30, 2006 was $30,103 ($ Thousands). (E) The rate reported is the effective yield at time of purchase. (F) Tri-Party Repurchase Agreement (G) Cash on loan to swap counterparty as collateral for outstanding swap contracts. (H) Step Bonds -- The rate reflected on the Schedule of Investments is the effective yield on November 30, 2006. The coupon on a step bond changes on a specified date. (I) Security in default on interest payments. (J) Securities considered illiquid. The total value of such securities as of November 30, 2006 was $100 ($ Thousands) and represented 0.02% of Net Assets. (K) 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, 2006 was $100 ($ Thousands) and represented 0.02% of Net Assets. BRL -- Brazilian Real CDO -- Collateralized Debt Obligation CHF -- Swiss Franc Cl -- Class COP -- Chilean Peso EUR -- Euro EXL -- Extendable Maturity FLIRB -- Front Loaded Interest Reduction Bond IDR -- Indonesian Rupiah LLC -- Limited Liability Company MTN -- Medium Term Note MXP -- Mexican Peso NGN -- Nigerian Naira NIM -- Net Interest Margin PHP -- Philippines Peso PIK -- Payment-in Kind PLZ -- Polish Zloty RUB -- Russian Ruble Ser -- Series TRY -- New Turkish Lira USD -- U.S. Dollar UYU -- Uruguay Peso ZAR -- South African Rand Amounts designated as "--" are either $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 191
Statements of Assets and Liabilities ($ Thousands) November 30, 2006 (Unaudited) ------------------------------------------------------------------------------------------------------------------------------------ LARGE CAP LARGE CAP DISCIPLINED DIVERSIFIED LARGE CAP EQUITY ALPHA FUND FUND FUND ------------------------------------------------------------------------------------------------------------------------------------ ASSETS: Investments at value+ $684,651* $6,832,590* $362,258 Repurchase agreements+ 10,493* 95,713* -- Affiliated investment, at value++ 20,703 345,626 18,054 Cash -- 20,641 69 Foreign currency, at value+++ -- 733 -- Restricted cash held for securities sold short -- -- 98 Receivable for investment securities sold 122,665 26,935 11,236 Receivable for fund shares sold 411 168,532 119,807 Dividends and interest receivable 1,406 16,550 580 Receivable for variation margin 33 1,219 39 Reclaim receivable -- -- -- Deposit from brokers for forward foreign currency contracts -- -- -- Unrealized gain on forward foreign currency contracts -- 1,045 -- Unrealized gain on swap contracts -- -- -- Unrealized gain of foreign spot currency contracts -- -- -- Prepaid expenses 9 60 1 ------------------------------------------------------------------------------------------------------------------------------------ Total Assets 840,371 7,509,644 512,142 ------------------------------------------------------------------------------------------------------------------------------------ LIABILITIES: Payable upon return on securities loaned 50,473 460,385 -- Payable for securities sold short+++++ -- -- 33,031 Payable for investment securities purchased 843 240,415 74,821 Payable for fund shares redeemed 107,776 136,607 40,398 Payable for variation margin -- 929 24 Investment advisory fees payable 158 1,097 78 Trustees' fees payable 2 14 -- Overdraft of Foreign currency, at value+++ -- -- 8 Options written, at value++++ -- 588 -- Payable to custodian 32 -- -- Income distribution payable -- -- -- Reverse repurchase agreements -- -- -- Unrealized loss on forward foreign currency contracts -- 1,231 -- Unrealized loss on foreign spot currency contracts -- -- -- Unrealized loss on swap contracts -- 231 4 Accrued foreign cap gains tax -- -- -- Accrued expense payable 54 186 14 ------------------------------------------------------------------------------------------------------------------------------------ Total Liabilities 159,338 841,683 148,378 ------------------------------------------------------------------------------------------------------------------------------------ Net Assets $681,033 $6,667,961 $363,764 ------------------------------------------------------------------------------------------------------------------------------------ + Cost of investments and repurchase agreements 579,398 6,212,844 344,697 ++ Cost of affiliated investments 20,703 345,626 18,054 +++ Cost of foreign currency -- 919 (8) ++++ Premiums received -- (386) -- +++++ Proceeds from securities sold short -- -- (31,335) * Includes market value of securities on loan 49,038 449,388 -- NET ASSETS: Paid-in-Capital -- (unlimited authorization -- no par value) $763,738 $5,725,223 $345,604 Undistributed (distributions in excess of) net investment income 1,961 30,846 920 Accumulated net realized gain (loss) loss on investments, securities sold short, option contracts, futures contracts, swaps and foreign currency (200,904) 125,734 (902) Net unrealized appreciation on investments, securities sold short, and option contracts 115,746 715,257 15,865 Net unrealized appreciation (depreciation) on futures contracts 492 71,511 2,281 Net unrealized appreciation (depreciation) on swaps -- (231) (4) Net unrealized depreciation on foreign cap gain tax -- -- -- Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies -- (379) -- ------------------------------------------------------------------------------------------------------------------------------------ Net Assets $681,033 $6,667,961 $363,764 ------------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Offering and Redemption Price Per Share -- Class A $ 18.50 $ 13.55 $ 10.83 ------------------------------------------------------------------------------------------------------------------------------------ ($681,032,682 / ($6,667,960,533 / ($363,763,927 / 36,802,700 shares) 492,220,333 shares) 33,586,810 shares) --------------------------------------------------------------------------------------------------------------- LARGE CAP INDEX SMALL CAP FUND FUND --------------------------------------------------------------------------------------------------------------- ASSETS: Investments at value+ $393,002* $2,357,641* Repurchase agreements+ 6,689* 94,441* Affiliated investment, at value++ 6,390 80,877 Cash -- -- Foreign currency, at value+++ -- 53 Restricted cash held for securities sold short -- -- Receivable for investment securities sold 1,286 26,063 Receivable for fund shares sold 99 9,352 Dividends and interest receivable 806 1,415 Receivable for variation margin 4 73 Reclaim receivable -- 1 Deposit from brokers for forward foreign currency contracts -- -- Unrealized gain on forward foreign currency contracts -- -- Unrealized gain on swap contracts -- -- Unrealized gain of foreign spot currency contracts -- -- Prepaid expenses 5 22 --------------------------------------------------------------------------------------------------------------- Total Assets 408,281 2,569,938 --------------------------------------------------------------------------------------------------------------- LIABILITIES: Payable upon return on securities loaned 32,173 454,271 Payable for securities sold short+++++ -- -- Payable for investment securities purchased -- 24,973 Payable for fund shares redeemed 509 22,685 Payable for variation margin -- -- Investment advisory fees payable 14 881 Trustees' fees payable 1 6 Overdraft of Foreign currency, at value+++ -- -- Options written, at value++++ -- -- Payable to custodian 13 107 Income distribution payable -- -- Reverse repurchase agreements -- -- Unrealized loss on forward foreign currency contracts -- -- Unrealized loss on foreign spot currency contracts -- 1 Unrealized loss on swap contracts -- -- Accrued foreign cap gains tax -- -- Accrued expense payable 15 47 --------------------------------------------------------------------------------------------------------------- Total Liabilities 32,725 502,971 --------------------------------------------------------------------------------------------------------------- Net Assets $375,556 $2,066,967 --------------------------------------------------------------------------------------------------------------- + Cost of investments and repurchase agreements 287,309 2,161,431 ++ Cost of affiliated investments 6,352 80,877 +++ Cost of foreign currency -- 53 ++++ Premiums received -- -- +++++ Proceeds from securities sold short -- -- * Includes market value of securities on loan 31,399 439,023 NET ASSETS: Paid-in-Capital -- (unlimited authorization -- no par value) $260,895 $1,558,151 Undistributed (distributions in excess of) net investment income 1,300 1,040 Accumulated net realized gain (loss) loss on investments, securities sold short, option contracts, futures contracts, swaps and foreign currency 460 214,070 Net unrealized appreciation on investments, securities sold short, and option contracts 112,420 290,651 Net unrealized appreciation (depreciation) on futures contracts 481 3,055 Net unrealized appreciation (depreciation) on swaps -- -- Net unrealized depreciation on foreign cap gain tax -- -- Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies -- -- --------------------------------------------------------------------------------------------------------------- Net Assets $375,556 $2,066,967 --------------------------------------------------------------------------------------------------------------- Net Asset Value, Offering and Redemption Price Per Share -- Class A $ 124.28 $ 16.74 --------------------------------------------------------------------------------------------------------------- ($375,556,466 / ($2,066,967,281 / 3,021,906 shares) 123,448,264 shares)
Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements.~ -------------------------------------------------------------------------------- 192 Institutional Investments Trust/Semi-Annual Report/November 30, 2006
------------------------------------------------------------------------------------------------------------------------------------ SMALL/MID CORE CAP FIXED LONG EQUITY INCOME DURATION FUND FUND FUND ------------------------------------------------------------------------------------------------------------------------------------ ASSETS: Investments at value+ $1,721,794* $6,683,214* $190,560 Repurchase agreements+ 67,118* 696,818* -- Affiliated investment, at value++ 83,346 98,249 3,782 Cash -- 1,720 63 Foreign currency, at value+++ 33 3,956 -- Restricted cash held for securities sold short -- -- -- Receivable for investment securities sold 25,703 828,268 565 Receivable for fund shares sold 44,228 79,498 -- Dividends and interest receivable 1,441 37,861 1,011 Receivable for variation margin 147 1,192 -- Reclaim receivable 1 153 -- Deposit from brokers for forward foreign currency contracts -- 180 -- Unrealized gain on forward foreign currency contracts -- 1,390 -- Unrealized gain on swap contracts -- -- 902 Unrealized gain of foreign spot currency contracts -- -- -- Prepaid expenses 14 19 2 ------------------------------------------------------------------------------------------------------------------------------------ Total Assets 1,943,825 8,432,518 196,885 ------------------------------------------------------------------------------------------------------------------------------------ LIABILITIES: Payable upon return on securities loaned 322,846 1,136,235 -- Payable for securities sold short+++++ -- -- -- Payable for investment securities purchased 26,712 1,726,310 13,999 Payable for fund shares redeemed 37,072 111,146 -- Payable for variation margin -- 374 -- Investment advisory fees payable 605 503 24 Trustees' fees payable 4 13 1 Overdraft of Foreign currency, at value+++ -- -- -- Options written, at value++++ -- 453 -- Payable to custodian 675 -- -- Income distribution payable -- 579 -- Reverse repurchase agreements -- -- -- Unrealized loss on forward foreign currency contracts -- 472 -- Unrealized loss on foreign spot currency contracts 1 -- -- Unrealized loss on swap contracts -- 45 -- Accrued foreign cap gains tax -- -- -- Accrued expense payable 45 126 12 ------------------------------------------------------------------------------------------------------------------------------------ Total Liabilities 387,960 2,976,256 14,036 ------------------------------------------------------------------------------------------------------------------------------------ Net Assets $1,555,865 $5,456,262 $182,849 ------------------------------------------------------------------------------------------------------------------------------------ + Cost of investments and repurchase agreements 1,605,231 7,307,633 189,856 ++ Cost of affiliated investments 83,346 98,249 3,782 +++ Cost of foreign currency 33 3,967 -- ++++ Premiums received -- (557) -- +++++ Proceeds from securities sold short -- -- -- * Includes market value of securities on loan 313,892 1,100,042 -- NET ASSETS: Paid-in-Capital -- (unlimited authorization -- no par value) $1,254,413 $5,445,798 $184,301 Undistributed (distributions in excess of) net investment income 1,726 (158) (548) Accumulated net realized gain (loss) loss on investments, securities sold short, option contracts, futures contracts, swaps and foreign currency 112,134 (65,059) (2,510) Net unrealized appreciation on investments, securities sold short, and option contracts 183,681 72,503 704 Net unrealized appreciation (depreciation) on futures contracts 3,911 2,305 -- Net unrealized appreciation (depreciation) on swaps -- (45) 902 Net unrealized depreciation on foreign cap gain tax -- -- -- Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies -- 918 -- ------------------------------------------------------------------------------------------------------------------------------------ Net Assets $1,555,865 $5,456,262 $182,849 ------------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Offering and Redemption Price Per Share -- Class A $ 14.48 $ 10.18 $ 10.06 ------------------------------------------------------------------------------------------------------------------------------------ ($1,555,864,729 / ($5,456,262,274 / ($182,848,864 / 107,480,099 shares) 535,925,490 shares) 18,175,669 shares) ------------------------------------------------------------------------------------------------------------------------------------ EXTENDED HIGH YIELD INTERNATIONAL DURATION BOND EQUITY FUND FUND FUND ------------------------------------------------------------------------------------------------------------------------------------ ASSETS: Investments at value+ $287,319 $1,059,198* $1,961,773* Repurchase agreements+ -- 23,971* 31,599* Affiliated investment, at value++ 6,333 55,249 14,248 Cash -- -- 35,577 Foreign currency, at value+++ -- -- 12,271 Restricted cash held for securities sold short -- -- -- Receivable for investment securities sold 19,727 14,453 35,027 Receivable for fund shares sold 43,063 32,641 1,266 Dividends and interest receivable 1,784 18,051 3,668 Receivable for variation margin -- 28 801 Reclaim receivable -- -- 446 Deposit from brokers for forward foreign currency contracts -- -- -- Unrealized gain on forward foreign currency contracts -- -- 10,302 Unrealized gain on swap contracts 9,529 -- -- Unrealized gain of foreign spot currency contracts -- -- 4 Prepaid expenses 3 8 19 ------------------------------------------------------------------------------------------------------------------------------------ Total Assets 367,758 1,203,599 2,107,001 ------------------------------------------------------------------------------------------------------------------------------------ LIABILITIES: Payable upon return on securities loaned -- 115,304 151,994 Payable for securities sold short+++++ -- -- -- Payable for investment securities purchased 41,495 35,575 112,830 Payable for fund shares redeemed 22 8,640 11,926 Payable for variation margin -- -- 1,024 Investment advisory fees payable 38 273 524 Trustees' fees payable 1 2 5 Overdraft of Foreign currency, at value+++ -- -- -- Options written, at value++++ -- -- 96 Payable to custodian 6 567 -- Income distribution payable -- 157 -- Reverse repurchase agreements -- -- 43,984 Unrealized loss on forward foreign currency contracts -- -- 3,580 Unrealized loss on foreign spot currency contracts -- -- 3 Unrealized loss on swap contracts -- -- 199 Accrued foreign cap gains tax -- -- 31 Accrued expense payable 14 22 718 ------------------------------------------------------------------------------------------------------------------------------------ Total Liabilities 41,576 160,540 326,914 ------------------------------------------------------------------------------------------------------------------------------------ Net Assets $326,182 $1,043,059 $1,780,087 ------------------------------------------------------------------------------------------------------------------------------------ + Cost of investments and repurchase agreements 285,890 1,070,139 1,678,705 ++ Cost of affiliated investments 6,333 55,249 14,248 +++ Cost of foreign currency -- -- 11,948 ++++ Premiums received -- -- (63) +++++ Proceeds from securities sold short -- -- -- * Includes market value of securities on loan -- 107,812 148,835 NET ASSETS: Paid-in-Capital -- (unlimited authorization -- no par value) $321,469 $1,028,385 $1,109,573 Undistributed (distributions in excess of) net investment income (884) 25 47,196 Accumulated net realized gain (loss) loss on investments, securities sold short, option contracts, futures contracts, swaps and foreign currency (5,361) 1,576 301,888 Net unrealized appreciation on investments, securities sold short, and option contracts 1,429 13,030 314,634 Net unrealized appreciation (depreciation) on futures contracts -- 43 141 Net unrealized appreciation (depreciation) on swaps 9,529 -- (199) Net unrealized depreciation on foreign cap gain tax -- -- (31) Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencie -- -- 6,885 ------------------------------------------------------------------------------------------------------------------------------------ Net Assets $326,182 $1,043,059 $1,780,087 ------------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Offering and Redemption Price Per Share -- Class A $ 10.57 $ 10.18 $ 15.61 ------------------------------------------------------------------------------------------------------------------------------------ ($326,182,092 / ($1,043,059,410 / ($1,780,087,428 / 30,859,506 shares) 107,102,510,901 shares) 114,046,172 shares) --------------------------------------------------------------------------------------------------------------- EMERGING WORLD EQUITY MARKETS EX-US DEBT FUND FUND --------------------------------------------------------------------------------------------------------------- ASSETS: Investments at value+ $1,674,860* $626,426* Repurchase agreements+ 20,489* 6,259* Affiliated investment, at value++ 25,719 -- Cash 60,351 9,789 Foreign currency, at value+++ 1,673 -- Restricted cash held for securities sold short -- -- Receivable for investment securities sold 44,281 6,807 Receivable for fund shares sold 71,646 26,264 Dividends and interest receivable 2,837 10,379 Receivable for variation margin 1,028 -- Reclaim receivable 175 -- Deposit from brokers for forward foreign currency contracts -- 350 Unrealized gain on forward foreign currency contracts 7,812 1,305 Unrealized gain on swap contracts -- 654 Unrealized gain of foreign spot currency contracts 12 -- Prepaid expenses 12 5 --------------------------------------------------------------------------------------------------------------- Total Assets 1,910,895 688,238 --------------------------------------------------------------------------------------------------------------- LIABILITIES: Payable upon return on securities loaned 98,552 30,103 Payable for securities sold short+++++ -- -- Payable for investment securities purchased 178,137 6,694 Payable for fund shares redeemed 45,200 1,034 Payable for variation margin 1,199 25 Investment advisory fees payable 651 260 Trustees' fees payable 3 -- Overdraft of Foreign currency, at value+++ -- 2,228 Options written, at value++++ 107 -- Payable to custodian -- -- Income distribution payable -- -- Reverse repurchase agreements 42,724 -- Unrealized loss on forward foreign currency contracts 2,825 1,066 Unrealized loss on foreign spot currency contracts 2 19 Unrealized loss on swap contracts 141 -- Accrued foreign cap gains tax 226 -- Accrued expense payable 350 17 --------------------------------------------------------------------------------------------------------------- Total Liabilities 370,117 41,446 --------------------------------------------------------------------------------------------------------------- Net Assets $1,540,778 $646,792 --------------------------------------------------------------------------------------------------------------- + Cost of investments and repurchase agreements 1,497,095 607,375 ++ Cost of affiliated investments 25,719 -- +++ Cost of foreign currency 1,609 (2,217) ++++ Premiums received (70) -- +++++ Proceeds from securities sold short -- -- * Includes market value of securities on loan 94,320 28,622 NET ASSETS: $1,243,453 $611,534 Paid-in-Capital -- (unlimited authorization -- no par value) Undistributed (distributions in excess of) 27,777 7,620 net investment income Accumulated net realized gain (loss) loss on investments, securities sold short, option contracts, futures contracts, 64,731 1,474 swaps and foreign currency Net unrealized appreciation on investments, 198,217 25,310 securities sold short, and option contracts 2,579 (30) Net unrealized appreciation (depreciation) on futures contracts (141) 654 Net unrealized appreciation (depreciation) on swaps (226) -- Net unrealized depreciation on foreign cap gain tax Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of 4,388 230 other assets and liabilities denominated in foreign currencies --------------------------------------------------------------------------------------------------------------- Net Assets $1,540,778 $646,792 --------------------------------------------------------------------------------------------------------------- Net Asset Value, Offering and Redemption Price Per Share -- Class A $ 14.60 $ 10.80 --------------------------------------------------------------------------------------------------------------- ($1,540,777,695 / ($646,791,577 / 105,548,695 shares) 59,896,807 shares)
-------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 193
Statements of Operations ($ Thousands) For the six month period ended November 30, 2006 (Unaudited) ------------------------------------------------------------------------------------------------------------------------- LARGE CAP LARGE CAP DISCIPLINED DIVERSIFIED LARGE CAP EQUITY ALPHA FUND FUND FUND ------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Dividends $ 6,379 $ 40,677 $ 1,274 Dividends from Affiliated Registered Investment Company (1) 339 5,875 453 Interest Income 48 28,085 509 Income from Securities Lending 57 223 -- Less: Foreign Taxes Witheld -- (1) -- ------------------------------------------------------------------------------------------------------------------------- Total Investment Income 6,823 74,859 2,236 ------------------------------------------------------------------------------------------------------------------------- EXPENSES: Investment Advisory Fees 1,585 11,308 386 Administration Fees 198 1,414 48 Trustee Fees 4 31 1 Custodian/Wire Agent Fees 35 144 6 Professional Fees 11 92 3 Printing Fees 6 44 1 Registration Fees 2 43 4 Interest Expense on Reverse Repurchase Agreements -- 397 -- Dividend Expense -- -- 85 Interest Expense on Short Sales -- -- 71 Other Expenses 18 54 2 ------------------------------------------------------------------------------------------------------------------------- Total Expenses 1,859 13,527 607 ------------------------------------------------------------------------------------------------------------------------- Less: Waiver of Investment Advisory Fees (631) (5,508) (66) Waiver of Administration Fees (198) (1,414) (48) Fees Paid Indirectly (1) (10) -- -- ------------------------------------------------------------------------------------------------------------------------- Net Expenses 1,020 6,605 493 ------------------------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME 5,803 68,254 1,743 ------------------------------------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Investments 20,003 29,788 (1,389) Affiliated Investments -- -- -- Securities Sold Short -- -- (720) Futures Contracts 1,336 (7,391) 365 Written Options -- 154 -- Swap Contracts -- 1,494 19 Foreign Currency Transactions -- 108 -- NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: Investments 49,211 413,081 20,099 Affiliated Investments -- -- -- Securities Sold Short -- -- (2,351) Futures Contracts 492 101,418 2,845 Written Options -- (110) -- Swap Contracts -- (215) 6 Foregin Cap Gain Tax -- -- -- Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency -- (326) -- ------------------------------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $76,845 $606,255 $20,617 ------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------- LARGE CAP INDEX SMALL CAP FUND FUND ---------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Dividends $ 3,325 $ 9,104 Dividends from Affiliated Registered Investment Company (1) 172 1,304 Interest Income 18 933 Income from Securities Lending 27 -- Less: Foreign Taxes Witheld -- (20) ---------------------------------------------------------------------------------------------------------- Total Investment Income 3,542 11,321 ---------------------------------------------------------------------------------------------------------- EXPENSES: Investment Advisory Fees 312 6,234 Administration Fees 92 480 Trustee Fees 2 12 Custodian/Wire Agent Fees 11 64 Professional Fees 7 35 Printing Fees 3 17 Registration Fees -- 1 Interest Expense on Reverse Repurchase Agreements -- -- Dividend Expense -- -- Interest Expense on Short Sales -- -- Other Expenses 8 26 ---------------------------------------------------------------------------------------------------------- Total Expenses 435 6,869 ---------------------------------------------------------------------------------------------------------- Less: Waiver of Investment Advisory Fees (233) (1,210) Waiver of Administration Fees (92) (480) Fees Paid Indirectly (1) -- (193) ---------------------------------------------------------------------------------------------------------- Net Expenses 110 4,986 ---------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME 3,432 6,335 ---------------------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Investments 1,060 71,326 Affiliated Investments 7 -- Securities Sold Short -- -- Futures Contracts 45 2,015 Written Options -- -- Swap Contracts -- -- Foreign Currency Transactions -- (24) NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: Investments 33,706 76,026 Affiliated Investments 16 -- Securities Sold Short -- -- Futures Contracts 630 3,055 Written Options -- -- Swap Contracts -- -- Foregin Cap Gain Tax -- -- Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency -- -- ---------------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $38,896 $158,733 ----------------------------------------------------------------------------------------------------------
(1) See Note 3 in the Notes to the Financial Statements. Amounts designated as "--" are zero or have been rounded to zero. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 194 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
------------------------------------------------------------------------------------------------------------------------------------ SMALL/MID CORE CAP FIXED LONG EXTENDED EQUITY INCOME DURATION DURATION FUND FUND FUND FUND ------------------------------------------------------------------------------------------------------------------------------------ INVESTMENT INCOME Dividends $ 7,050 $ 233 $ -- $ -- Dividends from Affiliated Registered Investment Company (1) 1,459 2,207 84 128 Interest Income 42 131,724 4,820 7,136 Income from Securities Lending 387 826 -- -- Less: Foreign Taxes Witheld (12) -- -- -- ------------------------------------------------------------------------------------------------------------------------------------ Total Investment Income 8,926 134,990 4,904 7,264 ------------------------------------------------------------------------------------------------------------------------------------ EXPENSES: Investment Advisory Fees 4,263 7,522 259 371 Administration Fees 328 1,254 43 62 Trustee Fees 8 29 1 1 Custodian/Wire Agent Fees 45 160 5 6 Professional Fees 23 86 3 4 Printing Fees 11 42 2 2 Registration Fees 6 22 -- 1 Interest Expense on Reverse Repurchase Agreements -- -- -- -- Dividend Expense -- -- -- -- Interest Expense on Short Sales -- -- -- -- Other Expenses 15 59 16 19 ------------------------------------------------------------------------------------------------------------------------------------ Total Expenses 4,699 9,174 329 466 ------------------------------------------------------------------------------------------------------------------------------------ Less: Waiver of Investment Advisory Fees (1,092) (4,410) (113) (156) Waiver of Administration Fees (328) (1,254) (43) (62) Fees Paid Indirectly (1) (137) -- -- -- ------------------------------------------------------------------------------------------------------------------------------------ Net Expenses 3,142 3,510 173 248 ------------------------------------------------------------------------------------------------------------------------------------ NET INVESTMENT INCOME 5,784 131,480 4,731 7,016 ------------------------------------------------------------------------------------------------------------------------------------ NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Investments 20,076 11,903 (229) (50) Affiliated Investments -- -- -- -- Securities Sold Short -- -- -- -- Futures Contracts (667) (2,070) -- -- Written Options -- 902 -- -- Swap Contracts -- (80) (293) (745) Foreign Currency Transactions -- (412) -- -- NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: Investments 94,316 152,788 2,127 3,375 Affiliated Investments -- -- -- -- Securities Sold Short -- -- -- -- Futures Contracts 3,919 7,090 -- -- Written Options -- (140) -- -- Swap Contracts -- 85 11,462 41,688 Foregin Cap Gain Tax -- -- -- -- Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency -- 1,398 -- -- ------------------------------------------------------------------------------------------------------------------------------------ NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $123,428 $302,944 $17,798 $51,284 ------------------------------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------------------------------------ EMERGING HIGH YIELD INTERNATIONAL WORLD EQUITY MARKETS BOND EQUITY EX-US DEBT FUND FUND FUND FUND ------------------------------------------------------------------------------------------------------------------------------------ INVESTMENT INCOME Dividends $ 1,021 $ 19,158 $ 11,126 $ 10 Dividends from Affiliated Registered Investment Company (1) 1,246 503 1,162 -- Interest Income 36,775 5,074 5,021 17,727 Income from Securities Lending 213 622 246 45 Less: Foreign Taxes Witheld -- (1,053) (852) -- ------------------------------------------------------------------------------------------------------------------------------------ Total Investment Income 39,255 24,304 16,703 17,782 ------------------------------------------------------------------------------------------------------------------------------------ EXPENSES: Investment Advisory Fees 2,256 4,235 3,167 2,298 Administration Fees 230 419 288 135 Trustee Fees 6 10 6 1 Custodian/Wire Agent Fees 23 492 293 28 Professional Fees 17 29 18 10 Printing Fees 8 14 8 5 Registration Fees 5 3 17 4 Interest Expense on Reverse Repurchase Agreements -- 1,345 1,225 -- Dividend Expense -- -- -- -- Interest Expense on Short Sales -- -- -- -- Other Expenses 5 39 29 14 ------------------------------------------------------------------------------------------------------------------------------------ Total Expenses 2,550 6,586 5,051 2,495 ------------------------------------------------------------------------------------------------------------------------------------ Less: Waiver of Investment Advisory Fees (709) (1,950) (248) (871) Waiver of Administration Fees (230) (419) (288) (135) Fees Paid Indirectly (1) -- (20) (12) -- ------------------------------------------------------------------------------------------------------------------------------------ Net Expenses 1,611 4,197 4,503 1,489 ------------------------------------------------------------------------------------------------------------------------------------ NET INVESTMENT INCOME 37,644 20,107 12,200 16,293 ------------------------------------------------------------------------------------------------------------------------------------ NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Investments (3,055) 113,667 13,953 (997) Affiliated Investments -- -- -- -- Securities Sold Short -- -- -- -- Futures Contracts 55 4,737 6,528 (112) Written Options -- 57 3 -- Swap Contracts -- 751 765 140 Foreign Currency Transactions -- (2,262) (1,826) (415) NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: Investments 13,370 32,191 112,318 41,995 Affiliated Investments -- -- -- -- Securities Sold Short -- -- -- -- Futures Contracts 89 2,587 4,409 (30) Written Options -- (18) (20) -- Swap Contracts -- 142 323 589 Foregin Cap Gain Tax -- 7 (117) -- Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency -- 7,562 4,883 (256) ------------------------------------------------------------------------------------------------------------------------------------ NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $48,103 $179,528 $153,419 $57,207 ------------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 195
Statements of Changes in Net Assets ($ Thousands) For the period ended November 30, 2006 (Unaudited) and the year ended May 31, 2006 LARGE CAP LARGE CAP DISCIPLINED DIVERSIFIED LARGE CAP FUND EQUITY FUND ALPHA FUND(3) ------------------------------------------------------------------------------------------------------------------------------------ 6/1/06 6/1/05 6/1/06 6/1/05 6/1/06 2/28/06 to 11/30/06 to 5/31/06 to 11/30/06 to 5/31/06 to 11/30/06 to 5/31/06 ------------------------------------------------------------------------------------------------------------------------------------ OPERATIONS: Net Investment Income $ 5,803 $ 17,264 $ 68,254 $ 90,360 $ 1,743 $ 604 Net Realized Gain (Loss) from Investments, Affiliated Investments, Securities Sold Short, Written Options, Futures Contracts and Swap Contracts 21,339 181,097(4) 24,045 265,538 (1,725) 855 Net Realized Gain (Loss) on Foreign Currency Transactions -- -- 108 (1,945) -- -- Net Change in Unrealized Appreciation (Depreciation) on Investments, Affiliated Investments, Securities Sold Short, Written Options, Futures Contracts and Swap Contracts 49,703 (59,095) 514,174 18,798 20,599 (2,457) Net Change in Unrealized Appreciation (Depreciation) on Foreign Cap Gain Tax -- -- -- -- -- -- Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency Transactions -- -- (326) (53) -- -- ------------------------------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Net Assets Resulting from Operations 76,845 139,266 606,255 372,698 20,617 (998) ------------------------------------------------------------------------------------------------------------------------------------ DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (6,525) (19,617) (60,903) (77,248) (1,292) (167) Net Realized Gains: Class A -- -- -- (203,409) -- -- Class T -- -- -- -- -- -- ------------------------------------------------------------------------------------------------------------------------------------ Total Dividends and Distributions (6,525) (19,617) (60,903) (280,657) (1,292) (167) ------------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS:(1) CLASS A: Proceeds from Shares Issued 16,318 64,999 1,604,907(2) 1,990,928(2) 264,229(2) 154,549 Reinvestment of Dividends & Distributions 6,503 18,627 60,106 278,155 966 117 Cost of Shares Redeemed (213,325) (1,153,807)(6) (480,820) (954,069) (59,802) (14,455) ------------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets Derived from Class A Transactions (190,504) (1,070,181) 1,184,193 1,315,014 205,393 140,211 ------------------------------------------------------------------------------------------------------------------------------------ CLASS T: Proceeds from Shares Issued -- -- -- -- -- -- Reinvestment of Dividends & Distributions -- -- -- -- -- -- Cost of Shares Redeemed -- (36) -- -- -- -- ------------------------------------------------------------------------------------------------------------------------------------ Decrease in Net Assets Derived from Class T Transactions -- (36) -- -- -- -- ------------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets Derived from Capital Share Transactions (190,504) (1,070,217) 1,184,193 1,315,014 205,393 140,211 ------------------------------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Net Assets (120,184) (950,568) 1,729,545 1,407,055 224,718 139,046 ------------------------------------------------------------------------------------------------------------------------------------ NET ASSETS: BEGINNING OF PERIOD 801,217 1,751,785 4,938,416 3,531,361 139,046 -- ------------------------------------------------------------------------------------------------------------------------------------ END OF PERIOD $ 681,033 $ 801,217 $6,667,961 $4,938,416 $363,764 $139,046 ------------------------------------------------------------------------------------------------------------------------------------ Undistributed (Distribution in Excess of) Net Investment Income Included in Net Assets at Period End $ 1,961 $ 2,683 $ 30,846 $ 23,495 $ 920 $ 469 ------------------------------------------------------------------------------------------------------------------------------------
(1) See Note 4 in the Notes to Financial Statements for additional information. (2) Includes subscriptions as a result of an in-kind transfers of securities (see Note 8). (3) The Large Cap Diversified Alpha Fund commenced operations on February 28, 2006. (4) Includes realized gain of $49,349 ($Thousands) due to in-kind redemptions (see Note 8). (5) Includes realized gain of $4,232 ($Thousands) due to in-kind redemptions (see Note 8). (6) Includes redemptions as a result of in-kind transfer 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. -------------------------------------------------------------------------------- 196 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
------------------------------------------------------------------------------------------------------------ LARGE CAP INDEX FUND SMALL CAP FUND ------------------------------------------------------------------------------------------------------------ 6/1/06 6/1/05 6/1/06 6/1/05 to 11/30/06 to 5/31/06 to 11/30/06 to 5/31/06 ------------------------------------------------------------------------------------------------------------ OPERATIONS: Net Investment Income $ 3,432 $ 6,331 $ 6,335 $ 8,079 Net Realized Gain (Loss) from Investments, Affiliated Investments, Securities Sold Short, Written Options, Futures Contracts and Swap Contracts 1,112 4,064 73,341 252,103(5) Net Realized Gain (Loss) on Foreign Currency Transactions -- -- (24) (7) Net Change in Unrealized Appreciation (Depreciation) on Investments, Affiliated Investments, Securities Sold Short, Written Options, Futures Contracts and Swap Contracts 34,352 18,810 79,081 46,908 Net Change in Unrealized Appreciation (Depreciation) on Foreign Cap Gain Tax -- -- -- -- Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency Transactions -- -- -- -- ------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Net Assets Resulting from Operations 38,896 29,205 158,733 307,083 ------------------------------------------------------------------------------------------------------------ DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (3,565) (5,960) (8,870) (6,512) Net Realized Gains: Class A -- (3,638) -- (132,939) Class T -- -- -- (4) ------------------------------------------------------------------------------------------------------------ Total Dividends and Distributions (3,565) (9,598) (8,870) (139,455) ------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS:(1) CLASS A: Proceeds from Shares Issued 11,383 89,506 141,685 553,160(2) Reinvestment of Dividends & Distributions 3,415 8,989 8,512 132,742 Cost of Shares Redeemed (41,657) (71,721) (184,231) (513,260)(6) ------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets Derived from Class A Transactions (26,859) 26,774 (34,034) 172,642 ------------------------------------------------------------------------------------------------------------ CLASS T: Proceeds from Shares Issued -- -- -- -- Reinvestment of Dividends & Distributions -- -- -- 3 Cost of Shares Redeemed -- -- -- (117) ------------------------------------------------------------------------------------------------------------ Decrease in Net Assets Derived from Class T Transactions -- -- -- (114) ------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets Derived from Capital Share Transactions (26,859) 26,774 (34,034) 172,528 ------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Net Assets 8,472 46,381 115,829 340,156 ------------------------------------------------------------------------------------------------------------ NET ASSETS: BEGINNING OF PERIOD 367,084 320,703 1,951,138 1,610,982 ------------------------------------------------------------------------------------------------------------ END OF PERIOD $375,556 $367,084 $2,066,967 $1,951,138 ------------------------------------------------------------------------------------------------------------ Undistributed (Distribution in Excess of) Net Investment Income Included in Net Assets at Period End $ 1,300 $ 1,433 $ 1,040 $ 3,575 ------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------------ SMALL/MID CAP CORE FIXED EQUITY FUND INCOME FUND ------------------------------------------------------------------------------------------------------------ 6/1/06 6/1/05 6/1/06 6/1/05 to 11/30/06 to 5/31/06 to 11/30/06 to 5/31/06 ------------------------------------------------------------------------------------------------------------ OPERATIONS: Net Investment Income $ 5,784 $ 7,380 $ 131,480 $ 202,566 Net Realized Gain (Loss) from Investments, Affiliated Investments, Securities Sold Short, Written Options, Futures Contracts and Swap Contracts 19,409 122,485 10,655 (66,645) Net Realized Gain (Loss) on Foreign Currency Transactions -- (30) (412) (32) Net Change in Unrealized Appreciation (Depreciation) on Investments, Affiliated Investments, Securities Sold Short, Written Options, Futures Contracts and Swap Contracts 98,235 32,495 159,823 (136,030) Net Change in Unrealized Appreciation (Depreciation) on Foreign Cap Gain Tax -- -- -- -- Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency Transactions -- -- 1,398 (1,399) ------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Net Assets Resulting from Operations 123,428 162,330 302,944 (1,476) ------------------------------------------------------------------------------------------------------------ DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (6,188) (6,272) (131,684) (210,525) Net Realized Gains: Class A -- (48,124) -- (3,202) Class T -- -- -- -- ------------------------------------------------------------------------------------------------------------ Total Dividends and Distributions (6,188) (54,396) (131,684) (213,727) ------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS:(1) CLASS A: Proceeds from Shares Issued 330,102 560,033(2) 990,295 1,519,017 Reinvestment of Dividends & Distributions 6,142 54,236 128,082 207,316 Cost of Shares Redeemed (114,259) (274,460) (479,778) (1,129,976) ------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets Derived from Class A Transactions 221,985 339,809 638,599 596,357 ------------------------------------------------------------------------------------------------------------ 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 221,985 339,809 638,599 596,357 ------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Net Assets 339,225 447,743 809,859 381,154 ------------------------------------------------------------------------------------------------------------ NET ASSETS: BEGINNING OF PERIOD 1,216,640 768,897 4,646,403 4,265,249 ------------------------------------------------------------------------------------------------------------ END OF PERIOD $1,555,865 $1,216,640 $5,456,262 $ 4,646,403 ------------------------------------------------------------------------------------------------------------ Undistributed (Distribution in Excess of) Net Investment Income Included in Net Assets at Period End $ 1,726 $ 2,130 $ (158) $ 46 ------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 197
Statements of Changes in Net Assets ($ Thousands) For the period ended November 30, 2006 (Unaudited) and the year ended May 31, 2006 ------------------------------------------------------------------------------------------------------------------ LONG EXTENDED DURATION DURATION FUND FUND ------------------------------------------------------------------------------------------------------------------ 6/1/06 6/1/05 6/1/06 6/1/05 to 11/30/06 to 5/31/06 to 11/30/06 to 5/31/06 ------------------------------------------------------------------------------------------------------------------ OPERATIONS: Net Investment Income $ 4,731 $ 6,234 $ 7,016 $ 8,976 Net Realized Gain (Loss) from Investments, Written Options, Futures Contracts and Swap Contracts (522) (1,715) (795) (2,264) Net Realized Gain (Loss) on Foreign Currency Transactions -- -- -- -- Net Change in Unrealized Appreciation (Depreciation) on Investments, Written Options, Futures Contracts and Swap Contracts 13,589 (14,378) 45,063 (49,207) Net Change in Unrealized Depreciation on Foreign Capital Gains Tax -- -- -- -- Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency Transactions -- -- -- -- ------------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Net Assets Resulting from Operations 17,798 (9,859) 51,284 (42,495) ------------------------------------------------------------------------------------------------------------------ DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income Class A (4,406) (7,087) (6,302) (12,291) Net Realized Gains: Class A -- (1,170) -- (4,323) ------------------------------------------------------------------------------------------------------------------ Total Dividends and Distributions (4,406) (8,257) (6,302) (16,614) ------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS:(1) CLASS A: Proceeds from Shares Issued 1,479 119,916 60,628 135,387 Reinvestment of Dividends and Distributions 4,406 8,257 6,302 16,614 Cost of Shares Redeemed (1,752) (20,787) (8,653) (24,748) ------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets Derived from Class A Transactions 4,133 107,386 58,277 127,253 ------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets Derived from Capital Share Transactions 4,133 107,386 58,277 127,253 ------------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Net Assets 17,525 89,270 103,259 68,144 ------------------------------------------------------------------------------------------------------------------ NET ASSETS: BEGINNING OF PERIOD 165,324 76,054 222,923 154,779 ------------------------------------------------------------------------------------------------------------------ END OF PERIOD $182,849 $165,324 $326,182 $222,923 ------------------------------------------------------------------------------------------------------------------ Undistributed (Distributions in excess of) Net Investment Income Included in Net Assets at Period End $ (548) $ (873) $ (884) $ (1,598) ------------------------------------------------------------------------------------------------------------------
(1) See Note 4 in the Notes to Financial Statements for additional information. (2) The High Yield Bond Fund commenced operations on December 5, 2005. (3) The Emerging Markets Debt Fund commenced operations on December 5, 2005. Amounts designated as "--" are zero or have been rounded to zero. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 198 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
------------------------------------------------------------------------------------------------------------------ HIGH YIELD INTERNATIONAL BOND FUND(2) EQUITY FUND ------------------------------------------------------------------------------------------------------------------ 6/1/06 12/5/05 6/1/06 6/1/05 to 11/30/06 to 5/31/06 to 11/30/06 to 5/31/06 ------------------------------------------------------------------------------------------------------------------ OPERATIONS: Net Investment Income $ 37,644 $ 27,355 $ 20,107 $ 38,858 Net Realized Gain (Loss) from Investments, Written Options, Futures Contracts and Swap Contracts (3,000) 4,576 119,212 347,429 Net Realized Gain (Loss) on Foreign Currency Transactions -- -- (2,262) 4,671 Net Change in Unrealized Appreciation (Depreciation) on Investments, Written Options, Futures Contracts and Swap Contracts 13,459 (386) 34,902 63,376 Net Change in Unrealized Depreciation on Foreign Capital Gains Tax -- -- 7 (38) Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency Transactions -- -- 7,562 (277) ------------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Net Assets Resulting from Operations 48,103 31,545 179,528 454,019 ------------------------------------------------------------------------------------------------------------------ DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income Class A (37,622) (27,352) -- (49,222) Net Realized Gains: Class A -- -- -- (14,153) ------------------------------------------------------------------------------------------------------------------ Total Dividends and Distributions (37,622) (27,352) -- (63,375) ------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS:(1) CLASS A: Proceeds from Shares Issued 199,301 896,573 72,109 241,196 Reinvestment of Dividends and Distributions 36,705 26,937 -- 61,850 Cost of Shares Redeemed (65,799) (65,332) (128,535) (713,959) ------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets Derived from Class A Transactions 170,207 858,178 (56,426) (410,913) ------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets Derived from Capital Share Transactions 170,207 858,178 (56,426) (410,913) ------------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Net Assets 180,688 862,371 123,102 (20,269) ------------------------------------------------------------------------------------------------------------------ NET ASSETS: BEGINNING OF PERIOD 862,371 -- 1,656,985 1,677,254 ------------------------------------------------------------------------------------------------------------------ END OF PERIOD $1,043,059 $862,371 $1,780,087 $1,656,985 ------------------------------------------------------------------------------------------------------------------ Undistributed (Distributions in excess of) Net Investment Income Included in Net Assets at Period End $ 25 $ 3 $ 47,196 $ 27,089 ------------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------------------ WORLD EQUITY EMERGING MARKETS EX-US FUND DEBT FUND(3) ------------------------------------------------------------------------------------------------------------------ 6/1/06 6/1/05 6/1/06 12/5/05 to 11/30/06 to 5/31/06 to 11/30/06 to 5/31/06 ------------------------------------------------------------------------------------------------------------------ OPERATIONS: Net Investment Income $ 12,200 $ 13,042 $ 16,293 $ 9,698 Net Realized Gain (Loss) from Investments, Written Options, Futures Contracts and Swap Contracts 21,249 49,169 (969) 2,977 Net Realized Gain (Loss) on Foreign Currency Transactions (1,826) 4,234 (415) 12 Net Change in Unrealized Appreciation (Depreciation) on Investments, Written Options, Futures Contracts and Swap Contracts 117,030 88,398 42,554 (16,620) Net Change in Unrealized Depreciation on Foreign Capital Gains Tax (117) (109) -- -- Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency Transactions 4,883 (484) (256) 486 ------------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Net Assets Resulting from Operations 153,419 154,250 57,207 (3,447) ------------------------------------------------------------------------------------------------------------------ DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income Class A -- (5,570) (13,127) (5,375) Net Realized Gains: Class A -- (572) -- -- ------------------------------------------------------------------------------------------------------------------ Total Dividends and Distributions -- (6,142) (13,127) (5,375) ------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS:(1) CLASS A: Proceeds from Shares Issued 582,749 663,123 136,856 523,743 Reinvestment of Dividends and Distributions -- 5,899 12,798 5,250 Cost of Shares Redeemed (103,972) (142,944) (26,750) (40,363) ------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets Derived from Class A Transactions 478,777 526,078 122,904 488,630 ------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets Derived from Capital Share Transactions 478,777 526,078 122,904 488,630 ------------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Net Assets 632,196 674,186 166,984 479,808 ------------------------------------------------------------------------------------------------------------------ NET ASSETS: BEGINNING OF PERIOD 908,582 234,396 479,808 -- ------------------------------------------------------------------------------------------------------------------ END OF PERIOD $1,540,778 $ 908,582 $646,792 $479,808 ------------------------------------------------------------------------------------------------------------------ Undistributed (Distributions in excess of) Net Investment Income Included in Net Assets at Period End $ 27,777 $ 15,577 $ 7,620 $ 4,454 ------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 199
Financial Highlights For the period ended November 30, 2006 (Unaudited) and the years or periods ended May 31, For a share outstanding throughout each period ------------------------------------------------------------------------------------------------------------------------------------ Net Realized and Distributions Net Asset Unrealized Dividends from Total Value, Net Gains Total from Net Realized Dividends Beginning Investment (Losses) on from Investment Capital and of Period Income Securities Operations Income Gains Distributions ------------------------------------------------------------------------------------------------------------------------------------ LARGE CAP FUND CLASS A 2006* $ 16.93 $0.13(5) $ 1.58(5) $ 1.71 $(0.14) $ -- $(0.14) 2006 15.53 0.24(5) 1.44(5) 1.68 (0.28) -- (0.28) 2005 14.47 0.25(5) 1.05(5) 1.30 (0.24) -- (0.24) 2004 12.41 0.18(5) 2.09(5) 2.27 (0.21) -- (0.21) 2003 13.82 0.16(5) (1.41)(5) (1.25) (0.16) -- (0.16) 2002 16.31 0.15 (2.48) (2.33) (0.16) -- (0.16) LARGE CAP DISCIPLINED EQUITY FUND CLASS A 2006*++ $12.36 $0.87(5) $ 1.69(5) $2.56 $(1.37) $ -- $(1.37) 2006++ 12.05 0.26(5) 0.85(5) 1.11 (0.22) (0.58) (0.80) 2005++ 11.18 0.20(5) 0.94(5) 1.14 (0.18) (0.09) (0.27) 2004(1) 10.00 0.07(5) 1.25(5) 1.32 (0.06) (0.08) (0.14) LARGE CAP DIVERSIFIED ALPHA FUND CLASS A 2006* $ 9.94 $0.09(5) $0.87(5) $0.96 $(0.07) $ -- $(0.07) 2006(2) 10.00 0.04(5) (0.09)(5) (0.05) (0.01) -- (0.01) LARGE CAP INDEX FUND CLASS A 2006* $113.02 $1.09(5) $11.30(5) $12.39(5) $(1.13) $ -- $(1.13) 2006 106.24 2.06(5) 7.77(5) 9.83 (1.94) (1.11) (3.05) 2005 99.12 1.93(5) 7.20(5) 9.13 (1.82) (0.19) (2.01) 2004+++ 84.90 1.50(5) 14.28(5) 15.78 (1.37) (0.19) (1.56) 2003+++ 93.40 1.10 (8.50)(6) (7.40) (1.10) -- (1.10) 2002(3)+++ 100.00 0.20 (6.80) (6.60) -- -- -- SMALL CAP FUND CLASS A 2006* $ 15.52 $0.05(5) $ 1.24(5) $ 1.29 $(0.07) $ -- $(0.07) 2006 14.27 0.07(5) 2.55(5) 2.62 (0.06) (1.31) (1.37) 2005 14.70 0.07(5) 1.38(5) 1.45 (0.05) (1.83) (1.88) 2004 11.60 0.06(5) 3.59(5) 3.65 (0.07) (0.48) (0.55) 2003 12.53 0.07(5) (0.94)(5) (0.87) (0.06) -- (0.06) 2002 13.02 0.06 (0.45) (0.39) (0.07) (0.03) (0.10) SMALL/MID CAP EQUITY FUND CLASS A 2006*++ $13.38 $0.34(5) $1.40(5) $1.74 $(0.64) $ -- $(0.64) 2006++ 11.96 0.09(5) 1.97(5) 2.06 (0.08) (0.56) (0.64) 2005++ 10.70 0.05(5) 1.38(5) 1.43 (0.05) (0.12) (0.17) 2004(4)++ 10.00 0.02(5) 0.69(5) 0.71 (0.01) -- (0.01)
------------------------------------------------------------------------------------------------------------------------------------ Ratio of Expenses Ratio of to Average Expenses Net Assets to Average (Excluding Net Assets Ratio of Net Ratio of Net Fees Paid (Excluding Investment Net Asset Net Assets Expenses Indirectly Fees Paid Income Portfolio Value, End Total End of Period to Average and including Indirectly to Average Turnover of Period Return+ ($Thousands) Net Assets Waivers) and Waivers) Net Assets Rate+ ------------------------------------------------------------------------------------------------------------------------------------ LARGE CAP FUND CLASS A 2006* $ 18.50 10.18% $ 681,033 0.26% 0.26% 0.47% 1.46% 25% 2006 16.93 10.87 801,217 0.25 0.26 0.48 1.47 103 2005 15.53 9.02 1,751,751 0.26 0.26 0.47 1.67 43 2004 14.47 18.37 1,787,850 0.26 0.26 0.48 1.34 109 2003 12.41 (8.98) 3,008,463 0.26 0.26 0.47 1.39 51 2002 13.82 (14.36) 2,938,135 0.26 0.26 0.47 1.03 65 LARGE CAP DISCIPLINED EQUITY FUND CLASS A 2006*++ $13.55 10.82% $6,667,961 0.23%(7) 0.23%(7) 0.48%(7) 2.41% 69% 2006++ 12.36 9.33 4,938,416 0.24 0.24 0.47 2.10 140 2005++ 12.05 10.26 3,531,361 0.31 0.31 0.47 1.69 71 2004(1) 11.18 13.23 2,285,041 0.33 0.33 0.47 1.33 67 LARGE CAP DIVERSIFIED ALPHA FUND CLASS A 2006* $10.83 9.72% $ 363,764 0.51%** 0.51%** 0.63% 1.80% 65% 2006(2) 9.94 (0.49) 139,046 0.45** 0.45** 0.66 1.70 47 LARGE CAP INDEX FUND CLASS A 2006* $124.28 11.04% $ 375,556 0.06% 0.06% 0.24% 1.87% 5% 2006 113.02 9.34 367,084 0.08 0.08 0.24 1.84 20 2005 106.24 9.29 320,703 0.13 0.13 0.24 1.89 8 2004+++ 99.12 18.71 284,711 0.16 0.16 0.24 1.58 6 2003+++ 84.90 (7.79) 142,612 0.20 0.20 0.25 1.67 12 2002(3)+++ 93.40 (6.60) 39,763 0.20 0.20 0.39 1.30 1 SMALL CAP FUND CLASS A 2006* $16.74 8.36% $2,066,967 0.52% 0.54% 0.72% 0.66% 53% 2006 15.52 18.93 1,951,138 0.52 0.54 0.72 0.44 119 2005 14.27 9.81 1,610,876 0.54 0.54 0.72 0.46 94 2004 14.70 31.76 1,309,254 0.54 0.54 0.72 0.45 135 2003 11.60 (6.83) 1,193,935 0.54 0.54 0.72 0.67 97 2002 12.53 (2.99) 1,102,199 0.54 0.54 0.71 0.54 115 SMALL/MID CAP EQUITY FUND CLASS A 2006*++ $14.48 8.75% $1,555,865 0.48% 0.50% 0.72% 0.88% 58% 2006++ 13.38 17.51 1,216,640 0.50 0.53 0.72 0.69 123 2005++ 11.96 13.38 768,897 0.62 0.62 0.72 0.47 98 2004(4)++ 10.70 7.15 423,768 0.65 0.65 0.73 0.45 51
* For the six-month period ended November 30, 2006 (Unaudited). All ratios for the period have been annualized. ** The expense ratio includes dividend and interest expenses. Had these expenses been excluded the ratio would have been 0.35%. + Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of Fund shares. ++ Per share amounts have been adjusted for a 10 to 1 stock split paid to shareholders of record on November 16, 2006. +++ Per share amounts have been adjusted for a 10 to 1 reverse stock split paid to shareholders of record on November 26, 2003. (1) Commenced operations on August 28, 2003. All ratios for the period have been annualized. (2) Commenced operations on February 28, 2006. All ratios for the period have been annualized. (3) Commenced operations on April 1, 2002. All ratios for the period have been annualized. (4) Commenced operations on December 15, 2003. All ratios for the period have been annualized. (5) Per share net investment income and net realized and unrealized gains (losses) calculated using average shares. (6) 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. (7) The expense ratio includes interest expense on reverse repurchase agreements. Had this expense been excluded, the ratios would have been 0.22%, 0.22%, and 0.46%, respectively. Amounts designated as "--" are zero or have been rounded to zero. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 200 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006
------------------------------------------------------------------------------------------------------------------------------------ Net Realized and Distributions Net Asset Unrealized Dividends from Total Value, Net Gains Total from Net Realized Dividends Beginning Investment (Losses) on from Investment Capital and of Period Income Securities Operations Income Gains Distributions ------------------------------------------------------------------------------------------------------------------------------------ CORE FIXED INCOME FUND CLASS A 2006* $ 9.84 $0.26(3) $ 0.34(3) $ 0.60 $(0.26) $ -- $(0.26) 2006 10.34 0.47(3) (0.48)(3) (0.01) (0.48) (0.01) (0.49) 2005 10.19 0.41(3) 0.27(3) 0.68 (0.42) (0.11) (0.53) 2004 10.61 0.38(3) (0.26)(3) 0.12 (0.40) (0.14) (0.54) 2003 10.27 0.50 0.60 1.10 (0.50) (0.26) (0.76) 2002 10.49 0.54 0.06 0.60 (0.54) (0.28) (0.82) LONG DURATION FUND CLASS A 2006* $ 9.31 $0.27(3) $ 0.73(3) $ 1.00 $(0.25) $ -- $(0.25) 2006 10.56 0.46(3) (1.07)(3) (0.61) (0.54) (0.10) (0.64) 2005 9.77 0.42(3) 1.03(3) 1.45 (0.54) (0.12) (0.66) 2004(1) 10.00 0.05(3) (0.23)(3) (0.18) (0.05) -- (0.05) EXTENDED DURATION FUND CLASS A 2006* $ 8.86 $0.27(3) $ 1.68(3) $ 1.95 $(0.24) $ -- $(0.24) 2006 11.96 0.48(3) (2.68)(3) (2.20) (0.68) (0.22) (0.90) 2005 9.53 0.43(3) 2.84(3) 3.27 (0.84) -- (0.84) 2004(1) 10.00 0.05(3) (0.44)(3) (0.39) (0.08) -- (0.08) HIGH YIELD BOND FUND CLASS A 2006(2)* $10.08 $0.41(3) $ 0.10(3) $ 0.51 $(0.41) $ -- $(0.41) 2006(2) 10.00 0.40(3) 0.08(3) 0.48 (0.40) -- (0.40) INTERNATIONAL EQUITY FUND CLASS A 2006* $14.05 $0.17(3) $ 1.39(3) $ 1.56 $ -- $ -- $ -- 2006 11.15 0.29(3) 3.09(3) 3.38 (0.37) (0.11) (0.48) 2005 10.06 0.23(3) 1.16(3) 1.39 (0.30) -- (0.30) 2004 7.76 0.18(3) 2.28(3) 2.46 (0.16) -- (0.16) 2003 9.21 0.13 (1.46) (1.33) (0.12) -- (0.12) 2002 10.34 0.11 (1.14) (1.03) (0.10) -- (0.10) WORLD EQUITY EX-US FUND CLASS A 2006* $12.99 $0.14(3) $ 1.47(3) $ 1.61 $ -- $ -- $ -- 2006 9.81 0.27(3) 3.01(3) 3.28 (0.09) (0.01) (0.10) 2005(4) 10.00 0.07(3) (0.26)(3) (0.19) -- -- -- EMERGING MARKETS DEBT FUND CLASS A 2006(2)* $ 9.97 $0.31(3) $0.77(3) $ 1.08 $(0.25) $ -- $(0.25) 2006(2) 10.00 0.27(3) (0.17)(3) 0.10 (0.13) -- (0.13)
------------------------------------------------------------------------------------------------------------------------------------ Ratio of Expenses Ratio of to Average Expenses Net Assets to Average (Excluding Net Assets Ratio of Net Ratio of Net Fees Paid (Excluding Investment Net Asset Net Assets Expenses Indirectly Fees Paid Income Portfolio Value, End Total End of Period to Average and including Indirectly to Average Turnover of Period Return+ ($Thousands) Net Assets Waivers) and Waivers) Net Assets Rate+ ------------------------------------------------------------------------------------------------------------------------------------ CORE FIXED INCOME FUND CLASS A 2006* $10.18 6.20% $5,456,262 0.14% 0.14% 0.37% 5.02% 215% 2006 9.84 (0.09) 4,646,403 0.14 0.14 0.37 4.62 545 2005 10.34 6.77 4,265,249 0.15 0.15 0.37 3.94 615 2004 10.19 1.13 3,074,873 0.19** 0.19** 0.38 3.62 532 2003 10.61 11.10 2,431,368 0.18 0.18 0.37 4.79 436 2002 10.27 6.43 2,354,581 0.18 0.18 0.36 5.67 365 LONG DURATION FUND CLASS A 2006* $10.06 10.83% $182,849 0.20% 0.20% 0.38% 5.56% 50% 2006 9.31 (6.08) 165,324 0.20 0.20 0.39 4.69 113 2005 10.56 15.26 76,054 0.20 0.20 0.41 4.05 449 2004(1) 9.77 (1.78) 6,317 0.20 0.20 0.57 5.02 31 EXTENDED DURATION FUND CLASS A 2006* $ 10.57 22.33% $ 326,182 0.20% 0.20% 0.38% 5.73% 67% 2006 8.86 (19.24) 222,923 0.20 0.20 0.39 4.64 170 2005 11.96 35.74 154,779 0.20 0.20 0.41 3.99 379 2004(1) 9.53 (3.88) 27,787 0.20 0.20 0.44 5.17 42 HIGH YIELD BOND FUND CLASS A 2006(2)* $10.18 5.20% $1,043,059 0.35% 0.35% 0.55% 7.97% 47% 2006(2) 10.08 4.85 862,371 0.35 0.35 0.57 8.15 58 INTERNATIONAL EQUITY FUND CLASS A 2006* $15.61 11.10% $1,780,087 0.50%(5) 0.50%(5) 0.79%(5) 2.40% 84% 2006 14.05 30.77 1,656,985 0.36 0.36 0.63 2.30 116 2005 11.15 13.73 1,677,254 0.43 0.43 0.58 2.12 48 2004 10.06 31.73 1,391,076 0.48 0.48 0.65 1.92 80 2003 7.76 (14.43) 1,176,097 0.48 0.48 0.68 1.85 58 2002 9.21 (9.93) 1,259,408 0.48 0.48 0.66 1.30 84 WORLD EQUITY EX-US FUND CLASS A 2006* $14.60 12.39% $1,540,778 0.78%(6) 0.78%(6) 0.88%(6) 2.12% 73% 2006 12.99 33.52 908,582 0.60 0.61 0.76 2.22 104 2005(4) 9.81 (1.90) 234,396 0.60 0.60 0.70 4.35 15 EMERGING MARKETS DEBT FUND CLASS A 2006(2)* $10.80 11.02% $646,792 0.55% 0.55% 0.92% 6.03% 54% 2006(2) 9.97 1.00 479,808 0.55 0.55 0.95 5.43 51
* For the six-month period ended November 30, 2006 (Unaudited). All ratios for the period have been annualized. ** The expense ratio includes the litigation fees paid. Had these fees been excluded the ratio would have been 0.18%. + Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of Fund shares. (1) Commenced operations on April 21, 2004. All ratios for the period have been annualized. (2) Commenced operations on December 5, 2005. All ratios for the period have been annualized. (3) Per share net investment income and net realized and unrealized gains (losses) calculated using average shares. (4) Commenced operations on March 28, 2005. All ratios for the period have been annualized. (5) The expense ratio includes interest expense on reverse repurchase agreements. Had this expense been excluded, the ratios would have been 0.34%, 0.34%, and 0.63%, respectively. (6) The expense ratio includes interest expense on reverse repurchase agreements. Had this expense been excluded, the ratios would have been 0.57%, 0.57%, and 0.66%, respectively. The expense ratio includes waiver for interest expense on reverse repurchase agreements. Had this waiver been excluded, the ratios would have been 0.60%, 0.60%, and 0.69%, respectively. Amounts designated as "--" are zero or have been rounded to zero. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 201 Notes to Financial Statements (Unaudited) NOVEMBER 30, 2006 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 13 Funds: The Large Cap, Large Cap Disciplined Equity, Large Cap Diversified Alpha, Large Cap Index, Small Cap, Small/Mid Cap Equity, Core Fixed Income, Long Duration, Extended Duration, High Yield Bond, International Equity, World Equity Ex-US and Emerging Markets Debt Funds (each a "Fund," collectively, the "Funds") each of which are diversified Funds with the exception of the Emerging Markets Debt Fund. The Trust is registered to offer Class A shares of all Funds. The Trust was registered to offer Class T Shares of Large Cap and Small Cap Funds. On October 31, 2005, the Funds' Board of Trustees approved the closing of Class T Shares. Class T Shares were closed on January 24, 2006. The assets of each Fund are segregated, and a shareholder's interest is limited to the Fund in which shares are held. The Fund's prospectus provides a description of each Fund's investment objectives, policies, and strategies. On September 22, 2006, the Board of Trustees of the Funds approved the establishment of the Real Return Plus Fund and Enhanced Income Fund. The Real Return Plus Fund and Enhanced Income Fund both commenced operations on December 15, 2006. 2. SIGNIFICANT ACCOUNTING POLICIES The following is a summary of the significant accounting policies followed by the Funds. USE OF ESTIMATES -- The preparation of financial statements, in conformity with U.S. generally accepted accounting principles, requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. SECURITY VALUATION -- Securities listed on a securities exchange, market or automated quotation system for which quotations are readily available (except for securities traded on NASDAQ) are valued at the last quoted sale price on the primary exchange or market (foreign or domestic) on which they are traded, or, if there is no such reported sale, at the most recent quoted bid price. For securities traded on NASDAQ, the NASDAQ Official Closing Price will be used. Debt securities are priced based upon valuations provided by independent, third-party pricing agents, if available. Such values generally reflect the last reported sales price if the security is actively traded. The third-party pricing agents may also value debt securities at an evaluated bid price by employing methodologies that utilize actual market transactions, broker-supplied valuations, or other methodologies designed to identify the market value for such securities. Debt obligations acquired with remaining maturities of sixty days or less may be valued at their amortized cost, which approximates market value. The prices for foreign securities are reported in local currency and converted to U.S. dollars using currency exchange rates. Prices for most securities held in the Funds are provided daily by recognized independent pricing agents. If a security price cannot be obtained from an independent, third-party pricing agent, the Funds seek to obtain a bid price from at least one independent broker. Securities for which market prices are not "readily available" are valued in accordance with Fair Value Procedures established by the Funds' Board of Trustees. The Funds' Fair Value Procedures are implemented through a Fair Value Committee (the "Committee") designated by the Funds' Board of Trustees. Some of the more common reasons that may necessitate that a security be valued using Fair Value Procedures include: the security's trading has been halted or suspended; the security has been de-listed from a national exchange; the security's primary trading market is temporarily closed at a time when under normal conditions it would be open; or the security's primary pricing source is not able or willing to provide a price. When a security is valued in accordance with the Fair Value Procedures, the Committee will determine the value after taking into consideration relevant information reasonably available to the Committee. For securities that principally trade on a foreign market or exchange, a significant gap in time can exist between the time of a particular security's last trade and the time at which a Fund calculates its net asset value. The closing prices of such securities may no longer reflect their market value at the time the Fund calculates net asset value if an event that could materially affect the value of those securities (a "Significant Event") has occurred between the time of the security's last close and the time that the Fund calculates net asset value. A Significant Event may relate to a single issuer or to an entire market sector. If the adviser or sub-adviser of a Fund becomes aware of a Significant Event that has occurred with respect to a security or group of securities after the closing of the exchange or market on which the security or securities principally trade, but before the time at which the Fund calculates net asset value, it may request that a Fair Value Committee Meeting be called. In addition, the Funds' administrator monitors price movements among certain selected indices, securities and/or baskets of securities that may be an indicator that the closing prices received earlier from foreign exchanges or markets may not reflect market value at the time the Fund calculates -------------------------------------------------------------------------------- 202 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 net asset value. If price movements in a monitored index or security exceed levels established by the administrator, the administrator notifies the adviser or sub-adviser for any Fund holding the relevant securities that such limits have been exceeded. In such event, the adviser or sub-adviser makes the determination whether a Fair Value Committee Meeting should be called based on the information provided. The International Equity and World Equity Ex-US Funds that hold international securities also use a third-party fair valuation vendor. The vendor provides a fair value for foreign securities held by these Funds based on certain factors and methodologies (involving, generally, tracking valuation correlations between the U.S. market and each non-U.S. security). Values from the fair value vendor are applied in the event that there is a movement in the U.S. market that exceeds a specific threshold that has been established by the Committee. The Committee has also established a "confidence interval" which is used to determine the level of historical correlation between the value of a specific foreign security and movements in the U.S. market before a particular security will be fair valued when the threshold is exceeded. In the event that the threshold established by the Committee is exceeded on a specific day, these Funds that hold international securities will value the non-U.S. securities in their fund that exceed the applicable "confidence interval" based upon the adjusted prices provided by the fair valuation vendor. Options and warrants for which the primary market is a national securities exchange are valued at the last sale price on the exchange on which they are traded, or, in the absence of any sale, at the closing bid price. Options and warrants not traded on a national securities exchange are valued at the last quoted bid price. SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Security transactions are recorded on the trade date. Cost used in determining net realized capital gains and losses on the sale of securities is determined on the basis of specific identification. Dividend income and expense is recognized on the ex-dividend date, and interest income or expense is recognized using the accrual basis of accounting. Amortization and accretion is calculated using the scientific interest method, which approximates the effective interest method over the holding period of the security. Amortization of premiums and discounts is included in interest income. REPURCHASE AGREEMENTS -- Each Fund may agree to purchase securities from financial institutions subject to the seller's agreement to repurchase them at a mutually agreed upon date and price. It is each Fund's policy that repurchase agreements are fully collateralized by U.S. Treasury and Government Agency securities. All collateral is held by the Fund's custodian bank or a bank with which the custodian bank has entered into a subcustodian agreement, or is segregated in the Federal Reserve Book Entry System. In connection with transactions in repurchase agreements, if the seller defaults and the value of the collateral declines, or if the seller enters an insolvency proceeding, realization of the collateral by the Fund may be delayed or limited. REVERSE REPURCHASE AGREEMENTS -- The International Equity and World Equity Ex-US Funds may issue reverse repurchase agreements. A reverse repurchase agreement involves the sale of portfolio assets together with an agreement to repurchase the same assets later at a fixed price. Additional assets are maintained in an account with the broker. The segregated assets may consist of cash, U.S. Government securities, or other liquid securities at least equal in value to the obligations under the reverse repurchase agreements. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund's use of the proceeds under the agreement may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the obligation to repurchase the securities. Reverse Repurchase agreements outstanding as of November 30, 2006 were as follows: Principal Amount Value Fund ($ Thousands) Counterparty ($ Thousands) -------------------------------------------------------------------------------- International Liquid Funding Ltd., Equity Fund $35,935 5.380%, Due 12/27/06 $35,935 World Equity Liquid Funding Ltd., Ex-US Fund 34,294 5.380%, Due 12/27/06 34,294 COMPENSATING BALANCES -- Funds with cash overdrafts in excess of $100,000 are required to leave 112% in compensating balances with U.S. Bank NA, (formerly known as Wachovia Bank, N.A.) the custodian of the Trust, on the following day. Funds with positive cash balances in excess of $100,000 are allowed to overdraw 90% of the balance with U.S. Bank NA on the following day. EXPENSES -- Expenses that are directly related to one of the Funds are charged directly to that Fund. Other operating expenses of the Funds are prorated to the Funds on the basis of relative net assets. FOREIGN CURRENCY TRANSLATION -- The books and records of the Funds investing in international securities are maintained in U.S. dollars on the following basis: (I) market value of investment securities, assets and liabilities at the current rate of exchange; and (II) purchases and sales of investment securities, income and expenses at the relevant rates of exchange prevailing on the respective dates of such transactions. The Funds do not isolate that portion of gains and losses on investments in equity securities that is due to changes in the foreign exchange rates from that which is due to changes in market prices of equity securities. -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 203 Notes to Financial Statements (Unaudited) (Continued) NOVEMBER 30, 2006 The Funds report certain foreign-currency-related transactions as components of realized gains for financial reporting purposes, whereas such components are treated as ordinary income for Federal income tax purposes. FORWARD FOREIGN CURRENCY CONTRACTS -- The Funds may enter into forward foreign currency contracts as hedges against either specific transactions, fund positions or anticipated fund positions. All commitments are "marked-to-market" daily at the applicable foreign exchange rate, and any resulting unrealized gains or losses are recorded currently. The Large Cap Disciplined Equity, Small Cap, Small/Mid Cap Equity, Core Fixed Income, International Equity, World Equity Ex-US and Emerging Markets Debt Funds realize gains and losses at the time forward contracts are extinguished. Unrealized gains or losses on outstanding positions in forward foreign currency contracts held at the close of the period are recognized as ordinary income or loss for Federal income tax purposes. The Funds could be exposed to risk if the counterparties to the contracts are unable to meet the terms of the contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. At November 30, 2006, the Small Cap and Small/Mid Cap Equity Funds did not have any forward foreign currency contracts outstanding. Finally, the risk exists that losses could exceed amounts disclosed on the Statement of Net Assets or Statement of Assets and Liabilities. FUTURES CONTRACTS -- Each of the Funds utilized futures contracts during the six month period ended November 30, 2006 with the exception of the Long Duration and Extended Duration Funds. The Funds' investments in futures contracts are designed to enable the Funds to more closely approximate the performance of their benchmark indices. The Core Fixed Income Fund's use of futures contracts is primarily for tactical hedging purposes. Initial margin deposits of cash or securities are made upon entering into futures contracts. The contracts are marked to market daily and the resulting changes in value are accounted for as unrealized gains and losses. Variation margin payments are paid or received, depending upon whether unrealized losses or gains are incurred. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the amount invested in the contract. Risks of entering into futures contracts include the possibility that there will be an imperfect price correlation between the futures and the underlying securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in an inability to close a position prior to its maturity date. Third, the futures contract involves the risk that the Fund could lose more than the original margin deposit required to initiate a futures transaction. Finally, the risk exists that losses could exceed amounts disclosed on the Statement of Net Assets or Statement of Assets and Liabilities. OPTIONS WRITTEN/PURCHASED -- The Large Cap Disciplined Equity, Core Fixed Income, International Equity and World Equity Ex-US Funds invest in financial options contracts primarily for the purpose of hedging their existing portfolio securities, or securities that the Funds intend to purchase, against fluctuations in fair market value caused by changes in prevailing market interest rates. The Large Cap, Large Cap Diversified Alpha, Large Cap Index, Small Cap, Small/Mid Cap Equity, Long Duration, Extended Duration, High Yield Bond and Emerging Markets Debt 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. The risk in writing a call option is that the Funds give up the opportunity for profit if the market price of the security increases. The risk in writing a put option is that the Funds may incur a loss if the market price of the security decreases and the option is exercised. The risk in purchasing an option is that the Funds pay a premium whether or not the option is exercised. The Funds also have the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. Option contracts also involve the risk that they may not work as intended due to unanticipated developments in market conditions or other causes. Finally, the risk exists that losses could exceed amounts disclosed on the Statement of Net Assets or Statement of Assets and Liabilities. -------------------------------------------------------------------------------- 204 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 Written options transactions entered into during the six month period ended November 30, 2006 are summarized as follows: Large Cap Disciplined Core Fixed Equity Fund Income Fund -------------------------------------------------------------------------------- Number of Premium Number of Premium Contracts ($ Thousands) Contracts ($ Thousands) -------------------------------------------------------------------------------- Balance at the beginning of period 1,034 $530 669 $471 Written 178 11 2,813 1,165 Expired (662) (155) (1,598) (662 Closing buys -- -- (888) (417 -------------------------------------------------------------------------------- Balance at the end of period 550 $386 996 $557 -------------------------------------------------------------------------------- International World Equity Equity Fund Ex-US Fund -------------------------------------------------------------------------------- Number of Premium Number of Premium Contracts ($ Thousands) Contracts ($ Thousands) -------------------------------------------------------------------------------- Balance at the beginning of period 260 $118 100 $70 Written 37 2 46 3 Expired (207) (57) (46) (3) Closing buys -- -- -- -- -------------------------------------------------------------------------------- Balance at the end of period 90 $ 63 100 $70 -------------------------------------------------------------------------------- At November 30, 2006 the Funds had cash and/or securities at least equal to the value of written options. SECURITIES SOLD SHORT -- As consistent with the Funds' investment objectives, the Funds may engage in short sales that are "uncovered." Uncovered short sales are transactions under which a Fund sells a security it does not own. To complete such a transaction, the Fund must borrow the security to make delivery to the buyer. The Fund then is obligated to replace the security borrowed by purchasing the security at the market price at the time of the replacement. The price at such time may be more or less than the price at which the security was sold by the Fund. Until the security is replaced, the Fund is required to pay the lender amounts equal to any dividends or interest that accrue during the period of the loan. Dividends and interest are shown as an expense for financial reporting purposes. To borrow the security, the Fund also may be required to pay a premium, which would decrease proceeds of the security sold. The proceeds of the short sale are retained by the broker, to the extent necessary to meet margin requirements, until the short position is closed out. A gain, limited to the price at which the Fund sold the security short, or a loss, unlimited in size, will be recognized upon the close of a short sale. Until a Fund closes its short position or replaces the borrowed security, the Fund will: (a) maintain a segregated account containing cash or liquid securities at such a level that (i) the amount deposited in the account plus the amount deposited with the broker as collateral will equal the current value of the security sold short; and (ii) the amount deposited in the segregated account plus the amount deposited with the broker as collateral will not be less than the market value of the security at the time the security was sold short, or (b) otherwise cover the Fund's short positions. SWAP AGREEMENTS -- A swap agreement is a two-party contract under which an agreement is made to exchange returns from predetermined investments or instruments, including a particular interest rate, foreign currency, or "basket" of securities representing a particular index. Credit-default swaps involve the periodic payment by the Fund or counterparty of interest based on a specified rate multiplied by a notional amount assigned to an underlying debt instrument or group of debt instruments in exchange for the assumption of credit risk on the same instruments. In the event of a credit event, usually in the form of a credit rating downgrade, the party receiving periodic payments (i.e. floating rate payer) must pay the other party (i.e. fixed rate payer) an amount equal to the outstanding principal of the downgraded debt instrument. Total return swaps allow an investor to benefit from the cash flow without ever actually owning the underlying security. The receiver must pay any decline in value to the payer at the end of the total return swaps. However, the investor does not need to make a payment if there is no decline in price. Payments can be made on various indices, bonds (i.e. mortgage backed securities, bank debt and corporate), loans or commodities. The value of a total return swap is equal to the change in value of the underlying asset versus the accrued income payment based on LIBOR (London Interbank Offered Rate) or some other form of index on the notional amount. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal to manage the Fund's exposure to interest rates. Payments received or made are recorded as realized gains or loss. The Fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. Risk of loss may exceed amounts recognized on the statement of assets and liabilities. Interest rate swap contracts outstanding at period end, if any, are listed after the Fund's portfolio. In connection with swap agreements securities may be set aside as collateral by the Fund's custodian. A Fund may enter into swap agreements in order to, among other things, change the maturity or duration of the investment portfolio; protect the Fund's value from changes in interest rates; or expose a Fund to a different security or market. Swaps are marked-to-market daily based upon quotations from market makers and the resulting changes in market values, if any, are recorded as unrealized gains or losses in the Statement of Operations. Net payments of interest are recorded as realized gains or losses. -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 205 Notes to Financial Statements (Unaudited) (Continued) NOVEMBER 30, 2006 Entering into swap agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Statement of Net Assets or the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreement may default on its obligation to perform and that there may be unfavorable changes in the fluctuation of interest rates. Risks also arise from potential losses from adverse market movements. FORWARD TREASURY COMMITMENTS -- The Funds may invest in commitments to purchase U.S. Treasury securities on an extended settlement basis. Such transactions involve the commitment to purchase a security with payment and delivery taking place in the future, sometimes a month or more after the transaction date. The Funds account for such transactions as purchases and sales and record an unrealized gain or loss each day equal to the difference between the cost of the purchase commitment and the current market value. Realized gains or losses are recorded upon closure or settlement of such commitments. No interest is earned prior to settlement of the transaction. These instruments are subject to market fluctuation due to changes in interest rates and the market value at the time of settlement could be higher or lower than the purchase price. The Funds may incur losses due to changes in the value of the underlying treasury securities from interest rate fluctuations or as a result of counterparty nonperformance DELAYED DELIVERY TRANSACTIONS -- The Large Cap Disciplined Equity, Large Cap Diversified Alpha, Core Fixed Income, International Equity and World Equity Ex-US Funds may purchase or sell securities on a when-issued or delayed delivery basis. These transactions involve a commitment by the Fund to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When purchasing a security on a delayed delivery basis, the Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. The Fund may dispose of or renegotiate a delayed delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a capital gain or loss. When the Fund has sold a security on a delayed delivery basis, the Fund does not participate in future gains and losses with respect to the security. COLLATERALIZED DEBT OBLIGATIONS -- The Funds may invest in collateralized debt obligations ("CDOs"), which include collateralized loan obligations ("CLOs") and other similarly structured securities. CLOs are a type of asset-backed securities. A CLO is a trust typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. CDOs may charge management fees and administrative expenses. For CDOs, the cashflows from the trust are split into two or more portions, called tranches, varying in risk and yield. The riskiest portion is the "equity" tranche which bears the bulk of defaults from the bonds or loans in the trust and serves to protect the other, more senior tranches from default in all but the most severe circumstances. Since it is partially protected from defaults, a senior tranche from a CDO trust typically has a higher rating and lower yield than their underlying securities, and can be rated investment grade. Despite the protection from the equity tranche, CDO tranches can experience substantial losses due to actual defaults, increased sensitivity to defaults due to collateral default and disappearance of protecting tranches, market anticipation of defaults, as well as aversion to CDO securities as a class. The risks of an investment in a CDO depend largely on the type of the collateral securities and the class of the CDO in which a Fund invests. Normally, CLOs and other CDOs are privately offered and sold, and thus, are not registered under the securities laws. As a result, investments in CDOs may be characterized by the Funds as illiquid securities; however, an active dealer market may exist for CDOs allowing a CDO to qualify for Rule 144A transactions. In addition to the normal risks associated with fixed income securities (e.g., interest rate risk and default risk), CDOs carry additional risks including, but not limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the quality of the collateral may decline in value or default; (iii) the Funds may invest in CDOs that are subordinate to other classes; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results. ILLIQUID SECURITIES -- A security is considered illiquid if it cannot be sold or disposed of in the ordinary course of business within seven days or less for its approximate carrying value on the books of the Funds. Valuations of illiquid securities may differ significantly from the values that would have been used had an active market value for these securities existed. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net investment income are declared and paid to shareholders quarterly for the Large Cap, Large Cap Disciplined Equity, Large Cap Diversified Alpha, Large Cap Index, Small Cap, Small/Mid Cap Equity, and Emerging Markets Debt Funds; declared daily and paid monthly for the Core Fixed Income, Long Duration, Extended Duration and High Yield Bond Funds; and declared and paid at least annually for the International Equity and World Equity Ex-US Funds. Dividends and distributions are recorded on the ex-dividend date. Any net realized capital gains will be distributed at least annually by the Funds. -------------------------------------------------------------------------------- 206 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 RESTRICTED SECURITIES -- At November 30, 2006, the following Funds owned private placement investments that were purchased through private offerings or acquired through initial public offerings and cannot be sold without prior registration under the Securities Act of 1933 or pursuant to an exemption therefrom. In addition, the Funds have generally agreed to further restrictions on the disposition of certain holdings as set forth in various agreements entered into in connection with the purchase of these investments. These investments are valued at fair value as determined in accordance with the procedures approved by the Board of Trustees. The acquisition dates of these investments, the enforceable right to acquire these securities, along with their cost and values at November 30, 2006, were as follows:
Number Acquisition Right to Cost Market Value % of Net of Shares Date Acquire Date ($ Thousands) ($ Thousands) Assets ------------------------------------------------------------------------------------------------------------------ SMALL CAP FUND Parkervision Warrants 7,500 6/20/05 6/20/05 $ 16 $ 24 0.00% Parkervision Warrants 8,250 3/28/06 3/28/06 -- 27 0.00 SpatiaLight 88,000 1/12/06 1/12/06 198 139 0.01 Synenco Energy 27,419 8/24/05 8/24/05 317 402 0.02 Na Oil Sands 245,500 5/31/06 5/31/06 2,681 2,580 0.12 ------ ------ ---- $3,212 $3,172 0.15% SMALL/MID CAP EQUITY FUND Parkervision Warrants 6,250 6/20/05 6/20/05 $ 13 $ 21 0.00% Parkervision Warrants 14,500 3/28/06 3/28/06 -- 46 0.00 SpatiaLight 59,000 1/12/06 1/12/06 133 93 0.01 Synenco Energy 12,051 8/24/05 8/24/05 140 177 0.01 Na Oil Sands 160,000 5/31/06 5/31/06 1,748 1,681 0.11 ------ ------ ---- $2,034 $2,018 0.13%
INVESTMENTS IN REAL ESTATE INVESTMENT TRUSTS ("REITS") -- Dividend income is recorded based on the income included in distributions received from the REIT investments using published REIT reclassifications including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts. 3. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES ADMINISTRATION AND TRANSFER AGENCY AGREEMENTS --The Trust and SEI Investments Global Funds Services (formerly 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 month period ended November 30, 2006, and until further notice, the Administrator has voluntarily agreed to waive all of its fee. INVESTMENT ADVISORY AGREEMENT -- SEI Investments Management Corporation ("SIMC") serves as investment adviser (the "Adviser") to each Fund. In connection with serving as investment adviser, SIMC is entitled to a fee that is calculated daily and paid monthly based on the average daily net assets of each Fund. SIMC has voluntarily agreed to waive a portion of its fee so that the total annual expenses of each Fund will not exceed certain voluntary expense limitations adopted by SIMC. These waivers may be terminated at any time. Accordingly, effective October 1, 2005, the advisory fee and voluntary expense limitations for Class A of each Fund are as follows: -------------------------------------------------------------------------------- Advisory Voluntary Expense Fees Limitations -------------------------------------------------------------------------------- Large Cap Fund 0.400% 0.260% Large Cap Disciplined Equity Fund 0.400 0.220 Large Cap Diversified Alpha Fund 0.400 0.350 Large Cap Index Fund 0.170 0.060 Small Cap Fund 0.650 0.540 Small/Mid Cap Equity Fund 0.650 0.500 Core Fixed Income Fund 0.300 0.140 Long Duration Fund 0.300 0.200 Extended Duration Fund 0.300 0.200 High Yield Bond Fund 0.490 0.350 International Equity Fund 0.505 0.340 World Equity Ex-US Fund 0.550 0.600 Emerging Markets Debt Fund 0.850 0.550 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 207 Notes to Financial Statements (Unaudited) (Continued) NOVEMBER 30, 2006 As of November 30, 2006, SIMC has entered into investment sub-advisory agreements with the following parties and pays the sub-advisers out of the fee that it receives from the Funds: -------------------------------------------------------------------------------- Investment Sub-Adviser -------------------------------------------------------------------------------- LARGE CAP FUND AllianceBernstein L.P. Aronson + Johnson + Ortiz, L.P. Delaware Management Company Enhanced Investment Technologies, LLC (Intech) Goldman Sachs Asset Management LSV Asset Management Montag & Caldwell, Inc. Quantitative Management Associates, LLC LARGE CAP DISCIPLINED EQUITY FUND AlphaSimplex Group, LLC Analytic Investors, Inc. Enhanced Investment Technologies, LLC (Intech) Quantitative Management Associates, LLC Smith Breeden Associates, Inc. LARGE CAP DIVERSIFIED ALPHA FUND Analytic Investors, Inc. Aronson + Johnson + Ortiz, L.P. Delaware Management Company Enhanced Investment Technologies, LLC (Intech) Quantitative Management Associates, LLC Smith Breeden Associates, Inc. LARGE CAP INDEX FUND SSgA Funds Management, Inc. SMALL CAP FUND Artisan Partners Limited Partnership BlackRock Capital Management, Inc. David J. Greene and Company, LLC Delaware Management Company Integrity Asset Management, LLC Lee Munder Investments Ltd. Los Angeles Capital Management and Equity Research, Inc. LSV Asset Management Martingale Asset Management, L.P. Mazama Capital Management, Inc. McKinley Capital Management Inc. PanAgora Asset Management, Inc. Robeco U.S.A. Inc. Security Capital Research and Management Incorporated Wellington Management Company, LLP -------------------------------------------------------------------------------- Investment Sub-Adviser -------------------------------------------------------------------------------- SMALL/MID CAP EQUITY FUND BlackRock Capital Management, Inc. Delaware Management Company Integrity Asset Management, LLC Lee Munder Investments, Ltd. Los Angeles Capital Management and Equity Research, Inc. LSV Asset Management Martingale Asset Management, L.P. Mazama Capital Management, Inc. PanAgora Asset Management, Inc. Security Capital Research and Management Incorporated Wellington Management Company, LLP CORE FIXED INCOME FUND ING Investment Management Co. Metropolitan West Asset Management LLC Wells Capital Management, Inc. Western Asset Management Company Western Asset Management Company Limited LONG DURATION FUND Metropolitan West Asset Management LLC EXTENDED DURATION FUND Metropolitan West Asset Management LLC HIGH YIELD BOND FUND ING Investment Management Co. J.P. Morgan Investment Management, Inc. Metropolitan West Asset Management LLC Nomura Corporate Research & Asset Management, Inc. INTERNATIONAL EQUITY FUND AllianceBernstein L.P. AXA Rosenberg Investment Management, Inc. Capital Guardian Trust Company Fuller & Thaler Asset Management, Inc. McKinley Capital Management Inc. Quantitative Management Associates, LLC Record Currency Management Limited Smith Breeden Associates, Inc. -------------------------------------------------------------------------------- 208 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 -------------------------------------------------------------------------------- Investment Sub-Adviser -------------------------------------------------------------------------------- WORLD EQUITY EX-US FUND AllianceBernstein L.P. AXA Rosenberg Investment Management, Inc. Capital Guardian Trust Company Fuller & Thaler Asset Management, Inc. McKinley Capital Management Inc. Quantitative Management Associates, LLC Record Currency Management Limited Rexiter Capital Management Limited Smith Breeden Associates, Inc. EMERGING MARKETS DEBT FUND Ashmore Investment Management Limited AXA Rosenberg Investment Management LLC ING Investment Management Co. Stone Harbor Investment Partners LP OTHER -- The Distribution Agreement between the Distributor and the Trust provides that the Distributor may receive compensation on fund transactions effected for the Trust in accordance with Securities and Exchange Commission ("SEC") rules. Accordingly, it is expected that fund transactions may result in brokerage commissions being paid to the Distributor. The SEC rules require that such commissions not exceed usual and customary commissions. Such commissions for the six month period ended November 30, 2006 were as follows ($ Thousands): Large Cap Fund $ 13 Small Cap Fund 502 Small/Mid Cap Equity Fund 214 International Equity Fund 194 World Equity Ex-US Fund 40 ------ $ 963 ====== Certain officers and/or trustees of the Trust are also officers of the Administrator or the Adviser. The Trust pays each unaffiliated Trustee an annual fee for attendance at quarterly, interim and committee meetings. Compensation of officers and affiliated Trustees of the Trust is paid by the Adviser or Administrator. LSV Asset Management (partially-owned subsidiary of SIMC) serves as a sub-adviser to the Large Cap, Small Cap and Small/Mid Cap Equity Funds. For this service LSV Asset Management is entitled to receive a fee from SIMC. Such fees for the six month period ended November 30, 2006 were as follows ($ Thousands): Large Cap Fund $ 73 Small Cap Fund 481 Small/Mid Cap Equity Fund 367 ---- $921 ==== FEES PAID INDIRECTLY -- The Funds may direct certain fund trades to the Distributor who pays a portion of the Fund's expenses. Accordingly, the expenses reduced, which were used to pay third party expenses, can be found on the Statement of Operations and the effect on the Fund's expense ratio, as a percentage of the Fund's average daily net assets for the six month period ended November 30, 2006, can be found on the Financial Highlights. INVESTMENT IN AFFILIATED REGISTERED INVESTMENT COMPANY -- Pursuant to an exemptive order issued by the SEC, 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. INVESTMENT IN AFFILIATED COMPANIES -- The Funds may purchase securities of certain companies with which it is affiliated to the extent these companies are represented in its Index. -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 209 Notes to Financial Statements (Unaudited) (Continued) NOVEMBER 30, 2006 4. CAPITAL SHARE TRANSACTIONS Capital Share Transactions for the Funds were as follows (Thousands):
----------------------------------------------------------------------------------------------- LARGE CAP DISCIPLINED LARGE CAP FUND EQUITY FUND ----------------------------------------------------------------------------------------------- 6/1/06 6/1/06 to 11/30/06 6/1/05 to 11/30/06 6/1/05 to (Unaudited) to 5/31/06 (Unaudited) to 5/31/06 ----------------------------------------------------------------------------------------------- Class A: Shares Issued 944 3,921 467,744(1) 16,060(1) Shares Issued in Lieu of Dividends and Distributions 378 1,141 475 2,265 Shares Redeemed (11,854) (70,494)(2) (15,954) (7,680) ----------------------------------------------------------------------------------------------- Total Class A Transactions (10,532) (65,432) 452,265 10,645 ----------------------------------------------------------------------------------------------- Class T: Shares Issued -- -- -- -- Shares Issued in Lieu of Dividends and Distributions -- -- -- -- Shares Redeemed -- (2) -- -- ----------------------------------------------------------------------------------------------- Total Class T Transactions -- (2) -- -- ----------------------------------------------------------------------------------------------- Net Increase (Decrease) in Capital Shares (10,532) (65,434) 452,265 10,645 -----------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------- LARGE CAP DIVERSIFIED LARGE CAP ALPHA FUND(3) INDEX FUND ----------------------------------------------------------------------------------------------- 6/1/06 6/1/06 to 11/30/06 2/28/06 to 11/30/06 6/1/05 (Unaudited) to 5/31/06 (Unaudited) to 5/31/06 ----------------------------------------------------------------------------------------------- Class A: Shares Issued 25,115(1) 15,405 96 795 Shares Issued in Lieu of Dividends and Distributions 95 1 130 81 Shares Redeemed (5,616) (1,423) (352) (647) ----------------------------------------------------------------------------------------------- Total Class A Transactions 19,594 13,993 (226) 229 ----------------------------------------------------------------------------------------------- Class T: Shares Issued -- -- -- -- Shares Issued in Lieu of Dividends and Distributions -- -- -- -- Shares Redeemed -- -- -- -- ----------------------------------------------------------------------------------------------- Total Class T Transactions -- -- -- -- ----------------------------------------------------------------------------------------------- Net Increase (Decrease) in Capital Shares 19,594 13,993 (226) 229 -----------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------- SMALL/MID CAP SMALL CAP FUND EQUITY FUND ----------------------------------------------------------------------------------------------- 6/1/06 6/1/06 to 11/30/06 6/1/05 to 11/30/06 6/1/05 (Unaudited) to 5/31/06 (Unaudited) to 5/31/06 ----------------------------------------------------------------------------------------------- Class A: Shares Issued 9,036 36,891(1) 102,024 4,313(1) Shares Issued in Lieu of Dividends and Distributions 552 9,074 46 425 Shares Redeemed (11,859) (33,139)(2) (3,684) (2,072) ----------------------------------------------------------------------------------------------- Total Class A Transactions (2,271) 12,826 98,386 2,666 ----------------------------------------------------------------------------------------------- Class T: Shares Issued -- -- -- -- Shares Issued in Lieu of Dividends and Distributions -- -- -- -- Shares Redeemed -- (7) -- -- ----------------------------------------------------------------------------------------------- Total Class T Transactions -- (7) -- -- ----------------------------------------------------------------------------------------------- Net Increase (Decrease) in Capital Shares (2,271) 12,819 98,386 2,666 -----------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------- LONG CORE FIXED DURATION INCOME FUND FUND ----------------------------------------------------------------------------------------------- 6/1/06 6/1/06 to 11/30/06 6/1/05 to 11/30/06 6/1/05 (Unaudited) to 5/31/06 (Unaudited) to 5/31/06 ----------------------------------------------------------------------------------------------- Class A: Shares Issued 98,907 150,170 154 11,855 Shares Issued in Lieu of Dividends and Distributions 12,779 20,531 455 838 Shares Redeemed (47,754) (111,285) (184) (2,143) ----------------------------------------------------------------------------------------------- Total Class A Transactions 63,932 59,416 425 10,550 ----------------------------------------------------------------------------------------------- Class T: Shares Issued -- -- -- -- Shares Issued in Lieu of Dividends and Distributions -- -- -- -- Shares Redeemed -- -- -- -- ----------------------------------------------------------------------------------------------- Total Class T Transactions -- -- -- -- ----------------------------------------------------------------------------------------------- Net Increase (Decrease) in Capital Shares 63,932 59,416 425 10,550 -----------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------- EXTENDED DURATION HIGH YIELD FUND BOND FUND(4) ----------------------------------------------------------------------------------------------- 6/1/06 6/1/06 to 11/30/06 6/1/05 to 11/30/06 12/5/05 (Unaudited) to 5/31/06 (Unaudited) to 5/31/06 ----------------------------------------------------------------------------------------------- Class A: Shares Issued 5,938 12,856 19,826 89,411 Shares Issued in Lieu of Dividends and Distributions 652 1,618 3,655 2,668 Shares Redeemed (897) (2,247) (6,562) (6,487) ----------------------------------------------------------------------------------------------- Total Class A Transactions 5,693 12,227 16,919 85,592 ----------------------------------------------------------------------------------------------- Net Increase (Decrease) in Capital Shares 5,693 12,227 16,919 85,592 -----------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------- EMERGING INTERNATIONAL WORLD EQUITY MARKETS EQUITY FUND EX-US FUND DEBT FUND(5) ---------------------------------------------------------------------------------------------------------------------------- 6/1/06 6/1/06 6/1/06 to 11/30/06 6/1/05 to 11/30/06 6/1/05 to 11/30/06 12/5/05 (Unaudited) to 5/31/06 (Unaudited) to 5/31/06 (Unaudited) to 5/31/06 ---------------------------------------------------------------------------------------------------------------------------- Class A: Shares Issued 4,981 19,087 43,0815 6,952 13,073 51,578 Shares Issued in Lieu of Dividends and Distributions -- 4,873 -- 499 1,259 514 Shares Redeemed (8,830) (56,427) (7,469) (11,419) (2,580) (3,947) ---------------------------------------------------------------------------------------------------------------------------- Total Class A Transactions (3,849) (32,467) 35,612 46,032 11,752 48,145 ---------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Capital Shares (3,849) (32,467) 35,612 46,032 11,752 48,145 ----------------------------------------------------------------------------------------------------------------------------
(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 Diversified Alpha Fund commenced operations on February 28, 2006. (4) The High Yield Bond Fund commenced operations on December 5, 2005. (5) The Emerging Markets Debt Fund commenced operations on December 5, 2005. Amounts designated as "--" are zero or have been rounded to zero. -------------------------------------------------------------------------------- 210 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 5. INVESTMENT TRANSACTIONS The cost of security purchases and proceeds from the sale and maturities of securities other than temporary cash investments, during the six month period ended November 30, 2006, were as follows: -------------------------------------------------------------------------------- U.S. Gov't Other Total ($ Thousands) ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- LARGE CAP FUND Purchases $ -- $ 188,939 $ 188,939 Sales -- 409,575 409,575 LARGE CAP DISCIPLINED EQUITY FUND* Purchases 1,318,437 3,261,761 4,580,198 Sales 1,130,144 2,383,260 3,513,404 LARGE CAP DIVERSIFIED ALPHA FUND* Purchases 49,181 268,827 318,008 Sales 42,118 95,176 137,294 LARGE CAP INDEX Purchases -- 16,808 16,808 Sales -- 43,941 43,941 SMALL CAP FUND Purchases -- 995,632 995,632 Sales -- 1,086,440 1,086,440 SMALL/MID CAP FUND Purchases -- 893,786 893,786 Sales -- 736,882 736,882 CORE FIXED INCOME FUND Purchases 8,775,200 1,190,623 9,965,823 Sales 8,807,296 862,230 9,669,526 LONG DURATION BOND FUND Purchases 8,288 31,703 39,991 Sales 8,774 27,418 36,192 EXTENDED DURATION BOND FUND Purchases 15,622 76,863 92,485 Sales 12,106 66,325 78,431 HIGH YIELD BOND FUND Purchases -- 487,254 487,254 Sales -- 353,502 353,502 INTERNATIONAL EQUITY FUND Purchases 452,759 931,154 1,383,913 Sales 407,822 971,513 1,379,335 WORLD EQUITY EX-US FUND Purchases 495,528 877,928 1,373,456 Sales 432,575 344,309 776,884 EMERGING MARKETS DEBT FUND Purchases -- 378,345 378,345 Sales -- 245,281 245,281 *Includes in-kind transactions (see Note 8). For the period ended November 30, 2006, the following Funds effected transactions with other Funds. The purchases, sales transactions and the net realized gains/(losses) on sales of securities, executed at independently derived prices pursuant to Rule 17a-7 under the Investment Company Act of 1940, were: -------------------------------------------------------------------------------- Purchases Sales Gain/(Loss) ($ Thousands) ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Large Cap Fund $ -- $ (34,143) $ 3,835 Large Cap Disciplined Equity Fund 255,308 -- -- Large Cap Diversified Alpha Fund 34,143 -- -- -------------------------------------------------------------------------------- Purchases Sales Gain/(Loss) ($ Thousands) ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- International Equity Fund $ -- $(612,174) $17,299 World Equity Ex-US Fund 612,186 -- -- 6. FEDERAL TAX INFORMATION It is each Fund's intention to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code and distribute all of its taxable income (including net capital gains). Accordingly, no provision for Federal income taxes is required. Dividends from net investment income and distributions from net realized capital gains are determined in accordance with U.S. Federal income tax regulations, which may differ from those amounts determined under accounting principles generally accepted in the United States of America. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital, undistributed net investment income or accumulated net realized gain, as appropriate, in the period that the differences arise. The tax character of dividends and distributions paid during the last two years or periods ended May 31, 2006 were as follows: -------------------------------------------------------------------------------- Ordinary Long-term Income Capital Gain Total ($ Thousands) ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Large Cap Fund 2006 $ 19,617 $ -- $ 19,617 2005 27,735 -- 27,735 Large Cap Disciplined Equity Fund 2006 172,080 108,577 280,657 2005 66,724 2,188 68,912 Large Cap Diversified Alpha Fund 2006 167 -- 167 Large Cap Index Fund 2006 6,360 3,238 9,598 2005 5,724 289 6,013 Small Cap Fund 2006 45,737 93,718 139,455 2005 90,513 93,860 184,373 Small/Mid Cap Equity Fund 2006 34,951 19,445 54,396 2005 8,285 41 8,326 Core Fixed Income Fund 2006 212,264 1,463 213,727 2005 178,592 14,299 192,891 Long Duration Fund 2006 8,254 3 8,257 2005 2,840 -- 2,840 Extended Duration Fund 2006 16,599 15 16,614 2005 4,492 -- 4,492 High Yield Bond Fund 2006 27,352 -- 27,352 International Equity Fund 2006 49,222 14,153 63,375 2005 46,157 -- 46,157 World Equity Ex-US Fund 2006 6,142 -- 6,142 2005 -- -- -- Emerging Markets Debt Fund 2006 5,375 -- 5,375 -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 211 Notes to Financial Statements (Unaudited) (Continued) NOVEMBER 30, 2006 As of May 31, 2006, the components of Distributable Earnings/(Accumulated Losses) were as follows: -------------------------------------------------------------------------------- Undistributed Undistributed Capital Ordinary Long-Term Loss Income Capital Gain Carryforwards ($ Thousands) ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Large Cap Fund $ 2,663 $ -- $(202,853) Large Cap Disciplined Equity Fund 86,585 61,232 -- Large Cap Diversified Alpha Fund 879 -- -- Large Cap Index Fund 2,004 1,297 -- Small Cap Fund 71,786 103,422 -- Small/Mid Cap Equity Fund 48,915 52,702 -- Core Fixed Income Fund 20,719 -- (15,381) Long Duration Fund 786 -- -- Extended Duration Fund 1,146 -- -- High Yield Bond Fund 10,704 -- -- International Equity Fund 113,539 125,399 -- World Equity Ex-US Fund 64,978 2,723 -- Emerging Markets Debt Fund 8,784 -- --
---------------------------------------------------------------------------------------------------------------- Post Unrealized Other Total October Appreciation Temporary Distributable Earnings/ Losses (Depreciation) Differences (Accumulated Losses) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ---------------------------------------------------------------------------------------------------------------- Large Cap Fund $ -- $ 47,165 $ -- $(153,025) Large Cap Disciplined Equity Fund (1,336) 251,017 (112) 397,386 Large Cap Diversified Alpha Fund (1) (2,053) 10 (1,165) Large Cap Index Fund -- 76,029 -- 79,330 Small Cap Fund -- 183,745 -- 358,953 Small/Mid Cap Equity Fund (20) 82,615 -- 184,212 Core Fixed Income Fund (59,626) (86,126) (20,382) (160,796) Long Duration Fund (1,988) (12,870) (772) (14,844) Extended Duration Fund (4,566) (35,713) (1,136) (40,269) High Yield Bond Fund (14) (961) (5,536) 4,193 International Equity Fund -- 251,707 341 490,986 World Equity Ex-US Fund -- 75,740 465 143,906 Emerging Markets Debt Fund -- (17,541) (65) (8,822)
Post-October losses represent losses realized on investment transactions from November 1, 2005 through May 31, 2006 that, in accordance with Federal income tax regulations, the Funds may elect to defer and treat as having arisen in the following fiscal year. For Federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains as follows: -------------------------------------------------------------------------------- Total Capital Loss Expires Expires Carryforwards 2011 2014 5/31/06 ($ Thousands) ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Large Cap Fund $202,853 $ -- $202,853 Core Fixed Income Fund -- 15,381 15,381 During the year ended May 31, 2006, the Large Cap and International Equity Funds utilized $96,339,904 and $113,890,673 of capital loss carryforwards, respectively, to offset capital gains. For Federal income tax purposes, the cost of securities owned at November 30, 2006, and the net realized gains or losses on securities sold for the period were not materially different from amounts reported for financial reporting purposes, primarily due to wash sales which cannot be used for Federal income tax purposes in the current year and have been deferred for use in future years. The aggregate gross unrealized appreciation and depreciation on investments held by the Funds at November 30, 2006, was as follows: -------------------------------------------------------------------------------- Net Unrealized Appreciated Depreciated Appreciation Securities Securities (Depreciation) ($ Thousands) ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Large Cap Fund $124,536 $ (8,790) $115,746 Large Cap Disciplined Equity Fund 739,910 (24,451) 715,459 Large Cap Diversified Alpha Fund 20,516 (2,955) 17,561 Large Cap Index 117,910 (5,490) 112,420 Small Cap Fund 353,332 (62,681) 290,651 -------------------------------------------------------------------------------- Net Unrealized Appreciated Depreciated Appreciation Securities Securities (Depreciation) ($ Thousands) ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Small/Mid Cap Fund $218,236 $(34,555) $ 183,681 Core Fixed Income Fund 95,481 (23,082) 72,399 Long Duration Bond Fund 2,344 (1,640) 704 Extended Duration Bond Fund 3,853 (2,424) 1,429 High Yield Bond Fund 20,987 (7,957) 13,030 International Equity Fund 325,719 (11,052) 314,667 World Equity Ex-US Fund 203,631 (5,377) 198,254 Emerging Markets Debt Fund 26,552 (1,242) 25,310 7. CONCENTRATION/RISKS In the normal course of business, the Funds enter into contracts that provide general indemnifications by the Fund to the counterparty to the contract. The Funds' maximum exposure under these arrangements is dependent on future claims that may be made against the Funds and, therefore, cannot be estimated; however, based on experience, the risk of loss from such claims is considered remote. The market values of the Core Fixed Income, Long Duration, Extended Duration and High Yield Bond Funds' investments may change in response to interest rate changes and other factors. During periods of falling interest rates, the values of fixed income securities generally rise. Conversely, during periods of rising interest rates, the values of such securities generally decline. Changes by recognized rating agencies in the ratings of any fixed income security and in the ability of an issuer to make payments of interest and principal may also affect the value of these investments. The International Equity, World Equity Ex-US and Emerging Markets Debt Funds concentrate their investments in securities of foreign issuers in various countries. These investments may involve certain considerations and risks not typically associated with investments in -------------------------------------------------------------------------------- 212 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 the United States, as a result of, among other factors, the possibility of future political and economic developments and the level of governmental supervision and regulation of securities markets in the respective countries. 8. IN-KIND TRANSFERS OF SECURITIES During the six months period ended November 30, 2006, the Large Cap Disciplined Equity and Large Cap Diversified Alpha Funds issued shares of beneficial interest in exchange for securities. The securities were transferred at their current value on the date of such transactions. -------------------------------------------------------------------------------- Shares Value Issued ($Thousands) -------------------------------------------------------------------------------- Large Cap Disciplined Equity Fund 06/30/06 434,484 $ 19,260 07/31/06 320,437 14,756 09/29/06 1,044,565 47,218 Large Cap Diversified Alpha Fund 09/29/06 231,727 9,614 During the year ended May 31, 2006, the Large Cap, Large Cap Disciplined Equity, Small Cap and Small/Mid Cap Equity Funds issued (redeemed) shares of beneficial interest in exchange for securities. The securities were transferred at their current value on the date of such transactions. -------------------------------------------------------------------------------- Shares Issued Value Gain (Loss) (Redeemed) ($Thousands) ($Thousands) -------------------------------------------------------------------------------- Large Cap Fund 06/13/05 (1,251,679) $ (19,676) $ 2,557 06/16/05 (10,388,456) (159,630) 27,345 12/13/05 (7,072,179) (119,944) 19,447 Large Cap Disciplined Equity Fund 09/30/05 106,084 13,293 -- 11/04/05 121,814 15,129 -- 11/30/05 183,232 23,375 -- 02/28/06 65,801 8,209 -- 04/28/06 31,664 4,039 -- Small Cap Fund 12/12/05 20,174,818 297,913 -- 04/28/06 (5,789,189) (95,174) 4,232 Small/Mid Cap Equity Fund 11/04/05 222,050 28,400 -- 05/31/06 18,356 2,456 -- 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 ("BAA") and other defendants relating to Notes issued by Duty Free International which are held by the Fund. BAA is the former parent company of Duty Free International. The plaintiffs in that action have since settled with all defendants with the exception of BAA. The litigation proceeded to jury trial against BAA in December, 2003, and the jury found against the plaintiffs on all counts. Plaintiffs subsequently appealed. In January 2006, the Court of Appeals ruled in favor of plaintiffs and remanded for a new trial. BAA has appealed that decision. The Core Fixed Income Fund is bearing its portion of the legal expenses associated with this litigation over and above the expense limitations of the Fund. 11. NEW ACCOUNTING PRONOUNCEMENTS On July 13, 2006, the Financial Accounting Standards Board ("FASB") issued FASB interpretation 48 ("FIN 48"), "Accounting for Uncertainty in Income Taxes." This standard defines the threshold for recognizing the benefits of tax-return positions in the financial statements as "more-likely-than-not" to be sustained by the taxing authority and requires measurement of a tax position meeting the more-likely-than-not criterion, based on the largest benefit that is more than 50 percent likely to be realized. FIN 48 is effective as of the beginning of the first fiscal year beginning after December 15, 2006. At adoption, companies must adjust their financial statements to reflect only those tax positions that are more-likely-than-not to be sustained as of the adoption date. The Fund will not be required to adopt FIN 48 until May 30, 2008. As of November 30, 2006, the Funds have not evaluated the impact that will result, if any, from adopting FIN 48. -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 213 Notes to Financial Statements (Unaudited) (Concluded) NOVEMBER 30, 2006 In September 2006, the FASB issued Statement on Financial Accounting Standards ("SFAS") No. 157, "Fair Value Measurements". This standard establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and requires additional disclosures about fair value measurements. SFAS No. 157 applies to fair value measurements already required or permitted by existing standards. SFAS No. 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. The changes to current generally accepted accounting principles from the application of this Statement relate to the definition of fair value, the methods used to measure fair value, and the expanded disclosures about fair value measurements. As of November 30, 2006, the Funds do not believe the adoption of SFAS No. 157 will impact the amounts reported in the financial statements, however, additional disclosures may be required about the inputs used to develop the measurements and the effect of certain of the measurements reported in the financial statements for a fiscal period. -------------------------------------------------------------------------------- 214 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 Disclosure of Fund Expenses (Unaudited) NOVEMBER 30, 2006 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, 2006 215 BEGINNING ENDING EXPENSE ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 6/1/06 11/30/06 RATIOS PERIOD* -------------------------------------------------------------------------------- LARGE CAP FUND -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,101.80 0.26% $1.37 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,023.76 0.26% $1.32 -------------------------------------------------------------------------------- LARGE CAP DISCIPLINED EQUITY FUND -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,108.20 0.22% $1.16 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,023.97 0.22% $1.12 -------------------------------------------------------------------------------- LARGE CAP DIVERSIFIED ALPHA -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,097.20 0.35% $1.84 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,023.31 0.35% $1.78 -------------------------------------------------------------------------------- LARGE CAP INDEX FUND -------------------------------------------------------------------------------- ACTUAL FUND RETURN CLASS A SHARES $1,000.00 $1,110.40 0.06% $0.32 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,024.77 0.06% $0.30 -------------------------------------------------------------------------------- SMALL CAP FUND -------------------------------------------------------------------------------- Actual Fund Return Class A Shares $1,000.00 $1,083.60 0.54% $2.82 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,022.36 0.54% $2.74 -------------------------------------------------------------------------------- SMALL/MID CAP EQUITY FUND -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,087.50 0.50% $2.62 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,022.66 0.50% $2.54 -------------------------------------------------------------------------------- CORE FIXED INCOME FUND -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,062.00 0.14% $0.72 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,024.37 0.14% $0.71 -------------------------------------------------------------------------------- BEGINNING ENDING EXPENSE ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 6/1/06 11/30/06 RATIOS PERIOD* -------------------------------------------------------------------------------- LONG DURATION BOND FUND -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,108.30 0.20% $1.06 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 $1,223.30 0.20% $1.11 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,024.07 0.20% $1.01 -------------------------------------------------------------------------------- HIGH YIELD BOND -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,052.00 0.35% $1.80 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,023.31 0.35% $1.78 -------------------------------------------------------------------------------- INTERNATIONAL EQUITY FUND -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,111.00 0.34% $1.80 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,023.36 0.34% $1.72 -------------------------------------------------------------------------------- WORLD EQUITY EX-US FUND -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,123.90 0.60% $3.19 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,022.06 0.60% $3.04 -------------------------------------------------------------------------------- EMERGING MARKETS DEBT -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,110.20 0.55% $2.91 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,022.31 0.55% $2.79 -------------------------------------------------------------------------------- * 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). -------------------------------------------------------------------------------- 216 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 This page intentionally left blank. Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited) NOVEMBER 30, 2006 The SEI Institutional Investments Trust (the "Trust") and SEI Investments Management Corporation ("SIMC") have entered into an investment advisory agreement (the "Advisory Agreement"). Pursuant to the Advisory Agreement, SIMC oversees the investment advisory services provided to each series of the Trust (each, a "Fund" and, collectively, the "Funds") and may manage the cash portion of the Funds' assets. Pursuant to separate sub-advisory agreements (the "Sub-Advisory Agreements" and, together with the Advisory Agreement, the "Investment Advisory Agreements") with SIMC, and under the supervision of SIMC and the Trust's Board of Trustees (the "Board"), the Sub-Advisers are responsible for the day-to-day investment management of all or a discrete portion of the assets of the Funds. The Sub-Advisers also are responsible for managing their employees who provide services to these Funds. The Sub-Advisers are selected based primarily upon the research and recommendations of SIMC, which evaluates quantitatively and qualitatively each Sub-Adviser's skills and investment results in managing assets for specific asset classes, investment styles and strategies. The Investment Company Act of 1940, as amended (the "1940 Act") requires that the initial approval of, as well as the continuation of, each Fund's Investment Advisory Agreements must be specifically approved: (i) by the vote of the Board of Trustees or by a vote of the shareholders of the Fund; and (ii) by the vote of a majority of the Trustees who are not parties to the Investment Advisory Agreements or "interested persons" of any party (the "Independent Trustees"), cast in person at a meeting called for the purpose of voting on such approval. In connection with their consideration of such approvals, the Fund's Trustees must request and evaluate, and SIMC and the Sub-Advisers are required to furnish, such information as may be reasonably necessary to evaluate the terms of the Investment Advisory Agreements. In addition, the Securities and Exchange Commission ("SEC") takes the position that, as part of their fiduciary duties with respect to a mutual fund's fees, mutual fund boards are required to evaluate the material factors applicable to a decision to approve an Investment Advisory Agreement. Consistent with these responsibilities, the Trust's Board of Trustees calls and holds meetings each year that are dedicated to considering whether to renew the Investment Advisory Agreements between the Trust and SIMC and SIMC and each of the Sub-Advisers with respect to the Funds of the Trust. In preparation for these meetings, the Board requests and reviews a wide variety of materials provided by SIMC and the Sub-Advisers, including information about SIMC's and the Sub-Advisers' affiliates, personnel and operations. The Board also receives extensive data provided by third parties. This information is in addition to the detailed information about the Funds that the Board reviews during the course of each year, including information that relates to Fund operations and Fund performance. The Trustees also receive a memorandum from Fund counsel and independent counsel to the Independent Trustees regarding the responsibilities of Trustees in connection with their consideration of whether to approve the Trust's Investment Advisory Agreements. Finally, the Independent Trustees receive advice from independent counsel to the Independent Trustees, meet in executive session outside the presence of Fund management and participate in question and answer sessions with representatives of SIMC and the Sub-Advisers. Specifically, the Board requested and received written materials from SIMC and each Sub-Adviser regarding: (a) the quality of SIMC's and the Sub-Adviser's investment management and other services; (b) SIMC's and the Sub-Adviser's investment management personnel; (c) SIMC's and the Sub-Adviser's operations and financial condition; (d) SIMC's and the Sub-Adviser's brokerage practices (including any soft dollar arrangements) and investment strategies; (e) the level of the advisory fees that SIMC and each Sub-Adviser charge a Fund compared with the fees each charge to comparable mutual funds; (f) a Fund's overall fees and operating expenses compared with similar mutual funds; (g) the level of SIMC's and each Sub-Adviser's profitability from its Fund-related operations; (h) SIMC's and the Sub-Adviser's compliance systems; (i) SIMC's and the Sub-Adviser's policies on and compliance procedures for personal securities transactions; (j) SIMC's and the Sub-Adviser's reputation, expertise and resources in domestic and/or international financial markets; and (k) each Fund's performance compared with similar mutual funds. At the March 8-9, 2006, June 22, 2006, September 20-21, 2006 and December 8, 2006 meetings of the Board of Trustees, the Trustees, including a majority of the Independent Trustees, approved the Investment Advisory Agreements and approved the -------------------------------------------------------------------------------- 218 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 selection of SIMC and the Sub-Advisers to act in their respective capacities for the Funds. The Board's approval was based on its consideration and evaluation of a variety of specific factors discussed at the meetings and at prior meetings, including: o the nature, extent and quality of the services provided to the Funds under the Investment Advisory Agreements, including the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds; o each Fund's investment performance and how it compared to that of other comparable mutual funds; o each Fund's expenses under each Investment Advisory Agreement and how those expenses compared to those of other comparable mutual funds; o the profitability of SIMC and the Sub-Advisers and their affiliates with respect to each Fund, including both direct and indirect benefits accruing to SIMC and the Sub-Advisers and their affiliates; and o the extent to which economies of scale would be realized as the Funds grow and whether fee levels in the Investment Advisory Agreements reflect those economies of scale for the benefit of Fund investors. NATURE, EXTENT AND QUALITY OF SERVICES. The Board of Trustees considered the nature, extent and quality of the services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds. In this regard, the Trustees evaluated, among other things, SIMC's and the Sub-Advisers' personnel, experience, track record and compliance program. Following evaluation, the Board concluded that, within the context of its full deliberations, the nature, extent and quality of services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds supported renewal of the Investment Advisory Agreements. FUND PERFORMANCE. The Board of Trustees considered Fund performance in determining whether to renew the Investment Advisory Agreements. Specifically, the Trustees considered each Fund's performance relative to its peer group and appropriate indices/benchmarks, in light of total return, yield and market trends. As part of this review, the Trustees considered the composition of the peer group and selection criteria. In evaluating performance, the Trustees considered both market risk and shareholder risk expectations for a given Fund. Following evaluation, the Board concluded that, within the context of its full deliberations, the performance of the Funds supported renewal of the Investment Advisory Agreements. FUND EXPENSES. With respect to the Funds' expenses under the Investment Advisory Agreements, the Trustees considered the rate of compensation called for by the Investment Advisory Agreements and each Fund's net operating expense ratio in comparison to those of other comparable mutual funds. The Trustees also considered information about average expense ratios of comparable mutual funds in each Fund's respective peer group. Finally, the Trustees considered the effects of SIMC's voluntary waiver of management and other fees and the Sub-Advisers' fees to prevent total Fund expenses from exceeding a specified cap and that SIMC and the Sub-Advisers, through waivers, have maintained the Funds' net operating expenses at competitive levels for their respective distribution channels. Following evaluation, the Board concluded that, within the context of its full deliberations, the expenses of the Funds are reasonable and supported renewal of the Investment Advisory Agreements. PROFITABILITY. With regard to profitability, the Trustees considered all compensation flowing to SIMC and the Sub-Advisers and their affiliates, directly or indirectly. The Trustees considered whether the varied levels of compensation and profitability under the Investment Advisory Agreements and other service agreements were reasonable and justified in light of the quality of all services rendered to the Funds by SIMC and the Sub-Advisers and their affiliates. When considering the profitability of the Sub-Advisors, the Board took into account the fact that the Sub-Advisors are compensated by SIMC, and not by the Funds directly, and such compensation with respect to any Sub-Advisor reflects an arms-length negotiation between the Sub-Advisor and SIMC. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the profitability of SIMC and the Sub-Advisers is reasonable and supported renewal of the Investment Advisory Agreements. -------------------------------------------------------------------------------- SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 219 Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements (Concluded) (Unaudited) NOVEMBER 30, 2006 ECONOMIES OF SCALE. The Trustees considered the existence of any economies of scale and whether those were passed along to a Fund's shareholders through a graduated investment advisory fee schedule or other means, including any fee waivers by SIMC and its affiliates. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the Funds obtain reasonable benefit from economies of scale. Based on the Trustees' deliberation and their evaluation of the information described above, the Board, including all of the Independent Trustees, unanimously approved the continuation of the Investment Advisory Agreements and concluded that the compensation under the Investment Advisory Agreements is fair and reasonable in light of such services and expenses and such other matters as the Trustees considered to be relevant in the exercise of their reasonable judgment. In the course of their deliberations, the Trustees did not identify any particular information that was all-important or controlling. -------------------------------------------------------------------------------- 220 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2006 SEI INSTITUTIONAL INVESTMENTS TRUST SEMI-ANNUAL REPORT NOVEMBER 30, 2006 Robert A. Nesher, CHAIRMAN TRUSTEES William M. Doran F. Wendell Gooch James M. Storey George J. Sullivan, Jr. Rosemarie B. Greco Nina Lesavoy James M. Williams OFFICERS Robert A. Nesher PRESIDENT AND CHIEF EXECUTIVE OFFICER Stephen F. Panner CONTROLLER AND CHIEF FINANCIAL OFFICER Russell Emery CHIEF COMPLIANCE OFFICER Timothy D. Barto VICE PRESIDENT, SECRETARY Sofia A. Rosala VICE PRESIDENT, ASSISTANT SECRETARY James Ndiaye VICE PRESIDENT, ASSISTANT SECRETARY Michael T. Pang VICE PRESIDENT, ASSISTANT SECRETARY John J. McCue VICE PRESIDENT Nicole Welch ANTI-MONEY LAUNDERING COMPLIANCE OFFICER INVESTMENT ADVISER SEI Investments Management Corporation ADMINISTRATOR SEI Investments Global Funds Services DISTRIBUTOR SEI Investments Distribution Co. LEGAL COUNSEL Morgan, Lewis & Bockius LLP INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM KPMG LLP This report and the financial statements contained herein are submitted for the general information of the shareholders of the Trust and must be preceded or accompanied by a current prospectus. Shares of the Funds are not deposits or obligations of, or guaranteed or endorsed by, any bank. The shares are not federally insured by the Federal Deposit Insurance Corporation (FDIC), the Federal Reserve Board, or any other government agency. Investment in the shares involves risk, including the possible loss of principal. FOR MORE INFORMATION CALL 1 800 DIAL SEI (1 800 342 5734) SEI New ways. New answers.(R) SEI Investments Distribution Co. Oaks, PA 19456 1.800.DIAL.SEI (1.800.342.5734) SEI-F-120 (11/06) ITEM 2. CODE OF ETHICS. Not applicable for semi-annual report. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not applicable for semi-annual report. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable for semi-annual report. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable for semi-annual report. ITEM 6. SCHEDULE OF INVESTMENTS. Not applicable. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable to open-end management investment companies. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable to open-end management investment companies. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable to open-end management investment companies. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. The Trust has a standing Nominating Committee (the "Committee") currently consisting of the Independent Trustees. The Committee is responsible for evaluating and recommending nominees for election to the Trust's Board of Trustees (the "Board"). Pursuant to the Committee's Charter, adopted on June 18th 2004, the Committee will review all shareholder recommendations for nominations to fill vacancies on the Board if such recommendations are submitted in writing and addressed to the Committee at the Trust's office. ITEM 11. CONTROLS AND PROCEDURES. (a) The certifying officers, whose certifications are included herewith, have evaluated the registrant's disclosure controls and procedures within 90 days of the filing date of this report. Based on their evaluation, the certifying officers have concluded that the registrant's disclosure controls and procedures are adequately designed, and are operating effectively to ensure, that information required to be disclosed by the registrant in the reports it files or submits under the Securities Exchange Act of 1934 is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms. (b) There were no significant changes in the registrant's internal control over financial reporting that occurred during the registrant's last fiscal half-year that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEMS 12. EXHIBITS. (a)(1) Not applicable for semi-annual report. (a)(2) A separate certification for the principal executive officer and the principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed herewith. (b) Officer certifications as required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing as an Exhibit. -------------------------------------------------------------------------------- SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) SEI Institutional Investments Trust By (Signature and Title)* /s/ Robert A. Nesher --------------------------------- Robert A. Nesher, President & CEO Date: February 5, 2007 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title)* /s/ Robert A. Nesher --------------------------------- Robert A. Nesher, President & CEO Date: February 5, 2007 By (Signature and Title)* /s/ Stephen F. Panner ----------------------------------- Stephen F. Panner, Controller & CFO Date: February 5, 2007 * Print the name and title of each signing officer under his or her signature.